N-CSR 1 g35851_variablencsr.txt G35851_VARIABLENCSR.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-08821 ---------- Rydex Variable Trust -------------------------------------------------- (Exact name of registrant as specified in charter) 9601 Blackwell Road, Suite 500 Rockville, Maryland 20850 -------------------------------------------------- (Address of principal executive offices) (Zip code) Carl G. Verboncoeur Rydex Variable Trust 9601 Blackwell Road, Suite 500 Rockville, Maryland 20850 -------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-301-296-5100 -------------- Date of fiscal year end: December 31, 2006 ----------------- Date of reporting period: December 31, 2006 ----------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. DECEMBER 31, 2006 RYDEX VARIABLE TRUST ANNUAL REPORT NOVA FUND INVERSE S&P 500 FUND OTC FUND INVERSE OTC FUND DYNAMIC S&P 500 FUND DYNAMIC OTC FUND MID-CAP ADVANTAGE FUND INVERSE MID-CAP FUND DYNAMIC RUSSELL 2000(R) FUND RUSSELL 2000(R) ADVANTAGE FUND INVERSE RUSSELL 2000(R) FUND GOVERNMENT LONG BOND ADVANTAGE FUND INVERSE GOVERNMENT LONG BOND FUND EUROPE ADVANTAGE FUND JAPAN ADVANTAGE FUND DYNAMIC DOW FUND INVERSE DYNAMIC DOW FUND SMALL-CAP VALUE FUND MID-CAP VALUE FUND LARGE-CAP VALUE FUND SMALL-CAP GROWTH FUND MID-CAP GROWTH FUND LARGE-CAP GROWTH FUND DYNAMIC STRENGTHENING DOLLAR FUND DYNAMIC WEAKENING DOLLAR FUND MULTI-CAP CORE EQUITY FUND SECTOR ROTATION FUND U.S. GOVERNMENT MONEY MARKET FUND BANKING FUND BASIC MATERIALS FUND BIOTECHNOLOGY FUND COMMODITIES FUND CONSUMER PRODUCTS FUND ELECTRONICS FUND ENERGY FUND ENERGY SERVICES FUND FINANCIAL SERVICES FUND HEALTH CARE FUND INTERNET FUND LEISURE FUND PRECIOUS METALS FUND REAL ESTATE FUND RETAILING FUND TECHNOLOGY FUND TELECOMMUNICATIONS FUND TRANSPORTATION FUND UTILITIES FUND [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ................................................ 2 A BRIEF NOTE ON THE COMPOUNDING OF RETURNS ................................ 4 ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 5 PERFORMANCE REPORTS AND FUND PROFILES ..................................... 8 SCHEDULES OF INVESTMENTS .................................................. 55 STATEMENTS OF ASSETS AND LIABILITIES ...................................... 172 STATEMENTS OF OPERATIONS .................................................. 180 STATEMENTS OF CHANGES IN NET ASSETS ....................................... 188 FINANCIAL HIGHLIGHTS ...................................................... 202 NOTES TO FINANCIAL STATEMENTS ............................................. 209 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 225 OTHER INFORMATION ......................................................... 226 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 229 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS -------------------------------------------------------------------------------- DEAR SHAREHOLDER: In many ways, 2006 was a surprising year for investors. Equity markets turned in an unexpectedly strong performance, based in large part on a powerful year-end rally. For much of 2006, stock prices were kept in check by inflation and interest rate concerns. One of the most noteworthy developments of the year was that the Federal Reserve ("Fed") called a halt to its two-year interest rate raising campaign in an effort to see if the 17 consecutive increases in short-term rates enacted over the prior two years had been enough to slow economic growth and cool inflationary pressures. Throughout 2006, stock prices reacted to two major inputs--the price of oil and the direction of future interest rate policy. The pause in interest rate hikes by the Fed changed the debate from when would they stop to when will they ease. Oil prices, which had been on a relentless climb going back to the days prior to hurricane Katrina, finally broke after a first-half rally brought the price of oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower than where it began at $61/barrel. Underlying this was the hope that the economy would achieve a soft landing--slowing enough to give the Fed latitude to ease, but not enough to tip the economy into recession. The major risk in 2006 was housing. As the housing "bubble" burst, it had--and still has--the potential to pull the economy into recession. Stock price behavior, particularly in the fourth quarter, indicates that most observers believed the economy has dodged that bullet. Stocks rallied modestly at the beginning of 2006 then pulled back in the May-July period on concerns about inflationary pressures and additional rate hikes by the Fed. With the economy slowing and inflationary pressures easing, markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains, respectively, on a total return basis for the year. Although it was a bit of a seesaw battle, investors expressed a preference for small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%, beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46% compared to 9.15% for the Russell 1000(R) Growth Index. In this buoyant environment, all 10 S&P 500(R) sector indices turned in positive performances. In fact, only two indices in this series--health care and information technology--did not achieve double-digit returns. The standout performer was telecommunications, which rose a stunning 36.74%. The S&P Energy Index, riding the wave of record global economic growth, rose 24.21%, followed by the Consumer Discretionary Index, which was up 18.64%, buoyed by a seemingly inexhaustible propensity for consumers to spend. Interest rates rose modestly in 2006 as the yield curve inverted, indicating that fixed-income investors anticipate a significant economic slowdown going forward. Looking into 2007, we think it is likely that economic growth will be slower but not recessionary. In that environment we expect stocks to cool off, if not retreat a bit. That should give the Fed room to ease interest rates, which should push stock prices up again. We do not, however, expect those conditions to unfold until the second half of 2007. Thank you for placing your trust in Rydex Investments. Sincerely, /s/David C. Reilly, CFA David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX VARIABLE TRUST ANNUAL REPORT -------------------------------------------------------------------------------- This page intentionally left blank. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 3 A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (UNAUDITED) -------------------------------------------------------------------------------- Many of the Rydex Funds described in this report are benchmarked daily to leveraged or inverse 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% gain and an expectation that the fund will rise by 9%. On the same day, the fund's net asset value ("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 LEVEL PERFORMANCE EXPECTATION NAV PERFORMANCE ASSESSMENT ----------------------------------------------------------------------------------------- Start 100 $ 10.00 Day 1 106 6.00% 9.00% $ 10.90 9.00% In line Day 2 99 -6.60% -9.90% $ 9.82 -9.90% In line Cumulative -1.00% -1.50% -1.80% -0.30%
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. 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. 4 | THE RYDEX VARIABLE TRUST ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) -------------------------------------------------------------------------------- All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. As a shareholder of the Fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; 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 you understand your ongoing costs (in dollars) of investing in the 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 June 30, 2006 and ending December 31, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you 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. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your 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 you 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. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by the Fund. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for up to the past five years, in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 5 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONTINUED) --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ JUNE 30, 2006 DECEMBER 31, 2006 PERIOD* ------------------------------------------------------------------------------------------------ TABLE 1. BASED ON ACTUAL FUND RETURN Nova Fund 1.49% $ 1,000.00 $ 1,173.50 $ 8.16 Inverse S&P 500 Fund 1.53% 1,000.00 921.40 7.41 OTC Fund 1.49% 1,000.00 1,112.00 7.93 Inverse OTC Fund 1.63% 1,000.00 924.90 7.91 Dynamic S&P 500 Fund 1.64% 1,000.00 1,217.80 9.17 Dynamic OTC Fund 1.65% 1,000.00 1,190.60 9.11 Mid-Cap Advantage Fund 1.64% 1,000.00 1,061.70 8.52 Inverse Mid-Cap Fund 1.64% 1,000.00 978.70 8.18 Dynamic Russell 2000(R) Fund**** 1.64% 1,000.00 1,040.60 2.93 Russell 2000(R) Advantage Fund 1.64% 1,000.00 1,107.00 8.71 Inverse Russell 2000(R) Fund 1.62% 1,000.00 935.00 7.90 Government Long Bond Advantage Fund 1.19% 1,000.00 1,091.40 6.27 Inverse Government Long Bond Fund** 5.17% 1,000.00 954.80 25.47 Europe Advantage Fund 1.65% 1,000.00 1,156.80 8.97 Japan Advantage Fund 1.63% 1,000.00 1,044.50 8.40 Dynamic Dow Fund 1.64% 1,000.00 1,227.30 9.21 Inverse Dynamic Dow Fund 1.65% 1,000.00 831.80 7.62 Small-Cap Value Fund 1.49% 1,000.00 1,100.70 7.89 Mid-Cap Value Fund 1.49% 1,000.00 1,100.50 7.89 Large-Cap Value Fund 1.50% 1,000.00 1,104.20 7.96 Small-Cap Growth Fund 1.50% 1,000.00 1,042.00 7.72 Mid-Cap Growth Fund 1.49% 1,000.00 1,043.00 7.67 Large-Cap Growth Fund 1.49% 1,000.00 1,085.70 7.83 Dynamic Strengthening Dollar Fund 1.63% 1,000.00 996.80 8.20 Dynamic Weakening Dollar Fund 1.64% 1,000.00 1,029.50 8.39 Multi-Cap Core Equity Fund 1.42% 1,000.00 1,104.40 7.53 Sector Rotation Fund 1.63% 1,000.00 1,075.70 8.53 U.S. Government Money Market Fund 1.18% 1,000.00 1,020.70 6.01 Banking Fund 1.60% 1,000.00 1,078.00 8.38 Basic Materials Fund 1.59% 1,000.00 1,114.20 8.47 Biotechnology Fund 1.60% 1,000.00 1,028.90 8.18 Commodities Fund*** 1.50% 1,000.00 778.30 6.72 Consumer Products Fund 1.59% 1,000.00 1,100.50 8.42 Electronics Fund 1.55% 1,000.00 1,043.20 7.98 Energy Fund 1.59% 1,000.00 995.10 8.00 Energy Services Fund 1.57% 1,000.00 945.60 7.70 Financial Services Fund 1.60% 1,000.00 1,124.00 8.57 Health Care Fund 1.59% 1,000.00 1,092.20 8.38 Internet Fund 1.60% 1,000.00 1,115.90 8.53 Leisure Fund 1.60% 1,000.00 1,150.30 8.67 Precious Metals Fund 1.48% 1,000.00 1,058.00 7.68 Real Estate Fund 1.60% 1,000.00 1,176.50 8.78 Retailing Fund 1.60% 1,000.00 1,087.50 8.42 Technology Fund 1.59% 1,000.00 1,100.00 8.42 Telecommunications Fund 1.59% 1,000.00 1,126.80 8.52 Transportation Fund 1.58% 1,000.00 929.70 7.68 Utilities Fund 1.60% 1,000.00 1,151.70 8.68
6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONCLUDED) --------------------------------------------------------------------------------
EXPENSE BEGINNING ENDING EXPENSES RATIO+ ACCOUNT VALUE ACCOUNT VALUE PAID DURING JUNE 30, 2006 DECEMBER 31, 2006 PERIOD* ---------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN Nova Fund 1.49% $ 1,000.00 $ 1,017.60 $ 7.61 Inverse S&P 500 Fund 1.53% 1,000.00 1,017.40 7.81 OTC Fund 1.49% 1,000.00 1,017.60 7.61 Inverse OTC Fund 1.63% 1,000.00 1,016.88 8.32 Dynamic S&P 500 Fund 1.64% 1,000.00 1,016.83 8.37 Dynamic OTC Fund 1.65% 1,000.00 1,016.78 8.42 Mid-Cap Advantage Fund 1.64% 1,000.00 1,016.83 8.37 Inverse Mid-Cap Fund 1.64% 1,000.00 1,016.83 8.37 Dynamic Russell 2000(R) Fund**** 1.64% 1,000.00 1,016.83 8.37 Russell 2000(R) Advantage Fund 1.64% 1,000.00 1,016.83 8.37 Inverse Russell 2000(R) Fund 1.62% 1,000.00 1,016.94 8.27 Government Long Bond Advantage Fund 1.19% 1,000.00 1,019.13 6.07 Inverse Government Long Bond Fund** 5.17% 1,000.00 998.81 26.39 Europe Advantage Fund 1.65% 1,000.00 1,016.78 8.42 Japan Advantage Fund 1.63% 1,000.00 1,016.88 8.32 Dynamic Dow Fund 1.64% 1,000.00 1,016.83 8.37 Inverse Dynamic Dow Fund 1.65% 1,000.00 1,016.78 8.42 Small-Cap Value Fund 1.49% 1,000.00 1,017.60 7.61 Mid-Cap Value Fund 1.49% 1,000.00 1,017.60 7.61 Large-Cap Value Fund 1.50% 1,000.00 1,017.55 7.66 Small-Cap Growth Fund 1.50% 1,000.00 1,017.55 7.66 Mid-Cap Growth Fund 1.49% 1,000.00 1,017.60 7.61 Large-Cap Growth Fund 1.49% 1,000.00 1,017.60 7.61 Dynamic Strengthening Dollar Fund 1.63% 1,000.00 1,016.88 8.32 Dynamic Weakening Dollar Fund 1.64% 1,000.00 1,016.83 8.37 Multi-Cap Core Equity Fund 1.42% 1,000.00 1,017.96 7.25 Sector Rotation Fund 1.63% 1,000.00 1,016.88 8.32 U.S. Government Money Market Fund 1.18% 1,000.00 1,019.18 6.02 Banking Fund 1.60% 1,000.00 1,017.04 8.17 Basic Materials Fund 1.59% 1,000.00 1,017.09 8.12 Biotechnology Fund 1.60% 1,000.00 1,017.04 8.17 Commodities Fund*** 1.50% 1,000.00 1,017.55 7.66 Consumer Products Fund 1.59% 1,000.00 1,017.09 8.12 Electronics Fund 1.55% 1,000.00 1,017.29 7.91 Energy Fund 1.59% 1,000.00 1,017.09 8.12 Energy Services Fund 1.57% 1,000.00 1,017.19 8.01 Financial Services Fund 1.60% 1,000.00 1,017.04 8.17 Health Care Fund 1.59% 1,000.00 1,017.09 8.12 Internet Fund 1.60% 1,000.00 1,017.04 8.17 Leisure Fund 1.60% 1,000.00 1,017.04 8.17 Precious Metals Fund 1.48% 1,000.00 1,017.65 7.55 Real Estate Fund 1.60% 1,000.00 1,017.04 8.17 Retailing Fund 1.60% 1,000.00 1,017.04 8.17 Technology Fund 1.59% 1,000.00 1,017.09 8.12 Telecommunications Fund 1.59% 1,000.00 1,017.09 8.12 Transportation Fund 1.58% 1,000.00 1,017.14 8.07 Utilities Fund 1.60% 1,000.00 1,017.04 8.17
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. EXPENSES SHOWN DO NOT INCLUDE ADDITIONAL FEES CHARGED BY INSURANCE COMPANIES. ** THIS RATIO REPRESENTS GROSS EXPENSES, WHICH INCLUDE INTEREST EXPENSE FROM SECURITIES SOLD SHORT. EXCLUDING SHORT INTEREST EXPENSE, THE OPERATING EXPENSE RATIOS WOULD BE REDUCED BY 3.55%. *** THIS RATIO REPRESENTS GROSS EXPENSES, WHICH INCLUDE EXPENSES WAIVED BY THE ADVISOR. EXCLUDING WAIVED EXPENSES, THE OPERATING EXPENSE RATIOS WOULD BE REDUCED BY 0.24%. **** SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. + ANNUALIZED THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) -------------------------------------------------------------------------------- NOVA FUND OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 150% of the daily performance of the S&P 500 Index. INCEPTION: May 7, 1997 With oil prices setting new highs mid-year, investors grew fearful, causing the S&P 500 Index to give back earlier gains. However, positive catalysts emerged, and the market regained its strength. Falling oil prices in the second half of the year, along with growing corporate profits and a stable Fed Funds rate, drove the market higher. The S&P 500 Index rallied strongly in the second half to finish up 15.79% in 2006. Energy stocks continued to perform well, and the telecommunications sector posted the strongest group performance, rebounding from losses in the previous year to gain more than 30% in 2006. The market managed to overcome some roadblocks on its way to posting its fourth straight year of positive results, including a slumping housing market, uncertainty surrounding oil prices and expectations of slower economic growth. For the year, Rydex Nova Fund produced returns of 19.27%. It achieved a daily correlation of 99% to its benchmark of 150% of the daily price movement of the S&P 500 Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: MAY 7, 1997 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE NOVA FUND S&P 500 INDEX 5/7/1997 10,000 10,000 6/30/1997 10,970 10,885 9/30/1997 11,950 11,701 12/31/1997 12,210 12,037 3/31/1998 14,190 13,716 6/30/1998 14,570 14,169 9/30/1998 12,070 12,759 12/31/1998 15,880 15,477 3/31/1999 16,600 16,248 6/30/1999 18,070 17,393 9/30/1999 16,182 16,307 12/31/1999 19,577 18,733 3/31/2000 19,893 19,163 6/30/2000 18,575 18,654 9/30/2000 18,051 18,473 12/31/2000 15,602 17,028 3/31/2001 12,592 15,009 6/30/2001 13,535 15,887 9/30/2001 10,424 13,555 12/31/2001 11,923 15,004 3/31/2002 11,882 15,045 6/30/2002 9,434 13,029 9/30/2002 6,909 10,778 12/31/2002 7,664 11,688 3/31/2003 7,131 11,320 6/30/2003 8,788 13,062 9/30/2003 9,084 13,408 12/31/2003 10,667 15,040 3/31/2004 10,978 15,295 6/30/2004 11,200 15,558 9/30/2004 10,762 15,268 12/31/2004 12,227 16,677 3/31/2005 11,739 16,319 6/30/2005 11,901 16,542 9/30/2005 12,489 17,139 12/31/2005 12,712 17,496 3/31/2006 13,395 18,233 6/30/2006 12,920 17,970 9/30/2006 13,870 18,988 12/31/2006 15,162 20,260 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/07/97) -------------------------------------------------------------------------------- NOVA FUND 19.27% 4.92% 4.41% S&P 500 INDEX 15.79% 6.19% 7.59% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] NOVA FUND S&P 500 INDEX OTHER 6.8% 10.2% FINANCIALS 14.8% 22.2% INFORMATION TECHNOLOGY 10.3% 15.2% HEALTH CARE 8.0% 12.0% CONSUMER DISCRETIONARY 7.2% 10.5% INDUSTRIALS 7.2% 10.8% ENERGY 6.6% 9.8% CONSUMER STAPLES 6.1% 9.3% FUTURES CONTRACTS 36.1% EQUITY INDEX SWAP AGREEMENTS 47.7% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Exxon Mobil Corp. 2.4% Citigroup, Inc. 1.7% General Electric, Co. 1.7% Bank of America Corp. 1.5% Pfizer, Inc. 1.2% J.P. Morgan Chase & Co. 1.2% Altria Group, Inc. 1.1% Procter & Gamble Co. 1.1% Microsoft Corp. 1.1% International Business Machines Corp. 1.1% -------------------------------------------------------------------------------- Top Ten Total 14.1% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- INVERSE S&P 500 FUND OBJECTIVE: To provide investment results that will inversely correlate to the performance of the S&P 500 Index. INCEPTION: June 9, 1997 With oil prices setting new highs mid-year, investors grew fearful, causing the S&P 500 Index to give back earlier gains. However, positive catalysts emerged, and the market regained its strength. Falling oil prices in the second half of the year, along with growing corporate profits and a stable Fed Funds rate, drove the market higher. The S&P 500 Index rallied strongly in the second half to finish up 15.79% in 2006. Energy stocks continued to perform well, and the telecommunications sector posted the strongest group performance, rebounding from losses in the previous year to gain more than 30% in 2006. The market managed to overcome some roadblocks on its way to posting its fourth straight year of positive results, including a slumping housing market, uncertainty surrounding oil prices and expectations of slower economic growth. For the year, Rydex Inverse S&P 500 Fund produced returns of -7.50%. It achieved a daily correlation of 99% to its benchmark of the inverse performance of the S&P 500 Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 9, 1997 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE INVERSE S&P 500 FUND S&P 500 INDEX 6/9/1997 10,000 10,000 6/30/1997 9,786 10,266 9/30/1997 9,028 11,035 12/31/1997 8,622 11,352 3/31/1998 7,618 12,935 6/30/1998 7,425 13,362 9/30/1998 8,098 12,033 12/31/1998 6,731 14,596 3/31/1999 6,432 15,323 6/30/1999 5,994 16,403 9/30/1999 6,465 15,379 12/31/1999 5,717 17,667 3/31/2000 5,610 18,072 6/30/2000 5,856 17,592 9/30/2000 6,025 17,422 12/31/2000 6,635 16,059 3/31/2001 7,593 14,155 6/30/2001 7,234 14,983 9/30/2001 8,466 12,784 12/31/2001 7,629 14,150 3/31/2002 7,581 14,189 6/30/2002 8,697 12,288 9/30/2002 10,237 10,165 12/31/2002 9,280 11,023 3/31/2003 9,477 10,676 6/30/2003 8,177 12,319 9/30/2003 7,932 12,645 12/31/2003 7,086 14,185 3/31/2004 6,927 14,425 6/30/2004 6,792 14,673 9/30/2004 6,927 14,399 12/31/2004 6,363 15,728 3/31/2005 6,547 15,390 6/30/2005 6,522 15,601 9/30/2005 6,350 16,163 12/31/2005 6,314 16,501 3/31/2006 6,142 17,195 6/30/2006 6,338 16,947 9/30/2006 6,105 17,908 12/31/2006 5,840 19,107 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (06/09/97) -------------------------------------------------------------------------------- INVERSE S&P 500 FUND -7.50% -5.21% -5.47% S&P 500 INDEX 15.79% 6.19% 7.01% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] INVERSE S&P 500 FUND S&P 500 INDEX OTHER 10.2% FINANCIALS 22.2% INFORMATION TECHNOLOGY 15.2% HEALTH CARE 12.0% INDUSTRIALS 10.8% CONSUMER DISCRETIONARY 10.5% ENERGY 9.8% CONSUMER STAPLES 9.3% FUTURES CONTRACTS SHORT SALES -25.1% EQUITY INDEX SWAP AGREEMENTS SHORT SALES -75.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- OTC FUND OBJECTIVE: To provide investment results that correspond to a benchmark for over-the-counter securities. The Fund's current benchmark is the Nasdaq 100 Index. INCEPTION: May 7,1997 Most of the Nasdaq 100 Index's 7.29% gain for the year was made within the first week of 2006. The index slid about 15% starting in mid-April before rebounding in July. The Nasdaq100 Index has stocks mainly from technology, health care and consumer discretionary sectors. While the consumer discretionary sector returned close to 20%, the technology and health care sectors were up about 5.6% and barely positive, respectively. In general, leadership began to narrow after six years in which most of the sectors performed well. In this past year, the Federal Reserve paused raising interest rates and the overall equity market tried to figure out what the Fed will do next. Many investors believed that the Fed had finished hiking rates and even expected a rate cut soon. Additionally, volatility, both at market level and intra sector, hit multi-year low levels. For the year, Rydex OTC Fund produced returns of 5.77%. It achieved a daily correlation of 99% to its benchmark of 100% of the daily price movement of the Nasdaq 100 Index. CUMULATIVE FUND PERFORMANCE: MAY 7, 1997 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE OTC FUND NASDAQ 100 INDEX* 5/7/1997 10,000 10,000 6/30/1997 10,400 10,528 9/30/1997 11,760 12,066 12/31/1997 10,650 10,897 3/31/1998 13,120 13,424 6/30/1998 14,360 14,708 9/30/1998 14,470 14,797 12/31/1998 19,570 20,192 3/31/1999 22,630 23,165 6/30/1999 24,630 25,259 9/30/1999 25,734 26,481 12/31/1999 39,399 40,777 3/31/2000 46,497 48,366 6/30/2000 39,685 41,393 9/30/2000 37,486 39,268 12/31/2000 24,354 25,753 3/31/2001 16,087 17,302 6/30/2001 18,700 20,156 9/30/2001 11,756 12,849 12/31/2001 15,788 17,344 3/31/2002 14,476 15,977 6/30/2002 10,401 11,563 9/30/2002 8,203 9,156 12/31/2002 9,654 10,826 3/31/2003 9,964 11,203 6/30/2003 11,670 13,216 9/30/2003 12,513 14,338 12/31/2003 14,039 16,144 3/31/2004 13,729 15,819 6/30/2004 14,455 16,679 9/30/2004 13,409 15,537 12/31/2004 15,351 17,828 3/31/2005 14,007 16,304 6/30/2005 14,145 16,425 9/30/2005 15,159 17,614 12/31/2005 15,521 18,093 3/31/2006 15,980 18,736 6/30/2006 14,764 17,324 9/30/2006 15,436 18,191 12/31/2006 16,417 19,322 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/07/97) -------------------------------------------------------------------------------- OTC FUND 5.77% 0.78% 5.27% NASDAQ 100 INDEX 7.29% 2.49% 7.26% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE NASDAQ 100 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] OTC FUND NASDAQ 100 INDEX OTHER 6.6% 6.9% INFORMATION TECHNOLOGY 57.8% 62.2% CONSUMER DISCRETIONARY 16.5% 17.3% HEALTH CARE 12.8% 13.6% FUTURES CONTRACTS 4.6% EQUITY INDEX SWAP AGREEMENTS 1.7% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Apple Computer, Inc. 6.2% Microsoft Corp. 6.1% Qualcomm, Inc. 4.7% Cisco Systems, Inc. 4.1% Google, Inc. -- Class A 3.7% Amgen, Inc. 3.1% Comcast Corp. -- Class A 2.7% Oracle Corp. 2.4% Gilead Sciences, Inc. 2.4% Intel Corp. 2.4% -------------------------------------------------------------------------------- Top Ten Total 37.8% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- INVERSE OTC FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund's current benchmark is the inverse of the performance of the Nasdaq 100 Index. INCEPTION: May 21, 2001 Most of the Nasdaq 100 Index's 7.29% gain for the year was made within the first week of 2006. The index slid about 15% starting in mid-April before rebounding in July. The Nasdaq 100 Index has stocks mainly from technology, health care and consumer discretionary sectors. While the consumer discretionary sector returned close to 20%, the technology and health care sectors were up about 5.60% and barely positive, respectively. In general, leadership began to narrow after six years in which most of the sectors performed well. In this past year, the Federal Reserve paused raising interest rates and the overall equity market tried to figure out what the Fed will do next. Many investors believed that the Fed had finished hiking rates and even expected a rate cut soon. Additionally, volatility, both at market level and intra sector, hit multi-year low levels. For the year, Rydex Inverse OTC Fund produced returns of -1.40%. It achieved a daily correlation of 99% to its benchmark of the inverse performance of the Nasdaq 100 Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: MAY 21, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE INVERSE OTC FUND NASDAQ 100 INDEX* 5/21/2001 10,000 10,000 5/31/2001 11,420 8,769 6/30/2001 11,132 8,929 7/31/2001 11,996 8,202 8/31/2001 13,576 7,160 9/30/2001 16,868 5,692 10/31/2001 13,972 6,649 11/30/2001 11,852 7,776 12/31/2001 11,792 7,683 1/31/2002 11,888 7,552 2/28/2002 13,432 6,622 3/31/2002 12,436 7,078 4/30/2002 14,028 6,222 5/31/2002 14,472 5,887 6/30/2002 16,440 5,122 7/31/2002 17,404 4,687 8/31/2002 17,428 4,591 9/30/2002 19,478 4,056 10/31/2002 16,074 4,821 11/30/2002 14,033 5,438 12/31/2002 15,783 4,796 1/31/2003 15,589 4,789 2/28/2003 15,092 4,919 3/31/2003 14,797 4,963 4/30/2003 13,555 5,389 5/31/2003 12,460 5,836 6/30/2003 12,387 5,855 7/31/2003 11,603 6,221 8/31/2003 11,013 6,534 9/30/2003 11,264 6,352 10/31/2003 10,324 6,901 11/30/2003 10,226 6,939 12/31/2003 9,885 7,152 1/31/2004 9,688 7,274 2/29/2004 9,820 7,164 3/31/2004 10,000 7,008 4/30/2004 10,214 6,827 5/31/2004 9,738 7,143 6/30/2004 9,401 7,389 7/31/2004 10,152 6,823 8/31/2004 10,361 6,668 9/30/2004 10,025 6,883 10/31/2004 9,504 7,243 11/30/2004 8,983 7,656 12/31/2004 8,716 7,898 1/31/2005 9,294 7,404 2/28/2005 9,348 7,362 3/31/2005 9,553 7,223 4/30/2005 9,972 6,922 5/31/2005 9,200 7,516 6/30/2005 9,528 7,276 7/31/2005 8,884 7,820 8/31/2005 9,044 7,706 9/30/2005 8,962 7,803 10/31/2005 9,126 7,694 11/30/2005 8,642 8,149 12/31/2005 8,827 8,015 1/31/2006 8,519 8,335 2/28/2006 8,740 8,139 3/31/2006 8,605 8,300 4/30/2006 8,667 8,286 5/31/2006 9,372 7,696 6/30/2006 9,409 7,674 7/31/2006 9,865 7,354 8/31/2006 9,467 7,696 9/30/2006 9,089 8,059 10/31/2006 8,724 8,441 11/30/2006 8,478 8,727 12/31/2006 8,703 8,560 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/21/01) -------------------------------------------------------------------------------- INVERSE OTC FUND -1.40% -5.89% -2.44% NASDAQ 100 INDEX 7.29% 2.49% -2.47% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE NASDAQ 100 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] INVERSE OTC FUND NASDAQ 100 INDEX OTHER 6.9% INFORMATION TECHNOLOGY 62.2% CONSUMER DISCRETIONARY 17.3% HEALTH CARE 13.6% FUTURES CONTRACTS SHORT SALES -38.3% EQUITY INDEX SWAP AGREEMENTS SHORT SALES -63.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND OBJECTIVE: Seeks to provide investment results that will match 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. INCEPTION: October 1, 2001 With oil prices setting new highs mid-year, investors grew fearful, causing the S&P 500 Index to give back earlier gains. However, positive catalysts emerged, and the market regained its strength. Falling oil prices in the second half of the year, along with growing corporate profits and a stable Fed Funds rate, drove the market higher. The S&P 500 Index rallied strongly in the second half to finish up 15.79% in 2006. Energy stocks continued to perform well, and the telecommunications sector posted the strongest group performance, rebounding from losses in the previous year to gain more than 30% in 2006. The market managed to overcome some roadblocks on its way to posting its fourth straight year of positive results, including a slumping housing market, uncertainty surrounding oil prices and expectations of slower economic growth. For the year, Rydex Dynamic S&P 500 Fund produced returns of 23.70%. It achieved a daily correlation of 99% to its benchmark of 200% of the daily price movement of the S&P 500 Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: OCTOBER 1, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE DYNAMIC S&P 500 FUND S&P 500 INDEX 10/1/2001 10,000 10,000 10/31/2001 10,356 10,214 11/30/2001 11,824 10,998 12/31/2001 11,948 11,094 1/31/2002 11,496 10,932 2/28/2002 11,048 10,721 3/31/2002 11,724 11,124 4/30/2002 10,276 10,450 5/31/2002 10,020 10,373 6/30/2002 8,432 9,634 7/31/2002 7,084 8,883 8/31/2002 7,092 8,942 9/30/2002 5,577 7,970 10/31/2002 6,544 8,671 11/30/2002 7,317 9,182 12/31/2002 6,451 8,642 1/31/2003 6,042 8,416 2/28/2003 5,822 8,289 3/31/2003 5,866 8,370 4/30/2003 6,812 9,059 5/31/2003 7,558 9,537 6/30/2003 7,698 9,658 7/31/2003 7,923 9,829 8/31/2003 8,236 10,020 9/30/2003 8,007 9,914 10/31/2003 8,921 10,475 11/30/2003 9,142 10,567 12/31/2003 9,996 11,121 1/31/2004 10,357 11,325 2/29/2004 10,616 11,483 3/31/2004 10,241 11,309 4/30/2004 9,885 11,132 5/31/2004 10,126 11,285 6/30/2004 10,464 11,504 7/31/2004 9,741 11,123 8/31/2004 9,783 11,168 9/30/2004 9,936 11,289 10/31/2004 10,188 11,462 11/30/2004 10,984 11,926 12/31/2004 11,685 12,331 1/31/2005 11,066 12,031 2/28/2005 11,491 12,284 3/31/2005 11,031 12,066 4/30/2005 10,560 11,838 5/31/2005 11,196 12,214 6/30/2005 11,167 12,232 7/31/2005 11,968 12,686 8/31/2005 11,679 12,571 9/30/2005 11,811 12,672 10/31/2005 11,337 12,461 11/30/2005 12,159 12,933 12/31/2005 12,080 12,937 1/31/2006 12,666 13,280 2/28/2006 12,672 13,316 3/31/2006 12,916 13,481 4/30/2006 13,172 13,662 5/31/2006 12,337 13,269 6/30/2006 12,271 13,287 7/31/2006 12,304 13,369 8/31/2006 12,810 13,687 9/30/2006 13,396 14,040 10/31/2006 14,185 14,497 11/30/2006 14,632 14,773 12/31/2006 14,943 14,980 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (10/01/01) -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND 23.70% 4.58% 7.95% S&P 500 INDEX 15.79% 6.19% 8.00% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) DYNAMIC S&P 500 FUND S&P 500 INDEX OTHER 6.4% 10.2% FINANCIALS 14.2% 22.2% INFORMATION TECHNOLOGY 9.7% 15.2% HEALTH CARE 7.7% 12.0% INDUSTRIALS 6.9% 10.8% CONSUMER DISCRETIONARY 6.8% 10.5% ENERGY 6.3% 9.8% CONSUMER STAPLES 5.9% 9.3% FUTURES CONTRACTS 40.5% EQUITY INDEX SWAP AGREEMENTS 96.8% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Exxon Mobil Corp 2.2% General Electric, Co. 1.9% Citigroup, Inc. 1.3% Microsoft Corp. 1.3% Bank of America Corp. 1.2% Procter & Gamble Co. 1.0% Johnson & Johnson, Inc. 0.9% Pfizer, Inc. 0.9% American International Group, Inc. 0.9% Altria Group, Inc. 0.9% -------------------------------------------------------------------------------- Top Ten Total 12.5% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- DYNAMIC OTC FUND OBJECTIVE: To provide investment results that will match 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. INCEPTION: October 1, 2001 Most of the Nasdaq 100 Index's 7.29% gain for the year was made within the first week of 2006. The index slid about 15% starting in mid-April before rebounding in July. The Nasdaq 100 Index has stocks mainly from technology, health care and consumer discretionary sectors. While the consumer discretionary sector returned close to 20%, the technology and health care sectors were up about 5.60% and barely positive, respectively. In general, leadership began to narrow after six years in which most of the sectors performed well. In this past year, the Federal Reserve paused raising interest rates and the overall equity market tried to figure out what the Fed will do next. Many investors believed that the Fed had finished hiking rates and even expected rate cut soon. Additionally, volatility, both at market level and intra sector, hit multi-year low levels. For the year, Rydex Dynamic OTC Fund produced returns of 4.86%. It achieved a daily correlation of 99% to its benchmark of 200% of the daily price movement of the Nasdaq 100 Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: OCTOBER 1, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE DYNAMIC OTC FUND NASDAQ 100 INDEX* 10/1/2001 10,000 10,000 10/31/2001 12,912 11,855 11/30/2001 17,148 13,864 12/31/2001 15,588 13,699 1/31/2002 14,860 13,465 2/28/2002 11,212 11,807 3/31/2002 12,532 12,620 4/30/2002 9,540 11,093 5/31/2002 8,340 10,496 6/30/2002 6,208 9,133 7/31/2002 5,040 8,357 8/31/2002 4,708 8,186 9/30/2002 3,584 7,232 10/31/2002 4,984 8,595 11/30/2002 6,208 9,695 12/31/2002 4,760 8,550 1/31/2003 4,676 8,539 2/28/2003 4,896 8,771 3/31/2003 4,940 8,848 4/30/2003 5,764 9,608 5/31/2003 6,680 10,405 6/30/2003 6,676 10,438 7/31/2003 7,432 11,092 8/31/2003 8,140 11,650 9/30/2003 7,612 11,324 10/31/2003 8,920 12,303 11/30/2003 8,976 12,371 12/31/2003 9,455 12,751 1/31/2004 9,738 12,969 2/29/2004 9,420 12,772 3/31/2004 8,946 12,494 4/30/2004 8,459 12,173 5/31/2004 9,233 12,736 6/30/2004 9,803 13,174 7/31/2004 8,280 12,164 8/31/2004 7,862 11,889 9/30/2004 8,329 12,271 10/31/2004 9,166 12,914 11/30/2004 10,200 13,650 12/31/2004 10,798 14,082 1/31/2005 9,442 13,200 2/28/2005 9,302 13,125 3/31/2005 8,904 12,878 4/30/2005 8,119 12,341 5/31/2005 9,540 13,400 6/30/2005 8,900 12,973 7/31/2005 10,232 13,943 8/31/2005 9,896 13,739 9/30/2005 10,088 13,912 10/31/2005 9,737 13,717 11/30/2005 10,887 14,528 12/31/2005 10,471 14,291 1/31/2006 11,247 14,860 2/28/2006 10,672 14,511 3/31/2006 11,028 14,798 4/30/2006 10,925 14,773 5/31/2006 9,358 13,721 6/30/2006 9,222 13,683 7/31/2006 8,367 13,111 8/31/2006 9,096 13,722 9/30/2006 9,905 14,368 10/31/2006 10,789 15,049 11/30/2006 11,472 15,559 12/31/2006 10,980 15,261 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (10/01/01) -------------------------------------------------------------------------------- DYNAMIC OTC FUND 4.86% -6.77% 1.80% NASDAQ 100 INDEX 7.29% 2.49% 8.69% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE NASDAQ 100 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] DYNAMIC OTC FUND NASDAQ 100 INDEX OTHER 6.0% 6.9% INFORMATION TECHNOLOGY 48.8% 62.2% CONSUMER DISCRETIONARY 13.8% 17.3% HEALTH CARE 10.8% 13.6% FUTURES CONTRACTS 1.2% EQUITY INDEX SWAP AGREEMENTS 120.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Microsoft Corp. 5.2% Apple Computer, Inc. 5.2% Qualcomm, Inc. 3.9% Google, Inc. -- Class A 3.2% Cisco Systems, Inc. 3.0% Intel Corp. 2.1% Comcast Corp. -- Class A 2.1% Starbucks Corp. 1.9% Amgen, Inc. 1.9% Oracle Corp. 1.9% -------------------------------------------------------------------------------- Top Ten Total 30.4% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for mid-cap securities. The Fund's current benchmark is the S&P MidCap 400 Index. INCEPTION: October 1, 2001 While many investors expected small-cap stocks to underperform large-caps, it was actually mid-sized companies that lagged the broader markets. The S&P 400 MidCap Index gained 10.32%, while the larger stocks in the S&P 500 Index rose 15.79%. Still-strong performance was evident, with all but one economic sector gaining for the year. Telecommunications stocks posted the best results, gaining nearly 50%, whereas the health care sector lost -1.20%. Mid-cap stocks started the year strongly, rocketing up more than 10.0% by early May. They then lost all of their gains, as investors grew wary of the impact of rising oil prices. However, positive catalysts emerged, and the S&P MidCap 400 regained its strength. In the second half of the year, falling oil prices, growing corporate profits, an increasing appetite for risk and the Federal Reserve's restraint with raising rates drove these stocks higher. For the year, Rydex Mid-Cap Advantage Fund produced returns of 10.46%. It achieved a daily correlation of 99% to its benchmark of 150% of the daily price movement of the S&P MidCap 400 Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: OCTOBER 1, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE MID-CAP ADVANTAGE FUND S&P MIDCAP 400 INDEX 10/1/2001 10,000 10,000 10/31/2001 10,848 10,634 11/30/2001 11,920 11,425 12/31/2001 12,667 12,015 1/31/2002 12,569 11,953 2/28/2002 12,618 11,967 3/31/2002 13,876 12,823 4/30/2002 13,860 12,763 5/31/2002 13,519 12,547 6/30/2002 12,017 11,629 7/31/2002 10,374 10,503 8/31/2002 10,297 10,555 9/30/2002 8,973 9,705 10/31/2002 9,512 10,126 11/30/2002 10,315 10,711 12/31/2002 9,571 10,271 1/31/2003 9,157 9,971 2/28/2003 8,806 9,734 3/31/2003 8,823 9,816 4/30/2003 9,749 10,528 5/31/2003 11,074 11,401 6/30/2003 11,241 11,546 7/31/2003 11,769 11,956 8/31/2003 12,539 12,498 9/30/2003 12,297 12,307 10/31/2003 13,659 13,237 11/30/2003 14,316 13,699 12/31/2003 14,589 13,930 1/31/2004 15,049 14,232 2/29/2004 15,551 14,573 3/31/2004 15,651 14,635 4/30/2004 14,831 14,155 5/31/2004 15,197 14,448 6/30/2004 15,704 14,777 7/31/2004 14,530 14,088 8/31/2004 14,418 14,051 9/30/2004 15,063 14,467 10/31/2004 15,466 14,698 11/30/2004 16,865 15,574 12/31/2004 17,820 16,226 1/31/2005 17,107 15,812 2/28/2005 17,934 16,342 3/31/2005 17,652 16,161 4/30/2005 16,455 15,533 5/31/2005 17,887 16,468 6/30/2005 18,499 16,850 7/31/2005 19,972 17,735 8/31/2005 19,582 17,538 9/30/2005 19,747 17,672 10/31/2005 18,999 17,293 11/30/2005 20,280 18,138 12/31/2005 20,327 18,263 1/31/2006 22,060 19,339 2/28/2006 21,783 19,177 3/31/2006 22,511 19,656 4/30/2006 22,909 19,933 5/31/2006 21,203 19,034 6/30/2006 21,150 19,038 7/31/2006 20,091 18,495 8/31/2006 20,415 18,706 9/30/2006 20,563 18,832 10/31/2006 21,736 19,615 11/30/2006 22,572 20,246 12/31/2006 22,454 20,148 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (10/01/01) -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND 10.46% 12.13% 16.66% S&P MIDCAP 400 INDEX 10.32% 10.89% 14.28% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] MID-CAP ADVANTAGE FUND S&P MIDCAP 400 INDEX OTHER 5.8% 2.8% FINANCIALS 11.8% 18.5% INDUSTRIALS 10.6% 15.9% CONSUMER DISCRETIONARY 10.5% 15.4% INFORMATION TECHNOLOGY 10.4% 15.1% HEALTH CARE 7.1% 10.7% UTILITIES 5.8% 8.1% ENERGY 5.3% 7.5% MATERIALS 6.0% FUTURES CONTRACTS 60.0% EQUITY INDEX SWAP AGREEMENTS 23.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Noble Energy, Inc. 0.8% ENSCO International, Inc. 0.8% Lam Research Corp. 0.8% Manpower, Inc. 0.7% Joy Global, Inc. 0.7% American Eagle Outfitters, Inc. 0.7% Everest Re Group Ltd. 0.7% Abercrombie & Fitch Co. -- Class A 0.7% Precision Castparts Corp. 0.7% W.R. Berkley Corp. 0.7% -------------------------------------------------------------------------------- Top Ten Total 7.3% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 14 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- INVERSE MID-CAP FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund's current benchmark is the inverse of the performance of the S&P MidCap 400 Index. INCEPTION: May 3, 2004 While many investors expected small-cap stocks to underperform large-caps, it was actually mid-sized companies that lagged the broader markets. The S&P 400 MidCap Index gained 10.32%, while the larger stocks in the S&P 500 Index rose 15.79%. Still-strong performance was evident, with all but one economic sector gaining for the year. Telecommunications stocks posted the best results, gaining nearly 50%, whereas the health care sector lost -1.20%. Mid-cap stocks started the year strongly, rocketing up more than 10.0% by early May. They then lost all of their gains, as investors grew wary of the impact of rising oil prices. However, positive catalysts emerged, and the S&P MidCap 400 regained its strength. In the second half of the year, falling oil prices, growing corporate profits, an increasing appetite for risk and the Federal Reserve's restraint with raising rates drove these stocks higher. For the year, Rydex Inverse Mid-Cap Fund produced returns of -3.83%. It achieved a daily correlation of 99% to its benchmark of the inverse performance of the S&P MidCap 400 Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE INVERSE MID-CAP FUND S&P MIDCAP 400 INDEX 5/3/2004 10,000 10,000 5/4/2004 9,988 10,024 5/5/2004 9,922 10,074 5/6/2004 10,042 9,955 5/7/2004 10,258 9,742 5/8/2004 10,258 9,742 5/9/2004 10,258 9,742 5/10/2004 10,436 9,578 5/11/2004 10,282 9,703 5/12/2004 10,308 9,677 5/13/2004 10,298 9,690 5/14/2004 10,338 9,660 5/15/2004 10,338 9,660 5/16/2004 10,338 9,660 5/17/2004 10,450 9,547 5/18/2004 10,356 9,634 5/19/2004 10,380 9,608 5/20/2004 10,378 9,612 5/21/2004 10,320 9,660 5/22/2004 10,320 9,660 5/23/2004 10,320 9,660 5/24/2004 10,212 9,760 5/25/2004 10,018 9,948 5/26/2004 9,962 10,008 5/27/2004 9,916 10,063 5/28/2004 9,866 10,114 5/29/2004 9,866 10,114 5/30/2004 9,866 10,114 5/31/2004 9,866 10,114 6/1/2004 9,822 10,146 6/2/2004 9,838 10,146 6/3/2004 9,972 10,004 6/4/2004 9,894 10,075 6/5/2004 9,894 10,075 6/6/2004 9,894 10,075 6/7/2004 9,738 10,246 6/8/2004 9,746 10,228 6/9/2004 9,874 10,103 6/10/2004 9,830 10,129 6/11/2004 9,830 10,129 6/12/2004 9,830 10,129 6/13/2004 9,830 10,129 6/14/2004 9,970 9,985 6/15/2004 9,830 10,111 6/16/2004 9,832 10,129 6/17/2004 9,828 10,123 6/18/2004 9,864 10,123 6/19/2004 9,864 10,123 6/20/2004 9,864 10,123 6/21/2004 9,864 10,096 6/22/2004 9,798 10,153 6/23/2004 9,712 10,244 6/24/2004 9,740 10,228 6/25/2004 9,686 10,275 6/26/2004 9,686 10,275 6/27/2004 9,686 10,275 6/28/2004 9,746 10,221 6/29/2004 9,714 10,252 6/30/2004 9,636 10,344 7/1/2004 9,760 10,215 7/2/2004 9,768 10,193 7/3/2004 9,768 10,193 7/4/2004 9,768 10,193 7/5/2004 9,768 10,193 7/6/2004 9,898 10,053 7/7/2004 9,880 10,083 7/8/2004 10,002 9,960 7/9/2004 9,936 10,009 7/10/2004 9,936 10,009 7/11/2004 9,936 10,009 7/12/2004 9,988 9,983 7/13/2004 9,978 9,993 7/14/2004 10,012 9,960 7/15/2004 9,954 10,012 7/16/2004 10,012 9,942 7/17/2004 10,012 9,942 7/18/2004 10,012 9,942 7/19/2004 10,020 9,952 7/20/2004 9,888 10,070 7/21/2004 10,096 9,864 7/22/2004 10,104 9,845 7/23/2004 10,240 9,730 7/24/2004 10,240 9,730 7/25/2004 10,240 9,730 7/26/2004 10,332 9,646 7/27/2004 10,186 9,776 7/28/2004 10,240 9,726 7/29/2004 10,094 9,854 7/30/2004 10,102 9,861 7/31/2004 10,102 9,861 8/1/2004 10,102 9,861 8/2/2004 10,076 9,877 8/3/2004 10,204 9,770 8/4/2004 10,234 9,737 8/5/2004 10,416 9,554 8/6/2004 10,600 9,399 8/7/2004 10,600 9,399 8/8/2004 10,600 9,399 8/9/2004 10,588 9,414 8/10/2004 10,408 9,567 8/11/2004 10,480 9,507 8/12/2004 10,630 9,375 8/13/2004 10,630 9,368 8/14/2004 10,630 9,368 8/15/2004 10,630 9,368 8/16/2004 10,456 9,523 8/17/2004 10,404 9,567 8/18/2004 10,252 9,707 8/19/2004 10,330 9,642 8/20/2004 10,190 9,770 8/21/2004 10,190 9,770 8/22/2004 10,190 9,770 8/23/2004 10,246 9,716 8/24/2004 10,234 9,731 8/25/2004 10,128 9,822 8/26/2004 10,136 9,826 8/27/2004 10,082 9,874 8/28/2004 10,082 9,874 8/29/2004 10,082 9,874 8/30/2004 10,200 9,760 8/31/2004 10,122 9,836 9/1/2004 10,042 9,917 9/2/2004 9,952 10,006 9/3/2004 10,002 9,959 9/4/2004 10,002 9,959 9/5/2004 10,002 9,959 9/6/2004 10,002 9,959 9/7/2004 9,928 10,034 9/8/2004 10,024 9,940 9/9/2004 9,950 10,010 9/10/2004 9,910 10,051 9/11/2004 9,910 10,051 9/12/2004 9,910 10,051 9/13/2004 9,848 10,114 9/14/2004 9,870 10,090 9/15/2004 9,926 10,036 9/16/2004 9,858 10,106 9/17/2004 9,864 10,105 9/18/2004 9,864 10,105 9/19/2004 9,864 10,105 9/20/2004 9,906 10,059 9/21/2004 9,822 10,143 9/22/2004 9,946 10,020 9/23/2004 9,970 9,989 9/24/2004 9,926 10,044 9/25/2004 9,926 10,044 9/26/2004 9,926 10,044 9/27/2004 10,014 9,946 9/28/2004 9,946 10,015 9/29/2004 9,906 10,055 9/30/2004 9,842 10,127 10/1/2004 9,694 10,274 10/2/2004 9,694 10,274 10/3/2004 9,694 10,274 10/4/2004 9,666 10,306 10/5/2004 9,694 10,280 10/6/2004 9,632 10,346 10/7/2004 9,752 10,217 10/8/2004 9,824 10,146 10/9/2004 9,824 10,146 10/10/2004 9,824 10,146 10/11/2004 9,812 10,148 10/12/2004 9,854 10,117 10/13/2004 9,934 10,032 10/14/2004 10,002 9,957 10/15/2004 9,962 9,996 10/16/2004 9,962 9,996 10/17/2004 9,962 9,996 10/18/2004 9,914 10,045 10/19/2004 9,986 9,972 10/20/2004 9,938 10,017 10/21/2004 9,848 10,113 10/22/2004 9,940 10,022 10/23/2004 9,940 10,022 10/24/2004 9,940 10,022 10/25/2004 9,910 10,051 10/26/2004 9,826 10,121 10/27/2004 9,690 10,277 10/28/2004 9,704 10,266 10/29/2004 9,688 10,289 10/30/2004 9,688 10,289 10/31/2004 9,688 10,289 11/1/2004 9,688 10,290 11/2/2004 9,700 10,277 11/3/2004 9,564 10,417 11/4/2004 9,428 10,567 11/5/2004 9,404 10,595 11/6/2004 9,404 10,595 11/7/2004 9,404 10,595 11/8/2004 9,436 10,558 11/9/2004 9,406 10,595 11/10/2004 9,384 10,622 11/11/2004 9,296 10,724 11/12/2004 9,192 10,845 11/13/2004 9,192 10,845 11/14/2004 9,192 10,845 11/15/2004 9,200 10,836 11/16/2004 9,258 10,771 11/17/2004 9,180 10,860 11/18/2004 9,190 10,853 11/19/2004 9,298 10,726 11/20/2004 9,298 10,726 11/21/2004 9,298 10,726 11/22/2004 9,224 10,808 11/23/2004 9,188 10,852 11/24/2004 9,108 10,946 11/25/2004 9,108 10,946 11/26/2004 9,106 10,955 11/27/2004 9,106 10,955 11/28/2004 9,106 10,955 11/29/2004 9,128 10,932 11/30/2004 9,152 10,902 12/1/2004 9,032 11,046 12/2/2004 9,070 11,002 12/3/2004 9,050 11,032 12/4/2004 9,050 11,032 12/5/2004 9,050 11,032 12/6/2004 9,076 11,000 12/7/2004 9,200 10,846 12/8/2004 9,142 10,913 12/9/2004 9,108 10,961 12/10/2004 9,098 10,975 12/11/2004 9,098 10,975 12/12/2004 9,098 10,975 12/13/2004 9,032 11,053 12/14/2004 8,946 11,156 12/15/2004 8,896 11,226 12/16/2004 8,950 11,158 12/17/2004 8,958 11,154 12/18/2004 8,958 11,154 12/19/2004 8,958 11,154 12/20/2004 8,990 11,103 12/21/2004 8,900 11,221 12/22/2004 8,866 11,258 12/23/2004 8,860 11,271 12/24/2004 8,860 11,271 12/25/2004 8,860 11,271 12/26/2004 8,860 11,271 12/27/2004 8,924 11,203 12/28/2004 8,816 11,341 12/29/2004 8,800 11,351 12/30/2004 8,794 11,378 12/31/2004 8,806 11,358 1/1/2005 8,806 11,358 1/2/2005 8,806 11,358 1/3/2005 8,950 11,168 1/4/2005 9,088 10,994 1/5/2005 9,190 10,876 1/6/2005 9,150 10,927 1/7/2005 9,188 10,871 1/8/2005 9,188 10,871 1/9/2005 9,188 10,871 1/10/2005 9,140 10,933 1/11/2005 9,196 10,867 1/12/2005 9,176 10,895 1/13/2005 9,188 10,874 1/14/2005 9,114 10,969 1/15/2005 9,114 10,969 1/16/2005 9,114 10,969 1/17/2005 9,114 10,969 1/18/2005 9,030 11,070 1/19/2005 9,114 10,970 1/20/2005 9,160 10,917 1/21/2005 9,206 10,856 1/22/2005 9,206 10,856 1/23/2005 9,206 10,856 1/24/2005 9,260 10,790 1/25/2005 9,242 10,813 1/26/2005 9,146 10,924 1/27/2005 9,120 10,959 1/28/2005 9,168 10,908 1/29/2005 9,168 10,908 1/30/2005 9,168 10,908 1/31/2005 9,034 11,068 2/1/2005 8,964 11,151 2/2/2005 8,920 11,209 2/3/2005 8,938 11,188 2/4/2005 8,816 11,341 2/5/2005 8,816 11,341 2/6/2005 8,816 11,341 2/7/2005 8,830 11,318 2/8/2005 8,806 11,354 2/9/2005 8,918 11,205 2/10/2005 8,890 11,245 2/11/2005 8,798 11,361 2/12/2005 8,798 11,361 2/13/2005 8,798 11,361 2/14/2005 8,798 11,364 2/15/2005 8,780 11,388 2/16/2005 8,742 11,439 2/17/2005 8,808 11,354 2/18/2005 8,822 11,342 2/19/2005 8,822 11,342 2/20/2005 8,822 11,342 2/21/2005 8,822 11,342 2/22/2005 8,968 11,158 2/23/2005 8,916 11,221 2/24/2005 8,802 11,362 2/25/2005 8,692 11,499 2/26/2005 8,692 11,499 2/27/2005 8,692 11,499 2/28/2005 8,748 11,440 3/1/2005 8,670 11,536 3/2/2005 8,678 11,530 3/3/2005 8,684 11,524 3/4/2005 8,592 11,650 3/5/2005 8,592 11,650 3/6/2005 8,592 11,650 3/7/2005 8,548 11,708 3/8/2005 8,616 11,618 3/9/2005 8,708 11,493 3/10/2005 8,726 11,475 3/11/2005 8,722 11,473 3/12/2005 8,722 11,473 3/13/2005 8,722 11,473 3/14/2005 8,656 11,559 3/15/2005 8,702 11,507 3/16/2005 8,778 11,407 3/17/2005 8,766 11,431 3/18/2005 8,814 11,387 3/19/2005 8,814 11,387 3/20/2005 8,814 11,387 3/21/2005 8,812 11,366 3/22/2005 8,866 11,311 3/23/2005 8,928 11,229 3/24/2005 8,910 11,248 3/25/2005 8,910 11,248 3/26/2005 8,910 11,248 3/27/2005 8,910 11,248 3/28/2005 8,896 11,255 3/29/2005 9,000 11,129 3/30/2005 8,902 11,269 3/31/2005 8,874 11,313 4/1/2005 8,896 11,276 4/2/2005 8,896 11,276 4/3/2005 8,896 11,276 4/4/2005 8,888 11,291 4/5/2005 8,860 11,303 4/6/2005 8,854 11,325 4/7/2005 8,820 11,376 4/8/2005 8,912 11,258 4/9/2005 8,912 11,258 4/10/2005 8,912 11,258 4/11/2005 8,948 11,219 4/12/2005 8,906 11,275 4/13/2005 9,026 11,125 4/14/2005 9,154 10,966 4/15/2005 9,316 10,777 4/16/2005 9,316 10,777 4/17/2005 9,316 10,777 4/18/2005 9,260 10,844 4/19/2005 9,140 10,980 4/20/2005 9,284 10,807 4/21/2005 9,122 11,001 4/22/2005 9,202 10,900 4/23/2005 9,202 10,900 4/24/2005 9,202 10,900 4/25/2005 9,082 11,041 4/26/2005 9,178 10,927 4/27/2005 9,174 10,935 4/28/2005 9,292 10,795 4/29/2005 9,230 10,873 4/30/2005 9,230 10,873 5/1/2005 9,230 10,873 5/2/2005 9,158 10,954 5/3/2005 9,190 10,917 5/4/2005 9,068 11,065 5/5/2005 9,048 11,092 5/6/2005 9,024 11,125 5/7/2005 9,024 11,125 5/8/2005 9,024 11,125 5/9/2005 8,974 11,186 5/10/2005 9,040 11,108 5/11/2005 9,002 11,154 5/12/2005 9,128 11,001 5/13/2005 9,182 10,938 5/14/2005 9,182 10,938 5/15/2005 9,182 10,938 5/16/2005 9,064 11,081 5/17/2005 8,986 11,175 5/18/2005 8,844 11,355 5/19/2005 8,804 11,405 5/20/2005 8,812 11,402 5/21/2005 8,812 11,402 5/22/2005 8,812 11,402 5/23/2005 8,754 11,475 5/24/2005 8,764 11,467 5/25/2005 8,830 11,378 5/26/2005 8,746 11,491 5/27/2005 8,716 11,526 5/28/2005 8,716 11,526 5/29/2005 8,716 11,526 5/30/2005 8,716 11,526 5/31/2005 8,724 11,528 6/1/2005 8,652 11,622 6/2/2005 8,616 11,671 6/3/2005 8,670 11,608 6/4/2005 8,670 11,608 6/5/2005 8,670 11,608 6/6/2005 8,634 11,652 6/7/2005 8,634 11,657 6/8/2005 8,672 11,607 6/9/2005 8,608 11,698 6/10/2005 8,606 11,688 6/11/2005 8,606 11,688 6/12/2005 8,606 11,688 6/13/2005 8,576 11,735 6/14/2005 8,544 11,777 6/15/2005 8,522 11,813 6/16/2005 8,452 11,916 6/17/2005 8,440 11,936 6/18/2005 8,440 11,936 6/19/2005 8,440 11,936 6/20/2005 8,466 11,898 6/21/2005 8,490 11,860 6/22/2005 8,480 11,871 6/23/2005 8,562 11,764 6/24/2005 8,654 11,646 6/25/2005 8,654 11,646 6/26/2005 8,654 11,646 6/27/2005 8,640 11,666 6/28/2005 8,526 11,812 6/29/2005 8,508 11,844 6/30/2005 8,544 11,795 7/1/2005 8,488 11,881 7/2/2005 8,488 11,881 7/3/2005 8,488 11,881 7/4/2005 8,488 11,881 7/5/2005 8,406 11,996 7/6/2005 8,464 11,919 7/7/2005 8,436 11,964 7/8/2005 8,336 12,106 7/9/2005 8,336 12,106 7/10/2005 8,336 12,106 7/11/2005 8,266 12,205 7/12/2005 8,256 12,224 7/13/2005 8,282 12,190 7/14/2005 8,308 12,149 7/15/2005 8,298 12,169 7/16/2005 8,298 12,169 7/17/2005 8,298 12,169 7/18/2005 8,320 12,141 7/19/2005 8,230 12,272 7/20/2005 8,186 12,343 7/21/2005 8,268 12,223 7/22/2005 8,194 12,331 7/23/2005 8,194 12,331 7/24/2005 8,194 12,331 7/25/2005 8,242 12,260 7/26/2005 8,216 12,303 7/27/2005 8,194 12,333 7/28/2005 8,122 12,447 7/29/2005 8,146 12,415 7/30/2005 8,146 12,415 7/31/2005 8,146 12,415 8/1/2005 8,142 12,428 8/2/2005 8,098 12,495 8/3/2005 8,120 12,463 8/4/2005 8,196 12,347 8/5/2005 8,290 12,212 8/6/2005 8,290 12,212 8/7/2005 8,290 12,212 8/8/2005 8,334 12,150 8/9/2005 8,302 12,194 8/10/2005 8,296 12,211 8/11/2005 8,236 12,299 8/12/2005 8,260 12,274 8/13/2005 8,260 12,274 8/14/2005 8,260 12,274 8/15/2005 8,242 12,299 8/16/2005 8,356 12,133 8/17/2005 8,360 12,130 8/18/2005 8,376 12,102 8/19/2005 8,364 12,125 8/20/2005 8,364 12,125 8/21/2005 8,364 12,125 8/22/2005 8,338 12,160 8/23/2005 8,362 12,129 8/24/2005 8,374 12,116 8/25/2005 8,344 12,160 8/26/2005 8,430 12,046 8/27/2005 8,430 12,046 8/28/2005 8,430 12,046 8/29/2005 8,376 12,127 8/30/2005 8,404 12,080 8/31/2005 8,272 12,276 9/1/2005 8,272 12,276 9/2/2005 8,326 12,209 9/3/2005 8,326 12,209 9/4/2005 8,326 12,209 9/5/2005 8,326 12,209 9/6/2005 8,228 12,342 9/7/2005 8,198 12,399 9/8/2005 8,240 12,338 9/9/2005 8,176 12,437 9/10/2005 8,176 12,437 9/11/2005 8,176 12,437 9/12/2005 8,178 12,442 9/13/2005 8,236 12,354 9/14/2005 8,272 12,302 9/15/2005 8,272 12,300 9/16/2005 8,240 12,359 9/17/2005 8,240 12,359 9/18/2005 8,240 12,359 9/19/2005 8,282 12,290 9/20/2005 8,360 12,179 9/21/2005 8,468 12,023 9/22/2005 8,452 12,049 9/23/2005 8,418 12,099 9/24/2005 8,418 12,099 9/25/2005 8,418 12,099 9/26/2005 8,370 12,166 9/27/2005 8,384 12,154 9/28/2005 8,398 12,135 9/29/2005 8,294 12,286 9/30/2005 8,240 12,371 10/1/2005 8,240 12,371 10/2/2005 8,240 12,371 10/3/2005 8,190 12,441 10/4/2005 8,280 12,312 10/5/2005 8,474 12,025 10/6/2005 8,550 11,916 10/7/2005 8,518 11,968 10/8/2005 8,518 11,968 10/9/2005 8,518 11,968 10/10/2005 8,580 11,881 10/11/2005 8,632 11,813 10/12/2005 8,746 11,661 10/13/2005 8,788 11,611 10/14/2005 8,670 11,768 10/15/2005 8,670 11,768 10/16/2005 8,670 11,768 10/17/2005 8,630 11,823 10/18/2005 8,738 11,679 10/19/2005 8,622 11,839 10/20/2005 8,738 11,681 10/21/2005 8,664 11,787 10/22/2005 8,664 11,787 10/23/2005 8,664 11,787 10/24/2005 8,498 12,016 10/25/2005 8,518 11,989 10/26/2005 8,562 11,930 10/27/2005 8,714 11,722 10/28/2005 8,576 11,917 10/29/2005 8,576 11,917 10/30/2005 8,576 11,917 10/31/2005 8,442 12,105 11/1/2005 8,430 12,108 11/2/2005 8,298 12,320 11/3/2005 8,270 12,362 11/4/2005 8,286 12,346 11/5/2005 8,286 12,346 11/6/2005 8,286 12,346 11/7/2005 8,270 12,374 11/8/2005 8,330 12,285 11/9/2005 8,298 12,338 11/10/2005 8,258 12,399 11/11/2005 8,232 12,443 11/12/2005 8,232 12,443 11/13/2005 8,232 12,443 11/14/2005 8,228 12,450 11/15/2005 8,274 12,383 11/16/2005 8,264 12,400 11/17/2005 8,150 12,577 11/18/2005 8,128 12,609 11/19/2005 8,128 12,609 11/20/2005 8,128 12,609 11/21/2005 8,064 12,716 11/22/2005 8,014 12,798 11/23/2005 8,002 12,823 11/24/2005 8,002 12,823 11/25/2005 7,988 12,851 11/26/2005 7,988 12,851 11/27/2005 7,988 12,851 11/28/2005 8,132 12,645 11/29/2005 8,102 12,696 11/30/2005 8,106 12,696 12/1/2005 7,974 12,900 12/2/2005 7,978 12,899 12/3/2005 7,978 12,899 12/4/2005 7,978 12,899 12/5/2005 8,012 12,845 12/6/2005 8,018 12,843 12/7/2005 8,052 12,791 12/8/2005 8,030 12,829 12/9/2005 7,994 12,889 12/10/2005 7,994 12,889 12/11/2005 7,994 12,889 12/12/2005 7,986 12,901 12/13/2005 7,976 12,921 12/14/2005 7,942 12,979 12/15/2005 7,982 12,916 12/16/2005 8,028 12,850 12/17/2005 8,028 12,850 12/18/2005 8,028 12,850 12/19/2005 8,118 12,708 12/20/2005 8,092 12,747 12/21/2005 8,038 12,837 12/22/2005 7,988 12,919 12/23/2005 7,966 12,962 12/24/2005 7,966 12,962 12/25/2005 7,966 12,962 12/26/2005 7,966 12,962 12/27/2005 8,065 12,802 12/28/2005 8,013 12,889 12/29/2005 8,040 12,856 12/30/2005 8,087 12,784 12/31/2005 8,087 12,784 1/1/2006 8,087 12,784 1/2/2006 8,087 12,784 1/3/2006 7,966 12,975 1/4/2006 7,908 13,063 1/5/2006 7,910 13,067 1/6/2006 7,821 13,214 1/7/2006 7,821 13,214 1/8/2006 7,821 13,214 1/9/2006 7,765 13,317 1/10/2006 7,736 13,363 1/11/2006 7,728 13,383 1/12/2006 7,782 13,290 1/13/2006 7,792 13,285 1/14/2006 7,792 13,285 1/15/2006 7,792 13,285 1/16/2006 7,792 13,285 1/17/2006 7,827 13,228 1/18/2006 7,844 13,200 1/19/2006 7,753 13,368 1/20/2006 7,879 13,145 1/21/2006 7,879 13,145 1/22/2006 7,879 13,145 1/23/2006 7,854 13,192 1/24/2006 7,786 13,307 1/25/2006 7,838 13,222 1/26/2006 7,749 13,374 1/27/2006 7,714 13,436 1/28/2006 7,714 13,436 1/29/2006 7,714 13,436 1/30/2006 7,705 13,460 1/31/2006 7,662 13,537 2/1/2006 7,652 13,554 2/2/2006 7,722 13,435 2/3/2006 7,749 13,394 2/4/2006 7,749 13,394 2/5/2006 7,749 13,394 2/6/2006 7,714 13,454 2/7/2006 7,817 13,278 2/8/2006 7,794 13,321 2/9/2006 7,825 13,269 2/10/2006 7,827 13,274 2/11/2006 7,827 13,274 2/12/2006 7,827 13,274 2/13/2006 7,885 13,172 2/14/2006 7,827 13,277 2/15/2006 7,800 13,321 2/16/2006 7,730 13,439 2/17/2006 7,740 13,437 2/18/2006 7,740 13,437 2/19/2006 7,740 13,437 2/20/2006 7,740 13,437 2/21/2006 7,761 13,403 2/22/2006 7,697 13,522 2/23/2006 7,716 13,487 2/24/2006 7,683 13,545 2/25/2006 7,683 13,545 2/26/2006 7,683 13,545 2/27/2006 7,672 13,577 2/28/2006 7,761 13,424 3/1/2006 7,643 13,625 3/2/2006 7,670 13,576 3/3/2006 7,701 13,534 3/4/2006 7,701 13,534 3/5/2006 7,701 13,534 3/6/2006 7,776 13,404 3/7/2006 7,866 13,248 3/8/2006 7,866 13,261 3/9/2006 7,906 13,198 3/10/2006 7,856 13,284 3/11/2006 7,856 13,284 3/12/2006 7,856 13,284 3/13/2006 7,823 13,344 3/14/2006 7,740 13,486 3/15/2006 7,689 13,581 3/16/2006 7,685 13,587 3/17/2006 7,670 13,624 3/18/2006 7,670 13,624 3/19/2006 7,670 13,624 3/20/2006 7,699 13,578 3/21/2006 7,765 13,463 3/22/2006 7,707 13,568 3/23/2006 7,697 13,585 3/24/2006 7,664 13,655 3/25/2006 7,664 13,655 3/26/2006 7,664 13,655 3/27/2006 7,660 13,649 3/28/2006 7,691 13,607 3/29/2006 7,604 13,750 3/30/2006 7,602 13,755 3/31/2006 7,606 13,759 4/1/2006 7,606 13,759 4/2/2006 7,606 13,759 4/3/2006 7,619 13,743 4/4/2006 7,596 13,787 4/5/2006 7,540 13,889 4/6/2006 7,536 13,897 4/7/2006 7,616 13,761 4/8/2006 7,616 13,761 4/9/2006 7,616 13,761 4/10/2006 7,643 13,712 4/11/2006 7,722 13,577 4/12/2006 7,699 13,618 4/13/2006 7,701 13,630 4/14/2006 7,701 13,630 4/15/2006 7,701 13,630 4/16/2006 7,701 13,630 4/17/2006 7,703 13,625 4/18/2006 7,534 13,929 4/19/2006 7,462 14,064 4/20/2006 7,459 14,070 4/21/2006 7,478 14,047 4/22/2006 7,478 14,047 4/23/2006 7,478 14,047 4/24/2006 7,507 13,993 4/25/2006 7,532 13,942 4/26/2006 7,561 13,892 4/27/2006 7,571 13,898 4/28/2006 7,542 13,953 4/29/2006 7,542 13,953 4/30/2006 7,542 13,953 5/1/2006 7,557 13,926 5/2/2006 7,519 13,993 5/3/2006 7,534 13,976 5/4/2006 7,493 14,057 5/5/2006 7,420 14,199 5/6/2006 7,420 14,199 5/7/2006 7,420 14,199 5/8/2006 7,410 14,222 5/9/2006 7,429 14,191 5/10/2006 7,443 14,165 5/11/2006 7,542 13,981 5/12/2006 7,678 13,736 5/13/2006 7,678 13,736 5/14/2006 7,678 13,736 5/15/2006 7,730 13,648 5/16/2006 7,751 13,616 5/17/2006 7,889 13,375 5/18/2006 7,964 13,250 5/19/2006 7,951 13,279 5/20/2006 7,951 13,279 5/21/2006 7,951 13,279 5/22/2006 8,013 13,175 5/23/2006 8,054 13,111 5/24/2006 8,069 13,090 5/25/2006 7,972 13,250 5/26/2006 7,928 13,337 5/27/2006 7,928 13,337 5/28/2006 7,928 13,337 5/29/2006 7,928 13,337 5/30/2006 8,057 13,125 5/31/2006 7,935 13,323 6/1/2006 7,815 13,526 6/2/2006 7,790 13,576 6/3/2006 7,790 13,576 6/4/2006 7,790 13,576 6/5/2006 7,990 13,245 6/6/2006 8,032 13,171 6/7/2006 8,100 13,063 6/8/2006 8,143 13,002 6/9/2006 8,160 12,977 6/10/2006 8,160 12,977 6/11/2006 8,160 12,977 6/12/2006 8,344 12,686 6/13/2006 8,480 12,480 6/14/2006 8,439 12,543 6/15/2006 8,168 12,946 6/16/2006 8,205 12,893 6/17/2006 8,205 12,893 6/18/2006 8,205 12,893 6/19/2006 8,337 12,686 6/20/2006 8,371 12,638 6/21/2006 8,222 12,868 6/22/2006 8,271 12,793 6/23/2006 8,201 12,910 6/24/2006 8,201 12,910 6/25/2006 8,201 12,910 6/26/2006 8,158 12,981 6/27/2006 8,236 12,860 6/28/2006 8,226 12,878 6/29/2006 7,984 13,258 6/30/2006 7,947 13,326 7/1/2006 7,947 13,326 7/2/2006 7,947 13,326 7/3/2006 7,893 13,424 7/4/2006 7,893 13,424 7/5/2006 8,019 13,217 7/6/2006 8,003 13,253 7/7/2006 8,083 13,129 7/8/2006 8,083 13,129 7/9/2006 8,083 13,129 7/10/2006 8,100 13,106 7/11/2006 8,071 13,156 7/12/2006 8,170 13,000 7/13/2006 8,317 12,775 7/14/2006 8,383 12,683 7/15/2006 8,383 12,683 7/16/2006 8,383 12,683 7/17/2006 8,449 12,594 7/18/2006 8,447 12,598 7/19/2006 8,238 12,903 7/20/2006 8,432 12,612 7/21/2006 8,567 12,426 7/22/2006 8,567 12,426 7/23/2006 8,567 12,426 7/24/2006 8,371 12,698 7/25/2006 8,269 12,852 7/26/2006 8,278 12,845 7/27/2006 8,364 12,715 7/28/2006 8,232 12,920 7/29/2006 8,232 12,920 7/30/2006 8,232 12,920 7/31/2006 8,218 12,946 8/1/2006 8,288 12,841 8/2/2006 8,234 12,926 8/3/2006 8,176 13,015 8/4/2006 8,218 12,959 8/5/2006 8,218 12,959 8/6/2006 8,218 12,959 8/7/2006 8,273 12,881 8/8/2006 8,344 12,771 8/9/2006 8,408 12,678 8/10/2006 8,356 12,757 8/11/2006 8,428 12,651 8/12/2006 8,428 12,651 8/13/2006 8,428 12,651 8/14/2006 8,428 12,657 8/15/2006 8,271 12,891 8/16/2006 8,158 13,075 8/17/2006 8,160 13,074 8/18/2006 8,149 13,100 8/19/2006 8,149 13,100 8/20/2006 8,149 13,100 8/21/2006 8,224 12,984 8/22/2006 8,214 12,999 8/23/2006 8,296 12,877 8/24/2006 8,321 12,846 8/25/2006 8,329 12,839 8/26/2006 8,329 12,839 8/27/2006 8,329 12,839 8/28/2006 8,263 12,939 8/29/2006 8,220 13,005 8/30/2006 8,205 13,036 8/31/2006 8,176 13,094 9/1/2006 8,139 13,158 9/2/2006 8,139 13,158 9/3/2006 8,139 13,158 9/4/2006 8,139 13,158 9/5/2006 8,108 13,212 9/6/2006 8,249 12,987 9/7/2006 8,302 12,906 9/8/2006 8,304 12,913 9/9/2006 8,304 12,913 9/10/2006 8,304 12,913 9/11/2006 8,315 12,897 9/12/2006 8,176 13,115 9/13/2006 8,106 13,233 9/14/2006 8,164 13,144 9/15/2006 8,176 13,132 9/16/2006 8,176 13,132 9/17/2006 8,176 13,132 9/18/2006 8,180 13,129 9/19/2006 8,209 13,084 9/20/2006 8,162 13,164 9/21/2006 8,218 13,074 9/22/2006 8,284 12,977 9/23/2006 8,284 12,977 9/24/2006 8,284 12,977 9/25/2006 8,203 13,104 9/26/2006 8,139 13,212 9/27/2006 8,116 13,250 9/28/2006 8,110 13,261 9/29/2006 8,166 13,183 9/30/2006 8,166 13,183 10/1/2006 8,166 13,183 10/2/2006 8,211 13,112 10/3/2006 8,238 13,076 10/4/2006 8,108 13,285 10/5/2006 8,011 13,442 10/6/2006 8,069 13,358 10/7/2006 8,069 13,358 10/8/2006 8,069 13,358 10/9/2006 8,023 13,433 10/10/2006 7,997 13,484 10/11/2006 8,017 13,455 10/12/2006 7,897 13,656 10/13/2006 7,862 13,720 10/14/2006 7,862 13,720 10/15/2006 7,862 13,720 10/16/2006 7,809 13,821 10/17/2006 7,877 13,705 10/18/2006 7,893 13,676 10/19/2006 7,856 13,740 10/20/2006 7,922 13,645 10/21/2006 7,922 13,645 10/22/2006 7,922 13,645 10/23/2006 7,883 13,712 10/24/2006 7,862 13,747 10/25/2006 7,831 13,808 10/26/2006 7,767 13,930 10/27/2006 7,858 13,768 10/28/2006 7,858 13,768 10/29/2006 7,858 13,768 10/30/2006 7,844 13,796 10/31/2006 7,891 13,730 11/1/2006 7,984 13,565 11/2/2006 7,992 13,558 11/3/2006 7,978 13,582 11/4/2006 7,978 13,582 11/5/2006 7,978 13,582 11/6/2006 7,891 13,736 11/7/2006 7,873 13,769 11/8/2006 7,827 13,852 11/9/2006 7,877 13,772 11/10/2006 7,827 13,864 11/11/2006 7,827 13,864 11/12/2006 7,827 13,864 11/13/2006 7,815 13,892 11/14/2006 7,734 14,037 11/15/2006 7,689 14,120 11/16/2006 7,693 14,124 11/17/2006 7,705 14,106 11/18/2006 7,705 14,106 11/19/2006 7,705 14,106 11/20/2006 7,693 14,129 11/21/2006 7,681 14,158 11/22/2006 7,645 14,224 11/23/2006 7,645 14,224 11/24/2006 7,658 14,211 11/25/2006 7,658 14,211 11/26/2006 7,658 14,211 11/27/2006 7,817 13,925 11/28/2006 7,792 13,964 11/29/2006 7,703 14,136 11/30/2006 7,689 14,172 12/1/2006 7,695 14,175 12/2/2006 7,695 14,175 12/3/2006 7,695 14,175 12/4/2006 7,602 14,339 12/5/2006 7,588 14,370 12/6/2006 7,596 14,360 12/7/2006 7,629 14,297 12/8/2006 7,635 14,298 12/9/2006 7,635 14,298 12/10/2006 7,635 14,298 12/11/2006 7,643 14,279 12/12/2006 7,685 14,207 12/13/2006 7,675 14,229 12/14/2006 7,618 14,342 12/15/2006 7,645 14,303 12/16/2006 7,645 14,303 12/17/2006 7,645 14,303 12/18/2006 7,723 14,157 12/19/2006 7,719 14,167 12/20/2006 7,713 14,178 12/21/2006 7,751 14,115 12/22/2006 7,789 14,061 12/23/2006 7,789 14,061 12/24/2006 7,789 14,061 12/25/2006 7,789 14,061 12/26/2006 7,749 14,138 12/27/2006 7,681 14,263 12/28/2006 7,713 14,211 12/29/2006 7,778 14,103 12/30/2006 7,778 14,103 12/31/2006 7,778 14,103 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- INVERSE MID-CAP FUND -3.83% -9.00% S&P MIDCAP 400 INDEX 10.32% 13.78% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] INVERSE MID-CAP FUND S&P MIDCAP 400 INDEX OTHER 2.8% FINANCIALS 18.5% INDUSTRIALS 15.9% CONSUMER DISCRETIONARY 15.4% INFORMATION TECHNOLOGY 15.1% HEALTH CARE 10.7% UTILITIES 8.1% ENERGY 7.5% MATERIALS 6.0% FUTURES CONTRACTS SHORT SALES -46.2% EQUITY INDEX SWAP AGREEMENTS SHORT SALES -54.0% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 200% of the performance of the Russell 2000(R) Index. INCEPTION: October 27, 2006 Small-cap stocks generally outperformed both mid-cap and large-cap stocks for the year ended December 31, 2006. The Russell 2000(R) Index returned 18.37% for the year, while large and mid-cap indices returned 15.78% and 10.31% respectively. All of the sectors had positive returns. Energy, consumer discretionary, health care and information technology lagged the index performance. Basic materials, telecommunication services, consumer staples and utilities--the smallest of the sectors, with a total weight of less than 12%--had an average return of 31%, boosting the index return. Russell 2000(R) Index value stocks outperformed Russell 2000(R) Index growth stocks by more than 10% in 2006. Since inception, Rydex Dynamic Russell 2000(R) Fund produced returns of 4.06%. It achieved a daily correlation of 99% to its benchmark of 200% of the daily price movement of the Russell 2000(R) Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: OCTOBER 27, 2006 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE DYNAMIC RUSSELL 2000(R) FUND RUSSELL 2000(R) INDEX 10/27/2006 10,000 10,000 10/28/2006 10,000 10,000 10/29/2006 10,000 10,000 10/30/2006 10,116 10,060 10/31/2006 10,008 10,014 11/1/2006 9,628 9,823 11/2/2006 9,576 9,797 11/3/2006 9,632 9,831 11/4/2006 9,632 9,831 11/5/2006 9,632 9,831 11/6/2006 9,896 9,966 11/7/2006 9,932 9,984 11/8/2006 10,064 10,056 11/9/2006 9,856 9,955 11/10/2006 10,036 10,047 11/11/2006 10,036 10,047 11/12/2006 10,036 10,047 11/13/2006 10,116 10,091 11/14/2006 10,448 10,257 11/15/2006 10,628 10,347 11/16/2006 10,588 10,332 11/17/2006 10,528 10,303 11/18/2006 10,528 10,303 11/19/2006 10,528 10,303 11/20/2006 10,588 10,331 11/21/2006 10,636 10,353 11/22/2006 10,652 10,363 11/23/2006 10,652 10,363 11/24/2006 10,628 10,355 11/25/2006 10,628 10,355 11/26/2006 10,628 10,355 11/27/2006 10,084 10,092 11/28/2006 10,160 10,128 11/29/2006 10,404 10,252 11/30/2006 10,420 10,278 12/1/2006 10,300 10,213 12/2/2006 10,300 10,213 12/3/2006 10,300 10,213 12/4/2006 10,704 10,405 12/5/2006 10,744 10,426 12/6/2006 10,696 10,408 12/7/2006 10,592 10,360 12/8/2006 10,592 10,364 12/9/2006 10,592 10,364 12/10/2006 10,592 10,364 12/11/2006 10,612 10,371 12/12/2006 10,476 10,310 12/13/2006 10,488 10,317 12/14/2006 10,632 10,388 12/15/2006 10,580 10,369 12/16/2006 10,580 10,369 12/17/2006 10,580 10,369 12/18/2006 10,292 10,230 12/19/2006 10,304 10,231 12/20/2006 10,392 10,278 12/21/2006 10,316 10,243 12/22/2006 10,254 10,216 12/23/2006 10,254 10,216 12/24/2006 10,254 10,216 12/25/2006 10,254 10,216 12/26/2006 10,446 10,313 12/27/2006 10,690 10,443 12/28/2006 10,602 10,401 12/29/2006 10,406 10,312 12/30/2006 10,406 10,312 12/31/2006 10,406 10,312 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE INCEPTION (10/27/06) -------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND 4.06% RUSSELL 2000(R) INDEX 3.12% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 2000(R) INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] DYNAMIC RUSSELL RUSSELL 2000(R) 2000(R) FUND INDEX OTHER 10.4% 15.1% FINANCIALS 13.5% 20.1% INFORMATION TECHNOLOGY 11.6% 20.1% CONSUMER DISCRETIONARY 10.0% 15.2% HEALTH CARE 8.6% 12.0% INDUSTRIALS 7.5% 11.7% MATERIALS 5.8% FUTURES CONTRACTS 41.5% EQUITY INDEX SWAP AGREEMENTS 96.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Polycom, Inc. 0.2% Varian Semiconductor Equipment Associates, Inc. 0.2% Phillips-Van Heusen Corp. 0.2% NBTY, Inc. 0.2% Alexandria Real Estate Equities, Inc. 0.2% Big Lots, Inc. 0.2% Acuity Brands, Inc. 0.2% Oregon Steel Mills, Inc. 0.2% Realty Income Corp. 0.2% SVB Financial Group 0.2% -------------------------------------------------------------------------------- Top Ten Total 2.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for small-cap securities. The Fund's current benchmark is the Russell 2000(R) Index. INCEPTION: October 1, 2001 Small-cap stocks generally outperformed both mid-cap and large-cap stocks for the year ended December 31, 2006. The Russell 2000(R) Index returned 18.37% for the year, while large- and mid-cap indices returned 15.78% and 10.31% respectively. All of the sectors had positive returns. Energy, consumer discretionary, health care and information technology lagged the index performance. Basic materials, telecommunication services, consumer staples and utilities--the smallest of the sectors, with a total weight of less than 12%--had an average return of 31%, boosting the index return. Russell 2000(R) Index value stocks outperformed Russell 2000(R) Index growth stocks by more than 10% in 2006. For the year, Rydex Russell 2000(R) Advantage Fund produced returns of 20.85%. It achieved a daily correlation of 99% to its benchmark of 150% of the daily price movement of the Russell 2000(R) Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: OCTOBER 1, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE RUSSELL 2000(R) ADVANTAGE FUND RUSSELL 2000(R) INDEX 10/1/2001 10,000 10,000 10/31/2001 11,036 10,778 11/30/2001 12,112 11,613 12/31/2001 12,897 12,330 1/31/2002 12,711 12,201 2/28/2002 12,214 11,867 3/31/2002 13,709 12,821 4/30/2002 14,214 12,938 5/31/2002 13,067 12,363 6/30/2002 12,068 11,750 7/31/2002 9,482 9,975 8/31/2002 9,433 9,950 9/30/2002 8,387 9,235 10/31/2002 8,284 9,532 11/30/2002 9,079 10,382 12/31/2002 8,325 9,804 1/31/2003 7,862 9,533 2/28/2003 7,419 9,245 3/31/2003 7,464 9,364 4/30/2003 8,565 10,252 5/31/2003 9,977 11,352 6/30/2003 10,072 11,557 7/31/2003 10,950 12,280 8/31/2003 11,650 12,843 9/30/2003 11,240 12,606 10/31/2003 12,681 13,665 11/30/2003 13,281 14,150 12/31/2003 13,677 14,437 1/31/2004 14,582 15,064 2/29/2004 14,784 15,199 3/31/2004 14,922 15,341 4/30/2004 13,658 14,559 5/31/2004 13,948 14,790 6/30/2004 14,909 15,413 7/31/2004 13,401 14,375 8/31/2004 13,263 14,302 9/30/2004 14,172 14,973 10/31/2004 14,523 15,268 11/30/2004 16,395 16,592 12/31/2004 17,123 17,083 1/31/2005 15,958 16,370 2/28/2005 16,421 16,648 3/31/2005 15,719 16,171 4/30/2005 14,385 15,245 5/31/2005 15,805 16,243 6/30/2005 16,665 16,869 7/31/2005 18,283 17,938 8/31/2005 17,678 17,605 9/30/2005 17,647 17,661 10/31/2005 16,845 17,112 11/30/2005 18,028 17,943 12/31/2005 17,793 17,861 1/31/2006 20,154 19,463 2/28/2006 19,930 19,409 3/31/2006 21,332 20,351 4/30/2006 21,259 20,347 5/31/2006 19,362 19,205 6/30/2006 19,425 19,328 7/31/2006 18,356 18,699 8/31/2006 19,023 19,253 9/30/2006 19,206 19,413 10/31/2006 20,790 20,531 11/30/2006 21,499 21,071 12/31/2006 21,503 21,142 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (10/01/01) -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND 20.85% 10.77% 15.70% RUSSELL 2000(R) INDEX 18.37% 11.39% 15.33% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 2000(R) INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] RUSSELL 2000(R) ADVANTAGE FUND RUSSELL 2000(R) INDEX OTHER 6.6% 15.1% FINANCIALS 19.5% 20.1% INFORMATION TECHNOLOGY 16.7% 20.1% CONSUMER DISCRETIONARY 14.4% 15.2% INDUSTRIALS 12.4% 11.7% HEALTH CARE 10.8% 12.0% MATERIALS 4.0% 5.8% ENERGY 4.5% FUTURES CONTRACTS 27.9% EQUITY INDEX SWAP AGREEMENTS 34.5% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Phillips-Van Heusen, Corp. 0.3% Polycom, Inc. 0.3% Varian Semiconductor Equipment Associates, Inc. 0.3% NBTY, Inc. 0.3% Big Lots, Inc. 0.3% Oregon Steel Mills, Inc. 0.3% Alexandria Real Estate Equities, Inc. 0.3% Realty Income Corp. 0.3% Acuity Brands, Inc. 0.3% SVB Financial Group 0.3% -------------------------------------------------------------------------------- Top Ten Total 3.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- INVERSE RUSSELL 2000(R) FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund's current benchmark is the inverse of the performance of the Russell 2000(R) Index. INCEPTION: May 3, 2004 Small-cap stocks generally outperformed both mid-cap and large-cap stocks for the year ended December 31, 2006. The Russell 2000(R) Index returned 18.37% for the year, while large- and mid-cap indices returned 15.78% and 10.31% respectively. All of the sectors had positive returns. Energy, consumer discretionary, health care and information technology lagged the index performance. Basic materials, telecommunication services, consumer staples and utilities--the smallest of the sectors, with a total weight of less than 12%--had an average return of 31%, boosting the index return. Russell 2000(R) Index value stocks outperformed Russell 2000(R) Index growth stocks by more than 10% in 2006. For the year, Rydex Inverse Russell 2000(R) Fund produced returns of -11.95%. It achieved a daily correlation of 99% to its benchmark of the inverse performance movement of the Russell 2000(R) Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE INVERSE RUSSELL 2000(R) FUND RUSSELL 2000(R) INDEX 5/3/2004 10,000 10,000 5/4/2004 9,936 10,074 5/5/2004 9,928 10,082 5/6/2004 10,072 9,960 5/7/2004 10,368 9,703 5/8/2004 10,368 9,703 5/9/2004 10,368 9,703 5/10/2004 10,572 9,514 5/11/2004 10,344 9,705 5/12/2004 10,338 9,712 5/13/2004 10,404 9,681 5/14/2004 10,480 9,620 5/15/2004 10,480 9,620 5/16/2004 10,480 9,620 5/17/2004 10,616 9,471 5/18/2004 10,468 9,599 5/19/2004 10,524 9,569 5/20/2004 10,514 9,568 5/21/2004 10,406 9,657 5/22/2004 10,406 9,657 5/23/2004 10,406 9,657 5/24/2004 10,278 9,762 5/25/2004 10,040 10,004 5/26/2004 9,982 10,047 5/27/2004 9,980 10,062 5/28/2004 9,972 10,057 5/29/2004 9,972 10,057 5/30/2004 9,972 10,057 5/31/2004 9,972 10,057 6/1/2004 9,876 10,131 6/2/2004 9,888 10,151 6/3/2004 10,070 9,955 6/4/2004 9,974 10,049 6/5/2004 9,974 10,049 6/6/2004 9,974 10,049 6/7/2004 9,778 10,246 6/8/2004 9,784 10,229 6/9/2004 9,950 10,064 6/10/2004 9,928 10,075 6/11/2004 9,928 10,075 6/12/2004 9,928 10,075 6/13/2004 9,928 10,075 6/14/2004 10,128 9,874 6/15/2004 9,920 10,056 6/16/2004 9,898 10,094 6/17/2004 9,900 10,086 6/18/2004 9,890 10,103 6/19/2004 9,890 10,103 6/20/2004 9,890 10,103 6/21/2004 9,914 10,071 6/22/2004 9,848 10,127 6/23/2004 9,702 10,274 6/24/2004 9,738 10,254 6/25/2004 9,574 10,408 6/26/2004 9,574 10,408 6/27/2004 9,574 10,408 6/28/2004 9,634 10,348 6/29/2004 9,570 10,415 6/30/2004 9,528 10,480 7/1/2004 9,666 10,320 7/2/2004 9,674 10,326 7/3/2004 9,674 10,326 7/4/2004 9,674 10,326 7/5/2004 9,674 10,326 7/6/2004 9,830 10,143 7/7/2004 9,842 10,137 7/8/2004 10,046 9,937 7/9/2004 9,984 9,991 7/10/2004 9,984 9,991 7/11/2004 9,984 9,991 7/12/2004 10,022 9,964 7/13/2004 10,010 9,973 7/14/2004 10,064 9,921 7/15/2004 10,028 9,964 7/16/2004 10,154 9,846 7/17/2004 10,154 9,846 7/18/2004 10,154 9,846 7/19/2004 10,142 9,833 7/20/2004 9,974 10,000 7/21/2004 10,264 9,724 7/22/2004 10,296 9,687 7/23/2004 10,444 9,558 7/24/2004 10,444 9,558 7/25/2004 10,444 9,558 7/26/2004 10,554 9,457 7/27/2004 10,326 9,654 7/28/2004 10,386 9,595 7/29/2004 10,220 9,749 7/30/2004 10,210 9,775 7/31/2004 10,210 9,775 8/1/2004 10,210 9,775 8/2/2004 10,190 9,786 8/3/2004 10,348 9,640 8/4/2004 10,364 9,623 8/5/2004 10,570 9,441 8/6/2004 10,818 9,216 8/7/2004 10,818 9,216 8/8/2004 10,818 9,216 8/9/2004 10,848 9,194 8/10/2004 10,600 9,397 8/11/2004 10,670 9,341 8/12/2004 10,856 9,173 8/13/2004 10,848 9,179 8/14/2004 10,848 9,179 8/15/2004 10,848 9,179 8/16/2004 10,630 9,368 8/17/2004 10,590 9,403 8/18/2004 10,356 9,609 8/19/2004 10,438 9,535 8/20/2004 10,244 9,722 8/21/2004 10,244 9,722 8/22/2004 10,244 9,722 8/23/2004 10,316 9,643 8/24/2004 10,292 9,670 8/25/2004 10,196 9,762 8/26/2004 10,252 9,711 8/27/2004 10,166 9,789 8/28/2004 10,166 9,789 8/29/2004 10,166 9,789 8/30/2004 10,296 9,665 8/31/2004 10,230 9,725 9/1/2004 10,148 9,805 9/2/2004 10,012 9,936 9/3/2004 10,080 9,873 9/4/2004 10,080 9,873 9/5/2004 10,080 9,873 9/6/2004 10,080 9,873 9/7/2004 9,954 9,992 9/8/2004 10,044 9,901 9/9/2004 9,890 10,051 9/10/2004 9,826 10,117 9/11/2004 9,826 10,117 9/12/2004 9,826 10,117 9/13/2004 9,770 10,175 9/14/2004 9,806 10,138 9/15/2004 9,852 10,095 9/16/2004 9,748 10,202 9/17/2004 9,772 10,178 9/18/2004 9,772 10,178 9/19/2004 9,772 10,178 9/20/2004 9,808 10,135 9/21/2004 9,704 10,245 9/22/2004 9,888 10,050 9/23/2004 9,888 10,049 9/24/2004 9,886 10,052 9/25/2004 9,886 10,052 9/26/2004 9,886 10,052 9/27/2004 10,018 9,916 9/28/2004 9,884 10,051 9/29/2004 9,790 10,148 9/30/2004 9,760 10,181 10/1/2004 9,554 10,396 10/2/2004 9,554 10,396 10/3/2004 9,554 10,396 10/4/2004 9,486 10,469 10/5/2004 9,514 10,438 10/6/2004 9,424 10,534 10/7/2004 9,590 10,356 10/8/2004 9,706 10,233 10/9/2004 9,706 10,233 10/10/2004 9,706 10,233 10/11/2004 9,672 10,266 10/12/2004 9,688 10,252 10/13/2004 9,812 10,123 10/14/2004 9,892 10,042 10/15/2004 9,808 10,123 10/16/2004 9,808 10,123 10/17/2004 9,808 10,123 10/18/2004 9,762 10,169 10/19/2004 9,864 10,074 10/20/2004 9,806 10,136 10/21/2004 9,692 10,252 10/22/2004 9,846 10,094 10/23/2004 9,846 10,094 10/24/2004 9,846 10,094 10/25/2004 9,776 10,163 10/26/2004 9,686 10,269 10/27/2004 9,520 10,441 10/28/2004 9,546 10,414 10/29/2004 9,576 10,381 10/30/2004 9,576 10,381 10/31/2004 9,576 10,381 11/1/2004 9,524 10,439 11/2/2004 9,554 10,411 11/3/2004 9,390 10,588 11/4/2004 9,280 10,710 11/5/2004 9,242 10,748 11/6/2004 9,242 10,748 11/7/2004 9,242 10,748 11/8/2004 9,284 10,710 11/9/2004 9,212 10,792 11/10/2004 9,164 10,847 11/11/2004 9,064 10,966 11/12/2004 8,984 11,067 11/13/2004 8,984 11,067 11/14/2004 8,984 11,067 11/15/2004 8,958 11,101 11/16/2004 9,038 10,995 11/17/2004 8,964 11,085 11/18/2004 8,980 11,069 11/19/2004 9,102 10,916 11/20/2004 9,102 10,916 11/21/2004 9,102 10,916 11/22/2004 8,980 11,060 11/23/2004 8,942 11,114 11/24/2004 8,862 11,203 11/25/2004 8,862 11,203 11/26/2004 8,846 11,234 11/27/2004 8,846 11,234 11/28/2004 8,846 11,234 11/29/2004 8,802 11,294 11/30/2004 8,810 11,282 12/1/2004 8,666 11,459 12/2/2004 8,690 11,438 12/3/2004 8,694 11,433 12/4/2004 8,694 11,433 12/5/2004 8,694 11,433 12/6/2004 8,738 11,377 12/7/2004 8,922 11,136 12/8/2004 8,838 11,237 12/9/2004 8,868 11,203 12/10/2004 8,826 11,257 12/11/2004 8,826 11,257 12/12/2004 8,826 11,257 12/13/2004 8,744 11,362 12/14/2004 8,670 11,461 12/15/2004 8,604 11,552 12/16/2004 8,688 11,439 12/17/2004 8,700 11,437 12/18/2004 8,700 11,437 12/19/2004 8,700 11,437 12/20/2004 8,748 11,365 12/21/2004 8,634 11,512 12/22/2004 8,606 11,553 12/23/2004 8,596 11,569 12/24/2004 8,596 11,569 12/25/2004 8,596 11,569 12/26/2004 8,596 11,569 12/27/2004 8,666 11,480 12/28/2004 8,528 11,662 12/29/2004 8,540 11,646 12/30/2004 8,544 11,642 12/31/2004 8,564 11,616 1/1/2005 8,564 11,616 1/2/2005 8,564 11,616 1/3/2005 8,708 11,418 1/4/2005 8,872 11,206 1/5/2005 9,030 11,009 1/6/2005 8,994 11,051 1/7/2005 9,092 10,934 1/8/2005 9,092 10,934 1/9/2005 9,092 10,934 1/10/2005 9,030 11,014 1/11/2005 9,120 10,904 1/12/2005 9,094 10,935 1/13/2005 9,140 10,880 1/14/2005 9,032 11,011 1/15/2005 9,032 11,011 1/16/2005 9,032 11,011 1/17/2005 9,032 11,011 1/18/2005 8,922 11,143 1/19/2005 9,026 11,020 1/20/2005 9,106 10,921 1/21/2005 9,126 10,898 1/22/2005 9,126 10,898 1/23/2005 9,126 10,898 1/24/2005 9,226 10,781 1/25/2005 9,196 10,816 1/26/2005 9,044 10,996 1/27/2005 9,036 11,004 1/28/2005 9,094 10,935 1/29/2005 9,094 10,935 1/30/2005 9,094 10,935 1/31/2005 8,936 11,131 2/1/2005 8,878 11,205 2/2/2005 8,824 11,274 2/3/2005 8,854 11,227 2/4/2005 8,744 11,373 2/5/2005 8,744 11,373 2/6/2005 8,744 11,373 2/7/2005 8,754 11,358 2/8/2005 8,728 11,396 2/9/2005 8,906 11,165 2/10/2005 8,890 11,185 2/11/2005 8,778 11,328 2/12/2005 8,778 11,328 2/13/2005 8,778 11,328 2/14/2005 8,774 11,332 2/15/2005 8,778 11,331 2/16/2005 8,726 11,402 2/17/2005 8,832 11,265 2/18/2005 8,850 11,247 2/19/2005 8,850 11,247 2/20/2005 8,850 11,247 2/21/2005 8,850 11,247 2/22/2005 9,020 11,029 2/23/2005 8,984 11,076 2/24/2005 8,882 11,202 2/25/2005 8,742 11,382 2/26/2005 8,742 11,382 2/27/2005 8,742 11,382 2/28/2005 8,794 11,320 3/1/2005 8,730 11,399 3/2/2005 8,746 11,379 3/3/2005 8,734 11,396 3/4/2005 8,642 11,515 3/5/2005 8,642 11,515 3/6/2005 8,642 11,515 3/7/2005 8,654 11,496 3/8/2005 8,740 11,391 3/9/2005 8,830 11,269 3/10/2005 8,886 11,195 3/11/2005 8,890 11,196 3/12/2005 8,890 11,196 3/13/2005 8,890 11,196 3/14/2005 8,842 11,258 3/15/2005 8,892 11,196 3/16/2005 8,944 11,127 3/17/2005 8,916 11,173 3/18/2005 8,966 11,121 3/19/2005 8,966 11,121 3/20/2005 8,966 11,121 3/21/2005 8,970 11,104 3/22/2005 9,020 11,051 3/23/2005 9,104 10,935 3/24/2005 9,064 10,992 3/25/2005 9,064 10,992 3/26/2005 9,064 10,992 3/27/2005 9,064 10,992 3/28/2005 9,064 10,990 3/29/2005 9,214 10,808 3/30/2005 9,064 10,992 3/31/2005 9,066 10,996 4/1/2005 9,110 10,933 4/2/2005 9,110 10,933 4/3/2005 9,110 10,933 4/4/2005 9,076 10,973 4/5/2005 9,062 10,986 4/6/2005 9,038 11,018 4/7/2005 8,990 11,082 4/8/2005 9,124 10,921 4/9/2005 9,124 10,921 4/10/2005 9,124 10,921 4/11/2005 9,178 10,857 4/12/2005 9,090 10,962 4/13/2005 9,244 10,776 4/14/2005 9,404 10,587 4/15/2005 9,586 10,387 4/16/2005 9,586 10,387 4/17/2005 9,586 10,387 4/18/2005 9,514 10,469 4/19/2005 9,358 10,641 4/20/2005 9,508 10,463 4/21/2005 9,284 10,714 4/22/2005 9,428 10,545 4/23/2005 9,428 10,545 4/24/2005 9,428 10,545 4/25/2005 9,320 10,668 4/26/2005 9,460 10,512 4/27/2005 9,468 10,504 4/28/2005 9,662 10,288 4/29/2005 9,596 10,366 4/30/2005 9,596 10,366 5/1/2005 9,596 10,366 5/2/2005 9,486 10,482 5/3/2005 9,506 10,458 5/4/2005 9,334 10,650 5/5/2005 9,326 10,658 5/6/2005 9,316 10,675 5/7/2005 9,316 10,675 5/8/2005 9,316 10,675 5/9/2005 9,216 10,790 5/10/2005 9,338 10,649 5/11/2005 9,328 10,660 5/12/2005 9,466 10,506 5/13/2005 9,544 10,419 5/14/2005 9,544 10,419 5/15/2005 9,544 10,419 5/16/2005 9,388 10,593 5/17/2005 9,328 10,657 5/18/2005 9,138 10,883 5/19/2005 9,096 10,929 5/20/2005 9,116 10,911 5/21/2005 9,116 10,911 5/22/2005 9,116 10,911 5/23/2005 9,062 10,973 5/24/2005 9,062 10,975 5/25/2005 9,156 10,858 5/26/2005 9,030 11,007 5/27/2005 8,996 11,048 5/28/2005 8,996 11,048 5/29/2005 8,996 11,048 5/30/2005 8,996 11,048 5/31/2005 9,008 11,044 6/1/2005 8,910 11,171 6/2/2005 8,888 11,198 6/3/2005 8,964 11,110 6/4/2005 8,964 11,110 6/5/2005 8,964 11,110 6/6/2005 8,922 11,157 6/7/2005 8,912 11,172 6/8/2005 8,964 11,114 6/9/2005 8,874 11,218 6/10/2005 8,874 11,220 6/11/2005 8,874 11,220 6/12/2005 8,874 11,220 6/13/2005 8,838 11,270 6/14/2005 8,760 11,367 6/15/2005 8,726 11,418 6/16/2005 8,636 11,541 6/17/2005 8,630 11,544 6/18/2005 8,630 11,544 6/19/2005 8,630 11,544 6/20/2005 8,664 11,502 6/21/2005 8,670 11,488 6/22/2005 8,636 11,532 6/23/2005 8,764 11,365 6/24/2005 8,836 11,298 6/25/2005 8,836 11,298 6/26/2005 8,836 11,298 6/27/2005 8,852 11,261 6/28/2005 8,662 11,502 6/29/2005 8,650 11,526 6/30/2005 8,694 11,471 7/1/2005 8,648 11,531 7/2/2005 8,648 11,531 7/3/2005 8,648 11,531 7/4/2005 8,648 11,531 7/5/2005 8,508 11,714 7/6/2005 8,572 11,627 7/7/2005 8,562 11,646 7/8/2005 8,392 11,877 7/9/2005 8,392 11,877 7/10/2005 8,392 11,877 7/11/2005 8,270 12,049 7/12/2005 8,284 12,032 7/13/2005 8,324 11,976 7/14/2005 8,382 11,893 7/15/2005 8,374 11,906 7/16/2005 8,374 11,906 7/17/2005 8,374 11,906 7/18/2005 8,442 11,814 7/19/2005 8,312 11,999 7/20/2005 8,204 12,155 7/21/2005 8,336 11,968 7/22/2005 8,196 12,159 7/23/2005 8,196 12,159 7/24/2005 8,196 12,159 7/25/2005 8,280 12,037 7/26/2005 8,238 12,102 7/27/2005 8,232 12,109 7/28/2005 8,130 12,256 7/29/2005 8,174 12,197 7/30/2005 8,174 12,197 7/31/2005 8,174 12,197 8/1/2005 8,140 12,252 8/2/2005 8,072 12,355 8/3/2005 8,132 12,263 8/4/2005 8,268 12,057 8/5/2005 8,382 11,895 8/6/2005 8,382 11,895 8/7/2005 8,382 11,895 8/8/2005 8,422 11,839 8/9/2005 8,410 11,855 8/10/2005 8,420 11,850 8/11/2005 8,340 11,963 8/12/2005 8,422 11,849 8/13/2005 8,422 11,849 8/14/2005 8,422 11,849 8/15/2005 8,352 11,951 8/16/2005 8,492 11,753 8/17/2005 8,492 11,757 8/18/2005 8,532 11,692 8/19/2005 8,518 11,716 8/20/2005 8,518 11,716 8/21/2005 8,518 11,716 8/22/2005 8,458 11,805 8/23/2005 8,484 11,770 8/24/2005 8,490 11,762 8/25/2005 8,454 11,810 8/26/2005 8,576 11,648 8/27/2005 8,576 11,648 8/28/2005 8,576 11,648 8/29/2005 8,490 11,768 8/30/2005 8,506 11,742 8/31/2005 8,344 11,971 9/1/2005 8,322 12,006 9/2/2005 8,390 11,915 9/3/2005 8,390 11,915 9/4/2005 8,390 11,915 9/5/2005 8,390 11,915 9/6/2005 8,248 12,115 9/7/2005 8,216 12,167 9/8/2005 8,266 12,098 9/9/2005 8,212 12,181 9/10/2005 8,212 12,181 9/11/2005 8,212 12,181 9/12/2005 8,178 12,231 9/13/2005 8,270 12,095 9/14/2005 8,354 11,974 9/15/2005 8,368 11,957 9/16/2005 8,290 12,076 9/17/2005 8,290 12,076 9/18/2005 8,290 12,076 9/19/2005 8,350 11,987 9/20/2005 8,430 11,873 9/21/2005 8,568 11,681 9/22/2005 8,554 11,703 9/23/2005 8,498 11,780 9/24/2005 8,498 11,780 9/25/2005 8,498 11,780 9/26/2005 8,442 11,865 9/27/2005 8,456 11,847 9/28/2005 8,492 11,796 9/29/2005 8,372 11,959 9/30/2005 8,344 12,009 10/1/2005 8,344 12,009 10/2/2005 8,344 12,009 10/3/2005 8,304 12,058 10/4/2005 8,390 11,938 10/5/2005 8,628 11,600 10/6/2005 8,702 11,501 10/7/2005 8,640 11,589 10/8/2005 8,640 11,589 10/9/2005 8,640 11,589 10/10/2005 8,724 11,475 10/11/2005 8,832 11,333 10/12/2005 8,956 11,181 10/13/2005 8,936 11,212 10/14/2005 8,796 11,389 10/15/2005 8,796 11,389 10/16/2005 8,796 11,389 10/17/2005 8,794 11,394 10/18/2005 8,906 11,250 10/19/2005 8,726 11,482 10/20/2005 8,872 11,289 10/21/2005 8,802 11,383 10/22/2005 8,802 11,383 10/23/2005 8,802 11,383 10/24/2005 8,610 11,632 10/25/2005 8,658 11,563 10/26/2005 8,722 11,486 10/27/2005 8,918 11,229 10/28/2005 8,762 11,433 10/29/2005 8,762 11,433 10/30/2005 8,762 11,433 10/31/2005 8,610 11,636 11/1/2005 8,652 11,571 11/2/2005 8,464 11,824 11/3/2005 8,440 11,856 11/4/2005 8,454 11,846 11/5/2005 8,454 11,846 11/6/2005 8,454 11,846 11/7/2005 8,416 11,902 11/8/2005 8,480 11,813 11/9/2005 8,436 11,877 11/10/2005 8,372 11,971 11/11/2005 8,352 12,002 11/12/2005 8,352 12,002 11/13/2005 8,352 12,002 11/14/2005 8,384 11,953 11/15/2005 8,486 11,815 11/16/2005 8,508 11,787 11/17/2005 8,346 12,013 11/18/2005 8,286 12,104 11/19/2005 8,286 12,104 11/20/2005 8,286 12,104 11/21/2005 8,202 12,226 11/22/2005 8,160 12,292 11/23/2005 8,156 12,303 11/24/2005 8,156 12,303 11/25/2005 8,154 12,311 11/26/2005 8,154 12,311 11/27/2005 8,154 12,311 11/28/2005 8,300 12,094 11/29/2005 8,274 12,135 11/30/2005 8,234 12,201 12/1/2005 8,074 12,434 12/2/2005 8,070 12,440 12/3/2005 8,070 12,440 12/4/2005 8,070 12,440 12/5/2005 8,116 12,369 12/6/2005 8,108 12,387 12/7/2005 8,158 12,306 12/8/2005 8,134 12,346 12/9/2005 8,096 12,410 12/10/2005 8,096 12,410 12/11/2005 8,096 12,410 12/12/2005 8,088 12,424 12/13/2005 8,094 12,418 12/14/2005 8,076 12,445 12/15/2005 8,146 12,342 12/16/2005 8,170 12,312 12/17/2005 8,170 12,312 12/18/2005 8,170 12,312 12/19/2005 8,302 12,117 12/20/2005 8,296 12,128 12/21/2005 8,210 12,254 12/22/2005 8,157 12,332 12/23/2005 8,135 12,375 12/24/2005 8,135 12,375 12/25/2005 8,135 12,375 12/26/2005 8,135 12,375 12/27/2005 8,254 12,197 12/28/2005 8,209 12,268 12/29/2005 8,235 12,230 12/30/2005 8,303 12,145 12/31/2005 8,303 12,145 1/1/2006 8,303 12,145 1/2/2006 8,303 12,145 1/3/2006 8,168 12,340 1/4/2006 8,106 12,435 1/5/2006 8,078 12,481 1/6/2006 7,992 12,619 1/7/2006 7,992 12,619 1/8/2006 7,992 12,619 1/9/2006 7,916 12,743 1/10/2006 7,865 12,828 1/11/2006 7,863 12,833 1/12/2006 7,912 12,754 1/13/2006 7,900 12,783 1/14/2006 7,900 12,783 1/15/2006 7,900 12,783 1/16/2006 7,900 12,783 1/17/2006 7,955 12,697 1/18/2006 7,955 12,700 1/19/2006 7,830 12,902 1/20/2006 7,947 12,715 1/21/2006 7,947 12,715 1/22/2006 7,947 12,715 1/23/2006 7,916 12,773 1/24/2006 7,802 12,957 1/25/2006 7,818 12,929 1/26/2006 7,685 13,147 1/27/2006 7,652 13,216 1/28/2006 7,652 13,216 1/29/2006 7,652 13,216 1/30/2006 7,667 13,192 1/31/2006 7,644 13,234 2/1/2006 7,620 13,275 2/2/2006 7,716 13,110 2/3/2006 7,742 13,074 2/4/2006 7,742 13,074 2/5/2006 7,742 13,074 2/6/2006 7,703 13,140 2/7/2006 7,818 12,947 2/8/2006 7,777 13,020 2/9/2006 7,810 12,966 2/10/2006 7,824 12,948 2/11/2006 7,824 12,948 2/12/2006 7,824 12,948 2/13/2006 7,894 12,830 2/14/2006 7,795 12,996 2/15/2006 7,736 13,094 2/16/2006 7,667 13,217 2/17/2006 7,683 13,200 2/18/2006 7,683 13,200 2/19/2006 7,683 13,200 2/20/2006 7,683 13,200 2/21/2006 7,726 13,125 2/22/2006 7,656 13,247 2/23/2006 7,671 13,228 2/24/2006 7,630 13,303 2/25/2006 7,630 13,303 2/26/2006 7,630 13,303 2/27/2006 7,587 13,378 2/28/2006 7,693 13,197 3/1/2006 7,568 13,410 3/2/2006 7,589 13,370 3/3/2006 7,613 13,340 3/4/2006 7,613 13,340 3/5/2006 7,613 13,340 3/6/2006 7,689 13,208 3/7/2006 7,798 13,026 3/8/2006 7,789 13,041 3/9/2006 7,828 12,977 3/10/2006 7,742 13,123 3/11/2006 7,742 13,123 3/12/2006 7,742 13,123 3/13/2006 7,724 13,156 3/14/2006 7,638 13,302 3/15/2006 7,568 13,427 3/16/2006 7,560 13,443 3/17/2006 7,544 13,484 3/18/2006 7,544 13,484 3/19/2006 7,544 13,484 3/20/2006 7,552 13,476 3/21/2006 7,650 13,304 3/22/2006 7,558 13,463 3/23/2006 7,532 13,513 3/24/2006 7,474 13,626 3/25/2006 7,474 13,626 3/26/2006 7,474 13,626 3/27/2006 7,468 13,629 3/28/2006 7,499 13,580 3/29/2006 7,364 13,819 3/30/2006 7,382 13,792 3/31/2006 7,362 13,838 4/1/2006 7,362 13,838 4/2/2006 7,362 13,838 4/3/2006 7,421 13,731 4/4/2006 7,393 13,788 4/5/2006 7,356 13,860 4/6/2006 7,356 13,860 4/7/2006 7,460 13,678 4/8/2006 7,460 13,678 4/9/2006 7,460 13,678 4/10/2006 7,493 13,620 4/11/2006 7,601 13,425 4/12/2006 7,544 13,528 4/13/2006 7,517 13,588 4/14/2006 7,517 13,588 4/15/2006 7,517 13,588 4/16/2006 7,517 13,588 4/17/2006 7,536 13,559 4/18/2006 7,331 13,927 4/19/2006 7,251 14,083 4/20/2006 7,288 14,015 4/21/2006 7,317 13,970 4/22/2006 7,317 13,970 4/23/2006 7,317 13,970 4/24/2006 7,374 13,861 4/25/2006 7,389 13,838 4/26/2006 7,384 13,846 4/27/2006 7,425 13,778 4/28/2006 7,397 13,836 4/29/2006 7,397 13,836 4/30/2006 7,397 13,836 5/1/2006 7,431 13,774 5/2/2006 7,368 13,891 5/3/2006 7,368 13,894 5/4/2006 7,305 14,021 5/5/2006 7,239 14,150 5/6/2006 7,239 14,150 5/7/2006 7,239 14,150 5/8/2006 7,245 14,147 5/9/2006 7,254 14,131 5/10/2006 7,301 14,045 5/11/2006 7,476 13,713 5/12/2006 7,628 13,440 5/13/2006 7,628 13,440 5/14/2006 7,628 13,440 5/15/2006 7,679 13,354 5/16/2006 7,683 13,352 5/17/2006 7,804 13,142 5/18/2006 7,887 13,008 5/19/2006 7,845 13,082 5/20/2006 7,845 13,082 5/21/2006 7,845 13,082 5/22/2006 7,926 12,950 5/23/2006 7,973 12,879 5/24/2006 7,973 12,879 5/25/2006 7,812 13,139 5/26/2006 7,777 13,211 5/27/2006 7,777 13,211 5/28/2006 7,777 13,211 5/29/2006 7,777 13,211 5/30/2006 7,975 12,877 5/31/2006 7,865 13,059 6/1/2006 7,693 13,339 6/2/2006 7,689 13,357 6/3/2006 7,689 13,357 6/4/2006 7,689 13,357 6/5/2006 7,937 12,931 6/6/2006 7,967 12,877 6/7/2006 8,018 12,802 6/8/2006 8,022 12,798 6/9/2006 8,086 12,705 6/10/2006 8,086 12,705 6/11/2006 8,086 12,705 6/12/2006 8,296 12,376 6/13/2006 8,425 12,189 6/14/2006 8,370 12,270 6/15/2006 8,065 12,705 6/16/2006 8,168 12,560 6/17/2006 8,168 12,560 6/18/2006 8,168 12,560 6/19/2006 8,313 12,337 6/20/2006 8,352 12,279 6/21/2006 8,192 12,518 6/22/2006 8,225 12,470 6/23/2006 8,202 12,508 6/24/2006 8,202 12,508 6/25/2006 8,202 12,508 6/26/2006 8,102 12,663 6/27/2006 8,245 12,451 6/28/2006 8,227 12,477 6/29/2006 7,912 12,955 6/30/2006 7,818 13,143 7/1/2006 7,818 13,143 7/2/2006 7,818 13,143 7/3/2006 7,740 13,254 7/4/2006 7,740 13,254 7/5/2006 7,836 13,057 7/6/2006 7,826 13,072 7/7/2006 7,957 12,866 7/8/2006 7,957 12,866 7/9/2006 7,957 12,866 7/10/2006 7,961 12,862 7/11/2006 7,902 12,959 7/12/2006 8,053 12,720 7/13/2006 8,213 12,469 7/14/2006 8,294 12,359 7/15/2006 8,294 12,359 7/16/2006 8,294 12,359 7/17/2006 8,339 12,295 7/18/2006 8,288 12,367 7/19/2006 8,033 12,742 7/20/2006 8,251 12,403 7/21/2006 8,397 12,191 7/22/2006 8,397 12,191 7/23/2006 8,397 12,191 7/24/2006 8,164 12,533 7/25/2006 8,088 12,654 7/26/2006 8,125 12,600 7/27/2006 8,229 12,444 7/28/2006 8,057 12,705 7/29/2006 8,057 12,705 7/30/2006 8,057 12,705 7/31/2006 8,055 12,715 8/1/2006 8,178 12,521 8/2/2006 8,098 12,648 8/3/2006 8,008 12,786 8/4/2006 8,051 12,729 8/5/2006 8,051 12,729 8/6/2006 8,051 12,729 8/7/2006 8,112 12,635 8/8/2006 8,215 12,480 8/9/2006 8,290 12,364 8/10/2006 8,229 12,460 8/11/2006 8,319 12,330 8/12/2006 8,319 12,330 8/13/2006 8,319 12,330 8/14/2006 8,288 12,379 8/15/2006 8,096 12,672 8/16/2006 7,990 12,846 8/17/2006 7,957 12,908 8/18/2006 7,949 12,925 8/19/2006 7,949 12,925 8/20/2006 7,949 12,925 8/21/2006 8,022 12,810 8/22/2006 7,994 12,854 8/23/2006 8,104 12,685 8/24/2006 8,102 12,691 8/25/2006 8,102 12,701 8/26/2006 8,102 12,701 8/27/2006 8,102 12,701 8/28/2006 8,016 12,835 8/29/2006 7,922 12,985 8/30/2006 7,861 13,092 8/31/2006 7,863 13,091 9/1/2006 7,859 13,110 9/2/2006 7,859 13,110 9/3/2006 7,859 13,110 9/4/2006 7,859 13,110 9/5/2006 7,795 13,218 9/6/2006 7,963 12,939 9/7/2006 8,027 12,838 9/8/2006 8,008 12,876 9/9/2006 8,008 12,876 9/10/2006 8,008 12,876 9/11/2006 8,020 12,859 9/12/2006 7,828 13,166 9/13/2006 7,761 13,283 9/14/2006 7,795 13,226 9/15/2006 7,783 13,258 9/16/2006 7,783 13,258 9/17/2006 7,783 13,258 9/18/2006 7,789 13,249 9/19/2006 7,828 13,188 9/20/2006 7,732 13,353 9/21/2006 7,810 13,220 9/22/2006 7,908 13,065 9/23/2006 7,908 13,065 9/24/2006 7,908 13,065 9/25/2006 7,816 13,219 9/26/2006 7,789 13,266 9/27/2006 7,757 13,325 9/28/2006 7,759 13,327 9/29/2006 7,838 13,200 9/30/2006 7,838 13,200 10/1/2006 7,838 13,200 10/2/2006 7,912 13,077 10/3/2006 7,920 13,069 10/4/2006 7,750 13,345 10/5/2006 7,652 13,521 10/6/2006 7,689 13,462 10/7/2006 7,689 13,462 10/8/2006 7,689 13,462 10/9/2006 7,642 13,548 10/10/2006 7,628 13,572 10/11/2006 7,675 13,497 10/12/2006 7,515 13,778 10/13/2006 7,462 13,879 10/14/2006 7,462 13,879 10/15/2006 7,462 13,879 10/16/2006 7,397 14,004 10/17/2006 7,442 13,920 10/18/2006 7,458 13,894 10/19/2006 7,421 13,966 10/20/2006 7,481 13,871 10/21/2006 7,481 13,871 10/22/2006 7,481 13,871 10/23/2006 7,466 13,895 10/24/2006 7,478 13,876 10/25/2006 7,434 13,962 10/26/2006 7,350 14,124 10/27/2006 7,448 13,941 10/28/2006 7,448 13,941 10/29/2006 7,448 13,941 10/30/2006 7,405 14,024 10/31/2006 7,446 13,960 11/1/2006 7,587 13,693 11/2/2006 7,609 13,657 11/3/2006 7,585 13,705 11/4/2006 7,585 13,705 11/5/2006 7,585 13,705 11/6/2006 7,481 13,894 11/7/2006 7,472 13,918 11/8/2006 7,419 14,019 11/9/2006 7,497 13,877 11/10/2006 7,429 14,007 11/11/2006 7,429 14,007 11/12/2006 7,429 14,007 11/13/2006 7,399 14,067 11/14/2006 7,278 14,299 11/15/2006 7,215 14,425 11/16/2006 7,231 14,404 11/17/2006 7,256 14,363 11/18/2006 7,256 14,363 11/19/2006 7,256 14,363 11/20/2006 7,235 14,402 11/21/2006 7,223 14,432 11/22/2006 7,217 14,447 11/23/2006 7,217 14,447 11/24/2006 7,227 14,436 11/25/2006 7,227 14,436 11/26/2006 7,227 14,436 11/27/2006 7,415 14,068 11/28/2006 7,386 14,119 11/29/2006 7,301 14,292 11/30/2006 7,290 14,328 12/1/2006 7,337 14,238 12/2/2006 7,337 14,238 12/3/2006 7,337 14,238 12/4/2006 7,196 14,506 12/5/2006 7,186 14,535 12/6/2006 7,202 14,509 12/7/2006 7,235 14,443 12/8/2006 7,238 14,448 12/9/2006 7,238 14,448 12/10/2006 7,238 14,448 12/11/2006 7,234 14,457 12/12/2006 7,276 14,373 12/13/2006 7,274 14,382 12/14/2006 7,226 14,482 12/15/2006 7,247 14,456 12/16/2006 7,247 14,456 12/17/2006 7,247 14,456 12/18/2006 7,346 14,261 12/19/2006 7,342 14,263 12/20/2006 7,312 14,328 12/21/2006 7,342 14,280 12/22/2006 7,367 14,242 12/23/2006 7,367 14,242 12/24/2006 7,367 14,242 12/25/2006 7,367 14,242 12/26/2006 7,295 14,377 12/27/2006 7,204 14,558 12/28/2006 7,236 14,500 12/29/2006 7,310 14,376 12/30/2006 7,310 14,376 12/31/2006 7,310 14,376 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- INVERSE RUSSELL 2000(R) FUND -11.95% -11.10% RUSSELL 2000(R) INDEX 18.37% 14.60% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 2000(R) INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] INVERSE RUSSELL 2000(R) FUND RUSSELL 2000(R) INDEX OTHER 15.1% INFORMATION TECHNOLOGY 20.1% FINANCIALS 20.1% CONSUMER DISCRETIONARY 15.2% HEALTH CARE 12.0% INDUSTRIALS 11.7% MATERIALS 5.8% FUTURES CONTRACTS SHORT SALES -31.1% EQUITY INDEX SWAP AGREEMENTS SHORT SALES -68.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures. 18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- GOVERNMENT LONG BOND ADVANTAGE FUND OBJECTIVE: To provide investment results that correspond to a benchmark for U.S. Government securities. The Fund's current benchmark is 120% of the price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. INCEPTION: August 18, 1997 At the start of 2006, the benchmark Long Bond posted a yield of 4.54%. In February, the market responded favorably when the U. S. Treasury reissued the 30-year bond and long rates remained stable. During the second quarter, the market turned as mixed economic data, soaring energy and commodity prices and the Federal Reserve's continued concern over the risk of inflation pushed long rates higher. The 30-year bond yield peaked in mid-May at 5.32% and remained above 5.00% until August. As the Fed opted to keep short-term rates unchanged and data indicated decreasing economic growth and a slowdown in the manufacturing and housing sectors, yields on the long end of the curve again changed direction. Stable short rates and falling long rates produced an inverted yield curve, which has often, but not always, preceded a recession. The market's anticipation of an economic recession--or at least continued slower growth--forced the 30-year yield to decline further to 4.55% by the end of November. In December, yields fluctuated within a narrow trading range, as conflicting messages of either a slowing economy or inflation risks confused investors. As a result of this uncertainty, the Long Bond yield ended slightly higher at 4.81%. Rydex Government Long Bond Advantage Fund benefits from a falling interest rate environment. Since year-to-date, rates were on average higher, the Fund adhered to its objective and closed down -3.14%. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: AUGUST 18, 1997- DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] GOVERNMENT LONG BOND PRICE MOVEMENT OF LEHMAN LONG TREASURY DATE ADVANTAGE FUND LONG TREASURY BOND BOND INDEX 8/18/1997 10,000 10,000 10,000 9/30/1997 10,177 10,147 10,202 12/31/1997 10,985 10,749 10,865 3/31/1998 11,022 10,733 11,029 6/30/1998 11,626 11,211 11,544 9/30/1998 12,797 12,238 12,454 12/31/1998 12,397 11,946 12,334 3/31/1999 11,211 10,886 11,806 6/30/1999 10,632 10,335 11,513 9/30/1999 10,407 10,100 11,498 12/31/1999 9,859 9,539 11,256 3/31/2000 10,833 10,228 12,163 6/30/2000 10,812 10,139 12,282 9/30/2000 10,955 10,165 12,624 12/31/2000 11,850 10,788 13,537 3/31/2001 11,803 10,652 13,723 6/30/2001 11,370 10,189 13,481 9/30/2001 12,093 10,705 14,389 12/31/2001 11,860 10,613 14,107 3/31/2002 11,307 10,112 13,872 6/30/2002 12,131 10,559 14,703 9/30/2002 14,257 11,959 16,477 12/31/2002 14,068 11,741 16,475 3/31/2003 14,144 11,678 16,704 6/30/2003 15,066 12,152 17,551 9/30/2003 14,359 11,586 17,081 12/31/2003 13,978 11,232 16,885 3/31/2004 14,900 11,735 17,782 6/30/2004 13,671 10,889 16,855 9/30/2004 14,836 11,535 17,926 12/31/2004 15,155 11,652 18,185 3/31/2005 15,399 11,758 18,281 6/30/2005 17,199 12,768 19,687 9/30/2005 16,175 12,073 19,163 12/31/2005 16,324 12,113 19,368 3/31/2006 15,132 10,108 18,667 6/30/2006 14,486 9,655 18,445 9/30/2006 15,873 10,319 19,631 12/31/2006 15,811 10,254 19,726 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (08/18/97) -------------------------------------------------------------------------------- GOVERNMENT LONG BOND ADVANTAGE FUND -3.14% 5.92% 5.01% PRICE MOVEMENT OF LONG TREASURY BOND -15.35% -0.69% 0.27% LEHMAN LONG TREASURY BOND INDEX 1.85% 6.94% 7.52% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE LEHMAN LONG TREASURY INDEX IS AN UNMANAGED BOND INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. THE PRICE MOVEMENT OF THE LONG TREASURY BOND REPRESENTS A CUMULATIVE PERCENTAGE CHANGE IN ITS CLOSING PRICE. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] GOVERNMENT LONG BOND ADVANTAGE FUND U.S. TREASURY OBLIGATIONS 34.4% FUTURES CONTRACTS 85.7% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in U.S. Government securities and in derivative instruments such as futures and options contracts. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 19 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- INVERSE GOVERNMENT LONG BOND FUND OBJECTIVE: To provide total returns that will correlate to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument. The Fund's current benchmark is the inverse of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. INCEPTION: May 1, 2003 The benchmark Long Bond recorded a yield of 4.54% to begin 2006. In January, yields rose slightly, ahead of the changing of the guard at the Federal Reserve. On January 31, Alan Greenspan chaired his final Federal Open Market Committee meeting, passing the reins to new Fed chairman Ben Bernanke. Yields fell when the market decided that Bernanke's policies were in line with those of Greenspan. February 11, 2006 marked the return of the 30-year bond, which was last issued on October 31, 2001. The reinstatement of a true 30-year security reflected the prospect of continued large budget deficits and rising pension demand for longer duration assets. Pension fund legislation, requiring matched liabilities, was good news for the long end of the curve and Treasuries therefore stabilized. During the second quarter, however, inconsistent economic data and the Fed's statement about continuing inflation accounted for an increase in long rates. The 30-year bond yield stayed above 5.00% until early August. In August, when economic data signaled a slowdown in manufacturing and housing, yields declined. As government bond investors believed in the possibility of an economic recession, yields continued to fall and the yield curve inverted. Yields moved to 4.55% by the end of November. In December, Treasury bond yields reacted to investor indecision regarding the direction of the economy. As a result of this uncertainty, the Long Bond weakened and closed the year higher at 4.81%. An investor benefits from Rydex Inverse Government Bond Fund in a rising interest-rate environment. Since year-to-date, yields were on average higher, the Fund adhered to its objective and closed up 8.11%. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: MAY 1, 2003 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] INVERSE GOVERNMENT PRICE MOVEMENT OF LEHMAN LONG TREASURY DATE LONG BOND FUND LONG TREASURY BOND BOND INDEX 5/1/2003 10,000 10,000 10,000 5/31/2003 9,296 10,635 10,562 6/30/2003 9,448 10,337 10,401 7/31/2003 10,728 9,145 9,471 8/31/2003 10,540 9,372 9,622 9/30/2003 9,816 9,856 10,123 10/31/2003 10,184 9,492 9,841 11/30/2003 10,100 9,489 9,889 12/31/2003 9,928 9,555 10,006 1/31/2004 9,676 9,721 10,178 2/29/2004 9,384 9,894 10,381 3/31/2004 9,184 9,983 10,538 4/30/2004 9,828 9,276 9,947 5/31/2004 9,864 9,201 9,898 6/30/2004 9,732 9,263 9,989 7/31/2004 9,540 9,397 10,158 8/31/2004 9,120 9,765 10,535 9/30/2004 9,043 9,813 10,624 10/31/2004 8,877 9,957 10,780 11/30/2004 9,144 9,647 10,540 12/31/2004 8,869 9,912 10,777 1/31/2005 8,562 10,255 11,049 2/28/2005 8,720 10,059 10,906 3/31/2005 8,756 10,003 10,834 4/30/2005 8,429 10,355 11,204 5/31/2005 8,178 10,638 11,495 6/30/2005 8,004 10,861 11,667 7/31/2005 8,356 10,408 11,361 8/31/2005 8,065 10,751 11,692 9/30/2005 8,441 10,270 11,356 10/31/2005 8,679 9,996 11,147 11/30/2005 8,615 10,069 11,217 12/31/2005 8,404 10,304 11,478 1/31/2006 8,574 10,097 11,373 2/28/2006 8,526 9,151 11,454 3/31/2006 9,071 8,599 11,063 4/30/2006 9,459 8,239 10,847 5/31/2006 9,564 8,160 10,848 6/30/2006 9,516 8,213 10,931 7/31/2006 9,346 8,374 11,141 8/31/2006 9,099 8,615 11,447 9/30/2006 8,950 8,779 11,634 10/31/2006 8,905 8,845 11,720 11/30/2006 8,712 9,074 11,950 12/31/2006 9,086 8,723 11,690 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/01/03) -------------------------------------------------------------------------------- INVERSE GOVERNMENT LONG BOND FUND 8.11% -2.58% PRICE MOVEMENT OF LONG TREASURY BOND -15.35% -3.66% LEHMAN LONG TREASURY BOND INDEX 1.85% 4.35% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE LEHMAN LONG TREASURY INDEX IS AN UNMANAGED BOND INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. THE PRICE MOVEMENT OF THE LONG TREASURY BOND REPRESENTS A CUMULATIVE PERCENTAGE CHANGE IN ITS CLOSING PRICE. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) INVERSE GOVERNMENT LONG BOND FUND U.S. TREASURY OBLIGATIONS SHORT SALES -77.2% FUTURES CONTRACTS SHORT SALES -23.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures. 20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark. The Fund's current benchmak is the Dow Jones STOXX 50 Index. INCEPTION: October 1, 2001 European stock markets rose strongly in 2006 with the Dow Jones STOXX 50 Index ending the year up 14.25% in local currency terms. The euro also appreciated considerably versus the dollar, which further enhanced returns. In U.S. dollar terms, the Dow Jones STOXX 50 Index rose 26.96% in 2006. Suez SA, the French power and water group, was the best performing stock in the index for the year while Britain's GlaxoSmithKline was the laggard. Rydex Europe Advantage Fund rose 29.51% for the year. The Fund achieved a daily correlation of more than 0.99 to its benchmark of 125% of the daily price performance of the Dow Jones STOXX 50 Index for the year ended December 31, 2006. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: OCTOBER 1, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE EUROPE ADVANTAGE FUND DOW JONES STOXX 50 INDEX 10/1/2001 10,000 10,000 10/31/2001 10,524 10,498 11/30/2001 10,920 10,776 12/31/2001 11,204 11,026 1/31/2002 10,444 10,381 2/28/2002 10,236 10,404 3/31/2002 10,808 10,897 4/30/2002 10,620 10,727 5/31/2002 10,476 10,657 6/30/2002 10,052 10,341 7/31/2002 8,812 9,140 8/31/2002 8,524 9,116 9/30/2002 7,151 7,832 10/31/2002 7,933 8,706 11/30/2002 8,373 9,098 12/31/2002 8,027 8,674 1/31/2003 7,505 8,274 2/28/2003 7,151 8,069 3/31/2003 7,011 7,939 4/30/2003 8,159 9,028 5/31/2003 8,755 9,543 6/30/2003 8,932 9,647 7/31/2003 8,870 9,760 8/31/2003 8,915 9,600 9/30/2003 9,109 9,812 10/31/2003 9,758 10,379 11/30/2003 10,314 10,888 12/31/2003 11,485 11,875 1/31/2004 11,475 11,859 2/29/2004 11,751 12,120 3/31/2004 11,174 11,670 4/30/2004 10,872 11,617 5/31/2004 11,088 11,724 6/30/2004 11,199 11,781 7/31/2004 10,797 11,503 8/31/2004 10,918 11,534 9/30/2004 11,452 12,010 10/31/2004 11,931 12,413 11/30/2004 12,700 13,223 12/31/2004 13,340 13,747 1/31/2005 12,880 13,364 2/28/2005 13,535 14,007 3/31/2005 13,098 13,645 4/30/2005 12,910 13,393 5/31/2005 12,756 13,420 6/30/2005 12,933 13,633 7/31/2005 13,505 14,144 8/31/2005 13,812 14,268 9/30/2005 14,117 14,654 10/31/2005 13,688 14,298 11/30/2005 13,688 14,392 12/31/2005 14,188 14,775 1/31/2006 15,236 15,658 2/28/2006 14,974 15,511 3/31/2006 15,563 15,997 4/30/2006 16,592 16,827 5/31/2006 15,926 16,413 6/30/2006 15,884 16,478 7/31/2006 16,200 16,790 8/31/2006 16,753 17,281 9/30/2006 16,658 17,242 10/31/2006 17,497 17,961 11/30/2006 18,009 18,369 12/31/2006 18,375 18,760 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (10/01/01) -------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND 29.51% 10.40% 12.29% DOW JONES STOXX 50 INDEX 26.96% 11.22% 12.73% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES STOXX 50 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] EUROPE ADVANTAGE FUND DOW JONES STOXX 50 INDEX OTHER 14.8% 8.9% FINANCIALS 18.1% 40.6% ENERGY 8.4% 13.6% HEALTH CARE 7.0% TELECOMMUNICATION SERVICES 6.5% CONSUMER, NON-CYCLICAL 19.4% COMMUNICATIONS 12.3% BASIC MATERIALS 5.2% EQUITY INDEX SWAP AGREEMENTS 70.3% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- HSBC Holdings PLC -- SP ADR 3.2% BP PLC -- SP ADR 2.8% GlaxoSmithKline PLC -- SP ADR 2.5% Novartis AG -- SP ADR 2.2% Total SA -- SP ADR 2.0% Vodafone Group PLC -- SP ADR 2.0% Royal Dutch Shell PLC -- SP ADR 1.9% Banco Santander Central Hispano SA -- SP ADR 1.8% E. ON AG -- SP ADR 1.8% Barclays PLC -- SP ADR 1.7% -------------------------------------------------------------------------------- Top Ten Total 21.9% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- JAPAN ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark. The Fund's current benchmark is the Topix 100 Index. INCEPTION: October 1, 2001 Japanese stock markets rose modestly in 2006 compared to U.S. and European markets. The Topix 100 Index gained 7.06% during the year. The yen's slight depreciation versus the dollar further reduced the index's returns to 6.86% in U.S. dollar terms. Disappointing consumption and inflation data held back the Japanese market from fully participating in the global equity rally in the second half of 2006. Rydex Japan Advantage Fund rose 5.14% for the year. The Fund achieved a daily correlation of more than 0.96 to its benchmark of 125% of the daily price performance of the Topix 100 Index for the year ended December 31, 2006. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: OCTOBER 1, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE JAPAN ADVANTAGE FUND TOPIX 100 INDEX 10/1/2001 10,000 10,000 10/31/2001 9,864 9,891 11/30/2001 9,760 9,932 12/31/2001 8,764 9,179 1/31/2002 7,856 8,372 2/28/2002 8,432 8,714 3/31/2002 9,348 9,576 4/30/2002 9,788 9,822 5/31/2002 10,344 10,410 6/30/2002 9,524 9,822 7/31/2002 8,704 9,152 8/31/2002 8,556 9,015 9/30/2002 7,854 8,577 10/31/2002 7,228 8,016 11/30/2002 7,537 8,372 12/31/2002 7,344 8,112 1/31/2003 6,939 7,756 2/28/2003 6,959 7,729 3/31/2003 6,477 7,387 4/30/2003 6,341 7,305 5/31/2003 6,786 7,674 6/30/2003 7,389 8,235 7/31/2003 7,878 8,618 8/31/2003 8,762 9,521 9/30/2003 9,184 9,986 10/31/2003 9,613 10,301 11/30/2003 9,324 10,068 12/31/2003 10,107 10,739 1/31/2004 10,147 10,889 2/29/2004 10,191 10,876 3/31/2004 11,709 12,230 4/30/2004 10,597 11,587 5/31/2004 10,380 11,245 6/30/2004 10,995 11,573 7/31/2004 9,967 10,958 8/31/2004 10,131 11,122 9/30/2004 9,685 10,739 10/31/2004 9,975 11,026 11/30/2004 10,412 11,464 12/31/2004 11,151 12,025 1/31/2005 10,485 11,683 2/28/2005 10,734 11,902 3/31/2005 10,240 11,587 4/30/2005 9,858 11,149 5/31/2005 9,645 11,176 6/30/2005 9,637 11,135 7/31/2005 9,754 11,245 8/31/2005 10,770 12,120 9/30/2005 11,978 13,311 10/31/2005 11,641 13,064 11/30/2005 12,095 13,611 12/31/2005 13,420 14,720 1/31/2006 14,038 15,417 2/28/2006 13,717 15,294 3/31/2006 14,384 15,677 4/30/2006 14,962 16,211 5/31/2006 13,829 15,130 6/30/2006 13,508 15,048 7/31/2006 13,396 15,075 8/31/2006 13,548 15,267 9/30/2006 13,215 14,966 10/31/2006 13,528 15,321 11/30/2006 13,556 15,363 12/31/2006 14,109 15,759 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (10/01/01) -------------------------------------------------------------------------------- JAPAN ADVANTAGE FUND 5.14% 9.99% 6.78% TOPIX 100 INDEX 7.06% 11.42% 9.05% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE TOPIX 100 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] JAPAN ADVANTAGE FUND TOPIX 100 INDEX OTHER 8.8% FINANCIALS 40.2% UTILITIES 14.2% COMMUNICATIONS 10.8% INDUSTRIALS 10.2% CONSUMER, CYCLICAL 9.7% CONSUMER, NON-CYCLICAL 6.1% FUTURES CONTRACTS 33.5% EQUITY INDEX SWAP AGREEMENTS 91.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures. 22 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- DYNAMIC DOW FUND OBJECTIVE: To provide investment results that will match 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. INCEPTION: May 3, 2004 Large-cap stocks staged a strong rally in the second half of 2006 and the Dow Jones Industrial Average Index rose by 19.05%. The Dow broke through its record high at the beginning of October and continued to rise, with the index finishing the year just shy of 12,500. General Motors, AT&T and Hewlett-Packard were the best performing stocks in the Dow. Intel was the only stock in the Dow with negative returns during the year. For the year, Rydex Dynamic Dow Fund produced returns of 30.54%. It achieved a daily correlation of 99% to its benchmark of 200% of the daily price movement of the Dow Jones Industrial Average Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DOW JONES INDUSTRIAL DATE DYNAMIC DOW FUND AVERAGE INDEX 5/3/2004 10,000 10,000 5/4/2004 10,008 10,003 5/5/2004 10,000 9,997 5/6/2004 9,856 9,932 5/7/2004 9,624 9,812 5/8/2004 9,624 9,812 5/9/2004 9,624 9,812 5/10/2004 9,380 9,688 5/11/2004 9,436 9,719 5/12/2004 9,496 9,751 5/13/2004 9,428 9,717 5/14/2004 9,432 9,721 5/15/2004 9,432 9,721 5/16/2004 9,432 9,721 5/17/2004 9,228 9,618 5/18/2004 9,348 9,680 5/19/2004 9,304 9,657 5/20/2004 9,308 9,657 5/21/2004 9,360 9,685 5/22/2004 9,360 9,685 5/23/2004 9,360 9,685 5/24/2004 9,340 9,677 5/25/2004 9,640 9,832 5/26/2004 9,624 9,824 5/27/2004 9,804 9,917 5/28/2004 9,764 9,900 5/29/2004 9,764 9,900 5/30/2004 9,764 9,900 5/31/2004 9,764 9,900 6/1/2004 9,788 9,914 6/2/2004 9,908 9,976 6/3/2004 9,780 9,911 6/4/2004 9,864 9,956 6/5/2004 9,864 9,956 6/6/2004 9,864 9,956 6/7/2004 10,148 10,100 6/8/2004 10,228 10,141 6/9/2004 10,104 10,079 6/10/2004 10,184 10,120 6/11/2004 10,184 10,120 6/12/2004 10,184 10,120 6/13/2004 10,184 10,120 6/14/2004 10,048 10,053 6/15/2004 10,144 10,098 6/16/2004 10,140 10,097 6/17/2004 10,132 10,095 6/18/2004 10,204 10,133 6/19/2004 10,204 10,133 6/20/2004 10,204 10,133 6/21/2004 10,124 10,089 6/22/2004 10,172 10,112 6/23/2004 10,332 10,194 6/24/2004 10,264 10,161 6/25/2004 10,120 10,091 6/26/2004 10,120 10,091 6/27/2004 10,120 10,091 6/28/2004 10,088 10,076 6/29/2004 10,196 10,131 6/30/2004 10,244 10,153 7/1/2004 10,040 10,057 7/2/2004 9,936 10,007 7/3/2004 9,936 10,007 7/4/2004 9,936 10,007 7/5/2004 9,936 10,007 7/6/2004 9,820 9,945 7/7/2004 9,868 9,971 7/8/2004 9,728 9,904 7/9/2004 9,804 9,944 7/10/2004 9,804 9,944 7/11/2004 9,804 9,944 7/12/2004 9,848 9,969 7/13/2004 9,864 9,978 7/14/2004 9,784 9,940 7/15/2004 9,704 9,896 7/16/2004 9,664 9,876 7/17/2004 9,664 9,876 7/18/2004 9,664 9,876 7/19/2004 9,572 9,831 7/20/2004 9,676 9,885 7/21/2004 9,476 9,786 7/22/2004 9,484 9,791 7/23/2004 9,316 9,705 7/24/2004 9,316 9,705 7/25/2004 9,316 9,705 7/26/2004 9,316 9,704 7/27/2004 9,544 9,824 7/28/2004 9,604 9,856 7/29/2004 9,636 9,870 7/30/2004 9,648 9,881 7/31/2004 9,648 9,881 8/1/2004 9,648 9,881 8/2/2004 9,720 9,919 8/3/2004 9,608 9,862 8/4/2004 9,624 9,869 8/5/2004 9,308 9,710 8/6/2004 9,036 9,567 8/7/2004 9,036 9,567 8/8/2004 9,036 9,567 8/9/2004 9,036 9,566 8/10/2004 9,272 9,693 8/11/2004 9,280 9,698 8/12/2004 9,044 9,577 8/13/2004 9,064 9,589 8/14/2004 9,064 9,589 8/15/2004 9,064 9,589 8/16/2004 9,300 9,716 8/17/2004 9,336 9,733 8/18/2004 9,548 9,849 8/19/2004 9,464 9,807 8/20/2004 9,600 9,875 8/21/2004 9,600 9,875 8/22/2004 9,600 9,875 8/23/2004 9,532 9,839 8/24/2004 9,576 9,864 8/25/2004 9,736 9,945 8/26/2004 9,716 9,937 8/27/2004 9,764 9,958 8/28/2004 9,764 9,958 8/29/2004 9,764 9,958 8/30/2004 9,624 9,888 8/31/2004 9,712 9,938 9/1/2004 9,708 9,936 9/2/2004 9,948 10,055 9/3/2004 9,888 10,026 9/4/2004 9,888 10,026 9/5/2004 9,888 10,026 9/6/2004 9,888 10,026 9/7/2004 10,036 10,107 9/8/2004 9,976 10,078 9/9/2004 9,928 10,054 9/10/2004 9,960 10,078 9/11/2004 9,960 10,078 9/12/2004 9,960 10,078 9/13/2004 9,972 10,087 9/14/2004 9,988 10,090 9/15/2004 9,808 10,005 9/16/2004 9,832 10,018 9/17/2004 9,912 10,057 9/18/2004 9,912 10,057 9/19/2004 9,912 10,057 9/20/2004 9,748 9,979 9/21/2004 9,820 10,019 9/22/2004 9,548 9,886 9/23/2004 9,420 9,819 9/24/2004 9,432 9,827 9/25/2004 9,432 9,827 9/26/2004 9,432 9,827 9/27/2004 9,320 9,769 9/28/2004 9,488 9,856 9/29/2004 9,596 9,914 9/30/2004 9,488 9,859 10/1/2004 9,700 9,969 10/2/2004 9,700 9,969 10/3/2004 9,700 9,969 10/4/2004 9,744 9,995 10/5/2004 9,676 9,957 10/6/2004 9,796 10,024 10/7/2004 9,576 9,912 10/8/2004 9,444 9,843 10/9/2004 9,444 9,843 10/10/2004 9,444 9,843 10/11/2004 9,496 9,869 10/12/2004 9,480 9,864 10/13/2004 9,332 9,791 10/14/2004 9,144 9,685 10/15/2004 9,204 9,724 10/16/2004 9,204 9,724 10/17/2004 9,204 9,724 10/18/2004 9,248 9,746 10/19/2004 9,136 9,689 10/20/2004 9,116 9,680 10/21/2004 9,080 9,662 10/22/2004 8,884 9,556 10/23/2004 8,884 9,556 10/24/2004 8,884 9,556 10/25/2004 8,868 9,549 10/26/2004 9,112 9,684 10/27/2004 9,324 9,796 10/28/2004 9,332 9,801 10/29/2004 9,368 9,823 10/30/2004 9,368 9,823 10/31/2004 9,368 9,823 11/1/2004 9,416 9,850 11/2/2004 9,380 9,831 11/3/2004 9,572 9,932 11/4/2004 9,904 10,110 11/5/2004 10,048 10,181 11/6/2004 10,048 10,181 11/7/2004 10,048 10,181 11/8/2004 10,060 10,186 11/9/2004 10,064 10,186 11/10/2004 10,076 10,192 11/11/2004 10,240 10,274 11/12/2004 10,364 10,344 11/13/2004 10,364 10,344 11/14/2004 10,364 10,344 11/15/2004 10,384 10,356 11/16/2004 10,264 10,295 11/17/2004 10,424 10,362 11/18/2004 10,468 10,384 11/19/2004 10,236 10,271 11/20/2004 10,236 10,271 11/21/2004 10,236 10,271 11/22/2004 10,296 10,303 11/23/2004 10,304 10,306 11/24/2004 10,352 10,333 11/25/2004 10,352 10,333 11/26/2004 10,356 10,335 11/27/2004 10,356 10,335 11/28/2004 10,356 10,335 11/29/2004 10,264 10,291 11/30/2004 10,172 10,245 12/1/2004 10,488 10,408 12/2/2004 10,476 10,403 12/3/2004 10,488 10,410 12/4/2004 10,488 10,410 12/5/2004 10,488 10,410 12/6/2004 10,396 10,365 12/7/2004 10,188 10,261 12/8/2004 10,292 10,315 12/9/2004 10,408 10,373 12/10/2004 10,388 10,363 12/11/2004 10,388 10,363 12/12/2004 10,388 10,363 12/13/2004 10,572 10,457 12/14/2004 10,652 10,495 12/15/2004 10,680 10,510 12/16/2004 10,704 10,524 12/17/2004 10,600 10,470 12/18/2004 10,600 10,470 12/19/2004 10,600 10,470 12/20/2004 10,612 10,481 12/21/2004 10,804 10,577 12/22/2004 10,940 10,640 12/23/2004 10,968 10,651 12/24/2004 10,968 10,651 12/25/2004 10,968 10,651 12/26/2004 10,968 10,651 12/27/2004 10,860 10,601 12/28/2004 11,012 10,678 12/29/2004 10,960 10,653 12/30/2004 10,907 10,624 12/31/2004 10,865 10,607 1/1/2005 10,865 10,607 1/2/2005 10,865 10,607 1/3/2005 10,747 10,555 1/4/2005 10,554 10,460 1/5/2005 10,491 10,429 1/6/2005 10,546 10,458 1/7/2005 10,504 10,440 1/8/2005 10,504 10,440 1/9/2005 10,504 10,440 1/10/2005 10,538 10,456 1/11/2005 10,407 10,393 1/12/2005 10,529 10,453 1/13/2005 10,303 10,343 1/14/2005 10,399 10,394 1/15/2005 10,399 10,394 1/16/2005 10,399 10,394 1/17/2005 10,399 10,394 1/18/2005 10,542 10,467 1/19/2005 10,366 10,381 1/20/2005 10,231 10,314 1/21/2005 10,072 10,237 1/22/2005 10,072 10,237 1/23/2005 10,072 10,237 1/24/2005 10,026 10,213 1/25/2005 10,202 10,304 1/26/2005 10,273 10,341 1/27/2005 10,210 10,310 1/28/2005 10,126 10,270 1/29/2005 10,126 10,270 1/30/2005 10,126 10,270 1/31/2005 10,248 10,332 2/1/2005 10,370 10,393 2/2/2005 10,458 10,439 2/3/2005 10,458 10,439 2/4/2005 10,693 10,560 2/5/2005 10,693 10,560 2/6/2005 10,693 10,560 2/7/2005 10,693 10,560 2/8/2005 10,714 10,572 2/9/2005 10,605 10,519 2/10/2005 10,777 10,603 2/11/2005 10,877 10,653 2/12/2005 10,877 10,653 2/13/2005 10,877 10,653 2/14/2005 10,865 10,649 2/15/2005 10,953 10,695 2/16/2005 10,949 10,697 2/17/2005 10,789 10,618 2/18/2005 10,844 10,648 2/19/2005 10,844 10,648 2/20/2005 10,844 10,648 2/21/2005 10,844 10,648 2/22/2005 10,491 10,476 2/23/2005 10,617 10,541 2/24/2005 10,764 10,617 2/25/2005 10,949 10,709 2/26/2005 10,949 10,709 2/27/2005 10,949 10,709 2/28/2005 10,794 10,634 3/1/2005 10,924 10,697 3/2/2005 10,890 10,683 3/3/2005 10,928 10,704 3/4/2005 11,146 10,810 3/5/2005 11,146 10,810 3/6/2005 11,146 10,810 3/7/2005 11,133 10,806 3/8/2005 11,083 10,783 3/9/2005 10,865 10,677 3/10/2005 10,953 10,723 3/11/2005 10,810 10,654 3/12/2005 10,810 10,654 3/13/2005 10,810 10,654 3/14/2005 10,865 10,684 3/15/2005 10,752 10,625 3/16/2005 10,521 10,516 3/17/2005 10,508 10,509 3/18/2005 10,504 10,512 3/19/2005 10,504 10,512 3/20/2005 10,504 10,512 3/21/2005 10,374 10,449 3/22/2005 10,185 10,355 3/23/2005 10,151 10,341 3/24/2005 10,126 10,328 3/25/2005 10,126 10,328 3/26/2005 10,126 10,328 3/27/2005 10,126 10,328 3/28/2005 10,210 10,370 3/29/2005 10,047 10,291 3/30/2005 10,311 10,426 3/31/2005 10,227 10,389 4/1/2005 10,030 10,290 4/2/2005 10,030 10,290 4/3/2005 10,030 10,290 4/4/2005 10,063 10,310 4/5/2005 10,143 10,346 4/6/2005 10,202 10,379 4/7/2005 10,319 10,439 4/8/2005 10,147 10,355 4/9/2005 10,147 10,355 4/10/2005 10,147 10,355 4/11/2005 10,126 10,342 4/12/2005 10,235 10,401 4/13/2005 10,026 10,298 4/14/2005 9,786 10,174 4/15/2005 9,417 9,985 4/16/2005 9,417 9,985 4/17/2005 9,417 9,985 4/18/2005 9,384 9,969 4/19/2005 9,488 10,024 4/20/2005 9,270 9,912 4/21/2005 9,660 10,120 4/22/2005 9,543 10,059 4/23/2005 9,543 10,059 4/24/2005 9,543 10,059 4/25/2005 9,702 10,143 4/26/2005 9,526 10,053 4/27/2005 9,610 10,100 4/28/2005 9,371 9,976 4/29/2005 9,589 10,097 4/30/2005 9,589 10,097 5/1/2005 9,589 10,097 5/2/2005 9,711 10,156 5/3/2005 9,715 10,161 5/4/2005 9,954 10,289 5/5/2005 9,875 10,245 5/6/2005 9,883 10,252 5/7/2005 9,883 10,252 5/8/2005 9,883 10,252 5/9/2005 9,950 10,290 5/10/2005 9,749 10,188 5/11/2005 9,799 10,215 5/12/2005 9,593 10,105 5/13/2005 9,501 10,058 5/14/2005 9,501 10,058 5/15/2005 9,501 10,058 5/16/2005 9,711 10,170 5/17/2005 9,866 10,253 5/18/2005 10,114 10,394 5/19/2005 10,168 10,422 5/20/2005 10,126 10,401 5/21/2005 10,126 10,401 5/22/2005 10,126 10,401 5/23/2005 10,227 10,452 5/24/2005 10,185 10,433 5/25/2005 10,093 10,387 5/26/2005 10,244 10,466 5/27/2005 10,252 10,471 5/28/2005 10,252 10,471 5/29/2005 10,252 10,471 5/30/2005 10,252 10,471 5/31/2005 10,105 10,397 6/1/2005 10,256 10,482 6/2/2005 10,269 10,486 6/3/2005 10,089 10,394 6/4/2005 10,089 10,394 6/5/2005 10,089 10,394 6/6/2005 10,093 10,400 6/7/2005 10,126 10,417 6/8/2005 10,110 10,410 6/9/2005 10,160 10,436 6/10/2005 10,172 10,446 6/11/2005 10,172 10,446 6/12/2005 10,172 10,446 6/13/2005 10,206 10,464 6/14/2005 10,256 10,489 6/15/2005 10,286 10,508 6/16/2005 10,307 10,520 6/17/2005 10,395 10,564 6/18/2005 10,395 10,564 6/19/2005 10,395 10,564 6/20/2005 10,366 10,550 6/21/2005 10,345 10,541 6/22/2005 10,324 10,529 6/23/2005 9,992 10,365 6/24/2005 9,757 10,242 6/25/2005 9,757 10,242 6/26/2005 9,757 10,242 6/27/2005 9,740 10,235 6/28/2005 9,958 10,349 6/29/2005 9,900 10,319 6/30/2005 9,707 10,220 7/1/2005 9,761 10,251 7/2/2005 9,761 10,251 7/3/2005 9,761 10,251 7/4/2005 9,761 10,251 7/5/2005 9,887 10,319 7/6/2005 9,707 10,224 7/7/2005 9,761 10,256 7/8/2005 10,038 10,402 7/9/2005 10,038 10,402 7/10/2005 10,038 10,402 7/11/2005 10,172 10,472 7/12/2005 10,160 10,466 7/13/2005 10,240 10,510 7/14/2005 10,386 10,581 7/15/2005 10,399 10,593 7/16/2005 10,399 10,593 7/17/2005 10,399 10,593 7/18/2005 10,273 10,527 7/19/2005 10,407 10,598 7/20/2005 10,491 10,645 7/21/2005 10,370 10,584 7/22/2005 10,416 10,607 7/23/2005 10,416 10,607 7/24/2005 10,416 10,607 7/25/2005 10,307 10,553 7/26/2005 10,277 10,536 7/27/2005 10,386 10,593 7/28/2005 10,521 10,665 7/29/2005 10,395 10,600 7/30/2005 10,395 10,600 7/31/2005 10,395 10,600 8/1/2005 10,353 10,583 8/2/2005 10,470 10,643 8/3/2005 10,500 10,659 8/4/2005 10,328 10,572 8/5/2005 10,223 10,520 8/6/2005 10,223 10,520 8/7/2005 10,223 10,520 8/8/2005 10,181 10,500 8/9/2005 10,332 10,579 8/10/2005 10,311 10,567 8/11/2005 10,487 10,662 8/12/2005 10,319 10,576 8/13/2005 10,319 10,576 8/14/2005 10,319 10,576 8/15/2005 10,386 10,611 8/16/2005 10,147 10,490 8/17/2005 10,231 10,535 8/18/2005 10,235 10,539 8/19/2005 10,248 10,546 8/20/2005 10,248 10,546 8/21/2005 10,248 10,546 8/22/2005 10,269 10,557 8/23/2005 10,168 10,507 8/24/2005 10,000 10,422 8/25/2005 10,030 10,438 8/26/2005 9,925 10,385 8/27/2005 9,925 10,385 8/28/2005 9,925 10,385 8/29/2005 10,051 10,450 8/30/2005 9,954 10,401 8/31/2005 10,089 10,474 9/1/2005 10,047 10,452 9/2/2005 10,017 10,440 9/3/2005 10,017 10,440 9/4/2005 10,017 10,440 9/5/2005 10,017 10,440 9/6/2005 10,294 10,581 9/7/2005 10,374 10,626 9/8/2005 10,296 10,588 9/9/2005 10,449 10,671 9/10/2005 10,449 10,671 9/11/2005 10,449 10,671 9/12/2005 10,463 10,676 9/13/2005 10,310 10,599 9/14/2005 10,202 10,546 9/15/2005 10,229 10,560 9/16/2005 10,382 10,643 9/17/2005 10,382 10,643 9/18/2005 10,382 10,643 9/19/2005 10,220 10,559 9/20/2005 10,067 10,483 9/21/2005 9,865 10,379 9/22/2005 9,950 10,425 9/23/2005 9,941 10,423 9/24/2005 9,941 10,423 9/25/2005 9,941 10,423 9/26/2005 9,986 10,447 9/27/2005 10,009 10,459 9/28/2005 10,040 10,476 9/29/2005 10,188 10,556 9/30/2005 10,215 10,572 10/1/2005 10,215 10,572 10/2/2005 10,215 10,572 10/3/2005 10,148 10,539 10/4/2005 9,968 10,447 10/5/2005 9,744 10,330 10/6/2005 9,685 10,299 10/7/2005 9,694 10,305 10/8/2005 9,694 10,305 10/9/2005 9,694 10,305 10/10/2005 9,587 10,251 10/11/2005 9,613 10,266 10/12/2005 9,542 10,229 10/13/2005 9,537 10,229 10/14/2005 9,672 10,300 10/15/2005 9,672 10,300 10/16/2005 9,672 10,300 10/17/2005 9,780 10,361 10/18/2005 9,663 10,298 10/19/2005 9,905 10,429 10/20/2005 9,649 10,298 10/21/2005 9,528 10,232 10/22/2005 9,528 10,232 10/23/2005 9,528 10,232 10/24/2005 9,843 10,402 10/25/2005 9,829 10,395 10/26/2005 9,762 10,362 10/27/2005 9,546 10,246 10/28/2005 9,861 10,420 10/29/2005 9,861 10,420 10/30/2005 9,861 10,420 10/31/2005 9,932 10,457 11/1/2005 9,870 10,424 11/2/2005 9,991 10,491 11/3/2005 10,094 10,545 11/4/2005 10,103 10,553 11/5/2005 10,103 10,553 11/6/2005 10,103 10,553 11/7/2005 10,206 10,609 11/8/2005 10,144 10,574 11/9/2005 10,153 10,580 11/10/2005 10,350 10,683 11/11/2005 10,427 10,729 11/12/2005 10,427 10,729 11/13/2005 10,427 10,729 11/14/2005 10,454 10,740 11/15/2005 10,427 10,730 11/16/2005 10,413 10,722 11/17/2005 10,494 10,767 11/18/2005 10,588 10,816 11/19/2005 10,588 10,816 11/20/2005 10,588 10,816 11/21/2005 10,692 10,870 11/22/2005 10,790 10,925 11/23/2005 10,880 10,970 11/24/2005 10,880 10,970 11/25/2005 10,912 10,986 11/26/2005 10,912 10,986 11/27/2005 10,912 10,986 11/28/2005 10,826 10,945 11/29/2005 10,831 10,945 11/30/2005 10,674 10,867 12/1/2005 10,880 10,974 12/2/2005 10,808 10,939 12/3/2005 10,808 10,939 12/4/2005 10,808 10,939 12/5/2005 10,723 10,896 12/6/2005 10,764 10,918 12/7/2005 10,669 10,872 12/8/2005 10,561 10,818 12/9/2005 10,602 10,841 12/10/2005 10,602 10,841 12/11/2005 10,602 10,841 12/12/2005 10,584 10,831 12/13/2005 10,687 10,887 12/14/2005 10,804 10,949 12/15/2005 10,799 10,947 12/16/2005 10,786 10,941 12/17/2005 10,786 10,941 12/18/2005 10,786 10,941 12/19/2005 10,705 10,901 12/20/2005 10,642 10,870 12/21/2005 10,696 10,899 12/22/2005 10,804 10,957 12/23/2005 10,800 10,957 12/24/2005 10,800 10,957 12/25/2005 10,800 10,957 12/26/2005 10,800 10,957 12/27/2005 10,587 10,851 12/28/2005 10,614 10,869 12/29/2005 10,596 10,858 12/30/2005 10,451 10,790 12/31/2005 10,451 10,790 1/1/2006 10,451 10,790 1/2/2006 10,451 10,790 1/3/2006 10,709 10,921 1/4/2006 10,777 10,958 1/5/2006 10,781 10,960 1/6/2006 10,935 11,043 1/7/2006 10,935 11,043 1/8/2006 10,935 11,043 1/9/2006 11,039 11,096 1/10/2006 11,039 11,096 1/11/2006 11,098 11,128 1/12/2006 10,935 11,046 1/13/2006 10,926 11,044 1/14/2006 10,926 11,044 1/15/2006 10,926 11,044 1/16/2006 10,926 11,044 1/17/2006 10,795 10,980 1/18/2006 10,723 10,942 1/19/2006 10,768 10,968 1/20/2006 10,343 10,753 1/21/2006 10,343 10,753 1/22/2006 10,343 10,753 1/23/2006 10,379 10,775 1/24/2006 10,424 10,798 1/25/2006 10,420 10,796 1/26/2006 10,610 10,896 1/27/2006 10,795 10,995 1/28/2006 10,795 10,995 1/29/2006 10,795 10,995 1/30/2006 10,786 10,988 1/31/2006 10,714 10,952 2/1/2006 10,881 11,043 2/2/2006 10,686 10,944 2/3/2006 10,569 10,886 2/4/2006 10,569 10,886 2/5/2006 10,569 10,886 2/6/2006 10,578 10,891 2/7/2006 10,487 10,842 2/8/2006 10,696 10,961 2/9/2006 10,750 10,986 2/10/2006 10,822 11,022 2/11/2006 10,822 11,022 2/12/2006 10,822 11,022 2/13/2006 10,772 10,998 2/14/2006 11,039 11,137 2/15/2006 11,098 11,170 2/16/2006 11,216 11,233 2/17/2006 11,207 11,227 2/18/2006 11,207 11,227 2/19/2006 11,207 11,227 2/20/2006 11,207 11,227 2/21/2006 11,116 11,181 2/22/2006 11,252 11,253 2/23/2006 11,125 11,188 2/24/2006 11,112 11,184 2/25/2006 11,112 11,184 2/26/2006 11,112 11,184 2/27/2006 11,175 11,220 2/28/2006 10,962 11,114 3/1/2006 11,080 11,176 3/2/2006 11,030 11,148 3/3/2006 11,012 11,144 3/4/2006 11,012 11,144 3/5/2006 11,012 11,144 3/6/2006 10,890 11,080 3/7/2006 10,926 11,104 3/8/2006 10,985 11,132 3/9/2006 10,917 11,099 3/10/2006 11,116 11,204 3/11/2006 11,116 11,204 3/12/2006 11,116 11,204 3/13/2006 11,134 11,213 3/14/2006 11,284 11,289 3/15/2006 11,406 11,350 3/16/2006 11,492 11,394 3/17/2006 11,537 11,421 3/18/2006 11,537 11,421 3/19/2006 11,537 11,421 3/20/2006 11,528 11,415 3/21/2006 11,442 11,376 3/22/2006 11,600 11,459 3/23/2006 11,510 11,411 3/24/2006 11,514 11,421 3/25/2006 11,514 11,421 3/26/2006 11,514 11,421 3/27/2006 11,460 11,391 3/28/2006 11,261 11,294 3/29/2006 11,379 11,356 3/30/2006 11,247 11,290 3/31/2006 11,157 11,248 4/1/2006 11,157 11,248 4/2/2006 11,157 11,248 4/3/2006 11,225 11,284 4/4/2006 11,347 11,347 4/5/2006 11,419 11,384 4/6/2006 11,383 11,366 4/7/2006 11,180 11,269 4/8/2006 11,180 11,269 4/9/2006 11,180 11,269 4/10/2006 11,216 11,290 4/11/2006 11,112 11,238 4/12/2006 11,189 11,279 4/13/2006 11,198 11,286 4/14/2006 11,198 11,286 4/15/2006 11,198 11,286 4/16/2006 11,198 11,286 4/17/2006 11,071 11,222 4/18/2006 11,451 11,419 4/19/2006 11,478 11,432 4/20/2006 11,605 11,499 4/21/2006 11,609 11,504 4/22/2006 11,609 11,504 4/23/2006 11,609 11,504 4/24/2006 11,587 11,492 4/25/2006 11,478 11,439 4/26/2006 11,614 11,511 4/27/2006 11,677 11,543 4/28/2006 11,650 11,528 4/29/2006 11,650 11,528 4/30/2006 11,650 11,528 5/1/2006 11,596 11,503 5/2/2006 11,741 11,578 5/3/2006 11,713 11,563 5/4/2006 11,786 11,602 5/5/2006 12,071 11,743 5/6/2006 12,071 11,743 5/7/2006 12,071 11,743 5/8/2006 12,089 11,753 5/9/2006 12,198 11,809 5/10/2006 12,216 11,821 5/11/2006 11,926 11,679 5/12/2006 11,668 11,558 5/13/2006 11,668 11,558 5/14/2006 11,668 11,558 5/15/2006 11,763 11,607 5/16/2006 11,750 11,598 5/17/2006 11,315 11,389 5/18/2006 11,157 11,311 5/19/2006 11,180 11,327 5/20/2006 11,180 11,327 5/21/2006 11,180 11,327 5/22/2006 11,139 11,308 5/23/2006 11,085 11,280 5/24/2006 11,116 11,300 5/25/2006 11,311 11,398 5/26/2006 11,438 11,467 5/27/2006 11,438 11,467 5/28/2006 11,438 11,467 5/29/2006 11,438 11,467 5/30/2006 11,067 11,279 5/31/2006 11,207 11,359 6/1/2006 11,388 11,452 6/2/2006 11,365 11,440 6/3/2006 11,365 11,440 6/4/2006 11,365 11,440 6/5/2006 10,967 11,237 6/6/2006 10,872 11,191 6/7/2006 10,723 11,119 6/8/2006 10,736 11,127 6/9/2006 10,641 11,079 6/10/2006 10,641 11,079 6/11/2006 10,641 11,079 6/12/2006 10,447 10,979 6/13/2006 10,297 10,900 6/14/2006 10,505 11,012 6/15/2006 10,886 11,214 6/16/2006 10,881 11,214 6/17/2006 10,881 11,214 6/18/2006 10,881 11,214 6/19/2006 10,736 11,140 6/20/2006 10,795 11,173 6/21/2006 10,999 11,280 6/22/2006 10,876 11,220 6/23/2006 10,818 11,190 6/24/2006 10,818 11,190 6/25/2006 10,818 11,190 6/26/2006 10,917 11,247 6/27/2006 10,673 11,124 6/28/2006 10,768 11,174 6/29/2006 11,189 11,395 6/30/2006 11,116 11,354 7/1/2006 11,116 11,354 7/2/2006 11,116 11,354 7/3/2006 11,257 11,436 7/4/2006 11,257 11,436 7/5/2006 11,103 11,359 7/6/2006 11,252 11,440 7/7/2006 10,976 11,303 7/8/2006 10,976 11,303 7/9/2006 10,976 11,303 7/10/2006 10,999 11,316 7/11/2006 11,057 11,348 7/12/2006 10,813 11,224 7/13/2006 10,478 11,054 7/14/2006 10,270 10,945 7/15/2006 10,270 10,945 7/16/2006 10,270 10,945 7/17/2006 10,279 10,953 7/18/2006 10,383 11,009 7/19/2006 10,791 11,227 7/20/2006 10,632 11,142 7/21/2006 10,510 11,082 7/22/2006 10,510 11,082 7/23/2006 10,510 11,082 7/24/2006 10,858 11,268 7/25/2006 10,962 11,322 7/26/2006 10,953 11,320 7/27/2006 10,944 11,318 7/28/2006 11,175 11,440 7/29/2006 11,175 11,440 7/30/2006 11,175 11,440 7/31/2006 11,103 11,405 8/1/2006 10,985 11,344 8/2/2006 11,130 11,421 8/3/2006 11,225 11,469 8/4/2006 11,216 11,467 8/5/2006 11,216 11,467 8/6/2006 11,216 11,467 8/7/2006 11,171 11,446 8/8/2006 11,080 11,401 8/9/2006 10,899 11,308 8/10/2006 10,994 11,360 8/11/2006 10,917 11,326 8/12/2006 10,917 11,326 8/13/2006 10,917 11,326 8/14/2006 10,935 11,336 8/15/2006 11,198 11,472 8/16/2006 11,397 11,576 8/17/2006 11,410 11,584 8/18/2006 11,496 11,632 8/19/2006 11,496 11,632 8/20/2006 11,496 11,632 8/21/2006 11,424 11,595 8/22/2006 11,410 11,589 8/23/2006 11,329 11,550 8/24/2006 11,342 11,557 8/25/2006 11,302 11,539 8/26/2006 11,302 11,539 8/27/2006 11,302 11,539 8/28/2006 11,433 11,609 8/29/2006 11,469 11,627 8/30/2006 11,501 11,645 8/31/2006 11,492 11,643 9/1/2006 11,655 11,728 9/2/2006 11,655 11,728 9/3/2006 11,655 11,728 9/4/2006 11,655 11,728 9/5/2006 11,664 11,734 9/6/2006 11,533 11,670 9/7/2006 11,383 11,593 9/8/2006 11,496 11,655 9/9/2006 11,496 11,655 9/10/2006 11,496 11,655 9/11/2006 11,505 11,661 9/12/2006 11,709 11,764 9/13/2006 11,818 11,820 9/14/2006 11,781 11,804 9/15/2006 11,845 11,838 9/16/2006 11,845 11,838 9/17/2006 11,845 11,838 9/18/2006 11,831 11,832 9/19/2006 11,799 11,818 9/20/2006 11,944 11,892 9/21/2006 11,781 11,812 9/22/2006 11,723 11,786 9/23/2006 11,723 11,786 9/24/2006 11,723 11,786 9/25/2006 11,858 11,856 9/26/2006 12,048 11,952 9/27/2006 12,089 11,972 9/28/2006 12,139 12,002 9/29/2006 12,057 11,961 9/30/2006 12,057 11,961 10/1/2006 12,057 11,961 10/2/2006 12,039 11,953 10/3/2006 12,152 12,011 10/4/2006 12,410 12,141 10/5/2006 12,460 12,164 10/6/2006 12,419 12,147 10/7/2006 12,419 12,147 10/8/2006 12,419 12,147 10/9/2006 12,433 12,155 10/10/2006 12,446 12,164 10/11/2006 12,415 12,149 10/12/2006 12,609 12,247 10/13/2006 12,632 12,260 10/14/2006 12,632 12,260 10/15/2006 12,632 12,260 10/16/2006 12,673 12,280 10/17/2006 12,605 12,249 10/18/2006 12,695 12,295 10/19/2006 12,741 12,317 10/20/2006 12,713 12,308 10/21/2006 12,713 12,308 10/22/2006 12,713 12,308 10/23/2006 12,953 12,425 10/24/2006 12,976 12,437 10/25/2006 12,980 12,444 10/26/2006 13,044 12,473 10/27/2006 12,885 12,398 10/28/2006 12,885 12,398 10/29/2006 12,885 12,398 10/30/2006 12,872 12,394 10/31/2006 12,854 12,388 11/1/2006 12,750 12,338 11/2/2006 12,722 12,330 11/3/2006 12,659 12,297 11/4/2006 12,659 12,297 11/5/2006 12,659 12,297 11/6/2006 12,903 12,420 11/7/2006 13,007 12,472 11/8/2006 13,062 12,499 11/9/2006 12,912 12,427 11/10/2006 12,912 12,432 11/11/2006 12,912 12,432 11/12/2006 12,912 12,432 11/13/2006 12,985 12,468 11/14/2006 13,170 12,557 11/15/2006 13,247 12,596 11/16/2006 13,365 12,653 11/17/2006 13,433 12,691 11/18/2006 13,433 12,691 11/19/2006 13,433 12,691 11/20/2006 13,378 12,664 11/21/2006 13,392 12,673 11/22/2006 13,401 12,679 11/23/2006 13,401 12,679 11/24/2006 13,302 12,634 11/25/2006 13,302 12,634 11/26/2006 13,302 12,634 11/27/2006 12,953 12,471 11/28/2006 12,985 12,488 11/29/2006 13,184 12,585 11/30/2006 13,170 12,580 12/1/2006 13,102 12,551 12/2/2006 13,102 12,551 12/3/2006 13,102 12,551 12/4/2006 13,297 12,643 12/5/2006 13,397 12,693 12/6/2006 13,351 12,673 12/7/2006 13,283 12,641 12/8/2006 13,333 12,671 12/9/2006 13,333 12,671 12/10/2006 13,333 12,671 12/11/2006 13,383 12,693 12/12/2006 13,349 12,680 12/13/2006 13,359 12,686 12/14/2006 13,572 12,788 12/15/2006 13,633 12,818 12/16/2006 13,633 12,818 12/17/2006 13,633 12,818 12/18/2006 13,618 12,813 12/19/2006 13,679 12,844 12/20/2006 13,658 12,837 12/21/2006 13,567 12,795 12/22/2006 13,405 12,722 12/23/2006 13,405 12,722 12/24/2006 13,405 12,722 12/25/2006 13,405 12,722 12/26/2006 13,537 12,788 12/27/2006 13,765 12,894 12/28/2006 13,735 12,885 12/29/2006 13,643 12,845 12/30/2006 13,643 12,845 12/31/2006 13,643 12,845 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- DYNAMIC DOW FUND 30.54% 12.37% DOW JONES INDUSTRIAL AVERAGE INDEX 19.05% 9.86% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES INDUSTRIAL AVERAGE INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] DOW JONES INDUSTRIAL DYNAMIC DOW FUND AVERAGE INDEX OTHER 10.9% 9.6% INDUSTRIALS 17.8% 24.0% CONSUMER STAPLES 11.7% 15.7% FINANCIALS 11.3% 15.2% INFORMATION TECHNOLOGY 9.0% 12.1% CONSUMER DISCRETIONARY 7.1% 9.6% HEALTH CARE 6.5% 8.7% MATERIALS 5.1% FUTURES CONTRACTS 55.0% EQUITY INDEX SWAP AGREEMENTS 71.9% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- International Business Machines Corp. 4.6% Boeing Co. 4.2% Altria Group, Inc. 4.1% 3M Co. 3.7% Exxon Mobil Corp. 3.6% American International Group, Inc. 3.4% Johnson & Johnson, Inc. 3.1% Procter & Gamble Co. 3.0% United Technologies Corp. 3.0% Caterpillar, Inc. 2.9% -------------------------------------------------------------------------------- Top Ten Total 35.6% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- INVERSE DYNAMIC DOW FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 200% of the inverse performance of the Dow Jones Industrial Average Index. INCEPTION: May 3, 2004 Large-cap stocks staged a strong rally in the second half of 2006 and the Dow Jones Industrial Average Index rose by 19.05%. The Dow broke through its record high at the beginning of October and continued to rise, with the index finishing the year just shy of 12,500. General Motors, AT&T and Hewlett-Packard were the best performing stocks in the Dow. Intel was the only stock in the Dow with negative returns during the year. For the year, Rydex Inverse Dynamic Dow Fund produced returns of -21.77%. It achieved a daily correlation of 99% to its benchmark of 200% of the inverse performance of the Dow Jones Industrial Average Index. