-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, LelgyHG/9k9tr/E2wgAbfzCDdtAyYB7Wr5vcELS0kOjNCsPo+erkEgjXfFBCci16 ajU1doThmWA5F27r9RkYUg== 0000950123-10-001655.txt : 20100111 0000950123-10-001655.hdr.sgml : 20100111 20100111154328 ACCESSION NUMBER: 0000950123-10-001655 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20091031 FILED AS OF DATE: 20100111 DATE AS OF CHANGE: 20100111 EFFECTIVENESS DATE: 20100111 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RYDEX ETF TRUST CENTRAL INDEX KEY: 0001208211 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-21261 FILM NUMBER: 10520204 BUSINESS ADDRESS: STREET 1: 9601 BLACKWELL RD STREET 2: STE 500 CITY: ROCKVILLE STATE: MD ZIP: 20850 BUSINESS PHONE: 301-296-5100 MAIL ADDRESS: STREET 1: 9601 BLACKWELL RD STREET 2: STE 500 CITY: ROCKVILLE STATE: MD ZIP: 20850 0001208211 S000010907 Rydex Russell Top 50 ETF C000030223 Rydex Russell Top 50 ETF XLG 0001208211 S000010914 Rydex S&P Equal Weight ETF C000030236 Rydex S&P Equal Weight ETF RSP 0001208211 S000010936 Rydex S&P 500 Pure Value ETF C000030280 Rydex S&P 500 Pure Value ETF RPV 0001208211 S000010938 Rydex S&P 500 Pure Growth ETF C000030282 Rydex S&P 500 Pure Growth ETF RPG 0001208211 S000010939 Rydex S&P MidCap 400 Pure Value ETF C000030283 Rydex S&P MidCap 400 Pure Value ETF RFV 0001208211 S000010941 Rydex S&P MidCap 400 Pure Growth ETF C000030287 Rydex S&P MidCap 400 Pure Growth ETF RFG 0001208211 S000010943 Rydex S&P SmallCap 600 Pure Value ETF C000030298 Rydex S&P SmallCap 600 Pure Value ETF RZV 0001208211 S000010944 Rydex S&P SmallCap 600 Pure Growth ETF C000030299 Rydex S&P SmallCap 600 Pure Growth ETF RZG 0001208211 S000013910 Rydex S&P Equal Weight Consumer Discretionary ETF C000038137 Rydex S&P Equal Weight Consumer Discretionary ETF RCD 0001208211 S000013911 Rydex S&P Equal Weight Consumer Staples ETF C000038138 Rydex S&P Equal Weight Consumer Staples ETF RHS 0001208211 S000013912 Rydex S&P Equal Weight Energy ETF C000038139 Rydex S&P Equal Weight Energy ETF RYE 0001208211 S000013913 Rydex S&P Equal Weight Financials ETF C000038140 Rydex S&P Equal Weight Financials ETF RYF 0001208211 S000013914 Rydex S&P Equal Weight Health Care ETF C000038141 Rydex S&P Equal Weight Health Care ETF RYH 0001208211 S000013915 Rydex S&P Equal Weight Industrials ETF C000038142 Rydex S&P Equal Weight Industrials ETF RGI 0001208211 S000013916 Rydex S&P Equal Weight Materials ETF C000038143 Rydex S&P Equal Weight Materials ETF RTM 0001208211 S000013917 Rydex S&P Equal Weight Technology ETF C000038144 Rydex S&P Equal Weight Technology ETF RYT 0001208211 S000013918 Rydex S&P Equal Weight Utilities ETF C000038145 Rydex S&P Equal Weight Utilities ETF RYU 0001208211 S000015390 Rydex Inverse 2x S&P Select Sector Energy ETF C000042036 Rydex Inverse 2x S&P Select Sector Energy ETF REC 0001208211 S000015391 Rydex 2x S&P Select Sector Energy ETF C000042037 Rydex 2x S&P Select Sector Energy ETF REA 0001208211 S000015393 Rydex Inverse 2x S&P MidCap 400 ETF C000042039 Rydex Inverse 2x S&P MidCap 400 ETF RMS 0001208211 S000015394 Rydex Inverse 2x S&P Select Sector Financial ETF C000042040 Rydex Inverse 2x S&P Select Sector Financial ETF RFN 0001208211 S000015395 Rydex 2x S&P Select Sector Financial ETF C000042041 Rydex 2x S&P Select Sector Financial ETF RFL 0001208211 S000015397 Rydex Inverse 2x S&P Select Sector Health Care ETF C000042043 Rydex Inverse 2x S&P Select Sector Health Care ETF RHO 0001208211 S000015398 Rydex 2x S&P Select Sector Health Care ETF C000042044 Rydex 2x S&P Select Sector Health Care ETF RHM 0001208211 S000015403 Rydex Inverse 2x S&P Select Sector Technology ETF C000042049 Rydex Inverse 2x S&P Select Sector Technology ETF RTW 0001208211 S000015404 Rydex 2x S&P MidCap 400 ETF C000042050 Rydex 2x S&P MidCap 400 ETF RMM 0001208211 S000015405 Rydex 2x S&P Select Sector Technology ETF C000042051 Rydex 2x S&P Select Sector Technology ETF RTG 0001208211 S000015423 Rydex Inverse 2x Russell 2000 ETF C000042069 Rydex Inverse 2x Russell 2000 ETF RRZ 0001208211 S000015424 Rydex 2x Russell 2000 ETF C000042070 Rydex 2x Russell 2000 ETF RRY 0001208211 S000015426 Rydex Inverse 2x S&P 500 ETF C000042072 Rydex Inverse 2x S&P 500 ETF RSW 0001208211 S000015437 Rydex 2x S&P 500 ETF C000042083 Rydex 2x S&P 500 ETF RSU N-CSR 1 b78825a1nvcsr.txt RYDEX ETF TRUST 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 811-21261 Rydex ETF Trust (Exact name of registrant as specified in charter) 9601 Blackwell Road, Suite 500 Rockville, Maryland 20850 (Address of principal executive offices) (Zip code) Richard Goldman Rydex ETF 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: October 31, 2009 Date of reporting period: October 31, 2009 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. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. OCTOBER 31, 2009 RYDEX ETF TRUST ANNUAL REPORT RYDEX | SGI S&P EQUAL WEIGHT ETF RYDEX | SGI RUSSELL TOP 50 ETF RYDEX | SGI SECURITY GLOBAL INVESTORS(SM) [RYDEXSHARES LOGO] ANNUAL REPORT 1 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS............................................... 2 FEES AND EXPENSES........................................................ 4 MANAGER'S ANALYSIS....................................................... 5 PREMIUM AND DISCOUNT INFORMATION......................................... 7 PORTFOLIO SUMMARY........................................................ 8 SCHEDULES OF INVESTMENTS................................................. 10 STATEMENTS OF ASSETS AND LIABILITIES..................................... 18 STATEMENTS OF OPERATIONS................................................. 19 STATEMENTS OF CHANGES IN NET ASSETS...................................... 20 FINANCIAL HIGHLIGHTS..................................................... 21 NOTES TO FINANCIAL STATEMENTS............................................ 23 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM.................. 28 SUPPLEMENTAL INFORMATION................................................. 29 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 32
2 LETTER TO OUR SHAREHOLDERS - -------------------------------------------------------------------------------- DEAR SHAREHOLDER: A year after the height of the financial crisis, the equity and credit markets are returning to more normal functioning. Federal Reserve Chairman Ben Bernanke's September 15, 2009, comment that "the recession is very likely over" seems to confirm the encouraging signs of the past six months. Overall, economic data suggest that the economy is emerging from the financial crisis and severe recession. CONTINUING FALLOUT FROM 2008 Seven months ago, the stock market began to climb back up from its lowest level in 12 years (reached March 9, 2009). For many, the spring surge gave hope for an end to the bear market that ravaged investors' portfolios, but the deepest downturn since the Great Depression would still leave its mark on the second and third quarters. As investors looked forward to putting 2008 far behind them, General Motors (GM) filed for bankruptcy on June 2, 2009, despite the injection of more than $19.4 billion in federal help and, for the first time since 1925, GM was no longer part of the Dow Jones Industrial Average. Second-quarter gross domestic product (GDP) declined by a 1.0% annual rate, though it recovered somewhat from the 6.4% contraction of the first quarter. However, in the third quarter of 2009, GDP increased 3.5% -- the first increase since the second quarter of 2008. GDP growth reflected an increase in consumer spending, an improvement in housing and growth in inventory investment, exports and government spending. By the end of September, the U.S. unemployment rate climbed to 9.8% -- the highest since June 1983. CAUTIOUS OPTIMISM FOR Q4 AND BEYOND The second and third quarters saw unprecedented growth in the stock market, kicked off in May by a report from payroll processor ADP that fewer jobs were lost in April than economists had predicted. In May, the Treasury Department also released the results of the now infamous "bank stress tests," allowing 10 major banks to pay back $68 billion in Troubled Asset Relief Program (TARP) money received earlier in the year. In September, existing-home sales bounced back strongly with first-time buyers driving much of the activity, marking five gains in the past six months. Existing-home sales -- including single-family, townhomes, condominiums and co-ops -- jumped 9.4% to a seasonally adjusted annual rate of 5.57 million units in September from a level of 5.09 million in August and are 9.2% higher than the 5.10 million-unit pace in September 2008. Sales activity is at the highest level in more than two years, since it hit 5.73 million in July 2007. There are other positive signs as well. The Conference Board Leading Economic Index(TM) for the U.S. increased 1.0% in September, following a 0.4% gain in August, and a 1.0% rise in July. On October 30, 2009, the Chicago Board Options Exchange Volatility Index (VIX), a measure of investor sentiment, surged 24%, its biggest one-day percentage gain in a year, closing at 30.69 -- its highest close since July. Additionally, stock market fluctuations have returned to more historically "normal" levels. Despite the impressive rally from its low point of 676.53 on March 9, the equity market -- as measured by the broad market S&P 500(R) Index -- returned 15.61%, in the third quarter of 2009. For the one-year period ending October 31, 2009, it returned 9.80%. Are we on the road to recovery? Clearly there are signs that point to an improving economic environment. But excessive optimism is premature -- the economy still has a long way to go. It is likely that we'll continue to see volatility in the market as the economic situation moves from crisis to stabilization. While we are not out of the woods yet, improving market conditions should lead to better investment opportunities going forward. RYDEX/SGI ETFS Due to transparency, convenience and low cost, ETFs continued to enjoy popularity as an investment vehicle of choice in 2008-2009, seeing a 20% increase in assets in the 12-month period ended September 30, 2009 according to the Investment Company Institute. Rydex/SGI has experienced 40% growth in assets in its ETFs over the 12-month period ending October 31, 2009. Having $5.620 billion in ETF assets under management and a lineup of 40 exchange traded products as of October 31, 2009, places Rydex/SGI as the 12th-largest player in the ETF market. With 14 leveraged and inverse ETFs, Rydex/SGI is a strong believer that investors have a solid understanding of the risks of these investments and understand the importance of monitoring their leveraged and inverse ETFs' holdings consistent with their strategies, as frequently as daily. In 2009, there was increased scrutiny and attention placed on leveraged and inverse investment products, including ETFs. While these products seek to deliver a specific multiple of their benchmark on a daily basis, some investors have a limited understanding of the effects of compounding on their long term performance. In particularly volatile markets, like the one we experienced in the past 12 to 18 months, the effects of compounding may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. For those ETFs that consistently apply leverage, the value of the ETF's shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus. ANNUAL REPORT 3 - -------------------------------------------------------------------------------- MOVING FORWARD From my perspective, every bear market -- from the recession of 1929 to the tech bubble of the early 1990s -- teaches investors the same valuable lesson: the need to diversify. Earlier this year, we integrated with Security Global Investors to become Rydex/SGI. This integration allows us to expand our current lineup of quantitatively managed, alternative and target beta funds to include actively managed global, growth, value and specialty fixed-income strategies. Simply put: We diversified our product offerings in order to position the company for future growth and to provide our clients with a wider array of investment strategies than ever before. While this integration marks the firm's evolution to a leading multidiscipline asset management firm, more importantly, we believe investors will be well served by the broader array of investment choices now available from Rydex/SGI. Sincerely, /s/ Michael Byrum Michael Byrum President & Chief Investment Officer PERFORMANCE DISPLAYED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. FUND PERFORMANCE IS SUBJECT TO DAILY MARKET VOLATILITY AND MAY BE BETTER OR WORSE SINCE THE END OF THE LAST QUARTER. FOR UP-TO-DATE FUND PERFORMANCE, CALL 800.820.0888 OR VISIT WWW.RYDEX-SGI.COM. 4 FEES AND EXPENSES - -------------------------------------------------------------------------------- SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Rydex ETF Trust, you incur transaction costs such as creation and redemption fees or brokerage charges, and ongoing costs including advisory fees and, if applicable, distribution fees. All other Trust expenses are paid by the advisor. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example in the table is based on an investment of $1,000 invested on April 30, 2009 and held for the six months ended October 31, 2009. ACTUAL EXPENSES The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred 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 in the first table under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses attributable to your investment during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT PAID DURING EXPENSE VALUE VALUE SIX-MONTH PERIOD* RATIO 4/30/09 10/31/09 4/30/09 TO 10/31/09 ------- --------- --------- ------------------- ACTUAL Rydex/SGI S&P Equal Weight ETF............. 0.40% $1,000.00 $1,234.10 $2.25 Rydex/SGI Russell Top 50 ETF............... 0.20% 1,000.00 1,195.00 1.11 HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) Rydex/SGI S&P Equal Weight ETF............. 0.40% 1,000.00 1,023.19 2.04 Rydex/SGI Russell Top 50 ETF............... 0.20% 1,000.00 1,024.20 1.02
- -------- * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). ANNUAL REPORT 5 RYDEX/SGI S&P EQUAL WEIGHT ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- Rydex/SGI S&P Equal Weight ETF (RSP) returned 22.21% for the one-year period ended October 31, 2009, compared to the benchmark S&P Equal Weight Total Return Index (23.46%). During the period, the ETF achieved over 99% correlation to its benchmark on a daily basis. Information technology (35.03%) and consumer discretionary (34.65) were the largest contributors to performance. The utilities sector had a slight negative impact on performance during the period. The S&P Equal Weight Total Return Index handily beat the cap-weighted S&P 500(R) Total Return Index (9.80%) by over 10% during the past year. As volatility has remained historically high over the past 12 months, the fund's equal weighting methodology allowed it to purchase stocks that had underperformed and sell stocks that had outperformed between rebalanced dates. The outperformance relative to the S&P 500 Total Return Index was mainly caused by the superior performance and heavier weighting of stocks in the consumer discretionary, financials, industrials and materials sectors. CUMULATIVE FUND PERFORMANCE: APRIL 24, 2003 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
S&P 500 RYDEX SGI EQUAL WEIGHT S&P 500 S&P EQUAL TOTAL RETURN TOTAL RETURN WEIGHT ETF(A) INDEX(C) INDEX(B) ------------- ------------ ------------ 4/24/2003 10000 10000 10000 4/30/2003 10114 10114 10063 5/31/2003 11091 11096 10594 6/30/2003 11170 11179 10729 7/31/2003 11457 11468 10918 8/31/2003 11960 11976 11131 9/30/2003 11754 11773 11013 10/31/2003 12575 12605 11636 11/30/2003 12841 12875 11738 12/31/2003 13500 13543 12353 1/31/2004 13821 13872 12580 2/29/2004 14096 14151 12755 3/31/2004 13999 14061 12563 4/30/2004 13643 13707 12365 5/31/2004 13893 13963 12535 6/30/2004 14316 14394 12779 7/31/2004 13684 13761 12356 8/31/2004 13663 13732 12406 9/30/2004 14019 14099 12540 10/31/2004 14348 14437 12732 11/30/2004 15176 15277 13247 12/31/2004 15726 15839 13698 1/31/2005 15254 15367 13364 2/28/2005 15576 15693 13645 3/31/2005 15370 15491 13404 4/30/2005 14897 15012 13149 5/31/2005 15567 15694 13568 6/30/2005 15785 15921 13587 7/31/2005 16577 16728 14092 8/31/2005 16395 16550 13964 9/30/2005 16529 16690 14077 10/31/2005 16112 16272 13842 11/30/2005 16811 16986 14366 12/31/2005 16933 17115 14371 1/31/2006 17620 17821 14751 2/28/2006 17653 17856 14791 3/31/2006 17971 18184 14975 4/30/2006 18155 18377 15176 5/31/2006 17628 17846 14740 6/30/2006 17581 17807 14760 7/31/2006 17320 17546 14851 8/31/2006 17803 18045 15204 9/30/2006 18255 18509 15596 10/31/2006 18918 19192 16104 11/30/2006 19391 19677 16410 12/31/2006 19526 19819 16640 1/31/2007 19979 20291 16892 2/28/2007 19905 20221 16562 3/31/2007 20056 20381 16747 4/30/2007 20919 21265 17489 5/31/2007 21600 21968 18099 6/30/2007 21209 21578 17798 7/31/2007 20247 20603 17246 8/31/2007 20276 20640 17505 9/30/2007 20781 21163 18160 10/31/2007 21043 21437 18448 11/30/2007 20033 20410 17677 12/31/2007 19740 20122 17555 1/31/2008 18872 19233 16502 2/29/2008 18230 18586 15966 3/31/2008 18031 18391 15897 4/30/2008 18970 19359 16671 5/31/2008 19460 19880 16887 6/30/2008 17552 17936 15463 7/31/2008 17459 17850 15333 8/31/2008 17964 18379 15555 9/30/2008 16077 16516 14169 10/31/2008 12680 13037 11789 11/30/2008 11459 11796 10943 12/31/2008 11765 12129 11060 1/31/2009 10834 11171 10128 2/28/2009 9611 9911 9049 3/31/2009 10611 10957 9842 4/30/2009 12556 13006 10784 5/31/2009 13347 13838 11387 6/30/2009 13230 13711 11410 7/31/2009 14444 14985 12273 8/31/2009 15247 15823 12716 9/30/2009 16053 16672 13190 10/31/2009 15494 16096 12945
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR FIVE YEAR (04/24/03) -------- ---------- --------- --------------- RYDEX/SGI S&P EQUAL WEIGHT ETF.......... 22.21% -6.44% 1.55% 6.94% S&P EQUAL WEIGHT TOTAL RETURN INDEX..... 23.46% -5.70% 2.20% 7.57% S&P 500 TOTAL RETURN INDEX.............. 9.80% -7.02% 0.33% 4.04%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. 6 RYDEX/SGI RUSSELL TOP 50 ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- Rydex/SGI Russell Top 50(R) ETF (XLG) finished the one-year period ended October 31, 2009, at 6.35% compared to the Russell Top 50(R) Total Return Index benchmark, which returned 6.52% for the same time period. During the period, Rydex/SGI Russell Top 50 ETF achieved over 99% correlation to its benchmark on a daily basis. Information technology (32.75%) was the biggest contributor to performance, and the financials sector (-18.15%) was the biggest detractor to performance. The mega-cap Russell Top 50 Total Return Index underperformed the S&P 500(R) Total Return Index (9.80%) by just over 3% during the period. The underperformance was mainly caused by weaker performance of mega-cap consumer discretionary and financials stocks relative to similar stocks in the S&P 500. The higher relative weighting of the top performing information technology sector in the index helped limit the amount of underperformance relative to the S&P 500. CUMULATIVE FUND PERFORMANCE: MAY 4, 2005 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI RUSSELL TOP S&P 100 RUSSELL TOP 50 TOTAL TOTAL RETURN 50 ETF(A) RETURN INDEX(B) INDEX(C) ----------- --------------- ------------ 5/4/2005 10000 10000 10000 5/31/2005 10116 10118 10088 6/30/2005 9963 9966 9989 7/31/2005 10184 10189 10263 8/31/2005 10108 10114 10142 9/30/2005 10162 10171 10196 10/31/2005 10036 10043 10027 11/30/2005 10364 10375 10381 12/31/2005 10285 10297 10312 1/31/2006 10424 10439 10482 2/28/2006 10457 10472 10550 3/31/2006 10536 10555 10691 4/30/2006 10667 10689 10856 5/31/2006 10393 10417 10618 6/30/2006 10409 10434 10601 7/31/2006 10676 10706 10782 8/31/2006 10978 11010 11061 9/30/2006 11270 11307 11405 10/31/2006 11659 11702 11795 11/30/2006 11863 11909 12001 12/31/2006 12123 12172 12216 1/31/2007 12214 12266 12350 2/28/2007 11758 11806 11960 3/31/2007 11886 11937 12087 4/30/2007 12436 12503 12673 5/31/2007 12828 12902 13117 6/30/2007 12600 12671 12953 7/31/2007 12346 12415 12650 8/31/2007 12617 12689 12902 9/30/2007 13105 13189 13432 10/31/2007 13287 13374 13635 11/30/2007 12757 12841 13061 12/31/2007 12685 12772 12964 1/31/2008 11894 11972 12178 2/29/2008 11339 11414 11654 3/31/2008 11382 11457 11676 4/30/2008 11875 11958 12212 5/31/2008 11804 11885 12209 6/30/2008 10788 10842 11123 7/31/2008 10834 10893 11199 8/31/2008 10990 11052 11360 9/30/2008 10339 10394 10496 10/31/2008 8913 8958 8964 11/30/2008 8414 8456 8388 12/31/2008 8405 8448 8386 1/31/2009 7576 7612 7618 2/28/2009 6849 6874 6810 3/31/2009 7433 7466 7393 4/30/2009 7932 7970 7970 5/31/2009 8407 8450 8418 6/30/2009 8462 8509 8474 7/31/2009 9029 9083 9093 8/31/2009 9283 9341 9404 9/30/2009 9540 9602 9688 10/31/2009 9479 9542 9583
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR (05/4/05) -------- ---------- --------------- RYDEX/SGI RUSSELL TOP 50 ETF............ 6.35% -6.67% -1.18% RUSSELL TOP 50 TOTAL RETURN INDEX....... 6.52% -6.57% -1.04% S&P 100 TOTAL RETURN INDEX.............. 6.91% -6.69% -0.94%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 7 PREMIUM AND DISCOUNT INFORMATION (Unaudited) - -------------------------------------------------------------------------------- The tables that follow present information about the differences between the daily market price on secondary markets for shares of the Funds and each Fund's NAV. Net Asset Value, or "NAV," is the price per share at which a Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The "Market Price" of a Fund generally is determined using the midpoint between the highest bid and the lowest offer on the Exchange on which the Fund is listed for trading, as of the time the Fund's NAV is calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of a Fund will fluctuate in accordance with changes in its NAV, as well as market supply of and demand for shares of the Funds. Premiums or discounts are the differences (generally expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a positive percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a negative percentage of the NAV. The following information shows the frequency distribution of premiums and discounts for the Funds. The information shown for each Fund is for the period from inception to October 31, 2009. Each line in the table shows the number of trading days in which the Funds traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by the table. All data presented here represents past performance, which cannot be used to predict future results.
NUMBER OF DAYS ----------------------- RYDEX/SGI RYDEX/SGI S&P EQUAL RUSSELL PREMIUM/DISCOUNT RANGE WEIGHT ETF TOP 50 ETF - -------------------------------------------------------------------------------------- Greater Than 3.01% 0 0 Between 1.01% and 3% 3 3 Between .51% and 1% 7 7 Between .26% and .5% 26 21 Between .25% and 0% 699 588 Between -0.01% and -0.25% 673 538 Between -0.26% and -0.5% 25 24 Between -0.51% and -1% 7 7 Between -1.01% and -3% 2 1 Less Than -3.01% 0 0 - -------------------------------------------------------------------------------------- Total 1442 1189
PERCENTAGE OF TOTAL DAYS ----------------------- RYDEX/SGI RYDEX/SGI S&P EQUAL RUSSELL PREMIUM/DISCOUNT RANGE WEIGHT ETF TOP 50 ETF - -------------------------------------------------------------------------------------- Greater Than 3.01% 0.00% 0.00% Between 1.01% and 3% 0.21% 0.25% Between .51% and 1% 0.49% 0.59% Between .26% and .5% 1.80% 1.77% Between .25% and 0% 48.47% 49.45% Between -0.01% and -0.25% 46.67% 45.25% Between -0.26% and -0.5% 1.73% 2.02% Between -0.51% and -1% 0.49% 0.59% Between -1.01% and -3% 0.14% 0.08% Less Than -3.01% 0.00% 0.00% - -------------------------------------------------------------------------------------- Total 100.00% 100.00%
8 RYDEX/SGI S&P EQUAL WEIGHT ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ AMAZON.COM, INC. 0.28% PIONEER NATURAL RESOURCES CO. 0.25% AKAMAI TECHNOLOGIES, INC. 0.25% LEXMARK INTERNATIONAL, INC. -- CLASS A 0.24% ESTEE LAUDER COS., INC. -- CLASS A 0.24% HARMAN INTERNATIONAL INDUSTRIES, INC. 0.24% SAFEWAY, INC. 0.24% HARRIS CORP. 0.24% WHOLE FOODS MARKET, INC. 0.24% AFFILIATED COMPUTER SERVICES, INC. -- CLASS A 0.24% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Consumer Discretionary 15.91 Information Technology 15.28 Financials 15.21 Industrials 11.21 Health Care 10.71 Consumer Staples 8.83 Energy 8.33 Utilities 7.08 Materials 5.69 Telecommunication Services 1.75
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. ANNUAL REPORT 9 Rydex/SGI RUSSELL TOP 50 ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ EXXON MOBIL CORP. 7.43% MICROSOFT CORP. 4.54% PROCTER & GAMBLE CO. 3.59% APPLE, INC. 3.57% JOHNSON & JOHNSON, INC. 3.46% INTERNATIONAL BUSINESS MACHINES CORP. 3.39% JP MORGAN CHASE & CO. 3.34% CHEVRON CORP. 3.26% AT&T, INC. 3.22% GENERAL ELECTRIC CO. 3.21% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Information Technology 25.71 Consumer Staples 15.34 Energy 15.22 Health Care 14.93 Financials 12.53 Industrials 6.20 Telecommunication Services 5.02 Consumer Discretionary 4.26 Materials 0.79
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 10 RYDEX/SGI S&P EQUAL WEIGHT ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS 99.7% AEROSPACE & DEFENSE 2.4% Boeing Co. ............... 59,553 $2,846,633 General Dynamics Corp. ... 48,684 3,052,487 Goodrich Corp. ........... 56,594 3,075,884 Honeywell International, Inc. .................. 77,892 2,795,544 ITT Corp. ................ 60,319 3,058,173 L-3 Communications Holdings, Inc. ........ 38,208 2,762,056 Lockheed Martin Corp. .... 39,281 2,702,140 Northrop Grumman Corp. ... 61,059 3,060,888 Precision Castparts Corp. ................. 30,991 2,960,570 Raytheon Co. ............. 65,294 2,956,512 Rockwell Collins, Inc. ... 61,852 3,116,104 United Technologies Corp. ................. 49,930 3,068,199 -------------- TOTAL AEROSPACE & DEFENSE 35,455,190 -------------- AIR FREIGHT & LOGISTICS 0.8% C.H. Robinson Worldwide, Inc. .................. 53,382 2,941,882 Expeditors International of Washington, Inc. ... 85,779 2,763,799 FedEx Corp. .............. 41,430 3,011,547 United Parcel Service, Inc. -- Class B........ 53,402 2,866,619 -------------- TOTAL AIR FREIGHT & LOGISTICS 11,583,847 -------------- AIRLINES 0.2% Southwest Airlines Co. ... 321,800 2,703,120 -------------- TOTAL AIRLINES 2,703,120 -------------- AUTO COMPONENTS 0.3% Goodyear Tire & Rubber Co.(The)*.............. 183,413 2,362,359 Johnson Controls, Inc. ... 113,914 2,724,823 -------------- TOTAL AUTO COMPONENTS 5,087,182 -------------- AUTOMOBILES 0.4% Ford Motor Co.*........... 450,245 3,151,715 Harley-Davidson, Inc. .... 126,356 3,148,792 -------------- TOTAL AUTOMOBILES 6,300,507 -------------- BEVERAGES 1.7% Brown-Forman Corp. -- Class B....... 63,257 3,087,574 Coca-Cola Co.(The)........ 58,580 3,122,900 Coca-Cola Enterprises, Inc. .................. 149,747 2,855,675 Constellation Brands, Inc. -- Class A*....... 201,489 3,187,556 Dr Pepper Snapple Group, Inc.*.................. 112,978 3,079,780 Molson Coors Brewing Co. -- Class B......... 64,987 3,182,414 Pepsi Bottling Group, Inc. .................. 85,389 3,196,964 PepsiCo, Inc. ............ 52,689 3,190,319 -------------- TOTAL BEVERAGES 24,903,182 -------------- BIOTECHNOLOGY 1.1% Amgen, Inc.*.............. 51,486 2,766,343 Biogen Idec, Inc.*........ 62,738 2,643,152 Celgene Corp.*............ 59,326 3,028,592 Cephalon, Inc.*........... 53,485 2,919,211 Genzyme Corp.*............ 54,508 2,758,105 Gilead Sciences, Inc.*.... 68,249 2,903,995 -------------- TOTAL BIOTECHNOLOGY 17,019,398 -------------- BUILDING PRODUCTS 0.2% Masco Corp. .............. 219,301 2,576,787 -------------- TOTAL BUILDING PRODUCTS 2,576,787 -------------- CAPITAL MARKETS 2.7% Ameriprise Financial, Inc. .................. 96,725 3,353,456 Bank of New York Mellon Corp. ................. 104,184 2,777,545 Charles Schwab Corp.(The)............. 180,284 3,126,125 E*TRADE Financial Corp.*.. 1,710,572 2,497,435 Federated Investors, Inc. -- Class B........ 117,010 3,071,512 Franklin Resources, Inc. .................. 30,461 3,187,134 Goldman Sachs Group, Inc.(The).............. 17,313 2,946,153 Invesco Ltd. ............. 137,904 2,916,670 Janus Capital Group, Inc. .................. 217,523 2,853,902 Legg Mason, Inc. ......... 96,758 2,816,625 Morgan Stanley............ 100,600 3,231,272 Northern Trust Corp. ..... 53,682 2,697,521 State Street Corp. ....... 57,677 2,421,280 T. Rowe Price Group, Inc. .................. 67,923 3,309,888 -------------- TOTAL CAPITAL MARKETS 41,206,518 -------------- CHEMICALS 2.5% Air Products & Chemicals, Inc. .................. 39,071 3,013,546 Airgas, Inc. ............. 63,278 2,807,012 CF Industries Holdings, Inc. .................. 34,746 2,892,605 Dow Chemical Co.(The)..... 118,063 2,772,119 Du Pont (E.I.) de Nemours & Co. ................. 92,976 2,958,496 Eastman Chemical Co. ..... 57,277 3,007,615 Ecolab, Inc. ............. 65,790 2,892,129 FMC Corp. ................ 54,315 2,775,497 International Flavors & Fragrances, Inc. ...... 79,871 3,042,286 Monsanto Co. ............. 39,251 2,636,882 PPG Industries, Inc. ..... 52,639 2,970,419 Praxair, Inc. ............ 38,771 3,079,968 Sigma-Aldrich Corp. ...... 58,823 3,054,679 -------------- TOTAL CHEMICALS 37,903,253 -------------- COMMERCIAL BANKS 2.6% BB&T Corp. ............... 108,247 2,588,186 Comerica, Inc. ........... 103,399 2,869,322 Fifth Third Bancorp....... 309,807 2,769,674 First Horizon National Corp.*................. 226,265 2,676,715 Huntington Bancshares, Inc. .................. 718,542 2,737,645 KeyCorp................... 478,358 2,578,350 M&T Bank Corp. ........... 47,841 3,006,807 Marshall & Ilsley Corp. .. 385,221 2,049,376 PNC Financial Services Group, Inc. ........... 69,266 3,389,878 Regions Financial Corp. .. 516,851 2,501,559 SunTrust Banks, Inc. ..... 132,857 2,538,897 U.S. Bancorp.............. 138,708 3,220,800 Wells Fargo & Co. ........ 110,739 3,047,537 Zions Bancorp............. 172,955 2,449,043 -------------- TOTAL COMMERCIAL BANKS 38,423,789 -------------- COMMERCIAL SERVICES & SUPPLIES 2.4% Avery Dennison Corp. ..... 89,061 3,175,025 Cintas Corp. ............. 105,471 2,920,492 Dun & Bradstreet Corp. ... 42,363 3,243,311 Equifax, Inc. ............ 109,483 2,997,645 Iron Mountain, Inc.*...... 111,421 2,722,015 Monster Worldwide, Inc.*.. 176,719 2,565,960 Pitney Bowes, Inc. ....... 123,227 3,019,061 R.R. Donnelley & Sons Co. ................... 147,694 2,965,695 Republic Services, Inc. .. 115,294 2,987,268 Robert Half International, Inc. .................. 114,914 2,666,005 Stericycle, Inc.*......... 65,277 3,418,556 Waste Management, Inc. ... 102,449 3,061,176 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 35,742,209 -------------- COMMUNICATIONS EQUIPMENT 1.5% Ciena Corp.*.............. 197,458 2,316,182 Cisco Systems, Inc.*...... 133,696 3,054,954
See Notes to Financial Statements. ANNUAL REPORT 11 RYDEX/SGI S&P EQUAL WEIGHT ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) Harris Corp. ............. 85,589 $3,570,773 JDS Uniphase Corp.*....... 415,763 2,324,115 Juniper Networks, Inc.*... 113,701 2,900,513 Motorola, Inc. ........... 357,716 3,065,626 QUALCOMM, Inc. ........... 70,485 2,918,784 Tellabs, Inc.*............ 456,817 2,750,038 -------------- TOTAL COMMUNICATIONS EQUIPMENT 22,900,985 -------------- COMPUTERS & PERIPHERALS 2.5% Apple, Inc.*.............. 16,980 3,200,730 Dell, Inc.*............... 188,248 2,727,714 EMC Corp.*................ 185,266 3,051,331 Hewlett-Packard Co. ...... 67,806 3,218,073 International Business Machines Corp. ........ 25,793 3,110,894 Lexmark International, Inc. -- Class A*....... 143,256 3,653,028 NetApp, Inc.*............. 126,809 3,430,183 QLogic Corp.*............. 177,615 3,115,367 SanDisk Corp.*............ 137,865 2,823,475 Sun Microsystems, Inc.*... 344,712 2,819,744 Teradata Corp.*........... 119,859 3,341,669 Western Digital Corp.*.... 86,962 2,928,880 -------------- TOTAL COMPUTERS & PERIPHERALS 37,421,088 -------------- CONSTRUCTION & ENGINEERING 0.5% Fluor Corp. .............. 55,991 2,487,120 Jacobs Engineering Group, Inc.*.................. 64,134 2,712,227 Quanta Services, Inc.*.... 130,213 2,760,516 -------------- TOTAL CONSTRUCTION & ENGINEERING 7,959,863 -------------- CONSTRUCTION MATERIALS 0.2% Vulcan Materials Co. ..... 53,998 2,485,528 -------------- TOTAL CONSTRUCTION MATERIALS 2,485,528 -------------- CONSUMER FINANCE 0.8% American Express Co. ..... 90,757 3,161,974 Capital One Financial Corp. ................. 84,193 3,081,464 Discover Financial Services............... 196,975 2,785,227 SLM Corp.*................ 357,245 3,465,276 -------------- TOTAL CONSUMER FINANCE 12,493,941 -------------- CONTAINERS & PACKAGING 0.9% Ball Corp. ............... 61,432 3,030,441 Bemis Co., Inc. .......... 114,484 2,957,122 Owens-Illinois, Inc.*..... 83,913 2,675,146 Pactiv Corp.*............. 118,056 2,725,913 Sealed Air Corp. ......... 151,902 2,921,075 -------------- TOTAL CONTAINERS & PACKAGING 14,309,697 -------------- DISTRIBUTORS 0.2% Genuine Parts Co. ........ 83,960 2,937,760 -------------- TOTAL DISTRIBUTORS 2,937,760 -------------- DIVERSIFIED CONSUMER SERVICES 0.6% Apollo Group, Inc. -- Class A*....... 45,445 2,594,909 DeVry, Inc. .............. 59,986 3,316,626 H&R Block, Inc. .......... 178,835 3,279,834 -------------- TOTAL DIVERSIFIED CONSUMER SERVICES 9,191,369 -------------- DIVERSIFIED FINANCIAL SERVICES 1.7% Bank of America Corp. .... 179,052 2,610,578 Citigroup, Inc. .......... 720,091 2,945,172 CME Group, Inc. .......... 10,436 3,158,038 IntercontinentalExchange, Inc.*.................. 32,117 3,217,802 JPMorgan Chase & Co. ..... 70,122 2,928,996 Leucadia National Corp.*.. 123,277 2,770,034 Moody's Corp. ............ 132,069 3,127,394 Nasdaq OMX Group (The)*... 138,590 2,502,936 NYSE Euronext............. 104,925 2,712,311 -------------- TOTAL DIVERSIFIED FINANCIAL SERVICES 25,973,261 -------------- DIVERSIFIED TELECOMMUNICATION SERVICES 1.3% AT&T, Inc. ............... 117,760 3,022,899 CenturyTel, Inc. ......... 99,279 3,222,597 Frontier Communications Corp. ................. 432,949 3,104,244 Qwest Communications International, Inc. ... 917,761 3,294,762 Verizon Communications, Inc. .................. 106,763 3,159,117 Windstream Corp. ......... 326,857 3,150,902 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 18,954,521 -------------- ELECTRIC UTILITIES 2.7% Allegheny Energy, Inc. ... 114,670 2,616,769 American Electric Power Co., Inc. ............. 98,644 2,981,022 Duke Energy Corp. ........ 196,840 3,114,009 Edison International...... 89,924 2,861,382 Entergy Corp. ............ 38,851 2,980,649 Exelon Corp. ............. 60,822 2,856,201 FirstEnergy Corp. ........ 67,030 2,901,058 FPL Group, Inc. .......... 57,277 2,812,301 Northeast Utilities....... 128,622 2,964,737 Pepco Holdings, Inc. ..... 207,747 3,101,663 Pinnacle West Capital Corp. ................. 94,582 2,962,308 PPL Corp. ................ 102,498 3,017,541 Progress Energy, Inc. .... 80,081 3,005,440 Southern Co. ............. 97,564 3,043,021 -------------- TOTAL ELECTRIC UTILITIES 41,218,101 -------------- ELECTRICAL EQUIPMENT 0.6% Emerson Electric Co. ..... 76,096 2,872,624 First Solar, Inc.*........ 21,234 2,589,062 Rockwell Automation, Inc. .................. 71,108 2,911,872 -------------- TOTAL ELECTRICAL EQUIPMENT 8,373,558 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.2% Agilent Technologies, Inc.*.................. 111,579 2,760,465 Amphenol Corp. -- Class A...................... 79,488 3,189,059 Corning, Inc. ............ 204,351 2,985,568 FLIR Systems, Inc.*....... 112,615 3,131,823 Jabil Circuit, Inc. ...... 256,105 3,426,685 Molex, Inc. .............. 154,508 2,884,664 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 18,378,264 -------------- ENERGY EQUIPMENT & SERVICES 2.5% Baker Hughes, Inc. ....... 72,858 3,065,136 BJ Services Co. .......... 161,263 3,096,250 Cameron International Corp.*................. 81,211 3,002,371 Diamond Offshore Drilling, Inc. .................. 33,630 3,203,258 ENSCO International, Inc. .................. 76,246 3,491,304 FMC Technologies, Inc.*... 57,960 3,048,696 Halliburton Co. .......... 113,482 3,314,809 Nabors Industries, Ltd.*.. 154,745 3,223,338 National-Oilwell Varco, Inc.*.................. 72,871 2,986,982 Rowan Cos., Inc. ......... 134,223 3,120,685 Schlumberger, Ltd. ....... 51,133 3,180,473 Smith International, Inc. .................. 111,066 3,079,860 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 37,813,162 --------------
See Notes to Financial Statements. 12 RYDEX/SGI S&P EQUAL WEIGHT ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) FOOD & STAPLES RETAILING 2.0% Costco Wholesale Corp. ... 54,458 $3,095,937 CVS Caremark Corp. ....... 87,165 3,076,925 Kroger Co.(The)........... 152,195 3,520,270 Safeway, Inc. ............ 161,401 3,604,084 SUPERVALU, Inc. .......... 204,391 3,243,685 Sysco Corp. .............. 123,101 3,256,021 Wal-Mart Stores, Inc. .... 62,585 3,109,223 Walgreen Co. ............. 91,020 3,443,287 Whole Foods Market, Inc.*.................. 110,666 3,547,952 -------------- TOTAL FOOD & STAPLES RETAILING 29,897,384 -------------- FOOD PRODUCTS 3.0% Archer-Daniels-Midland Co. ................... 108,110 3,256,273 Campbell Soup Co. ........ 97,541 3,096,927 ConAgra Foods, Inc. ...... 140,457 2,949,597 Dean Foods Co.*........... 170,494 3,108,106 General Mills, Inc. ...... 52,259 3,444,913 H.J. Heinz Co. ........... 79,175 3,186,002 Hershey Co.(The).......... 79,885 3,018,854 Hormel Foods Corp. ....... 84,886 3,094,944 J.M. Smucker Co.(The)..... 59,663 3,146,030 Kellogg Co. .............. 64,241 3,310,981 Kraft Foods, Inc. -- Class A...................... 117,922 3,245,214 McCormick & Co., Inc. .... 90,524 3,169,245 Sara Lee Corp. ........... 298,932 3,374,942 Tyson Foods, Inc. -- Class A...................... 248,623 3,112,760 -------------- TOTAL FOOD PRODUCTS 44,514,788 -------------- GAS UTILITIES 0.6% EQT Corp. ................ 75,540 3,162,104 Nicor, Inc. .............. 84,556 3,135,337 Questar Corp. ............ 85,479 3,405,483 -------------- TOTAL GAS UTILITIES 9,702,924 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 2.6% Baxter International, Inc. .................. 53,565 2,895,724 Becton, Dickinson & Co. .. 44,742 3,058,563 Boston Scientific Corp.*.. 287,445 2,334,053 C.R. Bard, Inc. .......... 39,151 2,939,066 CareFusion Corp.*......... 145,059 3,244,970 Dentsply International, Inc. .................. 90,437 2,980,803 Hospira, Inc.*............ 73,114 3,263,809 Intuitive Surgical, Inc.*.................. 12,765 3,144,658 Medtronic, Inc. .......... 83,593 2,984,270 St Jude Medical, Inc.*.... 81,703 2,784,438 Stryker Corp. ............ 65,810 3,027,260 Varian Medical Systems, Inc.*.................. 72,521 2,971,911 Zimmer Holdings, Inc.*.... 61,662 3,241,571 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 38,871,096 -------------- HEALTH CARE PROVIDERS & SERVICES 3.2% Aetna, Inc. .............. 101,779 2,649,307 AmerisourceBergen Corp. .. 145,112 3,214,231 Cardinal Health, Inc. .... 113,008 3,202,647 CIGNA Corp. .............. 97,737 2,720,998 Coventry Health Care, Inc.*.................. 150,799 2,990,344 DaVita, Inc.*............. 56,624 3,002,771 Express Scripts, Inc.*.... 39,564 3,161,955 Humana, Inc.*............. 78,465 2,948,715 Laboratory Corp. of America Holdings*...... 49,320 3,397,655 McKesson Corp. ........... 53,855 3,162,904 Medco Health Solutions, Inc.*.................. 56,684 3,181,106 Patterson Cos., Inc.*..... 112,488 2,871,818 Quest Diagnostics, Inc. .. 61,882 3,461,060 Tenet Healthcare Corp.*... 555,042 2,841,815 UnitedHealth Group, Inc. .................. 109,626 2,844,795 WellPoint, Inc.*.......... 57,457 2,686,689 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 48,338,810 -------------- HEALTH CARE TECHNOLOGY 0.2% IMS Health, Inc. ......... 203,992 3,343,429 -------------- TOTAL HEALTH CARE TECHNOLOGY 3,343,429 -------------- HOTELS, RESTAURANTS & LEISURE 1.9% Carnival Corp. ........... 96,901 2,821,757 Darden Restaurants, Inc. .................. 84,886 2,572,895 International Game Technology............. 144,249 2,573,402 Marriott International, Inc. -- Class A........ 117,367 2,941,217 McDonald's Corp. ......... 55,618 3,259,771 Starbucks Corp.*.......... 150,656 2,859,451 Starwood Hotels & Resorts Worldwide, Inc. ....... 92,743 2,695,112 Wyndham Worldwide Corp. .. 197,064 3,359,941 Wynn Resorts Ltd.*........ 45,575 2,471,076 Yum! Brands, Inc. ........ 90,566 2,984,150 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 28,538,772 -------------- HOUSEHOLD DURABLES 2.3% Black & Decker Corp. ..... 63,328 2,990,348 D.R. Horton, Inc. ........ 237,535 2,603,384 Fortune Brands, Inc. ..... 67,689 2,636,487 Harman International Industries, Inc. ...... 96,168 3,616,878 KB HOME................... 154,121 2,185,436 Leggett & Platt, Inc. .... 163,609 3,162,562 Lennar Corp. -- Class A... 184,409 2,323,553 Newell Rubbermaid, Inc. .. 199,568 2,895,732 Pulte Homes, Inc. ........ 241,881 2,179,348 Snap-on, Inc. ............ 85,529 3,124,374 Stanley Works(The)........ 74,217 3,356,835 Whirlpool Corp. .......... 43,146 3,088,822 -------------- TOTAL HOUSEHOLD DURABLES 34,163,759 -------------- HOUSEHOLD PRODUCTS 0.9% Clorox Co. ............... 54,345 3,218,854 Colgate-Palmolive Co. .... 41,360 3,252,137 Kimberly-Clark Corp. ..... 54,295 3,320,682 Procter & Gamble Co. ..... 54,878 3,182,924 -------------- TOTAL HOUSEHOLD PRODUCTS 12,974,597 -------------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.6% AES Corp.(The)*........... 217,509 2,842,843 Constellation Energy Group, Inc. ........... 96,138 2,972,587 Dynegy, Inc. -- Class A*.. 1,443,774 2,887,548 -------------- TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 8,702,978 -------------- INDUSTRIAL CONGLOMERATES 0.6% 3M Co. ................... 42,003 3,090,160 General Electric Co. ..... 188,227 2,684,117 Textron, Inc. ............ 162,492 2,889,108 -------------- TOTAL INDUSTRIAL CONGLOMERATES 8,663,385 -------------- INSURANCE 4.0% AFLAC, Inc. .............. 73,684 3,057,149 Allstate Corp. ........... 102,559 3,032,670 American International Group, Inc.*........... 79,655 2,678,001 Aon Corp. ................ 75,603 2,911,471
See Notes to Financial Statements. ANNUAL REPORT 13 RYDEX/SGI S&P EQUAL WEIGHT ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) Assurant, Inc. ........... 99,204 $2,969,176 Chubb Corp. .............. 63,791 3,095,139 Cincinnati Financial Corp. ................. 120,908 3,066,227 Genworth Financial, Inc. -- Class A*....... 241,930 2,569,297 Hartford Financial Services Group, Inc. .. 116,267 2,850,867 Lincoln National Corp. ... 119,712 2,852,737 Loews Corp. .............. 90,567 2,997,768 Marsh & McLennan Cos., Inc. .................. 131,914 3,094,702 MBIA, Inc.*............... 446,420 1,812,465 MetLife, Inc. ............ 79,788 2,715,186 Principal Financial Group, Inc. .................. 110,312 2,762,212 Progressive Corp.*........ 184,063 2,945,008 Prudential Financial, Inc. .................. 59,376 2,685,576 Torchmark Corp. .......... 69,782 2,833,149 Travelers Cos., Inc.(The).............. 66,310 3,301,575 Unum Group................ 140,964 2,812,232 XL Capital, Ltd. -- Class A...................... 185,902 3,050,652 -------------- TOTAL INSURANCE 60,093,259 -------------- INTERNET & CATALOG RETAIL 0.5% Amazon.com, Inc.*......... 34,846 4,140,053 Expedia, Inc.*............ 127,692 2,894,778 -------------- TOTAL INTERNET & CATALOG RETAIL 7,034,831 -------------- INTERNET SOFTWARE & SERVICES 1.1% Akamai Technologies, Inc.*.................. 167,682 3,689,004 eBay, Inc.*............... 128,045 2,851,562 Google, Inc. -- Class A*.. 6,374 3,417,229 VeriSign, Inc.*........... 134,039 3,057,430 Yahoo!, Inc.*............. 182,360 2,899,524 -------------- TOTAL INTERNET SOFTWARE & SERVICES 15,914,749 -------------- IT SERVICES 2.2% Affiliated Computer Services, Inc. -- Class A*..................... 67,703 3,526,649 Automatic Data Processing, Inc. .................. 80,108 3,188,298 Cognizant Technology Solutions Corp. -- Class A*...... 81,804 3,161,725 Computer Sciences Corp.*.. 59,926 3,038,848 Convergys Corp.*.......... 276,572 3,000,806 Fidelity National Information Services, Inc. .................. 126,446 2,751,465 Fiserv, Inc.*............. 63,648 2,919,534 Mastercard, Inc. -- Class A...................... 14,161 3,101,542 Paychex, Inc. ............ 105,941 3,009,784 Total System Services, Inc. .................. 196,718 3,141,587 Western Union Co. ........ 161,579 2,935,890 -------------- TOTAL IT SERVICES 33,776,128 -------------- LEISURE EQUIPMENT & PRODUCTS 0.5% Eastman Kodak Co.*........ 552,056 2,070,210 Hasbro, Inc. ............. 107,773 2,938,970 Mattel, Inc. ............. 167,662 3,173,841 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 8,183,021 -------------- LIFE SCIENCES TOOLS & SERVICES 1.0% Life Technologies Corp.*.. 64,934 3,062,937 Millipore Corp.*.......... 43,376 2,906,626 PerkinElmer, Inc. ........ 156,744 2,917,006 Thermo Fisher Scientific, Inc.*.................. 69,902 3,145,590 Waters Corp.*............. 56,764 3,259,956 -------------- TOTAL LIFE SCIENCES TOOLS & SERVICES 15,292,115 -------------- MACHINERY 2.3% Caterpillar, Inc. ........ 58,463 3,218,973 Cummins, Inc. ............ 67,726 2,916,281 Danaher Corp. ............ 45,895 3,131,416 Deere & Co. .............. 69,512 3,166,271 Dover Corp. .............. 79,218 2,984,934 Eaton Corp. .............. 52,689 3,185,050 Flowserve Corp. .......... 32,227 3,165,014 Illinois Tool Works, Inc. .................. 70,675 3,245,396 PACCAR, Inc. ............. 79,665 2,980,268 Pall Corp. ............... 92,363 2,931,602 Parker-Hannifin Corp. .... 56,874 3,012,047 -------------- TOTAL MACHINERY 33,937,252 -------------- MEDIA 3.2% CBS Corp. -- Class B...... 253,860 2,987,932 Comcast Corp. -- Class A.. 180,987 2,624,312 DIRECTV Group, Inc.(The)*............. 120,552 3,170,518 Gannett Co., Inc. ........ 318,865 3,131,254 Interpublic Group of Cos., Inc.*.................. 418,528 2,519,539 McGraw-Hill Cos., Inc. ... 117,672 3,386,600 Meredith Corp. ........... 98,637 2,669,117 New York Times Co. -- Class A......... 373,786 2,979,074 News Corp. -- Class A..... 255,467 2,942,980 Omnicom Group, Inc. ...... 82,227 2,818,742 Scripps Networks Interactive -- Class A...................... 84,453 3,188,945 Time Warner Cable, Inc. .. 73,127 2,884,129 Time Warner, Inc. ........ 106,624 3,211,515 Viacom, Inc. -- Class B*.. 111,732 3,082,686 Walt Disney Co.(The)...... 110,009 3,010,946 Washington Post Co. -- Class B......... 6,674 2,883,168 -------------- TOTAL MEDIA 47,491,457 -------------- METALS & MINING 1.4% AK Steel Holding Corp. ... 135,772 2,154,701 Alcoa, Inc. .............. 223,047 2,770,244 Allegheny Technologies, Inc. .................. 90,193 2,783,356 Freeport-McMoRan Copper & Gold, Inc.*............ 44,752 3,283,007 Newmont Mining Corp. ..... 69,622 3,025,772 Nucor Corp. .............. 63,088 2,514,057 Titanium Metals Corp. .... 310,077 2,666,662 United States Steel Corp. ................. 63,731 2,198,082 -------------- TOTAL METALS & MINING 21,395,881 -------------- MULTI-UTILITIES 3.1% Ameren Corp. ............. 121,145 2,948,669 CenterPoint Energy, Inc. .................. 251,789 3,172,541 CMS Energy Corp. ......... 235,252 3,128,852 Consolidated Edison, Inc. .................. 75,883 3,086,921 Dominion Resources, Inc. .................. 91,450 3,117,531 DTE Energy Co. ........... 89,441 3,307,528 Integrys Energy Group, Inc. .................. 87,938 3,042,655 NiSource, Inc. ........... 233,320 3,014,494 PG&E Corp. ............... 75,946 3,105,432 Public Service Enterprise Group, Inc. ........... 98,233 2,927,343 SCANA Corp. .............. 88,878 3,007,632 Sempra Energy............. 61,512 3,164,792 TECO Energy, Inc. ........ 222,577 3,191,754 Wisconsin Energy Corp. ... 69,272 3,025,108 Xcel Energy, Inc. ........ 156,817 2,957,569 -------------- TOTAL MULTI-UTILITIES 46,198,821 --------------
See Notes to Financial Statements. 14 RYDEX/SGI S&P EQUAL WEIGHT ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTILINE RETAIL 1.7% Big Lots, Inc.*........... 124,993 $3,131,075 Family Dollar Stores, Inc. .................. 118,588 3,356,040 J.C. Penney Co., Inc. .... 92,373 3,060,318 Kohl's Corp.*............. 56,757 3,247,636 Macy's, Inc. ............. 175,840 3,089,509 Nordstrom, Inc. .......... 98,937 3,144,218 Sears Holdings Corp.*..... 45,918 3,115,995 Target Corp. ............. 64,431 3,120,393 -------------- TOTAL MULTILINE RETAIL 25,265,184 -------------- OFFICE ELECTRONICS 0.2% Xerox Corp. .............. 330,597 2,486,089 -------------- TOTAL OFFICE ELECTRONICS 2,486,089 -------------- OIL, GAS & CONSUMABLE FUELS 5.8% Anadarko Petroleum Corp. ................. 50,410 3,071,481 Apache Corp. ............. 33,330 3,137,020 Cabot Oil & Gas Corp. .... 83,880 3,226,864 Chesapeake Energy Corp. .. 112,438 2,754,731 Chevron Corp. ............ 43,036 3,293,975 ConocoPhillips............ 66,953 3,359,702 CONSOL Energy, Inc. ...... 68,023 2,912,065 Denbury Resources, Inc.*.. 198,062 2,891,705 Devon Energy Corp. ....... 44,429 2,875,001 El Paso Corp. ............ 307,359 3,015,192 EOG Resources, Inc. ...... 38,468 3,141,297 Exxon Mobil Corp. ........ 44,852 3,214,543 Hess Corp. ............... 56,784 3,108,356 Marathon Oil Corp. ....... 93,469 2,988,204 Massey Energy Co. ........ 100,070 2,911,036 Murphy Oil Corp. ......... 51,819 3,168,214 Noble Energy, Inc. ....... 45,575 2,991,087 Occidental Petroleum Corp. ................. 40,867 3,100,988 Peabody Energy Corp. ..... 81,214 3,215,262 Pioneer Natural Resources Co. ................... 90,281 3,711,452 Range Resources Corp. .... 61,512 3,078,676 Southwestern Energy Co.*.. 71,418 3,112,396 Spectra Energy Corp. ..... 160,982 3,077,976 Sunoco, Inc. ............. 110,509 3,403,677 Tesoro Corp. ............. 202,794 2,867,507 Valero Energy Corp. ...... 154,891 2,803,527 Williams Cos., Inc.(The).. 172,378 3,249,325 XTO Energy, Inc. ......... 73,574 3,057,735 -------------- TOTAL OIL, GAS & CONSUMABLE FUELS 86,738,994 -------------- PAPER & FOREST PRODUCTS 0.6% International Paper Co. .. 134,259 2,995,318 MeadWestvaco Corp. ....... 136,785 3,122,802 Weyerhaeuser Co. ......... 79,345 2,883,397 -------------- TOTAL PAPER & FOREST PRODUCTS 9,001,517 -------------- PERSONAL PRODUCTS 0.4% Avon Products, Inc. ...... 98,104 3,144,233 Estee Lauder Cos., Inc -- Class A......... 85,769 3,645,183 -------------- TOTAL PERSONAL PRODUCTS 6,789,416 -------------- PHARMACEUTICALS 2.5% Abbott Laboratories....... 68,536 3,465,866 Allergan, Inc. ........... 54,638 3,073,387 Bristol-Myers Squibb Co. ................... 139,444 3,039,879 Eli Lilly & Co. .......... 95,384 3,244,010 Forest Laboratories, Inc.*.................. 108,343 2,997,851 Johnson & Johnson, Inc. .. 51,636 3,049,106 King Pharmaceuticals, Inc.*.................. 293,629 2,974,462 Merck & Co., Inc. ........ 97,797 3,024,861 Mylan, Inc.*.............. 196,595 3,192,703 Pfizer, Inc. ............. 187,656 3,195,782 Schering-Plough Corp. .... 111,365 3,140,493 Watson Pharmaceuticals, Inc.*.................. 85,739 2,951,136 -------------- TOTAL PHARMACEUTICALS 37,349,536 -------------- REAL ESTATE INVESTMENT TRUSTS (REITS) 2.7% Apartment Investment & Management Co. -- Class A...................... 210,106 2,594,809 AvalonBay Communities, Inc. .................. 41,360 2,844,741 Boston Properties, Inc. .. 44,592 2,709,856 Equity Residential........ 98,257 2,837,662 HCP, Inc. ................ 105,518 3,122,278 Health Care REIT, Inc. ... 72,441 3,214,207 Host Hotels & Resorts, Inc. .................. 270,381 2,733,552 Kimco Realty Corp. ....... 207,869 2,627,464 Plum Creek Timber Co., Inc. .................. 98,747 3,089,794 ProLogis.................. 252,013 2,855,307 Public Storage, Inc. ..... 40,287 2,965,123 Simon Property Group, Inc. .................. 42,872 2,910,580 Ventas, Inc. ............. 80,571 3,233,314 Vornado Realty Trust...... 46,065 2,743,632 -------------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 40,482,319 -------------- REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2% CB Richard Ellis Group, Inc. -- Class A*....... 251,589 2,603,946 -------------- TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 2,603,946 -------------- ROAD & RAIL 1.0% Burlington Northern Santa Fe Corp. .............. 37,565 2,829,396 CSX Corp. ................ 69,032 2,911,770 Norfolk Southern Corp. ... 67,796 3,160,649 Ryder System, Inc. ....... 75,906 3,077,988 Union Pacific Corp. ...... 49,943 2,753,857 -------------- TOTAL ROAD & RAIL 14,733,660 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.4% Advanced Micro Devices, Inc.*.................. 564,149 2,595,085 Altera Corp. ............. 152,925 3,026,386 Analog Devices, Inc. ..... 115,077 2,949,424 Applied Materials, Inc. .. 241,000 2,940,200 Broadcom Corp. -- Class A*..................... 104,778 2,788,143 Intel Corp. .............. 160,249 3,062,358 KLA-Tencor Corp. ......... 88,878 2,889,424 Linear Technology Corp. .. 117,296 3,035,620 LSI Corp.*................ 574,297 2,940,401 MEMC Electronic Materials, Inc.*.................. 166,089 2,062,825 Microchip Technology, Inc. .................. 115,717 2,772,579 Micron Technology, Inc.*.. 380,563 2,584,023 National Semiconductor Corp. ................. 211,937 2,742,465 Novellus Systems, Inc.*... 153,092 3,150,633 NVIDIA Corp.*............. 207,484 2,481,509 Teradyne, Inc.*........... 343,968 2,879,012 Texas Instruments, Inc. .. 130,981 3,071,504 Xilinx, Inc. ............. 137,558 2,991,887 -------------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 50,963,478 -------------- SOFTWARE 3.1% Adobe Systems, Inc.*...... 94,255 3,104,760 Autodesk, Inc.*........... 133,363 3,324,740
See Notes to Financial Statements. ANNUAL REPORT 15 RYDEX/SGI S&P EQUAL WEIGHT ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONCLUDED) BMC Software, Inc.*....... 82,357 $3,060,386 CA, Inc. ................. 138,584 2,899,177 Citrix Systems, Inc.*..... 84,106 3,091,737 Compuware Corp.*.......... 404,027 2,852,431 Electronic Arts, Inc.*.... 167,675 3,058,392 Intuit, Inc.*............. 113,337 3,294,707 McAfee, Inc.*............. 74,457 3,118,259 Microsoft Corp. .......... 123,809 3,433,224 Novell, Inc.*............. 659,850 2,698,786 Oracle Corp. ............. 144,634 3,051,777 Red Hat, Inc.*............ 121,615 3,138,883 Salesforce.com, Inc.*..... 53,815 3,054,001 Symantec Corp.*........... 200,568 3,525,985 -------------- TOTAL SOFTWARE 46,707,245 -------------- SPECIALTY RETAIL 3.4% Abercrombie & Fitch Co. -- Class A......... 92,270 3,028,301 AutoNation, Inc.*......... 176,232 3,038,240 AutoZone, Inc.*........... 20,755 2,808,359 Bed Bath & Beyond, Inc.*.. 80,028 2,817,786 Best Buy Co., Inc. ....... 82,810 3,161,686 GameStop Corp. -- Class A*..................... 116,483 2,829,372 Gap, Inc.(The)............ 142,286 3,036,383 Home Depot, Inc. ......... 110,892 2,782,280 Limited Brands, Inc. ..... 187,252 3,295,635 Lowe's Cos., Inc. ........ 142,936 2,797,258 O'Reilly Automotive, Inc.*.................. 84,352 3,144,643 Office Depot, Inc.*....... 511,057 3,091,895 RadioShack Corp. ......... 193,336 3,265,445 Sherwin-Williams Co.(The)............... 50,613 2,886,966 Staples, Inc. ............ 135,856 2,948,075 Tiffany & Co. ............ 81,014 3,183,040 TJX Cos., Inc. ........... 82,547 3,083,130 -------------- TOTAL SPECIALTY RETAIL 51,198,494 -------------- TEXTILES, APPAREL & LUXURY GOODS 0.8% Coach, Inc. .............. 93,446 3,080,914 NIKE, Inc. -- Class B..... 53,565 3,330,672 Polo Ralph Lauren Corp. .. 41,510 3,089,174 V.F. Corp. ............... 43,296 3,075,748 -------------- TOTAL TEXTILES, APPAREL & LUXURY GOODS 12,576,508 -------------- THRIFTS & MORTGAGE FINANCE 0.4% Hudson City Bancorp, Inc. .................. 230,601 3,030,097 People's United Financial, Inc. .................. 195,018 3,126,139 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 6,156,236 -------------- TOBACCO 0.9% Altria Group, Inc. ....... 175,049 3,170,137 Lorillard, Inc. .......... 42,670 3,316,312 Philip Morris International, Inc. ... 65,204 3,088,062 Reynolds American, Inc. .. 69,702 3,379,153 -------------- TOTAL TOBACCO 12,953,664 -------------- TRADING COMPANIES & DISTRIBUTORS 0.4% Fastenal Co. ............. 79,841 2,754,514 W.W. Grainger, Inc. ...... 34,586 3,241,746 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 5,996,260 -------------- WIRELESS TELECOMMUNICATION SERVICES 0.5% American Tower Corp. -- Class A*...... 84,760 3,120,863 MetroPCS Communications, Inc.*.................. 314,454 1,959,049 Sprint Nextel Corp.*...... 766,051 2,267,510 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 7,347,422 -------------- TOTAL COMMON STOCKS (Cost $1,557,088,150) 1,495,695,484 -------------- SHORT TERM INVESTMENTS 0.2% SSgA Government Money Market Fund............ 2,574,565 2,574,565 -------------- TOTAL SHORT TERM INVESTMENTS (Cost $2,574,565) 2,574,565 -------------- TOTAL INVESTMENTS 99.9% (A) (Cost $1,559,662,715) 1,498,270,049 -------------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.1% 1,080,468 -------------- NET ASSETS--100.0% $1,499,350,517 - --------------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 16 RYDEX/SGI RUSSELL TOP 50 ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS 99.6% AEROSPACE & DEFENSE 1.1% United Technologies Corp. .. 56,124 $3,448,820 ------------ TOTAL AEROSPACE & DEFENSE 3,448,820 ------------ AIR FREIGHT & LOGISTICS 0.8% United Parcel Service, Inc. -- Class B.......... 46,398 2,490,645 ------------ TOTAL AIR FREIGHT & LOGISTICS 2,490,645 ------------ BEVERAGES 4.6% Coca-Cola Co.(The).......... 155,310 8,279,576 PepsiCo, Inc. .............. 104,444 6,324,084 ------------ TOTAL BEVERAGES 14,603,660 ------------ BIOTECHNOLOGY 2.0% Amgen, Inc.*................ 67,920 3,649,342 Gilead Sciences, Inc.*...... 60,808 2,587,380 ------------ TOTAL BIOTECHNOLOGY 6,236,722 ------------ CAPITAL MARKETS 2.7% Goldman Sachs Group, Inc.(The)................ 33,774 5,747,322 Morgan Stanley.............. 91,186 2,928,894 ------------ TOTAL CAPITAL MARKETS 8,676,216 ------------ CHEMICALS 0.8% Monsanto Co. ............... 36,614 2,459,729 ------------ TOTAL CHEMICALS 2,459,729 ------------ COMMERCIAL BANKS 3.7% U.S. Bancorp................ 127,302 2,955,953 Wells Fargo & Co. .......... 319,079 8,781,054 ------------ TOTAL COMMERCIAL BANKS 11,737,007 ------------ COMMUNICATIONS EQUIPMENT 4.3% Cisco Systems, Inc.*........ 386,959 8,842,013 QUALCOMM, Inc. ............. 111,030 4,597,752 ------------ TOTAL COMMUNICATIONS EQUIPMENT 13,439,765 ------------ COMPUTERS & PERIPHERALS 9.4% Apple, Inc.*................ 59,852 11,282,102 Hewlett-Packard Co. ........ 160,432 7,614,103 International Business Machines Corp. .......... 88,650 10,692,076 ------------ TOTAL COMPUTERS & PERIPHERALS 29,588,281 ------------ DIVERSIFIED FINANCIAL SERVICES 6.0% Bank of America Corp. ...... 580,412 8,462,407 JPMorgan Chase & Co. ....... 252,193 10,534,102 ------------ TOTAL DIVERSIFIED FINANCIAL SERVICES 18,996,509 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES 5.0% AT&T, Inc. ................. 395,817 10,160,622 Verizon Communications, Inc. .................... 190,567 5,638,878 ------------ TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 15,799,500 ------------ ENERGY EQUIPMENT & SERVICES 1.6% Schlumberger, Ltd. ......... 80,270 4,992,794 ------------ TOTAL ENERGY EQUIPMENT & SERVICES 4,992,794 ------------ FOOD & STAPLES RETAILING 3.4% CVS Caremark Corp. ......... 97,674 3,447,892 Wal-Mart Stores, Inc. ...... 148,316 7,368,339 ------------ TOTAL FOOD & STAPLES RETAILING 10,816,231 ------------ FOOD PRODUCTS 0.9% Kraft Foods, Inc. -- Class A........................ 98,806 2,719,141 ------------ TOTAL FOOD PRODUCTS 2,719,141 ------------ HEALTH CARE EQUIPMENT & SUPPLIES 0.8% Medtronic, Inc. ............ 75,090 2,680,713 ------------ TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,680,713 ------------ HOTELS, RESTAURANTS & LEISURE 1.4% McDonald's Corp. ........... 74,016 4,338,078 ------------ TOTAL HOTELS, RESTAURANTS & LEISURE 4,338,078 ------------ HOUSEHOLD PRODUCTS 3.6% Procter & Gamble Co. ....... 195,540 11,341,320 ------------ TOTAL HOUSEHOLD PRODUCTS 11,341,320 ------------ INDUSTRIAL CONGLOMERATES 4.3% 3M Co. ..................... 46,584 3,427,185 General Electric Co. ....... 710,436 10,130,817 ------------ TOTAL INDUSTRIAL CONGLOMERATES 13,558,002 ------------ INTERNET SOFTWARE & SERVICES 2.7% Google, Inc. -- Class A*.... 16,068 8,614,376 ------------ TOTAL INTERNET SOFTWARE & SERVICES 8,614,376 ------------ IT SERVICES 0.7% Visa, Inc. -- Class A....... 30,146 2,283,861 ------------ TOTAL IT SERVICES 2,283,861 ------------ MEDIA 2.0% Comcast Corp. -- Class A.... 192,859 2,796,455 Walt Disney Co.(The)........ 124,570 3,409,481 ------------ TOTAL MEDIA 6,205,936 ------------ OIL, GAS & CONSUMABLE FUELS 13.6% Chevron Corp. .............. 134,492 10,294,018 ConocoPhillips.............. 99,390 4,987,390 Exxon Mobil Corp. .......... 327,371 23,462,679 Occidental Petroleum Corp. ................... 54,378 4,126,203 ------------ TOTAL OIL, GAS & CONSUMABLE FUELS 42,870,290 ------------ PHARMACEUTICALS 12.0% Abbott Laboratories......... 103,684 5,243,300 Bristol-Myers Squibb Co. ... 132,892 2,897,046 Eli Lilly & Co. ............ 67,988 2,312,272 Johnson & Johnson, Inc. .... 184,869 10,916,514 Merck & Co., Inc. .......... 141,448 4,374,987 Pfizer, Inc. ............... 540,834 9,210,403 Schering-Plough Corp. ...... 109,488 3,087,561 ------------ TOTAL PHARMACEUTICALS 38,042,083 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.3% Intel Corp. ................ 374,685 7,160,230 ------------ TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 7,160,230 ------------ SOFTWARE 6.2% Microsoft Corp. ............ 517,057 14,337,990 Oracle Corp. ............... 256,427 5,410,610 ------------ TOTAL SOFTWARE 19,748,600 ------------ SPECIALTY RETAIL 0.9% Home Depot, Inc. ........... 113,800 2,855,242 ------------ TOTAL SPECIALTY RETAIL 2,855,242 ------------
See Notes to Financial Statements. ANNUAL REPORT 17 RYDEX/SGI RUSSELL TOP 50 ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONCLUDED) TOBACCO 2.8% Altria Group, Inc. ......... 138,716 $2,512,147 Philip Morris International, Inc. .................... 131,594 6,232,292 ------------ TOTAL TOBACCO 8,744,439 ------------ TOTAL COMMON STOCKS (Cost $390,964,062) 314,448,190 ------------ SHORT TERM INVESTMENTS 0.2% SSgA Government Money Market Fund..................... 646,190 646,190 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $646,190) 646,190 ------------ TOTAL INVESTMENTS 99.8% (A) (Cost $391,610,252) 315,094,380 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES--0.2% 567,679 ------------ NET ASSETS--100.0% $315,662,059 - ------------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 18 STATEMENTS OF ASSETS AND LIABILITIES October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI RYDEX/SGI S&P EQUAL RUSSELL TOP WEIGHT ETF 50 ETF -------------- ------------ ASSETS Investments at Market Value*.............................. $1,498,270,049 $315,094,380 Cash...................................................... 417,470 103,300 Receivables: Investments Sold........................................ 21,587,748 -- Fund Shares Sold........................................ 3,709,129 -- Dividends............................................... 1,211,927 519,874 -------------- ------------ TOTAL ASSETS......................................... 1,525,196,323 315,717,554 -------------- ------------ LIABILITIES Payables: Fund Shares Repurchased................................. 25,311,032 -- Accrued Management Fees................................. 534,774 55,495 -------------- ------------ TOTAL LIABILITIES.................................... 25,845,806 55,495 -------------- ------------ NET ASSETS................................................ $1,499,350,517 $315,662,059 ============== ============ NET ASSETS CONSIST OF: Paid-in Capital........................................... $2,000,362,447 $477,099,880 Undistributed Net Investment Income....................... 59,398 591,955 Accumulated Net Realized Loss on Investment Securities.... (439,678,662) (85,513,904) Net Unrealized Depreciation on Investment Securities...... (61,392,666) (76,515,872) -------------- ------------ NET ASSETS................................................ $1,499,350,517 $315,662,059 ============== ============ Shares Outstanding (Unlimited Shares Authorized), No Par Value................................................... 41,658,596 4,000,670 ============== ============ Net Asset Value, Offering Price and Repurchase Price Per Share................................................... $ 35.99 $ 78.90 ============== ============ *Total Cost of Investments................................ $1,559,662,715 $391,610,252 ============== ============
See Notes to Financial Statements. ANNUAL REPORT 19 STATEMENTS OF OPERATIONS For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI RYDEX/SGI S&P EQUAL RUSSELL TOP WEIGHT ETF 50 ETF ------------- ------------ INVESTMENT INCOME Dividends................................................ $ 21,840,753 $ 10,683,167 ------------- ------------ EXPENSES Management Fee........................................... 4,052,628 709,919 ------------- ------------ Net Investment Income...................................... 17,788,125 9,973,248 ------------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments.............................................. (325,310,359) (53,958,935) In-kind Redemptions...................................... 40,040,653 (45,915,464) ------------- ------------ Net Realized Loss..................................... (285,269,706) (99,874,399) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities.................................... 498,523,486 79,986,595 ------------- ------------ Net Realized and Unrealized Gain (Loss) on Investments..... 213,253,780 (19,887,804) ------------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......................................... $ 231,041,905 $ (9,914,556) ============= ============
See Notes to Financial Statements. 20 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT ETF RYDEX/SGI RUSSELL TOP 50 ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 17,788,125 $ 22,366,704 $ 9,973,248 $ 13,478,166 Net Realized Loss.................. (285,269,706) (38,415,845) (99,874,399) (22,149,607) Net Change in Unrealized Appreciation (Depreciation) on Investments..................... 498,523,486 (632,923,455) 79,986,595 (210,678,370) -------------- --------------- ------------- ------------- Net Increase (Decrease) in Net Assets Resulting From Operations...................... 231,041,905 (648,972,596) (9,914,556) (219,349,811) -------------- --------------- ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (17,303,063) (21,971,144) (10,220,260) (13,329,460) -------------- --------------- ------------- ------------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 1,265,540,179 619,139,869 218,923,660 283,203,866 Value of Shares Purchased through Dividend Reinvestments.......... 21,599 39,088 27,664 22,733 Value of Shares Redeemed........... (823,367,019) (1,282,510,869) (318,032,504) (297,024,052) -------------- --------------- ------------- ------------- Net Increase (Decrease) in Net Assets Resulting From Share Transactions.................... 442,194,759 (663,331,912) (99,081,180) (13,797,453) -------------- --------------- ------------- ------------- Increase (Decrease) in Net Assets........................ 655,933,601 (1,334,275,652) (119,215,996) (246,476,724) NET ASSETS--BEGINNING OF PERIOD...... 843,416,916 2,177,692,568 434,878,055 681,354,779 -------------- --------------- ------------- ------------- NET ASSETS--END OF PERIOD(1)......... $1,499,350,517 $ 843,416,916 $ 315,662,059 $ 434,878,055 ============== =============== ============= ============= (1) Including Undistributed Net Investment Income.................. $ 59,398 $ -- $ 591,955 $ 838,967 ============== =============== ============= ============= CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 40,900,000 14,600,000 3,100,000 3,050,000 Shares Purchased through Dividend Reinvestments................... 745 905 394 241 Shares Redeemed.................... (27,350,000) (29,504,000) (4,800,000) (3,200,000) Shares Outstanding, Beginning of Period.......................... 28,107,851 43,010,946 5,700,276 5,850,035 -------------- --------------- ------------- ------------- Shares Outstanding, End of Period.. 41,658,596 28,107,851 4,000,670 5,700,276 ============== =============== ============= =============
See Notes to Financial Statements. ANNUAL REPORT 21 FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT ETF ---------------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006(1) OCTOBER 31, 2005(1) ---------------- ---------------- ---------------- ------------------- ------------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD.... $ 30.01 $ 50.63 $ 46.06 $ 39.68 $ 35.70 ---------- -------- ---------- ---------- ---------- Net Investment Income*... 0.54 0.72 0.59 0.52 0.43 Net Realized and Unrealized Gain (Loss) on Investments......... 5.98 (20.64) 4.56 6.36 3.95 ---------- -------- ---------- ---------- ---------- TOTAL FROM INVESTMENT OPERATIONS............. 6.52 (19.92) 5.15 6.88 4.38 ---------- -------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.... (0.54) (0.70) (0.58) (0.50) (0.40) ---------- -------- ---------- ---------- ---------- NET ASSET VALUE AT END OF PERIOD................. $ 35.99 $ 30.01 $ 50.63 $ 46.06 $ 39.68 ========== ======== ========== ========== ========== TOTAL RETURN**........... 22.21% (39.75)% 11.23% 17.42% 12.29% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)............... $1,499,351 $843,417 $2,177,693 $1,759,797 $1,071,410 RATIO TO AVERAGE NET ASSETS OF: Expenses................. 0.40% 0.40% 0.40% 0.40% 0.40% Net Investment Income.... 1.75% 1.65% 1.22% 1.21% 1.11% Portfolio Turnover Rate+.................. 37% 32% 25% 16% 22%
* Based on average shares outstanding. ** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. (1) All per share information representing data prior to April 26, 2006 has been adjusted for the effect of a 4 for 1 stock split which occurred on April 26, 2006. + Portfolio turnover does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 22 FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
RYDEX/SGI RUSSELL TOP 50 ETF ----------------------------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006 OCTOBER 31, 2005* ---------------- ---------------- ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD...... $ 76.29 $ 116.47 $ 104.15 $ 91.39 $ 91.51 -------- -------- -------- -------- -------- Net Investment Income**.... 1.95 2.34 2.15 1.92 0.79 Net Realized and Unrealized Gain (Loss) on Investments.............. 2.61 (40.20) 12.25 12.71 (0.46) -------- -------- -------- -------- -------- TOTAL FROM INVESTMENT OPERATIONS............... 4.56 (37.86) 14.40 14.63 0.33 -------- -------- -------- -------- -------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income...... (1.95) (2.32) (2.08) (1.87) (0.45) -------- -------- -------- -------- -------- NET ASSET VALUE AT END OF PERIOD................... $ 78.90 $ 76.29 $ 116.47 $ 104.15 $ 91.39 ======== ======== ======== ======== ======== TOTAL RETURN***............ 6.35% (32.92)% 13.96% 16.18% 0.36% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......... $315,662 $434,878 $681,355 $364,541 $137,085 RATIO TO AVERAGE NET ASSETS OF: Expenses................... 0.20% 0.20% 0.20% 0.20% 0.20%**** Net Investment Income...... 2.79% 2.37% 1.96% 1.98% 1.74%**** Portfolio Turnover Rate+... 12% 10% 8% 7% 1%
* The Fund commenced operations on May 4, 2005. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 23 NOTES TO FINANCIAL STATEMENTS October 31, 2009 - -------------------------------------------------------------------------------- 1. ORGANIZATION Rydex ETF Trust (the "Trust") is an open-end, management investment company registered under the Investment Company Act of 1940, (the "1940 Act"). The Trust was organized as a Delaware statutory trust on November 22, 2002. As of October 31, 2009, the Trust offers thirty one portfolios, each of which represents a separate series of beneficial interest in the Trust (each a "Fund" and collectively the "Funds"). The financial statements herein relate to the following two funds: Rydex/SGI S&P Equal Weight ETF and Rydex/SGI Russell Top 50 ETF. Rydex/SGI S&P Equal Weight ETF commenced operations on April 24, 2003 and the Rydex/SGI Russell Top 50 ETF commenced operations on May 4, 2005. The Funds' investment objective is to replicate as closely as possible, before fees and expenses, the daily performance of an index representing publicly traded equity securities (the "Underlying Index"). Rydex/SGI S&P Equal Weight ETF tracks the S&P 500 Equal Weight Total Return Index. RydexSGI Russell Top 50 ETF tracks the Russell Top 50(TM) Index. The Funds seek to achieve their objective by investing in common stocks that comprise the Underlying Index. The Funds use a "replication" strategy to track the Underlying Index. "Replication" refers to investing in substantially all of the securities in the Underlying Index in approximately the same proportions as in the Underlying Index. The Funds operate as index funds and are not actively managed. Adverse performance of a security in the Funds' portfolio will ordinarily not result in the elimination of the security from the Funds' portfolio. The Funds issue and redeem shares on a continuous basis, at net asset value, only in aggregations of 50,000 shares called a "Creation Unit". Creation Units are issued and redeemed principally in-kind for securities included in the Underlying Index. 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities and disclosures at the date of the financial statements and accompanying notes and the reported amounts of increases and decreases in net assets from operations during the reporting period. Management believes that the estimates utilized in preparing the Funds' financial statements are reasonable and prudent; however, actual results could differ from these estimates. A. SECURITY VALUATION Securities listed on a domestic securities exchange are valued based on the last sale price as of the close of regular trading hours on the New York Stock Exchange or, in the absence of recorded sales, are valued at the most recent bid price. Securities for which the primary market is the National Association of Securities Dealers Automated Quotations National Market System ("NASDAQ") are valued at the NASDAQ Official Closing Price. The Funds invest in money market mutual funds, which are valued at their NAV. Securities for which market quotations are not readily available, including investments that are subject to limitations as to their sale, are valued at fair value as determined in good faith by Rydex Investments, an affiliated entity, which acts as the Funds' investment advisor in accordance with procedures adopted by the Board of Trustees. In determining fair value, consideration is given to market conditions, relative benchmarks and other financial data. B. SECURITY TRANSACTIONS AND INCOME RECOGNITION Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from portfolio fund transactions are calculated on the identified cost basis. Dividend income is recorded on the ex- dividend date, net of foreign tax withholdings. Interest income is recorded on the accrual basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer. C. REPURCHASE AGREEMENTS The Funds may enter into repurchase agreements with financial institutions. In a repurchase agreement, a Fund buys a security and the seller simultaneously agrees to repurchase the security on a specified future date at an agreed-upon price. The repurchase price reflects an agreed-upon interest rate during the time the Fund's money is invested in the security. Because the security constitutes collateral for the repurchase obligation, a repurchase agreement can be considered a collateralized loan. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large, well-capitalized and well-established financial institutions whose condition will be continually monitored by Rydex Investments. 24 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, the Funds will seek to liquidate such collateral. However, the exercising of the Funds' right to liquidate such collateral could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, the Funds could suffer a loss. It is the current policy of the Funds not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any other illiquid assets held by the Funds, amounts to more than 15% of the Funds' net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of Rydex Investments, liquidity or other considerations so warrant. For the year ended October 31, 2009, the Funds had not engaged in repurchase agreement transactions. D. FEDERAL INCOME TAXES The Funds' policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of the taxable income and capital gains, if any, to the shareholders within the allowable time limits. Therefore, no provision for Federal income taxes is required. Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken on federal income tax returns for all open tax years (fiscal years 2006 -- 2009), and has concluded that no provision for income tax was required in the Funds' financial statements. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for in- kind redemptions, income reclassifications from real estate investment trusts ("REITs") and losses deferred due to wash sales. In order to present paid-in capital, undistributed net investment income (loss) and accumulated net realized gain (loss) on investments on the statement of assets and liabilities that more closely represent their tax character, certain adjustments have been made to these accounts. These adjustments have no effect on net assets or net asset value per share. The most significant of these adjustments is for the net capital gains resulting from in-kind redemptions which, because they are non-taxable to the Funds, and therefore are not distributed to existing Fund shareholders, are reclassified to paid-in-capital. The in-kind net capital gains for the year ended October 31, 2009 are disclosed in each Fund's Statement of Operations. For the year ended October 31, 2009, the adjustments for the Funds were as follows:
UNDISTRIBUTED ACCUMULATED NET INVESTMENT NET REALIZED PAID-IN CAPITAL INCOME (LOSS) GAIN (LOSS) --------------- -------------- ------------ Rydex/SGI S&P Equal Weight ETF.................. $ 30,758,378 $(425,664) $(30,332,714) Rydex/SGI Russell Top 50 ETF.................... (48,516,647) -- 48,516,647
At October 31, 2009, the Funds had capital loss carryforwards which may be utilized to offset any net realized capital gains expiring October 31:
2013 2014 2015 2016 2017 ------- -------- -------- ------------ ------------ Rydex/SGI S&P Equal Weight ETF......... $ -- $ -- $ -- $119,981,602 $313,565,554 Rydex/SGI Russell Top 50 ETF........... 88,468 675,404 618,363 32,651,414 51,313,952
The Funds did not utilize any capital loss carryforwards during the year ended October 31, 2009. The tax character of distributable earnings (accumulated losses) at October 31, 2009 was as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY LONG TERM CAPITAL LOSS UNREALIZED INCOME CAPITAL GAIN CARRYFORWARD DEPRECIATION ------------- ------------- ------------- ------------ Rydex/SGI S&P Equal Weight ETF.......... $ 59,398 $-- $(433,547,156) $(67,524,172) Rydex/SGI Russell Top 50 ETF............ 591,955 -- (85,347,601) (76,682,175)
ANNUAL REPORT 25 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- The tax character of distributions paid during 2009 was as follows:
ORDINARY LONG-TERM INCOME CAPITAL GAIN ----------- ------------ Rydex/SGI S&P Equal Weight ETF.............................. $17,303,063 $-- Rydex/SGI Russell Top 50 ETF................................ 10,220,260 --
The tax character of distributions paid during 2008 was as follows:
ORDINARY LONG-TERM INCOME CAPITAL GAIN ----------- ------------ Rydex/SGI S&P Equal Weight ETF.............................. $21,971,144 $-- Rydex/SGI Russell Top 50 ETF................................ 13,329,460 --
E. FAIR VALUE MEASUREMENT In accordance with Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosure" ("ASC 820") (formerly known as FASB 157), fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC 820 established a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds' investments. The inputs are summarized in the three broad levels listed below. Level 1 -- quoted prices in active markets for identical securities. Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 -- significant unobservable inputs (including the Funds' own assumptions used to determine the fair value of investments). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. In April 2009, ASC 820 "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" provided additional guidance when the volume and level of activity for the asset or liability measured at fair value have significantly decreased. Additionally, ASC 820 expanded disclosure requirements by reporting entities surrounding the major categories of assets and liabilities carried at fair value. This additional guidance is effective for interim and annual periods ending after June 15, 2009. The types of inputs used to value each security are identified in the Schedule of Investments, which also includes a breakdown of the Funds' investments by category. The following table summarizes the inputs used to value the Funds' net assets as of October 31, 2009:
FUND LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ---- -------------- ------- ------- -------------- ASSETS Rydex/SGI S&P Equal Weight ETF................ $1,498,270,049 $-- $-- $1,498,270,049 Rydex/SGI Russell Top 50 ETF.................. 315,094,380 -- -- 315,094,380
For the year ended October 31, 2009, there were no Level 3 Investments. F. DIVIDENDS AND DISTRIBUTIONS Distributions of net investment income and net realized capital gains, if any, are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. 26 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- G. RISK AND UNCERTAINTIES The Trust invests in various investments which are exposed to risk, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect amounts reported in future financial statements. The Rydex/SGI Russell Top 50 ETF is a non-diversified fund, subjecting it to a greater risk than a fund that is diversified. H. RISK DISCLOSURE Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience the Funds expect the risk of loss to be remote. I. NEW ACCOUNTING PRONOUNCEMENTS In June 2009, the FASB established Accounting Standards Codification ("ASC") as the single source of authoritative accounting principles recognized by the FASB in the preparation of financial statements in conformity with U.S. GAAP. The ASC supersedes existing non-grandfathered, non-SEC accounting and reporting standards. The ASC did not change GAAP but rather organized it into a hierarchy where all guidance within the ASC carries an equal level of authority. The ASC became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The ASC did not have a material effect on the Funds' financial statements. The Funds adopted FASB ASC 815, "Derivatives and Hedging" ("ASC 815") (formerly known as FAS 161), effective October 31, 2009. ASC 815 is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds' financial position and results of operations. None of the Funds held derivatives for the year ended October 31, 2009. 3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES Rydex Investments determines the composition of the portfolio of securities that must be delivered in exchange for the issuance of Creation Units and periodically adjusts the composition of the portfolio of the Funds to conform to changes in the composition of the relevant index. For these services, Rydex Investments receives a management fee at the annual rate shown below of the average daily net assets of each Fund.
ADVISORY FEE ------------ Rydex/SGI S&P Equal Weight ETF...................................... 0.40% Rydex/SGI Russell Top 50 ETF........................................ 0.20%
Rydex Investments pays all expenses of the Funds, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except: interest, taxes, distribution fees or expenses and extraordinary expenses. Under an Administration Agreement, State Street Bank and Trust Company (the "Administrator") provides various administrative and accounting services for the maintenance and operations of the Funds. Under a Custodian Agreement with the Trust, the Administrator maintains cash, securities and other assets of the Trust and the Funds in separate accounts for each Fund, keeps all necessary accounts and records, and provides other services. The Administrator is required, upon the order of the Trust, to deliver securities held by the Custodian and to make payments for securities purchased by the Trust for the Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, the Administrator acts as a transfer agent for the Trust's authorized and issued shares of beneficial interest, and as dividend disbursing agent of the Trust. Rydex Investments compensates the Administrator directly for the foregoing services. The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to pay distribution fees to Rydex Distributors, Inc., an affiliated entity, (the "Distributor") and other firms that provide distribution services ("Service Providers"). If a Service Provider provides distribution services, the Funds 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 will, in turn, pay the Service Provider out of its fees. No such fee is currently charged to the Funds. ANNUAL REPORT 27 NOTES TO FINANCIAL STATEMENTS (concluded) - -------------------------------------------------------------------------------- 4. CAPITAL At October 31, 2009, there were an unlimited number of no par value shares of beneficial interest authorized. There is a minimum transaction fee per transaction to those persons purchasing or redeeming Creation Units. An additional charge of up to three times the standard transaction fee may be imposed for purchases and redemptions effected outside the National Securities Clearing Corporation usual clearing process or for cash. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees are not charged to or paid by the Fund. The minimum transaction fees are:
MINIMUM TRANSACTION FEE --------------- Rydex/SGI S&P Equal Weight ETF.................................... $2,000 Rydex/SGI Russell Top 50 ETF...................................... 500
5. INVESTMENT TRANSACTIONS For the year ended October 31, 2009 the Funds had in-kind contributions and in- kind redemptions as follows:
SUBSCRIPTIONS REDEMPTIONS -------------- ------------ Rydex/SGI S&P Equal Weight ETF............................ $1,135,717,966 $694,433,033 Rydex/SGI Russell Top 50 ETF.............................. 214,365,401 313,303,904
Purchases and sales of investment securities (excluding short-term investments, U.S. government and government agency obligations) for the Funds were as follows:
PURCHASES SALES ------------ ------------ Rydex/SGI S&P Equal Weight ETF............................. $379,553,931 $380,378,795 Rydex/SGI Russell Top 50 ETF............................... 47,345,107 43,977,351
There were no purchases or sales of U.S. government or government agency obligations for the year ended October 31, 2009. At October 31, 2009, the identified cost of investments in securities owned by each Fund for federal income tax purposes and the gross unrealized appreciation and depreciation were as follows:
GROSS GROSS IDENTIFIED UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION DEPRECIATION -------------- ------------ ------------- -------------- Rydex/SGI S&P Equal Weight ETF......... $1,565,794,221 $81,669,159 $(149,193,331) $(67,524,172) Rydex/SGI Russell Top 50 ETF........... 391,776,555 5,475,127 (82,157,302) (76,682,175)
6. SUBSEQUENT EVENTS Management has evaluated events or transactions that may have occurred since October 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through December 23, 2009, the date the financial statements were available to be issued and there were no events or transactions to be reported. 28 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM - -------------------------------------------------------------------------------- The Board of Trustees and Shareholders of Rydex ETF Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Rydex/SGI S&P Equal Weight ETF and Rydex/SGI Russell Top 50 ETF (the "Funds") (two of the series constituting the Rydex ETF Trust (the "Trust")) as of October 31, 2009, and the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, and financial highlights for each of the four years in the period then ended. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the period or year ended October 31, 2005 were audited by other auditors whose report dated December 20, 2005, expressed an unqualified opinion on those financial highlights. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Trust's internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2009, by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds at October 31, 2009, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the four years in the period then ended, in conformity with U.S. generally accepted accounting principles. /s/ ERNST & YOUNG LLP McLean, Virginia December 23, 2009 ANNUAL REPORT 29 SUPPLEMENTAL INFORMATION (Unaudited) - -------------------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION Percentage of ordinary distributions (net investment income plus short-term gains) which qualify for the corporate dividends received deduction for the fiscal year ended October 31, 2009:
PERCENTAGE ---------- Rydex/SGI S&P Equal Weight ETF....................................... 100.00% Rydex/SGI Russell Top 50 ETF......................................... 100.00%
For the fiscal year ended October 31, 2009, the Funds designate approximately the following amounts pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates: Rydex/SGI S&P Equal Weight ETF...................................... $19,343,037 Rydex/SGI Russell Top 50 ETF........................................ 10,435,231
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. Information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended September 30, 2009 is also available, without charge and upon request, by (i) calling 1-800-820-0888; or accessing the Trust's Form N-PX 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 Trust's 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 ETF Trust Board of Trustees (the "Board") generally calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex ETF Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the name Rydex Investments ("Rydex Investments") (the "Current 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. 30 SUPPLEMENTAL INFORMATION (Unaudited) (continued) - -------------------------------------------------------------------------------- At an in-person meeting held August 25, 2009, called for the purpose of, among other things, voting on the renewal of the investment advisory agreement applicable to the Funds, the Board, including all of the Independent Trustees (the "Annual Renewal Meeting"), considered and approved the continuance of the Current Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. BOARD CONSIDERATIONS IN APPROVING THE CONTINUATION OF THE CURRENT AGREEMENT In preparation for the Annual Renewal Meeting, the Board requested and received written materials from Rydex Investments about: (a) the quality of Rydex Investments' investment management and other services; (b) Rydex Investments' investment management personnel; (c) Rydex Investments' operations and financial condition; (d) Rydex Investments' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that Rydex Investments charges the Funds compared with the fees it charges to comparable funds or accounts; (f) each Fund's overall fees and operating expenses compared with similar funds; (g) the level of Rydex Investments' profitability from its Fund-related operations; (h) Rydex Investments' compliance systems; (i) Rydex Investments' policies on and compliance procedures for personal securities transactions; (j) Rydex Investments' reputation, expertise and resources in the financial markets; and (k) Fund performance compared with similar funds. Certain of these considerations are discussed in more detail below. In its deliberations at the Annual Renewal Meeting, the Board did not identify any single piece of information that was all-important or controlling. Based on the Board's deliberations and its evaluation of the information referenced above and described in more detail below, the Board, including all of the Independent Trustees, unanimously: (a) concluded that terms of the Current Agreement were fair and reasonable; (b) concluded that Rydex Investments' fees were reasonable in light of the services that Rydex Investments provides to the Funds; and (c) agreed to renew the Current Agreement for an additional one-year term. In approving the continuation of the Current Agreement at the Annual Renewal Meeting, the Board, including the Independent Trustees advised by independent counsel, considered the factors discussed below. NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Current 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. The Board further noted that the Funds have consistently met their investment objectives since their respective 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 Current 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 At the Annual Renewal Meeting, the Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees and gross and net total expenses of each Fund in comparison with the same information for other exchange-traded funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. 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 exchange-traded funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. 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 Current Agreement. ANNUAL REPORT 31 SUPPLEMENTAL INFORMATION (Unaudited) (concluded) - -------------------------------------------------------------------------------- COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES At the Annual Renewal Meeting, the Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Current Agreement for the last calendar year. 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 Current 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 at the Annual Renewal Meeting, 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 Current Agreement did not provide for any breakpoints in the investment advisory fees as a result of increases in the asset levels of the Funds. The Board also reviewed and considered Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in advisory fees 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, determined that the economies of scale, if any, were de minimis. OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES At the Annual Renewal Meeting, in addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the distribution 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. 32 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- 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. INDEPENDENT TRUSTEES
NAME, POSITION AND LENGTH OF SERVICE AS TRUSTEE NUMBER OF FUNDS YEAR OF BIRTH (YEAR BEGAN) OVERSEEN - ----------------------- ---------------------------------------- ---------------- JOHN O. DEMARET Rydex Series Funds -- 1997 151 Trustee, Chairman of Rydex Variable Trust -- 1998 the Board (1940) Rydex Dynamic Funds -- 1999 Rydex ETF Trust -- 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired --------------------- COREY A. COLEHOUR Rydex Series Funds -- 1993 151 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 151 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 151 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 151 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 151 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 151 Trustee (1944) Rydex Variable Trust -- 1998 Rydex Dynamic Funds -- 1999 Rydex ETF Trust -- 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine - ------------------------------------------------------------------------------------
ANNUAL REPORT 33 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (continued) - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE YEAR OF BIRTH YEARS - ----------------------------------------- ----------------------------------------- RICHARD M. GOLDMAN* President of Rydex Series Funds, Rydex President (1961) Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) MICHAEL P. BYRUM* Vice President of Rydex Series Funds Vice President (1970) (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) NICK BONOS* Vice President and Treasurer of Rydex Vice President and Treasurer (1963) Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) JOANNA M. HAIGNEY* Chief Compliance Officer of Rydex Series Chief Compliance Officer and Secretary Funds, Rydex Variable Trust, and Rydex (1966) Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) KEITH FLETCHER* Vice President of Rydex Series Funds, Vice President (1958) Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present)
34 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (concluded) - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS (concluded)
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE YEAR OF BIRTH YEARS - ----------------------------------------- ----------------------------------------- AMY LEE* Vice President and Assistant Secretary of Vice President and Rydex Series Funds, Assistant Secretary (1960) Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present); JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present) Director of Accounting of Rydex Investments (2003 to 2004) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Controller (1974) Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present)
* Officers of the Funds 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 Rydex Investments. RYDEX | SGI SECURITY GLOBAL INVESTORS(SM) 9601 Blackwell Road - Suite 500 - Rockville, MD 20850 www.rydex-sgi.com - 800.820.0888 ETF-ANN-1009X1010 OCTOBER 31, 2009 RYDEX ETF TRUST ANNUAL REPORT RYDEX | SGI S&P 500 PURE VALUE ETF RYDEX | SGI S&P 500 PURE GROWTH ETF RYDEX | SGI S&P MIDCAP 400 PURE VALUE ETF RYDEX | SGI S&P MIDCAP 400 PURE GROWTH ETF RYDEX | SGI S&P SMALLCAP 600 PURE VALUE ETF RYDEX | SGI S&P SMALLCAP 600 PURE GROWTH ETF RYDEX | SGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF RYDEX | SGI S&P EQUAL WEIGHT CONSUMER STAPLES ETF RYDEX | SGI S&P EQUAL WEIGHT ENERGY ETF RYDEX | SGI S&P EQUAL WEIGHT FINANCIALS ETF RYDEX | SGI S&P EQUAL WEIGHT HEALTH CARE ETF RYDEX | SGI S&P EQUAL WEIGHT INDUSTRIALS ETF RYDEX | SGI S&P EQUAL WEIGHT MATERIALS ETF RYDEX | SGI S&P EQUAL WEIGHT TECHNOLOGY ETF RYDEX | SGI S&P EQUAL WEIGHT UTILITIES ETF RYDEX | SGI SECURITY GLOBAL INVESTORS(SM) [RYDEXSHARES LOGO] ANNUAL REPORT 1 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS.............................................. 2 FEES AND EXPENSES....................................................... 4 PREMIUM AND DISCOUNT INFORMATION........................................ 6 MANAGER'S ANALYSIS...................................................... 8 PORTFOLIO SUMMARY....................................................... 9 SCHEDULES OF INVESTMENTS................................................ 38 STATEMENTS OF ASSETS AND LIABILITIES.................................... 62 STATEMENTS OF OPERATIONS................................................ 66 STATEMENTS OF CHANGES IN NET ASSETS..................................... 70 FINANCIAL HIGHLIGHTS.................................................... 78 NOTES TO FINANCIAL STATEMENTS........................................... 93 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM................. 101 SUPPLEMENTAL INFORMATION................................................ 102 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS........................... 105
2 LETTER TO OUR SHAREHOLDERS - -------------------------------------------------------------------------------- DEAR SHAREHOLDER, A year after the height of the financial crisis, the equity and credit markets are returning to more normal functioning. Federal Reserve Chairman Ben Bernanke's September 15, 2009, comment that "the recession is very likely over" seems to confirm the encouraging signs of the past six months. Overall, economic data suggest that the economy is emerging from the financial crisis and severe recession. CONTINUING FALLOUT FROM 2008 Seven months ago, the stock market began to climb back up from its lowest level in 12 years (reached March 9, 2009). For many, the spring surge gave hope for an end to the bear market that ravaged investors' portfolios, but the deepest downturn since the Great Depression would still leave its mark on the second and third quarters. As investors looked forward to putting 2008 far behind them, General Motors (GM) filed for bankruptcy on June 2, 2009, despite the injection of more than $19.4 billion in federal help and, for the first time since 1925, GM was no longer part of the Dow Jones Industrial Average. Second-quarter gross domestic product (GDP) declined by a 1.0% annual rate, though it recovered somewhat from the 6.4% contraction of the first quarter. However, in the third quarter of 2009, GDP increased 3.5% -- the first increase since the second quarter of 2008. GDP growth reflected an increase in consumer spending, an improvement in housing and growth in inventory investment, exports and government spending. By the end of September, the U.S. unemployment rate climbed to 9.8% -- the highest since June 1983. CAUTIOUS OPTIMISM FOR Q4 AND BEYOND The second and third quarters saw unprecedented growth in the stock market, kicked off in May by a report from payroll processor ADP that fewer jobs were lost in April than economists had predicted. In May, the Treasury Department also released the results of the now infamous "bank stress tests," allowing 10 major banks to pay back $68 billion in Troubled Asset Relief Program (TARP) money received earlier in the year. In September, existing-home sales bounced back strongly with first-time buyers driving much of the activity, marking five gains in the past six months. Existing-home sales -- including single-family, townhomes, condominiums and co-ops -- jumped 9.4% to a seasonally adjusted annual rate of 5.57 million units in September from a level of 5.09 million in August and are 9.2% higher than the 5.10 million-unit pace in September 2008. Sales activity is at the highest level in more than two years, since it hit 5.73 million in July 2007. There are other positive signs as well. The Conference Board Leading Economic Index(TM) for the U.S. increased 1.0% in September, following a 0.4% gain in August, and a 1.0% rise in July. On October 30, 2009, the Chicago Board Options Exchange Volatility Index (VIX), a measure of investor sentiment, surged 24%, its biggest one-day percentage gain in a year, closing at 30.69 -- its highest close since July. Additionally, stock market fluctuations have returned to more historically "normal" levels. Despite the impressive rally from its low point of 676.53 on March 9, the equity market -- as measured by the broad market S&P 500(R) Index -- returned 15.61%, in the third quarter of 2009. For the one-year period ending October 31, 2009, it returned 9.80%. Are we on the road to recovery? Clearly there are signs that point to an improving economic environment. But excessive optimism is premature -- the economy still has a long way to go. It is likely that we'll continue to see volatility in the market as the economic situation moves from crisis to stabilization. While we are not out of the woods yet, improving market conditions should lead to better investment opportunities going forward. RYDEX/SGI ETFS Due to transparency, convenience and low cost, ETFs continued to enjoy popularity as an investment vehicle of choice in 2008-2009, seeing a 20% increase in assets in the 12-month period ended September 30, 2009 according to the Investment Company Institute. Rydex/SGI has experienced 40% growth in assets in its ETFs over the 12-month period ending October 31, 2009. Having $5.620 billion in ETF assets under management and a lineup of 40 exchange traded products as of October 31, 2009, places Rydex/SGI as the 12th-largest player in the ETF market. With 14 leveraged and inverse ETFs, Rydex/SGI is a strong believer that investors have a solid understanding of the risks of these investments and understand the importance of monitoring their leveraged and inverse ETFs' holdings consistent with their strategies, as frequently as daily. In 2009, there was increased scrutiny and attention placed on leveraged and inverse investment products, including ETFs. While these products seek to deliver a specific multiple of their benchmark on a daily basis, some investors have a limited understanding of the effects of compounding on their long term performance. In particularly volatile markets, like the one we experienced in the past 12 to 18 months, the effects of compounding may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. For those ETFs that consistently apply leverage, the value of the ETF's shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus. ANNUAL REPORT 3 - -------------------------------------------------------------------------------- MOVING FORWARD From my perspective, every bear market -- from the recession of 1929 to the tech bubble of the early 1990s -- teaches investors the same valuable lesson: the need to diversify. Earlier this year, we integrated with Security Global Investors to become Rydex/SGI. This integration allows us to expand our current lineup of quantitatively managed, alternative and target beta funds to include actively managed global, growth, value and specialty fixed-income strategies. Simply put: We diversified our product offerings in order to position the company for future growth and to provide our clients with a wider array of investment strategies than ever before. While this integration marks the firm's evolution to a leading multidiscipline asset management firm, more importantly, we believe investors will be well served by the broader array of investment choices now available from Rydex/SGI. Sincerely, /s/ Michael Byrum Michael Byrum President & Chief Investment Officer PERFORMANCE DISPLAYED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. FUND PERFORMANCE IS SUBJECT TO DAILY MARKET VOLATILITY AND MAY BE BETTER OR WORSE SINCE THE END OF THE LAST QUARTER. FOR UP-TO-DATE FUND PERFORMANCE, CALL 800.820.0888 OR VISIT WWW.RYDEX-SGI.COM. 4 FEES AND EXPENSES - -------------------------------------------------------------------------------- SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Rydex ETF Trust, you incur transaction costs such as creation and redemption fees or brokerage charges, and ongoing costs including advisory fees and, if applicable, distribution fees. All other Trust expenses are paid by the advisor. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example in the table is based on an investment of $1,000 invested on April 30, 2009 and held for the six months ended October 31, 2009. ACTUAL EXPENSES The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred 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 in the first table under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses attributable to your investment during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT PAID DURING EXPENSE VALUE VALUE SIX-MONTH PERIOD* RATIO 4/30/09 10/31/09 4/30/09 TO 10/31/09 ------- --------- --------- ------------------- ACTUAL Rydex/SGI S&P 500 Pure Value ETF........... 0.35% $1,000.00 $1,413.10 $2.13 Rydex/SGI S&P 500 Pure Growth ETF.......... 0.35% 1,000.00 1,238.80 1.98 Rydex/SGI S&P MidCap 400 Pure Value ETF.... 0.35% 1,000.00 1,315.30 2.04 Rydex/SGI S&P MidCap 400 Pure Growth ETF... 0.35% 1,000.00 1,250.30 1.99 Rydex/SGI S&P SmallCap 600 Pure Value ETF.. 0.35% 1,000.00 1,326.70 2.05 Rydex/SGI S&P SmallCap 600 Pure Growth ETF..................................... 0.35% 1,000.00 1,183.30 1.93 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF....................... 0.50% 1,000.00 1,228.90 2.81 Rydex/SGI S&P Equal Weight Consumer Staples ETF..................................... 0.50% 1,000.00 1,216.50 2.79 Rydex/SGI S&P Equal Weight Energy ETF...... 0.50% 1,000.00 1,296.00 2.89 Rydex/SGI S&P Equal Weight Financials ETF.. 0.50% 1,000.00 1,337.60 2.95 Rydex/SGI S&P Equal Weight Health Care ETF..................................... 0.50% 1,000.00 1,215.00 2.79 Rydex/SGI S&P Equal Weight Industrials ETF..................................... 0.50% 1,000.00 1,178.50 2.75 Rydex/SGI S&P Equal Weight Materials ETF... 0.50% 1,000.00 1,232.10 2.81 Rydex/SGI S&P Equal Weight Technology ETF.. 0.50% 1,000.00 1,214.10 2.79 Rydex/SGI S&P Equal Weight Utilities ETF... 0.50% 1,000.00 1,132.10 2.69
ANNUAL REPORT 5 FEES AND EXPENSES (concluded) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT PAID DURING EXPENSE VALUE VALUE SIX-MONTH PERIOD* RATIO 4/30/09 10/31/09 4/30/09 TO 10/31/09 ------- --------- --------- ------------------- HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) Rydex/SGI S&P 500 Pure Value ETF........... 0.35% $1,000.00 $1,023.44 $1.79 Rydex/SGI S&P 500 Pure Growth ETF.......... 0.35% 1,000.00 1,023.44 1.79 Rydex/SGI S&P MidCap 400 Pure Value ETF.... 0.35% 1,000.00 1,023.44 1.79 Rydex/SGI S&P MidCap 400 Pure Growth ETF... 0.35% 1,000.00 1,023.44 1.79 Rydex/SGI S&P SmallCap 600 Pure Value ETF.. 0.35% 1,000.00 1,023.44 1.79 Rydex/SGI S&P SmallCap 600 Pure Growth ETF..................................... 0.35% 1,000.00 1,023.44 1.79 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF....................... 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Consumer Staples ETF..................................... 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Energy ETF...... 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Financials ETF.. 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Health Care ETF..................................... 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Industrials ETF..................................... 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Materials ETF... 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Technology ETF.. 0.50% 1,000.00 1,022.68 2.55 Rydex/SGI S&P Equal Weight Utilities ETF... 0.50% 1,000.00 1,022.68 2.55
- -------- * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). 6 PREMIUM AND DISCOUNT INFORMATION (Unaudited) - -------------------------------------------------------------------------------- The tables that follow present information about the differences between the daily market price on secondary markets for shares of the Funds and each Fund's NAV. Net Asset Value, or "NAV," is the price per share at which a Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The "Market Price" of a Fund generally is determined using the midpoint between the highest bid and the lowest offer on the Exchange on which the Fund is listed for trading, as of the time the Fund's NAV is calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of a Fund will fluctuate in accordance with changes in its NAV, as well as market supply of and demand for shares of the Funds. Premiums or discounts are the differences (generally expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a positive percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a negative percentage of the NAV. The following information shows the frequency distribution of premiums and discounts for the Funds. The information shown for each Fund is for the period from inception to October 31, 2009. Each line in the table shows the number of trading days in which the Funds traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by the table. All data presented here represents past performance, which cannot be used to predict future results.
