N-CSR

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)

805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850

(Address of principal executive offices) (Zip code)

Richard Goldman
Rydex ETF Trust
805 King Farm Boulevard, Suite 600
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

Date of reporting period: October 31, 2011

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

TABLE OF CONTENTS

	Item 1. Reports to Stockholders
	Item 2. Code of Ethics
	Item 3. Audit Committee Financial Expert
	Item 4. Principal Accountant Fees and Services
	Item 5. Audit Committee of Listed Registrants
	Item 6. Schedule of Investments
	Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
	Item 8. Portfolio Managers of Closed-End Management Investment Companies
	Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
	Item 10. Submission of Matters to a Vote of Security Holders
	Item 11. Controls and Procedures
	Item 12. Exhibits
SIGNATURES

Item 1. Reports to Stockholders.

October 31, 2011

RYDEX ETF TRUST ANNUAL REPORT

RYDEX S&P 500 EQUAL WEIGHT ETF

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

RYDEX MSCI EAFE EQUAL WEIGHT ETF

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

RYDEX MSCI ACWI EQUAL WEIGHT ETF

RYDEX S&P 500 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF

RYDEX S&P 500 EQUAL WEIGHT CONSUMER STAPLES ETF

RYDEX S&P 500 EQUAL WEIGHT ENERGY ETF

RYDEX S&P 500 EQUAL WEIGHT FINANCIALS ETF

RYDEX S&P 500 EQUAL WEIGHT HEALTH CARE ETF

RYDEX S&P 500 EQUAL WEIGHT INDUSTRIALS ETF

RYDEX S&P 500 EQUAL WEIGHT MATERIALS ETF

RYDEX S&P 500 EQUAL WEIGHT TECHNOLOGY ETF

RYDEX S&P 500 EQUAL WEIGHT UTILITIES ETF

ANNUAL REPORT 1

 TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
FEES AND EXPENSES	4
PREMIUM AND DISCOUNT INFORMATION	6
MANAGER’S ANALYSIS	11
PORTFOLIO SUMMARY	12
SCHEDULES OF INVESTMENTS	54
STATEMENTS OF ASSETS AND LIABILITIES	139
STATEMENTS OF OPERATIONS	144
STATEMENTS OF CHANGES IN NET ASSETS	149
FINANCIAL HIGHLIGHTS	158
NOTES TO FINANCIAL STATEMENTS	176
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	187
SUPPLEMENTAL INFORMATION	188
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	192
RYDEX|SGI PRIVACY POLICIES	195

2

LETTER TO OUR SHAREHOLDERS

To Our Shareholders:

The U.S. and European debt crises weighed down equity markets in the fall of 2011, but not enough to offset strong performance in the first half of the period that was spurred by the Fed’s quantitative easing (QE) program and a belief that the economic recovery was gaining traction. The broad market S&P 500 Index returned 8.09% over the 12 months ended October 31, 2011.

To achieve that performance, investors had to shrug off natural disasters, Mid East uprisings, volatile oil prices and sovereign debt issues. QEII ended in June, then Congress wrangled over the debt ceiling, and that led to the U.S. losing its triple-A debt rating in August.

As with many countries, the central bank of the U.S. was a major factor in the markets for most of the past year. Late in the third quarter, the Fed chairman said the “recovery is close to faltering,” and there was a risk of another recession unless the government took steps to increase growth. Recessionary fears plagued U.S. markets throughout the past 12 months, driven by weak housing demand despite record-low mortgage rates, consumer confidence that has ebbed for several months and job creation insufficient to keep up with population growth.

Recession was also a threat in Europe, as high unemployment and austerity measures weigh on weaker members of the euro zone, with a knock-on effect for the continent’s growth engines of Germany and France. A rising number of investors are bracing for an orderly default of Greece that may prevent financial problems from spreading to other weak countries or to banks, and stabilize the euro. Even though they were not at the eye of the sovereign debt storm, many emerging market economies also began weakening over the summer, fearing global recession and financial contagion. Investors are especially concerned about the stability of China’s banking system and whether inflation will ebb along with slowing growth.

While the market forces play out, many investors have been driven to the sidelines or to safe havens, including gold, which reached a high of near $1,900 an ounce in August, and the dollar. Further upward moves in the dollar are expected if the world economy continues to sputter. Sluggish economic data, concern over European financial weakness and the Fed’s policy efforts also drove investors into U.S. government debt over the course of 2011, driving up the price of debt maturing in 10 years or more, leading to historic low yields.

As we prepare for 2012, markets continue to be affected by consumer confidence, which remains low, and the unemployment rate, which remains high. Helping matters is lower inflation expectations, good retail sales, sound corporate balance sheets and manufacturing gauges that are improving, albeit slightly. The Fed remains accommodative and the Treasury yield curve is steep. A rebound in GDP to around 2% in the third quarter, fuel prices lower than in the spring and a stronger automotive sector may be enough to keep the U.S. recovery on course, even if modest, and counterbalance difficulties in Europe and Asia.

We are proud of the growth of ETF assets at RydexïSGI, from $3.6 billion to $5.2 billion (about 44%) over the 12 months ended October 31, 2011, despite troubled markets. According to the Investment Company Institute (ICI), assets in ETFs in the U.S. were more than $1 trillion¹ in October, up about 14% from the year earlier. There are now more than 1,000 ETFs in the U.S., 8 of them launched by RydexïSGI in the past 12 months.

In September, Guggenheim Partners announced it is expanding its investment management capabilities under a single brand called Guggenheim Investments. This marks an alignment of several complementary acquisitions, including RydexïSGI, into Guggenheim’s existing investment management business. Upon the change of ownership of RydexïSGI, expected to be complete in Q1 2012, Guggenheim Investments will have total assets exceeding $115 billion*, with nearly 150 investment professionals. Guggenheim Investments will offer clients investment competencies across all major asset classes, including fixed income, equities and alternatives. In addition, with the integration of RydexïSGI, Guggenheim Investments is projected to be included in the top ten of largest ETF providers globally**.

  ¹  ICI Exchange Traded Fund Assets, October 2011.

 *  Asset figure is based upon the best available information as of 9/30/2011 and consists of assets under management and serviced assets of the various asset managers comprising Guggenheim Investments.

 ** Figures are comprised of Guggenheim Funds Investment Advisors, LLC, Claymore Investment, Inc. and Security Investors, LLC. ETF ranking based on BlackRock Global ETF report as of 9/30/2011 and Guggenheim analysis. Performance displayed represents past performance which is no guarantee of future results. Of course, 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 us at 800.820.0888 or visit www.rydex-sgi.com.

ANNUAL REPORT 3

LETTER TO OUR SHAREHOLDERS (concluded)

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Michael Byrum

The opinions and forecasts expressed are those of Michael Byrum as of 10/31/2011, and may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

S&P 500^® Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888

RydexSGI funds are distributed by Rydex Distributors, LLC (RDL). Security Investors, LLC (SI) is a registered investment advisor, and does business as Security Global Investors^® and Rydex Investments. SI and RDL are affiliates and are subsidiaries of Security Benefit Corporation, which is wholly owned by Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate of Guggenheim Partners, LLC, a diversified financial services firm with more than $100 billion in assets under supervision.

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, 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, 2011 and held for the six months ended October 31, 2011.

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			04/30/11		10/31/11		04/30/11 to 10/31/11
Actual
Rydex S&P 500 Equal Weight ETF		0.40	%	$	1,000.00	$	905.80	$	1.92
Rydex S&P MidCap 400 Equal Weight ETF**		0.40	%	$	1,000.00	$	951.90	$	0.97
Rydex S&P SmallCap 600 Equal Weight ETF**		0.40	%	$	1,000.00	$	947.00	$	0.97
Rydex Russell MidCap® Equal Weight ETF		0.41	%	$	1,000.00	$	897.10	$	1.96
Rydex Russell 1000® Equal Weight ETF		0.41	%	$	1,000.00	$	904.30	$	1.97
Rydex Russell 2000® Equal Weight ETF		0.41	%	$	1,000.00	$	857.50	$	1.92
Rydex MSCI EAFE Equal Weight ETF		0.56	%	$	1,000.00	$	850.00	$	2.61
Rydex MSCI Emerging Markets Equal Weight ETF		0.63	%	$	1,000.00	$	814.10	$	2.88
Rydex MSCI ACWI Equal Weight ETF		0.15	%	$	1,000.00	$	845.90	$	0.70
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		0.50	%	$	1,000.00	$	955.10	$	2.46
Rydex S&P 500 Equal Weight Consumer Staples ETF		0.50	%	$	1,000.00	$	977.20	$	2.49
Rydex S&P 500 Equal Weight Energy ETF		0.50	%	$	1,000.00	$	856.70	$	2.34
Rydex S&P 500 Equal Weight Financials ETF		0.50	%	$	1,000.00	$	837.00	$	2.32
Rydex S&P 500 Equal Weight Health Care ETF		0.50	%	$	1,000.00	$	923.90	$	2.42
Rydex S&P 500 Equal Weight Industrials ETF		0.50	%	$	1,000.00	$	879.70	$	2.37
Rydex S&P 500 Equal Weight Materials ETF		0.50	%	$	1,000.00	$	839.80	$	2.32
Rydex S&P 500 Equal Weight Technology ETF		0.50	%	$	1,000.00	$	888.60	$	2.38
Rydex S&P 500 Equal Weight Utilities ETF		0.50	%	$	1,000.00	$	1,009.70	$	2.53

ANNUAL REPORT 5

FEES AND EXPENSES (concluded)

				Beginning		Ending		Expenses
				Account		Account		Paid During
	Expense			Value		Value		Six-Month Period*
	Ratio			04/30/11		10/31/11		04/30/11 to 10/31/11
Hypothetical (assuming a 5% return before expenses)
Rydex S&P 500 Equal Weight ETF		0.40	%	$	1,000.00	$	1,023.19	$	2.04
Rydex S&P MidCap 400 Equal Weight ETF		0.40	%	$	1,000.00	$	1,023.19	$	2.04
Rydex S&P SmallCap 600 Equal Weight ETF		0.40	%	$	1,000.00	$	1,023.19	$	2.04
Rydex Russell MidCap® Equal Weight ETF		0.41	%	$	1,000.00	$	1,023.14	$	2.09
Rydex Russell 1000® Equal Weight ETF		0.41	%	$	1,000.00	$	1,023.14	$	2.09
Rydex Russell 2000® Equal Weight ETF		0.41	%	$	1,000.00	$	1,023.14	$	2.09
Rydex MSCI EAFE Equal Weight ETF		0.56	%	$	1,000.00	$	1,022.38	$	2.85
Rydex MSCI Emerging Markets Equal Weight ETF		0.63	%	$	1,000.00	$	1,022.03	$	3.21
Rydex MSCI ACWI Equal Weight ETF		0.15	%	$	1,000.00	$	1,024.45	$	0.77
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 Equal Weight Consumer Staples ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 Equal Weight Energy ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 Equal Weight Financials ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 Equal Weight Health Care ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 Equal Weight Industrials ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 Equal Weight Materials ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 Equal Weight Technology ETF		0.50	%	$	1,000.00	$	1,022.68	$	2.55
Rydex S&P 500 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).
**	The Fund commenced operations on August 1, 2011. Actual expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 91/365 (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 Net Asset Value per share (“NAV”). The 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, 2011.