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] INVERSE DYNAMIC DOW JONES INDUSTRIAL DATE DOW FUND AVERAGE INDEX 5/3/2004 10,000 10,000 5/4/2004 9,992 10,003 5/5/2004 9,996 9,997 5/6/2004 10,138 9,932 5/7/2004 10,378 9,812 5/8/2004 10,378 9,812 5/9/2004 10,378 9,812 5/10/2004 10,658 9,688 5/11/2004 10,586 9,719 5/12/2004 10,512 9,751 5/13/2004 10,592 9,717 5/14/2004 10,590 9,721 5/15/2004 10,590 9,721 5/16/2004 10,590 9,721 5/17/2004 10,812 9,618 5/18/2004 10,666 9,680 5/19/2004 10,718 9,657 5/20/2004 10,714 9,657 5/21/2004 10,650 9,685 5/22/2004 10,650 9,685 5/23/2004 10,650 9,685 5/24/2004 10,672 9,677 5/25/2004 10,336 9,832 5/26/2004 10,348 9,824 5/27/2004 10,160 9,917 5/28/2004 10,192 9,900 5/29/2004 10,192 9,900 5/30/2004 10,192 9,900 5/31/2004 10,192 9,900 6/1/2004 10,164 9,914 6/2/2004 10,038 9,976 6/3/2004 10,172 9,911 6/4/2004 10,076 9,956 6/5/2004 10,076 9,956 6/6/2004 10,076 9,956 6/7/2004 9,790 10,100 6/8/2004 9,710 10,141 6/9/2004 9,828 10,079 6/10/2004 9,748 10,120 6/11/2004 9,748 10,120 6/12/2004 9,748 10,120 6/13/2004 9,748 10,120 6/14/2004 9,876 10,053 6/15/2004 9,786 10,098 6/16/2004 9,790 10,097 6/17/2004 9,794 10,095 6/18/2004 9,726 10,133 6/19/2004 9,726 10,133 6/20/2004 9,726 10,133 6/21/2004 9,804 10,089 6/22/2004 9,758 10,112 6/23/2004 9,602 10,194 6/24/2004 9,664 10,161 6/25/2004 9,800 10,091 6/26/2004 9,800 10,091 6/27/2004 9,800 10,091 6/28/2004 9,828 10,076 6/29/2004 9,714 10,131 6/30/2004 9,672 10,153 7/1/2004 9,860 10,057 7/2/2004 9,962 10,007 7/3/2004 9,962 10,007 7/4/2004 9,962 10,007 7/5/2004 9,962 10,007 7/6/2004 10,080 9,945 7/7/2004 10,030 9,971 7/8/2004 10,168 9,904 7/9/2004 10,084 9,944 7/10/2004 10,084 9,944 7/11/2004 10,084 9,944 7/12/2004 10,036 9,969 7/13/2004 10,018 9,978 7/14/2004 10,102 9,940 7/15/2004 10,180 9,896 7/16/2004 10,224 9,876 7/17/2004 10,224 9,876 7/18/2004 10,224 9,876 7/19/2004 10,320 9,831 7/20/2004 10,206 9,885 7/21/2004 10,416 9,786 7/22/2004 10,410 9,791 7/23/2004 10,594 9,705 7/24/2004 10,594 9,705 7/25/2004 10,594 9,705 7/26/2004 10,584 9,704 7/27/2004 10,330 9,824 7/28/2004 10,264 9,856 7/29/2004 10,232 9,870 7/30/2004 10,220 9,881 7/31/2004 10,220 9,881 8/1/2004 10,220 9,881 8/2/2004 10,138 9,919 8/3/2004 10,266 9,862 8/4/2004 10,248 9,869 8/5/2004 10,580 9,710 8/6/2004 10,894 9,567 8/7/2004 10,894 9,567 8/8/2004 10,894 9,567 8/9/2004 10,890 9,566 8/10/2004 10,608 9,693 8/11/2004 10,596 9,698 8/12/2004 10,860 9,577 8/13/2004 10,828 9,589 8/14/2004 10,828 9,589 8/15/2004 10,828 9,589 8/16/2004 10,548 9,716 8/17/2004 10,508 9,733 8/18/2004 10,262 9,849 8/19/2004 10,350 9,807 8/20/2004 10,204 9,875 8/21/2004 10,204 9,875 8/22/2004 10,204 9,875 8/23/2004 10,276 9,839 8/24/2004 10,232 9,864 8/25/2004 10,060 9,945 8/26/2004 10,080 9,937 8/27/2004 10,032 9,958 8/28/2004 10,032 9,958 8/29/2004 10,032 9,958 8/30/2004 10,176 9,888 8/31/2004 10,076 9,938 9/1/2004 10,082 9,936 9/2/2004 9,838 10,055 9/3/2004 9,900 10,026 9/4/2004 9,900 10,026 9/5/2004 9,900 10,026 9/6/2004 9,900 10,026 9/7/2004 9,744 10,107 9/8/2004 9,798 10,078 9/9/2004 9,844 10,054 9/10/2004 9,788 10,078 9/11/2004 9,788 10,078 9/12/2004 9,788 10,078 9/13/2004 9,772 10,087 9/14/2004 9,760 10,090 9/15/2004 9,932 10,005 9/16/2004 9,908 10,018 9/17/2004 9,830 10,057 9/18/2004 9,830 10,057 9/19/2004 9,830 10,057 9/20/2004 9,986 9,979 9/21/2004 9,906 10,019 9/22/2004 10,174 9,886 9/23/2004 10,308 9,819 9/24/2004 10,294 9,827 9/25/2004 10,294 9,827 9/26/2004 10,294 9,827 9/27/2004 10,412 9,769 9/28/2004 10,230 9,856 9/29/2004 10,116 9,914 9/30/2004 10,228 9,859 10/1/2004 9,996 9,969 10/2/2004 9,996 9,969 10/3/2004 9,996 9,969 10/4/2004 9,948 9,995 10/5/2004 10,024 9,957 10/6/2004 9,892 10,024 10/7/2004 10,116 9,912 10/8/2004 10,260 9,843 10/9/2004 10,260 9,843 10/10/2004 10,260 9,843 10/11/2004 10,202 9,869 10/12/2004 10,216 9,864 10/13/2004 10,370 9,791 10/14/2004 10,592 9,685 10/15/2004 10,516 9,724 10/16/2004 10,516 9,724 10/17/2004 10,516 9,724 10/18/2004 10,466 9,746 10/19/2004 10,590 9,689 10/20/2004 10,612 9,680 10/21/2004 10,654 9,662 10/22/2004 10,886 9,556 10/23/2004 10,886 9,556 10/24/2004 10,886 9,556 10/25/2004 10,906 9,549 10/26/2004 10,602 9,684 10/27/2004 10,356 9,796 10/28/2004 10,346 9,801 10/29/2004 10,302 9,823 10/30/2004 10,302 9,823 10/31/2004 10,302 9,823 11/1/2004 10,248 9,850 11/2/2004 10,288 9,831 11/3/2004 10,074 9,932 11/4/2004 9,714 10,110 11/5/2004 9,578 10,181 11/6/2004 9,578 10,181 11/7/2004 9,578 10,181 11/8/2004 9,566 10,186 11/9/2004 9,566 10,186 11/10/2004 9,552 10,192 11/11/2004 9,398 10,274 11/12/2004 9,282 10,344 11/13/2004 9,282 10,344 11/14/2004 9,282 10,344 11/15/2004 9,262 10,356 11/16/2004 9,372 10,295 11/17/2004 9,246 10,362 11/18/2004 9,204 10,384 11/19/2004 9,406 10,271 11/20/2004 9,406 10,271 11/21/2004 9,406 10,271 11/22/2004 9,350 10,303 11/23/2004 9,344 10,306 11/24/2004 9,298 10,333 11/25/2004 9,298 10,333 11/26/2004 9,296 10,335 11/27/2004 9,296 10,335 11/28/2004 9,296 10,335 11/29/2004 9,378 10,291 11/30/2004 9,462 10,245 12/1/2004 9,172 10,408 12/2/2004 9,182 10,403 12/3/2004 9,174 10,410 12/4/2004 9,174 10,410 12/5/2004 9,174 10,410 12/6/2004 9,250 10,365 12/7/2004 9,432 10,261 12/8/2004 9,342 10,315 12/9/2004 9,236 10,373 12/10/2004 9,254 10,363 12/11/2004 9,254 10,363 12/12/2004 9,254 10,363 12/13/2004 9,088 10,457 12/14/2004 9,016 10,495 12/15/2004 8,998 10,510 12/16/2004 8,982 10,524 12/17/2004 9,060 10,470 12/18/2004 9,060 10,470 12/19/2004 9,060 10,470 12/20/2004 9,054 10,481 12/21/2004 8,896 10,577 12/22/2004 8,786 10,640 12/23/2004 8,760 10,651 12/24/2004 8,760 10,651 12/25/2004 8,760 10,651 12/26/2004 8,760 10,651 12/27/2004 8,848 10,601 12/28/2004 8,726 10,678 12/29/2004 8,772 10,653 12/30/2004 8,814 10,624 12/31/2004 8,853 10,607 1/1/2005 8,853 10,607 1/2/2005 8,853 10,607 1/3/2005 8,950 10,555 1/4/2005 9,109 10,460 1/5/2005 9,161 10,429 1/6/2005 9,116 10,458 1/7/2005 9,154 10,440 1/8/2005 9,154 10,440 1/9/2005 9,154 10,440 1/10/2005 9,126 10,456 1/11/2005 9,224 10,393 1/12/2005 9,128 10,453 1/13/2005 9,324 10,343 1/14/2005 9,232 10,394 1/15/2005 9,232 10,394 1/16/2005 9,232 10,394 1/17/2005 9,232 10,394 1/18/2005 9,105 10,467 1/19/2005 9,259 10,381 1/20/2005 9,380 10,314 1/21/2005 9,521 10,237 1/22/2005 9,521 10,237 1/23/2005 9,521 10,237 1/24/2005 9,560 10,213 1/25/2005 9,392 10,304 1/26/2005 9,333 10,341 1/27/2005 9,390 10,310 1/28/2005 9,470 10,270 1/29/2005 9,470 10,270 1/30/2005 9,470 10,270 1/31/2005 9,361 10,332 2/1/2005 9,245 10,393 2/2/2005 9,165 10,439 2/3/2005 9,169 10,439 2/4/2005 8,962 10,560 2/5/2005 8,962 10,560 2/6/2005 8,962 10,560 2/7/2005 8,960 10,560 2/8/2005 8,935 10,572 2/9/2005 9,036 10,519 2/10/2005 8,890 10,603 2/11/2005 8,804 10,653 2/12/2005 8,804 10,653 2/13/2005 8,804 10,653 2/14/2005 8,814 10,649 2/15/2005 8,745 10,695 2/16/2005 8,749 10,697 2/17/2005 8,872 10,618 2/18/2005 8,823 10,648 2/19/2005 8,823 10,648 2/20/2005 8,823 10,648 2/21/2005 8,823 10,648 2/22/2005 9,109 10,476 2/23/2005 8,995 10,541 2/24/2005 8,872 10,617 2/25/2005 8,724 10,709 2/26/2005 8,724 10,709 2/27/2005 8,724 10,709 2/28/2005 8,847 10,634 3/1/2005 8,739 10,697 3/2/2005 8,769 10,683 3/3/2005 8,743 10,704 3/4/2005 8,567 10,810 3/5/2005 8,567 10,810 3/6/2005 8,567 10,810 3/7/2005 8,575 10,806 3/8/2005 8,618 10,783 3/9/2005 8,784 10,677 3/10/2005 8,714 10,723 3/11/2005 8,825 10,654 3/12/2005 8,825 10,654 3/13/2005 8,825 10,654 3/14/2005 8,780 10,684 3/15/2005 8,872 10,625 3/16/2005 9,062 10,516 3/17/2005 9,075 10,509 3/18/2005 9,079 10,512 3/19/2005 9,079 10,512 3/20/2005 9,079 10,512 3/21/2005 9,187 10,449 3/22/2005 9,353 10,355 3/23/2005 9,384 10,341 3/24/2005 9,408 10,328 3/25/2005 9,408 10,328 3/26/2005 9,408 10,328 3/27/2005 9,408 10,328 3/28/2005 9,333 10,370 3/29/2005 9,480 10,291 3/30/2005 9,230 10,426 3/31/2005 9,300 10,389 4/1/2005 9,480 10,290 4/2/2005 9,480 10,290 4/3/2005 9,480 10,290 4/4/2005 9,449 10,310 4/5/2005 9,380 10,346 4/6/2005 9,324 10,379 4/7/2005 9,218 10,439 4/8/2005 9,372 10,355 4/9/2005 9,372 10,355 4/10/2005 9,372 10,355 4/11/2005 9,396 10,342 4/12/2005 9,292 10,401 4/13/2005 9,482 10,298 4/14/2005 9,708 10,174 4/15/2005 10,076 9,985 4/16/2005 10,076 9,985 4/17/2005 10,076 9,985 4/18/2005 10,113 9,969 4/19/2005 10,000 10,024 4/20/2005 10,230 9,912 4/21/2005 9,798 10,120 4/22/2005 9,918 10,059 4/23/2005 9,918 10,059 4/24/2005 9,918 10,059 4/25/2005 9,751 10,143 4/26/2005 9,929 10,053 4/27/2005 9,841 10,100 4/28/2005 10,086 9,976 4/29/2005 9,849 10,097 4/30/2005 9,849 10,097 5/1/2005 9,849 10,097 5/2/2005 9,726 10,156 5/3/2005 9,722 10,161 5/4/2005 9,484 10,289 5/5/2005 9,562 10,245 5/6/2005 9,556 10,252 5/7/2005 9,556 10,252 5/8/2005 9,556 10,252 5/9/2005 9,488 10,290 5/10/2005 9,683 10,188 5/11/2005 9,634 10,215 5/12/2005 9,839 10,105 5/13/2005 9,935 10,058 5/14/2005 9,935 10,058 5/15/2005 9,935 10,058 5/16/2005 9,714 10,170 5/17/2005 9,560 10,253 5/18/2005 9,302 10,394 5/19/2005 9,251 10,422 5/20/2005 9,292 10,401 5/21/2005 9,292 10,401 5/22/2005 9,292 10,401 5/23/2005 9,204 10,452 5/24/2005 9,240 10,433 5/25/2005 9,322 10,387 5/26/2005 9,181 10,466 5/27/2005 9,177 10,471 5/28/2005 9,177 10,471 5/29/2005 9,177 10,471 5/30/2005 9,177 10,471 5/31/2005 9,310 10,397 6/1/2005 9,167 10,482 6/2/2005 9,156 10,486 6/3/2005 9,320 10,394 6/4/2005 9,320 10,394 6/5/2005 9,320 10,394 6/6/2005 9,314 10,400 6/7/2005 9,286 10,417 6/8/2005 9,298 10,410 6/9/2005 9,253 10,436 6/10/2005 9,240 10,446 6/11/2005 9,240 10,446 6/12/2005 9,240 10,446 6/13/2005 9,212 10,464 6/14/2005 9,169 10,489 6/15/2005 9,140 10,508 6/16/2005 9,122 10,520 6/17/2005 9,048 10,564 6/18/2005 9,048 10,564 6/19/2005 9,048 10,564 6/20/2005 9,075 10,550 6/21/2005 9,093 10,541 6/22/2005 9,111 10,529 6/23/2005 9,402 10,365 6/24/2005 9,628 10,242 6/25/2005 9,628 10,242 6/26/2005 9,628 10,242 6/27/2005 9,644 10,235 6/28/2005 9,435 10,349 6/29/2005 9,492 10,319 6/30/2005 9,677 10,220 7/1/2005 9,621 10,251 7/2/2005 9,621 10,251 7/3/2005 9,621 10,251 7/4/2005 9,621 10,251 7/5/2005 9,499 10,319 7/6/2005 9,675 10,224 7/7/2005 9,619 10,256 7/8/2005 9,349 10,402 7/9/2005 9,349 10,402 7/10/2005 9,349 10,402 7/11/2005 9,226 10,472 7/12/2005 9,238 10,466 7/13/2005 9,167 10,510 7/14/2005 9,042 10,581 7/15/2005 9,027 10,593 7/16/2005 9,027 10,593 7/17/2005 9,027 10,593 7/18/2005 9,138 10,527 7/19/2005 9,017 10,598 7/20/2005 8,941 10,645 7/21/2005 9,046 10,584 7/22/2005 9,011 10,607 7/23/2005 9,011 10,607 7/24/2005 9,011 10,607 7/25/2005 9,105 10,553 7/26/2005 9,134 10,536 7/27/2005 9,038 10,593 7/28/2005 8,917 10,665 7/29/2005 9,032 10,600 7/30/2005 9,032 10,600 7/31/2005 9,032 10,600 8/1/2005 9,066 10,583 8/2/2005 8,964 10,643 8/3/2005 8,939 10,659 8/4/2005 9,089 10,572 8/5/2005 9,181 10,520 8/6/2005 9,181 10,520 8/7/2005 9,181 10,520 8/8/2005 9,220 10,500 8/9/2005 9,083 10,579 8/10/2005 9,105 10,567 8/11/2005 8,945 10,662 8/12/2005 9,093 10,576 8/13/2005 9,093 10,576 8/14/2005 9,093 10,576 8/15/2005 9,036 10,611 8/16/2005 9,245 10,490 8/17/2005 9,169 10,535 8/18/2005 9,165 10,539 8/19/2005 9,154 10,546 8/20/2005 9,154 10,546 8/21/2005 9,154 10,546 8/22/2005 9,138 10,557 8/23/2005 9,230 10,507 8/24/2005 9,380 10,422 8/25/2005 9,355 10,438 8/26/2005 9,456 10,385 8/27/2005 9,456 10,385 8/28/2005 9,456 10,385 8/29/2005 9,337 10,450 8/30/2005 9,429 10,401 8/31/2005 9,302 10,474 9/1/2005 9,341 10,452 9/2/2005 9,370 10,440 9/3/2005 9,370 10,440 9/4/2005 9,370 10,440 9/5/2005 9,370 10,440 9/6/2005 9,118 10,581 9/7/2005 9,046 10,626 9/8/2005 9,118 10,588 9/9/2005 8,982 10,671 9/10/2005 8,982 10,671 9/11/2005 8,982 10,671 9/12/2005 8,974 10,676 9/13/2005 9,105 10,599 9/14/2005 9,197 10,546 9/15/2005 9,177 10,560 9/16/2005 9,038 10,643 9/17/2005 9,038 10,643 9/18/2005 9,038 10,643 9/19/2005 9,181 10,559 9/20/2005 9,314 10,483 9/21/2005 9,503 10,379 9/22/2005 9,423 10,425 9/23/2005 9,433 10,423 9/24/2005 9,433 10,423 9/25/2005 9,433 10,423 9/26/2005 9,390 10,447 9/27/2005 9,374 10,459 9/28/2005 9,345 10,476 9/29/2005 9,204 10,556 9/30/2005 9,183 10,572 10/1/2005 9,183 10,572 10/2/2005 9,183 10,572 10/3/2005 9,243 10,539 10/4/2005 9,404 10,447 10/5/2005 9,621 10,330 10/6/2005 9,681 10,299 10/7/2005 9,675 10,305 10/8/2005 9,675 10,305 10/9/2005 9,675 10,305 10/10/2005 9,779 10,251 10/11/2005 9,755 10,266 10/12/2005 9,835 10,229 10/13/2005 9,832 10,229 10/14/2005 9,695 10,300 10/15/2005 9,695 10,300 10/16/2005 9,695 10,300 10/17/2005 9,591 10,361 10/18/2005 9,703 10,298 10/19/2005 9,470 10,429 10/20/2005 9,718 10,298 10/21/2005 9,839 10,232 10/22/2005 9,839 10,232 10/23/2005 9,839 10,232 10/24/2005 9,513 10,402 10/25/2005 9,529 10,395 10/26/2005 9,593 10,362 10/27/2005 9,812 10,246 10/28/2005 9,492 10,420 10/29/2005 9,492 10,420 10/30/2005 9,492 10,420 10/31/2005 9,427 10,457 11/1/2005 9,488 10,424 11/2/2005 9,370 10,491 11/3/2005 9,277 10,545 11/4/2005 9,271 10,553 11/5/2005 9,271 10,553 11/6/2005 9,271 10,553 11/7/2005 9,177 10,609 11/8/2005 9,238 10,574 11/9/2005 9,230 10,580 11/10/2005 9,054 10,683 11/11/2005 8,980 10,729 11/12/2005 8,980 10,729 11/13/2005 8,980 10,729 11/14/2005 8,964 10,740 11/15/2005 8,984 10,730 11/16/2005 8,999 10,722 11/17/2005 8,927 10,767 11/18/2005 8,851 10,816 11/19/2005 8,851 10,816 11/20/2005 8,851 10,816 11/21/2005 8,765 10,870 11/22/2005 8,679 10,925 11/23/2005 8,612 10,970 11/24/2005 8,612 10,970 11/25/2005 8,591 10,986 11/26/2005 8,591 10,986 11/27/2005 8,591 10,986 11/28/2005 8,657 10,945 11/29/2005 8,671 10,945 11/30/2005 8,798 10,867 12/1/2005 8,628 10,974 12/2/2005 8,689 10,939 12/3/2005 8,689 10,939 12/4/2005 8,689 10,939 12/5/2005 8,759 10,896 12/6/2005 8,728 10,918 12/7/2005 8,804 10,872 12/8/2005 8,894 10,818 12/9/2005 8,864 10,841 12/10/2005 8,864 10,841 12/11/2005 8,864 10,841 12/12/2005 8,882 10,831 12/13/2005 8,792 10,887 12/14/2005 8,694 10,949 12/15/2005 8,700 10,947 12/16/2005 8,714 10,941 12/17/2005 8,714 10,941 12/18/2005 8,714 10,941 12/19/2005 8,782 10,901 12/20/2005 8,835 10,870 12/21/2005 8,790 10,899 12/22/2005 8,702 10,957 12/23/2005 8,710 10,957 12/24/2005 8,710 10,957 12/25/2005 8,710 10,957 12/26/2005 8,710 10,957 12/27/2005 8,883 10,851 12/28/2005 8,856 10,869 12/29/2005 8,877 10,858 12/30/2005 8,997 10,790 12/31/2005 8,997 10,790 1/1/2006 8,997 10,790 1/2/2006 8,997 10,790 1/3/2006 8,779 10,921 1/4/2006 8,725 10,958 1/5/2006 8,725 10,960 1/6/2006 8,600 11,043 1/7/2006 8,600 11,043 1/8/2006 8,600 11,043 1/9/2006 8,520 11,096 1/10/2006 8,522 11,096 1/11/2006 8,477 11,128 1/12/2006 8,602 11,046 1/13/2006 8,614 11,044 1/14/2006 8,614 11,044 1/15/2006 8,614 11,044 1/16/2006 8,614 11,044 1/17/2006 8,718 10,980 1/18/2006 8,783 10,942 1/19/2006 8,750 10,968 1/20/2006 9,093 10,753 1/21/2006 9,093 10,753 1/22/2006 9,093 10,753 1/23/2006 9,062 10,775 1/24/2006 9,024 10,798 1/25/2006 9,024 10,796 1/26/2006 8,862 10,896 1/27/2006 8,714 10,995 1/28/2006 8,714 10,995 1/29/2006 8,714 10,995 1/30/2006 8,727 10,988 1/31/2006 8,785 10,952 2/1/2006 8,645 11,043 2/2/2006 8,799 10,944 2/3/2006 8,902 10,886 2/4/2006 8,902 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11,415 3/21/2006 8,231 11,376 3/22/2006 8,118 11,459 3/23/2006 8,181 11,411 3/24/2006 8,181 11,421 3/25/2006 8,181 11,421 3/26/2006 8,181 11,421 3/27/2006 8,223 11,391 3/28/2006 8,366 11,294 3/29/2006 8,279 11,356 3/30/2006 8,375 11,290 3/31/2006 8,445 11,248 4/1/2006 8,445 11,248 4/2/2006 8,445 11,248 4/3/2006 8,395 11,284 4/4/2006 8,308 11,347 4/5/2006 8,258 11,384 4/6/2006 8,285 11,366 4/7/2006 8,433 11,269 4/8/2006 8,433 11,269 4/9/2006 8,433 11,269 4/10/2006 8,406 11,290 4/11/2006 8,487 11,238 4/12/2006 8,429 11,279 4/13/2006 8,427 11,286 4/14/2006 8,427 11,286 4/15/2006 8,427 11,286 4/16/2006 8,427 11,286 4/17/2006 8,522 11,222 4/18/2006 8,229 11,419 4/19/2006 8,210 11,432 4/20/2006 8,118 11,499 4/21/2006 8,121 11,504 4/22/2006 8,121 11,504 4/23/2006 8,121 11,504 4/24/2006 8,137 11,492 4/25/2006 8,216 11,439 4/26/2006 8,118 11,511 4/27/2006 8,075 11,543 4/28/2006 8,102 11,528 4/29/2006 8,102 11,528 4/30/2006 8,102 11,528 5/1/2006 8,139 11,503 5/2/2006 8,037 11,578 5/3/2006 8,060 11,563 5/4/2006 8,010 11,602 5/5/2006 7,823 11,743 5/6/2006 7,823 11,743 5/7/2006 7,823 11,743 5/8/2006 7,812 11,753 5/9/2006 7,741 11,809 5/10/2006 7,727 11,821 5/11/2006 7,914 11,679 5/12/2006 8,091 11,558 5/13/2006 8,091 11,558 5/14/2006 8,091 11,558 5/15/2006 8,027 11,607 5/16/2006 8,039 11,598 5/17/2006 8,333 11,389 5/18/2006 8,454 11,311 5/19/2006 8,439 11,327 5/20/2006 8,439 11,327 5/21/2006 8,439 11,327 5/22/2006 8,473 11,308 5/23/2006 8,514 11,280 5/24/2006 8,489 11,300 5/25/2006 8,345 11,398 5/26/2006 8,256 11,467 5/27/2006 8,256 11,467 5/28/2006 8,256 11,467 5/29/2006 8,256 11,467 5/30/2006 8,525 11,279 5/31/2006 8,414 11,359 6/1/2006 8,281 11,452 6/2/2006 8,302 11,440 6/3/2006 8,302 11,440 6/4/2006 8,302 11,440 6/5/2006 8,602 11,237 6/6/2006 8,685 11,191 6/7/2006 8,804 11,119 6/8/2006 8,795 11,127 6/9/2006 8,874 11,079 6/10/2006 8,874 11,079 6/11/2006 8,874 11,079 6/12/2006 9,039 10,979 6/13/2006 9,172 10,900 6/14/2006 8,985 11,012 6/15/2006 8,660 11,214 6/16/2006 8,660 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8,406 11,440 7/31/2006 8,458 11,405 8/1/2006 8,547 11,344 8/2/2006 8,439 11,421 8/3/2006 8,368 11,469 8/4/2006 8,381 11,467 8/5/2006 8,381 11,467 8/6/2006 8,381 11,467 8/7/2006 8,414 11,446 8/8/2006 8,485 11,401 8/9/2006 8,629 11,308 8/10/2006 8,554 11,360 8/11/2006 8,612 11,326 8/12/2006 8,612 11,326 8/13/2006 8,612 11,326 8/14/2006 8,600 11,336 8/15/2006 8,400 11,472 8/16/2006 8,260 11,576 8/17/2006 8,250 11,584 8/18/2006 8,193 11,632 8/19/2006 8,193 11,632 8/20/2006 8,193 11,632 8/21/2006 8,243 11,595 8/22/2006 8,256 11,589 8/23/2006 8,314 11,550 8/24/2006 8,308 11,557 8/25/2006 8,339 11,539 8/26/2006 8,339 11,539 8/27/2006 8,339 11,539 8/28/2006 8,245 11,609 8/29/2006 8,223 11,627 8/30/2006 8,202 11,645 8/31/2006 8,208 11,643 9/1/2006 8,100 11,728 9/2/2006 8,100 11,728 9/3/2006 8,100 11,728 9/4/2006 8,100 11,728 9/5/2006 8,093 11,734 9/6/2006 8,187 11,670 9/7/2006 8,298 11,593 9/8/2006 8,216 11,655 9/9/2006 8,216 11,655 9/10/2006 8,216 11,655 9/11/2006 8,212 11,661 9/12/2006 8,071 11,764 9/13/2006 7,998 11,820 9/14/2006 8,021 11,804 9/15/2006 7,985 11,838 9/16/2006 7,985 11,838 9/17/2006 7,985 11,838 9/18/2006 7,993 11,832 9/19/2006 8,016 11,818 9/20/2006 7,921 11,892 9/21/2006 8,029 11,812 9/22/2006 8,073 11,786 9/23/2006 8,073 11,786 9/24/2006 8,073 11,786 9/25/2006 7,979 11,856 9/26/2006 7,854 11,952 9/27/2006 7,831 11,972 9/28/2006 7,798 12,002 9/29/2006 7,856 11,961 9/30/2006 7,856 11,961 10/1/2006 7,856 11,961 10/2/2006 7,871 11,953 10/3/2006 7,796 12,011 10/4/2006 7,633 12,141 10/5/2006 7,606 12,164 10/6/2006 7,639 12,147 10/7/2006 7,639 12,147 10/8/2006 7,639 12,147 10/9/2006 7,631 12,155 10/10/2006 7,623 12,164 10/11/2006 7,646 12,149 10/12/2006 7,525 12,247 10/13/2006 7,517 12,260 10/14/2006 7,517 12,260 10/15/2006 7,517 12,260 10/16/2006 7,496 12,280 10/17/2006 7,535 12,249 10/18/2006 7,483 12,295 10/19/2006 7,458 12,317 10/20/2006 7,479 12,308 10/21/2006 7,479 12,308 10/22/2006 7,479 12,308 10/23/2006 7,340 12,425 10/24/2006 7,329 12,437 10/25/2006 7,325 12,444 10/26/2006 7,294 12,473 10/27/2006 7,389 12,398 10/28/2006 7,389 12,398 10/29/2006 7,389 12,398 10/30/2006 7,396 12,394 10/31/2006 7,406 12,388 11/1/2006 7,469 12,338 11/2/2006 7,483 12,330 11/3/2006 7,529 12,297 11/4/2006 7,529 12,297 11/5/2006 7,529 12,297 11/6/2006 7,383 12,420 11/7/2006 7,325 12,472 11/8/2006 7,296 12,499 11/9/2006 7,383 12,427 11/10/2006 7,385 12,432 11/11/2006 7,385 12,432 11/12/2006 7,385 12,432 11/13/2006 7,346 12,468 11/14/2006 7,242 12,557 11/15/2006 7,200 12,596 11/16/2006 7,137 12,653 11/17/2006 7,104 12,691 11/18/2006 7,104 12,691 11/19/2006 7,104 12,691 11/20/2006 7,135 12,664 11/21/2006 7,129 12,673 11/22/2006 7,127 12,679 11/23/2006 7,127 12,679 11/24/2006 7,185 12,634 11/25/2006 7,185 12,634 11/26/2006 7,185 12,634 11/27/2006 7,373 12,471 11/28/2006 7,356 12,488 11/29/2006 7,246 12,585 11/30/2006 7,254 12,580 12/1/2006 7,294 12,551 12/2/2006 7,294 12,551 12/3/2006 7,294 12,551 12/4/2006 7,190 12,643 12/5/2006 7,137 12,693 12/6/2006 7,162 12,673 12/7/2006 7,202 12,641 12/8/2006 7,177 12,671 12/9/2006 7,177 12,671 12/10/2006 7,177 12,671 12/11/2006 7,154 12,693 12/12/2006 7,172 12,680 12/13/2006 7,168 12,686 12/14/2006 7,056 12,788 12/15/2006 7,030 12,818 12/16/2006 7,030 12,818 12/17/2006 7,030 12,818 12/18/2006 7,039 12,813 12/19/2006 7,007 12,844 12/20/2006 7,020 12,837 12/21/2006 7,066 12,795 12/22/2006 7,159 12,722 12/23/2006 7,159 12,722 12/24/2006 7,159 12,722 12/25/2006 7,159 12,722 12/26/2006 7,087 12,788 12/27/2006 6,971 12,894 12/28/2006 6,986 12,885 12/29/2006 7,039 12,845 12/30/2006 7,039 12,845 12/31/2006 7,039 12,845 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- INVERSE DYNAMIC DOW FUND -21.77% -12.35% DOW JONES INDUSTRIAL AVERAGE INDEX 19.05% 9.86% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES INDUSTRIAL AVERAGE INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] INVERSE DYNAMIC DOW JONES INDUSTRIAL DOW FUND AVERAGE INDEX OTHER 9.6% INDUSTRIALS 24.0% CONSUMER STAPLES 15.7% FINANCIALS 15.2% INFORMATION TECHNOLOGY 12.1% CONSUMER DISCRETIONARY 9.6% HEALTH CARE 8.7% MATERIALS 5.1% FUTURES CONTRACTS SHORT SALES -27.9% EQUITY INDEX SWAP AGREEMENTS SHORT SALES -171.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as equity index swap agreements, futures contracts, and options on index futures. 24 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for small-cap value securities. The Fund's current benchmark is the S&P SmallCap 600/Citigroup Pure Value Index. INCEPTION: May 3, 2004 The S&P SmallCap 600/Citigroup Pure Value Index was the best performing pure style index in 2006, with a gain of 21.44%. Sector performance among small-capitalization stocks was strong as seven sectors posted double-digit returns. The largest contributors to performance came from the industrials, utilities, materials and consumer discretionary sectors. Rydex Small-Cap Value Fund gained 19.21% for the same period. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P SMALLCAP 600/ DATE SMALL-CAP VALUE FUND CITIGROUP PURE VALUE INDEX 5/3/2004 10,000 10,000 5/4/2004 10,072 10,091 5/5/2004 10,064 10,066 5/6/2004 9,964 9,942 5/7/2004 9,708 9,635 5/8/2004 9,708 9,635 5/9/2004 9,708 9,635 5/10/2004 9,536 9,461 5/11/2004 9,692 9,608 5/12/2004 9,728 9,647 5/13/2004 9,664 9,552 5/14/2004 9,640 9,492 5/15/2004 9,640 9,492 5/16/2004 9,640 9,492 5/17/2004 9,496 9,330 5/18/2004 9,628 9,516 5/19/2004 9,604 9,493 5/20/2004 9,648 9,552 5/21/2004 9,712 9,643 5/22/2004 9,712 9,643 5/23/2004 9,712 9,643 5/24/2004 9,828 9,734 5/25/2004 10,060 9,974 5/26/2004 10,056 9,967 5/27/2004 10,056 9,968 5/28/2004 10,052 9,972 5/29/2004 10,052 9,972 5/30/2004 10,052 9,972 5/31/2004 10,052 9,972 6/1/2004 10,108 10,052 6/2/2004 10,124 10,076 6/3/2004 9,960 9,921 6/4/2004 10,020 9,976 6/5/2004 10,020 9,976 6/6/2004 10,020 9,976 6/7/2004 10,232 10,205 6/8/2004 10,236 10,250 6/9/2004 10,108 10,114 6/10/2004 10,132 10,156 6/11/2004 10,132 10,156 6/12/2004 10,132 10,156 6/13/2004 10,132 10,156 6/14/2004 9,960 9,964 6/15/2004 10,124 10,151 6/16/2004 10,172 10,208 6/17/2004 10,212 10,277 6/18/2004 10,244 10,327 6/19/2004 10,244 10,327 6/20/2004 10,244 10,327 6/21/2004 10,216 10,317 6/22/2004 10,256 10,354 6/23/2004 10,376 10,488 6/24/2004 10,344 10,445 6/25/2004 10,448 10,607 6/26/2004 10,448 10,607 6/27/2004 10,448 10,607 6/28/2004 10,424 10,597 6/29/2004 10,532 10,720 6/30/2004 10,596 10,766 7/1/2004 10,476 10,635 7/2/2004 10,500 10,662 7/3/2004 10,500 10,662 7/4/2004 10,500 10,662 7/5/2004 10,500 10,662 7/6/2004 10,356 10,522 7/7/2004 10,356 10,521 7/8/2004 10,188 10,327 7/9/2004 10,224 10,333 7/10/2004 10,224 10,333 7/11/2004 10,224 10,333 7/12/2004 10,216 10,329 7/13/2004 10,252 10,365 7/14/2004 10,204 10,336 7/15/2004 10,248 10,367 7/16/2004 10,188 10,306 7/17/2004 10,188 10,306 7/18/2004 10,188 10,306 7/19/2004 10,180 10,302 7/20/2004 10,320 10,438 7/21/2004 10,088 10,186 7/22/2004 9,996 10,042 7/23/2004 9,924 9,972 7/24/2004 9,924 9,972 7/25/2004 9,924 9,972 7/26/2004 9,856 9,881 7/27/2004 10,016 10,083 7/28/2004 9,960 10,078 7/29/2004 10,096 10,253 7/30/2004 10,100 10,271 7/31/2004 10,100 10,271 8/1/2004 10,100 10,271 8/2/2004 10,140 10,294 8/3/2004 10,012 10,175 8/4/2004 10,024 10,174 8/5/2004 9,852 9,952 8/6/2004 9,640 9,743 8/7/2004 9,640 9,743 8/8/2004 9,640 9,743 8/9/2004 9,644 9,733 8/10/2004 9,824 9,926 8/11/2004 9,808 9,922 8/12/2004 9,608 9,731 8/13/2004 9,620 9,735 8/14/2004 9,620 9,735 8/15/2004 9,620 9,735 8/16/2004 9,836 9,949 8/17/2004 9,856 9,957 8/18/2004 10,016 10,090 8/19/2004 9,960 10,051 8/20/2004 10,136 10,212 8/21/2004 10,136 10,212 8/22/2004 10,136 10,212 8/23/2004 10,032 10,106 8/24/2004 10,092 10,142 8/25/2004 10,132 10,170 8/26/2004 10,116 10,190 8/27/2004 10,188 10,250 8/28/2004 10,188 10,250 8/29/2004 10,188 10,250 8/30/2004 10,064 10,156 8/31/2004 10,120 10,211 9/1/2004 10,192 10,272 9/2/2004 10,344 10,425 9/3/2004 10,276 10,365 9/4/2004 10,276 10,365 9/5/2004 10,276 10,365 9/6/2004 10,276 10,365 9/7/2004 10,408 10,504 9/8/2004 10,316 10,411 9/9/2004 10,448 10,554 9/10/2004 10,492 10,573 9/11/2004 10,492 10,573 9/12/2004 10,492 10,573 9/13/2004 10,536 10,582 9/14/2004 10,476 10,543 9/15/2004 10,436 10,488 9/16/2004 10,548 10,603 9/17/2004 10,556 10,589 9/18/2004 10,556 10,589 9/19/2004 10,556 10,589 9/20/2004 10,496 10,507 9/21/2004 10,628 10,636 9/22/2004 10,444 10,449 9/23/2004 10,444 10,449 9/24/2004 10,440 10,483 9/25/2004 10,440 10,483 9/26/2004 10,440 10,483 9/27/2004 10,340 10,367 9/28/2004 10,452 10,515 9/29/2004 10,564 10,619 9/30/2004 10,600 10,671 10/1/2004 10,828 10,911 10/2/2004 10,828 10,911 10/3/2004 10,828 10,911 10/4/2004 10,888 10,986 10/5/2004 10,856 10,938 10/6/2004 10,964 11,061 10/7/2004 10,756 10,878 10/8/2004 10,660 10,786 10/9/2004 10,660 10,786 10/10/2004 10,660 10,786 10/11/2004 10,652 10,777 10/12/2004 10,672 10,772 10/13/2004 10,520 10,552 10/14/2004 10,392 10,395 10/15/2004 10,472 10,491 10/16/2004 10,472 10,491 10/17/2004 10,472 10,491 10/18/2004 10,476 10,464 10/19/2004 10,384 10,310 10/20/2004 10,404 10,316 10/21/2004 10,528 10,447 10/22/2004 10,348 10,285 10/23/2004 10,348 10,285 10/24/2004 10,348 10,285 10/25/2004 10,420 10,384 10/26/2004 10,592 10,566 10/27/2004 10,752 10,681 10/28/2004 10,700 10,609 10/29/2004 10,672 10,585 10/30/2004 10,672 10,585 10/31/2004 10,672 10,585 11/1/2004 10,744 10,653 11/2/2004 10,712 10,646 11/3/2004 10,888 10,829 11/4/2004 11,016 10,983 11/5/2004 11,040 11,028 11/6/2004 11,040 11,028 11/7/2004 11,040 11,028 11/8/2004 10,996 10,988 11/9/2004 11,076 11,111 11/10/2004 11,116 11,157 11/11/2004 11,236 11,292 11/12/2004 11,332 11,382 11/13/2004 11,332 11,382 11/14/2004 11,332 11,382 11/15/2004 11,360 11,418 11/16/2004 11,256 11,333 11/17/2004 11,364 11,469 11/18/2004 11,356 11,446 11/19/2004 11,236 11,365 11/20/2004 11,236 11,365 11/21/2004 11,236 11,365 11/22/2004 11,392 11,549 11/23/2004 11,444 11,586 11/24/2004 11,544 11,662 11/25/2004 11,544 11,662 11/26/2004 11,572 11,711 11/27/2004 11,572 11,711 11/28/2004 11,572 11,711 11/29/2004 11,644 11,811 11/30/2004 11,616 11,799 12/1/2004 11,792 11,938 12/2/2004 11,724 11,864 12/3/2004 11,708 11,847 12/4/2004 11,708 11,847 12/5/2004 11,708 11,847 12/6/2004 11,652 11,761 12/7/2004 11,408 11,495 12/8/2004 11,492 11,588 12/9/2004 11,484 11,590 12/10/2004 11,520 11,646 12/11/2004 11,520 11,646 12/12/2004 11,520 11,646 12/13/2004 11,604 11,736 12/14/2004 11,664 11,781 12/15/2004 11,772 11,897 12/16/2004 11,676 11,842 12/17/2004 11,680 11,872 12/18/2004 11,680 11,872 12/19/2004 11,680 11,872 12/20/2004 11,580 11,822 12/21/2004 11,724 12,044 12/22/2004 11,772 12,069 12/23/2004 11,760 12,073 12/24/2004 11,760 12,073 12/25/2004 11,760 12,073 12/26/2004 11,760 12,073 12/27/2004 11,640 11,952 12/28/2004 11,828 12,161 12/29/2004 11,816 12,157 12/30/2004 11,803 12,118 12/31/2004 11,803 12,133 1/1/2005 11,803 12,133 1/2/2005 11,803 12,133 1/3/2005 11,574 11,905 1/4/2005 11,382 11,713 1/5/2005 11,181 11,500 1/6/2005 11,206 11,519 1/7/2005 11,079 11,424 1/8/2005 11,079 11,424 1/9/2005 11,079 11,424 1/10/2005 11,169 11,536 1/11/2005 11,054 11,386 1/12/2005 11,091 11,414 1/13/2005 11,022 11,373 1/14/2005 11,206 11,622 1/15/2005 11,206 11,622 1/16/2005 11,206 11,622 1/17/2005 11,206 11,622 1/18/2005 11,320 11,773 1/19/2005 11,210 11,631 1/20/2005 11,116 11,520 1/21/2005 11,087 11,493 1/22/2005 11,087 11,493 1/23/2005 11,087 11,493 1/24/2005 10,997 11,396 1/25/2005 11,017 11,437 1/26/2005 11,206 11,607 1/27/2005 11,218 11,638 1/28/2005 11,136 11,527 1/29/2005 11,136 11,527 1/30/2005 11,136 11,527 1/31/2005 11,357 11,801 2/1/2005 11,443 11,891 2/2/2005 11,517 11,987 2/3/2005 11,488 11,965 2/4/2005 11,627 12,070 2/5/2005 11,627 12,070 2/6/2005 11,627 12,070 2/7/2005 11,644 12,124 2/8/2005 11,672 12,165 2/9/2005 11,472 11,936 2/10/2005 11,500 11,940 2/11/2005 11,595 12,045 2/12/2005 11,595 12,045 2/13/2005 11,595 12,045 2/14/2005 11,599 12,081 2/15/2005 11,595 12,067 2/16/2005 11,676 12,200 2/17/2005 11,541 12,070 2/18/2005 11,554 12,090 2/19/2005 11,554 12,090 2/20/2005 11,554 12,090 2/21/2005 11,554 12,090 2/22/2005 11,337 11,803 2/23/2005 11,398 11,876 2/24/2005 11,529 12,032 2/25/2005 11,725 12,274 2/26/2005 11,725 12,274 2/27/2005 11,725 12,274 2/28/2005 11,685 12,222 3/1/2005 11,791 12,336 3/2/2005 11,746 12,308 3/3/2005 11,787 12,358 3/4/2005 11,934 12,564 3/5/2005 11,934 12,564 3/6/2005 11,934 12,564 3/7/2005 11,918 12,534 3/8/2005 11,828 12,402 3/9/2005 11,693 12,239 3/10/2005 11,611 12,113 3/11/2005 11,619 12,194 3/12/2005 11,619 12,194 3/13/2005 11,619 12,194 3/14/2005 11,672 12,214 3/15/2005 11,631 12,254 3/16/2005 11,574 12,197 3/17/2005 11,615 12,282 3/18/2005 11,578 12,217 3/19/2005 11,578 12,217 3/20/2005 11,578 12,217 3/21/2005 11,558 12,183 3/22/2005 11,500 12,154 3/23/2005 11,382 11,995 3/24/2005 11,435 12,115 3/25/2005 11,435 12,115 3/26/2005 11,435 12,115 3/27/2005 11,435 12,115 3/28/2005 11,431 12,055 3/29/2005 11,251 11,819 3/30/2005 11,443 12,025 3/31/2005 11,435 12,031 4/1/2005 11,357 11,962 4/2/2005 11,357 11,962 4/3/2005 11,357 11,962 4/4/2005 11,410 12,043 4/5/2005 11,406 12,070 4/6/2005 11,398 12,068 4/7/2005 11,500 12,173 4/8/2005 11,349 12,010 4/9/2005 11,349 12,010 4/10/2005 11,349 12,010 4/11/2005 11,283 11,952 4/12/2005 11,427 12,096 4/13/2005 11,230 11,867 4/14/2005 11,034 11,605 4/15/2005 10,825 11,368 4/16/2005 10,825 11,368 4/17/2005 10,825 11,368 4/18/2005 10,911 11,492 4/19/2005 11,071 11,681 4/20/2005 10,858 11,458 4/21/2005 11,067 11,662 4/22/2005 10,931 11,496 4/23/2005 10,931 11,496 4/24/2005 10,931 11,496 4/25/2005 11,067 11,641 4/26/2005 10,936 11,551 4/27/2005 10,940 11,490 4/28/2005 10,727 11,209 4/29/2005 10,801 11,280 4/30/2005 10,801 11,280 5/1/2005 10,801 11,280 5/2/2005 10,919 11,394 5/3/2005 10,878 11,346 5/4/2005 11,083 11,585 5/5/2005 11,042 11,539 5/6/2005 11,075 11,596 5/7/2005 11,075 11,596 5/8/2005 11,075 11,596 5/9/2005 11,173 11,713 5/10/2005 11,050 11,635 5/11/2005 11,083 11,671 5/12/2005 10,923 11,447 5/13/2005 10,821 11,312 5/14/2005 10,821 11,312 5/15/2005 10,821 11,312 5/16/2005 11,013 11,495 5/17/2005 11,067 11,564 5/18/2005 11,304 11,852 5/19/2005 11,341 11,871 5/20/2005 11,324 11,877 5/21/2005 11,324 11,877 5/22/2005 11,324 11,877 5/23/2005 11,386 11,954 5/24/2005 11,378 11,946 5/25/2005 11,251 11,846 5/26/2005 11,410 12,026 5/27/2005 11,443 12,086 5/28/2005 11,443 12,086 5/29/2005 11,443 12,086 5/30/2005 11,443 12,086 5/31/2005 11,431 12,085 6/1/2005 11,578 12,247 6/2/2005 11,619 12,289 6/3/2005 11,525 12,194 6/4/2005 11,525 12,194 6/5/2005 11,525 12,194 6/6/2005 11,586 12,273 6/7/2005 11,644 12,333 6/8/2005 11,582 12,276 6/9/2005 11,676 12,339 6/10/2005 11,672 12,361 6/11/2005 11,672 12,361 6/12/2005 11,672 12,361 6/13/2005 11,721 12,451 6/14/2005 11,852 12,585 6/15/2005 11,922 12,673 6/16/2005 12,012 12,796 6/17/2005 11,975 12,755 6/18/2005 11,975 12,755 6/19/2005 11,975 12,755 6/20/2005 11,930 12,743 6/21/2005 11,906 12,708 6/22/2005 11,942 12,743 6/23/2005 11,787 12,493 6/24/2005 11,652 12,311 6/25/2005 11,652 12,311 6/26/2005 11,652 12,311 6/27/2005 11,631 12,340 6/28/2005 11,865 12,596 6/29/2005 11,906 12,673 6/30/2005 11,856 12,587 7/1/2005 11,914 12,624 7/2/2005 11,914 12,624 7/3/2005 11,914 12,624 7/4/2005 11,914 12,624 7/5/2005 12,098 12,814 7/6/2005 11,996 12,715 7/7/2005 12,016 12,756 7/8/2005 12,233 12,993 7/9/2005 12,233 12,993 7/10/2005 12,233 12,993 7/11/2005 12,380 13,181 7/12/2005 12,380 13,147 7/13/2005 12,331 13,129 7/14/2005 12,266 13,008 7/15/2005 12,262 13,003 7/16/2005 12,262 13,003 7/17/2005 12,262 13,003 7/18/2005 12,176 12,940 7/19/2005 12,364 13,202 7/20/2005 12,540 13,389 7/21/2005 12,339 13,195 7/22/2005 12,528 13,406 7/23/2005 12,528 13,406 7/24/2005 12,528 13,406 7/25/2005 12,413 13,237 7/26/2005 12,462 13,363 7/27/2005 12,466 13,341 7/28/2005 12,593 13,574 7/29/2005 12,528 13,495 7/30/2005 12,528 13,495 7/31/2005 12,528 13,495 8/1/2005 12,573 13,545 8/2/2005 12,720 13,728 8/3/2005 12,634 13,660 8/4/2005 12,425 13,397 8/5/2005 12,274 13,156 8/6/2005 12,274 13,156 8/7/2005 12,274 13,156 8/8/2005 12,208 13,102 8/9/2005 12,225 13,136 8/10/2005 12,225 13,206 8/11/2005 12,356 13,335 8/12/2005 12,208 13,171 8/13/2005 12,208 13,171 8/14/2005 12,208 13,171 8/15/2005 12,278 13,270 8/16/2005 12,118 13,067 8/17/2005 12,102 13,048 8/18/2005 12,045 12,969 8/19/2005 12,057 13,016 8/20/2005 12,057 13,016 8/21/2005 12,057 13,016 8/22/2005 12,147 13,151 8/23/2005 12,086 13,070 8/24/2005 12,061 13,055 8/25/2005 12,114 13,137 8/26/2005 11,926 12,936 8/27/2005 11,926 12,936 8/28/2005 11,926 12,936 8/29/2005 12,053 13,096 8/30/2005 12,016 13,086 8/31/2005 12,258 13,439 9/1/2005 12,286 13,493 9/2/2005 12,208 13,419 9/3/2005 12,208 13,419 9/4/2005 12,208 13,419 9/5/2005 12,208 13,419 9/6/2005 12,376 13,657 9/7/2005 12,384 13,677 9/8/2005 12,325 13,542 9/9/2005 12,421 13,705 9/10/2005 12,421 13,705 9/11/2005 12,421 13,705 9/12/2005 12,462 13,731 9/13/2005 12,335 13,592 9/14/2005 12,243 13,478 9/15/2005 12,248 13,509 9/16/2005 12,335 13,610 9/17/2005 12,335 13,610 9/18/2005 12,335 13,610 9/19/2005 12,271 13,495 9/20/2005 12,134 13,340 9/21/2005 11,965 13,153 9/22/2005 11,969 13,133 9/23/2005 12,033 13,203 9/24/2005 12,033 13,203 9/25/2005 12,033 13,203 9/26/2005 12,115 13,315 9/27/2005 12,115 13,332 9/28/2005 12,061 13,252 9/29/2005 12,230 13,398 9/30/2005 12,266 13,437 10/1/2005 12,266 13,437 10/2/2005 12,266 13,437 10/3/2005 12,312 13,479 10/4/2005 12,193 13,370 10/5/2005 11,855 13,021 10/6/2005 11,777 13,002 10/7/2005 11,878 13,091 10/8/2005 11,878 13,091 10/9/2005 11,878 13,091 10/10/2005 11,759 12,952 10/11/2005 11,622 12,776 10/12/2005 11,499 12,617 10/13/2005 11,531 12,671 10/14/2005 11,682 12,775 10/15/2005 11,682 12,775 10/16/2005 11,682 12,775 10/17/2005 11,668 12,776 10/18/2005 11,545 12,689 10/19/2005 11,782 12,928 10/20/2005 11,549 12,702 10/21/2005 11,654 12,752 10/22/2005 11,654 12,752 10/23/2005 11,654 12,752 10/24/2005 11,914 13,006 10/25/2005 11,814 12,872 10/26/2005 11,727 12,811 10/27/2005 11,490 12,600 10/28/2005 11,736 12,837 10/29/2005 11,736 12,837 10/30/2005 11,736 12,837 10/31/2005 11,914 13,050 11/1/2005 11,883 13,003 11/2/2005 12,129 13,248 11/3/2005 12,134 13,250 11/4/2005 12,125 13,249 11/5/2005 12,125 13,249 11/6/2005 12,125 13,249 11/7/2005 12,193 13,365 11/8/2005 12,093 13,237 11/9/2005 12,138 13,310 11/10/2005 12,225 13,401 11/11/2005 12,248 13,398 11/12/2005 12,248 13,398 11/13/2005 12,248 13,398 11/14/2005 12,202 13,336 11/15/2005 12,061 13,139 11/16/2005 12,042 13,068 11/17/2005 12,248 13,269 11/18/2005 12,312 13,370 11/19/2005 12,312 13,370 11/20/2005 12,312 13,370 11/21/2005 12,417 13,522 11/22/2005 12,462 13,555 11/23/2005 12,499 13,634 11/24/2005 12,499 13,634 11/25/2005 12,499 13,647 11/26/2005 12,499 13,647 11/27/2005 12,499 13,647 11/28/2005 12,284 13,449 11/29/2005 12,348 13,508 11/30/2005 12,408 13,576 12/1/2005 12,622 13,782 12/2/2005 12,599 13,775 12/3/2005 12,599 13,775 12/4/2005 12,599 13,775 12/5/2005 12,536 13,735 12/6/2005 12,568 13,765 12/7/2005 12,476 13,685 12/8/2005 12,504 13,699 12/9/2005 12,549 13,772 12/10/2005 12,549 13,772 12/11/2005 12,549 13,772 12/12/2005 12,558 13,748 12/13/2005 12,558 13,738 12/14/2005 12,595 13,741 12/15/2005 12,462 13,629 12/16/2005 12,376 13,656 12/17/2005 12,376 13,656 12/18/2005 12,376 13,656 12/19/2005 12,230 13,537 12/20/2005 12,211 13,520 12/21/2005 12,294 13,600 12/22/2005 12,299 13,607 12/23/2005 12,366 13,684 12/24/2005 12,366 13,684 12/25/2005 12,366 13,684 12/26/2005 12,366 13,684 12/27/2005 12,204 13,503 12/28/2005 12,294 13,608 12/29/2005 12,299 13,614 12/30/2005 12,232 13,539 12/31/2005 12,232 13,539 1/1/2006 12,232 13,539 1/2/2006 12,232 13,539 1/3/2006 12,356 13,680 1/4/2006 12,418 13,746 1/5/2006 12,461 13,797 1/6/2006 12,561 13,912 1/7/2006 12,561 13,912 1/8/2006 12,561 13,912 1/9/2006 12,690 14,060 1/10/2006 12,809 14,189 1/11/2006 12,756 14,136 1/12/2006 12,671 14,038 1/13/2006 12,709 14,082 1/14/2006 12,709 14,082 1/15/2006 12,709 14,082 1/16/2006 12,709 14,082 1/17/2006 12,633 14,000 1/18/2006 12,747 14,129 1/19/2006 12,895 14,293 1/20/2006 12,771 14,158 1/21/2006 12,771 14,158 1/22/2006 12,771 14,158 1/23/2006 12,818 14,213 1/24/2006 13,014 14,431 1/25/2006 13,047 14,465 1/26/2006 13,285 14,733 1/27/2006 13,338 14,793 1/28/2006 13,338 14,793 1/29/2006 13,338 14,793 1/30/2006 13,271 14,722 1/31/2006 13,328 14,786 2/1/2006 13,338 14,795 2/2/2006 13,147 14,585 2/3/2006 13,061 14,490 2/4/2006 13,061 14,490 2/5/2006 13,061 14,490 2/6/2006 13,147 14,590 2/7/2006 13,004 14,432 2/8/2006 13,090 14,527 2/9/2006 13,028 14,457 2/10/2006 13,033 14,465 2/11/2006 13,033 14,465 2/12/2006 13,033 14,465 2/13/2006 12,909 14,329 2/14/2006 13,119 14,566 2/15/2006 13,204 14,657 2/16/2006 13,314 14,782 2/17/2006 13,333 14,804 2/18/2006 13,333 14,804 2/19/2006 13,333 14,804 2/20/2006 13,333 14,804 2/21/2006 13,209 14,670 2/22/2006 13,333 14,810 2/23/2006 13,285 14,756 2/24/2006 13,362 14,845 2/25/2006 13,362 14,845 2/26/2006 13,362 14,845 2/27/2006 13,476 14,971 2/28/2006 13,262 14,735 3/1/2006 13,419 14,910 3/2/2006 13,338 14,817 3/3/2006 13,290 14,769 3/4/2006 13,290 14,769 3/5/2006 13,290 14,769 3/6/2006 13,223 14,695 3/7/2006 13,038 14,488 3/8/2006 13,057 14,517 3/9/2006 12,995 14,452 3/10/2006 13,185 14,670 3/11/2006 13,185 14,670 3/12/2006 13,185 14,670 3/13/2006 13,195 14,682 3/14/2006 13,309 14,811 3/15/2006 13,376 14,887 3/16/2006 13,424 14,943 3/17/2006 13,500 15,028 3/18/2006 13,500 15,028 3/19/2006 13,500 15,028 3/20/2006 13,538 15,073 3/21/2006 13,347 14,858 3/22/2006 13,576 15,113 3/23/2006 13,619 15,166 3/24/2006 13,710 15,265 3/25/2006 13,710 15,265 3/26/2006 13,710 15,265 3/27/2006 13,714 15,270 3/28/2006 13,629 15,177 3/29/2006 13,862 15,437 3/30/2006 13,819 15,392 3/31/2006 13,848 15,422 4/1/2006 13,848 15,422 4/2/2006 13,848 15,422 4/3/2006 13,791 15,358 4/4/2006 13,867 15,446 4/5/2006 13,891 15,473 4/6/2006 13,886 15,467 4/7/2006 13,724 15,288 4/8/2006 13,724 15,288 4/9/2006 13,724 15,288 4/10/2006 13,633 15,193 4/11/2006 13,471 15,012 4/12/2006 13,547 15,096 4/13/2006 13,552 15,108 4/14/2006 13,552 15,108 4/15/2006 13,552 15,108 4/16/2006 13,552 15,108 4/17/2006 13,528 15,082 4/18/2006 13,833 15,423 4/19/2006 13,986 15,591 4/20/2006 13,962 15,567 4/21/2006 13,910 15,509 4/22/2006 13,910 15,509 4/23/2006 13,910 15,509 4/24/2006 13,833 15,427 4/25/2006 13,819 15,411 4/26/2006 13,843 15,438 4/27/2006 13,791 15,381 4/28/2006 13,857 15,459 4/29/2006 13,857 15,459 4/30/2006 13,857 15,459 5/1/2006 13,819 15,414 5/2/2006 13,981 15,594 5/3/2006 13,986 15,604 5/4/2006 14,029 15,652 5/5/2006 14,157 15,796 5/6/2006 14,157 15,796 5/7/2006 14,157 15,796 5/8/2006 14,172 15,815 5/9/2006 14,162 15,803 5/10/2006 14,024 15,650 5/11/2006 13,619 15,196 5/12/2006 13,343 14,893 5/13/2006 13,343 14,893 5/14/2006 13,343 14,893 5/15/2006 13,304 14,847 5/16/2006 13,314 14,857 5/17/2006 13,123 14,646 5/18/2006 13,023 14,534 5/19/2006 13,133 14,660 5/20/2006 13,133 14,660 5/21/2006 13,133 14,660 5/22/2006 13,081 14,605 5/23/2006 12,971 14,479 5/24/2006 13,066 14,586 5/25/2006 13,262 14,809 5/26/2006 13,223 14,757 5/27/2006 13,223 14,757 5/28/2006 13,223 14,757 5/29/2006 13,223 14,757 5/30/2006 12,899 14,399 5/31/2006 13,066 14,578 6/1/2006 13,300 14,847 6/2/2006 13,319 14,870 6/3/2006 13,319 14,870 6/4/2006 13,319 14,870 6/5/2006 12,952 14,461 6/6/2006 12,861 14,360 6/7/2006 12,833 14,330 6/8/2006 12,914 14,422 6/9/2006 12,809 14,304 6/10/2006 12,809 14,304 6/11/2006 12,809 14,304 6/12/2006 12,523 13,986 6/13/2006 12,337 13,777 6/14/2006 12,332 13,772 6/15/2006 12,728 14,214 6/16/2006 12,609 14,084 6/17/2006 12,609 14,084 6/18/2006 12,609 14,084 6/19/2006 12,413 13,866 6/20/2006 12,351 13,798 6/21/2006 12,556 14,026 6/22/2006 12,604 14,083 6/23/2006 12,614 14,098 6/24/2006 12,614 14,098 6/25/2006 12,614 14,098 6/26/2006 12,785 14,292 6/27/2006 12,599 14,081 6/28/2006 12,661 14,155 6/29/2006 13,119 14,664 6/30/2006 13,247 14,813 7/1/2006 13,247 14,813 7/2/2006 13,247 14,813 7/3/2006 13,295 14,869 7/4/2006 13,295 14,869 7/5/2006 13,166 14,724 7/6/2006 13,238 14,806 7/7/2006 13,033 14,576 7/8/2006 13,033 14,576 7/9/2006 13,033 14,576 7/10/2006 13,090 14,641 7/11/2006 13,176 14,741 7/12/2006 12,918 14,450 7/13/2006 12,647 14,144 7/14/2006 12,533 14,021 7/15/2006 12,533 14,021 7/16/2006 12,533 14,021 7/17/2006 12,442 13,918 7/18/2006 12,537 14,027 7/19/2006 12,923 14,452 7/20/2006 12,614 14,100 7/21/2006 12,423 13,892 7/22/2006 12,423 13,892 7/23/2006 12,423 13,892 7/24/2006 12,766 14,276 7/25/2006 12,909 14,438 7/26/2006 12,818 14,334 7/27/2006 12,671 14,170 7/28/2006 12,947 14,487 7/29/2006 12,947 14,487 7/30/2006 12,947 14,487 7/31/2006 12,961 14,504 8/1/2006 12,756 14,275 8/2/2006 12,785 14,309 8/3/2006 12,928 14,472 8/4/2006 12,842 14,373 8/5/2006 12,842 14,373 8/6/2006 12,842 14,373 8/7/2006 12,771 14,297 8/8/2006 12,604 14,108 8/9/2006 12,504 14,000 8/10/2006 12,580 14,084 8/11/2006 12,413 13,915 8/12/2006 12,413 13,915 8/13/2006 12,413 13,915 8/14/2006 12,480 13,993 8/15/2006 12,709 14,250 8/16/2006 12,852 14,413 8/17/2006 12,890 14,454 8/18/2006 12,933 14,504 8/19/2006 12,933 14,504 8/20/2006 12,933 14,504 8/21/2006 12,876 14,445 8/22/2006 12,961 14,541 8/23/2006 12,809 14,366 8/24/2006 12,756 14,308 8/25/2006 12,771 14,327 8/26/2006 12,771 14,327 8/27/2006 12,771 14,327 8/28/2006 12,895 14,469 8/29/2006 13,052 14,643 8/30/2006 13,085 14,685 8/31/2006 13,095 14,695 9/1/2006 13,142 14,751 9/2/2006 13,142 14,751 9/3/2006 13,142 14,751 9/4/2006 13,142 14,751 9/5/2006 13,281 14,911 9/6/2006 13,028 14,623 9/7/2006 12,895 14,473 9/8/2006 12,928 14,514 9/9/2006 12,928 14,514 9/10/2006 12,928 14,514 9/11/2006 12,871 14,452 9/12/2006 13,142 14,757 9/13/2006 13,285 14,917 9/14/2006 13,209 14,831 9/15/2006 13,281 14,914 9/16/2006 13,281 14,914 9/17/2006 13,281 14,914 9/18/2006 13,257 14,888 9/19/2006 13,200 14,823 9/20/2006 13,333 14,976 9/21/2006 13,219 14,848 9/22/2006 13,171 14,798 9/23/2006 13,171 14,798 9/24/2006 13,171 14,798 9/25/2006 13,309 14,954 9/26/2006 13,328 14,977 9/27/2006 13,424 15,084 9/28/2006 13,395 15,050 9/29/2006 13,219 14,852 9/30/2006 13,219 14,852 10/1/2006 13,219 14,852 10/2/2006 13,109 14,731 10/3/2006 13,181 14,810 10/4/2006 13,381 15,027 10/5/2006 13,500 15,164 10/6/2006 13,405 15,055 10/7/2006 13,405 15,055 10/8/2006 13,405 15,055 10/9/2006 13,524 15,193 10/10/2006 13,562 15,236 10/11/2006 13,505 15,170 10/12/2006 13,791 15,494 10/13/2006 13,872 15,588 10/14/2006 13,872 15,588 10/15/2006 13,872 15,588 10/16/2006 13,986 15,714 10/17/2006 13,948 15,673 10/18/2006 13,919 15,641 10/19/2006 13,986 15,721 10/20/2006 13,914 15,642 10/21/2006 13,914 15,642 10/22/2006 13,914 15,642 10/23/2006 13,948 15,677 10/24/2006 14,014 15,755 10/25/2006 14,105 15,857 10/26/2006 14,238 16,011 10/27/2006 14,048 15,797 10/28/2006 14,048 15,797 10/29/2006 14,048 15,797 10/30/2006 14,110 15,869 10/31/2006 13,972 15,713 11/1/2006 13,690 15,396 11/2/2006 13,633 15,332 11/3/2006 13,643 15,340 11/4/2006 13,643 15,340 11/5/2006 13,643 15,340 11/6/2006 13,795 15,514 11/7/2006 13,810 15,534 11/8/2006 13,953 15,695 11/9/2006 13,810 15,532 11/10/2006 13,938 15,685 11/11/2006 13,938 15,685 11/12/2006 13,938 15,685 11/13/2006 14,048 15,809 11/14/2006 14,296 16,090 11/15/2006 14,405 16,212 11/16/2006 14,405 16,214 11/17/2006 14,310 16,106 11/18/2006 14,310 16,106 11/19/2006 14,310 16,106 11/20/2006 14,367 16,172 11/21/2006 14,420 16,233 11/22/2006 14,410 16,225 11/23/2006 14,410 16,225 11/24/2006 14,420 16,239 11/25/2006 14,420 16,239 11/26/2006 14,420 16,239 11/27/2006 14,105 15,886 11/28/2006 14,157 15,943 11/29/2006 14,272 16,076 11/30/2006 14,324 16,133 12/1/2006 14,267 16,071 12/2/2006 14,267 16,071 12/3/2006 14,267 16,071 12/4/2006 14,548 16,391 12/5/2006 14,562 16,408 12/6/2006 14,577 16,422 12/7/2006 14,539 16,382 12/8/2006 14,520 16,363 12/9/2006 14,520 16,363 12/10/2006 14,520 16,363 12/11/2006 14,536 16,382 12/12/2006 14,520 16,362 12/13/2006 14,495 16,336 12/14/2006 14,622 16,479 12/15/2006 14,571 16,425 12/16/2006 14,571 16,425 12/17/2006 14,571 16,425 12/18/2006 14,398 16,227 12/19/2006 14,383 16,212 12/20/2006 14,444 16,278 12/21/2006 14,464 16,301 12/22/2006 14,408 16,239 12/23/2006 14,408 16,239 12/24/2006 14,408 16,239 12/25/2006 14,408 16,239 12/26/2006 14,566 16,423 12/27/2006 14,786 16,673 12/28/2006 14,714 16,592 12/29/2006 14,582 16,441 12/30/2006 14,582 16,441 12/31/2006 14,582 16,441 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND 19.21% 15.22% S&P SMALLCAP 600/CITIGROUP PURE VALUE INDEX 21.44% 20.53% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P SMALLCAP 600/CITIGROUP PURE VALUE INDEX IS AND UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] S&P SMALLCAP 600/CITIGROUP SMALL-CAP VALUE FUND PURE VALUE INDEX Other 9.0% 3.3% Consumer Discretionary 24.5% 23.1% Financials 17.9% 11.7% Materials 15.0% 18.2% Industrials 15.0% 18.3% Utilities 9.9% 11.7% Information Technology 8.2% 8.1% Consumer Staples 5.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Hancock Fabrics, Inc. 1.6% Chesapeake Corp. 1.5% Nash Finch Co. 1.4% Libbey, Inc. 1.3% Steel Technologies, Inc. 1.3% Stewart Information Services Corp. 1.3% La-Z-Boy, Inc. 1.2% LandAmerica Financial Group, Inc. 1.2% Ryerson Tull, Inc. 1.2% New Century Financial Corp. 1.2% -------------------------------------------------------------------------------- Top Ten Total 13.2% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 25 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- MID-CAP VALUE FUND OBJECTIVE: To provide investment results that match the performance of the benchmark for mid-cap value securities. The Fund's current benchmark is the S&P MidCap 400/Citigroup Pure Value Index. INCEPTION: May 3, 2004 The S&P MidCap 400/Citigroup Pure Value Index significantly outperformed its growth counterpart for the year. The performance of this index can largely be attributed to contributions from the utilities, financials, industrials and information technology sectors. Rydex Mid-Cap Value Fund gained 17.08% last year, while the benchmark S&P/Citigroup 400 Pure Value Index gained 19.31% for the same period. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P MIDCAP 400/CITIGROUP DATE MID-CAP VALUE FUND PURE VALUE INDEX 5/3/2004 10,000 10,000 5/4/2004 10,024 10,039 5/5/2004 10,044 10,036 5/6/2004 9,948 9,954 5/7/2004 9,732 9,681 5/8/2004 9,732 9,681 5/9/2004 9,732 9,681 5/10/2004 9,568 9,542 5/11/2004 9,668 9,656 5/12/2004 9,656 9,647 5/13/2004 9,672 9,638 5/14/2004 9,672 9,640 5/15/2004 9,672 9,640 5/16/2004 9,672 9,640 5/17/2004 9,564 9,512 5/18/2004 9,624 9,609 5/19/2004 9,592 9,559 5/20/2004 9,616 9,583 5/21/2004 9,648 9,611 5/22/2004 9,648 9,611 5/23/2004 9,648 9,611 5/24/2004 9,760 9,694 5/25/2004 9,940 9,899 5/26/2004 10,008 9,951 5/27/2004 10,056 10,046 5/28/2004 10,100 10,075 5/29/2004 10,100 10,075 5/30/2004 10,100 10,075 5/31/2004 10,100 10,075 6/1/2004 10,120 10,114 6/2/2004 10,140 10,154 6/3/2004 10,012 10,028 6/4/2004 10,080 10,111 6/5/2004 10,080 10,111 6/6/2004 10,080 10,111 6/7/2004 10,240 10,266 6/8/2004 10,216 10,257 6/9/2004 10,096 10,137 6/10/2004 10,124 10,181 6/11/2004 10,124 10,181 6/12/2004 10,124 10,181 6/13/2004 10,124 10,181 6/14/2004 9,992 10,033 6/15/2004 10,116 10,180 6/16/2004 10,132 10,190 6/17/2004 10,152 10,232 6/18/2004 10,160 10,259 6/19/2004 10,160 10,259 6/20/2004 10,160 10,259 6/21/2004 10,148 10,280 6/22/2004 10,196 10,309 6/23/2004 10,288 10,404 6/24/2004 10,264 10,388 6/25/2004 10,304 10,456 6/26/2004 10,304 10,456 6/27/2004 10,304 10,456 6/28/2004 10,260 10,448 6/29/2004 10,288 10,454 6/30/2004 10,400 10,561 7/1/2004 10,268 10,415 7/2/2004 10,268 10,440 7/3/2004 10,268 10,440 7/4/2004 10,268 10,440 7/5/2004 10,268 10,440 7/6/2004 10,144 10,334 7/7/2004 10,164 10,366 7/8/2004 10,060 10,236 7/9/2004 10,108 10,274 7/10/2004 10,108 10,274 7/11/2004 10,108 10,274 7/12/2004 10,104 10,275 7/13/2004 10,120 10,290 7/14/2004 10,116 10,308 7/15/2004 10,156 10,372 7/16/2004 10,104 10,292 7/17/2004 10,104 10,292 7/18/2004 10,104 10,292 7/19/2004 10,120 10,340 7/20/2004 10,220 10,483 7/21/2004 10,040 10,254 7/22/2004 10,008 10,167 7/23/2004 9,904 10,069 7/24/2004 9,904 10,069 7/25/2004 9,904 10,069 7/26/2004 9,836 10,005 7/27/2004 9,936 10,083 7/28/2004 9,900 10,084 7/29/2004 10,016 10,185 7/30/2004 10,008 10,150 7/31/2004 10,008 10,150 8/1/2004 10,008 10,150 8/2/2004 10,060 10,224 8/3/2004 9,964 10,153 8/4/2004 9,944 10,161 8/5/2004 9,768 9,983 8/6/2004 9,632 9,843 8/7/2004 9,632 9,843 8/8/2004 9,632 9,843 8/9/2004 9,648 9,857 8/10/2004 9,796 10,034 8/11/2004 9,736 10,006 8/12/2004 9,604 9,857 8/13/2004 9,596 9,838 8/14/2004 9,596 9,838 8/15/2004 9,596 9,838 8/16/2004 9,756 10,009 8/17/2004 9,796 10,030 8/18/2004 9,916 10,170 8/19/2004 9,856 10,088 8/20/2004 9,968 10,213 8/21/2004 9,968 10,213 8/22/2004 9,968 10,213 8/23/2004 9,920 10,133 8/24/2004 9,940 10,197 8/25/2004 10,032 10,244 8/26/2004 10,036 10,256 8/27/2004 10,080 10,285 8/28/2004 10,080 10,285 8/29/2004 10,080 10,285 8/30/2004 9,960 10,144 8/31/2004 10,056 10,258 9/1/2004 10,132 10,304 9/2/2004 10,208 10,396 9/3/2004 10,172 10,357 9/4/2004 10,172 10,357 9/5/2004 10,172 10,357 9/6/2004 10,172 10,357 9/7/2004 10,260 10,478 9/8/2004 10,128 10,376 9/9/2004 10,212 10,461 9/10/2004 10,228 10,463 9/11/2004 10,228 10,463 9/12/2004 10,228 10,463 9/13/2004 10,272 10,481 9/14/2004 10,240 10,432 9/15/2004 10,188 10,401 9/16/2004 10,280 10,500 9/17/2004 10,296 10,484 9/18/2004 10,296 10,484 9/19/2004 10,296 10,484 9/20/2004 10,244 10,460 9/21/2004 10,336 10,509 9/22/2004 10,228 10,376 9/23/2004 10,192 10,350 9/24/2004 10,236 10,388 9/25/2004 10,236 10,388 9/26/2004 10,236 10,388 9/27/2004 10,164 10,300 9/28/2004 10,228 10,400 9/29/2004 10,244 10,418 9/30/2004 10,336 10,492 10/1/2004 10,484 10,663 10/2/2004 10,484 10,663 10/3/2004 10,484 10,663 10/4/2004 10,476 10,709 10/5/2004 10,460 10,702 10/6/2004 10,540 10,767 10/7/2004 10,400 10,632 10/8/2004 10,332 10,581 10/9/2004 10,332 10,581 10/10/2004 10,332 10,581 10/11/2004 10,324 10,604 10/12/2004 10,308 10,622 10/13/2004 10,192 10,489 10/14/2004 10,128 10,402 10/15/2004 10,168 10,474 10/16/2004 10,168 10,474 10/17/2004 10,168 10,474 10/18/2004 10,180 10,476 10/19/2004 10,096 10,352 10/20/2004 10,116 10,380 10/21/2004 10,204 10,434 10/22/2004 10,136 10,377 10/23/2004 10,136 10,377 10/24/2004 10,136 10,377 10/25/2004 10,184 10,430 10/26/2004 10,280 10,554 10/27/2004 10,392 10,665 10/28/2004 10,368 10,673 10/29/2004 10,384 10,680 10/30/2004 10,384 10,680 10/31/2004 10,384 10,680 11/1/2004 10,412 10,742 11/2/2004 10,396 10,710 11/3/2004 10,552 10,909 11/4/2004 10,712 11,131 11/5/2004 10,716 11,158 11/6/2004 10,716 11,158 11/7/2004 10,716 11,158 11/8/2004 10,680 11,165 11/9/2004 10,720 11,223 11/10/2004 10,748 11,224 11/11/2004 10,848 11,347 11/12/2004 10,980 11,446 11/13/2004 10,980 11,446 11/14/2004 10,980 11,446 11/15/2004 10,964 11,442 11/16/2004 10,908 11,350 11/17/2004 11,000 11,402 11/18/2004 11,000 11,375 11/19/2004 10,892 11,257 11/20/2004 10,892 11,257 11/21/2004 10,892 11,257 11/22/2004 10,996 11,390 11/23/2004 11,032 11,462 11/24/2004 11,132 11,542 11/25/2004 11,132 11,542 11/26/2004 11,144 11,569 11/27/2004 11,144 11,569 11/28/2004 11,144 11,569 11/29/2004 11,116 11,559 11/30/2004 11,104 11,526 12/1/2004 11,216 11,658 12/2/2004 11,152 11,598 12/3/2004 11,192 11,619 12/4/2004 11,192 11,619 12/5/2004 11,192 11,619 12/6/2004 11,140 11,551 12/7/2004 10,992 11,403 12/8/2004 11,044 11,471 12/9/2004 11,100 11,458 12/10/2004 11,136 11,493 12/11/2004 11,136 11,493 12/12/2004 11,136 11,493 12/13/2004 11,220 11,585 12/14/2004 11,312 11,641 12/15/2004 11,416 11,749 12/16/2004 11,348 11,689 12/17/2004 11,336 11,681 12/18/2004 11,336 11,681 12/19/2004 11,336 11,681 12/20/2004 11,268 11,639 12/21/2004 11,384 11,767 12/22/2004 11,420 11,804 12/23/2004 11,424 11,796 12/24/2004 11,424 11,796 12/25/2004 11,424 11,796 12/26/2004 11,424 11,796 12/27/2004 11,360 11,736 12/28/2004 11,484 11,871 12/29/2004 11,496 11,862 12/30/2004 11,541 11,898 12/31/2004 11,520 11,867 1/1/2005 11,520 11,867 1/2/2005 11,520 11,867 1/3/2005 11,337 11,678 1/4/2005 11,159 11,528 1/5/2005 11,027 11,377 1/6/2005 11,069 11,420 1/7/2005 11,001 11,345 1/8/2005 11,001 11,345 1/9/2005 11,001 11,345 1/10/2005 11,056 11,383 1/11/2005 10,988 11,309 1/12/2005 11,014 11,329 1/13/2005 11,018 11,313 1/14/2005 11,120 11,432 1/15/2005 11,120 11,432 1/16/2005 11,120 11,432 1/17/2005 11,120 11,432 1/18/2005 11,222 11,526 1/19/2005 11,125 11,437 1/20/2005 11,056 11,365 1/21/2005 11,001 11,307 1/22/2005 11,001 11,307 1/23/2005 11,001 11,307 1/24/2005 10,942 11,238 1/25/2005 10,950 11,227 1/26/2005 11,056 11,355 1/27/2005 11,069 11,392 1/28/2005 11,035 11,345 1/29/2005 11,035 11,345 1/30/2005 11,035 11,345 1/31/2005 11,184 11,546 2/1/2005 11,265 11,616 2/2/2005 11,324 11,679 2/3/2005 11,286 11,655 2/4/2005 11,452 11,831 2/5/2005 11,452 11,831 2/6/2005 11,452 11,831 2/7/2005 11,427 11,802 2/8/2005 11,486 11,832 2/9/2005 11,342 11,705 2/10/2005 11,367 11,743 2/11/2005 11,461 11,837 2/12/2005 11,461 11,837 2/13/2005 11,461 11,837 2/14/2005 11,478 11,886 2/15/2005 11,490 11,880 2/16/2005 11,546 11,929 2/17/2005 11,461 11,842 2/18/2005 11,435 11,808 2/19/2005 11,435 11,808 2/20/2005 11,435 11,808 2/21/2005 11,435 11,808 2/22/2005 11,239 11,565 2/23/2005 11,295 11,633 2/24/2005 11,435 11,737 2/25/2005 11,588 11,903 2/26/2005 11,588 11,903 2/27/2005 11,588 11,903 2/28/2005 11,512 11,834 3/1/2005 11,631 11,956 3/2/2005 11,601 11,895 3/3/2005 11,605 11,881 3/4/2005 11,754 12,029 3/5/2005 11,754 12,029 3/6/2005 11,754 12,029 3/7/2005 11,818 12,095 3/8/2005 11,707 11,987 3/9/2005 11,567 11,856 3/10/2005 11,567 11,882 3/11/2005 11,546 11,878 3/12/2005 11,546 11,878 3/13/2005 11,546 11,878 3/14/2005 11,661 12,009 3/15/2005 11,593 11,954 3/16/2005 11,503 11,838 3/17/2005 11,520 11,887 3/18/2005 11,465 11,822 3/19/2005 11,465 11,822 3/20/2005 11,465 11,822 3/21/2005 11,444 11,811 3/22/2005 11,380 11,703 3/23/2005 11,286 11,629 3/24/2005 11,307 11,670 3/25/2005 11,307 11,670 3/26/2005 11,307 11,670 3/27/2005 11,307 11,670 3/28/2005 11,324 11,689 3/29/2005 11,201 11,548 3/30/2005 11,329 11,688 3/31/2005 11,380 11,735 4/1/2005 11,350 11,711 4/2/2005 11,350 11,711 4/3/2005 11,350 11,711 4/4/2005 11,371 11,735 4/5/2005 11,359 11,786 4/6/2005 11,359 11,797 4/7/2005 11,418 11,860 4/8/2005 11,303 11,726 4/9/2005 11,303 11,726 4/10/2005 11,303 11,726 4/11/2005 11,261 11,690 4/12/2005 11,354 11,802 4/13/2005 11,210 11,642 4/14/2005 11,056 11,477 4/15/2005 10,861 11,283 4/16/2005 10,861 11,283 4/17/2005 10,861 11,283 4/18/2005 10,908 11,331 4/19/2005 11,039 11,475 4/20/2005 10,857 11,314 4/21/2005 11,031 11,502 4/22/2005 10,933 11,419 4/23/2005 10,933 11,419 4/24/2005 10,933 11,419 4/25/2005 11,069 11,555 4/26/2005 10,937 11,416 4/27/2005 10,967 11,474 4/28/2005 10,831 11,347 4/29/2005 10,929 11,472 4/30/2005 10,929 11,472 5/1/2005 10,929 11,472 5/2/2005 11,014 11,559 5/3/2005 10,963 11,520 5/4/2005 11,120 11,691 5/5/2005 11,129 11,678 5/6/2005 11,163 11,716 5/7/2005 11,163 11,716 5/8/2005 11,163 11,716 5/9/2005 11,222 11,789 5/10/2005 11,146 11,725 5/11/2005 11,193 11,777 5/12/2005 11,027 11,592 5/13/2005 10,954 11,479 5/14/2005 10,954 11,479 5/15/2005 10,954 11,479 5/16/2005 11,125 11,659 5/17/2005 11,205 11,770 5/18/2005 11,376 11,936 5/19/2005 11,410 11,956 5/20/2005 11,410 11,987 5/21/2005 11,410 11,987 5/22/2005 11,410 11,987 5/23/2005 11,469 12,033 5/24/2005 11,461 12,009 5/25/2005 11,376 11,943 5/26/2005 11,507 12,057 5/27/2005 11,533 12,087 5/28/2005 11,533 12,087 5/29/2005 11,533 12,087 5/30/2005 11,533 12,087 5/31/2005 11,550 12,111 6/1/2005 11,648 12,238 6/2/2005 11,682 12,266 6/3/2005 11,627 12,219 6/4/2005 11,627 12,219 6/5/2005 11,627 12,219 6/6/2005 11,673 12,261 6/7/2005 11,661 12,275 6/8/2005 11,618 12,261 6/9/2005 11,716 12,332 6/10/2005 11,707 12,391 6/11/2005 11,707 12,391 6/12/2005 11,707 12,391 6/13/2005 11,771 12,430 6/14/2005 11,822 12,496 6/15/2005 11,865 12,528 6/16/2005 11,963 12,608 6/17/2005 11,992 12,635 6/18/2005 11,992 12,635 6/19/2005 11,992 12,635 6/20/2005 11,954 12,597 6/21/2005 11,907 12,572 6/22/2005 11,933 12,598 6/23/2005 11,839 12,457 6/24/2005 11,712 12,334 6/25/2005 11,712 12,334 6/26/2005 11,712 12,334 6/27/2005 11,729 12,338 6/28/2005 11,869 12,506 6/29/2005 11,903 12,528 6/30/2005 11,869 12,513 7/1/2005 11,975 12,647 7/2/2005 11,975 12,647 7/3/2005 11,975 12,647 7/4/2005 11,975 12,647 7/5/2005 12,082 12,733 7/6/2005 12,009 12,652 7/7/2005 12,056 12,695 7/8/2005 12,192 12,860 7/9/2005 12,192 12,860 7/10/2005 12,192 12,860 7/11/2005 12,299 12,960 7/12/2005 12,316 12,973 7/13/2005 12,294 12,949 7/14/2005 12,239 12,883 7/15/2005 12,239 12,902 7/16/2005 12,239 12,902 7/17/2005 12,239 12,902 7/18/2005 12,209 12,878 7/19/2005 12,341 13,010 7/20/2005 12,418 13,109 7/21/2005 12,320 12,984 7/22/2005 12,456 13,118 7/23/2005 12,456 13,118 7/24/2005 12,456 13,118 7/25/2005 12,380 13,014 7/26/2005 12,448 13,073 7/27/2005 12,473 13,113 7/28/2005 12,571 13,254 7/29/2005 12,520 13,263 7/30/2005 12,520 13,263 7/31/2005 12,520 13,263 8/1/2005 12,520 13,231 8/2/2005 12,584 13,331 8/3/2005 12,541 13,308 8/4/2005 12,414 13,178 8/5/2005 12,277 13,001 8/6/2005 12,277 13,001 8/7/2005 12,277 13,001 8/8/2005 12,222 12,894 8/9/2005 12,256 12,944 8/10/2005 12,260 12,927 8/11/2005 12,350 13,027 8/12/2005 12,328 13,010 8/13/2005 12,328 13,010 8/14/2005 12,328 13,010 8/15/2005 12,363 13,065 8/16/2005 12,192 12,901 8/17/2005 12,180 12,907 8/18/2005 12,146 12,824 8/19/2005 12,175 12,855 8/20/2005 12,175 12,855 8/21/2005 12,175 12,855 8/22/2005 12,222 12,927 8/23/2005 12,180 12,879 8/24/2005 12,171 12,843 8/25/2005 12,235 12,957 8/26/2005 12,137 12,824 8/27/2005 12,137 12,824 8/28/2005 12,137 12,824 8/29/2005 12,197 12,899 8/30/2005 12,171 12,848 8/31/2005 12,354 13,076 9/1/2005 12,392 13,124 9/2/2005 12,324 13,082 9/3/2005 12,324 13,082 9/4/2005 12,324 13,082 9/5/2005 12,324 13,082 9/6/2005 12,431 13,204 9/7/2005 12,473 13,234 9/8/2005 12,409 13,162 9/9/2005 12,516 13,230 9/10/2005 12,516 13,230 9/11/2005 12,516 13,230 9/12/2005 12,503 13,283 9/13/2005 12,426 13,159 9/14/2005 12,387 13,088 9/15/2005 12,405 13,089 9/16/2005 12,469 13,157 9/17/2005 12,469 13,157 9/18/2005 12,469 13,157 9/19/2005 12,400 13,001 9/20/2005 12,298 12,871 9/21/2005 12,144 12,657 9/22/2005 12,139 12,667 9/23/2005 12,191 12,739 9/24/2005 12,191 12,739 9/25/2005 12,191 12,739 9/26/2005 12,259 12,767 9/27/2005 12,242 12,746 9/28/2005 12,208 12,721 9/29/2005 12,383 12,878 9/30/2005 12,435 12,917 10/1/2005 12,435 12,917 10/2/2005 12,435 12,917 10/3/2005 12,512 12,987 10/4/2005 12,383 12,863 10/5/2005 12,075 12,541 10/6/2005 11,955 12,476 10/7/2005 12,002 12,512 10/8/2005 12,002 12,512 10/9/2005 12,002 12,512 10/10/2005 11,891 12,373 10/11/2005 11,814 12,268 10/12/2005 11,656 12,113 10/13/2005 11,583 12,080 10/14/2005 11,737 12,194 10/15/2005 11,737 12,194 10/16/2005 11,737 12,194 10/17/2005 11,780 12,221 10/18/2005 11,635 12,092 10/19/2005 11,754 12,199 10/20/2005 11,575 12,016 10/21/2005 11,682 12,101 10/22/2005 11,682 12,101 10/23/2005 11,682 12,101 10/24/2005 11,934 12,363 10/25/2005 11,921 12,292 10/26/2005 11,853 12,197 10/27/2005 11,690 12,035 10/28/2005 11,874 12,241 10/29/2005 11,874 12,241 10/30/2005 11,874 12,241 10/31/2005 12,054 12,443 11/1/2005 12,032 12,370 11/2/2005 12,238 12,582 11/3/2005 12,242 12,572 11/4/2005 12,229 12,551 11/5/2005 12,229 12,551 11/6/2005 12,229 12,551 11/7/2005 12,246 12,615 11/8/2005 12,152 12,480 11/9/2005 12,212 12,547 11/10/2005 12,268 12,637 11/11/2005 12,328 12,678 11/12/2005 12,328 12,678 11/13/2005 12,328 12,678 11/14/2005 12,340 12,682 11/15/2005 12,281 12,596 11/16/2005 12,293 12,581 11/17/2005 12,435 12,754 11/18/2005 12,464 12,849 11/19/2005 12,464 12,849 11/20/2005 12,464 12,849 11/21/2005 12,533 12,927 11/22/2005 12,606 12,977 11/23/2005 12,636 13,025 11/24/2005 12,636 13,025 11/25/2005 12,653 13,031 11/26/2005 12,653 13,031 11/27/2005 12,653 13,031 11/28/2005 12,464 12,894 11/29/2005 12,533 12,971 11/30/2005 12,524 12,946 12/1/2005 12,734 13,134 12/2/2005 12,725 13,134 12/3/2005 12,725 13,134 12/4/2005 12,725 13,134 12/5/2005 12,674 13,065 12/6/2005 12,678 13,076 12/7/2005 12,623 13,054 12/8/2005 12,665 13,031 12/9/2005 12,730 13,153 12/10/2005 12,730 13,153 12/11/2005 12,730 13,153 12/12/2005 12,742 13,119 12/13/2005 12,755 13,150 12/14/2005 12,798 13,237 12/15/2005 12,755 13,166 12/16/2005 12,687 13,183 12/17/2005 12,687 13,183 12/18/2005 12,687 13,183 12/19/2005 12,503 12,996 12/20/2005 12,516 13,009 12/21/2005 12,559 13,056 12/22/2005 12,602 13,101 12/23/2005 12,641 13,149 12/24/2005 12,641 13,149 12/25/2005 12,641 13,149 12/26/2005 12,641 13,149 12/27/2005 12,505 13,003 12/28/2005 12,556 13,061 12/29/2005 12,563 13,064 12/30/2005 12,479 12,979 12/31/2005 12,479 12,979 1/1/2006 12,479 12,979 1/2/2006 12,479 12,979 1/3/2006 12,621 13,129 1/4/2006 12,686 13,200 1/5/2006 12,699 13,209 1/6/2006 12,796 13,312 1/7/2006 12,796 13,312 1/8/2006 12,796 13,312 1/9/2006 12,913 13,438 1/10/2006 12,939 13,463 1/11/2006 12,932 13,463 1/12/2006 12,861 13,385 1/13/2006 12,887 13,413 1/14/2006 12,887 13,413 1/15/2006 12,887 13,413 1/16/2006 12,887 13,413 1/17/2006 12,783 13,308 1/18/2006 12,783 13,310 1/19/2006 12,919 13,449 1/20/2006 12,712 13,234 1/21/2006 12,712 13,234 1/22/2006 12,712 13,234 1/23/2006 12,783 13,313 1/24/2006 12,971 13,510 1/25/2006 12,952 13,492 1/26/2006 13,055 13,600 1/27/2006 13,113 13,659 1/28/2006 13,113 13,659 1/29/2006 13,113 13,659 1/30/2006 13,094 13,644 1/31/2006 13,159 13,708 2/1/2006 13,211 13,764 2/2/2006 13,068 13,621 2/3/2006 13,029 13,579 2/4/2006 13,029 13,579 2/5/2006 13,029 13,579 2/6/2006 13,107 13,662 2/7/2006 12,990 13,537 2/8/2006 13,042 13,596 2/9/2006 13,010 13,559 2/10/2006 12,997 13,550 2/11/2006 12,997 13,550 2/12/2006 12,997 13,550 2/13/2006 12,932 13,484 2/14/2006 13,075 13,629 2/15/2006 13,139 13,698 2/16/2006 13,211 13,778 2/17/2006 13,217 13,784 2/18/2006 13,217 13,784 2/19/2006 13,217 13,784 2/20/2006 13,217 13,784 2/21/2006 13,172 13,742 2/22/2006 13,321 13,898 2/23/2006 13,249 13,820 2/24/2006 13,236 13,811 2/25/2006 13,236 13,811 2/26/2006 13,236 13,811 2/27/2006 13,314 13,891 2/28/2006 13,159 13,732 3/1/2006 13,249 13,828 3/2/2006 13,120 13,694 3/3/2006 13,068 13,640 3/4/2006 13,068 13,640 3/5/2006 13,068 13,640 3/6/2006 12,958 13,525 3/7/2006 12,854 13,417 3/8/2006 12,861 13,427 3/9/2006 12,867 13,435 3/10/2006 12,977 13,547 3/11/2006 12,977 13,547 3/12/2006 12,977 13,547 3/13/2006 12,997 13,571 3/14/2006 13,107 13,688 3/15/2006 13,198 13,781 3/16/2006 13,178 13,764 3/17/2006 13,204 13,790 3/18/2006 13,204 13,790 3/19/2006 13,204 13,790 3/20/2006 13,178 13,767 3/21/2006 13,062 13,643 3/22/2006 13,172 13,765 3/23/2006 13,120 13,708 3/24/2006 13,178 13,775 3/25/2006 13,178 13,775 3/26/2006 13,178 13,775 3/27/2006 13,204 13,801 3/28/2006 13,107 13,699 3/29/2006 13,275 13,879 3/30/2006 13,243 13,842 3/31/2006 13,230 13,832 4/1/2006 13,230 13,832 4/2/2006 13,230 13,832 4/3/2006 13,269 13,875 4/4/2006 13,308 13,917 4/5/2006 13,385 13,999 4/6/2006 13,359 13,967 4/7/2006 13,211 13,813 4/8/2006 13,211 13,813 4/9/2006 13,211 13,813 4/10/2006 13,152 13,754 4/11/2006 12,997 13,591 4/12/2006 13,068 13,667 4/13/2006 13,042 13,643 4/14/2006 13,042 13,643 4/15/2006 13,042 13,643 4/16/2006 13,042 13,643 4/17/2006 13,029 13,629 4/18/2006 13,327 13,946 4/19/2006 13,418 14,038 4/20/2006 13,495 14,124 4/21/2006 13,483 14,114 4/22/2006 13,483 14,114 4/23/2006 13,483 14,114 4/24/2006 13,437 14,064 4/25/2006 13,463 14,089 4/26/2006 13,470 14,096 4/27/2006 13,463 14,092 4/28/2006 13,457 14,087 4/29/2006 13,457 14,087 4/30/2006 13,457 14,087 5/1/2006 13,418 14,045 5/2/2006 13,476 14,113 5/3/2006 13,508 14,147 5/4/2006 13,625 14,268 5/5/2006 13,748 14,402 5/6/2006 13,748 14,402 5/7/2006 13,748 14,402 5/8/2006 13,774 14,426 5/9/2006 13,748 14,398 5/10/2006 13,696 14,345 5/11/2006 13,483 14,123 5/12/2006 13,217 13,843 5/13/2006 13,217 13,843 5/14/2006 13,217 13,843 5/15/2006 13,224 13,855 5/16/2006 13,178 13,807 5/17/2006 12,939 13,557 5/18/2006 12,867 13,479 5/19/2006 12,932 13,548 5/20/2006 12,932 13,548 5/21/2006 12,932 13,548 5/22/2006 12,913 13,531 5/23/2006 12,790 13,401 5/24/2006 12,874 13,489 5/25/2006 13,049 13,676 5/26/2006 13,126 13,759 5/27/2006 13,126 13,759 5/28/2006 13,126 13,759 5/29/2006 13,126 13,759 5/30/2006 12,874 13,493 5/31/2006 13,049 13,682 6/1/2006 13,269 13,913 6/2/2006 13,295 13,940 6/3/2006 13,295 13,940 6/4/2006 13,295 13,940 6/5/2006 13,010 13,639 6/6/2006 13,016 13,647 6/7/2006 12,926 13,553 6/8/2006 12,880 13,507 6/9/2006 12,900 13,528 6/10/2006 12,900 13,528 6/11/2006 12,900 13,528 6/12/2006 12,680 13,300 6/13/2006 12,505 13,112 6/14/2006 12,537 13,150 6/15/2006 12,893 13,521 6/16/2006 12,816 13,446 6/17/2006 12,816 13,446 6/18/2006 12,816 13,446 6/19/2006 12,654 13,275 6/20/2006 12,654 13,277 6/21/2006 12,848 13,481 6/22/2006 12,751 13,378 6/23/2006 12,822 13,454 6/24/2006 12,822 13,454 6/25/2006 12,822 13,454 6/26/2006 12,926 13,567 6/27/2006 12,783 13,419 6/28/2006 12,835 13,471 6/29/2006 13,198 13,855 6/30/2006 13,275 13,938 7/1/2006 13,275 13,938 7/2/2006 13,275 13,938 7/3/2006 13,347 14,013 7/4/2006 13,347 14,013 7/5/2006 13,217 13,876 7/6/2006 13,224 13,879 7/7/2006 13,159 13,820 7/8/2006 13,159 13,820 7/9/2006 13,159 13,820 7/10/2006 13,204 13,867 7/11/2006 13,301 13,969 7/12/2006 13,139 13,799 7/13/2006 12,906 13,549 7/14/2006 12,822 13,465 7/15/2006 12,822 13,465 7/16/2006 12,822 13,465 7/17/2006 12,783 13,422 7/18/2006 12,816 13,463 7/19/2006 13,049 13,712 7/20/2006 12,848 13,498 7/21/2006 12,731 13,381 7/22/2006 12,731 13,381 7/23/2006 12,731 13,381 7/24/2006 12,977 13,641 7/25/2006 13,062 13,728 7/26/2006 13,036 13,702 7/27/2006 12,913 13,573 7/28/2006 13,088 13,758 7/29/2006 13,088 13,758 7/30/2006 13,088 13,758 7/31/2006 13,055 13,726 8/1/2006 12,990 13,654 8/2/2006 13,049 13,715 8/3/2006 13,133 13,806 8/4/2006 13,100 13,777 8/5/2006 13,100 13,777 8/6/2006 13,100 13,777 8/7/2006 13,042 13,712 8/8/2006 12,977 13,648 8/9/2006 12,835 13,497 8/10/2006 12,887 13,549 8/11/2006 12,764 13,425 8/12/2006 12,764 13,425 8/13/2006 12,764 13,425 8/14/2006 12,835 13,500 8/15/2006 13,029 13,707 8/16/2006 13,178 13,864 8/17/2006 13,178 13,862 8/18/2006 13,185 13,875 8/19/2006 13,185 13,875 8/20/2006 13,185 13,875 8/21/2006 13,068 13,746 8/22/2006 13,094 13,778 8/23/2006 12,964 13,641 8/24/2006 12,945 13,624 8/25/2006 12,913 13,593 8/26/2006 12,913 13,593 8/27/2006 12,913 13,593 8/28/2006 13,042 13,732 8/29/2006 13,159 13,852 8/30/2006 13,191 13,887 8/31/2006 13,275 13,976 9/1/2006 13,301 14,006 9/2/2006 13,301 14,006 9/3/2006 13,301 14,006 9/4/2006 13,301 14,006 9/5/2006 13,353 14,065 9/6/2006 13,172 13,874 9/7/2006 13,107 13,806 9/8/2006 13,146 13,848 9/9/2006 13,146 13,848 9/10/2006 13,146 13,848 9/11/2006 13,172 13,872 9/12/2006 13,379 14,092 9/13/2006 13,450 14,167 9/14/2006 13,385 14,102 9/15/2006 13,366 14,085 9/16/2006 13,366 14,085 9/17/2006 13,366 14,085 9/18/2006 13,308 14,021 9/19/2006 13,275 13,985 9/20/2006 13,405 14,124 9/21/2006 13,256 13,968 9/22/2006 13,178 13,887 9/23/2006 13,178 13,887 9/24/2006 13,178 13,887 9/25/2006 13,301 14,019 9/26/2006 13,392 14,114 9/27/2006 13,418 14,142 9/28/2006 13,398 14,124 9/29/2006 13,308 14,029 9/30/2006 13,308 14,029 10/1/2006 13,308 14,029 10/2/2006 13,308 14,033 10/3/2006 13,321 14,046 10/4/2006 13,521 14,258 10/5/2006 13,625 14,366 10/6/2006 13,541 14,278 10/7/2006 13,541 14,278 10/8/2006 13,541 14,278 10/9/2006 13,599 14,342 10/10/2006 13,638 14,385 10/11/2006 13,638 14,388 10/12/2006 13,819 14,579 10/13/2006 13,878 14,638 10/14/2006 13,878 14,638 10/15/2006 13,878 14,638 10/16/2006 13,962 14,732 10/17/2006 13,897 14,665 10/18/2006 13,897 14,662 10/19/2006 13,968 14,739 10/20/2006 13,916 14,685 10/21/2006 13,916 14,685 10/22/2006 13,916 14,685 10/23/2006 13,968 14,744 10/24/2006 13,962 14,739 10/25/2006 14,033 14,812 10/26/2006 14,143 14,934 10/27/2006 13,975 14,753 10/28/2006 13,975 14,753 10/29/2006 13,975 14,753 10/30/2006 14,014 14,799 10/31/2006 13,975 14,760 11/1/2006 13,852 14,627 11/2/2006 13,819 14,595 11/3/2006 13,826 14,599 11/4/2006 13,826 14,599 11/5/2006 13,826 14,599 11/6/2006 14,046 14,839 11/7/2006 14,052 14,841 11/8/2006 14,169 14,965 11/9/2006 14,104 14,903 11/10/2006 14,221 15,025 11/11/2006 14,221 15,025 11/12/2006 14,221 15,025 11/13/2006 14,273 15,083 11/14/2006 14,441 15,257 11/15/2006 14,499 15,320 11/16/2006 14,512 15,341 11/17/2006 14,499 15,325 11/18/2006 14,499 15,325 11/19/2006 14,499 15,325 11/20/2006 14,519 15,350 11/21/2006 14,532 15,364 11/22/2006 14,596 15,433 11/23/2006 14,596 15,433 11/24/2006 14,603 15,438 11/25/2006 14,603 15,438 11/26/2006 14,603 15,438 11/27/2006 14,292 15,111 11/28/2006 14,331 15,158 11/29/2006 14,473 15,307 11/30/2006 14,493 15,328 12/1/2006 14,486 15,321 12/2/2006 14,486 15,321 12/3/2006 14,486 15,321 12/4/2006 14,700 15,554 12/5/2006 14,732 15,585 12/6/2006 14,687 15,538 12/7/2006 14,642 15,488 12/8/2006 14,610 15,459 12/9/2006 14,610 15,459 12/10/2006 14,610 15,459 12/11/2006 14,623 15,471 12/12/2006 14,544 15,387 12/13/2006 14,636 15,492 12/14/2006 14,766 15,629 12/15/2006 14,747 15,609 12/16/2006 14,747 15,609 12/17/2006 14,747 15,609 12/18/2006 14,583 15,446 12/19/2006 14,583 15,445 12/20/2006 14,623 15,492 12/21/2006 14,551 15,415 12/22/2006 14,531 15,395 12/23/2006 14,531 15,395 12/24/2006 14,531 15,395 12/25/2006 14,531 15,395 12/26/2006 14,681 15,560 12/27/2006 14,832 15,712 12/28/2006 14,747 15,622 12/29/2006 14,610 15,485 12/30/2006 14,610 15,485 12/31/2006 14,610 15,485 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- MID-CAP VALUE FUND 17.08% 15.30% S&P MIDCAP 400/CITIGROUP PURE VALUE INDEX 19.31% 17.85% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400/CITIGROUP PURE VALUE INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] S&P MIDCAP 400/CITIGROUP MID-CAP VALUE FUND PURE VALUE INDEX OTHER 1.6% 7.4% UTILITIES 24.0% 24.9% CONSUMER DISCRETIONARY 18.8% 13.5% FINANCIALS 16.8% 16.2% MATERIALS 13.7% 12.5% INDUSTRIALS 12.2% 14.7% CONSUMER STAPLES 6.4% INFORMATION TECHNOLOGY 6.1% 10.8% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Avis Budget Group, Inc. 2.3% Furniture Brands International, Inc. 2.0% Lear Corp. 2.0% WPS Resources Corp. 1.8% Lyondell Chemical Co. 1.8% Energy East Corp. 1.7% YRC Worldwide, Inc. 1.6% Westwood One, Inc. 1.6% Universal Corp. 1.6% Bowater, Inc. 1.6% -------------------------------------------------------------------------------- Top Ten Total 18.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 26 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND OBJECTIVE: To provide investment results that match the performance of the benchmark for large-cap value securities. The Fund's current benchmark is the S&P 500/Citigroup Pure Value Index. INCEPTION: May 3, 2004 Large-Cap Pure Value was the second best performing pure style index--the only pure style index that performed better was Small-Cap Pure Value. The S&P 500/Citigroup Pure Value Index gained 20.05% in 2006, as value stocks significantly outperformed growth stocks. Rydex Large-Cap Value Fund gained 17.66% for the period, with the utilities and financials sectors contributing most to returns. Health care was the only losing sector within the S&P 500/Citigroup Pure Value Index. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500/CITIGROUP DATE LARGE-CAP VALUE FUND PURE VALUE INDEX 5/3/2004 10,000 10,000 5/4/2004 10,008 10,048 5/5/2004 10,024 10,043 5/6/2004 9,928 9,922 5/7/2004 9,748 9,654 5/8/2004 9,748 9,654 5/9/2004 9,748 9,654 5/10/2004 9,600 9,517 5/11/2004 9,688 9,594 5/12/2004 9,744 9,590 5/13/2004 9,744 9,625 5/14/2004 9,764 9,658 5/15/2004 9,764 9,658 5/16/2004 9,764 9,658 5/17/2004 9,644 9,529 5/18/2004 9,716 9,657 5/19/2004 9,708 9,622 5/20/2004 9,716 9,629 5/21/2004 9,760 9,680 5/22/2004 9,760 9,680 5/23/2004 9,760 9,680 5/24/2004 9,804 9,746 5/25/2004 9,960 9,947 5/26/2004 9,972 9,984 5/27/2004 10,004 10,047 5/28/2004 10,004 10,049 5/29/2004 10,004 10,049 5/30/2004 10,004 10,049 5/31/2004 10,004 10,049 6/1/2004 10,008 10,076 6/2/2004 10,052 10,128 6/3/2004 9,972 10,030 6/4/2004 10,020 10,091 6/5/2004 10,020 10,091 6/6/2004 10,020 10,091 6/7/2004 10,180 10,281 6/8/2004 10,180 10,292 6/9/2004 10,088 10,191 6/10/2004 10,144 10,282 6/11/2004 10,144 10,282 6/12/2004 10,144 10,282 6/13/2004 10,144 10,282 6/14/2004 10,028 10,152 6/15/2004 10,080 10,276 6/16/2004 10,108 10,309 6/17/2004 10,112 10,356 6/18/2004 10,148 10,430 6/19/2004 10,148 10,430 6/20/2004 10,148 10,430 6/21/2004 10,108 10,423 6/22/2004 10,140 10,495 6/23/2004 10,224 10,648 6/24/2004 10,204 10,604 6/25/2004 10,160 10,589 6/26/2004 10,160 10,589 6/27/2004 10,160 10,589 6/28/2004 10,144 10,581 6/29/2004 10,156 10,599 6/30/2004 10,204 10,666 7/1/2004 10,120 10,543 7/2/2004 10,104 10,528 7/3/2004 10,104 10,528 7/4/2004 10,104 10,528 7/5/2004 10,104 10,528 7/6/2004 10,036 10,480 7/7/2004 10,056 10,495 7/8/2004 9,976 10,377 7/9/2004 10,004 10,429 7/10/2004 10,004 10,429 7/11/2004 10,004 10,429 7/12/2004 10,028 10,453 7/13/2004 10,032 10,464 7/14/2004 10,012 10,474 7/15/2004 9,976 10,468 7/16/2004 9,952 10,477 7/17/2004 9,952 10,477 7/18/2004 9,952 10,477 7/19/2004 9,964 10,497 7/20/2004 10,024 10,522 7/21/2004 9,900 10,371 7/22/2004 9,916 10,316 7/23/2004 9,868 10,275 7/24/2004 9,868 10,275 7/25/2004 9,868 10,275 7/26/2004 9,856 10,239 7/27/2004 9,952 10,329 7/28/2004 9,968 10,382 7/29/2004 10,028 10,454 7/30/2004 10,028 10,487 7/31/2004 10,028 10,487 8/1/2004 10,028 10,487 8/2/2004 10,068 10,520 8/3/2004 10,036 10,460 8/4/2004 10,008 10,432 8/5/2004 9,860 10,250 8/6/2004 9,720 10,105 8/7/2004 9,720 10,105 8/8/2004 9,720 10,105 8/9/2004 9,736 10,135 8/10/2004 9,852 10,260 8/11/2004 9,832 10,230 8/12/2004 9,712 10,122 8/13/2004 9,716 10,104 8/14/2004 9,716 10,104 8/15/2004 9,716 10,104 8/16/2004 9,872 10,273 8/17/2004 9,888 10,287 8/18/2004 10,004 10,408 8/19/2004 9,976 10,351 8/20/2004 10,056 10,411 8/21/2004 10,056 10,411 8/22/2004 10,056 10,411 8/23/2004 10,016 10,360 8/24/2004 10,024 10,373 8/25/2004 10,100 10,443 8/26/2004 10,108 10,462 8/27/2004 10,128 10,485 8/28/2004 10,128 10,485 8/29/2004 10,128 10,485 8/30/2004 10,064 10,429 8/31/2004 10,128 10,489 9/1/2004 10,136 10,512 9/2/2004 10,260 10,634 9/3/2004 10,236 10,611 9/4/2004 10,236 10,611 9/5/2004 10,236 10,611 9/6/2004 10,236 10,611 9/7/2004 10,316 10,716 9/8/2004 10,256 10,624 9/9/2004 10,276 10,653 9/10/2004 10,308 10,651 9/11/2004 10,308 10,651 9/12/2004 10,308 10,651 9/13/2004 10,324 10,685 9/14/2004 10,340 10,663 9/15/2004 10,276 10,611 9/16/2004 10,336 10,689 9/17/2004 10,376 10,732 9/18/2004 10,376 10,732 9/19/2004 10,376 10,732 9/20/2004 10,320 10,696 9/21/2004 10,412 10,785 9/22/2004 10,284 10,680 9/23/2004 10,220 10,614 9/24/2004 10,260 10,635 9/25/2004 10,260 10,635 9/26/2004 10,260 10,635 9/27/2004 10,188 10,570 9/28/2004 10,248 10,673 9/29/2004 10,264 10,671 9/30/2004 10,300 10,768 10/1/2004 10,448 10,899 10/2/2004 10,448 10,899 10/3/2004 10,448 10,899 10/4/2004 10,484 10,941 10/5/2004 10,472 10,941 10/6/2004 10,560 11,027 10/7/2004 10,488 10,921 10/8/2004 10,436 10,874 10/9/2004 10,436 10,874 10/10/2004 10,436 10,874 10/11/2004 10,448 10,856 10/12/2004 10,424 10,828 10/13/2004 10,324 10,666 10/14/2004 10,204 10,590 10/15/2004 10,248 10,624 10/16/2004 10,248 10,624 10/17/2004 10,248 10,624 10/18/2004 10,272 10,598 10/19/2004 10,148 10,442 10/20/2004 10,136 10,495 10/21/2004 10,156 10,526 10/22/2004 10,088 10,492 10/23/2004 10,088 10,492 10/24/2004 10,088 10,492 10/25/2004 10,104 10,528 10/26/2004 10,276 10,719 10/27/2004 10,360 10,766 10/28/2004 10,388 10,786 10/29/2004 10,432 10,860 10/30/2004 10,432 10,860 10/31/2004 10,432 10,860 11/1/2004 10,448 10,897 11/2/2004 10,440 10,856 11/3/2004 10,548 11,003 11/4/2004 10,740 11,238 11/5/2004 10,764 11,331 11/6/2004 10,764 11,331 11/7/2004 10,764 11,331 11/8/2004 10,740 11,326 11/9/2004 10,732 11,346 11/10/2004 10,744 11,367 11/11/2004 10,836 11,481 11/12/2004 10,944 11,610 11/13/2004 10,944 11,610 11/14/2004 10,944 11,610 11/15/2004 10,912 11,590 11/16/2004 10,836 11,526 11/17/2004 10,896 11,632 11/18/2004 10,908 11,649 11/19/2004 10,804 11,581 11/20/2004 10,804 11,581 11/21/2004 10,804 11,581 11/22/2004 10,892 11,710 11/23/2004 10,924 11,725 11/24/2004 10,972 11,821 11/25/2004 10,972 11,821 11/26/2004 10,992 11,886 11/27/2004 10,992 11,886 11/28/2004 10,992 11,886 11/29/2004 10,952 11,831 11/30/2004 10,920 11,787 12/1/2004 11,060 11,880 12/2/2004 11,004 11,780 12/3/2004 11,004 11,820 12/4/2004 11,004 11,820 12/5/2004 11,004 11,820 12/6/2004 11,012 11,808 12/7/2004 10,888 11,649 12/8/2004 10,928 11,655 12/9/2004 10,984 11,695 12/10/2004 10,976 11,708 12/11/2004 10,976 11,708 12/12/2004 10,976 11,708 12/13/2004 11,088 11,851 12/14/2004 11,120 11,905 12/15/2004 11,152 12,013 12/16/2004 11,108 11,961 12/17/2004 11,056 11,937 12/18/2004 11,056 11,937 12/19/2004 11,056 11,937 12/20/2004 11,044 11,947 12/21/2004 11,156 12,057 12/22/2004 11,208 12,070 12/23/2004 11,208 12,065 12/24/2004 11,208 12,065 12/25/2004 11,208 12,065 12/26/2004 11,208 12,065 12/27/2004 11,168 11,988 12/28/2004 11,252 12,086 12/29/2004 11,260 12,120 12/30/2004 11,261 12,124 12/31/2004 11,249 12,110 1/1/2005 11,249 12,110 1/2/2005 11,249 12,110 1/3/2005 11,143 11,927 1/4/2005 11,013 11,772 1/5/2005 10,976 11,639 1/6/2005 11,025 11,705 1/7/2005 10,993 11,679 1/8/2005 10,993 11,679 1/9/2005 10,993 11,679 1/10/2005 11,017 11,727 1/11/2005 10,944 11,658 1/12/2005 10,972 11,700 1/13/2005 10,895 11,702 1/14/2005 10,952 11,790 1/15/2005 10,952 11,790 1/16/2005 10,952 11,790 1/17/2005 10,952 11,790 1/18/2005 11,074 11,883 1/19/2005 10,960 11,808 1/20/2005 10,883 11,687 1/21/2005 10,818 11,639 1/22/2005 10,818 11,639 1/23/2005 10,818 11,639 1/24/2005 10,797 11,606 1/25/2005 10,814 11,610 1/26/2005 10,879 11,720 1/27/2005 10,879 11,764 1/28/2005 10,850 11,735 1/29/2005 10,850 11,735 1/30/2005 10,850 11,735 1/31/2005 10,960 11,884 2/1/2005 11,033 12,003 2/2/2005 11,054 12,085 2/3/2005 11,033 12,111 2/4/2005 11,159 12,254 2/5/2005 11,159 12,254 2/6/2005 11,159 12,254 2/7/2005 11,155 12,203 2/8/2005 11,159 12,217 2/9/2005 11,086 12,126 2/10/2005 11,135 12,184 2/11/2005 11,216 12,277 2/12/2005 11,216 12,277 2/13/2005 11,216 12,277 2/14/2005 11,212 12,302 2/15/2005 11,245 12,357 2/16/2005 11,240 12,426 2/17/2005 11,143 12,331 2/18/2005 11,135 12,338 2/19/2005 11,135 12,338 2/20/2005 11,135 12,338 2/21/2005 11,135 12,338 2/22/2005 10,976 12,114 2/23/2005 11,045 12,204 2/24/2005 11,119 12,313 2/25/2005 11,232 12,488 2/26/2005 11,232 12,488 2/27/2005 11,232 12,488 2/28/2005 11,139 12,400 3/1/2005 11,212 12,451 3/2/2005 11,204 12,444 3/3/2005 11,208 12,528 3/4/2005 11,330 12,693 3/5/2005 11,330 12,693 3/6/2005 11,330 12,693 3/7/2005 11,366 12,721 3/8/2005 11,314 12,654 3/9/2005 11,184 12,498 3/10/2005 11,200 12,484 3/11/2005 11,123 12,489 3/12/2005 11,123 12,489 3/13/2005 11,123 12,489 3/14/2005 11,208 12,598 3/15/2005 11,123 12,506 3/16/2005 11,037 12,367 3/17/2005 11,054 12,445 3/18/2005 11,037 12,408 3/19/2005 11,037 12,408 3/20/2005 11,037 12,408 3/21/2005 10,968 12,382 3/22/2005 10,830 12,232 3/23/2005 10,826 12,184 3/24/2005 10,818 12,207 3/25/2005 10,818 12,207 3/26/2005 10,818 12,207 3/27/2005 10,818 12,207 3/28/2005 10,838 12,151 3/29/2005 10,761 11,996 3/30/2005 10,907 12,172 3/31/2005 10,928 12,288 4/1/2005 10,858 12,320 4/2/2005 10,858 12,320 4/3/2005 10,858 12,320 4/4/2005 10,883 12,312 4/5/2005 10,915 12,342 4/6/2005 10,960 12,396 4/7/2005 11,013 12,438 4/8/2005 10,915 12,311 4/9/2005 10,915 12,311 4/10/2005 10,915 12,311 4/11/2005 10,919 12,331 4/12/2005 10,988 12,352 4/13/2005 10,846 12,173 4/14/2005 10,720 12,001 4/15/2005 10,525 11,701 4/16/2005 10,525 11,701 4/17/2005 10,525 11,701 4/18/2005 10,574 11,798 4/19/2005 10,647 11,936 4/20/2005 10,501 11,779 4/21/2005 10,676 12,001 4/22/2005 10,619 11,956 4/23/2005 10,619 11,956 4/24/2005 10,619 11,956 4/25/2005 10,716 12,071 4/26/2005 10,619 11,928 4/27/2005 10,672 11,920 4/28/2005 10,562 11,778 4/29/2005 10,688 11,920 4/30/2005 10,688 11,920 5/1/2005 10,688 11,920 5/2/2005 10,737 12,007 5/3/2005 10,712 11,969 5/4/2005 10,879 12,159 5/5/2005 10,842 12,108 5/6/2005 10,822 12,137 5/7/2005 10,822 12,137 5/8/2005 10,822 12,137 5/9/2005 10,903 12,260 5/10/2005 10,777 12,143 5/11/2005 10,814 12,165 5/12/2005 10,692 11,934 5/13/2005 10,619 11,780 5/14/2005 10,619 11,780 5/15/2005 10,619 11,780 5/16/2005 10,732 11,888 5/17/2005 10,822 12,022 5/18/2005 10,936 12,163 5/19/2005 10,984 12,246 5/20/2005 10,972 12,267 5/21/2005 10,972 12,267 5/22/2005 10,972 12,267 5/23/2005 11,009 12,298 5/24/2005 11,005 12,304 5/25/2005 10,968 12,309 5/26/2005 11,049 12,411 5/27/2005 11,062 12,470 5/28/2005 11,062 12,470 5/29/2005 11,062 12,470 5/30/2005 11,062 12,470 5/31/2005 11,005 12,451 6/1/2005 11,102 12,582 6/2/2005 11,114 12,600 6/3/2005 11,062 12,580 6/4/2005 11,062 12,580 6/5/2005 11,062 12,580 6/6/2005 11,074 12,615 6/7/2005 11,062 12,624 6/8/2005 11,058 12,647 6/9/2005 11,110 12,714 6/10/2005 11,110 12,747 6/11/2005 11,110 12,747 6/12/2005 11,110 12,747 6/13/2005 11,147 12,811 6/14/2005 11,184 12,901 6/15/2005 11,216 12,930 6/16/2005 11,265 12,984 6/17/2005 11,334 13,085 6/18/2005 11,334 13,085 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11,589 14,153 9/12/2005 11,577 14,095 9/13/2005 11,494 13,993 9/14/2005 11,478 14,017 9/15/2005 11,486 13,994 9/16/2005 11,601 14,079 9/17/2005 11,601 14,079 9/18/2005 11,601 14,079 9/19/2005 11,531 13,923 9/20/2005 11,432 13,755 9/21/2005 11,313 13,601 9/22/2005 11,346 13,621 9/23/2005 11,354 13,696 9/24/2005 11,354 13,696 9/25/2005 11,354 13,696 9/26/2005 11,366 13,649 9/27/2005 11,354 13,632 9/28/2005 11,371 13,678 9/29/2005 11,490 13,776 9/30/2005 11,490 13,846 10/1/2005 11,490 13,846 10/2/2005 11,490 13,846 10/3/2005 11,486 13,846 10/4/2005 11,358 13,701 10/5/2005 11,185 13,417 10/6/2005 11,127 13,303 10/7/2005 11,173 13,330 10/8/2005 11,173 13,330 10/9/2005 11,173 13,330 10/10/2005 11,070 13,023 10/11/2005 11,041 12,945 10/12/2005 10,954 12,839 10/13/2005 10,925 12,803 10/14/2005 11,016 12,915 10/15/2005 11,016 12,915 10/16/2005 11,016 12,915 10/17/2005 11,057 13,027 10/18/2005 10,942 12,852 10/19/2005 11,094 12,987 10/20/2005 10,905 12,829 10/21/2005 10,946 12,847 10/22/2005 10,946 12,847 10/23/2005 10,946 12,847 10/24/2005 11,156 13,083 10/25/2005 11,140 13,045 10/26/2005 11,103 13,015 10/27/2005 10,999 12,855 10/28/2005 11,197 13,079 10/29/2005 11,197 13,079 10/30/2005 11,197 13,079 10/31/2005 11,280 13,260 11/1/2005 11,259 13,234 11/2/2005 11,383 13,381 11/3/2005 11,404 13,366 11/4/2005 11,395 13,387 11/5/2005 11,395 13,387 11/6/2005 11,395 13,387 11/7/2005 11,420 13,438 11/8/2005 11,383 13,329 11/9/2005 11,412 13,363 11/10/2005 11,507 13,444 11/11/2005 11,548 13,474 11/12/2005 11,548 13,474 11/13/2005 11,548 13,474 11/14/2005 11,544 13,486 11/15/2005 11,469 13,405 11/16/2005 11,482 13,423 11/17/2005 11,614 13,597 11/18/2005 11,659 13,706 11/19/2005 11,659 13,706 11/20/2005 11,659 13,706 11/21/2005 11,713 13,725 11/22/2005 11,787 13,757 11/23/2005 11,845 13,818 11/24/2005 11,845 13,818 11/25/2005 11,865 13,832 11/26/2005 11,865 13,832 11/27/2005 11,865 13,832 11/28/2005 11,762 13,734 11/29/2005 11,775 13,740 11/30/2005 11,684 13,655 12/1/2005 11,832 13,827 12/2/2005 11,824 13,821 12/3/2005 11,824 13,821 12/4/2005 11,824 13,821 12/5/2005 11,803 13,776 12/6/2005 11,816 13,787 12/7/2005 11,750 13,717 12/8/2005 11,750 13,717 12/9/2005 11,791 13,797 12/10/2005 11,791 13,797 12/11/2005 11,791 13,797 12/12/2005 11,791 13,789 12/13/2005 11,869 13,866 12/14/2005 11,927 13,948 12/15/2005 11,886 13,897 12/16/2005 11,853 13,892 12/17/2005 11,853 13,892 12/18/2005 11,853 13,892 12/19/2005 11,758 13,772 12/20/2005 11,742 13,756 12/21/2005 11,791 13,814 12/22/2005 11,846 13,877 12/23/2005 11,850 13,884 12/24/2005 11,850 13,884 12/25/2005 11,850 13,884 12/26/2005 11,850 13,884 12/27/2005 11,766 13,790 12/28/2005 11,787 13,814 12/29/2005 11,783 13,807 12/30/2005 11,720 13,735 12/31/2005 11,720 13,735 1/1/2006 11,720 13,735 1/2/2006 11,720 13,735 1/3/2006 11,875 13,918 1/4/2006 11,963 14,024 1/5/2006 11,976 14,042 1/6/2006 12,073 14,156 1/7/2006 12,073 14,156 1/8/2006 12,073 14,156 1/9/2006 12,161 14,259 1/10/2006 12,152 14,252 1/11/2006 12,165 14,269 1/12/2006 12,073 14,161 1/13/2006 12,073 14,161 1/14/2006 12,073 14,161 1/15/2006 12,073 14,161 1/16/2006 12,073 14,161 1/17/2006 11,997 14,071 1/18/2006 11,984 14,057 1/19/2006 12,022 14,105 1/20/2006 11,867 13,920 1/21/2006 11,867 13,920 1/22/2006 11,867 13,920 1/23/2006 11,930 13,998 1/24/2006 12,022 14,107 1/25/2006 12,014 14,098 1/26/2006 12,077 14,170 1/27/2006 12,173 14,286 1/28/2006 12,173 14,286 1/29/2006 12,173 14,286 1/30/2006 12,169 14,286 1/31/2006 12,119 14,224 2/1/2006 12,140 14,253 2/2/2006 12,026 14,118 2/3/2006 11,934 14,013 2/4/2006 11,934 14,013 2/5/2006 11,934 14,013 2/6/2006 11,989 14,077 2/7/2006 11,888 13,957 2/8/2006 11,926 14,006 2/9/2006 11,913 13,990 2/10/2006 11,947 14,033 2/11/2006 11,947 14,033 2/12/2006 11,947 14,033 2/13/2006 11,905 13,985 2/14/2006 12,056 14,160 2/15/2006 12,081 14,194 2/16/2006 12,165 14,298 2/17/2006 12,194 14,331 2/18/2006 12,194 14,331 2/19/2006 12,194 14,331 2/20/2006 12,194 14,331 2/21/2006 12,178 14,318 2/22/2006 12,278 14,434 2/23/2006 12,220 14,369 2/24/2006 12,182 14,325 2/25/2006 12,182 14,325 2/26/2006 12,182 14,325 2/27/2006 12,215 14,363 2/28/2006 12,098 14,225 3/1/2006 12,173 14,315 3/2/2006 12,119 14,251 3/3/2006 12,094 14,224 3/4/2006 12,094 14,224 3/5/2006 12,094 14,224 3/6/2006 12,010 14,128 3/7/2006 11,968 14,081 3/8/2006 11,984 14,103 3/9/2006 11,951 14,060 3/10/2006 12,068 14,203 3/11/2006 12,068 14,203 3/12/2006 12,068 14,203 3/13/2006 12,102 14,243 3/14/2006 12,245 14,411 3/15/2006 12,308 14,490 3/16/2006 12,371 14,565 3/17/2006 12,396 14,595 3/18/2006 12,396 14,595 3/19/2006 12,396 14,595 3/20/2006 12,341 14,535 3/21/2006 12,278 14,460 3/22/2006 12,354 14,550 3/23/2006 12,337 14,531 3/24/2006 12,358 14,556 3/25/2006 12,358 14,556 3/26/2006 12,358 14,556 3/27/2006 12,362 14,559 3/28/2006 12,287 14,471 3/29/2006 12,379 14,579 3/30/2006 12,287 14,473 3/31/2006 12,236 14,415 4/1/2006 12,236 14,415 4/2/2006 12,236 14,415 4/3/2006 12,283 14,470 4/4/2006 12,371 14,576 4/5/2006 12,442 14,662 4/6/2006 12,400 14,613 4/7/2006 12,266 14,459 4/8/2006 12,266 14,459 4/9/2006 12,266 14,459 4/10/2006 12,253 14,443 4/11/2006 12,152 14,326 4/12/2006 12,207 14,389 4/13/2006 12,203 14,388 4/14/2006 12,203 14,388 4/15/2006 12,203 14,388 4/16/2006 12,203 14,388 4/17/2006 12,194 14,376 4/18/2006 12,438 14,664 4/19/2006 12,480 14,716 4/20/2006 12,518 14,761 4/21/2006 12,514 14,760 4/22/2006 12,514 14,760 4/23/2006 12,514 14,760 4/24/2006 12,493 14,734 4/25/2006 12,417 14,646 4/26/2006 12,514 14,759 4/27/2006 12,556 14,812 4/28/2006 12,598 14,861 4/29/2006 12,598 14,861 4/30/2006 12,598 14,861 5/1/2006 12,564 14,822 5/2/2006 12,669 14,947 5/3/2006 12,623 14,892 5/4/2006 12,657 14,937 5/5/2006 12,791 15,098 5/6/2006 12,791 15,098 5/7/2006 12,791 15,098 5/8/2006 12,820 15,131 5/9/2006 12,825 15,136 5/10/2006 12,867 15,189 5/11/2006 12,694 14,985 5/12/2006 12,522 14,784 5/13/2006 12,522 14,784 5/14/2006 12,522 14,784 5/15/2006 12,522 14,785 5/16/2006 12,467 14,720 5/17/2006 12,245 14,455 5/18/2006 12,169 14,365 5/19/2006 12,257 14,468 5/20/2006 12,257 14,468 5/21/2006 12,257 14,468 5/22/2006 12,220 14,426 5/23/2006 12,152 14,347 5/24/2006 12,152 14,345 5/25/2006 12,333 14,560 5/26/2006 12,446 14,698 5/27/2006 12,446 14,698 5/28/2006 12,446 14,698 5/29/2006 12,446 14,698 5/30/2006 12,236 14,450 5/31/2006 12,383 14,627 6/1/2006 12,560 14,835 6/2/2006 12,564 14,843 6/3/2006 12,564 14,843 6/4/2006 12,564 14,843 6/5/2006 12,341 14,580 6/6/2006 12,299 14,530 6/7/2006 12,228 14,447 6/8/2006 12,257 14,482 6/9/2006 12,241 14,466 6/10/2006 12,241 14,466 6/11/2006 12,241 14,466 6/12/2006 12,094 14,291 6/13/2006 11,938 14,105 6/14/2006 11,968 14,141 6/15/2006 12,262 14,494 6/16/2006 12,203 14,422 6/17/2006 12,203 14,422 6/18/2006 12,203 14,422 6/19/2006 12,089 14,288 6/20/2006 12,089 14,289 6/21/2006 12,207 14,430 6/22/2006 12,182 14,400 6/23/2006 12,190 14,413 6/24/2006 12,190 14,413 6/25/2006 12,190 14,413 6/26/2006 12,270 14,508 6/27/2006 12,140 14,357 6/28/2006 12,211 14,441 6/29/2006 12,459 14,734 6/30/2006 12,489 14,777 7/1/2006 12,489 14,777 7/2/2006 12,489 14,777 7/3/2006 12,552 14,854 7/4/2006 12,552 14,854 7/5/2006 12,438 14,717 7/6/2006 12,451 14,734 7/7/2006 12,404 14,680 7/8/2006 12,404 14,680 7/9/2006 12,404 14,680 7/10/2006 12,459 14,748 7/11/2006 12,489 14,784 7/12/2006 12,367 14,639 7/13/2006 12,165 14,405 7/14/2006 12,098 14,323 7/15/2006 12,098 14,323 7/16/2006 12,098 14,323 7/17/2006 12,068 14,291 7/18/2006 12,085 14,311 7/19/2006 12,283 14,546 7/20/2006 12,178 14,418 7/21/2006 12,089 14,317 7/22/2006 12,089 14,317 7/23/2006 12,089 14,317 7/24/2006 12,274 14,539 7/25/2006 12,383 14,672 7/26/2006 12,392 14,681 7/27/2006 12,283 14,554 7/28/2006 12,417 14,714 7/29/2006 12,417 14,714 7/30/2006 12,417 14,714 7/31/2006 12,409 14,706 8/1/2006 12,325 14,606 8/2/2006 12,396 14,694 8/3/2006 12,467 14,778 8/4/2006 12,446 14,756 8/5/2006 12,446 14,756 8/6/2006 12,446 14,756 8/7/2006 12,413 14,715 8/8/2006 12,375 14,669 8/9/2006 12,287 14,566 8/10/2006 12,333 14,621 8/11/2006 12,278 14,562 8/12/2006 12,278 14,562 8/13/2006 12,278 14,562 8/14/2006 12,312 14,602 8/15/2006 12,476 14,803 8/16/2006 12,581 14,929 8/17/2006 12,581 14,930 8/18/2006 12,594 14,949 8/19/2006 12,594 14,949 8/20/2006 12,594 14,949 8/21/2006 12,526 14,870 8/22/2006 12,552 14,898 8/23/2006 12,476 14,807 8/24/2006 12,467 14,800 8/25/2006 12,459 14,793 8/26/2006 12,459 14,793 8/27/2006 12,459 14,793 8/28/2006 12,539 14,885 8/29/2006 12,573 14,927 8/30/2006 12,547 14,898 8/31/2006 12,598 14,959 9/1/2006 12,657 15,030 9/2/2006 12,657 15,030 9/3/2006 12,657 15,030 9/4/2006 12,657 15,030 9/5/2006 12,678 15,058 9/6/2006 12,581 14,942 9/7/2006 12,531 14,884 9/8/2006 12,602 14,970 9/9/2006 12,602 14,970 9/10/2006 12,602 14,970 9/11/2006 12,581 14,947 9/12/2006 12,728 15,122 9/13/2006 12,795 15,203 9/14/2006 12,745 15,147 9/15/2006 12,728 15,125 9/16/2006 12,728 15,125 9/17/2006 12,728 15,125 9/18/2006 12,711 15,108 9/19/2006 12,686 15,079 9/20/2006 12,749 15,154 9/21/2006 12,644 15,029 9/22/2006 12,610 14,990 9/23/2006 12,610 14,990 9/24/2006 12,610 14,990 9/25/2006 12,736 15,143 9/26/2006 12,833 15,260 9/27/2006 12,850 15,281 9/28/2006 12,871 15,304 9/29/2006 12,808 15,231 9/30/2006 12,808 15,231 10/1/2006 12,808 15,231 10/2/2006 12,812 15,238 10/3/2006 12,846 15,278 10/4/2006 12,976 15,432 10/5/2006 12,976 15,432 10/6/2006 12,892 15,336 10/7/2006 12,892 15,336 10/8/2006 12,892 15,336 10/9/2006 12,938 15,392 10/10/2006 13,001 15,466 10/11/2006 13,022 15,493 10/12/2006 13,148 15,646 10/13/2006 13,198 15,705 10/14/2006 13,198 15,705 10/15/2006 13,198 15,705 10/16/2006 13,249 15,768 10/17/2006 13,203 15,711 10/18/2006 13,215 15,728 10/19/2006 13,211 15,727 10/20/2006 13,203 15,716 10/21/2006 13,203 15,716 10/22/2006 13,203 15,716 10/23/2006 13,291 15,821 10/24/2006 13,337 15,879 10/25/2006 13,354 15,898 10/26/2006 13,413 15,971 10/27/2006 13,299 15,838 10/28/2006 13,299 15,838 10/29/2006 13,299 15,838 10/30/2006 13,333 15,877 10/31/2006 13,287 15,823 11/1/2006 13,224 15,751 11/2/2006 13,203 15,725 11/3/2006 13,123 15,636 11/4/2006 13,123 15,636 11/5/2006 13,123 15,636 11/6/2006 13,261 15,804 11/7/2006 13,278 15,821 11/8/2006 13,329 15,883 11/9/2006 13,278 15,825 11/10/2006 13,345 15,905 11/11/2006 13,345 15,905 11/12/2006 13,345 15,905 11/13/2006 13,379 15,945 11/14/2006 13,488 16,076 11/15/2006 13,497 16,090 11/16/2006 13,534 16,140 11/17/2006 13,509 16,111 11/18/2006 13,509 16,111 11/19/2006 13,509 16,111 11/20/2006 13,509 16,111 11/21/2006 13,539 16,146 11/22/2006 13,555 16,169 11/23/2006 13,555 16,169 11/24/2006 13,543 16,152 11/25/2006 13,543 16,152 11/26/2006 13,543 16,152 11/27/2006 13,354 15,927 11/28/2006 13,375 15,953 11/29/2006 13,543 16,155 11/30/2006 13,581 16,200 12/1/2006 13,530 16,146 12/2/2006 13,530 16,146 12/3/2006 13,530 16,146 12/4/2006 13,698 16,344 12/5/2006 13,736 16,392 12/6/2006 13,715 16,369 12/7/2006 13,660 16,305 12/8/2006 13,681 16,331 12/9/2006 13,681 16,331 12/10/2006 13,681 16,331 12/11/2006 13,720 16,380 12/12/2006 13,712 16,367 12/13/2006 13,716 16,374 12/14/2006 13,829 16,512 12/15/2006 13,820 16,500 12/16/2006 13,820 16,500 12/17/2006 13,820 16,500 12/18/2006 13,746 16,426 12/19/2006 13,764 16,445 12/20/2006 13,785 16,474 12/21/2006 13,742 16,420 12/22/2006 13,703 16,380 12/23/2006 13,703 16,380 12/24/2006 13,703 16,380 12/25/2006 13,703 16,380 12/26/2006 13,781 16,474 12/27/2006 13,889 16,602 12/28/2006 13,850 16,557 12/29/2006 13,790 16,489 12/30/2006 13,790 16,489 12/31/2006 13,790 16,489 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND 17.66% 12.82% S&P 500/CITIGROUP PURE VALUE INDEX 20.05% 20.66% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500/CITIGROUP PURE VALUE INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] S&P 500/CITIGROUP LARGE-CAP VALUE FUND PURE VALUE INDEX OTHER 9.9% 8.9% FINANCIALS 23.8% 20.8% UTILITIES 20.1% 16.6% CONSUMER DISCRETIONARY 16.4% 16.8% MATERIALS 8.4% 11.5% CONSUMER STAPLES 7.6% 8.8% TELECOMMUNICATION SERVICES 7.5% INDUSTRIALS 5.7% 10.2% INFORMATION TECHNOLOGY 6.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Ford Motor Co. 2.3% Fannie Mae 1.8% Embarq Corp. 1.8% Sanmina-SCI Corp. 1.7% Supervalu, Inc. 1.4% Dillard's, Inc. -- Class A 1.3% General Motors Corp. 1.3% DTE Energy Co. 1.3% NiSource, Inc. 1.2% Keyspan Corp. 1.2% -------------------------------------------------------------------------------- Top Ten Total 15.3% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 27 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for small-cap growth securities. The Fund's current benchmark is the S&P SmallCap 600/Citigroup Pure Growth Index. INCEPTION: May 3, 2004 For 2006, the S&P SmallCap 600/Citigroup Pure Growth Index posted its fourth consecutive annual gain. Growth stocks underperformed value stocks in 2006; however, the index was still able to gain 9.79%, as small-capitalization stocks performed well in general. Rydex Small-Cap Growth Fund gained 7.73% for the period, as the health care, information technology and consumer staples sectors helped drive returns. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P SMALL CAP 600/ DATE SMALL-CAP GROWTH FUND CITIGROUP PURE GROWTH INDEX 5/3/2004 10,000 10,000 5/4/2004 10,056 9,998 5/5/2004 10,104 10,022 5/6/2004 9,976 9,862 5/7/2004 9,748 9,591 5/8/2004 9,748 9,591 5/9/2004 9,748 9,591 5/10/2004 9,560 9,413 5/11/2004 9,752 9,575 5/12/2004 9,752 9,588 5/13/2004 9,720 9,540 5/14/2004 9,664 9,525 5/15/2004 9,664 9,525 5/16/2004 9,664 9,525 5/17/2004 9,520 9,423 5/18/2004 9,628 9,505 5/19/2004 9,616 9,466 5/20/2004 9,612 9,460 5/21/2004 9,704 9,563 5/22/2004 9,704 9,563 5/23/2004 9,704 9,563 5/24/2004 9,804 9,679 5/25/2004 10,060 9,941 5/26/2004 10,112 9,960 5/27/2004 10,112 9,949 5/28/2004 10,096 9,929 5/29/2004 10,096 9,929 5/30/2004 10,096 9,929 5/31/2004 10,096 9,929 6/1/2004 10,168 10,017 6/2/2004 10,204 10,041 6/3/2004 10,028 9,888 6/4/2004 10,120 9,967 6/5/2004 10,120 9,967 6/6/2004 10,120 9,967 6/7/2004 10,308 10,164 6/8/2004 10,324 10,182 6/9/2004 10,204 10,068 6/10/2004 10,192 10,069 6/11/2004 10,192 10,069 6/12/2004 10,192 10,069 6/13/2004 10,192 10,069 6/14/2004 10,044 9,949 6/15/2004 10,224 10,101 6/16/2004 10,304 10,161 6/17/2004 10,288 10,185 6/18/2004 10,284 10,195 6/19/2004 10,284 10,195 6/20/2004 10,284 10,195 6/21/2004 10,268 10,192 6/22/2004 10,336 10,240 6/23/2004 10,468 10,368 6/24/2004 10,460 10,380 6/25/2004 10,556 10,468 6/26/2004 10,556 10,468 6/27/2004 10,556 10,468 6/28/2004 10,492 10,416 6/29/2004 10,576 10,480 6/30/2004 10,648 10,552 7/1/2004 10,488 10,447 7/2/2004 10,444 10,432 7/3/2004 10,444 10,432 7/4/2004 10,444 10,432 7/5/2004 10,444 10,432 7/6/2004 10,272 10,306 7/7/2004 10,232 10,280 7/8/2004 10,072 10,097 7/9/2004 10,100 10,123 7/10/2004 10,100 10,123 7/11/2004 10,100 10,123 7/12/2004 10,036 10,090 7/13/2004 10,048 10,114 7/14/2004 9,984 10,079 7/15/2004 10,040 10,119 7/16/2004 9,960 10,043 7/17/2004 9,960 10,043 7/18/2004 9,960 10,043 7/19/2004 9,924 9,956 7/20/2004 10,068 10,120 7/21/2004 9,820 9,887 7/22/2004 9,796 9,857 7/23/2004 9,664 9,755 7/24/2004 9,664 9,755 7/25/2004 9,664 9,755 7/26/2004 9,560 9,640 7/27/2004 9,748 9,823 7/28/2004 9,708 9,816 7/29/2004 9,868 9,962 7/30/2004 9,924 9,961 7/31/2004 9,924 9,961 8/1/2004 9,924 9,961 8/2/2004 9,920 9,969 8/3/2004 9,784 9,844 8/4/2004 9,748 9,793 8/5/2004 9,556 9,606 8/6/2004 9,284 9,352 8/7/2004 9,284 9,352 8/8/2004 9,284 9,352 8/9/2004 9,300 9,334 8/10/2004 9,456 9,493 8/11/2004 9,440 9,481 8/12/2004 9,244 9,303 8/13/2004 9,244 9,342 8/14/2004 9,244 9,342 8/15/2004 9,244 9,342 8/16/2004 9,428 9,513 8/17/2004 9,464 9,559 8/18/2004 9,652 9,713 8/19/2004 9,628 9,712 8/20/2004 9,772 9,879 8/21/2004 9,772 9,879 8/22/2004 9,772 9,879 8/23/2004 9,720 9,831 8/24/2004 9,700 9,804 8/25/2004 9,768 9,855 8/26/2004 9,732 9,849 8/27/2004 9,808 9,929 8/28/2004 9,808 9,929 8/29/2004 9,808 9,929 8/30/2004 9,672 9,816 8/31/2004 9,704 9,860 9/1/2004 9,820 9,958 9/2/2004 9,952 10,109 9/3/2004 9,912 10,081 9/4/2004 9,912 10,081 9/5/2004 9,912 10,081 9/6/2004 9,912 10,081 9/7/2004 10,024 10,209 9/8/2004 9,932 10,103 9/9/2004 10,056 10,222 9/10/2004 10,140 10,296 9/11/2004 10,140 10,296 9/12/2004 10,140 10,296 9/13/2004 10,216 10,381 9/14/2004 10,208 10,361 9/15/2004 10,152 10,310 9/16/2004 10,232 10,400 9/17/2004 10,212 10,410 9/18/2004 10,212 10,410 9/19/2004 10,212 10,410 9/20/2004 10,192 10,406 9/21/2004 10,324 10,576 9/22/2004 10,104 10,375 9/23/2004 10,108 10,373 9/24/2004 10,132 10,399 9/25/2004 10,132 10,399 9/26/2004 10,132 10,399 9/27/2004 9,972 10,259 9/28/2004 10,108 10,368 9/29/2004 10,236 10,499 9/30/2004 10,228 10,496 10/1/2004 10,416 10,650 10/2/2004 10,416 10,650 10/3/2004 10,416 10,650 10/4/2004 10,484 10,709 10/5/2004 10,444 10,673 10/6/2004 10,524 10,765 10/7/2004 10,384 10,628 10/8/2004 10,216 10,496 10/9/2004 10,216 10,496 10/10/2004 10,216 10,496 10/11/2004 10,252 10,522 10/12/2004 10,232 10,526 10/13/2004 10,132 10,415 10/14/2004 10,084 10,374 10/15/2004 10,152 10,395 10/16/2004 10,152 10,395 10/17/2004 10,152 10,395 10/18/2004 10,180 10,398 10/19/2004 10,132 10,341 10/20/2004 10,208 10,415 10/21/2004 10,340 10,540 10/22/2004 10,212 10,405 10/23/2004 10,212 10,405 10/24/2004 10,212 10,405 10/25/2004 10,264 10,458 10/26/2004 10,360 10,600 10/27/2004 10,528 10,742 10/28/2004 10,480 10,720 10/29/2004 10,496 10,716 10/30/2004 10,496 10,716 10/31/2004 10,496 10,716 11/1/2004 10,532 10,768 11/2/2004 10,504 10,751 11/3/2004 10,700 10,957 11/4/2004 10,844 11,091 11/5/2004 10,932 11,169 11/6/2004 10,932 11,169 11/7/2004 10,932 11,169 11/8/2004 10,884 11,128 11/9/2004 10,932 11,227 11/10/2004 10,968 11,288 11/11/2004 11,068 11,397 11/12/2004 11,164 11,512 11/13/2004 11,164 11,512 11/14/2004 11,164 11,512 11/15/2004 11,176 11,528 11/16/2004 11,052 11,402 11/17/2004 11,160 11,479 11/18/2004 11,140 11,473 11/19/2004 10,964 11,292 11/20/2004 10,964 11,292 11/21/2004 10,964 11,292 11/22/2004 11,128 11,471 11/23/2004 11,184 11,542 11/24/2004 11,260 11,607 11/25/2004 11,260 11,607 11/26/2004 11,276 11,634 11/27/2004 11,276 11,634 11/28/2004 11,276 11,634 11/29/2004 11,320 11,673 11/30/2004 11,312 11,643 12/1/2004 11,440 11,774 12/2/2004 11,412 11,720 12/3/2004 11,392 11,694 12/4/2004 11,392 11,694 12/5/2004 11,392 11,694 12/6/2004 11,328 11,644 12/7/2004 11,076 11,416 12/8/2004 11,160 11,503 12/9/2004 11,132 11,501 12/10/2004 11,164 11,563 12/11/2004 11,164 11,563 12/12/2004 11,164 11,563 12/13/2004 11,272 11,667 12/14/2004 11,372 11,777 12/15/2004 11,432 11,876 12/16/2004 11,368 11,837 12/17/2004 11,364 11,826 12/18/2004 11,364 11,826 12/19/2004 11,364 11,826 12/20/2004 11,316 11,766 12/21/2004 11,460 11,889 12/22/2004 11,512 11,986 12/23/2004 11,528 11,997 12/24/2004 11,528 11,997 12/25/2004 11,528 11,997 12/26/2004 11,528 11,997 12/27/2004 11,400 11,898 12/28/2004 11,612 12,101 12/29/2004 11,608 12,125 12/30/2004 11,598 12,120 12/31/2004 11,582 12,070 1/1/2005 11,582 12,070 1/2/2005 11,582 12,070 1/3/2005 11,375 11,839 1/4/2005 11,172 11,625 1/5/2005 11,010 11,467 1/6/2005 11,058 11,547 1/7/2005 10,957 11,462 1/8/2005 10,957 11,462 1/9/2005 10,957 11,462 1/10/2005 11,079 11,620 1/11/2005 11,014 11,566 1/12/2005 11,038 11,596 1/13/2005 11,046 11,599 1/14/2005 11,139 11,709 1/15/2005 11,139 11,709 1/16/2005 11,139 11,709 1/17/2005 11,139 11,709 1/18/2005 11,294 11,867 1/19/2005 11,188 11,735 1/20/2005 11,119 11,638 1/21/2005 11,107 11,614 1/22/2005 11,107 11,614 1/23/2005 11,107 11,614 1/24/2005 11,010 11,484 1/25/2005 11,050 11,502 1/26/2005 11,249 11,744 1/27/2005 11,273 11,747 1/28/2005 11,208 11,711 1/29/2005 11,208 11,711 1/30/2005 11,208 11,711 1/31/2005 11,440 11,942 2/1/2005 11,533 12,061 2/2/2005 11,618 12,143 2/3/2005 11,606 12,109 2/4/2005 11,756 12,282 2/5/2005 11,756 12,282 2/6/2005 11,756 12,282 2/7/2005 11,728 12,273 2/8/2005 11,788 12,302 2/9/2005 11,533 12,056 2/10/2005 11,586 12,079 2/11/2005 11,707 12,177 2/12/2005 11,707 12,177 2/13/2005 11,707 12,177 2/14/2005 11,691 12,176 2/15/2005 11,728 12,203 2/16/2005 11,788 12,262 2/17/2005 11,671 12,143 2/18/2005 11,655 12,140 2/19/2005 11,655 12,140 2/20/2005 11,655 12,140 2/21/2005 11,655 12,140 2/22/2005 11,411 11,878 2/23/2005 11,472 11,972 2/24/2005 11,610 12,124 2/25/2005 11,784 12,313 2/26/2005 11,784 12,313 2/27/2005 11,784 12,313 2/28/2005 11,724 12,256 3/1/2005 11,776 12,333 3/2/2005 11,801 12,341 3/3/2005 11,797 12,376 3/4/2005 11,922 12,490 3/5/2005 11,922 12,490 3/6/2005 11,922 12,490 3/7/2005 11,926 12,476 3/8/2005 11,813 12,381 3/9/2005 11,667 12,211 3/10/2005 11,553 12,095 3/11/2005 11,582 12,109 3/12/2005 11,582 12,109 3/13/2005 11,582 12,109 3/14/2005 11,630 12,117 3/15/2005 11,578 12,049 3/16/2005 11,513 12,004 3/17/2005 11,545 12,001 3/18/2005 11,521 11,955 3/19/2005 11,521 11,955 3/20/2005 11,521 11,955 3/21/2005 11,492 11,932 3/22/2005 11,452 11,877 3/23/2005 11,289 11,740 3/24/2005 11,334 11,797 3/25/2005 11,334 11,797 3/26/2005 11,334 11,797 3/27/2005 11,334 11,797 3/28/2005 11,346 11,874 3/29/2005 11,160 11,679 3/30/2005 11,338 11,860 3/31/2005 11,330 11,831 4/1/2005 11,302 11,836 4/2/2005 11,302 11,836 4/3/2005 11,302 11,836 4/4/2005 11,334 11,867 4/5/2005 11,358 11,924 4/6/2005 11,379 11,947 4/7/2005 11,427 12,003 4/8/2005 11,261 11,832 4/9/2005 11,261 11,832 4/10/2005 11,261 11,832 4/11/2005 11,229 11,810 4/12/2005 11,285 11,875 4/13/2005 11,099 11,722 4/14/2005 10,892 11,516 4/15/2005 10,677 11,327 4/16/2005 10,677 11,327 4/17/2005 10,677 11,327 4/18/2005 10,770 11,412 4/19/2005 10,973 11,601 4/20/2005 10,811 11,395 4/21/2005 11,079 11,679 4/22/2005 10,896 11,486 4/23/2005 10,896 11,486 4/24/2005 10,896 11,486 4/25/2005 11,026 11,665 4/26/2005 10,839 11,490 4/27/2005 10,831 11,497 4/28/2005 10,600 11,311 4/29/2005 10,665 11,382 4/30/2005 10,665 11,382 5/1/2005 10,665 11,382 5/2/2005 10,827 11,528 5/3/2005 10,803 11,535 5/4/2005 10,969 11,727 5/5/2005 10,997 11,776 5/6/2005 11,030 11,794 5/7/2005 11,030 11,794 5/8/2005 11,030 11,794 5/9/2005 11,131 11,903 5/10/2005 10,965 11,741 5/11/2005 10,989 11,757 5/12/2005 10,855 11,612 5/13/2005 10,774 11,499 5/14/2005 10,774 11,499 5/15/2005 10,774 11,499 5/16/2005 10,945 11,721 5/17/2005 11,026 11,791 5/18/2005 11,253 12,040 5/19/2005 11,306 12,108 5/20/2005 11,265 12,070 5/21/2005 11,265 12,070 5/22/2005 11,265 12,070 5/23/2005 11,342 12,157 5/24/2005 11,363 12,176 5/25/2005 11,237 12,067 5/26/2005 11,387 12,217 5/27/2005 11,427 12,239 5/28/2005 11,427 12,239 5/29/2005 11,427 12,239 5/30/2005 11,427 12,239 5/31/2005 11,423 12,215 6/1/2005 11,525 12,371 6/2/2005 11,553 12,417 6/3/2005 11,476 12,341 6/4/2005 11,476 12,341 6/5/2005 11,476 12,341 6/6/2005 11,529 12,415 6/7/2005 11,537 12,428 6/8/2005 11,452 12,323 6/9/2005 11,545 12,446 6/10/2005 11,513 12,395 6/11/2005 11,513 12,395 6/12/2005 11,513 12,395 6/13/2005 11,557 12,423 6/14/2005 11,622 12,514 6/15/2005 11,667 12,584 6/16/2005 11,784 12,679 6/17/2005 11,780 12,672 6/18/2005 11,780 12,672 6/19/2005 11,780 12,672 6/20/2005 11,760 12,650 6/21/2005 11,732 12,625 6/22/2005 11,764 12,638 6/23/2005 11,610 12,483 6/24/2005 11,464 12,337 6/25/2005 11,464 12,337 6/26/2005 11,464 12,337 6/27/2005 11,480 12,355 6/28/2005 11,659 12,566 6/29/2005 11,711 12,588 6/30/2005 11,703 12,592 7/1/2005 11,772 12,649 7/2/2005 11,772 12,649 7/3/2005 11,772 12,649 7/4/2005 11,772 12,649 7/5/2005 11,947 12,853 7/6/2005 11,866 12,763 7/7/2005 11,922 12,822 7/8/2005 12,113 13,047 7/9/2005 12,113 13,047 7/10/2005 12,113 13,047 7/11/2005 12,239 13,200 7/12/2005 12,243 13,187 7/13/2005 12,162 13,085 7/14/2005 12,081 13,032 7/15/2005 12,093 13,044 7/16/2005 12,093 13,044 7/17/2005 12,093 13,044 7/18/2005 12,008 12,945 7/19/2005 12,194 13,111 7/20/2005 12,344 13,245 7/21/2005 12,133 12,969 7/22/2005 12,312 13,163 7/23/2005 12,312 13,163 7/24/2005 12,312 13,163 7/25/2005 12,218 13,009 7/26/2005 12,231 13,040 7/27/2005 12,259 13,080 7/28/2005 12,458 13,253 7/29/2005 12,401 13,203 7/30/2005 12,401 13,203 7/31/2005 12,401 13,203 8/1/2005 12,470 13,271 8/2/2005 12,559 13,351 8/3/2005 12,498 13,278 8/4/2005 12,360 13,146 8/5/2005 12,186 12,973 8/6/2005 12,186 12,973 8/7/2005 12,186 12,973 8/8/2005 12,137 12,891 8/9/2005 12,149 12,888 8/10/2005 12,218 12,898 8/11/2005 12,308 12,982 8/12/2005 12,218 12,875 8/13/2005 12,218 12,875 8/14/2005 12,218 12,875 8/15/2005 12,275 12,962 8/16/2005 12,072 12,767 8/17/2005 12,036 12,690 8/18/2005 11,999 12,653 8/19/2005 12,008 12,646 8/20/2005 12,008 12,646 8/21/2005 12,008 12,646 8/22/2005 12,056 12,706 8/23/2005 12,024 12,683 8/24/2005 12,008 12,713 8/25/2005 12,024 12,713 8/26/2005 11,902 12,559 8/27/2005 11,902 12,559 8/28/2005 11,902 12,559 8/29/2005 12,003 12,686 8/30/2005 11,991 12,658 8/31/2005 12,251 12,915 9/1/2005 12,296 12,959 9/2/2005 12,174 12,821 9/3/2005 12,174 12,821 9/4/2005 12,174 12,821 9/5/2005 12,174 12,821 9/6/2005 12,369 13,025 9/7/2005 12,438 13,135 9/8/2005 12,363 13,066 9/9/2005 12,468 13,174 9/10/2005 12,468 13,174 9/11/2005 12,468 13,174 9/12/2005 12,493 13,172 9/13/2005 12,388 13,051 9/14/2005 12,292 12,951 9/15/2005 12,304 12,937 9/16/2005 12,401 12,992 9/17/2005 12,401 12,992 9/18/2005 12,401 12,992 9/19/2005 12,354 13,035 9/20/2005 12,208 12,908 9/21/2005 12,048 12,713 9/22/2005 12,057 12,731 9/23/2005 12,149 12,802 9/24/2005 12,149 12,802 9/25/2005 12,149 12,802 9/26/2005 12,279 12,915 9/27/2005 12,275 12,903 9/28/2005 12,262 12,849 9/29/2005 12,388 12,938 9/30/2005 12,413 12,974 10/1/2005 12,413 12,974 10/2/2005 12,413 12,974 10/3/2005 12,497 13,011 10/4/2005 12,333 12,882 10/5/2005 11,998 12,548 10/6/2005 11,868 12,466 10/7/2005 11,985 12,575 10/8/2005 11,985 12,575 10/9/2005 11,985 12,575 10/10/2005 11,818 12,422 10/11/2005 11,734 12,321 10/12/2005 11,554 12,124 10/13/2005 11,529 12,124 10/14/2005 11,738 12,302 10/15/2005 11,738 12,302 10/16/2005 11,738 12,302 10/17/2005 11,793 12,369 10/18/2005 11,625 12,220 10/19/2005 11,843 12,449 10/20/2005 11,633 12,250 10/21/2005 11,709 12,348 10/22/2005 11,709 12,348 10/23/2005 11,709 12,348 10/24/2005 11,965 12,610 10/25/2005 11,927 12,527 10/26/2005 11,826 12,397 10/27/2005 11,533 12,049 10/28/2005 11,751 12,313 10/29/2005 11,751 12,313 10/30/2005 11,751 12,313 10/31/2005 11,960 12,540 11/1/2005 11,927 12,504 11/2/2005 12,183 12,778 11/3/2005 12,208 12,784 11/4/2005 12,170 12,779 11/5/2005 12,170 12,779 11/6/2005 12,170 12,779 11/7/2005 12,195 12,801 11/8/2005 12,128 12,719 11/9/2005 12,157 12,777 11/10/2005 12,208 12,863 11/11/2005 12,250 12,879 11/12/2005 12,250 12,879 11/13/2005 12,250 12,879 11/14/2005 12,224 12,896 11/15/2005 12,107 12,746 11/16/2005 12,111 12,740 11/17/2005 12,342 12,973 11/18/2005 12,405 13,014 11/19/2005 12,405 13,014 11/20/2005 12,405 13,014 11/21/2005 12,530 13,131 11/22/2005 12,635 13,234 11/23/2005 12,631 13,216 11/24/2005 12,631 13,216 11/25/2005 12,656 13,241 11/26/2005 12,656 13,241 11/27/2005 12,656 13,241 11/28/2005 12,405 13,002 11/29/2005 12,476 13,056 11/30/2005 12,514 13,074 12/1/2005 12,740 13,221 12/2/2005 12,765 13,247 12/3/2005 12,765 13,247 12/4/2005 12,765 13,247 12/5/2005 12,711 13,226 12/6/2005 12,748 13,265 12/7/2005 12,635 13,179 12/8/2005 12,673 13,248 12/9/2005 12,707 13,280 12/10/2005 12,707 13,280 12/11/2005 12,707 13,280 12/12/2005 12,736 13,281 12/13/2005 12,744 13,346 12/14/2005 12,816 13,434 12/15/2005 12,656 13,253 12/16/2005 12,598 13,197 12/17/2005 12,598 13,197 12/18/2005 12,598 13,197 12/19/2005 12,388 13,000 12/20/2005 12,413 13,024 12/21/2005 12,514 13,140 12/22/2005 12,527 13,155 12/23/2005 12,574 13,210 12/24/2005 12,574 13,210 12/25/2005 12,574 13,210 12/26/2005 12,574 13,210 12/27/2005 12,398 13,025 12/28/2005 12,471 13,102 12/29/2005 12,424 13,054 12/30/2005 12,299 12,927 12/31/2005 12,299 12,927 1/1/2006 12,299 12,927 1/2/2006 12,299 12,927 1/3/2006 12,463 13,098 1/4/2006 12,497 13,136 1/5/2006 12,480 13,119 1/6/2006 12,570 13,216 1/7/2006 12,570 13,216 1/8/2006 12,570 13,216 1/9/2006 12,767 13,429 1/10/2006 12,853 13,520 1/11/2006 12,785 13,451 1/12/2006 12,699 13,360 1/13/2006 12,699 13,364 1/14/2006 12,699 13,364 1/15/2006 12,699 13,364 1/16/2006 12,699 13,364 1/17/2006 12,630 13,294 1/18/2006 12,540 13,204 1/19/2006 12,733 13,412 1/20/2006 12,566 13,237 1/21/2006 12,566 13,237 1/22/2006 12,566 13,237 1/23/2006 12,548 13,218 1/24/2006 12,712 13,390 1/25/2006 12,669 13,349 1/26/2006 12,896 13,588 1/27/2006 12,991 13,692 1/28/2006 12,991 13,692 1/29/2006 12,991 13,692 1/30/2006 13,025 13,731 1/31/2006 13,060 13,768 2/1/2006 13,115 13,825 2/2/2006 12,965 13,669 2/3/2006 12,918 13,621 2/4/2006 12,918 13,621 2/5/2006 12,918 13,621 2/6/2006 12,883 13,584 2/7/2006 12,716 13,406 2/8/2006 12,716 13,408 2/9/2006 12,626 13,315 2/10/2006 12,630 13,321 2/11/2006 12,630 13,321 2/12/2006 12,630 13,321 2/13/2006 12,480 13,162 2/14/2006 12,630 13,324 2/15/2006 12,759 13,459 2/16/2006 12,836 13,544 2/17/2006 12,853 13,560 2/18/2006 12,853 13,560 2/19/2006 12,853 13,560 2/20/2006 12,853 13,560 2/21/2006 12,823 13,530 2/22/2006 12,901 13,613 2/23/2006 12,883 13,596 2/24/2006 12,948 13,665 2/25/2006 12,948 13,665 2/26/2006 12,948 13,665 2/27/2006 13,008 13,729 2/28/2006 12,875 13,588 3/1/2006 13,029 13,755 3/2/2006 12,991 13,714 3/3/2006 12,978 13,706 3/4/2006 12,978 13,706 3/5/2006 12,978 13,706 3/6/2006 12,823 13,543 3/7/2006 12,694 13,409 3/8/2006 12,733 13,448 3/9/2006 12,682 13,394 3/10/2006 12,828 13,554 3/11/2006 12,828 13,554 3/12/2006 12,828 13,554 3/13/2006 12,858 13,586 3/14/2006 12,914 13,643 3/15/2006 13,038 13,777 3/16/2006 13,081 13,824 3/17/2006 13,124 13,874 3/18/2006 13,124 13,874 3/19/2006 13,124 13,874 3/20/2006 13,107 13,856 3/21/2006 13,072 13,821 3/22/2006 13,201 13,956 3/23/2006 13,266 14,024 3/24/2006 13,326 14,093 3/25/2006 13,326 14,093 3/26/2006 13,326 14,093 3/27/2006 13,309 14,073 3/28/2006 13,244 14,005 3/29/2006 13,425 14,199 3/30/2006 13,412 14,187 3/31/2006 13,472 14,251 4/1/2006 13,472 14,251 4/2/2006 13,472 14,251 4/3/2006 13,334 14,106 4/4/2006 13,412 14,191 4/5/2006 13,433 14,212 4/6/2006 13,429 14,210 4/7/2006 13,270 14,044 4/8/2006 13,270 14,044 4/9/2006 13,270 14,044 4/10/2006 13,227 13,998 4/11/2006 13,072 13,834 4/12/2006 13,145 13,913 4/13/2006 13,184 13,957 4/14/2006 13,184 13,957 4/15/2006 13,184 13,957 4/16/2006 13,184 13,957 4/17/2006 13,188 13,961 4/18/2006 13,476 14,264 4/19/2006 13,575 14,373 4/20/2006 13,571 14,370 4/21/2006 13,480 14,276 4/22/2006 13,480 14,276 4/23/2006 13,480 14,276 4/24/2006 13,472 14,265 4/25/2006 13,442 14,234 4/26/2006 13,519 14,318 4/27/2006 13,446 14,240 4/28/2006 13,506 14,307 4/29/2006 13,506 14,307 4/30/2006 13,506 14,307 5/1/2006 13,429 14,226 5/2/2006 13,519 14,322 5/3/2006 13,506 14,309 5/4/2006 13,605 14,416 5/5/2006 13,777 14,597 5/6/2006 13,777 14,597 5/7/2006 13,777 14,597 5/8/2006 13,777 14,601 5/9/2006 13,747 14,569 5/10/2006 13,631 14,450 5/11/2006 13,317 14,114 5/12/2006 13,102 13,888 5/13/2006 13,102 13,888 5/14/2006 13,102 13,888 5/15/2006 13,111 13,895 5/16/2006 13,184 13,975 5/17/2006 12,999 13,781 5/18/2006 12,823 13,594 5/19/2006 12,853 13,628 5/20/2006 12,853 13,628 5/21/2006 12,853 13,628 5/22/2006 12,780 13,552 5/23/2006 12,712 13,476 5/24/2006 12,707 13,474 5/25/2006 12,926 13,705 5/26/2006 13,017 13,808 5/27/2006 13,017 13,808 5/28/2006 13,017 13,808 5/29/2006 13,017 13,808 5/30/2006 12,690 13,461 5/31/2006 12,853 13,634 6/1/2006 13,051 13,844 6/2/2006 13,042 13,838 6/3/2006 13,042 13,838 6/4/2006 13,042 13,838 6/5/2006 12,703 13,477 6/6/2006 12,634 13,405 6/7/2006 12,583 13,358 6/8/2006 12,553 13,326 6/9/2006 12,488 13,262 6/10/2006 12,488 13,262 6/11/2006 12,488 13,262 6/12/2006 12,188 12,942 6/13/2006 12,007 12,747 6/14/2006 12,098 12,843 6/15/2006 12,428 13,196 6/16/2006 12,351 13,116 6/17/2006 12,351 13,116 6/18/2006 12,351 13,116 6/19/2006 12,136 12,884 6/20/2006 12,076 12,825 6/21/2006 12,299 13,062 6/22/2006 12,261 13,020 6/23/2006 12,342 13,113 6/24/2006 12,342 13,113 6/25/2006 12,342 13,113 6/26/2006 12,437 13,213 6/27/2006 12,226 12,990 6/28/2006 12,248 13,014 6/29/2006 12,643 13,433 6/30/2006 12,716 13,514 7/1/2006 12,716 13,514 7/2/2006 12,716 13,514 7/3/2006 12,836 13,642 7/4/2006 12,836 13,642 7/5/2006 12,682 13,481 7/6/2006 12,737 13,539 7/7/2006 12,557 13,350 7/8/2006 12,557 13,350 7/9/2006 12,557 13,350 7/10/2006 12,497 13,287 7/11/2006 12,583 13,377 7/12/2006 12,351 13,134 7/13/2006 12,106 12,879 7/14/2006 11,994 12,762 7/15/2006 11,994 12,762 7/16/2006 11,994 12,762 7/17/2006 11,904 12,663 7/18/2006 11,887 12,642 7/19/2006 12,183 12,961 7/20/2006 11,874 12,624 7/21/2006 11,737 12,478 7/22/2006 11,737 12,478 7/23/2006 11,737 12,478 7/24/2006 12,089 12,854 7/25/2006 12,222 12,994 7/26/2006 12,132 12,901 7/27/2006 11,969 12,729 7/28/2006 12,196 12,976 7/29/2006 12,196 12,976 7/30/2006 12,196 12,976 7/31/2006 12,295 13,081 8/1/2006 12,119 12,896 8/2/2006 12,188 12,967 8/3/2006 12,269 13,054 8/4/2006 12,218 13,002 8/5/2006 12,218 13,002 8/6/2006 12,218 13,002 8/7/2006 12,050 12,825 8/8/2006 11,947 12,716 8/9/2006 11,836 12,599 8/10/2006 11,861 12,630 8/11/2006 11,788 12,552 8/12/2006 11,788 12,552 8/13/2006 11,788 12,552 8/14/2006 11,806 12,572 8/15/2006 12,037 12,818 8/16/2006 12,171 12,960 8/17/2006 12,218 13,012 8/18/2006 12,226 13,026 8/19/2006 12,226 13,026 8/20/2006 12,226 13,026 8/21/2006 12,093 12,882 8/22/2006 12,145 12,938 8/23/2006 11,990 12,772 8/24/2006 11,982 12,762 8/25/2006 11,977 12,761 8/26/2006 11,977 12,761 8/27/2006 11,977 12,761 8/28/2006 12,076 12,867 8/29/2006 12,162 12,961 8/30/2006 12,201 13,002 8/31/2006 12,145 12,943 9/1/2006 12,140 12,943 9/2/2006 12,140 12,943 9/3/2006 12,140 12,943 9/4/2006 12,140 12,943 9/5/2006 12,162 12,969 9/6/2006 11,861 12,647 9/7/2006 11,848 12,626 9/8/2006 11,883 12,664 9/9/2006 11,883 12,664 9/10/2006 11,883 12,664 9/11/2006 11,861 12,640 9/12/2006 12,149 12,955 9/13/2006 12,278 13,090 9/14/2006 12,239 13,048 9/15/2006 12,274 13,086 9/16/2006 12,274 13,086 9/17/2006 12,274 13,086 9/18/2006 12,295 13,109 9/19/2006 12,226 13,036 9/20/2006 12,360 13,181 9/21/2006 12,295 13,114 9/22/2006 12,162 12,971 9/23/2006 12,162 12,971 9/24/2006 12,162 12,971 9/25/2006 12,291 13,109 9/26/2006 12,338 13,162 9/27/2006 12,364 13,191 9/28/2006 12,351 13,178 9/29/2006 12,222 13,041 9/30/2006 12,222 13,041 10/1/2006 12,222 13,041 10/2/2006 12,093 12,902 10/3/2006 12,055 12,862 10/4/2006 12,325 13,153 10/5/2006 12,454 13,291 10/6/2006 12,394 13,227 10/7/2006 12,394 13,227 10/8/2006 12,394 13,227 10/9/2006 12,527 13,370 10/10/2006 12,536 13,383 10/11/2006 12,471 13,312 10/12/2006 12,694 13,552 10/13/2006 12,763 13,629 10/14/2006 12,763 13,629 10/15/2006 12,763 13,629 10/16/2006 12,862 13,735 10/17/2006 12,737 13,603 10/18/2006 12,733 13,600 10/19/2006 12,776 13,644 10/20/2006 12,750 13,619 10/21/2006 12,750 13,619 10/22/2006 12,750 13,619 10/23/2006 12,815 13,688 10/24/2006 12,815 13,692 10/25/2006 12,879 13,758 10/26/2006 13,029 13,923 10/27/2006 12,875 13,756 10/28/2006 12,875 13,756 10/29/2006 12,875 13,756 10/30/2006 12,896 13,779 10/31/2006 12,832 13,714 11/1/2006 12,613 13,479 11/2/2006 12,596 13,463 11/3/2006 12,626 13,496 11/4/2006 12,626 13,496 11/5/2006 12,626 13,496 11/6/2006 12,802 13,688 11/7/2006 12,871 13,758 11/8/2006 12,948 13,845 11/9/2006 12,862 13,754 11/10/2006 12,961 13,861 11/11/2006 12,961 13,861 11/12/2006 12,961 13,861 11/13/2006 12,991 13,892 11/14/2006 13,163 14,076 11/15/2006 13,330 14,260 11/16/2006 13,326 14,254 11/17/2006 13,317 14,247 11/18/2006 13,317 14,247 11/19/2006 13,317 14,247 11/20/2006 13,321 14,252 11/21/2006 13,369 14,306 11/22/2006 13,360 14,298 11/23/2006 13,360 14,298 11/24/2006 13,356 14,293 11/25/2006 13,356 14,293 11/26/2006 13,356 14,293 11/27/2006 13,068 13,985 11/28/2006 13,098 14,017 11/29/2006 13,257 14,190 11/30/2006 13,274 14,209 12/1/2006 13,210 14,140 12/2/2006 13,210 14,140 12/3/2006 13,210 14,140 12/4/2006 13,390 14,339 12/5/2006 13,476 14,429 12/6/2006 13,489 14,444 12/7/2006 13,433 14,386 12/8/2006 13,450 14,402 12/9/2006 13,450 14,402 12/10/2006 13,450 14,402 12/11/2006 13,432 14,387 12/12/2006 13,388 14,337 12/13/2006 13,383 14,335 12/14/2006 13,458 14,412 12/15/2006 13,352 14,299 12/16/2006 13,352 14,299 12/17/2006 13,352 14,299 12/18/2006 13,188 14,117 12/19/2006 13,233 14,165 12/20/2006 13,286 14,224 12/21/2006 13,215 14,151 12/22/2006 13,193 14,128 12/23/2006 13,193 14,128 12/24/2006 13,193 14,128 12/25/2006 13,193 14,128 12/26/2006 13,290 14,233 12/27/2006 13,427 14,382 12/28/2006 13,388 14,336 12/29/2006 13,250 14,192 12/30/2006 13,250 14,192 12/31/2006 13,250 14,192 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND 7.73% 11.15% S&P SMALLCAP 600/CITIGROUP PURE GROWTH INDEX 9.79% 14.05% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P SMALLCAP 600/CITIGROUP PURE GROWTH INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] S&P SMALLCAP 600/CITIGROUP SMALL-CAP GROWTH FUND PURE GROWTH INDEX OTHER 6.0% 7.9% CONSUMER DISCRETIONARY 25.3% 24.5% HEALTH CARE 21.9% 21.7% INFORMATION TECHNOLOGY 21.1% 19.8% FINANCIALS 9.2% 8.9% ENERGY 8.4% 9.1% INDUSTRIALS 7.5% 8.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Possis Medical, Inc. 1.2% Vertrue, Inc. 1.1% AMN Healthcare Services, Inc. 1.1% Headwaters, Inc. 1.1% PetMed Express, Inc. 1.1% Infinity Property & Casulaty Corp. 1.1% Komag, Inc. 1.1% Neoware, Inc. 1.1% Bankrate, Inc. 1.1% Flir Systems, Inc. 1.1% -------------------------------------------------------------------------------- Top Ten Total 11.1% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 28 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- MID-CAP GROWTH FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for mid-cap growth securities. The Fund's current benchmark is the S&P MidCap 400/Citigroup Pure Growth Index. INCEPTION: May 3, 2004 For 2006, the S&P MidCap 400/Citigroup Pure Growth Index gained 4.98%; however, it underperformed all other pure style indices. Rydex Mid-Cap Growth Fund gained 3.13% for the period, as the information technology and financials sectors were the drivers of positive returns. The consumer discretionary and materials sectors were the main contributors to the relatively poor performance of the index. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P MIDCAP 400/ DATE MID-CAP GROWTH FUND CITIGROUP PURE GROWTH INDEX 5/3/2004 10,000 10,000 5/4/2004 10,016 10,050 5/5/2004 10,092 10,142 5/6/2004 9,952 9,966 5/7/2004 9,748 9,750 5/8/2004 9,748 9,750 5/9/2004 9,748 9,750 5/10/2004 9,588 9,590 5/11/2004 9,732 9,737 5/12/2004 9,696 9,701 5/13/2004 9,700 9,699 5/14/2004 9,640 9,651 5/15/2004 9,640 9,651 5/16/2004 9,640 9,651 5/17/2004 9,524 9,530 5/18/2004 9,632 9,622 5/19/2004 9,608 9,589 5/20/2004 9,592 9,558 5/21/2004 9,652 9,624 5/22/2004 9,652 9,624 5/23/2004 9,652 9,624 5/24/2004 9,740 9,739 5/25/2004 9,932 9,970 5/26/2004 9,980 10,001 5/27/2004 10,040 10,086 5/28/2004 10,092 10,117 5/29/2004 10,092 10,117 5/30/2004 10,092 10,117 5/31/2004 10,092 10,117 6/1/2004 10,136 10,187 6/2/2004 10,112 10,167 6/3/2004 9,960 10,020 6/4/2004 10,024 10,084 6/5/2004 10,024 10,084 6/6/2004 10,024 10,084 6/7/2004 10,204 10,287 6/8/2004 10,192 10,267 6/9/2004 10,064 10,126 6/10/2004 10,080 10,123 6/11/2004 10,080 10,123 6/12/2004 10,080 10,123 6/13/2004 10,080 10,123 6/14/2004 9,928 9,964 6/15/2004 10,052 10,101 6/16/2004 10,072 10,130 6/17/2004 10,036 10,110 6/18/2004 10,032 10,114 6/19/2004 10,032 10,114 6/20/2004 10,032 10,114 6/21/2004 9,988 10,095 6/22/2004 10,048 10,155 6/23/2004 10,124 10,272 6/24/2004 10,108 10,277 6/25/2004 10,156 10,355 6/26/2004 10,156 10,355 6/27/2004 10,156 10,355 6/28/2004 10,108 10,283 6/29/2004 10,136 10,311 6/30/2004 10,200 10,369 7/1/2004 10,080 10,252 7/2/2004 10,036 10,204 7/3/2004 10,036 10,204 7/4/2004 10,036 10,204 7/5/2004 10,036 10,204 7/6/2004 9,892 10,048 7/7/2004 9,940 10,092 7/8/2004 9,808 9,925 7/9/2004 9,852 9,993 7/10/2004 9,852 9,993 7/11/2004 9,852 9,993 7/12/2004 9,808 9,957 7/13/2004 9,808 9,961 7/14/2004 9,752 9,909 7/15/2004 9,808 9,977 7/16/2004 9,708 9,896 7/17/2004 9,708 9,896 7/18/2004 9,708 9,896 7/19/2004 9,716 9,884 7/20/2004 9,852 10,019 7/21/2004 9,644 9,821 7/22/2004 9,644 9,833 7/23/2004 9,524 9,702 7/24/2004 9,524 9,702 7/25/2004 9,524 9,702 7/26/2004 9,424 9,634 7/27/2004 9,576 9,795 7/28/2004 9,516 9,658 7/29/2004 9,644 9,826 7/30/2004 9,668 9,830 7/31/2004 9,668 9,830 8/1/2004 9,668 9,830 8/2/2004 9,648 9,773 8/3/2004 9,532 9,654 8/4/2004 9,488 9,588 8/5/2004 9,304 9,395 8/6/2004 9,132 9,245 8/7/2004 9,132 9,245 8/8/2004 9,132 9,245 8/9/2004 9,148 9,250 8/10/2004 9,300 9,413 8/11/2004 9,244 9,339 8/12/2004 9,112 9,195 8/13/2004 9,104 9,208 8/14/2004 9,104 9,208 8/15/2004 9,104 9,208 8/16/2004 9,248 9,354 8/17/2004 9,296 9,400 8/18/2004 9,440 9,545 8/19/2004 9,372 9,487 8/20/2004 9,508 9,643 8/21/2004 9,508 9,643 8/22/2004 9,508 9,643 8/23/2004 9,448 9,598 8/24/2004 9,456 9,606 8/25/2004 9,548 9,712 8/26/2004 9,548 9,721 8/27/2004 9,600 9,773 8/28/2004 9,600 9,773 8/29/2004 9,600 9,773 8/30/2004 9,492 9,644 8/31/2004 9,548 9,708 9/1/2004 9,632 9,832 9/2/2004 9,732 9,942 9/3/2004 9,680 9,883 9/4/2004 9,680 9,883 9/5/2004 9,680 9,883 9/6/2004 9,680 9,883 9/7/2004 9,732 9,954 9/8/2004 9,676 9,880 9/9/2004 9,728 9,913 9/10/2004 9,792 9,987 9/11/2004 9,792 9,987 9/12/2004 9,792 9,987 9/13/2004 9,868 10,085 9/14/2004 9,848 10,074 9/15/2004 9,792 10,007 9/16/2004 9,836 10,075 9/17/2004 9,812 10,049 9/18/2004 9,812 10,049 9/19/2004 9,812 10,049 9/20/2004 9,772 9,989 9/21/2004 9,848 10,081 9/22/2004 9,708 9,957 9/23/2004 9,680 9,935 9/24/2004 9,704 10,004 9/25/2004 9,704 10,004 9/26/2004 9,704 10,004 9/27/2004 9,580 9,877 9/28/2004 9,652 9,954 9/29/2004 9,712 10,009 9/30/2004 9,756 10,036 10/1/2004 9,892 10,177 10/2/2004 9,892 10,177 10/3/2004 9,892 10,177 10/4/2004 9,960 10,207 10/5/2004 9,924 10,201 10/6/2004 9,972 10,262 10/7/2004 9,856 10,133 10/8/2004 9,776 10,051 10/9/2004 9,776 10,051 10/10/2004 9,776 10,051 10/11/2004 9,788 10,069 10/12/2004 9,740 10,028 10/13/2004 9,688 9,950 10/14/2004 9,592 9,860 10/15/2004 9,628 9,875 10/16/2004 9,628 9,875 10/17/2004 9,628 9,875 10/18/2004 9,712 9,946 10/19/2004 9,648 9,862 10/20/2004 9,716 9,933 10/21/2004 9,816 10,013 10/22/2004 9,696 9,908 10/23/2004 9,696 9,908 10/24/2004 9,696 9,908 10/25/2004 9,704 9,924 10/26/2004 9,740 10,003 10/27/2004 9,936 10,181 10/28/2004 9,936 10,181 10/29/2004 9,960 10,187 10/30/2004 9,960 10,187 10/31/2004 9,960 10,187 11/1/2004 9,936 10,177 11/2/2004 9,924 10,185 11/3/2004 10,044 10,290 11/4/2004 10,176 10,434 11/5/2004 10,224 10,478 11/6/2004 10,224 10,478 11/7/2004 10,224 10,478 11/8/2004 10,184 10,460 11/9/2004 10,216 10,486 11/10/2004 10,240 10,512 11/11/2004 10,340 10,631 11/12/2004 10,440 10,780 11/13/2004 10,440 10,780 11/14/2004 10,440 10,780 11/15/2004 10,440 10,800 11/16/2004 10,364 10,725 11/17/2004 10,448 10,812 11/18/2004 10,428 10,801 11/19/2004 10,288 10,640 11/20/2004 10,288 10,640 11/21/2004 10,288 10,640 11/22/2004 10,340 10,686 11/23/2004 10,388 10,771 11/24/2004 10,472 10,890 11/25/2004 10,472 10,890 11/26/2004 10,472 10,896 11/27/2004 10,472 10,896 11/28/2004 10,472 10,896 11/29/2004 10,452 10,850 11/30/2004 10,408 10,801 12/1/2004 10,576 11,006 12/2/2004 10,552 10,973 12/3/2004 10,568 10,991 12/4/2004 10,568 10,991 12/5/2004 10,568 10,991 12/6/2004 10,556 10,987 12/7/2004 10,396 10,827 12/8/2004 10,476 10,907 12/9/2004 10,516 10,990 12/10/2004 10,504 11,011 12/11/2004 10,504 11,011 12/12/2004 10,504 11,011 12/13/2004 10,572 11,071 12/14/2004 10,680 11,207 12/15/2004 10,712 11,285 12/16/2004 10,652 11,219 12/17/2004 10,648 11,238 12/18/2004 10,648 11,238 12/19/2004 10,648 11,238 12/20/2004 10,616 11,169 12/21/2004 10,728 11,277 12/22/2004 10,764 11,343 12/23/2004 10,784 11,371 12/24/2004 10,784 11,371 12/25/2004 10,784 11,371 12/26/2004 10,784 11,371 12/27/2004 10,712 11,279 12/28/2004 10,856 11,445 12/29/2004 10,864 11,456 12/30/2004 10,872 11,473 12/31/2004 10,852 11,443 1/1/2005 10,852 11,443 1/2/2005 10,852 11,443 1/3/2005 10,660 11,269 1/4/2005 10,496 11,065 1/5/2005 10,392 10,969 1/6/2005 10,440 11,050 1/7/2005 10,396 10,988 1/8/2005 10,396 10,988 1/9/2005 10,396 10,988 1/10/2005 10,460 11,079 1/11/2005 10,400 11,021 1/12/2005 10,424 11,047 1/13/2005 10,384 11,010 1/14/2005 10,464 11,078 1/15/2005 10,464 11,078 1/16/2005 10,464 11,078 1/17/2005 10,464 11,078 1/18/2005 10,560 11,172 1/19/2005 10,460 11,059 1/20/2005 10,420 10,972 1/21/2005 10,356 10,878 1/22/2005 10,356 10,878 1/23/2005 10,356 10,878 1/24/2005 10,284 10,792 1/25/2005 10,320 10,840 1/26/2005 10,428 10,965 1/27/2005 10,480 11,013 1/28/2005 10,412 10,949 1/29/2005 10,412 10,949 1/30/2005 10,412 10,949 1/31/2005 10,576 11,132 2/1/2005 10,656 11,218 2/2/2005 10,708 11,272 2/3/2005 10,700 11,258 2/4/2005 10,836 11,428 2/5/2005 10,836 11,428 2/6/2005 10,836 11,428 2/7/2005 10,812 11,418 2/8/2005 10,824 11,444 2/9/2005 10,676 11,271 2/10/2005 10,720 11,319 2/11/2005 10,852 11,433 2/12/2005 10,852 11,433 2/13/2005 10,852 11,433 2/14/2005 10,844 11,412 2/15/2005 10,872 11,415 2/16/2005 10,916 11,449 2/17/2005 10,836 11,400 2/18/2005 10,828 11,384 2/19/2005 10,828 11,384 2/20/2005 10,828 11,384 2/21/2005 10,828 11,384 2/22/2005 10,664 11,197 2/23/2005 10,736 11,298 2/24/2005 10,868 11,471 2/25/2005 10,976 11,625 2/26/2005 10,976 11,625 2/27/2005 10,976 11,625 2/28/2005 10,932 11,549 3/1/2005 11,008 11,650 3/2/2005 11,020 11,668 3/3/2005 11,004 11,627 3/4/2005 11,096 11,765 3/5/2005 11,096 11,765 3/6/2005 11,096 11,765 3/7/2005 11,144 11,804 3/8/2005 11,076 11,680 3/9/2005 10,972 11,536 3/10/2005 10,936 11,480 3/11/2005 10,948 11,479 3/12/2005 10,948 11,479 3/13/2005 10,948 11,479 3/14/2005 11,004 11,542 3/15/2005 10,968 11,513 3/16/2005 10,860 11,436 3/17/2005 10,892 11,427 3/18/2005 10,852 11,402 3/19/2005 10,852 11,402 3/20/2005 10,852 11,402 3/21/2005 10,832 11,383 3/22/2005 10,792 11,362 3/23/2005 10,724 11,315 3/24/2005 10,732 11,330 3/25/2005 10,732 11,330 3/26/2005 10,732 11,330 3/27/2005 10,732 11,330 3/28/2005 10,728 11,351 3/29/2005 10,608 11,233 3/30/2005 10,748 11,381 3/31/2005 10,776 11,419 4/1/2005 10,736 11,383 4/2/2005 10,736 11,383 4/3/2005 10,736 11,383 4/4/2005 10,744 11,419 4/5/2005 10,780 11,480 4/6/2005 10,816 11,497 4/7/2005 10,856 11,533 4/8/2005 10,740 11,402 4/9/2005 10,740 11,402 4/10/2005 10,740 11,402 4/11/2005 10,704 11,362 4/12/2005 10,720 11,397 4/13/2005 10,572 11,234 4/14/2005 10,412 11,069 4/15/2005 10,236 10,849 4/16/2005 10,236 10,849 4/17/2005 10,236 10,849 4/18/2005 10,320 10,957 4/19/2005 10,452 11,087 4/20/2005 10,296 10,906 4/21/2005 10,496 11,118 4/22/2005 10,388 10,998 4/23/2005 10,388 10,998 4/24/2005 10,388 10,998 4/25/2005 10,528 11,144 4/26/2005 10,428 11,018 4/27/2005 10,416 11,011 4/28/2005 10,280 10,816 4/29/2005 10,324 10,855 4/30/2005 10,324 10,855 5/1/2005 10,324 10,855 5/2/2005 10,400 10,943 5/3/2005 10,372 10,891 5/4/2005 10,504 11,012 5/5/2005 10,544 11,052 5/6/2005 10,572 11,044 5/7/2005 10,572 11,044 5/8/2005 10,572 11,044 5/9/2005 10,628 11,122 5/10/2005 10,556 11,048 5/11/2005 10,596 11,074 5/12/2005 10,456 10,928 5/13/2005 10,400 10,881 5/14/2005 10,400 10,881 5/15/2005 10,400 10,881 5/16/2005 10,512 11,016 5/17/2005 10,608 11,120 5/18/2005 10,784 11,334 5/19/2005 10,844 11,406 5/20/2005 10,832 11,390 5/21/2005 10,832 11,390 5/22/2005 10,832 11,390 5/23/2005 10,912 11,492 5/24/2005 10,908 11,490 5/25/2005 10,816 11,388 5/26/2005 10,904 11,550 5/27/2005 10,944 11,599 5/28/2005 10,944 11,599 5/29/2005 10,944 11,599 5/30/2005 10,944 11,599 5/31/2005 10,928 11,610 6/1/2005 11,012 11,693 6/2/2005 11,072 11,789 6/3/2005 11,000 11,696 6/4/2005 11,000 11,696 6/5/2005 11,000 11,696 6/6/2005 11,040 11,766 6/7/2005 11,056 11,833 6/8/2005 11,000 11,747 6/9/2005 11,080 11,867 6/10/2005 11,064 11,832 6/11/2005 11,064 11,832 6/12/2005 11,064 11,832 6/13/2005 11,116 11,883 6/14/2005 11,148 11,929 6/15/2005 11,172 11,951 6/16/2005 11,272 12,055 6/17/2005 11,280 12,064 6/18/2005 11,280 12,064 6/19/2005 11,280 12,064 6/20/2005 11,240 12,002 6/21/2005 11,212 11,957 6/22/2005 11,208 11,958 6/23/2005 11,092 11,792 6/24/2005 10,984 11,651 6/25/2005 10,984 11,651 6/26/2005 10,984 11,651 6/27/2005 11,004 11,714 6/28/2005 11,144 11,887 6/29/2005 11,172 11,911 6/30/2005 11,108 11,851 7/1/2005 11,168 11,919 7/2/2005 11,168 11,919 7/3/2005 11,168 11,919 7/4/2005 11,168 11,919 7/5/2005 11,284 12,035 7/6/2005 11,208 11,941 7/7/2005 11,244 11,994 7/8/2005 11,384 12,113 7/9/2005 11,384 12,113 7/10/2005 11,384 12,113 7/11/2005 11,468 12,239 7/12/2005 11,488 12,265 7/13/2005 11,444 12,227 7/14/2005 11,416 12,183 7/15/2005 11,448 12,240 7/16/2005 11,448 12,240 7/17/2005 11,448 12,240 7/18/2005 11,420 12,223 7/19/2005 11,544 12,344 7/20/2005 11,604 12,392 7/21/2005 11,468 12,226 7/22/2005 11,544 12,318 7/23/2005 11,544 12,318 7/24/2005 11,544 12,318 7/25/2005 11,484 12,241 7/26/2005 11,492 12,265 7/27/2005 11,528 12,325 7/28/2005 11,644 12,402 7/29/2005 11,628 12,349 7/30/2005 11,628 12,349 7/31/2005 11,628 12,349 8/1/2005 11,652 12,397 8/2/2005 11,716 12,447 8/3/2005 11,692 12,396 8/4/2005 11,592 12,272 8/5/2005 11,464 12,135 8/6/2005 11,464 12,135 8/7/2005 11,464 12,135 8/8/2005 11,396 12,046 8/9/2005 11,448 12,086 8/10/2005 11,472 12,098 8/11/2005 11,552 12,181 8/12/2005 11,524 12,134 8/13/2005 11,524 12,134 8/14/2005 11,524 12,134 8/15/2005 11,536 12,141 8/16/2005 11,380 11,948 8/17/2005 11,384 11,940 8/18/2005 11,364 11,918 8/19/2005 11,376 11,899 8/20/2005 11,376 11,899 8/21/2005 11,376 11,899 8/22/2005 11,400 11,885 8/23/2005 11,376 11,864 8/24/2005 11,356 11,883 8/25/2005 11,380 11,913 8/26/2005 11,256 11,770 8/27/2005 11,256 11,770 8/28/2005 11,256 11,770 8/29/2005 11,348 11,858 8/30/2005 11,280 11,785 8/31/2005 11,472 11,986 9/1/2005 11,436 11,919 9/2/2005 11,372 11,853 9/3/2005 11,372 11,853 9/4/2005 11,372 11,853 9/5/2005 11,372 11,853 9/6/2005 11,516 11,997 9/7/2005 11,580 12,074 9/8/2005 11,524 11,997 9/9/2005 11,608 12,117 9/10/2005 11,608 12,117 9/11/2005 11,608 12,117 9/12/2005 11,628 12,144 9/13/2005 11,532 12,057 9/14/2005 11,476 12,010 9/15/2005 11,456 12,010 9/16/2005 11,500 12,023 9/17/2005 11,500 12,023 9/18/2005 11,500 12,023 9/19/2005 11,432 11,917 9/20/2005 11,316 11,776 9/21/2005 11,168 11,631 9/22/2005 11,216 11,723 9/23/2005 11,260 11,760 9/24/2005 11,260 11,760 9/25/2005 11,260 11,760 9/26/2005 11,320 11,850 9/27/2005 11,312 11,845 9/28/2005 11,300 11,832 9/29/2005 11,420 11,945 9/30/2005 11,524 12,033 10/1/2005 11,524 12,033 10/2/2005 11,524 12,033 10/3/2005 11,584 12,098 10/4/2005 11,464 11,821 10/5/2005 11,212 11,575 10/6/2005 11,116 11,520 10/7/2005 11,168 11,531 10/8/2005 11,168 11,531 10/9/2005 11,168 11,531 10/10/2005 11,108 11,450 10/11/2005 11,052 11,390 10/12/2005 10,916 11,250 10/13/2005 10,888 11,238 10/14/2005 11,032 11,358 10/15/2005 11,032 11,358 10/16/2005 11,032 11,358 10/17/2005 11,088 11,402 10/18/2005 10,956 11,287 10/19/2005 11,140 11,483 10/20/2005 11,012 11,333 10/21/2005 11,108 11,435 10/22/2005 11,108 11,435 10/23/2005 11,108 11,435 10/24/2005 11,296 11,626 10/25/2005 11,260 11,587 10/26/2005 11,212 11,553 10/27/2005 10,980 11,357 10/28/2005 11,164 11,555 10/29/2005 11,164 11,555 10/30/2005 11,164 11,555 10/31/2005 11,344 11,928 11/1/2005 11,368 11,789 11/2/2005 11,568 12,005 11/3/2005 11,636 12,083 11/4/2005 11,616 12,073 11/5/2005 11,616 12,073 11/6/2005 11,616 12,073 11/7/2005 11,652 12,285 11/8/2005 11,572 12,184 11/9/2005 11,612 12,222 11/10/2005 11,676 12,320 11/11/2005 11,696 12,358 11/12/2005 11,696 12,358 11/13/2005 11,696 12,358 11/14/2005 11,692 12,342 11/15/2005 11,628 12,216 11/16/2005 11,644 12,275 11/17/2005 11,836 12,499 11/18/2005 11,864 12,494 11/19/2005 11,864 12,494 11/20/2005 11,864 12,494 11/21/2005 11,992 12,606 11/22/2005 12,076 12,722 11/23/2005 12,096 12,744 11/24/2005 12,096 12,744 11/25/2005 12,128 12,784 11/26/2005 12,128 12,784 11/27/2005 12,128 12,784 11/28/2005 11,916 12,578 11/29/2005 11,948 12,595 11/30/2005 11,960 12,582 12/1/2005 12,140 12,738 12/2/2005 12,140 12,765 12/3/2005 12,140 12,765 12/4/2005 12,140 12,765 12/5/2005 12,088 12,705 12/6/2005 12,080 12,699 12/7/2005 12,032 12,656 12/8/2005 12,060 12,690 12/9/2005 12,108 12,763 12/10/2005 12,108 12,763 12/11/2005 12,108 12,763 12/12/2005 12,116 12,757 12/13/2005 12,140 12,755 12/14/2005 12,204 12,852 12/15/2005 12,124 12,762 12/16/2005 12,064 12,770 12/17/2005 12,064 12,770 12/18/2005 12,064 12,770 12/19/2005 11,912 12,616 12/20/2005 11,948 12,658 12/21/2005 12,052 12,770 12/22/2005 12,160 12,881 12/23/2005 12,224 12,951 12/24/2005 12,224 12,951 12/25/2005 12,224 12,951 12/26/2005 12,224 12,951 12/27/2005 12,108 12,829 12/28/2005 12,192 12,920 12/29/2005 12,168 12,894 12/30/2005 12,096 12,821 12/31/2005 12,096 12,821 1/1/2006 12,096 12,821 1/2/2006 12,096 12,821 1/3/2006 12,220 12,955 1/4/2006 12,296 13,035 1/5/2006 12,336 13,080 1/6/2006 12,484 13,242 1/7/2006 12,484 13,242 1/8/2006 12,484 13,242 1/9/2006 12,624 13,389 1/10/2006 12,644 13,413 1/11/2006 12,636 13,404 1/12/2006 12,532 13,296 1/13/2006 12,492 13,257 1/14/2006 12,492 13,257 1/15/2006 12,492 13,257 1/16/2006 12,492 13,257 1/17/2006 12,400 13,162 1/18/2006 12,400 13,163 1/19/2006 12,528 13,299 1/20/2006 12,276 13,032 1/21/2006 12,276 13,032 1/22/2006 12,276 13,032 1/23/2006 12,292 13,049 1/24/2006 12,408 13,167 1/25/2006 12,376 13,109 1/26/2006 12,568 13,314 1/27/2006 12,628 13,382 1/28/2006 12,628 13,382 1/29/2006 12,628 13,382 1/30/2006 12,624 13,378 1/31/2006 12,744 13,506 2/1/2006 12,744 13,505 2/2/2006 12,648 13,407 2/3/2006 12,628 13,386 2/4/2006 12,628 13,386 2/5/2006 12,628 13,386 2/6/2006 12,624 13,379 2/7/2006 12,468 13,217 2/8/2006 12,584 13,339 2/9/2006 12,544 13,295 2/10/2006 12,496 13,248 2/11/2006 12,496 13,248 2/12/2006 12,496 13,248 2/13/2006 12,392 13,138 2/14/2006 12,492 13,248 2/15/2006 12,556 13,313 2/16/2006 12,656 13,422 2/17/2006 12,632 13,396 2/18/2006 12,632 13,396 2/19/2006 12,632 13,396 2/20/2006 12,632 13,396 2/21/2006 12,532 13,294 2/22/2006 12,704 13,476 2/23/2006 12,672 13,441 2/24/2006 12,760 13,537 2/25/2006 12,760 13,537 2/26/2006 12,760 13,537 2/27/2006 12,820 13,603 2/28/2006 12,644 13,416 3/1/2006 12,824 13,608 3/2/2006 12,720 13,497 3/3/2006 12,672 13,449 3/4/2006 12,672 13,449 3/5/2006 12,672 13,449 3/6/2006 12,568 13,338 3/7/2006 12,408 13,171 3/8/2006 12,416 13,179 3/9/2006 12,328 13,089 3/10/2006 12,420 13,188 3/11/2006 12,420 13,188 3/12/2006 12,420 13,188 3/13/2006 12,476 13,250 3/14/2006 12,600 13,385 3/15/2006 12,648 13,434 3/16/2006 12,620 13,405 3/17/2006 12,660 13,451 3/18/2006 12,660 13,451 3/19/2006 12,660 13,451 3/20/2006 12,648 13,439 3/21/2006 12,560 13,344 3/22/2006 12,664 13,456 3/23/2006 12,688 13,481 3/24/2006 12,720 13,521 3/25/2006 12,720 13,521 3/26/2006 12,720 13,521 3/27/2006 12,688 13,485 3/28/2006 12,676 13,473 3/29/2006 12,832 13,642 3/30/2006 12,840 13,651 3/31/2006 12,860 13,673 4/1/2006 12,860 13,673 4/2/2006 12,860 13,673 4/3/2006 12,780 13,589 4/4/2006 12,848 13,662 4/5/2006 12,956 13,779 4/6/2006 12,972 13,795 4/7/2006 12,852 13,671 4/8/2006 12,852 13,671 4/9/2006 12,852 13,671 4/10/2006 12,784 13,599 4/11/2006 12,656 13,464 4/12/2006 12,660 13,470 4/13/2006 12,672 13,483 4/14/2006 12,672 13,483 4/15/2006 12,672 13,483 4/16/2006 12,672 13,483 4/17/2006 12,652 13,462 4/18/2006 12,916 13,747 4/19/2006 13,020 13,860 4/20/2006 13,020 13,857 4/21/2006 12,900 13,733 4/22/2006 12,900 13,733 4/23/2006 12,900 13,733 4/24/2006 12,816 13,643 4/25/2006 12,776 13,602 4/26/2006 12,740 13,562 4/27/2006 12,684 13,504 4/28/2006 12,740 13,564 4/29/2006 12,740 13,564 4/30/2006 12,740 13,564 5/1/2006 12,656 13,477 5/2/2006 12,696 13,521 5/3/2006 12,688 13,513 5/4/2006 12,676 13,498 5/5/2006 12,796 13,631 5/6/2006 12,796 13,631 5/7/2006 12,796 13,631 5/8/2006 12,792 13,628 5/9/2006 12,748 13,582 5/10/2006 12,708 13,540 5/11/2006 12,540 13,360 5/12/2006 12,328 13,137 5/13/2006 12,328 13,137 5/14/2006 12,328 13,137 5/15/2006 12,260 13,066 5/16/2006 12,248 13,052 5/17/2006 12,052 12,842 5/18/2006 11,988 12,775 5/19/2006 12,048 12,842 5/20/2006 12,048 12,842 5/21/2006 12,048 12,842 5/22/2006 11,928 12,715 5/23/2006 11,848 12,627 5/24/2006 11,812 12,590 5/25/2006 11,928 12,714 5/26/2006 12,008 12,802 5/27/2006 12,008 12,802 5/28/2006 12,008 12,802 5/29/2006 12,008 12,802 5/30/2006 11,788 12,569 5/31/2006 11,960 12,752 6/1/2006 12,144 12,949 6/2/2006 12,160 12,967 6/3/2006 12,160 12,967 6/4/2006 12,160 12,967 6/5/2006 11,844 12,628 6/6/2006 11,812 12,600 6/7/2006 11,748 12,532 6/8/2006 11,716 12,496 6/9/2006 11,672 12,451 6/10/2006 11,672 12,451 6/11/2006 11,672 12,451 6/12/2006 11,372 12,132 6/13/2006 11,184 11,929 6/14/2006 11,272 12,023 6/15/2006 11,648 12,426 6/16/2006 11,580 12,360 6/17/2006 11,580 12,360 6/18/2006 11,580 12,360 6/19/2006 11,408 12,176 6/20/2006 11,360 12,125 6/21/2006 11,572 12,354 6/22/2006 11,500 12,275 6/23/2006 11,696 12,488 6/24/2006 11,696 12,488 6/25/2006 11,696 12,488 6/26/2006 11,728 12,523 6/27/2006 11,596 12,381 6/28/2006 11,564 12,349 6/29/2006 11,908 12,719 6/30/2006 11,960 12,779 7/1/2006 11,960 12,779 7/2/2006 11,960 12,779 7/3/2006 12,020 12,846 7/4/2006 12,020 12,846 7/5/2006 11,828 12,638 7/6/2006 11,856 12,670 7/7/2006 11,736 12,544 7/8/2006 11,736 12,544 7/9/2006 11,736 12,544 7/10/2006 11,664 12,466 7/11/2006 11,708 12,514 7/12/2006 11,544 12,341 7/13/2006 11,324 12,107 7/14/2006 11,232 12,007 7/15/2006 11,232 12,007 7/16/2006 11,232 12,007 7/17/2006 11,184 11,957 7/18/2006 11,184 11,960 7/19/2006 11,488 12,289 7/20/2006 11,224 12,000 7/21/2006 11,072 11,841 7/22/2006 11,072 11,841 7/23/2006 11,072 11,841 7/24/2006 11,368 12,159 7/25/2006 11,488 12,286 7/26/2006 11,412 12,207 7/27/2006 11,272 12,054 7/28/2006 11,452 12,252 7/29/2006 11,452 12,252 7/30/2006 11,452 12,252 7/31/2006 11,452 12,251 8/1/2006 11,296 12,084 8/2/2006 11,376 12,169 8/3/2006 11,460 12,263 8/4/2006 11,348 12,146 8/5/2006 11,348 12,146 8/6/2006 11,348 12,146 8/7/2006 11,288 12,081 8/8/2006 11,144 11,930 8/9/2006 11,024 11,801 8/10/2006 11,112 11,894 8/11/2006 10,992 11,771 8/12/2006 10,992 11,771 8/13/2006 10,992 11,771 8/14/2006 10,980 11,759 8/15/2006 11,208 12,004 8/16/2006 11,400 12,215 8/17/2006 11,412 12,229 8/18/2006 11,460 12,280 8/19/2006 11,460 12,280 8/20/2006 11,460 12,280 8/21/2006 11,320 12,130 8/22/2006 11,320 12,130 8/23/2006 11,232 12,036 8/24/2006 11,120 11,917 8/25/2006 11,116 11,915 8/26/2006 11,116 11,915 8/27/2006 11,116 11,915 8/28/2006 11,240 12,048 8/29/2006 11,304 12,117 8/30/2006 11,344 12,159 8/31/2006 11,356 12,174 9/1/2006 11,424 12,247 9/2/2006 11,424 12,247 9/3/2006 11,424 12,247 9/4/2006 11,424 12,247 9/5/2006 11,456 12,282 9/6/2006 11,264 12,077 9/7/2006 11,212 12,023 9/8/2006 11,216 12,028 9/9/2006 11,216 12,028 9/10/2006 11,216 12,028 9/11/2006 11,248 12,063 9/12/2006 11,536 12,374 9/13/2006 11,604 12,449 9/14/2006 11,540 12,380 9/15/2006 11,516 12,355 9/16/2006 11,516 12,355 9/17/2006 11,516 12,355 9/18/2006 11,532 12,373 9/19/2006 11,516 12,356 9/20/2006 11,600 12,444 9/21/2006 11,540 12,384 9/22/2006 11,460 12,298 9/23/2006 11,460 12,298 9/24/2006 11,460 12,298 9/25/2006 11,596 12,443 9/26/2006 11,700 12,557 9/27/2006 11,708 12,567 9/28/2006 11,712 12,574 9/29/2006 11,592 12,444 9/30/2006 11,592 12,444 10/1/2006 11,592 12,444 10/2/2006 11,544 12,391 10/3/2006 11,532 12,383 10/4/2006 11,760 12,626 10/5/2006 11,904 12,784 10/6/2006 11,820 12,694 10/7/2006 11,820 12,694 10/8/2006 11,820 12,694 10/9/2006 11,900 12,780 10/10/2006 11,952 12,838 10/11/2006 11,908 12,793 10/12/2006 12,128 13,031 10/13/2006 12,180 13,087 10/14/2006 12,180 13,087 10/15/2006 12,180 13,087 10/16/2006 12,272 13,186 10/17/2006 12,148 13,055 10/18/2006 12,092 12,994 10/19/2006 12,116 13,018 10/20/2006 12,056 12,957 10/21/2006 12,056 12,957 10/22/2006 12,056 12,957 10/23/2006 12,120 13,028 10/24/2006 12,104 13,010 10/25/2006 12,112 13,021 10/26/2006 12,260 13,181 10/27/2006 12,100 13,010 10/28/2006 12,100 13,010 10/29/2006 12,100 13,010 10/30/2006 12,144 13,055 10/31/2006 12,076 12,985 11/1/2006 11,892 12,787 11/2/2006 11,912 12,808 11/3/2006 11,924 12,823 11/4/2006 11,924 12,823 11/5/2006 11,924 12,823 11/6/2006 12,072 12,984 11/7/2006 12,116 13,030 11/8/2006 12,184 13,108 11/9/2006 12,084 12,998 11/10/2006 12,196 13,120 11/11/2006 12,196 13,120 11/12/2006 12,196 13,120 11/13/2006 12,232 13,159 11/14/2006 12,412 13,355 11/15/2006 12,548 13,503 11/16/2006 12,548 13,504 11/17/2006 12,520 13,480 11/18/2006 12,520 13,480 11/19/2006 12,520 13,480 11/20/2006 12,508 13,464 11/21/2006 12,540 13,500 11/22/2006 12,616 13,588 11/23/2006 12,616 13,588 11/24/2006 12,596 13,568 11/25/2006 12,596 13,568 11/26/2006 12,596 13,568 11/27/2006 12,356 13,309 11/28/2006 12,364 13,318 11/29/2006 12,536 13,505 11/30/2006 12,548 13,518 12/1/2006 12,556 13,528 12/2/2006 12,556 13,528 12/3/2006 12,556 13,528 12/4/2006 12,712 13,696 12/5/2006 12,768 13,757 12/6/2006 12,780 13,772 12/7/2006 12,696 13,680 12/8/2006 12,704 13,691 12/9/2006 12,704 13,691 12/10/2006 12,704 13,691 12/11/2006 12,674 13,661 12/12/2006 12,593 13,572 12/13/2006 12,615 13,596 12/14/2006 12,700 13,689 12/15/2006 12,649 13,637 12/16/2006 12,649 13,637 12/17/2006 12,649 13,637 12/18/2006 12,530 13,513 12/19/2006 12,538 13,520 12/20/2006 12,551 13,535 12/21/2006 12,504 13,484 12/22/2006 12,462 13,442 12/23/2006 12,462 13,442 12/24/2006 12,462 13,442 12/25/2006 12,462 13,442 12/26/2006 12,504 13,487 12/27/2006 12,615 13,608 12/28/2006 12,576 13,566 12/29/2006 12,474 13,459 12/30/2006 12,474 13,459 12/31/2006 12,474 13,459 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- MID-CAP GROWTH FUND 3.13% 8.66% S&P MIDCAP 400/CITIGROUP PURE GROWTH INDEX 4.98% 11.80% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P MIDCAP 400/CITIGROUP PURE GROWTH INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] S&P MIDCAP 400/CITIGROUP MID-CAP GROWTH FUND PURE GROWTH INDEX OTHER 5.3% 2.2% CONSUMER DISCRETIONARY 34.4% 27.4% HEALTH CARE 19.7% 16.0% INFORMATION TECHNOLOGY 12.6% 18.4% INDUSTRIALS 12.3% 15.3% FINANCIALS 9.0% 9.8% ENERGY 6.3% 10.9% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Sepracor, Inc. 1.6% Par Pharmaceuticals Cos., Inc. 1.6% Corinthian Colleges, Inc. 1.5% Aeropostale, Inc. 1.5% Gen-Probe, Inc. 1.5% Hovnanian Enterprises, Inc. -- Class A 1.4% Western Digital Corp. 1.4% Chico's FAS, Inc. 1.4% Career Education Corp. 1.3% Community Health Systems, Inc. 1.3% -------------------------------------------------------------------------------- Top Ten Total 14.5% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 29 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for large-cap growth securities. The Fund's current benchmark is the S&P 500/Citigroup Pure Growth Index. INCEPTION: May 3, 2004 For 2006, the S&P 500/Citigroup Pure Growth Index posted its fourth consecutive annual gain. Although growth stocks underperformed value stocks in 2006, the index still managed to gain 7.43% for the year. Rydex Large-Cap Growth Fund gained 5.40% for the period, with the consumer discretionary and information technology sectors contributing most to returns. CUMULATIVE FUND PERFORMANCE: MAY 3, 2004 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500/CITIGROUP PURE DATE LARGE-CAP GROWTH FUND GROWTH INDEX 5/3/2004 10,000 10,000 5/4/2004 10,004 9,977 5/5/2004 10,024 10,052 5/6/2004 9,984 9,951 5/7/2004 9,908 9,808 5/8/2004 9,908 9,808 5/9/2004 9,908 9,808 5/10/2004 9,852 9,675 5/11/2004 9,916 9,793 5/12/2004 9,896 9,783 5/13/2004 9,880 9,813 5/14/2004 9,848 9,815 5/15/2004 9,848 9,815 5/16/2004 9,848 9,815 5/17/2004 9,760 9,702 5/18/2004 9,820 9,785 5/19/2004 9,784 9,753 5/20/2004 9,788 9,742 5/21/2004 9,816 9,812 5/22/2004 9,816 9,812 5/23/2004 9,816 9,812 5/24/2004 9,800 9,848 5/25/2004 9,956 10,047 5/26/2004 9,980 10,046 5/27/2004 10,064 10,118 5/28/2004 10,048 10,129 5/29/2004 10,048 10,129 5/30/2004 10,048 10,129 5/31/2004 10,048 10,129 6/1/2004 10,056 10,150 6/2/2004 10,084 10,166 6/3/2004 10,016 10,076 6/4/2004 10,068 10,132 6/5/2004 10,068 10,132 6/6/2004 10,068 10,132 6/7/2004 10,228 10,321 6/8/2004 10,260 10,328 6/9/2004 10,164 10,183 6/10/2004 10,192 10,200 6/11/2004 10,192 10,200 6/12/2004 10,192 10,200 6/13/2004 10,192 10,200 6/14/2004 10,116 10,091 6/15/2004 10,180 10,147 6/16/2004 10,180 10,165 6/17/2004 10,148 10,120 6/18/2004 10,164 10,114 6/19/2004 10,164 10,114 6/20/2004 10,164 10,114 6/21/2004 10,116 10,061 6/22/2004 10,160 10,107 6/23/2004 10,240 10,194 6/24/2004 10,200 10,175 6/25/2004 10,124 10,212 6/26/2004 10,124 10,212 6/27/2004 10,124 10,212 6/28/2004 10,128 10,146 6/29/2004 10,168 10,150 6/30/2004 10,200 10,216 7/1/2004 10,080 10,090 7/2/2004 10,032 10,056 7/3/2004 10,032 10,056 7/4/2004 10,032 10,056 7/5/2004 10,032 10,056 7/6/2004 9,944 9,952 7/7/2004 9,960 9,982 7/8/2004 9,884 9,856 7/9/2004 9,920 9,863 7/10/2004 9,920 9,863 7/11/2004 9,920 9,863 7/12/2004 9,920 9,865 7/13/2004 9,928 9,880 7/14/2004 9,880 9,869 7/15/2004 9,836 9,870 7/16/2004 9,764 9,770 7/17/2004 9,764 9,770 7/18/2004 9,764 9,770 7/19/2004 9,740 9,740 7/20/2004 9,820 9,829 7/21/2004 9,680 9,682 7/22/2004 9,720 9,689 7/23/2004 9,576 9,586 7/24/2004 9,576 9,586 7/25/2004 9,576 9,586 7/26/2004 9,548 9,542 7/27/2004 9,644 9,617 7/28/2004 9,644 9,574 7/29/2004 9,676 9,644 7/30/2004 9,696 9,681 7/31/2004 9,696 9,681 8/1/2004 9,696 9,681 8/2/2004 9,740 9,686 8/3/2004 9,652 9,602 8/4/2004 9,664 9,542 8/5/2004 9,484 9,366 8/6/2004 9,324 9,184 8/7/2004 9,324 9,184 8/8/2004 9,324 9,184 8/9/2004 9,332 9,209 8/10/2004 9,456 9,366 8/11/2004 9,432 9,346 8/12/2004 9,332 9,244 8/13/2004 9,352 9,267 8/14/2004 9,352 9,267 8/15/2004 9,352 9,267 8/16/2004 9,460 9,403 8/17/2004 9,484 9,423 8/18/2004 9,612 9,550 8/19/2004 9,572 9,519 8/20/2004 9,616 9,592 8/21/2004 9,616 9,592 8/22/2004 9,616 9,592 8/23/2004 9,616 9,567 8/24/2004 9,620 9,561 8/25/2004 9,696 9,625 8/26/2004 9,688 9,629 8/27/2004 9,716 9,657 8/28/2004 9,716 9,657 8/29/2004 9,716 9,657 8/30/2004 9,628 9,558 8/31/2004 9,656 9,602 9/1/2004 9,684 9,661 9/2/2004 9,796 9,797 9/3/2004 9,732 9,779 9/4/2004 9,732 9,779 9/5/2004 9,732 9,779 9/6/2004 9,732 9,779 9/7/2004 9,776 9,856 9/8/2004 9,752 9,818 9/9/2004 9,764 9,824 9/10/2004 9,820 9,895 9/11/2004 9,820 9,895 9/12/2004 9,820 9,895 9/13/2004 9,840 9,945 9/14/2004 9,868 9,993 9/15/2004 9,792 9,924 9/16/2004 9,784 9,963 9/17/2004 9,832 10,020 9/18/2004 9,832 10,020 9/19/2004 9,832 10,020 9/20/2004 9,772 9,976 9/21/2004 9,804 10,063 9/22/2004 9,656 9,924 9/23/2004 9,628 9,896 9/24/2004 9,628 9,931 9/25/2004 9,628 9,931 9/26/2004 9,628 9,931 9/27/2004 9,572 9,869 9/28/2004 9,632 9,910 9/29/2004 9,700 9,975 9/30/2004 9,660 9,994 10/1/2004 9,804 10,134 10/2/2004 9,804 10,134 10/3/2004 9,804 10,134 10/4/2004 9,836 10,156 10/5/2004 9,832 10,138 10/6/2004 9,884 10,196 10/7/2004 9,756 10,092 10/8/2004 9,652 9,988 10/9/2004 9,652 9,988 10/10/2004 9,652 9,988 10/11/2004 9,680 10,000 10/12/2004 9,660 9,976 10/13/2004 9,612 9,912 10/14/2004 9,544 9,849 10/15/2004 9,580 9,884 10/16/2004 9,580 9,884 10/17/2004 9,580 9,884 10/18/2004 9,664 9,963 10/19/2004 9,596 9,840 10/20/2004 9,612 9,829 10/21/2004 9,644 9,884 10/22/2004 9,520 9,821 10/23/2004 9,520 9,821 10/24/2004 9,520 9,821 10/25/2004 9,484 9,810 10/26/2004 9,604 9,975 10/27/2004 9,772 10,142 10/28/2004 9,788 10,118 10/29/2004 9,792 10,148 10/30/2004 9,792 10,148 10/31/2004 9,792 10,148 11/1/2004 9,780 10,135 11/2/2004 9,788 10,156 11/3/2004 9,908 10,281 11/4/2004 10,048 10,428 11/5/2004 10,100 10,515 11/6/2004 10,100 10,515 11/7/2004 10,100 10,515 11/8/2004 10,100 10,494 11/9/2004 10,100 10,487 11/10/2004 10,072 10,509 11/11/2004 10,164 10,611 11/12/2004 10,248 10,701 11/13/2004 10,248 10,701 11/14/2004 10,248 10,701 11/15/2004 10,272 10,715 11/16/2004 10,200 10,623 11/17/2004 10,260 10,690 11/18/2004 10,276 10,709 11/19/2004 10,140 10,587 11/20/2004 10,140 10,587 11/21/2004 10,140 10,587 11/22/2004 10,172 10,653 11/23/2004 10,136 10,659 11/24/2004 10,172 10,737 11/25/2004 10,172 10,737 11/26/2004 10,168 10,758 11/27/2004 10,168 10,758 11/28/2004 10,168 10,758 11/29/2004 10,140 10,718 11/30/2004 10,084 10,703 12/1/2004 10,264 10,858 12/2/2004 10,296 10,855 12/3/2004 10,308 10,864 12/4/2004 10,308 10,864 12/5/2004 10,308 10,864 12/6/2004 10,284 10,879 12/7/2004 10,172 10,756 12/8/2004 10,240 10,837 12/9/2004 10,296 10,935 12/10/2004 10,280 10,945 12/11/2004 10,280 10,945 12/12/2004 10,280 10,945 12/13/2004 10,360 11,014 12/14/2004 10,408 11,070 12/15/2004 10,416 11,082 12/16/2004 10,416 11,004 12/17/2004 10,304 10,937 12/18/2004 10,304 10,937 12/19/2004 10,304 10,937 12/20/2004 10,320 10,924 12/21/2004 10,404 10,996 12/22/2004 10,432 11,022 12/23/2004 10,440 10,998 12/24/2004 10,440 10,998 12/25/2004 10,440 10,998 12/26/2004 10,440 10,998 12/27/2004 10,384 10,936 12/28/2004 10,456 11,062 12/29/2004 10,448 11,095 12/30/2004 10,447 11,109 12/31/2004 10,426 11,110 1/1/2005 10,426 11,110 1/2/2005 10,426 11,110 1/3/2005 10,358 10,975 1/4/2005 10,236 10,822 1/5/2005 10,196 10,776 1/6/2005 10,224 10,780 1/7/2005 10,224 10,757 1/8/2005 10,224 10,757 1/9/2005 10,224 10,757 1/10/2005 10,268 10,814 1/11/2005 10,212 10,793 1/12/2005 10,268 10,850 1/13/2005 10,159 10,784 1/14/2005 10,228 10,872 1/15/2005 10,228 10,872 1/16/2005 10,228 10,872 1/17/2005 10,228 10,872 1/18/2005 10,309 10,977 1/19/2005 10,216 10,880 1/20/2005 10,131 10,751 1/21/2005 10,062 10,677 1/22/2005 10,062 10,677 1/23/2005 10,062 10,677 1/24/2005 10,009 10,622 1/25/2005 10,074 10,650 1/26/2005 10,111 10,716 1/27/2005 10,119 10,756 1/28/2005 10,090 10,714 1/29/2005 10,090 10,714 1/30/2005 10,090 10,714 1/31/2005 10,155 10,815 2/1/2005 10,224 10,935 2/2/2005 10,268 10,962 2/3/2005 10,240 10,929 2/4/2005 10,341 11,025 2/5/2005 10,341 11,025 2/6/2005 10,341 11,025 2/7/2005 10,321 11,003 2/8/2005 10,333 10,979 2/9/2005 10,228 10,848 2/10/2005 10,268 10,888 2/11/2005 10,333 10,985 2/12/2005 10,333 10,985 2/13/2005 10,333 10,985 2/14/2005 10,353 10,984 2/15/2005 10,394 11,037 2/16/2005 10,402 11,058 2/17/2005 10,325 10,941 2/18/2005 10,345 10,960 2/19/2005 10,345 10,960 2/20/2005 10,345 10,960 2/21/2005 10,345 10,960 2/22/2005 10,192 10,819 2/23/2005 10,240 10,853 2/24/2005 10,341 10,957 2/25/2005 10,422 11,085 2/26/2005 10,422 11,085 2/27/2005 10,422 11,085 2/28/2005 10,374 11,055 3/1/2005 10,422 11,088 3/2/2005 10,430 11,109 3/3/2005 10,434 11,145 3/4/2005 10,515 11,261 3/5/2005 10,515 11,261 3/6/2005 10,515 11,261 3/7/2005 10,536 11,291 3/8/2005 10,487 11,207 3/9/2005 10,394 11,089 3/10/2005 10,418 11,070 3/11/2005 10,333 10,987 3/12/2005 10,333 10,987 3/13/2005 10,333 10,987 3/14/2005 10,370 11,024 3/15/2005 10,293 10,935 3/16/2005 10,208 10,838 3/17/2005 10,228 10,851 3/18/2005 10,232 10,856 3/19/2005 10,232 10,856 3/20/2005 10,232 10,856 3/21/2005 10,192 10,840 3/22/2005 10,119 10,764 3/23/2005 10,135 10,758 3/24/2005 10,119 10,776 3/25/2005 10,119 10,776 3/26/2005 10,119 10,776 3/27/2005 10,119 10,776 3/28/2005 10,147 10,785 3/29/2005 10,070 10,701 3/30/2005 10,208 10,834 3/31/2005 10,175 10,834 4/1/2005 10,102 10,791 4/2/2005 10,102 10,791 4/3/2005 10,102 10,791 4/4/2005 10,139 10,840 4/5/2005 10,196 10,876 4/6/2005 10,200 10,881 4/7/2005 10,272 10,933 4/8/2005 10,192 10,811 4/9/2005 10,192 10,811 4/10/2005 10,192 10,811 4/11/2005 10,183 10,806 4/12/2005 10,232 10,871 4/13/2005 10,127 10,702 4/14/2005 10,042 10,593 4/15/2005 9,888 10,391 4/16/2005 9,888 10,391 4/17/2005 9,888 10,391 4/18/2005 9,896 10,419 4/19/2005 9,945 10,503 4/20/2005 9,819 10,347 4/21/2005 10,042 10,538 4/22/2005 9,961 10,434 4/23/2005 9,961 10,434 4/24/2005 9,961 10,434 4/25/2005 10,038 10,552 4/26/2005 9,953 10,460 4/27/2005 9,981 10,515 4/28/2005 9,859 10,389 4/29/2005 9,973 10,482 4/30/2005 9,973 10,482 5/1/2005 9,973 10,482 5/2/2005 10,021 10,540 5/3/2005 10,021 10,520 5/4/2005 10,119 10,648 5/5/2005 10,102 10,625 5/6/2005 10,098 10,621 5/7/2005 10,098 10,621 5/8/2005 10,098 10,621 5/9/2005 10,147 10,687 5/10/2005 10,050 10,568 5/11/2005 10,106 10,624 5/12/2005 10,021 10,505 5/13/2005 9,997 10,478 5/14/2005 9,997 10,478 5/15/2005 9,997 10,478 5/16/2005 10,090 10,626 5/17/2005 10,147 10,714 5/18/2005 10,244 10,846 5/19/2005 10,293 10,906 5/20/2005 10,268 10,894 5/21/2005 10,268 10,894 5/22/2005 10,268 10,894 5/23/2005 10,313 10,956 5/24/2005 10,317 10,965 5/25/2005 10,281 10,917 5/26/2005 10,341 10,999 5/27/2005 10,345 11,044 5/28/2005 10,345 11,044 5/29/2005 10,345 11,044 5/30/2005 10,345 11,044 5/31/2005 10,272 10,991 6/1/2005 10,374 11,104 6/2/2005 10,394 11,135 6/3/2005 10,301 11,082 6/4/2005 10,301 11,082 6/5/2005 10,301 11,082 6/6/2005 10,313 11,131 6/7/2005 10,317 11,123 6/8/2005 10,285 11,088 6/9/2005 10,337 11,193 6/10/2005 10,289 11,129 6/11/2005 10,289 11,129 6/12/2005 10,289 11,129 6/13/2005 10,309 11,202 6/14/2005 10,321 11,279 6/15/2005 10,341 11,299 6/16/2005 10,366 11,354 6/17/2005 10,402 11,406 6/18/2005 10,402 11,406 6/19/2005 10,402 11,406 6/20/2005 10,394 11,409 6/21/2005 10,362 11,363 6/22/2005 10,349 11,350 6/23/2005 10,228 11,267 6/24/2005 10,135 11,179 6/25/2005 10,135 11,179 6/26/2005 10,135 11,179 6/27/2005 10,135 11,198 6/28/2005 10,248 11,304 6/29/2005 10,212 11,275 6/30/2005 10,127 11,271 7/1/2005 10,155 11,300 7/2/2005 10,155 11,300 7/3/2005 10,155 11,300 7/4/2005 10,155 11,300 7/5/2005 10,248 11,443 7/6/2005 10,159 11,354 7/7/2005 10,183 11,421 7/8/2005 10,321 11,524 7/9/2005 10,321 11,524 7/10/2005 10,321 11,524 7/11/2005 10,394 11,595 7/12/2005 10,426 11,628 7/13/2005 10,430 11,606 7/14/2005 10,471 11,586 7/15/2005 10,475 11,611 7/16/2005 10,475 11,611 7/17/2005 10,475 11,611 7/18/2005 10,430 11,557 7/19/2005 10,519 11,635 7/20/2005 10,572 11,685 7/21/2005 10,515 11,581 7/22/2005 10,556 11,687 7/23/2005 10,556 11,687 7/24/2005 10,556 11,687 7/25/2005 10,515 11,627 7/26/2005 10,532 11,665 7/27/2005 10,584 11,709 7/28/2005 10,641 11,783 7/29/2005 10,552 11,687 7/30/2005 10,552 11,687 7/31/2005 10,552 11,687 8/1/2005 10,564 11,717 8/2/2005 10,645 11,776 8/3/2005 10,649 11,765 8/4/2005 10,552 11,687 8/5/2005 10,495 11,580 8/6/2005 10,495 11,580 8/7/2005 10,495 11,580 8/8/2005 10,467 11,565 8/9/2005 10,540 11,628 8/10/2005 10,503 11,616 8/11/2005 10,584 11,709 8/12/2005 10,511 11,676 8/13/2005 10,511 11,676 8/14/2005 10,511 11,676 8/15/2005 10,540 11,703 8/16/2005 10,406 11,555 8/17/2005 10,418 11,561 8/18/2005 10,418 11,541 8/19/2005 10,410 11,539 8/20/2005 10,410 11,539 8/21/2005 10,410 11,539 8/22/2005 10,426 11,533 8/23/2005 10,394 11,513 8/24/2005 10,329 11,493 8/25/2005 10,349 11,522 8/26/2005 10,293 11,439 8/27/2005 10,293 11,439 8/28/2005 10,293 11,439 8/29/2005 10,366 11,506 8/30/2005 10,321 11,478 8/31/2005 10,418 11,629 9/1/2005 10,410 11,635 9/2/2005 10,378 11,570 9/3/2005 10,378 11,570 9/4/2005 10,378 11,570 9/5/2005 10,378 11,570 9/6/2005 10,528 11,716 9/7/2005 10,552 11,756 9/8/2005 10,520 11,705 9/9/2005 10,593 11,805 9/10/2005 10,593 11,805 9/11/2005 10,593 11,805 9/12/2005 10,589 11,817 9/13/2005 10,507 11,715 9/14/2005 10,451 11,673 9/15/2005 10,455 11,682 9/16/2005 10,520 11,733 9/17/2005 10,520 11,733 9/18/2005 10,520 11,733 9/19/2005 10,467 11,662 9/20/2005 10,394 11,547 9/21/2005 10,317 11,454 9/22/2005 10,365 11,535 9/23/2005 10,365 11,545 9/24/2005 10,365 11,545 9/25/2005 10,365 11,545 9/26/2005 10,357 11,549 9/27/2005 10,369 11,569 9/28/2005 10,373 11,569 9/29/2005 10,451 11,646 9/30/2005 10,467 11,667 10/1/2005 10,467 11,667 10/2/2005 10,467 11,667 10/3/2005 10,430 11,667 10/4/2005 10,345 11,541 10/5/2005 10,203 11,327 10/6/2005 10,170 11,248 10/7/2005 10,203 11,303 10/8/2005 10,203 11,303 10/9/2005 10,203 11,303 10/10/2005 10,150 11,229 10/11/2005 10,138 11,210 10/12/2005 10,097 11,122 10/13/2005 10,109 11,110 10/14/2005 10,187 11,232 10/15/2005 10,187 11,232 10/16/2005 10,187 11,232 10/17/2005 10,207 11,287 10/18/2005 10,114 11,159 10/19/2005 10,272 11,312 10/20/2005 10,142 11,134 10/21/2005 10,130 11,181 10/22/2005 10,130 11,181 10/23/2005 10,130 11,181 10/24/2005 10,272 11,340 10/25/2005 10,239 11,274 10/26/2005 10,183 11,196 10/27/2005 10,065 11,064 10/28/2005 10,215 11,274 10/29/2005 10,215 11,274 10/30/2005 10,215 11,274 10/31/2005 10,284 11,400 11/1/2005 10,223 11,386 11/2/2005 10,317 11,523 11/3/2005 10,394 11,556 11/4/2005 10,402 11,555 11/5/2005 10,402 11,555 11/6/2005 10,402 11,555 11/7/2005 10,422 11,573 11/8/2005 10,394 11,491 11/9/2005 10,402 11,497 11/10/2005 10,495 11,637 11/11/2005 10,520 11,653 11/12/2005 10,520 11,653 11/13/2005 10,520 11,653 11/14/2005 10,503 11,628 11/15/2005 10,491 11,605 11/16/2005 10,528 11,640 11/17/2005 10,601 11,789 11/18/2005 10,649 11,809 11/19/2005 10,649 11,809 11/20/2005 10,649 11,809 11/21/2005 10,710 11,906 11/22/2005 10,751 11,980 11/23/2005 10,771 11,996 11/24/2005 10,771 11,996 11/25/2005 10,796 12,014 11/26/2005 10,796 12,014 11/27/2005 10,796 12,014 11/28/2005 10,710 11,872 11/29/2005 10,698 11,889 11/30/2005 10,654 11,846 12/1/2005 10,775 12,003 12/2/2005 10,788 12,043 12/3/2005 10,788 12,043 12/4/2005 10,788 12,043 12/5/2005 10,755 12,021 12/6/2005 10,767 12,052 12/7/2005 10,727 11,992 12/8/2005 10,702 11,998 12/9/2005 10,719 12,035 12/10/2005 10,719 12,035 12/11/2005 10,719 12,035 12/12/2005 10,739 12,076 12/13/2005 10,779 12,116 12/14/2005 10,820 12,179 12/15/2005 10,828 12,148 12/16/2005 10,792 12,123 12/17/2005 10,792 12,123 12/18/2005 10,792 12,123 12/19/2005 10,702 12,017 12/20/2005 10,714 12,028 12/21/2005 10,743 12,063 12/22/2005 10,785 12,111 12/23/2005 10,785 12,114 12/24/2005 10,785 12,114 12/25/2005 10,785 12,114 12/26/2005 10,785 12,114 12/27/2005 10,677 11,992 12/28/2005 10,710 12,032 12/29/2005 10,669 11,984 12/30/2005 10,611 11,923 12/31/2005 10,611 11,923 1/1/2006 10,611 11,923 1/2/2006 10,611 11,923 1/3/2006 10,760 12,090 1/4/2006 10,810 12,147 1/5/2006 10,805 12,143 1/6/2006 10,917 12,272 1/7/2006 10,917 12,272 1/8/2006 10,917 12,272 1/9/2006 11,000 12,363 1/10/2006 10,983 12,347 1/11/2006 11,012 12,379 1/12/2006 10,967 12,328 1/13/2006 10,971 12,336 1/14/2006 10,971 12,336 1/15/2006 10,971 12,336 1/16/2006 10,971 12,336 1/17/2006 10,938 12,301 1/18/2006 10,905 12,261 1/19/2006 10,983 12,351 1/20/2006 10,814 12,161 1/21/2006 10,814 12,161 1/22/2006 10,814 12,161 1/23/2006 10,814 12,163 1/24/2006 10,880 12,239 1/25/2006 10,822 12,172 1/26/2006 10,896 12,258 1/27/2006 11,012 12,393 1/28/2006 11,012 12,393 1/29/2006 11,012 12,393 1/30/2006 11,008 12,390 1/31/2006 10,967 12,342 2/1/2006 10,942 12,316 2/2/2006 10,863 12,226 2/3/2006 10,797 12,153 2/4/2006 10,797 12,153 2/5/2006 10,797 12,153 2/6/2006 10,797 12,152 2/7/2006 10,686 12,029 2/8/2006 10,756 12,111 2/9/2006 10,719 12,068 2/10/2006 10,727 12,080 2/11/2006 10,727 12,080 2/12/2006 10,727 12,080 2/13/2006 10,698 12,049 2/14/2006 10,777 12,135 2/15/2006 10,830 12,198 2/16/2006 10,925 12,306 2/17/2006 10,876 12,254 2/18/2006 10,876 12,254 2/19/2006 10,876 12,254 2/20/2006 10,876 12,254 2/21/2006 10,834 12,204 2/22/2006 10,921 12,302 2/23/2006 10,892 12,272 2/24/2006 10,909 12,292 2/25/2006 10,909 12,292 2/26/2006 10,909 12,292 2/27/2006 10,954 12,344 2/28/2006 10,772 12,138 3/1/2006 10,839 12,214 3/2/2006 10,830 12,204 3/3/2006 10,801 12,173 3/4/2006 10,801 12,173 3/5/2006 10,801 12,173 3/6/2006 10,715 12,078 3/7/2006 10,673 12,031 3/8/2006 10,702 12,064 3/9/2006 10,644 12,002 3/10/2006 10,706 12,073 3/11/2006 10,706 12,073 3/12/2006 10,706 12,073 3/13/2006 10,727 12,096 3/14/2006 10,851 12,237 3/15/2006 10,888 12,281 3/16/2006 10,909 12,305 3/17/2006 10,921 12,320 3/18/2006 10,921 12,320 3/19/2006 10,921 12,320 3/20/2006 10,892 12,288 3/21/2006 10,830 12,216 3/22/2006 10,867 12,261 3/23/2006 10,867 12,260 3/24/2006 10,892 12,289 3/25/2006 10,892 12,289 3/26/2006 10,892 12,289 3/27/2006 10,876 12,273 3/28/2006 10,855 12,252 3/29/2006 10,954 12,362 3/30/2006 10,938 12,345 3/31/2006 10,888 12,290 4/1/2006 10,888 12,290 4/2/2006 10,888 12,290 4/3/2006 10,876 12,274 4/4/2006 10,942 12,353 4/5/2006 10,962 12,378 4/6/2006 10,958 12,374 4/7/2006 10,863 12,265 4/8/2006 10,863 12,265 4/9/2006 10,863 12,265 4/10/2006 10,859 12,264 4/11/2006 10,760 12,152 4/12/2006 10,772 12,164 4/13/2006 10,772 12,167 4/14/2006 10,772 12,167 4/15/2006 10,772 12,167 4/16/2006 10,772 12,167 4/17/2006 10,756 12,151 4/18/2006 10,896 12,308 4/19/2006 10,934 12,351 4/20/2006 10,971 12,396 4/21/2006 10,917 12,336 4/22/2006 10,917 12,336 4/23/2006 10,917 12,336 4/24/2006 10,896 12,316 4/25/2006 10,826 12,235 4/26/2006 10,830 12,242 4/27/2006 10,789 12,195 4/28/2006 10,781 12,187 4/29/2006 10,781 12,187 4/30/2006 10,781 12,187 5/1/2006 10,727 12,128 5/2/2006 10,752 12,156 5/3/2006 10,710 12,109 5/4/2006 10,727 12,128 5/5/2006 10,830 12,248 5/6/2006 10,830 12,248 5/7/2006 10,830 12,248 5/8/2006 10,834 12,251 5/9/2006 10,801 12,216 5/10/2006 10,793 12,207 5/11/2006 10,640 12,035 5/12/2006 10,508 11,888 5/13/2006 10,508 11,888 5/14/2006 10,508 11,888 5/15/2006 10,529 11,911 5/16/2006 10,504 11,884 5/17/2006 10,364 11,723 5/18/2006 10,302 11,657 5/19/2006 10,343 11,700 5/20/2006 10,343 11,700 5/21/2006 10,343 11,700 5/22/2006 10,285 11,640 5/23/2006 10,227 11,573 5/24/2006 10,248 11,595 5/25/2006 10,355 11,720 5/26/2006 10,397 11,769 5/27/2006 10,397 11,769 5/28/2006 10,397 11,769 5/29/2006 10,397 11,769 5/30/2006 10,244 11,594 5/31/2006 10,326 11,692 6/1/2006 10,450 11,833 6/2/2006 10,425 11,807 6/3/2006 10,425 11,807 6/4/2006 10,425 11,807 6/5/2006 10,235 11,588 6/6/2006 10,202 11,552 6/7/2006 10,178 11,526 6/8/2006 10,186 11,535 6/9/2006 10,149 11,494 6/10/2006 10,149 11,494 6/11/2006 10,149 11,494 6/12/2006 10,000 11,326 6/13/2006 9,926 11,241 6/14/2006 9,992 11,317 6/15/2006 10,215 11,574 6/16/2006 10,178 11,531 6/17/2006 10,178 11,531 6/18/2006 10,178 11,531 6/19/2006 10,058 11,396 6/20/2006 10,033 11,365 6/21/2006 10,157 11,507 6/22/2006 10,099 11,442 6/23/2006 10,112 11,461 6/24/2006 10,112 11,461 6/25/2006 10,112 11,461 6/26/2006 10,128 11,477 6/27/2006 10,021 11,355 6/28/2006 10,062 11,406 6/29/2006 10,293 11,670 6/30/2006 10,302 11,680 7/1/2006 10,302 11,680 7/2/2006 10,302 11,680 7/3/2006 10,335 11,720 7/4/2006 10,335 11,720 7/5/2006 10,223 11,595 7/6/2006 10,240 11,611 7/7/2006 10,161 11,523 7/8/2006 10,161 11,523 7/9/2006 10,161 11,523 7/10/2006 10,149 11,512 7/11/2006 10,190 11,558 7/12/2006 10,066 11,418 7/13/2006 9,950 11,287 7/14/2006 9,876 11,202 7/15/2006 9,876 11,202 7/16/2006 9,876 11,202 7/17/2006 9,876 11,205 7/18/2006 9,855 11,181 7/19/2006 10,037 11,388 7/20/2006 9,913 11,248 7/21/2006 9,806 11,129 7/22/2006 9,806 11,129 7/23/2006 9,806 11,129 7/24/2006 10,008 11,358 7/25/2006 10,103 11,468 7/26/2006 10,070 11,428 7/27/2006 10,000 11,350 7/28/2006 10,136 11,505 7/29/2006 10,136 11,505 7/30/2006 10,136 11,505 7/31/2006 10,132 11,504 8/1/2006 10,083 11,448 8/2/2006 10,165 11,542 8/3/2006 10,207 11,596 8/4/2006 10,198 11,584 8/5/2006 10,198 11,584 8/6/2006 10,198 11,584 8/7/2006 10,161 11,542 8/8/2006 10,136 11,518 8/9/2006 10,058 11,427 8/10/2006 10,116 11,494 8/11/2006 10,054 11,427 8/12/2006 10,054 11,427 8/13/2006 10,054 11,427 8/14/2006 10,041 11,415 8/15/2006 10,215 11,609 8/16/2006 10,335 11,750 8/17/2006 10,380 11,799 8/18/2006 10,397 11,819 8/19/2006 10,397 11,819 8/20/2006 10,397 11,819 8/21/2006 10,322 11,734 8/22/2006 10,339 11,755 8/23/2006 10,273 11,683 8/24/2006 10,293 11,705 8/25/2006 10,281 11,695 8/26/2006 10,281 11,695 8/27/2006 10,281 11,695 8/28/2006 10,355 11,777 8/29/2006 10,405 11,836 8/30/2006 10,434 11,869 8/31/2006 10,434 11,872 9/1/2006 10,487 11,935 9/2/2006 10,487 11,935 9/3/2006 10,487 11,935 9/4/2006 10,487 11,935 9/5/2006 10,516 11,971 9/6/2006 10,388 11,822 9/7/2006 10,339 11,766 9/8/2006 10,397 11,836 9/9/2006 10,397 11,836 9/10/2006 10,397 11,836 9/11/2006 10,430 11,874 9/12/2006 10,607 12,079 9/13/2006 10,649 12,128 9/14/2006 10,624 12,100 9/15/2006 10,694 12,180 9/16/2006 10,694 12,180 9/17/2006 10,694 12,180 9/18/2006 10,682 12,168 9/19/2006 10,640 12,121 9/20/2006 10,702 12,192 9/21/2006 10,632 12,110 9/22/2006 10,574 12,046 9/23/2006 10,574 12,046 9/24/2006 10,574 12,046 9/25/2006 10,682 12,169 9/26/2006 10,735 12,233 9/27/2006 10,727 12,222 9/28/2006 10,739 12,236 9/29/2006 10,702 12,199 9/30/2006 10,702 12,199 10/1/2006 10,702 12,199 10/2/2006 10,644 12,132 10/3/2006 10,628 12,116 10/4/2006 10,830 12,345 10/5/2006 10,884 12,410 10/6/2006 10,839 12,359 10/7/2006 10,839 12,359 10/8/2006 10,839 12,359 10/9/2006 10,880 12,406 10/10/2006 10,888 12,415 10/11/2006 10,839 12,358 10/12/2006 10,954 12,493 10/13/2006 10,938 12,479 10/14/2006 10,938 12,479 10/15/2006 10,938 12,479 10/16/2006 10,983 12,530 10/17/2006 10,921 12,459 10/18/2006 10,917 12,456 10/19/2006 10,917 12,455 10/20/2006 10,900 12,440 10/21/2006 10,900 12,440 10/22/2006 10,900 12,440 10/23/2006 10,967 12,514 10/24/2006 11,012 12,567 10/25/2006 11,029 12,588 10/26/2006 11,103 12,673 10/27/2006 10,991 12,545 10/28/2006 10,991 12,545 10/29/2006 10,991 12,545 10/30/2006 11,012 12,570 10/31/2006 11,024 12,586 11/1/2006 10,896 12,438 11/2/2006 10,896 12,439 11/3/2006 10,859 12,401 11/4/2006 10,859 12,401 11/5/2006 10,859 12,401 11/6/2006 11,004 12,568 11/7/2006 11,016 12,583 11/8/2006 11,024 12,589 11/9/2006 10,958 12,516 11/10/2006 10,995 12,562 11/11/2006 10,995 12,562 11/12/2006 10,995 12,562 11/13/2006 11,037 12,609 11/14/2006 11,148 12,735 11/15/2006 11,227 12,827 11/16/2006 11,252 12,857 11/17/2006 11,243 12,848 11/18/2006 11,243 12,848 11/19/2006 11,243 12,848 11/20/2006 11,198 12,798 11/21/2006 11,239 12,845 11/22/2006 11,301 12,916 11/23/2006 11,301 12,916 11/24/2006 11,252 12,864 11/25/2006 11,252 12,864 11/26/2006 11,252 12,864 11/27/2006 11,062 12,646 11/28/2006 11,099 12,687 11/29/2006 11,198 12,804 11/30/2006 11,235 12,845 12/1/2006 11,186 12,790 12/2/2006 11,186 12,790 12/3/2006 11,186 12,790 12/4/2006 11,305 12,930 12/5/2006 11,359 12,993 12/6/2006 11,359 12,992 12/7/2006 11,293 12,915 12/8/2006 11,294 12,919 12/9/2006 11,294 12,919 12/10/2006 11,294 12,919 12/11/2006 11,306 12,935 12/12/2006 11,269 12,889 12/13/2006 11,277 12,902 12/14/2006 11,365 13,004 12/15/2006 11,352 12,989 12/16/2006 11,352 12,989 12/17/2006 11,352 12,989 12/18/2006 11,269 12,899 12/19/2006 11,306 12,940 12/20/2006 11,281 12,914 12/21/2006 11,243 12,867 12/22/2006 11,189 12,811 12/23/2006 11,189 12,811 12/24/2006 11,189 12,811 12/25/2006 11,189 12,811 12/26/2006 11,210 12,832 12/27/2006 11,269 12,900 12/28/2006 11,243 12,875 12/29/2006 11,185 12,808 12/30/2006 11,185 12,808 12/31/2006 11,185 12,808 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/03/04) -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND 5.40% 4.29% S&P 500/CITIGROUP PURE GROWTH INDEX 7.43% 9.74% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500/CITIGROUP PURE GROWTH INDEX IS AND UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] S&P 500/CITIGROUP LARGE-CAP GROWTH FUND PURE GROWTH INDEX OTHER 4.9% 4.9% HEALTH CARE 24.1% 24.3% CONSUMER DISCRETIONARY 19.9% 19.9% INFORMATION TECHNOLOGY 18.7% 18.7% CONSUMER STAPLES 9.8% 9.8% ENERGY 8.7% 8.8% FINANCIALS 8.4% 8.5% INDUSTRIALS 5.1% 5.