SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
(Exact name of registrant as specified in charter)
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850
(Name and address of agent for service)
3.31.2016
Rydex Funds Annual Report
Domestic Equity Funds | ||
S&P 500® 2x Strategy Fund | ||
Inverse S&P 500® 2x Strategy Fund | ||
NASDAQ-100® 2x Strategy Fund | ||
Inverse NASDAQ-100® 2x Strategy Fund | ||
Dow 2x Strategy Fund | ||
Inverse Dow 2x Strategy Fund | ||
Russell 2000® 2x Strategy Fund | ||
Inverse Russell 2000® 2x Strategy Fund |
DYN-ANN-0316x0317 | guggenheiminvestments.com |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
S&P 500® 2x STRATEGY FUND | 9 |
INVERSE S&P 500® 2x STRATEGY FUND | 21 |
NASDAQ-100® 2x STRATEGY FUND | 29 |
INVERSE NASDAQ-100® 2x STRATEGY FUND | 38 |
DOW 2x STRATEGY FUND | 46 |
INVERSE DOW 2x STRATEGY FUND | 54 |
RUSSELL 2000® 2x STRATEGY FUND | 61 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND | 88 |
NOTES TO FINANCIAL STATEMENTS | 96 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 110 |
OTHER INFORMATION | 111 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 113 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES | 116 |
THE RYDEX FUNDS ANNUAL REPORT 1 |
March 31, 2016 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the annual shareholder report for a selection of our Funds (the “Funds”) for the one-year period ended March 31, 2016.
The Investment Adviser is part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Donald C. Cacciapaglia
President
April 30, 2016
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.
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 ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | March 31, 2016 |
Financial markets were buffeted by a variety of events over the past year, including volatility in the oil market, weak growth and a devaluation in China, ongoing stimulus from global central banks, and a delayed September rate hike by the U.S. Federal Reserve (the “Fed”)—and then capped by a 25 basis point increase in the U.S. federal funds target rate in December. While the direct impact of the move was fairly insignificant, the decision to begin normalization of interest rates after seven years of unprecedented liquidity provision was not. Indeed, in 2015, risk assets posted their worst annual performance since the 2008 financial crisis, as market participants’ expectations for the start of rate hikes collided with concern about plunging commodity prices, and slowing economic growth in China and other emerging market economies.
As 2016 began, forecasts for U.S. and global economic growth were downgraded, and recession fears surged along with market volatility. Estimates for first quarter gross domestic product (“GDP”) in the U.S. were marked down, even though first quarter GDP has undershot full-year growth rates in six out of the last seven years. Risk assets rallied in the last half of the first quarter, led by a dovish pivot in the Fed’s communication that spurred a rally in crude oil and a reversal of dollar strength. The weaker dollar, along with optimism about a production freeze agreed to by a group of major oil producing countries, helped oil to rebound. After falling in the early weeks of the year to a cycle low of $26 per barrel on February 11, 2016, the front-month West Texas Intermediate (“WTI”) oil futures contract rallied as high as $40 per barrel before closing the quarter at $38 per barrel.
The outlook for economic growth outside the U.S. softened in the first quarter. A further deterioration in the euro zone inflation outlook prompted the European Central Bank (“ECB”) to announce an increase in the size of its monthly asset purchases and reduce its deposit rate to -40 basis points. European government bonds rallied following the announcement, with the 10-year German bund ending the first quarter with a yield of just 16 basis points.
Ongoing stimulus efforts in Asia also appeared likely to contribute to low U.S. rates. Chinese industrial production growth continued to slow in early 2016, prompting the People’s Bank of China (“PBOC”) to stimulate credit growth by allowing banks to hold fewer reserves against deposits. And after years of struggling with stagnant growth and low inflation, the Bank of Japan (“BOJ”) surprised markets by cutting its key interest rate to -10 basis points in January. The negative rates pushed a considerable amount of Japanese savings into foreign markets.
In an environment where global rates are moving lower and markets are already starved for yield, foreign investors began looking to the U.S. Guggenheim expects that U.S. Treasury yields will fall further as the gravitational pull of global yields gets stronger, and does not discount the possibility of 10-year U.S. Treasury yields declining to closer to 1 percent before the end of the year.
A stronger dollar has weighed on the U.S. economy, but consumer spending has been resilient. The labor market is now operating near full employment, and tight labor market conditions are beginning to spur faster wage growth. We believe the U.S. economy is fundamentally sound, and find little evidence to support the conclusion that the economy will fall into a recession in 2016.
Despite the relative health of the U.S. economy, markets are concerned that sluggish global growth will hold back the U.S. expansion, that inflation will remain below the Fed’s target for longer, and that tighter conditions in credit markets have raised recession risks. Our view is that the Fed remains focused on fulfilling its dual mandate objectives of maximum employment and price stability, and thus is biased toward normalizing policy. We expect further declines in the unemployment rate as job gains outstrip growth in the labor force. Meanwhile, core and headline inflation should move closer to the Fed’s target by year end, reflecting our forecasts for a tighter labor market and a modest rise in oil prices. Normally, this would result in at least two Fed rate hikes on the table for 2016, but the U.S. Fed is becoming more sensitive to global financial conditions and the extent of global money flows that occur as monetary policy in the U.S. diverges from Europe, Japan and China. As a result, we have reduced our expectations for a June rate hike, although it would normally be an easy call. We continue to believe a December rate hike is a near certainty. A solid macroeconomic backdrop and a rebalancing oil market should support an improving credit picture in the second half of 2016.
For the 12 months ended March 31, 2016, the Standard & Poor’s 500® (“S&P 500”) Index* returned 1.78%. The Morgan Stanley Capital International (“MSCI”) Europe-Australasia-Far East (“EAFE”) Index* returned -8.27%. The return of the MSCI Emerging Markets Index* was -12.03%.
THE RYDEX FUNDS ANNUAL REPORT 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | March 31, 2016 |
In the bond market, the Barclays U.S. Aggregate Bond Index* posted a 1.96% return for the period, while the Barclays U.S. Corporate High Yield Index* returned -3.69%. The return of the Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.12% for the 12-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.
Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS.
Barclays U.S. Corporate High Yield Index measures the market of U. S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below.
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.
Dow Jones Industrial AverageSM (“DJIA”) is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange and the NASDAQ. The DJIA was invented by Charles Dow back in 1896.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
NASDAQ-100® Index includes 100 of the largest domestic and international non-financial securities listed on The NASDAQ Stock Market based on market capitalization. The index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade, and biotechnology. It does not contain securities of financial companies including investment companies.
Russell 2000® Index measures the performance of the small-cap value segment of the U.S. equity universe.
S&P 500® Index is a capitalization-weighted index of 500 stocks designed to measure the performance of the broad economy, representing all major industries and is considered a representation of the U.S. stock market.
4 | THE RYDEX FUNDS ANNUAL REPORT |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) |
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. 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 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.
THE RYDEX FUNDS 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, or 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 September 30, 2015 and ending March 31, 2016.
The following tables illustrate a Fund’s 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 fourth 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 a Fund’s expenses, including annual expense ratios for up to the past 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 ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(continued) |
Expense | Fund | Beginning 2015 | Ending 2016 | Expenses | |
Table 1. Based on actual Fund return3 | |||||
S&P 500® 2x Strategy Fund | |||||
A-Class | 1.78% | 14.66% | $ 1,000.00 | $ 1,146.60 | $ 9.55 |
C-Class | 2.53% | 14.22% | 1,000.00 | 1,142.20 | 13.55 |
H-Class | 1.78% | 14.64% | 1,000.00 | 1,146.40 | 9.55 |
Inverse S&P 500® 2x Strategy Fund | |||||
A-Class | 1.77% | (18.85%) | 1,000.00 | 811.50 | 8.02 |
C-Class | 2.46% | (19.20%) | 1,000.00 | 808.00 | 11.12 |
H-Class | 1.78% | (18.79%) | 1,000.00 | 812.10 | 8.06 |
NASDAQ-100® 2x Strategy Fund | |||||
A-Class | 1.82% | 12.80% | 1,000.00 | 1,128.00 | 9.68 |
C-Class | 2.57% | 12.37% | 1,000.00 | 1,123.70 | 13.64 |
H-Class | 1.82% | 12.80% | 1,000.00 | 1,128.00 | 9.68 |
Inverse NASDAQ-100® 2x Strategy Fund | |||||
A-Class | 1.80% | (19.70%) | 1,000.00 | 803.00 | 8.11 |
C-Class | 2.56% | (19.87%) | 1,000.00 | 801.30 | 11.53 |
H-Class | 1.81% | (19.75%) | 1,000.00 | 802.50 | 8.16 |
Dow 2x Strategy Fund | |||||
A-Class | 1.83% | 17.91% | 1,000.00 | 1,179.10 | 9.97 |
C-Class | 2.58% | 17.44% | 1,000.00 | 1,174.40 | 14.02 |
H-Class | 1.83% | 17.91% | 1,000.00 | 1,179.10 | 9.97 |
Inverse Dow 2x Strategy Fund | |||||
A-Class | 1.83% | (21.75%) | 1,000.00 | 782.50 | 8.15 |
C-Class | 2.55% | (22.00%) | 1,000.00 | 780.00 | 11.35 |
H-Class | 1.83% | (21.75%) | 1,000.00 | 782.50 | 8.15 |
Russell 2000® 2x Strategy Fund | |||||
A-Class | 1.79% | 0.72% | 1,000.00 | 1,007.20 | 8.98 |
C-Class | 2.54% | 0.34% | 1,000.00 | 1,003.40 | 12.72 |
H-Class | 1.83% | 0.73% | 1,000.00 | 1,007.30 | 9.18 |
Inverse Russell 2000® 2x Strategy Fund | |||||
A-Class | 1.81% | (10.95%) | 1,000.00 | 890.50 | 8.55 |
C-Class | 2.57% | (11.30%) | 1,000.00 | 887.00 | 12.12 |
H-Class | 1.82% | (10.96%) | 1,000.00 | 890.40 | 8.60 |
THE RYDEX FUNDS ANNUAL REPORT 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
Expense | Fund | Beginning 2015 | Ending 2016 | Expenses | |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
S&P 500® 2x Strategy Fund | |||||
A-Class | 1.78% | 5.00% | $ 1,000.00 | $ 1,016.10 | $ 8.97 |
C-Class | 2.53% | 5.00% | 1,000.00 | 1,012.35 | 12.73 |
H-Class | 1.78% | 5.00% | 1,000.00 | 1,016.10 | 8.97 |
Inverse S&P 500® 2x Strategy Fund | |||||
A-Class | 1.77% | 5.00% | 1,000.00 | 1,016.15 | 8.92 |
C-Class | 2.46% | 5.00% | 1,000.00 | 1,012.70 | 12.38 |
H-Class | 1.78% | 5.00% | 1,000.00 | 1,016.10 | 8.97 |
NASDAQ-100® 2x Strategy Fund | |||||
A-Class | 1.82% | 5.00% | 1,000.00 | 1,015.90 | 9.17 |
C-Class | 2.57% | 5.00% | 1,000.00 | 1,012.15 | 12.93 |
H-Class | 1.82% | 5.00% | 1,000.00 | 1,015.90 | 9.17 |
Inverse NASDAQ-100® 2x Strategy Fund | |||||
A-Class | 1.80% | 5.00% | 1,000.00 | 1,016.00 | 9.07 |
C-Class | 2.56% | 5.00% | 1,000.00 | 1,012.20 | 12.88 |
H-Class | 1.81% | 5.00% | 1,000.00 | 1,015.95 | 9.12 |
Dow 2x Strategy Fund | |||||
A-Class | 1.83% | 5.00% | 1,000.00 | 1,015.85 | 9.22 |
C-Class | 2.58% | 5.00% | 1,000.00 | 1,012.10 | 12.98 |
H-Class | 1.83% | 5.00% | 1,000.00 | 1,015.85 | 9.22 |
Inverse Dow 2x Strategy Fund | |||||
A-Class | 1.83% | 5.00% | 1,000.00 | 1,015.85 | 9.22 |
C-Class | 2.55% | 5.00% | 1,000.00 | 1,012.25 | 12.83 |
H-Class | 1.83% | 5.00% | 1,000.00 | 1,015.85 | 9.22 |
Russell 2000® 2x Strategy Fund | |||||
A-Class | 1.79% | 5.00% | 1,000.00 | 1,016.05 | 9.02 |
C-Class | 2.54% | 5.00% | 1,000.00 | 1,012.30 | 12.78 |
H-Class | 1.83% | 5.00% | 1,000.00 | 1,015.85 | 9.22 |
Inverse Russell 2000® 2x Strategy Fund | |||||
A-Class | 1.81% | 5.00% | 1,000.00 | 1,015.95 | 9.12 |
C-Class | 2.57% | 5.00% | 1,000.00 | 1,012.15 | 12.93 |
H-Class | 1.82% | 5.00% | 1,000.00 | 1,015.90 | 9.17 |
1 | Annualized. |
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 183/366 (to reflect the one-half year period). |
3 | Actual cumulative return at net asset value for the period September 30, 2015 to March 31, 2016. |
8 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
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.
For the one-year period ended March 31, 2016, S&P 500® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the S&P 500® Index. S&P 500® 2x Strategy Fund H-Class returned -1.71%, while the S&P 500® Index returned 1.78% over the same period.
Sectors contributing the most to the performance of the underlying index were Information Technology and Consumer Staples. The sector detracting the most was Energy, followed by Health Care.
Microsoft Corp., General Electric Co., and Amazon.com, Inc. were the holdings contributing the most to the performance of the underlying index for the period. Apple, Inc., Biogen, Inc., and Kinder Morgan, Inc. — Class P detracted the most from the performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | September 1, 2004 |
C-Class | November 27, 2000 |
H-Class | May 19, 2000 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 1.8% |
Microsoft Corp. | 1.3% |
Exxon Mobil Corp. | 1.0% |
Johnson & Johnson | 0.9% |
General Electric Co. | 0.9% |
Berkshire Hathaway, Inc. — Class B | 0.8% |
Facebook, Inc. — Class A | 0.8% |
AT&T, Inc. | 0.7% |
Amazon.com, Inc. | 0.7% |
Wells Fargo & Co. | 0.7% |
Top Ten Total | 9.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE RYDEX FUNDS ANNUAL REPORT 9 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | 10 Year | |
A-Class Shares | -1.69% | 18.44% | 5.73% |
A-Class Shares with sales charge† | -6.36% | 17.29% | 5.22% |
C-Class Shares | -2.43% | 17.59% | 4.95% |
C-Class Shares with CDSC‡ | -3.39% | 17.59% | 4.95% |
H-Class Shares | -1.71% | 18.41% | 5.72% |
S&P 500 Index | 1.78% | 11.58% | 7.01% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
10 | THE RYDEX FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 54.1% | ||||||||
Consumer, Non-cyclical – 13.0% | ||||||||
Johnson & Johnson | 11,258 | $ | 1,218,115 | |||||
Procter & Gamble Co. | 10,822 | 890,759 | ||||||
Coca-Cola Co. | 15,897 | 737,461 | ||||||
Pfizer, Inc. | 24,676 | 731,396 | ||||||
Philip Morris International, Inc. | 6,321 | 620,154 | ||||||
PepsiCo, Inc. | 5,897 | 604,325 | ||||||
Merck & Company, Inc. | 11,323 | 599,100 | ||||||
Gilead Sciences, Inc. | 5,577 | 512,304 | ||||||
Altria Group, Inc. | 7,988 | 500,528 | ||||||
UnitedHealth Group, Inc. | 3,879 | 500,004 | ||||||
Amgen, Inc. | 3,068 | 459,986 | ||||||
Bristol-Myers Squibb Co. | 6,811 | 435,087 | ||||||
Allergan plc* | 1,610 | 431,528 | ||||||
Medtronic plc | 5,737 | 430,274 | ||||||
AbbVie, Inc. | 6,574 | 375,507 | ||||||
Celgene Corp.* | 3,189 | 319,187 | ||||||
Eli Lilly & Co. | 3,971 | 285,952 | ||||||
Colgate-Palmolive Co. | 3,642 | 257,307 | ||||||
Mondelez International, Inc. — Class A | 6,401 | 256,808 | ||||||
Abbott Laboratories | 6,011 | 251,440 | ||||||
Biogen, Inc.* | 892 | 232,205 | ||||||
Danaher Corp. | 2,439 | 231,364 | ||||||
Thermo Fisher Scientific, Inc. | 1,617 | 228,951 | ||||||
Kimberly-Clark Corp. | 1,472 | 197,998 | ||||||
Kraft Heinz Co. | 2,426 | 190,587 | ||||||
Express Scripts Holding Co.* | 2,726 | 187,249 | ||||||
PayPal Holdings, Inc.* | 4,539 | 175,205 | ||||||
Reynolds American, Inc. | 3,378 | 169,947 | ||||||
Automatic Data Processing, Inc. | 1,866 | 167,400 | ||||||
Aetna, Inc. | 1,426 | 160,211 | ||||||
General Mills, Inc. | 2,421 | 153,370 | ||||||
Kroger Co. | 3,977 | 152,120 | ||||||
Anthem, Inc. | 1,066 | 148,163 | ||||||
McKesson Corp. | 933 | 146,714 | ||||||
Cigna Corp. | 1,043 | 143,141 | ||||||
Stryker Corp. | 1,278 | 137,117 | ||||||
Becton Dickinson and Co. | 864 | 131,172 | ||||||
Alexion Pharmaceuticals, Inc.* | 919 | 127,943 | ||||||
Regeneron Pharmaceuticals, Inc.* | 319 | 114,980 | ||||||
Baxalta, Inc. | 2,779 | 112,272 | ||||||
Humana, Inc. | 605 | 110,685 | ||||||
Cardinal Health, Inc. | 1,344 | 110,141 | ||||||
Constellation Brands, Inc. — Class A | 718 | 108,482 | ||||||
McGraw Hill Financial, Inc. | 1,082 | 107,096 | ||||||
Boston Scientific Corp.* | 5,501 | 103,474 | ||||||
Sysco Corp. | 2,142 | 100,096 | ||||||
HCA Holdings, Inc.* | 1,247 | 97,328 | ||||||
Illumina, Inc.* | 600 | 97,266 | ||||||
Intuitive Surgical, Inc.* | 153 | 91,961 | ||||||
Baxter International, Inc. | 2,235 | 91,814 | ||||||
Archer-Daniels-Midland Co. | 2,429 | 88,197 | ||||||
Estee Lauder Companies, Inc. — Class A | 905 | 85,351 | ||||||
Zoetis, Inc. | 1,866 | 82,720 | ||||||
Monster Beverage Corp.* | 613 | 81,762 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,005 | 79,887 | ||||||
Tyson Foods, Inc. — Class A | 1,196 | 79,725 | ||||||
ConAgra Foods, Inc. | 1,771 | 79,022 | ||||||
Kellogg Co. | 1,029 | 78,770 | ||||||
Mylan N.V.* | 1,682 | 77,961 | ||||||
Zimmer Biomet Holdings, Inc. | 730 | 77,840 | ||||||
Nielsen Holdings plc | 1,476 | 77,726 | ||||||
Edwards Lifesciences Corp.* | 876 | 77,272 | ||||||
Perrigo Company plc | 597 | 76,374 | ||||||
Molson Coors Brewing Co. — Class B | 750 | 72,135 | ||||||
AmerisourceBergen Corp. — Class A | 796 | 68,894 | ||||||
Dr Pepper Snapple Group, Inc. | 764 | 68,317 | ||||||
Moody’s Corp. | 692 | 66,820 | ||||||
Clorox Co. | 528 | 66,560 | ||||||
Mead Johnson Nutrition Co. — Class A | 761 | 64,662 | ||||||
St. Jude Medical, Inc. | 1,157 | 63,635 | ||||||
JM Smucker Co. | 488 | 63,362 | ||||||
CR Bard, Inc. | 301 | 61,004 | ||||||
DENTSPLY SIRONA, Inc. | 984 | 60,644 | ||||||
Henry Schein, Inc.* | 334 | 57,658 | ||||||
Equifax, Inc. | 484 | 55,316 | ||||||
Hershey Co. | 585 | 53,873 | ||||||
Verisk Analytics, Inc. — Class A* | 631 | 50,430 | ||||||
DaVita HealthCare Partners, Inc.* | 676 | 49,605 | ||||||
Church & Dwight Company, Inc. | 529 | 48,763 | ||||||
Laboratory Corporation of America Holdings* | 415 | 48,609 | ||||||
Hormel Foods Corp. | 1,103 | 47,694 | ||||||
McCormick & Company, Inc. | 471 | 46,855 | ||||||
Campbell Soup Co. | 734 | 46,822 | ||||||
Universal Health Services, Inc. — Class B | 369 | 46,022 | ||||||
Coca-Cola Enterprises, Inc. | 853 | 43,281 | ||||||
Centene Corp.* | 693 | 42,668 | ||||||
Quest Diagnostics, Inc. | 582 | 41,584 | ||||||
Whole Foods Market, Inc. | 1,324 | 41,190 | ||||||
Brown-Forman Corp. — Class B | 410 | 40,373 | ||||||
Western Union Co. | 2,048 | 39,506 | ||||||
Hologic, Inc.* | 1,006 | 34,707 | ||||||
Total System Services, Inc. | 688 | 32,735 | ||||||
Cintas Corp. | 357 | 32,062 | ||||||
Varian Medical Systems, Inc.* | 390 | 31,208 | ||||||
Mallinckrodt plc* | 457 | 28,005 | ||||||
ADT Corp. | 674 | 27,809 | ||||||
Avery Dennison Corp. | 365 | 26,320 | ||||||
H&R Block, Inc. | 963 | 25,442 | ||||||
Robert Half International, Inc. | 535 | 24,920 | ||||||
Endo International plc* | 834 | 23,477 | ||||||
United Rentals, Inc.* | 371 | 23,072 | ||||||
Patterson Companies, Inc. | 341 | 15,867 | ||||||
Quanta Services, Inc.* | 652 | 14,709 | ||||||
Tenet Healthcare Corp.* | 402 | 11,630 | ||||||
Total Consumer, Non-cyclical | 17,594,526 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
Financial - 9.1% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 7,644 | $ | 1,084,531 | |||||
Wells Fargo & Co. | 18,848 | 911,489 | ||||||
JPMorgan Chase & Co. | 14,974 | 886,761 | ||||||
Visa, Inc. — Class A | 7,830 | 598,838 | ||||||
Bank of America Corp. | 42,127 | 569,558 | ||||||
Citigroup, Inc. | 12,028 | 502,169 | ||||||
MasterCard, Inc. — Class A | 4,000 | 378,000 | ||||||
U.S. Bancorp | 6,663 | 270,451 | ||||||
Simon Property Group, Inc. | 1,262 | 262,105 | ||||||
American International Group, Inc. | 4,690 | 253,494 | ||||||
Goldman Sachs Group, Inc. | 1,603 | 251,639 | ||||||
Chubb Ltd. | 1,880 | 224,002 | ||||||
American Express Co. | 3,343 | 205,260 | ||||||
MetLife, Inc. | 4,474 | 196,588 | ||||||
American Tower Corp. — Class A | 1,729 | 176,997 | ||||||
BlackRock, Inc. — Class A | 515 | 175,393 | ||||||
PNC Financial Services Group, Inc. | 2,044 | 172,861 | ||||||
Public Storage | 601 | 165,774 | ||||||
Bank of New York Mellon Corp. | 4,389 | 161,647 | ||||||
Morgan Stanley | 6,233 | 155,887 | ||||||
Capital One Financial Corp. | 2,152 | 149,155 | ||||||
Travelers Companies, Inc. | 1,203 | 140,402 | ||||||
Charles Schwab Corp. | 4,903 | 137,382 | ||||||
CME Group, Inc. — Class A | 1,381 | 132,645 | ||||||
Prudential Financial, Inc. | 1,820 | 131,440 | ||||||
Marsh & McLennan Companies, Inc. | 2,127 | 129,300 | ||||||
Crown Castle International Corp. | 1,362 | 117,813 | ||||||
Aon plc | 1,102 | 115,104 | ||||||
Intercontinental Exchange, Inc. | 485 | 114,043 | ||||||
Equity Residential | 1,490 | 111,794 | ||||||
Aflac, Inc. | 1,714 | 108,222 | ||||||
AvalonBay Communities, Inc. | 559 | 106,322 | ||||||
BB&T Corp. | 3,184 | 105,932 | ||||||
Allstate Corp. | 1,543 | 103,952 | ||||||
Welltower, Inc. | 1,449 | 100,474 | ||||||
Weyerhaeuser Co. | 3,221 | 99,787 | ||||||
Synchrony Financial* | 3,402 | 97,501 | ||||||
State Street Corp. | 1,632 | 95,505 | ||||||
Prologis, Inc. | 2,141 | 94,589 | ||||||
Equinix, Inc. | 281 | 92,930 | ||||||
Ventas, Inc. | 1,371 | 86,318 | ||||||
Discover Financial Services | 1,690 | 86,055 | ||||||
Progressive Corp. | 2,384 | 83,774 | ||||||
Boston Properties, Inc. | 627 | 79,679 | ||||||
Hartford Financial Services Group, Inc. | 1,618 | 74,557 | ||||||
T. Rowe Price Group, Inc. | 1,013 | 74,415 | ||||||
SunTrust Banks, Inc. | 2,060 | 74,325 | ||||||
M&T Bank Corp. | 649 | 72,039 | ||||||
General Growth Properties, Inc. | 2,376 | 70,638 | ||||||
Vornado Realty Trust | 723 | 68,273 | ||||||
Willis Towers Watson plc | 564 | 66,924 | ||||||
Ameriprise Financial, Inc. | 689 | 64,773 | ||||||
Realty Income Corp. | 1,022 | 63,885 | ||||||
Essex Property Trust, Inc. | 267 | 62,441 | ||||||
HCP, Inc. | 1,899 | 61,869 | ||||||
Franklin Resources, Inc. | 1,523 | 59,473 | ||||||
Northern Trust Corp. | 878 | 57,219 | ||||||
Fifth Third Bancorp | 3,195 | 53,325 | ||||||
Alliance Data Systems Corp.* | 242 | 53,240 | ||||||
Invesco Ltd. | 1,699 | 52,278 | ||||||
Host Hotels & Resorts, Inc. | 3,069 | 51,252 | ||||||
Kimco Realty Corp. | 1,688 | 48,581 | ||||||
Extra Space Storage, Inc. | 510 | 47,665 | ||||||
Citizens Financial Group, Inc. | 2,153 | 45,105 | ||||||
Federal Realty Investment Trust | 284 | 44,318 | ||||||
XL Group plc — Class A | 1,190 | 43,792 | ||||||
Principal Financial Group, Inc. | 1,107 | 43,671 | ||||||
UDR, Inc. | 1,090 | 41,998 | ||||||
Loews Corp. | 1,093 | 41,818 | ||||||
Regions Financial Corp. | 5,254 | 41,244 | ||||||
Macerich Co. | 517 | 40,967 | ||||||
SL Green Realty Corp. | 408 | 39,527 | ||||||
Cincinnati Financial Corp. | 603 | 39,412 | ||||||
Lincoln National Corp. | 983 | 38,534 | ||||||
KeyCorp | 3,409 | 37,635 | ||||||
Affiliated Managers Group, Inc.* | 220 | 35,728 | ||||||
CBRE Group, Inc. — Class A* | 1,186 | 34,181 | ||||||
Nasdaq, Inc. | 468 | 31,066 | ||||||
Huntington Bancshares, Inc. | 3,244 | 30,948 | ||||||
Unum Group | 975 | 30,147 | ||||||
E*TRADE Financial Corp.* | 1,153 | 28,237 | ||||||
Comerica, Inc. | 713 | 27,001 | ||||||
Apartment Investment & Management Co. — Class A | 639 | 26,723 | ||||||
Iron Mountain, Inc. | 785 | 26,619 | ||||||
Torchmark Corp. | 460 | 24,914 | ||||||
Assurant, Inc. | 264 | 20,368 | ||||||
Zions Bancorporation | 834 | 20,191 | ||||||
People’s United Financial, Inc. | 1,267 | 20,183 | ||||||
Navient Corp. | 1,399 | 16,746 | ||||||
Legg Mason, Inc. | 439 | 15,225 | ||||||
Total Financial | 12,287,032 | |||||||
Communications - 7.1% | ||||||||
Facebook, Inc. — Class A* | 9,363 | 1,068,318 | ||||||
AT&T, Inc. | 25,096 | 983,010 | ||||||
Amazon.com, Inc.* | 1,575 | 934,983 | ||||||
Alphabet, Inc. — Class A* | 1,194 | 910,903 | ||||||
Alphabet, Inc. — Class C* | 1,212 | 902,879 | ||||||
Verizon Communications, Inc. | 16,621 | 898,864 | ||||||
Walt Disney Co. | 6,124 | 608,174 | ||||||
Comcast Corp. — Class A | 9,926 | 606,280 | ||||||
Cisco Systems, Inc. | 20,530 | 584,489 | ||||||
Priceline Group, Inc.* | 202 | 260,369 | ||||||
Time Warner Cable, Inc. | 1,156 | 236,541 | ||||||
Time Warner, Inc. | 3,224 | 233,901 |
12 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
Netflix, Inc.* | 1,747 | $ | 178,596 | |||||
Yahoo!, Inc.* | 3,554 | 130,823 | ||||||
Twenty-First Century Fox, Inc. — Class A | 4,567 | 127,328 | ||||||
eBay, Inc.* | 4,424 | 105,557 | ||||||
CBS Corp. — Class B | 1,721 | 94,810 | ||||||
Omnicom Group, Inc. | 977 | 81,316 | ||||||
CenturyLink, Inc. | 2,219 | 70,919 | ||||||
Level 3 Communications, Inc.* | 1,179 | 62,310 | ||||||
Viacom, Inc. — Class B | 1,413 | 58,329 | ||||||
Expedia, Inc. | 483 | 52,077 | ||||||
Twenty-First Century Fox, Inc. — Class B | 1,759 | 49,604 | ||||||
Motorola Solutions, Inc. | 647 | 48,978 | ||||||
Symantec Corp. | 2,661 | 48,909 | ||||||
Interpublic Group of Companies, Inc. | 1,641 | 37,661 | ||||||
Juniper Networks, Inc. | 1,436 | 36,632 | ||||||
VeriSign, Inc.* | 393 | 34,796 | ||||||
TripAdvisor, Inc.* | 465 | 30,923 | ||||||
Cablevision Systems Corp. — Class A | 908 | 29,964 | ||||||
F5 Networks, Inc.* | 281 | 29,744 | ||||||
Frontier Communications Corp. | 4,766 | 26,642 | ||||||
Discovery Communications, Inc. — Class C* | 971 | 26,216 | ||||||
Scripps Networks Interactive, Inc. — Class A | 387 | 25,349 | ||||||
TEGNA, Inc. | 896 | 21,020 | ||||||
News Corp. — Class A | 1,550 | 19,794 | ||||||
Discovery Communications, Inc. — Class A* | 612 | 17,522 | ||||||
News Corp. — Class B | 440 | 5,830 | ||||||
Total Communications | 9,680,360 | |||||||
Technology - 7.1% | ||||||||
Apple, Inc. | 22,621 | 2,465,464 | ||||||
Microsoft Corp. | 32,269 | 1,782,217 | ||||||
Intel Corp. | 19,273 | 623,481 | ||||||
International Business Machines Corp. | 3,607 | 546,280 | ||||||
Oracle Corp. | 12,855 | 525,898 | ||||||
QUALCOMM, Inc. | 6,099 | 311,903 | ||||||
Accenture plc — Class A | 2,562 | 295,655 | ||||||
Texas Instruments, Inc. | 4,101 | 235,479 | ||||||
Broadcom Ltd. | 1,513 | 233,759 | ||||||
EMC Corp. | 7,944 | 211,707 | ||||||
Adobe Systems, Inc.* | 2,033 | 190,695 | ||||||
salesforce.com, Inc.* | 2,573 | 189,965 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 2,485 | 155,810 | ||||||
Hewlett Packard Enterprise Co. | 7,003 | 124,163 | ||||||
Intuit, Inc. | 1,048 | 109,002 | ||||||
Applied Materials, Inc. | 4,613 | 97,703 | ||||||
Fiserv, Inc.* | 910 | 93,348 | ||||||
HP, Inc. | 7,045 | 86,794 | ||||||
Electronic Arts, Inc.* | 1,262 | 83,431 | ||||||
Analog Devices, Inc. | 1,265 | 74,875 | ||||||
NVIDIA Corp. | 2,085 | 74,289 | ||||||
Fidelity National Information Services, Inc. | 1,126 | 71,287 | ||||||
Paychex, Inc. | 1,311 | 70,807 | ||||||
Activision Blizzard, Inc. | 2,069 | 70,015 | ||||||
Cerner Corp.* | 1,235 | 65,406 | ||||||
SanDisk Corp. | 820 | 62,386 | ||||||
Skyworks Solutions, Inc. | 782 | 60,918 | ||||||
Red Hat, Inc.* | 745 | 55,510 | ||||||
Autodesk, Inc.* | 919 | 53,587 | ||||||
Lam Research Corp. | 648 | 53,525 | ||||||
Xilinx, Inc. | 1,043 | 49,469 | ||||||
Citrix Systems, Inc.* | 628 | 49,348 | ||||||
KLA-Tencor Corp. | 635 | 46,234 | ||||||
Western Digital Corp. | 950 | 44,878 | ||||||
Micron Technology, Inc.* | 4,233 | 44,320 | ||||||
Linear Technology Corp. | 976 | 43,491 | ||||||
Xerox Corp. | 3,885 | 43,357 | ||||||
Seagate Technology plc | 1,209 | 41,650 | ||||||
Akamai Technologies, Inc.* | 721 | 40,066 | ||||||
Microchip Technology, Inc. | 830 | 40,006 | ||||||
CA, Inc. | 1,207 | 37,164 | ||||||
NetApp, Inc. | 1,179 | 32,175 | ||||||
Qorvo, Inc.* | 527 | 26,566 | ||||||
Pitney Bowes, Inc. | 782 | 16,844 | ||||||
Dun & Bradstreet Corp. | 148 | 15,256 | ||||||
CSRA, Inc. | 556 | 14,956 | ||||||
Teradata Corp.* | 543 | 14,248 | ||||||
Total Technology | 9,675,387 | |||||||
Consumer, Cyclical - 5.8% | ||||||||
Home Depot, Inc. | 5,173 | 690,233 | ||||||
CVS Health Corp. | 4,482 | 464,918 | ||||||
McDonald’s Corp. | 3,678 | 462,251 | ||||||
Wal-Mart Stores, Inc. | 6,401 | 438,403 | ||||||
Starbucks Corp. | 6,030 | 359,991 | ||||||
NIKE, Inc. — Class B | 5,507 | 338,515 | ||||||
Walgreens Boots Alliance, Inc. | 3,521 | 296,609 | ||||||
Lowe’s Companies, Inc. | 3,734 | 282,851 | ||||||
Costco Wholesale Corp. | 1,794 | 282,699 | ||||||
Ford Motor Co. | 15,906 | 214,731 | ||||||
TJX Companies, Inc. | 2,732 | 214,052 | ||||||
Target Corp. | 2,457 | 202,162 | ||||||
General Motors Co. | 5,734 | 180,220 | ||||||
Delta Air Lines, Inc. | 3,176 | 154,607 | ||||||
Yum! Brands, Inc. | 1,667 | 136,444 | ||||||
Southwest Airlines Co. | 2,603 | 116,614 | ||||||
O’Reilly Automotive, Inc.* | 397 | 108,643 | ||||||
Johnson Controls, Inc. | 2,645 | 103,075 | ||||||
Dollar General Corp. | 1,187 | 101,607 | ||||||
American Airlines Group, Inc. | 2,460 | 100,885 | ||||||
AutoZone, Inc.* | 123 | 97,993 | ||||||
Carnival Corp. | 1,839 | 97,044 | ||||||
Ross Stores, Inc. | 1,652 | 95,650 | ||||||
L Brands, Inc. | 1,039 | 91,235 | ||||||
VF Corp. | 1,385 | 89,692 | ||||||
United Continental Holdings, Inc.* | 1,467 | 87,815 | ||||||
Delphi Automotive plc | 1,132 | 84,923 | ||||||
Dollar Tree, Inc.* | 958 | 78,997 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
PACCAR, Inc. | 1,433 | $ | 78,371 | |||||
Under Armour, Inc. — Class A* | 741 | 62,859 | ||||||
Genuine Parts Co. | 610 | 60,609 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 123 | 57,929 | ||||||
Fastenal Co. | 1,177 | 57,673 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 689 | 57,483 | ||||||
Royal Caribbean Cruises Ltd. | 692 | 56,848 | ||||||
Whirlpool Corp. | 315 | 56,807 | ||||||
Macy’s, Inc. | 1,266 | 55,818 | ||||||
Marriott International, Inc. — Class A | 776 | 55,236 | ||||||
WW Grainger, Inc. | 232 | 54,156 | ||||||
Mohawk Industries, Inc.* | 259 | 49,443 | ||||||
Tractor Supply Co. | 546 | 49,391 | ||||||
Newell Rubbermaid, Inc. | 1,090 | 48,276 | ||||||
Advance Auto Parts, Inc. | 299 | 47,942 | ||||||
Mattel, Inc. | 1,387 | 46,631 | ||||||
Coach, Inc. | 1,133 | 45,422 | ||||||
Hanesbrands, Inc. | 1,598 | 45,287 | ||||||
Michael Kors Holdings Ltd.* | 732 | 41,695 | ||||||
CarMax, Inc.* | 799 | 40,829 | ||||||
DR Horton, Inc. | 1,343 | 40,599 | ||||||
Signet Jewelers Ltd. | 324 | 40,186 | ||||||
Harley-Davidson, Inc. | 751 | 38,549 | ||||||
Best Buy Company, Inc. | 1,149 | 37,274 | ||||||
Hasbro, Inc. | 458 | 36,686 | ||||||
Kohl’s Corp. | 774 | 36,076 | ||||||
Goodyear Tire & Rubber Co. | 1,089 | 35,915 | ||||||
Lennar Corp. — Class A | 735 | 35,545 | ||||||
Wyndham Worldwide Corp. | 459 | 35,081 | ||||||
BorgWarner, Inc. | 892 | 34,253 | ||||||
Tiffany & Co. | 455 | 33,388 | ||||||
Bed Bath & Beyond, Inc.* | 667 | 33,110 | ||||||
PVH Corp. | 334 | 33,086 | ||||||
Darden Restaurants, Inc. | 471 | 31,227 | ||||||
Wynn Resorts Ltd. | 332 | 31,019 | ||||||
Nordstrom, Inc. | 524 | 29,978 | ||||||