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.

ANNUAL REPORT 7

PREMIUM AND DISCOUNT INFORMATION (Unaudited) (continued)

	Number of Days
			Rydex		Rydex		Rydex
	Rydex		S&P MidCap		S&P SmallCap		Russell MidCap®
	S&P 500 Equal		400 Equal		600 Equal		Equal
Premium/Discount Range	Weight ETF		Weight ETF		Weight ETF		Weight ETF
Greater than 30%		0		0		0		0
Between 10.01% and 30%		0		2		1		0
Between 8.01% and 10%		1		0		2		0
Between 3.01% and 8%		0		8		9		0
Between 1.01% and 3%		3		9		6		2
Between .51% and 1%		7		3		5		12
Between .26% and .5%		27		4		1		16
Between 0% and .25%		1,093		33		34		238
Between -0.01% and -0.25%		1,003		4		0		45
Between -0.26% and -0.5%		26		4		5		10
Between -0.51% and -1%		8		7		3		5
Between -1.01% and -3%		4		7		9		4
Between -3.01% and -8%		0		11		17		1
Between -8.01% and -10%		0		0		0		0
Between -10.01% and -30%		0		0		0		0
Less than -30%		0		0		0		0
Total		2,172		92		92		333

	Percentage of Total Days
				Rydex			Rydex			Rydex
	Rydex			S&P MidCap			S&P SmallCap			Russell MidCap®
	S&P 500 Equal			400 Equal			600 Equal			Equal
Premium/Discount Range	Weight ETF			Weight ETF			Weight ETF			Weight ETF
Greater than 30%		0.00	%		0.00	%		0.00	%		0.00	%
Between 10.01% and 30%		0.00	%		2.17	%		1.09	%		0.00	%
Between 8.01% and 10%		0.05	%		0.00	%		2.17	%		0.00	%
Between 3.01% and 8%		0.00	%		8.70	%		9.78	%		0.00	%
Between 1.01% and 3%		0.14	%		9.78	%		6.52	%		0.60	%
Between .51% and 1%		0.32	%		3.26	%		5.44	%		3.60	%
Between .26% and .5%		1.24	%		4.35	%		1.09	%		4.81	%
Between 0% and .25%		50.32	%		35.86	%		36.96	%		71.47	%
Between -0.01% and -0.25%		46.18	%		4.35	%		0.00	%		13.52	%
Between -0.26% and -0.5%		1.20	%		4.35	%		5.43	%		3.00	%
Between -0.51% and -1%		0.37	%		7.61	%		3.26	%		1.50	%
Between -1.01% and -3%		0.18	%		7.61	%		9.78	%		1.20	%
Between -3.01% and -8%		0.00	%		11.96	%		18.48	%		0.30	%
Between -8.01% and -10%		0.00	%		0.00	%		0.00	%		0.00	%
Between -10.01% and -30%		0.00	%		0.00	%		0.00	%		0.00	%
Less than -30%		0.00	%		0.00	%		0.00	%		0.00	%
Total		100.00	%		100.00	%		100.00	%		100.00	%

8

PREMIUM AND DISCOUNT INFORMATION (Unaudited) (continued)

	Number of Days
	Rydex		Rydex		Rydex		Rydex		Rydex
	Russell 1000®		Russell 2000®		MSCI EAFE		MSCI Emerging		MSCI ACWI
	Equal		Equal		Equal		Markets Equal		Equal
Premium/Discount Range	Weight ETF		Weight ETF		Weight ETF		Weight ETF		Weight ETF
Greater than 30%		0		0		0		0		0
Between 10.01% and 30%		0		0		0		0		0
Between 8.01% and 10%		0		0		0		0		0
Between 3.01% and 8%		0		1		1		8		2
Between 1.01% and 3%		4		9		32		82		46
Between .51% and 1%		6		21		34		60		71
Between .26% and .5%		21		30		29		25		19
Between 0% and .25%		213		182		144		129		108
Between -0.01% and -0.25%		45		46		37		11		7
Between -0.26% and -0.5%		19		23		24		4		4
Between -0.51% and -1%		18		10		19		8		14
Between -1.01% and -3%		6		9		13		5		22
Between -3.01% and -8%		1		2		0		1		5
Between -8.01% and -10%		0		0		0		0		0
Between -10.01% and -30%		0		0		0		0		0
Less than -30%		0		0		0		0		0
Total		333		333		333		333		298

	Percentage of Total Days
	Rydex			Rydex			Rydex			Rydex			Rydex
	Russell 1000®			Russell 2000®			MSCI EAFE			MSCI Emerging			MSCI ACWI
	Equal			Equal			Equal			Markets Equal			Equal
Premium/Discount Range	Weight ETF			Weight ETF			Weight ETF			Weight ETF			Weight ETF
Greater than 30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 10.01% and 30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 8.01% and 10%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 3.01% and 8%		0.00	%		0.30	%		0.30	%		2.40	%		0.67	%
Between 1.01% and 3%		1.20	%		2.70	%		9.61	%		24.63	%		15.43	%
Between .51% and 1%		1.80	%		6.31	%		10.21	%		18.02	%		23.83	%
Between .26% and .5%		6.31	%		9.01	%		8.71	%		7.51	%		6.38	%
Between 0% and .25%		63.96	%		54.66	%		43.24	%		38.74	%		36.24	%
Between -0.01% and -0.25%		13.51	%		13.81	%		11.11	%		3.30	%		2.35	%
Between -0.26% and -0.5%		5.71	%		6.91	%		7.21	%		1.20	%		1.34	%
Between -0.51% and -1%		5.41	%		3.00	%		5.71	%		2.40	%		4.70	%
Between -1.01% and -3%		1.80	%		2.70	%		3.90	%		1.50	%		7.38	%
Between -3.01% and -8%		0.30	%		0.60	%		0.00	%		0.30	%		1.68	%
Between -8.01% and -10%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between -10.01% and -30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Less than -30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Total		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%

ANNUAL REPORT 9

PREMIUM AND DISCOUNT INFORMATION (Unaudited) (continued)

	Number of Days
	Rydex		Rydex		Rydex		Rydex		Rydex
	S&P 500 Equal		S&P 500 Equal		S&P 500		S&P 500		S&P 500 Equal
	Weight Consumer		Weight Consumer		Equal Weight		Equal Weight		Weight Health
Premium/Discount Range	Discretionary ETF		Staples ETF		Energy ETF		Financials ETF		Care ETF
Greater than 30%		0		0		0		0		0
Between 10.01% and 30%		0		0		0		1		0
Between 8.01% and 10%		1		0		0		0		0
Between 3.01% and 8%		9		0		7		14		0
Between 1.01% and 3%		28		26		33		64		7
Between .51% and 1%		45		48		71		66		33
Between .26% and .5%		62		79		85		86		77
Between 0% and .25%		593		596		523		479		635
Between -0.01% and -0.25%		603		576		551		547		651
Between -0.26% and -0.5%		100		116		118		100		85
Between -0.51% and -1%		63		77		86		92		43
Between -1.01% and -3%		26		23		54		73		10
Between -3.01% and -8%		10		0		13		17		0
Between -8.01% and -10%		1		0		0		1		0
Between -10.01% and -30%		0		0		0		1		0
Less than -30%		0		0		0		0		0
Total		1,541		1,541		1,541		1,541		1,541

	Percentage of Total Days
	Rydex			Rydex			Rydex			Rydex			Rydex
	S&P 500 Equal			S&P 500 Equal			S&P 500			S&P 500			S&P 500 Equal
	Weight Consumer			Weight Consumer			Equal Weight			Equal Weight			Weight Health
Premium/Discount Range	Discretionary ETF			Staples ETF			Energy ETF			Financials ETF			Care ETF
Greater than 30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 10.01% and 30%		0.00	%		0.00	%		0.00	%		0.07	%		0.00	%
Between 8.01% and 10%		0.07	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 3.01% and 8%		0.58	%		0.00	%		0.45	%		0.91	%		0.00	%
Between 1.01% and 3%		1.82	%		1.69	%		2.14	%		4.15	%		0.45	%
Between .51% and 1%		2.92	%		3.11	%		4.61	%		4.28	%		2.14	%
Between .26% and .5%		4.02	%		5.13	%		5.52	%		5.58	%		5.00	%
Between 0% and .25%		38.48	%		38.67	%		33.94	%		31.08	%		41.21	%
Between -0.01% and -0.25%		39.13	%		37.38	%		35.76	%		35.50	%		42.24	%
Between -0.26% and -0.5%		6.49	%		7.53	%		7.66	%		6.49	%		5.52	%
Between -0.51% and -1%		4.09	%		5.00	%		5.58	%		5.97	%		2.79	%
Between -1.01% and -3%		1.69	%		1.49	%		3.50	%		4.74	%		0.65	%
Between -3.01% and -8%		0.65	%		0.00	%		0.84	%		1.10	%		0.00	%
Between -8.01% and -10%		0.06	%		0.00	%		0.00	%		0.07	%		0.00	%
Between -10.01% and -30%		0.00	%		0.00	%		0.00	%		0.06	%		0.00	%
Less than -30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Total		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%

10

PREMIUM AND DISCOUNT INFORMATION (Unaudited) (concluded)

	Number of Days
	Rydex		Rydex		Rydex		Rydex
	S&P 500		S&P 500		S&P 500		S&P 500
	Equal Weight		Equal Weight		Equal Weight		Equal Weight
Premium/Discount Range	Industrials ETF		Materials ETF		Technology ETF		Utilities ETF
Greater than 30%		0		0		0		0
Between 10.01% and 30%		0		0		0		0
Between 8.01% and 10%		0		0		0		0
Between 3.01% and 8%		6		3		6		2
Between 1.01% and 3%		54		43		28		40
Between .51% and 1%		57		49		40		51
Between .26% and .5%		95		66		60		93
Between 0% and .25%		530		584		641		557
Between -0.01% and -0.25%		555		595		584		570
Between -0.26% and -0.5%		105		90		84		107
Between -0.51% and -1%		89		58		59		84
Between -1.01% and -3%		47		46		37		31
Between -3.01% and -8%		3		7		2		6
Between -8.01% and -10%		0		0		0		0
Between -10.01% and -30%		0		0		0		0
Less than -30%		0		0		0		0
Total		1,541		1,541		1,541		1,541