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Caremark Rx, Inc. 1.3% Amazon.com, Inc. 1.3% Hospira, Inc. 1.3% Google, Inc. -- Class A 1.2% Coach, Inc. 1.2% XTO Energy, Inc. 1.2% Forest Laboratories, Inc. 1.2% Express Scripts, Inc. 1.1% Coventry Health Care, Inc. 1.1% Zimmer Holdings, Inc. 1.1% -------------------------------------------------------------------------------- Top Ten Total 12.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 30 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- DYNAMIC STRENGTHENING DOLLAR FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 200% of the performance of the U.S. Dollar Index. INCEPTION: September 30, 2005 The U.S. dollar weakened against most major currencies in 2006. Rising short-term interest rates no longer provided support for the dollar as the Federal Reserve last raised the Fed Funds rate at their June meeting. The U.S. Dollar Index was down -8.25% during 2006. Rydex Dynamic Strengthening Dollar Fund returned -10.63% for the year. The Fund achieved a daily correlation of more than 0.92 to its benchmark of 200% of the daily price performance of the U.S. Dollar Index for the year ended December 31, 2006. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: SEPTEMBER 30, 2005 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DYNAMIC STRENGTHENING DATE DOLLAR FUND U.S. DOLLAR INDEX 9/30/2005 10,000 10,000 10/1/2005 10,000 10,000 10/2/2005 10,000 10,000 10/3/2005 10,000 10,068 10/4/2005 9,980 10,065 10/5/2005 9,964 10,051 10/6/2005 9,672 9,904 10/7/2005 9,772 9,961 10/8/2005 9,772 9,961 10/9/2005 9,772 9,961 10/10/2005 9,836 9,993 10/11/2005 9,944 10,050 10/12/2005 9,888 10,012 10/13/2005 9,920 10,032 10/14/2005 9,828 9,993 10/15/2005 9,828 9,993 10/16/2005 9,828 9,993 10/17/2005 9,956 10,031 10/18/2005 10,028 10,086 10/19/2005 9,964 10,053 10/20/2005 9,940 10,029 10/21/2005 10,060 10,088 10/22/2005 10,060 10,088 10/23/2005 10,060 10,088 10/24/2005 9,992 10,066 10/25/2005 9,820 9,969 10/26/2005 9,900 9,997 10/27/2005 9,784 9,953 10/28/2005 9,888 10,008 10/29/2005 9,888 10,008 10/30/2005 9,888 10,008 10/31/2005 10,000 10,061 11/1/2005 9,992 10,063 11/2/2005 9,940 10,022 11/3/2005 10,088 10,103 11/4/2005 10,292 10,194 11/5/2005 10,292 10,194 11/6/2005 10,292 10,194 11/7/2005 10,308 10,198 11/8/2005 10,304 10,207 11/9/2005 10,356 10,221 11/10/2005 10,472 10,286 11/11/2005 10,412 10,275 11/12/2005 10,412 10,275 11/13/2005 10,412 10,275 11/14/2005 10,464 10,292 11/15/2005 10,440 10,287 11/16/2005 10,556 10,314 11/17/2005 10,444 10,264 11/18/2005 10,440 10,269 11/19/2005 10,440 10,269 11/20/2005 10,440 10,269 11/21/2005 10,480 10,280 11/22/2005 10,336 10,221 11/23/2005 10,316 10,207 11/24/2005 10,316 10,232 11/25/2005 10,480 10,282 11/26/2005 10,480 10,282 11/27/2005 10,480 10,282 11/28/2005 10,268 10,163 11/29/2005 10,380 10,235 11/30/2005 10,360 10,229 12/1/2005 10,436 10,257 12/2/2005 10,440 10,269 12/3/2005 10,440 10,269 12/4/2005 10,440 10,269 12/5/2005 10,340 10,219 12/6/2005 10,352 10,214 12/7/2005 10,452 10,265 12/8/2005 10,288 10,194 12/9/2005 10,300 10,193 12/10/2005 10,300 10,193 12/11/2005 10,300 10,193 12/12/2005 10,092 10,089 12/13/2005 10,120 10,096 12/14/2005 9,992 10,035 12/15/2005 10,020 10,056 12/16/2005 9,964 10,021 12/17/2005 9,964 10,021 12/18/2005 9,964 10,021 12/19/2005 10,000 10,039 12/20/2005 10,224 10,141 12/21/2005 10,268 10,159 12/22/2005 10,219 10,134 12/23/2005 10,195 10,141 12/24/2005 10,195 10,141 12/25/2005 10,195 10,141 12/26/2005 10,195 10,141 12/27/2005 10,291 10,187 12/28/2005 10,324 10,189 12/29/2005 10,299 10,177 12/30/2005 10,316 10,184 12/31/2005 10,316 10,184 1/1/2006 10,316 10,184 1/2/2006 10,316 10,184 1/3/2006 10,006 10,036 1/4/2006 9,844 9,958 1/5/2006 9,905 9,979 1/6/2006 9,796 9,932 1/7/2006 9,796 9,932 1/8/2006 9,796 9,932 1/9/2006 9,881 9,970 1/10/2006 9,893 9,979 1/11/2006 9,824 9,941 1/12/2006 9,961 9,991 1/13/2006 9,812 9,930 1/14/2006 9,812 9,930 1/15/2006 9,812 9,930 1/16/2006 9,812 9,955 1/17/2006 9,881 9,975 1/18/2006 9,917 9,970 1/19/2006 9,933 9,985 1/20/2006 9,849 9,939 1/21/2006 9,849 9,939 1/22/2006 9,849 9,939 1/23/2006 9,599 9,825 1/24/2006 9,643 9,837 1/25/2006 9,720 9,867 1/26/2006 9,756 9,899 1/27/2006 9,933 9,978 1/28/2006 9,933 9,978 1/29/2006 9,933 9,978 1/30/2006 9,961 9,989 1/31/2006 9,836 9,937 2/1/2006 9,981 9,999 2/2/2006 9,949 9,988 2/3/2006 10,078 10,041 2/4/2006 10,078 10,041 2/5/2006 10,078 10,041 2/6/2006 10,175 10,086 2/7/2006 10,146 10,080 2/8/2006 10,175 10,102 2/9/2006 10,130 10,086 2/10/2006 10,235 10,115 2/11/2006 10,235 10,115 2/12/2006 10,235 10,115 2/13/2006 10,219 10,114 2/14/2006 10,199 10,114 2/15/2006 10,275 10,134 2/16/2006 10,287 10,135 2/17/2006 10,207 10,125 2/18/2006 10,207 10,125 2/19/2006 10,207 10,125 2/20/2006 10,207 10,101 2/21/2006 10,251 10,115 2/22/2006 10,255 10,128 2/23/2006 10,195 10,097 2/24/2006 10,267 10,122 2/25/2006 10,267 10,122 2/26/2006 10,267 10,122 2/27/2006 10,275 10,124 2/28/2006 10,138 10,066 3/1/2006 10,171 10,078 3/2/2006 10,014 10,004 3/3/2006 10,042 10,016 3/4/2006 10,042 10,016 3/5/2006 10,042 10,016 3/6/2006 10,114 10,041 3/7/2006 10,316 10,140 3/8/2006 10,263 10,123 3/9/2006 10,291 10,137 3/10/2006 10,368 10,149 3/11/2006 10,368 10,149 3/12/2006 10,368 10,149 3/13/2006 10,255 10,114 3/14/2006 10,142 10,054 3/15/2006 10,078 10,020 3/16/2006 9,945 9,950 3/17/2006 9,917 9,933 3/18/2006 9,917 9,933 3/19/2006 9,917 9,933 3/20/2006 9,949 9,956 3/21/2006 10,114 10,011 3/22/2006 10,110 10,022 3/23/2006 10,251 10,105 3/24/2006 10,171 10,061 3/25/2006 10,171 10,061 3/26/2006 10,171 10,061 3/27/2006 10,195 10,061 3/28/2006 10,255 10,082 3/29/2006 10,207 10,077 3/30/2006 10,010 9,985 3/31/2006 10,122 10,023 4/1/2006 10,122 10,023 4/2/2006 10,122 10,023 4/3/2006 10,102 10,012 4/4/2006 9,929 9,923 4/5/2006 9,889 9,901 4/6/2006 9,973 9,937 4/7/2006 10,142 10,019 4/8/2006 10,142 10,019 4/9/2006 10,142 10,019 4/10/2006 10,110 10,015 4/11/2006 10,042 9,991 4/12/2006 10,118 10,011 4/13/2006 10,114 10,008 4/14/2006 10,114 10,008 4/15/2006 10,114 10,008 4/16/2006 10,114 10,008 4/17/2006 9,897 9,902 4/18/2006 9,828 9,857 4/19/2006 9,708 9,807 4/20/2006 9,840 9,858 4/21/2006 9,768 9,836 4/22/2006 9,768 9,836 4/23/2006 9,768 9,836 4/24/2006 9,659 9,769 4/25/2006 9,647 9,754 4/26/2006 9,603 9,743 4/27/2006 9,478 9,677 4/28/2006 9,345 9,619 4/29/2006 9,345 9,619 4/30/2006 9,345 9,619 5/1/2006 9,353 9,603 5/2/2006 9,305 9,583 5/3/2006 9,313 9,589 5/4/2006 9,212 9,535 5/5/2006 9,176 9,511 5/6/2006 9,176 9,511 5/7/2006 9,176 9,511 5/8/2006 9,176 9,521 5/9/2006 9,104 9,476 5/10/2006 9,023 9,439 5/11/2006 9,011 9,414 5/12/2006 8,910 9,373 5/13/2006 8,910 9,373 5/14/2006 8,910 9,373 5/15/2006 9,104 9,444 5/16/2006 8,995 9,402 5/17/2006 9,148 9,478 5/18/2006 9,059 9,440 5/19/2006 9,172 9,482 5/20/2006 9,172 9,482 5/21/2006 9,172 9,482 5/22/2006 9,047 9,422 5/23/2006 9,031 9,422 5/24/2006 9,196 9,490 5/25/2006 9,136 9,463 5/26/2006 9,236 9,513 5/27/2006 9,236 9,513 5/28/2006 9,236 9,513 5/29/2006 9,236 9,501 5/30/2006 9,035 9,415 5/31/2006 9,120 9,464 6/1/2006 9,144 9,472 6/2/2006 8,975 9,388 6/3/2006 8,975 9,388 6/4/2006 8,975 9,388 6/5/2006 9,023 9,399 6/6/2006 9,164 9,465 6/7/2006 9,220 9,494 6/8/2006 9,398 9,589 6/9/2006 9,385 9,576 6/10/2006 9,385 9,576 6/11/2006 9,385 9,576 6/12/2006 9,426 9,590 6/13/2006 9,530 9,660 6/14/2006 9,458 9,622 6/15/2006 9,394 9,609 6/16/2006 9,402 9,600 6/17/2006 9,402 9,600 6/18/2006 9,402 9,600 6/19/2006 9,506 9,643 6/20/2006 9,470 9,627 6/21/2006 9,353 9,582 6/22/2006 9,542 9,650 6/23/2006 9,643 9,705 6/24/2006 9,643 9,705 6/25/2006 9,643 9,705 6/26/2006 9,559 9,662 6/27/2006 9,547 9,659 6/28/2006 9,583 9,677 6/29/2006 9,422 9,598 6/30/2006 9,249 9,513 7/1/2006 9,249 9,513 7/2/2006 9,249 9,513 7/3/2006 9,253 9,516 7/4/2006 9,253 9,512 7/5/2006 9,373 9,562 7/6/2006 9,357 9,534 7/7/2006 9,241 9,496 7/8/2006 9,241 9,496 7/9/2006 9,241 9,496 7/10/2006 9,369 9,551 7/11/2006 9,357 9,535 7/12/2006 9,482 9,597 7/13/2006 9,474 9,589 7/14/2006 9,547 9,618 7/15/2006 9,547 9,618 7/16/2006 9,547 9,618 7/17/2006 9,736 9,721 7/18/2006 9,708 9,720 7/19/2006 9,587 9,665 7/20/2006 9,559 9,631 7/21/2006 9,486 9,599 7/22/2006 9,486 9,599 7/23/2006 9,486 9,599 7/24/2006 9,595 9,645 7/25/2006 9,671 9,678 7/26/2006 9,458 9,591 7/27/2006 9,498 9,589 7/28/2006 9,373 9,538 7/29/2006 9,373 9,538 7/30/2006 9,373 9,538 7/31/2006 9,345 9,529 8/1/2006 9,321 9,496 8/2/2006 9,337 9,515 8/3/2006 9,305 9,500 8/4/2006 9,200 9,448 8/5/2006 9,200 9,448 8/6/2006 9,200 9,448 8/7/2006 9,253 9,466 8/8/2006 9,232 9,476 8/9/2006 9,232 9,463 8/10/2006 9,353 9,508 8/11/2006 9,438 9,550 8/12/2006 9,438 9,550 8/13/2006 9,438 9,550 8/14/2006 9,466 9,570 8/15/2006 9,317 9,520 8/16/2006 9,257 9,482 8/17/2006 9,325 9,500 8/18/2006 9,301 9,505 8/19/2006 9,301 9,505 8/20/2006 9,301 9,505 8/21/2006 9,253 9,454 8/22/2006 9,357 9,514 8/23/2006 9,345 9,510 8/24/2006 9,381 9,526 8/25/2006 9,402 9,538 8/26/2006 9,402 9,538 8/27/2006 9,402 9,538 8/28/2006 9,345 9,524 8/29/2006 9,329 9,491 8/30/2006 9,345 9,492 8/31/2006 9,373 9,501 9/1/2006 9,305 9,486 9/2/2006 9,305 9,486 9/3/2006 9,305 9,486 9/4/2006 9,305 9,459 9/5/2006 9,361 9,495 9/6/2006 9,381 9,506 9/7/2006 9,486 9,554 9/8/2006 9,559 9,601 9/9/2006 9,559 9,601 9/10/2006 9,559 9,601 9/11/2006 9,567 9,598 9/12/2006 9,551 9,598 9/13/2006 9,559 9,591 9/14/2006 9,522 9,569 9/15/2006 9,583 9,605 9/16/2006 9,583 9,605 9/17/2006 9,583 9,605 9/18/2006 9,555 9,586 9/19/2006 9,587 9,600 9/20/2006 9,542 9,586 9/21/2006 9,385 9,517 9/22/2006 9,426 9,513 9/23/2006 9,426 9,513 9/24/2006 9,426 9,513 9/25/2006 9,462 9,538 9/26/2006 9,547 9,565 9/27/2006 9,522 9,572 9/28/2006 9,526 9,581 9/29/2006 9,619 9,610 9/30/2006 9,619 9,610 10/1/2006 9,619 9,610 10/2/2006 9,494 9,562 10/3/2006 9,534 9,574 10/4/2006 9,587 9,589 10/5/2006 9,607 9,598 10/6/2006 9,752 9,663 10/7/2006 9,752 9,663 10/8/2006 9,752 9,663 10/9/2006 9,744 9,668 10/10/2006 9,836 9,721 10/11/2006 9,885 9,732 10/12/2006 9,808 9,710 10/13/2006 9,905 9,732 10/14/2006 9,905 9,732 10/15/2006 9,905 9,732 10/16/2006 9,820 9,719 10/17/2006 9,796 9,704 10/18/2006 9,824 9,705 10/19/2006 9,671 9,634 10/20/2006 9,724 9,637 10/21/2006 9,724 9,637 10/22/2006 9,724 9,637 10/23/2006 9,824 9,686 10/24/2006 9,772 9,685 10/25/2006 9,720 9,649 10/26/2006 9,603 9,595 10/27/2006 9,559 9,558 10/28/2006 9,559 9,558 10/29/2006 9,559 9,558 10/30/2006 9,559 9,561 10/31/2006 9,494 9,531 11/1/2006 9,514 9,542 11/2/2006 9,498 9,533 11/3/2006 9,619 9,574 11/4/2006 9,619 9,574 11/5/2006 9,619 9,574 11/6/2006 9,611 9,579 11/7/2006 9,518 9,543 11/8/2006 9,534 9,541 11/9/2006 9,470 9,515 11/10/2006 9,446 9,503 11/11/2006 9,446 9,503 11/12/2006 9,446 9,503 11/13/2006 9,555 9,536 11/14/2006 9,494 9,529 11/15/2006 9,547 9,532 11/16/2006 9,587 9,550 11/17/2006 9,518 9,530 11/18/2006 9,518 9,530 11/19/2006 9,518 9,530 11/20/2006 9,559 9,542 11/21/2006 9,518 9,522 11/22/2006 9,373 9,443 11/23/2006 9,373 9,435 11/24/2006 9,176 9,345 11/25/2006 9,176 9,345 11/26/2006 9,176 9,345 11/27/2006 9,128 9,328 11/28/2006 9,059 9,286 11/29/2006 9,148 9,326 11/30/2006 9,031 9,266 12/1/2006 8,930 9,214 12/2/2006 8,930 9,214 12/3/2006 8,930 9,214 12/4/2006 8,935 9,208 12/5/2006 8,967 9,217 12/6/2006 9,027 9,243 12/7/2006 9,027 9,245 12/8/2006 9,150 9,304 12/9/2006 9,150 9,304 12/10/2006 9,150 9,304 12/11/2006 9,093 9,292 12/12/2006 9,040 9,265 12/13/2006 9,162 9,307 12/14/2006 9,240 9,350 12/15/2006 9,321 9,388 12/16/2006 9,321 9,388 12/17/2006 9,321 9,388 12/18/2006 9,309 9,383 12/19/2006 9,158 9,322 12/20/2006 9,207 9,333 12/21/2006 9,232 9,338 12/22/2006 9,281 9,362 12/23/2006 9,281 9,362 12/24/2006 9,281 9,362 12/25/2006 9,281 9,362 12/26/2006 9,342 9,390 12/27/2006 9,277 9,380 12/28/2006 9,277 9,363 12/29/2006 9,219 9,344 12/30/2006 9,219 9,344 12/31/2006 9,219 9,344 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (09/30/05) -------------------------------------------------------------------------------- DYNAMIC STRENGTHENING DOLLAR FUND -10.63% -6.28% U.S. DOLLAR INDEX -8.25% -5.27% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE U.S. DOLLAR INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] DYNAMIC STRENGTHENING DOLLAR FUND U.S. DOLLAR INDEX OTHER 7.8% EURO 57.6% JAPANESE YEN 13.6% BRITISH POUND 11.9% CANADIAN DOLLAR 9.1% CURRENCY INDEX SWAP AGREEMENTS 200.2% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as currency index swap agreements, futures contracts, and options on index futures. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 31 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- DYNAMIC WEAKENING DOLLAR FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 200% of the inverse performance of the U.S. Dollar Index. INCEPTION: September 30, 2005 The U.S. dollar weakened against most major currencies in 2006, highlighted with a 14-year low against the British pound. Rising short-term interest rates no longer provided support for the dollar as the Federal Reserve last raised the Fed Funds rate at their June meeting. The U.S. Dollar Index was down -8.25% during 2006. Rydex Dynamic Weakening Dollar Fund was up 16.72% for the same period. The Fund achieved a daily correlation of more than 0.92 to its benchmark of -200% of the daily price performance of the U.S. Dollar Index for the year ended December 31, 2006. 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 4 of this report. CUMULATIVE FUND PERFORMANCE: SEPTEMBER 30, 2005 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DYNAMIC WEAKENING DATE DOLLAR FUND U.S. DOLLAR INDEX 9/30/2005 10,000 10,000 10/1/2005 10,000 10,000 10/2/2005 10,000 10,000 10/3/2005 10,000 10,068 10/4/2005 10,020 10,065 10/5/2005 10,040 10,051 10/6/2005 10,328 9,904 10/7/2005 10,228 9,961 10/8/2005 10,228 9,961 10/9/2005 10,228 9,961 10/10/2005 10,160 9,993 10/11/2005 10,048 10,050 10/12/2005 10,104 10,012 10/13/2005 10,072 10,032 10/14/2005 10,168 9,993 10/15/2005 10,168 9,993 10/16/2005 10,168 9,993 10/17/2005 10,044 10,031 10/18/2005 9,972 10,086 10/19/2005 10,040 10,053 10/20/2005 10,064 10,029 10/21/2005 9,944 10,088 10/22/2005 9,944 10,088 10/23/2005 9,944 10,088 10/24/2005 10,012 10,066 10/25/2005 10,188 9,969 10/26/2005 10,104 9,997 10/27/2005 10,224 9,953 10/28/2005 10,124 10,008 10/29/2005 10,124 10,008 10/30/2005 10,124 10,008 10/31/2005 10,008 10,061 11/1/2005 10,020 10,063 11/2/2005 10,072 10,022 11/3/2005 9,920 10,103 11/4/2005 9,728 10,194 11/5/2005 9,728 10,194 11/6/2005 9,728 10,194 11/7/2005 9,716 10,198 11/8/2005 9,720 10,207 11/9/2005 9,672 10,221 11/10/2005 9,564 10,286 11/11/2005 9,620 10,275 11/12/2005 9,620 10,275 11/13/2005 9,620 10,275 11/14/2005 9,572 10,292 11/15/2005 9,600 10,287 11/16/2005 9,504 10,314 11/17/2005 9,604 10,264 11/18/2005 9,612 10,269 11/19/2005 9,612 10,269 11/20/2005 9,612 10,269 11/21/2005 9,576 10,280 11/22/2005 9,708 10,221 11/23/2005 9,732 10,207 11/24/2005 9,732 10,232 11/25/2005 9,580 10,282 11/26/2005 9,580 10,282 11/27/2005 9,580 10,282 11/28/2005 9,776 10,163 11/29/2005 9,664 10,235 11/30/2005 9,688 10,229 12/1/2005 9,616 10,257 12/2/2005 9,616 10,269 12/3/2005 9,616 10,269 12/4/2005 9,616 10,269 12/5/2005 9,708 10,219 12/6/2005 9,700 10,214 12/7/2005 9,608 10,265 12/8/2005 9,760 10,194 12/9/2005 9,756 10,193 12/10/2005 9,756 10,193 12/11/2005 9,756 10,193 12/12/2005 9,952 10,089 12/13/2005 9,924 10,096 12/14/2005 10,052 10,035 12/15/2005 10,020 10,056 12/16/2005 10,084 10,021 12/17/2005 10,084 10,021 12/18/2005 10,084 10,021 12/19/2005 10,048 10,039 12/20/2005 9,824 10,141 12/21/2005 9,784 10,159 12/22/2005 9,827 10,134 12/23/2005 9,855 10,141 12/24/2005 9,855 10,141 12/25/2005 9,855 10,141 12/26/2005 9,855 10,141 12/27/2005 9,767 10,187 12/28/2005 9,731 10,189 12/29/2005 9,755 10,177 12/30/2005 9,747 10,184 12/31/2005 9,747 10,184 1/1/2006 9,747 10,184 1/2/2006 9,747 10,184 1/3/2006 10,040 10,036 1/4/2006 10,204 9,958 1/5/2006 10,144 9,979 1/6/2006 10,260 9,932 1/7/2006 10,260 9,932 1/8/2006 10,260 9,932 1/9/2006 10,176 9,970 1/10/2006 10,160 9,979 1/11/2006 10,232 9,941 1/12/2006 10,096 9,991 1/13/2006 10,248 9,930 1/14/2006 10,248 9,930 1/15/2006 10,248 9,930 1/16/2006 10,248 9,955 1/17/2006 10,176 9,975 1/18/2006 10,140 9,970 1/19/2006 10,124 9,985 1/20/2006 10,216 9,939 1/21/2006 10,216 9,939 1/22/2006 10,216 9,939 1/23/2006 10,477 9,825 1/24/2006 10,429 9,837 1/25/2006 10,349 9,867 1/26/2006 10,309 9,899 1/27/2006 10,128 9,978 1/28/2006 10,128 9,978 1/29/2006 10,128 9,978 1/30/2006 10,104 9,989 1/31/2006 10,228 9,937 2/1/2006 10,080 9,999 2/2/2006 10,116 9,988 2/3/2006 9,984 10,041 2/4/2006 9,984 10,041 2/5/2006 9,984 10,041 2/6/2006 9,888 10,086 2/7/2006 9,920 10,080 2/8/2006 9,892 10,102 2/9/2006 9,936 10,086 2/10/2006 9,839 10,115 2/11/2006 9,839 10,115 2/12/2006 9,839 10,115 2/13/2006 9,859 10,114 2/14/2006 9,876 10,114 2/15/2006 9,807 10,134 2/16/2006 9,795 10,135 2/17/2006 9,880 10,125 2/18/2006 9,880 10,125 2/19/2006 9,880 10,125 2/20/2006 9,880 10,101 2/21/2006 9,835 10,115 2/22/2006 9,831 10,128 2/23/2006 9,896 10,097 2/24/2006 9,827 10,122 2/25/2006 9,827 10,122 2/26/2006 9,827 10,122 2/27/2006 9,823 10,124 2/28/2006 9,956 10,066 3/1/2006 9,928 10,078 3/2/2006 10,084 10,004 3/3/2006 10,060 10,016 3/4/2006 10,060 10,016 3/5/2006 10,060 10,016 3/6/2006 9,992 10,041 3/7/2006 9,787 10,140 3/8/2006 9,839 10,123 3/9/2006 9,815 10,137 3/10/2006 9,747 10,149 3/11/2006 9,747 10,149 3/12/2006 9,747 10,149 3/13/2006 9,855 10,114 3/14/2006 9,960 10,054 3/15/2006 10,032 10,020 3/16/2006 10,164 9,950 3/17/2006 10,196 9,933 3/18/2006 10,196 9,933 3/19/2006 10,196 9,933 3/20/2006 10,164 9,956 3/21/2006 9,996 10,011 3/22/2006 10,004 10,022 3/23/2006 9,863 10,105 3/24/2006 9,948 10,061 3/25/2006 9,948 10,061 3/26/2006 9,948 10,061 3/27/2006 9,916 10,061 3/28/2006 9,872 10,082 3/29/2006 9,916 10,077 3/30/2006 10,112 9,985 3/31/2006 10,004 10,023 4/1/2006 10,004 10,023 4/2/2006 10,004 10,023 4/3/2006 10,028 10,012 4/4/2006 10,196 9,923 4/5/2006 10,244 9,901 4/6/2006 10,156 9,937 4/7/2006 9,988 10,019 4/8/2006 9,988 10,019 4/9/2006 9,988 10,019 4/10/2006 10,024 10,015 4/11/2006 10,092 9,991 4/12/2006 10,012 10,011 4/13/2006 10,028 10,008 4/14/2006 10,028 10,008 4/15/2006 10,028 10,008 4/16/2006 10,028 10,008 4/17/2006 10,244 9,902 4/18/2006 10,317 9,857 4/19/2006 10,445 9,807 4/20/2006 10,305 9,858 4/21/2006 10,385 9,836 4/22/2006 10,385 9,836 4/23/2006 10,385 9,836 4/24/2006 10,505 9,769 4/25/2006 10,517 9,754 4/26/2006 10,565 9,743 4/27/2006 10,705 9,677 4/28/2006 10,862 9,619 4/29/2006 10,862 9,619 4/30/2006 10,862 9,619 5/1/2006 10,854 9,603 5/2/2006 10,914 9,583 5/3/2006 10,906 9,589 5/4/2006 11,026 9,535 5/5/2006 11,078 9,511 5/6/2006 11,078 9,511 5/7/2006 11,078 9,511 5/8/2006 11,078 9,521 5/9/2006 11,167 9,476 5/10/2006 11,275 9,439 5/11/2006 11,295 9,414 5/12/2006 11,427 9,373 5/13/2006 11,427 9,373 5/14/2006 11,427 9,373 5/15/2006 11,175 9,444 5/16/2006 11,315 9,402 5/17/2006 11,127 9,478 5/18/2006 11,231 9,440 5/19/2006 11,098 9,482 5/20/2006 11,098 9,482 5/21/2006 11,098 9,482 5/22/2006 11,251 9,422 5/23/2006 11,271 9,422 5/24/2006 11,070 9,490 5/25/2006 11,147 9,463 5/26/2006 11,030 9,513 5/27/2006 11,030 9,513 5/28/2006 11,030 9,513 5/29/2006 11,030 9,501 5/30/2006 11,275 9,415 5/31/2006 11,167 9,464 6/1/2006 11,139 9,472 6/2/2006 11,355 9,388 6/3/2006 11,355 9,388 6/4/2006 11,355 9,388 6/5/2006 11,295 9,399 6/6/2006 11,118 9,465 6/7/2006 11,054 9,494 6/8/2006 10,846 9,589 6/9/2006 10,866 9,576 6/10/2006 10,866 9,576 6/11/2006 10,866 9,576 6/12/2006 10,822 9,590 6/13/2006 10,705 9,660 6/14/2006 10,786 9,622 6/15/2006 10,862 9,609 6/16/2006 10,858 9,600 6/17/2006 10,858 9,600 6/18/2006 10,858 9,600 6/19/2006 10,738 9,643 6/20/2006 10,782 9,627 6/21/2006 10,914 9,582 6/22/2006 10,697 9,650 6/23/2006 10,593 9,705 6/24/2006 10,593 9,705 6/25/2006 10,593 9,705 6/26/2006 10,689 9,662 6/27/2006 10,705 9,659 6/28/2006 10,665 9,677 6/29/2006 10,846 9,598 6/30/2006 11,050 9,513 7/1/2006 11,050 9,513 7/2/2006 11,050 9,513 7/3/2006 11,050 9,516 7/4/2006 11,050 9,512 7/5/2006 10,938 9,562 7/6/2006 10,962 9,534 7/7/2006 11,102 9,496 7/8/2006 11,102 9,496 7/9/2006 11,102 9,496 7/10/2006 10,950 9,551 7/11/2006 10,966 9,535 7/12/2006 10,826 9,597 7/13/2006 10,834 9,589 7/14/2006 10,762 9,618 7/15/2006 10,762 9,618 7/16/2006 10,762 9,618 7/17/2006 10,549 9,721 7/18/2006 10,581 9,720 7/19/2006 10,718 9,665 7/20/2006 10,746 9,631 7/21/2006 10,834 9,599 7/22/2006 10,834 9,599 7/23/2006 10,834 9,599 7/24/2006 10,710 9,645 7/25/2006 10,625 9,678 7/26/2006 10,858 9,591 7/27/2006 10,814 9,589 7/28/2006 10,966 9,538 7/29/2006 10,966 9,538 7/30/2006 10,966 9,538 7/31/2006 11,002 9,529 8/1/2006 11,030 9,496 8/2/2006 11,010 9,515 8/3/2006 11,050 9,500 8/4/2006 11,183 9,448 8/5/2006 11,183 9,448 8/6/2006 11,183 9,448 8/7/2006 11,118 9,466 8/8/2006 11,147 9,476 8/9/2006 11,147 9,463 8/10/2006 10,998 9,508 8/11/2006 10,906 9,550 8/12/2006 10,906 9,550 8/13/2006 10,906 9,550 8/14/2006 10,874 9,570 8/15/2006 11,014 9,520 8/16/2006 11,090 9,482 8/17/2006 11,014 9,500 8/18/2006 11,050 9,505 8/19/2006 11,050 9,505 8/20/2006 11,050 9,505 8/21/2006 11,106 9,454 8/22/2006 10,986 9,514 8/23/2006 10,998 9,510 8/24/2006 10,958 9,526 8/25/2006 10,938 9,538 8/26/2006 10,938 9,538 8/27/2006 10,938 9,538 8/28/2006 11,010 9,524 8/29/2006 11,034 9,491 8/30/2006 11,010 9,492 8/31/2006 10,982 9,501 9/1/2006 11,070 9,486 9/2/2006 11,070 9,486 9/3/2006 11,070 9,486 9/4/2006 11,070 9,459 9/5/2006 11,010 9,495 9/6/2006 10,990 9,506 9/7/2006 10,870 9,554 9/8/2006 10,794 9,601 9/9/2006 10,794 9,601 9/10/2006 10,794 9,601 9/11/2006 10,786 9,598 9/12/2006 10,806 9,598 9/13/2006 10,798 9,591 9/14/2006 10,842 9,569 9/15/2006 10,778 9,605 9/16/2006 10,778 9,605 9/17/2006 10,778 9,605 9/18/2006 10,814 9,586 9/19/2006 10,782 9,600 9/20/2006 10,830 9,586 9/21/2006 11,010 9,517 9/22/2006 10,970 9,513 9/23/2006 10,970 9,513 9/24/2006 10,970 9,513 9/25/2006 10,930 9,538 9/26/2006 10,834 9,565 9/27/2006 10,862 9,572 9/28/2006 10,862 9,581 9/29/2006 10,766 9,610 9/30/2006 10,766 9,610 10/1/2006 10,766 9,610 10/2/2006 10,902 9,562 10/3/2006 10,858 9,574 10/4/2006 10,802 9,589 10/5/2006 10,782 9,598 10/6/2006 10,629 9,663 10/7/2006 10,629 9,663 10/8/2006 10,629 9,663 10/9/2006 10,641 9,668 10/10/2006 10,541 9,721 10/11/2006 10,489 9,732 10/12/2006 10,573 9,710 10/13/2006 10,477 9,732 10/14/2006 10,477 9,732 10/15/2006 10,477 9,732 10/16/2006 10,565 9,719 10/17/2006 10,597 9,704 10/18/2006 10,569 9,705 10/19/2006 10,738 9,634 10/20/2006 10,681 9,637 10/21/2006 10,681 9,637 10/22/2006 10,681 9,637 10/23/2006 10,573 9,686 10/24/2006 10,633 9,685 10/25/2006 10,693 9,649 10/26/2006 10,822 9,595 10/27/2006 10,878 9,558 10/28/2006 10,878 9,558 10/29/2006 10,878 9,558 10/30/2006 10,882 9,561 10/31/2006 10,954 9,531 11/1/2006 10,934 9,542 11/2/2006 10,954 9,533 11/3/2006 10,826 9,574 11/4/2006 10,826 9,574 11/5/2006 10,826 9,574 11/6/2006 10,834 9,579 11/7/2006 10,942 9,543 11/8/2006 10,926 9,541 11/9/2006 10,998 9,515 11/10/2006 11,034 9,503 11/11/2006 11,034 9,503 11/12/2006 11,034 9,503 11/13/2006 10,910 9,536 11/14/2006 10,978 9,529 11/15/2006 10,918 9,532 11/16/2006 10,874 9,550 11/17/2006 10,962 9,530 11/18/2006 10,962 9,530 11/19/2006 10,962 9,530 11/20/2006 10,918 9,542 11/21/2006 10,962 9,522 11/22/2006 11,131 9,443 11/23/2006 11,131 9,435 11/24/2006 11,379 9,345 11/25/2006 11,379 9,345 11/26/2006 11,379 9,345 11/27/2006 11,435 9,328 11/28/2006 11,523 9,286 11/29/2006 11,411 9,326 11/30/2006 11,568 9,266 12/1/2006 11,700 9,214 12/2/2006 11,700 9,214 12/3/2006 11,700 9,214 12/4/2006 11,696 9,208 12/5/2006 11,656 9,217 12/6/2006 11,580 9,243 12/7/2006 11,584 9,245 12/8/2006 11,430 9,304 12/9/2006 11,430 9,304 12/10/2006 11,430 9,304 12/11/2006 11,505 9,292 12/12/2006 11,575 9,265 12/13/2006 11,422 9,307 12/14/2006 11,323 9,350 12/15/2006 11,236 9,388 12/16/2006 11,236 9,388 12/17/2006 11,236 9,388 12/18/2006 11,248 9,383 12/19/2006 11,430 9,322 12/20/2006 11,372 9,333 12/21/2006 11,343 9,338 12/22/2006 11,294 9,362 12/23/2006 11,294 9,362 12/24/2006 11,294 9,362 12/25/2006 11,294 9,362 12/26/2006 11,224 9,390 12/27/2006 11,298 9,380 12/28/2006 11,302 9,363 12/29/2006 11,377 9,344 12/30/2006 11,377 9,344 12/31/2006 11,377 9,344 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (09/30/05) -------------------------------------------------------------------------------- DYNAMIC WEAKENING DOLLAR FUND 16.72% 10.85% U.S. DOLLAR INDEX -8.25% -5.27% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE U.S. DOLLAR INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURN. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] DYNAMIC WEAKENING DOLLAR FUND U.S. DOLLAR INDEX OTHER 7.8% EURO 57.6% JAPANESE YEN 13.6% BRITISH POUND 11.9% CANADIAN DOLLAR 9.1% CURRENCY INDEX SWAP AGREEMENTS SHORT SALES -199.8% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in derivative instruments such as currency index swap agreements, futures contracts, and options on index futures. 32 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND OBJECTIVE: To provide long-term capital appreciation. INCEPTION: November 29, 2005 Rydex Multi-Cap Core Equity Fund gained 14.36% during the last one-year period, roughly in line with its benchmark, the Russell 3000(R) Index, which gained 15.71%. The fund seeks to produce long-term superior performance using two key drivers: a bias toward small- and mid-cap stocks and a disciplined and balanced stock selection. The Fund's equity portfolio is allocated across each market cap group in generally equal proportions, thereby giving greater weight to small- and mid-cap stocks. Small-cap stocks outperformed large-caps, but mid-caps lagged behind the other size groups. Thus, while the higher allocation to small-cap stocks benefited performance, higher exposure to mid-caps detracted from results. Additionally, the investment team uses a quantitative investment model that selects stocks which exhibit attractive growth prospects, yet still have reasonable valuations (or growth at a reasonable price). Similar to 2005, historically high energy prices and demand for raw materials were major trends driving the Fund's performance. This can be seen in the strongest-performing sectors: energy, utilities and basic materials. Resurging strength in telecommunications, the leading sector in 2006, also benefited fund performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 29, 2005 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE MULTI-CAP CORE EQUITY FUND RUSSELL 3000(R) INDEX 11/29/2005 10,000 10,000 11/30/2005 9,996 9,953 12/1/2005 10,156 10,081 12/2/2005 10,164 10,086 12/3/2005 10,164 10,086 12/4/2005 10,164 10,086 12/5/2005 10,140 10,059 12/6/2005 10,140 10,072 12/7/2005 10,080 10,022 12/8/2005 10,096 10,020 12/9/2005 10,128 10,049 12/10/2005 10,128 10,049 12/11/2005 10,128 10,049 12/12/2005 10,140 10,058 12/13/2005 10,160 10,107 12/14/2005 10,196 10,146 12/15/2005 10,144 10,125 12/16/2005 10,104 10,097 12/17/2005 10,104 10,097 12/18/2005 10,104 10,097 12/19/2005 10,000 10,025 12/20/2005 10,016 10,026 12/21/2005 10,072 10,061 12/22/2005 10,132 10,108 12/23/2005 10,148 10,118 12/24/2005 10,148 10,118 12/25/2005 10,148 10,118 12/26/2005 10,148 10,118 12/27/2005 10,044 10,019 12/28/2005 10,088 10,040 12/29/2005 10,076 10,012 12/30/2005 10,016 9,962 12/31/2005 10,016 9,962 1/1/2006 10,016 9,962 1/2/2006 10,016 9,962 1/3/2006 10,160 10,119 1/4/2006 10,220 10,165 1/5/2006 10,232 10,172 1/6/2006 10,320 10,270 1/7/2006 10,320 10,270 1/8/2006 10,320 10,270 1/9/2006 10,388 10,317 1/10/2006 10,424 10,324 1/11/2006 10,440 10,355 1/12/2006 10,380 10,290 1/13/2006 10,392 10,305 1/14/2006 10,392 10,305 1/15/2006 10,392 10,305 1/16/2006 10,392 10,305 1/17/2006 10,340 10,266 1/18/2006 10,316 10,230 1/19/2006 10,408 10,297 1/20/2006 10,244 10,108 1/21/2006 10,244 10,108 1/22/2006 10,244 10,108 1/23/2006 10,272 10,129 1/24/2006 10,348 10,173 1/25/2006 10,324 10,152 1/26/2006 10,432 10,234 1/27/2006 10,492 10,307 1/28/2006 10,492 10,307 1/29/2006 10,492 10,307 1/30/2006 10,512 10,316 1/31/2006 10,492 10,295 2/1/2006 10,500 10,314 2/2/2006 10,384 10,222 2/3/2006 10,356 10,170 2/4/2006 10,356 10,170 2/5/2006 10,356 10,170 2/6/2006 10,380 10,183 2/7/2006 10,268 10,094 2/8/2006 10,328 10,174 2/9/2006 10,288 10,158 2/10/2006 10,292 10,176 2/11/2006 10,292 10,176 2/12/2006 10,292 10,176 2/13/2006 10,240 10,133 2/14/2006 10,356 10,238 2/15/2006 10,396 10,282 2/16/2006 10,488 10,363 2/17/2006 10,464 10,349 2/18/2006 10,464 10,349 2/19/2006 10,464 10,349 2/20/2006 10,464 10,349 2/21/2006 10,436 10,312 2/22/2006 10,516 10,393 2/23/2006 10,488 10,362 2/24/2006 10,520 10,383 2/25/2006 10,520 10,383 2/26/2006 10,520 10,383 2/27/2006 10,556 10,426 2/28/2006 10,436 10,313 3/1/2006 10,560 10,410 3/2/2006 10,544 10,392 3/3/2006 10,512 10,374 3/4/2006 10,512 10,374 3/5/2006 10,512 10,374 3/6/2006 10,420 10,301 3/7/2006 10,352 10,263 3/8/2006 10,364 10,281 3/9/2006 10,328 10,232 3/10/2006 10,412 10,307 3/11/2006 10,412 10,307 3/12/2006 10,412 10,307 3/13/2006 10,448 10,331 3/14/2006 10,572 10,438 3/15/2006 10,648 10,492 3/16/2006 10,676 10,507 3/17/2006 10,692 10,528 3/18/2006 10,692 10,528 3/19/2006 10,692 10,528 3/20/2006 10,668 10,514 3/21/2006 10,588 10,442 3/22/2006 10,668 10,510 3/23/2006 10,672 10,493 3/24/2006 10,708 10,515 3/25/2006 10,708 10,515 3/26/2006 10,708 10,515 3/27/2006 10,716 10,505 3/28/2006 10,656 10,444 3/29/2006 10,780 10,539 3/30/2006 10,764 10,519 3/31/2006 10,748 10,492 4/1/2006 10,748 10,492 4/2/2006 10,748 10,492 4/3/2006 10,748 10,501 4/4/2006 10,796 10,559 4/5/2006 10,868 10,607 4/6/2006 10,848 10,591 4/7/2006 10,744 10,483 4/8/2006 10,744 10,483 4/9/2006 10,744 10,483 4/10/2006 10,732 10,483 4/11/2006 10,620 10,400 4/12/2006 10,668 10,419 4/13/2006 10,680 10,431 4/14/2006 10,680 10,431 4/15/2006 10,680 10,431 4/16/2006 10,680 10,431 4/17/2006 10,660 10,402 4/18/2006 10,864 10,591 4/19/2006 10,916 10,624 4/20/2006 10,912 10,630 4/21/2006 10,900 10,621 4/22/2006 10,900 10,621 4/23/2006 10,900 10,621 4/24/2006 10,852 10,590 4/25/2006 10,804 10,542 4/26/2006 10,820 10,564 4/27/2006 10,800 10,595 4/28/2006 10,832 10,605 4/29/2006 10,832 10,605 4/30/2006 10,832 10,605 5/1/2006 10,800 10,560 5/2/2006 10,868 10,619 5/3/2006 10,844 10,585 5/4/2006 10,896 10,629 5/5/2006 10,988 10,741 5/6/2006 10,988 10,741 5/7/2006 10,988 10,741 5/8/2006 10,992 10,737 5/9/2006 10,972 10,737 5/10/2006 10,940 10,717 5/11/2006 10,756 10,573 5/12/2006 10,604 10,444 5/13/2006 10,604 10,444 5/14/2006 10,604 10,444 5/15/2006 10,580 10,457 5/16/2006 10,584 10,443 5/17/2006 10,408 10,269 5/18/2006 10,328 10,198 5/19/2006 10,364 10,239 5/20/2006 10,364 10,239 5/21/2006 10,364 10,239 5/22/2006 10,284 10,188 5/23/2006 10,252 10,142 5/24/2006 10,252 10,151 5/25/2006 10,388 10,276 5/26/2006 10,440 10,339 5/27/2006 10,440 10,339 5/28/2006 10,440 10,339 5/29/2006 10,440 10,339 5/30/2006 10,244 10,170 5/31/2006 10,356 10,266 6/1/2006 10,508 10,404 6/2/2006 10,524 10,426 6/3/2006 10,524 10,426 6/4/2006 10,524 10,426 6/5/2006 10,284 10,228 6/6/2006 10,252 10,204 6/7/2006 10,184 10,149 6/8/2006 10,180 10,156 6/9/2006 10,132 10,114 6/10/2006 10,132 10,114 6/11/2006 10,132 10,114 6/12/2006 9,936 9,969 6/13/2006 9,812 9,859 6/14/2006 9,856 9,907 6/15/2006 10,132 10,136 6/16/2006 10,060 10,094 6/17/2006 10,060 10,094 6/18/2006 10,060 10,094 6/19/2006 9,936 9,991 6/20/2006 9,916 9,985 6/21/2006 10,056 10,097 6/22/2006 10,012 10,046 6/23/2006 10,044 10,048 6/24/2006 10,044 10,048 6/25/2006 10,044 10,048 6/26/2006 10,128 10,102 6/27/2006 10,024 10,005 6/28/2006 10,064 10,054 6/29/2006 10,344 10,287 6/30/2006 10,372 10,284 7/1/2006 10,372 10,284 7/2/2006 10,372 10,284 7/3/2006 10,440 10,364 7/4/2006 10,440 10,364 7/5/2006 10,336 10,278 7/6/2006 10,356 10,306 7/7/2006 10,264 10,227 7/8/2006 10,264 10,227 7/9/2006 10,264 10,227 7/10/2006 10,276 10,235 7/11/2006 10,320 10,275 7/12/2006 10,184 10,157 7/13/2006 10,028 10,016 7/14/2006 9,952 9,958 7/15/2006 9,952 9,958 7/16/2006 9,952 9,958 7/17/2006 9,904 9,939 7/18/2006 9,936 9,962 7/19/2006 10,172 10,162 7/20/2006 10,012 10,051 7/21/2006 9,892 9,962 7/22/2006 9,892 9,962 7/23/2006 9,892 9,962 7/24/2006 10,108 10,140 7/25/2006 10,204 10,213 7/26/2006 10,184 10,203 7/27/2006 10,072 10,148 7/28/2006 10,232 10,284 7/29/2006 10,232 10,284 7/30/2006 10,232 10,284 7/31/2006 10,252 10,274 8/1/2006 10,168 10,216 8/2/2006 10,244 10,282 8/3/2006 10,312 10,315 8/4/2006 10,280 10,306 8/5/2006 10,280 10,306 8/6/2006 10,280 10,306 8/7/2006 10,236 10,269 8/8/2006 10,156 10,224 8/9/2006 10,088 10,174 8/10/2006 10,144 10,224 8/11/2006 10,068 10,175 8/12/2006 10,068 10,175 8/13/2006 10,068 10,175 8/14/2006 10,088 10,192 8/15/2006 10,272 10,345 8/16/2006 10,392 10,437 8/17/2006 10,408 10,456 8/18/2006 10,432 10,489 8/19/2006 10,432 10,489 8/20/2006 10,432 10,489 8/21/2006 10,372 10,441 8/22/2006 10,384 10,455 8/23/2006 10,296 10,397 8/24/2006 10,296 10,418 8/25/2006 10,284 10,412 8/26/2006 10,284 10,412 8/27/2006 10,284 10,412 8/28/2006 10,352 10,476 8/29/2006 10,408 10,508 8/30/2006 10,440 10,524 8/31/2006 10,452 10,526 9/1/2006 10,496 10,578 9/2/2006 10,496 10,578 9/3/2006 10,496 10,578 9/4/2006 10,496 10,578 9/5/2006 10,532 10,604 9/6/2006 10,376 10,486 9/7/2006 10,328 10,433 9/8/2006 10,360 10,471 9/9/2006 10,360 10,471 9/10/2006 10,360 10,471 9/11/2006 10,372 10,473 9/12/2006 10,532 10,600 9/13/2006 10,600 10,650 9/14/2006 10,564 10,632 9/15/2006 10,576 10,658 9/16/2006 10,576 10,658 9/17/2006 10,576 10,658 9/18/2006 10,588 10,663 9/19/2006 10,552 10,637 9/20/2006 10,644 10,701 9/21/2006 10,564 10,638 9/22/2006 10,492 10,601 9/23/2006 10,492 10,601 9/24/2006 10,492 10,601 9/25/2006 10,600 10,694 9/26/2006 10,664 10,770 9/27/2006 10,684 10,779 9/28/2006 10,696 10,797 9/29/2006 10,640 10,761 9/30/2006 10,640 10,761 10/1/2006 10,640 10,761 10/2/2006 10,608 10,719 10/3/2006 10,600 10,736 10/4/2006 10,752 10,878 10/5/2006 10,824 10,926 10/6/2006 10,776 10,893 10/7/2006 10,776 10,893 10/8/2006 10,776 10,893 10/9/2006 10,812 10,915 10/10/2006 10,832 10,938 10/11/2006 10,796 10,908 10/12/2006 10,940 11,027 10/13/2006 10,976 11,056 10/14/2006 10,976 11,056 10/15/2006 10,976 11,056 10/16/2006 11,044 11,093 10/17/2006 10,980 11,046 10/18/2006 10,976 11,057 10/19/2006 11,016 11,068 10/20/2006 10,980 11,068 10/21/2006 10,980 11,068 10/22/2006 10,980 11,068 10/23/2006 11,020 11,131 10/24/2006 11,024 11,132 10/25/2006 11,080 11,172 10/26/2006 11,184 11,241 10/27/2006 11,064 11,144 10/28/2006 11,064 11,144 10/29/2006 11,064 11,144 10/30/2006 11,100 11,155 10/31/2006 11,072 11,149 11/1/2006 10,924 11,054 11/2/2006 10,900 11,050 11/3/2006 10,904 11,034 11/4/2006 10,904 11,034 11/5/2006 10,904 11,034 11/6/2006 11,036 11,163 11/7/2006 11,068 11,187 11/8/2006 11,112 11,221 11/9/2006 11,032 11,160 11/10/2006 11,096 11,192 11/11/2006 11,096 11,192 11/12/2006 11,096 11,192 11/13/2006 11,132 11,225 11/14/2006 11,256 11,309 11/15/2006 11,316 11,348 11/16/2006 11,328 11,370 11/17/2006 11,316 11,376 11/18/2006 11,316 11,376 11/19/2006 11,316 11,376 11/20/2006 11,324 11,377 11/21/2006 11,352 11,400 11/22/2006 11,376 11,432 11/23/2006 11,376 11,432 11/24/2006 11,344 11,398 11/25/2006 11,344 11,398 11/26/2006 11,344 11,398 11/27/2006 11,144 11,224 11/28/2006 11,176 11,263 11/29/2006 11,300 11,376 11/30/2006 11,316 11,391 12/1/2006 11,268 11,360 12/2/2006 11,268 11,360 12/3/2006 11,268 11,360 12/4/2006 11,396 11,474 12/5/2006 11,444 11,519 12/6/2006 11,440 11,507 12/7/2006 11,400 11,461 12/8/2006 11,411 11,479 12/9/2006 11,411 11,479 12/10/2006 11,411 11,479 12/11/2006 11,443 11,502 12/12/2006 11,407 11,481 12/13/2006 11,423 11,492 12/14/2006 11,507 11,587 12/15/2006 11,499 11,594 12/16/2006 11,499 11,594 12/17/2006 11,499 11,594 12/18/2006 11,423 11,543 12/19/2006 11,451 11,564 12/20/2006 11,463 11,556 12/21/2006 11,427 11,514 12/22/2006 11,382 11,459 12/23/2006 11,382 11,459 12/24/2006 11,382 11,459 12/25/2006 11,382 11,459 12/26/2006 11,459 11,514 12/27/2006 11,567 11,602 12/28/2006 11,539 11,584 12/29/2006 11,455 11,528 12/30/2006 11,455 11,528 12/31/2006 11,455 11,528 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (11/29/05) -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND 14.36% 13.30% RUSSELL 3000(R) INDEX 15.71% 13.96% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE RUSSELL 3000(R) INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] MULTI-CAP CORE EQUITY FUND OTHER 9.0% FINANCIALS 18.0% INFORMATION TECHNOLOGY 13.2% CONSUMER DISCRETIONARY 12.2% INDUSTRIALS 10.2% HEALTH CARE 9.8% ENERGY 6.3% CONSUMER STAPLES 5.4% FUTURES CONTRACTS 15.9% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Exxon Mobil Corp. 1.2% Citigroup, Inc. 0.9% General Electric, Co. 0.9% Bank of America Corp. 0.8% Pfizer, Inc. 0.7% Altria Group, Inc. 0.6% Procter & Gamble Co. 0.6% J.P. Morgan Chase & Co. 0.6% Microsoft Corp. 0.6% Chevron Corp. 0.6% -------------------------------------------------------------------------------- Top Ten Total 7.5% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 33 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- SECTOR ROTATION FUND OBJECTIVE: Seeks long-term capital appreciation. INCEPTION: May 1, 2002 In 2006, industry momentum started out with a boom (up as much as 17.85% on 5/10/06), went bust (down as much as 5% on 6/13/06), and then struggled to regain its previous drive. Rydex Sector Rotation Fund finished the year up 11.47% which underperformed the S&P 500's 15.79% return. At a sector level, the Fund did well with an overweight in industrials and large underweights in financials and information technology. The Fund was hurt by positions in the energy, materials, consumer staples and consumer discretionary sectors. At the more granular industry level, overweights in airlines, construction & engineering and wireless telecommunication services were beneficial to performance, as was an underweight in the semiconductors, which struggled in 2006. Positions in the energy equipment & services, road & rail, and auto components all had negative impacts on the Fund's performance. The Fund's style qualities transformed during the course of the year as the Fund moved from mid-cap growth to large-cap value exposures. CUMULATIVE FUND PERFORMANCE: MAY 1, 2002 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE SECTOR ROTATION FUND S&P 500 INDEX 5/1/2002 10,000 10,000 5/31/2002 9,860 9,838 6/30/2002 9,400 9,137 7/31/2002 8,520 8,425 8/31/2002 8,410 8,481 9/30/2002 7,740 7,559 10/31/2002 7,830 8,224 11/30/2002 8,240 8,708 12/31/2002 7,760 8,197 1/31/2003 7,520 7,982 2/28/2003 7,410 7,862 3/31/2003 7,550 7,939 4/30/2003 7,990 8,592 5/31/2003 8,710 9,045 6/30/2003 8,660 9,160 7/31/2003 8,940 9,322 8/31/2003 9,390 9,504 9/30/2003 9,140 9,403 10/31/2003 9,870 9,935 11/30/2003 9,960 10,022 12/31/2003 10,080 10,548 1/31/2004 10,410 10,741 2/29/2004 10,590 10,891 3/31/2004 10,370 10,726 4/30/2004 9,700 10,558 5/31/2004 9,820 10,703 6/30/2004 10,130 10,911 7/31/2004 9,660 10,550 8/31/2004 9,570 10,593 9/30/2004 9,990 10,707 10/31/2004 10,200 10,871 11/30/2004 10,790 11,311 12/31/2004 11,160 11,696 1/31/2005 10,720 11,411 2/28/2005 11,260 11,651 3/31/2005 11,030 11,444 4/30/2005 10,580 11,227 5/31/2005 11,060 11,585 6/30/2005 11,450 11,601 7/31/2005 12,010 12,032 8/31/2005 12,130 11,923 9/30/2005 12,700 12,019 10/31/2005 12,120 11,819 11/30/2005 12,500 12,266 12/31/2005 12,690 12,270 1/31/2006 13,800 12,595 2/28/2006 13,420 12,629 3/31/2006 13,990 12,786 4/30/2006 14,210 12,958 5/31/2006 13,350 12,585 6/30/2006 13,140 12,602 7/31/2006 12,690 12,680 8/31/2006 12,930 12,982 9/30/2006 12,720 13,316 10/31/2006 13,490 13,750 11/30/2006 14,080 14,012 12/31/2006 14,135 14,208 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (05/01/02) -------------------------------------------------------------------------------- SECTOR ROTATION FUND 11.47% 7.69% S&P 500 INDEX 15.79% 7.81% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] SECTOR ROTATION FUND CONSUMER DISCRETIONARY 32.7% TELECOMMUNICATION SERVICES 18.2% FINANCIALS 17.3% MATERIALS 15.7% INDUSTRIALS 8.9% UTILITIES 8.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Brookfield Asset Management, Inc. -- Class A 2.4% Cemex SA de CV -- SP ADR 2.2% Amazon.com, Inc. 2.0% ABB Ltd. -- SP ADR 2.0% IAC/InterActiveCorp 1.9% Brookfield Properties Corp. 1.8% Mattel, Inc. 1.6% CB Richard Ellis Group, Inc. -- Class A 1.5% Rinker Group Ltd. -- SP ADR 1.5% Expedia, Inc. 1.5% -------------------------------------------------------------------------------- Top Ten Total 18.4% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 34 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND OBJECTIVE: To provide security of principal, high current income and liquidity by investing in securities issued by the U.S. Government, its agencies or instrumentalities. INCEPTION: May 7, 1997 During the first half of 2006, short-term money market rates increased as the Federal Reserve raised its target rate to 5.25% from 4.25%. On June 29, The Federal Open Market Committee halted its campaign to raise interest rates after 17 hikes that lifted the Fed's key rate from 1.00% in mid-2004 to the current 5.25%. Stable short rates and declining long rates created an inverted yield curve, as investors anticipated a Fed rate cut in response to a slowing economy. The Federal Reserve, however, opted to keep short-term rates unchanged through year-end, as the housing and manufacturing activity visibly slowed and inflation, although "well contained", remained above the Fed's comfort level. For the year, the Fund returned 3.82%. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/07/97) -------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND 3.82% 1.30% 2.43% -------------------------------------------------------------------------------- HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] U.S. GOVERNMENT MONEY MARKET FUND REPURCHASE AGREEMENTS 49.8% FEDERAL HOME LOAN BANK - FADN 24.0% FEDERAL FARM CREDIT BANK - FADN 12.0% FARMER MAC - FADN 2.4% FANNIE MAE - FADN 9.6% FADN -- Federal Agency Discount Notes The Fund invests principally in U.S. Government securities. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 35 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- BANKING FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and saving-and-loan institutions. INCEPTION: May 2, 2001 Twelve quarter-point increases in the Fed Funds Rate during 2005-06 raised rates from 2.25% to 5.25%. Despite improved performance from 2005, the increased rates did not fuel abnormal growth in the banking sector. Rydex Banking Fund, up 11.25%, underperformed the S&P 500 Index for the second year in a row. Diversified financial services led the outperformers in this sector while regional banks and thrifts & mortgage finance saw modest gains throughout the year. The Fund's modified cap weighting (less emphasis of the large-cap names) benefited the fund as small-cap banks outperformed large-cap banks. CUMULATIVE FUND PERFORMANCE: MAY 2, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE BANKING FUND S&P 500 INDEX S&P 500 FINANCIALS INDEX* 5/2/2001 10,000 10,000 10,000 5/31/2001 10,448 9,923 10,225 6/30/2001 10,464 9,682 10,213 7/31/2001 10,636 9,587 10,034 8/31/2001 10,204 8,986 9,408 9/30/2001 9,676 8,261 8,840 10/31/2001 9,124 8,418 8,661 11/30/2001 9,812 9,064 9,265 12/31/2001 10,084 9,143 9,452 1/31/2002 10,216 9,010 9,284 2/28/2002 10,248 8,836 9,136 3/31/2002 10,984 9,169 9,732 4/30/2002 11,344 8,613 9,459 5/31/2002 11,548 8,549 9,428 6/30/2002 11,148 7,940 8,964 7/31/2002 10,508 7,321 8,239 8/31/2002 10,840 7,369 8,392 9/30/2002 9,604 6,568 7,397 10/31/2002 10,017 7,147 8,047 11/30/2002 10,178 7,567 8,363 12/31/2002 10,005 7,123 7,899 1/31/2003 10,021 6,936 7,750 2/28/2003 9,897 6,832 7,496 3/31/2003 9,604 6,898 7,451 4/30/2003 10,410 7,467 8,349 5/31/2003 11,128 7,860 8,773 6/30/2003 11,096 7,960 8,779 7/31/2003 11,561 8,101 9,158 8/31/2003 11,561 8,259 9,051 9/30/2003 11,559 8,171 9,094 10/31/2003 12,654 8,633 9,696 11/30/2003 12,974 8,709 9,653 12/31/2003 13,181 9,166 10,105 1/31/2004 13,436 9,334 10,403 2/29/2004 13,830 9,464 10,665 3/31/2004 13,603 9,321 10,538 4/30/2004 12,929 9,175 10,027 5/31/2004 13,590 9,300 10,198 6/30/2004 13,566 9,481 10,227 7/31/2004 13,526 9,168 9,990 8/31/2004 13,984 9,205 10,312 9/30/2004 14,069 9,304 10,203 10/31/2004 14,298 9,446 10,225 11/30/2004 14,731 9,829 10,509 12/31/2004 15,123 10,163 10,937 1/31/2005 14,531 9,915 10,684 2/28/2005 14,335 10,124 10,602 3/31/2005 13,940 9,945 10,176 4/30/2005 13,648 9,756 10,158 5/31/2005 14,085 10,067 10,421 6/30/2005 14,423 10,081 10,547 7/31/2005 14,765 10,456 10,685 8/31/2005 14,431 10,360 10,470 9/30/2005 14,051 10,444 10,554 10/31/2005 14,244 10,270 10,869 11/30/2005 14,769 10,659 11,332 12/31/2005 14,705 10,662 11,345 1/31/2006 14,878 10,945 11,427 2/28/2006 15,101 10,974 11,631 3/31/2006 15,215 11,111 11,639 4/30/2006 15,715 11,260 12,111 5/31/2006 15,289 10,936 11,634 6/30/2006 15,175 10,951 11,550 7/31/2006 15,438 11,018 11,817 8/31/2006 15,448 11,281 11,909 9/30/2006 15,795 11,571 12,394 10/31/2006 15,923 11,948 12,674 11/30/2006 15,928 12,176 12,703 12/31/2006 16,359 12,346 13,178 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/02/01) -------------------------------------------------------------------------------- BANKING FUND 11.25% 10.16% 9.08% S&P 500 INDEX 15.79% 6.19% 3.79% S&P 500 FINANCIALS INDEX 19.23% 9.50% 7.49% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 FINANCIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] BANKING FUND COMMERCIAL BANKS 64% THRIFTS & MORTGAGE FINANCE 27% DIVERSIFIED FINANCIAL SERVICES 9% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- J.P. Morgan Chase & Co. 4.8% Bank of America Corp. 4.6% Wells Fargo & Co. 4.1% Wachovia Corp. 3.6% U.S. Bancorp 3.2% Fannie Mae 3.0% Regions Financial Corp. 2.8% Freddie Mac 2.6% Washington Mutual, Inc. 2.6% SunTrust Banks, Inc. 2.2% -------------------------------------------------------------------------------- Top Ten Total 33.5% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 36 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- BASIC MATERIALS FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the mining, manufacture or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials. INCEPTION: May 2, 2001 Basic materials outgained the S&P 500 Index during the period, as a maturing economic recovery and overseas demand for products helped boost this sector. Unabated demand for raw materials by China and steady growth in the U.S. economy propelled basic materials companies. Metals and construction materials led the gainers, with these industries advancing 26.3% and 19.9%, respectively. Paper and forest products were the laggards, rising 2.6%. Rydex Basic Materials Fund returned 22.29% during the period. CUMULATIVE FUND PERFORMANCE: MAY 2, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE BASIC MATERIALS FUND S&P 500 MATERIALS INDEX* S&P 500 INDEX 5/2/2001 10,000 10,000 10,000 5/31/2001 10,304 10,249 9,923 6/30/2001 9,840 9,800 9,682 7/31/2001 9,788 9,813 9,587 8/31/2001 9,764 9,700 8,986 9/30/2001 8,668 8,603 8,261 10/31/2001 8,868 8,807 8,418 11/30/2001 9,820 9,829 9,064 12/31/2001 9,684 9,583 9,143 1/31/2002 9,804 9,763 9,010 2/28/2002 10,316 10,248 8,836 3/31/2002 10,672 10,585 9,169 4/30/2002 10,108 10,075 8,613 5/31/2002 10,520 10,540 8,549 6/30/2002 10,256 10,304 7,940 7/31/2002 9,020 9,143 7,321 8/31/2002 9,000 9,078 7,369 9/30/2002 7,800 7,891 6,568 10/31/2002 8,016 8,286 7,147 11/30/2002 8,802 9,255 7,567 12/31/2002 8,450 8,844 7,123 1/31/2003 7,960 8,403 6,936 2/28/2003 7,668 8,153 6,832 3/31/2003 7,539 8,150 6,898 4/30/2003 8,137 8,899 7,467 5/31/2003 8,554 9,149 7,860 6/30/2003 8,606 9,210 7,960 7/31/2003 9,079 9,932 8,101 8/31/2003 9,420 10,217 8,259 9/30/2003 9,098 9,733 8,171 10/31/2003 9,936 10,619 8,633 11/30/2003 10,161 10,838 8,709 12/31/2003 11,108 11,919 9,166 1/31/2004 10,735 11,345 9,334 2/29/2004 11,244 11,897 9,464 3/31/2004 11,184 11,647 9,321 4/30/2004 10,710 11,084 9,175 5/31/2004 10,943 11,321 9,300 6/30/2004 11,709 11,876 9,481 7/31/2004 11,372 11,614 9,168 8/31/2004 11,553 11,796 9,205 9/30/2004 12,168 12,230 9,304 10/31/2004 11,967 12,130 9,446 11/30/2004 13,195 13,045 9,829 12/31/2004 13,421 13,205 10,163 1/31/2005 12,998 12,793 9,915 2/28/2005 13,960 13,762 10,124 3/31/2005 13,487 13,372 9,945 4/30/2005 12,328 12,431 9,756 5/31/2005 12,443 12,284 10,067 6/30/2005 12,435 12,039 10,081 7/31/2005 13,434 12,681 10,456 8/31/2005 12,912 12,129 10,360 9/30/2005 13,107 12,201 10,444 10/31/2005 12,836 12,260 10,270 11/30/2005 13,673 13,127 10,659 12/31/2005 13,963 13,489 10,662 1/31/2006 15,086 14,120 10,945 2/28/2006 14,870 13,816 10,974 3/31/2006 15,647 14,407 11,111 4/30/2006 16,098 14,917 11,260 5/31/2006 15,336 14,273 10,936 6/30/2006 15,326 14,258 10,951 7/31/2006 14,705 13,760 11,018 8/31/2006 15,051 14,131 11,281 9/30/2006 15,106 14,097 11,571 10/31/2006 16,193 14,926 11,948 11/30/2006 16,950 15,543 12,176 12/31/2006 17,077 15,611 12,346 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/02/01) -------------------------------------------------------------------------------- BASIC MATERIALS FUND 22.29% 12.01% 9.91% S&P 500 INDEX 15.79% 6.19% 3.79% S&P 500 MATERIALS INDEX 18.98% 13.00% 10.88% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 MATERIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] BASIC MATERIALS FUND CHEMICALS 47% METALS & MINING 27% CONTAINERS & PACKAGING 12% PAPER & FOREST PRODUCTS 9% CONSTRUCTION MATERIALS 5% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- E.I. du Pont de Nemours and Co. 3.4% Dow Chemical Co. 3.0% Phelps Dodge Corp. 2.8% Monsanto Co. 2.7% Alcoa, Inc. 2.5% Newmont Mining Corp. 2.1% Weyerhaeuser Co. 2.1% Praxair, Inc. 2.1% Nucor Corp. 2.1% Southern Copper Corp. 2.1% -------------------------------------------------------------------------------- Top Ten Total 24.9% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 37 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- BIOTECHNOLOGY FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or biological engineering and in the design, manufacture or sale of related biotechnology products or services. INCEPTION: May 2, 2001 Rise, fall and recovery is the story of Rydex Biotechnology Fund for the year. The Fund was up 8% in the first three months, gave it all up and more in the next three months, then staged a recovery and ended in negative territory with a slight loss of 3.32%. Why the underperformance? Sector heavyweights Amgen and Genentech had double-digit negative returns. Additionally, a tough regulatory environment resulted in several phase-three drug trial failures, including stocks like Neurocrine Biosciences, Nuvelo, Inc. and Telik, Inc. CUMULATIVE FUND PERFORMANCE: MAY 2, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE BIOTECHNOLOGY FUND S&P 500 HEALTH CARE INDEX* S&P 500 INDEX 5/2/2001 10,000 10,000 10,000 5/31/2001 10,564 10,161 9,923 6/30/2001 10,828 9,688 9,682 7/31/2001 9,588 10,201 9,587 8/31/2001 9,664 9,820 8,986 9/30/2001 8,304 9,962 8,261 10/31/2001 9,588 9,905 8,418 11/30/2001 10,448 10,373 9,064 12/31/2001 9,868 10,035 9,143 1/31/2002 8,432 9,932 9,010 2/28/2002 8,060 9,957 8,836 3/31/2002 8,332 9,971 9,169 4/30/2002 7,072 9,347 8,613 5/31/2002 6,348 9,153 8,549 6/30/2002 5,604 8,307 7,940 7/31/2002 5,676 8,126 7,321 8/31/2002 5,424 8,213 7,369 9/30/2002 5,196 7,679 6,568 10/31/2002 5,666 8,130 7,147 11/30/2002 6,063 8,336 7,567 12/31/2002 5,393 8,031 7,123 1/31/2003 5,244 7,991 6,936 2/28/2003 5,124 7,836 6,832 3/31/2003 5,401 8,099 6,898 4/30/2003 5,971 8,374 7,467 5/31/2003 7,010 8,514 7,860 6/30/2003 6,813 8,875 7,960 7/31/2003 7,423 8,739 8,101 8/31/2003 7,303 8,402 8,259 9/30/2003 7,287 8,428 8,171 10/31/2003 7,283 8,484 8,633 11/30/2003 7,371 8,607 8,709 12/31/2003 7,664 9,100 9,166 1/31/2004 8,037 9,348 9,334 2/29/2004 8,077 9,412 9,464 3/31/2004 7,953 9,019 9,321 4/30/2004 8,041 9,295 9,175 5/31/2004 7,833 9,262 9,300 6/30/2004 7,800 9,230 9,481 7/31/2004 7,006 8,730 9,168 8/31/2004 7,038 8,866 9,205 9/30/2004 7,367 8,700 9,304 10/31/2004 7,086 8,507 9,446 11/30/2004 7,367 8,637 9,829 12/31/2004 7,748 9,121 10,163 1/31/2005 7,339 8,826 9,915 2/28/2005 7,046 9,082 10,124 3/31/2005 6,741 9,029 9,945 4/30/2005 6,878 9,332 9,756 5/31/2005 7,182 9,407 10,067 6/30/2005 7,263 9,367 10,081 7/31/2005 7,969 9,580 10,456 8/31/2005 8,226 9,526 10,360 9/30/2005 8,258 9,467 10,444 10/31/2005 8,073 9,181 10,270 11/30/2005 8,467 9,252 10,659 12/31/2005 8,575 9,564 10,662 1/31/2006 8,824 9,698 10,945 2/28/2006 9,221 9,773 10,974 3/31/2006 8,936 9,647 11,111 4/30/2006 8,438 9,336 11,260 5/31/2006 8,017 9,125 10,936 6/30/2006 8,057 9,127 10,951 7/31/2006 7,969 9,620 11,018 8/31/2006 8,109 9,878 11,281 9/30/2006 8,109 10,018 11,571 10/31/2006 8,800 10,060 11,948 11/30/2006 8,671 10,005 12,176 12/31/2006 8,290 10,117 12,346 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/02/01) -------------------------------------------------------------------------------- BIOTECHNOLOGY FUND -3.32% -3.43% -3.26% S&P 500 INDEX 15.79% 6.19% 3.79% S&P 500 HEALTH CARE INDEX 7.53% 1.68% 1.69% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 HEALTH CARE INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] BIOTECHNOLOGY FUND BIOTECHNOLOGY 90% LIFE SCIENCE TOOLS & SERVICES 10% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Genentech, Inc. 10.4% Amgen, Inc. 9.9% Gilead Sciences, Inc. 6.0% Celgene Corp. 5.9% Biogen Idec, Inc. 4.9% Genzyme Corp. 4.4% Medimmune, Inc. 3.3% Cephalon, Inc. 2.5% Vertex Pharmaceuticals, Inc. 2.4% Millenium Pharmaceuticals, Inc. 2.2% -------------------------------------------------------------------------------- Top Ten Total 51.9% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 38 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- COMMODITIES FUND OBJECTIVE: Seeks long-term capital appreciation through an investment in commodity-linked instruments and seeks 100% (but at all times at least 80%) exposure to the performance of the commodities market. INCEPTION: September 30, 2005 Commodity prices rose during the first half of 2006 as oil rose above $75 a barrel. However, predictions of $100/barrel failed to materialize as a benign hurricane season did not disrupt production in the Gulf of Mexico and subsequently energy prices fell dramatically in the third quarter of the year. Forecasts of a mild winter in the Northeast U.S. led to further decreases in energy prices in December. This contributed to Rydex Commodities Fund's -17.87% loss for the year versus the GSCI, which returned -15.08%. CUMULATIVE FUND PERFORMANCE: SEPTEMBER 30, 2005 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE COMMODITIES FUND S&P 500 INDEX GOLDMAN SACHS COMMODITY INDEX 9/30/2005 10,000 10,000 10,000 10/1/2005 10,000 10,000 10,000 10/2/2005 10,000 10,000 10,000 10/3/2005 10,000 9,983 9,946 10/4/2005 9,856 9,884 9,814 10/5/2005 9,724 9,741 9,692 10/6/2005 9,496 9,701 9,432 10/7/2005 9,500 9,737 9,453 10/8/2005 9,500 9,737 9,453 10/9/2005 9,500 9,737 9,453 10/10/2005 9,504 9,667 9,423 10/11/2005 9,700 9,648 9,631 10/12/2005 9,716 9,591 9,672 10/13/2005 9,560 9,584 9,526 10/14/2005 9,472 9,663 9,432 10/15/2005 9,472 9,663 9,432 10/16/2005 9,472 9,663 9,432 10/17/2005 9,668 9,692 9,651 10/18/2005 9,468 9,594 9,451 10/19/2005 9,380 9,739 9,363 10/20/2005 9,176 9,593 9,161 10/21/2005 9,220 9,607 9,184 10/22/2005 9,220 9,607 9,184 10/23/2005 9,220 9,607 9,184 10/24/2005 9,108 9,769 9,125 10/25/2005 9,520 9,746 9,494 10/26/2005 9,328 9,704 9,298 10/27/2005 9,284 9,604 9,273 10/28/2005 9,252 9,763 9,219 10/29/2005 9,252 9,763 9,219 10/30/2005 9,252 9,763 9,219 10/31/2005 8,992 9,833 8,966 11/1/2005 8,964 9,799 8,928 11/2/2005 8,876 9,898 8,874 11/3/2005 9,092 9,943 9,074 11/4/2005 8,976 9,945 8,948 11/5/2005 8,976 9,945 8,948 11/6/2005 8,976 9,945 8,948 11/7/2005 8,904 9,967 8,891 11/8/2005 8,912 9,938 8,895 11/9/2005 8,840 9,955 8,834 11/10/2005 8,688 10,041 8,681 11/11/2005 8,716 10,072 8,695 11/12/2005 8,716 10,072 8,695 11/13/2005 8,716 10,072 8,695 11/14/2005 8,752 10,064 8,710 11/15/2005 8,640 10,027 8,618 11/16/2005 8,768 10,047 8,770 11/17/2005 8,648 10,141 8,635 11/18/2005 8,596 10,187 8,567 11/19/2005 8,596 10,187 8,567 11/20/2005 8,596 10,187 8,567 11/21/2005 8,628 10,241 8,590 11/22/2005 8,732 10,294 8,700 11/23/2005 8,652 10,330 8,647 11/24/2005 8,652 10,330 8,647 11/25/2005 8,644 10,352 8,631 11/26/2005 8,644 10,352 8,631 11/27/2005 8,644 10,352 8,631 11/28/2005 8,520 10,265 8,500 11/29/2005 8,464 10,267 8,451 11/30/2005 8,648 10,205 8,621 12/1/2005 8,800 10,329 8,819 12/2/2005 9,028 10,333 9,003 12/3/2005 9,028 10,333 9,003 12/4/2005 9,028 10,333 9,003 12/5/2005 9,056 10,309 9,045 12/6/2005 9,032 10,322 8,993 12/7/2005 9,004 10,272 8,954 12/8/2005 9,284 10,261 9,236 12/9/2005 9,060 10,290 9,061 12/10/2005 9,060 10,290 9,061 12/11/2005 9,060 10,290 9,061 12/12/2005 9,288 10,299 9,277 12/13/2005 9,368 10,357 9,381 12/14/2005 9,260 10,401 9,266 12/15/2005 9,084 10,387 9,093 12/16/2005 8,896 10,357 8,905 12/17/2005 8,896 10,357 8,905 12/18/2005 8,896 10,357 8,905 12/19/2005 8,876 10,297 8,858 12/20/2005 8,860 10,295 8,868 12/21/2005 8,948 10,321 8,936 12/22/2005 8,793 10,367 8,798 12/23/2005 8,701 10,373 8,733 12/24/2005 8,701 10,373 8,733 12/25/2005 8,701 10,373 8,733 12/26/2005 8,701 10,373 8,828 12/27/2005 8,545 10,274 8,563 12/28/2005 8,773 10,289 8,764 12/29/2005 8,769 10,259 8,773 12/30/2005 8,866 10,209 8,868 12/31/2005 8,866 10,209 8,868 1/1/2006 8,866 10,209 8,868 1/2/2006 8,866 10,209 8,868 1/3/2006 9,002 10,376 9,005 1/4/2006 9,038 10,417 9,013 1/5/2006 8,902 10,417 8,882 1/6/2006 9,014 10,517 9,002 1/7/2006 9,014 10,517 9,002 1/8/2006 9,014 10,517 9,002 1/9/2006 8,894 10,556 8,896 1/10/2006 8,858 10,553 8,857 1/11/2006 8,862 10,591 8,849 1/12/2006 8,821 10,524 8,828 1/13/2006 8,830 10,537 8,836 1/14/2006 8,830 10,537 8,836 1/15/2006 8,830 10,537 8,836 1/16/2006 8,830 10,537 8,836 1/17/2006 9,114 10,499 9,094 1/18/2006 8,970 10,459 8,969 1/19/2006 9,094 10,517 9,086 1/20/2006 9,291 10,325 9,255 1/21/2006 9,291 10,325 9,255 1/22/2006 9,291 10,325 9,255 1/23/2006 9,170 10,344 9,173 1/24/2006 9,078 10,369 9,105 1/25/2006 8,978 10,351 8,985 1/26/2006 8,998 10,426 9,007 1/27/2006 9,162 10,508 9,149 1/28/2006 9,162 10,508 9,149 1/29/2006 9,162 10,508 9,149 1/30/2006 9,319 10,521 9,307 1/31/2006 9,243 10,479 9,253 2/1/2006 9,030 10,500 9,079 2/2/2006 8,898 10,407 8,895 2/3/2006 8,974 10,352 8,987 2/4/2006 8,974 10,352 8,987 2/5/2006 8,974 10,352 8,987 2/6/2006 8,866 10,361 8,894 2/7/2006 8,625 10,277 8,664 2/8/2006 8,581 10,370 8,601 2/9/2006 8,573 10,356 8,584 2/10/2006 8,420 10,382 8,436 2/11/2006 8,420 10,382 8,436 2/12/2006 8,420 10,382 8,436 2/13/2006 8,332 10,350 8,353 2/14/2006 8,192 10,455 8,230 2/15/2006 8,059 10,494 8,097 2/16/2006 8,160 10,572 8,177 2/17/2006 8,280 10,554 8,312 2/18/2006 8,280 10,554 8,312 2/19/2006 8,280 10,554 8,312 2/20/2006 8,280 10,554 8,312 2/21/2006 8,464 10,520 8,495 2/22/2006 8,276 10,600 8,310 2/23/2006 8,292 10,563 8,301 2/24/2006 8,452 10,578 8,475 2/25/2006 8,452 10,578 8,475 2/26/2006 8,452 10,578 8,475 2/27/2006 8,188 10,618 8,239 2/28/2006 8,288 10,508 8,318 3/1/2006 8,356 10,597 8,369 3/2/2006 8,541 10,580 8,543 3/3/2006 8,569 10,565 8,597 3/4/2006 8,569 10,565 8,597 3/5/2006 8,569 10,565 8,597 3/6/2006 8,328 10,491 8,409 3/7/2006 8,248 10,472 8,294 3/8/2006 8,099 10,497 8,173 3/9/2006 8,228 10,446 8,248 3/10/2006 8,164 10,522 8,207 3/11/2006 8,164 10,522 8,207 3/12/2006 8,164 10,522 8,207 3/13/2006 8,368 10,546 8,387 3/14/2006 8,545 10,656 8,559 3/15/2006 8,404 10,702 8,466 3/16/2006 8,533 10,722 8,558 3/17/2006 8,460 10,737 8,490 3/18/2006 8,460 10,737 8,490 3/19/2006 8,460 10,737 8,490 3/20/2006 8,240 10,720 8,288 3/21/2006 8,292 10,655 8,344 3/22/2006 8,240 10,720 8,276 3/23/2006 8,485 10,692 8,492 3/24/2006 8,513 10,702 8,529 3/25/2006 8,513 10,702 8,529 3/26/2006 8,513 10,702 8,529 3/27/2006 8,485 10,691 8,517 3/28/2006 8,661 10,623 8,687 3/29/2006 8,757 10,704 8,745 3/30/2006 8,854 10,683 8,839 3/31/2006 8,701 10,638 8,744 4/1/2006 8,701 10,638 8,744 4/2/2006 8,701 10,638 8,744 4/3/2006 8,709 10,663 8,800 4/4/2006 8,713 10,731 8,724 4/5/2006 8,834 10,778 8,832 4/6/2006 8,918 10,760 8,928 4/7/2006 8,834 10,649 8,849 4/8/2006 8,834 10,649 8,849 4/9/2006 8,834 10,649 8,849 4/10/2006 9,026 10,658 9,017 4/11/2006 9,066 10,577 9,072 4/12/2006 9,070 10,590 9,093 4/13/2006 9,191 10,598 9,171 4/14/2006 9,191 10,598 9,171 4/15/2006 9,191 10,598 9,171 4/16/2006 9,191 10,598 9,171 4/17/2006 9,363 10,567 9,334 4/18/2006 9,552 10,751 9,541 4/19/2006 9,652 10,771 9,642 4/20/2006 9,520 10,784 9,548 4/21/2006 9,748 10,782 9,708 4/22/2006 9,748 10,782 9,708 4/23/2006 9,748 10,782 9,708 4/24/2006 9,524 10,756 9,511 4/25/2006 9,491 10,704 9,496 4/26/2006 9,391 10,735 9,422 4/27/2006 9,191 10,774 9,221 4/28/2006 9,315 10,781 9,298 4/29/2006 9,315 10,781 9,298 4/30/2006 9,315 10,781 9,298 5/1/2006 9,515 10,737 9,483 5/2/2006 9,600 10,803 9,580 5/3/2006 9,339 10,760 9,352 5/4/2006 9,259 10,797 9,209 5/5/2006 9,243 10,908 9,264 5/6/2006 9,243 10,908 9,264 5/7/2006 9,243 10,908 9,264 5/8/2006 9,219 10,900 9,206 5/9/2006 9,347 10,904 9,340 5/10/2006 9,576 10,890 9,554 5/11/2006 9,712 10,753 9,706 5/12/2006 9,540 10,632 9,543 5/13/2006 9,540 10,632 9,543 5/14/2006 9,540 10,632 9,543 5/15/2006 9,154 10,660 9,217 5/16/2006 9,247 10,641 9,233 5/17/2006 9,050 10,464 9,130 5/18/2006 9,179 10,395 9,162 5/19/2006 8,998 10,438 9,026 5/20/2006 8,998 10,438 9,026 5/21/2006 8,998 10,438 9,026 5/22/2006 9,090 10,397 9,126 5/23/2006 9,323 10,352 9,362 5/24/2006 9,070 10,369 9,083 5/25/2006 9,235 10,488 9,230 5/26/2006 9,279 10,549 9,280 5/27/2006 9,279 10,549 9,280 5/28/2006 9,279 10,549 9,280 5/29/2006 9,279 10,549 9,280 5/30/2006 9,319 10,383 9,311 5/31/2006 9,207 10,471 9,227 6/1/2006 9,142 10,600 9,164 6/2/2006 9,403 10,621 9,377 6/3/2006 9,403 10,621 9,377 6/4/2006 9,403 10,621 9,377 6/5/2006 9,307 10,432 9,368 6/6/2006 9,291 10,421 9,301 6/7/2006 9,142 10,359 9,162 6/8/2006 9,066 10,375 9,075 6/9/2006 9,162 10,328 9,183 6/10/2006 9,162 10,328 9,183 6/11/2006 9,162 10,328 9,183 6/12/2006 9,062 10,197 9,076 6/13/2006 8,797 10,095 8,837 6/14/2006 8,850 10,148 8,888 6/15/2006 9,006 10,364 9,013 6/16/2006 9,002 10,325 9,027 6/17/2006 9,002 10,325 9,027 6/18/2006 9,002 10,325 9,027 6/19/2006 8,834 10,231 8,898 6/20/2006 8,838 10,231 8,869 6/21/2006 8,974 10,331 8,987 6/22/2006 9,006 10,279 9,033 6/23/2006 8,982 10,270 9,006 6/24/2006 8,982 10,270 9,006 6/25/2006 8,982 10,270 9,006 6/26/2006 9,098 10,320 9,099 6/27/2006 9,102 10,227 9,114 6/28/2006 9,106 10,285 9,116 6/29/2006 9,271 10,507 9,279 6/30/2006 9,355 10,485 9,334 7/1/2006 9,355 10,485 9,334 7/2/2006 9,355 10,485 9,334 7/3/2006 9,363 10,569 9,352 7/4/2006 9,363 10,569 9,352 7/5/2006 9,451 10,493 9,425 7/6/2006 9,443 10,522 9,462 7/7/2006 9,323 10,451 9,344 7/8/2006 9,323 10,451 9,344 7/9/2006 9,323 10,451 9,344 7/10/2006 9,247 10,467 9,272 7/11/2006 9,351 10,510 9,379 7/12/2006 9,459 10,396 9,469 7/13/2006 9,660 10,262 9,650 7/14/2006 9,692 10,211 9,716 7/15/2006 9,692 10,211 9,716 7/16/2006 9,692 10,211 9,716 7/17/2006 9,443 10,197 9,473 7/18/2006 9,323 10,217 9,317 7/19/2006 9,263 10,408 9,280 7/20/2006 9,183 10,320 9,237 7/21/2006 9,223 10,247 9,237 7/22/2006 9,223 10,247 9,237 7/23/2006 9,223 10,247 9,237 7/24/2006 9,331 10,417 9,339 7/25/2006 9,223 10,483 9,240 7/26/2006 9,279 10,479 9,303 7/27/2006 9,383 10,438 9,390 7/28/2006 9,271 10,565 9,295 7/29/2006 9,271 10,565 9,295 7/30/2006 9,271 10,565 9,295 7/31/2006 9,536 10,550 9,521 8/1/2006 9,552 10,502 9,526 8/2/2006 9,696 10,567 9,665 8/3/2006 9,556 10,584 9,533 8/4/2006 9,495 10,577 9,502 8/5/2006 9,495 10,577 9,502 8/6/2006 9,495 10,577 9,502 8/7/2006 9,664 10,548 9,638 8/8/2006 9,580 10,513 9,588 8/9/2006 9,616 10,470 9,634 8/10/2006 9,391 10,521 9,388 8/11/2006 9,343 10,480 9,367 8/12/2006 9,343 10,480 9,367 8/13/2006 9,343 10,480 9,367 8/14/2006 9,207 10,493 9,214 8/15/2006 9,158 10,638 9,188 8/16/2006 9,066 10,722 9,121 8/17/2006 8,882 10,739 8,923 8/18/2006 8,946 10,779 8,989 8/19/2006 8,946 10,779 8,989 8/20/2006 8,946 10,779 8,989 8/21/2006 9,090 10,740 9,095 8/22/2006 9,098 10,750 9,131 8/23/2006 8,942 10,703 9,003 8/24/2006 9,046 10,729 9,072 8/25/2006 9,058 10,722 9,111 8/26/2006 9,058 10,722 9,111 8/27/2006 9,058 10,722 9,111 8/28/2006 8,793 10,777 8,875 8/29/2006 8,729 10,800 8,808 8/30/2006 8,741 10,804 8,798 8/31/2006 8,777 10,801 8,830 9/1/2006 8,677 10,861 8,701 9/2/2006 8,677 10,861 8,701 9/3/2006 8,677 10,861 8,701 9/4/2006 8,677 10,861 8,701 9/5/2006 8,585 10,880 8,671 9/6/2006 8,525 10,774 8,598 9/7/2006 8,432 10,722 8,542 9/8/2006 8,324 10,763 8,411 9/9/2006 8,324 10,763 8,411 9/10/2006 8,324 10,763 8,411 9/11/2006 8,148 10,769 8,273 9/12/2006 8,039 10,881 8,139 9/13/2006 7,967 10,926 8,109 9/14/2006 7,799 10,911 7,973 9/15/2006 7,807 10,941 7,935 9/16/2006 7,807 10,941 7,935 9/17/2006 7,807 10,941 7,935 9/18/2006 7,875 10,952 8,000 9/19/2006 7,670 10,928 7,846 9/20/2006 7,534 10,986 7,696 9/21/2006 7,650 10,929 7,794 9/22/2006 7,502 10,902 7,693 9/23/2006 7,502 10,902 7,693 9/24/2006 7,502 10,902 7,693 9/25/2006 7,538 10,998 7,713 9/26/2006 7,534 11,081 7,718 9/27/2006 7,710 11,085 7,845 9/28/2006 7,690 11,106 7,857 9/29/2006 7,706 11,079 7,885 9/30/2006 7,706 11,079 7,885 10/1/2006 7,706 11,079 7,885 10/2/2006 7,554 11,042 7,743 10/3/2006 7,377 11,065 7,550 10/4/2006 7,441 11,201 7,627 10/5/2006 7,546 11,229 7,746 10/6/2006 7,550 11,199 7,747 10/7/2006 7,550 11,199 7,747 10/8/2006 7,550 11,199 7,747 10/9/2006 7,622 11,208 7,837 10/10/2006 7,502 11,231 7,717 10/11/2006 7,437 11,204 7,672 10/12/2006 7,437 11,311 7,674 10/13/2006 7,566 11,334 7,762 10/14/2006 7,566 11,334 7,762 10/15/2006 7,566 11,334 7,762 10/16/2006 7,682 11,362 7,938 10/17/2006 7,642 11,321 7,863 10/18/2006 7,618 11,338 7,755 10/19/2006 7,650 11,346 7,859 10/20/2006 7,562 11,360 7,778 10/21/2006 7,562 11,360 7,778 10/22/2006 7,562 11,360 7,778 10/23/2006 7,502 11,430 7,729 10/24/2006 7,570 11,433 7,794 10/25/2006 7,762 11,474 7,994 10/26/2006 7,682 11,531 7,892 10/27/2006 7,654 11,435 7,904 10/28/2006 7,654 11,435 7,904 10/29/2006 7,654 11,435 7,904 10/30/2006 7,441 11,440 7,667 10/31/2006 7,470 11,440 7,682 11/1/2006 7,470 11,357 7,689 11/2/2006 7,405 11,357 7,667 11/3/2006 7,514 11,332 7,772 11/4/2006 7,514 11,332 7,772 11/5/2006 7,514 11,332 7,772 11/6/2006 7,582 11,461 7,830 11/7/2006 7,526 11,487 7,774 11/8/2006 7,606 11,513 7,840 11/9/2006 7,694 11,455 7,980 11/10/2006 7,542 11,476 7,789 11/11/2006 7,542 11,476 7,789 11/12/2006 7,542 11,476 7,789 11/13/2006 7,474 11,508 7,706 11/14/2006 7,446 11,582 7,696 11/15/2006 7,514 11,613 7,770 11/16/2006 7,317 11,640 7,584 11/17/2006 7,361 11,652 7,626 11/18/2006 7,361 11,652 7,626 11/19/2006 7,361 11,652 7,626 11/20/2006 7,377 11,646 7,631 11/21/2006 7,502 11,666 7,771 11/22/2006 7,385 11,694 7,659 11/23/2006 7,385 11,694 7,659 11/24/2006 7,450 11,653 7,720 11/25/2006 7,450 11,653 7,720 11/26/2006 7,450 11,653 7,720 11/27/2006 7,550 11,494 7,809 11/28/2006 7,610 11,537 7,868 11/29/2006 7,750 11,648 8,018 11/30/2006 7,835 11,658 8,107 12/1/2006 7,823 11,625 8,086 12/2/2006 7,823 11,625 8,086 12/3/2006 7,823 11,625 8,086 12/4/2006 7,646 11,729 7,927 12/5/2006 7,682 11,776 7,929 12/6/2006 7,622 11,763 7,861 12/7/2006 7,582 11,717 7,851 12/8/2006 7,514 11,739 7,811 12/9/2006 7,514 11,739 7,811 12/10/2006 7,514 11,739 7,811 12/11/2006 7,486 11,765 7,748 12/12/2006 7,437 11,753 7,715 12/13/2006 7,474 11,769 7,742 12/14/2006 7,570 11,872 7,841 12/15/2006 7,606 11,886 7,852 12/16/2006 7,606 11,886 7,852 12/17/2006 7,606 11,886 7,852 12/18/2006 7,433 11,847 7,717 12/19/2006 7,490 11,873 7,767 12/20/2006 7,498 11,857 7,763 12/21/2006 7,441 11,816 7,685 12/22/2006 7,393 11,755 7,673 12/23/2006 7,393 11,755 7,673 12/24/2006 7,393 11,755 7,673 12/25/2006 7,393 11,755 7,673 12/26/2006 7,241 11,806 7,531 12/27/2006 7,201 11,892 7,483 12/28/2006 7,237 11,875 7,506 12/29/2006 7,281 11,821 7,530 12/30/2006 7,281 11,821 7,530 12/31/2006 7,281 11,821 7,530 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (09/30/05) -------------------------------------------------------------------------------- COMMODITIES FUND -17.87% -22.39% S&P 500 INDEX 15.79% 14.30% GOLDMAN SACHS COMMODITY INDEX -15.08% -20.28% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE GOLDMAN SACHS COMMODITY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] COMMODITIES FUND EXCHANGE TRADED FUNDS 21.6% COMMODITY LINKED NOTES 65.5% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. The Fund invests principally in exchange traded funds and in derivative instruments such as commodity linked notes, futures contracts, and options on index futures. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 39 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally. INCEPTION: May 29, 2001 In 2006, the consumer products sector lived up to its billing as a defensive sector. The fund returned 17.42% for the year versus the S&P 500 Index, which returned 15.79% for the same period. All six of the industries included in Rydex Consumer Products Fund had double-digit returns for the year. Best performers were tobacco and personal products, which returned more than 30%. Food products, household products, food & staples retailing and beverages had 15%-20% gains. CUMULATIVE FUND PERFORMANCE: MAY 29, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] CONSUMER PRODUCTS S&P 500 CONSUMER DATE FUND S&P 500 INDEX STAPLES INDEX* 5/29/2001 10,000 10,000 10,000 5/31/2001 9,860 9,908 9,973 6/30/2001 9,604 9,667 9,645 7/31/2001 9,664 9,571 9,713 8/31/2001 9,968 8,972 10,106 9/30/2001 9,716 8,248 9,899 10/31/2001 9,752 8,405 9,837 11/30/2001 10,044 9,050 10,050 12/31/2001 10,128 9,129 10,100 1/31/2002 10,216 8,996 10,206 2/28/2002 10,624 8,822 10,612 3/31/2002 10,984 9,154 10,960 4/30/2002 11,108 8,599 11,163 5/31/2002 11,208 8,536 11,255 6/30/2002 10,596 7,928 10,568 7/31/2002 10,124 7,310 10,079 8/31/2002 10,268 7,358 10,176 9/30/2002 9,446 6,558 9,413 10/31/2002 9,911 7,135 9,735 11/30/2002 9,919 7,555 9,441 12/31/2002 9,763 7,111 9,463 1/31/2003 9,418 6,925 9,115 2/28/2003 9,162 6,821 8,851 3/31/2003 9,202 6,887 8,799 4/30/2003 9,747 7,455 9,053 5/31/2003 10,464 7,847 9,479 6/30/2003 10,608 7,948 9,549 7/31/2003 10,632 8,088 9,482 8/31/2003 10,841 8,245 9,664 9/30/2003 10,913 8,158 9,618 10/31/2003 11,358 8,619 10,082 11/30/2003 11,682 8,695 10,167 12/31/2003 11,897 9,151 10,336 1/31/2004 12,111 9,319 10,345 2/29/2004 12,568 9,449 10,931 3/31/2004 12,641 9,306 10,868 4/30/2004 12,856 9,160 10,989 5/31/2004 12,747 9,286 10,842 6/30/2004 13,058 9,466 10,866 7/31/2004 12,180 9,153 10,327 8/31/2004 12,386 9,190 10,520 9/30/2004 12,056 9,290 10,209 10/31/2004 12,203 9,432 10,269 11/30/2004 12,890 9,813 10,563 12/31/2004 13,479 10,147 10,960 1/31/2005 13,598 9,900 11,079 2/28/2005 13,643 10,108 11,090 3/31/2005 13,496 9,929 10,977 4/30/2005 13,123 9,741 10,861 5/31/2005 13,479 10,051 11,082 6/30/2005 13,406 10,065 10,849 7/31/2005 13,802 10,439 11,169 8/31/2005 13,606 10,344 10,995 9/30/2005 13,702 10,428 11,121 10/31/2005 13,337 10,254 11,073 11/30/2005 13,371 10,642 11,152 12/31/2005 13,426 10,645 11,107 1/31/2006 13,562 10,927 11,088 2/28/2006 13,685 10,957 11,195 3/31/2006 13,935 11,093 11,216 4/30/2006 14,071 11,242 11,285 5/31/2006 14,266 10,919 11,339 6/30/2006 14,326 10,934 11,475 7/31/2006 14,559 11,001 11,682 8/31/2006 15,022 11,263 12,101 9/30/2006 15,090 11,553 12,059 10/31/2006 15,332 11,930 12,280 11/30/2006 15,455 12,156 12,147 12/31/2006 15,765 12,327 12,413 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/29/01) -------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND 17.42% 9.25% 8.48% S&P 500 INDEX 15.79% 6.19% 3.81% S&P 500 CONSUMER STAPLES INDEX 14.58% 6.51% 6.24% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 CONSUMER STAPLES INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] CONSUMER PRODUCTS FUND FOOD PRODUCTS 33% BEVERAGES 21% HOUSEHOLD PRODUCTS 16% TOBACCO 12% FOOD & STAPLES RETAILING 12% PERSONAL PRODUCTS 6% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Procter & Gamble Co. 6.8% Altria Group, Inc. 6.6% Coca-Cola Co. 5.1% PepsiCo, Inc. 4.6% Kraft Foods, Inc. -- Class A 3.6% Anheuser-Bush Cos., Inc. 2.9% Colgate-Palmolive Co. 2.8% Kimberly-Clark Corp. 2.6% Sysco Corp. 2.3% General Mills, Inc. 2.1% -------------------------------------------------------------------------------- Top Ten Total 39.4% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 40 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- ELECTRONICS FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices. INCEPTION: August 3, 2001 Renewed investor concern about excess capacity resulted in semiconductors being the worst performing industry group in the technology sector for 2006. In addition, the no-holds-barred battle for market share among industry leaders, particularly Intel and Advanced Micro Devices, weighed heavily on the entire group. With Intel declining nearly 19% and AMD losing more than one third of its value during the period, it should come as no surprise that electronics companies as a whole underperformed the S&P 500 Index (+15.79%) by a wide margin. Although Rydex Electronics Fund, in step with its sector, underperformed the S&P 500, it stayed out of negative return territory with a 2.49% for the year. CUMULATIVE FUND PERFORMANCE: AUGUST 3, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500 INFORMATION DATE ELECTRONICS FUND S&P 500 INDEX TECHNOLOGY INDEX* 8/3/2001 10,000 10,000 10,000 8/31/2001 8,824 9,346 8,437 9/30/2001 6,068 8,592 6,777 10/31/2001 7,312 8,755 7,954 11/30/2001 8,432 9,427 9,310 12/31/2001 8,256 9,510 9,128 1/31/2002 8,504 9,371 9,253 2/28/2002 7,568 9,190 7,954 3/31/2002 8,696 9,536 8,446 4/30/2002 7,864 8,958 7,399 5/31/2002 7,308 8,892 7,113 6/30/2002 5,900 8,258 6,247 7/31/2002 5,164 7,615 5,726 8/31/2002 4,688 7,665 5,654 9/30/2002 3,643 6,832 4,662 10/31/2002 4,482 7,433 5,701 11/30/2002 5,674 7,870 6,660 12/31/2002 4,276 7,408 5,698 1/31/2003 4,043 7,214 5,602 2/28/2003 4,319 7,106 5,737 3/31/2003 4,147 7,175 5,667 4/30/2003 4,676 7,766 6,178 5/31/2003 5,484 8,175 6,695 6/30/2003 5,244 8,279 6,690 7/31/2003 5,764 8,425 7,060 8/31/2003 6,753 8,589 7,461 9/30/2003 6,125 8,498 7,410 10/31/2003 7,222 8,979 8,013 11/30/2003 7,627 9,058 8,137 12/31/2003 7,261 9,533 8,351 1/31/2004 7,450 9,708 8,641 2/29/2004 7,166 9,843 8,357 3/31/2004 6,908 9,694 8,133 4/30/2004 6,035 9,542 7,753 5/31/2004 6,685 9,673 8,135 6/30/2004 6,534 9,861 8,358 7/31/2004 5,433 9,535 7,727 8/31/2004 4,848 9,573 7,310 9/30/2004 4,998 9,677 7,522 10/31/2004 5,338 9,825 7,916 11/30/2004 5,480 10,223 8,295 12/31/2004 5,665 10,570 8,529 1/31/2005 5,132 10,313 8,081 2/28/2005 5,553 10,530 8,079 3/31/2005 5,205 10,343 7,892 4/30/2005 4,835 10,147 7,580 5/31/2005 5,424 10,470 8,162 6/30/2005 5,368 10,485 8,018 7/31/2005 5,953 10,875 8,488 8/31/2005 5,867 10,776 8,462 9/30/2005 5,833 10,863 8,484 10/31/2005 5,403 10,682 8,297 11/30/2005 6,065 11,086 8,822 12/31/2005 5,884 11,089 8,562 1/31/2006 6,517 11,383 8,835 2/28/2006 6,465 11,414 8,747 3/31/2006 6,525 11,556 8,904 4/30/2006 6,680 11,711 8,802 5/31/2006 6,022 11,374 8,171 6/30/2006 5,781 11,390 8,034 7/31/2006 5,433 11,460 7,731 8/31/2006 5,897 11,733 8,369 9/30/2006 5,915 12,035 8,703 10/31/2006 5,988 12,427 9,061 11/30/2006 6,207 12,663 9,348 12/31/2006 6,031 12,841 9,221 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (08/03/01) -------------------------------------------------------------------------------- ELECTRONICS FUND 2.49% -6.09% -8.92% S&P 500 INDEX 15.79% 6.19% 4.73% S&P 500 INFORMATION TECHNOLOGY INDEX 8.42% 0.68% -1.04% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 INFORMATION TECHNOLOGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] ELECTRONICS FUND SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 100% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Intel Corp. 9.2% Texas Instruments, Inc. 5.3% Applied Materials, Inc. 4.6% Nvidia Corp. 3.5% Broadcom Corp. -- Class A 3.4% Analog Devices, Inc. 3.1% KLA-Tencor Corp. 2.8% Maxim Integrated Products, Inc. 2.8% MEMC Electronic Materials, Inc. 2.6% Linear Technology Corp. 2.6% -------------------------------------------------------------------------------- Top Ten Total 39.9% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 41 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- ENERGY FUND OBJECTIVE: Seeks capital appreciation by investing in companies involved in the energy field, including the exploration, production and development of oil, gas, coal and alternative sources of energy. INCEPTION: May 29, 2001 Oil prices hit record highs in 2006, breaking $77 dollars per barrel before closing the year near where they started. Escalated tension in the Middle East over the summer propelled oil prices higher. Israel and Palestine clashed after the kidnapping of an Israeli soldier near Gaza. Shortly thereafter, Iran abandoned discussions over its nuclear program with the U.S. and Europe, further exacerbating the unease. However as the situation in the Middle East improved, oil prices fell. Energy stocks continued to benefit from higher-than average oil prices and outpaced the broader S&P 500 Index. Large-cap energy stocks outperformed their smaller compatriots, affecting Rydex fund performance. Rydex Energy Fund returned 11.93% for the year. CUMULATIVE FUND PERFORMANCE: MAY 29, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE ENERGY FUND S&P 500 INDEX S&P 500 ENERGY INDEX* 5/29/2001 10,000 10,000 10,000 5/31/2001 9,984 9,908 10,045 6/30/2001 9,188 9,667 9,362 7/31/2001 9,040 9,571 9,207 8/31/2001 8,796 8,972 8,848 9/30/2001 8,088 8,248 8,248 10/31/2001 8,324 8,405 8,508 11/30/2001 7,984 9,050 8,151 12/31/2001 8,440 9,129 8,580 1/31/2002 8,052 8,996 8,417 2/28/2002 8,304 8,822 8,748 3/31/2002 9,060 9,154 9,329 4/30/2002 8,768 8,599 8,853 5/31/2002 8,376 8,536 8,861 6/30/2002 8,104 7,928 8,835 7/31/2002 7,072 7,310 7,709 8/31/2002 7,200 7,358 7,674 9/30/2002 6,648 6,558 7,010 10/31/2002 6,980 7,135 7,210 11/30/2002 7,180 7,555 7,439 12/31/2002 7,300 7,111 7,436 1/31/2003 7,040 6,925 7,244 2/28/2003 7,140 6,821 7,352 3/31/2003 7,052 6,887 7,436 4/30/2003 7,120 7,455 7,399 5/31/2003 7,972 7,847 8,000 6/30/2003 7,900 7,948 7,911 7/31/2003 7,504 8,088 7,712 8/31/2003 7,916 8,245 8,149 9/30/2003 7,748 8,158 7,945 10/31/2003 7,876 8,619 8,009 11/30/2003 7,980 8,695 7,998 12/31/2003 8,980 9,151 9,102 1/31/2004 9,100 9,319 9,215 2/29/2004 9,576 9,449 9,585 3/31/2004 9,556 9,306 9,520 4/30/2004 9,752 9,160 9,677 5/31/2004 9,616 9,286 9,687 6/30/2004 10,252 9,466 10,185 7/31/2004 10,536 9,153 10,523 8/31/2004 10,300 9,190 10,378 9/30/2004 11,290 9,290 11,246 10/31/2004 11,330 9,432 11,316 11/30/2004 12,294 9,813 11,963 12/31/2004 11,878 10,147 11,721 1/31/2005 12,210 9,900 12,039 2/28/2005 13,935 10,108 14,240 3/31/2005 13,679 9,929 13,720 4/30/2005 12,874 9,741 12,991 5/31/2005 13,279 10,051 13,168 6/30/2005 14,359 10,065 13,929 7/31/2005 15,432 10,439 14,725 8/31/2005 16,328 10,344 15,476 9/30/2005 17,270 10,428 16,404 10/31/2005 15,847 10,254 14,863 11/30/2005 16,099 10,642 15,063 12/31/2005 16,456 10,645 15,136 1/31/2006 18,781 10,927 17,232 2/28/2006 16,833 10,957 15,829 3/31/2006 17,711 11,093 16,437 4/30/2006 18,697 11,242 17,278 5/31/2006 18,139 10,919 16,728 6/30/2006 18,508 10,934 17,069 7/31/2006 18,769 11,001 17,916 8/31/2006 17,883 11,263 17,187 9/30/2006 17,010 11,553 16,705 10/31/2006 17,849 11,930 17,451 11/30/2006 19,247 12,156 18,856 12/31/2006 18,418 12,327 18,498 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/29/01) -------------------------------------------------------------------------------- ENERGY FUND 11.93% 16.89% 11.54% S&P 500 INDEX 15.79% 6.19% 3.81% S&P 500 ENERGY INDEX 24.21% 19.09% 13.99% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 ENERGY INDEX ARE UNMANAGED STOCK INDECES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] ENERGY FUND OIL, GAS & CONSUMABLE FUELS 71% ENERGY EQUIPMENT & SERVICES 29% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Exxon Mobil Corp. 7.3% BP PLC -- SP ADR 4.8% TOTAL SA -- SP ADR 4.4% Chevron Corp. 4.3% ConocoPhillips 3.8% Royal Dutch Shell PLC- SP ADR 3.8% Schlumberger Ltd. 2.8% Repsol YPF SA -- SP ADR 2.2% Occidental Petroleum Corp. 2.1% Marathon Oil Corp. 2.0% -------------------------------------------------------------------------------- Top Ten Total 37.5% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 42 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- ENERGY SERVICES FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal and gas exploration and production. INCEPTION: May 2, 2001 High crude oil prices, fueled by a combination of strong demand and constrained supply, have produced rich profits for oil producers over the last few years. In an effort to expand production, these producers increased their spending with the oilfield services companies that provide drilling rigs and associated products and services. These companies have enjoyed the strongest operating environment in two decades. This euphoria drove oilfield services companies higher through the early months of 2006. However, oil prices fell precipitously from their mid-year highs as geopolitical tensions eased and negatively impacted performance in this industry. Rydex Energy Services Fund rose 10.98%, trailing the S&P 500 Index's gain of 15.79% CUMULATIVE FUND PERFORMANCE: MAY 2, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE ENERGY SERVICES FUND S&P 500 INDEX S&P 500 ENERGY INDEX* 5/2/2001 10,000 10,000 10,000 5/31/2001 10,376 9,923 10,409 6/30/2001 8,272 9,682 9,702 7/31/2001 7,620 9,587 9,541 8/31/2001 6,660 8,986 9,168 9/30/2001 5,700 8,261 8,547 10/31/2001 6,772 8,418 8,817 11/30/2001 6,584 9,064 8,447 12/31/2001 7,096 9,143 8,892 1/31/2002 6,836 9,010 8,722 2/28/2002 7,112 8,836 9,066 3/31/2002 7,844 9,169 9,668 4/30/2002 7,976 8,613 9,174 5/31/2002 7,776 8,549 9,182 6/30/2002 6,864 7,940 9,156 7/31/2002 5,940 7,321 7,989 8/31/2002 6,060 7,369 7,952 9/30/2002 5,571 6,568 7,264 10/31/2002 5,944 7,147 7,472 11/30/2002 6,296 7,567 7,709 12/31/2002 6,239 7,123 7,706 1/31/2003 5,953 6,936 7,506 2/28/2003 6,278 6,832 7,619 3/31/2003 5,983 6,898 7,705 4/30/2003 6,048 7,467 7,668 5/31/2003 7,029 7,860 8,290 6/30/2003 6,690 7,960 8,198 7/31/2003 6,083 8,101 7,991 8/31/2003 6,513 8,259 8,444 9/30/2003 6,122 8,171 8,233 10/31/2003 6,083 8,633 8,300 11/30/2003 6,027 8,709 8,288 12/31/2003 6,764 9,166 9,432 1/31/2004 7,198 9,334 9,550 2/29/2004 7,641 9,464 9,933 3/31/2004 7,411 9,321 9,866 4/30/2004 7,402 9,175 10,028 5/31/2004 7,111 9,300 10,038 6/30/2004 7,753 9,481 10,555 7/31/2004 8,044 9,168 10,905 8/31/2004 7,914 9,205 10,754 9/30/2004 8,782 9,304 11,654 10/31/2004 8,556 9,446 11,726 11/30/2004 9,198 9,829 12,397 12/31/2004 9,046 10,163 12,146 1/31/2005 9,415 9,915 12,476 2/28/2005 10,444 10,124 14,757 3/31/2005 10,235 9,945 14,218 4/30/2005 9,415 9,756 13,462 5/31/2005 9,827 10,067 13,646 6/30/2005 10,713 10,081 14,434 7/31/2005 11,958 10,456 15,260 8/31/2005 12,674 10,360 16,038 9/30/2005 13,151 10,444 16,999 10/31/2005 12,387 10,270 15,402 11/30/2005 13,060 10,659 15,610 12/31/2005 13,416 10,662 15,685 1/31/2006 16,132 10,945 17,857 2/28/2006 14,114 10,974 16,403 3/31/2006 15,299 11,111 17,033 4/30/2006 16,349 11,260 17,904 5/31/2006 15,780 10,936 17,335 6/30/2006 15,746 10,951 17,689 7/31/2006 15,381 11,018 18,566 8/31/2006 14,466 11,281 17,811 9/30/2006 13,828 11,571 17,311 10/31/2006 14,387 11,948 18,084 11/30/2006 15,589 12,176 19,540 12/31/2006 14,889 12,346 19,169 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/02/01) -------------------------------------------------------------------------------- ENERGY SERVICES FUND 10.98% 15.98% 7.28% S&P 500 INDEX 15.79% 6.19% 3.79% S&P 500 ENERGY INDEX 24.21% 19.09% 14.62% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND S&P 500 ENERGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] ENERGY SERVICES FUND ENERGY EQIUPMENT & SERVICES 100% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Schlumberger Ltd. 9.5% Halliburton Co. 6.4% Transocean, Inc. 5.8% Baker Hughes, Inc. 5.6% Weatherford International Ltd. 4.1% Noble Corp. 3.8% Diamond Offshore Drilling, Inc. 3.7% National-Oilwell Varco, Inc. 3.6% Smith International, Inc. 3.3% Nabors Industries Ltd. 3.2% -------------------------------------------------------------------------------- Top Ten Total 49.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 43 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND OBJECTIVE: Seeks capital appreciation by investing in companies involved in the financial services sector. INCEPTION: July 20, 2001 A record level of mergers and acquisitions activity along with higher rates helped Rydex Financial Services Fund (+16.73%) outperform the S&P 500 Index's 15.79% return. Real estate, diversified financials and insurance all had strong years, but for the third year in a row banks, even though they were up more than10%, were the worst performing industry group in the sector. REITs in general had a very good year, due in some degree to large private equity acquisitions, but the residential and office REITs in particular stood out this year as the hottest real estate sectors. CUMULATIVE FUND PERFORMANCE: JULY 20, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE FINANCIAL SERVICES FUND S&P 500 INDEX S&P 500 FINANCIALS INDEX* 7/20/2001 10,000 10,000 10,000 7/31/2001 10,108 10,005 10,088 8/31/2001 9,496 9,378 9,458 9/30/2001 8,992 8,621 8,887 10/31/2001 8,680 8,785 8,708 11/30/2001 9,280 9,459 9,315 12/31/2001 9,560 9,542 9,503 1/31/2002 9,480 9,403 9,334 2/28/2002 9,460 9,222 9,185 3/31/2002 10,064 9,568 9,784 4/30/2002 9,980 8,988 9,510 5/31/2002 9,984 8,922 9,478 6/30/2002 9,500 8,286 9,012 7/31/2002 8,628 7,641 8,284 8/31/2002 8,808 7,691 8,437 9/30/2002 7,678 6,855 7,436 10/31/2002 8,097 7,458 8,090 11/30/2002 8,406 7,897 8,408 12/31/2002 8,117 7,433 7,942 1/31/2003 7,988 7,239 7,792 2/28/2003 7,775 7,130 7,536 3/31/2003 7,682 7,199 7,492 4/30/2003 8,486 7,792 8,394 5/31/2003 8,993 8,203 8,820 6/30/2003 9,005 8,307 8,826 7/31/2003 9,403 8,454 9,207 8/31/2003 9,355 8,619 9,100 9/30/2003 9,370 8,527 9,143 10/31/2003 9,993 9,010 9,748 11/30/2003 10,106 9,089 9,705 12/31/2003 10,464 9,565 10,160 1/31/2004 10,855 9,741 10,459 2/29/2004 11,209 9,876 10,722 3/31/2004 11,064 9,727 10,594 4/30/2004 10,541 9,575 10,081 5/31/2004 10,839 9,706 10,253 6/30/2004 10,891 9,895 10,282 7/31/2004 10,589 9,567 10,044 8/31/2004 10,955 9,606 10,367 9/30/2004 11,065 9,710 10,258 10/31/2004 11,267 9,858 10,280 11/30/2004 11,787 10,257 10,566 12/31/2004 12,255 10,606 10,996 1/31/2005 11,739 10,348 10,741 2/28/2005 11,800 10,566 10,659 3/31/2005 11,424 10,379 10,231 4/30/2005 11,215 10,182 10,213 5/31/2005 11,602 10,506 10,477 6/30/2005 11,945 10,521 10,604 7/31/2005 12,405 10,912 10,742 8/31/2005 12,106 10,812 10,526 9/30/2005 12,142 10,900 10,611 10/31/2005 12,151 10,718 10,927 11/30/2005 12,678 11,123 11,393 12/31/2005 12,669 11,127 11,406 1/31/2006 12,983 11,422 11,489 2/28/2006 13,240 11,453 11,693 3/31/2006 13,431 11,596 11,701 4/30/2006 13,627 11,751 12,176 5/31/2006 13,135 11,413 11,697 6/30/2006 13,157 11,428 11,612 7/31/2006 13,266 11,499 11,880 8/31/2006 13,440 11,773 11,974 9/30/2006 13,893 12,076 12,460 10/31/2006 14,224 12,469 12,743 11/30/2006 14,433 12,707 12,771 12/31/2006 14,789 12,885 13,249 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (07/20/01) -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND 16.73% 9.12% 7.44% S&P 500 INDEX 15.79% 6.19% 4.76% S&P 500 FINANCIALS INDEX 19.23% 9.50% 7.84% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 FINANCIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] FINANCIAL SERVICES FUND OTHER 5% INSURANCE 22% REAL ESTATE INVESTMENT TRUSTS 21% COMMERCIAL BANKS 20% CAPITAL MARKETS 14% DIVERSIFIED FINANCIAL SERVICES 9% THRIFTS & MORTGAGE FINANCE 9% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Bank of America Corp. 2.2% Citigroup, Inc. 2.0% Wells Fargo & Co. 1.6% American International Group, Inc. 1.6% Morgan Stanley 1.5% J.P. Morgan Chase & Co. 1.4% Wachovia Corp. 1.4% Fannie Mae 1.2% Regions Financial Corp. 1.2% Freddie Mac 1.1% -------------------------------------------------------------------------------- Top Ten Total 15.2% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 44 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- HEALTH CARE FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the health care industry. INCEPTION: June 19, 2001 Health care was the worst performing sector within S&P 500 for the year. Medical technology stocks performed poorly, limiting industry performance. Biotech stocks returned -1.4%, due in large part to negative returns from large-cap stocks like Amgen, Genentech, Genzyme and Imclone. There were bright spots, however: life sciences tools & services and health care technology. Most pharmaceutical companies had double-digit gains for the year in spite of patent expirations, pending litigations and Democrats gaining control of Congress. The equipment and supplies industry had a return of about 5.7%, in line with the sector. In the providers and services space, winners and losers were evenly distributed, resulting in a flat performance. Not surprisingly given the performance of the sector, Rydex Health Care Fund produced sub par returns for the year 2006, returning 5.11% compared to 15.79% for S&P 500 Index. CUMULATIVE FUND PERFORMANCE: JUNE 19, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500 HEALTH DATE HEALTH CARE FUND S&P 500 INDEX CARE INDEX* 6/19/2001 10,000 10,000 10,000 6/30/2001 9,552 10,100 9,363 7/31/2001 9,852 10,000 9,858 8/31/2001 9,516 9,374 9,491 9/30/2001 9,480 8,617 9,628 10/31/2001 9,436 8,781 9,573 11/30/2001 9,796 9,455 10,024 12/31/2001 9,528 9,538 9,698 1/31/2002 9,356 9,399 9,598 2/28/2002 9,360 9,218 9,622 3/31/2002 9,416 9,564 9,637 4/30/2002 8,848 8,984 9,033 5/31/2002 8,740 8,918 8,846 6/30/2002 7,856 8,283 8,028 7/31/2002 7,640 7,637 7,854 8/31/2002 7,736 7,687 7,937 9/30/2002 7,273 6,852 7,421 10/31/2002 7,538 7,455 7,857 11/30/2002 7,674 7,894 8,056 12/31/2002 7,498 7,430 7,761 1/31/2003 7,510 7,235 7,723 2/28/2003 7,342 7,127 7,573 3/31/2003 7,526 7,196 7,827 4/30/2003 7,943 7,789 8,093 5/31/2003 8,488 8,199 8,229 6/30/2003 8,688 8,304 8,577 7/31/2003 9,017 8,450 8,446 8/31/2003 8,944 8,615 8,119 9/30/2003 8,964 8,523 8,145 10/31/2003 9,205 9,006 8,199 11/30/2003 9,433 9,085 8,318 12/31/2003 9,730 9,561 8,794 1/31/2004 10,103 9,737 9,034 2/29/2004 10,167 9,872 9,096 3/31/2004 10,010 9,723 8,716 4/30/2004 10,131 9,571 8,983 5/31/2004 10,095 9,702 8,951 6/30/2004 10,167 9,891 8,920 7/31/2004 9,501 9,563 8,437 8/31/2004 9,598 9,602 8,568 9/30/2004 9,662 9,706 8,408 10/31/2004 9,438 9,854 8,221 11/30/2004 9,751 10,253 8,347 12/31/2004 10,335 10,602 8,815 1/31/2005 10,047 10,343 8,530 2/28/2005 10,271 10,561 8,777 3/31/2005 10,177 10,374 8,726 4/30/2005 10,409 10,177 9,019 5/31/2005 10,644 10,501 9,092 6/30/2005 10,701 10,516 9,053 7/31/2005 11,038 10,907 9,258 8/31/2005 11,107 10,808 9,206 9/30/2005 11,091 10,895 9,149 10/31/2005 10,827 10,713 8,873 11/30/2005 11,172 11,119 8,941 12/31/2005 11,436 11,122 9,243 1/31/2006 11,647 11,417 9,373 2/28/2006 11,712 11,448 9,445 3/31/2006 11,643 11,590 9,323 4/30/2006 11,269 11,746 9,023 5/31/2006 11,005 11,408 8,819 6/30/2006 11,005 11,423 8,820 7/31/2006 11,342 11,494 9,297 8/31/2006 11,651 11,767 9,546 9/30/2006 11,744 12,071 9,681 10/31/2006 11,838 12,464 9,722 11/30/2006 11,907 12,701 9,669 12/31/2006 12,020 12,879 9,777 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (06/19/01) -------------------------------------------------------------------------------- HEALTH CARE FUND 5.11% 4.76% 3.38% S&P 500 INDEX 15.79% 6.19% 4.68% S&P 500 HEALTH CARE INDEX 7.53% 1.68% 1.07% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 HEALTH CARE INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] HEALTH CARE FUND OTHER 2% PHARMACEUTICALS 33% HEALTH CARE PROVIDERS & SERVICES 22% HEALTH CARE EQUIPMENT & SUPPLIES 20% BIOTECHNOLOGY 16% LIFE SCIENCES TOOLS & SERVICES 7% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Johnson & Johnson, Inc. 6.1% Pfizer, Inc. 5.8% Merck & Co., Inc. 4.0% Amgen, Inc. 3.5% Genentech, Inc. 3.4% Medtronic, Inc. 3.0% Abbott Laboratories 2.9% UnitedHealth Group, Inc. 2.8% Eli Lilly & Co. 2.8% Wyeth 2.7% -------------------------------------------------------------------------------- Top Ten Total 37.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 45 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- INTERNET FUND OBJECTIVE: Seeks capital appreciation by investing in companies that provide products or services designed for or related to the Internet. INCEPTION: May 24, 2001 Last year's big winner within the Internet sector, the Internet software & services industry, became this year's biggest loser. The industry, which is dominated by Google, eBay and Yahoo, suffered due to relatively higher valuations and competitive pressures. Other industries such as communications equipment, application software, systems software, and Internet & catalog retailing benefited from increasing internet usage rates and adoption of broadband access. Rydex Internet Fund gained a modest 9.70%, as Internet companies failed to keep up with the broader S&P 500 Index (+15.79%) for the second year in a row. CUMULATIVE FUND PERFORMANCE: MAY 24, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500 INFORMATION DATE INTERNET FUND S&P 500 INDEX TECHNOLOGY INDEX* 5/24/2001 10,000 10,000 10,000 5/31/2001 8,716 9,715 9,002 6/30/2001 8,232 9,479 9,105 7/31/2001 7,292 9,385 8,564 8/31/2001 5,840 8,798 7,482 9/30/2001 4,544 8,087 6,010 10/31/2001 5,236 8,241 7,055 11/30/2001 6,360 8,874 8,257 12/31/2001 6,304 8,951 8,096 1/31/2002 5,976 8,821 8,207 2/28/2002 4,804 8,651 7,055 3/31/2002 5,216 8,976 7,491 4/30/2002 4,336 8,432 6,562 5/31/2002 4,172 8,370 6,308 6/30/2002 3,608 7,773 5,540 7/31/2002 3,132 7,168 5,078 8/31/2002 3,196 7,215 5,015 9/30/2002 2,780 6,430 4,134 10/31/2002 3,440 6,996 5,056 11/30/2002 4,288 7,408 5,907 12/31/2002 3,572 6,973 5,054 1/31/2003 3,540 6,790 4,968 2/28/2003 3,484 6,689 5,088 3/31/2003 3,512 6,753 5,026 4/30/2003 3,880 7,310 5,479 5/31/2003 4,544 7,695 5,938 6/30/2003 4,620 7,793 5,933 7/31/2003 4,764 7,930 6,262 8/31/2003 5,036 8,085 6,617 9/30/2003 4,912 7,999 6,572 10/31/2003 5,384 8,452 7,106 11/30/2003 5,524 8,526 7,216 12/31/2003 5,872 8,973 7,406 1/31/2004 6,284 9,138 7,664 2/29/2004 6,176 9,265 7,412 3/31/2004 6,144 9,125 7,213 4/30/2004 5,788 8,982 6,876 5/31/2004 6,196 9,105 7,215 6/30/2004 6,464 9,282 7,413 7/31/2004 5,764 8,975 6,853 8/31/2004 5,468 9,011 6,483 9/30/2004 5,788 9,109 6,671 10/31/2004 6,144 9,248 7,020 11/30/2004 6,604 9,622 7,357 12/31/2004 6,804 9,950 7,564 1/31/2005 6,156 9,707 7,168 2/28/2005 5,780 9,911 7,166 3/31/2005 5,740 9,736 6,999 4/30/2005 5,516 9,551 6,722 5/31/2005 6,180 9,855 7,239 6/30/2005 5,920 9,869 7,112 7/31/2005 6,264 10,236 7,528 8/31/2005 6,204 10,143 7,505 9/30/2005 6,442 10,225 7,524 10/31/2005 6,405 10,055 7,358 11/30/2005 6,715 10,435 7,824 12/31/2005 6,710 10,438 7,593 1/31/2006 7,006 10,715 7,836 2/28/2006 6,865 10,744 7,758 3/31/2006 7,188 10,878 7,897 4/30/2006 7,075 11,024 7,807 5/31/2006 6,606 10,706 7,247 6/30/2006 6,597 10,721 7,125 7/31/2006 6,005 10,787 6,856 8/31/2006 6,519 11,044 7,423 9/30/2006 6,751 11,328 7,719 10/31/2006 7,152 11,697 8,037 11/30/2006 7,430 11,920 8,291 12/31/2006 7,361 12,087 8,178 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/24/01) -------------------------------------------------------------------------------- INTERNET FUND 9.70% 3.15% -5.32% S&P 500 INDEX 15.79% 6.19% 3.44% S&P 500 INFORMATION TECHNOLOGY INDEX 8.42% 0.68% -3.09% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 INFORMATION TECHNOLGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] INTERNET FUND OTHER 17% SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 29% DIVERSIFIED TELECOMMUNICATION SERVICES 26% CAPITAL MARKETS 13% COMMERCIAL SERVICES & SUPPLIES 8% HEALTH CARE TECHNOLOGY 7% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Cisco Systems, Inc. 10.2% Google, Inc. -- Class A 7.8% Time Warner, Inc. 7.3% Qualcomm, Inc. 5.8% eBay, Inc. 4.9% Yahoo!, Inc. 4.3% Research in Motion, Ltd. 3.9% Sun Microsystems, Inc. 3.3% Amazon.com, Inc. 3.3% Symantec Corp. 3.2% -------------------------------------------------------------------------------- Top Ten Total 54.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 46 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- LEISURE FUND OBJECTIVE: Seeks capital appreciation by investing in companies in the leisure and entertainment businesses. INCEPTION: May 22, 2001 Rebounding from last year's decline, casinos were by far the biggest winners this year. Gains in the movies & entertainment, hotels resorts & cruise lines and restaurant industries also made significant contributions to the fund's strong performance. The leisure facilities and broadcasting & cable TV industries both had rough years and were the only two industries to post negative returns in the sector. For the fourth time in five years, Rydex Leisure Fund (+23.47%) outperformed the S&P 500 Index (+15.79%). CUMULATIVE FUND PERFORMANCE: MAY 22, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500 CONSUMER DATE LEISURE FUND S&P 500 INDEX DISCRETIONARY INDEX* 5/22/2001 10,000 10,000 10,000 5/31/2001 9,528 9,595 9,536 6/30/2001 9,488 9,362 9,388 7/31/2001 8,792 9,270 9,415 8/31/2001 7,872 8,689 8,414 9/30/2001 6,136 7,988 7,346 10/31/2001 6,368 8,140 7,513 11/30/2001 6,980 8,764 8,530 12/31/2001 7,236 8,841 8,734 1/31/2002 7,504 8,712 8,656 2/28/2002 7,424 8,544 8,760 3/31/2002 7,828 8,865 8,917 4/30/2002 8,060 8,328 8,553 5/31/2002 8,020 8,267 8,533 6/30/2002 7,608 7,678 7,842 7/31/2002 7,000 7,079 6,919 8/31/2002 6,876 7,126 7,096 9/30/2002 6,292 6,351 6,482 10/31/2002 6,312 6,910 6,900 11/30/2002 6,572 7,317 7,234 12/31/2002 6,168 6,887 6,599 1/31/2003 5,908 6,707 6,382 2/28/2003 5,676 6,606 6,324 3/31/2003 5,912 6,670 6,494 4/30/2003 6,272 7,220 7,244 5/31/2003 6,688 7,600 7,609 6/30/2003 6,952 7,697 7,717 7/31/2003 7,180 7,833 7,882 8/31/2003 7,380 7,985 8,272 9/30/2003 7,320 7,901 7,875 10/31/2003 7,908 8,348 8,576 11/30/2003 8,124 8,421 8,648 12/31/2003 8,320 8,863 8,980 1/31/2004 8,580 9,025 8,907 2/29/2004 9,004 9,151 9,087 3/31/2004 9,148 9,013 9,073 4/30/2004 8,796 8,871 8,928 5/31/2004 8,708 8,993 8,987 6/30/2004 8,836 9,168 9,029 7/31/2004 8,500 8,864 8,668 8/31/2004 8,392 8,900 8,653 9/30/2004 8,812 8,997 8,903 10/31/2004 8,990 9,134 9,263 11/30/2004 9,615 9,504 9,629 12/31/2004 10,305 9,827 10,071 1/31/2005 10,111 9,588 9,650 2/28/2005 10,106 9,789 9,600 3/31/2005 10,131 9,616 9,477 4/30/2005 9,591 9,434 8,862 5/31/2005 10,033 9,734 9,376 6/30/2005 9,891 9,748 9,363 7/31/2005 10,098 10,110 9,885 8/31/2005 9,729 10,018 9,538 9/30/2005 9,504 10,099 9,259 10/31/2005 9,384 9,931 9,072 11/30/2005 9,839 10,306 9,416 12/31/2005 9,804 10,310 9,330 1/31/2006 10,308 10,583 9,491 2/28/2006 10,433 10,612 9,548 3/31/2006 10,888 10,744 9,581 4/30/2006 10,960 10,888 9,703 5/31/2006 10,580 10,575 9,546 6/30/2006 10,522 10,589 9,511 7/31/2006 9,808 10,654 9,189 8/31/2006 10,147 10,908 9,361 9/30/2006 10,746 11,189 9,960 10/31/2006 11,420 11,553 10,601 11/30/2006 11,848 11,773 10,706 12/31/2006 12,104 11,938 10,938 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/22/01) -------------------------------------------------------------------------------- LEISURE FUND 23.47% 10.84% 3.46% S&P 500 INDEX 15.79% 6.19% 3.21% S&P 500 CONSUMER DISCRETIONARY INDEX 18.64% 5.67% 2.63% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 CONSUMER DISCRETIONARY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] LEISURE FUND SOFTWARE 5% HOTELS RESTAURANTS & LEISURE 62% MEDIA 22% LEISURE EQUIPMENT & PRODUCTS 11% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Time Warner, Inc. 5.6% Walt Disney Co. 4.9% McDonald's Corp. 4.3% News Corp. -- Class A 3.9% Las Vegas Sands Corp. 3.5% Carnival Corp. 3.1% Viacom, Inc. -- Class B 3.0% Starbucks Corp. 2.9% Marriott International, Inc. -- Class A 2.7% MGM Mirage, Inc. 2.7% -------------------------------------------------------------------------------- Top Ten Total 36.6% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 47 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- PRECIOUS METALS FUND OBJECTIVE: To provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services. INCEPTION: May 29, 1997 Precious metals stocks were turbulent in 2006, but managed to outgain the broader S&P 500 Index for the year. After a strong start, gold stocks weakened in August, giving up significant gains. While they later recovered in September and posted a strong rally into late November 2006, gold stocks did not reach the highs set earlier in the year. Gold prices have been rising steadily since 2001 and in 2006 reached the highest average price level since 1980. Gold prices benefited from a lack of global production in the metal and a weakened dollar. The Fund's underweight in Newmont Mining (one of the worst performing stocks in the industry) and overweights in Agnico-Eagle and Silver Standard (two of the best performers) contributed to the Fund's outperformance. In general, smaller-cap stocks in this sector performed better than larger cap. This result added to performance as the fund has higher exposure to smaller-cap issues. Rydex Precious Metals Fund rose 21.43% during the year. CUMULATIVE FUND PERFORMANCE: MAY 29, 1997 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] PRECIOUS S&P 500 DATE METALS FUND S&P 500 INDEX MATERIALS INDEX* 5/29/1997 10,000 10,000 10,000 6/30/1997 8,870 10,500 10,368 9/30/1997 9,990 11,287 10,774 12/31/1997 7,020 11,611 9,790 3/31/1998 7,650 13,231 10,810 6/30/1998 6,610 13,667 10,407 9/30/1998 6,730 12,308 8,772 12/31/1998 5,810 14,929 9,009 3/31/1999 5,240 15,673 9,077 6/30/1999 5,740 16,778 10,894 9/30/1999 6,499 15,730 9,953 12/31/1999 5,602 18,070 11,078 3/31/2000 4,611 18,485 9,667 6/30/2000 4,797 17,994 8,177 9/30/2000 4,323 17,820 7,495 12/31/2000 4,446 16,425 9,114 3/31/2001 4,333 14,478 8,547 6/30/2001 4,890 15,325 9,414 9/30/2001 5,179 13,076 8,265 12/31/2001 5,024 14,473 9,206 3/31/2002 6,603 14,513 10,169 6/30/2002 6,819 12,569 9,899 9/30/2002 6,541 10,397 7,581 12/31/2002 7,314 11,274 8,497 3/31/2003 6,272 10,919 7,830 6/30/2003 7,139 12,600 8,848 9/30/2003 8,202 12,934 9,350 12/31/2003 10,306 14,508 11,450 3/31/2004 10,255 14,754 11,189 6/30/2004 8,129 15,008 11,409 9/30/2004 9,532 14,728 11,749 12/31/2004 8,841 16,087 12,686 3/31/2005 8,243 15,742 12,846 6/30/2005 8,057 15,957 11,566 9/30/2005 9,553 16,532 11,721 12/31/2005 10,688 16,877 12,958 3/31/2006 12,607 17,588 13,841 6/30/2006 12,266 17,334 13,697 9/30/2006 11,338 18,316 13,543 12/31/2006 12,978 19,543 14,997 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/29/97) -------------------------------------------------------------------------------- PRECIOUS METALS FUND 21.43% 20.90% 2.76% S&P 500 INDEX 15.79% 6.19% 7.24% S&P 500 MATERIALS INDEX 18.98% 13.00% 6.74% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 MATERIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] PRECIOUS METALS FUND METALS & MINING 100% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Goldcorp, Inc. 14.5% Newmont Mining Corp. 10.1% Freeport-McMoRan Copper & Gold, Inc. -- Class B 8.2% Barrick Gold Corp. 6.1% Agnico-Eagle Mines Ltd. 5.8% AngloGold Ashanti Ltd. -- SP ADR 5.0% Yamana Gold, Inc. 3.8% Gold Fields Ltd. -- SP ADR 3.7% Pan American Silver Corp. 3.3% Coeur d'Alene Mines Corp. 3.2% -------------------------------------------------------------------------------- Top Ten Total 63.7% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 48 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONTINUED) -------------------------------------------------------------------------------- REAL ESTATE FUND OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry including real estate investment trusts ("REIT"). INCEPTION: October 1, 2001 Since the end of 1999, real estate investment trusts (REITs) have easily outperformed the broader stock market and continued to surpass it in 2006. REITs, as measured by the S&P REIT Composite Index, gained 35.78% during the year while the S&P 500 Index rose 15.79%. Despite incremental Fed Funds rate increases during the year, growth in the economy and a high degree of acquisition activity helped this industry. Larger-cap stocks generally outperformed their smaller cap brethren in this sector, hurting fund performance compared to a purely cap-weighted index. Rydex Real Estate Fund gained 30.72% for the year vs. the S&P 500 Index. CUMULATIVE FUND PERFORMANCE OCTOBER 1, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P REIT REAL COMPOSITE S&P 500 DATE ESTATE FUND INDEX* INDEX 10/1/2001 10,000 10,000 10,000 10/31/2001 9,708 9,691 10,214 11/30/2001 10,208 10,168 10,998 12/31/2001 10,409 10,312 11,094 1/31/2002 10,284 10,295 10,932 2/28/2002 10,401 10,453 10,721 3/31/2002 10,975 11,005 11,124 4/30/2002 10,979 11,041 10,450 5/31/2002 11,100 11,123 10,373 6/30/2002 11,338 11,350 9,634 7/31/2002 10,757 10,736 8,883 8/31/2002 10,733 10,666 8,942 9/30/2002 10,276 10,161 7,970 10/31/2002 9,782 9,633 8,671 11/30/2002 10,231 10,034 9,182 12/31/2002 10,293 10,028 8,642 1/31/2003 9,963 9,693 8,416 2/28/2003 10,062 9,749 8,289 3/31/2003 10,215 9,876 8,370 4/30/2003 10,623 10,264 9,059 5/31/2003 11,122 10,815 9,537 6/30/2003 11,332 11,046 9,658 7/31/2003 11,914 11,583 9,829 8/31/2003 11,910 11,588 10,020 9/30/2003 12,280 11,895 9,914 10/31/2003 12,490 12,053 10,475 11/30/2003 13,019 12,498 10,567 12/31/2003 13,413 12,783 11,121 1/31/2004 13,923 13,296 11,325 2/29/2004 14,149 13,489 11,483 3/31/2004 14,956 14,184 11,309 4/30/2004 12,796 12,037 11,132 5/31/2004 13,683 12,855 11,285 6/30/2004 14,118 13,164 11,504 7/31/2004 14,118 13,147 11,123 8/31/2004 15,204 14,163 11,168 9/30/2004 15,198 14,065 11,289 10/31/2004 15,922 14,785 11,462 11/30/2004 16,610 15,342 11,926 12/31/2004 17,375 15,951 12,331 1/31/2005 15,995 14,547 12,031 2/28/2005 16,361 14,948 12,284 3/31/2005 16,004 14,588 12,066 4/30/2005 16,722 15,367 11,838 5/31/2005 17,298 15,843 12,214 6/30/2005 18,180 16,515 12,232 7/31/2005 19,231 17,646 12,686 8/31/2005 18,477 16,903 12,571 9/30/2005 18,488 16,908 12,672 10/31/2005 18,021 16,486 12,461 11/30/2005 18,724 17,093 12,933 12/31/2005 18,617 16,896 12,937 1/31/2006 19,883 18,143 13,280 2/28/2006 20,193 18,464 13,316 3/31/2006 21,209 19,258 13,481 4/30/2006 20,493 18,494 13,662 5/31/2006 19,786 17,920 13,269 6/30/2006 20,687 18,715 13,287 7/31/2006 21,163 19,323 13,369 8/31/2006 22,004 19,937 13,687 9/30/2006 22,355 20,227 14,040 10/31/2006 23,708 21,472 14,497 11/30/2006 24,637 22,429 14,773 12/31/2006 24,337 21,955 14,980 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (10/01/01) -------------------------------------------------------------------------------- REAL ESTATE FUND 30.72% 18.51% 18.46% S&P 500 INDEX 15.79% 6.19% 8.00% S&P REIT COMPOSITE INDEX 35.78% 23.17% 23.14% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P REIT COMPOSITE INDEX ARE UNMANGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] REAL ESTATE FUND REAL ESTATE MANAGEMENT & DEVELOPMENT 6% REAL ESTATE INVESTMENT TRUSTS 94% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Simon Property Group, Inc. 2.6% Equity Office Properties Trust 2.3% Vornado Realty Trust 2.3% Public Storage, Inc. 2.2% ProLogis 2.1% Equity Residential 2.0% Boston Properties, Inc. 1.9% General Growth Properties, Inc. 1.9% Host Hotels and Resorts, Inc. 1.9% Archstone-Smith Trust 1.9% -------------------------------------------------------------------------------- Top Ten Total 21.1% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 49 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONTINUED) -------------------------------------------------------------------------------- RETAILING FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, restaurant franchises, mail-order operations and other companies involved in selling products to consumers. INCEPTION: July 23, 2001 Despite falling unemployment rates, consumer confidence remained volatile throughout the year, but started to show signs of improvement toward year-end. While retail sales growth remained positive for most of the year, growth rates were lower than last year. Rydex Retailing Fund, up 10.08%, underperformed the S&P 500 Index (+15.79%). Catalog retail, department stores, automotive retail, and drug retail led the gainers. Negative performers included Internet retail and distributors. CUMULATIVE FUND PERFORMANCE: JULY 23, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] RETAILING S&P 500 CONSUMER S&P 500 DATE FUND DISCRETIONARY INDEX* INDEX 7/23/2001 10,000 10,000 10,000 7/31/2001 10,224 10,306 10,171 8/31/2001 9,400 9,211 9,534 9/30/2001 8,412 8,042 8,764 10/31/2001 8,628 8,225 8,932 11/30/2001 9,892 9,337 9,617 12/31/2001 10,260 9,561 9,701 1/31/2002 10,420 9,476 9,559 2/28/2002 10,408 9,589 9,375 3/31/2002 10,480 9,762 9,728 4/30/2002 10,300 9,364 9,138 5/31/2002 10,112 9,341 9,070 6/30/2002 9,520 8,584 8,424 7/31/2002 8,344 7,574 7,768 8/31/2002 8,600 7,769 7,819 9/30/2002 7,833 7,096 6,969 10/31/2002 8,436 7,553 7,582 11/30/2002 8,780 7,919 8,029 12/31/2002 8,012 7,224 7,557 1/31/2003 7,696 6,986 7,359 2/28/2003 7,538 6,923 7,249 3/31/2003 7,783 7,109 7,319 4/30/2003 8,598 7,930 7,922 5/31/2003 8,992 8,330 8,339 6/30/2003 9,316 8,448 8,446 7/31/2003 9,798 8,629 8,594 8/31/2003 10,624 9,055 8,762 9/30/2003 9,958 8,621 8,669 10/31/2003 10,979 9,388 9,159 11/30/2003 11,146 9,468 9,240 12/31/2003 10,838 9,831 9,725 1/31/2004 10,775 9,750 9,903 2/29/2004 11,409 9,947 10,041 3/31/2004 11,434 9,932 9,889 4/30/2004 11,004 9,773 9,734 5/31/2004 11,179 9,838 9,868 6/30/2004 11,317 9,884 10,060 7/31/2004 10,658 9,488 9,727 8/31/2004 10,412 9,473 9,766 9/30/2004 10,639 9,747 9,872 10/31/2004 10,939 10,141 10,022 11/30/2004 11,529 10,541 10,428 12/31/2004 11,928 11,025 10,783 1/31/2005 11,637 10,564 10,520 2/28/2005 11,771 10,510 10,741 3/31/2005 12,075 10,374 10,551 4/30/2005 11,243 9,701 10,351 5/31/2005 12,223 10,264 10,680 6/30/2005 12,613 10,249 10,696 7/31/2005 13,297 10,821 11,093 8/31/2005 12,375 10,442 10,992 9/30/2005 11,867 10,136 11,081 10/31/2005 11,940 9,931 10,896 11/30/2005 12,653 10,308 11,309 12/31/2005 12,581 10,214 11,312 1/31/2006 12,924 10,389 11,612 2/28/2006 12,933 10,453 11,644 3/31/2006 13,308 10,489 11,788 4/30/2006 13,331 10,622 11,947 5/31/2006 12,807 10,450 11,603 6/30/2006 12,735 10,412 11,619 7/31/2006 12,080 10,059 11,690 8/31/2006 12,337 10,248 11,968 9/30/2006 13,241 10,904 12,277 10/31/2006 13,846 11,605 12,677 11/30/2006 13,792 11,720 12,918 12/31/2006 13,849 11,974 13,099 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (07/23/01) -------------------------------------------------------------------------------- RETAILING FUND 10.08% 6.18% 6.17% S&P 500 INDEX 15.79% 6.19% 5.09% S&P 500 CONSUMER DISCRETIONARY INDEX 18.64% 5.67% 4.41% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 CONSUMER DISCRETIONARY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] RETAILING FUND OTHER 2% SPECIALTY RETAIL 56% MULTILINE RETAIL 19% FOOD & STAPLES RETAILING 15% INTERNET & CATALOG RETAIL 8% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Wal-Mart Stores, Inc. 5.8% Home Depot, Inc. 4.1% Lowe's Cos. Inc. 3.1% Target Corp. 3.1% Walgreen Co. 3.0% Sears Holdings Corp. 2.3% Costco Wholesale Corp. 2.2% CVS Corp. 2.1% Kohl's Corp. 2.1% Best Buy Co., Inc. 2.0% -------------------------------------------------------------------------------- Top Ten Total 29.8% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 50 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONTINUED) -------------------------------------------------------------------------------- TECHNOLOGY FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies. INCEPTION: May 2, 2001 Volatility, both at market level and intra sector, hit a multi-year low level during 2006. In terms of both breadth and performance, the technology sector was one of the worst performers. During the market slide between mid-April and mid-July, the sector lost about 20% and then rebounded about 20% when the market recovered later. Hardware and software stocks both returned double digits, while semiconductors and semiconductor equipment were flat. Amid this environment, Rydex Technology Fund returned 5.89% for the year. CUMULATIVE FUND PERFORMANCE: MAY 2, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] TECHNOLOGY S&P 500 INFORMATION S&P 500 DATE FUND TECHNOLOGY INDEX* INDEX 5/2/2001 10,000 10,000 10,000 5/31/2001 8,972 9,007 9,923 6/30/2001 8,896 9,111 9,682 7/31/2001 8,220 8,569 9,587 8/31/2001 7,112 7,487 8,986 9/30/2001 5,640 6,014 8,261 10/31/2001 6,524 7,059 8,418 11/30/2001 7,596 8,262 9,064 12/31/2001 7,444 8,100 9,143 1/31/2002 7,408 8,211 9,010 2/28/2002 6,432 7,058 8,836 3/31/2002 6,820 7,495 9,169 4/30/2002 6,032 6,566 8,613 5/31/2002 5,776 6,312 8,549 6/30/2002 4,992 5,543 7,940 7/31/2002 4,500 5,081 7,321 8/31/2002 4,480 5,018 7,369 9/30/2002 3,651 4,137 6,568 10/31/2002 4,524 5,059 7,147 11/30/2002 5,419 5,910 7,567 12/31/2002 4,533 5,056 7,123 1/31/2003 4,482 4,971 6,936 2/28/2003 4,542 5,091 6,832 3/31/2003 4,496 5,029 6,898 4/30/2003 4,962 5,482 7,467 5/31/2003 5,707 5,941 7,860 6/30/2003 5,725 5,937 7,960 7/31/2003 6,127 6,265 8,101 8/31/2003 6,785 6,621 8,259 9/30/2003 6,506 6,576 8,171 10/31/2003 7,170 7,110 8,633 11/30/2003 7,307 7,220 8,709 12/31/2003 7,312 7,410 9,166 1/31/2004 7,705 7,668 9,334 2/29/2004 7,524 7,416 9,464 3/31/2004 7,391 7,217 9,321 4/30/2004 6,855 6,880 9,175 5/31/2004 7,239 7,219 9,300 6/30/2004 7,361 7,417 9,481 7/31/2004 6,580 6,857 9,168 8/31/2004 6,207 6,487 9,205 9/30/2004 6,454 6,675 9,304 10/31/2004 6,821 7,024 9,446 11/30/2004 7,183 7,361 9,829 12/31/2004 7,396 7,569 10,163 1/31/2005 6,920 7,171 9,915 2/28/2005 6,969 7,170 10,124 3/31/2005 6,794 7,003 9,945 4/30/2005 6,514 6,726 9,756 5/31/2005 7,139 7,243 10,067 6/30/2005 7,018 7,115 10,081 7/31/2005 7,462 7,532 10,456 8/31/2005 7,374 7,509 10,360 9/30/2005 7,468 7,528 10,444 10/31/2005 7,380 7,363 10,270 11/30/2005 7,747 7,829 10,659 12/31/2005 7,626 7,597 10,662 1/31/2006 7,994 7,840 10,945 2/28/2006 7,928 7,762 10,974 3/31/2006 8,114 7,902 11,111 4/30/2006 8,092 7,811 11,260 5/31/2006 7,500 7,251 10,936 6/30/2006 7,342 7,129 10,951 7/31/2006 6,991 6,860 11,018 8/31/2006 7,484 7,427 11,281 9/30/2006 7,714 7,723 11,571 10/31/2006 7,972 8,041 11,948 11/30/2006 8,191 8,295 12,176 12/31/2006 8,076 8,182 12,346 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/02/01) -------------------------------------------------------------------------------- TECHNOLOGY FUND 5.89% 1.64% -3.70% S&P 500 INDEX 15.79% 6.19% 3.79% S&P 500 INFORMATION TECHNOLOGY INDEX 8.42% 0.68% -3.04% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 INFORMATION TECHNOLOGY INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] TECHNOLOGY FUND OTHER 1% SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 23% SOFTWARE 19% COMPUTERS & PERIPHERALS 14% IT SERVICES 13% ELECTRONIC EQUIPMENT & INSTRUMENTS 12% COMMUNICATIONS EQUIPMENT 11% INTERNET SOFTWARE & SERVICES 7% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Microsoft Corp. 2.8% Cisco Systems, Inc. 2.1% Google, Inc. -- Class A 2.1% International Business Machines Corp. 2.1% Intel Corp. 2.0% Apple Computer, Inc. 1.8% Oracle Corp. 1.8% Hewlett-Packard Co. 1.7% Dell Inc. 1.6% Qualcomm, Inc. 1.6% -------------------------------------------------------------------------------- Top Ten Total 19.6% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 51 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- TELECOMMUNICATIONS FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the development, manufacture or sale of communications services or communications equipment. INCEPTION: July 27, 2001 In contrast to 2005, the telecommunications sector was the best-performing sector in 2006. One of the sector's three industries, diversified telecommunication services, generated a 45% return during the year; the wireless sector returned 24%. The third industry, diversified telecommunication services, saw a wave of merger & acquisition as companies fought for market share. Rydex Telecommunications Fund returned 19.51% for the year, besting the S&P 500 Index (+15.79%). CUMULATIVE FUND PERFORMANCE: JULY 27, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500 TELECOMMUNICATIONS S&P 500 TELECOMMUNICATION DATE FUND INDEX SERVICES INDEX* 7/27/2001 10,000 10,000 10,000 7/31/2001 9,960 10,045 9,837 8/31/2001 8,932 9,416 8,924 9/30/2001 8,804 8,656 9,430 10/31/2001 8,524 8,821 8,154 11/30/2001 9,092 9,498 8,301 12/31/2001 9,024 9,581 8,440 1/31/2002 8,180 9,441 7,753 2/28/2002 7,292 9,259 7,253 3/31/2002 7,216 9,607 7,097 4/30/2002 6,076 9,025 5,965 5/31/2002 5,936 8,958 6,182 6/30/2002 5,176 8,320 5,406 7/31/2002 4,576 7,672 4,703 8/31/2002 4,668 7,722 4,620 9/30/2002 3,948 6,883 3,966 10/31/2002 5,148 7,489 5,230 11/30/2002 6,188 7,929 5,858 12/31/2002 5,452 7,464 5,411 1/31/2003 5,420 7,268 5,033 2/28/2003 5,184 7,159 4,612 3/31/2003 5,096 7,228 4,595 4/30/2003 5,588 7,824 5,008 5/31/2003 6,188 8,236 5,344 6/30/2003 6,216 8,341 5,535 7/31/2003 6,232 8,488 5,196 8/31/2003 6,488 8,654 5,196 9/30/2003 6,512 8,562 4,976 10/31/2003 6,992 9,046 5,200 11/30/2003 7,068 9,126 5,135 12/31/2003 7,288 9,604 5,589 1/31/2004 8,072 9,781 5,795 2/29/2004 8,220 9,917 5,910 3/31/2004 7,936 9,767 5,821 4/30/2004 7,372 9,614 5,788 5/31/2004 7,444 9,746 5,550 6/30/2004 7,720 9,935 5,718 7/31/2004 7,204 9,606 5,897 8/31/2004 7,120 9,645 5,964 9/30/2004 7,392 9,750 6,034 10/31/2004 7,676 9,899 6,088 11/30/2004 8,072 10,299 6,329 12/31/2004 8,212 10,650 6,482 1/31/2005 7,640 10,390 5,989 2/28/2005 7,588 10,609 6,028 3/31/2005 7,376 10,421 5,924 4/30/2005 7,284 10,223 5,932 5/31/2005 7,700 10,548 6,003 6/30/2005 7,800 10,563 6,080 7/31/2005 8,256 10,956 6,270 8/31/2005 8,232 10,856 6,052 9/30/2005 8,405 10,944 5,960 10/31/2005 8,135 10,762 5,836 11/30/2005 8,453 11,169 6,123 12/31/2005 8,308 11,173 5,895 1/31/2006 8,771 11,468 6,087 2/28/2006 8,944 11,500 6,486 3/31/2006 9,465 11,643 6,684 4/30/2006 9,403 11,799 6,490 5/31/2006 8,824 11,459 6,294 6/30/2006 8,811 11,475 6,590 7/31/2006 8,493 11,546 6,868 8/31/2006 9,023 11,821 6,946 9/30/2006 9,306 12,125 7,224 10/31/2006 9,558 12,520 7,474 11/30/2006 9,747 12,758 7,450 12/31/2006 9,929 12,937 7,789 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (07/27/01) -------------------------------------------------------------------------------- TELECOMMUNICATIONS FUND 19.51% 1.93% -0.13% S&P 500 INDEX 15.79% 6.19% 4.86% S&P 500 TELECOMMUNICATION SERVICES INDEX 36.74% 1.82% -1.36% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 TELECOMMUNICATION SERVICES INDEX ARE UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] TELECOMMUNICATIONS FUND COMMUNICATIONS EQUIPMENT 49% DIVERSIFIED TELECOMMUNICATION SERVICES 28% WIRELESS TELECOMMUNICATION SERVICES 23% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Cisco Systems, Inc. 7.3% Vodafone Group, Inc. -- SP ADR 6.9% AT&T, Inc. 6.4% Verizon Communications, Inc. 5.4% BellSouth Corp. 5.1% Nokia OYJ -- SP ADR 4.8% Alcatel SA -- SP ADR 4.5% Qualcomm, Inc. 4.2% Sprint Nextel Corp. 4.0% Motorola, Inc. 3.3% -------------------------------------------------------------------------------- Top Ten Total 51.9% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 52 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- TRANSPORTATION FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution or sale of transportation equipment. INCEPTION: June 11, 2001 The transportation industry underperformed the S&P 500 Index in 2006, negatively impacted from the poor performance of airline stocks. Fuel costs, high capacity and mounting labor costs drove stock prices down for legacy air carriers such as United and Continental. Railroad stocks were among the best performers in the group. Solid import volumes helped offset weakness in other freight in need of transportation. Pricing power remained solid and revenues per freight car showed continued year-over-year growth. Rydex Transportation Fund was up 7.38% for the year, though--like the industry as a whole--it underperformed the S&P 500 Index. CUMULATIVE FUND PERFORMANCE: JUNE 11, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] S&P 500 TRANSPORTATION S&P 500 INDUSTRIALS DATE FUND INDEX INDEX* 6/11/2001 10,000 10,000 10,000 6/30/2001 10,008 9,766 9,810 7/31/2001 10,184 9,670 9,473 8/31/2001 9,760 9,064 9,056 9/30/2001 8,112 8,332 7,934 10/31/2001 8,392 8,491 8,091 11/30/2001 9,448 9,143 8,838 12/31/2001 9,760 9,223 9,224 1/31/2002 10,312 9,088 8,735 2/28/2002 10,412 8,913 8,937 3/31/2002 10,584 9,248 9,071 4/30/2002 9,704 8,687 8,221 5/31/2002 9,820 8,623 8,233 6/30/2002 9,748 8,009 7,750 7/31/2002 8,652 7,385 7,418 8/31/2002 8,404 7,433 7,248 9/30/2002 8,004 6,625 6,366 10/31/2002 8,484 7,209 6,607 11/30/2002 8,780 7,633 7,018 12/31/2002 8,620 7,184 6,681 1/31/2003 7,940 6,996 6,355 2/28/2003 7,608 6,891 6,239 3/31/2003 7,860 6,958 6,315 4/30/2003 8,704 7,531 6,984 5/31/2003 8,972 7,928 7,166 6/30/2003 8,904 8,029 7,280 7/31/2003 9,316 8,171 7,488 8/31/2003 9,568 8,330 7,794 9/30/2003 9,508 8,242 7,576 10/31/2003 10,204 8,708 8,000 11/30/2003 10,200 8,785 8,109 12/31/2003 10,388 9,245 8,668 1/31/2004 9,900 9,415 8,761 2/29/2004 9,888 9,546 8,664 3/31/2004 9,936 9,402 8,544 4/30/2004 10,004 9,254 8,528 5/31/2004 10,220 9,381 8,719 6/30/2004 11,000 9,564 9,225 7/31/2004 10,444 9,247 9,030 8/31/2004 10,440 9,285 8,998 9/30/2004 10,838 9,385 9,180 10/31/2004 11,700 9,528 9,278 11/30/2004 12,337 9,914 9,807 12/31/2004 12,776 10,251 10,050 1/31/2005 11,927 10,001 9,778 2/28/2005 12,102 10,212 9,821 3/31/2005 11,931 10,031 9,846 4/30/2005 11,005 9,841 9,545 5/31/2005 11,663 10,154 9,757 6/30/2005 11,289 10,168 9,473 7/31/2005 12,224 10,547 9,786 8/31/2005 11,793 10,450 9,548 9/30/2005 12,140 10,535 9,655 10/31/2005 12,616 10,359 9,544 11/30/2005 13,605 10,751 10,074 12/31/2005 13,860 10,755 10,086 1/31/2006 14,514 11,040 10,040 2/28/2006 14,628 11,070 10,278 3/31/2006 15,125 11,207 10,743 4/30/2006 15,278 11,358 10,958 5/31/2006 15,155 11,031 10,765 6/30/2006 16,008 11,046 10,693 7/31/2006 14,081 11,114 10,126 8/31/2006 13,677 11,379 10,244 9/30/2006 14,174 11,672 10,631 10/31/2006 15,112 12,052 10,874 11/30/2006 15,346 12,281 11,107 12/31/2006 14,883 12,454 11,198 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (06/11/01) -------------------------------------------------------------------------------- TRANSPORTATION FUND 7.38% 8.81% 7.42% S&P 500 INDEX 15.79% 6.19% 4.03% S&P 500 INDUSTRIALS INDEX 13.29% 5.90% 3.94% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 INDUSTRIALS INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] TRANSPORTATION FUND OTHER 3% ROAD & RAIL 46% AIR FREIGHT & LOGISTICS 26% AIRLINES 25% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- United Parcel Service, Inc. -- Class B 8.8% FedEx Corp. 7.0% Burlington Northern Santa Fe Corp. 6.3% Union Pacific Corp. 6.2% Norfolk Southern Corp. 6.0% CSX Corp. 4.9% Southwest Airlines Co. 4.1% AMR Corp. 3.5% Expeditors International Washington, Inc. 3.4% UAL Corp. 3.4% -------------------------------------------------------------------------------- Top Ten Total 53.6% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 53 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- UTILITIES FUND OBJECTIVE: Seeks capital appreciation by investing in companies that operate public utiltities. INCEPTION: May 2, 2001 Over the course of 2006, a more benign interest rate environment became apparent and some concerns over a slowdown in economic growth arose. These conditions benefited utility stocks, which typically have higher dividend yields than other equities and are viewed as a safe haven in times of market uncertainty. The regulatory front improved with the repeal of the Public Utility Holding Company Act, leading to some expectation that it would promote further industry consolidation. Still, there were some stumbling blocks. The planned mergers of Exelon and Public Service Enterprise Group and of FPL Group and Constellation Energy were terminated. These events raised questions regarding the successful navigation of the regulatory approval process. Additionally, there was heated political backlash in states like Maryland and Illinois due to proposed (and rather sharp) rate hikes that were associated with the expiration of pricing freezes. The utilities sector posted a solid performance against the broader S&P 500 Index. Likewise, Rydex Utilities Fund performed well, gaining 20.96% vs. the S&P 500 Index's 15.79%. CUMULATIVE FUND PERFORMANCE: MAY 2, 2001 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE UTILITIES S&P 500 S&P 500 FUND INDEX UTILITIES INDEX* 5/2/2001 10,000 10,000 10,000 5/31/2001 9,904 9,923 9,888 6/30/2001 9,124 9,682 9,084 7/31/2001 8,672 9,587 8,656 8/31/2001 8,460 8,986 8,382 9/30/2001 7,548 8,261 7,395 10/31/2001 7,500 8,418 7,360 11/30/2001 7,072 9,064 6,932 12/31/2001 7,292 9,143 7,091 1/31/2002 6,736 9,010 6,669 2/28/2002 6,528 8,836 6,491 3/31/2002 7,276 9,169 7,263 4/30/2002 7,144 8,613 7,118 5/31/2002 6,516 8,549 6,454 6/30/2002 6,032 7,940 5,975 7/31/2002 5,156 7,321 5,130 8/31/2002 5,336 7,369 5,288 9/30/2002 4,674 6,568 4,589 10/31/2002 4,646 7,147 4,490 11/30/2002 4,778 7,567 4,581 12/31/2002 4,898 7,123 4,752 1/31/2003 4,774 6,936 4,593 2/28/2003 4,562 6,832 4,349 3/31/2003 4,798 6,898 4,549 4/30/2003 5,254 7,467 4,934 5/31/2003 5,803 7,860 5,419 6/30/2003 5,791 7,960 5,466 7/31/2003 5,475 8,101 5,093 8/31/2003 5,563 8,259 5,165 9/30/2003 5,785 8,171 5,383 10/31/2003 5,867 8,633 5,427 11/30/2003 5,896 8,709 5,407 12/31/2003 6,142 9,166 5,754 1/31/2004 6,257 9,334 5,861 2/29/2004 6,339 9,464 5,949 3/31/2004 6,368 9,321 5,993 4/30/2004 6,175 9,175 5,759 5/31/2004 6,270 9,300 5,786 6/30/2004 6,376 9,481 5,857 7/31/2004 6,331 9,168 5,940 8/31/2004 6,549 9,205 6,155 9/30/2004 6,607 9,304 6,193 10/31/2004 6,761 9,446 6,480 11/30/2004 7,048 9,829 6,724 12/31/2004 7,206 10,163 6,882 1/31/2005 7,268 9,915 7,014 2/28/2005 7,397 10,124 7,132 3/31/2005 7,426 9,945 7,188 4/30/2005 7,488 9,756 7,398 5/31/2005 7,717 10,067 7,383 6/30/2005 8,107 10,081 7,788 7/31/2005 8,307 10,456 7,948 8/31/2005 8,328 10,360 7,984 9/30/2005 8,585 10,444 8,284 10/31/2005 8,000 10,270 7,751 11/30/2005 7,933 10,659 7,698 12/31/2005 7,967 10,662 7,760 1/31/2006 8,188 10,945 7,942 2/28/2006 8,263 10,974 7,995 3/31/2006 8,004 11,111 7,602 4/30/2006 8,121 11,260 7,709 5/31/2006 8,176 10,936 7,796 6/30/2006 8,368 10,951 7,962 7/31/2006 8,789 11,018 8,345 8/31/2006 8,994 11,281 8,537 9/30/2006 8,797 11,571 8,376 10/31/2006 9,290 11,948 8,822 11/30/2006 9,590 12,176 8,987 12/31/2006 9,637 12,346 9,070 * DATA POINTS FOR THE LINE GRAPH DO NOT REFLECT THE REINVESTMENT OF DIVIDENDS ON SECURITIES IN THE INDEX. AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE FIVE INCEPTION YEAR YEAR (05/02/01) -------------------------------------------------------------------------------- UTILITIES FUND 20.96% 5.74% -0.65% S&P 500 INDEX 15.79% 6.19% 3.79% S&P 500 UTILITIES INDEX 20.99% 9.20% 2.12% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX AND THE S&P 500 UTILITIES INDEX ARE UNMANAGED STOCK INDICES AND, UNLIKE THE FUND, HAVE NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE THEIR REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] UTILITIES FUND OTHER 1% ELECTRIC UTILITIES 39% MULTI-UTILITIES 34% GAS UTILITIES 15% INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 11% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Duke Energy Corp. 3.4% Exelon Corp. 3.2% Dominion Resources, Inc. 2.8% Southern Co. 2.7% FPL Group, Inc. 2.6% Entergy Corp. 2.4% TXU Corp. 2.3% FirstEnergy Corp. 2.3% American Electric Power Co., Inc. 2.2% PG&E Corp. 2.1% -------------------------------------------------------------------------------- Top Ten Total 26.0% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 54 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- NOVA FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 66.9% FINANCIALS 14.7% DIVERSIFIED FINANCIALS 4.4% Citigroup, Inc. 41,920 $ 2,334,944 Bank of America Corp. 38,390 2,049,642 J.P. Morgan Chase & Co. 32,090 1,549,947 ------------- TOTAL DIVERSIFIED FINANCIALS 5,934,533 ------------- INSURANCE 3.9% American International Group, Inc. 13,180 944,479 MetLife, Inc. 11,420 673,894 Hartford Financial Services Group, Inc.+ 6,050 564,525 ACE Ltd. 8,550 517,874 Lincoln National Corp. 7,620 505,968 Genworth Financial, Inc. -- Class A 14,120 483,045 Ambac Financial Group, Inc. 4,810 428,427 Cincinnati Financial Corp. 8,880 402,353 Allstate Corp.+ 5,910 384,800 Loews Corp. 9,110 377,792 ------------- TOTAL INSURANCE 5,283,157 ------------- BANKS 2.8% Wells Fargo & Co.+ 33,240 1,182,014 Wachovia Corp. 19,961 1,136,779 PNC Financial Services Group, Inc.+ 7,040 521,242 KeyCorp 12,280 467,008 Zions Bancorporation 3,190 262,984 Regions Financial Corp. 1,970 73,678 U.S. Bancorp+ 1,960 70,932 ------------- TOTAL BANKS 3,714,637 ------------- CAPITAL MARKETS 1.9% Charles Schwab Corp. 26,640 515,217 Mellon Financial Corp.+ 11,720 493,998 Ameriprise Financial, Inc. 8,290 451,805 E*Trade Financial Corp.* 18,230 408,717 Morgan Stanley+ 2,970 241,847 Goldman Sachs Group, Inc.+ 1,200 239,220 Merrill Lynch & Co., Inc.+ 2,260 210,406 ------------- TOTAL CAPITAL MARKETS 2,561,210 ------------- THRIFTS & MORTGAGE FINANCE 0.9% Washington Mutual, Inc.+ 9,060 412,140 MGIC Investment Corp.+ 6,560 410,262 Countrywide Financial Corp.+ 7,690 326,441 Fannie Mae+ 870 51,669 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,200,512 ------------- CONSUMER FINANCE 0.5% Capital One Financial Corp. 7,421 570,081 American Express Co. 2,530 153,495 ------------- TOTAL CONSUMER FINANCE 723,576 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- REAL ESTATE 0.3% Boston Properties, Inc.+ 3,820 $ 427,382 ------------- TOTAL REAL ESTATE 427,382 ------------- TOTAL FINANCIALS 19,845,007 ------------- INFORMATION TECHNOLOGY 10.3% COMPUTERS & PERIPHERALS 2.4% International Business Machines Corp. 14,560 1,414,504 Hewlett-Packard Co. 28,220 1,162,382 NCR Corp.*+ 5,843 249,847 Apple Computer, Inc.* 2,090 177,315 Dell, Inc.*+ 2,980 74,768 SanDisk Corp.*+ 1,480 63,684 Lexmark International, Inc.* 590 43,188 ------------- TOTAL COMPUTERS & PERIPHERALS 3,185,688 ------------- SOFTWARE 2.1% Microsoft Corp. 48,560 1,450,002 Oracle Corp.* 41,160 705,482 Compuware Corp.* 37,840 315,207 Symantec Corp.*+ 14,560 303,576 Citrix Systems, Inc.*+ 2,690 72,765 ------------- TOTAL SOFTWARE 2,847,032 ------------- COMMUNICATIONS EQUIPMENT 1.9% Cisco Systems, Inc.* 29,640 810,061 Motorola, Inc.+ 31,740 652,574 Avaya, Inc.*+ 31,010 433,520 Tellabs, Inc.* 38,426 394,251 Comverse Technology, Inc.*+ 6,270 132,360 Qualcomm, Inc. 2,290 86,539 ------------- TOTAL COMMUNICATIONS EQUIPMENT 2,509,305 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.6% Intel Corp.