Staples, Inc. | 2,635 | 29,064 | ||||||
The Gap, Inc. | 923 | 27,136 | ||||||
Leggett & Platt, Inc. | 554 | 26,814 | ||||||
Harman International Industries, Inc. | 290 | 25,822 | ||||||
PulteGroup, Inc. | 1,296 | 24,248 | ||||||
Ralph Lauren Corp. — Class A | 237 | 22,814 | ||||||
AutoNation, Inc.* | 302 | 14,097 | ||||||
GameStop Corp. — Class A | 427 | 13,549 | ||||||
Urban Outfitters, Inc.* | 354 | 11,714 | ||||||
Total Consumer, Cyclical | 7,798,794 | |||||||
Industrial - 5.1% | ||||||||
General Electric Co. | 38,068 | 1,210,183 | ||||||
3M Co. | 2,468 | 411,243 | ||||||
Honeywell International, Inc. | 3,139 | 351,725 | ||||||
Boeing Co. | 2,541 | 322,555 | ||||||
United Technologies Corp. | 3,174 | 317,717 | ||||||
United Parcel Service, Inc. — Class B | 2,816 | 297,004 | ||||||
Union Pacific Corp. | 3,453 | 274,686 | ||||||
Lockheed Martin Corp. | 1,072 | 237,448 | ||||||
Caterpillar, Inc. | 2,376 | 181,859 | ||||||
FedEx Corp. | 1,046 | 170,205 | ||||||
General Dynamics Corp. | 1,193 | 156,724 | ||||||
Raytheon Co. | 1,220 | 149,609 | ||||||
Northrop Grumman Corp. | 738 | 146,050 | ||||||
Emerson Electric Co. | 2,624 | 142,693 | ||||||
Illinois Tool Works, Inc. | 1,336 | 136,860 | ||||||
Eaton Corporation plc | 1,872 | 117,112 | ||||||
Norfolk Southern Corp. | 1,217 | 101,315 | ||||||
CSX Corp. | 3,930 | 101,198 | ||||||
Waste Management, Inc. | 1,691 | 99,769 | ||||||
Corning, Inc. | 4,540 | 94,840 | ||||||
Deere & Co. | 1,222 | 94,082 | ||||||
TE Connectivity Ltd. | 1,508 | 93,375 | ||||||
Roper Technologies, Inc. | 412 | 75,301 | ||||||
Amphenol Corp. — Class A | 1,257 | 72,680 | ||||||
Cummins, Inc. | 661 | 72,670 | ||||||
Stanley Black & Decker, Inc. | 622 | 65,440 | ||||||
Ingersoll-Rand plc | 1,048 | 64,986 | ||||||
Tyco International plc | 1,732 | 63,582 | ||||||
Parker-Hannifin Corp. | 551 | 61,205 | ||||||
Rockwell Automation, Inc. | 536 | 60,970 | ||||||
Vulcan Materials Co. | 543 | 57,324 | ||||||
Agilent Technologies, Inc. | 1,337 | 53,279 | ||||||
Rockwell Collins, Inc. | 535 | 49,332 | ||||||
AMETEK, Inc. | 961 | 48,031 | ||||||
Republic Services, Inc. — Class A | 971 | 46,268 | ||||||
Waters Corp.* | 332 | 43,798 | ||||||
Stericycle, Inc.* | 347 | 43,788 | ||||||
CH Robinson Worldwide, Inc. | 584 | 43,350 | ||||||
Masco Corp. | 1,362 | 42,835 | ||||||
Martin Marietta Materials, Inc. | 262 | 41,792 | ||||||
Ball Corp. | 578 | 41,205 | ||||||
Dover Corp. | 632 | 40,657 | ||||||
WestRock Co. | 1,036 | 40,435 | ||||||
Pentair plc | 744 | 40,369 | ||||||
Textron, Inc. | 1,106 | 40,325 | ||||||
Harris Corp. | 509 | 39,631 | ||||||
Sealed Air Corp. | 800 | 38,408 | ||||||
Kansas City Southern | 443 | 37,854 | ||||||
L-3 Communications Holdings, Inc. | 317 | 37,565 | ||||||
Snap-on, Inc. | 237 | 37,207 | ||||||
Expeditors International of Washington, Inc. | 743 | 36,266 | ||||||
J.B. Hunt Transport Services, Inc. | 363 | 30,579 | ||||||
Fluor Corp. | 567 | 30,448 | ||||||
Xylem, Inc. | 728 | 29,775 | ||||||
Allegion plc | 392 | 24,974 | ||||||
Flowserve Corp. | 531 | 23,582 | ||||||
PerkinElmer, Inc. | 448 | 22,158 | ||||||
Jacobs Engineering Group, Inc.* | 500 | 21,775 | ||||||
Garmin Ltd. | 480 | 19,181 |
14 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
S&P 500® 2x STRATEGY FUND |
Shares | Value | |||||||
FLIR Systems, Inc. | 561 | $ | 18,485 | |||||
Ryder System, Inc. | 218 | 14,122 | ||||||
Owens-Illinois, Inc.* | 657 | 10,486 | ||||||
Total Industrial | 6,890,370 | |||||||
Energy - 3.7% | ||||||||
Exxon Mobil Corp. | 16,943 | 1,416,265 | ||||||
Chevron Corp. | 7,683 | 732,958 | ||||||
Schlumberger Ltd. | 5,113 | 377,085 | ||||||
Occidental Petroleum Corp. | 3,116 | 213,229 | ||||||
ConocoPhillips | 5,044 | 203,122 | ||||||
Phillips 66 | 1,915 | 165,819 | ||||||
EOG Resources, Inc. | 2,243 | 162,797 | ||||||
Kinder Morgan, Inc. | 7,466 | 133,343 | ||||||
Halliburton Co. | 3,502 | 125,091 | ||||||
Valero Energy Corp. | 1,919 | 123,085 | ||||||
Anadarko Petroleum Corp. | 2,074 | 96,586 | ||||||
Pioneer Natural Resources Co. | 666 | 93,733 | ||||||
Spectra Energy Corp. | 2,740 | 83,844 | ||||||
Marathon Petroleum Corp. | 2,159 | 80,272 | ||||||
Baker Hughes, Inc. | 1,786 | 78,280 | ||||||
Apache Corp. | 1,543 | 75,314 | ||||||
Devon Energy Corp. | 2,082 | 57,130 | ||||||
Hess Corp. | 1,080 | 56,862 | ||||||
Noble Energy, Inc. | 1,750 | 54,968 | ||||||
Concho Resources, Inc.* | 527 | 53,248 | ||||||
Cameron International Corp.* | 782 | 52,434 | ||||||
National Oilwell Varco, Inc. | 1,533 | 47,676 | ||||||
Williams Companies, Inc. | 2,785 | 44,755 | ||||||
Equities Corp. | 651 | 43,786 | ||||||
Cabot Oil & Gas Corp. — Class A | 1,869 | 42,445 | ||||||
Tesoro Corp. | 487 | 41,887 | ||||||
Columbia Pipeline Group, Inc. | 1,631 | 40,938 | ||||||
Marathon Oil Corp. | 3,442 | 38,344 | ||||||
Cimarex Energy Co. | 387 | 37,643 | ||||||
Newfield Exploration Co.* | 808 | 26,866 | ||||||
Helmerich & Payne, Inc. | 441 | 25,896 | ||||||
ONEOK, Inc. | 857 | 25,590 | ||||||
FMC Technologies, Inc.* | 926 | 25,335 | ||||||
Range Resources Corp. | 692 | 22,407 | ||||||
First Solar, Inc.* | 311 | 21,294 | ||||||
Murphy Oil Corp. | 660 | 16,625 | ||||||
Southwestern Energy Co.* | 1,590 | 12,831 | ||||||
Transocean Ltd. | 1,396 | 12,759 | ||||||
Chesapeake Energy Corp. | 2,111 | 8,697 | ||||||
Diamond Offshore Drilling, Inc. | 263 | 5,715 | ||||||
Total Energy | 4,976,954 | |||||||
Utilities - 1.9% | ||||||||
Duke Energy Corp. | 2,808 | 226,549 | ||||||
NextEra Energy, Inc. | 1,879 | 222,361 | ||||||
Southern Co. | 3,724 | 192,643 | ||||||
Dominion Resources, Inc. | 2,433 | 182,767 | ||||||
Exelon Corp. | 3,753 | 134,583 | ||||||
American Electric Power Company, Inc. | 2,003 | 132,999 | ||||||
PG&E Corp. | 2,011 | 120,097 | ||||||
PPL Corp. | 2,749 | 104,654 | ||||||
Sempra Energy | 962 | 100,095 | ||||||
Public Service Enterprise Group, Inc. | 2,066 | 97,391 | ||||||
Edison International | 1,329 | 95,542 | ||||||
Consolidated Edison, Inc. | 1,198 | 91,791 | ||||||
Xcel Energy, Inc. | 2,071 | 86,609 | ||||||
WEC Energy Group, Inc. | 1,288 | 77,370 | ||||||
Eversource Energy | 1,294 | 75,492 | ||||||
DTE Energy Co. | 732 | 66,363 | ||||||
FirstEnergy Corp. | 1,728 | 62,156 | ||||||
Entergy Corp. | 728 | 57,716 | ||||||
American Water Works Company, Inc. | 726 | 50,043 | ||||||
Ameren Corp. | 990 | 49,599 | ||||||
CMS Energy Corp. | 1,131 | 48,000 | ||||||
SCANA Corp. | 583 | 40,897 | ||||||
CenterPoint Energy, Inc. | 1,755 | 36,715 | ||||||
Pinnacle West Capital Corp. | 453 | 34,007 | ||||||
AGL Resources, Inc. | 491 | 31,984 | ||||||
AES Corp. | 2,692 | 31,766 | ||||||
NiSource, Inc. | 1,305 | 30,746 | ||||||
TECO Energy, Inc. | 961 | 26,456 | ||||||
NRG Energy, Inc. | 1,285 | 16,718 | ||||||
Total Utilities | 2,524,109 | |||||||
Basic Materials - 1.3% | ||||||||
Dow Chemical Co. | 4,558 | 231,821 | ||||||
EI du Pont de Nemours & Co. | 3,556 | 225,166 | ||||||
Monsanto Co. | 1,797 | 157,669 | ||||||
Praxair, Inc. | 1,162 | 132,991 | ||||||
PPG Industries, Inc. | 1,088 | 121,301 | ||||||
Ecolab, Inc. | 1,087 | 121,222 | ||||||
LyondellBasell Industries N.V. — Class A | 1,411 | 120,753 | ||||||
Air Products & Chemicals, Inc. | 792 | 114,088 | ||||||
Sherwin-Williams Co. | 320 | 91,094 | ||||||
International Paper Co. | 1,677 | 68,824 | ||||||
Nucor Corp. | 1,297 | 61,348 | ||||||
Newmont Mining Corp. | 2,159 | 57,386 | ||||||
Freeport-McMoRan, Inc. | 5,107 | 52,806 | ||||||
Alcoa, Inc. | 5,364 | 51,387 | ||||||
Eastman Chemical Co. | 603 | 43,555 | ||||||
Mosaic Co. | 1,438 | 38,826 | ||||||
Airgas, Inc. | 266 | 37,676 | ||||||
International Flavors & Fragrances, Inc. | 326 | 37,089 | ||||||
CF Industries Holdings, Inc. | 951 | 29,804 | ||||||
FMC Corp. | 545 | 22,002 | ||||||
Total Basic Materials | 1,816,808 | |||||||
Diversified - 0.0% | ||||||||
Leucadia National Corp. | 1,360 | 21,991 | ||||||
Total Common Stocks | ||||||||
(Cost $42,150,347) | 73,266,331 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2016 |
S&P 500® 2x STRATEGY FUND |
Face | Value | |||||||
FEDERAL AGENCY NOTES†† - 3.7% | ||||||||
Federal Farm Credit Bank1 | ||||||||
0.42% due 08/01/172 | $ | 5,000,000 | $ | 4,990,775 | ||||
Total Federal Agency Notes | ||||||||
(Cost $5,000,000) | 4,990,775 | |||||||
REPURCHASE AGREEMENTS††,3 - 19.8% | ||||||||
HSBC Group | 14,218,244 | 14,218,244 | ||||||
Royal Bank of Canada | 12,542,925 | 12,542,925 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $26,761,169) | 26,761,169 | |||||||
Total Investments - 77.6% | ||||||||
(Cost $73,911,516) | $ | 105,018,275 | ||||||
Other Assets & Liabilities, net - 22.4% | 30,319,686 | |||||||
Total Net Assets - 100.0% | $ | 135,337,961 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
June 2016 S&P 500 Index | 162 | $ | 196,657 |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International | 19,729 | $ | 347,449 | |||||
Barclays Bank plc | 67,722 | 259,141 | ||||||
Credit Suisse Capital, LLC | 401 | 9,356 | ||||||
(Total Notional Value $180,952,524) | $ | 615,946 |
* | 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 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | Variable rate security. Rate indicated is rate effective at March 31, 2016. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
5 | Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
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 March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Common Stocks | $ | 73,266,331 | $ | — | $ | — | $ | — | $ | — | $ | 73,266,331 | ||||||||||||
Equity Futures Contracts | — | 196,657 | — | — | — | 196,657 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 615,946 | — | 615,946 | ||||||||||||||||||
Federal Agency Notes | — | — | 4,990,775 | — | — | 4,990,775 | ||||||||||||||||||
Repurchase Agreements | — | — | 26,761,169 | — | — | 26,761,169 | ||||||||||||||||||
Total | $ | 73,266,331 | $ | 196,657 | $ | 31,751,944 | $ | 615,946 | $ | — | $ | 105,830,878 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
16 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Investments, at value (cost $47,150,347) | $ | 78,257,106 | ||
Repurchase agreements, at value (cost $26,761,169) | 26,761,169 | |||
Total investments (cost $73,911,516) | 105,018,275 | |||
Segregated cash with broker | 11,704,501 | |||
Unrealized appreciation on swap agreements | 615,946 | |||
Cash | 1,739 | |||
Receivables: | ||||
Fund shares sold | 21,955,932 | |||
Swap settlement | 130,651 | |||
Dividends | 100,806 | |||
Interest | 2,008 | |||
Securities sold | 379 | |||
Foreign taxes reclaim | 134 | |||
Total assets | 139,530,371 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 3,858,269 | |||
Management fees | 88,255 | |||
Variation margin | 33,906 | |||
Distribution and service fees | 30,174 | |||
Transfer agent and administrative fees | 24,515 | |||
Portfolio accounting fees | 14,709 | |||
Miscellaneous | 142,582 | |||
Total liabilities | 4,192,410 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 135,337,961 | ||
Net assets consist of: | ||||
Paid in capital | $ | 121,475,935 | ||
Accumulated net investment loss | (24,296 | ) | ||
Accumulated net realized loss on investments | (18,033,040 | ) | ||
Net unrealized appreciation on investments | 31,919,362 | |||
Net assets | $ | 135,337,961 | ||
A-Class: | ||||
Net assets | $ | 12,010,596 | ||
Capital shares outstanding | 176,669 | |||
Net asset value per share | $ | 67.98 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 71.37 | ||
C-Class: | ||||
Net assets | $ | 9,373,309 | ||
Capital shares outstanding | 156,111 | |||
Net asset value per share | $ | 60.04 | ||
H-Class: | ||||
Net assets | $ | 113,954,056 | ||
Capital shares outstanding | 1,678,064 | |||
Net asset value per share | $ | 67.91 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $283) | $ | 2,116,019 | ||
Interest | 31,897 | |||
Income from securities lending, net | 760 | |||
Other income | 15 | |||
Total investment income | 2,148,691 | |||
Expenses: | ||||
Management fees | 1,277,469 | |||
Transfer agent and administrative fees | 354,854 | |||
Distribution and service fees: | ||||
A-Class | 33,010 | |||
C-Class | 104,613 | |||
H-Class | 295,693 | |||
Portfolio accounting fees | 212,914 | |||
Custodian fees | 16,476 | |||
Trustees’ fees* | 9,713 | |||
Line of credit fees | 833 | |||
Miscellaneous | 263,235 | |||
Total expenses | 2,568,810 | |||
Net investment loss | (420,119 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (657,876 | ) | ||
Swap agreements | (6,055,165 | ) | ||
Futures contracts | 2,364,366 | |||
Net realized loss | (4,348,675 | ) | ||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | (3,567,069 | ) | ||
Swap agreements | (76,993 | ) | ||
Futures contracts | (314,261 | ) | ||
Net change in unrealized appreciation(depreciation) | (3,958,323 | ) | ||
Net realized and unrealized loss | (8,306,998 | ) | ||
Net decrease in net assets resulting from operations | $ | (8,727,117 | ) |
* | 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 ANNUAL REPORT | 17 |
S&P 500® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (420,119 | ) | $ | (557,265 | ) | ||
Net realized gain (loss) on investments | (4,348,675 | ) | 24,930,428 | |||||
Net change in unrealized appreciation (depreciation) on investments | (3,958,323 | ) | 8,219,688 | |||||
Net increase (decrease) in net assets resulting from operations | (8,727,117 | ) | 32,592,851 | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | (202,503 | ) | (299,458 | ) | ||||
C-Class | (161,219 | ) | (276,578 | ) | ||||
H-Class | (1,676,089 | ) | (3,590,120 | ) | ||||
Total distributions to shareholders | (2,039,811 | ) | (4,166,156 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 48,134,741 | 60,043,935 | ||||||
C-Class | 61,912,957 | 58,313,217 | ||||||
H-Class | 1,830,598,918 | 2,268,089,063 | ||||||
Distributions reinvested | ||||||||
A-Class | 184,629 | 260,474 | ||||||
C-Class | 143,367 | 247,728 | ||||||
H-Class | 1,437,179 | 3,043,371 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (49,237,552 | ) | (58,127,516 | ) | ||||
C-Class | (64,436,179 | ) | (60,614,062 | ) | ||||
H-Class | (1,858,961,590 | ) | (2,260,650,570 | ) | ||||
Net increase (decrease) from capital share transactions | (30,223,530 | ) | 10,605,640 | |||||
Net increase (decrease) in net assets | (40,990,458 | ) | 39,032,335 | |||||
Net assets: | ||||||||
Beginning of year | 176,328,419 | 137,296,084 | ||||||
End of year | $ | 135,337,961 | $ | 176,328,419 | ||||
(Accumulated net investment loss)/Undistributed net investment income at end of year | $ | (24,296 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 711,861 | 900,715 | ||||||
C-Class | 1,050,743 | 1,006,803 | ||||||
H-Class | 27,312,667 | 34,898,257 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 2,693 | 3,739 | ||||||
C-Class | 2,363 | 3,980 | ||||||
H-Class | 20,987 | 43,720 | ||||||
Shares redeemed | ||||||||
A-Class | (734,839 | ) | (874,631 | ) | ||||
C-Class | (1,088,284 | ) | (1,043,678 | ) | ||||
H-Class | (27,802,476 | ) | (34,772,046 | ) | ||||
Net increase (decrease) in shares | (524,285 | ) | 166,859 |
18 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.18 | $ | 58.57 | $ | 40.90 | $ | 33.77 | $ | 26.15 | $ | 27.31 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.16 | ) | (.19 | ) | (.20 | ) | (.06 | ) | (.15 | ) | (.18 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.02 | ) | 13.36 | 17.87 | 7.19 | 7.77 | (.98 | ) | ||||||||||||||||
Total from investment operations | (1.18 | ) | 13.17 | 17.67 | 7.13 | 7.62 | (1.16 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (1.02 | ) | (1.56 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.02 | ) | (1.56 | ) | — | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 67.98 | $ | 70.18 | $ | 58.57 | $ | 40.90 | $ | 33.77 | $ | 26.15 | ||||||||||||
Total Returnd | (1.69 | %) | 22.51 | % | 43.20 | % | 21.11 | % | 29.14 | % | (4.21 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,011 | $ | 13,822 | $ | 9,788 | $ | 6,537 | $ | 5,092 | $ | 5,982 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.23 | %) | (0.29 | %) | (0.40 | %) | (0.59 | %) | (0.49 | %) | (0.66 | %) | ||||||||||||
Total expenses | 1.76 | % | 1.80 | % | 1.73 | % | 1.77 | % | 1.76 | % | 1.89 | % | ||||||||||||
Portfolio turnover rate | 216 | % | 420 | % | 396 | % | — | e | 548 | % | 311 | % |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 62.57 | $ | 52.75 | $ | 37.12 | $ | 30.71 | $ | 23.94 | $ | 25.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.59 | ) | (.62 | ) | (.49 | ) | (.11 | ) | (.36 | ) | (.35 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.92 | ) | 12.00 | 16.12 | 6.52 | 7.13 | (.87 | ) | ||||||||||||||||
Total from investment operations | (1.51 | ) | 11.38 | 15.63 | 6.41 | 6.77 | (1.22 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (1.02 | ) | (1.56 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.02 | ) | (1.56 | ) | — | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 60.04 | $ | 62.57 | $ | 52.75 | $ | 37.12 | $ | 30.71 | $ | 23.94 | ||||||||||||
Total Returnd | (2.43 | %) | 21.59 | % | 42.11 | % | 20.87 | % | 28.28 | % | (4.81 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,373 | $ | 11,969 | $ | 11,825 | $ | 10,667 | $ | 8,543 | $ | 10,876 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.99 | %) | (1.04 | %) | (1.11 | %) | (1.34 | %) | (1.25 | %) | (1.39 | %) | ||||||||||||
Total expenses | 2.51 | % | 2.55 | % | 2.50 | % | 2.51 | % | 2.51 | % | 2.64 | % | ||||||||||||
Portfolio turnover rate | 216 | % | 420 | % | 396 | % | — | e | 548 | % | 311 | % |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 19 |
S&P 500® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 70.12 | $ | 58.52 | $ | 40.88 | $ | 33.76 | $ | 26.16 | $ | 27.31 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.16 | ) | (.18 | ) | (.19 | ) | (.06 | ) | (.18 | ) | (.21 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.03 | ) | 13.34 | 17.83 | 7.18 | 7.78 | (.94 | ) | ||||||||||||||||
Total from investment operations | (1.19 | ) | 13.16 | 17.64 | 7.12 | 7.60 | (1.15 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (1.02 | ) | (1.56 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.02 | ) | (1.56 | ) | — | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 67.91 | $ | 70.12 | $ | 58.52 | $ | 40.88 | $ | 33.76 | $ | 26.16 | ||||||||||||
Total Returnd | (1.71 | %) | 22.51 | % | 43.12 | % | 21.12 | % | 29.05 | % | (4.21 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 113,954 | $ | 150,537 | $ | 115,683 | $ | 76,933 | $ | 64,617 | $ | 174,336 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.24 | %) | (0.28 | %) | (0.38 | %) | (0.61 | %) | (0.58 | %) | (0.76 | %) | ||||||||||||
Total expenses | 1.76 | % | 1.80 | % | 1.74 | % | 1.76 | % | 1.76 | % | 1.89 | % | ||||||||||||
Portfolio turnover rate | 216 | % | 420 | % | 396 | % | — | e | 548 | % | 311 | % |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges. |
e | Less than 1%. |
20 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
INVERSE 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 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.
For the one-year period ended March 31, 2016, Inverse S&P 500® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the S&P 500® Index. Inverse S&P 500® 2x Strategy Fund H-Class returned -11.74%, while the S&P 500® Index returned 1.78% over the same period.
Sectors contributing the most to the performance of the underlying index were Information Technology and Consumer Staples. The sector detracting the most was Energy, followed by Health Care.
Microsoft Corp., General Electric Co., and Amazon.com, Inc. were the holdings contributing the most to the performance of the underlying index for the period. Apple, Inc., Biogen, Inc., and Kinder Morgan, Inc. — Class P detracted the most from the performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives used during the period were within our expectations and were a factor in the Fund’s negative performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | September 1, 2004 |
C-Class | March 7, 2001 |
H-Class | May 19, 2000 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
THE RYDEX FUNDS ANNUAL REPORT 21 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | 10 Year | |
A-Class Shares | -11.81% | -26.44% | -21.63% |
A-Class Shares with sales charge† | -16.00% | -27.15% | -22.01% |
C-Class Shares | -12.49% | -26.97% | -22.19% |
C-Class Shares with CDSC‡ | -13.37% | -26.97% | -22.19% |
H-Class Shares | -11.74% | -26.40% | -21.60% |
S&P 500 Index | 1.78% | 11.58% | 7.01% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
22 | THE RYDEX FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
INVERSE S&P 500® 2x STRATEGY FUND |
Face | Value | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 18.9% | ||||||||
Federal Home Loan Bank1 | ||||||||
0.35% due 05/06/16 | $ | 10,000,000 | $ | 9,997,470 | ||||
Total Federal Agency Discount Notes | ||||||||
(Cost $9,996,607) | 9,997,470 | |||||||
FEDERAL AGENCY NOTES†† - 11.3% | ||||||||
Federal Farm Credit Bank1 | ||||||||
0.47% due 12/08/172 | 5,000,000 | 4,989,675 | ||||||
0.42% due 08/01/172 | 1,000,000 | 998,155 | ||||||
Total Federal Farm Credit Bank | 5,987,830 | |||||||
Total Federal Agency Notes | ||||||||
(Cost $5,991,119) | 5,987,830 | |||||||
REPURCHASE AGREEMENTS††,3 - 68.5% | ||||||||
HSBC Group | 19,819,352 | 19,819,352 | ||||||
Royal Bank of Canada | 16,363,455 | 16,363,455 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $36,182,807) | 36,182,807 | |||||||
Total Investments - 98.7% | ||||||||
(Cost $52,170,533) | $ | 52,168,107 | ||||||
Other Assets & Liabilities, net - 1.3% | 663,308 | |||||||
Total Net Assets - 100.0% | $ | 52,831,415 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
June 2016 S&P 500 Index | 2 | $ | 535 |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Credit Suisse Capital, LLC | 563 | $ | (13,271 | ) | ||||
Barclays Bank plc | 38,788 | (159,831 | ) | |||||
Goldman Sachs International | 11,864 | (282,378 | ) | |||||
(Total Notional Value $105,490,098) | $ | (455,480 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | Variable rate security. Rate indicated is rate effective at March 31, 2016. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
5 | Total Return based on S&P 500 Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2016 |
INVERSE S&P 500® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 535 | $ | — | $ | — | $ | — | $ | 535 | ||||||||||||
Federal Agency Discount Notes | — | — | 9,997,470 | — | — | 9,997,470 | ||||||||||||||||||
Federal Agency Notes | — | — | 5,987,830 | — | — | 5,987,830 | ||||||||||||||||||
Repurchase Agreements | — | — | 36,182,807 | — | — | 36,182,807 | ||||||||||||||||||
Total | $ | — | $ | 535 | $ | 52,168,107 | $ | — | $ | — | $ | 52,168,642 |
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | — | $ | 455,480 | $ | — | $ | 455,480 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
24 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Investments, at value (cost $15,987,726) | $ | 15,985,300 | ||
Repurchase agreements, at value (cost $36,182,807) | 36,182,807 | |||
Total investments (cost $52,170,533) | 52,168,107 | |||
Segregated cash with broker | 7,449,500 | |||
Receivables: | ||||
Fund shares sold | 1,283,473 | |||
Interest | 2,166 | |||
Variation margin | 470 | |||
Total assets | 60,903,716 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 455,480 | |||
Payable for: | ||||
Fund shares redeemed | 7,132,440 | |||
Swap settlement | 335,495 | |||
Management fees | 60,201 | |||
Distribution and service fees | 18,206 | |||
Transfer agent and administrative fees | 16,722 | |||
Portfolio accounting fees | 10,034 | |||
Miscellaneous | 43,723 | |||
Total liabilities | 8,072,301 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 52,831,415 | ||
Net assets consist of: | ||||
Paid in capital | $ | 380,354,826 | ||
Accumulated net investment loss | (282,865 | ) | ||
Accumulated net realized loss on investments | (326,783,175 | ) | ||
Net unrealized depreciation on investments | (457,371 | ) | ||
Net assets | $ | 52,831,415 | ||
A-Class: | ||||
Net assets | $ | 7,393,199 | ||
Capital shares outstanding | 351,151 | |||
Net asset value per share | $ | 21.05 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 22.10 | ||
C-Class: | ||||
Net assets | $ | 1,675,291 | ||
Capital shares outstanding | 89,286 | |||
Net asset value per share | $ | 18.76 | ||
H-Class: | ||||
Net assets | $ | 43,762,925 | ||
Capital shares outstanding | 2,071,380 | |||
Net asset value per share | $ | 21.13 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Interest | $ | 70,874 | ||
Total investment income | 70,874 | |||
Expenses: | ||||
Management fees | 470,412 | |||
Transfer agent and administrative fees | 130,671 | |||
Distribution and service fees: | ||||
A-Class | 8,799 | |||
C-Class | 20,721 | |||
H-Class | 116,695 | |||
Portfolio accounting fees | 78,404 | |||
Custodian fees | 6,111 | |||
Trustees’ fees* | 2,889 | |||
Miscellaneous | 99,842 | |||
Total expenses | 934,544 | |||
Net investment loss | (863,670 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 11,487 | |||
Swap agreements | (8,782,752 | ) | ||
Futures contracts | (718,594 | ) | ||
Net realized loss | (9,489,859 | ) | ||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | (2,751 | ) | ||
Swap agreements | (184,262 | ) | ||
Futures contracts | (98,705 | ) | ||
Net change in unrealized appreciation(depreciation) | (285,718 | ) | ||
Net realized and unrealized loss | (9,775,577 | ) | ||
Net decrease in net assets resulting from operations | $ | (10,639,247 | ) |
* | 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 ANNUAL REPORT | 25 |
INVERSE S&P 500® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (863,670 | ) | $ | (777,846 | ) | ||
Net realized loss on investments | (9,489,859 | ) | (14,041,546 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (285,718 | ) | 379,288 | |||||
Net decrease in net assets resulting from operations | (10,639,247 | ) | (14,440,104 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 40,082,491 | 53,770,672 | ||||||
C-Class | 72,544,705 | 72,321,445 | ||||||
H-Class | 1,323,355,159 | 809,410,118 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (33,310,915 | ) | (52,660,420 | ) | ||||
C-Class | (73,173,504 | ) | (71,414,452 | ) | ||||
H-Class | (1,297,734,151 | ) | (802,205,531 | ) | ||||
Net increase from capital share transactions | 31,763,785 | 9,221,832 | ||||||
Net increase (decrease) in net assets | 21,124,538 | (5,218,272 | ) | |||||
Net assets: | ||||||||
Beginning of year | 31,706,877 | 36,925,149 | ||||||
End of year | $ | 52,831,415 | $ | 31,706,877 | ||||
Accumulated net investment loss at end of year | $ | (282,865 | ) | $ | (156,433 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 1,705,089 | 2,032,697 | ||||||
C-Class | 3,488,544 | 2,950,914 | ||||||
H-Class | 56,470,957 | 29,482,406 | ||||||
Shares redeemed | ||||||||
A-Class | (1,441,695 | ) | (2,010,395 | ) | ||||
C-Class | (3,510,847 | ) | (2,915,983 | ) | ||||
H-Class | (55,536,408 | ) | (29,361,493 | ) | ||||
Net increase in shares | 1,175,640 | 178,146 |
26 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE 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.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012e | Year Ended December 31, 2011e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.87 | $ | 31.99 | $ | 50.07 | $ | 62.00 | $ | 89.18 | $ | 111.65 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.38 | ) | (.47 | ) | (.69 | ) | (.21 | ) | (1.12 | ) | (1.89 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.44 | ) | (7.65 | ) | (17.39 | ) | (11.72 | ) | (26.06 | ) | (20.58 | ) | ||||||||||||
Total from investment operations | (2.82 | ) | (8.12 | ) | (18.08 | ) | (11.93 | ) | (27.18 | ) | (22.47 | ) | ||||||||||||
Net asset value, end of period | $ | 21.05 | $ | 23.87 | $ | 31.99 | $ | 50.07 | $ | 62.00 | $ | 89.18 | ||||||||||||
Total Returnd | (11.81 | %) | (25.38 | %) | (36.08 | %) | (19.30 | %) | (30.46 | %) | (20.13 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,393 | $ | 2,095 | $ | 2,094 | $ | 4,921 | $ | 5,295 | $ | 6,138 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.60 | %) | (1.73 | %) | (1.70 | %) | (1.66 | %) | (1.62 | %) | (1.84 | %) | ||||||||||||
Total expenses | 1.76 | % | 1.77 | % | 1.74 | % | 1.75 | % | 1.75 | % | 1.93 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012e | Year Ended December 31, 2011e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.45 | $ | 28.97 | $ | 45.66 | $ | 56.60 | $ | 81.96 | $ | 103.28 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.50 | ) | (.63 | ) | (.91 | ) | (.28 | ) | (1.54 | ) | (2.38 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.19 | ) | (6.89 | ) | (15.78 | ) | (10.66 | ) | (23.82 | ) | (18.94 | ) | ||||||||||||
Total from investment operations | (2.69 | ) | (7.52 | ) | (16.69 | ) | (10.94 | ) | (25.36 | ) | (21.32 | ) | ||||||||||||
Net asset value, end of period | $ | 18.76 | $ | 21.45 | $ | 28.97 | $ | 45.66 | $ | 56.60 | $ | 81.96 | ||||||||||||
Total Returnd | (12.49 | %) | (25.96 | %) | (36.52 | %) | (19.41 | %) | (30.91 | %) | (20.61 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,675 | $ | 2,393 | $ | 2,221 | $ | 3,854 | $ | 4,187 | $ | 6,860 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.35 | %) | (2.47 | %) | (2.45 | %) | (2.39 | %) | (2.37 | %) | (2.58 | %) | ||||||||||||
Total expenses | 2.47 | % | 2.51 | % | 2.49 | % | 2.47 | % | 2.50 | % | 2.68 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 27 |
INVERSE S&P 500® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended | Year Ended December 31, 2011e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.94 | $ | 32.10 | $ | 50.26 | $ | 62.19 | $ | 89.41 | $ | 111.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.38 | ) | (.47 | ) | (.69 | ) | (.21 | ) | (1.19 | ) | (1.89 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.43 | ) | (7.69 | ) | (17.47 | ) | (11.72 | ) | (26.03 | ) | (20.51 | ) | ||||||||||||
Total from investment operations | (2.81 | ) | (8.16 | ) | (18.16 | ) | (11.93 | ) | (27.22 | ) | (22.40 | ) | ||||||||||||
Net asset value, end of period | $ | 21.13 | $ | 23.94 | $ | 32.10 | $ | 50.26 | $ | 62.19 | $ | 89.41 | ||||||||||||
Total Returnd | (11.74 | %) | (25.42 | %) | (36.13 | %) | (19.14 | %) | (30.46 | %) | (20.04 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,763 | $ | 27,218 | $ | 32,610 | $ | 55,573 | $ | 52,066 | $ | 73,750 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.63 | %) | (1.73 | %) | (1.70 | %) | (1.67 | %) | (1.64 | %) | (1.83 | %) | ||||||||||||
Total expenses | 1.76 | % | 1.77 | % | 1.74 | % | 1.76 | % | 1.76 | % | 1.93 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges. |
e | Reverse Share Split — Per share amounts for periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
28 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
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.
For the one-year period ended March 31, 2016, with the NASDAQ-100® Index returning 4.74%, the NASDAQ-100® 2x Strategy Fund H-Class returned 2.83%. For the one-year period ended March 31, 2016, the Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the NASDAQ-100® Index.
The Information Technology sector contributed the most to the performance of the underlying index, followed by the Consumer Discretionary sector. Health Care was the sector that detracted the most from performance, followed by the Industrials sector.