	Percentage of Total Days
	Rydex			Rydex			Rydex			Rydex
	S&P 500			S&P 500			S&P 500			S&P 500
	Equal Weight			Equal Weight			Equal Weight			Equal Weight
Premium/Discount Range	Industrials ETF			Materials ETF			Technology ETF			Utilities ETF
Greater than 30%		0.00	%		0.00	%		0.00	%		0.00	%
Between 10.01% and 30%		0.00	%		0.00	%		0.00	%		0.00	%
Between 8.01% and 10%		0.00	%		0.00	%		0.00	%		0.00	%
Between 3.01% and 8%		0.39	%		0.20	%		0.39	%		0.13	%
Between 1.01% and 3%		3.50	%		2.79	%		1.82	%		2.60	%
Between .51% and 1%		3.70	%		3.18	%		2.60	%		3.31	%
Between .26% and .5%		6.17	%		4.28	%		3.89	%		6.04	%
Between 0% and .25%		34.39	%		37.90	%		41.59	%		36.14	%
Between -0.01% and -0.25%		36.02	%		38.61	%		37.90	%		36.99	%
Between -0.26% and -0.5%		6.81	%		5.84	%		5.45	%		6.94	%
Between -0.51% and -1%		5.78	%		3.76	%		3.83	%		5.45	%
Between -1.01% and -3%		3.05	%		2.99	%		2.40	%		2.01	%
Between -3.01% and -8%		0.19	%		0.45	%		0.13	%		0.39	%
Between -8.01% and -10%		0.00	%		0.00	%		0.00	%		0.00	%
Between -10.01% and -30%		0.00	%		0.00	%		0.00	%		0.00	%
Less than -30%		0.00	%		0.00	%		0.00	%		0.00	%
Total		100.00	%		100.00	%		100.00	%		100.00	%

ANNUAL REPORT 11

RYDEX S&P 500 EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex S&P 500 Equal Weight ETF (RSP) returned 8.12% for the one-year period ended October 31, 2011, compared with the benchmark S&P 500 Equal Weight Total Return Index* (8.60%). During the period, RSP achieved over 99% correlation to its benchmark on a daily basis. The Consumer Discretionary sector contributed most to performance, followed by Financials. The sector detracting the most from performance was Information Technology, followed by Materials.

Holdings that were top contributors to the Fund’s return included Cabot Oil & Gas Corp. and El Paso Corp, while Sprint Nextel Corp. and Hospira, Inc. were the largest detractors.

After strong performance for the first half of the fiscal year, the U.S. and European debt crises weighed down equity markets. However, the S&P 500 returned 8.09% over the past 12 months. Market volatility rose to its highest level of the period in August, when Congress was debating raising the debt ceiling and the U.S. lost its triple-A debt rating. Volatility remained elevated through the rest of the fiscal year. The Fund’s equal weighting methodology allowed it to purchase stocks that had underperformed and sell stocks that had outperformed between rebalance dates.

*The S&P 500 Equal Weight Total Return Index is an unmanaged equal-weighted version of the S&P 500 Total Return Index, which is an unmanaged capitalization-weighted index comprised of 500 common stocks (covering industrial, utility, transportation and financial companies in the U.S. markets — mostly NYSE Euronext issues), chosen by Standard & Poor’s, a Division of The McGraw-Hill Companies, Inc. (“S&P”) on a statistical basis. Unlike the S&P 500 Index, in which each constituent stock’s weight is proportionate to its market value, each stock in the S&P 500 Equal Weight Total Return Index will be rebalanced quarterly to have the same target weighting as every other stock in the Index.

Cumulative Fund Performance: April 24, 2003 – October 31, 2011

			S&P 500
	Rydex S&P		Equal Weight		S&P 500
	500 Equal		Total Return		Total Return
	Weight ETF		Index		Index
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
11/30/2009		16320		16963		13722
12/31/2009		17063		17746		13987
1/31/2010		16523		17186		13484
2/28/2010		17219		17920		13901
3/31/2010		18421		19183		14740
4/30/2010		18928		19723		14973
5/31/2010		17533		18270		13777
6/30/2010		16450		17137		13056
7/31/2010		17641		18390		13971
8/31/2010		16798		17511		13340
9/30/2010		18508		19314		14531
10/31/2010		19163		20003		15083
11/30/2010		19329		20184		15085
12/31/2010		20701		21634		16094
1/31/2011		21152		22113		16475
2/28/2011		22007		23017		17039
3/31/2011		22178		23206		17046
4/30/2011		22872		23943		17551
5/31/2011		22745		23818		17352
6/30/2011		22323		23384		17063
7/31/2011		21524		22555		16716
8/31/2011		20152		21122		15808
9/30/2011		18339		19218		14697
10/31/2011		20718		21722		16303

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(04/24/03)
Rydex S&P 500 Equal Weight ETF	8.12%	17.79%	1.83%	8.92%
S&P 500 Equal Weight Total Return Index	8.60%	18.55%	2.51%	9.53%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	5.90%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

12

RYDEX S&P 500 EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
GOODRICH CORP.		0.26	%
EL PASO CORP.		0.25	%
GOODYEAR TIRE & RUBBER CO.(THE)		0.25	%
HARMAN INTERNATIONAL INDUSTRIES, INC.		0.25	%
AFLAC, INC.		0.24	%
CITRIX SYSTEMS, INC.		0.24	%
F5 NETWORKS, INC.		0.24	%
SEARS HOLDINGS CORP.		0.24	%
JUNIPER NETWORKS, INC.		0.23	%
RED HAT, INC.		0.23	%

Sector Allocations*

Financials	16.40
Consumer Discretionary	15.70
Information Technology	15.20
Industrials	12.20
Health Care	10.00
Energy	8.40
Consumer Staples	8.20
Utilities	6.50
Materials	6.00
Telecommunication Services	1.40

*  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 13

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex S&P MidCap 400 Equal Weight ETF returned -4.81% for the partial-year period ended October 31, 2011, compared with the benchmark S&P MidCap 400 Equal Weight Total Return Index* (-4.71%). The ETF was launched August 1, 2011. The Utilities sector was the only sector contributing to return for the period. The sectors detracting the most from performance were Energy and Financials.

The S&P MidCap 400 Equal Weight Total Return Index performed in-line with the cap-weighted S&P MidCap 400 Total Return Index (-4.88%) during the partial-year period. Market volatility rose to its highest level of the past 12 months in August, when Congress was debating raising the debt ceiling and the U.S. lost its triple-A debt rating. Volatility remained elevated through the rest of the fiscal year.

*The S&P MidCap 400 Equal Weight Total Return Index is an unmanaged equal-weighted version of the S&P MidCap 400 Total Return Index, which is an unmanaged capitalization-weighted index that covers 7% of the U.S. equity market and measures the performance of the mid-cap segment of the U.S. equity universe. The S&P MidCap 400 Equal Weight Total Return Index generally represents medium-capitalization companies, has the same constituents as the capitalization-weighted S&P MidCap 400 Index, but each company in the equal weight index is allocated a fixed weight, and is rebalanced quarterly. Through equal weighting, the S&P MidCap 400 Equal Weight Total Return Index provides broad diversification. Diversification does not ensure a profit, nor eliminate the risk of investment losses.

Cumulative Fund Performance: August 1, 2011 – October 31, 2011

	Rydex S&P				S&P Midcap
	MidCap 400		S&P MidCap		400 Equal
	Equal Weight		400 Total		Weighted Total
	ETF		Return Index		Return Index
8/1/2011		10000		10000		10000
8/2/2011		9698		9702		9696
8/3/2011		9738		9747		9739
8/4/2011		9170		9176		9171
8/5/2011		9012		9019		9012
8/6/2011		9012		9019		9012
8/7/2011		9012		9019		9012
8/8/2011		8249		8275		8251
8/9/2011		8767		8804		8768
8/10/2011		8431		8510		8431
8/11/2011		8891		8963		8891
8/12/2011		8921		9004		8921
8/13/2011		8921		9004		8921
8/14/2011		8921		9004		8921
8/15/2011		9167		9248		9169
8/16/2011		9042		9117		9043
8/17/2011		8995		9069		8998
8/18/2011		8505		8570		8505
8/19/2011		8350		8417		8352
8/20/2011		8350		8417		8352
8/21/2011		8350		8417		8352
8/22/2011		8357		8425		8358
8/23/2011		8703		8774		8704
8/24/2011		8831		8898		8832
8/25/2011		8632		8701		8634
8/26/2011		8861		8932		8863
8/27/2011		8861		8932		8863
8/28/2011		8861		8932		8863
8/29/2011		9241		9283		9242
8/30/2011		9278		9324		9281
8/31/2011		9301		9353		9303
9/1/2011		9126		9199		9129
9/2/2011		8814		8905		8817
9/3/2011		8814		8905		8817
9/4/2011		8814		8905		8817
9/5/2011		8814		8905		8817
9/6/2011		8750		8848		8752
9/7/2011		9093		9180		9097
9/8/2011		8952		9056		8954
9/9/2011		8696		8803		8700
9/10/2011		8696		8803		8700
9/11/2011		8696		8803		8700
9/12/2011		8747		8852		8750
9/13/2011		8888		8987		8893
9/14/2011		9056		9148		9060
9/15/2011		9180		9268		9186
9/16/2011		9175		9265		9179
9/17/2011		9175		9265		9179
9/18/2011		9175		9265		9179
9/19/2011		9028		9140		9034
9/20/2011		8893		9021		8898
9/21/2011		8564		8711		8567
9/22/2011		8255		8393		8260
9/23/2011		8379		8499		8382
9/24/2011		8379		8499		8382
9/25/2011		8379		8499		8382
9/26/2011		8560		8665		8564
9/27/2011		8722		8813		8728
9/28/2011		8406		8520		8410
9/29/2011		8530		8608		8537
9/30/2011		8265		8363		8271
10/1/2011		8265		8363		8271
10/2/2011		8265		8363		8271
10/3/2011		7871		7975		7875
10/4/2011		8241		8304		8246
10/5/2011		8420		8478		8425
10/6/2011		8642		8694		8649
10/7/2011		8480		8556		8487
10/8/2011		8480		8556		8487
10/9/2011		8480		8556		8487
10/10/2011		8800		8860		8808
10/11/2011		8820		8865		8829
10/12/2011		8962		8993		8971
10/13/2011		8948		8999		8956
10/14/2011		9110		9165		9120
10/15/2011		9110		9165		9120
10/16/2011		9110		9165		9120
10/17/2011		8831		8899		8839
10/18/2011		9090		9130		9099
10/19/2011		8952		8984		8960
10/20/2011		8996		9024		9004
10/21/2011		9208		9224		9215
10/22/2011		9208		9224		9215
10/23/2011		9208		9224		9215
10/24/2011		9491		9492		9500
10/25/2011		9252		9261		9261
10/26/2011		9383		9375		9394
10/27/2011		9831		9780		9841
10/28/2011		9787		9755		9798
10/29/2011		9787		9755		9798
10/30/2011		9787		9755		9798
10/31/2011		9521		9512		9529