* 23,630 478,507 Micron Technology, Inc.*+ 29,580 412,937 Novellus Systems, Inc.*+ 11,800 406,156 Teradyne, Inc.*+ 25,530 381,929 National Semiconductor Corp.+ 16,720 379,544 Altera Corp.* 7,300 143,664 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,202,737 ------------- IT CONSULTING & SERVICES 1.1% First Data Corp.+ 19,830 506,062 Sabre Holdings Corp. 13,730 437,850 Convergys Corp.* 15,730 374,059 Electronic Data Systems Corp.+ 6,920 190,646 ------------- TOTAL IT CONSULTING & SERVICES 1,508,617 ------------- INTERNET SOFTWARE & SERVICES 0.5% VeriSign, Inc.* 15,730 378,306 Google, Inc. -- Class A*+ 750 345,360 ------------- TOTAL INTERNET SOFTWARE & SERVICES 723,666 ------------- OFFICE ELECTRONICS 0.4% Xerox Corp.* 28,460 482,397 ------------- TOTAL OFFICE ELECTRONICS 482,397 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 55 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- NOVA FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3% Symbol Technologies, Inc. 25,270 $ 377,534 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 377,534 ------------- TOTAL INFORMATION TECHNOLOGY 13,836,976 ------------- HEALTH CARE 8.0% PHARMACEUTICALS 4.1% Pfizer, Inc. 63,960 1,656,564 Johnson & Johnson, Inc. 15,580 1,028,592 Wyeth 13,070 665,524 Merck & Co., Inc.+ 13,070 569,852 Watson Pharmaceuticals, Inc.* 14,480 376,914 Barr Pharmaceuticals, Inc.*+ 7,350 368,382 Bristol-Myers Squibb Co. 10,070 265,042 Forest Laboratories, Inc.*+ 3,820 193,292 Mylan Laboratories, Inc.+ 9,610 191,816 Abbott Laboratories 3,460 168,537 Eli Lilly & Co. 770 40,117 ------------- TOTAL PHARMACEUTICALS 5,524,632 ------------- HEALTH CARE PROVIDERS & SERVICES 2.2% UnitedHealth Group, Inc. 9,790 526,017 Aetna, Inc. 11,760 507,797 Quest Diagnostics, Inc. 7,830 414,990 AmerisourceBergen Corp. 9,140 410,934 Humana, Inc.* 7,050 389,935 Coventry Health Care, Inc.*+ 7,220 361,361 CIGNA Corp. 1,370 180,251 Laboratory Corporation of America Holdings*+ 1,980 145,471 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,936,756 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.0% Boston Scientific Corp.* 21,070 361,982 Zimmer Holdings, Inc.*+ 4,170 326,845 Medtronic, Inc.+ 5,180 277,182 Becton, Dickinson & Co. 3,220 225,883 Thermo Fisher Scientific, Inc.* 3,610 163,497 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,355,389 ------------- BIOTECHNOLOGY 0.7% Amgen, Inc.* 12,910 881,882 Biogen Idec, Inc.* 1,850 91,001 ------------- TOTAL BIOTECHNOLOGY 972,883 ------------- TOTAL HEALTH CARE 10,789,660 ------------- CONSUMER DISCRETIONARY 7.2% MEDIA 2.2% Walt Disney Co.+ 25,380 869,772 Comcast Corp. -- Class A*+ 11,690 494,838 Omnicom Group, Inc.+ 4,620 482,975 Gannett Co., Inc. 7,560 457,078 Meredith Corp.+ 6,810 383,743 Time Warner, Inc.+ 11,354 247,290 ------------- TOTAL MEDIA 2,935,696 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- SPECIALTY RETAIL 1.6% TJX Cos., Inc.+ 15,490 $ 441,775 The Gap, Inc.+ 21,680 422,760 Sherwin-Williams Co.+ 6,470 411,362 Office Depot, Inc.* 10,416 397,579 OfficeMax, Inc. 6,380 316,767 Home Depot, Inc. 5,410 217,266 ------------- TOTAL SPECIALTY RETAIL 2,207,509 ------------- MULTILINE RETAIL 1.3% Federated Department Stores, Inc. 12,530 477,769 Big Lots, Inc.*+ 16,980 389,181 Dillard's, Inc. -- Class A+ 10,330 361,240 J.C. Penney Co., Inc.+ 4,300 332,648 Kohl's Corp.* 2,790 190,920 Nordstrom, Inc.+ 290 14,309 ------------- TOTAL MULTILINE RETAIL 1,766,067 ------------- HOUSEHOLD DURABLES 0.9% Lennar Corp. -- Class A+ 7,700 403,942 Stanley Works+ 7,560 380,193 Whirlpool Corp.+ 4,040 335,401 Black & Decker Corp.+ 420 33,587 ------------- TOTAL HOUSEHOLD DURABLES 1,153,123 ------------- HOTELS, RESTAURANTS & LEISURE 0.4% Wyndham Worldwide Corp.* 7,620 243,992 McDonald's Corp. 3,160 140,083 Starwood Hotels & Resorts Worldwide, Inc. 1,750 109,375 Darden Restaurants, Inc.+ 2,010 80,742 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 574,192 ------------- INTERNET & CATALOG RETAIL 0.3% IAC/InterActiveCorp*+ 11,400 423,624 ------------- TOTAL INTERNET & CATALOG RETAIL 423,624 ------------- COMMERCIAL SERVICES & SUPPLIES 0.2% Apollo Group, Inc. -- Class A*+ 7,750 302,017 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 302,017 ------------- AUTOMOBILES 0.2% Harley-Davidson, Inc.+ 3,010 212,115 ------------- TOTAL AUTOMOBILES 212,115 ------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Mattel, Inc. 3,450 78,177 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 78,177 ------------- TEXTILES & APPAREL 0.0% VF Corp. 700 57,456 ------------- TOTAL TEXTILES & APPAREL 57,456 ------------- TOTAL CONSUMER DISCRETIONARY 9,709,976 ------------- INDUSTRIALS 7.2% INDUSTRIAL CONGLOMERATES 2.4% General Electric Co. 62,540 2,327,113 Tyco International Ltd. 25,880 786,752 3M Co. 850 66,241 ------------- TOTAL INDUSTRIAL CONGLOMERATES 3,180,106 ------------- See Notes to Financial Statements. 56 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- NOVA FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AEROSPACE & DEFENSE 1.7% Lockheed Martin Corp. 6,410 $ 590,169 General Dynamics Corp. 7,550 561,342 Northrop Grumman Corp. 7,670 519,259 Raytheon Co. 6,380 336,864 United Technologies Corp. 2,650 165,678 Boeing Co. 1,620 143,921 ------------- TOTAL AEROSPACE & DEFENSE 2,317,233 ------------- MACHINERY 1.4% Caterpillar, Inc.+ 10,390 637,219 Dover Corp. 8,620 422,552 Eaton Corp.+ 5,190 389,977 Cummins, Inc.+ 3,196 377,703 Terex Corp.*+ 660 42,623 ------------- TOTAL MACHINERY 1,870,074 ------------- ROAD & RAIL 0.7% Union Pacific Corp. 5,790 532,796 CSX Corp. 12,920 444,835 ------------- TOTAL ROAD & RAIL 977,631 ------------- COMMERCIAL SERVICES & SUPPLIES 0.4% Waste Management, Inc. 9,070 333,504 Allied Waste Industries, Inc.*+ 20,780 255,386 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 588,890 ------------- AIR FREIGHT & COURIERS 0.4% FedEx Corp.+ 2,510 272,636 United Parcel Service, Inc. -- Class B+ 3,010 225,690 ------------- TOTAL AIR FREIGHT & COURIERS 498,326 ------------- ELECTRICAL EQUIPMENT 0.2% Cooper Industries Ltd. -- Class A 2,400 217,032 ------------- TOTAL ELECTRICAL EQUIPMENT 217,032 ------------- BUILDING PRODUCTS 0.0% Masco Corp. 360 10,753 ------------- TOTAL BUILDING PRODUCTS 10,753 ------------- TOTAL INDUSTRIALS 9,660,045 ------------- ENERGY 6.6% OIL & GAS 5.6% Exxon Mobil Corp.+ 41,870 3,208,498 ConocoPhillips 11,740 844,693 Chevron Corp. 10,602 779,565 Occidental Petroleum Corp. 13,060 637,720 Marathon Oil Corp. 6,200 573,500 Valero Energy Corp. 10,630 543,831 El Paso Corp.+ 29,000 443,120 Anadarko Petroleum Corp. 9,320 405,606 Kinder Morgan, Inc. 90 9,518 ------------- TOTAL OIL & GAS 7,446,051 ------------- ENERGY EQUIPMENT & SERVICES 1.0% Halliburton Co. 17,790 552,379 National-Oilwell Varco, Inc.* 6,470 395,835 Weatherford International Ltd.* 5,660 236,531 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Schlumberger Ltd.+ 3,130 $ 197,691 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,382,436 ------------- TOTAL ENERGY 8,828,487 ------------- CONSUMER STAPLES 6.1% TOBACCO 1.5% Altria Group, Inc.+ 18,020 1,546,476 Reynolds American, Inc.+ 6,730 440,613 ------------- TOTAL TOBACCO 1,987,089 ------------- BEVERAGES 1.5% Molson Coors Brewing Co. -- Class B+ 5,280 403,603 PepsiCo, Inc. 6,150 384,682 Pepsi Bottling Group, Inc.+ 11,850 366,283 Brown-Forman Corp. -- Class B 4,890 323,914 Coca-Cola Co.+ 6,710 323,758 Anheuser-Busch Cos., Inc. 3,510 172,692 ------------- TOTAL BEVERAGES 1,974,932 ------------- HOUSEHOLD PRODUCTS 1.1% Procter & Gamble Co. 22,810 1,465,999 ------------- TOTAL HOUSEHOLD PRODUCTS 1,465,999 ------------- FOOD & DRUG RETAILING 1.1% Safeway, Inc.+ 14,610 504,922 Kroger Co.+ 21,140 487,700 Wal-Mart Stores, Inc. 10,190 470,574 ------------- TOTAL FOOD & DRUG RETAILING 1,463,196 ------------- FOOD PRODUCTS 0.9% Archer-Daniels-Midland Co. 14,410 460,544 General Mills, Inc.+ 7,000 403,200 Campbell Soup Co.+ 10,150 394,733 ------------- TOTAL FOOD PRODUCTS 1,258,477 ------------- TOTAL CONSUMER STAPLES 8,149,693 ------------- TELECOMMUNICATION SERVICES 2.5% DIVERSIFIED TELECOMMUNICATION SERVICES 2.1% AT&T, Inc.+ 31,880 1,139,710 Verizon Communications, Inc.+ 11,490 427,887 Embarq Corp. 7,970 418,903 CenturyTel, Inc.+ 9,160 399,926 BellSouth Corp. 5,040 237,434 Qwest Communications International, Inc.*+ 23,980 200,713 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 2,824,573 ------------- WIRELESS TELECOMMUNICATION SERVICES 0.4% Alltel Corp. 8,830 534,039 Sprint Nextel Corp. 2,736 51,683 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 585,722 ------------- TOTAL TELECOMMUNICATION SERVICES 3,410,295 ------------- UTILITIES 2.5% MULTI-UTILITIES 1.5% PG&E Corp.+ 10,060 476,140 Xcel Energy, Inc.+ 18,330 422,690 DTE Energy Co.+ 8,720 422,135 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 57 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- NOVA FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CenterPoint Energy, Inc.+ 23,950 $ 397,091 Sempra Energy 5,180 290,287 ------------- TOTAL MULTI-UTILITIES 2,008,343 ------------- ELECTRIC UTILITIES 1.0% Pinnacle West Capital Corp.+ 7,850 397,916 FirstEnergy Corp.+ 4,740 285,822 Edison International 6,180 281,066 TXU Corp. 5,050 273,761 Allegheny Energy, Inc.* 1,480 67,947 ------------- TOTAL ELECTRIC UTILITIES 1,306,512 ------------- TOTAL UTILITIES 3,314,855 ------------- MATERIALS 1.8% METALS & MINING 1.0% Phelps Dodge Corp. 4,300 514,796 United States Steel Corp.+ 5,700 416,898 Nucor Corp.+ 7,190 393,006 ------------- TOTAL METALS & MINING 1,324,700 ------------- CHEMICALS 0.5% E.I. du Pont de Nemours and Co.+ 6,400 311,744 Sigma-Aldrich Corp. 3,700 287,564 ------------- TOTAL CHEMICALS 599,308 ------------- CONTAINERS & PACKAGING 0.3% Temple-Inland, Inc.+ 9,770 449,713 ------------- TOTAL CONTAINERS & PACKAGING 449,713 ------------- TOTAL MATERIALS 2,373,721 ------------- TOTAL COMMON STOCKS (Cost $79,755,488) 89,918,715 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 30.7% Repurchase Agreement (Note 5) 4.90% due 01/02/07++ $ 3,859,206 $ 3,859,206 4.80% due 01/02/07 9,843,302 9,843,302 4.79% due 01/02/07 9,843,302 9,843,302 4.65% due 01/02/07 9,843,302 9,843,302 4.60% due 01/02/07 7,973,071 7,973,071 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $41,362,183) 41,362,183 ------------- SECURITIES LENDING COLLATERAL 13.7% Investment in Securities Lending Short Term Investment Portfolio held by U.S. Bank (Note 8) 18,387,759 18,387,759 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $18,387,759) 18,387,759 ------------- TOTAL INVESTMENTS 111.3% (Cost $139,505,430) $ 149,668,657 ------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (11.3)% $ (15,191,977) ------------- NET ASSETS - 100.0% $ 134,476,680 ------------------------------------------------------------------------------- UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $48,580,838) 681 $ (59,190) ------------- UNITS ------ EQUITY INDEX SWAP AGREEMENTS March 2007 S&P 500 Index Swap, Terminating 03/29/07** (Notional Market Value $41,306,722) 29,124 $ (192,197) March 2007 S&P 500 Index Swap, Terminating 03/14/07** (Notional Market Value $22,800,881) 16,076 3,362 ------------- (TOTAL NOTIONAL MARKET VALUE $64,107,603) $ (188,835) ------------- * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. 58 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- INVERSE S&P 500 FUND -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 10.5% Farmer Mac* 5.15% due 01/23/07 $ 2,000,000 $ 1,993,992 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $1,993,992) 1,993,992 ------------- CONTRACTS ------------- OPTIONS PURCHASED 0.0% Call Options on: March 2007 S&P 500 Index Futures Contracts Expiring March 2007 with strike price of 2100 50 -- ------------- TOTAL OPTIONS PURCHASED (Cost $828) -- ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 75.6% Repurchase Agreement (Note 5) 4.90% due 01/02/07+ $ 1,041,240 1,041,240 4.80% due 01/02/07 3,503,761 3,503,761 4.79% due 01/02/07 3,503,761 3,503,761 4.65% due 01/02/07 3,503,761 3,503,761 4.60% due 01/02/07 2,838,045 2,838,045 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $14,390,568) 14,390,568 ------------- TOTAL INVESTMENTS 86.1% (Cost $16,385,388) $ 16,384,560 ------------- OTHER ASSETS IN EXCESS OF LIABILITIES - 13.9% $ 2,640,732 ------------- NET ASSETS - 100.0% $ 19,025,292 ------------------------------------------------------------------------------- UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT March 2007 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $4,779,613) 67 $ (422) ============= UNITS ------------- EQUITY INDEX SWAP AGREEMENTS SOLD SHORT March 2007 S&P 500 Index Swap, Terminating 03/29/07** (Notional Market Value $5,482,573) 3,866 $ 25,711 March 2007 S&P 500 Index Swap, Terminating 03/14/07** (Notional Market Value $8,854,279) 6,243 (9,350) ------------- (TOTAL NOTIONAL MARKET VALUE $14,336,852) $ 16,361 ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 59 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- OTC FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 93.7% INFORMATION TECHNOLOGY 57.8% SOFTWARE 14.2% Microsoft Corp.+ 147,790 $ 4,413,009 Oracle Corp.* 103,039 1,766,089 Adobe Systems, Inc.* 23,030 946,994 Symantec Corp.*+ 44,698 931,953 Intuit, Inc.* 22,572 688,672 Electronic Arts, Inc.* 9,300 468,348 Autodesk, Inc.*+ 9,210 372,637 Citrix Systems, Inc.*+ 12,449 336,745 BEA Systems, Inc.* 26,412 332,263 Check Point Software Technologies Ltd.*+ 5,110 112,011 ------------- TOTAL SOFTWARE 10,368,721 ------------- COMMUNICATIONS EQUIPMENT 11.6% Qualcomm, Inc. 90,157 3,407,033 Cisco Systems, Inc.*+ 108,816 2,973,941 Research In Motion, Ltd.*+ 8,476 1,083,063 Comverse Technology, Inc.*+ 10,673 225,307 Juniper Networks, Inc.*+ 11,380 215,537 Tellabs, Inc.* 20,844 213,860 Telefonaktiebolaget LM Ericsson -- SP ADR 4,210 169,368 JDS Uniphase Corp.*+ 7,700 128,282 ------------- TOTAL COMMUNICATIONS EQUIPMENT 8,416,391 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 10.3% Intel Corp.* 85,590 1,733,198 Lam Research Corp.*+ 22,465 1,137,178 Applied Materials, Inc.+ 50,101 924,363 Broadcom Corp. -- Class A* 18,760 606,136 Nvidia Corp.*+ 15,622 578,170 Altera Corp.* 27,477 540,747 Xilinx, Inc.+ 21,794 518,915 Maxim Integrated Products, Inc. 12,630 386,731 Microchip Technology, Inc.+ 11,719 383,211 Marvell Technology Group Ltd.*+ 18,740 359,621 Linear Technology Corp. 10,810 327,759 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 7,496,029 ------------- COMPUTERS & PERIPHERALS 9.5% Apple Computer, Inc.*+ 53,018 4,498,047 Dell, Inc.*+ 36,370 912,523 Network Appliance, Inc.* 21,004 825,037 SanDisk Corp.*+ 10,885 468,382 Sun Microsystems, Inc.*+ 43,890 237,884 ------------- TOTAL COMPUTERS & PERIPHERALS 6,941,873 ------------- INTERNET SOFTWARE & SERVICES 8.4% Google, Inc. -- Class A*+ 5,790 2,666,179 eBay, Inc.* 45,350 1,363,675 VeriSign, Inc.*+ 42,323 1,017,868 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Yahoo!, Inc.*+ 24,940 $ 636,968 Akamai Technologies, Inc.*+ 7,986 424,216 ------------- TOTAL INTERNET SOFTWARE & SERVICES 6,108,906 ------------- IT CONSULTING & SERVICES 3.1% Fiserv, Inc.*+ 25,751 1,349,868 Cognizant Technology Solutions Corp. -- Class A* 6,727 519,055 Paychex, Inc.+ 7,507 296,827 CheckFree Corp.*+ 2,670 107,227 ------------- TOTAL IT CONSULTING & SERVICES 2,272,977 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7% CDW Corp.+ 7,091 498,639 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 498,639 ------------- TOTAL INFORMATION TECHNOLOGY 42,103,536 ------------- CONSUMER DISCRETIONARY 16.5% MEDIA 5.1% Comcast Corp. -- Class A*+ 46,386 1,963,519 EchoStar Communications Corp.* 16,017 609,127 Sirius Satellite Radio, Inc.*+ 110,542 391,319 Lamar Advertising Co. -- Class A*+ 4,501 294,320 NTL, Inc. 9,460 238,770 XM Satellite Radio Holdings, Inc.*+ 6,930 100,139 Liberty Global, Inc. -- Class A* 3,180 92,697 ------------- TOTAL MEDIA 3,689,891 ------------- HOTELS, RESTAURANTS & LEISURE 3.0% Starbucks Corp.*+ 45,380 1,607,359 Wynn Resorts Ltd.+ 6,155 577,647 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 2,185,006 ------------- SPECIALTY RETAIL 2.9% Bed Bath & Beyond, Inc.*+ 15,420 587,502 Petsmart, Inc.+ 19,364 558,845 Staples, Inc. 13,370 356,979 American Eagle Outfitters, Inc.+ 10,635 331,918 Ross Stores, Inc. 7,230 211,839 Urban Outfitters, Inc.*+ 4,330 99,720 ------------- TOTAL SPECIALTY RETAIL 2,146,803 ------------- INTERNET & CATALOG RETAIL 2.6% Liberty Media Corp - Interactive* 31,207 673,135 IAC/InterActiveCorp*+ 14,486 538,300 Amazon.com, Inc.*+ 10,980 433,271 Expedia, Inc.* 12,450 261,201 ------------- TOTAL INTERNET & CATALOG RETAIL 1,905,907 ------------- MULTILINE RETAIL 1.7% Sears Holdings Corp.*+ 7,525 1,263,673 ------------- TOTAL MULTILINE RETAIL 1,263,673 ------------- HOUSEHOLD DURABLES 0.8% Garmin Ltd.+ 9,828 547,027 ------------- TOTAL HOUSEHOLD DURABLES 547,027 ------------- See Notes to Financial Statements. 60 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- OTC FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES 0.4% Apollo Group, Inc. -- Class A*+ 7,898 $ 307,785 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 307,785 ------------- TOTAL CONSUMER DISCRETIONARY 12,046,092 ------------- HEALTH CARE 12.8% BIOTECHNOLOGY 8.8% Amgen, Inc.*+ 32,808 2,241,114 Gilead Sciences, Inc.*+ 27,032 1,755,188 Celgene Corp.*+ 17,585 1,011,665 Genzyme Corp.*+ 14,170 872,589 Biogen Idec, Inc.* 8,050 395,980 Amylin Pharmaceuticals, Inc.*+ 2,920 105,324 ------------- TOTAL BIOTECHNOLOGY 6,381,860 ------------- PHARMACEUTICALS 1.6% Teva Pharmaceutical Industries Ltd. -- SP ADR+ 28,258 878,258 Sepracor, Inc.*+ 4,600 283,268 ------------- TOTAL PHARMACEUTICALS 1,161,526 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.3% Biomet, Inc. 15,637 645,339 DENTSPLY International, Inc. 5,460 162,981 Intuitive Surgical, Inc.*+ 1,660 159,194 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 967,514 ------------- HEALTH CARE PROVIDERS & SERVICES 1.1% Express Scripts, Inc.*+ 5,658 405,113 Patterson Cos., Inc.*+ 6,523 231,632 Lincare Holdings, Inc.* 3,640 145,017 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 781,762 ------------- TOTAL HEALTH CARE 9,292,662 ------------- INDUSTRIALS 4.0% MACHINERY 1.5% Paccar, Inc. 12,534 813,457 Joy Global, Inc.+ 5,274 254,945 ------------- TOTAL MACHINERY 1,068,402 ------------- AIR FREIGHT & COURIERS 0.9% Expeditors International Washington, Inc.+ 9,390 380,295 CH Robinson Worldwide, Inc.+ 7,554 308,883 ------------- TOTAL AIR FREIGHT & COURIERS 689,178 ------------- COMMERCIAL SERVICES & SUPPLIES 0.9% Cintas Corp.+ 8,892 353,102 Monster Worldwide, Inc.*+ 6,102 284,597 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 637,699 ------------- ELECTRICAL EQUIPMENT 0.4% American Power Conversion Corp. 9,143 279,684 ------------- TOTAL ELECTRICAL EQUIPMENT 279,684 ------------- TRADING COMPANIES & DISTRIBUTORS 0.3% Fastenal Co.+ 6,685 239,858 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 239,858 ------------- TOTAL INDUSTRIALS 2,914,821 ------------- -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER STAPLES 1.2% FOOD & DRUG RETAILING 1.2% Costco Wholesale Corp.+ 10,330 $ 546,147 Whole Foods Market, Inc.+ 6,533 306,594 ------------- TOTAL FOOD & DRUG RETAILING 852,741 ------------- TOTAL CONSUMER STAPLES 852,741 ------------- TELECOMMUNICATION SERVICES 0.9% WIRELESS TELECOMMUNICATION SERVICES 0.9% NII Holdings, Inc. -- Class B* 6,530 420,793 Millicom International Cellular SA*+ 4,352 268,257 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 689,050 ------------- TOTAL TELECOMMUNICATION SERVICES 689,050 ------------- MATERIALS 0.3% CHEMICALS 0.3% Sigma-Aldrich Corp. 2,500 194,300 ------------- TOTAL CHEMICALS 194,300 ------------- TOTAL MATERIALS 194,300 ------------- ENERGY 0.2% ENERGY EQUIPMENT & SERVICES 0.2% Patterson-UTI Energy, Inc.+ 7,320 170,044 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 170,044 ------------- TOTAL ENERGY 170,044 ------------- TOTAL COMMON STOCKS (Cost $44,149,566) 68,263,246 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 1.5% Repurchase Agreement (Note 5) 4.90% due 01/02/07++ $ 81,252 81,252 4.80% due 01/02/07 256,891 256,891 4.79% due 01/02/07 256,891 256,891 4.65% due 01/02/07 256,891 256,891 4.60% due 01/02/07 208,080 208,080 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,060,005) 1,060,005 ------------- SECURITIES LENDING COLLATERAL 28.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 21,014,171 21,014,171 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $21,014,171) 21,014,171 ------------- TOTAL INVESTMENTS 124.0% (Cost $66,223,742) $ 90,337,422 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (24.0)% $ (17,466,335) ============= NET ASSETS - 100.0% $ 72,871,087 ------------------------------------------------------------------------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 61 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- OTC FUND -------------------------------------------------------------------------------- UNREALIZED LOSS CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 Nasdaq 100 Index Mini Futures Contracts (Aggregate Market Value of Contracts $3,371,550) 95 $ (28,991) ------------- UNITS ------------- EQUITY INDEX SWAP AGREEMENTS March 2007 Nasdaq 100 Index Swap, Terminating 03/29/07** (Notional Market Value $1,006,901) 573 $ (1,302) March 2007 Nasdaq 100 Index Swap, Terminating 03/14/07** (Notional Market Value $262,749) 150 (8,259) ------------- (TOTAL NOTIONAL MARKET VALUE $1,269,650) $ (9,561) ============= * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. 62 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- INVERSE OTC FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 20.9% Federal Home Loan Bank* 5.15% due 01/17/07 $ 2,000,000 $ 1,995,708 Freddie Mac* 5.00% due 01/02/07 3,000,000 3,000,000 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $4,995,708) 4,995,708 ------------- CONTRACTS ------------- OPTIONS PURCHASED 0.0% Call Options on: March 2007 Nasdaq 100 Index Futures Contracts Expiring March 2007 with strike price of 2700 50 -- ------------- TOTAL OPTIONS PURCHASED (Cost $453) -- ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 62.0% Repurchase Agreement (Note 5) 4.90% due 01/02/07+ $ 488,440 488,440 4.80% due 01/02/07 3,518,214 3,518,214 4.79% due 01/02/07 3,518,214 3,518,214 4.65% due 01/02/07 3,518,214 3,518,214 4.60% due 01/02/07+ 3,798,999 3,798,999 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $14,842,081) 14,842,081 ------------- TOTAL INVESTMENTS 82.9% (Cost $19,838,242) $19,837,789 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 17.1% $ 4,090,834 ============= NET ASSETS - 100.0% $23,928,623 ------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT March 2007 Nasdaq 100 Index Mini Futures Contracts (Aggregate Market Value of Contracts $9,156,420) 258 $ 242,153 ------------- UNITS ------------- EQUITY INDEX SWAP AGREEMENTS SOLD SHORT March 2007 Nasdaq 100 Index Swap, Terminating 03/14/07** (Notional Market Value $9,416,837) 5,360 $ 138,936 March 2007 Nasdaq 100 Index Swap, Terminating 03/29/07** (Notional Market Value $5,684,977) 3,236 2,956 ------------- (TOTAL NOTIONAL MARKET VALUE $15,101,814) $ 141,892 ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 63 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 63.8% FINANCIALS 14.2% DIVERSIFIED FINANCIALS 3.6% Citigroup, Inc. 9,280 $ 516,896 Bank of America Corp. 8,480 452,747 J.P. Morgan Chase & Co. 6,550 316,365 Chicago Mercantile Exchange Holdings, Inc.+ 70 35,683 Moody's Corp.+ 440 30,386 CIT Group, Inc. 370 20,635 ------------- TOTAL DIVERSIFIED FINANCIALS 1,372,712 ------------- INSURANCE 3.1% American International Group, Inc. 4,910 351,851 MetLife, Inc. 1,440 84,974 Prudential Financial, Inc. 900 77,274 Allstate Corp.+ 1,180 76,830 St. Paul Travelers Cos., Inc. 1,298 69,690 Hartford Financial Services Group, Inc. 600 55,986 AFLAC, Inc.+ 928 42,688 Chubb Corp. 780 41,270 ACE Ltd. 620 37,553 Lincoln National Corp. 540 35,856 Loews Corp. 860 35,664 Progressive Corp. 1,440 34,877 Marsh & McLennan Cos., Inc.+ 1,040 31,886 Principal Financial Group, Inc. 510 29,937 Genworth Financial, Inc. -- Class A 840 28,736 XL Capital Ltd.+ 340 24,487 Aon Corp.+ 590 20,851 MBIA, Inc.+ 250 18,265 Ambac Financial Group, Inc. 200 17,814 Cincinnati Financial Corp. 330 14,952 UnumProvident Corp.+ 650 13,507 SAFECO Corp.+ 200 12,510 Torchmark Corp. 190 12,114 ------------- TOTAL INSURANCE 1,169,572 ------------- BANKS 2.7% Wells Fargo & Co. 6,380 226,873 Wachovia Corp. 3,600 205,020 U.S. Bancorp+ 3,320 120,151 SunTrust Banks, Inc.+ 670 56,581 Regions Financial Corp. 1,382 51,687 BB&T Corp.+ 1,019 44,765 National City Corp.+ 1,190 43,506 Fifth Third Bancorp+ 1,050 42,976 PNC Financial Services Group, Inc.+ 556 41,166 KeyCorp+ 760 28,903 Marshall & Ilsley Corp.+ 480 23,093 Synovus Financial Corp.+ 610 18,806 M&T Bank Corp. 150 18,324 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Comerica, Inc.+ 300 $ 17,604 Zions Bancorporation 200 16,488 Compass Bancshares, Inc.+ 250 14,912 Commerce Bancorp, Inc.+ 350 12,345 Huntington Bancshares, Inc.+ 450 10,688 First Horizon National Corp.+ 240 10,027 ------------- TOTAL BANKS 1,003,915 ------------- CAPITAL MARKETS 2.4% Morgan Stanley+ 2,000 162,860 Goldman Sachs Group, Inc. 800 159,480 Merrill Lynch & Co., Inc.+ 1,670 155,477 Lehman Brothers Holdings, Inc.+ 1,000 78,120 Bank of New York Co., Inc. 1,440 56,693 State Street Corp. 630 42,487 Charles Schwab Corp. 1,930 37,326 Bear Stearns Cos., Inc.+ 220 35,812 Franklin Resources, Inc.+ 310 34,153 Mellon Financial Corp.+ 780 32,877 Ameriprise Financial, Inc. 460 25,070 Legg Mason, Inc.+ 250 23,762 T. Rowe Price Group, Inc.+ 500 21,885 Northern Trust Corp.+ 350 21,242 E*Trade Financial Corp.* 810 18,160 Janus Capital Group, Inc. 370 7,988 Federated Investors, Inc. -- Class B 170 5,743 ------------- TOTAL CAPITAL MARKETS 919,135 ------------- THRIFTS & MORTGAGE FINANCE 1.0% Fannie Mae+ 1,840 109,278 Freddie Mac 1,310 88,949 Washington Mutual, Inc.+ 1,790 81,427 Countrywide Financial Corp. 1,170 49,667 Sovereign Bancorp, Inc.+ 680 17,265 MGIC Investment Corp.+ 160 10,006 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 356,592 ------------- REAL ESTATE 0.8% Simon Property Group, Inc.+ 420 42,542 Equity Office Properties Trust 660 31,792 Vornado Realty Trust 240 29,160 ProLogis 470 28,562 Equity Residential+ 550 27,912 Boston Properties, Inc.+ 220 24,614 Archstone-Smith Trust+ 410 23,866 Public Storage, Inc.+ 230 22,425 KIMCO Realty Corp. 430 19,328 Plum Creek Timber Co., Inc. (REIT) 330 13,151 Realogy Corp.* 410 12,431 CB Richard Ellis Group, Inc. -- Class A* 350 11,620 Apartment Investment & Management Co. -- Class A+ 180 10,084 ------------- TOTAL REAL ESTATE 297,487 ------------- See Notes to Financial Statements. 64 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER FINANCE 0.6% American Express Co. 2,278 $ 138,206 Capital One Financial Corp. 770 59,152 SLM Corp. 770 37,553 ------------- TOTAL CONSUMER FINANCE 234,911 ------------- TOTAL FINANCIALS 5,354,324 ------------- INFORMATION TECHNOLOGY 9.6% COMPUTERS & PERIPHERALS 2.4% International Business Machines Corp. 2,850 276,878 Hewlett-Packard Co. 5,170 212,952 Apple Computer, Inc.* 1,610 136,592 Dell, Inc.*+ 4,290 107,636 EMC Corp.*+ 4,160 54,912 Sun Microsystems, Inc.*+ 6,650 36,043 Network Appliance, Inc.* 710 27,889 SanDisk Corp.*+ 430 18,503 NCR Corp.*+ 340 14,538 Lexmark International, Inc.* 190 13,908 QLogic Corp.* 300 6,576 ------------- TOTAL COMPUTERS & PERIPHERALS 906,427 ------------- SOFTWARE 2.2% Microsoft Corp.+ 16,340 487,912 Oracle Corp.* 7,560 129,578 Adobe Systems, Inc.* 1,100 45,232 Symantec Corp.*+ 1,770 36,905 Electronic Arts, Inc.* 580 29,209 Intuit, Inc.* 660 20,137 Autodesk, Inc.* 440 17,802 CA, Inc.+ 777 17,599 BMC Software, Inc.* 390 12,558 Citrix Systems, Inc.*+ 340 9,197 Compuware Corp.* 670 5,581 Novell, Inc.* 640 3,968 ------------- TOTAL SOFTWARE 815,678 ------------- COMMUNICATIONS EQUIPMENT 1.7% Cisco Systems, Inc.* 11,470 313,475 Qualcomm, Inc. 3,120 117,905 Motorola, Inc.+ 4,570 93,959 Corning, Inc.* 2,960 55,381 Juniper Networks, Inc.*+ 1,070 20,266 Avaya, Inc.* 860 12,023 Tellabs, Inc.* 830 8,516 Comverse Technology, Inc.*+ 380 8,022 JDS Uniphase Corp.*+ 400 6,664 Ciena Corp.*+ 160 4,433 ADC Telecommunications, Inc.* 220 3,197 ------------- TOTAL COMMUNICATIONS EQUIPMENT 643,841 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.5% Intel Corp.* 10,890 220,522 Texas Instruments, Inc. 2,800 80,640 Applied Materials, Inc.+ 2,620 48,339 Broadcom Corp. -- Class A*+ 890 28,756 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Nvidia Corp.*+ 670 $ 24,797 Analog Devices, Inc.+ 650 21,366 Advanced Micro Devices, Inc.*+ 1,040 21,164 Micron Technology, Inc.*+ 1,430 19,963 KLA-Tencor Corp.+ 380 18,905 Maxim Integrated Products, Inc. 610 18,678 Linear Technology Corp. 560 16,979 Xilinx, Inc.+ 640 15,238 Altera Corp.* 680 13,382 National Semiconductor Corp. 550 12,485 Novellus Systems, Inc.*+ 230 7,917 LSI Logic Corp.*+ 760 6,840 Teradyne, Inc.*+ 360 5,386 PMC - Sierra, Inc.*+ 400 2,684 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 584,041 ------------- INTERNET SOFTWARE & SERVICES 0.8% Google, Inc. -- Class A*+ 400 184,192 eBay, Inc.* 2,190 65,853 Yahoo!, Inc.*+ 2,310 58,998 VeriSign, Inc.* 460 11,063 ------------- TOTAL INTERNET SOFTWARE & SERVICES 320,106 ------------- IT CONSULTING & SERVICES 0.7% Automatic Data Processing, Inc.+ 1,040 51,220 First Data Corp.+ 1,450 37,004 Western Union Co.+ 1,450 32,509 Electronic Data Systems Corp. 980 26,999 Paychex, Inc.+ 640 25,306 Cognizant Technology Solutions Corp. -- Class A* 270 20,833 Fiserv, Inc.*+ 330 17,299 Computer Sciences Corp.* 320 17,078 Fidelity National Information Services, Inc. 310 12,428 Affiliated Computer Services, Inc. -- Class A* 220 10,745 Sabre Holdings Corp. 250 7,972 Convergys Corp.* 260 6,183 Unisys Corp.* 650 5,096 ------------- TOTAL IT CONSULTING & SERVICES 270,672 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.2% Agilent Technologies, Inc.*+ 770 26,834 Jabil Circuit, Inc. 350 8,593 Molex, Inc.+ 270 8,540 Symbol Technologies, Inc. 480 7,171 Solectron Corp.* 1,730 5,571 Tektronix, Inc. 160 4,667 Sanmina-SCI Corp.* 1,010 3,485 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 64,861 ------------- OFFICE ELECTRONICS 0.1% Xerox Corp.* 1,820 30,849 ------------- TOTAL OFFICE ELECTRONICS 30,849 ------------- TOTAL INFORMATION TECHNOLOGY 3,636,475 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 65 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- HEALTH CARE 7.7% PHARMACEUTICALS 4.0% Johnson & Johnson, Inc. 5,480 $ 361,789 Pfizer, Inc. 13,620 352,758 Merck & Co., Inc.+ 4,100 178,760 Abbott Laboratories 2,900 141,259 Wyeth 2,540 129,337 Bristol-Myers Squibb Co. 3,720 97,910 Eli Lilly & Co. 1,861 96,958 Schering-Plough Corp. 2,800 66,192 Allergan, Inc.+ 290 34,725 Forest Laboratories, Inc.*+ 600 30,360 Barr Pharmaceuticals, Inc.*+ 200 10,024 Mylan Laboratories, Inc.+ 400 7,984 King Pharmaceuticals, Inc.* 460 7,323 Watson Pharmaceuticals, Inc.* 190 4,946 ------------- TOTAL PHARMACEUTICALS 1,520,325 ------------- HEALTH CARE PROVIDERS & SERVICES 1.6% UnitedHealth Group, Inc. 2,540 136,474 WellPoint, Inc.* 1,170 92,067 Cardinal Health, Inc. 767 49,418 Caremark Rx, Inc. 809 46,202 Aetna, Inc. 990 42,748 Medco Health Solutions, Inc.* 550 29,392 McKesson Corp. 560 28,392 CIGNA Corp. 190 24,998 Express Scripts, Inc.*+ 260 18,616 Laboratory Corporation of America Holdings*+ 240 17,633 Humana, Inc.* 310 17,146 AmerisourceBergen Corp.+ 360 16,186 Quest Diagnostics, Inc. 300 15,900 Coventry Health Care, Inc.* 300 15,015 IMS Health, Inc. 370 10,168 Health Management Associates, Inc. -- Class A+ 450 9,499 Patterson Cos., Inc.*+ 260 9,233 Manor Care, Inc.+ 140 6,569 Tenet Healthcare Corp.*+ 890 6,203 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 591,859 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.2% Medtronic, Inc.+ 2,171 116,170 Baxter International, Inc. 1,240 57,524 Boston Scientific Corp.* 2,230 38,312 Zimmer Holdings, Inc.*+ 450 35,271 Thermo Fisher Scientific, Inc.* 770 34,873 Becton, Dickinson & Co. 470 32,971 Stryker Corp.+ 560 30,862 St. Jude Medical, Inc.* 670 24,495 Biomet, Inc. 460 18,984 C.R. Bard, Inc. 190 15,764 Hospira, Inc.* 290 9,738 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Waters Corp.* 190 $ 9,304 Millipore Corp.* 100 6,660 Bausch & Lomb, Inc. 100 5,206 PerkinElmer, Inc. 230 5,113 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 441,247 ------------- BIOTECHNOLOGY 0.9% Amgen, Inc.* 2,200 150,282 Gilead Sciences, Inc.* 870 56,489 Celgene Corp.*+ 700 40,271 Biogen Idec, Inc.* 640 31,482 Genzyme Corp.*+ 500 30,790 Medimmune, Inc.*+ 450 14,566 Applera Corp. - Applied Biosystems Group+ 350 12,842 ------------- TOTAL BIOTECHNOLOGY 336,722 ------------- TOTAL HEALTH CARE 2,890,153 ------------- INDUSTRIALS 6.9% INDUSTRIAL CONGLOMERATES 2.6% General Electric Co. 19,477 724,739 Tyco International Ltd. 3,760 114,304 3M Co. 1,390 108,323 Textron, Inc. 240 22,505 ------------- TOTAL INDUSTRIAL CONGLOMERATES 969,871 ------------- AEROSPACE & DEFENSE 1.5% Boeing Co.+ 1,490 132,371 United Technologies Corp. 1,900 118,788 Honeywell International, Inc. 1,540 69,670 Lockheed Martin Corp. 670 61,687 General Dynamics Corp. 760 56,506 Raytheon Co.+ 840 44,352 Northrop Grumman Corp. 650 44,005 Rockwell Collins, Inc. 320 20,253 L-3 Communications Holdings, Inc.+ 240 19,627 Goodrich Corp. 240 10,932 ------------- TOTAL AEROSPACE & DEFENSE 578,191 ------------- MACHINERY 0.9% Caterpillar, Inc. 1,230 75,436 Deere & Co. 440 41,831 Illinois Tool Works, Inc. 790 36,490 Danaher Corp.+ 450 32,598 Paccar, Inc. 465 30,178 Ingersoll-Rand Co. -- Class A 580 22,695 Eaton Corp. 280 21,039 ITT Industries, Inc. 350 19,887 Dover Corp. 390 19,118 Parker Hannifin Corp. 220 16,914 Terex Corp.*+ 190 12,270 Cummins, Inc.+ 100 11,818 Pall Corp. 230 7,947 ------------- TOTAL MACHINERY 348,221 ------------- See Notes to Financial Statements. 66 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AIR FREIGHT & COURIERS 0.6% United Parcel Service, Inc. -- Class B+ 2,030 $ 152,209 FedEx Corp.+ 580 63,000 ------------- TOTAL AIR FREIGHT & COURIERS 215,209 ------------- ROAD & RAIL 0.4% Burlington Northern Santa Fe Corp. 680 50,191 Union Pacific Corp. 510 46,930 Norfolk Southern Corp. 750 37,717 CSX Corp. 820 28,233 Ryder System, Inc.+ 110 5,617 ------------- TOTAL ROAD & RAIL 168,688 ------------- COMMERCIAL SERVICES & SUPPLIES 0.4% Waste Management, Inc. 1,010 37,138 Pitney Bowes, Inc.+ 420 19,400 RR Donnelley & Sons Co. 410 14,571 Avery Dennison Corp. 180 12,227 Robert Half International, Inc.+ 320 11,878 Monster Worldwide, Inc.*+ 240 11,194 Cintas Corp. 260 10,325 Equifax, Inc. 240 9,744 Allied Waste Industries, Inc.*+ 480 5,899 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 132,376 ------------- ELECTRICAL EQUIPMENT 0.3% Emerson Electric Co. 1,520 67,017 Rockwell Automation, Inc. 320 19,545 Cooper Industries Ltd. -- Class A 170 15,373 American Power Conversion Corp.+ 320 9,789 ------------- TOTAL ELECTRICAL EQUIPMENT 111,724 ------------- BUILDING PRODUCTS 0.1% Masco Corp.+ 740 22,104 American Standard Cos., Inc.+ 330 15,130 ------------- TOTAL BUILDING PRODUCTS 37,234 ------------- AIRLINES 0.1% Southwest Airlines Co.+ 1,500 22,980 ------------- TOTAL AIRLINES 22,980 ------------- CONSTRUCTION & ENGINEERING 0.0% Fluor Corp. 170 13,880 ------------- TOTAL CONSTRUCTION & ENGINEERING 13,880 ------------- TRADING COMPANIES & DISTRIBUTORS 0.0% W.W. Grainger, Inc. 140 9,792 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 9,792 ------------- TOTAL INDUSTRIALS 2,608,166 ------------- CONSUMER DISCRETIONARY 6.8% MEDIA 2.4% Comcast Corp. -- Class A*+ 3,930 166,357 Time Warner, Inc.+ 7,540 164,221 Walt Disney Co.+ 3,910 133,996 News Corp. -- Class A+ 4,420 94,942 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Viacom, Inc. - Class B* 1,320 $ 54,160 CBS Corp.+ 1,480 46,146 McGraw-Hill Cos., Inc. 670 45,573 DIRECTV Group, Inc.* 1,460 36,412 Omnicom Group, Inc.+ 320 33,453 Clear Channel Communications, Inc. 930 33,052 Gannett Co., Inc.+ 440 26,602 Univision Communications, Inc. -- Class A*+ 480 17,002 Tribune Co.+ 360 11,081 Interpublic Group of Cos., Inc.*+ 830 10,159 EW Scripps Co. -- Class A 160 7,990 New York Times Co. -- Class A+ 270 6,577 Dow Jones & Co., Inc. 120 4,560 Meredith Corp.+ 70 3,945 -------------- TOTAL MEDIA 896,228 -------------- SPECIALTY RETAIL 1.3% Home Depot, Inc. 3,860 155,017 Lowe's Cos., Inc.+ 2,880 89,712 Best Buy Co., Inc.+ 760 37,384 Staples, Inc. 1,370 36,579 TJX Cos., Inc.+ 860 24,527 Office Depot, Inc.* 530 20,230 Bed Bath & Beyond, Inc.* 530 20,193 The Gap, Inc.+ 1,000 19,500 Limited Brands, Inc. 650 18,811 Sherwin-Williams Co. 210 13,352 AutoZone, Inc.*+ 100 11,556 Tiffany & Co.+ 260 10,202 OfficeMax, Inc. 140 6,951 AutoNation, Inc.*+ 280 5,970 Circuit City Stores, Inc.+ 270 5,125 RadioShack Corp.+ 260 4,363 -------------- TOTAL SPECIALTY RETAIL 479,472 -------------- HOTELS, RESTAURANTS & LEISURE 1.0% McDonald's Corp. 2,340 103,732 Starbucks Corp.*+ 1,430 50,651 Carnival Corp.+ 840 41,202 Marriott International, Inc. -- Class A 630 30,064 International Game Technology, Inc.+ 640 29,568 Yum! Brands, Inc. 500 29,400 Harrah's Entertainment, Inc. 350 28,952 Hilton Hotels Corp.+ 730 25,477 Starwood Hotels & Resorts Worldwide, Inc. 400 25,000 Wyndham Worldwide Corp.* 370 11,847 Darden Restaurants, Inc. 280 11,248 Wendy's International, Inc. 180 5,956 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 393,097 -------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 67 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MULTILINE RETAIL 0.7% Target Corp.+ 1,620 $ 92,421 Kohl's Corp.* 616 42,153 Federated Department Stores, Inc. 990 37,749 J.C. Penney Co., Inc.+ 430 33,265 Sears Holdings Corp.*+ 160 26,869 Nordstrom, Inc.+ 430 21,216 Dollar General Corp.+ 590 9,475 Family Dollar Stores, Inc. 290 8,506 Big Lots, Inc.*+ 210 4,813 Dillard's, Inc. -- Class A+ 120 4,196 -------------- TOTAL MULTILINE RETAIL 280,663 -------------- HOUSEHOLD DURABLES 0.4% Fortune Brands, Inc. 290 24,763 Newell Rubbermaid, Inc.+ 520 15,054 D.R. Horton, Inc.+ 520 13,775 Lennar Corp. -- Class A+ 260 13,640 Pulte Homes, Inc.+ 400 13,248 Whirlpool Corp.+ 150 12,453 Centex Corp.+ 220 12,379 Harman International Industries, Inc.+ 120 11,989 Black & Decker Corp.+ 130 10,396 Leggett & Platt, Inc.+ 340 8,126 KB HOME 150 7,692 Stanley Works+ 150 7,544 Snap-On, Inc. 110 5,240 -------------- TOTAL HOUSEHOLD DURABLES 156,299 -------------- TEXTILES & APPAREL 0.3% Nike, Inc. -- Class B+ 360 35,651 Coach, Inc.*+ 690 29,643 VF Corp. 170 13,954 Liz Claiborne, Inc.+ 190 8,257 Jones Apparel Group, Inc. 210 7,020 -------------- TOTAL TEXTILES & APPAREL 94,525 -------------- AUTOMOBILES 0.3% Harley-Davidson, Inc.+ 490 34,530 General Motors Corp.+ 1,070 32,870 Ford Motor Co.+ 3,570 26,811 -------------- TOTAL AUTOMOBILES 94,211 -------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Mattel, Inc. 720 16,315 Eastman Kodak Co.+ 540 13,932 Hasbro, Inc. 300 8,175 Brunswick Corp. 170 5,423 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 43,845 -------------- AUTO COMPONENTS 0.1% Johnson Controls, Inc.+ 370 31,790 Goodyear Tire & Rubber Co.*+ 340 7,137 -------------- TOTAL AUTO COMPONENTS 38,927 -------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL 0.1% Amazon.com, Inc.*+ 580 $ 22,887 IAC/InterActiveCorp*+ 420 15,607 -------------- TOTAL INTERNET & CATALOG RETAIL 38,494 -------------- COMMERCIAL SERVICES & SUPPLIES 0.1% H&R Block, Inc.+ 610 14,055 Apollo Group, Inc. -- Class A*+ 260 10,132 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 24,187 -------------- DISTRIBUTORS 0.0% Genuine Parts Co. 320 15,178 -------------- TOTAL DISTRIBUTORS 15,178 -------------- TOTAL CONSUMER DISCRETIONARY 2,555,126 -------------- ENERGY 6.3% OIL & GAS 5.2% Exxon Mobil Corp.+ 11,020 844,463 Chevron Corp. 4,120 302,944 ConocoPhillips 3,110 223,764 Occidental Petroleum Corp. 1,630 79,593 Marathon Oil Corp. 660 61,050 Valero Energy Corp. 1,140 58,322 Devon Energy Corp.+ 840 56,347 Apache Corp. 620 41,236 Anadarko Petroleum Corp. 870 37,862 XTO Energy, Inc. 690 32,464 Williams Cos., Inc. 1,130 29,516 EOG Resources, Inc.+ 460 28,727 Hess Corp. 510 25,281 Chesapeake Energy Corp.+ 790 22,949 Kinder Morgan, Inc. 200 21,150 El Paso Corp.+ 1,330 20,322 Peabody Energy Corp. 500 20,205 Murphy Oil Corp.+ 350 17,798 Sunoco, Inc. 230 14,343 Consol Energy, Inc.+ 350 11,246 -------------- TOTAL OIL & GAS 1,949,582 -------------- ENERGY EQUIPMENT & SERVICES 1.1% Schlumberger Ltd.+ 2,230 140,847 Halliburton Co. 1,900 58,995 Baker Hughes, Inc.+ 610 45,542 Transocean, Inc.* 550 44,489 Weatherford International Ltd.* 640 26,746 National-Oilwell Varco, Inc.*+ 330 20,189 Noble Corp. 260 19,799 Nabors Industries Ltd.*+ 570 16,975 BJ Services Co. 550 16,126 Smith International, Inc.+ 380 15,607 Rowan Cos., Inc.+ 210 6,972 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 412,287 -------------- TOTAL ENERGY 2,361,869 -------------- See Notes to Financial Statements. 68 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER STAPLES 5.9% HOUSEHOLD PRODUCTS 1.4% Procter & Gamble Co. 5,990 $ 384,977 Colgate-Palmolive Co. 970 63,283 Kimberly-Clark Corp. 870 59,116 Clorox Co. 290 18,604 -------------- TOTAL HOUSEHOLD PRODUCTS 525,980 -------------- FOOD & DRUG RETAILING 1.4% Wal-Mart Stores, Inc. 4,645 214,506 Walgreen Co. 1,900 87,191 CVS Corp.+ 1,560 48,220 Costco Wholesale Corp.+ 870 45,997 Sysco Corp.+ 1,170 43,009 Kroger Co. 1,360 31,375 Safeway, Inc.+ 840 29,030 Supervalu, Inc. 390 13,943 Whole Foods Market, Inc.+ 270 12,671 -------------- TOTAL FOOD & DRUG RETAILING 525,942 -------------- BEVERAGES 1.3% PepsiCo, Inc. 3,100 193,905 Coca-Cola Co.+ 3,850 185,762 Anheuser-Busch Cos., Inc. 1,450 71,340 Constellation Brands, Inc. -- Class A*+ 400 11,608 Coca-Cola Enterprises, Inc. 520 10,618 Brown-Forman Corp. -- Class B 150 9,936 Pepsi Bottling Group, Inc.+ 260 8,037 Molson Coors Brewing Co. -- Class B 90 6,880 -------------- TOTAL BEVERAGES 498,086 -------------- TOBACCO 1.0% Altria Group, Inc.+ 3,960 339,847 Reynolds American, Inc.+ 320 20,951 UST, Inc.+ 300 17,460 -------------- TOTAL TOBACCO 378,258 -------------- FOOD PRODUCTS 0.7% Archer-Daniels-Midland Co. 1,240 39,631 General Mills, Inc.+ 650 37,440 H.J. Heinz Co.+ 620 27,906 ConAgra Foods, Inc. 956 25,812 Sara Lee Corp. 1,410 24,012 Kellogg Co.+ 470 23,528 WM Wrigley Jr Co. 410 21,205 Hershey Co. 330 16,434 Campbell Soup Co.+ 410 15,945 Dean Foods Co.* 250 10,570 McCormick & Co., Inc. 250 9,640 Tyson Foods, Inc. -- Class A+ 480 7,896 -------------- TOTAL FOOD PRODUCTS 260,019 -------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- PERSONAL PRODUCTS 0.1% Avon Products, Inc. 840 $ 27,753 Estee Lauder Cos., Inc. -- Class A 240 9,797 -------------- TOTAL PERSONAL PRODUCTS 37,550 -------------- TOTAL CONSUMER STAPLES 2,225,835 -------------- UTILITIES 2.3% ELECTRIC UTILITIES 1.3% Duke Energy Corp.+ 2,370 78,708 Exelon Corp.+ 1,270 78,600 Southern Co.+ 1,400 51,604 TXU Corp. 870 47,163 FPL Group, Inc.+ 760 41,359 FirstEnergy Corp.+ 600 36,180 Entergy Corp. 390 36,005 American Electric Power Co., Inc.+ 750 31,935 Edison International 620 28,197 PPL Corp. 720 25,805 Progress Energy, Inc.+ 480 23,558 Allegheny Energy, Inc.* 310 14,232 Pinnacle West Capital Corp. 190 9,631 -------------- TOTAL ELECTRIC UTILITIES 502,977 -------------- MULTI-UTILITIES 0.9% Dominion Resources, Inc.+ 670 56,173 Public Service Enterprise Group, Inc. 480 31,863 PG&E Corp.+ 660 31,238 Sempra Energy 500 28,020 AES Corp.* 1,250 27,550 Consolidated Edison, Inc.+ 490 23,554 Constellation Energy Group, Inc. 340 23,416 Ameren Corp.+ 390 20,955 Xcel Energy, Inc.+ 770 17,756 DTE Energy Co.+ 340 16,459 KeySpan Corp. 330 13,589 NiSource, Inc.+ 520 12,532 CenterPoint Energy, Inc.+ 590 9,782 CMS Energy Corp.* 420 7,014 TECO Energy, Inc. 400 6,892 Dynegy, Inc. -- Class A* 720 5,213 -------------- TOTAL MULTI-UTILITIES 332,006 -------------- GAS UTILITIES 0.1% Questar Corp.+ 160 13,288 Nicor, Inc.+ 80 3,744 Peoples Energy Corp. 70 3,120 -------------- TOTAL GAS UTILITIES 20,152 -------------- TOTAL UTILITIES 855,135 -------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 69 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 2.2% DIVERSIFIED TELECOMMUNICATION SERVICES 1.8% AT&T, Inc.+ 7,260 $ 259,545 Verizon Communications, Inc.+ 5,518 205,490 BellSouth Corp. 3,450 162,530 Qwest Communications International, Inc.*+ 3,040 25,445 Embarq Corp. 280 14,717 Windstream Corp.+ 900 12,798 CenturyTel, Inc.+ 220 9,605 Citizens Communications Co.+ 610 8,766 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 698,896 ------------- WIRELESS TELECOMMUNICATION SERVICES 0.4% Sprint Nextel Corp.+ 5,470 103,328 Alltel Corp. 710 42,941 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 146,269 ------------- TOTAL TELECOMMUNICATION SERVICES 845,165 ------------- MATERIALS 1.9% CHEMICALS 1.0% E.I. du Pont de Nemours and Co.+ 1,740 84,755 Dow Chemical Co. 1,800 71,892 Monsanto Co. 1,030 54,106 Praxair, Inc. 610 36,191 Air Products & Chemicals, Inc. 420 29,518 PPG Industries, Inc.+ 310 19,905 Ecolab, Inc.+ 340 15,368 Rohm & Haas Co. 270 13,802 Eastman Chemical Co.+ 160 9,490 Sigma-Aldrich Corp. 120 9,326 Ashland, Inc. 110 7,610 International Flavors & Fragrances, Inc. 150 7,374 Hercules, Inc.*+ 210 4,055 ------------- TOTAL CHEMICALS 363,392 ------------- METALS & MINING 0.6% Alcoa, Inc. 1,640 49,216 Phelps Dodge Corp. 390 46,691 Newmont Mining Corp.+ 850 38,378 Nucor Corp.+ 570 31,156 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 370 20,620 Allegheny Technologies, Inc.+ 190 17,229 United States Steel Corp.+ 220 16,091 ------------- TOTAL METALS & MINING 219,381 ------------- PAPER & FOREST PRODUCTS 0.2% Weyerhaeuser Co. 450 31,793 International Paper Co. 858 29,258 MeadWestvaco Corp. 340 10,220 ------------- TOTAL PAPER & FOREST PRODUCTS 71,271 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONTAINERS & PACKAGING 0.1% Sealed Air Corp. 150 $ 9,738 Temple-Inland, Inc.+ 200 9,206 Pactiv Corp.* 250 8,922 Ball Corp. 200 8,720 Bemis Co. 200 6,796 ------------- TOTAL CONTAINERS & PACKAGING 43,382 ------------- CONSTRUCTION MATERIALS 0.0% Vulcan Materials Co. 180 16,177 ------------- TOTAL CONSTRUCTION MATERIALS 16,177 ------------- TOTAL MATERIALS 713,603 ------------- TOTAL COMMON STOCKS (Cost $19,410,529) 24,045,851 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 34.3% Repurchase Agreement (Note 5) 4.90% due 01/02/07++ $ 2,249,794 2,249,794 4.80% due 01/02/07 2,795,253 2,795,253 4.79% due 01/02/07 2,795,253 2,795,253 4.65% due 01/02/07 2,795,253 2,795,253 4.60% due 01/02/07 2,264,154 2,264,154 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $12,899,707) 12,899,707 ------------- SECURITIES LENDING COLLATERAL 11.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 4,400,651 4,400,651 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,400,651) 4,400,651 ------------- TOTAL INVESTMENTS 109.8% (Cost $36,710,887) $ 41,346,209 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (9.8)% $ (3,682,958) ============= NET ASSETS - 100.0% 37,663,251 ------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $15,266,225) 214 $ 1,216 ------------- See Notes to Financial Statements. 70 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC S&P 500 FUND -------------------------------------------------------------------------------- UNREALIZED LOSS UNITS (NOTE 1) -------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS March 2007 S&P 500 Index Swap, Terminating 03/29/07** (Notional Market Value $24,214,766) 17,073 $ (112,670) March 2007 S&P 500 Index Swap, Terminating 03/14/07** (Notional Market Value $12,243,087) 8,632 (27,833) ------------- (TOTAL NOTIONAL MARKET VALUE $36,457,853) $ (140,503) ============= * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE DATA. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 71 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC OTC FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 79.4% INFORMATION TECHNOLOGY 48.8% SOFTWARE 13.0% Microsoft Corp.+ 53,120 $ 1,586,162 Oracle Corp.* 34,010 582,931 Adobe Systems, Inc.* 8,980 369,258 Symantec Corp.*+ 15,400 321,090 Electronic Arts, Inc.* 4,876 245,555 Intuit, Inc.* 6,905 210,672 Autodesk, Inc.*+ 3,780 152,939 Citrix Systems, Inc.*+ 3,370 91,158 Cadence Design Systems, Inc.*+ 4,560 81,670 Check Point Software Technologies Ltd.*+ 3,700 81,104 BEA Systems, Inc.* 5,710 71,832 Activision, Inc.*+ 3,930 67,753 ------------- TOTAL SOFTWARE 3,862,124 ------------- COMMUNICATIONS EQUIPMENT 9.3% Qualcomm, Inc. 31,290 1,182,449 Cisco Systems, Inc.* 34,060 930,860 Research In Motion Ltd.*+ 2,890 369,284 Juniper Networks, Inc.*+ 5,840 110,610 Comverse Technology, Inc.*+ 3,290 69,452 Telefonaktiebolaget LM Ericsson -- SP ADR+ 1,590 63,966 Tellabs, Inc.* 3,950 40,527 ------------- TOTAL COMMUNICATIONS EQUIPMENT 2,767,148 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 8.6% Intel Corp.* 31,700 641,925 Broadcom Corp. -- Class A* 6,720 217,123 Maxim Integrated Products, Inc. 7,060 216,177 Applied Materials, Inc.+ 11,250 207,563 Nvidia Corp.*+ 5,480 202,815 Linear Technology Corp.+ 6,270 190,106 KLA-Tencor Corp.+ 3,780 188,055 Marvell Technology Group Ltd.*+ 8,770 168,296 Xilinx, Inc.+ 7,000 166,670 Altera Corp.* 7,994 157,322 Lam Research Corp.*+ 2,311 116,983 Microchip Technology, Inc.+ 2,823 92,312 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,565,347 ------------- COMPUTERS & PERIPHERALS 8.2% Apple Computer, Inc.*+ 18,680 1,584,811 Dell, Inc.*+ 13,120 329,181 Network Appliance, Inc.*+ 6,100 239,608 SanDisk Corp.*+ 3,260 140,278 Sun Microsystems, Inc.*+ 24,043 130,313 ------------- TOTAL COMPUTERS & PERIPHERALS 2,424,191 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES 6.6% Google, Inc. -- Class A*+ 2,134 $ 982,664 eBay, Inc.* 16,320 490,742 Yahoo!, Inc.*+ 10,270 262,296 Akamai Technologies, Inc.*+ 2,348 124,726 VeriSign, Inc.*+ 3,600 86,580 ------------- TOTAL INTERNET SOFTWARE & SERVICES 1,947,008 ------------- IT CONSULTING & SERVICES 2.4% Paychex, Inc.+ 5,670 224,192 Fiserv, Inc.*+ 3,400 178,228 Cognizant Technology Solutions Corp. -- Class A* 2,171 167,514 Infosys Technologies Ltd. -- SP ADR 1,730 94,389 CheckFree Corp.*+ 1,320 53,011 ------------- TOTAL IT CONSULTING & SERVICES 717,334 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7% Flextronics International Ltd.* 9,881 113,434 CDW Corp.+ 1,278 89,869 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 203,303 ------------- TOTAL INFORMATION TECHNOLOGY 14,486,455 ------------- CONSUMER DISCRETIONARY 13.8% MEDIA 4.4% Comcast Corp. -- Class A*+ 15,038 636,559 NTL, Inc. 5,590 141,092 EchoStar Communications Corp.* 3,350 127,400 Liberty Global, Inc. -- Class A* 3,250 94,737 Sirius Satellite Radio, Inc.*+ 23,910 84,641 Lamar Advertising Co. -- Class A*+ 1,290 84,353 XM Satellite Radio Holdings, Inc.*+ 4,950 71,528 Discovery Holding Co. -- Class A* 3,740 60,177 ------------- TOTAL MEDIA 1,300,487 ------------- HOTELS, RESTAURANTS & LEISURE 2.5% Starbucks Corp.*+ 16,510 584,784 Wynn Resorts Ltd.+ 1,741 163,393 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 748,177 ------------- SPECIALTY RETAIL 2.3% Bed Bath & Beyond, Inc.*+ 5,969 227,419 Staples, Inc. 7,620 203,454 American Eagle Outfitters, Inc. 3,640 113,604 Ross Stores, Inc. 2,160 63,288 Petsmart, Inc.+ 2,170 62,626 ------------- TOTAL SPECIALTY RETAIL 670,391 ------------- INTERNET & CATALOG RETAIL 2.2% Liberty Media Corp - Interactive* 9,510 205,131 IAC/InterActiveCorp*+ 4,810 178,740 Amazon.com, Inc.*+ 4,290 169,283 Expedia, Inc.* 5,176 108,592 ------------- TOTAL INTERNET & CATALOG RETAIL 661,746 ------------- See Notes to Financial Statements. 72 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC OTC FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MULTILINE RETAIL 1.4% Sears Holdings Corp.*+ 2,530 $ 424,863 ------------- TOTAL MULTILINE RETAIL 424,863 ------------- HOUSEHOLD DURABLES 0.6% Garmin Ltd.+ 3,140 174,772 ------------- TOTAL HOUSEHOLD DURABLES 174,772 ------------- COMMERCIAL SERVICES & SUPPLIES 0.4% Apollo Group, Inc. -- Class A*+ 2,750 107,168 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 107,168 ------------- TOTAL CONSUMER DISCRETIONARY 4,087,604 ------------- HEALTH CARE 10.8% BIOTECHNOLOGY 7.6% Amgen, Inc.*+ 8,540 583,367 Gilead Sciences, Inc.* 7,112 461,782 Celgene Corp.*+ 5,880 338,276 Genzyme Corp.*+ 5,170 318,369 Biogen Idec, Inc.* 5,750 282,843 Medimmune, Inc.*+ 4,020 130,127 Vertex Pharmaceuticals, Inc.* 2,060 77,085 Amylin Pharmaceuticals, Inc.*+ 1,970 71,058 ------------- TOTAL BIOTECHNOLOGY 2,262,907 ------------- PHARMACEUTICALS 1.4% Teva Pharmaceutical Industries Ltd. -- SP ADR 9,540 296,503 Sepracor, Inc.*+ 1,670 102,839 ------------- TOTAL PHARMACEUTICALS 399,342 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.1% Biomet, Inc. 5,180 213,779 DENTSPLY International, Inc. 2,290 68,356 Intuitive Surgical, Inc.*+ 581 55,718 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 337,853 ------------- HEALTH CARE PROVIDERS & SERVICES 0.7% Express Scripts, Inc.*+ 1,900 136,040 Patterson Cos., Inc.*+ 2,090 74,216 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 210,256 ------------- TOTAL HEALTH CARE 3,210,358 ------------- INDUSTRIALS 3.4% MACHINERY 1.3% Paccar, Inc. 4,370 283,613 Joy Global, Inc.+ 1,830 88,462 ------------- TOTAL MACHINERY 372,075 ------------- AIR FREIGHT & COURIERS 0.8% Expeditors International Washington, Inc.+ 3,290 133,245 CH Robinson Worldwide, Inc.+ 2,620 107,132 ------------- TOTAL AIR FREIGHT & COURIERS 240,377 ------------- COMMERCIAL SERVICES & SUPPLIES 0.7% Cintas Corp.+ 3,020 119,924 Monster Worldwide, Inc.*+ 2,060 96,078 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 216,002 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT 0.3% American Power Conversion Corp. 3,054 $ 93,422 ------------- TOTAL ELECTRICAL EQUIPMENT 93,422 ------------- TRADING COMPANIES & DISTRIBUTORS 0.3% Fastenal Co.+ 2,267 81,340 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 81,340 ------------- TOTAL INDUSTRIALS 1,003,216 ------------- TELECOMMUNICATION SERVICES 1.2% WIRELESS TELECOMMUNICATION SERVICES 0.8% NII Holdings, Inc. -- Class B*+ 2,360 152,079 Millicom International Cellular SA*+ 1,527 94,124 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 246,203 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES 0.4% Level 3 Communications, Inc.*+ 18,020 100,912 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 100,912 ------------- TOTAL TELECOMMUNICATION SERVICES 347,115 ------------- CONSUMER STAPLES 1.0% FOOD & DRUG RETAILING 1.0% Costco Wholesale Corp.+ 3,790 200,377 Whole Foods Market, Inc.+ 2,150 100,900 ------------- TOTAL FOOD & DRUG RETAILING 301,277 ------------- TOTAL CONSUMER STAPLES 301,277 ------------- MATERIALS 0.2% CHEMICALS 0.2% Sigma-Aldrich Corp. 990 76,943 ------------- TOTAL CHEMICALS 76,943 ------------- TOTAL MATERIALS 76,943 ------------- ENERGY 0.2% ENERGY EQUIPMENT & SERVICES 0.2% Patterson-UTI Energy, Inc.+ 2,520 58,540 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 58,540 ------------- TOTAL ENERGY 58,540 ------------- TOTAL COMMON STOCKS (Cost $17,897,861) 23,571,508 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 23.9% Repurchase Agreement (Note 5) 4.90% due 01/02/07++ $ 2,881,307 2,881,307 4.80% due 01/02/07 937,977 937,977 4.79% due 01/02/07 937,977 937,977 4.65% due 01/02/07 937,977 937,977 4.60% due 01/02/07++ 1,395,955 1,395,955 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $7,091,193) 7,091,193 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 73 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC OTC FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 24.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) $ 7,320,487 $ 7,320,487 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $7,320,487) 7,320,487 ------------- TOTAL INVESTMENTS 128.0% (Cost $32,309,541) $ 37,983,188 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (28.0)% $ (8,310,576) ============= NET ASSETS - 100.0% $ 29,672,612 ------------------------------------------------------------------------------- UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 Nasdaq 100 Index Mini Futures Contracts (Aggregate Market Value of Contracts $354,900) 10 $ 248 ============= UNITS ------------- EQUITY INDEX SWAP AGREEMENTS March 2007 Nasdaq 100 Index Swap, Terminating 03/29/07** (Notional Market Value $29,280,364) 16,666 $ (38,110) March 2007 Nasdaq 100 Index Swap, Terminating 03/14/07** (Notional Market Value $6,496,317) 3,698 (479) ------------- (TOTAL NOTIONAL MARKET VALUE $35,776,681) $ (38,589) ============= * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. 74 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 67.4% FINANCIALS 11.9% INSURANCE 3.8% Everest Re Group Ltd. 2,840 $ 278,632 W.R. Berkley Corp. 7,652 264,071 HCC Insurance Holdings, Inc. 6,960 223,346 Protective Life Corp. 4,430 210,425 American Financial Group, Inc.+ 5,355 192,298 Horace Mann Educators Corp. 7,533 152,167 Stancorp Financial Group, Inc. 1,650 74,332 Old Republic International Corp. 2,720 63,322 Fidelity National Financial, Inc. -- Class A 1,195 28,537 ------------- TOTAL INSURANCE 1,487,130 ------------- REAL ESTATE 2.8% Regency Centers Corp. 3,260 254,834 AMB Property Corp. 4,200 246,162 Liberty Property Trust+ 4,630 227,518 Potlatch Corp.+ 4,060 177,909 Hospitality Properties Trust+ 1,740 82,702 Macerich Co.+ 790 68,390 Developers Diversified Realty Corp.+ 550 34,623 ------------- TOTAL REAL ESTATE 1,092,138 ------------- CAPITAL MARKETS 1.7% A.G. Edwards, Inc.+ 4,057 256,767 SEI Investments Co.+ 2,660 158,430 Investors Financial Services Corp.+ 3,250 138,677 Nuveen Investments, Inc. -- Class A 1,860 96,497 Eaton Vance Corp.+ 860 28,389 ------------- TOTAL CAPITAL MARKETS 678,760 ------------- BANKS 1.7% Colonial BancGroup, Inc. 8,830 227,284 Cullen/Frost Bankers, Inc. 3,950 220,489 Greater Bay Bancorp+ 6,250 164,563 Cathay General Bancorp 1,240 42,792 Mercantile Bankshares Corp. 60 2,807 ------------- TOTAL BANKS 657,935 ------------- THRIFTS & MORTGAGE FINANCE 1.3% PMI Group, Inc.+ 5,030 237,265 Radian Group, Inc.+ 4,360 235,048 Webster Financial Corp. 410 19,975 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 492,288 ------------- CONSUMER FINANCE 0.6% AmeriCredit Corp.*+ 8,398 211,378 ------------- TOTAL CONSUMER FINANCE 211,378 ------------- TOTAL FINANCIALS 4,619,629 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INDUSTRIALS 10.6% MACHINERY 2.9% Joy Global, Inc.+ 5,790 $ 279,888 Oshkosh Truck Corp. 4,430 214,501 Timken Co.+ 6,620 193,172 Crane Co. 4,570 167,445 Nordson Corp. 2,160 107,633 Lincoln Electric Holdings, Inc. 1,710 103,318 AGCO Corp.*+ 1,670 51,670 Graco, Inc.+ 2 79 ------------- TOTAL MACHINERY 1,117,706 ------------- COMMERCIAL SERVICES & SUPPLIES 2.8% Manpower, Inc. 3,860 289,230 Adesa, Inc. 7,170 198,968 Dun & Bradstreet Corp.*+ 1,920 158,957 Korn/Ferry International, Inc.*+ 6,640 152,454 Navigant Consulting, Inc.*+ 7,690 151,954 Kelly Services, Inc. 4,950 143,253 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,094,816 ------------- ROAD & RAIL 1.3% Avis Budget Group, Inc. 8,490 184,148 YRC Worldwide, Inc.*+ 4,610 173,935 Swift Transportation Co., Inc.* 5,880 154,468 ------------- TOTAL ROAD & RAIL 512,551 ------------- AEROSPACE & DEFENSE 1.0% Precision Castparts Corp.+ 3,410 266,935 DRS Technologies, Inc.+ 2,220 116,949 ------------- TOTAL AEROSPACE & DEFENSE 383,884 ------------- CONSTRUCTION & ENGINEERING 0.9% Quanta Services, Inc.*+ 9,980 196,307 Granite Construction, Inc. 3,320 167,062 ------------- TOTAL CONSTRUCTION & ENGINEERING 363,369 ------------- AIR FREIGHT & COURIERS 0.6% Expeditors International Washington, Inc.+ 4,280 173,340 CH Robinson Worldwide, Inc.+ 1,162 47,514 ------------- TOTAL AIR FREIGHT & COURIERS 220,854 ------------- TRADING COMPANIES & DISTRIBUTORS 0.5% United Rentals, Inc.* 6,803 173,000 MSC Industrial Direct Co. -- Class A+ 710 27,797 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 200,797 ------------- INDUSTRIAL CONGLOMERATES 0.3% Teleflex, Inc.+ 1,930 124,601 ------------- TOTAL INDUSTRIAL CONGLOMERATES 124,601 ------------- ELECTRICAL EQUIPMENT 0.3% Roper Industries, Inc. 1,180 59,283 Thomas & Betts Corp.* 1,200 56,736 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 75 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AMETEK, Inc. 155 $ 4,935 ------------- TOTAL ELECTRICAL EQUIPMENT 120,954 ------------- TOTAL INDUSTRIALS 4,139,532 ------------- CONSUMER DISCRETIONARY 10.5% SPECIALTY RETAIL 4.9% American Eagle Outfitters, Inc. 8,955 279,485 Abercrombie & Fitch Co. -- Class A+ 3,980 277,127 Foot Locker, Inc.+ 9,300 203,949 Rent-A-Center, Inc.*+ 6,460 190,635 Payless Shoesource, Inc.* 5,780 189,700 AnnTaylor Stores Corp.* 5,509 180,916 Regis Corp. 4,480 177,139 Aeropostale, Inc.* 5,610 173,181 Charming Shoppes, Inc.*+ 10,440 141,253 Dick's Sporting Goods, Inc.*+ 870 42,621 GameStop Corp. -- Class A*+ 690 38,026 ------------- TOTAL SPECIALTY RETAIL 1,894,032 ------------- HOUSEHOLD DURABLES 1.4% Mohawk Industries, Inc.*+ 2,940 220,089 Tupperware Brands Corp.+ 7,630 172,514 Furniture Brands International, Inc.+ 5,770 93,647 M.D.C. Holdings, Inc. 919 52,429 ------------- TOTAL HOUSEHOLD DURABLES 538,679 ------------- MEDIA 1.2% Lee Enterprises, Inc.+ 5,633 174,961 Harte-Hanks, Inc. 5,840 161,826 Media General, Inc. 2,645 98,315 Valassis Communications, Inc.*+ 3,390 49,155 ------------- TOTAL MEDIA 484,257 ------------- MULTILINE RETAIL 0.9% Dollar Tree Stores, Inc.*+ 6,250 188,125 99 Cents Only Stores* 13,350 162,469 ------------- TOTAL MULTILINE RETAIL 350,594 ------------- HOTELS, RESTAURANTS & LEISURE 0.8% Ruby Tuesday, Inc.+ 5,720 156,957 Bob Evans Farms, Inc.+ 2,930 100,265 International Speedway Corp. -- Class A 850 43,384 CBRL Group, Inc. 570 25,513 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 326,119 ------------- COMMERCIAL SERVICES & SUPPLIES 0.6% DeVry, Inc.+ 6,340 177,520 Sotheby's Holdings, Inc. -- Class A 1,870 58,007 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 235,527 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AUTO COMPONENTS 0.4% BorgWarner, Inc.+ 2,470 $ 145,779 ------------- TOTAL AUTO COMPONENTS 145,779 ------------- TEXTILES & APPAREL 0.2% Polo Ralph Lauren Corp. 1,060 82,320 Timberland Co. -- Class A*+ 5 158 ------------- TOTAL TEXTILES & APPAREL 82,478 ------------- AUTOMOBILES 0.1% Thor Industries, Inc.+ 820 36,072 ------------- TOTAL AUTOMOBILES 36,072 ------------- TOTAL CONSUMER DISCRETIONARY 4,093,537 ------------- INFORMATION TECHNOLOGY 10.4% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.5% Lam Research Corp.*+ 5,850 296,127 Intersil Corp. -- Class A 8,650 206,908 Integrated Device Technology, Inc.* 10,780 166,874 MEMC Electronic Materials, Inc.*+ 4,060 158,908 Atmel Corp.* 9,140 55,297 Fairchild Semiconductor International, Inc.* 2,720 45,723 Microchip Technology, Inc.+ 1,170 38,259 Silicon Laboratories, Inc.*+ 110 3,812 Semtech Corp.* 150 1,961 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 973,869 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.0% Vishay Intertechnology, Inc.*+ 14,510 196,466 Ingram Micro, Inc. -- Class A* 8,200 167,362 Tech Data Corp.* 3,320 125,728 Plexus Corp.*+ 5,155 123,101 Avnet, Inc.*+ 4,540 115,906 CDW Corp.+ 900 63,288 Amphenol Corp. -- Class A+ 150 9,312 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 801,163 ------------- IT CONSULTING & SERVICES 1.8% BISYS Group, Inc.* 13,880 179,191 Acxiom Corp. 6,860 175,959 CSG Systems International, Inc.* 5,920 158,241 SRA International, Inc. -- Class A*+ 5,490 146,803 Alliance Data Systems Corp.*+ 890 55,598 ------------- TOTAL IT CONSULTING & SERVICES 715,792 ------------- SOFTWARE 1.6% Sybase, Inc.*+ 7,580 187,226 Fair Isaac Corp. 4,540 184,551 Jack Henry & Associates, Inc.+ 7,110 152,154 Mentor Graphics Corp.* 3,830 69,055 Macrovision Corp.*+ 1,250 35,325 ------------- TOTAL SOFTWARE 628,311 ------------- See Notes to Financial Statements. 76 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT 1.3% Polycom, Inc.*+ 6,200 $ 191,642 CommScope, Inc.*+ 5,712 174,102 Harris Corp. 2,060 94,472 ADTRAN, Inc.+ 1,210 27,467 Dycom Industries, Inc.*+ 310 6,547 ------------- TOTAL COMMUNICATIONS EQUIPMENT 494,230 ------------- COMPUTERS & PERIPHERALS 1.2% Western Digital Corp.* 11,390 233,040 Palm, Inc.*+ 11,790 166,121 Diebold, Inc.+ 1,160 54,056 ------------- TOTAL COMPUTERS & PERIPHERALS 453,217 ------------- TOTAL INFORMATION TECHNOLOGY 4,066,582 ------------- HEALTH CARE 7.2% HEALTH CARE PROVIDERS & SERVICES 2.8% Covance, Inc.*+ 3,688 217,260 Universal Health Services, Inc. -- Class B 3,720 206,200 Psychiatric Solutions, Inc.*+ 4,620 173,342 LifePoint Hospitals, Inc.* 5,120 172,544 Apria Healthcare Group, Inc.* 6,246 166,456 Health Net, Inc.* 1,600 77,856 Omnicare, Inc.+ 1,980 76,487 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,090,145 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 2.4% DENTSPLY International, Inc. 7,710 230,144 Hillenbrand Industries, Inc. 3,700 210,641 Edwards Lifesciences Corp.*+ 4,210 198,038 Advanced Medical Optics, Inc.*+ 5,120 180,224 Varian Medical Systems, Inc.*+ 1,950 92,762 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 911,809 ------------- BIOTECHNOLOGY 1.5% Cephalon, Inc.*+ 3,160 222,496 Martek Biosciences Corp.*+ 6,140 143,308 Charles River Laboratories International, Inc.*+ 3,130 135,372 Millennium Pharmaceuticals, Inc.* 5,830 63,547 Techne Corp.* 500 27,725 Vertex Pharmaceuticals, Inc.* 60 2,245 ------------- TOTAL BIOTECHNOLOGY 594,693 ------------- PHARMACEUTICALS 0.5% Perrigo Co.+ 5,520 95,496 Sepracor, Inc.*+ 1,320 81,285 Par Pharmaceutical Cos., Inc.* 610 13,646 ------------- TOTAL PHARMACEUTICALS 190,427 ------------- TOTAL HEALTH CARE 2,787,074 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- UTILITIES 5.8% MULTI-UTILITIES 2.5% Wisconsin Energy Corp. 5,520 $ 261,979 OGE Energy Corp.+ 5,460 218,400 Puget Energy, Inc. 7,990 202,627 NSTAR+ 4,400 151,184 Aquila, Inc.* 28,280 132,916 ------------- TOTAL MULTI-UTILITIES 967,106 ------------- ELECTRIC UTILITIES 2.2% Sierra Pacific Resources* 13,086 220,237 Pepco Holdings, Inc.+ 7,976 207,456 Westar Energy, Inc.+ 6,950 180,422 Black Hills Corp. 3,200 118,208 IDACORP, Inc. 3,040 117,496 ------------- TOTAL ELECTRIC UTILITIES 843,819 ------------- GAS UTILITIES 1.1% Oneok, Inc. 5,570 240,178 AGL Resources, Inc. 5,210 202,721 ------------- TOTAL GAS UTILITIES 442,899 ------------- TOTAL UTILITIES 2,253,824 ------------- ENERGY 5.3% OIL & GAS 3.0% Noble Energy, Inc.+ 6,600 323,862 Newfield Exploration Co.* 5,690 261,455 Plains Exploration & Production Co.*+ 4,540 215,786 Pogo Producing Co.+ 3,620 175,353 Overseas Shipholding Group, Inc.+ 2,955 166,367 Southwestern Energy Co.*+ 840 29,442 ------------- TOTAL OIL & GAS 1,172,265 ------------- ENERGY EQUIPMENT & SERVICES 2.3% ENSCO International, Inc.+ 6,001 300,410 Grant Prideco, Inc.* 5,140 204,418 Tidewater, Inc.+ 3,740 180,866 Pride International, Inc.*+ 3,830 114,938 Patterson-UTI Energy, Inc.+ 3,550 82,467 Cameron International Corp.*+ 250 13,263 Hanover Compressor Co.*+ 560 10,578 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 906,940 ------------- TOTAL ENERGY 2,079,205 ------------- MATERIALS 3.8% CHEMICALS 2.5% Lyondell Chemical Co.+ 10,260 262,348 FMC Corp. 2,750 210,512 Valspar Corp. 7,020 194,033 Cytec Industries, Inc.+ 2,150 121,497 Airgas, Inc. 2,933 118,845 Albemarle Corp. 850 61,030 ------------- TOTAL CHEMICALS 968,265 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 77 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- METALS & MINING 0.8% Steel Dynamics, Inc.+ 6,220 $ 201,839 Reliance Steel & Aluminum Co.+ 2,202 86,715 Commercial Metals Co. 690 17,802 ------------- TOTAL METALS & MINING 306,356 ------------- CONTAINERS & PACKAGING 0.5% Sonoco Products Co. 5,860 223,032 ------------- TOTAL CONTAINERS & PACKAGING 223,032 ------------- TOTAL MATERIALS 1,497,653 ------------- CONSUMER STAPLES 1.7% HOUSEHOLD PRODUCTS 0.5% Energizer Holdings, Inc.*+ 2,890 205,161 ------------- TOTAL HOUSEHOLD PRODUCTS 205,161 ------------- FOOD PRODUCTS 0.5% J.M. Smucker Co. 4,050 196,303 ------------- TOTAL FOOD PRODUCTS 196,303 ------------- PERSONAL PRODUCTS 0.5% Alberto-Culver Co.+ 8,260 177,177 ------------- TOTAL PERSONAL PRODUCTS 177,177 ------------- BEVERAGES 0.2% Hansen Natural Corp.* 1,580 53,215 PepsiAmericas, Inc. 1,430 30,001 ------------- TOTAL BEVERAGES 83,216 ------------- TOTAL CONSUMER STAPLES 661,857 ------------- TELECOMMUNICATION SERVICES 0.2% WIRELESS TELECOMMUNICATION SERVICES 0.1% Telephone & Data Systems, Inc.+ 1,190 64,653 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 64,653 ------------- DIVERSIFIED TELECOMMUNICATION SERVICES 0.1% Cincinnati Bell, Inc.* 5,930 27,100 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 27,100 ------------- TOTAL TELECOMMUNICATION SERVICES 91,753 ------------- TOTAL COMMON STOCKS (Cost $24,123,921) 26,290,646 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 32.6% Repurchase Agreement (Note 5) 4.90% due 01/02/07++ $ 383,247 $ 383,247 4.80% due 01/02/07 3,235,099 3,235,099 4.79% due 01/02/07 3,235,099 3,235,099 4.65% due 01/02/07 3,235,099 3,235,099 4.60% due 01/02/07 2,620,430 2,620,430 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $12,708,974) 12,708,974 ------------- SECURITIES LENDING COLLATERAL 16.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 6,282,368 6,282,368 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $6,282,368) 6,282,368 ------------- TOTAL INVESTMENTS 116.1% (Cost $43,115,263) $ 45,281,988 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (16.1)% $ (6,296,044) ============= NET ASSETS - 100.0% $ 38,985,944 ------------------------------------------------------------------------------- UNREALIZED LOSS CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $23,397,440) 289 $ (279,950) ------------- UNITS EQUITY INDEX SWAP AGREEMENT ------------- February 2006 S&P MidCap 400 Index Swap, Terminating 02/22/07** (Notional Market Value $9,114,039) 11,331 $ (67,464) ------------- * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON S&P MIDCAP 400 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. 78 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- INVERSE MID-CAP FUND MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 25.1% Fannie Mae* 5.14% due 01/08/07 $ 500,000 $ 499,572 Freddie Mac* 5.00% due 01/02/07 1,000,000 1,000,000 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $1,499,572) 1,499,572 ------------- REPURCHASE AGREEMENTS 46.7% Repurchase Agreement (Note 5) 4.90% due 01/02/07+ 397,001 397,001 4.80% due 01/02/07 625,925 625,925 4.79% due 01/02/07 625,925 625,925 4.65% due 01/02/07 625,925 625,925 4.60% due 01/02/07 506,999 506,999 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,781,775) 2,781,775 ------------- TOTAL INVESTMENTS 71.8% (Cost $4,281,347) $4,281,347 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 28.2% $1,677,387 ============= NET ASSETS - 100.0% $5,958,734 ------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT March 2007 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $2,752,640) 34 14,923 ============= UNITS EQUITY INDEX SWAP AGREEMENT ------------- SOLD SHORT February 2007 S&P MidCap 400 Index Swap, Terminating 02/22/07** (Notional Market Value $3,215,647) 3,998 $ 56,353 ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON S&P MIDCAP 400 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 79 SCHEDULE OF INVESTMENTS December 31, 2006 ------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND ------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 61.7% FINANCIALS 13.5% REAL ESTATE 4.6% Alexandria Real Estate Equities, Inc. 90 $ 9,036 Realty Income Corp. 310 8,587 Nationwide Health Properties, Inc. 270 8,159 LaSalle Hotel Properties 160 7,336 Home Properties, Inc. 120 7,112 Entertainment Properties Trust 120 7,013 Post Properties, Inc. 150 6,855 Potlatch Corp. 150 6,573 Corporate Office Properties Trust SBI 130 6,561 Washington Real Estate Investment Trust 160 6,400 American Home Mortgage Investment Corp. 180 6,322 Strategic Hotel Capital, Inc. 270 5,883 Sunstone Hotel Investors, Inc. 220 5,881 BioMed Realty Trust, Inc. 200 5,720 Newcastle Investment Corp. 180 5,638 Senior Housing Properties Trust 230 5,630 Pennsylvania Real Estate Investment Trust 140 5,513 Spirit Finance Corp. 410 5,113 FelCor Lodging Trust, Inc. 230 5,023 Cousins Properties, Inc. 140 4,938 Equity Lifestyle Properties, Inc. 90 4,899 Eastgroup Properties, Inc. 90 4,820 Tanger Factory Outlet Centers, Inc. 120 4,690 Highwoods Properties, Inc. 110 4,484 PS Business Parks, Inc. 60 4,243 Highland Hospitality Corp. 290 4,132 Sovran Self Storage, Inc. 70 4,010 Acadia Realty Trust 160 4,003 Franklin Street Properties Corp., Inc. 190 3,999 Ashford Hospitality Trust, Inc. 310 3,860 Anthracite Capital, Inc. 300 3,819 NorthStar Realty Finance Corp. 220 3,645 Parkway Properties, Inc. 70 3,571 Medical Properties Trust, Inc. 230 3,519 Equity Inns, Inc. 220 3,511 Impac Mortgage Holdings, Inc. 390 3,432 Innkeepers USA Trust 220 3,410 Kite Realty Group Trust 170 3,165 RAIT Financial Trust 90 3,103 Capital Trust, Inc. -- Class A 60 2,996 Winston Hotels, Inc. 210 2,783 MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- First Potomac Realty Trust 80 $ 2,329 ------------- TOTAL REAL ESTATE 211,716 ------------- BANKS 4.5% SVB Financial Group* 180 8,392 Cathay General Bancorp 240 8,282 Westamerica Bancorporation 160 8,101 Pacific Capital Bancorp 240 8,059 International Bancshares Corp. 240 7,418 Chittenden Corp. 240 7,366 Greater Bay Bancorp 260 6,846 Sterling Financial Corp. 190 6,424 Wintrust Financial Corp. 130 6,243 Central Pacific Financial Corp. 160 6,202 Provident Bankshares Corp. 170 6,052 Citizens Banking Corp. 220 5,830 MB Financial Corp. 150 5,642 First Community Bancorp 100 5,227 First Republic Bank 130 5,080 Boston Private Financial Holdings, Inc. 180 5,078 National Penn Bancshares, Inc. 250 5,063 UMB Financial Corp. 130 4,746 Hanmi Financial Corp. 210 4,731 CVB Financial Corp. 320 4,627 Sterling Bancshares, Inc. 355 4,622 Prosperity Bancshares, Inc. 130 4,486 Chemical Financial Corp. 130 4,329 Signature Bank* 130 4,027 PrivateBancorp, Inc. 90 3,747 City Holding Co. 90 3,680 Banner Corp. 80 3,547 First Bancorp Puerto Rico 370 3,526 Capitol Bancorp Ltd. 70 3,234 Centennial Bank Holdings, Inc.* 340 3,216 Columbia Banking Systems, Inc. 90 3,161 Western Alliance Bancorp, Inc.* 90 3,129 Integra Bank Corp. 110 3,027 Texas Capital Bancshares, Inc.* 150 2,982 Nara Bancorp, Inc. 140 2,929 Pinnacle Financial Partners, Inc.* 80 2,654 Old National Bancorp 140 2,649 Virginia Commerce Bancorp, Inc.* 130 2,584 Seacoast Banking Corporation of Florida 100 2,480 Wilshire Bancorp, Inc. 130 2,466 Community Bancorp* 80 2,415 Texas United Bancshares, Inc. 70 2,404 Preferred Bank 40 2,404 Placer Sierra Bancshares 100 2,377 Intervest Bancshares Corp.* 60 2,065 Independent Bank Corp. 60 1,517 ------------- TOTAL BANKS 205,066 ------------- See Notes to Financial Statements. 80 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 ------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND ------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INSURANCE 1.7% Ohio Casualty Corp. 250 $ 7,452 Selective Insurance Group, Inc. 120 6,875 Zenith National Insurance Corp. 140 6,567 Delphi Financial Group, Inc. -- Class A 160 6,473 Argonaut Group, Inc.* 160 5,578 RLI Corp. 90 5,078 LandAmerica Financial Group, Inc. 70 4,418 Infinity Property & Casualty Corp. 90 4,355 Safety Insurance Group, Inc. 80 4,057 Navigators Group, Inc.* 70 3,373 Universal American Financial Corp.* 180 3,355 Tower Group, Inc. 100 3,107 Odyssey Re Holdings Corp. 80 2,984 Harleysville Group, Inc. 80 2,786 FPIC Insurance Group, Inc.* 70 2,728 EMC Insurance Group, Inc. 70 2,388 Meadowbrook Insurance Group, Inc.* 220 2,176 American Physicians Capital, Inc.* 50 2,002 ------------- TOTAL INSURANCE 75,752 ------------- THRIFTS & MORTGAGE FINANCE 1.3% Downey Financial Corp. 90 6,532 MAF Bancorp, Inc. 140 6,257 First Niagara Financial Group, Inc. 420 6,241 FirstFed Financial Corp.* 90 6,027 Corus Bankshares, Inc. 200 4,614 PFF Bancorp, Inc. 130 4,486 W Holding Co., Inc. 570 3,397 Triad Guaranty, Inc.* 60 3,292 Flagstar Bancorp, Inc. 220 3,265 Ocwen Financial Corp.* 200 3,172 TierOne Corp. 100 3,161 Franklin Bank Corp.* 150 3,081 Accredited Home Lenders Holding Co.* 110 3,001 Fidelity Bankshares, Inc. 50 1,984 Fremont General Corp. 120 1,945 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 60,455 ------------- CAPITAL MARKETS 0.7% Knight Capital Group, Inc. -- Class A* 390 7,476 Piper Jaffray Cos., Inc.* 80 5,212 Waddell & Reed Financial, Inc. -- Class A 180 4,925 SWS Group, Inc. 100 3,570 Calamos Asset Management, Inc. -- Class A 120 3,219 LaBranche & Co., Inc.* 320 3,146 MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- optionsXpress Holdings, Inc. 110 $ 2,496 TradeStation Group, Inc.* 180 2,475 ------------- TOTAL CAPITAL MARKETS 32,519 ------------- CONSUMER FINANCE 0.5% Advanta Corp. 100 4,363 World Acceptance Corp.* 90 4,225 CompuCredit Corp.* 100 3,981 Cash America International, Inc. 80 3,752 Ezcorp, Inc. -- Class A* 150 2,438 First Cash Financial Services, Inc.* 90 2,328 Advance America Cash Advance Centers, Inc. 130 1,905 Asta Funding, Inc. 50 1,522 ------------- TOTAL CONSUMER FINANCE 24,514 ------------- DIVERSIFIED FINANCIALS 0.2% International Securities Exchange Holdings, Inc. 80 3,743 Financial Federal Corp. 120 3,529 Portfolio Recovery Associates, Inc.* 70 3,269 ------------- TOTAL DIVERSIFIED FINANCIALS 10,541 ------------- TOTAL FINANCIALS 620,563 ------------- INFORMATION TECHNOLOGY 11.6% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.4% Varian Semiconductor Equipment Associates, Inc.* 210 9,559 Formfactor, Inc.* 170 6,332 ON Semiconductor Corp.* 730 5,526 RF Micro Devices, Inc.* 720 4,889 Amkor Technology, Inc.* 500 4,670 Atheros Communications, Inc.* 210 4,477 Silicon Image, Inc.* 350 4,452 Cabot Microelectronics Corp.* 120 4,073 Trident Microsystems, Inc.* 220 4,000 MKS Instruments, Inc.* 170 3,839 Advanced Energy Industries, Inc.* 200 3,774 Micrel, Inc.* 350 3,773 Zoran Corp.* 250 3,645 OmniVision Technologies, Inc.* 260 3,549 Diodes, Inc.* 90 3,193 Intevac, Inc.* 120 3,114 Actel Corp.* 170 3,087 DSP Group, Inc.* 140 3,038 Kulicke & Soffa Industries, Inc.* 350 2,940 Hittite Microwave Corp.* 90 2,909 Mattson Technology, Inc.* 310 2,889 Cohu, Inc. 140 2,822 Cirrus Logic, Inc.* 410 2,821 Netlogic Microsystems, Inc.* 130 2,820 Asyst Technologies, Inc.* 370 2,705 AMIS Holdings, Inc.* 200 2,114 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 81 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 ------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND ------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- Semtech Corp.* 160 $ 2,091 Supertex, Inc.* 50 1,962 Veeco Instruments, Inc.* 100 1,873 Cymer, Inc.* 30 1,319 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 108,255 ------------- SOFTWARE 2.1% Sybase, Inc.* 320 7,904 TIBCO Software, Inc.* 800 7,552 Hyperion Solutions Corp.* 210 7,547 Micros Systems, Inc.* 140 7,378 Jack Henry & Associates, Inc. 310 6,634 Net 1 UEPS Technologies, Inc.* 200 5,912 MicroStrategy, Inc. -- Class A* 50 5,701 Macrovision Corp.* 190 5,369 Kronos, Inc.* 140 5,144 Transaction Systems Architects, Inc. -- Class A* 140 4,560 Informatica Corp.* 330 4,029 Quest Software, Inc.* 220 3,223 Advent Software, Inc.* 90 3,176 Ansoft Corp.* 110 3,058 i2 Technologies, Inc.* 130 2,967 Ansys, Inc.* 60 2,609 Progress Software Corp.* 90 2,514 SPSS, Inc.* 80 2,406 Ultimate Software Group, Inc.* 100 2,326 Witness Systems, Inc.* 130 2,279 Smith Micro Software, Inc.* 160 2,270 Secure Computing Corp.* 270 1,771 ------------- TOTAL SOFTWARE 96,329 ------------- COMMUNICATIONS EQUIPMENT 1.8% Polycom, Inc.* 310 9,582 Foundry Networks, Inc.* 540 8,089 Interdigital Communications Corp.* 200 6,710 CommScope, Inc.* 210 6,401 ADTRAN, Inc. 270 6,129 Redback Networks, Inc.* 230 5,736 Arris Group, Inc.* 430 5,379 Utstarcom, Inc.* 500 4,375 Black Box Corp. 90 3,779 ViaSat, Inc.* 120 3,577 Packeteer, Inc.* 250 3,400 Mastec, Inc.* 270 3,116 Comtech Group, Inc.* 150 2,729 Oplink Communications, Inc.* 130 2,673 Blue Coat Systems, Inc.* 100 2,395 Radyne Corp., Inc.* 220 2,363 Sirenza Microdevices, Inc.* 300 2,358 Anaren, Inc.* 130 2,309 Carrier Access Corp.* 323 2,119 ------------- TOTAL COMMUNICATIONS EQUIPMENT 83,219 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.7% Flir Systems, Inc.* 260 $ 8,276 Benchmark Electronics, Inc.* 250 6,090 Daktronics, Inc. 150 5,527 Itron, Inc.* 100 5,184 Plexus Corp.* 210 5,015 Global Imaging Systems, Inc.* 220 4,829 Rofin-Sinar Technologies, Inc.* 70 4,232 Rogers Corp.* 70 4,140 Coherent, Inc.* 120 3,788 Scansource, Inc.* 110 3,344 Littelfuse, Inc.* 100 3,188 MTS Systems Corp. 80 3,090 Cogent, Inc.* 260 2,863 TTM Technologies, Inc.* 250 2,832 Radisys Corp.* 150 2,501 CTS Corp. 150 2,355 Park Electrochemical Corp. 90 2,309 Zygo Corp., Inc.* 140 2,303 Agilsys, Inc. 120 2,009 Acacia Research - Acacia Technologies* 140 1,873 SYNNEX Corp.* 80 1,755 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 77,503 ------------- INTERNET SOFTWARE & SERVICES 1.5% Digital River, Inc.* 140 7,811 aQuantive, Inc.* 270 6,658 Digitas, Inc.* 430 5,766 j2 Global Communications, Inc.* 190 5,177 RealNetworks, Inc.* 440 4,814 Websense, Inc.* 210 4,794 ValueClick, Inc.* 200 4,726 United Online, Inc. 290 3,851 Internap Network Services Corp.* 180 3,577 Interwoven, Inc.* 240 3,521 The Knot, Inc.* 120 3,149 InfoSpace, Inc.* 150 3,076 webMethods, Inc.* 370 2,723 Perficient, Inc.* 150 2,462 TheStreet.com, Inc. 250 2,225 Vignette Corp.* 130 2,219 SonicWALL, Inc.* 250 2,105 Travelzoo, Inc.* 60 1,797 ------------- TOTAL INTERNET SOFTWARE & SERVICES 70,451 ------------- IT CONSULTING & SERVICES 1.3% CACI International, Inc. -- Class A* 120 6,780 MPS Group, Inc.* 420 5,955 BISYS Group, Inc.* 460 5,938 Perot Systems Corp. -- Class A* 310 5,081 CSG Systems International, Inc.* 190 5,079 eFunds Corp.* 180 4,950 Talx Corp. 140 3,843 See Notes to Financial Statements. 82 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 ------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND ------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- Mantech International Corp. -- Class A* 90 $ 3,315 SYKES Enterprises, Inc.* 170 2,999 Gevity HR, Inc. 120 2,843 Lightbridge, Inc.* 200 2,708 RightNow Technologies, Inc.* 140 2,411 Integral Systems, Inc. 100 2,317 Keane, Inc.* 190 2,263 SRA International, Inc. -- Class A* 80 2,139 ------------- TOTAL IT CONSULTING & SERVICES 58,621 ------------- COMPUTERS & PERIPHERALS 0.8% Brocade Communications Systems, Inc.* 960 7,882 Imation Corp. 150 6,964 Electronics for Imaging, Inc.* 260 6,911 Palm, Inc.* 410 5,777 Komag, Inc.* 140 5,303 McData Corp. -- Class A* 760 4,218 ------------- TOTAL COMPUTERS & PERIPHERALS 37,055 ------------- TOTAL INFORMATION TECHNOLOGY 531,433 ------------- CONSUMER DISCRETIONARY 10.0% SPECIALTY RETAIL 2.4% Payless Shoesource, Inc.* 240 7,877 Rent-A-Center, Inc.* 250 7,377 Regis Corp. 180 7,117 Men's Wearhouse, Inc. 180 6,887 Aeropostale, Inc.* 220 6,791 Charming Shoppes, Inc.* 480 6,494 Guess ?, Inc.* 90 5,709 Gymboree Corp.* 140 5,342 Group 1 Automotive, Inc. 100 5,172 Dress Barn, Inc.* 200 4,666 Stage Stores, Inc. 130 3,951 Cato Corp. -- Class A 160 3,666 Buckle, Inc. 70 3,560 Select Comfort Corp.* 200 3,478 DSW, Inc.* 90 3,471 CSK Auto Corp.* 200 3,430 The Wet Seal, Inc. -- Class A* 470 3,135 Charlotte Russe Holding, Inc.* 100 3,075 Books-A-Million, Inc. 120 2,722 Christopher & Banks Corp. 140 2,612 Bebe Stores, Inc. 130 2,573 Shoe Carnival, Inc.* 80 2,528 Asbury Automotive Group, Inc. 100 2,356 Talbots, Inc. 90 2,169 Tween Brands, Inc.* 40 1,597 ------------- TOTAL SPECIALTY RETAIL 107,755 ------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE 1.9% Jack in the Box, Inc.* 130 $ 7,935 Sonic Corp.* 310 7,425 Ruby Tuesday, Inc. 230 6,311 Pinnacle Entertainment, Inc.* 190 6,297 CEC Entertainment, Inc.* 140 5,635 CBRL Group, Inc. 120 5,371 CKE Restaurants, Inc. 280 5,152 WMS Industries, Inc.* 140 4,881 Bob Evans Farms, Inc. 140 4,791 Rare Hospitality International, Inc.* 140 4,610 Domino's Pizza, Inc. 160 4,480 IHOP Corp. 80 4,216 Papa John's International, Inc.* 110 3,191 AFC Enterprises* 170 3,004 Monarch Casino & Resort, Inc.* 100 2,388 Ruth's Chris Steak House* 130 2,376 Speedway Motorsports, Inc. 60 2,304 Landry's Restaurants, Inc. 70 2,106 Dover Downs Gaming & Entertainment, Inc. 140 1,872 Ameristar Casinos, Inc. 50 1,537 Texas Roadhouse, Inc.* 5 66 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 85,948 ------------- TEXTILES & APPAREL 1.2% Phillips-Van Heusen Corp. 190 9,532 Wolverine World Wide, Inc. 220 6,274 Brown Shoe Co., Inc. 120 5,729 Warnaco Group, Inc.* 190 4,822 Kellwood Co. 130 4,228 Oxford Industries, Inc. 80 3,972 Deckers Outdoor Corp.* 60 3,597 Carter's, Inc.* 140 3,570 K-Swiss, Inc. -- Class A 100 3,074 Iconix Brand Group, Inc.* 150 2,909 Steven Madden Ltd. 80 2,807 Columbia Sportswear Co. 50 2,785 True Religion Apparel, Inc.* 140 2,143 Maidenform Brands, Inc.* 88 1,595 ------------- TOTAL TEXTILES & APPAREL 57,037 ------------- MEDIA 1.2% Lee Enterprises, Inc. 190 5,902 Scholastic Corp.* 150 5,376 Catalina Marketing Corp. 180 4,950 Arbitron, Inc. 110 4,778 Entercom Communications Corp. 160 4,509 RCN Corp.* 140 4,221 Interactive Data Corp. 160 3,846 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 83 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 ------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND ------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- Valassis Communications, Inc.* 230 $ 3,335 CKX, Inc.* 270 3,167 Morningstar, Inc.* 60 2,703 Westwood One, Inc. 380 2,683 Journal Register Co. 320 2,336 Harris Interactive, Inc.* 450 2,268 Cumulus Media, Inc. -- Class A* 180 1,870 Citadel Broadcasting Corp. 150 1,494 ------------- TOTAL MEDIA 53,438 ------------- HOUSEHOLD DURABLES 1.0% Yankee Candle Co., Inc. 170 5,828 Tupperware Brands Corp. 250 5,653 Meritage Homes Corp.* 110 5,249 Ethan Allen Interiors, Inc. 140 5,055 American Greetings Corp. -- Class A 210 5,013 Tempur-Pedic International, Inc.* 240 4,910 Champion Enterprises, Inc.* 380 3,557 Furniture Brands International, Inc . 200 3,246 Interface, Inc. -- Class A* 210 2,986 Blyth, Inc. 140 2,905 Brookfield Homes Corp. 60 2,253 ------------- TOTAL HOUSEHOLD DURABLES 46,655 ------------- AUTO COMPONENTS 0.5% ArvinMeritor, Inc. 320 5,834 Tenneco, Inc.* 200 4,944 Lear Corp. 140 4,134 Aftermarket Technology Corp.* 130 2,766 Fuel Systems Solutions, Inc.* 120 2,650 Drew Industries, Inc.* 80 2,081 LKQ Corp.* 60 1,379 ------------- TOTAL AUTO COMPONENTS 23,788 ------------- COMMERCIAL SERVICES & SUPPLIES 0.4% Sotheby's Holdings, Inc. -- Class A 220 6,824 Jackson Hewitt Tax Service, Inc. 130 4,416 Corinthian Colleges, Inc.* 310 4,225 Pre-Paid Legal Services, Inc.* 60 2,348 Vertrue, Inc.* 60 2,305 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 20,118 ------------- LEISURE EQUIPMENT & PRODUCTS 0.4% Marvel Entertainment, Inc.* 200 5,382 RC2 Corp.* 90 3,960 MarineMax, Inc.* 110 2,852 Jakks Pacific, Inc.* 110 2,403 Oakley, Inc. 110 2,207 Smith & Wesson Holding Corp.* 210 2,171 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 18,975 ------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL 0.3% Priceline.com, Inc.* 120 $ 5,233 Systemax, Inc.* 190 3,315 Netflix, Inc.* 90 2,327 FTD Group, Inc.* 130 2,326 PetMed Express, Inc.* 130 1,736 ------------- TOTAL INTERNET & CATALOG RETAIL 14,937 ------------- MULTILINE RETAIL 0.3% Big Lots, Inc.* 390 8,939 Bon-Ton Stores, Inc. 70 2,425 ------------- TOTAL MULTILINE RETAIL 11,364 ------------- AUTOMOBILES 0.2% Winnebago Industries, Inc. 130 4,278 Monaco Coach Corp. 210 2,974 ------------- TOTAL AUTOMOBILES 7,252 ------------- DISTRIBUTORS 0.1% Building Material Holding Corp. 150 3,704 Keystone Automotive Industries, Inc.* 90 3,059 ------------- TOTAL DISTRIBUTORS 6,763 ------------- INTERNET SOFTWARE & SERVICES 0.1% INVESTools, Inc.* 260 3,585 ------------- TOTAL INTERNET SOFTWARE & SERVICES 3,585 ------------- TOTAL CONSUMER DISCRETIONARY 457,615 ------------- INDUSTRIALS 8.6% COMMERCIAL SERVICES & SUPPLIES 2.5% Watson Wyatt & Co. Holdings 160 7,224 Waste Connections, Inc.* 170 7,063 Brady Corp. -- Class A 170 6,338 John H. Harland Co. 120 6,024 United Stationers, Inc.* 120 5,603 Herman Miller, Inc. 140 5,090 Labor Ready, Inc.* 260 4,766 Korn/Ferry International, Inc.* 200 4,592 Viad Corp. 110 4,466 Advisory Board Co.* 80 4,283 Heidrick & Struggles International, Inc.* 100 4,236 Mine Safety Appliances Co. 110 4,031 CoStar Group, Inc.* 70 3,749 Amrep Corp. 30 3,675 American Reprographics Co.* 110 3,664 Consolidated Graphics, Inc.* 60 3,544 Ennis Inc. 140 3,424 Deluxe Corp. 120 3,024 Volt Information Sciences, Inc.* 60 3,013 Kenexa Corp. -- Class A* 90 2,993 Layne Christensen Co.* 90 2,955 CBIZ, Inc.* 400 2,788 PeopleSupport, Inc.* 130 2,737 See Notes to Financial Statements. 84 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 ------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND ------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMSYS IT Partners, Inc.* 130 $ 2,627 Pike Electric Corp.* 150 2,450 Waste Industries USA, Inc. 80 2,442 Kforce, Inc.* 200 2,434 Rollins, Inc. 110 2,432 ICT Group, Inc.* 70 2,211 School Specialty, Inc.* 50 1,875 Spherion Corp.* 200 1,486 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 117,239 ------------- MACHINERY 1.7% Bucyrus International, Inc. -- Class A 140 7,246 Wabtec Corp. 210 6,380 Nordson Corp. 120 5,980 Actuant Corp. -- Class A 120 5,718 Watts Industries, Inc. -- Class A 130 5,344 Navistar International Corp.* 150 5,014 Mueller Industries, Inc. 140 4,438 Kaydon Corp. 110 4,371 Barnes Group, Inc. 170 3,697 RBC Bearings, Inc.* 120 3,439 Middleby Corp.* 30 3,140 EnPro Industries, Inc.* 90 2,989 American Science & Engineering, Inc.* 50 2,976 Freightcar America, Inc. 50 2,773 Columbus McKinnon Corp. -- Class A* 130 2,733 NACCO Industries, Inc. -- Class A 20 2,732 Dynamic Materials Corp. 90 2,529 Astec Industries, Inc.* 60 2,106 Ampco-Pittsburgh Corp. PLC 60 2,009 Albany International Corp. -- Class A 60 1,975 ------------- TOTAL MACHINERY 77,589 ------------- ELECTRICAL EQUIPMENT 1.0% Acuity Brands, Inc. 170 8,847 General Cable Corp.* 190 8,305 Regal-Beloit Corp. 140 7,352 Genlyte Group, Inc.* 90 7,030 Woodward Governor Co. 120 4,765 A.O. Smith Corp. 100 3,756 II-VI, Inc.* 130 3,632 Lamson & Sessions Co., Inc.* 120 2,911 ------------- TOTAL ELECTRICAL EQUIPMENT 46,598 ------------- AEROSPACE & DEFENSE 0.8% BE Aerospace, Inc.* 310 7,961 Ceradyne, Inc.* 100 5,650 Teledyne Technologies, Inc.* 130 5,217 Orbital Sciences Corp.* 250 4,610 Hexcel Corp.* 190 3,308 MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- EDO Corp. 130 $ 3,086 United Industrial Corp. 60 3,045 K&F Industries Holdings, Inc.* 130 2,952 ------------- TOTAL AEROSPACE & DEFENSE 35,829 ------------- BUILDING PRODUCTS 0.5% Simpson Manufacturing Co., Inc. 170 5,380 NCI Building Systems, Inc.* 80 4,140 Ameron International Corp. 50 3,818 American Woodmark Corp. 80 3,348 Builders FirstSource, Inc.* 150 2,675 PW Eagle, Inc. 70 2,415 Universal Forest Products, Inc. 40 1,865 ------------- TOTAL BUILDING PRODUCTS 23,641 ------------- CONSTRUCTION & ENGINEERING 0.5% EMCOR Group, Inc.* 120 6,822 Granite Construction, Inc. 130 6,542 Washington Group International, Inc.* 60 3,587 Infrasource Services, Inc.* 150 3,265 Sterling Construction Co., Inc.* 100 2,176 ------------- TOTAL CONSTRUCTION & ENGINEERING 22,392 ------------- AIR FREIGHT & COURIERS 0.4% HUB Group, Inc. -- Class A* 170 4,684 Pacer International, Inc. 140 4,168 Atlas Air Worldwide Holdings Co., Inc.* 90 4,005 EGL, Inc.* 130 3,871 Forward Air Corp. 40 1,157 ------------- TOTAL AIR FREIGHT & COURIERS 17,885 ------------- AIRLINES 0.4% SkyWest, Inc. 260 6,633 JetBlue Airways Corp.* 360 5,112 Republic Airways Holdings, Inc.* 180 3,020 ExpressJet Holdings, Inc.* 360 2,916 ------------- TOTAL AIRLINES 17,681 ------------- ROAD & RAIL 0.4% Genesee & Wyoming, Inc. -- Class A* 180 4,723 Arkansas Best Corp. 100 3,600 Amerco, Inc.* 40 3,480 Heartland Express, Inc. 230 3,455 Saia, Inc.* 100 2,321 ------------- TOTAL ROAD & RAIL 17,579 ------------- TRADING COMPANIES & DISTRIBUTORS 0.2% Applied Industrial Technologies, Inc. 170 4,473 Beacon Roofing Supply, Inc.* 210 3,952 BlueLinx Holdings, Inc. 200 2,080 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 10,505 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 85 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MARINE 0.2% American Commercial Lines, Inc.* 70 $ 4,586 Horizon Lines, Inc. -- Class A 100 2,696 ------------- TOTAL MARINE 7,282 ------------- TOTAL INDUSTRIALS 394,220 ------------- HEALTH CARE 7.5% HEALTH CARE EQUIPMENT & SUPPLIES 2.7% Immucor, Inc.* 280 8,184 Bio--Rad Laboratories, Inc. -- Class A* 90 7,427 Mentor Corp. 140 6,842 Kyphon, Inc.* 160 6,464 West Pharmaceutical Services, Inc. 120 6,148 Varian, Inc.* 130 5,823 Hologic, Inc.* 110 5,201 Dionex Corp.* 90 5,104 Haemonetics Corp.* 110 4,952 American Medical Systems Holdings, Inc.* 250 4,630 Palomar Medical Technologies, Inc.* 90 4,560 Biosite, Inc.* 90 4,396 DJ Orthopedics, Inc.* 100 4,282 Zoll Medical Corp.* 70 4,077 ArthroCare Corp.* 100 3,992 Invacare Corp. 160 3,928 Integra LifeSciences Holdings Corp.* 90 3,833 Viasys Healthcare, Inc.* 130 3,617 Lifecell Corp.* 140 3,380 Intralase Corp.* 140 3,133 PharmaNet Development Group, Inc.* 130 2,869 OraSure Technologies, Inc.* 340 2,808 Quidel Corp.* 190 2,588 Conmed Corp.* 110 2,543 ICU Medical, Inc.* 60 2,441 Candela Corp.* 180 2,227 Meridian Bioscience, Inc. 90 2,208 SurModics, Inc.* 70 2,178 Abaxis, Inc.* 90 1,732 Steris Corp. 30 755 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 122,322 ------------- BIOTECHNOLOGY 1.8% OSI Pharmaceuticals, Inc.* 200 6,996 Illumina, Inc.* 170 6,683 BioMarin Pharmaceuticals, Inc.* 350 5,736 Alkermes, Inc.* 400 5,348 Myriad Genetics, Inc.* 160 5,008 United Therapeutics Corp.* 90 4,893 Digene Corp.* 90 4,313 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Cubist Pharmaceuticals, Inc.* 220 $ 3,984 Martek Biosciences Corp.* 170 3,968 Savient Pharmaceuticals, Inc.* 350 3,924 Alnylam Pharmaceuticals, Inc.* 170 3,638 Array Biopharma, Inc.* 240 3,101 Progenics Pharmaceuticals, Inc.* 120 3,089 Tanox, Inc.* 150 2,985 Trimeris, Inc.* 230 2,923 Luminex Corp.* 200 2,540 Senomyx, Inc.* 190 2,468 BioCryst Pharmaceuticals, Inc.* 210 2,428 Alexion Pharmaceuticals, Inc.* 60 2,423 Genomic Health, Inc.* 130 2,418 Indevus Pharmaceuticals, Inc.* 270 1,917 Pharmion Corp.* 60 1,544 Telik, Inc.* 210 930 Nuvelo, Inc.* 220 880 ------------- TOTAL BIOTECHNOLOGY 84,137 ------------- HEALTH CARE PROVIDERS & SERVICES 1.7% AMERIGROUP Corp.* 210 7,537 Magellan Health Services, Inc.* 150 6,483 Sunrise Senior Living, Inc.* 200 6,144 Apria Healthcare Group, Inc.* 210 5,596 Centene Corp.* 220 5,405 inVentiv Health, Inc.* 150 5,303 Corvel Corp.* 80 3,806 Kindred Healthcare, Inc.* 140 3,535 Gentiva Health Services, Inc.* 170 3,240 Omnicell, Inc.* 170 3,167 Vital Images, Inc.* 90 3,132 The Trizetto Group, Inc.* 160 2,939 Sun Healthcare Group, Inc.* 230 2,905 LHC Group, Inc.* 100 2,851 Amedisys, Inc.* 86 2,827 Molina Healthcare, Inc.* 80 2,601 PRA International* 100 2,527 Computer Programs & Systems, Inc. 70 2,379 Bio-Reference Labs, Inc.* 100 2,249 HealthExtras, Inc.* 90 2,169 Dendrite International, Inc.* 190 2,035 Odyssey HealthCare, Inc.* 110 1,459 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 80,289 ------------- PHARMACEUTICALS 1.3% Perrigo Co. 350 6,055 Valeant Pharmaceuticals International 350 6,034 Viropharma, Inc.* 350 5,124 KV Pharmaceutical Co.* 180 4,281 Alpharma, Inc. -- Class A 170 4,097 Par Pharmaceutical Cos., Inc.* 180 4,027 See Notes to Financial Statements. 86 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Medicis Pharmaceutical Corp. -- Class A 110 $ 3,864 New River Pharmaceuticals, Inc.* 70 3,830 Sciele Pharma, Inc.* 150 3,600 Advanced Magnetics, Inc.* 60 3,583 Noven Pharmaceuticals, Inc.* 140 3,563 Pozen, Inc.* 180 3,058 Bradley Pharmaceuticals, Inc.* 130 2,675 Pain Therapeutics, Inc.* 300 2,670 Kendle International, Inc.* 80 2,516 ------------- TOTAL PHARMACEUTICALS 58,977 ------------- TOTAL HEALTH CARE 345,725 ------------- ENERGY 3.2% OIL & GAS 1.6% USEC, Inc.* 450 5,724 Comstock Resources, Inc.* 180 5,591 Swift Energy Co.* 120 5,377 Berry Petroleum Co. -- Class A 160 4,962 Penn Virginia Corp. 70 4,903 Stone Energy Corp.* 110 3,888 Alpha Natural Resources, Inc.* 270 3,842 PetroHawk Energy Corp.* 270 3,105 Arena Resources, Inc.* 70 2,990 Carrizo Oil & Gas, Inc.* 100 2,902 Harvest Natural Resources, Inc.* 270 2,870 Energy Partners Ltd.* 110 2,686 Parallel Petroleum Corp.* 150 2,635 Petroleum Development Corp.* 60 2,583 Vaalco Energy, Inc.* 360 2,430 Alon USA Energy, Inc. 90 2,368 Bois d'Arc Energy, Inc.* 160 2,341 World Fuel Services Corp. 50 2,223 Crosstex Energy, Inc. 70 2,218 Edge Petroleum Corp.* 120 2,189 GMX Resources, Inc.* 60 2,130 Brigham Exploration Co.* 278 2,032 Callon Petroleum Co.* 90 1,353 Houston Exploration Co.* 20 1,036 ------------- TOTAL OIL & GAS 74,378 ------------- ENERGY EQUIPMENT & SERVICES 1.6% Lone Star Technologies, Inc.* 130 6,293 W-H Energy Services, Inc.* 120 5,843 Atwood Oceanics, Inc.* 110 5,387 Grey Wolf, Inc.* 780 5,351 Input/Output, Inc.* 370 5,043 Lufkin Industries, Inc. 80 4,646 Parker Drilling Co.* 560 4,575 Dril-Quip, Inc.* 110 4,307 Hornbeck Offshore Services, Inc.* 120 4,284 Allis-Chalmers Energy, Inc.* 150 3,456 GulfMark Offshore, Inc.* 90 3,367 Trico Marine Services, Inc.* 80 3,065 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Hydril* 40 $ 3,008 Dawson Geophysical Co.* 80 2,914 NATCO Group, Inc.* 90 2,869 Pioneer Drilling Co.* 210 2,789 Matrix Service Co.* 170 2,737 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 69,934 ------------- TOTAL ENERGY 144,312 ------------- MATERIALS 2.8% METALS & MINING 1.1% Oregon Steel Mills, Inc.* 140 8,737 Cleveland-Cliffs, Inc. 170 8,235 Chaparral Steel Co. 180 7,969 AK Steel Holding Corp.* 380 6,422 Quanex Corp. 160 5,534 Schnitzer Steel Industries, Inc. -- Class A 120 4,764 Gibraltar Industries, Inc. 140 3,291 Ryerson Tull, Inc. 130 3,262 Coeur d'Alene Mines Corp.* 580 2,871 Olympic Steel, Inc. 90 2,001 ------------- TOTAL METALS & MINING 53,086 ------------- CHEMICALS 0.9% OM Group, Inc.* 120 5,434 H.B. Fuller Co. 210 5,422 NewMarket Corp. 80 4,724 Hercules, Inc.* 240 4,635 Rockwood Holdings, Inc.* 150 3,789 Spartech Corp. 140 3,671 PolyOne Corp.* 480 3,600 Georgia Gulf Corp. 180 3,476 A. Schulman, Inc. 120 2,670 Pioneer Cos., Inc.* 90 2,579 Zoltek Cos., Inc.* 120 2,360 ------------- TOTAL CHEMICALS 42,360 ------------- CONTAINERS & PACKAGING 0.4% Greif, Inc. -- Class A 60 7,104 Silgan Holdings, Inc. 100 4,392 Myers Industries, Inc. 180 2,819 AEP Industries, Inc.* 50 2,665 ------------- TOTAL CONTAINERS & PACKAGING 16,980 ------------- PAPER & FOREST PRODUCTS 0.2% Neenah Paper, Inc. 90 3,179 Schweitzer-Mauduit International, Inc. 100 2,605 Deltic Timber Corp. 40 2,231 ------------- TOTAL PAPER & FOREST PRODUCTS 8,015 ------------- CONSTRUCTION MATERIALS 0.2% Headwaters, Inc.* 190 4,552 Texas Industries, Inc. 50 3,212 ------------- TOTAL CONSTRUCTION MATERIALS 7,764 ------------- TOTAL MATERIALS 128,205 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 87 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER STAPLES 1.9% PERSONAL PRODUCTS 0.6% NBTY, Inc.* 220 $ 9,145 Chattem, Inc.* 80 4,006 American Oriental Bioengineering, Inc.* 310 3,618 USANA Health Sciences, Inc.* 60 3,100 Elizabeth Arden, Inc.* 150 2,858 Mannatech, Inc. 160 2,357 Prestige Brands Holdings, Inc. -- Class A* 170 2,213 ------------- TOTAL PERSONAL PRODUCTS 27,297 ------------- FOOD & DRUG RETAILING 0.6% Central European Distribution Corp.* 160 4,752 Pantry, Inc.* 100 4,684 Andersons, Inc. 80 3,391 Longs Drug Stores Corp. 80 3,391 Spartan Stores, Inc. 140 2,930 Wild Oats Markets, Inc.* 190 2,732 Ingles Markets, Inc. -- Class A 90 2,681 Nash Finch Co. 80 2,184 ------------- TOTAL FOOD & DRUG RETAILING 26,745 ------------- FOOD PRODUCTS 0.5% Flowers Foods, Inc. 220 5,938 Hain Celestial Group, Inc.* 160 4,993 Tootsie Roll Industries, Inc. 140 4,578 Lancaster Colony Corp. 90 3,988 Imperial Sugar Co., Inc. 100 2,421 ------------- TOTAL FOOD PRODUCTS 21,918 ------------- BEVERAGES 0.1% Jones Soda Co.* 250 3,075 MGP Ingredients, Inc. 100 2,261 ------------- TOTAL BEVERAGES 5,336 ------------- HOUSEHOLD PRODUCTS 0.1% Central Garden and Pet Co.* 90 4,358 ------------- TOTAL HOUSEHOLD PRODUCTS 4,358 ------------- TOTAL CONSUMER STAPLES 85,654 ------------- UTILITIES 1.7% ELECTRIC UTILITIES 0.9% Westar Energy, Inc. 320 8,307 IDACORP, Inc. 160 6,184 Cleco Corp. 240 6,055 Allete, Inc. 110 5,120 Unisource Energy Corp. 140 5,114 El Paso Electric Co.* 200 4,874 Otter Tail Power Co. 140 4,363 ------------- TOTAL ELECTRIC UTILITIES 40,017 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- GAS UTILITIES 0.6% Piedmont Natural Gas Co. 280 $ 7,490 Nicor, Inc. 160 7,488 Southwest Gas Corp. 160 6,139 Northwest Natural Gas Co. 100 4,244 Laclede Group, Inc. 90 3,153 South Jersey Industries, Inc. 50 1,670 ------------- TOTAL GAS UTILITIES 30,184 ------------- MULTI-UTILITIES 0.2% Avista Corp. 200 5,062 PNM Resources, Inc. 150 4,665 ------------- TOTAL MULTI-UTILITIES 9,727 ------------- TOTAL UTILITIES 79,928 ------------- TELECOMMUNICATION SERVICES 0.9% DIVERSIFIED TELECOMMUNICATION SERVICES 0.7% Time Warner Telecom, Inc. -- Class A* 280 5,580 General Communication, Inc. -- Class A* 280 4,404 Golden Telecom, Inc. 90 4,216 Commonwealth Telephone Enterprises, Inc. 100 4,186 Iowa Telecommunications Services, Inc. 170 3,351 Cbeyond, Inc.* 100 3,059 CT Communications, Inc. 130 2,980 Cogent Communications Group, Inc.* 160 2,595 Cincinnati Bell, Inc.* 510 2,331 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 32,702 ------------- WIRELESS TELECOMMUNICATION SERVICES 0.2% Dobson Communications Corp. -- Class A* 560 4,877 USA Mobility, Inc. 140 3,132 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 8,009 ------------- TOTAL TELECOMMUNICATION SERVICES 40,711 ------------- TOTAL COMMON STOCKS (Cost $2,770,580) 2,828,366 ------------- See Notes to Financial Statements. 88 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC RUSSELL 2000(R) FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 51.0% Repurchase Agreement (Note 5) 4.80% due 01/02/07 $ 613,118 $ 613,118 4.79% due 01/02/07 613,118 613,118 4.65% due 01/02/07 613,118 613,118 4.60% due 01/02/07 496,627 496,627 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,335,981) 2,335,981 ------------- TOTAL INVESTMENTS 112.7% (Cost $5,106,561) $ 5,164,347 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (12.7)% $ (580,557) ============= NET ASSETS - 100.0% $ 4,583,790 ------------------------------------------------------------------------------- UNREALIZED LOSS CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 Russell 2000(R) Index Futures Contracts (Aggregate Market Value of Contracts $1,903,200) 24 $ (23,502) ============= UNITS ----- EQUITY INDEX SWAP AGREEMENTS March 2007 Russell 2000(R) Index Swap, Terminating 03/29/07** (Notional Market Value $2,939,644) 3,732 $ (25,816) February 2007 Russell 2000(R) Index Swap, Terminating 02/22/07** (Notional Market Value $1,465,118) 1,860 (9,913) ------------- (TOTAL NOTIONAL MARKET VALUE $4,404,762) $ (35,729) ============= * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE RATE. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 89 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 89.0% FINANCIALS 19.5% REAL ESTATE 6.7% Alexandria Real Estate Equities, Inc.+ 2,010 $ 201,815 Realty Income Corp.+ 7,210 199,717 Nationwide Health Properties, Inc.+ 6,250 188,875 Home Properties, Inc.+ 2,810 166,549 LaSalle Hotel Properties+ 3,600 165,060 Post Properties, Inc.+ 3,530 161,321 Entertainment Properties Trust+ 2,660 155,450 Potlatch Corp.+ 3,480 152,494 Corporate Office Properties Trust SBI+ 2,980 150,401 American Home Mortgage Investment Corp.+ 4,209 147,820 Washington Real Estate Investment Trust+ 3,660 146,400 Sunstone Hotel Investors, Inc.+ 5,150 137,659 Strategic Hotel Capital, Inc.+ 6,290 137,059 Senior Housing Properties Trust+ 5,380 131,702 BioMed Realty Trust, Inc.+ 4,562 130,473 Newcastle Investment Corp. 4,080 127,786 Pennsylvania Real Estate Investment Trust+ 3,190 125,622 Spirit Finance Corp. 9,420 117,467 FelCor Lodging Trust, Inc. 5,320 116,189 Equity Lifestyle Properties, Inc.+ 2,100 114,303 Cousins Properties, Inc. 3,140 110,748 Eastgroup Properties, Inc.+ 1,990 106,584 Tanger Factory Outlet Centers, Inc. 2,690 105,125 Highwoods Properties, Inc.+ 2,540 103,530 PS Business Parks, Inc. 1,430 101,115 Sovran Self Storage, Inc.+ 1,700 97,376 Highland Hospitality Corp.+ 6,590 93,907 Franklin Street Properties Corp., Inc. 4,420 93,041 Acadia Realty Trust 3,591 89,847 Ashford Hospitality Trust, Inc. 7,150 89,018 Anthracite Capital, Inc.+ 6,850 87,201 NorthStar Realty Finance Corp. 5,140 85,170 Parkway Properties, Inc.+ 1,650 84,167 Medical Properties Trust, Inc.+ 5,320 81,396 Equity Inns, Inc.+ 5,050 80,598 Innkeepers USA Trust+ 5,120 79,360 Impac Mortgage Holdings, Inc.+ 9,010 79,288 Capital Trust, Inc. -- Class A+ 1,480 73,911 Kite Realty Group Trust 3,930 73,177 RAIT Financial Trust 2,030 69,994 Winston Hotels, Inc. 4,920 65,190 First Potomac Realty Trust+ 1,860 54,145 ------------- TOTAL REAL ESTATE 4,878,050 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- BANKS 6.4% SVB Financial Group*+ 4,180 $ 194,872 Cathay General Bancorp 5,566 192,083 Westamerica Bancorporation+ 3,660 185,306 Pacific Capital Bancorp+ 5,450 183,011 Chittenden Corp. 5,570 170,943 International Bancshares Corp. 5,500 170,005 Greater Bay Bancorp+ 5,970 157,190 Sterling Financial Corp.+ 4,290 145,045 Central Pacific Financial Corp.+ 3,670 142,249 Wintrust Financial Corp.+ 2,880 138,298 Citizens Banking Corp.+ 5,120 135,680 Provident Bankshares Corp.+ 3,790 134,924 MB Financial Corp. 3,340 125,617 First Community Bancorp+ 2,330 121,789 Boston Private Financial Holdings, Inc.+ 4,200 118,482 First Republic Bank+ 2,980 116,458 National Penn Bancshares, Inc.+ 5,730 116,032 UMB Financial Corp. 3,090 112,816 Hanmi Financial Corp. 4,810 108,369 Sterling Bancshares, Inc. 8,100 105,462 CVB Financial Corp. 7,290 105,413 Prosperity Bancshares, Inc. 3,020 104,220 Chemical Financial Corp. 2,990 99,567 Signature Bank* 2,920 90,462 City Holding Co. 2,130 87,096 Banner Corp. 1,890 83,803 PrivateBancorp, Inc. 1,980 82,427 First Bancorp Puerto Rico 8,430 80,338 Capitol Bancorp, Ltd. 1,660 76,692 Columbia Banking Systems, Inc. 2,120 74,454 Centennial Bank Holdings, Inc.* 7,800 73,788 Integra Bank Corp. 2,510 69,075 Nara Bancorp, Inc. 3,280 68,618 Western Alliance Bancorp, Inc.*+ 1,970 68,497 Texas Capital Bancshares, Inc.* 3,340 66,399 Pinnacle Financial Partners, Inc.* 1,950 64,701 Old National Bancorp 3,190 60,355 Seacoast Banking Corporation of Florida+ 2,390 59,272 Virginia Commerce Bancorp, Inc.* 2,960 58,845 Texas United Bancshares, Inc. 1,680 57,691 Preferred Bank 950 57,085 Wilshire Bancorp, Inc.+ 2,980 56,531 Community Bancorp* 1,840 55,550 Placer Sierra Bancshares 2,310 54,909 Intervest Bancshares Corp.*+ 1,390 47,830 Independent Bank Corp. 1,370 34,647 ------------- TOTAL BANKS 4,712,896 ------------- INSURANCE 2.4% Ohio Casualty Corp.+ 5,770 172,004 Selective Insurance Group, Inc.+ 2,780 159,266 Zenith National Insurance Corp.+ 3,240 151,989 See Notes to Financial Statements. 90 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Delphi Financial Group, Inc. -- Class A 3,630 $ 146,870 Argonaut Group, Inc.*+ 3,719 129,644 RLI Corp. 2,010 113,404 LandAmerica Financial Group, Inc.+ 1,670 105,394 Infinity Property & Casualty Corp. 2,010 97,264 Safety Insurance Group, Inc.+ 1,740 88,235 Universal American Financial Corp.* 4,160 77,542 Navigators Group, Inc.* 1,580 76,124 Tower Group, Inc. 2,270 70,529 Odyssey Re Holdings Corp. 1,840 68,632 FPIC Insurance Group, Inc.* 1,710 66,639 Harleysville Group, Inc. 1,910 66,506 EMC Insurance Group, Inc. 1,640 55,957 Meadowbrook Insurance Group, Inc.* 4,980 49,252 American Physicians Capital, Inc.* 1,230 49,249 ------------- TOTAL INSURANCE 1,744,500 ------------- THRIFTS & MORTGAGE FINANCE 1.9% Downey Financial Corp. 2,100 152,418 MAF Bancorp, Inc.+ 3,320 148,371 First Niagara Financial Group, Inc.+ 9,550 141,913 FirstFed Financial Corp.*+ 1,950 130,592 Corus Bankshares, Inc.+ 4,660 107,506 PFF Bancorp, Inc. 2,920 100,769 Triad Guaranty, Inc.* 1,430 78,464 W Holding Co., Inc.+ 13,010 77,540 Flagstar Bancorp, Inc. 5,080 75,387 TierOne Corp. 2,330 73,651 Ocwen Financial Corp.* 4,570 72,480 Franklin Bank Corp.* 3,460 71,069 Accredited Home Lenders Holding Co.*+ 2,530 69,018 Fremont General Corp.+ 2,790 45,226 Fidelity Bankshares, Inc. 1,110 44,034 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,388,438 ------------- CAPITAL MARKETS 1.0% Knight Capital Group, Inc. -- Class A* 8,890 170,421 Piper Jaffray Cos., Inc.* 1,910 124,436 Waddell & Reed Financial, Inc. -- Class A 4,030 110,261 SWS Group, Inc. 2,260 80,682 Calamos Asset Management, Inc. -- Class A 2,830 75,929 LaBranche & Co., Inc.*+ 7,230 71,071 optionsXpress Holdings, Inc.+ 2,610 59,221 TradeStation Group, Inc.* 4,130 56,788 ------------- TOTAL CAPITAL MARKETS 748,809 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER FINANCE 0.8% Advanta Corp. 2,280 $ 99,476 World Acceptance Corp.* 2,010 94,369 Cash America International, Inc.+ 1,930 90,517 CompuCredit Corp.*+ 2,267 90,249 Ezcorp, Inc. -- Class A* 3,330 54,113 First Cash Financial Services, Inc.* 2,010 51,999 Advance America Cash Advance Centers, Inc.+ 3,046 44,624 Asta Funding, Inc.+ 1,170 35,615 ------------- TOTAL CONSUMER FINANCE 560,962 ------------- DIVERSIFIED FINANCIALS 0.3% International Securities Exchange Holdings, Inc.+ 1,820 85,158 Financial Federal Corp.+ 2,800 82,348 Portfolio Recovery Associates, Inc.*+ 1,710 79,840 ------------- TOTAL DIVERSIFIED FINANCIALS 247,346 ------------- TOTAL FINANCIALS 14,281,001 ------------- INFORMATION TECHNOLOGY 16.7% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.4% Varian Semiconductor Equipment Associates, Inc.* 4,750 216,220 Formfactor, Inc.* 3,800 141,550 ON Semiconductor Corp.* 16,760 126,873 RF Micro Devices, Inc.*+ 16,530 112,239 Amkor Technology, Inc.* 11,484 107,260 Atheros Communications, Inc.* 4,877 103,978 Silicon Image, Inc.* 8,010 101,887 Cabot Microelectronics Corp.*+ 2,711 92,011 Trident Microsystems, Inc.*+ 5,050 91,809 MKS Instruments, Inc.* 3,890 87,836 Micrel, Inc.* 8,080 87,102 Advanced Energy Industries, Inc.*+ 4,611 87,010 Zoran Corp.* 5,720 83,398 OmniVision Technologies, Inc.*+ 6,070 82,855 Diodes, Inc.*+ 2,130 75,572 Intevac, Inc.*+ 2,860 74,217 Actel Corp.*+ 3,890 70,642 DSP Group, Inc.* 3,190 69,223 Kulicke & Soffa Industries, Inc.* 8,050 67,620 Mattson Technology, Inc.* 7,130 66,452 Cirrus Logic, Inc.* 9,340 64,259 Hittite Microwave Corp.*+ 1,980 63,994 Cohu, Inc. 3,130 63,101 Netlogic Microsystems, Inc.*+ 2,900 62,901 Asyst Technologies, Inc.* 8,600 62,866 AMIS Holdings, Inc.* 4,680 49,468 Semtech Corp.* 3,680 48,098 Supertex, Inc.*+ 1,220 47,885 Veeco Instruments, Inc.*+ 2,300 43,079 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 91 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Cymer, Inc.*+ 790 $ 34,720 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,486,125 ------------- SOFTWARE 3.0% Sybase, Inc.*+ 7,240 178,828 Micros Systems, Inc.*+ 3,320 174,964 Hyperion Solutions Corp.* 4,850 174,309 TIBCO Software, Inc.* 18,270 172,469 Jack Henry & Associates, Inc. 7,070 151,298 Net 1 UEPS Technologies, Inc.* 4,670 138,045 Macrovision Corp.* 4,310 121,801 MicroStrategy, Inc. -- Class A*+ 1,050 119,711 Kronos, Inc.*+ 3,110 114,261 Transaction Systems Architects, Inc. -- Class A* 3,320 108,132 Informatica Corp.*+ 7,520 91,819 Quest Software, Inc.* 5,160 75,594 Ansoft Corp.* 2,590 72,002 Advent Software, Inc.*+ 1,990 70,227 i2 Technologies, Inc.*+ 2,920 66,634 Ansys, Inc.*+ 1,420 61,756 Progress Software Corp.*+ 2,140 59,770 Ultimate Software Group, Inc.* 2,340 54,428 SPSS, Inc.* 1,740 52,322 Smith Micro Software, Inc.* 3,620 51,368 Witness Systems, Inc.* 2,920 51,188 Secure Computing Corp.*+ 6,280 41,197 ------------- TOTAL SOFTWARE 2,202,123 ------------- COMMUNICATIONS EQUIPMENT 2.6% Polycom, Inc.*+ 7,050 217,916 Foundry Networks, Inc.* 12,340 184,853 Interdigital Communications Corp.*+ 4,580 153,659 CommScope, Inc.*+ 4,848 147,767 ADTRAN, Inc.+ 6,294 142,874 Redback Networks, Inc.*+ 5,260 131,185 Arris Group, Inc.*+ 9,877 123,561 Utstarcom, Inc.*+ 11,580 101,325 Black Box Corp. 2,070 86,919 ViaSat, Inc.* 2,790 83,170 Packeteer, Inc.* 5,630 76,568 Mastec, Inc.* 6,220 71,779 Comtech Group, Inc.*+ 3,340 60,755 Oplink Communications, Inc.* 2,940 60,446 Radyne Corp., Inc.* 5,010 53,807 Sirenza Microdevices, Inc.*+ 6,830 53,684 Anaren, Inc.* 3,000 53,280 Blue Coat Systems, Inc.*+ 2,215 53,049 Carrier Access Corp.* 7,370 48,347 ------------- TOTAL COMMUNICATIONS EQUIPMENT 1,904,944 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.4% Flir Systems, Inc.*+ 5,900 $ 187,797 Benchmark Electronics, Inc.*+ 5,656 137,780 Daktronics, Inc. 3,480 128,238 Itron, Inc.*+ 2,310 119,750 Plexus Corp.* 4,810 114,863 Global Imaging Systems, Inc.* 5,040 110,628 Rogers Corp.* 1,620 95,823 Rofin-Sinar Technologies, Inc.*+ 1,520 91,899 Coherent, Inc.*+ 2,780 87,765 Scansource, Inc.*+ 2,540 77,216 Littelfuse, Inc.*+ 2,300 73,324 MTS Systems Corp.+ 1,890 72,992 TTM Technologies, Inc.* 5,770 65,374 Cogent, Inc.* 5,900 64,959 Radisys Corp.* 3,480 58,012 CTS Corp. 3,370 52,909 Zygo Corp., Inc.* 3,180 52,311 Park Electrochemical Corp. 1,970 50,530 Agilsys, Inc. 2,721 45,550 Acacia Research - Acacia Technologies* 3,280 43,886 SYNNEX Corp.* 1,890 41,467 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,773,073 ------------- INTERNET SOFTWARE & SERVICES 2.2% Digital River, Inc.*+ 3,310 184,665 aQuantive, Inc.*+ 6,212 153,188 Digitas, Inc.*+ 9,840 131,954 j2 Global Communications, Inc.*+ 4,430 120,718 RealNetworks, Inc.*+ 9,990 109,291 Websense, Inc.* 4,700 107,301 ValueClick, Inc.* 4,540 107,280 United Online, Inc.+ 6,700 88,976 Internap Network Services Corp.*+ 4,210 83,653 Interwoven, Inc.* 5,390 79,071 The Knot, Inc.* 2,800 73,472 InfoSpace, Inc.* 3,330 68,298 webMethods, Inc.* 8,540 62,854 Perficient, Inc.*+ 3,340 54,809 TheStreet.com, Inc. 5,820 51,798 Vignette Corp.* 2,970 50,698 SonicWALL, Inc.*+ 5,650 47,573 Travelzoo, Inc.* 1,370 41,032 ------------- TOTAL INTERNET SOFTWARE & SERVICES 1,616,631 ------------- IT CONSULTING & SERVICES 1.9% CACI International, Inc. -- Class A* 2,850 161,025 BISYS Group, Inc.* 10,644 137,414 MPS Group, Inc.*+ 9,560 135,561 Perot Systems Corp. -- Class A* 7,170 117,516 See Notes to Financial Statements. 92 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- eFunds Corp.* 4,180 $ 114,950 CSG Systems International, Inc.* 4,280 114,404 Talx Corp. 3,300 90,585 Mantech International Corp. -- Class A* 1,970 72,555 SYKES Enterprises, Inc.*+ 3,950 69,678 Gevity HR, Inc. 2,830 67,043 Lightbridge, Inc.* 4,520 61,201 RightNow Technologies, Inc.*+ 3,280 56,481 Keane, Inc.*+ 4,280 50,975 Integral Systems, Inc. 2,180 50,511 SRA International, Inc. -- Class A*+ 1,790 47,865 ------------- TOTAL IT CONSULTING & SERVICES 1,347,764 ------------- COMPUTERS & PERIPHERALS 1.2% Brocade Communications Systems, Inc.*+ 22,077 181,252 Imation Corp.+ 3,430 159,255 Electronics for Imaging, Inc.*+ 5,920 157,354 Palm, Inc.*+ 9,450 133,150 Komag, Inc.* 3,190 120,837 McData Corp. -- Class A*+ 17,510 97,181 ------------- TOTAL COMPUTERS & PERIPHERALS 849,029 ------------- TOTAL INFORMATION TECHNOLOGY 12,179,689 ------------- CONSUMER DISCRETIONARY 14.4% SPECIALTY RETAIL 3.4% Payless Shoesource, Inc.* 5,550 182,151 Rent-A-Center, Inc.*+ 5,740 169,387 Regis Corp. 4,220 166,859 Men's Wearhouse, Inc.+ 4,140 158,396 Aeropostale, Inc.*+ 5,090 157,128 Charming Shoppes, Inc.*+ 10,940 148,018 Guess ?, Inc.*+ 2,010 127,494 Gymboree Corp.* 3,310 126,310 Group 1 Automotive, Inc. 2,340 121,025 Dress Barn, Inc.*+ 4,580 106,851 Stage Stores, Inc. 3,090 93,905 Cato Corp. -- Class A+ 3,660 83,851 DSW, Inc.*+ 2,130 82,154 Buckle, Inc. 1,570 79,834 Select Comfort Corp.*+ 4,570 79,472 CSK Auto Corp.* 4,610 79,062 Charlotte Russe Holding, Inc.* 2,390 73,493 The Wet Seal, Inc. -- Class A* 10,850 72,370 Books-A-Million, Inc. 2,800 63,504 Christopher & Banks Corp. 3,257 60,776 Bebe Stores, Inc.+ 3,070 60,755 Shoe Carnival, Inc.* 1,900 60,040 Asbury Automotive Group, Inc.+ 2,314 54,518 Talbots, Inc.+ 2,060 49,646 Tween Brands, Inc.*+ 860 34,340 ------------- TOTAL SPECIALTY RETAIL 2,491,339 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE 2.7% Jack in the Box, Inc.* 3,050 $ 186,172 Sonic Corp.* 7,160 171,482 Ruby Tuesday, Inc. 5,260 144,334 Pinnacle Entertainment, Inc.* 4,330 143,496 CEC Entertainment, Inc.* 3,230 130,008 CBRL Group, Inc. 2,691 120,449 CKE Restaurants, Inc.+ 6,330 116,472 WMS Industries, Inc.*+ 3,110 108,415 Bob Evans Farms, Inc.+ 3,166 108,341 Rare Hospitality International, Inc.*+ 3,190 105,047 Domino's Pizza, Inc.+ 3,560 99,680 IHOP Corp.+ 1,850 97,495 Papa John's International, Inc.*+ 2,440 70,784 AFC Enterprises* 3,820 67,499 Monarch Casino & Resort, Inc.*+ 2,360 56,357 Ruth's Chris Steak House* 3,000 54,840 Speedway Motorsports, Inc. 1,410 54,144 Landry's Restaurants, Inc.+ 1,600 48,144 Dover Downs Gaming & Entertainment, Inc. 3,280 43,854 Ameristar Casinos, Inc. 1,255 38,579 Texas Roadhouse, Inc.* 121 1,604 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,967,196 ------------- TEXTILES & APPAREL 1.8% Phillips-Van Heusen Corp. 4,440 222,755 Wolverine World Wide, Inc.+ 5,070 144,596 Brown Shoe Co., Inc. 2,813 134,293 Warnaco Group, Inc.* 4,460 113,195 Kellwood Co. 3,060 99,511 Oxford Industries, Inc.+ 1,750 86,887 Deckers Outdoor Corp.*+ 1,370 82,131 Carter's, Inc.* 3,150 80,325 K-Swiss, Inc. -- Class A 2,240 68,858 Columbia Sportswear Co.+ 1,190 66,283 Iconix Brand Group, Inc.* 3,390 65,732 Steven Madden Ltd. 1,750 61,408 True Religion Apparel, Inc.*+ 3,300 50,523 Maidenform Brands, Inc.* 2,120 38,414 ------------- TOTAL TEXTILES & APPAREL 1,314,911 ------------- MEDIA 1.7% Lee Enterprises, Inc.+ 4,380 136,043 Scholastic Corp.* 3,460 124,006 Catalina Marketing Corp. 4,120 113,300 Arbitron, Inc.+ 2,600 112,944 Entercom Communications Corp. 3,650 102,857 RCN Corp.* 3,110 93,767 Interactive Data Corp. 3,670 88,227 Valassis Communications, Inc.*+ 5,360 77,720 CKX, Inc.*+ 6,080 71,318 Westwood One, Inc.+ 8,630 60,928 Morningstar, Inc.*+ 1,300 58,565 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 93 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Journal Register Co. 7,300 $ 53,290 Harris Interactive, Inc.* 10,380 52,315 Cumulus Media, Inc. -- Class A*+ 4,130 42,911 Citadel Broadcasting Corp. 3,420 34,063 ------------- TOTAL MEDIA 1,222,254 ------------- HOUSEHOLD DURABLES 1.5% Yankee Candle Co., Inc. 3,820 130,950 Tupperware Brands Corp.+ 5,660 127,973 Meritage Homes Corp.* 2,460 117,391 American Greetings Corp. -- Class A+ 4,837 115,459 Ethan Allen Interiors, Inc.+ 3,130 113,024 Tempur-Pedic International, Inc.*+ 5,500 112,530 Champion Enterprises, Inc.* 8,720 81,619 Furniture Brands International, Inc.+ 4,700 76,281 Interface, Inc. -- Class A* 4,830 68,683 Blyth, Inc. 3,210 66,607 Brookfield Homes Corp.+ 1,427 53,584 ------------- TOTAL HOUSEHOLD DURABLES 1,064,101 ------------- AUTO COMPONENTS 0.7% ArvinMeritor, Inc.+ 7,244 132,058 Tenneco, Inc.*+ 4,580 113,218 Lear Corp.+ 3,210 94,791 Aftermarket Technology Corp.* 2,956 62,904 Fuel Systems Solutions, Inc.* 2,800 61,824 Drew Industries, Inc.*+ 1,750 45,517 LKQ Corp.*+ 1,410 32,416 ------------- TOTAL AUTO COMPONENTS 542,728 ------------- COMMERCIAL SERVICES & SUPPLIES 0.6% Sotheby's Holdings, Inc. -- Class A 5,090 157,892 Jackson Hewitt Tax Service, Inc. 2,960 100,551 Corinthian Colleges, Inc.*+ 7,160 97,591 Pre-Paid Legal Services, Inc.*+ 1,410 55,173 Vertrue, Inc.*+ 1,390 53,390 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 464,597 ------------- LEISURE EQUIPMENT & PRODUCTS 0.6% Marvel Entertainment, Inc.*+ 4,480 120,557 RC2 Corp.*+ 2,160 95,040 MarineMax, Inc.*+ 2,500 64,825 Jakks Pacific, Inc.* 2,570 56,129 Smith & Wesson Holding Corp.*+ 4,850 50,149 Oakley, Inc. 2,440 48,946 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 435,646 ------------- INTERNET & CATALOG RETAIL 0.5% Priceline.com, Inc.*+ 2,640 115,130 Systemax, Inc.*+ 4,370 76,257 FTD Group, Inc.* 3,090 55,280 Netflix, Inc.*+ 2,120 54,823 PetMed Express, Inc.* 3,020 40,317 ------------- TOTAL INTERNET & CATALOG RETAIL 341,807 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MULTILINE RETAIL 0.4% Big Lots, Inc.*+ 9,055 $ 207,541 Bon-Ton Stores, Inc.+ 1,556 53,915 ------------- TOTAL MULTILINE RETAIL 261,456 ------------- AUTOMOBILES 0.2% Winnebago Industries, Inc.+ 3,090 101,692 Monaco Coach Corp. 4,870 68,959 ------------- TOTAL AUTOMOBILES 170,651 ------------- DISTRIBUTORS 0.2% Building Material Holding Corp.+ 3,410 84,193 Keystone Automotive Industries, Inc.*+ 2,060 70,019 ------------- TOTAL DISTRIBUTORS 154,212 ------------- INTERNET SOFTWARE & SERVICES 0.1% INVESTools, Inc.* 6,010 82,878 ------------- TOTAL INTERNET SOFTWARE & SERVICES 82,878 ------------- TOTAL CONSUMER DISCRETIONARY 10,513,776 ------------- INDUSTRIALS 12.4% COMMERCIAL SERVICES & SUPPLIES 3.7% Watson Wyatt & Co. Holdings+ 3,750 169,312 Waste Connections, Inc.* 3,800 157,890 Brady Corp. -- Class A+ 3,805 141,850 John H. Harland Co. 2,790 140,058 United Stationers, Inc.* 2,780 129,798 Herman Miller, Inc.+ 3,180 115,625 Labor Ready, Inc.* 5,900 108,147 Korn/Ferry International, Inc.*+ 4,610 105,846 Viad Corp.+ 2,570 104,342 Advisory Board Co.*+ 1,770 94,766 Heidrick & Struggles International, Inc.*+ 2,200 93,192 Mine Safety Appliances Co. 2,480 90,892 Amrep Corp. PLC+ 717 87,832 American Reprographics Co.* 2,450 81,609 Ennis Inc. 3,310 80,963 CoStar Group, Inc.*+ 1,500 80,340 Consolidated Graphics, Inc.* 1,330 78,563 Volt Information Sciences, Inc.* 1,410 70,796 Kenexa Corp. -- Class A* 2,120 70,511 Deluxe Corp.+ 2,760 69,552 Layne Christensen Co.* 2,050 67,302 PeopleSupport, Inc.* 3,030 63,782 CBIZ, Inc.*+ 9,080 63,288 COMSYS IT Partners, Inc.* 3,070 62,045 Pike Electric Corp.* 3,470 56,665 Kforce, Inc.* 4,590 55,860 Rollins, Inc.+ 2,460 54,391 Waste Industries USA, Inc. 1,770 54,020 ICT Group, Inc.* 1,530 48,333 School Specialty, Inc.* 1,160 43,488 Spherion Corp.* 4,610 34,252 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 2,675,310 ------------- See Notes to Financial Statements. 94 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MACHINERY 2.5% Bucyrus International, Inc. -- Class A+ 3,207 $ 165,994 Wabtec Corp.+ 4,820 146,431 Nordson Corp. 2,720 135,538 Actuant Corp. -- Class A 2,721 129,656 Watts Industries, Inc. -- Class A 2,880 118,397 Navistar International Corp.*+ 3,410 113,996 Mueller Industries, Inc.+ 3,320 105,244 Kaydon Corp.+ 2,530 100,542 Barnes Group, Inc.+ 3,916 85,173 NACCO Industries, Inc. -- Class A 570 77,862 RBC Bearings, Inc.* 2,660 76,236 American Science & Engineering, Inc.*+ 1,240 73,792 Freightcar America, Inc.+ 1,260 69,867 EnPro Industries, Inc.* 1,970 65,424 Middleby Corp.* 610 63,849 Columbus McKinnon Corp. -- Class A*+ 2,910 61,168 Dynamic Materials Corp. 2,045 57,464 Astec Industries, Inc.* 1,456 51,106 Ampco-Pittsburgh Corp. PLC 1,485 49,718 Albany International Corp. -- Class A+ 1,430 47,061 ------------- TOTAL MACHINERY 1,794,518 ------------- ELECTRICAL EQUIPMENT 1.4% Acuity Brands, Inc.+ 3,825 199,053 General Cable Corp.*+ 4,261 186,248 Regal-Beloit Corp.+ 3,120 163,831 Genlyte Group, Inc.*+ 2,000 156,220 Woodward Governor Co.+ 2,800 111,188 A.O. Smith Corp. 2,327 87,402 II-VI, Inc.* 2,940 82,144 Lamson & Sessions Co., Inc.*+ 2,690 65,260 ------------- TOTAL ELECTRICAL EQUIPMENT 1,051,346 ------------- AEROSPACE & DEFENSE 1.1% BE Aerospace, Inc.*+ 7,093 182,148 Ceradyne, Inc.*+ 2,400 135,600 Teledyne Technologies, Inc.* 2,940 117,982 Orbital Sciences Corp.* 5,800 106,952 United Industrial Corp. 1,470 74,603 Hexcel Corp.*+ 4,270 74,341 K&F Industries Holdings, Inc.* 3,070 69,720 EDO Corp.+ 2,880 68,371 ------------- TOTAL AEROSPACE & DEFENSE 829,717 ------------- BUILDING PRODUCTS 0.7% Simpson Manufacturing Co., Inc.+ 3,870 122,485 NCI Building Systems, Inc.*+ 1,950 100,913 Ameron International Corp. 1,037 79,196 American Woodmark Corp.+ 1,838 76,920 Builders FirstSource, Inc.*+ 3,354 59,802 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- PW Eagle, Inc.+ 1,720$ 59,340 Universal Forest Products, Inc.+ 1,010 47,086 ------------- TOTAL BUILDING PRODUCTS 545,742 ------------- CONSTRUCTION & ENGINEERING 0.7% EMCOR Group, Inc.* 2,810 159,748 Granite Construction, Inc. 2,940 147,941 Washington Group International, Inc.*+ 1,420 84,902 Infrasource Services, Inc.* 3,430 74,671 Sterling Construction Co., Inc.* 2,180 47,437 ------------- TOTAL CONSTRUCTION & ENGINEERING 514,699 ------------- AIR FREIGHT & COURIERS 0.6% HUB Group, Inc. -- Class A*+ 3,930 108,271 Atlas Air Worldwide Holdings Co., Inc.* 2,155 95,897 Pacer International, Inc. 3,130 93,180 EGL, Inc.*+ 2,920 86,958 Forward Air Corp.+ 960 27,773 ------------- TOTAL AIR FREIGHT & COURIERS 412,079 ------------- AIRLINES 0.6% SkyWest, Inc.+ 5,990 152,805 JetBlue Airways Corp.*+ 8,260 117,292 Republic Airways Holdings, Inc.* 4,160 69,805 ExpressJet Holdings, Inc.*+ 8,320 67,392 ------------- TOTAL AIRLINES 407,294 ------------- ROAD & RAIL 0.6% Genesee & Wyoming, Inc. -- Class A* 4,060 106,535 Arkansas Best Corp.+ 2,357 84,852 Heartland Express, Inc.+ 5,370 80,657 Amerco, Inc.* 900 78,309 Saia, Inc.* 2,320 53,847 ------------- TOTAL ROAD & RAIL 404,200 ------------- TRADING COMPANIES & DISTRIBUTORS 0.3% Applied Industrial Technologies, Inc. 3,926 103,293 Beacon Roofing Supply, Inc.*+ 4,755 89,489 BlueLinx Holdings, Inc. 4,624 48,090 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 240,872 ------------- MARINE 0.2% American Commercial Lines, Inc.*+ 1,500 98,265 Horizon Lines, Inc. -- Class A 2,390 64,434 ------------- TOTAL MARINE 162,699 ------------- TOTAL INDUSTRIALS 9,038,476 ------------- HEALTH CARE 10.9% HEALTH CARE EQUIPMENT & SUPPLIES 3.8% Immucor, Inc.*+ 6,334 185,143 Bio--Rad Laboratories, Inc. -- Class A* 1,950 160,914 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 95 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Mentor Corp.+ 3,200 $ 156,384 Kyphon, Inc.*+ 3,760 151,904 West Pharmaceutical Services, Inc. 2,720 139,346 Varian, Inc.* 2,890 129,443 Hologic, Inc.* 2,490 117,727 Dionex Corp.* 2,040 115,689 Haemonetics Corp.*+ 2,490 112,100 Palomar Medical Technologies, Inc.*+ 2,130 107,927 American Medical Systems Holdings, Inc.*+ 5,687 105,323 DJ Orthopedics, Inc.* 2,300 98,486 Biosite, Inc.*+ 1,990 97,212 Invacare Corp. 3,690 90,590 Zoll Medical Corp.* 1,530 89,107 ArthroCare Corp.*+ 2,205 88,024 Integra LifeSciences Holdings Corp.* 2,030 86,458 Viasys Healthcare, Inc.* 2,920 81,234 Lifecell Corp.*+ 3,160 76,282 Intralase Corp.*+ 3,260 72,959 PharmaNet Development Group, Inc.*+ 2,890 63,782 OraSure Technologies, Inc.* 7,690 63,519 Quidel Corp.* 4,460 60,745 Conmed Corp.*+ 2,490 57,569 ICU Medical, Inc.*+ 1,410 57,359 Candela Corp.* 4,230 52,325 Meridian Bioscience, Inc.+ 1,980 48,569 SurModics, Inc.*+ 1,560 48,547 Abaxis, Inc.* 2,145 41,291 Steris Corp. 630 15,857 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,771,815 ------------- BIOTECHNOLOGY 2.7% OSI Pharmaceuticals, Inc.*+ 4,610 161,258 Illumina, Inc.*+ 3,950 155,274 BioMarin Pharmaceuticals, Inc.*+ 8,065 132,185 Alkermes, Inc.*+ 9,238 123,512 United Therapeutics Corp.*+ 2,180 118,527 Myriad Genetics, Inc.*+ 3,730 116,749 Digene Corp.* 2,100 100,632 Cubist Pharmaceuticals, Inc.*+ 5,150 93,267 Savient Pharmaceuticals, Inc.*+ 8,030 90,016 Martek Biosciences Corp.*+ 3,820 89,159 Alnylam Pharmaceuticals, Inc.*+ 3,941 84,337 Array Biopharma, Inc.* 5,600 72,352 Tanox, Inc.* 3,480 69,252 Progenics Pharmaceuticals, Inc.* 2,690 69,241 Trimeris, Inc.*+ 5,190 65,965 Alexion Pharmaceuticals, Inc.*+ 1,488 60,100 Senomyx, Inc.* 4,460 57,935 Luminex Corp.*+ 4,540 57,658 Genomic Health, Inc.* 3,070 57,102 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- BioCryst Pharmaceuticals, Inc.* 4,895 $ 56,586 Indevus Pharmaceuticals, Inc.* 6,280 44,588 Pharmion Corp.*+ 1,300 33,462 Telik, Inc.*+ 4,920 21,796 Nuvelo, Inc.*+ 5,030 20,120 ------------- TOTAL BIOTECHNOLOGY 1,951,073 ------------- HEALTH CARE PROVIDERS & SERVICES 2.5% AMERIGROUP Corp.*+ 4,927 176,830 Magellan Health Services, Inc.* 3,410 147,380 Sunrise Senior Living, Inc.*+ 4,560 140,083 Apria Healthcare Group, Inc.* 4,785 127,520 Centene Corp.*+ 5,130 126,044 inVentiv Health, Inc.* 3,390 119,836 Corvel Corp.* 1,740 82,772 Kindred Healthcare, Inc.* 3,270 82,567 Gentiva Health Services, Inc.*+ 3,950 75,287 Vital Images, Inc.*+ 2,120 73,776 Omnicell, Inc.*+ 3,800 70,794 Amedisys, Inc.*+ 2,117 69,586 The Trizetto Group, Inc.* 3,710 68,153 Sun Healthcare Group, Inc.* 5,190 65,550 LHC Group, Inc.* 2,250 64,148 Molina Healthcare, Inc.*+ 1,920 62,419 Computer Programs & Systems, Inc. 1,710 58,123 PRA International* 2,250 56,858 HealthExtras, Inc.* 2,150 51,815 Bio-Reference Labs, Inc.* 2,250 50,603 Dendrite International, Inc.*+ 4,420 47,338 Odyssey HealthCare, Inc.* 2,600 34,476 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,851,958 ------------- PHARMACEUTICALS 1.9% Valeant Pharmaceuticals International+ 8,050 138,782 Perrigo Co.+ 7,990 138,227 Viropharma, Inc.* 7,940 116,242 KV Pharmaceutical Co.* 4,170 99,163 Par Pharmaceutical Cos., Inc.* 4,230 94,625 Alpharma, Inc. -- Class A 3,915 94,351 Medicis Pharmaceutical Corp. -- Class A+ 2,640 92,743 New River Pharmaceuticals, Inc.*+ 1,560 85,348 Sciele Pharma, Inc.*+ 3,500 84,000 Advanced Magnetics, Inc.*+ 1,370 81,816 Noven Pharmaceuticals, Inc.* 3,170 80,676 Pozen, Inc.* 4,100 69,659 Pain Therapeutics, Inc.*+ 6,950 61,855 Bradley Pharmaceuticals, Inc.*+ 2,991 61,555 Kendle International, Inc.* 1,820 57,239 ------------- TOTAL PHARMACEUTICALS 1,356,281 ------------- TOTAL HEALTH CARE 7,931,127 ------------- See Notes to Financial Statements. 96 | THERYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ENERGY 4.5% OIL & GAS 2.3% USEC, Inc.* 10,360 $ 131,779 Comstock Resources, Inc.*+ 4,190 130,141 Swift Energy Co.*+ 2,760 123,676 Penn Virginia Corp. 1,710 119,768 Berry Petroleum Co. -- Class A+ 3,682 114,179 Stone Energy Corp.* 2,550 90,142 Alpha Natural Resources, Inc.* 6,161 87,671 Arena Resources, Inc.* 1,710 73,034 PetroHawk Energy Corp.*+ 6,190 71,185 Carrizo Oil & Gas, Inc.* 2,340 67,907 Harvest Natural Resources, Inc.* 6,100 64,843 Petroleum Development Corp.* 1,470 63,283 Parallel Petroleum Corp.*+ 3,470 60,968 Energy Partners Ltd.* 2,430 59,341 Alon USA Energy, Inc. 2,118 55,725 Vaalco Energy, Inc.* 8,200 55,350 Bois d'Arc Energy, Inc.* 3,604 52,726 Crosstex Energy, Inc. 1,620 51,338 GMX Resources, Inc.*+ 1,420 50,410 Edge Petroleum Corp.*+ 2,730 49,795 World Fuel Services Corp.+ 1,060 47,128 Brigham Exploration Co.* 6,370 46,565 Callon Petroleum Co.* 1,980 29,759 Houston Exploration Co.* 570 29,515 ------------- TOTAL OIL & GAS 1,726,228 ------------- ENERGY EQUIPMENT & SERVICES 2.2% Lone Star Technologies, Inc.* 3,020 146,198 W-H Energy Services, Inc.* 2,690 130,976 Atwood Oceanics, Inc.*+ 2,580 126,343 Grey Wolf, Inc.*+ 17,950 123,137 Input/Output, Inc.*+ 8,380 114,219 Parker Drilling Co.* 12,840 104,903 Dril-Quip, Inc.* 2,610 102,208 Hornbeck Offshore Services, Inc.* 2,830 101,031 Lufkin Industries, Inc.+ 1,730 100,478 Allis-Chalmers Energy, Inc.*+ 3,339 76,930 GulfMark Offshore, Inc.*+ 1,980 74,072 Trico Marine Services, Inc.* 1,760 67,426 Hydril*+ 880 66,167 Pioneer Drilling Co.* 4,870 64,674 Dawson Geophysical Co.* 1,770 64,481 NATCO Group, Inc.* 2,010 64,079 Matrix Service Co.*+ 3,960 63,756 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,591,078 ------------- TOTAL ENERGY 3,317,306 ------------- MATERIALS 4.0% METALS & MINING 1.7% Oregon Steel Mills, Inc.* 3,260 203,457 Cleveland-Cliffs, Inc.+ 3,860 186,978 Chaparral Steel Co.+ 4,140 183,278 AK Steel Holding Corp.* 8,750 147,875 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Quanex Corp. 3,590 $ 124,178 Schnitzer Steel Industries, Inc. -- Class A+ 2,660 105,602 Gibraltar Industries, Inc. 3,290 77,348 Ryerson Tull, Inc.+ 2,870 72,008 Coeur d'Alene Mines Corp.*+ 13,235 65,513 Olympic Steel, Inc. 2,020 44,905 ------------- TOTAL METALS & MINING 1,211,142 ------------- CHEMICALS 1.3% OM Group, Inc.*+ 2,850 129,048 H.B. Fuller Co.+ 4,790 123,678 Hercules, Inc.*+ 5,440 105,046 NewMarket Corp. 1,730 102,156 Rockwood Holdings, Inc.*+ 3,520 88,915 Spartech Corp.+ 3,320 87,050 PolyOne Corp.* 11,110 83,325 Georgia Gulf Corp.+ 4,070 78,592 A. Schulman, Inc. 2,790 62,078 Pioneer Cos., Inc.* 2,160 61,906 Zoltek Cos., Inc.*+ 2,730 53,699 ------------- TOTAL CHEMICALS 975,493 ------------- CONTAINERS & PACKAGING 0.5% Greif, Inc. -- Class A 1,480 175,232 Silgan Holdings, Inc. 2,250 98,820 Myers Industries, Inc. 4,100 64,206 AEP Industries, Inc.* 1,110 59,174 ------------- TOTAL CONTAINERS & PACKAGING 397,432 ------------- PAPER & FOREST PRODUCTS 0.3% Neenah Paper, Inc.+ 2,050 72,406 Schweitzer-Mauduit International, Inc. 2,300 59,915 Deltic Timber Corp.+ 870 48,529 ------------- TOTAL PAPER & FOREST PRODUCTS 180,850 ------------- CONSTRUCTION MATERIALS 0.2% Headwaters, Inc.*+ 4,300 103,028 Texas Industries, Inc.+ 1,090 70,011 ------------- TOTAL CONSTRUCTION MATERIALS 173,039 ------------- TOTAL MATERIALS 2,937,956 ------------- CONSUMER STAPLES 2.8% FOOD & DRUG RETAILING 0.9% Central European Distribution Corp.* 3,750 111,375 Pantry, Inc.* 2,370 111,011 Longs Drug Stores Corp. 1,950 82,641 Andersons, Inc. 1,901 80,583 Spartan Stores, Inc. 3,140 65,720 Wild Oats Markets, Inc.*+ 4,400 63,272 Ingles Markets, Inc. -- Class A 2,120 63,155 Nash Finch Co.+ 1,770 48,321 ------------- TOTAL FOOD & DRUG RETAILING 626,078 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 97 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- PERSONAL PRODUCTS 0.8% NBTY, Inc.* 5,100 $ 212,007 Chattem, Inc.*+ 1,890 94,651 American Oriental Bioengineering, Inc. PLC*+ 7,063 82,425 USANA Health Sciences, Inc.*+ 1,280 66,125 Elizabeth Arden, Inc.* 3,410 64,961 Mannatech, Inc.+ 3,730 54,943 Prestige Brands Holdings, Inc. -- Class A* 3,850 50,127 ------------- TOTAL PERSONAL PRODUCTS 625,239 ------------- FOOD PRODUCTS 0.8% Flowers Foods, Inc. 5,150 138,998 Hain Celestial Group, Inc.*+ 3,630 113,292 Tootsie Roll Industries, Inc.+ 3,170 103,659 Lancaster Colony Corp. 2,160 95,710 Seaboard Corp. 49 86,485 Imperial Sugar Co., Inc.+ 2,360 57,136 ------------- TOTAL FOOD PRODUCTS 595,280 ------------- BEVERAGES 0.2% Jones Soda Co.*+ 5,800 71,340 MGP Ingredients, Inc. 2,320 52,455 ------------- TOTAL BEVERAGES 123,795 ------------- HOUSEHOLD PRODUCTS 0.1% Central Garden and Pet Co.*+ 2,070 100,229 ------------- TOTAL HOUSEHOLD PRODUCTS 100,229 ------------- TOTAL CONSUMER STAPLES 2,070,621 ------------- UTILITIES 2.5% ELECTRIC UTILITIES 1.2% Westar Energy, Inc. 7,330 190,287 IDACORP, Inc.+ 3,750 144,937 Cleco Corp. 5,570 140,531 Unisource Energy Corp.+ 3,310 120,914 Allete, Inc.+ 2,418 112,534 El Paso Electric Co.* 4,570 111,371 Otter Tail Power Co. 3,260 101,582 ------------- TOTAL ELECTRIC UTILITIES 922,156 ------------- GAS UTILITIES 1.0% Nicor, Inc.+ 3,650 170,820 Piedmont Natural Gas Co.+ 6,370 170,397 Southwest Gas Corp.+ 3,750 143,887 Northwest Natural Gas Co. 2,400 101,856 Laclede Group, Inc. 2,120 74,264 South Jersey Industries, Inc. 1,250 41,763 ------------- TOTAL GAS UTILITIES 702,987 ------------- MULTI-UTILITIES 0.3% Avista Corp.+ 4,635 117,312 PNM Resources, Inc.+ 3,380 105,118 ------------- TOTAL MULTI-UTILITIES 222,430 ------------- TOTAL UTILITIES 1,847,573 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 1.3% DIVERSIFIED TELECOMMUNICATION SERVICES 1.0% Time Warner Telecom, Inc. -- Class A*+ 6,470 $ 128,947 Commonwealth Telephone Enterprises, Inc. 2,400 100,464 General Communication, Inc. -- Class A* 6,370 100,200 Golden Telecom, Inc. 1,980 92,743 Iowa Telecommunications Services, Inc. 3,930 77,460 Cbeyond, Inc.* 2,320 70,969 CT Communications, Inc. 2,930 67,156 Cogent Communications Group, Inc.* 3,690 59,852 Cincinnati Bell, Inc.* 11,800 53,926 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 751,717 ------------- WIRELESS TELECOMMUNICATION SERVICES 0.3% Dobson Communications Corp. -- Class A* 12,910 112,446 USA Mobility, Inc. 3,250 72,702 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 185,148 ------------- TOTAL TELECOMMUNICATION SERVICES 936,865 ------------- TOTAL COMMON STOCKS (Cost $60,750,714) 65,054,390 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 10.8% Repurchase Agreement (Note 5) 4.90% due 01/02/07++ $ 1,628,732 1,628,732 4.80% due 01/02/07 1,635,036 1,635,036 4.79% due 01/02/07 1,635,036 1,635,036 4.65% due 01/02/07 1,635,036 1,635,036 4.60% due 01/02/07 1,324,378 1,324,378 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $7,858,218) 7,858,218 ------------- SECURITIES LENDING COLLATERAL 21.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 16,042,381 16,042,381 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $16,042,381) 16,042,381 ------------- TOTAL INVESTMENTS 121.7% (Cost $84,651,313) $ 88,954,989 ------------- LIABILITIES IN EXCESS OF OTHER ASSETS - (21.7)% $(15,843,223) ------------- NET ASSETS - 100.0% $ 73,111,766 ------------------------------------------------------------------------------- See Notes to Financial Statements. 98 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND -------------------------------------------------------------------------------- UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $20,380,100) 257 $ (251,665) ============= UNITS ----- EQUITY INDEX SWAP AGREEMENTS February 2007 Russell 2000(R) Index Swap, Terminating 02/22/07** (Notional Market Value $19,352,389) 24,569 $ 38,061 March 2007 Russell 2000(R) Index Swap, Terminating 03/29/07** (Notional Market Value $5,843,338) 7,419 (51,316) ------------- (TOTAL NOTIONAL MARKET VALUE $25,195,727) $ (13,255) ============= * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 99 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- INVERSE RUSSELL 2000(R) FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 16.3% Federal Home Loan Bank* 5.15% due 01/17/07 $ 1,000,000 $ 997,854 Freddie Mac* 5.00% due 01/02/07 1,000,000 1,000,000 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $1,997,854) 1,997,854 ------------- REPURCHASE AGREEMENTS 61.4% Repurchase Agreement (Note 5) 4.90% due 01/02/07+ 517,337 517,337 4.80% due 01/02/07 1,834,551 1,834,551 4.79% due 01/02/07 1,834,551 1,834,551 4.65% due 01/02/07 1,834,551 1,834,551 4.60% due 01/02/07 1,485,984 1,485,984 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $7,506,974) 7,506,974 ------------- TOTAL INVESTMENTS 77.7% (Cost $9,504,828) $ 9,504,828 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 22.3% $ 2,732,618 ============= NET ASSETS - 100.0% $ 12,237,446 ------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT March 2007 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $3,806,400) 48 $ 22,034 ============= UNITS ----- EQUITY INDEX SWAP AGREEMENT SOLD SHORT February 2007 Russell 2000(R) Index Swap, Terminating 02/22/07** (Notional Market Value $8,365,522) 10,621 $ 61,898 ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. 100 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- GOVERNMENT LONG BOND ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 41.6% Fannie Mae* 5.14% due 01/08/07 $ 5,000,000 $ 4,995,717 Farmer Mac* 5.15% due 01/23/07 5,000,000 4,984,979 Federal Farm Credit Bank* 5.14% due 01/10/07 3,000,000 2,996,573 Federal Home Loan Bank* 5.15% due 01/17/07 5,000,000 4,989,271 Freddie Mac* 5.10% due 01/02/07 3,000,000 3,000,000 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $20,966,540) 20,966,540 ------------- U.S. TREASURY OBLIGATIONS 34.4% United States Treasury Bond 4.50% due 02/15/36 18,240,000 17,362,200 ------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,162,618) 17,362,200 ------------- REPURCHASE AGREEMENTS 22.4% Repurchase Agreement (Note 5) 4.80% due 01/02/07 2,958,105 2,958,105 4.79% due 01/02/07 2,958,105 2,958,105 4.65% due 01/02/07 2,958,105 2,958,105 4.60% due 01/02/07 2,396,063 2,396,063 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $11,270,378) 11,270,378 ------------- TOTAL INVESTMENTS 98.4% (Cost $48,399,536) $ 49,599,118 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 1.6% $ 821,072 ============= NET ASSETS - 100.0% $ 50,420,190 ------------------------------------------------------------------------------- UNREALIZED LOSS CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $43,201,051) 608 $ (639,133) ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 101 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- INVERSE GOVERNMENT LONG BOND FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 33.4% Fannie Mae* 5.15% due 01/25/07 $ 4,000,000 $ 3,986,839 Farmer Mac*+ 5.15% due 01/23/07 2,800,000 2,791,588 Federal Home Loan Bank* 5.15% due 01/17/07 3,000,000 2,993,563 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $9,771,990) 9,771,990 ------------- CONTRACTS ------------- OPTIONS PURCHASED 0.0% Call Options on: March 2007 U.S. Treasury Bond Index Futures Contracts Expiring February 2007 with strike price of 123 ++ 35 -- ------------- TOTAL OPTIONS PURCHASED (Cost $696) -- ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 146.1% Repurchase Agreement (Note 5) 4.80% due 01/02/07+ $ 5,269,046 5,269,046 4.79% due 01/02/07+ 5,269,046 5,269,046 4.65% due 01/02/07+ 5,269,046 5,269,046 4.60% due 01/02/07+ 4,267,926 4,267,926 Individual Repurchase Agreement Lehman Brothers, Inc. at 2.20% due 01/03/07 ( Secured by U.S. Treasury Bonds, at rate of 4.50% and maturing 02/15/36 as collateral, with a Market Value of $23,095,700) and a Maturity Value of $22,646,918 22,640,000 22,640,000 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $42,715,064) 42,715,064 ------------- TOTAL LONG TERM SECURITIES 179.5% (Cost $52,487,750) $ 52,487,054 ============= MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS SOLD SHORT (77.2)% U.S. Treasury Bond at 4.50% due 02 /15 /36 $ 23,715,000 $ (22,573,716) ------------- TOTAL U.S. TREASURY OBLIGATIONS SOLD SHORT (Proceeds $23,234,870) (22,573,716) ------------- TOTAL SHORT SALES (Proceeds $23,234,870) (22,573,716) ------------- TOTAL INVESTMENTS 102.3% (Cost $29,252,880) 29,913,338 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (2.3)% $ (666,966) ============= NET ASSETS - 100.0% $ 29,246,372 ------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT March 2007 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $10,809,438) 97 $ 127,326 ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. + ALL OR A PORTION OF THIS SECURITY IS HELD AS COLLATERAL AT DECEMBER 31, 2006. ++ SECURITY IS FAIR VALUED. See Notes to Financial Statements. 