NUMBER OF DAYS ------------------------------------------------------------------- RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI S&P S&P S&P 500 S&P 500 S&P S&P SMALLCAP SMALLCAP PURE PURE MIDCAP 400 MIDCAP 400 600 PURE 600 PURE VALUE GROWTH PURE VALUE PURE GROWTH VALUE GROWTH ETF ETF ETF ETF ETF ETF PREMIUM/DISCOUNT RANGE --------- --------- ---------- ----------- --------- --------- Greater than 3%........................ 2 2 6 0 4 4 Between 1.01% and 3%................... 32 17 26 10 21 39 Between .51% and 1%.................... 43 30 36 22 42 37 Between .26% and .5%................... 57 57 56 35 82 67 Between .25% and 0%.................... 379 364 314 383 334 280 Between -0.01% and -0.25%.............. 332 390 368 395 334 356 Between -0.26% and -0.5%............... 65 61 67 82 69 91 Between -0.51% and -1%................. 39 29 41 35 52 59 Between -1.01% and -3%................. 30 29 55 19 38 44 Less than -3%.......................... 3 3 13 1 6 5 --- --- --- --- --- --- Total.................................. 982 982 982 982 982 982
PERCENTAGE OF TOTAL DAYS ------------------------------------------------------------------- RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI S&P S&P S&P 500 S&P 500 S&P S&P SMALLCAP SMALLCAP PURE PURE MIDCAP 400 MIDCAP 400 600 PURE 600 PURE VALUE GROWTH PURE VALUE PURE GROWTH VALUE GROWTH ETF ETF ETF ETF ETF ETF PREMIUM/DISCOUNT RANGE --------- --------- ---------- ----------- --------- --------- Greater than 3%........................ 0.20% 0.20% 0.61% 0.00% 0.41% 0.41% Between 1.01% and 3%................... 3.26% 1.73% 2.65% 1.02% 2.14% 3.97% Between .51% and 1%.................... 4.38% 3.05% 3.67% 2.24% 4.28% 3.77% Between .26% and .5%................... 5.80% 5.80% 5.70% 3.56% 8.35% 6.82% Between .25% and 0%.................... 38.59% 37.07% 31.98% 39.00% 34.01% 28.51% Between -0.01% and -0.25%.............. 33.81% 39.71% 37.47% 40.22% 34.01% 36.25% Between -0.26% and -0.5%............... 6.62% 6.21% 6.82% 8.35% 7.03% 9.27% Between -0.51% and -1%................. 3.97% 2.95% 4.18% 3.56% 5.30% 6.01% Between -1.01% and -3%................. 3.05% 2.95% 5.60% 1.93% 3.87% 4.48% Less than -3%.......................... 0.31% 0.31% 1.32% 0.10% 0.61% 0.51% ------ ------ ------ ------ ------ ------ Total.................................. 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
ANNUAL REPORT 7 PREMIUM AND DISCOUNT INFORMATION (Unaudited) (concluded) - --------------------------------------------------------------------------------
NUMBER OF DAYS --------------------------------------------------------------------------------------------------- RYDEX/SGI RYDEX/SGI S&P EQUAL S&P EQUAL RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI WEIGHT WEIGHT S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY UTILITIES ETF ETF ETF ETF ETF ETF ETF ETF ETF PREMIUM/DISCOUNT RANGE ------------- --------- --------- ---------- ----------- ----------- --------- ---------- --------- Greater than 30%....... 0 0 0 1 0 0 0 0 0 Between 10.01% and 30%.................. 0 0 0 1 0 0 0 0 0 Between 8.01% and 10%.. 1 0 0 0 0 0 0 0 0 Between 3.01% and 8%... 7 0 7 12 0 6 3 6 2 Between 1.01% and 3%... 21 19 29 49 7 43 36 26 34 Between .51% and 1%.... 30 34 52 49 29 40 36 36 35 Between .26% and .5%... 30 46 53 40 55 49 45 49 51 Between .25% and 0%.... 266 268 224 203 319 231 275 275 251 Between -0.01% and -0.25%............... 331 306 246 273 291 287 271 268 285 Between -0.26% and -0.5%................ 66 69 74 55 68 55 58 61 66 Between -0.51% and -1%.................. 38 51 67 59 34 61 43 54 57 Between -1.01% and -3%.................. 14 18 45 51 8 36 39 34 24 Between -3.01% and -8%.................. 6 0 13 16 0 3 5 2 5 Between -8.01% and -10%................. 1 0 0 1 0 0 0 0 0 Between -10.01% and -30%................. 0 0 0 1 0 0 0 0 0 Less Than -30%......... 0 0 1 0 0 0 0 0 1 --- --- --- --- --- --- --- --- --- Total.................. 811 811 811 811 811 811 811 811 811
PERCENTAGE OF TOTAL DAYS --------------------------------------------------------------------------------------------------- RYDEX/SGI RYDEX/SGI S&P EQUAL S&P EQUAL RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI RYDEX/SGI WEIGHT WEIGHT S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL S&P EQUAL CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY UTILITIES ETF ETF ETF ETF ETF ETF ETF ETF ETF PREMIUM/DISCOUNT RANGE ------------- --------- --------- ---------- ----------- ----------- --------- ---------- --------- Greater than 30%....... 0.00% 0.00% 0.00% 0.12% 0.00% 0.00% 0.00% 0.00% 0.00% Between 10.01% and 30%.................. 0.00% 0.00% 0.00% 0.12% 0.00% 0.00% 0.00% 0.00% 0.00% Between 8.01% and 10%.. 0.12% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Between 3.01% and 8%... 0.86% 0.00% 0.86% 1.48% 0.00% 0.74% 0.37% 0.74% 0.25% Between 1.01% and 3%... 2.59% 2.34% 3.58% 6.04% 0.86% 5.30% 4.44% 3.21% 4.19% Between .51% and 1%.... 3.70% 4.19% 6.41% 6.04% 3.58% 4.93% 4.44% 4.44% 4.32% Between .26% and .5%... 3.70% 5.67% 6.54% 4.93% 6.78% 6.04% 5.55% 6.04% 6.29% Between .25% and 0%.... 32.80% 33.05% 27.62% 25.03% 39.33% 28.48% 33.91% 33.91% 30.95% Between -0.01% and -0.25%............... 40.81% 37.73% 30.33% 33.66% 35.88% 35.39% 33.42% 33.05% 35.14% Between -0.26% and -0.5%................ 8.14% 8.51% 9.12% 6.78% 8.38% 6.78% 7.15% 7.52% 8.14% Between -0.51% and -1%.................. 4.69% 6.29% 8.26% 7.27% 4.19% 7.52% 5.30% 6.66% 7.03% Between -1.01% and -3%.................. 1.73% 2.22% 5.55% 6.29% 0.99% 4.44% 4.81% 4.19% 2.96% Between -3.01% and -8%.................. 0.74% 0.00% 1.60% 1.97% 0.00% 0.37% 0.62% 0.25% 0.62% Between -8.01% and -10%................. 0.12% 0.00% 0.00% 0.12% 0.00% 0.00% 0.00% 0.00% 0.00% Between -10.01% and -30%................. 0.00% 0.00% 0.00% 0.12% 0.00% 0.00% 0.00% 0.00% 0.00% Less Than -30%......... 0.00% 0.00% 0.12% 0.00% 0.00% 0.00% 0.00% 0.00% 0.12% ------ ------ ------ ------ ------ ------ ------ ------ ------ Total.................. 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
8 RYDEX/SGI S&P 500 PURE VALUE ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P 500 Pure Value ETF returned 23.73%. Over the year, its benchmark, the S&P 500/CitiGroup Pure Value Total Return Index, turned in a return of 24.92%. For the period, the ETF achieved a correlation of over 99% to its benchmark of the daily price movement of the S&P 500/CitiGroup Pure Value Total Return Index. The consumer discretionary (50.42%) sector was by far the biggest contributor to performance during the period, followed by materials (31.06%) and financials (7.55%). The biggest detractors to performance were the utilities and energy sectors. There was a broad rally in value and large caps stocks over the past year with very little performance differentiation. Large-cap value stocks performed in line with both mid-cap and small-cap value stocks during the period. As well, large-cap value stocks only slightly underperformed large-cap growth stocks. The S&P 500/CitiGroup Pure Value Total Return Index handily outperformed both the S&P 500 Value Total Return Index (2.98%) and the broad S&P 500(R) Total Return Index (9.80%) for the year. CUMULATIVE FUND PERFORMANCE: MARCH 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P 500 /CITIGROUP RYDEX S&P PURE VALUE S&P VALUE 500 PURE TOTAL RETURN TOTAL RETURN VALUE ETF(A) INDEX(B) INDEX(C) ------------ -------------- ------------ 3/1/2006 10000 10000 10000 3/31/2006 10070 10070 10077 4/30/2006 10378 10382 10357 5/31/2006 10218 10218 10104 6/30/2006 10315 10323 10138 7/31/2006 10264 10273 10240 8/31/2006 10435 10450 10396 9/30/2006 10622 10640 10673 10/31/2006 11027 11053 11029 11/30/2006 11287 11317 11227 12/31/2006 11481 11519 11497 1/31/2007 11733 11775 11700 2/28/2007 11784 11831 11502 3/31/2007 11922 11972 11651 4/30/2007 12335 12392 12140 5/31/2007 12683 12748 12604 6/30/2007 12465 12529 12345 7/31/2007 11731 11793 11860 8/31/2007 11697 11765 12019 9/30/2007 11812 11881 12393 10/31/2007 11888 11961 12523 11/30/2007 11315 11396 11914 12/31/2007 11009 11094 11727 1/31/2008 11253 11345 11318 2/29/2008 10078 10151 10728 3/31/2008 9729 9796 10678 4/30/2008 10063 10137 11076 5/31/2008 9944 10020 11089 6/30/2008 8430 8498 9846 7/31/2008 8494 8566 9979 8/31/2008 8917 8996 10113 9/30/2008 8293 8362 9356 10/31/2008 6450 6495 7756 11/30/2008 5578 5615 7060 12/31/2008 5720 5783 7127 1/31/2009 4803 4853 6261 2/28/2009 3772 3808 5442 3/31/2009 4282 4322 5979 4/30/2009 5646 5710 6639 5/31/2009 6360 6439 7062 6/30/2009 6180 6257 7026 7/31/2009 6965 7068 7618 8/31/2009 7983 8110 8033
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR (03/01/06) -------- ---------- --------------- RYDEX/SGI S&P 500 PURE VALUE ETF................... 23.73% -10.23% -5.97% S&P 500/CITIGROUP PURE VALUE TOTAL RETURN INDEX.... 24.92% -9.80% -5.54% S&P 500 VALUE TOTAL RETURN INDEX................... 2.98% -10.20% -5.94%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 9 RYDEX/SGI S&P 500 PURE VALUE ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ XL CAPITAL, LTD. -- CLASS A 7.51% GENWORTH FINANCIAL, INC. -- CLASS A 5.38% OFFICE DEPOT, INC. 3.20% HARTFORD FINANCIAL SERVICES GROUP, INC. 2.63% TENET HEALTHCARE CORP. 2.44% WYNDHAM WORLDWIDE CORP. 2.41% MACY'S, INC. 2.29% PROLOGIS 2.24% SUPERVALU, INC. 1.98% FORD MOTOR CO. 1.93% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Financials 37.25 Consumer Discretionary 24.61 Materials 8.55 Utilities 6.59 Consumer Staples 5.61 Health Care 4.24 Industrials 3.69 Information Technology 3.54 Energy 3.17 Telecommunication Services 2.75
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 10 RYDEX/SGI S&P 500 PURE GROWTH ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P 500 Pure Growth ETF returned 27.41%. Over the year, its benchmark, the S&P 500/CitiGroup Pure Growth Total Return Index, turned in a 27.79% return. The Rydex/SGI S&P 500 Pure Growth ETF achieved over 99% correlation to its benchmark on a daily basis. By far the biggest contributor to performance, the information technology sector, returned 39.93% during the period, followed by consumer discretionary (32.75%) and energy (18.98%). The health-care sector was the only sector to detract performance for the year. Large-cap growth stocks performed better than small-cap growth stocks but underperformed mid-cap growth stocks during the period. As well, large-cap growth stocks slightly outperformed large-cap value stocks. The S&P 500/CitiGroup Pure Growth Total Return Index handily outperformed both the S&P 500 Growth Total Return Index (16.36%) and the broad S&P 500(R) Total Return Index (9.80%) for the year. CUMULATIVE FUND PERFORMANCE: MARCH 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P 500/CITIGROUP RYDEX SGI S&P PURE GROWTH S&P 500 500 PURE TOTAL RETURN GROWTH TOTAL GROWTH ETF(A) INDEX(B) RETURN INDEX(C) ------------- ----------------- --------------- 3/1/2006 10000 10000 10000 3/31/2006 10058 10062 10002 4/30/2006 9974 9977 9994 5/31/2006 9567 9572 9663 6/30/2006 9553 9563 9656 7/31/2006 9404 9419 9677 8/31/2006 9701 9720 9993 9/30/2006 9963 9987 10242 10/31/2006 10277 10305 10567 11/30/2006 10484 10516 10780 12/31/2006 10452 10486 10820 1/31/2007 10714 10754 10955 2/28/2007 10604 10645 10711 3/31/2007 10652 10698 10810 4/30/2007 11124 11177 11316 5/31/2007 11422 11481 11671 6/30/2007 11260 11319 11526 7/31/2007 10804 10866 11270 8/31/2007 10845 10912 11456 9/30/2007 11306 11379 11960 10/31/2007 11592 11667 12216 11/30/2007 11101 11166 11787 12/31/2007 11115 11183 11808 1/31/2008 10320 10386 10819 2/29/2008 10229 10296 10678 3/31/2008 10127 10196 10636 4/30/2008 10741 10822 11269 5/31/2008 11025 11114 11538 6/30/2008 10243 10322 10855 7/31/2008 9990 10069 10561 8/31/2008 10140 10223 10724 9/30/2008 8970 9043 9635 10/31/2008 7187 7245 8044 11/30/2008 6545 6593 7596 12/31/2008 6768 6823 7684 1/31/2009 6416 6469 7308 2/28/2009 5885 5934 6685 3/31/2009 6421 6478 7209 4/30/2009 7389 7459 7810 5/31/2009 7845 7921 8195 6/30/2009 7823 7901 8262 7/31/2009 8407 8493 8825 8/31/2009 8671 8764 8999 9/30/2009 9299 9401 9382 10/31/2009 9156 9259 9360
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR (03/01/06) -------- ---------- --------------- RYDEX/SGI S&P 500 PURE GROWTH ETF.................. 27.41% -3.78% -2.37% S&P 500/CITIGROUP PURE GROWTH TOTAL RETURN INDEX... 27.79% -3.51% -2.08% S&P 500 GROWTH TOTAL RETURN INDEX.................. 16.36% -3.96% -1.79%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 11 RYDEX/SGI S&P 500 PURE GROWTH ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ FREEPORT-MCMORAN COPPER & GOLD, INC. 2.63% INTUITIVE SURGICAL, INC. 2.06% COGNIZANT TECHNOLOGY SOLUTIONS CORP. -- CLASS A 1.69% SEARS HOLDINGS CORP. 1.67% CB RICHARD ELLIS GROUP, INC. -- CLASS A 1.57% RED HAT, INC. 1.49% AGILENT TECHNOLOGIES, INC. 1.43% AMAZON.COM, INC. 1.43% GOOGLE, INC. -- CLASS A 1.41% SANDISK CORP. 1.39% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Information Technology 31.84 Energy 16.12 Consumer Discretionary 13.52 Health Care 11.80 Financials 7.89 Industrials 7.82 Materials 6.28 Consumer Staples 4.27 Utilities 0.46
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 12 RYDEX/SGI S&P MIDCAP 400 PURE VALUE ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Mid-Cap 400 Pure Value ETF returned 23.32%. Over the year, its benchmark, the S&P 400/CitiGroup Pure Value Total Return Index, turned in a 24.56% return. The ETF achieved over 99% correlation to its benchmark on a daily basis. Materials (61.39%), industrials (78.84%) and information technology (68.51%) were the biggest contributors to performance. The consumer discretionary sector (-21.86) was the biggest detractor to performance. There was a broad rally in value stocks over the past year with very little performance differentiation between market cap ranges. Mid-cap value stocks performed only slightly worse than large-cap and small-cap value stocks during the period. However, mid-cap value stocks underperformed mid-cap growth stocks by more than 10% for the year. The S&P 400/CitiGroup Pure Value Total Return Index outperformed both the S&P 400 Value Total Return Index (14.51%) and the broader S&P MidCap 400(R) Total Return Index (18.18%) for the year. CUMULATIVE FUND PERFORMANCE: MARCH 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
RYDEX SGI S&P S&P MIDCAP S&P MIDCAP MIDCAP 400 400/CITIGROUP PURE 400 VALUE PURE VALUE VALUE TOTAL TOTAL RETURN ETF(A) RETURN INDEX(B) INDEX(C) ------------- ------------------ ------------ 3/1/2006 10000 10000 10000 3/31/2006 9997 10002 10127 4/30/2006 10181 10187 10339 5/31/2006 9886 9894 9926 6/30/2006 10067 10079 9922 7/31/2006 9911 9926 9701 8/31/2006 10089 10107 9845 9/30/2006 10123 10145 9866 10/31/2006 10646 10674 10311 11/30/2006 11052 11084 10627 12/31/2006 11156 11198 10642 1/31/2007 11572 11617 10996 2/28/2007 11704 11755 11129 3/31/2007 11773 11827 11246 4/30/2007 12055 12114 11563 5/31/2007 12472 12539 12067 6/30/2007 12102 12167 11747 7/31/2007 11337 11402 11174 8/31/2007 11373 11441 11255 9/30/2007 11408 11481 11450 10/31/2007 11706 11778 11648 11/30/2007 11025 11049 10980 12/31/2007 10803 10840 10923 1/31/2008 10975 11013 10366 2/29/2008 10220 10237 10033 3/31/2008 10067 10067 9980 4/30/2008 10608 10614 10710 5/31/2008 10777 10788 11205 6/30/2008 9280 9287 10210 7/31/2008 9574 9588 10176 8/31/2008 9949 9966 10389 9/30/2008 9425 9441 9502 10/31/2008 6818 6826 7433 11/30/2008 6047 6047 6775 12/31/2008 6173 6224 7114 1/31/2009 5188 5227 6506 2/28/2009 4274 4301 5770 3/31/2009 4826 4863 6253 4/30/2009 6392 6448 7236 5/31/2009 6781 6842 7375 6/30/2009 6721 6780 7427 7/31/2009 7878 7954 8125 8/31/2009 8844 8939 8566 9/30/2009 9240 9340 9021 10/31/2009 8410 8502 8512
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR (03/01/06) -------- ---------- --------------- RYDEX/SGI S&P MIDCAP 400 PURE VALUE ETF............ 23.32% -7.57% -4.61% S&P MIDCAP 400/CITIGROUP PURE VALUE TOTAL RETURN INDEX............................................ 24.56% -7.31% -4.33% S&P MIDCAP 400 VALUE TOTAL RETURN INDEX............ 14.51% -6.19% -4.30%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 13 RYDEX/SGI S&P MIDCAP 400 PURE VALUE ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ OSHKOSH CORP. 7.65% TEMPLE-INLAND, INC. 7.23% ASHLAND, INC. 5.94% LOUISIANA-PACIFIC CORP. 3.21% WILLIAMS-SONOMA, INC. 3.19% PROTECTIVE LIFE CORP. 2.39% TECH DATA CORP. 2.38% ANNTAYLOR STORES CORP. 2.11% SL GREEN REALTY CORP. 2.10% RF MICRO DEVICES, INC. 1.88% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Financials 26.07 Materials 20.29 Consumer Discretionary 17.19 Industrials 14.65 Information Technology 9.64 Utilities 5.88 Health Care 3.47 Consumer Staples 2.15 Energy 0.66
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 14 RYDEX/SGI S&P MIDCAP 400 PURE GROWTH ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Mid-Cap 400 Pure Growth ETF returned 35.59%. Over the year, its benchmark, the S&P Mid-Cap 400/CitiGroup Pure Growth Total Return Index, turned in a 36.31% total return. The ETF achieved over 99% correlation to its benchmark on a daily basis. Both consumer discretionary (62.05%) and information technology (44.26%) were large contributors to performance. No sectors had a negative impact on performance during the period. Mid-cap growth stocks were the best performing pure style box. Mid-cap growth stocks performed better than large-cap and small-cap growth stocks during the period. As well, mid-cap growth stocks outperformed mid-cap value stocks by more than 10% for the year. The S&P 400/CitiGroup Pure Growth Total Return Index handily outperformed both the S&P 400 Growth Total Return Index (21.88%) and the broader S&P MidCap 400(R) Total Return Index (18.18%) for the year. CUMULATIVE FUND PERFORMANCE: MARCH 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
RYDEX SGI S&P S&P MIDCAP S&P MIDCAP MIDCAP 400 400/CITIGROUP PURE 400 GROWTH PURE GROWTH GROWTH TOTAL TOTAL RETURN ETF(A) RETURN INDEX(B) INDEX(C) ------------- ------------------ ------------ 3/1/2006 10000 10000 10000 3/31/2006 10046 10048 10069 4/30/2006 9962 9968 10135 5/31/2006 9363 9371 9620 6/30/2006 9380 9391 9629 7/31/2006 8995 9003 9285 8/31/2006 8936 8946 9354 9/30/2006 9132 9145 9469 10/31/2006 9523 9542 9822 11/30/2006 9911 9934 10156 12/31/2006 9863 9891 10035 1/31/2007 10200 10231 10431 2/28/2007 10192 10226 10458 3/31/2007 10340 10380 10630 4/30/2007 10719 10764 10977 5/31/2007 11290 11341 11598 6/30/2007 11099 11152 11398 7/31/2007 10536 10590 10972 8/31/2007 10649 10706 11094 9/30/2007 10937 11000 11485 10/31/2007 11445 11513 11889 11/30/2007 10955 11011 11375 12/31/2007 10845 10909 11390 1/31/2008 10153 10213 10566 2/29/2008 9992 10052 10520 3/31/2008 9831 9892 10359 4/30/2008 10565 10638 11199 5/31/2008 11137 11219 11867 6/30/2008 10590 10672 11262 7/31/2008 10289 10377 10886 8/31/2008 10479 10572 11030 9/30/2008 9352 9436 9604 10/31/2008 7495 7560 7521 11/30/2008 6703 6757 6790 12/31/2008 6998 7072 7106 1/31/2009 6660 6733 6687 2/28/2009 6069 6139 6147 3/31/2009 6792 6871 6744 4/30/2009 8129 8226 7692 5/31/2009 8635 8742 7963 6/30/2009 8627 8736 8006 7/31/2009 9326 9447 8655 8/31/2009 9741 9872 8942 9/30/2009 10560 10704 9491 10/31/2009 10162 10304 9167
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR (03/01/06) -------- ---------- --------------- RYDEX/SGI S&P MIDCAP 400 PURE GROWTH ETF........... 35.59% 2.19% 0.44% S&P MIDCAP 400/CITIGROUP PURE GROWTH TOTAL RETURN INDEX............................................ 36.31% 2.60% 0.82% S&P MIDCAP 400 GROWTH TOTAL RETURN INDEX........... 21.88% -2.27% -2.34%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 15 RYDEX/SGI S&P MIDCAP 400 PURE GROWTH ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ J. CREW GROUP, INC. 4.23% SOTHEBY'S 2.34% JOY GLOBAL, INC. 2.32% AEROPOSTALE, INC. 2.23% CHICO'S FAS, INC. 2.12% COMMSCOPE, INC. 2.00% HELIX ENERGY SOLUTIONS GROUP, INC. 1.88% UNITED THERAPEUTICS CORP. 1.77% LAM RESEARCH CORP. 1.69% GUESS?, INC. 1.67% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Consumer Discretionary 31.41 Industrials 17.98 Information Technology 16.86 Energy 11.05 Health Care 9.47 Financials 6.44 Materials 3.87 Consumer Staples 2.92
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 16 RYDEX/SGI S&P SMALLCAP 600 PURE VALUE ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Small Cap 600 Pure Value ETF returned 25.00%. Over the year, its benchmark, the S&P 600/CitiGroup Pure Value Total Return Index, turned in a 26.83% return. The ETF achieved over 99% correlation to its benchmark on a daily basis. The biggest contributors to performance were the consumer discretionary (55.67%) and information technology (33.12%) sectors. The biggest detractor to performance was the financials (-24.74%) sector. There was a broad rally in value stocks over the past year with very little performance differentiation between market cap ranges. Small-cap value stocks performed slightly better than large-cap and mid-cap value stocks during the period. As well, small-cap value stocks outperformed small-cap growth stocks for the year. The S&P 600/CitiGroup Pure Value Index handily outperformed the S&P 600 Value Index (3.48%) and the broad S&P SmallCap 600(TM) Index (5.57%) for the year. CUMULATIVE FUND PERFORMANCE: MARCH 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
RYDEX SGI S&P S&P SMALLCAP S&P SMALLCAP SMALLCAP 600 600/CITIGROUP PURE 600 VALUE PURE VALUE VALUE TOTAL TOTAL RETURN ETF(A) RETURN INDEX(B) INDEX(C) ------------- ------------------ ------------ 3/1/2006 10000 10000 10000 3/31/2006 10338 10343 10336 4/30/2006 10359 10368 10351 5/31/2006 9769 9777 9880 6/30/2006 9917 9935 9918 7/31/2006 9714 9728 9593 8/31/2006 9839 9855 9850 9/30/2006 9939 9961 9977 10/31/2006 10519 10538 10519 11/30/2006 10794 10820 10778 12/31/2006 10995 11027 10815 1/31/2007 11319 11355 11041 2/28/2007 11274 11312 10936 3/31/2007 11218 11256 11050 4/30/2007 11418 11462 11267 5/31/2007 11779 11829 11782 6/30/2007 11488 11535 11518 7/31/2007 10559 10602 10836 8/31/2007 10324 10369 10948 9/30/2007 10065 10110 10977 10/31/2007 9953 9989 11110 11/30/2007 9013 9049 10328 12/31/2007 8923 8975 10216 1/31/2008 9345 9406 9834 2/29/2008 8487 8534 9457 3/31/2008 8698 8754 9556 4/30/2008 8483 8541 9818 5/31/2008 8637 8699 10228 6/30/2008 7568 7595 9321 7/31/2008 7995 8028 9630 8/31/2008 8374 8409 10074 9/30/2008 8205 8248 9541 10/31/2008 6323 6343 7670 11/30/2008 5189 5208 6745 12/31/2008 5137 5230 7201 1/31/2009 4099 4169 6187 2/28/2009 3277 3330 5400 3/31/2009 3883 3943 5849 4/30/2009 5956 6056 6925 5/31/2009 6282 6380 6972 6/30/2009 6809 6922 7054 7/31/2009 8150 8289 7855 8/31/2009 8746 8901 8116 9/30/2009 9558 9728 8472 10/31/2009 7903 8043 7937
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR (03/01/06) -------- ---------- --------------- RYDEXSGI S&P SMALLCAP 600 PURE VALUE ETF........... 25.00% -9.09% -6.21% S&P SMALLCAP 600/CITIGROUP PURE VALUE TOTAL RETURN INDEX............................................ 26.83% -8.62% -5.76% S&P SMALLCAP 600 VALUE TOTAL RETURN INDEX.......... 3.48% -8.96% -6.11%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 17 RYDEX/SGI S&P SMALLCAP 600 PURE VALUE ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ STEIN MART, INC. 6.46% RUBY TUESDAY, INC. 4.42% O'CHARLEYS, INC. 3.67% BRUNSWICK CORP. 3.25% E.W. SCRIPPS CO. -- CLASS A 3.15% STANDARD MOTOR PRODUCTS, INC. 3.06% LITHIA MOTORS, INC. -- CLASS A 2.98% SONIC AUTOMOTIVE, INC.-CLASS A 2.97% NATIONAL FINANCIAL PARTNERS CORP. 2.77% OXFORD INDUSTRIES, INC. 2.59% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Consumer Discretionary 58.35 Financials 15.87 Information Technology 11.83 Industrials 7.2 Materials 3.48 Consumer Staples 1.9 Telecommunication Services 0.82 Utilities 0.55
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 18 RYDEX/SGI S&P SMALLCAP 600 PURE GROWTH ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P SmallCap 600 Pure Growth ETF returned 17.93%. Over the year, its benchmark, the S&P SmallCap 600/CitiGroup Pure Growth Total Return Index, turned in a 17.72% return. Rydex/SGI S&P SmallCap 600 Pure Growth ETF achieved over 99% correlation to its benchmark on a daily basis. The information technology (33.34%) and consumer discretionary (49.90%) sectors were the largest contributors to performance. The industrials, health care and financials sectors detracted from performance during the year. Small-cap growth stocks were the worst performing of the pure style boxes. Small-cap growth stocks underperformed large-cap and mid-cap growth stocks during the period. As well, small-cap growth stocks underperformed small-cap value stocks by almost 10% for the year. The S&P 600/CitiGroup Pure Growth Total Return Index handily outperformed the S&P 600 Growth Total Return Index (7.72%) and the broad S&P SmallCap 600(TM) Total Return Index (5.57%) for the year. CUMULATIVE FUND PERFORMANCE: MARCH 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
RYDEX SGI S&P S&P SMALLCAP S&P SMALLCAP SMALLCAP 600 600/CITIGROUP PURE 600 GROWTH PURE GROWTH GROWTH TOTAL TOTAL RETURN ETF(A) RETURN INDEX(B) INDEX(C) ------------- ------------------ ------------ 3/1/2006 10000 10000 10000 3/31/2006 10359 10361 10354 4/30/2006 10394 10401 10336 5/31/2006 9903 9912 9861 6/30/2006 9814 9825 9825 7/31/2006 9496 9510 9471 8/31/2006 9395 9410 9536 9/30/2006 9463 9481 9584 10/31/2006 9947 9970 10007 11/30/2006 10303 10330 10319 12/31/2006 10287 10318 10279 1/31/2007 10402 10436 10487 2/28/2007 10384 10420 10476 3/31/2007 10613 10655 10724 4/30/2007 10763 10809 10993 5/31/2007 11259 11310 11503 6/30/2007 11228 11281 11391 7/31/2007 10663 10715 10925 8/31/2007 10849 10902 11229 9/30/2007 11132 11193 11542 10/31/2007 11432 11498 11836 11/30/2007 10592 10659 10909 12/31/2007 10419 10471 10855 1/31/2008 9946 10000 10197 2/29/2008 9414 9489 9963 3/31/2008 9449 9481 9932 4/30/2008 9822 9860 10465 5/31/2008 10200 10243 10952 6/30/2008 9338 9366 10276 7/31/2008 9647 9685 10349 8/31/2008 10048 10094 10730 9/30/2008 9443 9488 9823 10/31/2008 7425 7459 7781 11/30/2008 6671 6692 6910 12/31/2008 6978 7006 7279 1/31/2009 6170 6174 6458 2/28/2009 5380 5384 5733 3/31/2009 5963 5968 6198 4/30/2009 7401 7408 7223 5/31/2009 7694 7703 7406 6/30/2009 7720 7732 7531 7/31/2009 8526 8543 8233 8/31/2009 8808 8828 8336 9/30/2009 9465 9488 8829 10/31/2009 8757 8781 8381
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR THREE YEAR (03/01/06) -------- ---------- --------------- RYDEXSGI S&P SMALLCAP 600 PURE GROWTH ETF.......... 17.93% -4.16% -3.55% S&P SMALLCAP 600/CITIGROUP PURE GROWTH TOTAL RETURN INDEX............................................ 17.72% -4.15% -3.48% S&P SMALLCAP 600 GROWTH TOTAL RETURN INDEX......... 7.72% -5.74% -4.70%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 19 RYDEX/SGI S&P SMALLCAP 600 PURE GROWTH ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ CROCS, INC. 3.94% TRUE RELIGION APPAREL, INC. 1.90% INTEVAC, INC. 1.75% RUTH'S HOSPITALITY GROUP, INC. 1.68% KULICKE & SOFFA INDUSTRIES, INC. 1.52% WRIGHT EXPRESS CORP. 1.49% NUTRISYSTEM, INC. 1.38% COMMVAULT SYSTEMS, INC. 1.35% SHUFFLE MASTER, INC. 1.25% ST. MARY LAND & EXPLORATION CO. 1.14% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Information Technology 29.87 Consumer Discretionary 22.82 Health Care 13.00 Energy 10.42 Industrials 8.79 Financials 8.15 Consumer Staples 3.69 Materials 2.76 Telecommunication Services 0.50
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 20 RYDEX/SGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Consumer Discretionary ETF returned 34.20% compared to its benchmark S&P Equal Weight Consumer Discretionary Total Return Index (34.33%) and the capitalization-weighted S&P Consumer Discretionary Total Return Index (20.70%). The fund achieved over 99% correlation to its benchmark on a daily basis. Consumer discretionary stocks were hit hard by recession and reduced consumer spending. However, as the economy has pulled through the recession, consumer discretionary stocks have enjoyed a strong recovery in prices. Specialty retail (39.44%) was the biggest contributor to performance. Leisure equipment and products (-6.07) was the biggest detractor. AutoNation Inc., Ford Motor Co. and Wyndham Worldwide Corp. were among the stocks with largest positive contributions to performance for the year. Motors Liquidation Co., Jones Apparel Group Inc. and Liz Claiborne Inc. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
RYDEX SGI S&P S&P EQUAL EQUAL WEIGHT S&P 500 WEIGHT CONSUMER CONSUMER DISCRETIONARY TOTAL RETURN DISCRETIONARY TOTAL ETF(A) INDEX(B) RETURN INDEX(C) ---------------------- ------------ ------------------- 11/1/2006 10000 10000 10000 11/30/2006 10313 10264 10314 12/31/2006 10431 10408 10436 1/31/2007 10767 10566 10779 2/28/2007 10593 10359 10608 3/31/2007 10567 10475 10586 4/30/2007 10953 10939 10976 5/31/2007 11292 11321 11322 6/30/2007 10997 11133 11034 7/31/2007 10202 10787 10240 8/31/2007 10081 10949 10123 9/30/2007 9929 11359 9978 10/31/2007 9960 11539 10027 11/30/2007 9206 11057 9270 12/31/2007 8749 10980 8809 1/31/2008 8875 10322 8939 2/29/2008 8297 9986 8340 3/31/2008 8299 9943 8335 4/30/2008 8649 10427 8690 5/31/2008 8636 10562 8687 6/30/2008 7455 9672 7496 7/31/2008 7532 9591 7577 8/31/2008 8081 9729 8133 9/30/2008 7479 8862 7537 10/31/2008 5652 7374 5702 11/30/2008 4855 6845 4902 12/31/2008 5159 6918 5217 1/31/2009 4523 6335 4574 2/28/2009 4076 5660 4125 3/31/2009 4688 6156 4743 4/30/2009 6171 6745 6250 5/31/2009 6120 7122 6193 6/30/2009 6040 7137 6104 7/31/2009 6934 7676 7013 8/31/2009 7423 7953 7510 9/30/2009 7884 8250 7980 10/31/2009 7583 8097 7660
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEXSGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF...... 34.20% -8.81% S&P EQUAL WEIGHT CONSUMER DISCRETIONARY TOTAL RETURN INDEX................................................... 34.33% -8.51% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 21 RYDEX/SGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ AMAZON.COM, INC. 1.74% HARMAN INTERNATIONAL INDUSTRIES, INC. 1.52% MCGRAW-HILL COS., INC. 1.42% WYNDHAM WORLDWIDE CORP. 1.41% FAMILY DOLLAR STORES, INC. 1.41% STANLEY WORKS(THE) 1.41% NIKE, INC. -- CLASS B 1.40% DEVRY, INC. 1.39% LIMITED BRANDS, INC. 1.38% H&R BLOCK, INC. 1.38% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Specialty Retail 21.52 Media 19.95 Household Durables 14.36 Hotels, Restaurants & Leisure 11.99 Multiline Retail 10.62 Textiles, Apparel & Luxury Goods 5.29 Diversified Consumer Services 3.87 Leisure Equipment & Products 3.44 Internet & Catalog Retail 2.96 Automobiles 2.65 Auto Components 2.14 Distributors 1.21
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 22 RYDEX/SGI S&P EQUAL WEIGHT CONSUMER STAPLES ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Consumer Staples ETF returned 19.60%. For the same period, its benchmark, the S&P Equal Weight Consumer Staples Total Return Index, returned 20.12% while the cap-weighted S&P Consumer Staples Total Return Index delivered a 8.38% return. The fund achieved over 99% correlation to its benchmark on a daily basis. Consumer staples stocks held up well during the economic crisis in 2008 and early 2009. Although consumer staples stocks have not enjoyed the same rebound in prices since market lows in March of 2009, their defensive nature also helped them not to be beaten down as much as other sectors. Beverages (39.11%) and food & staples retailing (25.64%) were the biggest contributors to performance. None of the industries that the fund held during the period had negative performance. Whole Foods Market Inc., Coca-Cola Enterprises Inc. and Pepsi Bottling Group Inc. were among the stocks with largest positive contributions to performance for the year. Campbell Soup Co., Kroger Co., and Dean Foods Co. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
RYDEX SGI S&P S&P EQUAL EQUAL WEIGHT S&P 500 WEIGHT CONSUMER CONSUMER STAPLES TOTAL RETURN STAPLES TOTAL ETF(A) INDEX(B) RETURN INDEX(C) ---------------- ------------ --------------- 11/1/2006 10000 10000 10000 11/30/2006 10029 10264 10032 12/31/2006 10230 10408 10238 1/31/2007 10416 10566 10429 2/28/2007 10359 10359 10376 3/31/2007 10592 10475 10616 4/30/2007 10952 10939 10977 5/31/2007 11052 11321 11084 6/30/2007 10838 11133 10914 7/31/2007 10421 10787 10498 8/31/2007 10663 10949 10746 9/30/2007 10958 11359 11050 10/31/2007 11146 11539 11252 11/30/2007 11256 11057 11334 12/31/2007 11097 10980 11181 1/31/2008 10327 10322 10410 2/29/2008 10283 9986 10369 3/31/2008 10547 9943 10636 4/30/2008 10713 10427 10802 5/31/2008 10926 10562 11023 6/30/2008 10112 9672 10202 7/31/2008 10381 9591 10480 8/31/2008 10536 9729 10641 9/30/2008 10376 8862 10487 10/31/2008 8931 7374 9029 11/30/2008 8378 6845 8465 12/31/2008 8680 6918 8771 1/31/2009 8381 6335 8471 2/28/2009 7754 5660 7837 3/31/2009 8123 6156 8216 4/30/2009 8781 6745 8891 5/31/2009 9191 7122 9310 6/30/2009 9273 7137 9396 7/31/2009 9938 7676 10075 8/31/2009 10135 7953 10281 9/30/2009 10458 8250 10615 10/31/2009 10681 8097 10847
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEXSGI S&P EQUAL WEIGHT CONSUMER STAPLES ETF............ 19.60% 2.22% S&P EQUAL WEIGHT CONSUMER STAPLES TOTAL RETURN INDEX...... 20.12% 2.75% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 23 RYDEX/SGI S&P EQUAL WEIGHT CONSUMER STAPLES ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ ESTEE LAUDER COS., INC. -- CLASS A 2.75% SAFEWAY, INC. 2.72% WHOLE FOODS MARKET, INC. 2.67% KROGER CO. (THE) 2.65% GENERAL MILLS, INC. 2.60% WALGREEN CO. 2.59% REYNOLDS AMERICAN, INC. 2.55% SARA LEE CORP. 2.54% KIMBERLY-CLARK CORP. 2.50% KELLOGG CO. 2.50% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Food Products 33.72 Food & Staples Retailing 22.64 Beverages 18.86 Household Products 9.83 Tobacco 9.81 Personal Products 5.14
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 24 RYDEX/SGI S&P EQUAL WEIGHT ENERGY ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Energy ETF returned 21.39%. For the same period, its benchmark, the S&P Equal Weight Energy Total Return Index, returned 22.48%, outperforming the cap- weighted S&P Consumer Staples Index's 7.68% total return. The fund achieved over 99% correlation to its benchmark on a daily basis. The gradually strengthening economy helped increase energy commodity prices. Crude oil prices steadily climbed back to over $75 a barrel at the end of the period from lows just above $30 in December 2008. The oil, gas & consumable fuels (19.89%) industry and energy equipment & services (26.70%) contributed the most to performance. None of the Rydex/SGI S&P Equal Weight Energy ETF's industries had negative performance during the period. Pioneer Natural Resources Co., Anadarko Petroleum Corp., and Cameron International Corp. were among the stocks with largest positive contributions to performance for the year. Transocean Ltd., Weatherford International Ltd. and Devon Energy Corp. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P EQUAL RYDEX SGI S&P S&P 500 WEIGHT ENERGY EQUAL WEIGHT TOTAL RETURN TOTAL RETURN ENERGY ETF(A) INDEX(B) INDEX(C) ------------- ------------ ------------- 11/1/2006 10000 10000 10000 11/30/2006 10951 10264 10956 12/31/2006 10364 10408 10373 1/31/2007 10383 10566 10398 2/28/2007 10307 10359 10324 3/31/2007 10934 10475 10960 4/30/2007 11604 10939 11640 5/31/2007 12515 11321 12561 6/30/2007 12639 11133 12691 7/31/2007 12446 10787 12502 8/31/2007 12338 10949 12397 9/30/2007 13302 11359 13376 10/31/2007 14027 11539 14113 11/30/2007 13397 11057 13493 12/31/2007 14634 10980 14728 1/31/2008 12942 10322 13026 2/29/2008 14318 9986 14421 3/31/2008 14036 9943 14145 4/30/2008 15306 10427 15435 5/31/2008 16516 10562 16668 6/30/2008 17269 9672 17438 7/31/2008 14244 9591 14375 8/31/2008 14084 9729 14217 9/30/2008 11463 8862 11568 10/31/2008 8518 7374 8600 11/30/2008 7935 6845 8028 12/31/2008 7491 6918 7580 1/31/2009 7566 6335 7665 2/28/2009 6682 5660 6773 3/31/2009 6899 6156 7000 4/30/2009 7977 6745 8102 5/31/2009 9442 7122 9596 6/30/2009 8492 7137 8632 7/31/2009 9197 7676 9354 8/31/2009 9334 7953 9498 9/30/2009 10232 8250 10418 10/31/2009 10340 8097 10533
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEXSGI S&P EQUAL WEIGHT ENERGY ETF...................... 21.39% 1.12% S&P EQUAL WEIGHT ENERGY TOTAL RETURN INDEX................ 22.48% 1.75% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 25 RYDEX/SGI S&P EQUAL WEIGHT ENERGY ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ PIONEER NATURAL RESOURCES CO. 2.97% ENSCO INTERNATIONAL, INC. 2.80% SUNOCO, INC. 2.73% CONOCOPHILLIPS 2.70% HALLIBURTON CO. 2.65% CHEVRON CORP. 2.65% WILLIAMS COS., INC. (The) 2.60% CABOT OIL & GAS CORP. 2.58% NABORS INDUSTRIES, LTD. 2.58% EXXON MOBIL CORP. 2.58% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Oil, Gas & Consumable Fuels 69.67 Energy Equipment & Services 30.33
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 26 RYDEX/SGI S&P EQUAL WEIGHT FINANCIALS ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Financials ETF returned 3.15%. For the same period, its benchmark, the S&P Equal Weight Financials Total Return Index, returned 4.61%. Rydex/SGI S&P Equal Weight Financials ETF achieved a daily correlation of over 99% to its benchmark on a daily basis. It's been a hard year for financials, which were already struggling before the massive credit crisis hit. Subprime mortgage exposure has led to huge losses for financial stocks. Commercial real estate, a current hot topic, is weighing heavily on the sector. However, the massive injections by the government and Federal Reserve to shore up the financial sector has helped and led to a slight gain over the past year. Adding significantly to the losses in this sector were commercial banks (-25.74%), diversified financial services (-22.85%) and thrifts & mortgage finance (-23.93%). On the plus side, insurance (34.28%) and capital markets (17.78%) helped give Rydex/SGI S&P Equal Weight Financials ETF a boost. XL Capital Ltd. (Class A), Genworth Financial Inc. (Class A) and CB Richard Ellis Group Inc. (Class A) were among the stocks bringing the largest positive contributions to performance for the year. American Capital Ltd., Developers Diversified Realty Corp. and CitiGroup Inc. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P 500 /CITIGROUP RYDEX S&P PURE VALUE S&P VALUE 500 PURE TOTAL RETURN TOTAL RETURN VALUE ETF(A) INDEX(B) INDEX(C) ------------ -------------- ------------ 3/1/2006 10000 10000 10000 3/31/2006 10070 10070 10077 4/30/2006 10378 10382 10357 5/31/2006 10218 10218 10104 6/30/2006 10315 10323 10138 7/31/2006 10264 10273 10240 8/31/2006 10435 10450 10396 9/30/2006 10622 10640 10673 10/31/2006 11027 11053 11029 11/30/2006 11287 11317 11227 12/31/2006 11481 11519 11497 1/31/2007 11733 11775 11700 2/28/2007 11784 11831 11502 3/31/2007 11922 11972 11651 4/30/2007 12335 12392 12140 5/31/2007 12683 12748 12604 6/30/2007 12465 12529 12345 7/31/2007 11731 11793 11860 8/31/2007 11697 11765 12019 9/30/2007 11812 11881 12393 10/31/2007 11888 11961 12523 11/30/2007 11315 11396 11914 12/31/2007 11009 11094 11727 1/31/2008 11253 11345 11318 2/29/2008 10078 10151 10728 3/31/2008 9729 9796 10678 4/30/2008 10063 10137 11076 5/31/2008 9944 10020 11089 6/30/2008 8430 8498 9846 7/31/2008 8494 8566 9979 8/31/2008 8917 8996 10113 9/30/2008 8293 8362 9356 10/31/2008 6450 6495 7756 11/30/2008 5578 5615 7060 12/31/2008 5720 5783 7127 1/31/2009 4803 4853 6261 2/28/2009 3772 3808 5442 3/31/2009 4282 4322 5979 4/30/2009 5646 5710 6639 5/31/2009 6360 6439 7062 6/30/2009 6180 6257 7026 7/31/2009 6965 7068 7618 8/31/2009 7983 8110 8033
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEXSGI S&P EQUAL WEIGHT FINANCIALS ETF.................. 3.15% -21.96% S&P EQUAL WEIGHT FINANCIALS TOTAL RETURN INDEX............ 4.61% -20.98% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 27 RYDEX/SGI S&P EQUAL WEIGHT FINANCIALS ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ SLM CORP. 1.52% PNC FINANCIAL SERVICES GROUP, INC. 1.49% AMERIPRISE FINANCIAL, INC. 1.47% T. ROWE PRICE GROUP, INC. 1.45% TRAVELERS COS., INC. (THE) 1.45% MORGAN STANLEY 1.42% VENTAS, INC. 1.42% U.S. BANCORP. 1.41% HEALTH CARE REIT, INC. 1.41% INTERCONTINENTALEXCHANGE, INC. 1.41% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Insurance 26.42 Capital Markets 18.12 Real Estate Investment Trusts (REITs) 17.80 Commercial Banks 16.90 Diversified Financial Services 11.42 Consumer Finance 5.50 Thrifts & Mortgage Finance 2.71 Real Estate Management & Development 1.13
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 28 RYDEX/SGI S&P EQUAL WEIGHT HEALTH CARE ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Health Care ETF returned 20.31%. For the same period, its benchmark, the S&P Equal Weight Health Care Total Return Index, returned 21.31% while the cap- weighted S&P Health Care Index delivered a 6.79% return. The fund achieved over 99% correlation to its benchmark on a daily basis. With recovering financial markets, the health-care sector enjoyed a series of large merger and acquisition deals. Schering-Plough announced a reverse merger with Merck & Co. in March 2009, creating the second largest pharmaceuticals manufacturer in the world. Health-care reform continues to be a hotly debated topic and is weighing on health-care stocks. Health-care providers & services (36.39%) and pharmaceuticals (28.60%) contributed the most to performance for the year. The biotechnology (-16.34%) industry detracted from performance. Tenet Healthcare Corp, Schering-Plough Corp and Life Technologies Corp. were among the stocks with largest positive contributions to performance for the year. Genzyme Corp., Celgene Corp. and Cephalon Inc. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
RYDEX SGI S&P S&P EQUAL EQUAL WEIGHT S&P 500 WEIGHT HEALTH HEALTH CARE TOTAL RETURN CARE TOTAL ETF(A) INDEX(B) RETURN INDEX(C) ------------- ------------ --------------- 11/1/2006 10000 10000 10000 11/30/2006 10111 10264 10121 12/31/2006 10309 10408 10324 1/31/2007 10782 10566 10803 2/28/2007 10651 10359 10675 3/31/2007 10743 10475 10784 4/30/2007 11490 10939 11540 5/31/2007 11737 11321 11793 6/30/2007 11441 11133 11500 7/31/2007 11032 10787 11093 8/31/2007 11145 10949 11213 9/30/2007 11555 11359 11631 10/31/2007 11737 11539 11820 11/30/2007 11687 11057 11898 12/31/2007 11424 10980 11635 1/31/2008 11120 10322 11329 2/29/2008 10877 9986 11085 3/31/2008 10419 9943 10626 4/30/2008 10746 10427 10964 5/31/2008 10912 10562 11138 6/30/2008 10336 9672 10553 7/31/2008 11014 9591 11252 8/31/2008 11184 9729 11432 9/30/2008 10317 8862 10552 10/31/2008 8572 7374 8777 11/30/2008 7894 6845 8085 12/31/2008 8377 6918 8591 1/31/2009 8410 6335 8627 2/28/2009 7558 5660 7752 3/31/2009 8003 6156 8215 4/30/2009 8488 6745 8726 5/31/2009 9128 7122 9396 6/30/2009 9335 7137 9617 7/31/2009 9910 7676 10215 8/31/2009 10298 7953 10620 9/30/2009 10602 8250 10942 10/31/2009 10313 8097 10646
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEXSGI S&P EQUAL WEIGHT HEALTH CARE ETF................. 20.31% 1.03% S&P EQUAL WEIGHT HEALTH CARE TOTAL RETURN INDEX........... 21.31% 2.11% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 29 RYDEX/SGI S&P EQUAL WEIGHT HEALTH CARE ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ ABBOTT LABORATORIES 2.16% QUEST DIAGNOSTICS, INC. 2.16% LABORATORY CORP. OF AMERICA HOLDINGS 2.12% IMS HEALTH, INC. 2.09% HOSPIRA, INC. 2.04% WATERS CORP. 2.03% CAREFUSION CORP. 2.03% ZIMMER HOLDINGS, INC. 2.02% ELI LILLY & CO. 2.02% AMERISOURCEBERGEN CORP. 2.01% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Health Care Providers & Services 30.17 Health Care Equipment & Supplies 24.27 Pharmaceuticals 23.31 Biotechnology 10.62 Life Sciences Tools & Services 9.55 Health Care Technology 2.08
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 30 RYDEX/SGI S&P EQUAL WEIGHT INDUSTRIALS ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Industrials ETF returned 13.84% compared to its benchmark S&P Equal Weight Industrials Total Return Index (15.01%) and the capitalization-weighted S&P Industrials Index (2.65%). The fund achieved over 99% correlation to its benchmark on a daily basis.[*] Industrial stocks have enjoyed a recovery due to the gradually improving economy. Machinery (36.26%) was the biggest contributor to performance. Road & rail (-9.60%) and airlines (-28.52%) detracted from performance. Flowserve Corp., Cummins Inc. and Rockwell Automation Inc. were among the stocks with largest positive contributions to performance for the year. Manitowoc Co., Southwest Airlines Co. and Tyco International Ltd. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P EQUAL RYDEX SGI S&P S&P 500 WEIGHT INDUSTRIALS EQUAL WEIGHT TOTAL RETURN TOTAL RETURN INDUSTRIALS ETF(A) INDEX(B) INDEX(C) ------------------ ------------ ------------------ 11/1/2006 10000 10000 10000 11/30/2006 10360 10264 10365 12/31/2006 10335 10408 10343 1/31/2007 10713 10566 10726 2/28/2007 10678 10359 10694 3/31/2007 10720 10475 10742 4/30/2007 11264 10939 11294 5/31/2007 11908 11321 11947 6/30/2007 11922 11133 11963 7/31/2007 11846 10787 11894 8/31/2007 11793 10949 11840 9/30/2007 12147 11359 12202 10/31/2007 12201 11539 12253 11/30/2007 11825 11057 11858 12/31/2007 11937 10980 11971 1/31/2008 11248 10322 11282 2/29/2008 11061 9986 11098 3/31/2008 11159 9943 11201 4/30/2008 11883 10427 11935 5/31/2008 12377 10562 12439 6/30/2008 10897 9672 10945 7/31/2008 10874 9591 10927 8/31/2008 11212 9729 11271 9/30/2008 9661 8862 9715 10/31/2008 7672 7374 7724 11/30/2008 7208 6845 7259 12/31/2008 7438 6918 7500 1/31/2009 6667 6335 6725 2/28/2009 5665 5660 5712 3/31/2009 6084 6156 6143 4/30/2009 7410 6745 7487 5/31/2009 7513 7122 7593 6/30/2009 7470 7137 7554 7/31/2009 8174 7676 8271 8/31/2009 8595 7953 8700 9/30/2009 9056 8250 9178 10/31/2009 8735 8097 8884
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEXSGI S&P EQUAL WEIGHT INDUSTRIALS ETF................. 13.84% -4.41% S&P EQUAL WEIGHT INDUSTRIALS TOTAL RETURN INDEX........... 15.01% -3.87% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 31 RYDEX/SGI S&P EQUAL WEIGHT INDUSTRIALS ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ STERICYCLE, INC. 2.03% ILLINOIS TOOL WORKS, INC. 1.93% DUN & BRADSTREET CORP. 1.93% W.W. GRAINGER, INC. 1.93% CATERPILLAR, INC. 1.92% EATON CORP. 1.90% AVERY DENNISON CORP. 1.89% DEERE & CO. 1.88% FLOWSERVE CORP. 1.88% NORFOLK SOUTHERN CORP. 1.88% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Commercial Services & Supplies 21.31 Aerospace & Defense 21.14 Machinery 20.23 Road & Rail 8.78 Air Freight & Logistics 6.91 Industrial Conglomerates 5.16 Electrical Equipment 5.01 Construction & Engineering 4.74 Trading Companies & Distributors 3.57 Airlines 1.61 Building Products 1.54
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 32 RYDEX/SGI S&P EQUAL WEIGHT MATERIALS ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Materials ETF returned 35.82% compared to the benchmark S&P Equal Weight Materials Total Return Index's 37.18% return and the capitalization-weighted S&P Materials Index's 16.43% return. The fund achieved over 99% correlation to its benchmark on a daily basis. Commodities enjoyed a rebound in prices after falling for most of the second half of 2008 from the global economic crisis. Firming commodities prices, and signs of increased demand as the economy pulled itself out of recession, has led to higher corporate profits. Metals & mining (47.63%) was the largest contributor to performance, followed by chemicals (29.23%). None of the industries had a negative impact on performance for the year. Freeport-McMoRan Copper & Gold Inc., Newmont Mining Corp. and CF Industries Holding Inc. were among the stocks with the largest positive contributions to performance for the year. Ashland Inc., Titanium Metals Corp., and Monsanto Co. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P EQUAL RYDEX SGI S&P S&P 500 WEIGHT MATERIALS EQUAL WEIGHT TOTAL RETURN TOTAL RETURN MATERIALS ETF(A) INDEX(B) INDEX (C) ---------------- ------------ ---------------- 11/1/2006 10000 10000 10000 11/30/2006 10555 10264 10560 12/31/2006 10690 10408 10698 1/31/2007 11090 10566 11104 2/28/2007 11334 10359 11355 3/31/2007 11533 10475 11557 4/30/2007 11780 10939 11811 5/31/2007 12284 11321 12321 6/30/2007 12122 11133 12216 7/31/2007 11826 10787 11921 8/31/2007 11676 10949 11777 9/30/2007 12273 11359 12386 10/31/2007 12402 11539 12523 11/30/2007 11831 11057 11947 12/31/2007 11775 10980 11892 1/31/2008 11279 10322 11398 2/29/2008 11231 9986 11352 3/31/2008 11191 9943 11316 4/30/2008 11672 10427 11811 5/31/2008 12127 10562 12279 6/30/2008 10997 9672 11146 7/31/2008 11148 9591 11303 8/31/2008 11229 9729 11389 9/30/2008 9498 8862 9653 10/31/2008 7359 7374 7491 11/30/2008 6816 6845 6955 12/31/2008 6895 6918 7035 1/31/2009 6142 6335 6270 2/28/2009 5497 5660 5612 3/31/2009 6375 6156 6525 4/30/2009 8112 6745 8313 5/31/2009 8752 7122 8975 6/30/2009 8771 7137 9001 7/31/2009 9742 7676 10003 8/31/2009 10060 7953 10335 9/30/2009 10626 8250 10924 10/31/2009 9995 8097 10277
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEX/SGI S&P EQUAL WEIGHT MATERIALS ETF................................... 35.82% -0.02% S&P EQUAL WEIGHT MATERIALS TOTAL RETURN INDEX................................. 37.18% 0.92% S&P 500 TOTAL RETURN INDEX.............. 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 33 RYDEX/SGI S&P EQUAL WEIGHT MATERIALS ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ FREEPORT-MCMORAN COPPER & GOLD, INC. 3.85% MEADWESTVACO CORP. 3.66% PRAXAIR, INC. 3.61% SIGMA-ALDRICH CORP. 3.58% INTERNATIONAL FLAVORS & FRAGRANCES, INC. 3.57% BALL CORP. 3.55% NEWMONT MINING COORP 3.55% AIR PRODUCTS & CHEMICALS, INC. 3.53% EASTMAN CHEMICAL CO. 3.53% INTERNATIONAL PAPER CO. 3.51% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Chemicals 44.54 Metals & Mining 25.14 Containers & Packaging 16.82 Paper & Forest Products 10.58 Construction Materials 2.92
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 34 RYDEX/SGI S&P EQUAL WEIGHT TECHNOLOGY ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Technology ETF returned 33.94% compared to its benchmark S&P Equal Weight Technology Total Return Index (35.22%) and the capitalization-weighted S&P Technology Index (31.50%). The fund achieved over 99% correlation to its benchmark on a daily basis. Technology stocks rose sharply as the economy moved out of recession. Technology companies were able to cut costs amid lower tech spending and have benefited from the recent recovery in the economic environment. Although consumer spending remains weak, new technology products, such as Apple Inc.'s iPhone, stayed in high demand. Computers & peripherals (60.42%) and semiconductors and semiconductor equipment (25.48%) were the biggest contributors to performance. Office electronics (-3.77%) detracted from performance. Sun Microsystems Inc., SanDisk Corp. and NetApp Inc. were among the stocks with largest positive contributions to performance for the year. Unisys Corp., MEMC Electronic Materials Inc. and Flir Systems were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P EQUAL RYDEX SGI S&P S&P 500 WEIGHT INFORMATION EQUAL WEIGHT TOTAL RETURN TECHNOLOGY TOTAL TECHNOLOGY ETF(A) INDEX(B) RETURN INDEX(C) ----------------- ------------ ------------------ 11/1/2006 10000 10000 10000 11/30/2006 10485 10264 10491 12/31/2006 10316 10408 10327 1/31/2007 10370 10566 10385 2/28/2007 10431 10359 10450 3/31/2007 10377 10475 10400 4/30/2007 10839 10939 10870 5/31/2007 11144 11321 11177 6/30/2007 11205 11133 11243 7/31/2007 10881 10787 10920 8/31/2007 10908 10949 10952 9/30/2007 11149 11359 11199 10/31/2007 11544 11539 11600 11/30/2007 10525 11057 10542 12/31/2007 10503 10980 10525 1/31/2008 9465 10322 9488 2/29/2008 9321 9986 9348 3/31/2008 9179 9943 9208 4/30/2008 9866 10427 9900 5/31/2008 10605 10562 10647 6/30/2008 9466 9672 9511 7/31/2008 9206 9591 9253 8/31/2008 9445 9729 9498 9/30/2008 8030 8862 8080 10/31/2008 6282 7374 6315 11/30/2008 5509 6845 5548 12/31/2008 5700 6918 5750 1/31/2009 5559 6335 5606 2/28/2009 5249 5660 5296 3/31/2009 5991 6156 6052 4/30/2009 6930 6745 7011 5/31/2009 7195 7122 7285 6/30/2009 7180 7137 7273 7/31/2009 7872 7676 7977 8/31/2009 8190 7953 8303 9/30/2009 8773 8250 8898 10/31/2009 8415 8097 8540
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEX/SGI S&P EQUAL WEIGHT TECHNOLOGY ETF................. 33.94% -5.59% S&P EQUAL WEIGHT TECHNOLOGY TOTAL RETURN INDEX............ 35.22% -5.13% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 35 RYDEX/SGI S&P EQUAL WEIGHT TECHNOLOGY ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ AKAMAI TECHNOLOGIES, INC. 1.61% LEXMARK INTERNATIONAL, INC. -- CLASS A 1.60% HARRIS CORP. 1.56% AFFILIATED COMPUTER SERVICES, INC. -- CLASS A 1.54% SYMANTEC CORP. 1.54% MICROSOFT CORP. 1.50% NETAPP, INC. 1.50% JABIL CIRCUIT, INC. 1.50% GOOGLE, INC. -- CLASS A 1.49% TERADATA CORP. 1.46% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Semiconductors & Semiconductor Equipment 22.30 Software 20.44 Computers & Peripherals 16.37 IT Services 14.78 Communications Equipment 10.02 Electronic Equipment & Instruments 8.04 Internet Software & Services 6.96 Office Electronics 1.09
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 36 RYDEX/SGI S&P EQUAL WEIGHT UTILITIES ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, Rydex/SGI S&P Equal Weight Utilities ETF returned 6.97% while its benchmark, the S&P Equal Weight Utilities Total Return Index, returned 7.64%, as opposed to the cap-weighted S&P Utilities Index return of 2.06%. The fund had a 98% correlation to its benchmark on a daily basis. The ETF outperformed the cap-weighted index for the year -- mostly due to the telecom exposure in the ETF that is not present in the S&P Equal Weight Total Return Index. Utilities tend to be a more defensive, low-beta sector. Diversified telecommunication services (27.70%) was the biggest contributor to performance while electric utilities (-4.83%) was the largest detractor. Sprint Nextel Corp., AES Corp. and Embarq were among the stocks with largest positive contributions to performance for the year. Dynegy Inc. (Class A), MetroPCS Communications Inc. and Pepco Holdings Inc. were among the stocks with the largest negative contributions to performance. CUMULATIVE FUND PERFORMANCE: NOVEMBER 1, 2006 - OCTOBER 31, 2009 (Performance Graph)
S&P EQUAL RYDEX SGI S&P S&P 500 WEIGHT UTILITIES EQUAL WEIGHT TOTAL RETURN TOTAL RETURN UTILITIES ETF(A) INDEX(B) INDEX(C) ---------------- ------------ ---------------- 11/1/2006 10000 10000 10000 11/30/2006 10259 10264 10262 12/31/2006 10437 10408 10446 1/31/2007 10448 10566 10458 2/28/2007 10833 10359 10849 3/31/2007 11216 10475 11240 4/30/2007 11597 10939 11628 5/31/2007 11840 11321 11878 6/30/2007 11271 11133 11307 7/31/2007 10810 10787 10846 8/31/2007 10979 10949 11021 9/30/2007 11290 11359 11337 10/31/2007 11641 11539 11701 11/30/2007 11544 11057 11609 12/31/2007 11515 10980 11585 1/31/2008 10620 10322 10673 2/29/2008 10019 9986 10059 3/31/2008 10045 9943 10092 4/30/2008 10559 10427 10619 5/31/2008 11149 10562 11215 6/30/2008 10866 9672 10939 7/31/2008 10347 9591 10419 8/31/2008 10405 9729 10480 9/30/2008 9243 8862 9308 10/31/2008 7960 7374 8021 11/30/2008 8082 6845 8162 12/31/2008 7965 6918 8063 1/31/2009 7969 6335 8063 2/28/2009 7055 5660 7126 3/31/2009 7326 6156 7415 4/30/2009 7520 6745 7617 5/31/2009 7871 7122 7979 6/30/2009 8216 7137 8314 7/31/2009 8546 7676 8653 8/31/2009 8576 7953 8683 9/30/2009 8895 8250 9016 10/31/2009 8513 8097 8634
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/01/06) -------- --------------- RYDEX/SGI S&P EQUAL WEIGHT UTILITIES ETF.................. 6.97% -5.22% S&P EQUAL WEIGHT UTILITIES TOTAL RETURN INDEX............. 7.64% -4.78% S&P 500 TOTAL RETURN INDEX................................ 9.80% -6.80%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 37 RYDEX/SGI S&P EQUAL WEIGHT UTILITIES ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ QUESTAR CORP. 2.56% DTE ENERGY CO. 2.48% QWEST COMMUNICATIONS INTERNATIONAL, INC. 2.48% CENTURYTEL, INC. 2.42% TECO ENERGY, INC. 2.40% CENTERPOINT ENERGY, INC. 2.38% SEMPRA ENERGY 2.38% EQT CORP. 2.37% VERIZON COMMUNICATIONS, INC. 2.37% WINDSTREAM CORP. 2.37% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Multi-Utilities 34.97 Electric Utilities 31.20 Diversified Telecommunication Services 14.35 Gas Utilities 7.34 Independent Power Producers & Energy Traders 6.59 Wireless Telecommunication Services 5.55
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's investments market value. These percentages may change over time. 38 RYDEX/SGI S&P 500 PURE VALUE ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.7% AEROSPACE & DEFENSE 0.3% Northrop Grumman Corp. ..... 1,825 $91,487 ----------- TOTAL AEROSPACE & DEFENSE 91,487 ----------- AUTO COMPONENTS 2.0% Goodyear Tire & Rubber Co.(The)*................ 36,803 474,023 Johnson Controls, Inc. ..... 5,735 137,181 ----------- TOTAL AUTO COMPONENTS 611,204 ----------- AUTOMOBILES 1.9% Ford Motor Co.*............. 82,885 580,195 ----------- TOTAL AUTOMOBILES 580,195 ----------- BEVERAGES 0.7% Coca-Cola Enterprises, Inc. .................... 10,230 195,086 ----------- TOTAL BEVERAGES 195,086 ----------- BUILDING PRODUCTS 0.6% Masco Corp. ................ 16,434 193,100 ----------- TOTAL BUILDING PRODUCTS 193,100 ----------- CAPITAL MARKETS 3.1% Ameriprise Financial, Inc. .................... 4,369 151,473 Legg Mason, Inc. ........... 7,790 226,767 Morgan Stanley.............. 17,119 549,862 ----------- TOTAL CAPITAL MARKETS 928,102 ----------- CHEMICALS 2.4% Air Products & Chemicals, Inc. .................... 1,840 141,919 Dow Chemical Co.(The)....... 9,900 232,452 Du Pont (E.I.) de Nemours & Co. ..................... 4,420 140,644 Eastman Chemical Co. ....... 3,870 203,214 ----------- TOTAL CHEMICALS 718,229 ----------- COMMERCIAL BANKS 3.8% BB&T Corp. ................. 3,505 83,805 Comerica, Inc. ............. 10,639 295,232 Fifth Third Bancorp......... 24,667 220,523 Huntington Bancshares, Inc. .................... 22,683 86,422 KeyCorp..................... 12,479 67,262 Marshall & Ilsley Corp. .... 13,719 72,985 Regions Financial Corp. .... 17,994 87,091 SunTrust Banks, Inc. ....... 6,499 124,196 U.S. Bancorp................ 3,067 71,216 Zions Bancorp............... 2,825 40,002 ----------- TOTAL COMMERCIAL BANKS 1,148,734 ----------- COMMERCIAL SERVICES & SUPPLIES 1.4% Avery Dennison Corp. ....... 2,680 95,542 R.R. Donnelley & Sons Co. .. 16,154 324,372 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 419,914 ----------- COMPUTERS & PERIPHERALS 0.6% Sun Microsystems, Inc.*..... 21,644 177,048 ----------- TOTAL COMPUTERS & PERIPHERALS 177,048 ----------- CONSUMER FINANCE 0.5% Capital One Financial Corp. ................... 3,690 135,054 ----------- TOTAL CONSUMER FINANCE 135,054 ----------- DIVERSIFIED FINANCIAL SERVICES 1.6% Bank of America Corp. ...... 15,207 221,718 Citigroup, Inc. ............ 37,413 153,019 JPMorgan Chase & Co. ....... 2,680 111,944 ----------- TOTAL DIVERSIFIED FINANCIAL SERVICES 486,681 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES 2.7% AT&T, Inc. ................. 2,895 74,315 CenturyTel, Inc. ........... 6,782 220,144 Frontier Communications Corp. ................... 14,999 107,543 Qwest Communications International, Inc. ..... 57,012 204,673 Verizon Communications, Inc. .................... 2,538 75,099 Windstream Corp. ........... 14,719 141,891 ----------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 823,665 ----------- ELECTRIC UTILITIES 1.9% American Electric Power Co., Inc. .................... 2,655 80,234 Duke Energy Corp. .......... 7,120 112,639 Pepco Holdings, Inc. ....... 8,544 127,562 Pinnacle West Capital Corp. ................... 5,160 161,611 Progress Energy, Inc. ...... 2,680 100,580 ----------- TOTAL ELECTRIC UTILITIES 582,626 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.1% Jabil Circuit, Inc. ........ 39,458 527,948 Molex, Inc. ................ 5,320 99,324 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 627,272 ----------- FOOD & STAPLES RETAILING 2.0% SUPERVALU, Inc. ............ 37,473 594,697 ----------- TOTAL FOOD & STAPLES RETAILING 594,697 ----------- FOOD PRODUCTS 1.4% ConAgra Foods, Inc. ........ 4,582 96,222 Tyson Foods, Inc. -- Class A........................ 25,627 320,850 ----------- TOTAL FOOD PRODUCTS 417,072 ----------- HEALTH CARE PROVIDERS & SERVICES 3.9% AmerisourceBergen Corp. .... 13,659 302,547 McKesson Corp. ............. 2,140 125,682 Tenet Healthcare Corp.*..... 143,400 734,208 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,162,437 ----------- HOTELS, RESTAURANTS & LEISURE 4.6% Carnival Corp. ............. 6,515 189,717 Darden Restaurants, Inc. ... 2,570 77,897 International Game Technology............... 13,005 232,009 Starwood Hotels & Resorts Worldwide, Inc. ......... 5,685 165,206 Wyndham Worldwide Corp. .... 42,538 725,273 ----------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,390,102 ----------- HOUSEHOLD DURABLES 2.4% Fortune Brands, Inc. ....... 1,825 71,084 Leggett & Platt, Inc. ...... 8,679 167,765 Newell Rubbermaid, Inc. .... 11,895 172,596 Whirlpool Corp. ............ 4,420 316,428 ----------- TOTAL HOUSEHOLD DURABLES 727,873 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.0% Constellation Energy Group, Inc. .................... 9,774 302,212 ----------- TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 302,212 -----------
See Notes to Financial Statements. ANNUAL REPORT 39 RYDEX/SGI S&P 500 PURE VALUE ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS (CONCLUDED) INDUSTRIAL CONGLOMERATES 1.0% General Electric Co. ....... 8,135 $116,005 Textron, Inc. .............. 11,124 197,785 ----------- TOTAL INDUSTRIAL CONGLOMERATES 313,790 ----------- INSURANCE 20.9% Allstate Corp. ............. 6,100 180,377 American International Group, Inc.*............. 14,999 504,266 Assurant, Inc. ............. 2,912 87,156 Cincinnati Financial Corp. ................... 3,259 82,648 Genworth Financial, Inc. -- Class A*......... 152,420 1,618,700 Hartford Financial Services Group, Inc. ............. 32,285 791,628 Lincoln National Corp. ..... 16,900 402,727 Principal Financial Group, Inc. .................... 5,345 133,839 Prudential Financial, Inc. .................... 4,785 216,426 XL Capital, Ltd. -- Class A........................ 137,755 2,260,560 ----------- TOTAL INSURANCE 6,278,327 ----------- LEISURE EQUIPMENT & PRODUCTS 0.7% Eastman Kodak Co.*.......... 35,343 132,536 Mattel, Inc. ............... 4,710 89,161 ----------- TOTAL LEISURE EQUIPMENT & PRODUCTS 221,697 ----------- MEDIA 4.7% CBS Corp. -- Class B........ 48,282 568,279 Gannett Co., Inc. .......... 52,837 518,859 Meredith Corp. ............. 7,195 194,697 Time Warner, Inc. .......... 4,022 121,143 ----------- TOTAL MEDIA 1,402,978 ----------- METALS & MINING 2.4% AK Steel Holding Corp. ..... 18,479 293,262 Alcoa, Inc. ................ 23,643 293,646 United States Steel Corp. .. 4,260 146,927 ----------- TOTAL METALS & MINING 733,835 ----------- MULTI-UTILITIES 3.6% Ameren Corp. ............... 4,385 106,731 CenterPoint Energy, Inc. ... 8,525 107,415 Consolidated Edison, Inc. .. 2,464 100,235 DTE Energy Co. ............. 3,480 128,690 Integrys Energy Group, Inc. .................... 3,275 113,315 NiSource, Inc. ............. 18,763 242,418 SCANA Corp. ................ 2,184 73,907 TECO Energy, Inc. .......... 9,910 142,109 Xcel Energy, Inc. .......... 4,103 77,383 ----------- TOTAL MULTI-UTILITIES 1,092,203 ----------- MULTILINE RETAIL 3.1% J.C. Penney Co., Inc. ...... 7,569 250,761 Macy's, Inc. ............... 39,313 690,729 ----------- TOTAL MULTILINE RETAIL 941,490 ----------- OIL, GAS & CONSUMABLE FUELS 3.2% Spectra Energy Corp. ....... 11,325 216,534 Tesoro Corp. ............... 38,178 539,837 Valero Energy Corp. ........ 10,835 196,113 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 952,484 ----------- PAPER & FOREST PRODUCTS 3.7% International Paper Co. .... 21,341 476,118 MeadWestvaco Corp. ......... 21,829 498,356 Weyerhaeuser Co. ........... 3,870 140,636 ----------- TOTAL PAPER & FOREST PRODUCTS 1,115,110 ----------- PHARMACEUTICALS 0.4% Pfizer, Inc. ............... 6,439 109,656 ----------- TOTAL PHARMACEUTICALS 109,656 ----------- REAL ESTATE INVESTMENT TRUSTS (REITS) 7.3% Apartment Investment & Management Co. -- Class A........................ 12,929 159,673 AvalonBay Communities, Inc. .................... 1,148 78,959 Boston Properties, Inc. .... 2,205 133,998 Equity Residential.......... 3,130 90,394 HCP, Inc. .................. 5,395 159,638 Health Care REIT, Inc. ..... 3,098 137,458 Host Hotels & Resorts, Inc. .................... 39,678 401,145 Kimco Realty Corp. ......... 7,720 97,581 ProLogis.................... 59,632 675,631 Simon Property Group, Inc. .................... 2,013 136,663 Vornado Realty Trust........ 2,206 131,389 ----------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 2,202,529 ----------- ROAD & RAIL 0.3% Ryder System, Inc. ......... 2,194 88,967 ----------- TOTAL ROAD & RAIL 88,967 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.9% Analog Devices, Inc. ....... 5,540 141,990 Microchip Technology, Inc. .................... 4,905 117,524 ----------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 259,514 ----------- SPECIALTY RETAIL 5.0% AutoNation, Inc.*........... 13,794 237,809 Limited Brands, Inc. ....... 17,444 307,014 Office Depot, Inc.*......... 159,399 964,364 ----------- TOTAL SPECIALTY RETAIL 1,509,187 ----------- TOBACCO 1.6% Altria Group, Inc. ......... 9,642 174,617 Philip Morris International, Inc. .................... 3,445 163,155 Reynolds American, Inc. .... 2,894 140,301 ----------- TOTAL TOBACCO 478,073 ----------- TOTAL COMMON STOCKS (Cost $28,681,341) 30,012,630 ----------- SHORT TERM INVESTMENTS 0.2% SSgA Government Money Market Fund..................... 71,994 71,994 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $71,994) 71,994 ----------- TOTAL INVESTMENTS 99.9%(A) (Cost $28,753,335) 30,084,624 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.1% 16,581 ----------- NET ASSETS--100.0% $30,101,205 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 40 RYDEX/SGI S&P 500 PURE GROWTH ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.9% AEROSPACE & DEFENSE 1.2% Lockheed Martin Corp. ....... 2,189 $150,581 Rockwell Collins, Inc. ...... 6,222 313,465 ----------- TOTAL AEROSPACE & DEFENSE 464,046 ----------- AIR FREIGHT & LOGISTICS 1.1% C.H. Robinson Worldwide, Inc. ..................... 4,033 222,259 Expeditors International of Washington, Inc. ......... 5,743 185,039 ----------- TOTAL AIR FREIGHT & LOGISTICS 407,298 ----------- BEVERAGES 0.5% PepsiCo, Inc. ............... 3,388 205,143 ----------- TOTAL BEVERAGES 205,143 ----------- BIOTECHNOLOGY 1.8% Amgen, Inc.*................. 3,231 173,602 Biogen Idec, Inc.*........... 3,429 144,464 Celgene Corp.*............... 7,409 378,229 ----------- TOTAL BIOTECHNOLOGY 696,295 ----------- CAPITAL MARKETS 2.0% Franklin Resources, Inc. .... 2,386 249,647 Goldman Sachs Group, Inc.(The)................. 3,158 537,397 ----------- TOTAL CAPITAL MARKETS 787,044 ----------- CHEMICALS 1.2% Ecolab, Inc. ................ 3,783 166,301 FMC Corp. ................... 5,586 285,444 ----------- TOTAL CHEMICALS 451,745 ----------- COMMERCIAL SERVICES & SUPPLIES 1.5% Dun & Bradstreet Corp. ...... 2,491 190,711 Equifax, Inc. ............... 7,357 201,435 Robert Half International, Inc. ..................... 8,400 194,880 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 587,026 ----------- COMMUNICATIONS EQUIPMENT 3.1% Cisco Systems, Inc.*......... 11,359 259,553 Harris Corp. ................ 4,554 189,993 Motorola, Inc. .............. 61,475 526,841 QUALCOMM, Inc. .............. 5,023 208,002 ----------- TOTAL COMMUNICATIONS EQUIPMENT 1,184,389 ----------- COMPUTERS & PERIPHERALS 5.9% Apple, Inc.*................. 2,782 524,407 Dell, Inc.*.................. 21,509 311,666 Lexmark International, Inc. -- Class A*.......... 5,200 132,600 NetApp, Inc.*................ 14,204 384,218 SanDisk Corp.*............... 26,282 538,255 Western Digital Corp.*....... 11,369 382,908 ----------- TOTAL COMPUTERS & PERIPHERALS 2,274,054 ----------- CONSUMER FINANCE 0.9% SLM Corp.*................... 33,963 329,441 ----------- TOTAL CONSUMER FINANCE 329,441 ----------- CONTAINERS & PACKAGING 0.7% Ball Corp. .................. 5,127 252,915 ----------- TOTAL CONTAINERS & PACKAGING 252,915 ----------- DIVERSIFIED CONSUMER SERVICES 0.5% Apollo Group, Inc. -- Class A*........................ 3,533 201,734 ----------- TOTAL DIVERSIFIED CONSUMER SERVICES 201,734 ----------- DIVERSIFIED FINANCIAL SERVICES 2.8% CME Group, Inc. ............. 1,001 302,913 IntercontinentalExchange, Inc.*..................... 4,606 461,475 NYSE Euronext................ 12,871 332,715 ----------- TOTAL DIVERSIFIED FINANCIAL SERVICES 1,097,103 ----------- ELECTRICAL EQUIPMENT 0.7% Rockwell Automation, Inc. ... 6,451 264,168 ----------- TOTAL ELECTRICAL EQUIPMENT 264,168 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 3.0% Agilent Technologies, Inc.*.. 22,364 553,286 Amphenol Corp. -- Class A.... 10,484 420,618 FLIR Systems, Inc.*.......... 6,993 194,475 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,168,379 ----------- ENERGY EQUIPMENT & SERVICES 6.3% Baker Hughes, Inc. .......... 6,127 257,763 BJ Services Co. ............. 20,394 391,565 Cameron International Corp.*.................... 7,118 263,152 ENSCO International, Inc. ... 5,512 252,395 FMC Technologies, Inc.*...... 4,585 241,171 Nabors Industries, Ltd.*..... 17,821 371,211 Schlumberger, Ltd. .......... 7,493 466,065 Smith International, Inc. ... 7,211 199,961 ----------- TOTAL ENERGY EQUIPMENT & SERVICES 2,443,283 ----------- FOOD & STAPLES RETAILING 0.5% Sysco Corp. ................. 7,659 202,581 ----------- TOTAL FOOD & STAPLES RETAILING 202,581 ----------- FOOD PRODUCTS 1.5% Campbell Soup Co. ........... 5,691 180,689 Hershey Co.(The)............. 4,898 185,096 Kellogg Co. ................. 3,846 198,223 ----------- TOTAL FOOD PRODUCTS 564,008 ----------- GAS UTILITIES 0.5% Questar Corp. ............... 4,575 182,268 ----------- TOTAL GAS UTILITIES 182,268 ----------- HEALTH CARE EQUIPMENT & SUPPLIES 4.4% Intuitive Surgical, Inc.*.... 3,220 793,247 Medtronic, Inc. ............. 4,752 169,647 St Jude Medical, Inc.*....... 4,617 157,347 Stryker Corp. ............... 3,470 159,620 Varian Medical Systems, Inc.*..................... 6,170 252,847 Zimmer Holdings, Inc.*....... 3,283 172,587 ----------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,705,295 ----------- HEALTH CARE PROVIDERS & SERVICES 3.1% DaVita, Inc.*................ 6,284 333,241 Express Scripts, Inc.*....... 3,846 307,372 Laboratory Corp. of America Holdings*................. 2,095 144,325 Patterson Cos., Inc.*........ 6,336 161,758 UnitedHealth Group, Inc. .... 9,191 238,506 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,185,202 ----------- HEALTH CARE TECHNOLOGY 0.7% IMS Health, Inc. ............ 16,476 270,042 ----------- TOTAL HEALTH CARE TECHNOLOGY 270,042 -----------
See Notes to Financial Statements. ANNUAL REPORT 41 RYDEX/SGI S&P 500 PURE GROWTH ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS (CONTINUED) HOTELS, RESTAURANTS & LEISURE 2.3% Starbucks Corp.*............. 21,604 $410,044 Wynn Resorts Ltd.*........... 5,211 282,540 Yum! Brands, Inc. ........... 5,866 193,285 ----------- TOTAL HOTELS, RESTAURANTS & LEISURE 885,869 ----------- HOUSEHOLD DURABLES 0.6% Black & Decker Corp. ........ 4,950 233,739 ----------- TOTAL HOUSEHOLD DURABLES 233,739 ----------- HOUSEHOLD PRODUCTS 0.5% Colgate-Palmolive Co. ....... 2,605 204,831 ----------- TOTAL HOUSEHOLD PRODUCTS 204,831 ----------- INDUSTRIAL CONGLOMERATES 0.6% 3M Co. ...................... 3,397 249,917 ----------- TOTAL INDUSTRIAL CONGLOMERATES 249,917 ----------- INSURANCE 0.6% Progressive Corp.*........... 13,860 221,760 ----------- TOTAL INSURANCE 221,760 ----------- INTERNET & CATALOG RETAIL 1.4% Amazon.com, Inc.*............ 4,627 549,734 ----------- TOTAL INTERNET & CATALOG RETAIL 549,734 ----------- INTERNET SOFTWARE & SERVICES 4.6% Akamai Technologies, Inc.*... 20,196 444,312 eBay, Inc.*.................. 13,235 294,743 Google, Inc. -- Class A*..... 1,012 542,553 VeriSign, Inc.*.............. 9,629 219,638 Yahoo!, Inc.*................ 16,413 260,967 ----------- TOTAL INTERNET SOFTWARE & SERVICES 1,762,213 ----------- IT SERVICES 5.2% Cognizant Technology Solutions Corp. -- Class A*........................ 16,913 653,687 Fiserv, Inc.*................ 3,960 181,645 Mastercard, Inc. -- Class A.. 2,105 461,037 Paychex, Inc. ............... 8,077 229,468 Total System Services, Inc. ..................... 12,328 196,878 Western Union Co. ........... 15,058 273,604 ----------- TOTAL IT SERVICES 1,996,319 ----------- LIFE SCIENCES TOOLS & SERVICES 0.9% Waters Corp.*................ 6,086 349,519 ----------- TOTAL LIFE SCIENCES TOOLS & SERVICES 349,519 ----------- MACHINERY 2.3% Caterpillar, Inc. ........... 6,378 351,173 Danaher Corp. ............... 2,605 177,739 PACCAR, Inc. ................ 9,160 342,675 ----------- TOTAL MACHINERY 871,587 ----------- MEDIA 1.1% McGraw-Hill Cos., Inc. ...... 7,639 219,851 Viacom, Inc. -- Class B*..... 7,951 219,368 ----------- TOTAL MEDIA 439,219 ----------- METALS & MINING 4.4% Freeport-McMoRan Copper & Gold, Inc.*............... 13,808 1,012,955 Nucor Corp. ................. 7,628 303,976 Titanium Metals Corp. ....... 46,270 397,922 ----------- TOTAL METALS & MINING 1,714,853 ----------- MULTILINE RETAIL 1.7% Sears Holdings Corp.*........ 9,474 642,906 ----------- TOTAL MULTILINE RETAIL 642,906 ----------- OIL, GAS & CONSUMABLE FUELS 9.8% Anadarko Petroleum Corp. .... 4,314 262,852 Apache Corp. ................ 2,813 264,760 Cabot Oil & Gas Corp. ....... 6,826 262,596 Chesapeake Energy Corp. ..... 14,527 355,911 Chevron Corp. ............... 2,950 225,793 CONSOL Energy, Inc. ......... 5,294 226,636 Denbury Resources, Inc.*..... 10,474 152,920 Devon Energy Corp. .......... 2,063 133,497 EOG Resources, Inc. ......... 3,637 296,997 Exxon Mobil Corp. ........... 3,303 236,726 Hess Corp. .................. 3,440 188,306 Murphy Oil Corp. ............ 5,627 344,035 Range Resources Corp. ....... 3,835 191,942 Sunoco, Inc. ................ 8,785 270,578 XTO Energy, Inc. ............ 8,617 358,123 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 3,771,672 ----------- PERSONAL PRODUCTS 1.2% Avon Products, Inc. ......... 7,847 251,496 Estee Lauder Cos., Inc -- Class A............ 5,106 217,005 ----------- TOTAL PERSONAL PRODUCTS 468,501 ----------- PHARMACEUTICALS 0.9% Forest Laboratories, Inc.*... 6,555 181,377 Johnson & Johnson, Inc. ..... 2,709 159,966 ----------- TOTAL PHARMACEUTICALS 341,343 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT 1.6% CB Richard Ellis Group, Inc. -- Class A*.......... 58,360 604,026 ----------- TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 604,026 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.4% Altera Corp. ................ 10,286 203,560 MEMC Electronic Materials, Inc.*..................... 9,702 120,499 National Semiconductor Corp. .................... 21,469 277,809 Texas Instruments, Inc. ..... 13,443 315,238 ----------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 917,106 ----------- SOFTWARE 7.7% Adobe Systems, Inc.*......... 6,743 222,114 Autodesk, Inc.*.............. 12,944 322,694 BMC Software, Inc.*.......... 10,682 396,943 Compuware Corp.*............. 19,091 134,782 Intuit, Inc.*................ 7,899 229,624 Microsoft Corp. ............. 11,619 322,195 Oracle Corp. ................ 10,870 229,357 Red Hat, Inc.*............... 22,228 573,705 Salesforce.com, Inc.*........ 9,452 536,401 ----------- TOTAL SOFTWARE 2,967,815 ----------- SPECIALTY RETAIL 4.1% Abercrombie & Fitch Co. -- Class A............ 12,192 400,141 AutoZone, Inc.*.............. 1,543 208,783
See Notes to Financial Statements. 42 RYDEX/SGI S&P 500 PURE GROWTH ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS (CONCLUDED) Bed Bath & Beyond, Inc.*..... 6,784 $238,865 GameStop Corp. -- Class A*... 6,023 146,299 Sherwin-Williams Co.(The).... 3,387 193,194 TJX Cos., Inc. .............. 10,630 397,031 ----------- TOTAL SPECIALTY RETAIL 1,584,313 ----------- TEXTILES, APPAREL & LUXURY GOODS 1.7% Coach, Inc. ................. 15,497 510,936 NIKE, Inc. -- Class B........ 2,605 161,979 ----------- TOTAL TEXTILES, APPAREL & LUXURY GOODS 672,915 ----------- TRADING COMPANIES & DISTRIBUTORS 0.4% Fastenal Co. ................ 4,919 169,705 ----------- TOTAL TRADING COMPANIES & DISTRIBUTORS 169,705 ----------- TOTAL COMMON STOCKS (Cost $37,516,826) 38,543,321 ----------- SHORT TERM INVESTMENTS 0.1% SSgA Government Money Market Fund...................... 19,094 19,094 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $19,094) 19,094 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $37,535,920) 38,562,415 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 5,099 ----------- NET ASSETS--100.0% $38,567,514 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. ANNUAL REPORT 43 RYDEX/SGI S&P MIDCAP 400 PURE VALUE ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.7% CAPITAL MARKETS 0.9% Apollo Investment Corp. .... 22,970 $206,730 ----------- TOTAL CAPITAL MARKETS 206,730 ----------- CHEMICALS 8.4% Ashland, Inc. .............. 39,570 1,366,748 Cabot Corp. ................ 8,430 184,870 Cytec Industries, Inc. ..... 5,040 167,177 RPM International, Inc. .... 12,110 213,378 ----------- TOTAL CHEMICALS 1,932,173 ----------- COMMERCIAL BANKS 1.7% Associated Banc-Corp. ...... 4,960 63,538 PacWest Bancorp............. 3,810 64,694 Webster Financial Corp. .... 19,610 221,789 Wilmington Trust Corp. ..... 3,820 46,031 ----------- TOTAL COMMERCIAL BANKS 396,052 ----------- COMMERCIAL SERVICES & SUPPLIES 4.3% Deluxe Corp. ............... 11,660 165,922 HNI Corp. .................. 13,650 359,268 Kelly Services, Inc. -- Class A.......... 26,870 297,719 Manpower, Inc. ............. 3,580 169,728 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 992,637 ----------- COMPUTERS & PERIPHERALS 0.4% Imation Corp. .............. 11,770 103,811 ----------- TOTAL COMPUTERS & PERIPHERALS 103,811 ----------- CONTAINERS & PACKAGING 8.2% Packaging Corp. of America.. 11,780 215,338 Temple-Inland, Inc. ........ 107,560 1,661,802 ----------- TOTAL CONTAINERS & PACKAGING 1,877,140 ----------- DIVERSIFIED CONSUMER SERVICES 2.3% Brink's Home Security Holdings, Inc.*.......... 11,080 343,258 Regis Corp. ................ 11,320 183,837 ----------- TOTAL DIVERSIFIED CONSUMER SERVICES 527,095 ----------- ELECTRIC UTILITIES 1.8% Great Plains Energy, Inc. .. 10,080 174,384 NV Energy, Inc. ............ 10,470 119,986 Westar Energy, Inc. ........ 6,030 115,475 ----------- TOTAL ELECTRIC UTILITIES 409,845 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 6.4% Arrow Electronics, Inc.*.... 7,450 188,783 Avnet, Inc.*................ 6,000 148,680 Ingram Micro, Inc. -- Class A*....................... 18,870 333,056 Tech Data Corp.*............ 14,250 547,627 Vishay Intertechnology, Inc.*.................... 41,780 260,289 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,478,435 ----------- FOOD PRODUCTS 1.4% Smithfield Foods, Inc.*..... 23,670 315,758 ----------- TOTAL FOOD PRODUCTS 315,758 ----------- GAS UTILITIES 2.3% AGL Resources, Inc. ........ 3,260 113,970 Atmos Energy Corp. ......... 7,810 217,508 Oneok, Inc. ................ 5,420 196,258 ----------- TOTAL GAS UTILITIES 527,736 ----------- HEALTH CARE PROVIDERS & SERVICES 3.5% Health Net, Inc.*........... 18,550 276,581 Kindred Healthcare, Inc.*... 14,140 207,858 WellCare Health Plans, Inc.*.................... 11,910 311,208 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 795,647 ----------- HOTELS, RESTAURANTS & LEISURE 3.0% Bob Evans Farms, Inc. ...... 4,520 118,740 Boyd Gaming Corp.*.......... 37,810 278,282 Brinker International, Inc. .................... 23,570 297,925 ----------- TOTAL HOTELS, RESTAURANTS & LEISURE 694,947 ----------- HOUSEHOLD DURABLES 2.2% American Greetings Corp. -- Class A......... 13,820 281,099 Blyth, Inc. ................ 6,690 237,027 ----------- TOTAL HOUSEHOLD DURABLES 518,126 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.4% Black Hills Corp. .......... 4,090 99,673 ----------- TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 99,673 ----------- INSURANCE 6.7% Fidelity National Financial, Inc. -- Class A.......... 11,900 161,483 First American Corp. ....... 3,360 102,110 Horace Mann Educators Corp. ................... 20,030 248,973 Old Republic International Corp. ................... 18,770 200,464 Protective Life Corp. ...... 28,510 548,817 Unitrin, Inc. .............. 14,780 289,688 ----------- TOTAL INSURANCE 1,551,535 ----------- MACHINERY 9.8% Crane Co. .................. 7,060 196,621 Federal Signal Corp. ....... 11,180 68,645 Oshkosh Corp. .............. 56,280 1,759,313 Timken Co. ................. 10,290 226,689 ----------- TOTAL MACHINERY 2,251,268 ----------- MARINE 0.5% Alexander & Baldwin, Inc. .. 4,030 116,185 ----------- TOTAL MARINE 116,185 ----------- MEDIA 1.2% Harte-Hanks, Inc. .......... 23,960 281,290 ----------- TOTAL MEDIA 281,290 ----------- METALS & MINING 0.5% Worthington Industries, Inc. .................... 9,620 106,301 ----------- TOTAL METALS & MINING 106,301 ----------- MULTI-UTILITIES 1.4% OGE Energy Corp. ........... 3,870 128,561 PNM Resources, Inc. ........ 17,090 183,205 ----------- TOTAL MULTI-UTILITIES 311,766 ----------- OIL, GAS & CONSUMABLE FUELS 0.7% Southern Union Co. ......... 7,740 151,472 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 151,472 ----------- PAPER & FOREST PRODUCTS 3.2% Louisiana-Pacific Corp.*.... 140,800 739,200 ----------- TOTAL PAPER & FOREST PRODUCTS 739,200 -----------
See Notes to Financial Statements. 44 RYDEX/SGI S&P MIDCAP 400 PURE VALUE ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS (CONCLUDED) REAL ESTATE INVESTMENT TRUSTS (REITS) 15.3% Alexandria Real Estate Equities, Inc. .......... 3,120 $169,010 BRE Properties, Inc. ....... 4,630 126,075 Camden Property Trust....... 5,280 191,400 Cousins Properties, Inc. ... 10,640 77,885 Duke Realty Corp. .......... 19,860 223,226 Equity One, Inc. ........... 8,720 130,102 Highwoods Properties, Inc. .................... 5,850 160,992 Hospitality Properties Trust.................... 17,080 329,815 Liberty Property Trust...... 7,990 234,666 Macerich Co.(The)........... 10,310 307,238 Mack-Cali Realty Corp. ..... 8,810 272,669 Nationwide Health Properties, Inc. ........ 5,500 177,375 Omega Healthcare Investors, Inc. .................... 8,660 131,286 Realty Income Corp. ........ 5,820 134,908 Regency Centers Corp. ...... 3,390 113,734 SL Green Realty Corp. ...... 12,460 482,950 UDR, Inc. .................. 6,670 95,915 Weingarten Realty Investors................ 9,250 171,125 ----------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 3,530,371 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.7% Intersil Corp. -- Class A... 15,590 195,655 RF Micro Devices, Inc.*..... 108,840 433,183 ----------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 628,838 ----------- SPECIALTY RETAIL 8.4% AnnTaylor Stores Corp.*..... 37,330 484,170 Barnes & Noble, Inc. ....... 17,270 286,855 Foot Locker, Inc. .......... 39,720 416,266 Williams-Sonoma, Inc. ...... 39,080 733,922 ----------- TOTAL SPECIALTY RETAIL 1,921,213 ----------- THRIFTS & MORTGAGE FINANCE 1.3% Astoria Financial Corp. .... 5,000 49,900 New York Community Bancorp, Inc. .................... 11,630 125,488 Washington Federal, Inc. ... 7,030 120,564 ----------- TOTAL THRIFTS & MORTGAGE FINANCE 295,952 ----------- TOBACCO 0.8% Universal Corp. ............ 4,240 176,342 ----------- TOTAL TOBACCO 176,342 ----------- TOTAL COMMON STOCKS (Cost $21,736,695) 22,937,538 ----------- SHORT TERM INVESTMENTS 0.2% SSgA Government Money Market Fund..................... 41,933 41,933 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $41,933) 41,933 ----------- TOTAL INVESTMENTS 99.9%(A) (Cost $21,778,628) 22,979,471 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.1% 17,881 ----------- NET ASSETS--100.0% $22,997,352 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. ANNUAL REPORT 45 RYDEX/SGI S&P MIDCAP 400 PURE GROWTH ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS 99.8% AEROSPACE & DEFENSE 0.6% Alliant Techsystems, Inc.*.. 7,959 $619,051 ------------ TOTAL AEROSPACE & DEFENSE 619,051 ------------ AIRLINES 0.4% Alaska Air Group, Inc.*..... 19,246 495,007 ------------ TOTAL AIRLINES 495,007 ------------ AUTOMOBILES 0.9% Thor Industries, Inc. ...... 37,061 971,739 ------------ TOTAL AUTOMOBILES 971,739 ------------ BEVERAGES 1.4% Hansen Natural Corp.*....... 42,090 1,521,554 ------------ TOTAL BEVERAGES 1,521,554 ------------ BIOTECHNOLOGY 1.8% United Therapeutics Corp.*.. 45,093 1,918,256 ------------ TOTAL BIOTECHNOLOGY 1,918,256 ------------ CAPITAL MARKETS 3.1% Affiliated Managers Group, Inc.*.................... 20,723 1,315,703 Eaton Vance Corp. .......... 41,237 1,170,718 SEI Investments Co. ........ 49,040 856,729 ------------ TOTAL CAPITAL MARKETS 3,343,150 ------------ COMMERCIAL BANKS 0.5% SVB Financial Group*........ 13,922 574,283 ------------ TOTAL COMMERCIAL BANKS 574,283 ------------ COMMERCIAL SERVICES & SUPPLIES 4.9% Clean Harbors, Inc.*........ 13,434 758,349 Copart, Inc.*............... 10,466 336,691 Corporate Executive Board Co.(The)................. 47,480 1,139,995 FTI Consulting, Inc.*....... 7,372 300,851 Herman Miller, Inc. ........ 64,897 1,002,659 Korn/Ferry International*... 41,301 659,164 Navigant Consulting, Inc.*.. 25,493 363,021 Rollins, Inc. .............. 28,974 523,850 Watson Wyatt Worldwide, Inc.-Class A............. 6,052 263,746 ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES 5,348,326 ------------ COMMUNICATIONS EQUIPMENT 4.0% CommScope, Inc.*............ 80,392 2,172,192 F5 Networks, Inc.*.......... 26,311 1,181,100 Plantronics, Inc. .......... 39,017 940,700 ------------ TOTAL COMMUNICATIONS EQUIPMENT 4,293,992 ------------ DIVERSIFIED CONSUMER SERVICES 4.2% Career Education Corp.*..... 25,971 541,235 ITT Educational Services, Inc.*.................... 9,203 831,491 Sotheby's................... 160,293 2,542,247 Strayer Education, Inc. .... 3,176 644,633 ------------ TOTAL DIVERSIFIED CONSUMER SERVICES 4,559,606 ------------ ELECTRICAL EQUIPMENT 1.7% AMETEK, Inc. ............... 11,116 387,837 Roper Industries, Inc. ..... 7,200 363,960 Thomas & Betts Corp.*....... 32,124 1,098,962 ------------ TOTAL ELECTRICAL EQUIPMENT 1,850,759 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3% Trimble Navigation, Ltd.*... 13,514 283,389 ------------ TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 283,389 ------------ ENERGY EQUIPMENT & SERVICES 7.3% Helix Energy Solutions Group, Inc.*............. 148,211 2,034,937 Helmerich & Payne, Inc. .... 37,028 1,407,805 Oceaneering International, Inc.*.................... 14,912 762,003 Patterson-UTI Energy, Inc. .................... 95,283 1,484,509 Superior Energy Services, Inc.*.................... 34,650 748,787 Unit Corp.*................. 38,016 1,485,665 ------------ TOTAL ENERGY EQUIPMENT & SERVICES 7,923,706 ------------ HEALTH CARE EQUIPMENT & SUPPLIES 4.1% Gen-Probe, Inc.*............ 10,203 425,669 Hologic, Inc.*.............. 44,753 661,449 Idexx Laboratories, Inc.*... 14,377 734,952 Immucor, Inc.*.............. 23,970 428,584 Kinetic Concepts, Inc.*..... 49,528 1,643,834 ResMed, Inc.*............... 11,760 578,710 ------------ TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 4,473,198 ------------ HEALTH CARE PROVIDERS & SERVICES 1.4% Lincare Holdings, Inc.*..... 19,591 615,353 VCA Antech, Inc.*........... 36,653 873,075 ------------ TOTAL HEALTH CARE PROVIDERS & SERVICES 1,488,428 ------------ HEALTH CARE TECHNOLOGY 0.7% Cerner Corp.*............... 9,658 734,394 ------------ TOTAL HEALTH CARE TECHNOLOGY 734,394 ------------ HOTELS, RESTAURANTS & LEISURE 2.4% Chipotle Mexican Grill, Inc. -- Class A*......... 10,946 891,989 Panera Bread Co. -- Class A*....................... 13,322 799,054 WMS Industries, Inc.*....... 23,810 951,924 ------------ TOTAL HOTELS, RESTAURANTS & LEISURE 2,642,967 ------------ HOUSEHOLD DURABLES 1.8% NVR, Inc.*.................. 2,263 1,498,717 Toll Brothers, Inc.*........ 29,009 502,436 ------------ TOTAL HOUSEHOLD DURABLES 2,001,153 ------------ HOUSEHOLD PRODUCTS 1.5% Church & Dwight Co., Inc. .. 6,312 359,026 Energizer Holdings, Inc.*... 21,057 1,281,740 ------------ TOTAL HOUSEHOLD PRODUCTS 1,640,766 ------------ INSURANCE 1.8% Brown & Brown, Inc. ........ 24,708 453,886 Hanover Insurance Group, Inc.(The)................ 9,225 388,096 HCC Insurance Holdings, Inc. .................... 23,275 614,227 W.R. Berkley Corp. ......... 20,009 494,622 ------------ TOTAL INSURANCE 1,950,831 ------------ INTERNET & CATALOG RETAIL 1.9% NetFlix, Inc.*.............. 23,785 1,271,308 Priceline.com, Inc.*........ 5,064 799,049 ------------ TOTAL INTERNET & CATALOG RETAIL 2,070,357 ------------ INTERNET SOFTWARE & SERVICES 1.6% Digital River, Inc.*........ 33,602 767,133 ValueClick, Inc.*........... 98,739 971,592 ------------ TOTAL INTERNET SOFTWARE & SERVICES 1,738,725 ------------
See Notes to Financial Statements. 46 RYDEX/SGI S&P MIDCAP 400 PURE GROWTH ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONCLUDED) IT SERVICES 3.1% Alliance Data Systems Corp.*................... 10,023 $551,065 DST Systems, Inc.*.......... 21,932 914,784 Gartner, Inc.*.............. 17,483 325,533 Global Payments, Inc. ...... 11,831 582,440 NeuStar, Inc. -- Class A*... 45,319 1,046,869 ------------ TOTAL IT SERVICES 3,420,691 ------------ LIFE SCIENCES TOOLS & SERVICES 1.0% Mettler Toledo International, Inc.*..... 3,186 310,635 Pharmaceutical Product Development, Inc. ....... 15,595 336,072 Techne Corp. ............... 7,430 464,450 ------------ TOTAL LIFE SCIENCES TOOLS & SERVICES 1,111,157 ------------ MACHINERY 7.2% Bucyrus International, Inc. -- Class A.......... 33,158 1,472,878 Donaldson Co., Inc. ........ 14,607 521,032 Graco, Inc. ................ 33,127 912,318 Joy Global, Inc. ........... 49,962 2,518,584 Lincoln Electric Holdings, Inc. .................... 8,860 420,318 Terex Corp.*................ 42,520 859,754 Trinity Industries, Inc. ... 63,429 1,070,682 ------------ TOTAL MACHINERY 7,775,566 ------------ MEDIA 3.1% DreamWorks Animation SKG, Inc. -- Class A*......... 20,589 658,848 John Wiley & Sons, Inc. -- Class A.......... 13,197 464,799 Lamar Advertising Co. -- Class A*.......... 46,754 1,136,122 Marvel Entertainment, Inc.*.................... 22,067 1,102,688 ------------ TOTAL MEDIA 3,362,457 ------------ METALS & MINING 3.9% Cliffs Natural Resources, Inc. .................... 45,991 1,635,900 Reliance Steel & Aluminum Co. ..................... 35,115 1,280,995 Steel Dynamics, Inc. ....... 94,984 1,271,836 ------------ TOTAL METALS & MINING 4,188,731 ------------ MULTILINE RETAIL 0.4% Dollar Tree, Inc.*.......... 8,883 400,890 ------------ TOTAL MULTILINE RETAIL 400,890 ------------ OIL, GAS & CONSUMABLE FUELS 3.7% Comstock Resources, Inc.*... 6,632 272,509 Encore Acquisition Co.*..... 30,840 1,143,239 Frontier Oil Corp. ......... 87,418 1,211,613 Quicksilver Resources, Inc.*.................... 114,599 1,398,108 ------------ TOTAL OIL, GAS & CONSUMABLE FUELS 4,025,469 ------------ PHARMACEUTICALS 0.5% Endo Pharmaceuticals Holdings, Inc.*.......... 23,185 519,344 ------------ TOTAL PHARMACEUTICALS 519,344 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT 1.0% Jones Lang LaSalle, Inc. ... 23,365 1,094,650 ------------ TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 1,094,650 ------------ ROAD & RAIL 2.4% Con-way, Inc. .............. 29,587 976,075 J.B. Hunt Transport Services, Inc. .......... 26,256 789,256 Landstar System, Inc. ...... 24,538 864,719 ------------ TOTAL ROAD & RAIL 2,630,050 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.6% Cree, Inc.*................. 22,730 956,933 Lam Research Corp.*......... 54,261 1,829,681 Silicon Laboratories, Inc.*.................... 25,801 1,081,062 ------------ TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3,867,676 ------------ SOFTWARE 4.3% ACI Worldwide, Inc.*........ 21,444 345,034 Ansys, Inc.*................ 13,799 559,964 Factset Research Systems, Inc. .................... 17,826 1,141,755 MICROS Systems, Inc.*....... 15,735 423,586 Parametric Technology Corp.*................... 42,975 640,757 Quest Software, Inc.*....... 45,318 759,983 Synopsys, Inc.*............. 34,845 766,590 ------------ TOTAL SOFTWARE 4,637,669 ------------ SPECIALTY RETAIL 13.7% Advance Auto Parts, Inc. ... 13,982 520,969 Aeropostale, Inc.*.......... 64,463 2,419,296 Chico's FAS, Inc.*.......... 192,109 2,295,703 Dick's Sporting Goods, Inc.*.................... 32,442 736,109 Guess?, Inc. ............... 49,448 1,807,324 J. Crew Group, Inc.*........ 112,391 4,583,305 Ross Stores, Inc. .......... 20,774 914,264 Urban Outfitters, Inc.*..... 49,507 1,553,530 ------------ TOTAL SPECIALTY RETAIL 14,830,500 ------------ TEXTILES, APPAREL & LUXURY GOODS 2.9% Fossil, Inc.*............... 19,136 511,505 Timberland Co. -- Class A*.. 35,979 582,140 Under Armour, Inc. -- Class A*....................... 35,868 963,056 Warnaco Group, Inc.*........ 26,766 1,084,826 ------------ TOTAL TEXTILES, APPAREL & LUXURY GOODS 3,141,527 ------------ TRADING COMPANIES & DISTRIBUTORS 0.7% MSC Industrial Direct Co. -- Class A........... 16,995 731,635 ------------ TOTAL TRADING COMPANIES & DISTRIBUTORS 731,635 ------------ TOTAL COMMON STOCKS (Cost $105,361,433) 108,181,649 ------------ SHORT TERM INVESTMENTS 0.2% SSgA Government Money Market Fund..................... 196,305 196,305 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $196,305) 196,305 ------------ TOTAL INVESTMENTS 100.0%(A) (Cost $105,557,738) 108,377,954 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 53,556 ------------ NET ASSETS--100.0% $108,431,510 - ------------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. ANNUAL REPORT 47 RYDEX/SGI S&P SMALLCAP 600 PURE VALUE ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS 99.9% AUTO COMPONENTS 4.0% Spartan Motors, Inc. ....... 110,978 $553,780 Standard Motor Products, Inc. .................... 395,679 3,307,877 Superior Industries International, Inc. ..... 35,546 472,051 ------------ TOTAL AUTO COMPONENTS 4,333,708 ------------ BUILDING PRODUCTS 0.4% Apogee Enterprises, Inc. ... 34,863 461,586 ------------ TOTAL BUILDING PRODUCTS 461,586 ------------ CHEMICALS 1.7% A. Schulman, Inc. .......... 21,019 365,100 PolyOne Corp.*.............. 122,204 681,898 Quaker Chemical Corp. ...... 38,710 797,426 ------------ TOTAL CHEMICALS 1,844,424 ------------ COMMERCIAL BANKS 1.1% First Midwest Bancorp, Inc. .................... 14,912 155,085 Independent Bank Corp. ..... 222,023 261,987 South Financial Group, Inc. .................... 103,589 82,871 Sterling Financial Corp.*... 143,531 114,825 Susquehanna Bancshares, Inc. .................... 29,553 162,837 Umpqua Holdings Corp. ...... 25,542 253,121 Whitney Holding Corp. ...... 24,732 198,598 ------------ TOTAL COMMERCIAL BANKS 1,229,324 ------------ COMMERCIAL SERVICES & SUPPLIES 4.6% Bowne & Co., Inc.*.......... 164,774 1,075,974 CDI Corp. .................. 42,135 513,204 Consolidated Graphics, Inc.*.................... 13,188 264,551 Spherion Corp.*............. 438,447 2,170,313 Standard Register Co.(The).. 57,767 275,549 Volt Information Sciences, Inc.*.................... 85,995 697,419 ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES 4,997,010 ------------ COMPUTERS & PERIPHERALS 0.4% Hutchinson Technology, Inc.*.................... 80,172 466,601 ------------ TOTAL COMPUTERS & PERIPHERALS 466,601 ------------ CONTAINERS & PACKAGING 0.4% Myers Industries, Inc. ..... 45,081 395,360 ------------ TOTAL CONTAINERS & PACKAGING 395,360 ------------ DIVERSIFIED CONSUMER SERVICES 0.3% Hillenbrand, Inc. .......... 17,507 349,790 ------------ TOTAL DIVERSIFIED CONSUMER SERVICES 349,790 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES 0.2% Iowa Telecommunications Services, Inc. .......... 14,919 175,597 ------------ TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 175,597 ------------ ELECTRIC UTILITIES 0.4% Central Vermont Public Service Corp. ........... 10,697 207,415 UIL Holdings Corp. ......... 8,484 217,869 ------------ TOTAL ELECTRIC UTILITIES 425,284 ------------ ELECTRICAL EQUIPMENT 0.4% Baldor Electric Co. ........ 12,351 319,273 C&D Technologies, Inc.*..... 85,630 156,703 ------------ TOTAL ELECTRICAL EQUIPMENT 475,976 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS 9.8% Agilysys, Inc. ............. 139,299 656,098 Brightpoint, Inc.*.......... 132,274 974,859 CTS Corp. .................. 29,255 262,125 Gerber Scientific, Inc.*.... 113,526 524,490 Insight Enterprises, Inc.*.. 196,855 2,070,915 Keithley Instruments, Inc. .................... 268,343 874,798 SYNNEX Corp.*............... 95,557 2,458,682 Technitrol, Inc. ........... 359,986 2,804,291 ------------ TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 10,626,258 ------------ FOOD & STAPLES RETAILING 1.9% Andersons, Inc.(The)........ 30,052 932,514 Great Atlantic & Pacific Tea Co., Inc.*............... 113,442 1,124,210 ------------ TOTAL FOOD & STAPLES RETAILING 2,056,724 ------------ HOTELS, RESTAURANTS & LEISURE 8.8% DineEquity, Inc.*........... 33,748 714,108 O'Charleys, Inc.*........... 566,903 3,973,990 Ruby Tuesday, Inc.*......... 718,083 4,782,433 ------------ TOTAL HOTELS, RESTAURANTS & LEISURE 9,470,531 ------------ HOUSEHOLD DURABLES 3.6% Ethan Allen Interiors, Inc. .................... 35,824 446,367 Kid Brands, Inc.*........... 142,386 707,659 La-Z-Boy, Inc. ............. 196,192 1,392,963 National Presto Industries, Inc. .................... 3,743 325,379 Standard Pacific Corp.*..... 330,368 991,104 ------------ TOTAL HOUSEHOLD DURABLES 3,863,472 ------------ INSURANCE 3.7% Delphi Financial Group-Class A........................ 14,795 321,052 National Financial Partners Corp.*................... 368,249 3,001,229 Presidential Life Corp. .... 29,138 271,858 Stewart Information Services Corp. ................... 47,609 425,624 ------------ TOTAL INSURANCE 4,019,763 ------------ IT SERVICES 0.7% StarTek, Inc.*.............. 120,309 697,792 ------------ TOTAL IT SERVICES 697,792 ------------ LEISURE EQUIPMENT & PRODUCTS 3.7% Arctic Cat, Inc. ........... 87,783 521,431 Brunswick Corp. ............ 371,664 3,523,375 ------------ TOTAL LEISURE EQUIPMENT & PRODUCTS 4,044,806 ------------ MACHINERY 1.7% Barnes Group, Inc. ......... 16,663 264,109 Briggs & Stratton Corp. .... 24,926 466,116 John Bean Technologies Corp. ................... 67,831 1,113,785 ------------ TOTAL MACHINERY 1,844,010 ------------ MEDIA 3.8% E.W. Scripps Co. -- Class A*....................... 537,024 3,415,473 Live Nation, Inc.*.......... 111,199 740,585 ------------ TOTAL MEDIA 4,156,058 ------------ MULTI-UTILITIES 0.2% CH Energy Group, Inc. ...... 3,984 164,977 ------------ TOTAL MULTI-UTILITIES 164,977 ------------ MULTILINE RETAIL 1.4% Tuesday Morning Corp.*...... 457,437 1,477,522 ------------ TOTAL MULTILINE RETAIL 1,477,522 ------------
See Notes to Financial Statements. 48 RYDEX/SGI S&P SMALLCAP 600 PURE VALUE ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONCLUDED) PAPER & FOREST PRODUCTS 1.4% Buckeye Technologies, Inc.*.................... 66,649 $597,175 Neenah Paper, Inc. ......... 89,832 929,761 ------------ TOTAL PAPER & FOREST PRODUCTS 1,526,936 ------------ REAL ESTATE INVESTMENT TRUSTS (REITS) 10.8% Acadia Realty Trust......... 13,017 206,970 BioMed Realty Trust, Inc. .. 49,477 671,403 Cedar Shopping Centers, Inc. .................... 95,835 581,718 Colonial Properties Trust... 117,212 1,234,242 DiamondRock Hospitality Co.*..................... 131,565 1,001,210 EastGroup Properties, Inc. .................... 6,609 243,277 Entertainment Properties Trust.................... 13,238 450,357 Extra Space Storage, Inc. .. 39,001 373,240 Franklin Street Properties Corp. ................... 17,748 191,323 Healthcare Realty Trust, Inc. .................... 27,869 580,511 Home Properties, Inc. ...... 7,841 307,210 Inland Real Estate Corp. ... 24,648 211,480 Kilroy Realty Corp. ........ 10,399 287,220 Kite Realty Group Trust..... 128,481 476,665 Lexington Realty Trust...... 116,723 489,069 LTC Properties, Inc. ....... 17,748 421,515 Mid-America Apartment Communities, Inc. ....... 6,321 276,986 National Retail Properties, Inc. .................... 27,571 534,326 Parkway Properties, Inc. ... 33,353 588,681 Pennsylvania Real Estate Investment Trust......... 145,128 1,063,788 Post Properties, Inc. ...... 27,859 459,395 Senior Housing Properties Trust.................... 25,609 493,742 Sovran Self Storage, Inc. .. 11,015 331,552 Urstadt Biddle Properties, Inc -- Class A........... 13,593 200,769 ------------ TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 11,676,649 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.9% Cypress Semiconductor Corp.*................... 63,251 533,206 Rudolph Technologies, Inc.*.................... 72,977 462,674 ------------ TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 995,880 ------------ SPECIALTY RETAIL 26.3% Big 5 Sporting Goods Corp. ................... 164,245 2,422,614 Brown Shoe Co., Inc. ....... 89,055 923,500 Christopher & Banks Corp. .. 142,359 866,966 Group 1 Automotive, Inc. ... 96,728 2,458,826 Lithia Motors, Inc. -- Class A*....................... 387,421 3,231,091 MarineMax, Inc.*............ 248,911 1,695,084 Men's Wearhouse, Inc.(The).. 18,585 430,614 OfficeMax, Inc.*............ 193,460 2,211,248 PEP Boys-Manny Moe & Jack... 194,325 1,704,230 Sonic Automotive, Inc. -- Class A.......... 359,282 3,211,981 Stage Stores, Inc. ......... 79,356 936,401 Stein Mart, Inc.*........... 736,423 6,996,019 Tween Brands, Inc.*......... 87,833 744,824 Zale Corp.*................. 128,110 605,960 ------------ TOTAL SPECIALTY RETAIL 28,439,358 ------------ TEXTILES, APPAREL & LUXURY GOODS 6.4% Liz Claiborne, Inc. ........ 369,027 2,118,215 Oxford Industries, Inc. .... 145,101 2,807,705 Perry Ellis International, Inc.*.................... 97,488 1,332,661 Quiksilver, Inc.*........... 347,179 690,886 ------------ TOTAL TEXTILES, APPAREL & LUXURY GOODS 6,949,467 ------------ THRIFTS & MORTGAGE FINANCE 0.2% Brookline Bancorp, Inc. .... 23,513 230,192 ------------ TOTAL THRIFTS & MORTGAGE FINANCE 230,192 ------------ WIRELESS TELECOMMUNICATION SERVICES 0.7% USA Mobility, Inc. ......... 65,517 714,135 ------------ TOTAL WIRELESS TELECOMMUNICATION SERVICES 714,135 ------------ TOTAL COMMON STOCKS (Cost $118,379,271) 108,109,190 ------------ SHORT TERM INVESTMENTS 0.1% SSgA Government Money Market Fund..................... 140,960 140,960 ------------ TOTAL SHORT TERM INVESTMENTS (Cost $140,960) 140,960 ------------ TOTAL INVESTMENTS 100.0%(A) (Cost $118,520,231) 108,250,150 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 33,591 ------------ NET ASSETS--100.0% $108,283,741 - ------------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. ANNUAL REPORT 49 RYDEX/SGI S&P SMALLCAP 600 PURE GROWTH ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.9% AEROSPACE & DEFENSE 2.4% AAR Corp.*................... 1,582 $31,023 Aerovironment, Inc.*......... 1,442 38,444 American Science & Engineering, Inc. ........ 581 38,416 Ceradyne, Inc.*.............. 4,372 70,476 Curtiss-Wright Corp. ........ 966 28,806 Orbital Sciences Corp.*...... 1,743 22,450 Stanley, Inc.*............... 1,189 33,589 Teledyne Technologies, Inc.*..................... 794 27,123 ----------- TOTAL AEROSPACE & DEFENSE 290,327 ----------- AIR FREIGHT & LOGISTICS 0.3% Forward Air Corp. ........... 1,736 37,046 ----------- TOTAL AIR FREIGHT & LOGISTICS 37,046 ----------- AIRLINES 0.4% SkyWest, Inc. ............... 2,968 41,463 ----------- TOTAL AIRLINES 41,463 ----------- AUTO COMPONENTS 0.5% Drew Industries, Inc.*....... 3,312 63,392 ----------- TOTAL AUTO COMPONENTS 63,392 ----------- BEVERAGES 0.3% Boston Beer Co., Inc. -- Class A*.......... 903 34,314 ----------- TOTAL BEVERAGES 34,314 ----------- BIOTECHNOLOGY 1.0% Cubist Pharmaceuticals, Inc.*..................... 4,472 75,756 Martek Biosciences Corp.*.... 2,653 47,648 ----------- TOTAL BIOTECHNOLOGY 123,404 ----------- BUILDING PRODUCTS 0.2% Simpson Manufacturing Co., Inc. ..................... 1,120 26,197 ----------- TOTAL BUILDING PRODUCTS 26,197 ----------- CAPITAL MARKETS 3.1% Greenhill & Co., Inc. ....... 1,393 120,118 optionsXpress Holdings, Inc. ..................... 5,898 92,186 Stifel Financial Corp.*...... 476 24,733 TradeStation Group, Inc.*.... 17,458 134,776 ----------- TOTAL CAPITAL MARKETS 371,813 ----------- CHEMICALS 0.2% Balchem Corp. ............... 1,029 28,390 ----------- TOTAL CHEMICALS 28,390 ----------- COMMERCIAL BANKS 2.1% Bank of the Ozarks, Inc. .... 1,965 44,704 East West Bancorp, Inc. ..... 3,031 27,370 Nara Bancorp, Inc. .......... 4,452 32,767 Pinnacle Financial Partners, Inc.*..................... 2,296 29,159 PrivateBancorp, Inc. ........ 1,196 10,919 Signature Bank*.............. 1,398 44,121 Wilshire Bancorp, Inc. ...... 8,298 58,418 ----------- TOTAL COMMERCIAL BANKS 247,458 ----------- COMMERCIAL SERVICES & SUPPLIES 1.2% Geo Group, Inc.(The)*........ 2,520 53,298 SYKES Enterprises, Inc.*..... 1,659 39,385 Viad Corp. .................. 3,088 54,040 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 146,723 ----------- COMMUNICATIONS EQUIPMENT 1.6% Bel Fuse, Inc.-Class B....... 1,869 33,829 Comtech Telecommunications Corp.*.................... 1,012 32,505 NETGEAR, Inc.*............... 4,773 87,012 ViaSat, Inc.*................ 1,393 40,606 ----------- TOTAL COMMUNICATIONS EQUIPMENT 193,952 ----------- COMPUTERS & PERIPHERALS 2.4% Intevac, Inc.*............... 20,537 209,477 Stratasys, Inc.*............. 2,261 35,679 Synaptics, Inc.*............. 1,546 34,785 ----------- TOTAL COMPUTERS & PERIPHERALS 279,941 ----------- CONSTRUCTION MATERIALS 0.9% Eagle Materials, Inc. ....... 3,469 86,205 Headwaters, Inc.*............ 5,828 24,011 ----------- TOTAL CONSTRUCTION MATERIALS 110,216 ----------- CONSUMER FINANCE 0.7% First Cash Financial Services, Inc.*........... 1,652 28,381 World Acceptance Corp.*...... 1,995 50,055 ----------- TOTAL CONSUMER FINANCE 78,436 ----------- DIVERSIFIED CONSUMER SERVICES 1.5% Capella Education Co.*....... 595 40,996 Coinstar, Inc.*.............. 1,295 41,103 Pre-Paid Legal Services, Inc.*..................... 1,556 61,524 Universal Technical Institute, Inc.*.......... 1,946 35,009 ----------- TOTAL DIVERSIFIED CONSUMER SERVICES 178,632 ----------- DIVERSIFIED FINANCIAL SERVICES 0.6% Portfolio Recovery Associates, Inc.*......... 1,618 74,654 ----------- TOTAL DIVERSIFIED FINANCIAL SERVICES 74,654 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES 0.5% Cbeyond, Inc.*............... 4,540 60,609 ----------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 60,609 ----------- ELECTRICAL EQUIPMENT 1.2% Encore Wire Corp. ........... 4,486 93,085 II-VI, Inc.*................. 1,918 50,769 ----------- TOTAL ELECTRICAL EQUIPMENT 143,854 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 3.3% Daktronics, Inc. ............ 4,641 34,900 Electro Scientific Industries, Inc.*......... 7,878 86,185 FARO Technologies, Inc.*..... 2,636 40,753 Park Electrochemical Corp. .. 2,758 62,000 Plexus Corp.*................ 3,443 87,108 TTM Technologies, Inc.*...... 8,299 84,401 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 395,347 ----------- ENERGY EQUIPMENT & SERVICES 7.4% Basic Energy Services, Inc.*..................... 8,103 56,721 CARBO Ceramics, Inc. ........ 1,029 60,083 Dril-Quip, Inc.*............. 1,750 85,033 Hornbeck Offshore Services, Inc.*..................... 4,372 106,283 ION Geophysical Corp.*....... 14,336 54,907 Lufkin Industries, Inc. ..... 1,029 58,704 NATCO Group, Inc.-Class A*... 2,447 106,885 Oil States International, Inc.*..................... 3,102 106,833 Pioneer Drilling Co.*........ 6,212 41,558 SEACOR Holdings, Inc.*....... 568 46,161
See Notes to Financial Statements. 50 RYDEX/SGI S&P SMALLCAP 600 PURE GROWTH ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS (CONTINUED) Superior Well Services, Inc.*..................... 6,598 $70,005 TETRA Technologies, Inc.*.... 9,299 87,969 ----------- TOTAL ENERGY EQUIPMENT & SERVICES 881,142 ----------- FOOD & STAPLES RETAILING 0.2% Spartan Stores, Inc. ........ 1,729 24,483 ----------- TOTAL FOOD & STAPLES RETAILING 24,483 ----------- FOOD PRODUCTS 2.0% Darling International, Inc.*..................... 9,411 65,407 Diamond Foods, Inc. ......... 1,848 55,717 Green Mountain Coffee Roasters, Inc.*........... 1,771 117,860 ----------- TOTAL FOOD PRODUCTS 238,984 ----------- HEALTH CARE EQUIPMENT & SUPPLIES 2.9% Abaxis, Inc.*................ 2,169 49,497 ICU Medical, Inc.*........... 794 27,790 Integra LifeSciences Holdings Corp.*.................... 1,126 34,388 Meridian Bioscience, Inc. ... 2,023 44,890 Natus Medical, Inc.*......... 2,690 37,364 Palomar Medical Technologies, Inc.*..................... 10,328 104,932 SurModics, Inc.*............. 623 15,955 Symmetry Medical, Inc.*...... 3,840 30,605 ----------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 345,421 ----------- HEALTH CARE PROVIDERS & SERVICES 6.3% Air Methods Corp.*........... 1,747 53,353 Amedisys, Inc.*.............. 749 29,803 Amsurg Corp.*................ 977 20,585 Catalyst Health Solutions, Inc.*..................... 2,689 84,354 Chemed Corp. ................ 1,463 66,303 Healthways, Inc.*............ 5,355 86,108 inVentiv Health, Inc.*....... 7,143 121,288 LCA-Vision, Inc.*............ 25,052 112,734 LHC Group, Inc.*............. 1,289 35,976 Magellan Health Services, Inc.*..................... 1,953 62,750 MEDNAX, Inc..*............... 893 46,365 Molina Healthcare, Inc.*..... 1,826 34,183 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 753,802 ----------- HEALTH CARE TECHNOLOGY 1.0% Quality Systems, Inc. ....... 1,869 114,046 ----------- TOTAL HEALTH CARE TECHNOLOGY 114,046 ----------- HOTELS, RESTAURANTS & LEISURE 4.9% CEC Entertainment, Inc.*..... 1,330 38,849 Cracker Barrel Old Country Store, Inc. .............. 2,790 92,489 Monarch Casino & Resort, Inc.*..................... 2,760 19,154 P.F. Chang's China Bistro, Inc.*..................... 1,232 35,962 Papa John's International, Inc.*..................... 2,016 45,360 Ruth's Hospitality Group Inc*...................... 64,595 200,891 Shuffle Master, Inc.*........ 19,103 149,194 ----------- TOTAL HOTELS, RESTAURANTS & LEISURE 581,899 ----------- HOUSEHOLD DURABLES 0.5% Meritage Homes Corp.*........ 3,486 63,585 ----------- TOTAL HOUSEHOLD DURABLES 63,585 ----------- INSURANCE 1.7% American Physicians Capital, Inc. ..................... 1,343 37,980 Amerisafe, Inc.*............. 2,209 40,955 eHealth, Inc.*............... 4,479 63,736 Employers Holdings, Inc. .... 3,868 57,324 ----------- TOTAL INSURANCE 199,995 ----------- INTERNET & CATALOG RETAIL 3.3% HSN, Inc.*................... 2,751 41,100 NutriSystem, Inc. ........... 7,633 164,262 PetMed Express, Inc. ........ 4,575 71,782 Stamps.com, Inc.*............ 11,315 113,602 ----------- TOTAL INTERNET & CATALOG RETAIL 390,746 ----------- INTERNET SOFTWARE & SERVICES 5.1% DealerTrack Holdings, Inc.*.. 6,402 105,505 InfoSpace, Inc.*............. 11,263 96,524 j2 Global Communications, Inc.*..................... 4,402 90,021 Knot, Inc.(The)*............. 8,760 93,469 Perficient, Inc.*............ 15,274 124,330 United Online, Inc. ......... 11,732 93,856 ----------- TOTAL INTERNET SOFTWARE & SERVICES 603,705 ----------- IT SERVICES 3.8% CACI International, Inc. -- Class A*.......... 595 28,334 Cybersource Corp.*........... 5,872 96,183 Heartland Payment Systems, Inc. ..................... 5,043 61,979 Integral Systems, Inc.*...... 1,820 15,288 TeleTech Holdings, Inc.*..... 4,323 77,339 Wright Express Corp.*........ 6,373 177,870 ----------- TOTAL IT SERVICES 456,993 ----------- LEISURE EQUIPMENT & PRODUCTS 0.6% Pool Corp. .................. 3,882 76,010 ----------- TOTAL LEISURE EQUIPMENT & PRODUCTS 76,010 ----------- LIFE SCIENCES TOOLS & SERVICES 0.8% Dionex Corp.*................ 861 58,444 eResearchTechnology, Inc.*... 5,562 41,159 ----------- TOTAL LIFE SCIENCES TOOLS & SERVICES 99,603 ----------- MACHINERY 2.2% Actuant Corp.-Class A........ 3,723 58,116 Astec Industries, Inc.*...... 1,966 45,218 Gardner Denver, Inc.*........ 1,673 60,078 Mueller Industries, Inc. .... 1,932 45,711 Toro Co. .................... 1,456 53,901 ----------- TOTAL MACHINERY 263,024 ----------- METALS & MINING 1.4% AM Castle & Co. ............. 7,493 84,446 Brush Engineered Materials, Inc.*..................... 4,731 87,287 ----------- TOTAL METALS & MINING 171,733 ----------- OIL, GAS & CONSUMABLE FUELS 3.0% Penn Virginia Corp. ......... 2,200 44,550 Petroleum Development Corp.*.................... 3,686 61,556 Petroquest Energy, Inc.*..... 7,052 43,229 St. Mary Land & Exploration Co. ...................... 4,003 136,502 Swift Energy Co.*............ 3,595 76,142 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 361,979 ----------- PAPER & FOREST PRODUCTS 0.2% Deltic Timber Corp. ......... 436 18,530 ----------- TOTAL PAPER & FOREST PRODUCTS 18,530 -----------
See Notes to Financial Statements. ANNUAL REPORT 51 RYDEX/SGI S&P SMALLCAP 600 PURE GROWTH ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS (CONCLUDED) PERSONAL PRODUCTS 1.2% Chattem, Inc.*............... 480 $30,418 Mannatech, Inc. ............. 32,909 111,890 ----------- TOTAL PERSONAL PRODUCTS 142,308 ----------- PHARMACEUTICALS 1.0% Salix Pharmaceuticals Ltd.*.. 2,720 50,021 Viropharma, Inc.*............ 8,565 64,580 ----------- TOTAL PHARMACEUTICALS 114,601 ----------- ROAD & RAIL 0.8% Heartland Express, Inc. ..... 2,086 28,370 Knight Transportation, Inc. ..................... 2,632 42,217 Old Dominion Freight Line, Inc.*..................... 1,148 29,836 ----------- TOTAL ROAD & RAIL 100,423 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 7.4% ATMI, Inc.*.................. 3,661 55,464 Cymer, Inc.*................. 980 33,555 Diodes, Inc.*................ 7,648 125,274 Hittite Microwave Corp.*..... 2,916 107,309 Kulicke & Soffa Industries, Inc.*..................... 38,954 181,136 Micrel, Inc. ................ 8,529 63,712 MKS Instruments, Inc.*....... 4,386 68,597 Pericom Semiconductor Corp.*.................... 13,429 126,367 Sigma Designs, Inc.*......... 4,442 53,349 Varian Semiconductor Equipment Associates, Inc.*..................... 2,385 67,710 ----------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 882,473 ----------- SOFTWARE 6.3% Blackbaud, Inc. ............. 3,896 86,452 Commvault Systems, Inc.*..... 8,179 161,126 Concur Technologies, Inc.*... 1,430 50,965 Ebix, Inc.*.................. 1,575 97,020 Epicor Software Corp.*....... 16,856 130,128 EPIQ Systems, Inc.*.......... 2,688 33,896 Smith Micro Software, Inc.*.. 11,872 107,798 Tyler Technologies, Inc.*.... 1,736 33,019 Websense, Inc.*.............. 3,219 51,697 ----------- TOTAL SOFTWARE 752,101 ----------- SPECIALTY RETAIL 3.6% Children's Place Retail Stores, Inc.(The)*........ 1,743 54,817 Dress Barn, Inc.*............ 3,849 69,474 Gymboree Corp.*.............. 945 40,229 Hibbett Sports, Inc.*........ 2,786 52,210 Jos. A. Bank Clothiers, Inc.*..................... 1,589 65,117 Tractor Supply Co.*.......... 980 43,806 Zumiez, Inc.*................ 7,872 106,036 ----------- TOTAL SPECIALTY RETAIL 431,689 ----------- TEXTILES, APPAREL & LUXURY GOODS 7.9% Carter's, Inc.*.............. 931 21,972 Crocs, Inc.*................. 77,331 470,173 Deckers Outdoor Corp.*....... 623 55,864 K-Swiss, Inc. -- Class A..... 4,158 33,929 Maidenform Brands, Inc.*..... 3,492 49,028 True Religion Apparel, Inc.*..................... 8,795 226,647 Volcom, Inc.*................ 4,792 79,595 ----------- TOTAL TEXTILES, APPAREL & LUXURY GOODS 937,208 ----------- TOTAL COMMON STOCKS (Cost $12,425,620) 11,932,651 ----------- SHORT TERM INVESTMENTS 0.1% SSgA Government Money Market Fund...................... 13,902 13,902 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $13,902) 13,902 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $12,439,522) 11,946,553 ----------- LIABILITIES IN EXCESS OF OTHER ASSETS--0.0%(B) (1,624) ----------- NET ASSETS--100.0% $11,944,929 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. 52 RYDEX/SGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.8% AUTO COMPONENTS 2.1% Goodyear Tire & Rubber Co.(The)*................. 8,830 $113,730 Johnson Controls, Inc. ...... 5,480 131,082 ----------- TOTAL AUTO COMPONENTS 244,812 ----------- AUTOMOBILES 2.6% Ford Motor Co.*.............. 21,670 151,690 Harley-Davidson, Inc. ....... 6,080 151,514 ----------- TOTAL AUTOMOBILES 303,204 ----------- DISTRIBUTORS 1.2% Genuine Parts Co. ........... 4,040 141,360 ----------- TOTAL DISTRIBUTORS 141,360 ----------- DIVERSIFIED CONSUMER SERVICES 3.9% Apollo Group, Inc. -- Class A*........................ 2,190 125,049 DeVry, Inc. ................. 2,890 159,788 H&R Block, Inc. ............. 8,610 157,907 ----------- TOTAL DIVERSIFIED CONSUMER SERVICES 442,744 ----------- HOTELS, RESTAURANTS & LEISURE 12.0% Carnival Corp. .............. 4,660 135,699 Darden Restaurants, Inc. .... 4,090 123,968 International Game Technology................ 6,940 123,810 Marriott International, Inc. -- Class A........... 5,650 141,589 McDonald's Corp. ............ 2,680 157,075 Starbucks Corp.*............. 7,250 137,605 Starwood Hotels & Resorts Worldwide, Inc. .......... 4,460 129,607 Wyndham Worldwide Corp. ..... 9,480 161,634 Wynn Resorts Ltd.*........... 2,190 118,742 Yum! Brands, Inc. ........... 4,360 143,662 ----------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,373,391 ----------- HOUSEHOLD DURABLES 14.3% Black & Decker Corp. ........ 3,050 144,021 D.R. Horton, Inc. ........... 11,430 125,273 Fortune Brands, Inc. ........ 3,260 126,977 Harman International Industries, Inc. ......... 4,630 174,134 KB HOME...................... 7,420 105,216 Leggett & Platt, Inc. ....... 7,870 152,127 Lennar Corp. -- Class A...... 8,880 111,888 Newell Rubbermaid, Inc. ..... 9,600 139,296 Pulte Homes, Inc. ........... 11,640 104,876 Snap-on, Inc. ............... 4,120 150,504 Stanley Works(The)........... 3,570 161,471 Whirlpool Corp. ............. 2,080 148,907 ----------- TOTAL HOUSEHOLD DURABLES 1,644,690 ----------- INTERNET & CATALOG RETAIL 3.0% Amazon.com, Inc.*............ 1,680 199,601 Expedia, Inc.*............... 6,150 139,420 ----------- TOTAL INTERNET & CATALOG RETAIL 339,021 ----------- LEISURE EQUIPMENT & PRODUCTS 3.4% Eastman Kodak Co.*........... 26,570 99,638 Hasbro, Inc. ................ 5,190 141,531 Mattel, Inc. ................ 8,070 152,765 ----------- TOTAL LEISURE EQUIPMENT & PRODUCTS 393,934 ----------- MEDIA 19.9% CBS Corp. -- Class B......... 12,220 143,829 Comcast Corp. -- Class A..... 8,710 126,295 DIRECTV Group, Inc.(The)*.... 5,800 152,540 Gannett Co., Inc. ........... 15,350 150,737 Interpublic Group of Cos., Inc.*..................... 20,140 121,243 McGraw-Hill Cos., Inc. ...... 5,660 162,895 Meredith Corp. .............. 4,750 128,535 New York Times Co. -- Class A......................... 17,990 143,380 News Corp. -- Class A........ 12,290 141,581 Omnicom Group, Inc. ......... 3,960 135,749 Scripps Networks Interactive -- Class A.... 4,060 153,306 Time Warner Cable, Inc. ..... 3,520 138,829 Time Warner, Inc. ........... 5,130 154,515 Viacom, Inc. -- Class B*..... 5,380 148,434 Walt Disney Co.(The)......... 5,290 144,787 Washington Post Co. -- Class B......................... 320 138,240 ----------- TOTAL MEDIA 2,284,895 ----------- MULTILINE RETAIL 10.6% Big Lots, Inc.*.............. 6,020 150,801 Family Dollar Stores, Inc. .. 5,710 161,593 J.C. Penney Co., Inc. ....... 4,450 147,428 Kohl's Corp.*................ 2,730 156,211 Macy's, Inc. ................ 8,460 148,642 Nordstrom, Inc. ............. 4,760 151,273 Sears Holdings Corp.*........ 2,210 149,971 Target Corp. ................ 3,100 150,133 ----------- TOTAL MULTILINE RETAIL 1,216,052 ----------- SPECIALTY RETAIL 21.5% Abercrombie & Fitch Co. -- Class A............ 4,440 145,721 AutoNation, Inc.*............ 8,480 146,195 AutoZone, Inc.*.............. 1,000 135,310 Bed Bath & Beyond, Inc.*..... 3,850 135,558 Best Buy Co., Inc. .......... 3,990 152,338 GameStop Corp. -- Class A*... 5,610 136,267 Gap, Inc.(The)............... 6,850 146,179 Home Depot, Inc. ............ 5,340 133,981 Limited Brands, Inc. ........ 9,010 158,576 Lowe's Cos., Inc. ........... 6,880 134,642 O'Reilly Automotive, Inc.*... 4,060 151,357 Office Depot, Inc.*.......... 24,590 148,769 RadioShack Corp. ............ 9,300 157,077 Sherwin-Williams Co.(The).... 2,440 139,178 Staples, Inc. ............... 6,540 141,918 Tiffany & Co. ............... 3,900 153,231 TJX Cos., Inc. .............. 3,970 148,279 ----------- TOTAL SPECIALTY RETAIL 2,464,576 ----------- TEXTILES, APPAREL & LUXURY GOODS 5.3% Coach, Inc. ................. 4,500 148,365 NIKE, Inc. -- Class B........ 2,580 160,425 Polo Ralph Lauren Corp. ..... 2,000 148,840 V.F. Corp. .................. 2,080 147,763 ----------- TOTAL TEXTILES, APPAREL & LUXURY GOODS 605,393 ----------- TOTAL COMMON STOCKS (Cost $10,127,384) 11,454,072 -----------