Microsoft Corp., Amazon.com, Inc., and Facebook, Inc. — Class A were the holdings contributing the most to the performance of the underlying index for the year. Apple, Inc., Biogen, Inc., and Express Scripts Holding Co. detracted the most from the performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | September 1, 2004 |
C-Class | November 20, 2000 |
H-Class | May 24, 2000 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 9.1% |
Microsoft Corp. | 6.6% |
Amazon.com, Inc. | 4.2% |
Facebook, Inc. — Class A | 4.0% |
Alphabet, Inc. — Class C | 3.9% |
Alphabet, Inc. — Class A | 3.4% |
Intel Corp. | 2.3% |
Comcast Corp. — Class A | 2.2% |
Cisco Systems, Inc. | 2.2% |
Gilead Sciences, Inc. | 1.9% |
Top Ten Total | 39.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE RYDEX FUNDS ANNUAL REPORT 29 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | 10 Year | |
A-Class Shares | 2.83% | 26.02% | 13.87% |
A-Class Shares with sales charge† | -2.05% | 24.80% | 13.32% |
C-Class Shares | 2.05% | 25.05% | 12.99% |
C-Class Shares with CDSC‡ | 1.08% | 25.05% | 12.99% |
H-Class Shares | 2.83% | 26.00% | 13.86% |
NASDAQ-100 Index | 4.74% | 15.34% | 11.19% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
30 | THE RYDEX FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
NASDAQ-100® 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 77.7% | ||||||||
Technology - 28.0% | ||||||||
Apple, Inc. | 224,516 | $ | 24,469,999 | |||||
Microsoft Corp. | 320,270 | 17,688,512 | ||||||
Intel Corp. | 191,289 | 6,188,198 | ||||||
QUALCOMM, Inc. | 60,532 | 3,095,606 | ||||||
Texas Instruments, Inc. | 40,706 | 2,337,338 | ||||||
Adobe Systems, Inc.* | 20,179 | 1,892,790 | ||||||
Broadcom Ltd. | 11,196 | 1,729,782 | ||||||
Cognizant Technology Solutions Corp. — Class A* | 24,665 | 1,546,496 | ||||||
NXP Semiconductor N.V.* | 14,011 | 1,135,872 | ||||||
Intuit, Inc. | 10,399 | 1,081,600 | ||||||
Activision Blizzard, Inc. | 29,762 | 1,007,146 | ||||||
Applied Materials, Inc. | 45,786 | 969,748 | ||||||
Fiserv, Inc.* | 9,028 | 926,092 | ||||||
Electronic Arts, Inc.* | 12,525 | 828,028 | ||||||
Paychex, Inc. | 14,616 | 789,410 | ||||||
NVIDIA Corp. | 21,785 | 776,200 | ||||||
Analog Devices, Inc. | 12,554 | 743,071 | ||||||
Cerner Corp.* | 13,768 | 729,153 | ||||||
Check Point Software Technologies Ltd.* | 7,323 | 640,543 | ||||||
Skyworks Solutions, Inc. | 7,761 | 604,582 | ||||||
Autodesk, Inc.* | 9,124 | 532,020 | ||||||
Lam Research Corp. | 6,434 | 531,448 | ||||||
CA, Inc. | 16,877 | 519,643 | ||||||
Xilinx, Inc. | 10,348 | 490,806 | ||||||
Citrix Systems, Inc.* | 6,235 | 489,946 | ||||||
Western Digital Corp. | 9,426 | 445,285 | ||||||
Micron Technology, Inc.* | 42,010 | 439,845 | ||||||
NetEase, Inc. ADR | 3,055 | 438,637 | ||||||
Linear Technology Corp. | 9,692 | 431,876 | ||||||
Maxim Integrated Products, Inc. | 11,597 | 426,538 | ||||||
Seagate Technology plc | 12,003 | 413,503 | ||||||
Akamai Technologies, Inc.* | 7,157 | 397,714 | ||||||
NetApp, Inc. | 11,838 | 323,059 | ||||||
Total Technology | 75,060,486 | |||||||
Communications - 27.7% | ||||||||
Amazon.com, Inc.* | 19,066 | 11,318,340 | ||||||
Facebook, Inc. — Class A* | 92,928 | 10,603,085 | ||||||
Alphabet, Inc. — Class C* | 13,992 | 10,423,340 | ||||||
Alphabet, Inc. — Class A* | 11,847 | 9,038,076 | ||||||
Comcast Corp. — Class A | 98,517 | 6,017,418 | ||||||
Cisco Systems, Inc. | 203,765 | 5,801,190 | ||||||
Priceline Group, Inc.* | 2,009 | 2,589,520 | ||||||
Baidu, Inc. ADR* | 10,975 | 2,094,908 | ||||||
Netflix, Inc.* | 17,334 | 1,772,055 | ||||||
Yahoo!, Inc.* | 38,339 | 1,411,259 | ||||||
T-Mobile US, Inc.* | 33,141 | 1,269,300 | ||||||
Twenty-First Century Fox, Inc. — Class A | 45,330 | 1,263,800 | ||||||
eBay, Inc.* | 47,729 | 1,138,814 | ||||||
JD.com, Inc. ADR* | 35,322 | 936,033 | ||||||
Charter Communications, Inc. — Class A* | 4,554 | 921,866 | ||||||
Twenty-First Century Fox, Inc. — Class B | 32,334 | 911,819 | ||||||
Liberty Global plc* | 23,528 | 883,712 | ||||||
Sirius XM Holdings, Inc.* | 206,351 | 815,086 | ||||||
Ctrip.com International Ltd. ADR* | 13,933 | 616,675 | ||||||
Expedia, Inc. | 5,580 | 601,636 | ||||||
Viacom, Inc. — Class B | 14,029 | 579,117 | ||||||
Vodafone Group plc ADR | 15,715 | 503,666 | ||||||
Symantec Corp. | 26,410 | 485,416 | ||||||
DISH Network Corp. — Class A* | 9,142 | 422,909 | ||||||
Liberty Global plc — Class A* | 10,237 | 394,125 | ||||||
TripAdvisor, Inc.* | 5,364 | 356,706 | ||||||
Liberty Media Corp. — Class C* | 9,013 | 343,305 | ||||||
Discovery Communications, Inc. — Class C* | 10,252 | 276,804 | ||||||
Liberty Ventures* | 5,467 | 213,869 | ||||||
Discovery Communications, Inc. — Class A* | 6,078 | 174,013 | ||||||
Liberty Media Corp. — Class A* | 4,138 | 159,851 | ||||||
Total Communications | 74,337,713 | |||||||
Consumer, Non-cyclical - 13.9% | ||||||||
Gilead Sciences, Inc. | 55,348 | 5,084,267 | ||||||
Amgen, Inc. | 30,454 | 4,565,968 | ||||||
Kraft Heinz Co. | 49,136 | 3,860,124 | ||||||
Celgene Corp.* | 31,652 | 3,168,049 | ||||||
Mondelez International, Inc. — Class A | 63,527 | 2,548,703 | ||||||
Biogen, Inc.* | 8,855 | 2,305,134 | ||||||
PayPal Holdings, Inc.* | 49,510 | 1,911,086 | ||||||
Express Scripts Holding Co.* | 27,051 | 1,858,133 | ||||||
Automatic Data Processing, Inc. | 18,523 | 1,661,698 | ||||||
Regeneron Pharmaceuticals, Inc.* | 4,166 | 1,501,593 | ||||||
Alexion Pharmaceuticals, Inc.* | 9,123 | 1,270,104 | ||||||
Monster Beverage Corp.* | 8,217 | 1,095,983 | ||||||
Illumina, Inc.* | 5,928 | 960,988 | ||||||
Mylan N.V.* | 19,870 | 920,975 | ||||||
Intuitive Surgical, Inc.* | 1,514 | 909,990 | ||||||
Vertex Pharmaceuticals, Inc.* | 9,978 | 793,151 | ||||||
Henry Schein, Inc.* | 3,318 | 572,786 | ||||||
Incyte Corp.* | 7,580 | 549,323 | ||||||
Verisk Analytics, Inc. — Class A* | 6,804 | 543,776 | ||||||
BioMarin Pharmaceutical, Inc.* | 6,543 | 539,667 | ||||||
Whole Foods Market, Inc. | 13,144 | 408,910 | ||||||
Endo International plc* | 8,998 | 253,294 | ||||||
Total Consumer, Non-cyclical | 37,283,702 | |||||||
Consumer, Cyclical - 7.4% | ||||||||
Walgreens Boots Alliance, Inc. | 43,681 | 3,679,688 | ||||||
Starbucks Corp. | 59,852 | 3,573,164 | ||||||
Costco Wholesale Corp. | 17,808 | 2,806,185 | ||||||
Tesla Motors, Inc.* | 5,348 | 1,228,810 | ||||||
O’Reilly Automotive, Inc.* | 3,935 | 1,076,852 | ||||||
American Airlines Group, Inc. | 24,418 | 1,001,382 | ||||||
Ross Stores, Inc. | 16,400 | 949,560 | ||||||
Dollar Tree, Inc.* | 9,508 | 784,030 | ||||||
PACCAR, Inc. | 14,228 | 778,129 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
NASDAQ-100® 2x STRATEGY FUND |
Shares | Value | |||||||
Marriott International, Inc. — Class A | 10,264 | 730,592 | ||||||
Fastenal Co. | 11,683 | 572,467 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 9,205 | 508,944 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 2,579 | 499,655 | ||||||
Tractor Supply Co. | 5,415 | 489,841 | ||||||
Liberty Interactive Corporation QVC Group — Class A* | 18,554 | 468,489 | ||||||
Mattel, Inc. | 13,768 | 462,880 | ||||||
Bed Bath & Beyond, Inc.* | 6,624 | 328,815 | ||||||
Total Consumer, Cyclical | 19,939,483 | |||||||
Industrial - 0.7% | ||||||||
CSX Corp. | 39,000 | 1,004,250 | ||||||
SBA Communications Corp. — Class A* | 5,072 | 508,062 | ||||||
Stericycle, Inc.* | 3,441 | 434,220 | ||||||
Total Industrial | 1,946,532 | |||||||
Total Common Stocks | ||||||||
(Cost $155,405,342) | 208,567,916 |
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 4.1% | ||||||||
Freddie Mac1 | ||||||||
0.66% due 12/09/16 | $ | 6,000,000 | 5,979,420 | |||||
Federal Home Loan Bank1 | ||||||||
0.36% due 06/01/16 | 5,000,000 | 4,997,375 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $10,969,230) | 10,976,795 | |||||||
FEDERAL AGENCY NOTES†† - 3.0% | ||||||||
Federal Farm Credit Bank1 | ||||||||
0.42% due 08/01/172 | 8,000,000 | 7,985,240 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $8,000,000) | 7,985,240 | |||||||
REPURCHASE AGREEMENTS††,3 - 5.8% | ||||||||
HSBC Group | 10,480,259 | 10,480,259 |
Royal Bank of Canada |
| 5,210,006 | 5,210,006 | |||||
Total Repurchase Agreements | ||||||||
(Cost $15,690,265) | 15,690,265 | |||||||
Total Investments - 90.6% | ||||||||
(Cost $190,064,837) | $ | 243,220,216 | ||||||
Other Assets & Liabilities, net - 9.4% | 25,137,826 | |||||||
Total Net Assets - 100.0% | $ | 268,358,042 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
June 2016 NASDAQ-100 Index | 324 | $ | 1,228,658 |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 56,794 | $ | 901,187 | |||||
Credit Suisse Capital, LLC | 3,560 | 287,713 | ||||||
Goldman Sachs International | 6,257 | 231,747 | ||||||
(Total Notional Value $298,658,118) | $ | 1,420,647 |
* | 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 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | Variable rate security. Rate indicated is rate effective at March 31, 2016. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
5 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
32 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2016 |
NASDAQ-100® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Common Stocks | $ | 208,567,916 | $ | — | $ | — | $ | — | $ | — | $ | 208,567,916 | ||||||||||||
Equity Futures Contracts | — | 1,228,658 | — | — | — | 1,228,658 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 1,420,647 | — | 1,420,647 | ||||||||||||||||||
Federal Agency Discount Notes | — | — | 10,976,795 | — | — | 10,976,795 | ||||||||||||||||||
Federal Agency Notes | — | — | 7,985,240 | — | — | 7,985,240 | ||||||||||||||||||
Repurchase Agreements | — | — | 15,690,265 | — | — | 15,690,265 | ||||||||||||||||||
Total | $ | 208,567,916 | $ | 1,228,658 | $ | 34,652,300 | $ | 1,420,647 | $ | — | $ | 245,869,521 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 33 |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Investments, at value (cost $174,374,572) | $ | 227,529,951 | ||
Repurchase agreements, at value (cost $15,690,265) | 15,690,265 | |||
Total investments (cost $190,064,837) | 243,220,216 | |||
Segregated cash with broker | 25,921,600 | |||
Unrealized appreciation on swap agreements | 1,420,647 | |||
Cash | 4,758 | |||
Receivables: | ||||
Fund shares sold | 6,136,411 | |||
Securities sold | 1,996,886 | |||
Swap settlement | 109,306 | |||
Dividends | 72,589 | |||
Interest | 3,046 | |||
Foreign taxes reclaim | 1,057 | |||
Total assets | 278,886,516 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 9,879,444 | |||
Management fees | 196,396 | |||
Distribution and service fees | 69,106 | |||
Transfer agent and administrative fees | 54,555 | |||
Variation margin | 34,070 | |||
Portfolio accounting fees | 32,733 | |||
Miscellaneous | 262,170 | |||
Total liabilities | 10,528,474 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 268,358,042 | ||
Net assets consist of: | ||||
Paid in capital | $ | 247,940,163 | ||
Undistributed net investment income | 1,525 | |||
Accumulated net realized loss on investments | (35,388,330 | ) | ||
Net unrealized appreciation on investments | 55,804,684 | |||
Net assets | $ | 268,358,042 | ||
A-Class: | ||||
Net assets | $ | 15,216,749 | ||
Capital shares outstanding | 41,674 | |||
Net asset value per share | $ | 365.14 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 383.35 | ||
C-Class: | ||||
Net assets | $ | 23,704,915 | ||
Capital shares outstanding | 77,023 | |||
Net asset value per share | $ | 307.76 | ||
H-Class: | ||||
Net assets | $ | 229,436,378 | ||
Capital shares outstanding | 628,386 | |||
Net asset value per share | $ | 365.12 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $614) | $ | 2,787,803 | ||
Interest | 64,623 | |||
Income from securities lending, net | 2,815 | |||
Total investment income | 2,855,241 | |||
Expenses: | ||||
Management fees | 2,727,297 | |||
Transfer agent and administrative fees | 757,584 | |||
Distribution and service fees: | ||||
A-Class | 42,593 | |||
C-Class | 239,038 | |||
H-Class | 655,233 | |||
Portfolio accounting fees | 454,553 | |||
Custodian fees | 35,154 | |||
Trustees’ fees* | 21,065 | |||
Line of credit fees | 6,258 | |||
Miscellaneous | 669,605 | |||
Total expenses | 5,608,380 | |||
Net investment loss | (2,753,139 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (3,360,640 | ) | ||
Swap agreements | (4,477,123 | ) | ||
Futures contracts | 2,556,225 | |||
Net realized loss | (5,281,538 | ) | ||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | 5,040,569 | |||
Swap agreements | 827,148 | |||
Futures contracts | 927,301 | |||
Net change in unrealized appreciation(depreciation) | 6,795,018 | |||
Net realized and unrealized gain | 1,513,480 | |||
Net decrease in net assets resulting from operations | $ | (1,239,659 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (2,753,139 | ) | $ | (3,043,532 | ) | ||
Net realized gain (loss) on investments | (5,281,538 | ) | 95,162,591 | |||||
Net change in unrealized appreciation (depreciation) on investments | 6,795,018 | 7,739,286 | ||||||
Net increase (decrease) in net assets resulting from operations | (1,239,659 | ) | 99,858,345 | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | (712,391 | ) | (646,170 | ) | ||||
C-Class | (1,250,157 | ) | (957,469 | ) | ||||
H-Class | (12,015,499 | ) | (16,070,110 | ) | ||||
Total distributions to shareholders | (13,978,047 | ) | (17,673,749 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 47,649,947 | 53,293,687 | ||||||
C-Class | 78,230,730 | 80,742,468 | ||||||
H-Class | 2,350,123,014 | 3,717,462,759 | ||||||
Distributions reinvested | ||||||||
A-Class | 680,246 | 586,398 | ||||||
C-Class | 1,231,292 | 922,188 | ||||||
H-Class | 10,940,428 | 14,809,392 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (53,417,077 | ) | (48,654,646 | ) | ||||
C-Class | (77,636,789 | ) | (81,384,892 | ) | ||||
H-Class | (2,410,627,007 | ) | (3,794,422,634 | ) | ||||
Net decrease from capital share transactions | (52,825,216 | ) | (56,645,280 | ) | ||||
Net increase (decrease) in net assets | (68,042,922 | ) | 25,539,316 | |||||
Net assets: | ||||||||
Beginning of year | 336,400,964 | 310,861,648 | ||||||
End of year | $ | 268,358,042 | $ | 336,400,964 | ||||
Undistributed net investment income at end of year | $ | 1,525 | $ | 1,525 | ||||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 126,053 | 158,870 | ||||||
C-Class | 243,678 | 284,269 | ||||||
H-Class | 6,269,299 | 11,443,618 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 1,673 | 1,602 | ||||||
C-Class | 3,584 | 2,939 | ||||||
H-Class | 26,903 | 40,472 | ||||||
Shares redeemed | ||||||||
A-Class | (142,966 | ) | (146,154 | ) | ||||
C-Class | (242,577 | ) | (286,919 | ) | ||||
H-Class | (6,459,445 | ) | (11,742,224 | ) | ||||
Net decrease in shares | (173,798 | ) | (243,527 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 35 |
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.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 369.52 | $ | 269.19 | $ | 179.47 | $ | 160.58 | $ | 119.78 | $ | 120.86 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (3.21 | ) | (2.47 | ) | (1.54 | ) | (.36 | ) | (1.06 | ) | (1.62 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 15.35 | 116.29 | 109.54 | 19.25 | 41.86 | .54 | ||||||||||||||||||
Total from investment operations | 12.14 | 113.82 | 108.00 | 18.89 | 40.80 | (1.08 | ) | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (16.52 | ) | (13.49 | ) | (18.28 | ) | — | — | — | |||||||||||||||
Total distributions | (16.52 | ) | (13.49 | ) | (18.28 | ) | — | — | — | |||||||||||||||
Net asset value, end of period | $ | 365.14 | $ | 369.52 | $ | 269.19 | $ | 179.47 | $ | 160.58 | $ | 119.78 | ||||||||||||
Total Returnd | 2.83 | % | 42.33 | % | 60.94 | % | 11.76 | % | 34.07 | % | (0.89 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,217 | $ | 21,031 | $ | 11,466 | $ | 6,409 | $ | 5,865 | $ | 4,458 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.86 | %) | (0.74 | %) | (0.65 | %) | (0.84 | %) | (0.66 | %) | (1.27 | %) | ||||||||||||
Total expenses | 1.80 | % | 1.80 | % | 1.76 | % | 1.79 | % | 1.78 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | 114 | % | 396 | % | 346 | % | 71 | % | 307 | % | 164 | % |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 316.07 | $ | 233.41 | $ | 158.38 | $ | 141.97 | $ | 106.78 | $ | 108.57 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (5.10 | ) | (4.80 | ) | (2.84 | ) | (.59 | ) | (2.08 | ) | (2.30 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.31 | 100.95 | 96.15 | 17.00 | 37.27 | .51 | ||||||||||||||||||
Total from investment operations | 8.21 | 96.15 | 93.31 | 16.41 | 35.19 | (1.79 | ) | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (16.52 | ) | (13.49 | ) | (18.28 | ) | — | — | — | |||||||||||||||
Total distributions | (16.52 | ) | (13.49 | ) | (18.28 | ) | — | — | — | |||||||||||||||
Net asset value, end of period | $ | 307.76 | $ | 316.07 | $ | 233.41 | $ | 158.38 | $ | 141.97 | $ | 106.78 | ||||||||||||
Total Returnd | 2.05 | % | 41.24 | % | 59.75 | % | 11.57 | % | 32.96 | % | (1.64 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,705 | $ | 22,864 | $ | 16,817 | $ | 11,522 | $ | 11,640 | $ | 15,920 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.60 | %) | (1.69 | %) | (1.40 | %) | (1.58 | %) | (1.49 | %) | (2.03 | %) | ||||||||||||
Total expenses | 2.55 | % | 2.70 | % | 2.52 | % | 2.54 | % | 2.55 | % | 2.68 | % | ||||||||||||
Portfolio turnover rate | 114 | % | 396 | % | 346 | % | 71 | % | 307 | % | 164 | % |
36 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 369.50 | $ | 269.18 | $ | 179.45 | $ | 160.57 | $ | 119.86 | $ | 120.94 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (3.20 | ) | (2.59 | ) | (1.54 | ) | (.41 | ) | (1.24 | ) | (1.59 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 15.34 | 116.40 | 109.55 | 19.29 | 41.95 | .51 | ||||||||||||||||||
Total from investment operations | 12.14 | 113.81 | 108.01 | 18.88 | 40.71 | (1.08 | ) | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (16.52 | ) | (13.49 | ) | (18.28 | ) | — | — | — | |||||||||||||||
Total distributions | (16.52 | ) | (13.49 | ) | (18.28 | ) | — | — | — | |||||||||||||||
Net asset value, end of period | $ | 365.12 | $ | 369.50 | $ | 269.18 | $ | 179.45 | $ | 160.57 | $ | 119.86 | ||||||||||||
Total Returnd | 2.83 | % | 42.33 | % | 60.95 | % | 11.77 | % | 33.98 | % | (0.90 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 229,436 | $ | 292,506 | $ | 282,578 | $ | 310,700 | $ | 131,996 | $ | 117,112 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.85 | %) | (0.78 | %) | (0.67 | %) | (0.95 | %) | (0.76 | %) | (1.24 | %) | ||||||||||||
Total expenses | 1.80 | % | 1.80 | % | 1.77 | % | 1.80 | % | 1.80 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | 114 | % | 396 | % | 346 | % | 71 | % | 307 | % | 164 | % |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
INVERSE 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% 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.
For the one-year period ended March 31, 2016, with the NASDAQ-100 Index returning 4.74%, the Inverse NASDAQ-100® 2x Strategy Fund H-Class returned -19.96%. For the one-year period ended March 31, 2016, Inverse NASDAQ-100® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the NASDAQ-100® Index.
The Information Technology sector contributed the most to the performance of the underlying index, followed by the Consumer Discretionary sector. Health Care was the sector that detracted the most from performance, followed by the Industrials sector.
Microsoft Corp., Amazon.com, Inc., and Facebook, Inc. — Class A were the holdings contributing the most to the performance of the underlying index for the year. Apple, Inc., Biogen, Inc., and Express Scripts Holding Co. detracted the most from the performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | September 1, 2004 |
C-Class | March 8, 2001 |
H-Class | May 23, 2000 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
38 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | 10 Year | |
A-Class Shares | -19.99% | -32.30% | -28.77% |
A-Class Shares with sales charge† | -23.81% | -32.94% | -29.11% |
C-Class Shares | -20.29% | -32.86% | -29.30% |
C-Class Shares with CDSC‡ | -21.09% | -32.86% | -29.30% |
H-Class Shares | -19.96% | -32.27% | -28.76% |
NASDAQ-100 Index | 4.74% | 15.34% | 11.19% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS ANNUAL REPORT 39 |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
INVERSE NASDAQ-100® 2x STRATEGY FUND |
Face | Value | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 55.6% | ||||||||
Federal Home Loan Bank1 | ||||||||
0.08% due 04/01/16 | $ | 15,000,000 | $ | 15,000,000 | ||||
Farmer Mac | ||||||||
0.66% due 12/09/16 | 8,000,000 | 7,972,560 | ||||||
Freddie Mac2 | ||||||||
0.27% due 04/04/16 | 2,000,000 | 1,999,955 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $24,962,995) | 24,972,515 | |||||||
REPURCHASE AGREEMENTS††,3 - 40.6% | ||||||||
HSBC Group | 13,793,935 | 13,793,935 | ||||||
Royal Bank of Canada | 4,441,734 | 4,441,734 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $18,235,669) | 18,235,669 | |||||||
Total Investments - 96.2% | ||||||||
(Cost $43,198,664) | $ | 43,208,184 | ||||||
Other Assets & Liabilities, net - 3.8% | 1,723,033 | |||||||
Total Net Assets - 100.0% | $ | 44,931,217 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
June 2016 NASDAQ-100 Index | 74 | $ | (4,233 | ) |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Barclays Bank plc | 3,973 | $ | (22,420 | ) | ||||
Credit Suisse Capital, LLC | 435 | (35,389 | ) | |||||
Goldman Sachs International | 14,314 | (462,885 | ) | |||||
(Total Notional Value $83,943,865) | $ | (520,694 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
5 | Total Return based on NASDAQ-100 Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
40 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2016 |
INVERSE NASDAQ-100® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Federal Agency Discount Notes | $ | — | $ | — | $ | 24,972,515 | $ | — | $ | — | $ | 24,972,515 | ||||||||||||
Repurchase Agreements | — | — | 18,235,669 | — | — | 18,235,669 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 43,208,184 | $ | — | $ | — | $ | 43,208,184 |
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 4,233 | $ | — | $ | — | $ | — | $ | 4,233 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 520,694 | — | 520,694 | ||||||||||||||||||
Total | $ | — | $ | 4,233 | $ | — | $ | 520,694 | $ | — | $ | 524,927 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 41 |
INVERSE NASDAQ-100® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Investments, at value (cost $24,962,995) | $ | 24,972,515 | ||
Repurchase agreements, at value (cost $18,235,669) | 18,235,669 | |||
Total investments (cost $43,198,664) | 43,208,184 | |||
Segregated cash with broker | 2,025,600 | |||
Receivables: | ||||
Fund shares sold | 2,292,811 | |||
Variation margin | 10,440 | |||
Interest | 109 | |||
Total assets | 47,537,144 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 520,694 | |||
Payable for: | ||||
Fund shares redeemed | 2,003,663 | |||
Management fees | 25,957 | |||
Distribution and service fees | 7,694 | |||
Transfer agent and administrative fees | 7,210 | |||
Swap settlement | 5,574 | |||
Portfolio accounting fees | 4,326 | |||
Miscellaneous | 30,809 | |||
Total liabilities | 2,605,927 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 44,931,217 | ||
Net assets consist of: | ||||
Paid in capital | $ | 285,537,645 | ||
Accumulated net investment loss | (188,819 | ) | ||
Accumulated net realized loss on investments | (239,902,202 | ) | ||
Net unrealized depreciation on investments | (515,407 | ) | ||
Net assets | $ | 44,931,217 | ||
A-Class: | ||||
Net assets | $ | 832,125 | ||
Capital shares outstanding | 53,729 | |||
Net asset value per share | $ | 15.49 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 16.26 | ||
C-Class: | ||||
Net assets | $ | 1,103,982 | ||
Capital shares outstanding | 80,045 | |||
Net asset value per share | $ | 13.79 | ||
H-Class: | ||||
Net assets | $ | 42,995,110 | ||
Capital shares outstanding | 2,778,056 | |||
Net asset value per share | $ | 15.48 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Interest | $ | 29,135 | ||
Total investment income | 29,135 | |||
Expenses: | ||||
Management fees | 233,331 | |||
Transfer agent and administrative fees | 64,816 | |||
Distribution and service fees: | ||||
A-Class | 1,606 | |||
C-Class | 8,264 | |||
H-Class | 61,146 | |||
Portfolio accounting fees | 38,890 | |||
Custodian fees | 3,023 | |||
Trustees’ fees* | 1,535 | |||
Miscellaneous | 58,310 | |||
Total expenses | 470,921 | |||
Net investment loss | (441,786 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 6,745 | |||
Swap agreements | (5,900,737 | ) | ||
Futures contracts | (2,756,217 | ) | ||
Net realized loss | (8,650,209 | ) | ||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | 9,180 | |||
Swap agreements | (514,894 | ) | ||
Futures contracts | (40,900 | ) | ||
Net change in unrealized appreciation(depreciation) | (546,614 | ) | ||
Net realized and unrealized loss | (9,196,823 | ) | ||
Net decrease in net assets resulting from operations | $ | (9,638,609 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
42 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (441,786 | ) | $ | (507,977 | ) | ||
Net realized loss on investments | (8,650,209 | ) | (12,698,458 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (546,614 | ) | (39,781 | ) | ||||
Net decrease in net assets resulting from operations | (9,638,609 | ) | (13,246,216 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 10,655,269 | 25,526,847 | ||||||
C-Class | 45,474,436 | 45,520,604 | ||||||
H-Class | 937,439,454 | 1,249,467,130 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (9,799,846 | ) | (25,423,846 | ) | ||||
C-Class | (45,503,722 | ) | (45,043,386 | ) | ||||
H-Class | (905,708,815 | ) | (1,242,352,560 | ) | ||||
Net increase from capital share transactions | 32,556,776 | 7,694,789 | ||||||
Net increase (decrease) in net assets | 22,918,167 | (5,551,427 | ) | |||||
Net assets: | ||||||||
Beginning of year | 22,013,050 | 27,564,477 | ||||||
End of year | $ | 44,931,217 | $ | 22,013,050 | ||||
Accumulated net investment loss at end of year | $ | (188,819 | ) | $ | (91,576 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 597,442 | 1,128,860 | ||||||
C-Class | 2,921,292 | 2,171,547 | ||||||
H-Class | 54,852,482 | 51,277,843 | ||||||
Shares redeemed | ||||||||
A-Class | (557,508 | ) | (1,134,594 | ) | ||||
C-Class | (2,920,692 | ) | (2,140,721 | ) | ||||
H-Class | (53,127,938 | ) | (51,058,359 | ) | ||||
Net increase in shares | 1,765,078 | 244,576 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 43 |
INVERSE 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.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012f | Year Ended December 31, 2011c,f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.36 | $ | 30.75 | $ | 54.59 | $ | 62.44 | $ | 95.64 | $ | 124.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)d | (.29 | ) | (.41 | ) | (.69 | ) | (.28 | ) | (1.12 | ) | (1.96 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.58 | ) | (10.98 | ) | (23.15 | ) | (7.57 | ) | (32.08 | ) | (27.00 | ) | ||||||||||||
Total from investment operations | (3.87 | ) | (11.39 | ) | (23.84 | ) | (7.85 | ) | (33.20 | ) | (28.96 | ) | ||||||||||||
Net asset value, end of period | $ | 15.49 | $ | 19.36 | $ | 30.75 | $ | 54.59 | $ | 62.44 | $ | 95.64 | ||||||||||||
Total Returne | (19.99 | %) | (37.04 | %) | (43.68 | %) | (12.56 | %) | (34.70 | %) | (23.26 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 832 | $ | 267 | $ | 601 | $ | 605 | $ | 881 | $ | 2,346 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.67 | %) | (1.77 | %) | (1.72 | %) | (1.72 | %) | (1.67 | %) | (1.84 | %) | ||||||||||||
Total expenses | 1.79 | % | 1.82 | % | 1.76 | % | 1.80 | % | 1.78 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012f | Year Ended December 31, 2011c,f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.30 | $ | 27.69 | $ | 49.67 | $ | 56.90 | $ | 88.42 | $ | 115.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)d | (.38 | ) | (.56 | ) | (.91 | ) | (.35 | ) | (1.54 | ) | (2.66 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.13 | ) | (9.83 | ) | (21.07 | ) | (6.88 | ) | (29.98 | ) | (24.56 | ) | ||||||||||||
Total from investment operations | (3.51 | ) | (10.39 | ) | (21.98 | ) | (7.23 | ) | (31.52 | ) | (27.22 | ) | ||||||||||||
Net asset value, end of period | $ | 13.79 | $ | 17.30 | $ | 27.69 | $ | 49.67 | $ | 56.90 | $ | 88.42 | ||||||||||||
Total Returne | (20.29 | %) | (37.52 | %) | (44.29 | %) | (12.67 | %) | (35.63 | %) | (23.55 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,104 | $ | 1,375 | $ | 1,346 | $ | 1,623 | $ | 2,146 | $ | 4,084 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.42 | %) | (2.51 | %) | (2.50 | %) | (2.38 | %) | (2.39 | %) | (2.67 | %) | ||||||||||||
Total expenses | 2.53 | % | 2.55 | % | 2.54 | % | 2.45 | % | 2.50 | % | 2.68 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
44 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012f | Year Ended December 31, 2011c,f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.34 | $ | 30.72 | $ | 54.61 | $ | 62.45 | $ | 95.88 | $ | 124.32 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)d | (.29 | ) | (.43 | ) | (.70 | ) | (.28 | ) | (1.12 | ) | (2.03 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.57 | ) | (10.95 | ) | (23.19 | ) | (7.56 | ) | (32.31 | ) | (26.41 | ) | ||||||||||||
Total from investment operations | (3.86 | ) | (11.38 | ) | (23.89 | ) | (7.84 | ) | (33.43 | ) | (28.44 | ) | ||||||||||||
Net asset value, end of period | $ | 15.48 | $ | 19.34 | $ | 30.72 | $ | 54.61 | $ | 62.45 | $ | 95.88 | ||||||||||||
Total Returne | (19.96 | %) | (37.02 | %) | (43.75 | %) | (12.56 | %) | (34.84 | %) | (22.92 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 42,995 | $ | 20,371 | $ | 25,617 | $ | 48,728 | $ | 29,499 | $ | 43,686 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.68 | %) | (1.78 | %) | (1.75 | %) | (1.73 | %) | (1.67 | %) | (1.86 | %) | ||||||||||||
Total expenses | 1.80 | % | 1.83 | % | 1.78 | % | 1.81 | % | 1.79 | % | 1.93 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Reverse Share Split — Per share amounts for periods presented through December 2, 2011 have been restated to reflect a 1:4 reverse share split effective December 2, 2011. |
d | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
e | Total return does not reflect the impact of any applicable sales charges. |
f | Reverse Share Split — Per share amounts for periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 45 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the Dow Jones Industrial Average® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2016, Dow 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Dow Jones Industrial Average®. Dow 2x Strategy Fund H-Class returned -1.20% while the Dow Jones Industrial Average® returned 2.08% over the same period.
The sectors contributing the most to the performance of the underlying index for the period were Consumer Discretionary and Health Care. Financials and Industrials detracted the most from the performance of the underlying index for the period.
McDonald’s Corp., NIKE, Inc. – Class B, and Home Depot, Inc. contributed the most to the performance of the underlying index for the period. Goldman Sachs Group, Inc., Boeing Co., and American Express Co. detracted the most from the performance of the underlying index for the period.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
3M Co. | 4.8% |
Goldman Sachs Group, Inc. | 4.5% |
International Business Machines Corp. | 4.4% |
Home Depot, Inc. | 3.9% |
UnitedHealth Group, Inc. | 3.7% |
Boeing Co. | 3.7% |
McDonald’s Corp. | 3.6% |
Travelers Companies, Inc. | 3.4% |
Apple, Inc. | 3.2% |
Johnson & Johnson | 3.1% |
Top Ten Total | 38.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
46 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | 10 Year | |
A-Class Shares | -1.21% | 15.55% | 6.95% |
A-Class Shares with sales charge† | -5.91% | 14.43% | 6.42% |
C-Class Shares | -1.96% | 14.67% | 6.14% |
C-Class Shares with CDSC‡ | -2.87% | 14.67% | 6.14% |
H-Class Shares | -1.20% | 15.51% | 6.91% |
Dow Jones Industrial Average Index | 2.08% | 10.27% | 7.54% |
* | 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS ANNUAL REPORT 47 |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
DOW 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 74.8% | ||||||||
Industrial - 14.5% | ||||||||
3M Co. | 9,601 | $ | 1,599,815 | |||||
Boeing Co. | 9,601 | 1,218,751 | ||||||
United Technologies Corp. | 9,601 | 961,060 | ||||||
Caterpillar, Inc. | 9,601 | 734,861 | ||||||
General Electric Co. | 9,601 | 305,216 | ||||||
Total Industrial | 4,819,703 | |||||||
Financial - 13.6% | ||||||||
Goldman Sachs Group, Inc. | 9,601 | 1,507,165 | ||||||
Travelers Companies, Inc. | 9,601 | 1,120,533 | ||||||
Visa, Inc. — Class A | 9,601 | 734,285 | ||||||
American Express Co. | 9,601 | 589,501 | ||||||
JPMorgan Chase & Co. | 9,601 | 568,571 | ||||||
Total Financial | 4,520,055 | |||||||
Consumer, Non-cyclical - 13.0% | ||||||||
UnitedHealth Group, Inc. | 9,601 | 1,237,569 | ||||||
Johnson & Johnson | 9,601 | 1,038,828 | ||||||
Procter & Gamble Co. | 9,601 | 790,258 | ||||||
Merck & Company, Inc. | 9,601 | 507,989 | ||||||
Coca-Cola Co. | 9,601 | 445,390 | ||||||
Pfizer, Inc. | 9,601 | 284,574 | ||||||
Total Consumer, Non-cyclical | 4,304,608 | |||||||
Consumer, Cyclical - 11.3% | ||||||||
Home Depot, Inc. | 9,601 | 1,281,062 | ||||||
McDonald’s Corp. | 9,601 | 1,206,654 | ||||||
Wal-Mart Stores, Inc. | 9,601 | 657,572 | ||||||
NIKE, Inc. — Class B | 9,601 | 590,173 | ||||||
Total Consumer, Cyclical | 3,735,461 | |||||||
Technology - 10.1% | ||||||||
International Business Machines Corp. | 9,604 | 1,454,526 | ||||||
Apple, Inc. | 9,601 | 1,046,413 | ||||||
Microsoft Corp. | 9,601 | 530,263 | ||||||
Intel Corp. | 9,601 | 310,592 | ||||||
Total Technology | 3,341,794 | |||||||
Communications - 5.3% | ||||||||
Walt Disney Co. | 9,601 |
| 953,476 | |||||
Verizon Communications, Inc. | 9,601 | 519,222 | ||||||
Cisco Systems, Inc. | 9,601 | 273,340 | ||||||
Total Communications | 1,746,038 | |||||||
Energy - 5.2% | ||||||||
Chevron Corp. | 9,601 | 915,935 | ||||||
Exxon Mobil Corp. | 9,601 | 802,548 | ||||||
Total Energy | 1,718,483 | |||||||
Basic Materials - 1.8% | ||||||||
EI du Pont de Nemours & Co. | 9,601 | 607,935 | ||||||
Total Common Stocks | ||||||||
(Cost $23,522,794) | 24,794,077 |
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 11.4% | ||||||||
Royal Bank of Canada | $ | 1,947,581 | 1,947,581 | |||||
HSBC Group | 1,817,419 | 1,817,419 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,765,000) | 3,765,000 | |||||||
Total Investments - 86.2% | ||||||||
(Cost $27,287,794) | $ | 28,559,077 | ||||||
Other Assets & Liabilities, net - 13.8% | 4,568,918 | |||||||
Total Net Assets - 100.0% | $ | 33,127,995 |
48 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2016 |
DOW 2x STRATEGY FUND |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
June 2016 Dow Jones | 39 | $ | 123,035 |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Barclays Bank plc | 2,029 | $ | 86,893 | |||||
Credit Suisse Capital, LLC | 118 | 21,181 | ||||||
(Total Notional Value $37,982,480) | $ | 108,074 |
† | 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 5. |
2 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
3 | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
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 March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Common Stocks | $ | 24,794,077 | $ | — | $ | — | $ | — | $ | — | $ | 24,794,077 | ||||||||||||
Equity Futures Contracts | — | 123,035 | — | — | — | 123,035 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 108,074 | — | 108,074 | ||||||||||||||||||
Repurchase Agreements | — | — | 3,765,000 | — | — | 3,765,000 | ||||||||||||||||||
Total | $ | 24,794,077 | $ | 123,035 | $ | 3,765,000 | $ | 108,074 | $ | — | $ | 28,790,186 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 49 |
DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Investments, at value (cost $23,522,794) | $ | 24,794,077 | ||
Repurchase agreements, at value (cost $3,765,000) | 3,765,000 | |||
Total investments (cost $27,287,794) | 28,559,077 | |||
Segregated cash with broker | 3,339,900 | |||
Unrealized appreciation on swap agreements | 108,074 | |||
Receivables: | ||||
Fund shares sold | 1,593,933 | |||
Dividends | 15,759 | |||
Swap settlement | 1,569 | |||
Interest | 23 | |||
Total assets | 33,618,335 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 421,578 | |||
Management fees | 21,456 | |||
Distribution and service fees | 8,041 | |||
Variation margin | 6,044 | |||
Transfer agent and administrative fees | 5,960 | |||
Portfolio accounting fees | 3,576 | |||
Miscellaneous | 23,685 | |||
Total liabilities | 490,340 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 33,127,995 | ||
Net assets consist of: | ||||
Paid in capital | $ | 32,391,025 | ||
Undistributed net investment income | — | |||
Accumulated net realized loss on investments | (765,422 | ) | ||
Net unrealized appreciation on investments | 1,502,392 | |||
Net assets | $ | 33,127,995 | ||
A-Class: | ||||
Net assets | $ | 8,279,726 | ||
Capital shares outstanding | 176,178 | |||
Net asset value per share | $ | 47.00 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 49.34 | ||
C-Class: | ||||
Net assets | $ | 3,458,833 | ||
Capital shares outstanding | 81,109 | |||
Net asset value per share | $ | 42.64 | ||
H-Class: | ||||
Net assets | $ | 21,389,436 | ||
Capital shares outstanding | 456,451 | |||
Net asset value per share | $ | 46.86 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Dividends | $ | 453,961 | ||
Interest | 6,896 | |||
Total investment income | 460,857 | |||
Expenses: | ||||
Management fees | 296,822 | |||
Transfer agent and administrative fees | 82,452 | |||
Distribution and service fees: | ||||
A-Class | 22,115 | |||
C-Class | 36,119 | |||
H-Class | 51,309 | |||
Portfolio accounting fees | 49,472 | |||
Custodian fees | 3,830 | |||
Trustees’ fees* | 2,296 | |||
Line of credit fees | 152 | |||
Miscellaneous | 79,681 | |||
Total expenses | 624,248 | |||
Net investment loss | (163,391 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 904,379 | |||
Swap agreements | 650,471 | |||
Futures contracts | 1,374,163 | |||
Net realized gain | 2,929,013 | |||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | 181,798 | |||
Swap agreements | (135,017 | ) | ||
Futures contracts | 103,065 | |||
Net change in unrealized appreciation(depreciation) | 149,846 | |||
Net realized and unrealized gain | 3,078,859 | |||
Net increase in net assets resulting from operations | $ | 2,915,468 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
50 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (163,391 | ) | $ | (265,493 | ) | ||
Net realized gain on investments | 2,929,013 | 8,090,048 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 149,846 | (448,651 | ) | |||||
Net increase in net assets resulting from operations | 2,915,468 | 7,375,904 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | (686,861 | ) | — | |||||
C-Class | (235,335 | ) | — | |||||
H-Class | (1,308,567 | ) | — | |||||
Total distributions to shareholders | (2,230,763 | ) | — | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 26,124,776 | 25,797,007 | ||||||
C-Class | 30,966,542 | 47,402,464 | ||||||
H-Class | 568,846,226 | 709,488,815 | ||||||
Distributions reinvested | ||||||||
A-Class | 682,303 | — | ||||||
C-Class | 224,292 | — | ||||||
H-Class | 1,136,330 | — | ||||||
Cost of shares redeemed | ||||||||
A-Class | (29,243,390 | ) | (21,761,624 | ) | ||||
C-Class | (32,945,109 | ) | (46,803,435 | ) | ||||
H-Class | (573,143,638 | ) | (720,741,797 | ) | ||||
Net decrease from capital share transactions | (7,351,668 | ) | (6,618,570 | ) | ||||
Net increase (decrease) in net assets | (6,666,963 | ) | 757,334 | |||||
Net assets: | ||||||||
Beginning of year | 39,794,958 | 39,037,624 | ||||||
End of year | $ | 33,127,995 | $ | 39,794,958 | ||||
Undistributed net investment income/(Accumulated net investment loss) at end of year | $ | — | $ | (92,243 | ) | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 540,287 | 533,029 | ||||||
C-Class | 727,399 | 1,091,481 | ||||||
H-Class | 12,264,547 | 15,290,610 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 14,657 | — | ||||||
C-Class | 5,297 | — | ||||||
H-Class | 24,485 | — | ||||||
Shares redeemed | ||||||||
A-Class | (613,932 | ) | (449,631 | ) | ||||
C-Class | (768,776 | ) | (1,079,507 | ) | ||||
H-Class | (12,275,981 | ) | (15,501,832 | ) | ||||
Net decrease in shares | (82,017 | ) | (115,850 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 51 |
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.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.69 | $ | 43.26 | $ | 33.64 | $ | 27.14 | $ | 23.31 | $ | 21.48 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.21 | ) | (.32 | ) | (.29 | ) | (.06 | ) | (.29 | ) | (.14 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.43 | ) | 7.75 | 9.91 | 6.56 | 4.12 | 1.98 | |||||||||||||||||
Total from investment operations | (.64 | ) | 7.43 | 9.62 | 6.50 | 3.83 | 1.84 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.01 | ) | |||||||||||||||||
Net realized gains | (3.05 | ) | — | — | — | — | — | |||||||||||||||||
Total distributions | (3.05 | ) | — | — | — | — | (.01 | ) | ||||||||||||||||
Net asset value, end of period | $ | 47.00 | $ | 50.69 | $ | 43.26 | $ | 33.64 | $ | 27.14 | $ | 23.31 | ||||||||||||
Total Returnd | (1.21 | %) | 17.18 | % | 28.60 | % | 23.95 | % | 16.43 | % | 8.55 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,280 | $ | 11,921 | $ | 6,566 | $ | 4,755 | $ | 3,574 | $ | 4,267 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.45 | %) | (0.68 | %) | (0.75 | %) | (0.77 | %) | (1.12 | %) | (0.63 | %) | ||||||||||||
Total expenses | 1.82 | % | 1.81 | % | 1.76 | % | 1.77 | % | 1.78 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | 1,023 | % | 1,236 | % | 3,338 | % | 979 | % | 15,091 | % | 7,150 | % |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 46.62 | $ | 40.08 | $ | 31.39 | $ | 25.37 | $ | 21.95 | $ | 20.41 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.51 | ) | (.60 | ) | (.52 | ) | (.11 | ) | (.46 | ) | (.30 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.42 | ) | 7.14 | 9.21 | 6.13 | 3.88 | 1.85 | |||||||||||||||||
Total from investment operations | (.93 | ) | 6.54 | 8.69 | 6.02 | 3.42 | 1.55 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.01 | ) | |||||||||||||||||
Net realized gains | (3.05 | ) | — | — | — | — | — | |||||||||||||||||
Total distributions | (3.05 | ) | — | — | — | — | (.01 | ) | ||||||||||||||||
Net asset value, end of period | $ | 42.64 | $ | 46.62 | $ | 40.08 | $ | 31.39 | $ | 25.37 | $ | 21.95 | ||||||||||||
Total Returnd | (1.96 | %) | 16.32 | % | 27.68 | % | 23.73 | % | 15.63 | % | 7.58 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,459 | $ | 5,463 | $ | 4,217 | $ | 3,623 | $ | 2,249 | $ | 2,562 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.18 | %) | (1.38 | %) | (1.44 | %) | (1.57 | %) | (1.89 | %) | (1.40 | %) | ||||||||||||
Total expenses | 2.56 | % | 2.57 | % | 2.50 | % | 2.53 | % | 2.54 | % | 2.67 | % | ||||||||||||
Portfolio turnover rate | 1,023 | % | 1,236 | % | 3,338 | % | 979 | % | 15,091 | % | 7,150 | % |
52 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.54 | $ | 43.16 | $ | 33.53 | $ | 27.05 | $ | 23.26 | $ | 21.45 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.18 | ) | (.26 | ) | (.28 | ) | (.06 | ) | (.27 | ) | (.10 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.45 | ) | 7.64 | 9.91 | 6.54 | 4.06 | 1.92 | |||||||||||||||||
Total from investment operations | (.63 | ) | 7.38 | 9.63 | 6.48 | 3.79 | 1.82 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.01 | ) | |||||||||||||||||
Net realized gains | (3.05 | ) | — | — | — | — | — | |||||||||||||||||
Total distributions | (3.05 | ) | — | — | — | — | (.01 | ) | ||||||||||||||||
Net asset value, end of period | $ | 46.86 | $ | 50.54 | $ | 43.16 | $ | 33.53 | $ | 27.05 | $ | 23.26 | ||||||||||||
Total Returnd | (1.20 | %) | 17.10 | % | 28.72 | % | 23.96 | % | 16.34 | % | 8.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,389 | $ | 22,411 | $ | 28,254 | $ | 47,483 | $ | 17,151 | $ | 28,243 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.40 | %) | (0.54 | %) | (0.73 | %) | (0.85 | %) | (1.02 | %) | (0.42 | %) | ||||||||||||
Total expenses | 1.82 | % | 1.82 | % | 1.77 | % | 1.79 | % | 1.79 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | 1,023 | % | 1,236 | % | 3,338 | % | 979 | % | 15,091 | % | 7,150 | % |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period, |
d | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 53 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
INVERSE DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the Dow Jones Industrial AverageSM Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
For the one-year period ended March 31, 2016, Inverse Dow 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the Dow Jones Industrial Average. Inverse Dow 2x Strategy Fund H-Class returned -13.24% while the Dow Jones Industrial Average returned 2.08% over the same period.