102 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 54.9% FINANCIALS 18.1% BANKS 10.6% HSBC Holdings PLC -- SP ADR 31,430 $ 2,880,560 Banco Santander Central Hispano SA -- SP ADR 87,770 1,637,788 Barclays PLC -- SP ADR 26,340 1,531,408 Banco Bilbao Vizcaya Argentaria SA -- SP ADR 51,500 1,239,090 ABN AMRO Holding N.V. -- SP ADR 34,180 1,095,469 Lloyds TSB Group PLC -- SP ADR 24,010 1,088,373 ------------- TOTAL BANKS 9,472,688 ------------- CAPITAL MARKETS 3.8% UBS AG Co., Inc. 24,880 1,501,010 Credit Suisse Group -- SP ADR 13,960 975,106 Deutsche Bank AG -- SP ADR 6,700 892,708 ------------- TOTAL CAPITAL MARKETS 3,368,824 ------------- INSURANCE 2.2% Allianz AG -- SP ADR 51,820 1,058,164 AXA SA -- SP ADR 23,020 928,397 ------------- TOTAL INSURANCE 1,986,561 ------------- DIVERSIFIED FINANCIALS 1.5% ING Groep N.V. -- SP ADR 30,900 1,364,853 ------------- TOTAL DIVERSIFIED FINANCIALS 1,364,853 ------------- TOTAL FINANCIALS 16,192,926 ------------- ENERGY 8.4% OIL & GAS 8.4% BP PLC -- SP ADR 37,990 2,549,129 Total SA -- SP ADR 25,510 1,834,679 Royal Dutch Shell PLC -- SP ADR 24,220 1,714,534 ENI-Ente Nazionale Idrocarburi -- SP ADR 20,700 1,392,696 ------------- TOTAL OIL & GAS 7,491,038 ------------- TOTAL ENERGY 7,491,038 ------------- HEALTH CARE 7.0% PHARMACEUTICALS 6.7% GlaxoSmithKline PLC -- SP ADR 41,770 2,203,785 Novartis AG -- SP ADR 34,770 1,997,189 AstraZeneca PLC -- SP ADR 22,930 1,227,902 Sanofi-Aventis SA -- SP ADR 7,270 335,656 Teva Pharmaceutical Industries Ltd. -- SP ADR 7,690 239,005 ------------- TOTAL PHARMACEUTICALS 6,003,537 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.3% Alcon, Inc. 2,560 286,131 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 286,131 ------------- TOTAL HEALTH CARE 6,289,668 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 6.6% DIVERSIFIED TELECOMMUNICATION SERVICES 4.6% Telefonica SA -- SP ADR 22,130 $ 1,410,787 BT Group PLC -- SP ADR 17,260 1,033,701 Deutsche Telekom AG -- SP ADR 37,950 690,690 France Telecom SA -- SP ADR 19,550 541,535 Telecom Italia -- SP ADR 12,550 378,132 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 4,054,845 ------------- WIRELESS TELECOMMUNICATION SERVICES 2.0% Vodafone Group, Inc. PLC -- SP ADR 64,710 1,797,644 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,797,644 ------------- TOTAL TELECOMMUNICATION SERVICES 5,852,489 ------------- MATERIALS 3.3% METALS & MINING 2.2% Anglo American PLC -- ADR 34,980 853,862 Rio Tinto PLC -- SP ADR 2,950 626,845 BHP Billiton Ltd. -- SP ADR 12,750 506,813 ------------- TOTAL METALS & MINING 1,987,520 ------------- CHEMICALS 1.1% BASF AG -- SP ADR 9,720 944,881 ------------- TOTAL CHEMICALS 944,881 ------------- TOTAL MATERIALS 2,932,401 ------------- CONSUMER STAPLES 3.2% FOOD PRODUCTS 1.9% Unilever N.V 37,440 1,020,240 Cadbury Schweppes PLC -- SP ADR 16,900 725,517 ------------- TOTAL FOOD PRODUCTS 1,745,757 ------------- BEVERAGES 1.3% Diageo PLC -- SP ADR 14,150 1,122,236 ------------- TOTAL BEVERAGES 1,122,236 ------------- TOTAL CONSUMER STAPLES 2,867,993 ------------- UTILITIES 2.7% ELECTRIC UTILITIES 1.7% E.ON AG -- SP ADR 34,740 1,569,901 ------------- TOTAL ELECTRIC UTILITIES 1,569,901 ------------- MULTI-UTILITIES 1.0% Suez SA -- SP ADR 16,950 880,722 ------------- TOTAL MULTI-UTILITIES 880,722 ------------- TOTAL UTILITIES 2,450,623 ------------- INFORMATION TECHNOLOGY 2.4% COMMUNICATIONS EQUIPMENT 1.8% Nokia OYJ -- SP ADR 46,910 953,211 Telefonaktiebolaget LM Ericsson -- SP ADR 16,750 673,853 ------------- TOTAL COMMUNICATIONS EQUIPMENT 1,627,064 ------------- SOFTWARE 0.6% SAP AG -- SP ADR 10,130 537,903 ------------- TOTAL SOFTWARE 537,903 ------------- TOTAL INFORMATION TECHNOLOGY 2,164,967 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 103 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY 1.8% AUTOMOBILES 0.7% DaimlerChrysler AG 10,710 $ 657,701 ------------- TOTAL AUTOMOBILES 657,701 ------------- HOUSEHOLD DURABLES 0.6% Koninklijke Philips Electronics N.V 13,610 511,464 ------------- TOTAL HOUSEHOLD DURABLES 511,464 ------------- TEXTILES & APPAREL 0.5% Luxottica Group -- SP ADR 14,720 451,462 ------------- TOTAL TEXTILES & APPAREL 451,462 ------------- TOTAL CONSUMER DISCRETIONARY 1,620,627 ------------- INDUSTRIALS 1.4% INDUSTRIAL CONGLOMERATES 1.1% Siemens AG -- SP ADR 10,040 989,442 ------------- TOTAL INDUSTRIAL CONGLOMERATES 989,442 ------------- AIRLINES 0.3% Ryanair Holdings PLC* -- SP ADR 3,150 256,725 ------------- TOTAL AIRLINES 256,725 ------------- TOTAL INDUSTRIALS 1,246,167 ------------- TOTAL COMMON STOCKS (Cost $42,837,068) 49,108,899 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 45.8% Repurchase Agreement (Note 5) 4.90% due 01/02/07+ $ 2,361,918 2,361,918 4.80% due 01/02/07 8,624,485 8,624,485 4.79% due 01/02/07 8,624,485 8,624,485 4.65% due 01/02/07 8,624,485 8,624,485 4.60% due 01/02/07+ 12,762,371 12,762,371 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $40,997,744) 40,997,744 ------------- TOTAL INVESTMENTS 100.7% (Cost $83,834,812) $ 90,106,643 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (0.7)% $ (616,399) ============= NET ASSETS - 100.0% $ 89,490,244 ------------------------------------------------------------------------------- UNREALIZED LOSS UNITS (NOTE 1) -------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS March 2007 Dow Jones STOXX 50 Index Swap, Terminating 03/14/07** (Notional Market Value $38,375,447) 7,897 $ (178,267) March 2007 Dow Jones STOXX 50 Index Swap, Terminating 03/29/07** (Notional Market Value $24,570,115) 5,036 (96,584) ------------- (TOTAL NOTIONAL MARKET VALUE $62,945,562) $ (274,851) ============= COUNTRY DIVERSIFICATION [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] BRITAIN 38% GERMANY 16% NETHERLANDS 12% FRANCE 9% ITALY 7% SPAIN 6% SWITZERLAND 5% SWEDEN 4% IRELAND 1% AUSTRALIA 1% FINLAND 1% THE PIE CHART ABOVE REFLECTS PERCENTAGES OF THE MARKET VALUE OF COMMON STOCKS. * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON DOW JONES STOXX 50 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. 104 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- JAPAN ADVANTAGE FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 22.9% Farmer Mac* 5.15% due 01/23/07 $ 2,000,000 $ 1,993,992 Federal Home Loan Bank* 5.15% due 01/17/07 2,000,000 1,995,708 Freddie Mac* 5.00% due 01/02/07 3,000,000 3,000,000 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $6,989,700) 6,989,700 ------------- REPURCHASE AGREEMENTS 74.6% Repurchase Agreement (Note 5) 4.80% due 01/02/07 4,877,852 4,877,852 4.79% due 01/02/07 4,877,852 4,877,852 4.65% due 01/02/07 4,877,852 4,877,852 4.60% due 01/02/07+ 8,122,063 8,122,063 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $22,755,619) 22,755,619 ------------- TOTAL INVESTMENTS 97.5% (Cost $29,745,319) $ 29,745,319 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 2.5% $ 764,371 ============= NET ASSETS - 100.0% $ 30,509,690 ------------------------------------------------------------------------------- UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 Nikkei 225 Index Futures Contracts (Aggregate Market Value of Contracts $10,207,000) 118 $ 352,799 March 2007 Yen Currency Exchange Futures Contracts (Aggregate Market Value of Contracts $9,973,400) 94 (223,435) ------------- (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $20,180,400) $ 129,364 ============= UNITS ------------- EQUITY INDEX SWAP AGREEMENT March 2007 Topix 100 Index Swap, Terminating 03/14/07** (Notional Market Value $27,957,485) 2,714,113 $ 538,576 ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON TOPIX 100 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 105 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC DOW FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 74.2% INDUSTRIALS 17.8% AEROSPACE & DEFENSE 9.4% Boeing Co. 21,640 $ 1,922,497 United Technologies Corp. 21,642 1,353,058 Honeywell International, Inc.+ 21,640 978,994 ------------- TOTAL AEROSPACE & DEFENSE 4,254,549 ------------- INDUSTRIAL CONGLOMERATES 5.5% 3M Co. 21,640 1,686,405 General Electric Co. 21,640 805,225 ------------- TOTAL INDUSTRIAL CONGLOMERATES 2,491,630 ------------- MACHINERY 2.9% Caterpillar, Inc.+ 21,640 1,327,181 ------------- TOTAL MACHINERY 1,327,181 ------------- TOTAL INDUSTRIALS 8,073,360 ------------- CONSUMER STAPLES 11.7% TOBACCO 4.1% Altria Group, Inc.+ 21,640 1,857,145 ------------- TOTAL TOBACCO 1,857,145 ------------- HOUSEHOLD PRODUCTS 3.1% Procter & Gamble Co. 21,638 1,390,674 ------------- TOTAL HOUSEHOLD PRODUCTS 1,390,674 ------------- BEVERAGES 2.3% Coca-Cola Co.+ 21,640 1,044,130 ------------- TOTAL BEVERAGES 1,044,130 ------------- FOOD & DRUG RETAILING 2.2% Wal-Mart Stores, Inc. 21,640 999,335 ------------- TOTAL FOOD & DRUG RETAILING 999,335 ------------- TOTAL CONSUMER STAPLES 5,291,284 ------------- FINANCIALS 11.3% DIVERSIFIED FINANCIALS 5.0% Citigroup, Inc. 21,643 1,205,515 J.P. Morgan Chase & Co. 21,640 1,045,212 ------------- TOTAL DIVERSIFIED FINANCIALS 2,250,727 ------------- INSURANCE 3.4% American International Group, Inc. 21,640 1,550,722 ------------- TOTAL INSURANCE 1,550,722 ------------- CONSUMER FINANCE 2.9% American Express Co. 21,640 1,312,899 ------------- TOTAL CONSUMER FINANCE 1,312,899 ------------- TOTAL FINANCIALS 5,114,348 ------------- INFORMATION TECHNOLOGY 9.0% COMPUTERS & PERIPHERALS 6.6% International Business Machines Corp. 21,640 2,102,326 Hewlett-Packard Co. 21,640 891,352 ------------- TOTAL COMPUTERS & PERIPHERALS 2,993,678 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- SOFTWARE 1.4% Microsoft Corp.+ 21,640 $ 646,170 ------------- TOTAL SOFTWARE 646,170 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.0% Intel Corp.* 21,640 438,210 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 438,210 ------------- TOTAL INFORMATION TECHNOLOGY 4,078,058 ------------- CONSUMER DISCRETIONARY 7.1% HOTELS, RESTAURANTS & LEISURE 2.1% McDonald's Corp. 21,640 959,301 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 959,301 ------------- SPECIALTY RETAIL 1.9% Home Depot, Inc. 21,640 869,062 ------------- TOTAL SPECIALTY RETAIL 869,062 ------------- MEDIA 1.6% Walt Disney Co.+ 21,640 741,603 ------------- TOTAL MEDIA 741,603 ------------- AUTOMOBILES 1.5% General Motors Corp.+ 21,640 664,781 ------------- TOTAL AUTOMOBILES 664,781 ------------- TOTAL CONSUMER DISCRETIONARY 3,234,747 ------------- HEALTH CARE 6.5% PHARMACEUTICALS 6.5% Johnson & Johnson, Inc. 21,640 1,428,673 Merck & Co., Inc.+ 21,640 943,504 Pfizer, Inc. 21,640 560,476 ------------- TOTAL PHARMACEUTICALS 2,932,653 ------------- TOTAL HEALTH CARE 2,932,653 ------------- MATERIALS 3.7% CHEMICALS 2.3% E.I. du Pont de Nemours and Co.+ 21,640 1,054,085 TOTAL CHEMICALS 1,054,085 METALS & MINING 1.4% Alcoa, Inc. 21,640 649,416 ------------- TOTAL METALS & MINING 649,416 ------------- TOTAL MATERIALS 1,703,501 ------------- ENERGY 3.6% OIL & GAS 3.6% Exxon Mobil Corp. 21,640 1,658,273 ------------- TOTAL OIL & GAS 1,658,273 ------------- TOTAL ENERGY 1,658,273 ------------- See Notes to Financial Statements. 106 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC DOW FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 3.5% DIVERSIFIED TELECOMMUNICATION SERVICES 3.5% Verizon Communications, Inc.+ 21,636 $ 805,725 AT&T, Inc.+ 21,640 773,630 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 1,579,355 ------------- TOTAL TELECOMMUNICATION SERVICES 1,579,355 ------------- TOTAL COMMON STOCKS (Cost $30,645,652) 33,665,579 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 24.7% Repurchase Agreement (Note 5) 4.80% due 01/02/07 $ 2,066,900 2,066,900 4.79% due 01/02/07 2,066,900 2,066,900 4.65% due 01/02/07 2,066,900 2,066,900 4.60% due 01/02/07++ 5,000,326 5,000,326 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $11,201,026) 11,201,026 ------------- SECURITIES LENDING COLLATERAL 9.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 4,136,460 4,136,460 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,136,460) 4,136,460 ------------- TOTAL INVESTMENTS 108.0% (Cost $45,983,138) $ 49,003,065 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (8.0)% $ (3,637,812) ============= NET ASSETS - 100.0% $ 45,365,253 ------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 Dow Jones Industrial Average Index Mini Futures Contracts (Aggregate Market Value of Contracts $24,946,640) 398 $ 179,992 ============= UNITS ------------- EQUITY INDEX SWAP AGREEMENT March 2007 Dow Jones Industrial Average Index Swap, Terminating 03/14/07* (Notional Market Value $32,624,134) 2,618 $ 274,021 ============= * PRICE RETURN BASED ON DOW JONES INDUSTRIAL AVERAGE INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 107 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- INVERSE DYNAMIC DOW FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 23.4% Fannie Mae* 5.14% due 01/08/07 $ 2,000,000 $ 1,998,287 Federal Home Loan Bank* 5.15% due 01/17/07 2,000,000 1,995,708 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $3,993,995) 3,993,995 ------------- REPURCHASE AGREEMENTS 75.0% Repurchase Agreement (Note 5) 4.80% due 01/02/07 2,515,525 2,515,525 4.79% due 01/02/07 2,515,525 2,515,525 4.65% due 01/02/07 2,515,525 2,515,525 4.60% due 01/02/07+ 5,246,050 5,246,050 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $12,792,625) 12,792,625 ------------- TOTAL INVESTMENTS 98.4% (Cost $16,786,620) $ 16,786,620 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 1.6% $ 266,781 ============= NET ASSETS - 100.0% $ 17,053,401 ------------------------------------------------------------------------------- UNREALIZED LOSS CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT March 2007 Dow Jones Industrial Average Index Mini Futures Contracts (Aggregate Market Value of Contracts $4,763,680) 76 $ (32,587) ============= UNITS ------------- EQUITY INDEX SWAP AGREEMENT SOLD SHORT March 2007 Dow Jones Industrial Average Index Swap, Terminating 03/14/07** (Notional Market Value $29,226,178) 2,345 $ (267,949) ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON DOW JONES INDUSTRIAL AVERAGE INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. 108 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% CONSUMER DISCRETIONARY 24.5% HOUSEHOLD DURABLES 6.8% Libbey, Inc.+ 37,270 $ 459,912 La-Z-Boy, Inc.+ 35,653 423,201 Bassett Furniture Industries, Inc. 19,946 325,918 Standard-Pacific Corp.+ 11,813 316,470 M/I Homes, Inc. 8,170 312,012 National Presto Industries, Inc. 2,069 123,871 Lenox Group, Inc.* 16,566 106,023 Skyline Corp.+ 2,620 105,376 Champion Enterprises, Inc.* 8,100 75,816 Ethan Allen Interiors, Inc. 1,780 64,276 ------------- TOTAL HOUSEHOLD DURABLES 2,312,875 ------------- SPECIALTY RETAIL 6.7% Hancock Fabrics, Inc.*+ 155,693 535,584 Sonic Automotive, Inc.+ 10,815 314,067 Haverty Furniture Cos., Inc. 20,547 304,096 Cost Plus, Inc.*+ 29,300 301,790 PEP Boys-Manny Moe & Jack 18,530 275,356 Jo-Ann Stores, Inc.*+ 9,543 234,758 Group 1 Automotive, Inc. 4,183 216,345 Stein Mart, Inc. 9,000 119,340 ------------- TOTAL SPECIALTY RETAIL 2,301,336 ------------- AUTOMOBILES 2.3% Coachmen Industries, Inc. 28,654 315,194 Monaco Coach Corp. 20,330 287,873 Fleetwood Enterprises, Inc.*+ 21,230 167,929 ------------- TOTAL AUTOMOBILES 770,996 ------------- AUTO COMPONENTS 2.0% Standard Motor Products, Inc. 24,691 369,871 Superior Industries International, Inc.+ 16,945 326,530 ------------- TOTAL AUTO COMPONENTS 696,401 ------------- DISTRIBUTORS 1.5% Building Material Holding Corp. 14,510 358,252 Audiovox Corp. -- Class A* 10,380 146,254 ------------- TOTAL DISTRIBUTORS 504,506 ------------- HOTELS, RESTAURANTS & LEISURE 1.4% Landry's Restaurants, Inc. 6,380 191,974 O'Charleys, Inc.*+ 8,298 176,582 Marcus Corp. 4,599 117,642 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 486,198 ------------- LEISURE EQUIPMENT & PRODUCTS 1.3% Arctic Cat, Inc.+ 11,690 205,627 K2, Inc.* 11,854 156,354 Jakks Pacific, Inc.* 4,470 97,625 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 459,606 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TEXTILES & APPAREL 1.3% Ashworth, Inc.* 33,321 $ 241,910 Kellwood Co. 5,699 185,332 ------------- TOTAL TEXTILES & APPAREL 427,242 ------------- MULTILINE RETAIL 0.8% Fred's, Inc. 21,870 263,315 ------------- TOTAL MULTILINE RETAIL 263,315 ------------- MEDIA 0.4% Radio One, Inc.*+ 18,300 123,342 ------------- TOTAL MEDIA 123,342 ------------- TOTAL CONSUMER DISCRETIONARY 8,345,817 ------------- FINANCIALS 17.9% REAL ESTATE 5.3% New Century Financial Corp.+ 12,750 402,772 National Retail Properties, Inc.+ 7,958 182,636 Parkway Properties, Inc.+ 3,491 178,076 Lexington Corporate Properties Trust+ 7,852 176,042 Senior Housing Properties Trust+ 6,820 166,954 LTC Properties, Inc. 6,053 165,307 Colonial Properties Trust 3,449 161,689 Inland Real Estate Corp. 5,580 104,458 Sovran Self Storage, Inc.+ 1,817 104,078 Entertainment Properties Trust+ 1,691 98,822 Mid-America Apartment Communities, Inc.+ 1,150 65,826 ------------- TOTAL REAL ESTATE 1,806,660 ------------- BANKS 4.1% First Bancorp Puerto Rico+ 22,559 214,987 First Commonwealth Financial Corp.+ 11,862 159,307 Susquehanna Bancshares, Inc. 5,190 139,507 Community Bank System, Inc. 5,761 132,503 Sterling Bancorp+ 6,094 120,052 South Financial Group, Inc. 4,477 119,043 First Financial Bancorp+ 6,980 115,938 Provident Bankshares Corp.+ 3,124 111,214 Irwin Financial Corp. 4,570 103,419 Whitney Holding Corp. 3,037 99,067 Central Pacific Financial Corp. 1,850 71,706 ------------- TOTAL BANKS 1,386,743 ------------- INSURANCE 3.7% Stewart Information Services Corp. 9,911 429,741 LandAmerica Financial Group, Inc.+ 6,579 415,201 Presidential Life Corp. 6,763 148,448 Selective Insurance Group, Inc.+ 2,015 115,439 Safety Insurance Group, Inc. 1,490 75,558 SCPIE Holdings Inc.*+ 2,523 65,951 ------------- TOTAL INSURANCE 1,250,338 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 109 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE 3.5% Flagstar Bancorp, Inc. 24,260 $ 360,019 Fremont General Corp.+ 14,920 241,853 Brookline Bancorp, Inc.+ 12,737 167,746 Dime Community Bancshares 11,450 160,415 MAF Bancorp, Inc.+ 2,390 106,809 TrustCo Bank Corp.+ 7,970 88,626 Bank Mutual Corp. 6,000 72,660 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,198,128 ------------- CAPITAL MARKETS 1.3% LaBranche & Co., Inc.*+ 19,920 195,814 SWS Group, Inc. 4,877 174,109 Piper Jaffray Cos., Inc.* 1,395 90,884 ------------- TOTAL CAPITAL MARKETS 460,807 ------------- TOTAL FINANCIALS 6,102,676 ------------- MATERIALS 15.0% CHEMICALS 6.8% Wellman, Inc. 111,775 356,562 Georgia Gulf Corp.+ 16,630 321,125 Quaker Chemical Corp. 13,204 291,412 A. Schulman, Inc. 12,732 283,287 PolyOne Corp.* 35,050 262,875 Penford Corp. 11,196 193,691 Arch Chemicals, Inc.+ 5,588 186,136 Tronox, Inc. 11,267 177,906 Omnova Solutions, Inc.* 29,642 135,761 Material Sciences Corp.* 8,838 114,364 ------------- TOTAL CHEMICALS 2,323,119 ------------- METALS & MINING 3.0% Steel Technologies, Inc. 24,707 433,608 Ryerson Tull, Inc.+ 16,517 414,412 Quanex Corp. 3,131 108,301 A.M. Castle & Co. 2,891 73,576 ------------- TOTAL METALS & MINING 1,029,897 ------------- PAPER & FOREST PRODUCTS 2.7% Pope & Talbot, Inc.*+ 62,907 344,101 Schweitzer-Mauduit International, Inc. 9,034 235,336 Wausau Paper Corp. 8,802 131,942 Neenah Paper, Inc.+ 2,845 100,485 Buckeye Technologies, Inc.* 8,278 99,171 ------------- TOTAL PAPER & FOREST PRODUCTS 911,035 ------------- CONTAINERS & PACKAGING 2.5% Chesapeake Corp. 29,885 508,642 Caraustar Industries, Inc.* 23,143 187,227 Rock-Tenn Co. -- Class A 6,126 166,076 ------------- TOTAL CONTAINERS & PACKAGING 861,945 ------------- TOTAL MATERIALS 5,125,996 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INDUSTRIALS 15.0% COMMERCIAL SERVICES & SUPPLIES 4.7% Spherion Corp.* 47,467 $ 352,680 Standard Register Co. 29,300 351,600 Angelica Corp. 8,210 211,818 ABM Industries, Inc. 7,117 161,627 CDI Corp. 6,367 158,538 United Stationers, Inc.* 3,181 148,521 Volt Information Sciences, Inc.* 2,471 124,069 Bowne & Co., Inc. 5,462 87,064 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,595,917 ------------- MACHINERY 2.7% Briggs & Stratton Corp.+ 10,251 276,264 Lydall, Inc.* 18,038 194,991 Wabash National Corp. 11,260 170,026 Mueller Industries, Inc.+ 3,114 98,714 Albany International Corp. -- Class A 2,960 97,414 Barnes Group, Inc.+ 4,140 90,045 ------------- TOTAL MACHINERY 927,454 ------------- AIRLINES 2.0% Mesa Air Group, Inc.* 41,630 356,769 Frontier Airlines Holdings, Inc.*+ 24,634 182,291 SkyWest, Inc.+ 6,270 159,948 ------------- TOTAL AIRLINES 699,008 ------------- ELECTRICAL EQUIPMENT 1.7% C&D Technologies, Inc.+ 78,291 371,099 A.O. Smith Corp. 5,158 193,735 ------------- TOTAL ELECTRICAL EQUIPMENT 564,834 ------------- BUILDING PRODUCTS 1.1% Universal Forest Products, Inc. 3,660 170,629 Apogee Enterprises, Inc. 5,220 100,798 Lennox International, Inc. 2,980 91,218 ------------- TOTAL BUILDING PRODUCTS 362,645 ------------- INDUSTRIAL CONGLOMERATES 0.9% Standex International Corp.+ 6,818 205,427 Tredegar Corp.+ 5,066 114,542 ------------- TOTAL INDUSTRIAL CONGLOMERATES 319,969 ------------- ROAD & RAIL 0.5% Arkansas Best Corp.+ 5,047 181,692 ------------- TOTAL ROAD & RAIL 181,692 ------------- TRADING COMPANIES & DISTRIBUTORS 0.5% Kaman Corp. -- Class A 7,734 173,164 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 173,164 ------------- CONSTRUCTION & ENGINEERING 0.5% URS Corp.* 2,020 86,557 Shaw Group, Inc.* 2,080 69,680 ------------- TOTAL CONSTRUCTION & ENGINEERING 156,237 ------------- See Notes to Financial Statements. 110 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AEROSPACE & DEFENSE 0.4% Applied Signal Technology, Inc. 8,810 $ 123,869 ------------- TOTAL AEROSPACE & DEFENSE 123,869 ------------- TOTAL INDUSTRIALS 5,104,789 ------------- UTILITIES 9.9% GAS UTILITIES 4.6% Atmos Energy Corp. 9,351 298,390 Laclede Group, Inc. 7,266 254,528 Cascade Natural Gas Corp. 6,911 179,133 Southwest Gas Corp.+ 4,376 167,907 UGI Corp. 5,573 152,032 Northwest Natural Gas Co. 3,513 149,092 New Jersey Resources Corp. 2,920 141,854 Piedmont Natural Gas Co.+ 4,923 131,690 South Jersey Industries, Inc. 3,110 103,905 ------------- TOTAL GAS UTILITIES 1,578,531 ------------- ELECTRIC UTILITIES 4.0% Central Vermont Public Service Corp. 14,582 343,406 Green Mountain Power Corp. 7,883 267,155 Cleco Corp. 9,428 237,869 UIL Holding Corp. 4,492 189,518 Unisource Energy Corp.+ 5,061 184,878 Allete, Inc.+ 2,773 129,055 ------------- TOTAL ELECTRIC UTILITIES 1,351,881 ------------- MULTI-UTILITIES 1.3% CH Energy Group, Inc. 4,592 242,457 Avista Corp.+ 8,316 210,478 ------------- TOTAL MULTI-UTILITIES 452,935 ------------- TOTAL UTILITIES 3,383,347 ------------- INFORMATION TECHNOLOGY 8.2% ELECTRONIC EQUIPMENT & INSTRUMENTS 4.2% Agilsys, Inc. 17,929 300,131 Bell Microproducts, Inc.* 36,709 258,798 Anixter International, Inc.*+ 3,772 204,820 Insight Enterprises, Inc.* 10,028 189,228 Brightpoint, Inc.* 12,408 166,888 Methode Electronics, Inc. -- Class A 12,577 136,209 Park Electrochemical Corp. 4,060 104,139 CTS Corp. 5,130 80,541 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,440,754 ------------- INTERNET SOFTWARE & SERVICES 1.4% MIVA, Inc.* 86,160 292,082 United Online, Inc. 13,650 181,272 ------------- TOTAL INTERNET SOFTWARE & SERVICES 473,354 ------------- IT CONSULTING & SERVICES 1.2% Startek, Inc. 17,784 240,795 Ciber, Inc.* 24,974 169,324 ------------- TOTAL IT CONSULTING & SERVICES 410,119 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT 0.8% Inter-Tel, Inc. 7,330 $ 162,433 Tollgrade Communications, Inc.* 9,670 102,212 ------------- TOTAL COMMUNICATIONS EQUIPMENT 264,645 ------------- COMPUTERS & PERIPHERALS 0.3% Adaptec, Inc.* 26,557 123,756 ------------- TOTAL COMPUTERS & PERIPHERALS 123,756 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3% Photronics, Inc.*+ 5,813 94,984 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 94,984 ------------- TOTAL INFORMATION TECHNOLOGY 2,807,612 ------------- CONSUMER STAPLES 4.5% FOOD & DRUG RETAILING 3.2% Nash Finch Co.+ 17,435 475,975 Performance Food Group Co.* 10,150 280,546 Longs Drug Stores Corp. 5,494 232,836 Casey's General Stores, Inc.+ 4,780 112,569 ------------- TOTAL FOOD & DRUG RETAILING 1,101,926 ------------- FOOD PRODUCTS 0.5% Lance, Inc. 7,595 152,508 ------------- TOTAL FOOD PRODUCTS 152,508 ------------- TOBACCO 0.4% Alliance One International, Inc.*+ 19,981 141,066 ------------- TOTAL TOBACCO 141,066 ------------- HOUSEHOLD PRODUCTS 0.4% Spectrum Brands, Inc.*+ 12,600 137,340 ------------- TOTAL HOUSEHOLD PRODUCTS 137,340 ------------- TOTAL CONSUMER STAPLES 1,532,840 ------------- HEALTH CARE 4.2% HEALTH CARE PROVIDERS & SERVICES 2.1% Owens & Minor, Inc. 7,559 236,370 RehabCare Group, Inc.* 14,730 218,741 Genesis HealthCare Corp.* 3,766 177,868 Gentiva Health Services, Inc.* 5,207 99,245 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 732,224 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.7% Datascope Corp. 5,455 198,780 Invacare Corp. 7,790 191,245 Theragenics Corp.* 58,270 180,637 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 570,662 ------------- PHARMACEUTICALS 0.4% Alpharma, Inc. -- Class A 5,440 131,104 ------------- TOTAL PHARMACEUTICALS 131,104 ------------- TOTAL HEALTH CARE 1,433,990 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 111 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 0.3% DIVERSIFIED TELECOMMUNICATION SERVICES 0.3% Commonwealth Telephone Enterprises, Inc. 2,450 $ 102,557 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 102,557 ------------- TOTAL TELECOMMUNICATION SERVICES 102,557 ------------- TOTAL COMMON STOCKS (Cost $31,338,892) 33,939,624 ------------- FACE AMOUNT REPURCHASE AGREEMENTS 0.9% ------------- Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 324,761 324,761 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $324,761) 324,761 ------------- SECURITIES LENDING COLLATERAL 14.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 4,879,062 4,879,062 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,879,062) 4,879,062 ------------- TOTAL INVESTMENTS 114.7% (Cost $36,542,715) $ 39,143,447 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (14.7)% $ (5,019,927) ============= NET ASSETS - 100.0% $ 34,123,520 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 112 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- MID-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 99.5% UTILITIES 23.9% MULTI-UTILITIES 10.7% WPS Resources Corp.+ 9,598 $ 518,580 Energy East Corp.+ 19,057 472,614 Puget Energy, Inc.+ 16,098 408,245 SCANA Corp. 8,333 338,487 Vectren Corp.+ 10,661 301,493 OGE Energy Corp. 6,802 272,080 PNM Resources, Inc. 7,371 229,238 Alliant Energy Corp.+ 5,303 200,294 NSTAR 4,381 150,531 Wisconsin Energy Corp. 2,950 140,007 ------------- TOTAL MULTI-UTILITIES 3,031,569 ------------- ELECTRIC UTILITIES 9.3% Black Hills Corp.+ 10,679 394,482 Pepco Holdings, Inc. 14,384 374,128 Northeast Utilities 12,234 344,509 Great Plains Energy, Inc.+ 10,386 330,275 Hawaiian Electric Industries, Inc.+ 11,269 305,953 Westar Energy, Inc.+ 10,105 262,326 IDACORP, Inc.+ 5,152 199,125 Duquesne Light Holdings, Inc. 8,888 176,427 DPL, Inc. 4,440 123,343 Sierra Pacific Resources* 6,695 112,677 ------------- TOTAL ELECTRIC UTILITIES 2,623,245 ------------- GAS UTILITIES 3.9% WGL Holdings, Inc.+ 10,557 343,947 Oneok, Inc. 7,116 306,842 AGL Resources, Inc. 6,904 268,635 National Fuel Gas Co.+ 5,006 192,931 ------------- TOTAL GAS UTILITIES 1,112,355 ------------- TOTAL UTILITIES 6,767,169 ------------- CONSUMER DISCRETIONARY 18.8% AUTO COMPONENTS 5.8% Lear Corp.+ 19,138 565,145 Modine Manufacturing Co. 17,170 429,765 ArvinMeritor, Inc.+ 14,684 267,689 Bandag, Inc.+ 4,352 219,472 BorgWarner, Inc.+ 2,395 141,353 ------------- TOTAL AUTO COMPONENTS 1,623,424 ------------- HOUSEHOLD DURABLES 4.9% Furniture Brands International, Inc.+ 35,473 575,727 Beazer Homes USA, Inc.+ 7,200 338,472 Tupperware Brands Corp.+ 11,012 248,981 American Greetings Corp. -- Class A+ 9,618 229,582 ------------- TOTAL HOUSEHOLD DURABLES 1,392,762 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MEDIA 4.9% Westwood One, Inc. 65,760 $ 464,266 Belo Corp. -- Class A+ 13,150 241,565 Media General, Inc. 6,412 238,334 Scholastic Corp.* 6,294 225,577 Lee Enterprises, Inc. 6,930 215,246 ------------- TOTAL MEDIA 1,384,988 ------------- SPECIALTY RETAIL 1.7% Borders Group, Inc.+ 13,072 292,159 Foot Locker, Inc. 7,930 173,905 ------------- TOTAL SPECIALTY RETAIL 466,064 ------------- HOTELS, RESTAURANTS & LEISURE 0.6% Bob Evans Farms, Inc. 5,003 171,202 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 171,202 ------------- MULTILINE RETAIL 0.5% Saks, Inc.+ 8,334 148,512 ------------- TOTAL MULTILINE RETAIL 148,512 ------------- LEISURE EQUIPMENT & PRODUCTS 0.4% Callaway Golf Co.+ 8,280 119,315 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 119,315 ------------- TOTAL CONSUMER DISCRETIONARY 5,306,267 ------------- FINANCIALS 16.8% INSURANCE 7.4% First American Corp.+ 8,997 365,998 Old Republic International Corp. 13,971 325,245 Unitrin, Inc. 5,616 281,418 Mercury General Corp.+ 4,125 217,511 American Financial Group, Inc. 5,777 207,452 Fidelity National Financial, Inc. -- Class A 8,520 203,458 Horace Mann Educators Corp.+ 9,506 192,021 Protective Life Corp. 3,571 169,623 Ohio Casualty Corp.+ 4,882 145,532 ------------- TOTAL INSURANCE 2,108,258 ------------- REAL ESTATE 4.7% Potlatch Corp.+ 5,755 252,184 Hospitality Properties Trust 3,980 189,169 Mack-Cali Realty Corp.+ 3,235 164,985 Liberty Property Trust+ 3,347 164,472 New Plan Excel Realty Trust+ 5,793 159,192 Highwoods Properties, Inc.+ 3,625 147,755 Rayonier, Inc. 3,537 145,194 Weingarten Realty Investors 2,130 98,214 ------------- TOTAL REAL ESTATE 1,321,165 ------------- THRIFTS & MORTGAGE FINANCE 2.2% First Niagara Financial Group, Inc. 14,520 215,767 Washington Federal, Inc.+ 7,761 182,616 Webster Financial Corp. 2,414 117,610 Astoria Financial Corp. 3,260 98,322 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 614,315 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 113 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MID-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- BANKS 2.1% FirstMerit Corp.+ 8,195 $ 197,827 Associated Banc-Corp. 4,500 156,960 Greater Bay Bancorp 4,700 123,751 Colonial BancGroup, Inc. 4,040 103,990 ------------- TOTAL BANKS 582,528 ------------- CONSUMER FINANCE 0.4% AmeriCredit Corp.* 5,050 127,108 ------------- TOTAL CONSUMER FINANCE 127,108 ------------- TOTAL FINANCIALS 4,753,374 ------------- MATERIALS 13.7% CHEMICALS 8.2% Lyondell Chemical Co.+ 20,063 513,011 Olin Corp. 24,200 399,784 Ferro Corp. 16,673 344,964 Chemtura Corp.+ 28,040 270,025 RPM International, Inc.+ 10,399 217,235 Sensient Technologies Corp. 7,227 177,784 Lubrizol Corp. 3,498 175,355 Cytec Industries, Inc. 2,590 146,361 Cabot Corp.+ 1,950 84,962 ------------- TOTAL CHEMICALS 2,329,481 ------------- PAPER & FOREST PRODUCTS 3.2% Bowater, Inc.+ 19,578 440,505 Louisiana-Pacific Corp. 13,730 295,607 Glatfelter+ 9,921 153,776 ------------- TOTAL PAPER & FOREST PRODUCTS 889,888 ------------- CONTAINERS & PACKAGING 1.2% Packaging Corporation of America 10,056 222,237 Sonoco Products Co. 3,011 114,599 ------------- TOTAL CONTAINERS & PACKAGING 336,836 ------------- METALS & MINING 1.1% Worthington Industries, Inc.+ 17,208 304,926 ------------- TOTAL METALS & MINING 304,926 ------------- TOTAL MATERIALS 3,861,131 ------------- INDUSTRIALS 12.2% ROAD & RAIL 4.9% Avis Budget Group, Inc. 29,690 643,976 YRC Worldwide, Inc.*+ 12,306 464,305 Werner Enterprises, Inc. 8,968 156,761 Con-way, Inc. 2,850 125,514 ------------- TOTAL ROAD & RAIL 1,390,556 ------------- COMMERCIAL SERVICES & SUPPLIES 3.6% Kelly Services, Inc.+ 12,563 363,573 Deluxe Corp. 10,550 265,860 Banta Corp. 6,726 244,826 Manpower, Inc. 1,664 124,684 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 998,943 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MACHINERY 1.8% Timken Co.+ 11,298 $ 329,676 Pentair, Inc. 2,950 92,630 Kennametal, Inc. 1,545 90,923 ------------- TOTAL MACHINERY 513,229 ------------- TRADING COMPANIES & DISTRIBUTORS 0.6% United Rentals, Inc.* 6,380 162,243 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 162,243 ------------- MARINE 0.5% Alexander & Baldwin, Inc. 3,400 150,756 ------------- TOTAL MARINE 150,756 ------------- INDUSTRIAL CONGLOMERATES 0.5% Sequa Corp. -- Class A* 1,149 132,204 ------------- TOTAL INDUSTRIAL CONGLOMERATES 132,204 ------------- AIRLINES 0.3% Alaska Air Group, Inc.* 2,319 91,601 ------------- TOTAL AIRLINES 91,601 ------------- TOTAL INDUSTRIALS 3,439,532 ------------- CONSUMER STAPLES 6.4% FOOD PRODUCTS 2.4% Smithfield Foods, Inc.*+ 11,560 296,630 Lancaster Colony Corp.+ 4,590 203,383 J.M. Smucker Co. 3,400 164,798 ------------- TOTAL FOOD PRODUCTS 664,811 ------------- FOOD & DRUG RETAILING 1.8% Ruddick Corp.+ 10,329 286,630 BJ's Wholesale Club, Inc.* 7,031 218,734 ------------- TOTAL FOOD & DRUG RETAILING 505,364 ------------- TOBACCO 1.6% Universal Corp.+ 9,403 460,841 ------------- TOTAL TOBACCO 460,841 ------------- BEVERAGES 0.6% PepsiAmericas, Inc. 8,440 177,071 ------------- TOTAL BEVERAGES 177,071 ------------- TOTAL CONSUMER STAPLES 1,808,087 ------------- INFORMATION TECHNOLOGY 6.1% ELECTRONIC EQUIPMENT & INSTRUMENTS 5.3% Avnet, Inc.*+ 13,651 348,510 Ingram Micro, Inc. -- Class A* 15,734 321,131 Vishay Intertechnology, Inc.*+ 19,787 267,916 Tech Data Corp.* 6,083 230,363 Arrow Electronics, Inc.*+ 6,830 215,487 KEMET Corp.* 15,200 110,960 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,494,367 ------------- COMMUNICATIONS EQUIPMENT 0.5% Andrew Corp.*+ 13,975 142,964 ------------- TOTAL COMMUNICATIONS EQUIPMENT 142,964 ------------- See Notes to Financial Statements. 114 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- MID-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3% Fairchild Semiconductor International, Inc.* 4,840 $ 81,360 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 81,360 ------------- TOTAL INFORMATION TECHNOLOGY 1,718,691 ------------- ENERGY 1.2% OIL & GAS 1.2% Overseas Shipholding Group, Inc. 3,800 213,940 Forest Oil Corp.* 4,240 138,563 ------------- TOTAL OIL & GAS 352,503 ------------- TOTAL ENERGY 352,503 ------------- TELECOMMUNICATION SERVICES 0.4% WIRELESS TELECOMMUNICATION SERVICES 0.4% Telephone & Data Systems, Inc. 1,840 99,967 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 99,967 ------------- TOTAL TELECOMMUNICATION SERVICES 99,967 ------------- TOTAL COMMON STOCKS (Cost $25,860,789) 28,106,721 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 163,272 163,272 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $163,272) 163,272 ------------- SECURITIES LENDING COLLATERAL 16.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 4,663,653 4,663,653 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,663,653) 4,663,653 ------------- TOTAL INVESTMENTS 116.6% (Cost $30,687,714) $ 32,933,646 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (16.6)% $ (4,679,324) ============= NET ASSETS - 100.0% $ 28,254,322 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 115 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% FINANCIALS 23.8% BANKS 8.0% First Horizon National Corp.+ 19,711 $ 823,526 National City Corp.+ 20,411 746,226 Regions Financial Corp. 16,709 624,917 Wachovia Corp. 10,578 602,417 Comerica, Inc.+ 9,536 559,572 KeyCorp+ 14,012 532,876 Huntington Bancshares, Inc.+ 21,595 512,881 BB&T Corp.+ 10,007 439,608 Fifth Third Bancorp+ 10,300 421,579 PNC Financial Services Group,Inc.+ 5,656 418,770 SunTrust Banks, Inc.+ 4,330 365,669 U.S. Bancorp+ 10,041 363,384 Wells Fargo & Co.+ 7,833 278,541 ------------- TOTAL BANKS 6,689,966 ------------- INSURANCE 7.9% XL Capital Ltd.+ 12,551 903,923 UnumProvident Corp.+ 37,094 770,813 Cincinnati Financial Corp. 15,400 697,774 St. Paul Travelers Cos., Inc. 12,450 668,441 ACE Ltd. 10,951 663,302 Allstate Corp.+ 9,679 630,200 Hartford Financial Services Group,Inc.+ 5,677 529,721 Lincoln National Corp. 7,390 490,696 Genworth Financial, Inc. -- Class A 13,374 457,525 SAFECO Corp.+ 6,535 408,764 Chubb Corp. 6,862 363,068 ------------- TOTAL INSURANCE 6,584,227 ------------- THRIFTS & MORTGAGE FINANCE 2.9% Fannie Mae 25,700 1,526,323 Washington Mutual, Inc.+ 18,902 859,852 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 2,386,175 ------------- DIVERSIFIED FINANCIALS 2.5% J.P. Morgan Chase & Co. 12,534 605,392 Citigroup, Inc. 9,721 541,460 CIT Group, Inc.+ 8,804 490,999 Bank of America Corp. 9,000 480,510 ------------- TOTAL DIVERSIFIED FINANCIALS 2,118,361 ------------- REAL ESTATE 2.2% Apartment Investment & Management Co. -- Class A+ 7,779 435,779 Plum Creek Timber Co., Inc. (REIT) 10,100 402,485 Equity Office Properties Trust+ 8,039 387,239 Boston Properties, Inc.+ 2,900 324,452 Realogy Corp.* 9,000 272,880 ------------- TOTAL REAL ESTATE 1,822,835 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CAPITAL MARKETS 0.3% Bear Stearns Cos., Inc.+ 1,457 $ 237,170 ------------- TOTAL CAPITAL MARKETS 237,170 ------------- TOTAL FINANCIALS 19,838,734 ------------- UTILITIES 20.1% MULTI-UTILITIES 12.1% DTE Energy Co.+ 21,532 1,042,364 NiSource, Inc.+ 41,911 1,010,055 KeySpan Corp. 24,476 1,007,922 Xcel Energy, Inc.+ 39,140 902,568 Consolidated Edison, Inc.+ 17,241 828,775 CenterPoint Energy, Inc.+ 47,566 788,644 Ameren Corp.+ 13,069 702,197 TECO Energy, Inc.+ 37,600 647,848 CMS Energy Corp.* 37,582 627,619 Dynegy, Inc. -- Class A* 74,433 538,895 Dominion Resources, Inc.+ 6,332 530,875 Public Service Enterprise Group,Inc. 7,791 517,167 PG&E Corp.+ 9,968 471,786 Sempra Energy 7,740 433,750 ------------- TOTAL MULTI-UTILITIES 10,050,465 ------------- ELECTRIC UTILITIES 6.2% Progress Energy, Inc.+ 19,144 939,588 Pinnacle West Capital Corp.+ 18,425 933,963 Duke Energy Corp.+ 18,749 622,654 Southern Co.+ 16,079 592,672 American Electric Power Co., Inc.+ 13,323 567,293 FirstEnergy Corp.+ 9,139 551,082 FPL Group, Inc.+ 6,127 333,431 Entergy Corp. 3,402 314,073 PPL Corp. 8,364 299,766 ------------- TOTAL ELECTRIC UTILITIES 5,154,522 ------------- GAS UTILITIES 1.8% Peoples Energy Corp.+ 18,920 843,264 Nicor, Inc.+ 14,921 698,303 ------------- TOTAL GAS UTILITIES 1,541,567 ------------- TOTAL UTILITIES 16,746,554 ------------- CONSUMER DISCRETIONARY 16.4% AUTOMOBILES 3.6% Ford Motor Co.+ 257,353 1,932,721 General Motors Corp.+ 34,746 1,067,397 ------------- TOTAL AUTOMOBILES 3,000,118 ------------- MEDIA 2.9% CBS Corp.+ 24,500 763,910 Tribune Co.+ 13,000 400,140 New York Times Co. -- Class A+ 15,400 375,144 Time Warner, Inc.+ 14,100 307,098 Dow Jones & Co., Inc. 7,800 296,400 Gannett Co., Inc. 4,800 290,208 ------------- TOTAL MEDIA 2,432,900 ------------- See Notes to Financial Statements. 116 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- SPECIALTY RETAIL 2.2% AutoNation, Inc.*+ 43,110 $ 919,105 OfficeMax, Inc. 11,059 549,079 Circuit City Stores, Inc.+ 18,167 344,810 ------------- TOTAL SPECIALTY RETAIL 1,812,994 ------------- HOUSEHOLD DURABLES 2.1% Whirlpool Corp.+ 8,144 676,115 Leggett & Platt, Inc.+ 24,564 587,080 Newell Rubbermaid, Inc.+ 9,030 261,418 Stanley Works 4,500 226,305 ------------- TOTAL HOUSEHOLD DURABLES 1,750,918 ------------- LEISURE EQUIPMENT & PRODUCTS 1.6% Brunswick Corp.+ 23,260 741,994 Eastman Kodak Co.+ 22,584 582,667 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 1,324,661 ------------- MULTILINE RETAIL 1.6% Dillard's, Inc. -- Class A+ 30,819 1,077,741 Federated Department Stores,Inc. 6,139 234,080 ------------- TOTAL MULTILINE RETAIL 1,311,821 ------------- AUTO COMPONENTS 1.1% Johnson Controls, Inc.+ 5,987 514,403 Goodyear Tire & Rubber Co.*+ 17,800 373,622 ------------- TOTAL AUTO COMPONENTS 888,025 ------------- TEXTILES & APPAREL 0.5% Jones Apparel Group, Inc. 12,720 425,230 ------------- TOTAL TEXTILES & APPAREL 425,230 ------------- DISTRIBUTORS 0.4% Genuine Parts Co. 7,800 369,954 ------------- TOTAL DISTRIBUTORS 369,954 ------------- HOTELS, RESTAURANTS & LEISURE 0.4% Wyndham Worldwide Corp.* 11,200 358,624 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 358,624 ------------- TOTAL CONSUMER DISCRETIONARY 13,675,245 ------------- MATERIALS 8.5% CHEMICALS 3.6% Ashland, Inc. 11,069 765,754 Dow Chemical Co. 16,594 662,764 Eastman Chemical Co.+ 10,352 613,977 PPG Industries, Inc.+ 6,163 395,726 Air Products & Chemicals, Inc. 4,300 302,204 Rohm & Haas Co. 4,413 225,593 ------------- TOTAL CHEMICALS 2,966,018 ------------- PAPER & FOREST PRODUCTS 2.3% MeadWestvaco Corp.+ 23,902 718,494 Weyerhaeuser Co. 9,613 679,158 International Paper Co.+ 14,700 501,270 ------------- TOTAL PAPER & FOREST PRODUCTS 1,898,922 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- METALS & MINING 1.3% Alcoa, Inc. 16,097 $ 483,071 United States Steel Corp. 4,362 319,037 Freeport-McMoRan Copper &Gold, Inc. -- Class B+ 5,600 312,088 ------------- TOTAL METALS & MINING 1,114,196 ------------- CONTAINERS & PACKAGING 1.3% Temple-Inland, Inc.+ 16,535 761,106 Bemis Co. 8,843 300,485 ------------- TOTAL CONTAINERS & PACKAGING 1,061,591 ------------- TOTAL MATERIALS 7,040,727 ------------- CONSUMER STAPLES 7.6% FOOD & DRUG RETAILING 3.2% Supervalu, Inc. 32,188 1,150,721 Kroger Co. 26,100 602,127 Safeway, Inc.+ 14,878 514,184 Costco Wholesale Corp.+ 6,982 369,138 ------------- TOTAL FOOD & DRUG RETAILING 2,636,170 ------------- FOOD PRODUCTS 2.5% Tyson Foods, Inc. -- Class A+ 57,805 950,892 Sara Lee Corp. 39,300 669,279 ConAgra Foods, Inc.+ 18,435 497,745 ------------- TOTAL FOOD PRODUCTS 2,117,916 ------------- BEVERAGES 1.5% Molson Coors Brewing Co. -- Class B+ 9,159 700,114 Coca-Cola Enterprises, Inc. 29,062 593,446 ------------- TOTAL BEVERAGES 1,293,560 ------------- TOBACCO 0.4% Reynolds American, Inc.+ 4,685 306,727 ------------- TOTAL TOBACCO 306,727 ------------- TOTAL CONSUMER STAPLES 6,354,373 ------------- TELECOMMUNICATION SERVICES 7.5% DIVERSIFIED TELECOMMUNICATION SERVICES 6.0% Embarq Corp. 28,589 1,502,638 Windstream Corp.+ 67,745 963,334 Verizon Communications, Inc.+ 24,702 919,902 Citizens Communications Co.+ 50,851 730,729 AT&T, Inc.+ 15,923 569,247 CenturyTel, Inc.+ 7,909 345,307 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 5,031,157 ------------- WIRELESS TELECOMMUNICATION SERVICES 1.5% Sprint Nextel Corp. 33,300 629,037 Alltel Corp. 9,900 598,752 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,227,789 ------------- TOTAL TELECOMMUNICATION SERVICES 6,258,946 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 117 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INDUSTRIALS 5.7% COMMERCIAL SERVICES & SUPPLIES 1.6% RR Donnelley & Sons Co. 18,983 $ 674,656 Allied Waste Industries, Inc.*+ 32,173 395,406 Waste Management, Inc. 7,000 257,390 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,327,452 ------------- AEROSPACE & DEFENSE 1.3% Northrop Grumman Corp. 8,398 568,544 Raytheon Co.+ 5,636 297,581 Goodrich Corp. 5,300 241,415 ------------- TOTAL AEROSPACE & DEFENSE 1,107,540 ------------- ROAD & RAIL 1.2% Ryder System, Inc.+ 13,990 714,330 Union Pacific Corp. 3,017 277,624 ------------- TOTAL ROAD & RAIL 991,954 ------------- MACHINERY 1.0% Cummins, Inc.+ 4,175 493,402 Paccar, Inc. 5,200 337,480 ------------- TOTAL MACHINERY 830,882 ------------- BUILDING PRODUCTS 0.6% Masco Corp.+ 15,806 472,125 ------------- TOTAL BUILDING PRODUCTS 472,125 ------------- TOTAL INDUSTRIALS 4,729,953 ------------- INFORMATION TECHNOLOGY 4.2% ELECTRONIC EQUIPMENT & INSTRUMENTS 2.7% Sanmina-SCI Corp.* 404,448 1,395,346 Solectron Corp.* 256,740 826,703 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,222,049 ------------- IT CONSULTING & SERVICES 1.2% Computer Sciences Corp.* 9,078 484,493 Unisys Corp.* 37,198 291,632 Electronic Data Systems Corp.+ 8,516 234,616 ------------- TOTAL IT CONSULTING & SERVICES 1,010,741 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3% Micron Technology, Inc.*+ 17,994 251,196 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 251,196 ------------- TOTAL INFORMATION TECHNOLOGY 3,483,986 ------------- HEALTH CARE 3.4% HEALTH CARE PROVIDERS & SERVICES 2.7% AmerisourceBergen Corp.+ 18,400 827,264 McKesson Corp. 13,106 664,474 Tenet Healthcare Corp.*+ 73,166 509,967 Medco Health Solutions, Inc.* 5,200 277,888 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,279,593 ------------- PHARMACEUTICALS 0.4% Bristol-Myers Squibb Co. 11,500 302,680 ------------- TOTAL PHARMACEUTICALS 302,680 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.3% Bausch & Lomb, Inc. 4,300 $ 223,858 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 223,858 ------------- TOTAL HEALTH CARE 2,806,131 ------------- ENERGY 2.3% OIL & GAS 2.3% ConocoPhillips 11,991 862,752 Marathon Oil Corp. 6,179 571,558 Hess Corp. 10,200 505,614 ------------- TOTAL OIL & GAS 1,939,924 ------------- TOTAL ENERGY 1,939,924 ------------- TOTAL COMMON STOCKS (Cost $76,780,506) 82,874,573 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.9% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 772,319 772,319 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $772,319) 772,319 ------------- SECURITIES LENDING COLLATERAL 24.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 20,056,352 20,056,352 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $20,056,352) 20,056,352 ------------- TOTAL INVESTMENTS 124.5% (Cost $97,609,177) $ 103,703,244 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (24.5)% $ (20,380,517) ============= NET ASSETS - 100.0% $ 83,322,727 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. 118 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.6% CONSUMER DISCRETIONARY 25.4% SPECIALTY RETAIL 6.6% Christopher & Banks Corp. 10,694 $ 199,550 HOT Topic, Inc.* 14,727 196,458 Stage Stores, Inc. 6,410 194,800 Tractor Supply Co.*+ 3,782 169,093 Hibbett Sporting Goods, Inc.* 4,653 142,056 Jos. A. Bank Clothiers, Inc.*+ 4,630 135,891 Guitar Center, Inc.*+ 2,753 125,151 Children's Place Retail Stores, Inc.*+ 1,649 104,745 Gymboree Corp.* 2,600 99,216 Dress Barn, Inc.* 3,980 92,853 Tween Brands, Inc.*+ 1,920 76,666 ------------- TOTAL SPECIALTY RETAIL 1,536,479 ------------- HOTELS, RESTAURANTS & LEISURE 6.0% Shuffle Master, Inc.*+ 8,326 218,141 Panera Bread Co. -- Class A*+ 3,730 208,544 Multimedia Games, Inc.*+ 21,603 207,389 P.F. Chang's China Bistro, Inc.*+ 5,121 196,544 Sonic Corp.* 6,786 162,525 Papa John's International, Inc.*+ 4,967 144,093 CEC Entertainment, Inc.* 3,445 138,661 Jack in the Box, Inc.* 1,770 108,041 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,383,938 ------------- COMMERCIAL SERVICES & SUPPLIES 3.5% Vertrue, Inc.*+ 6,687 256,848 Coinstar, Inc.* 8,105 247,770 Pre-Paid Legal Services, Inc.*+ 4,653 182,072 Bright Horizons Family Solutions, Inc.*+ 3,210 124,098 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 810,788 ------------- TEXTILES & APPAREL 2.7% K-Swiss, Inc. -- Class A 6,453 198,365 Fossil, Inc.* 6,238 140,854 Quiksilver, Inc.*+ 8,020 126,315 Deckers Outdoor Corp.*+ 1,700 101,915 CROCS, Inc.*+ 1,390 60,048 ------------- TOTAL TEXTILES & APPAREL 627,497 ------------- HOUSEHOLD DURABLES 2.0% NVR, Inc.*+ 380 245,100 Meritage Homes Corp.* 4,718 225,143 ------------- TOTAL HOUSEHOLD DURABLES 470,243 ------------- LEISURE EQUIPMENT & PRODUCTS 1.7% Pool Corp.+ 5,185 203,096 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Nautilus, Inc.+ 13,710 $ 191,940 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 395,036 ------------- AUTO COMPONENTS 1.1% LKQ Corp.*+ 5,900 135,641 Drew Industries, Inc.*+ 4,770 124,068 ------------- TOTAL AUTO COMPONENTS 259,709 ------------- INTERNET & CATALOG RETAIL 1.1% PetMed Express, Inc.* 18,970 253,249 ------------- TOTAL INTERNET & CATALOG RETAIL 253,249 ------------- AUTOMOBILES 0.7% Winnebago Industries, Inc.+ 5,112 168,236 ------------- TOTAL AUTOMOBILES 168,236 ------------- TOTAL CONSUMER DISCRETIONARY 5,905,175 ------------- HEALTH CARE 21.9% HEALTH CARE EQUIPMENT & SUPPLIES 12.9% Possis Medical, Inc.* 20,309 273,765 Integra LifeSciences Holdings Corp.* 5,714 243,359 Biosite, Inc.*+ 4,705 229,839 Immucor, Inc.*+ 5,761 168,394 PharmaNet Development Group, Inc.*+ 6,980 154,049 SurModics, Inc.*+ 4,783 148,847 PolyMedica Corp.+ 3,645 147,294 Kensey Nash Corp.* 4,592 146,026 Mentor Corp.+ 2,941 143,727 Cooper Cos., Inc.+ 3,150 140,175 Dionex Corp.* 2,419 137,181 Greatbatch, Inc.* 5,030 135,408 BioLase Technology, Inc.*+ 15,217 133,149 Hologic, Inc.* 2,800 132,384 American Medical Systems Holdings, Inc.*+ 7,118 131,825 Merit Medical Systems, Inc.* 8,194 129,793 Respironics, Inc.*+ 3,199 120,762 Idexx Laboratories, Inc.* 1,412 111,972 ArthroCare Corp.*+ 2,576 102,834 ICU Medical, Inc.*+ 2,216 90,147 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,020,930 ------------- HEALTH CARE PROVIDERS & SERVICES 7.0% AMN Healthcare Services, Inc.*+ 9,210 253,643 Healthways, Inc.*+ 4,485 213,979 Sierra Health Services, Inc.* 4,936 177,894 Per-Se Technologies, Inc.* 6,228 173,014 Sunrise Senior Living, Inc.*+ 5,257 161,495 AmSurg Corp.*+ 6,239 143,497 Amedisys, Inc.*+ 4,286 140,881 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 119 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Odyssey HealthCare, Inc.* 10,212 $ 135,411 Pediatrix Medical Group, Inc.* 2,428 118,729 Cerner Corp.*+ 2,377 108,154 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,626,697 ------------- PHARMACEUTICALS 1.6% Bradley Pharmaceuticals, Inc.*+ 9,140 188,101 Sciele Pharma, Inc.*+ 4,793 115,032 Noven Pharmaceuticals, Inc.* 2,566 65,305 ------------- TOTAL PHARMACEUTICALS 368,438 ------------- BIOTECHNOLOGY 0.4% Digene Corp.* 1,950 93,444 ------------- TOTAL BIOTECHNOLOGY 93,444 ------------- TOTAL HEALTH CARE 5,109,509 ------------- INFORMATION TECHNOLOGY 21.1% SOFTWARE 5.2% Factset Research Systems, Inc. 3,290 185,819 EPIQ Systems, Inc.*+ 9,641 163,608 Altiris, Inc.* 6,100 154,818 Ansys, Inc.*+ 3,227 140,342 Quality Systems, Inc.+ 3,667 136,669 Take-Two Interactive Software,Inc.*+ 7,640 135,686 Kronos, Inc.*+ 3,251 119,442 Manhattan Associates, Inc.* 3,457 103,987 Micros Systems, Inc.*+ 1,580 83,266 ------------- TOTAL SOFTWARE 1,223,637 ------------- INTERNET SOFTWARE & SERVICES 4.4% Bankrate, Inc.*+ 6,589 250,053 j2 Global Communications, Inc.*+ 9,092 247,757 Websense, Inc.* 10,326 235,743 WebEx Communications, Inc.*+ 4,879 170,228 Digital Insight Corp.*+ 2,884 111,005 ------------- TOTAL INTERNET SOFTWARE & SERVICES 1,014,786 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 3.6% Flir Systems, Inc.*+ 7,799 248,242 Itron, Inc.*+ 3,250 168,480 Scansource, Inc.*+ 5,248 159,539 Trimble Navigation Ltd.* 2,850 144,581 Daktronics, Inc. 3,273 120,610 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 841,452 ------------- IT CONSULTING & SERVICES 2.9% Talx Corp. 5,853 160,665 CACI International, Inc. -- Class A* 2,536 143,284 Mantech International Corp. -- Class A* 3,579 131,814 Global Payments, Inc. 2,760 127,788 eFunds Corp.* 3,764 103,510 ------------- TOTAL IT CONSULTING & SERVICES 667,061 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS 2.7% Komag, Inc.* 6,653 $ 252,016 Neoware, Inc.*+ 19,046 251,598 Synaptics, Inc.*+ 4,480 133,011 ------------- TOTAL COMPUTERS & PERIPHERALS 636,625 ------------- COMMUNICATIONS EQUIPMENT 1.4% Netgear, Inc.*+ 7,490 196,612 Comtech Telecommunications Corp.*+ 3,569 135,872 ------------- TOTAL COMMUNICATIONS EQUIPMENT 332,484 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.9% Cabot Microelectronics Corp.*+ 3,490 118,451 Diodes, Inc.*+ 2,480 87,990 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 206,441 ------------- TOTAL INFORMATION TECHNOLOGY 4,922,486 ------------- FINANCIALS 9.2% BANKS 3.3% Wilshire Bancorp, Inc.+ 9,801 185,925 Nara Bancorp, Inc. 7,010 146,649 PrivateBancorp, Inc. 3,003 125,015 UCBH Holdings, Inc.+ 6,693 117,529 Cascade Bancorp.+ 3,640 112,949 East-West Bancorp, Inc.+ 2,405 85,185 ------------- TOTAL BANKS 773,252 ------------- INSURANCE 2.2% Infinity Property & Casualty Corp. 5,230 253,080 Hilb Rogal & Hobbs Co.+ 3,212 135,289 Philadelphia Consolidated Holding Corp.*+ 2,758 122,897 ------------- TOTAL INSURANCE 511,266 ------------- CONSUMER FINANCE 1.7% Rewards Network, Inc.* 34,704 241,193 World Acceptance Corp.* 3,176 149,113 ------------- TOTAL CONSUMER FINANCE 390,306 ------------- DIVERSIFIED FINANCIALS 1.0% Portfolio Recovery Associates, Inc.*+ 4,865 227,147 ------------- TOTAL DIVERSIFIED FINANCIALS 227,147 ------------- THRIFTS & MORTGAGE FINANCE 0.6% Franklin Bank Corp.* 7,420 152,407 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 152,407 ------------- CAPITAL MARKETS 0.4% Investment Technology Group, Inc.* 1,995 85,545 ------------- TOTAL CAPITAL MARKETS 85,545 ------------- TOTAL FINANCIALS 2,139,923 ------------- See Notes to Financial Statements. 120 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ENERGY 8.5% OIL & GAS 5.3% St. Mary Land & Exploration Co. 5,630 $ 207,409 Stone Energy Corp.* 5,500 194,425 Frontier Oil Corp. 5,860 168,417 Petroleum Development Corp.* 3,876 166,862 Swift Energy Co.*+ 3,040 136,222 Penn Virginia Corp. 1,831 128,243 Helix Energy Solutions Group, Inc.*+ 4,006 125,668 Cabot Oil & Gas Corp. 1,721 104,379 ------------- TOTAL OIL & GAS 1,231,625 ------------- ENERGY EQUIPMENT & SERVICES 3.2% Hydril*+ 2,555 192,110 W-H Energy Services, Inc.* 3,332 162,235 Unit Corp.* 3,331 161,387 CARBO Ceramics, Inc.+ 3,523 131,655 Oceaneering International, Inc.* 2,230 88,531 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 735,918 ------------- TOTAL ENERGY 1,967,543 ------------- INDUSTRIALS 7.5% AEROSPACE & DEFENSE 2.1% Ceradyne, Inc.*+ 3,509 198,258 Curtiss-Wright Corp.+ 4,108 152,325 Armor Holdings, Inc.*+ 2,410 132,189 ------------- TOTAL AEROSPACE & DEFENSE 482,772 ------------- ROAD & RAIL 1.7% Landstar System, Inc.+ 3,845 146,802 Knight Transportation, Inc.+ 7,806 133,092 Heartland Express, Inc.+ 7,994 120,070 ------------- TOTAL ROAD & RAIL 399,964 ------------- MACHINERY 1.5% ASV, Inc.*+ 8,597 139,873 Toro Co. 2,620 122,170 Manitowoc Co., Inc. 1,290 76,665 ------------- TOTAL MACHINERY 338,708 ------------- COMMERCIAL SERVICES & SUPPLIES 0.9% Waste Connections, Inc.* 3,229 134,165 Mobile Mini, Inc.* 3,110 83,783 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 217,948 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- BUILDING PRODUCTS 0.6% Simpson Manufacturing Co., Inc.+ 4,307 $ 136,317 ------------- TOTAL BUILDING PRODUCTS 136,317 ------------- AIR FREIGHT & COURIERS 0.4% Forward Air Corp.+ 3,599 104,119 ------------- TOTAL AIR FREIGHT & COURIERS 104,119 ------------- MARINE 0.3% Kirby Corp.* 2,200 75,086 ------------- TOTAL MARINE 75,086 ------------- TOTAL INDUSTRIALS 1,754,914 ------------- CONSUMER STAPLES 3.2% PERSONAL PRODUCTS 2.0% USANA Health Sciences, Inc.*+ 4,169 215,370 NBTY, Inc.* 4,251 176,714 Playtex Products, Inc.* 4,440 63,892 ------------- TOTAL PERSONAL PRODUCTS 455,976 ------------- FOOD PRODUCTS 0.7% Sanderson Farms, Inc.+ 5,630 170,533 ------------- TOTAL FOOD PRODUCTS 170,533 ------------- FOOD & DRUG RETAILING 0.5% United Natural Foods, Inc.*+ 3,390 121,769 ------------- TOTAL FOOD & DRUG RETAILING 121,769 ------------- TOTAL CONSUMER STAPLES 748,278 ------------- MATERIALS 2.2% METALS & MINING 1.1% Chaparral Steel Co. 3,090 136,794 Cleveland-Cliffs, Inc. 2,590 125,460 ------------- TOTAL METALS & MINING 262,254 ------------- CONSTRUCTION MATERIALS 1.1% Headwaters, Inc.*+ 10,574 253,353 ------------- TOTAL CONSTRUCTION MATERIALS 253,353 ------------- TOTAL MATERIALS 515,607 ------------- TELECOMMUNICATION SERVICES 0.6% DIVERSIFIED TELECOMMUNICATION SERVICES 0.6% General Communication, Inc. -- Class A* 9,090 142,986 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 142,986 ------------- TOTAL TELECOMMUNICATION SERVICES 142,986 ------------- TOTAL COMMON STOCKS (Cost $20,751,132) 23,206,421 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 121 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.5% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 116,843 $ 116,843 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $116,843) 116,843 ------------- SECURITIES LENDING COLLATERAL 26.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 6,228,573 6,228,573 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $6,228,573) 6,228,573 ------------- TOTAL INVESTMENTS 126.8% (Cost $27,096,548) $ 29,551,837 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (26.8)% $ (6,252,261) ============= NET ASSETS - 100.0% $ 23,299,576 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 122 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- MID-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% CONSUMER DISCRETIONARY 34.4% SPECIALTY RETAIL 13.0% Aeropostale, Inc.* 7,454 $ 230,105 Chico's FAS, Inc.*+ 10,130 209,590 GameStop Corp. -- Class A*+ 3,219 177,399 Abercrombie & Fitch Co. -- Class A+ 2,309 160,776 Urban Outfitters, Inc.*+ 6,718 154,715 Pacific Sunwear of California, Inc.* 7,891 154,506 Advance Auto Parts, Inc. 4,243 150,881 Ross Stores, Inc. 5,054 148,082 Williams-Sonoma, Inc.+ 4,328 136,072 Petsmart, Inc.+ 4,689 135,325 Dick's Sporting Goods, Inc.*+ 2,519 123,406 O'Reilly Automotive, Inc.* 3,490 111,889 American Eagle Outfitters, Inc. 3,486 108,798 ------------- TOTAL SPECIALTY RETAIL 2,001,544 ------------- COMMERCIAL SERVICES & SUPPLIES 5.4% Corinthian Colleges, Inc.*+ 17,083 232,841 Career Education Corp.*+ 8,227 203,865 Strayer Education, Inc.+ 1,590 168,619 ITT Educational Services, Inc.*+ 2,426 161,014 DeVry, Inc. 2,510 70,280 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 836,619 ------------- HOTELS, RESTAURANTS & LEISURE 4.7% Applebee's International, Inc.+ 5,714 140,964 Scientific Games Corp. -- Class A*+ 4,437 134,131 Cheesecake Factory, Inc.*+ 5,052 124,279 Brinker International, Inc. 4,050 122,148 Ruby Tuesday, Inc. 3,960 108,662 International Speedway Corp. -- Class A 1,940 99,018 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 729,202 ------------- HOUSEHOLD DURABLES 3.7% Hovnanian Enterprises, Inc. -- Class A*+ 6,305 213,740 Ryland Group, Inc.+ 3,457 188,821 Toll Brothers, Inc.*+ 5,279 170,142 ------------- TOTAL HOUSEHOLD DURABLES 572,703 ------------- MEDIA 3.3% Entercom Communications Corp. 4,210 118,638 John Wiley & Sons, Inc. -- Class A 3,080 118,488 Valassis Communications, Inc.*+ 7,060 102,370 Catalina Marketing Corp. 3,185 87,587 Harte-Hanks, Inc. 2,860 79,251 ------------- TOTAL MEDIA 506,334 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MULTILINE RETAIL 1.8% 99 Cents Only Stores* 12,020 $ 146,283 Dollar Tree Stores, Inc.*+ 4,260 128,226 ------------- TOTAL MULTILINE RETAIL 274,509 ------------- TEXTILES & APPAREL 1.4% Timberland Co. -- Class A*+ 4,574 144,447 Polo Ralph Lauren Corp. 960 74,554 ------------- TOTAL TEXTILES & APPAREL 219,001 ------------- AUTOMOBILES 1.1% Thor Industries, Inc.+ 3,932 172,969 ------------- TOTAL AUTOMOBILES 172,969 ------------- TOTAL CONSUMER DISCRETIONARY 5,312,881 ------------- HEALTH CARE 19.7% HEALTH CARE EQUIPMENT & SUPPLIES 6.4% Gen-Probe, Inc.* 4,392 230,009 Cytyc Corp.*+ 7,024 198,780 ResMed, Inc.*+ 3,272 161,048 Varian Medical Systems, Inc.* 3,060 145,564 DENTSPLY International, Inc. 3,486 104,057 Ventana Medical Systems, Inc.* 2,040 87,781 Edwards Lifesciences Corp.*+ 1,300 61,152 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 988,391 ------------- HEALTH CARE PROVIDERS & SERVICES 6.2% Community Health Systems, Inc.*+ 5,534 202,102 Lincare Holdings, Inc.* 4,362 173,782 Apria Healthcare Group, Inc.* 6,426 171,253 Universal Health Services, Inc. -- Class B 2,210 122,500 Pharmaceutical Product Development, Inc.+ 3,796 122,307 Henry Schein, Inc.* 2,140 104,817 Covance, Inc.* 1,000 58,910 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 955,671 ------------- PHARMACEUTICALS 4.0% Sepracor, Inc.*+ 4,134 254,572 Par Pharmaceutical Cos., Inc.* 10,861 242,961 Medicis Pharmaceutical Corp. -- Class A+ 3,249 114,137 ------------- TOTAL PHARMACEUTICALS 611,670 ------------- BIOTECHNOLOGY 3.1% Cephalon, Inc.*+ 2,304 162,225 Techne Corp.* 2,406 133,413 Invitrogen Corp.* 2,065 116,858 Affymetrix, Inc.* 3,090 71,255 ------------- TOTAL BIOTECHNOLOGY 483,751 ------------- TOTAL HEALTH CARE 3,039,483 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 123 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MID-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY 12.6% IT CONSULTING & SERVICES 3.3% DST Systems, Inc.*+ 3,099 $ 194,090 Alliance Data Systems Corp.*+ 1,990 124,315 SRA International, Inc. -- Class A*+ 4,130 110,436 CSG Systems International, Inc.* 3,261 87,167 ------------- TOTAL IT CONSULTING & SERVICES 516,008 ------------- SOFTWARE 3.1% Macrovision Corp.*+ 4,314 121,913 McAfee, Inc.* 4,142 117,550 Fair Isaac Corp.+ 2,303 93,617 Jack Henry & Associates, Inc.+ 4,165 89,131 Activision, Inc.*+ 3,411 58,806 ------------- TOTAL SOFTWARE 481,017 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.0% Silicon Laboratories, Inc.*+ 5,717 198,094 Cree, Inc.*+ 6,198 107,349 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 305,443 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.5% CDW Corp.+ 1,870 131,499 Amphenol Corp. -- Class A+ 1,679 104,232 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 235,731 ------------- COMPUTERS & PERIPHERALS 1.4% Western Digital Corp.* 10,264 210,001 ------------- TOTAL COMPUTERS & PERIPHERALS 210,001 ------------- COMMUNICATIONS EQUIPMENT 0.8% Plantronics, Inc.+ 5,603 118,784 ------------- TOTAL COMMUNICATIONS EQUIPMENT 118,784 ------------- OFFICE ELECTRONICS 0.5% Zebra Technologies Corp. -- Class A* 2,211 76,921 ------------- TOTAL OFFICE ELECTRONICS 76,921 ------------- TOTAL INFORMATION TECHNOLOGY 1,943,905 ------------- INDUSTRIALS 12.3% COMMERCIAL SERVICES & SUPPLIES 4.9% Corporate Executive Board Co. 1,754 153,826 Rollins, Inc. 5,664 125,231 Stericycle, Inc.*+ 1,568 118,384 Copart, Inc.*+ 3,771 113,130 Mine Safety Appliances Co. 2,810 102,987 ChoicePoint, Inc.* 2,253 88,723 Dun & Bradstreet Corp.*+ 760 62,920 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 765,201 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MACHINERY 2.0% Graco, Inc.+ 2,766 $ 109,589 Donaldson Co., Inc.+ 3,020 104,824 Oshkosh Truck Corp. 1,910 92,482 ------------- TOTAL MACHINERY 306,895 ------------- AIR FREIGHT & COURIERS 1.6% Expeditors International Washington, Inc.+ 3,346 135,513 CH Robinson Worldwide, Inc.+ 2,687 109,871 ------------- TOTAL AIR FREIGHT & COURIERS 245,384 ------------- AEROSPACE & DEFENSE 1.1% Alliant Techsystems, Inc.*+ 2,171 169,751 ------------- TOTAL AEROSPACE & DEFENSE 169,751 ------------- ELECTRICAL EQUIPMENT 0.9% AMETEK, Inc. 2,180 69,411 Roper Industries, Inc. 1,320 66,317 ------------- TOTAL ELECTRICAL EQUIPMENT 135,728 ------------- TRADING COMPANIES & DISTRIBUTORS 0.7% Fastenal Co.+ 2,845 102,079 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 102,079 ------------- AIRLINES 0.6% AirTran Holdings, Inc.*+ 7,810 91,689 ------------- TOTAL AIRLINES 91,689 ------------- CONSTRUCTION & ENGINEERING 0.5% Jacobs Engineering Group, Inc.* 1,021 83,252 ------------- TOTAL CONSTRUCTION & ENGINEERING 83,252 ------------- TOTAL INDUSTRIALS 1,899,979 ------------- FINANCIALS 9.0% CAPITAL MARKETS 4.3% Investors Financial Services Corp.+ 3,757 160,311 Eaton Vance Corp.+ 4,378 144,518 SEI Investments Co.+ 2,129 126,803 Nuveen Investments, Inc. -- Class A 2,380 123,475 Waddell & Reed Financial, Inc. -- Class A 3,712 101,560 ------------- TOTAL CAPITAL MARKETS 656,667 ------------- INSURANCE 3.9% W.R. Berkley Corp. 5,490 189,460 Brown & Brown, Inc. 6,286 177,328 Everest Re Group Ltd. 1,250 122,637 HCC Insurance Holdings, Inc. 3,640 116,808 ------------- TOTAL INSURANCE 606,233 ------------- DIVERSIFIED FINANCIALS 0.8% Leucadia National Corp. 4,320 121,824 ------------- TOTAL DIVERSIFIED FINANCIALS 121,824 ------------- TOTAL FINANCIALS 1,384,724 ------------- See Notes to Financial Statements. 124 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- MID-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ENERGY 6.3% OIL & GAS 5.1% Pogo Producing Co.+ 3,944 $ 191,048 Pioneer Natural Resources Co.+ 4,112 163,205 Newfield Exploration Co.* 3,502 160,917 Denbury Resources, Inc.*+ 4,838 134,448 Quicksilver Resources, Inc.*+ 2,300 84,157 Southwestern Energy Co.*+ 1,405 49,245 ------------- TOTAL OIL & GAS 783,020 ------------- ENERGY EQUIPMENT & SERVICES 1.2% Patterson-UTI Energy, Inc.+ 4,178 97,055 FMC Technologies, Inc.* 1,440 88,747 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 185,802 ------------- TOTAL ENERGY 968,822 ------------- CONSUMER STAPLES 2.8% HOUSEHOLD PRODUCTS 1.8% Energizer Holdings, Inc.*+ 2,572 182,586 Church & Dwight Co., Inc.+ 2,309 98,479 ------------- TOTAL HOUSEHOLD PRODUCTS 281,065 ------------- BEVERAGES 1.0% Hansen Natural Corp.* 4,590 154,591 ------------- TOTAL BEVERAGES 154,591 ------------- TOTAL CONSUMER STAPLES 435,656 ------------- MATERIALS 1.9% METALS & MINING 1.9% Steel Dynamics, Inc. 4,650 150,893 Commercial Metals Co. 5,730 147,834 ------------- TOTAL METALS & MINING 298,727 ------------- TOTAL MATERIALS 298,727 ------------- UTILITIES 0.5% GAS UTILITIES 0.5% Equitable Resources, Inc. 1,850 77,238 ------------- TOTAL GAS UTILITIES 77,238 ------------- TOTAL UTILITIES 77,238 ------------- TOTAL COMMON STOCKS (Cost $13,288,061) 15,361,415 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 104,567 $ 104,567 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $104,567) 104,567 ------------- SECURITIES LENDING COLLATERAL 27.2% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 4,196,579 4,196,579 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,196,579) 4,196,579 ------------- TOTAL INVESTMENTS 127.3% (Cost $17,589,207) $ 19,662,561 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (27.3)% $ (4,222,778) ============= NET ASSETS - 100.0% $ 15,439,783 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 125 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% HEALTH CARE 24.1% HEALTH CARE PROVIDERS & SERVICES 9.1% Caremark Rx, Inc. 5,442 $ 310,793 Express Scripts, Inc.*+ 3,777 270,433 Coventry Health Care, Inc.*+ 5,298 265,165 UnitedHealth Group, Inc. 4,371 234,854 Quest Diagnostics, Inc. 3,642 193,026 Patterson Cos., Inc.*+ 5,150 182,876 Health Management Associates, Inc. -- Class A+ 8,545 180,385 Cardinal Health, Inc. 2,539 163,588 IMS Health, Inc. 5,453 149,848 Humana, Inc.* 1,793 99,171 Laboratory Corporation of America Holdings*+ 1,191 87,503 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,137,642 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 8.2% Hospira, Inc.* 8,812 295,907 Zimmer Holdings, Inc.*+ 3,343 262,024 Stryker Corp.+ 3,472 191,342 Biomet, Inc. 4,473 184,601 Waters Corp.* 3,374 165,225 St. Jude Medical, Inc.* 4,461 163,094 Medtronic, Inc.+ 2,904 155,393 Boston Scientific Corp.* 8,368 143,762 C.R. Bard, Inc. 1,410 116,988 Becton, Dickinson & Co. 1,474 103,401 Baxter International, Inc. 1,840 85,358 Millipore Corp.* 1,112 74,059 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,941,154 ------------- PHARMACEUTICALS 3.8% Forest Laboratories, Inc.*+ 5,428 274,657 Barr Pharmaceuticals, Inc.*+ 3,295 165,145 Mylan Laboratories, Inc.+ 7,012 139,960 Johnson & Johnson, Inc. 2,018 133,228 Wyeth 2,133 108,612 Allergan, Inc.+ 680 81,423 ------------- TOTAL PHARMACEUTICALS 903,025 ------------- BIOTECHNOLOGY 3.0% Gilead Sciences, Inc.* 3,885 252,253 Amgen, Inc.* 2,398 163,807 Celgene Corp.*+ 1,952 112,299 Genzyme Corp.* 1,540 94,833 Applera Corp. - Applied Biosystems Group 1,880 68,977 ------------- TOTAL BIOTECHNOLOGY 692,169 ------------- TOTAL HEALTH CARE 5,673,990 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY 19.8% SPECIALTY RETAIL 6.4% Bed Bath & Beyond, Inc.*+ 5,729 $ 218,275 AutoZone, Inc.*+ 1,843 212,977 TJX Cos., Inc.+ 6,858 195,590 Lowe's Cos., Inc.+ 5,930 184,720 Best Buy Co., Inc.+ 3,671 180,577 Home Depot, Inc. 3,977 159,716 RadioShack Corp.+ 8,281 138,955 Staples, Inc. 4,070 108,669 Tiffany & Co.+ 2,652 104,064 ------------- TOTAL SPECIALTY RETAIL 1,503,543 ------------- HOTELS, RESTAURANTS & LEISURE 3.0% International Game Technology, Inc. 4,898 226,288 Starbucks Corp.*+ 5,612 198,777 Darden Restaurants, Inc.+ 3,847 154,534 Yum! Brands, Inc.+ 2,233 131,300 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 710,899 ------------- TEXTILES & APPAREL 2.3% Coach, Inc.*+ 6,728 289,035 Nike, Inc. -- Class B+ 1,314 130,126 Liz Claiborne, Inc.+ 2,855 124,078 ------------- TOTAL TEXTILES & APPAREL 543,239 ------------- HOUSEHOLD DURABLES 2.3% D.R. Horton, Inc.+ 8,975 237,748 Harman International Industries, Inc.+ 1,640 163,852 Black & Decker Corp. 1,617 129,312 ------------- TOTAL HOUSEHOLD DURABLES 530,912 ------------- COMMERCIAL SERVICES & SUPPLIES 1.9% Apollo Group, Inc. -- Class A*+ 6,488 252,837 H&R Block, Inc.+ 8,948 206,162 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 458,999 ------------- INTERNET & CATALOG RETAIL 1.3% Amazon.com, Inc.*+ 7,533 297,252 ------------- TOTAL INTERNET & CATALOG RETAIL 297,252 ------------- MEDIA 1.0% Omnicom Group, Inc.+ 1,323 138,307 McGraw-Hill Cos., Inc. 1,560 106,111 ------------- TOTAL MEDIA 244,418 ------------- AUTOMOBILES 0.9% Harley-Davidson, Inc.+ 3,139 221,205 ------------- TOTAL AUTOMOBILES 221,205 ------------- MULTILINE RETAIL 0.7% Kohl's Corp.* 2,488 170,254 ------------- TOTAL MULTILINE RETAIL 170,254 ------------- TOTAL CONSUMER DISCRETIONARY 4,680,721 ------------- See Notes to Financial Statements. 126 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY 18.7% SOFTWARE 4.7% Intuit, Inc.* 8,126 $ 247,924 Electronic Arts, Inc.* 3,761 189,404 Symantec Corp.*+ 7,436 155,041 Adobe Systems, Inc.* 3,526 144,989 Oracle Corp.* 7,735 132,578 Citrix Systems, Inc.*+ 4,615 124,836 Autodesk, Inc.* 2,920 118,143 ------------- TOTAL SOFTWARE 1,112,915 ------------- IT CONSULTING & SERVICES 4.6% Cognizant Technology Solutions Corp. -- Class A* 3,360 259,258 First Data Corp.+ 8,024 204,772 Fiserv, Inc.*+ 3,547 185,934 Affiliated Computer Services, Inc. -- Class A* 3,049 148,913 Paychex, Inc. 3,140 124,156 Automatic Data Processing, Inc. 1,800 88,650 Fidelity National Information Services, Inc. 1,535 61,538 ------------- TOTAL IT CONSULTING & SERVICES 1,073,221 ------------- COMPUTERS & PERIPHERALS 3.6% Dell, Inc.*+ 7,064 177,236 Lexmark International, Inc.* 2,210 161,772 QLogic Corp.* 7,207 157,977 International Business Machines Corp. 1,257 122,117 SanDisk Corp.*+ 2,835 121,990 Network Appliance, Inc.* 2,831 111,202 ------------- TOTAL COMPUTERS & PERIPHERALS 852,294 ------------- INTERNET SOFTWARE & SERVICES 2.9% Google, Inc. -- Class A* 632 291,023 eBay, Inc.* 7,706 231,720 Yahoo!, Inc.*+ 6,515 166,393 ------------- TOTAL INTERNET SOFTWARE & SERVICES 689,136 ------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.5% Nvidia Corp.*+ 4,980 184,310 National Semiconductor Corp. 5,058 114,816 KLA-Tencor Corp. 1,180 58,705 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 357,831 ------------- COMMUNICATIONS EQUIPMENT 1.0% Cisco Systems, Inc.* 4,501 123,013 Qualcomm, Inc. 2,989 112,954 ------------- TOTAL COMMUNICATIONS EQUIPMENT 235,967 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.4% Jabil Circuit, Inc. 3,270 80,278 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 80,278 ------------- TOTAL INFORMATION TECHNOLOGY 4,401,642 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER STAPLES 9.8% FOOD PRODUCTS 2.5% Kellogg Co.+ 2,662 $ 133,260 WM Wrigley Jr Co. 2,396 123,921 Campbell Soup Co.+ 3,109 120,909 Hershey Co. 2,250 112,050 McCormick & Co., Inc. 2,699 104,074 ------------- TOTAL FOOD PRODUCTS 594,214 ------------- BEVERAGES 2.4% Pepsi Bottling Group, Inc. 6,190 191,333 Anheuser-Busch Cos., Inc. 3,339 164,279 PepsiCo, Inc. 1,843 115,279 Brown-Forman Corp. -- Class B 1,520 100,685 ------------- TOTAL BEVERAGES 571,576 ------------- FOOD & DRUG RETAILING 1.9% Sysco Corp.+ 4,497 165,310 Walgreen Co.+ 3,208 147,215 Wal-Mart Stores, Inc. 3,017 139,325 ------------- TOTAL FOOD & DRUG RETAILING 451,850 ------------- HOUSEHOLD PRODUCTS 1.8% Clorox Co. 2,246 144,081 Colgate-Palmolive Co. 2,165 141,244 Procter & Gamble Co. 2,036 130,854 ------------- TOTAL HOUSEHOLD PRODUCTS 416,179 ------------- PERSONAL PRODUCTS 1.2% Avon Products, Inc.+ 4,740 156,609 Estee Lauder Cos., Inc. -- Class A 2,830 115,521 ------------- TOTAL PERSONAL PRODUCTS 272,130 ------------- TOTAL CONSUMER STAPLES 2,305,949 ------------- ENERGY 8.7% OIL & GAS 6.4% XTO Energy, Inc. 6,044 284,370 Apache Corp. 3,413 226,999 Devon Energy Corp.+ 3,116 209,021 EOG Resources, Inc.+ 2,917 182,167 Murphy Oil Corp. 3,490 177,466 Chesapeake Energy Corp.+ 5,641 163,871 Anadarko Petroleum Corp. 3,526 153,452 Exxon Mobil Corp. 1,590 121,842 ------------- TOTAL OIL & GAS 1,519,188 ------------- ENERGY EQUIPMENT & SERVICES 2.3% BJ Services Co.+ 4,606 135,048 Nabors Industries Ltd.*+ 4,314 128,471 Smith International, Inc. 2,950 121,156 National-Oilwell Varco, Inc.*+ 1,430 87,487 Noble Corp. 810 61,682 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 533,844 ------------- TOTAL ENERGY 2,053,032 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 127 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- FINANCIALS 8.4% INSURANCE 2.3% Progressive Corp. 10,266 $ 248,643 Ambac Financial Group, Inc. 1,960 174,577 American International Group, Inc. 1,730 123,972 ------------- TOTAL INSURANCE 547,192 ------------- CONSUMER FINANCE 1.9% Capital One Financial Corp. 2,287 175,687 SLM Corp. 3,470 169,232 American Express Co. 1,662 100,834 ------------- TOTAL CONSUMER FINANCE 445,753 ------------- DIVERSIFIED FINANCIALS 1.8% Moody's Corp.+ 3,210 221,683 Chicago Mercantile Exchange Holdings, Inc. 380 193,705 ------------- TOTAL DIVERSIFIED FINANCIALS 415,388 ------------- THRIFTS & MORTGAGE FINANCE 1.1% Countrywide Financial Corp.+ 6,163 261,619 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 261,619 ------------- CAPITAL MARKETS 0.7% Federated Investors, Inc. -- Class B 5,089 171,906 ------------- TOTAL CAPITAL MARKETS 171,906 ------------- BANKS 0.6% Commerce Bancorp, Inc.+ 4,123 145,418 ------------- TOTAL BANKS 145,418 ------------- TOTAL FINANCIALS 1,987,276 ------------- INDUSTRIALS 5.1% AEROSPACE & DEFENSE 2.5% L-3 Communications Holdings, Inc.+ 2,120 173,373 Rockwell Collins, Inc. 2,570 162,655 General Dynamics Corp. 1,996 148,403 United Technologies Corp. 1,700 106,284 ------------- TOTAL AEROSPACE & DEFENSE 590,715 ------------- MACHINERY 1.1% Danaher Corp.+ 1,938 140,389 ITT Industries, Inc. 2,150 122,163 ------------- TOTAL MACHINERY 262,552 ------------- COMMERCIAL SERVICES & SUPPLIES 0.9% Pitney Bowes, Inc. 2,430 112,242 Cintas Corp. 2,312 91,809 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 204,051 ------------- BUILDING PRODUCTS 0.6% American Standard Cos., Inc.+ 3,100 142,135 ------------- TOTAL BUILDING PRODUCTS 142,135 ------------- TOTAL INDUSTRIALS 1,199,453 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MATERIALS 4.1% CHEMICALS 2.0% Ecolab, Inc.+ 3,276 $ 148,075 Sigma-Aldrich Corp. 1,705 132,512 International Flavors & Fragrances, Inc. 2,080 102,253 Praxair, Inc. 1,420 84,249 ------------- TOTAL CHEMICALS 467,089 ------------- CONTAINERS & PACKAGING 1.1% Ball Corp. 3,420 149,112 Pactiv Corp.* 3,080 109,925 ------------- TOTAL CONTAINERS & PACKAGING 259,037 ------------- METALS & MINING 1.0% Nucor Corp.+ 2,460 134,464 Newmont Mining Corp.+ 2,400 108,360 ------------- TOTAL METALS & MINING 242,824 ------------- TOTAL MATERIALS 968,950 ------------- UTILITIES 0.8% GAS UTILITIES 0.4% Questar Corp. 1,170 97,169 ------------- TOTAL GAS UTILITIES 97,169 ------------- MULTI-UTILITIES 0.4% AES Corp.* 4,360 96,094 ------------- TOTAL MULTI-UTILITIES 96,094 ------------- TOTAL UTILITIES 193,263 ------------- TOTAL COMMON STOCKS (Cost $21,472,201) 23,464,276 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.7% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 165,517 165,517 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $165,517) 165,517 ------------- SECURITIES LENDING COLLATERAL 20.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 4,824,809 4,824,809 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,824,809) 4,824,809 ------------- TOTAL INVESTMENTS 120.7% (Cost $26,462,527) $ 28,454,602 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (20.7)% $ (4,886,985) ============= NET ASSETS - 100.0% $ 23,567,617 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 128 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC STRENGTHENING DOLLAR FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 16.3% Farmer Mac* 5.15% due 01/23/07 $ 200,000 $ 199,399 Federal Home Loan Bank* 5.15% due 01/17/07 300,000 299,356 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $498,755) 498,755 ------------- REPURCHASE AGREEMENTS 84.0% Repurchase Agreement (Note 5) 4.90% due 01/02/07+ 933,269 933,269 4.80% due 01/02/07 431,180 431,180 4.79% due 01/02/07 431,180 431,180 4.65% due 01/02/07 431,180 431,180 4.60% due 01/02/07 349,256 349,256 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $2,576,065) 2,576,065 ------------- TOTAL INVESTMENTS 100.3% (Cost $3,074,820) $ 3,074,820 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% $ (8,266) ============= NET ASSETS - 100.0% $ 3,066,554 -------------------------------------------------------------------------------- UNREALIZED GAIN UNITS (NOTE 1) -------------------------------------------------------------------------------- CURRENCY INDEX SWAP AGREEMENT February 2007 U.S. Dollar Index Swap, Terminating 02/28/07** (Notional Market Value $6,138,949) 73,494 $ 13,656 ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 129 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- DYNAMIC WEAKENING DOLLAR FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 17.9% Farmer Mac* 5.15% due 01/23/07 $ 1,000,000 $ 996,996 Federal Home Loan Bank* 5.15% due 01/17/07 1,000,000 997,854 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $1,994,850) 1,994,850 ------------- REPURCHASE AGREEMENTS 82.6% Repurchase Agreement (Note 5) 4.90% due 01/02/07+ 3,520,910 3,520,910 4.80% due 01/02/07 1,495,358 1,495,358 4.79% due 01/02/07 1,495,358 1,495,358 4.65% due 01/02/07 1,495,358 1,495,358 4.60% due 01/02/07 1,211,241 1,211,241 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $9,218,225) 9,218,225 ------------- TOTAL INVESTMENTS 100.5% (Cost $11,213,075) $ 11,213,075 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)% $ (57,591) ============= NET ASSETS - 100.0% $ 11,155,484 -------------------------------------------------------------------------------- UNREALIZED LOSS UNITS (NOTE 1) -------------------------------------------------------------------------------- CURRENCY INDEX SWAP AGREEMENT SOLD SHORT February 2007 U.S. Dollar Index Swap, Terminating 02/28/07** (Notional Market Value $22,289,053) 266,839 $ (68,976) ============= * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. See Notes to Financial Statements. 130 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 84.3% FINANCIALS 18.0% BANKS 3.9% Wachovia Corp. 650 $ 37,017 KeyCorp 520 19,776 Regions Financial Corp. 488 18,251 National City Corp. 470 17,183 Wells Fargo & Co. 480 17,069 PNC Financial Services Group, Inc. 229 16,955 M&T Bank Corp. 130 15,881 Huntington Bancshares, Inc. 618 14,677 IBERIABANK Corp. 229 13,522 Royal Bancshares of Pennsylvania, Inc. -- Class A 515 13,521 Whitney Holding Corp. 409 13,342 Community Banks, Inc. 470 13,047 FNB Corp. 310 12,881 First Bancorp 578 12,624 First Regional Bancorp/ Los Angeles CA* 370 12,613 Taylor Capital Group, Inc. 339 12,411 First Bancorp Puerto Rico 1,296 12,351 MainSource Financial Group, Inc. 691 11,704 1st Source Corp. 350 11,246 First Citizens BancShares, Inc. -- Class A 50 10,132 Intervest Bancshares Corp.* 289 9,944 First Community Bancorp 189 9,879 U.S. Bancorp 70 2,533 ------------- TOTAL BANKS 328,559 ------------- INSURANCE 3.9% American International Group, Inc. 340 24,365 MetLife, Inc. 300 17,703 Lincoln National Corp. 250 16,600 Chubb Corp. 310 16,402 Genworth Financial, Inc. -- Class A 470 16,079 Assurant, Inc. 290 16,023 Alleghany Corp.* 40 14,544 Markel Corp.* 30 14,403 W.R. Berkley Corp. 410 14,149 Nationwide Financial Services, Inc. 260 14,092 American Financial Group, Inc. 390 14,005 Argonaut Group, Inc.* 400 13,944 Protective Life Corp. 290 13,775 NYMAGIC, Inc. 359 13,139 Odyssey Re Holdings Corp. 349 13,018 CNA Financial Corp.* 320 12,902 CNA Surety Corp.* 600 12,900 HCC Insurance Holdings, Inc. 400 12,836 American Physicians Capital, Inc.* 310 12,412 Reinsurance Group of America, Inc. 220 12,254 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Meadowbrook Insurance Group, Inc.* 1,030 $ 10,187 Conseco, Inc.* 350 6,993 National Western Life Insurance Co. -- Class A 30 6,904 Crawford & Co. -- Class B 360 2,628 Allstate Corp. 30 1,953 ------------- TOTAL INSURANCE 324,210 ------------- REAL ESTATE 3.3% ProLogis 319 19,386 Boston Properties, Inc. 169 18,908 Host Hotels & Resorts, Inc. 767 18,830 Simon Property Group, Inc. 150 15,193 LaSalle Hotel Properties 330 15,130 American Home Mortgage Investment Corp. 409 14,364 Newcastle Investment Corp. 458 14,345 Deerfield Triarc Capital Corp. 837 14,170 Capital Trust, Inc. -- Class A 280 13,983 Gramercy Capital Corp. 449 13,870 Taubman Centers, Inc. 269 13,681 Cousins Properties, Inc. 379 13,367 Camden Property Trust 179 13,219 Arbor Realty Trust, Inc. 439 13,210 Newkirk Realty Trust Co., Inc. 700 12,628 Colonial Properties Trust 269 12,611 Ashford Hospitality Trust, Inc. 1,007 12,537 Anthracite Capital, Inc. 910 11,584 Spirit Finance Corp. 618 7,706 NorthStar Realty Finance Corp. 359 5,949 Jones Lang LaSalle, Inc. 10 922 ------------- TOTAL REAL ESTATE 275,593 ------------- DIVERSIFIED FINANCIALS 2.3% Citigroup, Inc. 1,380 76,866 Bank of America Corp. 1,270 67,805 J.P. Morgan Chase & Co. 1,050 50,715 ------------- TOTAL DIVERSIFIED FINANCIALS 195,386 ------------- CAPITAL MARKETS 2.1% Merrill Lynch & Co., Inc. 349 32,492 Ameriprise Financial, Inc. 340 18,530 Charles Schwab Corp. 880 17,019 E*Trade Financial Corp.* 750 16,815 Bear Stearns Cos., Inc. 100 16,278 A.G. Edwards, Inc. 250 15,823 American Capital Strategies, Ltd. 339 15,682 Investment Technology Group, Inc.* 339 14,536 SWS Group, Inc. 390 13,923 Morgan Stanley 100 8,143 Goldman Sachs Group, Inc. 30 5,981 ------------- TOTAL CAPITAL MARKETS 175,222 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 131 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE 1.6% Washington Mutual, Inc. 460 $ 20,925 PMI Group, Inc. 320 15,094 Radian Group, Inc. 270 14,556 FirstFed Financial Corp.* 210 14,064 Ocwen Financial Corp.* 840 13,322 Triad Guaranty, Inc.* 240 13,169 Fremont General Corp. 807 13,081 Flagstar Bancorp, Inc. 860 12,762 Willow Financial Bancorp, Inc. 817 12,190 Fannie Mae 30 1,782 Federal Agricultural Mortgage Corp. 60 1,628 ------------- TOTAL THRIFTS & MORTGAGE FINANCE 132,573 ------------- CONSUMER FINANCE 0.9% Capital One Financial Corp. 240 18,437 Cash America International, Inc. 320 15,008 AmeriCredit Corp.* 580 14,599 First Marblehead Corp. 253 13,826 Asta Funding, Inc. 330 10,045 American Express Co. 50 3,034 ------------- TOTAL CONSUMER FINANCE 74,949 ------------- TOTAL FINANCIALS 1,506,492 ------------- INFORMATION TECHNOLOGY 13.2% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7% Varian Semiconductor Equipment Associates, Inc.* 390 17,753 Lam Research Corp.* 310 15,692 Intel Corp.* 770 15,592 Novellus Systems, Inc.* 440 15,145 MKS Instruments, Inc.* 630 14,225 Advanced Energy Industries, Inc.* 750 14,152 Cymer, Inc.* 319 14,020 Teradyne, Inc.* 920 13,763 National Semiconductor Corp. 600 13,620 Atheros Communications, Inc.* 628 13,389 Fairchild Semiconductor International, Inc.* 770 12,944 Zoran Corp.* 877 12,787 Actel Corp.* 700 12,712 Intevac, Inc.* 468 12,145 LSI Logic Corp.* 1,120 10,080 OmniVision Technologies, Inc.* 680 9,282 Intersil Corp. -- Class A 329 7,870 ------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 225,171 ------------- COMPUTERS & PERIPHERALS 2.2% International Business Machines Corp. 480 46,632 Hewlett-Packard Co. 940 38,719 Lexmark International, Inc.* 220 16,104 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- EMC Corp.* 1,140 $ 15,048 Brocade Communications Systems, Inc.* 1,800 14,778 Imation Corp. 310 14,393 Western Digital Corp.* 688 14,076 Palm, Inc.* 999 14,076 Apple Computer, Inc.* 70 5,939 Dell, Inc.* 100 2,509 ------------- TOTAL COMPUTERS & PERIPHERALS 182,274 ------------- COMMUNICATIONS EQUIPMENT 2.1% Cisco Systems, Inc.* 990 27,057 Motorola, Inc. 1,110 22,822 Avaya, Inc.* 1,170 16,357 Loral Space & Communications, Inc.* 399 16,247 Interdigital Communications Corp.* 450 15,097 Arris Group, Inc.* 1,199 14,999 Tellabs, Inc.* 1,425 14,620 Inter-Tel, Inc. 580 12,853 EMS Technologies, Inc.* 618 12,379 Dycom Industries, Inc.* 560 11,827 Utstarcom, Inc.* 1,330 11,638 Qualcomm, Inc. 60 2,267 ------------- TOTAL COMMUNICATIONS EQUIPMENT 178,163 ------------- SOFTWARE 2.0% Microsoft Corp. 1,630 48,672 Symantec Corp.* 777 16,200 Sybase, Inc.* 638 15,759 Cadence Design Systems, Inc.* 807 14,453 EPIQ Systems, Inc.* 777 13,186 Sonic Solutions, Inc.* 787 12,828 MicroStrategy, Inc. -- Class A* 110 12,541 Compuware Corp.* 1,400 11,662 eSpeed, Inc. -- Class A* 1,250 10,912 Altiris, Inc.* 269 6,827 Oracle Corp.* 290 4,971 TIBCO Software, Inc.* 300 2,832 ------------- TOTAL SOFTWARE 170,843 ------------- IT CONSULTING & SERVICES 1.6% First Data Corp. 659 16,818 Infocrossing, Inc.* 877 14,295 Convergys Corp.* 570 13,555 Acxiom Corp. 520 13,338 MPS Group, Inc.* 910 12,904 Mantech International Corp. -- Class A* 350 12,891 Integral Systems, Inc. 518 12,002 SRA International, Inc. -- Class A* 430 11,498 Forrester Research, Inc.* 390 10,573 Computer Sciences Corp.* 170 9,073 SYKES Enterprises, Inc.* 510 8,996 See Notes to Financial Statements. 132 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Ceridian Corp.* 30 $ 839 ------------- TOTAL IT CONSULTING & SERVICES 136,782 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.6% Agilent Technologies, Inc.* 468 16,310 Paxar Corp.* 618 14,251 Avnet, Inc.* 548 13,991 Vishay Intertechnology, Inc.* 1,010 13,675 Global Imaging Systems, Inc.* 620 13,609 Rofin-Sinar Technologies, Inc.* 210 12,697 Tektronix, Inc. 430 12,543 Methode Electronics, Inc. -- Class A 1,100 11,913 AVX Corp. 740 10,945 Aeroflex, Inc.* 820 9,610 Agilsys, Inc. 80 1,339 ------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 130,883 ------------- INTERNET SOFTWARE & SERVICES 0.7% VeriSign, Inc.* 610 14,670 RealNetworks, Inc.* 1,250 13,675 Vignette Corp.* 708 12,086 Interwoven, Inc.* 817 11,985 Google, Inc. -- Class A* 20 9,210 ------------- TOTAL INTERNET SOFTWARE & SERVICES 61,626 ------------- OFFICE ELECTRONICS 0.3% Xerox Corp.* 1,278 21,662 ------------- TOTAL OFFICE ELECTRONICS 21,662 ------------- TOTAL INFORMATION TECHNOLOGY 1,107,404 ------------- CONSUMER DISCRETIONARY 12.2% SPECIALTY RETAIL 2.8% Home Depot, Inc. 770 30,923 Rent-A-Center, Inc.* 548 16,171 Payless Shoesource, Inc.* 490 16,082 Staples, Inc. 600 16,020 Sherwin-Williams Co. 250 15,895 Best Buy Co., Inc. 309 15,200 Regis Corp. 380 15,025 American Eagle Outfitters, Inc. 478 14,918 OfficeMax, Inc. 289 14,349 Abercrombie & Fitch Co. -- Class A 200 13,926 Dress Barn, Inc.* 560 13,065 Asbury Automotive Group, Inc. 510 12,016 Group 1 Automotive, Inc. 230 11,896 AnnTaylor Stores Corp.* 310 10,180 United Auto Group, Inc. 390 9,192 Office Depot, Inc.* 90 3,435 Charming Shoppes, Inc.* 60 812 ------------- TOTAL SPECIALTY RETAIL 229,105 ------------- MEDIA 2.7% Time Warner, Inc. 1,496 32,583 SHARES MARKET VALUE (NOTE 1) -------------------------------------------------------------------------------- Walt Disney Co. 860 $ 29,472 News Corp. -- Class A 1,096 23,542 Liberty Media Corp. - Capital* 210 20,576 Gannett Co., Inc. 329 19,891 Omnicom Group, Inc. 150 15,681 Tribune Co. 450 13,851 Meredith Corp. 240 13,524 McClatchy Co. -- Class A 309 13,379 Cox Radio Inc. -- Class A* 790 12,877 DreamWorks Animation SKG, Inc. -- Class A* 430 12,681 DIRECTV Group, Inc.* 488 12,171 Comcast Corp. -- Class A* 160 6,773 ------------- TOTAL MEDIA 227,001 ------------- HOTELS, RESTAURANTS & LEISURE 1.7% McDonald's Corp. 560 24,825 Wynn Resorts Ltd. 159 14,922 CBRL Group, Inc. 330 14,771 Triarc Cos., Inc. -- Class B 738 14,760 Bob Evans Farms, Inc. 410 14,030 CKE Restaurants, Inc. 760 13,984 Wyndham Worldwide Corp.* 419 13,416 International Speedway Corp. -- Class A 240 12,250 Luby's, Inc.* 1,110 12,088 Starwood Hotels & Resorts Worldwide, Inc. 130 8,125 Pinnacle Entertainment, Inc.* 30 994 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 144,165 ------------- HOUSEHOLD DURABLES 1.4% Lennar Corp. -- Class A 300 15,738 Whirlpool Corp. 180 14,944 Avatar Holdings, Inc.* 180 14,553 Black & Decker Corp. 180 14,395 Stanley Works 280 14,081 Mohawk Industries, Inc.* 179 13,400 NVR, Inc.* 20 12,900 Kimball International, Inc. -- Class B 500 12,150 Champion Enterprises, Inc.* 390 3,650 Snap-On, Inc. 20 953 ------------- TOTAL HOUSEHOLD DURABLES 116,764 ------------- MULTILINE RETAIL 1.1% J.C. Penney Co., Inc. 290 22,434 Big Lots, Inc.* 730 16,732 Federated Department Stores, Inc. 419 15,976 Sears Holdings Corp.* 90 15,114 Dillard's, Inc. -- Class A 370 12,939 Nordstrom, Inc. 210 10,361 ------------- TOTAL MULTILINE RETAIL 93,556 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 133 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TEXTILES & APPAREL 0.8% Phillips-Van Heusen Corp. 330 $ 16,556 Polo Ralph Lauren Corp. 180 13,979 Jones Apparel Group, Inc. 410 13,706 Perry Ellis International, Inc.* 319 13,079 Unifirst Corp. 300 11,523 ------------- TOTAL TEXTILES & APPAREL 68,843 ------------- INTERNET & CATALOG RETAIL 0.5% Expedia, Inc.* 770 16,154 IAC/InterActiveCorp* 429 15,942 FTD Group, Inc.* 710 12,702 ------------- TOTAL INTERNET & CATALOG RETAIL 44,798 ------------- AUTO COMPONENTS 0.4% Johnson Controls, Inc. 189 16,239 Autoliv, Inc. 250 15,075 ------------- TOTAL AUTO COMPONENTS 31,314 ------------- LEISURE EQUIPMENT & PRODUCTS 0.4% Mattel, Inc. 740 16,768 MarineMax, Inc.* 478 12,395 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 29,163 ------------- DISTRIBUTORS 0.3% Building Material Holding Corp. 518 12,789 Core-Mark Holding Co., Inc.* 379 12,678 ------------- TOTAL DISTRIBUTORS 25,467 ------------- HEALTH CARE PROVIDERS & SERVICES 0.1% Stewart Enterprises, Inc. -- Class A 1,290 8,063 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 8,063 ------------- TOTAL CONSUMER DISCRETIONARY 1,018,239 ------------- INDUSTRIALS 10.2% MACHINERY 2.2% Eaton Corp. 239 17,958 Terex Corp.* 270 17,437 Joy Global, Inc. 340 16,436 Parker Hannifin Corp. 210 16,145 Illinois Tool Works, Inc. 340 15,705 Cummins, Inc. 130 15,363 Freightcar America, Inc. 239 13,253 Gardner Denver, Inc.* 350 13,058 NACCO Industries, Inc. -- Class A 90 12,294 Mueller Industries, Inc. 380 12,046 Ampco-Pittsburgh Corp. PLC 350 11,718 Crane Co. 300 10,992 Dover Corp. 130 6,373 Gehl Co.* 40 1,101 Caterpillar, Inc. 10 613 ------------- TOTAL MACHINERY 180,492 ------------- COMMERCIAL SERVICES & SUPPLIES 1.7% M&F Worldwide Corp.* 728 18,389 Waste Management, Inc. 450 16,546 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Amrep Corp. PLC 130 $ 15,925 Manpower, Inc. 210 15,735 Viad Corp. 340 13,804 Ennis Inc. 559 13,673 Allied Waste Industries, Inc.* 1,076 13,224 Steelcase, Inc. -- Class A 710 12,894 Central Parking Corp. 670 12,060 CBIZ, Inc.* 710 4,949 Volt Information Sciences, Inc.* 50 2,511 ------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 139,710 ------------- AEROSPACE & DEFENSE 1.4% Lockheed Martin Corp. 210 19,335 General Dynamics Corp. 240 17,844 Raytheon Co. 330 17,424 Northrop Grumman Corp. 249 16,857 K&F Industries Holdings, Inc.* 598 13,580 Orbital Sciences Corp.* 700 12,908 Armor Holdings, Inc.* 229 12,561 Boeing Co. 50 4,442 United Technologies Corp. 60 3,751 ------------- TOTAL AEROSPACE & DEFENSE 118,702 ------------- INDUSTRIAL CONGLOMERATES 1.2% General Electric Co. 2,050 76,280 Tredegar Corp. 660 14,923 Walter Industries, Inc. 269 7,276 3M Co. 30 2,338 Teleflex, Inc. 10 646 ------------- TOTAL INDUSTRIAL CONGLOMERATES 101,463 ------------- ROAD & RAIL 1.1% CSX Corp. 580 19,969 Union Pacific Corp. 190 17,484 Norfolk Southern Corp. 300 15,087 YRC Worldwide, Inc.* 329 12,413 Avis Budget Group, Inc. 568 12,320 Swift Transportation Co., Inc.* 449 11,795 Laidlaw International, Inc. 239 7,273 ------------- TOTAL ROAD & RAIL 96,341 ------------- BUILDING PRODUCTS 0.8% American Woodmark Corp. 330 13,810 Ameron International Corp. 180 13,747 Goodman Global, Inc.* 740 12,728 PW Eagle, Inc. 360 12,420 NCI Building Systems, Inc.* 230 11,902 ------------- TOTAL BUILDING PRODUCTS 64,607 ------------- ELECTRICAL EQUIPMENT 0.6% Belden CDT, Inc. 370 14,463 A.O. Smith Corp. 360 13,522 EnerSys* 787 12,592 Thomas & Betts Corp.* 230 10,874 Encore Wire Corp. 159 3,500 ------------- TOTAL ELECTRICAL EQUIPMENT 54,951 ------------- See Notes to Financial Statements. 134 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AIRLINES 0.6% UAL Corp.* 350 $ 15,400 Continental Airlines, Inc. -- Class B* 340 14,025 Republic Airways Holdings, Inc.* 748 12,552 SkyWest, Inc. 189 4,821 ------------- TOTAL AIRLINES 46,798 ------------- TRADING COMPANIES & DISTRIBUTORS 0.3% United Rentals, Inc.* 508 12,918 WESCO International, Inc.* 160 9,410 ------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 22,328 ------------- CONSTRUCTION & ENGINEERING 0.2% Quanta Services, Inc.* 708 13,926 URS Corp.* 110 4,714 ------------- TOTAL CONSTRUCTION & ENGINEERING 18,640 ------------- WATER UTILITIES 0.1% Mueller Water Products, Inc. -- Class B* 444 6,616 ------------- TOTAL WATER UTILITIES 6,616 ------------- TOTAL INDUSTRIALS 850,648 ------------- HEALTH CARE 9.8% PHARMACEUTICALS 3.2% Pfizer, Inc. 2,110 54,649 Johnson & Johnson, Inc. 510 33,670 Abbott Laboratories 490 23,868 Forest Laboratories, Inc.* 430 21,758 Barr Pharmaceuticals, Inc.* 280 14,034 Sciele Pharma, Inc.* 570 13,680 Watson Pharmaceuticals, Inc.* 518 13,484 Mylan Laboratories, Inc. 670 13,373 King Pharmaceuticals, Inc.* 840 13,373 Viropharma, Inc.* 897 13,132 KV Pharmaceutical Co.* 550 13,079 Pain Therapeutics, Inc.* 1,420 12,638 Bradley Pharmaceuticals, Inc.* 590 12,142 Merck & Co., Inc. 240 10,464 Wyeth 70 3,564 Noven Pharmaceuticals, Inc.* 90 2,291 Eli Lilly & Co. 10 521 ------------- TOTAL PHARMACEUTICALS 269,720 ------------- HEALTH CARE PROVIDERS & SERVICES 3.1% UnitedHealth Group, Inc. 480 25,790 WellPoint, Inc.* 290 22,820 Aetna, Inc. 400 17,272 Caremark Rx, Inc. 300 17,133 AmerisourceBergen Corp. 380 17,085 Cardinal Health, Inc. 260 16,752 AMERIGROUP Corp.* 429 15,397 Quest Diagnostics, Inc. 290 15,370 Horizon Health Corp.* 757 14,814 Apria Healthcare Group, Inc.* 540 14,391 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- McKesson Corp. 280 $ 14,196 Coventry Health Care, Inc.* 270 13,513 Healthspring, Inc.* 648 13,187 Medcath Corp.* 470 12,859 Magellan Health Services, Inc.* 290 12,534 Molina Healthcare, Inc.* 300 9,753 Sunrise Senior Living, Inc.* 80 2,458 ------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 255,324 ------------- HEALTH CARE EQUIPMENT & SUPPLIES 2.3% Thermo Fisher Scientific, Inc.* 510 23,098 Boston Scientific Corp.* 1,027 17,644 West Pharmaceutical Services, Inc. 300 15,369 Bio-Rad Laboratories, Inc. -- Class A* 180 14,854 Zoll Medical Corp.* 240 13,978 Kinetic Concepts, Inc.* 349 13,803 Hillenbrand Industries, Inc. 239 13,606 Edwards Lifesciences Corp.* 289 13,595 Viasys Healthcare, Inc.* 470 13,075 Advanced Medical Optics, Inc.* 370 13,024 Greatbatch, Inc.* 480 12,922 Haemonetics Corp.* 260 11,705 Datascope Corp. 260 9,474 Medtronic, Inc. 50 2,675 Vital Signs, Inc. 10 499 ------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 189,321 ------------- BIOTECHNOLOGY 1.2% Amgen, Inc.* 420 28,690 Biogen Idec, Inc.* 299 14,708 Cephalon, Inc.* 189 13,308 Martek Biosciences Corp.* 540 12,604 Digene Corp.* 259 12,411 ImClone Systems, Inc.* 429 11,480 Illumina, Inc.* 169 6,643 Savient Pharmaceuticals, Inc.* 130 1,457 Celgene Corp.* 10 575 ------------- TOTAL BIOTECHNOLOGY 101,876 ------------- TOTAL HEALTH CARE 816,241 ------------- ENERGY 6.3% OIL & GAS 4.7% Exxon Mobil Corp. 1,310 100,385 Chevron Corp. 639 46,986 ConocoPhillips 540 38,853 Occidental Petroleum Corp. 400 19,532 Marathon Oil Corp. 210 19,425 El Paso Corp. 1,196 18,275 Valero Energy Corp. 350 17,906 Devon Energy Corp. 260 17,441 Noble Energy, Inc. 310 15,212 Anadarko Petroleum Corp. 349 15,188 Newfield Exploration Co.* 309 14,199 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 135 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- USEC, Inc.* 1,096 $ 13,941 Tesoro Corp. 200 13,154 Cabot Oil & Gas Corp. 210 12,736 Overseas Shipholding Group, Inc. 219 12,330 Delek US Holdings, Inc. 710 11,637 Mariner Energy, Inc.* 409 8,016 ------------- TOTAL OIL & GAS 395,216 ------------- ENERGY EQUIPMENT & SERVICES 1.6% ENSCO International, Inc. 310 15,519 SEACOR Holdings, Inc.* 140 13,880 Allis-Chalmers Energy, Inc.* 588 13,548 Trico Marine Services, Inc.* 339 12,987 Hornbeck Offshore Services, Inc.* 350 12,495 Tidewater, Inc. 250 12,090 Basic Energy Services, Inc.* 490 12,078 T-3 Energy Services, Inc. -- Class A* 540 11,907 Global Industries Ltd.* 879 11,462 National-Oilwell Varco, Inc.* 130 7,953 Veritas DGC, Inc.* 60 5,138 ------------- TOTAL ENERGY EQUIPMENT & SERVICES 129,057 ------------- TOTAL ENERGY 524,273 ------------- CONSUMER STAPLES 5.4% FOOD PRODUCTS 1.4% Seaboard Corp. 10 17,650 General Mills, Inc. 280 16,128 Archer-Daniels-Midland Co. 489 15,629 Hain Celestial Group, Inc.* 440 13,732 Kraft Foods, Inc. -- Class A 380 13,566 Imperial Sugar Co., Inc. 549 13,291 Corn Products International, Inc. 369 12,745 J.M. Smucker Co. 230 11,148 ------------- TOTAL FOOD PRODUCTS 113,889 ------------- TOBACCO 1.0% Altria Group, Inc. 620 53,209 Loews Corp. - Carolina Group 240 15,533 Reynolds American, Inc. 220 14,403 ------------- TOTAL TOBACCO 83,145 ------------- FOOD & DRUG RETAILING 0.9% Kroger Co. 900 20,763 Wal-Mart Stores, Inc. 360 16,625 Central European Distribution Corp.* 458 13,603 Safeway, Inc. 390 13,478 Ingles Markets, Inc. -- Class A 420 12,512 ------------- TOTAL FOOD & DRUG RETAILING 76,981 ------------- HOUSEHOLD PRODUCTS 0.8% Procter & Gamble Co. 800 51,416 Kimberly-Clark Corp. 260 17,667 ------------- TOTAL HOUSEHOLD PRODUCTS 69,083 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- BEVERAGES 0.8% Molson Coors Brewing Co. -- Class B 190 $ 14,524 PepsiCo, Inc. 220 13,761 Brown-Forman Corp. -- Class B 200 13,248 Pepsi Bottling Group, Inc. 400 12,364 Coca-Cola Co. 210 10,132 ------------- TOTAL BEVERAGES 64,029 ------------- PERSONAL PRODUCTS 0.5% NBTY, Inc.* 420 17,459 Prestige Brands Holdings, Inc. -- Class A* 1,050 13,671 Alberto-Culver Co. 618 13,256 ------------- TOTAL PERSONAL PRODUCTS 44,386 ------------- TOTAL CONSUMER STAPLES 451,513 ------------- UTILITIES 3.8% MULTI-UTILITIES 1.6% Sempra Energy 360 20,174 Xcel Energy, Inc. 750 17,295 DTE Energy Co. 349 16,895 Mirant Corp.* 528 16,669 KeySpan Corp. 390 16,060 NRG Energy, Inc.* 280 15,683 CenterPoint Energy, Inc. 900 14,922 Avista Corp. 528 13,364 Puget Energy, Inc. 80 2,029 ------------- TOTAL MULTI-UTILITIES 133,091 ------------- ELECTRIC UTILITIES 1.6% Duke Energy Corp. 610 20,258 FPL Group, Inc. 310 16,870 FirstEnergy Corp. 270 16,281 Westar Energy, Inc. 590 15,317 Pinnacle West Capital Corp. 290 14,700 Cleco Corp. 560 14,129 Sierra Pacific Resources* 837 14,087 IDACORP, Inc. 360 13,914 TXU Corp. 120 6,505 ------------- TOTAL ELECTRIC UTILITIES 132,061 ------------- GAS UTILITIES 0.6% Southwest Gas Corp. 380 14,581 WGL Holdings, Inc. 440 14,335 Oneok, Inc. 330 14,230 AGL Resources, Inc. 350 13,618 ------------- TOTAL GAS UTILITIES 56,764 ------------- TOTAL UTILITIES 321,916 ------------- MATERIALS 3.3% CHEMICALS 1.5% Lyondell Chemical Co. 600 15,342 FMC Corp. 189 14,468 OM Group, Inc.* 300 13,584 See Notes to Financial Statements. 136 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Huntsman Corp.* 708 $ 13,431 Valspar Corp. 470 12,991 Pioneer Cos., Inc.* 449 12,868 PolyOne Corp.* 1,709 12,818 Georgia Gulf Corp. 590 11,393 Westlake Chemical Corp. 359 11,265 Celanese Corp. 209 5,409 Innospec, Inc. 80 3,724 ------------- TOTAL CHEMICALS 127,293 ------------- METALS & MINING 1.3% United States Steel Corp. 230 16,822 Phelps Dodge Corp. 140 16,761 Alcoa, Inc. 530 15,905 Nucor Corp. 270 14,758 Chaparral Steel Co. 330 14,609 Steel Dynamics, Inc. 420 13,629 Carpenter Technology Corp. 120 12,303 Freeport-McMoRan Copper & Gold, Inc. -- Class B 80 4,458 NN, Inc. 190 2,362 ------------- TOTAL METALS & MINING 111,607 ------------- CONTAINERS & PACKAGING 0.2% Temple-Inland, Inc. 359 16,525 ------------- TOTAL CONTAINERS & PACKAGING 16,525 ------------- PAPER & FOREST PRODUCTS 0.2% Buckeye Technologies, Inc.* 1,086 13,010 ------------- TOTAL PAPER & FOREST PRODUCTS 13,010 ------------- CONSTRUCTION MATERIALS 0.1% Eagle Materials, Inc. 160 6,917 ------------- TOTAL CONSTRUCTION MATERIALS 6,917 ------------- TOTAL MATERIALS 275,352 ------------- TELECOMMUNICATION SERVICES 2.1% DIVERSIFIED TELECOMMUNICATION SERVICES 1.5% Verizon Communications, Inc. 1,008 37,538 AT&T, Inc. 550 19,663 CenturyTel, Inc. 340 14,844 Citizens Communications Co. 970 13,939 General Communication, Inc. -- Class A* 870 13,685 Atlantic Tele-Network, Inc. 420 12,306 BellSouth Corp. 160 7,538 Windstream Corp. 270 3,839 Embarq Corp. 50 2,628 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 125,980 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES 0.6% Alltel Corp. 290 $ 17,539 Syniverse Holdings, Inc.* 897 13,446 USA Mobility, Inc. 510 11,409 Sprint Nextel Corp. 130 2,456 American Tower Corp. -- Class A* 20 745 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 45,595 ------------- TOTAL TELECOMMUNICATION SERVICES 171,575 ------------- TOTAL COMMON STOCKS (Cost $6,405,831) 7,043,653 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 15.3% Repurchase Agreement (Note 5) 4.80% due 01/02/07 $ 336,946 336,946 4.79% due 01/02/07 336,946 336,946 4.65% due 01/02/07 336,946 336,946 4.60% due 01/02/07 272,926 272,926 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,283,764) 1,283,764 ------------- TOTAL INVESTMENTS 99.6% (Cost $7,689,595) $ 8,327,417 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% $ 30,501 ============= NET ASSETS - 100.0% $ 8,357,918 -------------------------------------------------------------------------------- UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $356,688) 5 $ 429 March 2007 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $79,300) 1 (979) March 2007 S&P 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $890,560) 11 (15,813) ------------- (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $1,326,548) $ (16,363) ============= * NON-INCOME PRODUCING SECURITY. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 137 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- SECTOR ROTATION FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 100.8% CONSUMER DISCRETIONARY 32.6% INTERNET & CATALOG RETAIL 8.5% Amazon.com, Inc.*+ 43,400 $ 1,712,564 IAC/InterActiveCorp*+ 44,100 1,638,756 Expedia, Inc.* 63,100 1,323,838 Nutri/System, Inc.*+ 10,000 633,900 Priceline.com, Inc.*+ 13,600 593,096 Coldwater Creek, Inc.* 23,900 586,028 VistaPrint Ltd.*+ 15,400 509,894 Netflix, Inc.*+ 18,200 470,652 ------------- TOTAL INTERNET & CATALOG RETAIL 7,468,728 ------------- TEXTILES & APPAREL 8.1% Nike, Inc. -- Class B+ 12,000 1,188,360 Coach, Inc.*+ 21,700 932,232 VF Corp. 8,100 664,848 Polo Ralph Lauren Corp. 8,100 629,046 Liz Claiborne, Inc.+ 11,475 498,703 Jones Apparel Group, Inc. 13,200 441,276 Phillips-Van Heusen Corp. 7,100 356,207 Timberland Co. -- Class A*+ 10,481 330,990 Gildan Activewear, Inc.* 7,030 327,809 Columbia Sportswear Co.+ 5,869 326,903 Quiksilver, Inc.*+ 20,300 319,725 Under Armour, Inc.* 6,200 312,790 Wolverine World Wide, Inc.+ 10,258 292,558 Fossil, Inc.* 12,900 291,282 Carter's, Inc.* 9,505 242,378 ------------- TOTAL TEXTILES & APPAREL 7,155,107 ------------- LEISURE EQUIPMENT & PRODUCTS 8.1% Mattel, Inc. 60,200 1,364,132 Eastman Kodak Co.+ 46,600 1,202,280 Hasbro, Inc. 35,500 967,375 Brunswick Corp.+ 23,874 761,581 Polaris Industries, Inc.+ 14,000 655,620 Pool Corp.+ 16,500 646,305 Marvel Entertainment, Inc.*+ 22,900 616,239 RC2 Corp.* 10,533 463,452 Callaway Golf Co.+ 31,000 446,710 ------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 7,123,694 ------------- HOTELS, RESTAURANTS & LEISURE 7.9% McDonald's Corp. 19,200 851,136 Carnival Corp.+ 14,900 730,845 Las Vegas Sands Corp.*+ 6,500 581,620 Starbucks Corp.*+ 16,100 570,262 Marriott International, Inc. -- Class A 10,000 477,200 Harrah's Entertainment, Inc. 5,400 446,688 MGM Mirage, Inc.* 7,600 435,860 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- International Game Technology, Inc. 9,400 $ 434,280 Yum! Brands, Inc. 7,000 411,600 Hilton Hotels Corp.+ 11,600 404,840 Starwood Hotels & Resorts Worldwide, Inc. 6,200 387,500 Royal Caribbean Cruises Ltd.+ 7,900 326,902 Wynn Resorts Ltd.+ 3,200 300,320 Wyndham Worldwide Corp.* 8,700 278,574 Tim Hortons, Inc. 8,800 254,848 ------------- TOTAL HOTELS, RESTAURANTS & LEISURE 6,892,475 ------------- TOTAL CONSUMER DISCRETIONARY 28,640,004 ------------- TELECOMMUNICATION SERVICES 18.2% DIVERSIFIED TELECOMMUNICATION SERVICES 9.6% France Telecom SA 40,866 1,131,988 AT&T, Inc.+ 25,000 893,750 Verizon Communications, Inc.+ 21,300 793,212 Telefonica SA -- SP ADR 11,800 752,250 BellSouth Corp. 15,100 711,361 Deutsche Telekom AG 36,700 667,940 Nippon Telegraph -- SP ADR 25,200 624,708 BT Group PLC+ 8,600 515,054 Telefonos de Mexico SA de CV -- SP ADR 14,200 401,292 Telekomunikasi Indonesia Tbk PT -- SP ADR 8,200 373,920 BCE, Inc. 12,700 342,900 Chunghwa Telecom Co. Ltd. -- SP ADR 16,700 329,491 Qwest Communications International, Inc.* 35,900 300,483 TELUS Corp. 6,700 299,289 KT Corp. -- SP ADR*+ 9,600 243,360 ------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 8,380,998 ------------- WIRELESS TELECOMMUNICATION SERVICES 8.6% China Mobile Hong Kong Ltd. -- SP ADR+ 28,900 1,249,058 Vodafone Group, Inc.+ 41,380 1,149,537 America Movil SA de CV -- SP ADR+ 18,800 850,136 Sprint Nextel Corp. 37,600 710,264 Mobile Telesystems -- SP ADR 9,000 451,710 Alltel Corp. 7,400 447,552 Rogers Communications, Inc. -- Class B* 6,600 393,360 SK Telecom Co., Ltd. -- SP ADR+ 14,300 378,664 American Tower Corp. -- Class A* 9,500 354,160 Vimpel--Communications -- SP ADR* 4,400 347,380 See Notes to Financial Statements. 138 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- SECTOR ROTATION FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Turkcell Iletisim Hizmet AS, Inc. -- SP ADR 21,700 $ 290,346 NII Holdings, Inc. -- Class B*+ 4,000 257,760 Philippine Long Distance Telephone Co. -- SP ADR+ 4,800 245,424 Crown Castle International Corp.*+ 6,800 219,640 U.S. Cellular Corp.*+ 3,058 212,806 ------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 7,557,797 ------------- TOTAL TELECOMMUNICATION SERVICES 15,938,795 ------------- FINANCIALS 17.3% REAL ESTATE 17.3% Brookfield Asset Management, Inc. -- Class A+ 42,995 2,071,499 Brookfield Properties Corp.+ 39,326 1,546,692 CB Richard Ellis Group, Inc. -- Class A*+ 40,911 1,358,245 Forest City Enterprises, Inc. -- Class A+ 20,525 1,198,660 The St. Joe Co.+ 17,400 932,118 Jones Lang LaSalle, Inc. 7,928 730,724 Simon Property Group, Inc.+ 6,900 698,901 Equity Office Properties Trust+ 13,300 640,661 ProLogis 9,000 546,930 Vornado Realty Trust+ 4,500 546,750 Equity Residential+ 10,200 517,650 General Growth Properties, Inc.+ 9,900 517,077 Archstone-Smith Trust+ 8,600 500,606 Host Hotels & Resorts, Inc.+ 20,100 493,455 KIMCO Realty Corp. 10,400 467,480 Boston Properties, Inc.+ 4,100 458,708 Public Storage, Inc.+ 4,600 448,500 AvalonBay Communities, Inc.+ 3,100 403,155 Developers Diversified Realty Corp.+ 6,100 383,995 Plum Creek Timber Co., Inc. (REIT) 9,100 362,635 Macerich Co.+ 3,800 328,966 ------------- TOTAL REAL ESTATE 15,153,407 ------------- TOTAL FINANCIALS 15,153,407 ------------- MATERIALS 15.7% CONSTRUCTION MATERIALS 8.2% Cemex SA de CV -- SP ADR* 56,300 1,907,444 Rinker Group Ltd. -- SP ADR 19,000 1,349,950 Vulcan Materials Co. 11,900 1,069,453 Martin Marietta Materials, Inc.+ 7,800 810,498 Florida Rock Industries, Inc. 15,200 654,360 Eagle Materials, Inc.+ 12,400 536,052 Texas Industries, Inc.+ 7,200 462,456 Headwaters, Inc.* 15,700 376,172 ------------- TOTAL CONSTRUCTION MATERIALS 7,166,385 ------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- METALS & MINING 7.5% BHP Billiton Ltd.+ 23,428 $ 931,263 Rio Tinto PLC -- SP ADR+ 3,622 769,639 Companhia Vale do Rio Doce -- SP ADR 25,354 754,028 POSCO -- SP ADR+ 6,272 518,506 Mittal Steel Co.N.V. -- Class A+ 12,129 511,601 Alcoa, Inc. 14,063 422,031 Anglo American PLC -- ADR 17,237 420,755 Nucor Corp.+ 7,514 410,715 Alcan, Inc. 7,467 363,942 Barrick Gold Corp.+ 11,377 349,274 Newmont Mining Corp.+ 7,128 321,829 AngloGold Ashanti Ltd. -- SP ADR 6,198 291,864 Phelps Dodge Corp. 2,138 255,961 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 4,584 255,466 ------------- TOTAL METALS & MINING 6,576,874 ------------- TOTAL MATERIALS 13,743,259 ------------- INDUSTRIALS 8.9% ELECTRICAL EQUIPMENT 8.9% ABB Ltd. -- SP ADR+ 95,139 1,710,599 Emerson Electric Co. 27,940 1,231,316 American Power Conversion Corp.+ 22,200 679,098 Rockwell Automation, Inc.+ 10,800 659,664 Cooper Industries Ltd. -- Class A 6,700 605,881 Roper Industries, Inc.+ 9,417 473,110 AMETEK, Inc.+ 12,750 405,960 Acuity Brands, Inc.+ 6,599 343,412 Hubbell, Inc. -- Class B 7,500 339,075 Thomas & Betts Corp.* 7,100 335,688 General Cable Corp.*+ 7,600 332,196 Regal-Beloit Corp.+ 5,700 299,307 Energy Conversion Devices, Inc.*+ 6,400 217,472 A.O. Smith Corp. 5,300 199,068 ------------- TOTAL ELECTRICAL EQUIPMENT 7,831,846 ------------- TOTAL INDUSTRIALS 7,831,846 ------------- UTILITIES 8.1% ELECTRIC UTILITIES 8.1% E.ON AG 20,000 903,800 Endesa SA -- SP ADR 14,547 676,726 Exelon Corp. 10,100 625,089 Korea Electric Power Corp. -- SP ADR*+ 22,900 520,059 Southern Co.+ 13,900 512,354 FPL Group, Inc.+ 8,478 461,373 Scottish Power, Inc. -- SP ADR 7,800 455,754 Entergy Corp. 4,700 433,904 FirstEnergy Corp. 7,100 428,130 American Electric Power Co., Inc. 9,400 400,252 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 139 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- SECTOR ROTATION FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Edison International 8,125 $ 369,525 PPL Corp. 10,036 359,690 Progress Energy, Inc.+ 7,100 348,468 Enersis SA/Chile -- SP ADR+ 20,200 323,200 Allegheny Energy, Inc.* 6,000 275,460 ------------- TOTAL ELECTRIC UTILITIES 7,093,784 ------------- TOTAL UTILITIES 7,093,784 ------------- TOTAL COMMON STOCKS (Cost $82,341,539) 88,401,095 ------------- FACE AMOUNT ------------- SECURITIES LENDING COLLATERAL 25.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) $ 22,672,786 22,672,786 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $22,672,786) 22,672,786 ------------- TOTAL INVESTMENTS 126.7% (Cost $105,014,325) $ 111,073,881 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (26.7)% $ (23,401,319) ============= NET ASSETS - 100.0% $ 87,672,562 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. 140 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 47.9% Fannie Mae* 5.14% due 01/10/07 $ 20,000,000 $ 19,977,155 Farmer Mac* 5.14% due 01/16/07 5,000,000 4,990,005 Federal Farm Credit Bank* 5.23% due 01/25/07 25,000,000 24,916,465 Federal Home Loan Bank* 5.14% due 01/24/07 25,000,000 24,921,549 5.12% due 01/19/07 20,000,000 19,951,692 5.15% due 01/17/07 5,000,000 4,989,271 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $99,746,137) 99,746,137 ------------- REPURCHASE AGREEMENTS 49.8% Repurchase Agreement (Note 5) 4.80% due 01/02/07 27,218,472 27,218,472 4.79% due 01/02/07 27,218,472 27,218,472 4.65% due 01/02/07 27,218,472 27,218,472 4.60% due 01/02/07 22,046,950 22,046,950 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $103,702,366) 103,702,366 ------------- TOTAL INVESTMENTS 97.7% (Cost $203,448,503) $ 203,448,503 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 2.3% $ 4,699,334 ============= NET ASSETS - 100.0% $ 208,147,837 * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 141 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- BANKING FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% J.P. Morgan Chase & Co. 23,963 $ 1,157,413 Bank of America Corp. 20,754 1,108,056 Wells Fargo & Co.+ 28,085 998,703 Wachovia Corp. 15,540 885,003 U.S. Bancorp+ 21,338 772,222 Fannie Mae 12,112 719,332 Regions Financial Corp. 18,210 681,054 Freddie Mac 9,401 638,328 Washington Mutual, Inc.+ 13,659 621,348 SunTrust Banks, Inc.+ 6,345 535,835 National City Corp.+ 14,481 529,425 Countrywide Financial Corp.+ 11,813 501,462 Fifth Third Bancorp+ 11,169 457,147 BB&T Corp.+ 10,202 448,174 PNC Financial Services Group, Inc.+ 5,874 434,911 KeyCorp+ 9,563 363,681 M&T Bank Corp.+ 2,888 352,798 Sovereign Bancorp, Inc.+ 13,818 350,839 Marshall & Ilsley Corp.+ 6,704 322,530 Synovus Financial Corp.+ 9,669 298,095 Comerica, Inc.+ 4,954 290,701 Zions Bancorporation 3,471 286,149 UnionBanCal Corp. 4,451 272,624 TD Banknorth, Inc. 8,262 266,697 Hudson City Bancorp, Inc.+ 19,137 265,622 Compass Bancshares, Inc.+ 4,382 261,386 Mercantile Bankshares Corp. 5,432 254,163 People's Bank+ 5,488 244,875 Commerce Bancorp, Inc.+ 6,562 231,442 MGIC Investment Corp.+ 3,556 222,392 First Horizon National Corp.+ 5,259 219,721 Huntington Bancshares, Inc.+ 9,184 218,120 Associated Banc-Corp.+ 5,869 204,711 New York Community Bancorp, Inc.+ 12,363 199,044 Popular, Inc.+ 11,018 197,773 PMI Group, Inc.+ 4,097 193,256 Radian Group, Inc.+ 3,503 188,847 Colonial BancGroup, Inc. 7,312 188,211 BOK Financial Corp. 3,383 185,997 City National Corp.+ 2,534 180,421 TCF Financial Corp.+ 6,464 177,243 IndyMac Bancorp, Inc.+ 3,868 174,679 Sky Financial Group, Inc.+ 6,080 173,523 Commerce Bancshares, Inc. 3,573 172,969 Bank of Hawaii Corp.+ 3,094 166,921 Valley National Bancorp+ 6,226 165,051 Cullen/Frost Bankers, Inc. 2,934 163,776 Capital Federal Financial+ 4,183 160,711 Fulton Financial Corp. 9,533 159,201 Astoria Financial Corp. 5,265 158,792 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Wilmington Trust Corp.+ 3,731 $ 157,336 Webster Financial Corp. 3,163 154,101 Downey Financial Corp. 1,934 140,370 Washington Federal, Inc.+ 5,750 135,298 First Midwest Bancorp, Inc.+ 3,433 132,788 Whitney Holding Corp. 4,064 132,568 East-West Bancorp, Inc.+ 3,726 131,975 South Financial Group, Inc. 4,960 131,886 FirstMerit Corp.+ 5,409 130,573 International Bancshares Corp. 4,220 130,440 Cathay General Bancorp 3,576 123,408 NewAlliance Bancshares, Inc. 7,522 123,361 United Bankshares, Inc. 3,160 122,134 Umpqua Holding Corp. 4,140 121,840 SVB Financial Group*+ 2,612 121,771 UCBH Holdings, Inc.+ 6,750 118,530 Westamerica Bancorporation+ 2,340 118,474 MAF Bancorp, Inc.+ 2,643 118,116 First Niagara Financial Group, Inc.+ 7,922 117,721 Chittenden Corp. 3,786 116,192 Susquehanna Bancshares, Inc. 4,220 113,434 Fremont General Corp.+ 6,859 111,184 Sterling Financial Corp.+ 3,201 108,226 Central Pacific Financial Corp.+ 2,736 106,047 Greater Bay Bancorp+ 4,026 106,005 Glacier Bancorp, Inc. 4,244 103,723 Hanmi Financial Corp. 4,586 103,323 Wintrust Financial Corp.+ 2,140 102,763 Prosperity Bancshares, Inc. 2,940 101,459 FirstFed Financial Corp.*+ 1,509 101,058 Provident Bankshares Corp. 2,800 99,680 Bankunited Financial Corp. -- Class A+ 3,526 98,587 Boston Private Financial Holdings, Inc.+ 3,426 96,648 Fidelity Bankshares, Inc. 2,413 95,724 First Republic Bank+ 2,393 93,518 First Commonwealth Financial Corp.+ 6,962 93,500 Republic Bancorp, Inc.+ 6,861 92,349 W Holding Co., Inc.+ 15,350 91,486 Flagstar Bancorp, Inc. 6,079 90,212 Sterling Bancshares, Inc. 6,570 85,541 PrivateBancorp, Inc. 2,040 84,925 TrustCo Bank Corp.+ 7,630 84,846 Irwin Financial Corp. 3,676 83,188 Brookline Bancorp, Inc.+ 6,139 80,851 Community Bank System, Inc. 3,466 79,718 BankAtlantic Bancorp, Inc. -- Class A 5,709 78,841 Bank Mutual Corp. 6,479 78,461 First Bancorp Puerto Rico+ 7,863 74,934 See Notes to Financial Statements. 142 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- BANKING FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Nara Bancorp, Inc. 3,560 $ 74,475 Anchor BanCorp Wisconsin, Inc.+ 2,583 74,442 Independent Bank Corp. 2,880 72,835 Wilshire Bancorp, Inc.+ 3,707 70,322 Franklin Bank Corp.* 3,256 66,878 Dime Community Bancshares 4,499 63,031 First Indiana Corp. 2,373 60,179 Sterling Bancorp+ 2,900 57,130 Doral Financial Corp.+ 11,768 33,774 Capital One Financial Corp. 184 14,135 ------------- TOTAL COMMON STOCKS (Cost $21,451,026) 24,227,688 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 150,523 150,523 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $150,523) 150,523 ------------- SECURITIES LENDING COLLATERAL 26.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 6,424,227 6,424,227 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $6,424,227) 6,424,227 ------------- TOTAL INVESTMENTS 126.5% (Cost $28,025,776) $ 30,802,438 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (26.5)% $ (6,454,037) ============= NET ASSETS - 100.0% $ 24,348,401 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 143 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- BASIC MATERIALS FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.6% E.I. du Pont de Nemours and Co.+ 40,990 $ 1,996,623 Dow Chemical Co. 43,882 1,752,647 Phelps Dodge Corp. 13,830 1,655,728 Monsanto Co. 29,994 1,575,585 Alcoa, Inc. 49,125 1,474,241 Newmont Mining Corp.+ 27,769 1,253,770 Weyerhaeuser Co. 17,630 1,245,559 Praxair, Inc. 20,609 1,222,732 Nucor Corp. 22,110 1,208,533 Southern Copper Corp.+ 22,315 1,202,555 Air Products & Chemicals, Inc. 16,215 1,139,590 International Paper Co.+ 33,284 1,134,984 Allegheny Technologies, Inc.+ 11,330 1,027,404 Rohm & Haas Co. 19,114 977,108 Ecolab, Inc.+ 21,470 970,444 The Mosaic Co.*+ 44,920 959,491 United States Steel Corp.+ 12,931 945,773 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 16,617 926,065 PPG Industries, Inc.+ 13,839 888,602 Vulcan Materials Co.+ 9,839 884,231 Sealed Air Corp.+ 10,876 706,070 Lyondell Chemical Co.+ 27,572 705,016 MeadWestvaco Corp.+ 23,085 693,935 Pactiv Corp.* 19,442 693,885 Celanese Corp.+ 26,268 679,816 Martin Marietta Materials, Inc.+ 6,440 669,180 Temple-Inland, Inc.+ 14,510 667,895 Titanium Metals Corp.*+ 22,320 658,663 International Flavors & Fragrances, Inc. 13,330 655,303 Ashland, Inc. 9,432 652,506 Eastman Chemical Co.+ 10,957 649,860 Sigma-Aldrich Corp. 8,348 648,807 Ball Corp. 14,300 623,480 Albemarle Corp. 8,231 590,986 Huntsman Corp.* 30,870 585,604 Sonoco Products Co. 15,129 575,810 Steel Dynamics, Inc. 17,648 572,678 Scotts Miracle-Gro Co. -- Class A 10,890 562,468 Crown Holdings, Inc.* 26,673 557,999 Commercial Metals Co. 21,502 554,752 Lubrizol Corp. 10,870 544,913 Reliance Steel & Aluminum Co.+ 13,658 537,852 Bemis Co. 15,740 534,845 FMC Corp. 6,901 528,272 Airgas, Inc. 12,980 525,950 Owens-Illinois, Inc.*+ 27,893 514,626 Valhi, Inc. 19,724 512,430 Nalco Holding Co.* 24,509 501,454 Cabot Corp.+ 11,475 499,966 RTI International Metals, Inc.* 6,386 499,513 Florida Rock Industries, Inc. 11,469 493,740 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Valspar Corp. 17,300 $ 478,172 Eagle Materials, Inc. 10,840 468,613 RPM International, Inc.+ 22,050 460,624 Cytec Industries, Inc.+ 8,135 459,709 Chaparral Steel Co. 10,340 457,752 Hercules, Inc.*+ 23,678 457,222 Louisiana-Pacific Corp. 20,953 451,118 Chemtura Corp.+ 46,556 448,334 Cleveland-Cliffs, Inc.+ 9,254 448,264 Smurfit-Stone Container Corp.*+ 42,153 445,136 Carpenter Technology Corp. 4,314 442,271 AptarGroup, Inc.+ 7,336 433,117 Packaging Corporation of America 18,703 413,336 Westlake Chemical Corp. 12,680 397,898 Century Aluminum Co.*+ 8,676 387,383 Texas Industries, Inc.+ 5,956 382,554 H.B. Fuller Co.+ 14,120 364,578 Worthington Industries, Inc.+ 20,122 356,562 Quanex Corp. 9,782 338,359 Sensient Technologies Corp. 13,710 337,266 OM Group, Inc.*+ 7,260 328,733 Rock-Tenn Co. -- Class A 12,110 328,302 Bowater, Inc.+ 14,530 326,925 Olin Corp. 19,226 317,614 Minerals Technologies, Inc.+ 5,320 312,763 MacDermid, Inc.+ 8,700 296,670 Headwaters, Inc.*+ 11,978 286,993 Ferro Corp. 13,800 285,522 Arch Chemicals, Inc. 8,127 270,710 Amcol International Corp.+ 9,737 270,104 Brush Engineered Materials, Inc.* 7,930 267,796 Wausau Paper Corp. 17,210 257,978 Glatfelter+ 16,170 250,635 Deltic Timber Corp.+ 4,487 250,285 Ryerson Tull, Inc.+ 9,710 243,624 Buckeye Technologies, Inc.* 18,654 223,475 PolyOne Corp.* 29,435 220,762 A. Schulman, Inc. 9,811 218,295 Schweitzer-Mauduit International, Inc. 7,990 208,140 Neenah Paper, Inc.+ 5,800 204,856 Myers Industries, Inc. 12,743 199,555 Georgia Gulf Corp. 9,890 190,976 Tronox, Inc. 11,930 188,375 A.M. Castle & Co. 7,102 180,746 Chesapeake Corp. 10,430 177,519 Material Sciences Corp.* 10,848 140,373 Quaker Chemical Corp. 6,280 138,600 Caraustar Industries, Inc.* 16,650 134,699 Steel Technologies, Inc. 7,252 127,273 Penford Corp. 6,803 117,692 Pope & Talbot, Inc.*+ 15,000 82,050 Wellman, Inc. 25,330 80,803 ------------ TOTAL COMMON STOCKS (Cost $46,949,315) 58,397,050 ------------- See Notes to Financial Statements. 144 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- BASIC MATERIALS FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.7% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 426,565 $ 426,565 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $426,565) 426,565 ------------- SECURITIES LENDING COLLATERAL 18.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 10,871,653 10,871,653 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $10,871,653) 10,871,653 ------------- TOTAL INVESTMENTS 118.9% (Cost $58,247,533) $ 69,695,268 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (18.9)% $ (11,073,303) ============= NET ASSETS - 100.0% $ 58,621,965 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 145 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- BIOTECHNOLOGY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Genentech, Inc.*+ 13,792 $ 1,118,945 Amgen, Inc.*+ 15,636 1,068,095 Gilead Sciences, Inc.* 9,960 646,703 Celgene Corp.*+ 10,992 632,370 Biogen Idec, Inc.*+ 10,718 527,218 Genzyme Corp.*+ 7,606 468,377 Medimmune, Inc.*+ 11,052 357,753 Cephalon, Inc.*+ 3,826 269,389 Vertex Pharmaceuticals, Inc.* 7,012 262,389 Millennium Pharmaceuticals, Inc.*+ 21,763 237,217 Amylin Pharmaceuticals, Inc.*+ 6,478 233,661 ICOS Corp.*+ 6,250 211,187 Invitrogen Corp.* 3,547 200,725 PDL BioPharma, Inc.*+ 9,412 189,558 Techne Corp.* 3,405 188,807 Medarex, Inc.*+ 12,481 184,594 Illumina, Inc.*+ 4,554 179,018 ImClone Systems, Inc.*+ 6,667 178,409 InterMune, Inc.*+ 5,546 170,540 OSI Pharmaceuticals, Inc.*+ 4,767 166,750 Human Genome Sciences, Inc.*+ 13,059 162,454 Affymetrix, Inc.*+ 6,848 157,915 BioMarin Pharmaceuticals, Inc.* 9,470 155,213 Crucell -- SP ADR*+ 6,088 155,122 Myriad Genetics, Inc.*+ 4,908 153,620 Alexion Pharmaceuticals, Inc.*+ 3,724 150,412 Regeneron Pharmaceuticals, Inc.*+ 7,366 147,836 Nektar Therapeutics*+ 9,659 146,913 United Therapeutics Corp.*+ 2,587 140,655 Digene Corp.* 2,837 135,949 Alkermes, Inc.*+ 9,768 130,598 Applera Corp. - Celera Genomics Group* 9,086 127,113 Pharmion Corp.*+ 4,715 121,364 Zymogenetics, Inc.*+ 7,702 119,920 QLT, Inc.*+ 13,166 111,384 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Cubist Pharmaceuticals, Inc.*+ 6,123 $ 110,888 CV Therapeutics, Inc.*+ 7,882 110,033 Exelixis, Inc.* 12,017 108,153 Progenics Pharmaceuticals, Inc.* 4,044 104,093 MannKind Corp.*+ 6,247 103,013 Arena Pharmaceuticals, Inc.*+ 7,680 99,149 Angiotech Pharmaceuticals, Inc.* 12,012 98,679 Keryx Biopharmaceuticals, Inc.*+ 7,386 98,234 Idenix Pharmaceuticals, Inc.* 9,293 80,756 Luminex Corp.*+ 5,040 64,008 Onyx Pharmaceuticals, Inc.*+ 5,990 63,374 Telik, Inc.*+ 6,628 29,362 Nuvelo, Inc.*+ 6,526 26,104 ------------- TOTAL COMMON STOCKS (Cost $7,564,300) 10,704,019 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.9% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 98,752 98,752 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $98,752) 98,752 ------------- SECURITIES LENDING COLLATERAL 57.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 6,212,852 6,212,852 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $6,212,852) 6,212,852 ------------- TOTAL INVESTMENTS 158.2% (Cost $13,875,904) $ 17,015,623 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (58.2)% $ (6,261,426) ============= NET ASSETS - 100.0% $ 10,754,197 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 146 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- COMMODITIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS 21.6% IShares GSCI Commodity Indexed Trust* 109,540 $ 4,384,886 ------------- TOTAL EXCHANGE TRADED FUNDS (Cost $4,483,361) 4,384,886 ------------- FACE AMOUNT ------------- COMMODITY LINKED SECURITIES 22.4% Credit Suisse, Goldman Sachs Commodity Index Total Return Linked Notes 5.12% due 10/15/07 $ 2,180,400 1,872,147 Swedish Export Credit Corp., Goldman Sachs Commodity Index Total Return Linked Notes 5.10% due 10/22/07 2,100,000 1,825,926 Credit Suisse, Goldman Sachs Commodity Index Total Return Linked Notes 5.12% due 11/26/07 1,058,212 848,239 ------------- TOTAL COMMODITY LINKED SECURITIES (Cost $5,209,683) 4,546,310 ------------- FEDERAL AGENCY DISCOUNT NOTES 19.7% Farmer Mac** 5.15% due 01/23/07 2,000,000 1,993,992 Federal Home Loan Bank** 5.15% due 01/17/07 2,000,000 1,995,708 ------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $3,989,700) 3,989,700 ------------- REPURCHASE AGREEMENTS 27.0% Repurchase Agreement (Note 5) 4.80% due 01/02/07 1,435,558 1,435,558 4.79% due 01/02/07 1,435,558 1,435,558 4.65% due 01/02/07 1,435,558 1,435,558 4.60% due 01/02/07 1,162,800 1,162,800 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $5,469,474) 5,469,474 ------------- TOTAL INVESTMENTS 90.7% (Cost $19,152,218) $ 18,390,370 ============= OTHER ASSETS IN EXCESS OF LIABILITIES - 9.3% $ 1,878,900 ============= NET ASSETS - 100.0% $ 20,269,270 * NON-INCOME PRODUCING SECURITY. ** THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 147 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Procter & Gamble Co. 45,776 $ 2,942,024 Altria Group, Inc.+ 32,872 2,821,075 Coca-Cola Co.+ 45,549 2,197,739 PepsiCo, Inc. 31,624 1,978,081 Kraft Foods, Inc. -- Class A+ 42,838 1,529,317 Anheuser-Busch Cos., Inc. 25,307 1,245,104 Colgate-Palmolive Co. 18,145 1,183,780 Kimberly-Clark Corp.+ 16,658 1,131,911 Sysco Corp.+ 27,044 994,137 General Mills, Inc.+ 15,780 908,928 Reynolds American, Inc.+ 13,744 899,820 Kellogg Co.+ 17,786 890,367 Archer-Daniels-Midland Co. 26,146 835,626 Safeway, Inc.+ 24,076 832,067 Campbell Soup Co.+ 20,981 815,951 Kroger Co.+ 35,087 809,457 WM Wrigley Jr Co. 15,438 798,453 H.J. Heinz Co.+ 17,664 795,057 Avon Products, Inc. 24,036 794,149 ConAgra Foods, Inc.+ 28,732 775,764 Sara Lee Corp. 43,268 736,854 Hershey Co.+ 13,191 656,912 UST, Inc.+ 10,789 627,920 Clorox Co. 9,751 625,527 Coca-Cola Enterprises, Inc. 30,042 613,458 Supervalu, Inc. 16,741 598,491 Estee Lauder Cos., Inc. -- Class A 14,422 588,706 Molson Coors Brewing Co. -- Class B+ 7,127 544,788 Brown-Forman Corp. -- Class B 8,060 533,894 Constellation Brands, Inc. -- Class A*+ 17,543 509,098 Pepsi Bottling Group, Inc.+ 16,187 500,340 Loews Corp. - Carolina Group 7,576 490,319 Tyson Foods, Inc. -- Class A+ 29,743 489,272 Dean Foods Co.* 11,201 473,578 Hormel Foods Corp. 12,321 460,066 Whole Foods Market, Inc.+ 9,701 455,268 McCormick & Co., Inc. 11,724 452,077 Energizer Holdings, Inc.*+ 5,690 403,933 NBTY, Inc.* 9,542 396,661 Hansen Natural Corp.* 10,520 354,314 Church & Dwight Co., Inc.+ 8,210 350,156 J.M. Smucker Co. 6,950 336,866 Smithfield Foods, Inc.* 12,772 327,730 Corn Products International, Inc. 9,370 323,640 PepsiAmericas, Inc. 15,201 318,917 Del Monte Foods Co. 27,525 303,601 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Tootsie Roll Industries, Inc. 8,557 $ 279,814 United Natural Foods, Inc.*+ 7,446 267,460 Universal Corp.+ 5,280 258,773 Flowers Foods, Inc. 9,502 256,459 Delta & Pine Land Co. 6,009 243,064 Lancaster Colony Corp. 5,460 241,933 Hain Celestial Group, Inc.*+ 7,719 240,910 Ralcorp Holdings, Inc.* 4,670 237,656 Ruddick Corp.+ 8,504 235,986 TreeHouse Foods, Inc.*+ 7,326 228,571 Casey's General Stores, Inc.+ 9,462 222,830 Alliance One International, Inc.* 30,278 213,763 Great Atlantic & Pacific Tea Co.+ 8,254 212,458 USANA Health Sciences, Inc.*+ 3,950 204,057 J&J Snack Foods Corp. 4,842 200,459 Playtex Products, Inc.* 13,695 197,071 Performance Food Group Co.* 7,097 196,161 Alberto-Culver Co. 8,534 183,054 Spectrum Brands, Inc.*+ 15,561 169,615 Lance, Inc. 7,536 151,323 WD-40 Co. 4,330 150,987 Sanderson Farms, Inc.+ 4,950 149,936 Nash Finch Co.+ 4,734 129,238 Peet's Coffee & Tea, Inc.*+ 4,680 122,803 American Italian Pasta Co. -- Class A* 9,690 86,241 Sally Beauty Holdings, Inc.* 8,534 66,565 ------------- TOTAL COMMON STOCKS (Cost $35,825,581) 42,798,380 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.8% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 340,359 340,359 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $340,359) 340,359 ------------- SECURITIES LENDING COLLATERAL 27.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 11,958,394 11,958,394 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $11,958,394) 11,958,394 ------------- TOTAL INVESTMENTS 128.1% (Cost $48,124,334) $ 55,097,133 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (28.1)% $ (12,090,095) ============= NET ASSETS - 100.0% $ 43,007,038 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 148 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- ELECTRONICS FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Intel Corp.* 17,434 $ 353,038 Texas Instruments, Inc. 7,069 203,587 Applied Materials, Inc.+ 9,684 178,670 Nvidia Corp.* 3,594 133,014 Broadcom Corp. -- Class A*+ 4,093 132,245 Analog Devices, Inc.+ 3,608 118,595 KLA-Tencor Corp.+ 2,203 109,599 Maxim Integrated Products, Inc. 3,519 107,752 MEMC Electronic Materials, Inc.* 2,563 100,316 Linear Technology Corp.+ 3,259 98,813 Xilinx, Inc. 4,097 97,550 Micron Technology, Inc.*+ 6,743 94,132 Advanced Micro Devices, Inc.*+ 4,604 93,691 Lam Research Corp.*+ 1,842 93,242 Altera Corp.* 4,602 90,567 National Semiconductor Corp.+ 3,864 87,713 Microchip Technology, Inc.+ 2,681 87,669 Novellus Systems, Inc.*+ 2,198 75,655 Agere Systems, Inc.* 3,510 67,287 LSI Logic Corp.*+ 7,259 65,331 Teradyne, Inc.*+ 4,029 60,274 Intersil Corp. -- Class A 2,490 59,561 Varian Semiconductor Equipment Associates, Inc.* 1,275 58,038 International Rectifier Corp.*+ 1,498 57,718 Integrated Device Technology, Inc.* 3,670 56,812 Atmel Corp.* 9,347 56,549 Cypress Semiconductor Corp.*+ 2,934 49,497 Silicon Laboratories, Inc.*+ 1,399 48,475 Rambus, Inc.* 2,527 47,836 Fairchild Semiconductor International, Inc.* 2,665 44,799 Cymer, Inc.*+ 985 43,291 PMC - Sierra, Inc.* 6,176 41,441 Skyworks Solutions, Inc.* 5,800 41,064 Microsemi Corp.* 2,022 39,732 Spansion, Inc.* 2,505 37,224 Brooks Automation, Inc.* 2,502 36,029 ATMI, Inc.* 1,166 35,598 RF Micro Devices, Inc.*+ 5,235 35,546 Cree, Inc.*+ 2,041 35,350 FEI Co.*+ 1,317 34,729 Cabot Microelectronics Corp.*+ 955 32,413 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Semtech Corp.* 2,478 $ 32,387 Micrel, Inc.* 3,004 32,383 Advanced Energy Industries, Inc.*+ 1,687 31,834 Photronics, Inc.*+ 1,789 29,232 Diodes, Inc.*+ 802 28,455 Lattice Semiconductor Corp.* 4,263 27,624 Standard Microsystems Corp.* 918 25,686 DSP Group, Inc.* 1,181 25,628 Actel Corp.*+ 1,348 24,480 Supertex, Inc.* 618 24,256 Triquint Semiconductor, Inc.* 5,385 24,232 Veeco Instruments, Inc.*+ 1,286 24,087 Cohu, Inc. 1,172 23,627 Axcelis Technologies, Inc.*+ 3,948 23,017 Exar Corp.* 1,714 22,282 Kulicke & Soffa Industries, Inc.* 2,645 22,218 Rudolph Technologies, Inc.* 1,306 20,791 Pericom Semiconductor Corp.* 1,702 19,522 Ultratech, Inc.* 1,386 17,297 Kopin Corp.* 4,687 16,733 ------------- TOTAL COMMON STOCKS (Cost $2,506,089) 3,836,213 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 1.3% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 51,731 51,731 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $51,731) 51,731 ------------- SECURITIES LENDING COLLATERAL 29.2% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 1,125,927 1,125,927 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $1,125,927) 1,125,927 ------------- TOTAL INVESTMENTS 130.0% (Cost $3,683,747) $ 5,013,871 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (30.0)% $ (1,158,281) ============= NET ASSETS - 100.0% $ 3,855,590 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 149 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- ENERGY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Exxon Mobil Corp.+ 67,005 $ 5,134,593 BP PLC+ 50,482 3,387,342 Total SA+ 43,165 3,104,427 Chevron Corp. 41,403 3,044,363 ConocoPhillips 37,483 2,696,902 Royal Dutch Shell PLC -- SP ADR 37,853 2,679,614 Schlumberger Ltd.+ 31,126 1,965,918 Repsol YPF SA -- SP ADR+ 45,511 1,570,129 Occidental Petroleum Corp. 29,812 1,455,720 Marathon Oil Corp. 15,411 1,425,517 Halliburton Co. 42,898 1,331,983 Devon Energy Corp.+ 18,783 1,259,964 Valero Energy Corp. 24,580 1,257,513 Transocean, Inc.* 14,732 1,191,671 Baker Hughes, Inc.+ 15,663 1,169,400 Apache Corp. 16,228 1,079,324 Anadarko Petroleum Corp. 23,094 1,005,051 XTO Energy, Inc. 20,956 985,980 Williams Cos., Inc. 35,610 930,133 Hess Corp. 18,520 918,036 EOG Resources, Inc.+ 13,758 859,187 Weatherford International Ltd.* 20,497 856,570 Kinder Morgan, Inc. 8,020 848,115 Noble Corp.+ 10,407 792,493 Chesapeake Energy Corp.+ 27,230 791,032 El Paso Corp.+ 50,850 776,988 Peabody Energy Corp. 19,050 769,811 Diamond Offshore Drilling, Inc.+ 9,496 759,110 National-Oilwell Varco, Inc.* 12,359 756,124 Murphy Oil Corp.+ 14,095 716,731 Noble Energy, Inc.+ 14,000 686,980 Smith International, Inc.+ 16,678 684,965 Nabors Industries Ltd.*+ 22,544 671,360 ENSCO International, Inc.+ 13,290 665,297 BJ Services Co.+ 22,467 658,732 Sunoco, Inc. 10,306 642,682 Newfield Exploration Co.*+ 13,099 601,899 Southwestern Energy Co.*+ 16,892 592,065 Cameron International Corp.*+ 10,786 572,197 Consol Energy, Inc.+ 17,100 549,423 Grant Prideco, Inc.* 13,149 522,936 Pride International, Inc.*+ 17,405 522,324 Tesoro Corp.+ 7,700 506,429 Pioneer Natural Resources Co.+ 12,750 506,048 FMC Technologies, Inc.* 8,027 494,704 Arch Coal, Inc.+ 15,900 477,477 CNX Gas Corp.* 18,201 464,126 Range Resources Corp. 16,675 457,896 Plains Exploration & Production Co.* 9,500 451,535 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Veritas DGC, Inc.* 5,194 $ 444,762 Rowan Cos., Inc. 13,265 440,398 Patterson-UTI Energy, Inc. 18,815 437,072 Cabot Oil & Gas Corp.+ 7,100 430,615 Holly Corp. 8,200 421,480 Frontier Oil Corp.+ 14,600 419,604 Pogo Producing Co.+ 8,500 411,740 Superior Energy Services, Inc.* 12,461 407,225 Quicksilver Resources, Inc.*+ 11,105 406,332 Denbury Resources, Inc.* 14,500 402,955 Cimarex Energy Co.+ 10,900 397,850 Tidewater, Inc.+ 8,008 387,267 SEACOR Holdings, Inc.* 3,808 377,525 Helmerich & Payne, Inc. 15,264 373,510 Oceaneering International, Inc.* 9,408 373,498 Helix Energy Solutions Group, Inc.*+ 11,752 368,660 Dresser-Rand Group, Inc.*+ 14,527 355,476 W&T Offshore, Inc. 11,522 353,956 Unit Corp.* 7,185 348,113 Forest Oil Corp.* 10,050 328,434 Todco -- Class A* 9,506 324,820 Massey Energy Co.+ 13,900 322,897 Hanover Compressor Co.*+ 16,919 319,600 Overseas Shipholding Group, Inc. 5,674 319,446 St. Mary Land & Exploration Co. 8,665 319,219 Hydril*+ 4,235 318,430 Tetra Technologies, Inc.*+ 12,258 313,560 Atwood Oceanics, Inc.*+ 5,848 286,377 Cheniere Energy, Inc.*+ 9,654 278,711 Input/Output, Inc.*+ 20,181 275,067 Lone Star Technologies, Inc.* 5,654 273,710 Foundation Coal Holdings, Inc. 8,500 269,960 Swift Energy Co.*+ 5,948 266,530 Penn Virginia Corp. 3,760 263,350 World Fuel Services Corp.+ 5,900 262,314 Global Industries Ltd.* 19,430 253,367 Lufkin Industries, Inc.+ 3,742 217,335 CARBO Ceramics, Inc.+ 5,800 216,746 Bristow Group, Inc.* 5,779 208,564 Stone Energy Corp.* 5,800 205,030 Petroleum Development Corp.* 4,506 193,983 ------------- TOTAL COMMON STOCKS (Cost $45,849,261) 69,844,304 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.2% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 126,050 126,050 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $126,050) 126,050 ------------- See Notes to Financial Statements. 150 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- ENERGY FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 24.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) $ 17,273,359 $ 17,273,359 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $17,273,359) 17,273,359 ------------- TOTAL INVESTMENTS 124.3% (Cost $63,248,670) $ 87,243,713 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (24.3)% $ (17,054,036) ============= NET ASSETS - 100.0% $ 70,189,677 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 151 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- ENERGY SERVICES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Schlumberger Ltd.+ 65,952 $ 4,165,528 Halliburton Co. 90,881 2,821,855 Transocean, Inc.* 31,307 2,532,423 Baker Hughes, Inc.+ 33,157 2,475,502 Weatherford International Ltd.* 43,475 1,816,820 Noble Corp. 22,040 1,678,346 Diamond Offshore Drilling, Inc.+ 20,171 1,612,470 National-Oilwell Varco, Inc.* 26,128 1,598,511 Smith International, Inc.+ 35,450 1,455,931 Nabors Industries Ltd.*+ 47,867 1,425,479 ENSCO International, Inc.+ 28,244 1,413,895 BJ Services Co.+ 47,565 1,394,606 Cameron International Corp.*+ 22,940 1,216,967 Grant Prideco, Inc.*+ 27,970 1,112,367 Pride International, Inc.*+ 36,816 1,104,848 FMC Technologies, Inc.* 17,054 1,051,038 Veritas DGC, Inc.* 11,166 956,145 Rowan Cos., Inc.+ 28,206 936,439 Patterson-UTI Energy, Inc.+ 39,906 927,016 Superior Energy Services, Inc.* 26,315 859,974 Tidewater, Inc.+ 17,038 823,958 SEACOR Holdings, Inc.* 8,284 821,276 Oceaneering International, Inc.* 20,016 794,635 Helmerich & Payne, Inc. 32,264 789,500 Dresser-Rand Group, Inc.*+ 30,895 756,001 Unit Corp.* 15,147 733,872 Todco -- Class A* 20,189 689,858 Hydril*+ 9,073 682,199 Hanover Compressor Co.*+ 35,925 678,623 Tetra Technologies, Inc.*+ 26,025 665,720 Atwood Oceanics, Inc.*+ 12,541 614,133 Lone Star Technologies, Inc.* 12,071 584,357 Input/Output, Inc.*+ 42,700 582,001 Global Industries Ltd.* 41,211 537,391 Lufkin Industries, Inc.+ 8,007 465,047 CARBO Ceramics, Inc.+ 12,414 463,911 Bristow Group, Inc.*+ 12,454 449,465 ------------- TOTAL COMMON STOCKS (Cost $25,773,136) 43,688,107 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.5% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 228,891 $ 228,891 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $228,891) 228,891 ------------- SECURITIES LENDING COLLATERAL 27.0% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 11,849,821 11,849,821 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $11,849,821) 11,849,821 ------------- TOTAL INVESTMENTS 127.0% (Cost $37,851,848) $ 55,766,819 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (27.0)% $ (11,856,598) ============= NET ASSETS - 100.0% $ 43,910,221 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 152 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.7% Bank of America Corp. 20,576 $ 1,098,553 Citigroup, Inc. 17,630 981,991 Wells Fargo & Co.+ 22,673 806,252 American International Group, Inc. 11,042 791,270 Morgan Stanley+ 9,150 745,084 J.P. Morgan Chase & Co. 14,604 705,373 Wachovia Corp. 12,051 686,304 Fannie Mae+ 10,365 615,577 Regions Financial Corp. 15,761 589,461 Freddie Mac 8,280 562,212 Prudential Financial, Inc. 6,480 556,373 Goldman Sachs Group, Inc.+ 2,680 534,258 Lehman Brothers Holdings, Inc.+ 6,744 526,841 Merrill Lynch & Co., Inc.+ 5,340 497,154 MetLife, Inc. 8,290 489,193 National City Corp.+ 12,713 464,787 Capital One Financial Corp. 5,903 453,468 American Express Co. 7,236 439,008 Chubb Corp. 7,910 418,518 Lincoln National Corp. 6,130 407,032 U.S. Bancorp+ 11,210 405,690 Vornado Realty Trust+ 3,316 402,894 Franklin Resources, Inc.+ 3,610 397,714 Marsh & McLennan Cos., Inc.+ 12,910 395,821 AFLAC, Inc.+ 8,550 393,300 Chicago Mercantile Exchange Holdings, Inc.+ 762 388,429 Loews Corp. 9,314 386,252 ProLogis+ 6,190 376,166 Genworth Financial, Inc. -- Class A 10,810 369,810 Equity Residential+ 7,210 365,907 General Growth Properties, Inc.+ 6,853 357,932 Host Hotels & Resorts, Inc.+ 14,554 357,301 Archstone-Smith Trust+ 6,120 356,245 Washington Mutual, Inc. 7,682 349,454 Marshall & Ilsley Corp.+ 7,150 343,986 Ameriprise Financial, Inc. 6,310 343,895 Legg Mason, Inc.+ 3,610 343,130 Aon Corp.+ 9,570 338,204 Synovus Financial Corp.+ 10,690 329,573 Cbot Holdings, Inc.* 2,170 328,690 Realogy Corp.* 10,760 326,243 T. Rowe Price Group, Inc.+ 7,390 323,460 NYSE Group, Inc.*+ 3,300 320,760 Fifth Third Bancorp+ 7,772 318,108 M&T Bank Corp. 2,568 313,707 E*Trade Financial Corp.* 13,975 313,319 Simon Property Group, Inc.+ 3,060 309,947 TD Ameritrade Holding Corp.+ 19,062 308,423 SAFECO Corp.+ 4,800 300,240 Assurant, Inc. 5,300 292,825 KIMCO Realty Corp.+ 6,480 291,276 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- St. Paul Travelers Cos., Inc. 5,420 $ 291,000 SL Green Realty Corp.+ 2,190 290,788 Cincinnati Financial Corp. 6,410 290,437 Allstate Corp.+ 4,440 289,088 People's Bank+ 6,470 288,691 W.R. Berkley Corp. 8,255 284,880 Duke Realty Corp.+ 6,810 278,529 BB&T Corp.+ 6,320 277,638 Huntington Bancshares, Inc.+ 11,587 275,191 Old Republic International Corp. 11,742 273,354 AMB Property Corp. 4,660 273,123 Hudson City Bancorp, Inc.+ 19,635 272,534 CapitalSource, Inc.+ 9,790 267,365 Associated Banc-Corp.+ 7,610 265,437 Popular, Inc.+ 14,530 260,813 United Dominion Realty Trust, Inc.+ 8,200 260,678 Federal Realty Investment Trust+ 3,050 259,250 Liberty Property Trust+ 5,255 258,231 Torchmark Corp. 4,050 258,228 Weingarten Realty Investors 5,590 257,755 Camden Property Trust 3,475 256,629 New York Community Bancorp, Inc.+ 15,770 253,897 Apartment Investment & Management Co. -- Class A+ 4,510 252,650 Global Signal, Inc. 4,770 251,236 Reckson Associates Realty Corp. 5,470 249,432 Radian Group, Inc.+ 4,608 248,417 Reinsurance Group of America, Inc. 4,450 247,865 Raymond James Financial, Inc. 8,133 246,511 Sky Financial Group, Inc.+ 8,600 245,444 Brown & Brown, Inc. 8,680 244,863 SunTrust Banks, Inc.+ 2,886 243,723 Hospitality Properties Trust 5,120 243,354 Nasdaq Stock Market, Inc.*+ 7,870 242,317 Federated Investors, Inc. -- Class B 7,160 241,865 Bank of New York Co., Inc. 6,120 240,944 Comerica, Inc.+ 4,080 239,414 CNA Financial Corp.*+ 5,920 238,694 Mack-Cali Realty Corp.+ 4,660 237,660 Jefferies Group, Inc. 8,770 235,211 Brandywine Realty Trust+ 7,050 234,413 Capital Federal Financial+ 6,091 234,016 New Plan Excel Realty Trust+ 8,430 231,656 AvalonBay Communities, Inc.+ 1,780 231,489 Conseco, Inc.* 11,580 231,368 Astoria Financial Corp. 7,580 228,613 Wilmington Trust Corp. 5,407 228,013 Countrywide Financial Corp.+ 5,364 227,702 Cullen/Frost Bankers, Inc. 4,050 226,071 Hartford Financial Services Group, Inc. 2,420 225,810 Highwoods Properties, Inc.+ 5,530 225,403 Essex Property Trust, Inc. 1,728 223,344 Kilroy Realty Corp. 2,850 222,300 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 153 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- American National Insurance Co. 1,947 $ 222,172 Wesco Financial Corp. 479 220,340 Colonial Properties Trust 4,670 218,930 Downey Financial Corp. 2,970 215,563 AmeriCredit Corp.*+ 8,520 214,448 Whitney Holding Corp. 6,557 213,889 The St. Joe Co.+ 3,980 213,209 East-West Bancorp, Inc. 6,013 212,980 Affiliated Managers Group, Inc.*+ 2,010 211,311 First Citizens BancShares, Inc. -- Class A 1,042 211,151 First Niagara Financial Group, Inc.+ 13,900 206,554 UCBH Holdings, Inc.+ 11,750 206,330 SVB Financial Group*+ 4,416 205,874 Charles Schwab Corp. 10,630 205,584 Bear Stearns Cos., Inc.+ 1,240 201,847 National Retail Properties, Inc. 8,710 199,895 Mercantile Bankshares Corp. 4,256 199,138 Mid-America Apartment Communities, Inc. 3,470 198,623 Entertainment Properties Trust+ 3,370 196,943 Eastgroup Properties, Inc. 3,660 196,030 XL Capital Ltd.+ 2,700 194,454 Prosperity Bancshares, Inc. 5,575 192,393 Greater Bay Bancorp 7,290 191,946 Provident Bankshares Corp. 5,379 191,492 New Century Financial Corp.+ 6,023 190,267 State Street Corp. 2,780 187,483 Boston Private Financial Holdings, Inc. 6,540 184,493 Sovran Self Storage, Inc.+ 3,190 182,723 Acadia Realty Trust 7,300 182,646 Everest Re Group Ltd. 1,860 182,485 BankAtlantic Bancorp, Inc. -- Class A 13,040 180,082 Safety Insurance Group, Inc. 3,540 179,513 Portfolio Recovery Associates, Inc.*+ 3,842 179,383 LTC Properties, Inc. 6,481 176,996 Community Bank System, Inc. 7,671 176,433 Presidential Life Corp. 8,010 175,820 PNC Financial Services Group, Inc.+ 2,330 172,513 ACE Ltd. 2,840 172,019 TradeStation Group, Inc.* 12,500 171,875 LaBranche & Co., Inc.*+ 17,330 170,354 Wilshire Bancorp, Inc.+ 8,940 169,592 Equity Office Properties Trust+ 3,410 164,260 Flagstar Bancorp, Inc. 11,000 163,240 Dime Community Bancshares 11,600 162,516 Nelnet, Inc. -- Class A* 5,900 161,424 Moody's Corp.+ 2,310 159,529 Progressive Corp. 6,440 155,977 SCPIE Holdings Inc.*+ 5,913 154,566 IntercontinentalExchange, Inc.*+ 1,420 153,218 MARKET VALUE SHARES NOTE 1) -------------------------------------------------------------------------------- SLM Corp. 3,132 $ 152,748 Mellon Financial Corp.+ 3,610 152,162 Public Storage, Inc. 1,548 150,930 Boston Properties, Inc.