See Notes to Financial Statements. ANNUAL REPORT 53 RYDEX/SGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- SHORT TERM INVESTMENTS 0.2% SSgA Government Money Market Fund...................... 19,071 $19,071 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $19,071) 19,071 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $10,146,455) 11,473,143 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 1,150 ----------- NET ASSETS--100.0% $11,474,293 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. 54 RYDEX/SGI S&P EQUAL WEIGHT CONSUMER STAPLES ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ---------------------------------------------------- COMMON STOCKS 99.5% BEVERAGES 18.8% Brown-Forman Corp. -- Class B......................... 4,620 $225,502 Coca-Cola Co.(The)........... 4,280 228,167 Coca-Cola Enterprises, Inc. ..................... 10,930 208,435 Constellation Brands, Inc. -- Class A*.......... 14,710 232,712 Dr Pepper Snapple Group, Inc.*..................... 8,250 224,895 Molson Coors Brewing Co. -- Class B............ 4,740 232,118 Pepsi Bottling Group, Inc. .. 6,230 233,251 PepsiCo, Inc. ............... 3,850 233,118 ---------- TOTAL BEVERAGES 1,818,198 ---------- FOOD & STAPLES RETAILING 22.5% Costco Wholesale Corp. ...... 3,980 226,263 CVS Caremark Corp. .......... 6,360 224,508 Kroger Co.(The).............. 11,110 256,974 Safeway, Inc. ............... 11,780 263,047 SUPERVALU, Inc. ............. 14,920 236,780 Sysco Corp. ................. 8,990 237,786 Wal-Mart Stores, Inc. ....... 4,570 227,038 Walgreen Co. ................ 6,640 251,191 Whole Foods Market, Inc.*.... 8,080 259,045 ---------- TOTAL FOOD & STAPLES RETAILING 2,182,632 ---------- FOOD PRODUCTS 33.5% Archer-Daniels-Midland Co. .. 7,890 237,647 Campbell Soup Co. ........... 7,120 226,060 ConAgra Foods, Inc. ......... 10,250 215,250 Dean Foods Co.*.............. 12,450 226,964 General Mills, Inc. ......... 3,820 251,814 H.J. Heinz Co. .............. 5,780 232,587 Hershey Co.(The)............. 5,830 220,316 Hormel Foods Corp. .......... 6,200 226,052 J.M. Smucker Co.(The)........ 4,350 229,375 Kellogg Co. ................. 4,690 241,723 Kraft Foods, Inc. -- Class A......................... 8,610 236,947 McCormick & Co., Inc. ....... 6,610 231,416 Sara Lee Corp. .............. 21,820 246,348 Tyson Foods, Inc. -- Class A......................... 18,150 227,238 ---------- TOTAL FOOD PRODUCTS 3,249,737 ---------- HOUSEHOLD PRODUCTS 9.8% Clorox Co. .................. 3,970 235,143 Colgate-Palmolive Co. ....... 3,020 237,463 Kimberly-Clark Corp. ........ 3,960 242,193 Procter & Gamble Co. ........ 4,010 232,580 ---------- TOTAL HOUSEHOLD PRODUCTS 947,379 ---------- PERSONAL PRODUCTS 5.1% Avon Products, Inc. ......... 7,160 229,478 Estee Lauder Cos., Inc -- Class A............ 6,260 266,050 ---------- TOTAL PERSONAL PRODUCTS 495,528 ---------- TOBACCO 9.8% Altria Group, Inc. .......... 12,780 231,446 Lorillard, Inc. ............. 3,110 241,709 Philip Morris International, Inc. ..................... 4,760 225,434 Reynolds American, Inc. ..... 5,090 246,763 ---------- TOTAL TOBACCO 945,352 ---------- TOTAL COMMON STOCKS (Cost $9,520,652) 9,638,826 ---------- SHORT TERM INVESTMENTS 0.4% SSgA Government Money Market Fund...................... 33,382 33,382 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $33,382) 33,382 ---------- TOTAL INVESTMENTS 99.9%(A) (Cost $9,554,034) 9,672,208 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.1% 12,534 ---------- NET ASSETS--100.0% $9,684,742 - ----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. ANNUAL REPORT 55 RYDEX/SGI S&P EQUAL WEIGHT ENERGY ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.8% ENERGY EQUIPMENT & SERVICES 30.3% Baker Hughes, Inc. .......... 6,941 $292,008 BJ Services Co. ............. 15,374 295,181 Cameron International Corp.*.................... 7,766 287,109 Diamond Offshore Drilling, Inc. ..................... 3,212 305,943 ENSCO International, Inc. ... 7,293 333,946 FMC Technologies, Inc.*...... 5,540 291,404 Halliburton Co. ............. 10,823 316,140 Nabors Industries, Ltd.*..... 14,786 307,992 National-Oilwell Varco, Inc.*..................... 6,951 284,922 Rowan Cos., Inc. ............ 12,835 298,414 Schlumberger, Ltd. .......... 4,886 303,909 Smith International, Inc. ... 10,601 293,966 ----------- TOTAL ENERGY EQUIPMENT & SERVICES 3,610,934 ----------- OIL, GAS & CONSUMABLE FUELS 69.5% Anadarko Petroleum Corp. .... 4,806 292,830 Apache Corp. ................ 3,191 300,337 Cabot Oil & Gas Corp. ....... 8,009 308,106 Chesapeake Energy Corp. ..... 10,766 263,767 Chevron Corp. ............... 4,121 315,421 ConocoPhillips............... 6,409 321,604 CONSOL Energy, Inc. ......... 6,493 277,965 Denbury Resources, Inc.*..... 18,991 277,269 Devon Energy Corp. .......... 4,253 275,212 El Paso Corp. ............... 29,404 288,453 EOG Resources, Inc. ......... 3,677 300,264 Exxon Mobil Corp. ........... 4,292 307,608 Hess Corp. .................. 5,421 296,746 Marathon Oil Corp. .......... 8,949 286,100 Massey Energy Co. ........... 9,571 278,420 Murphy Oil Corp. ............ 4,958 303,132 Noble Energy, Inc. .......... 4,356 285,884 Occidental Petroleum Corp. .. 3,912 296,843 Peabody Energy Corp. ........ 7,767 307,495 Pioneer Natural Resources Co. ...................... 8,609 353,916 Range Resources Corp. ....... 5,877 294,144 Southwestern Energy Co.*..... 6,830 297,651 Spectra Energy Corp. ........ 15,404 294,524 Sunoco, Inc. ................ 10,572 325,618 Tesoro Corp. ................ 19,418 274,570 Valero Energy Corp. ......... 14,824 268,314 Williams Cos., Inc.(The)..... 16,464 310,346 XTO Energy, Inc. ............ 7,036 292,417 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 8,294,956 ----------- TOTAL COMMON STOCKS (Cost $11,972,806) 11,905,890 ----------- SHORT TERM INVESTMENTS 0.1% SSgA Government Money Market Fund...................... 9,449 9,449 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $9,449) 9,449 ----------- TOTAL INVESTMENTS 99.9%(A) (Cost $11,982,255) 11,915,339 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.1% 6,423 ----------- NET ASSETS--100.0% $11,921,762 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 56 RYDEX/SGI S&P EQUAL WEIGHT FINANCIALS ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.7% CAPITAL MARKETS 18.1% Ameriprise Financial, Inc. .................... 5,935 $205,766 Bank of New York Mellon Corp. ................... 6,388 170,304 Charles Schwab Corp.(The)... 11,064 191,850 E*TRADE Financial Corp.*.... 104,915 153,176 Federated Investors, Inc. -- Class B.......... 7,178 188,422 Franklin Resources, Inc. ... 1,866 195,240 Goldman Sachs Group, Inc.(The)................ 1,059 180,210 Invesco Ltd. ............... 8,450 178,718 Janus Capital Group, Inc. .. 13,341 175,034 Legg Mason, Inc. ........... 5,933 172,710 Morgan Stanley.............. 6,175 198,341 Northern Trust Corp. ....... 3,296 165,624 State Street Corp. ......... 3,536 148,441 T. Rowe Price Group, Inc. .. 4,170 203,204 ----------- TOTAL CAPITAL MARKETS 2,527,040 ----------- COMMERCIAL BANKS 16.9% BB&T Corp. ................. 6,641 158,786 Comerica, Inc. ............. 6,344 176,046 Fifth Third Bancorp......... 19,017 170,012 First Horizon National Corp.*................... 13,878 164,177 Huntington Bancshares, Inc. .................... 44,046 167,815 KeyCorp..................... 29,354 158,218 M&T Bank Corp. ............. 2,934 184,402 Marshall & Ilsley Corp. .... 23,611 125,611 PNC Financial Services Group, Inc. ............. 4,256 208,289 Regions Financial Corp. .... 31,710 153,476 SunTrust Banks, Inc. ....... 8,152 155,785 U.S. Bancorp................ 8,506 197,509 Wells Fargo & Co. .......... 6,797 187,053 Zions Bancorp............... 10,611 150,252 ----------- TOTAL COMMERCIAL BANKS 2,357,431 ----------- CONSUMER FINANCE 5.5% American Express Co. ....... 5,572 194,128 Capital One Financial Corp. ................... 5,163 188,966 Discover Financial Services................. 12,083 170,854 SLM Corp.*.................. 21,909 212,517 ----------- TOTAL CONSUMER FINANCE 766,465 ----------- DIVERSIFIED FINANCIAL SERVICES 11.4% Bank of America Corp. ...... 10,985 160,161 Citigroup, Inc. ............ 44,084 180,304 CME Group, Inc. ............ 641 193,973 IntercontinentalExchange, Inc.*.................... 1,967 197,074 JPMorgan Chase & Co. ....... 4,299 179,569 Leucadia National Corp.*.... 7,553 169,716 Moody's Corp. .............. 8,099 191,785 Nasdaq OMX Group (The)*..... 8,502 153,546 NYSE Euronext............... 6,438 166,422 ----------- TOTAL DIVERSIFIED FINANCIAL SERVICES 1,592,550 ----------- INSURANCE 26.3% AFLAC, Inc. ................ 4,522 187,618 Allstate Corp. ............. 6,294 186,114 American International Group, Inc.*............. 4,887 164,301 Aon Corp. .................. 4,633 178,417 Assurant, Inc. ............. 6,084 182,094 Chubb Corp. ................ 3,907 189,568 Cincinnati Financial Corp. ................... 7,415 188,044 Genworth Financial, Inc. -- Class A*......... 14,838 157,580 Hartford Financial Services Group, Inc. ............. 7,133 174,901 Lincoln National Corp. ..... 7,344 175,007 Loews Corp. ................ 5,552 183,771 MBIA, Inc.*................. 27,362 111,090 MetLife, Inc. .............. 4,891 166,441 Principal Financial Group, Inc. .................... 6,764 169,371 Progressive Corp.*.......... 11,288 180,608 Prudential Financial, Inc. .................... 3,637 164,501 Torchmark Corp. ............ 4,278 173,687 Travelers Cos., Inc.(The)... 4,066 202,446 Unum Group.................. 8,647 172,508 XL Capital, Ltd. -- Class A........................ 11,398 187,041 ----------- TOTAL INSURANCE 3,684,805 ----------- REAL ESTATE INVESTMENT TRUSTS (REITS) 17.7% Apartment Investment & Management Co. -- Class A........................ 12,886 159,142 AvalonBay Communities, Inc. .................... 2,533 174,220 Boston Properties, Inc. .... 2,739 166,449 Equity Residential.......... 6,021 173,886 HCP, Inc. .................. 6,474 191,565 Health Care REIT, Inc. ..... 4,447 197,313 Host Hotels & Resorts, Inc. .................... 16,570 167,523 Kimco Realty Corp. ......... 12,733 160,945 Plum Creek Timber Co., Inc. .................... 6,052 189,367 ProLogis.................... 15,463 175,196 Public Storage, Inc. ....... 2,468 181,645 Simon Property Group, Inc. .................... 2,630 178,551 Ventas, Inc. ............... 4,938 198,162 Vornado Realty Trust........ 2,821 168,019 ----------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 2,481,983 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT 1.1% CB Richard Ellis Group, Inc. -- Class A*......... 15,427 159,669 ----------- TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 159,669 ----------- THRIFTS & MORTGAGE FINANCE 2.7% Hudson City Bancorp, Inc. .. 14,151 185,944 People's United Financial, Inc. .................... 11,962 191,751 ----------- TOTAL THRIFTS & MORTGAGE FINANCE 377,695 ----------- TOTAL COMMON STOCKS (Cost $13,025,150) 13,947,638 ----------- SHORT TERM INVESTMENTS 0.3% SSgA Government Money Market Fund..................... 41,367 41,367 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $41,367) 41,367 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $13,066,517) 13,989,005 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 5,966 ----------- NET ASSETS--100.0% $13,994,971 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. ANNUAL REPORT 57 RYDEX/SGI S&P EQUAL WEIGHT HEALTH CARE ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.9% BIOTECHNOLOGY 10.6% Amgen, Inc.*................ 23,530 $1,264,267 Biogen Idec, Inc.*.......... 28,680 1,208,288 Celgene Corp.*.............. 27,090 1,382,945 Cephalon, Inc.*............. 24,440 1,333,935 Genzyme Corp.*.............. 24,920 1,260,952 Gilead Sciences, Inc.*...... 31,175 1,326,496 ----------- TOTAL BIOTECHNOLOGY 7,776,883 ----------- HEALTH CARE EQUIPMENT & SUPPLIES 24.3% Baxter International, Inc. .................... 24,470 1,322,848 Becton, Dickinson & Co. .... 20,460 1,398,646 Boston Scientific Corp.*.... 131,514 1,067,894 C.R. Bard, Inc. ............ 17,905 1,344,128 CareFusion Corp.*........... 66,404 1,485,457 Dentsply International, Inc. .................... 41,340 1,362,566 Hospira, Inc.*.............. 33,450 1,493,208 Intuitive Surgical, Inc.*... 5,840 1,438,684 Medtronic, Inc. ............ 38,205 1,363,919 St Jude Medical, Inc.*...... 37,365 1,273,399 Stryker Corp. .............. 30,035 1,381,610 Varian Medical Systems, Inc.*.................... 33,145 1,358,282 Zimmer Holdings, Inc.*...... 28,210 1,483,000 ----------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 17,773,641 ----------- HEALTH CARE PROVIDERS & SERVICES 30.1% Aetna, Inc. ................ 46,525 1,211,046 AmerisourceBergen Corp. .... 66,409 1,470,959 Cardinal Health, Inc. ...... 51,706 1,465,348 CIGNA Corp. ................ 44,620 1,242,221 Coventry Health Care, Inc.*.................... 68,829 1,364,879 DaVita, Inc.*............... 25,895 1,373,212 Express Scripts, Inc.*...... 18,075 1,444,554 Humana, Inc.*............... 35,855 1,347,431 Laboratory Corp. of America Holdings*................ 22,545 1,553,125 McKesson Corp. ............. 24,635 1,446,814 Medco Health Solutions, Inc.*.................... 25,915 1,454,350 Patterson Cos., Inc.*....... 51,389 1,311,961 Quest Diagnostics, Inc. .... 28,320 1,583,938 Tenet Healthcare Corp.*..... 253,437 1,297,597 UnitedHealth Group, Inc. ... 50,099 1,300,069 WellPoint, Inc.*............ 26,250 1,227,450 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 22,094,954 ----------- HEALTH CARE TECHNOLOGY 2.1% IMS Health, Inc. ........... 93,334 1,529,744 ----------- TOTAL HEALTH CARE TECHNOLOGY 1,529,744 ----------- LIFE SCIENCES TOOLS & SERVICES 9.5% Life Technologies Corp.*.... 29,695 1,400,713 Millipore Corp.*............ 19,835 1,329,143 PerkinElmer, Inc. .......... 71,739 1,335,063 Thermo Fisher Scientific, Inc.*.................... 31,955 1,437,975 Waters Corp.*............... 25,955 1,490,596 ----------- TOTAL LIFE SCIENCES TOOLS & SERVICES 6,993,490 ----------- PHARMACEUTICALS 23.3% Abbott Laboratories......... 31,355 1,585,622 Allergan, Inc. ............. 24,980 1,405,125 Bristol-Myers Squibb Co. ... 63,759 1,389,946 Eli Lilly & Co. ............ 43,600 1,482,836 Forest Laboratories, Inc.*.. 49,531 1,370,523 Johnson & Johnson, Inc. .... 23,610 1,394,171 King Pharmaceuticals, Inc.*.................... 134,489 1,362,374 Merck & Co., Inc. .......... 44,670 1,381,643 Mylan, Inc.*................ 89,989 1,461,421 Pfizer, Inc. ............... 85,609 1,457,921 Schering-Plough Corp. ...... 50,849 1,433,942 Watson Pharmaceuticals, Inc.*.................... 39,237 1,350,538 ----------- TOTAL PHARMACEUTICALS 17,076,062 ----------- TOTAL COMMON STOCKS (Cost $74,802,349) 73,244,774 ----------- SHORT TERM INVESTMENTS 0.1% SSgA Government Money Market Fund..................... 37,347 37,347 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $37,347) 37,347 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $74,839,696) 73,282,121 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 25,942 ----------- NET ASSETS--100.0% $73,308,063 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. 58 RYDEX/SGI S&P EQUAL WEIGHT INDUSTRIALS ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.9% AEROSPACE & DEFENSE 21.1% Boeing Co. .................. 6,340 $303,052 General Dynamics Corp. ...... 5,190 325,413 Goodrich Corp. .............. 6,030 327,731 Honeywell International, Inc. ..................... 8,301 297,923 ITT Corp. ................... 6,430 326,001 L-3 Communications Holdings, Inc. ..................... 4,070 294,220 Lockheed Martin Corp. ....... 4,180 287,542 Northrop Grumman Corp. ...... 6,500 325,845 Precision Castparts Corp. ... 3,300 315,249 Raytheon Co. ................ 6,960 315,149 Rockwell Collins, Inc. ...... 6,590 332,004 United Technologies Corp. ... 5,320 326,914 ----------- TOTAL AEROSPACE & DEFENSE 3,777,043 ----------- AIR FREIGHT & LOGISTICS 6.9% C.H. Robinson Worldwide, Inc. ..................... 5,690 313,576 Expeditors International of Washington, Inc. ......... 9,141 294,523 FedEx Corp. ................. 4,410 320,563 United Parcel Service, Inc. -- Class B........... 5,690 305,439 ----------- TOTAL AIR FREIGHT & LOGISTICS 1,234,101 ----------- AIRLINES 1.6% Southwest Airlines Co. ...... 34,282 287,969 ----------- TOTAL AIRLINES 287,969 ----------- BUILDING PRODUCTS 1.5% Masco Corp. ................. 23,361 274,492 ----------- TOTAL BUILDING PRODUCTS 274,492 ----------- COMMERCIAL SERVICES & SUPPLIES 21.3% Avery Dennison Corp. ........ 9,491 338,354 Cintas Corp. ................ 11,231 310,986 Dun & Bradstreet Corp. ...... 4,510 345,286 Equifax, Inc. ............... 11,661 319,278 Iron Mountain, Inc.*......... 11,871 290,009 Monster Worldwide, Inc.*..... 18,831 273,426 Pitney Bowes, Inc. .......... 13,131 321,710 R.R. Donnelley & Sons Co. ... 15,731 315,878 Republic Services, Inc. ..... 12,281 318,201 Robert Half International, Inc. ..................... 12,241 283,991 Stericycle, Inc.*............ 6,950 363,971 Waste Management, Inc. ...... 10,911 326,021 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 3,807,111 ----------- CONSTRUCTION & ENGINEERING 4.7% Fluor Corp. ................. 5,960 264,743 Jacobs Engineering Group, Inc.*..................... 6,830 288,841 Quanta Services, Inc.*....... 13,871 294,065 ----------- TOTAL CONSTRUCTION & ENGINEERING 847,649 ----------- ELECTRICAL EQUIPMENT 5.0% Emerson Electric Co. ........ 8,110 306,153 First Solar, Inc.*........... 2,280 278,000 Rockwell Automation, Inc. ... 7,580 310,401 ----------- TOTAL ELECTRICAL EQUIPMENT 894,554 ----------- INDUSTRIAL CONGLOMERATES 5.2% 3M Co. ...................... 4,470 328,858 General Electric Co. ........ 20,051 285,927 Textron, Inc. ............... 17,311 307,790 ----------- TOTAL INDUSTRIAL CONGLOMERATES 922,575 ----------- MACHINERY 20.2% Caterpillar, Inc. ........... 6,230 343,024 Cummins, Inc. ............... 7,210 310,463 Danaher Corp. ............... 4,890 333,645 Deere & Co. ................. 7,400 337,070 Dover Corp. ................. 8,441 318,057 Eaton Corp. ................. 5,610 339,124 Flowserve Corp. ............. 3,430 336,860 Illinois Tool Works, Inc. ... 7,530 345,777 PACCAR, Inc. ................ 8,491 317,648 Pall Corp. .................. 9,841 312,353 Parker-Hannifin Corp. ....... 6,060 320,938 ----------- TOTAL MACHINERY 3,614,959 ----------- ROAD & RAIL 8.8% Burlington Northern Santa Fe Corp. .................... 4,000 301,280 CSX Corp. ................... 7,350 310,023 Norfolk Southern Corp. ...... 7,220 336,596 Ryder System, Inc. .......... 8,090 328,049 Union Pacific Corp. ......... 5,320 293,345 ----------- TOTAL ROAD & RAIL 1,569,293 ----------- TRADING COMPANIES & DISTRIBUTORS 3.6% Fastenal Co. ................ 8,511 293,630 W.W. Grainger, Inc. ......... 3,680 344,926 ----------- TOTAL TRADING COMPANIES & DISTRIBUTORS 638,556 ----------- TOTAL COMMON STOCKS (Cost $15,814,357) 17,868,302 ----------- SHORT TERM INVESTMENTS 0.1% SSgA Government Money Market Fund...................... 17,100 17,100 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $17,100) 17,100 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $15,831,457) 17,885,402 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 4,576 ----------- NET ASSETS--100.0% $17,889,978 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. ANNUAL REPORT 59 RYDEX/SGI S&P EQUAL WEIGHT MATERIALS ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 99.8% CHEMICALS 44.4% Air Products & Chemicals, Inc. .................... 18,881 $1,456,292 Airgas, Inc. ............... 30,571 1,356,130 CF Industries Holdings, Inc. .................... 16,790 1,397,767 Dow Chemical Co.(The)....... 57,042 1,339,346 Du Pont (E.I.) de Nemours & Co. ..................... 44,922 1,429,418 Eastman Chemical Co. ....... 27,681 1,453,529 Ecolab, Inc. ............... 31,791 1,397,532 FMC Corp. .................. 26,241 1,340,915 International Flavors & Fragrances, Inc. ........ 38,591 1,469,931 Monsanto Co. ............... 18,961 1,273,800 PPG Industries, Inc. ....... 25,431 1,435,071 Praxair, Inc. .............. 18,731 1,487,991 Sigma-Aldrich Corp. ........ 28,421 1,475,903 ----------- TOTAL CHEMICALS 18,313,625 ----------- CONSTRUCTION MATERIALS 2.9% Vulcan Materials Co. ....... 26,091 1,200,969 ----------- TOTAL CONSTRUCTION MATERIALS 1,200,969 ----------- CONTAINERS & PACKAGING 16.8% Ball Corp. ................. 29,681 1,464,164 Bemis Co., Inc. ............ 55,312 1,428,709 Owens-Illinois, Inc.*....... 40,541 1,292,447 Pactiv Corp.*............... 57,042 1,317,100 Sealed Air Corp. ........... 73,393 1,411,347 ----------- TOTAL CONTAINERS & PACKAGING 6,913,767 ----------- METALS & MINING 25.1% AK Steel Holding Corp. ..... 65,602 1,041,104 Alcoa, Inc. ................ 107,774 1,338,553 Allegheny Technologies, Inc. .................... 43,572 1,344,632 Freeport-McMoRan Copper & Gold, Inc.*.............. 21,621 1,586,116 Newmont Mining Corp. ....... 33,641 1,462,038 Nucor Corp. ................ 30,481 1,214,668 Titanium Metals Corp. ...... 149,825 1,288,495 United States Steel Corp. .. 30,791 1,061,982 ----------- TOTAL METALS & MINING 10,337,588 ----------- PAPER & FOREST PRODUCTS 10.6% International Paper Co. .... 64,872 1,447,294 MeadWestvaco Corp. ......... 66,092 1,508,881 Weyerhaeuser Co. ........... 38,341 1,393,311 ----------- TOTAL PAPER & FOREST PRODUCTS 4,349,486 ----------- TOTAL COMMON STOCKS (Cost $37,777,757) 41,115,435 ----------- SHORT TERM INVESTMENTS 0.2% SSgA Government Money Market Fund..................... 69,671 69,671 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $69,671) 69,671 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $37,847,428) 41,185,106 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(B) 13,969 ----------- NET ASSETS--100.0% $41,199,075 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. 60 RYDEX/SGI S&P EQUAL WEIGHT TECHNOLOGY ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 100.0% COMMUNICATIONS EQUIPMENT 10.0% Ciena Corp.*................ 46,580 $546,383 Cisco Systems, Inc.*........ 31,570 721,375 Harris Corp. ............... 20,214 843,328 JDS Uniphase Corp.*......... 98,162 548,726 Juniper Networks, Inc.*..... 26,840 684,688 Motorola, Inc. ............. 84,306 722,502 QUALCOMM, Inc. ............. 16,646 689,311 Tellabs, Inc.*.............. 107,832 649,149 ----------- TOTAL COMMUNICATIONS EQUIPMENT 5,405,462 ----------- COMPUTERS & PERIPHERALS 16.4% Apple, Inc.*................ 4,008 755,508 Dell, Inc.*................. 44,434 643,849 EMC Corp.*.................. 43,724 720,134 Hewlett-Packard Co. ........ 16,012 759,929 International Business Machines Corp. .......... 6,090 734,515 Lexmark International, Inc. -- Class A*......... 33,816 862,308 NetApp, Inc.*............... 29,932 809,661 QLogic Corp.*............... 41,948 735,768 SanDisk Corp.*.............. 32,538 666,378 Sun Microsystems, Inc.*..... 81,356 665,492 Teradata Corp.*............. 28,274 788,279 Western Digital Corp.*...... 20,528 691,383 ----------- TOTAL COMPUTERS & PERIPHERALS 8,833,204 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 8.0% Agilent Technologies, Inc.*.................... 26,328 651,355 Amphenol Corp. -- Class A... 18,766 752,892 Corning, Inc. .............. 48,270 705,225 FLIR Systems, Inc.*......... 26,576 739,078 Jabil Circuit, Inc. ........ 60,400 808,152 Molex, Inc. ................ 36,472 680,932 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 4,337,634 ----------- INTERNET SOFTWARE & SERVICES 7.0% Akamai Technologies, Inc.*.. 39,580 870,760 eBay, Inc.*................. 30,248 673,623 Google, Inc. -- Class A*.... 1,502 805,252 VeriSign, Inc.*............. 31,664 722,256 Yahoo!, Inc.*............... 43,012 683,891 ----------- TOTAL INTERNET SOFTWARE & SERVICES 3,755,782 ----------- IT SERVICES 14.8% Affiliated Computer Services, Inc. -- Class A*....................... 15,984 832,607 Automatic Data Processing, Inc. .................... 18,906 752,459 Cognizant Technology Solutions Corp. -- Class A*....................... 19,308 746,254 Computer Sciences Corp.*.... 14,150 717,547 Convergys Corp.*............ 65,312 708,635 Fidelity National Information Services, Inc. .................... 29,846 649,449 Fiserv, Inc.*............... 15,022 689,059 Mastercard, Inc. -- Class A........................ 3,346 732,841 Paychex, Inc. .............. 25,002 710,307 Total System Services, Inc. .................... 46,422 741,359 Western Union Co. .......... 38,120 692,640 ----------- TOTAL IT SERVICES 7,973,157 ----------- OFFICE ELECTRONICS 1.1% Xerox Corp. ................ 78,060 587,011 ----------- TOTAL OFFICE ELECTRONICS 587,011 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 22.3% Advanced Micro Devices, Inc.*.................... 132,926 611,460 Altera Corp. ............... 36,104 714,498 Analog Devices, Inc. ....... 27,166 696,265 Applied Materials, Inc. .... 56,890 694,058 Broadcom Corp. -- Class A*.. 24,734 658,172 Intel Corp. ................ 37,832 722,970 KLA-Tencor Corp. ........... 20,968 681,670 Linear Technology Corp. .... 27,700 716,876 LSI Corp.*.................. 135,608 694,313 MEMC Electronic Materials, Inc.*.................... 39,203 486,901 Microchip Technology, Inc. .................... 27,318 654,539 Micron Technology, Inc.*.... 89,886 610,326 National Semiconductor Corp. ................... 50,046 647,595 Novellus Systems, Inc.*..... 36,140 743,761 NVIDIA Corp.*............... 48,962 585,586 Teradyne, Inc.*............. 81,236 679,945 Texas Instruments, Inc. .... 30,916 724,980 Xilinx, Inc. ............... 32,470 706,222 ----------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 12,030,137 ----------- SOFTWARE 20.4% Adobe Systems, Inc.*........ 22,266 733,442 Autodesk, Inc.*............. 31,486 784,946 BMC Software, Inc.*......... 19,440 722,390 CA, Inc. ................... 32,732 684,753 Citrix Systems, Inc.*....... 19,858 729,980 Compuware Corp.*............ 95,376 673,355 Electronic Arts, Inc.*...... 39,592 722,158 Intuit, Inc.*............... 26,750 777,623 McAfee, Inc.*............... 17,562 735,497 Microsoft Corp. ............ 29,236 810,714 Novell, Inc.*............... 155,712 636,862 Oracle Corp. ............... 34,154 720,649 Red Hat, Inc.*.............. 28,708 740,954 Salesforce.com, Inc.*....... 12,706 721,066 Symantec Corp.*............. 47,354 832,483 ----------- TOTAL SOFTWARE 11,026,872 ----------- TOTAL COMMON STOCKS (Cost $52,653,962) 53,949,259 ----------- SHORT TERM INVESTMENTS 0.0%(B) SSgA Government Money Market Fund..................... 25,539 25,539 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $25,539) 25,539 ----------- TOTAL INVESTMENTS 100.0%(A) (Cost $52,679,501) 53,974,798 ----------- LIABILITIES IN EXCESS OF OTHER ASSETS--0.0%(B) (6,226) ----------- NET ASSETS--100.0% $53,968,572 - -----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Amount represents less than 0.05% of net assets. See Notes to Financial Statements. ANNUAL REPORT 61 RYDEX/SGI S&P EQUAL WEIGHT UTILITIES ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ---------------------------------------------------- COMMON STOCKS 99.2% DIVERSIFIED TELECOMMUNICATION SERVICES 14.2% AT&T, Inc. .................. 7,450 $191,242 CenturyTel, Inc. ............ 6,290 204,173 Frontier Communications Corp. .................... 27,411 196,537 Qwest Communications International, Inc. ...... 58,103 208,590 Verizon Communications, Inc. ..................... 6,760 200,028 Windstream Corp. ............ 20,691 199,461 ---------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 1,200,031 ---------- ELECTRIC UTILITIES 31.0% Allegheny Energy, Inc. ...... 7,260 165,673 American Electric Power Co., Inc. ..................... 6,250 188,875 Duke Energy Corp. ........... 12,461 197,133 Edison International......... 5,690 181,056 Entergy Corp. ............... 2,460 188,731 Exelon Corp. ................ 3,850 180,796 FirstEnergy Corp. ........... 4,240 183,507 FPL Group, Inc. ............. 3,630 178,233 Northeast Utilities.......... 8,140 187,627 Pepco Holdings, Inc. ........ 13,151 196,345 Pinnacle West Capital Corp. .................... 5,990 187,607 PPL Corp. ................... 6,490 191,066 Progress Energy, Inc. ....... 5,070 190,277 Southern Co. ................ 6,180 192,754 ---------- TOTAL ELECTRIC UTILITIES 2,609,680 ---------- GAS UTILITIES 7.3% EQT Corp. ................... 4,780 200,091 Nicor, Inc. ................. 5,350 198,378 Questar Corp. ............... 5,410 215,534 ---------- TOTAL GAS UTILITIES 614,003 ---------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 6.5% AES Corp.(The)*.............. 13,771 179,987 Constellation Energy Group, Inc. ..................... 6,090 188,303 Dynegy, Inc. -- Class A*..... 91,414 182,828 ---------- TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 551,118 ---------- MULTI-UTILITIES 34.7% Ameren Corp. ................ 7,670 186,688 CenterPoint Energy, Inc. .... 15,941 200,857 CMS Energy Corp. ............ 14,891 198,050 Consolidated Edison, Inc. ... 4,800 195,264 Dominion Resources, Inc. .... 5,790 197,381 DTE Energy Co. .............. 5,660 209,307 Integrys Energy Group, Inc. ..................... 5,570 192,722 NiSource, Inc. .............. 14,771 190,841 PG&E Corp. .................. 4,810 196,681 Public Service Enterprise Group, Inc. .............. 6,220 185,356 SCANA Corp. ................. 5,630 190,519 Sempra Energy................ 3,890 200,141 TECO Energy, Inc. ........... 14,091 202,065 Wisconsin Energy Corp. ...... 4,390 191,711 Xcel Energy, Inc. ........... 9,930 187,280 ---------- TOTAL MULTI-UTILITIES 2,924,863 ---------- WIRELESS TELECOMMUNICATION SERVICES 5.5% American Tower Corp. -- Class A*........................ 5,370 197,723 MetroPCS Communications, Inc.*..................... 19,911 124,046 Sprint Nextel Corp.*......... 48,492 143,536 ---------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 465,305 ---------- TOTAL COMMON STOCKS (Cost $8,939,783) 8,365,000 ---------- SHORT TERM INVESTMENTS 0.4% SSgA Government Money Market Fund...................... 32,048 32,048 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $32,048) 32,048 ---------- TOTAL INVESTMENTS 99.6%(A) (Cost $8,971,831) 8,397,048 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.4% 29,914 ---------- NET ASSETS--100.0% $8,426,962 - ----------------------------------------------------
* Non-Income Producing Security. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 62 STATEMENTS OF ASSETS AND LIABILITIES October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI RYDEX/SGI RYDEX/SGI S&P RYDEX/SGI S&P S&P MIDCAP S&P MIDCAP 500 PURE 500 PURE 400 PURE 400 PURE VALUE ETF GROWTH ETF VALUE ETF GROWTH ETF ------------- ------------- ----------- ------------ ASSETS Investments at Market Value*........... $ 30,084,624 $38,562,415 $22,979,471 $108,377,954 Cash................................... 6,865 1,577 7,344 67,190 Receivables: Investments Sold..................... -- -- -- 2,728,083 Fund Shares Sold..................... 2,121,008 -- -- -- Dividends............................ 17,042 15,360 17,905 17,205 ------------ ----------- ----------- ------------ TOTAL ASSETS...................... 32,229,539 38,579,352 23,004,720 111,190,432 ------------ ----------- ----------- ------------ LIABILITIES Payables: Investments Purchased................ 2,119,889 -- -- -- Fund Shares Repurchased.............. -- -- -- 2,728,403 Accrued Management Fees.............. 8,445 11,838 7,368 30,519 ------------ ----------- ----------- ------------ TOTAL LIABILITIES................. 2,128,334 11,838 7,368 2,758,922 ------------ ----------- ----------- ------------ NET ASSETS............................. $ 30,101,205 $38,567,514 $22,997,352 $108,431,510 ============ =========== =========== ============ NET ASSETS CONSIST OF: Paid-in Capital........................ $ 41,704,968 $45,631,087 $29,088,374 $110,172,190 Undistributed Net Investment Income.... -- 5,486 -- 15,638 Accumulated Net Realized Loss on Investment Securities................ (12,935,052) (8,095,554) (7,291,865) (4,576,534) Net Unrealized Appreciation on Investment Securities................ 1,331,289 1,026,495 1,200,843 2,820,216 ------------ ----------- ----------- ------------ NET ASSETS............................. $ 30,101,205 $38,567,514 $22,997,352 $108,431,510 ============ =========== =========== ============ Shares Outstanding (Unlimited Shares Authorized), No Par Value............ 1,402,570 1,250,255 950,418 2,050,019 ============ =========== =========== ============ Net Asset Value, Offering Price and Repurchase Price Per Share........... $ 21.46 $ 30.85 $ 24.20 $ 52.89 ============ =========== =========== ============ *Total Cost of Investments............. $ 28,753,335 $37,535,920 $21,778,628 $105,557,738 ============ =========== =========== ============
See Notes to Financial Statements. ANNUAL REPORT 63 STATEMENTS OF ASSETS AND LIABILITIES (continued) October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI RYDEX/SGI RYDEX/SGI S&P EQUAL S&P SMALLCAP S&P SMALLCAP RYDEX/SGI S&P EQUAL WEIGHT 600 PURE 600 PURE WEIGHT CONSUMER CONSUMER VALUE ETF GROWTH ETF DISCRETIONARY ETF STAPLES ETF ------------ ------------ ------------------- ----------- ASSETS Investments at Market Value*......... $108,250,150 $11,946,553 $11,473,143 $9,672,208 Cash................................. 55,907 -- 1,370 3,575 Receivables: Investments Sold................... 17,676,823 5,299,432 -- -- Dividends.......................... 42,432 2,908 4,909 13,083 ------------ ----------- ----------- ---------- TOTAL ASSETS.................... 126,025,312 17,248,893 11,479,422 9,688,866 ------------ ----------- ----------- ---------- LIABILITIES Payables: Fund Shares Repurchased............ 17,696,671 5,298,463 -- -- Accrued Management Fees............ 44,900 5,501 5,129 4,124 ------------ ----------- ----------- ---------- TOTAL LIABILITIES............... 17,741,571 5,303,964 5,129 4,124 ------------ ----------- ----------- ---------- NET ASSETS........................... $108,283,741 $11,944,929 $11,474,293 $9,684,742 ============ =========== =========== ========== NET ASSETS CONSIST OF: Paid-in Capital...................... $133,507,986 $14,371,416 $13,683,588 $9,999,408 Undistributed Net Investment Income.. 34,677 -- 1,257 19,818 Accumulated Net Realized Loss on Investment Securities.............. (14,988,841) (1,933,518) (3,537,240) (452,658) Net Unrealized Appreciation (Depreciation) on Investment Securities......................... (10,270,081) (492,969) 1,326,688 118,174 ------------ ----------- ----------- ---------- NET ASSETS........................... $108,283,741 $11,944,929 $11,474,293 $9,684,742 ============ =========== =========== ========== Shares Outstanding (Unlimited Shares Authorized), No Par Value.......... 3,800,040 350,004 350,000 200,000 ============ =========== =========== ========== Net Asset Value, Offering Price and Repurchase Price Per Share......... $ 28.50 $ 34.13 $ 32.78 $ 48.42 ============ =========== =========== ========== *Total Cost of Investments........... $118,520,231 $12,439,522 $10,146,455 $9,554,034 ============ =========== =========== ==========
See Notes to Financial Statements. 64 STATEMENTS OF ASSETS AND LIABILITIES (continued) October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI S&P RYDEX/SGI S&P RYDEX/SGI S&P RYDEX/SGI S&P EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT ENERGY ETF FINANCIALS ETF HEALTH CARE ETF INDUSTRIALS ETF ------------- -------------- --------------- --------------- ASSETS Investments at Market Value*........ $11,915,339 $13,989,005 $73,282,121 $17,885,402 Cash................................ 533 3,281 10,070 1,601 Receivables: Dividends......................... 11,148 9,030 52,688 10,912 ----------- ----------- ----------- ----------- TOTAL ASSETS................... 11,927,020 14,001,316 73,344,879 17,897,915 ----------- ----------- ----------- ----------- LIABILITIES Payables: Accrued Management Fees........... 5,258 6,345 36,816 7,937 ----------- ----------- ----------- ----------- TOTAL LIABILITIES.............. 5,258 6,345 36,816 7,937 ----------- ----------- ----------- ----------- NET ASSETS.......................... $11,921,762 $13,994,971 $73,308,063 $17,889,978 =========== =========== =========== =========== NET ASSETS CONSIST OF: Paid-in Capital..................... $14,051,599 $19,076,951 $79,805,104 $17,198,760 Undistributed Net Investment Income............................ 6,351 -- 25,509 3,576 Accumulated Net Realized Loss on Investment Securities............. (2,069,272) (6,004,468) (4,964,975) (1,366,303) Net Unrealized Appreciation (Depreciation) on Investment Securities........................ (66,916) 922,488 (1,557,575) 2,053,945 ----------- ----------- ----------- ----------- NET ASSETS.......................... $11,921,762 $13,994,971 $73,308,063 $17,889,978 =========== =========== =========== =========== Shares Outstanding (Unlimited Shares Authorized), No Par Value......... 250,005 650,000 1,450,000 450,000 =========== =========== =========== =========== Net Asset Value, Offering Price and Repurchase Price Per Share........ $ 47.69 $ 21.53 $ 50.56 $ 39.76 =========== =========== =========== =========== *Total Cost of Investments.......... $11,982,255 $13,066,517 $74,839,696 $15,831,457 =========== =========== =========== ===========
See Notes to Financial Statements. ANNUAL REPORT 65 STATEMENTS OF ASSETS AND LIABILITIES (concluded) October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI S&P RYDEX/SGI S&P RYDEX/SGI S&P EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT MATERIALS ETF TECHNOLOGY ETF UTILITIES ETF ------------- -------------- ------------- ASSETS Investments at Market Value*.................. $41,185,106 $53,974,798 $8,397,048 Cash.......................................... 13,581 3,071 10,715 Receivables: Dividends................................... 19,165 13,506 22,906 ----------- ----------- ---------- TOTAL ASSETS............................. 41,217,852 53,991,375 8,430,669 ----------- ----------- ---------- LIABILITIES Payables: Accrued Management Fees..................... 18,777 22,803 3,707 ----------- ----------- ---------- TOTAL LIABILITIES........................ 18,777 22,803 3,707 ----------- ----------- ---------- NET ASSETS.................................... $41,199,075 $53,968,572 $8,426,962 =========== =========== ========== NET ASSETS CONSIST OF: Paid-in Capital............................... $39,788,008 $56,629,002 $9,935,406 Undistributed Net Investment Income........... 9,291 -- 28,803 Accumulated Net Realized Loss on Investment Securities.................................. (1,935,902) (3,955,727) (962,464) Net Unrealized Appreciation (Depreciation) on Investment Securities....................... 3,337,678 1,295,297 (574,783) ----------- ----------- ---------- NET ASSETS.................................... $41,199,075 $53,968,572 $8,426,962 =========== =========== ========== Shares Outstanding (Unlimited Shares Authorized), No Par Value................... 900,000 1,350,000 200,000 =========== =========== ========== Net Asset Value, Offering Price and Repurchase Price Per Share............................. $ 45.78 $ 39.98 $ 42.13 =========== =========== ========== *Total Cost of Investments.................... $37,847,428 $52,679,501 $8,971,831 =========== =========== ==========
See Notes to Financial Statements. 66 STATEMENTS OF OPERATIONS For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI RYDEX/SGI RYDEX/SGI S&P RYDEX/SGI S&P S&P MIDCAP S&P MIDCAP 500 PURE 500 PURE 400 PURE 400 PURE VALUE ETF GROWTH ETF VALUE ETF GROWTH ETF ------------- ------------- ----------- ----------- INVESTMENT INCOME Dividends............................ $ 536,680 $ 302,828 $ 364,967 $ 180,310 ------------ ----------- ----------- ----------- EXPENSES Management Fee....................... 57,161 102,044 39,135 116,343 ------------ ----------- ----------- ----------- Net Investment Income.................. 479,519 200,784 325,832 63,967 ------------ ----------- ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments.......................... (10,062,565) (7,661,952) (6,866,454) (4,635,557) In-kind Redemptions.................. (343,394) 548,735 (250,574) 169,406 ------------ ----------- ----------- ----------- Net Realized Loss................. (10,405,959) (7,113,217) (7,117,028) (4,466,151) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities................ 13,980,811 15,522,201 8,073,464 11,908,189 ------------ ----------- ----------- ----------- Net Realized and Unrealized Gain on Investments.......................... 3,574,852 8,408,984 956,436 7,442,038 ------------ ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $ 4,054,371 $ 8,609,768 $ 1,282,268 $ 7,506,005 ============ =========== =========== ===========
See Notes to Financial Statements. ANNUAL REPORT 67 STATEMENTS OF OPERATIONS (continued) For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI RYDEX/SGI RYDEX/SGI S&P RYDEX/SGI S&P S&P SMALLCAP S&P SMALLCAP EQUAL WEIGHT EQUAL WEIGHT 600 PURE 600 PURE CONSUMER CONSUMER VALUE ETF GROWTH ETF DISCRETIONARY ETF STAPLES ETF ------------ ------------ ----------------- ------------- INVESTMENT INCOME Dividends, Net of Foreign Tax Withheld........................ $ 778,346 $ 48,517 $ 175,074 $ 278,345 ------------ ----------- ----------- ---------- EXPENSES Management Fee..................... 177,095 30,136 41,383 45,835 Other Fees......................... 247 -- -- -- ------------ ----------- ----------- ---------- Total Expenses.................. 177,342 30,136 41,383 45,835 ------------ ----------- ----------- ---------- Net Investment Income................ 601,004 18,381 133,691 232,510 ------------ ----------- ----------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments........................ (13,995,568) (2,079,964) (2,340,824) (289,729) In-kind Redemptions................ 16,440,705 1,098,510 224,856 26,986 ------------ ----------- ----------- ---------- Net Realized Gain (Loss)........ 2,445,137 (981,454) (2,115,968) (262,743) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities.............. (548,873) 2,147,377 4,599,724 1,526,281 ------------ ----------- ----------- ---------- Net Realized and Unrealized Gain on Investments........................ 1,896,264 1,165,923 2,483,756 1,263,538 ------------ ----------- ----------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..... $ 2,497,268 $ 1,184,304 $ 2,617,447 $1,496,048 ============ =========== =========== ========== Foreign Taxes Withheld............. $ 277 -- -- --
See Notes to Financial Statements. 68 STATEMENTS OF OPERATIONS (continued) For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI S&P RYDEX/SGI S&P RYDEX/SGI S&P RYDEX/SGI S&P EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT ENERGY ETF FINANCIALS ETF HEALTH CARE ETF INDUSTRIALS ETF ------------- -------------- --------------- --------------- INVESTMENT INCOME Dividends......................... $ 119,975 $ 271,363 $ 507,083 $ 265,324 ----------- ----------- ----------- ----------- EXPENSES Management Fee.................... 36,014 54,054 273,366 55,506 Other Fees........................ -- -- 461 -- ----------- ----------- ----------- ----------- Total Expenses................. 36,014 54,054 273,827 55,506 ----------- ----------- ----------- ----------- Net Investment Income............... 83,961 217,309 233,256 209,818 ----------- ----------- ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments....................... (2,133,239) (4,204,648) (4,384,442) (1,600,751) In-kind Redemptions............... 456,287 954,175 4,168,142 (320,638) ----------- ----------- ----------- ----------- Net Realized Loss.............. (1,676,952) (3,250,473) (216,300) (1,921,389) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities............. 3,463,565 3,985,344 12,475,194 4,801,448 ----------- ----------- ----------- ----------- Net Realized and Unrealized Gain on Investments....................... 1,786,613 734,871 12,258,894 2,880,059 ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.... $ 1,870,574 $ 952,180 $12,492,150 $ 3,089,877 =========== =========== =========== ===========
See Notes to Financial Statements. ANNUAL REPORT 69 STATEMENTS OF OPERATIONS (concluded) For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEX/SGI S&P RYDEX/SGI S&P RYDEX/SGI S&P EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT MATERIALS ETF TECHNOLOGY ETF UTILITIES ETF ------------- -------------- ------------- INVESTMENT INCOME Dividends................................... $ 363,352 $ 154,392 $ 330,302 ----------- ----------- ---------- EXPENSES Management Fee.............................. 95,155 96,732 32,005 ----------- ----------- ---------- Net Investment Income......................... 268,197 57,660 298,297 ----------- ----------- ---------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments................................. (1,868,758) (3,514,101) (887,060) In-kind Redemptions......................... 1,587,529 1,199,402 -- ----------- ----------- ---------- Net Realized Loss........................ (281,229) (2,314,699) (887,060) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities....................... 5,501,066 7,831,217 1,054,143 ----------- ----------- ---------- Net Realized and Unrealized Gain on Investments................................. 5,219,837 5,516,518 167,083 ----------- ----------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................. $ 5,488,034 $ 5,574,178 $ 465,380 =========== =========== ==========
See Notes to Financial Statements. 70 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
RYDEX/SGI S&P 500 PURE VALUE ETF RYDEX/SGI S&P 500 PURE GROWTH ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 479,519 $ 979,921 $ 200,784 $ 263,229 Net Realized Gain (Loss)........... (10,405,959) (3,999,686) (7,113,217) 105,919 Net Change in Unrealized Appreciation (Depreciation) on Investments..................... 13,980,811 (12,417,041) 15,522,201 (19,825,715) ------------ ------------ ----------- ------------ Net Increase (Decrease) in Net Assets Resulting From Operations...................... 4,054,371 (15,436,806) 8,609,768 (19,456,567) ------------ ------------ ----------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (515,568) (996,902) (214,179) (259,562) ------------ ------------ ----------- ------------ SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 11,067,164 9,326,454 8,335,525 15,193,116 Value of Shares Purchased through Dividend Reinvestments.......... 24,282 21,040 3,946 1,902 Value of Shares Redeemed........... (2,522,624) (14,555,071) (2,565,332) (34,421,140) ------------ ------------ ----------- ------------ Net Increase (Decrease) in Net Assets Resulting From Share Transactions.................... 8,568,822 (5,207,577) 5,774,139 (19,226,122) ------------ ------------ ----------- ------------ Increase (Decrease) in Net Assets........................ 12,107,625 (21,641,285) 14,169,728 (38,942,251) NET ASSETS--BEGINNING OF PERIOD...... 17,993,580 39,634,865 24,397,786 63,340,037 ------------ ------------ ----------- ------------ NET ASSETS--END OF PERIOD(1)......... $ 30,101,205 $ 17,993,580 $38,567,514 $ 24,397,786 ============ ============ =========== ============ (1) Including Undistributed Net Investment Income.................. $ -- $ 13,722 $ 5,486 $ 18,881 ============ ============ =========== ============ CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 550,000 350,000 350,000 400,000 Shares Purchased through Dividend Reinvestments................... 1,581 797 158 56 Shares Redeemed.................... (150,000) (500,000) (100,000) (1,000,000) Shares Outstanding, Beginning of Period.......................... 1,000,989 1,150,192 1,000,097 1,600,041 ------------ ------------ ----------- ------------ Shares Outstanding, End of Period.. 1,402,570 1,000,989 1,250,255 1,000,097 ============ ============ =========== ============
See Notes to Financial Statements. ANNUAL REPORT 71 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P MIDCAP RYDEX/SGI S&P MIDCAP 400 PURE VALUE ETF 400 PURE GROWTH ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 325,832 $ 394,995 $ 63,967 $ 8,569 Net Realized Loss.................. (7,117,028) (1,434,610) (4,466,151) (58,952) Net Change in Unrealized Appreciation (Depreciation) on Investments..................... 8,073,464 (6,410,678) 11,908,189 (10,136,135) ----------- ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting From Operations...................... 1,282,268 (7,450,293) 7,506,005 (10,186,518) ----------- ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (307,090) (365,468) (48,422) (14,295) Capital............................ -- (3,840) -- -- ----------- ------------ ------------ ------------ Decrease in Net Assets From Distributions to Shareholders... (307,090) (369,308) (48,422) (14,295) ----------- ------------ ------------ ------------ SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 13,278,363 2,929,138 95,440,614 31,994,754 Value of Shares Purchased through Dividend Reinvestments.......... 4,588 2,678 314 170 Value of Shares Redeemed........... (1,386,313) (6,444,307) (12,062,845) (25,112,473) ----------- ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting From Share Transactions.................... 11,896,638 (3,512,491) 83,378,083 6,882,451 ----------- ------------ ------------ ------------ Increase (Decrease) in Net Assets........................ 12,871,816 (11,332,092) 90,835,666 (3,318,362) NET ASSETS--BEGINNING OF PERIOD...... 10,125,536 21,457,628 17,595,844 20,914,206 ----------- ------------ ------------ ------------ NET ASSETS--END OF PERIOD(1)......... $22,997,352 $ 10,125,536 $108,431,510 $ 17,595,844 =========== ============ ============ ============ (1) Including Undistributed Net Investment Income.................. $ -- $ -- $ 15,638 $ 93 =========== ============ ============ ============ CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 550,000 100,000 1,900,000 600,000 Shares Purchased through Dividend Reinvestments................... 250 90 8 3 Shares Redeemed.................... (100,000) (200,000) (300,000) (500,000) Shares Outstanding, Beginning of Period.......................... 500,168 600,078 450,011 350,008 ----------- ------------ ------------ ------------ Shares Outstanding, End of Period.. 950,418 500,168 2,050,019 450,011 =========== ============ ============ ============
See Notes to Financial Statements. 72 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P SMALLCAP RYDEX/SGI S&P SMALLCAP 600 PURE VALUE ETF 600 PURE GROWTH ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 601,004 $ 639,744 $ 18,381 $ 27,966 Net Realized Gain (Loss)........... 2,445,137 (3,823,543) (981,454) 299,165 Net Change in Unrealized Appreciation (Depreciation) on Investments..................... (548,873) (7,000,618) 2,147,377 (3,549,666) ------------ ------------ ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations...................... 2,497,268 (10,184,417) 1,184,304 (3,222,535) ------------ ------------ ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (480,887) (581,573) (20,833) (27,774) ------------ ------------ ----------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 121,659,746 18,998,419 9,770,800 3,530,251 Value of Shares Purchased through Dividend Reinvestments.......... 14 577 -- 111 Value of Shares Redeemed........... (40,919,190) (5,132,560) (6,246,728) (4,251,773) ------------ ------------ ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Share Transactions.................... 80,740,570 13,866,436 3,524,072 (721,411) ------------ ------------ ----------- ----------- Increase (Decrease) in Net Assets........................ 82,756,951 3,100,446 4,687,543 (3,971,720) NET ASSETS--BEGINNING OF PERIOD...... 25,526,790 22,426,344 7,257,386 11,229,106 ------------ ------------ ----------- ----------- NET ASSETS--END OF PERIOD(1)......... $108,283,741 $ 25,526,790 $11,944,929 $ 7,257,386 ============ ============ =========== =========== (1) Including Undistributed Net Investment Income.................. $ 34,677 $ 12,181 $ -- $ 192 ============ ============ =========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 4,150,000 650,000 300,000 100,000 Shares Purchased through Dividend Reinvestments................... 1 18 -- 3 Shares Redeemed.................... (1,450,000) (150,000) (200,000) (100,000) Shares Outstanding, Beginning of Period.......................... 1,100,039 600,021 250,004 250,001 ------------ ------------ ----------- ----------- Shares Outstanding, End of Period.. 3,800,040 1,100,039 350,004 250,004 ============ ============ =========== ===========
See Notes to Financial Statements. ANNUAL REPORT 73 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT RYDEX/SGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF CONSUMER STAPLES ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 133,691 $ 183,955 $ 232,510 $ 174,606 Net Realized Gain (Loss)........... (2,115,968) (3,645,142) (262,743) 41,473 Net Change in Unrealized Appreciation (Depreciation) on Investments..................... 4,599,724 (2,318,744) 1,526,281 (2,115,793) ----------- ------------ ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations...................... 2,617,447 (5,779,931) 1,496,048 (1,899,714) ----------- ------------ ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (134,899) (191,461) (224,373) (170,546) ----------- ------------ ----------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 12,583,909 77,181,099 -- 6,977,860 Value of Shares Redeemed........... (7,314,430) (96,415,372) (1,954,772) (2,441,867) ----------- ------------ ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Share Transactions.................... 5,269,479 (19,234,273) (1,954,772) 4,535,993 ----------- ------------ ----------- ----------- Increase (Decrease) in Net Assets........................ 7,752,027 (25,205,665) (683,097) 2,465,733 NET ASSETS--BEGINNING OF PERIOD...... 3,722,266 28,927,931 10,367,839 7,902,106 ----------- ------------ ----------- ----------- NET ASSETS--END OF PERIOD(1)......... $11,474,293 $ 3,722,266 $ 9,684,742 $10,367,839 =========== ============ =========== =========== (1) Including Undistributed Net Investment Income.................. $ 1,257 $ 2,465 $ 19,818 $ 11,681 =========== ============ =========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 600,000 2,050,000 -- 150,000 Shares Redeemed.................... (400,000) (2,550,000) (50,000) (50,000) Shares Outstanding, Beginning of Period.......................... 150,000 650,000 250,000 150,000 ----------- ------------ ----------- ----------- Shares Outstanding, End of Period.. 350,000 150,000 200,000 250,000 =========== ============ =========== ===========
See Notes to Financial Statements. 74 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT RYDEX/SGI S&P EQUAL WEIGHT ENERGY ETF FINANCIALS ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 83,961 $ 64,476 $ 217,309 $ 188,717 Net Realized Gain (Loss)........... (1,676,952) 1,935,459 (3,250,473) (2,058,581) Net Change in Unrealized Appreciation (Depreciation) on Investments..................... 3,463,565 (6,142,032) 3,985,344 (2,732,751) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations...................... 1,870,574 (4,142,097) 952,180 (4,602,615) ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (78,547) (63,539) (243,410) (161,215) Net Realized Gains................. -- (269,337) -- -- ----------- ----------- ----------- ----------- Decrease in Net Assets From Distributions to Shareholders... (78,547) (332,876) (243,410) (161,215) ----------- ----------- ----------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 6,057,007 6,873,049 6,405,261 8,469,375 Value of Shares Purchased through Dividend Reinvestments.......... -- 343 -- -- Value of Shares Redeemed........... (1,884,823) (6,562,435) (3,824,425) -- ----------- ----------- ----------- ----------- Net Increase in Net Assets Resulting From Share Transactions.................... 4,172,184 310,957 2,580,836 8,469,375 ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets........................ 5,964,211 (4,164,016) 3,289,606 3,705,545 NET ASSETS--BEGINNING OF PERIOD...... 5,957,551 10,121,567 10,705,365 6,999,820 ----------- ----------- ----------- ----------- NET ASSETS--END OF PERIOD(1)......... $11,921,762 $ 5,957,551 $13,994,971 $10,705,365 =========== =========== =========== =========== (1) Including Undistributed Net Investment Income.................. $ 6,351 $ 937 $ -- $ -- =========== =========== =========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 150,000 100,000 350,000 350,000 Shares Purchased through Dividend Reinvestments................... -- 5 -- -- Shares Redeemed.................... (50,000) (100,000) (200,000) -- Shares Outstanding, Beginning of Period.......................... 150,005 150,000 500,000 150,000 ----------- ----------- ----------- ----------- Shares Outstanding, End of Period.. 250,005 150,005 650,000 500,000 =========== =========== =========== ===========
See Notes to Financial Statements. ANNUAL REPORT 75 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT RYDEX/SGI S&P EQUAL WEIGHT HEALTH CARE ETF INDUSTRIALS ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 233,256 $ 103,107 $ 209,818 $ 108,811 Net Realized Gain (Loss)........... (216,300) 264,131 (1,921,389) 1,041,342 Net Change in Unrealized Appreciation (Depreciation) on Investments..................... 12,475,194 (13,885,432) 4,801,448 (4,023,914) ------------ ------------ ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations...................... 12,492,150 (13,518,194) 3,089,877 (2,873,761) ------------ ------------ ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (219,171) (94,309) (204,603) (106,813) Net Realized Gains................. -- -- -- (266,443) ------------ ------------ ----------- ----------- Decrease in Net Assets From Distributions to Shareholders... (219,171) (94,309) (204,603) (373,256) ------------ ------------ ----------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 52,467,908 61,205,232 10,670,318 7,034,803 Value of Shares Redeemed........... (39,969,426) (16,438,715) (2,811,423) (5,547,224) ------------ ------------ ----------- ----------- Net Increase in Net Assets Resulting From Share Transactions.................... 12,498,482 44,766,517 7,858,895 1,487,579 ------------ ------------ ----------- ----------- Increase (Decrease) in Net Assets........................ 24,771,461 31,154,014 10,744,169 (1,759,438) NET ASSETS--BEGINNING OF PERIOD...... 48,536,602 17,382,588 7,145,809 8,905,247 ------------ ------------ ----------- ----------- NET ASSETS--END OF PERIOD(1)......... $ 73,308,063 $ 48,536,602 $17,889,978 $ 7,145,809 ============ ============ =========== =========== (1) Including Undistributed Net Investment Income.................. $ 25,509 $ 10,963 $ 3,576 $ 1,505 ============ ============ =========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 1,150,000 1,150,000 350,000 150,000 Shares Redeemed.................... (850,000) (300,000) (100,000) (100,000) Shares Outstanding, Beginning of Period.......................... 1,150,000 300,000 200,000 150,000 ------------ ------------ ----------- ----------- Shares Outstanding, End of Period.. 1,450,000 1,150,000 450,000 200,000 ============ ============ =========== ===========
See Notes to Financial Statements. 76 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT RYDEX/SGI S&P EQUAL WEIGHT MATERIALS ETF TECHNOLOGY ETF ---------------------------------- ---------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- ---------------- ---------------- OPERATIONS Net Investment Income.............. $ 268,197 $ 156,833 $ 57,660 $ 26,296 Net Realized Gain (Loss)........... (281,229) 60,553 (2,314,699) (1,334,303) Net Change in Unrealized Appreciation (Depreciation) on Investments..................... 5,501,066 (2,701,829) 7,831,217 (7,030,476) ----------- ----------- ----------- ------------ Net Increase (Decrease) in Net Assets Resulting From Operations...................... 5,488,034 (2,484,443) 5,574,178 (8,338,483) ----------- ----------- ----------- ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income.............. (264,238) (159,896) (68,005) (27,611) ----------- ----------- ----------- ------------ SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased..... 35,570,213 4,429,500 46,698,982 15,426,927 Value of Shares Redeemed........... (4,749,941) (5,543,627) (5,731,696) (18,877,730) ----------- ----------- ----------- ------------ Net Increase (Decrease) in Net Assets Resulting From Share Transactions.................... 30,820,272 (1,114,127) 40,967,286 (3,450,803) ----------- ----------- ----------- ------------ Increase (Decrease) in Net Assets........................ 36,044,068 (3,758,466) 46,473,459 (11,816,897) NET ASSETS--BEGINNING OF PERIOD...... 5,155,007 8,913,473 7,495,113 19,312,010 ----------- ----------- ----------- ------------ NET ASSETS--END OF PERIOD(1)......... $41,199,075 $ 5,155,007 $53,968,572 $ 7,495,113 =========== =========== =========== ============ (1) Including Undistributed Net Investment Income.................. $ 9,291 $ 5,332 $ -- $ -- =========== =========== =========== ============ CHANGES IN SHARES OUTSTANDING: Shares Purchased................... 850,000 100,000 1,250,000 350,000 Shares Redeemed.................... (100,000) (100,000) (150,000) (450,000) Shares Outstanding, Beginning of Period.......................... 150,000 150,000 250,000 350,000 ----------- ----------- ----------- ------------ Shares Outstanding, End of Period.. 900,000 150,000 1,350,000 250,000 =========== =========== =========== ============
See Notes to Financial Statements. ANNUAL REPORT 77 STATEMENTS OF CHANGES IN NET ASSETS (concluded) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT UTILITIES ETF ----------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 ---------------- ---------------- OPERATIONS Net Investment Income................................ $ 298,297 $ 186,347 Net Realized Loss.................................... (887,060) (426,683) Net Change in Unrealized Appreciation (Depreciation) on Investments.................................... 1,054,143 (2,110,863) ---------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations........................................ 465,380 (2,351,199) ---------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income................................ (287,015) (182,405) ---------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased....................... 4,130,846 2,499,606 Value of Shares Redeemed............................. -- (2,076,737) ---------- ----------- Net Increase in Net Assets Resulting From Share Transactions...................................... 4,130,846 422,869 ---------- ----------- Increase (Decrease) in Net Assets................. 4,309,211 (2,110,735) NET ASSETS--BEGINNING OF PERIOD........................ 4,117,751 6,228,486 ---------- ----------- NET ASSETS--END OF PERIOD(1)........................... $8,426,962 $ 4,117,751 ========== =========== (1) Including Undistributed Net Investment Income...... $ 28,803 $ 17,521 ========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased..................................... 100,000 50,000 Shares Redeemed...................................... -- (50,000) Shares Outstanding, Beginning of Period.............. 100,000 100,000 ---------- ----------- Shares Outstanding, End of Period.................... 200,000 100,000 ========== ===========
See Notes to Financial Statements. 78 FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
RYDEX/SGI S&P 500 PURE VALUE ETF ----------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006* ---------------- ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 17.98 $ 34.46 $ 32.66 $ 29.87 ------- ------- ------- ------- Net Investment Income**............. 0.49 1.00 0.75 0.49 Net Realized and Unrealized Gain (Loss) on Investments............. 3.53 (16.44) 1.80 2.58 ------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... 4.02 (15.44) 2.55 3.07 ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.54) (1.04) (0.75) (0.28) ------- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 21.46 $ 17.98 $ 34.46 $ 32.66 ======= ======= ======= ======= TOTAL RETURN***..................... 23.73% (45.76)% 7.79% 10.27% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $30,101 $17,994 $39,635 $21,232 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.35% 0.35% 0.35% 0.35%**** Net Investment Income............... 2.92% 3.63% 2.15% 2.37%**** Portfolio Turnover Rate+............ 45% 53% 26% 4%
* The Fund commenced operations on March 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 79 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P 500 PURE GROWTH ETF ----------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006* ---------------- ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 24.40 $ 39.59 $ 35.30 $ 34.42 ------- ------- ------- ------- Net Investment Income**............. 0.18 0.20 0.25 0.11 Net Realized and Unrealized Gain (Loss) on Investments............. 6.46 (15.19) 4.26 0.84 ------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... 6.64 (14.99) 4.51 0.95 ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.19) (0.20) (0.22) (0.07) ------- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 30.85 $ 24.40 $ 39.59 $ 35.30 ======= ======= ======= ======= TOTAL RETURN***..................... 27.41% (38.00)% 12.79% 2.77% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $38,568 $24,398 $63,340 $17,649 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.35% 0.35% 0.35% 0.35%**** Net Investment Income............... 0.69% 0.57% 0.66% 0.48%**** Portfolio Turnover Rate+............ 27% 30% 24% 7%
* The Fund commenced operations on March 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 80 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P MIDCAP 400 PURE VALUE ETF ----------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006* ---------------- ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 20.24 $ 35.76 $ 33.27 $ 31.53 ------- ------- ------- ------- Net Investment Income**............. 0.59 0.87 0.82 0.44 Net Realized and Unrealized Gain (Loss) on Investments............. 3.92 (15.54) 2.48 1.60 ------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... 4.51 (14.67) 3.30 2.04 ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.55) (0.84) (0.81) (0.30) ------- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 24.20 $ 20.24 $ 35.76 $ 33.27 ======= ======= ======= ======= TOTAL RETURN***..................... 23.32% (41.75)% 9.94% 6.48% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $22,997 $10,126 $21,458 $14,973 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.35% 0.35% 0.35% 0.35%**** Net Investment Income............... 2.90% 2.87% 2.28% 2.07%**** Portfolio Turnover Rate+............ 57% 64% 46% 4%
* The Fund commenced operations on March 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 81 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P MIDCAP 400 PURE GROWTH ETF ----------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006* ---------------- ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 39.10 $ 59.75 $ 50.10 $ 52.62 -------- ------- ------- ------- Net Investment Income**............. 0.09 0.02 0.33 0.02 Net Realized and Unrealized Gain (Loss) on Investments............. 13.79 (20.63) 9.73 (2.53) -------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... 13.88 (20.61) 10.06 (2.51) -------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.09) (0.04) (0.27) (0.01) Net Realized Gains.................. -- -- (0.14) -- -------- ------- ------- ------- Total Distributions................. (0.09) (0.04) (0.41) (0.01) -------- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 52.89 $ 39.10 $ 59.75 $ 50.10 ======== ======= ======= ======= TOTAL RETURN***..................... 35.59% (34.52)% 20.17% (4.76)% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $108,432 $17,596 $20,914 $22,547 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.35% 0.35% 0.35% 0.35%**** Net Investment Income............... 0.19% 0.04% 0.60% 0.07%**** Portfolio Turnover Rate+............ 29% 52% 53% 14%
* The Fund commenced operations on March 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 82 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P SMALLCAP 600 PURE VALUE ETF ----------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006* ---------------- ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 23.21 $ 37.38 $ 40.13 $38.45 -------- ------- ------- ------ Net Investment Income**............. 0.32 0.79 0.74 0.37 Net Realized and Unrealized Gain (Loss) on Investments............. 5.29 (14.26) (2.85) 1.62 -------- ------- ------- ------ TOTAL FROM INVESTMENT OPERATIONS.... 5.61 (13.47) (2.11) 1.99 -------- ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.32) (0.70) (0.62) (0.31) Capital............................. -- -- (0.02) -- -------- ------- ------- ------ Total Distributions................. (0.32) (0.70) (0.64) (0.31) -------- ------- ------- ------ NET ASSET VALUE AT END OF PERIOD.... $ 28.50 $ 23.21 $ 37.38 $40.13 ======== ======= ======= ====== TOTAL RETURN***..................... 25.00% (36.48)% (5.38)% 5.19% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $108,284 $25,527 $22,426 $6,019 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.35% 0.35% 0.35% 0.35%**** Net Investment Income............... 1.18% 2.57% 1.78% 1.46%**** Portfolio Turnover Rate+............ 43% 50% 37% 7%
* The Fund commenced operations on March 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 83 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P SMALLCAP 600 PURE GROWTH ETF ----------------------------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006* ---------------- ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 29.03 $ 44.92 $ 39.10 $39.31 ------- ------- ------- ------ Net Investment Income (Loss)**...... 0.06 0.17 -- (0.01) Net Realized and Unrealized Gain (Loss) on Investments............. 5.13 (15.87) 5.84 (0.20) ------- ------- ------- ------ TOTAL FROM INVESTMENT OPERATIONS.... 5.19 (15.70) 5.84 (0.21) ------- ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.09) (0.19) (0.02) -- ------- ------- ------- ------ NET ASSET VALUE AT END OF PERIOD.... $ 34.13 $ 29.03 $ 44.92 $39.10 ======= ======= ======= ====== TOTAL RETURN***..................... 17.93% (35.05)% 14.93% (0.55)% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $11,945 $ 7,257 $11,229 $7,820 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.35% 0.35% 0.35% 0.35%**** Net Investment Income (Loss)........ 0.21% 0.44% 0.00% (0.04)%**** Portfolio Turnover Rate+............ 46% 63% 51% 14%
* The Fund commenced operations on March 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 84 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 24.82 $ 44.50 $ 44.98 ------- ------- ------- Net Investment Income**....................... 0.40 0.53 0.32 Net Realized and Unrealized Gain (Loss) on Investments................................. 7.93 (19.59) (0.49) ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.............. 8.33 (19.06) (0.17) ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (0.37) (0.62) (0.31) ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.............. $ 32.78 $ 24.82 $ 44.50 ======= ======= ======= TOTAL RETURN***............................... 34.20% (43.27)% (0.40)% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $11,474 $ 3,722 $28,928 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 1.61% 1.44% 0.67%**** Portfolio Turnover Rate+...................... 42% 29% 28%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 85 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT CONSUMER STAPLES ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $41.47 $ 52.68 $48.16 ------ ------- ------ Net Investment Income**....................... 1.04 0.88 1.16 Net Realized and Unrealized Gain (Loss) on Investments................................. 6.91 (11.22) 4.32 ------ ------- ------ TOTAL FROM INVESTMENT OPERATIONS.............. 7.95 (10.34) 5.48 ------ ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (1.00) (0.87) (0.96) ------ ------- ------ NET ASSET VALUE AT END OF PERIOD.............. $48.42 $ 41.47 $52.68 ====== ======= ====== TOTAL RETURN***............................... 19.60% (19.87)% 11.45% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $9,685 $10,368 $7,902 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 2.52% 1.78% 2.29%**** Portfolio Turnover Rate+...................... 25% 25% 19%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 86 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT ENERGY ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 39.72 $ 67.48 $ 48.35 ------- ------- ------- Net Investment Income**....................... 0.46 0.33 0.27 Net Realized and Unrealized Gain (Loss) on Investments................................. 7.93 (25.94) 19.14 ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.............. 8.39 (25.61) 19.41 ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (0.42) (0.35) (0.28) Net Realized Gains............................ -- (1.80) -- ------- ------- ------- Total Distributions........................... (0.42) (2.15) (0.28) ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.............. $ 47.69 $ 39.72 $ 67.48 ======= ======= ======= TOTAL RETURN***............................... 21.39% (39.28)% 40.28% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $11,922 $ 5,958 $10,122 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 1.16% 0.50% 0.47%**** Portfolio Turnover Rate+...................... 33% 38% 34%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 87 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT FINANCIALS ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 21.41 $ 46.67 $48.57 ------- ------- ------ Net Investment Income**....................... 0.36 1.02 0.92 Net Realized and Unrealized Gain (Loss) on Investments................................. 0.18 (25.40) (1.95) ------- ------- ------ TOTAL FROM INVESTMENT OPERATIONS.............. 0.54 (24.38) (1.03) ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (0.42) (0.88) (0.87) ------- ------- ------ NET ASSET VALUE AT END OF PERIOD.............. $ 21.53 $ 21.41 $46.67 ======= ======= ====== TOTAL RETURN***............................... 3.15% (52.88)% (2.23)% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $13,995 $10,705 $7,000 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 2.00% 3.09% 1.84%**** Portfolio Turnover Rate+...................... 49% 51% 31%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 88 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT HEALTH CARE ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 42.21 $ 57.94 $ 49.46 ------- ------- ------- Net Investment Income**....................... 0.19 0.14 0.11 Net Realized and Unrealized Gain (Loss) on Investments................................. 8.35 (15.74) 8.48 ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.............. 8.54 (15.60) 8.59 ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (0.19) (0.13) (0.11) ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.............. $ 50.56 $ 42.21 $ 57.94 ======= ======= ======= TOTAL RETURN***............................... 20.31% (26.98)% 17.37% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $73,308 $48,537 $17,383 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 0.42% 0.26% 0.20%**** Portfolio Turnover Rate+...................... 38% 26% 55%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 89 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT INDUSTRIALS ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 35.73 $ 59.37 $49.15 ------- ------- ------ Net Investment Income**....................... 0.67 0.61 0.56 Net Realized and Unrealized Gain (Loss) on Investments................................. 4.12 (21.82) 10.21 ------- ------- ------ TOTAL FROM INVESTMENT OPERATIONS.............. 4.79 (21.21) 10.77 ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (0.76) (0.65) (0.55) Net Realized Gains............................ -- (1.78) -- ------- ------- ------ Total Distributions........................... (0.76) (2.43) (0.55) ------- ------- ------ NET ASSET VALUE AT END OF PERIOD.............. $ 39.76 $ 35.73 $59.37 ======= ======= ====== TOTAL RETURN***............................... 13.84% (37.12)% 22.00% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $17,890 $ 7,146 $8,905 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 1.88% 1.17% 1.02%**** Portfolio Turnover Rate+...................... 35% 30% 36%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 90 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT MATERIALS ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 34.37 $ 59.42 $48.43 ------- ------- ------ Net Investment Income**....................... 0.60 1.40 0.85 Net Realized and Unrealized Gain (Loss) on Investments................................. 11.49 (25.11) 10.74 ------- ------- ------ TOTAL FROM INVESTMENT OPERATIONS.............. 12.09 (23.71) 11.59 ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (0.68) (1.34) (0.60) ------- ------- ------ NET ASSET VALUE AT END OF PERIOD.............. $ 45.78 $ 34.37 $59.42 ======= ======= ====== TOTAL RETURN***............................... 35.82% (40.67)% 24.02% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $41,199 $ 5,155 $8,913 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 1.41% 2.69% 1.53%**** Portfolio Turnover Rate+...................... 57% 34% 31%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 91 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT TECHNOLOGY ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $ 29.98 $ 55.18 $ 47.80 ------- ------- ------- Net Investment Income (Loss)**................ 0.11 0.06 (0.05) Net Realized and Unrealized Gain (Loss) on Investments................................. 10.03 (25.19) 7.43 ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.............. 10.14 (25.13) 7.38 ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (0.14) (0.07) -- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.............. $ 39.98 $ 29.98 $ 55.18 ======= ======= ======= TOTAL RETURN***............................... 33.94% (45.58)% 15.44% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $53,969 $ 7,495 $19,312 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income (Loss).................. 0.30% 0.14% (0.10)%**** Portfolio Turnover Rate+...................... 30% 36% 60%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. 92 FINANCIAL HIGHLIGHTS (concluded) - --------------------------------------------------------------------------------
RYDEX/SGI S&P EQUAL WEIGHT UTILITIES ETF ----------------------------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007* ---------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD........ $41.18 $ 62.28 $54.91 ------ ------- ------ Net Investment Income**....................... 1.89 1.81 1.55 Net Realized and Unrealized Gain (Loss) on Investments................................. 0.88 (21.09) 7.38 ------ ------- ------ TOTAL FROM INVESTMENT OPERATIONS.............. 2.77 (19.28) 8.93 ------ ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income......................... (1.82) (1.82) (1.56) ------ ------- ------ NET ASSET VALUE AT END OF PERIOD.............. $42.13 $ 41.18 $62.28 ====== ======= ====== TOTAL RETURN***............................... 6.97% (31.63)% 16.41% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted)... $8,427 $ 4,118 $6,228 RATIO TO AVERAGE NET ASSETS OF: Expenses...................................... 0.50% 0.50% 0.50%**** Net Investment Income......................... 4.64% 3.30% 2.59%**** Portfolio Turnover Rate+...................... 26% 25% 20%
* The Fund commenced operations on November 1, 2006. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. See Notes to Financial Statements. ANNUAL REPORT 93 NOTES TO FINANCIAL STATEMENTS October 31, 2009 - -------------------------------------------------------------------------------- 1. ORGANIZATION Rydex ETF Trust (the "Trust") is an open-end, management investment company registered under the Investment Company Act of 1940 (the "1940 Act"). The Trust was organized as a Delaware statutory trust on November 22, 2002. As of October 31, 2009, the Trust offers thirty one portfolios, each of which represents a separate series of beneficial interest in the Trust (each a "Fund" and collectively, the "Funds"). The financial statements herein relate to the following Funds: Rydex/SGI S&P 500 Pure Value ETF, Rydex/SGI S&P 500 Pure Growth ETF, Rydex/SGI S&P MidCap 400 Pure Value ETF, Rydex/SGI S&P MidCap 400 Pure Growth ETF, Rydex/SGI S&P SmallCap 600 Pure Value ETF, Rydex/SGI S&P SmallCap 600 Pure Growth ETF, Rydex/SGI S&P Equal Weight Consumer Discretionary ETF, Rydex/SGI S&P Equal Weight Consumer Staples ETF, Rydex/SGI S&P Equal Weight Energy ETF, Rydex/SGI S&P Equal Weight Financials ETF, Rydex/SGI S&P Equal Weight Health Care ETF, Rydex/SGI S&P Equal Weight Industrials ETF, Rydex/SGI S&P Equal Weight Materials ETF, Rydex/SGI S&P Equal Weight Technology ETF and Rydex/SGI S&P Equal Weight Utilities ETF. Rydex/SGI S&P 500 Pure Value ETF, Rydex/SGI S&P 500 Pure Growth ETF, Rydex/SGI S&P MidCap 400 Pure Value ETF, Rydex/SGI S&P MidCap 400 Pure Growth ETF, Rydex/SGI S&P SmallCap 600 Pure Value ETF and Rydex/SGI S&P SmallCap 600 Pure Growth ETF commenced operations on March 1, 2006. Rydex/SGI S&P Equal Weight Consumer Discretionary ETF, Rydex/SGI S&P Equal Weight Consumer Staples ETF, Rydex/SGI S&P Equal Weight Energy ETF, Rydex/SGI S&P Equal Weight Financials ETF, Rydex/SGI S&P Equal Weight Health Care ETF, Rydex/SGI S&P Equal Weight Industrials ETF, Rydex/SGI S&P Equal Weight Materials ETF, Rydex/SGI S&P Equal Weight Technology ETF and Rydex/SGI S&P Equal Weight Utilities ETF commenced operations on November 1, 2006. The Funds' investment objective is to replicate as closely as possible, before fees and expenses, the daily performance of an index representing publicly traded equity securities (the "Underlying Index"). Rydex/SGI S&P 500 Pure Value ETF tracks the S&P 500/Citigroup Pure Value Index, the Rydex/SGI S&P 500 Pure Growth ETF tracks the S&P 500/Citigroup Pure Growth Index, the Rydex/SGI S&P MidCap 400 Pure Value ETF tracks the S&P MidCap 400/Citigroup Pure Value Index, the Rydex/SGI S&P MidCap 400 Pure Growth ETF tracks the S&P MidCap 400/Citigroup Pure Growth Index, the Rydex/SGI S&P SmallCap 600 Pure Value ETF tracks the S&P SmallCap 600/Citigroup Pure Value Index, the Rydex/SGI S&P SmallCap 600 Pure Growth ETF tracks the S&P SmallCap 600/Citigroup Pure Growth Index, Rydex/SGI S&P Equal Weight Consumer Discretionary ETF tracks the S&P Equal Weight Index Consumer Discretionary, the Rydex/SGI S&P Equal Weight Consumer Staples ETF tracks the S&P Equal Weight Index Consumer Staples, the Rydex/SGI S&P Equal Weight Energy ETF tracks the S&P Equal Weight Index Energy, the Rydex/SGI S&P Equal Weight Financials ETF tracks the S&P Equal Weight Index Financials, the Rydex/SGI S&P Equal Weight Health Care ETF tracks the S&P Equal Weight Index Health Care, the Rydex/SGI S&P Equal Weight Industrials ETF tracks the S&P Equal Weight Index Industrials, the Rydex/SGI S&P Equal Weight Materials ETF tracks the S&P Equal Weight Index Materials, the Rydex/SGI S&P Equal Weight Technology ETF tracks the S&P Equal Weight Index Information Technology and the Rydex/SGI S&P Equal Weight Utilities ETF tracks the S&P Equal Weight Index Telecommunication Services & Utilities. The Funds seek to achieve their objective by investing in common stocks that comprise the Underlying Index. The Funds use a "replication" strategy to track the Underlying Index. "Replication" refers to investing in substantially all of the securities in the Underlying Index in approximately the same proportions as in the Underlying Index. The Funds operate as index funds and are not actively managed. Adverse performance of a security in the Funds' portfolio will ordinarily not result in the elimination of the security from the Funds' portfolio. The Funds issue and redeem shares on a continuous basis, at net asset value, only in aggregations of 50,000 shares called a "Creation Unit". Creation Units are issued and redeemed principally in-kind for securities included in the Underlying Index. 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities and disclosures at the date of the financial statements and accompanying notes and the reported amounts of increases and decreases in net assets from operations during the reporting period. Management believes that the estimates utilized in preparing the Funds' financial statements are reasonable and prudent; however, actual results could differ from these estimates. A. SECURITY VALUATION Securities listed on a domestic securities exchange are valued based on the last sale price as of the close of regular trading hours on the New York Stock Exchange or, in the absence of recorded sales, are valued at the most recent bid price. Securities for which the primary 94 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- market is the National Association of Securities Dealers Automated Quotations National Market System ("NASDAQ") are valued at the NASDAQ Official Closing Price. The Funds invest in money market mutual funds, which are valued at their NAV. Securities for which market quotations are not readily available, including investments that are subject to limitations as to their sale, are valued at fair value as determined in good faith by Rydex Investments, an affiliated entity, which acts as the Funds' investment advisor, in accordance with procedures adopted by the Board of Trustees. In determining fair value, consideration is given to market conditions, relative benchmarks and other financial data. B. SECURITY TRANSACTIONS AND INCOME RECOGNITION Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from portfolio fund transactions are calculated on the identified cost basis. Dividend income is recorded on the ex- dividend date, net of foreign tax withholdings. Interest income is recorded on the accrual basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer. C. REPURCHASE AGREEMENTS The Funds may enter into repurchase agreements with financial institutions. In a repurchase agreement, a Fund buys a security and the seller simultaneously agrees to repurchase the security on a specified future date at an agreed-upon price. The repurchase price reflects an agreed-upon interest rate during the time the Fund's money is invested in the security. Because the security constitutes collateral for the repurchase obligation, a repurchase agreement can be considered a collateralized loan. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large, well-capitalized and well-established financial institutions whose condition will be continually monitored by Rydex Investments. In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, the Funds will seek to liquidate such collateral. However, the exercising of the Funds' right to liquidate such collateral could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, the Funds could suffer a loss. It is the current policy of the Funds not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any other illiquid assets held by the Funds, amounts to more than 15% of the Funds net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of Rydex Investments, liquidity or other considerations so warrant. For the year ended October 31, 2009, the Funds had not engaged in repurchase agreement transactions. D. FEDERAL INCOME TAXES The Funds' policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of the taxable income and capital gains, if any, to the shareholders within the allowable time limits. Therefore, no provision for Federal income taxes is required. Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken on federal income tax returns for all open tax years (fiscal years 2006 -- 2009), and has concluded that no provision for income tax was required in the Funds' financial statements. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for tax equalization, in-kind redemptions, income reclassifications from real estate investment trusts ("REITs") and losses deferred due to wash sales. In order to present paid-in-capital, undistributed net investment income (loss) and accumulated net realized gain (loss) on investments on the statement of assets and liabilities that more closely represent their tax character, certain adjustments have been made to these accounts. These adjustments have no effect on net assets or net asset value per share. The most significant of these adjustments are for tax equalization and net capital gains resulting from in- kind redemptions which, because they are non-taxable to the Funds, and therefore are not distributed to existing Fund shareholders, are reclassified to paid-in- capital. The in-kind net capital gains for the year ANNUAL REPORT 95 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- ended October 31, 2009 are disclosed in each Fund's Statement of Operations. For the year ended October 31, 2009, the adjustments for the Funds were as follows:
UNDISTRIBUTED ACCUMULATED PAID-IN NET INVESTMENT NET REALIZED CAPITAL INCOME (LOSS) GAIN (LOSS) ----------- -------------- ------------ Rydex/SGI S&P 500 Pure Value ETF.................. $ (462,119) $ 22,327 $ 439,792 Rydex/SGI S&P 500 Pure Growth ETF................. 211,583 -- (211,583) Rydex/SGI S&P MidCap 400 Pure Value ETF........... (1,025,675) (18,742) 1,044,417 Rydex/SGI S&P MidCap 400 Pure Growth ETF.......... (937,956) -- 937,956 Rydex/SGI S&P SmallCap 600 Pure Value ETF......... 12,930,482 (97,621) (12,832,861) Rydex/SGI S&P SmallCap 600 Pure Growth ETF........ 668,493 2,260 (670,753) Rydex/SGI S&P Equal Weight Consumer Discretionary ETF............................................. 128,952 -- (128,952) Rydex/SGI S&P Equal Weight Consumer Staples ETF... (41,913) -- 41,913 Rydex/SGI S&P Equal Weight Energy ETF............. 346,186 -- (346,186) Rydex/SGI S&P Equal Weight Financials ETF......... 666,591 26,101 (692,692) Rydex/SGI S&P Equal Weight Health Care ETF........ 3,732,594 461 (3,733,055) Rydex/SGI S&P Equal Weight Industrials ETF........ (586,646) (3,144) 589,790 Rydex/SGI S&P Equal Weight Materials ETF.......... 1,394,085 -- (1,394,085) Rydex/SGI S&P Equal Weight Technology ETF......... 919,547 10,345 (929,892) Rydex/SGI S&P Equal Weight Utilities ETF.......... -- -- --
Differences between the book basis and tax basis of net unrealized appreciation (depreciation) in value of investments relate to tax deferral of losses on wash sales and estimated return of capital payments on REITs. At October 31, 2009, the Funds had capital loss carryforwards which may be utilized to offset any net realized capital gains expiring October 31:
2014 2015 2016 2017 ------- -------- ---------- ---------- Rydex/SGI S&P 500 Pure Value ETF................ $ -- $ -- $2,798,860 $8,734,328 Rydex/SGI S&P 500 Pure Growth ETF............... 28,988 142,389 524,164 6,919,390 Rydex/SGI S&P MidCap 400 Pure Value ETF......... 94,708 13,767 936,294 5,993,751 Rydex/SGI S&P MidCap 400 Pure Growth ETF........ -- -- 645,506 3,370,709 Rydex/SGI S&P SmallCap 600 Pure Value ETF....... 16,654 170,782 3,946,225 9,925,091 Rydex/SGI S&P SmallCap 600 Pure Growth ETF...... -- -- 127,914 1,715,604 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF............................. -- -- 1,277,332 1,981,333 Rydex/SGI S&P Equal Weight Consumer Staples ETF........................................... -- 54,862 152,812 195,890 Rydex/SGI S&P Equal Weight Energy ETF........... -- -- -- 1,743,348 Rydex/SGI S&P Equal Weight Financials ETF....... -- -- 1,811,004 4,046,621 Rydex/SGI S&P Equal Weight Health Care ETF...... -- -- 951,005 3,545,994 Rydex/SGI S&P Equal Weight Industrials ETF...... -- -- -- 1,205,416 Rydex/SGI S&P Equal Weight Materials ETF........ -- -- 176,419 1,638,943 Rydex/SGI S&P Equal Weight Technology ETF....... -- -- 637,647 3,097,882 Rydex/SGI S&P Equal Weight Utilities ETF........ -- -- 60,408 555,032
The Funds did not utilize any capital loss carryforwards during the year ended October 31, 2009. 96 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- The tax character of distributable earnings (accumulated losses) at October 31, 2009 was as follows:
UNDISTRIBUTED UNDISTRIBUTED UNREALIZED ORDINARY LONG TERM CAPITAL LOSS APPRECIATION INCOME CAPITAL GAIN CARRYFORWARD (DEPRECIATION) ------------- ------------- ------------ -------------- Rydex/SGI S&P 500 Pure Value ETF........ $ -- $-- $(11,533,188) $ (70,575) Rydex/SGI S&P 500 Pure Growth ETF....... 5,486 -- (7,614,931) 545,873 Rydex/SGI S&P MidCap 400 Pure Value ETF................................... -- -- (7,038,520) 947,498 Rydex/SGI S&P MidCap 400 Pure Growth ETF................................... 15,638 -- (4,016,215) 2,259,899 Rydex/SGI S&P SmallCap 600 Pure Value ETF................................... 34,677 -- (14,058,752) (11,200,170) Rydex/SGI S&P SmallCap 600 Pure Growth ETF................................... -- -- (1,843,518) (582,969) Rydex/SGI S&P Equal Weight Consumer Discretionary ETF..................... 1,257 -- (3,258,665) 1,048,113 Rydex/SGI S&P Equal Weight Consumer Staples ETF........................... 19,818 -- (403,564) 69,080 Rydex/SGI S&P Equal Weight Energy ETF... 6,351 -- (1,743,348) (392,840) Rydex/SGI S&P Equal Weight Financials ETF................................... -- -- (5,857,625) 775,645 Rydex/SGI S&P Equal Weight Health Care ETF................................... 25,509 -- (4,496,999) (2,025,551) Rydex/SGI S&P Equal Weight Industrials ETF................................... 3,576 -- (1,205,416) 1,893,058 Rydex/SGI S&P Equal Weight Materials ETF................................... 9,291 -- (1,815,362) 3,217,138 Rydex/SGI S&P Equal Weight Technology ETF................................... -- -- (3,735,529) 1,075,100 Rydex/SGI S&P Equal Weight Utilities ETF................................... 28,803 -- (615,440) (921,806)
The tax character of distributions paid during 2009 was as follows:
ORDINARY LONG-TERM RETURN OF INCOME CAPITAL GAIN CAPITAL -------- ------------ --------- Rydex/SGI S&P 500 Pure Value ETF...................... $515,568 $-- $-- Rydex/SGI S&P 500 Pure Growth ETF..................... 214,179 -- -- Rydex/SGI S&P MidCap 400 Pure Value ETF............... 307,090 -- -- Rydex/SGI S&P MidCap 400 Pure Growth ETF.............. 48,422 -- -- Rydex/SGI S&P SmallCap 600 Pure Value ETF............. 480,887 -- -- Rydex/SGI S&P SmallCap 600 Pure Growth ETF............ 20,833 -- -- Rydex/SGI S&P Equal Weight Consumer Discretionary ETF................................................. 134,899 -- -- Rydex/SGI S&P Equal Weight Consumer Staples ETF....... 224,373 -- -- Rydex/SGI S&P Equal Weight Energy ETF................. 78,547 -- -- Rydex/SGI S&P Equal Weight Financials ETF............. 243,410 -- -- Rydex/SGI S&P Equal Weight Health Care ETF............ 219,171 -- -- Rydex/SGI S&P Equal Weight Industrials ETF............ 204,603 -- -- Rydex/SGI S&P Equal Weight Materials ETF.............. 264,238 -- -- Rydex/SGI S&P Equal Weight Technology ETF............. 68,005 -- -- Rydex/SGI S&P Equal Weight Utilities ETF.............. 287,015 -- --
The tax character of distributions paid during 2008 was as follows:
ORDINARY LONG-TERM RETURN OF INCOME CAPITAL GAIN CAPITAL -------- ------------ --------- Rydex/SGI S&P 500 Pure Value ETF...................... $996,902 $-- $ -- Rydex/SGI S&P 500 Pure Growth ETF..................... 259,562 -- -- Rydex/SGI S&P MidCap 400 Pure Value ETF............... 365,468 -- 3,840 Rydex/SGI S&P MidCap 400 Pure Growth ETF.............. 14,295 -- -- Rydex/SGI S&P SmallCap 600 Pure Value ETF............. 581,573 -- -- Rydex/SGI S&P SmallCap 600 Pure Growth ETF............ 27,774 -- -- Rydex/SGI S&P Equal Weight Consumer Discretionary ETF................................................. 191,461 -- -- Rydex/SGI S&P Equal Weight Consumer Staples ETF....... 170,546 -- -- Rydex/SGI S&P Equal Weight Energy ETF................. 332,876 -- -- Rydex/SGI S&P Equal Weight Financials ETF............. 161,215 -- -- Rydex/SGI S&P Equal Weight Health Care ETF............ 94,309 -- -- Rydex/SGI S&P Equal Weight Industrials ETF............ 373,256 -- -- Rydex/SGI S&P Equal Weight Materials ETF.............. 159,896 -- -- Rydex/SGI S&P Equal Weight Technology ETF............. 27,611 -- -- Rydex/SGI S&P Equal Weight Utilities ETF.............. 182,405 -- --
ANNUAL REPORT 97 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- E. FAIR VALUE MEASUREMENT In accordance with the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosure" ("ASC 820") (formerly known as FASB 157), fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. ASC 820 established a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds' investments. The inputs are summarized in the three broad levels listed below. Level 1 -- quoted prices in active markets for identical securities. Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 -- significant unobservable inputs (including the Funds' own assumptions used to determine the fair value of investments). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. In April 2009, ASC 820 "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" provided additional guidance when the volume and level of activity for the asset or liability measured at fair value have significantly decreased. Additionally, ASC 820 expanded disclosure requirements by reporting entities surrounding the major categories of assets and liabilities carried at fair value. This additional guidance is effective for interim and annual periods ending after June 15, 2009. The types of inputs used to value each security are identified in the Schedule of Investments, which also includes a breakdown of the Funds' investments by category. The following table summarizes the inputs used to value the Funds' net assets as of October 31, 2009:
FUND LEVEL 1 LEVEL 2 LEVEL 3 TOTAL - ---- ------------ ------- ------- ------------ ASSETS Rydex/SGI S&P 500 Pure Value ETF................ $ 30,084,624 $-- $-- $ 30,084,624 Rydex/SGI S&P 500 Pure Growth ETF............... 38,562,415 -- -- 38,562,415 Rydex/SGI S&P MidCap 400 Pure Value ETF......... 22,979,471 -- -- 22,979,471 Rydex/SGI S&P MidCap 400 Pure Growth ETF........ 108,377,954 -- -- 108,377,954 Rydex/SGI S&P SmallCap 600 Pure Value ETF....... 108,250,150 -- -- 108,250,150 Rydex/SGI S&P SmallCap 600 Pure Growth ETF...... 11,946,553 -- -- 11,946,553 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF............................. 11,473,143 -- -- 11,473,143 Rydex/SGI S&P Equal Weight Consumer Staples ETF........................................... 9,672,208 -- -- 9,672,208 Rydex/SGI S&P Equal Weight Energy ETF........... 11,915,339 -- -- 11,915,339 Rydex/SGI S&P Equal Weight Financials ETF....... 13,989,005 -- -- 13,989,005 Rydex/SGI S&P Equal Weight Health Care ETF...... 73,282,121 -- -- 73,282,121 Rydex/SGI S&P Equal Weight Industrials ETF...... 17,885,402 -- -- 17,885,402 Rydex/SGI S&P Equal Weight Materials ETF........ 41,185,106 -- -- 41,185,106 Rydex/SGI S&P Equal Weight Technology ETF....... 53,974,798 -- -- 53,974,798 Rydex/SGI S&P Equal Weight Utilities ETF........ 8,397,048 -- -- 8,397,048
For the year ended October 31, 2009, there were no Level 3 Investments. F. DIVIDENDS AND DISTRIBUTIONS Distributions of net investment income and net realized capital gains, if any, are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. 98 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- G. RISK AND UNCERTAINTIES The Trust invests in various investments which are exposed to risk, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect amounts reported in future financial statements. The Rydex/SGI S&P Equal Weight Sector ETFs are non-diversified funds, subjecting them to a greater risk than funds that are diversified. H. RISK Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience the Funds expect the risk of loss to be remote. I. NEW ACCOUNTING PRONOUNCEMENTS In June 2009, the FASB established the FASB Accounting Standards Codification ("ASC") as the single source of authoritative accounting principles recognized by the FASB in the preparation of financial statements in conformity with U.S. GAAP. The ASC supersedes existing non-grandfathered, non-SEC accounting and reporting standards. The ASC did not change GAAP but rather organized it into a hierarchy where all guidance within the ASC carries an equal level of authority. The ASC became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The ASC did not have a material effect on the Funds' financial statements. The Funds adopted FASB ASC 815, "Derivatives and Hedging" ("ASC 815") (formerly known as FAS 161), effective October 31, 2009. ASC 815 is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds' financial position and results of operations. None of the Funds held derivatives for the year ended October 31, 2009. 3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES Rydex Investments determines the composition of the portfolio of securities that must be delivered in exchange for the issuance of Creation Units and periodically adjusts the composition of the portfolio of each Fund's to conform to changes in the composition of the relevant index. For these services, Rydex Investments receives a management fee at the annual rate shown below of the average daily net assets of the Funds.
ADVISORY FEE ------------ Rydex/SGI S&P 500 Pure Value ETF.................................... 0.35% Rydex/SGI S&P 500 Pure Growth ETF................................... 0.35% Rydex/SGI S&P MidCap 400 Pure Value ETF............................. 0.35% Rydex/SGI S&P MidCap 400 Pure Growth ETF............................ 0.35% Rydex/SGI S&P SmallCap 600 Pure Value ETF........................... 0.35% Rydex/SGI S&P SmallCap 600 Pure Growth ETF.......................... 0.35% Rydex/SGI S&P Equal Weight Consumer Discretionary ETF............... 0.50% Rydex/SGI S&P Equal Weight Consumer Staples ETF..................... 0.50% Rydex/SGI S&P Equal Weight Energy ETF............................... 0.50% Rydex/SGI S&P Equal Weight Financials ETF........................... 0.50% Rydex/SGI S&P Equal Weight Health Care ETF.......................... 0.50% Rydex/SGI S&P Equal Weight Industrials ETF.......................... 0.50% Rydex/SGI S&P Equal Weight Materials ETF............................ 0.50% Rydex/SGI S&P Equal Weight Technology ETF........................... 0.50% Rydex/SGI S&P Equal Weight Utilities ETF............................ 0.50%
Rydex Investments pays all expenses of the Funds, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except: interest, taxes, distribution fees or expenses and extraordinary expenses. Under an Administration Agreement, State Street Bank and Trust Company (the "Administrator") provides various administrative and accounting services for the maintenance and operations of the Funds. Under a Custodian Agreement with the Trust, the Administrator maintains cash, securities and other assets of the Trust and the Funds in separate accounts for each Fund, keeps all necessary accounts ANNUAL REPORT 99 NOTES TO FINANCIAL STATEMENTS (continued) - -------------------------------------------------------------------------------- and records, and provides other services. The Administrator is required, upon the order of the Trust, to deliver securities held by the Custodian and to make payments for securities purchased by the Trust for the Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, the Administrator acts as a transfer agent for the Trust's authorized and issued shares of beneficial interest, and as dividend disbursing agent of the Trust. Rydex Investments compensates the Administrator directly for the foregoing services. The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to pay distribution fees to Rydex Distributors, Inc., an affiliated entity, (the "Distributor") and other firms that provide distribution services ("Service Providers"). If a Service Provider provides distribution services, the Funds 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 will, in turn, pay the Service Provider out of its fees. No such fee is currently charged to the Funds. 4. CAPITAL At October 31, 2009, there were an unlimited number of no par value shares of beneficial interest authorized. There is a minimum transaction fee per transaction to those persons purchasing or redeeming Creation Units. An additional charge of up to three times the standard transaction fee may be imposed for purchases and redemptions effected outside the National Securities Clearing Corporation usual clearing process or for cash. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. Transaction fees are not charged to or paid by the Fund. The minimum transaction fees are:
MINIMUM TRANSACTION FEE --------------- Rydex/SGI S&P 500 Pure Value ETF.................................. $1,000 Rydex/SGI S&P 500 Pure Growth ETF................................. 1,000 Rydex/SGI S&P MidCap 400 Pure Value ETF........................... 750 Rydex/SGI S&P MidCap 400 Pure Growth ETF.......................... 750 Rydex/SGI S&P SmallCap 600 Pure Value ETF......................... 1,000 Rydex/SGI S&P SmallCap 600 Pure Growth ETF........................ 1,000 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF............. 750 Rydex/SGI S&P Equal Weight Consumer Staples ETF................... 500 Rydex/SGI S&P Equal Weight Energy ETF............................. 500 Rydex/SGI S&P Equal Weight Financials ETF......................... 750 Rydex/SGI S&P Equal Weight Health Care ETF........................ 500 Rydex/SGI S&P Equal Weight Industrials ETF........................ 500 Rydex/SGI S&P Equal Weight Materials ETF.......................... 500 Rydex/SGI S&P Equal Weight Technology ETF......................... 750 Rydex/SGI S&P Equal Weight Utilities ETF.......................... 500
5. INVESTMENT TRANSACTIONS For the year ended October 31, 2009 the Funds had in-kind contributions and in- kind redemptions as follows:
SUBSCRIPTIONS REDEMPTIONS ------------- ----------- Rydex/SGI S&P 500 Pure Value ETF........................... $ 11,041,122 $ 2,500,546 Rydex/SGI S&P 500 Pure Growth ETF.......................... 8,327,316 2,565,437 Rydex/SGI S&P MidCap 400 Pure Value ETF.................... 13,238,751 1,386,985 Rydex/SGI S&P MidCap 400 Pure Growth ETF................... 95,148,579 12,060,644 Rydex/SGI S&P SmallCap 600 Pure Value ETF.................. 121,504,683 40,859,347 Rydex/SGI S&P SmallCap 600 Pure Growth ETF................. 9,770,844 6,247,505 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF...... 12,568,476 7,306,941 Rydex/SGI S&P Equal Weight Consumer Staples ETF............ -- 1,951,665 Rydex/SGI S&P Equal Weight Energy ETF...................... 6,048,637 1,883,847 Rydex/SGI S&P Equal Weight Financials ETF.................. 6,387,877 3,812,368 Rydex/SGI S&P Equal Weight Health Care ETF................. 52,446,586 39,959,275 Rydex/SGI S&P Equal Weight Industrials ETF................. 5,079,412 2,800,601 Rydex/SGI S&P Equal Weight Materials ETF................... 35,525,781 4,739,579 Rydex/SGI S&P Equal Weight Technology ETF.................. 46,686,756 5,729,580 Rydex/SGI S&P Equal Weight Utilities ETF................... 4,112,843 --
100 NOTES TO FINANCIAL STATEMENTS (concluded) - -------------------------------------------------------------------------------- Purchases and sales of investment securities (excluding short-term investments, U.S. government and government agency obligations) for the Funds were as follows:
PURCHASES SALES ----------- ----------- Rydex/SGI S&P 500 Pure Value ETF............................ $ 8,972,651 $ 7,636,962 Rydex/SGI S&P 500 Pure Growth ETF........................... 7,983,706 9,341,643 Rydex/SGI S&P MidCap 400 Pure Value ETF..................... 6,596,955 6,601,390 Rydex/SGI S&P MidCap 400 Pure Growth ETF.................... 12,560,146 10,286,744 Rydex/SGI S&P SmallCap 600 Pure Value ETF................... 22,609,562 22,184,847 Rydex/SGI S&P SmallCap 600 Pure Growth ETF.................. 4,186,209 3,949,004 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF....... 3,436,823 3,578,054 Rydex/SGI S&P Equal Weight Consumer Staples ETF............. 2,296,562 2,467,111 Rydex/SGI S&P Equal Weight Energy ETF....................... 2,649,426 2,394,404 Rydex/SGI S&P Equal Weight Financials ETF................... 5,314,947 5,322,698 Rydex/SGI S&P Equal Weight Health Care ETF.................. 20,454,042 20,519,085 Rydex/SGI S&P Equal Weight Industrials ETF.................. 9,596,053 4,021,261 Rydex/SGI S&P Equal Weight Materials ETF.................... 10,651,117 11,033,695 Rydex/SGI S&P Equal Weight Technology ETF................... 5,926,596 5,970,032 Rydex/SGI S&P Equal Weight Utilities ETF.................... 1,856,403 1,674,879
There were no purchases or sales of U.S. government or government agency obligations for the year ended October 31, 2009. At October 31, 2009, the identified cost of investments in securities owned by each Fund for federal income tax purposes and the gross unrealized appreciation and depreciation were as follows:
GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- Rydex/SGI S&P 500 Pure Value ETF........ $ 30,155,199 $3,170,071 $ (3,240,646) $ (70,575) Rydex/SGI S&P 500 Pure Growth ETF....... 38,016,542 3,736,429 (3,190,556) 545,873 Rydex/SGI S&P MidCap 400 Pure Value ETF................................... 22,031,973 2,638,754 (1,691,256) 947,498 Rydex/SGI S&P MidCap 400 Pure Growth ETF................................... 106,118,055 5,538,947 (3,279,048) 2,259,899 Rydex/SGI S&P SmallCap 600 Pure Value ETF................................... 119,450,320 4,484,407 (15,684,577) (11,200,170) Rydex/SGI S&P SmallCap 600 Pure Growth ETF................................... 12,529,521 732,159 (1,315,127) (582,968) Rydex/SGI S&P Equal Weight Consumer Discretionary ETF..................... 10,425,030 1,317,251 (269,138) 1,048,113 Rydex/SGI S&P Equal Weight Consumer Staples ETF........................... 9,603,128 584,111 (515,031) 69,080 Rydex/SGI S&P Equal Weight Energy ETF... 12,308,179 787,814 (1,180,654) (392,840) Rydex/SGI S&P Equal Weight Financials ETF................................... 13,213,360 1,594,631 (818,986) 775,645 Rydex/SGI S&P Equal Weight Health Care ETF................................... 75,307,672 3,834,791 (5,860,342) (2,025,551) Rydex/SGI S&P Equal Weight Industrials ETF................................... 15,992,344 2,234,557 (341,499) 1,893,058 Rydex/SGI S&P Equal Weight Materials ETF................................... 37,967,968 3,969,148 (752,010) 3,217,138 Rydex/SGI S&P Equal Weight Technology ETF................................... 52,899,698 2,814,866 (1,739,766) 1,075,100 Rydex/SGI S&P Equal Weight Utilities ETF................................... 9,318,854 217,376 (1,139,182) (921,806)
6. SUBSEQUENT EVENTS Management has evaluated events or transactions that may have occurred since October 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through December 23, 2009, the date the financial statements were available to be issued and there were no events or transactions to be reported. ANNUAL REPORT 101 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM - -------------------------------------------------------------------------------- The Board of Trustees and Shareholders of Rydex ETF Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Rydex/SGI S&P 500 Pure Value ETF, Rydex/SGI S&P 500 Pure Growth ETF, Rydex/SGI S&P MidCap 400 Pure Value ETF, Rydex/SGI S&P MidCap 400 Pure Growth ETF, Rydex/SGI S&P SmallCap 600 Pure Value ETF, Rydex/SGI S&P SmallCap 600 Pure Growth ETF, Rydex/SGI S&P Equal Weight Consumer Discretionary ETF, Rydex/SGI S&P Equal Weight Consumer Staples ETF, Rydex/SGI S&P Equal Weight Energy ETF, Rydex/SGI S&P Equal Weight Financials ETF, Rydex/SGI S&P Equal Weight Health Care ETF, Rydex/SGI S&P Equal Weight Industrials ETF, Rydex/SGI S&P Equal Weight Materials ETF, Rydex/SGI S&P Equal Weight Technology ETF, and Rydex/SGI S&P Equal Weight Utilities ETF (the "Funds")(fifteen of the series constituting the Rydex ETF Trust (the "Trust")) as of October 31, 2009, and the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, and financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Trust's internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2009, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Funds at October 31, 2009, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles. -S- ERNST & YOUNG LLP McLean, Virginia December 23, 2009 102 SUPPLEMENTAL INFORMATION (Unaudited) - -------------------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION For federal income tax purposes, the following information is furnished for the year ended October 31, 2009 in respect to percentage of ordinary distributions (net investment income plus short-term gains) which qualify for corporate dividends received deduction, designated qualified dividend income eligible for reduced taxes and distributions from long-term capital gains. These long-term capital gains distributions may be subject to a maximum tax rate of 15% as provided by the internal revenue code. The funds below hereby designate the maximum amount of such dividend allowable up to the amount of the dividends paid during the year.
DIVIDEND LONG TERM QUALIFIED RECEIVED CAPITAL GAINS DIVIDEND DEDUCTION DISTRIBUTION INCOME --------- ------------- --------- Rydex/SGI S&P 500 Pure Value ETF...................... 97.96% $-- $444,296 Rydex/SGI S&P 500 Pure Growth ETF..................... 100.00% -- 296,603 Rydex/SGI S&P MidCap 400 Pure Value ETF............... 84.28% -- 251,655 Rydex/SGI S&P MidCap 400 Pure Growth ETF.............. 100.00% -- 160,263 Rydex/SGI S&P SmallCap 600 Pure Value ETF............. 80.11% -- 391,111 Rydex/SGI S&P SmallCap 600 Pure Growth ETF............ 100.00% -- 47,345 Rydex/SGI S&P Equal Weight Consumer Discretionary ETF................................................. 100.00% -- 171,964 Rydex/SGI S&P Equal Weight Consumer Staples ETF....... 100.00% -- 275,979 Rydex/SGI S&P Equal Weight Energy ETF................. 99.30% -- 110,185 Rydex/SGI S&P Equal Weight Financials ETF............. 91.85% -- 161,879 Rydex/SGI S&P Equal Weight Health Care ETF............ 99.95% -- 489,866 Rydex/SGI S&P Equal Weight Industrials ETF............ 99.79% -- 250,852 Rydex/SGI S&P Equal Weight Materials ETF.............. 100.00% -- 347,692 Rydex/SGI S&P Equal Weight Technology ETF............. 100.00% -- 136,423 Rydex/SGI S&P Equal Weight Utilities ETF.............. 100.00% -- 328,257
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. Information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, 2009 is also available, without charge and upon request, by (i) calling 1-800-820-0888; or accessing the Trust's Form N-PX 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 Trust's 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 ETF Trust Board of Trustees (the "Board") generally calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex ETF Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the name Rydex Investments ("Rydex Investments") (the "Current Agreement") ANNUAL REPORT 103 SUPPLEMENTAL INFORMATION (Unaudited) (continued) - -------------------------------------------------------------------------------- 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 an in-person meeting held August 25, 2009, called for the purpose of, among other things, voting on the renewal of the investment advisory agreement applicable to the Funds, the Board, including all of the Independent Trustees (the "Annual Renewal Meeting"), considered and approved the continuance of the Current Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. BOARD CONSIDERATIONS IN APPROVING THE CONTINUATION OF THE CURRENT AGREEMENT In preparation for the Annual Renewal Meeting, the Board requested and received written materials from Rydex Investments about: (a) the quality of Rydex Investments' investment management and other services; (b) Rydex Investments' investment management personnel; (c) Rydex Investments' operations and financial condition; (d) Rydex Investments' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that Rydex Investments charges the Funds compared with the fees it charges to comparable funds or accounts; (f) each Fund's overall fees and operating expenses compared with similar funds; (g) the level of Rydex Investments' profitability from its Fund-related operations; (h) Rydex Investments' compliance systems; (i) Rydex Investments' policies on and compliance procedures for personal securities transactions; (j) Rydex Investments' reputation, expertise and resources in the financial markets; and (k) Fund performance compared with similar funds. Certain of these considerations are discussed in more detail below. In its deliberations at the Annual Renewal Meeting, the Board did not identify any single piece of information that was all-important or controlling. Based on the Board's deliberations and its evaluation of the information referenced above and described in more detail below, the Board, including all of the Independent Trustees, unanimously: (a) concluded that terms of the Current Agreement were fair and reasonable; (b) concluded that Rydex Investments' fees were reasonable in light of the services that Rydex Investments provides to the Funds; and (c) agreed to renew the Current Agreement for an additional one-year term. In approving the continuation of the Current Agreement at the Annual Renewal Meeting, the Board, including the Independent Trustees advised by independent counsel, considered the factors discussed below. NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Current 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. The Board further noted that the Funds have consistently met their investment objectives since their respective 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 Current Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. 104 SUPPLEMENTAL INFORMATION (Unaudited) (concluded) - -------------------------------------------------------------------------------- FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS At the Annual Renewal Meeting, the Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees and gross and net total expenses of each Fund in comparison with the same information for other exchange-traded funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. 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 exchange-traded funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. 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 Current Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES At the Annual Renewal Meeting, the Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Current Agreement for the last calendar year. 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 Current 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 at the Annual Renewal Meeting, 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 Current Agreement did not provide for any breakpoints in the investment advisory fees as a result of increases in the asset levels of the Funds. The Board also reviewed and considered Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in advisory fees 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, determined that the economies of scale, if any, were de minimis. OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES At the Annual Renewal Meeting, in addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the distribution 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. ANNUAL REPORT 105 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- 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. INDEPENDENT TRUSTEES
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS YEAR OF BIRTH (YEAR BEGAN) OVERSEEN - ----------------------- ---------------------------------------- ---------------- JOHN O. DEMARET Rydex Series Funds - 1997 151 Trustee, Chairman of Rydex Variable Trust - 1998 the Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired --------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 151 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 151 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 151 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 151 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 151 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 151 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine - ------------------------------------------------------------------------------------
106 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (continued) - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE YEAR OF BIRTH YEARS - ----------------------------------------- ----------------------------------------- RICHARD M. GOLDMAN* President of Rydex Series Funds, Rydex President (1961) Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) MICHAEL P. BYRUM* Vice President of Rydex Series Funds Vice President (1970) (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) NICK BONOS* Vice President and Treasurer of Rydex Vice President and Treasurer (1963) Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) JOANNA M. HAIGNEY* Chief Compliance Officer of Rydex Series Chief Compliance Officer and Secretary Funds, Rydex Variable Trust, and Rydex (1966) Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) KEITH FLETCHER* Vice President of Rydex Series Funds, Vice President (1958) Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present)
ANNUAL REPORT 107 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (concluded) - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS (concluded)
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE YEAR OF BIRTH YEARS - ----------------------------------------- ----------------------------------------- AMY LEE* Vice President and Assistant Secretary of Vice President and Assistant Secretary Rydex Series Funds, Rydex Variable Trust, (1960) Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present); JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present) Director of Accounting of Rydex Investments (2003 to 2004) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Controller (1974) Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present)
* Officers of the Funds 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 Rydex Investments. RYDEX | SGI SECURITY GLOBAL INVESTORS(SM) 9601 Blackwell Road - Suite 500 - Rockville, MD 20850 www.rydex-sgi.com - 800.820.0888 ETF2-ANN-1009X1010 OCTOBER 31, 2009 RYDEX ETF TRUST ANNUAL REPORT RYDEX | SGI 2x S&P 500 ETF RYDEX | SGI INVERSE 2x S&P 500 ETF RYDEX | SGI 2x S&P MIDCAP 400 ETF RYDEX | SGI INVERSE 2x S&P MIDCAP 400 ETF RYDEX | SGI 2x RUSSELL 2000(R) ETF RYDEX | SGI INVERSE 2x RUSSELL 2000(R) ETF RYDEX | SGI 2x S&P SELECT SECTOR ENERGY ETF RYDEX | SGI INVERSE 2x S&P SELECT SECTOR ENERGY ETF RYDEX | SGI 2x S&P SELECT SECTOR FINANCIAL ETF RYDEX | SGI INVERSE 2x S&P SELECT SECTOR FINANCIAL ETF RYDEX | SGI 2x S&P SELECT SECTOR HEALTH CARE ETF RYDEX | SGI INVERSE 2x S&P SELECT SECTOR HEALTH CARE ETF RYDEX | SGI 2x S&P SELECT SECTOR TECHNOLOGY ETF RYDEX | SGI INVERSE 2x S&P SELECT SECTOR TECHNOLOGY ETF RYDEX | SGI SECURITY GLOBAL INVESTORS (SM) [RYDEXSHARES LOGO] ANNUAL REPORT 1 TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS........................ 2 A BRIEF NOTE ON THE COMPOUNDING OF RETURNS........ 4 FEES & EXPENSES................................... 5 PREMIUM AND DISCOUNT INFORMATION.................. 6 MANAGER'S ANALYSIS................................ 8 SCHEDULES OF INVESTMENTS.......................... 29 STATEMENTS OF ASSETS AND LIABILITIES.............. 72 STATEMENTS OF OPERATIONS.......................... 76 STATEMENTS OF CHANGES IN NET ASSETS............... 80 FINANCIAL HIGHLIGHTS.............................. 87 NOTES TO FINANCIAL STATEMENTS..................... 94 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM............................................ 106 SUPPLEMENTAL INFORMATION.......................... 107 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS..... 110
2 LETTER TO OUR SHAREHOLDERS - -------------------------------------------------------------------------------- DEAR SHAREHOLDER, A year after the height of the financial crisis, the equity and credit markets are returning to more normal functioning. Federal Reserve Chairman Ben Bernanke's September 15, 2009, comment that "the recession is very likely over" seems to confirm the encouraging signs of the past six months. Overall, economic data suggest that the economy is emerging from the financial crisis and severe recession. CONTINUING FALLOUT FROM 2008 Seven months ago, the stock market began to climb back up from its lowest level in 12 years (reached March 9, 2009). For many, the spring surge gave hope for an end to the bear market that ravaged investors' portfolios, but the deepest downturn since the Great Depression would still leave its mark on the second and third quarters. As investors looked forward to putting 2008 far behind them, General Motors (GM) filed for bankruptcy on June 2, 2009, despite the injection of more than $19.4 billion in federal help and, for the first time since 1925, GM was no longer part of the Dow Jones Industrial Average. Second-quarter gross domestic product (GDP) declined by a 1.0% annual rate, though it recovered somewhat from the 6.4% contraction of the first quarter. However, in the third quarter of 2009, GDP increased 3.5% -- the first increase since the second quarter of 2008. GDP growth reflected an increase in consumer spending, an improvement in housing and growth in inventory investment, exports and government spending. By the end of September, the U.S. unemployment rate climbed to 9.8% -- the highest since June 1983. CAUTIOUS OPTIMISM FOR Q4 AND BEYOND The second and third quarters saw unprecedented growth in the stock market, kicked off in May by a report from payroll processor ADP that fewer jobs were lost in April than economists had predicted. In May, the Treasury Department also released the results of the now infamous "bank stress tests," allowing 10 major banks to pay back $68 billion in Troubled Asset Relief Program (TARP) money received earlier in the year. In September, existing-home sales bounced back strongly with first-time buyers driving much of the activity, marking five gains in the past six months. Existing-home sales -- including single-family, townhomes, condominiums and co-ops -- jumped 9.4% to a seasonally adjusted annual rate of 5.57 million units in September from a level of 5.09 million in August and are 9.2% higher than the 5.10 million-unit pace in September 2008. Sales activity is at the highest level in more than two years, since it hit 5.73 million in July 2007. There are other positive signs as well. The Conference Board Leading Economic Index(TM) for the U.S. increased 1.0% in September, following a 0.4% gain in August, and a 1.0% rise in July. On October 30, 2009, the Chicago Board Options Exchange Volatility Index (VIX), a measure of investor sentiment, surged 24%, its biggest one-day percentage gain in a year, closing at 30.69 -- its highest close since July. Additionally, stock market fluctuations have returned to more historically "normal" levels. Despite the impressive rally from its low point of 676.53 on March 9, the equity market -- as measured by the broad market S&P 500(R) Index -- returned 15.61%, in the third quarter of 2009. For the one-year period ending October 31, 2009, it returned 9.80%. Are we on the road to recovery? Clearly there are signs that point to an improving economic environment. But excessive optimism is premature -- the economy still has a long way to go. It is likely that we'll continue to see volatility in the market as the economic situation moves from crisis to stabilization. While we are not out of the woods yet, improving market conditions should lead to better investment opportunities going forward. RYDEXSGI ETFS Due to transparency, convenience and low cost, ETFs continued to enjoy popularity as an investment vehicle of choice in 2008-2009, seeing a 20% increase in assets in the 12-month period ended September 30, 2009 according to the Investment Company Institute. RydexSGI has experienced 40% growth in assets in its ETFs over the 12-month period ending October 31, 2009. Having $5.620 billion in ETF assets under management and a lineup of 40 exchange-traded products as of October 31, 2009, places RydexSGI as the 12th-largest player in the ETF market. With 14 leveraged and inverse ETFs, RydexSGI is a strong believer that investors have a solid understanding of the risks of these investments and understand the importance of monitoring their leveraged and inverse ETFs' holdings consistent with their strategies, as frequently as daily. In 2009, there was increased scrutiny and attention placed on leveraged and inverse investment products, including ETFs. While these products seek to deliver a specific multiple of their benchmark on a daily basis, some investors have a limited understanding of the effects of compounding on their long term performance. In particularly volatile markets, like the one we experienced in the past 12 to 18 months, the effects of compounding may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. For those ETFs that ANNUAL REPORT 3 LETTER TO OUR SHAREHOLDERS (CONTINUED) - -------------------------------------------------------------------------------- consistently apply leverage, the value of the ETF's shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus. MOVING FORWARD From my perspective, every bear market -- from the recession of 1929 to the tech bubble of the early 1990s -- teaches investors the same valuable lesson: the need to diversify. Earlier this year, we integrated with Security Global Investors to become RydexSGI. This integration allows us to expand our current lineup of quantitatively managed, alternative and target beta funds to include actively managed global, growth, value and specialty fixed-income strategies. Simply put: We diversified our product offerings in order to position the company for future growth and to provide our clients with a wider array of investment strategies than ever before. While this integration marks the firm's evolution to a leading multidiscipline asset management firm, more importantly, we believe investors will be well served by the broader array of investment choices now available from RydexSGI. Sincerely, - -s- Michael Byrum Michael Byrum President & Chief Investment Officer PERFORMANCE DISPLAYED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF FUTURE RESULTS. FUND PERFORMANCE IS SUBJECT TO DAILY MARKET VOLATILITY AND MAY BE BETTER OR WORSE SINCE THE END OF THE LAST QUARTER. FOR UP-TO-DATE FUND PERFORMANCE, CALL 800.820.0888 OR VISIT WWW.RYDEX-SGI.COM. 4 A BRIEF NOTE ON THE COMPOUNDING OF RETURNS - -------------------------------------------------------------------------------- The 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. Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund's shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus. In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor's favor, causing the fund to seemingly beat its benchmark. As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect. ANNUAL REPORT 5 FEES AND EXPENSES - -------------------------------------------------------------------------------- SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Rydex ETF Trust, you incur transaction costs such as creation and redemption fees or brokerage charges, and ongoing costs including advisory fees, trustee fees and, if applicable, distribution fees. All other Trust expenses are paid by the advisor. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example in the table is based on an investment of $1,000 invested on April 30, 2009 and held for the six months ended October 31, 2009. ACTUAL EXPENSES The first table below provides information about actual account values and actual expenses. You may use the information in this table, together with the amount you invested, to estimate the expenses that you incurred 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 in the first table under the heading entitled "Expenses Paid During the Six-Month Period" to estimate the expenses attributable to your investment during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second table below provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as creation and redemption fees, or brokerage charges. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT PAID DURING EXPENSE VALUE VALUE SIX-MONTH PERIOD* RATIO 4/30/09 10/31/09 4/30/09 TO 10/31/09 ------- --------- --------- ------------------- ACTUAL RydexSGI 2x S&P 500 ETF.................... 0.70% $1,000.00 $1,402.90 $4.24 RydexSGI Inverse 2x S&P 500 ETF............ 0.70% 1,000.00 650.10 2.91 RydexSGI 2x S&P MidCap 400 ETF............. 0.70% 1,000.00 1,349.60 4.15 RydexSGI Inverse 2x S&P MidCap 400 ETF..... 0.70% 1,000.00 644.40 2.90 RydexSGI 2x Russell 2000 ETF............... 0.70% 1,000.00 1,295.80 4.05 RydexSGI Inverse 2x Russell 2000 ETF....... 0.70% 1,000.00 656.00 2.92 RydexSGI 2x S&P Select Sector Energy ETF... 0.70% 1,000.00 1,417.70 4.27 RydexSGI Inverse 2x S&P Select Sector Energy ETF.............................. 0.70% 1,000.00 572.10 2.77 RydexSGI 2x S&P Select Sector Financial ETF..................................... 0.70% 1,000.00 1,552.80 4.50 RydexSGI Inverse 2x S&P Select Sector Financial ETF........................... 0.70% 1,000.00 433.30 2.53 RydexSGI 2x S&P Select Sector Health Care ETF..................................... 0.70% 1,000.00 1,352.90 4.15 RydexSGI Inverse 2x S&P Select Sector Health Care ETF......................... 0.70% 1,000.00 696.00 2.99 RydexSGI 2x S&P Select Sector Technology ETF..................................... 0.70% 1,000.00 1,417.60 4.27 RydexSGI Inverse 2x S&P Select Sector Technology ETF.......................... 0.70% 1,000.00 648.10 2.91 HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE EXPENSES) RydexSGI 2x S&P 500 ETF.................... 0.70% 1,000.00 1,021.68 3.57 RydexSGI Inverse 2x S&P 500 ETF............ 0.70% 1,000.00 1,021.68 3.57 RydexSGI 2x S&P MidCap 400 ETF............. 0.70% 1,000.00 1,021.68 3.57 RydexSGI Inverse 2x S&P MidCap 400 ETF..... 0.70% 1,000.00 1,021.68 3.57 RydexSGI 2x Russell 2000 ETF............... 0.70% 1,000.00 1,021.68 3.57 RydexSGI Inverse 2x Russell 2000 ETF....... 0.70% 1,000.00 1,021.68 3.57 RydexSGI 2x S&P Select Sector Energy ETF... 0.70% 1,000.00 1,021.68 3.57 RydexSGI Inverse 2x S&P Select Sector Energy ETF.............................. 0.70% 1,000.00 1,021.68 3.57 RydexSGI 2x S&P Select Sector Financial ETF..................................... 0.70% 1,000.00 1,021.68 3.57 RydexSGI Inverse 2x S&P Select Sector Financial ETF........................... 0.70% 1,000.00 1,021.68 3.57 RydexSGI 2x S&P Select Sector Health Care ETF..................................... 0.70% 1,000.00 1,021.68 3.57 RydexSGI Inverse 2x S&P Select Sector Health Care ETF......................... 0.70% 1,000.00 1,021.68 3.57 RydexSGI 2x S&P Select Sector Technology ETF..................................... 0.70% 1,000.00 1,021.68 3.57 RydexSGI Inverse 2x S&P Select Sector Technology ETF.......................... 0.70% 1,000.00 1,021.68 3.57
- -------- * Expenses are equal to the Fund's annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). 6 PREMIUM AND DISCOUNT INFORMATION (Unaudited) - -------------------------------------------------------------------------------- The tables that follow present information about the differences between the daily market price on secondary markets for shares of the Funds and each Fund's NAV. NAV is the price per share at which a Fund issues and redeems shares. It is calculated in accordance with the standard formula for valuing mutual fund shares. The "Market Price" of a Fund generally is determined using the midpoint between the highest bid and the lowest offer on the Exchange on which the Fund is listed for trading, as of the time the Fund's NAV is calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of a Fund will fluctuate with changes in the market value of its portfolio holdings. The Market Price of a Fund will fluctuate in accordance with changes in its NAV, as well as market supply of and demand for shares of the Funds. Premiums or discounts are the differences (generally expressed as a percentage) between the NAV and Market Price of a Fund on a given day, generally at the time NAV is calculated. A premium is the amount that a Fund is trading above the reported NAV, expressed as a positive percentage of the NAV. A discount is the amount that a Fund is trading below the reported NAV, expressed as a negative percentage of the NAV. The following information shows the frequency distribution of premiums and discounts for the Funds. The information shown for each Fund is for the period from inception to October 31, 2009. Each line in the table shows the number of trading days in which the Funds traded within the premium/discount range indicated. The number of trading days in each premium/discount range is also shown as a percentage of the total number of trading days in the period covered by the table. All data presented here represents past performance, which cannot be used to predict future results.