The sectors contributing the most to the performance of the underlying index for the period were Consumer Discretionary and Health Care. Financials and Industrials detracted the most from the performance of the underlying index for the period.
McDonald’s Corp., NIKE, Inc. – Class B, and Home Depot, Inc. contributed the most to the performance of the underlying index for the period. Goldman Sachs Group, Inc., Boeing Co., and American Express Co. detracted the most from the performance of the underlying index for the period.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | September 1, 2004 |
C-Class | February 20, 2004 |
H-Class | February 20, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
54 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | 10 Year | |
A-Class Shares | -13.24% | -24.51% | -21.15% |
A-Class Shares with sales charge† | -17.35% | -25.25% | -21.53% |
C Class Shares | -13.84% | -25.13% | -21.77% |
C-Class Shares with CDSC‡ | -14.70% | -25.13% | -21.77% |
H-Class Shares | -13.24% | -24.49% | -21.13% |
Dow Jones Industrial Average Index | 2.08% | 10.27% | 7.54% |
* | 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. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS ANNUAL REPORT 55 |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
INVERSE DOW 2x STRATEGY FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,1 - 86.3% | ||||||||
Royal Bank of Canada | $ | 5,073,796 | $ | 5,073,796 | ||||
HSBC Group | 5,021,598 | 5,021,598 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $10,095,394) | 10,095,394 | |||||||
Total Investments - 86.3% | ||||||||
(Cost $10,095,394) | $ | 10,095,394 | ||||||
Other Assets & Liabilities, net - 13.7% | 1,600,472 | |||||||
Total Net Assets - 100.0% | $ | 11,695,866 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
June 2016 Dow Jones | 1 | $ | 53 |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Barclays Bank plc | 879 | $ | (43,074 | ) | ||||
Credit Suisse Capital, LLC | 444 | (80,523 | ) | |||||
(Total Notional Value $23,401,379) | $ | (123,597 | ) |
† | 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 5. |
2 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
3 | Total Return based on Dow Jones Industrial Average Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
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 March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 53 | $ | — | $ | — | $ | — | $ | 53 | ||||||||||||
Repurchase Agreements | — | — | 10,095,394 | — | — | 10,095,394 | ||||||||||||||||||
Total | $ | — | $ | 53 | $ | 10,095,394 | $ | — | $ | — | $ | 10,095,447 |
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Index Swap Agreements | $ | — | $ | — | $ | — | $ | 123,597 | $ | — | $ | 123,597 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
56 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Repurchase agreements, at value (cost $10,095,394) | $ | 10,095,394 | ||
Segregated cash with broker | 1,580,000 | |||
Receivables: | ||||
Fund shares sold | 524,074 | |||
Interest | 62 | |||
Variation margin | 53 | |||
Total assets | 12,199,583 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 123,597 | |||
Payable for: | ||||
Fund shares redeemed | 305,198 | |||
Management fees | 20,722 | |||
Swap settlement | 19,771 | |||
Distribution and service fees | 6,177 | |||
Transfer agent and administrative fees | 5,756 | |||
Portfolio accounting fees | 3,454 | |||
Miscellaneous | 19,042 | |||
Total liabilities | 503,717 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 11,695,866 | ||
Net assets consist of: | ||||
Paid in capital | $ | 87,096,054 | ||
Accumulated net investment loss | (80,168 | ) | ||
Accumulated net realized loss on investments | (75,196,476 | ) | ||
Net unrealized depreciation on investments | (123,544 | ) | ||
Net assets | $ | 11,695,866 | ||
A-Class: | ||||
Net assets | $ | 2,240,281 | ||
Capital shares outstanding | 85,046 | |||
Net asset value per share | $ | 26.34 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 27.65 | ||
C-Class: | ||||
Net assets | $ | 765,873 | ||
Capital shares outstanding | 32,045 | |||
Net asset value per share | $ | 23.90 | ||
H-Class: | ||||
Net assets | $ | 8,689,712 | ||
Capital shares outstanding | 329,092 | |||
Net asset value per share | $ | 26.41 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Interest | $ | 15,539 | ||
Total investment income | 15,539 | |||
Expenses: | ||||
Management fees | 149,089 | |||
Transfer agent and administrative fees | 41,415 | |||
Distribution and service fees: | ||||
A-Class | 4,517 | |||
C-Class | 9,171 | |||
H-Class | 34,608 | |||
Portfolio accounting fees | 24,850 | |||
Custodian fees | 1,934 | |||
Trustees’ fees* | 918 | |||
Miscellaneous | 40,779 | |||
Total expenses | 307,281 | |||
Net investment loss | (291,742 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,145 | |||
Swap agreements | (3,252,549 | ) | ||
Futures contracts | (961,103 | ) | ||
Net realized loss | (4,210,507 | ) | ||
Net change in unrealized appreciation(depreciation) on: | ||||
Swap agreements | (53,764 | ) | ||
Futures contracts | 511 | |||
Net change in unrealized appreciation(depreciation) | (53,253 | ) | ||
Net realized and unrealized loss | (4,263,760 | ) | ||
Net decrease in net assets resulting from operations | $ | (4,555,502 | ) |
* | 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 ANNUAL REPORT | 57 |
INVERSE DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (291,742 | ) | $ | (231,041 | ) | ||
Net realized loss on investments | (4,210,507 | ) | (2,679,981 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (53,253 | ) | 32,254 | |||||
Net decrease in net assets resulting from operations | (4,555,502 | ) | (2,878,768 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 5,012,689 | 6,528,044 | ||||||
C-Class | 43,742,424 | 60,628,687 | ||||||
H-Class | 572,579,879 | 309,035,990 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (3,860,553 | ) | (5,646,090 | ) | ||||
C-Class | (43,580,885 | ) | (60,451,363 | ) | ||||
H-Class | (567,145,903 | ) | (305,814,201 | ) | ||||
Net increase from capital share transactions | 6,747,651 | 4,281,067 | ||||||
Net increase in net assets | 2,192,149 | 1,402,299 | ||||||
Net assets: | ||||||||
Beginning of year | 9,503,717 | 8,101,418 | ||||||
End of year | $ | 11,695,866 | $ | 9,503,717 | ||||
Accumulated net investment loss at end of year | $ | (80,168 | ) | $ | (45,321 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 168,677 | 200,102 | ||||||
C-Class | 1,610,146 | 1,910,835 | ||||||
H-Class | 19,120,677 | 8,803,209 | ||||||
Shares redeemed | ||||||||
A-Class | (127,949 | ) | (176,593 | ) | ||||
C-Class | (1,606,755 | ) | (1,904,333 | ) | ||||
H-Class | (19,033,464 | ) | (8,725,533 | ) | ||||
Net increase in shares | 131,332 | 107,687 |
58 | THE RYDEX FUNDS 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.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012e | Year Ended December 31, 2011e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.36 | $ | 39.35 | $ | 55.42 | $ | 69.97 | $ | 90.55 | $ | 125.20 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.51 | ) | (.61 | ) | (.81 | ) | (.28 | ) | (1.33 | ) | (2.03 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.51 | ) | (8.38 | ) | (15.26 | ) | (14.27 | ) | (19.25 | ) | (32.62 | ) | ||||||||||||
Total from investment operations | (4.02 | ) | (8.99 | ) | (16.07 | ) | (14.55 | ) | (20.58 | ) | (34.65 | ) | ||||||||||||
Net asset value, end of period | $ | 26.34 | $ | 30.36 | $ | 39.35 | $ | 55.42 | $ | 69.97 | $ | 90.55 | ||||||||||||
Total Returnd | (13.24 | %) | (22.85 | %) | (29.02 | %) | (20.80 | %) | (22.66 | %) | (27.68 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,240 | $ | 1,346 | $ | 819 | $ | 588 | $ | 863 | $ | 2,027 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.72 | %) | (1.81 | %) | (1.73 | %) | (1.69 | %) | (1.68 | %) | (1.85 | %) | ||||||||||||
Total expenses | 1.82 | % | 1.82 | % | 1.75 | % | 1.76 | % | 1.79 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012e | Year Ended December 31, 2011e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.74 | $ | 36.24 | $ | 51.52 | $ | 65.19 | $ | 85.03 | $ | 118.59 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.68 | ) | (.79 | ) | (1.07 | ) | (.35 | ) | (1.75 | ) | (2.66 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.16 | ) | (7.71 | ) | (14.21 | ) | (13.32 | ) | (18.09 | ) | (30.90 | ) | ||||||||||||
Total from investment operations | (3.84 | ) | (8.50 | ) | (15.28 | ) | (13.67 | ) | (19.84 | ) | (33.56 | ) | ||||||||||||
Net asset value, end of period | $ | 23.90 | $ | 27.74 | $ | 36.24 | $ | 51.52 | $ | 65.19 | $ | 85.03 | ||||||||||||
Total Returnd | (13.84 | %) | (23.45 | %) | (29.66 | %) | (20.95 | %) | (23.31 | %) | (28.34 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 766 | $ | 795 | $ | 803 | $ | 913 | $ | 784 | $ | 1,245 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.46 | %) | (2.58 | %) | (2.45 | %) | (2.49 | %) | (2.42 | %) | (2.60 | %) | ||||||||||||
Total expenses | 2.53 | % | 2.60 | % | 2.47 | % | 2.57 | % | 2.53 | % | 2.67 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 59 |
INVERSE DOW 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012e | Year Ended December 31, 2011e | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.44 | $ | 39.46 | $ | 55.39 | $ | 69.76 | $ | 90.53 | $ | 125.33 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (.51 | ) | (.63 | ) | (.81 | ) | (.28 | ) | (1.26 | ) | (2.03 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.52 | ) | (8.39 | ) | (15.12 | ) | (14.09 | ) | (19.51 | ) | (32.77 | ) | ||||||||||||
Total from investment operations | (4.03 | ) | (9.02 | ) | (15.93 | ) | (14.37 | ) | (20.77 | ) | (34.80 | ) | ||||||||||||
Net asset value, end of period | $ | 26.41 | $ | 30.44 | $ | 39.46 | $ | 55.39 | $ | 69.76 | $ | 90.53 | ||||||||||||
Total Returnd | (13.24 | %) | (22.86 | %) | (28.73 | %) | (20.66 | %) | (22.89 | %) | (27.77 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,690 | $ | 7,363 | $ | 6,480 | $ | 8,507 | $ | 9,617 | $ | 10,765 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.72 | %) | (1.82 | %) | (1.75 | %) | (1.71 | %) | (1.67 | %) | (1.85 | %) | ||||||||||||
Total expenses | 1.82 | % | 1.84 | % | 1.77 | % | 1.79 | % | 1.79 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges. |
e | Reverse Share Split — Per share amounts for periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
60 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
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.
For the one-year period ended March 31, 2016, Russell 2000® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Russell 2000® Index. Russell 2000® 2x Strategy Fund H-Class returned -23.10%, while the Russell 2000® Index returned -1.34% over the same period.
Among sectors, the biggest performance contributors to the underlying index during the period were Utilities and Telecommunications Services. The Health Care sector detracted the most from return, followed by the Energy sector.
Synageva BioPharma Corp., Dyax Corp., and Piedmont Natural Gas Company, Inc. were the largest contributors to the performance of the underlying index for the year. Puma Biotechnology, Inc., Celldex Therapeutics, Inc., and SemGroup Corp. – Class A were the leading detractors from the performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s negative performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
Ten Largest Holdings (% of Total Net Assets) | |
STERIS plc | 0.2% |
CubeSmart | 0.2% |
West Pharmaceutical Services, Inc. | 0.2% |
TreeHouse Foods, Inc. | 0.2% |
Vail Resorts, Inc. | 0.2% |
Piedmont Natural Gas Company, Inc. | 0.2% |
MarketAxess Holdings, Inc. | 0.2% |
Sovran Self Storage, Inc. | 0.2% |
Highwoods Properties, Inc. | 0.2% |
Casey’s General Stores, Inc. | 0.2% |
Top Ten Total | 2.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
THE RYDEX FUNDS ANNUAL REPORT 61 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | Since Inception | |
A-Class Shares | -23.11% | 7.31% | 1.28% |
A-Class Shares with sales charge† | -26.76% | 6.27% | 0.78% |
C-Class Shares | -23.68% | 6.55% | 0.53% |
C-Class Shares with CDSC‡ | -24.38% | 6.55% | 0.53% |
H-Class Shares | -23.10% | 7.28% | 1.27% |
Russell 2000 Index | -1.34% | 11.40% | 8.15% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
62 | THE RYDEX FUNDS ANNUAL REPORT |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
COMMON STOCKS† - 58.6% | ||||||||
Financial - 15.4% | ||||||||
CubeSmart | 1,320 | $ | 43,956 | |||||
MarketAxess Holdings, Inc. | 280 | 34,952 | ||||||
Sovran Self Storage, Inc. | 296 | 34,913 | ||||||
Highwoods Properties, Inc. | 706 | 33,754 | ||||||
First American Financial Corp. | 818 | 31,173 | ||||||
Investors Bancorp, Inc. | 2,464 | 28,681 | ||||||
EPR Properties | 428 | 28,512 | ||||||
Sun Communities, Inc. | 379 | 27,140 | ||||||
Gramercy Property Trust | 3,148 | 26,601 | ||||||
DCT Industrial Trust, Inc. | 667 | 26,327 | ||||||
Umpqua Holdings Corp. | 1,655 | 26,248 | ||||||
FirstMerit Corp. | 1,243 | 26,164 | ||||||
CNO Financial Group, Inc. | 1,407 | 25,214 | ||||||
CyrusOne, Inc. | 550 | 25,108 | ||||||
Bank of the Ozarks, Inc. | 586 | 24,594 | ||||||
Webster Financial Corp. | 682 | 24,484 | ||||||
Prosperity Bancshares, Inc. | 524 | 24,308 | ||||||
Healthcare Realty Trust, Inc. | 760 | 23,476 | ||||||
PrivateBancorp, Inc. — Class A | 590 | 22,774 | ||||||
Medical Properties Trust, Inc. | 1,751 | 22,728 | ||||||
RLJ Lodging Trust | 991 | 22,673 | ||||||
Sunstone Hotel Investors, Inc. | 1,580 | 22,120 | ||||||
Western Alliance Bancorporation* | 651 | 21,730 | ||||||
RLI Corp. | 324 | 21,663 | ||||||
LaSalle Hotel Properties | 846 | 21,412 | ||||||
New Residential Investment Corp. REIT | 1,729 | 20,108 | ||||||
Ellie Mae, Inc.* | 220 | 19,940 | ||||||
FNB Corp. | 1,518 | 19,749 | ||||||
MGIC Investment Corp.* | 2,548 | 19,542 | ||||||
Education Realty Trust, Inc. | 467 | 19,427 | ||||||
GEO Group, Inc. | 560 | 19,415 | ||||||
DuPont Fabros Technology, Inc. | 472 | 19,130 | ||||||
United Bankshares, Inc. | 521 | 19,121 | ||||||
First Industrial Realty Trust, Inc. | 830 | 18,874 | ||||||
National Health Investors, Inc. | 283 | 18,825 | ||||||
MB Financial, Inc. | 563 | 18,269 | ||||||
Acadia Realty Trust | 517 | 18,162 | ||||||
Fulton Financial Corp. | 1,337 | 17,889 | ||||||
Radian Group, Inc. | 1,434 | 17,782 | ||||||
Home BancShares, Inc. | 430 | 17,609 | ||||||
Kite Realty Group Trust | 628 | 17,402 | ||||||
Urban Edge Properties | 672 | 17,364 | ||||||
Equity One, Inc. | 598 | 17,139 | ||||||
Cathay General Bancorp | 600 | 16,998 | ||||||
Cousins Properties, Inc. | 1,624 | 16,857 | ||||||
Ryman Hospitality Properties, Inc. | 325 | 16,731 | ||||||
Valley National Bancorp | 1,748 | 16,676 | ||||||
Primerica, Inc. | 366 | 16,299 | ||||||
Hudson Pacific Properties, Inc. | 560 | 16,195 | ||||||
Washington Federal, Inc. | 712 | 16,127 | ||||||
Janus Capital Group, Inc. | 1,099 | 16,078 | ||||||
Wintrust Financial Corp. | 358 | 15,874 | ||||||
Mack-Cali Realty Corp. | 674 | 15,839 | ||||||
Pebblebrook Hotel Trust | 543 | 15,785 | ||||||
Selective Insurance Group, Inc. | 426 | 15,596 | ||||||
BancorpSouth, Inc. | 724 | 15,428 | ||||||
UMB Financial Corp. | 296 | 15,282 | ||||||
Kennedy-Wilson Holdings, Inc. | 697 | 15,264 | ||||||
DiamondRock Hospitality Co. | 1,506 | 15,241 | ||||||
Physicians Realty Trust | 816 | 15,161 | ||||||
Stifel Financial Corp.* | 510 | 15,096 | ||||||
Retail Opportunity Investments Corp. | 744 | 14,969 | ||||||
Washington Real Estate Investment Trust | 510 | 14,897 | ||||||
PS Business Parks, Inc. | 147 | 14,775 | ||||||
IBERIABANK Corp. | 287 | 14,714 | ||||||
EastGroup Properties, Inc. | 242 | 14,610 | ||||||
First Citizens BancShares, Inc. — Class A | 58 | 14,562 | ||||||
Glacier Bancorp, Inc. | 566 | 14,388 | ||||||
Sterling Bancorp | 900 | 14,338 | ||||||
First Financial Bankshares, Inc. | 482 | 14,258 | ||||||
Colony Capital, Inc. — Class A | 838 | 14,053 | ||||||
Capitol Federal Financial, Inc. | 1,053 | 13,962 | ||||||
Blackhawk Network Holdings, Inc.* | 407 | 13,960 | ||||||
CVB Financial Corp. | 799 | 13,943 | ||||||
WageWorks, Inc.* | 268 | 13,563 | ||||||
Alexander & Baldwin, Inc. | 367 | 13,462 | ||||||
Hancock Holding Co. | 585 | 13,432 | ||||||
Evercore Partners, Inc. — Class A | 259 | 13,403 | ||||||
Lexington Realty Trust | 1,541 | 13,253 | ||||||
Pinnacle Financial Partners, Inc. | 270 | 13,245 | ||||||
Texas Capital Bancshares, Inc.* | 342 | 13,126 | ||||||
Xenia Hotels & Resorts, Inc. | 838 | 13,090 | ||||||
Columbia Banking System, Inc. | 433 | 12,955 | ||||||
CoreSite Realty Corp. | 183 | 12,812 | ||||||
LTC Properties, Inc. | 282 | 12,758 | ||||||
BGC Partners, Inc. — Class A | 1,374 | 12,435 | ||||||
Monogram Residential Trust, Inc. | 1,249 | 12,315 | ||||||
New York REIT, Inc. | 1,219 | 12,312 | ||||||
Community Bank System, Inc. | 320 | 12,227 | ||||||
Financial Engines, Inc. | 389 | 12,225 | ||||||
Argo Group International Holdings Ltd. | 209 | 11,995 | ||||||
Chesapeake Lodging Trust | 448 | 11,854 | ||||||
South State Corp. | 183 | 11,754 | ||||||
Trustmark Corp. | 507 | 11,676 | ||||||
Pennsylvania Real Estate Investment Trust | 520 | 11,362 | ||||||
National Penn Bancshares, Inc. | 1,051 | 11,183 | ||||||
American Assets Trust, Inc. | 278 | 11,098 | ||||||
Enstar Group Ltd.* | 68 | 11,055 | ||||||
EverBank Financial Corp. | 726 | 10,955 | ||||||
Eagle Bancorp, Inc.* | 226 | 10,847 | ||||||
Select Income REIT | 470 | 10,834 | ||||||
Hilltop Holdings, Inc.* | 573 | 10,818 | ||||||
Ramco-Gershenson Properties Trust | 596 | 10,746 | ||||||
Astoria Financial Corp. | 676 | 10,709 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Old National Bancorp | 878 | $ | 10,703 | |||||
PRA Group, Inc.* | 363 | 10,669 | ||||||
First Midwest Bancorp, Inc. | 586 | 10,560 | ||||||
Aircastle Ltd. | 467 | 10,386 | ||||||
Invesco Mortgage Capital, Inc. REIT | 852 | 10,377 | ||||||
Hatteras Financial Corp. REIT | 725 | 10,368 | ||||||
Northwest Bancshares, Inc. | 759 | 10,255 | ||||||
American Equity Investment Life Holding Co. | 609 | 10,231 | ||||||
Simmons First National Corp. — Class A | 223 | 10,051 | ||||||
Provident Financial Services, Inc. | 497 | 10,034 | ||||||
International Bancshares Corp. | 406 | 10,011 | ||||||
Parkway Properties, Inc. | 636 | 9,960 | ||||||
STAG Industrial, Inc. | 488 | 9,936 | ||||||
Renasant Corp. | 301 | 9,906 | ||||||
QTS Realty Trust, Inc. — Class A | 209 | 9,902 | ||||||
BofI Holding, Inc.* | 460 | 9,816 | ||||||
Sabra Health Care REIT, Inc. | 487 | 9,784 | ||||||
WisdomTree Investments, Inc. | 855 | 9,773 | ||||||
Horace Mann Educators Corp. | 308 | 9,761 | ||||||
CYS Investments, Inc. | 1,186 | 9,654 | ||||||
Kemper Corp. | 326 | 9,641 | ||||||
Potlatch Corp. | 304 | 9,576 | ||||||
Government Properties Income Trust | 528 | 9,425 | ||||||
Westamerica Bancorporation | 192 | 9,352 | ||||||
MBIA, Inc.* | 1,029 | 9,107 | ||||||
BBCN Bancorp, Inc. | 599 | 9,099 | ||||||
Chemical Financial Corp. | 253 | 9,030 | ||||||
Independent Bank Corp. | 196 | 9,008 | ||||||
NBT Bancorp, Inc. | 330 | 8,894 | ||||||
Park National Corp. | 98 | 8,820 | ||||||
FelCor Lodging Trust, Inc. | 1,075 | 8,729 | ||||||
Kearny Financial Corp. | 703 | 8,682 | ||||||
Essent Group Ltd.* | 416 | 8,653 | ||||||
WesBanco, Inc. | 291 | 8,646 | ||||||
Beneficial Bancorp, Inc.* | 621 | 8,501 | ||||||
Great Western Bancorp, Inc. | 311 | 8,481 | ||||||
First Financial Bancorp | 463 | 8,417 | ||||||
Union Bankshares Corp. | 337 | 8,300 | ||||||
STORE Capital Corp. | 303 | 7,842 | ||||||
Summit Hotel Properties, Inc. | 655 | 7,840 | ||||||
HFF, Inc. — Class A | 284 | 7,819 | ||||||
Yadkin Financial Corp. | 325 | 7,693 | ||||||
PennyMac Mortgage Investment Trust | 559 | 7,625 | ||||||
Redwood Trust, Inc. | 580 | 7,586 | ||||||
Terreno Realty Corp. | 322 | 7,551 | ||||||
Rexford Industrial Realty, Inc. | 415 | 7,536 | ||||||
WSFS Financial Corp. | 230 | 7,480 | ||||||
AMERISAFE, Inc. | 142 | 7,461 | ||||||
Hersha Hospitality Trust | 348 | 7,426 | ||||||
ServisFirst Bancshares, Inc. | 167 | 7,415 | ||||||
United Community Banks, Inc. | 398 | 7,351 | ||||||
Tompkins Financial Corp. | 113 | 7,232 | ||||||
Third Point Reinsurance Ltd.* | 635 | 7,220 | ||||||
Franklin Street Properties Corp. | 675 | 7,161 | ||||||
Boston Private Financial Holdings, Inc. | 624 | 7,145 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 438 | 7,139 | ||||||
Ameris Bancorp | 241 | 7,129 | ||||||
Capstead Mortgage Corp. | 719 | 7,111 | ||||||
St. Joe Co.* | 414 | 7,100 | ||||||
Colony Starwood Homes | 286 | 7,079 | ||||||
LegacyTexas Financial Group, Inc. | 358 | 7,035 | ||||||
Nelnet, Inc. — Class A | 178 | 7,008 | ||||||
Talmer Bancorp, Inc. — Class A | 385 | 6,965 | ||||||
FCB Financial Holdings, Inc. — Class A* | 209 | 6,951 | ||||||
Infinity Property & Casualty Corp. | 86 | 6,923 | ||||||
Employers Holdings, Inc. | 240 | 6,754 | ||||||
S&T Bancorp, Inc. | 261 | 6,723 | ||||||
United Fire Group, Inc. | 153 | 6,704 | ||||||
First Merchants Corp. | 284 | 6,694 | ||||||
Investors Real Estate Trust | 920 | 6,678 | ||||||
New Senior Investment Group, Inc. | 647 | 6,664 | ||||||
Navigators Group, Inc.* | 79 | 6,626 | ||||||
Banner Corp. | 157 | 6,600 | ||||||
TowneBank | 342 | 6,563 | ||||||
ARMOUR Residential REIT, Inc. | 301 | 6,481 | ||||||
National General Holdings Corp. | 300 | 6,477 | ||||||
Safety Insurance Group, Inc. | 113 | 6,448 | ||||||
FNFV Group* | 577 | 6,260 | ||||||
Stewart Information Services Corp. | 172 | 6,240 | ||||||
Chatham Lodging Trust | 288 | 6,172 | ||||||
Alexander’s, Inc. | 16 | 6,089 | ||||||
Berkshire Hills Bancorp, Inc. | 222 | 5,970 | ||||||
First Commonwealth Financial Corp. | 670 | 5,936 | ||||||
Agree Realty Corp. | 154 | 5,925 | ||||||
Cohen & Steers, Inc. | 152 | 5,916 | ||||||
Brookline Bancorp, Inc. | 525 | 5,780 | ||||||
Banc of California, Inc. | 330 | 5,775 | ||||||
Northfield Bancorp, Inc. | 351 | 5,770 | ||||||
Meridian Bancorp, Inc. | 412 | 5,735 | ||||||
Investment Technology Group, Inc. | 257 | 5,680 | ||||||
Lakeland Financial Corp. | 124 | 5,677 | ||||||
American Capital Mortgage Investment Corp. | 385 | 5,652 | ||||||
Monmouth Real Estate Investment Corp. | 472 | 5,612 | ||||||
Oritani Financial Corp. | 330 | 5,600 | ||||||
iStar, Inc.* | 571 | 5,516 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 286 | 5,497 | ||||||
Wilshire Bancorp, Inc. | 529 | 5,449 | ||||||
City Holding Co. | 114 | 5,447 | ||||||
Ambac Financial Group, Inc.* | 338 | 5,340 | ||||||
State Bank Financial Corp. | 268 | 5,296 | ||||||
Universal Health Realty Income Trust | 94 | 5,288 | ||||||
Hanmi Financial Corp. | 239 | 5,263 | ||||||
Sandy Spring Bancorp, Inc. | 185 | 5,149 | ||||||
Altisource Residential Corp. | 428 | 5,136 | ||||||
CenterState Banks, Inc. | 341 | 5,077 |
64 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Rouse Properties, Inc. | 274 | $ | 5,036 | |||||
Encore Capital Group, Inc.* | 195 | 5,019 | ||||||
Piper Jaffray Cos.* | 100 | 4,956 | ||||||
Southside Bancshares, Inc. | 189 | 4,927 | ||||||
Maiden Holdings Ltd. | 380 | 4,917 | ||||||
Capital Bank Financial Corp. — Class A | 159 | 4,905 | ||||||
Cardinal Financial Corp. | 241 | 4,904 | ||||||
Greenhill & Company, Inc. | 219 | 4,862 | ||||||
Walker & Dunlop, Inc.* | 200 | 4,854 | ||||||
Flushing Financial Corp. | 220 | 4,756 | ||||||
Customers Bancorp, Inc.* | 201 | 4,750 | ||||||
BNC Bancorp | 224 | 4,731 | ||||||
Greenlight Capital Re Ltd. — Class A* | 217 | 4,728 | ||||||
PHH Corp.* | 373 | 4,677 | ||||||
United Financial Bancorp, Inc. | 370 | 4,658 | ||||||
Cedar Realty Trust, Inc. | 639 | 4,620 | ||||||
CareTrust REIT, Inc. | 360 | 4,572 | ||||||
Cass Information Systems, Inc. | 86 | 4,502 | ||||||
FBL Financial Group, Inc. — Class A | 72 | 4,429 | ||||||
Ladder Capital Corp. — Class A | 352 | 4,382 | ||||||
Pacific Premier Bancorp, Inc.* | 205 | 4,381 | ||||||
Urstadt Biddle Properties, Inc. — Class A | 209 | 4,379 | ||||||
Heartland Financial USA, Inc. | 142 | 4,372 | ||||||
TrustCo Bank Corp. NY | 714 | 4,327 | ||||||
TriCo Bancshares | 170 | 4,304 | ||||||
Stock Yards Bancorp, Inc. | 111 | 4,277 | ||||||
Universal Insurance Holdings, Inc. | 240 | 4,272 | ||||||
Community Trust Bancorp, Inc. | 118 | 4,168 | ||||||
First Interstate BancSystem, Inc. — Class A | 148 | 4,163 | ||||||
Dime Community Bancshares, Inc. | 236 | 4,158 | ||||||
National Western Life Group, Inc. — Class A | 18 | 4,151 | ||||||
Washington Trust Bancorp, Inc. | 111 | 4,143 | ||||||
Enterprise Financial Services Corp. | 151 | 4,083 | ||||||
Diamond Hill Investment Group, Inc. | 23 | 4,079 | ||||||
Virtus Investment Partners, Inc. | 52 | 4,062 | ||||||
Silver Bay Realty Trust Corp. | 272 | 4,039 | ||||||
Ashford Hospitality Trust, Inc. | 627 | 4,000 | ||||||
First Potomac Realty Trust | 441 | 3,995 | ||||||
Heritage Financial Corp. | 226 | 3,971 | ||||||
1st Source Corp. | 124 | 3,948 | ||||||
New York Mortgage Trust, Inc. REIT | 822 | 3,896 | ||||||
Saul Centers, Inc. | 73 | 3,870 | ||||||
Getty Realty Corp. | 192 | 3,807 | ||||||
Central Pacific Financial Corp. | 174 | 3,788 | ||||||
Moelis & Co. — Class A | 132 | 3,726 | ||||||
First Busey Corp. | 181 | 3,707 | ||||||
ConnectOne Bancorp, Inc. | 224 | 3,662 | ||||||
Anworth Mortgage Asset Corp. | 785 | 3,658 | ||||||
National Storage Affiliates Trust | 171 | 3,625 | ||||||
MainSource Financial Group, Inc. | 163 | 3,438 | ||||||
HomeStreet, Inc.* | 165 | 3,434 | ||||||
Bryn Mawr Bank Corp. | 133 | 3,422 | ||||||
Bridge Bancorp, Inc. | 112 | 3,413 | ||||||
Westwood Holdings Group, Inc. | 58 | 3,402 | ||||||
Flagstar Bancorp, Inc.* | 154 | 3,304 | ||||||
Forestar Group, Inc.* | 252 | 3,287 | ||||||
CoBiz Financial, Inc. | 273 | 3,227 | ||||||
Apollo Residential Mortgage, Inc. | 240 | 3,221 | ||||||
German American Bancorp, Inc. | 100 | 3,220 | ||||||
CatchMark Timber Trust, Inc. — Class A | 297 | 3,216 | ||||||
Cowen Group, Inc. — Class A* | 835 | 3,181 | ||||||
Virtu Financial, Inc. — Class A | 143 | 3,162 | ||||||
Western Asset Mortgage Capital Corp. REIT | 314 | 3,156 | ||||||
BancFirst Corp. | 55 | 3,137 | ||||||
KCG Holdings, Inc. — Class A* | 258 | 3,083 | ||||||
Financial Institutions, Inc. | 106 | 3,081 | ||||||
International. FCStone, Inc.* | 113 | 3,020 | ||||||
RE/MAX Holdings, Inc. — Class A | 88 | 3,018 | ||||||
Heritage Insurance Holdings, Inc. | 185 | 2,954 | ||||||
Clifton Bancorp, Inc. | 195 | 2,948 | ||||||
State National Companies, Inc. | 234 | 2,948 | ||||||
Federal Agricultural Mortgage Corp. — Class C | 78 | 2,943 | ||||||
Nationstar Mortgage Holdings, Inc.* | 294 | 2,911 | ||||||
Great Southern Bancorp, Inc. | 78 | 2,896 | ||||||
Lakeland Bancorp, Inc. | 284 | 2,883 | ||||||
Blue Hills Bancorp, Inc. | 210 | 2,871 | ||||||
Univest Corporation of Pennsylvania | 147 | 2,868 | ||||||
First Financial Corp. | 83 | 2,839 | ||||||
Mercantile Bank Corp. | 126 | 2,825 | ||||||
Seacoast Banking Corporation of Florida* | 178 | 2,811 | ||||||
InfraREIT, Inc. | 164 | 2,796 | ||||||
Waterstone Financial, Inc. | 204 | 2,791 | ||||||
First Bancorp | 148 | 2,790 | ||||||
AG Mortgage Investment Trust, Inc. | 212 | 2,771 | ||||||
Gladstone Commercial Corp. | 165 | 2,703 | ||||||
Resource Capital Corp. | 240 | 2,700 | ||||||
First Defiance Financial Corp. | 70 | 2,689 | ||||||
Peoples Bancorp, Inc. | 137 | 2,677 | ||||||
CU Bancorp* | 126 | 2,667 | ||||||
Citizens, Inc.* | 368 | 2,664 | ||||||
Anchor BanCorp Wisconsin, Inc.* | 59 | 2,659 | ||||||
HomeTrust Bancshares, Inc.* | 145 | 2,658 | ||||||
Opus Bank | 78 | 2,652 | ||||||
First of Long Island Corp. | 93 | 2,651 | ||||||
Bank Mutual Corp. | 350 | 2,650 | ||||||
Preferred Bank/Los Angeles CA | 87 | 2,632 | ||||||
Marcus & Millichap, Inc.* | 102 | 2,590 | ||||||
Meta Financial Group, Inc. | 56 | 2,554 | ||||||
First BanCorp* | 872 | 2,546 | ||||||
Whitestone REIT — Class B | 202 | 2,539 | ||||||
Stonegate Bank | 84 | 2,517 | ||||||
Independent Bank Corp. | 172 | 2,503 | ||||||
First Community Bancshares, Inc. | 126 | 2,500 | ||||||
Armada Hoffler Properties, Inc. | 222 | 2,498 | ||||||
Dynex Capital, Inc. | 372 | 2,474 | ||||||
State Auto Financial Corp. | 112 | 2,471 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
United Insurance Holdings Corp. | 128 | $ | 2,459 | |||||
OM Asset Management plc | 184 | 2,456 | ||||||
Ashford Hospitality Prime, Inc. | 207 | 2,416 | ||||||
Altisource Portfolio Solutions S.A.* | 100 | 2,415 | ||||||
Pacific Continental Corp. | 147 | 2,371 | ||||||
Camden National Corp. | 56 | 2,352 | ||||||
First NBC Bank Holding Co.* | 114 | 2,347 | ||||||
OFG Bancorp | 334 | 2,335 | ||||||
Park Sterling Corp. | 337 | 2,248 | ||||||
Houlihan Lokey, Inc. | 90 | 2,241 | ||||||
Arrow Financial Corp. | 84 | 2,232 | ||||||
Ares Commercial Real Estate Corp. | 203 | 2,223 | ||||||
Suffolk Bancorp | 88 | 2,221 | ||||||
Bank of Marin Bancorp | 45 | 2,215 | ||||||
Fidelity & Guaranty Life | 84 | 2,204 | ||||||
West Bancorporation, Inc. | 120 | 2,188 | ||||||
Walter Investment Management Corp.* | 284 | 2,170 | ||||||
Arlington Asset Investment Corp. — Class A | 173 | 2,168 | ||||||
United Community Financial Corp. | 369 | 2,166 | ||||||
OneBeacon Insurance Group Ltd. — Class A | 170 | 2,164 | ||||||
Southwest Bancorp, Inc. | 142 | 2,137 | ||||||
RAIT Financial Trust | 680 | 2,135 | ||||||
HCI Group, Inc. | 64 | 2,131 | ||||||
Preferred Apartment Communities, Inc. — Class A | 168 | 2,130 | ||||||
Peoples Financial Services Corp. | 57 | 2,120 | ||||||
Fidelity Southern Corp. | 132 | 2,117 | ||||||
One Liberty Properties, Inc. | 94 | 2,107 | ||||||
Horizon Bancorp | 85 | 2,101 | ||||||
Federated National Holding Co. | 106 | 2,084 | ||||||
QCR Holdings, Inc. | 87 | 2,075 | ||||||
World Acceptance Corp.* | 54 | 2,048 | ||||||
Independent Bank Group, Inc. | 74 | 2,028 | ||||||
TriState Capital Holdings, Inc.* | 159 | 2,003 | ||||||
Ocwen Financial Corp.* | 807 | 1,993 | ||||||