+ 1,330 148,800 Transatlantic Holdings, Inc. 2,356 146,308 RLI Corp. 2,584 145,789 Thornburg Mortgage, Inc.+ 5,620 141,231 Wintrust Financial Corp.+ 2,940 141,179 Chittenden Corp. 4,590 140,867 Westamerica Bancorporation+ 2,660 134,676 Blackrock, Inc. 880 133,672 Delphi Financial Group, Inc. -- Class A 3,280 132,709 Principal Financial Group, Inc. 2,250 132,075 KeyCorp 3,252 123,674 Sovereign Bancorp, Inc.+ 4,588 116,489 United Fire & Casualty Co. 3,190 112,448 SEI Investments Co.+ 1,792 106,732 Northern Trust Corp. 1,750 106,208 Piper Jaffray Cos., Inc.* 1,500 97,725 CIT Group, Inc.+ 1,730 96,482 Janus Capital Group, Inc.+ 4,100 88,519 MBIA, Inc.+ 1,190 86,941 CBL & Associates Properties, Inc.+ 1,940 84,099 Cash America International, Inc.+ 1,750 82,075 PS Business Parks, Inc. 1,150 81,317 Zenith National Insurance Corp. 1,670 78,340 CB Richard Ellis Group, Inc. -- Class A* 2,229 74,003 Ambac Financial Group, Inc. 820 73,037 Jones Lang LaSalle, Inc. 790 72,814 Fremont General Corp.+ 4,200 68,082 ProAssurance Corp.* 1,340 66,893 Developers Diversified Realty Corp.+ 1,020 64,209 Philadelphia Consolidated Holding Corp.*+ 1,420 63,275 Zions Bancorporation 730 60,181 UnionBanCal Corp. 960 58,800 TD Banknorth, Inc. 1,820 58,750 Plum Creek Timber Co., Inc. (REIT) 1,430 56,986 UnumProvident Corp.+ 2,600 54,028 Compass Bancshares, Inc. 880 52,492 First Marblehead Corp. 860 46,999 American Capital Strategies, Ltd.+ 1,010 46,723 Leucadia National Corp. 1,460 41,172 Macerich Co.+ 450 38,957 Anchor BanCorp Wisconsin, Inc. 1,250 36,025 BRE Properties, Inc. -- Class A+ 540 35,111 Fidelity National Financial, Inc. -- Class A 1,469 35,080 Commerce Bancorp, Inc. 983 34,670 Regency Centers Corp.+ 440 34,395 iStar Financial, Inc.+ 680 32,518 See Notes to Financial Statements. 154 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Health Care Property Investors, Inc.+ 810 $ 29,824 Brookline Bancorp, Inc.+ 1,840 24,233 Student Loan Corp. 116 24,047 A.G. Edwards, Inc. 370 23,417 First Horizon National Corp. 553 23,104 MGIC Investment Corp.+ 360 22,514 Allied Capital Corp.+ 500 16,340 American Financial Group, Inc. 430 15,441 Markel Corp.* 30 14,403 Eaton Vance Corp.+ 410 13,534 Forest City Enterprises, Inc. -- Class A+ 230 13,432 Ventas, Inc.+ 230 9,734 PMI Group, Inc.+ 130 6,132 Colonial BancGroup, Inc. 100 2,574 South Financial Group, Inc. 89 2,367 ------------- TOTAL COMMON STOCKS (Cost $45,551,326) 50,031,738 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.5% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 268,475 268,475 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $268,475) 268,475 ------------- SECURITIES LENDING COLLATERAL 21.0% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 10,531,379 10,531,379 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $10,531,379) 10,531,379 ------------- TOTAL INVESTMENTS 121.2% (Cost $56,351,180) $ 60,831,592 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (21.2)% $ (10,641,292) ============= NET ASSETS - 100.0% $ 50,190,300 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 155 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- HEALTH CARE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Johnson & Johnson, Inc. 37,964 $ 2,506,383 Pfizer, Inc. 91,898 2,380,158 Merck & Co., Inc.+ 37,245 1,623,882 Amgen, Inc.*+ 20,748 1,417,296 Genentech, Inc.*+ 17,188 1,394,462 Medtronic, Inc.+ 23,084 1,235,225 Abbott Laboratories 23,927 1,165,484 UnitedHealth Group, Inc. 21,599 1,160,514 Eli Lilly & Co. 21,824 1,137,030 Wyeth 21,467 1,093,100 Bristol-Myers Squibb Co. 33,122 871,771 WellPoint, Inc.* 10,433 820,973 Gilead Sciences, Inc.* 11,165 724,943 Cardinal Health, Inc. 10,432 672,134 Schering-Plough Corp. 26,554 627,737 Baxter International, Inc. 11,754 545,268 Biogen Idec, Inc.*+ 10,692 525,939 Becton, Dickinson & Co. 7,420 520,513 Boston Scientific Corp.* 27,980 480,696 McKesson Corp. 9,431 478,152 Aetna, Inc. 10,324 445,790 Caremark Rx, Inc. 7,783 444,487 Thermo Fisher Scientific, Inc.* 9,774 442,664 Stryker Corp.+ 7,705 424,622 Celgene Corp.*+ 7,075 407,025 Zimmer Holdings, Inc.*+ 4,695 367,994 AmerisourceBergen Corp.+ 8,036 361,299 C.R. Bard, Inc. 4,309 357,518 St. Jude Medical, Inc.* 9,506 347,539 Allergan, Inc.+ 2,876 344,372 Applera Corp. - Applied Biosystems Group+ 8,556 313,920 Forest Laboratories, Inc.*+ 5,892 298,135 Varian Medical Systems, Inc.* 6,131 291,652 Genzyme Corp.* 4,720 290,658 IMS Health, Inc. 10,265 282,082 CIGNA Corp. 2,137 281,165 Medco Health Solutions, Inc.* 5,228 279,384 Waters Corp.* 5,564 272,469 Patterson Cos., Inc.*+ 7,527 267,284 Vertex Pharmaceuticals, Inc.* 6,893 257,936 DENTSPLY International, Inc. 8,606 256,889 Omnicare, Inc.+ 6,632 256,194 Cephalon, Inc.*+ 3,638 256,152 Amylin Pharmaceuticals, Inc.*+ 6,866 247,657 Henry Schein, Inc.* 5,004 245,096 Millipore Corp.* 3,501 233,167 Pharmaceutical Product Development, Inc.+ 7,235 233,112 Triad Hospitals, Inc.* 5,542 231,822 Covance, Inc.*+ 3,903 229,926 Hillenbrand Industries, Inc. 4,020 228,859 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Cerner Corp.*+ 4,998 $ 227,409 Dade Behring Holdings, Inc. 5,701 226,957 Intuitive Surgical, Inc.*+ 2,353 225,653 Endo Pharmaceuticals Holdings, Inc.* 8,157 224,970 Manor Care, Inc.+ 4,659 218,600 Universal Health Services, Inc. -- Class B 3,821 211,798 Invitrogen Corp.* 3,736 211,420 Watson Pharmaceuticals, Inc.* 7,870 204,856 Hologic, Inc.*+ 4,299 203,257 Biomet, Inc. 4,791 197,725 Idexx Laboratories, Inc.* 2,476 196,347 PDL BioPharma, Inc.*+ 9,688 195,116 ImClone Systems, Inc.*+ 7,130 190,799 Medicis Pharmaceutical Corp. -- Class A+ 5,230 183,730 Mentor Corp.+ 3,692 180,428 Cooper Cos., Inc.+ 4,044 179,958 Advanced Medical Optics, Inc.*+ 5,107 179,766 Quest Diagnostics, Inc. 3,348 177,444 Express Scripts, Inc.*+ 2,463 176,351 Affymetrix, Inc.* 7,460 172,028 Health Management Associates, Inc. -- Class A+ 8,146 171,962 Sunrise Senior Living, Inc.* 5,547 170,404 MGI Pharma, Inc.* 9,192 169,225 Laboratory Corporation of America Holdings*+ 2,299 168,907 Valeant Pharmaceuticals International+ 9,760 168,262 Varian, Inc.* 3,642 163,125 Haemonetics Corp.* 3,520 158,470 Regeneron Pharmaceuticals, Inc.*+ 7,810 156,747 Centene Corp.*+ 6,272 154,103 Dionex Corp.* 2,710 153,684 ArthroCare Corp.*+ 3,755 149,900 Humana, Inc.* 2,674 147,899 Viasys Healthcare, Inc.*+ 5,287 147,084 Genesis HealthCare Corp.* 3,077 145,327 Biosite, Inc.*+ 2,954 144,303 Brookdale Senior Living, Inc.+ 2,950 141,600 Martek Biosciences Corp.*+ 6,014 140,367 LCA-Vision, Inc.+ 4,063 139,605 Conmed Corp.*+ 5,960 137,795 Medimmune, Inc.*+ 4,244 137,378 Matria Healthcare, Inc.* 4,780 137,329 Vital Signs, Inc. 2,745 137,030 Cambrex Corp.+ 5,969 135,616 King Pharmaceuticals, Inc.* 8,477 134,954 SurModics, Inc.*+ 4,283 133,287 ICU Medical, Inc.*+ 3,257 132,495 Coventry Health Care, Inc.* 2,644 132,332 Cyberonics, Inc.*+ 6,396 132,013 See Notes to Financial Statements. 156 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- HEALTH CARE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Kendle International, Inc.* 4,182 $ 131,524 Emdeon Corp.* 10,479 129,835 Enzo Biochem, Inc.*+ 9,040 129,001 Odyssey HealthCare, Inc.* 9,703 128,662 WebMD Health Corp.*+ 3,099 124,022 Sepracor, Inc.*+ 1,927 118,665 RehabCare Group, Inc.* 7,980 118,503 Tenet Healthcare Corp.*+ 16,664 116,148 Mylan Laboratories, Inc.+ 4,728 94,371 DaVita, Inc.*+ 1,495 85,036 Health Net, Inc.* 1,744 84,863 Abraxis BioScience, Inc.* 2,971 81,227 Barr Pharmaceuticals, Inc.*+ 1,431 71,722 Perrigo Co.+ 4,124 71,345 Hospira, Inc.* 1,946 65,347 ResMed, Inc.*+ 852 41,935 Lincare Holdings, Inc.* 935 37,250 Pediatrix Medical Group, Inc.* 710 34,719 Millennium Pharmaceuticals, Inc.* 3,092 33,703 Beckman Coulter, Inc.+ 560 33,488 Meridian Bioscience, Inc.+ 1,354 33,214 Community Health Systems, Inc.* 654 23,884 Cytyc Corp.*+ 747 21,140 Arqule, Inc.* 2,918 17,275 Hooper Holmes, Inc.* 4,853 16,063 Kinetic Concepts, Inc.*+ 361 14,278 CryoLife, Inc.* 1,840 14,076 WellCare Health Plans, Inc.* 183 12,609 Charles River Laboratories International, Inc.*+ 278 12,023 Bausch & Lomb, Inc. 208 10,828 PerkinElmer, Inc. 450 10,003 Theragenics Corp.* 2,971 9,210 Osteotech, Inc.* 1,593 9,000 Gen-Probe, Inc.* 120 6,284 Edwards Lifesciences Corp.*+ 130 6,115 Respironics, Inc.*+ 120 4,530 VCA Antech, Inc.* 120 3,863 ------------- TOTAL COMMON STOCKS (Cost $34,375,648) 40,660,105 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.8% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 330,336 $ 330,336 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $330,336) 330,336 ------------- SECURITIES LENDING COLLATERAL 18.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 7,484,164 7,484,164 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $7,484,164) 7,484,164 ------------- TOTAL INVESTMENTS 118.7% (Cost $42,190,148) $ 48,474,605 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (18.7)% $ (7,649,348) ============= NET ASSETS - 100.0% $ 40,825,257 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 157 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- INTERNET FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.9% Cisco Systems, Inc.*+ 34,859 $ 952,697 Google, Inc. -- Class A* 1,584 729,400 Time Warner, Inc.+ 31,627 688,836 Qualcomm, Inc. 14,434 545,461 eBay, Inc.* 15,132 455,019 Yahoo!, Inc.*+ 15,833 404,375 Research In Motion, Ltd.*+ 2,868 366,473 Sun Microsystems, Inc.*+ 57,023 309,065 Amazon.com, Inc.*+ 7,731 305,065 Symantec Corp.*+ 14,607 304,556 Broadcom Corp. -- Class A*+ 8,414 271,856 Qwest Communications International, Inc.*+ 31,654 264,944 IAC/InterActiveCorp*+ 6,599 245,219 Juniper Networks, Inc.*+ 12,259 232,186 Intuit, Inc.* 7,026 214,363 E*Trade Financial Corp.* 9,052 202,946 Monster Worldwide, Inc.*+ 3,956 184,508 VeriSign, Inc.*+ 7,426 178,595 Check Point Software Technologies Ltd.*+ 7,570 165,934 McAfee, Inc.* 5,474 155,352 Red Hat, Inc.*+ 6,442 148,166 F5 Networks, Inc.*+ 1,864 138,327 BEA Systems, Inc.* 10,878 136,845 Emdeon Corp.* 10,396 128,806 CheckFree Corp.*+ 3,133 125,821 Foundry Networks, Inc.* 7,127 106,763 Digital River, Inc.*+ 1,888 105,332 Ciena Corp.*+ 3,772 104,522 TIBCO Software, Inc.* 10,319 97,411 Priceline.com, Inc.*+ 2,231 97,294 Netflix, Inc.*+ 3,698 95,630 aQuantive, Inc.*+ 3,871 95,459 RealNetworks, Inc.*+ 8,326 91,086 Digital Insight Corp.*+ 2,299 88,489 WebEx Communications, Inc.*+ 2,386 83,248 Palm, Inc.*+ 5,716 80,538 j2 Global Communications, Inc.*+ 2,893 78,834 CNET Networks, Inc.*+ 8,474 77,029 Websense, Inc.* 3,168 72,325 United Online, Inc.+ 4,941 65,617 EarthLink, Inc.* 9,075 64,433 S1 Corp.* 8,406 46,317 webMethods, Inc.* 5,764 42,423 NetBank, Inc. 5,925 27,492 ------------- TOTAL COMMON STOCKS (Cost $7,055,448) 9,375,057 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 57,957 $ 57,957 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $57,957) 57,957 ------------- SECURITIES LENDING COLLATERAL 39.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 3,692,757 3,692,757 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $3,692,757) 3,692,757 ------------- TOTAL INVESTMENTS 139.9% (Cost $10,806,162) $ 13,125,771 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (39.9)% $ (3,745,216) ============= NET ASSETS - 100.0% $ 9,380,555 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 158 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- LEISURE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Time Warner, Inc.+ 97,026 $ 2,113,226 Walt Disney Co.+ 54,036 1,851,814 McDonald's Corp. 36,796 1,631,167 News Corp. -- Class A+ 69,068 1,483,581 Las Vegas Sands Corp.*+ 14,877 1,331,194 Carnival Corp.+ 23,990 1,176,709 Viacom, Inc. -- Class B* 27,440 1,125,863 Starbucks Corp.*+ 30,966 1,096,816 Marriott International, Inc. -- Class A+ 21,130 1,008,324 MGM Mirage, Inc.* 17,504 1,003,854 Harrah's Entertainment, Inc. 11,019 911,492 Yum! Brands, Inc. 14,905 876,414 International Game Technology, Inc.+ 18,686 863,293 Hilton Hotels Corp.+ 24,457 853,549 Starwood Hotels & Resorts Worldwide, Inc. 12,861 803,812 Electronic Arts, Inc.* 15,313 771,163 Wynn Resorts Ltd.+ 8,029 753,522 Mattel, Inc. 28,784 652,245 Eastman Kodak Co.+ 23,525 606,945 Wyndham Worldwide Corp.* 17,490 560,030 Station Casinos, Inc. 6,690 546,372 Tim Hortons, Inc. 17,710 512,882 Darden Restaurants, Inc.+ 12,219 490,837 Activision, Inc.*+ 28,320 488,237 Hasbro, Inc. 17,523 477,502 Boyd Gaming Corp. 9,880 447,663 Brinker International, Inc. 14,080 424,653 Penn National Gaming, Inc.* 10,120 421,194 CTC Media, Inc.* 17,030 408,890 Burger King Holdings, Inc.* 18,860 397,946 OSI Restaurant Partners, Inc. 10,097 395,802 Brunswick Corp.+ 11,360 362,384 Warner Music Group Corp. 15,630 358,708 Choice Hotels International, Inc. 8,394 353,387 Scientific Games Corp. -- Class A*+ 11,170 337,669 Jack in the Box, Inc.* 5,415 330,532 THQ, Inc.*+ 9,784 318,176 Sonic Corp.* 12,810 306,799 Applebee's International, Inc.+ 12,260 302,454 Polaris Industries, Inc.+ 6,422 300,742 Pool Corp.+ 7,650 299,650 Aztar Corp.* 5,460 297,133 Wendy's International, Inc. 8,747 289,438 Pinnacle Entertainment, Inc.* 8,609 285,302 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- DreamWorks Animation SKG, Inc. -- Class A* 9,560 $ 281,924 Cheesecake Factory, Inc.*+ 11,240 276,504 CEC Entertainment, Inc.* 6,650 267,662 International Speedway Corp. -- Class A 5,190 264,898 Live Nation, Inc.*+ 11,800 264,320 Triarc Cos., Inc. -- Class B 13,200 264,000 Panera Bread Co. -- Class A*+ 4,720 263,895 Take-Two Interactive Software, Inc.*+ 14,740 261,782 Regal Entertainment Group -- Class A 12,230 260,744 Ruby Tuesday, Inc. 9,470 259,857 CBRL Group, Inc. 5,750 257,370 Bob Evans Farms, Inc. 7,100 242,962 WMS Industries, Inc.*+ 6,770 236,002 Rare Hospitality International, Inc.*+ 6,950 228,864 RC2 Corp.* 5,190 228,360 Callaway Golf Co.+ 15,510 223,499 P.F. Chang's China Bistro, Inc.*+ 5,660 217,231 IHOP Corp.+ 4,100 216,070 Shuffle Master, Inc.*+ 7,490 196,238 Jakks Pacific, Inc.*+ 8,194 178,957 Papa John's International, Inc.*+ 6,074 176,207 K2, Inc.* 13,210 174,240 Landry's Restaurants, Inc.+ 5,640 169,708 Marcus Corp. 6,250 159,875 O'Charleys, Inc.* 7,285 155,025 Steak n Shake Co.* 8,507 149,723 MarineMax, Inc.*+ 5,550 143,912 Nautilus, Inc.+ 10,180 142,520 Red Robin Gourmet Burgers, Inc.*+ 3,940 141,249 Multimedia Games, Inc.*+ 11,460 110,016 Sturm Ruger & Co., Inc.* 11,270 108,192 4Kids Entertainment, Inc.* 5,864 106,842 Arctic Cat, Inc.+ 5,720 100,615 Bally Total Fitness Holding Corp.*+ 34,370 84,207 Napster, Inc.* 21,293 77,294 ------------- TOTAL COMMON STOCKS (Cost $30,679,700) 37,520,129 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.5% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 203,962 203,962 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $203,962) 203,962 ------------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 159 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- LEISURE FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 27.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) $ 10,208,573 $ 10,208,573 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $10,208,573) 10,208,573 ------------- TOTAL INVESTMENTS 127.1% (Cost $41,092,235) $ 47,932,664 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (27.1)% $ (10,233,690) ============= NET ASSETS - 100.0% $ 37,698,974 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 160 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- PRECIOUS METALS FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Goldcorp, Inc. 321,236 $ 9,135,952 Newmont Mining Corp.+ 140,778 6,356,127 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 92,658 5,163,830 Barrick Gold Corp.+ 125,043 3,838,820 Agnico-Eagle Mines Ltd.+ 88,393 3,645,327 AngloGold Ashanti Ltd. -- SP ADR 66,220 3,118,300 Yamana Gold, Inc.+ 181,131 2,387,307 Gold Fields Ltd. -- SP ADR+ 124,398 2,348,634 Pan American Silver Corp.*+ 83,033 2,089,941 Coeur d'Alene Mines Corp.*+ 412,163 2,040,207 Harmony Gold Mining Co. Ltd. -- SP ADR*+ 126,178 1,987,303 Meridian Gold, Inc.* 71,433 1,985,123 Bema Gold Corp.*+ 374,166 1,964,371 Silver Standard Resources, Inc.*+ 57,108 1,755,500 Kinross Gold Corp.*+ 134,543 1,598,371 Novagold Resources, Inc.*+ 86,642 1,486,777 Silver Wheaton Corp.*+ 140,064 1,467,871 Cia de Minas Buenaventura SA -- SP ADR 48,615 1,364,137 Royal Gold, Inc.+ 37,756 1,358,461 Stillwater Mining Co.* 104,407 1,304,043 Hecla Mining Co.*+ 168,722 1,292,410 Northgate Minerals Corp*+ 336,485 1,170,968 Randgold Resources Ltd. -- SP ADR* 44,937 1,054,222 Crystallex International Corp.* 280,442 1,015,200 Apex Silver Mines Ltd.*+ 54,864 871,789 Golden Star Resources Ltd.*+ 290,902 858,161 ------------- TOTAL COMMON STOCKS (Cost $38,284,038) 62,659,152 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 354,314 $ 354,314 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $354,314) 354,314 ------------- SECURITIES LENDING COLLATERAL 39.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 24,714,825 24,714,825 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $24,714,825) 24,714,825 ------------- TOTAL INVESTMENTS 139.5% (Cost $63,353,177) $ 87,728,291 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (39.5)% $ (24,818,252) ============= NET ASSETS - 100.0% $ 62,910,039 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 161 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- REAL ESTATE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Simon Property Group, Inc.+ 21,186 $ 2,145,930 Equity Office Properties Trust+ 40,264 1,939,517 Vornado Realty Trust+ 15,451 1,877,297 Public Storage, Inc. 18,934 1,846,065 ProLogis+ 28,118 1,708,731 Equity Residential+ 32,548 1,651,811 Boston Properties, Inc.+ 14,315 1,601,562 General Growth Properties, Inc.+ 30,508 1,593,433 Host Hotels & Resorts, Inc.+ 64,694 1,588,238 Archstone-Smith Trust+ 26,912 1,566,548 KIMCO Realty Corp.+ 34,511 1,551,269 AvalonBay Communities, Inc.+ 10,625 1,381,781 Realogy Corp.* 45,100 1,367,432 CB Richard Ellis Group, Inc. -- Class A*+ 40,912 1,358,278 Plum Creek Timber Co., Inc. (REIT) 31,121 1,240,172 Developers Diversified Realty Corp.+ 19,076 1,200,834 SL Green Realty Corp.+ 8,690 1,153,858 Macerich Co.+ 13,159 1,139,175 iStar Financial, Inc. 22,414 1,071,838 Regency Centers Corp.+ 13,577 1,061,314 Duke Realty Corp.+ 25,850 1,057,265 Health Care Property Investors, Inc.+ 28,532 1,050,548 Health Care REIT, Inc.+ 23,704 1,019,746 Apartment Investment & Management Co. -- Class A+ 18,171 1,017,939 AMB Property Corp. 17,212 1,008,795 Federal Realty Investment Trust+ 11,671 992,035 CapitalSource, Inc.+ 35,410 967,047 Ventas, Inc.+ 22,268 942,382 Forest City Enterprises, Inc. -- Class A+ 16,071 938,546 Liberty Property Trust+ 18,593 913,660 United Dominion Realty Trust, Inc.+ 28,608 909,448 Weingarten Realty Investors 19,549 901,404 Reckson Associates Realty Corp. 18,918 862,661 Camden Property Trust 11,674 862,125 The St. Joe Co.+ 15,760 844,263 Global Signal, Inc. 15,967 840,982 BRE Properties, Inc. -- Class A+ 12,653 822,698 Jones Lang LaSalle, Inc.+ 8,880 818,470 Hospitality Properties Trust 16,975 806,822 Rayonier, Inc. 19,333 793,620 Essex Property Trust, Inc. 5,969 771,493 Alexandria Real Estate Equities, Inc.+ 7,598 762,839 Mack-Cali Realty Corp.+ 14,846 757,146 Taubman Centers, Inc. 14,786 752,016 Brandywine Realty Trust+ 22,570 750,453 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Annaly Mortgage Management, Inc. 52,867 $ 735,380 New Plan Excel Realty Trust+ 26,708 733,936 Realty Income Corp.+ 26,398 731,225 CBL & Associates Properties, Inc.+ 16,824 729,320 Thornburg Mortgage, Inc.+ 28,654 720,075 Nationwide Health Properties, Inc.+ 23,455 708,810 HRPT Properties Trust+ 56,865 702,283 Kilroy Realty Corp. 8,925 696,150 Highwoods Properties, Inc.+ 16,503 672,662 Corporate Office Properties Trust SBI+ 13,176 664,993 First Industrial Realty Trust, Inc.+ 13,694 642,112 Equity One, Inc.+ 23,767 633,628 Colonial Properties Trust 13,298 623,410 Home Properties, Inc.+ 10,311 611,133 Senior Housing Properties Trust+ 24,941 610,556 Potlatch Corp.+ 13,855 607,126 LaSalle Hotel Properties+ 13,077 599,580 Healthcare Realty Trust, Inc.+ 15,144 598,794 Post Properties, Inc.+ 12,941 591,404 Cousins Properties, Inc. 16,538 583,295 Crescent Real Estate EQT Co. 29,392 580,492 Entertainment Properties Trust+ 9,905 578,848 Washington Real Estate Investment Trust+ 14,430 577,200 PS Business Parks, Inc. 8,071 570,700 BioMed Realty Trust, Inc.+ 19,880 568,568 Equity Lifestyle Properties, Inc.+ 9,763 531,400 Trustreet Properties, Inc. 31,488 530,573 FelCor Lodging Trust, Inc. 23,894 521,845 National Retail Properties, Inc.+ 22,269 511,074 New Century Financial Corp.+ 16,166 510,684 Sunstone Hotel Investors, Inc.+ 18,960 506,801 Mills Corp.+ 25,018 500,360 Inland Real Estate Corp. 26,646 498,813 Eastgroup Properties, Inc.+ 9,294 497,787 Digital Realty Trust, Inc. 14,541 497,738 Tanger Factory Outlet Centers, Inc. 12,679 495,495 Pennsylvania Real Estate Investment Trust+ 12,577 495,282 Mid-America Apartment Communities, Inc.+ 8,482 485,510 Lexington Corporate Properties Trust+ 21,426 480,371 Saul Centers, Inc.+ 8,381 462,547 Sovran Self Storage, Inc.+ 7,778 445,524 National Health Investors, Inc. 13,414 442,662 Glimcher Realty Trust+ 16,563 442,398 Equity Inns, Inc.+ 25,191 402,048 Highland Hospitality Corp. 27,990 398,858 Parkway Properties, Inc.+ 7,510 383,085 Acadia Realty Trust 15,101 377,827 See Notes to Financial Statements. 162 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- REAL ESTATE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Ramco-Gershenson Properties Trust 9,738 $ 371,407 LTC Properties, Inc. 13,325 363,906 First Potomac Realty Trust+ 12,050 350,776 Innkeepers USA Trust+ 22,562 349,711 Sun Communities, Inc.+ 10,154 328,583 Kite Realty Group Trust 17,632 328,308 Cedar Shopping Centers, Inc. 19,819 315,320 Universal Health Realty Income Trust 7,763 302,602 Winston Hotels, Inc. 20,846 276,210 Urstadt Biddle Properties, Inc. 13,783 263,117 CentraCore Properties Trust 7,990 258,317 American Land Lease, Inc. 7,739 205,161 Associated Estates Realty Corp. 14,257 195,891 Monmouth Real Estate Investment Corp. -- Class A 21,852 184,649 ------------- TOTAL COMMON STOCKS (Cost $63,642,325) 82,793,806 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.2% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 153,866 153,866 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $153,866) 153,866 ------------- SECURITIES LENDING COLLATERAL 31.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 26,298,248 26,298,248 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $26,298,248) 26,298,248 ------------- TOTAL INVESTMENTS 131.3% (Cost $90,094,439) $ 109,245,920 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (31.3)% $ (26,065,185) ============= NET ASSETS - 100.0% $ 83,180,735 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 163 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- RETAILING FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.4% Wal-Mart Stores, Inc. 35,526 $ 1,640,591 Home Depot, Inc. 29,119 1,169,419 Lowe's Cos., Inc.+ 28,466 886,716 Target Corp.+ 15,303 873,036 Walgreen Co.+ 18,380 843,458 Sears Holdings Corp.*+ 3,832 643,508 Costco Wholesale Corp.+ 11,818 624,818 CVS Corp.+ 19,658 607,629 Kohl's Corp.*+ 8,734 597,668 Best Buy Co., Inc.+ 11,580 569,620 Staples, Inc. 21,034 561,608 Amazon.com, Inc.*+ 13,892 548,178 J.C. Penney Co., Inc.+ 7,034 544,150 Federated Department Stores, Inc. 13,786 525,660 The Gap, Inc.+ 25,735 501,833 Liberty Media Corp - Interactive* 22,330 481,658 Nordstrom, Inc.+ 9,600 473,664 IAC/InterActiveCorp*+ 12,014 446,440 TJX Cos., Inc.+ 15,545 443,343 Limited Brands, Inc. 14,999 434,071 Bed Bath & Beyond, Inc.*+ 10,585 403,289 Office Depot, Inc.* 10,325 394,105 Sherwin-Williams Co.+ 6,090 387,202 AutoZone, Inc.*+ 3,235 373,837 Genuine Parts Co. 7,660 363,314 Expedia, Inc.* 17,235 361,590 CarMax, Inc.* 6,250 335,188 American Eagle Outfitters, Inc.+ 10,664 332,823 Tiffany & Co.+ 7,810 306,464 Abercrombie & Fitch Co. -- Class A+ 4,396 306,094 Dollar General Corp.+ 18,310 294,059 Urban Outfitters, Inc.*+ 11,854 272,998 Ross Stores, Inc. 9,018 264,227 AutoNation, Inc.*+ 12,228 260,701 Family Dollar Stores, Inc. 8,850 259,571 OfficeMax, Inc. 5,160 256,194 Petsmart, Inc. 8,786 253,564 Advance Auto Parts, Inc. 6,995 248,742 Rite Aid Corp.*+ 42,484 231,113 O'Reilly Automotive, Inc.*+ 7,158 229,485 Claire's Stores, Inc.+ 6,901 228,699 Chico's FAS, Inc.*+ 11,042 228,459 Williams-Sonoma, Inc.+ 7,211 226,714 Dollar Tree Stores, Inc.*+ 7,111 214,041 GameStop Corp. -- Class A*+ 3,870 213,276 Foot Locker, Inc. 9,680 212,282 Big Lots, Inc.*+ 9,150 209,718 Dillard's, Inc. -- Class A+ 5,940 207,722 Payless Shoesource, Inc.* 6,180 202,828 Barnes & Noble, Inc. 5,051 200,575 Saks, Inc.+ 11,030 196,555 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Circuit City Stores, Inc.+ 10,085 $ 191,413 Nutri/System, Inc.*+ 2,946 186,747 United Auto Group, Inc. 7,820 184,317 BJ's Wholesale Club, Inc.* 5,810 180,749 Men's Wearhouse, Inc.+ 4,680 179,057 Rent-A-Center, Inc.* 5,952 175,644 RadioShack Corp.+ 10,400 174,512 Dick's Sporting Goods, Inc.*+ 3,560 174,404 Coldwater Creek, Inc.*+ 6,974 171,002 Children's Place Retail Stores, Inc.*+ 2,642 167,820 AnnTaylor Stores Corp.* 5,042 165,579 Aeropostale, Inc.* 5,271 162,716 Pacific Sunwear of California, Inc.* 8,131 159,205 Tractor Supply Co.*+ 3,464 154,875 Borders Group, Inc.+ 6,886 153,902 Aaron Rents, Inc.+ 5,330 153,397 Charming Shoppes, Inc.* 11,150 150,860 Longs Drug Stores Corp. 3,522 149,262 Dress Barn, Inc.*+ 6,376 148,752 Zale Corp.* 5,200 146,692 Tween Brands, Inc.* 3,570 142,550 Guitar Center, Inc.*+ 3,066 139,380 Group 1 Automotive, Inc. 2,680 138,610 Hibbett Sporting Goods, Inc.* 4,260 130,058 Gymboree Corp.* 3,350 127,836 Sonic Automotive, Inc.+ 4,337 125,946 Jo-Ann Stores, Inc.*+ 4,823 118,646 PEP Boys-Manny Moe & Jack 7,946 118,078 99 Cents Only Stores*+ 9,620 117,075 Genesco, Inc.* 3,070 114,511 Stage Stores, Inc. 3,600 109,404 Tuesday Morning Corp. 6,786 105,522 Select Comfort Corp.*+ 5,942 103,331 Cato Corp. -- Class A+ 4,461 102,202 Building Material Holding Corp. 4,066 100,390 Finish Line, Inc. -- Class A 6,974 99,589 HOT Topic, Inc.* 7,462 99,543 Jos. A. Bank Clothiers, Inc.*+ 3,008 88,285 Stein Mart, Inc. 6,374 84,519 Fred's, Inc. 6,769 81,499 Keystone Automotive Industries, Inc.*+ 2,360 80,216 Christopher & Banks Corp. 4,270 79,678 Pier 1 Imports, Inc.+ 13,066 77,743 PetMed Express, Inc.* 5,818 77,670 Midas, Inc.* 3,350 77,050 Stamps.com, Inc.* 4,356 68,607 Audiovox Corp. -- Class A* 4,804 67,688 Haverty Furniture Cos., Inc. 4,258 63,018 Cost Plus, Inc.*+ 5,026 51,768 Hancock Fabrics, Inc.*+ 10,179 35,016 ------------- TOTAL COMMON STOCKS (Cost $22,557,225) 28,148,830 ------------- See Notes to Financial Statements. 164 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- RETAILING FUND -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.7% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 187,593 $ 187,593 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $187,593) 187,593 ------------- SECURITIES LENDING COLLATERAL 25.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 7,275,886 7,275,886 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $7,275,886) 7,275,886 ------------- TOTAL INVESTMENTS 125.8% (Cost $30,020,704) $ 35,612,309 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (25.8)% $ (7,305,939) ============= NET ASSETS - 100.0% $ 28,306,370 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 165 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- TECHNOLOGY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 99.5% Microsoft Corp. 21,788 $ 650,590 Cisco Systems, Inc.* 18,115 495,083 Google, Inc. -- Class A* 1,075 495,016 International Business Machines Corp. 4,973 483,127 Intel Corp.* 23,365 473,141 Apple Computer, Inc.*+ 5,015 425,473 Oracle Corp.* 24,411 418,405 Hewlett-Packard Co. 9,346 384,962 Dell, Inc.*+ 14,592 366,113 Qualcomm, Inc. 9,605 362,973 eBay, Inc.* 10,630 319,644 Motorola, Inc.+ 15,015 308,708 Texas Instruments, Inc. 10,326 297,389 Yahoo!, Inc.*+ 11,391 290,926 Corning, Inc.* 12,918 241,696 Electronic Arts, Inc.* 4,176 210,303 First Data Corp.+ 7,797 198,979 Cognizant Technology Solutions Corp. -- Class A* 2,526 194,906 KLA-Tencor Corp.+ 3,896 193,826 Paychex, Inc.+ 4,776 188,843 Computer Sciences Corp.* 3,501 186,848 Intuit, Inc.* 6,120 186,721 Broadcom Corp. -- Class A* 5,717 184,716 MEMC Electronic Materials, Inc.* 4,667 182,666 Linear Technology Corp. 5,917 179,403 Sun Microsystems, Inc.*+ 33,098 179,391 Xilinx, Inc.+ 7,502 178,623 NCR Corp.* 4,127 176,471 Fidelity National Information Services, Inc. 4,393 176,115 Juniper Networks, Inc.*+ 9,145 173,206 EMC Corp.* 13,047 172,220 National Semiconductor Corp.+ 7,385 167,639 Microchip Technology, Inc.+ 5,101 166,803 VeriSign, Inc.*+ 6,895 165,825 Applied Materials, Inc.+ 8,975 165,589 SanDisk Corp.*+ 3,846 165,493 Xerox Corp.* 9,489 160,839 Automatic Data Processing, Inc.+ 3,218 158,486 MasterCard, Inc.+ 1,590 156,599 Akamai Technologies, Inc.*+ 2,940 156,173 Amphenol Corp. -- Class A+ 2,475 153,648 Cadence Design Systems, Inc.*+ 8,529 152,754 Adobe Systems, Inc.* 3,658 150,417 Affiliated Computer Services, Inc. -- Class A* 3,078 150,330 Western Digital Corp.* 7,317 149,706 Iron Mountain, Inc.* 3,603 148,948 Jabil Circuit, Inc. 5,919 145,311 Salesforce.com, Inc.*+ 3,870 141,061 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Micron Technology, Inc.*+ 10,025 $ 139,949 Citrix Systems, Inc.*+ 5,057 136,792 McAfee, Inc.* 4,721 133,982 BEA Systems, Inc.* 10,606 133,423 Intersil Corp. -- Class A 5,444 130,220 International Rectifier Corp.*+ 3,363 129,576 Integrated Device Technology, Inc.* 8,297 128,438 MoneyGram International, Inc.+ 4,066 127,510 Symantec Corp.*+ 6,020 125,517 Tektronix, Inc. 4,195 122,368 Cypress Semiconductor Corp.*+ 7,207 121,582 Molex, Inc.+ 3,828 121,080 THQ, Inc.*+ 3,711 120,682 Zebra Technologies Corp. -- Class A*+ 3,463 120,478 National Instruments Corp.+ 4,365 118,903 AVX Corp.+ 7,985 118,098 Tech Data Corp.* 3,101 117,435 Alliance Data Systems Corp.*+ 1,879 117,381 Hyperion Solutions Corp.* 3,263 117,272 Parametric Technology Corp.*+ 6,488 116,914 Anixter International, Inc.*+ 2,140 116,202 Activision, Inc.*+ 6,642 114,508 Novell, Inc.* 18,170 112,654 CACI International, Inc. -- Class A* 1,990 112,435 Nvidia Corp.*+ 3,018 111,696 Maxim Integrated Products, Inc. 3,646 111,641 Ansys, Inc.*+ 2,540 110,465 Avid Technology, Inc.*+ 2,920 108,799 Cymer, Inc.*+ 2,470 108,556 Benchmark Electronics, Inc.*+ 4,400 107,184 WebEx Communications, Inc.*+ 3,060 106,763 MPS Group, Inc.*+ 7,399 104,918 Electronic Data Systems Corp.+ 3,801 104,718 CSG Systems International, Inc.* 3,887 103,900 Komag, Inc.* 2,740 103,791 Network Appliance, Inc.* 2,607 102,403 ATMI, Inc.* 3,340 101,970 Websense, Inc.* 4,462 101,867 Agilent Technologies, Inc.*+ 2,894 100,856 Lam Research Corp.*+ 1,986 100,531 SRA International, Inc. -- Class A*+ 3,720 99,473 Advent Software, Inc.*+ 2,800 98,812 Alcatel-Lucent SA -- SP ADR+ 6,919 98,388 Rogers Corp.* 1,650 97,598 Coherent, Inc.* 3,070 96,920 Microsemi Corp.* 4,930 96,875 Bankrate, Inc.*+ 2,540 96,393 Quality Systems, Inc. 2,580 96,157 Insight Enterprises, Inc.* 5,040 95,105 Technitrol, Inc. 3,940 94,127 Scansource, Inc.*+ 3,080 93,632 Black Box Corp. 2,180 91,538 See Notes to Financial Statements. 166 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- TECHNOLOGY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Rambus, Inc.*+ 4,830 $ 91,432 Open Solutions, Inc.* 2,420 91,089 Advanced Micro Devices, Inc.*+ 4,446 90,476 PMC - Sierra, Inc.*+ 13,410 89,981 Standard Microsystems Corp.* 3,190 89,256 Analog Devices, Inc.+ 2,669 87,730 Supertex, Inc.*+ 2,230 87,528 DST Systems, Inc.*+ 1,382 86,555 Veeco Instruments, Inc.*+ 4,610 86,345 Exar Corp.* 6,610 85,930 Mettler Toledo International, Inc.* 1,089 85,868 Park Electrochemical Corp. 3,341 85,697 JDS Uniphase Corp.*+ 5,133 85,516 Electro Scientific Industries, Inc.*+ 4,246 85,514 CA, Inc.+ 3,748 84,892 Kulicke & Soffa Industries, Inc.* 10,046 84,386 Gartner, Inc. -- Class A*+ 4,254 84,187 Axcelis Technologies, Inc.*+ 14,298 83,357 Pericom Semiconductor Corp.* 7,260 83,272 Symbol Technologies, Inc. 5,410 80,825 Fair Isaac Corp. 1,985 80,690 Radisys Corp.* 4,792 79,883 Gerber Scientific, Inc.* 6,268 78,726 Ingram Micro, Inc. -- Class A* 3,839 78,354 Wind River Systems, Inc.* 7,580 77,695 PC-Tel, Inc.* 8,221 76,866 Unisys Corp.* 9,719 76,197 Autodesk, Inc.* 1,876 75,903 Compuware Corp.* 8,979 74,795 Micrel, Inc.* 6,830 73,627 Fiserv, Inc.* 1,396 73,178 Verigy Ltd.* 3,860 68,515 j2 Global Communications, Inc.*+ 2,510 68,398 Lexmark International, Inc.* 919 67,271 Solectron Corp.* 20,771 66,883 Bel Fuse, Inc. -- Class B+ 1,905 66,275 CommScope, Inc.*+ 2,134 65,044 Palm, Inc.*+ 4,610 64,955 Diodes, Inc.*+ 1,780 63,154 SYKES Enterprises, Inc.*+ 3,490 61,564 BMC Software, Inc.* 1,855 59,731 Arrow Electronics, Inc.*+ 1,881 59,346 Jack Henry & Associates, Inc.+ 2,629 56,261 Blue Coat Systems, Inc.* 2,340 56,043 Altera Corp.* 2,836 55,812 Avaya, Inc.*+ 3,953 55,263 Daktronics, Inc. 1,490 54,907 Sanmina-SCI Corp.* 14,919 51,471 3Com Corp.* 11,802 48,506 CDW Corp.+ 673 47,325 Spansion, Inc.* 3,150 46,809 Harris Corp. 982 45,035 RF Micro Devices, Inc.*+ 6,560 44,542 VeriFone Holdings, Inc.*+ 1,251 44,285 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Total System Services, Inc.+ 1,634 $ 43,121 Utstarcom, Inc.*+ 4,806 42,053 Tellabs, Inc.* 4,031 41,358 Sabre Holdings Corp. 1,270 40,500 Semtech Corp.* 3,077 40,216 Avocent Corp.*+ 1,180 39,943 United Online, Inc. 2,990 39,707 McData Corp. -- Class A*+ 6,894 38,262 Ditech Networks, Inc.* 5,450 37,714 Agere Systems, Inc.* 1,964 37,650 CheckFree Corp.*+ 910 36,546 Epicor Software Corp.*+ 2,674 36,126 Take-Two Interactive Software, Inc.* 1,990 35,342 Novellus Systems, Inc.*+ 1,024 35,246 Harmonic, Inc.* 4,830 35,114 Methode Electronics, Inc. -- Class A 3,200 34,656 Synopsys, Inc.* 1,296 34,642 Transaction Systems Architects, Inc. -- Class A* 1,060 34,524 Lattice Semiconductor Corp.* 5,309 34,402 Hutchinson Technology, Inc.* 1,450 34,177 Diebold, Inc.+ 724 33,738 Avnet, Inc.*+ 1,305 33,317 Convergys Corp.* 1,393 33,126 Plexus Corp.*+ 1,380 32,954 Powerwave Technologies, Inc.*+ 4,949 31,921 Ceridian Corp.* 1,126 31,505 KEMET Corp.* 4,293 31,339 LSI Logic Corp.*+ 3,466 31,194 Adaptec, Inc.*+ 6,661 31,040 Keane, Inc.*+ 2,574 30,656 Brightpoint, Inc.* 2,254 30,316 Red Hat, Inc.* 1,314 30,222 Brooks Automation, Inc.*+ 2,097 30,197 Triquint Semiconductor, Inc.* 6,657 29,957 F5 Networks, Inc.*+ 400 29,684 NAVTEQ Corp.* 833 29,130 Newport Corp.* 1,310 27,445 Ciber, Inc.* 4,040 27,391 X-Rite, Inc. 2,210 27,183 Comverse Technology, Inc.* 1,223 25,818 Secure Computing Corp.*+ 3,855 25,289 QLogic Corp.* 1,148 25,164 Digi International, Inc.* 1,800 24,822 Plantronics, Inc. 1,130 23,956 Global Payments, Inc. 506 23,428 MapInfo Corp.* 1,787 23,320 Radiant Systems, Inc.* 2,110 22,028 Kopin Corp.* 5,867 20,945 Carreker Corp.* 2,637 20,147 Network Equipment Technologies, Inc.* 3,276 19,066 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 167 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- TECHNOLOGY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Polycom, Inc.*+ 563 $ 17,402 Teradyne, Inc.*+ 1,136 16,995 Napster, Inc.* 4,217 15,308 Planar Systems, Inc.* 1,540 14,892 Factset Research Systems, Inc. 258 14,572 Phoenix Technologies, Ltd.* 3,150 14,175 MIVA, Inc.* 4,063 13,774 Varian Semiconductor Equipment Associates, Inc.* 302 13,747 Trimble Navigation Ltd.* 270 13,697 Macrovision Corp.* 480 13,565 Atmel Corp.* 2,154 13,032 Silicon Laboratories, Inc.*+ 260 9,009 Flir Systems, Inc.* 230 7,321 Ciena Corp.*+ 190 5,265 Acxiom Corp. 147 3,771 BISYS Group, Inc.* 281 3,628 Sybase, Inc.* 120 2,964 DSP Group, Inc.* 129 2,799 Vishay Intertechnology, Inc.* 193 2,613 ------------- TOTAL COMMON STOCKS (Cost $20,179,198) 23,109,850 ------------- FACE AMOUNT ----------- REPURCHASE AGREEMENTS 0.7% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 151,603 151,603 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $151,603) 151,603 ------------- SECURITIES LENDING COLLATERAL 19.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 4,537,454 4,537,454 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,537,454) 4,537,454 ------------- TOTAL INVESTMENTS 119.7% (Cost $24,868,255) $ 27,798,907 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (19.7)% $ (4,583,634) ============= NET ASSETS - 100.0% $ 23,215,273 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. 168 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- TELECOMMUNICATIONS FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 99.7% Cisco Systems, Inc.* 89,402 $ 2,443,357 Vodafone Group, Inc.+ 83,377 2,316,213 AT&T, Inc.+ 59,999 2,144,964 Verizon Communications, Inc.+ 48,541 1,807,667 BellSouth Corp. 35,805 1,686,774 Nokia OYJ+ 79,214 1,609,628 Alcatel-Lucent SA -- SP ADR+ 106,428 1,513,406 Qualcomm, Inc. 37,036 1,399,590 Sprint Nextel Corp. 71,060 1,342,323 Motorola, Inc.+ 54,380 1,118,053 Alltel Corp. 14,531 878,835 Corning, Inc.* 43,910 821,556 American Tower Corp. -- Class A*+ 18,742 698,702 Qwest Communications International, Inc.*+ 81,194 679,594 Juniper Networks, Inc.*+ 31,430 595,284 NII Holdings, Inc. -- Class B*+ 8,660 558,050 Embarq Corp. 9,642 506,784 Avaya, Inc.*+ 34,722 485,414 Windstream Corp.+ 32,921 468,137 Level 3 Communications, Inc.*+ 81,030 453,768 Harris Corp. 9,536 437,321 Crown Castle International Corp.*+ 13,134 424,228 CenturyTel, Inc.+ 9,413 410,972 Citizens Communications Co.+ 26,278 377,615 Leap Wireless International, Inc. -- Class B* 6,170 366,930 U.S. Cellular Corp.*+ 5,208 362,425 Tellabs, Inc.* 35,113 360,259 Comverse Technology, Inc.*+ 16,865 356,020 F5 Networks, Inc.*+ 4,752 352,646 Telephone & Data Systems, Inc.+ 6,070 329,783 Polycom, Inc.*+ 10,418 322,020 JDS Uniphase Corp.*+ 19,063 317,590 SBA Communications Corp.*+ 11,340 311,850 NeuStar, Inc.* 8,910 289,040 Ciena Corp.*+ 9,673 268,039 Andrew Corp.*+ 22,820 233,449 Avocent Corp.*+ 6,647 225,001 CommScope, Inc.*+ 7,365 224,485 ADC Telecommunications, Inc.* 15,353 223,079 ADTRAN, Inc.+ 9,594 217,784 3Com Corp.* 51,930 213,432 Plantronics, Inc.+ 9,039 191,627 Netgear, Inc.*+ 6,994 183,592 Cincinnati Bell, Inc.* 39,316 179,674 MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- Utstarcom, Inc.*+ 20,274 $ 177,397 General Communication, Inc. -- Class A* 11,064 174,037 ViaSat, Inc.* 5,832 173,852 Comtech Telecommunications Corp.*+ 4,524 172,229 Commonwealth Telephone Enterprises, Inc. 3,912 163,756 Dycom Industries, Inc.*+ 7,550 159,456 Black Box Corp. 3,686 154,775 C-COR, Inc.* 13,000 144,820 Powerwave Technologies, Inc.*+ 21,122 136,237 Inter-Tel, Inc. 6,105 135,287 Harmonic, Inc.* 17,497 127,203 Blue Coat Systems, Inc.* 4,920 117,834 Symmetricom, Inc.* 13,146 117,262 Digi International, Inc.* 7,450 102,736 Bel Fuse, Inc. -- Class B+ 2,915 101,413 Network Equipment Technologies, Inc.* 13,560 78,919 Ditech Networks, Inc.* 11,296 78,168 PC-Tel, Inc.* 7,983 74,641 Tollgrade Communications, Inc.* 6,801 71,887 Idearc, Inc.* 2,337 66,955 ------------- TOTAL COMMON STOCKS (Cost $26,090,184) 33,235,824 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.4% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 140,246 140,246 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $140,246) 140,246 ------------- SECURITIES LENDING COLLATERAL 31.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 10,569,991 10,569,991 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $10,569,991) 10,569,991 ------------- TOTAL INVESTMENTS 131.8% (Cost $36,800,421) $ 43,946,061 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (31.8)% $ (10,608,827) ============= NET ASSETS - 100.0% $ 33,337,234 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 169 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- TRANSPORTATION FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 99.5% United Parcel Service, Inc. -- Class B+ 34,609 $ 2,594,983 FedEx Corp.+ 19,168 2,082,028 Burlington Northern Santa Fe Corp.+ 25,337 1,870,124 Union Pacific Corp. 19,973 1,837,915 Norfolk Southern Corp. 34,982 1,759,245 CSX Corp. 41,950 1,444,339 Southwest Airlines Co.+ 78,402 1,201,119 AMR Corp.*+ 34,627 1,046,774 Expeditors International Washington, Inc. 24,968 1,011,204 UAL Corp.*+ 22,611 994,884 CH Robinson Worldwide, Inc.+ 22,255 910,007 US Airways Group, Inc.* 16,090 866,447 Continental Airlines, Inc. -- Class B*+ 20,285 836,756 JetBlue Airways Corp.*+ 49,738 706,280 Ryder System, Inc.+ 12,497 638,097 J.B. Hunt Transport Services, Inc.+ 30,400 631,408 Laidlaw International, Inc. 19,785 602,058 Kansas City Southern*+ 18,996 550,504 YRC Worldwide, Inc.*+ 14,222 536,596 Swift Transportation Co., Inc.* 20,279 532,729 Con-way, Inc. 11,803 519,804 Kirby Corp.* 14,842 506,557 Landstar System, Inc.+ 13,262 506,343 Alexander & Baldwin, Inc.+ 11,248 498,736 SkyWest, Inc.+ 18,422 469,945 Alaska Air Group, Inc.*+ 11,692 461,834 Knight Transportation, Inc.+ 25,694 438,083 Heartland Express, Inc. 28,596 429,512 HUB Group, Inc. -- Class A*+ 15,320 422,066 AirTran Holdings, Inc.*+ 34,549 405,605 Werner Enterprises, Inc. 23,200 405,536 EGL, Inc.*+ 12,053 358,938 Forward Air Corp.+ 11,089 320,805 Arkansas Best Corp.+ 8,730 314,280 Old Dominion Freight Line, Inc.* 12,720 306,170 Mesa Air Group, Inc.* 24,680 211,508 Frontier Airlines Holdings, Inc.*+ 24,040 177,896 ------------- TOTAL COMMON STOCKS (Cost $21,197,177) 29,407,115 ------------- MARKET FACE VALUE AMOUNT (NOTE 1) ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 170,014 $ 170,014 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $170,014) 170,014 ------------- SECURITIES LENDING COLLATERAL 29.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 8,845,111 8,845,111 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $8,845,111) 8,845,111 ------------- TOTAL INVESTMENTS 130.0% (Cost $30,212,302) $ 38,422,240 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (30.0)% $ (8,873,023) ============= NET ASSETS - 100.0% $ 29,549,217 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 170 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- UTILITIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 99.5% Duke Energy Corp. 72,631 $ 2,412,076 Exelon Corp. 37,494 2,320,504 Dominion Resources, Inc. 24,229 2,031,359 Southern Co.+ 52,238 1,925,493 FPL Group, Inc.+ 33,734 1,835,804 Entergy Corp. 18,344 1,693,518 TXU Corp. 30,608 1,659,260 FirstEnergy Corp.+ 27,381 1,651,074 American Electric Power Co., Inc.+ 37,096 1,579,548 PG&E Corp.+ 32,543 1,540,260 Public Service Enterprise Group, Inc. 22,831 1,515,522 Sempra Energy 25,703 1,440,396 Edison International+ 31,512 1,433,166 AES Corp.* 64,120 1,413,205 PPL Corp. 38,312 1,373,102 Constellation Energy Group, Inc. 19,657 1,353,778 Progress Energy, Inc.+ 26,664 1,308,669 Consolidated Edison, Inc.+ 26,514 1,274,528 Ameren Corp.+ 22,285 1,197,373 Mirant Corp.* 37,290 1,177,245 Xcel Energy, Inc.+ 49,933 1,151,455 DTE Energy Co.+ 23,300 1,127,953 NRG Energy, Inc.*+ 19,505 1,092,475 Allegheny Energy, Inc.* 22,780 1,045,830 Questar Corp. 11,579 961,636 NiSource, Inc.+ 39,863 960,698 KeySpan Corp. 23,229 956,570 Wisconsin Energy Corp. 18,650 885,129 CenterPoint Energy, Inc.+ 52,597 872,058 Equitable Resources, Inc.+ 20,884 871,907 Oneok, Inc. 19,842 855,587 Pinnacle West Capital Corp.+ 16,780 850,578 Pepco Holdings, Inc. 31,636 822,852 MDU Resources Group, Inc.+ 32,028 821,198 Northeast Utilities 28,960 815,514 Reliant Energy, Inc.*+ 56,325 800,378 SCANA Corp. 19,070 774,623 Alliant Energy Corp.+ 20,490 773,907 Sierra Pacific Resources* 44,215 744,139 CMS Energy Corp.* 44,130 736,971 OGE Energy Corp.+ 17,962 718,480 TECO Energy, Inc. 41,187 709,652 Energy East Corp.+ 28,127 697,550 Energen Corp. 14,850 697,059 Dynegy, Inc. -- Class A* 96,009 695,105 NSTAR 20,178 693,316 National Fuel Gas Co.+ 17,020 655,951 Southern Union Co.+ 23,227 649,195 Puget Energy, Inc. 25,480 646,173 AGL Resources, Inc. 16,541 643,610 MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- DPL, Inc.+ 23,141 $ 642,857 UGI Corp. 23,424 639,007 Aqua America, Inc.+ 27,630 629,411 Atmos Energy Corp.+ 19,064 608,332 Great Plains Energy, Inc.+ 18,132 576,598 WPS Resources Corp. 10,545 569,746 Westar Energy, Inc.+ 21,738 564,319 PNM Resources, Inc.+ 17,988 559,427 Vectren Corp.+ 19,086 539,752 Nicor, Inc.+ 11,509 538,621 Hawaiian Electric Industries, Inc.+ 19,566 531,217 Piedmont Natural Gas Co.+ 19,530 522,428 Aquila, Inc.* 104,693 492,057 Peoples Energy Corp.+ 11,010 490,716 Southwest Gas Corp.+ 12,520 480,392 Duquesne Light Holdings, Inc. 23,890 474,217 IDACORP, Inc.+ 12,013 464,302 WGL Holdings, Inc.+ 14,130 460,355 Allete, Inc.+ 9,430 438,872 Unisource Energy Corp.+ 11,642 425,282 Cleco Corp. 16,805 423,990 New Jersey Resources Corp. 8,520 413,902 Black Hills Corp.+ 11,190 413,359 Avista Corp. 16,227 410,705 El Paso Electric Co.* 16,657 405,931 Northwest Natural Gas Co. 9,470 401,907 UIL Holding Corp. 9,180 387,304 South Jersey Industries, Inc. 11,190 373,858 CH Energy Group, Inc. 6,230 328,944 Laclede Group, Inc. 9,232 323,397 ------------- TOTAL COMMON STOCKS (Cost $58,803,876) 71,394,634 ------------- FACE AMOUNT ------------- REPURCHASE AGREEMENTS 0.2% Repurchase Agreement (Note 5) 4.60% due 01/02/07 $ 172,668 172,668 ------------- TOTAL REPURCHASE AGREEMENTS (Cost $172,668) 172,668 ------------- SECURITIES LENDING COLLATERAL 23.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 8) 16,824,478 16,824,478 ------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $16,824,478) 16,824,478 ------------- TOTAL INVESTMENTS 123.2% (Cost $75,801,022) $ 88,391,780 ============= LIABILITIES IN EXCESS OF OTHER ASSETS - (23.2)% $ (16,673,134) ============= NET ASSETS - 100.0% $ 71,718,646 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 171 STATEMENTS OF ASSETS AND LIABILITIES --------------------------------------------------------------------------------
INVERSE INVERSE NOVA S&P 500 OTC OTC FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $149,668,657 $ 16,384,560 $ 90,337,422 $ 19,837,789 Segregated Cash with Broker 4,323,601 870,043 6,536,369 670,475 Cash -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- 25,710 -- 96,598 Receivable for Futures Contracts Settlement (Note 1) -- 23,468 -- -- Receivable for Securities Sold (Note 1) -- -- -- -- Receivable for Fund Shares Sold 426,331 1,838,283 12,824 4,985,110 Investment Income Receivable (Note 1) 172,395 7,561 41,743 7,774 ---------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 154,590,984 19,149,625 96,928,358 25,597,746 ====================================================================================================================== LIABILITIES Payable for Equity Index Swap Settlement (Note 1) 197,544 10,653 88,483 -- Payable for Futures Contracts Settlement (Note 1) 240,053 -- -- 50 Payable upon Return of Securities Loaned (Note 8) 18,387,759 -- 21,014,171 -- Payable for Securities Purchased (Note 1) -- -- -- -- Payable for Fund Shares Redeemed 1,063,027 61,000 2,791,930 1,614,652 Investment Advisory Fees Payable (Note 3) 80,842 13,916 51,836 17,887 Transfer Agent and Administrative Fees Payable (Note 3) 26,947 3,866 17,279 4,969 Distribution and Service Fees Payable (Note 3) 26,947 3,866 17,279 4,969 Portfolio Accounting Fees Payable (Note 3) 10,779 1,546 6,911 1,987 Custody Fees Payable 2,803 402 2,035 688 Other Liabilities 77,603 29,084 67,347 23,921 ---------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 20,114,304 124,333 24,057,271 1,669,123 ====================================================================================================================== NET ASSETS $134,476,680 $ 19,025,292 $ 72,871,087 $ 23,928,623 ====================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $212,247,981 $ 50,049,002 $ 439,951,171 $ 35,775,354 Undistributed Net Investment Income 304,133 114,443 -- 159,000 Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, and Futures Contracts (87,990,636) (31,153,264) (391,155,212) (12,389,323) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, and Futures Contracts 9,915,202 15,111 24,075,128 383,592 ====================================================================================================================== NET ASSETS $134,476,680 $ 19,025,292 $ 72,871,087 $ 23,928,623 ====================================================================================================================== SHARES OUTSTANDING 13,330,100 4,337,265 4,735,087 1,209,272 NET ASSET VALUES $ 10.09 $ 4.39 $ 15.39 $ 19.79
* THE COST OF SECURITIES AT VALUE IS $139,505,430, $16,385,388, $66,223,742, $19,838,242, $36,710,887, $32,309,541, $43,115,263, $4,281,347, $5,106,561, $84,651,313, $9,504,828 AND $48,399,536, RESPECTIVELY. See Notes to Financial Statements. 172 | THE RYDEX VARIABLE TRUST ANNUAL REPORT December 31, 2006 --------------------------------------------------------------------------------
DYNAMIC DYNAMIC MID-CAP INVERSE S&P 500 OTC ADVANTAGE MID-CAP FUND FUND FUND FUND ---------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 41,346,209 $ 37,983,188 $ 45,281,988 $ 4,281,347 Segregated Cash with Broker 1,823,715 26,000 780,300 91,800 Cash -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- 122,421 190,983 23,798 Receivable for Futures Contracts Settlement (Note 1) -- -- -- -- Receivable for Securities Sold (Note 1) 3,807 -- -- -- Receivable for Fund Shares Sold 24,345 919,298 3,994 1,618,277 Investment Income Receivable (Note 1) 40,396 22,648 23,899 1,466 ---------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 43,238,472 39,073,555 46,281,164 6,016,688 ====================================================================================================================== LIABILITIES Payable for Equity Index Swap Settlement (Note 1) 138,418 39,852 -- -- Payable for Futures Contracts Settlement (Note 1) 119 -- 175,037 48,102 Payable upon Return of Securities Loaned (Note 8) 4,400,651 7,320,487 6,282,368 -- Payable for Securities Purchased (Note 1) -- -- -- -- Payable for Fund Shares Redeemed 959,130 1,955,600 757,257 171 Investment Advisory Fees Payable (Note 3) 32,172 31,855 29,861 3,728 Transfer Agent and Administrative Fees Payable (Note 3) 8,937 8,849 8,295 1,036 Distribution and Service Fees Payable (Note 3) 8,937 8,849 8,295 1,036 Portfolio Accounting Fees Payable (Note 3) 3,575 3,539 3,318 414 Custody Fees Payable 929 2,727 863 107 Other Liabilities 22,353 29,185 29,926 3,360 ---------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 5,575,221 9,400,943 7,295,220 57,954 ====================================================================================================================== NET ASSETS $ 37,663,251 $ 29,672,612 $ 38,985,944 $ 5,958,734 ====================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 32,675,493 $ 27,639,555 $ 35,955,325 $ 7,490,869 Undistributed Net Investment Income 95,229 23,380 27,018 31,014 Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, and Futures Contracts 396,494 (3,625,629) 1,184,290 (1,634,425) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, and Futures Contracts 4,496,035 5,635,306 1,819,311 71,276 ====================================================================================================================== NET ASSETS $ 37,663,251 $ 29,672,612 $ 38,985,944 $ 5,958,734 ====================================================================================================================== SHARES OUTSTANDING 1,734,973 1,264,562 1,610,653 161,216 NET ASSET VALUES $ 21.71 $ 23.46 $ 24.20 $ 36.96 GOVERNMENT DYNAMIC RUSSELL 2000(R) INVERSE LONG BOND RUSSELL 2000(R) ADVANTAGE RUSSELL 2000(R) ADVANTAGE FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------ ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 5,164,347 $ 88,954,989 $ 9,504,828 $ 49,599,118 Segregated Cash with Broker 674,800 1,148,640 129,600 608,000 Cash -- 590 -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- 81,020 -- Receivable for Futures Contracts Settlement (Note 1) -- -- 38,400 -- Receivable for Securities Sold (Note 1) -- -- -- 67,838 Receivable for Fund Shares Sold -- 40,206 2,509,017 56,295 Investment Income Receivable (Note 1) 3,469 77,601 3,944 318,166 ------------------------------------------------------------------------------------------------------------------------------ TOTAL ASSETS 5,842,616 90,222,026 12,266,809 50,649,417 ============================================================================================================================== LIABILITIES Payable for Equity Index Swap Settlement (Note 1) 46,894 499,623 -- -- Payable for Futures Contracts Settlement (Note 1) 16,500 205,600 -- 57,000 Payable upon Return of Securities Loaned (Note 8) -- 16,042,381 -- -- Payable for Securities Purchased (Note 1) 990,147 -- -- -- Payable for Fund Shares Redeemed 198,168 208,258 3,014 67,192 Investment Advisory Fees Payable (Note 3) 3,717 64,373 8,694 26,506 Transfer Agent and Administrative Fees Payable (Note 3) 1,032 17,881 2,415 10,602 Distribution and Service Fees Payable (Note 3) 1,032 17,881 2,415 13,253 Portfolio Accounting Fees Payable (Note 3) 413 7,152 966 5,301 Custody Fees Payable 107 1,860 251 1,397 Other Liabilities 816 45,251 11,608 47,976 ------------------------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES 1,258,826 17,110,260 29,363 229,227 ============================================================================================================================== NET ASSETS $ 4,583,790 $ 73,111,766 $ 12,237,446 $ 50,420,190 ============================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 4,547,878 $ 68,744,958 $ 20,158,370 $ 55,735,005 Undistributed Net Investment Income 1,234 78,722 80,213 -- Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, and Futures Contracts 36,123 249,330 (8,085,069) (5,875,264) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, and Futures Contracts (1,445) 4,038,756 83,932 560,449 ============================================================================================================================== NET ASSETS $ 4,583,790 $ 73,111,766 $ 12,237,446 $ 50,420,190 ============================================================================================================================== SHARES OUTSTANDING 176,509 1,777,185 353,602 4,362,711 NET ASSET VALUES $ 25.97 $ 41.14 $ 34.61 $ 11.56
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 173 STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) --------------------------------------------------------------------------------
INVERSE GOVERNMENT EUROPE JAPAN DYNAMIC LONG BOND ADVANTAGE ADVANTAGE DOW FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------ ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 52,487,054 $ 90,106,643 $ 29,745,319 $ 49,003,065 Segregated Cash with Broker 96,663 -- 611,700 776,100 Cash -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- 581,388 296,016 Receivable for Futures Contracts Settlement (Note 1) 8,989 -- -- -- Receivable for Securities Sold (Note 1) -- -- -- -- Receivable for Fund Shares Sold 15,619 26,574 300,452 119,611 Investment Income Receivable (Note 1) 16,052 97,639 11,869 45,907 Other Assets -- -- -- -- ------------------------------------------------------------------------------------------------------------------------ TOTAL ASSETS 52,624,377 90,230,856 31,250,728 50,240,699 ======================================================================================================================== LIABILITIES Short Sales at Market Value** (Notes 1 and 2) 22,573,716 -- -- -- Payable to cover Short Sale 90,428 -- -- -- Payable for Equity Index Swap Settlement (Note 1) -- 293,453 -- -- Payable for Futures Contracts Settlement (Note 1) -- -- 14,125 75,620 Payable upon Return of Securities Loaned (Note 8) -- -- -- 4,136,460 Payable for Securities Purchased (Note 1) -- -- -- -- Payable for Fund Shares Redeemed 251,073 287,922 666,296 591,750 Investment Advisory Fees Payable (Note 3) 18,398 69,855 21,283 32,636 Transfer Agent and Administrative Fees Payable (Note 3) 5,111 19,404 5,912 9,066 Distribution and Service Fees Payable (Note 3) 5,111 19,404 5,912 9,066 Portfolio Accounting Fees Payable (Note 3) 2,044 7,762 2,365 3,626 Custody Fees Payable 531 2,018 654 943 Interest Payable 407,617 -- -- -- Other Liabilities 23,976 40,794 24,491 16,279 ------------------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES 23,378,005 740,612 741,038 4,875,446 ======================================================================================================================== NET ASSETS $ 29,246,372 $ 89,490,244 $ 30,509,690 $ 45,365,253 ======================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 37,122,748 $ 80,335,801 $ 29,955,426 $ 40,821,470 Undistributed Net Investment Income (Loss) 130,300 285,758 444,829 120,775 Accumulated Net Realized Gain (Loss) on Investments, Equity/Currency Index Swaps, and Futures Contracts (8,794,460) 2,871,705 (558,505) 949,068 Net Unrealized Appreciation (Depreciation) on Investments, Equity/Currency Index Swaps, and Futures Contracts 787,784 5,996,980 667,940 3,473,940 ======================================================================================================================== NET ASSETS $ 29,246,372 $ 89,490,244 $ 30,509,690 $ 45,365,253 ======================================================================================================================== SHARES OUTSTANDING 1,357,126 3,023,510 1,124,452 1,686,916 NET ASSET VALUES $ 21.55 $ 29.60 $ 27.13 $ 26.89
* THE COST OF SECURITIES AT VALUE IS $52,487,750, $83,834,812, $29,745,319, $45,983,138, $16,786,620, $36,542,715, $30,687,714, $97,609,177, $27,096,548, $17,589,207, $26,462,527 AND $3,074,820, RESPECTIVELY. ** THE PROCEEDS OF SHORT SALES AT MARKET VALUE ARE $23,234,870, $0, $0, $0, $0, $0, $0, $0, $0, $0, $0 AND $0, RESPECTIVELY. See Notes to Financial Statements. 174 | THE RYDEX VARIABLE TRUST ANNUAL REPORT December 31, 2006 --------------------------------------------------------------------------------
INVERSE DYNAMIC SMALL-CAP MID-CAP LARGE-CAP DOW VALUE VALUE VALUE FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------ ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 16,786,620 $ 39,143,447 $ 32,933,646 $ 103,703,244 Segregated Cash with Broker 148,200 -- -- -- Cash -- -- 1,200 -- Receivable for Equity Index Swap Settlement (Note 1) -- -- -- -- Receivable for Futures Contracts Settlement (Note 1) 14,440 -- -- -- Receivable for Securities Sold (Note 1) -- 717,345 339,823 -- Receivable for Fund Shares Sold 500,917 773,706 2,157,254 1,311,040 Investment Income Receivable (Note 1) 6,661 56,331 25,162 143,663 Other Assets -- -- -- -- ------------------------------------------------------------------------------------------------------------------------ TOTAL ASSETS 17,456,838 40,690,829 35,457,085 105,157,947 ======================================================================================================================== LIABILITIES Short Sales at Market Value** (Notes 1 and 2) -- -- -- -- Payable to cover Short Sale -- -- -- -- Payable for Equity Index Swap Settlement (Note 1) 320,352 -- -- -- Payable for Futures Contracts Settlement (Note 1) -- -- -- -- Payable upon Return of Securities Loaned (Note 8) -- 4,879,062 4,663,653 20,056,352 Payable for Securities Purchased (Note 1) -- 122,258 1,187,683 1,565,823 Payable for Fund Shares Redeemed 51,442 1,513,659 1,301,777 103,043 Investment Advisory Fees Payable (Note 3) 13,688 18,391 17,601 42,383 Transfer Agent and Administrative Fees Payable (Note 3) 3,802 6,130 5,867 14,128 Distribution and Service Fees Payable (Note 3) 3,802 6,130 5,867 14,128 Portfolio Accounting Fees Payable (Note 3) 1,521 2,452 2,347 5,651 Custody Fees Payable 395 708 722 1,469 Interest Payable -- -- -- -- Other Liabilities 8,435 18,519 17,246 32,243 ------------------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES 403,437 6,567,309 7,202,763 21,835,220 ======================================================================================================================== NET ASSETS $ 17,053,401 $ 34,123,520 $ 28,254,322 $ 83,322,727 ======================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 21,370,219 $ 31,463,762 $ 28,022,690 $ 77,157,364 Undistributed Net Investment Income (Loss) 124,886 29,155 74,339 139,901 Accumulated Net Realized Gain (Loss) on Investments, Equity/Currency Index Swaps, and Futures Contracts (4,141,168) 29,871 (2,088,639) (68,605) Net Unrealized Appreciation (Depreciation) on Investments, Equity/Currency Index Swaps, and Futures Contracts (300,536) 2,600,732 2,245,932 6,094,067 ======================================================================================================================== NET ASSETS $ 17,053,401 $ 34,123,520 $ 28,254,322 $ 83,322,727 ======================================================================================================================== SHARES OUTSTANDING 511,501 1,193,280 1,262,223 2,621,760 NET ASSET VALUES $ 33.34 $ 28.60 $ 22.38 $ 31.78 DYNAMIC SMALL-CAP MID-CAP LARGE-CAP STRENGTHENING GROWTH GROWTH GROWTH DOLLAR FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------ ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 29,551,837 $ 19,662,561 $ 28,454,602 $ 3,074,820 Segregated Cash with Broker -- -- -- -- Cash -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- -- 6,201 Receivable for Futures Contracts Settlement (Note 1) -- -- -- -- Receivable for Securities Sold (Note 1) -- 735,543 -- -- Receivable for Fund Shares Sold 1,879,033 -- 672,089 131 Investment Income Receivable (Note 1) 8,507 6,223 12,591 1,369 Other Assets 62,090 -- -- -- ------------------------------------------------------------------------------------------------------------------------ TOTAL ASSETS 31,501,467 20,404,327 29,139,282 3,082,521 ======================================================================================================================== LIABILITIES Short Sales at Market Value** (Notes 1 and 2) -- -- -- -- Payable to cover Short Sale -- -- -- -- Payable for Equity Index Swap Settlement (Note 1) -- -- -- -- Payable for Futures Contracts Settlement (Note 1) -- -- -- -- Payable upon Return of Securities Loaned (Note 8) 6,228,573 4,196,579 4,824,809 -- Payable for Securities Purchased (Note 1) 1,930,507 -- 601,090 -- Payable for Fund Shares Redeemed 345 732,686 102,412 11,180 Investment Advisory Fees Payable (Note 3) 15,597 11,295 15,924 1,865 Transfer Agent and Administrative Fees Payable (Note 3) 5,199 3,765 5,308 518 Distribution and Service Fees Payable (Note 3) 5,199 3,765 5,308 518 Portfolio Accounting Fees Payable (Note 3) 2,080 1,506 2,123 207 Custody Fees Payable 541 391 552 47 Interest Payable -- -- -- -- Other Liabilities 13,850 14,557 14,139 1,632 ------------------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES 8,201,891 4,964,544 5,571,665 15,967 ======================================================================================================================== NET ASSETS $ 23,299,576 $ 15,439,783 $ 23,567,617 $ 3,066,554 ======================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 23,192,330 $ 14,809,344 $ 23,027,678 $ 3,133,654 Undistributed Net Investment Income (Loss) -- -- -- (80,756) Accumulated Net Realized Gain (Loss) on Investments, Equity/Currency Index Swaps, and Futures Contracts (2,348,043) (1,442,915) (1,452,136) -- Net Unrealized Appreciation (Depreciation) on Investments, Equity/Currency Index Swaps, and Futures Contracts 2,455,289 2,073,354 1,992,075 13,656 ======================================================================================================================== NET ASSETS $ 23,299,576 $ 15,439,783 $ 23,567,617 $ 3,066,554 ======================================================================================================================== SHARES OUTSTANDING 778,729 526,400 883,357 135,721 NET ASSET VALUES $ 29.92 $ 29.33 $ 26.68 $ 22.59
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 175 STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) --------------------------------------------------------------------------------
DYNAMIC MULTI-CAP U.S. WEAKENING CORE SECTOR GOVERNMENT DOLLAR EQUITY ROTATION MONEY MARKET FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 11,213,075 $ 8,327,417 $ 111,073,881 $ 203,448,503 Segregated Cash with Broker -- 46,400 -- -- Receivable for Securities Sold (Note 1) -- -- -- -- Receivable for Fund Shares Sold 196,012 -- 18,622 5,045,095 Investment Income Receivable (Note 1) 4,902 12,345 125,218 54,334 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL ASSETS 11,413,989 8,386,162 111,217,721 208,547,932 ==================================================================================================================================== LIABILITIES Payable for Currency Index Swap Settlement (Note 1) 190,103 -- -- -- Payable for Futures Contracts Settlement (Note 1) -- 10,482 -- -- Payable upon Return of Securities Loaned (Note 8) -- -- 22,672,786 -- Payable for Securities Purchased (Note 1) -- -- -- -- Payable for Fund Shares Redeemed 46,281 5,224 643,387 27,120 Investment Advisory Fees Payable (Note 3) 9,760 4,240 69,876 85,955 Transfer Agent and Administrative Fees Payable (Note 3) 2,711 1,798 19,410 34,382 Distribution and Service Fees Payable (Note 3) 2,711 1,798 19,410 42,978 Portfolio Accounting Fees Payable (Note 3) 1,084 719 7,764 17,191 Custody Fees Payable 304 187 2,019 4,470 Cash Due to Custodian Bank -- -- 51,275 -- Other Liabilities 5,551 3,796 59,232 187,999 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES 258,505 28,244 23,545,159 400,095 ==================================================================================================================================== NET ASSETS $ 11,155,484 $ 8,357,918 $ 87,672,562 $ 208,147,837 ==================================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 10,967,788 $ 7,583,712 $ 78,623,850 $ 208,141,886 Undistributed Net Investment Income 256,672 12,850 -- 7,497 Accumulated Net Realized Gain (Loss) on Investments, Currency Index Swaps, and Futures Contracts -- 139,897 2,989,156 (1,546) Net Unrealized Appreciation (Depreciation) on Investments, Currency Index Swaps, and Futures Contracts (68,976) 621,459 6,059,556 -- ==================================================================================================================================== NET ASSETS $ 11,155,484 $ 8,357,918 $ 87,672,562 $ 208,147,837 ==================================================================================================================================== SHARES OUTSTANDING 405,474 292,221 6,509,776 208,161,494 NET ASSET VALUES $ 27.51 $ 28.60 $ 13.47 $ 1.00
* THE COST OF SECURITIES AT VALUE IS $11,213,075, $7,689,595, $105,014,325, $203,448,503, $28,025,776, $58,247,533, $13,875,904, $19,152,218, $48,124,334, $3,683,747, $63,248,670 AND $37,851,848, RESPECTIVELY. See Notes to Financial Statements. 176 | THE RYDEX VARIABLE TRUST ANNUAL REPORT December 31, 2006 --------------------------------------------------------------------------------
BASIC BIO- BANKING MATERIALS TECHNOLOGY COMMODITIES FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 30,802,438 $ 69,695,268 $ 17,015,623 $ 18,390,370 Segregated Cash with Broker -- -- -- -- Receivable for Securities Sold (Note 1) 545,916 362,392 100,255 1,882,265 Receivable for Fund Shares Sold 21,985 -- -- 41,824 Investment Income Receivable (Note 1) 50,770 69,748 1,798 2,866 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 31,421,109 70,127,408 17,117,676 20,317,325 =================================================================================================================================== LIABILITIES Payable for Currency Index Swap Settlement (Note 1) -- -- -- -- Payable for Futures Contracts Settlement (Note 1) -- -- -- -- Payable upon Return of Securities Loaned (Note 8) 6,424,227 10,871,653 6,212,852 -- Payable for Securities Purchased (Note 1) -- -- -- -- Payable for Fund Shares Redeemed 605,081 532,047 105,652 3,527 Investment Advisory Fees Payable (Note 3) 17,194 41,111 14,208 12,508 Transfer Agent and Administrative Fees Payable (Note 3) 5,057 12,091 4,179 5,823 Distribution and Service Fees Payable (Note 3) 5,057 12,091 4,179 5,823 Portfolio Accounting Fees Payable (Note 3) 2,023 4,837 1,671 2,329 Custody Fees Payable 565 1,258 1,503 617 Cash Due to Custodian Bank -- -- -- -- Other Liabilities 13,504 30,355 19,235 17,428 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 7,072,708 11,505,443 6,363,479 48,055 =================================================================================================================================== NET ASSETS $ 24,348,401 $ 58,621,965 $ 10,754,197 $ 20,269,270 =================================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 23,307,528 $ 50,649,687 $ 15,795,628 $ 27,909,381 Undistributed Net Investment Income 63,706 98,781 -- 6,206 Accumulated Net Realized Gain (Loss) on Investments, Currency Index Swaps, and Futures Contracts (1,799,495) (3,574,238) (8,181,150) (6,884,469) Net Unrealized Appreciation (Depreciation) on Investments, Currency Index Swaps, and Futures Contracts 2,776,662 11,447,735 3,139,719 (761,848) =================================================================================================================================== NET ASSETS $ 24,348,401 $ 58,621,965 $ 10,754,197 $ 20,269,270 =================================================================================================================================== SHARES OUTSTANDING 750,525 1,758,734 520,504 1,117,019 NET ASSET VALUES $ 32.44 $ 33.33 $ 20.66 $ 18.15 CONSUMER ENERGY PRODUCTS ELECTRONICS ENERGY SERVICES FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 55,097,133 $ 5,013,871 $ 87,243,713 $ 55,766,819 Segregated Cash with Broker -- -- -- -- Receivable for Securities Sold (Note 1) 802,929 90,021 -- -- Receivable for Fund Shares Sold -- 11,982 1,804,898 1,528,385 Investment Income Receivable (Note 1) 97,253 657 22,814 14,796 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 55,997,315 5,116,531 89,071,425 57,310,000 =================================================================================================================================== LIABILITIES Payable for Currency Index Swap Settlement (Note 1) -- -- -- -- Payable for Futures Contracts Settlement (Note 1) -- -- -- -- Payable upon Return of Securities Loaned (Note 8) 11,958,394 1,125,927 17,273,359 11,849,821 Payable for Securities Purchased (Note 1) -- -- 1,401,438 1,305,840 Payable for Fund Shares Redeemed 948,186 111,791 52,805 127,970 Investment Advisory Fees Payable (Note 3) 32,507 5,466 53,651 34,944 Transfer Agent and Administrative Fees Payable (Note 3) 9,561 1,608 15,780 10,278 Distribution and Service Fees Payable (Note 3) 9,561 1,608 15,780 10,278 Portfolio Accounting Fees Payable (Note 3) 3,824 643 6,312 4,111 Custody Fees Payable 994 196 1,641 1,115 Cash Due to Custodian Bank -- -- -- -- Other Liabilities 27,250 13,702 60,982 55,422 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 12,990,277 1,260,941 18,881,748 13,399,779 =================================================================================================================================== NET ASSETS $ 43,007,038 $ 3,855,590 $ 70,189,677 $ 43,910,221 =================================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 38,204,932 $ 13,507,210 $ 49,175,197 $ 28,426,136 Undistributed Net Investment Income 312,611 -- -- -- Accumulated Net Realized Gain (Loss) on Investments, Currency Index Swaps, and Futures Contracts (2,483,304) (10,981,744) (2,980,563) (2,430,886) Net Unrealized Appreciation (Depreciation) on Investments, Currency Index Swaps, and Futures Contracts 6,972,799 1,330,124 23,995,043 17,914,971 =================================================================================================================================== NET ASSETS $ 43,007,038 $ 3,855,590 $ 70,189,677 $ 43,910,221 =================================================================================================================================== SHARES OUTSTANDING 1,176,812 274,973 2,118,079 1,473,907 NET ASSET VALUES $ 36.55 $ 14.02 $ 33.14 $ 29.79
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 177 STATEMENTS OF ASSETS AND LIABILITIES (CONCLUDED) --------------------------------------------------------------------------------
FINANCIAL HEALTH SERVICES CARE INTERNET LEISURE FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 60,831,592 $ 48,474,605 $ 13,125,771 $ 47,932,664 Receivable for Securities Sold (Note 1) 2,763,960 1,448,536 -- -- Receivable for Fund Shares Sold 18,674 62,764 -- 407,985 Investment Income Receivable (Note 1) 116,721 34,864 3,048 29,219 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 63,730,947 50,020,769 13,128,819 48,369,868 =================================================================================================================================== LIABILITIES Payable upon Return of Securities Loaned (Note 8) 10,531,379 7,484,164 3,692,757 10,208,573 Payable for Securities Purchased (Note 1) 2,770,015 1,539,432 -- 279,047 Payable for Fund Shares Redeemed 147,664 83,591 31,670 118,505 Investment Advisory Fees Payable (Note 3) 36,360 30,368 8,938 27,350 Transfer Agent and Administrative Fees Payable (Note 3) 10,694 8,932 2,629 8,044 Distribution and Service Fees Payable (Note 3) 10,694 8,932 2,629 8,044 Portfolio Accounting Fees Payable (Note 3) 4,278 3,573 1,052 3,218 Custody Fees Payable 1,159 929 273 837 Other Liabilities 28,404 35,591 8,316 17,276 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 13,540,647 9,195,512 3,748,264 10,670,894 =================================================================================================================================== NET ASSETS $ 50,190,300 $ 40,825,257 $ 9,380,555 $ 37,698,974 =================================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 45,117,238 $ 37,032,237 $ 8,923,975 $ 32,546,952 Undistributed Net Investment Income 38,835 -- -- -- Accumulated Net Realized Gain (Loss) on Investments 553,815 (2,491,437) (1,863,029) (1,688,407) Net Unrealized Appreciation on Investments 4,480,412 6,284,457 2,319,609 6,840,429 =================================================================================================================================== NET ASSETS $ 50,190,300 $ 40,825,257 $ 9,380,555 $ 37,698,974 =================================================================================================================================== SHARES OUTSTANDING 1,559,443 1,436,822 580,184 1,439,698 NET ASSET VALUES $ 32.18 $ 28.41 $ 16.17 $ 26.19
* THE COST OF SECURITIES AT VALUE IS $56,351,180, $42,190,148, $10,806,162, $41,092,235, $63,353,177, $90,094,439, $30,020,704, $24,868,255, $36,800,421, $30,212,302 AND $75,801,022, RESPECTIVELY. See Notes to Financial Statements. 178 | THE RYDEX VARIABLE TRUST ANNUAL REPORT December 31, 2006 --------------------------------------------------------------------------------
PRECIOUS REAL METALS ESTATE RETAILING TECHNOLOGY FUND FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 87,728,291 $ 109,245,920 $ 35,612,309 $ 27,798,907 Receivable for Securities Sold (Note 1) 1,091,661 2,364,018 -- 1,672,905 Receivable for Fund Shares Sold 426,543 3,799 6,376 7 Investment Income Receivable (Note 1) 11,171 434,612 21,954 6,727 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 89,257,666 112,048,349 35,640,639 29,478,546 =================================================================================================================================== LIABILITIES Payable upon Return of Securities Loaned (Note 8) 24,714,825 26,298,248 7,275,886 4,537,454 Payable for Securities Purchased (Note 1) -- -- -- 1,433,735 Payable for Fund Shares Redeemed 1,495,753 2,419,439 4,857 243,110 Investment Advisory Fees Payable (Note 3) 45,000 61,068 20,772 18,535 Transfer Agent and Administrative Fees Payable (Note 3) 15,000 17,961 6,110 5,451 Distribution and Service Fees Payable (Note 3) 15,000 17,961 6,110 5,451 Portfolio Accounting Fees Payable (Note 3) 6,000 7,184 2,444 2,181 Custody Fees Payable 1,560 1,868 635 567 Other Liabilities 54,489 43,885 17,455 16,789 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 26,347,627 28,867,614 7,334,269 6,263,273 =================================================================================================================================== NET ASSETS $ 62,910,039 $ 83,180,735 $ 28,306,370 $ 23,215,273 =================================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 54,290,251 $ 68,448,347 $ 24,753,732 $ 22,364,837 Undistributed Net Investment Income -- 238,570 -- -- Accumulated Net Realized Gain (Loss) on Investments (15,755,326) (4,657,663) (2,038,967) (2,080,216) Net Unrealized Appreciation on Investments 24,375,114 19,151,481 5,591,605 2,930,652 =================================================================================================================================== NET ASSETS $ 62,910,039 $ 83,180,735 $ 28,306,370 $ 23,215,273 =================================================================================================================================== SHARES OUTSTANDING 4,999,305 1,655,380 950,668 1,575,270 NET ASSET VALUES $ 12.58 $ 50.25 $ 29.78 $ 14.74 TELECOM- TRANS- MUNICATIONS PORTATION UTILITIES FUND FUND FUND ----------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 43,946,061 $ 38,422,240 $ 88,391,780 Receivable for Securities Sold (Note 1) -- 367,028 412,838 Receivable for Fund Shares Sold 682,850 16 28,273 Investment Income Receivable (Note 1) 58,247 34,257 139,972 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 44,687,158 38,823,541 88,972,863 =================================================================================================================================== LIABILITIES Payable upon Return of Securities Loaned (Note 8) 10,569,991 8,845,111 16,824,478 Payable for Securities Purchased (Note 1) 713,490 -- -- Payable for Fund Shares Redeemed 7,043 363,509 300,243 Investment Advisory Fees Payable (Note 3) 22,662 21,779 51,959 Transfer Agent and Administrative Fees Payable (Note 3) 6,665 6,406 15,282 Distribution and Service Fees Payable (Note 3) 6,665 6,406 15,282 Portfolio Accounting Fees Payable (Note 3) 2,666 2,562 6,113 Custody Fees Payable 693 666 1,589 Other Liabilities 20,049 27,885 39,271 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 11,349,924 9,274,324 17,254,217 =================================================================================================================================== NET ASSETS $ 33,337,234 $ 29,549,217 $ 71,718,646 =================================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 29,419,522 $ 24,669,451 $ 60,805,066 Undistributed Net Investment Income -- -- 231,235 Accumulated Net Realized Gain (Loss) on Investments (3,227,928) (3,330,172) (1,908,413) Net Unrealized Appreciation on Investments 7,145,640 8,209,938 12,590,758 =================================================================================================================================== NET ASSETS $ 33,337,234 $ 29,549,217 $ 71,718,646 =================================================================================================================================== SHARES OUTSTANDING 1,521,288 843,159 3,204,946 NET ASSET VALUES $ 21.91 $ 35.05 $ 22.38
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 179 STATEMENTS OF OPERATIONS --------------------------------------------------------------------------------
INVERSE INVERSE NOVA S&P 500 OTC OTC FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 1,116,661 $ 1,707,693 $ 392,714 $ 1,553,616 Income from Securities Lending, net (Note 8) 6,317 -- 18,918 -- Dividends, Net of Foreign Tax Withheld* (Note 1) 1,127,537 -- 365,745 -- Other Income 405 -- -- -- ------------------------------------------------------------------------------------------------------------------------- Total Income 2,250,920 1,707,693 777,377 1,553,616 ------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 631,818 311,192 588,233 279,479 Transfer Agent and Administrative Fees (Note 3) 210,606 86,442 196,077 77,633 Portfolio Accounting Fees (Note 3) 84,243 34,577 78,431 31,053 Trustees' Fees** 8,723 3,773 7,554 2,239 Service Fees (Note 3) 210,606 86,442 196,077 77,633 Custody Fees 21,071 8,144 21,893 7,540 Miscellaneous 85,609 35,462 83,585 34,399 ------------------------------------------------------------------------------------------------------------------------- Total Expenses 1,252,676 566,032 1,171,850 509,976 ------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 998,244 1,141,661 (394,473) 1,043,640 ========================================================================================================================= REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 8,360,172 -- 6,399,786 -- Equity Index Swaps 6,740,604 (3,556,445) 80,108 174,362 Futures Contracts 902,603 (1,053,247) 885,344 (1,776,278) ------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 16,003,379 (4,609,692) 7,365,238 (1,601,916) ------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 996,459 (827) (3,093,224) (452) Equity Index Swaps 57,542 (17,070) 35,140 (183,987) Futures Contracts 961,524 (504,403) 13,457 107,398 ------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 2,015,525 (522,300) (3,044,627) (77,041) ------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 18,018,904 (5,131,992) 4,320,611 (1,678,957) ------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 19,017,148 $ (3,990,331) $ 3,926,138 $ (635,317) =========================================================================================================================
* FOREIGN TAX WITHHELD OF $0, $0, $2,100, $0, $0, $674, $0, $0, $1, $298, $0 AND $0, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT. *** SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. See Notes to Financial Statements. 180 | THE RYDEX VARIABLE TRUST ANNUAL REPORT Year Ended December 31, 2006 --------------------------------------------------------------------------------
DYNAMIC DYNAMIC MID-CAP INVERSE S&P 500 OTC ADVANTAGE MID-CAP FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 415,404 $ 512,846 $ 458,402 $ 223,788 Income from Securities Lending, net (Note 8) 2,324 6,930 5,559 -- Dividends, Net of Foreign Tax Withheld* (Note 1) 350,285 136,321 330,151 -- Other Income -- -- -- -- ------------------------------------------------------------------------------------------------------------------------- Total Income 768,013 656,097 794,112 223,788 ------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 248,992 327,744 359,173 39,155 Transfer Agent and Administrative Fees (Note 3) 69,164 91,040 99,770 10,876 Portfolio Accounting Fees (Note 3) 27,666 36,416 39,908 4,351 Trustees' Fees** 1,823 2,759 2,998 255 Service Fees (Note 3) 69,164 91,040 99,770 10,876 Custody Fees 6,978 15,686 12,075 1,554 Miscellaneous 30,579 40,212 43,795 4,928 ------------------------------------------------------------------------------------------------------------------------- Total Expenses 454,366 604,897 657,489 71,995 ------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 313,647 51,200 136,623 151,793 ========================================================================================================================= REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (8,541) 688,452 2,480,011 -- Equity Index Swaps 3,757,644 2,117,435 (85,725) (566,506) Futures Contracts 198,532 (108,795) 416,822 (242,875) ------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 3,947,635 2,697,092 2,811,108 (809,381) ------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 2,633,117 416,175 (660,366) -- Equity Index Swaps (21,563) 1,000,486 85,436 31,438 Futures Contracts 266,242 41,490 (174,290) 13,675 ------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 2,877,796 1,458,151 (749,220) 45,113 ------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 6,825,431 4,155,243 2,061,888 (764,268) ------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 7,139,078 $ 4,206,443 $ 2,198,511 $ (612,475) ========================================================================================================================= GOVERNMENT DYNAMIC RUSSELL 2000(R) INVERSE LONG BOND RUSSELL 2000(R) ADVANTAGE RUSSELL 2000(R) ADVANTAGE FUND*** FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 17,000 $ 810,223 $ 810,535 $ 3,111,711 Income from Securities Lending, net (Note 8) -- 23,402 -- -- Dividends, Net of Foreign Tax Withheld* (Note 1) 4,912 423,714 -- -- Other Income -- 523 -- -- --------------------------------------------------------------------------------------------------------------------------------- Total Income 21,912 1,257,862 810,535 3,111,711 --------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 7,410 529,924 142,308 319,322 Transfer Agent and Administrative Fees (Note 3) 2,058 147,201 39,530 127,729 Portfolio Accounting Fees (Note 3) 824 58,880 15,812 63,864 Trustees' Fees** 1 3,614 977 3,858 Service Fees (Note 3) 2,058 147,201 39,530 159,661 Custody Fees 198 14,246 3,752 22,103 Miscellaneous 929 65,985 17,950 72,554 --------------------------------------------------------------------------------------------------------------------------------- Total Expenses 13,478 967,051 259,859 769,091 --------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 8,434 290,811 550,676 2,342,620 ================================================================================================================================= REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (2,191) 2,676,204 -- (1,145,953) Equity Index Swaps 118,466 675,887 (2,341,675) -- Futures Contracts (80,152) 2,190,183 (1,253,765) (141,631) --------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 36,123 5,542,274 (3,595,440) (1,287,584) --------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 57,786 890,894 -- (259,824) Equity Index Swaps (35,729) 123,800 (94,139) -- Futures Contracts (23,502) 77,211 (16,958) (662,646) --------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (1,445) 1,091,905 (111,097) (922,470) --------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 34,678 6,634,179 (3,706,537) (2,210,054) --------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 43,112 $ 6,924,990 $ (3,155,861) $ 132,566 =================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 181 STATEMENTS OF OPERATIONS (CONTINUED) --------------------------------------------------------------------------------
INVERSE GOVERNMENT EUROPE JAPAN DYNAMIC LONG BOND ADVANTAGE ADVANTAGE DOW FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Interest (Note 1) $ 2,463,716 $ 1,121,821 $ 1,625,704 $ 322,382 Income from Securities Lending, net (Note 8) -- -- -- 2,500 Dividends, Net of Foreign Tax Withheld* (Note 1) -- 1,113,583 -- 325,408 Other Income -- -- -- -- ------------------------------------------------------------------------------------------------------------------------ Total Income 2,463,716 2,235,404 1,625,704 650,290 ------------------------------------------------------------------------------------------------------------------------ EXPENSES Investment Advisory Fees (Note 3) 269,763 480,072 314,810 184,675 Transfer Agent and Administrative Fees (Note 3) 74,934 133,353 87,447 51,298 Portfolio Accounting Fees (Note 3) 29,974 53,342 34,979 20,519 Interest Expense 1,047,838 -- -- -- Trustees' Fees** 2,627 2,583 2,471 1,011 Service Fees (Note 3) 74,934 133,353 87,447 51,298 Custody Fees 7,138 13,231 8,252 6,608 Miscellaneous 31,442 60,226 38,654 22,897 ------------------------------------------------------------------------------------------------------------------------ Total Expenses 1,538,650 876,160 574,060 338,306 ------------------------------------------------------------------------------------------------------------------------ Net Investment Income (Loss) 925,066 1,359,244 1,051,644 311,984 ======================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (5,631) (358,017) -- 334,431 Equity/Currency Index Swaps -- 6,459,321 (68,923) 3,303,536 Futures Contracts 70,914 -- 88,973 1,442,276 Securities Sold Short 947,077 -- -- -- ------------------------------------------------------------------------------------------------------------------------ Total Net Realized Gain (Loss) 1,012,360 6,101,304 20,050 5,080,243 ------------------------------------------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 775 5,007,996 -- 2,393,351 Equity/Currency Index Swaps -- (203,121) (979,803) 360,850 Futures Contracts 353,862 -- (449,192) 287,541 Securities Sold Short (44,007) -- -- -- ------------------------------------------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation (Depreciation) 310,630 4,804,875 (1,428,995) 3,041,742 ------------------------------------------------------------------------------------------------------------------------ Net Gain (Loss) on Investments 1,322,990 10,906,179 (1,408,945) 8,121,985 ------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 2,248,056 $ 12,265,423 $ (357,301) $ 8,433,969 ========================================================================================================================
* FOREIGN TAX WITHHELD OF $0, $122,012, $0, $0, $0, $219, $0, $0, $0, $0, $0 AND $0, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT. See Notes to Financial Statements. 182 | THE RYDEX VARIABLE TRUST ANNUAL REPORT Year Ended December 31, 2006 --------------------------------------------------------------------------------
INVERSE DYNAMIC SMALL-CAP MID-CAP LARGE-CAP DOW VALUE VALUE VALUE FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Interest (Note 1) $ 542,829 $ 7,670 $ 5,084 $ 9,071 Income from Securities Lending, net (Note 8) -- 23,581 7,136 11,486 Dividends, Net of Foreign Tax Withheld* (Note 1) -- 550,418 587,273 1,178,430 Other Income -- -- -- 882 ------------------------------------------------------------------------------------------------------------------------ Total Income 542,829 581,669 599,493 1,199,869 ------------------------------------------------------------------------------------------------------------------------ EXPENSES Investment Advisory Fees (Note 3) 92,982 204,933 157,298 324,187 Transfer Agent and Administrative Fees (Note 3) 25,828 68,311 52,433 108,062 Portfolio Accounting Fees (Note 3) 10,331 27,324 20,973 43,224 Interest Expense -- -- -- -- Trustees' Fees** 512 1,643 1,672 2,028 Service Fees (Note 3) 25,828 68,311 52,433 108,062 Custody Fees 2,507 6,917 5,145 10,794 Miscellaneous 11,826 30,345 22,818 48,739 ------------------------------------------------------------------------------------------------------------------------ Total Expenses 169,814 407,784 312,772 645,096 ------------------------------------------------------------------------------------------------------------------------ Net Investment Income (Loss) 373,015 173,885 286,721 554,773 ======================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities -- 1,000,837 138,273 1,020,513 Equity/Currency Index Swaps (2,792,018) -- -- -- Futures Contracts (605,408) -- -- -- Securities Sold Short -- -- -- -- ------------------------------------------------------------------------------------------------------------------------ Total Net Realized Gain (Loss) (3,397,426) 1,000,837 138,273 1,020,513 ------------------------------------------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities -- 1,860,179 1,884,835 5,455,621 Equity/Currency Index Swaps (446,064) -- -- -- Futures Contracts (44,370) -- -- -- Securities Sold Short -- -- -- -- ------------------------------------------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation (Depreciation) (490,434) 1,860,179 1,884,835 5,455,621 ------------------------------------------------------------------------------------------------------------------------ Net Gain (Loss) on Investments (3,887,860) 2,861,016 2,023,108 6,476,134 ------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $(3,514,845) $ 3,034,901 $ 2,309,829 $ 7,030,907 ======================================================================================================================== DYNAMIC SMALL-CAP MID-CAP LARGE-CAP STRENGTHENING GROWTH GROWTH GROWTH DOLLAR FUND FUND FUND FUND -------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 5,218 $ 5,428 $ 5,095 $ 121,816 Income from Securities Lending, net (Note 8) 29,120 7,731 2,706 -- Dividends, Net of Foreign Tax Withheld* (Note 1) 44,786 95,519 140,680 -- Other Income -- -- -- -- -------------------------------------------------------------------------------------------------------------------------- Total Income 79,124 108,678 148,481 121,816 -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 125,195 140,820 134,823 22,043 Transfer Agent and Administrative Fees (Note 3) 41,732 46,940 44,941 6,123 Portfolio Accounting Fees (Note 3) 16,692 18,776 17,976 2,449 Interest Expense -- -- -- -- Trustees' Fees** 1,410 1,592 1,256 129 Service Fees (Note 3) 41,732 46,940 44,941 6,123 Custody Fees 4,246 4,580 4,288 670 Miscellaneous 18,188 20,440 19,880 2,765 -------------------------------------------------------------------------------------------------------------------------- Total Expenses 249,195 280,088 268,105 40,302 -------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) (170,071) (171,410) (119,624) 81,514 ========================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (724,911) 600,317 (498,552) -- Equity/Currency Index Swaps -- -- -- (361,215) Futures Contracts -- -- -- -- Securities Sold Short -- -- -- -- -------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (724,911) 600,317 (498,552) (361,215) -------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 1,013,673 437,245 1,637,437 -- Equity/Currency Index Swaps -- -- -- 5,612 Futures Contracts -- -- -- -- Securities Sold Short -- -- -- -- -------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 1,013,673 437,245 1,637,437 5,612 -------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 288,762 1,037,562 1,138,885 (355,603) -------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 118,691 $ 866,152 $ 1,019,261 $ (274,089) ==========================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 183 STATEMENTS OF OPERATIONS (CONTINUED) --------------------------------------------------------------------------------
DYNAMIC MULTI-CAP U.S. WEAKENING CORE SECTOR GOVERNMENT DOLLAR EQUITY ROTATION MONEY FUND FUND FUND MARKET FUND -------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 401,065 $ 17,733 $ 48,205 $12,652,304 Income from Securities Lending, net (Note 8) -- -- 44,578 -- Dividends, Net of Foreign Tax Withheld* (Note 1) -- 73,382 1,116,164 -- Other Income -- -- -- -- -------------------------------------------------------------------------------------------------------------------- Total Income 401,065 91,115 1,208,947 12,652,304 -------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 70,784 36,256 730,431 1,271,093 Transfer Agent and Administrative Fees (Note 3) 19,662 13,232 202,898 508,437 Portfolio Accounting Fees (Note 3) 7,865 5,293 81,159 247,164 Trustees' Fees** 320 206 5,229 16,437 Service Fees (Note 3) 19,662 13,232 202,898 635,547 Custody Fees 1,896 1,445 24,052 64,955 Miscellaneous 9,053 6,051 88,736 287,693 -------------------------------------------------------------------------------------------------------------------- Total Expenses 129,242 75,715 1,335,403 3,031,326 -------------------------------------------------------------------------------------------------------------------- Less Expenses Waived by Advisor -- -- -- -- -------------------------------------------------------------------------------------------------------------------- Total Waived Expenses -- -- -- -- -------------------------------------------------------------------------------------------------------------------- Net Expenses 129,242 75,715 1,335,403 3,031,326 -------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 271,823 15,400 (126,456) 9,620,978 ==================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities -- 192,380 5,627,444 -- Currency Index Swaps 457,540 -- -- -- Futures Contracts 5,240 (41,185) -- -- -------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 462,780 151,195 5,627,444 -- -------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities -- 633,818 289,785 -- Currency Index Swaps (59,561) -- -- -- Futures Contracts (36) (16,363) -- -- -------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (59,597) 617,455 289,785 -- -------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 403,183 768,650 5,917,229 -- -------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 675,006 $ 784,050 $ 5,790,773 $ 9,620,978 ====================================================================================================================
* FOREIGN TAX WITHHELD OF $0, $4, $30,064, $0, $632, $0, $0, $0, $0, $0, $38,309 AND $0, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(A)(19) OF THE 1940 ACT. See Notes to Financial Statements. 184 | THE RYDEX VARIABLE TRUST ANNUAL REPORT Year Ended December 31, 2006 --------------------------------------------------------------------------------
BASIC BIO- BANKING MATERIALS TECHNOLOGY COMMODITIES FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 3,754 $ 7,771 $ 6,955 $ 888,141 Income from Securities Lending, net (Note 8) 2,600 10,871 19,040 -- Dividends, Net of Foreign Tax Withheld* (Note 1) 512,956 1,041,752 1,951 -- Other Income -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Total Income 519,310 1,060,394 27,946 888,141 ------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 146,468 342,886 220,641 181,709 Transfer Agent and Administrative Fees (Note 3) 43,079 100,849 64,894 60,570 Portfolio Accounting Fees (Note 3) 17,231 40,339 25,958 24,228 Trustees' Fees** 1,066 2,383 2,007 1,531 Service Fees (Note 3) 43,079 100,849 64,894 60,570 Custody Fees 4,408 14,388 8,887 8,084 Miscellaneous 19,230 45,210 28,553 26,891 ------------------------------------------------------------------------------------------------------------------- Total Expenses 274,561 646,904 415,834 363,583 ------------------------------------------------------------------------------------------------------------------- Less Expenses Waived by Advisor -- -- -- (44,553) ------------------------------------------------------------------------------------------------------------------- Total Waived Expenses -- -- -- (44,553) ------------------------------------------------------------------------------------------------------------------- Net Expenses 274,561 646,904 415,834 319,030 ------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 244,749 413,490 (387,888) 569,111 =================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (81,922) (1,526,414) (1,311,771) (482,641) Currency Index Swaps -- -- -- (5,231,262) Futures Contracts -- -- -- (241,301) ------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (81,922) (1,526,414) (1,311,771) (5,955,204) ------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 1,594,484 7,071,428 (1,248,519) (761,848) Currency Index Swaps -- -- -- (123,283) Futures Contracts -- -- -- 5,681 ------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 1,594,484 7,071,428 (1,248,519) (879,450) ------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 1,512,562 5,545,014 (2,560,290) (6,834,654) ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,757,311 $ 5,958,504 $(2,948,178) $(6,265,543) =================================================================================================================== CONSUMER ENERGY PRODUCTS ELECTRONICS ENERGY SERVICES FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 8,680 $ 5,823 $ 19,484 $ 22,422 Income from Securities Lending, net (Note 8) 8,009 4,060 15,156 17,541 Dividends, Net of Foreign Tax Withheld* (Note 1) 1,025,452 114,123 980,914 357,613 Other Income -- -- 114 -- ------------------------------------------------------------------------------------------------------------------- Total Income 1,042,141 124,006 1,015,668 397,576 ------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 295,176 184,321 671,196 658,963 Transfer Agent and Administrative Fees (Note 3) 86,816 54,212 197,410 193,813 Portfolio Accounting Fees (Note 3) 34,727 21,685 78,964 77,525 Trustees' Fees** 1,896 1,442 6,072 5,784 Service Fees (Note 3) 86,816 54,212 197,410 193,813 Custody Fees 8,618 5,796 19,859 20,526 Miscellaneous 39,236 24,177 87,194 85,841 ------------------------------------------------------------------------------------------------------------------- Total Expenses 553,285 345,845 1,258,105 1,236,265 ------------------------------------------------------------------------------------------------------------------- Less Expenses Waived by Advisor -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Total Waived Expenses -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Net Expenses 553,285 345,845 1,258,105 1,236,265 ------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 488,856 (221,839) (242,437) (838,689) =================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (453,196) (5,336,688) 7,402,486 9,657,085 Currency Index Swaps -- -- -- -- Futures Contracts -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (453,196) (5,336,688) 7,402,486 9,657,085 ------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 5,348,010 66,493 (221,636) (6,692,881) Currency Index Swaps -- -- -- -- Futures Contracts -- -- -- -- ------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 5,348,010 66,493 (221,636) (6,692,881) ------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 4,894,814 (5,270,195) 7,180,850 2,964,204 ------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,383,670 $(5,492,034) $ 6,938,413 $ 2,125,515 ===================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 185 STATEMENTS OF OPERATIONS (CONCLUDED) --------------------------------------------------------------------------------
FINANCIAL HEALTH SERVICES CARE INTERNET LEISURE FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 8,040 $ 11,393 $ 2,535 $ 5,426 Income from Securities Lending, net (Note 8) 13,098 8,954 3,242 12,150 Dividends, Net of Foreign Tax Withheld* (Note 1) 861,356 472,974 18,490 296,071 Other Income -- -- -- -- --------------------------------------------------------------------------------------------------------------------- Total Income 882,494 493,321 24,267 313,647 --------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 309,488 393,117 83,765 175,172 Transfer Agent and Administrative Fees (Note 3) 91,026 115,622 24,637 51,521 Portfolio Accounting Fees (Note 3) 36,410 46,249 9,855 20,608 Trustees' Fees** 2,291 3,475 1,007 1,323 Service Fees (Note 3) 91,026 115,622 24,637 51,521 Custody Fees 8,836 11,036 2,734 5,443 Miscellaneous 40,575 50,981 10,401 22,809 --------------------------------------------------------------------------------------------------------------------- Total Expenses 579,652 736,102 157,036 328,397 --------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 302,842 (242,781) (132,769) (14,750) ===================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 3,185,263 2,083,105 1,298,775 (280,600) --------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 3,185,263 2,083,105 1,298,775 (280,600) --------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 2,469,827 (284,078) (96,412) 4,863,439 --------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 2,469,827 (284,078) (96,412) 4,863,439 --------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 5,655,090 1,799,027 1,202,363 4,582,839 --------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,957,932 $ 1,556,246 $ 1,069,594 $ 4,568,089 =====================================================================================================================
* FOREIGN TAX WITHHELD OF $336, $0, $0, $69, $13,789, $0, $0, $0, $12,339, $0 AND $0, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT. See Notes to Financial Statements. 186 | THE RYDEX VARIABLE TRUST ANNUAL REPORT Year Ended December 31, 2006 --------------------------------------------------------------------------------
PRECIOUS REAL METALS ESTATE RETAILING TECHNOLOGY FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 20,626 $ 10,562 $ 5,654 $ 5,401 Income from Securities Lending, net (Note 8) 110,389 23,651 4,617 3,250 Dividends, Net of Foreign Tax Withheld* (Note 1) 795,140 1,712,156 240,694 96,325 Other Income -- 105 -- -- --------------------------------------------------------------------------------------------------------------------- Total Income 926,155 1,746,474 250,965 104,976 --------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 565,415 473,372 175,095 179,474 Transfer Agent and Administrative Fees (Note 3) 188,472 139,227 51,499 52,787 Portfolio Accounting Fees (Note 3) 75,388 55,691 20,600 21,114 Trustees' Fees** 5,438 2,923 1,513 1,636 Service Fees (Note 3) 188,472 139,227 51,499 52,787 Custody Fees 20,795 14,411 4,936 5,155 Miscellaneous 81,958 63,217 22,733 22,802 --------------------------------------------------------------------------------------------------------------------- Total Expenses 1,125,938 888,068 327,875 335,755 --------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) (199,783) 858,406 (76,910) (230,779) ===================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (158,248) 462,193 69,862 1,022,806 --------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (158,248) 462,193 69,862 1,022,806 --------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 6,543,672 12,941,333 2,141,712 39,358 --------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 6,543,672 12,941,333 2,141,712 39,358 --------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 6,385,424 13,403,526 2,211,574 1,062,164 --------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 6,185,641 $14,261,932 $ 2,134,664 $ 831,385 ===================================================================================================================== TELECOM- TRANS- MUNICATIONS PORTATION UTILITIES FUND FUND FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 6,029 $ 10,579 $ 9,331 Income from Securities Lending, net (Note 8) 7,338 14,086 9,673 Dividends, Net of Foreign Tax Withheld* (Note 1) 598,166 347,302 1,505,060 Other Income -- -- 9,206 --------------------------------------------------------------------------------------------------------------------- Total Income 611,533 371,967 1,533,270 --------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 225,010 346,981 392,767 Transfer Agent and Administrative Fees (Note 3) 66,179 102,053 115,520 Portfolio Accounting Fees (Note 3) 26,472 40,821 46,208 Trustees' Fees** 1,725 2,467 3,367 Service Fees (Note 3) 66,179 102,053 115,520 Custody Fees 6,891 9,870 11,100 Miscellaneous 29,250 45,794 50,591 --------------------------------------------------------------------------------------------------------------------- Total Expenses 421,706 650,039 735,073 --------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 189,827 (278,072) 798,197 ===================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (564,196) (1,939,146) 1,047,225 --------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (564,196) (1,939,146) 1,047,225 --------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 3,515,223 1,698,672 7,548,217 --------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 3,515,223 1,698,672 7,548,217 --------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 2,951,027 (240,474) 8,595,442 --------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 3,140,854 $ (518,546) $ 9,393,639 =====================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 187 STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
NOVA FUND INVERSE S&P 500 FUND OTC FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 998,244 $ 647,004 $ 1,141,661 $ 519,167 $ (394,473) $ (702,227) Net Realized Gain (Loss) on Investments 16,003,379 9,228,287 (4,609,692) (1,225,287) 7,365,238 18,570,499 Net Change in Unrealized Appreciation (Depreciation) on Investments 2,015,525 (3,333,536) (522,300) 944,460 (3,044,627) (20,096,180) ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 19,017,148 6,541,755 (3,990,331) 238,340 3,926,138 (2,227,908) ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (1,341,115) (362,006) (1,546,385) -- -- -- Realized Gain on Investment -- -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (1,341,115) (362,006) (1,546,385) -- -- -- ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 330,789,125 525,436,344 323,687,307 296,790,050 340,799,995 464,820,799 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 1,341,115 362,006 1,546,385 -- -- -- COST OF SHARES REDEEMED (347,347,685) (530,160,037) (333,177,077) (283,598,621) (374,342,089) (551,582,169) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (15,217,445) (4,361,687) (7,943,385) 13,191,429 (33,542,094) (86,761,370) ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 2,458,588 1,818,062 (13,480,101) 13,429,769 (29,615,956) (88,989,278) NET ASSETS--BEGINNING OF PERIOD 132,018,092 130,200,030 32,505,393 19,075,624 102,487,043 191,476,321 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 134,476,680 $ 132,018,092 $ 19,025,292 $ 32,505,393 $ 72,871,087 $ 102,487,043 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 304,133 $ 647,004 $ 114,443 $ 519,167 $ -- $ -- ==================================================================================================================================
See Notes to Financial Statements. 188 | THE RYDEX VARIABLE TRUST ANNUAL REPORT --------------------------------------------------------------------------------
INVERSE DYNAMIC OTC FUND S&P 500 FUND -------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 -------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 1,043,640 $ 478,824 $ 313,647 $ 134,395 Net Realized Gain (Loss) on Investments (1,601,916) (2,460,029) 3,947,635 259,519 Net Change in Unrealized Appreciation (Depreciation) on Investments (77,041) 458,720 2,877,796 (707,365) -------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (635,317) (1,522,485) 7,139,078 (313,451) -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (1,363,464) -- (352,813) (24,721) Realized Gain on Investment -- -- (1,389,756) (2,146,533) -------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (1,363,464) -- (1,742,569) (2,171,254) ======================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 590,666,208 423,296,526 177,319,546 201,720,009 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 1,363,464 -- 1,742,569 2,171,254 COST OF SHARES REDEEMED (585,750,595) (426,053,411) (172,192,682) (205,061,903) ======================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 6,279,077 (2,756,885) 6,869,433 (1,170,640) -------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 4,280,296 (4,279,370) 12,265,942 (3,655,345) NET ASSETS--BEGINNING OF PERIOD 19,648,327 23,927,697 25,397,309 29,052,654 ======================================================================================================== NET ASSETS--END OF PERIOD $ 23,928,623 $ 19,648,327 $ 37,663,251 $ 25,397,309 ======================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 159,000 $ 478,824 $ 95,229 $ 134,395 ======================================================================================================== DYNAMIC MID-CAP OTC FUND ADVANTAGE FUND -------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 -------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 51,200 $ (145,490) $ 136,623 $ (23,585) Net Realized Gain (Loss) on Investments 2,697,092 (3,225,596) 2,811,108 6,995,719 Net Change in Unrealized Appreciation (Depreciation) on Investments 1,458,151 (636,716) (749,220) (627,067) -------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 4,206,443 (4,007,802) 2,198,511 6,345,067 -------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (27,820) -- (109,605) -- Realized Gain on Investment -- -- (7,740,154) (113,494) -------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (27,820) -- (7,849,759) (113,494) ======================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 708,369,127 363,014,039 325,859,602 367,015,570 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 27,820 -- 7,849,759 113,494 COST OF SHARES REDEEMED (727,215,523) (372,292,474) (340,269,215) (356,325,134) ======================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (18,818,576) (9,278,435) (6,559,854) 10,803,930 -------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (14,639,953) (13,286,237) (12,211,102) 17,035,503 NET ASSETS--BEGINNING OF PERIOD 44,312,565 57,598,802 51,197,046 34,161,543 ======================================================================================================== NET ASSETS--END OF PERIOD $ 29,672,612 $ 44,312,565 $ 38,985,944 $ 51,197,046 ======================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 23,380 $ -- $ 27,018 $ -- ========================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 189 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
INVERSE DYNAMIC RUSSELL RUSSELL 2000(R) MID-CAP FUND 2000(R) FUND ADVANTAGE FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006* 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 151,793 $ 54,779 $ 8,434 $ 290,811 $ 15,708 Net Realized Gain (Loss) on Investments (809,381) (457,471) 36,123 5,542,274 (590,652) Net Change in Unrealized Appreciation (Depreciation) on Investments 45,113 66,476 (1,445) 1,091,905 (4,334,848) ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (612,475) (336,216) 43,112 6,924,990 (4,909,792) ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (122,428) (53,130) (7,200) (227,797) (1,372,293) Realized Gain on Investment -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (122,428) (53,130) (7,200) (227,797) (1,372,293) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 79,226,875 46,185,035 11,344,299 540,992,356 478,462,880 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 122,428 53,130 7,200 227,797 1,372,293 COST OF SHARES REDEEMED (75,502,029) (44,321,303) (6,803,621) (513,395,018) (547,612,446) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 3,847,274 1,916,862 4,547,878 27,825,135 (67,777,273) ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 3,112,371 1,527,516 4,583,790 34,522,328 (74,059,358) NET ASSETS--BEGINNING OF PERIOD 2,846,363 1,318,847 -- 38,589,438 112,648,796 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 5,958,734 $ 2,846,363 $ 4,583,790 $ 73,111,766 $ 38,589,438 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 31,014 $ 1,649 $ 1,234 $ 78,722 $ 15,708 ==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. See Notes to Financial Statements. 190 | THE RYDEX VARIABLE TRUST ANNUAL REPORT --------------------------------------------------------------------------------
INVERSE GOVERNMENT LONG RUSSELL 2000(R) FUND BOND ADVANTAGE FUND ---------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 550,676 $ 212,988 $ 2,342,620 $ 1,716,438 Net Realized Gain (Loss) on Investments (3,595,440) (1,942,704) (1,287,584) 1,876,892 Net Change in Unrealized Appreciation (Depreciation) on Investments (111,097) 298,512 (922,470) (243,546) ---------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (3,155,861) (1,431,204) 132,566 3,349,784 ---------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (478,048) (205,531) (2,342,620) (1,716,438) Realized Gain on Investment -- -- -- -- ---------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (478,048) (205,531) (2,342,620) (1,716,438) ================================================================================================================ SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 220,791,019 220,021,876 601,286,045 553,065,048 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 478,048 205,531 2,342,620 1,716,438 COST OF SHARES REDEEMED (217,247,922) (211,084,258) (611,158,020) (544,964,325) ================================================================================================================ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 4,021,145 9,143,149 (7,529,355) 9,817,161 ---------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 387,236 7,506,414 (9,739,409) 11,450,507 NET ASSETS--BEGINNING OF PERIOD 11,850,210 4,343,796 60,159,599 48,709,092 ================================================================================================================ NET ASSETS--END OF PERIOD $ 12,237,446 $ 11,850,210 $ 50,420,190 $ 60,159,599 ================================================================================================================ UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 80,213 $ 7,457 $ -- $ -- ================================================================================================================ INVERSE GOVERNMENT EUROPE LONG BOND FUND ADVANTAGE FUND ---------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 925,066 $ (146,330) $ 1,359,244 $ 267,284 Net Realized Gain (Loss) on Investments 1,012,360 (3,209,670) 6,101,304 (1,027,733) Net Change in Unrealized Appreciation (Depreciation) on Investments 310,630 (84,112) 4,804,875 203,097 ---------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 2,248,056 (3,440,112) 12,265,423 (557,352) ---------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (794,766) -- (1,340,770) (85,714) Realized Gain on Investment -- -- (2,181,876) (124,961) ---------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (794,766) -- (3,522,646) (210,675) ================================================================================================================ SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 170,305,300 280,273,210 200,327,455 167,248,429 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 794,766 -- 3,522,646 210,675 COST OF SHARES REDEEMED (172,977,804) (288,260,074) (149,056,372) (195,731,588) ================================================================================================================ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,877,738) (7,986,864) 54,793,729 (28,272,484) ---------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (424,448) (11,426,976) 63,536,506 (29,040,511) NET ASSETS--BEGINNING OF PERIOD 29,670,820 41,097,796 25,953,738 54,994,249 ================================================================================================================ NET ASSETS--END OF PERIOD $ 29,246,372 $ 29,670,820 $ 89,490,244 $ 25,953,738 ================================================================================================================ UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 130,300 $ -- $ 285,758 $ 267,284 ================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 191 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
JAPAN DYNAMIC INVERSE DYNAMIC ADVANTAGE FUND DOW FUND DOW FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 1,051,644 $ 289,871 $ 311,984 $ 90,896 $ 373,015 $ 104,667 Net Realized Gain (Loss) on Investments 20,050 4,255,205 5,080,243 17,904 (3,397,426) (601,094) Net Change in Unrealized Appreciation (Depreciation) on Investments (1,428,995) 1,237,578 3,041,742 66,186 (490,434) 309,129 ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (357,301) 5,782,654 8,433,969 174,986 (3,514,845) (187,298) ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (896,686) -- (191,209) (93,894) (253,535) (99,261) Realized Gain on Investment (4,542,900) -- (3,941,317) (588,875) -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (5,439,586) -- (4,132,526) (682,769) (253,535) (99,261) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 199,922,255 182,591,871 205,483,794 131,880,583 112,560,241 71,955,250 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 5,439,586 -- 4,132,526 682,769 253,535 99,261 COST OF SHARES REDEEMED (224,274,267) (147,383,613) (181,472,287) (129,555,135) (99,248,879) (67,695,366) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (18,912,426) 35,208,258 28,144,033 3,008,217 13,564,897 4,359,145 ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (24,709,313) 40,990,912 32,445,476 2,500,434 9,796,517 4,072,586 NET ASSETS--BEGINNING OF PERIOD 55,219,003 14,228,091 12,919,777 10,419,343 7,256,884 3,184,298 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 30,509,690 $ 55,219,003 $ 45,365,253 $ 12,919,777 $ 17,053,401 $ 7,256,884 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 444,829 $ 289,871 $ 120,775 $ -- $ 124,886 $ 5,406 ==================================================================================================================================
See Notes to Financial Statements. 192 | THE RYDEX VARIABLE TRUST ANNUAL REPORT --------------------------------------------------------------------------------
SMALL-CAP MID-CAP VALUE FUND VALUE FUND ------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 173,885 $ (30,467) $ 286,721 $ 81,788 Net Realized Gain (Loss) on Investments 1,000,837 3,233,372 138,273 3,667,245 Net Change in Unrealized Appreciation (Depreciation) on Investments 1,860,179 (3,578,321) 1,884,835 (1,100,126) ------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 3,034,901 (375,416) 2,309,829 2,648,907 ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (144,730) -- (212,382) (97,068) Realized Gain on Investment (1,515,321) (1,969,511) -- (4,952,655) ------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (1,660,051) (1,969,511) (212,382) (5,049,723) ======================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 144,403,437 154,312,618 76,783,553 363,932,503 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 1,660,051 1,969,511 212,382 5,049,723 COST OF SHARES REDEEMED (132,350,088) (182,175,448) (65,070,840) (371,828,182) ======================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 13,713,400 (25,893,319) 11,925,095 (2,845,956) ------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 15,088,250 (28,238,246) 14,022,542 (5,246,772) NET ASSETS--BEGINNING OF PERIOD 19,035,270 47,273,516 14,231,780 19,478,552 ======================================================================================================= NET ASSETS--END OF PERIOD $ 34,123,520 $ 19,035,270 $ 28,254,322 $ 14,231,780 ======================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 29,155 $ -- $ 74,339 $ -- ======================================================================================================= LARGE-CAP SMALL-CAP VALUE FUND GROWTH FUND ------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 554,773 $ 127,469 $ (170,071) $ (142,611) Net Realized Gain (Loss) on Investments 1,020,513 1,052,365 (724,911) 1,800,090 Net Change in Unrealized Appreciation (Depreciation) on Investments 5,455,621 (582,663) 1,013,673 (1,775,372) ------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 7,030,907 597,171 118,691 (117,893) ------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (420,965) (123,787) -- -- Realized Gain on Investment (1,346,753) (558,155) (747,457) (1,624,213) ------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (1,767,718) (681,942) (747,457) (1,624,213) ======================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 241,682,369 82,963,538 145,874,332 147,569,663 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 1,767,718 681,942 747,457 1,624,213 COST OF SHARES REDEEMED (189,937,692) (70,157,445) (147,001,756) (153,412,827) ======================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 53,512,395 13,488,035 (379,967) (4,218,951) ------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 58,775,584 13,403,264 (1,008,733) (5,961,057) NET ASSETS--BEGINNING OF PERIOD 24,547,143 11,143,879 24,308,309 30,269,366 ======================================================================================================= NET ASSETS--END OF PERIOD $ 83,322,727 $ 24,547,143 $ 23,299,576 $ 24,308,309 ======================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 139,901 $ 6,093 $ -- $ -- =======================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 193 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
DYNAMIC MID-CAP LARGE-CAP STRENGTHENING GROWTH FUND GROWTH FUND DOLLAR FUND ----------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006 2005* ----------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (171,410) $ (125,071) $ (119,624) $ (3,432) $ 81,514 $ 9,536 Net Realized Gain (Loss) on Investments 600,317 710,759 (498,552) 538,671 (361,215) 13,898 Net Change in Unrealized Appreciation (Depreciation) on Investments 437,245 220,933 1,637,437 (672,193) 5,612 8,044 ----------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 866,152 806,621 1,019,261 (136,954) (274,089) 31,478 ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income -- -- -- (17,612) (23,111) (8,367) Realized Gain on Investment (1,071,590) -- (363,547) (442,416) -- -- ----------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (1,071,590) -- (363,547) (460,028) (23,111) (8,367) =================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 102,677,830 256,948,529 119,074,730 138,034,497 23,302,911 6,070,999 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 1,071,590 -- 363,547 460,028 23,111 8,367 COST OF SHARES REDEEMED (141,139,057) (225,422,324) (119,064,356) (135,371,285) (21,211,936) (4,852,809) =================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (37,389,637) 31,526,205 373,921 3,123,240 2,114,086 1,226,557 ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (37,595,075) 32,332,826 1,029,635 2,526,258 1,816,886 1,249,668 NET ASSETS--BEGINNING OF PERIOD 53,034,858 20,702,032 22,537,982 20,011,724 1,249,668 -- =================================================================================================================================== NET ASSETS--END OF PERIOD $ 15,439,783 $ 53,034,858 $ 23,567,617 $ 22,537,982 $ 3,066,554 $ 1,249,668 =================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)--END OF PERIOD $ -- $ -- $ -- $ -- $ (80,756) $ 1,169 ===================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 30, 2005--DYNAMIC STRENGTHENING DOLLAR FUND AND DYNAMIC WEAKENING DOLLAR FUND; NOVEMBER 29, 2005--MULTI-CAP CORE EQUITY FUND. See Notes to Financial Statements. 194 | THE RYDEX VARIABLE TRUST ANNUAL REPORT --------------------------------------------------------------------------------
DYNAMIC MULTI-CAP WEAKENING CORE EQUITY DOLLAR FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005* 2006 2005* ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 271,823 $ 9,837 $ 15,400 $ 830 Net Realized Gain (Loss) on Investments 462,780 (78,938) 151,195 (4,548) Net Change in Unrealized Appreciation (Depreciation) on Investments (59,597) (9,379) 617,455 4,004 ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 675,006 (78,480) 784,050 286 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (397,475) (7,332) (3,413) -- Realized Gain on Investment (6,122) -- (6,750) -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (403,597) (7,332) (10,163) -- ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 52,997,120 5,011,248 14,532,365 3,104,617 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 403,597 7,332 10,163 -- COST OF SHARES REDEEMED (45,470,997) (1,978,413) (9,818,903) (244,497) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 7,929,720 3,040,167 4,723,625 2,860,120 ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 8,201,129 2,954,355 5,497,512 2,860,406 NET ASSETS--BEGINNING OF PERIOD 2,954,355 -- 2,860,406 -- ================================================================================================================================== NET ASSETS--END OF PERIOD $ 11,155,484 $ 2,954,355 $ 8,357,918 $ 2,860,406 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)--END OF PERIOD $ 256,672 $ 2,505 $ 12,850 $ 830 ================================================================================================================================== SECTOR ROTATION U.S. GOVERNMENT FUND MONEY MARKET FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (126,456) $ (68,343) $ 9,620,978 $ 4,700,835 Net Realized Gain (Loss) on Investments 5,627,444 2,791,341 -- -- Net Change in Unrealized Appreciation (Depreciation) on Investments 289,785 1,800,965 -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 5,790,773 4,523,963 9,620,978 4,700,835 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income -- -- (9,620,977) (4,700,832) Realized Gain on Investment (4,280,033) -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (4,280,033) -- (9,620,977) (4,700,832) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 95,534,124 60,423,868 1,169,136,976 1,184,745,322 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 4,280,033 -- 9,620,977 4,700,832 COST OF SHARES REDEEMED (75,486,583) (30,861,025) (1,155,974,652) (1,171,759,619) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 24,327,574 29,562,843 22,783,301 17,686,535 ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 25,838,314 34,086,806 22,783,302 17,686,538 NET ASSETS--BEGINNING OF PERIOD 61,834,248 27,747,442 185,364,535 167,677,997 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 87,672,562 $ 61,834,248 $ 208,147,837 $ 185,364,535 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS)--END OF PERIOD $ -- $ -- $ 7,497 $ 7,496 ==================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 195 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
BANKING BASIC BIOTECHNOLOGY FUND MATERIALS FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 244,749 $ 219,732 $ 413,490 $ 146,922 $ (387,888) $ (225,301) Net Realized Gain (Loss) on Investments (81,922) (959,804) (1,526,414) 438,695 (1,311,771) (1,077,177) Net Change in Unrealized Appreciation (Depreciation) on Investments 1,594,484 (270,743) 7,071,428 (1,893,780) (1,248,519) 2,731,019 ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 1,757,311 (1,010,815) 5,958,504 (1,308,163) (2,948,178) 1,428,541 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (400,775) (208,716) (461,631) (95,937) -- -- Realized Gain on Investment -- (2,141,474) (668,570) (3,971,372) -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (400,775) (2,350,190) (1,130,201) (4,067,309) -- -- ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 56,465,015 56,113,356 126,002,457 92,190,282 101,241,326 119,737,084 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 400,775 2,350,190 1,130,201 4,067,309 -- -- COST OF SHARES REDEEMED (48,453,716) (62,442,489) (101,656,305) (108,726,587) (123,624,888) (91,668,019) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 8,412,074 (3,978,943) 25,476,353 (12,468,996) (22,383,562) 28,069,065 ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 9,768,610 (7,339,948) 30,304,656 (17,844,468) (25,331,740) 29,497,606 NET ASSETS--BEGINNING OF PERIOD 14,579,791 21,919,739 28,317,309 46,161,777 36,085,937 6,588,331 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 24,348,401 $ 14,579,791 $ 58,621,965 $ 28,317,309 $ 10,754,197 $ 36,085,937 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 63,706 $ 219,732 $ 98,781 $ 146,922 $ -- $ -- ==================================================================================================================================
See Notes to Financial Statements. 196 | THE RYDEX VARIABLE TRUST ANNUAL REPORT --------------------------------------------------------------------------------
COMMODITIES CONSUMER FUND PRODUCTS FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005* 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 569,111 $ 114,126 $ 488,856 $ 127,914 Net Realized Gain (Loss) on Investments (5,955,204) (2,283,369) (453,196) 1,129,327 Net Change in Unrealized Appreciation (Depreciation) on Investments (879,450) 117,602 5,348,010 (1,291,415) ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (6,265,543) (2,051,641) 5,383,670 (34,174) ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income -- (88,043) (304,159) (98,701) Realized Gain on Investment -- -- (362,611) (595,563) ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (88,043) (666,770) (694,264) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 98,028,421 45,650,039 107,976,426 83,987,436 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT -- 88,043 666,770 694,264 COST OF SHARES REDEEMED (99,680,653) (15,411,353) (92,529,674) (86,209,578) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,652,232) 30,326,729 16,113,522 (1,527,878) ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (7,917,775) 28,187,045 20,830,422 (2,256,316) NET ASSETS--BEGINNING OF PERIOD 28,187,045 -- 22,176,616 24,432,932 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 20,269,270 $ 28,187,045 $ 43,007,038 $ 22,176,616 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 6,206 $ 26,083 $ 312,611 $ 127,914 ================================================================================================================================== ELECTRONICS ENERGY FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (221,839) $ (120,698) $ (242,437) $ (11,471) Net Realized Gain (Loss) on Investments (5,336,688) (1,865,668) 7,402,486 9,383,343 Net Change in Unrealized Appreciation (Depreciation) on Investments 66,493 248,322 (221,636) 14,787,065 ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (5,492,034) (1,738,044) 6,938,413 24,158,937 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income -- -- -- (16,641) Realized Gain on Investment -- -- (18,089,879) (4,777,562) ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- (18,089,879) (4,794,203) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 115,099,952 111,112,719 151,331,360 244,153,879 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT -- -- 18,089,879 4,794,203 COST OF SHARES REDEEMED (114,058,438) (113,357,895) (171,517,424) (245,376,150) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 1,041,514 (2,245,176) (2,096,185) 3,571,932 ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (4,450,520) (3,983,220) (13,247,651) 22,936,666 NET ASSETS--BEGINNING OF PERIOD 8,306,110 12,289,330 83,437,328 60,500,662 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 3,855,590 $ 8,306,110 $ 70,189,677 $ 83,437,328 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ -- $ -- $ -- $ -- ==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 30, 2005. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 197 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
ENERGY SERVICES FINANCIAL SERVICES HEALTH CARE FUND FUND FUND --------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006 2005 --------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (838,689) $ (679,814) $ 302,842 $ 287,113 $ (242,781) $ (281,990) Net Realized Gain (Loss) on Investments 9,657,085 (1,689,593) 3,185,263 (28,632) 2,083,105 3,078,597 Net Change in Unrealized Appreciation (Depreciation) on Investments (6,692,881) 19,597,826 2,469,827 (132,312) (284,078) 2,066,699 --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 2,125,515 17,228,419 5,957,932 126,169 1,556,246 4,863,306 --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income -- -- (551,120) (227,270) -- -- Realized Gain on Investment (6,569,274) -- (1,965,220) (1,835,580) (1,655,023) -- --------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (6,569,274) -- (2,516,340) (2,062,850) (1,655,023) -- ================================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 179,186,685 226,791,272 85,868,908 75,836,087 99,583,702 128,683,744 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 6,569,274 -- 2,516,340 2,062,850 1,655,023 -- COST OF SHARES REDEEMED (217,123,691) (193,614,464) (78,476,024) (84,302,471) (112,006,276) (112,290,779) ================================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (31,367,732) 33,176,808 9,909,224 (6,403,534) (10,767,551) 16,392,965 --------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (35,811,491) 50,405,227 13,350,816 (8,340,215) (10,866,328) 21,256,271 NET ASSETS--BEGINNING OF PERIOD 79,721,712 29,316,485 36,839,484 45,179,699 51,691,585 30,435,314 ================================================================================================================================= NET ASSETS--END OF PERIOD $ 43,910,221 $ 79,721,712 $ 50,190,300 $ 36,839,484 $ 40,825,257 $ 51,691,585 ================================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ -- $ -- $ 38,835 $ 287,113 $ -- $ -- =================================================================================================================================
See Notes to Financial Statements. 198 | THE RYDEX VARIABLE TRUST ANNUAL REPORT STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) --------------------------------------------------------------------------------
INTERNET LEISURE PRECIOUS FUND FUND METALS FUND --------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006 2005 --------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (132,769) $ (154,798) $ (14,750) $ (243,896) $ (199,783) $ (73,200) Net Realized Gain (Loss) on Investments 1,298,775 1,240,923 (280,600) 1,463,777 (158,248) (5,450,489) Net Change in Unrealized Appreciation (Depreciation) on Investments (96,412) (5,091,806) 4,863,439 (3,609,943) 6,543,672 11,668,972 --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 1,069,594 (4,005,681) 4,568,089 (2,390,062) 6,185,641 6,145,283 --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income -- -- -- -- -- -- Realized Gain on Investment -- (586,030) (1,244,064) (2,102,243) -- -- --------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (586,030) (1,244,064) (2,102,243) -- -- ================================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 49,845,898 85,148,669 65,902,349 54,494,972 202,255,388 155,123,238 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT -- 586,030 1,244,064 2,102,243 -- -- COST OF SHARES REDEEMED (62,493,795) (97,106,055) (46,732,242) (89,899,020) (213,772,035) (128,070,546) ================================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (12,647,897) (11,371,356) 20,414,171 (33,301,805) (11,516,647) 27,052,692 --------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS (11,578,303) (15,963,067) 23,738,196 (37,794,110) (5,331,006) 33,197,975 NET ASSETS--BEGINNING OF PERIOD 20,958,858 36,921,925 13,960,778 51,754,888 68,241,045 35,043,070 ================================================================================================================================= NET ASSETS--END OF PERIOD $ 9,380,555 $ 20,958,858 $ 37,698,974 $ 13,960,778 $ 62,910,039 $ 68,241,045 ================================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ -- $ -- $ -- $ -- $ -- $ -- ================================================================================================================================= REAL ESTATE FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR ENDED ENDED DECEMBER 31, DECEMBER 31, 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 858,406 $ 627,909 Net Realized Gain (Loss) on Investments 462,193 (367,084) Net Change in Unrealized Appreciation (Depreciation) on Investments 12,941,333 1,158,404 ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 14,261,932 1,419,229 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (1,247,745) (486,247) Realized Gain on Investment (2,424,876) -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (3,672,621) (486,247) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 373,442,790 290,942,708 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 3,672,621 486,247 COST OF SHARES REDEEMED (333,598,261) (290,202,854) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 43,517,150 1,226,101 ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 54,106,461 2,159,083 NET ASSETS--BEGINNING OF PERIOD 29,074,274 26,915,191 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 83,180,735 $ 29,074,274 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 238,570 $ 627,909 ==================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 199 STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED) --------------------------------------------------------------------------------
RETAILING TECHNOLOGY FUND FUND --------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 --------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (76,910) $ (252,985) $ (230,779) $ (202,912) Net Realized Gain (Loss) on Investments 69,862 761,446 1,022,806 395,325 Net Change in Unrealized Appreciation (Depreciation) on Investments 2,141,712 (379,811) 39,358 201,044 --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 2,134,664 128,650 831,385 393,457 --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income -- -- -- -- Realized Gain on Investment (787,401) (373,394) -- -- --------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (787,401) (373,394) -- -- ================================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 61,809,702 79,774,938 73,893,194 77,520,975 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 787,401 373,394 -- -- COST OF SHARES REDEEMED (53,253,592) (83,088,381) (70,654,267) (78,688,236) ================================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 9,343,511 (2,940,049) 3,238,927 (1,167,261) --------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 10,690,774 (3,184,793) 4,070,312 (773,804) NET ASSETS--BEGINNING OF PERIOD 17,615,596 20,800,389 19,144,961 19,918,765 ================================================================================================================================= NET ASSETS--END OF PERIOD $ 28,306,370 $ 17,615,596 $ 23,215,273 $ 19,144,961 ================================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ -- $ -- $ -- $ -- =================================================================================================================================
See Notes to Financial Statements. 200 | THE RYDEX VARIABLE TRUST ANNUAL REPORT --------------------------------------------------------------------------------
TELECOMMUNICATIONS TRANSPORTATION UTILITIES FUND FUND FUND ---------------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006 2005 ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 189,827 $ 176,939 $ (278,072) $ (165,000) $ 798,197 $ 872,857 Net Realized Gain (Loss) on Investments (564,196) 681,979 (1,939,146) 986,215 1,047,225 (1,050,256) Net Change in Unrealized Appreciation (Depreciation) on Investments 3,515,223 (1,228,903) 1,698,672 (1,991,584) 7,548,217 2,775,884 ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 3,140,854 (369,985) (518,546) (1,170,369) 9,393,639 2,598,485 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (377,386) -- -- -- (1,439,819) (313,329) Realized Gain on Investment (369,517) (1,560,307) -- (645,384) (638,278) -- ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (746,903) (1,560,307) -- (645,384) (2,078,097) (313,329) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 90,834,218 56,421,975 109,748,402 57,217,996 124,654,699 164,671,051 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 746,903 1,560,307 -- 645,384 2,078,097 313,329 COST OF SHARES REDEEMED (77,535,729) (69,344,879) (111,058,172) (72,003,523) (102,273,074) (149,228,346) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 14,045,392 (11,362,597) (1,309,770) (14,140,143) 24,459,722 15,756,034 ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS 16,439,343 (13,292,889) (1,828,316) (15,955,896) 31,775,264 18,041,190 NET ASSETS--BEGINNING OF PERIOD 16,897,891 30,190,780 31,377,533 47,333,429 39,943,382 21,902,192 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 33,337,234 $ 16,897,891 $ 29,549,217 $ 31,377,533 $ 71,718,646 $ 39,943,382 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ -- $ 176,939 $ -- $ -- $ 231,235 $ 872,857 ==================================================================================================================================
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 201 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.