NUMBER OF DAYS ----------------------------------------------------------------------------------------- RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X 2X S&P 2X S&P INVERSE 2X 2X S&P S&P 2X RUSSELL RUSSELL SELECT SECTOR 500 S&P 500 MIDCAP 400 MIDCAP 400 2000 2000 ENERGY PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF - ---------------------- -------- ---------- ---------- ---------- ---------- ---------- ------------- Greater than 10%......... 0 0 1 0 0 0 0 Between 8.01% and 10%.... 0 0 0 1 0 0 0 Between 3.01% and 8%..... 7 1 8 14 6 10 16 Between 1.01% and 3%..... 17 11 41 56 28 21 31 Between .51% and 1%...... 40 36 37 43 41 48 34 Between .26% and .5%..... 41 37 44 50 39 73 30 Between .25% and 0%...... 140 228 111 125 130 156 108 Between -0.01% and -0.25%................. 209 171 129 122 125 130 64 Between -0.26% and -0.5%.................. 59 35 55 51 83 47 41 Between -0.51% and -1%... 29 19 64 44 53 36 36 Between -1.01% and -3%... 16 16 61 40 42 31 40 Between -3.01% and -8%... 0 4 7 12 11 6 8 Less than -8%............ 0 0 0 0 0 0 1 --- --- --- --- --- --- --- Total.................... 558 558 558 558 558 558 409 --- --- --- --- --- --- ---
PERCENTAGE OF TOTAL DAYS ----------------------------------------------------------------------------------------- RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X 2X S&P 2X S&P INVERSE 2X 2X S&P S&P 2X RUSSELL RUSSELL SELECT SECTOR 500 S&P 500 MIDCAP 400 MIDCAP 400 2000 2000 ENERGY PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF - ---------------------- -------- ---------- ---------- ---------- ---------- ---------- ------------- Greater than 10%......... 0.00% 0.00% 0.18% 0.00% 0.00% 0.00% 0.00% Between 8.01% and 10%.... 0.00% 0.00% 0.00% 0.18% 0.00% 0.00% 0.00% Between 3.01% and 8%..... 1.25% 0.18% 1.43% 2.51% 1.08% 1.79% 3.91% Between 1.01% and 3%..... 3.05% 1.97% 7.35% 10.04% 5.02% 3.76% 7.58% Between .51% and 1%...... 7.17% 6.45% 6.63% 7.71% 7.35% 8.60% 8.31% Between .26% and .5%..... 7.35% 6.63% 7.89% 8.96% 6.99% 13.08% 7.33% Between .25% and 0%...... 25.09% 40.86% 19.89% 22.40% 23.30% 27.96% 26.41% Between -0.01% and -0.25%................. 37.46% 30.65% 23.12% 21.86% 22.40% 23.30% 15.65% Between -0.26% and -0.5%.................. 10.57% 6.27% 9.86% 9.14% 14.87% 8.42% 10.02% Between -0.51% and -1%... 5.20% 3.41% 11.47% 7.89% 9.50% 6.45% 8.80% Between -1.01% and -3%... 2.87% 2.87% 10.93% 7.17% 7.53% 5.56% 9.78% Between -3.01% and -8%... 0.00% 0.72% 1.25% 2.15% 1.97% 1.08% 1.96% Less than -8%............ 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.24% ------ ------ ------ ------ ------ ------ ------ Total.................... 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% ------ ------ ------ ------ ------ ------ ------
ANNUAL REPORT 7 - --------------------------------------------------------------------------------
NUMBER OF DAYS -------------------------------------------------------------------------------------------------- RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR ENERGY FINANCIAL FINANCIAL HEALTH CARE HEALTH CARE TECHNOLOGY TECHNOLOGY PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF - ---------------------- ---------- ------------- ---------- ------------- ----------- ------------- ---------- Greater than 10%........ 1 1 0 1 5 3 0 Between 8.01% and 10%... 1 1 0 1 3 1 2 Between 3.01% and 8%.... 10 14 10 15 27 8 23 Between 1.01% and 3%.... 46 47 41 38 60 40 56 Between .51% and 1%..... 46 36 43 22 28 28 37 Between .26% and .5%.... 34 30 33 17 19 18 13 Between .25% and 0%..... 103 100 124 106 78 89 87 Between -0.01% and -0.25%................ 39 55 48 37 48 47 39 Between -0.26% and -0.5%................. 32 47 25 27 27 41 19 Between -0.51% and -1%.. 36 24 35 51 36 39 45 Between -1.01% and -3%.. 44 40 37 72 52 50 54 Between -3.01% and -8%.. 16 13 13 20 24 41 34 Between -8.01% and -10%.................. 0 0 0 1 2 1 0 Less than -10%.......... 1 1 0 1 0 3 0 --- --- --- --- --- --- --- Total................... 409 409 409 409 409 409 409 --- --- --- --- --- --- ---
PERCENTAGE OF TOTAL DAYS -------------------------------------------------------------------------------------------------- RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X RYDEXSGI INVERSE 2X S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT 2X S&P S&P SELECT SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR SELECT SECTOR SECTOR ENERGY FINANCIAL FINANCIAL HEALTH CARE HEALTH CARE TECHNOLOGY TECHNOLOGY PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF - ---------------------- ---------- ------------- ---------- ------------- ----------- ------------- ---------- Greater than 10%........ 0.24% 0.24% 0.00% 0.24% 1.22% 0.73% 0.00% Between 8.01% and 10%... 0.24% 0.24% 0.00% 0.24% 0.73% 0.24% 0.49% Between 3.01% and 8%.... 2.44% 3.42% 2.44% 3.67% 6.60% 1.96% 5.62% Between 1.01% and 3%.... 11.25% 11.49% 10.02% 9.29% 14.67% 9.78% 13.69% Between .51% and 1%..... 11.25% 8.80% 10.51% 5.38% 6.85% 6.85% 9.05% Between .26% and .5%.... 8.31% 7.33% 8.07% 4.16% 4.65% 4.40% 3.18% Between .25% and 0%..... 25.18% 24.45% 30.32% 25.92% 19.07% 21.76% 21.27% Between -0.01% and -0.25%................ 9.54% 13.45% 11.74% 9.05% 11.74% 11.49% 9.54% Between -0.26% and -0.5%................. 7.82% 11.49% 6.11% 6.60% 6.60% 10.02% 4.65% Between -0.51% and -1%.. 8.80% 5.87% 8.56% 12.47% 8.80% 9.54% 11.00% Between -1.01% and -3%.. 10.76% 9.78% 9.05% 17.60% 12.71% 12.22% 13.20% Between -3.01% and -8%.. 3.91% 3.18% 3.18% 4.89% 5.87% 10.02% 8.31% Between -8.01% and -10%.................. 0.00% 0.00% 0.00% 0.24% 0.49% 0.24% 0.00% Less than -10%.......... 0.24% 0.24% 0.00% 0.24% 0.00% 0.73% 0.00% ------ ------ ------ ------ ------ ------ ------ Total................... 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% ------ ------ ------ ------ ------ ------ ------
8 RYDEXSGI 2x S&P 500 ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI 2x S&P 500 ETF (RSU) maintained a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the S&P 500(R) Total Return Index. RydexSGI 2x S&P 500 ETF returned 3.51% while the S&P 500 Total Return Index returned 9.80% over the same time period. The biggest performance contributors during the period were the information technology (31.44%) and consumer discretionary (20.83%) sectors. The financials sector was the biggest performance detractor, down 6.87% for the year. The global financial crisis continued to weigh heavily on stocks through the beginning of the period. The combination of the government making it clear that it would not let another major bank go bankrupt with improving economic indicators led to a strong 50% rally in the S&P 500 from its March 2009 lows. The Volatility Index (VIX) gradually fell back into the 20% to 30% range as the crisis subsided. Gross domestic product (GDP) showed that the economy pulled out of recession during the 2nd quarter of 2009. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: NOVEMBER 5, 2007 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI 2X S&P 500 S&P 500 TOTAL RETURN ETF INDEX ------------ ------------ 11/5/2007 10000 10000 11/6/2007 10237 10121 11/7/2007 9647 9829 11/8/2007 9640 9823 11/9/2007 9360 9683 11/10/2007 9360 9683 11/11/2007 9360 9683 11/12/2007 9172 9587 11/13/2007 9712 9869 11/14/2007 9580 9802 11/15/2007 9329 9673 11/16/2007 9421 9723 11/17/2007 9421 9723 11/18/2007 9421 9723 11/19/2007 9093 9554 11/20/2007 9175 9597 11/21/2007 8881 9445 11/22/2007 8881 9445 11/23/2007 9180 9605 11/24/2007 9180 9605 11/25/2007 9180 9605 11/26/2007 8752 9382 11/27/2007 9015 9523 11/28/2007 9532 9798 11/29/2007 9540 9803 11/30/2007 9685 9879 12/1/2007 9685 9879 12/2/2007 9685 9879 12/3/2007 9571 9822 12/4/2007 9443 9757 12/5/2007 9739 9911 12/6/2007 10031 10061 12/7/2007 9991 10043 12/8/2007 9991 10043 12/9/2007 9991 10043 12/10/2007 10141 10119 12/11/2007 9629 9863 12/12/2007 9749 9924 12/13/2007 9772 9937 12/14/2007 9500 9800 12/15/2007 9500 9800 12/16/2007 9500 9800 12/17/2007 9213 9653 12/18/2007 9327 9714 12/19/2007 9301 9701 12/20/2007 9396 9751 12/21/2007 9707 9915 12/22/2007 9707 9915 12/23/2007 9707 9915 12/24/2007 9861 9996 12/25/2007 9861 9996 12/26/2007 9875 10004 12/27/2007 9596 9864 12/28/2007 9619 9878 12/29/2007 9619 9878 12/30/2007 9619 9878 12/31/2007 9484 9811 1/1/2008 9484 9811 1/2/2008 9213 9671 1/3/2008 9212 9671 1/4/2008 8753 9434 1/5/2008 8753 9434 1/6/2008 8753 9434 1/7/2008 8811 9464 1/8/2008 8491 9294 1/9/2008 8725 9421 1/10/2008 8860 9496 1/11/2008 8618 9368 1/12/2008 8618 9368 1/13/2008 8618 9368 1/14/2008 8802 9469 1/15/2008 8362 9233 1/16/2008 8265 9183 1/17/2008 7783 8916 1/18/2008 7687 8862 1/19/2008 7687 8862 1/20/2008 7687 8862 1/21/2008 7687 8862 1/22/2008 7510 8764 1/23/2008 7832 8952 1/24/2008 7986 9042 1/25/2008 7733 8899 1/26/2008 7733 8899 1/27/2008 7733 8899 1/28/2008 8006 9055 1/29/2008 8101 9112 1/30/2008 8022 9069 1/31/2008 8286 9222 2/1/2008 8493 9335 2/2/2008 8493 9335 2/3/2008 8493 9335 2/4/2008 8315 9238 2/5/2008 7787 8943 2/6/2008 7673 8878 2/7/2008 7796 8951 2/8/2008 7727 8913 2/9/2008 7727 8913 2/10/2008 7727 8913 2/11/2008 7816 8966 2/12/2008 7931 9032 2/13/2008 8148 9158 2/14/2008 7931 9035 2/15/2008 7942 9044 2/16/2008 7942 9044 2/17/2008 7942 9044 2/18/2008 7942 9044 2/19/2008 7930 9036 2/20/2008 8061 9112 2/21/2008 7861 8998 2/22/2008 7988 9070 2/23/2008 7988 9070 2/24/2008 7988 9070 2/25/2008 8203 9195 2/26/2008 8315 9259 2/27/2008 8302 9253 2/28/2008 8156 9171 2/29/2008 7716 8923 3/1/2008 7716 8923 3/2/2008 7716 8923 3/3/2008 7720 8928 3/4/2008 7665 8897 3/5/2008 7754 8948 3/6/2008 7415 8752 3/7/2008 7288 8679 3/8/2008 7288 8679 3/9/2008 7288 8679 3/10/2008 7064 8545 3/11/2008 7586 8863 3/12/2008 7478 8786 3/13/2008 7553 8831 3/14/2008 7238 8648 3/15/2008 7238 8648 3/16/2008 7238 8648 3/17/2008 7101 8571 3/18/2008 7707 8935 3/19/2008 7340 8718 3/20/2008 7690 8927 3/21/2008 7690 8927 3/22/2008 7690 8927 3/23/2008 7690 8927 3/24/2008 7925 9064 3/25/2008 7959 9085 3/26/2008 7818 9006 3/27/2008 7644 8904 3/28/2008 7524 8834 3/29/2008 7524 8834 3/30/2008 7524 8834 3/31/2008 7600 8884 4/1/2008 8154 9203 4/2/2008 8127 9187 4/3/2008 8145 9199 4/4/2008 8161 9207 4/5/2008 8161 9207 4/6/2008 8161 9207 4/7/2008 8178 9221 4/8/2008 8102 9177 4/9/2008 7973 9104 4/10/2008 8039 9145 4/11/2008 7714 8959 4/12/2008 7714 8959 4/13/2008 7714 8959 4/14/2008 7662 8929 4/15/2008 7737 8970 4/16/2008 8075 9175 4/17/2008 8091 9181 4/18/2008 8388 9347 4/19/2008 8388 9347 4/20/2008 8388 9347 4/21/2008 8361 9333 4/22/2008 8217 9251 4/23/2008 8260 9278 4/24/2008 8363 9338 4/25/2008 8473 9398 4/26/2008 8473 9398 4/27/2008 8473 9398 4/28/2008 8455 9389 4/29/2008 8386 9353 4/30/2008 8315 9317 5/1/2008 8610 9478 5/2/2008 8661 9509 5/3/2008 8661 9509 5/4/2008 8661 9509 5/5/2008 8583 9467 5/6/2008 8718 9540 5/7/2008 8401 9371 5/8/2008 8465 9406 5/9/2008 8353 9344 5/10/2008 8353 9344 5/11/2008 8353 9344 5/12/2008 8540 9447 5/13/2008 8535 9446 5/14/2008 8605 9485 5/15/2008 8791 9588 5/16/2008 8807 9600 5/17/2008 8807 9600 5/18/2008 8807 9600 5/19/2008 8826 9609 5/20/2008 8668 9520 5/21/2008 8382 9368 5/22/2008 8425 9394 5/23/2008 8206 9270 5/24/2008 8206 9270 5/25/2008 8206 9270 5/26/2008 8206 9270 5/27/2008 8315 9333 5/28/2008 8388 9372 5/29/2008 8475 9423 5/30/2008 8494 9438 5/31/2008 8494 9438 6/1/2008 8494 9438 6/2/2008 8320 9339 6/3/2008 8223 9285 6/4/2008 8225 9287 6/5/2008 8543 9468 6/6/2008 8016 9177 6/7/2008 8016 9177 6/8/2008 8016 9177 6/9/2008 8036 9185 6/10/2008 7988 9162 6/11/2008 7724 9009 6/12/2008 7777 9040 6/13/2008 8008 9176 6/14/2008 8008 9176 6/15/2008 8008 9176 6/16/2008 8008 9177 6/17/2008 7898 9115 6/18/2008 7749 9026 6/19/2008 7804 9062 6/20/2008 7512 8894 6/21/2008 7512 8894 6/22/2008 7512 8894 6/23/2008 7516 8895 6/24/2008 7473 8870 6/25/2008 7559 8922 6/26/2008 7120 8663 6/27/2008 7070 8631 6/28/2008 7070 8631 6/29/2008 7070 8631 6/30/2008 7081 8642 7/1/2008 7136 8677 7/2/2008 6879 8519 7/3/2008 6893 8529 7/4/2008 6893 8529 7/5/2008 6893 8529 7/6/2008 6893 8529 7/7/2008 6776 8457 7/8/2008 7015 8605 7/9/2008 6696 8410 7/10/2008 6792 8469 7/11/2008 6642 8376 7/12/2008 6642 8376 7/13/2008 6642 8376 7/14/2008 6518 8300 7/15/2008 6373 8210 7/16/2008 6692 8417 7/17/2008 6851 8518 7/18/2008 6852 8520 7/19/2008 6852 8520 7/20/2008 6852 8520 7/21/2008 6850 8516 7/22/2008 7034 8631 7/23/2008 7092 8666 7/24/2008 6769 8466 7/25/2008 6815 8501 7/26/2008 6815 8501 7/27/2008 6815 8501 7/28/2008 6566 8343 7/29/2008 6869 8539 7/30/2008 7099 8682 7/31/2008 6914 8569 8/1/2008 6836 8522 8/2/2008 6836 8522 8/3/2008 6836 8522 8/4/2008 6710 8445 8/5/2008 7096 8689 8/6/2008 7154 8722 8/7/2008 6901 8566 8/8/2008 7223 8771 8/9/2008 7223 8771 8/10/2008 7223 8771 8/11/2008 7328 8834 8/12/2008 7157 8728 8/13/2008 7115 8705 8/14/2008 7193 8754 8/15/2008 7252 8790 8/16/2008 7252 8790 8/17/2008 7252 8790 8/18/2008 7037 8658 8/19/2008 6905 8578 8/20/2008 6990 8632 8/21/2008 7022 8654 8/22/2008 7184 8753 8/23/2008 7184 8753 8/24/2008 7184 8753 8/25/2008 6904 8582 8/26/2008 6952 8613 8/27/2008 7062 8684 8/28/2008 7271 8814 8/29/2008 7076 8693 8/30/2008 7076 8693 8/31/2008 7076 8693 9/1/2008 7076 8693 9/2/2008 7014 8658 9/3/2008 6994 8645 9/4/2008 6572 8386 9/5/2008 6632 8424 9/6/2008 6632 8424 9/7/2008 6632 8424 9/8/2008 6906 8598 9/9/2008 6435 8305 9/10/2008 6510 8356 9/11/2008 6700 8474 9/12/2008 6727 8492 9/13/2008 6727 8492 9/14/2008 6727 8492 9/15/2008 6103 8092 9/16/2008 6306 8234 9/17/2008 5713 7846 9/18/2008 6199 8188 9/19/2008 6691 8518 9/20/2008 6691 8518 9/21/2008 6691 8518 9/22/2008 6197 8193 9/23/2008 6002 8065 9/24/2008 6005 8049 9/25/2008 6248 8207 9/26/2008 6283 8235 9/27/2008 6283 8235 9/28/2008 6283 8235 9/29/2008 5295 7512 9/30/2008 5764 7919 10/1/2008 5702 7884 10/2/2008 5237 7568 10/3/2008 5110 7465 10/4/2008 5110 7465 10/5/2008 5110 7465 10/6/2008 4735 7178 10/7/2008 4161 6766 10/8/2008 4056 6693 10/9/2008 3476 6183 10/10/2008 3384 6111 10/11/2008 3384 6111 10/12/2008 3384 6111 10/13/2008 4178 6819 10/14/2008 4114 6783 10/15/2008 3349 6171 10/16/2008 3638 6433 10/17/2008 3595 6393 10/18/2008 3595 6393 10/19/2008 3595 6393 10/20/2008 3932 6698 10/21/2008 3681 6492 10/22/2008 3264 6097 10/23/2008 3321 6174 10/24/2008 3067 5961 10/25/2008 3067 5961 10/26/2008 3067 5961 10/27/2008 2876 5772 10/28/2008 3512 6395 10/29/2008 3396 6325 10/30/2008 3611 6489 10/31/2008 3732 6589 11/1/2008 3732 6589 11/2/2008 3732 6589 11/3/2008 3693 6572 11/4/2008 3991 6841 11/5/2008 3585 6484 11/6/2008 3226 6160 11/7/2008 3407 6340 11/8/2008 3407 6340 11/9/2008 3407 6340 11/10/2008 3333 6260 11/11/2008 3179 6123 11/12/2008 2856 5807 11/13/2008 3249 6210 11/14/2008 2974 5952 11/15/2008 2974 5952 11/16/2008 2974 5952 11/17/2008 2824 5799 11/18/2008 2879 5857 11/19/2008 2538 5499 11/20/2008 2196 5131 11/21/2008 2469 5456 11/22/2008 2469 5456 11/23/2008 2469 5456 11/24/2008 2768 5809 11/25/2008 2827 5848 11/26/2008 3024 6057 11/27/2008 3024 6057 11/28/2008 3086 6116 11/29/2008 3086 6116 11/30/2008 3086 6116 12/1/2008 2536 5570 12/2/2008 2743 5793 12/3/2008 2885 5946 12/4/2008 2716 5772 12/5/2008 2912 5983 12/6/2008 2912 5983 12/7/2008 2912 5983 12/8/2008 3128 6214 12/9/2008 2997 6070 12/10/2008 3063 6143 12/11/2008 2897 5969 12/12/2008 2930 6011 12/13/2008 2930 6011 12/14/2008 2930 6011 12/15/2008 2863 5935 12/16/2008 3156 6240 12/17/2008 3088 6181 12/18/2008 2957 6050 12/19/2008 2954 6068 12/20/2008 2954 6068 12/21/2008 2954 6068 12/22/2008 2852 5957 12/23/2008 2800 5901 12/24/2008 2833 5938 12/25/2008 2833 5938 12/26/2008 2865 5969 12/27/2008 2865 5969 12/28/2008 2865 5969 12/29/2008 2851 5948 12/30/2008 2982 6095 12/31/2008 3070 6181 1/1/2009 3070 6181 1/2/2009 3259 6378 1/3/2009 3259 6378 1/4/2009 3259 6378 1/5/2009 3236 6348 1/6/2009 3284 6398 1/7/2009 3086 6209 1/8/2009 3108 6231 1/9/2009 2976 6098 1/10/2009 2976 6098 1/11/2009 2976 6098 1/12/2009 2837 5960 1/13/2009 2845 5971 1/14/2009 2660 5772 1/15/2009 2666 5780 1/16/2009 2704 5823 1/17/2009 2704 5823 1/18/2009 2704 5823 1/19/2009 2704 5823 1/20/2009 2419 5516 1/21/2009 2631 5757 1/22/2009 2553 5670 1/23/2009 2578 5701 1/24/2009 2578 5701 1/25/2009 2578 5701 1/26/2009 2606 5732 1/27/2009 2666 5795 1/28/2009 2845 5990 1/29/2009 2658 5792 1/30/2009 2537 5660 1/31/2009 2537 5660 2/1/2009 2537 5660 2/2/2009 2532 5657 2/3/2009 2610 5747 2/4/2009 2579 5708 2/5/2009 2660 5802 2/6/2009 2807 5960 2/7/2009 2807 5960 2/8/2009 2807 5960 2/9/2009 2816 5969 2/10/2009 2544 5676 2/11/2009 2583 5724 2/12/2009 2590 5735 2/13/2009 2537 5678 2/14/2009 2537 5678 2/15/2009 2537 5678 2/16/2009 2537 5678 2/17/2009 2311 5421 2/18/2009 2303 5417 2/19/2009 2255 5355 2/20/2009 2204 5295 2/21/2009 2204 5295 2/22/2009 2204 5295 2/23/2009 2049 5112 2/24/2009 2210 5317 2/25/2009 2168 5261 2/26/2009 2099 5179 2/27/2009 2002 5057 2/28/2009 2002 5057 3/1/2009 2002 5057 3/2/2009 1816 4822 3/3/2009 1788 4791 3/4/2009 1874 4906 3/5/2009 1717 4698 3/6/2009 1721 4705 3/7/2009 1721 4705 3/8/2009 1721 4705 3/9/2009 1685 4658 3/10/2009 1897 4955 3/11/2009 1911 4969 3/12/2009 2067 5172 3/13/2009 2099 5213 3/14/2009 2099 5213 3/15/2009 2099 5213 3/16/2009 2086 5194 3/17/2009 2216 5361 3/18/2009 2308 5473 3/19/2009 2250 5402 3/20/2009 2158 5296 3/21/2009 2158 5296 3/22/2009 2158 5296 3/23/2009 2468 5672 3/24/2009 2368 5556 3/25/2009 2413 5609 3/26/2009 2521 5740 3/27/2009 2424 5625 3/28/2009 2424 5625 3/29/2009 2424 5625 3/30/2009 2257 5429 3/31/2009 2307 5500 4/1/2009 2390 5593 4/2/2009 2527 5754 4/3/2009 2576 5810 4/4/2009 2576 5810 4/5/2009 2576 5810 4/6/2009 2534 5762 4/7/2009 2416 5628 4/8/2009 2473 5694 4/9/2009 2663 5911 4/10/2009 2663 5911 4/11/2009 2663 5911 4/12/2009 2663 5911 4/13/2009 2673 5926 4/14/2009 2572 5808 4/15/2009 2631 5881 4/16/2009 2712 5972 4/17/2009 2740 6002 4/18/2009 2740 6002 4/19/2009 2740 6002 4/20/2009 2510 5745 4/21/2009 2612 5867 4/22/2009 2575 5823 4/23/2009 2627 5881 4/24/2009 2710 5980 4/25/2009 2710 5980 4/26/2009 2710 5980 4/27/2009 2659 5920 4/28/2009 2643 5904 4/29/2009 2756 6032 4/30/2009 2755 6027 5/1/2009 2783 6060 5/2/2009 2783 6060 5/3/2009 2783 6060 5/4/2009 2974 6265 5/5/2009 2950 6242 5/6/2009 3054 6353 5/7/2009 2972 6269 5/8/2009 3114 6420 5/9/2009 3114 6420 5/10/2009 3114 6420 5/11/2009 2987 6284 5/12/2009 2979 6278 5/13/2009 2827 6112 5/14/2009 2876 6176 5/15/2009 2820 6107 5/16/2009 2820 6107 5/17/2009 2820 6107 5/18/2009 2987 6293 5/19/2009 2978 6283 5/20/2009 2945 6251 5/21/2009 2852 6148 5/22/2009 2840 6139 5/23/2009 2840 6139 5/24/2009 2840 6139 5/25/2009 2840 6139 5/26/2009 2990 6301 5/27/2009 2878 6182 5/28/2009 2964 6279 5/29/2009 3059 6364 5/30/2009 3059 6364 5/31/2009 3059 6364 6/1/2009 3207 6529 6/2/2009 3220 6541 6/3/2009 3133 6453 6/4/2009 3201 6528 6/5/2009 3191 6512 6/6/2009 3191 6512 6/7/2009 3191 6512 6/8/2009 3179 6507 6/9/2009 3205 6530 6/10/2009 3184 6508 6/11/2009 3221 6549 6/12/2009 3233 6558 6/13/2009 3233 6558 6/14/2009 3233 6558 6/15/2009 3080 6403 6/16/2009 3001 6321 6/17/2009 2993 6313 6/18/2009 3040 6367 6/19/2009 3061 6386 6/20/2009 3061 6386 6/21/2009 3061 6386 6/22/2009 2876 6192 6/23/2009 2887 6206 6/24/2009 2927 6247 6/25/2009 3052 6381 6/26/2009 3042 6373 6/27/2009 3042 6373 6/28/2009 3042 6373 6/29/2009 3099 6431 6/30/2009 3047 6377 7/1/2009 3073 6405 7/2/2009 2895 6219 7/3/2009 2895 6219 7/4/2009 2895 6219 7/5/2009 2895 6219 7/6/2009 2906 6235 7/7/2009 2793 6112 7/8/2009 2788 6105 7/9/2009 2804 6127 7/10/2009 2784 6102 7/11/2009 2784 6102 7/12/2009 2784 6102 7/13/2009 2923 6255 7/14/2009 2956 6289 7/15/2009 3129 6475 7/16/2009 3185 6531 7/17/2009 3182 6529 7/18/2009 3182 6529 7/19/2009 3182 6529 7/20/2009 3253 6603 7/21/2009 3279 6627 7/22/2009 3276 6625 7/23/2009 3427 6779 7/24/2009 3450 6800 7/25/2009 3450 6800 7/26/2009 3450 6800 7/27/2009 3470 6820 7/28/2009 3451 6803 7/29/2009 3421 6772 7/30/2009 3500 6854 7/31/2009 3507 6859 8/1/2009 3507 6859 8/2/2009 3507 6859 8/3/2009 3616 6964 8/4/2009 3638 6985 8/5/2009 3618 6967 8/6/2009 3579 6929 8/7/2009 3674 7022 8/8/2009 3674 7022 8/9/2009 3674 7022 8/10/2009 3652 6999 8/11/2009 3560 6912 8/12/2009 3644 6995 8/13/2009 3695 7043 8/14/2009 3633 6983 8/15/2009 3633 6983 8/16/2009 3633 6983 8/17/2009 3458 6815 8/18/2009 3528 6886 8/19/2009 3578 6934 8/20/2009 3656 7010 8/21/2009 3794 7142 8/22/2009 3794 7142 8/23/2009 3794 7142 8/24/2009 3791 7138 8/25/2009 3807 7155 8/26/2009 3809 7157 8/27/2009 3831 7177 8/28/2009 3818 7164 8/29/2009 3818 7164 8/30/2009 3818 7164 8/31/2009 3757 7107 9/1/2009 3589 6950 9/2/2009 3567 6928 9/3/2009 3627 6988 9/4/2009 3724 7080 9/5/2009 3724 7080 9/6/2009 3724 7080 9/7/2009 3724 7080 9/8/2009 3791 7144 9/9/2009 3850 7200 9/10/2009 3930 7275 9/11/2009 3922 7267 9/12/2009 3922 7267 9/13/2009 3922 7267 9/14/2009 3971 7313 9/15/2009 3996 7336 9/16/2009 4119 7449 9/17/2009 4095 7427 9/18/2009 4115 7446 9/19/2009 4115 7446 9/20/2009 4115 7446 9/21/2009 4087 7421 9/22/2009 4141 7470 9/23/2009 4059 7395 9/24/2009 3982 7326 9/25/2009 3934 7281 9/26/2009 3934 7281 9/27/2009 3934 7281 9/28/2009 4075 7412 9/29/2009 4056 7396 9/30/2009 4030 7372 10/1/2009 3823 7182 10/2/2009 3789 7150 10/3/2009 3789 7150 10/4/2009 3789 7150 10/5/2009 3901 7256 10/6/2009 4008 7356 10/7/2009 4034 7380 10/8/2009 4094 7435 10/9/2009 4139 7477 10/10/2009 4139 7477 10/11/2009 4139 7477 10/12/2009 4176 7510 10/13/2009 4154 7489 10/14/2009 4301 7621 10/15/2009 4335 7653 10/16/2009 4265 7591 10/17/2009 4265 7591 10/18/2009 4265 7591 10/19/2009 4345 7662 10/20/2009 4291 7614 10/21/2009 4216 7548 10/22/2009 4305 7629 10/23/2009 4201 7536 10/24/2009 4201 7536 10/25/2009 4201 7536 10/26/2009 4102 7448 10/27/2009 4075 7423 10/28/2009 3918 7279 10/29/2009 4093 7444 10/30/2009 3863 7235 10/31/2009 3863 7235
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/05/2007) -------- --------------- RYDEXSGI 2X S&P 500 ETF..................................... 3.51% -38.01% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.02%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 9 RYDEXSGI 2x S&P 500 ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ EXXON MOBIL CORP. 3.19% MICROSOFT CORP. 1.99% PROCTER & GAMBLE CO. 1.57% APPLE, INC. 1.57% JPMORGAN CHASE & CO. 1.52% JOHNSON & JOHNSON, INC. 1.51% INTERNATIONAL BUSINESS MACHINES CORP. 1.47% CHEVRON CORP. 1.42% GENERAL ELECTRIC CO. 1.40% AT&T, INC. 1.40% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Information Technology 19.04 Financials 14.66 Health Care 12.65 Energy 12.35 Consumer Staples 11.93 Industrials 10.04 Consumer Discretionary 9.17 Utilities 3.68 Materials 3.39 Telecommunication Services 3.09
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's equity investments market value. These percentages may change over time. 10 RYDEXSGI INVERSE 2x S&P 500 ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI Inverse 2x S&P 500 ETF (RSW) achieved a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the S&P 500(R) Total Return Index. RydexSGI Inverse 2x S&P 500 ETF delivered a -41.45% total return compared to the S&P 500, which came in at 9.80%. The biggest performance contributors were the information technology (31.44%) and consumer discretionary (20.83%) sectors. The beaten-down financials sector was the biggest performance detractor, down 6.87% for the period. The global financial crisis continued to weigh heavily on stocks through the beginning of the period. The combination of the government making it clear that it would not let another major bank go bankrupt with improving economic indicators led to a strong 50% rally in the S&P 500 from its March 2009 lows. The Volatility Index (VIX) gradually fell back into the 20% to 30% range as the crisis subsided. Gross domestic product (GDP) showed that the economy pulled out of recession during the 2nd quarter of 2009. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: NOVEMBER 5, 2007 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI INVERSE S&P 500 2X S&P TOTAL RETURN 500 ETF INDEX ----------------- ------------ 11/5/2007 10000 10000 11/6/2007 9757 10121 11/7/2007 10332 9829 11/8/2007 10352 9823 11/9/2007 10667 9683 11/10/2007 10667 9683 11/11/2007 10667 9683 11/12/2007 10880 9587 11/13/2007 10244 9869 11/14/2007 10399 9802 11/15/2007 10667 9673 11/16/2007 10571 9723 11/17/2007 10571 9723 11/18/2007 10571 9723 11/19/2007 10940 9554 11/20/2007 10845 9597 11/21/2007 11209 9445 11/22/2007 11209 9445 11/23/2007 10841 9605 11/24/2007 10841 9605 11/25/2007 10841 9605 11/26/2007 11351 9382 11/27/2007 10997 9523 11/28/2007 10368 9798 11/29/2007 10367 9803 11/30/2007 10205 9879 12/1/2007 10205 9879 12/2/2007 10205 9879 12/3/2007 10337 9822 12/4/2007 10475 9757 12/5/2007 10155 9911 12/6/2007 9851 10061 12/7/2007 9901 10043 12/8/2007 9901 10043 12/9/2007 9901 10043 12/10/2007 9744 10119 12/11/2007 10252 9863 12/12/2007 10120 9924 12/13/2007 10100 9937 12/14/2007 10389 9800 12/15/2007 10389 9800 12/16/2007 10389 9800 12/17/2007 10701 9653 12/18/2007 10577 9714 12/19/2007 10608 9701 12/20/2007 10495 9751 12/21/2007 10144 9915 12/22/2007 10144 9915 12/23/2007 10144 9915 12/24/2007 9980 9996 12/25/2007 9980 9996 12/26/2007 9980 10004 12/27/2007 10260 9864 12/28/2007 10252 9878 12/29/2007 10252 9878 12/30/2007 10252 9878 12/31/2007 10411 9811 1/1/2008 10411 9811 1/2/2008 10696 9671 1/3/2008 10703 9671 1/4/2008 11245 9434 1/5/2008 11245 9434 1/6/2008 11245 9434 1/7/2008 11163 9464 1/8/2008 11583 9294 1/9/2008 11265 9421 1/10/2008 11096 9496 1/11/2008 11396 9368 1/12/2008 11396 9368 1/13/2008 11396 9368 1/14/2008 11159 9469 1/15/2008 11719 9233 1/16/2008 11863 9183 1/17/2008 12556 8916 1/18/2008 12709 8862 1/19/2008 12709 8862 1/20/2008 12709 8862 1/21/2008 12709 8862 1/22/2008 13012 8764 1/23/2008 12460 8952 1/24/2008 12226 9042 1/25/2008 12613 8899 1/26/2008 12613 8899 1/27/2008 12613 8899 1/28/2008 12168 9055 1/29/2008 12034 9112 1/30/2008 12159 9069 1/31/2008 11777 9222 2/1/2008 11447 9335 2/2/2008 11447 9335 2/3/2008 11447 9335 2/4/2008 11690 9238 2/5/2008 12433 8943 2/6/2008 12621 8878 2/7/2008 12418 8951 2/8/2008 12536 8913 2/9/2008 12536 8913 2/10/2008 12536 8913 2/11/2008 12392 8966 2/12/2008 12208 9032 2/13/2008 11880 9158 2/14/2008 12192 9035 2/15/2008 12181 9044 2/16/2008 12181 9044 2/17/2008 12181 9044 2/18/2008 12181 9044 2/19/2008 12201 9036 2/20/2008 12002 9112 2/21/2008 12301 8998 2/22/2008 12100 9070 2/23/2008 12100 9070 2/24/2008 12100 9070 2/25/2008 11781 9195 2/26/2008 11619 9259 2/27/2008 11642 9253 2/28/2008 11848 9171 2/29/2008 12488 8923 3/1/2008 12488 8923 3/2/2008 12488 8923 3/3/2008 12483 8928 3/4/2008 12574 8897 3/5/2008 12432 8948 3/6/2008 12978 8752 3/7/2008 13206 8679 3/8/2008 13206 8679 3/9/2008 13206 8679 3/10/2008 13608 8545 3/11/2008 12610 8863 3/12/2008 12831 8786 3/13/2008 12701 8831 3/14/2008 13235 8648 3/15/2008 13235 8648 3/16/2008 13235 8648 3/17/2008 13476 8571 3/18/2008 12339 8935 3/19/2008 12945 8718 3/20/2008 12339 8927 3/21/2008 12339 8927 3/22/2008 12339 8927 3/23/2008 12339 8927 3/24/2008 11964 9064 3/25/2008 11910 9085 3/26/2008 12120 9006 3/27/2008 12394 8904 3/28/2008 12594 8834 3/29/2008 12594 8834 3/30/2008 12594 8834 3/31/2008 12456 8884 4/1/2008 11565 9203 4/2/2008 11608 9187 4/3/2008 11580 9199 4/4/2008 11568 9207 4/5/2008 11568 9207 4/6/2008 11568 9207 4/7/2008 11535 9221 4/8/2008 11646 9177 4/9/2008 11835 9104 4/10/2008 11732 9145 4/11/2008 12214 8959 4/12/2008 12214 8959 4/13/2008 12214 8959 4/14/2008 12298 8929 4/15/2008 12185 8970 4/16/2008 11637 9175 4/17/2008 11622 9181 4/18/2008 11204 9347 4/19/2008 11204 9347 4/20/2008 11204 9347 4/21/2008 11241 9333 4/22/2008 11441 9251 4/23/2008 11378 9278 4/24/2008 11233 9338 4/25/2008 11092 9398 4/26/2008 11092 9398 4/27/2008 11092 9398 4/28/2008 11116 9389 4/29/2008 11203 9353 4/30/2008 11292 9317 5/1/2008 10905 9478 5/2/2008 10841 9509 5/3/2008 10841 9509 5/4/2008 10841 9509 5/5/2008 10940 9467 5/6/2008 10772 9540 5/7/2008 11157 9371 5/8/2008 11076 9406 5/9/2008 11226 9344 5/10/2008 11226 9344 5/11/2008 11226 9344 5/12/2008 10979 9447 5/13/2008 10984 9446 5/14/2008 10896 9485 5/15/2008 10661 9588 5/16/2008 10641 9600 5/17/2008 10641 9600 5/18/2008 10641 9600 5/19/2008 10621 9609 5/20/2008 10817 9520 5/21/2008 11168 9368 5/22/2008 11109 9394 5/23/2008 11406 9270 5/24/2008 11406 9270 5/25/2008 11406 9270 5/26/2008 11406 9270 5/27/2008 11255 9333 5/28/2008 11161 9372 5/29/2008 11043 9423 5/30/2008 11018 9438 5/31/2008 11018 9438 6/1/2008 11018 9438 6/2/2008 11246 9339 6/3/2008 11378 9285 6/4/2008 11376 9287 6/5/2008 10932 9468 6/6/2008 11616 9177 6/7/2008 11616 9177 6/8/2008 11616 9177 6/9/2008 11594 9185 6/10/2008 11658 9162 6/11/2008 12044 9009 6/12/2008 11964 9040 6/13/2008 11611 9176 6/14/2008 11611 9176 6/15/2008 11611 9176 6/16/2008 11611 9177 6/17/2008 11771 9115 6/18/2008 11996 9026 6/19/2008 11908 9062 6/20/2008 12357 8894 6/21/2008 12357 8894 6/22/2008 12357 8894 6/23/2008 12353 8895 6/24/2008 12425 8870 6/25/2008 12283 8922 6/26/2008 12997 8663 6/27/2008 13093 8631 6/28/2008 13093 8631 6/29/2008 13093 8631 6/30/2008 13071 8642 7/1/2008 12968 8677 7/2/2008 13443 8519 7/3/2008 13424 8529 7/4/2008 13424 8529 7/5/2008 13424 8529 7/6/2008 13424 8529 7/7/2008 13652 8457 7/8/2008 13178 8605 7/9/2008 13780 8410 7/10/2008 13586 8469 7/11/2008 13888 8376 7/12/2008 13888 8376 7/13/2008 13888 8376 7/14/2008 14143 8300 7/15/2008 14455 8210 7/16/2008 13738 8417 7/17/2008 13416 8518 7/18/2008 13415 8520 7/19/2008 13415 8520 7/20/2008 13415 8520 7/21/2008 13427 8516 7/22/2008 13065 8631 7/23/2008 12960 8666 7/24/2008 13559 8466 7/25/2008 13461 8501 7/26/2008 13461 8501 7/27/2008 13461 8501 7/28/2008 13958 8343 7/29/2008 13313 8539 7/30/2008 12869 8682 7/31/2008 13204 8569 8/1/2008 13356 8522 8/2/2008 13356 8522 8/3/2008 13356 8522 8/4/2008 13601 8445 8/5/2008 12820 8689 8/6/2008 12721 8722 8/7/2008 13174 8566 8/8/2008 12557 8771 8/9/2008 12557 8771 8/10/2008 12557 8771 8/11/2008 12375 8834 8/12/2008 12670 8728 8/13/2008 12741 8705 8/14/2008 12603 8754 8/15/2008 12500 8790 8/16/2008 12500 8790 8/17/2008 12500 8790 8/18/2008 12876 8658 8/19/2008 13116 8578 8/20/2008 12956 8632 8/21/2008 12894 8654 8/22/2008 12601 8753 8/23/2008 12601 8753 8/24/2008 12601 8753 8/25/2008 13096 8582 8/26/2008 13007 8613 8/27/2008 12799 8684 8/28/2008 12420 8814 8/29/2008 12756 8693 8/30/2008 12756 8693 8/31/2008 12756 8693 9/1/2008 12756 8693 9/2/2008 12868 8658 9/3/2008 12908 8645 9/4/2008 13683 8386 9/5/2008 13564 8424 9/6/2008 13564 8424 9/7/2008 13564 8424 9/8/2008 13009 8598 9/9/2008 13902 8305 9/10/2008 13736 8356 9/11/2008 13345 8474 9/12/2008 13291 8492 9/13/2008 13291 8492 9/14/2008 13291 8492 9/15/2008 14538 8092 9/16/2008 14044 8234 9/17/2008 15363 7846 9/18/2008 14035 8188 9/19/2008 12974 8518 9/20/2008 12974 8518 9/21/2008 12974 8518 9/22/2008 13909 8193 9/23/2008 14353 8065 9/24/2008 14305 8049 9/25/2008 13687 8207 9/26/2008 13619 8235 9/27/2008 13619 8235 9/28/2008 13619 8235 9/29/2008 15559 7512 9/30/2008 14417 7919 10/1/2008 14575 7884 10/2/2008 15756 7568 10/3/2008 16103 7465 10/4/2008 16103 7465 10/5/2008 16103 7465 10/6/2008 17250 7178 10/7/2008 19382 6766 10/8/2008 19939 6693 10/9/2008 22621 6183 10/10/2008 23337 6111 10/11/2008 23337 6111 10/12/2008 23337 6111 10/13/2008 17896 6819 10/14/2008 18496 6783 10/15/2008 21852 6171 10/16/2008 20075 6433 10/17/2008 20287 6393 10/18/2008 20287 6393 10/19/2008 20287 6393 10/20/2008 18396 6698 10/21/2008 19611 6492 10/22/2008 21723 6097 10/23/2008 21314 6174 10/24/2008 22994 5961 10/25/2008 22994 5961 10/26/2008 22994 5961 10/27/2008 24333 5772 10/28/2008 18940 6395 10/29/2008 19941 6325 10/30/2008 18516 6489 10/31/2008 17827 6589 11/1/2008 17827 6589 11/2/2008 17827 6589 11/3/2008 18087 6572 11/4/2008 16669 6841 11/5/2008 18327 6484 11/6/2008 20192 6160 11/7/2008 19073 6340 11/8/2008 19073 6340 11/9/2008 19073 6340 11/10/2008 19459 6260 11/11/2008 20386 6123 11/12/2008 22401 5807 11/13/2008 19323 6210 11/14/2008 21050 5952 11/15/2008 21050 5952 11/16/2008 21050 5952 11/17/2008 22091 5799 11/18/2008 21661 5857 11/19/2008 24211 5499 11/20/2008 27480 5131 11/21/2008 24112 5456 11/22/2008 24112 5456 11/23/2008 24112 5456 11/24/2008 21433 5809 11/25/2008 20769 5848 11/26/2008 19300 6057 11/27/2008 19300 6057 11/28/2008 18887 6116 11/29/2008 18887 6116 11/30/2008 18887 6116 12/1/2008 22259 5570 12/2/2008 20509 5793 12/3/2008 19468 5946 12/4/2008 20589 5772 12/5/2008 19110 5983 12/6/2008 19110 5983 12/7/2008 19110 5983 12/8/2008 17717 6214 12/9/2008 18410 6070 12/10/2008 18069 6143 12/11/2008 18895 5969 12/12/2008 18717 6011 12/13/2008 18717 6011 12/14/2008 18717 6011 12/15/2008 19076 5935 12/16/2008 17363 6240 12/17/2008 17707 6181 12/18/2008 18354 6050 12/19/2008 18411 6068 12/20/2008 18411 6068 12/21/2008 18411 6068 12/22/2008 18936 5957 12/23/2008 19224 5901 12/24/2008 19023 5938 12/25/2008 19023 5938 12/26/2008 18837 5969 12/27/2008 18837 5969 12/28/2008 18837 5969 12/29/2008 18899 5948 12/30/2008 18152 6095 12/31/2008 17680 6181 1/1/2009 17680 6181 1/2/2009 16589 6378 1/3/2009 16589 6378 1/4/2009 16589 6378 1/5/2009 16683 6348 1/6/2009 16448 6398 1/7/2009 17447 6209 1/8/2009 17322 6231 1/9/2009 18055 6098 1/10/2009 18055 6098 1/11/2009 18055 6098 1/12/2009 18925 5960 1/13/2009 18897 5971 1/14/2009 20069 5772 1/15/2009 20029 5780 1/16/2009 19750 5823 1/17/2009 19750 5823 1/18/2009 19750 5823 1/19/2009 19750 5823 1/20/2009 21800 5516 1/21/2009 19918 5757 1/22/2009 20504 5670 1/23/2009 20327 5701 1/24/2009 20327 5701 1/25/2009 20327 5701 1/26/2009 20098 5732 1/27/2009 19605 5795 1/28/2009 18313 5990 1/29/2009 19519 5792 1/30/2009 20404 5660 1/31/2009 20404 5660 2/1/2009 20404 5660 2/2/2009 20457 5657 2/3/2009 19849 5747 2/4/2009 20055 5708 2/5/2009 19447 5802 2/6/2009 18365 5960 2/7/2009 18365 5960 2/8/2009 18365 5960 2/9/2009 18303 5969 2/10/2009 20066 5676 2/11/2009 19763 5724 2/12/2009 19724 5735 2/13/2009 20126 5678 2/14/2009 20126 5678 2/15/2009 20126 5678 2/16/2009 20126 5678 2/17/2009 21886 5421 2/18/2009 21971 5417 2/19/2009 22409 5355 2/20/2009 22909 5295 2/21/2009 22909 5295 2/22/2009 22909 5295 2/23/2009 24537 5112 2/24/2009 22637 5317 2/25/2009 23036 5261 2/26/2009 23768 5179 2/27/2009 24851 5057 2/28/2009 24851 5057 3/1/2009 24851 5057 3/2/2009 27007 4822 3/3/2009 27412 4791 3/4/2009 26110 4906 3/5/2009 28285 4698 3/6/2009 28207 4705 3/7/2009 28207 4705 3/8/2009 28207 4705 3/9/2009 28809 4658 3/10/2009 25184 4955 3/11/2009 24987 4969 3/12/2009 22959 5172 3/13/2009 22593 5213 3/14/2009 22593 5213 3/15/2009 22593 5213 3/16/2009 22734 5194 3/17/2009 21309 5361 3/18/2009 20440 5473 3/19/2009 20959 5402 3/20/2009 21811 5296 3/21/2009 21811 5296 3/22/2009 21811 5296 3/23/2009 18681 5672 3/24/2009 19452 5556 3/25/2009 19083 5609 3/26/2009 18207 5740 3/27/2009 18923 5625 3/28/2009 18923 5625 3/29/2009 18923 5625 3/30/2009 20245 5429 3/31/2009 19754 5500 4/1/2009 19067 5593 4/2/2009 17959 5754 4/3/2009 17608 5810 4/4/2009 17608 5810 4/5/2009 17608 5810 4/6/2009 17899 5762 4/7/2009 18736 5628 4/8/2009 18293 5694 4/9/2009 16883 5911 4/10/2009 16883 5911 4/11/2009 16883 5911 4/12/2009 16883 5911 4/13/2009 16811 5926 4/14/2009 17463 5808 4/15/2009 17042 5881 4/16/2009 16514 5972 4/17/2009 16345 6002 4/18/2009 16345 6002 4/19/2009 16345 6002 4/20/2009 17732 5745 4/21/2009 16995 5867 4/22/2009 17242 5823 4/23/2009 16898 5881 4/24/2009 16345 5980 4/25/2009 16345 5980 4/26/2009 16345 5980 4/27/2009 16665 5920 4/28/2009 16759 5904 4/29/2009 16035 6032 4/30/2009 16057 6027 5/1/2009 15884 6060 5/2/2009 15884 6060 5/3/2009 15884 6060 5/4/2009 14802 6265 5/5/2009 14914 6242 5/6/2009 14384 6353 5/7/2009 14766 6269 5/8/2009 14056 6420 5/9/2009 14056 6420 5/10/2009 14056 6420 5/11/2009 14645 6284 5/12/2009 14675 6278 5/13/2009 15443 6112 5/14/2009 15133 6176 5/15/2009 15460 6107 5/16/2009 15460 6107 5/17/2009 15460 6107 5/18/2009 14522 6293 5/19/2009 14567 6283 5/20/2009 14719 6251 5/21/2009 15196 6148 5/22/2009 15242 6139 5/23/2009 15242 6139 5/24/2009 15242 6139 5/25/2009 15242 6139 5/26/2009 14443 6301 5/27/2009 14989 6182 5/28/2009 14531 6279 5/29/2009 14089 6364 5/30/2009 14089 6364 5/31/2009 14089 6364 6/1/2009 13386 6529 6/2/2009 13330 6541 6/3/2009 13690 6453 6/4/2009 13379 6528 6/5/2009 13435 6512 6/6/2009 13435 6512 6/7/2009 13435 6512 6/8/2009 13466 6507 6/9/2009 13366 6530 6/10/2009 13457 6508 6/11/2009 13288 6549 6/12/2009 13247 6558 6/13/2009 13247 6558 6/14/2009 13247 6558 6/15/2009 13876 6403 6/16/2009 14232 6321 6/17/2009 14273 6313 6/18/2009 14042 6367 6/19/2009 13949 6386 6/20/2009 13949 6386 6/21/2009 13949 6386 6/22/2009 14795 6192 6/23/2009 14733 6206 6/24/2009 14531 6247 6/25/2009 13902 6381 6/26/2009 13948 6373 6/27/2009 13948 6373 6/28/2009 13948 6373 6/29/2009 13690 6431 6/30/2009 13915 6377 7/1/2009 13796 6405 7/2/2009 14595 6219 7/3/2009 14595 6219 7/4/2009 14595 6219 7/5/2009 14595 6219 7/6/2009 14529 6235 7/7/2009 15100 6112 7/8/2009 15130 6105 7/9/2009 15030 6127 7/10/2009 15144 6102 7/11/2009 15144 6102 7/12/2009 15144 6102 7/13/2009 14387 6255 7/14/2009 14231 6289 7/15/2009 13391 6475 7/16/2009 13157 6531 7/17/2009 13164 6529 7/18/2009 13164 6529 7/19/2009 13164 6529 7/20/2009 12867 6603 7/21/2009 12767 6627 7/22/2009 12777 6625 7/23/2009 12182 6779 7/24/2009 12103 6800 7/25/2009 12103 6800 7/26/2009 12103 6800 7/27/2009 12031 6820 7/28/2009 12093 6803 7/29/2009 12200 6772 7/30/2009 11912 6854 7/31/2009 11895 6859 8/1/2009 11895 6859 8/2/2009 11895 6859 8/3/2009 11523 6964 8/4/2009 11454 6985 8/5/2009 11515 6967 8/6/2009 11640 6929 8/7/2009 11329 7022 8/8/2009 11329 7022 8/9/2009 11329 7022 8/10/2009 11397 6999 8/11/2009 11682 6912 8/12/2009 11407 6995 8/13/2009 11244 7043 8/14/2009 11437 6983 8/15/2009 11437 6983 8/16/2009 11437 6983 8/17/2009 11990 6815 8/18/2009 11749 6886 8/19/2009 11579 6934 8/20/2009 11329 7010 8/21/2009 10897 7142 8/22/2009 10897 7142 8/23/2009 10897 7142 8/24/2009 10906 7138 8/25/2009 10856 7155 8/26/2009 10853 7157 8/27/2009 10791 7177 8/28/2009 10825 7164 8/29/2009 10825 7164 8/30/2009 10825 7164 8/31/2009 10997 7107 9/1/2009 11490 6950 9/2/2009 11562 6928 9/3/2009 11368 6988 9/4/2009 11061 7080 9/5/2009 11061 7080 9/6/2009 11061 7080 9/7/2009 11061 7080 9/8/2009 10863 7144 9/9/2009 10692 7200 9/10/2009 10472 7275 9/11/2009 10487 7267 9/12/2009 10487 7267 9/13/2009 10487 7267 9/14/2009 10361 7313 9/15/2009 10294 7336 9/16/2009 9978 7449 9/17/2009 10028 7427 9/18/2009 9985 7446 9/19/2009 9985 7446 9/20/2009 9985 7446 9/21/2009 10050 7421 9/22/2009 9920 7470 9/23/2009 10111 7395 9/24/2009 10309 7326 9/25/2009 10426 7281 9/26/2009 10426 7281 9/27/2009 10426 7281 9/28/2009 10056 7412 9/29/2009 10103 7396 9/30/2009 10168 7372 10/1/2009 10689 7182 10/2/2009 10786 7150 10/3/2009 10786 7150 10/4/2009 10786 7150 10/5/2009 10466 7256 10/6/2009 10172 7356 10/7/2009 10109 7380 10/8/2009 9957 7435 10/9/2009 9845 7477 10/10/2009 9845 7477 10/11/2009 9845 7477 10/12/2009 9757 7510 10/13/2009 9803 7489 10/14/2009 9462 7621 10/15/2009 9390 7653 10/16/2009 9535 7591 10/17/2009 9535 7591 10/18/2009 9535 7591 10/19/2009 9363 7662 10/20/2009 9469 7614 10/21/2009 9641 7548 10/22/2009 9438 7629 10/23/2009 9660 7536 10/24/2009 9660 7536 10/25/2009 9660 7536 10/26/2009 9887 7448 10/27/2009 9957 7423 10/28/2009 10339 7279 10/29/2009 9885 7444 10/30/2009 10439 7235 10/31/2009 10439 7235
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/05/2007) -------- --------------- RYDEXSGI INVERSE 2X S&P 500 ETF............................. -41.45% 2.18% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.02%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 11 RYDEXSGI 2x S&P MIDCAP 400 ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI 2x S&P MidCap 400 ETF (RMM) achieved a daily correlation of over 99% to its benchmark of 200% the daily price movement of the S&P MidCap 400(R) Total Return Index. The fund returned 14.60% for the one-year period versus the S&P MidCap 400 Total Return Index, which returned 18.18%. The biggest performance contributors were the consumer discretionary (30.57%) and the information technology (35.10%) sectors. The financials sector was the only sector with negative performance for the year. Mid-cap stocks were also hit hard by the economic crisis but managed to pull through better than their large-cap and small-cap counterparts. Throughout the year, mid-cap stocks outperformed relative to large-cap stocks and small-cap stocks. The S&P MidCap 400 Index was up 18.18% compared to a 9.80% gain for the S&P 500(R) Total Return Index and a 6.46% gain for the Russell 2000(R) Total Return Index. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: NOVEMBER 5, 2007 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI 2X S&P MIDCAP S&P MIDCAP 400 TOTAL 400 ETF RETURN INDEX ------------ ------------ 11/5/2007 10000 10000 11/6/2007 10245 10125 11/7/2007 9771 9892 11/8/2007 9849 9931 11/9/2007 9584 9799 11/10/2007 9584 9799 11/11/2007 9584 9799 11/12/2007 9293 9651 11/13/2007 9703 9865 11/14/2007 9615 9820 11/15/2007 9413 9714 11/16/2007 9371 9694 11/17/2007 9371 9694 11/18/2007 9371 9694 11/19/2007 9011 9511 11/20/2007 8988 9499 11/21/2007 8749 9374 11/22/2007 8749 9374 11/23/2007 8972 9497 11/24/2007 8972 9497 11/25/2007 8972 9497 11/26/2007 8687 9347 11/27/2007 8880 9451 11/28/2007 9408 9733 11/29/2007 9407 9733 11/30/2007 9529 9799 12/1/2007 9529 9799 12/2/2007 9529 9799 12/3/2007 9455 9760 12/4/2007 9385 9725 12/5/2007 9659 9869 12/6/2007 10053 10072 12/7/2007 10071 10084 12/8/2007 10071 10084 12/9/2007 10071 10084 12/10/2007 10232 10165 12/11/2007 9627 9865 12/12/2007 9696 9900 12/13/2007 9692 9899 12/14/2007 9383 9742 12/15/2007 9383 9742 12/16/2007 9383 9742 12/17/2007 9064 9578 12/18/2007 9195 9647 12/19/2007 9180 9641 12/20/2007 9395 9754 12/21/2007 9683 9906 12/22/2007 9683 9906 12/23/2007 9683 9906 12/24/2007 9899 10018 12/25/2007 9899 10018 12/26/2007 9847 9993 12/27/2007 9544 9841 12/28/2007 9529 9836 12/29/2007 9529 9836 12/30/2007 9529 9836 12/31/2007 9417 9780 1/1/2008 9417 9780 1/2/2008 9184 9660 1/3/2008 9053 9592 1/4/2008 8527 9317 1/5/2008 8527 9317 1/6/2008 8527 9317 1/7/2008 8480 9293 1/8/2008 8090 9080 1/9/2008 8166 9124 1/10/2008 8315 9207 1/11/2008 8077 9078 1/12/2008 8077 9078 1/13/2008 8077 9078 1/14/2008 8242 9171 1/15/2008 7850 8954 1/16/2008 7771 8911 1/17/2008 7319 8653 1/18/2008 7265 8623 1/19/2008 7265 8623 1/20/2008 7265 8623 1/21/2008 7265 8623 1/22/2008 7192 8582 1/23/2008 7518 8776 1/24/2008 7693 8881 1/25/2008 7553 8802 1/26/2008 7553 8802 1/27/2008 7553 8802 1/28/2008 7907 9006 1/29/2008 8026 9073 1/30/2008 7855 8977 1/31/2008 8194 9178 2/1/2008 8578 9392 2/2/2008 8578 9392 2/3/2008 8578 9392 2/4/2008 8455 9324 2/5/2008 7973 9057 2/6/2008 7782 8950 2/7/2008 7946 9043 2/8/2008 7967 9060 2/9/2008 7967 9060 2/10/2008 7967 9060 2/11/2008 8058 9112 2/12/2008 8094 9132 2/13/2008 8304 9251 2/14/2008 8042 9104 2/15/2008 8005 9082 2/16/2008 8005 9082 2/17/2008 8005 9082 2/18/2008 8005 9082 2/19/2008 8017 9091 2/20/2008 8237 9217 2/21/2008 8018 9095 2/22/2008 8114 9148 2/23/2008 8114 9148 2/24/2008 8114 9148 2/25/2008 8435 9334 2/26/2008 8603 9425 2/27/2008 8523 9380 2/28/2008 8349 9287 2/29/2008 7844 9007 3/1/2008 7844 9007 3/2/2008 7844 9007 3/3/2008 7870 9023 3/4/2008 7775 8970 3/5/2008 7875 9025 3/6/2008 7444 8778 3/7/2008 7297 8693 3/8/2008 7297 8693 3/9/2008 7297 8693 3/10/2008 6996 8511 3/11/2008 7457 8793 3/12/2008 7382 8752 3/13/2008 7573 8864 3/14/2008 7291 8700 3/15/2008 7291 8700 3/16/2008 7291 8700 3/17/2008 6971 8517 3/18/2008 7536 8860 3/19/2008 7160 8640 3/20/2008 7429 8801 3/21/2008 7429 8801 3/22/2008 7429 8801 3/23/2008 7429 8801 3/24/2008 7786 9002 3/25/2008 7936 9093 3/26/2008 7798 9019 3/27/2008 7622 8913 3/28/2008 7484 8834 3/29/2008 7484 8834 3/30/2008 7484 8834 3/31/2008 7623 8915 4/1/2008 8114 9208 4/2/2008 8194 9248 4/3/2008 8259 9286 4/4/2008 8322 9324 4/5/2008 8322 9324 4/6/2008 8322 9324 4/7/2008 8365 9349 4/8/2008 8359 9343 4/9/2008 8094 9198 4/10/2008 8296 9313 4/11/2008 7999 9146 4/12/2008 7999 9146 4/13/2008 7999 9146 4/14/2008 7972 9128 4/15/2008 8047 9176 4/16/2008 8511 9442 4/17/2008 8446 9407 4/18/2008 8704 9551 4/19/2008 8704 9551 4/20/2008 8704 9551 4/21/2008 8720 9555 4/22/2008 8471 9417 4/23/2008 8534 9450 4/24/2008 8658 9524 4/25/2008 8898 9656 4/26/2008 8898 9656 4/27/2008 8898 9656 4/28/2008 8936 9677 4/29/2008 8826 9613 4/30/2008 8794 9602 5/1/2008 9020 9727 5/2/2008 9043 9740 5/3/2008 9043 9740 5/4/2008 9043 9740 5/5/2008 9026 9731 5/6/2008 9170 9809 5/7/2008 8963 9696 5/8/2008 9093 9770 5/9/2008 9106 9778 5/10/2008 9106 9778 5/11/2008 9106 9778 5/12/2008 9319 9893 5/13/2008 9432 9954 5/14/2008 9473 9977 5/15/2008 9700 10095 5/16/2008 9754 10124 5/17/2008 9754 10124 5/18/2008 9754 10124 5/19/2008 9691 10094 5/20/2008 9669 10078 5/21/2008 9370 9924 5/22/2008 9425 9956 5/23/2008 9208 9837 5/24/2008 9208 9837 5/25/2008 9208 9837 5/26/2008 9208 9837 5/27/2008 9355 9919 5/28/2008 9518 10007 5/29/2008 9578 10041 5/30/2008 9701 10110 5/31/2008 9701 10110 6/1/2008 9701 10110 6/2/2008 9546 10025 6/3/2008 9547 10028 6/4/2008 9607 10055 6/5/2008 10040 10287 6/6/2008 9515 10018 6/7/2008 9515 10018 6/8/2008 9515 10018 6/9/2008 9493 10007 6/10/2008 9355 9937 6/11/2008 9035 9765 6/12/2008 9046 9772 6/13/2008 9333 9929 6/14/2008 9333 9929 6/15/2008 9333 9929 6/16/2008 9483 10010 6/17/2008 9477 10006 6/18/2008 9334 9930 6/19/2008 9418 9976 6/20/2008 9084 9801 6/21/2008 9084 9801 6/22/2008 9084 9801 6/23/2008 9074 9796 6/24/2008 8845 9674 6/25/2008 8968 9741 6/26/2008 8498 9485 6/27/2008 8428 9448 6/28/2008 8428 9448 6/29/2008 8428 9448 6/30/2008 8340 9399 7/1/2008 8364 9412 7/2/2008 7860 9130 7/3/2008 7685 9030 7/4/2008 7685 9030 7/5/2008 7685 9030 7/6/2008 7685 9030 7/7/2008 7565 8959 7/8/2008 7906 9161 7/9/2008 7677 9030 7/10/2008 7758 9078 7/11/2008 7699 9044 7/12/2008 7699 9044 7/13/2008 7699 9044 7/14/2008 7545 8954 7/15/2008 7405 8872 7/16/2008 7764 9087 7/17/2008 7974 9211 7/18/2008 7933 9189 7/19/2008 7933 9189 7/20/2008 7933 9189 7/21/2008 8042 9251 7/22/2008 8247 9371 7/23/2008 8263 9380 7/24/2008 7764 9095 7/25/2008 7827 9135 7/26/2008 7827 9135 7/27/2008 7827 9135 7/28/2008 7642 9026 7/29/2008 7968 9220 7/30/2008 8203 9357 7/31/2008 7966 9224 8/1/2008 7930 9202 8/2/2008 7930 9202 8/3/2008 7930 9202 8/4/2008 7635 9032 8/5/2008 7956 9222 8/6/2008 8072 9290 8/7/2008 7831 9151 8/8/2008 8173 9353 8/9/2008 8173 9353 8/10/2008 8173 9353 8/11/2008 8345 9440 8/12/2008 8182 9348 8/13/2008 8238 9379 8/14/2008 8365 9454 8/15/2008 8353 9449 8/16/2008 8353 9449 8/17/2008 8353 9449 8/18/2008 8138 9326 8/19/2008 7979 9234 8/20/2008 8043 9272 8/21/2008 8060 9285 8/22/2008 8211 9372 8/23/2008 8211 9372 8/24/2008 8211 9372 8/25/2008 7879 9182 8/26/2008 7953 9225 8/27/2008 8148 9343 8/28/2008 8407 9490 8/29/2008 8215 9382 8/30/2008 8215 9382 8/31/2008 8215 9382 9/1/2008 8215 9382 9/2/2008 8058 9290 9/3/2008 7949 9228 9/4/2008 7560 9006 9/5/2008 7613 9040 9/6/2008 7613 9040 9/7/2008 7613 9040 9/8/2008 7817 9159 9/9/2008 7220 8806 9/10/2008 7416 8927 9/11/2008 7497 8975 9/12/2008 7664 9077 9/13/2008 7664 9077 9/14/2008 7664 9077 9/15/2008 6993 8677 9/16/2008 7290 8862 9/17/2008 6654 8476 9/18/2008 7306 8892 9/19/2008 7913 9269 9/20/2008 7913 9269 9/21/2008 7913 9269 9/22/2008 7187 8838 9/23/2008 7026 8736 9/24/2008 6870 8638 9/25/2008 7021 8735 9/26/2008 6923 8675 9/27/2008 6923 8675 9/28/2008 6923 8675 9/29/2008 5912 8042 9/30/2008 6390 8377 10/1/2008 6246 8281 10/2/2008 5549 7821 10/3/2008 5277 7626 10/4/2008 5277 7626 10/5/2008 5277 7626 10/6/2008 4806 7290 10/7/2008 4282 6896 10/8/2008 4180 6814 10/9/2008 3577 6323 10/10/2008 3590 6337 10/11/2008 3590 6337 10/12/2008 3590 6337 10/13/2008 4341 7000 10/14/2008 4145 6843 10/15/2008 3349 6181 10/16/2008 3609 6422 10/17/2008 3558 6398 10/18/2008 3558 6398 10/19/2008 3558 6398 10/20/2008 3900 6680 10/21/2008 3678 6493 10/22/2008 3258 6112 10/23/2008 3081 5953 10/24/2008 2897 5782 10/25/2008 2897 5782 10/26/2008 2897 5782 10/27/2008 2636 5533 10/28/2008 3116 6010 10/29/2008 3201 6119 10/30/2008 3488 6374 10/31/2008 3688 6556 11/1/2008 3688 6556 11/2/2008 3688 6556 11/3/2008 3688 6556 11/4/2008 3847 6706 11/5/2008 3465 6365 11/6/2008 3150 6074 11/7/2008 3305 6225 11/8/2008 3305 6225 11/9/2008 3305 6225 11/10/2008 3140 6071 11/11/2008 2994 5928 11/12/2008 2669 5608 11/13/2008 3112 6070 11/14/2008 2770 5747 11/15/2008 2770 5747 11/16/2008 2770 5747 11/17/2008 2695 5658 11/18/2008 2681 5643 11/19/2008 2286 5226 11/20/2008 1916 4819 11/21/2008 2142 5101 11/22/2008 2142 5101 11/23/2008 2142 5101 11/24/2008 2449 5483 11/25/2008 2556 5589 11/26/2008 2824 5890 11/27/2008 2824 5890 11/28/2008 2887 5948 11/29/2008 2887 5948 11/30/2008 2887 5948 12/1/2008 2270 5301 12/2/2008 2484 5555 12/3/2008 2597 5694 12/4/2008 2428 5497 12/5/2008 2648 5762 12/6/2008 2648 5762 12/7/2008 2648 5762 12/8/2008 2854 5982 12/9/2008 2711 5827 12/10/2008 2855 5984 12/11/2008 2593 5707 12/12/2008 2742 5874 12/13/2008 2742 5874 12/14/2008 2742 5874 12/15/2008 2601 5722 12/16/2008 2924 6074 12/17/2008 2974 6132 12/18/2008 2877 6019 12/19/2008 2891 6060 12/20/2008 2891 6060 12/21/2008 2891 6060 12/22/2008 2761 5913 12/23/2008 2703 5861 12/24/2008 2735 5885 12/25/2008 2735 5885 12/26/2008 2802 5963 12/27/2008 2802 5963 12/28/2008 2802 5963 12/29/2008 2731 5878 12/30/2008 2911 6078 12/31/2008 3046 6237 1/1/2009 3046 6237 1/2/2009 3201 6389 1/3/2009 3201 6389 1/4/2009 3201 6389 1/5/2009 3205 6379 1/6/2009 3297 6482 1/7/2009 3089 6272 1/8/2009 3131 6321 1/9/2009 2961 6149 1/10/2009 2961 6149 1/11/2009 2961 6149 1/12/2009 2796 5978 1/13/2009 2858 6044 1/14/2009 2632 5804 1/15/2009 2717 5904 1/16/2009 2799 5991 1/17/2009 2799 5991 1/18/2009 2799 5991 1/19/2009 2799 5991 1/20/2009 2466 5632 1/21/2009 2694 5892 1/22/2009 2568 5758 1/23/2009 2620 5814 1/24/2009 2620 5814 1/25/2009 2620 5814 1/26/2009 2651 5848 1/27/2009 2726 5931 1/28/2009 2931 6153 1/29/2009 2730 5941 1/30/2009 2586 5784 1/31/2009 2586 5784 2/1/2009 2586 5784 2/2/2009 2599 5803 2/3/2009 2641 5848 2/4/2009 2633 5837 2/5/2009 2713 5931 2/6/2009 2925 6157 2/7/2009 2925 6157 2/8/2009 2925 6157 2/9/2009 2910 6144 2/10/2009 2653 5867 2/11/2009 2666 5886 2/12/2009 2697 5917 2/13/2009 2651 5871 2/14/2009 2651 5871 2/15/2009 2651 5871 2/16/2009 2651 5871 2/17/2009 2425 5622 2/18/2009 2367 5554 2/19/2009 2293 5467 2/20/2009 2253 5421 2/21/2009 2253 5421 2/22/2009 2253 5421 2/23/2009 2072 5204 2/24/2009 2255 5435 2/25/2009 2195 5360 2/26/2009 2119 5265 2/27/2009 2087 5224 2/28/2009 2087 5224 3/1/2009 2087 5224 3/2/2009 1831 4907 3/3/2009 1805 4875 3/4/2009 1915 5024 3/5/2009 1731 4781 3/6/2009 1705 4747 3/7/2009 1705 4747 3/8/2009 1705 4747 3/9/2009 1675 4707 3/10/2009 1909 5034 3/11/2009 1924 5054 3/12/2009 2106 5292 3/13/2009 2123 5316 3/14/2009 2123 5316 3/15/2009 2123 5316 3/16/2009 2063 5240 3/17/2009 2215 5432 3/18/2009 2350 5602 3/19/2009 2326 5569 3/20/2009 2185 5406 3/21/2009 2185 5406 3/22/2009 2185 5406 3/23/2009 2511 5805 3/24/2009 2387 5661 3/25/2009 2449 5730 3/26/2009 2640 5955 3/27/2009 2514 5810 3/28/2009 2514 5810 3/29/2009 2514 5810 3/30/2009 2341 5608 3/31/2009 2408 5697 4/1/2009 2467 5761 4/2/2009 2675 6007 4/3/2009 2771 6112 4/4/2009 2771 6112 4/5/2009 2771 6112 4/6/2009 2702 6036 4/7/2009 2525 5838 4/8/2009 2602 5926 4/9/2009 2884 6252 4/10/2009 2884 6252 4/11/2009 2884 6252 4/12/2009 2884 6252 4/13/2009 2880 6249 4/14/2009 2733 6085 4/15/2009 2805 6169 4/16/2009 2958 6337 4/17/2009 3028 6414 4/18/2009 3028 6414 4/19/2009 3028 6414 4/20/2009 2706 6066 4/21/2009 2868 6253 4/22/2009 2882 6271 4/23/2009 2864 6248 4/24/2009 3013 6416 4/25/2009 3013 6416 4/26/2009 3013 6416 4/27/2009 2945 6337 4/28/2009 2975 6370 4/29/2009 3141 6550 4/30/2009 3132 6544 5/1/2009 3109 6518 5/2/2009 3109 6518 5/3/2009 3109 6518 5/4/2009 3367 6789 5/5/2009 3315 6734 5/6/2009 3373 6793 5/7/2009 3205 6624 5/8/2009 3417 6848 5/9/2009 3417 6848 5/10/2009 3417 6848 5/11/2009 3266 6691 5/12/2009 3197 6623 5/13/2009 2921 6335 5/14/2009 3013 6440 5/15/2009 2952 6371 5/16/2009 2952 6371 5/17/2009 2952 6371 5/18/2009 3177 6616 5/19/2009 3191 6630 5/20/2009 3150 6589 5/21/2009 3041 6470 5/22/2009 3005 6438 5/23/2009 3005 6438 5/24/2009 3005 6438 5/25/2009 3005 6438 5/26/2009 3235 6682 5/27/2009 3121 6563 5/28/2009 3171 6618 5/29/2009 3275 6723 5/30/2009 3275 6723 5/31/2009 3275 6723 6/1/2009 3512 6969 6/2/2009 3539 6994 6/3/2009 3405 6880 6/4/2009 3517 6975 6/5/2009 3507 6966 6/6/2009 3507 6966 6/7/2009 3507 6966 6/8/2009 3461 6921 6/9/2009 3530 6991 6/10/2009 3497 6955 6/11/2009 3538 6999 6/12/2009 3521 6981 6/13/2009 3521 6981 6/14/2009 3521 6981 6/15/2009 3340 6799 6/16/2009 3229 6687 6/17/2009 3225 6685 6/18/2009 3269 6729 6/19/2009 3293 6759 6/20/2009 3293 6759 6/21/2009 3293 6759 6/22/2009 3054 6512 6/23/2009 3028 6484 6/24/2009 3109 6570 6/25/2009 3265 6733 6/26/2009 3274 6747 6/27/2009 3274 6747 6/28/2009 3274 6747 6/29/2009 3323 6794 6/30/2009 3296 6765 7/1/2009 3365 6837 7/2/2009 3147 6613 7/3/2009 3147 6613 7/4/2009 3147 6613 7/5/2009 3147 6613 7/6/2009 3110 6577 7/7/2009 2968 6430 7/8/2009 2941 6398 7/9/2009 2955 6415 7/10/2009 2945 6404 7/11/2009 2945 6404 7/12/2009 2945 6404 7/13/2009 3090 6561 7/14/2009 3139 6614 7/15/2009 3333 6819 7/16/2009 3428 6915 7/17/2009 3409 6896 7/18/2009 3409 6896 7/19/2009 3409 6896 7/20/2009 3509 6999 7/21/2009 3514 7002 7/22/2009 3545 7033 7/23/2009 3745 7233 7/24/2009 3793 7279 7/25/2009 3793 7279 7/26/2009 3793 7279 7/27/2009 3827 7312 7/28/2009 3814 7299 7/29/2009 3763 7251 7/30/2009 3862 7348 7/31/2009 3869 7356 8/1/2009 3869 7356 8/2/2009 3869 7356 8/3/2009 4032 7507 8/4/2009 4094 7564 8/5/2009 4066 7540 8/6/2009 4001 7481 8/7/2009 4205 7675 8/8/2009 4205 7675 8/9/2009 4205 7675 8/10/2009 4155 7624 8/11/2009 4040 7520 8/12/2009 4148 7621 8/13/2009 4215 7680 8/14/2009 4094 7573 8/15/2009 4094 7573 8/16/2009 4094 7573 8/17/2009 3862 7360 8/18/2009 3964 7457 8/19/2009 4018 7507 8/20/2009 4105 7587 8/21/2009 4262 7734 8/22/2009 4262 7734 8/23/2009 4262 7734 8/24/2009 4230 7702 8/25/2009 4270 7741 8/26/2009 4262 7733 8/27/2009 4293 7762 8/28/2009 4308 7778 8/29/2009 4308 7778 8/30/2009 4308 7778 8/31/2009 4198 7677 9/1/2009 4013 7508 9/2/2009 3972 7470 9/3/2009 4078 7571 9/4/2009 4182 7666 9/5/2009 4182 7666 9/6/2009 4182 7666 9/7/2009 4182 7666 9/8/2009 4290 7765 9/9/2009 4407 7873 9/10/2009 4507 7964 9/11/2009 4519 7974 9/12/2009 4519 7974 9/13/2009 4519 7974 9/14/2009 4621 8063 9/15/2009 4698 8130 9/16/2009 4884 8292 9/17/2009 4826 8240 9/18/2009 4818 8236 9/19/2009 4818 8236 9/20/2009 4818 8236 9/21/2009 4793 8214 9/22/2009 4851 8267 9/23/2009 4717 8148 9/24/2009 4559 8013 9/25/2009 4505 7964 9/26/2009 4505 7964 9/27/2009 4505 7964 9/28/2009 4693 8135 9/29/2009 4723 8164 9/30/2009 4669 8117 10/1/2009 4388 7869 10/2/2009 4301 7794 10/3/2009 4301 7794 10/4/2009 4301 7794 10/5/2009 4484 7958 10/6/2009 4610 8070 10/7/2009 4613 8075 10/8/2009 4743 8191 10/9/2009 4815 8250 10/10/2009 4815 8250 10/11/2009 4815 8250 10/12/2009 4826 8258 10/13/2009 4784 8223 10/14/2009 4957 8373 10/15/2009 4987 8398 10/16/2009 4892 8318 10/17/2009 4892 8318 10/18/2009 4892 8318 10/19/2009 4998 8409 10/20/2009 4907 8331 10/21/2009 4804 8243 10/22/2009 4929 8353 10/23/2009 4799 8242 10/24/2009 4799 8242 10/25/2009 4799 8242 10/26/2009 4697 8151 10/27/2009 4590 8060 10/28/2009 4290 7797 10/29/2009 4480 7972 10/30/2009 4226 7748 10/31/2009 4226 7748
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/05/2007) -------- --------------- RYDEXSGI 2X S&P MIDCAP 400 ETF.............................. 14.60% -35.14% S&P MIDCAP 400 TOTAL RETURN INDEX........................... 18.18% -12.04%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. 12 RYDEXSGI 2x S&P MIDCAP 400 ETF PORTFOLIO SUMMARY (Unaudited) As October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ PRICELINE.COM, INC. 0.70% VERTEX PHARMACEUTICALS, INC. 0.63% ROSS STORES, INC. 0.58% NEWFIELD EXPLORATION CO. 0.57% EVEREST RE GROUP, LTD. 0.56% JOY GLOBAL, INC. 0.54% PRIDE INTERNATIONAL, INC. 0.54% CERNER CORP. 0.54% HENRY SCHEIN, INC. 0.50% CLIFFS NATURAL RESOURCES, INC. 0.49% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Financials 18.31 Consumer Discretionary 15.75 Industrials 14.90 Information Technology 14.89 Health Care 12.14 Materials 6.56 Energy 6.55 Utilities 6.52 Consumer Staples 3.82 Telecommunication Services 0.56
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's equity investments market value. These percentages may change over time. ANNUAL REPORT 13 RYDEXSGI INVERSE 2x S&P MIDCAP 400 ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI Inverse 2x S&P MidCap 400 ETF returned -55.74%. Over the same time period, its benchmark, the S&P MidCap 400(R) Total Return Index, returned 18.18%. RydexSGI Inverse 2x S&P MidCap 400 ETF achieved a daily correlation of over 99% to its benchmark of - -200% of the daily price movement of the S&P MidCap 400 Total Return Index. The biggest performance contributors were the consumer discretionary (30.57%) and the information technology (35.10%) sectors. The financials sector was the only sector with negative performance for the year. Mid-cap stocks were also hit hard by the economic crisis but managed to pull through better than their large-cap and small-cap counterparts. Throughout the year, mid-caps stocks outperformed relative to large-cap stocks and small-cap stocks. The S&P MidCap 400 Total Return Index was up 18.18% compared to a 9.80% gain for the S&P 500(R) Total Return Index and a 6.46% gain for the Russell 2000(R) Total Return Index. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: NOVEMBER 5, 2007 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI INVERSE 2X S&P S&P MIDCAP MIDCAP 400 400 TOTAL ETF RETURN INDEX ----------------- ------------ 11/5/2007 10000 10000 11/6/2007 9744 10125 11/7/2007 10191 9892 11/8/2007 10123 9931 11/9/2007 10409 9799 11/10/2007 10409 9799 11/11/2007 10409 9799 11/12/2007 10727 9651 11/13/2007 10273 9865 11/14/2007 10351 9820 11/15/2007 10563 9714 11/16/2007 10632 9694 11/17/2007 10632 9694 11/18/2007 10632 9694 11/19/2007 11040 9511 11/20/2007 11067 9499 11/21/2007 11364 9374 11/22/2007 11364 9374 11/23/2007 11087 9497 11/24/2007 11087 9497 11/25/2007 11087 9497 11/26/2007 11432 9347 11/27/2007 11177 9451 11/28/2007 10512 9733 11/29/2007 10524 9733 11/30/2007 10396 9799 12/1/2007 10396 9799 12/2/2007 10396 9799 12/3/2007 10475 9760 12/4/2007 10547 9725 12/5/2007 10249 9869 12/6/2007 9835 10072 12/7/2007 9821 10084 12/8/2007 9821 10084 12/9/2007 9821 10084 12/10/2007 9659 10165 12/11/2007 10247 9865 12/12/2007 10161 9900 12/13/2007 10173 9899 12/14/2007 10508 9742 12/15/2007 10508 9742 12/16/2007 10508 9742 12/17/2007 10864 9578 12/18/2007 10705 9647 12/19/2007 10731 9641 12/20/2007 10484 9754 12/21/2007 10169 9906 12/22/2007 10169 9906 12/23/2007 10169 9906 12/24/2007 9936 10018 12/25/2007 9936 10018 12/26/2007 9992 9993 12/27/2007 10305 9841 12/28/2007 10325 9836 12/29/2007 10325 9836 12/30/2007 10325 9836 12/31/2007 10468 9780 1/1/2008 10468 9780 1/2/2008 10714 9660 1/3/2008 10873 9592 1/4/2008 11507 9317 1/5/2008 11507 9317 1/6/2008 11507 9317 1/7/2008 11565 9293 1/8/2008 12100 9080 1/9/2008 11970 9124 1/10/2008 11786 9207 1/11/2008 12109 9078 1/12/2008 12109 9078 1/13/2008 12109 9078 1/14/2008 11854 9171 1/15/2008 12428 8954 1/16/2008 12574 8911 1/17/2008 13287 8653 1/18/2008 13388 8623 1/19/2008 13388 8623 1/20/2008 13388 8623 1/21/2008 13388 8623 1/22/2008 13539 8582 1/23/2008 12929 8776 1/24/2008 12617 8881 1/25/2008 12851 8802 1/26/2008 12851 8802 1/27/2008 12851 8802 1/28/2008 12262 9006 1/29/2008 12082 9073 1/30/2008 12342 8977 1/31/2008 11795 9178 2/1/2008 11250 9392 2/2/2008 11250 9392 2/3/2008 11250 9392 2/4/2008 11416 9324 2/5/2008 12073 9057 2/6/2008 12362 8950 2/7/2008 12105 9043 2/8/2008 12071 9060 2/9/2008 12071 9060 2/10/2008 12071 9060 2/11/2008 11936 9112 2/12/2008 11885 9132 2/13/2008 11574 9251 2/14/2008 11943 9104 2/15/2008 12011 9082 2/16/2008 12011 9082 2/17/2008 12011 9082 2/18/2008 12011 9082 2/19/2008 11992 9091 2/20/2008 11663 9217 2/21/2008 11974 9095 2/22/2008 11839 9148 2/23/2008 11839 9148 2/24/2008 11839 9148 2/25/2008 11364 9334 2/26/2008 11141 9425 2/27/2008 11248 9380 2/28/2008 11478 9287 2/29/2008 12176 9007 3/1/2008 12176 9007 3/2/2008 12176 9007 3/3/2008 12138 9023 3/4/2008 12283 8970 3/5/2008 12132 9025 3/6/2008 12803 8778 3/7/2008 13059 8693 3/8/2008 13059 8693 3/9/2008 13059 8693 3/10/2008 13603 8511 3/11/2008 12707 8793 3/12/2008 12835 8752 3/13/2008 12506 8864 3/14/2008 12976 8700 3/15/2008 12976 8700 3/16/2008 12976 8700 3/17/2008 13524 8517 3/18/2008 12461 8860 3/19/2008 13083 8640 3/20/2008 12611 8801 3/21/2008 12611 8801 3/22/2008 12611 8801 3/23/2008 12611 8801 3/24/2008 12036 9002 3/25/2008 11798 9093 3/26/2008 11993 9019 3/27/2008 12273 8913 3/28/2008 12495 8834 3/29/2008 12495 8834 3/30/2008 12495 8834 3/31/2008 12272 8915 4/1/2008 11469 9208 4/2/2008 11366 9248 4/3/2008 11276 9286 4/4/2008 11191 9324 4/5/2008 11191 9324 4/6/2008 11191 9324 4/7/2008 11132 9349 4/8/2008 11148 9343 4/9/2008 11494 9198 4/10/2008 11210 9313 4/11/2008 11619 9146 4/12/2008 11619 9146 4/13/2008 11619 9146 4/14/2008 11664 9128 4/15/2008 11546 9176 4/16/2008 10881 9442 4/17/2008 10963 9407 4/18/2008 10634 9551 4/19/2008 10634 9551 4/20/2008 10634 9551 4/21/2008 10623 9555 4/22/2008 10930 9417 4/23/2008 10855 9450 4/24/2008 10690 9524 4/25/2008 10398 9656 4/26/2008 10398 9656 4/27/2008 10398 9656 4/28/2008 10354 9677 4/29/2008 10492 9613 4/30/2008 10520 9602 5/1/2008 10246 9727 5/2/2008 10225 9740 5/3/2008 10225 9740 5/4/2008 10225 9740 5/5/2008 10245 9731 5/6/2008 10081 9809 5/7/2008 10317 9696 5/8/2008 10162 9770 5/9/2008 10149 9778 5/10/2008 10149 9778 5/11/2008 10149 9778 5/12/2008 9913 9893 5/13/2008 9790 9954 5/14/2008 9747 9977 5/15/2008 9517 10095 5/16/2008 9467 10124 5/17/2008 9467 10124 5/18/2008 9467 10124 5/19/2008 9526 10094 5/20/2008 9556 10078 5/21/2008 9849 9924 5/22/2008 9786 9956 5/23/2008 10027 9837 5/24/2008 10027 9837 5/25/2008 10027 9837 5/26/2008 10027 9837 5/27/2008 9862 9919 5/28/2008 9691 10007 5/29/2008 9626 10041 5/30/2008 9499 10110 5/31/2008 9499 10110 6/1/2008 9499 10110 6/2/2008 9661 10025 6/3/2008 9657 10028 6/4/2008 9606 10055 6/5/2008 9165 10287 6/6/2008 9652 10018 6/7/2008 9652 10018 6/8/2008 9652 10018 6/9/2008 9676 10007 6/10/2008 9815 9937 6/11/2008 10155 9765 6/12/2008 10144 9772 6/13/2008 9822 9929 6/14/2008 9822 9929 6/15/2008 9822 9929 6/16/2008 9664 10010 6/17/2008 9670 10006 6/18/2008 9819 9930 6/19/2008 9730 9976 6/20/2008 10077 9801 6/21/2008 10077 9801 6/22/2008 10077 9801 6/23/2008 10089 9796 6/24/2008 10342 9674 6/25/2008 10199 9741 6/26/2008 10738 9485 6/27/2008 10831 9448 6/28/2008 10831 9448 6/29/2008 10831 9448 6/30/2008 10944 9399 7/1/2008 10913 9412 7/2/2008 11573 9130 7/3/2008 11840 9030 7/4/2008 11840 9030 7/5/2008 11840 9030 7/6/2008 11840 9030 7/7/2008 12020 8959 7/8/2008 11481 9161 7/9/2008 11812 9030 7/10/2008 11684 9078 7/11/2008 11777 9044 7/12/2008 11777 9044 7/13/2008 11777 9044 7/14/2008 12015 8954 7/15/2008 12235 8872 7/16/2008 11644 9087 7/17/2008 11328 9211 7/18/2008 11390 9189 7/19/2008 11390 9189 7/20/2008 11390 9189 7/21/2008 11235 9251 7/22/2008 10948 9371 7/23/2008 10929 9380 7/24/2008 11585 9095 7/25/2008 11496 9135 7/26/2008 11496 9135 7/27/2008 11496 9135 7/28/2008 11765 9026 7/29/2008 11269 9220 7/30/2008 10939 9357 7/31/2008 11255 9224 8/1/2008 11306 9202 8/2/2008 11306 9202 8/3/2008 11306 9202 8/4/2008 11728 9032 8/5/2008 11237 9222 8/6/2008 11071 9290 8/7/2008 11404 9151 8/8/2008 10908 9353 8/9/2008 10908 9353 8/10/2008 10908 9353 8/11/2008 10702 9440 8/12/2008 10914 9348 8/13/2008 10843 9379 8/14/2008 10674 9454 8/15/2008 10690 9449 8/16/2008 10690 9449 8/17/2008 10690 9449 8/18/2008 10966 9326 8/19/2008 11181 9234 8/20/2008 11091 9272 8/21/2008 11068 9285 8/22/2008 10863 9372 8/23/2008 10863 9372 8/24/2008 10863 9372 8/25/2008 11305 9182 8/26/2008 11202 9225 8/27/2008 10929 9343 8/28/2008 10578 9490 8/29/2008 10824 9382 8/30/2008 10824 9382 8/31/2008 10824 9382 9/1/2008 10824 9382 9/2/2008 11029 9290 9/3/2008 11177 9228 9/4/2008 11730 9006 9/5/2008 11651 9040 9/6/2008 11651 9040 9/7/2008 11651 9040 9/8/2008 11335 9159 9/9/2008 12224 8806 9/10/2008 11900 8927 9/11/2008 11770 8975 9/12/2008 11508 9077 9/13/2008 11508 9077 9/14/2008 11508 9077 9/15/2008 12508 8677 9/16/2008 12007 8862 9/17/2008 13075 8476 9/18/2008 11804 8892 9/19/2008 10821 9269 9/20/2008 10821 9269 9/21/2008 10821 9269 9/22/2008 11830 8838 9/23/2008 12102 8736 9/24/2008 12369 8638 9/25/2008 12099 8735 9/26/2008 12271 8675 9/27/2008 12271 8675 9/28/2008 12271 8675 9/29/2008 14058 8042 9/30/2008 12882 8377 10/1/2008 13185 8281 10/2/2008 14685 7821 10/3/2008 15399 7626 10/4/2008 15399 7626 10/5/2008 15399 7626 10/6/2008 16771 7290 10/7/2008 18621 6896 10/8/2008 19105 6814 10/9/2008 21763 6323 10/10/2008 21622 6337 10/11/2008 21622 6337 10/12/2008 21622 6337 10/13/2008 17004 7000 10/14/2008 18001 6843 10/15/2008 21348 6181 10/16/2008 19718 6422 10/17/2008 20221 6398 10/18/2008 20221 6398 10/19/2008 20221 6398 10/20/2008 18132 6680 10/21/2008 19242 6493 10/22/2008 21383 6112 10/23/2008 22462 5953 10/24/2008 23836 5782 10/25/2008 23836 5782 10/26/2008 23836 5782 10/27/2008 26022 5533 10/28/2008 21205 6010 10/29/2008 20889 6119 10/30/2008 18988 6374 10/31/2008 17890 6556 11/1/2008 17890 6556 11/2/2008 17890 6556 11/3/2008 17891 6556 11/4/2008 17103 6706 11/5/2008 18808 6365 11/6/2008 20546 6074 11/7/2008 19541 6225 11/8/2008 19541 6225 11/9/2008 19541 6225 11/10/2008 20518 6071 11/11/2008 21463 5928 11/12/2008 23770 5608 11/13/2008 19829 6070 11/14/2008 22113 5747 11/15/2008 22113 5747 11/16/2008 22113 5747 11/17/2008 22728 5658 11/18/2008 22839 5643 11/19/2008 26285 5226 11/20/2008 30038 4819 11/21/2008 26476 5101 11/22/2008 26476 5101 11/23/2008 26476 5101 11/24/2008 22628 5483 11/25/2008 21622 5589 11/26/2008 19311 5890 11/27/2008 19311 5890 11/28/2008 18848 5948 11/29/2008 18848 5948 11/30/2008 18848 5948 12/1/2008 22942 5301 12/2/2008 20769 5555 12/3/2008 19855 5694 12/4/2008 21105 5497 12/5/2008 19227 5762 12/6/2008 19227 5762 12/7/2008 19227 5762 12/8/2008 17697 5982 12/9/2008 18587 5827 12/10/2008 17910 5984 12/11/2008 19020 5707 12/12/2008 18257 5874 12/13/2008 18257 5874 12/14/2008 18257 5874 12/15/2008 18890 5722 12/16/2008 17241 6074 12/17/2008 17073 6132 12/18/2008 17402 6019 12/19/2008 17398 6060 12/20/2008 17398 6060 12/21/2008 17398 6060 12/22/2008 17881 5913 12/23/2008 18165 5861 12/24/2008 17990 5885 12/25/2008 17990 5885 12/26/2008 17699 5963 12/27/2008 17699 5963 12/28/2008 17699 5963 12/29/2008 17980 5878 12/30/2008 17181 6078 12/31/2008 16692 6237 1/1/2009 16692 6237 1/2/2009 15831 6389 1/3/2009 15831 6389 1/4/2009 15831 6389 1/5/2009 15770 6379 1/6/2009 15338 6482 1/7/2009 16279 6272 1/8/2009 16094 6321 1/9/2009 16955 6149 1/10/2009 16955 6149 1/11/2009 16955 6149 1/12/2009 17890 5978 1/13/2009 17492 6044 1/14/2009 18880 5804 1/15/2009 18301 5904 1/16/2009 17724 5991 1/17/2009 17724 5991 1/18/2009 17724 5991 1/19/2009 17724 5991 1/20/2009 19817 5632 1/21/2009 17999 5892 1/22/2009 18878 5758 1/23/2009 18484 5814 1/24/2009 18484 5814 1/25/2009 18484 5814 1/26/2009 18252 5848 1/27/2009 17730 5931 1/28/2009 16376 6153 1/29/2009 17492 5941 1/30/2009 18427 5784 1/31/2009 18427 5784 2/1/2009 18427 5784 2/2/2009 18349 5803 2/3/2009 18037 5848 2/4/2009 18088 5837 2/5/2009 17578 5931 2/6/2009 16178 6157 2/7/2009 16178 6157 2/8/2009 16178 6157 2/9/2009 16279 6144 2/10/2009 17658 5867 2/11/2009 17618 5886 2/12/2009 17393 5917 2/13/2009 17722 5871 2/14/2009 17722 5871 2/15/2009 17722 5871 2/16/2009 17722 5871 2/17/2009 19217 5622 2/18/2009 19665 5554 2/19/2009 20278 5467 2/20/2009 20634 5421 2/21/2009 20634 5421 2/22/2009 20634 5421 2/23/2009 22295 5204 2/24/2009 20349 5435 2/25/2009 20855 5360 2/26/2009 21535 5265 2/27/2009 21851 5224 2/28/2009 21851 5224 3/1/2009 21851 5224 3/2/2009 24491 4907 3/3/2009 24830 4875 3/4/2009 23337 5024 3/5/2009 25572 4781 3/6/2009 25932 4747 3/7/2009 25932 4747 3/8/2009 25932 4747 3/9/2009 26382 4707 3/10/2009 22718 5034 3/11/2009 22533 5054 3/12/2009 20398 5292 3/13/2009 20221 5316 3/14/2009 20221 5316 3/15/2009 20221 5316 3/16/2009 20796 5240 3/17/2009 19273 5432 3/18/2009 18054 5602 3/19/2009 18265 5569 3/20/2009 19332 5406 3/21/2009 19332 5406 3/22/2009 19332 5406 3/23/2009 16479 5805 3/24/2009 17309 5661 3/25/2009 16898 5730 3/26/2009 15569 5955 3/27/2009 16332 5810 3/28/2009 16332 5810 3/29/2009 16332 5810 3/30/2009 17469 5608 3/31/2009 16928 5697 4/1/2009 16538 5761 4/2/2009 15129 6007 4/3/2009 14592 6112 4/4/2009 14592 6112 4/5/2009 14592 6112 4/6/2009 14959 6036 4/7/2009 15940 5838 4/8/2009 15456 5926 4/9/2009 13748 6252 4/10/2009 13748 6252 4/11/2009 13748 6252 4/12/2009 13748 6252 4/13/2009 13765 6249 4/14/2009 14483 6085 4/15/2009 14087 6169 4/16/2009 13319 6337 4/17/2009 12994 6414 4/18/2009 12994 6414 4/19/2009 12994 6414 4/20/2009 14392 6066 4/21/2009 13512 6253 4/22/2009 13443 6271 4/23/2009 13533 6248 4/24/2009 12819 6416 4/25/2009 12819 6416 4/26/2009 12819 6416 4/27/2009 13118 6337 4/28/2009 12984 6370 4/29/2009 12257 6550 4/30/2009 12289 6544 5/1/2009 12379 6518 5/2/2009 12379 6518 5/3/2009 12379 6518 5/4/2009 11345 6789 5/5/2009 11524 6734 5/6/2009 11320 6793 5/7/2009 11887 6624 5/8/2009 11091 6848 5/9/2009 11091 6848 5/10/2009 11091 6848 5/11/2009 11598 6691 5/12/2009 11838 6623 5/13/2009 12862 6335 5/14/2009 12451 6440 5/15/2009 12706 6371 5/16/2009 12706 6371 5/17/2009 12706 6371 5/18/2009 11733 6616 5/19/2009 11676 6630 5/20/2009 11830 6589 5/21/2009 12234 6470 5/22/2009 12379 6438 5/23/2009 12379 6438 5/24/2009 12379 6438 5/25/2009 12379 6438 5/26/2009 11436 6682 5/27/2009 11845 6563 5/28/2009 11653 6618 5/29/2009 11274 6723 5/30/2009 11274 6723 5/31/2009 11274 6723 6/1/2009 10446 6969 6/2/2009 10364 6994 6/3/2009 10806 6880 6/4/2009 10400 6975 6/5/2009 10432 6966 6/6/2009 10432 6966 6/7/2009 10432 6966 6/8/2009 10568 6921 6/9/2009 10360 6991 6/10/2009 10457 6955 6/11/2009 10335 6999 6/12/2009 10381 6981 6/13/2009 10381 6981 6/14/2009 10381 6981 6/15/2009 10914 6799 6/16/2009 11278 6687 6/17/2009 11289 6685 6/18/2009 11139 6729 6/19/2009 11051 6759 6/20/2009 11051 6759 6/21/2009 11051 6759 6/22/2009 11847 6512 6/23/2009 11954 6484 6/24/2009 11632 6570 6/25/2009 11051 6733 6/26/2009 11025 6747 6/27/2009 11025 6747 6/28/2009 11025 6747 6/29/2009 10859 6794 6/30/2009 10950 6765 7/1/2009 10716 6837 7/2/2009 11404 6613 7/3/2009 11404 6613 7/4/2009 11404 6613 7/5/2009 11404 6613 7/6/2009 11537 6577 7/7/2009 12070 6430 7/8/2009 12184 6398 7/9/2009 12125 6415 7/10/2009 12158 6404 7/11/2009 12158 6404 7/12/2009 12158 6404 7/13/2009 11564 6561 7/14/2009 11379 6614 7/15/2009 10676 6819 7/16/2009 10371 6915 7/17/2009 10429 6896 7/18/2009 10429 6896 7/19/2009 10429 6896 7/20/2009 10124 6999 7/21/2009 10107 7002 7/22/2009 10017 7033 7/23/2009 9450 7233 7/24/2009 9328 7279 7/25/2009 9328 7279 7/26/2009 9328 7279 7/27/2009 9244 7312 7/28/2009 9278 7299 7/29/2009 9400 7251 7/30/2009 9147 7348 7/31/2009 9128 7356 8/1/2009 9128 7356 8/2/2009 9128 7356 8/3/2009 8751 7507 8/4/2009 8619 7564 8/5/2009 8673 7540 8/6/2009 8810 7481 8/7/2009 8353 7675 8/8/2009 8353 7675 8/9/2009 8353 7675 8/10/2009 8463 7624 8/11/2009 8694 7520 8/12/2009 8461 7621 8/13/2009 8328 7680 8/14/2009 8564 7573 8/15/2009 8564 7573 8/16/2009 8564 7573 8/17/2009 9048 7360 8/18/2009 8810 7457 8/19/2009 8690 7507 8/20/2009 8503 7587 8/21/2009 8174 7734 8/22/2009 8174 7734 8/23/2009 8174 7734 8/24/2009 8240 7702 8/25/2009 8157 7741 8/26/2009 8174 7733 8/27/2009 8113 7762 8/28/2009 8080 7778 8/29/2009 8080 7778 8/30/2009 8080 7778 8/31/2009 8288 7677 9/1/2009 8652 7508 9/2/2009 8741 7470 9/3/2009 8505 7571 9/4/2009 8290 7666 9/5/2009 8290 7666 9/6/2009 8290 7666 9/7/2009 8290 7666 9/8/2009 8071 7765 9/9/2009 7848 7873 9/10/2009 7667 7964 9/11/2009 7646 7974 9/12/2009 7646 7974 9/13/2009 7646 7974 9/14/2009 7475 8063 9/15/2009 7351 8130 9/16/2009 7058 8292 9/17/2009 7145 8240 9/18/2009 7153 8236 9/19/2009 7153 8236 9/20/2009 7153 8236 9/21/2009 7191 8214 9/22/2009 7100 8267 9/23/2009 7300 8148 9/24/2009 7545 8013 9/25/2009 7633 7964 9/26/2009 7633 7964 9/27/2009 7633 7964 9/28/2009 7309 8135 9/29/2009 7260 8164 9/30/2009 7343 8117 10/1/2009 7785 7869 10/2/2009 7938 7794 10/3/2009 7938 7794 10/4/2009 7938 7794 10/5/2009 7597 7958 10/6/2009 7385 8070 10/7/2009 7380 8075 10/8/2009 7170 8191 10/9/2009 7060 8250 10/10/2009 7060 8250 10/11/2009 7060 8250 10/12/2009 7044 8258 10/13/2009 7107 8223 10/14/2009 6848 8373 10/15/2009 6808 8398 10/16/2009 6936 8318 10/17/2009 6936 8318 10/18/2009 6936 8318 10/19/2009 6787 8409 10/20/2009 6909 8331 10/21/2009 7054 8243 10/22/2009 6871 8353 10/23/2009 7050 8242 10/24/2009 7050 8242 10/25/2009 7050 8242 10/26/2009 7201 8151 10/27/2009 7366 8060 10/28/2009 7844 7797 10/29/2009 7496 7972 10/30/2009 7920 7748 10/31/2009 7920 7748
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/05/2007) -------- --------------- RYDEXSGI INVERSE 2X S&P MIDCAP 400 ETF...................... -55.74% -11.07% S&P MIDCAP 400 TOTAL RETURN INDEX........................... 18.18% -12.04%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. 14 RYDEXSGI 2x RUSSELL 2000 ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI 2x Russell 2000 ETF returned -8.36%. Over the same time period, its benchmark, the Russell 2000(R) Total Return Index, returned 6.46%. For the period, RydexSGI 2x Russell 2000 ETF achieved a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Russell 2000 Total Return Index. The biggest performance contributors were information technology (30.17%), consumer discretionary (29.51%) and materials (29.76%), while the hard-hit financials sector was by far the biggest detractor (-12.99%) followed by energy (-3.79%) and industrials (-1.35%). As the global economic crisis worsened, tight credit markets made it difficult for companies to find financing. Consumer spending has been curtailed to a great extent as the American consumer increased savings during the financial crisis. Small-cap stocks underperformed both large-cap and mid-cap stocks during the period. The Russell 2000 Index was up 6.46% whereas the S&P 500(R) Total Return Index was up 9.80% and the S&P MidCap 400(R) Total Return Index was up 18.18% for the year. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: NOVEMBER 5, 2007 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI 2X RUSSELL 2000 RUSSELL 2000 TOTAL RETURN ETF INDEX ------------ ------------ 11/5/2007 10000 10000 11/6/2007 10279 10144 11/7/2007 9617 9818 11/8/2007 9749 9881 11/9/2007 9536 9773 11/10/2007 9536 9773 11/11/2007 9536 9773 11/12/2007 9401 9706 11/13/2007 9945 9986 11/14/2007 9776 9903 11/15/2007 9507 9765 11/16/2007 9452 9739 11/17/2007 9452 9739 11/18/2007 9452 9739 11/19/2007 8979 9497 11/20/2007 8957 9485 11/21/2007 8741 9372 11/22/2007 8741 9372 11/23/2007 9088 9558 11/24/2007 9088 9558 11/25/2007 9088 9558 11/26/2007 8600 9306 11/27/2007 8796 9410 11/28/2007 9431 9750 11/29/2007 9332 9701 11/30/2007 9369 9722 12/1/2007 9369 9722 12/2/2007 9369 9722 12/3/2007 9179 9624 12/4/2007 8985 9524 12/5/2007 9312 9697 12/6/2007 9827 9967 12/7/2007 9791 9949 12/8/2007 9791 9949 12/9/2007 9791 9949 12/10/2007 9931 10021 12/11/2007 9304 9705 12/12/2007 9444 9777 12/13/2007 9387 9749 12/14/2007 9009 9553 12/15/2007 9009 9553 12/16/2007 9009 9553 12/17/2007 8651 9365 12/18/2007 9003 9555 12/19/2007 9051 9582 12/20/2007 9324 9727 12/21/2007 9760 9956 12/22/2007 9760 9956 12/23/2007 9760 9956 12/24/2007 9975 10068 12/25/2007 9975 10068 12/26/2007 10038 10102 12/27/2007 9455 9810 12/28/2007 9413 9789 12/29/2007 9413 9789 12/30/2007 9413 9789 12/31/2007 9270 9716 1/1/2008 9270 9716 1/2/2008 8966 9559 1/3/2008 8761 9451 1/4/2008 8209 9154 1/5/2008 8209 9154 1/6/2008 8209 9154 1/7/2008 8260 9184 1/8/2008 7821 8942 1/9/2008 7984 9034 1/10/2008 8162 9137 1/11/2008 7809 8940 1/12/2008 7809 8940 1/13/2008 7809 8940 1/14/2008 7980 9040 1/15/2008 7643 8849 1/16/2008 7691 8880 1/17/2008 7270 8635 1/18/2008 7113 8542 1/19/2008 7113 8542 1/20/2008 7113 8542 1/21/2008 7113 8542 1/22/2008 7074 8521 1/23/2008 7532 8799 1/24/2008 7516 8790 1/25/2008 7425 8738 1/26/2008 7425 8738 1/27/2008 7425 8738 1/28/2008 7724 8913 1/29/2008 7786 8950 1/30/2008 7570 8827 1/31/2008 7956 9054 2/1/2008 8336 9272 2/2/2008 8336 9272 2/3/2008 8336 9272 2/4/2008 8174 9183 2/5/2008 7682 8906 2/6/2008 7482 8791 2/7/2008 7707 8922 2/8/2008 7619 8873 2/9/2008 7619 8873 2/10/2008 7619 8873 2/11/2008 7637 8884 2/12/2008 7761 8957 2/13/2008 8127 9168 2/14/2008 7753 8957 2/15/2008 7674 8909 2/16/2008 7674 8909 2/17/2008 7674 8909 2/18/2008 7674 8909 2/19/2008 7686 8919 2/20/2008 7853 9017 2/21/2008 7548 8843 2/22/2008 7534 8833 2/23/2008 7534 8833 2/24/2008 7534 8833 2/25/2008 7855 9024 2/26/2008 8004 9111 2/27/2008 7990 9101 2/28/2008 7750 8966 2/29/2008 7323 8718 3/1/2008 7323 8718 3/2/2008 7323 8718 3/3/2008 7280 8693 3/4/2008 7206 8653 3/5/2008 7272 8688 3/6/2008 6820 8423 3/7/2008 6768 8389 3/8/2008 6768 8389 3/9/2008 6768 8389 3/10/2008 6436 8184 3/11/2008 7032 8564 3/12/2008 6901 8484 3/13/2008 7162 8642 3/14/2008 6800 8429 3/15/2008 6800 8429 3/16/2008 6800 8429 3/17/2008 6545 8271 3/18/2008 7182 8672 3/19/2008 6805 8446 3/20/2008 7160 8666 3/21/2008 7160 8666 3/22/2008 7160 8666 3/23/2008 7160 8666 3/24/2008 7581 8919 3/25/2008 7666 8970 3/26/2008 7600 8930 3/27/2008 7395 8810 3/28/2008 7196 8694 3/29/2008 7196 8694 3/30/2008 7196 8694 3/31/2008 7295 8755 4/1/2008 7773 9043 4/2/2008 7814 9065 4/3/2008 7844 9082 4/4/2008 7850 9084 4/5/2008 7850 9084 4/6/2008 7850 9084 4/7/2008 7816 9071 4/8/2008 7807 9062 4/9/2008 7512 8890 4/10/2008 7701 9005 4/11/2008 7289 8761 4/12/2008 7289 8761 4/13/2008 7289 8761 4/14/2008 7244 8734 4/15/2008 7367 8811 4/16/2008 7816 9083 4/17/2008 7701 9014 4/18/2008 7974 9181 4/19/2008 7974 9181 4/20/2008 7974 9181 4/21/2008 7927 9142 4/22/2008 7611 8960 4/23/2008 7702 9016 4/24/2008 7891 9130 4/25/2008 7993 9191 4/26/2008 7993 9191 4/27/2008 7993 9191 4/28/2008 8079 9237 4/29/2008 7942 9156 4/30/2008 7871 9121 5/1/2008 8169 9295 5/2/2008 8088 9244 5/3/2008 8088 9244 5/4/2008 8088 9244 5/5/2008 8052 9226 5/6/2008 8163 9296 5/7/2008 7877 9123 5/8/2008 7942 9166 5/9/2008 7961 9173 5/10/2008 7961 9173 5/11/2008 7961 9173 5/12/2008 8242 9341 5/13/2008 8324 9388 5/14/2008 8308 9379 5/15/2008 8473 9473 5/16/2008 8419 9445 5/17/2008 8419 9445 5/18/2008 8419 9445 5/19/2008 8350 9411 5/20/2008 8297 9375 5/21/2008 8102 9267 5/22/2008 8233 9342 5/23/2008 8036 9229 5/24/2008 8036 9229 5/25/2008 8036 9229 5/26/2008 8036 9229 5/27/2008 8259 9360 5/28/2008 8352 9414 5/29/2008 8512 9505 5/30/2008 8571 9540 5/31/2008 8571 9540 6/1/2008 8571 9540 6/2/2008 8410 9448 6/3/2008 8358 9422 6/4/2008 8470 9483 6/5/2008 8914 9733 6/6/2008 8376 9441 6/7/2008 8376 9441 6/8/2008 8376 9441 6/9/2008 8276 9376 6/10/2008 8201 9343 6/11/2008 7877 9157 6/12/2008 7919 9183 6/13/2008 8222 9359 6/14/2008 8222 9359 6/15/2008 8222 9359 6/16/2008 8378 9450 6/17/2008 8287 9398 6/18/2008 8159 9323 6/19/2008 8316 9414 6/20/2008 8037 9260 6/21/2008 8037 9260 6/22/2008 8037 9260 6/23/2008 7902 9185 6/24/2008 7643 9033 6/25/2008 7827 9140 6/26/2008 7444 8917 6/27/2008 7433 8914 6/28/2008 7433 8914 6/29/2008 7433 8914 6/30/2008 7255 8806 7/1/2008 7291 8831 7/2/2008 6878 8585 7/3/2008 6750 8502 7/4/2008 6750 8502 7/5/2008 6750 8502 7/6/2008 6750 8502 7/7/2008 6596 8406 7/8/2008 7096 8719 7/9/2008 6694 8477 7/10/2008 6835 8562 7/11/2008 6925 8621 7/12/2008 6925 8621 7/13/2008 6925 8621 7/14/2008 6710 8488 7/15/2008 6663 8460 7/16/2008 7159 8772 7/17/2008 7369 8899 7/18/2008 7290 8854 7/19/2008 7290 8854 7/20/2008 7290 8854 7/21/2008 7389 8912 7/22/2008 7794 9157 7/23/2008 7846 9188 7/24/2008 7482 8973 7/25/2008 7648 9075 7/26/2008 7648 9075 7/27/2008 7648 9075 7/28/2008 7341 8893 7/29/2008 7732 9130 7/30/2008 7822 9186 7/31/2008 7721 9132 8/1/2008 7765 9153 8/2/2008 7765 9153 8/3/2008 7765 9153 8/4/2008 7502 9000 8/5/2008 7860 9216 8/6/2008 7968 9278 8/7/2008 7701 9119 8/8/2008 8138 9386 8/9/2008 8138 9386 8/10/2008 8138 9386 8/11/2008 8516 9601 8/12/2008 8376 9523 8/13/2008 8442 9560 8/14/2008 8590 9646 8/15/2008 8568 9633 8/16/2008 8568 9633 8/17/2008 8568 9633 8/18/2008 8301 9488 8/19/2008 8041 9337 8/20/2008 8080 9357 8/21/2008 7932 9276 8/22/2008 8208 9434 8/23/2008 8208 9434 8/24/2008 8208 9434 8/25/2008 7825 9216 8/26/2008 7886 9254 8/27/2008 8094 9376 8/28/2008 8424 9568 8/29/2008 8235 9462 8/30/2008 8235 9462 8/31/2008 8235 9462 9/1/2008 8235 9462 9/2/2008 8220 9449 9/3/2008 8299 9493 9/4/2008 7771 9196 9/5/2008 7769 9199 9/6/2008 7769 9199 9/7/2008 7769 9199 9/8/2008 8081 9379 9/9/2008 7513 9052 9/10/2008 7717 9178 9/11/2008 7772 9204 9/12/2008 7794 9221 9/13/2008 7794 9221 9/14/2008 7794 9221 9/15/2008 7140 8830 9/16/2008 7573 9099 9/17/2008 6826 8660 9/18/2008 7776 9266 9/19/2008 8471 9651 9/20/2008 8471 9651 9/21/2008 8471 9651 9/22/2008 7747 9225 9/23/2008 7527 9081 9/24/2008 7316 8935 9/25/2008 7460 9038 9/26/2008 7466 9030 9/27/2008 7466 9030 9/28/2008 7466 9030 9/29/2008 6409 8428 9/30/2008 6951 8708 10/1/2008 6728 8606 10/2/2008 6022 8172 10/3/2008 5727 7938 10/4/2008 5727 7938 10/5/2008 5727 7938 10/6/2008 5279 7637 10/7/2008 4597 7163 10/8/2008 4369 7005 10/9/2008 3635 6399 10/10/2008 3998 6698 10/11/2008 3998 6698 10/12/2008 3998 6698 10/13/2008 4713 7319 10/14/2008 4441 7111 10/15/2008 3616 6438 10/16/2008 4117 6880 10/17/2008 3914 6752 10/18/2008 3914 6752 10/19/2008 3914 6752 10/20/2008 4246 7014 10/21/2008 4008 6806 10/22/2008 3590 6437 10/23/2008 3380 6282 10/24/2008 3129 6041 10/25/2008 3129 6041 10/26/2008 3129 6041 10/27/2008 2824 5750 10/28/2008 3278 6188 10/29/2008 3344 6297 10/30/2008 3691 6596 10/31/2008 4021 6896 11/1/2008 4021 6896 11/2/2008 4021 6896 11/3/2008 4028 6909 11/4/2008 4132 7005 11/5/2008 3679 6603 11/6/2008 3407 6363 11/7/2008 3545 6491 11/8/2008 3545 6491 11/9/2008 3545 6491 11/10/2008 3368 6329 11/11/2008 3234 6190 11/12/2008 2839 5813 11/13/2008 3325 6307 11/14/2008 2839 5862 11/15/2008 2839 5862 11/16/2008 2839 5862 11/17/2008 2785 5795 11/18/2008 2744 5747 11/19/2008 2309 5296 11/20/2008 2002 4949 11/21/2008 2223 5222 11/22/2008 2223 5222 11/23/2008 2223 5222 11/24/2008 2540 5611 11/25/2008 2625 5693 11/26/2008 2936 6025 11/27/2008 2936 6025 11/28/2008 3086 6081 11/29/2008 3086 6081 11/30/2008 3086 6081 12/1/2008 2276 5360 12/2/2008 2551 5679 12/3/2008 2699 5832 12/4/2008 2523 5650 12/5/2008 2764 5927 12/6/2008 2764 5927 12/7/2008 2764 5927 12/8/2008 3005 6188 12/9/2008 2819 5987 12/10/2008 2946 6125 12/11/2008 2643 5803 12/12/2008 2839 6025 12/13/2008 2839 6025 12/14/2008 2839 6025 12/15/2008 2649 5821 12/16/2008 3005 6212 12/17/2008 3049 6261 12/18/2008 2978 6166 12/19/2008 3042 6257 12/20/2008 3042 6257 12/21/2008 3042 6257 12/22/2008 2913 6113 12/23/2008 2829 6031 12/24/2008 2857 6055 12/25/2008 2857 6055 12/26/2008 2934 6136 12/27/2008 2934 6136 12/28/2008 2934 6136 12/29/2008 2814 6004 12/30/2008 3001 6218 12/31/2008 3182 6433 1/1/2009 3182 6433 1/2/2009 3275 6516 1/3/2009 3275 6516 1/4/2009 3275 6516 1/5/2009 3287 6506 1/6/2009 3400 6630 1/7/2009 3182 6404 1/8/2009 3230 6467 1/9/2009 2973 6201 1/10/2009 2973 6201 1/11/2009 2973 6201 1/12/2009 2809 6040 1/13/2009 2880 6105 1/14/2009 2627 5839 1/15/2009 2724 5961 1/16/2009 2776 6010 1/17/2009 2776 6010 1/18/2009 2776 6010 1/19/2009 2776 6010 1/20/2009 2394 5588 1/21/2009 2647 5886 1/22/2009 2490 5707 1/23/2009 2510 5727 1/24/2009 2510 5727 1/25/2009 2510 5727 1/26/2009 2571 5800 1/27/2009 2635 5871 1/28/2009 2838 6097 1/29/2009 2604 5843 1/30/2009 2495 5718 1/31/2009 2495 5718 2/1/2009 2495 5718 2/2/2009 2557 5796 2/3/2009 2595 5839 2/4/2009 2548 5783 2/5/2009 2619 5868 2/6/2009 2801 6070 2/7/2009 2801 6070 2/8/2009 2801 6070 2/9/2009 2770 6035 2/10/2009 2513 5749 2/11/2009 2537 5779 2/12/2009 2567 5811 2/13/2009 2535 5784 2/14/2009 2535 5784 2/15/2009 2535 5784 2/16/2009 2535 5784 2/17/2009 2320 5534 2/18/2009 2258 5460 2/19/2009 2189 5377 2/20/2009 2128 5303 2/21/2009 2128 5303 2/22/2009 2128 5303 2/23/2009 1958 5092 2/24/2009 2133 5323 2/25/2009 2023 5182 2/26/2009 1940 5074 2/27/2009 1903 5023 2/28/2009 1903 5023 3/1/2009 1903 5023 3/2/2009 1692 4749 3/3/2009 1629 4662 3/4/2009 1719 4796 3/5/2009 1519 4514 3/6/2009 1534 4535 3/7/2009 1534 4535 3/8/2009 1534 4535 3/9/2009 1465 4435 3/10/2009 1675 4751 3/11/2009 1664 4734 3/12/2009 1881 5044 3/13/2009 1911 5083 3/14/2009 1911 5083 3/15/2009 1911 5083 3/16/2009 1845 4996 3/17/2009 2011 5219 3/18/2009 2151 5401 3/19/2009 2106 5345 3/20/2009 1970 5175 3/21/2009 1970 5175 3/22/2009 1970 5175 3/23/2009 2303 5610 3/24/2009 2121 5386 3/25/2009 2225 5517 3/26/2009 2418 5760 3/27/2009 2244 5552 3/28/2009 2244 5552 3/29/2009 2244 5552 3/30/2009 2110 5384 3/31/2009 2174 5471 4/1/2009 2241 5555 4/2/2009 2462 5827 4/3/2009 2528 5904 4/4/2009 2528 5904 4/5/2009 2528 5904 4/6/2009 2436 5793 4/7/2009 2263 5589 4/8/2009 2371 5724 4/9/2009 2648 6062 4/10/2009 2648 6062 4/11/2009 2648 6062 4/12/2009 2648 6062 4/13/2009 2647 6061 4/14/2009 2482 5869 4/15/2009 2566 5972 4/16/2009 2709 6137 4/17/2009 2770 6208 4/18/2009 2770 6208 4/19/2009 2770 6208 4/20/2009 2464 5860 4/21/2009 2652 6087 4/22/2009 2658 6096 4/23/2009 2614 6043 4/24/2009 2745 6200 4/25/2009 2745 6200 4/26/2009 2745 6200 4/27/2009 2645 6081 4/28/2009 2681 6126 4/29/2009 2893 6368 4/30/2009 2844 6317 5/1/2009 2844 6310 5/2/2009 2844 6310 5/3/2009 2844 6310 5/4/2009 3070 6567 5/5/2009 3023 6512 5/6/2009 3052 6545 5/7/2009 2906 6388 5/8/2009 3124 6633 5/9/2009 3124 6633 5/10/2009 3124 6633 5/11/2009 3009 6505 5/12/2009 2928 6418 5/13/2009 2654 6116 5/14/2009 2749 6232 5/15/2009 2698 6169 5/16/2009 2698 6169 5/17/2009 2698 6169 5/18/2009 2909 6415 5/19/2009 2894 6396 5/20/2009 2847 6346 5/21/2009 2756 6241 5/22/2009 2713 6195 5/23/2009 2713 6195 5/24/2009 2713 6195 5/25/2009 2713 6195 5/26/2009 2971 6489 5/27/2009 2850 6354 5/28/2009 2875 6386 5/29/2009 2987 6508 5/30/2009 2987 6508 5/31/2009 2987 6508 6/1/2009 3221 6764 6/2/2009 3290 6833 6/3/2009 3242 6782 6/4/2009 3350 6898 6/5/2009 3336 6882 6/6/2009 3336 6882 6/7/2009 3336 6882 6/8/2009 3265 6810 6/9/2009 3302 6851 6/10/2009 3254 6796 6/11/2009 3281 6829 6/12/2009 3293 6839 6/13/2009 3293 6839 6/14/2009 3293 6839 6/15/2009 3106 6645 6/16/2009 3006 6540 6/17/2009 3046 6583 6/18/2009 3075 6615 6/19/2009 3113 6657 6/20/2009 3113 6657 6/21/2009 3113 6657 6/22/2009 2873 6399 6/23/2009 2837 6360 6/24/2009 2898 6427 6/25/2009 3064 6612 6/26/2009 3102 6667 6/27/2009 3102 6667 6/28/2009 3102 6667 6/29/2009 3082 6633 6/30/2009 3056 6603 7/1/2009 3164 6723 7/2/2009 2927 6460 7/3/2009 2927 6460 7/4/2009 2927 6460 7/5/2009 2927 6460 7/6/2009 2883 6419 7/7/2009 2763 6292 7/8/2009 2716 6233 7/9/2009 2707 6229 7/10/2009 2730 6251 7/11/2009 2730 6251 7/12/2009 2730 6251 7/13/2009 2869 6412 7/14/2009 2906 6453 7/15/2009 3130 6702 7/16/2009 3208 6785 7/17/2009 3174 6749 7/18/2009 3174 6749 7/19/2009 3174 6749 7/20/2009 3267 6849 7/21/2009 3247 6827 7/22/2009 3290 6873 7/23/2009 3503 7096 7/24/2009 3537 7130 7/25/2009 3537 7130 7/26/2009 3537 7130 7/27/2009 3568 7161 7/28/2009 3580 7175 7/29/2009 3537 7130 7/30/2009 3658 7253 7/31/2009 3642 7239 8/1/2009 3642 7239 8/2/2009 3642 7239 8/3/2009 3763 7357 8/4/2009 3829 7422 8/5/2009 3765 7361 8/6/2009 3654 7252 8/7/2009 3845 7445 8/8/2009 3845 7445 8/9/2009 3845 7445 8/10/2009 3841 7438 8/11/2009 3711 7311 8/12/2009 3843 7443 8/13/2009 3887 7483 8/14/2009 3733 7337 8/15/2009 3733 7337 8/16/2009 3733 7337 8/17/2009 3524 7132 8/18/2009 3630 7240 8/19/2009 3700 7309 8/20/2009 3791 7400 8/21/2009 3963 7568 8/22/2009 3963 7568 8/23/2009 3963 7568 8/24/2009 3948 7551 8/25/2009 3989 7590 8/26/2009 4000 7601 8/27/2009 3997 7598 8/28/2009 3943 7548 8/29/2009 3943 7548 8/30/2009 3943 7548 8/31/2009 3836 7447 9/1/2009 3650 7264 9/2/2009 3621 7236 9/3/2009 3707 7323 9/4/2009 3813 7427 9/5/2009 3813 7427 9/6/2009 3813 7427 9/7/2009 3813 7427 9/8/2009 3893 7504 9/9/2009 4027 7635 9/10/2009 4142 7746 9/11/2009 4127 7731 9/12/2009 4127 7731 9/13/2009 4127 7731 9/14/2009 4216 7815 9/15/2009 4285 7879 9/16/2009 4463 8043 9/17/2009 4437 8018 9/18/2009 4471 8049 9/19/2009 4471 8049 9/20/2009 4471 8049 9/21/2009 4446 8024 9/22/2009 4511 8086 9/23/2009 4410 7991 9/24/2009 4240 7840 9/25/2009 4199 7803 9/26/2009 4199 7803 9/27/2009 4199 7803 9/28/2009 4401 7992 9/29/2009 4362 7956 9/30/2009 4267 7876 10/1/2009 3984 7609 10/2/2009 3935 7563 10/3/2009 3935 7563 10/4/2009 3935 7563 10/5/2009 4083 7705 10/6/2009 4233 7847 10/7/2009 4234 7849 10/8/2009 4314 7924 10/9/2009 4416 8017 10/10/2009 4416 8017 10/11/2009 4416 8017 10/12/2009 4404 8003 10/13/2009 4374 7976 10/14/2009 4547 8136 10/15/2009 4539 8129 10/16/2009 4439 8035 10/17/2009 4439 8035 10/18/2009 4439 8035 10/19/2009 4522 8116 10/20/2009 4394 7999 10/21/2009 4275 7892 10/22/2009 4393 7999 10/23/2009 4214 7836 10/24/2009 4214 7836 10/25/2009 4214 7836 10/26/2009 4118 7742 10/27/2009 4022 7655 10/28/2009 3744 7388 10/29/2009 3917 7569 10/30/2009 3686 7342 10/31/2009 3686 7342
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/05/2007) -------- --------------- RYDEXSGI 2X RUSSELL 2000 ETF................................ -8.36% -39.46% RUSSELL 2000 TOTAL RETURN INDEX............................. 6.46% -14.39%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 15 RYDEXSGI 2x RUSSELL 2000 ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ HUMAN GENOME SCIENCES, INC. 0.31% TUPPERWARE BRANDS CORP. 0.29% PEROT SYSTEMS CORP. -- CLASS A 0.27% SOLERA HOLDINGS, INC. 0.23% BALLY TECHNOLOGIES, INC. 0.22% MFA MORTGAGE INVESTMENTS, INC. 0.21% J. CREW GROUP, INC. 0.21% 3COM CORP. 0.20% HIGHWOODS PROPERTIES, INC. 0.20% JACK HENRY & ASSOCIATES, INC. 0.20% - ------------------------------------------------------------------------------------
SECTOR ALLOCATIONS* (PIE CHART) Financials 20.00 Information Technology 18.80 Industrials 15.90 Health Care 14.00 Consumer Discretionary 13.89 Energy 4.97 Materials 4.42 Consumer Staples 3.49 Utilities 3.36 Telecommunication Services 1.17
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Sector Allocations are expressed as a percentage of the Fund's equity investments market value. These percentages may change over time. 16 RYDEXSGI INVERSE 2x RUSSELL 2000 ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI Inverse 2x Russell 2000 ETF returned -51.17%. Over the same time period, its benchmark, the Russell 2000(R) Total Return Index, returned 6.46%. For the period since its inception, RydexSGI Inverse 2x Russell 2000 ETF achieved a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the Russell 2000 Total Return Index. The biggest performance contributors were information technology (30.17%), consumer discretionary (29.51%) and materials (29.76%), while the hard-hit financials sector was by far the biggest detractor (-12.99%) followed by energy (-3.79%) and industrials (-1.35%). As the global economic crisis worsened, tight credit markets made it difficult for companies to find financing. Consumer spending has been significantly curtailed as the American consumer increased savings during the financial crisis. Small-cap stocks underperformed both large-cap and mid-cap stocks during the period. The Russell 2000 Total Return Index was up 6.46% whereas the S&P 500(R) Total Return Index was up 9.80% and the S&P MidCap 400(R) Total Return Index was up 18.18% for the year. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: NOVEMBER 5, 2007 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI INVERSE RUSSELL 2000 2X RUSSELL TOTAL RETURN 2000 ETF INDEX ----------------- ------------ 11/5/2007 10000 10000 11/6/2007 9709 10144 11/7/2007 10345 9818 11/8/2007 10209 9881 11/9/2007 10449 9773 11/10/2007 10449 9773 11/11/2007 10449 9773 11/12/2007 10601 9706 11/13/2007 9999 9986 11/14/2007 10163 9903 11/15/2007 10443 9765 11/16/2007 10513 9739 11/17/2007 10513 9739 11/18/2007 10513 9739 11/19/2007 11041 9497 11/20/2007 11071 9485 11/21/2007 11349 9372 11/22/2007 11349 9372 11/23/2007 10899 9558 11/24/2007 10899 9558 11/25/2007 10899 9558 11/26/2007 11488 9306 11/27/2007 11217 9410 11/28/2007 10408 9750 11/29/2007 10521 9701 11/30/2007 10488 9722 12/1/2007 10488 9722 12/2/2007 10488 9722 12/3/2007 10705 9624 12/4/2007 10931 9524 12/5/2007 10533 9697 12/6/2007 9951 9967 12/7/2007 9992 9949 12/8/2007 9992 9949 12/9/2007 9992 9949 12/10/2007 9845 10021 12/11/2007 10483 9705 12/12/2007 10324 9777 12/13/2007 10393 9749 12/14/2007 10815 9553 12/15/2007 10815 9553 12/16/2007 10815 9553 12/17/2007 11240 9365 12/18/2007 10777 9555 12/19/2007 10732 9582 12/20/2007 10408 9727 12/21/2007 9928 9956 12/22/2007 9928 9956 12/23/2007 9928 9956 12/24/2007 9708 10068 12/25/2007 9708 10068 12/26/2007 9652 10102 12/27/2007 10209 9810 12/28/2007 10264 9789 12/29/2007 10264 9789 12/30/2007 10264 9789 12/31/2007 10415 9716 1/1/2008 10415 9716 1/2/2008 10757 9559 1/3/2008 11013 9451 1/4/2008 11702 9154 1/5/2008 11702 9154 1/6/2008 11702 9154 1/7/2008 11628 9184 1/8/2008 12258 8942 1/9/2008 11984 9034 1/10/2008 11727 9137 1/11/2008 12235 8940 1/12/2008 12235 8940 1/13/2008 12235 8940 1/14/2008 11971 9040 1/15/2008 12472 8849 1/16/2008 12413 8880 1/17/2008 13080 8635 1/18/2008 13356 8542 1/19/2008 13356 8542 1/20/2008 13356 8542 1/21/2008 13356 8542 1/22/2008 13450 8521 1/23/2008 12582 8799 1/24/2008 12610 8790 1/25/2008 12771 8738 1/26/2008 12771 8738 1/27/2008 12771 8738 1/28/2008 12255 8913 1/29/2008 12155 8950 1/30/2008 12500 8827 1/31/2008 11864 9054 2/1/2008 11292 9272 2/2/2008 11292 9272 2/3/2008 11292 9272 2/4/2008 11512 9183 2/5/2008 12199 8906 2/6/2008 12528 8791 2/7/2008 12148 8922 2/8/2008 12298 8873 2/9/2008 12298 8873 2/10/2008 12298 8873 2/11/2008 12271 8884 2/12/2008 12072 8957 2/13/2008 11506 9168 2/14/2008 12034 8957 2/15/2008 12155 8909 2/16/2008 12155 8909 2/17/2008 12155 8909 2/18/2008 12155 8909 2/19/2008 12141 8919 2/20/2008 11877 9017 2/21/2008 12347 8843 2/22/2008 12373 8833 2/23/2008 12373 8833 2/24/2008 12373 8833 2/25/2008 11849 9024 2/26/2008 11624 9111 2/27/2008 11648 9101 2/28/2008 12002 8966 2/29/2008 12666 8718 3/1/2008 12666 8718 3/2/2008 12666 8718 3/3/2008 12743 8693 3/4/2008 12874 8653 3/5/2008 12760 8688 3/6/2008 13556 8423 3/7/2008 13664 8389 3/8/2008 13664 8389 3/9/2008 13664 8389 3/10/2008 14327 8184 3/11/2008 13007 8564 3/12/2008 13262 8484 3/13/2008 12764 8642 3/14/2008 13410 8429 3/15/2008 13410 8429 3/16/2008 13410 8429 3/17/2008 13909 8271 3/18/2008 12573 8672 3/19/2008 13234 8446 3/20/2008 12558 8666 3/21/2008 12558 8666 3/22/2008 12558 8666 3/23/2008 12558 8666 3/24/2008 11826 8919 3/25/2008 11694 8970 3/26/2008 11799 8930 3/27/2008 12116 8810 3/28/2008 12441 8694 3/29/2008 12441 8694 3/30/2008 12441 8694 3/31/2008 12270 8755 4/1/2008 11467 9043 4/2/2008 11416 9065 4/3/2008 11375 9082 4/4/2008 11375 9084 4/5/2008 11375 9084 4/6/2008 11375 9084 4/7/2008 11410 9071 4/8/2008 11436 9062 4/9/2008 11871 8890 4/10/2008 11566 9005 4/11/2008 12201 8761 4/12/2008 12201 8761 4/13/2008 12201 8761 4/14/2008 12273 8734 4/15/2008 12063 8811 4/16/2008 11330 9083 4/17/2008 11499 9014 4/18/2008 11088 9181 4/19/2008 11088 9181 4/20/2008 11088 9181 4/21/2008 11168 9142 4/22/2008 11616 8960 4/23/2008 11475 9016 4/24/2008 11191 9130 4/25/2008 11049 9191 4/26/2008 11049 9191 4/27/2008 11049 9191 4/28/2008 10934 9237 4/29/2008 11125 9156 4/30/2008 11217 9121 5/1/2008 10796 9295 5/2/2008 10913 9244 5/3/2008 10913 9244 5/4/2008 10913 9244 5/5/2008 10960 9226 5/6/2008 10803 9296 5/7/2008 11193 9123 5/8/2008 11094 9166 5/9/2008 11080 9173 5/10/2008 11080 9173 5/11/2008 11080 9173 5/12/2008 10682 9341 5/13/2008 10576 9388 5/14/2008 10596 9379 5/15/2008 10386 9473 5/16/2008 10452 9445 5/17/2008 10452 9445 5/18/2008 10452 9445 5/19/2008 10531 9411 5/20/2008 10604 9375 5/21/2008 10853 9267 5/22/2008 10678 9342 5/23/2008 10941 9229 5/24/2008 10941 9229 5/25/2008 10941 9229 5/26/2008 10941 9229 5/27/2008 10636 9360 5/28/2008 10517 9414 5/29/2008 10316 9505 5/30/2008 10249 9540 5/31/2008 10249 9540 6/1/2008 10249 9540 6/2/2008 10440 9448 6/3/2008 10502 9422 6/4/2008 10367 9483 6/5/2008 9819 9733 6/6/2008 10412 9441 6/7/2008 10412 9441 6/8/2008 10412 9441 6/9/2008 10551 9376 6/10/2008 10635 9343 6/11/2008 11055 9157 6/12/2008 10998 9183 6/13/2008 10580 9359 6/14/2008 10580 9359 6/15/2008 10580 9359 6/16/2008 10374 9450 6/17/2008 10488 9398 6/18/2008 10651 9323 6/19/2008 10448 9414 6/20/2008 10798 9260 6/21/2008 10798 9260 6/22/2008 10798 9260 6/23/2008 10977 9185 6/24/2008 11339 9033 6/25/2008 11071 9140 6/26/2008 11613 8917 6/27/2008 11633 8914 6/28/2008 11633 8914 6/29/2008 11633 8914 6/30/2008 11908 8806 7/1/2008 11851 8831 7/2/2008 12522 8585 7/3/2008 12759 8502 7/4/2008 12759 8502 7/5/2008 12759 8502 7/6/2008 12759 8502 7/7/2008 13049 8406 7/8/2008 12089 8719 7/9/2008 12774 8477 7/10/2008 12501 8562 7/11/2008 12341 8621 7/12/2008 12341 8621 7/13/2008 12341 8621 7/14/2008 12724 8488 7/15/2008 12813 8460 7/16/2008 11875 8772 7/17/2008 11528 8899 7/18/2008 11658 8854 7/19/2008 11658 8854 7/20/2008 11658 8854 7/21/2008 11499 8912 7/22/2008 10865 9157 7/23/2008 10799 9188 7/24/2008 11303 8973 7/25/2008 11054 9075 7/26/2008 11054 9075 7/27/2008 11054 9075 7/28/2008 11499 8893 7/29/2008 10887 9130 7/30/2008 10758 9186 7/31/2008 10891 9132 8/1/2008 10838 9153 8/2/2008 10838 9153 8/3/2008 10838 9153 8/4/2008 11205 9000 8/5/2008 10674 9216 8/6/2008 10527 9278 8/7/2008 10886 9119 8/8/2008 10259 9386 8/9/2008 10259 9386 8/10/2008 10259 9386 8/11/2008 9780 9601 8/12/2008 9942 9523 8/13/2008 9864 9560 8/14/2008 9690 9646 8/15/2008 9718 9633 8/16/2008 9718 9633 8/17/2008 9718 9633 8/18/2008 10019 9488 8/19/2008 10341 9337 8/20/2008 10291 9357 8/21/2008 10479 9276 8/22/2008 10121 9434 8/23/2008 10121 9434 8/24/2008 10121 9434 8/25/2008 10589 9216 8/26/2008 10507 9254 8/27/2008 10229 9376 8/28/2008 9814 9568 8/29/2008 10037 9462 8/30/2008 10037 9462 8/31/2008 10037 9462 9/1/2008 10037 9462 9/2/2008 10059 9449 9/3/2008 9965 9493 9/4/2008 10503 9196 9/5/2008 10604 9199 9/6/2008 10604 9199 9/7/2008 10604 9199 9/8/2008 10183 9379 9/9/2008 10903 9052 9/10/2008 10619 9178 9/11/2008 10537 9204 9/12/2008 10508 9221 9/13/2008 10508 9221 9/14/2008 10508 9221 9/15/2008 11384 8830 9/16/2008 10763 9099 9/17/2008 11838 8660 9/18/2008 10224 9266 9/19/2008 9325 9651 9/20/2008 9325 9651 9/21/2008 9325 9651 9/22/2008 10140 9225 9/23/2008 10433 9081 9/24/2008 10725 8935 9/25/2008 10515 9038 9/26/2008 10513 9030 9/27/2008 10513 9030 9/28/2008 10513 9030 9/29/2008 11984 8428 9/30/2008 11012 8708 10/1/2008 11405 8606 10/2/2008 12589 8172 10/3/2008 13185 7938 10/4/2008 13185 7938 10/5/2008 13185 7938 10/6/2008 14209 7637 10/7/2008 16010 7163 10/8/2008 16814 7005 10/9/2008 19520 6399 10/10/2008 17552 6698 10/11/2008 17552 6698 10/12/2008 17552 6698 10/13/2008 14385 7319 10/14/2008 15347 7111 10/15/2008 18162 6438 10/16/2008 15664 6880 10/17/2008 16555 6752 10/18/2008 16555 6752 10/19/2008 16555 6752 10/20/2008 15128 7014 10/21/2008 16013 6806 10/22/2008 17648 6437 10/23/2008 18696 6282 10/24/2008 20045 6041 10/25/2008 20045 6041 10/26/2008 20045 6041 10/27/2008 21994 5750 10/28/2008 18454 6188 10/29/2008 18338 6297 10/30/2008 16414 6596 10/31/2008 14879 6896 11/1/2008 14879 6896 11/2/2008 14879 6896 11/3/2008 14856 6909 11/4/2008 14466 7005 11/5/2008 16036 6603 11/6/2008 17256 6363 11/7/2008 16559 6491 11/8/2008 16559 6491 11/9/2008 16559 6491 11/10/2008 17426 6329 11/11/2008 18075 6190 11/12/2008 20273 5813 11/13/2008 16823 6307 11/14/2008 19504 5862 11/15/2008 19504 5862 11/16/2008 19504 5862 11/17/2008 19824 5795 11/18/2008 20097 5747 11/19/2008 23360 5296 11/20/2008 26494 4949 11/21/2008 23631 5222 11/22/2008 23631 5222 11/23/2008 23631 5222 11/24/2008 20354 5611 11/25/2008 19626 5693 11/26/2008 17249 6025 11/27/2008 17249 6025 11/28/2008 16257 6081 11/29/2008 16257 6081 11/30/2008 16257 6081 12/1/2008 20734 5360 12/2/2008 18508 5679 12/3/2008 17379 5832 12/4/2008 18575 5650 12/5/2008 16828 5927 12/6/2008 16828 5927 12/7/2008 16828 5927 12/8/2008 15366 6188 12/9/2008 16315 5987 12/10/2008 15666 6125 12/11/2008 17061 5803 12/12/2008 15956 6025 12/13/2008 15956 6025 12/14/2008 15956 6025 12/15/2008 16876 5821 12/16/2008 14849 6212 12/17/2008 14671 6261 12/18/2008 14917 6166 12/19/2008 14685 6257 12/20/2008 14685 6257 12/21/2008 14685 6257 12/22/2008 15210 6113 12/23/2008 15603 6031 12/24/2008 15456 6055 12/25/2008 15456 6055 12/26/2008 15085 6136 12/27/2008 15085 6136 12/28/2008 15085 6136 12/29/2008 15607 6004 12/30/2008 14713 6218 12/31/2008 14014 6433 1/1/2009 14014 6433 1/2/2009 13569 6516 1/3/2009 13569 6516 1/4/2009 13569 6516 1/5/2009 13438 6506 1/6/2009 13010 6630 1/7/2009 13788 6404 1/8/2009 13617 6467 1/9/2009 14661 6201 1/10/2009 14661 6201 1/11/2009 14661 6201 1/12/2009 15500 6040 1/13/2009 15095 6105 1/14/2009 16436 5839 1/15/2009 15891 5961 1/16/2009 15559 6010 1/17/2009 15559 6010 1/18/2009 15559 6010 1/19/2009 15559 6010 1/20/2009 17692 5588 1/21/2009 15919 5886 1/22/2009 16852 5707 1/23/2009 16669 5727 1/24/2009 16669 5727 1/25/2009 16669 5727 1/26/2009 16294 5800 1/27/2009 15888 5871 1/28/2009 14658 6097 1/29/2009 15850 5843 1/30/2009 16462 5718 1/31/2009 16462 5718 2/1/2009 16462 5718 2/2/2009 16147 5796 2/3/2009 15908 5839 2/4/2009 16158 5783 2/5/2009 15790 5868 2/6/2009 14677 6070 2/7/2009 14677 6070 2/8/2009 14677 6070 2/9/2009 14793 6035 2/10/2009 16137 5749 2/11/2009 16010 5779 2/12/2009 15812 5811 2/13/2009 16059 5784 2/14/2009 16059 5784 2/15/2009 16059 5784 2/16/2009 16059 5784 2/17/2009 17348 5534 2/18/2009 17808 5460 2/19/2009 18334 5377 2/20/2009 18827 5303 2/21/2009 18827 5303 2/22/2009 18827 5303 2/23/2009 20323 5092 2/24/2009 18598 5323 2/25/2009 19486 5182 2/26/2009 20234 5074 2/27/2009 20620 5023 2/28/2009 20620 5023 3/1/2009 20620 5023 3/2/2009 22812 4749 3/3/2009 23658 4662 3/4/2009 22353 4796 3/5/2009 24937 4514 3/6/2009 24700 4535 3/7/2009 24700 4535 3/8/2009 24700 4535 3/9/2009 25803 4435 3/10/2009 22160 4751 3/11/2009 22284 4734 3/12/2009 19406 5044 3/13/2009 19078 5083 3/14/2009 19078 5083 3/15/2009 19078 5083 3/16/2009 19744 4996 3/17/2009 17960 5219 3/18/2009 16715 5401 3/19/2009 17062 5345 3/20/2009 18150 5175 3/21/2009 18150 5175 3/22/2009 18150 5175 3/23/2009 15090 5610 3/24/2009 16274 5386 3/25/2009 15497 5517 3/26/2009 14140 5760 3/27/2009 15167 5552 3/28/2009 15167 5552 3/29/2009 15167 5552 3/30/2009 16089 5384 3/31/2009 15611 5471 4/1/2009 15117 5555 4/2/2009 13627 5827 4/3/2009 13255 5904 4/4/2009 13255 5904 4/5/2009 13255 5904 4/6/2009 13744 5793 4/7/2009 14719 5589 4/8/2009 14018 5724 4/9/2009 12372 6062 4/10/2009 12372 6062 4/11/2009 12372 6062 4/12/2009 12372 6062 4/13/2009 12375 6061 4/14/2009 13149 5869 4/15/2009 12703 5972 4/16/2009 11992 6137 4/17/2009 11719 6208 4/18/2009 11719 6208 4/19/2009 11719 6208 4/20/2009 13006 5860 4/21/2009 12013 6087 4/22/2009 11989 6096 4/23/2009 12184 6043 4/24/2009 11568 6200 4/25/2009 11568 6200 4/26/2009 11568 6200 4/27/2009 11987 6081 4/28/2009 11823 6126 4/29/2009 10895 6368 4/30/2009 11075 6317 5/1/2009 11077 6310 5/2/2009 11077 6310 5/3/2009 11077 6310 5/4/2009 10194 6567 5/5/2009 10353 6512 5/6/2009 10248 6545 5/7/2009 10739 6388 5/8/2009 9932 6633 5/9/2009 9932 6633 5/10/2009 9932 6633 5/11/2009 10306 6505 5/12/2009 10582 6418 5/13/2009 11573 6116 5/14/2009 11149 6232 5/15/2009 11359 6169 5/16/2009 11359 6169 5/17/2009 11359 6169 5/18/2009 10466 6415 5/19/2009 10521 6396 5/20/2009 10691 6346 5/21/2009 11030 6241 5/22/2009 11207 6195 5/23/2009 11207 6195 5/24/2009 11207 6195 5/25/2009 11207 6195 5/26/2009 10146 6489 5/27/2009 10568 6354 5/28/2009 10472 6386 5/29/2009 10061 6508 5/30/2009 10061 6508 5/31/2009 10061 6508 6/1/2009 9271 6764 6/2/2009 9078 6833 6/3/2009 9210 6782 6/4/2009 8898 6898 6/5/2009 8937 6882 6/6/2009 8937 6882 6/7/2009 8937 6882 6/8/2009 9125 6810 6/9/2009 9018 6851 6/10/2009 9155 6796 6/11/2009 9072 6829 6/12/2009 9042 6839 6/13/2009 9042 6839 6/14/2009 9042 6839 6/15/2009 9557 6645 6/16/2009 9862 6540 6/17/2009 9733 6583 6/18/2009 9640 6615 6/19/2009 9518 6657 6/20/2009 9518 6657 6/21/2009 9518 6657 6/22/2009 10249 6399 6/23/2009 10377 6360 6/24/2009 10157 6427 6/25/2009 9571 6612 6/26/2009 9435 6667 6/27/2009 9435 6667 6/28/2009 9435 6667 6/29/2009 9513 6633 6/30/2009 9598 6603 7/1/2009 9252 6723 7/2/2009 9967 6460 7/3/2009 9967 6460 7/4/2009 9967 6460 7/5/2009 9967 6460 7/6/2009 10097 6419 7/7/2009 10501 6292 7/8/2009 10694 6233 7/9/2009 10713 6229 7/10/2009 10633 6251 7/11/2009 10633 6251 7/12/2009 10633 6251 7/13/2009 10088 6412 7/14/2009 9956 6453 7/15/2009 9188 6702 7/16/2009 8959 6785 7/17/2009 9053 6749 7/18/2009 9053 6749 7/19/2009 9053 6749 7/20/2009 8785 6849 7/21/2009 8838 6827 7/22/2009 8719 6873 7/23/2009 8150 7096 7/24/2009 8070 7130 7/25/2009 8070 7130 7/26/2009 8070 7130 7/27/2009 7998 7161 7/28/2009 7968 7175 7/29/2009 8065 7130 7/30/2009 7789 7253 7/31/2009 7822 7239 8/1/2009 7822 7239 8/2/2009 7822 7239 8/3/2009 7563 7357 8/4/2009 7428 7422 8/5/2009 7552 7361 8/6/2009 7773 7252 8/7/2009 7364 7445 8/8/2009 7364 7445 8/9/2009 7364 7445 8/10/2009 7373 7438 8/11/2009 7624 7311 8/12/2009 7354 7443 8/13/2009 7269 7483 8/14/2009 7560 7337 8/15/2009 7560 7337 8/16/2009 7560 7337 8/17/2009 7981 7132 8/18/2009 7742 7240 8/19/2009 7591 7309 8/20/2009 7403 7400 8/21/2009 7067 7568 8/22/2009 7067 7568 8/23/2009 7067 7568 8/24/2009 7095 7551 8/25/2009 7023 7590 8/26/2009 7003 7601 8/27/2009 7007 7598 8/28/2009 7100 7548 8/29/2009 7100 7548 8/30/2009 7100 7548 8/31/2009 7291 7447 9/1/2009 7648 7264 9/2/2009 7709 7236 9/3/2009 7524 7323 9/4/2009 7309 7427 9/5/2009 7309 7427 9/6/2009 7309 7427 9/7/2009 7309 7427 9/8/2009 7155 7504 9/9/2009 6907 7635 9/10/2009 6706 7746 9/11/2009 6731 7731 9/12/2009 6731 7731 9/13/2009 6731 7731 9/14/2009 6583 7815 9/15/2009 6477 7879 9/16/2009 6206 8043 9/17/2009 6244 8018 9/18/2009 6192 8049 9/19/2009 6192 8049 9/20/2009 6192 8049 9/21/2009 6230 8024 9/22/2009 6137 8086 9/23/2009 6276 7991 9/24/2009 6516 7840 9/25/2009 6579 7803 9/26/2009 6579 7803 9/27/2009 6579 7803 9/28/2009 6261 7992 9/29/2009 6316 7956 9/30/2009 6451 7876 10/1/2009 6880 7609 10/2/2009 6965 7563 10/3/2009 6965 7563 10/4/2009 6965 7563 10/5/2009 6704 7705 10/6/2009 6456 7847 10/7/2009 6453 7849 10/8/2009 6331 7924 10/9/2009 6181 8017 10/10/2009 6181 8017 10/11/2009 6181 8017 10/12/2009 6197 8003 10/13/2009 6239 7976 10/14/2009 5991 8136 10/15/2009 6001 8129 10/16/2009 6134 8035 10/17/2009 6134 8035 10/18/2009 6134 8035 10/19/2009 6018 8116 10/20/2009 6188 7999 10/21/2009 6354 7892 10/22/2009 6180 7999 10/23/2009 6433 7836 10/24/2009 6433 7836 10/25/2009 6433 7836 10/26/2009 6577 7742 10/27/2009 6731 7655 10/28/2009 7194 7388 10/29/2009 6866 7569 10/30/2009 7265 7342 10/31/2009 7265 7342