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(08/01/11)
Rydex S&P MidCap 400 Equal Weight ETF	-4.81%
S&P MidCap 400 Equal Weight Total Return Index	-4.71%
S&P MidCap 400 Total Return Index	-4.88%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

14

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
HNI CORP.		0.32	%
AMERIGROUP CORP.		0.31	%
TIBCO SOFTWARE, INC.		0.31	%
UNITED RENTALS, INC.		0.31	%
AEROPOSTALE, INC.		0.30	%
GREENHILL & CO., INC.		0.30	%
INTERNATIONAL BANCSHARES CORP.		0.30	%
MDC HOLDINGS, INC.		0.30	%
NEUSTAR, INC. — CLASS A		0.30	%
RYLAND GROUP, INC.		0.30	%

Sector Allocations*

Financials	19.20
Industrials	17.40
Consumer Discretionary	16.50
Information Technology	16.30
Health Care	9.10
Materials	7.00
Energy	5.80
Utilities	5.20
Consumer Staples	2.90
Telecommunication Services	0.50
Other	0.10

*  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 15

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex S&P SmallCap 600 Equal Weight ETF returned -5.30% for the partial-year period ended October 31, 2011, compared with the benchmark S&P SmallCap 600 Equal Weight Total Return Index* (-5.19%). The ETF was launched August 1, 2011. The Utilities sector was the only sector contributing to return for the period. The sectors detracting the most from performance were Consumer Discretionary and Health Care.

The S&P SmallCap 600 Equal Weight Total Return Index underperformed the cap-weighted S&P SmallCap 600 Total Return Index (-4.15%) during the partial-year period. Market volatility rose to its highest level of the past 12 months in August, when Congress was debating raising the debt ceiling and the U.S. lost its triple-A debt rating. Volatility remained elevated through the rest of the fiscal year.

*The S&P SmallCap 600 Equal Weight Total Return Index is an unmanaged equal-weighted version of the S&P SmallCap 600 Total Return Index, which is an unmanaged capitalization-weighted index that covers 3% of the U.S. equity market and measures the performance of the small-cap segment of the U.S. equity universe. The S&P SmallCap 600 Equal Weight Total Return Index generally represents small-capitalization companies, has the same constituents as the capitalization-weighted S&P MidCap 400 Total Return Index, but each company in the equal weight index is allocated a fixed weight, and is rebalanced quarterly. Through equal weighting, the S&P MidCap 400 Equal Weight Total Return Index provides broad diversification. Diversification does not ensure a profit, nor eliminate the risk of investment losses.

Cumulative Fund Performance: August 1, 2011 – October 31, 2011

	Rydex S&P				S&P SmallCap
	SmallCap 600		S&P SmallCap		600 Equal
	Equal Weight		600 Total		Weighted Total
	ETF		Return Index		Return Index
8/1/2011		10000		10000		10000
8/2/2011		9698		9703		9697
8/3/2011		9776		9772		9776
8/4/2011		9256		9262		9256
8/5/2011		9112		9122		9111
8/6/2011		9112		9122		9111
8/7/2011		9112		9122		9111
8/8/2011		8325		8349		8325
8/9/2011		8851		8872		8850
8/10/2011		8362		8434		8361
8/11/2011		8791		8881		8792
8/12/2011		8797		8912		8797
8/13/2011		8797		8912		8797
8/14/2011		8797		8912		8797
8/15/2011		9045		9165		9046
8/16/2011		8878		9005		8878
8/17/2011		8861		8980		8861
8/18/2011		8355		8474		8356
8/19/2011		8221		8341		8221
8/20/2011		8221		8341		8221
8/21/2011		8221		8341		8221
8/22/2011		8224		8348		8225
8/23/2011		8643		8761		8644
8/24/2011		8757		8875		8757
8/25/2011		8516		8648		8516
8/26/2011		8710		8849		8712
8/27/2011		8710		8849		8712
8/28/2011		8710		8849		8712
8/29/2011		9139		9254		9141
8/30/2011		9179		9298		9180
8/31/2011		9159		9291		9161
9/1/2011		8941		9088		8942
9/2/2011		8593		8760		8595
9/3/2011		8593		8760		8595
9/4/2011		8593		8760		8595
9/5/2011		8593		8760		8595
9/6/2011		8580		8742		8581
9/7/2011		8945		9101		8946
9/8/2011		8747		8922		8748
9/9/2011		8492		8650		8495
9/10/2011		8492		8650		8495
9/11/2011		8492		8650		8495
9/12/2011		8566		8715		8568
9/13/2011		8710		8860		8712
9/14/2011		8884		9016		8888
9/15/2011		9005		9136		9008
9/16/2011		9009		9132		9011
9/17/2011		9009		9132		9011
9/18/2011		9009		9132		9011
9/19/2011		8828		8989		8832
9/20/2011		8654		8835		8657
9/21/2011		8312		8509		8316
9/22/2011		8084		8274		8088
9/23/2011		8205		8389		8210
9/24/2011		8205		8389		8210
9/25/2011		8205		8389		8210
9/26/2011		8396		8566		8400
9/27/2011		8587		8758		8593
9/28/2011		8231		8420		8237
9/29/2011		8402		8570		8409
9/30/2011		8174		8335		8179
10/1/2011		8174		8335		8179
10/2/2011		8174		8335		8179
10/3/2011		7725		7913		7730
10/4/2011		8302		8445		8308
10/5/2011		8396		8548		8404
10/6/2011		8590		8756		8598
10/7/2011		8352		8532		8359
10/8/2011		8352		8532		8359
10/9/2011		8352		8532		8359
10/10/2011		8715		8895		8724
10/11/2011		8775		8928		8783
10/12/2011		8949		9073		8957
10/13/2011		8909		9047		8918
10/14/2011		9083		9208		9094
10/15/2011		9083		9208		9094
10/16/2011		9083		9208		9094
10/17/2011		8768		8912		8778
10/18/2011		9047		9150		9056
10/19/2011		8855		8973		8865
10/20/2011		8886		9014		8894
10/21/2011		9090		9221		9100
10/22/2011		9090		9221		9100
10/23/2011		9090		9221		9100
10/24/2011		9399		9524		9409
10/25/2011		9094		9235		9101
10/26/2011		9285		9402		9294
10/27/2011		9808		9885		9818
10/28/2011		9738		9823		9747
10/29/2011		9738		9823		9747
10/30/2011		9738		9823		9747
10/31/2011		9469		9585		9481

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(08/01/11)
Rydex S&P SmallCap 600 Equal Weight ETF	-5.30%
S&P SmallCap 600 Equal Weight Total Return Index	-5.19%
S&P SmallCap 600 Total Return Index	-4.15%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

16

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
MULTIMEDIA GAMES HOLDING CO.		0.24	%
QUESTCOR PHARMACEUTICALS, INC.		0.24	%
LIZ CLAIBORNE, INC.		0.23	%
ON ASSIGNMENT, INC.		0.23	%
STAMPS.COM, INC.		0.23	%
TEKELEC		0.23	%
HEALTHSPRING, INC.		0.22	%
ALIGN TECHNOLOGY, INC.		0.21	%
PINNACLE FINANCIAL PARTNERS, INC.		0.21	%
SYNAPTICS, INC.		0.21	%

Sector Allocations*

Information Technology	21.80
Consumer Discretionary	18.30
Financials	17.50
Industrials	15.10
Health Care	11.00
Materials	5.40
Consumer Staples	3.70
Energy	3.60
Utilities	2.50
Telecommunication Services	1.10

*  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 17

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex Russell MidCap^® Equal Weight ETF (EWRM) returned 3.80% for the partial-year period ended October 31, 2011, compared with the benchmark Russell MidCap^® Equal Weight Total Return Index* (4.12%). The cap-weighted Russell MidCap^® Total Return Index returned 1.67%. The ETF was launched December 3, 2010. During the period, EWRM achieved over 99% correlation to its benchmark on a daily basis. The Consumer Staples and Utilities sectors contributed most to return for the period. The sectors detracting the most from performance were Information Technology and Telecommunication Services.

After strong performance for the first half of the fiscal year, the U.S. and European debt crises weighed down equity markets. Market volatility rose to its highest level of the period in August, when Congress was debating raising the debt ceiling and the U.S. lost its triple-A debt rating. Volatility remained elevated through the rest of the fiscal year. The Fund’s equal weighting methodology allowed it to purchase stocks that had underperformed and sell stocks that had outperformed between rebalance dates.

*The Russell MidCap^® Equal Weight Total Return Index is an unmanaged equal-weighted version of the Russell MidCap^® Total Return Index, which is an unmanaged capitalization-weighted index representing the U.S. mid-cap market. The Russell MidCap^® Equal Weight Total Return Index offers sector equal weight exposure by equally weighting the nine sectors within the Index and then equally weighting the securities within each sector, providing broad diversification. Diversification does not ensure a profit, nor eliminate the risk of investment losses.