NET INCREASE NET REALIZED (DECREASE) NET ASSET NET AND IN NET ASSET VALUE, INVESTMENT UNREALIZED VALUE BEGINNING INCOME GAINS (LOSSES) RESULTING FROM YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS ----------------------------------------------------------------------------------- NOVA FUND DECEMBER 31, 2006 $ 8.56 $ .11 $ 1.54 $ 1.65 December 31, 2005 8.26 .05 .28 .33 December 31, 2004 7.21 .03 1.02 1.05 December 31, 2003 5.18 .01 2.02 2.03 December 31, 2002 8.67 (.01) (3.07) (3.08) INVERSE S&P 500 FUND DECEMBER 31, 2006 5.15 .17 (.56) (.39) December 31, 2005 5.19 .08 (.12) (.04) December 31, 2004 5.77 (.02) (.56) (.58) December 31, 2003 7.57 (.04) (1.76) (1.80) December 31, 2002 6.29 (.02) 1.38 1.36 OTC FUND DECEMBER 31, 2006 14.55 (.07) .91 .84 December 31, 2005 14.39 (.09) .25 .16 December 31, 2004 13.16 (.02) 1.25 1.23 December 31, 2003 9.05 (.13) 4.24 4.11 December 31, 2002 14.80 (.17) (5.58) (5.75) INVERSE OTC FUND DECEMBER 31, 2006 21.51 .74 (1.07) (.33) December 31, 2005 21.24 .33 (.06) .27 December 31, 2004 24.09 (.08) (2.77) (2.85) December 31, 2003 39.04 (.22) (14.33) (14.55) December 31, 2002 29.48 (.19) 10.22 10.03 DYNAMIC S&P 500 FUND DECEMBER 31, 2006 18.37 .23 4.12 4.35 December 31, 2005 19.83 .10 .53 .63 December 31, 2004 21.59 .02 2.98 3.00 December 31, 2003 16.09 (.11) 8.95 8.84 December 31, 2002 29.87 (.09) (13.65) (13.74) DYNAMIC OTC FUND DECEMBER 31, 2006 22.39 .03 1.06 1.09 December 31, 2005 23.09 (.09) (.61) (.70) December 31, 2004 21.73 (.06) 2.76 2.70 December 31, 2003 11.90 (.21) 11.95 11.74 December 31, 2002 38.97 (.13) (26.94) (27.07) DISTRIBUTIONS DISTRIBUTIONS FROM NET DISTRIBUTIONS NET INCREASE NET ASSET FROM NET REALIZED FROM (DECREASE) IN VALUE, INVESTMENT CAPITAL RETURN OF TOTAL NET ASSET END OF YEAR ENDED INCOME GAINS CAPITAL DISTRIBUTIONS VALUE PERIOD ---------------------------------------------------- ---------------- --------------- --------------- ----------- NOVA FUND DECEMBER 31, 2006 $ (.12) $ -- $ -- $ (.12) $ 1.53 $ 10.09 December 31, 2005 (.03) -- -- (.03) .30 8.56 December 31, 2004 (--)# -- -- (--)# 1.05 8.26 December 31, 2003 -- -- -- -- 2.03 7.21 December 31, 2002 (.41) -- -- (.41) (3.49) 5.18 INVERSE S&P 500 FUND DECEMBER 31, 2006 (.37) -- -- (.37) (.76) 4.39 December 31, 2005 -- -- -- -- (.04) 5.15 December 31, 2004 -- -- -- -- (.58) 5.19 December 31, 2003 -- -- -- -- (1.80) 5.77 December 31, 2002 (.08) -- -- (.08) 1.28 7.57 OTC FUND DECEMBER 31, 2006 -- -- -- -- .84 15.39 December 31, 2005 -- -- -- -- .16 14.55 December 31, 2004 -- -- -- -- 1.23 14.39 December 31, 2003 -- -- -- -- 4.11 13.16 December 31, 2002 -- -- -- -- (5.75) 9.05 INVERSE OTC FUND DECEMBER 31, 2006 (1.39) -- -- (1.39) (1.72) 19.79 December 31, 2005 -- -- -- -- .27 21.51 December 31, 2004 -- -- -- -- (2.85) 21.24 December 31, 2003 -- (.40) -- (.40) (14.95) 24.09 December 31, 2002 (.47) -- -- (.47) 9.56 39.04 DYNAMIC S&P 500 FUND DECEMBER 31, 2006 (.20) (.81) -- (1.01) 3.34 21.71 December 31, 2005 (.02) (2.07) -- (2.09) (1.46) 18.37 December 31, 2004 -- (4.76) -- (4.76) (1.76) 19.83 December 31, 2003 -- (3.34) -- (3.34) 5.50 21.59 December 31, 2002 -- (.04) -- (.04) (13.78) 16.09 DYNAMIC OTC FUND DECEMBER 31, 2006 (.02) -- -- (.02) 1.07 23.46 December 31, 2005 -- -- -- -- (.70) 22.39 December 31, 2004 (.97) (.06) (.31) (1.34) 1.36 23.09 December 31, 2003 -- (1.91) -- (1.91) 9.83 21.73 December 31, 2002 -- -- -- -- (27.07) 11.90 RATIOS TO AVERAGE NET ASSETS: ---------------------- NET NET ASSETS, TOTAL INVESTMENT PORTFOLIO END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S YEAR ENDED RETURN EXPENSES (LOSS) RATE* OMITTED) ----------------------------------------------------------------------------------------- NOVA FUND DECEMBER 31, 2006 19.27% 1.48% 1.18% 211% $ 134,477 December 31, 2005 3.97% 1.53% 0.60% 381% 132,018 December 31, 2004 14.62% 1.46% 0.41% 654% 130,200 December 31, 2003 39.19% 1.54% 0.09% 729% 81,816 December 31, 2002 (35.72)% 1.72% (0.14%) 570% 34,017 INVERSE S&P 500 FUND DECEMBER 31, 2006 (7.50)% 1.63% 3.29% -- 19,025 December 31, 2005 (0.77)% 1.70% 1.46% -- 32,505 December 31, 2004 (10.05)% 1.62% (0.28)% -- 19,076 December 31, 2003 (23.78)% 1.67% (0.59)% -- 17,822 December 31, 2002 21.64% 1.79% (0.24)% -- 36,195 OTC FUND DECEMBER 31, 2006 5.77% 1.49% (0.50)% 152% 72,871 December 31, 2005 1.11% 1.50% (0.68)% 294% 102,487 December 31, 2004 9.35% 1.47% (0.17)% 418% 191,476 December 31, 2003 45.41% 1.53% (1.20)% 482% 127,836 December 31, 2002 (38.85)% 1.74% (1.58)% 183% 77,635 INVERSE OTC FUND DECEMBER 31, 2006 (1.40)% 1.64% 3.35% -- 23,929 December 31, 2005 1.27% 1.63% 1.49% -- 19,648 December 31, 2004 (11.83)% 1.64% (0.35)% -- 23,928 December 31, 2003 (37.37)% 1.68% (0.73)% -- 34,563 December 31, 2002 33.85% 1.77% (0.49)% -- 24,229 DYNAMIC S&P 500 FUND DECEMBER 31, 2006 23.70% 1.64% 1.13% 168% 37,663 December 31, 2005 3.38% 1.65% 0.55% 585% 25,397 December 31, 2004 16.90% 1.65% 0.09% 974% 29,053 December 31, 2003 54.94% 1.69% (0.55)% 1,085% 30,428 December 31, 2002 (46.00)% 1.74% (0.49)% -- 2,122 DYNAMIC OTC FUND DECEMBER 31, 2006 4.86% 1.65% 0.14% 250% 29,673 December 31, 2005 (3.03)% 1.65% (0.42)% 343% 44,313 December 31, 2004 14.21% 1.65% (0.29)% 662% 57,599 December 31, 2003 98.63% 1.71% (1.10)% 959% 40,632 December 31, 2002 (69.46)% 1.77% (0.79)% -- 3,346
* PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. # LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00378. 202 | THE RYDEX VARIABLE TRUST ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) -------------------------------------------------------------------------------- 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.
NET INCREASE NET REALIZED (DECREASE) NET ASSET NET AND IN NET ASSET VALUE, INVESTMENT UNREALIZED VALUE BEGINNING INCOME GAINS (LOSSES) RESULTING FROM YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS ----------------------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND DECEMBER 31, 2006 $ 30.15 $ .11 $ 3.23 $ 3.34 December 31, 2005 26.50 (.02) 3.75 3.73 December 31, 2004 24.74 (.09) 4.96 4.87 December 31, 2003 17.77 (.12) 9.44 9.32 December 31, 2002 31.21 (.12) (7.18) (7.30) INVERSE MID-CAP FUND DECEMBER 31, 2006 39.15 1.32 (2.83) (1.51) December 31, 2005 44.03 .70 (4.31) (3.61) December 31, 2004* 50.00 (.06) (5.91) (5.97) DYNAMIC RUSSELL 2000(R) FUND DECEMBER 31, 2006* 25.00 .05 .96 1.01 RUSSELL 2000(R) ADVANTAGE FUND DECEMBER 31, 2006 34.14 .19 6.93 7.12 December 31, 2005 33.65 .01 1.31 1.32 December 31, 2004 29.75 (.10) 6.95 6.85 December 31, 2003 20.11 (.18) 13.11 12.93 December 31, 2002 31.91 (.17) (11.08) (11.25) INVERSE RUSSELL 2000(R) FUND DECEMBER 31, 2006 40.60 1.30 (6.16) (4.86) December 31, 2005 42.83 .65 (1.98) (1.33) December 31, 2004* 50.00 (.10) (7.07) (7.17) GOVERNMENT LONG BOND ADVANTAGE FUND DECEMBER 31, 2006 12.38 .42 (.82) (.40) December 31, 2005 11.88 .41 .50 .91 December 31, 2004 11.67 .40 .54 .94 December 31, 2003 13.08 .41 (.52) (.11) December 31, 2002 11.44 .44 1.64 2.08 INVERSE GOVERNMENT LONG BOND FUND DECEMBER 31, 2006 20.80 .69 .97 1.66 December 31, 2005 21.95 (.07) (1.08) (1.15) December 31, 2004 24.82 (.66) (1.98) (2.64) December 31, 2003* 25.00 (.13) (.05) (.18) EUROPE ADVANTAGE FUND DECEMBER 31, 2006 23.84 .70 6.31 7.01 December 31, 2005 22.62 .21 1.23 1.44 December 31, 2004 22.87 (.05) 3.71 3.66 December 31, 2003 19.52 (.17) 8.58 8.41 December 31, 2002 28.01 (.09) (7.84) (7.93) DISTRIBUTIONS DISTRIBUTIONS FROM NET NET INCREASE NET ASSET FROM NET REALIZED (DECREASE) IN VALUE, INVESTMENT CAPITAL TOTAL NET ASSET END OF YEAR ENDED INCOME GAINS DISTRIBUTIONS VALUE PERIOD ---------------------------------------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND DECEMBER 31, 2006 $ (.13) $ (9.16) $ (9.29) $ (5.95) $ 24.20 December 31, 2005 -- (.08) (.08) 3.65 30.15 December 31, 2004 -- (3.11) (3.11) 1.76 26.50 December 31, 2003 -- (2.35) (2.35) 6.97 24.74 December 31, 2002 -- (6.14) (6.14) (13.44) 17.77 INVERSE MID-CAP FUND DECEMBER 31, 2006 (.68) -- (.68) (2.19) 36.96 December 31, 2005 (1.27) -- (1.27) (4.88) 39.15 December 31, 2004* -- -- -- (5.97) 44.03 DYNAMIC RUSSELL 2000(R) FUND DECEMBER 31, 2006* (.04) -- (.04) .97 25.97 RUSSELL 2000(R) ADVANTAGE FUND DECEMBER 31, 2006 (.12) -- (.12) 7.00 41.14 December 31, 2005 (.83) -- (.83) .49 34.14 December 31, 2004 -- (2.95) (2.95) 3.90 33.65 December 31, 2003 -- (3.29) (3.29) 9.64 29.75 December 31, 2002 -- (.55) (.55) (11.80) 20.11 INVERSE RUSSELL 2000(R) FUND DECEMBER 31, 2006 (1.13) -- (1.13) (5.99) 34.61 December 31, 2005 (.90) -- (.90) (2.23) 40.60 December 31, 2004* -- -- -- (7.17) 42.83 GOVERNMENT LONG BOND ADVANTAGE FUND DECEMBER 31, 2006 (.42) -- (.42) (.82) 11.56 December 31, 2005 (.41) -- (.41) .50 12.38 December 31, 2004 (.40) (.33) (.73) .21 11.88 December 31, 2003 (.41) (.89) (1.30) (1.41) 11.67 December 31, 2002 (.44) -- (.44) 1.64 13.08 INVERSE GOVERNMENT LONG BOND FUND DECEMBER 31, 2006 (.91) -- (.91) .75 21.55 December 31, 2005 -- -- -- (1.15) 20.80 December 31, 2004 -- (.23) (.23) (2.87) 21.95 December 31, 2003* -- -- -- (.18) 24.82 EUROPE ADVANTAGE FUND DECEMBER 31, 2006 (.48) (.77) (1.25) 5.76 29.60 December 31, 2005 (.09) (.13) (.22) 1.22 23.84 December 31, 2004 (3.82) (.09) (3.91) (.25) 22.62 December 31, 2003 -- (5.06) (5.06) 3.35 22.87 December 31, 2002 (.01) (.55) (.56) (8.49) 19.52 RATIOS TO AVERAGE NET ASSETS: ------------------------ NET NET ASSETS, TOTAL INVESTMENT PORTFOLIO END OF INVESTMENT TOTAL NET OPERATING INCOME TURNOVER PERIOD (000'S YEAR ENDED RETURN EXPENSES EXPENSES EXPENSES++ (LOSS) RATE*** OMITTED) ----------------------------------------------------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND DECEMBER 31, 2006 10.46% 1.64% 1.64% 1.64% 0.34% 478% $ 38,986 December 31, 2005 14.07% 1.65% 1.65% 1.65% (0.05)% 573% 51,197 December 31, 2004 22.14% 1.64% 1.64% 1.64% (0.37)% 866% 34,162 December 31, 2003 52.43% 1.70% 1.70% 1.70% (0.54)% 1,665% 18,544 December 31, 2002 (24.44)% 1.75% 1.75% 1.75% (0.49)% 4,320% 6,707 INVERSE MID-CAP FUND DECEMBER 31, 2006 (3.83)% 1.65% 1.65% 1.65% 3.49% -- 5,959 December 31, 2005 (8.16)% 1.64% 1.64% 1.64% 1.65% -- 2,846 December 31, 2004* (11.94)% 1.62%** 1.62%** 1.62%** (0.17)%** -- 1,319 DYNAMIC RUSSELL 2000(R) FUND DECEMBER 31, 2006* 4.06% 1.64%** 1.64%** 1.64%** 1.02%** 60% 4,584 RUSSELL 2000(R) ADVANTAGE FUND DECEMBER 31, 2006 20.85% 1.64% 1.64% 1.64% 0.49% 380% 73,112 December 31, 2005 3.91% 1.63% 1.63% 1.63% 0.04% 404% 38,589 December 31, 2004 25.20% 1.65% 1.65% 1.65% (0.32)% 1,171% 112,649 December 31, 2003 64.28% 1.70% 1.70% 1.70% (0.66)% 1,135% 122,995 December 31, 2002 (35.45)% 1.74% 1.74% 1.74% (0.70)% 1,940% 12,947 INVERSE RUSSELL 2000(R) FUND DECEMBER 31, 2006 (11.95)% 1.64% 1.64% 1.64% 3.48% -- 12,237 December 31, 2005 (3.07)% 1.63% 1.63% 1.63% 1.49% -- 11,850 December 31, 2004* (14.34)% 1.65%** 1.65%** 1.65%** (0.29)%** -- 4,344 GOVERNMENT LONG BOND ADVANTAGE FUND DECEMBER 31, 2006 (3.14%) 1.20% 1.20% 1.20% 3.66% 1,339% 50,420 December 31, 2005 7.71% 1.18% 1.18% 1.18% 3.30% 1,284% 60,160 December 31, 2004 8.42% 1.21% 1.21% 1.21% 3.36% 1,318% 48,709 December 31, 2003 (0.64)% 1.23% 1.23% 1.23% 3.26% 1,272% 65,358 December 31, 2002 18.62% 1.24% 1.24% 1.24% 3.65% 1,239% 25,190 INVERSE GOVERNMENT LONG BOND FUND DECEMBER 31, 2006 8.11% 5.12% 5.12% 1.63% 3.08% 597% 29,246 December 31, 2005 (5.24)% 5.11% 5.11% 1.63% (0.33)% 589% 29,671 December 31, 2004 (10.67)% 5.02% 5.02% 1.63% (2.86)% -- 41,098 December 31, 2003* (0.72)% 1.69%** 1.69%** 1.69%** (0.74)%** -- 22,355 EUROPE ADVANTAGE FUND DECEMBER 31, 2006 29.51% 1.65% 1.65% 1.65% 2.55% 219% 89,490 December 31, 2005 6.36% 1.63% 1.63% 1.63% 0.94% 399% 25,954 December 31, 2004 16.15% 1.64% 1.64% 1.64% (0.23)% -- 54,994 December 31, 2003 43.08% 1.70% 1.70% 1.70% (0.75)% -- 38,443 December 31, 2002 (28.35)% 1.78% 1.78% 1.78% (0.41)% -- 3,082
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 1, 2003 -- INVERSE GOVERNMENT LONG BOND FUND; MAY 3, 2004 -- INVERSE MID-CAP FUND AND INVERSE RUSSELL 2000(R) FUND; OCTOBER 27, 2006 -- DYNAMIC RUSSELL 2000(R) FUND. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ OPERATING EXPENSES EXCLUDE INTEREST EXPENSE FROM SECURITIES SOLD SHORT. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 203 FINANCIAL HIGHLIGHTS (CONTINUED) -------------------------------------------------------------------------------- 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.
NET INCREASE NET REALIZED (DECREASE) DISTRIBUTIONS NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS ------------------------------------------------------------------------------------------------------------------------------ JAPAN ADVANTAGE FUND DECEMBER 31, 2006 $ 33.42 $ 1.02 $ .50 $ 1.52 $ (1.29) $ (6.52) $ (7.81) December 31, 2005 27.77 .48 5.17 5.65 -- -- -- December 31, 2004 25.17 (.14) 2.74 2.60 -- -- -- December 31, 2003 18.29 (.16) 7.04 6.88 -- -- -- December 31, 2002 21.91 (.08) (3.46) (3.54) -- (.08) (.08) DYNAMIC DOW FUND DECEMBER 31, 2006 23.10 .40 6.58 6.98 (.15) (3.04) (3.19) December 31, 2005 25.89 .24 (1.25) (1.01) (.17) (1.61) (1.78) December 31, 2004* 25.00 .14 2.03 2.17 (1.16) (.12) (1.28) INVERSE DYNAMIC DOW FUND DECEMBER 31, 2006 43.20 1.35 (10.75) (9.40) (.46) -- (.46) December 31, 2005 43.22 .74 (.06) .68 (.70) -- (.70) December 31, 2004* 50.00 (.03) (5.71) (5.74) -- (1.04) (1.04) SMALL-CAP VALUE FUND DECEMBER 31, 2006 25.67 .18 4.74 4.92 (.17) (1.82) (1.99) December 31, 2005 28.84 (.05) 1.13 1.08 -- (4.25) (4.25) December 31, 2004* 25.00 .01 4.50 4.51 (.01) (.66) (.67) MID-CAP VALUE FUND DECEMBER 31, 2006 19.27 .28 3.01 3.29 (.18) -- (.18) December 31, 2005 27.08 .07 2.28 2.35 (.20) (9.96) (10.16) December 31, 2004* 25.00 -- 3.80 3.80 (--)# (1.72) (1.72) LARGE-CAP VALUE FUND DECEMBER 31, 2006 27.90 .39 4.53 4.92 (.25) (.79) (1.04) December 31, 2005 27.68 .21 .95 1.16 (.15) (.79) (.94) December 31, 2004* 25.00 .12 3.00 3.12 (.11) (.33) (.44) SMALL-CAP GROWTH FUND DECEMBER 31, 2006 28.64 (.31) 2.54 2.23 -- (.95) (.95) December 31, 2005 28.55 (.21) 2.00 1.79 -- (1.70) (1.70) December 31, 2004* 25.00 (.17) 4.12 3.95 -- (.40) (.40) MID-CAP GROWTH FUND DECEMBER 31, 2006 30.24 (.28) 1.26 .98 -- (1.89) (1.89) December 31, 2005 27.13 (.20) 3.31 3.11 -- -- -- December 31, 2004* 25.00 (.13) 2.26 2.13 -- -- -- LARGE-CAP GROWTH FUND DECEMBER 31, 2006 25.69 (.17) 1.56 1.39 -- (.40) (.40) December 31, 2005 25.75 (.01) .47 .46 (.02) (.50) (.52) December 31, 2004* 25.00 .36 .71 1.07 (.15) (.17) (.32) DYNAMIC STRENGHTHENING DOLLAR FUND DECEMBER 31, 2006 25.62 .79 (3.51) (2.72) (.31) -- (.31) December 31, 2005* 25.00 .14 .65 .79 (.17) -- (.17) RATIOS TO AVERAGE NET ASSETS: ------------------ NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) -------------------------------------------------------------------------------------------------------------------- JAPAN ADVANTAGE FUND DECEMBER 31, 2006 $ (6.29) $ 27.13 5.14% 1.63% 2.99% -- $ 30,510 December 31, 2005 5.65 33.42 20.35% 1.70% 1.72% -- 55,219 December 31, 2004 2.60 27.77 10.33% 1.63% (0.50)% -- 14,228 December 31, 2003 6.88 25.17 37.62% 1.69% (0.75)% -- 11,541 December 31, 2002 (3.62) 18.29 (16.20)% 1.80% (0.38)% -- 3,590 DYNAMIC DOW FUND DECEMBER 31, 2006 3.79 26.89 30.54% 1.65% 1.52% 224% 45,365 December 31, 2005 (2.79) 23.10 (3.81)% 1.67% 1.03% 666% 12,920 December 31, 2004* .89 25.89 8.65% 1.63%** 0.91%** 907% 10,419 INVERSE DYNAMIC DOW FUND DECEMBER 31, 2006 (9.86) 33.34 (21.77)% 1.64% 3.61% -- 17,053 December 31, 2005 (.02) 43.20 1.63% 1.65% 1.67% -- 7,257 December 31, 2004* (6.78) 43.22 (11.47)% 1.62%** (0.09)%** -- 3,184 SMALL-CAP VALUE FUND DECEMBER 31, 2006 2.93 28.60 19.21% 1.49% 0.64% 433% 34,124 December 31, 2005 (3.17) 25.67 3.64% 1.47% (0.16)% 825% 19,035 December 31, 2004* 3.84 28.84 18.03% 1.46%** 0.07%** 507% 47,274 MID-CAP VALUE FUND DECEMBER 31, 2006 3.11 22.38 17.08% 1.49% 1.37% 307% 28,254 December 31, 2005 (7.81) 19.27 8.32% 1.48% 0.26% 1,133% 14,232 December 31, 2004* 2.08 27.08 15.20% 1.48%** 0.01%** 1,173% 19,479 LARGE-CAP VALUE FUND DECEMBER 31, 2006 3.88 31.78 17.66% 1.50% 1.29% 401% 83,323 December 31, 2005 .22 27.90 4.19% 1.50% 0.77% 493% 24,547 December 31, 2004* 2.68 27.68 12.49% 1.45%** 0.69%** 983% 11,144 SMALL-CAP GROWTH FUND DECEMBER 31, 2006 1.28 29.92 7.73% 1.49% (1.01)% 769% 23,300 December 31, 2005 .09 28.64 6.20% 1.50% (0.72)% 737% 24,308 December 31, 2004* 3.55 28.55 15.82% 1.46%** (0.93)%** 733% 30,269 MID-CAP GROWTH FUND DECEMBER 31, 2006 (.91) 29.33 3.13% 1.47% (0.90)% 462% 15,440 December 31, 2005 3.11 30.24 11.46% 1.52% (0.70)% 1,178% 53,035 December 31, 2004* 2.13 27.13 8.52% 1.46%** (0.75)%** 875% 20,702 LARGE-CAP GROWTH FUND DECEMBER 31, 2006 .99 26.68 5.40% 1.49% (0.66)% 612% 23,568 December 31, 2005 (.06) 25.69 1.77% 1.52% (0.03)% 1,111% 22,538 December 31, 2004* .75 25.75 4.26% 1.46%** 2.12%** 1,087% 20,012 DYNAMIC STRENGHTHENING DOLLAR FUND DECEMBER 31, 2006 (3.03) 22.59 (10.63)% 1.65% 3.33% -- 3,067 December 31, 2005* .62 25.62 3.16% 1.78%** 2.11%** -- 1,250
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 3, 2004 -- DYNAMIC DOW FUND, INVERSE DYNAMIC DOW FUND, SMALL-CAP VALUE FUND, MID-CAP VALUE FUND, LARGE-CAP VALUE FUND, SMALL-CAP GROWTH FUND, MID-CAP GROWTH FUND AND LARGE-CAP GROWTH FUND; SEPTEMBER 30, 2005 -- DYNAMIC STRENGTHENING DOLLAR FUND. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. # LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00454. 204 | THE RYDEX VARIABLE TRUST ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) -------------------------------------------------------------------------------- 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.
NET INCREASE NET REALIZED (DECREASE) DISTRIBUTIONS NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS ------------------------------------------------------------------------------------------------------------------------------ DYNAMIC WEAKENING DOLLAR FUND DECEMBER 31, 2006 $ 24.31 $ .93 $ 3.14 $ 4.07 $ (.86) $ (.01) $ (.87) December 31, 2005* 25.00 .15 (.78) (.63) (.06) -- (.06) MULTI-CAP CORE EQUITY FUND DECEMBER 31, 2006 25.04 .08 3.52 3.60 (.01) (.03) (.04) December 31, 2005* 25.00 .01 .03 .04 -- -- -- SECTOR ROTATION FUND DECEMBER 31, 2006 12.68 (.02) 1.48 1.46 -- (.67) (.67) December 31, 2005 11.16 (.02) 1.54 1.52 -- -- -- December 31, 2004 10.08 (.05) 1.13 1.08 -- -- -- December 31, 2003 7.76 (.07) 2.39 2.32 -- -- -- December 31, 2002* 10.00 (.01) (2.23) (2.24) -- -- -- U.S. GOVERNMENT MONEY MARKET FUND DECEMBER 31, 2006 1.00 .04 -- .04 (.04) -- (.04) December 31, 2005 1.00 .02 -- .02 (.02) -- (.02) December 31, 2004 1.00 --### -- -- (--)### -- (--)### December 31, 2003 1.00 --## -- -- (--)## -- (--)## December 31, 2002 1.00 --# -- -- (--)# -- (--)# BANKING FUND DECEMBER 31, 2006 29.69 .44 2.89 3.33 (.58) -- (.58) December 31, 2005 36.29 .44 (1.52) (1.08) (.49) (5.03) (5.52) December 31, 2004 32.50 .35 4.38 4.73 (.11) (.83) (.94) December 31, 2003 24.95 .36 7.52 7.88 (.33) -- (.33) December 31, 2002 25.21 .28 (.47) (.19) (.07) -- (.07) BASIC MATERIALS FUND DECEMBER 31, 2006 27.87 .32 5.90 6.22 (.31) (.45) (.76) December 31, 2005 32.66 .12 0.80 0.92 (.13) (5.58) (5.71) December 31, 2004 27.69 .09 5.58 5.67 (.01) (.69) (.70) December 31, 2003 21.07 .04 6.59 6.63 (.01) -- (.01) December 31, 2002 24.21 .09 (3.17) (3.08) (.06) -- (.06) BIOTECHNOLOGY FUND DECEMBER 31, 2006 21.37 (.32) (.39) (.71) -- -- -- December 31, 2005 19.31 (.31) 2.37 2.06 -- -- -- December 31, 2004 19.10 (.29) .50 .21 -- -- -- December 31, 2003 13.44 (.28) 5.94 5.66 -- -- -- December 31, 2002 24.67 (.28) (10.91) (11.19) -- (.04) (.04) COMMODITIES FUND DECEMBER 31, 2006 22.10 .50 (4.45) (3.95) -- -- -- December 31, 2005* 25.00 .14 (2.98) (2.84) (.06) -- (.06) RATIOS TO AVERAGE NET ASSETS: ---------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL NET INCOME TURNOVER PERIOD (000'S YEAR ENDED VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) ----------------------------------------------------------------------------------------------------------------------------- DYNAMIC WEAKENING DOLLAR FUND DECEMBER 31, 2006 $ 3.20 $ 27.51 16.72% 1.65% 1.65% 3.46% -- $ 11,155 December 31, 2005* (.69) 24.31 (2.53)% 1.76%** 1.76%** 2.28%** -- 2,954 MULTI-CAP CORE EQUITY FUND DECEMBER 31, 2006 3.56 28.60 14.36% 1.43% 1.43% 0.29% 171% 8,358 December 31, 2005* 0.04 25.04 0.16% 1.67%** 1.67%** 0.33%** 8% 2,860 SECTOR ROTATION FUND DECEMBER 31, 2006 .79 13.47 11.47% 1.64% 1.64% (0.16)% 353% 87,673 December 31, 2005 1.52 12.68 13.62% 1.70% 1.70% (0.20)% 281% 61,834 December 31, 2004 1.08 11.16 10.71% 1.63% 1.63% (0.52)% 333% 27,747 December 31, 2003 2.32 10.08 29.97% 1.70% 1.70% (0.78)% 401% 20,594 December 31, 2002* (2.24) 7.76 (22.40)% 1.69%** 1.69%** (0.16)%** 357% 6,669 U.S. GOVERNMENT MONEY MARKET FUND DECEMBER 31, 2006 -- 1.00 3.82% 1.19% 1.19% 3.78% -- 208,148 December 31, 2005 -- 1.00 2.00% 1.17% 1.17% 1.96% -- 185,365 December 31, 2004 -- 1.00 0.23% 1.19% 1.10% 0.20% -- 167,678 December 31, 2003 -- 1.00 0.01% 1.22% 1.11% 0.01% -- 232,493 December 31, 2002 -- 1.00 0.47% 1.23% 1.23% 0.44% -- 258,953 BANKING FUND DECEMBER 31, 2006 2.75 32.44 11.25% 1.59% 1.59% 1.42% 259% 24,348 December 31, 2005 (6.60) 29.69 (2.77)% 1.58% 1.58% 1.34% 532% 14,580 December 31, 2004 3.79 36.29 14.74% 1.59% 1.59% 1.02% 884% 21,920 December 31, 2003 7.55 32.50 31.74% 1.65% 1.65% 1.24% 1,268% 17,115 December 31, 2002 (.26) 24.95 (0.78)% 1.67% 1.67% 1.10% 1,813% 5,008 BASIC MATERIALS FUND DECEMBER 31, 2006 5.46 33.33 22.29% 1.60% 1.60% 1.02% 225% 58,622 December 31, 2005 (4.79) 27.87 4.04% 1.57% 1.57% 0.41% 364% 28,317 December 31, 2004 4.97 32.66 20.83% 1.59% 1.59% 0.30% 725% 46,162 December 31, 2003 6.62 27.69 31.46% 1.67% 1.67% 0.17% 1,175% 44,561 December 31, 2002 (3.14) 21.07 (12.75)% 1.75% 1.75% 0.38% 1,848% 901 BIOTECHNOLOGY FUND DECEMBER 31, 2006 (.71) 20.66 (3.32)% 1.59% 1.59% (1.48)% 379% 10,754 December 31, 2005 2.06 21.37 10.67% 1.66% 1.66% (1.59)% 652% 36,086 December 31, 2004 .21 19.31 1.10% 1.59% 1.59% (1.51)% 1,169% 6,588 December 31, 2003 5.66 19.10 42.11% 1.64% 1.64% (1.61)% 1,475% 12,557 December 31, 2002 (11.23) 13.44 (45.35)% 1.79% 1.79% (1.76)% 3,483% 3,575 COMMODITIES FUND DECEMBER 31, 2006 (3.95) 18.15 (17.87)% 1.50% 1.31% 2.34% 109% 20,269 December 31, 2005* (2.90) 22.10 (11.34)% 1.64%** 1.64%** 2.41%** -- 28,187
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 1, 2002 -- SECTOR ROTATION FUND; SEPTEMBER 30, 2005 -- DYNAMIC WEAKENING DOLLAR FUND AND COMMODITIES FUND; NOVEMBER 29, 2005 -- MULTI-CAP CORE EQUITY FUND. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. # LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00471. ## LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00011. ### LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00199. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 205 FINANCIAL HIGHLIGHTS (CONTINUED) -------------------------------------------------------------------------------- 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.
NET INCREASE NET REALIZED (DECREASE) DISTRIBUTIONS NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS ---------------------------------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND DECEMBER 31, 2006 $ 31.63 $ .48 $ 5.03 $ 5.51 $ (.27) $ (.32) $ (.59) December 31, 2005 32.95 .14 (.26) (.12) (.17) (1.03) (1.20) December 31, 2004 29.39 .11 3.78 3.89 (.01) (.32) (.33) December 31, 2003 24.36 .01 5.29 5.30 (.02) (.25) (.27) December 31, 2002 25.32 .04 (.95) (.91) (.01) (.04) (.05) ELECTRONICS FUND DECEMBER 31, 2006 13.68 (.15) .49 .34 -- -- -- December 31, 2005 13.17 (.16) .67 .51 -- -- -- December 31, 2004 16.88 (.20) (3.51) (3.71) -- -- -- December 31, 2003 9.94 (.21) 7.15 6.94 -- -- -- December 31, 2002 20.64 (.24) (9.67) (9.91) -- (.79) (.79) ENERGY FUND DECEMBER 31, 2006 39.20 (.13) 5.28 5.15 -- (11.21) (11.21) December 31, 2005 29.68 -- 11.44 11.44 (.01) (1.91) (1.92) December 31, 2004 22.45 .01 7.23 7.24 (--) # (.01) (.01) December 31, 2003 18.25 .01 4.19 4.20 -- -- -- December 31, 2002 21.10 (.02) (2.83) (2.85) -- -- -- ENERGY SERVICES FUND DECEMBER 31, 2006 30.92 (.37) 4.01 3.64 -- (4.77) (4.77) December 31, 2005 20.85 (.30) 10.37 10.07 -- -- -- December 31, 2004 15.59 (.22) 5.48 5.26 -- -- -- December 31, 2003 14.38 (.16) 1.37 1.21 -- -- -- December 31, 2002 17.74 (.17) (2.08) (2.25) -- (1.11) (1.11) FINANCIAL SERVICES FUND DECEMBER 31, 2006 29.10 .26 4.59 4.85 (.39) (1.38) (1.77) December 31, 2005 30.38 .28 .67 .95 (.25) (1.98) (2.23) December 31, 2004 26.00 .23 4.21 4.44 (.06) -- (.06) December 31, 2003 20.19 .14 5.70 5.84 (.03) -- (.03) December 31, 2002 23.90 .09 (3.69) (3.60) -- (.11) (.11) HEALTH CARE FUND DECEMBER 31, 2006 28.17 (.15) 1.59 1.44 -- (1.20) (1.20) December 31, 2005 25.46 (.16) 2.87 2.71 -- -- -- December 31, 2004 24.28 (.16) 1.65 1.49 -- (.31) (.31) December 31, 2003 18.71 (.19) 5.76 5.57 -- -- -- December 31, 2002 23.82 (.09) (4.98) (5.07) -- (.04) (.04) INTERNET FUND DECEMBER 31, 2006 14.74 (.21) 1.64 1.43 -- -- -- December 31, 2005 17.01 (.21) (.13) (.34) -- (1.93) (1.93) December 31, 2004 14.68 (.23) 2.56 2.33 -- -- -- December 31, 2003 8.93 (.20) 5.95 5.75 -- -- -- December 31, 2002 15.76 (.17) (6.66) (6.83) -- -- -- RATIOS TO AVERAGE NET ASSETS: -------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE* OMITTED) -------------------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND DECEMBER 31, 2006 $ 4.92 $ 36.55 17.42% 1.59% 1.41% 219% $ 43,007 December 31, 2005 (1.32) 31.63 (0.40)% 1.58% 0.42% 357% 22,177 December 31, 2004 3.56 32.95 13.30% 1.59% 0.36% 730% 24,433 December 31, 2003 5.03 29.39 21.86% 1.63% 0.12% 936% 8,818 December 31, 2002 (.96) 24.36 (3.61)% 1.72% 0.18% 985% 6,153 ELECTRONICS FUND DECEMBER 31, 2006 .34 14.02 2.49% 1.59% (1.02)% 477% 3,856 December 31, 2005 .51 13.68 3.87% 1.62% (1.24)% 1,136% 8,306 December 31, 2004 (3.71) 13.17 (21.98)% 1.59% (1.34)% 1,325% 12,289 December 31, 2003 6.94 16.88 69.82% 1.65% (1.51)% 1,264% 27,918 December 31, 2002 (10.70) 9.94 (48.21)% 1.84% (1.63)% 2,685% 4,384 ENERGY FUND DECEMBER 31, 2006 (6.06) 33.14 11.93% 1.59% (0.31)% 146% 70,190 December 31, 2005 9.52 39.20 38.54% 1.59% (0.01)% 351% 83,437 December 31, 2004 7.23 29.68 32.27% 1.58% 0.04% 542% 60,501 December 31, 2003 4.20 22.45 23.01% 1.66% 0.04% 1,225% 31,832 December 31, 2002 (2.85) 18.25 (13.51)% 1.72% (0.13)% 1,341% 5,834 ENERGY SERVICES FUND DECEMBER 31, 2006 (1.13) 29.79 10.98% 1.59% (1.08)% 184% 43,910 December 31, 2005 10.07 30.92 48.30% 1.61% (1.17)% 317% 79,722 December 31, 2004 5.26 20.85 33.74% 1.58% (1.19)% 808% 29,316 December 31, 2003 1.21 15.59 8.41% 1.65% (1.13)% 2,691% 7,754 December 31, 2002 (3.36) 14.38 (12.07)% 1.71% (1.00)% 2,159% 4,427 FINANCIAL SERVICES FUND DECEMBER 31, 2006 3.08 32.18 16.73% 1.59% 0.83% 330% 50,190 December 31, 2005 (1.28) 29.10 3.38% 1.59% 0.94% 549% 36,839 December 31, 2004 4.38 30.38 17.12% 1.59% 0.84% 762% 45,180 December 31, 2003 5.81 26.00 28.92% 1.64% 0.61% 2,039% 15,581 December 31, 2002 (3.71) 20.19 (15.10)% 1.85% 0.41% 1,727% 2,748 HEALTH CARE FUND DECEMBER 31, 2006 .24 28.41 5.11% 1.59% (0.52)% 251% 40,825 December 31, 2005 2.71 28.17 10.64% 1.60% (0.62)% 330% 51,692 December 31, 2004 1.18 25.46 6.22% 1.59% (0.67)% 629% 30,435 December 31, 2003 5.57 24.28 29.77% 1.64% (0.88)% 1,222% 27,880 December 31, 2002 (5.11) 18.71 (21.31)% 1.70% (0.45)% 1,617% 5,164 INTERNET FUND DECEMBER 31, 2006 1.43 16.17 9.70% 1.58% (1.33)% 420% 9,381 December 31, 2005 (2.27) 14.74 (1.38)% 1.61% (1.36)% 676% 20,959 December 31, 2004 2.33 17.01 15.87% 1.58% (1.49)% 693% 36,922 December 31, 2003 5.75 14.68 64.39% 1.65% (1.59)% 957% 25,101 December 31, 2002 (6.83) 8.93 (43.34)% 1.75% (1.69)% 3,041% 3,703
* PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. # LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00170. 206 | THE RYDEX VARIABLE TRUST ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) -------------------------------------------------------------------------------- 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.
NET INCREASE NET REALIZED (DECREASE) DISTRIBUTIONS NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS ----------------------------------------------------------------------------------------------------------------------------------- LEISURE FUND DECEMBER 31, 2006 $ 21.96 $ (.02) $ 5.17 $ 5.15 $ -- $ (.92) $ (.92) December 31, 2005 25.39 (.19) (1.03) (1.22) -- (2.21) (2.21) December 31, 2004 20.80 (.17) 5.07 4.90 -- (.31) (.31) December 31, 2003 15.42 (.08) 5.46 5.38 -- -- -- December 31, 2002 18.09 (.18) (2.49) (2.67) -- -- -- PRECIOUS METALS FUND DECEMBER 31, 2006 10.36 (.03) 2.25 2.22 -- -- -- December 31, 2005 8.57 (.02) 1.81 1.79 -- -- -- December 31, 2004 9.99 (.05) (1.37) (1.42) -- -- -- December 31, 2003 7.09 (.03) 2.93 2.90 -- -- -- December 31, 2002 4.87 (.02) 2.24 2.22 -- -- -- REAL ESTATE FUND DECEMBER 31, 2006 40.30 .72 11.68 12.40 (.83) (1.62) (2.45) December 31, 2005 38.02 .71 2.01 2.72 (.44) -- (.44) December 31, 2004 30.25 1.02 7.79 8.81 (.14) (.90) (1.04) December 31, 2003 24.96 .94 6.62 7.56 (.85) (1.42) (2.27) December 31, 2002 25.77 1.97 (2.26) (.29) (.48) (.04) (.52) RETAILING FUND DECEMBER 31, 2006 27.85 (.11) 2.92 2.81 -- (.88) (.88) December 31, 2005 26.65 (.25) 1.70 1.45 -- (.25) (.25) December 31, 2004 25.99 (.22) 2.62 2.40 -- (1.74) (1.74) December 31, 2003 19.29 (.25) 7.05 6.80 -- (.10) (.10) December 31, 2002 25.65 (.27) (5.30) (5.57) -- (.79) (.79) TECHNOLOGY FUND DECEMBER 31, 2006 13.92 (.16) .98 .82 -- -- -- December 31, 2005 13.50 (.16) .58 .42 -- -- -- December 31, 2004 14.88 (.05) .03 (.02) -- (1.36) (1.36) December 31, 2003 9.92 (.18) 6.21 6.03 -- (1.07) (1.07) December 31, 2002 18.61 (.18) (7.15) (7.33) -- (1.36) (1.36) TELECOMMUNICATIONS FUND DECEMBER 31, 2006 18.81 .15 3.52 3.67 (0.29) (0.28) (0.57) December 31, 2005 20.53 .19 .06 .25 -- (1.97) (1.97) December 31, 2004 18.22 (.02) 2.33 2.31 -- -- -- December 31, 2003 13.63 (.03) 4.62 4.59 -- (--)# (--)# December 31, 2002 22.56 (.05) (8.88) (8.93) -- -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE* OMITTED) -------------------------------------------------------------------------------------------------------------------- LEISURE FUND DECEMBER 31, 2006 $ 4.23 $ 26.19 23.47% 1.60% (0.07)% 221% $ 37,699 December 31, 2005 (3.43) 21.96 (4.87)% 1.56% (0.79)% 369% 13,961 December 31, 2004 4.59 25.39 23.86% 1.58% (0.74)% 663% 51,755 December 31, 2003 5.38 20.80 34.89% 1.65% (0.41)% 1,353% 30,016 December 31, 2002 (2.67) 15.42 (14.76)% 1.74% (0.98)% 1,976% 2,015 PRECIOUS METALS FUND DECEMBER 31, 2006 2.22 12.58 21.43% 1.49% (0.26)% 228% 62,910 December 31, 2005 1.79 10.36 20.89% 1.57% (0.24)% 308% 68,241 December 31, 2004 (1.42) 8.57 (14.21)% 1.46% (0.54)% 519% 35,043 December 31, 2003 2.90 9.99 40.90% 1.54% (0.38)% 658% 44,606 December 31, 2002 2.22 7.09 45.59% 1.67% (0.29)% 1,001% 38,839 REAL ESTATE FUND DECEMBER 31, 2006 9.95 50.25 30.72% 1.60% 1.54% 532% 83,181 December 31, 2005 2.28 40.30 7.15% 1.59% 1.84% 774% 29,074 December 31, 2004 7.77 38.02 29.54% 1.59% 3.06% 1,139% 26,915 December 31, 2003 5.29 30.25 30.31% 1.64% 3.26% 1,478% 12,183 December 31, 2002 (.81) 24.96 (1.12)% 1.68% 7.60% 1,927% 1,902 RETAILING FUND DECEMBER 31, 2006 1.93 29.78 10.08% 1.59% (0.37)% 227% 28,306 December 31, 2005 1.20 27.85 5.48% 1.58% (0.90)% 421% 17,616 December 31, 2004 .66 26.65 10.06% 1.58% (0.83)% 609% 20,800 December 31, 2003 6.70 25.99 35.27% 1.64% (1.04)% 785% 15,149 December 31, 2002 (6.36) 19.29 (21.91)% 1.81% (1.23)% 1,668% 3,102 TECHNOLOGY FUND DECEMBER 31, 2006 .82 14.74 5.89% 1.59% (1.09)% 403% 23,215 December 31, 2005 .42 13.92 3.11% 1.62% (1.21)% 541% 19,145 December 31, 2004 (1.38) 13.50 1.15% 1.58% (0.36)% 767% 19,919 December 31, 2003 4.96 14.88 61.32% 1.64% (1.39)% 1,302% 20,641 December 31, 2002 (8.69) 9.92 (39.11)% 1.71% (1.52)% 1,098% 5,021 TELECOMMUNICATIONS FUND DECEMBER 31, 2006 3.10 21.91 19.51% 1.59% 0.72% 264% 33,337 December 31, 2005 (1.72) 18.81 1.16% 1.60% 0.98% 362% 16,898 December 31, 2004 2.31 20.53 12.68% 1.58% (0.08)% 809% 30,191 December 31, 2003 4.59 18.22 33.68% 1.64% (0.19)% 974% 14,543 December 31, 2002 (8.93) 13.63 (39.58)% 1.69% (0.39)% 855% 6,106
* PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. # LESS THAN $.01 PER SHARE. ACTUAL AMOUNT = $.00020. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 207 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.
NET INCREASE NET REALIZED (DECREASE) DISTRIBUTIONS NET ASSET NET AND IN NET ASSET DISTRIBUTIONS FROM NET VALUE, INVESTMENT UNREALIZED VALUE FROM NET REALIZED BEGINNING INCOME GAINS (LOSSES) RESULTING FROM INVESTMENT CAPITAL TOTAL YEAR ENDED OF PERIOD (LOSS)+ ON SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS ------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION FUND DECEMBER 31, 2006 $ 32.64 $ (.24) $ 2.65 $ 2.41 $ -- $ -- $ -- December 31, 2005 31.45 (.19) 2.64 2.45 -- (1.26) (1.26) December 31, 2004 25.97 (.20) 6.09 5.89 -- (.41) (.41) December 31, 2003 21.55 (.15) 4.57 4.42 -- -- -- December 31, 2002 24.40 (.14) (2.71) (2.85) -- -- -- UTILITIES FUND DECEMBER 31, 2006 19.09 .36 3.64 4.00 (.49) (.22) (.71) December 31, 2005 17.34 .34 1.50 1.84 (.09) -- (.09) December 31, 2004 14.96 .33 2.24 2.57 (.19) -- (.19) December 31, 2003 12.24 .31 2.77 3.08 (.36) -- (.36) December 31, 2002 18.23 .33 (6.31) (5.98) (.01) -- (.01) RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S YEAR ENDED VALUE PERIOD RETURN EXPENSES (LOSS) RATE* OMITTED) ----------------------------------------------------------------------------------------------------------------- TRANSPORTATION FUND DECEMBER 31, 2006 $ 2.41 $ 35.05 7.38% 1.59% (0.68)% 249% $ 29,549 December 31, 2005 1.19 32.64 8.48% 1.58% (0.63)% 258% 31,378 December 31, 2004 5.48 31.45 22.99% 1.57% (0.71)% 473% 47,333 December 31, 2003 4.42 25.97 20.51% 1.64% (0.65)% 1,045% 8,032 December 31, 2002 (2.85) 21.55 (11.68)% 1.69% (0.63)% 1,435% 6,301 UTILITIES FUND DECEMBER 31, 2006 3.29 22.38 20.96% 1.59% 1.73% 169% 71,719 December 31, 2005 1.75 19.09 10.56% 1.60% 1.80% 342% 39,943 December 31, 2004 2.38 17.34 17.31% 1.57% 2.06% 904% 21,902 December 31, 2003 2.72 14.96 25.40% 1.62% 2.29% 1,491% 13,430 December 31, 2002 (5.99) 12.24 (32.83)% 1.67% 2.54% 829% 23,846
* PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. 208 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION The Rydex Variable Trust (the "Trust"), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts. At December 31, 2006, the Trust consisted of fifty-five operating Funds: twenty-five Benchmark Funds, one Money Market Fund, one Absolute Return Strategies Fund, one Hedged Equity Fund, nineteen Sector Funds, two Strategic Funds, three Essential Portfolio Funds and three CLS Investment Firm AdvisorOne Funds. This report covers the Benchmark, Money Market, Sector and Strategic Funds (the "Funds"), while the Absolute Return Strategies Fund, the Hedged Equity Fund, the Essential Portfolio Funds and the CLS AdvisorOne Funds are contained in separate reports. Rydex Investments (the "Advisor") serves as investment advisor to the Funds. Rydex Distributors, Inc. (the "Distributor") acts as principal underwriter for the Trust. SIGNIFICANT ACCOUNTING POLICIES The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. Effective June 16, 2006, the Trust began calculating a net asset value per share ("NAV") twice each business day, first in the morning and again in the afternoon for the Dynamic S&P 500 Fund, the Dynamic OTC Fund, the Dynamic Dow Fund, and the Inverse Dynamic Dow Fund. All other Funds in the Trust will price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m., Eastern Time, and the afternoon NAV is calculated at the close of the New York Stock Exchange ("NYSE"), usually 4:00 p.m., Eastern Time. 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 December 31, 2006 afternoon NAV. B. All equity securities for the morning NAV are valued at the current sales price as of 10:45 a.m., Eastern Time, on the valuation date. Equity securities listed on an exchange (NYSE or American Stock Exchange) are valued at the last quoted sales price as of close of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date for the afternoon NAV. Equity securities listed on the Nasdaq market system are valued at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options held by the Trust are valued at their last bid price for the morning cycle or the Official Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. Over-the-Counter options held by the Trust are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the Trust 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 as of the spot price at 10:45 a.m., Eastern Time, on the valuation date for the morning pricing cycle. Financial futures contracts are valued at the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date for the afternoon NAV cycle. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, 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., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities, if any, are valued at amortized cost, which approximates market value. Debt securities with a maturity greater than 60 days, are valued at the last traded fill price at the close of the Fund's pricing cycle, unless no trades were executed, then at the reported bid price, at the close of the Fund's pricing cycle, usually 4:00 p.m., Eastern Time. Structured notes are valued in accordance with the terms of their agreement at the value of the underlying index close, usually 4:00 p.m., Eastern Time, adjusted for any interest accruals and financing charges. If the securities comprising the underlying index cease trading before the fund's close of business, the index will be fair valued with the use of an appropriate market indicator. The value of domestic equity index swap agreements entered into by the Funds 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 10:45 a.m., Eastern Time, for the morning NAV, and at the close of the NYSE, usually 4:00 p.m., Eastern Time for the afternoon NAV. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. The value of foreign equity index and currency index swap agreements entered into by the Funds are accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE, usually 4:00 p.m., Eastern Time. In the event that no order is filled at 4:00 p.m., Eastern Time, the security dealer provides a fair value quote at which the swap agreement is valued. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. Investments, including structured notes, for which market quotations are not readily available are valued at fair value as determined in good faith by the Advisor, an affiliated entity under direction of the Board of Trustees, using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; THE RYDEX VARIABLE TRUST ANNUAL REPORT | 209 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- (ii) in connection with futures contracts and options thereupon, and other derivative investments, 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; and (iii) other information and considerations, including current values in related markets. C. Securities 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. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. D. Net investment income is computed and dividends are declared daily in the Government Long Bond Advantage Fund and the U.S. Government Money Market Fund. Income dividends in these Funds are accrued daily. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized capital gains in all Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. E. When a Fund engages in a short sale, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked- to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the purchaser and records this as an expense. F. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security that the Fund purchases upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in the Fund's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). G. The Trust may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. H. The Trust may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index, or U.S. Dollar index, in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index or U.S. Dollar index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. In accordance with a Revenue Ruling issued by the Internal Revenue Service (the "IRS"), the Trust ceased investing in commodity index swaps after September 30, 2006. I. The Trust may invest in structured notes, which are over-the-counter contracts linked to the performance of an underlying benchmark such as interest rates, equity markets, equity indices, commodities indices, corporate credits or foreign exchange markets. A structured note is a type of bond in which an issuer borrows money from investors and pays back the principal, adjusted for performance of the underlying benchmark, at a specified maturity date. In addition, the contract may require periodic interest payments. Structured notes are used to obtain exposure to a market without owning or taking physical custody of securities or commodities. J. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. 210 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates. K. The Trust may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, a Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts, as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. L. The Funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. M. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to 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. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements. N. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the discount rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity. O. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported 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. 2. FINANCIAL INSTRUMENTS As part of its investment strategy, the Trust may utilize a variety of derivative instruments, including options, futures, options on futures, structured notes, and swap agreements. 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. In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties, which provide general indemnifications. The maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or its affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by a Fund involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market. There are several risks associated with the use of structured notes. Structured securities are leveraged, providing an exposure to the underlying benchmark of three times the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes a Fund invests in, which may make it difficult for the Fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless the Advisor believes that the issuer THE RYDEX VARIABLE TRUST ANNUAL REPORT | 211 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- is creditworthy, a Fund does bear the risk of loss of the amount expected to be received in the event of the default of bankruptcy of the issuer. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The use of swap agreements involves risks that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which a Fund sells a security it does not own. If the security the Fund sold short goes down in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. Short Dividends or Interest Expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, 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 each Fund. The risks inherent in the use of options, futures contracts, options on futures contracts, structured notes, swap agreements, as well as short sales of securities include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. In addition to the inherent risks of derivative instruments discussed above, the IRS issued a Revenue Ruling pertaining to commodity-linked swap agreements on December 16, 2005. The Revenue Ruling may cause certain income derived from commodity-linked swap agreements to not be considered qualifying income after June 30, 2006, and would therefore limit the extent to which the Commodities Fund may invest in such instruments to a maximum of 10 percent of its gross income. On June 2, 2006, the IRS issued another Revenue Ruling which extended the effective date of the original ruling to September 30, 2006. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Under the terms of an investment advisory contract, the Trust pays the Advisor, an affiliated entity, investment advisory fees calculated at an annualized rate of 0.50% of the average daily net assets of the Government Long Bond Advantage Fund and the U.S. Government Money Market Fund; 0.75% of the average daily net assets of the Nova Fund, the OTC Fund, the Small-Cap Value Fund, the Mid-Cap Value Fund, the Large-Cap Value Fund, the Small-Cap Growth Fund, the Mid-Cap Growth Fund, the Large-Cap Growth Fund, the Commodities Fund and the Precious Metals Fund; 0.85% of the average daily net assets of the Banking Fund, the Basic Materials Fund, the Biotechnology Fund, the Consumer Products Fund, the Electronics Fund, the Energy Fund, the Energy Services Fund, the Financial Services Fund, the Health Care Fund, the Internet Fund, the Leisure Fund, the Real Estate Fund, the Retailing Fund, the Technology Fund, the Telecommunications Fund, the Transportation Fund, and the Utilities Fund; and 0.90% of the average daily net assets of the Inverse S&P 500 Fund, the Inverse OTC Fund, the Dynamic S&P 500 Fund, the Dynamic OTC Fund, the Mid-Cap Advantage Fund, the Inverse Mid-Cap Fund, the Dynamic Russell 2000(R) Fund, the Russell 2000(R) Advantage Fund, the Inverse Russell 2000(R) Fund, the Inverse Government Long Bond Fund, the Europe Advantage Fund, the Japan Advantage Fund, the Dynamic Dow Fund, the Inverse Dynamic Dow Fund, the Dynamic Strengthening Dollar Fund, the Dynamic Weakening Dollar Fund, and the Sector Rotation Fund. Also under the terms of the investment advisory contract, the Trustees voted to implement a performance adjustment for the Multi-Cap Core Equity Fund, adding or subtracting a performance rate up to 0.20%, allowing the total fee to increase to a maximum of 0.90% or decrease to a minimum of 0.50%, depending on the investment performance of the Fund relative to the Russell 3000(R) Index (the "Index"). The performance comparison will be made for a rolling 12- month period, with performance adjustments made at the end of each month. Because the performance adjustment is applied relative to the performance of the Index, the Advisor could receive a positive performance adjustment even during periods where the Fund's performance is negative. Based on the Fund's inception date, no performance adjustment was made until after November 30, 2006. At December 31, 2006, the effective management fee was 0.50% of the Fund's average daily net assets. Effective May 1, 2006, the Advisor has contractually agreed to waive its management fee to the extent necessary to limit the ordinary operating expenses of the Fund (but excluding interest expenses, brokerage commissions and extraordinary expenses) to not more than 1.29% per annum of the average monthly net assets of the Fund (the "Contractual Fee Waiver"). The Contractual Fee Waiver may not be modified or eliminated prior to May 1, 2007, except with the approval of the Board of Trustees. There is no guarantee that the Contractual Fee Waiver will continue beyond May 1, 2007. Certain officers and trustees of the Trust are also officers of the Advisor. 212 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- Rydex Investments, an affiliated entity, provides transfer agent and administrative services to the Trust calculated at an annual percentage rate of 0.20% of the average daily net assets of the Government Long Bond Advantage Fund and the U.S. Government Money Market Fund; and 0.25% of the average daily net assets of the Nova Fund, the Inverse S&P 500 Fund, the OTC Fund, the Inverse OTC Fund, the Dynamic S&P 500 Fund, the Dynamic OTC Fund, the Mid-Cap Advantage Fund, the Inverse Mid-Cap Fund, the Dynamic Russell 2000(R) Fund, the Russell 2000(R) Advantage Fund, the Inverse Russell 2000(R) Fund, the Inverse Government Long Bond Fund, the Europe Advantage Fund, the Japan Advantage Fund, the Dynamic Dow Fund, the Inverse Dynamic Dow Fund, the Small-Cap Value Fund, the Mid-Cap Value Fund, the Large-Cap Value Fund, the Small-Cap Growth Fund, the Mid-Cap Growth Fund, the Large-Cap Growth Fund, the Dynamic Strengthening Dollar Fund, the Dynamic Weakening Dollar Fund, the Multi-Cap Core Equity Fund, the Sector Rotation Fund, the Banking Fund, the Basic Materials Fund, the Biotechnology Fund, the Commodities Fund, the Consumer Products Fund, the Electronics Fund, the Energy Fund, the Energy Services Fund, the Financial Services Fund, the Health Care Fund, the Internet Fund, the Leisure Fund, the Precious Metals Fund, the Real Estate Fund, the Retailing Fund, the Technology Fund, the Telecommunications Fund, the Transportation Fund, and the Utilities Fund. Rydex Investments also provides accounting services to the Trust calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of each of the Funds. Certain officers and trustees of the Trust are also officers of the Servicer. Rydex Investments engages external service providers to perform other necessary services for the Trust, such as audit related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets. Organizational and setup costs for new funds are paid by the Trust. The Trust has adopted an Investor Services Plan for which the Distributor, an affiliated entity, and other firms that provide shareholder services ("Service Providers") may receive compensation. The Trust will pay fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets. The Distributor, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for shareholder services it performs. 4. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision is required. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This includes net operating losses not utilized during the current period and capital loss carryforward expired. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. The Fund's tax basis capital gains and losses are determined only at the end of each fiscal year. Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended December 31, 2006, the following Funds offset net realized capital gains with capital losses from previous years: FUND AMOUNT -------------------------------------------------------------------------------- Nova Fund $14,172,268 OTC Fund 313,632 Dynamic S&P 500 Fund 107,811 Dynamic OTC Fund 1,173,112 Russell 2000(R) Advantage Fund 3,123,551 Europe Advantage Fund 281,182 Banking Fund 341,785 Consumer Products Fund 182,926 Financial Services Fund 4,455 Internet Fund 1,194,531 Precious Metals Fund 1,796,934 Technology Fund 897,777 Utilities Fund 473,101 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 213 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- The tax character of distributions paid during 2006 was as follows:
ORDINARY LONG-TERM RETURN OF TOTAL FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS ------------------------------------------------------------------------------------------- Nova Fund $1,341,115 $ -- $ -- $ 1,341,115 Inverse S&P 500 Fund 1,546,385 -- -- 1,546,385 OTC Fund -- -- -- -- Inverse OTC Fund 1,363,464 -- -- 1,363,464 Dynamic S&P 500 Fund 1,742,569 -- -- 1,742,569 Dynamic OTC Fund 27,820 -- -- 27,820 Mid-Cap Advantage Fund 6,443,388 1,406,371 -- 7,849,759 Inverse Mid-Cap Fund 122,428 -- -- 122,428 Dynamic Russell 2000(R) Fund 7,200 -- -- 7,200 Russell 2000(R) Advantage Fund 227,797 -- -- 227,797 Inverse Russell 2000(R) Fund 478,048 -- -- 478,048 Government Long Bond Advantage Fund 2,342,620 -- -- 2,342,620 Inverse Government Long Bond Fund 794,766 -- -- 794,766 Europe Advantage Fund 3,427,521 95,125 -- 3,522,646 Japan Advantage Fund 4,962,847 476,739 -- 5,439,586 Dynamic Dow Fund 3,421,440 711,086 -- 4,132,526 Inverse Dynamic Dow Fund 253,535 -- -- 253,535 Small-Cap Value Fund 796,173 863,878 -- 1,660,051 Mid-Cap Value Fund 212,382 -- -- 212,382 Large-Cap Value Fund 933,005 834,713 -- 1,767,718 Small-Cap Growth Fund 188,230 559,227 -- 747,457 Mid-Cap Growth Fund 708,980 362,610 -- 1,071,590 Large-Cap Growth Fund 300,944 62,603 -- 363,547 Dynamic Strengthening Dollar Fund 23,111 -- -- 23,111 Dynamic Weakening Dollar Fund 400,475 3,122 -- 403,597 Multi-Cap Core Equity Fund 10,163 -- -- 10,163 Sector Rotation Fund 422,244 3,857,789 -- 4,280,033 U.S. Government Money Market Fund 9,620,977 -- -- 9,620,977 Banking Fund 400,775 -- -- 400,775 Basic Materials Fund 650,459 479,742 -- 1,130,201 Biotechnology Fund -- -- -- -- Commodities Fund -- -- -- -- Consumer Products Fund 576,317 90,453 -- 666,770 Electronics Fund -- -- -- -- Energy Fund 8,102,643 9,987,236 -- 18,089,879 Energy Services Fund 352,839 6,216,435 -- 6,569,274 Financial Services Fund 2,321,852 194,488 -- 2,516,340 Health Care Fund 1,655,023 -- -- 1,655,023 Internet Fund -- -- -- -- Leisure Fund 803,877 440,187 -- 1,244,064 Precious Metals Fund -- -- -- -- Real Estate Fund 2,161,579 1,511,042 -- 3,672,621 Retailing Fund 200,751 586,650 -- 787,401 Technology Fund -- -- -- -- Telecommunications Fund 746,903 -- -- 746,903 Transportation Fund -- -- -- -- Utilities Fund 1,439,819 638,278 -- 2,078,097
214 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- The tax character of distributions paid during 2005 was as follows:
ORDINARY LONG-TERM RETURN OF TOTAL FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS ------------------------------------------------------------------------------------------- Nova Fund $ 362,006 $ -- $ -- $ 362,006 Inverse S&P 500 Fund -- -- -- -- OTC Fund -- -- -- -- Inverse OTC Fund -- -- -- -- Dynamic S&P 500 Fund 1,127,573 1,043,681 -- 2,171,254 Dynamic OTC Fund -- -- -- -- Mid-Cap Advantage Fund -- 113,494 -- 113,494 Inverse Mid-Cap Fund 53,130 -- -- 53,130 Russell 2000(R) Advantage Fund 1,372,293 -- -- 1,372,293 Inverse Russell 2000(R) Fund 205,531 -- -- 205,531 Government Long Bond Advantage Fund 1,716,438 -- -- 1,716,438 Inverse Government Long Bond Fund -- -- -- -- Europe Advantage Fund 210,675 -- -- 210,675 Japan Advantage Fund -- -- -- -- Dynamic Dow Fund 455,304 227,465 -- 682,769 Inverse Dynamic Dow Fund 99,261 -- -- 99,261 Small-Cap Value Fund 1,700,056 269,455 -- 1,969,511 Mid-Cap Value Fund 4,448,848 585,595 15,280 5,049,723 Large-Cap Value Fund 629,610 52,333 -- 681,943 Small-Cap Growth Fund 1,571,693 52,519 -- 1,624,212 Mid-Cap Growth Fund -- -- -- -- Large-Cap Growth Fund 452,509 7,518 -- 460,027 Dynamic Strengthening Dollar Fund 8,367 -- -- 8,367 Dynamic Weakening Dollar Fund 7,332 -- -- 7,332 Multi-Cap Core Equity Fund -- -- -- -- Sector Rotation Fund -- -- -- -- U.S. Government Money Market Fund 4,700,836 -- -- 4,700,836 Banking Fund 2,276,609 73,581 -- 2,350,190 Basic Materials Fund 4,000,873 66,436 -- 4,067,309 Biotechnology Fund -- -- -- -- Commodities Fund -- -- 88,043 88,043 Consumer Products Fund 357,566 336,698 -- 694,264 Electronics Fund -- -- -- -- Energy Fund 4,642,282 151,920 -- 4,794,202 Energy Services Fund -- -- -- -- Financial Services Fund 1,758,219 304,631 -- 2,062,850 Health Care Fund -- -- -- -- Internet Fund 479,497 106,533 -- 586,030 Leisure Fund 1,799,873 302,370 -- 2,102,243 Precious Metals Fund -- -- -- -- Real Estate Fund 486,247 -- -- 486,247 Retailing Fund -- 373,393 -- 373,393 Technology Fund -- -- -- -- Telecommunications Fund 1,299,417 260,890 -- 1,560,307 Transportation Fund 645,383 -- -- 645,383 Utilities Fund 313,329 -- -- 313,329
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 215 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- The tax character of distributable earnings/(accumulated losses) at December 31, 2006 was as follows:
UNDISTRIBUTED UNDISTRIBUTED NET UNREALIZED ORDINARY LONG-TERM APPRECIATION/ CAPITAL LOSS FUND INCOME CAPITAL GAINS DEPRECIATION CARRYFORWARD ------------------------------------------------------------------------------------------------------------- Nova Fund $ 304,133 $ -- $ 7,007,082 $ (85,082,515) 3 Inverse S&P 500 Fund 114,444 -- (158,971) (30,980,010) 3 OTC Fund -- -- (2,742,321) (364,337,763) 3 Inverse OTC Fund 159,000 -- 141,892 (12,147,623) 3 Dynamic S&P 500 Fund 2,074,727 -- 2,913,029 -- Dynamic OTC Fund 23,380 -- 2,808,615 (798,838) 2 Mid-Cap Advantage Fund 1,041,437 691,701 1,297,481 -- Inverse Mid-Cap Fund 31,013 -- 56,353 (1,451,315) 3 Dynamic Russell 2000(R) Fund 57,037 -- (21,125) -- Russell 2000(R) Advantage Fund 78,722 1,542,506 2,745,580 -- Inverse Russell 2000(R) Fund 80,213 -- 61,898 (7,428,463) 3 Government Long Bond Advantage Fund -- -- (1,846,366) (3,468,449) 3 Inverse Government Long Bond Fund 130,300 -- 303,654 (8,310,331) 3 Europe Advantage Fund 4,628,361 788 4,525,293 -- Japan Advantage Fund 444,829 -- 538,576 (429,142) 1 Dynamic Dow Fund 1,677,329 277,020 2,589,436 -- Inverse Dynamic Dow Fund 124,886 -- (267,949) (2,707,003) 3 Small-Cap Value Fund 1,261,226 857,854 540,677 -- Mid-Cap Value Fund 74,339 17,776 139,517 -- Large-Cap Value Fund 1,965,963 533,993 3,665,408 -- Small-Cap Growth Fund -- -- 363,626 (219,170) 1 Mid-Cap Growth Fund 332,131 333,186 (34,879) -- Large-Cap Growth Fund 407,443 44,402 88,095 -- Dynamic Strengthening Dollar Fund -- -- -- -- Dynamic Weakening Dollar Fund 187,696 -- -- -- Multi-Cap Core Equity Fund 142,599 30,517 601,090 -- Sector Rotation Fund 1,544,724 1,890,377 5,613,611 -- U.S. Government Money Market Fund 7,494 -- -- (1,546) 3 Banking Fund 63,706 -- 1,492,464 (515,297) 2 Basic Materials Fund 134,982 124,335 7,712,961 -- Biotechnology Fund -- -- (763,664) (4,277,767) 3 Commodities Fund 6,206 -- (932,959) (6,389,168) 3 Consumer Products Fund 543,690 -- 4,258,415 -- Electronics Fund -- -- (1,276,019) (8,375,601) 3 Energy Fund 218,328 64,862 20,731,292 -- Energy Services Fund -- 1,698,970 13,785,115 -- Financial Services Fund 1,052,747 472,030 3,548,286 -- Health Care Fund 669,150 35,189 2,845,899 -- Internet Fund -- -- 1,151,551 (694,970) 2 Leisure Fund 155,995 7,112 4,988,914 -- Precious Metals Fund -- -- 13,202,926 (4,583,137) 3 Real Estate Fund 611,061 378,884 13,742,443 -- Retailing Fund 295,104 -- 3,257,535 -- Technology Fund -- -- 850,436 -- Telecommunications Fund -- -- 3,939,426 (21,714) 1 Transportation Fund -- -- 5,217,589 (337,822) 3 Utilities Fund 231,235 33,153 10,649,191 --
Capital Loss Carryforward amounts may be limited due to Treasury Regulations. 1 EXPIRES IN 2014 2 EXPIRES IN 2013 3 NOVA FUND: $28,149,815 EXPIRES IN 2008, $40,390,472 EXPIRES IN 2009, AND $16,542,228 EXPIRES IN 2010 INVERSE S&P 500 FUND: $2,209,540 EXPIRES IN 2007, $12,563,901 EXPIRES IN 2011, $10,777,389 EXPIRES IN 2012, $314,257 EXPIRES IN 2013, AND $5,114,923 EXPIRES IN 2014 OTC FUND: $74,586,193 EXPIRES IN 2008, $180,736,125 EXPIRES IN 2009, $98,591,246 EXPIRES IN 2010, $10,118,266 EXPIRES IN 2011, AND $305,933 EXPIRES IN 2012 INVERSE OTC FUND: $1,648,984 EXPIRES IN 2009, $1,790,535 EXPIRES IN 2011, $4,909,190 EXPIRES IN 2012, $2,303,943 EXPIRES IN 2013, AND $1,494,971 EXPIRES IN 2014 INVERSE MID-CAP FUND: $392,757 EXPIRES IN 2012, $141,768 EXPIRES IN 2013, AND $916,790 EXPIRES IN 2014 INVERSE RUSSELL 2000(R) FUND: $2,561,018 EXPIRES IN 2012, $955,067 EXPIRES IN 2013, AND $3,912,378 EXPIRES IN 2014 GOVERNMENT LONG BOND ADVANTAGE FUND: $2,376,550 EXPIRES IN 2012 AND $1,091,899 EXPIRES IN 2014 216 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- INVERSE GOVERNMENT LONG BOND FUND: $5,005,075 EXPIRES IN 2012, $2,319,251 EXPIRES IN 2013, AND $986,005 EXPIRES IN 2014 INVERSE DYNAMIC DOW FUND: $261,996 EXPIRES IN 2013 AND $2,445,007 EXPIRES IN 2014 U.S. GOVERNMENT MONEY MARKET FUND: $1,127 EXPIRES IN 2008, $386 EXPIRES IN 2010, AND $33 EXPIRES IN 2011 BIOTECHNOLOGY FUND: $608,485 EXPIRES IN 2010, $1,880,980 EXPIRES IN 2012, $739,559 EXPIRES IN 2013, AND $1,048,743 EXPIRES IN 2014 COMMODITIES FUND: $514,834 EXPIRES IN 2013 AND $5,874,334 EXPIRES IN 2014 ELECTRONICS FUND: $324,070 EXPIRES IN 2010, $549,313 EXPIRES IN 2012, $1,309,130 EXPIRES IN 2013, AND $6,193,088 EXPIRES IN 2014 PRECIOUS METALS FUND: $600,578 EXPIRES IN 2012 AND $3,982,559 EXPIRES IN 2013 TRANSPORTATION FUND: $92,965 EXPIRES IN 2013 AND $244,857 EXPIRES IN 2014 At December 31, 2006, 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:
TAX TAX NET TAX UNREALIZED UNREALIZED UNREALIZED FUND COST GAIN LOSS GAIN (LOSS) ------------------------------------------------------------------------------------------------------ Nova Fund $ 142,472,740 $ 7,967,512 $ (771,595) $ 7,195,917 Inverse S&P 500 Fund 16,559,892 -- (175,332) (175,332) OTC Fund 93,070,182 -- (2,732,760) (2,732,760) Inverse OTC Fund 19,838,242 -- (453) (453) Dynamic S&P 500 Fund 38,292,677 3,096,741 (43,209) 3,053,532 Dynamic OTC Fund 35,136,084 2,942,717 (95,613) 2,847,104 Mid-Cap Advantage Fund 43,917,043 1,694,530 (329,585) 1,364,945 Inverse Mid-Cap Fund 4,281,347 -- -- -- Dynamic Russell 2000(R) Fund 5,149,743 67,945 (53,341) 14,604 Russell 2000(R) Advantage Fund 86,196,154 4,184,791 (1,425,956) 2,758,835 Inverse Russell 2000(R) Fund 9,504,828 -- -- -- Government Long Bond Advantage Fund 51,445,484 -- (1,846,366) (1,846,366) Inverse Government Long Bond Fund 29,610,380 303,654 (696) 302,958 Europe Advantage Fund 85,306,499 4,809,591 (9,447) 4,800,144 Japan Advantage Fund 29,745,319 -- -- -- Dynamic Dow Fund 46,687,650 2,319,653 (4,238) 2,315,415 Inverse Dynamic Dow Fund 16,786,620 -- -- -- Small-Cap Value Fund 38,602,770 894,948 (354,271) 540,677 Mid-Cap Value Fund 32,794,129 354,498 (214,982) 139,517 Large-Cap Value Fund 100,037,836 4,034,078 (368,670) 3,665,408 Small-Cap Growth Fund 29,188,211 534,891 (171,265) 363,626 Mid-Cap Growth Fund 19,697,440 167,246 (202,125) (34,879) Large-Cap Growth Fund 28,366,507 356,331 (268,236) 88,095 Dynamic Strengthening Dollar Fund 3,074,820 -- -- -- Dynamic Weakening Dollar Fund 11,213,075 -- -- -- Multi-Cap Core Equity Fund 7,726,327 678,980 (77,890) 601,090 Sector Rotation Fund 105,460,270 6,545,385 (931,774) 5,613,611 U.S. Government Money Market Fund 203,448,503 -- -- -- Banking Fund 29,309,974 1,564,894 (72,430) 1,492,464 Basic Materials Fund 61,982,307 7,858,719 (145,758) 7,712,961 Biotechnology Fund 17,779,287 -- (763,664) (763,664) Commodities Fund 19,323,329 97,535 (1,030,494) (932,959) Consumer Products Fund 50,838,718 4,565,621 (307,206) 4,258,415 Electronics Fund 6,289,890 -- (1,276,019) (1,276,019) Energy Fund 66,512,421 21,173,702 (442,410) 20,731,292 Energy Services Fund 41,981,704 13,946,253 (161,138) 13,785,115 Financial Services Fund 57,283,306 3,772,071 (223,785) 3,548,286 Health Care Fund 45,628,706 3,339,370 (493,471) 2,845,899 Internet Fund 11,974,220 1,155,309 (3,758) 1,151,551 Leisure Fund 42,943,750 5,053,952 (65,038) 4,988,914 Precious Metals Fund 74,525,365 13,202,926 -- 13,202,926 Real Estate Fund 95,503,477 13,824,927 (82,484) 13,742,443 Retailing Fund 32,354,774 3,391,670 (134,135) 3,257,535 Technology Fund 26,948,471 1,178,419 (327,983) 850,436 Telecommunications Fund 40,006,635 3,962,029 (22,603) 3,939,426 Transportation Fund 33,204,651 5,219,498 (1,909) 5,217,589 Utilities Fund 77,742,589 10,649,191 -- 10,649,191
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 217 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- POST-OCTOBER LOSSES DEFERRED Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital losses realized between November 1 and December 31 of each year as occurring on the first day of the following tax year. For the year ended December 31, 2006, $168,187, $634,572, $1,466,752, $37,209, $67,100, and $324,190 of realized capital losses reflected in the accompanying financial statements will not be recognized for Federal income tax purposes until 2007 for Inverse Mid-Cap Fund, Inverse Russell 2000(R) Fund, Inverse Dynamic Dow Fund, Small-Cap Growth Fund, Dynamic Strengthening Dollar Fund, and Commodities Fund, respectively. 5. REPURCHASE AGREEMENTS The Trust transfers 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. The collateral is in the possession of the Trust's custodian and is evaluated daily to ensure that its market value exceeds 102% of the delivery value of the repurchase agreements at maturity. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund. The repurchase agreements executed by the joint account and outstanding as of December 31, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE REPURCHASE PRICE ------------------------------------------------------------------------------------------------- Lehman Brothers, Inc. 4.60% due 01/02/07 $95,418,751 $ 95,418,751 $ 95,467,520 UBS Financial Services, Inc. 4.79% due 01/02/07 89,000,000 89,000,000 89,047,368 Morgan Stanley 4.65% due 01/02/07 89,000,000 89,000,000 89,045,983 Mizuho Financial Group, Inc. 4.80% due 01/02/07 89,000,000 89,000,000 89,047,467 Credit Suisse First Boston 4.90% due 01/02/07 25,253,732 25,253,732 25,267,481 ------------------------------------------------------------------------------------------------- $387,672,483 $ 387,875,819 =================================================================================================
As of December 31, 2006, the collateral for the repurchase agreements in the joint account was as follows:
SECURITY TYPE MATURITY DATES RANGE OF RATES PAR VALUE MARKET VALUE -------------------------------------------------------------------------------------------------- U.S. Treasury Bonds 11/15/16 - 05/15/17 7.500% - 8.750% $ 30,385,000 $ 37,544,892 TIP Bonds 04/15/29 3.875% 1,045,000 1,615,292 U.S. Treasury Notes 01/15/08 - 11/15/15 1.875% - 4.500% 251,823,244 248,683,722 TIP Notes 01/15/14 - 07/15/15 1.625% - 2.000% 16,495,000 16,806,078 U.S. Treasury Bills 03/08/07 - 06/07/07 0.000% 91,711,000 90,785,145 -------------------------------------------------------------------------------------------------- $ 395,435,129 ==================================================================================================
In the event of counterparty default, the Trust has the right to collect the collateral to offset losses incurred. There is potential loss to the Trust in the event the Trust is delayed or prevented from exercising its 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 Trust seeks to assert its rights. The Trust's investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the credit worthiness of those banks and dealers with which the Trust enters into repurchase agreements to evaluate potential risks. 218 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 6. SECURITIES TRANSACTIONS During the year ended December 31, 2006, cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
INVERSE DYNAMIC MID-CAP INVERSE NOVA S&P 500 OTC INVERSE OTC S&P 500 DYNAMIC OTC ADVANTAGE MID-CAP FUND FUND FUND FUND FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ Purchases $136,722,717 $ -- $105,042,560 $ -- $ 33,193,301 $ 65,622,807 $ 157,822,219 $ -- Sales $155,262,209 $ -- $136,676,782 $ -- $ 30,544,572 $ 78,695,085 $ 176,383,465 $ --
DYNAMIC RUSSELL INVERSE GOVERNMENT INVERSE RUSSELL 2000(R) RUSSELL LONG BOND GOVERNMENT EUROPE JAPAN DYNAMIC 2000(R) ADVANTAGE 2000(R) ADVANTAGE LONG BOND ADVANTAGE ADVANTAGE DOW FUND FUND FUND FUND FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ Purchases $ 4,357,624 $193,946,371 $ -- $606,135,043 $130,581,563 $ 93,131,402 $ -- $ 53,574,586 Sales $ 1,584,051 $168,413,946 $ -- $608,774,199 $127,759,264 $ 65,595,712 $ -- $ 32,732,586
INVERSE SMALL-CAP MID-CAP LARGE-CAP SMALL-CAP MID-CAP LARGE-CAP DYNAMIC DYNAMIC VALUE VALUE VALUE GROWTH GROWTH GROWTH STRENGTHENING DOW FUND FUND FUND FUND FUND FUND FUND DOLLAR FUND ------------------------------------------------------------------------------------------------------------------------------------ Purchases $ -- $133,968,546 $ 75,279,605 $237,213,414 $138,006,317 $ 98,259,318 $ 113,020,855 $ -- Sales $ -- $121,810,567 $ 63,330,198 $185,415,070 $139,276,712 $ 136,730,028 $ 113,223,000 $ --
U.S. DYNAMIC MULTI-CAP SECTOR GOVERNMENT BASIC WEAKENING CORE EQUITY ROTATION MONEY MARKET BANKING MATERIALS BIOTECHNOLOGY COMMODITIES DOLLAR FUND FUND FUND FUND FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ Purchases $ -- $ 11,851,559 $305,280,267 $ -- $ 52,063,678 $ 114,722,752 $ 96,779,531 $ 19,927,799 Sales $ -- $ 8,433,527 $282,893,636 $ -- $ 43,860,332 $ 90,140,269 $ 119,402,908 $ 9,685,982
CONSUMER ENERGY FINANCIAL HEALTH PRODUCTS ELECTRONICS ENERGY SERVICES SERVICES CARE INTERNET LEISURE FUND FUND FUND FUND FUND FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------------------ Purchases $ 91,415,375 $ 99,479,511 $116,243,779 $142,959,712 $126,895,607 $ 116,960,871 $ 45,844,925 $ 64,214,389 Sales $ 75,585,055 $ 98,636,812 $136,675,712 $181,603,175 $119,087,285 $ 129,526,894 $ 58,527,563 $ 45,170,242
PRECIOUS REAL TELECOM- METALS ESTATE RETAILING TECHNOLOGY MUNICATIONS TRANSPORTATION UTILITIES FUND FUND FUND FUND FUND FUND FUND --------------------------------------------------------------------------------------------------------------------- Purchases $174,489,431 $343,534,309 $ 55,061,060 $ 87,601,166 $ 82,467,896 $ 98,029,169 $ 101,649,543 Sales $186,196,401 $302,242,639 $ 46,660,482 $ 84,610,006 $ 68,992,492 $ 99,633,496 $ 78,702,845
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 219 NOTES TO FINANCIALS STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 7. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the years presented were:
PURCHASED THROUGH SHARES PURCHASED DIVIDEND REINVESTMENT ----------------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ----------------------------------------------------------------------------------------------- NOVA FUND 36,391,385 64,604,877 134,112 42,893 INVERSE S&P 500 FUND 63,491,035 56,462,594 352,252 -- OTC FUND 23,324,174 33,524,705 -- -- INVERSE OTC FUND 27,146,402 18,896,892 70,318 -- DYNAMIC S&P 500 FUND 8,927,290 10,753,404 80,824 120,025 DYNAMIC OTC FUND 32,871,270 17,391,189 1,149 -- MID-CAP ADVANTAGE FUND 10,365,935 13,570,582 318,062 3,878 INVERSE MID-CAP FUND 2,052,002 1,081,690 3,375 1,374 DYNAMIC RUSSELL 2000(R) FUND* 435,979 -- 281 -- RUSSELL 2000(R) ADVANTAGE FUND 14,057,946 14,696,937 5,472 39,915 INVERSE RUSSELL 2000(R) FUND 5,804,634 5,029,631 13,949 5,152 GOVERNMENT LONG BOND ADVANTAGE FUND 52,456,584 44,613,634 205,208 138,550 INVERSE GOVERNMENT LONG BOND FUND 7,623,241 13,272,906 37,828 -- EUROPE ADVANTAGE FUND 7,330,052 7,313,983 121,094 8,833 JAPAN ADVANTAGE FUND 5,931,337 6,613,935 205,422 -- DYNAMIC DOW FUND 8,202,609 5,501,356 157,071 29,625 INVERSE DYNAMIC DOW FUND 2,919,948 1,601,436 7,464 2,376 SMALL-CAP VALUE FUND 5,163,582 5,500,180 58,288 74,279 MID-CAP VALUE FUND 3,686,972 13,189,259 9,490 257,189 LARGE-CAP VALUE FUND 8,054,378 3,027,685 56,065 24,288 SMALL-CAP GROWTH FUND 4,900,217 5,097,826 24,612 55,354 MID-CAP GROWTH FUND 3,360,551 9,052,414 35,875 -- LARGE-CAP GROWTH FUND 4,582,138 5,395,902 13,495 17,627 DYNAMIC STRENGTHENING DOLLAR FUND 975,434 237,181** 1,031 330** DYNAMIC WEAKENING DOLLAR FUND 1,962,862 202,554** 14,602 299** MULTI-CAP CORE EQUITY FUND 536,267 123,980** 357 -- SECTOR ROTATION FUND 7,047,157 5,090,045 317,039 -- U.S. GOVERNMENT MONEY MARKET FUND 1,169,136,977 1,184,745,323 9,620,976 4,700,832 BANKING FUND 1,815,362 1,714,190 12,647 80,293 BASIC MATERIALS FUND 4,052,298 3,008,679 33,458 155,895 BIOTECHNOLOGY FUND 4,689,808 6,252,816 -- -- COMMODITIES FUND 4,551,504 1,967,776** -- 4,016** CONSUMER PRODUCTS FUND 3,163,231 2,555,036 18,313 21,655 ELECTRONICS FUND 7,828,397 8,616,616 -- -- ENERGY FUND 3,541,676 6,811,395 522,678 122,208 NET SHARES SHARES REDEEMED PURCHASED (REDEEMED) -------------------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 -------------------------------------------------------------------------------------------------- NOVA FUND (38,611,971) (64,999,976) (2,086,474) (352,206) INVERSE S&P 500 FUND (65,818,559) (53,824,674) (1,975,272) 2,637,920 OTC FUND (25,634,991) (39,788,847) (2,310,817) (6,264,142) INVERSE OTC FUND (26,920,756) (19,110,033) 295,964 (213,141) DYNAMIC S&P 500 FUND (8,655,618) (10,956,161) 352,496 (82,732) DYNAMIC OTC FUND (33,586,772) (17,906,423) (714,353) (515,234) MID-CAP ADVANTAGE FUND (10,771,652) (13,165,084) (87,655) 409,376 INVERSE MID-CAP FUND (1,966,866) (1,040,311) 88,511 42,753 DYNAMIC RUSSELL 2000(R) FUND* (259,751) -- 176,509 -- RUSSELL 2000(R) ADVANTAGE FUND (13,416,501) (16,953,930) 646,917 (2,217,078) INVERSE RUSSELL 2000(R) FUND (5,756,889) (4,844,305) 61,694 190,478 GOVERNMENT LONG BOND ADVANTAGE FUND (53,159,906) (43,992,584) (498,114) 759,600 INVERSE GOVERNMENT LONG BOND FUND (7,730,453) (13,718,351) (69,384) (445,445) EUROPE ADVANTAGE FUND (5,516,268) (8,665,112) 1,934,878 (1,342,296) JAPAN ADVANTAGE FUND (6,664,739) (5,473,812) (527,980) 1,140,123 DYNAMIC DOW FUND (7,232,030) (5,374,208) 1,127,650 156,773 INVERSE DYNAMIC DOW FUND (2,583,888) (1,509,507) 343,524 94,305 SMALL-CAP VALUE FUND (4,770,195) (6,472,270) 451,675 (897,811) MID-CAP VALUE FUND (3,172,845) (13,427,165) 523,617 19,283 LARGE-CAP VALUE FUND (6,368,500) (2,574,743) 1,741,943 477,230 SMALL-CAP GROWTH FUND (4,994,748) (5,364,707) (69,919) (211,527) MID-CAP GROWTH FUND (4,623,670) (8,061,905) (1,227,244) 990,509 LARGE-CAP GROWTH FUND (4,589,497) (5,313,354) 6,136 100,175 DYNAMIC STRENGTHENING DOLLAR FUND (889,524) (188,731)** 86,941 48,780** DYNAMIC WEAKENING DOLLAR FUND (1,693,518) (81,325)** 283,946 121,528** MULTI-CAP CORE EQUITY FUND (358,656) (9,727)** 177,968 114,253** SECTOR ROTATION FUND (5,730,038) (2,700,404) 1,634,158 2,389,641 U.S. GOVERNMENT MONEY MARKET FUND (1,155,974,653) (1,171,759,619) 22,783,300 17,686,536 BANKING FUND (1,568,504) (1,907,482) 259,505 (112,999) BASIC MATERIALS FUND (3,342,920) (3,562,294) 742,836 (397,720) BIOTECHNOLOGY FUND (5,858,197) (4,905,156) (1,168,389) 1,347,660 COMMODITIES FUND (4,709,776) (696,501)** (158,272) 1,275,291** CONSUMER PRODUCTS FUND (2,705,761) (2,617,145) 475,783 (40,454) ELECTRONICS FUND (8,160,471) (8,942,833) (332,074) (326,217) ENERGY FUND (4,074,714) (6,843,617) (10,360) 89,986
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. ** SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 30, 2005 -- DYNAMIC STRENGTHENING DOLLAR FUND, DYNAMIC WEAKENING DOLLAR FUND, AND COMMODITIES FUND; NOVEMBER 29, 2005 -- MULTI-CAP CORE EQUITY FUND. 220 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 7. SHARE TRANSACTIONS
PURCHASED THROUGH SHARES PURCHASED DIVIDEND REINVESTMENT ------------------------------------------------------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ------------------------------------------------------------------------------------ ENERGY SERVICES FUND 5,147,643 8,970,738 209,346 -- FINANCIAL SERVICES FUND 2,765,913 2,613,714 79,205 73,463 HEALTH CARE FUND 3,512,906 4,894,897 58,255 -- INTERNET FUND 3,248,938 5,748,072 -- 42,009 LEISURE FUND 2,699,093 2,205,331 47,592 95,038 PRECIOUS METALS FUND 16,881,002 18,093,879 -- -- REAL ESTATE FUND 8,118,053 7,550,283 72,624 11,971 RETAILING FUND 2,119,692 2,915,142 26,194 13,677 TECHNOLOGY FUND 5,204,228 5,874,030 -- -- TELECOMMUNICATIONS FUND 4,358,934 2,934,645 34,356 82,512 TRANSPORTATION FUND 3,109,837 1,910,651 -- 23,240 UTILITIES FUND 6,017,977 8,794,132 92,980 15,527 NET SHARES SHARES REDEEMED PURCHASED (REDEEMED) ------------------------------------------------------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ------------------------------------------------------------------------------------ ENERGY SERVICES FUND (6,461,195) (7,798,709) (1,104,206) 1,172,029 FINANCIAL SERVICES FUND (2,551,604) (2,908,326) 293,514 (221,149) HEALTH CARE FUND (3,969,488) (4,255,344) (398,327) 639,553 INTERNET FUND (4,090,703) (6,539,341) (841,765) (749,260) LEISURE FUND (1,942,702) (3,702,841) 803,983 (1,402,472) PRECIOUS METALS FUND (18,466,236) (15,600,147) (1,585,234) 2,493,732 REAL ESTATE FUND (7,256,824) (7,548,697) 933,853 13,557 RETAILING FUND (1,827,722) (3,076,769) 318,164 (147,950) TECHNOLOGY FUND (5,004,676) (5,973,475) 199,552 (99,445) TELECOMMUNICATIONS FUND (3,770,580) (3,589,345) 622,710 (572,188) TRANSPORTATION FUND (3,228,069) (2,477,689) (118,232) (543,798) UTILITIES FUND (4,998,132) (7,980,979) 1,112,825 828,680
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 221 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 8. PORTFOLIO SECURITIES LOANED The Trust lends its securities to approved brokers to earn additional income. Within this arrangement, the Trust acts as the lender, U.S. Bank acts as the agent, and other approved registered broker dealers act as the borrowers. The Trust receives cash collateral, valued at 100%, or greater, of the value of the securities on loan, which is initially held in a segregated account at U.S. Bank. As agent, U.S. Bank may, for investment purposes, pool the Trust's collateral in joint accounts with cash collateral from one or more other securities lending customers of U.S. Bank. Under the terms of the Trust's securities lending agreement with U.S. Bank, cash collateral may be invested by U.S. Bank in certain high quality, liquid investments. At December 31, 2006, the pooled cash collateral investments consisted of repurchase agreements (46.45%), commercial paper (31.55%), corporate bonds (18.46%), and guaranteed investment contracts (3.54%). Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Fund the next business day. Although the collateral mitigates risk, the Trust could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Trust has the right under the securities lending agreement to recover the securities from the borrower on demand. The following table represents a breakdown of the collateral, its rates and maturities. Each Fund participating in the security lending program retains a pro rata amount of the collateral proportionate to its amount of securities on loan.
COST MARKET VALUE REPURCHASE DATE -------------------------------------------------------------------------------------------------------- REPO 46.45% -------------------------------------------------------------------------------------------------------- Rates 5.36% Greenwich Capital Markets, Inc. $300,000,000 $ 300,000,000 01/02/07 5.38 Morgan Stanley 296,000,000 296,000,000 01/02/07 5.41 Bear Stearns Companies, Inc. 50,000,000 50,000,000 01/02/07 5.32 Credit Suisse First Boston 10,000,000 10,000,000 01/02/07 --------------- TOTAL $ 656,000,000 =============== MATURITY -------------------------------------------------------------------------------------------------------- COMMERCIAL PAPER 31.55% -------------------------------------------------------------------------------------------------------- Rates 5.39% Fenway Funding, LLC $ 66,959,874 $ 67,000,000 01/02/07 5.37 KKR Atlantic Funding Trust 64,768,167 64,808,900 01/22/07 5.36 Rams Funding, LLC 57,699,447 57,923,440 01/11/07 5.42 Antalis Funding 53,920,718 54,010,000 01/02/07 5.40 Ocala Funding, LLC 49,858,028 49,890,000 01/17/07 5.33 Concord Minutemen Capital Company, LLC 40,000,000 40,000,000 01/08/07 5.35 Lakeside Funding, LLC 30,000,000 30,000,000 01/08/07 5.33 Concord Minutemen Capital Company, LLC 28,000,000 28,000,000 01/12/07 5.35 Thornburg Mortgage Capital Resources, LLC 19,820,389 19,917,800 01/30/07 5.38 Rams Funding, LLC 12,934,314 12,961,780 01/22/07 5.36 Thornburg Mortgage Capital Resources, LLC 10,949,418 10,974,150 01/18/07 5.34 Thornburg Mortgage Capital Resources, LLC 9,952,800 10,000,000 01/02/07 --------------- TOTAL $ 445,486,070 =============== FIXED INCOME 18.46% -------------------------------------------------------------------------------------------------------- Rates 5.36% PYXIS Master Trust $ 50,000,000 $ 50,000,000 11/20/09 5.35 Leafs, LLC 49,635,317 49,635,317 01/22/07 5.39 Allstate Life Global Funding 40,012,000 40,012,000 02/15/08 5.50 Premium Asset Trust 25,000,000 25,000,000 08/01/07 5.40 Bayerische Landsbank 20,008,800 20,008,800 02/22/08 5.40 HBOS Treasury Services, PLC 20,008,600 20,008,600 02/01/08 5.42 Northlake, CDO 20,000,000 20,000,000 03/06/33 5.44 Duke Funding, Ltd. 20,000,000 20,000,000 04/08/39 5.45 Metlife Global Funding 16,006,720 16,006,720 01/28/08 --------------- TOTAL $ 260,671,437 =============== GUARANTEED INVESTMENT CONTRACT 3.54% -------------------------------------------------------------------------------------------------------- Rates 5.45% ING USA $ 50,000,000 $ 50,000,000 02/26/07 --------------- TOTAL $ 50,000,000 ===============
222 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) --------------------------------------------------------------------------------
COST MARKET VALUE MATURITY -------------------------------------------------------------------------------------------------------- MUTUAL FUNDS/MONEY MARKETS 0.00% -------------------------------------------------------------------------------------------------------- Cash $ 66 N/A SHARES ------------ AIM Short Term Liquid Asset Fund 21 $ 21 N/A --------------- TOTAL $ 87 =============== 100.00% =============== GRAND TOTAL $ 1,412,157,594 ========================================================================================================
As of December 31, 2006, the collateral for the repurchase agreements in the joint account was as follows:
RANGE OF RATES SECURITY TYPE PAR VALUE MARKET VALUE MATURITY ---------------------------------------------------------------------------------------------------------------- 0.000% - 5.467% Collateralized Mortgage Obligations $3,469,660,953 $ 623,374,062 08/15/16 - 03/15/45 0.000% - 9.925% Residential Whole Loans 41,415,193 53,022,375 03/15/12 - 09/07/36 0.010% - 5.625% Subordinated Notes 44,971,310 3,788,769 06/13/16 - 02/18/27 1.001% Ginnie Mae 10,282,278 99,679 02/17/31 ------------- $ 680,284,885 =============
At December 31, 2006 the following Funds participated in securities lending and received cash collateral: VALUE OF CASH SECURITIES FUND COLLATERAL LOANED -------------------------------------------------------------------------------- Nova Fund $ 18,387,759 $ 17,740,921 OTC Fund 21,014,171 20,360,876 Dynamic S&P 500 Fund 4,400,651 4,243,790 Dynamic OTC Fund 7,320,487 7,091,730 Mid-Cap Advantage Fund 6,282,368 6,041,857 Russell 2000(R) Advantage Fund 16,042,381 15,276,968 Dynamic Dow Fund 4,136,460 3,996,299 Small-Cap Value Fund 4,879,062 4,603,409 Mid-Cap Value Fund 4,663,653 4,444,816 Large-Cap Value Fund 20,056,352 19,292,675 Small-Cap Growth Fund 6,228,573 5,942,062 Mid-Cap Growth Fund 4,196,579 4,042,033 Large-Cap Growth Fund 4,824,809 4,653,102 Sector Rotation Fund 22,672,786 21,863,246 Banking Fund 6,424,227 6,117,219 Basic Materials Fund 10,871,653 10,441,968 Biotechnology Fund 6,212,852 5,995,318 Consumer Products Fund 11,958,394 11,533,712 Electronics Fund 1,125,927 1,080,686 Energy Fund 17,273,359 16,622,224 Energy Services Fund 11,849,821 11,332,602 Financial Services Fund 10,531,379 10,144,018 Health Care Fund 7,484,164 7,236,707 Internet Fund 3,692,757 3,524,240 Leisure Fund 10,208,573 9,715,716 Precious Metals Fund 24,714,825 23,231,062 Real Estate Fund 26,298,248 25,547,897 Retailing Fund 7,275,886 6,988,608 Technology Fund 4,537,454 4,345,593 Telecommunications Fund 10,569,991 10,109,767 Transportation Fund 8,845,111 8,485,353 Utilities Fund 16,824,478 16,200,186 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 223 NOTES TO FINANCIAL STATEMENTS (CONCLUDED) -------------------------------------------------------------------------------- 9. COMMODITIES FUND SUPPLEMENTAL INFORMATION As discussed in Note 2 above, the IRS issued a Revenue Ruling (the "Ruling") on December 16, 2005 that may cause certain income from commodity-linked swap agreements in which the Commodities Fund currently invests to not be considered qualifying income after June 30, 2006. The Ruling would limit the extent to which the Commodities Fund may invest in such instruments and certain other commodity-linked derivatives after June 30, 2006 to a maximum of 10 percent of its gross income. On June 2, 2006, the IRS issued another Revenue Ruling which clarified certain aspects of its prior ruling and extended the effective date of the original ruling to September 30, 2006. In accordance, the Trust ceased investing in commodity index swaps after September 30, 2006. On April 10, 2006 the IRS issued a private letter ruling enabling the Commodities Fund to use commodity-linked structured notes to gain exposure to the commodities market and continue to offer access to the commodities sector. Due to the change in investment vehicle, Rydex Investments may limit shareholder trading after September 30, 2006 when the Ruling becomes effective. 10. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact on the financial statements has not yet been determined. On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations on an entity's financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. Adoption of FAS 157 is required for fiscal years beginning after November 15, 2007. The standard is not expected to materially impact the Funds' financial statements. 224 | THE RYDEX VARIABLE TRUST ANNUAL REPORT REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of Rydex Variable Trust: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position Nova Fund, Inverse S&P 500 Fund, OTC Fund, Inverse OTC Fund, Dynamic S&P 500 Fund, Dynamic OTC Fund, Mid Cap Advantage Fund, Inverse Mid-Cap Fund, Russell 2000(R) Advantage Fund, Inverse Russell 2000(R) Fund, Government Long Bond Fund, Inverse Government Long Bond Fund, Europe Advantage Fund, Japan Advantage Fund, Dynamic Dow Fund, Inverse Dynamic Dow Fund, Small-Cap Value Fund, Mid-Cap Value Fund, Large-Cap Value Fund, Small-Cap Growth Fund, Mid-Cap Growth Fund, Large-Cap Growth Fund, Sector Rotation Fund, U.S. Government Money Market Fund, Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund, Utilities Fund, Commodities Fund, Multi-Cap Core Equity Fund, Dynamic Strengthening Dollar Fund, Dynamic Weakening Dollar Fund, and Dynamic Russell 2000(R) Fund (forty seven of the funds of the Rydex Variable Trust, hereafter referred to as the "Funds") at December 31, 2006, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Baltimore, Maryland February 23, 2007 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 225 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 difference in tax and financial reporting practice. The Funds' distributions to shareholders included:
DYNAMIC MID-CAP EUROPE S&P 500 ADVANTAGE ADVANTAGE FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $1,389,756 $6,333,783 $2,086,751 From long-term capital gains, subject to the 15% rate gains category: $ -- $1,406,371 $ 95,125
JAPAN DYNAMIC SMALL-CAP ADVANTAGE DOW VALUE FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $4,066,161 $3,230,231 $ 651,443 From long-term capital gains, subject to the 15% rate gains category: $ 476,739 $ 711,086 $ 863,878
LARGE-CAP SMALL-CAP MID-CAP VALUE GROWTH GROWTH FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $ 512,040 $ 188,230 $ 708,980 From long-term capital gains, subject to the 15% rate gains category: $ 834,713 $ 559,227 $ 362,610
DYNAMIC LARGE-CAP WEAKENING MULTI-CAP GROWTH DOLLAR CORE EQUITY FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $ 300,944 $ 2,082 $ 6,750 From long-term capital gains, subject to the 15% rate gains category: $ 62,603 $ 3,122 $ --
SECTOR BASIC CONSUMER ROTATION MATERIALS PRODUCTS FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $ 422,244 $ 188,828 $ 272,157 From long-term capital gains, subject to the 15% rate gains category: $3,857,789 $ 479,742 $ 90,453
ENERGY FINANCIAL ENERGY SERVICES SERVICES FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $8,102,643 $ 352,839 $1,770,732 From long-term capital gains, subject to the 15% rate gains category: $9,987,236 $6,216,435 $ 194,488
HEALTH REAL CARE LEISURE ESTATE FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $1,655,023 $ 803,877 $ 913,834 From long-term capital gains, subject to the 15% rate gains category: $ -- $ 440,187 $1,511,042
TELE- RETAILING COMMUNICATIONS UTILITIES FUND FUND FUND -------------------------------------------------------------------------------------- From short-term capital gains: $ 200,751 $ 369,517 $ -- From long-term capital gains, subject to the 15% rate gains category: $ 586,650 $ -- $ 638,278
PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's website at http://www.sec.gov. 226 | THE RYDEX VARIABLE TRUST ANNUAL REPORT OTHER INFORMATION (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- 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 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Variable Trust Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Variable Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered Rydex Investments' investment processes and strategies, and matters related to Rydex Investments' portfolio transaction policies and procedures. In particular, the Board noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 227 OTHER INFORMATION (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of the majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. 228 | THE RYDEX VARIABLE TRUST ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------------ ----------------------------------- ------------------------ CARL G. VERBONCOEUR* Rydex Series Funds - 2004 146 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Investments (2000 to 2003) ----------------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 146 Trustee, Vice President Rydex Variable Trust - 2005 (1970) Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Investments (2004 to present); Chief Operating Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to 2004) -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------------ ----------------------------------- ------------------------ JOHN O. DEMARET Rydex Series Funds - 1997 139 Trustee, Chairman of the Rydex Variable Trust - 1998 Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired ----------------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 139 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) ----------------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 139 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group ----------------------------------- WERNER E. KELLER Rydex Series Funds - 2005 139 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) ----------------------------------- THE RYDEX VARIABLE TRUST ANNUAL REPORT | 229 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED) --------------------------------------------------------------------------------
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------------ ----------------------------------- ------------------------ THOMAS F. LYDON, JR. Rydex Series Funds - 2005 139 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments ----------------------------------- PATRICK T. MCCARVILLE Rydex Series Funds - 1997 139 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. ----------------------------------- ROGER SOMERS Rydex Series Funds - 1993 139 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS ------------------------------ --------------------------------------------------- NICK BONOS* Chief Financial Officer of Rydex Specialized Vice President and Treasurer (1963) Products, LLC (2005 to present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Investments (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer of Rydex Series Funds, Chief Compliance Officer and Secretary (1966) Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Investments (2000 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex Assistant Treasurer (1966) Variable Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Investments (2004 to present); Director of Accounting of Rydex Investments (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable Controller (1974) Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Investments (2001 to present)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. 230 | THE RYDEX VARIABLE TRUST ANNUAL REPORT -------------------------------------------------------------------------------- This page intentionally left blank. -------------------------------------------------------------------------------- This page intentionally left blank. -------------------------------------------------------------------------------- This page intentionally left blank. [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800.820.0888 RVA-2-1206x1207 DECEMBER 31, 2006 RYDEX VARIABLE TRUST ANNUAL REPORT ABSOLUTE RETURN STRATEGIES FUND HEDGED EQUITY FUND [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ................................................ 2 ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 3 PERFORMANCE REPORTS AND FUND PROFILES ..................................... 5 SCHEDULES OF INVESTMENTS .................................................. 7 STATEMENTS OF ASSETS AND LIABILITIES ...................................... 26 STATEMENTS OF OPERATIONS .................................................. 27 STATEMENTS OF CHANGES IN NET ASSETS ....................................... 28 FINANCIAL HIGHLIGHTS ...................................................... 29 NOTES TO FINANCIAL STATEMENTS ............................................. 30 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 37 OTHER INFORMATION ......................................................... 38 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 41 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS -------------------------------------------------------------------------------- DEAR SHAREHOLDER: In many ways, 2006 was a surprising year for investors. Equity markets turned in an unexpectedly strong performance, based in large part on a powerful year-end rally. For much of 2006, stock prices were kept in check by inflation and interest rate concerns. One of the most noteworthy developments of the year was that the Federal Reserve ("Fed") called a halt to its two-year interest rate raising campaign in an effort to see if the 17 consecutive increases in short-term rates enacted over the prior two years had been enough to slow economic growth and cool inflationary pressures. Throughout 2006, stock prices reacted to two major inputs--the price of oil and the direction of future interest rate policy. The pause in interest rate hikes by the Fed changed the debate from when would they stop to when will they ease. Oil prices, which had been on a relentless climb going back to the days prior to hurricane Katrina, finally broke after a first-half rally brought the price of oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower than where it began at $61/barrel. Underlying this was the hope that the economy would achieve a soft landing--slowing enough to give the Fed latitude to ease, but not enough to tip the economy into recession. The major risk in 2006 was housing. As the housing "bubble" burst, it had--and still has--the potential to pull the economy into recession. Stock price behavior, particularly in the fourth quarter, indicates that most observers believed the economy has dodged that bullet. Stocks rallied modestly at the beginning of 2006 then pulled back in the May-July period on concerns about inflationary pressures and additional rate hikes by the Fed. With the economy slowing and inflationary pressures easing, markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains, respectively, on a total return basis for the year. Although it was a bit of a seesaw battle, investors expressed a preference for small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%, beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46% compared to 9.15% for the Russell 1000(R) Growth Index. In this buoyant environment, all 10 S&P 500 sector indices turned in positive performances. In fact, only two indices in this series--health care and information technology--did not achieve double-digit returns. The standout performer was telecommunications, which rose a stunning 36.74%. The S&P Energy Index, riding the wave of record global economic growth, rose 24.21%, followed by the Consumer Discretionary Index, which was up 18.64%, buoyed by a seemingly inexhaustible propensity for consumers to spend. Interest rates rose modestly in 2006 as the yield curve inverted, indicating that fixed-income investors anticipate a significant economic slowdown going forward. Looking into 2007, we think it is likely that economic growth will be slower but not recessionary. In that environment we expect stocks to cool off, if not retreat a bit. That should give the Fed room to ease interest rates, which should push stock prices up again. We do not, however, expect those conditions to unfold until the second half of 2007. Thank you for placing your trust in Rydex Investments. Sincerely, /s/David C. Reilly David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX VARIABLE TRUST ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) -------------------------------------------------------------------------------- All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. As a shareholder of the Fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; 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 you understand your ongoing costs (in dollars) of investing in the 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 June 30, 2006 and ending December 31, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you 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. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your 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 you 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. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by the Fund. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for up to the past five years, in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 3 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED) --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ JUNE 30, 2006 DECEMBER 31, 2006 PERIOD* ---------------------------------------------------------------------------------------------------------- TABLE 1. BASED ON ACTUAL FUND RETURN Absolute Return Strategies Fund 1.72%** $1,000.00 $1,010.80 $8.72 Hedged Equity Fund 1.95%** 1,000.00 1,041.90 10.04 ---------------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN Absolute Return Strategies Fund 1.72%** 1,000.00 1,016.43 8.78 Hedged Equity Fund 1.95%** 1,000.00 1,015.25 9.95
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. EXPENSES SHOWN DO NOT INCLUDE FEES CHARGED BY INSURANCE COMPANIES. ** THIS RATIO REPRESENTS ANNUALIZED GROSS EXPENSES, WHICH INCLUDE DIVIDEND EXPENSE FROM SECURITIES SOLD SHORT. EXCLUDING SHORT DIVIDENDS EXPENSE, THE OPERATING EXPENSE RATIO WOULD BE 0.54% AND 0.78% LOWER FOR THE ABSOLUTE RETURN STRATEGIES FUND AND THE HEDGED EQUITY FUND, RESPECTIVELY. + ANNUALIZED 4 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND OBJECTIVE: To provide capital appreciation consistent with the return and risk characteristics of the hedge fund universe. The secondary objective is to achieve these returns with low correlation to and less volatility than equity indices. INCEPTION: November 29, 2005 Hedge funds performed well in 2006, driven mainly by specialized funds that invest in distressed securities, event driven and convertible arbitrage strategies. Despite a short pullback in the middle of the year, the Dow Jones Hedge Fund Balanced Portfolio Index ended up 9.94% for all of 2006. Rydex Absolute Return Strategies Fund was up 6.64% in 2006. The Fund benefited from exposure to domestic equities, market neutral value, merger arbitrage positions and short positions against the U.S. dollar. Long/short positions in growth and momentum stocks hurt performance, as did commodities. Relative to equities, the Fund had a daily correlation of 74% versus the S&P 500 Index, with less than half the standard deviation of that Index. CUMULATIVE FUND PERFORMANCE: NOVEMBER 29, 2005 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] ABSOLUTE RETURN DOW JONES HEDGE FUND DATE STRATEGIES FUND BALANCED PORTFOLIO INDEX 11/29/05 10,000 10,000 11/30/05 9,996 10,005 12/01/05 10,044 10,037 12/02/05 10,056 10,046 12/03/05 10,056 10,046 12/04/05 10,056 10,046 12/05/05 10,056 10,056 12/06/05 10,056 10,065 12/07/05 10,036 10,055 12/08/05 10,072 10,069 12/09/05 10,072 10,060 12/10/05 10,072 10,060 12/11/05 10,072 10,060 12/12/05 10,100 10,067 12/13/05 10,112 10,070 12/14/05 10,132 10,074 12/15/05 10,112 10,070 12/16/05 10,104 10,067 12/17/05 10,104 10,067 12/18/05 10,104 10,067 12/19/05 10,060 10,051 12/20/05 10,056 10,052 12/21/05 10,084 10,062 12/22/05 10,108 10,077 12/23/05 10,120 10,081 12/24/05 10,120 10,081 12/25/05 10,120 10,081 12/26/05 10,120 10,081 12/27/05 10,076 10,063 12/28/05 10,100 10,070 12/29/05 10,092 10,068 12/30/05 10,080 10,071 12/31/05 10,080 10,071 01/01/06 10,080 10,071 01/02/06 10,080 10,071 01/03/06 10,160 10,102 01/04/06 10,204 10,131 01/05/06 10,208 10,135 01/06/06 10,268 10,163 01/07/06 10,268 10,163 01/08/06 10,268 10,163 01/09/06 10,284 10,179 01/10/06 10,296 10,194 01/11/06 10,316 10,202 01/12/06 10,296 10,200 01/13/06 10,312 10,203 01/14/06 10,312 10,203 01/15/06 10,312 10,203 01/16/06 10,312 10,203 01/17/06 10,304 10,207 01/18/06 10,280 10,194 01/19/06 10,308 10,218 01/20/06 10,276 10,206 01/21/06 10,276 10,206 01/22/06 10,276 10,206 01/23/06 10,308 10,219 01/24/06 10,332 10,235 01/25/06 10,304 10,223 01/26/06 10,328 10,248 01/27/06 10,336 10,263 01/28/06 10,336 10,263 01/29/06 10,336 10,263 01/30/06 10,352 10,275 01/31/06 10,376 10,288 02/01/06 10,348 10,303 02/02/06 10,304 10,290 02/03/06 10,300 10,303 02/04/06 10,300 10,303 02/05/06 10,300 10,303 02/06/06 10,304 10,310 02/07/06 10,260 10,278 02/08/06 10,264 10,279 02/09/06 10,248 10,281 02/10/06 10,228 10,271 02/11/06 10,228 10,271 02/12/06 10,228 10,271 02/13/06 10,200 10,254 02/14/06 10,216 10,267 02/15/06 10,220 10,272 02/16/06 10,252 10,292 02/17/06 10,272 10,300 02/18/06 10,272 10,300 02/19/06 10,272 10,300 02/20/06 10,272 10,300 02/21/06 10,280 10,302 02/22/06 10,312 10,306 02/23/06 10,308 10,309 02/24/06 10,320 10,319 02/25/06 10,320 10,319 02/26/06 10,320 10,319 02/27/06 10,324 10,318 02/28/06 10,304 10,303 03/01/06 10,336 10,328 03/02/06 10,344 10,334 03/03/06 10,328 10,334 03/04/06 10,328 10,334 03/05/06 10,328 10,334 03/06/06 10,264 10,322 03/07/06 10,224 10,299 03/08/06 10,216 10,293 03/09/06 10,200 10,294 03/10/06 10,224 10,313 03/11/06 10,224 10,313 03/12/06 10,224 10,313 03/13/06 10,248 10,327 03/14/06 10,312 10,349 03/15/06 10,348 10,368 03/16/06 10,364 10,377 03/17/06 10,372 10,381 03/18/06 10,372 10,381 03/19/06 10,372 10,381 03/20/06 10,364 10,384 03/21/06 10,316 10,380 03/22/06 10,336 10,388 03/23/06 10,308 10,394 03/24/06 10,332 10,403 03/25/06 10,332 10,403 03/26/06 10,332 10,403 03/27/06 10,332 10,406 03/28/06 10,296 10,401 03/29/06 10,320 10,420 03/30/06 10,324 10,433 03/31/06 10,316 10,430 04/01/06 10,316 10,430 04/02/06 10,316 10,430 04/03/06 10,328 10,449 04/04/06 10,348 10,459 04/05/06 10,392 10,484 04/06/06 10,380 10,497 04/07/06 10,328 10,482 04/08/06 10,328 10,482 04/09/06 10,328 10,482 04/10/06 10,320 10,477 04/11/06 10,304 10,456 04/12/06 10,312 10,465 04/13/06 10,312 10,470 04/14/06 10,312 10,470 04/15/06 10,312 10,470 04/16/06 10,312 10,470 04/17/06 10,328 10,476 04/18/06 10,396 10,513 04/19/06 10,404 10,528 04/20/06 10,392 10,538 04/21/06 10,400 10,551 04/22/06 10,400 10,551 04/23/06 10,400 10,551 04/24/06 10,396 10,541 04/25/06 10,384 10,538 04/26/06 10,400 10,537 04/27/06 10,400 10,532 04/28/06 10,436 10,544 04/29/06 10,436 10,544 04/30/06 10,436 10,544 05/01/06 10,440 10,554 05/02/06 10,476 10,596 05/03/06 10,472 10,596 05/04/06 10,480 10,612 05/05/06 10,524 10,638 05/06/06 10,524 10,638 05/07/06 10,524 10,638 05/08/06 10,524 10,647 05/09/06 10,528 10,661 05/10/06 10,524 10,667 05/11/06 10,484 10,654 05/12/06 10,432 10,619 05/13/06 10,432 10,619 05/14/06 10,432 10,619 05/15/06 10,416 10,582 05/16/06 10,420 10,575 05/17/06 10,352 10,533 05/18/06 10,328 10,511 05/19/06 10,336 10,514 05/20/06 10,336 10,514 05/21/06 10,336 10,514 05/22/06 10,324 10,467 05/23/06 10,316 10,486 05/24/06 10,284 10,465 05/25/06 10,364 10,495 05/26/06 10,384 10,533 05/27/06 10,384 10,533 05/28/06 10,384 10,533 05/29/06 10,384 10,533 05/30/06 10,332 10,499 05/31/06 10,356 10,523 06/01/06 10,404 10,558 06/02/06 10,432 10,581 06/03/06 10,432 10,581 06/04/06 10,432 10,581 06/05/06 10,344 10,545 06/06/06 10,324 10,520 06/07/06 10,288 10,499 06/08/06 10,276 10,460 06/09/06 10,264 10,465 06/10/06 10,264 10,465 06/11/06 10,264 10,465 06/12/06 10,200 10,420 06/13/06 10,144 10,372 06/14/06 10,164 10,379 06/15/06 10,256 10,445 06/16/06 10,228 10,444 06/17/06 10,228 10,444 06/18/06 10,228 10,444 06/19/06 10,176 10,421 06/20/06 10,176 10,416 06/21/06 10,228 10,434 06/22/06 10,212 10,438 06/23/06 10,216 10,448 06/24/06 10,216 10,448 06/25/06 10,216 10,448 06/26/06 10,256 10,465 06/27/06 10,228 10,450 06/28/06 10,240 10,452 06/29/06 10,340 10,502 06/30/06 10,368 10,534 07/01/06 10,368 10,534 07/02/06 10,368 10,534 07/03/06 10,416 10,553 07/04/06 10,416 10,553 07/05/06 10,368 10,523 07/06/06 10,380 10,537 07/07/06 10,364 10,525 07/08/06 10,364 10,525 07/09/06 10,364 10,525 07/10/06 10,364 10,520 07/11/06 10,388 10,529 07/12/06 10,340 10,525 07/13/06 10,292 10,492 07/14/06 10,272 10,475 07/15/06 10,272 10,475 07/16/06 10,272 10,475 07/17/06 10,244 10,462 07/18/06 10,252 10,463 07/19/06 10,344 10,513 07/20/06 10,296 10,493 07/21/06 10,264 10,471 07/22/06 10,264 10,471 07/23/06 10,264 10,471 07/24/06 10,332 10,495 07/25/06 10,364 10,519 07/26/06 10,376 10,536 07/27/06 10,352 10,530 07/28/06 10,416 10,539 07/29/06 10,416 10,539 07/30/06 10,416 10,539 07/31/06 10,424 10,549 08/01/06 10,416 10,552 08/02/06 10,448 10,568 08/03/06 10,452 10,574 08/04/06 10,444 10,568 08/05/06 10,444 10,568 08/06/06 10,444 10,568 08/07/06 10,432 10,563 08/08/06 10,408 10,557 08/09/06 10,388 10,554 08/10/06 10,384 10,551 08/11/06 10,344 10,544 08/12/06 10,344 10,544 08/13/06 10,344 10,544 08/14/06 10,340 10,545 08/15/06 10,408 10,571 08/16/06 10,444 10,588 08/17/06 10,436 10,593 08/18/06 10,452 10,597 08/19/06 10,452 10,597 08/20/06 10,452 10,597 08/21/06 10,444 10,601 08/22/06 10,444 10,608 08/23/06 10,412 10,598 08/24/06 10,420 10,600 08/25/06 10,428 10,604 08/26/06 10,428 10,604 08/27/06 10,428 10,604 08/28/06 10,440 10,611 08/29/06 10,480 10,616 08/30/06 10,492 10,623 08/31/06 10,484 10,630 09/01/06 10,516 10,652 09/02/06 10,516 10,652 09/03/06 10,516 10,652 09/04/06 10,516 10,652 09/05/06 10,544 10,664 09/06/06 10,484 10,652 09/07/06 10,464 10,643 09/08/06 10,448 10,646 09/09/06 10,448 10,646 09/10/06 10,448 10,646 09/11/06 10,440 10,632 09/12/06 10,480 10,647 09/13/06 10,504 10,663 09/14/06 10,492 10,664 09/15/06 10,472 10,665 09/16/06 10,472 10,665 09/17/06 10,472 10,665 09/18/06 10,484 10,672 09/19/06 10,460 10,663 09/20/06 10,484 10,663 09/21/06 10,476 10,666 09/22/06 10,456 10,655 09/23/06 10,456 10,655 09/24/06 10,456 10,655 09/25/06 10,472 10,662 09/26/06 10,488 10,667 09/27/06 10,484 10,681 09/28/06 10,476 10,677 09/29/06 10,460 10,681 09/30/06 10,460 10,681 10/01/06 10,460 10,681 10/02/06 10,464 10,688 10/03/06 10,456 10,681 10/04/06 10,508 10,703 10/05/06 10,520 10,732 10/06/06 10,492 10,729 10/07/06 10,492 10,729 10/08/06 10,492 10,729 10/09/06 10,504 10,729 10/10/06 10,492 10,734 10/11/06 10,472 10,733 10/12/06 10,528 10,769 10/13/06 10,544 10,779 10/14/06 10,544 10,779 10/15/06 10,544 10,779 10/16/06 10,572 10,790 10/17/06 10,552 10,784 10/18/06 10,560 10,797 10/19/06 10,592 10,809 10/20/06 10,560 10,813 10/21/06 10,560 10,813 10/22/06 10,560 10,813 10/23/06 10,576 10,820 10/24/06 10,592 10,835 10/25/06 10,624 10,848 10/26/06 10,652 10,867 10/27/06 10,608 10,860 10/28/06 10,608 10,860 10/29/06 10,608 10,860 10/30/06 10,604 10,856 10/31/06 10,596 10,851 11/01/06 10,528 10,843 11/02/06 10,516 10,844 11/03/06 10,516 10,856 11/04/06 10,516 10,856 11/05/06 10,516 10,856 11/06/06 10,572 10,871 11/07/06 10,576 10,871 11/08/06 10,588 10,875 11/09/06 10,572 10,871 11/10/06 10,584 10,877 11/11/06 10,584 10,877 11/12/06 10,584 10,877 11/13/06 10,588 10,876 11/14/06 10,632 10,886 11/15/06 10,652 10,892 11/16/06 10,640 10,900 11/17/06 10,644 10,896 11/18/06 10,644 10,896 11/19/06 10,644 10,896 11/20/06 10,644 10,900 11/21/06 10,652 10,913 11/22/06 10,660 10,927 11/23/06 10,660 10,927 11/24/06 10,668 10,931 11/25/06 10,668 10,931 11/26/06 10,668 10,931 11/27/06 10,608 10,906 11/28/06 10,628 10,913 11/29/06 10,688 10,946 11/30/06 10,716 10,960 12/01/06 10,712 10,967 12/02/06 10,712 10,967 12/03/06 10,712 10,967 12/04/06 10,756 10,978 12/05/06 10,772 10,992 12/06/06 10,756 10,997 12/07/06 10,744 11,014 12/08/06 10,737 11,020 12/09/06 10,737 11,020 12/10/06 10,737 11,020 12/11/06 10,749 11,031 12/12/06 10,729 11,023 12/13/06 10,729 11,032 12/14/06 10,762 11,038 12/15/06 10,758 11,032 12/16/06 10,758 11,032 12/17/06 10,758 11,032 12/18/06 10,745 11,028 12/19/06 10,766 11,041 12/20/06 10,758 11,048 12/21/06 10,737 11,048 12/22/06 10,713 11,041 12/23/06 10,713 11,041 12/24/06 10,713 11,041 12/25/06 10,713 11,041 12/26/06 10,741 11,049 12/27/06 10,786 11,066 12/28/06 10,774 11,070 12/29/06 10,749 11,072 12/30/06 10,749 11,072 12/31/06 10,749 11,072 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (11/29/05) -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND 6.64% 6.87% DOW JONES HEDGE FUND BALANCED PORTFOLIO INDEX 9.94% 9.81% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES HEDGE FUND BALANCED PORTFOLIO INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] ABSOLUTE RETURN ABSOLUTED RETURN STRATEGIES FUND STRATEGIES FUND LONG HOLDINGS SHORT HOLDINGS CONSUMER DISCRETIONARY 7.1% -2.6% CONSUMER STAPLES 3.0% -2.9% ENERGY 3.6% -2.9% FINANCIALS 11.6% -7.5% HEALTH CARE 4.8% -3.2% INDUSTRIALS 6.6% -3.0% INFORMATION TECHNOLOGY 6.2% -6.0% MATERIALS 2.3% -1.3% TELECOMMUNICATION SERVICES 3.0% -0.5% UTILITIES 2.5% -1.3% EXCHANGE TRADED FUND 3.9% FUTURES CONTRACTS 34.8% -8.1% CDXI SWAP AGREEMENTS 31.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- iShares GSCI Commodity Indexed Trust 3.9% Verizon Communications, Inc. 0.6% ConocoPhillips 0.6% J.P. Morgan Chase & Co. 0.5% BellSouth Corp. 0.5% Tyco International, Ltd. 0.5% WellPoint, Inc. 0.5% MetLife, Inc. 0.4% Washington Mutual, Inc. 0.4% McKesson Corp. 0.4% -------------------------------------------------------------------------------- Top Ten Total 8.3% -------------------------------------------------------------------------------- "Ten Largest Long Holdings" exclude any temporary cash or derivative instruments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 5 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- HEDGED EQUITY FUND OBJECTIVE: To provide capital appreciation consistent with the return and risk characteristics of the long/short hedge fund universe. The secondary objective is to achieve these returns with low correlation to, and less volatility than equity indices. INCEPTION: November 29, 2005 Long/short hedge funds were up 8.26% in 2006 as measured by the Dow Jones Hedge Fund Equity Long/Short Index. Long/short funds had a sharp correction in May but managed to regain their footing amid rising equity markets. Rydex Hedged Equity Fund rose 8.20% and tracked the Dow Jones Hedge Fund Equity Long/Short Index closely for most of the year. The Fund benefited from exposure to domestic equities and long/short positions in favor of value stocks. Exposure to momentum strategies and a tilt toward growth stocks detracted from performance. Relative to equities, the Fund had a daily correlation of 92% versus the S&P 500 Index. The standard deviation of the Fund's daily returns was about one-fifth less than the S&P 500 Index. CUMULATIVE FUND PERFORMANCE: NOVEMBER 29, 2005 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DOW JONES HEDGE FUND DATE HEDGED EQUITY FUND EQUITY LONG/SHORT INDEX 11/29/2005 10,000 10,000 11/30/2005 9,980 10,013 12/1/2005 10,092 10,099 12/2/2005 10,084 10,096 12/3/2005 10,084 10,096 12/4/2005 10,084 10,096 12/5/2005 10,080 10,096 12/6/2005 10,092 10,120 12/7/2005 10,064 10,096 12/8/2005 10,080 10,129 12/9/2005 10,092 10,127 12/10/2005 10,092 10,127 12/11/2005 10,092 10,127 12/12/2005 10,100 10,146 12/13/2005 10,112 10,151 12/14/2005 10,132 10,159 12/15/2005 10,124 10,139 12/16/2005 10,104 10,112 12/17/2005 10,104 10,112 12/18/2005 10,104 10,112 12/19/2005 10,044 10,061 12/20/2005 10,064 10,073 12/21/2005 10,120 10,122 12/22/2005 10,158 10,150 12/23/2005 10,174 10,156 12/24/2005 10,174 10,156 12/25/2005 10,174 10,156 12/26/2005 10,174 10,156 12/27/2005 10,106 10,077 12/28/2005 10,142 10,117 12/29/2005 10,122 10,111 12/30/2005 10,094 10,114 12/31/2005 10,094 10,114 1/1/2006 10,094 10,114 1/2/2006 10,094 10,114 1/3/2006 10,202 10,232 1/4/2006 10,262 10,284 1/5/2006 10,290 10,260 1/6/2006 10,378 10,339 1/7/2006 10,378 10,339 1/8/2006 10,378 10,339 1/9/2006 10,430 10,343 1/10/2006 10,450 10,376 1/11/2006 10,474 10,395 1/12/2006 10,446 10,357 1/13/2006 10,450 10,388 1/14/2006 10,450 10,388 1/15/2006 10,450 10,388 1/16/2006 10,450 10,388 1/17/2006 10,430 10,370 1/18/2006 10,398 10,329 1/19/2006 10,462 10,423 1/20/2006 10,378 10,361 1/21/2006 10,378 10,361 1/22/2006 10,378 10,361 1/23/2006 10,418 10,407 1/24/2006 10,482 10,460 1/25/2006 10,454 10,420 1/26/2006 10,510 10,478 1/27/2006 10,546 10,525 1/28/2006 10,546 10,525 1/29/2006 10,546 10,525 1/30/2006 10,578 10,576 1/31/2006 10,623 10,601 2/1/2006 10,578 10,590 2/2/2006 10,494 10,524 2/3/2006 10,490 10,526 2/4/2006 10,490 10,526 2/5/2006 10,490 10,526 2/6/2006 10,510 10,576 2/7/2006 10,422 10,458 2/8/2006 10,450 10,466 2/9/2006 10,418 10,458 2/10/2006 10,414 10,431 2/11/2006 10,414 10,431 2/12/2006 10,414 10,431 2/13/2006 10,358 10,368 2/14/2006 10,390 10,403 2/15/2006 10,406 10,401 2/16/2006 10,454 10,476 2/17/2006 10,462 10,467 2/18/2006 10,462 10,467 2/19/2006 10,462 10,467 2/20/2006 10,462 10,467 2/21/2006 10,470 10,484 2/22/2006 10,534 10,492 2/23/2006 10,526 10,495 2/24/2006 10,558 10,529 2/25/2006 10,558 10,529 2/26/2006 10,558 10,529 2/27/2006 10,554 10,505 2/28/2006 10,494 10,462 3/1/2006 10,562 10,523 3/2/2006 10,574 10,555 3/3/2006 10,558 10,534 3/4/2006 10,558 10,534 3/5/2006 10,558 10,534 3/6/2006 10,438 10,486 3/7/2006 10,358 10,409 3/8/2006 10,346 10,387 3/9/2006 10,318 10,391 3/10/2006 10,370 10,434 3/11/2006 10,370 10,434 3/12/2006 10,370 10,434 3/13/2006 10,414 10,470 3/14/2006 10,498 10,521 3/15/2006 10,570 10,564 3/16/2006 10,570 10,554 3/17/2006 10,582 10,568 3/18/2006 10,582 10,568 3/19/2006 10,582 10,568 3/20/2006 10,558 10,554 3/21/2006 10,486 10,524 3/22/2006 10,534 10,552 3/23/2006 10,514 10,564 3/24/2006 10,550 10,602 3/25/2006 10,550 10,602 3/26/2006 10,550 10,602 3/27/2006 10,546 10,602 3/28/2006 10,502 10,594 3/29/2006 10,566 10,667 3/30/2006 10,550 10,705 3/31/2006 10,550 10,687 4/1/2006 10,550 10,687 4/2/2006 10,550 10,687 4/3/2006 10,562 10,733 4/4/2006 10,578 10,752 4/5/2006 10,655 10,806 4/6/2006 10,643 10,850 4/7/2006 10,570 10,791 4/8/2006 10,570 10,791 4/9/2006 10,570 10,791 4/10/2006 10,546 10,784 4/11/2006 10,486 10,705 4/12/2006 10,518 10,709 4/13/2006 10,526 10,726 4/14/2006 10,526 10,726 4/15/2006 10,526 10,726 4/16/2006 10,526 10,726 4/17/2006 10,526 10,736 4/18/2006 10,643 10,855 4/19/2006 10,663 10,921 4/20/2006 10,651 10,916 4/21/2006 10,663 10,965 4/22/2006 10,663 10,965 4/23/2006 10,663 10,965 4/24/2006 10,639 10,929 4/25/2006 10,627 10,901 4/26/2006 10,659 10,905 4/27/2006 10,623 10,851 4/28/2006 10,675 10,877 4/29/2006 10,675 10,877 4/30/2006 10,675 10,877 5/1/2006 10,687 10,878 5/2/2006 10,755 10,966 5/3/2006 10,755 10,947 5/4/2006 10,759 10,983 5/5/2006 10,835 11,041 5/6/2006 10,835 11,041 5/7/2006 10,835 11,041 5/8/2006 10,831 11,066 5/9/2006 10,831 11,094 5/10/2006 10,819 11,091 5/11/2006 10,723 11,022 5/12/2006 10,611 10,886 5/13/2006 10,611 10,886 5/14/2006 10,611 10,886 5/15/2006 10,574 10,757 5/16/2006 10,566 10,713 5/17/2006 10,446 10,605 5/18/2006 10,374 10,517 5/19/2006 10,410 10,520 5/20/2006 10,410 10,520 5/21/2006 10,410 10,520 5/22/2006 10,362 10,369 5/23/2006 10,346 10,413 5/24/2006 10,318 10,332 5/25/2006 10,454 10,433 5/26/2006 10,506 10,538 5/27/2006 10,506 10,538 5/28/2006 10,506 10,538 5/29/2006 10,506 10,538 5/30/2006 10,358 10,419 5/31/2006 10,438 10,494 6/1/2006 10,538 10,540 6/2/2006 10,554 10,576 6/3/2006 10,554 10,576 6/4/2006 10,554 10,576 6/5/2006 10,382 10,452 6/6/2006 10,362 10,346 6/7/2006 10,294 10,245 6/8/2006 10,290 10,133 6/9/2006 10,266 10,159 6/10/2006 10,266 10,159 6/11/2006 10,266 10,159 6/12/2006 10,130 9,998 6/13/2006 10,050 9,829 6/14/2006 10,090 9,897 6/15/2006 10,290 10,139 6/16/2006 10,246 10,113 6/17/2006 10,246 10,113 6/18/2006 10,246 10,113 6/19/2006 10,154 10,021 6/20/2006 10,146 10,011 6/21/2006 10,238 10,099 6/22/2006 10,230 10,102 6/23/2006 10,254 10,143 6/24/2006 10,254 10,143 6/25/2006 10,254 10,143 6/26/2006 10,318 10,149 6/27/2006 10,258 10,083 6/28/2006 10,282 10,094 6/29/2006 10,458 10,251 6/30/2006 10,482 10,335 7/1/2006 10,482 10,335 7/2/2006 10,482 10,335 7/3/2006 10,562 10,379 7/4/2006 10,562 10,379 7/5/2006 10,486 10,304 7/6/2006 10,506 10,312 7/7/2006 10,454 10,256 7/8/2006 10,454 10,256 7/9/2006 10,454 10,256 7/10/2006 10,458 10,242 7/11/2006 10,478 10,264 7/12/2006 10,394 10,240 7/13/2006 10,286 10,126 7/14/2006 10,254 10,072 7/15/2006 10,254 10,072 7/16/2006 10,254 10,072 7/17/2006 10,218 9,989 7/18/2006 10,238 9,979 7/19/2006 10,382 10,113 7/20/2006 10,290 10,012 7/21/2006 10,230 9,901 7/22/2006 10,230 9,901 7/23/2006 10,230 9,901 7/24/2006 10,354 9,980 7/25/2006 10,418 10,044 7/26/2006 10,406 10,062 7/27/2006 10,358 10,043 7/28/2006 10,454 10,102 7/29/2006 10,454 10,102 7/30/2006 10,454 10,102 7/31/2006 10,462 10,138 8/1/2006 10,438 10,106 8/2/2006 10,478 10,152 8/3/2006 10,502 10,151 8/4/2006 10,474 10,141 8/5/2006 10,474 10,141 8/6/2006 10,474 10,141 8/7/2006 10,450 10,123 8/8/2006 10,418 10,108 8/9/2006 10,378 10,138 8/10/2006 10,390 10,158 8/11/2006 10,350 10,127 8/12/2006 10,350 10,127 8/13/2006 10,350 10,127 8/14/2006 10,342 10,111 8/15/2006 10,446 10,184 8/16/2006 10,514 10,246 8/17/2006 10,510 10,244 8/18/2006 10,542 10,262 8/19/2006 10,542 10,262 8/20/2006 10,542 10,262 8/21/2006 10,502 10,268 8/22/2006 10,510 10,288 8/23/2006 10,458 10,253 8/24/2006 10,462 10,241 8/25/2006 10,474 10,262 8/26/2006 10,474 10,262 8/27/2006 10,474 10,262 8/28/2006 10,498 10,258 8/29/2006 10,534 10,277 8/30/2006 10,542 10,297 8/31/2006 10,546 10,320 9/1/2006 10,595 10,375 9/2/2006 10,595 10,375 9/3/2006 10,595 10,375 9/4/2006 10,595 10,375 9/5/2006 10,647 10,423 9/6/2006 10,542 10,348 9/7/2006 10,518 10,312 9/8/2006 10,518 10,303 9/9/2006 10,518 10,303 9/10/2006 10,518 10,303 9/11/2006 10,510 10,257 9/12/2006 10,586 10,280 9/13/2006 10,631 10,330 9/14/2006 10,615 10,321 9/15/2006 10,607 10,321 9/16/2006 10,607 10,321 9/17/2006 10,607 10,321 9/18/2006 10,615 10,348 9/19/2006 10,566 10,315 9/20/2006 10,607 10,320 9/21/2006 10,562 10,315 9/22/2006 10,534 10,276 9/23/2006 10,534 10,276 9/24/2006 10,534 10,276 9/25/2006 10,566 10,265 9/26/2006 10,615 10,302 9/27/2006 10,607 10,332 9/28/2006 10,586 10,338 9/29/2006 10,574 10,343 9/30/2006 10,574 10,343 10/1/2006 10,574 10,343 10/2/2006 10,566 10,326 10/3/2006 10,558 10,285 10/4/2006 10,631 10,326 10/5/2006 10,655 10,413 10/6/2006 10,627 10,392 10/7/2006 10,627 10,392 10/8/2006 10,627 10,392 10/9/2006 10,627 10,391 10/10/2006 10,639 10,418 10/11/2006 10,615 10,392 10/12/2006 10,695 10,463 10/13/2006 10,719 10,497 10/14/2006 10,719 10,497 10/15/2006 10,719 10,497 10/16/2006 10,747 10,533 10/17/2006 10,707 10,494 10/18/2006 10,723 10,505 10/19/2006 10,759 10,570 10/20/2006 10,723 10,585 10/21/2006 10,723 10,585 10/22/2006 10,723 10,585 10/23/2006 10,771 10,603 10/24/2006 10,799 10,626 10/25/2006 10,839 10,663 10/26/2006 10,871 10,703 10/27/2006 10,791 10,674 10/28/2006 10,791 10,674 10/29/2006 10,791 10,674 10/30/2006 10,787 10,641 10/31/2006 10,775 10,647 11/1/2006 10,659 10,623 11/2/2006 10,639 10,622 11/3/2006 10,619 10,670 11/4/2006 10,619 10,670 11/5/2006 10,619 10,670 11/6/2006 10,703 10,726 11/7/2006 10,715 10,742 11/8/2006 10,731 10,747 11/9/2006 10,687 10,754 11/10/2006 10,719 10,732 11/11/2006 10,719 10,732 11/12/2006 10,719 10,732 11/13/2006 10,735 10,731 11/14/2006 10,807 10,755 11/15/2006 10,839 10,785 11/16/2006 10,831 10,764 11/17/2006 10,827 10,755 11/18/2006 10,827 10,755 11/19/2006 10,827 10,755 11/20/2006 10,835 10,762 11/21/2006 10,839 10,833 11/22/2006 10,855 10,864 11/23/2006 10,855 10,864 11/24/2006 10,843 10,864 11/25/2006 10,843 10,864 11/26/2006 10,843 10,864 11/27/2006 10,731 10,782 11/28/2006 10,755 10,789 11/29/2006 10,839 10,870 11/30/2006 10,863 10,893 12/1/2006 10,851 10,881 12/2/2006 10,851 10,881 12/3/2006 10,851 10,881 12/4/2006 10,927 10,935 12/5/2006 10,955 10,949 12/6/2006 10,939 10,949 12/7/2006 10,915 10,965 12/8/2006 10,922 10,980 12/9/2006 10,922 10,980 12/10/2006 10,922 10,980 12/11/2006 10,934 10,980 12/12/2006 10,897 10,950 12/13/2006 10,905 10,966 12/14/2006 10,951 10,990 12/15/2006 10,955 10,981 12/16/2006 10,955 10,981 12/17/2006 10,955 10,981 12/18/2006 10,918 10,936 12/19/2006 10,938 10,940 12/20/2006 10,922 10,937 12/21/2006 10,893 10,908 12/22/2006 10,855 10,888 12/23/2006 10,855 10,888 12/24/2006 10,855 10,888 12/25/2006 10,855 10,888 12/26/2006 10,913 10,899 12/27/2006 10,992 10,961 12/28/2006 10,967 10,962 12/29/2006 10,922 10,949 12/30/2006 10,922 10,949 12/31/2006 10,922 10,949 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (11/29/05) -------------------------------------------------------------------------------- HEDGED EQUITY FUND 8.20% 8.44% DOW JONES HEDGE FUND EQUITY LONG/SHORT INDEX 8.26% 8.69% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE DOW JONES HEDGE FUND EQUITY LONG/SHORT INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] HEDGED EQUITY FUND HEDGED EQUITY FUND LONG HOLDINGS SHORT HOLDINGS OTHER 5.2% -3.8% CONSUMER DISCRETIONARY 7.3% -5.0% CONSUMER STAPLES 4.9% -4.9% ENERGY 4.6% -4.7% FINANCIALS 11.0% -9.8% HEALTH CARE 5.0% -5.1% INDUSTRIALS 6.6% -5.2% INFORMATION TECHNOLOGY 5.3% -8.0% TELECOMMUNICATION SERVICES 3.5% FUTURES CONTRACTS 55.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- J.P. Morgan Chase & Co. 1.2% Verizon Communications, Inc. 0.9% Reynolds American Inc. 0.9% ConocoPhillips 0.8% BellSouth Corp. 0.7% McKesson Corp. 0.7% Tyco International, Ltd. 0.7% WellPoint, Inc. 0.7% Goldman Sachs Group, Inc. 0.6% Boeing Co. 0.6% -------------------------------------------------------------------------------- Top Ten Total 7.8% -------------------------------------------------------------------------------- "Ten Largest Long Holdings" exclude any temporary cash or derivative instruments. 6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 50.7% FINANCIALS 11.6% REAL ESTATE 3.4% Equity Office Properties Trust 1,760 $ 84,779 Newkirk Realty Trust Co., Inc. 3,120 56,285 Columbia Equity Trust, Inc. 2,910 55,610 MortgageIT Holdings, Inc. 3,750 55,312 CentraCore Properties Trust 1,710 55,284 Trustreet Properties, Inc. 3,280 55,268 Longview Fibre Co. 2,510 55,094 Reckson Associates Realty Corp. 1,200 54,720 Government Properties Trust, Inc. 5,150 54,590 Realogy Corp.* 1,800 54,576 Brookfield Asset Management, Inc. -- Class A 500 24,090 KIMCO Realty Corp. 520 23,374 Liberty Property Trust 400 19,656 Brookfield Properties Corp. 460 18,092 Forest City Enterprises, Inc. -- Class A 250 14,600 Apartment Investment & Management Co. -- Class A 230 12,885 The St. Joe Co. 200 10,714 Jones Lang LaSalle, Inc. 100 9,217 General Growth Properties, Inc. 120 6,268 Equity Residential 120 6,090 ProLogis 100 6,077 Host Hotels & Resorts, Inc. 240 5,892 Public Storage, Inc. 60 5,850 Archstone-Smith Trust 100 5,821 CB Richard Ellis Group, Inc. -- Class A* 170 5,644 AvalonBay Communities, Inc. 40 5,202 Developers Diversified Realty Corp. 70 4,406 Macerich Co. 50 4,329 ------------ TOTAL REAL ESTATE 769,725 ------------ INSURANCE 2.7% MetLife, Inc. 1,620 95,596 Hartford Financial Services Group, Inc. 820 76,514 Chubb Corp. 1,280 67,725 Direct General Corp. 2,670 55,109 Universal American Financial Corp.* 2,950 54,988 UnumProvident Corp. 2,370 49,249 Cincinnati Financial Corp. 860 38,967 SAFECO Corp. 590 36,904 Genworth Financial, Inc. -- Class A 1,020 34,894 Old Republic International Corp. 1,410 32,825 Fidelity National Financial, Inc. -- Class A 1,210 28,895 Ohio Casualty Corp. 650 19,376 -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- First American Corp. 430 $ 17,492 American Financial Group, Inc. 300 10,773 ------------ TOTAL INSURANCE 619,307 ------------ BANKS 2.0% State National Bancshares, Inc. 1,440 55,425 TD Banknorth, Inc. 1,710 55,199 Interchange Financial Services Corp. 2,400 55,176 Mid-State Bancshares 1,510 54,949 Mercantile Bankshares Corp. 1,170 54,744 Republic Bancorp, Inc. 4,000 53,840 Sky Financial Group, Inc. 1,850 52,799 National City Corp. 1,318 48,186 SVB Financial Group* 250 11,655 FirstMerit Corp. 220 5,311 ------------ TOTAL BANKS 447,284 ------------ DIVERSIFIED FINANCIALS 1.2% J.P. Morgan Chase & Co. 2,370 114,471 CIT Group, Inc. 1,390 77,520 Cbot Holdings, Inc.* 350 53,015 Leucadia National Corp. 780 21,996 ------------ TOTAL DIVERSIFIED FINANCIALS 267,002 ------------ THRIFTS & MORTGAGE FINANCE 1.1% Washington Mutual, Inc. 2,040 92,800 Pennfed Financial Services, 2,860 55,255 Sovereign Bancorp, Inc. 1,220 30,976 Radian Group, Inc. 550 29,651 IndyMac Bancorp, Inc. 370 16,709 First Niagara Financial Group, Inc. 770 11,442 ------------ TOTAL THRIFTS & MORTGAGE FINANCE 236,833 ------------ CAPITAL MARKETS 0.8% Lehman Brothers Holdings, Inc. 740 57,809 Bank of New York Co., Inc. 1,390 54,724 Goldman Sachs Group, Inc. 240 47,844 A.G. Edwards, Inc. 190 12,025 Raymond James Financial, Inc. 340 10,306 ------------ TOTAL CAPITAL MARKETS 182,708 ------------ CONSUMER FINANCE 0.4% Capital One Financial Corp. 580 44,556 AmeriCredit Corp.* 1,550 39,013 ------------ TOTAL CONSUMER FINANCE 83,569 ------------ TOTAL FINANCIALS 2,606,428 ------------ CONSUMER DISCRETIONARY 7.1% MEDIA 1.7% Univision Communications, Inc. -- Class A* 1,560 55,255 Cablevision Sys Corp. -- Cl A 1,940 55,251 Advo, Inc. 1,690 55,094 Clear Channel Communications, Inc. 1,550 55,087 Walt Disney Co. 1,260 43,180 Gannett Co., Inc. 700 42,322 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Reader's Digest Association, Inc. 1,980 $ 33,066 Comcast Corp. -- Class A* 590 24,975 Media General, Inc. 280 10,408 Westwood One, Inc. 870 6,142 ------------ TOTAL MEDIA 380,780 ------------ HOTELS, RESTAURANTS & LEISURE 1.4% Aztar Corp.* 1,020 55,508 Four Seasons Hotels, Inc. 670 54,933 OSI Restaurant Partners, Inc. 1,400 54,880 Station Casinos, Inc. 670 54,719 Harrah's Entertainment, Inc. 410 33,915 Riviera Holdings Corp.* 405 9,785 McDonald's Corp. 220 9,753 Carnival Corp. 170 8,338 Las Vegas Sands Corp.* 80 7,158 MGM Mirage, Inc.* 90 5,162 Hilton Hotels Corp. 140 4,886 Yum! Brands, Inc. 80 4,704 Starwood Hotels & Resorts Worldwide, Inc. 70 4,375 Royal Caribbean Cruises Ltd. 100 4,138 Wynn Resorts Ltd. 40 3,754 Wyndham Worldwide Corp.* 100 3,202 Tim Hortons, Inc. 110 3,186 ------------ TOTAL HOTELS, RESTAURANTS & LEISURE 322,396 ------------ SPECIALTY RETAIL 0.8% Eddie Bauer Holdings, Inc.* 6,100 55,266 The Gap, Inc. 2,200 42,900 AutoNation, Inc.* 1,120 23,879 Regis Corp. 550 21,747 GameStop Corp. -- Class A* 300 16,533 AnnTaylor Stores Corp.* 250 8,210 American Eagle Outfitters, Inc. 230 7,178 Rent-A-Center, Inc.* 130 3,836 ------------ TOTAL SPECIALTY RETAIL 179,549 ------------ HOUSEHOLD DURABLES 0.7% Yankee Candle Co., Inc. 1,610 55,191 Lennar Corp. -- Class A 740 38,821 Whirlpool Corp. 360 29,887 American Greetings Corp. -- Class A 570 13,606 Toll Brothers, Inc.* 370 11,925 Furniture Brands International, Inc. 650 10,550 Pulte Homes, Inc. 170 5,630 KB HOME 80 4,102 Ryland Group, Inc. 50 2,731 ------------ TOTAL HOUSEHOLD DURABLES 172,443 ------------ -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AUTO COMPONENTS 0.6% Johnson Controls, Inc. 790 $ 67,877 Bandag, Inc. 960 48,413 Modine Manufacturing Co. 420 10,512 Goodyear Tire & Rubber Co.* 490 10,285 ------------ TOTAL AUTO COMPONENTS 137,087 ------------ MULTILINE RETAIL 0.6% Federated Department Stores, Inc. 2,030 77,404 J.C. Penney Co., Inc. 420 32,491 Kohl's Corp.* 180 12,317 Dillard's, Inc. -- Class A 130 4,546 Big Lots, Inc.* 180 4,126 ------------ TOTAL MULTILINE RETAIL 130,884 ------------ TEXTILES & APPAREL 0.4% Hanesbrands, Inc.* 750 17,715 Nike, Inc. -- Class B 140 13,864 VF Corp. 100 8,208 Polo Ralph Lauren Corp. 100 7,766 Liz Claiborne, Inc. 130 5,650 Jones Apparel Group, Inc. 150 5,014 Phillips-Van Heusen Corp. 90 4,515 Gildan Activewear, Inc.* 90 4,197 Under Armour, Inc.* 80 4,036 Columbia Sportswear Co. 70 3,899 Timberland Co. -- Class A* 120 3,790 Quiksilver, Inc.* 230 3,623 Wolverine World Wide, Inc. 120 3,422 Fossil, Inc.* 150 3,387 Carter's, Inc.* 110 2,805 ------------ TOTAL TEXTILES & APPAREL 91,891 ------------ LEISURE EQUIPMENT & PRODUCTS 0.4% Brunswick Corp. 900 28,710 Eastman Kodak Co. 540 13,932 Hasbro, Inc. 410 11,173 Callaway Golf Co. 730 10,519 Polaris Industries, Inc. 160 7,493 Pool Corp. 190 7,442 Marvel Entertainment, Inc.* 270 7,266 RC2 Corp.* 120 5,280 ------------ TOTAL LEISURE EQUIPMENT & PRODUCTS 91,815 ------------ INTERNET & CATALOG RETAIL 0.3% IAC/InterActiveCorp* 510 18,951 Expedia, Inc.* 730 15,315 Nutri/System, Inc.* 120 7,607 Priceline.com, Inc.* 150 6,541 VistaPrint Ltd.* 170 5,629 Netflix, Inc.* 210 5,431 Coldwater Creek, Inc.* 140 3,433 ------------ TOTAL INTERNET & CATALOG RETAIL 62,907 ------------ 8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AUTOMOBILES 0.1% Ford Motor Co. 2,480 $ 18,625 ------------ TOTAL AUTOMOBILES 18,625 ------------ COMMERCIAL SERVICES & SUPPLIES 0.1% Career Education Corp.* 500 12,390 ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES 12,390 ------------ TOTAL CONSUMER DISCRETIONARY 1,600,767 ------------ INDUSTRIALS 6.6% COMMERCIAL SERVICES & SUPPLIES 1.6% Banta Corp. 1,870 68,068 ARAMARK Corp. -- Class B 1,650 55,192 Sitel Corp.* 13,030 54,987 Cornell Cos., Inc.* 2,970 54,440 John H. Harland Co. 1,050 52,710 Adesa, Inc. 1,880 52,170 Manpower, Inc. 130 9,741 Allied Waste Industries, Inc.* 690 8,480 ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES 355,788 ------------ AEROSPACE & DEFENSE 1.1% Northrop Grumman Corp. 970 65,669 Boeing Co. 680 60,411 Essex Corp.* 2,310 55,232 Raytheon Co. 670 35,376 Lockheed Martin Corp. 270 24,859 ------------ TOTAL AEROSPACE & DEFENSE 241,547 ------------ ROAD & RAIL 0.9% Norfolk Southern Corp. 1,180 59,342 RailAmerica, Inc.* 3,430 55,155 Swift Transportation Co., Inc.* 1,990 52,277 YRC Worldwide, Inc.* 430 16,224 CSX Corp. 460 15,838 Avis Budget Group, Inc. 280 6,073 ------------ TOTAL ROAD & RAIL 204,909 ------------ ELECTRICAL EQUIPMENT 0.6% American Power Conversion Corp. 2,060 63,015 ABB Ltd. -- SP ADR 1,110 19,958 Emerson Electric Co. 330 14,543 Rockwell Automation, Inc. 120 7,330 Cooper Industries Ltd. -- Class A 80 7,234 Roper Industries, Inc.* 110 5,526 AMETEK, Inc. 150 4,776 Thomas & Betts Corp.* 90 4,255 Acuity Brands, Inc. 80 4,163 Hubbell, Inc. -- Class B 90 4,069 General Cable Corp.* 90 3,934 Regal-Beloit Corp. 70 3,676 Energy Conversion Devices, Inc.* 70 2,379 A.O. Smith Corp. 60 2,254 ------------ TOTAL ELECTRICAL EQUIPMENT 147,112 ------------ AIRLINES 0.6% Southwest Airlines Co. 1,770 27,116 Alaska Air Group, Inc.* 550 21,725 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Ryanair Holdings PLC* -- SP ADR* 170 $ 13,855 British Airways PLC -- SP ADR* 130 13,425 AMR Corp.* 340 10,278 UAL Corp.* 210 9,240 Continental Airlines, Inc. -- Class B* 200 8,250 US Airways Group, Inc.* 150 8,078 JetBlue Airways Corp.* 440 6,248 Gol Linhas Aereas Inteligentes SA -- SP ADR 170 4,874 SkyWest, Inc. 170 4,337 AirTran Holdings, Inc.* 70 822 ------------ TOTAL AIRLINES 128,248 ------------ MACHINERY 0.6% Timken Co. 1,210 35,308 Cummins, Inc. 280 33,090 Lincoln Electric Holdings, Inc. 300 18,126 Paccar, Inc. 250 16,225 Crane Co. 320 11,725 AGCO Corp.* 220 6,807 Trinity Industries, Inc. 190 6,688 ------------ TOTAL MACHINERY 127,969 ------------ BUILDING PRODUCTS 0.6% Jacuzzi Brands, Inc.* 4,470 55,562 ElkCorp 1,340 55,061 Masco Corp. 490 14,636 ------------ TOTAL BUILDING PRODUCTS 125,259 ------------ INDUSTRIAL CONGLOMERATES 0.5% Tyco International Ltd. 3,470 105,488 Sequa Corp. -- Class A* 120 13,807 ------------ TOTAL INDUSTRIAL CONGLOMERATES 119,295 ------------ TRADING COMPANIES & DISTRIBUTORS 0.1% United Rentals, Inc.* 780 19,836 ------------ TOTAL TRADING COMPANIES & DISTRIBUTORS 19,836 ------------ CONSTRUCTION & ENGINEERING 0.0% Granite Construction, Inc. 220 11,070 ------------ TOTAL CONSTRUCTION & ENGINEERING 11,070 ------------ TOTAL INDUSTRIALS 1,481,033 ------------ INFORMATION TECHNOLOGY 6.2% IT CONSULTING & SERVICES 1.7% Indus International, Inc.* 14,660 55,561 Kanbay International, Inc.* 1,920 55,238 Sabre Holdings Corp. 1,720 54,851 TNS, Inc.* 2,700 51,975 First Data Corp. 1,850 47,212 Computer Sciences Corp.* 800 42,696 Affiliated Computer Services, Inc. -- Class A* 710 34,676 BISYS Group, Inc.* 1,370 17,687 Alliance Data Systems Corp.* 210 13,119 Ceridian Corp.* 460 12,871 ------------ TOTAL IT CONSULTING & SERVICES 385,886 ------------ See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.0% Portalplayer, Inc.* 4,100 $ 55,145 PowerDsine Ltd.* 4,980 54,631 Agere Systems, Inc.* 2,750 52,717 Micron Technology, Inc.* 1,660 23,174 Cree, Inc.* 770 13,336 Intersil Corp. -- Class A 510 12,199 Atmel Corp.* 1,470 8,894 ------------ TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 220,096 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS 0.8% Symbol Technologies, Inc. 3,690 55,129 Pemstar, Inc.* 14,170 54,554 Arrow Electronics, Inc.* 880 27,764 Vishay Intertechnology, Inc.* 1,650 22,341 Amphenol Corp. -- Class A 230 14,278 Sanmina-SCI Corp.* 2,660 9,177 Newport Corp.* 270 5,657 ------------ TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 188,900 ------------ INTERNET SOFTWARE & SERVICES 0.8% VitalStream Holdings, Inc.* 5,600 56,224 Digital Insight Corp.* 1,430 55,041 Netratings, Inc.* 3,110 54,456 Yahoo!, Inc.* 680 17,367 ------------ TOTAL INTERNET SOFTWARE & SERVICES 183,088 ------------ COMMUNICATIONS EQUIPMENT 0.8% Alcatel-Lucent SA -- SP ADR 3,700 52,614 Motorola, Inc. 2,400 49,344 Corning, Inc.* 2,050 38,355 Plantronics, Inc. 490 10,388 Polycom, Inc.* 310 9,582 CommScope, Inc.* 260 7,925 ADC Telecommunications, Inc.* 260 3,778 ------------ TOTAL COMMUNICATIONS EQUIPMENT 171,986 ------------ SOFTWARE 0.6% Open Solutions, Inc.* 1,470 55,331 Novell, Inc.* 4,180 25,916 Compuware Corp.* 2,890 24,074 BMC Software, Inc.* 470 15,134 Mentor Graphics Corp.* 400 7,212 Macrovision Corp.* 250 7,065 Wind River Systems, Inc.* 630 6,457 ------------ TOTAL SOFTWARE 141,189 ------------ COMPUTERS & PERIPHERALS 0.5% McData Corp. -- Class A* 10,650 59,107 Sun Microsystems, Inc.* 5,350 28,997 Palm, Inc.* 1,840 25,926 ------------ TOTAL COMPUTERS & PERIPHERALS 114,030 ------------ TOTAL INFORMATION TECHNOLOGY 1,405,175 ------------ MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- HEALTH CARE 4.8% HEALTH CARE PROVIDERS & SERVICES 2.8% WellPoint, Inc.* 1,310 $ 103,084 McKesson Corp. 1,780 90,246 Aetna, Inc. 1,620 69,951 Caremark Rx, Inc. 980 55,968 Per-Se Technologies, Inc.* 1,990 55,282 Horizon Health Corp.* 2,740 53,622 AmerisourceBergen Corp. 990 44,510 Community Health Systems, Inc.* 1,170 42,728 Coventry Health Care, Inc.* 600 30,030 Triad Hospitals, Inc.* 710 29,699 LifePoint Hospitals, Inc.* 640 21,568 Health Net, Inc.* 410 19,951 Covance, Inc.* 160 9,426 Psychiatric Solutions, Inc.* 180 6,754 ------------ TOTAL HEALTH CARE PROVIDERS & SERVICES 632,819 ------------ BIOTECHNOLOGY 0.9% Sirna Therapeutics, Inc.* 4,260 55,422 Tanox, Inc.* 2,780 55,322 ICOS Corp.* 1,630 55,078 Biogen Idec, Inc.* 740 36,401 ------------ TOTAL BIOTECHNOLOGY 202,223 ------------ HEALTH CARE EQUIPMENT & SUPPLIES 0.9% Biomet, Inc. 1,330 54,889 Conor Medsystems, Inc.* 1,750 54,827 Stryker Corp. 720 39,679 Bausch & Lomb, Inc. 330 17,180 Thermo Electron Corp. 270 12,228 Waters Corp.* 210 10,284 ------------ TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 189,087 ------------ PHARMACEUTICALS 0.2% Watson Pharmaceuticals, Inc.* 940 24,468 King Pharmaceuticals, Inc.* 1,080 17,194 Valeant Pharmaceuticals International 620 10,689 ------------ TOTAL PHARMACEUTICALS 52,351 ------------ TOTAL HEALTH CARE 1,076,480 ------------ ENERGY 3.6% OIL & GAS 2.4% ConocoPhillips 1,820 130,949 Valero Energy Corp. 1,340 68,554 Anadarko Petroleum Corp. 1,380 60,058 Apache Corp. 890 59,194 Kinder Morgan, Inc. 520 54,990 Giant Industries, Inc.* 730 54,713 Peabody Energy Corp. 1,000 40,410 Marathon Oil Corp. 340 31,450 Pogo Producing Co. 440 21,314 Overseas Shipholding Group, Inc. 320 18,016 ------------ TOTAL OIL & GAS 539,648 ------------ 10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES 1.2% Transocean, Inc.* 720 $ 58,241 Veritas DGC, Inc.* 660 56,516 Seitel, Inc.* 15,390 55,019 Superior Energy Services, Inc.* 786 25,686 Patterson-UTI Energy, Inc. 1,050 24,392 Rowan Cos., Inc. 700 23,240 Nabors Industries Ltd.* 590 17,570 Cameron International Corp.* 250 13,263 Hanover Compressor Co.* 410 7,745 ------------ TOTAL ENERGY EQUIPMENT & SERVICES 281,672 ------------ TOTAL ENERGY 821,320 ------------ TELECOMMUNICATION SERVICES 3.0% DIVERSIFIED TELECOMMUNICATION SERVICES 2.0% Verizon Communications, Inc. 3,900 145,236 BellSouth Corp. 2,380 112,122 Commonwealth Telephone Enterprises, Inc. 1,330 55,674 Broadwing Corp.* 3,490 54,514 Windstream Corp. 2,620 37,256 CenturyTel, Inc. 730 31,872 Embarq Corp. 110 5,781 ------------ TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 442,455 ------------ WIRELESS TELECOMMUNICATION SERVICES 1.0% Sprint Nextel Corp. 4,550 85,949 Alltel Corp. 1,220 73,786 China Mobile Hong Kong Ltd. -- SP ADR 330 14,263 Vodafone Group, Inc. -- SP ADR 480 13,334 America Movil SA de CV -- SP ADR 220 9,948 Mobile Telesystems -- SP ADR 100 5,019 Rogers Communications, Inc. -- Class B* 80 4,768 Vimpel -- Communications -- SP ADR* 60 4,737 SK Telecom Co., Ltd. -- SP ADR 160 4,237 American Tower Corp. -- Class A* 110 4,101 Turkcell Iletisim Hizmet AS, Inc. -- SP ADR 250 3,345 NII Holdings, Inc. -- Class B* 50 3,222 Philippine Long Distance Telephone Co. -- SP ADR 60 3,068 U.S. Cellular Corp.* 40 2,784 Crown Castle International Corp.* 80 2,584 ------------ TOTAL WIRELESS TELECOMMUNICATION SERVICES 235,145 ------------ TOTAL TELECOMMUNICATION SERVICES 677,600 ------------ CONSUMER STAPLES 3.0% FOOD PRODUCTS 0.9% Premium Standard Farms, Inc. 2,980 55,339 Delta & Pine Land Co. 1,350 54,607 Tyson Foods, Inc. -- Class A 2,530 41,619 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Archer-Daniels-Midland Co. 1,130 $ 36,115 Tootsie Roll Industries, Inc. 410 13,407 ------------ TOTAL FOOD PRODUCTS 201,087 ------------ FOOD & DRUG RETAILING 0.8% Kroger Co. 3,910 90,204 CVS Corp. 1,671 51,650 Walgreen Co. 620 28,452 Ruddick Corp. 320 8,880 ------------ TOTAL FOOD & DRUG RETAILING 179,186 ------------ BEVERAGES 0.7% Coca-Cola Enterprises, Inc. 3,600 73,512 Pepsi Bottling Group, Inc. 2,010 62,129 Constellation Brands, Inc. -- Class A* 910 26,408 ------------ TOTAL BEVERAGES 162,049 ------------ TOBACCO 0.5% Reynolds American, Inc. 1,190 77,909 UST, Inc. 400 23,280 ------------ TOTAL TOBACCO 101,189 ------------ PERSONAL PRODUCTS 0.1% Alberto-Culver Co. 1,100 23,595 ------------ TOTAL PERSONAL PRODUCTS 23,595 ------------ TOTAL CONSUMER STAPLES 667,106 ------------ UTILITIES 2.5% ELECTRIC UTILITIES 1.2% Duquesne Light Holdings, Inc. 2,780 55,183 Edison International 880 40,022 Progress Energy, Inc. 640 31,411 Pepco Holdings, Inc. 970 25,230 TXU Corp. 350 18,973 Pinnacle West Capital Corp. 350 17,741 Great Plains Energy, Inc. 400 12,720 E.ON AG -- SP ADR 230 10,394 Endesa SA -- SP ADR 170 7,908 Korea Electric Power Corp. -- SP ADR* 260 5,905 Southern Co. 160 5,898 FPL Group, Inc. 100 5,442 Scottish Power, Inc. -- SP ADR 90 5,259 FirstEnergy Corp. 80 4,824 American Electric Power Co., Inc. 110 4,684 Entergy Corp. 50 4,616 PPL Corp. 120 4,301 Enersis SA/Chile -- SP ADR 230 3,680 ------------ TOTAL ELECTRIC UTILITIES 264,191 ------------ MULTI-UTILITIES 0.8% NorthWestern Corp. 1,550 54,839 KeySpan Corp. 970 39,945 AES Corp.* 1,210 26,668 DTE Energy Co. 480 23,237 Energy East Corp. 870 21,576 MDU Resources Group, Inc. 310 7,948 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- OGE Energy Corp.* 150 $ 6,000 TECO Energy, Inc. 140 2,412 ------------ TOTAL MULTI-UTILITIES 182,625 ------------ GAS UTILITIES 0.5% Peoples Energy Corp. 1,250 55,712 Cascade Natural Gas Corp. 2,130 55,210 Questar Corp. 110 9,136 Oneok, Inc. 160 6,899 ------------ TOTAL GAS UTILITIES 126,957 ------------ TOTAL UTILITIES 573,773 ------------ MATERIALS 2.3% METALS & MINING 1.1% Phelps Dodge Corp. 480 57,465 Bema Gold Corp.* 10,620 55,755 Allegheny Technologies, Inc. 390 35,365 Worthington Industries, Inc. 910 16,125 Reliance Steel & Aluminum Co. 320 12,602 BHP Billiton Ltd. -- SP ADR 280 11,130 Companhia Vale do Rio Doce -- SP ADR 300 8,922 Rio Tinto PLC -- SP ADR 40 8,500 POSCO -- SP ADR 80 6,614 Steel Dynamics, Inc. 220 7,139 Mittal Steel Co.N.V. -- Class A 140 5,905 Nucor Corp. 90 4,919 Anglo American PLC -- ADR 200 4,882 Alcoa, Inc. 160 4,802 Alcan, Inc. 90 4,387 Barrick Gold Corp. 130 3,991 AngloGold Ashanti Ltd. -- SP ADR 70 3,296 ------------ TOTAL METALS & MINING 251,799 ------------ CHEMICALS 0.8% MacDermid, Inc. 1,610 54,901 Lyondell Chemical Co. 1,390 35,542 Ashland, Inc. 440 30,439 Olin Corp. 1,420 23,458 Eastman Chemical Co. 280 16,607 Airgas, Inc. 330 13,372 ------------ TOTAL CHEMICALS 174,319 ------------ CONSTRUCTION MATERIALS 0.3% Cemex SA de CV -- SP ADR* 640 21,683 Rinker Group Ltd. -- SP ADR 180 12,789 Vulcan Materials Co. 140 12,582 Martin Marietta Materials, Inc. 90 9,352 Eagle Materials, Inc. 140 6,052 Texas Industries, Inc. 80 5,138 Headwaters, Inc.* 180 4,313 Florida Rock Industries, Inc. 90 3,875 ------------ TOTAL CONSTRUCTION MATERIALS 75,784 ------------ PAPER & FOREST PRODUCTS 0.1% Louisiana-Pacific Corp. 840 18,085 ------------ TOTAL PAPER & FOREST PRODUCTS 18,085 ------------ MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TOTAL MATERIALS $ 519,987 ------------ TOTAL COMMON STOCKS (Cost $11,032,347) 11,429,669 ------------ EXCHANGE TRADED FUNDS 3.9% iShares GSCI Commodity Indexed Trust* 21,830 873,855 ------------ TOTAL EXCHANGE TRADED FUNDS (Cost $903,843) 873,855 ------------ FACE AMOUNT ------------ REPURCHASE AGREEMENTS 44.4% Repurchase Agreement (Note 6) 4.90% due 01/02/07+ $ 2,975,722 2,975,722 4.80% due 01/02/07 1,849,926 1,849,926 4.79% due 01/02/07 1,849,926 1,849,926 4.65% due 01/02/07 1,849,926 1,849,926 4.60% due 01/02/07 1,498,439 1,498,439 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $10,023,939) 10,023,939 ------------ TOTAL LONG SECURITIES 99.0% (Cost $21,960,129) 22,327,463 ------------ SHARES ------------ COMMON STOCKS SOLD SHORT (31.1)% TELECOMMUNICATION SERVICES (0.5)% DIVERSIFIED TELECOMMUNICATION SERVICES (0.5)% Citizens Communications Co. 1,090 (15,663) Level 3 Communications, Inc.* 5,020 (28,112) AT&T, Inc. 1,710 (61,133) ------------ TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES (104,908) ------------ TOTAL TELECOMMUNICATION SERVICES (104,908) ------------ MATERIALS (1.3)% CONTAINERS & PACKAGING (0.1)% Pactiv Corp.* 620 (22,128) ------------ TOTAL CONTAINERS & PACKAGING (22,128) ------------ PAPER & FOREST PRODUCTS (0.3)% Bowater, Inc. 110 (2,475) MeadWestvaco Corp. 680 (20,441) Weyerhaeuser Co. 500 (35,325) ------------ TOTAL PAPER & FOREST PRODUCTS (58,241) ------------ METALS & MINING (0.3)% Newmont Mining Corp. 120 (5,418) Freeport-McMoRan Copper & Gold, Inc. -- Class B 270 (15,047) Kinross Gold Corp.* 4,850 (57,618) ------------ TOTAL METALS & MINING (78,083) ------------ 12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CHEMICALS (0.6)% Ferro Corp. 410 $ (8,483) Dow Chemical Co. 350 (13,979) Chemtura Corp. 1,790 (17,238) Albemarle Corp. 270 (19,386) Hercules, Inc.* 1,140 (22,013) Ecolab, Inc. 1,090 (49,268) ------------ TOTAL CHEMICALS (130,367) ------------ TOTAL MATERIALS (288,819) ------------ UTILITIES (1.3)% WATER UTILITIES (0.1)% Aqua America, Inc. 970 (22,097) ------------ TOTAL WATER UTILITIES (22,097) ------------ GAS UTILITIES (0.2)% Equitable Resources, Inc. 860 (35,905) ------------ TOTAL GAS UTILITIES (35,905) ------------ MULTI-UTILITIES (0.5)% Ameren Corp. 160 (8,597) Public Service Enterprise Group, Inc. 160 (10,621) Dynegy, Inc. -- Class A* 1,630 (11,801) CenterPoint Energy, Inc. 1,380 (22,880) WPS Resources Corp. 1,130 (61,054) ------------ TOTAL MULTI-UTILITIES (114,953) ------------ ELECTRIC UTILITIES (0.5)% Black Hills Corp. 80 (2,955) Northeast Utilities 190 (5,350) Allegheny Energy, Inc.* 300 (13,773) Exelon Corp. 1,550 (95,930) ------------ TOTAL ELECTRIC UTILITIES (118,008) ------------ TOTAL UTILITIES (290,963) ------------ CONSUMER DISCRETIONARY (2.5)% LEISURE EQUIPMENT & PRODUCTS 0.0% Mattel, Inc. 180 (4,079) ------------ TOTAL LEISURE EQUIPMENT & PRODUCTS (4,079) ------------ MULTILINE RETAIL (0.1)% Saks, Inc. 650 (11,583) ------------ TOTAL MULTILINE RETAIL (11,583) ------------ AUTOMOBILES (0.1)% General Motors Corp. 590 (18,125) ------------ TOTAL AUTOMOBILES (18,125) ------------ AUTO COMPONENTS (0.1)% ArvinMeritor, Inc. 440 (8,021) Lear Corp. 360 (10,631) ------------ TOTAL AUTO COMPONENTS (18,652) ------------ TEXTILES & APPAREL (0.1)% Coach, Inc.* 760 (32,649) ------------ TOTAL TEXTILES & APPAREL (32,649) ------------ HOUSEHOLD DURABLES (0.1)% Beazer Homes USA, Inc. 110 (5,171) MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Hovnanian Enterprises, Inc. -- Class A* 160 $ (5,424) Blyth, Inc. 350 (7,262) Centex Corp. 170 (9,566) D.R. Horton, Inc. 400 (10,596) ------------ TOTAL HOUSEHOLD DURABLES (38,019) ------------ INTERNET & CATALOG RETAIL (0.2)% Amazon.com, Inc.* 1,000 (39,460) ------------ TOTAL INTERNET & CATALOG RETAIL (39,460) ------------ SPECIALTY RETAIL (0.2)% Urban Outfitters, Inc.* 1 (23) CarMax, Inc.* 120 (6,436) Chico's FAS, Inc.* 340 (7,035) OfficeMax, Inc. 160 (7,944) Pier 1 Imports, Inc. 1,350 (8,032) Dick's Sporting Goods, Inc.* 280 (13,717) ------------ TOTAL SPECIALTY RETAIL (43,187) ------------ COMMERCIAL SERVICES & SUPPLIES (0.2)% Apollo Group, Inc. -- Class A* 250 (9,742) Sotheby's Holdings, Inc. -- Class A 360 (11,167) Strayer Education, Inc. 130 (13,787) ITT Educational Services, Inc.* 280 (18,584) ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES (53,280) ------------ HOTELS, RESTAURANTS & LEISURE (0.6)% Wendy's International, Inc. 210 (6,949) International Game Technology, Inc. 830 (38,346) Marriott International, Inc. -- Class A 900 (42,948) Starbucks Corp.* 1,400 (49,588) ------------ TOTAL HOTELS, RESTAURANTS & LEISURE (137,831) ------------ MEDIA (0.8)% Valassis Communications, Inc.* 210 (3,045) DIRECTV Group, Inc.* 540 (13,468) CBS Corp. 550 (17,149) Dow Jones & Co., Inc. 510 (19,380) Tribune Co. 630 (19,391) Interpublic Group of Cos., Inc.* 3,560 (43,574) Time Warner, Inc. 2,970 (64,687) ------------ TOTAL MEDIA (180,694) ------------ TOTAL CONSUMER DISCRETIONARY (577,559) ------------ CONSUMER STAPLES (2.9)% TOBACCO (0.1)% Universal Corp. 540 (26,465) ------------ TOTAL TOBACCO (26,465) ------------ BEVERAGES (0.4)% PepsiAmericas, Inc. 470 (9,861) Hansen Natural Corp.* 650 (21,892) Molson Coors Brewing Co. -- Class B 780 (59,623) ------------ TOTAL BEVERAGES (91,376) ------------ See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS (0.6)% Colgate-Palmolive Co. 2,180 $ (142,223) ------------ TOTAL HOUSEHOLD PRODUCTS (142,223) ------------ FOOD & DRUG RETAILING (0.9)% CVS Corp. 21 (649) Whole Foods Market, Inc. 330 (15,487) Supervalu, Inc. 1,670 (59,703) Sysco Corp. 3,170 (116,529) ------------ TOTAL FOOD & DRUG RETAILING (192,368) ------------ FOOD PRODUCTS (0.9)% H.J. Heinz Co. 1 (45) Smithfield Foods, Inc.* 480 (12,317) Sara Lee Corp. 1,271 (21,645) Hershey Co. 3,220 (160,356) ------------ TOTAL FOOD PRODUCTS (194,363) ------------ TOTAL CONSUMER STAPLES (646,795) ------------ ENERGY (2.9)% OIL & GAS (1.1)% Forest Oil Corp.* 290 (9,477) Pioneer Natural Resources Co. 360 (14,288) Sunoco, Inc. 290 (18,084) EOG Resources, Inc. 420 (26,229) Newfield Exploration Co.* 1,070 (49,167) Southwestern Energy Co.* 1,740 (60,987) El Paso Corp. 4,273 (65,292) ------------ TOTAL OIL & GAS (243,524) ------------ ENERGY EQUIPMENT & SERVICES (1.8)% Smith International, Inc. 1 (41) Baker Hughes, Inc. 1 (75) BJ Services Co. 670 (19,644) Grant Prideco, Inc.* 630 (25,055) Superior Energy Services, Inc.* 786 (25,686) Compagnie Generale de Geophysique SA, Inc. -- SP ADR* 660 (28,743) Weatherford International Ltd.* 1,710 (71,461) FMC Technologies, Inc.* 1,430 (88,131) Schlumberger Ltd. 2,530 (159,795) ------------ TOTAL ENERGY EQUIPMENT & SERVICES (418,631) ------------ TOTAL ENERGY (662,155) ------------ INDUSTRIALS (3.0)% AIRLINES 0.0% JetBlue Airways Corp.* 1 (14) ------------ TOTAL AIRLINES (14) ------------ BUILDING PRODUCTS 0.0% Masco Corp. 1 (30) ------------ TOTAL BUILDING PRODUCTS (30) ------------ ROAD & RAIL 0.0% Con-way, Inc. 100 (4,404) ------------ TOTAL ROAD & RAIL (4,404) ------------ MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AEROSPACE & DEFENSE (0.2)% Rockwell Collins, Inc. 1 $ (63) Precision Castparts Corp. 460 (36,009) ------------ TOTAL AEROSPACE & DEFENSE (36,072) ------------ CONSTRUCTION & ENGINEERING (0.2)% Quanta Services, Inc.* 540 (10,622) Jacobs Engineering Group, Inc.* 420 (34,247) ------------ TOTAL CONSTRUCTION & ENGINEERING (44,869) ------------ TRADING COMPANIES & DISTRIBUTORS (0.2)% GATX Corp. 250 (10,833) Fastenal Co. 1,230 (44,132) ------------ TOTAL TRADING COMPANIES & DISTRIBUTORS (54,965) ------------ MACHINERY (0.3)% Terex Corp.* 1 (64) Pentair, Inc. 170 (5,338) Ingersoll-Rand Co. -- Class A 260 (10,174) SPX Corp. 210 (12,844) Joy Global, Inc. 370 (17,886) Flowserve Corp. 390 (19,683) ------------ TOTAL MACHINERY (65,989) ------------ AIR FREIGHT & COURIERS (0.3)% CH Robinson Worldwide, Inc. 530 (21,672) Expeditors International Washington, Inc. 1,190 (48,195) ------------ TOTAL AIR FREIGHT & COURIERS (69,867) ------------ INDUSTRIAL CONGLOMERATES (0.8)% General Electric Co. 4,850 (180,468) ------------ TOTAL INDUSTRIAL CONGLOMERATES (180,468) ------------ COMMERCIAL SERVICES & SUPPLIES (1.0)% ChoicePoint, Inc.* 130 (5,119) Cintas Corp. 180 (7,148) Deluxe Corp. 480 (12,096) Avery Dennison Corp. 270 (18,341) Monster Worldwide, Inc.* 400 (18,656) RR Donnelley & Sons Co. 551 (19,582) Robert Half International, Inc. 540 (20,045) Pitney Bowes, Inc. 490 (22,633) Stericycle, Inc.* 400 (30,200) Corporate Executive Board Co. 350 (30,695) Dun & Bradstreet Corp.* 430 (35,600) ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES (220,115) ------------ TOTAL INDUSTRIALS (676,793) ------------ HEALTH CARE (3.2)% HEALTH CARE PROVIDERS & SERVICES (0.4)% Omnicare, Inc. 240 (9,271) Express Scripts, Inc.* 240 (17,184) CIGNA Corp. 270 (35,524) UnitedHealth Group, Inc. 690 (37,074) ------------ TOTAL HEALTH CARE PROVIDERS & SERVICES (99,053) ------------ 14 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- PHARMACEUTICALS (0.7)% Schering-Plough Corp. 3 $ (71) Par Pharmaceutical Cos., Inc.* 170 (3,803) Forest Laboratories, Inc.* 760 (38,456) Merck & Co., Inc. 1,100 (47,960) Sepracor, Inc.* 920 (56,653) ----------- TOTAL PHARMACEUTICALS (146,943) ----------- HEALTH CARE EQUIPMENT & SUPPLIES (0.9)% Medtronic, Inc. 1 (54) Hospira, Inc.* 290 (9,738) Advanced Medical Optics, Inc.* 400 (14,080) St. Jude Medical, Inc.* 440 (16,086) Hillenbrand Industries, Inc. 320 (18,218) DENTSPLY International, Inc. 730 (21,790) Intuitive Surgical, Inc.* 240 (23,016) Ventana Medical Systems, Inc.* 630 (27,109) Boston Scientific Corp.* 4,322 (74,252) ----------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (204,343) ----------- BIOTECHNOLOGY (1.2)% Medimmune, Inc.* 1 (32) Affymetrix, Inc.* 240 (5,535) Martek Biosciences Corp.* 370 (8,636) PDL BioPharma, Inc.* 1,700 (34,238) Cephalon, Inc.* 510 (35,909) Vertex Pharmaceuticals, Inc.* 1,050 (39,291) Gilead Sciences, Inc.* 1,080 (70,124) Celgene Corp.* 1,260 (72,488) ----------- TOTAL BIOTECHNOLOGY (266,253) ----------- TOTAL HEALTH CARE (716,592) ----------- INFORMATION TECHNOLOGY (6.0)% ELECTRONIC EQUIPMENT & INSTRUMENTS (0.2)% Benchmark Electronics, Inc.* 2,350 (57,246) ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS (57,246) ----------- OFFICE ELECTRONICS (0.3)% Zebra Technologies Corp. -- Class A* 180 (6,262) Xerox Corp.* 3,030 (51,359) ----------- TOTAL OFFICE ELECTRONICS (57,621) ----------- IT CONSULTING & SERVICES (0.3)% Unisys Corp.* 2,770 (21,717) Gartner, Inc. -- Class A* 1,110 (21,967) Cognizant Technology Solutions Corp. -- Class A* 370 (28,549) ----------- TOTAL IT CONSULTING & SERVICES (72,233) ----------- COMMUNICATIONS EQUIPMENT (0.8)% Andrew Corp.* 1 (10) Powerwave Technologies, Inc.* 530 (3,418) ADTRAN, Inc. 230 (5,221) Comverse Technology, Inc.* 380 (8,022) Utstarcom, Inc.* 1,530 (13,388) Ciena Corp.* 790 (21,891) F5 Networks, Inc.* 340 (25,231) JDS Uniphase Corp.* 1,710 (28,489) MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Qualcomm, Inc. 810 $ (30,610) Alcatel SA -- SP ADR 3,700 (52,614) ----------- TOTAL COMMUNICATIONS EQUIPMENT (188,894) ----------- INTERNET SOFTWARE & SERVICES (0.9)% ValueClick, Inc.* 960 (22,685) eBay, Inc.* 840 (25,259) Internap Network Services Corp.* 3,080 (61,199) Google, Inc. -- Class A* 200 (92,096) ----------- TOTAL INTERNET SOFTWARE & SERVICES (201,239) ----------- COMPUTERS & PERIPHERALS (1.1)% Dell, Inc.* 1,221 (30,635) Lexmark International, Inc.* 470 (34,404) Network Appliance, Inc.* 1,410 (55,385) Brocade Communications Systems, Inc.* 7,750 (63,627) Apple Computer, Inc.* 790 (67,024) ----------- TOTAL COMPUTERS & PERIPHERALS (251,075) ----------- SOFTWARE (1.2)% Adobe Systems, Inc.* 1 (41) Advent Software, Inc.* 220 (7,764) Activision, Inc.* 1,921 (33,118) CA, Inc. 2,450 (55,492) Symantec Corp.* 2,730 (56,920) Electronic Arts, Inc.* 2,210 (111,296) ----------- TOTAL SOFTWARE (264,631) ----------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (1.2)% PMC -- Sierra, Inc.* 1 (7) Analog Devices, Inc. 1 (33) Semtech Corp.* 310 (4,052) Nvidia Corp.* 130 (4,811) Triquint Semiconductor, Inc.* 2,400 (10,800) Lattice Semiconductor Corp.* 1,770 (11,469) Microsemi Corp.* 800 (15,720) Fairchild Semiconductor International, Inc.* 1,090 (18,323) Teradyne, Inc.* 1,460 (21,842) MEMC Electronic Materials, Inc.* 620 (24,267) LSI Logic Corp.* 4,715 (42,435) Cypress Semiconductor Corp.* 2,660 (44,874) Applied Materials, Inc. 3,790 (69,925) ----------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (268,558) ----------- TOTAL INFORMATION TECHNOLOGY (1,361,497) ----------- FINANCIALS (7.5)% CONSUMER FINANCE (0.3)% SLM Corp. 1,490 (72,667) ----------- TOTAL CONSUMER FINANCE (72,667) ----------- DIVERSIFIED FINANCIALS (0.5)% Moody's Corp. 610 (42,127) Chicago Mercantile Exchange Holdings, Inc. 140 (71,365) ----------- TOTAL DIVERSIFIED FINANCIALS (113,492) ----------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15 SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE (0.8)% MGIC Investment Corp. 200 $ (12,508) New York Community Bancorp, Inc. 4,789 (77,103) Freddie Mac 1,140 (77,406) ----------- TOTAL THRIFTS & MORTGAGE FINANCE (167,017) ----------- BANKS (1.1)% Westamerica Bancorporation 140 (7,088) PNC Financial Services Group, Inc. 530 (39,241) Citizens Banking Corp. 1,880 (49,820) Huntington Bancshares, Inc. 2,200 (52,250) National City Corp. 2,778 (101,564) ----------- TOTAL BANKS (249,963) ----------- INSURANCE (1.5)% Brown & Brown, Inc. 1 (28) Stancorp Financial Group, Inc. 200 (9,010) Arthur J. Gallagher & Co. 650 (19,208) AFLAC, Inc. 580 (26,680) XL Capital Ltd. 570 (41,051) Everest Re Group Ltd. 440 (43,168) ACE Ltd. 810 (49,062) Progressive Corp. 2,891 (70,020) Marsh & McLennan Cos., Inc. 2,651 (81,280) ----------- TOTAL INSURANCE (339,507) ----------- CAPITAL MARKETS (1.6)% Legg Mason, Inc. 210 (19,961) Federated Investors, Inc. -- Class B 631 (21,315) Janus Capital Group, Inc. 1,080 (23,317) Waddell & Reed Financial, Inc. -- Class A 1,050 (28,728) SEI Investments Co. 540 (32,162) Nuveen Investments, Inc. -- Class A 720 (37,354) Eaton Vance Corp. 1,190 (39,282) Mellon Financial Corp. 1,400 (59,010) Charles Schwab Corp. 4,930 (95,346) ----------- TOTAL CAPITAL MARKETS (356,475) ----------- REAL ESTATE (1.7)% Potlatch Corp. 170 (7,449) Highwoods Properties, Inc. 210 (8,560) Plum Creek Timber Co., Inc. (REIT) 260 (10,361) SL Green Realty Corp. 130 (17,261) United Dominion Realty Trust, Inc. 920 (29,247) Weingarten Realty Investors 850 (39,193) Vornado Realty Trust 330 (40,095) Boston Properties, Inc. 390 (43,633) Regency Centers Corp. 580 (45,339) MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Lexington Corporate Properties Trust 2,680 $ (60,086) Simon Property Group, Inc. 840 (85,084) ----------- TOTAL REAL ESTATE (386,308) ----------- TOTAL FINANCIALS (1,685,429) ----------- TOTAL COMMON STOCKS SOLD SHORT (Proceeds $6,616,659) (7,011,510) ----------- TOTAL INVESTMENTS 67.9% (Cost $15,343,470) $15,315,953 =========== OTHER ASSETS IN EXCESS OF LIABILITIES - 32.1% $ 7,241,360 =========== NET ASSETS - 100.0% $22,557,313 -------------------------------------------------------------------------------- UNREALIZED LOSS CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,943,040) 24 $ (41,077) March 2007 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,903,200) 24 (16,686) March 2007 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $3,994,900) 56 (6,829) ----------- (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $7,841,140) $ (64,592) =========== FUTURES CONTRACTS SOLD SHORT March 2007 U.S. Dollar Index Futures Contracts (Aggregate Market Value of Contracts $1,835,460) 22 $ (15,228) =========== UNREALIZED NOTIONAL GAIN AMOUNT (NOTE 1) -------- ----------- CREDIT DEFAULT SWAP AGREEMENT Dow Jones CDX North American Investment Grade Swap Agreement, Series 7 Interest Rate 0.40% Terminating 12/20/11 7,000,000 $ 1,234 =========== + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT DECEMBER 31, 2006. * NON-INCOME PRODUCING SECURITY. ADR--AMERICAN DEPOSITORY RECEIPT. REIT--REAL ESTATE INVESTMENT TRUST 16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMON STOCKS 53.3% FINANCIALS 10.9% INSURANCE 3.1% MetLife, Inc.+ 1,390 $ 82,024 Hartford Financial Services Group, Inc. 700 65,317 Chubb Corp. 1,090 57,672 UnumProvident Corp. 2,040 42,391 Cincinnati Financial Corp. 740 33,529 SAFECO Corp. 510 31,900 Old Republic International Corp. 1,210 28,169 Fidelity National Financial, Inc. -- Class A 1,040 24,835 American Financial Group, Inc. 520 18,673 Ohio Casualty Corp. 560 16,694 Genworth Financial, Inc. -- Class A 372 12,726 First American Corp. 151 6,143 MBIA, Inc. 1 73 Protective Life Corp. 1 48 Horace Mann Educators Corp. 1 20 ------------ TOTAL INSURANCE 420,214 ------------ DIVERSIFIED FINANCIALS 2.2% J.P. Morgan Chase & Co.+ 3,260 157,458 CIT Group, Inc.+ 1,470 81,982 Leucadia National Corp. 1,080 30,456 Chicago Mercantile Exchange Holdings, Inc. 50 25,488 ------------ TOTAL DIVERSIFIED FINANCIALS 295,384 ------------ REAL ESTATE 2.1% Equity Office Properties Trust 930 44,798 KIMCO Realty Corp. 790 35,510 CB Richard Ellis Group, Inc. -- Class A* 970 32,204 Liberty Property Trust 540 26,536 Brookfield Asset Management, Inc. -- Class A 470 22,645 Apartment Investment & Management Co. -- Class A 390 21,848 Brookfield Properties Corp. 430 16,912 Forest City Enterprises, Inc. -- Class A 230 13,432 The St. Joe Co. 190 10,178 Jones Lang LaSalle, Inc. 90 8,295 ProLogis 100 6,077 Public Storage, Inc. 60 5,850 General Growth Properties, Inc. 110 5,745 Host Hotels & Resorts, Inc. 230 5,646 Equity Residential 110 5,582 Archstone-Smith Trust 90 5,239 AvalonBay Communities, Inc. 40 5,202 Developers Diversified Realty Corp. 70 4,407 Macerich Co. 50 4,329 ------------ TOTAL REAL ESTATE 280,435 ------------ MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CAPITAL MARKETS 1.5% Goldman Sachs Group, Inc. 420 $ 83,727 Lehman Brothers Holdings, Inc. 1,020 79,682 A.G. Edwards, Inc. 320 20,253 Raymond James Financial, Inc. 580 17,580 Franklin Resources, Inc. 1 110 E*Trade Financial Corp.* 3 67 Ameriprise Financial, Inc. 1 55 T. Rowe Price Group, Inc. 1 44 Jefferies Group, Inc. 1 27 ------------ TOTAL CAPITAL MARKETS 201,545 ------------ THRIFTS & MORTGAGE FINANCE 1.4% Washington Mutual, Inc. 1,741 79,198 Sovereign Bancorp, Inc. 1,670 42,401 Radian Group, Inc. 470 25,338 IndyMac Bancorp, Inc. 500 22,580 First Niagara Financial Group, Inc. 1,050 15,603 PMI Group, Inc. 1 47 ------------ TOTAL THRIFTS & MORTGAGE FINANCE 185,167 ------------ CONSUMER FINANCE 0.4% AmeriCredit Corp.* 1,630 41,027 Capital One Financial Corp. 211 16,209 ------------ TOTAL CONSUMER FINANCE 57,236 ------------ BANKS 0.2% SVB Financial Group* 340 15,851 FirstMerit Corp. 200 4,828 ------------ TOTAL BANKS 20,679 ------------ TOTAL FINANCIALS 1,460,660 ------------ CONSUMER DISCRETIONARY 7.3% MEDIA 1.2% Walt Disney Co. 1,720 58,944 Comcast Corp. -- Class A* 1,020 43,177 Gannett Co., Inc. 590 35,671 DIRECTV Group, Inc.* 640 15,962 Media General, Inc. 240 8,921 Westwood One, Inc. 420 2,965 Belo Corp. -- Class A 1 18 ------------ TOTAL MEDIA 165,658 ------------ MULTILINE RETAIL 1.2% Federated Department Stores, Inc.+ 2,081 79,349 J.C. Penney Holding Co., Inc. 630 48,737 Kohl's Corp.* 311 21,282 Dillard's, Inc. -- Class A 231 8,078 Big Lots, Inc.* 321 7,357 Target Corp. 2 114 Nordstrom, Inc. 1 49 ------------ TOTAL MULTILINE RETAIL 164,966 ------------ SPECIALTY RETAIL 1.1% The Gap, Inc. 1,880 36,660 GameStop Corp. -- Class A* 450 24,800 Regis Corp. 560 22,142 See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AutoNation, Inc.* 960 $ 20,467 American Eagle Outfitters, Inc. 391 12,203 AnnTaylor Stores Corp.* 350 11,494 CarMax, Inc.* 140 7,508 Rent-A-Center, Inc.* 230 6,787 Payless Shoesource, Inc.* 1 33 Aeropostale, Inc.* 1 31 Pacific Sunwear of California, Inc.* 1 20 Circuit City Stores, Inc. 1 19 ------------ TOTAL SPECIALTY RETAIL 142,164 ------------ HOUSEHOLD DURABLES 0.8% Lennar Corp. -- Class A 620 32,525 Whirlpool Corp. 300 24,906 Toll Brothers, Inc.* 510 16,437 American Greetings Corp. -- Class A 490 11,696 Furniture Brands International, Inc. 560 9,089 Pulte Homes, Inc. 131 4,339 KB HOME 60 3,077 Ryland Group, Inc. 40 2,185 Mohawk Industries, Inc.* 1 75 ------------ TOTAL HOUSEHOLD DURABLES 104,329 ------------ AUTO COMPONENTS 0.7% Johnson Controls, Inc. 810 69,595 Goodyear Tire & Rubber Co.* 670 14,063 Modine Manufacturing Co. 360 9,011 ------------ TOTAL AUTO COMPONENTS 92,669 ------------ LEISURE EQUIPMENT & PRODUCTS 0.7% Brunswick Corp. 790 25,201 Eastman Kodak Co. 510 13,158 Callaway Golf Co. 850 12,248 Hasbro, Inc. 390 10,627 Pool Corp. 180 7,051 Polaris Industries, Inc. 150 7,025 Marvel Entertainment, Inc.* 250 6,728 RC2 Corp.* 110 4,840 ------------ TOTAL LEISURE EQUIPMENT & PRODUCTS 86,878 ------------ TEXTILES & APPAREL 0.6% Hanesbrands, Inc.* 640 15,117 Nike, Inc. -- Class B 130 12,874 VF Corp. 90 7,387 Polo Ralph Lauren Corp. 90 6,989 Liz Claiborne, Inc. 120 5,215 Jones Apparel Group, Inc. 140 4,680 Phillips-Van Heusen Corp. 80 4,014 Gildan Activewear, Inc.* 80 3,730 Under Armour, Inc.* 70 3,532 Timberland Co. -- Class A* 110 3,474 Quiksilver, Inc.* 220 3,465 Columbia Sportswear Co. 60 3,342 Fossil, Inc.* 140 3,161 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Wolverine World Wide, Inc. 110 $ 3,137 Carter's, Inc.* 100 2,550 ------------ TOTAL TEXTILES & APPAREL 82,667 ------------ INTERNET & CATALOG RETAIL 0.5% IAC/InterActiveCorp* 480 17,837 Expedia, Inc.* 690 14,476 Coldwater Creek, Inc.* 450 11,034 Nutri/System, Inc.* 110 6,973 Priceline.com, Inc.* 150 6,541 VistaPrint Ltd.* 160 5,298 Netflix, Inc.* 200 5,172 ------------ TOTAL INTERNET & CATALOG RETAIL 67,331 ------------ HOTELS, RESTAURANTS & LEISURE 0.4% McDonald's Corp. 210 9,309 Carnival Corp. 160 7,848 Las Vegas Sands Corp.* 70 6,264 MGM Mirage, Inc.* 90 5,162 Yum! Brands, Inc. 80 4,704 Hilton Hotels Corp. 130 4,537 Starwood Hotels & Resorts Worldwide, Inc. 70 4,375 Wynn Resorts Ltd. 40 3,754 Royal Caribbean Cruises Ltd. 90 3,724 Wyndham Worldwide Corp.* 100 3,202 Tim Hortons, Inc. 100 2,896 Darden Restaurants, Inc. 1 40 ------------ TOTAL HOTELS, RESTAURANTS & LEISURE 55,815 ------------ COMMERCIAL SERVICES & SUPPLIES 0.1% Career Education Corp.* 240 5,947 ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES 5,947 ------------ AUTOMOBILES 0.0% Ford Motor Co. 222 1,667 ------------ TOTAL AUTOMOBILES 1,667 ------------ TOTAL CONSUMER DISCRETIONARY 970,091 ------------ INDUSTRIALS 6.6% AEROSPACE & DEFENSE 1.7% Boeing Co.+ 930 82,621 Northrop Grumman Corp. 830 56,191 Raytheon Co. 910 48,048 Lockheed Martin Corp. 471 43,365 ------------ TOTAL AEROSPACE & DEFENSE 230,225 ------------ MACHINERY 1.2% Timken Co. 1,250 36,475 Cummins, Inc. 240 28,363 Paccar, Inc. 430 27,907 Lincoln Electric Holdings, Inc. 450 27,189 Crane Co. 431 15,792 AGCO Corp.* 371 11,479 Trinity Industries, Inc. 320 11,264 Flowserve Corp. 1 50 ------------ TOTAL MACHINERY 158,519 ------------ 18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- AIRLINES 0.9% Southwest Airlines Co. 1,912 $ 29,292 Alaska Air Group, Inc.* 480 18,960 Ryanair Holdings PLC -- SP ADR* 160 13,040 British Airways PLC -- SP ADR* 120 12,392 AMR Corp.* 330 9,976 UAL Corp.* 200 8,800 US Airways Group, Inc.* 150 8,077 Continental Airlines, Inc. -- Class B* 190 7,838 JetBlue Airways Corp.* 410 5,822 Gol Linhas Aereas Inteligentes SA -- SP ADR 160 4,587 SkyWest, Inc. 160 4,082 ----------- TOTAL AIRLINES 122,866 ----------- INDUSTRIAL CONGLOMERATES 0.9% Tyco International Ltd. 2,970 90,288 Sequa Corp. -- Class A* 180 20,711 ----------- TOTAL INDUSTRIAL CONGLOMERATES 110,999 ----------- ROAD & RAIL 0.7% Norfolk Southern Corp. 1,010 50,793 CSX Corp. 800 27,544 YRC Worldwide, Inc.* 280 10,564 Ryder System, Inc. 1 51 ----------- TOTAL ROAD & RAIL 88,952 ----------- ELECTRICAL EQUIPMENT 0.7% ABB Ltd. -- SP ADR 1,050 18,879 Emerson Electric Co. 310 13,662 American Power Conversion Corp. 250 7,647 Rockwell Automation, Inc. 120 7,329 Cooper Industries Ltd. -- Class A 80 7,234 Roper Industries, Inc.* 100 5,024 AMETEK, Inc. 140 4,458 Acuity Brands, Inc. 80 4,163 Hubbell, Inc. -- Class B 90 4,069 Thomas & Betts Corp.* 80 3,782 General Cable Corp.* 80 3,497 Regal-Beloit Corp. 60 3,151 Energy Conversion Devices, Inc.* 70 2,379 A.O. Smith Corp. 60 2,254 ----------- TOTAL ELECTRICAL EQUIPMENT 87,528 ----------- COMMERCIAL SERVICES & SUPPLIES 0.3% Manpower, Inc. 230 17,234 Allied Waste Industries, Inc.* 1,190 14,625 Banta Corp. 300 10,920 Robert Half International, Inc. 1 37 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 42,816 ----------- TRADING COMPANIES & DISTRIBUTORS 0.1% United Rentals, Inc.* 660 16,784 ----------- TOTAL TRADING COMPANIES & DISTRIBUTORS 16,784 ----------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING 0.1% Granite Construction, Inc. 311 $ 15,650 ----------- TOTAL CONSTRUCTION & ENGINEERING 15,650 ----------- TOTAL INDUSTRIALS 874,339 ----------- INFORMATION TECHNOLOGY 5.3% COMMUNICATIONS EQUIPMENT 1.2% Motorola, Inc. 3,290 67,643 Corning, Inc.* 2,820 52,762 Polycom, Inc.* 530 16,382 CommScope, Inc.* 440 13,411 Plantronics, Inc. 270 5,724 ADC Telecommunications, Inc.* 240 3,487 ----------- TOTAL COMMUNICATIONS EQUIPMENT 159,409 ----------- IT CONSULTING & SERVICES 1.1% Computer Sciences Corp.* 680 36,292 Affiliated Computer Services, Inc. -- Class A* 600 29,304 First Data Corp. 1,000 25,520 Alliance Data Systems Corp.* 370 23,114 Ceridian Corp.* 630 17,627 BISYS Group, Inc.* 1,170 15,105 MPS Group, Inc.* 1 14 ----------- TOTAL IT CONSULTING & SERVICES 146,976 ----------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.8% Micron Technology, Inc.* 2,280 31,829 Nvidia Corp.* 702 25,981 LSI Logic Corp.* 2,010 18,090 Intersil Corp. -- Class A 700 16,744 Atmel Corp.* 2,532 15,318 Cree, Inc.* 421 7,292 Integrated Device Technology, Inc.* 2 31 ----------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 115,285 ----------- SOFTWARE 0.8% BMC Software, Inc.* 810 26,082 Novell, Inc.* 3,630 22,506 Compuware Corp.* 2,470 20,575 Mentor Graphics Corp.* 690 12,441 Macrovision Corp.* 430 12,152 Wind River Systems, Inc.* 860 8,815 Microsoft Corp. 1 30 Oracle Corp.* 1 17 ----------- TOTAL SOFTWARE 102,618 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7% Amphenol Corp. -- Class A 390 24,211 Arrow Electronics, Inc.* 750 23,663 Vishay Intertechnology, Inc.* 1,410 19,091 Sanmina-SCI Corp.* 3,640 12,558 Newport Corp.* 470 9,847 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 89,370 ----------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 19 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS 0.6% Sun Microsystems, Inc.* 7,332 $ 39,739 Palm, Inc.* 1,880 26,489 McData Corp. -- Class A* 1,750 9,713 EMC Corp.* 1 13 ----------- TOTAL COMPUTERS & PERIPHERALS 75,954 ----------- INTERNET SOFTWARE & SERVICES 0.1% Yahoo!, Inc.* 630 16,090 ----------- TOTAL INTERNET SOFTWARE & SERVICES 16,090 ----------- TOTAL INFORMATION TECHNOLOGY 705,702 ----------- HEALTH CARE 5.0% HEALTH CARE PROVIDERS & SERVICES 3.4% McKesson Corp.+ 1,861 94,353 WellPoint, Inc.* 1,120 88,133 Aetna, Inc. 1,380 59,588 Community Health Systems, Inc.* 1,231 44,956 AmerisourceBergen Corp. 850 38,216 Health Net, Inc.* 570 27,736 Triad Hospitals, Inc.* 600 25,098 LifePoint Hospitals, Inc.* 550 18,535 Covance, Inc.* 270 15,906 Coventry Health Care, Inc.* 310 15,516 Express Scripts, Inc.* 200 14,320 Psychiatric Solutions, Inc.* 310 11,631 Humana, Inc.* 1 55 Health Management Associates, Inc. -- Class A 2 42 Apria Healthcare Group, Inc.* 1 27 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 454,112 ----------- HEALTH CARE EQUIPMENT & SUPPLIES 0.8% Stryker Corp. 990 54,559 Thermo Electron Corp. 460 20,833 Waters Corp.* 370 18,119 Bausch & Lomb, Inc. 170 8,850 Becton, Dickinson & Co. 1 70 ----------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 102,431 ----------- PHARMACEUTICALS 0.4% King Pharmaceuticals, Inc.* 1,480 23,562 Watson Pharmaceuticals, Inc.* 800 20,824 Valeant Pharmaceuticals International 850 14,654 Merck & Co., Inc. 4 174 Perrigo Co. 1 17 ----------- TOTAL PHARMACEUTICALS 59,231 ----------- BIOTECHNOLOGY 0.4% Biogen Idec, Inc.* 1,010 49,682 Applera Corp. -- Applied Biosystems Group 1 37 ----------- TOTAL BIOTECHNOLOGY 49,719 ----------- TOTAL HEALTH CARE 665,493 ----------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER STAPLES 4.9% FOOD & DRUG RETAILING 1.4% Kroger Co. 3,350 $ 77,284 CVS Corp. 2,260 69,857 Walgreen Co. 570 26,157 Ruddick Corp. 540 14,985 Wal-Mart Stores, Inc. 4 185 ----------- TOTAL FOOD & DRUG RETAILING 188,468 ----------- TOBACCO 1.2% Reynolds American, Inc. 1,810 118,501 UST, Inc. 680 39,576 ----------- TOTAL TOBACCO 158,077 ----------- BEVERAGES 1.1% Coca-Cola Enterprises, Inc. 3,080 62,894 Pepsi Bottling Group, Inc. 1,720 53,165 Constellation Brands, Inc. -- Class A* 1,240 35,985 ----------- TOTAL BEVERAGES 152,044 ----------- FOOD PRODUCTS 1.1% Archer-Daniels-Midland Co.+ 1,941 62,034 Smithfield Foods, Inc.* 1,340 34,385 Tyson Foods, Inc. -- Class A 1,460 24,017 Tootsie Roll Industries, Inc. 560 18,312 ----------- TOTAL FOOD PRODUCTS 138,748 ----------- PERSONAL PRODUCTS 0.1% Alberto-Culver Co. -- SP ADR 630 13,513 ----------- TOTAL PERSONAL PRODUCTS 13,513 ----------- TOTAL CONSUMER STAPLES 650,850 ----------- ENERGY 4.6% OIL & GAS 3.1% ConocoPhillips+ 1,560 112,242 Valero Energy Corp. 1,150 58,834 Peabody Energy Corp. 1,370 55,362 Marathon Oil Corp. 590 54,575 Anadarko Petroleum Corp. 1,180 51,353 Apache Corp. 760 50,548 Pogo Producing Co. 380 18,407 Overseas Shipholding Group, Inc. 280 15,764 ----------- TOTAL OIL & GAS 417,085 ----------- ENERGY EQUIPMENT & SERVICES 1.5% Transocean, Inc.* 992 80,243 Patterson-UTI Energy, Inc. 1,440 33,451 Rowan Cos., Inc. 960 31,872 Cameron International Corp.* 431 22,864 Nabors Industries Ltd.* 611 18,196 Hanover Compressor Co.* 710 13,412 ----------- TOTAL ENERGY EQUIPMENT & SERVICES 200,038 ----------- TOTAL ENERGY 617,123 ----------- 20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 3.5% DIVERSIFIED TELECOMMUNICATION SERVICES 2.1% Verizon Communications, Inc.+ 3,341 $ 124,419 BellSouth Corp. 2,021 95,209 Windstream Corp. 2,240 31,853 CenturyTel, Inc. 620 27,069 Qwest Communications International, Inc.* 9 75 Embarq Corp. 1 53 ----------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 278,678 ----------- WIRELESS TELECOMMUNICATION SERVICES 1.4% Alltel Corp. 1,050 63,504 Sprint Nextel Corp. 2,650 50,058 China Mobile Hong Kong Ltd. -- SP ADR 320 13,830 Vodafone Group, Inc. -- SP ADR 450 12,501 America Movil SA de CV -- SP ADR 200 9,044 Mobile Telesystems -- SP ADR 100 5,019 SK Telecom Co., Ltd. -- SP ADR 160 4,237 Rogers Communications, Inc. -- Class B* 70 4,172 Vimpel -- Communications -- SP ADR* 50 3,948 American Tower Corp. -- Class A* 100 3,728 NII Holdings, Inc. -- Class B* 50 3,222 Turkcell Iletisim Hizmet AS, Inc. -- SP ADR 240 3,211 Philippine Long Distance Telephone Co. -- SP ADR 60 3,068 U.S. Cellular Corp.* 40 2,784 Crown Castle International Corp.* 70 2,261 Telephone & Data Systems, Inc. 1 54 ----------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 184,641 ----------- TOTAL TELECOMMUNICATION SERVICES 463,319 ----------- MATERIALS 2.7% METALS & MINING 1.2% Allegheny Technologies, Inc. 580 52,594 Reliance Steel & Aluminum Co. 440 17,327 Worthington Industries, Inc. 780 13,822 Steel Dynamics, Inc. 370 12,006 BHP Billiton Ltd. -- SP ADR 260 10,335 Rio Tinto PLC -- SP ADR 40 8,500 Companhia Vale do Rio Doce -- SP ADR 280 8,327 POSCO -- SP ADR 70 5,787 Mittal Steel Co.N.V. -- Class A 130 5,483 Anglo American PLC -- ADR 190 4,638 Alcoa, Inc. 150 4,502 Nucor Corp. 80 4,373 Alcan, Inc. 80 3,899 MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- Barrick Gold Corp. 120 $ 3,684 AngloGold Ashanti Ltd. -- SP ADR 70 3,296 Freeport-McMoRan Copper & Gold, Inc. -- Class B 50 2,787 Phelps Dodge Corp. 20 2,394 United States Steel Corp. 1 73 Commercial Metals Co. 1 26 ----------- TOTAL METALS & MINING 163,853 ----------- CHEMICALS 0.9% Lyondell Chemical Co. 1,190 30,428 Ashland, Inc. 370 25,597 Olin Corp. 1,460 24,119 Eastman Chemical Co. 380 22,538 Airgas, Inc. 450 18,234 ----------- TOTAL CHEMICALS 120,916 ----------- CONSTRUCTION MATERIALS 0.5% Cemex SA de CV -- SP ADR* 610 20,667 Rinker Group Ltd. -- SP ADR 170 12,079 Vulcan Materials Co. 130 11,683 Martin Marietta Materials, Inc. 80 8,313 Eagle Materials, Inc. 130 5,620 Texas Industries, Inc. 80 5,138 Headwaters, Inc.* 170 4,073 Florida Rock Industries, Inc. 20 861 ----------- TOTAL CONSTRUCTION MATERIALS 68,434 ----------- PAPER & FOREST PRODUCTS 0.1% Louisiana-Pacific Corp. 590 12,703 ----------- TOTAL PAPER & FOREST PRODUCTS 12,703 ----------- TOTAL MATERIALS 365,906 ----------- UTILITIES 2.5% ELECTRIC UTILITIES 1.5% Edison International 740 33,655 Progress Energy, Inc. 560 27,485 Pepco Holdings, Inc. 990 25,750 TXU Corp. 470 25,479 Pinnacle West Capital Corp. 300 15,207 Great Plains Energy, Inc. 340 10,812 E.ON AG -- SP ADR 220 9,942 Endesa SA -- SP ADR 160 7,443 Korea Electric Power Corp. -- SP ADR* 250 5,678 Southern Co. 150 5,529 FPL Group, Inc. 90 4,898 FirstEnergy Corp. 80 4,824 Scottish Power, Inc. -- SP ADR 80 4,674 Entergy Corp. 50 4,616 American Electric Power Co., Inc. 100 4,258 PPL Corp. 110 3,942 Enersis SA/Chile -- SP ADR 220 3,520 Westar Energy, Inc. 1 26 ----------- TOTAL ELECTRIC UTILITIES 197,738 ----------- See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MULTI-UTILITIES 0.8% AES Corp.* 1,861 $ 41,016 Energy East Corp. 880 21,824 DTE Energy Co. 410 19,848 MDU Resources Group, Inc. 420 10,769 OGE Energy Corp.* 260 10,400 TECO Energy, Inc. 100 1,723 Alliant Energy Corp. 1 38 ------------ TOTAL MULTI-UTILITIES 105,618 ------------ GAS UTILITIES 0.2% Questar Corp. 160 13,288 Oneok, Inc. 280 12,073 ------------ TOTAL GAS UTILITIES 25,361 ------------ TOTAL UTILITIES 328,717 ------------ TOTAL COMMON STOCKS (Cost $6,804,924) 7,102,200 ------------ FACE AMOUNT ------ REPURCHASE AGREEMENTS 46.5% Repurchase Agreement (Note 6) 4.90% due 01/02/07+ $1,934,361 1,934,361 4.80% due 01/02/07 1,121,520 1,121,520 4.79% due 01/02/07 1,121,520 1,121,520 4.65% due 01/02/07 1,121,520 1,121,520 4.60% due 01/02/07 908,430 908,430 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $6,207,351) 6,207,351 ------------ TOTAL LONG SECURITIES 99.8% (Cost $13,012,275) 13,309,551 ------------ SHARES ------ COMMON STOCKS SOLD SHORT (46.6)% TELECOMMUNICATION SERVICES (0.1)% DIVERSIFIED TELECOMMUNICATION SERVICES (0.1)% Embarq Corp. 250 (13,140) ------------ TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES (13,140) ------------ TOTAL TELECOMMUNICATION SERVICES (13,140) ------------ MATERIALS (1.7)% CONTAINERS & PACKAGING (0.1)% Pactiv Corp.* 300 (10,707) ------------ TOTAL CONTAINERS & PACKAGING (10,707) ------------ METALS & MINING (0.1)% Newmont Mining Corp. 270 (12,190) ------------ TOTAL METALS & MINING (12,190) ------------ PAPER & FOREST PRODUCTS (0.6)% Bowater, Inc. 190 (4,275) MeadWestvaco Corp. 890 (26,753) Weyerhaeuser Co. 650 (45,923) ------------ TOTAL PAPER & FOREST PRODUCTS (76,951) ------------ MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CHEMICALS (0.9)% Albemarle Corp. 130 $ (9,334) Ferro Corp. 540 (11,173) Hercules, Inc.* 930 (17,958) Dow Chemical Co. 570 (22,766) Chemtura Corp. 2,460 (23,690) Ecolab, Inc. 890 (40,228) ------------ TOTAL CHEMICALS (125,149) ------------ TOTAL MATERIALS (224,997) ------------ UTILITIES (2.0)% WATER UTILITIES (0.2)% Aqua America, Inc. 950 (21,641) ------------ TOTAL WATER UTILITIES (21,641) ------------ GAS UTILITIES (0.3)% Equitable Resources, Inc. 860 (35,905) ------------ TOTAL GAS UTILITIES (35,905) ------------ MULTI-UTILITIES (0.7)% WPS Resources Corp. 120 (6,483) Ameren Corp. 260 (13,970) Dynegy, Inc. -- Class A* 2,130 (15,421) Public Service Enterprise Group, Inc. 250 (16,595) CenterPoint Energy, Inc. 1,120 (18,570) KeySpan Corp. 520 (21,414) ------------ TOTAL MULTI-UTILITIES (92,453) ------------ ELECTRIC UTILITIES (0.8)% Allegheny Energy, Inc.* 80 (3,673) Black Hills Corp. 120 (4,433) Northeast Utilities 170 (4,787) Exelon Corp. 1,560 (96,548) ------------ TOTAL ELECTRIC UTILITIES (109,441) ------------ TOTAL UTILITIES (259,440) ------------ ENERGY (4.7)% OIL & GAS (2.3)% Forest Oil Corp.* 480 (15,686) Pioneer Natural Resources Co. 600 (23,814) Sunoco, Inc. 480 (29,933) EOG Resources, Inc. 680 (42,466) Southwestern Energy Co.* 1,410 (49,420) Newfield Exploration Co.* 1,390 (63,871) El Paso Corp. 5,570 (85,110) ------------ TOTAL OIL & GAS (310,300) ------------ ENERGY EQUIPMENT & SERVICES (2.4)% Grant Prideco, Inc.* 150 (5,965) BJ Services Co. 1,090 (31,959) Schlumberger Ltd. 1,380 (87,161) FMC Technologies, Inc.* 1,490 (91,829) Weatherford International Ltd.* 2,250 (94,027) ------------ TOTAL ENERGY EQUIPMENT & SERVICES (310,941) ------------ TOTAL ENERGY (621,241) ------------ 22 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CONSUMER STAPLES (4.9)% TOBACCO (0.2)% Universal Corp. 700 $ (34,307) ------------ TOTAL TOBACCO (34,307) ------------ BEVERAGES (0.8)% Hansen Natural Corp.* 270 (9,094) PepsiAmericas, Inc. 780 (16,364) Molson Coors Brewing Co. -- Class B 1,020 (77,969) ------------ TOTAL BEVERAGES (103,427) ------------ HOUSEHOLD PRODUCTS (0.9)% Colgate-Palmolive Co. 1,770 (115,475) ------------ TOTAL HOUSEHOLD PRODUCTS (115,475) ------------ FOOD & DRUG RETAILING (1.5)% Whole Foods Market, Inc. 540 (25,342) Supervalu, Inc. 2,200 (78,650) Sysco Corp. 2,580 (94,841) ------------ TOTAL FOOD & DRUG RETAILING (198,833) ------------ FOOD PRODUCTS (1.5)% Sara Lee Corp. 2,080 (35,422) Hershey Co. 3,420 (170,316) ------------ TOTAL FOOD PRODUCTS (205,738) ------------ TOTAL CONSUMER STAPLES (657,780) ------------ CONSUMER DISCRETIONARY (5.0)% LEISURE EQUIPMENT & PRODUCTS (0.1)% Mattel, Inc. 530 (12,010) ------------ TOTAL LEISURE EQUIPMENT & PRODUCTS (12,010) ------------ MULTILINE RETAIL (0.1)% Saks, Inc. 860 (15,325) ------------ TOTAL MULTILINE RETAIL (15,325) ------------ AUTOMOBILES (0.1)% General Motors Corp. 640 (19,661) ------------ TOTAL AUTOMOBILES (19,661) ------------ TEXTILES & APPAREL (0.2)% Coach, Inc.* 600 (25,776) ------------ TOTAL TEXTILES & APPAREL (25,776) ------------ AUTO COMPONENTS (0.3)% Bandag, Inc. 170 (8,573) ArvinMeritor, Inc. 580 (10,573) Lear Corp. 470 (13,879) ------------ TOTAL AUTO COMPONENTS (33,025) ------------ SPECIALTY RETAIL (0.3)% Dick's Sporting Goods, Inc.* 150 (7,348) OfficeMax, Inc. 170 (8,440) Pier 1 Imports, Inc. 1,910 (11,365) Chico's FAS, Inc.* 550 (11,380) ------------ TOTAL SPECIALTY RETAIL (38,533) ------------ INTERNET & CATALOG RETAIL (0.3)% Amazon.com, Inc.* 1,080 (42,617) ------------ TOTAL INTERNET & CATALOG RETAIL (42,617) ------------ MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES (0.4)% Sotheby's Holdings, Inc. -- Class A 190 $ (5,894) Strayer Education, Inc. 110 (11,665) ITT Educational Services, Inc.* 230 (15,265) Apollo Group, Inc. -- Class A* 400 (15,588) ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES (48,412) ------------ HOUSEHOLD DURABLES (0.4)% Beazer Homes USA, Inc. 170 (7,992) Hovnanian Enterprises, Inc. -- Class A* 260 (8,814) Blyth, Inc. 460 (9,545) Centex Corp. 280 (15,756) D.R. Horton, Inc. 650 (17,218) ------------ TOTAL HOUSEHOLD DURABLES (59,325) ------------ HOTELS, RESTAURANTS & LEISURE (1.1)% Wendy's International, Inc. 350 (11,582) International Game Technology, Inc. 660 (30,492) Harrah's Entertainment, Inc. 380 (31,434) Marriott International, Inc. -- Class A 720 (34,358) Starbucks Corp.* 1,120 (39,670) ------------ TOTAL HOTELS, RESTAURANTS & LEISURE (147,536) ------------ MEDIA (1.7)% Valassis Communications, Inc.* 340 (4,930) Dow Jones & Co., Inc. 420 (15,960) Reader's Digest Association, Inc. 1,400 (23,380) Tribune Co. 830 (25,547) CBS Corp. 900 (28,062) Interpublic Group of Cos., Inc.* 3,580 (43,819) Time Warner, Inc. 3,870 (84,289) ------------ TOTAL MEDIA (225,987) ------------ TOTAL CONSUMER DISCRETIONARY (668,207) ------------ HEALTH CARE (5.1)% HEALTH CARE PROVIDERS & SERVICES (0.9)% Omnicare, Inc. 400 (15,452) CIGNA Corp. 350 (46,049) UnitedHealth Group, Inc. 1,130 (60,715) ------------ TOTAL HEALTH CARE PROVIDERS & SERVICES (122,216) ------------ PHARMACEUTICALS (1.1)% Par Pharmaceutical Cos., Inc.* 280 (6,263) Sepracor, Inc.* 750 (46,185) Merck & Co., Inc. 1,060 (46,216) Forest Laboratories, Inc.* 990 (50,094) ------------ TOTAL PHARMACEUTICALS (148,758) ------------ BIOTECHNOLOGY (1.2)% Affymetrix, Inc.* 390 (8,994) Martek Biosciences Corp.* 480 (11,203) Cephalon, Inc.* 290 (20,419) Vertex Pharmaceuticals, Inc.* 600 (22,452) PDL BioPharma, Inc.* 1,380 (27,793) Gilead Sciences, Inc.* 490 (31,816) Celgene Corp.* 710 (40,846) ------------ TOTAL BIOTECHNOLOGY (163,523) ------------ See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23 SCHEDULE OF INVESTMENTS (CONTINUED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES (1.9)% Intuitive Surgical, Inc.* 110 $ (10,549) Hospira, Inc.* 480 (16,118) Advanced Medical Optics, Inc.* 520 (18,304) Ventana Medical Systems, Inc.* 510 (21,945) Hillenbrand Industries, Inc. 420 (23,911) St. Jude Medical, Inc.* 710 (25,958) DENTSPLY International, Inc. 950 (28,358) Boston Scientific Corp.* 6,080 (104,454) ------------ TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (249,597) ------------ TOTAL HEALTH CARE (684,094) ------------ INDUSTRIALS (5.3)% AIRLINES 0.0% AirTran Holdings, Inc.* 120 (1,409) ------------ TOTAL AIRLINES (1,409) ------------ BUILDING PRODUCTS (0.1)% Masco Corp. 250 (7,467) ------------ TOTAL BUILDING PRODUCTS (7,467) ------------ ROAD & RAIL (0.1)% Avis Budget Group, Inc. 141 (3,056) Con-way, Inc. 160 (7,047) ------------ TOTAL ROAD & RAIL (10,103) ------------ AEROSPACE & DEFENSE (0.1)% Precision Castparts Corp. 230 (18,004) ------------ TOTAL AEROSPACE & DEFENSE (18,004) ------------ CONSTRUCTION & ENGINEERING (0.3)% Quanta Services, Inc.* 700 (13,769) Jacobs Engineering Group, Inc.* 340 (27,724) ------------ TOTAL CONSTRUCTION & ENGINEERING (41,493) ------------ AIR FREIGHT & COURIERS (0.4)% CH Robinson Worldwide, Inc. 170 (6,951) Expeditors International Washington, Inc. 970 (39,285) ------------ TOTAL AIR FREIGHT & COURIERS (46,236) ------------ TRADING COMPANIES & DISTRIBUTORS (0.4)% GATX Corp. 320 (13,865) Fastenal Co. 1,160 (41,621) ------------ TOTAL TRADING COMPANIES & DISTRIBUTORS (55,486) ------------ MACHINERY (0.4)% Joy Global, Inc. 110 (5,317) Pentair, Inc. 280 (8,792) Flowserve Corp. 200 (10,094) Ingersoll-Rand Co. -- Class A 420 (16,435) SPX Corp. 280 (17,125) ------------ TOTAL MACHINERY (57,763) ------------ COMMERCIAL SERVICES & SUPPLIES (1.6)% Monster Worldwide, Inc.* 130 (6,063) Robert Half International, Inc. 170 (6,310) MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- ChoicePoint, Inc.* 210 $ (8,270) Cintas Corp. 300 (11,913) Deluxe Corp. 670 (16,884) Avery Dennison Corp. 350 (23,775) Corporate Executive Board Co. 280 (24,556) Stericycle, Inc.* 330 (24,915) RR Donnelley & Sons Co. 720 (25,589) Dun & Bradstreet Corp.* 350 (28,977) Pitney Bowes, Inc. 640 (29,562) ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES (206,814) ------------ INDUSTRIAL CONGLOMERATES (1.9)% General Electric Co. 6,850 (254,889) ------------ TOTAL INDUSTRIAL CONGLOMERATES (254,889) ------------ TOTAL INDUSTRIALS (699,664) ------------ INFORMATION TECHNOLOGY (8.0)% IT CONSULTING & SERVICES (0.4)% Fidelity National Information Services, Inc. 1 (36) Cognizant Technology Solutions Corp. -- Class A* 80 (6,173) Gartner, Inc. -- Class A* 910 (18,009) Unisys Corp.* 3,620 (28,381) ------------ TOTAL IT CONSULTING & SERVICES (52,599) ------------ OFFICE ELECTRONICS (0.6)% Zebra Technologies Corp. -- Class A* 300 (10,437) Xerox Corp.* 3,960 (67,122) ------------ TOTAL OFFICE ELECTRONICS (77,559) ------------ INTERNET SOFTWARE & SERVICES (0.7)% ValueClick, Inc.* 780 (18,431) Google, Inc. -- Class A* 70 (32,234) eBay, Inc.* 1,380 (41,497) ------------ TOTAL INTERNET SOFTWARE & SERVICES (92,162) ------------ COMMUNICATIONS EQUIPMENT (1.2)% Powerwave Technologies, Inc.* 860 (5,547) ADTRAN, Inc. 380 (8,626) Comverse Technology, Inc.* 620 (13,088) Utstarcom, Inc.* 2,000 (17,500) Ciena Corp.* 640 (17,734) F5 Networks, Inc.* 280 (20,779) JDS Uniphase Corp.* 1,390 (23,157) Qualcomm, Inc. 1,330 (50,261) ------------ TOTAL COMMUNICATIONS EQUIPMENT (156,692) ------------ COMPUTERS & PERIPHERALS (1.2)% Apple Computer, Inc.* 280 (23,756) Lexmark International, Inc.* 610 (44,652) Network Appliance, Inc.* 1,140 (44,779) Dell, Inc.* 1,990 (49,929) ------------ TOTAL COMPUTERS & PERIPHERALS (163,116) ------------ 24 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (CONCLUDED) December 31, 2006 -------------------------------------------------------------------------------- HEDGED EQUITY FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (1.7)% MEMC Electronic Materials, Inc.* 130 $ (5,088) Semtech Corp.* 500 (6,535) Triquint Semiconductor, Inc.* 3,130 (14,085) Lattice Semiconductor Corp.* 2,310 (14,969) Fairchild Semiconductor International, Inc.* 1,430 (24,038) Teradyne, Inc.* 1,910 (28,574) Cypress Semiconductor Corp.* 2,770 (46,730) Applied Materials, Inc. 4,940 (91,143) ------------ TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (231,162) ------------ SOFTWARE (2.2)% Advent Software, Inc.* 80 (2,823) Activision, Inc.* 1,560 (26,894) Symantec Corp.* 3,570 (74,435) CA, Inc. 3,420 (77,463) Electronic Arts, Inc.* 2,300 (115,828) ------------ TOTAL SOFTWARE (297,443) ------------ TOTAL INFORMATION TECHNOLOGY (1,070,733) ------------ FINANCIALS (9.8)% DIVERSIFIED FINANCIALS (0.1)% Moody's Corp. 190 (13,122) ------------ TOTAL DIVERSIFIED FINANCIALS (13,122) ------------ BANKS (0.6)% Westamerica Bancorporation 230 (11,645) National City Corp. 1,900 (69,464) ------------ TOTAL BANKS (81,109) ------------ CONSUMER FINANCE (0.8)% SLM Corp. 2,100 (102,417) ------------ TOTAL CONSUMER FINANCE (102,417) ------------ THRIFTS & MORTGAGE FINANCE (1.1)% MGIC Investment Corp. 330 (20,638) New York Community Bancorp, Inc. 1,960 (31,556) Freddie Mac 1,490 (101,171) ------------ TOTAL THRIFTS & MORTGAGE FINANCE (153,365) ------------ REAL ESTATE (2.0)% Realogy Corp.* 1 (15) Highwoods Properties, Inc. 210 (8,560) Potlatch Corp. 270 (11,831) United Dominion Realty Trust, Inc. 430 (13,670) Boston Properties, Inc. 160 (17,901) Plum Creek Timber Co., Inc. (REIT) 510 (20,323) Weingarten Realty Investors 690 (31,816) Regency Centers Corp. 470 (36,740) Vornado Realty Trust 460 (55,890) Simon Property Group, Inc. 680 (68,877) ------------ TOTAL REAL ESTATE (265,623) ------------ MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- CAPITAL MARKETS (2.0)% SEI Investments Co. 250 $ (14,890) Waddell & Reed Financial, Inc. -- Class A 850 (23,256) Federated Investors, Inc. -- Class B 820 (27,699) Janus Capital Group, Inc. 1,400 (30,226) Nuveen Investments, Inc. -- Class A 590 (30,609) Eaton Vance Corp. 970 (32,020) Legg Mason, Inc. 340 (32,317) Charles Schwab Corp. 4,020 (77,747) ------------ TOTAL CAPITAL MARKETS (268,764) ------------ INSURANCE (3.2)% Stancorp Financial Group, Inc. 320 (14,416) Arthur J. Gallagher & Co. 840 (24,822) AFLAC, Inc. 940 (43,240) XL Capital Ltd. 740 (53,295) Everest Re Group Ltd. 620 (60,828) ACE Ltd. 1,060 (64,204) Marsh & McLennan Cos., Inc. 2,150 (65,919) Progressive Corp. 4,090 (99,060) ------------ TOTAL INSURANCE (425,784) ------------ TOTAL FINANCIALS (1,310,184) ------------ TOTAL COMMON STOCKS SOLD SHORT (Proceeds $5,932,147) (6,209,480) ------------ TOTAL INVESTMENTS 53.2% (Cost $7,080,128) $ 7,100,071 ============ OTHER ASSETS IN EXCESS OF LIABILITIES - 46.8% $ 6,237,115 ============ NET ASSETS - 100.0% $ 13,337,186 ================================================================================ UNREALIZED LOSS CONTRACTS (NOTE 1) -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED March 2007 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $3,780,887) 53 $ (7,195) March 2007 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,823,900) 23 (21,387) March 2007 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $1,781,120) 22 (35,534) ------------ (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $7,385,907) $ (64,116) ============ * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS HELD AS SHORT SECURITY COLLATERAL AT DECEMBER 31, 2006. ADR--AMERICAN DEPOSITORY RECEIPT REIT--REAL ESTATE INVESTMENT TRUST See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 25 STATEMENTS OF ASSETS AND LIABILITIES December 31, 2006 --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED STRATEGIES EQUITY FUND FUND ---------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2 and 6) $ 22,327,463 $ 13,309,551 Segregated Cash with Broker 714,345 252,186 Receivable for Short Sale 6,616,659 5,932,147 Receivable for Credit Default Swap Settlement (Note 1) 1,234 -- Receivable for Securities Sold (Note 1) 257,898 149,860 Receivable for Fund Shares Sold 12,244 11,714 Investment Income Receivable (Note 1) 69,952 40,012 Other Assets 55,126 -- ---------------------------------------------------------------------------------------------------------- TOTAL ASSETS 30,054,921 19,695,470 ========================================================================================================== LIABILITIES Short Sales at Market Value** (Notes 1 and 2) 7,011,510 6,209,480 Payable for Futures Contracts Settlement (Note 1) 54,844 52,923 Payable for Securities Purchased (Note 1) 393,445 74,940 Payable for Fund Shares Redeemed 5,795 246 Investment Advisory Fees Payable (Note 4) 22,685 13,537 Short Sales Dividends Payable 9,329 7,158 ---------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 7,497,608 6,358,284 ========================================================================================================== NET ASSETS $ 22,557,313 $ 13,337,186 ========================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 22,427,480 $ 13,268,473 Undistributed Net Investment Income 84,835 47,435 Accumulated Net Realized Gain on Investments, Credit Default Swaps, and Futures Contracts 151,101 65,451 Net Unrealized Depreciation on Investments, Credit Default Swaps, and Futures Contracts (106,103) (44,173) ========================================================================================================== NET ASSETS $ 22,557,313 $ 13,337,186 ========================================================================================================== SHARES OUTSTANDING 861,112 506,430 NET ASSET VALUES $ 26.20 $ 26.34