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (11/05/2007) -------- --------------- RYDEXSGI INVERSE 2X RUSSELL 2000 ETF........................ -51.17% -14.84% RUSSELL 2000 TOTAL RETURN INDEX............................. 6.46% -14.39%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 17 RYDEXSGI 2x S&P SELECT SECTOR ENERGY ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- During the one-year period ended October 31, 2009, RydexSGI 2X S&P Select Sector Energy ETF returned -3.21% versus its benchmark, the Select Sector Energy Index, which returned 13.90%. RydexSGI 2x S&P Select Sector Energy ETF achieved a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Select Sector Energy Index. Energy stocks suffered in line with the rest of the market but managed to slightly outperform the S&P 500(R) Total Return Index, which was up 9.80% for the period. The strengthening economy helped increase energy commodity prices. Crude oil prices steadily climbed back to over $75 a barrel at the end of the period from lows just above $30 in December 2008. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI 2X S&P SELECT S&P 500 SECTOR ENERGY TOTAL RETURN ENERGY SELECT ETF INDEX SECTOR INDEX ------------- ------------ ------------- 6/10/2008 10000 10000 10000 6/11/2008 10168 9833 10084 6/12/2008 9808 9866 9905 6/13/2008 10020 10015 10011 6/14/2008 10020 10015 10011 6/15/2008 10020 10015 10011 6/16/2008 10091 10016 10047 6/17/2008 10468 9948 10235 6/18/2008 10481 9851 10243 6/19/2008 10019 9891 10016 6/20/2008 9881 9708 9949 6/21/2008 9881 9708 9949 6/22/2008 9881 9708 9949 6/23/2008 10648 9708 10334 6/24/2008 10280 9681 10156 6/25/2008 10145 9738 10090 6/26/2008 9937 9455 9988 6/27/2008 10137 9420 10088 6/28/2008 10137 9420 10088 6/29/2008 10137 9420 10088 6/30/2008 10477 9432 10258 7/1/2008 10607 9470 10322 7/2/2008 9859 9298 9956 7/3/2008 9703 9309 9880 7/4/2008 9703 9309 9880 7/5/2008 9703 9309 9880 7/6/2008 9703 9309 9880 7/7/2008 9224 9231 9637 7/8/2008 8929 9392 9484 7/9/2008 8516 9179 9265 7/10/2008 9004 9243 9529 7/11/2008 8900 9141 9475 7/12/2008 8900 9141 9475 7/13/2008 8900 9141 9475 7/14/2008 9047 9059 9554 7/15/2008 8267 8960 9143 7/16/2008 7900 9186 8944 7/17/2008 7584 9297 8767 7/18/2008 7804 9299 8896 7/19/2008 7804 9299 8896 7/20/2008 7804 9299 8896 7/21/2008 8287 9295 9173 7/22/2008 7852 9420 8933 7/23/2008 7193 9459 8559 7/24/2008 7108 9240 8508 7/25/2008 7256 9279 8599 7/26/2008 7256 9279 8599 7/27/2008 7256 9279 8599 7/28/2008 7211 9106 8572 7/29/2008 7073 9320 8487 7/30/2008 7901 9476 8987 7/31/2008 7360 9353 8677 8/1/2008 7313 9301 8651 8/2/2008 7313 9301 8651 8/3/2008 7313 9301 8651 8/4/2008 6560 9217 8208 8/5/2008 6665 9483 8274 8/6/2008 6968 9519 8464 8/7/2008 6755 9349 8334 8/8/2008 6628 9573 8258 8/9/2008 6628 9573 8258 8/10/2008 6628 9573 8258 8/11/2008 6588 9642 8226 8/12/2008 6527 9526 8188 8/13/2008 7009 9501 8489 8/14/2008 6824 9554 8376 8/15/2008 6567 9594 8213 8/16/2008 6567 9594 8213 8/17/2008 6567 9594 8213 8/18/2008 6407 9450 8112 8/19/2008 6791 9363 8355 8/20/2008 7219 9421 8617 8/21/2008 7548 9446 8814 8/22/2008 7271 9554 8653 8/23/2008 7271 9554 8653 8/24/2008 7271 9554 8653 8/25/2008 7069 9366 8533 8/26/2008 7329 9401 8692 8/27/2008 7529 9478 8810 8/28/2008 7372 9620 8717 8/29/2008 7185 9488 8607 8/30/2008 7185 9488 8607 8/31/2008 7185 9488 8607 9/1/2008 7185 9488 8607 9/2/2008 6469 9450 8181 9/3/2008 6385 9435 8129 9/4/2008 6128 9153 7964 9/5/2008 6083 9194 7936 9/6/2008 6083 9194 7936 9/7/2008 6083 9194 7936 9/8/2008 5963 9384 7856 9/9/2008 5149 9064 7319 9/10/2008 5537 9120 7593 9/11/2008 5717 9249 7717 9/12/2008 6056 9269 7946 9/13/2008 6056 9269 7946 9/14/2008 6056 9269 7946 9/15/2008 5167 8832 7364 9/16/2008 5559 8987 7641 9/17/2008 5281 8563 7451 9/18/2008 5604 8937 7673 9/19/2008 6423 9297 8234 9/20/2008 6423 9297 8234 9/21/2008 6423 9297 8234 9/22/2008 6273 8942 8140 9/23/2008 5877 8802 7885 9/24/2008 5875 8785 7884 9/25/2008 6133 8958 8058 9/26/2008 5870 8988 7885 9/27/2008 5870 8988 7885 9/28/2008 5870 8988 7885 9/29/2008 4505 8198 6986 9/30/2008 5055 8643 7407 10/1/2008 4824 8605 7238 10/2/2008 4125 8259 6728 10/3/2008 4097 8148 6707 10/4/2008 4097 8148 6707 10/5/2008 4097 8148 6707 10/6/2008 3750 7834 6425 10/7/2008 3273 7385 6022 10/8/2008 3336 7305 6078 10/9/2008 2555 6749 5380 10/10/2008 2127 6670 4936 10/11/2008 2127 6670 4936 10/12/2008 2127 6670 4936 10/13/2008 2945 7442 5883 10/14/2008 2943 7403 5883 10/15/2008 2010 6735 4948 10/16/2008 2308 7021 5314 10/17/2008 2316 6978 5325 10/18/2008 2316 6978 5325 10/19/2008 2316 6978 5325 10/20/2008 2852 7310 5929 10/21/2008 2615 7085 5682 10/22/2008 2048 6654 5067 10/23/2008 2290 6739 5374 10/24/2008 2104 6506 5153 10/25/2008 2104 6506 5153 10/26/2008 2104 6506 5153 10/27/2008 1844 6300 4844 10/28/2008 2273 6979 5405 10/29/2008 2408 6903 5562 10/30/2008 2652 7082 5840 10/31/2008 2706 7191 5902 11/1/2008 2706 7191 5902 11/2/2008 2706 7191 5902 11/3/2008 2573 7173 5755 11/4/2008 2934 7466 6157 11/5/2008 2666 7077 5878 11/6/2008 2329 6723 5501 11/7/2008 2548 6920 5755 11/8/2008 2548 6920 5755 11/9/2008 2548 6920 5755 11/10/2008 2582 6833 5794 11/11/2008 2403 6682 5591 11/12/2008 2037 6338 5163 11/13/2008 2500 6778 5748 11/14/2008 2294 6496 5503 11/15/2008 2294 6496 5503 11/16/2008 2294 6496 5503 11/17/2008 2210 6329 5403 11/18/2008 2345 6393 5566 11/19/2008 2087 6002 5257 11/20/2008 1569 5600 4611 11/21/2008 1949 5955 5163 11/22/2008 1949 5955 5163 11/23/2008 1949 5955 5163 11/24/2008 2217 6341 5517 11/25/2008 2258 6383 5568 11/26/2008 2542 6611 5919 11/27/2008 2542 6611 5919 11/28/2008 2453 6675 5815 11/29/2008 2453 6675 5815 11/30/2008 2453 6675 5815 12/1/2008 1922 6080 5177 12/2/2008 2057 6323 5359 12/3/2008 2060 6490 5363 12/4/2008 1776 6300 4987 12/5/2008 1827 6530 5062 12/6/2008 1827 6530 5062 12/7/2008 1827 6530 5062 12/8/2008 2055 6782 5374 12/9/2008 2048 6625 5366 12/10/2008 2269 6705 5653 12/11/2008 2245 6515 5623 12/12/2008 2191 6561 5557 12/13/2008 2191 6561 5557 12/14/2008 2191 6561 5557 12/15/2008 2178 6478 5540 12/16/2008 2336 6811 5740 12/17/2008 2278 6746 5668 12/18/2008 2006 6603 5330 12/19/2008 2010 6623 5339 12/20/2008 2010 6623 5339 12/21/2008 2010 6623 5339 12/22/2008 1897 6502 5186 12/23/2008 1883 6440 5167 12/24/2008 1887 6481 5174 12/25/2008 1887 6481 5174 12/26/2008 1953 6515 5263 12/27/2008 1953 6515 5263 12/28/2008 1953 6515 5263 12/29/2008 2034 6492 5374 12/30/2008 2112 6652 5477 12/31/2008 2164 6746 5544 1/1/2009 2164 6746 5544 1/2/2009 2384 6961 5828 1/3/2009 2384 6961 5828 1/4/2009 2384 6961 5828 1/5/2009 2480 6928 5944 1/6/2009 2540 6982 6018 1/7/2009 2339 6777 5759 1/8/2009 2399 6800 5835 1/9/2009 2237 6655 5637 1/10/2009 2237 6655 5637 1/11/2009 2237 6655 5637 1/12/2009 2070 6505 5429 1/13/2009 2164 6517 5553 1/14/2009 1963 6300 5295 1/15/2009 1998 6308 5343 1/16/2009 2037 6356 5395 1/17/2009 2037 6356 5395 1/18/2009 2037 6356 5395 1/19/2009 2037 6356 5395 1/20/2009 1823 6020 5114 1/21/2009 2065 6284 5451 1/22/2009 1954 6188 5302 1/23/2009 2073 6222 5463 1/24/2009 2073 6222 5463 1/25/2009 2073 6222 5463 1/26/2009 2148 6256 5562 1/27/2009 2155 6325 5571 1/28/2009 2280 6538 5732 1/29/2009 2101 6322 5508 1/30/2009 2035 6178 5421 1/31/2009 2035 6178 5421 2/1/2009 2035 6178 5421 2/2/2009 1979 6174 5347 2/3/2009 2057 6272 5452 2/4/2009 2082 6230 5486 2/5/2009 2192 6332 5631 2/6/2009 2278 6505 5735 2/7/2009 2278 6505 5735 2/8/2009 2278 6505 5735 2/9/2009 2300 6515 5760 2/10/2009 2076 6195 5479 2/11/2009 2030 6247 5418 2/12/2009 2038 6259 5420 2/13/2009 2043 6198 5426 2/14/2009 2043 6198 5426 2/15/2009 2043 6198 5426 2/16/2009 2043 6198 5426 2/17/2009 1755 5916 5047 2/18/2009 1732 5912 5015 2/19/2009 1740 5845 5023 2/20/2009 1642 5779 4881 2/21/2009 1642 5779 4881 2/22/2009 1642 5779 4881 2/23/2009 1492 5579 4659 2/24/2009 1641 5803 4889 2/25/2009 1618 5742 4856 2/26/2009 1624 5653 4864 2/27/2009 1539 5520 4739 2/28/2009 1539 5520 4739 3/1/2009 1539 5520 4739 3/2/2009 1307 5263 4390 3/3/2009 1326 5229 4421 3/4/2009 1452 5355 4632 3/5/2009 1318 5128 4419 3/6/2009 1343 5135 4460 3/7/2009 1343 5135 4460 3/8/2009 1343 5135 4460 3/9/2009 1354 5084 4479 3/10/2009 1503 5408 4725 3/11/2009 1477 5423 4684 3/12/2009 1570 5645 4831 3/13/2009 1540 5689 4786 3/14/2009 1540 5689 4786 3/15/2009 1540 5689 4786 3/16/2009 1578 5669 4845 3/17/2009 1691 5852 5017 3/18/2009 1725 5974 5068 3/19/2009 1805 5896 5185 3/20/2009 1667 5780 4987 3/21/2009 1667 5780 4987 3/22/2009 1667 5780 4987 3/23/2009 1941 6190 5392 3/24/2009 1847 6064 5262 3/25/2009 1857 6122 5277 3/26/2009 1888 6265 5321 3/27/2009 1770 6139 5154 3/28/2009 1770 6139 5154 3/29/2009 1770 6139 5154 3/30/2009 1636 5926 4958 3/31/2009 1620 6003 4934 4/1/2009 1686 6104 5035 4/2/2009 1821 6280 5234 4/3/2009 1888 6341 5332 4/4/2009 1888 6341 5332 4/5/2009 1888 6341 5332 4/6/2009 1817 6288 5230 4/7/2009 1709 6142 5075 4/8/2009 1756 6215 5144 4/9/2009 1849 6451 5282 4/10/2009 1849 6451 5282 4/11/2009 1849 6451 5282 4/12/2009 1849 6451 5282 4/13/2009 1815 6468 5233 4/14/2009 1799 6339 5209 4/15/2009 1802 6418 5215 4/16/2009 1825 6518 5247 4/17/2009 1860 6551 5298 4/18/2009 1860 6551 5298 4/19/2009 1860 6551 5298 4/20/2009 1671 6271 5030 4/21/2009 1753 6404 5153 4/22/2009 1714 6356 5097 4/23/2009 1779 6419 5192 4/24/2009 1884 6527 5347 4/25/2009 1884 6527 5347 4/26/2009 1884 6527 5347 4/27/2009 1804 6461 5234 4/28/2009 1814 6444 5248 4/29/2009 1926 6584 5408 4/30/2009 1848 6578 5298 5/1/2009 1977 6614 5483 5/2/2009 1977 6614 5483 5/3/2009 1977 6614 5483 5/4/2009 2129 6838 5694 5/5/2009 2067 6812 5612 5/6/2009 2237 6933 5841 5/7/2009 2172 6842 5757 5/8/2009 2369 7007 6018 5/9/2009 2369 7007 6018 5/10/2009 2369 7007 6018 5/11/2009 2210 6859 5810 5/12/2009 2243 6852 5854 5/13/2009 2089 6671 5652 5/14/2009 2110 6741 5681 5/15/2009 2009 6665 5538 5/16/2009 2009 6665 5538 5/17/2009 2009 6665 5538 5/18/2009 2153 6868 5736 5/19/2009 2175 6857 5765 5/20/2009 2187 6823 5781 5/21/2009 2051 6710 5598 5/22/2009 2059 6701 5609 5/23/2009 2059 6701 5609 5/24/2009 2059 6701 5609 5/25/2009 2059 6701 5609 5/26/2009 2153 6877 5737 5/27/2009 2105 6748 5671 5/28/2009 2247 6853 5864 5/29/2009 2312 6946 5947 5/30/2009 2312 6946 5947 5/31/2009 2312 6946 5947 6/1/2009 2502 7125 6193 6/2/2009 2484 7140 6170 6/3/2009 2270 7043 5921 6/4/2009 2386 7125 6057 6/5/2009 2348 7108 6009 6/6/2009 2348 7108 6009 6/7/2009 2348 7108 6009 6/8/2009 2344 7102 6002 6/9/2009 2396 7127 6067 6/10/2009 2431 7103 6111 6/11/2009 2529 7148 6234 6/12/2009 2471 7158 6163 6/13/2009 2471 7158 6163 6/14/2009 2471 7158 6163 6/15/2009 2342 6988 6001 6/16/2009 2242 6899 5874 6/17/2009 2165 6890 5774 6/18/2009 2155 6949 5761 6/19/2009 2114 6970 5705 6/20/2009 2114 6970 5705 6/21/2009 2114 6970 5705 6/22/2009 1896 6758 5412 6/23/2009 1928 6774 5459 6/24/2009 1935 6818 5467 6/25/2009 2026 6964 5597 6/26/2009 1991 6956 5548 6/27/2009 1991 6956 5548 6/28/2009 1991 6956 5548 6/29/2009 2033 7019 5607 6/30/2009 2003 6960 5567 7/1/2009 2009 6991 5573 7/2/2009 1853 6787 5360 7/3/2009 1853 6787 5360 7/4/2009 1853 6787 5360 7/5/2009 1853 6787 5360 7/6/2009 1805 6805 5289 7/7/2009 1713 6671 5155 7/8/2009 1713 6664 5155 7/9/2009 1762 6687 5227 7/10/2009 1724 6660 5172 7/11/2009 1724 6660 5172 7/12/2009 1724 6660 5172 7/13/2009 1783 6827 5261 7/14/2009 1832 6863 5333 7/15/2009 1963 7067 5523 7/16/2009 2010 7128 5590 7/17/2009 2028 7126 5615 7/18/2009 2028 7126 5615 7/19/2009 2028 7126 5615 7/20/2009 2105 7207 5721 7/21/2009 2141 7233 5770 7/22/2009 2093 7231 5705 7/23/2009 2221 7399 5881 7/24/2009 2264 7422 5938 7/25/2009 2264 7422 5938 7/26/2009 2264 7422 5938 7/27/2009 2276 7444 5954 7/28/2009 2201 7425 5855 7/29/2009 2105 7392 5724 7/30/2009 2171 7481 5814 7/31/2009 2206 7486 5860 8/1/2009 2206 7486 5860 8/2/2009 2206 7486 5860 8/3/2009 2328 7601 6021 8/4/2009 2315 7624 6005 8/5/2009 2265 7604 5940 8/6/2009 2228 7563 5890 8/7/2009 2229 7664 5893 8/8/2009 2229 7664 5893 8/9/2009 2229 7664 5893 8/10/2009 2248 7639 5917 8/11/2009 2174 7544 5812 8/12/2009 2230 7634 5886 8/13/2009 2279 7687 5949 8/14/2009 2206 7622 5855 8/15/2009 2206 7622 5855 8/16/2009 2206 7622 5855 8/17/2009 2070 7438 5664 8/18/2009 2115 7515 5728 8/19/2009 2192 7568 5832 8/20/2009 2233 7651 5886 8/21/2009 2361 7795 6055 8/22/2009 2361 7795 6055 8/23/2009 2361 7795 6055 8/24/2009 2415 7791 6125 8/25/2009 2342 7809 6032 8/26/2009 2361 7811 6056 8/27/2009 2342 7834 6033 8/28/2009 2332 7819 6017 8/29/2009 2332 7819 6017 8/30/2009 2332 7819 6017 8/31/2009 2241 7756 5899 9/1/2009 2165 7585 5800 9/2/2009 2141 7562 5766 9/3/2009 2164 7627 5797 9/4/2009 2233 7728 5890 9/5/2009 2233 7728 5890 9/6/2009 2233 7728 5890 9/7/2009 2233 7728 5890 9/8/2009 2353 7797 6048 9/9/2009 2363 7858 6060 9/10/2009 2448 7940 6168 9/11/2009 2461 7931 6185 9/12/2009 2461 7931 6185 9/13/2009 2461 7931 6185 9/14/2009 2496 7982 6229 9/15/2009 2549 8007 6295 9/16/2009 2675 8130 6450 9/17/2009 2640 8106 6408 9/18/2009 2635 8127 6402 9/19/2009 2635 8127 6402 9/20/2009 2635 8127 6402 9/21/2009 2585 8100 6343 9/22/2009 2670 8153 6448 9/23/2009 2559 8071 6314 9/24/2009 2477 7995 6213 9/25/2009 2467 7947 6201 9/26/2009 2467 7947 6201 9/27/2009 2467 7947 6201 9/28/2009 2556 8090 6313 9/29/2009 2533 8072 6284 9/30/2009 2508 8046 6253 10/1/2009 2355 7839 6062 10/2/2009 2321 7804 6018 10/3/2009 2321 7804 6018 10/4/2009 2321 7804 6018 10/5/2009 2433 7920 6164 10/6/2009 2544 8028 6305 10/7/2009 2578 8054 6347 10/8/2009 2711 8115 6510 10/9/2009 2715 8161 6515 10/10/2009 2715 8161 6515 10/11/2009 2715 8161 6515 10/12/2009 2783 8196 6598 10/13/2009 2783 8174 6598 10/14/2009 2883 8318 6717 10/15/2009 3005 8352 6858 10/16/2009 2994 8285 6846 10/17/2009 2994 8285 6846 10/18/2009 2994 8285 6846 10/19/2009 3072 8363 6936 10/20/2009 3022 8311 6879 10/21/2009 3005 8238 6859 10/22/2009 3040 8327 6900 10/23/2009 2910 8225 6752 10/24/2009 2910 8225 6752 10/25/2009 2910 8225 6752 10/26/2009 2817 8129 6645 10/27/2009 2863 8102 6699 10/28/2009 2677 7945 6479 10/29/2009 2830 8124 6662 10/30/2009 2620 7896 6414 10/31/2009 2620 7896 6414
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI 2X S&P SELECT SECTOR ENERGY ETF.................... -3.21% -61.81% ENERGY SELECT SECTOR INDEX.................................. 13.90% -34.13% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.61%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. 18 RYDEXSGI 2x S&P SELECT SECTOR ENERGY ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ EXXON MOBIL CORP. 16.87% CHEVRON CORP. 11.37% SCHLUMBERGER, LTD. 5.64% CONOCOPHILLIPS 3.99% OCCIDENTAL PETROLEUM CORP. 3.89% APACHE CORP. 2.64% ANADARKO PETROLEUM CORP. 2.53% DEVON ENERGY CORP. 2.41% HALLIBURTON CO. 2.29% XTO ENERGY, INC. 2.04% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Oil, Gas & Consumable Fuels 79.71 Energy Equipment & Services 20.29
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's equity investments market value. These percentages may change over time. ANNUAL REPORT 19 RYDEXSGI INVERSE 2x S&P SELECT SECTOR ENERGY ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI Inverse 2x S&P Select Sector Energy ETF returned -57.39%. Over the year, its benchmark, the Select Sector Energy Index returned 13.90%. The RydexSGI Inverse 2x S&P Select Sector Energy ETF achieved a daily correlation of 98% to its benchmark of -200% of the daily price movement of the Select Sector Energy Index. Energy stocks suffered in line with the rest of the market but managed to slightly outperform the S&P 500(R) Total Return Index, which was up 9.80% for the period. The gradually strengthening economy helped increase energy commodity prices. Crude oil prices steadily climbed back to over $75 a barrel at the end of the period from lows just above $30 in December 2008. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI INVERSE 2X S&P S&P 500 SELECT SECTOR TOTAL RETURN ENERGY SELECT ENERGY ETF INDEX SECTOR INDEX* ----------------- ------------ ------------- 6/10/2008 10000 10000 10000 6/11/2008 9831 9833 10084 6/12/2008 10176 9866 9905 6/13/2008 9964 10015 10011 6/14/2008 9964 10015 10011 6/15/2008 9964 10015 10011 6/16/2008 9895 10016 10047 6/17/2008 9523 9948 10235 6/18/2008 9511 9851 10243 6/19/2008 9933 9891 10016 6/20/2008 10069 9708 9949 6/21/2008 10069 9708 9949 6/22/2008 10069 9708 9949 6/23/2008 9299 9708 10334 6/24/2008 9621 9681 10156 6/25/2008 9747 9738 10090 6/26/2008 9943 9455 9988 6/27/2008 9749 9420 10088 6/28/2008 9749 9420 10088 6/29/2008 9749 9420 10088 6/30/2008 9423 9432 10258 7/1/2008 9308 9470 10322 7/2/2008 9972 9298 9956 7/3/2008 10127 9309 9880 7/4/2008 10127 9309 9880 7/5/2008 10127 9309 9880 7/6/2008 10127 9309 9880 7/7/2008 10621 9231 9637 7/8/2008 10949 9392 9484 7/9/2008 11456 9179 9265 7/10/2008 10811 9243 9529 7/11/2008 10940 9141 9475 7/12/2008 10940 9141 9475 7/13/2008 10940 9141 9475 7/14/2008 10759 9059 9554 7/15/2008 11677 8960 9143 7/16/2008 12173 9186 8944 7/17/2008 12657 9297 8767 7/18/2008 12280 9299 8896 7/19/2008 12280 9299 8896 7/20/2008 12280 9299 8896 7/21/2008 11516 9295 9173 7/22/2008 12119 9420 8933 7/23/2008 13133 9459 8559 7/24/2008 13289 9240 8508 7/25/2008 13009 9279 8599 7/26/2008 13009 9279 8599 7/27/2008 13009 9279 8599 7/28/2008 13092 9106 8572 7/29/2008 13339 9320 8487 7/30/2008 11759 9476 8987 7/31/2008 12572 9353 8677 8/1/2008 12651 9301 8651 8/2/2008 12651 9301 8651 8/3/2008 12651 9301 8651 8/4/2008 13933 9217 8208 8/5/2008 13705 9483 8274 8/6/2008 13068 9519 8464 8/7/2008 13476 9349 8334 8/8/2008 13728 9573 8258 8/9/2008 13728 9573 8258 8/10/2008 13728 9573 8258 8/11/2008 13812 9642 8226 8/12/2008 13943 9526 8188 8/13/2008 12923 9501 8489 8/14/2008 13267 9554 8376 8/15/2008 13765 9594 8213 8/16/2008 13765 9594 8213 8/17/2008 13765 9594 8213 8/18/2008 14101 9450 8112 8/19/2008 13253 9363 8355 8/20/2008 12417 9421 8617 8/21/2008 11851 9446 8814 8/22/2008 12285 9554 8653 8/23/2008 12285 9554 8653 8/24/2008 12285 9554 8653 8/25/2008 12628 9366 8533 8/26/2008 12156 9401 8692 8/27/2008 11825 9478 8810 8/28/2008 12077 9620 8717 8/29/2008 12388 9488 8607 8/30/2008 12388 9488 8607 8/31/2008 12388 9488 8607 9/1/2008 12388 9488 8607 9/2/2008 13615 9450 8181 9/3/2008 13791 9435 8129 9/4/2008 14359 9153 7964 9/5/2008 14465 9194 7936 9/6/2008 14465 9194 7936 9/7/2008 14465 9194 7936 9/8/2008 14749 9384 7856 9/9/2008 16764 9064 7319 9/10/2008 15535 9120 7593 9/11/2008 15031 9249 7717 9/12/2008 14129 9269 7946 9/13/2008 14129 9269 7946 9/14/2008 14129 9269 7946 9/15/2008 16209 8832 7364 9/16/2008 15020 8987 7641 9/17/2008 15777 8563 7451 9/18/2008 14905 8937 7673 9/19/2008 12820 9297 8234 9/20/2008 12820 9297 8234 9/21/2008 12820 9297 8234 9/22/2008 13101 8942 8140 9/23/2008 13882 8802 7885 9/24/2008 13886 8785 7884 9/25/2008 13284 8958 8058 9/26/2008 13848 8988 7885 9/27/2008 13848 8988 7885 9/28/2008 13848 8988 7885 9/29/2008 16952 8198 6986 9/30/2008 14936 8643 7407 10/1/2008 15602 8605 7238 10/2/2008 17743 8259 6728 10/3/2008 17862 8148 6707 10/4/2008 17862 8148 6707 10/5/2008 17862 8148 6707 10/6/2008 19354 7834 6425 10/7/2008 21796 7385 6022 10/8/2008 21451 7305 6078 10/9/2008 26238 6749 5380 10/10/2008 30401 6670 4936 10/11/2008 30401 6670 4936 10/12/2008 30401 6670 4936 10/13/2008 19002 7442 5883 10/14/2008 19041 7403 5883 10/15/2008 24990 6735 4948 10/16/2008 21342 7021 5314 10/17/2008 21258 6978 5325 10/18/2008 21258 6978 5325 10/19/2008 21258 6978 5325 10/20/2008 16598 7310 5929 10/21/2008 18003 7085 5682 10/22/2008 21823 6654 5067 10/23/2008 19171 6739 5374 10/24/2008 20760 6506 5153 10/25/2008 20760 6506 5153 10/26/2008 20760 6506 5153 10/27/2008 23129 6300 4844 10/28/2008 17949 6979 5405 10/29/2008 16887 6903 5562 10/30/2008 15313 7082 5840 10/31/2008 14976 7191 5902 11/1/2008 14976 7191 5902 11/2/2008 14976 7191 5902 11/3/2008 15713 7173 5755 11/4/2008 13557 7466 6157 11/5/2008 14776 7077 5878 11/6/2008 16694 6723 5501 11/7/2008 15108 6920 5755 11/8/2008 15108 6920 5755 11/9/2008 15108 6920 5755 11/10/2008 14885 6833 5794 11/11/2008 15933 6682 5591 11/12/2008 18357 6338 5163 11/13/2008 14181 6778 5748 11/14/2008 15364 6496 5503 11/15/2008 15364 6496 5503 11/16/2008 15364 6496 5503 11/17/2008 15927 6329 5403 11/18/2008 14992 6393 5566 11/19/2008 16659 6002 5257 11/20/2008 20713 5600 4611 11/21/2008 15676 5955 5163 11/22/2008 15676 5955 5163 11/23/2008 15676 5955 5163 11/24/2008 13541 6341 5517 11/25/2008 13286 6383 5568 11/26/2008 11640 6611 5919 11/27/2008 11640 6611 5919 11/28/2008 12063 6675 5815 11/29/2008 12063 6675 5815 11/30/2008 12063 6675 5815 12/1/2008 14767 6080 5177 12/2/2008 13738 6323 5359 12/3/2008 13718 6490 5363 12/4/2008 15670 6300 4987 12/5/2008 15190 6530 5062 12/6/2008 15190 6530 5062 12/7/2008 15190 6530 5062 12/8/2008 13322 6782 5374 12/9/2008 13361 6625 5366 12/10/2008 13159 6705 5653 12/11/2008 13175 6515 5623 12/12/2008 13213 6561 5557 12/13/2008 13213 6561 5557 12/14/2008 13213 6561 5557 12/15/2008 13222 6478 5540 12/16/2008 13104 6811 5740 12/17/2008 13143 6746 5668 12/18/2008 13328 6603 5330 12/19/2008 13321 6623 5339 12/20/2008 13321 6623 5339 12/21/2008 13321 6623 5339 12/22/2008 13421 6502 5186 12/23/2008 13436 6440 5167 12/24/2008 13431 6481 5174 12/25/2008 13431 6481 5174 12/26/2008 13366 6515 5263 12/27/2008 13366 6515 5263 12/28/2008 13366 6515 5263 12/29/2008 13292 6492 5374 12/30/2008 13225 6652 5477 12/31/2008 13183 6746 5544 1/1/2009 13183 6746 5544 1/2/2009 11814 6961 5828 1/3/2009 11814 6961 5828 1/4/2009 11814 6961 5828 1/5/2009 11355 6928 5944 1/6/2009 11070 6982 6018 1/7/2009 12012 6777 5759 1/8/2009 11694 6800 5835 1/9/2009 12504 6655 5637 1/10/2009 12504 6655 5637 1/11/2009 12504 6655 5637 1/12/2009 13413 6505 5429 1/13/2009 12789 6517 5553 1/14/2009 13961 6300 5295 1/15/2009 13698 6308 5343 1/16/2009 13413 6356 5395 1/17/2009 13413 6356 5395 1/18/2009 13413 6356 5395 1/19/2009 13413 6356 5395 1/20/2009 14815 6020 5114 1/21/2009 12877 6284 5451 1/22/2009 13588 6188 5302 1/23/2009 12789 6222 5463 1/24/2009 12789 6222 5463 1/25/2009 12789 6222 5463 1/26/2009 12329 6256 5562 1/27/2009 12285 6325 5571 1/28/2009 11574 6538 5732 1/29/2009 12482 6322 5508 1/30/2009 12877 6178 5421 1/31/2009 12877 6178 5421 2/1/2009 12877 6178 5421 2/2/2009 13227 6174 5347 2/3/2009 12723 6272 5452 2/4/2009 12570 6230 5486 2/5/2009 11880 6332 5631 2/6/2009 11431 6505 5735 2/7/2009 11431 6505 5735 2/8/2009 11431 6505 5735 2/9/2009 11322 6515 5760 2/10/2009 12417 6195 5479 2/11/2009 12690 6247 5418 2/12/2009 12636 6259 5420 2/13/2009 12603 6198 5426 2/14/2009 12603 6198 5426 2/15/2009 12603 6198 5426 2/16/2009 12603 6198 5426 2/17/2009 14322 5916 5047 2/18/2009 14497 5912 5015 2/19/2009 14431 5845 5023 2/20/2009 15242 5779 4881 2/21/2009 15242 5779 4881 2/22/2009 15242 5779 4881 2/23/2009 16632 5579 4659 2/24/2009 14990 5803 4889 2/25/2009 15198 5742 4856 2/26/2009 15154 5653 4864 2/27/2009 15910 5520 4739 2/28/2009 15910 5520 4739 3/1/2009 15910 5520 4739 3/2/2009 18067 5263 4390 3/3/2009 17804 5229 4421 3/4/2009 16107 5355 4632 3/5/2009 17541 5128 4419 3/6/2009 17202 5135 4460 3/7/2009 17202 5135 4460 3/8/2009 17202 5135 4460 3/9/2009 17059 5084 4479 3/10/2009 15143 5408 4725 3/11/2009 15406 5423 4684 3/12/2009 14431 5645 4831 3/13/2009 14694 5689 4786 3/14/2009 14694 5689 4786 3/15/2009 14694 5689 4786 3/16/2009 14333 5669 4845 3/17/2009 13325 5852 5017 3/18/2009 13041 5974 5068 3/19/2009 12450 5896 5185 3/20/2009 13402 5780 4987 3/21/2009 13402 5780 4987 3/22/2009 13402 5780 4987 3/23/2009 11256 6190 5392 3/24/2009 11803 6064 5262 3/25/2009 11727 6122 5277 3/26/2009 11541 6265 5321 3/27/2009 12263 6139 5154 3/28/2009 12263 6139 5154 3/29/2009 12263 6139 5154 3/30/2009 13194 5926 4958 3/31/2009 13325 6003 4934 4/1/2009 12778 6104 5035 4/2/2009 11771 6280 5234 4/3/2009 11333 6341 5332 4/4/2009 11333 6341 5332 4/5/2009 11333 6341 5332 4/6/2009 11771 6288 5230 4/7/2009 12471 6142 5075 4/8/2009 12143 6215 5144 4/9/2009 11475 6451 5282 4/10/2009 11475 6451 5282 4/11/2009 11475 6451 5282 4/12/2009 11475 6451 5282 4/13/2009 11683 6468 5233 4/14/2009 11793 6339 5209 4/15/2009 11771 6418 5215 4/16/2009 11617 6518 5247 4/17/2009 11398 6551 5298 4/18/2009 11398 6551 5298 4/19/2009 11398 6551 5298 4/20/2009 12537 6271 5030 4/21/2009 11924 6404 5153 4/22/2009 12176 6356 5097 4/23/2009 11727 6419 5192 4/24/2009 11015 6527 5347 4/25/2009 11015 6527 5347 4/26/2009 11015 6527 5347 4/27/2009 11475 6461 5234 4/28/2009 11409 6444 5248 4/29/2009 10709 6584 5408 4/30/2009 11157 6578 5298 5/1/2009 10391 6614 5483 5/2/2009 10391 6614 5483 5/3/2009 10391 6614 5483 5/4/2009 9581 6838 5694 5/5/2009 9854 6812 5612 5/6/2009 9044 6933 5841 5/7/2009 9307 6842 5757 5/8/2009 8464 7007 6018 5/9/2009 8464 7007 6018 5/10/2009 8464 7007 6018 5/11/2009 9022 6859 5810 5/12/2009 8891 6852 5854 5/13/2009 9493 6671 5652 5/14/2009 9395 6741 5681 5/15/2009 9844 6665 5538 5/16/2009 9844 6665 5538 5/17/2009 9844 6665 5538 5/18/2009 9121 6868 5736 5/19/2009 9033 6857 5765 5/20/2009 8979 6823 5781 5/21/2009 9537 6710 5598 5/22/2009 9493 6701 5609 5/23/2009 9493 6701 5609 5/24/2009 9493 6701 5609 5/25/2009 9493 6701 5609 5/26/2009 9066 6877 5737 5/27/2009 9274 6748 5671 5/28/2009 8650 6853 5864 5/29/2009 8409 6946 5947 5/30/2009 8409 6946 5947 5/31/2009 8409 6946 5947 6/1/2009 7708 7125 6193 6/2/2009 7752 7140 6170 6/3/2009 8431 7043 5921 6/4/2009 7971 7125 6057 6/5/2009 8103 7108 6009 6/6/2009 8103 7108 6009 6/7/2009 8103 7108 6009 6/8/2009 8114 7102 6002 6/9/2009 7938 7127 6067 6/10/2009 7818 7103 6111 6/11/2009 7500 7148 6234 6/12/2009 7665 7158 6163 6/13/2009 7665 7158 6163 6/14/2009 7665 7158 6163 6/15/2009 8070 6988 6001 6/16/2009 8409 6899 5874 6/17/2009 8694 6890 5774 6/18/2009 8727 6949 5761 6/19/2009 8902 6970 5705 6/20/2009 8902 6970 5705 6/21/2009 8902 6970 5705 6/22/2009 9822 6758 5412 6/23/2009 9646 6774 5459 6/24/2009 9614 6818 5467 6/25/2009 9154 6964 5597 6/26/2009 9318 6956 5548 6/27/2009 9318 6956 5548 6/28/2009 9318 6956 5548 6/29/2009 9110 7019 5607 6/30/2009 9241 6960 5567 7/1/2009 9219 6991 5573 7/2/2009 9931 6787 5360 7/3/2009 9931 6787 5360 7/4/2009 9931 6787 5360 7/5/2009 9931 6787 5360 7/6/2009 10194 6805 5289 7/7/2009 10709 6671 5155 7/8/2009 10720 6664 5155 7/9/2009 10413 6687 5227 7/10/2009 10632 6660 5172 7/11/2009 10632 6660 5172 7/12/2009 10632 6660 5172 7/13/2009 10271 6827 5261 7/14/2009 9986 6863 5333 7/15/2009 9274 7067 5523 7/16/2009 9055 7128 5590 7/17/2009 8979 7126 5615 7/18/2009 8979 7126 5615 7/19/2009 8979 7126 5615 7/20/2009 8628 7207 5721 7/21/2009 8486 7233 5770 7/22/2009 8672 7231 5705 7/23/2009 8135 7399 5881 7/24/2009 7971 7422 5938 7/25/2009 7971 7422 5938 7/26/2009 7971 7422 5938 7/27/2009 7927 7444 5954 7/28/2009 8201 7425 5855 7/29/2009 8552 7392 5724 7/30/2009 8289 7481 5814 7/31/2009 8146 7486 5860 8/1/2009 8146 7486 5860 8/2/2009 8146 7486 5860 8/3/2009 7708 7601 6021 8/4/2009 7741 7624 6005 8/5/2009 7916 7604 5940 8/6/2009 8048 7563 5890 8/7/2009 8037 7664 5893 8/8/2009 8037 7664 5893 8/9/2009 8037 7664 5893 8/10/2009 7971 7639 5917 8/11/2009 8234 7544 5812 8/12/2009 8015 7634 5886 8/13/2009 7840 7687 5949 8/14/2009 8092 7622 5855 8/15/2009 8092 7622 5855 8/16/2009 8092 7622 5855 8/17/2009 8595 7438 5664 8/18/2009 8398 7515 5728 8/19/2009 8092 7568 5832 8/20/2009 7949 7651 5886 8/21/2009 7489 7795 6055 8/22/2009 7489 7795 6055 8/23/2009 7489 7795 6055 8/24/2009 7314 7791 6125 8/25/2009 7533 7809 6032 8/26/2009 7478 7811 6056 8/27/2009 7533 7834 6033 8/28/2009 7566 7819 6017 8/29/2009 7566 7819 6017 8/30/2009 7566 7819 6017 8/31/2009 7862 7756 5899 9/1/2009 8124 7585 5800 9/2/2009 8223 7562 5766 9/3/2009 8135 7627 5797 9/4/2009 7873 7728 5890 9/5/2009 7873 7728 5890 9/6/2009 7873 7728 5890 9/7/2009 7873 7728 5890 9/8/2009 7435 7797 6048 9/9/2009 7413 7858 6060 9/10/2009 7150 7940 6168 9/11/2009 7106 7931 6185 9/12/2009 7106 7931 6185 9/13/2009 7106 7931 6185 9/14/2009 7008 7982 6229 9/15/2009 6854 8007 6295 9/16/2009 6515 8130 6450 9/17/2009 6603 8106 6408 9/18/2009 6613 8127 6402 9/19/2009 6613 8127 6402 9/20/2009 6613 8127 6402 9/21/2009 6734 8100 6343 9/22/2009 6504 8153 6448 9/23/2009 6778 8071 6314 9/24/2009 6997 7995 6213 9/25/2009 7019 7947 6201 9/26/2009 7019 7947 6201 9/27/2009 7019 7947 6201 9/28/2009 6756 8090 6313 9/29/2009 6822 8072 6284 9/30/2009 6887 8046 6253 10/1/2009 7314 7839 6062 10/2/2009 7413 7804 6018 10/3/2009 7413 7804 6018 10/4/2009 7413 7804 6018 10/5/2009 7051 7920 6164 10/6/2009 6723 8028 6305 10/7/2009 6635 8054 6347 10/8/2009 6296 8115 6510 10/9/2009 6285 8161 6515 10/10/2009 6285 8161 6515 10/11/2009 6285 8161 6515 10/12/2009 6121 8196 6598 10/13/2009 6121 8174 6598 10/14/2009 5902 8318 6717 10/15/2009 5661 8352 6858 10/16/2009 5672 8285 6846 10/17/2009 5672 8285 6846 10/18/2009 5672 8285 6846 10/19/2009 5529 8363 6936 10/20/2009 5617 8311 6879 10/21/2009 5650 8238 6859 10/22/2009 5584 8327 6900 10/23/2009 5825 8225 6752 10/24/2009 5825 8225 6752 10/25/2009 5825 8225 6752 10/26/2009 6011 8129 6645 10/27/2009 5913 8102 6699 10/28/2009 6296 7945 6479 10/29/2009 5935 8124 6662 10/30/2009 6384 7896 6414 10/31/2009 6384 7896 6414
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI INVERSE 2X S&P SELECT SECTOR ENERGY ETF............ -57.39% -27.59% ENERGY SELECT SECTOR INDEX.................................. 13.90% -34.13% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.61%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. 20 RYDEXSGI 2x S&P SELECT SECTOR FINANCIAL ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI 2x S&P Select Sector Financials ETF returned -54.21%. Over the same time period, its benchmark, the Financials Select Sector Index, returned -7.46%. For the period since its inception, RydexSGI 2x S&P Select Sector Financials ETF achieved a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Financials Select Sector Index. Financials stocks were hit hard by the financial and subprime mortgage crisis, which saw large companies such as Fannie Mae and Freddie Mac taken over by a government conservatorship. Merrill Lynch was acquired by Bank of America during the period. After the collapse of Lehman Brothers in September 2008, the government and Federal Reserve backed up many financial institutions through the Troubled Asset Relief Program (TARP). Although financial stocks have rallied significantly off theirs lows in March 2009, they still produced a negative return for the period and performed much worse than the S&P 500(R) Total Return Index which was up 9.80% for the year. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI 2X S&P SELECT S&P 500 SECTOR FINANCIAL TOTAL RETURN FINANCIAL SELECT ETF INDEX SECTOR INDEX* ---------------- ------------ ---------------- 6/10/2008 10000 10000 10000 6/11/2008 9352 9833 9672 6/12/2008 9732 9866 9868 6/13/2008 10121 10015 10070 6/14/2008 10121 10015 10070 6/15/2008 10121 10015 10070 6/16/2008 10333 10016 10176 6/17/2008 9729 9948 9878 6/18/2008 9493 9851 9758 6/19/2008 9659 9891 9844 6/20/2008 9165 9708 9594 6/21/2008 9165 9708 9594 6/22/2008 9165 9708 9594 6/23/2008 8661 9708 9332 6/24/2008 8917 9681 9472 6/25/2008 8987 9738 9508 6/26/2008 8205 9455 9086 6/27/2008 7979 9420 8962 6/28/2008 7979 9420 8962 6/29/2008 7979 9420 8962 6/30/2008 7637 9432 8771 7/1/2008 7807 9470 8860 7/2/2008 7584 9298 8733 7/3/2008 7531 9309 8705 7/4/2008 7531 9309 8705 7/5/2008 7531 9309 8705 7/6/2008 7531 9309 8705 7/7/2008 7053 9231 8430 7/8/2008 7863 9392 8912 7/9/2008 7055 9179 8446 7/10/2008 6921 9243 8367 7/11/2008 6567 9141 8153 7/12/2008 6567 9141 8153 7/13/2008 6567 9141 8153 7/14/2008 5905 9059 7744 7/15/2008 5552 8960 7515 7/16/2008 6929 9186 8440 7/17/2008 7825 9297 8986 7/18/2008 7995 9299 9085 7/19/2008 7995 9299 9085 7/20/2008 7995 9299 9085 7/21/2008 7860 9295 9008 7/22/2008 8892 9420 9602 7/23/2008 9223 9459 9782 7/24/2008 7981 9240 9122 7/25/2008 7884 9279 9067 7/26/2008 7884 9279 9067 7/27/2008 7884 9279 9067 7/28/2008 7172 9106 8654 7/29/2008 8245 9320 9303 7/30/2008 8572 9476 9489 7/31/2008 8368 9353 9368 8/1/2008 8468 9301 9426 8/2/2008 8468 9301 9426 8/3/2008 8468 9301 9426 8/4/2008 8255 9217 9308 8/5/2008 9088 9483 9778 8/6/2008 8919 9519 9681 8/7/2008 8031 9349 9195 8/8/2008 8591 9573 9520 8/9/2008 8591 9573 9520 8/10/2008 8591 9573 9520 8/11/2008 8913 9642 9698 8/12/2008 8001 9526 9194 8/13/2008 7531 9501 8922 8/14/2008 7916 9554 9149 8/15/2008 8089 9594 9251 8/16/2008 8089 9594 9251 8/17/2008 8089 9594 9251 8/18/2008 7509 9450 8920 8/19/2008 7045 9363 8649 8/20/2008 7280 9421 8794 8/21/2008 7127 9446 8700 8/22/2008 7571 9554 8970 8/23/2008 7571 9554 8970 8/24/2008 7571 9554 8970 8/25/2008 7100 9366 8691 8/26/2008 7201 9401 8753 8/27/2008 7443 9478 8899 8/28/2008 8116 9620 9299 8/29/2008 8020 9488 9245 8/30/2008 8020 9488 9245 8/31/2008 8020 9488 9245 9/1/2008 8020 9488 9245 9/2/2008 8311 9450 9413 9/3/2008 8567 9435 9541 9/4/2008 7765 9153 9093 9/5/2008 8271 9194 9387 9/6/2008 8271 9194 9387 9/7/2008 8271 9194 9387 9/8/2008 9039 9384 9823 9/9/2008 7845 9064 9175 9/10/2008 7732 9120 9109 9/11/2008 7973 9249 9248 9/12/2008 7803 9269 9150 9/13/2008 7803 9269 9150 9/14/2008 7803 9269 9150 9/15/2008 6161 8832 8184 9/16/2008 6957 8987 8693 9/17/2008 5721 8563 7916 9/18/2008 7087 8937 8845 9/19/2008 8659 9297 9827 9/20/2008 8659 9297 9827 9/21/2008 8659 9297 9827 9/22/2008 7188 8942 8994 9/23/2008 6971 8802 8857 9/24/2008 6764 8785 8726 9/25/2008 7116 8958 8954 9/26/2008 7554 8988 9226 9/27/2008 7554 8988 9226 9/28/2008 7554 8988 9226 9/29/2008 5140 8198 7749 9/30/2008 6611 8643 8763 10/1/2008 6888 8605 8951 10/2/2008 6305 8259 8565 10/3/2008 5802 8148 8225 10/4/2008 5802 8148 8225 10/5/2008 5802 8148 8225 10/6/2008 5313 7834 7882 10/7/2008 4064 7385 6973 10/8/2008 3815 7305 6763 10/9/2008 2902 6749 5969 10/10/2008 3320 6670 6384 10/11/2008 3320 6670 6384 10/12/2008 3320 6670 6384 10/13/2008 3988 7442 7038 10/14/2008 4506 7403 7489 10/15/2008 3681 6735 6806 10/16/2008 3806 7021 6919 10/17/2008 3628 6978 6759 10/18/2008 3628 6978 6759 10/19/2008 3628 6978 6759 10/20/2008 3835 7310 6949 10/21/2008 3695 7085 6821 10/22/2008 3180 6654 6346 10/23/2008 3126 6739 6291 10/24/2008 2887 6506 6049 10/25/2008 2887 6506 6049 10/26/2008 2887 6506 6049 10/27/2008 2649 6300 5802 10/28/2008 3318 6979 6527 10/29/2008 3130 6903 6340 10/30/2008 3204 7082 6418 10/31/2008 3549 7191 6770 11/1/2008 3549 7191 6770 11/2/2008 3549 7191 6770 11/3/2008 3569 7173 6790 11/4/2008 3960 7466 7160 11/5/2008 3272 7077 6532 11/6/2008 2836 6723 6092 11/7/2008 2958 6920 6223 11/8/2008 2958 6920 6223 11/9/2008 2958 6920 6223 11/10/2008 2704 6833 5949 11/11/2008 2575 6682 5806 11/12/2008 2222 6338 5406 11/13/2008 2538 6778 5789 11/14/2008 2274 6496 5489 11/15/2008 2274 6496 5489 11/16/2008 2274 6496 5489 11/17/2008 1992 6329 5160 11/18/2008 1960 6393 5119 11/19/2008 1510 6002 4527 11/20/2008 1189 5600 4051 11/21/2008 1268 5955 4188 11/22/2008 1268 5955 4188 11/23/2008 1268 5955 4188 11/24/2008 1752 6341 4974 11/25/2008 1843 6383 5098 11/26/2008 2027 6611 5349 11/27/2008 2027 6611 5349 11/28/2008 2142 6675 5502 11/29/2008 2142 6675 5502 11/30/2008 2142 6675 5502 12/1/2008 1421 6080 4566 12/2/2008 1655 6323 4928 12/3/2008 1846 6490 5204 12/4/2008 1778 6300 5107 12/5/2008 2082 6530 5547 12/6/2008 2082 6530 5547 12/7/2008 2082 6530 5547 12/8/2008 2369 6782 5927 12/9/2008 2138 6625 5637 12/10/2008 2108 6705 5599 12/11/2008 1752 6515 5124 12/12/2008 1825 6561 5229 12/13/2008 1825 6561 5229 12/14/2008 1825 6561 5229 12/15/2008 1680 6478 5021 12/16/2008 2059 6811 5585 12/17/2008 2009 6746 5515 12/18/2008 1888 6603 5349 12/19/2008 1902 6623 5371 12/20/2008 1902 6623 5371 12/21/2008 1902 6623 5371 12/22/2008 1750 6502 5155 12/23/2008 1683 6440 5054 12/24/2008 1746 6481 5149 12/25/2008 1746 6481 5149 12/26/2008 1748 6515 5153 12/27/2008 1748 6515 5153 12/28/2008 1748 6515 5153 12/29/2008 1718 6492 5102 12/30/2008 1857 6652 5312 12/31/2008 1961 6746 5464 1/1/2009 1961 6746 5464 1/2/2009 2026 6961 5547 1/3/2009 2026 6961 5547 1/4/2009 2026 6961 5547 1/5/2009 1926 6928 5411 1/6/2009 2000 6982 5516 1/7/2009 1798 6777 5233 1/8/2009 1790 6800 5222 1/9/2009 1668 6655 5043 1/10/2009 1668 6655 5043 1/11/2009 1668 6655 5043 1/12/2009 1475 6505 4756 1/13/2009 1514 6517 4820 1/14/2009 1341 6300 4545 1/15/2009 1206 6308 4315 1/16/2009 1149 6356 4211 1/17/2009 1149 6356 4211 1/18/2009 1149 6356 4211 1/19/2009 1149 6356 4211 1/20/2009 764 6020 3507 1/21/2009 993 6284 4019 1/22/2009 879 6188 3784 1/23/2009 941 6222 3914 1/24/2009 941 6222 3914 1/25/2009 941 6222 3914 1/26/2009 902 6256 3833 1/27/2009 970 6325 3977 1/28/2009 1222 6538 4492 1/29/2009 1018 6322 4115 1/30/2009 967 6178 4014 1/31/2009 967 6178 4014 2/1/2009 967 6178 4014 2/2/2009 971 6174 4021 2/3/2009 921 6272 3920 2/4/2009 906 6230 3881 2/5/2009 932 6332 3934 2/6/2009 1086 6505 4253 2/7/2009 1086 6505 4253 2/8/2009 1086 6505 4253 2/9/2009 1114 6515 4310 2/10/2009 873 6195 3841 2/11/2009 964 6247 4040 2/12/2009 939 6259 3987 2/13/2009 859 6198 3819 2/14/2009 859 6198 3819 2/15/2009 859 6198 3819 2/16/2009 859 6198 3819 2/17/2009 688 5916 3444 2/18/2009 685 5912 3438 2/19/2009 613 5845 3259 2/20/2009 594 5779 3211 2/21/2009 594 5779 3211 2/22/2009 594 5779 3211 2/23/2009 559 5579 3114 2/24/2009 693 5803 3482 2/25/2009 688 5742 3466 2/26/2009 715 5653 3536 2/27/2009 609 5520 3275 2/28/2009 609 5520 3275 3/1/2009 609 5520 3275 3/2/2009 521 5263 3051 3/3/2009 505 5229 3003 3/4/2009 498 5355 2980 3/5/2009 397 5128 2684 3/6/2009 386 5135 2646 3/7/2009 386 5135 2646 3/8/2009 386 5135 2646 3/9/2009 407 5084 2712 3/10/2009 531 5408 3134 3/11/2009 556 5423 3210 3/12/2009 670 5645 3531 3/13/2009 674 5689 3542 3/14/2009 674 5689 3542 3/15/2009 674 5689 3542 3/16/2009 650 5669 3476 3/17/2009 736 5852 3705 3/18/2009 882 5974 4079 3/19/2009 739 5896 3752 3/20/2009 661 5780 3552 3/21/2009 661 5780 3552 3/22/2009 661 5780 3552 3/23/2009 899 6190 4183 3/24/2009 783 6064 3909 3/25/2009 856 6122 4088 3/26/2009 873 6265 4130 3/27/2009 812 6139 3986 3/28/2009 812 6139 3986 3/29/2009 812 6139 3986 3/30/2009 658 5926 3610 3/31/2009 746 6003 3853 4/1/2009 785 6104 3952 4/2/2009 832 6280 4068 4/3/2009 902 6341 4239 4/4/2009 902 6341 4239 4/5/2009 902 6341 4239 4/6/2009 851 6288 4115 4/7/2009 795 6142 3981 4/8/2009 810 6215 4016 4/9/2009 1060 6451 4639 4/10/2009 1060 6451 4639 4/11/2009 1060 6451 4639 4/12/2009 1060 6451 4639 4/13/2009 1160 6468 4862 4/14/2009 981 6339 4488 4/15/2009 1091 6418 4738 4/16/2009 1106 6518 4768 4/17/2009 1134 6551 4829 4/18/2009 1134 6551 4829 4/19/2009 1134 6551 4829 4/20/2009 871 6271 4278 4/21/2009 1019 6404 4628 4/22/2009 943 6356 4452 4/23/2009 1028 6419 4652 4/24/2009 1077 6527 4765 4/25/2009 1077 6527 4765 4/26/2009 1077 6527 4765 4/27/2009 1008 6461 4614 4/28/2009 971 6444 4529 4/29/2009 1064 6584 4745 4/30/2009 1046 6578 4707 5/1/2009 1011 6614 4628 5/2/2009 1011 6614 4628 5/3/2009 1011 6614 4628 5/4/2009 1216 6838 5097 5/5/2009 1186 6812 5035 5/6/2009 1380 6933 5443 5/7/2009 1286 6842 5256 5/8/2009 1499 7007 5692 5/9/2009 1499 7007 5692 5/10/2009 1499 7007 5692 5/11/2009 1296 6859 5304 5/12/2009 1248 6852 5207 5/13/2009 1118 6671 4937 5/14/2009 1206 6741 5133 5/15/2009 1146 6665 5005 5/16/2009 1146 6665 5005 5/17/2009 1146 6665 5005 5/18/2009 1313 6868 5365 5/19/2009 1244 6857 5225 5/20/2009 1183 6823 5097 5/21/2009 1190 6710 5109 5/22/2009 1161 6701 5047 5/23/2009 1161 6701 5047 5/24/2009 1161 6701 5047 5/25/2009 1161 6701 5047 5/26/2009 1258 6877 5256 5/27/2009 1161 6748 5053 5/28/2009 1245 6853 5233 5/29/2009 1287 6946 5323 5/30/2009 1287 6946 5323 5/31/2009 1287 6946 5323 6/1/2009 1301 7125 5351 6/2/2009 1270 7140 5287 6/3/2009 1228 7043 5208 6/4/2009 1328 7125 5415 6/5/2009 1290 7108 5336 6/6/2009 1290 7108 5336 6/7/2009 1290 7108 5336 6/8/2009 1319 7102 5395 6/9/2009 1334 7127 5423 6/10/2009 1292 7103 5339 6/11/2009 1316 7148 5386 6/12/2009 1334 7158 5424 6/13/2009 1334 7158 5424 6/14/2009 1334 7158 5424 6/15/2009 1256 6988 5264 6/16/2009 1214 6899 5178 6/17/2009 1152 6890 5045 6/18/2009 1209 6949 5170 6/19/2009 1249 6970 5258 6/20/2009 1249 6970 5258 6/21/2009 1249 6970 5258 6/22/2009 1095 6758 4934 6/23/2009 1132 6774 5018 6/24/2009 1158 6818 5074 6/25/2009 1196 6964 5160 6/26/2009 1211 6956 5191 6/27/2009 1211 6956 5191 6/28/2009 1211 6956 5191 6/29/2009 1245 7019 5263 6/30/2009 1218 6960 5204 7/1/2009 1205 6991 5178 7/2/2009 1109 6787 4971 7/3/2009 1109 6787 4971 7/4/2009 1109 6787 4971 7/5/2009 1109 6787 4971 7/6/2009 1126 6805 5010 7/7/2009 1084 6671 4914 7/8/2009 1048 6664 4831 7/9/2009 1076 6687 4897 7/10/2009 1048 6660 4834 7/11/2009 1048 6660 4834 7/12/2009 1048 6660 4834 7/13/2009 1185 6827 5149 7/14/2009 1178 6863 5133 7/15/2009 1275 7067 5343 7/16/2009 1269 7128 5331 7/17/2009 1249 7126 5289 7/18/2009 1249 7126 5289 7/19/2009 1249 7126 5289 7/20/2009 1269 7207 5333 7/21/2009 1249 7233 5290 7/22/2009 1245 7231 5282 7/23/2009 1319 7399 5440 7/24/2009 1310 7422 5421 7/25/2009 1310 7422 5421 7/26/2009 1310 7422 5421 7/27/2009 1348 7444 5501 7/28/2009 1338 7425 5481 7/29/2009 1332 7392 5467 7/30/2009 1404 7481 5612 7/31/2009 1428 7486 5661 8/1/2009 1428 7486 5661 8/2/2009 1428 7486 5661 8/3/2009 1504 7601 5813 8/4/2009 1565 7624 5933 8/5/2009 1670 7604 6130 8/6/2009 1647 7563 6088 8/7/2009 1737 7664 6253 8/8/2009 1737 7664 6253 8/9/2009 1737 7664 6253 8/10/2009 1713 7639 6212 8/11/2009 1593 7544 5992 8/12/2009 1658 7634 6113 8/13/2009 1723 7687 6233 8/14/2009 1707 7622 6202 8/15/2009 1707 7622 6202 8/16/2009 1707 7622 6202 8/17/2009 1561 7438 5938 8/18/2009 1621 7515 6052 8/19/2009 1620 7568 6049 8/20/2009 1704 7651 6206 8/21/2009 1776 7795 6339 8/22/2009 1776 7795 6339 8/23/2009 1776 7795 6339 8/24/2009 1743 7791 6280 8/25/2009 1783 7809 6351 8/26/2009 1779 7811 6343 8/27/2009 1813 7834 6404 8/28/2009 1818 7819 6414 8/29/2009 1818 7819 6414 8/30/2009 1818 7819 6414 8/31/2009 1805 7756 6389 9/1/2009 1614 7585 6053 9/2/2009 1583 7562 5994 9/3/2009 1656 7627 6131 9/4/2009 1684 7728 6182 9/5/2009 1684 7728 6182 9/6/2009 1684 7728 6182 9/7/2009 1684 7728 6182 9/8/2009 1705 7797 6221 9/9/2009 1754 7858 6310 9/10/2009 1786 7940 6368 9/11/2009 1757 7931 6316 9/12/2009 1757 7931 6316 9/13/2009 1757 7931 6316 9/14/2009 1809 7982 6407 9/15/2009 1811 8007 6413 9/16/2009 1935 8130 6631 9/17/2009 1921 8106 6606 9/18/2009 1919 8127 6602 9/19/2009 1919 8127 6602 9/20/2009 1919 8127 6602 9/21/2009 1883 8100 6542 9/22/2009 1968 8153 6689 9/23/2009 1886 8071 6550 9/24/2009 1818 7995 6434 9/25/2009 1777 7947 6362 9/26/2009 1777 7947 6362 9/27/2009 1777 7947 6362 9/28/2009 1900 8090 6581 9/29/2009 1881 8072 6546 9/30/2009 1862 8046 6513 10/1/2009 1700 7839 6228 10/2/2009 1697 7804 6223 10/3/2009 1697 7804 6223 10/4/2009 1697 7804 6223 10/5/2009 1809 7920 6428 10/6/2009 1853 8028 6508 10/7/2009 1890 8054 6573 10/8/2009 1897 8115 6586 10/9/2009 1928 8161 6640 10/10/2009 1928 8161 6640 10/11/2009 1928 8161 6640 10/12/2009 1964 8196 6700 10/13/2009 1920 8174 6626 10/14/2009 2052 8318 6853 10/15/2009 2025 8352 6807 10/16/2009 1919 8285 6628 10/17/2009 1919 8285 6628 10/18/2009 1919 8285 6628 10/19/2009 1935 8363 6659 10/20/2009 1909 8311 6614 10/21/2009 1837 8238 6488 10/22/2009 1944 8327 6677 10/23/2009 1885 8225 6573 10/24/2009 1885 8225 6573 10/25/2009 1885 8225 6573 10/26/2009 1790 8129 6408 10/27/2009 1765 8102 6364 10/28/2009 1651 7945 6158 10/29/2009 1795 8124 6425 10/30/2009 1625 7896 6120 10/31/2009 1625 7896 6120
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI 2X S&P SELECT SECTOR FINANCIAL ETF......................... -54.21% -72.90% FINANCIALS SELECT SECTOR INDEX...................................... -7.46% -36.24% S&P 500 TOTAL RETURN INDEX.......................................... 9.80% -15.61%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 21 RYDEXSGI S&P 2X SELECT SECTOR FINANCIAL ETF - -------------------------------------------------------------------------------- PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ JPMORGAN CHASE & CO. 10.58% WELLS FARGO & CO. 8.28% BANK OF AMERICA CORP. 8.12% GOLDMAN SACHS GROUP, INC. 5.60% CITIGROUP, INC. 3.43% U.S. BANCORP 2.86% MORGAN STANLEY 2.81% AMERICAN EXPRESS CO. 2.67% BANK OF NEW YORK MELLON CORP. 2.06% TRAVELERS COS., INC. 1.82% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Diversified Financials Services 29.11 Capital Markets 20.14 Commercial Banks 19.30 Insurance 17.43 Real Estate Investments Trusts (REITs) 7.70 Consumer Finance 5.25 Thrifts & Mortgage Finance 0.88 Real Estate Management & Development 0.19
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's equity investments market value. These percentages may change over time. 22 RYDEXSGI INVERSE 2x S&P SELECT SECTOR FINANCIAL ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI Inverse 2x S&P Select Sector Financial ETF returned -82.23%. Over the same time period, its benchmark, the Financials Select Sector Index, returned -7.46%. Rydex Inverse 2x S&P Select Sector Financials ETF achieved a daily correlation of 99% to its benchmark of - -200% of the daily price movement of the Financials Select Sector Index. Financials stocks were hit hard by the financial and subprime mortgage crisis, which saw large companies such as Fannie Mae and Freddie Mac taken over by a government conservatorship. Merrill Lynch was acquired by Bank of America during the period. After the collapse of Lehman Brothers in September 2008, the government and Federal Reserve backed up many financial institutions through the Troubled Asset Relief Program (TARP). Although financial stocks have rallied significantly off theirs lows in March 2009, they still produced a negative return for the period and performed much worse than the S&P 500(R) Total Return Index, which was up 9.80% for the year. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI INVERSE 2X S&P S&P 500 SELECT FINANCIAL TOTAL RETURN FINANCIAL SELECT ETF INDEX SECTOR INDEX* ----------------- ------------ ---------------- 6/10/2008 10000 10000 10000 6/11/2008 10648 9833 9672 6/12/2008 10217 9866 9868 6/13/2008 9791 10015 10070 6/14/2008 9791 10015 10070 6/15/2008 9791 10015 10070 6/16/2008 9580 10016 10176 6/17/2008 10144 9948 9878 6/18/2008 10388 9851 9758 6/19/2008 10205 9891 9844 6/20/2008 10731 9708 9594 6/21/2008 10731 9708 9594 6/22/2008 10731 9708 9594 6/23/2008 11311 9708 9332 6/24/2008 10973 9681 9472 6/25/2008 10889 9738 9508 6/26/2008 11844 9455 9086 6/27/2008 12165 9420 8962 6/28/2008 12165 9420 8962 6/29/2008 12165 9420 8962 6/30/2008 12685 9432 8771 7/1/2008 12413 9470 8860 7/2/2008 12773 9298 8733 7/3/2008 12863 9309 8705 7/4/2008 12863 9309 8705 7/5/2008 12863 9309 8705 7/6/2008 12863 9309 8705 7/7/2008 13668 9231 8430 7/8/2008 12160 9392 8912 7/9/2008 13427 9179 8446 7/10/2008 13676 9243 8367 7/11/2008 14392 9141 8153 7/12/2008 14392 9141 8153 7/13/2008 14392 9141 8153 7/14/2008 15848 9059 7744 7/15/2008 16748 8960 7515 7/16/2008 12753 9186 8440 7/17/2008 11052 9297 8986 7/18/2008 10805 9299 9085 7/19/2008 10805 9299 9085 7/20/2008 10805 9299 9085 7/21/2008 10981 9295 9008 7/22/2008 9543 9420 9602 7/23/2008 9175 9459 9782 7/24/2008 10401 9240 9122 7/25/2008 10528 9279 9067 7/26/2008 10528 9279 9067 7/27/2008 10528 9279 9067 7/28/2008 11504 9106 8654 7/29/2008 9793 9320 9303 7/30/2008 9392 9476 9489 7/31/2008 9611 9353 9368 8/1/2008 9496 9301 9426 8/2/2008 9496 9301 9426 8/3/2008 9496 9301 9426 8/4/2008 9729 9217 9308 8/5/2008 8751 9483 9778 8/6/2008 8913 9519 9681 8/7/2008 9801 9349 9195 8/8/2008 9104 9573 9520 8/9/2008 9104 9573 9520 8/10/2008 9104 9573 9520 8/11/2008 8771 9642 9698 8/12/2008 9699 9526 9194 8/13/2008 10269 9501 8922 8/14/2008 9745 9554 9149 8/15/2008 9528 9594 9251 8/16/2008 9528 9594 9251 8/17/2008 9528 9594 9251 8/18/2008 10215 9450 8920 8/19/2008 10827 9363 8649 8/20/2008 10468 9421 8794 8/21/2008 10697 9446 8700 8/22/2008 10055 9554 8970 8/23/2008 10055 9554 8970 8/24/2008 10055 9554 8970 8/25/2008 10683 9366 8691 8/26/2008 10532 9401 8753 8/27/2008 10173 9478 8899 8/28/2008 9243 9620 9299 8/29/2008 9356 9488 9245 8/30/2008 9356 9488 9245 8/31/2008 9356 9488 9245 9/1/2008 9356 9488 9245 9/2/2008 9024 9450 9413 9/3/2008 8739 9435 9541 9/4/2008 9563 9153 9093 9/5/2008 8959 9194 9387 9/6/2008 8959 9194 9387 9/7/2008 8959 9194 9387 9/8/2008 8120 9384 9823 9/9/2008 9168 9064 9175 9/10/2008 9295 9120 9109 9/11/2008 9012 9249 9248 9/12/2008 9209 9269 9150 9/13/2008 9209 9269 9150 9/14/2008 9209 9269 9150 9/15/2008 11180 8832 8184 9/16/2008 9885 8987 8693 9/17/2008 11629 8563 7916 9/18/2008 9044 8937 8845 9/19/2008 7048 9297 9827 9/20/2008 7048 9297 9827 9/21/2008 7048 9297 9827 9/22/2008 8198 8942 8994 9/23/2008 8436 8802 8857 9/24/2008 8612 8785 8726 9/25/2008 8195 8958 8954 9/26/2008 7808 8988 9226 9/27/2008 7808 8988 9226 9/28/2008 7808 8988 9226 9/29/2008 9992 8198 7749 9/30/2008 8316 8643 8763 10/1/2008 8064 8605 8951 10/2/2008 8656 8259 8565 10/3/2008 9169 8148 8225 10/4/2008 9169 8148 8225 10/5/2008 9169 8148 8225 10/6/2008 9862 7834 7882 10/7/2008 11853 7385 6973 10/8/2008 12450 7305 6763 10/9/2008 15025 6749 5969 10/10/2008 13069 6670 6384 10/11/2008 13069 6670 6384 10/12/2008 13069 6670 6384 10/13/2008 10202 7442 7038 10/14/2008 8852 7403 7489 10/15/2008 10492 6735 6806 10/16/2008 10120 7021 6919 10/17/2008 10614 6978 6759 10/18/2008 10614 6978 6759 10/19/2008 10614 6978 6759 10/20/2008 9978 7310 6949 10/21/2008 10382 7085 6821 10/22/2008 11892 6654 6346 10/23/2008 12103 6739 6291 10/24/2008 13085 6506 6049 10/25/2008 13085 6506 6049 10/26/2008 13085 6506 6049 10/27/2008 14175 6300 5802 10/28/2008 10602 6979 6527 10/29/2008 11262 6903 6340 10/30/2008 10870 7082 6418 10/31/2008 9581 7191 6770 11/1/2008 9581 7191 6770 11/2/2008 9581 7191 6770 11/3/2008 9513 7173 6790 11/4/2008 8495 7466 7160 11/5/2008 9984 7077 6532 11/6/2008 11318 6723 6092 11/7/2008 10826 6920 6223 11/8/2008 10826 6920 6223 11/9/2008 10826 6920 6223 11/10/2008 11832 6833 5949 11/11/2008 12410 6682 5806 11/12/2008 14116 6338 5406 11/13/2008 12113 6778 5789 11/14/2008 13380 6496 5489 11/15/2008 13380 6496 5489 11/16/2008 13380 6496 5489 11/17/2008 14897 6329 5160 11/18/2008 15113 6393 5119 11/19/2008 18674 6002 4527 11/20/2008 22498 5600 4051 11/21/2008 21001 5955 4188 11/22/2008 21001 5955 4188 11/23/2008 21001 5955 4188 11/24/2008 13426 6341 4974 11/25/2008 12772 6383 5098 11/26/2008 11519 6611 5349 11/27/2008 11519 6611 5349 11/28/2008 10848 6675 5502 11/29/2008 10848 6675 5502 11/30/2008 10848 6675 5502 12/1/2008 14647 6080 4566 12/2/2008 12455 6323 4928 12/3/2008 11071 6490 5204 12/4/2008 11473 6300 5107 12/5/2008 9445 6530 5547 12/6/2008 9445 6530 5547 12/7/2008 9445 6530 5547 12/8/2008 8146 6782 5927 12/9/2008 8949 6625 5637 12/10/2008 9005 6705 5599 12/11/2008 9776 6515 5124 12/12/2008 9557 6561 5229 12/13/2008 9557 6561 5229 12/14/2008 9557 6561 5229 12/15/2008 9984 6478 5021 12/16/2008 8765 6811 5585 12/17/2008 8875 6746 5515 12/18/2008 9132 6603 5349 12/19/2008 9092 6623 5371 12/20/2008 9092 6623 5371 12/21/2008 9092 6623 5371 12/22/2008 9471 6502 5155 12/23/2008 9675 6440 5054 12/24/2008 9479 6481 5149 12/25/2008 9479 6481 5149 12/26/2008 9471 6515 5153 12/27/2008 9471 6515 5153 12/28/2008 9471 6515 5153 12/29/2008 9562 6492 5102 12/30/2008 9136 6652 5312 12/31/2008 8852 6746 5464 1/1/2009 8852 6746 5464 1/2/2009 8552 6961 5547 1/3/2009 8552 6961 5547 1/4/2009 8552 6961 5547 1/5/2009 8960 6928 5411 1/6/2009 8613 6982 5516 1/7/2009 9483 6777 5233 1/8/2009 9524 6800 5222 1/9/2009 10179 6655 5043 1/10/2009 10179 6655 5043 1/11/2009 10179 6655 5043 1/12/2009 11313 6505 4756 1/13/2009 10996 6517 4820 1/14/2009 12242 6300 4545 1/15/2009 13509 6308 4315 1/16/2009 14178 6356 4211 1/17/2009 14178 6356 4211 1/18/2009 14178 6356 4211 1/19/2009 14178 6356 4211 1/20/2009 18937 6020 3507 1/21/2009 13539 6284 4019 1/22/2009 15185 6188 3784 1/23/2009 14165 6222 3914 1/24/2009 14165 6222 3914 1/25/2009 14165 6222 3914 1/26/2009 14756 6256 3833 1/27/2009 13655 6325 3977 1/28/2009 10064 6538 4492 1/29/2009 11817 6322 4115 1/30/2009 12395 6178 4014 1/31/2009 12395 6178 4014 2/1/2009 12395 6178 4014 2/2/2009 12347 6174 4021 2/3/2009 12954 6272 3920 2/4/2009 13160 6230 3881 2/5/2009 12787 6332 3934 2/6/2009 10762 6505 4253 2/7/2009 10762 6505 4253 2/8/2009 10762 6505 4253 2/9/2009 10491 6515 4310 2/10/2009 12766 6195 3841 2/11/2009 11441 6247 4040 2/12/2009 11756 6259 3987 2/13/2009 12752 6198 3819 2/14/2009 12752 6198 3819 2/15/2009 12752 6198 3819 2/16/2009 12752 6198 3819 2/17/2009 15153 5916 3444 2/18/2009 15202 5912 3438 2/19/2009 16775 5845 3259 2/20/2009 17259 5779 3211 2/21/2009 17259 5779 3211 2/22/2009 17259 5779 3211 2/23/2009 18293 5579 3114 2/24/2009 14079 5803 3482 2/25/2009 14197 5742 3466 2/26/2009 13679 5653 3536 2/27/2009 15645 5520 3275 2/28/2009 15645 5520 3275 3/1/2009 15645 5520 3275 3/2/2009 17600 5263 3051 3/3/2009 18153 5229 3003 3/4/2009 18427 5355 2980 3/5/2009 21988 5128 2684 3/6/2009 22590 5135 2646 3/7/2009 22590 5135 2646 3/8/2009 22590 5135 2646 3/9/2009 21462 5084 2712 3/10/2009 14471 5408 3134 3/11/2009 13706 5423 3210 3/12/2009 11014 5645 3531 3/13/2009 10947 5689 3542 3/14/2009 10947 5689 3542 3/15/2009 10947 5689 3542 3/16/2009 11347 5669 3476 3/17/2009 9886 5852 3705 3/18/2009 7816 5974 4079 3/19/2009 9089 5896 3752 3/20/2009 10074 5780 3552 3/21/2009 10074 5780 3552 3/22/2009 10074 5780 3552 3/23/2009 6615 6190 4183 3/24/2009 7526 6064 3909 3/25/2009 6878 6122 4088 3/26/2009 6749 6265 4130 3/27/2009 7209 6139 3986 3/28/2009 7209 6139 3986 3/29/2009 7209 6139 3986 3/30/2009 8541 5926 3610 3/31/2009 7375 6003 3853 4/1/2009 6983 6104 3952 4/2/2009 6569 6280 4068 4/3/2009 6016 6341 4239 4/4/2009 6016 6341 4239 4/5/2009 6016 6341 4239 4/6/2009 6384 6288 4115 4/7/2009 6790 6142 3981 4/8/2009 6669 6215 4016 4/9/2009 4577 6451 4639 4/10/2009 4577 6451 4639 4/11/2009 4577 6451 4639 4/12/2009 4577 6451 4639 4/13/2009 4104 6468 4862 4/14/2009 4732 6339 4488 4/15/2009 4219 6418 4738 4/16/2009 4166 6518 4768 4/17/2009 4058 6551 4829 4/18/2009 4058 6551 4829 4/19/2009 4058 6551 4829 4/20/2009 4955 6271 4278 4/21/2009 4179 6404 4628 4/22/2009 4496 6356 4452 4/23/2009 4101 6419 4652 4/24/2009 3894 6527 4765 4/25/2009 3894 6527 4765 4/26/2009 3894 6527 4765 4/27/2009 4131 6461 4614 4/28/2009 4278 6444 4529 4/29/2009 3868 6584 4745 4/30/2009 3929 6578 4707 5/1/2009 4056 6614 4628 5/2/2009 4056 6614 4628 5/3/2009 4056 6614 4628 5/4/2009 3226 6838 5097 5/5/2009 3306 6812 5035 5/6/2009 2774 6933 5443 5/7/2009 2968 6842 5256 5/8/2009 2471 7007 5692 5/9/2009 2471 7007 5692 5/10/2009 2471 7007 5692 5/11/2009 2815 6859 5304 5/12/2009 2914 6852 5207 5/13/2009 3207 6671 4937 5/14/2009 2949 6741 5133 5/15/2009 3099 6665 5005 5/16/2009 3099 6665 5005 5/17/2009 3099 6665 5005 5/18/2009 2659 6868 5365 5/19/2009 2801 6857 5225 5/20/2009 2936 6823 5097 5/21/2009 2922 6710 5109 5/22/2009 2992 6701 5047 5/23/2009 2992 6701 5047 5/24/2009 2992 6701 5047 5/25/2009 2992 6701 5047 5/26/2009 2750 6877 5256 5/27/2009 2962 6748 5053 5/28/2009 2756 6853 5233 5/29/2009 2656 6946 5323 5/30/2009 2656 6946 5323 5/31/2009 2656 6946 5323 6/1/2009 2629 7125 5351 6/2/2009 2688 7140 5287 6/3/2009 2780 7043 5208 6/4/2009 2546 7125 5415 6/5/2009 2621 7108 5336 6/6/2009 2621 7108 5336 6/7/2009 2621 7108 5336 6/8/2009 2562 7102 5395 6/9/2009 2535 7127 5423 6/10/2009 2616 7103 5339 6/11/2009 2565 7148 5386 6/12/2009 2530 7158 5424 6/13/2009 2530 7158 5424 6/14/2009 2530 7158 5424 6/15/2009 2680 6988 5264 6/16/2009 2769 6899 5178 6/17/2009 2906 6890 5045 6/18/2009 2764 6949 5170 6/19/2009 2667 6970 5258 6/20/2009 2667 6970 5258 6/21/2009 2667 6970 5258 6/22/2009 2989 6758 4934 6/23/2009 2887 6774 5018 6/24/2009 2823 6818 5074 6/25/2009 2723 6964 5160 6/26/2009 2688 6956 5191 6/27/2009 2688 6956 5191 6/28/2009 2688 6956 5191 6/29/2009 2616 7019 5263 6/30/2009 2672 6960 5204 7/1/2009 2697 6991 5178 7/2/2009 2911 6787 4971 7/3/2009 2911 6787 4971 7/4/2009 2911 6787 4971 7/5/2009 2911 6787 4971 7/6/2009 2866 6805 5010 7/7/2009 2979 6671 4914 7/8/2009 3078 6664 4831 7/9/2009 2995 6687 4897 7/10/2009 3070 6660 4834 7/11/2009 3070 6660 4834 7/12/2009 3070 6660 4834 7/13/2009 2672 6827 5149 7/14/2009 2688 6863 5133 7/15/2009 2474 7067 5343 7/16/2009 2484 7128 5331 7/17/2009 2522 7126 5289 7/18/2009 2522 7126 5289 7/19/2009 2522 7126 5289 7/20/2009 2482 7207 5333 7/21/2009 2519 7233 5290 7/22/2009 2527 7231 5282 7/23/2009 2377 7399 5440 7/24/2009 2393 7422 5421 7/25/2009 2393 7422 5421 7/26/2009 2393 7422 5421 7/27/2009 2321 7444 5501 7/28/2009 2339 7425 5481 7/29/2009 2350 7392 5467 7/30/2009 2224 7481 5612 7/31/2009 2186 7486 5661 8/1/2009 2186 7486 5661 8/2/2009 2186 7486 5661 8/3/2009 2068 7601 5813 8/4/2009 1982 7624 5933 8/5/2009 1845 7604 6130 8/6/2009 1872 7563 6088 8/7/2009 1770 7664 6253 8/8/2009 1770 7664 6253 8/9/2009 1770 7664 6253 8/10/2009 1794 7639 6212 8/11/2009 1920 7544 5992 8/12/2009 1842 7634 6113 8/13/2009 1770 7687 6233 8/14/2009 1789 7622 6202 8/15/2009 1789 7622 6202 8/16/2009 1789 7622 6202 8/17/2009 1939 7438 5938 8/18/2009 1864 7515 6052 8/19/2009 1867 7568 6049 8/20/2009 1770 7651 6206 8/21/2009 1692 7795 6339 8/22/2009 1692 7795 6339 8/23/2009 1692 7795 6339 8/24/2009 1724 7791 6280 8/25/2009 1684 7809 6351 8/26/2009 1689 7811 6343 8/27/2009 1657 7834 6404 8/28/2009 1652 7819 6414 8/29/2009 1652 7819 6414 8/30/2009 1652 7819 6414 8/31/2009 1662 7756 6389 9/1/2009 1840 7585 6053 9/2/2009 1875 7562 5994 9/3/2009 1789 7627 6131 9/4/2009 1759 7728 6182 9/5/2009 1759 7728 6182 9/6/2009 1759 7728 6182 9/7/2009 1759 7728 6182 9/8/2009 1735 7797 6221 9/9/2009 1687 7858 6310 9/10/2009 1654 7940 6368 9/11/2009 1681 7931 6316 9/12/2009 1681 7931 6316 9/13/2009 1681 7931 6316 9/14/2009 1633 7982 6407 9/15/2009 1630 8007 6413 9/16/2009 1520 8130 6631 9/17/2009 1531 8106 6606 9/18/2009 1531 8127 6602 9/19/2009 1531 8127 6602 9/20/2009 1531 8127 6602 9/21/2009 1560 8100 6542 9/22/2009 1491 8153 6689 9/23/2009 1552 8071 6550 9/24/2009 1606 7995 6434 9/25/2009 1641 7947 6362 9/26/2009 1641 7947 6362 9/27/2009 1641 7947 6362 9/28/2009 1528 8090 6581 9/29/2009 1544 8072 6546 9/30/2009 1558 8046 6513 10/1/2009 1697 7839 6228 10/2/2009 1697 7804 6223 10/3/2009 1697 7804 6223 10/4/2009 1697 7804 6223 10/5/2009 1585 7920 6428 10/6/2009 1544 8028 6508 10/7/2009 1512 8054 6573 10/8/2009 1507 8115 6586 10/9/2009 1483 8161 6640 10/10/2009 1483 8161 6640 10/11/2009 1483 8161 6640 10/12/2009 1456 8196 6700 10/13/2009 1488 8174 6626 10/14/2009 1386 8318 6853 10/15/2009 1405 8352 6807 10/16/2009 1480 8285 6628 10/17/2009 1480 8285 6628 10/18/2009 1480 8285 6628 10/19/2009 1466 8363 6659 10/20/2009 1485 8311 6614 10/21/2009 1542 8238 6488 10/22/2009 1453 8327 6677 10/23/2009 1499 8225 6573 10/24/2009 1499 8225 6573 10/25/2009 1499 8225 6573 10/26/2009 1574 8129 6408 10/27/2009 1595 8102 6364 10/28/2009 1700 7945 6158 10/29/2009 1552 8124 6425 10/30/2009 1703 7896 6120 10/31/2009 1703 7896 6120
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI INVERSE 2X S&P SELECT SECTOR FINANCIAL ETF......... -82.23% -71.97% FINANCIALS SELECT SECTOR INDEX.............................. -7.46% -36.24% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.61%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 23 RYDEXSGI 2x S&P SELECT SECTOR HEALTH CARE ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI 2x S&P Select Sector Health Care ETF returned 4.45%. Over the same time period, its benchmark, the Health Care Select Sector Index, returned 6.28%. For the period since inception, the RydexSGI 2x S&P Select Sector Health Care ETF achieved a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Health Select Sector Index. With recovering financial markets, the health-care sector enjoyed a series of large merger and acquisition deals. Schering-Plough announced a reverse merger with Merck & Co. in March 2009, creating the second-largest pharmaceuticals manufacturer in the world. Health-care reform continues to be a hotly debated topic and is weighing on industry stocks. Health-care stocks slightly underperformed the S&P 500(R) Total Return Index, which was up 9.80% for the year. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI 2X S&P SELECT S&P 500 HEALTH CARE SECTOR HEALTH TOTAL RETURN SELECT SECTOR CARE ETF INDEX INDEX ------------- ------------ ------------- 6/10/2008 10000 10000 10000 6/11/2008 9709 9833 9855 6/12/2008 9791 9866 9897 6/13/2008 10032 10015 10021 6/14/2008 10032 10015 10021 6/15/2008 10032 10015 10021 6/16/2008 9939 10016 9975 6/17/2008 9855 9948 9934 6/18/2008 9687 9851 9849 6/19/2008 9789 9891 9902 6/20/2008 9507 9708 9761 6/21/2008 9507 9708 9761 6/22/2008 9507 9708 9761 6/23/2008 9567 9708 9792 6/24/2008 9635 9681 9827 6/25/2008 9797 9738 9910 6/26/2008 9383 9455 9701 6/27/2008 9496 9420 9759 6/28/2008 9496 9420 9759 6/29/2008 9496 9420 9759 6/30/2008 9679 9432 9854 7/1/2008 9779 9470 9904 7/2/2008 9699 9298 9859 7/3/2008 9719 9309 9871 7/4/2008 9719 9309 9871 7/5/2008 9719 9309 9871 7/6/2008 9719 9309 9871 7/7/2008 9625 9231 9825 7/8/2008 10184 9392 10111 7/9/2008 10113 9179 10076 7/10/2008 10201 9243 10121 7/11/2008 9961 9141 9999 7/12/2008 9961 9141 9999 7/13/2008 9961 9141 9999 7/14/2008 9928 9059 9983 7/15/2008 10179 8960 10109 7/16/2008 10327 9186 10183 7/17/2008 10483 9297 10260 7/18/2008 10373 9299 10208 7/19/2008 10373 9299 10208 7/20/2008 10373 9299 10208 7/21/2008 10119 9295 10083 7/22/2008 10311 9420 10179 7/23/2008 10533 9459 10290 7/24/2008 10500 9240 10273 7/25/2008 10631 9279 10339 7/26/2008 10631 9279 10339 7/27/2008 10631 9279 10339 7/28/2008 10427 9106 10240 7/29/2008 10573 9320 10313 7/30/2008 10556 9476 10304 7/31/2008 10628 9353 10340 8/1/2008 10413 9301 10237 8/2/2008 10413 9301 10237 8/3/2008 10413 9301 10237 8/4/2008 10675 9217 10366 8/5/2008 11220 9483 10630 8/6/2008 11284 9519 10645 8/7/2008 10995 9349 10508 8/8/2008 11527 9573 10762 8/9/2008 11527 9573 10762 8/10/2008 11527 9573 10762 8/11/2008 11549 9642 10770 8/12/2008 11485 9526 10741 8/13/2008 11397 9501 10697 8/14/2008 11496 9554 10743 8/15/2008 11707 9594 10843 8/16/2008 11707 9594 10843 8/17/2008 11707 9594 10843 8/18/2008 11469 9450 10734 8/19/2008 11305 9363 10657 8/20/2008 11192 9421 10604 8/21/2008 11247 9446 10631 8/22/2008 11461 9554 10725 8/23/2008 11461 9554 10725 8/24/2008 11461 9554 10725 8/25/2008 11099 9366 10555 8/26/2008 11108 9401 10560 8/27/2008 11095 9478 10554 8/28/2008 11281 9620 10643 8/29/2008 11013 9488 10518 8/30/2008 11013 9488 10518 8/31/2008 11013 9488 10518 9/1/2008 11013 9488 10518 9/2/2008 11037 9450 10530 9/3/2008 11063 9435 10537 9/4/2008 10500 9153 10270 9/5/2008 10392 9194 10219 9/6/2008 10392 9194 10219 9/7/2008 10392 9194 10219 9/8/2008 10825 9384 10429 9/9/2008 10457 9064 10253 9/10/2008 10491 9120 10270 9/11/2008 10776 9249 10409 9/12/2008 10728 9269 10387 9/13/2008 10728 9269 10387 9/14/2008 10728 9269 10387 9/15/2008 10300 8832 10181 9/16/2008 10324 8987 10193 9/17/2008 9639 8563 9857 9/18/2008 10047 8937 10063 9/19/2008 10162 9297 10123 9/20/2008 10162 9297 10123 9/21/2008 10162 9297 10123 9/22/2008 9647 8942 9867 9/23/2008 9552 8802 9820 9/24/2008 9658 8785 9874 9/25/2008 9967 8958 10033 9/26/2008 10036 8988 10070 9/27/2008 10036 8988 10070 9/28/2008 10036 8988 10070 9/29/2008 8866 8198 9484 9/30/2008 9576 8643 9845 10/1/2008 9578 8605 9841 10/2/2008 9275 8259 9686 10/3/2008 9152 8148 9625 10/4/2008 9152 8148 9625 10/5/2008 9152 8148 9625 10/6/2008 8296 7834 9176 10/7/2008 7705 7385 8856 10/8/2008 7503 7305 8742 10/9/2008 6416 6749 8119 10/10/2008 5980 6670 7848 10/11/2008 5980 6670 7848 10/12/2008 5980 6670 7848 10/13/2008 7486 7442 8826 10/14/2008 7475 7403 8821 10/15/2008 6455 6735 8224 10/16/2008 6937 7021 8527 10/17/2008 6941 6978 8532 10/18/2008 6941 6978 8532 10/19/2008 6941 6978 8532 10/20/2008 7509 7310 8878 10/21/2008 7281 7085 8744 10/22/2008 6582 6654 8326 10/23/2008 6788 6739 8456 10/24/2008 6427 6506 8232 10/25/2008 6427 6506 8232 10/26/2008 6427 6506 8232 10/27/2008 5995 6300 7960 10/28/2008 6905 6979 8561 10/29/2008 6588 6903 8363 10/30/2008 6888 7082 8557 10/31/2008 7067 7191 8670 11/1/2008 7067 7191 8670 11/2/2008 7067 7191 8670 11/3/2008 7162 7173 8729 11/4/2008 7389 7466 8869 11/5/2008 6889 7077 8553 11/6/2008 6471 6723 8290 11/7/2008 6840 6920 8528 11/8/2008 6840 6920 8528 11/9/2008 6840 6920 8528 11/10/2008 6773 6833 8483 11/11/2008 6567 6682 8354 11/12/2008 6108 6338 8057 11/13/2008 6854 6778 8551 11/14/2008 6380 6496 8257 11/15/2008 6380 6496 8257 11/16/2008 6380 6496 8257 11/17/2008 6091 6329 8075 11/18/2008 6194 6393 8143 11/19/2008 5615 6002 7764 11/20/2008 4894 5600 7268 11/21/2008 5314 5955 7571 11/22/2008 5314 5955 7571 11/23/2008 5314 5955 7571 11/24/2008 5649 6341 7813 11/25/2008 5710 6383 7854 11/26/2008 5850 6611 7949 11/27/2008 5850 6611 7949 11/28/2008 5989 6675 8046 11/29/2008 5989 6675 8046 11/30/2008 5989 6675 8046 12/1/2008 5254 6080 7549 12/2/2008 5608 6323 7804 12/3/2008 5909 6490 8008 12/4/2008 5639 6300 7823 12/5/2008 6031 6530 8099 12/6/2008 6031 6530 8099 12/7/2008 6031 6530 8099 12/8/2008 6155 6782 8181 12/9/2008 5879 6625 7999 12/10/2008 5950 6705 8047 12/11/2008 5969 6515 8060 12/12/2008 6012 6561 8090 12/13/2008 6012 6561 8090 12/14/2008 6012 6561 8090 12/15/2008 5960 6478 8055 12/16/2008 6473 6811 8399 12/17/2008 6366 6746 8329 12/18/2008 6432 6603 8372 12/19/2008 6535 6623 8440 12/20/2008 6535 6623 8440 12/21/2008 6535 6623 8440 12/22/2008 6448 6502 8384 12/23/2008 6393 6440 8348 12/24/2008 6401 6481 8354 12/25/2008 6401 6481 8354 12/26/2008 6423 6515 8368 12/27/2008 6423 6515 8368 12/28/2008 6423 6515 8368 12/29/2008 6353 6492 8322 12/30/2008 6667 6652 8522 12/31/2008 6762 6746 8583 1/1/2009 6762 6746 8583 1/2/2009 7060 6961 8774 1/3/2009 7060 6961 8774 1/4/2009 7060 6961 8774 1/5/2009 6931 6928 8694 1/6/2009 6734 6982 8571 1/7/2009 6604 6777 8488 1/8/2009 6677 6800 8534 1/9/2009 6554 6655 8457 1/10/2009 6554 6655 8457 1/11/2009 6554 6655 8457 1/12/2009 6389 6505 8351 1/13/2009 6499 6517 8419 1/14/2009 6302 6300 8292 1/15/2009 6393 6308 8352 1/16/2009 6522 6356 8438 1/17/2009 6522 6356 8438 1/18/2009 6522 6356 8438 1/19/2009 6522 6356 8438 1/20/2009 6185 6020 8221 1/21/2009 6459 6284 8402 1/22/2009 6490 6188 8422 1/23/2009 6502 6222 8430 1/24/2009 6502 6222 8430 1/25/2009 6502 6222 8430 1/26/2009 6469 6256 8408 1/27/2009 6726 6325 8575 1/28/2009 6894 6538 8682 1/29/2009 6721 6322 8574 1/30/2009 6558 6178 8470 1/31/2009 6558 6178 8470 2/1/2009 6558 6178 8470 2/2/2009 6685 6174 8552 2/3/2009 7013 6272 8761 2/4/2009 6911 6230 8680 2/5/2009 7037 6332 8760 2/6/2009 7168 6505 8841 2/7/2009 7168 6505 8841 2/8/2009 7168 6505 8841 2/9/2009 7125 6515 8815 2/10/2009 6655 6195 8525 2/11/2009 6823 6247 8625 2/12/2009 6956 6259 8710 2/13/2009 6828 6198 8631 2/14/2009 6828 6198 8631 2/15/2009 6828 6198 8631 2/16/2009 6828 6198 8631 2/17/2009 6548 5916 8456 2/18/2009 6537 5912 8449 2/19/2009 6509 5845 8431 2/20/2009 6377 5779 8337 2/21/2009 6377 5779 8337 2/22/2009 6377 5779 8337 2/23/2009 6053 5579 8124 2/24/2009 6289 5803 8282 2/25/2009 6037 5742 8117 2/26/2009 5415 5653 7703 2/27/2009 4964 5520 7385 2/28/2009 4964 5520 7385 3/1/2009 4964 5520 7385 3/2/2009 4534 5263 7073 3/3/2009 4516 5229 7060 3/4/2009 4759 5355 7243 3/5/2009 4452 5128 7012 3/6/2009 4549 5135 7087 3/7/2009 4549 5135 7087 3/8/2009 4549 5135 7087 3/9/2009 4467 5084 7023 3/10/2009 4808 5408 7293 3/11/2009 4616 5423 7147 3/12/2009 5096 5645 7517 3/13/2009 5437 5689 7769 3/14/2009 5437 5689 7769 3/15/2009 5437 5689 7769 3/16/2009 5299 5669 7671 3/17/2009 5486 5852 7806 3/18/2009 5488 5974 7807 3/19/2009 5213 5896 7612 3/20/2009 5231 5780 7626 3/21/2009 5231 5780 7626 3/22/2009 5231 5780 7626 3/23/2009 5639 6190 7923 3/24/2009 5454 6064 7793 3/25/2009 5523 6122 7843 3/26/2009 5671 6265 7949 3/27/2009 5561 6139 7872 3/28/2009 5561 6139 7872 3/29/2009 5561 6139 7872 3/30/2009 5482 5926 7816 3/31/2009 5538 6003 7857 4/1/2009 5518 6104 7836 4/2/2009 5538 6280 7851 4/3/2009 5362 6341 7726 4/4/2009 5362 6341 7726 4/5/2009 5362 6341 7726 4/6/2009 5426 6288 7773 4/7/2009 5343 6142 7714 4/8/2009 5430 6215 7777 4/9/2009 5496 6451 7824 4/10/2009 5496 6451 7824 4/11/2009 5496 6451 7824 4/12/2009 5496 6451 7824 4/13/2009 5540 6468 7851 4/14/2009 5509 6339 7830 4/15/2009 5581 6418 7882 4/16/2009 5622 6518 7911 4/17/2009 5725 6551 7985 4/18/2009 5725 6551 7985 4/19/2009 5725 6551 7985 4/20/2009 5499 6271 7828 4/21/2009 5403 6404 7761 4/22/2009 5262 6356 7659 4/23/2009 5278 6419 7671 4/24/2009 5300 6527 7687 4/25/2009 5300 6527 7687 4/26/2009 5300 6527 7687 4/27/2009 5398 6461 7758 4/28/2009 5412 6444 7768 4/29/2009 5479 6584 7816 4/30/2009 5455 6578 7799 5/1/2009 5441 6614 7789 5/2/2009 5441 6614 7789 5/3/2009 5441 6614 7789 5/4/2009 5654 6838 7941 5/5/2009 5744 6812 8004 5/6/2009 5685 6933 7955 5/7/2009 5963 6842 8151 5/8/2009 6065 7007 8221 5/9/2009 6065 7007 8221 5/10/2009 6065 7007 8221 5/11/2009 5928 6859 8125 5/12/2009 6093 6852 8238 5/13/2009 6084 6671 8228 5/14/2009 6100 6741 8239 5/15/2009 5957 6665 8143 5/16/2009 5957 6665 8143 5/17/2009 5957 6665 8143 5/18/2009 6093 6868 8235 5/19/2009 6019 6857 8187 5/20/2009 6060 6823 8215 5/21/2009 5917 6710 8108 5/22/2009 5906 6701 8101 5/23/2009 5906 6701 8101 5/24/2009 5906 6701 8101 5/25/2009 5906 6701 8101 5/26/2009 6085 6877 8224 5/27/2009 5956 6748 8137 5/28/2009 6020 6853 8181 5/29/2009 6206 6946 8308 5/30/2009 6206 6946 8308 5/31/2009 6206 6946 8308 6/1/2009 6263 7125 8346 6/2/2009 6400 7140 8437 6/3/2009 6332 7043 8399 6/4/2009 6193 7125 8295 6/5/2009 6162 7108 8274 6/6/2009 6162 7108 8274 6/7/2009 6162 7108 8274 6/8/2009 6035 7102 8188 6/9/2009 6004 7127 8168 6/10/2009 5961 7103 8138 6/11/2009 6073 7148 8215 6/12/2009 6131 7158 8255 6/13/2009 6131 7158 8255 6/14/2009 6131 7158 8255 6/15/2009 5782 6988 8020 6/16/2009 5805 6899 8036 6/17/2009 6043 6890 8200 6/18/2009 6313 6949 8383 6/19/2009 6378 6970 8427 6/20/2009 6378 6970 8427 6/21/2009 6378 6970 8427 6/22/2009 6123 6758 8260 6/23/2009 6120 6774 8257 6/24/2009 6193 6818 8306 6/25/2009 6529 6964 8533 6/26/2009 6539 6956 8540 6/27/2009 6539 6956 8540 6/28/2009 6539 6956 8540 6/29/2009 6599 7019 8579 6/30/2009 6505 6960 8518 7/1/2009 6513 6991 8518 7/2/2009 6208 6787 8318 7/3/2009 6208 6787 8318 7/4/2009 6208 6787 8318 7/5/2009 6208 6787 8318 7/6/2009 6304 6805 8382 7/7/2009 6274 6671 8363 7/8/2009 6368 6664 8424 7/9/2009 6239 6687 8338 7/10/2009 6176 6660 8297 7/11/2009 6176 6660 8297 7/12/2009 6176 6660 8297 7/13/2009 6375 6827 8426 7/14/2009 6420 6863 8456 7/15/2009 6529 7067 8528 7/16/2009 6635 7128 8598 7/17/2009 6575 7126 8559 7/18/2009 6575 7126 8559 7/19/2009 6575 7126 8559 7/20/2009 6634 7207 8597 7/21/2009 6831 7233 8724 7/22/2009 6745 7231 8670 7/23/2009 7058 7399 8873 7/24/2009 7277 7422 9010 7/25/2009 7277 7422 9010 7/26/2009 7277 7422 9010 7/27/2009 7282 7444 9013 7/28/2009 7313 7425 9033 7/29/2009 7353 7392 9058 7/30/2009 7374 7481 9071 7/31/2009 7283 7486 9015 8/1/2009 7283 7486 9015 8/2/2009 7283 7486 9015 8/3/2009 7361 7601 9064 8/4/2009 7360 7624 9064 8/5/2009 7191 7604 8950 8/6/2009 7046 7563 8861 8/7/2009 7164 7664 8935 8/8/2009 7164 7664 8935 8/9/2009 7164 7664 8935 8/10/2009 7269 7639 9002 8/11/2009 7231 7544 8975 8/12/2009 7287 7634 9006 8/13/2009 7295 7687 9011 8/14/2009 7256 7622 8987 8/15/2009 7256 7622 8987 8/16/2009 7256 7622 8987 8/17/2009 7250 7438 8984 8/18/2009 7238 7515 8976 8/19/2009 7413 7568 9085 8/20/2009 7505 7651 9141 8/21/2009 7694 7795 9247 8/22/2009 7694 7795 9247 8/23/2009 7694 7795 9247 8/24/2009 7750 7791 9281 8/25/2009 7805 7809 9314 8/26/2009 7764 7811 9290 8/27/2009 7798 7834 9310 8/28/2009 7656 7819 9225 8/29/2009 7656 7819 9225 8/30/2009 7656 7819 9225 8/31/2009 7622 7756 9204 9/1/2009 7424 7585 9084 9/2/2009 7418 7562 9075 9/3/2009 7409 7627 9070 9/4/2009 7595 7728 9185 9/5/2009 7595 7728 9185 9/6/2009 7595 7728 9185 9/7/2009 7595 7728 9185 9/8/2009 7540 7797 9150 9/9/2009 7687 7858 9240 9/10/2009 7789 7940 9300 9/11/2009 7781 7931 9296 9/12/2009 7781 7931 9296 9/13/2009 7781 7931 9296 9/14/2009 7869 7982 9349 9/15/2009 7741 8007 9273 9/16/2009 7839 8130 9331 9/17/2009 7839 8106 9332 9/18/2009 7820 8127 9321 9/19/2009 7820 8127 9321 9/20/2009 7820 8127 9321 9/21/2009 7922 8100 9381 9/22/2009 7867 8153 9350 9/23/2009 7697 8071 9248 9/24/2009 7643 7995 9217 9/25/2009 7623 7947 9204 9/26/2009 7623 7947 9204 9/27/2009 7623 7947 9204 9/28/2009 7839 8090 9335 9/29/2009 7823 8072 9325 9/30/2009 7755 8046 9281 10/1/2009 7499 7839 9127 10/2/2009 7454 7804 9101 10/3/2009 7454 7804 9101 10/4/2009 7454 7804 9101 10/5/2009 7530 7920 9148 10/6/2009 7648 8028 9219 10/7/2009 7689 8054 9243 10/8/2009 7681 8115 9237 10/9/2009 7834 8161 9330 10/10/2009 7834 8161 9330 10/11/2009 7834 8161 9330 10/12/2009 7903 8196 9372 10/13/2009 7752 8174 9278 10/14/2009 7972 8318 9411 10/15/2009 8071 8352 9469 10/16/2009 8009 8285 9432 10/17/2009 8009 8285 9432 10/18/2009 8009 8285 9432 10/19/2009 8166 8363 9526 10/20/2009 8002 8311 9431 10/21/2009 7786 8238 9305 10/22/2009 7906 8327 9375 10/23/2009 7738 8225 9276 10/24/2009 7738 8225 9276 10/25/2009 7738 8225 9276 10/26/2009 7568 8129 9174 10/27/2009 7654 8102 9227 10/28/2009 7458 7945 9109 10/29/2009 7607 8124 9200 10/30/2009 7381 7896 9062 10/31/2009 7381 7896 9062
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI 2X SELECT SECTOR HEALTH CARE ETF................... 4.45 % -19.60 % HEALTH CARE SELECT SECTOR INDEX............................. 6.28 % -6.65 % S&P 500 TOTAL RETURN INDEX.................................. 9.80 % -15.61 %
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. 24 RYDEXSGI 2x S&P SELECT SECTOR HEALTH CARE ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ JOHNSON & JOHNSON, INC. 12.17% PFIZER, INC. 10.26% ABBOTT LABORATORIES 4.96% MERCK & CO., INC. 4.87% AMGEN, INC. 4.08% SCHERING-PLOUGH CORP. 3.48% BRISTOL-MYERS SQUIBB CO. 3.24% MEDTRONIC, INC. 2.96% GILEAD SCIENCES, INC. 2.88% ELI LILLY & CO. 2.57% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Pharmaceuticals 51.53 Health Care Providers & Services 16.73 Health Care Equipment & Supplies 15.39 Biotechnology 12.74 Life Sciences Tools & Services 3.34 Health Care Technology 0.27
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's equity investments market value. These percentages may change over time. ANNUAL REPORT 25 RYDEXSGI INVERSE 2x S&P SELECT SECTOR HEALTH CARE ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI Inverse 2x S&P Select Sector Health Care ETF returned -26.55%. Over the same time period, its benchmark, the Health Care Select Sector Index, returned 6.28%. For the period, RydexSGI Inverse 2x S&P Select Sector Health Care ETF achieved a daily correlation of over 99% to its benchmark of -200% of the daily price movement of the Health Care Select Sector Index. With recovering financial markets, the health-care sector enjoyed a series of large merger and acquisition deals. Schering-Plough announced a reverse merger with Merck & Co. in March 2009, creating the second-largest pharmaceuticals manufacturer in the world. Health-care reform continues to be a hotly debated topic and is weighing on industry stocks. Health-care stocks slightly underperformed the S&P 500(R) Total Return Index, which was up 9.80% for the year. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI INVERSE 2X S&P SELECT SECTOR S&P 500 HEALTH CARE HEALTH CARE TOTAL RETURN SELECT SECTOR ETF INDEX INDEX ----------------- ------------ ------------- 6/10/2008 10000 10000 10000 6/11/2008 10288 9833 9855 6/12/2008 10203 9866 9897 6/13/2008 9949 10015 10021 6/14/2008 9949 10015 10021 6/15/2008 9949 10015 10021 6/16/2008 10043 10016 9975 6/17/2008 10128 9948 9934 6/18/2008 10301 9851 9849 6/19/2008 10193 9891 9902 6/20/2008 10484 9708 9761 6/21/2008 10484 9708 9761 6/22/2008 10484 9708 9761 6/23/2008 10420 9708 9792 6/24/2008 10345 9681 9827 6/25/2008 10175 9738 9910 6/26/2008 10604 9455 9701 6/27/2008 10479 9420 9759 6/28/2008 10479 9420 9759 6/29/2008 10479 9420 9759 6/30/2008 10281 9432 9854 7/1/2008 10177 9470 9904 7/2/2008 10261 9298 9859 7/3/2008 10243 9309 9871 7/4/2008 10243 9309 9871 7/5/2008 10243 9309 9871 7/6/2008 10243 9309 9871 7/7/2008 10341 9231 9825 7/8/2008 9751 9392 10111 7/9/2008 9819 9179 10076 7/10/2008 9735 9243 10121 7/11/2008 9967 9141 9999 7/12/2008 9967 9141 9999 7/13/2008 9967 9141 9999 7/14/2008 10001 9059 9983 7/15/2008 9753 8960 10109 7/16/2008 9615 9186 10183 7/17/2008 9471 9297 10260 7/18/2008 9571 9299 10208 7/19/2008 9571 9299 10208 7/20/2008 9571 9299 10208 7/21/2008 9805 9295 10083 7/22/2008 9621 9420 10179 7/23/2008 9412 9459 10290 7/24/2008 9443 9240 10273 7/25/2008 9327 9279 10339 7/26/2008 9327 9279 10339 7/27/2008 9327 9279 10339 7/28/2008 9507 9106 10240 7/29/2008 9375 9320 10313 7/30/2008 9389 9476 10304 7/31/2008 9327 9353 10340 8/1/2008 9512 9301 10237 8/2/2008 9512 9301 10237 8/3/2008 9512 9301 10237 8/4/2008 9279 9217 10366 8/5/2008 8812 9483 10630 8/6/2008 8760 9519 10645 8/7/2008 8984 9349 10508 8/8/2008 8556 9573 10762 8/9/2008 8556 9573 10762 8/10/2008 8556 9573 10762 8/11/2008 8539 9642 10770 8/12/2008 8587 9526 10741 8/13/2008 8653 9501 10697 8/14/2008 8579 9554 10743 8/15/2008 8424 9594 10843 8/16/2008 8424 9594 10843 8/17/2008 8424 9594 10843 8/18/2008 8593 9450 10734 8/19/2008 8717 9363 10657 8/20/2008 8804 9421 10604 8/21/2008 8760 9446 10631 8/22/2008 8596 9554 10725 8/23/2008 8596 9554 10725 8/24/2008 8596 9554 10725 8/25/2008 8867 9366 10555 8/26/2008 8860 9401 10560 8/27/2008 8872 9478 10554 8/28/2008 8724 9620 10643 8/29/2008 8932 9488 10518 8/30/2008 8932 9488 10518 8/31/2008 8932 9488 10518 9/1/2008 8932 9488 10518 9/2/2008 8915 9450 10530 9/3/2008 8893 9435 10537 9/4/2008 9340 9153 10270 9/5/2008 9435 9194 10219 9/6/2008 9435 9194 10219 9/7/2008 9435 9194 10219 9/8/2008 9052 9384 10429 9/9/2008 9356 9064 10253 9/10/2008 9327 9120 10270 9/11/2008 9077 9249 10409 9/12/2008 9120 9269 10387 9/13/2008 9120 9269 10387 9/14/2008 9120 9269 10387 9/15/2008 9483 8832 10181 9/16/2008 9461 8987 10193 9/17/2008 10080 8563 9857 9/18/2008 9675 8937 10063 9/19/2008 9566 9297 10123 9/20/2008 9566 9297 10123 9/21/2008 9566 9297 10123 9/22/2008 10046 8942 9867 9/23/2008 10157 8802 9820 9/24/2008 10049 8785 9874 9/25/2008 9728 8958 10033 9/26/2008 9662 8988 10070 9/27/2008 9662 8988 10070 9/28/2008 9662 8988 10070 9/29/2008 10769 8198 9484 9/30/2008 10036 8643 9845 10/1/2008 10042 8605 9841 10/2/2008 10352 8259 9686 10/3/2008 10486 8148 9625 10/4/2008 10486 8148 9625 10/5/2008 10486 8148 9625 10/6/2008 11447 7834 9176 10/7/2008 12225 7385 8856 10/8/2008 12546 7305 8742 10/9/2008 14337 6749 8119 10/10/2008 15257 6670 7848 10/11/2008 15257 6670 7848 10/12/2008 15257 6670 7848 10/13/2008 11451 7442 8826 10/14/2008 11481 7403 8821 10/15/2008 13003 6735 8224 10/16/2008 12041 7021 8527 10/17/2008 12031 6978 8532 10/18/2008 12031 6978 8532 10/19/2008 12031 6978 8532 10/20/2008 11050 7310 8878 10/21/2008 11395 7085 8744 10/22/2008 12492 6654 8326 10/23/2008 12099 6739 8456 10/24/2008 12758 6506 8232 10/25/2008 12758 6506 8232 10/26/2008 12758 6506 8232 10/27/2008 13581 6300 7960 10/28/2008 11557 6979 8561 10/29/2008 12103 6903 8363 10/30/2008 11521 7082 8557 10/31/2008 11204 7191 8670 11/1/2008 11204 7191 8670 11/2/2008 11204 7191 8670 11/3/2008 11046 7173 8729 11/4/2008 10696 7466 8869 11/5/2008 11416 7077 8553 11/6/2008 12128 6723 8290 11/7/2008 11434 6920 8528 11/8/2008 11434 6920 8528 11/9/2008 11434 6920 8528 11/10/2008 11547 6833 8483 11/11/2008 11903 6682 8354 11/12/2008 12738 6338 8057 11/13/2008 11176 6778 8551 11/14/2008 11940 6496 8257 11/15/2008 11940 6496 8257 11/16/2008 11940 6496 8257 11/17/2008 12458 6329 8075 11/18/2008 12248 6393 8143 11/19/2008 13388 6002 7764 11/20/2008 15078 5600 7268 11/21/2008 13781 5955 7571 11/22/2008 13781 5955 7571 11/23/2008 13781 5955 7571 11/24/2008 12899 6341 7813 11/25/2008 12756 6383 7854 11/26/2008 12451 6611 7949 11/27/2008 12451 6611 7949 11/28/2008 12144 6675 8046 11/29/2008 12144 6675 8046 11/30/2008 12144 6675 8046 12/1/2008 13679 6080 7549 12/2/2008 12765 6323 7804 12/3/2008 12070 6490 8008 12/4/2008 12637 6300 7823 12/5/2008 11733 6530 8099 12/6/2008 11733 6530 8099 12/7/2008 11733 6530 8099 12/8/2008 11495 6782 8181 12/9/2008 12007 6625 7999 12/10/2008 11903 6705 8047 12/11/2008 11878 6515 8060 12/12/2008 11815 6561 8090 12/13/2008 11815 6561 8090 12/14/2008 11815 6561 8090 12/15/2008 11889 6478 8055 12/16/2008 11182 6811 8399 12/17/2008 11313 6746 8329 12/18/2008 11234 6603 8372 12/19/2008 11105 6623 8440 12/20/2008 11105 6623 8440 12/21/2008 11105 6623 8440 12/22/2008 11208 6502 8384 12/23/2008 11275 6440 8348 12/24/2008 11263 6481 8354 12/25/2008 11263 6481 8354 12/26/2008 11238 6515 8368 12/27/2008 11238 6515 8368 12/28/2008 11238 6515 8368 12/29/2008 11321 6492 8322 12/30/2008 10925 6652 8522 12/31/2008 10815 6746 8583 1/1/2009 10815 6746 8583 1/2/2009 10330 6961 8774 1/3/2009 10330 6961 8774 1/4/2009 10330 6961 8774 1/5/2009 10516 6928 8694 1/6/2009 10817 6982 8571 1/7/2009 11027 6777 8488 1/8/2009 10904 6800 8534 1/9/2009 11104 6655 8457 1/10/2009 11104 6655 8457 1/11/2009 11104 6655 8457 1/12/2009 11378 6505 8351 1/13/2009 11180 6517 8419 1/14/2009 11516 6300 8292 1/15/2009 11346 6308 8352 1/16/2009 11109 6356 8438 1/17/2009 11109 6356 8438 1/18/2009 11109 6356 8438 1/19/2009 11109 6356 8438 1/20/2009 11678 6020 8221 1/21/2009 11171 6284 8402 1/22/2009 11115 6188 8422 1/23/2009 11094 6222 8430 1/24/2009 11094 6222 8430 1/25/2009 11094 6222 8430 1/26/2009 11151 6256 8408 1/27/2009 10711 6325 8575 1/28/2009 10441 6538 8682 1/29/2009 10701 6322 8574 1/30/2009 10961 6178 8470 1/31/2009 10961 6178 8470 2/1/2009 10961 6178 8470 2/2/2009 10750 6174 8552 2/3/2009 10235 6272 8761 2/4/2009 10381 6230 8680 2/5/2009 10190 6332 8760 2/6/2009 10002 6505 8841 2/7/2009 10002 6505 8841 2/8/2009 10002 6505 8841 2/9/2009 10060 6515 8815 2/10/2009 10721 6195 8525 2/11/2009 10452 6247 8625 2/12/2009 10243 6259 8710 2/13/2009 10431 6198 8631 2/14/2009 10431 6198 8631 2/15/2009 10431 6198 8631 2/16/2009 10431 6198 8631 2/17/2009 10847 5916 8456 2/18/2009 10865 5912 8449 2/19/2009 10908 5845 8431 2/20/2009 11125 5779 8337 2/21/2009 11125 5779 8337 2/22/2009 11125 5779 8337 2/23/2009 11696 5579 8124 2/24/2009 11240 5803 8282 2/25/2009 11690 5742 8117 2/26/2009 12854 5653 7703 2/27/2009 13898 5520 7385 2/28/2009 13898 5520 7385 3/1/2009 13898 5520 7385 3/2/2009 15015 5263 7073 3/3/2009 15068 5229 7060 3/4/2009 14265 5355 7243 3/5/2009 15161 5128 7012 3/6/2009 14825 5135 7087 3/7/2009 14825 5135 7087 3/8/2009 14825 5135 7087 3/9/2009 15091 5084 7023 3/10/2009 13925 5408 7293 3/11/2009 14488 5423 7147 3/12/2009 12994 5645 7517 3/13/2009 12126 5689 7769 3/14/2009 12126 5689 7769 3/15/2009 12126 5689 7769 3/16/2009 12430 5669 7671 3/17/2009 11993 5852 7806 3/18/2009 11990 5974 7807 3/19/2009 12589 5896 7612 3/20/2009 12542 5780 7626 3/21/2009 12542 5780 7626 3/22/2009 12542 5780 7626 3/23/2009 11583 6190 7923 3/24/2009 11960 6064 7793 3/25/2009 11808 6122 7843 3/26/2009 11484 6265 7949 3/27/2009 11709 6139 7872 3/28/2009 11709 6139 7872 3/29/2009 11709 6139 7872 3/30/2009 11873 5926 7816 3/31/2009 11747 6003 7857 4/1/2009 11790 6104 7836 4/2/2009 11745 6280 7851 4/3/2009 12122 6341 7726 4/4/2009 12122 6341 7726 4/5/2009 12122 6341 7726 4/6/2009 11968 6288 7773 4/7/2009 12155 6142 7714 4/8/2009 11958 6215 7777 4/9/2009 11810 6451 7824 4/10/2009 11810 6451 7824 4/11/2009 11810 6451 7824 4/12/2009 11810 6451 7824 4/13/2009 11715 6468 7851 4/14/2009 11778 6339 7830 4/15/2009 11624 6418 7882 4/16/2009 11538 6518 7911 4/17/2009 11321 6551 7985 4/18/2009 11321 6551 7985 4/19/2009 11321 6551 7985 4/20/2009 11759 6271 7828 4/21/2009 11958 6404 7761 4/22/2009 12266 6356 7659 4/23/2009 12228 6419 7671 4/24/2009 12177 6527 7687 4/25/2009 12177 6527 7687 4/26/2009 12177 6527 7687 4/27/2009 11952 6461 7758 4/28/2009 11922 6444 7768 4/29/2009 11770 6584 7816 4/30/2009 11824 6578 7799 5/1/2009 11853 6614 7789 5/2/2009 11853 6614 7789 5/3/2009 11853 6614 7789 5/4/2009 11382 6838 7941 5/5/2009 11200 6812 8004 5/6/2009 11315 6933 7955 5/7/2009 10756 6842 8151 5/8/2009 10569 7007 8221 5/9/2009 10569 7007 8221 5/10/2009 10569 7007 8221 5/11/2009 10808 6859 8125 5/12/2009 10508 6852 8238 5/13/2009 10523 6671 8228 5/14/2009 10496 6741 8239 5/15/2009 10740 6665 8143 5/16/2009 10740 6665 8143 5/17/2009 10740 6665 8143 5/18/2009 10496 6868 8235 5/19/2009 10618 6857 8187 5/20/2009 10545 6823 8215 5/21/2009 10794 6710 8108 5/22/2009 10811 6701 8101 5/23/2009 10811 6701 8101 5/24/2009 10811 6701 8101 5/25/2009 10811 6701 8101 5/26/2009 10486 6877 8224 5/27/2009 10711 6748 8137 5/28/2009 10594 6853 8181 5/29/2009 10269 6946 8308 5/30/2009 10269 6946 8308 5/31/2009 10269 6946 8308 6/1/2009 10176 7125 8346 6/2/2009 9957 7140 8437 6/3/2009 10073 7043 8399 6/4/2009 10283 7125 8295 6/5/2009 10332 7108 8274 6/6/2009 10332 7108 8274 6/7/2009 10332 7108 8274 6/8/2009 10543 7102 8188 6/9/2009 10594 7127 8168 6/10/2009 10669 7103 8138 6/11/2009 10468 7148 8215 6/12/2009 10366 7158 8255 6/13/2009 10366 7158 8255 6/14/2009 10366 7158 8255 6/15/2009 10963 6988 8020 6/16/2009 10918 6899 8036 6/17/2009 10476 6890 8200 6/18/2009 10010 6949 8383 6/19/2009 9906 6970 8427 6/20/2009 9906 6970 8427 6/21/2009 9906 6970 8427 6/22/2009 10298 6758 8260 6/23/2009 10302 6774 8257 6/24/2009 10176 6818 8306 6/25/2009 9622 6964 8533 6/26/2009 9604 6956 8540 6/27/2009 9604 6956 8540 6/28/2009 9604 6956 8540 6/29/2009 9515 7019 8579 6/30/2009 9651 6960 8518 7/1/2009 9639 6991 8518 7/2/2009 10087 6787 8318 7/3/2009 10087 6787 8318 7/4/2009 10087 6787 8318 7/5/2009 10087 6787 8318 7/6/2009 9931 6805 8382 7/7/2009 9977 6671 8363 7/8/2009 9829 6664 8424 7/9/2009 10028 6687 8338 7/10/2009 10125 6660 8297 7/11/2009 10125 6660 8297 7/12/2009 10125 6660 8297 7/13/2009 9801 6827 8426 7/14/2009 9732 6863 8456 7/15/2009 9564 7067 8528 7/16/2009 9409 7128 8598 7/17/2009 9491 7126 8559 7/18/2009 9491 7126 8559 7/19/2009 9491 7126 8559 7/20/2009 9407 7207 8597 7/21/2009 9126 7233 8724 7/22/2009 9241 7231 8670 7/23/2009 8805 7399 8873 7/24/2009 8530 7422 9010 7/25/2009 8530 7422 9010 7/26/2009 8530 7422 9010 7/27/2009 8524 7444 9013 7/28/2009 8485 7425 9033 7/29/2009 8438 7392 9058 7/30/2009 8414 7481 9071 7/31/2009 8515 7486 9015 8/1/2009 8515 7486 9015 8/2/2009 8515 7486 9015 8/3/2009 8422 7601 9064 8/4/2009 8424 7624 9064 8/5/2009 8619 7604 8950 8/6/2009 8793 7563 8861 8/7/2009 8645 7664 8935 8/8/2009 8645 7664 8935 8/9/2009 8645 7664 8935 8/10/2009 8515 7639 9002 8/11/2009 8560 7544 8975 8/12/2009 8493 7634 9006 8/13/2009 8483 7687 9011 8/14/2009 8528 7622 8987 8/15/2009 8528 7622 8987 8/16/2009 8528 7622 8987 8/17/2009 8534 7438 8984 8/18/2009 8548 7515 8976 8/19/2009 8341 7568 9085 8/20/2009 8236 7651 9141 8/21/2009 8027 7795 9247 8/22/2009 8027 7795 9247 8/23/2009 8027 7795 9247 8/24/2009 7968 7791 9281 8/25/2009 7909 7809 9314 8/26/2009 7950 7811 9290 8/27/2009 7917 7834 9310 8/28/2009 8061 7819 9225 8/29/2009 8061 7819 9225 8/30/2009 8061 7819 9225 8/31/2009 8098 7756 9204 9/1/2009 8309 7585 9084 9/2/2009 8313 7562 9075 9/3/2009 8323 7627 9070 9/4/2009 8110 7728 9185 9/5/2009 8110 7728 9185 9/6/2009 8110 7728 9185 9/7/2009 8110 7728 9185 9/8/2009 8167 7797 9150 9/9/2009 8007 7858 9240 9/10/2009 7901 7940 9300 9/11/2009 7909 7931 9296 9/12/2009 7909 7931 9296 9/13/2009 7909 7931 9296 9/14/2009 7818 7982 9349 9/15/2009 7944 8007 9273 9/16/2009 7846 8130 9331 9/17/2009 7844 8106 9332 9/18/2009 7861 8127 9321 9/19/2009 7861 8127 9321 9/20/2009 7861 8127 9321 9/21/2009 7759 8100 9381 9/22/2009 7812 8153 9350 9/23/2009 7980 8071 9248 9/24/2009 8033 7995 9217 9/25/2009 8055 7947 9204 9/26/2009 8055 7947 9204 9/27/2009 8055 7947 9204 9/28/2009 7826 8090 9335 9/29/2009 7842 8072 9325 9/30/2009 7909 8046 9281 10/1/2009 8173 7839 9127 10/2/2009 8219 7804 9101 10/3/2009 8219 7804 9101 10/4/2009 8219 7804 9101 10/5/2009 8134 7920 9148 10/6/2009 8006 8028 9219 10/7/2009 7962 8054 9243 10/8/2009 7970 8115 9237 10/9/2009 7810 8161 9330 10/10/2009 7810 8161 9330 10/11/2009 7810 8161 9330 10/12/2009 7739 8196 9372 10/13/2009 7887 8174 9278 10/14/2009 7660 8318 9411 10/15/2009 7565 8352 9469 10/16/2009 7623 8285 9432 10/17/2009 7623 8285 9432 10/18/2009 7623 8285 9432 10/19/2009 7473 8363 9526 10/20/2009 7623 8311 9431 10/21/2009 7824 8238 9305 10/22/2009 7706 8327 9375 10/23/2009 7867 8225 9276 10/24/2009 7867 8225 9276 10/25/2009 7867 8225 9276 10/26/2009 8041 8129 9174 10/27/2009 7948 8102 9227 10/28/2009 8150 7945 9109 10/29/2009 7988 8124 9200 10/30/2009 8228 7896 9062 10/31/2009 8228 7896 9062
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI INVERSE 2X S&P SELECT SECTOR HEALTH CARE ETF....... -26.55% -13.07% HEALTH CARE SELECT SECTOR INDEX............................. 6.28% -6.65% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.61%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. 26 RYDEXSGI 2x S&P SELECT SECTOR TECHNOLOGY ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI 2x S&P Select Sector Technology ETF returned 41.45%. Over the same time period, its benchmark, the Technology Select Sector Index, returned 26.65%. For the period, RydexSGI Inverse 2x S&P Select Sector Technology ETF achieved a daily correlation of over 99% to its benchmark of 200% of the daily price movement of the Technology Select Sector Index. Tech stocks rose sharply as the economy moved out of recession. Technology companies were able to cut costs amid lower tech spending and have benefited from the recent recovery in the economic environment. Although consumer spending remains weak, new technology products, such as Apple Inc.'s iPhone, stayed in high demand. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI 2X S&P SELECT S&P 500 SECTOR TECHNOLOGY TOTAL RETURN TECHNOLOGY SELECT ETF INDEX SECTOR INDEX* ----------------- ------------ ----------------- 6/10/2008 10000 10000 10000 6/11/2008 9513 9833 9757 6/12/2008 9623 9866 9813 6/13/2008 9981 10015 9999 6/14/2008 9981 10015 9999 6/15/2008 9981 10015 9999 6/16/2008 10008 10016 10013 6/17/2008 9845 9948 9932 6/18/2008 9599 9851 9808 6/19/2008 9808 9891 9916 6/20/2008 9320 9708 9670 6/21/2008 9320 9708 9670 6/22/2008 9320 9708 9670 6/23/2008 9216 9708 9617 6/24/2008 9165 9681 9591 6/25/2008 9427 9738 9729 6/26/2008 8784 9455 9396 6/27/2008 8685 9420 9345 6/28/2008 8685 9420 9345 6/29/2008 8685 9420 9345 6/30/2008 8629 9432 9316 7/1/2008 8644 9470 9324 7/2/2008 8355 9298 9168 7/3/2008 8341 9309 9164 7/4/2008 8341 9309 9164 7/5/2008 8341 9309 9164 7/6/2008 8341 9309 9164 7/7/2008 8447 9231 9222 7/8/2008 8637 9392 9311 7/9/2008 8107 9179 9023 7/10/2008 8317 9243 9140 7/11/2008 8169 9141 9059 7/12/2008 8169 9141 9059 7/13/2008 8169 9141 9059 7/14/2008 8015 9059 8974 7/15/2008 8040 8960 8989 7/16/2008 8352 9186 9163 7/17/2008 8503 9297 9246 7/18/2008 8311 9299 9142 7/19/2008 8311 9299 9142 7/20/2008 8311 9299 9142 7/21/2008 8199 9295 9081 7/22/2008 8164 9420 9063 7/23/2008 8448 9459 9220 7/24/2008 8084 9240 9021 7/25/2008 8281 9279 9131 7/26/2008 8281 9279 9131 7/27/2008 8281 9279 9131 7/28/2008 7924 9106 8934 7/29/2008 8225 9320 9104 7/30/2008 8313 9476 9153 7/31/2008 8211 9353 9097 8/1/2008 8100 9301 9037 8/2/2008 8100 9301 9037 8/3/2008 8100 9301 9037 8/4/2008 8024 9217 8995 8/5/2008 8483 9483 9246 8/6/2008 8639 9519 9330 8/7/2008 8596 9349 9307 8/8/2008 9007 9573 9530 8/9/2008 9007 9573 9530 8/10/2008 9007 9573 9530 8/11/2008 9144 9642 9604 8/12/2008 9117 9526 9589 8/13/2008 9065 9501 9563 8/14/2008 9180 9554 9623 8/15/2008 9233 9594 9653 8/16/2008 9233 9594 9653 8/17/2008 9233 9594 9653 8/18/2008 8995 9450 9529 8/19/2008 8744 9363 9393 8/20/2008 8787 9421 9416 8/21/2008 8753 9446 9399 8/22/2008 9016 9554 9542 8/23/2008 9016 9554 9542 8/24/2008 9016 9554 9542 8/25/2008 8681 9366 9365 8/26/2008 8620 9401 9333 8/27/2008 8784 9478 9420 8/28/2008 8977 9620 9524 8/29/2008 8576 9488 9313 8/30/2008 8576 9488 9313 8/31/2008 8576 9488 9313 9/1/2008 8576 9488 9313 9/2/2008 8411 9450 9224 9/3/2008 8167 9435 9091 9/4/2008 7628 9153 8791 9/5/2008 7585 9194 8767 9/6/2008 7585 9194 8767 9/7/2008 7585 9194 8767 9/8/2008 7724 9384 8847 9/9/2008 7428 9064 8678 9/10/2008 7448 9120 8690 9/11/2008 7608 9249 8783 9/12/2008 7615 9269 8788 9/13/2008 7615 9269 8788 9/14/2008 7615 9269 8788 9/15/2008 7035 8832 8454 9/16/2008 7080 8987 8482 9/17/2008 6388 8563 8070 9/18/2008 6887 8937 8380 9/19/2008 7318 9297 8642 9/20/2008 7318 9297 8642 9/21/2008 7318 9297 8642 9/22/2008 6758 8942 8314 9/23/2008 6620 8802 8232 9/24/2008 6714 8785 8290 9/25/2008 7007 8958 8473 9/26/2008 7031 8988 8489 9/27/2008 7031 8988 8489 9/28/2008 7031 8988 8489 9/29/2008 5772 8198 7729 9/30/2008 6318 8643 8100 10/1/2008 6180 8605 7952 10/2/2008 5700 8259 7647 10/3/2008 5620 8148 7594 10/4/2008 5620 8148 7594 10/5/2008 5620 8148 7594 10/6/2008 5150 7834 7282 10/7/2008 4505 7385 6861 10/8/2008 4403 7305 6770 10/9/2008 4032 6749 6494 10/10/2008 3956 6670 6437 10/11/2008 3956 6670 6437 10/12/2008 3956 6670 6437 10/13/2008 4944 7442 7234 10/14/2008 4646 7403 7015 10/15/2008 3905 6735 6467 10/16/2008 4260 7021 6759 10/17/2008 4227 6978 6735 10/18/2008 4227 6978 6735 10/19/2008 4227 6978 6735 10/20/2008 4558 7310 6994 10/21/2008 4080 7085 6626 10/22/2008 3662 6654 6289 10/23/2008 3710 6739 6331 10/24/2008 3507 6506 6158 10/25/2008 3507 6506 6158 10/26/2008 3507 6506 6158 10/27/2008 3379 6300 6048 10/28/2008 4155 6979 6743 10/29/2008 4018 6903 6630 10/30/2008 4174 7082 6762 10/31/2008 4163 7191 6755 11/1/2008 4163 7191 6755 11/2/2008 4163 7191 6755 11/3/2008 4194 7173 6781 11/4/2008 4521 7466 7044 11/5/2008 4014 7077 6645 11/6/2008 3595 6723 6294 11/7/2008 3784 6920 6460 11/8/2008 3784 6920 6460 11/9/2008 3784 6920 6460 11/10/2008 3681 6833 6372 11/11/2008 3528 6682 6239 11/12/2008 3184 6338 5932 11/13/2008 3606 6778 6322 11/14/2008 3277 6496 6030 11/15/2008 3277 6496 6030 11/16/2008 3277 6496 6030 11/17/2008 3079 6329 5855 11/18/2008 3162 6393 5930 11/19/2008 2793 6002 5584 11/20/2008 2539 5600 5334 11/21/2008 2817 5955 5630 11/22/2008 2817 5955 5630 11/23/2008 2817 5955 5630 11/24/2008 3181 6341 5988 11/25/2008 3125 6383 5937 11/26/2008 3401 6611 6198 11/27/2008 3401 6611 6198 11/28/2008 3400 6675 6197 11/29/2008 3400 6675 6197 11/30/2008 3400 6675 6197 12/1/2008 2907 6080 5745 12/2/2008 3121 6323 5957 12/3/2008 3300 6490 6127 12/4/2008 3038 6300 5885 12/5/2008 3242 6530 6085 12/6/2008 3242 6530 6085 12/7/2008 3242 6530 6085 12/8/2008 3574 6782 6397 12/9/2008 3506 6625 6335 12/10/2008 3510 6705 6338 12/11/2008 3308 6515 6154 12/12/2008 3439 6561 6279 12/13/2008 3439 6561 6279 12/14/2008 3439 6561 6279 12/15/2008 3304 6478 6153 12/16/2008 3619 6811 6444 12/17/2008 3526 6746 6360 12/18/2008 3367 6603 6216 12/19/2008 3430 6623 6275 12/20/2008 3430 6623 6275 12/21/2008 3430 6623 6275 12/22/2008 3306 6502 6162 12/23/2008 3240 6440 6100 12/24/2008 3255 6481 6113 12/25/2008 3255 6481 6113 12/26/2008 3276 6515 6134 12/27/2008 3276 6515 6134 12/28/2008 3276 6515 6134 12/29/2008 3243 6492 6102 12/30/2008 3377 6652 6229 12/31/2008 3443 6746 6292 1/1/2009 3443 6746 6292 1/2/2009 3721 6961 6544 1/3/2009 3721 6961 6544 1/4/2009 3721 6961 6544 1/5/2009 3666 6928 6497 1/6/2009 3846 6982 6656 1/7/2009 3600 6777 6426 1/8/2009 3663 6800 6484 1/9/2009 3493 6655 6333 1/10/2009 3493 6655 6333 1/11/2009 3493 6655 6333 1/12/2009 3380 6505 6231 1/13/2009 3368 6517 6220 1/14/2009 3141 6300 6010 1/15/2009 3178 6308 6047 1/16/2009 3236 6356 6103 1/17/2009 3236 6356 6103 1/18/2009 3236 6356 6103 1/19/2009 3236 6356 6103 1/20/2009 2941 6020 5825 1/21/2009 3240 6284 6119 1/22/2009 3099 6188 5987 1/23/2009 3205 6222 6089 1/24/2009 3205 6222 6089 1/25/2009 3205 6222 6089 1/26/2009 3284 6256 6164 1/27/2009 3308 6325 6187 1/28/2009 3505 6538 6370 1/29/2009 3269 6322 6156 1/30/2009 3104 6178 6000 1/31/2009 3104 6178 6000 2/1/2009 3104 6178 6000 2/2/2009 3201 6174 6093 2/3/2009 3319 6272 6205 2/4/2009 3309 6230 6193 2/5/2009 3447 6332 6322 2/6/2009 3677 6505 6530 2/7/2009 3677 6505 6530 2/8/2009 3677 6505 6530 2/9/2009 3682 6515 6535 2/10/2009 3356 6195 6244 2/11/2009 3386 6247 6270 2/12/2009 3415 6259 6298 2/13/2009 3405 6198 6288 2/14/2009 3405 6198 6288 2/15/2009 3405 6198 6288 2/16/2009 3405 6198 6288 2/17/2009 3100 5916 6005 2/18/2009 3110 5912 6013 2/19/2009 2953 5845 5862 2/20/2009 2981 5779 5890 2/21/2009 2981 5779 5890 2/22/2009 2981 5779 5890 2/23/2009 2730 5579 5642 2/24/2009 2917 5803 5831 2/25/2009 2921 5742 5834 2/26/2009 2868 5653 5782 2/27/2009 2842 5520 5756 2/28/2009 2842 5520 5756 3/1/2009 2842 5520 5756 3/2/2009 2651 5263 5566 3/3/2009 2649 5229 5563 3/4/2009 2789 5355 5710 3/5/2009 2610 5128 5525 3/6/2009 2560 5135 5474 3/7/2009 2560 5135 5474 3/8/2009 2560 5135 5474 3/9/2009 2421 5084 5326 3/10/2009 2763 5408 5707 3/11/2009 2866 5423 5813 3/12/2009 3035 5645 5983 3/13/2009 3035 5689 5983 3/14/2009 3035 5689 5983 3/15/2009 3035 5689 5983 3/16/2009 2946 5669 5895 3/17/2009 3177 5852 6126 3/18/2009 3277 5974 6222 3/19/2009 3291 5896 6235 3/20/2009 3180 5780 6131 3/21/2009 3180 5780 6131 3/22/2009 3180 5780 6131 3/23/2009 3578 6190 6515 3/24/2009 3452 6064 6402 3/25/2009 3452 6122 6402 3/26/2009 3689 6265 6624 3/27/2009 3519 6139 6470 3/28/2009 3519 6139 6470 3/29/2009 3519 6139 6470 3/30/2009 3312 5926 6280 3/31/2009 3421 6003 6384 4/1/2009 3590 6104 6544 4/2/2009 3819 6280 6749 4/3/2009 3920 6341 6839 4/4/2009 3920 6341 6839 4/5/2009 3920 6341 6839 4/6/2009 3848 6288 6775 4/7/2009 3643 6142 6579 4/8/2009 3744 6215 6669 4/9/2009 3972 6451 6874 4/10/2009 3972 6451 6874 4/11/2009 3972 6451 6874 4/12/2009 3972 6451 6874 4/13/2009 3921 6468 6830 4/14/2009 3830 6339 6751 4/15/2009 3803 6418 6727 4/16/2009 4018 6518 6918 4/17/2009 4002 6551 6905 4/18/2009 4002 6551 6905 4/19/2009 4002 6551 6905 4/20/2009 3752 6271 6690 4/21/2009 3886 6404 6810 4/22/2009 3912 6356 6832 4/23/2009 3934 6419 6853 4/24/2009 4092 6527 6992 4/25/2009 4092 6527 6992 4/26/2009 4092 6527 6992 4/27/2009 4027 6461 6937 4/28/2009 4006 6444 6919 4/29/2009 4131 6584 7026 4/30/2009 4155 6578 7047 5/1/2009 4213 6614 7096 5/2/2009 4213 6614 7096 5/3/2009 4213 6614 7096 5/4/2009 4381 6838 7238 5/5/2009 4357 6812 7216 5/6/2009 4370 6933 7223 5/7/2009 4085 6842 6988 5/8/2009 4077 7007 6981 5/9/2009 4077 7007 6981 5/10/2009 4077 7007 6981 5/11/2009 4082 6859 6986 5/12/2009 4056 6852 6963 5/13/2009 3852 6671 6790 5/14/2009 3947 6741 6873 5/15/2009 3926 6665 6855 5/16/2009 3926 6665 6855 5/17/2009 3926 6665 6855 5/18/2009 4107 6868 7012 5/19/2009 4154 6857 7049 5/20/2009 4094 6823 6999 5/21/2009 3952 6710 6876 5/22/2009 3916 6701 6845 5/23/2009 3916 6701 6845 5/24/2009 3916 6701 6845 5/25/2009 3916 6701 6845 5/26/2009 4171 6877 7069 5/27/2009 4100 6748 7007 5/28/2009 4214 6853 7104 5/29/2009 4302 6946 7179 5/30/2009 4302 6946 7179 5/31/2009 4302 6946 7179 6/1/2009 4532 7125 7373 6/2/2009 4507 7140 7353 6/3/2009 4439 7043 7308 6/4/2009 4562 7125 7399 6/5/2009 4592 7108 7424 6/6/2009 4592 7108 7424 6/7/2009 4592 7108 7424 6/8/2009 4558 7102 7396 6/9/2009 4632 7127 7456 6/10/2009 4635 7103 7458 6/11/2009 4687 7148 7499 6/12/2009 4685 7158 7497 6/13/2009 4685 7158 7497 6/14/2009 4685 7158 7497 6/15/2009 4541 6988 7381 6/16/2009 4445 6899 7304 6/17/2009 4487 6890 7339 6/18/2009 4462 6949 7315 6/19/2009 4532 6970 7374 6/20/2009 4532 6970 7374 6/21/2009 4532 6970 7374 6/22/2009 4323 6758 7205 6/23/2009 4336 6774 7216 6/24/2009 4440 6818 7304 6/25/2009 4596 6964 7433 6/26/2009 4591 6956 7428 6/27/2009 4591 6956 7428 6/28/2009 4591 6956 7428 6/29/2009 4660 7019 7483 6/30/2009 4582 6960 7421 7/1/2009 4631 6991 7462 7/2/2009 4413 6787 7287 7/3/2009 4413 6787 7287 7/4/2009 4413 6787 7287 7/5/2009 4413 6787 7287 7/6/2009 4396 6805 7272 7/7/2009 4182 6671 7095 7/8/2009 4169 6664 7069 7/9/2009 4211 6687 7106 7/10/2009 4237 6660 7127 7/11/2009 4237 6660 7127 7/12/2009 4237 6660 7127 7/13/2009 4407 6827 7269 7/14/2009 4416 6863 7276 7/15/2009 4758 7067 7557 7/16/2009 4885 7128 7658 7/17/2009 4979 7126 7732 7/18/2009 4979 7126 7732 7/19/2009 4979 7126 7732 7/20/2009 5084 7207 7814 7/21/2009 5141 7233 7858 7/22/2009 5189 7231 7895 7/23/2009 5399 7399 8056 7/24/2009 5337 7422 8010 7/25/2009 5337 7422 8010 7/26/2009 5337 7422 8010 7/27/2009 5317 7444 7995 7/28/2009 5350 7425 8020 7/29/2009 5331 7392 8006 7/30/2009 5393 7481 8051 7/31/2009 5363 7486 8029 8/1/2009 5363 7486 8029 8/2/2009 5363 7486 8029 8/3/2009 5500 7601 8132 8/4/2009 5491 7624 8125 8/5/2009 5385 7604 8043 8/6/2009 5305 7563 7981 8/7/2009 5391 7664 8046 8/8/2009 5391 7664 8046 8/9/2009 5391 7664 8046 8/10/2009 5333 7639 8003 8/11/2009 5223 7544 7920 8/12/2009 5395 7634 8050 8/13/2009 5475 7687 8110 8/14/2009 5382 7622 8042 8/15/2009 5382 7622 8042 8/16/2009 5382 7622 8042 8/17/2009 5107 7438 7835 8/18/2009 5246 7515 7937 8/19/2009 5293 7568 7973 8/20/2009 5399 7651 8053 8/21/2009 5570 7795 8181 8/22/2009 5570 7795 8181 8/23/2009 5570 7795 8181 8/24/2009 5565 7791 8177 8/25/2009 5576 7809 8184 8/26/2009 5595 7811 8198 8/27/2009 5620 7834 8216 8/28/2009 5638 7819 8230 8/29/2009 5638 7819 8230 8/30/2009 5638 7819 8230 8/31/2009 5538 7756 8157 9/1/2009 5317 7585 7994 9/2/2009 5310 7562 7989 9/3/2009 5356 7627 8023 9/4/2009 5537 7728 8158 9/5/2009 5537 7728 8158 9/6/2009 5537 7728 8158 9/7/2009 5537 7728 8158 9/8/2009 5623 7797 8222 9/9/2009 5707 7858 8282 9/10/2009 5876 7940 8406 9/11/2009 5868 7931 8400 9/12/2009 5868 7931 8400 9/13/2009 5868 7931 8400 9/14/2009 5872 7982 8403 9/15/2009 5938 8007 8450 9/16/2009 6023 8130 8511 9/17/2009 5977 8106 8478 9/18/2009 6026 8127 8513 9/19/2009 6026 8127 8513 9/20/2009 6026 8127 8513 9/21/2009 6018 8100 8507 9/22/2009 6043 8153 8526 9/23/2009 6034 8071 8519 9/24/2009 5963 7995 8469 9/25/2009 5883 7947 8414 9/26/2009 5883 7947 8414 9/27/2009 5883 7947 8414 9/28/2009 6085 8090 8557 9/29/2009 6003 8072 8500 9/30/2009 6018 8046 8510 10/1/2009 5694 7839 8281 10/2/2009 5655 7804 8253 10/3/2009 5655 7804 8253 10/4/2009 5655 7804 8253 10/5/2009 5749 7920 8322 10/6/2009 5953 8028 8470 10/7/2009 5973 8054 8468 10/8/2009 5999 8115 8487 10/9/2009 6103 8161 8560 10/10/2009 6103 8161 8560 10/11/2009 6103 8161 8560 10/12/2009 6131 8196 8580 10/13/2009 6138 8174 8585 10/14/2009 6292 8318 8692 10/15/2009 6300 8352 8698 10/16/2009 6174 8285 8612 10/17/2009 6174 8285 8612 10/18/2009 6174 8285 8612 10/19/2009 6296 8363 8696 10/20/2009 6286 8311 8689 10/21/2009 6263 8238 8674 10/22/2009 6335 8327 8724 10/23/2009 6275 8225 8683 10/24/2009 6275 8225 8683 10/25/2009 6275 8225 8683 10/26/2009 6217 8129 8643 10/27/2009 6132 8102 8585 10/28/2009 5971 7945 8471 10/29/2009 6185 8124 8622 10/30/2009 5890 7896 8416 10/31/2009 5890 7896 8416
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI 2X SELECT SECTOR TECHNOLOGY ETF.................... 41.45% -31.64% TECHNOLOGY SELECT SECTOR INDEX.............................. 26.65% -13.58% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.61%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 27 RYDEXSGI 2x S&P SELECT SECTOR TECHNOLOGY ETF PORTFOLIO SUMMARY (Unaudited) As of October 31, 2009 - -------------------------------------------------------------------------------- TOP 10 HOLDINGS* - --------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS - ------------------------------------------------------------------------------------ MICROSOFT CORP. 9.00% APPLE, INC. 7.07% INTERNATIONAL BUSINESS MACHINES CORP. 6.62% AT&T, INC. 6.34% CISCO SYSTEMS, INC. 5.52% GOOGLE, INC. -- CLASS A 5.40% HEWLETT-PACKARD CO. 3.91% INTEL CORP. 3.82% VERIZON COMMUNICATIONS, INC. 3.53% ORACLE CORP. 3.47% - ------------------------------------------------------------------------------------
INDUSTRY ALLOCATIONS* (PIE CHART) Computers & Peripherals 25.72 Software 19.76 Diversified Telecommunication Services 12.82 Communications Equipment 12.23 Semiconductors & Semiconductor Equipment 10.82 Internet Software & Services 9.05 IT Services 5.49 Electronic Equipment & Instruments 2.49 Wireless Telecommunication Services 1.28 Office Electronics 0.34
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and the Industry Allocations are expressed as a percentage of the Fund's equity investments market value. These percentages may change over time. 28 RYDEXSGI INVERSE 2x S&P SELECT SECTOR TECHNOLOGY ETF MANAGER'S ANALYSIS (Unaudited) - -------------------------------------------------------------------------------- For the one-year period ended October 31, 2009, RydexSGI Inverse 2x S&P Select Sector Technology ETF returned -57.07%. Over the same time period, its benchmark, the Technology Select Sector Index, returned 26.65%. For the period since its inception, the RydexSGI Inverse 2x S&P Select Sector Technology ETF achieved a daily correlation of 99% to its benchmark of -200% of the daily price movement of the Technology Select Sector Index. Technology stocks rose sharply as the economy moved out of recession. Tech companies were able to cut costs amid lower tech spending and have benefited from the recent recovery in the economic environment. Although consumer spending remains weak, new technology products, such as Apple Inc.'s iPhone, stayed in high demand. Due to the compounding of daily returns, leveraged and inverse funds' returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds' holdings to ensure that they are consistent with their strategies, as frequently as daily. The effects of compounding may cause the longer-term correlation of the fund to its benchmark to diminish. The apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is described briefly on page 4 of this report. CUMULATIVE FUND PERFORMANCE: JUNE 10, 2008 - OCTOBER 31, 2009 (PERFORMANCE GRAPH)