Ladenburg Thalmann Financial Services, Inc.* | 791 | 1,978 | ||||||
Global Indemnity plc — Class A* | 63 | 1,961 | ||||||
Peapack Gladstone Financial Corp. | 116 | 1,960 | ||||||
Republic Bancorp, Inc. — Class A | 75 | 1,937 | ||||||
First Connecticut Bancorp, Inc. | 120 | 1,915 | ||||||
Easterly Government Properties, Inc. | 103 | 1,908 | ||||||
CNB Financial Corp. | 108 | 1,900 | ||||||
NMI Holdings, Inc. — Class A* | 373 | 1,884 | ||||||
NexPoint Residential Trust, Inc. | 143 | 1,872 | ||||||
FRP Holdings, Inc.* | 52 | 1,851 | ||||||
Heritage Commerce Corp. | 182 | 1,822 | ||||||
National Bankshares, Inc. | 53 | 1,819 | ||||||
CorEnergy Infrastructure Trust, Inc. | 90 | 1,810 | ||||||
Citizens & Northern Corp. | 91 | 1,809 | ||||||
Triumph Bancorp, Inc.* | 113 | 1,789 | ||||||
UMH Properties, Inc. | 177 | 1,756 | ||||||
OceanFirst Financial Corp. | 99 | 1,750 | ||||||
GAMCO Investors, Inc. — Class A | 47 | 1,742 | ||||||
Ames National Corp. | 70 | 1,733 | ||||||
Baldwin & Lyons, Inc. — Class B | 70 | 1,723 | ||||||
Guaranty Bancorp | 111 | 1,716 | ||||||
Independence Realty Trust, Inc. | 241 | 1,716 | ||||||
Orchid Island Capital, Inc. | 164 | 1,701 | ||||||
Territorial Bancorp, Inc. | 65 | 1,694 | ||||||
Fox Chase Bancorp, Inc. | 87 | 1,681 | ||||||
American National Bankshares, Inc. | 66 | 1,672 | ||||||
Charter Financial Corp. | 122 | 1,647 | ||||||
BankFinancial Corp. | 138 | 1,631 | ||||||
MidWestOne Financial Group, Inc. | 59 | 1,620 | ||||||
National Interstate Corp. | 54 | 1,616 | ||||||
Real Industry, Inc.* | 184 | 1,600 | ||||||
Sierra Bancorp | 88 | 1,597 | ||||||
GAIN Capital Holdings, Inc. | 242 | 1,588 | ||||||
NewStar Financial, Inc.* | 181 | 1,584 | ||||||
Old Second Bancorp, Inc.* | 220 | 1,577 | ||||||
First Bancorp, Inc. | 80 | 1,561 | ||||||
Bluerock Residential Growth REIT, Inc. | 141 | 1,534 | ||||||
Consolidated-Tomoka Land Co. | 33 | 1,523 | ||||||
EMC Insurance Group, Inc. | 59 | 1,513 | ||||||
Sun Bancorp, Inc.* | 73 | 1,512 | ||||||
Enterprise Bancorp, Inc. | 57 | 1,496 | ||||||
Bar Harbor Bankshares | 45 | 1,494 | ||||||
First Business Financial Services, Inc. | 65 | 1,490 | ||||||
Farmers Capital Bank Corp. | 56 | 1,480 | ||||||
Acacia Research Corp. | 383 | 1,452 | ||||||
Bancorp, Inc.* | 252 | 1,441 | ||||||
Atlas Financial Holdings, Inc.* | 78 | 1,415 | ||||||
Regional Management Corp.* | 82 | 1,403 | ||||||
Penns Woods Bancorp, Inc. | 36 | 1,387 | ||||||
Heritage Oaks Bancorp | 178 | 1,387 | ||||||
Crawford & Co. — Class B | 213 | 1,380 | ||||||
BSB Bancorp, Inc.* | 61 | 1,371 | ||||||
Cascade Bancorp* | 231 | 1,319 | ||||||
Associated Capital Group, Inc. — Class A* | 47 | 1,317 | ||||||
Tiptree Financial, Inc. — Class A | 225 | 1,283 | ||||||
eHealth, Inc.* | 135 | 1,268 | ||||||
Enova International, Inc.* | 198 | 1,249 | ||||||
CommunityOne Bancorp* | 93 | 1,235 | ||||||
Oppenheimer Holdings, Inc. — Class A | 78 | 1,231 | ||||||
Trupanion, Inc.* | 124 | 1,221 | ||||||
Hallmark Financial Services, Inc.* | 106 | 1,219 | ||||||
RMR Group, Inc. — Class A* | 48 | 1,200 | ||||||
Hingham Institution for Savings | 10 | 1,191 | ||||||
Capital City Bank Group, Inc. | 81 | 1,182 | ||||||
PennyMac Financial Services, Inc. — Class A* | 99 | 1,164 | ||||||
Calamos Asset Management, Inc. — Class A | 133 | 1,129 | ||||||
Franklin Financial Network, Inc.* | 41 | 1,107 | ||||||
Merchants Bancshares, Inc. | 37 | 1,100 | ||||||
C1 Financial, Inc.* | 45 | 1,089 | ||||||
National Commerce Corp.* | 46 | 1,086 | ||||||
Access National Corp. | 54 | 1,071 |
66 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Century Bancorp, Inc. — Class A | 27 | $ | 1,051 | |||||
Donegal Group, Inc. — Class A | 65 | 935 | ||||||
Marlin Business Services Corp. | 65 | 930 | ||||||
Bear State Financial, Inc.* | 100 | 927 | ||||||
Impac Mortgage Holdings, Inc.* | 64 | 888 | ||||||
Independence Holding Co. | 53 | 844 | ||||||
Green Bancorp, Inc.* | 107 | 810 | ||||||
United Development Funding IV†† | 233 | 746 | ||||||
Pzena Investment Management, Inc. — Class A | 95 | 717 | ||||||
On Deck Capital, Inc.* | 87 | 678 | ||||||
Stonegate Mortgage Corp.* | 109 | 626 | ||||||
Live Oak Bancshares, Inc. | 36 | 540 | ||||||
Hampton Roads Bankshares, Inc.* | 257 | 455 | ||||||
Ashford, Inc.* | 8 | 365 | ||||||
Great Ajax Corp. | 32 | 358 | ||||||
CIFC LLC | 46 | 327 | ||||||
BBX Capital Corp. — Class A* | 20 | 319 | ||||||
Allegiance Bancshares, Inc.* | 14 | 257 | ||||||
Medley Management, Inc. — Class A | 45 | 248 | ||||||
Equity Bancshares, Inc. — Class A* | 11 | 231 | ||||||
People’s Utah Bancorp | 14 | 222 | ||||||
ZAIS Group Holdings, Inc.* | 28 | 136 | ||||||
JG Wentworth Co. — Class A* | 108 | 132 | ||||||
Fifth Street Asset Management, Inc. | 43 | 132 | ||||||
Altisource Asset Management Corp.* | 7 | 83 | ||||||
RCS Capital Corp. — Class A* | 593 | 6 | ||||||
Total Financial | 3,215,366 | |||||||
Consumer, Non-cyclical - 12.3% | ||||||||
STERIS plc | 639 | 45,401 | ||||||
West Pharmaceutical Services, Inc. | 541 | 37,501 | ||||||
TreeHouse Foods, Inc.* | 424 | 36,782 | ||||||
Post Holdings, Inc.* | 462 | 31,772 | ||||||
WellCare Health Plans, Inc.* | 330 | 30,607 | ||||||
Amsurg Corp. — Class A* | 404 | 30,138 | ||||||
ABIOMED, Inc.* | 312 | 29,581 | ||||||
Euronet Worldwide, Inc.* | 393 | 29,125 | ||||||
Heartland Payment Systems, Inc. | 274 | 26,460 | ||||||
PAREXEL International Corp.* | 413 | 25,907 | ||||||
HealthSouth Corp. | 687 | 25,852 | ||||||
Neurocrine Biosciences, Inc.* | 642 | 25,392 | ||||||
Deluxe Corp. | 375 | 23,433 | ||||||
Team Health Holdings, Inc.* | 545 | 22,785 | ||||||
Cimpress N.V.* | 246 | 22,310 | ||||||
Helen of Troy Ltd.* | 213 | 22,086 | ||||||
Prestige Brands Holdings, Inc.* | 391 | 20,876 | ||||||
Healthcare Services Group, Inc. | 537 | 19,766 | ||||||
Myriad Genetics, Inc.* | 521 | 19,500 | ||||||
Owens & Minor, Inc. | 472 | 19,078 | ||||||
Molina Healthcare, Inc.* | 294 | 18,960 | ||||||
Cantel Medical Corp. | 258 | 18,411 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 288 | 18,233 | ||||||
Bright Horizons Family Solutions, Inc.* | 280 | 18,139 | ||||||
LivaNova plc* | 334 | 18,028 | ||||||
Cepheid* | 539 | 17,982 | ||||||
NuVasive, Inc.* | 363 | 17,659 | ||||||
ACADIA Pharmaceuticals, Inc.* | 630 | 17,615 | ||||||
Chemed Corp. | 128 | 17,338 | ||||||
Impax Laboratories, Inc.* | 538 | 17,227 | ||||||
Monro Muffler Brake, Inc. | 240 | 17,153 | ||||||
Catalent, Inc.* | 633 | 16,882 | ||||||
Anacor Pharmaceuticals, Inc.* | 308 | 16,463 | ||||||
B&G Foods, Inc. | 470 | 16,360 | ||||||
Snyder’s-Lance, Inc. | 520 | 16,360 | ||||||
Darling Ingredients, Inc.* | 1,236 | 16,278 | ||||||
CEB, Inc. | 251 | 16,248 | ||||||
Medicines Co.* | 495 | 15,726 | ||||||
Lancaster Colony Corp. | 140 | 15,480 | ||||||
Sanderson Farms, Inc. | 170 | 15,331 | ||||||
United Natural Foods, Inc.* | 379 | 15,274 | ||||||
Grand Canyon Education, Inc.* | 353 | 15,088 | ||||||
Vector Group Ltd. | 644 | 14,709 | ||||||
Pacira Pharmaceuticals, Inc.* | 273 | 14,464 | ||||||
On Assignment, Inc.* | 387 | 14,287 | ||||||
Integra LifeSciences Holdings Corp.* | 212 | 14,280 | ||||||
Insulet Corp.* | 426 | 14,126 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 131 | 14,029 | ||||||
Neogen Corp.* | 277 | 13,947 | ||||||
Masimo Corp.* | 327 | 13,682 | ||||||
Haemonetics Corp.* | 388 | 13,572 | ||||||
Nektar Therapeutics* | 987 | 13,571 | ||||||
ABM Industries, Inc. | 419 | 13,538 | ||||||
Magellan Health, Inc.* | 189 | 12,839 | ||||||
Boston Beer Company, Inc. — Class A* | 69 | 12,770 | ||||||
Matthews International Corp. — Class A | 247 | 12,713 | ||||||
Sotheby’s | 466 | 12,456 | ||||||
Dean Foods Co. | 708 | 12,262 | ||||||
Brink’s Co. | 365 | 12,260 | ||||||
Globus Medical, Inc. — Class A* | 516 | 12,255 | ||||||
Cal-Maine Foods, Inc. | 234 | 12,147 | ||||||
J&J Snack Foods Corp. | 112 | 12,127 | ||||||
Cardtronics, Inc.* | 336 | 12,093 | ||||||
AMN Healthcare Services, Inc.* | 356 | 11,965 | ||||||
WD-40 Co. | 109 | 11,773 | ||||||
SUPERVALU, Inc.* | 1,981 | 11,410 | ||||||
Tumi Holdings, Inc.* | 421 | 11,291 | ||||||
Kite Pharma, Inc.* | 243 | 11,156 | ||||||
Wright Medical Group N.V.* | 669 | 11,105 | ||||||
FTI Consulting, Inc.* | 311 | 11,044 | ||||||
ICU Medical, Inc.* | 106 | 11,035 | ||||||
Travelport Worldwide Ltd. | 792 | 10,819 | ||||||
Korn/Ferry International | 378 | 10,694 | ||||||
Air Methods Corp.* | 294 | 10,649 | ||||||
Fresh Del Monte Produce, Inc. | 251 | 10,560 | ||||||
Prothena Corporation plc* | 254 | 10,454 | ||||||
Novavax, Inc.* | 2,011 | 10,377 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 943 | 10,316 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Cambrex Corp.* | 234 | $ | 10,295 | |||||
Advisory Board Co.* | 318 | 10,256 | ||||||
Amedisys, Inc.* | 211 | 10,200 | ||||||
Halyard Health, Inc.* | 349 | 10,027 | ||||||
Universal Corp. | 169 | 9,601 | ||||||
HMS Holdings Corp.* | 665 | 9,543 | ||||||
Natus Medical, Inc.* | 247 | 9,492 | ||||||
Huron Consulting Group, Inc.* | 162 | 9,427 | ||||||
Select Medical Holdings Corp.* | 788 | 9,307 | ||||||
ExamWorks Group, Inc.* | 313 | 9,252 | ||||||
Fresh Market, Inc.* | 324 | 9,244 | ||||||
CONMED Corp. | 208 | 8,724 | ||||||
Ensign Group, Inc. | 382 | 8,648 | ||||||
SpartanNash Co. | 282 | 8,547 | ||||||
LifeLock, Inc.* | 708 | 8,546 | ||||||
Acorda Therapeutics, Inc.* | 320 | 8,464 | ||||||
Emergent BioSolutions, Inc.* | 227 | 8,251 | ||||||
DeVry Education Group, Inc. | 477 | 8,238 | ||||||
TrueBlue, Inc.* | 314 | 8,211 | ||||||
Affymetrix, Inc.* | 582 | 8,154 | ||||||
Innoviva, Inc. | 640 | 8,058 | ||||||
ARIAD Pharmaceuticals, Inc.* | 1,256 | 8,026 | ||||||
Green Dot Corp. — Class A* | 343 | 7,879 | ||||||
Kindred Healthcare, Inc. | 632 | 7,805 | ||||||
Radius Health, Inc.* | 247 | 7,766 | ||||||
Abaxis, Inc. | 169 | 7,671 | ||||||
TESARO, Inc.* | 174 | 7,661 | ||||||
FibroGen, Inc.* | 358 | 7,622 | ||||||
Portola Pharmaceuticals, Inc.* | 373 | 7,609 | ||||||
Insperity, Inc. | 146 | 7,553 | ||||||
Halozyme Therapeutics, Inc.* | 797 | 7,548 | ||||||
Ophthotech Corp.* | 177 | 7,482 | ||||||
Diplomat Pharmacy, Inc.* | 272 | 7,453 | ||||||
Surgical Care Affiliates, Inc.* | 161 | 7,451 | ||||||
ACCO Brands Corp.* | 824 | 7,400 | ||||||
Analogic Corp. | 93 | 7,348 | ||||||
Amicus Therapeutics, Inc.* | 869 | 7,343 | ||||||
Cynosure, Inc. — Class A* | 166 | 7,324 | ||||||
Merrimack Pharmaceuticals, Inc.* | 865 | 7,240 | ||||||
MiMedx Group, Inc.* | 815 | 7,123 | ||||||
NxStage Medical, Inc.* | 475 | 7,120 | ||||||
Nevro Corp.* | 126 | 7,089 | ||||||
TherapeuticsMD, Inc.* | 1,080 | 6,912 | ||||||
EVERTEC, Inc. | 492 | 6,878 | ||||||
Five Prime Therapeutics, Inc.* | 169 | 6,866 | ||||||
Greatbatch, Inc.* | 191 | 6,807 | ||||||
Achillion Pharmaceuticals, Inc.* | 881 | 6,801 | ||||||
Exelixis, Inc.* | 1,687 | 6,748 | ||||||
HealthEquity, Inc.* | 272 | 6,710 | ||||||
Andersons, Inc. | 213 | 6,690 | ||||||
Team, Inc.* | 218 | 6,623 | ||||||
Repligen Corp.* | 246 | 6,598 | ||||||
Zeltiq Aesthetics, Inc.* | 242 | 6,573 | ||||||
Sarepta Therapeutics, Inc.* | 335 | 6,539 | ||||||
ZIOPHARM Oncology, Inc.* | 869 | 6,448 | ||||||
Meridian Bioscience, Inc. | 312 | 6,431 | ||||||
PRA Health Sciences, Inc.* | 149 | 6,371 | ||||||
Rent-A-Center, Inc. | 399 | 6,324 | ||||||
Calavo Growers, Inc. | 110 | 6,277 | ||||||
Depomed, Inc.* | 449 | 6,255 | ||||||
Luminex Corp.* | 322 | 6,247 | ||||||
Merit Medical Systems, Inc.* | 329 | 6,083 | ||||||
AMAG Pharmaceuticals, Inc.* | 258 | 6,037 | ||||||
Seaboard Corp.* | 2 | 6,006 | ||||||
Orthofix International N.V.* | 141 | 5,854 | ||||||
Insmed, Inc.* | 462 | 5,854 | ||||||
Apollo Education Group, Inc. — Class A* | 708 | 5,816 | ||||||
Coca-Cola Bottling Company Consolidated | 36 | 5,752 | ||||||
Navigant Consulting, Inc.* | 361 | 5,707 | ||||||
Intra-Cellular Therapies, Inc.* | 200 | 5,560 | ||||||
ImmunoGen, Inc.* | 646 | 5,504 | ||||||
Inogen, Inc.* | 118 | 5,308 | ||||||
Dynavax Technologies Corp.* | 274 | 5,272 | ||||||
Providence Service Corp.* | 103 | 5,260 | ||||||
USANA Health Sciences, Inc.* | 43 | 5,222 | ||||||
Central Garden & Pet Co. — Class A* | 317 | 5,164 | ||||||
ICF International, Inc.* | 147 | 5,052 | ||||||
PharMerica Corp.* | 228 | 5,041 | ||||||
Tootsie Roll Industries, Inc. | 143 | 5,002 | ||||||
Anika Therapeutics, Inc.* | 111 | 4,964 | ||||||
Exact Sciences Corp.* | 721 | 4,860 | ||||||
LDR Holding Corp.* | 189 | 4,818 | ||||||
Capella Education Co. | 91 | 4,790 | ||||||
Inovio Pharmaceuticals, Inc.* | 538 | 4,686 | ||||||
National Healthcare Corp. | 75 | 4,673 | ||||||
US Physical Therapy, Inc. | 93 | 4,625 | ||||||
Spectranetics Corp.* | 318 | 4,617 | ||||||
Cempra, Inc.* | 263 | 4,608 | ||||||
LendingTree, Inc.* | 47 | 4,596 | ||||||
Endologix, Inc.* | 549 | 4,590 | ||||||
RPX Corp.* | 407 | 4,583 | ||||||
McGrath RentCorp | 181 | 4,539 | ||||||
NutriSystem, Inc. | 217 | 4,529 | ||||||
Triple-S Management Corp. — Class B* | 181 | 4,500 | ||||||
TriNet Group, Inc.* | 309 | 4,434 | ||||||
MacroGenics, Inc.* | 236 | 4,425 | ||||||
Viad Corp. | 151 | 4,403 | ||||||
Omeros Corp.* | 287 | 4,403 | ||||||
Resources Connection, Inc. | 282 | 4,388 | ||||||
John B Sanfilippo & Son, Inc. | 63 | 4,353 | ||||||
Atrion Corp. | 11 | 4,349 | ||||||
Alder Biopharmaceuticals, Inc.* | 176 | 4,310 | ||||||
Acceleron Pharma, Inc.* | 162 | 4,275 | ||||||
Momenta Pharmaceuticals, Inc.* | 462 | 4,269 | ||||||
Kelly Services, Inc. — Class A | 223 | 4,264 | ||||||
Cerus Corp.* | 716 | 4,246 |
68 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Vascular Solutions, Inc.* | 130 | $ | 4,229 | |||||
Heron Therapeutics, Inc.* | 219 | 4,159 | ||||||
PDL BioPharma, Inc. | 1,231 | 4,099 | ||||||
Capital Senior Living Corp.* | 221 | 4,093 | ||||||
HeartWare International, Inc.* | 130 | 4,085 | ||||||
SciClone Pharmaceuticals, Inc.* | 371 | 4,081 | ||||||
Incorporated Research Holdings, Inc. — Class A* | 98 | 4,039 | ||||||
Theravance Biopharma, Inc.* | 214 | 4,023 | ||||||
Clovis Oncology, Inc.* | 209 | 4,013 | ||||||
Strayer Education, Inc.* | 82 | 3,998 | ||||||
Supernus Pharmaceuticals, Inc.* | 258 | 3,935 | ||||||
Inter Parfums, Inc. | 127 | 3,925 | ||||||
Pacific Biosciences of California, Inc.* | 455 | 3,868 | ||||||
Paylocity Holding Corp.* | 116 | 3,798 | ||||||
Ennis, Inc. | 193 | 3,773 | ||||||
Coherus Biosciences, Inc.* | 177 | 3,758 | ||||||
Ingles Markets, Inc. — Class A | 100 | 3,750 | ||||||
CBIZ, Inc.* | 370 | 3,733 | ||||||
Lexicon Pharmaceuticals, Inc.* | 312 | 3,728 | ||||||
Quidel Corp.* | 216 | 3,728 | ||||||
Weis Markets, Inc. | 82 | 3,695 | ||||||
Epizyme, Inc.* | 302 | 3,660 | ||||||
Keryx Biopharmaceuticals, Inc.* | 778 | 3,633 | ||||||
Kforce, Inc. | 184 | 3,603 | ||||||
National Beverage Corp.* | 85 | 3,597 | ||||||
AtriCure, Inc.* | 213 | 3,585 | ||||||
Retrophin, Inc.* | 262 | 3,579 | ||||||
Arena Pharmaceuticals, Inc.* | 1,816 | 3,578 | ||||||
Lannett Company, Inc.* | 198 | 3,550 | ||||||
Phibro Animal Health Corp. — Class A | 131 | 3,542 | ||||||
Enanta Pharmaceuticals, Inc.* | 120 | 3,524 | ||||||
LHC Group, Inc.* | 99 | 3,520 | ||||||
Geron Corp.* | 1,185 | 3,460 | ||||||
Accuray, Inc.* | 593 | 3,428 | ||||||
Sage Therapeutics, Inc.* | 104 | 3,334 | ||||||
Relypsa, Inc.* | 246 | 3,333 | ||||||
Genomic Health, Inc.* | 134 | 3,319 | ||||||
Heidrick & Struggles International, Inc. | 138 | 3,271 | ||||||
Invacare Corp. | 244 | 3,213 | ||||||
Spectrum Pharmaceuticals, Inc.* | 502 | 3,193 | ||||||
Sangamo BioSciences, Inc.* | 524 | 3,170 | ||||||
Revlon, Inc. — Class A* | 86 | 3,131 | ||||||
Array BioPharma, Inc.* | 1,056 | 3,115 | ||||||
OraSure Technologies, Inc.* | 422 | 3,051 | ||||||
Weight Watchers International, Inc.* | 208 | 3,022 | ||||||
SP Plus Corp.* | 125 | 3,008 | ||||||
MannKind Corp.* | 1,851 | 2,980 | ||||||
Smart & Final Stores, Inc.* | 182 | 2,948 | ||||||
Performance Food Group Co.* | 126 | 2,942 | ||||||
Amphastar Pharmaceuticals, Inc.* | 239 | 2,868 | ||||||
Chefs’ Warehouse, Inc.* | 141 | 2,861 | ||||||
Albany Molecular Research, Inc.* | 187 | 2,859 | ||||||
Xencor, Inc.* | 213 | 2,858 | ||||||
NewLink Genetics Corp.* | 156 | 2,839 | ||||||
Rockwell Medical, Inc.* | 377 | 2,831 | ||||||
Celldex Therapeutics, Inc.* | 746 | 2,820 | ||||||
Insys Therapeutics, Inc.* | 176 | 2,814 | ||||||
Cross Country Healthcare, Inc.* | 241 | 2,803 | ||||||
Quad/Graphics, Inc. | 215 | 2,782 | ||||||
Raptor Pharmaceutical Corp.* | 603 | 2,774 | ||||||
Omega Protein Corp.* | 163 | 2,761 | ||||||
Hackett Group, Inc. | 179 | 2,706 | ||||||
NeoGenomics, Inc.* | 401 | 2,703 | ||||||
Universal American Corp. | 376 | 2,685 | ||||||
James River Group Holdings Ltd. | 82 | 2,645 | ||||||
Vanda Pharmaceuticals, Inc.* | 314 | 2,625 | ||||||
Adeptus Health, Inc. — Class A* | 47 | 2,610 | ||||||
Eagle Pharmaceuticals, Inc.* | 64 | 2,592 | ||||||
Accelerate Diagnostics, Inc.* | 178 | 2,558 | ||||||
American Public Education, Inc.* | 123 | 2,537 | ||||||
CorVel Corp.* | 64 | 2,523 | ||||||
Forrester Research, Inc. | 75 | 2,521 | ||||||
K12, Inc.* | 253 | 2,502 | ||||||
Carriage Services, Inc. — Class A | 115 | 2,485 | ||||||
Cardiovascular Systems, Inc.* | 237 | 2,458 | ||||||
Medifast, Inc. | 81 | 2,445 | ||||||
Dermira, Inc.* | 116 | 2,399 | ||||||
Atara Biotherapeutics, Inc.* | 126 | 2,398 | ||||||
Revance Therapeutics, Inc.* | 137 | 2,392 | ||||||
Agenus, Inc.* | 574 | 2,388 | ||||||
Landauer, Inc. | 72 | 2,381 | ||||||
BioTelemetry, Inc.* | 202 | 2,359 | ||||||
Intersect ENT, Inc.* | 124 | 2,356 | ||||||
Healthways, Inc.* | 232 | 2,341 | ||||||
AngioDynamics, Inc.* | 189 | 2,323 | ||||||
Career Education Corp.* | 510 | 2,315 | ||||||
Progenics Pharmaceuticals, Inc.* | 522 | 2,276 | ||||||
TG Therapeutics, Inc.* | 265 | 2,258 | ||||||
Monster Worldwide, Inc.* | 685 | 2,233 | ||||||
Corcept Therapeutics, Inc.* | 463 | 2,167 | ||||||
La Jolla Pharmaceutical Co.* | 103 | 2,154 | ||||||
STAAR Surgical Co.* | 291 | 2,150 | ||||||
Arrowhead Research Corp.* | 445 | 2,145 | ||||||
Tejon Ranch Co.* | 103 | 2,119 | ||||||
CryoLife, Inc. | 193 | 2,075 | ||||||
Synergy Pharmaceuticals, Inc.* | 750 | 2,070 | ||||||
Advaxis, Inc.* | 227 | 2,050 | ||||||
Sucampo Pharmaceuticals, Inc. — Class A* | 186 | 2,033 | ||||||
Great Lakes Dredge & Dock Corp.* | 453 | 2,020 | ||||||
Sagent Pharmaceuticals, Inc.* | 166 | 2,020 | ||||||
ANI Pharmaceuticals, Inc.* | 60 | 2,020 | ||||||
Almost Family, Inc.* | 54 | 2,011 | ||||||
Akebia Therapeutics, Inc.* | 223 | 2,009 | ||||||
XenoPort, Inc.* | 444 | 2,002 | ||||||
Natural Health Trends Corp. | 60 | 1,989 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Trevena, Inc.* | 238 | $ | 1,968 | |||||
K2M Group Holdings, Inc.* | 132 | 1,958 | ||||||
CSS Industries, Inc. | 70 | 1,955 | ||||||
Seneca Foods Corp. — Class A* | 56 | 1,945 | ||||||
Infinity Pharmaceuticals, Inc.* | 367 | 1,934 | ||||||
ServiceSource International, Inc.* | 441 | 1,879 | ||||||
Aerie Pharmaceuticals, Inc.* | 154 | 1,873 | ||||||
MGP Ingredients, Inc. | 77 | 1,866 | ||||||
Loxo Oncology, Inc.* | 68 | 1,859 | ||||||
Cytokinetics, Inc.* | 262 | 1,847 | ||||||
Mirati Therapeutics, Inc.* | 86 | 1,840 | ||||||
SurModics, Inc.* | 99 | 1,823 | ||||||
Vectrus, Inc.* | 80 | 1,820 | ||||||
Immunomedics, Inc.* | 725 | 1,813 | ||||||
Spark Therapeutics, Inc.* | 60 | 1,771 | ||||||
Editas Medicine, Inc.* | 51 | 1,760 | ||||||
Utah Medical Products, Inc. | 28 | 1,751 | ||||||
Chimerix, Inc.* | 342 | 1,748 | ||||||
Lion Biotechnologies, Inc.* | 339 | 1,722 | ||||||
RTI Surgical, Inc.* | 429 | 1,716 | ||||||
Zogenix, Inc.* | 185 | 1,709 | ||||||
Seres Therapeutics, Inc.* | 64 | 1,700 | ||||||
Esperion Therapeutics, Inc.* | 99 | 1,674 | ||||||
OvaScience, Inc.* | 176 | 1,670 | ||||||
GenMark Diagnostics, Inc.* | 316 | 1,665 | ||||||
Otonomy, Inc.* | 111 | 1,656 | ||||||
Galena Biopharma, Inc.* | 1,211 | 1,647 | ||||||
Foundation Medicine, Inc.* | 90 | 1,636 | ||||||
Franklin Covey Co.* | 93 | 1,636 | ||||||
PTC Therapeutics, Inc.* | 253 | 1,629 | ||||||
Farmer Brothers Co.* | 58 | 1,616 | ||||||
Elizabeth Arden, Inc.* | 196 | 1,605 | ||||||
Amplify Snack Brands, Inc.* | 112 | 1,604 | ||||||
Concert Pharmaceuticals, Inc.* | 116 | 1,585 | ||||||
Surgery Partners, Inc.* | 119 | 1,578 | ||||||
Penumbra, Inc.* | 34 | 1,564 | ||||||
Barrett Business Services, Inc. | 54 | 1,553 | ||||||
Karyopharm Therapeutics, Inc.* | 173 | 1,543 | ||||||
Exactech, Inc.* | 76 | 1,540 | ||||||
BioCryst Pharmaceuticals, Inc.* | 543 | 1,537 | ||||||
Nutraceutical International Corp.* | 63 | 1,534 | ||||||
Civitas Solutions, Inc.* | 88 | 1,534 | ||||||
NanoString Technologies, Inc.* | 100 | 1,522 | ||||||
Teligent, Inc.* | 310 | 1,519 | ||||||
Oxford Immunotec Global plc* | 151 | 1,496 | ||||||
Organovo Holdings, Inc.* | 688 | 1,493 | ||||||
Ascent Capital Group, Inc. — Class A* | 100 | 1,481 | ||||||
Regulus Therapeutics, Inc.* | 212 | 1,469 | ||||||
Vital Therapies, Inc.* | 159 | 1,442 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 67 | 1,425 | ||||||
Alarm.com Holdings, Inc.* | 60 | 1,422 | ||||||
TransEnterix, Inc.* | 334 | 1,420 | ||||||
Aralez Pharmaceuticals, Inc.* | 399 | 1,416 | ||||||
InVivo Therapeutics Holdings Corp.* | 199 | 1,389 | ||||||
ARC Document Solutions, Inc.* | 307 | 1,382 | ||||||
LeMaitre Vascular, Inc. | 89 | 1,381 | ||||||
Paratek Pharmaceuticals, Inc.* | 91 | 1,380 | ||||||
Cellular Biomedicine Group, Inc.* | 74 | 1,380 | ||||||
Rigel Pharmaceuticals, Inc.* | 663 | 1,379 | ||||||
CRA International, Inc.* | 69 | 1,355 | ||||||
Versartis, Inc.* | 168 | 1,347 | ||||||
Curis, Inc.* | 834 | 1,343 | ||||||
MoneyGram International, Inc.* | 219 | 1,340 | ||||||
CytRx Corp.* | 495 | 1,327 | ||||||
Limoneira Co. | 86 | 1,307 | ||||||
Village Super Market, Inc. — Class A | 54 | 1,305 | ||||||
BioSpecifics Technologies Corp.* | 37 | 1,288 | ||||||
OncoMed Pharmaceuticals, Inc.* | 127 | 1,284 | ||||||
Bridgepoint Education, Inc.* | 126 | 1,270 | ||||||
Idera Pharmaceuticals, Inc.* | 641 | 1,269 | ||||||
Blueprint Medicines Corp.* | 70 | 1,264 | ||||||
Tetraphase Pharmaceuticals, Inc.* | 272 | 1,259 | ||||||
Sequenom, Inc.* | 885 | 1,248 | ||||||
Genocea Biosciences, Inc.* | 161 | 1,246 | ||||||
RadNet, Inc.* | 258 | 1,246 | ||||||
Adamas Pharmaceuticals, Inc.* | 86 | 1,244 | ||||||
Heska Corp.* | 43 | 1,226 | ||||||
Aratana Therapeutics, Inc.* | 222 | 1,225 | ||||||
Axovant Sciences Ltd.* | 106 | 1,217 | ||||||
BioTime, Inc.* | 422 | 1,211 | ||||||
Pfenex, Inc.* | 122 | 1,199 | ||||||
PFSweb, Inc.* | 91 | 1,194 | ||||||
AAC Holdings, Inc.* | 60 | 1,187 | ||||||
Electro Rent Corp. | 125 | 1,158 | ||||||
Sorrento Therapeutics, Inc.* | 215 | 1,157 | ||||||
Tandem Diabetes Care, Inc.* | 132 | 1,149 | ||||||
Durect Corp.* | 844 | 1,139 | ||||||
National Research Corp. — Class A | 73 | 1,135 | ||||||
Everi Holdings, Inc.* | 492 | 1,127 | ||||||
Aimmune Therapeutics, Inc.* | 83 | 1,125 | ||||||
BioDelivery Sciences International, Inc.* | 348 | 1,124 | ||||||
Foamix Pharmaceuticals Ltd.* | 171 | 1,115 | ||||||
Immune Design Corp.* | 85 | 1,105 | ||||||
BioScrip, Inc.* | 516 | 1,104 | ||||||
Ignyta, Inc.* | 162 | 1,097 | ||||||
VIVUS, Inc.* | 781 | 1,093 | ||||||
Cutera, Inc.* | 97 | 1,091 | ||||||
Anthera Pharmaceuticals, Inc.* | 300 | 1,086 | ||||||
Ocular Therapeutix, Inc.* | 112 | 1,082 | ||||||
Ardelyx, Inc.* | 138 | 1,072 | ||||||
Navidea Biopharmaceuticals, Inc.* | 1,130 | 1,067 | ||||||
Trovagene, Inc.* | 222 | 1,032 | ||||||
Antares Pharma, Inc.* | 1,161 | 1,010 | ||||||
Civeo Corp.* | 812 | 999 | ||||||
Collegium Pharmaceutical, Inc.* | 55 | 998 | ||||||
Flexion Therapeutics, Inc.* | 104 | 957 |
70 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Avexis, Inc.* | 35 | $ | 953 | |||||
SeaSpine Holdings Corp.* | 64 | 937 | ||||||
Cara Therapeutics, Inc.* | 149 | 927 | ||||||
Applied Genetic Technologies Corp.* | 66 | 923 | ||||||
CTI BioPharma Corp.* | 1,726 | 917 | ||||||
Oncothyreon, Inc.* | 718 | 912 | ||||||
Collectors Universe, Inc. | 54 | 896 | ||||||
Care.com, Inc.* | 144 | 886 | ||||||
Liberty Tax, Inc. | 45 | 882 | ||||||
Endocyte, Inc.* | 283 | 877 | ||||||
Glaukos Corp.* | 52 | 877 | ||||||
Senomyx, Inc.* | 330 | 858 | ||||||
Addus HomeCare Corp.* | 49 | 842 | ||||||
Inventure Foods, Inc.* | 148 | 836 | ||||||
Zafgen, Inc.* | 124 | 828 | ||||||
ConforMIS, Inc.* | 77 | 828 | ||||||
Global Blood Therapeutics, Inc.* | 52 | 825 | ||||||
Osiris Therapeutics, Inc. | 143 | 817 | ||||||
Aduro Biotech, Inc.* | 63 | 807 | ||||||
Alico, Inc. | 29 | 801 | ||||||
Synutra International, Inc.* | 159 | 790 | ||||||
T2 Biosystems, Inc.* | 80 | 789 | ||||||
Avalanche Biotechnologies, Inc.* | 148 | 765 | ||||||
Nature’s Sunshine Products, Inc. | 79 | 758 | ||||||
Harvard Bioscience, Inc.* | 251 | 758 | ||||||
Nobilis Health Corp.* | 240 | 749 | ||||||
Entellus Medical, Inc.* | 41 | 746 | ||||||
Five Star Quality Care, Inc.* | 324 | 742 | ||||||
Medgenics, Inc.* | 166 | 730 | ||||||
Natera, Inc.* | 75 | 713 | ||||||
Peregrine Pharmaceuticals, Inc.* | 1,656 | 696 | ||||||
Aegerion Pharmaceuticals, Inc.* | 188 | 696 | ||||||
Universal Technical Institute, Inc. | 159 | 685 | ||||||
Teladoc, Inc.* | 71 | 682 | ||||||
CorMedix, Inc.* | 256 | 678 | ||||||
CDI Corp. | 107 | 672 | ||||||
Catalyst Pharmaceuticals, Inc.* | 570 | 667 | ||||||
Pendrell Corp.* | 1,246 | 660 | ||||||
Vitae Pharmaceuticals, Inc.* | 99 | 656 | ||||||
Genesis Healthcare, Inc.* | 275 | 638 | ||||||
CPI Card Group, Inc. | 77 | 634 | ||||||
Craft Brew Alliance, Inc.* | 77 | 634 | ||||||
Unilife Corp.* | 926 | 630 | ||||||
Dicerna Pharmaceuticals, Inc.* | 113 | 606 | ||||||
Neff Corp. — Class A* | 78 | 580 | ||||||
Bellicum Pharmaceuticals, Inc.* | 62 | 580 | ||||||
Invitae Corp.* | 55 | 563 | ||||||
Stemline Therapeutics, Inc.* | 118 | 550 | ||||||
Veracyte, Inc.* | 101 | 545 | ||||||
Assembly Biosciences, Inc.* | 108 | 542 | ||||||
Novocure Ltd.* | 37 | 536 | ||||||
Volt Information Sciences, Inc.* | 71 | 535 | ||||||
XOMA Corp.* | 684 | 529 | ||||||
ChemoCentryx, Inc.* | 209 | 520 | ||||||
Aclaris Therapeutics, Inc.* | 27 | 512 | ||||||
Northwest Biotherapeutics, Inc.* | 350 | 511 | ||||||
Chiasma, Inc.* | 55 | 504 | ||||||
Fibrocell Science, Inc.* | 195 | 488 | ||||||
Patriot National, Inc.* | 63 | 485 | ||||||
Agile Therapeutics, Inc.* | 78 | 484 | ||||||
Calithera Biosciences, Inc.* | 83 | 471 | ||||||
Cidara Therapeutics, Inc.* | 36 | 457 | ||||||
Proteon Therapeutics, Inc.* | 58 | 449 | ||||||
Neos Therapeutics, Inc.* | 41 | 442 | ||||||
CytomX Therapeutics, Inc.* | 34 | 439 | ||||||
Affimed N.V.* | 116 | 434 | ||||||
Orexigen Therapeutics, Inc.* | 768 | 432 | ||||||
Second Sight Medical Products, Inc.* | 89 | 430 | ||||||
Cambium Learning Group, Inc.* | 99 | 423 | ||||||
Sientra, Inc.* | 60 | 410 | ||||||
iRadimed Corp.* | 21 | 402 | ||||||
Tokai Pharmaceuticals, Inc.* | 71 | 398 | ||||||
Alimera Sciences, Inc.* | 227 | 397 | ||||||
Lifeway Foods, Inc.* | 36 | 390 | ||||||
Verastem, Inc.* | 242 | 382 | ||||||
Asterias Biotherapeutics, Inc.* | 78 | 367 | ||||||
REGENXBIO, Inc.* | 33 | 356 | ||||||
Edge Therapeutics, Inc.* | 38 | 348 | ||||||
Nuvectra Corp.* | 64 | 344 | ||||||
Pernix Therapeutics Holdings, Inc.* | 326 | 342 | ||||||
Corium International, Inc.* | 80 | 309 | ||||||
MyoKardia, Inc.* | 28 | 300 | ||||||
XBiotech, Inc.* | 30 | 284 | ||||||
Alliance HealthCare Services, Inc.* | 38 | 273 | ||||||
NantKwest, Inc.* | 30 | 247 | ||||||
Voyager Therapeutics, Inc.* | 27 | 236 | ||||||
Abeona Therapeutics, Inc.* | 86 | 220 | ||||||
Threshold Pharmaceuticals, Inc.* | 478 | 220 | ||||||
Dimension Therapeutics, Inc.* | 25 | 196 | ||||||
aTyr Pharma, Inc.* | 46 | 181 | ||||||
Arcadia Biosciences, Inc.* | 61 | 170 | ||||||
Synta Pharmaceuticals Corp.* | 682 | 164 | ||||||
Tobira Therapeutics, Inc.* | 20 | 164 | ||||||
EndoChoice Holdings, Inc.* | 31 | 162 | ||||||
Invuity, Inc.* | 21 | 152 | ||||||
Zynerba Pharmaceuticals, Inc.* | 16 | 151 | ||||||
vTv Therapeutics, Inc. — Class A* | 28 | 144 | ||||||
Lantheus Holdings, Inc.* | 55 | 104 | ||||||
Catabasis Pharmaceuticals, Inc.* | 20 | 101 | ||||||
Oncocyte Corp.* | 21 | 97 | ||||||
Nivalis Therapeutics, Inc.* | 23 | 96 | ||||||
Carbylan Therapeutics, Inc.* | 92 | 59 | ||||||
Fairway Group Holdings Corp.* | 156 | 55 | ||||||
SFX Entertainment, Inc.* | 347 | 14 | ||||||
Total Consumer, Non-cyclical | 2,572,727 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Consumer, Cyclical - 7.7% | ||||||||
Vail Resorts, Inc. | 272 | $ | 36,366 | |||||
Casey’s General Stores, Inc. | 293 | 33,203 | ||||||
Burlington Stores, Inc.* | 568 | 31,943 | ||||||
Pool Corp. | 326 | 28,603 | ||||||
Texas Roadhouse, Inc. — Class A | 526 | 22,922 | ||||||
American Eagle Outfitters, Inc. | 1,357 | 22,620 | ||||||
Tenneco, Inc.* | 438 | 22,561 | ||||||
Cracker Barrel Old Country Store, Inc. | 143 | 21,831 | ||||||
Buffalo Wild Wings, Inc.* | 143 | 21,181 | ||||||
Cheesecake Factory, Inc. | 365 | 19,378 | ||||||
CalAtlantic Group, Inc. | 579 | 19,349 | ||||||
Allegiant Travel Co. — Class A | 101 | 17,984 | ||||||
Jack in the Box, Inc. | 280 | 17,884 | ||||||
Five Below, Inc.* | 412 | 17,032 | ||||||
Big Lots, Inc. | 375 | 16,984 | ||||||
Hawaiian Holdings, Inc.* | 357 | 16,847 | ||||||
Abercrombie & Fitch Co. — Class A | 524 | 16,527 | ||||||
Dana Holding Corp. | 1,157 | 16,302 | ||||||
Cooper Tire & Rubber Co. | 432 | 15,993 | ||||||
Pinnacle Entertainment, Inc.* | 453 | 15,900 | ||||||
Steven Madden Ltd.* | 422 | 15,631 | ||||||
Beacon Roofing Supply, Inc.* | 371 | 15,215 | ||||||
Lithia Motors, Inc. — Class A | 170 | 14,846 | ||||||
Deckers Outdoor Corp.* | 247 | 14,798 | ||||||
Bloomin’ Brands, Inc. | 877 | 14,795 | ||||||
G-III Apparel Group Ltd.* | 299 | 14,619 | ||||||
Churchill Downs, Inc. | 97 | 14,345 | ||||||
TRI Pointe Group, Inc.* | 1,214 | 14,301 | ||||||
Wolverine World Wide, Inc. | 776 | 14,294 | ||||||
Chico’s FAS, Inc. | 1,074 | 14,252 | ||||||
DreamWorks Animation SKG, Inc. — Class A* | 571 | 14,247 | ||||||
Ascena Retail Group, Inc.* | 1,288 | 14,245 | ||||||
Core-Mark Holding Company, Inc. | 173 | 14,110 | ||||||