Cumulative Fund Performance: December 3, 2010 – October 31, 2011

					Russell MidCap
	Rydex Russell		Russell Midcap		Equal Weight
	MidCap Equal		Total Return		Total Return
	Weight ETF		Index		Index
12/3/2010		10000		10000		10000
12/4/2010		10000		10000		10000
12/5/2010		10000		10000		10000
12/6/2010		10000		9998		9999
12/7/2010		9997		9998		9998
12/8/2010		9990		10002		9990
12/9/2010		10030		10033		10029
12/10/2010		10106		10105		10106
12/11/2010		10106		10105		10106
12/12/2010		10106		10105		10106
12/13/2010		10086		10086		10088
12/14/2010		10093		10083		10094
12/15/2010		10036		10024		10038
12/16/2010		10129		10112		10132
12/17/2010		10173		10155		10174
12/18/2010		10173		10155		10174
12/19/2010		10173		10155		10174
12/20/2010		10199		10189		10204
12/21/2010		10282		10270		10285
12/22/2010		10312		10292		10316
12/23/2010		10289		10265		10293
12/24/2010		10289		10265		10293
12/25/2010		10289		10265		10293
12/26/2010		10289		10265		10293
12/27/2010		10285		10271		10290
12/28/2010		10275		10261		10279
12/29/2010		10315		10291		10318
12/30/2010		10318		10288		10322
12/31/2010		10289		10263		10291
1/1/2011		10289		10263		10291
1/2/2011		10289		10263		10291
1/3/2011		10405		10390		10409
1/4/2011		10322		10306		10328
1/5/2011		10381		10365		10386
1/6/2011		10368		10341		10374
1/7/2011		10358		10326		10364
1/8/2011		10358		10326		10364
1/9/2011		10358		10326		10364
1/10/2011		10381		10343		10388
1/11/2011		10434		10388		10441
1/12/2011		10524		10477		10530
1/13/2011		10517		10469		10523
1/14/2011		10574		10535		10579
1/15/2011		10574		10535		10579
1/16/2011		10574		10535		10579
1/17/2011		10574		10535		10579
1/18/2011		10630		10586		10638
1/19/2011		10468		10422		10474
1/20/2011		10411		10361		10418
1/21/2011		10401		10360		10408
1/22/2011		10401		10360		10408
1/23/2011		10401		10360		10408
1/24/2011		10484		10438		10492
1/25/2011		10478		10431		10485
1/26/2011		10584		10524		10590
1/27/2011		10623		10582		10632
1/28/2011		10434		10385		10443
1/29/2011		10434		10385		10443
1/30/2011		10434		10385		10443
1/31/2011		10531		10481		10539
2/1/2011		10683		10634		10693
2/2/2011		10663		10606		10672
2/3/2011		10713		10651		10722
2/4/2011		10759		10707		10770
2/5/2011		10759		10707		10770
2/6/2011		10759		10707		10770
2/7/2011		10832		10781		10842
2/8/2011		10875		10826		10885
2/9/2011		10832		10793		10844
2/10/2011		10882		10844		10892
2/11/2011		10958		10934		10969
2/12/2011		10958		10934		10969
2/13/2011		10958		10934		10969
2/14/2011		11014		10974		11026
2/15/2011		10961		10921		10974
2/16/2011		11067		11006		11079
2/17/2011		11134		11052		11147
2/18/2011		11120		11054		11135
2/19/2011		11120		11054		11135
2/20/2011		11120		11054		11135
2/21/2011		11120		11054		11135
2/22/2011		10855		10769		10868
2/23/2011		10743		10645		10755
2/24/2011		10746		10656		10758
2/25/2011		10951		10844		10965
2/26/2011		10951		10844		10965
2/27/2011		10951		10844		10965
2/28/2011		10981		10880		10995
3/1/2011		10782		10681		10796
3/2/2011		10835		10721		10848
3/3/2011		11031		10926		11045
3/4/2011		10968		10855		10983
3/5/2011		10968		10855		10983
3/6/2011		10968		10855		10983
3/7/2011		10842		10737		10857
3/8/2011		10935		10840		10950
3/9/2011		10922		10814		10935
3/10/2011		10726		10607		10738
3/11/2011		10819		10702		10832
3/12/2011		10819		10702		10832
3/13/2011		10819		10702		10832
3/14/2011		10769		10642		10783
3/15/2011		10686		10548		10698
3/16/2011		10557		10406		10568
3/17/2011		10653		10510		10664
3/18/2011		10708		10567		10720
3/19/2011		10708		10567		10720
3/20/2011		10708		10567		10720
3/21/2011		10900		10746		10916
3/22/2011		10847		10681		10863
3/23/2011		10870		10706		10887
3/24/2011		10979		10819		10994
3/25/2011		11049		10881		11067
3/26/2011		11049		10881		11067
3/27/2011		11049		10881		11067
3/28/2011		10999		10830		11017
3/29/2011		11099		10928		11118
3/30/2011		11211		11038		11230
3/31/2011		11228		11046		11248
4/1/2011		11304		11124		11324
4/2/2011		11304		11124		11324
4/3/2011		11304		11124		11324
4/4/2011		11308		11125		11326
4/5/2011		11347		11145		11368
4/6/2011		11341		11142		11363
4/7/2011		11308		11109		11327
4/8/2011		11245		11043		11266
4/9/2011		11245		11043		11266
4/10/2011		11245		11043		11266
4/11/2011		11168		10987		11188
4/12/2011		11065		10894		11087
4/13/2011		11105		10934		11126
4/14/2011		11122		10941		11142
4/15/2011		11208		11026		11229
4/16/2011		11208		11026		11229
4/17/2011		11208		11026		11229
4/18/2011		11059		10878		11080
4/19/2011		11122		10939		11143
4/20/2011		11288		11124		11311
4/21/2011		11361		11188		11382
4/22/2011		11361		11188		11382
4/23/2011		11361		11188		11382
4/24/2011		11361		11188		11382
4/25/2011		11351		11173		11372
4/26/2011		11444		11264		11466
4/27/2011		11510		11327		11535
4/28/2011		11527		11355		11551
4/29/2011		11570		11377		11594
4/30/2011		11570		11377		11594
5/1/2011		11570		11377		11594
5/2/2011		11540		11348		11564
5/3/2011		11430		11249		11455
5/4/2011		11334		11161		11358
5/5/2011		11294		11119		11316
5/6/2011		11344		11173		11370
5/7/2011		11344		11173		11370
5/8/2011		11344		11173		11370
5/9/2011		11437		11249		11460
5/10/2011		11560		11372		11585
5/11/2011		11430		11247		11456
5/12/2011		11497		11310		11456
5/13/2011		11407		11209		11432
5/14/2011		11407		11209		11432
5/15/2011		11407		11209		11432
5/16/2011		11324		11134		11349
5/17/2011		11278		11090		11303
5/18/2011		11434		11243		11460
5/19/2011		11460		11271		11486
5/20/2011		11401		11201		11425
5/21/2011		11401		11201		11425
5/22/2011		11401		11201		11425
5/23/2011		11235		11038		11260
5/24/2011		11221		11016		11247
5/25/2011		11288		11077		11312
5/26/2011		11364		11165		11391
5/27/2011		11437		11229		11463
5/28/2011		11437		11229		11463
5/29/2011		11437		11229		11463
5/30/2011		11437		11229		11463
5/31/2011		11537		11329		11566
6/1/2011		11281		11055		11305
6/2/2011		11261		11051		11286
6/3/2011		11122		10918		11144
6/4/2011		11122		10918		11144
6/5/2011		11122		10918		11144
6/6/2011		10956		10762		10977
6/7/2011		10992		10792		11013
6/8/2011		10906		10696		10925
6/9/2011		10982		10766		11003
6/10/2011		10826		10600		10845
6/11/2011		10826		10600		10845
6/12/2011		10826		10600		10845
6/13/2011		10790		10572		10808
6/14/2011		10969		10753		10989
6/15/2011		10790		10569		10809
6/16/2011		10777		10560		10794
6/17/2011		10803		10592		10820
6/18/2011		10803		10592		10820
6/19/2011		10803		10592		10820
6/20/2011		10873		10664		10891
6/21/2011		11065		10859		11088
6/22/2011		11025		10804		11047
6/23/2011		11009		10798		11030
6/24/2011		10899		10684		10921
6/25/2011		10899		10684		10921
6/26/2011		10899		10684		10921
6/27/2011		10956		10751		10978
6/28/2011		11128		10911		11153
6/29/2011		11221		10997		11247
6/30/2011		11314		11093		11340
7/1/2011		11494		11271		11522
7/2/2011		11494		11271		11522
7/3/2011		11494		11271		11522
7/4/2011		11494		11271		11522
7/5/2011		11480		11257		11510
7/6/2011		11514		11280		11542
7/7/2011		11623		11405		11654
7/8/2011		11537		11313		11569
7/9/2011		11537		11313		11569
7/10/2011		11537		11313		11569
7/11/2011		11288		11062		11315
7/12/2011		11244		11016		11273
7/13/2011		11291		11050		11319
7/14/2011		11171		10927		11197
7/15/2011		11271		11008		11301
7/16/2011		11271		11008		11301
7/17/2011		11271		11008		11301
7/18/2011		11125		10871		11151
7/19/2011		11331		11067		11359
7/20/2011		11318		11053		11348
7/21/2011		11441		11174		11471
7/22/2011		11467		11201		11499
7/23/2011		11467		11201		11499
7/24/2011		11467		11201		11499
7/25/2011		11381		11117		11410
7/26/2011		11311		11055		11341
7/27/2011		11035		10775		11063
7/28/2011		10968		10724		10999
7/29/2011		10928		10690		10959
7/30/2011		10928		10690		10959
7/31/2011		10928		10690		10959
8/1/2011		10855		10604		10883
8/2/2011		10533		10279		10561
8/3/2011		10579		10339		10608
8/4/2011		9937		9740		9960
8/5/2011		9828		9639		9852
8/6/2011		9828		9639		9852
8/7/2011		9828		9639		9852
8/8/2011		9046		8874		9066
8/9/2011		9552		9393		9574
8/10/2011		9239		9049		9262
8/11/2011		9698		9504		9721
8/12/2011		9764		9564		9789
8/13/2011		9764		9564		9789
8/14/2011		9764		9564		9789
8/15/2011		10030		9813		10057
8/16/2011		9897		9684		9923
8/17/2011		9867		9652		9891
8/18/2011		9365		9147		9388
8/19/2011		9216		8999		9238
8/20/2011		9216		8999		9238
8/21/2011		9216		8999		9238
8/22/2011		9202		9002		9224
8/23/2011		9548		9343		9574
8/24/2011		9665		9478		9693
8/25/2011		9472		9288		9495
8/26/2011		9688		9499		9715
8/27/2011		9688		9499		9715
8/28/2011		9688		9499		9715
8/29/2011		10047		9845		10077
8/30/2011		10104		9899		10137
8/31/2011		10150		9955		10184
9/1/2011		10004		9807		10034
9/2/2011		9731		9530		9761
9/3/2011		9731		9530		9761
9/4/2011		9731		9530		9761
9/5/2011		9731		9530		9761
9/6/2011		9668		9464		9695
9/7/2011		10001		9799		10032
9/8/2011		9874		9668		9904
9/9/2011		9601		9402		9631
9/10/2011		9601		9402		9631
9/11/2011		9601		9402		9631
9/12/2011		9635		9456		9663
9/13/2011		9781		9591		9810
9/14/2011		9931		9750		9963
9/15/2011		10067		9889		10100
9/16/2011		10079		9911		10113
9/17/2011		10079		9911		10113
9/18/2011		10079		9911		10113
9/19/2011		9962		9796		9995
9/20/2011		9866		9714		9898
9/21/2011		9553		9388		9581
9/22/2011		9197		9060		9221
9/23/2011		9271		9140		9294
9/24/2011		9271		9140		9294
9/25/2011		9271		9140		9294
9/26/2011		9467		9344		9492
9/27/2011		9610		9473		9640
9/28/2011		9321		9203		9346
9/29/2011		9377		9255		9404
9/30/2011		9134		8997		9160
10/1/2011		9134		8997		9160
10/2/2011		9134		8997		9160
10/3/2011		8738		8639		8761
10/4/2011		9018		8910		9042
10/5/2011		9238		9092		9263
10/6/2011		9478		9318		9502
10/7/2011		9338		9188		9365
10/8/2011		9338		9188		9365
10/9/2011		9338		9188		9365
10/10/2011		9661		9516		9687
10/11/2011		9671		9520		9699
10/12/2011		9794		9632		9822
10/13/2011		9804		9627		9833
10/14/2011		9987		9794		10016
10/15/2011		9987		9794		10016
10/16/2011		9987		9794		10016
10/17/2011		9747		9575		9775
10/18/2011		9981		9799		10011
10/19/2011		9831		9660		9860
10/20/2011		9877		9710		9908
10/21/2011		10094		9930		10125
10/22/2011		10094		9930		10125
10/23/2011		10094		9930		10125
10/24/2011		10341		10160		10373
10/25/2011		10091		9922		10120
10/26/2011		10231		10035		10262
10/27/2011		10647		10426		10680
10/28/2011		10671		10425		10705
10/29/2011		10671		10425		10705
10/30/2011		10671		10425		10705
10/31/2011		10381		10167		10412