RYDEX SGI INVERSE 2X S&P S&P 500 SELECT SECTOR TOTAL RETURN TECHNOLOGY SELECT TECHNOLOGY ETF INDEX SECTOR INDEX* ----------------- ------------ ----------------- 6/10/2008 10000 10000 10000 6/11/2008 10483 9833 9757 6/12/2008 10364 9866 9813 6/13/2008 9971 10015 9999 6/14/2008 9971 10015 9999 6/15/2008 9971 10015 9999 6/16/2008 9944 10016 10013 6/17/2008 10105 9948 9932 6/18/2008 10359 9851 9808 6/19/2008 10133 9891 9916 6/20/2008 10637 9708 9670 6/21/2008 10637 9708 9670 6/22/2008 10637 9708 9670 6/23/2008 10755 9708 9617 6/24/2008 10813 9681 9591 6/25/2008 10507 9738 9729 6/26/2008 11224 9455 9396 6/27/2008 11351 9420 9345 6/28/2008 11351 9420 9345 6/29/2008 11351 9420 9345 6/30/2008 11423 9432 9316 7/1/2008 11404 9470 9324 7/2/2008 11785 9298 9168 7/3/2008 11805 9309 9164 7/4/2008 11805 9309 9164 7/5/2008 11805 9309 9164 7/6/2008 11805 9309 9164 7/7/2008 11661 9231 9222 7/8/2008 11405 9392 9311 7/9/2008 12116 9179 9023 7/10/2008 11805 9243 9140 7/11/2008 12021 9141 9059 7/12/2008 12021 9141 9059 7/13/2008 12021 9141 9059 7/14/2008 12253 9059 8974 7/15/2008 12215 8960 8989 7/16/2008 11752 9186 9163 7/17/2008 11540 9297 9246 7/18/2008 11803 9299 9142 7/19/2008 11803 9299 9142 7/20/2008 11803 9299 9142 7/21/2008 11960 9295 9081 7/22/2008 12012 9420 9063 7/23/2008 11592 9459 9220 7/24/2008 12093 9240 9021 7/25/2008 11805 9279 9131 7/26/2008 11805 9279 9131 7/27/2008 11805 9279 9131 7/28/2008 12316 9106 8934 7/29/2008 11851 9320 9104 7/30/2008 11724 9476 9153 7/31/2008 11869 9353 9097 8/1/2008 12028 9301 9037 8/2/2008 12028 9301 9037 8/3/2008 12028 9301 9037 8/4/2008 12137 9217 8995 8/5/2008 11455 9483 9246 8/6/2008 11241 9519 9330 8/7/2008 11297 9349 9307 8/8/2008 10759 9573 9530 8/9/2008 10759 9573 9530 8/10/2008 10759 9573 9530 8/11/2008 10595 9642 9604 8/12/2008 10627 9526 9589 8/13/2008 10688 9501 9563 8/14/2008 10552 9554 9623 8/15/2008 10492 9594 9653 8/16/2008 10492 9594 9653 8/17/2008 10492 9594 9653 8/18/2008 10761 9450 9529 8/19/2008 11063 9363 9393 8/20/2008 11008 9421 9416 8/21/2008 11051 9446 9399 8/22/2008 10720 9554 9542 8/23/2008 10720 9554 9542 8/24/2008 10720 9554 9542 8/25/2008 11116 9366 9365 8/26/2008 11195 9401 9333 8/27/2008 10987 9478 9420 8/28/2008 10745 9620 9524 8/29/2008 11224 9488 9313 8/30/2008 11224 9488 9313 8/31/2008 11224 9488 9313 9/1/2008 11224 9488 9313 9/2/2008 11435 9450 9224 9/3/2008 11767 9435 9091 9/4/2008 12537 9153 8791 9/5/2008 12605 9194 8767 9/6/2008 12605 9194 8767 9/7/2008 12605 9194 8767 9/8/2008 12383 9384 8847 9/9/2008 12849 9064 8678 9/10/2008 12816 9120 8690 9/11/2008 12545 9249 8783 9/12/2008 12536 9269 8788 9/13/2008 12536 9269 8788 9/14/2008 12536 9269 8788 9/15/2008 13491 8832 8454 9/16/2008 13407 8987 8482 9/17/2008 14705 8563 8070 9/18/2008 13631 8937 8380 9/19/2008 12808 9297 8642 9/20/2008 12808 9297 8642 9/21/2008 12808 9297 8642 9/22/2008 13758 8942 8314 9/23/2008 14043 8802 8232 9/24/2008 13855 8785 8290 9/25/2008 13238 8958 8473 9/26/2008 13194 8988 8489 9/27/2008 13194 8988 8489 9/28/2008 13194 8988 8489 9/29/2008 15512 8198 7729 9/30/2008 14386 8643 8100 10/1/2008 14542 8605 7952 10/2/2008 15614 8259 7647 10/3/2008 15829 8148 7594 10/4/2008 15829 8148 7594 10/5/2008 15829 8148 7594 10/6/2008 17077 7834 7282 10/7/2008 19279 7385 6861 10/8/2008 19701 7305 6770 10/9/2008 21357 6749 6494 10/10/2008 21758 6670 6437 10/11/2008 21758 6670 6437 10/12/2008 21758 6670 6437 10/13/2008 16461 7442 7234 10/14/2008 17502 7403 7015 10/15/2008 20103 6735 6467 10/16/2008 18326 7021 6759 10/17/2008 18465 6978 6735 10/18/2008 18465 6978 6735 10/19/2008 18465 6978 6735 10/20/2008 17065 7310 6994 10/21/2008 18893 7085 6626 10/22/2008 20790 6654 6289 10/23/2008 20516 6739 6331 10/24/2008 21657 6506 6158 10/25/2008 21657 6506 6158 10/26/2008 21657 6506 6158 10/27/2008 22401 6300 6048 10/28/2008 17412 6979 6743 10/29/2008 17990 6903 6630 10/30/2008 17238 7082 6762 10/31/2008 17279 7191 6755 11/1/2008 17279 7191 6755 11/2/2008 17279 7191 6755 11/3/2008 17150 7173 6781 11/4/2008 15845 7466 7044 11/5/2008 17600 7077 6645 11/6/2008 19469 6723 6294 11/7/2008 18443 6920 6460 11/8/2008 18443 6920 6460 11/9/2008 18443 6920 6460 11/10/2008 18955 6833 6372 11/11/2008 19752 6682 6239 11/12/2008 21697 6338 5932 11/13/2008 18845 6778 6322 11/14/2008 20596 6496 6030 11/15/2008 20596 6496 6030 11/16/2008 20596 6496 6030 11/17/2008 21757 6329 5855 11/18/2008 21169 6393 5930 11/19/2008 23656 6002 5584 11/20/2008 25713 5600 5334 11/21/2008 22845 5955 5630 11/22/2008 22845 5955 5630 11/23/2008 22845 5955 5630 11/24/2008 19946 6341 5988 11/25/2008 20258 6383 5937 11/26/2008 18490 6611 6198 11/27/2008 18490 6611 6198 11/28/2008 18494 6675 6197 11/29/2008 18494 6675 6197 11/30/2008 18494 6675 6197 12/1/2008 21244 6080 5745 12/2/2008 19693 6323 5957 12/3/2008 18577 6490 6127 12/4/2008 20071 6300 5885 12/5/2008 18677 6530 6085 12/6/2008 18677 6530 6085 12/7/2008 18677 6530 6085 12/8/2008 16790 6782 6397 12/9/2008 17108 6625 6335 12/10/2008 17092 6705 6338 12/11/2008 17497 6515 6154 12/12/2008 17199 6561 6279 12/13/2008 17199 6561 6279 12/14/2008 17199 6561 6279 12/15/2008 17481 6478 6153 12/16/2008 16799 6811 6444 12/17/2008 16976 6746 6360 12/18/2008 17277 6603 6216 12/19/2008 17141 6623 6275 12/20/2008 17141 6623 6275 12/21/2008 17141 6623 6275 12/22/2008 17393 6502 6162 12/23/2008 17544 6440 6100 12/24/2008 17511 6481 6113 12/25/2008 17511 6481 6113 12/26/2008 17462 6515 6134 12/27/2008 17462 6515 6134 12/28/2008 17462 6515 6134 12/29/2008 17536 6492 6102 12/30/2008 17226 6652 6229 12/31/2008 17080 6746 6292 1/1/2009 17080 6746 6292 1/2/2009 15713 6961 6544 1/3/2009 15713 6961 6544 1/4/2009 15713 6961 6544 1/5/2009 15938 6928 6497 1/6/2009 15155 6982 6656 1/7/2009 16126 6777 6426 1/8/2009 15836 6800 6484 1/9/2009 16582 6655 6333 1/10/2009 16582 6655 6333 1/11/2009 16582 6655 6333 1/12/2009 17107 6505 6231 1/13/2009 17170 6517 6220 1/14/2009 18319 6300 6010 1/15/2009 18091 6308 6047 1/16/2009 17747 6356 6103 1/17/2009 17747 6356 6103 1/18/2009 17747 6356 6103 1/19/2009 17747 6356 6103 1/20/2009 19365 6020 5825 1/21/2009 17417 6284 6119 1/22/2009 18173 6188 5987 1/23/2009 17566 6222 6089 1/24/2009 17566 6222 6089 1/25/2009 17566 6222 6089 1/26/2009 17140 6256 6164 1/27/2009 17011 6325 6187 1/28/2009 15997 6538 6370 1/29/2009 17074 6322 6156 1/30/2009 17936 6178 6000 1/31/2009 17936 6178 6000 2/1/2009 17936 6178 6000 2/2/2009 17378 6174 6093 2/3/2009 16760 6272 6205 2/4/2009 16810 6230 6193 2/5/2009 16110 6332 6322 2/6/2009 15033 6505 6530 2/7/2009 15033 6505 6530 2/8/2009 15033 6505 6530 2/9/2009 15014 6515 6535 2/10/2009 16361 6195 6244 2/11/2009 16215 6247 6270 2/12/2009 16067 6259 6298 2/13/2009 16120 6198 6288 2/14/2009 16120 6198 6288 2/15/2009 16120 6198 6288 2/16/2009 16120 6198 6288 2/17/2009 17513 5916 6005 2/18/2009 17467 5912 6013 2/19/2009 18348 5845 5862 2/20/2009 18173 5779 5890 2/21/2009 18173 5779 5890 2/22/2009 18173 5779 5890 2/23/2009 19715 5579 5642 2/24/2009 18414 5803 5831 2/25/2009 18391 5742 5834 2/26/2009 18712 5653 5782 2/27/2009 18870 5520 5756 2/28/2009 18870 5520 5756 3/1/2009 18870 5520 5756 3/2/2009 20085 5263 5566 3/3/2009 20105 5229 5563 3/4/2009 19038 5355 5710 3/5/2009 20240 5128 5525 3/6/2009 20613 5135 5474 3/7/2009 20613 5135 5474 3/8/2009 20613 5135 5474 3/9/2009 21729 5084 5326 3/10/2009 18603 5408 5707 3/11/2009 17893 5423 5813 3/12/2009 16836 5645 5983 3/13/2009 16833 5689 5983 3/14/2009 16833 5689 5983 3/15/2009 16833 5689 5983 3/16/2009 17331 5669 5895 3/17/2009 15984 5852 6126 3/18/2009 15472 5974 6222 3/19/2009 15406 5896 6235 3/20/2009 15925 5780 6131 3/21/2009 15925 5780 6131 3/22/2009 15925 5780 6131 3/23/2009 13940 6190 6515 3/24/2009 14426 6064 6402 3/25/2009 14422 6122 6402 3/26/2009 13396 6265 6624 3/27/2009 14020 6139 6470 3/28/2009 14020 6139 6470 3/29/2009 14020 6139 6470 3/30/2009 14825 5926 6280 3/31/2009 14327 6003 6384 4/1/2009 13610 6104 6544 4/2/2009 12752 6280 6749 4/3/2009 12412 6341 6839 4/4/2009 12412 6341 6839 4/5/2009 12412 6341 6839 4/6/2009 12643 6288 6775 4/7/2009 13326 6142 6579 4/8/2009 12960 6215 6669 4/9/2009 12164 6451 6874 4/10/2009 12164 6451 6874 4/11/2009 12164 6451 6874 4/12/2009 12164 6451 6874 4/13/2009 12319 6468 6830 4/14/2009 12603 6339 6751 4/15/2009 12692 6418 6727 4/16/2009 11956 6518 6918 4/17/2009 12002 6551 6905 4/18/2009 12002 6551 6905 4/19/2009 12002 6551 6905 4/20/2009 12745 6271 6690 4/21/2009 12293 6404 6810 4/22/2009 12210 6356 6832 4/23/2009 12138 6419 6853 4/24/2009 11646 6527 6992 4/25/2009 11646 6527 6992 4/26/2009 11646 6527 6992 4/27/2009 11831 6461 6937 4/28/2009 11890 6444 6919 4/29/2009 11517 6584 7026 4/30/2009 11448 6578 7047 5/1/2009 11289 6614 7096 5/2/2009 11289 6614 7096 5/3/2009 11289 6614 7096 5/4/2009 10833 6838 7238 5/5/2009 10893 6812 7216 5/6/2009 10860 6933 7223 5/7/2009 11566 6842 6988 5/8/2009 11589 7007 6981 5/9/2009 11589 7007 6981 5/10/2009 11589 7007 6981 5/11/2009 11573 6859 6986 5/12/2009 11646 6852 6963 5/13/2009 12214 6671 6790 5/14/2009 11916 6741 6873 5/15/2009 11976 6665 6855 5/16/2009 11976 6665 6855 5/17/2009 11976 6665 6855 5/18/2009 11428 6868 7012 5/19/2009 11292 6857 7049 5/20/2009 11451 6823 6999 5/21/2009 11854 6710 6876 5/22/2009 11959 6701 6845 5/23/2009 11959 6701 6845 5/24/2009 11959 6701 6845 5/25/2009 11959 6701 6845 5/26/2009 11177 6877 7069 5/27/2009 11368 6748 7007 5/28/2009 11058 6853 7104 5/29/2009 10823 6946 7179 5/30/2009 10823 6946 7179 5/31/2009 10823 6946 7179 6/1/2009 10232 7125 7373 6/2/2009 10285 7140 7353 6/3/2009 10457 7043 7308 6/4/2009 10143 7125 7399 6/5/2009 10074 7108 7424 6/6/2009 10074 7108 7424 6/7/2009 10074 7108 7424 6/8/2009 10147 7102 7396 6/9/2009 9985 7127 7456 6/10/2009 9978 7103 7458 6/11/2009 9866 7148 7499 6/12/2009 9869 7158 7497 6/13/2009 9869 7158 7497 6/14/2009 9869 7158 7497 6/15/2009 10180 6988 7381 6/16/2009 10391 6899 7304 6/17/2009 10295 6890 7339 6/18/2009 10348 6949 7315 6/19/2009 10193 6970 7374 6/20/2009 10193 6970 7374 6/21/2009 10193 6970 7374 6/22/2009 10658 6758 7205 6/23/2009 10625 6774 7216 6/24/2009 10368 6818 7304 6/25/2009 10001 6964 7433 6/26/2009 10011 6956 7428 6/27/2009 10011 6956 7428 6/28/2009 10011 6956 7428 6/29/2009 9859 7019 7483 6/30/2009 10021 6960 7421 7/1/2009 9912 6991 7462 7/2/2009 10374 6787 7287 7/3/2009 10374 6787 7287 7/4/2009 10374 6787 7287 7/5/2009 10374 6787 7287 7/6/2009 10417 6805 7272 7/7/2009 10926 6671 7095 7/8/2009 10956 6664 7069 7/9/2009 10843 6687 7106 7/10/2009 10777 6660 7127 7/11/2009 10777 6660 7127 7/12/2009 10777 6660 7127 7/13/2009 10348 6827 7269 7/14/2009 10325 6863 7276 7/15/2009 9536 7067 7557 7/16/2009 9275 7128 7658 7/17/2009 9097 7126 7732 7/18/2009 9097 7126 7732 7/19/2009 9097 7126 7732 7/20/2009 8898 7207 7814 7/21/2009 8796 7233 7858 7/22/2009 8714 7231 7895 7/23/2009 8350 7399 8056 7/24/2009 8443 7422 8010 7/25/2009 8443 7422 8010 7/26/2009 8443 7422 8010 7/27/2009 8476 7444 7995 7/28/2009 8423 7425 8020 7/29/2009 8453 7392 8006 7/30/2009 8354 7481 8051 7/31/2009 8400 7486 8029 8/1/2009 8400 7486 8029 8/2/2009 8400 7486 8029 8/3/2009 8185 7601 8132 8/4/2009 8198 7624 8125 8/5/2009 8360 7604 8043 8/6/2009 8482 7563 7981 8/7/2009 8344 7664 8046 8/8/2009 8344 7664 8046 8/9/2009 8344 7664 8046 8/10/2009 8433 7639 8003 8/11/2009 8608 7544 7920 8/12/2009 8324 7634 8050 8/13/2009 8202 7687 8110 8/14/2009 8340 7622 8042 8/15/2009 8340 7622 8042 8/16/2009 8340 7622 8042 8/17/2009 8770 7438 7835 8/18/2009 8532 7515 7937 8/19/2009 8453 7568 7973 8/20/2009 8281 7651 8053 8/21/2009 8017 7795 8181 8/22/2009 8017 7795 8181 8/23/2009 8017 7795 8181 8/24/2009 8027 7791 8177 8/25/2009 8010 7809 8184 8/26/2009 7981 7811 8198 8/27/2009 7944 7834 8216 8/28/2009 7918 7819 8230 8/29/2009 7918 7819 8230 8/30/2009 7918 7819 8230 8/31/2009 8057 7756 8157 9/1/2009 8380 7585 7994 9/2/2009 8393 7562 7989 9/3/2009 8317 7627 8023 9/4/2009 8033 7728 8158 9/5/2009 8033 7728 8158 9/6/2009 8033 7728 8158 9/7/2009 8033 7728 8158 9/8/2009 7905 7797 8222 9/9/2009 7789 7858 8282 9/10/2009 7555 7940 8406 9/11/2009 7565 7931 8400 9/12/2009 7565 7931 8400 9/13/2009 7565 7931 8400 9/14/2009 7558 7982 8403 9/15/2009 7472 8007 8450 9/16/2009 7363 8130 8511 9/17/2009 7419 8106 8478 9/18/2009 7360 8127 8513 9/19/2009 7360 8127 8513 9/20/2009 7360 8127 8513 9/21/2009 7370 8100 8507 9/22/2009 7337 8153 8526 9/23/2009 7347 8071 8519 9/24/2009 7432 7995 8469 9/25/2009 7528 7947 8414 9/26/2009 7528 7947 8414 9/27/2009 7528 7947 8414 9/28/2009 7271 8090 8557 9/29/2009 7366 8072 8500 9/30/2009 7350 8046 8510 10/1/2009 7746 7839 8281 10/2/2009 7796 7804 8253 10/3/2009 7796 7804 8253 10/4/2009 7796 7804 8253 10/5/2009 7667 7920 8322 10/6/2009 7393 8028 8470 10/7/2009 7366 8054 8468 10/8/2009 7333 8115 8487 10/9/2009 7208 8161 8560 10/10/2009 7208 8161 8560 10/11/2009 7208 8161 8560 10/12/2009 7172 8196 8580 10/13/2009 7165 8174 8585 10/14/2009 6983 8318 8692 10/15/2009 6974 8352 8698 10/16/2009 7112 8285 8612 10/17/2009 7112 8285 8612 10/18/2009 7112 8285 8612 10/19/2009 6974 8363 8696 10/20/2009 6983 8311 8689 10/21/2009 7010 8238 8674 10/22/2009 6927 8327 8724 10/23/2009 6993 8225 8683 10/24/2009 6993 8225 8683 10/25/2009 6993 8225 8683 10/26/2009 7056 8129 8643 10/27/2009 7152 8102 8585 10/28/2009 7340 7945 8471 10/29/2009 7079 8124 8622 10/30/2009 7419 7896 8416 10/31/2009 7419 7896 8416
* 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 OCTOBER 31, 2009 - --------------------------------------------------------------------------------
SINCE INCEPTION ONE YEAR (06/10/2008) -------- --------------- RYDEXSGI INVERSE 2X S&P SELECT SECTOR TECHNOLOGY ETF........ -57.07% -19.32% TECHNOLOGY SELECT SECTOR INDEX.............................. 26.65% -13.58% S&P 500 TOTAL RETURN INDEX.................................. 9.80% -15.61%
The returns presented above do not reflect the effect of taxes. Index returns represent total returns. Past performance is no guarantee of future results. ANNUAL REPORT 29 RYDEXSGI 2X S&P 500 ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS 84.6% AEROSPACE & DEFENSE 2.3% Boeing Co. ............... 7,890 $377,142 General Dynamics Corp. ... 4,180 262,086 Goodrich Corp. ........... 1,350 73,373 Honeywell International, Inc. .................. 8,170 293,221 ITT Corp. ................ 1,980 100,386 L-3 Communications Holdings, Inc. ........ 1,270 91,808 Lockheed Martin Corp. .... 3,510 241,453 Northrop Grumman Corp. ... 3,450 172,948 Precision Castparts Corp. ................. 1,520 145,206 Raytheon Co. ............. 4,230 191,534 Rockwell Collins, Inc. ... 1,710 86,150 United Technologies Corp. ................. 10,220 628,019 ------------ TOTAL AEROSPACE & DEFENSE 2,663,326 ------------ AIR FREIGHT & LOGISTICS 0.9% C.H. Robinson Worldwide, Inc. .................. 1,830 100,851 Expeditors International of Washington, Inc. ... 2,300 74,106 FedEx Corp. .............. 3,390 246,419 United Parcel Service, Inc. -- Class B........ 10,800 579,744 ------------ TOTAL AIR FREIGHT & LOGISTICS 1,001,120 ------------ AIRLINES 0.1% Southwest Airlines Co. ... 8,050 67,620 ------------ TOTAL AIRLINES 67,620 ------------ AUTO COMPONENTS 0.2% Goodyear Tire & Rubber Co.(The)*.............. 2,630 33,874 Johnson Controls, Inc. ... 7,280 174,138 ------------ TOTAL AUTO COMPONENTS 208,012 ------------ AUTOMOBILES 0.3% Ford Motor Co.*........... 34,980 244,860 Harley-Davidson, Inc. .... 2,550 63,546 ------------ TOTAL AUTOMOBILES 308,406 ------------ BEVERAGES 2.3% Brown-Forman Corp. -- Class B....... 1,190 58,084 Coca-Cola Co.(The)........ 25,160 1,341,280 Coca-Cola Enterprises, Inc. .................. 3,440 65,601 Constellation Brands, Inc. -- Class A*....... 2,160 34,171 Dr Pepper Snapple Group, Inc.*.................. 2,760 75,238 Molson Coors Brewing Co. -- Class B......... 1,700 83,249 Pepsi Bottling Group, Inc. .................. 1,560 58,406 PepsiCo, Inc. ............ 16,910 1,023,900 ------------ TOTAL BEVERAGES 2,739,929 ------------ BIOTECHNOLOGY 1.4% Amgen, Inc.*.............. 11,030 592,642 Biogen Idec, Inc.*........ 3,140 132,288 Celgene Corp.*............ 4,980 254,229 Cephalon, Inc.*........... 810 44,210 Genzyme Corp.*............ 2,930 148,258 Gilead Sciences, Inc.*.... 9,820 417,841 ------------ TOTAL BIOTECHNOLOGY 1,589,468 ------------ BUILDING PRODUCTS 0.0%(A) Masco Corp. .............. 3,900 45,825 ------------ TOTAL BUILDING PRODUCTS 45,825 ------------ CAPITAL MARKETS 2.5% Ameriprise Financial, Inc. .................. 2,770 96,036 Bank of New York Mellon Corp. ................. 13,060 348,179 Charles Schwab Corp.(The)............. 10,340 179,296 E*TRADE Financial Corp.*.. 15,630 22,820 Federated Investors, Inc. -- Class B........ 960 25,200 Franklin Resources, Inc. .................. 1,630 170,547 Goldman Sachs Group, Inc.(The).............. 5,550 944,443 Invesco Ltd. ............. 4,520 95,598 Janus Capital Group, Inc. .................. 1,980 25,978 Legg Mason, Inc. ......... 1,760 51,234 Morgan Stanley............ 14,760 474,091 Northern Trust Corp. ..... 2,620 131,655 State Street Corp. ....... 5,370 225,433 T. Rowe Price Group, Inc. .................. 2,780 135,469 ------------ TOTAL CAPITAL MARKETS 2,925,979 ------------ CHEMICALS 1.6% Air Products & Chemicals, Inc. .................. 2,280 175,856 Airgas, Inc. ............. 890 39,480 CF Industries Holdings, Inc. .................. 530 44,123 Dow Chemical Co.(The)..... 12,420 291,622 Du Pont (E.I.) de Nemours & Co. ................. 9,810 312,154 Eastman Chemical Co. ..... 790 41,483 Ecolab, Inc. ............. 2,570 112,977 FMC Corp. ................ 790 40,369 International Flavors & Fragrances, Inc. ...... 860 32,757 Monsanto Co. ............. 5,930 398,377 PPG Industries, Inc. ..... 1,790 101,010 Praxair, Inc. ............ 3,330 264,535 Sigma-Aldrich Corp. ...... 1,320 68,548 ------------ TOTAL CHEMICALS 1,923,291 ------------ COMMERCIAL BANKS 2.4% BB&T Corp. ............... 7,400 176,934 Comerica, Inc. ........... 1,640 45,510 Fifth Third Bancorp....... 8,640 77,242 First Horizon National Corp.*................. 2,370 28,037 Huntington Bancshares, Inc. .................. 7,750 29,528 KeyCorp................... 9,540 51,421 M&T Bank Corp. ........... 900 56,565 Marshall & Ilsley Corp. .. 5,470 29,100 PNC Financial Services Group, Inc. ........... 5,010 245,189 Regions Financial Corp. .. 12,900 62,436 SunTrust Banks, Inc. ..... 5,420 103,576 U.S. Bancorp.............. 20,760 482,047 Wells Fargo & Co. ........ 50,720 1,395,815 Zions Bancorp............. 1,370 19,399 ------------ TOTAL COMMERCIAL BANKS 2,802,799 ------------ COMMERCIAL SERVICES & SUPPLIES 0.6% Avery Dennison Corp. ..... 1,220 43,493 Cintas Corp. ............. 1,430 39,597 Dun & Bradstreet Corp. ... 570 43,639 Equifax, Inc. ............ 1,370 37,511 Iron Mountain, Inc.*...... 1,960 47,883 Monster Worldwide, Inc.*.. 1,370 19,892 Pitney Bowes, Inc. ....... 2,250 55,125 R.R. Donnelley & Sons Co. ................... 2,230 44,778 Republic Services, Inc. .. 3,500 90,685 Robert Half International, Inc. .................. 1,650 38,280
See Notes to Financial Statements. 30 RYDEXSGI 2X S&P 500 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) Stericycle, Inc.*......... 920 $48,181 Waste Management, Inc. ... 5,350 159,858 ------------ TOTAL COMMERCIAL SERVICES & SUPPLIES 668,922 ------------ COMMUNICATIONS EQUIPMENT 2.3% Ciena Corp.*.............. 990 11,613 Cisco Systems, Inc.*...... 62,630 1,431,096 Harris Corp. ............. 1,420 59,242 JDS Uniphase Corp.*....... 2,360 13,192 Juniper Networks, Inc.*... 5,690 145,152 Motorola, Inc. ........... 24,920 213,564 QUALCOMM, Inc. ........... 18,050 747,451 Tellabs, Inc.*............ 4,300 25,886 ------------ TOTAL COMMUNICATIONS EQUIPMENT 2,647,196 ------------ COMPUTERS & PERIPHERALS 4.9% Apple, Inc.*.............. 9,730 1,834,105 Dell, Inc.*............... 18,690 270,818 EMC Corp.*................ 21,950 361,517 Hewlett-Packard Co. ...... 25,740 1,221,620 International Business Machines Corp. ........ 14,230 1,716,280 Lexmark International, Inc. -- Class A*....... 850 21,675 NetApp, Inc.*............. 3,650 98,733 QLogic Corp.*............. 1,280 22,451 SanDisk Corp.*............ 2,470 50,586 Sun Microsystems, Inc.*... 8,180 66,912 Teradata Corp.*........... 1,870 52,136 Western Digital Corp.*.... 2,440 82,179 ------------ TOTAL COMPUTERS & PERIPHERALS 5,799,012 ------------ CONSTRUCTION & ENGINEERING 0.2% Fluor Corp. .............. 1,950 86,619 Jacobs Engineering Group, Inc.*.................. 1,350 57,092 Quanta Services, Inc.*.... 2,270 48,124 ------------ TOTAL CONSTRUCTION & ENGINEERING 191,835 ------------ CONSTRUCTION MATERIALS 0.1% Vulcan Materials Co. ..... 1,360 62,601 ------------ TOTAL CONSTRUCTION MATERIALS 62,601 ------------ CONSUMER FINANCE 0.6% American Express Co. ..... 12,910 449,784 Capital One Financial Corp. ................. 4,940 180,804 Discover Financial Services............... 5,820 82,295 SLM Corp.*................ 5,080 49,276 ------------ TOTAL CONSUMER FINANCE 762,159 ------------ CONTAINERS & PACKAGING 0.2% Ball Corp. ............... 1,020 50,316 Bemis Co., Inc. .......... 1,170 30,221 Owens-Illinois, Inc.*..... 1,830 58,340 Pactiv Corp.*............. 1,430 33,019 Sealed Air Corp. ......... 1,720 33,076 ------------ TOTAL CONTAINERS & PACKAGING 204,972 ------------ DISTRIBUTORS 0.1% Genuine Parts Co. ........ 1,730 60,533 ------------ TOTAL DISTRIBUTORS 60,533 ------------ DIVERSIFIED CONSUMER SERVICES 0.2% Apollo Group, Inc. -- Class A*....... 1,390 79,369 DeVry, Inc. .............. 670 37,044 H&R Block, Inc. .......... 3,640 66,758 ------------ TOTAL DIVERSIFIED CONSUMER SERVICES 183,171 ------------ DIVERSIFIED FINANCIAL SERVICES 3.6% Bank of America Corp. .... 93,940 1,369,645 Citigroup, Inc. .......... 141,600 579,144 CME Group, Inc. .......... 720 217,879 IntercontinentalExchange, Inc.*.................. 790 79,150 JPMorgan Chase & Co. ..... 42,700 1,783,579 Leucadia National Corp.*.. 2,060 46,288 Moody's Corp. ............ 2,130 50,439 Nasdaq OMX Group (The)*... 1,540 27,812 NYSE Euronext............. 2,820 72,897 ------------ TOTAL DIVERSIFIED FINANCIAL SERVICES 4,226,833 ------------ DIVERSIFIED TELECOMMUNICATION SERVICES 2.4% AT&T, Inc. ............... 64,060 1,644,420 CenturyTel, Inc. ......... 3,230 104,846 Frontier Communications Corp. ................. 3,390 24,306 Qwest Communications International, Inc. ... 16,100 57,799 Verizon Communications, Inc. .................. 30,840 912,555 Windstream Corp. ......... 4,740 45,694 ------------ TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 2,789,620 ------------ ELECTRIC UTILITIES 1.7% Allegheny Energy, Inc. ... 1,840 41,989 American Electric Power Co., Inc. ............. 5,180 156,540 Duke Energy Corp. ........ 14,080 222,745 Edison International...... 3,540 112,643 Entergy Corp. ............ 2,130 163,414 Exelon Corp. ............. 7,160 336,233 FirstEnergy Corp. ........ 3,310 143,257 FPL Group, Inc. .......... 4,470 219,477 Northeast Utilities....... 1,900 43,795 Pepco Holdings, Inc. ..... 2,400 35,832 Pinnacle West Capital Corp. ................. 1,100 34,452 PPL Corp. ................ 4,090 120,410 Progress Energy, Inc. .... 3,030 113,716 Southern Co. ............. 8,640 269,481 ------------ TOTAL ELECTRIC UTILITIES 2,013,984 ------------ ELECTRICAL EQUIPMENT 0.4% Emerson Electric Co. ..... 8,160 308,040 First Solar, Inc.*........ 520 63,404 Rockwell Automation, Inc. .................. 1,540 63,063 ------------ TOTAL ELECTRICAL EQUIPMENT 434,507 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS 0.4% Agilent Technologies, Inc.*.................. 3,750 92,775 Amphenol Corp. -- Class A...................... 1,860 74,623 Corning, Inc. ............ 16,880 246,617 FLIR Systems, Inc.*....... 1,640 45,608 Jabil Circuit, Inc. ...... 2,000 26,760 Molex, Inc. .............. 1,480 27,632 ------------ TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 514,015 ------------ ENERGY EQUIPMENT & SERVICES 1.7% Baker Hughes, Inc. ....... 3,360 141,355 BJ Services Co. .......... 3,170 60,864 Cameron International Corp.*................. 2,390 88,358 Diamond Offshore Drilling, Inc. .................. 750 71,437
See Notes to Financial Statements. ANNUAL REPORT 31 RYDEXSGI 2X S&P 500 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) ENSCO International, Inc. .................. 1,550 $70,975 FMC Technologies, Inc.*... 1,330 69,958 Halliburton Co. .......... 9,790 285,966 Nabors Industries, Ltd.*.. 3,080 64,156 National-Oilwell Varco, Inc.*.................. 4,540 186,095 Rowan Cos., Inc. ......... 1,240 28,830 Schlumberger, Ltd. ....... 13,010 809,222 Smith International, Inc. .................. 2,390 66,275 ------------ TOTAL ENERGY EQUIPMENT & SERVICES 1,943,491 ------------ FOOD & STAPLES RETAILING 2.5% Costco Wholesale Corp. ... 4,720 268,332 CVS Caremark Corp. ....... 15,670 553,151 Kroger Co.(The)........... 7,070 163,529 Safeway, Inc. ............ 4,520 100,932 SUPERVALU, Inc. .......... 2,300 36,501 Sysco Corp. .............. 6,420 169,809 Wal-Mart Stores, Inc. .... 23,450 1,164,996 Walgreen Co. ............. 10,780 407,807 Whole Foods Market, Inc.*.................. 1,530 49,052 ------------ TOTAL FOOD & STAPLES RETAILING 2,914,109 ------------ FOOD PRODUCTS 1.5% Archer-Daniels-Midland Co. ................... 6,970 209,936 Campbell Soup Co. ........ 2,090 66,357 ConAgra Foods, Inc. ...... 4,800 100,800 Dean Foods Co.*........... 1,960 35,731 General Mills, Inc. ...... 3,530 232,698 H.J. Heinz Co. ........... 3,420 137,621 Hershey Co.(The).......... 1,800 68,022 Hormel Foods Corp. ....... 760 27,710 J.M. Smucker Co.(The)..... 1,290 68,022 Kellogg Co. .............. 2,790 143,797 Kraft Foods, Inc. -- Class A...................... 16,010 440,595 McCormick & Co., Inc. .... 1,420 49,714 Sara Lee Corp. ........... 7,550 85,239 Tyson Foods, Inc. -- Class A...................... 3,320 41,566 ------------ TOTAL FOOD PRODUCTS 1,707,808 ------------ GAS UTILITIES 0.1% EQT Corp. ................ 1,420 59,441 Nicor, Inc. .............. 490 18,169 Questar Corp. ............ 1,890 75,298 ------------ TOTAL GAS UTILITIES 152,908 ------------ HEALTH CARE EQUIPMENT & SUPPLIES 1.6% Baxter International, Inc. .................. 6,540 353,552 Becton, Dickinson & Co. .. 2,600 177,736 Boston Scientific Corp.*.. 16,370 132,924 C.R. Bard, Inc. .......... 1,060 79,574 CareFusion Corp.*......... 1,950 43,622 Dentsply International, Inc. .................. 1,610 53,066 Hospira, Inc.*............ 1,750 78,120 Intuitive Surgical, Inc.*.................. 410 101,004 Medtronic, Inc. .......... 12,020 429,114 St Jude Medical, Inc.*.... 3,780 128,822 Stryker Corp. ............ 3,060 140,760 Varian Medical Systems, Inc.*.................. 1,360 55,733 Zimmer Holdings, Inc.*.... 2,330 122,488 ------------ TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,896,515 ------------ HEALTH CARE PROVIDERS & SERVICES 1.7% Aetna, Inc. .............. 4,740 123,382 AmerisourceBergen Corp. .. 3,230 71,544 Cardinal Health, Inc. .... 3,910 110,809 CIGNA Corp. .............. 2,960 82,406 Coventry Health Care, Inc.*.................. 1,620 32,125 DaVita, Inc.*............. 1,130 59,924 Express Scripts, Inc.*.... 2,980 238,162 Humana, Inc.*............. 1,840 69,147 Laboratory Corp. of America Holdings*...... 1,180 81,290 McKesson Corp. ........... 2,890 169,730 Medco Health Solutions, Inc.*.................. 5,140 288,457 Patterson Cos., Inc.*..... 1,010 25,785 Quest Diagnostics, Inc. .. 1,690 94,522 Tenet Healthcare Corp.*... 4,700 24,064 UnitedHealth Group, Inc. .................. 12,620 327,489 WellPoint, Inc.*.......... 5,160 241,282 ------------ TOTAL HEALTH CARE PROVIDERS & SERVICES 2,040,118 ------------ HEALTH CARE TECHNOLOGY 0.0%(A) IMS Health, Inc. ......... 1,980 32,452 ------------ TOTAL HEALTH CARE TECHNOLOGY 32,452 ------------ HOTELS, RESTAURANTS & LEISURE 1.2% Carnival Corp. ........... 4,760 138,611 Darden Restaurants, Inc. .................. 1,510 45,768 International Game Technology............. 3,220 57,445 Marriott International, Inc. -- Class A........ 2,730 68,414 McDonald's Corp. ......... 11,850 694,528 Starbucks Corp.*.......... 8,000 151,840 Starwood Hotels & Resorts Worldwide, Inc. ....... 2,030 58,992 Wyndham Worldwide Corp. .. 1,940 33,077 Wynn Resorts Ltd.*........ 750 40,665 Yum! Brands, Inc. ........ 5,070 167,057 ------------ TOTAL HOTELS, RESTAURANTS & LEISURE 1,456,397 ------------ HOUSEHOLD DURABLES 0.3% Black & Decker Corp. ..... 650 30,693 D.R. Horton, Inc. ........ 3,000 32,880 Fortune Brands, Inc. ..... 1,630 63,488 Harman International Industries, Inc. ...... 750 28,208 KB HOME................... 800 11,344 Leggett & Platt, Inc. .... 1,700 32,861 Lennar Corp. -- Class A... 1,670 21,042 Newell Rubbermaid, Inc. .. 3,020 43,820 Pulte Homes, Inc. ........ 3,430 30,904 Snap-on, Inc. ............ 630 23,014 Stanley Works(The)........ 860 38,898 Whirlpool Corp. .......... 800 57,272 ------------ TOTAL HOUSEHOLD DURABLES 414,424 ------------ HOUSEHOLD PRODUCTS 2.2% Clorox Co. ............... 1,510 89,437 Colgate-Palmolive Co. .... 5,410 425,389 Kimberly-Clark Corp. ..... 4,500 275,220 Procter & Gamble Co. ..... 31,690 1,838,020 ------------ TOTAL HOUSEHOLD PRODUCTS 2,628,066 ------------
See Notes to Financial Statements. 32 RYDEXSGI 2X S&P 500 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.1% AES Corp.(The)*........... 7,240 $94,627 Constellation Energy Group, Inc. ........... 2,180 67,405 Dynegy, Inc. -- Class A*.. 5,500 11,000 ------------ TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 173,032 ------------ INDUSTRIAL CONGLOMERATES 1.9% 3M Co. ................... 7,580 557,661 General Electric Co. ..... 115,380 1,645,319 Textron, Inc. ............ 2,930 52,095 ------------ TOTAL INDUSTRIAL CONGLOMERATES 2,255,075 ------------ INSURANCE 2.2% AFLAC, Inc. .............. 5,080 210,769 Allstate Corp. ........... 5,820 172,098 American International Group, Inc.*........... 1,460 49,085 Aon Corp. ................ 2,980 114,760 Assurant, Inc. ........... 1,280 38,310 Chubb Corp. .............. 3,800 184,376 Cincinnati Financial Corp. ................. 1,770 44,887 Genworth Financial, Inc. -- Class A*....... 5,220 55,436 Hartford Financial Services Group, Inc. .. 4,170 102,249 Lincoln National Corp. ... 3,280 78,162 Loews Corp. .............. 3,950 130,745 Marsh & McLennan Cos., Inc. .................. 5,690 133,488 MBIA, Inc.*............... 1,720 6,983 MetLife, Inc. ............ 8,890 302,527 Principal Financial Group, Inc. .................. 3,460 86,638 Progressive Corp.*........ 7,370 117,920 Prudential Financial, Inc. .................. 5,030 227,507 Torchmark Corp. .......... 900 36,540 Travelers Cos., Inc.(The).............. 6,160 306,707 Unum Group................ 3,600 71,820 XL Capital, Ltd. -- Class A...................... 3,720 61,045 ------------ TOTAL INSURANCE 2,532,052 ------------ INTERNET & CATALOG RETAIL 0.4% Amazon.com, Inc.*......... 3,610 428,904 Expedia, Inc.*............ 2,290 51,914 ------------ TOTAL INTERNET & CATALOG RETAIL 480,818 ------------ INTERNET SOFTWARE & SERVICES 1.7% Akamai Technologies, Inc.*.................. 1,870 41,140 eBay, Inc.*............... 12,190 271,471 Google, Inc. -- Class A*.. 2,610 1,399,273 VeriSign, Inc.*........... 2,090 47,673 Yahoo!, Inc.*............. 12,950 205,905 ------------ TOTAL INTERNET SOFTWARE & SERVICES 1,965,462 ------------ IT SERVICES 1.0% Affiliated Computer Services, Inc. -- Class A*..................... 1,060 55,215 Automatic Data Processing, Inc. .................. 5,450 216,910 Cognizant Technology Solutions Corp. -- Class A*...... 3,180 122,907 Computer Sciences Corp.*.. 1,650 83,671 Convergys Corp.*.......... 1,330 14,431 Fidelity National Information Services, Inc. .................. 3,380 73,549 Fiserv, Inc.*............. 1,680 77,062 Mastercard, Inc. -- Class A...................... 1,040 227,781 Paychex, Inc. ............ 3,490 99,151 Total System Services, Inc. .................. 2,140 34,176 Western Union Co. ........ 7,620 138,455 ------------ TOTAL IT SERVICES 1,143,308 ------------ LEISURE EQUIPMENT & PRODUCTS 0.1% Eastman Kodak Co.*........ 2,910 10,913 Hasbro, Inc. ............. 1,370 37,360 Mattel, Inc. ............. 3,910 74,016 ------------ TOTAL LEISURE EQUIPMENT & PRODUCTS 122,289 ------------ LIFE SCIENCES TOOLS & SERVICES 0.3% Life Technologies Corp.*.. 1,910 90,095 Millipore Corp.*.......... 600 40,206 PerkinElmer, Inc. ........ 1,270 23,635 Thermo Fisher Scientific, Inc.*.................. 4,430 199,350 Waters Corp.*............. 1,040 59,727 ------------ TOTAL LIFE SCIENCES TOOLS & SERVICES 413,013 ------------ MACHINERY 1.3% Caterpillar, Inc. ........ 6,750 371,655 Cummins, Inc. ............ 2,190 94,301 Danaher Corp. ............ 2,810 191,726 Deere & Co. .............. 4,590 209,075 Dover Corp. .............. 2,020 76,114 Eaton Corp. .............. 1,800 108,810 Flowserve Corp. .......... 610 59,908 Illinois Tool Works, Inc. .................. 4,180 191,946 PACCAR, Inc. ............. 3,940 147,395 Pall Corp. ............... 1,280 40,627 Parker-Hannifin Corp. .... 1,740 92,150 ------------ TOTAL MACHINERY 1,583,707 ------------ MEDIA 2.2% CBS Corp. -- Class B...... 7,360 86,627 Comcast Corp. -- Class A.. 31,160 451,820 DIRECTV Group, Inc.(The)*............. 4,880 128,344 Gannett Co., Inc. ........ 2,550 25,041 Interpublic Group of Cos., Inc.*.................. 5,280 31,786 McGraw-Hill Cos., Inc. ... 3,420 98,428 Meredith Corp. ........... 400 10,824 New York Times Co. -- Class A......... 1,260 10,042 News Corp. -- Class A..... 24,410 281,203 Omnicom Group, Inc. ...... 3,370 115,524 Scripps Networks Interactive -- Class A...................... 970 36,627 Time Warner Cable, Inc. .. 3,830 151,055 Time Warner, Inc. ........ 12,870 387,644 Viacom, Inc. -- Class B*.. 6,590 181,818 Walt Disney Co.(The)...... 20,180 552,327 Washington Post Co. -- Class B......... 70 30,240 ------------ TOTAL MEDIA 2,579,350 ------------ METALS & MINING 0.8% AK Steel Holding Corp. ... 1,190 18,885 Alcoa, Inc. .............. 10,580 131,404 Allegheny Technologies, Inc. .................. 1,060 32,712 Freeport-McMoRan Copper & Gold, Inc.*............ 4,470 327,919 Newmont Mining Corp. ..... 5,320 231,207 Nucor Corp. .............. 3,420 136,287 Titanium Metals Corp. .... 920 7,912 United States Steel Corp. ................. 1,560 53,804 ------------ TOTAL METALS & MINING 940,130 ------------
See Notes to Financial Statements. ANNUAL REPORT 33 RYDEXSGI 2X S&P 500 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) MULTI-UTILITIES 1.1% Ameren Corp. ............. 2,530 $61,580 CenterPoint Energy, Inc. .................. 4,200 52,920 CMS Energy Corp. ......... 2,490 33,117 Consolidated Edison, Inc. .................. 2,990 121,633 Dominion Resources, Inc. .................. 6,460 220,221 DTE Energy Co. ........... 1,790 66,194 Integrys Energy Group, Inc. .................. 830 28,718 NiSource, Inc. ........... 2,990 38,631 PG&E Corp. ............... 4,020 164,378 Public Service Enterprise Group, Inc. ........... 5,490 163,602 SCANA Corp. .............. 1,200 40,608 Sempra Energy............. 2,660 136,857 TECO Energy, Inc. ........ 2,320 33,269 Wisconsin Energy Corp. ... 1,270 55,461 Xcel Energy, Inc. ........ 4,950 93,357 ------------ TOTAL MULTI-UTILITIES 1,310,546 ------------ MULTILINE RETAIL 0.8% Big Lots, Inc.*........... 900 22,545 Family Dollar Stores, Inc. .................. 1,520 43,016 J.C. Penney Co., Inc. .... 2,560 84,813 Kohl's Corp.*............. 3,320 189,971 Macy's, Inc. ............. 4,570 80,295 Nordstrom, Inc. .......... 1,790 56,886 Sears Holdings Corp.*..... 540 36,644 Target Corp. ............. 8,160 395,189 ------------ TOTAL MULTILINE RETAIL 909,359 ------------ OFFICE ELECTRONICS 0.1% Xerox Corp. .............. 9,440 70,989 ------------ TOTAL OFFICE ELECTRONICS 70,989 ------------ OIL, GAS & CONSUMABLE FUELS 8.8% Anadarko Petroleum Corp. ................. 5,330 324,757 Apache Corp. ............. 3,650 343,538 Cabot Oil & Gas Corp. .... 1,130 43,471 Chesapeake Energy Corp. .. 6,970 170,765 Chevron Corp. ............ 21,780 1,667,041 ConocoPhillips............ 16,100 807,898 CONSOL Energy, Inc. ...... 1,960 83,908 Denbury Resources, Inc.*.. 2,710 39,566 Devon Energy Corp. ....... 4,820 311,902 El Paso Corp. ............ 7,610 74,654 EOG Resources, Inc. ...... 2,740 223,748 Exxon Mobil Corp. ........ 52,180 3,739,741 Hess Corp. ............... 3,160 172,978 Marathon Oil Corp. ....... 7,680 245,530 Massey Energy Co. ........ 930 27,054 Murphy Oil Corp. ......... 2,070 126,560 Noble Energy, Inc. ....... 1,880 123,384 Occidental Petroleum Corp. ................. 8,800 667,744 Peabody Energy Corp. ..... 2,910 115,207 Pioneer Natural Resources Co. ................... 1,250 51,388 Range Resources Corp. .... 1,710 85,586 Southwestern Energy Co.*.. 3,740 162,989 Spectra Energy Corp. ..... 7,010 134,031 Sunoco, Inc. ............. 1,270 39,116 Tesoro Corp. ............. 1,520 21,493 Valero Energy Corp. ...... 6,110 110,591 Williams Cos., Inc.(The).. 6,330 119,320 XTO Energy, Inc. ......... 6,300 261,828 ------------ TOTAL OIL, GAS & CONSUMABLE FUELS 10,295,788 ------------ PAPER & FOREST PRODUCTS 0.2% International Paper Co. .. 4,700 104,857 MeadWestvaco Corp. ....... 1,860 42,464 Weyerhaeuser Co. ......... 2,290 83,218 ------------ TOTAL PAPER & FOREST PRODUCTS 230,539 ------------ PERSONAL PRODUCTS 0.2% Avon Products, Inc. ...... 4,640 148,712 Estee Lauder Cos., Inc -- Class A......... 1,280 54,400 ------------ TOTAL PERSONAL PRODUCTS 203,112 ------------ PHARMACEUTICALS 5.6% Abbott Laboratories....... 16,790 849,070 Allergan, Inc. ........... 3,340 187,875 Bristol-Myers Squibb Co. ................... 21,510 468,918 Eli Lilly & Co. .......... 10,980 373,430 Forest Laboratories, Inc.*.................. 3,280 90,757 Johnson & Johnson, Inc. .. 29,920 1,766,776 King Pharmaceuticals, Inc.*.................. 2,690 27,250 Merck & Co, Inc. New...... 22,900 708,297 Mylan, Inc.*.............. 3,320 53,917 Pfizer, Inc. ............. 87,562 1,491,181 Schering-Plough Corp. .... 17,740 500,268 Watson Pharmaceuticals, Inc.*.................. 1,150 39,583 ------------ TOTAL PHARMACEUTICALS 6,557,322 ------------ REAL ESTATE INVESTMENT TRUSTS (REITS) 1.0% Apartment Investment & Management Co. -- Class A...................... 1,270 15,684 AvalonBay Communities, Inc. .................. 870 59,839 Boston Properties, Inc. .. 1,500 91,155 Equity Residential........ 2,970 85,774 HCP, Inc. ................ 3,180 94,096 Health Care REIT, Inc. ... 1,300 57,681 Host Hotels & Resorts, Inc. .................. 6,560 66,322 Kimco Realty Corp. ....... 4,090 51,698 Plum Creek Timber Co., Inc. .................. 1,770 55,383 ProLogis.................. 4,810 54,497 Public Storage, Inc. ..... 1,470 108,192 Simon Property Group, Inc. .................. 3,070 208,422 Ventas, Inc. ............. 1,700 68,221 Vornado Realty Trust...... 1,700 101,252 ------------ TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 1,118,216 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT 0.0%(A) CB Richard Ellis Group, Inc. -- Class A*....... 2,610 27,014 ------------ TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 27,014 ------------ ROAD & RAIL 0.8% Burlington Northern Santa Fe Corp. .............. 2,840 213,909 CSX Corp. ................ 4,260 179,687 Norfolk Southern Corp. ... 3,990 186,014 Ryder System, Inc. ....... 610 24,735 Union Pacific Corp. ...... 5,480 302,167 ------------ TOTAL ROAD & RAIL 906,512 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.1% Advanced Micro Devices, Inc.*.................. 6,090 28,014 Altera Corp. ............. 3,190 63,130 Analog Devices, Inc. ..... 3,170 81,247
See Notes to Financial Statements. 34 RYDEXSGI 2X S&P 500 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - -------------------------------------------------------- COMMON STOCKS (CONTINUED) Applied Materials, Inc. .. 14,480 $176,656 Broadcom Corp. -- Class A*..................... 4,680 124,535 Intel Corp. .............. 60,780 1,161,506 KLA-Tencor Corp. ......... 1,850 60,143 Linear Technology Corp. .. 2,410 62,371 LSI Corp.*................ 7,080 36,249 MEMC Electronic Materials, Inc.*.................. 2,430 30,181 Microchip Technology, Inc. .................. 1,990 47,680 Micron Technology, Inc.*.. 9,190 62,400 National Semiconductor Corp. ................. 2,540 32,868 Novellus Systems, Inc.*... 1,060 21,815 NVIDIA Corp.*............. 5,950 71,162 Teradyne, Inc.*........... 1,900 15,903 Texas Instruments, Inc. .. 13,700 321,265 Xilinx, Inc. ............. 3,000 65,250 ------------ TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2,462,375 ------------ SOFTWARE 3.6% Adobe Systems, Inc.*...... 5,700 187,758 Autodesk, Inc.*........... 2,490 62,076 BMC Software, Inc.*....... 2,000 74,320 CA, Inc. ................. 4,320 90,375 Citrix Systems, Inc.*..... 1,990 73,152 Compuware Corp.*.......... 2,580 18,215 Electronic Arts, Inc.*.... 3,510 64,022 Intuit, Inc.*............. 3,510 102,036 McAfee, Inc.*............. 1,710 71,615 Microsoft Corp. .......... 84,170 2,334,034 Novell, Inc.*............. 3,770 15,419 Oracle Corp. ............. 42,410 894,851 Red Hat, Inc.*............ 2,040 52,652 Salesforce.com, Inc.*..... 1,180 66,965 Symantec Corp.*........... 8,840 155,407 ------------ TOTAL SOFTWARE 4,262,897 ------------ SPECIALTY RETAIL 1.6% Abercrombie & Fitch Co. -- Class A......... 950 31,179 AutoNation, Inc.*......... 1,020 17,585 AutoZone, Inc.*........... 330 44,652 Bed Bath & Beyond, Inc.*.. 2,840 99,997 Best Buy Co., Inc. ....... 3,710 141,648 GameStop Corp. -- Class A*..................... 1,790 43,479 Gap, Inc.(The)............ 5,230 111,608 Home Depot, Inc. ......... 18,510 464,416 Limited Brands, Inc. ..... 2,900 51,040 Lowe's Cos., Inc. ........ 16,040 313,903 O'Reilly Automotive, Inc.*.................. 1,480 55,174 Office Depot, Inc.*....... 2,980 18,029 RadioShack Corp. ......... 1,360 22,970 Sherwin-Williams Co.(The)............... 1,060 60,462 Staples, Inc. ............ 7,840 170,128 Tiffany & Co. ............ 1,350 53,042 TJX Cos., Inc. ........... 4,600 171,810 ------------ TOTAL SPECIALTY RETAIL 1,871,122 ------------ TEXTILES, APPAREL & LUXURY GOODS 0.4% Coach, Inc. .............. 3,450 113,746 NIKE, Inc. -- Class B..... 4,220 262,400 Polo Ralph Lauren Corp. .. 630 46,885 V.F. Corp. ............... 970 68,909 ------------ TOTAL TEXTILES, APPAREL & LUXURY GOODS 491,940 ------------ THRIFTS & MORTGAGE FINANCE 0.1% Hudson City Bancorp, Inc. .................. 5,120 67,277 People's United Financial, Inc. .................. 3,780 60,593 ------------ TOTAL THRIFTS & MORTGAGE FINANCE 127,870 ------------ TOBACCO 1.4% Altria Group, Inc. ....... 22,490 407,294 Lorillard, Inc. .......... 1,790 139,119 Philip Morris International, Inc. ... 21,000 994,560 Reynolds American, Inc. .. 1,830 88,718 ------------ TOTAL TOBACCO 1,629,691 ------------ TRADING COMPANIES & DISTRIBUTORS 0.1% Fastenal Co. ............. 1,440 49,680 W.W. Grainger, Inc. ...... 680 63,736 ------------ TOTAL TRADING COMPANIES & DISTRIBUTORS 113,416 ------------ WIRELESS TELECOMMUNICATION SERVICES 0.2% American Tower Corp. -- Class A*...... 4,280 157,589 MetroPCS Communications, Inc.*.................. 2,830 17,631 Sprint Nextel Corp.*...... 31,230 92,441 ------------ TOTAL WIRELESS TELECOMMUNICATION SERVICES 267,661 ------------ TOTAL COMMON STOCKS (Cost $88,469,713) 99,066,028 - -------------------------------------------------------- FACE AMOUNT - -------------------------------------------------------- REPURCHASE AGREEMENTS 2.8% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $3,350,003 on 11/02/09 collateralized by $3,305,000 FHLB at 4.500% due 09/13/19 with a value of $3,420,675............. $3,350,000 3,350,000 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $3,350,000) 3,350,000 ------------ TOTAL INVESTMENTS 87.4%(B) (Cost $91,819,713) 102,416,028 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES--12.6% 14,710,259 ------------ NET ASSETS--100.0% $117,126,287 - -------------------------------------------------------- UNREALIZED CONTRACTS LOSS - -------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2009 S&P 500 Index E-Mini Futures Contracts (Aggregate Market Value of Contracts $26,361,213)(b)........ 511 $(236,494) - --------------------------------------------------------
See Notes to Financial Statements. ANNUAL REPORT 35 RYDEXSGI 2X S&P 500 ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
UNREALIZED UNITS GAIN/LOSS - -------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS PURCHASED Credit Suisse First Boston October 2009 S&P 500 Index Swap, Terminating 10/30/09 (Notional Market Value $59,672,565)**(c)...... 57,588 $0 Goldman Sachs International October 2009 S&P 500 Index Swap, Terminating 10/30/09 (Notional Market Value $50,030,372)**(c)...... 48,283 (3) ------------ (TOTAL NOTIONAL MARKET VALUE $109,702,937)............. $(3) - --------------------------------------------------------
* Non-Income Producing Security. ** Price return based on S&P 500 Index +/- financing at a variable rate. (a) Amount represents less than 0.05% of net assets. (b) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (c) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FHLB--Federal Home Loan Bank REIT--Real Estate Investment Trust See Notes to Financial Statements. 36 RYDEXSGI INVERSE 2X S&P 500 ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
FACE MARKET AMOUNT VALUE - -------------------------------------------------------- REPURCHASE AGREEMENTS 72.0% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $74,461,062 on 11/02/09 collateralized by $66,405,000 FNMA at 5.375% due 06/12/17 with a value of $75,950,719............ $74,461,000 $74,461,000 ------------ TOTAL REPURCHASE AGREEMENTS (Cost $74,461,000) 74,461,000 ------------ TOTAL INVESTMENTS 72.0%(A) (Cost $74,461,000) 74,461,000 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES--28.0% 29,012,975 ------------ NET ASSETS--100.0% $103,473,975 - -------------------------------------------------------- UNREALIZED CONTRACTS GAIN - -------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT December 2009 S&P 500 Index E-Mini Futures Contracts (Aggregate Market Value of Contracts $78,155,063)(a)........ 1,515 $57,516 - -------------------------------------------------------- UNREALIZED UNITS GAIN/LOSS - -------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS SOLD SHORT Credit Suisse First Boston October 2009 S&P 500 Index Swap, Terminating 10/30/09 (Notional Market Value $87,883,471)*(b)....... 84,814 $0 Goldman Sachs International October 2009 S&P 500 Index Swap, Terminating 10/30/09 (Notional Market Value $40,356,274)*(b)....... 38,947 5 ------------ (TOTAL NOTIONAL MARKET VALUE $128,239,745)............. $5 - --------------------------------------------------------
* Price return based on S&P 500 Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FNMA--Federal National Mortgage Association. See Notes to Financial Statements. ANNUAL REPORT 37 RYDEXSGI 2X S&P MIDCAP 400 ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS 86.3% AEROSPACE & DEFENSE 0.5% Alliant Techsystems, Inc.*................... 480 $37,334 BE Aerospace, Inc.*........ 1,490 26,418 ----------- TOTAL AEROSPACE & DEFENSE 63,752 ----------- AIRLINES 0.3% Airtran Holdings, Inc.*.... 1,910 8,079 Alaska Air Group, Inc.*.... 520 13,375 JetBlue Airways Corp.*..... 3,150 15,624 ----------- TOTAL AIRLINES 37,078 ----------- AUTO COMPONENTS 0.6% BorgWarner, Inc. .......... 1,710 51,847 Gentex Corp. .............. 2,020 32,340 ----------- TOTAL AUTO COMPONENTS 84,187 ----------- AUTOMOBILES 0.1% Thor Industries, Inc. ..... 520 13,634 ----------- TOTAL AUTOMOBILES 13,634 ----------- BEVERAGES 0.4% Hansen Natural Corp.*...... 1,070 38,680 PepsiAmericas, Inc. ....... 820 23,977 ----------- TOTAL BEVERAGES 62,657 ----------- BIOTECHNOLOGY 1.0% OSI Pharmaceuticals, Inc.*................... 850 27,387 United Therapeutics Corp.*.................. 690 29,353 Vertex Pharmaceuticals, Inc.*................... 2,650 88,934 ----------- TOTAL BIOTECHNOLOGY 145,674 ----------- BUILDING PRODUCTS 0.2% Lennox International, Inc. ................... 710 23,906 ----------- TOTAL BUILDING PRODUCTS 23,906 ----------- CAPITAL MARKETS 1.8% Affiliated Managers Group, Inc.*................... 610 38,729 Apollo Investment Corp. ... 2,410 21,690 Eaton Vance Corp. ......... 1,730 49,115 Jefferies Group, Inc.*..... 1,800 46,980 Raymond James Financial, Inc. ................... 1,450 34,234 SEI Investments Co. ....... 1,910 33,368 Waddell & Reed Financial, Inc. -- Class A......... 1,260 35,355 ----------- TOTAL CAPITAL MARKETS 259,471 ----------- CHEMICALS 2.7% Albemarle Corp. ........... 1,350 42,633 Ashland, Inc. ............. 1,090 37,648 Cabot Corp. ............... 960 21,053 Cytec Industries, Inc. .... 710 23,551 Lubrizol Corp. ............ 990 65,894 Minerals Technologies, Inc. ................... 280 13,793 Olin Corp. ................ 1,150 17,560 RPM International, Inc. ... 1,890 33,302 Scotts Miracle-Gro Co.(The) -- Class A..... 660 26,809 Sensient Technologies Corp. .................. 720 18,209 Terra Industries, Inc. .... 1,470 46,702 Valspar Corp. ............. 1,480 37,548 ----------- TOTAL CHEMICALS 384,702 ----------- COMMERCIAL BANKS 2.8% Associated Banc-Corp. ..... 1,880 24,083 Bancorpsouth, Inc. ........ 1,080 24,387 Bank of Hawaii Corp. ...... 700 31,080 Cathay General Bancorp..... 840 7,417 City National Corp. ....... 640 24,109 Commerce Bancshares Inc/Kansas City MO...... 1,020 39,127 Cullen/Frost Bankers, Inc. ................... 880 41,175 FirstMerit Corp. .......... 1,260 23,877 Fulton Financial Corp. .... 2,590 21,393 International Bancshares Corp. .................. 760 11,286 PacWest Bancorp............ 440 7,471 SVB Financial Group*....... 490 20,213 Synovus Financial Corp. ... 7,060 15,673 TCF Financial Corp. ....... 1,640 19,401 Trustmark Corp. ........... 750 14,213 Valley National Bancorp.... 2,100 27,888 Webster Financial Corp. ... 940 10,631 Westamerica Bancorp........ 430 20,554 Wilmington Trust Corp. .... 1,020 12,291 ----------- TOTAL COMMERCIAL BANKS 396,269 ----------- COMMERCIAL SERVICES & SUPPLIES 2.7% Brink's Co.(The)........... 670 15,899 Clean Harbors, Inc.*....... 330 18,629 Copart, Inc.*.............. 990 31,848 Corporate Executive Board Co.(The)................ 500 12,005 Corrections Corp. of America*................ 1,690 40,459 Deluxe Corp. .............. 750 10,673 FTI Consulting, Inc.*...... 760 31,016 Herman Miller, Inc. ....... 820 12,669 HNI Corp. ................. 660 17,371 Kelly Services, Inc. -- Class A......... 390 4,321 Korn/Ferry International*.. 670 10,693 Manpower, Inc. ............ 1,150 54,522 Mine Safety Appliances Co. .................... 440 11,216 MPS Group, Inc.*........... 1,370 18,522 Navigant Consulting, Inc.*................... 710 10,110 Rollins, Inc. ............. 640 11,571 Waste Connections, Inc.*... 1,180 37,087 Watson Wyatt Worldwide, Inc. -- Class A......... 630 27,455 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 376,066 ----------- COMMUNICATIONS EQUIPMENT 1.7% 3Com Corp.*................ 5,750 29,555 ADC Telecommunications, Inc.*................... 1,420 9,216 Adtran, Inc. .............. 820 18,893 Avocent Corp.*............. 650 16,166 CommScope, Inc.*........... 1,380 37,288 F5 Networks, Inc.*......... 1,160 52,072 Palm, Inc.*................ 2,350 27,283 Plantronics, Inc. ......... 720 17,359 Polycom, Inc.*............. 1,240 26,623 ----------- TOTAL COMMUNICATIONS EQUIPMENT 234,455 ----------- COMPUTERS & PERIPHERALS 0.4% Diebold, Inc. ............. 970 29,333 Imation Corp. ............. 440 3,881 NCR Corp.*................. 2,330 23,649 ----------- TOTAL COMPUTERS & PERIPHERALS 56,863 ----------- CONSTRUCTION & ENGINEERING 1.3% Aecom Technology Corp.*.... 1,620 40,889 Dycom Industries, Inc.*.... 570 5,632 Granite Construction, Inc. ................... 490 13,994 KBR, Inc. ................. 2,360 48,309
See Notes to Financial Statements. 38 RYDEXSGI 2X S&P MIDCAP 400 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Shaw Group, Inc.(The)*..... 1,230 $31,562 URS Corp.*................. 1,240 48,186 ----------- TOTAL CONSTRUCTION & ENGINEERING 188,572 ----------- CONSTRUCTION MATERIALS 0.4% Martin Marietta Materials, Inc. ................... 650 54,158 ----------- TOTAL CONSTRUCTION MATERIALS 54,158 ----------- CONSUMER FINANCE 0.2% AmeriCredit Corp.*......... 1,410 24,887 ----------- TOTAL CONSUMER FINANCE 24,887 ----------- CONTAINERS & PACKAGING 1.1% AptarGroup, Inc. .......... 990 34,957 Greif, Inc. -- Class A..... 500 26,760 Packaging Corp. of America................. 1,510 27,603 Sonoco Products Co. ....... 1,470 39,322 Temple-Inland, Inc. ....... 1,560 24,102 ----------- TOTAL CONTAINERS & PACKAGING 152,744 ----------- DISTRIBUTORS 0.3% LKQ Corp.*................. 2,070 35,749 ----------- TOTAL DISTRIBUTORS 35,749 ----------- DIVERSIFIED CONSUMER SERVICES 1.6% Brink's Home Security Holdings, Inc.*......... 670 20,757 Career Education Corp.*.... 1,010 21,048 Corinthian Colleges, Inc.*................... 1,280 20,301 ITT Educational Services, Inc.*................... 470 42,464 Matthews International Corp. -- Class A........ 450 16,528 Regis Corp. ............... 840 13,642 Service Corp. International........... 3,690 25,350 Sotheby's.................. 980 15,543 Strayer Education, Inc. ... 210 42,624 ----------- TOTAL DIVERSIFIED CONSUMER SERVICES 218,257 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES 0.1% Cincinnati Bell, Inc.*..... 3,110 9,579 ----------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 9,579 ----------- ELECTRIC UTILITIES 1.5% Cleco Corp. ............... 890 22,028 DPL, Inc. ................. 1,700 43,078 Great Plains Energy, Inc. ................... 1,990 34,427 Hawaiian Electric Industries, Inc. ....... 1,350 24,097 IDACORP, Inc. ............. 690 19,382 NV Energy, Inc. ........... 3,450 39,537 Westar Energy, Inc. ....... 1,600 30,640 ----------- TOTAL ELECTRIC UTILITIES 213,189 ----------- ELECTRICAL EQUIPMENT 1.5% AMETEK, Inc. .............. 1,580 55,126 Hubbell, Inc. -- Class B... 830 35,300 Roper Industries, Inc. .... 1,330 67,232 Thomas & Betts Corp.*...... 780 26,684 Woodward Governor Co. ..... 830 19,513 ----------- TOTAL ELECTRICAL EQUIPMENT 203,855 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.0% Arrow Electronics, Inc.*... 1,760 44,598 Avnet, Inc.*............... 2,220 55,012 Ingram Micro, Inc. -- Class A*...................... 2,400 42,360 Itron, Inc.*............... 590 35,424 National Instruments Corp. .................. 830 22,161 Tech Data Corp.*........... 740 28,438 Trimble Navigation, Ltd.*.. 1,760 36,907 Vishay Intertechnology, Inc.*................... 2,740 17,070 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 281,970 ----------- ENERGY EQUIPMENT & SERVICES 2.3% Exterran Holdings, Inc.*... 920 18,796 Helix Energy Solutions Group, Inc.*............ 1,340 18,398 Helmerich & Payne, Inc. ... 1,550 58,931 Oceaneering International, Inc.*................... 810 41,391 Patterson-UTI Energy, Inc. ................... 2,260 35,211 Pride International, Inc.*................... 2,550 75,378 Superior Energy Services, Inc.*................... 1,150 24,851 Tidewater, Inc. ........... 760 31,669 Unit Corp.*................ 590 23,057 ----------- TOTAL ENERGY EQUIPMENT & SERVICES 327,682 ----------- FOOD & STAPLES RETAILING 0.3% BJ's Wholesale Club, Inc.*................... 820 28,725 Ruddick Corp. ............. 600 16,032 ----------- TOTAL FOOD & STAPLES RETAILING 44,757 ----------- FOOD PRODUCTS 1.1% Corn Products International, Inc. .... 1,100 30,998 Flowers Foods, Inc. ....... 1,140 26,630 Lancaster Colony Corp. .... 280 13,602 Ralcorp Holdings, Inc.*.... 830 44,571 Smithfield Foods, Inc.*.... 2,070 27,614 Tootsie Roll Industries, Inc. ................... 390 9,676 ----------- TOTAL FOOD PRODUCTS 153,091 ----------- GAS UTILITIES 2.1% AGL Resources, Inc. ....... 1,140 39,855 Atmos Energy Corp. ........ 1,360 37,876 Energen Corp. ............. 1,050 46,074 National Fuel Gas Co. ..... 1,180 53,501 Oneok, Inc. ............... 1,550 56,126 UGI Corp. ................. 1,590 37,969 WGL Holdings, Inc. ........ 740 24,464 ----------- TOTAL GAS UTILITIES 295,865 ----------- HEALTH CARE EQUIPMENT & SUPPLIES 3.4% Beckman Coulter, Inc. ..... 1,010 64,973 Edwards Lifesciences Corp.*.................. 830 63,860 Gen-Probe, Inc.*........... 740 30,873 Hill-Rom Holdings, Inc. ... 920 18,023 Hologic, Inc.*............. 3,770 55,721 Idexx Laboratories, Inc.*.. 860 43,963 Immucor, Inc.*............. 1,040 18,595 Kinetic Concepts, Inc.*.... 910 30,203 Masimo Corp.*.............. 760 20,193 ResMed, Inc.*.............. 1,110 54,623 STERIS Corp. .............. 860 25,164 Teleflex, Inc. ............ 580 28,855 Thoratec Corp.*............ 830 21,796 ----------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 476,842 ----------- HEALTH CARE PROVIDERS & SERVICES 2.8% Community Health Systems, Inc.*................... 1,360 42,541 Health Management Associates, Inc. -- Class A*........ 3,620 22,082 Health Net, Inc.*.......... 1,530 22,812 Henry Schein, Inc.*........ 1,330 70,264 Kindred Healthcare, Inc.*.. 570 8,379 LifePoint Hospitals, Inc.*................... 800 22,664 Lincare Holdings, Inc.*.... 1,000 31,410 Omnicare, Inc. ............ 1,750 37,922
See Notes to Financial Statements. ANNUAL REPORT 39 RYDEXSGI 2X S&P MIDCAP 400 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Owens & Minor, Inc. ....... 610 $24,943 Psychiatric Solutions, Inc.*................... 830 17,131 Universal Health Services, Inc. -- Class B......... 720 40,068 VCA Antech, Inc.*.......... 1,250 29,775 WellCare Health Plans, Inc.*................... 620 16,201 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 386,192 ----------- HEALTH CARE TECHNOLOGY 0.5% Cerner Corp.*.............. 990 75,280 ----------- TOTAL HEALTH CARE TECHNOLOGY 75,280 ----------- HOTELS, RESTAURANTS & LEISURE 1.5% Bob Evans Farms, Inc. ..... 460 12,084 Boyd Gaming Corp.*......... 810 5,962 Brinker International, Inc. ................... 1,500 18,960 Cheesecake Factory, Inc.(The)*.............. 880 15,998 Chipotle Mexican Grill, Inc. -- Class A*........ 460 37,485 International Speedway Corp. -- Class A........ 450 11,480 Life Time Fitness, Inc.*... 610 13,146 Panera Bread Co. -- Class A*...................... 460 27,591 Scientific Games Corp. -- Class A*....... 950 13,366 Wendy's/Arby's Group, Inc. -- Class A......... 5,400 21,330 WMS Industries, Inc.*...... 780 31,184 ----------- TOTAL HOTELS, RESTAURANTS & LEISURE 208,586 ----------- HOUSEHOLD DURABLES 1.5% American Greetings Corp. -- Class A........ 580 11,797 Blyth, Inc. ............... 90 3,189 MDC Holdings, Inc. ........ 550 17,941 Mohawk Industries, Inc.*... 820 35,121 NVR, Inc.*................. 90 59,604 Ryland Group, Inc. ........ 640 11,872 Toll Brothers, Inc.*....... 2,010 34,813 Tupperware Brands Corp. ... 930 41,869 ----------- TOTAL HOUSEHOLD DURABLES 216,206 ----------- HOUSEHOLD PRODUCTS 0.9% Church & Dwight Co., Inc. ................... 1,030 58,586 Energizer Holdings, Inc.*.. 1,020 62,088 ----------- TOTAL HOUSEHOLD PRODUCTS 120,674 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.1% Black Hills Corp. ......... 570 13,891 ----------- TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 13,891 ----------- INDUSTRIAL CONGLOMERATES 0.2% Carlisle Cos., Inc. ....... 900 27,936 ----------- TOTAL INDUSTRIAL CONGLOMERATES 27,936 ----------- INSURANCE 4.0% American Financial Group, Inc. ................... 1,160 28,536 Arthur J. Gallagher & Co. .................... 1,490 33,242 Brown & Brown, Inc. ....... 1,730 31,780 Everest Re Group, Ltd. .... 890 77,866 Fidelity National Financial, Inc. -- Class A....................... 3,390 46,002 First American Corp. ...... 1,370 41,634 Hanover Insurance Group, Inc.(The)............... 750 31,553 HCC Insurance Holdings, Inc. ................... 1,650 43,544 Horace Mann Educators Corp. .................. 580 7,209 Mercury General Corp. ..... 520 18,959 Old Republic International Corp. .................. 3,530 37,700 Protective Life Corp. ..... 1,260 24,255 Reinsurance Group of America, Inc. .......... 1,070 49,327 StanCorp Financial Group, Inc. ................... 720 26,431 Unitrin, Inc. ............. 730 14,308 W.R. Berkley Corp. ........ 1,980 48,946 ----------- TOTAL INSURANCE 561,292 ----------- INTERNET & CATALOG RETAIL 1.0% NetFlix, Inc.*............. 670 35,811 Priceline.com, Inc.*....... 620 97,830 ----------- TOTAL INTERNET & CATALOG RETAIL 133,641 ----------- INTERNET SOFTWARE & SERVICES 0.5% Digital River, Inc.*....... 570 13,013 Equinix, Inc.*............. 570 48,633 ValueClick, Inc.*.......... 1,280 12,595 ----------- TOTAL INTERNET SOFTWARE & SERVICES 74,241 ----------- IT SERVICES 2.9% Acxiom Corp.*.............. 1,160 13,317 Alliance Data Systems Corp.*.................. 780 42,884 Broadridge Financial Solutions, Inc. ........ 2,050 42,661 DST Systems, Inc.*......... 580 24,192 Gartner, Inc.*............. 880 16,386 Global Payments, Inc. ..... 1,180 58,091 Hewitt Associates, Inc. -- Class A*........ 1,220 43,334 Lender Processing Services, Inc. ................... 1,410 56,118 Mantech International Corp. -- Class A*....... 320 14,035 NeuStar, Inc. -- Class A*.. 1,090 25,179 SAIC, Inc.*................ 3,080 54,547 SRA International, Inc. -- Class A*........ 630 11,819 ----------- TOTAL IT SERVICES 402,563 ----------- LEISURE EQUIPMENT & PRODUCTS 0.0%(A) Callaway Golf Co. ......... 950 6,498 ----------- TOTAL LEISURE EQUIPMENT & PRODUCTS 6,498 ----------- LIFE SCIENCES TOOLS & SERVICES 1.8% Affymetrix, Inc.*.......... 1,040 5,439 Bio-Rad Laboratories, Inc. -- Class A*........ 280 25,029 Charles River Laboratories International, Inc.*.... 970 35,424 Covance, Inc.*............. 940 48,579 Mettler Toledo International, Inc.*.... 500 48,750 Pharmaceutical Product Development, Inc. ...... 1,740 37,497 Techne Corp. .............. 550 34,381 Varian, Inc.*.............. 420 21,504 ----------- TOTAL LIFE SCIENCES TOOLS & SERVICES 256,603 ----------- MACHINERY 4.6% AGCO Corp.*................ 1,360 38,230 Bucyrus International, Inc. -- Class A......... 1,100 48,862 Crane Co. ................. 690 19,216 Donaldson Co., Inc. ....... 1,130 40,307 Federal Signal Corp. ...... 720 4,421 Graco, Inc. ............... 880 24,235 Harsco Corp. .............. 1,180 37,158 IDEX Corp. ................ 1,190 33,832 Joy Global, Inc. .......... 1,500 75,615 Kennametal, Inc. .......... 1,190 28,036 Lincoln Electric Holdings, Inc. ................... 620 29,413 Nordson Corp. ............. 490 25,857 Oshkosh Corp. ............. 1,310 40,951 Pentair, Inc. ............. 1,440 41,904 SPX Corp. ................. 720 38,002 Terex Corp.*............... 1,590 32,150
See Notes to Financial Statements. 40 RYDEXSGI 2X S&P MIDCAP 400 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Timken Co. ................ 1,170 $25,775 Trinity Industries, Inc. .. 1,160 19,581 Valmont Industries, Inc. .. 290 20,958 Wabtec Corp. .............. 700 25,732 ----------- TOTAL MACHINERY 650,235 ----------- MARINE 0.3% Alexander & Baldwin, Inc. ................... 600 17,298 Kirby Corp.*............... 790 26,702 ----------- TOTAL MARINE 44,000 ----------- MEDIA 0.9% DreamWorks Animation SKG, Inc. -- Class A*........ 1,110 35,520 Harte-Hanks, Inc. ......... 560 6,574 John Wiley & Sons, Inc.- Class A................. 630 22,189 Lamar Advertising Co. -- Class A*......... 780 18,954 Marvel Entertainment, Inc.*................... 720 35,978 Scholastic Corp. .......... 370 9,202 ----------- TOTAL MEDIA 128,417 ----------- METALS & MINING 1.4% Carpenter Technology Corp. .................. 650 13,670 Cliffs Natural Resources, Inc. ................... 1,920 68,294 Commercial Metals Co. ..... 1,650 24,486 Reliance Steel & Aluminum Co. .................... 940 34,291 Steel Dynamics, Inc. ...... 3,160 42,312 Worthington Industries, Inc. ................... 890 9,835 ----------- TOTAL METALS & MINING 192,888 ----------- MULTI-UTILITIES 1.7% Alliant Energy Corp. ...... 1,630 43,293 MDU Resources Group, Inc. ................... 2,700 56,025 NSTAR...................... 1,570 48,592 OGE Energy Corp. .......... 1,420 47,172 PNM Resources, Inc. ....... 1,270 13,614 Vectren Corp. ............. 1,190 26,823 ----------- TOTAL MULTI-UTILITIES 235,519 ----------- MULTILINE RETAIL 0.6% 99 Cents Only Stores*...... 660 7,504 Dollar Tree, Inc.*......... 1,310 59,120 Saks, Inc.*................ 2,340 13,128 ----------- TOTAL MULTILINE RETAIL 79,752 ----------- OFFICE ELECTRONICS 0.2% Zebra Technologies Corp. -- Class A*....... 870 21,750 ----------- TOTAL OFFICE ELECTRONICS 21,750 ----------- OIL, GAS & CONSUMABLE FUELS 3.3% Arch Coal, Inc. ........... 2,390 51,768 Bill Barrett Corp.*........ 570 17,659 Cimarex Energy Co. ........ 1,230 48,167 Comstock Resources, Inc.*.. 680 27,941 Encore Acquisition Co.*.... 820 30,397 Forest Oil Corp.*.......... 1,650 32,340 Frontier Oil Corp. ........ 1,540 21,344 Mariner Energy, Inc.*...... 1,500 19,110 Newfield Exploration Co.*.. 1,950 79,989 Overseas Shipholding Group, Inc. ................... 340 13,345 Patriot Coal Corp.*........ 1,100 12,430 Plains Exploration & Production Co.*......... 2,050 54,325 Quicksilver Resources, Inc.*................... 1,740 21,228 Southern Union Co. ........ 1,820 35,617 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 465,660 ----------- PAPER & FOREST PRODUCTS 0.1% Louisiana-Pacific Corp.*... 1,790 9,398 ----------- TOTAL PAPER & FOREST PRODUCTS 9,398 ----------- PERSONAL PRODUCTS 0.5% Alberto-Culver Co. ........ 1,250 33,525 NBTY, Inc.*................ 910 33,133 ----------- TOTAL PERSONAL PRODUCTS 66,658 ----------- PHARMACEUTICALS 0.9% Endo Pharmaceuticals Holdings, Inc.*......... 1,720 38,528 Medicis Pharmaceutical Corp. -- Class A........ 840 17,783 Perrigo Co. ............... 1,170 43,512 Valeant Pharmaceuticals International*.......... 990 29,106 ----------- TOTAL PHARMACEUTICALS 128,929 ----------- REAL ESTATE INVESTMENT TRUSTS (REITS) 5.7% Alexandria Real Estate Equities, Inc. ......... 640 34,669 AMB Property Corp. ........ 2,150 47,257 BRE Properties, Inc. ...... 780 21,239 Camden Property Trust...... 940 34,075 Corporate Office Properties Trust................... 850 28,211 Cousins Properties, Inc. .. 1,370 10,028 Duke Realty Corp. ......... 3,290 36,980 Equity One, Inc. .......... 480 7,162 Essex Property Trust, Inc. ................... 410 30,824 Federal Realty Investment Trust................... 900 53,127 Highwoods Properties, Inc. ................... 1,040 28,621 Hospitality Properties Trust................... 1,790 34,565 Liberty Property Trust..... 1,640 48,167 Macerich Co.(The).......... 1,360 40,528 Mack-Cali Realty Corp. .... 1,150 35,592 Nationwide Health Properties, Inc. ....... 1,570 50,632 Omega Healthcare Investors, Inc. ................... 1,220 18,495 Potlatch Corp. ............ 580 16,188 Rayonier, Inc. ............ 1,160 44,753 Realty Income Corp. ....... 1,530 35,465 Regency Centers Corp. ..... 1,180 39,589 SL Green Realty Corp. ..... 1,130 43,799 UDR, Inc. ................. 2,210 31,780 Weingarten Realty Investors............... 1,530 28,305 ----------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 800,051 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2% Jones Lang LaSalle, Inc. .. 610 28,579 ----------- TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 28,579 ----------- ROAD & RAIL 1.0% Con-way, Inc. ............. 720 23,753 J.B. Hunt Transport Services, Inc. ......... 1,290 38,777 Kansas City Southern*...... 1,390 33,680 Landstar System, Inc. ..... 750 26,430 Werner Enterprises, Inc. .. 640 12,000 ----------- TOTAL ROAD & RAIL 134,640 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.0% Atmel Corp.*............... 6,630 24,663 Cree, Inc.*................ 1,480 62,308 Fairchild Semiconductor International, Inc.*.... 1,820 13,614 Integrated Device Technology, Inc.*....... 2,430 14,288 International Rectifier Corp.*.................. 1,050 19,194
See Notes to Financial Statements. ANNUAL REPORT 41 RYDEXSGI 2X S&P MIDCAP 400 ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONCLUDED) Intersil Corp. -- Class A.. 1,800 $22,590 Lam Research Corp.*........ 1,860 62,719 RF Micro Devices, Inc.*.... 3,920 15,602 Semtech Corp.*............. 900 13,923 Silicon Laboratories, Inc.*................... 660 27,654 ----------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 276,555 ----------- SOFTWARE 3.2% ACI Worldwide, Inc.*....... 500 8,045 Advent Software, Inc.*..... 230 8,791 Ansys, Inc.*............... 1,290 52,348 Cadence Design Systems, Inc.*................... 3,910 23,890 Factset Research Systems, Inc. ................... 620 39,711 Fair Isaac Corp. .......... 720 14,638 Informatica Corp.*......... 1,300 27,599 Jack Henry & Associates, Inc. ................... 1,240 28,607 Mentor Graphics Corp.*..... 1,440 10,512 MICROS Systems, Inc.*...... 1,180 31,766 Parametric Technology Corp.*.................. 1,710 25,496 Quest Software, Inc.*...... 890 14,925 Rovi Corp.*................ 1,490 41,050 Solera Holdings, Inc. ..... 1,020 32,864 Sybase, Inc.*.............. 1,190 47,076 Synopsys, Inc.*............ 2,140 47,080 ----------- TOTAL SOFTWARE 454,398 ----------- SPECIALTY RETAIL 4.6% Aaron's, Inc. ............. 800 20,040 Advance Auto Parts, Inc. .. 1,400 52,164 Aeropostale, Inc.*......... 990 37,155 American Eagle Outfitters, Inc. ................... 3,050 53,344 AnnTaylor Stores Corp.*.... 860 11,154 Barnes & Noble, Inc. ...... 580 9,634 CarMax, Inc.*.............. 3,240 63,731 Chico's FAS, Inc.*......... 2,610 31,189 Coldwater Creek, Inc.*..... 850 4,888 Collective Brands, Inc.*... 940 17,437 Dick's Sporting Goods, Inc.*................... 1,290 29,270 Foot Locker, Inc. ......... 2,300 24,104 Guess?, Inc. .............. 850 31,068 J. Crew Group, Inc.*....... 820 33,440 PetSmart, Inc. ............ 1,840 43,295 Rent-A-Center, Inc.*....... 970 17,809 Ross Stores, Inc. ......... 1,840 80,978 Urban Outfitters, Inc.*.... 1,900 59,622 Williams-Sonoma, Inc. ..... 1,550 29,109 ----------- TOTAL SPECIALTY RETAIL 649,431 ----------- TEXTILES, APPAREL & LUXURY GOODS 0.9% Fossil, Inc.*.............. 710 18,978 Hanesbrands, Inc.*......... 1,390 30,052 Phillips-Van Heusen Corp. .................. 760 30,514 Timberland Co. -- Class A*...................... 660 10,679 Under Armour, Inc. -- Class A*...................... 550 14,767 Warnaco Group, Inc.*....... 670 27,155 ----------- TOTAL TEXTILES, APPAREL & LUXURY GOODS 132,145 ----------- THRIFTS & MORTGAGE FINANCE 1.0% Astoria Financial Corp. ... 1,200 11,976 First Niagara Financial Group, Inc. ............ 2,690 34,540 New York Community Bancorp, Inc. ................... 5,140 55,460 NewAlliance Bancshares, Inc. ................... 1,570 17,396 Washington Federal, Inc. .. 1,600 27,440 ----------- TOTAL THRIFTS & MORTGAGE FINANCE 146,812 ----------- TOBACCO 0.1% Universal Corp. ........... 360 14,972 ----------- TOTAL TOBACCO 14,972 ----------- TRADING COMPANIES & DISTRIBUTORS 0.4% GATX Corp. ................ 680 18,483 MSC Industrial Direct Co. -- Class A.......... 640 27,552 United Rentals, Inc.*...... 880 8,351 ----------- TOTAL TRADING COMPANIES & DISTRIBUTORS 54,386 ----------- WATER UTILITIES 0.2% Aqua America, Inc. ........ 2,000 30,900 ----------- TOTAL WATER UTILITIES 30,900 ----------- WIRELESS TELECOMMUNICATION SERVICES 0.4% Syniverse Holdings, Inc.*.. 1,010 17,301 Telephone & Data Systems, Inc. ................... 1,390 41,173 ----------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 58,474 ----------- TOTAL COMMON STOCKS (Cost $9,191,338) 12,108,063 ----------- TOTAL INVESTMENTS 86.3% (B) (Cost $9,191,338) 12,108,063 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--13.7% 1,915,319 ----------- NET ASSETS--100.0% $14,023,382 - ------------------------------------------------------ UNREALIZED CONTRACTS LOSS - ------------------------------------------------------ FUTURES CONTRACTS PURCHASED December 2009 S&P MidCap 400 Index E-Mini Futures Contracts (Aggregate Market Value of Contracts $5,910,300)(b).......... 90 $(289,323) - ------------------------------------------------------ UNREALIZED UNITS LOSS - ------------------------------------------------------ EQUITY INDEX SWAP AGREEMENTS PURCHASED Credit Suisse First Boston October 2009 S&P MidCap 400 Index Swap, Terminating 10/30/09 (Notional Market Value $5,743,906)**(c)........ 8,714 $(3) Goldman Sachs International October 2009 S&P MidCap 400 Index Swap, Terminating 10/30/09 (Notional Market Value $4,223,490)**(c)........ 6,407 (3) ----------- (TOTAL NOTIONAL MARKET VALUE $9,967,396)................ $(6) - ------------------------------------------------------
* Non-Income Producing Security. ** Price return based on S&P MidCap 400 Index +/- financing at a variable rate. (a) Amount represents less than 0.05% of net assets. (b) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (c) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. REIT--Real Estate Investment Trust See Notes to Financial Statements. 42 RYDEXSGI INVERSE 2X S&P MIDCAP 400 ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
FACE MARKET AMOUNT VALUE - ------------------------------------------------------ REPURCHASE AGREEMENTS 71.5% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $4,035,003 on 11/02/09 collateralized by $3,980,000 FHLB at 4.500% due 09/13/19 with a value of $4,119,300... $4,035,000 $4,035,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $4,035,000) 4,035,000 ---------- TOTAL INVESTMENTS 71.5% (A) (Cost $4,035,000) 4,035,000 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--28.5% 1,605,912 ---------- NET ASSETS--100.0% $5,640,912 - ------------------------------------------------------ UNREALIZED CONTRACTS GAIN - ------------------------------------------------------ FUTURES CONTRACTS SOLD SHORT December 2009 S&P MidCap 400 Index E-Mini Futures Contracts (Aggregate Market Value of Contracts $2,626,800)(a).......... 40 $72,534 - ------------------------------------------------------ UNREALIZED UNITS GAIN/LOSS - ------------------------------------------------------ EQUITY INDEX SWAP AGREEMENTS SOLD SHORT Credit Suisse First Boston October 2009 S&P MidCap 400 Index Swap, Terminating 10/30/09 (Notional Market Value $6,400,696)*(b)......... 9,711 $0 Goldman Sachs October 2009 S&P MidCap 400 Index Swap, Terminating 10/30/09 (Notional Market Value $2,259,698)*(b)......... 3,428 0 ---------- (TOTAL NOTIONAL MARKET VALUE $8,660,394)................ $0 - ------------------------------------------------------
* Price return based on S&P MidCap 400 Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FHLB--Federal Home Loan Bank. See Notes to Financial Statements. ANNUAL REPORT 43 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS 84.5% AEROSPACE & DEFENSE 1.4% AAR Corp.*................. 855 $16,767 Aerovironment, Inc.*....... 292 7,785 American Science & Engineering, Inc. ...... 201 13,290 Applied Signal Technology, Inc. ................... 291 5,963 Argon ST, Inc.*............ 301 5,599 Ascent Solar Technologies, Inc.*................... 342 1,727 Astronics Corp.*........... 201 1,666 Ceradyne, Inc.*............ 573 9,237 Cubic Corp. ............... 342 11,871 Curtiss-Wright Corp. ...... 1,005 29,969 DigitalGlobe, Inc.*........ 322 7,190 Ducommun, Inc. ............ 231 3,932 DynCorp International, Inc. -- Class A*........ 543 9,231 Esterline Technologies Corp.*.................. 654 27,540 GenCorp, Inc.*............. 1,117 8,310 HEICO Corp. ............... 513 19,509 Herley Industries, Inc.*... 301 3,404 Hexcel Corp.*.............. 2,142 23,562 Ladish Co., Inc.*.......... 352 4,562 LMI Aerospace, Inc.*....... 191 2,057 Moog, Inc. -- Class A*..... 945 23,597 Orbital Sciences Corp.*.... 1,247 16,061 Stanley, Inc.*............. 252 7,119 Taser International, Inc.*................... 1,368 5,595 Teledyne Technologies, Inc.*................... 795 27,157 Todd Shipyards Corp. ...... 131 2,185 Triumph Group, Inc. ....... 372 17,413 ----------- TOTAL AEROSPACE & DEFENSE 312,298 ----------- AIR FREIGHT & LOGISTICS 0.2% Air Transport Services Group, Inc.*............ 1,227 3,178 Atlas Air Worldwide Holdings, Inc.*......... 382 10,043 Dynamex, Inc.*............. 211 3,910 Forward Air Corp. ......... 643 13,722 HUB Group, Inc. -- Class A*...................... 825 20,509 Pacer International, Inc. ................... 775 2,216 ----------- TOTAL AIR FREIGHT & LOGISTICS 53,578 ----------- AIRLINES 0.6% Airtran Holdings, Inc.*.... 2,656 11,235 Alaska Air Group, Inc.*.... 805 20,705 Allegiant Travel Co.*...... 342 12,897 Hawaiian Holdings, Inc.*... 1,147 8,132 JetBlue Airways Corp.*..... 5,613 27,840 Republic Airways Holdings, Inc.*................... 765 6,128 SkyWest, Inc. ............. 1,237 17,281 UAL Corp.*................. 3,189 20,760 US Airways Group, Inc.*.... 3,160 9,670 ----------- TOTAL AIRLINES 134,648 ----------- AUTO COMPONENTS 0.6% American Axle & Manufacturing Holdings, Inc. ................... 955 5,720 Amerigon, Inc.*............ 473 3,041 ArvinMeritor, Inc. ........ 1,639 12,801 China Automotive Systems, Inc.*................... 100 1,036 Cooper Tire & Rubber Co. .. 1,307 19,945 Dana Holding Corp.*........ 2,214 12,531 Dorman Products, Inc.*..... 251 3,670 Drew Industries, Inc.*..... 403 7,713 Exide Technologies*........ 1,116 6,830 Fuel Systems Solutions, Inc.*................... 302 9,887 Hawk Corp. -- Class A*..... 121 1,684 Modine Manufacturing Co. .. 725 7,468 Raser Technologies, Inc.*.. 1,368 1,614 Spartan Motors, Inc. ...... 715 3,568 Standard Motor Products, Inc. ................... 343 2,867 Stoneridge, Inc.*.......... 332 2,440 Superior Industries International, Inc. .... 513 6,813 Tenneco, Inc.*............. 1,046 14,247 Wonder Auto Technolgy, Inc.*................... 322 4,167 ----------- TOTAL AUTO COMPONENTS 128,042 ----------- AUTOMOBILES 0.0%(A) Winnebago Industries, Inc.*................... 644 7,406 ----------- TOTAL AUTOMOBILES 7,406 ----------- BEVERAGES 0.1% Boston Beer Co., Inc. -- Class A*........ 191 7,258 Coca-Cola Bottling Co. Consolidated............ 91 4,087 Heckmann Corp.*............ 1,771 7,544 National Beverage Corp.*... 241 2,639 ----------- TOTAL BEVERAGES 21,528 ----------- BIOTECHNOLOGY 3.0% Acorda Therapeutics, Inc.*................... 845 18,362 Affymax, Inc.*............. 302 6,082 Alkermes, Inc.*............ 2,092 16,673 Allos Therapeutics, Inc.*.. 1,378 7,786 Alnylam Pharmaceuticals, Inc.*................... 795 13,547 Amicus Therapeutics, Inc.*................... 332 1,275 Arena Pharmaceuticals, Inc.*................... 2,052 7,244 Ariad Pharmaceuticals, Inc.*................... 2,414 4,345 ArQule, Inc.*.............. 915 3,065 Array BioPharma, Inc.*..... 1,066 1,908 AVI BioPharma, Inc.*....... 2,123 3,121 BioCryst Pharmaceuticals, Inc.*................... 473 4,224 Cardium Therapeutics, Inc.*................... 921 635 Celera Corp.*.............. 1,811 11,210 Cell Therapeutics, Inc.*... 11,880 11,286 Celldex Therapeutics Inc*.. 553 2,411 Cepheid, Inc.*............. 1,287 17,078 Chelsea Therapeutics International, Ltd.*.... 583 1,609 Clinical Data, Inc.*....... 251 3,961 Cubist Pharmaceuticals, Inc.*................... 1,277 21,632 Curis, Inc.*............... 1,409 2,804 Cytokinetics, Inc.*........ 966 3,082 Cytori Therapeutics, Inc.*................... 644 2,119 Dyax Corp.*................ 1,479 4,644 Emergent Biosolutions, Inc.*................... 362 5,220 Enzon Pharmaceuticals, Inc.*................... 1,006 8,440 Facet Biotech Corp.*....... 543 9,302 Genomic Health, Inc.*...... 312 5,794 Geron Corp.*............... 1,972 12,049 GTx, Inc.*................. 423 3,798 Halozyme Therapeutics, Inc.*................... 1,499 9,084 Hemispherx Biopharma, Inc.*................... 2,606 3,779 Human Genome Sciences, Inc.*................... 3,602 67,321 Idenix Pharmaceuticals, Inc.*................... 694 1,541 Idera Pharmaceuticals, Inc.*................... 483 2,579 Immunogen, Inc.*........... 1,220 8,162 Immunomedics, Inc.*........ 1,448 5,155 Incyte Corp.*.............. 1,579 9,300 Infinity Pharmaceuticals, Inc.*................... 393 2,193 Insmed, Inc.*.............. 2,766 1,936 InterMune, Inc.*........... 845 10,208 Isis Pharmaceuticals, Inc.*................... 2,062 26,125 Lexicon Pharmaceuticals, Inc.*................... 1,771 2,320
See Notes to Financial Statements. 44 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Ligand Pharmaceuticals, Inc. -- Class B*........ 2,515 $4,275 MannKind Corp.*............ 1,278 6,671 Martek Biosciences Corp.*.. 734 13,183 Maxygen, Inc.*............. 563 3,142 Medivation, Inc.*.......... 634 16,180 Metabolix, Inc.*........... 432 4,380 Micromet, Inc.*............ 1,267 6,474 Molecular Insight Pharmaceuticals, Inc.*.. 373 1,790 Momenta Pharmaceuticals, Inc.*................... 775 7,068 Myriad Pharmaceuticals, Inc.*................... 533 2,942 Nabi Biopharmaceuticals*... 1,137 3,695 Nanosphere, Inc.*.......... 231 1,543 Neurocrine Biosciences, Inc.*................... 865 1,920 NeurogesX, Inc.*........... 231 1,823 Novavax, Inc.*............. 1,471 5,649 NPS Pharmaceuticals, Inc.*................... 1,056 3,347 OncoGenex Pharmaceutical, Inc.*................... 100 2,911 Onyx Pharmaceuticals, Inc.*................... 1,368 36,389 Opko Health, Inc.*......... 966 2,096 Orexigen Therapeutics, Inc.*................... 593 3,831 Osiris Therapeutics, Inc.*................... 372 2,362 OXiGENE, Inc.*............. 815 921 PDL BioPharma, Inc. ....... 2,646 22,253 Pharmasset, Inc.*.......... 463 8,695 Poniard Pharmaceuticals, Inc.*................... 513 3,360 Progenics Pharmaceuticals, Inc.*................... 593 2,485 Protalix BioTherapeutics, Inc.*................... 765 7,252 Regeneron Pharmaceuticals, Inc.*................... 1,398 21,949 Repligen Corp.*............ 684 3,338 Rigel Pharmaceuticals, Inc.*................... 880 5,641 Sangamo Biosciences, Inc.*................... 915 4,868 Savient Pharmaceuticals, Inc.*................... 1,348 16,985 SciClone Pharmaceuticals, Inc.*................... 795 1,956 Seattle Genetics, Inc.*.... 1,841 16,716 SIGA Technologies, Inc.*... 573 3,656 Spectrum Pharmaceuticals, Inc.*................... 890 3,693 StemCells, Inc.*........... 2,284 2,604 Synta Pharmaceuticals Corp.*.................. 362 995 Theravance, Inc.*.......... 1,177 16,443 Vanda Pharmaceuticals, Inc.*................... 593 6,049 Vical, Inc.*............... 945 2,911 Zymogenetics, Inc.*........ 835 3,883 ----------- TOTAL BIOTECHNOLOGY 652,733 ----------- BUILDING PRODUCTS 0.5% AAON, Inc. ................ 272 4,899 American Woodmark Corp. ... 231 4,544 Ameron International Corp. .................. 201 11,855 Apogee Enterprises, Inc. .. 614 8,129 Builders FirstSource, Inc.*................... 362 1,408 Gibraltar Industries, Inc. ................... 594 6,427 Griffon Corp.*............. 965 8,463 Insteel Industries, Inc. .. 392 4,359 NCI Building Systems, Inc.*................... 433 849 Quanex Building Products Corp. .................. 835 12,416 Simpson Manufacturing Co., Inc. ................... 845 19,765 Trex Co., Inc.*............ 342 5,441 Universal Forest Products, Inc. ................... 423 15,093 ----------- TOTAL BUILDING PRODUCTS 103,648 ----------- CAPITAL MARKETS 2.0% Allied Capital Corp. ...... 3,963 12,365 American Capital, Ltd.*.... 6,197 16,608 Apollo Investment Corp. ... 3,617 32,553 Ares Capital Corp. ........ 2,158 22,530 BGC Partners, Inc. -- Class A....................... 1,026 4,956 BlackRock Kelso Capital Corp. .................. 282 2,061 Broadpoint Gleacher Securities, Inc.*....... 1,147 7,306 Calamos Asset Management, Inc. -- Class A......... 433 4,590 Capital Southwest Corp. ... 70 5,198 Cohen & Steers, Inc. ...... 382 7,384 Diamond Hill Investment Group, Inc.*............ 50 2,623 Duff & Phelps Corp. -- Class A........ 362 6,223 E*TRADE Financial Corp.*... 22,587 32,977 Epoch Holding Corp. ....... 281 2,610 Evercore Partners, Inc. -- Class A......... 231 7,540 FBR Capital Markets Corp.*.................. 402 2,452 GAMCO Investors, Inc. -- Class A......... 161 6,793 GFI Group, Inc. ........... 1,438 7,406 Gladstone Capital Corp. ... 463 3,801 Gladstone Invt Corp. ...... 493 2,490 Harris & Harris Group, Inc.*................... 573 2,458 Hercules Technology Growth Capital, Inc. .......... 785 7,363 International Assets Holding Corp.*.......... 282 5,073 JMP Group, Inc. ........... 322 2,711 Kayne Anderson Energy Development Co. ........ 221 2,760 KBW, Inc.*................. 775 21,700 Knight Capital Group, Inc. -- Class A*........ 2,062 34,745 Kohlberg Capital Corp. .... 403 2,140 LaBranche & Co., Inc.*..... 1,227 3,387 Main Street Capital Corp. .................. 161 2,140 MCG Capital Corp.*......... 1,449 5,782 MF Global, Ltd.*........... 2,143 15,258 MVC Capital, Inc. ......... 483 4,434 NGP Capital Resources Co. .................... 483 3,458 Oppenheimer Holdings, Inc. ................... 211 5,380 optionsXpress Holdings, Inc. ................... 935 14,614 PennantPark Investment Corp. .................. 464 3,587 Penson Worldwide, Inc.*.... 433 4,222 Piper Jaffray Cos., Inc.*.. 433 20,087 Prospect Capital Corp. .... 1,144 11,360 Pzena Investment Management, Inc. -- Class A*........ 171 1,262 Riskmetrics Group, Inc.*... 483 7,095 Safeguard Scientifics, Inc.*................... 453 4,412 Sanders Morris Harris Group, Inc. ............ 423 2,458 Stifel Financial Corp.*.... 660 34,294 SWS Group, Inc. ........... 533 7,132 Thomas Weisel Partners Group, Inc.*............ 463 2,097 TICC Capital Corp. ........ 595 2,927 TradeStation Group, Inc.*.. 735 5,674 Triangle Capital Corp. .... 193 2,313 U.S. Global Investors, Inc. -- Class A......... 282 2,817 Virtus Investment Partners, Inc.*................... 131 1,920 Westwood Holdings Group, Inc. ................... 121 4,270 ----------- TOTAL CAPITAL MARKETS 441,796 ----------- CHEMICALS 1.8% A. Schulman, Inc. ......... 513 8,911 American Vanguard Corp. ... 433 3,594 Arch Chemicals, Inc. ...... 553 15,313 Balchem Corp. ............. 403 11,119 Calgon Carbon Corp.*....... 1,217 19,277 China Green Agriculture, Inc.*................... 221 2,435 Ferro Corp. ............... 996 6,105
See Notes to Financial Statements. ANNUAL REPORT 45 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) H.B. Fuller Co. ........... 1,076 $20,562 Hawkins, Inc. ............. 191 4,015 ICO, Inc.*................. 613 2,354 Innophos Holdings, Inc. ... 382 7,392 Innospec, Inc. ............ 523 6,182 Koppers Holdings, Inc. .... 453 11,832 Landec Corp.*.............. 583 3,813 LSB Industries, Inc.*...... 382 4,737 Minerals Technologies, Inc. ................... 413 20,344 NewMarket Corp. ........... 221 20,664 NL Industries, Inc. ....... 151 936 Olin Corp. ................ 1,730 26,417 OM Group, Inc.*............ 674 18,211 Omnova Solutions, Inc.*.... 975 6,250 PolyOne Corp.*............. 2,042 11,394 Quaker Chemical Corp. ..... 241 4,965 Rockwood Holdings, Inc.*... 1,096 21,789 Sensient Technologies Corp. .................. 1,077 27,237 ShengdaTech, Inc.*......... 623 3,769 Solutia, Inc.*............. 2,635 28,985 Spartech Corp. ............ 674 6,450 Stepan Co. ................ 161 9,216 Westlake Chemical Corp. ... 433 10,518 WR Grace & Co.*............ 1,599 35,002 Zep, Inc. ................. 473 8,088 Zoltek Cos., Inc.*......... 614 5,471 ----------- TOTAL CHEMICALS 393,347 ----------- COMMERCIAL BANKS 4.9% 1st Source Corp. .......... 332 4,920 Alliance Financial Corp. .. 91 2,370 American National Bankshares, Inc. ....... 131 2,807 Ameris Bancorp............. 302 1,779 Ames Natl Corp. ........... 141 2,961 Arrow Financial Corp. ..... 211 5,366 Auburn National Bancorporation, Inc. ... 51 998 Bancfirst Corp. ........... 141 5,092 Banco Latinoamericano de Comercio Exterior, S.A. -- Class E......... 604 8,522 Bancorp Rhode Island, Inc. ................... 81 2,067 Bancorp, Inc. (The)*....... 443 2,259 Bank of Kentucky Financial Corp. (The)............. 70 1,515 Bank of Marin Bancorp...... 111 3,664 Bank of the Ozarks, Inc. .. 291 6,620 Banner Corp. .............. 372 1,142 Bar Harbor Bankshares...... 61 1,732 Boston Private Financial Holdings, Inc. ......... 1,499 8,919 Bridge Bancorp, Inc. ...... 141 2,992 Bryn Mawr Bank Corp. ...... 151 2,416 Camden National Corp. ..... 171 5,255 Cape Bancorp, Inc.*........ 261 1,853 Capital City Bank Group, Inc. ................... 261 3,064 Cardinal Financial Corp. .. 624 5,086 Cathay General Bancorp..... 1,097 9,687 Center Bancorp, Inc. ...... 260 2,023 Centerstate Banks of Florida, Inc. .......... 412 3,102 Central Pacific Financial Corp. .................. 634 894 Century Bancorp, Inc. -- Class A......... 80 1,946 Chemical Financial Corp. .. 473 10,382 Chicopee Bancorp, Inc.*.... 141 1,774 Citizens + Northn Corp. ... 201 2,448 Citizens Holding Co. ...... 91 2,011 Citizens Republic Bancorp, Inc.*................... 2,797 1,684 City Holding Co. .......... 352 10,761 CNB Financial Corp. ....... 191 3,022 CoBiz Financial, Inc. ..... 653 3,115 Columbia Banking System, Inc. ................... 623 9,158 Community Bank System, Inc. ................... 724 13,474 Community Trust Bancorp, Inc. ................... 332 8,174 CVB Financial Corp. ....... 1,881 15,067 Eagle Bancorp, Inc.*....... 240 2,244 East West Bancorp, Inc. ... 2,032 18,349 Enterprise Bancorp, Inc. .. 111 1,184 Enterprise Financial Services Corp. ......... 251 2,141 F.N.B. Corp. .............. 2,525 17,877 Farmers Capital Bank Corp. .................. 141 1,568 Financial Institutions, Inc. ................... 241 2,545 First Bancorp Inc/ME....... 191 2,982 First BanCorp. ............ 1,781 3,366 First Bancorp.............. 322 4,366 First Busey Corp. ......... 573 2,218 First California Financial Group, Inc.*............ 121 502 First Commonwealth Financial Corp. ........ 1,882 9,880 First Community Bancshares, Inc. ................... 312 3,632 First Financial Bancorp.... 1,137 14,417 First Financial Bankshares, Inc. ................... 463 22,432 First Financial Corp. ..... 261 7,238 First Merchants Corp. ..... 463 2,834 First Midwest Bancorp, Inc. ................... 1,077 11,201 First of Long Island Corp. (The)................... 121 2,925 First South Bancorp, Inc. ................... 181 1,917 FirstMerit Corp. .......... 1,831 34,697 German American Bancorp, Inc. ................... 242 3,640 Glacier Bancorp, Inc. ..... 1,358 17,776 Great Southern Bancorp, Inc. ................... 221 5,065 Guaranty Bancorp*.......... 1,167 1,529 Hampton Roads Bankshares, Inc. ................... 412 845 Hancock Holding Co. ....... 523 18,969 Harleysville National Corp. .................. 955 5,501 Heartland Financial USA, Inc. ................... 292 3,749 Heritage Financial Corp. .. 130 1,626 Home Bancorp, Inc.*........ 201 2,414 Home Bancshares, Inc. ..... 340 7,354 IBERIABANK Corp. .......... 453 19,619 Independent Bank Corp. .... 463 9,848 International Bancshares Corp. .................. 1,157 17,181 Investors Bancorp, Inc.*... 1,046 11,339 Lakeland Bancorp, Inc. .... 453 2,754 Lakeland Financial Corp. .. 272 5,595 MainSource Financial Group, Inc. ................... 443 2,583 MB Financial, Inc. ........ 850 15,198 Merchants Bancshares, Inc. ................... 110 2,488 Metro Bancorp, Inc.*....... 101 1,195 Midsouth Bancorp, Inc. .... 101 1,459 Nara Bancorp, Inc. ........ 503 3,702 National Bankshares, Inc. ................... 151 4,094 National Penn Bancshares, Inc. ................... 2,289 12,864 NBT Bancorp, Inc. ......... 755 16,459 Northfield Bancorp, Inc. .. 432 5,370 Northrim BanCorp, Inc. .... 141 2,121 Norwood Financial Corp. ... 40 1,140 Ohio Valley Banc Corp. .... 91 2,016 Old National Bancorp....... 1,590 16,488 Old Point Financial Corp. .................. 41 616 Old Second Bancorp, Inc. .. 241 1,289 Oriental Financial Group... 533 5,676 Orrstown Financial Services, Inc. ......... 111 3,546 Pacific Capital Bancorp.... 1,036 1,336
See Notes to Financial Statements. 46 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Pacific Continental Corp. .................. 282 $3,074 PacWest Bancorp............ 590 10,018 Park National Corp. ....... 241 13,997 Peapack Gladstone Financial Corp. .................. 191 2,517 Penns Woods Bancorp, Inc. ................... 81 2,484 Peoples Bancorp, Inc. ..... 231 2,481 Peoples Financial Corp. ... 81 1,407 Pinnacle Financial Partners, Inc.*......... 734 9,322 Porter Bancorp, Inc. ...... 60 955 Premierwest Bancorp........ 483 923 PrivateBancorp, Inc. ...... 775 7,076 Prosperity Bancshares, Inc. ................... 1,025 36,685 Renasant Corp. ............ 463 6,778 Republic Bancorp, Inc. -- Class A......... 211 3,880 Republic First Bancorp, Inc.*................... 161 708 S&T Bancorp, Inc. ......... 523 8,237 S.Y. Bancorp, Inc. ........ 251 5,610 Sandy Spring Bancorp, Inc. ................... 362 4,185 Santander BanCorp*......... 100 1,150 SCBT Financial Corp. ...... 281 7,269 Shore Bancshares, Inc. .... 191 3,115 Sierra Bancorp............. 161 1,406 Signature Bank*............ 895 28,246 Simmons First National Corp. -- Class A........ 312 9,129 Smithtown Bancorp, Inc. ... 322 3,333 South Financial Group, Inc. ................... 3,772 3,018 Southside Bancshares, Inc. ................... 292 6,071 Southwest Bancorp, Inc. ... 322 3,168 State Bancorp Inc/NY....... 322 2,460 StellarOne Corp. .......... 503 5,337 Sterling Bancorp........... 402 2,705 Sterling Bancshares, Inc. ................... 1,821 10,143 Sterling Financial Corp.*.. 1,157 926 Suffolk Bancorp............ 211 5,900 Sun Bancorp, Inc.*......... 301 1,222 Susquehanna Bancshares, Inc. ................... 1,912 10,535 SVB Financial Group*....... 734 30,277 Texas Capital Bancshares, Inc.*................... 785 11,437 Tompkins Financial Corp. .. 181 7,850 Tower Bancorp, Inc. ....... 80 1,805 TowneBank/Portsmouth VA.... 463 5,343 Trico Bancshares........... 311 4,547 Trustmark Corp. ........... 1,268 24,029 UCBH Holdings, Inc. ....... 2,666 2,613 UMB Financial Corp. ....... 714 28,396 Umpqua Holdings Corp. ..... 1,921 19,037 Union Bankshares Corp. .... 330 4,066 United Bankshares, Inc. ... 845 15,083 United Community Banks, Inc.*................... 955 3,877 United Security Bancshares, Inc. ................... 131 2,712 Univest Corp. of Pennsylvania............ 362 6,961 Washington Banking Co. .... 211 1,988 Washington Trust Bancorp, Inc. ................... 312 4,686 Webster Financial Corp. ... 1,509 17,067 WesBanco, Inc. ............ 513 7,259 West Bancorporation, Inc. ................... 342 1,505 Westamerica Bancorp........ 644 30,783 Western Alliance Bancorp*.. 1,016 4,420 Wilber Corp. (The)......... 131 880 Wilshire Bancorp, Inc. .... 423 2,978 Wintrust Financial Corp. .. 533 15,036 Yadkin Valley Financial Corp. .................. 362 1,332 ----------- TOTAL COMMERCIAL BANKS 1,068,517 ----------- COMMERCIAL SERVICES & SUPPLIES 3.6% ABM Industries, Inc. ...... 1,016 19,080 Acacia Research -- Acacia Technologies*........... 705 5,358 ACCO Brands Corp.*......... 1,207 7,314 Administaff, Inc. ......... 463 11,492 Advisory Board Co.(The)*... 342 8,427 American Ecology Corp. .... 402 6,681 American Reprographics Co.*.................... 805 4,830 AMREP Corp.*............... 30 365 APAC Customer Services, Inc.*................... 563 3,631 ATC Technology Corp.*...... 442 9,238 Barrett Business Services, Inc. ................... 171 1,984 Bowne & Co., Inc.*......... 845 5,518 CBIZ, Inc.*................ 975 6,864 CDI Corp. ................. 271 3,301 Cenveo, Inc.*.............. 1,187 8,404 Clean Harbors, Inc.*....... 473 26,701 Comfort Systems USA, Inc. ................... 855 9,319 COMSYS IT Partners, Inc.*.. 332 2,274 Consolidated Graphics, Inc.*................... 221 4,433 Cornell Cos., Inc.*........ 241 5,504 Corporate Executive Board Co.(The)................ 755 18,128 CoStar Group, Inc.*........ 443 17,197 Courier Corp. ............. 221 3,277 CRA International, Inc.*... 241 5,965 Deluxe Corp. .............. 1,136 16,165 Diamond Management & Technology Consultants, Inc. ................... 533 3,155 EnergySolutions, Inc. ..... 1,670 13,928 EnerNOC, Inc.*............. 312 8,964 Ennis, Inc. ............... 573 8,681 Exponent, Inc.*............ 302 7,855 First Advantage Corp. -- Class A*....... 241 4,242 Franklin Covey Co.*........ 282 1,472 Fuel Tech, Inc.*........... 392 4,535 G&K Services, Inc. -- Class A....................... 412 9,126 Geo Group, Inc.(The)*...... 1,137 24,048 GeoEye, Inc.*.............. 412 10,452 GP Strategies Corp.*....... 352 2,478 Healthcare Services Group, Inc. ................... 956 18,881 Heidrick & Struggles International, Inc. .... 373 10,205 Heritage-Crystal Clean, Inc.*................... 60 750 Herman Miller, Inc. ....... 1,187 18,339 Hill International, Inc.*.. 553 3,716 HNI Corp. ................. 996 26,215 Huron Consulting Group, Inc.*................... 473 10,974 ICF International, Inc.*... 191 5,472 ICT Group, Inc.*........... 201 3,186 Innerworkings, Inc.*....... 543 2,796 Interface, Inc. -- Class A....................... 1,076 8,350 Kelly Services, Inc. -- Class A......... 583 6,460 Kforce, Inc.*.............. 634 7,437 Kimball International, Inc. -- Class B......... 714 5,355 Knoll, Inc. ............... 1,046 10,251 Korn/Ferry International*.. 995 15,880 M&F Worldwide Corp.*....... 241 5,128 McGrath RentCorp........... 523 10,329 Metalico, Inc.*............ 734 2,965 Mine Safety Appliances Co. .................... 593 15,116 Mobile Mini, Inc.*......... 785 11,382 MPS Group, Inc.*........... 2,052 27,743 Multi-Color Corp. ......... 231 3,065 Navigant Consulting, Inc.*................... 1,107 15,764 North American Galvanizing & Coating, Inc.*........ 281 1,411
See Notes to Financial Statements. ANNUAL REPORT 47 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Odyssey Marine Exploration, Inc.*................... 1,297 $1,946 On Assignment, Inc.*....... 805 4,862 Perma-Fix Environmental Services, Inc.*......... 1,197 2,825 Resources Connection, Inc.*................... 996 17,201 Rollins, Inc. ............. 975 17,628 Schawk, Inc. .............. 332 3,260 School Specialty, Inc.*.... 413 9,189 Spherion Corp.*............ 1,147 5,678 Standard Parking Corp.*.... 161 2,834 Standard Register Co.(The)................ 392 1,870 Steelcase, Inc. -- Class A....................... 1,579 9,111 SYKES Enterprises, Inc.*... 765 18,161 Team, Inc.*................ 413 6,703 Tetra Tech, Inc.*.......... 1,337 34,401 TrueBlue, Inc.*............ 966 11,689 United Stationers, Inc.*... 523 24,654 Viad Corp. ................ 453 7,928 Volt Information Sciences, Inc.*................... 271 2,198 VSE Corp. ................. 91 3,985 Waste Services, Inc.*...... 393 2,578 Watson Wyatt Worldwide, Inc. -- Class A......... 945 41,183 ----------- TOTAL COMMERCIAL SERVICES & SUPPLIES 787,440 ----------- COMMUNICATIONS EQUIPMENT 2.8% 3Com Corp.*................ 8,581 44,106 Acme Packet, Inc.*......... 865 8,468 ADC Telecommunications, Inc.*................... 2,143 13,908 Adtran, Inc. .............. 1,227 28,270 Airvana, Inc.*............. 553 3,379 Anaren, Inc.*.............. 322 4,708 Arris Group, Inc.*......... 2,746 28,174 Aruba Networks, Inc.*...... 1,307 10,221 Avocent Corp.*............. 985 24,497 Bel Fuse, Inc. -- Class B.. 231 4,181 BigBand Networks, Inc.*.... 785 2,905 Black Box Corp. ........... 392 10,392 Blue Coat Systems, Inc.*... 875 19,495 Cogo Group, Inc.*.......... 514 2,884 Communications Systems, Inc. ................... 131 1,438 Comtech Telecommunications Corp.*.................. 623 20,011 DG FastChannel, Inc.*...... 463 9,709 Digi International, Inc.*.. 543 4,317 Emcore Corp.*.............. 1,669 1,702 EMS Technologies, Inc.*.... 332 5,787 Emulex Corp.*.............. 1,841 18,594 Extreme Networks*.......... 1,972 3,924 Globecomm Systems, Inc.*... 463 3,130 Harmonic, Inc.*............ 2,122 11,141 Harris Stratex Networks, Inc. -- Class A*........ 1,307 8,234 Hughes Communications, Inc.*................... 201 4,687 Infinera Corp.*............ 1,861 13,827 InterDigital, Inc.*........ 966 19,861 Ixia*...................... 694 4,615 KVH Industries, Inc.*...... 311 3,266 Loral Space & Communications, Ltd.*... 241 6,367 NETGEAR, Inc.*............. 764 13,928 Network Equipment Technologies, Inc.*..... 644 2,125 Oplink Communications, Inc.*................... 453 6,718 Opnext, Inc.*.............. 614 1,510 Palm, Inc.*................ 3,300 38,313 Parkervision, Inc.*........ 653 1,809 PC-Tel, Inc.*.............. 413 2,420 Plantronics, Inc. ......... 1,086 26,183 Polycom, Inc.*............. 1,861 39,956 Powerwave Technologies, Inc.*................... 2,927 3,659 Riverbed Technology, Inc.*................... 1,217 24,936 SeaChange International, Inc.*................... 704 4,766 ShoreTel, Inc.*............ 976 6,412 Sonus Networks, Inc.*...... 4,567 8,769 Starent Networks Corp.*.... 865 29,185 Sycamore Networks, Inc.*... 4,265 12,155 Symmetricom, Inc.*......... 966 4,627 Tekelec*................... 1,479 22,215 Utstarcom, Inc.*........... 2,505 4,534 ViaSat, Inc.*.............. 573 16,703 ----------- TOTAL COMMUNICATIONS EQUIPMENT 617,121 ----------- COMPUTERS & PERIPHERALS 0.7% 3PAR, Inc.*................ 604 5,684 ActivIdentity Corp.*....... 1,016 2,306 Adaptec, Inc.*............. 2,696 8,600 Avid Technology, Inc.*..... 624 7,881 Compellent Technologies, Inc.*................... 372 6,823 Cray, Inc.*................ 755 5,632 Electronics for Imaging, Inc.*................... 1,087 12,675 Imation Corp. ............. 654 5,768 Immersion Corp.*........... 623 2,286 Intermec, Inc.*............ 1,378 16,977 Intevac, Inc.*............. 483 4,927 Isilon Systems, Inc.*...... 573 3,008 Netezza Corp.*............. 1,046 9,665 Novatel Wireless, Inc.*.... 674 6,012 Quantum Corp.*............. 4,658 8,617 Rimage Corp.*.............. 211 3,882 Silicon Graphics International Corp.*.... 664 3,958 STEC, Inc.*................ 543 11,577 Stratasys, Inc.*........... 452 7,133 Super Micro Computer, Inc.*................... 503 4,054 Synaptics, Inc.*........... 764 17,190 ----------- TOTAL COMPUTERS & PERIPHERALS 154,655 ----------- CONSTRUCTION & ENGINEERING 0.8% Argan, Inc.*............... 161 1,988 Dycom Industries, Inc.*.... 865 8,546 EMCOR Group, Inc.*......... 1,459 34,461 Furmanite Corp.*........... 815 2,918 Granite Construction, Inc. ................... 755 21,563 Great Lakes Dredge & Dock Corp. .................. 885 5,425 Insituform Technologies, Inc. -- Class A*........ 865 18,338 Integrated Electrical Services, Inc.*......... 131 862 Layne Christensen Co.*..... 433 11,215 MasTec, Inc.*.............. 1,157 13,652 Michael Baker Corp.*....... 171 6,105 MYR Group, Inc.*........... 382 6,563 Northwest Pipe Co.*........ 201 6,050 Orion Marine Group, Inc.*.. 593 11,291 Pike Electric Corp.*....... 372 4,669 Primoris Services Corp. ... 181 1,327 Sterling Construction Co, Inc.*................... 292 4,710 Tutor Perini Corp.*........ 573 10,113 ----------- TOTAL CONSTRUCTION & ENGINEERING 169,796 ----------- CONSTRUCTION MATERIALS 0.1% Headwaters, Inc.*.......... 1,126 4,639 Texas Industries, Inc. .... 523 17,411
See Notes to Financial Statements. 48 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) U.S. Concrete, Inc.*....... 735 $1,183 United States Lime & Minerals, Inc.*......... 40 1,403 ----------- TOTAL CONSTRUCTION MATERIALS 24,636 ----------- CONSUMER FINANCE 0.4% Advance America Cash Advance Centers, Inc. .. 1,016 5,019 Cardtronics, Inc.*......... 292 2,905 Cash America International, Inc. ................... 654 19,790 CompuCredit Holdings Corp.*.................. 362 1,187 Credit Acceptance Corp.*... 131 4,503 Dollar Financial Corp.*.... 533 10,005 Ezcorp, Inc. -- Class A*... 1,005 13,035 First Cash Financial Services, Inc.*......... 513 8,813 First Marblehead Corp (The)*.................. 1,368 2,681 Nelnet, Inc. -- Class A*... 423 5,935 QC Holdings, Inc. ......... 80 416 Rewards Network, Inc. ..... 141 1,517 World Acceptance Corp.*.... 362 9,083 ----------- TOTAL CONSUMER FINANCE 84,889 ----------- CONTAINERS & PACKAGING 0.4% AEP Industries, Inc.*...... 121 4,220 Boise, Inc.*............... 644 3,078 Bway Holding Co.*.......... 171 3,039 Graphic Packaging Holding Co.*.................... 2,475 5,668 Myers Industries, Inc. .... 694 6,086 Rock-Tenn Co. -- Class A... 845 37,011 Silgan Holdings, Inc. ..... 593 31,874 ----------- TOTAL CONTAINERS & PACKAGING 90,976 ----------- DISTRIBUTORS 0.0%(A) Audiovox Corp. -- Class A*...................... 382 2,468 Core-Mark Holding Co., Inc.*................... 211 5,775 ----------- TOTAL DISTRIBUTORS 8,243 ----------- DIVERSIFIED CONSUMER SERVICES 1.0% American Public Education, Inc.*................... 402 12,824 Bridgepoint Education, Inc.*................... 311 4,410 Capella Education Co.*..... 322 22,186 ChinaCast Education Corp.*.................. 653 4,062 Coinstar, Inc.*............ 664 21,075 Corinthian Colleges, Inc.*................... 1,771 28,088 CPI Corp. ................. 111 1,261 Grand Canyon Education, Inc.*................... 352 5,709 Jackson Hewitt Tax Service, Inc. ................... 634 3,113 K12, Inc.*................. 523 8,389 Learning Tree International, Inc.*.... 171 1,860 Lincoln Educational Services Corp.*......... 211 4,182 Mac-Gray Corp.*............ 251 2,041 Matthews International Corp. -- Class A........ 674 24,756 Nobel Learning Communities, Inc.*................... 91 760 Pre-Paid Legal Services, Inc.*................... 161 6,366 Princeton Review, Inc.*.... 322 1,475 Regis Corp. ............... 1,267 20,576 Sotheby's.................. 1,489 23,615 Steiner Leisure, Ltd.*..... 322 11,901 Stewart Enterprises, Inc. -- Class A......... 1,781 8,157 Universal Technical Institute, Inc.*........ 433 7,790 ----------- TOTAL DIVERSIFIED CONSUMER SERVICES 224,596 ----------- DIVERSIFIED FINANCIAL SERVICES 0.5% Ampal-American Israel Corp -- Class A*........ 463 1,065 Asset Acceptance Capital Corp.*.................. 332 2,414 California First National Bancorp................. 40 483 Compass Diversified Holdings................ 523 5,350 Encore Capital Group, Inc.*................... 301 4,506 Fifth Street Finance Corp. .................. 624 6,134 Financial Federal Corp. ... 573 11,701 Life Partners Holdings, Inc. ................... 161 2,735 MarketAxess Holdings, Inc.*................... 704 8,363 Medallion Financial Corp. .................. 332 2,606 NewStar Financial, Inc.*... 613 1,539 PHH Corp.*................. 1,207 19,505 Pico Holdings, Inc.*....... 503 17,072 Portfolio Recovery Associates, Inc.*....... 342 15,780 Primus Guaranty, Ltd.*..... 412 1,405 Resource America, Inc. -- Class A......... 272 1,050 Teton Advisors, Inc.*(d)... 1 -- ----------- TOTAL DIVERSIFIED FINANCIAL SERVICES 101,708 ----------- DIVERSIFIED TELECOMMUNICATION SERVICES 0.6% AboveNet, Inc.*............ 272 13,165 Alaska Communications Systems Group, Inc. .... 976 7,593 Atlantic Tele-Network, Inc. ................... 201 9,214 Cbeyond, Inc.*............. 513 6,849 Cincinnati Bell, Inc.*..... 4,758 14,655 Cogent Communications Group, Inc.*............ 985 9,978 Consolidated Communications Holdings, Inc. ......... 513 7,090 D&E Communications, Inc. .. 322 3,606 General Communication, Inc. -- Class A*........ 935 5,750 Global Crossing, Ltd.*..... 644 7,342 HickoryTech Corp. ......... 291 2,622 Ibasis, Inc.*.............. 604 1,359 inContact, Inc.*........... 603 1,453 Iowa Telecommunications Services, Inc. ......... 724 8,521 Neutral Tandem, Inc.*...... 725 15,290 PAETEC Holding Corp.*...... 2,716 8,800 Premiere Global Services, Inc.*................... 1,347 10,062 SureWest Communications*... 312 2,752 ----------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 136,101 ----------- ELECTRIC UTILITIES 1.1% Allete, Inc. .............. 653 22,104 Central Vermont Public Service Corp. .......... 261 5,061 Cleco Corp. ............... 1,338 33,116 El Paso Electric Co.*...... 996 18,675 Empire District Electric Co.(The)................ 755 13,635 IDACORP, Inc. ............. 1,046 29,382 MGE Energy, Inc. .......... 513 17,965 NorthWestern Corp. ........ 795 19,199 Portland General Electric Co. .................... 1,660 30,860 UIL Holdings Corp. ........ 653 16,769 Unisource Energy Corp. .... 785 22,671 Unitil Corp. .............. 231 4,779 ----------- TOTAL ELECTRIC UTILITIES 234,216 ----------- ELECTRICAL EQUIPMENT 2.0% Acuity Brands, Inc. ....... 955 30,235 Advanced Battery Technologies, Inc.*..... 1,147 3,854 American Superconductor Corp.*.................. 965 32,347 AO Smith Corp. ............ 483 19,141 AZZ, Inc.*................. 271 9,284