Herman Miller, Inc. | 448 | 13,839 | ||||||
Express, Inc.* | 640 | 13,702 | ||||||
Sonic Corp. | 376 | 13,220 | ||||||
HNI Corp. | 333 | 13,044 | ||||||
Marriott Vacations Worldwide Corp. | 193 | 13,028 | ||||||
Children’s Place, Inc. | 156 | 13,021 | ||||||
Columbia Sportswear Co. | 216 | 12,979 | ||||||
HSN, Inc. | 244 | 12,764 | ||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 561 | 12,432 | ||||||
Boyd Gaming Corp.* | 600 | 12,396 | ||||||
PriceSmart, Inc. | 146 | 12,349 | ||||||
UniFirst Corp. | 111 | 12,112 | ||||||
Genesco, Inc.* | 166 | 11,994 | ||||||
DineEquity, Inc. | 127 | 11,866 | ||||||
Papa John’s International, Inc. | 217 | 11,759 | ||||||
Asbury Automotive Group, Inc.* | 192 | 11,489 | ||||||
Mobile Mini, Inc. | 343 | 11,326 | ||||||
Gentherm, Inc.* | 270 | 11,229 | ||||||
G&K Services, Inc. — Class A | 151 | 11,061 | ||||||
Dorman Products, Inc.* | 200 | 10,884 | ||||||
SeaWorld Entertainment, Inc. | 515 | 10,846 | ||||||
Meritage Homes Corp.* | 297 | 10,829 | ||||||
Restoration Hardware Holdings, Inc.* | 253 | 10,601 | ||||||
La-Z-Boy, Inc. | 386 | 10,321 | ||||||
Group 1 Automotive, Inc. | 175 | 10,271 | ||||||
Penn National Gaming, Inc.* | 600 | 10,014 | ||||||
First Cash Financial Services, Inc. | 211 | 9,719 | ||||||
Steelcase, Inc. — Class A | 625 | 9,325 | ||||||
Caleres, Inc. | 329 | 9,307 | ||||||
Essendant, Inc. | 288 | 9,196 | ||||||
Interface, Inc. — Class A | 495 | 9,177 | ||||||
Popeyes Louisiana Kitchen, Inc.* | 173 | 9,006 | ||||||
La Quinta Holdings, Inc.* | 708 | 8,850 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 568 | 8,742 | ||||||
Guess?, Inc. | 464 | 8,709 | ||||||
ScanSource, Inc.* | 203 | 8,197 | ||||||
KB Home | 566 | 8,082 | ||||||
Knoll, Inc. | 366 | 7,924 | ||||||
iRobot Corp.* | 223 | 7,872 | ||||||
SkyWest, Inc. | 388 | 7,756 | ||||||
International Speedway Corp. — Class A | 209 | 7,714 | ||||||
Cato Corp. — Class A | 199 | 7,671 | ||||||
Diamond Resorts International, Inc.* | 313 | 7,606 | ||||||
Select Comfort Corp.* | 391 | 7,581 | ||||||
Krispy Kreme Doughnuts, Inc.* | 485 | 7,561 | ||||||
Cash America International, Inc. | 192 | 7,419 | ||||||
Oxford Industries, Inc. | 110 | 7,395 | ||||||
Bob Evans Farms, Inc. | 157 | 7,330 | ||||||
Cooper-Standard Holding, Inc.* | 102 | 7,327 | ||||||
MDC Holdings, Inc. | 292 | 7,318 | ||||||
Finish Line, Inc. — Class A | 345 | 7,280 | ||||||
Virgin America, Inc.* | 188 | 7,249 | ||||||
American Woodmark Corp.* | 97 | 7,235 | ||||||
Buckle, Inc. | 212 | 7,180 | ||||||
National CineMedia, Inc. | 460 | 6,997 | ||||||
TiVo, Inc.* | 730 | 6,942 | ||||||
Vitamin Shoppe, Inc.* | 224 | 6,935 | ||||||
Belmond Ltd. — Class A* | 728 | 6,909 | ||||||
Universal Electronics, Inc.* | 111 | 6,881 | ||||||
Red Robin Gourmet Burgers, Inc.* | 106 | 6,834 | ||||||
Wabash National Corp.* | 510 | 6,732 | ||||||
BJ’s Restaurants, Inc.* | 161 | 6,693 | ||||||
Wesco Aircraft Holdings, Inc.* | 462 | 6,648 | ||||||
Dave & Buster’s Entertainment, Inc.* | 170 | 6,593 | ||||||
Fiesta Restaurant Group, Inc.* | 201 | 6,589 | ||||||
Denny’s Corp.* | 633 | 6,558 | ||||||
Mattress Firm Holding Corp.* | 154 | 6,528 | ||||||
Tailored Brands, Inc. | 362 | 6,480 | ||||||
Hibbett Sports, Inc.* | 172 | 6,175 | ||||||
Cavco Industries, Inc.* | 66 | 6,168 | ||||||
Francesca’s Holdings Corp.* | 317 | 6,074 | ||||||
Ethan Allen Interiors, Inc. | 190 | 6,046 |
72 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Meritor, Inc.* | 712 | $ | 5,738 | |||||
Zoe’s Kitchen, Inc.* | 145 | 5,654 | ||||||
Crocs, Inc.* | 578 | 5,560 | ||||||
Carmike Cinemas, Inc.* | 183 | 5,497 | ||||||
Callaway Golf Co. | 585 | 5,335 | ||||||
Standard Motor Products, Inc. | 151 | 5,232 | ||||||
Motorcar Parts of America, Inc.* | 135 | 5,127 | ||||||
Outerwall, Inc. | 131 | 4,846 | ||||||
Rush Enterprises, Inc. — Class A* | 265 | 4,834 | ||||||
Ruth’s Hospitality Group, Inc. | 262 | 4,823 | ||||||
Navistar International Corp.* | 382 | 4,783 | ||||||
Pier 1 Imports, Inc. | 677 | 4,746 | ||||||
Barnes & Noble, Inc. | 382 | 4,722 | ||||||
BMC Stock Holdings, Inc.* | 282 | 4,687 | ||||||
ClubCorp Holdings, Inc. | 329 | 4,619 | ||||||
Nautilus, Inc.* | 236 | 4,560 | ||||||
Sonic Automotive, Inc. — Class A | 246 | 4,546 | ||||||
Winnebago Industries, Inc. | 202 | 4,535 | ||||||
Biglari Holdings, Inc.* | 12 | 4,461 | ||||||
AMC Entertainment Holdings, Inc. — Class A | 159 | 4,450 | ||||||
Tower International, Inc. | 158 | 4,298 | ||||||
Interval Leisure Group, Inc. | 294 | 4,245 | ||||||
Fred’s, Inc. — Class A | 279 | 4,160 | ||||||
Regis Corp.* | 272 | 4,132 | ||||||
H&E Equipment Services, Inc. | 233 | 4,084 | ||||||
Installed Building Products, Inc.* | 149 | 3,965 | ||||||
Modine Manufacturing Co.* | 360 | 3,964 | ||||||
Superior Industries International, Inc. | 176 | 3,886 | ||||||
Chuy’s Holdings, Inc.* | 124 | 3,853 | ||||||
Douglas Dynamics, Inc. | 168 | 3,849 | ||||||
Carrols Restaurant Group, Inc.* | 266 | 3,841 | ||||||
MarineMax, Inc.* | 192 | 3,738 | ||||||
Scientific Games Corp. — Class A* | 381 | 3,593 | ||||||
M/I Homes, Inc.* | 184 | 3,432 | ||||||
Taylor Morrison Home Corp. — Class A* | 243 | 3,431 | ||||||
Movado Group, Inc. | 120 | 3,304 | ||||||
Haverty Furniture Companies, Inc. | 153 | 3,237 | ||||||
Vera Bradley, Inc.* | 159 | 3,234 | ||||||
Libbey, Inc. | 164 | 3,050 | ||||||
Tile Shop Holdings, Inc.* | 203 | 3,027 | ||||||
Shoe Carnival, Inc. | 112 | 3,020 | ||||||
Zumiez, Inc.* | 150 | 2,988 | ||||||
Del Frisco’s Restaurant Group, Inc.* | 178 | 2,951 | ||||||
Kimball International, Inc. — Class B | 258 | 2,928 | ||||||
DTS, Inc.* | 132 | 2,875 | ||||||
Iconix Brand Group, Inc.* | 357 | 2,874 | ||||||
Caesars Entertainment Corp.* | 416 | 2,829 | ||||||
Party City Holdco, Inc.* | 188 | 2,828 | ||||||
PetMed Express, Inc. | 152 | 2,722 | ||||||
Tuesday Morning Corp.* | 330 | 2,699 | ||||||
Lumber Liquidators Holdings, Inc.* | 203 | 2,663 | ||||||
Hooker Furniture Corp. | 81 | 2,661 | ||||||
Marcus Corp. | 137 | 2,596 | ||||||
Bassett Furniture Industries, Inc. | 81 | 2,581 | ||||||
Unifi, Inc.* | 111 | 2,543 | ||||||
LGI Homes, Inc.* | 105 | 2,542 | ||||||
Ruby Tuesday, Inc.* | 466 | 2,507 | ||||||
Eros International plc* | 212 | 2,440 | ||||||
Eldorado Resorts, Inc.* | 211 | 2,414 | ||||||
Barnes & Noble Education, Inc.* | 240 | 2,352 | ||||||
Isle of Capri Casinos, Inc.* | 165 | 2,310 | ||||||
Conn’s, Inc.* | 184 | 2,293 | ||||||
Kirkland’s, Inc. | 130 | 2,276 | ||||||
Daktronics, Inc. | 288 | 2,275 | ||||||
Veritiv Corp.* | 61 | 2,273 | ||||||
Federal-Mogul Holdings Corp.* | 229 | 2,263 | ||||||
Potbelly Corp.* | 163 | 2,218 | ||||||
Malibu Boats, Inc. — Class A* | 134 | 2,197 | ||||||
WCI Communities, Inc.* | 116 | 2,155 | ||||||
William Lyon Homes — Class A* | 147 | 2,130 | ||||||
Beazer Homes USA, Inc.* | 244 | 2,128 | ||||||
Caesars Acquisition Co. — Class A* | 346 | 2,118 | ||||||
PC Connection, Inc. | 81 | 2,091 | ||||||
Citi Trends, Inc. | 116 | 2,068 | ||||||
Culp, Inc. | 77 | 2,019 | ||||||
Fox Factory Holding Corp.* | 127 | 2,008 | ||||||
Flexsteel Industries, Inc. | 45 | 1,966 | ||||||
Century Communities, Inc.* | 114 | 1,946 | ||||||
Stage Stores, Inc. | 241 | 1,942 | ||||||
Planet Fitness, Inc. — Class A* | 116 | 1,884 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 77 | 1,804 | ||||||
NACCO Industries, Inc. — Class A | 31 | 1,780 | ||||||
Speedway Motorsports, Inc. | 88 | 1,745 | ||||||
Titan International, Inc. | 324 | 1,743 | ||||||
Miller Industries, Inc. | 85 | 1,724 | ||||||
Sequential Brands Group, Inc.* | 269 | 1,719 | ||||||
Horizon Global Corp.* | 136 | 1,711 | ||||||
Sportsman’s Warehouse Holdings, Inc.* | 134 | 1,688 | ||||||
Perry Ellis International, Inc.* | 91 | 1,675 | ||||||
Winmark Corp. | 17 | 1,666 | ||||||
Shake Shack, Inc. — Class A* | 44 | 1,642 | ||||||
Arctic Cat, Inc. | 97 | 1,630 | ||||||
Stein Mart, Inc. | 221 | 1,620 | ||||||
Strattec Security Corp. | 28 | 1,607 | ||||||
Habit Restaurants, Inc. — Class A* | 86 | 1,602 | ||||||
America’s Car-Mart, Inc.* | 64 | 1,600 | ||||||
Big 5 Sporting Goods Corp. | 137 | 1,522 | ||||||
Titan Machinery, Inc.* | 130 | 1,503 | ||||||
Reading International, Inc. — Class A* | 124 | 1,486 | ||||||
Monarch Casino & Resort, Inc.* | 76 | 1,479 | ||||||
Metaldyne Performance Group, Inc. | 86 | 1,446 | ||||||
Destination XL Group, Inc.* | 270 | 1,396 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 894 | 1,395 | ||||||
Build-A-Bear Workshop, Inc. — Class A* | 107 | 1,390 | ||||||
El Pollo Loco Holdings, Inc.* | 101 | 1,347 | ||||||
Weyco Group, Inc. | 50 | 1,331 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Green Brick Partners, Inc.* | 162 | $ | 1,229 | |||||
West Marine, Inc.* | 135 | 1,227 | ||||||
Lifetime Brands, Inc. | 81 | 1,221 | ||||||
Jamba, Inc.* | 98 | 1,211 | ||||||
Freshpet, Inc.* | 158 | 1,158 | ||||||
EZCORP, Inc. — Class A* | 389 | 1,155 | ||||||
Intrawest Resorts Holdings, Inc.* | 135 | 1,154 | ||||||
Cherokee, Inc.* | 64 | 1,138 | ||||||
Wingstop, Inc.* | 50 | 1,134 | ||||||
J Alexander’s Holdings, Inc.* | 104 | 1,098 | ||||||
Performance Sports Group Ltd.* | 339 | 1,078 | ||||||
JAKKS Pacific, Inc.* | 143 | 1,064 | ||||||
AV Homes, Inc.* | 93 | 1,056 | ||||||
Bojangles’, Inc.* | 62 | 1,055 | ||||||
Noodles & Co.* | 87 | 1,032 | ||||||
New Home Company, Inc.* | 83 | 1,018 | ||||||
Superior Uniform Group, Inc. | 57 | 1,016 | ||||||
Escalade, Inc. | 76 | 895 | ||||||
Bravo Brio Restaurant Group, Inc.* | 114 | 884 | ||||||
Johnson Outdoors, Inc. — Class A | 38 | 844 | ||||||
Boot Barn Holdings, Inc.* | 89 | 837 | ||||||
Kona Grill, Inc.* | 63 | 816 | ||||||
Papa Murphy’s Holdings, Inc.* | 68 | 813 | ||||||
Black Diamond, Inc.* | 170 | 768 | ||||||
Systemax, Inc.* | 85 | 745 | ||||||
Vince Holding Corp.* | 116 | 734 | ||||||
Container Store Group, Inc.* | 118 | 693 | ||||||
VOXX International Corp. — Class A* | 151 | 675 | ||||||
Christopher & Banks Corp.* | 279 | 667 | ||||||
Duluth Holdings, Inc.* | 34 | 663 | ||||||
Marine Products Corp. | 81 | 615 | ||||||
Commercial Vehicle Group, Inc.* | 226 | 599 | ||||||
Skullcandy, Inc.* | 166 | 591 | ||||||
Tilly’s, Inc. — Class A* | 85 | 569 | ||||||
Castle Brands, Inc.* | 499 | 469 | ||||||
Accuride Corp.* | 291 | 451 | ||||||
MCBC Holdings, Inc.* | 32 | 451 | ||||||
Flex Pharma, Inc.* | 41 | 450 | ||||||
Blue Bird Corp.* | 38 | 412 | ||||||
Fogo De Chao, Inc.* | 23 | 359 | ||||||
Empire Resorts, Inc.* | 23 | 314 | ||||||
Morgans Hotel Group Co.* | 203 | 280 | ||||||
bebe stores, Inc.* | 213 | 117 | ||||||
Total Consumer, Cyclical | 1,620,651 | |||||||
Industrial - 7.4% | ||||||||
Berry Plastics Group, Inc.* | 895 | 32,355 | ||||||
FEI Co. | 312 | 27,771 | ||||||
Curtiss-Wright Corp. | 334 | 25,274 | ||||||
Woodward, Inc. | 465 | 24,189 | ||||||
Teledyne Technologies, Inc.* | 265 | 23,356 | ||||||
EMCOR Group, Inc. | 470 | 22,842 | ||||||
CLARCOR, Inc. | 377 | 21,787 | ||||||
Tech Data Corp.* | 275 | 21,112 | ||||||
Littelfuse, Inc. | 169 | 20,806 | ||||||
Belden, Inc. | 319 | 19,580 | ||||||
Generac Holdings, Inc.* | 520 | 19,364 | ||||||
EnerSys | 333 | 18,555 | ||||||
Louisiana-Pacific Corp.* | 1,068 | 18,284 | ||||||
Dycom Industries, Inc.* | 255 | 16,491 | ||||||
XPO Logistics, Inc.* | 535 | 16,425 | ||||||
Coherent, Inc.* | 178 | 16,358 | ||||||
Universal Display Corp.* | 301 | 16,284 | ||||||
Rexnord Corp.* | 764 | 15,448 | ||||||
Masonite International Corp.* | 227 | 14,868 | ||||||
Barnes Group, Inc. | 411 | 14,396 | ||||||
Esterline Technologies Corp.* | 224 | 14,352 | ||||||
HEICO Corp. — Class A | 300 | 14,279 | ||||||
Hillenbrand, Inc. | 471 | 14,107 | ||||||
IMAX Corp.* | 453 | 14,084 | ||||||
Granite Construction, Inc. | 294 | 14,054 | ||||||
Sanmina Corp.* | 594 | 13,887 | ||||||
Proto Labs, Inc.* | 175 | 13,490 | ||||||
Tetra Tech, Inc. | 451 | 13,449 | ||||||
Matson, Inc. | 327 | 13,136 | ||||||
Applied Industrial Technologies, Inc. | 302 | 13,108 | ||||||
Universal Forest Products, Inc. | 151 | 12,959 | ||||||
RBC Bearings, Inc.* | 175 | 12,821 | ||||||
Moog, Inc. — Class A* | 278 | 12,699 | ||||||
KLX, Inc.* | 395 | 12,695 | ||||||
Mueller Industries, Inc. | 427 | 12,562 | ||||||
John Bean Technologies Corp. | 220 | 12,410 | ||||||
Vishay Intertechnology, Inc. | 1,015 | 12,393 | ||||||
Swift Transportation Co. — Class A* | 662 | 12,333 | ||||||
Knight Transportation, Inc. | 468 | 12,238 | ||||||
Itron, Inc.* | 289 | 12,056 | ||||||
Simpson Manufacturing Company, Inc. | 315 | 12,024 | ||||||
Mueller Water Products, Inc. — Class A | 1,206 | 11,915 | ||||||
Drew Industries, Inc. | 181 | 11,667 | ||||||
Watts Water Technologies, Inc. — Class A | 211 | 11,632 | ||||||
Franklin Electric Company, Inc. | 358 | 11,517 | ||||||
Hub Group, Inc. — Class A* | 271 | 11,054 | ||||||
Actuant Corp. — Class A | 447 | 11,044 | ||||||
Headwaters, Inc.* | 553 | 10,972 | ||||||
AZZ, Inc. | 193 | 10,924 | ||||||
Smith & Wesson Holding Corp.* | 404 | 10,754 | ||||||
Advanced Energy Industries, Inc.* | 309 | 10,750 | ||||||
Trex Company, Inc.* | 224 | 10,736 | ||||||
MSA Safety, Inc. | 220 | 10,637 | ||||||
Forward Air Corp. | 233 | 10,560 | ||||||
MasTec, Inc.* | 501 | 10,140 | ||||||
Plexus Corp.* | 253 | 9,999 | ||||||
EnPro Industries, Inc. | 172 | 9,921 | ||||||
Exponent, Inc. | 194 | 9,896 | ||||||
OSI Systems, Inc.* | 149 | 9,758 | ||||||
Sturm Ruger & Company, Inc. | 141 | 9,642 | ||||||
Brady Corp. — Class A | 358 | 9,608 |
74 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Apogee Enterprises, Inc. | 218 | $ | 9,568 | |||||
Nordic American Tankers Ltd. | 670 | 9,441 | ||||||
Werner Enterprises, Inc. | 334 | 9,071 | ||||||
Benchmark Electronics, Inc.* | 393 | 9,059 | ||||||
KapStone Paper and Packaging Corp. | 644 | 8,919 | ||||||
Comfort Systems USA, Inc. | 280 | 8,896 | ||||||
HEICO Corp. | 146 | 8,779 | ||||||
Kaman Corp. | 204 | 8,709 | ||||||
Knowles Corp.* | 656 | 8,646 | ||||||
Fabrinet* | 267 | 8,637 | ||||||
AAON, Inc. | 307 | 8,596 | ||||||
II-VI, Inc.* | 393 | 8,532 | ||||||
Methode Electronics, Inc. | 287 | 8,392 | ||||||
Rogers Corp.* | 139 | 8,322 | ||||||
Briggs & Stratton Corp. | 334 | 7,989 | ||||||
Albany International Corp. — Class A | 212 | 7,969 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 187 | 7,905 | ||||||
TASER International, Inc.* | 401 | 7,872 | ||||||
Scorpio Tankers, Inc. | 1,342 | 7,824 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 470 | 7,699 | ||||||
ESCO Technologies, Inc. | 196 | 7,640 | ||||||
Greif, Inc. — Class A | 230 | 7,533 | ||||||
Standex International Corp. | 96 | 7,470 | ||||||
Badger Meter, Inc. | 109 | 7,250 | ||||||
US Ecology, Inc. | 162 | 7,154 | ||||||
Tennant Co. | 138 | 7,104 | ||||||
Primoris Services Corp. | 291 | 7,071 | ||||||
Heartland Express, Inc. | 378 | 7,012 | ||||||
Newport Corp.* | 298 | 6,854 | ||||||
Rofin-Sinar Technologies, Inc.* | 211 | 6,798 | ||||||
Astec Industries, Inc. | 143 | 6,673 | ||||||
Gibraltar Industries, Inc.* | 233 | 6,664 | ||||||
US Concrete, Inc.* | 109 | 6,494 | ||||||
Cubic Corp. | 162 | 6,474 | ||||||
Lindsay Corp. | 90 | 6,445 | ||||||
Astronics Corp.* | 165 | 6,295 | ||||||
Federal Signal Corp. | 468 | 6,206 | ||||||
AAR Corp. | 266 | 6,190 | ||||||
Ship Finance International Ltd. | 444 | 6,167 | ||||||
Boise Cascade Co.* | 296 | 6,133 | ||||||
Air Transport Services Group, Inc.* | 396 | 6,090 | ||||||
Encore Wire Corp. | 156 | 6,073 | ||||||
Echo Global Logistics, Inc.* | 222 | 6,030 | ||||||
TriMas Corp.* | 340 | 5,957 | ||||||
CIRCOR International, Inc. | 128 | 5,938 | ||||||
Aegion Corp. — Class A* | 275 | 5,800 | ||||||
Sun Hydraulics Corp. | 170 | 5,642 | ||||||
Altra Industrial Motion Corp. | 198 | 5,500 | ||||||
Greenbrier Companies, Inc. | 197 | 5,445 | ||||||
Advanced Drainage Systems, Inc. | 252 | 5,368 | ||||||
Saia, Inc.* | 188 | 5,292 | ||||||
Multi-Color Corp. | 95 | 5,068 | ||||||
Chart Industries, Inc.* | 229 | 4,974 | ||||||
Hyster-Yale Materials Handling, Inc. | 71 | 4,729 | ||||||
Summit Materials, Inc. — Class A* | 237 | 4,610 | ||||||
Raven Industries, Inc. | 286 | 4,582 | ||||||
General Cable Corp. | 366 | 4,469 | ||||||
Quanex Building Products Corp. | 254 | 4,409 | ||||||
Tutor Perini Corp.* | 282 | 4,382 | ||||||
Continental Building Products, Inc.* | 236 | 4,380 | ||||||
Patrick Industries, Inc.* | 96 | 4,357 | ||||||
AVX Corp. | 346 | 4,349 | ||||||
Builders FirstSource, Inc.* | 379 | 4,271 | ||||||
FARO Technologies, Inc.* | 131 | 4,220 | ||||||
Insteel Industries, Inc. | 138 | 4,219 | ||||||
ArcBest Corp. | 195 | 4,210 | ||||||
Aerovironment, Inc.* | 148 | 4,191 | ||||||
Lydall, Inc.* | 128 | 4,163 | ||||||
DHT Holdings, Inc. | 698 | 4,020 | ||||||
Global Brass & Copper Holdings, Inc. | 161 | 4,017 | ||||||
Alamo Group, Inc. | 72 | 4,011 | ||||||
CTS Corp. | 252 | 3,966 | ||||||
MYR Group, Inc.* | 156 | 3,917 | ||||||
TAL International Group, Inc.* | 249 | 3,845 | ||||||
Griffon Corp. | 244 | 3,770 | ||||||
Gorman-Rupp Co. | 143 | 3,708 | ||||||
Kadant, Inc. | 82 | 3,703 | ||||||
GSI Group, Inc.* | 259 | 3,667 | ||||||
Blount International, Inc.* | 365 | 3,643 | ||||||
PGT, Inc.* | 357 | 3,513 | ||||||
Nortek, Inc.* | 72 | 3,477 | ||||||
Argan, Inc. | 98 | 3,446 | ||||||
Haynes International, Inc. | 93 | 3,395 | ||||||
Marten Transport Ltd. | 179 | 3,351 | ||||||
Harsco Corp. | 602 | 3,281 | ||||||
Checkpoint Systems, Inc.* | 315 | 3,188 | ||||||
Trinseo S.A.* | 86 | 3,166 | ||||||
PowerSecure International, Inc.* | 169 | 3,159 | ||||||
Mistras Group, Inc.* | 125 | 3,096 | ||||||
Stoneridge, Inc.* | 210 | 3,058 | ||||||
GasLog Ltd. | 311 | 3,029 | ||||||
National Presto Industries, Inc. | 36 | 3,015 | ||||||
Frontline Ltd. | 357 | 2,988 | ||||||
Tredegar Corp. | 188 | 2,955 | ||||||
TTM Technologies, Inc.* | 442 | 2,939 | ||||||
NCI Building Systems, Inc.* | 204 | 2,897 | ||||||
Park-Ohio Holdings Corp. | 67 | 2,869 | ||||||
NN, Inc. | 201 | 2,750 | ||||||
Chase Corp. | 52 | 2,735 | ||||||
TimkenSteel Corp. | 300 | 2,730 | ||||||
American Railcar Industries, Inc. | 67 | 2,729 | ||||||
GP Strategies Corp.* | 98 | 2,685 | ||||||
Roadrunner Transportation Systems, Inc.* | 211 | 2,629 | ||||||
Teekay Tankers Ltd. — Class A | 711 | 2,609 | ||||||
Textainer Group Holdings Ltd. | 166 | 2,463 | ||||||
Park Electrochemical Corp. | 153 | 2,450 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Kimball Electronics, Inc.* | 218 | $ | 2,435 | |||||
Tidewater, Inc. | 352 | 2,404 | ||||||
Columbus McKinnon Corp. | 151 | 2,380 | ||||||
Hornbeck Offshore Services, Inc.* | 239 | 2,373 | ||||||
Myers Industries, Inc. | 182 | 2,341 | ||||||
Multi Packaging Solutions International Ltd.* | 142 | 2,305 | ||||||
YRC Worldwide, Inc.* | 246 | 2,293 | ||||||
Ply Gem Holdings, Inc.* | 162 | 2,276 | ||||||
Celadon Group, Inc. | 205 | 2,148 | ||||||
Covenant Transportation Group, Inc. — Class A* | 88 | 2,129 | ||||||
Mesa Laboratories, Inc. | 22 | 2,120 | ||||||
VSE Corp. | 31 | 2,105 | ||||||
NVE Corp. | 36 | 2,035 | ||||||
Powell Industries, Inc. | 68 | 2,027 | ||||||
Casella Waste Systems, Inc. — Class A* | 297 | 1,990 | ||||||
AEP Industries, Inc. | 30 | 1,980 | ||||||
LSI Industries, Inc. | 162 | 1,904 | ||||||
Applied Optoelectronics, Inc.* | 127 | 1,894 | ||||||
LSB Industries, Inc.* | 148 | 1,887 | ||||||
ZAGG, Inc.* | 209 | 1,883 | ||||||
Milacron Holdings Corp.* | 110 | 1,814 | ||||||
Dorian LPG Ltd.* | 188 | 1,767 | ||||||
Fluidigm Corp.* | 216 | 1,743 | ||||||
Kratos Defense & Security Solutions, Inc.* | 342 | 1,693 | ||||||
DXP Enterprises, Inc.* | 95 | 1,668 | ||||||
Hurco Companies, Inc. | 49 | 1,617 | ||||||
Multi-Fineline Electronix, Inc.* | 68 | 1,578 | ||||||
American Science & Engineering, Inc. | 55 | 1,523 | ||||||
Graham Corp. | 76 | 1,513 | ||||||
FreightCar America, Inc. | 92 | 1,433 | ||||||
LB Foster Co. — Class A | 78 | 1,416 | ||||||
USA Truck, Inc.* | 73 | 1,375 | ||||||
CECO Environmental Corp. | 217 | 1,348 | ||||||
Sparton Corp.* | 74 | 1,331 | ||||||
Vishay Precision Group, Inc.* | 95 | 1,331 | ||||||
Vicor Corp.* | 124 | 1,300 | ||||||
Ducommun, Inc.* | 83 | 1,266 | ||||||
Control4 Corp.* | 157 | 1,250 | ||||||
CAI International, Inc.* | 129 | 1,246 | ||||||
Olympic Steel, Inc. | 68 | 1,177 | ||||||
Ardmore Shipping Corp. | 135 | 1,141 | ||||||
Bel Fuse, Inc. — Class B | 78 | 1,139 | ||||||
Orion Marine Group, Inc.* | 209 | 1,083 | ||||||
NV5 Global, Inc.* | 39 | 1,046 | ||||||
Universal Truckload Services, Inc. | 60 | 988 | ||||||
Navios Maritime Acquisition Corp. | 616 | 979 | ||||||
Heritage-Crystal Clean, Inc.* | 95 | 944 | ||||||
TRC Companies, Inc.* | 129 | 935 | ||||||
Hill International, Inc.* | 274 | 923 | ||||||
Gener8 Maritime, Inc.* | 126 | 890 | ||||||
Imprivata, Inc.* | 68 | 859 | ||||||
Allied Motion Technologies, Inc. | 47 | 846 | ||||||
Lawson Products, Inc.* | 43 | 842 | ||||||
Radiant Logistics, Inc.* | 234 | 835 | ||||||
Omega Flex, Inc. | 22 | 765 | ||||||
Core Molding Technologies, Inc.* | 57 | 711 | ||||||
PAM Transportation Services, Inc.* | 23 | 708 | ||||||
Navios Maritime Holdings, Inc. | 616 | 696 | ||||||
Scorpio Bulkers, Inc.* | 209 | 686 | ||||||
Northwest Pipe Co.* | 71 | 655 | ||||||
Twin Disc, Inc. | 64 | 648 | ||||||
Nordic American Offshore Ltd. | 143 | 641 | ||||||
Handy & Harman Ltd.* | 20 | 547 | ||||||
Power Solutions International, Inc.* | 35 | 483 | ||||||
Fenix Parts, Inc.* | 104 | 478 | ||||||
Xerium Technologies, Inc.* | 82 | 428 | ||||||
Golden Ocean Group Ltd.* | 501 | 348 | ||||||
Safe Bulkers, Inc. | 285 | 229 | ||||||
NL Industries, Inc.* | 52 | 118 | ||||||
Eagle Bulk Shipping, Inc.* | 166 | 60 | ||||||
Ultrapetrol Bahamas Ltd.* | 160 | 43 | ||||||
Total Industrial | 1,555,838 | |||||||
Technology - 6.5% | ||||||||
Tyler Technologies, Inc.* | 253 | 32,539 | ||||||
Manhattan Associates, Inc.* | 556 | 31,620 | ||||||
Microsemi Corp.* | 822 | 31,492 | ||||||
Guidewire Software, Inc.* | 527 | 28,712 | ||||||
EPAM Systems, Inc.* | 368 | 27,479 | ||||||
MAXIMUS, Inc. | 495 | 26,057 | ||||||
Cavium, Inc.* | 414 | 25,320 | ||||||
Fair Isaac Corp. | 232 | 24,613 | ||||||
Take-Two Interactive Software, Inc.* | 637 | 23,996 | ||||||
Aspen Technology, Inc.* | 642 | 23,195 | ||||||
j2 Global, Inc. | 361 | 22,230 | ||||||
Blackbaud, Inc. | 352 | 22,137 | ||||||
Synaptics, Inc.* | 277 | 22,088 | ||||||
Integrated Device Technology, Inc.* | 1,017 | 20,788 | ||||||
Convergys Corp. | 743 | 20,633 | ||||||
SYNNEX Corp. | 215 | 19,907 | ||||||
Qlik Technologies, Inc.* | 685 | 19,810 | ||||||
CACI International, Inc. — Class A* | 181 | 19,313 | ||||||
Monolithic Power Systems, Inc. | 296 | 18,837 | ||||||
Science Applications International Corp. | 344 | 18,349 | ||||||
ACI Worldwide, Inc.* | 875 | 18,191 | ||||||
Fairchild Semiconductor International, Inc. — Class A* | 873 | 17,460 | ||||||
Cirrus Logic, Inc.* | 476 | 17,331 | ||||||
Medidata Solutions, Inc.* | 415 | 16,065 | ||||||
Proofpoint, Inc.* | 296 | 15,919 | ||||||
NetScout Systems, Inc.* | 691 | 15,873 | ||||||
Verint Systems, Inc.* | 460 | 15,355 | ||||||
Mentor Graphics Corp. | 754 | 15,329 | ||||||
MKS Instruments, Inc. | 401 | 15,097 | ||||||
Electronics for Imaging, Inc.* | 351 | 14,878 | ||||||
CommVault Systems, Inc.* | 338 | 14,591 | ||||||
Silicon Laboratories, Inc.* | 321 | 14,432 |
76 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Entegris, Inc.* | 1,053 | $ | 14,342 | |||||
Diebold, Inc. | 485 | 14,021 | ||||||
Advanced Micro Devices, Inc.* | 4,773 | 13,603 | ||||||
Intersil Corp. — Class A | 990 | 13,236 | ||||||
Cornerstone OnDemand, Inc.* | 403 | 13,206 | ||||||
ExlService Holdings, Inc.* | 250 | 12,950 | ||||||
Cray, Inc.* | 306 | 12,824 | ||||||
Rovi Corp.* | 625 | 12,819 | ||||||
Acxiom Corp.* | 587 | 12,585 | ||||||
MicroStrategy, Inc. — Class A* | 70 | 12,580 | ||||||
Tessera Technologies, Inc. | 396 | 12,276 | ||||||
Rambus, Inc.* | 865 | 11,894 | ||||||
Syntel, Inc.* | 238 | 11,883 | ||||||
FleetMatics Group plc* | 287 | 11,684 | ||||||
CSG Systems International, Inc. | 245 | 11,064 | ||||||
Semtech Corp.* | 497 | 10,929 | ||||||
Power Integrations, Inc. | 220 | 10,925 | ||||||
Ambarella, Inc.* | 234 | 10,460 | ||||||
Imperva, Inc.* | 201 | 10,151 | ||||||
Stratasys Ltd.* | 382 | 9,901 | ||||||
Demandware, Inc.* | 250 | 9,775 | ||||||
Inphi Corp.* | 288 | 9,602 | ||||||
Super Micro Computer, Inc.* | 277 | 9,440 | ||||||
Synchronoss Technologies, Inc.* | 291 | 9,411 | ||||||
Bottomline Technologies de, Inc.* | 306 | 9,330 | ||||||
Progress Software Corp.* | 379 | 9,141 | ||||||
Sykes Enterprises, Inc.* | 294 | 8,873 | ||||||
QLogic Corp.* | 655 | 8,803 | ||||||
BroadSoft, Inc.* | 218 | 8,797 | ||||||
Paycom Software, Inc.* | 237 | 8,437 | ||||||
Insight Enterprises, Inc.* | 291 | 8,334 | ||||||
Virtusa Corp.* | 222 | 8,316 | ||||||
RealPage, Inc.* | 396 | 8,253 | ||||||
Ebix, Inc. | 201 | 8,199 | ||||||
Envestnet, Inc.* | 293 | 7,970 | ||||||
M/A-COM Technology Solutions Holdings, Inc.* | 175 | 7,663 | ||||||
Cabot Microelectronics Corp. | 185 | 7,568 | ||||||
Omnicell, Inc.* | 271 | 7,553 | ||||||
Luxoft Holding, Inc.* | 137 | 7,539 | ||||||
MaxLinear, Inc. — Class A* | 387 | 7,160 | ||||||
Monotype Imaging Holdings, Inc. | 299 | 7,152 | ||||||
Callidus Software, Inc.* | 415 | 6,922 | ||||||
MTS Systems Corp. | 112 | 6,815 | ||||||
Pegasystems, Inc. | 268 | 6,802 | ||||||
HubSpot, Inc.* | 141 | 6,150 | ||||||
Veeco Instruments, Inc.* | 304 | 5,922 | ||||||
ManTech International Corp. — Class A | 183 | 5,854 | ||||||
Quality Systems, Inc. | 374 | 5,700 | ||||||
Diodes, Inc.* | 281 | 5,648 | ||||||
SPS Commerce, Inc.* | 124 | 5,325 | ||||||
Brooks Automation, Inc. | 507 | 5,273 | ||||||
Mercury Systems, Inc.* | 256 | 5,197 | ||||||
Photronics, Inc.* | 497 | 5,174 | ||||||
Lattice Semiconductor Corp.* | 875 | 4,970 | ||||||
InvenSense, Inc. — Class A* | 581 | 4,880 | ||||||
Interactive Intelligence Group, Inc.* | 130 | 4,735 | ||||||
Qualys, Inc.* | 186 | 4,707 | ||||||
Ultratech, Inc.* | 208 | 4,543 | ||||||
2U, Inc.* | 197 | 4,452 | ||||||
Computer Programs & Systems, Inc. | 85 | 4,430 | ||||||
Amkor Technology, Inc.* | 743 | 4,376 | ||||||
inContact, Inc.* | 460 | 4,089 | ||||||
Silver Spring Networks, Inc.* | 273 | 4,027 | ||||||
Applied Micro Circuits Corp.* | 612 | 3,954 | ||||||
Cvent, Inc.* | 176 | 3,766 | ||||||
Epiq Systems, Inc. | 243 | 3,650 | ||||||
Globant S.A.* | 116 | 3,580 | ||||||
CEVA, Inc.* | 155 | 3,488 | ||||||
TeleTech Holdings, Inc. | 123 | 3,414 | ||||||
pdvWireless, Inc.* | 98 | 3,365 | ||||||
Xura, Inc.* | 170 | 3,344 | ||||||
Rudolph Technologies, Inc.* | 239 | 3,265 | ||||||
FormFactor, Inc.* | 433 | 3,148 | ||||||
Nimble Storage, Inc.* | 379 | 2,972 | ||||||
Pure Storage, Inc. — Class A* | 215 | 2,943 | ||||||
Unisys Corp.* | 375 | 2,888 | ||||||
SciQuest, Inc.* | 206 | 2,859 | ||||||
Nanometrics, Inc.* | 180 | 2,851 | ||||||
Actua Corp.* | 306 | 2,769 | ||||||
PDF Solutions, Inc.* | 202 | 2,703 | ||||||
Xcerra Corp.* | 413 | 2,693 | ||||||
Glu Mobile, Inc.* | 904 | 2,549 | ||||||
Engility Holdings, Inc.* | 134 | 2,514 | ||||||
LivePerson, Inc.* | 428 | 2,504 | ||||||
Vocera Communications, Inc.* | 194 | 2,474 | ||||||
Axcelis Technologies, Inc.* | 850 | 2,380 | ||||||
Press Ganey Holdings, Inc.* | 77 | 2,316 | ||||||
Tangoe, Inc.* | 293 | 2,312 | ||||||
Cohu, Inc. | 194 | 2,305 | ||||||
InnerWorkings, Inc.* | 279 | 2,218 | ||||||
Sapiens International Corporation N.V. | 181 | 2,168 | ||||||
PROS Holdings, Inc.* | 180 | 2,122 | ||||||
Cascade Microtech, Inc.* | 102 | 2,103 | ||||||
IXYS Corp. | 187 | 2,098 | ||||||
Mattson Technology, Inc.* | 563 | 2,055 | ||||||
Benefitfocus, Inc.* | 60 | 2,001 | ||||||
Silicon Graphics International Corp.* | 262 | 1,865 | ||||||
Sigma Designs, Inc.* | 265 | 1,802 | ||||||
Digi International, Inc.* | 187 | 1,763 | ||||||
Immersion Corp.* | 210 | 1,735 | ||||||
Digimarc Corp.* | 57 | 1,727 | ||||||
Alpha & Omega Semiconductor Ltd.* | 145 | 1,718 | ||||||
Exar Corp.* | 296 | 1,702 | ||||||
Model N, Inc.* | 157 | 1,691 | ||||||
American Software, Inc. — Class A | 187 | 1,683 | ||||||
KEYW Holding Corp.* | 251 | 1,667 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
QAD, Inc. — Class A | 77 | $ | 1,636 | |||||
Avid Technology, Inc.* | 242 | 1,636 | ||||||
Five9, Inc.* | 177 | 1,574 | ||||||
DSP Group, Inc.* | 168 | 1,532 | ||||||
Brightcove, Inc.* | 243 | 1,516 | ||||||
TubeMogul, Inc.* | 117 | 1,514 | ||||||
Eastman Kodak Co.* | 133 | 1,443 | ||||||
Datalink Corp.* | 154 | 1,408 | ||||||
Seachange International, Inc.* | 249 | 1,374 | ||||||
OPOWER, Inc.* | 196 | 1,335 | ||||||
MobileIron, Inc.* | 294 | 1,329 | ||||||
Jive Software, Inc.* | 351 | 1,327 | ||||||
Ultra Clean Holdings, Inc.* | 236 | 1,265 | ||||||
Ciber, Inc.* | 592 | 1,249 | ||||||
Varonis Systems, Inc.* | 67 | 1,223 | ||||||
Agilysys, Inc.* | 115 | 1,174 | ||||||
New Relic, Inc.* | 44 | 1,148 | ||||||
Carbonite, Inc.* | 136 | 1,084 | ||||||
Evolent Health, Inc. — Class A* | 99 | 1,045 | ||||||
ExOne Co.* | 78 | 1,025 | ||||||
Quantum Corp.* | 1,630 | 994 | ||||||
Barracuda Networks, Inc.* | 61 | 939 | ||||||
Everyday Health, Inc.* | 162 | 907 | ||||||
Castlight Health, Inc. — Class B* | 252 | 839 | ||||||
Kopin Corp.* | 503 | 835 | ||||||
EMCORE Corp.* | 149 | 745 | ||||||
Park City Group, Inc.* | 80 | 723 | ||||||
Amber Road, Inc.* | 132 | 714 | ||||||
MINDBODY, Inc. — Class A* | 53 | 706 | ||||||
Hortonworks, Inc.* | 57 | 644 | ||||||
Workiva, Inc.* | 55 | 641 | ||||||
Guidance Software, Inc.* | 143 | 615 | ||||||
Appfolio, Inc. — Class A* | 42 | 514 | ||||||
Digital Turbine, Inc.* | 421 | 501 | ||||||
Instructure, Inc.* | 23 | 413 | ||||||
Imation Corp.* | 231 | 358 | ||||||
Violin Memory, Inc.* | 682 | 356 | ||||||
Apigee Corp.* | 38 | 316 | ||||||
Xactly Corp.* | 34 | 233 | ||||||
Code Rebel Corp.* | 8 | 37 | ||||||
Total Technology | 1,354,267 | |||||||
Communications - 3.5% | ||||||||
ViaSat, Inc.* | 321 | 23,587 | ||||||
Houghton Mifflin Harcourt Co.* | 928 | 18,504 | ||||||
WebMD Health Corp. — Class A* | 283 | 17,724 | ||||||
Ciena Corp.* | 926 | 17,613 | ||||||
Infinera Corp.* | 1,006 | 16,157 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 498 | 15,314 | ||||||