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(12/03/10)
Rydex Russell MidCap® Equal Weight ETF	3.80%
Russell MidCap® Equal Weight Total Return Index	4.12%
Russell MidCap® Total Return Index	1.67%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

18

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
SMITHFIELD FOODS, INC.		0.41	%
CORN PRODUCTS INTERNATIONAL, INC.		0.39	%
SAFEWAY, INC.		0.38	%
SUPERVALU, INC.		0.38	%
CONSTELLATION BRANDS, INC. — CLASS A		0.37	%
TYSON FOODS, INC. — CLASS A		0.37	%
HERBALIFE LTD.		0.36	%
HORMEL FOODS CORP.		0.36	%
RALCORP HOLDINGS, INC.		0.36	%
BROWN-FORMAN CORP. — CLASS B		0.35	%

Sector Allocations*

Information Technology	13.50
Energy	11.70
Industrials	11.60
Consumer Staples	10.90
Health Care	10.70
Consumer Discretionary	10.50
Financials	10.40
Materials	10.20
Utilities	8.60
Telecommunication Services	1.90

*  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 19

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex Russell 1000^® Equal Weight ETF (EWRI) returned 4.00% for the partial-year period ended October 31, 2011, compared with the benchmark Russell 1000^® Equal Weight Total Return Index* (4.30%). The cap-weighted Russell 1000^® Total Return Index returned 3.73%. The ETF was launched December 3, 2010. During the period, EWRI achieved over 99% correlation to its benchmark on a daily basis. The Consumer Staples and Utilities sectors contributed most to return for the period. The sectors detracting the most from performance were Telecommunication Services and Materials.

After strong performance for the first half of the fiscal year, the U.S. and European debt crises weighed down equity markets. Volatility rose to its highest level of the period in August, when Congress was debating raising the debt ceiling and the U.S. lost its triple-A debt rating. Volatility remained elevated through the rest of the fiscal year. The Fund’s equal weighting methodology allowed it to purchase stocks that had underperformed and sell stocks that had outperformed between rebalance dates.

*The Russell 1000^® Equal Weight Total Return Index is an unmanaged equal-weighted version of the Russell 1000^® Total Return Index, which is an unmanaged capitalization-weighted index representing the U.S. large-cap market. The Russell 1000^® Equal Weight Total Return Index offers sector equal weight exposure by equally weighting the nine sectors within the Index and then equally weighting the securities within each sector, providing broad diversification. Diversification does not ensure a profit, nor eliminate the risk of investment losses.

Cumulative Fund Performance: December 3, 2010 – October 31, 2011

					Russell 1000
	Rydex Russell		Russell 1000		Equal Weight
	1000 Equal		Total Return		Total Return
	Weight ETF		Index		Index
12/3/2010		10000		10000		10000
12/4/2010		10000		10000		10000
12/5/2010		10000		10000		10000
12/6/2010		9997		9990		9997
12/7/2010		9997		9992		9995
12/8/2010		9993		10024		9992
12/9/2010		10030		10061		10029
12/10/2010		10099		10123		10100
12/11/2010		10099		10123		10100
12/12/2010		10099		10123		10100
12/13/2010		10089		10122		10090
12/14/2010		10096		10131		10097
12/15/2010		10040		10079		10040
12/16/2010		10129		10146		10130
12/17/2010		10164		10159		10166
12/18/2010		10164		10159		10166
12/19/2010		10164		10159		10166
12/20/2010		10193		10184		10195
12/21/2010		10266		10249		10269
12/22/2010		10303		10285		10304
12/23/2010		10280		10268		10282
12/24/2010		10280		10268		10282
12/25/2010		10280		10268		10282
12/26/2010		10280		10268		10282
12/27/2010		10276		10273		10280
12/28/2010		10270		10278		10273
12/29/2010		10306		10296		10310
12/30/2010		10309		10283		10312
12/31/2010		10286		10278		10289
1/1/2011		10286		10278		10289
1/2/2011		10286		10278		10289
1/3/2011		10399		10395		10402
1/4/2011		10333		10374		10335
1/5/2011		10389		10427		10392
1/6/2011		10376		10410		10379
1/7/2011		10366		10393		10370
1/8/2011		10366		10393		10370
1/9/2011		10366		10393		10370
1/10/2011		10382		10385		10386
1/11/2011		10436		10426		10438
1/12/2011		10522		10518		10526
1/13/2011		10512		10502		10518
1/14/2011		10572		10577		10575
1/15/2011		10572		10577		10575
1/16/2011		10572		10577		10575
1/17/2011		10572		10577		10575
1/18/2011		10625		10601		10628
1/19/2011		10472		10486		10476
1/20/2011		10422		10464		10428
1/21/2011		10416		10484		10422
1/22/2011		10416		10484		10422
1/23/2011		10416		10484		10422
1/24/2011		10495		10550		10502
1/25/2011		10492		10553		10497
1/26/2011		10588		10607		10594
1/27/2011		10621		10634		10628
1/28/2011		10436		10445		10443
1/29/2011		10436		10445		10443
1/30/2011		10436		10445		10443
1/31/2011		10528		10526		10536
2/1/2011		10688		10700		10695
2/2/2011		10668		10674		10675
2/3/2011		10708		10702		10718
2/4/2011		10754		10733		10762
2/5/2011		10754		10733		10762
2/6/2011		10754		10733		10762
2/7/2011		10820		10801		10829
2/8/2011		10860		10850		10871
2/9/2011		10820		10820		10831
2/10/2011		10864		10834		10874
2/11/2011		10933		10899		10946
2/12/2011		10933		10899		10946
2/13/2011		10933		10899		10946
2/14/2011		10983		10932		10996
2/15/2011		10937		10894		10949
2/16/2011		11033		10967		11047
2/17/2011		11099		11003		11111
2/18/2011		11093		11020		11107
2/19/2011		11093		11020		11107
2/20/2011		11093		11020		11107
2/21/2011		11093		11020		11107
2/22/2011		10840		10787		10851
2/23/2011		10741		10713		10751
2/24/2011		10738		10707		10749
2/25/2011		10923		10835		10937
2/26/2011		10923		10835		10937
2/27/2011		10923		10835		10937
2/28/2011		10963		10892		10976
3/1/2011		10774		10719		10785
3/2/2011		10817		10741		10830
3/3/2011		11010		10928		11025
3/4/2011		10947		10850		10962
3/5/2011		10947		10850		10962
3/6/2011		10947		10850		10962
3/7/2011		10830		10755		10845
3/8/2011		10920		10851		10935
3/9/2011		10907		10836		10920
3/10/2011		10708		10632		10721
3/11/2011		10801		10709		10813
3/12/2011		10801		10709		10813
3/13/2011		10801		10709		10813
3/14/2011		10747		10646		10761
3/15/2011		10658		10531		10669
3/16/2011		10515		10337		10527
3/17/2011		10618		10467		10629
3/18/2011		10669		10513		10680
3/19/2011		10669		10513		10680
3/20/2011		10669		10513		10680
3/21/2011		10852		10674		10865
3/22/2011		10805		10636		10819
3/23/2011		10832		10664		10846
3/24/2011		10935		10766		10951
3/25/2011		10994		10805		11013
3/26/2011		10994		10805		11013
3/27/2011		10994		10805		11013
3/28/2011		10951		10773		10968
3/29/2011		11044		10853		11064
3/30/2011		11147		10933		11166
3/31/2011		11157		10920		11178
4/1/2011		11227		10977		11250
4/2/2011		11227		10977		11250
4/3/2011		11227		10977		11250
4/4/2011		11234		10983		11254
4/5/2011		11263		10985		11286
4/6/2011		11267		11008		11287
4/7/2011		11234		10987		11254
4/8/2011		11174		10942		11196
4/9/2011		11174		10942		11196
4/10/2011		11174		10942		11196
4/11/2011		11107		10907		11129
4/12/2011		11007		10820		11030
4/13/2011		11041		10829		11061
4/14/2011		11054		10830		11076
4/15/2011		11134		10878		11157
4/16/2011		11134		10878		11157
4/17/2011		11134		10878		11157
4/18/2011		10991		10755		11014
4/19/2011		11057		10817		11078
4/20/2011		11217		10968		11241
4/21/2011		11290		11029		11313
4/22/2011		11290		11029		11313
4/23/2011		11290		11029		11313
4/24/2011		11290		11029		11313
4/25/2011		11273		11013		11298
4/26/2011		11370		11112		11394
4/27/2011		11436		11183		11461
4/28/2011		11460		11220		11486
4/29/2011		11500		11248		11527
4/30/2011		11500		11248		11527
5/1/2011		11500		11248		11527
5/2/2011		11473		11227		11499
5/3/2011		11380		11178		11404
5/4/2011		11287		11101		11312
5/5/2011		11234		11009		11260
5/6/2011		11287		11053		11312
5/7/2011		11287		11053		11312
5/8/2011		11287		11053		11312
5/9/2011		11377		11110		11402
5/10/2011		11490		11203		11518
5/11/2011		11363		11084		11391
5/12/2011		11430		11138		11391
5/13/2011		11340		11047		11367
5/14/2011		11340		11047		11367
5/15/2011		11340		11047		11367
5/16/2011		11263		10976		11290
5/17/2011		11227		10967		11253
5/18/2011		11370		11073		11397
5/19/2011		11393		11097		11421
5/20/2011		11330		11016		11358
5/21/2011		11330		11016		11358
5/22/2011		11330		11016		11358
5/23/2011		11174		10880		11201
5/24/2011		11167		10870		11192
5/25/2011		11224		10912		11251
5/26/2011		11293		10963		11321
5/27/2011		11357		11013		11386
5/28/2011		11357		11013		11386
5/29/2011		11357		11013		11386
5/30/2011		11357		11013		11386
5/31/2011		11460		11128		11489
6/1/2011		11204		10876		11232
6/2/2011		11190		10865		11217
6/3/2011		11057		10757		11082
6/4/2011		11057		10757		11082
6/5/2011		11057		10757		11082
6/6/2011		10904		10636		10927
6/7/2011		10934		10632		10956
6/8/2011		10858		10583		10879
6/9/2011		10934		10658		10959
6/10/2011		10778		10506		10800
6/11/2011		10778		10506		10800
6/12/2011		10778		10506		10800
6/13/2011		10751		10510		10771
6/14/2011		10917		10648		10942
6/15/2011		10741		10465		10761
6/16/2011		10731		10479		10752
6/17/2011		10758		10507		10779
6/18/2011		10758		10507		10779
6/19/2011		10758		10507		10779
6/20/2011		10828		10566		10852
6/21/2011		11008		10716		11033
6/22/2011		10961		10650		10986
6/23/2011		10938		10624		10962
6/24/2011		10832		10501		10854
6/25/2011		10832		10501		10854
6/26/2011		10832		10501		10854
6/27/2011		10891		10592		10915
6/28/2011		11054		10735		11082
6/29/2011		11148		10827		11176
6/30/2011		11244		10933		11273
7/1/2011		11418		11094		11448
7/2/2011		11418		11094		11448
7/3/2011		11418		11094		11448
7/4/2011		11418		11094		11448
7/5/2011		11404		11085		11436
7/6/2011		11434		11103		11465
7/7/2011		11544		11219		11577
7/8/2011		11461		11143		11495
7/9/2011		11461		11143		11495
7/10/2011		11461		11143		11495
7/11/2011		11221		10933		11250
7/12/2011		11177		10884		11208
7/13/2011		11221		10921		11251
7/14/2011		11107		10841		11137
7/15/2011		11201		10906		11232
7/16/2011		11201		10906		11232
7/17/2011		11201		10906		11232
7/18/2011		11061		10810		11092
7/19/2011		11261		10989		11291
7/20/2011		11247		10983		11280
7/21/2011		11374		11127		11408
7/22/2011		11398		11142		11430
7/23/2011		11398		11142		11430
7/24/2011		11398		11142		11430
7/25/2011		11311		11074		11344
7/26/2011		11247		11028		11282
7/27/2011		10987		10795		11017
7/28/2011		10927		10760		10959
7/29/2011		10881		10696		10913
7/30/2011		10881		10696		10913
7/31/2011		10881		10696		10913
8/1/2011		10814		10651		10845
8/2/2011		10504		10371		10531
8/3/2011		10550		10428		10578
8/4/2011		9937		9908		9962
8/5/2011		9853		9881		9877
8/6/2011		9853		9881		9877
8/7/2011		9853		9881		9877
8/8/2011		9103		9203		9119
8/9/2011		9586		9659		9608
8/10/2011		9263		9252		9280
8/11/2011		9713		9688		9736
8/12/2011		9776		9741		9800
8/13/2011		9776		9741		9800
8/14/2011		9776		9741		9800
8/15/2011		10030		9960		10055
8/16/2011		9907		9858		9930
8/17/2011		9883		9862		9908
8/18/2011		9400		9409		9419
8/19/2011		9253		9263		9274
8/20/2011		9253		9263		9274
8/21/2011		9253		9263		9274
8/22/2011		9243		9263		9263
8/23/2011		9580		9585		9603
8/24/2011		9700		9713		9724
8/25/2011		9510		9554		9533
8/26/2011		9710		9713		9736
8/27/2011		9710		9713		9736
8/28/2011		9710		9713		9736
8/29/2011		10050		10002		10079
8/30/2011		10103		10031		10132
8/31/2011		10150		10080		10182
9/1/2011		10013		9956		10042
9/2/2011		9746		9700		9774
9/3/2011		9746		9700		9774
9/4/2011		9746		9700		9774
9/5/2011		9746		9700		9774
9/6/2011		9680		9630		9707
9/7/2011		10000		9918		10030
9/8/2011		9883		9810		9911
9/9/2011		9613		9548		9640
9/10/2011		9613		9548		9640
9/11/2011		9613		9548		9640
9/12/2011		9650		9612		9677
9/13/2011		9783		9711		9813
9/14/2011		9930		9846		9961
9/15/2011		10073		10012		10105
9/16/2011		10094		10063		10126
9/17/2011		10094		10063		10126
9/18/2011		10094		10063		10126
9/19/2011		9980		9963		10010
9/20/2011		9904		9934		9933
9/21/2011		9594		9640		9619
9/22/2011		9247		9323		9266
9/23/2011		9310		9386		9332
9/24/2011		9310		9386		9332
9/25/2011		9310		9386		9332
9/26/2011		9507		9598		9530
9/27/2011		9644		9707		9669
9/28/2011		9367		9497		9391
9/29/2011		9423		9569		9449
9/30/2011		9183		9328		9206
10/1/2011		9183		9328		9206
10/2/2011		9183		9328		9206
10/3/2011		8815		9044		8837
10/4/2011		9080		9261		9102
10/5/2011		9297		9436		9319
10/6/2011		9525		9619		9548
10/7/2011		9397		9532		9421
10/8/2011		9397		9532		9421
10/9/2011		9397		9532		9421
10/10/2011		9715		9859		9740
10/11/2011		9725		9864		9749
10/12/2011		9839		9966		9866
10/13/2011		9843		9942		9868
10/14/2011		10023		10117		10050
10/15/2011		10023		10117		10050
10/16/2011		10023		10117		10050
10/17/2011		9792		9915		9817
10/18/2011		10023		10121		10049
10/19/2011		9879		9990		9905
10/20/2011		9926		10035		9952
10/21/2011		10144		10227		10171
10/22/2011		10144		10227		10171
10/23/2011		10144		10227		10171
10/24/2011		10365		10377		10393
10/25/2011		10120		10165		10149
10/26/2011		10258		10274		10286
10/27/2011		10666		10631		10697
10/28/2011		10689		10635		10720
10/29/2011		10689		10635		10720
10/30/2011		10689		10635		10720
10/31/2011		10401		10373		10430