* THE COST OF SECURITIES AT VALUE IS $21,960,129 AND $13,012,275, RESPECTIVELY. ** THE PROCEEDS OF SHORT SALES AT MARKET VALUE ARE $6,616,659 AND $5,932,147, RESPECTIVELY. 26 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. STATEMENTS OF OPERATIONS Year Ended December 31, 2006 --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED STRATEGIES EQUITY FUND FUND ---------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 395,450 $ 278,818 Dividends, Net of Foreign Tax Withheld* (Note 1) 105,871 58,098 Other Income 5,390 202 ---------------------------------------------------------------------------------------------------------- Total Income 506,711 337,118 ---------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) 122,492 75,596 Short Sales Dividend Expense 57,434 50,870 Trustees' Fees** 327 231 Custody Fees 2,335 2,015 Miscellaneous (2,404) (2,135) ---------------------------------------------------------------------------------------------------------- Total Expenses 180,184 126,577 ---------------------------------------------------------------------------------------------------------- Net Investment Income 326,527 210,541 ========================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (346,058) 116,745 Futures Contracts 494,336 351,893 Securities Sold Short 307,001 (99,927) ---------------------------------------------------------------------------------------------------------- Total Net Realized Gain 455,279 368,711 ---------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 371,617 280,840 Credit Default Swaps 1,234 -- Futures Contracts (69,334) (46,483) Securities Sold Short (407,553) (282,740) ---------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (104,036) (48,383) ---------------------------------------------------------------------------------------------------------- Net Gain on Investments 351,243 320,328 ---------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 677,770 $ 530,869 ==========================================================================================================
* FOREIGN TAX WITHHELD OF $539 AND $266, RESPECTIVELY. ** 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 VARIABLE TRUST ANNUAL REPORT | 27 STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED STRATEGIES FUND EQUITY FUND ------------------------------------------------------------------------------------------------------------------------- YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005* 2006 2005* ------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income $ 326,527 $ 5,902 $ 210,541 $ 4,198 Net Realized Gain on Investments 455,279 10,859 368,711 11,135 Net Change in Unrealized Appreciation (Depreciation) on Investments (104,036) (2,067) (48,383) 4,210 ------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 677,770 14,694 530,869 19,543 ------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (247,851) -- (166,122) (3,305) Realized Gain on Investment (315,037) -- (314,395) -- ------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (562,888) -- (480,517) (3,305) ========================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 29,498,924 4,216,390 25,389,088 4,399,783 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 562,888 -- 480,517 3,305 COST OF SHARES REDEEMED (10,942,535) (907,930) (15,958,684) (1,043,413) ========================================================================================================================= NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS 19,119,277 3,308,460 9,910,921 3,359,675 ------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets 19,234,159 3,323,154 9,961,273 3,375,913 NET ASSETS--BEGINNING OF PERIOD 3,323,154 -- 3,375,913 -- ========================================================================================================================= NET ASSETS--END OF PERIOD $ 22,557,313 $ 3,323,154 $ 13,337,186 $ 3,375,913 ========================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 84,835 $ 5,902 $ 47,435 $ 893 =========================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 29, 2005. 28 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. 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.
NET INCREASE IN NET REALIZED NET ASSET DISTRIBUTIONS NET ASSET AND VALUE DISTRIBUTIONS FROM NET VALUE, NET UNREALIZED RESULTING FROM NET REALIZED BEGINNING INVESTMENT GAINS ON FROM INVESTMENT CAPITAL TOTAL YEAR ENDED OF PERIOD INCOME+ SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS ----------------------------------------------------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND DECEMBER 31, 2006 $25.20 $ .80 $ .87 $ 1.67 $ (.30) $ (.37) $ (.67) December 31, 2005* 25.00 .05 .15 .20 -- -- -- HEDGED EQUITY FUND DECEMBER 31, 2006 25.21 .84 1.23 2.07 (.33) (.61) (.94) December 31, 2005* 25.00 .04 .20 .24 (.03) -- (.03) RATIOS TO AVERAGE NET ASSETS: ----------------------------- NET NET INCREASE ASSET NET ASSETS, IN NET VALUE, TOTAL NET PORTFOLIO END OF ASSET END OF INVESTMENT TOTAL NET OPERATING INVESTMENT TURNOVER PERIOD (000'S YEAR ENDED VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSES++ INCOME RATE*** OMITTED) ------------------------------------------------------------------------------------------------------------------------------------ ABSOLUTE RETURN STRATEGIES FUND DECEMBER 31, 2006 $ 1.00 $ 26.20 6.64% 1.70% 1.70% 1.16% 3.08% 309% $22,557 December 31, 2005* .20 25.20 0.80% 1.45%** 1.45%** 1.20%** 2.28%** 19% 3,323 HEDGED EQUITY FUND DECEMBER 31, 2006 1.13 26.34 8.20% 1.93% 1.93% 1.15% 3.21% 360% 13,337 December 31, 2005* .21 25.21 0.94% 1.96%** 1.96%** 1.19%** 1.62%** 10% 3,376
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 29, 2005. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ OPERATING EXPENSES EXCLUDE SHORT DIVIDENDS EXPENSE. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 29 NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION The Rydex Variable Trust (the "Trust"), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the "1940") as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. At December 31, 2006, the Trust consisted of fifty-five operating Funds: twenty-five Benchmark Funds, one Money Market Fund, one Absolute Return Strategies Fund, one Hedged Equity Fund, nineteen Sector Funds, two Strategic Funds, three Essential Portfolio Funds and three CLS AdvisorOne Funds. This report covers the Absolute Return Strategies Fund and the Hedged Equity Fund (the "Funds"), while the Benchmark Funds, the Money Market Fund, the Sector Funds, the Strategic Funds, the Essential Portfolio Funds and the CLS AdvisorOne Funds are contained in separate reports. Rydex Investments (the "Advisor") serves as investment advisor to the Funds. Rydex Distributors, Inc. (the "Distributor") acts as principal underwriter for the Trust. SIGNIFICANT ACCOUNTING POLICIES The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. 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 close of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date. Equity securities listed on the Nasdaq market system are valued at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the Trust are 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 last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, 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., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities, if any, are valued at amortized cost, which approximates market value. Traditional open-end investment companies ("Mutual Funds") are valued at their Net Asset Value (the "NAV") as of the close of business, usually 4:00 p.m., Eastern Time, on the valuation date. Exchange Traded Funds ("ETFs") and closed-end investment companies ("closed-end funds") are valued at the last quoted sales price. The value of domestic equity index and credit default swap agreements entered into by the Funds 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, usually 4:00 p.m., Eastern Time. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. Investments for which market quotations are not readily available are valued at fair value as determined in good faith by the Advisor, an affiliated entity under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, 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; and (iii) other information and considerations, including current values in related markets. B. Securities 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. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. C. Distributions of net investment income and net realized capital gains are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. 30 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- D. When a Fund engages in a short sale, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A segregated account of cash and/or securities is maintained as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the purchaser and records this as an expense. E. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security that the Fund purchases upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in the Fund's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). F. The Trust may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. G. The Trust may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index, credit default, or U.S. Dollar index, in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index, credit default or U.S. Dollar index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. In accordance with a Revenue Ruling issued by the Internal Revenue Service (the "IRS"), the Trust ceased investing in commodity index swaps after September 30, 2006. H. The Funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. I. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to 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. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and equity index swap agreements. J. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the discount rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity. K. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported 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. 2. FINANCIAL INSTRUMENTS As part of its investment strategy, the Trust may utilize a variety of derivative instruments, including options, futures, options on futures, swap agreements, and short THE RYDEX VARIABLE TRUST ANNUAL REPORT | 31 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- sales. 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. In 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 its affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by a Fund involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market. There are several risks associated with the use of structured notes. Structured securities are leveraged, providing an exposure to the underlying benchmark of three times the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes a Fund invests in, which may make it difficult for the Fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless the Advisor believes that the issuer is creditworthy, a Fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The use of equity swaps involves risks that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor," receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which the Fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the Fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value. Interest rate swap contracts involve the exchange of commitments to pay and receive interest based on a notional principal amount. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which a Fund sells a security it does not own. If the security the Fund sold short goes down in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. Short Dividends or Interest Expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. 32 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, 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 each Fund. The risks inherent in the use of options, futures contracts, options on futures contracts, swap agreements, as well as short sales of securities, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. 3. CALL OPTIONS WRITTEN As of December 31, 2006, the Funds did not have any open written call option positions. Transactions in options written during the period ended December 31, 2006, were as follows: NUMBER OF PREMIUMS HEDGED EQUITY FUND CONTRACTS RECEIVED ------------------------------------------------------------------------------- Options outstanding at December 31, 2005 1 $ 3,321 Options written -- -- Options closed 1 (3,321) ------------------------------------------------------------------------------- Options outstanding at December 31, 2006 -- $ -- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Under the terms of an investment advisory contract, the Trust pays the Advisor, an affiliated entity, investment advisory fees calculated at an annualized rate of 1.15% of the average daily net assets of the Funds. The Advisor has contractually agreed to pay all operating expenses of the Fund, excluding interest expense and taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses. Organizational and setup costs for new funds are paid by the Trust. Certain officers and trustees of the Trust are also officers of the Advisor. 5. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision is required. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This may include net operating losses not utilized during the current period and the expiration of capital loss carryforward. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. The tax character of distributions paid during 2006 was as follows:
ORDINARY LONG-TERM TOTAL FUND INCOME CAPITAL GAIN DISTRIBUTIONS --------------------------------------------------------------------------------------------------------------- Absolute Return Strategies Fund $418,938 $ 143,950 $ 562,888 Hedged Equity Fund 398,736 81,781 480,517
The tax character of distributions paid during 2005 was as follows:
ORDINARY LONG-TERM TOTAL FUND INCOME CAPITAL GAIN DISTRIBUTIONS --------------------------------------------------------------------------------------------------------------- Absolute Return Strategies Fund $ -- $ -- $ -- Hedged Equity Fund 3,305 -- 3,305
THE RYDEX VARIABLE TRUST ANNUAL REPORT | 33 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- The tax character of distributable earnings/(accumulated losses) at December 31, 2006 was as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY LONG-TERM NET UNREALIZED CAPITAL LOSS FUND INCOME GAIN DEPRECIATION CARRYFORWARD --------------------------------------------------------------------------------------------------- Absolute Return Strategies Fund $ 330,055 $ 112,818 $ (254,610) $ -- Hedged Equity Fund 164,258 91,680 (135,878) --
The Funds' tax basis capital gains and losses are determined only at the end of each fiscal year. Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. At December 31, 2006, 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:
TAX TAX NET TAX UNREALIZED UNREALIZED UNREALIZED FUND COST GAIN LOSS LOSS ---------------------------------------------------------------------------------------------------- Absolute Return Strategies Fund $ 15,571,797 $ 450,102 $ (705,946) $ (255,844) Hedged Equity Fund 7,235,949 350,851 (486,729) (135,878)
6. REPURCHASE AGREEMENTS The Trust transfers 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. The collateral is in the possession of the Trust's custodian and is evaluated daily to ensure that its market value exceeds 102% of the delivery value of the repurchase agreements at maturity. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund. The repurchase agreements executed by the joint account and outstanding as of December 31, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE REPURCHASE PRICE -------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc. 4.60% due 01/02/07 $95,418,751 $ 95,418,751 $ 95,467,520 UBS Financial Services, Inc. 4.79% due 01/02/07 89,000,000 89,000,000 89,047,368 Morgan Stanley 4.65% due 01/02/07 89,000,000 89,000,000 89,045,983 Mizuho Financial Group, Inc. 4.80% due 01/02/07 89,000,000 89,000,000 89,047,467 Credit Suisse First Boston 4.90% due 01/02/07 25,253,732 25,253,732 25,267,481 -------------------------------------------------------------------------------------------------------- $387,672,483 $387,875,819 --------------------------------------------------------------------------------------------------------
As of December 31, 2006, the collateral for the repurchase agreements in the joint account was as follows:
SECURITY TYPE MATURITY DATES RANGE OF RATES PAR VALUE MARKET VALUE -------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds 11/15/16 - 05/15/17 7.500% - 8.750% $ 30,385,000 $ 37,544,892 TIP Bonds 04/15/29 3.875% 1,045,000 1,615,292 U.S. Treasury Notes 01/15/08 - 11/15/15 1.875% - 4.500% 251,823,244 248,683,722 TIP Notes 01/15/14 - 07/15/15 1.625% - 2.000% 16,495,000 16,806,078 U.S. Treasury Bills 03/08/07 - 06/07/07 0.000% 91,711,000 90,785,145 -------------------------------------------------------------------------------------------------------- $395,435,129 --------------------------------------------------------------------------------------------------------
In the event of counterparty default, the Trust has the right to collect the collateral to offset losses incurred. There is potential loss to the Trust in the event the Trust is delayed or prevented from exercising its 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 Trust seeks to assert its rights. The Trust's investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the credit worthiness of those banks and dealers with which the Trust enters into repurchase agreements to evaluate potential risks. 7. SECURITIES TRANSACTIONS During the year ended December 31, 2006, cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were: ABSOLUTE RETURN STRATEGIES HEDGED EQUITY FUND FUND -------------------------------------------------------------------------------- Purchases $29,287,523 $19,222,898 Sales $18,464,224 $14,938,896 34 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 8. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the years presented were:
PURCHASED THROUGH SHARES PURCHASED DIVIDEND REINVESTMENT ---------------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005* 2006 2005* ---------------------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND 1,127,925 167,851 21,509 -- HEDGED EQUITY FUND 961,138 175,111 18,243 130 NET SHARES SHARES REDEEMED PURCHASED ---------------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005* 2006 2005* ---------------------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND (420,205) (35,968) 729,229 131,883 HEDGED EQUITY FUND (606,870) (41,322) 372,511 133,919
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 29, 2005. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 35 NOTES TO FINANCIAL STATEMENTS (CONCLUDED) -------------------------------------------------------------------------------- 9. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact on the financial statements has not yet been determined. On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations on an entity's financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. Adoption of FAS 157 is required for fiscal years beginning after November 15, 2007. The standard is not expected to materially impact the Funds' financial statements. 36 | THE RYDEX VARIABLE TRUST ANNUAL REPORT REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of Rydex Variable Trust: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Absolute Return Strategies Fund and Hedged Equity Fund (two of the funds of the Rydex Variable Trust, hereafter referred to as the "Funds") at December 31, 2006, the results of each of their operations, the changes in each of their net assets and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Baltimore, Maryland February 23, 2007 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 37 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 difference in tax and financial reporting practices. The Funds' distributions to shareholders included: ABSOLUTE RETURN HEDGED EQUITY STRATEGIES FUND FUND -------------------------------------------------------------------------------- From short-term capital gains: $171,087 $232,614 From long-term capital gains, subject to the 15% rate gains category: $143,950 $ 81,781 PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's website at http://www.sec.gov. 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 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Variable Trust Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Variable Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: 38 | THE RYDEX VARIABLE TRUST ANNUAL REPORT OTHER INFORMATION (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered Rydex Investments' investment processes and strategies, and matters related to Rydex Investments' portfolio transaction policies and procedures. In particular, the Board noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 39 OTHER INFORMATION (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of the majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. 40 | THE RYDEX VARIABLE TRUST ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- ------------------- CARL G. VERBONCOEUR* Rydex Series Funds - 2004 146 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Investments (2000 to 2003) -------------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 146 Trustee, Vice President (1970) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Investments (2004 to present); Chief Operating Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to 2004) -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- ------------------- JOHN O. DEMARET Rydex Series Funds - 1997 139 Trustee, Chairman of the Rydex Variable Trust - 1998 Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired -------------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 139 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) -------------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 139 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group -------------------------------- THE RYDEX VARIABLE TRUST ANNUAL REPORT | 41 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONTINUED) --------------------------------------------------------------------------------
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- ------------------- WERNER E. KELLER Rydex Series Funds - 2005 139 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) -------------------------------- THOMAS F. LYDON, JR. Rydex Series Funds - 2005 139 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments -------------------------------- PATRICK T. MCCARVILLE Rydex Series Funds - 1997 139 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. -------------------------------- ROGER SOMERS Rydex Series Funds - 1993 139 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS ------------------------- --------------------------- NICK BONOS* Chief Financial Officer of Rydex Specialized Products, LLC (2005 to Vice President and Treasurer (1963) present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Investments (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex Variable Chief Compliance Officer and Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Secretary (1966) Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Investments (2000 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006)
42 | THE RYDEX VARIABLE TRUST ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS ------------------------- --------------------------- JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Assistant Treasurer (1966) Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Investments (2004 to present); Director of Accounting of Rydex Investments (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Controller (1974) Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Investments (2001 to present)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 43 -------------------------------------------------------------------------------- This page intentionally left blank. -------------------------------------------------------------------------------- This page intentionally left blank. [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800.820.0888 RVAOEHF-2-1206x1207 DECEMBER 31, 2006 RYDEX VARIABLE TRUST ANNUAL REPORT ESSENTIAL PORTFOLIO FUNDS ESSENTIAL PORTFOLIO CONSERVATIVE FUND ESSENTIAL PORTFOLIO MODERATE FUND ESSENTIAL PORTFOLIO AGGRESSIVE FUND [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ................................................ 2 ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 4 PERFORMANCE REPORTS AND FUND PROFILES ..................................... 6 SCHEDULES OF INVESTMENTS .................................................. 9 STATEMENTS OF ASSETS AND LIABILITIES ...................................... 12 STATEMENTS OF OPERATIONS .................................................. 13 STATEMENTS OF CHANGES IN NET ASSETS ....................................... 14 FINANCIAL HIGHLIGHTS ...................................................... 15 NOTES TO FINANCIAL STATEMENTS ............................................. 16 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 23 OTHER INFORMATION ......................................................... 24 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 27 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS -------------------------------------------------------------------------------- DEAR SHAREHOLDER: In many ways, 2006 was a surprising year for investors. Equity markets turned in an unexpectedly strong performance, based in large part on a powerful year-end rally. For much of 2006, stock prices were kept in check by inflation and interest rate concerns. One of the most noteworthy developments of the year was that the Federal Reserve ("Fed") called a halt to its two-year interest rate raising campaign in an effort to see if the 17 consecutive increases in short-term rates enacted over the prior two years had been enough to slow economic growth and cool inflationary pressures. Throughout 2006, stock prices reacted to two major inputs--the price of oil and the direction of future interest rate policy. The pause in interest rate hikes by the Fed changed the debate from when would they stop to when will they ease. Oil prices, which had been on a relentless climb going back to the days prior to hurricane Katrina, finally broke after a first-half rally brought the price of oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower than where it began at $61/barrel. Underlying this was the hope that the economy would achieve a soft landing--slowing enough to give the Fed latitude to ease, but not enough to tip the economy into recession. The major risk in 2006 was housing. As the housing "bubble" burst, it had--and still has--the potential to pull the economy into recession. Stock price behavior, particularly in the fourth quarter, indicates that most observers believed the economy had dodged that bullet. Stocks rallied modestly at the beginning of 2006 then pulled back in the May-July period on concerns about inflationary pressures and additional rate hikes by the Fed. With the economy slowing and inflationary pressures easing, markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains, respectively, on a total return basis for the year. Although it was a bit of a seesaw battle, investors expressed a preference for small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%, beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46% compared to 9.15% for the Russell 1000(R) Growth Index. All three Rydex Essential Portfolios enjoyed strong returns during the last two months of 2006 as markets rallied significantly at the close of the year. Investment returns ranged from +1.71% for the Conservative Portfolio to +3.02% for the Aggressive Portfolio. Both the Moderate and Aggressive Portfolios outperformed their benchmarks during the period, while the Conservative Portfolio trailed slightly. Domestic and international equity markets in particular, rallied strongly during the review period on the back of massive global liquidity, expectations of easing by the Federal Reserve and unprecedented levels of M&A, private equity and buyout activity. Real Estate was also a positive contributor to performance during the quarter. Rydex Government Long Bond Advantage and Commodities Fund allocations detracted slightly from performance as interest rates rose modestly and commodity indexes pulled back slightly. Looking into 2007, we think it is likely that economic growth will be slower but not recessionary. In that environment we expect stocks to cool off, if not retreat a bit. That should give the Fed room to ease interest rates, which should push stock prices up again. We do not, however, expect those conditions to unfold until the second half of 2007. Thank you for placing your trust in Rydex Investments. Sincerely, /s/David C. Reilly David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX VARIABLE TRUST ANNUAL REPORT -------------------------------------------------------------------------------- This page intentionally left blank. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 3 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. As a shareholder of the Fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; 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 you understand your ongoing costs (in dollars) of investing in the 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 June 30, 2006 and ending December 31, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you 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. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your 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 you 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. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by the Fund. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for up to the past five years, 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. 4 | THE RYDEX VARIABLE TRUST ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONCLUDED) --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO JUNE 30, 2006 DECEMBER 31, 2006 PERIOD* ------------------------------------------------------------------------------------------------------------- TABLE 1. BASED ON ACTUAL FUND RETURN** Essential Portfolio Conservative Fund -- $ 1,000.00 $ 1,017.10 $ -- Essential Portfolio Moderate Fund -- 1,000.00 1,029.80 -- Essential Portfolio Aggressive Fund -- 1,000.00 1,030.20 -- ------------------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN** Essential Portfolio Conservative Fund -- 1,000.00 1,025.21 -- Essential Portfolio Moderate Fund -- 1,000.00 1,025.21 -- Essential Portfolio Aggressive Fund -- 1,000.00 1,025.21 --
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. EXPENSES SHOWN DO NOT INCLUDE FEES CHARGED BY INSURANCE COMPANIES. ** SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 5 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND OBJECTIVE: To primarily seek preservation of capital and, secondarily, to seek long-term growth of capital. INCEPTION: October 27, 2006 Rydex Essential Portfolio Conservative Fund rose 1.71% during the period, lagging behind the blended benchmark return of 1.94%. The major contributor to returns was the Portfolio's allocation of Rydex Europe Advantage Fund. Europe Advantage Fund's performance was driven by strong economic growth in the Eurozone economies on the back of solid investment, job spending and exports growth. European share prices were also bolstered by lower P/E's and higher expected earnings growth than in the U.S. With U.S. stock prices rallying in Q4, the Portfolio's allocation to Rydex Multi-Cap Core Equity Fund was also a major contributor. Allocations to the Small Cap Value, Large Cap Value and Sector Rotation Funds all contributed meaningfully to Portfolio returns as well. Two other allocations also aided performance during the quarter. The Portfolio's exposure to Rydex Absolute Return Strategies Fund added to aggregate returns, as did its allocation to Rydex Real Estate Fund. The strong showing by Rydex Real Estate Fund added significantly to overall returns. The Conservative Portfolio's large allocation to Rydex Government Long Bond Advantage Fund detracted slightly from performance as interest rates rose modestly in the fourth quarter. Our allocation to Rydex Commodities Fund was the only other source of negative returns, reducing aggregate performance in a difficult environment for commodities. CUMULATIVE FUND PERFORMANCE: OCTOBER 27, 2006 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO DATE CONSERVATIVE FUND S&P 500 INDEX CONSERVATIVE BENCHMARK 10/27/2006 10,000 10,000 10,000 10/28/2006 10,000 10,000 10,000 10/29/2006 10,000 10,000 10,000 10/30/2006 10,000 10,005 10,005 10/31/2006 10,032 10,005 10,034 11/1/2006 10,016 9,932 10,015 11/2/2006 9,984 9,932 10,005 11/3/2006 9,936 9,910 9,968 11/4/2006 9,936 9,910 9,968 11/5/2006 9,936 9,910 9,968 11/6/2006 10,012 10,023 10,015 11/7/2006 10,020 10,046 10,043 11/8/2006 10,052 10,069 10,062 11/9/2006 10,028 10,017 10,043 11/10/2006 10,060 10,036 10,062 11/11/2006 10,060 10,036 10,062 11/12/2006 10,060 10,036 10,062 11/13/2006 10,052 10,064 10,062 11/14/2006 10,112 10,129 10,100 11/15/2006 10,116 10,156 10,100 11/16/2006 10,084 10,179 10,100 11/17/2006 10,100 10,190 10,128 11/18/2006 10,100 10,190 10,128 11/19/2006 10,100 10,190 10,128 11/20/2006 10,120 10,185 10,128 11/21/2006 10,164 10,202 10,137 11/22/2006 10,176 10,227 10,156 11/23/2006 10,176 10,227 10,156 11/24/2006 10,180 10,191 10,147 11/25/2006 10,180 10,191 10,147 11/26/2006 10,180 10,191 10,147 11/27/2006 10,120 10,052 10,090 11/28/2006 10,152 10,089 10,118 11/29/2006 10,200 10,187 10,156 11/30/2006 10,244 10,195 10,175 12/1/2006 10,236 10,166 10,175 12/2/2006 10,236 10,166 10,175 12/3/2006 10,236 10,166 10,175 12/4/2006 10,284 10,257 10,213 12/5/2006 10,292 10,298 10,232 12/6/2006 10,264 10,288 10,222 12/7/2006 10,248 10,247 10,203 12/8/2006 10,216 10,266 10,184 12/9/2006 10,216 10,266 10,184 12/10/2006 10,216 10,266 10,184 12/11/2006 10,256 10,289 10,203 12/12/2006 10,252 10,279 10,213 12/13/2006 10,228 10,293 10,194 12/14/2006 10,248 10,383 10,232 12/15/2006 10,236 10,394 10,232 12/16/2006 10,236 10,394 10,232 12/17/2006 10,236 10,394 10,232 12/18/2006 10,204 10,361 10,222 12/19/2006 10,216 10,384 10,232 12/20/2006 10,212 10,369 10,232 12/21/2006 10,208 10,334 10,232 12/22/2006 10,151 10,280 10,184 12/23/2006 10,151 10,280 10,184 12/24/2006 10,151 10,280 10,184 12/25/2006 10,151 10,280 10,184 12/26/2006 10,187 10,325 10,213 12/27/2006 10,215 10,400 10,232 12/28/2006 10,191 10,385 10,213 12/29/2006 10,171 10,338 10,194 12/30/2006 10,171 10,338 10,194 12/31/2006 10,171 10,338 10,194 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE INCEPTION (10/27/06) -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND 1.71% S&P 500 INDEX 3.38% SYNTHETIC ESSENTIAL PORTFOLIO CONSERVATIVE BENCHMARK* 1.94% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. * BENCHMARK REFLECTS A 40/60 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX AND THE LEHMAN AGGREGATE BOND INDEX. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO CONSERVATIVE FUND -------------------------------------------------------------------------------- U.S. EQUITY FUNDS 17.9% U.S. FIXED-INCOME FUNDS AND MONEY MARKET FUND 39.5% INTERNATIONAL EQUITY FUNDS 12.0% ALTERNATIVE STRATEGIES FUNDS 29.6% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Rydex Variable Trust -- Government Long Bond Advantage Fund 21.4% Rydex Variable Trust -- U.S. Government Money Market Fund 18.1% Rydex Variable Trust -- Absolute Return Strategies Fund 14.6% Rydex Variable Trust -- Europe Advantage Fund 12.0% Rydex Variable Trust -- Multi-Cap Core Equity Fund 10.3% Rydex Variable Trust -- Real Estate Fund 4.2% Rydex Variable Trust -- Commodities Fund 3.5% Rydex Variable Trust -- Small-Cap Value Fund 3.1% Rydex Variable Trust -- Large-Cap Value Fund 2.8% Rydex Variable Trust -- Sector Rotation Fund 2.6% -------------------------------------------------------------------------------- Top Ten Total 92.6% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative instruments. 6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO MODERATE FUND OBJECTIVE: To primarily seek growth of capital and, secondarily, to seek preservation of capital. INCEPTION: October 27, 2006 Rydex Essential Portfolio Moderate Fund returned 2.98% during the period, beating its benchmark return of 2.46%. Many of the asset class exposures that worked well for the Conservative Portfolio came into play for the Moderate Portfolio. Again, the largest positive contributor to overall return was the allocation to Rydex Europe Advantage Fund. Rydex Multi-Cap Core Equity, Nova and OTC Funds were also significant sources of positive return, adding meaningfully to overall results. Rydex Nova Fund's magnified exposure to the S&P 500 Index enabled it to generate a strong return during the year-end stock market rally. The other international allocation that aided results was the Moderate Portfolio's holding of Rydex Japan Advantage Fund, which rose briskly as Japanese stock prices recovered from their May-June swoon towards the end of the year. The Portfolio's exposure to the Rydex style box series of funds helped returns in a positive stock market environment, as did allocations to Rydex Absolute Return Strategies, Real Estate, Sector Rotation and Russell 2000(R) Advantage Funds. The Moderate Portfolio's smaller allocation to Rydex Government Long Bond Advantage Fund, which declined modestly, resulted in less of a drag on overall return. This, however, was more than offset by a larger allocation to Rydex Commodities Fund, which detracted from performance during the period. CUMULATIVE FUND PERFORMANCE: OCTOBER 27, 2006 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO DATE MODERATE FUND S&P 500 INDEX MODERATE BENCHMARK 10/27/2006 10,000 10,000 10,003 10/28/2006 10,000 10,000 10,003 10/29/2006 10,000 10,000 10,003 10/30/2006 9,996 10,005 10,003 10/31/2006 10,012 10,005 10,022 11/1/2006 9,964 9,932 9,984 11/2/2006 9,944 9,932 9,975 11/3/2006 9,908 9,910 9,947 11/4/2006 9,908 9,910 9,947 11/5/2006 9,908 9,910 9,947 11/6/2006 10,028 10,023 10,022 11/7/2006 10,044 10,046 10,041 11/8/2006 10,072 10,069 10,059 11/9/2006 10,028 10,017 10,031 11/10/2006 10,052 10,036 10,050 11/11/2006 10,052 10,036 10,050 11/12/2006 10,052 10,036 10,050 11/13/2006 10,044 10,064 10,059 11/14/2006 10,144 10,129 10,106 11/15/2006 10,160 10,156 10,115 11/16/2006 10,120 10,179 10,125 11/17/2006 10,120 10,190 10,143 11/18/2006 10,120 10,190 10,143 11/19/2006 10,120 10,190 10,143 11/20/2006 10,120 10,185 10,143 11/21/2006 10,176 10,202 10,162 11/22/2006 10,208 10,227 10,171 11/23/2006 10,208 10,227 10,171 11/24/2006 10,200 10,191 10,162 11/25/2006 10,200 10,191 10,162 11/26/2006 10,200 10,191 10,162 11/27/2006 10,084 10,052 10,078 11/28/2006 10,144 10,089 10,106 11/29/2006 10,252 10,187 10,162 11/30/2006 10,300 10,195 10,181 12/1/2006 10,268 10,166 10,171 12/2/2006 10,268 10,166 10,171 12/3/2006 10,268 10,166 10,171 12/4/2006 10,352 10,257 10,227 12/5/2006 10,372 10,298 10,255 12/6/2006 10,348 10,288 10,237 12/7/2006 10,324 10,247 10,218 12/8/2006 10,300 10,266 10,209 12/9/2006 10,300 10,266 10,209 12/10/2006 10,300 10,266 10,209 12/11/2006 10,336 10,289 10,237 12/12/2006 10,332 10,279 10,237 12/13/2006 10,328 10,293 10,227 12/14/2006 10,388 10,383 10,283 12/15/2006 10,376 10,394 10,283 12/16/2006 10,376 10,394 10,283 12/17/2006 10,376 10,394 10,283 12/18/2006 10,308 10,361 10,265 12/19/2006 10,324 10,384 10,283 12/20/2006 10,328 10,369 10,274 12/21/2006 10,304 10,334 10,265 12/22/2006 10,245 10,280 10,218 12/23/2006 10,245 10,280 10,218 12/24/2006 10,245 10,280 10,218 12/25/2006 10,245 10,280 10,218 12/26/2006 10,282 10,325 10,246 12/27/2006 10,352 10,400 10,283 12/28/2006 10,335 10,385 10,274 12/29/2006 10,298 10,338 10,246 12/30/2006 10,298 10,338 10,246 12/31/2006 10,298 10,338 10,246 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE INCEPTION (10/27/06) -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO MODERATE FUND 2.98% S&P 500 INDEX 3.38% SYNTHETIC ESSENTIAL PORTFOLIO MODERATE BENCHMARK* 2.46% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. * BENCHMARK REFLECTS A 60/40 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX AND THE LEHMAN AGGREGATE BOND INDEX. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO MODERATE FUND ------------------------------------------------------------------------------- U.S. EQUITY FUNDS 37.3% U.S. FIXED-INCOME FUNDS 10.8% INTERNATIONAL EQUITY FUNDS 28.9% ALTERNATIVE STRATEGIES FUNDS 21.9% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Rydex Variable Trust -- Europe Advantage Fund 19.3% Rydex Variable Trust -- Government Long Bond Advantage Fund 10.8% Rydex Variable Trust -- Absolute Return Strategies Fund 10.6% Rydex Variable Trust -- Japan Advantage Fund 9.5% Rydex Variable Trust -- Multi-Cap Core Equity Fund 9.4% Rydex Variable Trust -- OTC Fund 7.6% Rydex Variable Trust -- Real Estate Fund 7.0% Rydex Variable Trust -- Nova Fund 6.2% Rydex Variable Trust -- Commodities Fund 5.6% Rydex Variable Trust -- Russell 2000(R) Advantage Fund 2.6% -------------------------------------------------------------------------------- Top Ten Total 88.6% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative instruments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO AGGRESSIVE FUND OBJECTIVE: To primarily seek growth of capital. INCEPTION: October 27, 2006 Rydex Essential Portfolio Aggressive Fund enjoyed the strongest performance during the period, both in absolute terms and relative to the aggressive benchmark, gaining 3.02% versus 2.86% for the benchmark. Performance patterns were very similar to those seen in the Moderate and Conservative Portfolios, only magnified a bit. Rydex Europe and Japan Funds were outstanding contributors to positive Portfolio return. The Aggressive Portfolio's largest allocation was to Rydex Japan Advantage Fund which contributed substantially to aggregate return. Close behind was the allocation to Rydex Europe Advantage Fund, which was also a major contributor to Portfolio return. Rydex Real Estate, Multi-Cap Core Equity, Sector Rotation and Russell 2000(R) Advantage Funds were also major contributors to Portfolio performance. The Aggressive Portfolio's larger tolerance for risk permits a higher allocation to Rydex Sector Rotation Fund. The price momentum strategy employed by the Fund generated robust returns at the end of the year. Another key difference with the Aggressive Portfolio is the wider application of leveraged equity funds. Rydex Dynamic S&P 500 and Dynamic OTC Fund allocations added meaningfully to overall Portfolio results. The smaller average allocation to Rydex Absolute Return Strategies Fund resulted in a relatively modest contribution to return. Additionally, the Aggressive Portfolio's higher risk target resulted in a lower allocation to Rydex Government Long Bond Advantage Fund and a correspondingly lower return penalty. This again was offset by the Portfolio's allocation to Rydex Commodities Fund, whose decline detracted from Portfolio returns at year-end. CUMULATIVE FUND PERFORMANCE: OCTOBER 27, 2006 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO DATE AGGRESSIVE FUND S&P 500 INDEX AGGRESSIVE BENCHMARK 10/27/2006 10,000 10,000 10,000 10/28/2006 10,000 10,000 10,000 10/29/2006 10,000 10,000 10,000 10/30/2006 10,008 10,005 9,999 10/31/2006 10,000 10,005 10,009 11/1/2006 9,908 9,932 9,953 11/2/2006 9,884 9,932 9,953 11/3/2006 9,848 9,910 9,925 11/4/2006 9,848 9,910 9,925 11/5/2006 9,848 9,910 9,925 11/6/2006 9,992 10,023 10,018 11/7/2006 9,992 10,046 10,036 11/8/2006 10,012 10,069 10,064 11/9/2006 9,940 10,017 10,018 11/10/2006 9,972 10,036 10,036 11/11/2006 9,972 10,036 10,036 11/12/2006 9,972 10,036 10,036 11/13/2006 9,976 10,064 10,064 11/14/2006 10,132 10,129 10,120 11/15/2006 10,152 10,156 10,129 11/16/2006 10,112 10,179 10,147 11/17/2006 10,100 10,190 10,166 11/18/2006 10,100 10,190 10,166 11/19/2006 10,100 10,190 10,166 11/20/2006 10,084 10,185 10,157 11/21/2006 10,136 10,202 10,175 11/22/2006 10,188 10,227 10,194 11/23/2006 10,188 10,227 10,194 11/24/2006 10,164 10,191 10,166 11/25/2006 10,164 10,191 10,166 11/26/2006 10,164 10,191 10,166 11/27/2006 10,004 10,052 10,064 11/28/2006 10,088 10,089 10,092 11/29/2006 10,228 10,187 10,175 11/30/2006 10,284 10,195 10,184 12/1/2006 10,244 10,166 10,166 12/2/2006 10,244 10,166 10,166 12/3/2006 10,244 10,166 10,166 12/4/2006 10,372 10,257 10,240 12/5/2006 10,396 10,298 10,268 12/6/2006 10,384 10,288 10,258 12/7/2006 10,332 10,247 10,231 12/8/2006 10,316 10,266 10,231 12/9/2006 10,316 10,266 10,231 12/10/2006 10,316 10,266 10,231 12/11/2006 10,352 10,289 10,258 12/12/2006 10,332 10,279 10,249 12/13/2006 10,324 10,293 10,258 12/14/2006 10,416 10,383 10,323 12/15/2006 10,408 10,394 10,332 12/16/2006 10,408 10,394 10,332 12/17/2006 10,408 10,394 10,332 12/18/2006 10,316 10,361 10,314 12/19/2006 10,316 10,384 10,332 12/20/2006 10,332 10,369 10,314 12/21/2006 10,296 10,334 10,295 12/22/2006 10,235 10,280 10,249 12/23/2006 10,235 10,280 10,249 12/24/2006 10,235 10,280 10,249 12/25/2006 10,235 10,280 10,249 12/26/2006 10,277 10,325 10,286 12/27/2006 10,361 10,400 10,342 12/28/2006 10,340 10,385 10,323 12/29/2006 10,298 10,338 10,286 12/30/2006 10,298 10,338 10,286 12/31/2006 10,298 10,338 10,286 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE INCEPTION (10/27/06) -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO AGGRESSIVE FUND 3.02% S&P 500 INDEX 3.38% SYNTHETIC ESSENTIAL PORTFOLIO AGGRESSIVE BENCHMARK* 2.86% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. * BENCHMARK REFLECTS AN 80/20 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX AND THE LEHMAN AGGREGATE BOND INDEX. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO AGGRESSIVE FUND -------------------------------------------------------------------------------- U.S. EQUITY FUNDS 46.3% U.S. FIXED-INCOME FUNDS 6.8% INTERNATIONAL EQUITY FUNDS 29.2% ALTERNATIVE STRATEGIES FUNDS 15.9% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- Rydex Variable Trust -- Japan Advantage Fund 18.5% Rydex Variable Trust -- Europe Advantage Fund 10.7% Rydex Variable Trust -- Dynamic OTC Fund 10.1% Rydex Variable Trust -- Dynamic S&P 500 Fund 9.6% Rydex Variable Trust -- Real Estate Fund 8.1% Rydex Variable Trust -- Government Long Bond Advantage Fund 6.8% Rydex Variable Trust -- Absolute Return Strategies Fund 6.3% Rydex Variable Trust -- Multi-Cap Core Equity Fund 6.0% Rydex Variable Trust -- Russell 2000(R) Advantage Fund 5.7% Rydex Variable Trust -- Commodities Fund 4.8% -------------------------------------------------------------------------------- Top Ten Total 86.6% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative instruments. 8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MUTUAL FUNDS 98.9% Rydex Variable Trust - Government Long Bond Advantage Fund+ 7,997 $ 92,440 Rydex Variable Trust - U.S. Government Money Market Fund+ 78,039 78,039 Rydex Variable Trust - Absolute Return Strategies Fund+ 2,401 62,914 Rydex Variable Trust - Europe Advantage Fund+ 1,747 51,708 Rydex Variable Trust - Multi-Cap Core Equity Fund+ 1,550 44,338 Rydex Variable Trust - Real Estate Fund+ 360 18,090 Rydex Variable Trust - Commodities Fund*+ 842 15,275 Rydex Variable Trust - Small-Cap Value Fund+ 462 13,208 Rydex Variable Trust - Large-Cap Value Fund+ 377 11,967 Rydex Variable Trust - Sector Rotation Fund+ 827 11,145 Rydex Variable Trust - Hedged Equity Fund+ 357 9,404 Rydex Variable Trust - Large-Cap Growth Fund+ 352 9,386 Rydex Variable Trust - Mid-Cap Growth Fund+ 319 9,365 ------------ TOTAL MUTUAL FUNDS (Cost $430,362) 427,279 ------------ TOTAL INVESTMENTS 98.9% (Cost $430,362) $ 427,279 ============ OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% $ 4,709 ============ NET ASSETS - 100.0% $ 431,988 * NON-INCOME PRODUCING SECURITY. + AFFILIATED FUND See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO MODERATE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MUTUAL FUNDS 98.9% Rydex Variable Trust - Europe Advantage Fund+ 22,919 $ 678,409 Rydex Variable Trust - Government Long Bond Advantage Fund+ 32,829 379,499 Rydex Variable Trust - Absolute Return Strategies Fund+ 14,180 371,522 Rydex Variable Trust - Japan Advantage Fund+ 12,296 333,603 Rydex Variable Trust - Multi-Cap Core Equity Fund+ 11,475 328,185 Rydex Variable Trust - OTC Fund*+ 17,390 267,625 Rydex Variable Trust - Real Estate Fund+ 4,856 244,010 Rydex Variable Trust - Nova Fund+ 21,579 217,728 Rydex Variable Trust - Commodities Fund*+ 10,805 196,102 Rydex Variable Trust - Russell 2000(R) Advantage Fund+ 2,250 92,583 Rydex Variable Trust - Large-Cap Value Fund+ 2,508 79,690 Rydex Variable Trust - Small-Cap Value Fund+ 2,532 72,421 Rydex Variable Trust - Sector Rotation Fund+ 5,156 69,448 Rydex Variable Trust - Mid-Cap Growth Fund+ 2,354 69,034 Rydex Variable Trust - Mid-Cap Value Fund+ 3,081 68,953 ------------ TOTAL MUTUAL FUNDS (Cost $3,541,355) 3,468,812 ------------ TOTAL INVESTMENTS 98.9% (Cost $3,541,355) $ 3,468,812 ============ OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% $ 38,876 ============ NET ASSETS - 100.0% $ 3,507,688 * NON-INCOME PRODUCING SECURITY. + AFFILIATED FUND 10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO AGGRESSIVE FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) -------------------------------------------------------------------------------- MUTUAL FUNDS 98.2% Rydex Variable Trust - Japan Advantage Fund+ 3,700 $ 100,382 Rydex Variable Trust - Europe Advantage Fund+ 1,965 58,172 Rydex Variable Trust - Dynamic OTC Fund+ 2,332 54,711 Rydex Variable Trust - Dynamic S&P 500 Fund+ 2,396 52,027 Rydex Variable Trust - Real Estate Fund+ 877 44,057 Rydex Variable Trust - Government Long Bond Advantage Fund+ 3,186 36,825 Rydex Variable Trust - Absolute Return Strategies Fund+ 1,307 34,236 Rydex Variable Trust - Multi-Cap Core Equity Fund+ 1,136 32,497 Rydex Variable Trust - Russell 2000(R) Advantage Fund+ 747 30,718 Rydex Variable Trust - Commodities Fund*+ 1,435 26,052 Rydex Variable Trust - Sector Rotation Fund+ 1,430 19,267 Rydex Variable Trust - Small-Cap Value Fund+ 410 11,726 Rydex Variable Trust - Large-Cap Growth Fund+ 400 10,684 Rydex Variable Trust - Mid-Cap Growth Fund+ 363 10,639 Rydex Variable Trust - Small-Cap Growth Fund+ 355 10,630 ------------ TOTAL MUTUAL FUNDS (Cost $550,671) 532,623 ------------ TOTAL INVESTMENTS 98.2% (Cost $550,671) $ 532,623 ============ OTHER ASSETS IN EXCESS OF LIABILITIES - 1.8% $ 9,814 ============ NET ASSETS - 100.0% $ 542,437 * NON-INCOME PRODUCING SECURITY. + AFFILIATED FUND See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11 STATEMENTS OF ASSETS AND LIABILITIES December 31, 2006 --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO CONSERVATIVE MODERATE AGGRESSIVE FUND FUND FUND --------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1 and 2) $ 427,279 $ 3,468,812 $ 532,623 Cash 662 -- -- Receivable for Securities Sold (Note 1) 4,000 40,000 10,000 Investment Income Receivable (Note 1) 70 -- -- --------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 432,011 3,508,812 542,623 =============================================================================================================== LIABILITIES Payable for Fund Shares Redeemed 23 121 16 Cash Due to Custodian Bank -- 1,003 170 --------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 23 1,124 186 =============================================================================================================== NET ASSETS $ 431,988 $ 3,507,688 $ 542,437 =============================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 433,469 $ 3,567,094 $ 557,616 Undistributed Net Investment Income 108 -- -- Accumulated Net Realized Gain on Investments 1,494 13,137 2,869 Net Unrealized Depreciation on Investments (3,083) (72,543) (18,048) =============================================================================================================== NET ASSETS $ 431,988 $ 3,507,688 $ 542,437 =============================================================================================================== SHARES OUTSTANDING 17,216 140,231 22,159 NET ASSET VALUES $ 25.09 $ 25.01 $ 24.48
* THE COST OF SECURITIES AT VALUE IS $430,362, $3,541,355 AND $550,671, RESPECTIVELY. 12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. STATEMENTS OF OPERATIONS Year Ended December 31, 2006 --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO CONSERVATIVE MODERATE AGGRESSIVE FUND* FUND* FUND* ----------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends from Affiliates (Note 1) $ 5,449 $ 93,522 $ 26,166 ----------------------------------------------------------------------------------------------------------------------------- Total Income 5,449 93,522 26,166 ----------------------------------------------------------------------------------------------------------------------------- EXPENSES Custody Fees -- 16 -- ----------------------------------------------------------------------------------------------------------------------------- Total Expenses -- 16 -- ----------------------------------------------------------------------------------------------------------------------------- Net Investment Income 5,449 93,506 26,166 ============================================================================================================================= REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain on: Affiliated Investment Securities 1,713 14,227 3,402 ----------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain 1,713 14,227 3,402 ----------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Affiliated Investment Securities (3,083) (72,543) (18,048) ----------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (3,083) (72,543) (18,048) ----------------------------------------------------------------------------------------------------------------------------- Net Loss on Investments (1,370) (58,316) (14,646) ----------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 4,079 $ 35,190 $ 11,520 -----------------------------------------------------------------------------------------------------------------------------
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13 STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO CONSERVATIVE MODERATE AGGRESSIVE FUND FUND FUND ------------------------------------------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006* 2006* 2006* ------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income $ 5,449 $ 93,506 $ 26,166 Net Realized Gain on Investments 1,713 14,227 3,402 Net Change in Unrealized Appreciation (Depreciation) on Investments (3,083) (72,543) (18,048) ------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 4,079 35,190 11,520 ------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (5,341) (93,392) (26,105) Realized Gain on Investment (219) (1,204) (594) ------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (5,560) (94,596) (26,699) ========================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 428,198 3,481,200 592,929 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 5,560 94,596 26,699 COST OF SHARES REDEEMED (289) (8,702) (62,012) ========================================================================================================================= NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS 433,469 3,567,094 557,616 ------------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS 431,988 3,507,688 542,437 NET ASSETS--BEGINNING OF PERIOD -- -- -- ========================================================================================================================= NET ASSETS--END OF PERIOD $ 431,988 $ 3,507,688 $ 542,437 ========================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 108 $ -- $ -- =========================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. 14 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. 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.
NET INCREASE IN NET REALIZED NET ASSET DISTRIBUTIONS NET ASSET AND VALUE DISTRIBUTIONS FROM NET VALUE, NET UNREALIZED RESULTING FROM NET REALIZED BEGINNING INVESTMENT LOSSES ON FROM INVESTMENT CAPITAL TOTAL YEAR ENDED OF PERIOD INCOME+ SECURITIES OPERATIONS INCOME GAINS DISTRIBUTIONS ------------------------------------------------------------------------------------------------------------------------------------ ESSENTIAL PORTFOLIO CONSERVATIVE FUND DECEMBER 31, 2006* $25.00 $ .45 $ (.02) $.43 $ (.33) $ (.01) $ (.34) ESSENTIAL PORTFOLIO MODERATE FUND DECEMBER 31, 2006* 25.00 1.35 (.61) .74 (.72) (.01) (.73) ESSENTIAL PORTFOLIO AGGRESSIVE FUND DECEMBER 31, 2006* 25.00 1.85 (1.10) .75 (1.24) (.03) (1.27) RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET (DECREASE) ASSET NET ASSETS, IN NET VALUE, TOTAL NET PORTFOLIO END OF ASSET END OF INVESTMENT TOTAL INVESTMENT TURNOVER PERIOD (000'S YEAR ENDED VALUE PERIOD RETURN EXPENSES++ INCOME** RATE*** OMITTED) ------------------------------------------------------------------------------------------------------------------------ ESSENTIAL PORTFOLIO CONSERVATIVE FUND DECEMBER 31, 2006* $ .09 $25.09 1.71% -- 9.77% 18% $ 432 ESSENTIAL PORTFOLIO MODERATE FUND DECEMBER 31, 2006* .01 25.01 2.98% -- 28.35% 20% 3,508 ESSENTIAL PORTFOLIO AGGRESSIVE FUND DECEMBER 31, 2006* (.52) 24.48 3.02% -- 39.87% 34% 542
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. ** INCOME RATIOS FOR THE YEAR ENDED DECEMBER 31, 2006 WERE CALCULATED FOR AN ABBREVIATED TIME FRAME AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE, AND ARE ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ DOES NOT INCLUDE EXPENSES OF THE UNDERLYING FUNDS IN WHICH THE FUNDS INVEST. THE ANNUALIZED WEIGHTED AVERAGE EXPENSE RATIOS OF THE UNDERLYING FUNDS IN WHICH THE ESSENTIAL PORTFOLIO CONSERVATIVE FUND, THE ESSENTIAL PORTFOLIO MODERATE FUND, AND THE ESSENTIAL PORTFOLIO AGGRESSIVE FUND INVEST ARE 1.44%, 1.53%, AND 1.58%, RESPECTIVELY. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15 NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION The Rydex Variable Trust (the "Trust "), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the "1940 Act ") as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. At December 31, 2006, the Trust consisted of fifty-five operating Funds: twenty-five Benchmark Funds, one Money Market Fund, one Absolute Return Strategies Fund, one Hedged Equity Fund, nineteen Sector Funds, two Strategic Funds, three Essential Portfolio Funds, and three CLS AdvisorOne Funds. This report covers the Essential Portfolio Funds (the "Funds"), while the Benchmark Funds, the Absolute Return Strategies Fund, the Hedged Equity Fund, the Money Market Fund, Sector Funds, the Strategic Funds and the CLS AdvisorOne Funds are contained in separate reports. Rydex Investments (the "Advisor") serves as the investment advisor to the Funds and is responsible for the Funds' overall administration. Rydex Distributors, Inc. (the "Distributor ") acts as principal underwriter for the Trust. SIGNIFICANT ACCOUNTING POLICIES The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. Traditional open-end investment companies ("Mutual Funds ") are valued at their Net Asset Value (the "NAV") as of the close of business, usually 4:00 p.m., Eastern Time, on the valuation date. Exchange Traded Funds ("ETFs") and closed-end investment companies ("closed-end funds") are valued at the last quoted sales price. Equity securities of the underlying funds listed on an exchange (New York Stock Exchange ("NYSE") or American Stock Exchange) are valued at the last quoted sales price as of close of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date. Equity securities of the underlying funds listed on the Nasdaq market system are valued at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options held by the underlying funds are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. Over-the-Counter options held by the underlying funds are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the underlying funds are 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 held by the underlying funds are valued at the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, 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., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities held by the underlying funds are valued at amortized cost, which approximates market value. Structured notes are valued in accordance with the terms of their agreement at the value of the underlying index close, usually 4:00 p.m., Eastern Time, adjusted for any interest accruals and financing charges. If the securities comprising the underlying index cease trading before the underlying fund's close of business, the index will be fair valued with the use of an appropriate market indicator. The value of domestic equity index and credit default swap agreements entered into by the underlying funds 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, usually 4:00 p.m., Eastern Time. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. The value of foreign equity index and currency index swap agreements entered into by an underlying fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE, usually 4:00 p.m., Eastern Time. In the event that no order is filled at 4:00 p.m., Eastern Time, the security dealer provides a fair value quote at which the swap agreement is valued. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. Investments of the underlying funds, including structured notes, for which market quotations are not readily available are valued at fair value as determined in good faith by the Advisor, an affiliated entity under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, 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; and (iii) other 16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- information and considerations, including current values in related markets. B. Securities 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 of the underlying funds 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. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. C. Distributions of net investment income and distributions of net realized capital gains are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. D. When a Fund, or an underlying Absolute Return Strategies Fund, and/or Hedged Equity Fund engages in a short sale, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund and/or underlying funds maintain a segregated account of cash and/or securities as collateral for short sales. The Fund and/or underlying funds are exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund and/or underlying funds must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the purchaser and records this as an expense. E. Upon the purchase of an option by an underlying fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the underlying fund will realize a loss in the amount of the cost of the option. When the underlying fund enters into a closing sale transaction, the underlying fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When an underlying fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When an underlying fund exercises a call option, the cost of the security that the underlying fund purchases upon exercise will be increased by the premium originally paid. When an underlying fund writes (sells) an option, an amount equal to the premium received is entered in the underlying fund's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the underlying fund enters into a closing purchase transaction, the underlying fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). F. The underlying funds may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, an underlying fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the underlying 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 underlying fund as unrealized gains or losses. When the contract is closed, the underlying fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. G. The underlying funds may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index, or credit default in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index, or credit default. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. In accordance with a Revenue Ruling issued by the Internal Revenue Service (the "IRS"), the underlying Commodities Fund ceased investing in commodity index swaps after September 30, 2006. H. The underlying funds may invest in structured notes, which are over-the-counter contracts linked to the performance of an underlying benchmark such as interest rates, equity markets, equity indices, commodities indices, corporate credits or foreign exchange markets. A structured note is a type of bond in which an issuer borrows money from investors and pays back the principal, adjusted for performance of the underlying benchmark, at a specified maturity date. In addition, the contract may require periodic interest payments. Structured notes are THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- used to obtain exposure to a market without owning or taking physical custody of securities or commodities. I. The underlying funds' investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The underlying funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates. J. The underlying funds may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, an underlying fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts is measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. K. The underlying funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. L. The Funds and/or underlying funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund or underlying fund may have cash due to 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. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements. M. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates reflect the discount rates paid at the time of purchase by the underlying funds. Other securities bear interest payable at fixed dates through maturity. N. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported 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. 2. FINANCIAL INSTRUMENTS As part of their investment strategies, the underlying funds may utilize a variety of derivative instruments, including options, futures, options on futures, structured notes, swap agreements, and short sales. 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. In the normal course of business, the underlying funds enter into contracts that contain a variety of representations and warranties, which provide general indemnifications. The underlying funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the underlying funds and/or its affiliates that have not yet occurred. However, based on experience, the underlying funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by an underlying fund involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that an underlying fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that an underlying fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In 18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market. There are several risks associated with the use of structured notes. Structured securities are leveraged, providing an exposure to the underlying benchmark of three times the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes an underlying fund invests in which may make it difficult for the underlying fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless the Advisor believes that the issuer is creditworthy, an underlying fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The use of swaps involves risks that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, the underlying funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor," receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The underlying fund may enter into credit default swaps in which the underlying fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the underlying fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value. Interest rate swap contracts involve the exchange of commitments to pay and receive interest based on a notional principal amount. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which a Fund or an underlying Absolute Return Strategies Fund, and/or Hedged Equity Fund sells a security it does not own. If the security the Fund and /or underlying funds sold short goes down in price between the time the Fund and/or underlying funds sell the security and closes its short position, the Fund and/or underlying funds will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund and/or underlying funds will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. Short Dividends or Interest Expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, the underlying funds are required to maintain collateral in various forms. The underlying 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 each underlying fund. The risks inherent in the use of options, futures contracts, options on futures contracts, structured notes, swap agreements, as well as short sales of securities include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES As part of its agreement with the Trust, the Advisor will pay all expenses of the Essential Portfolios, including the cost of transfer agency, fund administration, audit and other services, excluding interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses. Each Fund will also indirectly bear a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other underlying fund expenses) of THE RYDEX VARIABLE TRUST ANNUAL REPORT | 19 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- the underlying funds in which the Funds invest. In addition, some underlying funds charge redemption fees if a shareholder, including a Fund, redeems shares before the end of the funds' requisite holding period. Therefore, if a Fund sells shares of an underlying fund that are subject to a redemption fee, the Fund will be responsible for paying the redemption fee to the underlying fund. Rydex Investments, an affiliated entity, provides transfer agent and administrative services to the Funds. However, the related fees are paid by the Advisor, as noted above. Rydex Investments also provides accounting services to the Funds. However, the related fees are paid by the Advisor, as noted above. Certain officers and trustees of the Trust are also officers of Rydex Investments. 4. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision is required. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This may include net operating losses not utilized during the current period and the expiration of capital loss carryforward. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. The Fund's tax basis capital gains and losses are determined only at the end of each fiscal year. Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. The tax character of distributions paid during 2006 was as follows:
ORDINARY LONG-TERM TOTAL FUND INCOME CAPITAL GAIN DISTRIBUTIONS ---------------------------------------------------------------------------------------------------- Essential Portfolio Conservative Fund $ 5,560 $ -- $ 5,560 Essential Portfolio Moderate Fund 93,506 1,090 94,596 Essential Portfolio Aggressive Fund 26,166 533 26,699
The tax character of distributable earnings/(accumulated losses) at December 31, 2006, was a follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY LONG-TERM NET UNREALIZED CAPITAL LOSS FUND INCOME CAPITAL GAIN DEPRECIATION CARRYFORWARD ---------------------------------------------------------------------------------------------------- Essential Portfolio Conservative Fund $ 15 $ 2,009 $ (3,505) $ -- Essential Portfolio Moderate Fund -- 17,155 (76,561) -- Essential Portfolio Aggressive Fund -- 4,440 (19,619) --
At December 31, 2006, 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:
TAX TAX NET TAX UNREALIZED UNREALIZED UNREALIZED FUND COST GAIN LOSS LOSS ---------------------------------------------------------------------------------------------------- Essential Portfolio Conservative Fund $ 430,784 $ 1,224 $ (4,729) $ (3,505) Essential Portfolio Moderate Fund 3,545,373 7,691 (84,252) (76,561) Essential Portfolio Aggressive Fund 522,242 1,358 (20,977) (19,619)
5. SECURITIES TRANSACTIONS During the year ended December 31, 2006, cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
ESSENTIAL ESSENTIAL ESSENTIAL PORTFOLIO PORTFOLIO PORTFOLIO CONSERVATIVE MODERATE AGGRESSIVE FUND FUND FUND ---------------------------------------------------------------------------------------------------- Purchases $ 486,335 $ 3,947,338 $ 680,165 Sales $ 55,770 $ 403,075 $ 128,421
20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 6. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the year presented were:
PURCHASED THROUGH NET SHARES SHARES PURCHASED DIVIDEND REINVESTMENT SHARES REDEEMED PURCHASED ---------------------------------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2006 2006 2006 ---------------------------------------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND* 17,005 222 (11) 17,216 ESSENTIAL PORTFOLIO MODERATE FUND* 136,774 3,802 (345) 140,231 ESSENTIAL PORTFOLIO AGGRESSIVE FUND* 23,487 1,098 (2,426) 22,159
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 27, 2006. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21 NOTES TO FINANCIAL STATEMENTS (CONCLUDED) -------------------------------------------------------------------------------- 7. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48"Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact on the financial statements has not yet been determined. On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations on an entity's financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. Adoption of FAS 157 is required for fiscal years beginning after November 15, 2007. The standard is not expected to materially impact the Funds' financial statements. 22 | THE RYDEX VARIABLE TRUST ANNUAL REPORT REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of Rydex Variable Trust: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Essential Portfolio Conservative Fund, Essential Portfolio Moderate Fund, and Essential Portfolio Aggressive Fund (three of the funds of the Rydex Variable Trust, hereafter referred to as the "Funds") at December 31, 2006, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Baltimore, Maryland February 23, 2007 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23 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 practices. The Funds' distributions to shareholders included:
ESSENTIAL ESSENTIAL ESSENTIAL PORTFOLIO PORTFOLIO PORTFOLIO CONSERVATIVE MODERATE AGGRESSIVE FUND FUND FUND ------------------------------------------------------------------------------------------------- From short-term capital gains: $ 219 $ 1,204 $ 594 From long-term capital gains, subject to the 15% rate gains category: -- 1,090 533
PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's website at http://www.sec.gov. 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 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Variable Trust Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Variable Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: 24 | THE RYDEX VARIABLE TRUST ANNUAL REPORT OTHER INFORMATION (UNAUDITED) (CONTINUED) -------------------------------------------------------------------------------- NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered Rydex Investments' investment processes and strategies, and matters related to Rydex Investments' portfolio transaction policies and procedures. In particular, the Board noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 25 OTHER INFORMATION (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of the majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. 26 | THE RYDEX VARIABLE TRUST ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- -------------------- CARL G. VERBONCOEUR* Rydex Series Funds - 2004 146 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Investments (2000 to 2003) -------------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 146 Trustee, Vice President (1970) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Investments (2004 to present); Chief Operating Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to 2004) -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- -------------------- JOHN O. DEMARET Rydex Series Funds - 1997 139 Trustee, Chairman of the Board Rydex Variable Trust - 1998 (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired -------------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 139 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) -------------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 139 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group -------------------------------- THE RYDEX VARIABLE TRUST ANNUAL REPORT | 27 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONTINUED) --------------------------------------------------------------------------------
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- -------------------- WERNER E. KELLER Rydex Series Funds - 2005 139 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) -------------------------------- THOMAS F. LYDON, JR. Rydex Series Funds - 2005 139 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments -------------------------------- PATRICK T. MCCARVILLE Rydex Series Funds - 1997 139 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. -------------------------------- ROGER SOMERS Rydex Series Funds - 1993 139 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS ------------------------- --------------------------- NICK BONOS* Chief Financial Officer of Rydex Specialized Products, LLC (2005 Vice President and Treasurer (1963) to present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Investments (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex Variable Chief Compliance Officer and Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Secretary (1966) Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Investments (2000 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS " OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. 28 | THE RYDEX VARIABLE TRUST ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED) -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS ------------------------- --------------------------- JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Assistant Treasurer (1966) Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Investments (2004 to present); Director of Accounting of Rydex Investments (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of the Rydex Series Funds, Rydex Variable Trust, Rydex Controller (1974) Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Investments (2001 to present)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS " OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 29 [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800.820.0888 RVAEP-2-1206x1207 DECEMBER 31, 2006 RYDEX VARIABLE TRUST CLS ADVISORONE FUNDS ANNUAL REPORT AMERIGO FUND CLERMONT FUND BEROLINA FUND [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ................................................ 2 ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 3 PERFORMANCE REPORTS AND FUND PROFILES ..................................... 5 SCHEDULES OF INVESTMENTS .................................................. 8 STATEMENTS OF ASSETS AND LIABILITIES ...................................... 11 STATEMENTS OF OPERATIONS .................................................. 12 STATEMENTS OF CHANGES IN NET ASSETS ....................................... 13 FINANCIAL HIGHLIGHTS ...................................................... 14 NOTES TO FINANCIAL STATEMENTS ............................................. 15 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM ................... 22 OTHER INFORMATION ......................................................... 23 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 25 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS -------------------------------------------------------------------------------- DEAR SHAREHOLDER: In many ways, 2006 was a surprising year for investors. Equity markets turned in an unexpectedly strong performance, based in large part on a powerful year-end rally. For much of 2006, stock prices were kept in check by inflation and interest rate concerns. One of the most noteworthy developments of the year was that the Federal Reserve ("Fed") called a halt to its two-year interest rate raising campaign in an effort to see if the 17 consecutive increases in short-term rates enacted over the prior two years had been enough to slow economic growth and cool inflationary pressures. Throughout 2006, stock prices reacted to two major inputs--the price of oil and the direction of future interest rate policy. The pause in interest rate hikes by the Fed changed the debate from when would they stop to when will they ease. Oil prices, which had been on a relentless climb going back to the days prior to hurricane Katrina, finally broke after a first-half rally brought the price of oil to $77/barrel in mid July. By the end of the year, oil ended up 3% lower than where it began at $61/barrel. Underlying this was the hope that the economy would achieve a soft landing--slowing enough to give the Fed latitude to ease, but not enough to tip the economy into recession. The major risk in 2006 was housing. As the housing "bubble" burst, it had--and still has--the potential to pull the economy into recession. Stock price behavior, particularly in the fourth quarter, indicates that most observers believed the economy has dodged that bullet. Stocks rallied modestly at the beginning of 2006 then pulled back in the May-July period on concerns about inflationary pressures and additional rate hikes by the Fed. With the economy slowing and inflationary pressures easing, markets rallied strongly in the fourth quarter, pushing the benchmark Dow Jones Industrial Average(SM) and S&P 500(R) indices to 19.05% and 15.79% gains, respectively, on a total return basis for the year. Although it was a bit of a seesaw battle, investors expressed a preference for small-capitalization stocks as the small-cap Russell 2000(R) Index rose 18.37%, beating the large-cap Russell 1000(R) Index by 2.76%. The growth vs. value battle was less of a toss-up as the Russell 1000(R) Value Index soared 22.46% compared to 9.15% for the Russell 1000(R) Growth Index. In this buoyant environment, all 10 S&P 500 sector indices turned in positive performances. In fact, only two indices in this series--health care and information technology--did not achieve double-digit returns. The standout performer was telecommunications, which rose a stunning 36.74%. The S&P Energy Index, riding the wave of record global economic growth, rose 24.21%, followed by the Consumer Discretionary Index, which was up 18.64%, buoyed by a seemingly inexhaustible propensity for consumers to spend. Interest rates rose modestly in 2006 as the yield curve inverted, indicating that fixed-income investors anticipate a significant economic slowdown going forward. Looking into 2007, we think it is likely that economic growth will be slower but not recessionary. In that environment we expect stocks to cool off, if not retreat a bit. That should give the Fed room to ease interest rates, which should push stock prices up again. We do not, however, expect those conditions to unfold until the second half of 2007. Thank you for placing your trust in Rydex Investments. Sincerely, /s/David C. Reilly David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX VARIABLE TRUST ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) -------------------------------------------------------------------------------- All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. As a shareholder of the Fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; 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 you understand your ongoing costs (in dollars) of investing in the 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 June 30, 2006 and ending December 31, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you 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. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your 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 you 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. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by the Fund. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for up to the past five years, in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate fund prospectus. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 3 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED)(CONCLUDED) --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ JUNE 30, 2006 DECEMBER 31, 2006 PERIOD* ---------------------------------------------------------------------------------------------------------- TABLE 1. BASED ON ACTUAL FUND RETURN Amerigo Fund 1.63% $ 1,000.00 $ 1,123.00 $ 8.72 Clermont Fund 1.63% 1,000.00 1,083.40 8.56 Berolina Fund** 1.63% 1,000.00 1,029.60 2.27 ---------------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN Amerigo Fund 1.63% 1,000.00 1,016.88 8.32 Clermont Fund 1.63% 1,000.00 1,016.88 8.32 Berolina Fund** 1.63% 1,000.00 1,016.88 8.32
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. EXPENSES SHOWN DO NOT INCLUDE FEES CHARGED BY INSURANCE COMPANIES. ** SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006. + ANNUALIZED 4 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED) -------------------------------------------------------------------------------- AMERIGO FUND OBJECTIVE: Amerigo seeks capital appreciation and long-term growth of capital without regard to current income. The fund pursues its investment objective by investing primarily in exchange traded funds ("ETFs"), closed-end investment companies and individual securities. INCEPTION: July 1, 2003 Over the past year, Amerigo returned +12.30%. Over this same period, Amerigo's performance benchmark, the S&P 500 Index, had a total return of +15.79%. Underperformance during the third quarter was not entirely offset by the fund's outperformance during the fourth quarter of 2006. The key characteristic of this one year period was the dramatic change in investor behavior from that of risk aversion back to risk seeking with the markets reaching their low point during July and their highs during December. As risk once again began to be rewarded, the asset classes that showed outperformance also began to change. As a result, several portfolio changes were made during the year. Specifically, cash was reduced from approximately 16% of the portfolio to less than 3%. Exposure to the technology sector, which was previously underweighted relative to the S&P 500 Index, was changed to overweight. Additionally, the overall market capitalization of the portfolio was reduced, with additional investment being made to domestic small and mid-cap securities. Over this same period of time, positions in consumer staples and energy sectors were reduced. Positions in the large-cap value and large-cap blend asset classes were also reduced. CUMULATIVE FUND PERFORMANCE: JULY 1, 2003 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE AMERIGO FUND S&P 500 INDEX 7/1/2003 10,000 10,000 7/31/2003 10,040 10,094 8/31/2003 10,368 10,290 9/30/2003 10,316 10,181 10/31/2003 10,952 10,757 11/30/2003 11,084 10,852 12/31/2003 11,596 11,421 1/31/2004 11,812 11,631 2/29/2004 12,012 11,792 3/31/2004 12,016 11,614 4/30/2004 11,476 11,432 5/31/2004 11,536 11,589 6/30/2004 11,764 11,814 7/31/2004 11,324 11,423 8/31/2004 11,424 11,469 9/30/2004 11,617 11,594 10/31/2004 11,845 11,771 11/30/2004 12,433 12,247 12/31/2004 12,882 12,664 1/31/2005 12,586 12,355 2/28/2005 13,014 12,615 3/31/2005 12,662 12,392 4/30/2005 12,381 12,157 5/31/2005 12,714 12,543 6/30/2005 12,786 12,561 7/31/2005 13,362 13,028 8/31/2005 13,318 12,910 9/30/2005 13,652 13,014 10/31/2005 13,247 12,797 11/30/2005 13,806 13,281 12/31/2005 14,082 13,286 1/31/2006 14,742 13,638 2/28/2006 14,661 13,675 3/31/2006 14,843 13,845 4/30/2006 15,045 14,031 5/31/2006 14,430 13,627 6/30/2006 14,337 13,645 7/31/2006 14,248 13,729 8/31/2006 14,547 14,056 9/30/2006 14,770 14,418 10/31/2006 15,252 14,888 11/30/2006 15,669 15,171 12/31/2006 15,819 15,384 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (07/01/03) -------------------------------------------------------------------------------- AMERIGO FUND 12.30% 13.99% S&P 500 INDEX 15.79% 13.09% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] INDUSTRIES AMERIGO FUND ------------------------------------------------------------- Common Stock 1.3% Exchange Traded Funds 96.2% Money Market Mutual Funds 2.3% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) ------------------------------------------------------------------------------- Nasdaq-100 Index Tracking Stock 14.8% iShares Russell 1000 Growth Index Fund 13.5% iShares MSCI EAFE Index Fund 8.8% Vanguard Mid-Cap 8.0% SPDR Trust Series 1 7.3% iShares MSCI Emerging Markets Index Fund 5.8% Vanguard Value 4.6% iShares Russell Midcap Growth Index Fund 4.4% iShares Russell 1000 Value Index Fund 4.2% iShares Russell 2000 Index Fund 4.0% -------------------------------------------------------------------------------- Top Ten Total 75.4% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 5 PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONTINUED) -------------------------------------------------------------------------------- CLERMONT FUND OBJECTIVE: The investment objective of Clermont is a combination of current income and growth of capital. Clermont invests primarily in equity ETFs, closed-end investment companies, individual common stock and fixed-income securities. Typically, Clermont invests approximately 45% of its portfolio in equities and 55% in fixed-income securities. By prospectus, at least 20% of total assets must be invested in fixed-income securities. INCEPTION: July 1, 2003 Clermont, a conservative balanced fund, for the year ending December 31, 2006, rose +8.34% as compared to the fund's benchmark, which had a total return of +9.42%. The blended index used for this comparison was comprised of 45% of the total return of the S&P 500 Index and 55% of the return of the Lehman Brothers 1-5 Year Government Credit Index. Underperformance during the third quarter was not entirely offset by the fund's outperformance during the fourth quarter of 2006. As the summer progressed, investor behavior became less risk averse and stocks began to outperform fixed-income securities. During this period of time, Clermont's equity exposure was increased in an effort to "overweight" equities and "underweight" fixed-income securities to take advantage of this trend change. Positions in large-cap value and large-cap blend were reduced with modest increases in technology and international equities. CUMULATIVE FUND PERFORMANCE: JULY 1, 2003 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE CLERMONT FUND S&P 500 INDEX 7/1/2003 10,000 10,000 7/31/2003 9,748 10,094 8/31/2003 9,880 10,290 9/30/2003 10,056 10,181 10/31/2003 10,288 10,757 11/30/2003 10,424 10,852 12/31/2003 10,820 11,421 1/31/2004 10,940 11,631 2/29/2004 11,096 11,792 3/31/2004 11,176 11,614 4/30/2004 10,732 11,432 5/31/2004 10,788 11,589 6/30/2004 10,884 11,814 7/31/2004 10,740 11,423 8/31/2004 10,840 11,469 9/30/2004 10,904 11,594 10/31/2004 11,016 11,771 11/30/2004 11,245 12,247 12/31/2004 11,457 12,664 1/31/2005 11,305 12,355 2/28/2005 11,469 12,615 3/31/2005 11,289 12,392 4/30/2005 11,201 12,157 5/31/2005 11,329 12,543 6/30/2005 11,373 12,561 7/31/2005 11,610 13,028 8/31/2005 11,590 12,910 9/30/2005 11,720 13,014 10/31/2005 11,489 12,797 11/30/2005 11,732 13,281 12/31/2005 11,902 13,286 1/31/2006 12,246 13,638 2/28/2006 12,210 13,675 3/31/2006 12,331 13,845 4/30/2006 12,432 14,031 5/31/2006 12,149 13,627 6/30/2006 12,064 13,645 7/31/2006 12,076 13,729 8/31/2006 12,234 14,056 9/30/2006 12,364 14,418 10/31/2006 12,602 14,888 11/30/2006 12,805 15,171 12/31/2006 12,899 15,384 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE ONE INCEPTION YEAR (07/01/03) -------------------------------------------------------------------------------- CLERMONT FUND 8.34% 7.54% S&P 500 INDEX 15.79% 13.09% SYNTHETIC BALANCED BENCHMARK* 9.42% 28.02% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. * BENCHMARK REFLECTS A 45/55 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX AND THE LEHMAN BROTHERS 1-5 YEAR GOVERNMENT CREDIT INDEX. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] INDUSTRIES CLERMONT FUND ------------------------------------------------------------- Common Stock 1.3% Exchange Traded Funds 74.2% Money Market Mutual Fund 22.3% Mutual Funds 2.1% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) ------------------------------------------------------------------------------- First American Prime Obligations Fund 22.3% iShares Russell 1000 Value Index Fund 11.5% iShares Lehman Aggregate Bond Fund 10.4% SPDR Trust Series 1 9.9% iShares MSCI EAFE Index Fund 8.4% Vanguard Mid-Cap 7.8% iShares Lehman 7-10 Year Treasury Bond Fund 5.2% iShares Russell 1000 Growth Index Fund 4.5% iShares Morningstar Mid Core Index Fund 3.0% Vanguard Consumer Staples 2.7% -------------------------------------------------------------------------------- Top Ten Total 85.7% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 6 | THE RYDEX VARIABLE TRUST ANNUAL REPORT PERFORMANCE REPORTS AND FUND PROFILES (UNAUDITED)(CONCLUDED) -------------------------------------------------------------------------------- BEROLINA FUND OBJECTIVE: The investment objective of Berolina is a combination of growth of capital and total return. Berolina invests primarily in equity ETFs, closed-end investment companies, individual common stock and fixed-income securities. Typically, Berolina invests approximately 75% of its portfolio in equities and 25% in fixed-income securities. INCEPTION: November 10, 2006 Since its inception, Berolina gained +2.96%. Over this same period, Berolina's performance benchmark generated a total return of +2.37%. The blended index used for this comparison was comprised of 75% of the total return of the S&P 500 Index and 25% of the return of the Lehman Brothers 1-5 Year Government Credit Index. The key drivers of Berolina's performance over this brief period of time were an overweighting of equities and underweighting of fixed-income securities as well as the Fund's significant position in international securities, particularly Latin American. The overall market cap of Berolina's portfolio is less than that of its equity benchmark, the S&P 500 Index. CUMULATIVE FUND PERFORMANCE: NOVEMBER 10, 2006 - DECEMBER 31, 2006 [THE FOLLOWING TABLE WAS REPRESENTED AS A LINE GRAPH IN THE PRINTED MATERIAL.] DATE BEROLINA FUND S&P 500 INDEX 11/10/2006 10,000 10,000 11/11/2006 10,000 10,000 11/12/2006 10,000 10,000 11/13/2006 10,000 10,028 11/14/2006 10,028 10,093 11/15/2006 10,096 10,119 11/16/2006 10,092 10,143 11/17/2006 10,068 10,153 11/18/2006 10,068 10,153 11/19/2006 10,068 10,153 11/20/2006 10,088 10,148 11/21/2006 10,124 10,166 11/22/2006 10,164 10,190 11/23/2006 10,164 10,190 11/24/2006 10,140 10,154 11/25/2006 10,140 10,154 11/26/2006 10,140 10,154 11/27/2006 9,976 10,016 11/28/2006 10,008 10,053 11/29/2006 10,108 10,150 11/30/2006 10,168 10,158 12/1/2006 10,116 10,130 12/2/2006 10,116 10,130 12/3/2006 10,116 10,130 12/4/2006 10,228 10,220 12/5/2006 10,276 10,261 12/6/2006 10,248 10,251 12/7/2006 10,228 10,210 12/8/2006 10,212 10,229 12/9/2006 10,212 10,229 12/10/2006 10,212 10,229 12/11/2006 10,232 10,252 12/12/2006 10,204 10,242 12/13/2006 10,220 10,256 12/14/2006 10,300 10,346 12/15/2006 10,304 10,357 12/16/2006 10,304 10,357 12/17/2006 10,304 10,357 12/18/2006 10,252 10,324 12/19/2006 10,248 10,347 12/20/2006 10,252 10,332 12/21/2006 10,224 10,297 12/22/2006 10,187 10,243 12/23/2006 10,187 10,243 12/24/2006 10,187 10,243 12/25/2006 10,187 10,243 12/26/2006 10,244 10,288 12/27/2006 10,336 10,362 12/28/2006 10,320 10,347 12/29/2006 10,296 10,301 12/30/2006 10,296 10,301 12/31/2006 10,296 10,301 AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 12/31/06 -------------------------------------------------------------------------------- SINCE INCEPTION (11/10/06) -------------------------------------------------------------------------------- BEROLINA FUND 2.96% S&P 500 INDEX 3.01% SYNTHETIC BALANCED BENCHMARK* 2.37% -------------------------------------------------------------------------------- THE RETURNS PRESENTED ABOVE DO NOT REFLECT THE EFFECTS OF TAXES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. THE S&P 500 INDEX IS AN UNMANAGED STOCK INDEX AND, UNLIKE THE FUND, HAS NO MANAGEMENT FEES OR OTHER OPERATING EXPENSES TO REDUCE ITS REPORTED RETURNS. RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN PRINCIPAL AND REINVESTED DIVIDENDS AND CAPITAL GAINS. * BENCHMARK REFLECTS A 75/25 RATIO OF THE PERFORMANCE OF THE S&P 500 INDEX AND THE LEHMAN BROTHERS 1-5 YEAR GOVERNMENT CREDIT INDEX. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] SOI HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET INDUSTRIES ASSETS) ------------------------------------------------------------- [QUERY] Exchange Traded Funds 96.1% Money Market Mutual Funds 3.9% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) -------------------------------------------------------------------------------- iShares MSCI Emerging Markets Index Fund 8.6% iShares S&P Latin America 40 Index Fund 8.5% iShares Russell 2000 Index Fund 7.8% SPDR Trust Series 1 6.1% Nasdaq-100 Index Tracking Stock 5.8% Consumer Staples Select Sector SPDR Fund 5.1% iShares Russell Midcap Index Fund 5.0% iShares MSCI EAFE Index Fund 4.4% DIAMONDS Trust Series I 4.4% iShares Russell 1000 Growth Index Fund 4.1% -------------------------------------------------------------------------------- Top Ten Total 59.8% -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 7 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- AMERIGO FUND ------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 1.3% Berkshire Hathaway, Inc. -- Class A*+ 32 $ 3,519,680 --------------- TOTAL COMMON STOCKS (Cost $2,885,808) 3,519,680 --------------- EXCHANGE TRADED FUNDS 96.2% Nasdaq-100 Index Tracking Stock+ 957,000 41,304,120 iShares Russell 1000 Growth Index Fund+ 684,000 37,620,000 iShares MSCI EAFE Index Fund+ 335,000 24,542,100 Vanguard Mid-Cap 310,000 22,471,900 SPDR Trust Series 1+ 143,000 20,263,100 iShares MSCI Emerging Markets Index Fund+ 143,000 16,326,310 Vanguard Value+ 190,000 12,948,500 iShares Russell Midcap Growth Index Fund 120,000 12,378,000 iShares Russell 1000 Value Index Fund+ 143,000 11,807,510 iShares Russell 2000 Index Fund+ 142,000 11,087,360 Financial Select Sector SPDR Fund+ 271,000 9,956,540 iShares Russell Midcap Index Fund+ 73,000 7,301,460 Materials Select Sector SPDR Fund+ 191,000 6,662,080 Vanguard Pacific ETF+ 66,000 4,387,020 Industrial Select Sector SPDR Fund+ 107,000 3,746,070 iShares MSCI Singapore Index Fund 270,000 3,040,200 DIAMONDS Trust Series I 23,000 2,865,110 iShares MSCI Taiwan Index Fund, Inc.+ 190,000 2,756,900 iShares MSCI Netherlands Index Fund+ 100,000 2,626,000 Utilities Select Sector SPDR Fund+ 71,000 2,607,120 iShares MSCI Spain Index+ 48,000 2,569,920 iShares MSCI Germany Index Fund+ 95,000 2,559,300 iShares MSCI Mexico Index Fund+ 48,000 2,446,560 iShares Dow Jones U.S. Healthcare Sector Index Fund+ 34,000 2,257,940 Consumer Staples Select Sector SPDR Fund+ 80,000 2,088,800 iShares S&P Global Healthcare Sector Index Fund 5,000 285,900 --------------- TOTAL EXCHANGE TRADED FUNDS (Cost $236,400,430) 268,905,820 --------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- MUTUAL FUNDS 2.3% First American Prime Obligations Fund 6,475,169 $ 6,475,169 --------------- TOTAL MUTUAL FUNDS (Cost $6,475,167) 6,475,169 --------------- FACE AMOUNT ------------- SECURITIES LENDING COLLATERAL 43.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 7) $ 121,267,270 121,267,270 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $121,267,270) 121,267,270 --------------- TOTAL INVESTMENTS 143.2% (Cost $367,028,675) $ 400,167,939 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (43.2)% $ (120,757,932) =============== NET ASSETS - 100.0% $ 279,410,007 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 - SEE NOTE 7. 8 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- CLERMONT FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- COMMON STOCKS 1.3% Berkshire Hathaway, Inc. -- Class A*+ 12 $ 1,319,880 --------------- TOTAL COMMON STOCKS (Cost $1,037,837) 1,319,880 --------------- EXCHANGE TRADED FUNDS 74.3% iShares Russell 1000 Value Index Fund+ 139,000 11,477,230 iShares Lehman Aggregate Bond Fund+ 104,000 10,368,800 SPDR Trust Series 1+ 70,000 9,919,000 iShares MSCI EAFE Index Fund+ 114,000 8,351,640 Vanguard Mid-Cap+ 107,000 7,756,430 iShares Lehman 7-10 Year Treasury Bond Fund+ 63,000 5,194,980 iShares Russell 1000 Growth Index Fund+ 81,000 4,455,000 iShares Morningstar Mid Core Index Fund+ 36,000 2,963,880 Vanguard Consumer Staples VIPERs+ 43,000 2,743,400 Vanguard Health Care+ 44,000 2,507,120 iShares Morningstar Large Core Index Fund+ 30,000 2,268,000 Nasdaq-100 Index Tracking Stock+ 46,000 1,985,360 iShares Russell 2000 Index Fund+ 18,000 1,405,440 Vanguard Small-Cap ETF 18,000 1,227,960 Vanguard Emerging Markets+ 10,000 773,900 Utilities Select Sector SPDR Fund+ 19,000 697,680 --------------- TOTAL EXCHANGE TRADED FUNDS (Cost $64,051,655) 74,095,820 --------------- MUTUAL FUNDS 24.4% First American Prime Obligations Fund 22,246,175 22,246,175 Van Kampen Senior Income Trust+ 235,000 2,070,350 --------------- TOTAL MUTUAL FUNDS (Cost $24,213,351) 24,316,525 --------------- MARKET FACE VALUE AMOUNT (NOTE 1) ------------------------------------------------------------------------------- SECURITIES LENDING COLLATERAL 38.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bank (Note 7) $ 38,663,265 $ 38,663,265 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $38,663,265) 38,663,265 --------------- TOTAL INVESTMENTS 138.7% (Cost $127,966,108) $ 138,395,490 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (38.7)% $ (38,586,626) =============== NET ASSETS - 100.0% $ 99,808,864 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT DECEMBER 31, 2006 - SEE NOTE 7. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 9 SCHEDULE OF INVESTMENTS December 31, 2006 -------------------------------------------------------------------------------- BEROLINA FUND -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS 96.1% iShares MSCI Emerging Markets Index Fund 15,000 $ 1,712,550 iShares S&P Latin America 40 Index Fund 10,000 1,699,000 iShares Russell 2000 Index Fund 20,000 1,561,600 SPDR Trust Series 1 8,600 1,218,620 Nasdaq-100 Index Tracking Stock 27,000 1,165,320 Consumer Staples Select Sector SPDR Fund 39,000 1,018,290 iShares Russell Midcap Index Fund 10,000 1,000,200 iShares MSCI EAFE Index Fund 12,000 879,120 DIAMONDS Trust Series I 7,000 871,990 iShares Russell 1000 Growth Index Fund 15,000 825,000 iShares MSCI Mexico Index Fund 13,000 662,610 Vanguard Large-Cap ETF 10,000 629,500 Utilities Select Sector SPDR Fund 15,000 550,800 Vanguard Pacific ETF 8,000 531,760 iShares Russell 1000 Value Index Fund 6,000 495,420 Vanguard Emerging Markets VIPERs 6,000 464,340 Vanguard Mid-Cap 6,000 434,940 Industrial Select Sector SPDR Fund 11,000 385,110 iShares Lehman 20+ Year Treasury Bond Fund 4,000 353,680 Materials Select Sector SPDR Fund 10,000 348,800 iShares Lehman 7-10 Year Treasury Bond Fund 4,000 329,840 Technology Select Sector SPDR Fund 14,000 325,920 streetTracks Gold Trust* 5,000 316,100 Energy Select Sector SPDR Fund 4,000 234,520 Vanguard Growth ETF 4,000 231,840 Vanguard Materials ETF 3,200 226,304 iShares MSCI Spain Index 4,000 214,160 iShares Lehman Aggregate Bond Fund 2,000 199,400 Financial Select Sector SPDR Fund 3,700 135,938 Health Care Select Sector SPDR Fund 4,000 133,960 iShares MSCI United Kingdom Index Fund 2,000 46,800 --------------- TOTAL EXCHANGE TRADED FUNDS (Cost $19,175,351) 19,203,432 --------------- MARKET VALUE SHARES (NOTE 1) ------------------------------------------------------------------------------- MUTUAL FUNDS 3.9% First American Prime Obligations Fund 785,537 $ 785,537 --------------- TOTAL MUTUAL FUNDS (Cost $785,537) 785,537 --------------- TOTAL INVESTMENTS 100.0% (Cost $19,960,888) $ 19,988,969 =============== OTHER ASSETS IN EXCESS OF LIABILITIES - 0.0% $ 105 =============== NET ASSETS - 100.0% $ 19,989,074 * NON-INCOME PRODUCING SECURITY. 10 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. STATEMENTS OF ASSETS AND LIABILITIES December 31, 2006 --------------------------------------------------------------------------------
AMERIGO CLERMONT BEROLINA FUND FUND FUND ------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2 and 7) $ 400,167,939 $ 138,395,490 $ 19,988,969 Receivable for Fund Shares Sold 129,910 55,571 -- Investment Income Receivable (Note 1) 992,595 247,607 22,667 ------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 401,290,444 138,698,668 20,011,636 =================================================================================================================== LIABILITIES Payable upon Return of Securities Loaned (Note 7) 121,267,270 38,663,265 -- Payable for Fund Shares Redeemed 63,285 1,540 894 Investment Advisory Fees Payable (Note 3) 220,250 81,637 11,969 Transfer Agent and Administrative Fees Payable (Note 3) 61,181 22,677 3,325 Distribution and Service Fees Payable (Note 3) 61,181 22,677 3,325 Portfolio Accounting Fees Payable (Note 3) 23,834 9,071 1,330 Custody Fees Payable 6,363 2,358 346 Other Liabilities 177,073 86,579 1,373 ------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 121,880,437 38,889,804 22,562 =================================================================================================================== NET ASSETS $ 279,410,007 $ 99,808,864 $ 19,989,074 =================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital $ 243,674,440 $ 87,978,592 $ 19,961,091 Undistributed Net Investment Income 1,327,583 724,615 -- Accumulated Net Realized Gain (Loss) on Investments 1,268,720 676,275 (98) Net Unrealized Appreciation on Investments 33,139,264 10,429,382 28,081 =================================================================================================================== NET ASSETS $ 279,410,007 $ 99,808,864 $ 19,989,074 =================================================================================================================== SHARES OUTSTANDING 7,798,940 3,338,593 782,236 NET ASSET VALUES $ 35.83 $ 29.90 $ 25.55
* THE COST OF SECURITIES AT VALUE IS $367,028,675, $127,966,108 AND $19,960,888, RESPECTIVELY. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 11 STATEMENTS OF OPERATIONS Year Ended December 31, 2006 --------------------------------------------------------------------------------
AMERIGO CLERMONT BEROLINA FUND FUND FUND* ------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 14 $ 76,033 $ -- Income from Securities Lending, net (Note 7) 371,921 145,263 -- Dividends (Note 1) 4,788,826 3,395,128 166,908 ------------------------------------------------------------------------------------------------------------------- Total Income 5,160,761 3,616,424 166,908 ------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 2,106,722 1,032,384 12,234 Transfer Agent and Administrative Fees (Note 3) 585,201 286,773 3,398 Portfolio Accounting Fees (Note 3) 232,834 114,709 1,360 Trustees' Fees** 13,890 7,640 -- Service Fees (Note 3) 585,201 286,773 3,398 Custody Fees 55,581 27,128 346 Miscellaneous 254,307 123,649 1,380 ------------------------------------------------------------------------------------------------------------------- Total Expenses 3,833,736 1,879,056 22,116 ------------------------------------------------------------------------------------------------------------------- Net Investment Income 1,327,025 1,737,368 144,792 =================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 18,537,047 3,172,515 (98) ------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 18,537,047 3,172,515 (98) ------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 8,752,483 4,410,733 28,081 ------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 8,752,483 4,410,733 28,081 ------------------------------------------------------------------------------------------------------------------- Net Gain on Investments 27,289,530 7,583,248 27,983 ------------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS FROM OPERATIONS $ 28,616,555 $ 9,320,616 $ 172,775 ===================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT. 12 | THE RYDEX VARIABLE TRUST ANNUAL REPORT See Notes to Financial Statements. STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
AMERIGO FUND CLERMONT FUND BEROLINA FUND ------------------------------------------------------------------------------------------------------------------------ YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 2006* ------------------------------------------------------------------------------------------------------------------------ FROM OPERATIONS Net Investment Income $ 1,327,025 $ 246,208 $ 1,737,368 $ 1,123,446 $ 144,792 Net Realized Gain (Loss) on Investments 18,537,047 5,956,278 3,172,515 1,978,414 (98) Net Change in Unrealized Appreciation (Depreciation) on Investments 8,752,483 10,054,641 4,410,733 1,010,027 28,081 ------------------------------------------------------------------------------------------------------------------------ Net Increase in Net Assets from Operations 28,616,555 16,257,127 9,320,616 4,111,887 172,775 ------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income (246,208) (233,712) (2,136,199) (615,717) (146,400) Realized Gain on Investment (22,917,409) (1,851,840) (4,371,169) (349,246) -- ------------------------------------------------------------------------------------------------------------------------ Total Distributions to Shareholders (23,163,617) (2,085,552) (6,507,368) (964,963) (146,400) ======================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 81,902,262 67,179,144 26,167,078 32,167,204 20,302,822 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT 23,163,617 2,085,552 6,507,368 964,963 146,400 COST OF SHARES REDEEMED (27,601,568) (14,002,795) (44,346,226) (18,703,573) (486,523) ======================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 77,464,311 55,261,901 (11,671,780) 14,428,594 19,962,699 ------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN NET ASSETS 82,917,249 69,433,476 (8,858,532) 17,575,518 19,989,074 NET ASSETS--BEGINNING OF PERIOD 196,492,758 127,059,282 108,667,396 91,091,878 -- ======================================================================================================================== NET ASSETS--END OF PERIOD $ 279,410,007 $ 196,492,758 $ 99,808,864 $ 108,667,396 $ 19,989,074 ======================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME--END OF PERIOD $ 1,327,583 $ 246,766 $ 724,615 $ 1,123,446 $ -- ========================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006. See Notes to Financial Statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 13 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.
NET REALIZED DISTRIBUTIONS NET ASSET AND NET INCREASE DISTRIBUTIONS FROM NET VALUE, NET UNREALIZED IN NET ASSET FROM NET REALIZED BEGINNING INVESTMENT GAINS VALUE RESULTING INVESTMENT CAPITAL YEAR ENDED OF PERIOD INCOME+ ON SECURITIES FROM OPERATIONS INCOME GAINS ----------------------------------------------------------------------------------------------------------- AMERIGO FUND DECEMBER 31, 2006 $34.78 $ .21 $ 4.06 $ 4.27 $ (.03) $ (3.19) December 31, 2005 32.18 .05 2.94 2.99 (.04) (.35) December 31, 2004 28.99 .08 3.13 3.21 (.02) -- December 31, 2003* 25.00 .07 3.92 3.99 -- -- CLERMONT FUND DECEMBER 31, 2006 29.41 .46 1.98 2.44 (.64) (1.31) December 31, 2005 28.57 .33 .78 1.11 (.17) (.10) December 31, 2004 27.05 .32 1.27 1.59 (.07) -- December 31, 2003* 25.00 .29 1.76 2.05 -- -- BEROLINA FUND DECEMBER 31, 2006* 25.00 .40 .34 .74 (.19) -- RATIOS TO AVERAGE NET ASSETS: ----------- NET NET ASSET NET ASSETS, INCREASE IN VALUE, TOTAL NET PORTFOLIO END OF TOTAL NET ASSET END OF INVESTMENT TOTAL INVESTMENT TURNOVER PERIOD (000'S YEAR ENDED DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES INCOME RATE*** OMITTED) ------------------------------------------------------------------------------------------------------------------------------ AMERIGO FUND DECEMBER 31, 2006 $ (3.22) $ 1.05 $35.83 12.30% 1.64% 0.57% 299% $ 279,410 December 31, 2005 (.39) 2.60 34.78 9.35% 1.64% 0.15% 82% 196,493 December 31, 2004 (.02) 3.19 32.18 11.09% 1.63% 0.27% 149% 127,059 December 31, 2003* -- 3.99 28.99 15.96% 1.71%** 0.53%** 63% 45,839 CLERMONT FUND DECEMBER 31, 2006 (1.95) .49 29.90 8.34% 1.63% 1.51% 197% 99,809 December 31, 2005 (.27) .84 29.41 3.92% 1.64% 1.15% 129% 108,667 December 31, 2004 (.07) 1.52 28.57 5.89% 1.63% 1.17% 124% 91,092 December 31, 2003* -- 2.05 27.05 8.20% 1.71%** 2.29%** 113% 22,277 BEROLINA FUND DECEMBER 31, 2006* (.19) .55 25.55 2.96% 1.63%** 10.65%**++ 13% 19,989
* SINCE THE COMMENCEMENT OF OPERATIONS: JULY 1, 2003 -- AMERIGO FUND AND CLERMONT FUND; NOVEMBER 10, 2006 -- BEROLINA FUND. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ INCOME RATIO FOR THE YEAR ENDED DECEMBER 31, 2006 WAS CALCULATED FOR AN ABBREVIATED TIME FRAME AND IS NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. 14 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES ORGANIZATION The Rydex Variable Trust (the "Trust"), a Delaware business trust, is registered with the SEC under the Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended investment company and is authorized to issue an unlimited number of no par value shares. At December 31, 2006, the Trust consisted of fifty-five operating Funds: twenty-five Benchmark Funds, one Money Market Fund, one Absolute Return Strategies Fund, one Hedged Equity Fund, nineteen Sector Funds, two Strategic Funds, three Essential Portfolio Funds, and three CLS AdvisorOne Funds. This report covers the CLS AdvisorOne Funds (the "Funds"), while the Benchmark Funds, the Absolute Return Strategies Fund, the Hedged Equity Fund, the Money Market Fund, the Sector Funds, the Strategic Funds and the Essential Portfolio Funds are contained in separate reports. Rydex Investments (the "Advisor") serves as the investment advisor to the Funds and is responsible for the Funds' overall administration. Clarke Lanzen Skalla Investment Firm, LLC serves as investment sub-advisor to the Funds and is responsible for the day-to-day management of each Fund's portfolio. Rydex Distributors, Inc. (the "Distributor") acts as principal underwriter for the Trust. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts. SIGNIFICANT ACCOUNTING POLICIES The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. Traditional open-end investment companies ("Mutual Funds") are valued at their Net Asset Value (the "NAV") as of the close of business, usually 4:00 p.m., Eastern Time, on the valuation date. Exchange Traded Funds ("ETFs") and closed-end investment companies ("closed-end funds") are valued at the last quoted sales price. 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 close of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date. Equity securities listed on the Nasdaq market system are valued at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Over-the-Counter options held by the Trust are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the Trust are 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 last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, 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., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities, if any, are valued at amortized cost, which approximates market value. The value of domestic equity index swap agreements entered into by the Funds 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, usually 4:00 p.m., Eastern Time. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. Investments for which market quotations are not readily available are valued at fair value as determined in good faith by the Advisor, an affiliated entity under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, 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; and (iii) other information and considerations, including current values in related markets. B. Securities 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. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. C. Distributions of net investment income and net realized capital gains are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. D. When a Fund engages in a short sale, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A segregated account of cash and/or securities is maintained as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the purchaser and records this as an expense. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 15 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- E. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security that the Fund purchases upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in the Fund's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). F. The Trust may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. G. The Trust may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index, or U.S. Dollar index, in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index, or U.S. Dollar index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. H. The Funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. I. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to 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. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements. J. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the discount rates paid at the time of purchase by a Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity. K. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported 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. 2. FINANCIAL INSTRUMENTS As part of its investment strategy, the Trust may utilize a variety of derivative instruments, including options, futures, options on futures, and swap agreements. 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. In 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 its affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by a Fund involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the 16 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market. The use of equity swaps involves risks that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, a Fund does bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which the Fund sells a security it does not own. If the security the Fund sold short goes down in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. Short Dividends or Interest Expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, 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 each Fund. The risks inherent in the use of options, futures contracts, options on futures contracts, swap agreements as well as short sales of securities include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. Each Fund operates primarily as a "fund of funds." In other words, each Fund pursues its investment goal by investing primarily in ETFs, mutual funds, and closed-end funds. In this report, the ETFs, mutual funds, and closed-end funds in which the Funds invest are referred to as "underlying funds." In addition to investing in underlying funds, each Fund may invest a portion of its assets directly in individual securities or in derivatives, such as options and futures. The Funds invest in underlying funds that invest primarily in common stock or securities convertible into or exchangeable for common stock, such as convertible preferred stock, convertible debentures, warrants, options, and bonds. Because the Funds invest primarily in underlying funds, the value of your investment will fluctuate in response to the performance of the underlying funds. In addition, investing through the Funds in a portfolio of underlying funds involves certain additional expenses that would not arise if you invested directly in the underlying funds. By investing indirectly in underlying funds through a Fund, you will bear not only your proportionate share of a Fund's expenses (including operating costs, investment advisory fees, and administrative fees), but also, indirectly, similar expenses and charges of the underlying funds. In addition, to the extent these underlying funds trade their portfolios actively, they will incur higher brokerage commissions, as well as increased realization of taxable gains. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Under the terms of an investment advisory contract, the Trust pays the Advisor, an affiliated entity, investment advisory fees calculated at an annual percentage rate of 0.90% of the average daily net assets of the Amerigo Fund, the Clermont Fund and the Berolina Fund. Certain officers and trustees of the Trust are also officers of the Advisor. The Advisor pays the Sub-Advisor out of the advisory fees it receives. In addition, the Advisor bears all of its own costs associated with providing these services and the expenses of the Trustees that are affiliated with the Advisor. The Advisor may make payments from its own resources to broker-dealers and other financial institutions in connection with the sale of Fund shares. Rydex Investments, an affiliated entity, provides transfer agent and administrative services to the Trust calculated at an annual percentage rate of 0.25% of the average daily net assets of the Amerigo Fund, the Clermont Fund and the Berolina Fund. Rydex Investments also provides accounting services to the Trust calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of each of the funds. Certain officers and trustees of the Trust are also officers of Rydex Investments. Rydex Investments engages external service providers to perform other necessary services for the Trust, such as auditing services, legal services, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets. The Trust has adopted an Investor Services Plan for which the Distributor, an affiliated entity, and other firms that provide shareholder services ("Service Providers") may receive compensation. The Trust will pay fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets. The Distributor in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for shareholder services it performs. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 17 NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- In addition, at an Organization Meeting on February 14, 2003, the Board approved the use of a Distribution Plan for which the Distributor and other Service Providers may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Distributor may, at its discretion, retain a portion of such payments to compensate itself for distribution services. Although approved, at December 31, 2006, this plan was not being utilized. 4. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code and will distribute substantially all net investment income and capital gains to its shareholders. Therefore, no Federal income tax provision is required. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This may include net operating losses not utilized during the current year and the expiration of capital loss carryforward. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. The tax character of distributions paid during 2006 was as follows: ORDINARY LONG-TERM RETURN OF TOTAL FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS -------------------------------------------------------------------------------- Amerigo Fund $ 3,695,821 $ 19,467,796 $ -- $ 23,163,617 Clermont Fund 3,425,542 3,081,826 -- 6,507,368 Berolina Fund 144,792 -- 1,608 146,400 The tax character of distributions paid during 2005 was as follows: ORDINARY LONG-TERM TOTAL FUND INCOME CAPITAL GAIN DISTRIBUTIONS -------------------------------------------------------------------------------- Amerigo Fund $ 1,308,198 $ 777,354 $ 2,085,552 Clermont Fund 906,036 58,927 964,963 Berolina Fund -- -- -- The tax character of distributable earnings/(accumulated losses) at December 31, 2006 was as follows: UNDISTRIBUTED ORDINARY UNDISTRIBUTED NET UNREALIZED CAPITAL LOSS FUND INCOME REALIZED GAIN APPRECIATION CARRYFORWARD ------------------------------------------------------------------------------- Amerigo Fund $ 3,791,361 $ 407,700 $ 31,536,506 $ -- Clermont Fund 1,526,326 366,908 9,937,038 -- Berolina Fund -- -- 28,081 (98)1 1 EXPIRES IN 2014 The Funds' tax basis capital gains and losses are determined only at the end of each fiscal year. Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. At December 31, 2006, 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: NET TAX TAX TAX UNREALIZED FUND COST UNREALIZED GAIN UNREALIZED LOSS GAIN -------------------------------------------------------------------------------- Amerigo Fund $ 368,631,433 $ 31,568,079 $ (31,573) $ 31,536,506 Clermont Fund 128,458,452 9,952,315 (15,277) 9,937,038 Berolina Fund 19,960,888 132,288 (104,207) 28,081 5. SECURITIES TRANSACTIONS During the year ended December 31, 2006, cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were: AMERIGO CLERMONT BEROLINA FUND FUND FUND ------------------------------------------------------------------------- Purchases $ 763,235,674 $224,692,620 $ 21,383,991 Sales $ 702,869,142 $236,474,171 $ 1,422,549 18 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) -------------------------------------------------------------------------------- 6. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the years presented were: PURCHASED THROUGH SHARES PURCHASED DIVIDEND REINVESTMENT ------------------------------------------------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ------------------------------------------------------------------------------ AMERIGO FUND 2,261,660 2,067,850 648,478 62,479 CLERMONT FUND 870,074 1,128,567 218,368 33,413 BEROLINA FUND* 795,434 -- 5,791 -- NET SHARES SHARES REDEEMED PURCHASED (REDEEMED) ------------------------------------------------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2006 2005 2006 2005 ------------------------------------------------------------------------------ AMERIGO FUND (761,470) (428,242) 2,148,668 1,702,087 CLERMONT FUND (1,445,292) (655,344) (356,850) 506,636 BEROLINA FUND* (18,989) -- 782,236 -- * SINCE THE COMMENCEMENT OF OPERATIONS: NOVEMBER 10, 2006 THE RYDEX VARIABLE TRUST ANNUAL REPORT | 19 NOTES TO FINANCIAL STATEMENTS (CONTINUED) ------------------------------------------------------------------------------ 7. PORTFOLIO SECURITIES LOANED The Trust lends its securities to approved brokers to earn additional income. Within this arrangement, the Trust acts as the lender, U.S. Bank acts as the agent, and other approved registered broker dealers act as the borrowers. The Trust receives cash collateral, valued at 100% of the value of the securities on loan, which is initially held in a segregated account at U.S. Bank. As agent, U.S. Bank may, for investment purposes, pool the Trust's collateral in joint accounts with cash collateral from one or more other securities lending customers of U.S. Bank. Under the terms of the Trust's securities lending agreement with U.S. Bank, cash collateral may be invested by U.S. Bank in certain high quality, liquid investments. At December 31, 2006, the pooled cash collateral investments consisted of repurchase agreements (46.45%), commercial paper (31.55%), corporate bonds (18.46%), and guaranteed investment contracts (3.54%). Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Fund the next business day. Although the collateral mitigates risk, the Trust could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Trust has the right under the securities lending agreement to recover the securities from the borrower on demand. The following table represents a breakdown of the collateral, its rates and maturities. Each fund participating in the security lending program retains a pro rata amount of the collateral proportionate to its amount of securities on loan. SECURITY LENDING CASH COLLATERAL
COST MARKET VALUE REPURCHASE DATE ----------------------------------------------------------------------------------------------------- REPO 46.45% ----------------------------------------------------------------------------------------------------- Rates 5.36% Greenwich Capital Markets, Inc. $ 300,000,000 $ 300,000,000 01/02/07 5.38 Morgan Stanley 296,000,000 296,000,000 01/02/07 5.41 Bear Stearns Companies, Inc. 50,000,000 50,000,000 01/02/07 5.32 Credit Suisse First Boston 10,000,000 10,000,000 01/02/07 -------------- TOTAL $ 656,000,000 ============== MATURITY -------- COMMERCIAL PAPER 31.55% ----------------------------------------------------------------------------------------------------- Rates 5.39% Fenway Funding, LLC $ 66,959,874 $ 67,000,000 01/02/07 5.37 KKR Atlantic Funding Trust 64,768,167 64,808,900 01/22/07 5.36 Rams Funding, LLC 57,699,447 57,923,440 01/11/07 5.42 Antalis Funding 53,920,718 54,010,000 01/02/07 5.40 Ocala Funding, LLC 49,858,028 49,890,000 01/17/07 5.33 Concord Minutemen Capital Company, LLC 40,000,000 40,000,000 01/08/07 5.35 Lakeside Funding, LLC 30,000,000 30,000,000 01/08/07 5.33 Concord Minutemen Capital Company, LLC 28,000,000 28,000,000 01/12/07 5.35 Thornburg Mortgage Capital Resources, LLC 19,820,389 19,917,800 01/30/07 5.38 Rams Funding, LLC 12,934,314 12,961,780 01/22/07 5.36 Thornburg Mortgage Capital Resources, LLC 10,949,418 10,974,150 01/18/07 5.34 Thornburg Mortgage Capital Resources, LLC 9,952,800 10,000,000 01/02/07 -------------- TOTAL $ 445,486,070 ============== FIXED INCOME 18.46% ----------------------------------------------------------------------------------------------------- Rates 5.36% PYXIS Master Trust $ 50,000,000 $ 50,000,000 11/20/09 5.35 Leafs, LLC 49,635,317 49,635,317 01/22/07 5.39 Allstate Life Global Funding 40,012,000 40,012,000 02/15/08 5.50 Premium Asset Trust 25,000,000 25,000,000 08/01/07 5.40 Bayerische Landsbank 20,008,800 20,008,800 02/22/08 5.40 HBOS Treasury Services, PLC 20,008,600 20,008,600 02/01/08 5.42 Northlake, CDO 20,000,000 20,000,000 03/06/33 5.44 Duke Funding, Ltd. 20,000,000 20,000,000 04/08/39 5.45 Metlife Global Funding 16,006,720 16,006,720 01/28/08 -------------- TOTAL $ 260,671,437 ==============
20 | THE RYDEX VARIABLE TRUST ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONCLUDED) --------------------------------------------------------------------------------
COST MARKET VALUE MATURITY ------------------------------------------------------------------------------------------------------------- GUARANTEED INVESTMENT CONTRACT 3.54% ------------------------------------------------------------------------------------------------------------- Rates 5.45% ING USA $ 50,000,000 $ 50,000,000 02/26/07 ---------------- TOTAL $ 50,000,000 ================ MUTUAL FUNDS/MONEY MARKETS 0.00% ------------------------------------------------------------------------------------------------------------- Cash $ 66 N/A SHARES ------------------------------------------------------------------------------------------------------------- AIM Short Term Liquid Asset Fund 21 $ 21 N/A ---------------- TOTAL $ 87 ================ 100.000% ================ GRAND TOTAL $ 1,412,157,594 =============================================================================================================
As of December 31, 2006, the collateral for the repurchase agreements in the joint account was as follows:
RANGE OF RATES SECURITY TYPE PAR VALUE MARKET VALUE MATURITY ------------------------------------------------------------------------------------------------------------ 0.000% - 5.467% Collateralized Mortgage Obligations $ 3,469,660,953 $ 623,374,062 08/15/16 - 03/15/45 0.000% - 9.925% Residential Whole Loans 41,415,193 53,022,375 03/15/12 - 09/07/36 0.010% - 5.625% Subordinated Notes 44,971,310 3,788,769 06/13/16 - 02/18/27 1.001% Ginnie Mae 10,282,278 99,679 02/17/31 ------------- $ 680,284,885 =============
At December 31, 2006 the following Funds participated in securities lending and received cash collateral: VALUE OF FUND CASH COLLATERAL SECURITIES LOANED -------------------------------------------------------------------------------- Amerigo Fund $ 121,267,270 $ 118,091,297 Clermont Fund 38,663,265 37,581,771 8. NEW ACCOUNTING PRONOUNCEMENTS On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined. On September 15, 2006, the FASB released Statement Financial Accounting Standard No. 157 ("FAS 157") Fair Value Measurement which provided enhanced guidance for using fair value to measure assets and liabilities. The standard requires companies to provide expanded information about the assets and liabilities measured at fair value and the potential effect of these fair valuations on an entity's financial performance. The standard does not expand the use of fair value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. Adoption of FAS 157 is required for fiscal years beginning after November 15, 2007. The standard is not expected to materially impact the Funds' financial statements. THE RYDEX VARIABLE TRUST ANNUAL REPORT | 21 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of Rydex Variable Trust: In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Amerigo Fund, Berolina Fund and Clermont Fund (three of the funds of the Rydex Variable Trust, hereafter referred to as the "Funds") at December 31, 2006, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Baltimore, Maryland February 23, 2007 22 | THE RYDEX VARIABLE TRUST 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 practices. The Funds' distributions to shareholders included: AMERIGO CLERMONT BEROLINA FUND FUND FUND -------------------------------------------------------------------------------- From short-term capital gains: $ 3,449,613 $ 1,289,343 $ -- From long-term capital gains, subject to the 15% rate gains category: 19,467,796 3,081,826 -- From return of capital: -- -- 1,608 PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's website at http://www.sec.gov. 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 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Variable Trust Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Variable Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered Rydex Investments' investment processes and strategies, and matters related to Rydex Investments' portfolio transaction policies and THE RYDEX VARIABLE TRUST ANNUAL REPORT | 23 OTHER INFORMATION (UNAUDITED)(CONCLUDED) -------------------------------------------------------------------------------- procedures. In particular, the Board noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of the majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. 24 | THE RYDEX VARIABLE TRUST ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- -------------------- CARL G. VERBONCOEUR* Rydex Series Funds - 2004 146 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Investments (2000 to 2003) -------------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 146 Trustee, Vice President Rydex Variable Trust - 2005 (1970) Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Investments (2004 to present); Chief Operating Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to 2004) -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- -------------------- JOHN O. DEMARET Rydex Series Funds - 1997 139 Trustee, Chairman of the Rydex Variable Trust - 1998 Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired -------------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 139 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2006 to present); Owner and President of Schield Management Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield Management Company, registered investment adviser (1985 to 2005) -------------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 139 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group -------------------------------- THE RYDEX VARIABLE TRUST ANNUAL REPORT | 25 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED)(CONCLUDED) --------------------------------------------------------------------------------
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN ------------------------- -------------------------------- ------------------ WERNER E. KELLER Rydex Series Funds - 2005 139 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) -------------------------------- THOMAS F. LYDON, JR. Rydex Series Funds - 2005 139 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments -------------------------------- PATRICK T. MCCARVILLE Rydex Series Funds - 1997 139 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. -------------------------------- ROGER SOMERS Rydex Series Funds - 1993 139 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS ------------------------- --------------------------- NICK BONOS* Chief Financial Officer of Rydex Specialized Products, LLC (2005 to Vice President and Treasurer (1963) present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Investments (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex Variable Chief Compliance Officer and Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Secretary (1966) Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Investments (2000 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Assistant Treasurer (1966) Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Investments (2004 to present); Director of Accounting of Rydex Investments (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Controller (1974) Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Investments (2001 to present)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. 26 | THE RYDEX VARIABLE TRUST ANNUAL REPORT -------------------------------------------------------------------------------- This page intentionally left blank. -------------------------------------------------------------------------------- This page intentionally left blank. -------------------------------------------------------------------------------- This page intentionally left blank. [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800.820.0888 RVAAO-2-1206 x1207 ITEM 2. CODE OF ETHICS. The Board of Trustees of the Trust has adopted a Combined Code of Ethics (the "Code") pursuant to Rule 17j-1 under the 1940 Act. The Advisor and Distributor are also covered by the Code. The Code applies to the personal investing activities of trustees, directors, officers, and certain employees ("access persons"). Rule 17j-1 and the Code are designed to prevent unlawful practices in connection with the purchase or sale of securities by access persons. Under the Code, access persons are permitted to engage in personal securities transactions, but are required to report their personal securities transactions for monitoring purposes. In addition, certain access persons are required to obtain approval before investing in initial public offerings or private placements. No substantive amendments were approved or waivers were granted to the Code during the period covered by this report. The Code is filed as an exhibit to this Form N-CSR. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. While the members of the audit committee have many years of experience in business and finance, including working with fund financial statements and auditors, they do not feel that the background and experience of any single member would meet the qualifications necessary to be a "financial expert" as that term is defined by the Securities and Exchange Commission. Nonetheless, the committee has determined that, together, its collective financial experience and expertise makes an individual financial expert unnecessary at this time. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a)-(d) The aggregate Audit Fees billed by PricewaterhouseCoopers LLP ("PwC"), the Trust's principal accountant, for the audit of the annual financial statements in connection with statutory and regulatory filings for the fiscal years ended December 31, 2006 and December 31, 2005 were $896,832 and $557,100, respectively. The aggregate Tax Fees billed by PwC for professional services rendered for tax compliance, tax advice, and tax planning, including preparation of tax returns and distribution assistance, for the fiscal years ended December 31, 2006 and December 31, 2005 were $1,500 and $347,900, respectively. (e) The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant's principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such service is required between regularly scheduled audit committee meetings, the chairman of the audit committee, J. Kenneth Dalton, is authorized to pre-approve the service with full committee approval at the next scheduled meeting. There shall be no waivers of the pre-approval process. No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) Not applicable. (g) The aggregate non-audit fees billed by the registrant's accountant for the most recent fiscal year and the preceding fiscal year for services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant were $30,000 and $40,000, respectively. These aggregate fees were less than the aggregate fees billed for the same periods by the registrant's principal accountant for audit services rendered to the registrant, the investment advisor, and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant. (h) All non-audit services rendered in (g) above were pre-approved by the registrant's audit committee. As such, the audit committee has considered these services in maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10.SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Not applicable. ITEM 11.CONTROLS AND PROCEDURES. (a) Based on their evaluation on March 9, 2007, the President (principal executive officer) and the Treasurer (principal financial officer) of the Rydex Variable Trust (the "Trust") believe that there were no significant deficiencies in the design or operation of the internal controls of the Trust or Rydex Investments ("RI"), the investment advisor and manager of the Trust, or Rydex Distributors, Inc. ("RD"), which acts as distributor for the Trust, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) which would have adversely affected the ability of the Trust or RI on behalf of the Trust, to record, process, summarize, and report the subject matter contained in this Report. There was no fraud, whether or not material, involving officers or employees of RI, RD or the Trust who have a significant role in the Trust's internal controls, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that has come to the attention of the Advisor or the officers of the Trust, including its President and Treasurer. (b) There were no significant changes in the Trust's or RI's internal controls over financial reporting, (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) The registrant's code of ethics pursuant to Item 2 of Form N-CSR is attached. (a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached. (b) A certification by the registrant's President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2 (b) under the Act (17 CFR 270.30a-2(b)) is attached. EX.-12(a)(2)(i) CERTIFICATION I, Carl G. Verboncoeur, certify that: 1. I have reviewed this report on Form N-CSR of Rydex Variable Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees: (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/ Carl G. Verboncoeur ----------------------- Carl G. Verboncoeur, President Date: March 9, 2007 EX.-12(a)(2)(ii) CERTIFICATION I, Nick Bonos, certify that: 1. I have reviewed this report on Form N-CSR of Rydex Variable Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees: (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/ Nick Bonos ---------------------------- Nick Bonos, Vice President and Treasurer Date: March 9, 2007 EX. 12(b)(i) CERTIFICATION I, Carl G. Verboncoeur, President of Rydex Variable Trust (the "Trust"), certify that: 1. The Form N-CSR of the Trust (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. A signed original of this written statement required by Section 906 has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request. By: /s/ Carl G. Verboncoeur ----------------------- Carl G. Verboncoeur, President Date: March 9, 2007 EX. 12(b)(ii) CERTIFICATION I, Nick Bonos, Vice President and Treasurer of Rydex Variable Trust (the "Trust"), certify that: 1. The Form N-CSR of the Trust (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. A signed original of this written statement required by Section 906 has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request. By: /s/ Nick Bonos ---------------------------- Nick Bonos, Vice President and Treasurer Date: March 9, 2007 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Rydex Variable Trust --------------------------------------------------------------------- By (Signature and Title)* /s/ Carl G. Verboncoeur --------------------------------------------------------- Carl G. Verboncoeur, President Date: March 9, 2007 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Carl G. Verboncoeur ------------------------------------------------------- Carl G. Verboncoeur, President Date: March 9, 2007 --------------------------------------------------------------------------- By (Signature and Title)* /s/ Nick Bonos ------------------------------------------------------- Nick Bonos, Vice President and Treasurer Date: March 9, 2007 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.