InterDigital, Inc. | 271 | 15,081 | ||||||
Finisar Corp.* | 780 | 14,227 | ||||||
GrubHub, Inc.* | 563 | 14,148 | ||||||
Cogent Communications Holdings, Inc. | 345 | 13,465 | ||||||
Meredith Corp. | 275 | 13,062 | ||||||
New York Times Co. — Class A | 1,031 | 12,846 | ||||||
Time, Inc. | 822 | 12,692 | ||||||
Shutterfly, Inc.* | 266 | 12,335 | ||||||
Media General, Inc.* | 719 | 11,727 | ||||||
Stamps.com, Inc.* | 108 | 11,478 | ||||||
Polycom, Inc.* | 1,023 | 11,406 | ||||||
Anixter International, Inc.* | 213 | 11,099 | ||||||
comScore, Inc.* | 367 | 11,024 | ||||||
LogMeIn, Inc.* | 211 | 10,647 | ||||||
Plantronics, Inc. | 267 | 10,464 | ||||||
Nexstar Broadcasting Group, Inc. — Class A | 234 | 10,358 | ||||||
NeuStar, Inc. — Class A* | 415 | 10,209 | ||||||
Consolidated Communications Holdings, Inc. | 380 | 9,789 | ||||||
Shenandoah Telecommunications Co. | 363 | 9,709 | ||||||
NETGEAR, Inc.* | 240 | 9,689 | ||||||
DigitalGlobe, Inc.* | 543 | 9,394 | ||||||
West Corp. | 391 | 8,923 | ||||||
NIC, Inc. | 491 | 8,852 | ||||||
Zendesk, Inc.* | 403 | 8,434 | ||||||
MDC Partners, Inc. — Class A | 327 | 7,717 | ||||||
Infoblox, Inc.* | 448 | 7,661 | ||||||
ADTRAN, Inc. | 378 | 7,643 | ||||||
Ubiquiti Networks, Inc.* | 229 | 7,619 | ||||||
Scholastic Corp. | 200 | 7,474 | ||||||
EW Scripps Co. — Class A | 444 | 6,922 | ||||||
8x8, Inc.* | 663 | 6,670 | ||||||
Wayfair, Inc. — Class A* | 152 | 6,569 | ||||||
Web.com Group, Inc.* | 330 | 6,541 | ||||||
AVG Technologies N.V.* | 309 | 6,412 | ||||||
Vonage Holdings Corp.* | 1,392 | 6,361 | ||||||
Gigamon, Inc.* | 205 | 6,359 | ||||||
RingCentral, Inc. — Class A* | 401 | 6,316 | ||||||
Cincinnati Bell, Inc.* | 1,573 | 6,088 | ||||||
Atlantic Tele-Network, Inc. | 77 | 5,839 | ||||||
Windstream Holdings, Inc. | 757 | 5,814 | ||||||
Perficient, Inc.* | 267 | 5,799 | ||||||
Ixia* | 454 | 5,657 | ||||||
Gray Television, Inc.* | 478 | 5,602 | ||||||
New Media Investment Group, Inc. | 335 | 5,574 | ||||||
Ruckus Wireless, Inc.* | 566 | 5,552 | ||||||
Shutterstock, Inc.* | 147 | 5,399 | ||||||
Globalstar, Inc.* | 3,573 | 5,252 | ||||||
Marketo, Inc.* | 261 | 5,108 | ||||||
CalAmp Corp.* | 271 | 4,859 | ||||||
Iridium Communications, Inc.* | 616 | 4,848 | ||||||
Quotient Technology, Inc.* | 457 | 4,844 | ||||||
General Communication, Inc. — Class A* | 262 | 4,800 | ||||||
Gogo, Inc.* | 425 | 4,679 | ||||||
Endurance International Group Holdings, Inc.* | 439 | 4,623 | ||||||
Bankrate, Inc.* | 500 | 4,585 | ||||||
ORBCOMM, Inc.* | 449 | 4,548 | ||||||
EarthLink Holdings Corp. | 774 | 4,389 | ||||||
HealthStream, Inc.* | 189 | 4,175 |
78 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Inteliquent, Inc. | 253 | $ | 4,061 | |||||
World Wrestling Entertainment, Inc. — Class A | 225 | 3,974 | ||||||
Oclaro, Inc.* | 734 | 3,963 | ||||||
ShoreTel, Inc.* | 484 | 3,602 | ||||||
FTD Companies, Inc.* | 137 | 3,596 | ||||||
Entravision Communications Corp. — Class A | 477 | 3,549 | ||||||
Rubicon Project, Inc.* | 193 | 3,528 | ||||||
Q2 Holdings, Inc.* | 146 | 3,510 | ||||||
Loral Space & Communications, Inc.* | 98 | 3,443 | ||||||
VASCO Data Security International, Inc.* | 222 | 3,419 | ||||||
ePlus, Inc.* | 42 | 3,382 | ||||||
XO Group, Inc.* | 199 | 3,194 | ||||||
Lands’ End, Inc.* | 124 | 3,163 | ||||||
GTT Communications, Inc.* | 183 | 3,027 | ||||||
Global Eagle Entertainment, Inc.* | 347 | 2,957 | ||||||
NeoPhotonics Corp.* | 209 | 2,934 | ||||||
Spok Holdings, Inc. | 165 | 2,889 | ||||||
Wix.com Ltd.* | 141 | 2,858 | ||||||
Comtech Telecommunications Corp. | 122 | 2,851 | ||||||
Sonus Networks, Inc.* | 370 | 2,786 | ||||||
Textura Corp.* | 148 | 2,757 | ||||||
DHI Group, Inc.* | 333 | 2,687 | ||||||
Angie’s List, Inc.* | 330 | 2,663 | ||||||
Chegg, Inc.* | 571 | 2,547 | ||||||
Lionbridge Technologies, Inc.* | 482 | 2,439 | ||||||
Intralinks Holdings, Inc.* | 301 | 2,372 | ||||||
Calix, Inc.* | 333 | 2,361 | ||||||
Extreme Networks, Inc.* | 751 | 2,336 | ||||||
FairPoint Communications, Inc.* | 156 | 2,321 | ||||||
RetailMeNot, Inc.* | 288 | 2,307 | ||||||
Blue Nile, Inc. | 89 | 2,288 | ||||||
Harmonic, Inc.* | 670 | 2,191 | ||||||
Lumos Networks Corp.* | 170 | 2,183 | ||||||
Journal Media Group, Inc. | 182 | 2,176 | ||||||
Straight Path Communications, Inc. — Class B* | 70 | 2,172 | ||||||
Boingo Wireless, Inc.* | 274 | 2,116 | ||||||
Safeguard Scientifics, Inc.* | 155 | 2,054 | ||||||
TrueCar, Inc.* | 367 | 2,052 | ||||||
Hawaiian Telcom Holdco, Inc.* | 86 | 2,025 | ||||||
Entercom Communications Corp. — Class A* | 190 | 2,010 | ||||||
IDT Corp. — Class B | 125 | 1,949 | ||||||
ChannelAdvisor Corp.* | 163 | 1,834 | ||||||
Zix Corp.* | 431 | 1,694 | ||||||
Alliance Fiber Optic Products, Inc.* | 109 | 1,612 | ||||||
Blucora, Inc.* | 306 | 1,579 | ||||||
Daily Journal Corp.* | 8 | 1,566 | ||||||
VirnetX Holding Corp.* | 339 | 1,556 | ||||||
Black Box Corp. | 115 | 1,549 | ||||||
Reis, Inc. | 65 | 1,531 | ||||||
Tribune Publishing Co. | 197 | 1,521 | ||||||
A10 Networks, Inc.* | 254 | 1,504 | ||||||
1-800-Flowers.com, Inc. — Class A* | 187 | 1,474 | ||||||
Bazaarvoice, Inc.* | 457 | 1,440 | ||||||
Central European Media Enterprises Ltd. — Class A* | 555 | 1,415 | ||||||
Clearfield, Inc.* | 84 | 1,350 | ||||||
Crown Media Holdings, Inc. — Class A* | 259 | 1,316 | ||||||
Etsy, Inc.* | 150 | 1,305 | ||||||
Overstock.com, Inc.* | 90 | 1,294 | ||||||
United Online, Inc.* | 110 | 1,269 | ||||||
Telenav, Inc.* | 212 | 1,251 | ||||||
RigNet, Inc.* | 90 | 1,231 | ||||||
NTELOS Holdings Corp.* | 130 | 1,196 | ||||||
Box, Inc. — Class A* | 97 | 1,189 | ||||||
KVH Industries, Inc.* | 121 | 1,156 | ||||||
Internap Corp.* | 413 | 1,127 | ||||||
TechTarget, Inc.* | 148 | 1,098 | ||||||
Marchex, Inc. — Class B | 244 | 1,086 | ||||||
Saga Communications, Inc. — Class A | 27 | 1,082 | ||||||
Hemisphere Media Group, Inc.* | 76 | 998 | ||||||
Liquidity Services, Inc.* | 180 | 932 | ||||||
Harte-Hanks, Inc. | 361 | 914 | ||||||
QuinStreet, Inc.* | 266 | 910 | ||||||
Aerohive Networks, Inc.* | 175 | 873 | ||||||
Limelight Networks, Inc.* | 457 | 827 | ||||||
Rapid7, Inc.* | 60 | 784 | ||||||
HC2 Holdings, Inc.* | 197 | 753 | ||||||
Preformed Line Products Co. | 20 | 730 | ||||||
RealNetworks, Inc.* | 175 | 711 | ||||||
Marin Software, Inc.* | 226 | 683 | ||||||
Rocket Fuel, Inc.* | 199 | 627 | ||||||
Townsquare Media, Inc. — Class A* | 52 | 583 | ||||||
Intelsat S.A.* | 213 | 537 | ||||||
Cumulus Media, Inc. — Class A* | 1,079 | 501 | ||||||
Novatel Wireless, Inc.* | 283 | 501 | ||||||
Sizmek, Inc.* | 161 | 467 | ||||||
EVINE Live, Inc.* | 373 | 436 | ||||||
Travelzoo, Inc.* | 52 | 422 | ||||||
ModusLink Global Solutions, Inc.* | 284 | 417 | ||||||
Corindus Vascular Robotics, Inc.* | 168 | 166 | ||||||
Connecture, Inc.* | 50 | 128 | ||||||
MaxPoint Interactive, Inc.* | 52 | 92 | ||||||
Total Communications | 744,164 | |||||||
Utilities - 2.5% | ||||||||
Piedmont Natural Gas Company, Inc. | 592 | 35,419 | ||||||
IDACORP, Inc. | 378 | 28,196 | ||||||
WGL Holdings, Inc. | 374 | 27,066 | ||||||
Portland General Electric Co. | 667 | 26,340 | ||||||
Cleco Corp. | 454 | 25,065 | ||||||
ONE Gas, Inc. | 396 | 24,196 | ||||||
New Jersey Resources Corp. | 644 | 23,461 | ||||||
Black Hills Corp. | 385 | 23,150 | ||||||
Southwest Gas Corp. | 350 | 23,048 | ||||||
Laclede Group, Inc. | 324 | 21,951 | ||||||
NorthWestern Corp. | 352 | 21,736 | ||||||
ALLETE, Inc. | 365 | 20,466 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
PNM Resources, Inc. | 599 | $ | 20,198 | |||||
Avista Corp. | 467 | 19,044 | ||||||
South Jersey Industries, Inc. | 512 | 14,566 | ||||||
El Paso Electric Co. | 304 | 13,948 | ||||||
MGE Energy, Inc. | 261 | 13,637 | ||||||
Dynegy, Inc.* | 912 | 13,105 | ||||||
Ormat Technologies, Inc. | 279 | 11,506 | ||||||
American States Water Co. | 284 | 11,178 | ||||||
Northwest Natural Gas Co. | 205 | 11,039 | ||||||
Empire District Electric Co. | 327 | 10,807 | ||||||
California Water Service Group | 360 | 9,619 | ||||||
Otter Tail Corp. | 281 | 8,323 | ||||||
Chesapeake Utilities Corp. | 114 | 7,179 | ||||||
NRG Yield, Inc. — Class C | 470 | 6,693 | ||||||
Abengoa Yield plc | 367 | 6,525 | ||||||
Talen Energy Corp.* | 628 | 5,652 | ||||||
Unitil Corp. | 105 | 4,461 | ||||||
SJW Corp. | 119 | 4,326 | ||||||
Connecticut Water Service, Inc. | 84 | 3,788 | ||||||
Middlesex Water Co. | 121 | 3,733 | ||||||
NRG Yield, Inc. — Class A | 259 | 3,515 | ||||||
York Water Co. | 97 | 2,960 | ||||||
Atlantic Power Corp. | 914 | 2,248 | ||||||
PICO Holdings, Inc.* | 172 | 1,760 | ||||||
Artesian Resources Corp. — Class A | 59 | 1,650 | ||||||
EnerNOC, Inc.* | 203 | 1,519 | ||||||
Consolidated Water Company Ltd. | 110 | 1,339 | ||||||
Ameresco, Inc. — Class A* | 151 | 720 | ||||||
Genie Energy Ltd. — Class B* | 94 | 715 | ||||||
Spark Energy, Inc. — Class A | 23 | 414 | ||||||
Total Utilities | 516,261 | |||||||
Basic Materials - 1.8% | ||||||||
Sensient Technologies Corp. | 354 | 22,464 | ||||||
Olin Corp. | 1,237 | 21,486 | ||||||
PolyOne Corp. | 670 | 20,268 | ||||||
HB Fuller Co. | 378 | 16,046 | ||||||
Minerals Technologies, Inc. | 261 | 14,838 | ||||||
Commercial Metals Co. | 867 | 14,714 | ||||||
Balchem Corp. | 234 | 14,513 | ||||||
Chemtura Corp.* | 503 | 13,279 | ||||||
Carpenter Technology Corp. | 378 | 12,939 | ||||||
Worthington Industries, Inc. | 360 | 12,830 | ||||||
Axiall Corp. | 528 | 11,532 | ||||||
Kaiser Aluminum Corp. | 128 | 10,821 | ||||||
US Silica Holdings, Inc. | 476 | 10,815 | ||||||
Stillwater Mining Co.* | 906 | 9,649 | ||||||
Quaker Chemical Corp. | 100 | 8,486 | ||||||
Stepan Co. | 146 | 8,072 | ||||||
Neenah Paper, Inc. | 125 | 7,958 | ||||||
Innospec, Inc. | 181 | 7,848 | ||||||
Hecla Mining Co. | 2,778 | 7,723 | ||||||
Schweitzer-Mauduit International, Inc. | 228 | 7,177 | ||||||
PH Glatfelter Co. | 324 | 6,717 | ||||||
Clearwater Paper Corp.* | 135 | 6,549 | ||||||
Ferro Corp.* | 547 | 6,493 | ||||||
A. Schulman, Inc. | 219 | 5,961 | ||||||
Coeur Mining, Inc.* | 1,020 | 5,732 | ||||||
Calgon Carbon Corp. | 394 | 5,524 | ||||||
AK Steel Holding Corp.* | 1,333 | 5,505 | ||||||
Univar, Inc.* | 304 | 5,223 | ||||||
Aceto Corp. | 218 | 5,136 | ||||||
Deltic Timber Corp. | 82 | 4,932 | ||||||
Innophos Holdings, Inc. | 148 | 4,575 | ||||||
Ferroglobe plc | 486 | 4,282 | ||||||
Kraton Performance Polymers, Inc.* | 234 | 4,048 | ||||||
Materion Corp. | 151 | 3,998 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 200 | 3,688 | ||||||
Koppers Holdings, Inc.* | 154 | 3,460 | ||||||
Cliffs Natural Resources, Inc.* | 1,149 | 3,447 | ||||||
American Vanguard Corp.* | 218 | 3,440 | ||||||
Tronox Ltd. — Class A | 478 | 3,054 | ||||||
Rayonier Advanced Materials, Inc. | 308 | 2,926 | ||||||
Hawkins, Inc. | 79 | 2,851 | ||||||
Century Aluminum Co.* | 374 | 2,637 | ||||||
Landec Corp.* | 202 | 2,121 | ||||||
OMNOVA Solutions, Inc.* | 351 | 1,952 | ||||||
Orchids Paper Products Co. | 69 | 1,898 | ||||||
KMG Chemicals, Inc. | 72 | 1,661 | ||||||
Oil-Dri Corporation of America | 37 | 1,250 | ||||||
Kronos Worldwide, Inc. | 158 | 904 | ||||||
United States Lime & Minerals, Inc. | 15 | 900 | ||||||
Energy Fuels, Inc.* | 327 | 723 | ||||||
Uranium Energy Corp.* | 733 | 548 | ||||||
Intrepid Potash, Inc.* | 421 | 468 | ||||||
Ryerson Holding Corp.* | 82 | 456 | ||||||
Rentech, Inc.* | 174 | 386 | ||||||
Valhi, Inc. | 144 | 170 | ||||||
Horsehead Holding Corp.* | 425 | 63 | ||||||
Total Basic Materials | 367,136 | |||||||
Energy - 1.4% | ||||||||
PDC Energy, Inc.* | 347 | 20,630 | ||||||
Parsley Energy, Inc. — Class A* | 748 | 16,904 | ||||||
Western Refining, Inc. | 533 | 15,505 | ||||||
RSP Permian, Inc.* | 491 | 14,259 | ||||||
Carrizo Oil & Gas, Inc.* | 436 | 13,481 | ||||||
Oil States International, Inc.* | 387 | 12,197 | ||||||
Matador Resources Co.* | 600 | 11,376 | ||||||
MRC Global, Inc.* | 775 | 10,184 | ||||||
Oasis Petroleum, Inc.* | 1,357 | 9,879 | ||||||
Pattern Energy Group, Inc. | 418 | 7,971 | ||||||
SEACOR Holdings, Inc.* | 137 | 7,460 | ||||||
McDermott International, Inc.* | 1,806 | 7,387 | ||||||
SemGroup Corp. — Class A | 329 | 7,370 | ||||||
Synergy Resources Corp.* | 896 | 6,962 | ||||||
Delek US Holdings, Inc. | 429 | 6,538 | ||||||
Callon Petroleum Co.* | 722 | 6,390 |
80 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
Forum Energy Technologies, Inc.* | 444 | $ | 5,860 | |||||
Bristow Group, Inc. | 262 | 4,957 | ||||||
Green Plains, Inc. | 284 | 4,533 | ||||||
Helix Energy Solutions Group, Inc.* | 795 | 4,452 | ||||||
Atwood Oceanics, Inc. | 485 | 4,447 | ||||||
Thermon Group Holdings, Inc.* | 240 | 4,214 | ||||||
Archrock, Inc. | 521 | 4,168 | ||||||
Exterran Corp.* | 260 | 4,020 | ||||||
TETRA Technologies, Inc.* | 598 | 3,797 | ||||||
Matrix Service Co.* | 201 | 3,558 | ||||||
Unit Corp.* | 378 | 3,330 | ||||||
SunCoke Energy, Inc. | 489 | 3,179 | ||||||
Renewable Energy Group, Inc.* | 329 | 3,106 | ||||||
Flotek Industries, Inc.* | 402 | 2,947 | ||||||
Newpark Resources, Inc.* | 631 | 2,726 | ||||||
Plug Power, Inc.* | 1,301 | 2,667 | ||||||
Tesco Corp. | 293 | 2,523 | ||||||
Alon USA Energy, Inc. | 234 | 2,414 | ||||||
REX American Resources Corp.* | 43 | 2,385 | ||||||
Bill Barrett Corp.* | 376 | 2,339 | ||||||
Par Pacific Holdings, Inc.* | 120 | 2,251 | ||||||
Sanchez Energy Corp.* | 398 | 2,185 | ||||||
FutureFuel Corp. | 183 | 2,158 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 124 | 2,146 | ||||||
CARBO Ceramics, Inc. | 147 | 2,087 | ||||||
Natural Gas Services Group, Inc.* | 96 | 2,076 | ||||||
Parker Drilling Co.* | 917 | 1,944 | ||||||
Northern Oil and Gas, Inc.* | 462 | 1,843 | ||||||
PHI, Inc.* | 94 | 1,776 | ||||||
Clean Energy Fuels Corp.* | 536 | 1,570 | ||||||
Contango Oil & Gas Co.* | 131 | 1,544 | ||||||
Era Group, Inc.* | 156 | 1,463 | ||||||
Trecora Resources* | 151 | 1,453 | ||||||
Solazyme, Inc.* | 601 | 1,220 | ||||||
Geospace Technologies Corp.* | 98 | 1,209 | ||||||
Fairmount Santrol Holdings, Inc.* | 479 | 1,202 | ||||||
Gulfmark Offshore, Inc. — Class A* | 192 | 1,185 | ||||||
EXCO Resources, Inc.* | 1,195 | 1,182 | ||||||
FuelCell Energy, Inc.* | 167 | 1,131 | ||||||
Pacific Ethanol, Inc.* | 238 | 1,114 | ||||||
Pioneer Energy Services Corp.* | 484 | 1,065 | ||||||
Westmoreland Coal Co.* | 135 | 973 | ||||||
Ring Energy, Inc.* | 183 | 924 | ||||||
Evolution Petroleum Corp. | 185 | 899 | ||||||
Cloud Peak Energy, Inc.* | 457 | 891 | ||||||
Basic Energy Services, Inc.* | 322 | 889 | ||||||
Sunrun, Inc.* | 134 | 868 | ||||||
TerraForm Global, Inc. — Class A | 324 | 771 | ||||||
Jones Energy, Inc. — Class A* | 217 | 723 | ||||||
Abraxas Petroleum Corp.* | 706 | 713 | ||||||
Gastar Exploration, Inc.* | 609 | 670 | ||||||
Adams Resources & Energy, Inc. | 16 | 640 | ||||||
Independence Contract Drilling, Inc.* | 126 | 601 | ||||||
C&J Energy Services Ltd.* | 422 | 595 | ||||||
Bonanza Creek Energy, Inc.* | 372 | 591 | ||||||
W&T Offshore, Inc.* | 262 | 574 | ||||||
ION Geophysical Corp.* | 71 | 574 | ||||||
Ultra Petroleum Corp.* | 1,150 | 573 | ||||||
Isramco, Inc.* | 7 | 572 | ||||||
Halcon Resources Corp.* | 556 | 534 | ||||||
Eclipse Resources Corp.* | 361 | 520 | ||||||
Enphase Energy, Inc.* | 209 | 487 | ||||||
Energy XXI Ltd. | 708 | 441 | ||||||
Vivint Solar, Inc.* | 155 | 411 | ||||||
Clayton Williams Energy, Inc.* | 45 | 401 | ||||||
Hallador Energy Co. | 82 | 375 | ||||||
Key Energy Services, Inc.* | 1,007 | 372 | ||||||
Stone Energy Corp.* | 428 | 338 | ||||||
Peabody Energy Corp.* | 139 | 322 | ||||||
Approach Resources, Inc.* | 273 | 317 | ||||||
SandRidge Energy, Inc.* | 5,218 | 293 | ||||||
Rex Energy Corp.* | 364 | 280 | ||||||
Seventy Seven Energy, Inc.* | 425 | 247 | ||||||
Erin Energy Corp.* | 104 | 196 | ||||||
Triangle Petroleum Corp.* | 350 | 190 | ||||||
North Atlantic Drilling Ltd.* | 54 | 148 | ||||||
TransAtlantic Petroleum Ltd.* | 193 | 145 | ||||||
Penn Virginia Corp.* | 911 | 140 | ||||||
Earthstone Energy, Inc.* | 10 | 121 | ||||||
Magnum Hunter Resources Corp.* | 2,114 | 9 | ||||||
Total Energy | 299,247 | |||||||
Diversified - 0.1% | ||||||||
HRG Group, Inc.* | 590 | 8,219 | ||||||
National Bank Holdings Corp. — Class A | 228 | 4,649 | ||||||
Resource America, Inc. — Class A | 111 | 640 | ||||||
Total Diversified | 13,508 | |||||||
Government - 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 225 | 5,450 | ||||||
Total Common Stocks | ||||||||
(Cost $7,487,497) | 12,264,615 | |||||||
WARRANTS†† - 0.0% | ||||||||
Tejon Ranch Co. | ||||||||
$10.50, 08/31/16† | 39 | — | ||||||
Imperial Holdings, Inc. | ||||||||
$10.75, 10/06/19 | 18 | — | ||||||
Magnum Hunter Resources Corp. | ||||||||
$8.50, 04/15/16 | 334 | — | ||||||
Total Warrants | ||||||||
(Cost $220) | — |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (continued) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
Shares | Value | |||||||
RIGHTS†† - 0.0% | ||||||||
Vince Holding Corp. | ||||||||
Expires 04/14/16 | 116 | $ | 30 | |||||
Leap Wireless International, Inc. | ||||||||
Expires 03/06/17††† | 1,031 | — | ||||||
Omthera Pharmaceuticals, Inc. | ||||||||
Expires 12/31/20††† | 110 | — | ||||||
Dyax Corp. | ||||||||
Expires 01/25/17††† | 1,255 | — | ||||||
Total Rights | ||||||||
(Cost $1,030) | 30 |
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 39.1% | ||||||||
Royal Bank of Canada | $ | 4,284,926 | 4,284,926 | |||||
HSBC Group | 3,884,030 | 3,884,030 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $8,168,956) | 8,168,956 | |||||||
Total Investments - 97.7% | ||||||||
(Cost $15,657,703) | $ | 20,433,601 | ||||||
Other Assets & Liabilities, net - 2.3% | 472,035 | |||||||
Total Net Assets - 100.0% | $ | 20,905,636 |
| Contracts | Unrealized | ||||||
EQUITY FUTURES CONTRACTS PURCHASED† | ||||||||
June 2016 Russell 2000 Index | 3 | $ | 14,144 |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS†† | ||||||||
Goldman Sachs International | 2,606 | $ | 90,344 | |||||
Credit Suisse Capital, LLC | 1,604 | 62,986 | ||||||
Barclays Bank plc | 21,691 | 45,989 | ||||||
(Total Notional Value $28,855,049) | $ | 199,319 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs, unless otherwise noted — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 5. |
2 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
3 | Total Return based on Russell 2000 Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
82 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2016 |
RUSSELL 2000® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Common Stocks | $ | 12,263,869 | $ | — | $ | 746 | $ | — | $ | — | $ | 12,264,615 | ||||||||||||
Equity Futures Contracts | — | 14,144 | — | — | — | 14,144 | ||||||||||||||||||
Equity Index Swap Agreements | — | — | — | 199,319 | — | 199,319 | ||||||||||||||||||
Repurchase Agreements | — | — | 8,168,956 | — | — | 8,168,956 | ||||||||||||||||||
Rights | — | — | 30 | — | — | 30 | ||||||||||||||||||
Warrants | — | — | — | — | — | — | ||||||||||||||||||
Total | $ | 12,263,869 | $ | 14,144 | $ | 8,169,732 | $ | 199,319 | $ | — | $ | 20,647,064 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 83 |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Investments, at value (cost $7,488,747) | $ | 12,264,645 | ||
Repurchase agreements, at value (cost $8,168,956) | 8,168,956 | |||
Total investments (cost $15,657,703) | 20,433,601 | |||
Segregated cash with broker | 2,749,000 | |||
Unrealized appreciation on swap agreements | 199,319 | |||
Cash | 15 | |||
Receivables: | ||||
Fund shares sold | 9,214,896 | |||
Swap settlement | 75,893 | |||
Securities sold | 34,808 | |||
Dividends | 17,133 | |||
Variation margin | 13,237 | |||
Interest | 50 | |||
Foreign taxes reclaim | 37 | |||
Total assets | 32,737,989 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 11,738,017 | |||
Securities purchased | 40,432 | |||
Management fees | 20,920 | |||
Distribution and service fees | 6,317 | |||
Transfer agent and administrative fees | 5,811 | |||
Portfolio accounting fees | 3,487 | |||
Miscellaneous | 17,369 | |||
Total liabilities | 11,832,353 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 20,905,636 | ||
Net assets consist of: | ||||
Paid in capital | $ | 28,116,873 | ||
Accumulated net investment loss | (80,913 | ) | ||
Accumulated net realized loss on investments | (12,119,685 | ) | ||
Net unrealized appreciation on investments | 4,989,361 | |||
Net assets | $ | 20,905,636 | ||
A-Class: | ||||
Net assets | $ | 3,125,428 | ||
Capital shares outstanding | 12,704 | |||
Net asset value per share | $ | 246.02 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 258.28 | ||
C-Class: | ||||
Net assets | $ | 987,362 | ||
Capital shares outstanding | 4,358 | |||
Net asset value per share | $ | 226.56 | ||
H-Class: | ||||
Net assets | $ | 16,792,846 | ||
Capital shares outstanding | 68,365 | |||
Net asset value per share | $ | 245.64 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $433) | $ | 287,091 | ||
Income from securities lending, net | 13,912 | |||
Interest | 10,283 | |||
Other income | 1,505 | |||
Total investment income | 312,791 | |||
Expenses: | ||||
Management fees | 403,380 | |||
Transfer agent and administrative fees | 112,052 | |||
Distribution and service fees: | ||||
A-Class | 7,986 | |||
C-Class | 11,200 | |||
H-Class | 101,267 | |||
Portfolio accounting fees | 67,232 | |||
Registration fees | 46,728 | |||
Custodian fees | 5,176 | |||
Trustees’ fees* | 3,716 | |||
Line of credit fees | 804 | |||
Miscellaneous | 55,159 | |||
Total expenses | 814,700 | |||
Net investment loss | (501,909 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,303,055 | |||
Swap agreements | (8,949,422 | ) | ||
Futures contracts | 1,509,380 | |||
Net realized loss | (6,136,987 | ) | ||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | (5,067,827 | ) | ||
Swap agreements | (603,291 | ) | ||
Futures contracts | (1,176,320 | ) | ||
Net change in unrealized appreciation(depreciation) | (6,847,438 | ) | ||
Net realized and unrealized loss | (12,984,425 | ) | ||
Net decrease in net assets resulting from operations | $ | (13,486,334 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
84 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (501,909 | ) | $ | (606,416 | ) | ||
Net realized gain (loss) on investments | (6,136,987 | ) | 14,392,271 | |||||
Net change in unrealized appreciation (depreciation) on investments | (6,847,438 | ) | 1,080,823 | |||||
Net increase (decrease) in net assets resulting from operations | (13,486,334 | ) | 14,866,678 | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | ||||||||
A-Class | (211,105 | ) | (19,140 | ) | ||||
C-Class | (79,122 | ) | (6,150 | ) | ||||
H-Class | (2,885,852 | ) | (129,464 | ) | ||||
Total distributions to shareholders | (3,176,079 | ) | (154,754 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 38,402,015 | 52,972,910 | ||||||
C-Class | 17,807,074 | 45,533,953 | ||||||
H-Class | 1,561,512,030 | 2,329,838,795 | ||||||
Distributions reinvested | ||||||||
A-Class | 209,826 | 17,968 | ||||||
C-Class | 75,366 | 5,816 | ||||||
H-Class | 2,698,520 | 127,254 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (38,960,360 | ) | (53,884,041 | ) | ||||
C-Class | (18,264,521 | ) | (49,493,373 | ) | ||||
H-Class | (1,661,616,419 | ) | (2,278,396,597 | ) | ||||
Net increase (decrease) from capital share transactions | (98,136,469 | ) | 46,722,685 | |||||
Net increase (decrease) in net assets | (114,798,882 | ) | 61,434,609 | |||||
Net assets: | ||||||||
Beginning of year | 135,704,518 | 74,269,909 | ||||||
End of year | $ | 20,905,636 | $ | 135,704,518 | ||||
Accumulated net investment loss at end of year | $ | (80,913 | ) | $ | (14,533 | ) | ||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 125,710 | 170,091 | ||||||
C-Class | 64,317 | 158,088 | ||||||
H-Class | 5,365,549 | 7,671,539 | ||||||
Shares issued from reinvestment of distributions | ||||||||
A-Class | 778 | 57 | ||||||
C-Class | 303 | 20 | ||||||
H-Class | 10,026 | 403 | ||||||
Shares redeemed | ||||||||
A-Class | (126,635 | ) | (173,402 | ) | ||||
C-Class | (65,589 | ) | (171,790 | ) | ||||
H-Class | (5,678,361 | ) | (7,503,123 | ) | ||||
Net increase (decrease) in shares | (303,902 | ) | 151,883 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 85 |
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.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 349.39 | $ | 314.68 | $ | 217.14 | $ | 173.53 | $ | 135.39 | $ | 169.09 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (2.98 | ) | (3.03 | ) | (2.80 | ) | (.60 | ) | (1.50 | ) | (2.46 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (75.57 | ) | 39.13 | 107.93 | 44.21 | 39.64 | (31.24 | ) | ||||||||||||||||
Total from investment operations | (78.55 | ) | 36.10 | 105.13 | 43.61 | 38.14 | (33.70 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (24.82 | ) | (1.39 | ) | (7.59 | ) | — | — | — | |||||||||||||||
Total distributions | (24.82 | ) | (1.39 | ) | (7.59 | ) | — | — | — | |||||||||||||||
Net asset value, end of period | $ | 246.02 | $ | 349.39 | $ | 314.68 | $ | 217.14 | $ | 173.53 | $ | 135.39 | ||||||||||||
Total Returnd | (23.11 | %) | 11.52 | % | 48.84 | % | 25.14 | % | 28.18 | % | (19.93 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,125 | $ | 4,490 | $ | 5,068 | $ | 5,149 | $ | 1,706 | $ | 3,356 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.00 | %) | (0.98 | %) | (1.02 | %) | (1.21 | %) | (0.95 | %) | (1.52 | %) | ||||||||||||
Total expenses | 1.78 | % | 1.80 | % | 1.76 | % | 1.79 | % | 1.82 | % | 1.94 | % | ||||||||||||
Portfolio turnover rate | 296 | % | 620 | % | 515 | % | 88 | % | 622 | % | 150 | % |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 326.49 | $ | 296.29 | $ | 206.27 | $ | 165.09 | $ | 129.68 | $ | 163.02 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (4.87 | ) | (5.66 | ) | (4.58 | ) | (.96 | ) | (2.28 | ) | (3.51 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (70.24 | ) | 37.25 | 102.19 | 42.14 | 37.69 | (29.83 | ) | ||||||||||||||||
Total from investment operations | (75.11 | ) | 31.59 | 97.61 | 41.18 | 35.41 | (33.34 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (24.82 | ) | (1.39 | ) | (7.59 | ) | — | — | — | |||||||||||||||
Total distributions | (24.82 | ) | (1.39 | ) | (7.59 | ) | — | — | — | |||||||||||||||
Net asset value, end of period | $ | 226.56 | $ | 326.49 | $ | 296.29 | $ | 206.27 | $ | 165.09 | $ | 129.68 | ||||||||||||
Total Returnd | (23.68 | %) | 10.71 | % | 47.76 | % | 24.95 | % | 27.32 | % | (20.45 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 987 | $ | 1,739 | $ | 5,632 | $ | 2,301 | $ | 3,398 | $ | 1,301 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.74 | %) | (1.97 | %) | (1.78 | %) | (2.00 | %) | (1.48 | %) | (2.28 | %) | ||||||||||||
Total expenses | 2.52 | % | 2.75 | % | 2.50 | % | 2.49 | % | 2.51 | % | 2.69 | % | ||||||||||||
Portfolio turnover rate | 296 | % | 620 | % | 515 | % | 88 | % | 622 | % | 150 | % |
86 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012 | Year Ended December 31, 2011 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 348.85 | $ | 314.19 | $ | 216.88 | $ | 173.36 | $ | 135.31 | $ | 169.09 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | (3.30 | ) | (2.85 | ) | (2.80 | ) | (.62 | ) | (1.42 | ) | (2.48 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (75.09 | ) | 38.90 | 107.70 | 44.14 | 39.47 | (31.30 | ) | ||||||||||||||||
Total from investment operations | (78.39 | ) | 36.05 | 104.90 | 43.52 | 38.05 | (33.78 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | (24.82 | ) | (1.39 | ) | (7.59 | ) | — | — | — | |||||||||||||||
Total distributions | (24.82 | ) | (1.39 | ) | (7.59 | ) | — | — | — | |||||||||||||||
Net asset value, end of period | $ | 245.64 | $ | 348.85 | $ | 314.19 | $ | 216.88 | $ | 173.36 | $ | 135.31 | ||||||||||||
Total Returnd | (23.10 | %) | 11.52 | % | 48.79 | % | 25.12 | % | 28.13 | % | (19.98 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,793 | $ | 129,475 | $ | 63,570 | $ | 48,837 | $ | 43,854 | $ | 30,306 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.12 | %) | (0.95 | %) | (1.07 | %) | (1.29 | %) | (0.91 | %) | (1.56 | %) | ||||||||||||
Total expenses | 1.81 | % | 1.81 | % | 1.78 | % | 1.83 | % | 1.82 | % | 1.94 | % | ||||||||||||
Portfolio turnover rate | 296 | % | 620 | % | 515 | % | 88 | % | 622 | % | 150 | % |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any applicable sales charges. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 87 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | March 31, 2016 |
INVERSE 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 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.
For the one-year period ended March 31, 2016, Inverse Russell 2000® 2x Strategy Fund maintained a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the Russell 2000® Index. Inverse Russell 2000® 2x Strategy Fund H-Class returned 8.09%, while the Russell 2000® Index returned -1.34% over the same period.
Among sectors, the biggest performance contributors to the underlying index during the period were Utilities and Telecommunications Services. The Health Care sector detracted the most from return, followed by the Energy sector.
Synageva BioPharma Corp., Dyax Corp., and Piedmont Natural Gas Company, Inc. were the largest contributors to the performance of the underlying index for the year. Puma Biotechnology, Inc., Celldex Therapeutics, Inc., and SemGroup Corp. – Class A were the leading detractors from the performance of the underlying index for the year.
Derivatives in the Fund were used to help provide exposure to the composition of the benchmark in the highest efficient manner and to provide leverage, not for hedging purposes. The results of derivatives use during the period were within our expectations and were a factor in the Fund’s positive performance.
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.
The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 5 of this report.