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(12/03/10)
Rydex Russell 1000® Equal Weight ETF	4.00%
Russell 1000® Equal Weight Total Return Index	4.30%
Russell 1000® Total Return Index	3.73%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

20

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
SMITHFIELD FOODS, INC.		0.27	%
CORN PRODUCTS INTERNATIONAL, INC.		0.26	%
ARCHER-DANIELS-MIDLAND CO.		0.25	%
SAFEWAY, INC.		0.25	%
SUPERVALU, INC.		0.25	%
TYSON FOODS, INC. — CLASS A		0.25	%
CONSTELLATION BRANDS, INC. — CLASS A		0.24	%
HERBALIFE LTD.		0.24	%
PHILIP MORRIS INTERNATIONAL, INC.		0.24	%
HORMEL FOODS CORP.		0.23	%

Sector Allocations*

Information Technology	13.30
Energy	11.80
Industrials	11.70
Consumer Staples	11.00
Health Care	10.70
Consumer Discretionary	10.40
Financials	10.40
Materials	10.10
Utilities	8.40
Telecommunication Services	2.20

*  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 21

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex Russell 2000^® Equal Weight ETF (EWRS) returned -1.78% for the partial-year period ended October 31, 2011, compared with the benchmark Russell 2000^® Equal Weight Total Return Index* (-1.29%). The cap-weighted Russell 2000^® Total Return Index returned -0.88%. The ETF was launched December 3, 2010. During the period, EWRS achieved over 99% correlation to its benchmark on a daily basis. The Utilities and Health Care sectors contributed most to return for the period. The sectors detracting the most from performance were Consumer Discretionary and Industrials.

After strong performance for the first half of the fiscal year, the U.S. and European debt crises weighed down equity markets. Market volatility rose to its highest level of the period in August, when Congress was debating raising the debt ceiling and the U.S. lost its triple-A debt rating. Volatility remained elevated through the rest of the fiscal year. The Fund’s equal weighting methodology allowed it to purchase stocks that had underperformed and sell stocks that had outperformed between rebalance dates.

*The Russell 2000^® Equal Weight Total Return Index is an unmanaged equal-weighted version of the Russell 2000^® Total Return Index, which is an unmanaged capitalization-weighted index representing the U.S. small-cap market. The Russell 2000^® Equal Weight Total Return Index offers sector equal weight exposure by equally weighting the nine sectors within the Index and then equally weighting the securities within each sector, providing broad diversification. Diversification does not ensure a profit, nor eliminate the risk of investment losses.