See Notes to Financial Statements. ANNUAL REPORT 49 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Baldor Electric Co. ....... 1,036 $26,781 Belden, Inc. .............. 1,036 23,776 Brady Corp. -- Class A..... 1,066 28,867 Broadwind Energy, Inc.*.... 694 4,053 Chase Corp. ............... 131 1,572 China BAK Battery, Inc.*... 835 2,747 Encore Wire Corp. ......... 403 8,362 Ener1, Inc.*............... 1,057 5,274 Energy Conversion Devices, Inc.*................... 1,016 10,942 EnerSys*................... 895 19,780 Evergreen Solar, Inc.*..... 4,164 6,038 Franklin Electric Co., Inc. ................... 513 13,995 FuelCell Energy, Inc.*..... 1,560 5,195 Fushi Copperweld, Inc.*.... 352 2,432 GrafTech International, Ltd.*................... 2,666 35,991 GT Solar International, Inc.*................... 694 3,644 Harbin Electric, Inc.*..... 332 5,289 II-VI, Inc.*............... 553 14,638 LaBarge, Inc.*............. 281 3,119 LSI Industries, Inc. ...... 413 2,887 Microvision, Inc.*......... 1,690 6,270 Orion Energy Systems, Inc.*................... 383 1,459 Polypore International, Inc.*................... 503 5,513 Powell Industries, Inc.*... 171 6,289 Power-One, Inc.*........... 1,709 4,700 PowerSecure International, Inc.*................... 382 3,178 Preformed Line Products Co. .................... 50 1,925 Regal-Beloit Corp. ........ 795 37,270 SatCon Technology Corp.*... 1,559 3,180 Ultralife Corp.*........... 271 992 Valence Technology, Inc.*.. 1,116 1,440 Vicor Corp.*............... 433 2,953 Woodward Governor Co. ..... 1,338 31,456 ----------- TOTAL ELECTRICAL EQUIPMENT 426,868 ----------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.8% Agilysys, Inc. ............ 342 1,611 Anixter International, Inc.*................... 663 27,747 Benchmark Electronics, Inc.*................... 1,448 24,326 Brightpoint, Inc.*......... 1,107 8,159 Checkpoint Systems, Inc.*.. 865 11,738 China Security & Surveillance Technology, Inc.*................... 780 4,079 Cogent, Inc.*.............. 945 9,119 Cognex Corp. .............. 875 14,079 Coherent, Inc.*............ 483 12,138 Comverge, Inc.*............ 423 4,826 CPI International, Inc.*... 161 1,594 CTS Corp. ................. 745 6,675 Daktronics, Inc. .......... 744 5,595 DDi Corp.*................. 321 1,300 DTS, Inc.*................. 383 10,820 Echelon Corp.*............. 715 9,760 Electro Rent Corp. ........ 393 4,209 Electro Scientific Industries, Inc.*....... 603 6,597 FARO Technologies, Inc.*... 372 5,751 ICx Technologies, Inc.*.... 251 1,268 Insight Enterprises, Inc.*................... 1,016 10,688 IPG Photonics Corp.*....... 513 7,008 L-1 Identity Solutions, Inc.*................... 1,659 9,805 Littelfuse, Inc.*.......... 483 13,311 Maxwell Technologies, Inc.*................... 493 8,839 Measurement Specialties, Inc.*................... 322 2,483 Mercury Computer Systems, Inc.*................... 503 5,382 Methode Electronics, Inc. ................... 835 6,054 MTS Systems Corp. ......... 372 9,858 Multi-Fineline Electronix, Inc.*................... 221 6,022 Newport Corp.*............. 805 5,989 OSI Systems, Inc.*......... 342 6,713 PAR Technology Corp.*...... 181 986 Park Electrochemical Corp. .................. 453 10,183 PC Connection, Inc.*....... 211 1,241 PC Mall, Inc.*............. 231 1,638 Plexus Corp.*.............. 875 22,138 Radisys Corp.*............. 513 4,366 RAE Systems, Inc.*......... 895 698 Rofin-Sinar Technologies, Inc.*................... 643 13,792 Rogers Corp.*.............. 343 8,901 Scansource, Inc.*.......... 584 14,828 Smart Modular Technologies WWH, Inc.*.............. 815 3,309 Spectrum Control, Inc.*.... 281 2,374 SYNNEX Corp.*.............. 423 10,884 Technitrol, Inc. .......... 905 7,050 TTM Technologies, Inc.*.... 955 9,712 Universal Display Corp.*... 644 7,316 X-Rite, Inc.*.............. 573 1,146 Zygo Corp.*................ 332 2,294 ----------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 386,399 ----------- ENERGY EQUIPMENT & SERVICES 1.5% Allis-Chalmers Energy, Inc.*................... 1,307 4,548 Basic Energy Services, Inc.*................... 503 3,521 Bolt Technology Corp.*..... 191 1,942 Boots & Coots, Inc.*....... 1,730 2,405 Bristow Group, Inc.*....... 644 18,773 Bronco Drilling Co., Inc.*................... 523 3,305 Cal Dive International, Inc.*................... 995 7,642 CARBO Ceramics, Inc. ...... 423 24,699 Complete Production Services, Inc.*......... 1,288 12,275 Dawson Geophysical Co.*.... 171 4,130 Dril-Quip, Inc.*........... 644 31,292 ENGlobal Corp.*............ 413 1,218 Geokinetics, Inc.*......... 131 2,106 Global Industries Ltd.*.... 2,213 16,133 Gulf Island Fabrication, Inc. ................... 271 5,181 Gulfmark Offshore, Inc.*... 503 13,918 Hercules Offshore, Inc.*... 2,123 10,891 Hornbeck Offshore Services, Inc.*................... 503 12,228 ION Geophysical Corp.*..... 2,353 9,012 Key Energy Services, Inc.*................... 2,736 20,000 Lufkin Industries, Inc. ... 332 18,941 Matrix Service Co.*........ 583 5,171 NATCO Group, Inc. -- Class A*...................... 443 19,350 Natural Gas Services Group, Inc.*................... 271 4,572 Newpark Resources, Inc.*... 1,962 5,906 OYO Geospace Corp.*........ 91 2,389 Parker Drilling Co.*....... 2,575 13,390 PHI, Inc.*................. 292 5,017 Pioneer Drilling Co.*...... 946 6,329 RPC, Inc. ................. 623 5,825 Sulphco, Inc.*............. 1,509 1,509 Superior Well Services, Inc.*................... 311 3,300 T-3 Energy Services, Inc.*................... 281 5,626 TETRA Technologies, Inc.*.. 1,669 15,789 TGC Industries, Inc.*...... 292 1,270 Union Drilling, Inc.*...... 221 1,688
See Notes to Financial Statements. 50 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Vantage Drilling Co.*...... 1,139 $1,879 Willbros Group, Inc.*...... 875 11,497 ----------- TOTAL ENERGY EQUIPMENT & SERVICES 334,667 ----------- FOOD & STAPLES RETAILING 0.8% Andersons, Inc.(The)....... 403 12,505 Arden Group, Inc. -- Class A....................... 30 3,383 Casey's General Stores, Inc. ................... 1,127 35,534 Diedrich Coffee, Inc.*..... 70 1,526 Great Atlantic & Pacific Tea Co., Inc.*.......... 745 7,383 Ingles Markets, Inc. -- Class A......... 281 4,322 Nash Finch Co. ............ 282 8,172 Pantry, Inc.(The)*......... 493 6,956 Pricesmart, Inc. .......... 352 6,794 Ruddick Corp. ............. 955 25,518 Spartan Stores, Inc. ...... 493 6,981 Susser Holdings Corp.*..... 171 2,033 United Natural Foods, Inc.*................... 955 23,025 Village Super Market -- Class A....... 141 4,230 Weis Markets, Inc. ........ 241 8,531 Winn-Dixie Stores, Inc.*... 1,207 13,386 ----------- TOTAL FOOD & STAPLES RETAILING 170,279 ----------- FOOD PRODUCTS 1.2% AgFeed Industries, Inc.*... 613 2,703 Alico, Inc. ............... 81 2,356 American Dairy, Inc.*...... 210 6,077 American Italian Pasta Co. -- Class A*......... 463 12,580 B&G Foods, Inc. -- Class A....................... 440 3,436 Cal-Maine Foods, Inc. ..... 301 8,172 Calavo Growers, Inc. ...... 231 4,123 Chiquita Brands International, Inc.*.... 986 15,963 Darling International, Inc.*................... 1,821 12,656 Diamond Foods, Inc. ....... 363 10,944 Farmer Brothers Co. ....... 151 2,854 Fresh Del Monte Produce, Inc.*................... 905 19,648 Griffin Land & Nurseries, Inc. ................... 71 2,108 Hain Celestial Group, Inc.*................... 905 15,874 HQ Sustainable Maritime Industries, Inc.*....... 221 1,673 Imperial Sugar Co. ........ 271 3,385 J&J Snack Foods Corp. ..... 312 12,221 Lancaster Colony Corp. .... 423 20,549 Lance, Inc. ............... 614 14,810 Lifeway Foods, Inc.*....... 111 1,336 Omega Protein Corp.*....... 413 1,718 Overhill Farms, Inc.*...... 352 1,922 Sanderson Farms, Inc. ..... 453 16,575 Seneca Foods Corp. -- Class A*...................... 211 5,843 Smart Balance, Inc.*....... 1,388 7,329 Synutra International, Inc.*................... 402 4,864 Tootsie Roll Industries, Inc. ................... 533 13,224 TreeHouse Foods, Inc.*..... 695 25,993 Zapata Corp.*.............. 201 1,373 Zhongpin, Inc.*............ 463 6,163 ----------- TOTAL FOOD PRODUCTS 258,472 ----------- GAS UTILITIES 1.1% Chesapeake Utilities Corp. .................. 204 6,463 Laclede Group, Inc. ....... 493 15,140 New Jersey Resources Corp. .................. 935 32,912 Nicor, Inc. ............... 1,005 37,265 Northwest Natural Gas Co. .................... 584 24,417 Piedmont Natural Gas Co., Inc. ................... 1,629 37,923 South Jersey Industries, Inc. ................... 663 23,397 Southwest Gas Corp. ....... 986 24,640 WGL Holdings, Inc. ........ 1,107 36,598 ----------- TOTAL GAS UTILITIES 238,755 ----------- HEALTH CARE EQUIPMENT & SUPPLIES 3.2% Abaxis, Inc.*.............. 483 11,022 Abiomed, Inc.*............. 684 6,190 Accuray, Inc.*............. 875 5,049 Align Technology, Inc.*.... 1,288 20,247 Alphatec Holdings, Inc.*... 734 3,509 American Medical Systems Holdings, Inc.*......... 1,639 25,273 Analogic Corp. ............ 282 10,530 Angiodynamics, Inc.*....... 543 8,199 Aspect Medical Systems, Inc.*................... 383 4,588 Atrion Corp. .............. 31 3,671 ATS Medical, Inc.*......... 1,047 2,816 Bovie Medical Corp.*....... 373 2,988 Cantel Medical Corp.*...... 281 4,513 Cardiac Science Corp.*..... 443 1,551 Cardiovascular Systems, Inc.*................... 201 983 Conceptus, Inc.*........... 674 11,822 CONMED Corp.*.............. 644 13,646 CryoLife, Inc.*............ 624 3,744 Cutera, Inc.*.............. 292 2,631 Cyberonics, Inc.*.......... 604 8,734 Cynosure, Inc. -- Class A*...................... 221 2,214 Delcath Systems, Inc.*..... 503 2,324 DexCom, Inc.*.............. 1,016 6,970 Electro-Optical Sciences, Inc.*................... 443 4,457 Endologix, Inc.*........... 1,067 5,079 EnteroMedics, Inc.*........ 341 193 ev3, Inc.*................. 1,649 19,425 Exactech, Inc.*............ 181 2,715 Greatbatch, Inc.*.......... 513 10,091 Haemonetics Corp.*......... 563 28,995 Hansen Medical, Inc.*...... 563 1,441 HeartWare International, Inc.*................... 121 3,920 Home Diagnostics, Inc.*.... 252 1,575 I-Flow Corp.*.............. 483 6,096 ICU Medical, Inc.*......... 281 9,835 Immucor, Inc.*............. 1,559 27,875 Insulet Corp.*............. 573 6,360 Integra LifeSciences Holdings Corp.*......... 413 12,613 Invacare Corp. ............ 643 14,423 IRIS International, Inc.*.. 393 3,985 Kensey Nash Corp.*......... 181 4,328 MAKO Surgical Corp.*....... 383 3,466 Masimo Corp.*.............. 1,127 29,944 Medical Action Industries, Inc.*................... 312 3,413 Meridian Bioscience, Inc. ................... 895 19,860 Merit Medical Systems, Inc.*................... 614 10,426 Micrus Endovascular Corp.*.................. 352 4,161 Natus Medical, Inc.*....... 623 8,654 Neogen Corp.*.............. 292 9,256 NuVasive, Inc.*............ 805 29,213 NxStage Medical, Inc.*..... 513 2,863 OraSure Technologies, Inc.*................... 1,016 3,312 Orthofix International N.V.*................... 382 12,224 Orthovita, Inc.*........... 1,468 5,138 Palomar Medical Technologies, Inc.*..... 402 4,084 Quidel Corp.*.............. 573 8,194 Rochester Medical Corp.*... 221 2,234
See Notes to Financial Statements. ANNUAL REPORT 51 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Rockwell Medical Technologies, Inc.*..... 312 $2,106 RTI Biologics, Inc.*....... 1,197 4,692 Sirona Dental Systems, Inc.*................... 373 10,037 Somanetics Corp.*.......... 271 4,051 SonoSite, Inc.*............ 382 9,470 Spectranetics Corp.*....... 714 4,070 Stereotaxis, Inc.*......... 574 2,072 STERIS Corp. .............. 1,297 37,950 SurModics, Inc.*........... 342 8,759 Symmetry Medical, Inc.*.... 795 6,336 Synovis Life Technologies, Inc.*................... 252 3,039 Thoratec Corp.*............ 1,247 32,746 TomoTherapy, Inc.*......... 1,025 3,403 TranS1, Inc.*.............. 291 1,155 Utah Medical Products, Inc. ................... 71 2,076 Vascular Solutions, Inc.*.. 362 2,795 Volcano Corp.*............. 1,067 15,311 West Pharmaceutical Services, Inc. ......... 725 28,616 Wright Medical Group, Inc.*................... 845 13,731 Young Innovations, Inc. ... 121 2,862 Zoll Medical Corp.*........ 463 8,992 ----------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 687,331 ----------- HEALTH CARE PROVIDERS & SERVICES 3.0% Air Methods Corp.*......... 241 7,360 Alliance Imaging, Inc.*.... 583 3,172 Allied Healthcare International, Inc.*.... 996 2,649 Allion Healthcare, Inc.*... 483 3,111 Almost Family, Inc.*....... 161 4,886 Amedisys, Inc.*............ 604 24,033 America Service Group, Inc. ................... 181 2,375 American Caresource Holdings, Inc.*......... 231 617 American Dental Partners, Inc.*................... 342 4,066 AMERIGROUP Corp.*.......... 1,167 25,732 AMN Healthcare Services, Inc.*................... 724 6,024 Amsurg Corp.*.............. 683 14,391 Assisted Living Concepts, Inc.- Class A*.......... 221 4,579 Bio-Reference Labs, Inc.*.. 261 8,438 BioScrip, Inc.*............ 857 6,462 Capital Senior Living Corp.*.................. 503 2,661 CardioNet, Inc.*........... 523 3,091 Catalyst Health Solutions, Inc.*................... 815 25,567 Centene Corp.*............. 955 17,028 Chemed Corp. .............. 503 22,796 Chindex International, Inc.*................... 292 4,070 Clarient, Inc.*............ 664 2,151 Continucare Corp.*......... 644 1,687 Corvel Corp.*.............. 161 4,588 Cross Country Healthcare, Inc.*................... 684 5,650 Emergency Medical Services Corp. -- Class A*....... 221 10,612 Emeritus Corp.*............ 442 8,248 Ensign Group, Inc. ........ 241 3,562 Genoptix, Inc.*............ 372 12,942 Gentiva Health Services, Inc.*................... 643 15,432 Hanger Orthopedic Group, Inc.*................... 563 7,792 Health Grades, Inc.*....... 523 2,270 Healthsouth Corp.*......... 1,952 28,519 Healthspring, Inc.*........ 1,086 15,562 Healthways, Inc.*.......... 745 11,980 HMS Holdings Corp.*........ 573 24,599 inVentiv Health, Inc.*..... 744 12,633 IPC The Hospitalist Co, Inc.*................... 353 10,696 Kindred Healthcare, Inc.*.. 865 12,715 Landauer, Inc. ............ 211 10,928 LCA-Vision, Inc.*.......... 362 1,629 LHC Group, Inc.*........... 332 9,266 Magellan Health Services, Inc.*................... 785 25,222 MedCath Corp.*............. 332 2,726 Metropolitan Health Networks, Inc.*......... 895 1,826 Molina Healthcare, Inc.*... 292 5,466 MWI Veterinary Supply, Inc.*................... 241 8,531 National Healthcare Corp. .................. 181 6,511 National Research Corp. ... 40 923 Nighthawk Radiology Holdings, Inc.*......... 473 2,833 NovaMed, Inc.*............. 443 1,785 Odyssey HealthCare, Inc.*.. 734 10,232 Owens & Minor, Inc. ....... 925 37,823 PharMerica Corp.*.......... 674 10,400 Providence Service Corp.*.. 231 2,878 PSS World Medical, Inc.*... 1,317 26,630 Psychiatric Solutions, Inc.*................... 1,247 25,738 RadNet, Inc.*.............. 644 1,565 RehabCare Group, Inc.*..... 412 7,725 Res-Care, Inc.*............ 553 6,653 Skilled Healthcare Group, Inc. -- Class A*........ 433 3,481 Sun Healthcare Group, Inc.*................... 965 8,762 Sunrise Senior Living, Inc.*................... 1,005 4,181 Triple-S Mgmt Corp. -- Class B*....... 453 7,565 Universal American Corp.*.. 603 6,030 US Physical Therapy, Inc.*................... 261 3,664 Virtual Radiologic Corp.*.. 141 1,812 WellCare Health Plans, Inc.*................... 935 24,432 ----------- TOTAL HEALTH CARE PROVIDERS & SERVICES 651,963 ----------- HEALTH CARE TECHNOLOGY 0.7% AMICAS, Inc.*.............. 784 2,470 athenahealth, Inc.*........ 744 27,982 Computer Programs & Systems, Inc. .......... 211 8,913 Eclipsys Corp.*............ 1,247 23,381 MedAssets, Inc.*........... 875 19,197 MedQuist, Inc. ............ 201 1,162 Merge Healthcare, Inc.*.... 613 2,195 Omnicell, Inc.*............ 704 6,927 Phase Forward, Inc.*....... 955 12,520 Quality Systems, Inc. ..... 523 31,913 Transcend Services, Inc.*.. 141 2,573 Vital Images, Inc.*........ 321 3,663 ----------- TOTAL HEALTH CARE TECHNOLOGY 142,896 ----------- HOTELS, RESTAURANTS & LEISURE 2.1% AFC Enterprises, Inc.*..... 563 4,521 Ambassadors Group, Inc. ... 413 5,249 Ameristar Casinos, Inc. ... 563 8,287 Bally Technologies, Inc.*.. 1,207 47,544 Benihana, Inc. -- Class A*...................... 292 1,413 BJ's Restaurants, Inc.*.... 433 6,911 Bluegreen Corp.*........... 321 921 Bob Evans Farms, Inc. ..... 684 17,969 Buffalo Wild Wings, Inc.*.. 402 16,486 California Pizza Kitchen, Inc.*................... 432 5,612 Caribou Coffee Co., Inc.*.. 151 1,237 Carrols Restaurant Group, Inc.*................... 251 1,629 CEC Entertainment, Inc.*... 513 14,985 Cheesecake Factory, Inc.(The)*.............. 1,328 24,143 Churchill Downs, Inc. ..... 211 6,621 CKE Restaurants, Inc. ..... 1,077 9,424
See Notes to Financial Statements. 52 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Cracker Barrel Old Country Store, Inc. ............ 503 $16,674 Denny's Corp.*............. 2,132 4,690 DineEquity, Inc.*.......... 392 8,295 Domino's Pizza, Inc.*...... 815 5,982 Dover Downs Gaming & Entertainment, Inc. .... 312 1,482 Einstein Noah Restaurant Group, Inc.*............ 110 1,432 Frisch's Restaurants, Inc. ................... 50 1,172 Gaylord Entertainment Co.*.................... 765 11,498 Great Wolf Resorts, Inc.*.. 614 2,051 Interval Leisure Group, Inc.*................... 875 9,765 Isle of Capri Casinos, Inc.*................... 342 2,650 Jack in the Box, Inc.*..... 1,267 23,769 Krispy Kreme Doughnuts, Inc.*................... 1,297 4,397 Lakes Entertainment, Inc.*................... 413 1,016 Landry's Restaurants, Inc.*................... 161 1,755 Life Time Fitness, Inc.*... 895 19,287 Luby's, Inc.*.............. 443 1,581 Marcus Corp. .............. 443 5,183 McCormick & Schmick's Seafood Restaurants, Inc.*................... 332 1,999 Monarch Casino & Resort, Inc.*................... 201 1,395 Morgans Hotel Group Co.*... 483 1,604 Multimedia Games, Inc.*.... 593 2,912 O'Charleys, Inc.*.......... 383 2,685 Orient-Express Hotels, Ltd. -- Class A*........ 1,700 14,620 P.F. Chang's China Bistro, Inc.*................... 523 15,266 Papa John's International, Inc.*................... 483 10,867 Peet's Coffee & Tea, Inc.*................... 251 8,534 Pinnacle Entertainment, Inc.*................... 1,328 11,222 Red Lion Hotels Corp.*..... 292 1,393 Red Robin Gourmet Burgers, Inc.*................... 342 5,715 Ruby Tuesday, Inc.*........ 1,439 9,584 Ruth's Hospitality Group Inc*.................... 442 1,375 Shuffle Master, Inc.*...... 1,187 9,270 Sonic Corp.*............... 1,348 12,604 Speedway Motorsports, Inc. ................... 291 3,940 Steak n Shake Co.(The)*.... 543 6,326 Texas Roadhouse, Inc. -- Class A*........ 1,107 10,483 Town Sports International Holdings, Inc.*......... 432 1,283 Universal Travel Group*.... 221 2,581 Vail Resorts, Inc.*........ 653 22,489 Youbet.com, Inc.*.......... 664 1,534 ----------- TOTAL HOTELS, RESTAURANTS & LEISURE 455,312 ----------- HOUSEHOLD DURABLES 1.1% American Greetings Corp. -- Class A........ 875 17,798 Beazer Homes USA, Inc.*.... 865 3,797 Blyth, Inc. ............... 131 4,641 Brookfield Homes Corp.*.... 211 1,188 Cavco Industries, Inc.*.... 141 4,286 CSS Industries, Inc. ...... 171 3,471 Ethan Allen Interiors, Inc. ................... 543 6,766 Furniture Brands International, Inc.*.... 915 3,889 Helen of Troy, Ltd.*....... 663 15,143 Hooker Furniture Corp. .... 241 3,087 Hovnanian Enterprises, Inc. -- Class A*........ 1,147 4,485 iRobot Corp.*.............. 433 5,789 La-Z-Boy, Inc. ............ 1,137 8,073 M/I Homes, Inc.*........... 403 4,502 Meritage Homes Corp.*...... 694 12,659 National Presto Industries, Inc. ................... 110 9,562 NIVS IntelliMedia Technology Group, Inc.*................... 181 434 Ryland Group, Inc. ........ 955 17,715 Sealy Corp.*............... 996 2,888 Skyline Corp. ............. 151 2,641 Standard Pacific Corp.*.... 2,234 6,702 Stanley Furniture Co., Inc. ................... 231 1,816 Tempur-Pedic International, Inc.*................... 1,659 32,135 Tupperware Brands Corp. ... 1,388 62,488 Universal Electronics, Inc.*................... 302 6,221 ----------- TOTAL HOUSEHOLD DURABLES 242,176 ----------- HOUSEHOLD PRODUCTS 0.1% Central Garden & Pet Co. -- Class A*......... 1,378 13,036 Oil-Dri Corp. of America... 111 1,697 Orchids Paper Products Co.*.................... 121 2,166 WD-40 Co. ................. 363 11,431 ----------- TOTAL HOUSEHOLD PRODUCTS 28,330 ----------- INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.1% Black Hills Corp. ......... 855 20,836 U S Geothermal, Inc.*...... 1,378 2,122 ----------- TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 22,958 ----------- INDUSTRIAL CONGLOMERATES 0.3% Otter Tail Corp. .......... 785 18,259 Raven Industries, Inc. .... 352 8,694 Seaboard Corp. ............ 10 13,510 Standex International Corp. .................. 272 4,782 Tredegar Corp. ............ 654 8,914 United Capital Corp.*...... 41 745 ----------- TOTAL INDUSTRIAL CONGLOMERATES 54,904 ----------- INSURANCE 2.8% Ambac Financial Group, Inc. ................... 6,368 7,323 American Equity Investment Life Holding Co. ....... 1,287 8,456 American Physicians Capital, Inc. .......... 211 5,967 American Physicians Service Group, Inc. ............ 141 3,394 American Safety Insurance Holdings, Ltd.*......... 191 2,831 Amerisafe, Inc.*........... 422 7,824 Amtrust Financial Services, Inc. ................... 503 5,674 Argo Group International Holdings, Ltd.*......... 684 23,229 Assured Guaranty, Ltd. .... 2,314 38,366 Baldwin & Lyons, Inc. -- Class B......... 181 4,129 Citizens, Inc.*............ 735 4,432 CNA Surety Corp.*.......... 372 5,379 Conseco, Inc.*............. 4,094 21,330 Crawford & Co. -- Class B*...................... 463 2,306 Delphi Financial Group -- Class A........ 1,026 22,264 Donegal Group, Inc. -- Class A......... 261 3,811 Eastern Insurance Holdings, Inc. ................... 171 1,207 eHealth, Inc.*............. 543 7,727 EMC Insurance Group, Inc. ................... 111 2,284 Employers Holdings, Inc. .. 1,036 15,354 Enstar Group, Ltd.*........ 151 9,211 FBL Financial Group, Inc. -- Class A......... 291 5,864 First Acceptance Corp.*.... 372 818 First Mercury Financial Corp. .................. 312 3,962 Flagstone Reinsurance Holdings, Ltd. ......... 865 9,472 Fpic Insurance Group, Inc.*................... 161 5,447 Greenlight Capital Re, Ltd.*................... 623 11,625
See Notes to Financial Statements. ANNUAL REPORT 53 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Hallmark Financial Services*............... 211 $1,618 Harleysville Group, Inc. .. 292 9,148 Hilltop Holdings, Inc.*.... 875 10,360 Horace Mann Educators Corp. .................. 865 10,752 Independence Holding Co. .. 141 783 Infinity Property & Casualty Corp. ......... 302 11,678 Kansas City Life Insurance Co. .................... 91 2,442 Maiden Holdings, Ltd. ..... 1,107 7,671 Max Capital Group, Ltd. ... 1,026 21,187 Meadowbrook Insurance Group, Inc. ............ 1,277 8,594 Mercer Insurance Group, Inc. ................... 121 2,248 Montpelier Re Holdings, Ltd. ................... 1,912 30,898 National Financial Partners Corp.*.................. 915 7,457 National Interstate Corp. .................. 131 2,372 National Western Life Insurance Co. -- Class A....................... 50 8,808 Navigators Group, Inc.*.... 272 14,435 NYMAGIC, Inc. ............. 110 1,572 Phoenix Cos., Inc.*........ 2,565 8,157 Platinum Underwriters Holdings, Ltd. ......... 1,137 40,670 PMA Capital Corp. -- Class A*...................... 714 3,413 Presidential Life Corp. ... 463 4,320 ProAssurance Corp.*........ 734 36,906 RLI Corp. ................. 413 20,650 Safety Insurance Group, Inc. ................... 292 9,773 SeaBright Insurance Holdings, Inc.*......... 483 5,400 Selective Insurance Group, Inc. ................... 1,167 17,878 State Auto Financial Corp. .................. 321 5,219 Stewart Information Services Corp. ......... 382 3,415 Tower Group, Inc. ......... 895 21,999 United America Indemnity, Ltd. -- Class A*........ 815 5,713 United Fire & Casualty Co. .................... 493 8,618 Universal Insurance Holdings, Inc. ......... 292 1,551 Zenith National Insurance Corp. .................. 825 23,537 ----------- TOTAL INSURANCE 608,928 ----------- INTERNET & CATALOG RETAIL 0.4% 1-800-FLOWERS.COM, Inc. -- Class A*........ 583 2,239 Blue Nile, Inc.*........... 281 16,874 Drugstore.Com*............. 1,922 5,324 Gaiam, Inc. -- Class A*.... 353 2,305 HSN, Inc.*................. 875 13,072 NutriSystem, Inc. ......... 684 14,720 Orbitz Worldwide, Inc.*.... 805 4,210 Overstock.com, Inc.*....... 352 4,928 PetMed Express, Inc. ...... 513 8,049 Shutterfly, Inc.*.......... 463 6,528 Stamps.com, Inc.*.......... 241 2,420 Ticketmaster Entertainment, Inc.*................... 835 8,058 US Auto Parts Network, Inc.*................... 221 1,182 ----------- TOTAL INTERNET & CATALOG RETAIL 89,909 ----------- INTERNET SOFTWARE & SERVICES 1.6% Art Technology Group, Inc.*................... 2,806 11,561 comScore, Inc.*............ 473 7,251 Constant Contact, Inc.*.... 533 8,832 DealerTrack Holdings, Inc.*................... 835 13,761 Dice Holdings, Inc.*....... 352 2,116 Digital River, Inc.*....... 845 19,291 DivX, Inc.*................ 715 3,439 EarthLink, Inc. ........... 2,344 18,986 GSI Commerce, Inc.*........ 613 11,629 Imergent, Inc. ............ 171 1,137 InfoSpace, Inc.*........... 775 6,642 Innodata Isogen, Inc.*..... 473 3,065 Internap Network Services Corp.*.................. 1,127 3,606 Internet Brands, Inc. -- Class A*........ 604 4,494 Internet Capital Group, Inc.*................... 815 5,925 iPass, Inc.*............... 1,117 1,452 j2 Global Communications, Inc.*................... 986 20,164 Keynote Systems, Inc.*..... 271 2,770 Knot, Inc.(The)*........... 664 7,085 Limelight Networks, Inc.*.. 725 2,530 Liquidity Services, Inc.*.. 332 3,194 LivePerson, Inc.*.......... 915 4,602 LoopNet, Inc.*............. 443 3,867 Marchex, Inc. -- Class B... 433 1,962 MercadoLibre, Inc.*........ 573 20,508 ModusLink Global Solutions, Inc.*................... 1,015 8,343 Move, Inc.*................ 3,420 7,011 NIC, Inc. ................. 1,117 9,785 OpenTable, Inc.*........... 70 1,726 Openwave Systems, Inc.*.... 1,842 4,181 Perficient, Inc.*.......... 634 5,161 Rackspace Hosting, Inc.*... 1,469 24,606 RealNetworks, Inc.*........ 1,841 6,572 Saba Software, Inc.*....... 543 2,330 SAVVIS, Inc.*.............. 805 11,906 support.com, Inc.*......... 1,026 2,462 Switch & Data Facilities Co., Inc.*.............. 453 7,579 TechTarget, Inc.*.......... 261 1,644 Terremark Worldwide, Inc.*................... 1,287 8,224 Travelzoo, Inc.*........... 121 1,672 United Online, Inc. ....... 1,851 14,808 ValueClick, Inc.*.......... 1,931 19,001 Vocus, Inc.*............... 363 6,570 Web.com Group, Inc.*....... 583 4,104 Zix Corp.*................. 1,399 2,560 ----------- TOTAL INTERNET SOFTWARE & SERVICES 340,114 ----------- IT SERVICES 2.2% Acxiom Corp.*.............. 1,509 17,323 CACI International, Inc. -- Class A*........ 664 31,620 Cass Information Systems, Inc. ................... 181 5,381 China Information Security Technology, Inc*........ 594 3,802 Ciber, Inc.*............... 1,519 4,891 Computer Task Group, Inc.*................... 332 2,314 CSG Systems International, Inc.*................... 775 12,663 Cybersource Corp.*......... 1,529 25,045 eLoyalty Corp.*............ 141 1,100 Euronet Worldwide, Inc.*... 1,077 25,471 ExlService Holdings, Inc.*................... 332 4,518 Forrester Research, Inc.*.. 342 8,663 Gartner, Inc.*............. 1,308 24,355 Global Cash Access Holdings, Inc.*......... 835 5,286 Hackett Group Inc (The)*... 855 2,668 Heartland Payment Systems, Inc. ................... 835 10,262 iGate Corp. ............... 503 4,441 infoGROUP, Inc.*........... 755 4,953 Information Services Group, Inc.*................... 523 1,883 Integral Systems, Inc.*.... 382 3,209 Lionbridge Technologies, Inc.*................... 1,268 2,650 Mantech International Corp. -- Class A*....... 483 21,184 MAXIMUS, Inc. ............. 392 18,134 MoneyGram International, Inc.*................... 1,831 5,475
See Notes to Financial Statements. 54 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) NCI, Inc. -- Class A*...... 141 $3,794 Ness Technologies, Inc.*... 855 5,634 Online Resources Corp.*.... 563 2,956 Perot Systems Corp. -- Class A*....... 1,932 57,844 RightNow Technologies, Inc.*................... 483 7,371 Sapient Corp.*............. 1,871 15,230 SRA International, Inc. -- Class A*........ 925 17,353 StarTek, Inc.*............. 262 1,520 Syntel, Inc. .............. 282 10,104 TeleTech Holdings, Inc.*... 715 12,791 Tier Technologies, Inc.*... 392 3,207 TNS, Inc.*................. 553 15,628 Unisys Corp.*.............. 824 24,011 VeriFone Holdings, Inc.*... 1,599 21,267 Virtusa Corp.*............. 292 2,622 Wright Express Corp.*...... 845 23,584 ----------- TOTAL IT SERVICES 472,207 ----------- LEISURE EQUIPMENT & PRODUCTS 0.6% Brunswick Corp. ........... 1,952 18,505 Callaway Golf Co. ......... 1,428 9,768 Eastman Kodak Co.*......... 5,945 22,294 JAKKS Pacific, Inc.*....... 623 8,865 Leapfrog Enterprises, Inc.*................... 754 2,488 Marine Products Corp. ..... 221 1,072 Polaris Industries, Inc. .. 674 28,355 Pool Corp. ................ 1,076 21,068 RC2 Corp.*................. 473 6,177 Smith & Wesson Holding Corp.*.................. 1,317 5,624 Sport Supply Group, Inc. .. 201 2,074 Steinway Musical Instruments*............ 151 1,770 Sturm Ruger & Co., Inc. ... 423 4,492 ----------- TOTAL LEISURE EQUIPMENT & PRODUCTS 132,552 ----------- LIFE SCIENCES TOOLS & SERVICES 0.9% Accelrys, Inc.*............ 603 3,274 Affymetrix, Inc.*.......... 1,569 8,206 Albany Molecular Research, Inc.*................... 513 4,176 AMAG Pharmaceuticals, Inc.*................... 373 14,092 BioDelivery Sciences International, Inc.*.... 221 880 Bruker Corp.*.............. 1,086 11,772 Cambrex Corp.*............. 644 3,864 Dionex Corp.*.............. 392 26,609 Enzo Biochem, Inc.*........ 734 4,044 eResearchTechnology, Inc.*................... 945 6,993 Exelixis, Inc.*............ 2,354 14,312 Harvard Bioscience, Inc.*.. 543 1,966 Kendle International, Inc.*................... 332 5,604 Life Sciences Research, Inc.*................... 201 1,695 Luminex Corp.*............. 915 13,469 Nektar Therapeutics*....... 2,052 16,662 Parexel International Corp.*.................. 1,277 15,988 Sequenom, Inc.*............ 1,358 3,748 Varian, Inc.*.............. 634 32,461 ----------- TOTAL LIFE SCIENCES TOOLS & SERVICES 189,815 ----------- MACHINERY 2.4% 3D Systems Corp.*.......... 392 3,457 Actuant Corp. -- Class A... 1,499 23,399 Alamo Group, Inc. ......... 141 1,932 Albany International Corp. -- Class A........ 603 10,046 Altra Holdings, Inc.*...... 593 5,201 American Railcar Industries, Inc. ....... 201 2,010 Ampco-Pittsburgh Corp. .... 191 5,138 Astec Industries, Inc.*.... 402 9,246 Badger Meter, Inc. ........ 331 12,336 Barnes Group, Inc. ........ 1,036 16,421 Blount International, Inc.*................... 845 7,639 Briggs & Stratton Corp. ... 1,106 20,682 Cascade Corp. ............. 201 4,993 Chart Industries, Inc.*.... 633 12,514 China Fire & Security Group, Inc.*............ 312 4,437 CIRCOR International, Inc. ................... 373 10,164 CLARCOR, Inc. ............. 1,127 33,168 Colfax Corp.*.............. 523 5,690 Columbus McKinnon Corp.*... 423 7,001 Dynamic Materials Corp. ... 282 5,437 Eastern Co. (The).......... 131 2,092 Energy Recovery, Inc.*..... 744 4,152 EnPro Industries, Inc.*.... 443 10,003 ESCO Technologies, Inc.*... 583 22,900 Federal Signal Corp. ...... 1,077 6,613 Flanders Corp.*............ 362 1,824 Flow International Corp.*.. 900 2,169 Force Protection, Inc.*.... 1,549 6,816 FreightCar America, Inc. .. 262 6,178 Gorman-Rupp Co. ........... 321 7,925 Graham Corp. .............. 221 3,132 Greenbrier Cos., Inc. ..... 372 3,303 Hurco Cos., Inc.*.......... 141 2,242 John Bean Technologies Corp. .................. 613 10,065 K-Tron International, Inc.*................... 51 4,848 Kadant, Inc.*.............. 271 3,493 Kaydon Corp. .............. 735 25,718 LB Foster Co. -- Class A*.. 221 6,206 Lindsay Corp. ............. 271 8,897 Met-Pro Corp. ............. 322 2,962 Middleby Corp.*............ 362 16,402 Miller Industries, Inc.*... 221 2,221 Mueller Industries, Inc. .. 825 19,519 Mueller Water Products, Inc. -- Class A......... 2,770 12,410 NACCO Industries, Inc. -- Class A......... 121 7,212 Nordson Corp. ............. 745 39,314 Omega Flex, Inc. .......... 61 949 PMFG, Inc.*................ 291 4,211 Portec Rail Products, Inc. ................... 151 1,315 RBC Bearings, Inc.*........ 483 10,389 Robbins & Myers, Inc. ..... 584 13,549 Sauer-Danfoss, Inc. ....... 251 1,807 SmartHeat, Inc.*........... 160 1,430 Sun Hydraulics Corp. ...... 272 5,184 Tecumseh Products Co. -- Class A*......... 412 4,305 Tennant Co. ............... 413 11,011 Titan International, Inc. ................... 784 6,586 Trimas Corp.*.............. 342 1,539 Twin Disc, Inc. ........... 191 1,793 Watts Water Technologies, Inc. -- Class A......... 644 18,193 ----------- TOTAL MACHINERY 521,788 ----------- MARINE 0.2% American Commercial Lines, Inc.*................... 201 4,311 Eagle Bulk Shipping, Inc. ................... 1,369 6,489 Genco Shipping & Trading, Ltd. ................... 573 11,397 Horizon Lines, Inc. -- Class A......... 664 3,486 International Shipholding Corp. .................. 121 4,011
See Notes to Financial Statements. ANNUAL REPORT 55 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) TBS International, Ltd.*... 292 $2,403 Ultrapetrol Bahamas, Ltd.*................... 483 2,367 ----------- TOTAL MARINE 34,464 ----------- MEDIA 0.8% Arbitron, Inc. ............ 583 12,639 Ascent Media Corp. -- Series A*...... 312 7,235 Belo Corp. -- Class A...... 1,982 9,315 Carmike Cinemas, Inc.*..... 241 2,369 Cinemark Holdings, Inc. ... 714 8,275 CKX, Inc.*................. 1,287 8,237 Crown Media Holdings, Inc. -- Class A*........ 241 371 Dolan Media Co.*........... 664 7,928 E.W. Scripps Co. -- Class A*...................... 634 4,032 Fisher Communications, Inc.*................... 131 2,553 Global Sources, Ltd.*...... 362 2,241 Harte-Hanks, Inc. ......... 835 9,803 Journal Communications, Inc. -- Class A......... 905 3,222 Knology, Inc.*............. 654 6,573 LIN TV Corp. -- Class A*... 593 2,325 Live Nation, Inc.*......... 1,851 12,328 LodgeNet Entertainment Corp.*.................. 452 2,192 Martha Stewart Living Omnimedia, Inc. -- Class A*...................... 583 3,020 Mediacom Communications Corp. -- Class A*....... 865 4,135 National CineMedia, Inc. .. 935 14,960 Outdoor Channel Holdings, Inc.*................... 322 2,228 Playboy Enterprises, Inc. -- Class B*........ 473 1,452 Primedia, Inc. ............ 372 934 RCN Corp.*................. 805 6,714 Reading International, Inc. -- Class A*........ 383 1,517 Rentrak Corp.*............. 211 3,243 Scholastic Corp. .......... 503 12,510 Sinclair Broadcast Group, Inc. -- Class A......... 946 3,727 Valassis Communications, Inc.*................... 1,066 19,433 Value Line, Inc. .......... 30 923 World Wrestling Entertainment, Inc. -- Class A......... 483 6,414 ----------- TOTAL MEDIA 182,848 ----------- METALS & MINING 0.8% Allied Nevada Gold Corp.*.. 1,120 10,696 AM Castle & Co. ........... 372 4,192 AMCOL International Corp. .................. 523 13,619 Brush Engineered Materials, Inc.*................... 443 8,173 Century Aluminum Co.*...... 1,006 8,722 China Precision Stl, Inc.*................... 684 1,518 Coeur d'Alene Mines Corp.*.................. 1,670 33,534 General Moly, Inc.*........ 1,409 3,100 General Stl Hldgs, Inc.*... 393 1,462 Haynes International, Inc.*................... 271 7,675 Hecla Mining Co.*.......... 4,828 19,843 Horsehead Holding Corp.*... 840 8,005 Kaiser Aluminum Corp. ..... 342 13,663 Olympic Steel, Inc. ....... 201 5,085 Paramount Gold and Silver Corp.*.................. 1,408 1,577 RTI International Metals, Inc.*................... 550 11,391 Stillwater Mining Co.*..... 905 5,611 Sutor Technology Group Ltd.*................... 171 494 Universal Stainless & Alloy*.................. 151 2,279 US Gold Corp.*............. 1,770 4,779 Worthington Industries, Inc. ................... 1,337 14,774 ----------- TOTAL METALS & MINING 180,192 ----------- MULTI-UTILITIES 0.3% Avista Corp. .............. 1,207 22,885 CH Energy Group, Inc. ..... 352 14,576 PNM Resources, Inc. ....... 1,922 20,604 ----------- TOTAL MULTI-UTILITIES 58,065 ----------- MULTILINE RETAIL 0.3% 99 Cents Only Stores*...... 1,036 11,779 Dillard's, Inc. -- Class A....................... 1,137 15,486 Fred's, Inc. -- Class A.... 885 10,478 Retail Ventures, Inc.*..... 553 3,545 Saks, Inc.*................ 2,636 14,788 Tuesday Morning Corp.*..... 664 2,145 ----------- TOTAL MULTILINE RETAIL 58,221 ----------- OIL, GAS & CONSUMABLE FUELS 2.7% Alon USA Energy, Inc. ..... 181 1,520 Apco Oil and Gas International, Inc. .... 201 4,271 Approach Resources, Inc.*.. 262 2,033 Arena Resources, Inc.*..... 845 31,485 Atlas Energy, Inc. ........ 754 19,740 ATP Oil & Gas Corp.*....... 785 13,588 Berry Petroleum Co. -- Class A.......... 946 23,991 Bill Barrett Corp.*........ 855 26,488 BPZ Resources, Inc.*....... 2,052 12,928 Brigham Exploration Co.*... 1,841 17,489 Carrizo Oil & Gas, Inc.*... 614 14,233 Cheniere Energy, Inc.*..... 1,247 2,906 Clayton Williams Energy, Inc.*................... 131 3,432 Clean Energy Fuels Corp.*.. 785 9,106 Contango Oil & Gas Co.*.... 271 12,913 CREDO Petroleum Corp.*..... 151 1,471 Crosstex Energy, Inc. ..... 895 5,030 Cubic Energy, Inc.*........ 603 597 CVR Energy, Inc.*.......... 513 5,397 Delek US Holdings, Inc. ... 281 1,897 Delta Petroleum Corp.*..... 3,943 5,126 DHT Maritime, Inc. ........ 1,097 3,752 Endeavour International Corp.*.................. 2,525 2,651 Evergreen Energy, Inc.*.... 2,888 1,051 FX Energy, Inc.*........... 945 2,514 General Maritime Corp. .... 1,077 7,421 Georesources, Inc.*........ 161 1,785 GMX Resources, Inc.*....... 543 6,912 Golar LNG, Ltd. ........... 714 8,611 Goodrich Petroleum Corp.*.. 543 13,939 Gran Tierra Energy, Inc.*.. 4,516 21,496 Green Plains Renewable Energy, Inc.*........... 201 1,481 Gulfport Energy Corp.*..... 583 4,448 Harvest Natural Resources, Inc.*................... 734 4,030 International Coal Group, Inc.*................... 2,012 8,229 Isramco, Inc.*............. 21 1,740 James River Coal Co.*...... 613 11,641 Knightsbridge Tankers, Ltd. ................... 382 4,828 McMoRan Exploration Co.*... 1,680 12,919 Nordic American Tanker Shipping, Ltd. ......... 935 26,460 Northern Oil And Gas, Inc.*................... 674 6,147 Oilsands Quest, Inc.*...... 4,919 5,903 Panhandle Oil and Gas, Inc. -- Class A......... 161 3,165 Patriot Coal Corp.*........ 1,639 18,521 Penn Virginia Corp. ....... 1,006 20,371
See Notes to Financial Statements. 56 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Petroleum Development Corp.*.................. 423 $7,064 Petroquest Energy, Inc.*... 1,137 6,970 PrimeEnergy Corp.*......... 10 308 Rex Energy Corp.*.......... 563 4,555 Rosetta Resources, Inc.*... 1,157 15,654 Ship Finance International, Ltd. ................... 975 11,086 Stone Energy Corp.*........ 925 14,180 Swift Energy Co.*.......... 825 17,473 Syntroleum Corp.*.......... 1,398 3,118 Teekay Tankers, Ltd. ...... 231 1,871 Toreador Resources Corp. .. 473 4,035 Uranerz Energy Corp.*...... 996 1,524 Uranium Energy Corp.*...... 1,110 2,997 USEC, Inc.*................ 2,485 9,592 Vaalco Energy, Inc. ....... 1,288 5,487 Venoco, Inc.*.............. 402 5,065 W&T Offshore, Inc. ........ 754 8,784 Warren Resources, Inc.*.... 1,307 2,823 Western Refining, Inc.*.... 905 5,077 Westmoreland Coal Co.*..... 231 1,522 World Fuel Services Corp. .................. 654 33,256 Zion Oil & Gas, Inc.*...... 261 1,757 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 579,854 ----------- PAPER & FOREST PRODUCTS 0.6% Buckeye Technologies, Inc.*................... 855 7,661 Clearwater Paper Corp.*.... 251 11,363 Deltic Timber Corp. ....... 231 9,818 Domtar Corp.*.............. 916 38,371 Glatfelter................. 1,006 10,633 Kapstone Paper and Packaging Corp.*........ 453 3,144 Louisiana-Pacific Corp.*... 2,294 12,043 Neenah Paper, Inc. ........ 322 3,333 Schweitzer-Mauduit International, Inc. .... 342 17,664 Wausau Paper Corp. ........ 965 8,463 ----------- TOTAL PAPER & FOREST PRODUCTS 122,493 ----------- PERSONAL PRODUCTS 0.5% American Oriental Bioengineering, Inc.*... 1,368 5,417 Bare Escentuals, Inc.*..... 1,469 18,554 Chattem, Inc.*............. 433 27,439 China Sky One Med, Inc.*... 231 2,742 China-Biotics, Inc.*....... 161 1,868 Elizabeth Arden, Inc.*..... 533 5,676 Female Health Co. (The)*... 352 1,630 Inter Parfums, Inc. ....... 312 3,831 Mannatech, Inc. ........... 352 1,197 Medifast, Inc.*............ 291 6,408 Nu Skin Enterprises, Inc. -- Class A......... 1,096 24,945 Nutraceutical International Corp.*.................. 241 2,622 Prestige Brands Holdings, Inc.*................... 754 5,097 Revlon, Inc. -- Class A*... 433 3,650 Schiff Nutrition International, Inc. .... 251 1,448 USANA Health Sciences, Inc.*................... 141 4,064 ----------- TOTAL PERSONAL PRODUCTS 116,588 ----------- PHARMACEUTICALS 1.1% Acura Pharmaceuticals, Inc.*................... 181 749 Adolor Corp.*.............. 1,026 1,488 Akorn, Inc.*............... 1,247 1,808 Ardea Biosciences, Inc.*... 312 4,212 ARYx Therapeutics, Inc.*... 463 1,158 Auxilium Pharmaceuticals, Inc.*................... 945 29,730 AVANIR Pharmaceuticals, Inc. -- Class A*........ 1,347 2,465 Biodel, Inc.*.............. 332 1,388 BioMimetic Therapeutics, Inc.*................... 302 3,524 Biospecifics Technologies Corp.*.................. 81 2,471 BMP Sunstone Corp.*........ 715 2,603 Cadence Pharmaceuticals, Inc.*................... 543 4,903 Caraco Pharmaceutical Laboratories, Ltd.*..... 231 850 Cornerstone Therapeutics, Inc.*................... 141 790 Cypress Bioscience, Inc.*.. 845 5,188 Depomed, Inc.*............. 1,137 3,536 Discovery Laboratories, Inc.*................... 2,656 2,470 Durect Corp.*.............. 1,821 3,842 Hi-Tech Pharmacal Co., Inc.*................... 181 3,301 Impax Laboratories, Inc.*.. 1,347 11,961 Inspire Pharmaceuticals, Inc.*................... 1,358 6,070 Ista Pharmaceuticals, Inc.*................... 735 2,690 Javelin Pharmaceuticals, Inc.*................... 1,116 1,473 KV Pharmaceutical Co. -- Class A*......... 825 3,135 Lannett Co., Inc.*......... 221 1,485 MAP Pharmaceuticals, Inc.*................... 201 1,652 Matrixx Initiatives, Inc.*................... 211 950 Medicines Co.(The)*........ 1,167 8,391 Medicis Pharmaceutical Corp. -- Class A........ 1,307 27,669 MiddleBrook Pharmaceuticals, Inc.*.. 805 789 Obagi Medical Products, Inc.*................... 382 3,904 Optimer Pharmaceuticals, Inc.*................... 634 7,329 Pain Therapeutics, Inc.*... 774 3,924 Par Pharmaceutical Cos., Inc.*................... 774 16,231 Pozen, Inc.*............... 583 3,311 Questcor Pharmaceuticals, Inc.*................... 1,268 5,757 Repros Therapeutics, Inc.*................... 230 214 Salix Pharmaceuticals Ltd.*................... 1,066 19,604 Santarus, Inc.*............ 1,147 3,544 Sucampo Pharmaceuticals, Inc. -- Class A*........ 241 1,053 SuperGen, Inc.*............ 1,308 3,061 Viropharma, Inc.*.......... 1,711 12,901 Vivus, Inc.*............... 1,670 13,193 XenoPort, Inc.*............ 663 11,079 ----------- TOTAL PHARMACEUTICALS 247,846 ----------- REAL ESTATE INVESTMENT TRUSTS (REITS) 5.0% Acadia Realty Trust........ 875 13,912 Agree Realty Corp. ........ 161 3,756 Alexander's, Inc.*......... 50 13,246 American Campus Communities, Inc. ...... 1,157 31,262 American Capital Agency Corp. .................. 281 7,306 Anthracite Capital, Inc.*.. 1,741 1,254 Anworth Mortgage Asset Corp. .................. 2,384 16,998 Ashford Hospitality Trust, Inc.*................... 1,279 4,911 Associated Estates Realty Corp. .................. 332 3,028 BioMed Realty Trust, Inc. ................... 2,173 29,488 CapLease, Inc. ............ 1,066 3,656 Capstead Mortgage Corp. ... 1,408 18,529 Care Investment Trust, Inc. ................... 271 2,171 CBL & Associates Properties, Inc. ....... 3,057 24,945 Cedar Shopping Centers, Inc. ................... 865 5,251 Cogdell Spencer, Inc. ..... 664 3,081 Colonial Properties Trust.. 1,077 11,341 Cousins Properties, Inc. .. 940 6,881 DCT Industrial Trust, Inc. ................... 4,527 20,507 Developers Diversified Realty Corp. ........... 3,169 27,222 DiamondRock Hospitality Co.*.................... 2,562 19,497
See Notes to Financial Statements. ANNUAL REPORT 57 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) DuPont Fabros Technology, Inc.*................... 583 $8,792 Dynex Capital, Inc. ....... 251 2,036 EastGroup Properties, Inc. ................... 563 20,724 Education Realty Trust, Inc. ................... 1,257 6,298 Entertainment Properties Trust................... 775 26,365 Equity Lifestyle Properties, Inc. ....... 563 26,151 Equity One, Inc. .......... 724 10,802 Extra Space Storage, Inc. ................... 1,912 18,298 FelCor Lodging Trust, Inc.*................... 1,429 4,501 First Industrial Realty Trust, Inc. ............ 875 3,806 First Potomac Realty Trust................... 604 6,855 Franklin Street Properties Corp. .................. 1,420 15,308 Getty Realty Corp. ........ 392 9,608 Gladstone Commercial Corp. .................. 191 2,451 Glimcher Realty Trust...... 820 2,214 Gramercy Capital Corp.*.... 945 2,967 Hatteras Financial Corp. .. 805 22,620 Healthcare Realty Trust, Inc. ................... 1,317 27,433 Hersha Hospitality Trust... 945 2,419 Highwoods Properties, Inc. ................... 1,569 43,179 Home Properties, Inc. ..... 725 28,405 Inland Real Estate Corp. .. 1,559 13,376 Investors Real Estate Trust................... 1,408 11,785 iStar Financial, Inc.*..... 2,204 4,606 Kilroy Realty Corp. ....... 955 26,377 Kite Realty Group Trust.... 1,026 3,806 LaSalle Hotel Properties... 1,408 24,161 Lexington Realty Trust..... 2,011 8,426 LTC Properties, Inc. ...... 513 12,184 Medical Properties Trust, Inc. ................... 1,780 14,240 MFA Mortgage Investments, Inc. ................... 6,207 46,056 Mid-America Apartment Communities, Inc. ...... 624 27,344 Mission West Properties.... 392 2,607 Monmouth Real Estate Investment Corp. -- Class A........ 442 3,001 National Health Investors, Inc. ................... 573 17,190 National Retail Properties, Inc. ................... 1,771 34,322 NorthStar Realty Finance Corp. .................. 1,317 4,649 Omega Healthcare Investors, Inc. ................... 1,830 27,743 Parkway Properties, Inc. .. 483 8,525 Pennsylvania Real Estate Investment Trust........ 855 6,267 Post Properties, Inc. ..... 985 16,243 Potlatch Corp. ............ 885 24,700 PS Business Parks, Inc. ... 393 19,245 RAIT Financial Trust*...... 1,439 2,662 Ramco-Gershenson Properties.............. 380 3,359 Redwood Trust, Inc. ....... 1,720 23,977 Resource Capital Corp. .... 463 2,241 Saul Centers, Inc. ........ 141 4,337 Sovran Self Storage, Inc. ................... 503 15,140 Strategic Hotels & Resorts, Inc.*................... 1,660 2,938 Sun Communities, Inc. ..... 363 6,331 Sunstone Hotel Investors, Inc.*................... 1,669 12,601 Tanger Factory Outlet Centers................. 895 34,073 Transcontinental Realty Investors, Inc.*........ 30 326 U-Store-It Trust........... 1,761 10,038 UMH Properties, Inc. ...... 191 1,440 Universal Health Realty Income Trust............ 242 7,684 Urstadt Biddle Properties, Inc- Class A............ 453 6,691 Walter Investment Management Corp. ....... 393 5,117 Washington Real Estate Investment Trust........ 1,288 34,390 Winthrop Realty Trust...... 261 2,339 ----------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 1,092,011 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT 0.1% American Realty Investors, Inc.*................... 60 593 Avatar Holdings, Inc.*..... 131 2,135 China Housing & Land Development, Inc.*...... 573 1,765 Consolidated-Tomoka Land Co. .................... 121 4,162 Forestar Real Estate Group, Inc.*................... 795 11,734 Tejon Ranch Co.*........... 241 6,281 ----------- TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 26,670 ----------- ROAD & RAIL 0.8% Amerco, Inc.*.............. 201 8,496 Arkansas Best Corp. ....... 563 14,537 Avis Budget Group, Inc.*... 2,254 18,933 Celadon Group, Inc.*....... 493 4,812 Dollar Thrifty Automotive Group*.................. 483 8,940 Genesee & Wyoming, Inc. -- Class A*........ 825 23,933 Heartland Express, Inc. ... 1,117 15,191 Knight Transportation, Inc. ................... 1,267 20,323 Marten Transport, Ltd.*.... 342 5,999 Old Dominion Freight Line, Inc.*................... 614 15,958 Patriot Transportation Holding, Inc.*.......... 30 2,640 Saia, Inc.*................ 301 4,413 Universal Truckload Services, Inc. ......... 131 2,154 USA Truck, Inc.*........... 171 1,920 Werner Enterprises, Inc. .. 945 17,719 YRC Worldwide, Inc.*....... 1,317 4,807 ----------- TOTAL ROAD & RAIL 170,775 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.9% Actel Corp.*............... 583 6,949 Advanced Analogic Technologies, Inc.*..... 955 3,008 Advanced Energy Industries, Inc.*................... 734 8,962 Amkor Technology, Inc.*.... 2,424 13,356 Anadigics, Inc.*........... 1,398 4,488 Applied Micro Circuits Corp.*.................. 1,459 11,409 Atheros Communications, Inc.*................... 1,348 33,188 ATMI, Inc.*................ 694 10,514 Brooks Automation, Inc.*... 1,428 9,825 Cabot Microelectronics Corp.*.................. 523 16,726 Cavium Networks, Inc.*..... 805 15,263 Ceva, Inc.*................ 433 4,386 Cirrus Logic, Inc.*........ 1,448 7,008 Cohu, Inc. ................ 513 5,838 Cymer, Inc.*............... 654 22,393 Diodes, Inc.*.............. 704 11,532 DSP Group, Inc.*........... 503 2,907 Entegris, Inc.*............ 2,720 10,227 Entropic Communications, Inc.*................... 1,167 3,069 Exar Corp.*................ 784 5,410 FEI Co.*................... 825 19,643 Formfactor, Inc.*.......... 1,096 18,621 GSI Technology, Inc.*...... 412 1,487 Hittite Microwave Corp.*... 473 17,406 Intellon Corp.*............ 473 3,250 IXYS Corp.*................ 523 3,504 Kopin Corp.*............... 1,499 6,656 Kulicke & Soffa Industries, Inc.*................... 1,509 7,017 Lattice Semiconductor Corp.*.................. 2,555 4,880 MEMSIC, Inc.*.............. 342 1,163 Micrel, Inc. .............. 1,006 7,515
See Notes to Financial Statements. 58 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Microsemi Corp.*........... 1,801 $23,971 Microtune, Inc.*........... 1,157 1,978 MIPS Technologies, Inc.*... 996 3,934 MKS Instruments, Inc.*..... 1,096 17,141 Monolithic Power Systems, Inc.*................... 754 15,072 Netlogic Microsystems, Inc.*................... 402 15,280 NVE Corp.*................. 101 3,777 OmniVision Technologies, Inc.*................... 1,107 13,572 Pericom Semiconductor Corp.*.................. 563 5,298 Photronics, Inc.*.......... 1,010 4,222 PLX Technology, Inc.*...... 745 2,339 Power Integrations, Inc. .. 523 16,318 RF Micro Devices, Inc.*.... 5,885 23,422 Rubicon Technology, Inc.*.. 281 4,249 Rudolph Technologies, Inc.*................... 684 4,337 Semitool, Inc.*............ 503 3,551 Semtech Corp.*............. 1,348 20,854 Sigma Designs, Inc.*....... 593 7,122 Silicon Image, Inc.*....... 1,659 3,501 Silicon Storage Technology, Inc.*................... 1,760 3,573 Skyworks Solutions, Inc.*.. 3,712 38,716 Standard Microsystems Corp.*.................. 483 9,303 Supertex, Inc.*............ 241 5,844 Techwell, Inc.*............ 352 3,654 Tessera Technologies, Inc.*................... 1,077 23,812 Trident Microsystems, Inc.*................... 1,398 2,628 TriQuint Semiconductor, Inc.*................... 3,269 17,620 Ultratech, Inc.*........... 523 6,757 Veeco Instruments, Inc.*... 714 17,386 Virage Logic Corp.*........ 362 2,136 Volterra Semiconductor Corp.*.................. 503 6,967 White Electronic Designs Corp.*.................. 503 2,208 Zoran Corp.*............... 1,147 10,174 ----------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 638,316 ----------- SOFTWARE 3.9% ACI Worldwide, Inc.*....... 775 12,470 Actuate Corp.*............. 986 4,940 Advent Software, Inc.*..... 342 13,071 American Software, Inc. -- Class A......... 493 3,205 ArcSight, Inc.*............ 412 10,185 Ariba, Inc.*............... 1,932 22,836 AsiaInfo Holdings, Inc.*... 644 14,207 Blackbaud, Inc. ........... 975 21,635 Blackboard, Inc.*.......... 704 24,971 Bottomline Technologies, Inc.*................... 553 8,118 Callidus Software, Inc.*... 573 1,748 China TransInfo Technology Corp.*.................. 191 1,331 Chordiant Software, Inc.*.. 664 2,311 Commvault Systems, Inc.*... 925 18,223 Concur Technologies, Inc.*................... 885 31,541 Deltek, Inc.*.............. 403 2,881 DemandTec, Inc.*........... 443 3,894 Double-Take Software, Inc.*................... 382 3,541 Dynamics Research Corp.*... 191 2,447 Ebix, Inc.*................ 151 9,302 Epicor Software Corp.*..... 1,046 8,075 EPIQ Systems, Inc.*........ 715 9,016 ePlus, Inc.*............... 81 1,218 Fair Isaac Corp. .......... 1,086 22,078 FalconStor Software, Inc.*................... 764 2,544 GSE Systems, Inc.*......... 380 2,288 i2 Technologies, Inc.*..... 353 5,556 Informatica Corp.*......... 1,932 41,016 Interactive Intelligence, Inc.*................... 281 4,712 Jack Henry & Associates, Inc. ................... 1,861 42,933 JDA Software Group, Inc.*.. 583 11,567 Kenexa Corp.*.............. 503 6,338 Lawson Software, Inc.*..... 3,048 19,233 Manhattan Associates, Inc.*................... 513 11,773 Mentor Graphics Corp.*..... 2,083 15,206 MicroStrategy, Inc. -- Class A*........ 201 17,541 Monotype Imaging Holdings, Inc.*................... 483 3,632 Net 1 UEPS Technologies, Inc.*................... 696 12,173 Netscout Systems, Inc.*.... 543 6,673 NetSuite, Inc.*............ 372 5,197 OpenTV Corp. -- Class A*... 1,881 2,897 Opnet Technologies, Inc. .. 291 3,172 Parametric Technology Corp.*.................. 2,566 38,259 Pegasystems, Inc. ......... 332 9,518 Pervasive Software, Inc.*.. 342 1,676 Phoenix Technologies Ltd.*................... 775 1,814 Progress Software Corp.*... 885 20,443 PROS Holdings, Inc.*....... 423 3,803 QAD, Inc. ................. 281 1,281 Quest Software, Inc.*...... 1,359 22,790 Radiant Systems, Inc.*..... 604 5,943 Renaissance Learning, Inc. ................... 141 1,280 Rosetta Stone, Inc.*....... 141 2,926 S1 Corp.*.................. 1,167 7,002 Smith Micro Software, Inc.*................... 633 5,748 Solarwinds, Inc.*.......... 271 4,824 Solera Holdings, Inc. ..... 1,539 49,587 SonicWALL, Inc.*........... 1,197 9,504 Sourcefire, Inc.*.......... 493 10,008 SRS Labs, Inc.*............ 261 1,694 SuccessFactors, Inc.*...... 825 12,614 Symyx Technologies*........ 755 4,432 Synchronoss Technologies, Inc.*................... 422 4,815 Take-Two Interactive Software, Inc.*......... 1,780 19,527 Taleo Corp. Class A*....... 694 15,088 TeleCommunication Systems, Inc. -- Class A*....... 845 7,554 THQ, Inc.*................. 1,499 7,840 TIBCO Software, Inc.*...... 3,893 34,064 Tivo, Inc.*................ 2,314 25,176 Tyler Technologies, Inc.*.. 694 13,200 Ultimate Software Group, Inc.*................... 543 13,852 Unica Corp.*............... 312 2,172 Vasco Data Security International, Inc.*.... 593 3,605 Websense, Inc.*............ 985 15,819 ----------- TOTAL SOFTWARE 845,553 ----------- SPECIALTY RETAIL 2.8% America's Car-Mart, Inc.*.. 221 4,581 AnnTaylor Stores Corp.*.... 1,297 16,822 Asbury Automotive Group, Inc.*................... 714 6,954 Bebe Stores, Inc. ......... 533 3,337 Big 5 Sporting Goods Corp. .................. 473 6,977 Books-A-Million, Inc. ..... 151 1,308 Borders Group, Inc.*....... 1,086 2,107 Brown Shoe Co., Inc. ...... 925 9,592 Buckle, Inc.(The).......... 563 16,896 Build-A-Bear Workshop, Inc.*................... 372 1,927 Cabela's, Inc.*............ 885 11,124 Cato Corp. -- Class A...... 613 12,082 Charming Shoppes, Inc.*.... 2,556 11,579
See Notes to Financial Statements. ANNUAL REPORT 59 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONTINUED) Children's Place Retail Stores, Inc.(The)*...... 495 $15,568 Christopher & Banks Corp. .................. 795 4,842 Citi Trends, Inc.*......... 322 8,478 Coldwater Creek, Inc.*..... 1,267 7,285 Collective Brands, Inc.*... 1,419 26,322 Conn's, Inc.*.............. 221 1,395 Destination Maternity Corp.*.................. 101 2,025 Dress Barn, Inc.*.......... 996 17,978 DSW, Inc. -- Class A*...... 271 5,203 Finish Line, Inc. -- Class A....................... 935 9,481 Gander Mountain Co.*....... 111 554 Genesco, Inc.*............. 460 11,992 Group 1 Automotive, Inc. .. 533 13,549 Gymboree Corp.*............ 644 27,415 Haverty Furniture Cos., Inc.*................... 392 4,747 hhgregg, Inc.*............. 282 4,650 Hibbett Sports, Inc.*...... 633 11,862 Hot Topic, Inc.*........... 975 7,508 J. Crew Group, Inc.*....... 1,117 45,551 Jo-Ann Stores, Inc.*....... 583 15,519 Jos. A. Bank Clothiers, Inc.*................... 403 16,515 Kirkland's, Inc.*.......... 272 3,422 Lithia Motors, Inc. -- Class A*........ 372 3,102 Lumber Liquidators, Inc.*.. 322 6,843 Men's Wearhouse, Inc.(The)............... 1,157 26,808 Midas, Inc.*............... 312 2,515 Monro Muffler, Inc. ....... 372 11,528 New York & Co, Inc.*....... 553 2,433 OfficeMax, Inc.*........... 1,690 19,317 Pacific Sunwear of California, Inc.*....... 1,459 8,812 PEP Boys-Manny Moe & Jack.. 1,077 9,445 Pier 1 Imports, Inc.*...... 2,002 7,047 Rent-A-Center, Inc.*....... 1,459 26,787 Rex Stores Corp.*.......... 161 1,988 Sally Beauty Holdings, Inc.*................... 2,082 14,054 Shoe Carnival, Inc.*....... 201 3,017 Sonic Automotive, Inc. -- Class A......... 570 5,096 Stage Stores, Inc. ........ 845 9,971 Stein Mart, Inc.*.......... 563 5,349 Syms Corp.*................ 141 991 Systemax, Inc.*............ 221 2,979 Talbots, Inc. ............. 533 4,834 Tractor Supply Co.*........ 795 35,537 Tween Brands, Inc.*........ 553 4,689 Ulta Salon Cosmetics & Fragrance, Inc.*........ 613 9,281 West Marine, Inc.*......... 312 2,377 Wet Seal, Inc.(The) -- Class A*... 2,152 6,865 Zale Corp.*................ 523 2,474 Zumiez, Inc.*.............. 453 6,102 ----------- TOTAL SPECIALTY RETAIL 607,388 ----------- TEXTILES, APPAREL & LUXURY GOODS 1.9% American Apparel, Inc.*.... 724 2,223 Carter's, Inc.*............ 1,257 29,665 Cherokee, Inc. ............ 171 3,237 Columbia Sportswear Co. ... 252 9,589 Crocs, Inc.*............... 1,861 11,315 Deckers Outdoor Corp.*..... 291 26,094 FGX International Holdings, Ltd.*................... 322 4,247 Fossil, Inc.*.............. 1,036 27,692 Fuqi Intl, Inc.*........... 271 5,553 G-III Apparel Group, Ltd.*................... 291 4,659 Iconix Brand Group, Inc.*.. 1,579 18,411 Jones Apparel Group, Inc. ................... 1,892 33,848 K-Swiss, Inc. -- Class A... 583 4,757 Kenneth Cole Productions, Inc. -- Class A......... 171 1,626 Liz Claiborne, Inc. ....... 2,103 12,071 Lululemon Athletica, Inc.*................... 905 22,734 Maidenform Brands, Inc.*... 422 5,925 Movado Group, Inc. ........ 362 3,794 Oxford Industries, Inc. ... 281 5,437 Perry Ellis International, Inc.*................... 211 2,884 Quiksilver, Inc.*.......... 2,837 5,646 Skechers U.S.A., Inc. -- Class A*........ 734 16,016 Steven Madden, Ltd.*....... 342 13,851 Timberland Co. -- Class A*...................... 965 15,614 True Religion Apparel, Inc.*................... 563 14,509 Under Armour, Inc. -- Class A*...................... 734 19,708 Unifi, Inc.*............... 986 2,741 Unifirst Corp. ............ 312 13,126 Volcom, Inc.*.............. 422 7,009 Warnaco Group, Inc.*....... 1,016 41,178 Weyco Group, Inc. ......... 151 3,367 Wolverine World Wide, Inc. ................... 1,087 27,805 ----------- TOTAL TEXTILES, APPAREL & LUXURY GOODS 416,331 ----------- THRIFTS & MORTGAGE FINANCE 1.2% Abington Bancorp, Inc. .... 483 3,313 Astoria Financial Corp. ... 1,892 18,882 Bank Mutual Corp. ......... 1,036 7,273 BankFinancial Corp. ....... 473 4,465 Beneficial Mutual Bancorp, Inc.*................... 724 6,697 Berkshire Hills Bancorp, Inc. ................... 302 6,206 Brookline Bancorp, Inc. ... 1,307 12,795 Brooklyn Fed Bancorp, Inc. ................... 70 839 Cheviot Financial Corp. ... 61 471 Clifton Savings Bancorp, Inc. ................... 201 1,853 Danvers Bancorp, Inc. ..... 480 6,590 Dime Community Bancshares.. 573 6,297 Doral Financial Corp.*..... 131 372 ESB Financial Corp. ....... 201 2,344 ESSA Bancorp, Inc. ........ 332 3,974 First Defiance Financial Corp. .................. 181 2,610 First Financial Holdings, Inc. ................... 261 3,521 First Financial Northwest.. 403 2,386 First Financial Service Corp. .................. 91 834 Flagstar Bancorp, Inc.*.... 1,488 1,339 Flushing Financial Corp. .. 520 5,840 Fox Chase Bancorp, Inc.*... 120 1,189 Heritage Financial Group... 41 332 Home Federal Bancorp Inc/ID.................. 372 4,297 K-Fed Bancorp.............. 91 813 Kearny Financial Corp. .... 402 3,960 Kentucky First Federal Bancorp................. 70 736 Legacy Bancorp, Inc. ...... 161 1,539 Meridian Interstate Bancorp, Inc.*.......... 211 1,815 MGIC Investment Corp.*..... 2,776 11,964 NASB Financial, Inc. ...... 80 1,968 NewAlliance Bancshares, Inc. ................... 2,364 26,193 Northeast Community Bancorp, Inc. .......... 131 878 Northwest Bancorp, Inc. ... 382 8,404 OceanFirst Financial Corp. .................. 201 1,909 Ocwen Financial Corp.*..... 1,267 13,848 Oritani Financial Corp. ... 221 2,831 PMI Group, Inc.(The)....... 1,619 3,918 Provident Financial Services, Inc. ......... 1,327 14,265 Provident New York Bancorp................. 765 6,525
See Notes to Financial Statements. 60 RYDEXSGI 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ------------------------------------------------------ COMMON STOCKS (CONCLUDED) Prudential Bancorp, Inc. of Pennsylvania............ 81 $795 Radian Group, Inc. ........ 1,811 10,486 Rockville Financial, Inc. ................... 181 1,873 Roma Financial Corp. ...... 181 2,243 Tree.com, Inc.*............ 141 1,101 TrustCo Bank Corp. ........ 1,690 10,055 United Financial Bancorp, Inc. ................... 362 4,652 ViewPoint Financial Group.. 221 2,961 Waterstone Financial Inc.*................... 161 549 Westfield Financial, Inc. ................... 694 5,587 WSFS Financial Corp. ...... 141 3,892 ----------- TOTAL THRIFTS & MORTGAGE FINANCE 250,479 ----------- TOBACCO 0.2% Alliance One International, Inc.*................... 1,972 8,697 Star Scientific, Inc.*..... 1,690 1,420 Universal Corp. ........... 553 22,999 Vector Group, Ltd. ........ 865 12,551 ----------- TOTAL TOBACCO 45,667 ----------- TRADING COMPANIES & DISTRIBUTORS 0.7% Aceto Corp. ............... 553 3,064 Aircastle Ltd. ............ 1,036 8,205 Applied Industrial Technologies, Inc. ..... 935 18,915 Beacon Roofing Supply, Inc.*................... 996 14,302 BlueLinx Holdings, Inc.*... 261 765 DXP Enterprises, Inc.*..... 171 1,963 H&E Equipment Services, Inc.*................... 603 6,392 Houston Wire & Cable Co. .. 392 4,739 Interline Brands, Inc.*.... 715 10,439 Kaman Corp. -- Class A..... 563 11,632 Lawson Products, Inc. ..... 91 1,415 RSC Holdings, Inc.*........ 1,086 7,320 Rush Enterprises, Inc. -- Class A*........ 705 7,699 TAL International Group, Inc. ................... 332 3,937 Textainer Group Holdings, Ltd. ................... 201 3,027 Titan Machinery, Inc.*..... 291 3,122 United Rentals, Inc.*...... 1,328 12,603 Watsco, Inc. .............. 593 30,373 Willis Lease Finance Corp.*.................. 101 1,286 ----------- TOTAL TRADING COMPANIES & DISTRIBUTORS 151,198 ----------- TRANSPORTATION INFRASTRUCTURE 0.0%(A) CAI International, Inc.*... 211 1,582 ----------- TOTAL TRANSPORTATION INFRASTRUCTURE 1,582 ----------- WATER UTILITIES 0.3% American States Water Co. .................... 412 13,658 Artesian Resources Corp. -- Class A........ 141 2,286 Cadiz, Inc.*............... 281 3,004 California Water Service Group................... 433 15,835 Connecticut Water Service, Inc. ................... 191 4,259 Consolidated Water Co., Ltd. ................... 322 4,753 Middlesex Water Co. ....... 301 4,632 Pennichuck Corp. .......... 91 2,063 SJW Corp. ................. 282 6,139 Southwest Water Co. ....... 543 3,025 York Water Co. (The)....... 251 3,511 ----------- TOTAL WATER UTILITIES 63,165 ----------- WIRELESS TELECOMMUNICATION SERVICES 0.4% Centennial Communications Corp.*.................. 1,882 15,922 iPCS, Inc.*................ 373 8,904 NTELOS Holdings Corp. ..... 673 10,162 Shenandoah Telecom Co. .... 523 8,729 Syniverse Holdings, Inc.*.. 1,519 26,020 USA Mobility, Inc. ........ 503 5,483 Virgin Mobile USA, Inc. -- Class A*........ 845 3,381 ----------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 78,601 ----------- TOTAL COMMON STOCKS (Cost $14,376,820) 18,376,848 ----------- RIGHTS 0.0%(A)(C) COMMERCIAL BANKS 0.0%(A) Enterprise Bank + Trust Co. Expires 11/19/09........ 120 -- ----------- TOTAL COMMERCIAL BANKS -- ----------- OIL COMPANIES EXPLORATION & PRODUCTION 0.0%(A) Zion Oil Gas Delaware Cp* Expires 11/30/09........ 64 110 ----------- TOTAL OIL COMPANIES EXPLORATION & PRODUCTION 110 ----------- REAL ESTATE INVESTMENT TRUSTS (REITS) 0.0%(A) Winthrop Realty Trust, Inc. * Expires 11/19/09........ 80 -- ----------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) -- ----------- TOTAL RIGHTS (Cost $0) 110 ----------- WARRANTS 0.0%(A)(D) ENERGY-ALTERNATE SOURCES 0.0%(A) Greenhunter Energy, Inc. $27.50, 09/14/11........... 3 -- ----------- TOTAL ENERGY-ALTERNATE SOURCES (REITS) -- ----------- TOTAL WARRANTS (Cost $0) -- ----------- TOTAL INVESTMENTS 84.5%(B) (Cost $14,376,820) 18,376,958 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--15.5% 3,381,814 ----------- NET ASSETS--100.0% $21,758,772 - ------------------------------------------------------ UNREALIZED CONTRACTS LOSS - ------------------------------------------------------ FUTURES CONTRACTS PURCHASED December 2009 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $11,334,220)(b)......... 202 $(738,783) - ------------------------------------------------------ UNITS - ------------------------------------------------------ EQUITY INDEX SWAP AGREEMENTS PURCHASED Credit Suisse First Boston October 2009 Russell 2000 Index Swap, Terminating 10/30/09 (Notional Market Value $8,708,005)**(c)........ 15,473 $(1) Goldman Sachs International October 2009 Russell 2000 Index Swap, Terminating 10/30/09 (Notional Market Value $5,016,188)**(c)........ 8,913 (2) ----------- (TOTAL NOTIONAL MARKET VALUE $13,724,193)...... $(3) - ------------------------------------------------------
* Non-Income Producing Security. ** Price return based on S&P Russell 2000 Index +/- Financing at a variable rate. See Notes to Financial Statements. ANNUAL REPORT 61 RYDEX 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - -------------------------------------------------------------------------------- (a) Amount represents less than 0.05% of net assets. (b) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (c) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (d) Values determined based on Level 3 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 62 RYDEXSGI INVERSE 2X RUSSELL 2000 ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
FACE MARKET AMOUNT VALUE - -------------------------------------------------------- REPURCHASE AGREEMENTS 71.2% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $13,179,011 on 11/02/09 collateralized by $12,990,000 FHLB at 4.500% due 9/13/19 with a value of $13,444,650............ $13,179,000 $13,179,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $13,179,000) 13,179,000 ----------- TOTAL INVESTMENTS 71.2%(A) (Cost $13,179,000) 13,179,000 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--28.8% 5,330,694 ----------- NET ASSETS--100.0% $18,509,694 - -------------------------------------------------------- UNREALIZED CONTRACTS GAIN - -------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT December 2009 Russell 2000 Index Mini Futures Contracts (Aggregate Market Value of Contracts $11,839,210)(a)........ 211 $692,936 - -------------------------------------------------------- UNREALIZED UNITS GAIN/LOSS - -------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS SOLD SHORT Credit Suisse First Boston October 2009 Russell 2000 Index Swap Terminating 10/30/09 (Notional Market Value $20,599,965)*(b)....... 36,605 $(2) Goldman Sachs International October 2009 Russell 2000 Index Swap Terminating 10/30/09 (Notional Market Value $4,636,910)*(b)........ 8,239 2 ----------- (TOTAL NOTIONAL MARKET VALUE $25,236,875)..... $0 - --------------------------------------------------------
* Price return based on S&P Russell 2000 Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FHLB--Federal Home Loan Bank. See Notes to Financial Statements. ANNUAL REPORT 63 RYDEXSGI 2X S&P SELECT SECTOR ENERGY ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 83.8% ENERGY EQUIPMENT & SERVICES 17.0% Baker Hughes, Inc. .......... 3,170 $133,362 BJ Services Co. ............. 4,360 83,712 Cameron International Corp.*.................... 2,720 100,558 Diamond Offshore Drilling, Inc. ..................... 880 83,820 ENSCO International, Inc. ... 1,920 87,917 FMC Technologies, Inc.*...... 1,700 89,420 Halliburton Co. ............. 8,340 243,611 Nabors Industries, Ltd.*..... 4,040 84,153 National-Oilwell Varco, Inc.*..................... 4,100 168,059 Rowan Cos., Inc. ............ 2,380 55,335 Schlumberger, Ltd. .......... 9,650 600,230 Smith International, Inc. ... 2,820 78,199 ----------- TOTAL ENERGY EQUIPMENT & SERVICES 1,808,376 ----------- OIL, GAS & CONSUMABLE FUELS 66.8% Anadarko Petroleum Corp. .... 4,410 268,701 Apache Corp. ................ 2,990 281,419 Cabot Oil & Gas Corp. ....... 1,740 66,938 Chesapeake Energy Corp. ..... 6,590 161,455 Chevron Corp. ............... 15,810 1,210,097 ConocoPhillips............... 8,460 424,523 CONSOL Energy, Inc. ......... 2,230 95,466 Denbury Resources, Inc.*..... 3,880 56,648 Devon Energy Corp. .......... 3,960 256,252 El Paso Corp. ............... 8,550 83,875 EOG Resources, Inc. ......... 2,370 193,534 Exxon Mobil Corp. ........... 25,040 1,794,617 Hess Corp. .................. 2,790 152,725 Marathon Oil Corp. .......... 6,420 205,247 Massey Energy Co. ........... 2,130 61,962 Murphy Oil Corp. ............ 2,000 122,280 Noble Energy, Inc. .......... 1,820 119,447 Occidental Petroleum Corp. .. 5,460 414,305 Peabody Energy Corp. ........ 3,010 119,166 Pioneer Natural Resources Co. ...................... 2,010 82,631 Range Resources Corp. ....... 1,910 95,595 Southwestern Energy Co.*..... 3,400 148,172 Spectra Energy Corp. ........ 6,690 127,913 Sunoco, Inc. ................ 2,150 66,220 Tesoro Corp. ................ 3,390 47,935 Valero Energy Corp. ......... 6,070 109,867 Williams Cos., Inc. ......... 6,350 119,697 XTO Energy, Inc. ............ 5,230 217,358 ----------- TOTAL OIL, GAS & CONSUMABLE FUELS 7,104,045 ----------- TOTAL COMMON STOCKS (Cost $7,279,230) 8,912,421 ----------- TOTAL INVESTMENTS 83.8% (A) (Cost $7,279,230) 8,912,421 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--16.2% 1,727,831 ----------- NET ASSETS--100.0% $10,640,252 - ----------------------------------------------------- UNREALIZED UNITS LOSS - ----------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS PURCHASED Credit Suisse First Boston October 2009 S&P Select Sector Energy Index Swap, Terminating 10/30/09 (Notional Market Value $12,422,902)**(b)......... 22,392 $(1) - -----------------------------------------------------
* Non-Income Producing Security. ** Price return based on S&P Select Sector Energy Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 64 RYDEXSGI INVERSE 2X S&P SELECT SECTOR ENERGY ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
FACE MARKET AMOUNT VALUE - ------------------------------------------------------ REPURCHASE AGREEMENTS 80.9% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $1,178,001 on 11/02/09 collateralized by $1,170,000 FHLMC at 5.625% due 11/23/35 with a value of $1,206,153... $1,178,000 $1,178,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $1,178,000) 1,178,000 ---------- TOTAL INVESTMENTS 80.9%(A) (Cost $1,178,000) 1,178,000 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--19.1% 278,758 ---------- NET ASSETS--100.0% $1,456,758 - ------------------------------------------------------ UNREALIZED UNITS LOSS - ------------------------------------------------------ EQUITY INDEX SWAP AGREEMENTS SOLD SHORT Credit Suisse First Boston October 2009 S&P Select Sector Energy Index Swap, Terminating 10/30/09 (Notional Market Value $2,933,771)*(b)......... 5,270 $(1) - ------------------------------------------------------
* Price return based on S&P Select Sector Energy Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FHLMC--Federal Home Loan Mortgage Corporation. See Notes to Financial Statements. ANNUAL REPORT 65 RYDEXSGI 2X S&P SELECT SECTOR FINANCIAL ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 86.1% CAPITAL MARKETS 17.3% Ameriprise Financial, Inc. .................... 2,850 $98,809 Bank of New York Mellon Corp. ................... 13,431 358,070 Charles Schwab Corp.(The)... 10,631 184,342 E*TRADE Financial Corp.*.... 16,081 23,478 Federated Investors, Inc. -- Class B.......... 990 25,988 Franklin Resources, Inc. ... 1,670 174,732 Goldman Sachs Group, Inc.(The)................ 5,710 971,671 Invesco Ltd. ............... 4,650 98,347 Janus Capital Group, Inc. .. 2,030 26,634 Legg Mason, Inc. ........... 1,810 52,689 Morgan Stanley.............. 15,181 487,614 Northern Trust Corp. ....... 2,700 135,675 State Street Corp. ......... 5,520 231,730 T. Rowe Price Group, Inc. .. 2,860 139,368 ----------- TOTAL CAPITAL MARKETS 3,009,147 ----------- COMMERCIAL BANKS 16.6% BB&T Corp. ................. 7,611 181,979 Comerica, Inc. ............. 1,690 46,897 Fifth Third Bancorp......... 8,881 79,396 First Horizon National Corp.*................... 2,440 28,865 Huntington Bancshares, Inc. .................... 7,981 30,408 KeyCorp..................... 9,811 52,881 M&T Bank Corp. ............. 920 57,822 Marshall & Ilsley Corp. .... 5,630 29,952 PNC Financial Services Group, Inc. ............. 5,150 252,041 Regions Financial Corp. .... 13,271 64,232 SunTrust Banks, Inc. ....... 5,570 106,443 U.S. Bancorp................ 21,352 495,793 Wells Fargo & Co. .......... 52,174 1,435,828 Zions Bancorp............... 1,410 19,966 ----------- TOTAL COMMERCIAL BANKS 2,882,503 ----------- CONSUMER FINANCE 4.5% American Express Co. ....... 13,281 462,710 Capital One Financial Corp. ................... 5,080 185,928 Discover Financial Services................. 5,981 84,571 SLM Corp.*.................. 5,220 50,634 ----------- TOTAL CONSUMER FINANCE 783,843 ----------- DIVERSIFIED FINANCIAL SERVICES 25.1% Bank of America Corp. ...... 96,618 1,408,690 Citigroup, Inc. ............ 145,652 595,717 CME Group, Inc. ............ 740 223,931 IntercontinentalExchange, Inc.*.................... 820 82,156 JPMorgan Chase & Co. ....... 43,924 1,834,706 Leucadia National Corp.*.... 2,120 47,636 Moody's Corp. .............. 2,190 51,859 Nasdaq OMX Group (The)*..... 1,580 28,535 NYSE Euronext............... 2,900 74,965 ----------- TOTAL DIVERSIFIED FINANCIAL SERVICES 4,348,195 ----------- INSURANCE 15.0% AFLAC, Inc. ................ 5,220 216,578 Allstate Corp. ............. 5,991 177,154 American International Group, Inc.*............. 1,500 50,430 Aon Corp. .................. 3,070 118,226 Assurant, Inc. ............. 1,320 39,508 Chubb Corp. ................ 3,910 189,713 Cincinnati Financial Corp. ................... 1,820 46,155 Genworth Financial, Inc. -- Class A*......... 5,370 57,029 Hartford Financial Services Group, Inc. ............. 4,290 105,191 Lincoln National Corp. ..... 3,370 80,307 Loews Corp. ................ 4,060 134,386 Marsh & McLennan Cos., Inc. .................... 5,850 137,241 MBIA, Inc.*................. 1,770 7,186 MetLife, Inc. .............. 9,141 311,068 Principal Financial Group, Inc. .................... 3,560 89,143 Progressive Corp.*.......... 7,581 121,296 Prudential Financial, Inc. .................... 5,170 233,839 Torchmark Corp. ............ 920 37,352 Travelers Cos., Inc.(The)... 6,341 315,718 Unum Group.................. 3,700 73,815 XL Capital, Ltd. -- Class A........................ 3,820 62,686 ----------- TOTAL INSURANCE 2,604,021 ----------- REAL ESTATE INVESTMENT TRUSTS (REITS) 6.6% Apartment Investment & Management Co. -- Class A........................ 1,310 16,179 AvalonBay Communities, Inc. .................... 890 61,214 Boston Properties, Inc. .... 1,550 94,193 Equity Residential.......... 3,060 88,373 HCP, Inc. .................. 3,270 96,759 Health Care REIT, Inc. ..... 1,340 59,456 Host Hotels & Resorts, Inc. .................... 6,741 68,152 Kimco Realty Corp. ......... 4,200 53,088 Plum Creek Timber Co., Inc. .................... 1,820 56,948 ProLogis.................... 4,940 55,970 Public Storage, Inc. ....... 1,510 111,136 Simon Property Group, Inc. .................... 3,160 214,532 Ventas, Inc. ............... 1,750 70,228 Vornado Realty Trust........ 1,740 103,634 ----------- TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 1,149,862 ----------- REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2% CB Richard Ellis Group, Inc. -- Class A*......... 2,680 27,738 ----------- TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 27,738 ----------- THRIFTS & MORTGAGE FINANCE 0.8% Hudson City Bancorp, Inc. .. 5,270 69,248 People's United Financial, Inc. .................... 3,890 62,357 ----------- TOTAL THRIFTS & MORTGAGE FINANCE 131,605 ----------- TOTAL COMMON STOCKS (Cost $8,686,595) 14,936,914 ----------- TOTAL INVESTMENTS 86.1%(A) (Cost $8,686,595) 14,936,914 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--13.9% 2,406,195 ----------- NET ASSETS--100.0% $17,343,109 - ----------------------------------------------------- UNREALIZED UNITS GAIN/LOSS - ----------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS PURCHASED Credit Suisse First Boston October 2009 S&P Select Sector Financial Index Swap, Terminating 10/30/09 (Notional Market Value $19,786,721)**(b).. 141,213 $0 - -----------------------------------------------------
* Non-Income Producing Security. ** Price return based on S&P Select Sector Financial Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. REIT--Real Estate Investment Trust See Notes to Financial Statements. 66 RYDEXSGI INVERSE 2X S&P SELECT SECTOR FINANCIAL ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
FACE MARKET AMOUNT VALUE - ------------------------------------------------------ REPURCHASE AGREEMENTS 63.9% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $5,062,004 on 11/02/09 collateralized by $5,010,000 FHLMC at 5.265% due 11/23/35 with a value of $5,164,809... $5,062,000 $5,062,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $5,062,000) 5,062,000 ---------- TOTAL INVESTMENTS 63.9% (A) (Cost $5,062,000) 5,062,000 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--36.1% 2,862,567 ---------- NET ASSETS--100.0% $7,924,567 - ------------------------------------------------------ UNREALIZED UNITS GAIN - ------------------------------------------------------ EQUITY INDEX SWAP AGREEMENTS SOLD SHORT Credit Suisse First Boston October 2009 S&P Select Sector Financial Index Swap, Terminating 10/30/09 (Notional Market Value $15,754,734)*(b)........ 112,437 $1 - ------------------------------------------------------
* Price return based on S&P Select Sector Financial Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FHLMC--Federal Home Loan Mortgage Corporation. See Notes to Financial Statements. ANNUAL REPORT 67 RYDEXSGI 2X S&P SELECT SECTOR HEALTH CARE ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ---------------------------------------------------- COMMON STOCKS 86.1% BIOTECHNOLOGY 11.0% Amgen, Inc.*................. 2,070 $111,221 Biogen Idec, Inc.*........... 600 25,278 Celgene Corp.*............... 930 47,477 Cephalon, Inc.*.............. 150 8,187 Genzyme Corp.*............... 560 28,336 Gilead Sciences, Inc.*....... 1,840 78,292 ---------- TOTAL BIOTECHNOLOGY 298,791 ---------- HEALTH CARE EQUIPMENT & SUPPLIES 13.2% Baxter International, Inc. .. 1,240 67,034 Becton, Dickinson & Co. ..... 500 34,180 Boston Scientific Corp.*..... 3,100 25,172 C.R. Bard, Inc. ............. 210 15,765 CareFusion Corp.*............ 370 8,277 Dentsply International, Inc. ..................... 300 9,888 Hospira, Inc.*............... 330 14,731 Intuitive Surgical, Inc.*.... 80 19,708 Medtronic, Inc. ............. 2,260 80,682 St Jude Medical, Inc.*....... 730 24,878 Stryker Corp. ............... 580 26,680 Varian Medical Systems, Inc.*..................... 260 10,655 Zimmer Holdings, Inc.*....... 440 23,131 ---------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 360,781 ---------- HEALTH CARE PROVIDERS & SERVICES 14.4% Aetna, Inc. ................. 910 23,687 AmerisourceBergen Corp. ..... 630 13,954 Cardinal Health, Inc. ....... 740 20,971 CIGNA Corp. ................. 570 15,869 Coventry Health Care, Inc.*.. 300 5,949 DaVita, Inc.*................ 210 11,136 Express Scripts, Inc.*....... 590 47,153 Humana, Inc.*................ 370 13,905 Laboratory Corp. of America Holdings*................. 220 15,156 McKesson Corp. .............. 560 32,889 Medco Health Solutions, Inc.*..................... 990 55,559 Patterson Cos., Inc.*........ 190 4,851 Quest Diagnostics, Inc. ..... 330 18,457 Tenet Healthcare Corp.*...... 910 4,659 UnitedHealth Group, Inc. .... 2,380 61,761 WellPoint, Inc.*............. 990 46,292 ---------- TOTAL HEALTH CARE PROVIDERS & SERVICES 392,248 ---------- HEALTH CARE TECHNOLOGY 0.2% IMS Health, Inc. ............ 390 6,392 ---------- TOTAL HEALTH CARE TECHNOLOGY 6,392 ---------- LIFE SCIENCES TOOLS & SERVICES 2.9% Life Technologies Corp.*..... 360 16,981 Millipore Corp.*............. 130 8,711 PerkinElmer, Inc. ........... 240 4,467 Thermo Fisher Scientific, Inc.*..................... 830 37,350 Waters Corp.*................ 190 10,912 ---------- TOTAL LIFE SCIENCES TOOLS & SERVICES 78,421 ---------- PHARMACEUTICALS 44.4% Abbott Laboratories.......... 2,670 135,022 Allergan, Inc. .............. 640 36,000 Bristol-Myers Squibb Co. .... 4,050 88,290 Eli Lilly & Co. ............. 2,060 70,061 Forest Laboratories, Inc.*... 620 17,155 Johnson & Johnson, Inc. ..... 5,610 331,270 King Pharmaceuticals, Inc.*.. 540 5,470 Merck & Co., Inc. ........... 4,290 132,690 Mylan, Inc.*................. 620 10,069 Pfizer, Inc. ................ 16,410 279,462 Schering-Plough Corp. ....... 3,360 94,752 Watson Pharmaceuticals, Inc.*..................... 230 7,917 ---------- TOTAL PHARMACEUTICALS 1,208,158 ---------- TOTAL COMMON STOCKS (Cost $2,169,014) 2,344,791 ---------- TOTAL INVESTMENTS 86.1%(A) (Cost $2,169,014) 2,344,791 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--13.9% 378,086 ---------- NET ASSETS--100.0% $2,722,877 - ---------------------------------------------------- UNREALIZED UNITS LOSS - ---------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS PURCHASED Credit Suisse First Boston October 2009 S&P Select Sector Health Care Index Swap, Terminating 10/30/09 (Notional Market Value $3,116,518)**(b).......... 11,051 $(1) - ----------------------------------------------------
* Non-Income Producing Security. ** Price return based on S&P Select Sector Health Care Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. 68 RYDEXSGI INVERSE 2X S&P SELECT SECTOR HEALTH CARE ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
FACE MARKET AMOUNT VALUE - ------------------------------------------------------ REPURCHASE AGREEMENTS 71.8% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $1,498,001 on 11/02/09 collateralized by $1,545,000 FHLB at 5.100% due 02/26/29 with a value of $1,529,550... $1,498,000 $1,498,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $1,498,000) 1,498,000 ---------- TOTAL INVESTMENTS 71.8%(A) (Cost $1,498,000) 1,498,000 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--28.2% 587,050 ---------- NET ASSETS--100.0%........... $2,085,050 - ------------------------------------------------------ UNREALIZED UNITS GAIN/LOSS - ------------------------------------------------------ EQUITY INDEX SWAP AGREEMENTS SOLD SHORT Credit Suisse First Boston October 2009 S&P Select Sector Health Care Index Swap, Terminating 10/30/09 (Notional Market Value $4,128,463)*(b)......... 14,639 $0 - ------------------------------------------------------
* Price return based on S&P Select Sector Health Care Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FHLB--Federal Home Loan Bank. See Notes to Financial Statements. ANNUAL REPORT 69 RYDEXSGI 2X S&P SELECT SECTOR TECHNOLOGY ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
MARKET SHARES VALUE - ----------------------------------------------------- COMMON STOCKS 84.7% COMMUNICATIONS EQUIPMENT 10.4% Ciena Corp.*................. 410 $4,809 Cisco Systems, Inc.*......... 15,810 361,258 Harris Corp. ................ 400 16,688 JDS Uniphase Corp.*.......... 768 4,293 Juniper Networks, Inc.*...... 1,490 38,010 Motorola, Inc. .............. 6,447 55,251 QUALCOMM, Inc. .............. 4,582 189,741 Tellabs, Inc.*............... 1,267 7,627 ---------- TOTAL COMMUNICATIONS EQUIPMENT 677,677 ---------- COMPUTERS & PERIPHERALS 21.8% Apple, Inc.*................. 2,455 462,768 Dell, Inc.*.................. 4,805 69,624 EMC Corp.*................... 5,622 92,594 Hewlett-Packard Co. ......... 5,399 256,237 International Business Machines Corp. ........... 3,593 433,352 Lexmark International, Inc. -- Class A*.......... 290 7,395 NetApp, Inc.*................ 990 26,780 QLogic Corp.*................ 430 7,542 SanDisk Corp.*............... 710 14,541 Sun Microsystems, Inc.*...... 2,208 18,061 Teradata Corp.*.............. 540 15,055 Western Digital Corp.*....... 646 21,757 ---------- TOTAL COMPUTERS & PERIPHERALS 1,425,706 ---------- DIVERSIFIED TELECOMMUNICATION SERVICES 10.8% AT&T, Inc. .................. 16,178 415,289 CenturyTel, Inc. ............ 849 27,559 Frontier Communications Corp. .................... 1,030 7,385 Qwest Communications International, Inc. ...... 4,412 15,839 Verizon Communications, Inc. ..................... 7,821 231,423 Windstream Corp. ............ 1,340 12,918 ---------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 710,413 ---------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.1% Agilent Technologies, Inc.*.. 1,010 24,988 Amphenol Corp. -- Class A.... 510 20,461 Corning, Inc. ............... 4,343 63,451 FLIR Systems, Inc.*.......... 456 12,681 Jabil Circuit, Inc. ......... 609 8,149 Molex, Inc. ................. 460 8,588 ---------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 138,318 ---------- INTERNET SOFTWARE & SERVICES 7.7% Akamai Technologies, Inc.*... 539 11,858 eBay, Inc.*.................. 3,138 69,883 Google, Inc. -- Class A*..... 659 353,303 VeriSign, Inc.*.............. 590 13,458 Yahoo!, Inc.*................ 3,345 53,186 ---------- TOTAL INTERNET SOFTWARE & SERVICES 501,688 ---------- IT SERVICES 4.6% Affiliated Computer Services, Inc. -- Class A*.......... 290 15,106 Automatic Data Processing, Inc. ..................... 1,407 55,999 Cognizant Technology Solutions Corp. -- Class A*........................ 850 32,853 Computer Sciences Corp.*..... 440 22,312 Convergys Corp.*............. 490 5,317 Fidelity National Information Services, Inc. ........... 938 20,411 Fiserv, Inc.*................ 450 20,642 Mastercard, Inc. -- Class A.. 270 59,135 Paychex, Inc. ............... 928 26,364 Total System Services, Inc. ..................... 630 10,061 Western Union Co. ........... 1,990 36,158 ---------- TOTAL IT SERVICES 304,358 ---------- OFFICE ELECTRONICS 0.3% Xerox Corp. ................. 2,545 19,138 ---------- TOTAL OFFICE ELECTRONICS 19,138 ---------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 9.2% Advanced Micro Devices, Inc.*..................... 1,747 8,036 Altera Corp. ................ 869 17,198 Analog Devices, Inc. ........ 850 21,786 Applied Materials, Inc. ..... 3,755 45,811 Broadcom Corp. -- Class A*... 1,229 32,704 Intel Corp. ................. 13,086 250,073 KLA-Tencor Corp. ............ 520 16,905 Linear Technology Corp. ..... 659 17,055 LSI Corp.*................... 2,016 10,322 MEMC Electronic Materials, Inc.*..................... 688 8,545 Microchip Technology, Inc. .. 550 13,178 Micron Technology, Inc.*..... 2,475 16,805 National Semiconductor Corp. .................... 780 10,093 Novellus Systems, Inc.*...... 340 6,997 NVIDIA Corp.*................ 1,600 19,136 Teradyne, Inc.*.............. 609 5,097 Texas Instruments, Inc. ..... 3,515 82,427 Xilinx, Inc. ................ 810 17,618 ---------- TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 599,786 ---------- SOFTWARE 16.7% Adobe Systems, Inc.*......... 1,479 48,718 Autodesk, Inc.*.............. 700 17,451 BMC Software, Inc.*.......... 539 20,029 CA, Inc. .................... 1,150 24,058 Citrix Systems, Inc.*........ 550 20,218 Compuware Corp.*............. 820 5,789 Electronic Arts, Inc.*....... 949 17,310 Intuit, Inc.*................ 929 27,006 McAfee, Inc.*................ 460 19,265 Microsoft Corp. ............. 21,250 589,262 Novell, Inc.*................ 1,240 5,072 Oracle Corp. ................ 10,771 227,268 Red Hat, Inc.*............... 555 14,325 Salesforce.com, Inc.*........ 330 18,728 Symantec Corp.*.............. 2,316 40,715 ---------- TOTAL SOFTWARE 1,095,214 ---------- WIRELESS TELECOMMUNICATION SERVICES 1.1% American Tower Corp. -- Class A*........................ 1,118 41,165 MetroPCS Communications, Inc.*..................... 848 5,283 Sprint Nextel Corp.*......... 8,207 24,292 ---------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 70,740 ---------- TOTAL COMMON STOCKS (Cost $4,688,959) 5,543,038 ---------- TOTAL INVESTMENTS 84.7%(A) (Cost $4,688,959) 5,543,038 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--15.3% 1,004,513 ---------- NET ASSETS--100.0% $6,547,551 - -----------------------------------------------------
See Notes to Financial Statements. 70 RYDEXSGI 2X S&P SELECT SECTOR TECHNOLOGY ETF SCHEDULE OF INVESTMENTS (concluded) October 31, 2009 - --------------------------------------------------------------------------------
UNREALIZED UNITS GAIN/LOSS - ----------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS PURCHASED Credit Suisse First Boston October 2009 S&P Select Sector Technology Index Swap, Terminating 10/30/09 (Notional Market Value $7,581,408)**(b).......... $36,687 $0 - -----------------------------------------------------
* Non-Income Producing Security. ** Price return based on S&P Select Sector Technology Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. See Notes to Financial Statements. ANNUAL REPORT 71 RYDEXSGI INVERSE 2X S&P SELECT SECTOR TECHNOLOGY ETF SCHEDULE OF INVESTMENTS October 31, 2009 - --------------------------------------------------------------------------------
FACE MARKET AMOUNT VALUE - ------------------------------------------------------ REPURCHASE AGREEMENTS 74.2% State Street Bank & Trust Co., 0.010%, dated 10/30/09, to be repurchased at $1,666,001 on 11/02/09 collateralized by $1,650,000 FHLMC at 5.625% due 11/23/35 with a value of $1,700,985... $1,666,000 $1,666,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $1,666,000) 1,666,000 ---------- TOTAL INVESTMENTS 74.2%(A) (Cost $1,666,000) 1,666,000 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--25.8% 580,546 ---------- NET ASSETS--100.0% $2,246,546 - ------------------------------------------------------ UNREALIZED UNITS GAIN/LOSS - ------------------------------------------------------ EQUITY INDEX SWAP AGREEMENTS SOLD SHORT Credit Suisse First Boston October 2009 S&P Select Sector Technology Index Swap, Terminating 10/30/09 (Notional Market Value $4,455,665)*(b)......... 21,561 $0 - ------------------------------------------------------
* Price return based on S&P Select Sector Technology Index +/- financing at a variable rate. (a) Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. (b) Values determined based on Level 2 inputs established by FASB ASC 820, Fair Value Measurements and Disclosures. FHLMC--Federal Home Loan Mortgage Corporation. See Notes to Financial Statements. 72 STATEMENTS OF ASSETS AND LIABILITIES October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI RYDEXSGI 2X INVERSE 2X RYDEXSGI 2X INVERSE 2X S&P MIDCAP S&P MIDCAP S&P 500 ETF S&P 500 ETF 400 ETF 400 ETF ------------ ------------ ----------- ------------ ASSETS Investments at Market Value*............... $ 99,066,028 $ -- $12,108,063 $ -- Repurchase Agreements...................... 3,350,000 74,461,000 -- 4,035,000 ------------ ------------ ----------- ------------ Total Investments.......................... 102,416,028 74,461,000 12,108,063 4,035,000 ------------ ------------ ----------- ------------ Cash....................................... 127 153 -- 103 Segregated Cash for Swaps.................. 14,164,100 16,185,000 1,343,800 1,120,650 Margin Deposit for Future Contracts........ 2,299,500 6,817,500 564,000 222,000 Unrealized Appreciation on Swap Agreements............................... -- 5 -- -- Receivables: Investments Sold......................... -- -- 598,026 -- Fund Shares Sold......................... -- 3,305,892 -- -- Dividends................................ 124,217 -- 6,464 -- Interest................................. -- 41 -- 2 Variation Margin on Futures Contracts.... -- 2,261,138 -- 66,435 Equity Index Swap Settlement............. -- 499,773 -- 199,779 ------------ ------------ ----------- ------------ TOTAL ASSETS.......................... 119,003,972 103,530,502 14,620,353 5,643,969 ------------ ------------ ----------- ------------ LIABILITIES Unrealized Depreciation on Swap Agreements............................... 3 -- 6 -- Payables: Equity Index Swap Settlement............. 1,040,707 -- 360,888 -- Variation Margin on Futures Contracts.... 762,668 -- 167,987 -- Due to Custodian......................... -- -- 58,792 -- Accrued Management Fees.................. 74,307 56,527 9,298 3,057 ------------ ------------ ----------- ------------ TOTAL LIABILITIES..................... 1,877,685 56,527 596,971 3,057 ------------ ------------ ----------- ------------ NET ASSETS................................. $117,126,287 $103,473,975 $14,023,382 $ 5,640,912 ============ ============ =========== ============ NET ASSETS CONSIST OF: Paid-in Capital............................ $142,868,393 $161,092,356 $16,581,086 $ 16,158,872 Undistributed Net Investment Income........ 47,400 -- -- -- Accumulated Net Realized Loss on Investment Securities, Futures and Swaps............ (36,149,324) (57,675,902) (5,185,100) (10,590,494) Net Unrealized Appreciation on Investment Securities, Futures and Swaps............ 10,359,818 57,521 2,627,396 72,534 ------------ ------------ ----------- ------------ NET ASSETS................................. $117,126,287 $103,473,975 $14,023,382 $ 5,640,912 ============ ============ =========== ============ Shares Outstanding (Unlimited Shares Authorized), No Par Value................ 4,150,000 1,550,000 450,000 150,000 ============ ============ =========== ============ Net Asset Value, Offering Price and Repurchase Price Per Share............... $ 28.22 $ 66.76 $ 31.16 $ 37.61 ============ ============ =========== ============ *Total Cost of Investments................. $ 91,819,713 $ 74,461,000 $ 9,191,338 $ 4,035,000 ============ ============ =========== ============
See Notes to Financial Statements. ANNUAL REPORT 73 STATEMENTS OF ASSETS AND LIABILITIES (continued) October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI RYDEXSGI 2X S&P INVERSE 2X S&P RYDEXSGI 2X INVERSE 2X SELECT SECTOR SELECT SECTOR RUSSELL 2000 ETF RUSSELL 2000 ETF ENERGY ETF ENERGY ETF ---------------- ---------------- --------------- -------------- ASSETS Investments at Market Value*....... $18,376,958 $ -- $ 8,912,421 $ -- Repurchase Agreements.............. -- 13,179,000 -- 1,178,000 ----------- ------------ ----------- ----------- Total Investments.................. 18,376,958 13,179,000 8.912,421 1,178,000 ----------- ------------ ----------- ----------- Cash............................... -- 828 -- 54 Segregated Cash for Swaps.......... 2,725,900 2,913,500 1,541,300 423,800 Margin Deposit for Future Contracts........................ 808,000 844,000 -- -- Unrealized Appreciation on Swap Agreements....................... 2 Receivables: Investments Sold................. 1,500,441 -- 496,643 -- Dividends........................ 10,426 -- 7,173 -- Interest......................... -- 7 -- -- Variation Margin on Futures Contracts..................... -- 324,940 -- -- Equity Index Swap Settlement..... -- 1,257,150 353,550 -- ----------- ------------ ----------- ----------- TOTAL ASSETS.................. 23,421,725 18,519,427 11,311,087 1,601,854 ----------- ------------ ----------- ----------- LIABILITIES Unrealized Depreciation on Swap Agreements....................... 3 2 1 1 Payables: Investments Purchased............ 1,333 -- -- -- Equity Index Swap Settlement..... 1,073,366 -- -- 144,254 Variation Margin on Futures Contracts..................... 311,080 -- -- -- Due to Custodian................. 262,255 -- 664,143 -- Accrued Management Fees.......... 14,916 9,731 6,691 841 ----------- ------------ ----------- ----------- TOTAL LIABILITIES............. 1,662,953 9,733 670,835 145,096 ----------- ------------ ----------- ----------- NET ASSETS......................... $21,758,772 $ 18,509,694 $10,640,252 $ 1,456,758 =========== ============ =========== =========== NET ASSETS CONSIST OF: Paid-in Capital.................... $26,458,430 $ 33,504,625 $13,673,849 $ 6,313,271 Undistributed Net Investment Income........................... -- -- 57 -- Accumulated Net Realized Loss on Investment Securities, Futures and Swaps........................ (7,961,010) (15,687,867) (4,666,844) (4,856,512) Net Unrealized Appreciation (Depreciation) on Investment Securities, Futures and Swaps.... 3,261,352 692,936 1,633,190 (1) ----------- ------------ ----------- ----------- NET ASSETS......................... $21,758,772 $ 18,509,694 $10,640,252 $ 1,456,758 =========== ============ =========== =========== Shares Outstanding (Unlimited Shares Authorized), No Par Value............................ 800,000 400,000 550,016 250,000 =========== ============ =========== =========== Net Asset Value, Offering Price and Repurchase Price Per Share....... $ 27.20 $ 46.27 $ 19.35 $ 5.83 =========== ============ =========== =========== *Total Cost of Investments......... $14,376,820 $ 13,179,000 $ 7,279,230 $ 1,178,000 =========== ============ =========== ===========
See Notes to Financial Statements. 74 STATEMENTS OF ASSETS AND LIABILITIES (continued) October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI RYDEXSGI 2X S&P INVERSE 2X S&P RYDEXSGI 2X S&P INVERSE 2X S&P SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR FINANCIAL ETF FINANCIAL ETF HEALTH CARE ETF HEALTH CARE ETF --------------- -------------- --------------- --------------- ASSETS Investments at Market Value*...... $ 14,936,914 $ -- $ 2,344,791 $ -- Repurchase Agreements............. -- 5,062,000 -- 1,498,000 ------------ ------------ ----------- ----------- Total Investments................. 14,936,914 5,062,000 2,344,791 1,498,000 ------------ ------------ ----------- ----------- Cash.............................. -- 559 -- 601 Segregated Cash for Swaps......... 2,917,700 2,219,550 436,200 542,200 Unrealized Appreciation on Swap Agreements...................... -- 1 -- -- Receivables: Investments Sold................ 992,668 -- -- -- Fund Shares Sold................ -- 316,250 -- -- Dividends....................... 13,148 -- 2,610 -- Interest........................ -- 3 -- 1 Equity Index Swap Settlement.... -- 330,043 -- 45,434 ------------ ------------ ----------- ----------- TOTAL ASSETS................. 18,860,430 7,928,406 2,783,601 2,086,236 ------------ ------------ ----------- ----------- LIABILITIES Unrealized Depreciation on Swap Agreements...................... -- -- 1 -- Payables: Equity Index Swap Settlement.... 823,756 -- 51,144 -- Due to Custodian................ 680,838 -- 7,876 -- Accrued Management Fees......... 12,727 3,839 1,703 1,186 ------------ ------------ ----------- ----------- TOTAL LIABILITIES............ 1,517,321 3,839 60,724 1,186 ------------ ------------ ----------- ----------- NET ASSETS........................ $ 17,343,109 $ 7,924,567 $ 2,722,877 $ 2,085,050 ============ ============ =========== =========== NET ASSETS CONSIST OF: Paid-in Capital................... $ 29,496,101 $ 17,971,766 $ 5,239,117 $ 4,811,743 Undistributed Net Investment Income.......................... 3,031 -- 1,304 -- Accumulated Net Realized Loss on Investment Securities, Futures and Swaps....................... (18,406,342) (10,047,200) (2,693,320) (2,726,693) Net Unrealized Appreciation on Investment Securities, Futures and Swaps....................... 6,250,319 1 175,776 -- ------------ ------------ ----------- ----------- NET ASSETS........................ $ 17,343,109 $ 7,924,567 $ 2,722,877 $ 2,085,050 ============ ============ =========== =========== Shares Outstanding (Unlimited Shares Authorized), No Par Value........................... 1,450,246 1,250,100 50,009 50,000 ============ ============ =========== =========== Net Asset Value, Offering Price and Repurchase Price Per Share.. $ 11.96 $ 6.34 $ 54.45 $ 41.70 ============ ============ =========== =========== *Total Cost of Investments........ $ 8,686,595 $ 5,062,000 $ 2,169,014 $ 1,498,000 ============ ============ =========== ===========
See Notes to Financial Statements. ANNUAL REPORT 75 STATEMENTS OF ASSETS AND LIABILITIES (concluded) October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI 2X INVERSE 2X S&P S&P SELECT SECTOR SELECT SECTOR TECHNOLOGY ETF TECHNOLOGY ETF ----------------- -------------- ASSETS Investments at Market Value*............................ $ 5,543,038 $ -- Repurchase Agreements................................... -- 1,666,000 ----------- ----------- Total Investments....................................... 5,543,038 1,666,000 ----------- ----------- Cash.................................................... -- 492 Segregated Cash for Swaps............................... 1,058,100 613,100 Receivables: Dividends............................................. 11,388 -- Interest.............................................. -- 1 Equity Index Swap Settlement.......................... 3,473 -- ----------- ----------- TOTAL ASSETS....................................... 6,615,999 2,279,593 ----------- ----------- LIABILITIES Payables: Equity Index Swap Settlement.......................... -- 31,747 Due to Custodian...................................... 64,419 -- Accrued Management Fees............................... 4,029 1,300 ----------- ----------- TOTAL LIABILITIES.................................. 68,448 33,047 ----------- ----------- NET ASSETS.............................................. $ 6,547,551 $ 2,246,546 =========== =========== NET ASSETS CONSIST OF: Paid-in Capital......................................... $ 9,036,077 $ 6,086,350 Undistributed Net Investment Income..................... 6,259 -- Accumulated Net Realized Loss on Investment Securities, Futures and Swaps..................................... (3,348,864) (3,839,804) Net Unrealized Appreciation on Investment Securities, Futures and Swaps..................................... 854,079 -- ----------- ----------- NET ASSETS.............................................. $ 6,547,551 $ 2,246,546 =========== =========== Shares Outstanding (Unlimited Shares Authorized), No Par Value................................................. 150,005 100,000 =========== =========== Net Asset Value, Offering Price and Repurchase Price Per Share................................................. $ 43.65 $ 22.47 =========== =========== *Total Cost of Investments.............................. $ 4,688,959 $ 1,666,000 =========== ===========
See Notes to Financial Statements. 76 STATEMENTS OF OPERATIONS For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI RYDEXSGI 2X INVERSE 2X RYDEXSGI 2X INVERSE 2X S&P MIDCAP S&P MIDCAP S&P 500 ETF S&P 500 ETF 400 ETF 400 ETF ------------ ------------ ----------- ------------ INVESTMENT INCOME Dividends.............................. $ 2,720,962 $ -- $ 134,615 $ -- Interest............................... 7,216 68,303 235 5,002 ------------ ------------ ----------- ------------ Total Income........................ 2,728,178 68,303 134,850 5,002 ------------ ------------ ----------- ------------ EXPENSES Management Fee......................... 890,598 694,657 66,354 48,602 Trustee Fees........................... 10,401 8,064 630 743 ------------ ------------ ----------- ------------ Total Expenses...................... 900,999 702,721 66,984 49,345 ------------ ------------ ----------- ------------ Net Investment Income (Loss)............. 1,827,179 (634,418) 67,866 (44,343) ------------ ------------ ----------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments............................ (30,075,496) (1,563) (1,945,782) (91) In-kind Redemptions.................... 14,600,598 -- -- -- Futures Contracts...................... (2,886,097) (7,248,808) 844,698 (1,270,080) Swap Contracts......................... 13,201,164 (60,898,294) 2,326,206 (9,786,889) ------------ ------------ ----------- ------------ Net Realized Gain (Loss)............ (5,159,831) (68,148,665) 1,225,122 (11,057,060) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities.................. 24,703,257 -- 3,690,814 -- Futures Contracts...................... 2,509,138 10,530,279 (438,323) 539,100 Swap Contracts......................... -- 5 (236,608) 1,405,948 ------------ ------------ ----------- ------------ Net Change in Unrealized Appreciation (Depreciation) on Investments.......... 27,212,395 10,530,284 3,015,883 1,945,048 ------------ ------------ ----------- ------------ Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swap Contracts.............................. 22,052,564 (57,618,381) 4,241,005 (9,112,012) ------------ ------------ ----------- ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.. $ 23,879,743 $(58,252,799) $ 4,308,871 $ (9,156,355) ============ ============ =========== ============
See Notes to Financial Statements. ANNUAL REPORT 77 STATEMENTS OF OPERATIONS (continued) For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI RYDEXSGI 2X S&P INVERSE 2X S&P RYDEXSGI 2X INVERSE 2X SELECT SECTOR SELECT SECTOR RUSSELL 2000 ETF RUSSELL 2000 ETF ENERGY ETF ENERGY ETF ---------------- ---------------- ------------- -------------- INVESTMENT INCOME Dividends, Net of Foreign Tax Withheld......................... $ 236,358 $ -- $ 135,586 $ -- Interest............................ 829 13,553 253 1,654 ----------- ------------ ----------- ----------- Total Income..................... 237,187 13,553 135,839 1,654 ----------- ------------ ----------- ----------- EXPENSES Management Fee...................... 124,940 125,146 52,367 14,513 Trustee Fees........................ 1,270 1,647 454 265 Other Fees.......................... 84 -- -- -- ----------- ------------ ----------- ----------- Total Expenses................... 126,294 126,793 52,821 14,778 ----------- ------------ ----------- ----------- Net Investment Income (Loss).......... 110,893 (113,240) 83,018 (13,124) ----------- ------------ ----------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments......................... (3,931,260) (220) (1,120,615) (33) In-kind Redemptions................. -- -- -- -- Futures Contracts................... (3,233,346) (1,806,512) (48,249) (37,081) Swap Contracts...................... 4,504,775 (16,108,595) 1,317,319 (4,819,398) ----------- ------------ ----------- ----------- Net Realized Gain (Loss)......... (2,659,831) (17,915,327) 148,455 (4,856,512) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities............... 5,010,929 -- 1,540,172 -- Futures Contracts................... 685,882 2,920,396 -- -- Swap Contracts...................... (3) 1,755,839 (652,120) 2,974,766 ----------- ------------ ----------- ----------- Net Change in Unrealized Appreciation (Depreciation) on Investments....... 5,696,808 4,676,235 888,052 2,974,766 ----------- ------------ ----------- ----------- Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swap Contracts...................... 3,036,977 (13,239,092) 1,036,507 (1,881,746) ----------- ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 3,147,870 $(13,352,332) $ 1,119,525 $(1,894,870) =========== ============ =========== =========== Foreign Taxes Withheld.............. $ 60 -- -- --