Performance displayed represents past performance, which is no guarantee of future results.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Dates: | |
A-Class | May 31, 2006 |
C-Class | May 31, 2006 |
H-Class | May 31, 2006 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
88 | THE RYDEX FUNDS ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | March 31, 2016 |
Cumulative Fund Performance*
Average Annual Returns*
Periods Ended March 31, 2016
1 Year | 5 Year | Since Inception | |
A-Class Shares | 8.10% | -25.95% | -27.89% |
A-Class Shares with sales charge† | 2.97% | -26.66% | -28.25% |
C-Class Shares | 7.33% | -26.41% | -28.39% |
C-Class Shares with CDSC‡ | 6.33% | -26.41% | -28.39% |
H-Class Shares | 8.09% | -25.90% | -27.91% |
Russell 2000 Index | -1.34% | 11.40% | 8.15% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structures. |
† | Fund returns are calculated using the maximum sales charge of 4.75%. |
‡ | Fund returns include a CDSC of 1% if redeemed within 12 months of purchase. |
THE RYDEX FUNDS ANNUAL REPORT 89 |
SCHEDULE OF INVESTMENTS | March 31, 2016 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND |
Face | Value | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 55.3% | ||||||||
Federal Home Loan Bank1 | ||||||||
0.08% due 04/01/16 | $ | 15,000,000 | $ | 15,000,000 | ||||
0.23% due 04/01/16 | 5,500,000 | 5,500,000 | ||||||
0.35% due 05/06/16 | 5,000,000 | 4,998,735 | ||||||
Total Federal Home Loan Bank | 25,498,735 | |||||||
Freddie Mac2 | ||||||||
0.24% due 04/07/16 | 1,600,000 | 1,599,936 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $27,098,240) | 27,098,671 | |||||||
REPURCHASE AGREEMENTS††,3 - 34.5% | ||||||||
HSBC Group | 9,764,798 | 9,764,798 | ||||||
Royal Bank of Canada | 7,135,578 | 7,135,578 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $16,900,376) | 16,900,376 | |||||||
Total Investments - 89.8% | ||||||||
(Cost $43,998,616) | $ | 43,999,047 | ||||||
Other Assets & Liabilities, net - 10.2% | 4,988,971 | |||||||
Total Net Assets - 100.0% | $ | 48,988,018 |
Contracts | Unrealized | |||||||
EQUITY FUTURES CONTRACTS SOLD SHORT† | ||||||||
June 2016 Russell 2000 Index | 18 | $ | (4,499 | ) |
Units | ||||||||
OTC EQUITY INDEX SWAP AGREEMENTS SOLD SHORT†† | ||||||||
Credit Suisse Capital, LLC | 538 | $ | (21,194 | ) | ||||
Barclays Bank plc | 62,345 | (248,983 | ) | |||||
Goldman Sachs International | 23,476 | (396,656 | ) | |||||
(Total Notional Value $96,205,084) | $ | (666,833 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | Repurchase Agreements — See Note 5. |
4 | All or a portion of this security is pledged as equity index swap collateral at March 31, 2016. |
5 | Total Return based on Russell 2000 Index +/- financing at a variable rate. Rate indicated is rate effective at March 31, 2016. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
90 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (concluded) | March 31, 2016 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at March 31, 2016 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Federal Agency Discount Notes | $ | — | $ | — | $ | 27,098,671 | $ | — | $ | — | $ | 27,098,671 | ||||||||||||
Repurchase Agreements | — | — | 16,900,376 | — | — | 16,900,376 | ||||||||||||||||||
Total | $ | — | $ | — | $ | 43,999,047 | $ | — | $ | — | $ | 43,999,047 |
Investments in Securities (Liabilities) | Level 1 | Level 1 - | Level 2 | Level 2 - | Level 3 | Total | ||||||||||||||||||
Equity Futures Contracts | $ | — | $ | 4,499 | $ | — | $ | — | $ | — | $ | 4,499 | ||||||||||||
Equity Index Swap Agreements | — | — | — | 666,833 | — | 666,833 | ||||||||||||||||||
Total | $ | — | $ | 4,499 | $ | — | $ | 666,833 | $ | — | $ | 671,332 |
* | Other financial instruments include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end. |
For the year ended March 31, 2016, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 91 |
INVERSE RUSSELL 2000® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES |
March 31, 2016 |
Assets: | ||||
Investments, at value (cost $27,098,240) | $ | 27,098,671 | ||
Repurchase agreements, at value (cost $16,900,376) | 16,900,376 | |||
Total investments (cost $43,998,616) | 43,999,047 | |||
Segregated cash with broker | 7,259,200 | |||
Receivables: | ||||
Fund shares sold | 1,880,468 | |||
Interest | 103 | |||
Total assets | 53,138,818 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 666,833 | |||
Payable for: | ||||
Fund shares redeemed | 3,407,414 | |||
Management fees | 28,187 | |||
Distribution and service fees | 8,325 | |||
Transfer agent and administrative fees | 7,830 | |||
Variation margin | 6,292 | |||
Portfolio accounting fees | 4,698 | |||
Swap settlement | 3,953 | |||
Miscellaneous | 17,268 | |||
Total liabilities | 4,150,800 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 48,988,018 | ||
Net assets consist of: | ||||
Paid in capital | $ | 179,114,370 | ||
Accumulated net investment loss | (106,129 | ) | ||
Accumulated net realized loss on investments | (129,349,322 | ) | ||
Net unrealized depreciation on investments | (670,901 | ) | ||
Net assets | $ | 48,988,018 | ||
A-Class: | ||||
Net assets | $ | 1,364,491 | ||
Capital shares outstanding | 50,379 | |||
Net asset value per share | $ | 27.08 | ||
Maximum offering price per share(Net asset value divided by 95.25%) | $ | 28.43 | ||
C-Class: | ||||
Net assets | $ | 820,210 | ||
Capital shares outstanding | 32,752 | |||
Net asset value per share | $ | 25.04 | ||
H-Class: | ||||
Net assets | $ | 46,803,317 | ||
Capital shares outstanding | 1,734,906 | |||
Net asset value per share | $ | 26.98 |
STATEMENT OF OPERATIONS |
Year Ended March 31, 2016 |
Investment Income: | ||||
Interest | $ | 23,594 | ||
Other income | 22 | |||
Total investment income | 23,616 | |||
Expenses: | ||||
Management fees | 173,424 | |||
Transfer agent and administrative fees | 48,175 | |||
Distribution and service fees: | ||||
A-Class | 2,109 | |||
C-Class | 7,811 | |||
H-Class | 44,115 | |||
Portfolio accounting fees | 28,906 | |||
Custodian fees | 2,253 | |||
Trustees’ fees* | 1,094 | |||
Miscellaneous | 45,929 | |||
Total expenses | 353,816 | |||
Net investment loss | (330,200 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 3,145 | |||
Swap agreements | 906,385 | |||
Futures contracts | (512,301 | ) | ||
Net realized gain | 397,229 | |||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | 431 | |||
Swap agreements | (462,242 | ) | ||
Futures contracts | 2,054 | |||
Net change in unrealized appreciation(depreciation) | (459,757 | ) | ||
Net realized and unrealized loss | (62,528 | ) | ||
Net decrease in net assets resulting from operations | $ | (392,728 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
92 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Year Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (330,200 | ) | $ | (456,181 | ) | ||
Net realized gain (loss) on investments | 397,229 | (4,642,305 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (459,757 | ) | 79,802 | |||||
Net decrease in net assets resulting from operations | (392,728 | ) | (5,018,684 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
A-Class | 17,385,209 | 25,053,419 | ||||||
C-Class | 26,400,620 | 60,186,523 | ||||||
H-Class | 870,446,662 | 1,333,164,672 | ||||||
Cost of shares redeemed | ||||||||
A-Class | (16,356,923 | ) | (24,888,532 | ) | ||||
C-Class | (26,350,201 | ) | (59,783,125 | ) | ||||
H-Class | (833,832,478 | ) | (1,334,005,882 | ) | ||||
Net increase (decrease) from capital share transactions | 37,692,889 | (272,925 | ) | |||||
Net increase (decrease) in net assets | 37,300,161 | (5,291,609 | ) | |||||
Net assets: | ||||||||
Beginning of year | 11,687,857 | 16,979,466 | ||||||
End of year | $ | 48,988,018 | $ | 11,687,857 | ||||
(Accumulated net investment loss)/Undistributed net investment income at end of year | $ | (106,129 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | ||||||||
A-Class | 610,500 | 831,137 | ||||||
C-Class | 1,037,635 | 2,015,744 | ||||||
H-Class | 32,040,728 | 42,281,149 | ||||||
Shares redeemed | ||||||||
A-Class | (580,728 | ) | (830,251 | ) | ||||
C-Class | (1,033,351 | ) | (2,003,141 | ) | ||||
H-Class | (30,726,814 | ) | (42,346,014 | ) | ||||
Net increase (decrease) in shares | 1,347,970 | (51,376 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 93 |
INVERSE 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.
A-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012f | Year Ended December 31, 2011c,f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.05 | $ | 32.70 | $ | 57.03 | $ | 73.35 | $ | 111.91 | $ | 146.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)d | (.47 | ) | (.56 | ) | (.76 | ) | (.25 | ) | (1.45 | ) | (2.65 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.50 | (7.09 | ) | (23.57 | ) | (16.07 | ) | (37.11 | ) | (31.84 | ) | |||||||||||||
Total from investment operations | 2.03 | (7.65 | ) | (24.33 | ) | (16.32 | ) | (38.56 | ) | (34.49 | ) | |||||||||||||
Net asset value, end of period | $ | 27.08 | $ | 25.05 | $ | 32.70 | $ | 57.03 | $ | 73.35 | $ | 111.91 | ||||||||||||
Total Returne | 8.10 | % | (23.39 | %) | (42.68 | %) | (22.22 | %) | (34.45 | %) | (23.57 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,364 | $ | 516 | $ | 645 | $ | 823 | $ | 997 | $ | 837 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.67 | %) | (1.77 | %) | (1.75 | %) | (1.86 | %) | (1.69 | %) | (1.95 | %) | ||||||||||||
Total expenses | 1.80 | % | 1.78 | % | 1.77 | % | 1.94 | % | 1.81 | % | 1.99 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
C-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012f | Year Ended December 31, 2011c,f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.33 | $ | 30.73 | $ | 54.03 | $ | 69.56 | $ | 106.30 | $ | 140.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)d | (.62 | ) | (.74 | ) | (1.00 | ) | (.40 | ) | (2.05 | ) | (3.40 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.33 | (6.66 | ) | (22.30 | ) | (15.13 | ) | (34.69 | ) | (30.30 | ) | |||||||||||||
Total from investment operations | 1.71 | (7.40 | ) | (23.30 | ) | (15.53 | ) | (36.74 | ) | (33.70 | ) | |||||||||||||
Net asset value, end of period | $ | 25.04 | $ | 23.33 | $ | 30.73 | $ | 54.03 | $ | 69.56 | $ | 106.30 | ||||||||||||
Total Returne | 7.33 | % | (24.08 | %) | (43.15 | %) | (22.29 | %) | (34.57 | %) | (24.07 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 820 | $ | 664 | $ | 488 | $ | 533 | $ | 1,059 | $ | 2,886 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (2.44 | %) | (2.55 | %) | (2.47 | %) | (2.32 | %) | (2.46 | %) | (2.65 | %) | ||||||||||||
Total expenses | 2.56 | % | 2.56 | % | 2.49 | % | 2.39 | % | 2.57 | % | 2.73 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
94 | THE RYDEX FUNDS ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS (concluded) |
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.
H-Class | Year Ended | Year Ended | Year Ended | Period Ended | Year Ended December 31, 2012f | Year Ended December 31, 2011c,f | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.96 | $ | 32.62 | $ | 56.61 | $ | 72.71 | $ | 111.31 | $ | 145.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)d | (.46 | ) | (.56 | ) | (.74 | ) | (.25 | ) | (1.50 | ) | (2.55 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.48 | (7.10 | ) | (23.25 | ) | (15.85 | ) | (37.10 | ) | (31.74 | ) | |||||||||||||
Total from investment operations | 2.02 | (7.66 | ) | (23.99 | ) | (16.10 | ) | (38.60 | ) | (34.29 | ) | |||||||||||||
Net asset value, end of period | $ | 26.98 | $ | 24.96 | $ | 32.62 | $ | 56.61 | $ | 72.71 | $ | 111.31 | ||||||||||||
Total Returne | 8.09 | % | (23.48 | %) | (42.37 | %) | (22.15 | %) | (34.68 | %) | (23.56 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 46,803 | $ | 10,508 | $ | 15,847 | $ | 43,907 | $ | 13,462 | $ | 23,518 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.69 | %) | (1.80 | %) | (1.76 | %) | (1.73 | %) | (1.75 | %) | (1.94 | %) | ||||||||||||
Total expenses | 1.81 | % | 1.82 | % | 1.79 | % | 1.81 | % | 1.86 | % | 1.97 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | The Fund changed its fiscal year end from December to March in 2013. |
c | Reverse Share Split — Per share amounts for periods presented through December 2, 2011 have been restated to reflect a 1:4 reverse share split effective December 2 , 2011. |
d | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
e | Total return does not reflect the impact of any applicable sales charges. |
f | Reverse Share Split — Per share amounts for periods presented through February 21, 2014 have been restated to reflect a 1:7 reverse share split effective February 21, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS ANNUAL REPORT | 95 |
NOTES TO FINANCIAL STATEMENTS |
1. Organization and Significant Accounting Policies
Organization
The Rydex Dynamic Funds (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company, of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. The Trust accounts for the assets of each Fund separately.
The Trust offers a combination of three separate classes of shares: A-Class shares, C-Class shares, and H-Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. At March 31, 2016, the Trust consisted of eight funds.
This report covers the S&P 500® 2x Strategy Fund, Inverse S&P 500® 2x Strategy Fund, NASDAQ-100® 2x Strategy Fund, Inverse NASDAQ-100® 2x Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, Russell 2000® 2x Strategy Fund and Inverse Russell 2000® 2x Strategy Fund (the “Funds”), each a non-diversified investment company.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Guggenheim Investments (“GI”) provides advisory services, and Rydex Fund Services, LLC (“RFS”) provides transfer agent, administrative and accounting services to the Trust. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI, RFS 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 and disclosure of 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 NAV of each Class of the Funds is calculated by dividing the market value of the Fund’s securities and other assets, less all liabilities, attributable to the Class by the number of outstanding shares of the Class.
The Trust calculates a NAV twice each business day; at 10:45 a.m. and at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. The NAV is calculated using the current market value of each Fund’s total assets, as of the respective time of calculation.These financial statements are based on the March 31, 2016, afternoon NAV.
A. 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 or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed and will 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
responsibilities set forth in the Valuation Procedures, regularly review procedures used by, and valuations provided by, the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
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 valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of OTC swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s value is then adjusted to include dividends accrued, and financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair valued as determined in good faith by GI under the direction of the Board of Trustees using methods established or ratified by the Board of Trustees.
Valuations in accordance with these methods are intended to reflect each security’s (or asset’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: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
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. 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. Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records
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NOTES TO FINANCIAL STATEMENTS (continued) |
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 are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.
E. Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from REITs is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
F. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
G. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution and service fees are charged directly to specific classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net assets of each Fund included in the Trust.
H. 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 0.25% at March 31, 2016.
I. Under the Funds’ organizational documents, their 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.
2. Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
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Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 40,696,591 | $ | — | ||||
Inverse S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 2,294,619 | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 31,939,871 | — | ||||||
Inverse NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 3,474,306 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 9,569,164 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 769,490 | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 12,479,008 | — | ||||||
Inverse Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 1,214,713 |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing. Central clearing generally reduces counterparty credit risk and increases liquidity, but central clearing does not make swap transactions risk-free. Additionally, 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.
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Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
Average Notional | |||||||||
Fund | Use | Long | Short | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 158,628,152 | $ | — | ||||
Inverse S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 105,821,638 | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 347,388,010 | — | ||||||
Inverse NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 48,962,986 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 37,553,068 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 25,943,579 | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 67,453,611 | — | ||||||
Inverse Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 42,485,099 |
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 March 31, 2016:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity contracts | Variation margin | Variation margin |
| Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at March 31, 2016:
Asset Derivative Investments Value | ||||||||||||
Fund | Futures | Swaps | Total Value at | |||||||||
S&P 500® 2x Strategy Fund | $ | 196,657 | $ | 615,946 | $ | 812,603 | ||||||
Inverse S&P 500® 2x Strategy Fund | 535 | — | 535 | |||||||||
NASDAQ-100® 2x Strategy Fund | 1,228,658 | 1,420,647 | 2,649,305 | |||||||||
Dow 2x Strategy Fund | 123,035 | 108,074 | 231,109 | |||||||||
Inverse Dow 2x Strategy Fund | 53 | — | 53 | |||||||||
Russell 2000® 2x Strategy Fund | 14,144 | 199,319 | 213,463 |
Liability Derivative Investments Value | ||||||||||||
Fund | Futures | Swaps | Total Value at | |||||||||
Inverse S&P 500® 2x Strategy Fund | $ | — | $ | 455,480 | $ | 455,480 | ||||||
Inverse NASDAQ-100® 2x Strategy Fund | 4,233 | 520,694 | 524,927 | |||||||||
Inverse Dow 2x Strategy Fund | — | 123,597 | 123,597 | |||||||||
Inverse Russell 2000® 2x Strategy Fund | 4,499 | 666,833 | 671,332 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
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NOTES TO FINANCIAL STATEMENTS (continued) |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended March 31, 2016:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
| Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2016:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||
Fund | Futures | Swaps | Total | |||||||||
S&P 500® 2x Strategy Fund | $ | 2,364,366 | $ | (6,055,165 | ) | $ | (3,690,799 | ) | ||||
Inverse S&P 500® 2x Strategy Fund | (718,594 | ) | (8,782,752 | ) | (9,501,346 | ) | ||||||
NASDAQ-100® 2x Strategy Fund | 2,556,225 | (4,477,123 | ) | (1,920,898 | ) | |||||||
Inverse NASDAQ-100® 2x Strategy Fund | (2,756,217 | ) | (5,900,737 | ) | (8,656,954 | ) | ||||||
Dow 2x Strategy Fund | 1,374,163 | 650,471 | 2,024,634 | |||||||||
Inverse Dow 2x Strategy Fund | (961,103 | ) | (3,252,549 | ) | (4,213,652 | ) | ||||||
Russell 2000® 2x Strategy Fund | 1,509,380 | (8,949,422 | ) | (7,440,042 | ) | |||||||
Inverse Russell 2000® 2x Strategy Fund | (512,301 | ) | 906,385 | 394,084 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||
Fund | Futures | Swaps | Total | |||||||||
S&P 500® 2x Strategy Fund | $ | (314,261 | ) | $ | (76,993 | ) | $ | (391,254 | ) | |||
Inverse S&P 500® 2x Strategy Fund | (98,705 | ) | (184,262 | ) | (282,967 | ) | ||||||
NASDAQ-100® 2x Strategy Fund | 927,301 | 827,148 | 1,754,449 | |||||||||
Inverse NASDAQ-100® 2x Strategy Fund | (40,900 | ) | (514,894 | ) | (555,794 | ) | ||||||
Dow 2x Strategy Fund | 103,065 | (135,017 | ) | (31,952 | ) | |||||||
Inverse Dow 2x Strategy Fund | 511 | (53,764 | ) | (53,253 | ) | |||||||
Russell 2000® 2x Strategy Fund | (1,176,320 | ) | (603,291 | ) | (1,779,611 | ) | ||||||
Inverse Russell 2000® 2x Strategy Fund | 2,054 | (462,242 | ) | (460,188 | ) |
In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or the repurchase agreements allocated to the Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
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NOTES TO FINANCIAL STATEMENTS (continued) |
3. Fees and Other Transactions with Affiliates
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at their annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
S&P 500® 2x Strategy Fund | 0.90% |
Inverse S&P 500® 2x Strategy Fund | 0.90% |
NASDAQ-100® 2x Strategy Fund | 0.90% |
Inverse NASDAQ-100® 2x Strategy Fund | 0.90% |
Dow 2x Strategy Fund | 0.90% |
Inverse Dow 2x Strategy Fund | 0.90% |
Russell 2000® 2x Strategy Fund | 0.90% |
Inverse Russell 2000® 2x Strategy Fund | 0.90% |
RFS provides transfer agent and administrative services to the Funds for fees calculated at the annualized rate of 0.25% based on the average daily net assets of each Fund.
RFS also provides accounting services to the Funds for fees calculated at the annualized rate of 0.15% based on the average daily net assets of each Fund.
RFS engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which GFD and other firms that provide distribution and/or shareholder services (“Service Providers”) may receive compensation. If a Service Provider provides distribution services, the Funds will pay distribution fees to GFD at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. GFD, in turn, will pay the Service Provider out of its fees. GFD may, at its discretion, retain a portion of such payments to compensate itself for distribution services.
The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds’ C-Class shares average daily net assets. The annual 0.25% service fee compensates a shareholder’s financial adviser for providing ongoing services to the shareholder. The annual distribution fee of 0.75% reimburses GFD for paying the shareholder’s financial adviser an ongoing sales commission. GFD advances the first year’s service and distribution fees to the financial adviser. GFD retains the service and distribution fees on accounts with no authorized dealer of record.
For the year ended March 31, 2016, GFD retained sales charges of $48,708 relating to sales of A-Class shares of the Trust.
Certain trustees and officers of the Trust are also officers of GI, RFS and GFD.
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.). |
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NOTES TO FINANCIAL STATEMENTS (continued) |
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.
5. 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 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 March 31, 2016, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||
HSBC Group | U.S. Treasury Strips | |||||||||||||
0.21% | 0.00% | |||||||||||||
Due 04/01/16 | $ | 78,880,483 | $ | 78,880,943 | 05/15/43 | $ | 170,013,900 | $ | 80,458,170 | |||||
Royal Bank of Canada | U.S. TIP Note | |||||||||||||
0.23% | 0.13% | |||||||||||||
Due 04/01/16 | 57,000,000 | 57,000,364 | 01/15/22 | 54,705,800 | 58,140,054 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment adviser, acting under the supervision of the Board of Trustees, 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.
6. Portfolio Securities Loaned
During the year ended March 31, 2016, certain Funds lent their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations are net of rebates paid to borrowers and earnings on cash collateral investments shared with the lending agent. As of March 31, 2016, all Funds had ceased participation in securities lending.
7. 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 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
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NOTES TO FINANCIAL STATEMENTS (continued) |
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, is reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP.
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Assets1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Assets Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Received | Net | ||||||||||||||||||
S&P 500® 2x Strategy Fund | Swap equity contracts | $ | 615,946 | $ | — | $ | 615,946 | $ | — | $ | — | $ | 615,946 | ||||||||||||
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | 1,420,647 | — | 1,420,647 | — | — | 1,420,647 | ||||||||||||||||||
Dow 2x Strategy Fund | Swap equity contracts | 108,074 | — | 108,074 | — | — | 108,074 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | Swap equity contracts | 199,319 | — | 199,319 | — | — | 199,319 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross Amounts of Recognized Liabilities1 | Gross Amounts Offset In the Statements of Assets and Liabilities | Net Amount of Liabilities Presented on the Statements of Assets and Liabilities | Financial Instruments | Cash Collateral Pledged | Net | ||||||||||||||||||
Inverse S&P 500® 2x Strategy Fund | Swap equity contracts | $ | 455,480 | $ | — | $ | 455,480 | $ | 295,649 | $ | 159,831 | $ | — | ||||||||||||
Inverse NASDAQ-100® 2x Strategy Fund | Swap equity contracts | 520,694 | — | 520,694 | 498,274 | 22,420 | — | ||||||||||||||||||
Inverse Dow 2x Strategy Fund | Swap equity contracts | 123,597 | — | 123,597 | 80,523 | 43,074 | — | ||||||||||||||||||
Inverse Russell 2000® 2x Strategy Fund | Swap equity contracts | 666,833 | — | 666,833 | 417,850 | 248,983 | — |
1 | Exchange-traded futures are excluded from these reported amounts. |
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NOTES TO FINANCIAL STATEMENTS (continued) |
8. Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on Federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2016, the following capital loss carryforward amounts were used:
Fund | Amount | |||
Dow 2x Strategy Fund | $ | 828,218 | ||
Inverse Russell 2000® 2x Strategy Fund | 705,431 |
The tax character of distributions paid during the year ended March 31, 2016 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
S&P 500® 2x Strategy Fund | $ | 2,039,811 | $ | — | $ | 2,039,811 | ||||||
Inverse S&P 500® 2x Strategy Fund | — | — | — | |||||||||
NASDAQ-100® 2x Strategy Fund | 13,978,047 | — | 13,978,047 | |||||||||
Inverse NASDAQ-100® 2x Strategy Fund | — | — | — | |||||||||
Dow 2x Strategy Fund | 980,646 | 1,250,117 | 2,230,763 | |||||||||
Inverse Dow 2x Strategy Fund | — | — | — | |||||||||
Russell 2000® 2x Strategy Fund | 3,176,079 | — | 3,176,079 | |||||||||
Inverse Russell 2000® 2x Strategy Fund | — | — | — |
The tax character of distributions paid during the year ended March 31, 2015 was as follows:
Fund | Ordinary | Long-Term | Total | |||||||||
S&P 500® 2x Strategy Fund | $ | 4,166,156 | $ | — | $ | 4,166,156 | ||||||
Inverse S&P 500® 2x Strategy Fund | — | — | — | |||||||||
NASDAQ-100® 2x Strategy Fund | 17,673,749 | — | 17,673,749 | |||||||||
Inverse NASDAQ-100® 2x Strategy Fund | — | — | — | |||||||||
Dow 2x Strategy Fund | — | — | — | |||||||||
Inverse Dow 2x Strategy Fund | — | — | — | |||||||||
Russell 2000® 2x Strategy Fund | 154,754 | — | 154,754 | |||||||||
Inverse Russell 2000® 2x Strategy Fund | — | — | — |
THE RYDEX FUNDS ANNUAL REPORT 105 |
NOTES TO FINANCIAL STATEMENTS (continued) |
The tax character of distributable earnings/(accumulated losses) at March 31, 2016 was as follows:
Fund | Undistributed | Undistributed | Net Unrealized | Capital Loss | ||||||||||||
S&P 500® 2x Strategy Fund | $ | — | $ | — | $ | 19,824,166 | $ | (5,962,140 | ) | |||||||
Inverse S&P 500® 2x Strategy Fund | — | — | (457,906 | ) | (327,065,505 | ) | ||||||||||
NASDAQ-100® 2x Strategy Fund | — | — | 40,144,796 | (19,726,917 | ) | |||||||||||
Inverse NASDAQ-100® 2x Strategy Fund | — | — | (511,174 | ) | (240,095,254 | ) | ||||||||||
Dow 2x Strategy Fund | — | 244,764 | 492,206 | — | ||||||||||||
Inverse Dow 2x Strategy Fund | — | — | (123,597 | ) | (75,276,591 | ) | ||||||||||
Russell 2000® 2x Strategy Fund | — | — | 2,732,757 | (9,943,994 | ) | |||||||||||
Inverse Russell 2000® 2x Strategy Fund | — | — | (666,402 | ) | (129,459,950 | ) |
Note: Capital Loss Carryforward amounts may be limited due to Federal income tax regulations.
For Federal income tax purposes, capital loss carryforwards represent realized losses of the Funds that may be carried forward and applied against future capital gains. For taxable years beginning on or before December 22, 2010, such capital losses may be carried forward for a maximum of eight years. Under the RIC Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those taxable years must be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. As of March 31, 2016, capital loss carryforwards for the Funds were as follows:
Expires in | Expires in | Unlimited | Total Capital Loss | |||||||||||||||||
Fund | 2017 | 2018 | Short-Term | Long-Term | Carryforward | |||||||||||||||
S&P 500® 2x Strategy Fund | $ | — | $ | — | $ | (5,937,844 | ) | $ | — | $ | (5,937,844 | ) | ||||||||
Inverse S&P 500® 2x Strategy Fund | (68,859,274 | ) | (116,286,366 | ) | (122,302,537 | ) | (19,334,463 | ) | (326,782,640 | ) | ||||||||||
NASDAQ-100® 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse NASDAQ-100® 2x Strategy Fund | (100,324,296 | ) | (50,483,391 | ) | (81,734,755 | ) | (7,363,993 | ) | (239,906,435 | ) | ||||||||||
Dow 2x Strategy Fund | — | — | — | — | — | |||||||||||||||
Inverse Dow 2x Strategy Fund | (25,983,806 | ) | (19,579,661 | ) | (26,173,456 | ) | (3,459,500 | ) | (75,196,423 | ) | ||||||||||
Russell 2000® 2x Strategy Fund | — | — | (9,870,676 | ) | — | (9,870,676 | ) | |||||||||||||
Inverse Russell 2000® 2x Strategy Fund | (53,655,098 | ) | (28,383,576 | ) | (42,062,838 | ) | (5,252,309 | ) | (129,353,821 | ) |
Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to wash sales, utilization of earnings and profits on shareholder redemptions, mark-to market of futures contracts, and late year loss deferrals. Additional differences may result from the tax treatment of net investment losses. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the differences arise. These reclassifications have no effect on net assets or NAV per share.
106 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (continued) |
On the Statements of Assets and Liabilities the following adjustments were made for permanent book/tax differences:
Fund | Paid In | Undistributed | Accumulated | |||||||||
S&P 500® 2x Strategy Fund | $ | (395,821 | ) | $ | 395,823 | $ | (2 | ) | ||||
Inverse S&P 500® 2x Strategy Fund | (737,238 | ) | 737,238 | — | ||||||||
NASDAQ-100® 2x Strategy Fund | 2,476,985 | 2,753,139 | (5,230,124 | ) | ||||||||
Inverse NASDAQ-100® 2x Strategy Fund | (344,543 | ) | 344,543 | — | ||||||||
Dow 2x Strategy Fund | — | 255,634 | (255,634 | ) | ||||||||
Inverse Dow 2x Strategy Fund | (256,895 | ) | 256,895 | — | ||||||||
Russell 2000® 2x Strategy Fund | (421,598 | ) | 435,529 | (13,931 | ) | |||||||
Inverse Russell 2000® 2x Strategy Fund | (224,071 | ) | 224,071 | — |
At March 31, 2016, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
S&P 500® 2x Strategy Fund | $ | 85,810,055 | $ | 19,315,017 | $ | (106,797 | ) | $ | 19,208,220 | |||||||
Inverse S&P 500® 2x Strategy Fund | 52,170,533 | 863 | (3,289 | ) | (2,426 | ) | ||||||||||
NASDAQ-100® 2x Strategy Fund | 204,496,067 | 42,085,086 | (3,360,937 | ) | 38,724,149 | |||||||||||
Inverse NASDAQ-100® 2x Strategy Fund | 43,198,664 | 9,520 | — | 9,520 | ||||||||||||
Dow 2x Strategy Fund | 28,174,945 | 798,288 | (414,156 | ) | 384,132 | |||||||||||
Inverse Dow 2x Strategy Fund | 10,095,394 | — | — | — | ||||||||||||
Russell 2000® 2x Strategy Fund | 17,900,163 | 2,761,159 | (227,721 | ) | 2,533,438 | |||||||||||
Inverse Russell 2000® 2x Strategy Fund | 43,998,616 | 431 | — | 431 |
Pursuant to Federal income tax regulations applicable to regulated investment companies, the Funds have elected to treat net capital losses and certain ordinary losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. The Funds have also elected to treat certain ordinary losses realized between January 1 and March 31 of each year as occurring on the first day of the following tax year. For the year ended March 31, 2016, the following losses reflected in the accompanying financial statements were deferred for Federal income tax purposes until April 1, 2016:
Fund | Ordinary | Capital | ||||||
S&P 500® 2x Strategy Fund | $ | 24,296 | $ | — | ||||
Inverse S&P 500® 2x Strategy Fund | 282,865 | — | ||||||
NASDAQ-100® 2x Strategy Fund | — | 19,726,917 | ||||||
Inverse NASDAQ-100® 2x Strategy Fund | 188,819 | — | ||||||
Inverse Dow 2x Strategy Fund | 80,168 | — | ||||||
Russell 2000® 2x Strategy Fund | 73,318 | — | ||||||
Inverse Russell 2000® 2x Strategy Fund | 106,129 | — |
THE RYDEX FUNDS ANNUAL REPORT 107 |
NOTES TO FINANCIAL STATEMENTS (continued) |
9. Securities Transactions
For the year ended March 31, 2016, 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® 2x Strategy Fund | $ | 223,539,018 | $ | 225,347,051 | ||||
Inverse S&P 500® 2x Strategy Fund | 5,990,570 | — | ||||||
NASDAQ-100® 2x Strategy Fund | 261,661,505 | 320,399,092 | ||||||
Inverse NASDAQ-100® 2x Strategy Fund | — | — | ||||||
Dow 2x Strategy Fund | 232,528,004 | 216,180,361 | ||||||
Inverse Dow 2x Strategy Fund | — | — | ||||||
Russell 2000® 2x Strategy Fund | 84,456,163 | 150,755,899 | ||||||
Inverse Russell 2000® 2x Strategy Fund | — | — |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the year ended March 31, 2016, 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® 2x Strategy Fund | $ | 159,891,151 | $ | 129,553,564 | $ | 2,453,045 | ||||||
Inverse S&P 500® 2x Strategy Fund | 8,497,390 | — | — | |||||||||
NASDAQ-100® 2x Strategy Fund | 139,908,463 | 125,056,990 | (2,053,538 | ) | ||||||||
Dow 2x Strategy Fund | 35,196,378 | 25,873,400 | (791,898 | ) | ||||||||
Inverse Dow 2x Strategy Fund | 799,754 | — | — | |||||||||
Russell 2000® 2x Strategy Fund | 50,013,690 | 87,858,649 | (495,029 | ) | ||||||||
Inverse Russell 2000® 2x Strategy Fund | 3,398,909 | — | — |
10. Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 12, 2016. 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 1.31% for the year ended March 31, 2016. The Funds did not have any borrowings outstanding under this agreement at March 31, 2016.
The average daily balances borrowed for the year ended March 31, 2016, were as follows:
Fund | Average Balance | |||
S&P 500® 2x Strategy Fund | $ | 65,524 | ||
NASDAQ-100® 2x Strategy Fund | 492,418 | |||
Dow 2x Strategy Fund | 11,967 | |||
Russell 2000® 2x Strategy Fund | 63,228 |
11. Legal Proceedings
Tribune Company
Rydex Dynamic Funds 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 Dynamic Funds 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
108 | THE RYDEX FUNDS ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (concluded) |
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 the Tribune Company 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 Dynamic Funds, 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 Dynamic Funds has been named as a putative member of the proposed defendant class of shareholders in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order.
On 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. The Court has not yet issued a decision on any of these motions.
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.
None of these lawsuits alleges any wrongdoing on the part of Rydex Dynamic Funds. The following series of Rydex Dynamic Funds held shares of Tribune and tendered these shares as part of Tribune’s LBO: S&P 500 2x Strategy Fund (the “Fund”). The value of the proceeds received by the foregoing Fund was $52,020. At this stage of the proceedings, Rydex Dynamic Funds 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 ANNUAL REPORT 109 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
The Board of Trustees and Shareholders
of Rydex Dynamic Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Rydex Dynamic Funds (comprising, respectively, the S&P 500® 2x Strategy Fund, Inverse S&P 500® 2x Strategy Fund, NASDAQ-100® 2x Strategy Fund, Inverse NASDAQ-100® 2x Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, Russell 2000® 2x Strategy Fund and Inverse Russell 2000® 2x Strategy Fund) (the “Funds”) as of March 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2016, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective series constituting the Rydex Dynamic Funds at March 31, 2016, and the results of their operations for the year then ended, the for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
McLean, Virginia
May 25, 2016
110 | THE RYDEX FUNDS ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Tax Information
This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.
Of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2016, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:
Fund | % Qualifying |
S&P 500® 2x Strategy Fund | 9.73% |
NASDAQ-100® 2x Strategy Fund | 20.12% |
Dow 2x Strategy Fund | 29.26% |
Russell 2000® 2x Strategy Fund | 1.54% |
Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003:
Fund | % Qualifying |
S&P 500® 2x Strategy Fund | 8.70% |
NASDAQ-100® 2x Strategy Fund | 20.77% |
Dow 2x Strategy Fund | 28.74% |
Russell 2000® 2x Strategy Fund | 1.50% |
Additionally, of the taxable ordinary income distributions paid during the fiscal year ending March 31, 2016, the following funds:
Fund | % Qualifying | % STCG Qualifying |
S&P 500® 2x Strategy Fund | 0.00% | 100.00% |
NASDAQ-100® 2x Strategy Fund | 0.00% | 100.00% |
Dow 2x Strategy Fund | 0.00% | 100.00% |
Russell 2000® 2x Strategy Fund | 0.00% | 100.00% |
With respect to the taxable year ended March 31, 2016, the Funds hereby designate as capital gain dividends the amounts listed below, or, if subsequently determined to be different, the net capital gain of such year:
Fund | From long-term capital gains, subject to the 15% rate gains category: | From long-term capital gains, using proceeds from shareholder redemptions: | ||||||
NASDAQ-100® 2x Strategy Fund | $ | — | $ | 2,476,985 | ||||
Dow 2x Strategy Fund | 1,250,117 | — |
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 http://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 http://www.sec.gov.
THE RYDEX FUNDS ANNUAL REPORT 111 |
OTHER INFORMATION (Unaudited)(concluded) |
Sector Classification
Information in the “Schedule of Investments” is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
Quarterly Portfolio Schedules Information
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
112 | THE RYDEX FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | ||||
Donald C. Cacciapaglia** (1951) | Trustee from 2012 to present. | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present).
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).
| 236 | Clear Spring Life Insurance Company (2015-present); Guggenheim Partners Japan, Ltd. (2014-present); Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present). |
INDEPENDENT TRUSTEES | ||||
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance Committee from 2014 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 134 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 134 | Epiphany Funds (4) (2009-present). |
John O. Demaret (1940) | Vice Chairman of the Board from 2014 to present (Chairman of the Board from 2006 to 2014); Trustee and Member of the Audit Committee from 1997 to present; Chairman (since 2014) and Member of the Compliance and Risk Oversight Committee from 2010 to present; Chairman and Member of the Investment and Performance Committee from 2014 to present; and Member of the Nominating Committee from 2014 to present. | Retired. | 134 | None. |
THE RYDEX FUNDS ANNUAL REPORT 113 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and Year of Birth of Trustee | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
Werner E. Keller (1940) | Chairman of the Board from 2014 to present (Vice Chairman of the Board from 2010 to 2014); Trustee and Member of the Audit Committee from 2005 to present; and Member of the Investment and Performance Committee from 2014 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 134 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Member of the Nominating Committee from 2005 to present; and Member of the Governance Committee from 2007 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 134 | US Global Investors (GROW) (1995-present). |
Patrick T. McCarville (1942) | Trustee from 1997 to present; Member of the Audit Committee from 1997 to present; Chairman and Member of the Nominating Committee from 2004 to present; Chairman and Member of the Governance Committee from 2007 to present; and Member of the Compliance and Risk Oversight Committee from 2014 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 134 | None. |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS | ||
Donald C. Cacciapaglia (1951) | President (2012-present). | Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments (2010-present).
Former: Chairman and CEO, Channel Capital Group Inc. (2002-2010). |
Michael P. Byrum (1970) | Vice President (1999-present). | Current: Senior Vice President, Security Investors, LLC (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present); Director and Chairman, Advisory Research Center, Inc. (2006-present); Manager, Guggenheim Specialized Products, LLC (2005-present).
Former: Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
114 | THE RYDEX FUNDS ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Nikolaos Bonos (1963) | Vice President and Treasurer (2003-present). | Current: Senior Vice President, Security Investors, LLC (2010-present); Chief Executive Officer, Guggenheim Specialized Products, LLC (2009-present); Chief Executive Officer & President, Rydex Fund Services, LLC (2009-present); Vice President, Rydex Holdings, LLC (2008-present).
Former: Senior Vice President, Security Global Investors, LLC (2010-2011); and Senior Vice President, Rydex Advisors, LLC and Rydex Advisors II, LLC (2006-2011). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present). | Current: CCO, certain other funds in the Fund Complex (2012-present); CCO, Security Investors, LLC (2012-present); CCO, Guggenheim Funds Investment Advisors, LLC (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (March 2014-present).
Former: CCO, Guggenheim Distributors, LLC (2009-March 2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Joseph M. Arruda (1966) | Assistant Treasurer (2006-present). | Current: Assistant Treasurer, certain other funds in the Fund Complex (2006-present); Vice President, Security Investors, LLC (2010-present); CFO and Manager, Guggenheim Specialized Products, LLC (2009-present).
Former: Vice President, Security Global Investors, LLC (2010-2011); Vice President, Rydex Advisors, LLC (2010); Vice President, Rydex Advisors II, LLC (2010). |
Paul J. Davio (1972) | Assistant Treasurer (2014-present). | Current: Assistant Treasurer, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2006-present).
Former: Manager, Mutual Fund Administration, Guggenheim Investments (2003-2006). |
Amy J. Lee (1961) | Vice President (2009-present) and Secretary (2012-present). | Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850. |
** | Mr. Cacciapaglia is an “interested” person of the Trust, as that term is defined in the 1940 Act by virtue of his affiliation with the Adviser’s parent company. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
THE RYDEX FUNDS ANNUAL REPORT 115 |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited) |
Rydex Funds, Guggenheim Funds, Rydex Investments, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Security Distributors, Inc., Guggenheim Partners Investment Managers, LLC, and Rydex Advisory Services (Collectively “Guggenheim Investments”).
Our Commitment to You
When you become a Guggenheim Investments investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone—whether it is your personal information or if you are a current or former Guggenheim Investments client.
The Information We Collect About You
In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Guggenheim Investments account application or when you request a transaction that involves Rydex and Guggenheim Investments funds or one of the Guggenheim Investments affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).
How We Handle Your Personal Information
As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Guggenheim Investments. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Guggenheim Investments investment products and services, we may share your information within the Guggenheim Investments family of affiliated companies. This would include, for example, sharing your information within Guggenheim Investments so we can make you aware of new Rydex and Guggenheim Investments funds or the services offered through another Guggenheim Investments affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned 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. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, 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 permitted by law.
Opt Out Provisions
We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
116 | THE RYDEX FUNDS ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY POLICIES (Unaudited)(concluded) |
How We Protect Privacy Online
Our concern for the privacy of our shareholders also extends to those who use our web site, guggenheiminvestments.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Guggenheim Investments web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only 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 email 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
We restrict access to nonpublic personal information about shareholders 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’ll Keep You Informed
As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.
THE RYDEX FUNDS ANNUAL REPORT 117 |
(Registrant) | Rydex Dynamic Funds | |
By (Signature and Title)* | /s/ Donald C. Cacciapaglia | |
Donald C. Cacciapaglia, | ||
President and Chief Executive | ||
Date | June 9, 2016 | |
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/ Donald C. Cacciapaglia | |
Donald C. Cacciapaglia, | ||
President and Chief Executive | ||
Date | June 9, 2016 | |
By (Signature and Title)* | /s/ Nikolaos Bonos | |
Nikolaos Bonos, | ||
Vice President and Treasurer | ||
Date | June 9, 2016 |