See Notes to Financial Statements. 78 STATEMENTS OF OPERATIONS (continued) For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI RYDEXSGI RYDEXSGI 2X INVERSE 2X S&P 2X S&P INVERSE 2X S&P S&P SELECT SECTOR SELECT SECTOR SELECT SECTOR SELECT SECTOR FINANCIAL ETF FINANCIAL ETF HEALTH CARE ETF HEALTH CARE ETF ----------------- -------------- --------------- --------------- INVESTMENT INCOME Dividends......................... $ 251,252 $ -- $ 74,547 $ -- Interest.......................... 405 4,336 150 3,588 ----------- ------------ --------- ----------- Total Income................... 251,657 4,336 74,697 3,588 ----------- ------------ --------- ----------- EXPENSES Management Fee.................... 107,810 43,357 25,222 31,982 Trustee Fees...................... 1,394 543 422 477 Other Fees........................ -- -- 51 -- ----------- ------------ --------- ----------- Total Expenses................. 109,204 43,900 25,695 32,459 ----------- ------------ --------- ----------- Net Investment Income (Loss)........ 142,453 (39,564) 49,002 (28,871) ----------- ------------ --------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments....................... (4,659,387) (101) (835,779) (30) Futures Contracts................. (49,292) (135,814) -- (32,225) Swap Contracts.................... 4,518,597 (9,909,898) 296,270 (2,694,438) ----------- ------------ --------- ----------- Net Realized Loss.............. (190,082) (10,045,813) (539,509) (2,726,693) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities............. 6,573,500 -- 700,927 -- Futures Contracts................. -- (1,387) -- -- Swap Contracts.................... (2,566,561) 3,320,091 (461,514) 1,728,947 ----------- ------------ --------- ----------- Net Change in Unrealized Appreciation (Depreciation) on Investments....................... 4,006,939 3,318,704 239,413 1,728,947 ----------- ------------ --------- ----------- Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swap Contracts.................... 3,816,857 (6,727,109) (300,096) (997,746) ----------- ------------ --------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $ 3,959,310 $ (6,766,673) $(251,094) $(1,026,617) =========== ============ ========= ===========
See Notes to Financial Statements. ANNUAL REPORT 79 STATEMENTS OF OPERATIONS (concluded) For the Year Ended October 31, 2009 - --------------------------------------------------------------------------------
RYDEXSGI RYDEXSGI 2X INVERSE 2X S&P S&P SELECT SECTOR SELECT SECTOR TECHNOLOGY ETF TECHNOLOGY ETF ----------------- -------------- INVESTMENT INCOME Dividends............................................. $ 66,130 $ -- Interest.............................................. 132 2,202 ---------- ----------- Total Income....................................... 66,262 2,202 ---------- ----------- EXPENSES Management Fee........................................ 28,755 19,381 Trustee Fees.......................................... 344 405 Other Fees............................................ 13 -- ---------- ----------- Total Expenses..................................... 29,112 19,786 ---------- ----------- Net Investment Income (Loss)............................ 37,150 (17,584) ---------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net Realized Gain (Loss) From: Investments........................................... (899,204) (21) Futures Contracts..................................... -- (71,461) Swap Contracts........................................ 1,453,810 (3,768,322) ---------- ----------- Net Realized Gain (Loss)........................... 554,606 (3,839,804) Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities................................. 1,683,525 -- Swap Contracts........................................ (343,569) 1,879,566 ---------- ----------- Net Change in Unrealized Appreciation (Depreciation) on Investments........................................... 1,339,956 1,879,566 ---------- ----------- Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swap Contracts............................ 1,894,562 (1,960,238) ---------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $1,931,712 $(1,977,822) ========== ===========
See Notes to Financial Statements. 80 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P 500 ETF RYDEXSGI INVERSE 2X S&P 500 ETF ------------------------------------ ------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- OPERATIONS Net Investment Income (Loss).... $ 1,827,179 $ 451,990 $ (634,418) $ 532,036 Net Realized Gain (Loss)........ (5,159,831) (34,335,074) (68,148,665) 39,280,084 Net Change in Unrealized Appreciation (Depreciation) on Investments............... 27,212,395 (16,852,577) 10,530,284 (10,472,763) ------------- ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting From Operations................... 23,879,743 (50,735,661) (58,252,799) 29,339,357 ------------- ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income........... (1,841,018) (363,939) -- (552,721) Net Realized Gains.............. -- -- (12,634,948) -- ------------- ------------ ------------ ------------ Decrease in Net Assets From Distributions to Shareholders................. (1,841,018) (363,939) (12,634,948) (552,721) ------------- ------------ ------------ ------------ SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased.. 88,152,392 168,610,953 175,280,502 112,256,284 Value of Shares Redeemed........ (106,428,723) (4,147,460) (67,024,337) (74,937,363) ------------- ------------ ------------ ------------ Net Increase (Decrease) in Net Assets Resulting From Share Transactions................. (18,276,331) 164,463,493 108,256,165 37,318,921 ------------- ------------ ------------ ------------ Increase in Net Assets....... 3,762,394 113,363,893 37,368,418 66,105,557 NET ASSETS--BEGINNING OF PERIOD... 113,363,893 -- 66,105,557 -- ------------- ------------ ------------ ------------ NET ASSETS--END OF PERIOD(1)...... $ 117,126,287 $113,363,893 $103,473,975 $ 66,105,557 ============= ============ ============ ============ (1) Including Undistributed Net Investment Income............... $ 47,400 $ 81,221 $ -- $ -- ============= ============ ============ ============ CHANGES IN SHARES OUTSTANDING: Shares Purchased................ 4,750,000 4,250,000 1,600,000 1,150,000 Shares Redeemed................. (4,700,000) (150,000) (550,000) (650,000) Shares Outstanding, Beginning of Period....................... 4,100,000 -- 500,000 -- ------------- ------------ ------------ ------------ Shares Outstanding, End of Period....................... 4,150,000 4,100,000 1,550,000 500,000 ============= ============ ============ ============
* The Fund commenced operations on November 5, 2007. See Notes to Financial Statements. ANNUAL REPORT 81 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEXSGI INVERSE 2X S&P RYDEXSGI 2X S&P MIDCAP 400 ETF MIDCAP 400 ETF ------------------------------------ ------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- OPERATIONS Net Investment Income (Loss).... $ 67,866 $ 55,729 $ (44,343) $ 176,138 Net Realized Gain (Loss)........ 1,225,122 (6,424,515) (11,057,060) 10,761,388 Net Change in Unrealized Appreciation (Depreciation) on Investments............... 3,015,883 (388,487) 1,945,048 (1,872,514) Contribution from Advisor....... -- -- -- 148,040 ----------- ----------- ------------ ------------ Net Increase (Decrease) in Net Assets Resulting From Operations................... 4,308,871 (6,757,273) (9,156,355) 9,213,052 ----------- ----------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income........... (67,595) (50,604) -- (178,257) Net Realized Gains.............. -- -- (2,190,847) -- Capital......................... -- (2,868) -- -- ----------- ----------- ------------ ------------ Decrease in Net Assets From Distributions to Shareholders................. (67,595) (53,472) (2,190,847) (178,257) ----------- ----------- ------------ ------------ SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased.. 6,026,265 20,963,143 10,392,003 26,670,531 Value of Shares Redeemed........ (1,724,185) (8,672,372) -- (29,109,215) ----------- ----------- ------------ ------------ Net Increase (Decrease) in Net Assets Resulting From Share Transactions................. 4,302,080 12,290,771 10,392,003 (2,438,684) ----------- ----------- ------------ ------------ Increase (Decrease) in Net Assets..................... 8,543,356 5,480,026 (955,199) 6,596,111 NET ASSETS--BEGINNING OF PERIOD... 5,480,026 -- 6,596,111 -- ----------- ----------- ------------ ------------ NET ASSETS--END OF PERIOD(1)...... $14,023,382 $ 5,480,026 $ 5,640,912 $ 6,596,111 =========== =========== ============ ============ (1) Including Undistributed Net Investment Income............... $ -- $ -- $ -- $ -- =========== =========== ============ ============ CHANGES IN SHARES OUTSTANDING: Shares Purchased................ 350,000 350,000 100,000 350,000 Shares Redeemed................. (100,000) (150,000) -- (300,000) Shares Outstanding, Beginning of Period....................... 200,000 -- 50,000 -- ----------- ----------- ------------ ------------ Shares Outstanding, End of Period....................... 450,000 200,000 150,000 50,000 =========== =========== ============ ============
* The Fund commenced operations on November 5, 2007. See Notes to Financial Statements. 82 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEXSGI INVERSE 2X RYDEXSGI 2X RUSSELL 2000 ETF RUSSELL 2000 ETF ------------------------------------ ------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- OPERATIONS Net Investment Income (Loss).... $ 110,893 $ 78,359 $ (113,240) $ 294,102 Net Realized Gain (Loss)........ (2,659,831) (5,325,917) (17,915,327) 12,757,827 Net Change in Unrealized Appreciation (Depreciation) on Investments............... 5,696,808 (2,435,456) 4,676,235 (3,983,299) Contribution from Advisor....... -- -- -- 315,120 ----------- ----------- ------------ ------------ Net Increase (Decrease) in Net Assets Resulting From Operations................... 3,147,870 (7,683,014) (13,352,332) 9,383,750 ----------- ----------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income........... (103,863) (66,551) -- (298,197) Net Realized Gains.............. -- -- (2,169,111) -- ----------- ----------- ------------ ------------ Decrease in Net Assets From Distributions to Shareholders................. (103,863) (66,551) (2,169,111) (298,197) ----------- ----------- ------------ ------------ SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased.. 9,780,206 30,146,525 38,859,185 67,341,919 Value of Shares Redeemed........ (4,506,944) (8,955,457) (21,346,195) (59,909,325) ----------- ----------- ------------ ------------ Net Increase in Net Assets Resulting From Share Transactions................. 5,273,262 21,191,068 17,512,990 7,432,594 ----------- ----------- ------------ ------------ Increase in Net Assets....... 8,317,269 13,441,503 1,991,547 16,518,147 NET ASSETS--BEGINNING OF PERIOD... 13,441,503 -- 16,518,147 -- ----------- ----------- ------------ ------------ NET ASSETS--END OF PERIOD(1)...... $21,758,772 $13,441,503 $ 18,509,694 $ 16,518,147 =========== =========== ============ ============ (1) Including Undistributed Net Investment Income............... $ -- $ 2,359 $ -- $ -- =========== =========== ============ ============ CHANGES IN SHARES OUTSTANDING: Shares Purchased................ 550,000 600,000 450,000 850,000 Shares Redeemed................. (200,000) (150,000) (200,000) (700,000) Shares Outstanding, Beginning of Period....................... 450,000 -- 150,000 -- ----------- ----------- ------------ ------------ Shares Outstanding, End of Period....................... 800,000 450,000 400,000 150,000 =========== =========== ============ ============
* The Fund commenced operations on November 5, 2007. See Notes to Financial Statements. ANNUAL REPORT 83 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT SECTOR ENERGY RYDEXSGI INVERSE 2X S&P SELECT ETF SECTOR ENERGY ETF ------------------------------------ ------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- OPERATIONS Net Investment Income (Loss).... $ 83,018 $ 8,291 $ (13,124) $ 18,425 Net Realized Gain (Loss)........ 148,455 (4,815,299) (4,856,512) 6,661,068 Net Change in Unrealized Appreciation (Depreciation) on Investments............... 888,052 745,138 2,974,766 (2,974,767) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations................... 1,119,525 (4,061,870) (1,894,870) 3,704,726 ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income........... (83,944) (7,308) -- (19,874) Net Realized Gains.............. -- -- (4,324,132) -- ----------- ----------- ----------- ----------- Decrease in Net Assets From Distributions to Shareholders................. (83,944) (7,308) (4,324,132) (19,874) ----------- ----------- ----------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased.. 6,146,803 10,214,317 2,080,221 7,500,000 Value of Shares Purchased through Dividend Reinvestments................ 244 -- -- -- Value of Shares Redeemed........ (586,171) (2,101,344) -- (5,589,313) ----------- ----------- ----------- ----------- Net Increase in Net Assets Resulting From Share Transactions................. 5,560,876 8,112,973 2,080,221 1,910,687 ----------- ----------- ----------- ----------- Increase in Net Assets....... 6,596,457 4,043,795 (4,138,781) 5,595,539 NET ASSETS--BEGINNING OF PERIOD... 4,043,795 -- 5,595,539 -- ----------- ----------- ----------- ----------- NET ASSETS--END OF PERIOD(1)...... $10,640,252 $ 4,043,795 $ 1,456,758 $ 5,595,539 =========== =========== =========== =========== (1) Including Undistributed Net Investment Income............... $ 57 $ 983 $ -- $ -- =========== =========== =========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................ 400,000 250,000 200,000 100,000 Shares Purchased through Dividend Reinvestments....... 16 -- -- -- Shares Redeemed................. (50,000) (50,000) -- (50,000) Shares Outstanding, Beginning of Period....................... 200,000 -- 50,000 -- ----------- ----------- ----------- ----------- Shares Outstanding, End of Period....................... 550,016 200,000 250,000 50,000 =========== =========== =========== ===========
* The Fund commenced operations on June 10, 2008. See Notes to Financial Statements. 84 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT SECTOR RYDEXSGI INVERSE 2X S&P SELECT FINANCIAL ETF SECTOR FINANCIAL ETF ------------------------------------ ------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- OPERATIONS Net Investment Income (Loss).... $ 142,453 $ 116,930 $ (39,564) $ 16,113 Net Realized Gain (Loss)........ (190,082) (18,241,119) (10,045,813) 2,984,583 Net Change in Unrealized Appreciation (Depreciation) on Investments............... 4,006,939 2,243,380 3,318,704 (3,318,703) ------------ ------------ ------------ ----------- Net Increase (Decrease) in Net Assets Resulting From Operations................... 3,959,310 (15,880,809) (6,766,673) (318,007) ------------ ------------ ------------ ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income........... (166,185) (65,308) -- (18,187) Net Realized Gains.............. -- -- (1,661,947) -- ------------ ------------ ------------ ----------- Decrease in Net Assets From Distributions to Shareholders................. (166,185) (65,308) (1,661,947) (18,187) ------------ ------------ ------------ ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased.. 13,456,148 35,235,683 26,033,289 7,500,000 Value of Shares Purchased through Dividend Reinvestments................ 2,108 -- 3,296 -- Value of Shares Redeemed........ (10,518,542) (8,679,296) (16,847,204) -- ------------ ------------ ------------ ----------- Net Increase in Net Assets Resulting From Share Transactions................. 2,939,714 26,556,387 9,189,381 7,500,000 ------------ ------------ ------------ ----------- Increase in Net Assets....... 6,732,839 10,610,270 760,761 7,163,806 NET ASSETS--BEGINNING OF PERIOD... 10,610,270 -- 7,163,806 -- ------------ ------------ ------------ ----------- NET ASSETS--END OF PERIOD(1)...... $ 17,343,109 $ 10,610,270 $ 7,924,567 $ 7,163,806 ============ ============ ============ =========== (1) Including Undistributed Net Investment Income............... $ 3,031 $ 44,812 $ -- $ -- ============ ============ ============ =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................ 1,900,000 750,000 1,350,000 100,000 Shares Purchased through Dividend Reinvestments....... 246 -- 100 -- Shares Redeemed................. (850,000) (350,000) (200,000) -- Shares Outstanding, Beginning of Period....................... 400,000 -- 100,000 -- ------------ ------------ ------------ ----------- Shares Outstanding, End of Period....................... 1,450,246 400,000 1,250,100 100,000 ============ ============ ============ ===========
* The Fund commenced operations on June 10, 2008. See Notes to Financial Statements. ANNUAL REPORT 85 STATEMENTS OF CHANGES IN NET ASSETS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT SECTOR HEALTH RYDEXSGI INVERSE 2X S&P SELECT CARE ETF SECTOR HEALTH CARE ETF ------------------------------------ ------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- OPERATIONS Net Investment Income (Loss).... $ 49,002 $ 23,180 $ (28,871) $ 16,166 Net Realized Gain (Loss)........ (539,509) (2,153,811) (2,726,693) 2,612,958 Net Change in Unrealized Appreciation (Depreciation) on Investments............... 239,413 (63,637) 1,728,947 (1,728,947) ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations................... (251,094) (2,194,268) (1,026,617) 900,177 ----------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income........... (48,709) (22,169) -- (18,758) Net Realized Gains.............. -- -- (2,610,366) -- ----------- ----------- ----------- ----------- Decrease in Net Assets From Distributions to Shareholders................. (48,709) (22,169) (2,610,366) (18,758) ----------- ----------- ----------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased.. -- 7,500,000 -- 7,500,000 Value of Shares Purchased through Dividend Reinvestments................ 419 -- -- -- Value of Shares Redeemed........ (2,261,302) -- (2,659,386) -- ----------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Share Transactions................. (2,260,883) 7,500,000 (2,659,386) 7,500,000 ----------- ----------- ----------- ----------- Increase (Decrease) in Net Assets..................... (2,560,686) 5,283,563 (6,296,369) 8,381,419 NET ASSETS--BEGINNING OF PERIOD... 5,283,563 -- 8,381,419 -- ----------- ----------- ----------- ----------- NET ASSETS--END OF PERIOD(1)...... $ 2,722,877 $ 5,283,563 $ 2,085,050 $ 8,381,419 =========== =========== =========== =========== (1) Including Undistributed Net Investment Income............... $ 1,304 $ 1,011 $ -- $ -- =========== =========== =========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................ -- 100,000 -- 100,000 Shares Purchased through Dividend Reinvestments....... 9 -- -- -- Shares Redeemed................. (50,000) -- (50,000) -- Shares Outstanding, Beginning of Period....................... 100,000 -- 100,000 -- ----------- ----------- ----------- ----------- Shares Outstanding, End of Period....................... 50,009 100,000 50,000 100,000 =========== =========== =========== ===========
* The Fund commenced operations on June 10, 2008. See Notes to Financial Statements. 86 STATEMENTS OF CHANGES IN NET ASSETS (concluded) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT SECTOR RYDEXSGI INVERSE 2X S&P SELECT TECHNOLOGY ETF SECTOR TECHNOLOGY ETF ------------------------------------ ------------------------------------ YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- OPERATIONS Net Investment Income (Loss).... $ 37,150 $ 15,972 $ (17,584) $ 15,900 Net Realized Gain (Loss)........ 554,606 (3,903,470) (3,839,804) 6,294,225 Net Change in Unrealized Appreciation (Depreciation) on Investments............... 1,339,956 (485,877) 1,879,566 (1,879,566) ---------- ----------- ----------- ----------- Net Increase (Decrease) in Net Assets Resulting From Operations................... 1,931,712 (4,373,375) (1,977,822) 4,430,559 ---------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income........... (35,536) (11,327) -- (18,238) Net Realized Gains.............. -- -- (3,807,845) -- ---------- ----------- ----------- ----------- Decrease in Net Assets From Distributions to Shareholders................. (35,536) (11,327) (3,807,845) (18,238) ---------- ----------- ----------- ----------- SHAREHOLDER TRANSACTIONS Proceeds From Shares Purchased.. 1,535,941 7,500,000 1,563,750 7,500,000 Value of Shares Purchased through Dividend Reinvestments................ 136 -- -- -- Value of Shares Redeemed........ -- -- -- (5,443,858) ---------- ----------- ----------- ----------- Net Increase in Net Assets Resulting From Share Transactions................. 1,536,077 7,500,000 1,563,750 2,056,142 ---------- ----------- ----------- ----------- Increase (Decrease) in Net Assets..................... 3,432,253 3,115,298 (4,221,917) 6,468,463 NET ASSETS--BEGINNING OF PERIOD... 3,115,298 -- 6,468,463 -- ---------- ----------- ----------- ----------- NET ASSETS--END OF PERIOD(1)...... $6,547,551 $ 3,115,298 $ 2,246,546 $ 6,468,463 ========== =========== =========== =========== (1) Including Undistributed Net Investment Income............... $ 6,259 $ 4,645 $ -- $ -- ========== =========== =========== =========== CHANGES IN SHARES OUTSTANDING: Shares Purchased................ 50,000 100,000 50,000 100,000 Shares Purchased through Dividend Reinvestments....... 5 -- -- -- Shares Redeemed................. -- -- -- (50,000) Shares Outstanding, Beginning of Period....................... 100,000 -- 50,000 -- ---------- ----------- ----------- ----------- Shares Outstanding, End of Period....................... 150,005 100,000 100,000 50,000 ========== =========== =========== ===========
* The Fund commenced operations on June 10, 2008. See Notes to Financial Statements. ANNUAL REPORT 87 FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P 500 ETF RYDEXSGI INVERSE 2X S&P 500 ETF ----------------------------------- ----------------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 27.65 $ 75.00 $ 132.21 $ 75.00 -------- -------- -------- ------- Net Investment Income (Loss)**...... 0.31 0.61 (0.61) 1.04 Net Realized and Unrealized Gain (Loss) on Investments............. 0.57 (47.27) (46.79) 57.20 -------- -------- -------- ------- TOTAL FROM INVESTMENT OPERATIONS.... 0.88 (46.66) (47.40) 58.24 -------- -------- -------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.31) (0.69) -- (1.03) Net Realized Gains.................. -- -- (18.05) -- -------- -------- -------- ------- Total Distributions................. (0.31) (0.69) (18.05) (1.03) -------- -------- -------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 28.22 $ 27.65 $ 66.76 $132.21 ======== ======== ======== ======= TOTAL RETURN***..................... 3.51% (62.68)% (41.45)% 78.27% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $117,126 $113,364 $103,474 $66,106 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.70% 0.70%**** 0.71% 0.71%**** Net Investment Income (Loss)........ 1.43% 1.35%**** (0.64)% 1.09%**** Portfolio Turnover Rate+............ 69% 44% -- --
* The Fund commenced operations on November 5, 2007. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. See Notes to Financial Statements. 88 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P RYDEXSGI INVERSE 2X S&P MIDCAP 400 ETF MIDCAP 400 ETF ----------------------------------- ----------------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 27.40 $ 75.00 $131.92 $ 75.00 ------- ------- ------- ------- Net Investment Income (Loss)**...... 0.18 0.56 (0.39) 1.40 Contribution from Advisor........... -- -- -- 1.17 Net Realized and Unrealized Gain (Loss) on Investments............. 3.76 (47.62) (50.10) 55.83 ------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... 3.94 (47.06) (50.49) 58.40 ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.18) (0.53) -- (1.48) Net Realized Gains.................. -- -- (43.82) -- Capital............................. -- (0.01) -- -- ------- ------- ------- ------- Total Distributions................. (0.18) (0.54) (43.82) (1.48) ------- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 31.16 $ 27.40 $ 37.61 $131.92 ======= ======= ======= ======= TOTAL RETURN*** 14.60% (63.12)% (55.74)% 78.90%(a) RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $14,023 $ 5,480 $ 5,641 $ 6,596 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.71% 0.71%**** 0.71% 0.71%**** Net Investment Income (Loss)........ 0.71% 0.94%**** (0.64)% 1.65%**** Portfolio Turnover Rate+............ 84% 234% -- --
* The Fund commenced operations on November 5, 2007. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized (for periods less than a year) and does not include securities received or delivered from processing creations or redemptions. Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. (a) For the period ended October 31, 2008, 1.77% of the Fund's total return consisted of a voluntary reimbursement by the Advisor for a realized investment loss. Excluding this item, total return would have been 77.13%. See Notes to Financial Statements. ANNUAL REPORT 89 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X RYDEXSGI RUSSELL 2000 ETF INVERSE 2X RUSSELL 2000 ETF ----------------------------------- ----------------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 29.87 $ 75.00 $110.12 $ 75.00 ------- ------- ------- ------- Net Investment Income (Loss)**...... 0.14 0.51 (0.45) 1.21 Contribution from Advisor........... -- -- -- 1.29 Net Realized and Unrealized Gain (Loss) on Investments............. (2.67) (45.09) (48.94) 33.76 ------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... (2.53) (44.58) (49.39) 36.26 ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.14) (0.55) -- (1.14) Net Realized Gains.................. -- -- (14.46) -- ------- ------- ------- ------- Total Distributions................. (0.14) (0.55) (14.46) (1.14) ------- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 27.20 $ 29.87 $ 46.27 $110.12 ======= ======= ======= ======= TOTAL RETURN***..................... (8.36)% (59.79)% (51.17)% 48.79%(a) RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $21,759 $13,442 $18,510 $16,518 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.70% 0.71%**** 0.71% 0.71%**** Net Investment Income (Loss)........ 0.62% 0.93%**** (0.63)% 1.41%**** Portfolio Turnover Rate+............ 124% 192% -- --
* The Fund commenced operations on November 5, 2007. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. (a) For the period ended October 31, 2008, 1.19% of the Fund's total return consisted of a voluntary reimbursement by the Advisor for a realized investment loss. Excluding this item, total return would have been 47.60%. See Notes to Financial Statements. 90 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT RYDEXSGI INVERSE 2X S&P SELECT SECTOR ENERGY ETF SECTOR ENERGY ETF ----------------------------------- ----------------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 20.22 $ 75.00 $111.91 $ 75.00 ------- ------- ------- ------- Net Investment Income (Loss)**...... 0.18 0.09 (0.08) 0.22 Net Realized and Unrealized Gain (Loss) on Investments............. (0.88) (54.72) (19.52) 37.09 ------- ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... (0.70) (54.63) (19.60) 37.31 ------- ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.17) (0.15) -- (0.40) Net Realized Gains.................. -- -- (86.48) -- ------- ------- ------- ------- Total Distributions................. (0.17) (0.15) (86.48) (0.40) ------- ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $ 19.35 $ 20.22 $ 5.83 $111.91 ======= ======= ======= ======= TOTAL RETURN***..................... (3.21)% (72.94)% (57.39)% 49.75% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $10,640 $ 4,044 $ 1,457 $ 5,596 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.70% 0.71%**** 0.70% 0.71%**** Net Investment Income (Loss)........ 1.11% 0.44%**** (0.62)% 0.55%**** Portfolio Turnover Rate+............ 123% 105% -- --
* The Fund commenced operations on June 10, 2008. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. See Notes to Financial Statements. ANNUAL REPORT 91 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT RYDEXSGI INVERSE 2X S&P SELECT SECTOR FINANCIAL ETF SECTOR FINANCIAL ETF ----------------------------------- ----------------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $ 26.53 $ 75.00 $ 71.64 $75.00 ------- ------- ------- ------ Net Investment Income (Loss)**...... 0.09 0.45 (0.08) 0.16 Net Realized and Unrealized Loss on Investments....................... (14.48) (48.76) (31.98) (3.34) ------- ------- ------- ------ TOTAL FROM INVESTMENT OPERATIONS.... (14.39) (48.31) (32.06) (3.18) ------- ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.18) (0.16) -- (0.18) Net Realized Gains.................. -- -- (33.24) -- ------- ------- ------- ------ Total Distributions................. (0.18) (0.16) (33.24) (0.18) ------- ------- ------- ------ NET ASSET VALUE AT END OF PERIOD.... $ 11.96 $ 26.53 $ 6.34 $71.64 ======= ======= ======= ====== TOTAL RETURN***..................... (54.21)% (64.51)% (82.23)% (4.19)% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $17,343 $10,610 $ 7,925 $7,164 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.71% 0.71%**** 0.70% 0.71%**** Net Investment Income (Loss)........ 0.92% 2.60%**** (0.63)% 0.52%**** Portfolio Turnover Rate+............ 205% 177% -- --
* The Fund commenced operations on June 10, 2008. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. See Notes to Financial Statements. 92 FINANCIAL HIGHLIGHTS (continued) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT RYDEXSGI INVERSE 2X S&P SELECT SECTOR HEALTH CARE ETF SECTOR HEALTH CARE ETF ----------------------------------- ----------------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $52.84 $ 75.00 $ 83.81 $75.00 ------ ------- ------- ------ Net Investment Income (Loss)**...... 0.63 0.23 (0.37) 0.16 Net Realized and Unrealized Gain (Loss) on Investments............. 1.63 (22.17) (15.64) 8.84 ------ ------- ------- ------ TOTAL FROM INVESTMENT OPERATIONS.... 2.26 (21.94) (16.01) 9.00 ------ ------- ------- ------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.65) (0.22) -- (0.19) Net Realized Gains.................. -- -- (26.10) -- ------ ------- ------- ------ Total Distributions................. (0.65) (0.22) (26.10) (0.19) ------ ------- ------- ------ NET ASSET VALUE AT END OF PERIOD.... $54.45 $ 52.84 $ 41.70 $83.81 ====== ======= ======= ====== TOTAL RETURN***..................... 4.45% (29.33)% (26.55)% 12.04% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $2,723 $ 5,284 $ 2,085 $8,381 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.71% 0.71%**** 0.70% 0.71%**** Net Investment Income (Loss)........ 1.35% 0.81%**** (0.63)% 0.54%**** Portfolio Turnover Rate+............ 56% 35% -- --
* The Fund commenced operations on June 10, 2008. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. See Notes to Financial Statements. ANNUAL REPORT 93 FINANCIAL HIGHLIGHTS (concluded) - --------------------------------------------------------------------------------
RYDEXSGI 2X S&P SELECT RYDEXSGI INVERSE 2X S&P SELECT SECTOR TECHNOLOGY ETF SECTOR TECHNOLOGY ETF ----------------------------------- ----------------------------------- YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED OCTOBER 31, 2009 OCTOBER 31, 2008* OCTOBER 31, 2009 OCTOBER 31, 2008* ---------------- ----------------- ---------------- ----------------- PER SHARE OPERATING PERFORMANCE: NET ASSET VALUE AT BEGINNING OF PERIOD............................ $31.15 $ 75.00 $129.37 $ 75.00 ------ ------- ------- ------- Net Investment Income (Loss)**...... 0.30 0.16 (0.27) 0.18 Net Realized and Unrealized Gain (Loss) on Investments............. 12.49 (43.90) (30.47) 54.37 ------ ------- ------- ------- TOTAL FROM INVESTMENT OPERATIONS.... 12.79 (43.74) (30.74) 54.55 ------ ------- ------- ------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net Investment Income............... (0.29) (0.11) -- (0.18) Realized Gain....................... -- -- (76.16) -- ------ ------- ------- ------- Total Distributions................. (0.29) (0.11) (76.16) (0.18) ------ ------- ------- ------- NET ASSET VALUE AT END OF PERIOD.... $43.65 $ 31.15 $ 22.47 $129.37 ====== ======= ======= ======= TOTAL RETURN***..................... 41.45% (58.36)% (57.07)% 72.79% RATIOS/SUPPLEMENTAL DATA: Net Assets at End of Period (000's Omitted).......................... $6,548 $ 3,115 $ 2,247 $ 6,468 RATIO TO AVERAGE NET ASSETS OF: Expenses............................ 0.71% 0.71%**** 0.71% 0.71%**** Net Investment Income (Loss)........ 0.90% 0.72%**** (0.63)% 0.48%**** Portfolio Turnover Rate+............ 43% 65% -- --
* The Fund commenced operations on June 10, 2008. ** Based on average shares outstanding. *** Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distribution at net asset value during the period, and redemption on the last day of the period. Transaction fees are not reflected in the calculation of total investment return. Total investment return calculated for a period of less than one year is not annualized. **** Annualized. + Portfolio turnover is not annualized for periods less than a year and does not include securities received or delivered from processing creations or redemptions. Portfolio turnover rate is calculated without regard to instruments having a maturity of less than one year from acquisition or derivative instruments (including swap agreements and futures contracts). The portfolio turnover rate can be high and volatile due to the sales and purchases of fund shares during the period. See Notes to Financial Statements. 94 NOTES TO FINANCIAL STATEMENTS October 31, 2009 - -------------------------------------------------------------------------------- 1. ORGANIZATION Rydex ETF Trust (the "Trust") is an open-end, management investment company registered under the Investment Company Act of 1940 (the "1940 Act"). The Trust was organized as a Delaware statutory trust on November 22, 2002. As of October 31, 2009, the Trust offers thirty one portfolios, each of which represents a separate series of beneficial interest in the Trust (each a "Fund," and collectively the "Funds"). The financial statements herein relate to the following Funds: RydexSGI 2x S&P 500 ETF, RydexSGI Inverse 2x S&P 500 ETF, RydexSGI 2x S&P MidCap 400 ETF, RydexSGI Inverse 2x S&P MidCap 400 ETF, RydexSGI 2x Russell 2000(R) ETF, RydexSGI Inverse 2x Russell 2000(R) ETF, RydexSGI 2x S&P Select Sector Energy ETF, RydexSGI Inverse 2x S&P Select Sector Energy ETF, RydexSGI 2x S&P Select Sector Financial ETF, RydexSGI Inverse 2x S&P Select Sector Financial ETF, RydexSGI 2x S&P Select Sector Health Care ETF, RydexSGI Inverse 2x S&P Select Sector Health Care ETF, RydexSGI 2x S&P Select Sector Technology ETF, and RydexSGI Inverse 2x S&P Select Sector Technology ETF. RydexSGI 2x S&P 500 ETF, RydexSGI Inverse 2x S&P 500 ETF, RydexSGI 2x S&P MidCap 400 ETF, RydexSGI Inverse 2x S&P MidCap 400 ETF, RydexSGI 2x Russell 2000(R) ETF, and RydexSGI Inverse 2x Russell 2000(R) ETF commenced operations on November 5, 2007. RydexSGI 2x S&P Select Sector Energy ETF, RydexSGI Inverse 2x S&P Select Sector Energy ETF, RydexSGI 2x S&P Select Sector Financial ETF, RydexSGI Inverse 2x S&P Select Sector Financial ETF, RydexSGI 2x S&P Select Sector Health Care ETF, RydexSGI Inverse 2x S&P Select Sector Health Care ETF, RydexSGI 2x S&P Select Sector Technology ETF, and RydexSGI Inverse 2x S&P Select Sector Technology ETF commenced operations on June 10, 2008. The Funds' investment objective is to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. For RydexSGI 2x S&P 500 ETF, RydexSGI 2x S&P MidCap 400 ETF, RydexSGI 2x Russell 2000(R) ETF, RydexSGI 2x S&P Select Sector Energy ETF, RydexSGI 2x S&P Select Sector Financial ETF, RydexSGI 2x S&P Select Sector Health Care ETF, and RydexSGI 2x S&P Select Sector Technology ETF (each a "Leveraged Fund," and collectively the "Leveraged Funds"), each Fund's benchmark is 200% of the daily performance of an index representing publicly traded securities (the "Underlying Index"). For RydexSGI Inverse 2x S&P 500 ETF, RydexSGI Inverse 2x S&P MidCap 400 ETF, RydexSGI Inverse 2x Russell 2000(R) ETF, RydexSGI Inverse 2x S&P Select Sector Energy ETF, RydexSGI Inverse 2x S&P Select Sector Financial ETF, RydexSGI Inverse 2x S&P Select Sector Health Care ETF, and RydexSGI Inverse 2x S&P Select Sector Technology ETF (each a "Leveraged Inverse Fund," and collectively the "Leveraged Inverse Funds"), each Fund's benchmark is 200% of the daily inverse (opposite) performance of its Underlying Index. The Underlying Index for RydexSGI 2x S&P 500 ETF and RydexSGI Inverse 2x S&P 500 ETF is the S&P 500 Index. The Underlying Index for RydexSGI 2x S&P MidCap 400 ETF and RydexSGI Inverse 2x S&P MidCap 400 ETF is the S&P MidCap 400 Index. The Underlying Index for RydexSGI 2x Russell 2000(R) ETF and RydexSGI Inverse 2x Russell 2000(R) ETF is the Russell 2000(R) Index. The Underlying Index for RydexSGI 2x S&P Select Sector Energy ETF and RydexSGI Inverse 2x S&P Select Sector Energy ETF is the Energy Select Sector Index. The Underlying Index for RydexSGI 2x S&P Select Sector Financial ETF and RydexSGI Inverse 2x S&P Select Sector Financial ETF is the Financial Select Sector Index. The Underlying Index for RydexSGI 2x S&P Select Sector Health Care ETF and RydexSGI Inverse 2x S&P Select Sector Health Care ETF is the Health Care Select Sector Index. The Underlying Index for RydexSGI 2x S&P Select Sector Technology ETF and RydexSGI Inverse 2x S&P Select Sector Technology ETF is the Technology Select Sector Index. The Funds operate as index funds and are not actively managed. Adverse performance of a security in the Funds' portfolio will ordinarily not result in the elimination of the security from the Funds' portfolio. The Funds issue and redeem shares on a continuous basis, at net asset value, only in aggregations of 50,000 shares called a "Creation Unit". Creation Units are issued and redeemed principally in-kind for securities included in the Underlying Index. 2. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities and disclosures at the date of the financial statements and accompanying notes and the reported amounts of increases and decreases in net assets from operations during the reporting period. Management believes that the estimates utilized in preparing the Funds' financial statements are reasonable and prudent; however, actual results could differ from these estimates. A. SECURITY VALUATION Securities listed on a domestic securities exchange are valued based on the last sale price as of the close of regular trading hours on the New York Stock Exchange ("NYSE") or, in the absence of recorded sales, are valued at the most recent bid price. Securities for which ANNUAL REPORT 95 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- the primary market is the National Association of Securities Dealers Automated Quotations National Market System ("NASDAQ") are valued at the NASDAQ Official Closing Price. The Funds invest in money market mutual funds, which are valued at their Net Asset Value per share (NAV). Investments for which market quotations are not readily available are fair valued as determine in good faith by Rydex Investments, an affiliated entity, under the 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 instruments, 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. 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 at the last quoted sales price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation. The value of domestic equity index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. Debt securities with a maturity greater than 60 days are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a security is valued at the reported bid price, at the close of business. Short-term debt securities, with a maturity of 60 days or less are valued at amortized cost, which approximates market value. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity. The Funds may also purchase American Depository Receipts, U.S. Government securities, and enter into repurchase agreements. B. SECURITY TRANSACTIONS AND INCOME RECOGNITION Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from portfolio fund transactions are calculated on the identified cost basis. Dividend income is recorded on the ex- dividend date, net of foreign tax withholdings. Interest income is recorded on the accrual basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer. C. REPURCHASE AGREEMENTS The Funds may enter into repurchase agreements with financial institutions. In a repurchase agreement, a Fund buys a security and the seller simultaneously agrees to repurchase the security on a specified future date at an agreed-upon price. The repurchase price reflects an agreed-upon interest rate during the time the Fund's money is invested in the security. Because the security constitutes collateral for the repurchase obligation, a repurchase agreement can be considered a collateralized loan. The Funds follow certain procedures designed to minimize the risks inherent in such agreements. These procedures include effecting repurchase transactions only with large, well-capitalized and well-established financial institutions whose condition will be continually monitored by Rydex Investments, which acts as the Funds' investment advisor. In addition, the value of the collateral underlying the repurchase agreement will always be at least equal to the repurchase price, including any accrued interest earned on the repurchase agreement. In the event of a default or bankruptcy by a selling financial institution, the Funds will seek to liquidate such collateral. However, the exercising of the Funds' right to liquidate such collateral could involve certain costs or delays and, to the extent that proceeds from any sale upon a default of the obligation to repurchase were less than the repurchase price, the Funds could suffer a loss. It is the current policy of the Funds not to invest in repurchase agreements that do not mature within seven days if any such investment, together with any other illiquid assets held by the Funds, amounts to more than 15% of the Funds net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of Rydex Investments, liquidity or other considerations so warrant. 96 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- D. FUTURES CONTRACTS The Funds may enter into stock index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified futures 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. There are several risks in connection with the use of futures contracts. 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. Since futures are exchange-traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default, there is minimal counterparty credit risk to the Funds. E. SWAP AGREEMENTS The Funds may enter into domestic equity index 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 index, in return for periodic payment based on a fixed or variable interest rate. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. The swap agreements are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses. There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions, due to the fact they could be considered illiquid. Since swaps are not exchange-traded, there is an element of counterparty credit risk to the Funds. This risk is managed through the terms of the swap contracts which include trigger points to terminate the current contract based on pre-determined thresholds and limit the amount of potential loss. Although the Trust will not enter into any swap agreement unless Rydex Investments 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. F. COLLATERAL In conjunction with the use of short sales, futures and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or repurchase agreements allocated to each Fund. G. FEDERAL INCOME TAXES The Funds policy is to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of the taxable income and capital gains, if any to the shareholders within the allowable time limits. Therefore, no provision for Federal income taxes is required. Tax positions taken or expected to be taken in the course of preparing the Funds' tax returns are evaluated to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds' tax positions taken on federal income tax returns for all open tax years (fiscal years 2008 -- 2009), and has concluded that no provision for income tax was required in the Funds' financial statements. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for tax equalization, in-kind redemptions, income reclassifications from real estate investment trusts ("REITs") and losses deferred due to wash sales. In order to present paid-in-capital, undistributed net investment income (loss) and accumulated net realized gain (loss) on investments on the statement of assets and liabilities that more closely represent their tax character, certain adjustments have been made to these accounts. These adjustments have no effect on net assets or NAV. The most significant of these adjustments are for tax equalization and net capital gains resulting from in-kind redemptions which, because they are non-taxable to the Funds, and therefore are not distributed to existing Fund shareholders, are reclassified to paid-in-capital. The in-kind net capital gains for the year ended ANNUAL REPORT 97 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- October 31, 2009 are disclosed in the Fund's Statement of Operations. For the year ended October 31, 2009, the adjustments for the Funds were as follows:
UNDISTRIBUTED ACCUMULATED PAID-IN NET INVESTMENT NET REALIZED CAPITAL INCOME (LOSS) GAIN (LOSS) ----------- -------------- ------------ RydexSGI 2x S&P 500 ETF........................... $(3,318,769) $(19,982) $ 3,338,751 RydexSGI Inverse 2x S&P 500 ETF................... (634,418) 634,418 -- RydexSGI 2x S&P MidCap 400 ETF.................... (8,897) (271) 9,168 RydexSGI Inverse 2x S&P MidCap 400 ETF............ (44,343) 44,343 -- RydexSGI 2x Russell 2000(R) ETF................... (5,900) (9,389) 15,289 RydexSGI Inverse 2x Russell 2000(R) ETF........... (113,240) 113,240 -- RydexSGI 2x S&P Select Sector Energy ETF.......... -- -- -- RydexSGI Inverse 2x S&P Select Sector Energy ETF.. (13,124) 13,124 -- RydexSGI 2x S&P Select Sector Financial ETF....... -- (18,049) 18,049 RydexSGI Inverse 2x S&P Select Sector Financial ETF............................................. 1,282,385 39,564 (1,321,949) RydexSGI 2x S&P Select Sector Health Care ETF..... -- -- -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF............................................. (28,871) 28,871 -- RydexSGI 2x S&P Select Sector Technology ETF...... -- -- -- RydexSGI Inverse 2x S&P Select Sector Technology ETF............................................. (17,584) 17,584 --
Differences between the book basis and tax basis of net unrealized appreciation (depreciation) in value of investments relate to tax deferral of losses on wash sales and the estimated return of capital payments on REITs. At October 31, 2009, the Funds had capital loss carryforwards which may be utilized to offset any net realized capital gains expiring October 31:
2016 2017 ----------- ----------- RydexSGI 2x S&P 500 ETF..................................... $21,596,811 $ -- RydexSGI Inverse 2x S&P 500 ETF............................. -- 57,618,386 RydexSGI 2x S&P MidCap 400 ETF.............................. 2,938,324 -- RydexSGI Inverse 2x S&P MidCap 400 ETF...................... -- 10,517,959 RydexSGI 2x Russell 2000(R) ETF............................. 4,385,008 -- RydexSGI Inverse 2x Russell 2000(R) ETF..................... -- 14,994,931 RydexSGI 2x S&P Select Sector Energy ETF.................... 2,285,306 -- RydexSGI Inverse 2x S&P Select Sector Energy ETF............ -- 4,856,512 RydexSGI 2x S&P Select Sector Financial ETF................. 9,387,873 -- RydexSGI Inverse 2x S&P Select Sector Financial ETF......... -- 10,047,200 RydexSGI 2x S&P Select Sector Health Care ETF............... 2,017,045 289,135 RydexSGI Inverse 2x S&P Select Sector Health Care ETF....... -- 2,726,693 RydexSGI 2x S&P Select Sector Technology ETF................ 2,351,565 -- RydexSGI Inverse 2x S&P Select Sector Technology ETF........ -- 3,839,804
The Funds utilized capital loss carry forwards during the year ended October 31, 2009: RydexSGI 2x S&P 500 ETF.............................................. $9,444,018 RydexSGI Inverse 2x S&P 500 ETF...................................... -- RydexSGI 2x S&P MidCap 400 ETF....................................... 2,662,447 RydexSGI Inverse 2x S&P MidCap 400 ETF............................... -- RydexSGI 2x Russell 2000(R) ETF...................................... 1,010,639 RydexSGI Inverse 2x Russell 2000(R) ETF.............................. -- RydexSGI 2x S&P Select Sector Energy ETF............................. 953,150 RydexSGI Inverse 2x S&P Select Sector Energy ETF..................... -- RydexSGI 2x S&P Select Sector Financial ETF.......................... 3,261,164 RydexSGI Inverse 2x S&P Select Sector Financial ETF.................. -- RydexSGI 2x S&P Select Sector Health Care ETF........................ -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF................ -- RydexSGI 2x S&P Select Sector Technology ETF......................... 1,206,420 RydexSGI Inverse 2x S&P Select Sector Technology ETF................. --
98 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- The tax character of distributable earnings (accumulated losses) at October 31, 2009 was as follows:
UNDISTRIBUTED UNDISTRIBUTED UNREALIZED ORDINARY LONG TERM CAPITAL LOSS APPRECIATION INCOME CAPITAL GAIN CARRYFORWARD (DEPRECIATION) ------------- ------------- ------------ -------------- RydexSGI 2x S&P 500 ETF................. $47,400 $-- $(21,596,811) $(4,192,695) RydexSGI Inverse 2x S&P 500 ETF......... -- -- (57,618,386) 5 RydexSGI 2x S&P MidCap 400 ETF.......... -- -- (2,938,324) 380,620 RydexSGI Inverse 2x S&P MidCap 400 ETF.. -- -- (10,517,959) (1) RydexSGI 2x Russell 2000(R) ETF......... -- -- (4,385,008) (314,650) RydexSGI Inverse 2x Russell 2000(R) ETF................................... -- -- (14,994,931) -- RydexSGI 2x S&P Select Sector Energy ETF................................... 57 -- (2,285,306) (748,349) RydexSGI Inverse 2x S&P Select Sector Energy ETF............................ -- -- (4,856,512) (1) RydexSGI 2x S&P Select Sector Financial ETF................................... 3,031 -- (9,387,873) (2,768,150) RydexSGI Inverse 2x S&P Select Sector Financial ETF......................... -- -- (10,047,200) 1 RydexSGI 2x S&P Select Sector Health Care ETF.............................. 1,304 -- (2,306,180) (211,365) RydexSGI Inverse 2x S&P Select Sector Health Care ETF....................... -- -- (2,726,693) -- RydexSGI 2x S&P Select Sector Technology ETF................................... 6,259 -- (2,351,565) (143,455) RydexSGI Inverse 2x S&P Select Sector Technology ETF........................ -- -- (3,839,804) --
The tax character of distributions paid during 2009 was as follows:
ORDINARY LONG-TERM RETURN OF INCOME CAPITAL GAIN CAPITAL ---------- ------------ --------- RydexSGI 2x S&P 500 ETF.............................. $1,841,018 $ -- $-- RydexSGI Inverse 2x S&P 500 ETF...................... -- 12,634,948 -- RydexSGI 2x S&P MidCap 400 ETF....................... 67,595 -- -- RydexSGI Inverse 2x S&P MidCap 400 ETF............... 831,370 1,359,477 -- RydexSGI 2x Russell 2000(R) ETF...................... 103,863 -- -- RydexSGI Inverse 2x Russell 2000(R) ETF.............. -- 2,169,111 -- RydexSGI 2x S&P Select Sector Energy ETF............. 83,944 -- -- RydexSGI Inverse 2x S&P Select Sector Energy ETF..... 4,324,132 -- -- RydexSGI 2x S&P Select Sector Financial ETF.......... 166,185 -- -- RydexSGI Inverse 2x S&P Select Sector Financial ETF.. 1,417,145 244,802 -- RydexSGI 2x S&P Select Sector Health Care ETF........ 48,709 -- -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF................................................ 2,610,366 -- -- RydexSGI 2x S&P Select Sector Technology ETF......... 35,536 -- -- RydexSGI Inverse 2x S&P Select Sector Technology ETF................................................ 3,807,845 -- --
The tax character of distributions paid during 2008 was as follows:
ORDINARY LONG-TERM RETURN OF INCOME CAPITAL GAIN CAPITAL -------- ------------ --------- RydexSGI 2x S&P 500 ETF............................... $363,939 $-- $ -- RydexSGI Inverse 2x S&P 500 ETF....................... 552,721 -- -- RydexSGI 2x S&P MidCap 400 ETF........................ 50,604 -- 2,868 RydexSGI Inverse 2x S&P MidCap 400 ETF................ 178,257 -- -- RydexSGI 2x Russell 2000(R) ETF....................... 66,551 -- -- RydexSGI Inverse 2x Russell 2000(R) ETF............... 298,197 -- -- RydexSGI 2x S&P Select Sector Energy ETF.............. 7,308 -- -- RydexSGI Inverse 2x S&P Select Sector Energy ETF...... 19,874 -- -- RydexSGI 2x S&P Select Sector Financial ETF........... 65,308 -- -- RydexSGI Inverse 2x S&P Select Sector Financial ETF... 18,187 -- -- RydexSGI 2x S&P Select Sector Health Care ETF......... 22,169 -- -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF................................................. 18,758 -- -- RydexSGI 2x S&P Select Sector Technology ETF.......... 11,327 -- -- RydexSGI Inverse 2x S&P Select Sector Technology ETF.. 18,238 -- --
H. FAIR VALUE MEASUREMENT In accordance with the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosure" ("ASC 820") (formerly known as FASB 157) fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a ANNUAL REPORT 99 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- principal market the most advantageous market for the investment or liability. ASC 820 established a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds' investments. The inputs are summarized in the three broad levels listed below. Level 1 -- quoted prices in active markets for identical securities. Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 -- significant unobservable inputs (including the Funds' own assumptions used to determine the fair value of investments). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. In April 2009, ASC 820 "Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly" provided additional guidance when the volume and level of activity for the asset or liability measured at fair value have significantly decreased. Additionally, ASC 820 expanded disclosure requirements by reporting entities surrounding the major categories of assets and liabilities carried at fair value. This additional guidance is effective for interim and annual periods ending after June 15, 2009. The types of inputs used to value each security are identified in the Schedules of Investments, which also includes a breakdown of the Funds' investments by category. The following table summarizes the inputs used to value the Funds' net assets as of October 31, 2009:
LEVEL 1 LEVEL 2 LEVEL 1 OTHER LEVEL 2 OTHER LEVEL 3 INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL INVESTMENTS FUND IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS IN SECURITIES TOTAL - ---- ------------- ----------- ------------- ----------- ------------- ------------ ASSETS RydexSGI 2x S&P 500 ETF......... $102,416,028 $ -- $ -- $-- $-- $102,416,028 RydexSGI Inverse 2x S&P 500 ETF........................... 74,461,000 57,516 -- 5 -- 74,518,521 RydexSGI 2x S&P MidCap 400 ETF.. 12,108,063 -- -- -- -- 12,108,063 RydexSGI Inverse 2x S&P MidCap 400 ETF....................... 4,035,000 72,534 -- -- -- 4,107,534 RydexSGI 2x Russell 2000 ETF.... 18,376,848 -- 110 -- -- 18,376,958 RydexSGI Inverse 2x Russell 2000 ETF........................... 13,179,000 692,936 -- 2 -- 13,871,938 RydexSGI 2x S&P Select Sector Energy ETF.................... 8,912,421 -- -- -- -- 8,912,421 RydexSGI Inverse 2x S&P Select Sector Energy ETF............. 1,178,000 -- -- -- -- 1,178,000 RydexSGI 2x S&P Select Sector Financial ETF................. 14,936,914 -- -- -- -- 14,936,914 RydexSGI Inverse 2x S&P Select Sector Financial ETF.......... 5,062,000 -- -- 1 -- 5,062,001 RydexSGI 2x S&P Select Sector Health Care ETF............... 2,344,791 -- -- -- -- 2,344,791 RydexSGI Inverse 2x S&P Select Sector Health Care ETF........ 1,498,000 -- -- -- -- 1,498,000 RydexSGI 2x S&P Select Sector Technology ETF................ 5,543,038 -- -- -- -- 5,543,038 RydexSGI Inverse 2x S&P Select Sector Technology ETF......... 1,666,000 -- -- -- -- 1,666,000 LIABILITIES RydexSGI 2x S&P 500 ETF......... -- 236,494 -- 3 -- 236,497 RydexSGI Inverse 2x S&P 500 ETF........................... -- -- -- -- -- -- RydexSGI 2x S&P MidCap 400 ETF.. -- 289,323 -- 6 -- 289,329 RydexSGI Inverse 2x S&P MidCap 400 ETF....................... -- -- -- -- -- -- RydexSGI 2x Russell 2000 ETF.... -- 738,783 -- 3 -- 738,786 RydexSGI Inverse 2x Russell 2000 ETF........................... -- -- -- 2 -- 2 RydexSGI 2x S&P Select Sector Energy ETF.................... -- -- -- 1 -- 1
100 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - --------------------------------------------------------------------------------
LEVEL 1 LEVEL 2 LEVEL 1 OTHER LEVEL 2 OTHER LEVEL 3 INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL INVESTMENTS FUND IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS IN SECURITIES TOTAL - ---- ------------- ----------- ------------- ----------- ------------- ------------ RydexSGI Inverse 2x S&P Select Sector Energy ETF............. $ -- $ -- $ -- $ 1 $-- $ 1 RydexSGI 2x S&P Select Sector Financial ETF................. -- -- -- -- -- -- RydexSGI Inverse 2x S&P Select Sector Financial ETF.......... -- -- -- -- -- -- RydexSGI 2x S&P Select Sector Health Care ETF............... -- -- -- 1 -- 1 RydexSGI Inverse 2x S&P Select Sector Health Care ETF........ -- -- -- -- -- -- RydexSGI 2x S&P Select Sector Technology ETF................ -- -- -- -- -- -- RydexSGI Inverse 2x S&P Select Sector Technology ETF......... -- -- -- -- -- --
- -------- * Other financial instruments may include futures contracts and/or swap agreements, which are reported as unrealized gain/loss at year end. For the year ended October 31, 2009, the Level 3 Investments were acquired at zero cost and are carried at zero value. I. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS The Funds adopted FASB ASC 815, "Derivatives and Hedging" ("ASC 815") (formerly known as FAS 161), effective October 31, 2009. ASC 815 is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivative instruments are accounted for and their effects on the Funds' financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments. Each Leveraged Fund employs as its investment strategy a program of investing in equity securities contained in the Underlying Index and leveraged derivative instruments, such as equity index swaps, futures contracts and options on securities, futures contracts, and stock indices. Equity index swaps and futures, and options contracts enable the Fund to create the additional needed exposure to pursue its investment objective. The notional amount of derivative instruments outstanding generally will approximate 100% of a Leveraged Funds' net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives. Each Leveraged Inverse Fund employs as its investment strategy a program of investing in leveraged derivative instruments, such as equity index swaps, futures contracts and options on securities, futures contracts, and stock indices. Equity index swaps and futures, and options contracts enable the Fund to pursue its objective without selling short each of the securities included in the Underlying Index. The notional amount of derivative instruments outstanding generally will approximate 200% of a Leveraged Inverse Funds' net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives. Derivative Investment Holdings Categorized by Risk Exposure The following is a summary of the location of derivative investments on the Funds' Statements of Assets and Liabilities as of October 31, 2009:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES --------------------------------------------------------------- DERIVATIVE INVESTMENTS TYPE ASSET DERIVATIVES LIABILITY - --------------------------- ------------------------------ ------------------------------ Equity Index Swap Contracts... Unrealized Appreciation on Unrealized Depreciation on Swap Agreements Swap Agreements Equity Index Futures Receivables: Variation Margin Payables: Variation Margin on Contracts................... on Futures Contracts Futures Contracts
ANNUAL REPORT 101 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- Because investment companies value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting. The following table sets forth the fair value, on a gross basis of the asset and liability components of the Funds' derivative contracts by primary risk exposure as of October 31, 2009:
ASSET DERIVATIVE INVESTMENTS VALUE ------------------------------------------------------ TOTAL VALUE AT EQUITY INDEX EQUITY INDEX PORTFOLIO OCTOBER 31, 2009 SWAP CONTRACTS FUTURES CONTRACTS* - --------- ---------------- -------------- ------------------ RydexSGI 2x S&P 500 ETF..................... $ -- $-- $ -- RydexSGI Inverse 2x S&P 500 ETF............. 57,521 5 57,516 RydexSGI 2x MidCap 400 ETF.................. -- -- -- RydexSGI Inverse 2x S&P MidCap 400 ETF...... 72,534 72,534 RydexSGI 2x Russell 2000 ETF................ -- -- -- RydexSGI Inverse 2x Russell 2000 ETF........ 692,938 2 692,936 RydexSGI 2x S&P Select Sector Energy ETF.... -- -- -- RydexSGI Inverse 2x S&P Select Sector Energy ETF....................................... -- -- -- RydexSGI 2x S&P Select Sector Financial ETF....................................... -- -- -- RydexSGI Inverse 2x S&P Select Sector Financial ETF............................. 1 1 -- RydexSGI 2x S&P Select Sector Health Care ETF....................................... -- -- -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF.................................. -- -- -- RydexSGI 2x S&P Select Sector Technology ETF....................................... -- -- -- RydexSGI Inverse 2x S&P Select Sector Technology ETF............................ -- -- --
LIABILITY DERIVATIVE INVESTMENTS VALUE ------------------------------------------------------ TOTAL VALUE AT EQUITY INDEX EQUITY INDEX PORTFOLIO OCTOBER 31, 2009 SWAP CONTRACTS FUTURES CONTRACTS* - --------- ---------------- -------------- ------------------ RydexSGI 2x S&P 500 ETF..................... $236,497 $ 3 $236,494 RydexSGI Inverse 2x S&P 500 ETF............. -- -- -- RydexSGI 2x MidCap 400 ETF.................. 289,329 6 289,323 RydexSGI Inverse 2x S&P MidCap 400 ETF...... -- -- -- RydexSGI 2x Russell 2000 ETF................ 738,786 3 738,783 RydexSGI Inverse 2x Russell 2000 ETF........ 2 2 -- RydexSGI 2x S&P Select Sector Energy ETF.... 1 1 -- RydexSGI Inverse 2x S&P Select Sector Energy ETF....................................... 1 1 -- RydexSGI 2x S&P Select Sector Financial ETF....................................... -- -- -- RydexSGI Inverse 2x S&P Select Sector Financial ETF............................. -- -- -- RydexSGI 2x S&P Select Sector Health Care ETF....................................... 1 1 -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF.................................. -- -- -- RydexSGI 2x S&P Select Sector Technology ETF....................................... -- -- -- RydexSGI Inverse 2x S&P Select Sector Technology ETF............................ -- -- --
* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day's variation margin is reported within the Statement of Assets and Liabilities. The following is a summary of the location of derivative investments on the Funds' Statements of Operations as of October 31, 2009:
DERIVATIVE INVESTMENT TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES - -------------------------- ----------------------------------------- Net Realized Gain (Loss) From: Swap Equity Index Swap Contracts.............. Contracts Net Change in Unrealized Appreciation (Depreciation) on: Swap Contracts Net Realized Gain (Loss) From: Futures Equity Index Futures Contracts........... Contracts Net Change in Unrealized Appreciation (Depreciation) on: Futures Contracts
102 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- The following is a summary of the Funds' realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure as of October 31, 2009:
REALIZED GAIN (LOSS) ON DERIVATIVE INVESTMENTS RECOGNIZED IN THE STATEMENT OF OPERATIONS ----------------------------------------------------- TOTAL VALUE AT EQUITY INDEX EQUITY INDEX PORTFOLIO OCTOBER 31, 2009 SWAP CONTRACTS FUTURES CONTRACTS - --------- ---------------- -------------- ----------------- RydexSGI 2x S&P 500 ETF...................... $ 10,315,067 $ 13,201,164 ($2,886,097) RydexSGI Inverse 2x S&P 500 ETF.............. (68,147,102) (60,898,294) (7,248,808) RydexSGI 2x MidCap 400 ETF................... 3,170,904 2,326,206 844,698 RydexSGI Inverse 2x S&P MidCap 400 ETF....... (11,056,969) (9,786,889) (1,270,080) RydexSGI 2x Russell 2000 ETF................. 1,271,429 4,504,775 (3,233,346) RydexSGI Inverse 2x Russell 2000 ETF......... (17,915,107) (16,108,595) (1,806,512) RydexSGI 2x S&P Select Sector Energy ETF..... 1,269,070 1,317,319 (48,249) RydexSGI Inverse 2x S&P Select Sector Energy ETF........................................ (4,856,479) (4,819,398) (37,081) RydexSGI 2x S&P Select Sector Financial ETF.. 4,469,305 4,518,597 (49,292) RydexSGI Inverse 2x S&P Select Sector Financial ETF.............................. (10,045,712) (9,909,898) (135,814) RydexSGI 2x S&P Select Sector Health Care ETF........................................ 296,270 296,270 -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF................................... (2,726,663) (2,694,438) (32,225) RydexSGI 2x S&P Select Sector Technology ETF........................................ 1,453,810 1,453,810 -- RydexSGI Inverse 2x S&P Select Sector Technology ETF............................. (3,839,783) (3,768,322) (71,461)
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE INVESTMENTS RECOGNIZED IN THE STATEMENT OF OPERATIONS ----------------------------------------------------- TOTAL VALUE AT EQUITY INDEX EQUITY INDEX PORTFOLIO OCTOBER 31, 2009 SWAP CONTRACTS FUTURES CONTRACTS - --------- ---------------- -------------- ----------------- RydexSGI 2x S&P 500 ETF...................... $ 2,509,138 $ -- $ 2,509,138 RydexSGI Inverse 2x S&P 500 ETF.............. 10,530,284 5 10,530,279 RydexSGI 2x MidCap 400 ETF................... (674,931) (236,608) (438,323) RydexSGI Inverse 2x S&P MidCap 400 ETF....... 1,945,048 1,405,948 539,100 RydexSGI 2x Russell 2000 ETF................. 685,879 (3) 685,882 RydexSGI Inverse 2x Russell 2000 ETF......... 4,676,235 1,755,839 2,920,396 RydexSGI 2x S&P Select Sector Energy ETF..... (652,120) (652,120) -- RydexSGI Inverse 2x S&P Select Sector Energy ETF........................................ 2,974,766 2,974,766 -- RydexSGI 2x S&P Select Sector Financial ETF.. (2,566,561) (2,566,561) -- RydexSGI Inverse 2x S&P Select Sector Financial ETF.............................. 3,318,704 3,320,091 (1,387) RydexSGI 2x S&P Select Sector Health Care ETF........................................ (461,514) (461,514) -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF................................... 1,728,947 1,728,947 -- RydexSGI 2x S&P Select Sector Technology ETF........................................ (343,569) (343,569) -- RydexSGI Inverse 2x S&P Select Sector Technology ETF............................. 1,879,566 1,879,566 --
J. DIVIDENDS AND DISTRIBUTIONS Distributions of net investment income and net realized capital gains, if any, are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles. K. RISK AND UNCERTAINTIES The Trust invests in various investments which are exposed to risk, such as market risk. Due to the level of risk associated with certain investments it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect amounts reported in the financial statements. The risk inherent in the use of futures and options contracts, and swap agreements, 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. The Funds have established strict counterparty credit guidelines and enter into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk. ANNUAL REPORT 103 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- L. RISK Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience the Funds expect the risk of loss to be remote. M. NEW ACCOUNTING PRONOUNCEMENTS In June 2009, the FASB established the FASB Accounting Standards Codification ("ASC") as the single source of authoritative accounting principles recognized by the FASB in the preparation of financial statements in conformity with U.S. GAAP. The ASC supersedes existing non-grandfathered, non-SEC accounting and reporting standards. The ASC did not change GAAP but rather organized it into a hierarchy where all guidance within the ASC carries an equal level of authority. The ASC became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The ASC did not have a material effect on the Funds' financial statements. 3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES Rydex Investments determines the composition of the portfolio of securities that must be delivered in exchange for the issuance of Creation Units and periodically adjusts the composition of the portfolio of the Funds to conform to changes in the composition of the relevant index. For these services, the Advisor receives a management fee at the annual rate shown below of the average daily net assets of the Funds.
ADVISORY FEE ------------ RydexSGI 2x S&P 500 ETF............................................. 0.70% RydexSGI Inverse 2x S&P 500 ETF..................................... 0.70% RydexSGI 2x S&P MidCap 400 ETF...................................... 0.70% RydexSGI Inverse 2x S&P MidCap 400 ETF.............................. 0.70% RydexSGI 2x Russell 2000(R) ETF..................................... 0.70% RydexSGI Inverse 2x Russell 2000(R) ETF............................. 0.70% RydexSGI 2x S&P Select Sector Energy ETF............................ 0.70% RydexSGI Inverse 2x S&P Select Sector Energy ETF.................... 0.70% RydexSGI 2x S&P Select Sector Financial ETF......................... 0.70% RydexSGI Inverse 2x S&P Select Sector Financial ETF................. 0.70% RydexSGI 2x S&P Select Sector Health Care ETF....................... 0.70% RydexSGI Inverse 2x S&P Select Sector Health Care ETF............... 0.70% RydexSGI 2x S&P Select Sector Technology ETF........................ 0.70% RydexSGI Inverse 2x S&P Select Sector Technology ETF................ 0.70%
The Advisor pays all expenses of the Funds, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except: interest, taxes, distribution and trustee fees or expenses and extraordinary expenses. Under an Administration Agreement, State Street Bank and Trust Company (the "Administrator") provides various administrative and accounting services for the maintenance and operations of the Funds. Under a Custodian Agreement with the Trust, the Administrator maintains cash, securities and other assets of the Trust and the Funds in separate accounts for each Fund, keeps all necessary accounts and records, and provides other services. The Administrator is required, upon the order of the Trust, to deliver securities held by the Custodian and to make payments for securities purchased by the Trust for the Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, the Administrator acts as a transfer agent for the Trust's authorized and issued shares of beneficial interest, and as dividend disbursing agent of the Trust. The Advisor compensates the Administrator directly for the foregoing services. The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to pay distribution fees to Rydex Distributors, Inc., an affiliated entity, (the "Distributor") and other firms that provide distribution services ("Service Providers"). If a Service Provider provides distribution services, the Funds 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 will, in turn, pay the Service Provider out of its fees. No such fee is currently charged to the Funds. 104 NOTES TO FINANCIAL STATEMENTS (continued) October 31, 2009 - -------------------------------------------------------------------------------- 4. CAPITAL At October 31, 2009, there were an unlimited number of no par value shares of beneficial interest authorized. There is a minimum transaction fee per transaction to those persons purchasing or redeeming Creation Units. An additional charge of up to three times the standard transaction fee may be imposed for purchases and redemptions effected outside the National Securities Clearing Corporation usual clearing process or for cash. Such transactions are generally permitted on an in-kind basis, with a balancing cash component to equate the transaction to the net asset value per unit of the Fund on the transaction date. The minimum transaction fees are:
MINIMUM TRANSACTION FEE --------------- RydexSGI 2x S&P 500 ETF........................................... $2,000 RydexSGI Inverse 2x S&P 500 ETF................................... 50 RydexSGI 2x S&P MidCap 400 ETF.................................... 2,000 RydexSGI Inverse 2x S&P MidCap 400 ETF............................ 50 RydexSGI 2x Russell 2000(R) ETF................................... 3,000 RydexSGI Inverse 2x Russell 2000(R) ETF........................... 50 RydexSGI 2x S&P Select Sector Energy ETF.......................... 500 RydexSGI Inverse 2x S&P Select Sector Energy ETF.................. 50 RydexSGI 2x S&P Select Sector Financial ETF....................... 750 RydexSGI Inverse 2x S&P Select Sector Financial ETF............... 50 RydexSGI 2x S&P Select Sector Health Care ETF..................... 500 RydexSGI Inverse 2x S&P Select Sector Health Care ETF............. 50 RydexSGI 2x S&P Select Sector Technology ETF...................... 750 RydexSGI Inverse 2x S&P Select Sector Technology ETF.............. 50
5. INVESTMENT TRANSACTIONS For the year ended October 31, 2009 the Funds had in-kind contributions and in- kind redemptions as follows:
SUBSCRIPTIONS REDEMPTIONS ------------- ----------- RydexSGI 2x S&P 500 ETF.................................... $42,920,602 $76,493,828 RydexSGI Inverse 2x S&P 500 ETF............................ -- -- RydexSGI 2x S&P MidCap 400 ETF............................. 1,715,170 -- RydexSGI Inverse 2x S&P MidCap 400 ETF..................... -- -- RydexSGI 2x Russell 2000(R) ETF............................ 3,734,118 -- RydexSGI Inverse 2x Russell 2000(R) ETF.................... -- -- RydexSGI 2x S&P Select Sector Energy ETF................... 1,738,495 -- RydexSGI Inverse 2x S&P Select Sector Energy ETF........... -- -- RydexSGI 2x S&P Select Sector Financial ETF................ 3,872,922 -- RydexSGI Inverse 2x S&P Select Sector Financial ETF........ -- -- RydexSGI 2x S&P Select Sector Health Care ETF.............. -- -- RydexSGI Inverse 2x S&P Select Sector Health Care ETF...... -- -- RydexSGI 2x S&P Select Sector Technology ETF............... 1,210,079 -- RydexSGI Inverse 2x S&P Select Sector Technology ETF....... -- --
Purchases and sales of investment securities (excluding short-term investments, U.S. government and government agency obligations) for the Funds were as follows:
PURCHASES SALES ------------ ----------- RydexSGI 2x S&P 500 ETF.................................... $102,035,131 $71,868,866 RydexSGI Inverse 2x S&P 500 ETF............................ -- -- RydexSGI 2x S&P MidCap 400 ETF............................. 11,559,576 6,643,400 RydexSGI Inverse 2x S&P MidCap 400 ETF..................... -- -- RydexSGI 2x Russell 2000(R) ETF............................ 21,207,551 18,406,774 RydexSGI Inverse 2x Russell 2000(R) ETF.................... -- -- RydexSGI 2x S&P Select Sector Energy ETF................... 11,072,007 7,649,595 RydexSGI Inverse 2x S&P Select Sector Energy ETF........... -- -- RydexSGI 2x S&P Select Sector Financial ETF................ 26,772,218 26,381,985 RydexSGI Inverse 2x S&P Select Sector Financial ETF........ -- -- RydexSGI 2x S&P Select Sector Health Care ETF.............. 1,691,674 3,476,148 RydexSGI Inverse 2x S&P Select Sector Health Care ETF...... -- -- RydexSGI 2x S&P Select Sector Technology ETF............... 2,472,124 1,505,586 RydexSGI Inverse 2x S&P Select Sector Technology ETF....... -- --
ANNUAL REPORT 105 NOTES TO FINANCIAL STATEMENTS (concluded) October 31, 2009 - -------------------------------------------------------------------------------- At October 31, 2009, the identified cost of investments in securities owned by each Fund for federal income tax purposes and the gross unrealized appreciation and depreciation was as follows:
GROSS GROSS NET UNREALIZED IDENTIFIED UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- RydexSGI 2x S&P 500 ETF................. $106,608,721 $12,333,225 $(16,525,918) $(4,192,693) RydexSGI Inverse 2x S&P 500 ETF......... 74,461,000 -- -- -- RydexSGI 2x S&P MidCap 400 ETF.......... 11,727,437 2,986,147 (2,605,521) 380,626 RydexSGI Inverse 2x S&P MidCap 400 ETF.. 4,035,000 -- -- -- RydexSGI 2x Russell 2000(R) ETF......... 18,691,605 4,407,450 (4,722,097) (314,647) RydexSGI Inverse 2x Russell 2000(R) ETF................................... 13,179,000 -- -- -- RydexSGI 2x S&P Select Sector Energy ETF................................... 9,660,769 1,637,061 (2,385,409) (748,348) RydexSGI Inverse 2x S&P Select Sector Energy ETF............................ 1,178,000 -- -- -- RydexSGI 2x S&P Select Sector Financial ETF................................... 17,705,064 6,267,084 (9,035,234) (2,768,150) RydexSGI Inverse 2x S&P Select Sector Financial ETF......................... 5,062,000 -- -- -- RydexSGI 2x S&P Select Sector Health Care ETF.............................. 2,556,155 206,136 (417,500) (211,364) RydexSGI Inverse 2x S&P Select Sector Health Care ETF....................... 1,498,000 -- -- -- RydexSGI 2x S&P Select Sector Technology ETF................................... 5,686,493 897,675 (1,041,130) (143,455) RydexSGI Inverse 2x S&P Select Sector Technology ETF........................ 1,666,000 -- -- --
6. SUBSEQUENT EVENTS Management has evaluated events or transactions that may have occurred since October 31, 2009, that would merit recognition or disclosure in the financial statements. This evaluation was completed through December 23, 2009, the date the financial statements were available to be issued and there were no events or transactions to be reported. 106 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM - -------------------------------------------------------------------------------- The Board of Trustees and Shareholders of Rydex ETF Trust We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of RydexSGI S&P 500 ETF, RydexSGI Inverse S&P 500 ETF, RydexSGI S&P MidCap 400 ETF, RydexSGI Inverse S&P MidCap 400 ETF, RydexSGI Russell 2000 ETF, RydexSGI Inverse Russell 2000 ETF, RydexSGI S&P Select Sector Energy ETF, RydexSGI Inverse S&P Select Sector Energy ETF, RydexSGI S&P Select Sector Financial ETF, RydexSGI Inverse S&P Select Sector Financial ETF, RydexSGI S&P Select Sector Technology ETF, RydexSGI Inverse S&P Select Sector Technology ETF, RydexSGI S&P Select Sector Health Care ETF, and RydexSGI Inverse S&P Select Sector Health Care ETF (the "Funds")(fourteen of the series constituting the Rydex ETF Trust (the "Trust")) as of October 31, 2009, and the related statements of operations for the year then ended, and statements of changes in net assets and financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Trust's internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2009, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds of the Rydex ETF Trust at October 31, 2009 mentioned above, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles. -s- ERNST & YOUNG LLP McLean, Virginia December 23, 2009 ANNUAL REPORT 107 SUPPLEMENTAL INFORMATION (Unaudited) - -------------------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION For federal income tax purposes, the following information is furnished with respect to the distributions paid by the funds during the year ended October 31, 2009.
DIVIDEND LONG TERM QUALIFIED RECEIVED CAPITAL GAINS INCOME DEDUCTION DISTRIBUTION DISTRIBUTION --------- ------------- ------------ RydexSGI 2x S&P 500 ETF............................. 100.00% $ -- $2,588,709 RydexSGI Inverse 2x S&P 500 ETF..................... 0.00% 12,634,948 -- RydexSGI 2x S&P MidCap 400 ETF...................... 100.00% -- 99,718 RydexSGI Inverse 2x S&P MidCap 400 ETF.............. 0.00% 1,359,477 -- RydexSGI 2x Russell 2000(R) ETF..................... 99.96% -- 157,185 RydexSGI Inverse 2x Russell 2000(R) ETF............. 0.00% 2,169,111 -- RydexSGI 2x S&P Select Sector Energy ETF............ 100.00% -- 120,055 RydexSGI Inverse 2x S&P Select Sector Energy ETF.... 0.00% -- -- RydexSGI 2x S&P Select Sector Financial ETF......... 96.82% -- 184,106 RydexSGI Inverse 2x S&P Select Sector Financial ETF............................................... 0.00% 244,802 -- RydexSGI 2x S&P Select Sector Health Care ETF....... 100.00% -- 74,184 RydexSGI Inverse 2x S&P Select Sector Health Care ETF............................................... 0.00% -- -- RydexSGI 2x S&P Select Sector Technology ETF........ 100.00% -- 66,065 RydexSGI Inverse 2x S&P Select Sector Technology ETF............................................... 0.00% -- --
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. Information regarding how the Funds voted proxies for portfolio securities, if applicable, during the most recent 12-month period ended June 30, 2009 is also available, without charge and upon request, by (i) calling 1-800-820-0888; or accessing the Trust's Form N-PX 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 Trust's 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 ETF Trust Board of Trustees (the "Board") generally calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex ETF Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the name Rydex Investments ("Rydex Investments") (the "Current 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 108 SUPPLEMENTAL INFORMATION (Unaudited) (continued) - -------------------------------------------------------------------------------- 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 an in-person meeting held August 25, 2009, called for the purpose of, among other things, voting on the renewal of the investment advisory agreement applicable to the Funds, the Board, including all of the Independent Trustees (the "Annual Renewal Meeting"), considered and approved the continuance of the Current Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. BOARD CONSIDERATIONS IN APPROVING THE CONTINUATION OF THE CURRENT AGREEMENT In preparation for the Annual Renewal Meeting, the Board requested and received written materials from Rydex Investments about: (a) the quality of Rydex Investments' investment management and other services; (b) Rydex Investments' investment management personnel; (c) Rydex Investments' operations and financial condition; (d) Rydex Investments' brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the advisory fees that Rydex Investments charges the Funds compared with the fees it charges to comparable funds or accounts; (f) each Fund's overall fees and operating expenses compared with similar funds; (g) the level of Rydex Investments' profitability from its Fund-related operations; (h) Rydex Investments' compliance systems; (i) Rydex Investments' policies on and compliance procedures for personal securities transactions; (j) Rydex Investments' reputation, expertise and resources in the financial markets; and (k) Fund performance compared with similar funds. Certain of these considerations are discussed in more detail below. In its deliberations at the Annual Renewal Meeting, the Board did not identify any single piece of information that was all-important or controlling. Based on the Board's deliberations and its evaluation of the information referenced above and described in more detail below, the Board, including all of the Independent Trustees, unanimously: (a) concluded that terms of the Current Agreement were fair and reasonable; (b) concluded that Rydex Investments' fees were reasonable in light of the services that Rydex Investments provides to the Funds; and (c) agreed to renew the Current Agreement for an additional one-year term. In approving the continuation of the Current Agreement at the Annual Renewal Meeting, the Board, including the Independent Trustees advised by independent counsel, considered the factors discussed below. NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS At the Annual Renewal Meeting, the Board reviewed the scope of services to be provided by Rydex Investments under the Current 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. The Board further noted that the Funds have consistently met their investment objectives since their respective 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 Current 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 At the Annual Renewal Meeting, the Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees and gross and net total expenses of each Fund in comparison with the same ANNUAL REPORT 109 SUPPLEMENTAL INFORMATION (Unaudited) (concluded) - -------------------------------------------------------------------------------- information for other exchange-traded funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. 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 exchange-traded funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. 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 Current Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES At the Annual Renewal Meeting, the Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Current Agreement for the last calendar year. 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 Current 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 at the Annual Renewal Meeting, 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 Current Agreement did not provide for any breakpoints in the investment advisory fees as a result of increases in the asset levels of the Funds. The Board also reviewed and considered Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in advisory fees 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, determined that the economies of scale, if any, were de minimis. OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES At the Annual Renewal Meeting, in addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the distribution 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. 110 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS - -------------------------------------------------------------------------------- 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. INDEPENDENT TRUSTEES
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS YEAR OF BIRTH (YEAR BEGAN) OVERSEEN - ----------------------- ---------------------------------------- ---------------- JOHN O. DEMARET Rydex Series Funds -- 1997 151 Trustee, Chairman of Rydex Variable Trust -- 1998 the Board (1940) Rydex Dynamic Funds -- 1999 Rydex ETF Trust -- 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired --------------------- COREY A. COLEHOUR Rydex Series Funds -- 1993 151 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 151 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 151 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 151 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 151 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 151 Trustee (1944) Rydex Variable Trust -- 1998 Rydex Dynamic Funds -- 1999 Rydex ETF Trust -- 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine - ------------------------------------------------------------------------------------
ANNUAL REPORT 111 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (continued) - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE YEAR OF BIRTH YEARS - ------------------------------------------ ------------------------------------------ RICHARD M. GOLDMAN* President of Rydex Series Funds, Rydex President (1961) Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Chief Executive Officer and Director of Rydex Investments (2009 to present); President, Chief Executive Officer and Director of Rydex Distributors, Inc. (2009 to present); President and Chief Executive Officer of Rydex Holdings, LLC (2009 to present); Senior Vice President of Security Benefit Corp. (2007 to present); Director of First Security Benefit Life and Annuity Insurance Company of New York (2007 to present); Director of Security Distributors, Inc. (2007 to present); President of Security Investors, LLC (2007 to present); Manager and President of Security Global Investors, LLC (2007 to present); Managing Member of R.M. Goldman Partners, LLC (2006 to 2007); President and Chief Executive Officer of FortsmannLeff Associates (2003 to 2005) MICHAEL P. BYRUM* Vice President of Rydex Series Funds (1997 Vice President (1970) to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); President of Rydex Investments (2004 to present); Chief Investment Officer of Rydex Investments (2006 to present); Secretary of Rydex Investments (2002 to present); Director of Rydex Investments (2008 to present); Chief Investment Officer of Rydex Holdings, LLC (2008 to present); Vice President of Rydex Distributors, Inc. (2009 to present); Manager of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Specialized Products, LLC (2005 to 2008); Trustee of Rydex Series Funds, Rydex Variable Trust and Rydex Dynamic Funds (2005 to 2009); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2007) NICK BONOS* Vice President and Treasurer of Rydex Vice President and Treasurer (1963) Series Funds, Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Investments (2006 to present); Chief Executive Officer of Rydex Specialized Products, LLC (2009 to present); Chief Financial Officer of Rydex Specialized Products, LLC (2005 to 2009); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006) JOANNA M. HAIGNEY* Chief Compliance Officer of Rydex Series Chief Compliance Officer and Secretary Funds, Rydex Variable Trust, and Rydex (1966) Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Chief Compliance Officer of Rydex Investments (2005 to present) Vice President of Compliance of Rydex Investments (2006 to present); Director of Rydex Distributors, Inc. (2009 to present); Secretary of Rydex Capital Partners SPhinX Fund (2003 to 2006) KEITH FLETCHER* Vice President of Rydex Series Funds, Vice President (1958) Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Vice President of Rydex Investments (2009 to present); Vice President of Rydex Specialized Products, LLC (2009 to present); Vice President and Director of Rydex Distributors, Inc. (2009 to present); Vice President of Security Global Investors, LLC (2009 to present)
112 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (concluded) - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS (concluded)
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE YEAR OF BIRTH YEARS - ------------------------------------------ ------------------------------------------ AMY LEE* Vice President and Assistant Secretary of Vice President and Assistant Secretary Rydex Series Funds, Rydex Variable Trust, (1960) Rydex Dynamic Funds and Rydex ETF Trust (2009 to present); Secretary of Rydex Distributors, Inc. (2008 to present); Chief Compliance Officer of Rydex Distributors, Inc. (2008 to 2009); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Corp. (2005 to present); Vice President, Associate General Counsel and Assistant Secretary of Security Benefit Life Insurance Co. (2004 to present); Assistant General Counsel of First Security Benefit Life and Annuity Company of New York (2004 to present); Chief Compliance Officer and Secretary of Security Distributors, Inc. (2004 to present); Secretary of Security Global Investors, Inc. (2007 to present); JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Assistant Treasurer (1966) Rydex Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Senior Vice President of Rydex Investments (2008 to present); Vice President of Rydex Investments (2004 to 2008); Manager and Chief Financial Officer of Rydex Specialized Products, LLC (2009 to present) Director of Accounting of Rydex Investments (2003 to 2004) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Controller (1974) Variable Trust, Rydex Dynamic Funds and Rydex ETF Trust (2006 to present); Director of Fund Administration of Rydex Investments (2001 to present)
* Officers of the Funds 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 Rydex Investments. RYDEX | SGI SECURITY GLOBAL INVESTORS (SM) 9601 Blackwell Road - Suite 500 - Rockville, MD 20850 www.rydex-sgi.com - 800.820.0888 ETF3-ANN-1009X1010 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. The registrant's Board of Trustees has determined that Werner Keller, an "independent" Trustee serving on the registrant's audit committee, is an "audit committee financial expert," as defined in Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an "expert" for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a)-(d) The aggregate Audit Fees billed by 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 October 31, 2009 and October 31, 2008 were $391,150 and $441,500, respectively. The aggregate Tax Fees billed by the Trust's principal accountant 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 October 31, 2009 and October 31, 2008 were $100,750 and $0, 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) Not applicable. (h) Not applicable. 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 January 7, 2010, the President (principal executive officer) and the Treasurer (principal financial officer) of the Rydex ETF 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, and State Street Bank and Trust Company (the "Administrator"), the administrator 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, the Administrator or RI on behalf of the Trust, to record, process, summarize, and report the subject matter contained in this Report, and the President and Treasurer of the Trust have identified no material weaknesses in such internal controls on behalf of the Trust. There was no fraud, whether or not material, involving officers or employees of RI, the Administrator, 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 and RI's internal controls over financial reporting, including disclosure controls and procedures (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-99.CODE ETH 2 b78825a1exv99wcodeeth.txt CODE OF ETHICS EX - 12(a)(1) RYDEX SERIES FUNDS RYDEX DYNAMIC FUNDS RYDEX VARIABLE TRUST RYDEX ETF TRUST FINANCIAL OFFICER CODE OF ETHICS I. INTRODUCTION The reputation and integrity of Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust, and Rydex ETF Trust (each a "Trust" and, collectively, the "Trusts") are valuable assets that are vital to the Trusts' success. The Trusts' senior financial officers ("SFOs,") are responsible for conducting the Trusts' business in a manner that demonstrates a commitment to the highest standards of integrity. The Trusts' SFOs are set forth on Appendix A of this Code, as may be amended from time to time, and include the principal executive officer, the principal financial officer, comptroller or principal accounting officer, and any person who performs a similar function. The Sarbanes-Oxley Act of 2002 (the "Act") effected sweeping corporate disclosure and financial reporting reform on public companies, including mutual funds, to address corporate malfeasance and assure investors that the companies in which they invest are accurately and completely disclosing financial information. Under the Act, all public companies (including the Trusts) must either have a code of ethics for their SFOs, or disclose why they do not. The Act was intended to foster corporate environments which encourage employees to question and report unethical and potentially illegal business practices. The Trusts have chosen to adopt this Financial Officer Code of Ethics (the "Code") to encourage its SFOs to act in a manner consistent with the highest principles of ethical conduct. II. PURPOSES OF THE CODE The purposes of this Code are: - To promote honest and ethical conduct by the Trusts' SFOs, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; - To assist the Trusts' SFOs in recognizing and avoiding conflicts of interest, including disclosing to an appropriate person any material transaction or relationship that reasonably could be expected to give rise to such a conflict; - To promote full, fair, accurate, timely, and understandable disclosure in reports and documents that the Trusts file with, or submit to, the SEC and in other public communications made by the Trusts; - To promote compliance with applicable laws, rules and regulations; 1 - To encourage the prompt internal reporting to an appropriate person of violations of this Code; and - To establish accountability for adherence to this Code. III. QUESTIONS ABOUT THIS CODE Each Trust's compliance officer designated to oversee the Trust's Code of Ethics adopted pursuant to Rule 17j-1 shall serve as Compliance Officer for the implementation and administration of this Code. You should direct your questions about this Code to the Compliance Officer. IV. CONDUCT GUIDELINES Each Trust has adopted the following guidelines under which the Trust's SFOs must perform their official duties and conduct the business affairs of the Trust. 1. ETHICAL AND HONEST CONDUCT IS OF PARAMOUNT IMPORTANCE. Each Trust's SFOs must act with honesty and integrity and avoid violations of this Code, including the avoidance of actual or apparent conflicts of interest with the Trust in personal and professional relationships. 2. SFOS MUST DISCLOSE MATERIAL TRANSACTIONS OR RELATIONSHIPS. Each Trust's SFOs must disclose to the Compliance Officer any actual or apparent conflicts of interest the SFO may have with the Trust that reasonably could be expected to give rise to any violations of this Code. Such conflicts of interest may arise as a result of material transactions or business or personal relationships to which the SFO may be a party. If it is not possible to disclose the matter to the Compliance Officer, it should be disclosed to the Trust's Chief Financial Officer, Chief Executive Officer or another appropriate person. In addition to disclosing any actual or apparent conflicts of interest in which an SFO is personally involved, the Trust's SFOs have an obligation to report any other actual or apparent conflicts which they discover or of which they otherwise become aware. If you are unsure whether a particular fact pattern gives rise to a conflict of interest, or whether a particular transaction or relationship is "material," you should bring the matter to the attention of the Compliance Officer 3. STANDARDS FOR QUALITY OF INFORMATION SHARED WITH TRUST SERVICE PROVIDERS. Each Trust's SFOs must at all times seek to provide information to the Trust's service providers (adviser, administrator, outside auditor, outside counsel, custodian, etc.) that is accurate, complete, objective, relevant, timely, and understandable. 4. STANDARDS FOR QUALITY OF INFORMATION INCLUDED IN PERIODIC REPORTS. Each Trust's SFOs must at all times endeavor to ensure full, fair, timely, accurate, and understandable disclosure in the Trust's periodic reports. 2 5. COMPLIANCE WITH LAWS. Each Trust's SFOs must comply with the federal securities laws and other laws and rules applicable to the Trusts, such as the Internal Revenue Code. 6. STANDARD OF CARE. Each Trust's SFOs must at all times act in good faith and with due care, competence and diligence, without misrepresenting material facts or allowing your independent judgment to be subordinated. Each Trust's SFOs must conduct the affairs of the Trust in a responsible manner, consistent with this Code. 7. CONFIDENTIALITY OF INFORMATION. Each Trust's SFOs must respect and protect the confidentiality of information acquired in the course of their professional duties, except when authorized by the Trust to disclose it or where disclosure is otherwise legally mandated. You may not use confidential information acquired in the course of your work for personal advantage. 8. SHARING OF INFORMATION AND EDUCATIONAL STANDARDS. Each Trust's SFOs should share information with relevant parties to keep them informed of the business affairs of the Trust, as appropriate, and maintain skills important and relevant to the Trust's needs. 9. PROMOTE ETHICAL CONDUCT. Each Trust's SFOs should at all times proactively promote ethical behavior among peers in your work environment. 10. STANDARDS FOR RECORDKEEPING. Each Trust's SFOs must at all times endeavor to ensure that the Trust's financial books and records are thoroughly and accurately maintained to the best of their knowledge in a manner consistent with applicable laws and this Code. V. WAIVERS OF THIS CODE You may request a waiver of a provision of this Code by submitting your request in writing to the Compliance Officer for appropriate review. For example, if a family member works for a service provider that prepares a Trust's financial statements, you may have a potential conflict of interest in reviewing those statements and should seek a waiver of this Code to review the work. An executive officer of each Trust, or another appropriate person (such as a designated Board or Audit Committee member), will decide whether to grant a waiver. All waivers of this code must be disclosed to the applicable Trust's shareholders to the extent required by SEC rules. VI. AFFIRMATION OF THE CODE Upon adoption of the Code, each Trusts' SFOs must affirm in writing that they have received, read and understand the Code, and annually thereafter must affirm that they have complied with the requirements of the Code. These affirmations may be made electronically via the Financial Tracking website (www.financial-tracking.com). To the extent necessary, each Trusts' Compliance Officer will provide guidance on the conduct required by this Code and the 3 manner in which violations or suspected violations must be reported and waivers must be requested. VII. REPORTING VIOLATIONS In the event that an SFO discovers or, in good faith, suspects a violation of this Code, the SFO must immediately report the violation or suspected violation to the Compliance Officer. The Compliance Officer may, in his or her discretion, consult with another member of the Trusts' senior management or the Board in determining how to address the suspected violation. For example, a Code violation may occur when a Trust periodic report or financial statement omits a material fact, or is technically accurate but, in the view of the SFO, is written in a way that obscures its meaning. SFOs who report violations or suspected violations in good faith will not be subject to retaliation of any kind. Reported violations will be investigated and addressed promptly and will be treated as confidential to the extent possible. VIII. VIOLATIONS OF THE CODE Dishonest or unethical conduct or conduct that is illegal will constitute a violation of this Code, regardless of whether this Code specifically refers to such particular conduct. A violation of this Code may result in disciplinary action, up to and including removal as an SFO of the Trusts. A variety of laws apply to the Trusts and their operations, including the Securities Act of 1933, the Investment Company Act of 1940, state laws relating to duties owed by Trust officers, and criminal laws. The Trusts will report any suspected criminal violations to the appropriate authorities, and will investigate, address and report, as appropriate, non-criminal violations. ADOPTED: AUGUST 25, 2003 /s/ Richard Goldman January 7, 2010 - -------------------------------------- --------------- 2010 Date Richard Goldman President /s/ Nick Bonos January 9, 2010 - -------------------------------------- --------------- Nick Bonos Date Treasurer /s/ Mike Byrum January 8, 2010 - -------------------------------------- --------------- 2010 Date Mike Byrum Chief Investment Officer 4 APPENDIX A SENIOR FINANCIAL OFFICERS As of January 1, 2010 each Trust's senior financial officers are: Richard Goldman Nick Bonos Mike Byrum 5 EX-99.CERT 3 b78825a1exv99wcert.txt CERTIFICATIONS OF PEO & PFO EX.-12(a)(2)(i) CERTIFICATIONS I, Richard Goldman, certify that: 1. I have reviewed this report on Form N-CSR of Rydex ETF 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 fiscal 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 directors: (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. Date: January 7, 2010 /s/ Richard Goldman --------------------------------------- Richard Goldman, President EX.-12(a)(2)(ii) CERTIFICATIONS I, Nick Bonos, certify that: 1. I have reviewed this report on Form N-CSR of Rydex ETF 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 fiscal 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 directors: (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. Date: January 7, 2010 /s/ Nick Bonos --------------------------------------- Nick Bonos, Vice President and Treasurer EX-99.906.CERT 4 b78825a1exv99w906wcert.txt SECTION 906 CERTIFICATIONS EX. 12(b)(i) CERTIFICATIONS I, Richard Goldman, President of Rydex ETF 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. Dated: January 7, 2010 /s/ Richard Goldman --------------------------------------- Richard Goldman, President EX. 12(b)(ii) CERTIFICATIONS I, Nick Bonos, Treasurer of Rydex ETF 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. Dated: January 7, 2010 /s/ Nick Bonos --------------------------------------- Nick Bonos, Vice President and Treasurer 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 ETF Trust By (Signature and Title)* /s/ Richard Goldman ---------------------------------------- Richard Goldman, President Date January 7, 2010 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/ Richard Goldman ---------------------------------------- Richard Goldman, President Date January 7, 2010 By (Signature and Title)* /s/ Nick Bonos ---------------------------------------- Nick Bonos, Vice President and Treasurer Date January 7, 2010 * Print the name and title of each signing officer under his or her signature. -----END PRIVACY-ENHANCED MESSAGE-----