Cumulative Fund Performance: December 3, 2010 – October 31, 2011

					Russell 2000
	Rydex Russell		Russell 2000		Equal Weight
	2000 Equal		Total Return		Total Return
	Weight ETF		Index		Index
12/3/2010		10000		10000		10000
12/4/2010		10000		10000		10000
12/5/2010		10000		10000		10000
12/6/2010		10076		10059		10075
12/7/2010		10129		10107		10127
12/8/2010		10129		10102		10127
12/9/2010		10195		10150		10194
12/10/2010		10321		10272		10322
12/11/2010		10321		10272		10322
12/12/2010		10321		10272		10322
12/13/2010		10272		10211		10271
12/14/2010		10278		10206		10278
12/15/2010		10238		10163		10239
12/16/2010		10358		10272		10359
12/17/2010		10388		10312		10389
12/18/2010		10388		10312		10389
12/19/2010		10388		10312		10389
12/20/2010		10441		10348		10442
12/21/2010		10547		10457		10549
12/22/2010		10554		10459		10549
12/23/2010		10544		10438		10547
12/24/2010		10544		10438		10547
12/25/2010		10544		10438		10547
12/26/2010		10544		10438		10547
12/27/2010		10594		10483		10600
12/28/2010		10554		10445		10557
12/29/2010		10574		10461		10578
12/30/2010		10561		10454		10567
12/31/2010		10491		10374		10500
1/1/2011		10491		10374		10500
1/2/2011		10491		10374		10500
1/3/2011		10687		10571		10696
1/4/2011		10504		10403		10512
1/5/2011		10627		10526		10637
1/6/2011		10574		10478		10582
1/7/2011		10528		10430		10535
1/8/2011		10528		10430		10535
1/9/2011		10528		10430		10535
1/10/2011		10561		10480		10568
1/11/2011		10617		10522		10627
1/12/2011		10720		10611		10730
1/13/2011		10700		10601		10710
1/14/2011		10790		10693		10800
1/15/2011		10790		10693		10800
1/16/2011		10790		10693		10800
1/17/2011		10790		10693		10800
1/18/2011		10766		10693		10777
1/19/2011		10474		10419		10483
1/20/2011		10358		10303		10367
1/21/2011		10295		10238		10303
1/22/2011		10295		10238		10303
1/23/2011		10295		10238		10303
1/24/2011		10395		10319		10402
1/25/2011		10398		10328		10408
1/26/2011		10600		10511		10611
1/27/2011		10600		10534		10612
1/28/2011		10312		10270		10321
1/29/2011		10312		10270		10321
1/30/2011		10312		10270		10321
1/31/2011		10392		10347		10401
2/1/2011		10644		10581		10655
2/2/2011		10607		10545		10618
2/3/2011		10627		10579		10639
2/4/2011		10614		10598		10625
2/5/2011		10614		10598		10625
2/6/2011		10614		10598		10625
2/7/2011		10720		10707		10733
2/8/2011		10786		10779		10801
2/9/2011		10720		10721		10732
2/10/2011		10750		10767		10763
2/11/2011		10866		10892		10882
2/12/2011		10866		10892		10882
2/13/2011		10866		10892		10882
2/14/2011		10912		10943		10929
2/15/2011		10849		10865		10863
2/16/2011		10945		10976		10963
2/17/2011		11035		11051		11051
2/18/2011		11035		11062		11053
2/19/2011		11035		11062		11053
2/20/2011		11035		11062		11053
2/21/2011		11035		11062		11053
2/22/2011		10760		10773		10773
2/23/2011		10604		10597		10617
2/24/2011		10677		10658		10692
2/25/2011		10926		10895		10942
2/26/2011		10926		10895		10942
2/27/2011		10926		10895		10942
2/28/2011		10952		10915		10969
3/1/2011		10736		10698		10753
3/2/2011		10786		10749		10801
3/3/2011		10995		10988		11016
3/4/2011		10952		10937		10970
3/5/2011		10952		10937		10970
3/6/2011		10952		10937		10970
3/7/2011		10776		10768		10793
3/8/2011		10919		10933		10939
3/9/2011		10892		10888		10910
3/10/2011		10577		10601		10590
3/11/2011		10614		10647		10627
3/12/2011		10614		10647		10627
3/13/2011		10614		10647		10627
3/14/2011		10547		10585		10562
3/15/2011		10445		10495		10458
3/16/2011		10332		10372		10345
3/17/2011		10405		10420		10418
3/18/2011		10553		10542		10567
3/19/2011		10553		10542		10567
3/20/2011		10553		10542		10567
3/21/2011		10798		10787		10815
3/22/2011		10778		10729		10794
3/23/2011		10821		10764		10839
3/24/2011		10881		10842		10900
3/25/2011		10961		10931		10978
3/26/2011		10961		10931		10978
3/27/2011		10961		10931		10978
3/28/2011		10927		10904		10947
3/29/2011		11040		11010		11060
3/30/2011		11169		11155		11190
3/31/2011		11216		11197		11236
4/1/2011		11259		11240		11283
4/2/2011		11259		11240		11283
4/3/2011		11259		11240		11283
4/4/2011		11292		11275		11317
4/5/2011		11335		11328		11359
4/6/2011		11355		11340		11382
4/7/2011		11299		11278		11323
4/8/2011		11186		11165		11210
4/9/2011		11186		11165		11210
4/10/2011		11186		11165		11210
4/11/2011		11083		11072		11108
4/12/2011		10911		10918		10935
4/13/2011		10914		10941		10939
4/14/2011		10984		10988		11007
4/15/2011		11090		11088		11114
4/16/2011		11090		11088		11114
4/17/2011		11090		11088		11114
4/18/2011		10917		10909		10942
4/19/2011		10920		10929		10944
4/20/2011		11120		11148		11147
4/21/2011		11179		11230		11208
4/22/2011		11179		11230		11208
4/23/2011		11179		11230		11208
4/24/2011		11179		11230		11208
4/25/2011		11166		11211		11192
4/26/2011		11299		11328		11326
4/27/2011		11345		11400		11375
4/28/2011		11402		11443		11431
4/29/2011		11455		11493		11484
4/30/2011		11455		11493		11484
5/1/2011		11455		11493		11484
5/2/2011		11292		11353		11321
5/3/2011		11143		11207		11171
5/4/2011		10990		11063		11017
5/5/2011		10927		11016		10954
5/6/2011		10984		11070		11011
5/7/2011		10984		11070		11011
5/8/2011		10984		11070		11011
5/9/2011		11113		11196		11141
5/10/2011		11312		11371		11340
5/11/2011		11103		11169		11132
5/12/2011		11216		11261		11132
5/13/2011		11047		11104		11074
5/14/2011		11047		11104		11074
5/15/2011		11047		11104		11074
5/16/2011		10871		10935		10897
5/17/2011		10847		10902		10873
5/18/2011		11013		11076		11040
5/19/2011		11023		11100		11050
5/20/2011		10960		11019		10988
5/21/2011		10960		11019		10988
5/22/2011		10960		11019		10988
5/23/2011		10784		10819		10810
5/24/2011		10738		10770		10763
5/25/2011		10877		10911		10907
5/26/2011		11013		11044		11044
5/27/2011		11093		11117		11125
5/28/2011		11093		11117		11125
5/29/2011		11093		11117		11125
5/30/2011		11093		11117		11125
5/31/2011		11276		11278		11309
6/1/2011		10920		10920		10949
6/2/2011		10911		10911		10940
6/3/2011		10738		10744		10765
6/4/2011		10738		10744		10765
6/5/2011		10738		10744		10765
6/6/2011		10582		10574		10608
6/7/2011		10605		10604		10631
6/8/2011		10489		10478		10512
6/9/2011		10549		10540		10573
6/10/2011		10383		10366		10404
6/11/2011		10383		10366		10404
6/12/2011		10383		10366		10404
6/13/2011		10350		10337		10371
6/14/2011		10565		10561		10592
6/15/2011		10383		10370		10405
6/16/2011		10456		10398		10481
6/17/2011		10448		10401		10472
6/18/2011		10448		10401		10472
6/19/2011		10448		10401		10472
6/20/2011		10524		10491		10546
6/21/2011		10753		10730		10779
6/22/2011		10651		10644		10677
6/23/2011		10700		10682		10726
6/24/2011		10674		10617		10700
6/25/2011		10674		10617		10700
6/26/2011		10674		10617		10700
6/27/2011		10763		10716		10798
6/28/2011		10919		10882		10959
6/29/2011		10933		10917		10972
6/30/2011		11039		11018		11080
7/1/2011		11189		11186		11230
7/2/2011		11189		11186		11230
7/3/2011		11189		11186		11230
7/4/2011		11189		11186		11230
7/5/2011		11205		11207		11249
7/6/2011		11255		11255		11298
7/7/2011		11438		11428		11485
7/8/2011		11365		11354		11409
7/9/2011		11365		11354		11409
7/10/2011		11365		11354		11409
7/11/2011		11125		11101		11167
7/12/2011		11089		11051		11132
7/13/2011		11215		11148		11261
7/14/2011		11029		10967		11070
7/15/2011		11125		11039		11169
7/16/2011		11125		11039		11169
7/17/2011		11125		11039		11169
7/18/2011		10949		10869		10989
7/19/2011		11198		11118		11244
7/20/2011		11169		11087		11214
7/21/2011		11302		11206		11349
7/22/2011		11278		11214		11324
7/23/2011		11278		11214		11324
7/24/2011		11278		11214		11324
7/25/2011		11132		11075		11176
7/26/2011		11036		10988		11078
7/27/2011		10716		10665		10759
7/28/2011		10730		10650		10773
7/29/2011		10690		10619		10733
7/30/2011		10690		10619		10733
7/31/2011		10690		10619		10733
8/1/2011		10663		10564		10707
8/2/2011		10324		10220		10364
8/3/2011		10407		10297		10449
8/4/2011		9775		9685		9812
8/5/2011		9612		9523		9650
8/6/2011		9612		9523		9650
8/7/2011		9612		9523		9650
8/8/2011		8765		8675		8797
8/9/2011		9363		9278		9400
8/10/2011		8848		8799		8882
8/11/2011		9297		9277		9332
8/12/2011		9283		9299		9319
8/13/2011		9283		9299		9319
8/14/2011		9283		9299		9319
8/15/2011		9573		9581		9610
8/16/2011		9363		9396		9400
8/17/2011		9373		9387		9410
8/18/2011		8851		8834		8885
8/19/2011		8721		8690		8752
8/20/2011		8721		8690		8752
8/21/2011		8721		8690		8752
8/22/2011		8688		8685		8721
8/23/2011		9107		9109		9144
8/24/2011		9227		9236		9265
8/25/2011		8967		8994		9001
8/26/2011		9177		9226		9213
8/27/2011		9177		9226		9213
8/28/2011		9177		9226		9213
8/29/2011		9626		9665		9667
8/30/2011		9666		9712		9709
8/31/2011		9636		9695		9679
9/1/2011		9396		9457		9435
9/2/2011		9067		9116		9103
9/3/2011		9067		9116		9103
9/4/2011		9067		9116		9103
9/5/2011		9067		9116		9103
9/6/2011		9034		9084		9068
9/7/2011		9403		9466		9443
9/8/2011		9200		9272		9238
9/9/2011		8931		8993		8965
9/10/2011		8931		8993		8965
9/11/2011		8931		8993		8965
9/12/2011		9001		9070		9036
9/13/2011		9164		9233		9202
9/14/2011		9323		9399		9365
9/15/2011		9433		9526		9476
9/16/2011		9441		9537		9483
9/17/2011		9441		9537		9483
9/18/2011		9441		9537		9483
9/19/2011		9271		9376		9311
9/20/2011		9105		9212		9144
9/21/2011		8796		8875		8830
9/22/2011		8513		8593		8542
9/23/2011		8630		8713		8660
9/24/2011		8630		8713		8660
9/25/2011		8630		8713		8660
9/26/2011		8796		8890		8829
9/27/2011		8992		9085		9028
9/28/2011		8613		8712		8645
9/29/2011		8759		8858		8794
9/30/2011		8537		8609		8569
10/1/2011		8537		8609		8569
10/2/2011		8537		8609		8569
10/3/2011		8027		8145		8061
10/4/2011		8580		8669		8617
10/5/2011		8690		8796		8727
10/6/2011		8880		9007		8917
10/7/2011		8627		8772		8662
10/8/2011		8627		8772		8662
10/9/2011		8627		8772		8662
10/10/2011		9023		9156		9060
10/11/2011		9096		9211		9133
10/12/2011		9273		9364		9313
10/13/2011		9256		9344		9296
10/14/2011		9463		9526		9503
10/15/2011		9463		9526		9503
10/16/2011		9463		9526		9503
10/17/2011		9130		9207		9169
10/18/2011		9433		9484		9474
10/19/2011		9206		9285		9247
10/20/2011		9220		9312		9258
10/21/2011		9420		9526		9462
10/22/2011		9420		9526		9462
10/23/2011		9420		9526		9462
10/24/2011		9723		9842		9767
10/25/2011		9403		9543		9444
10/26/2011		9633		9724		9678
10/27/2011		10186		10237		10237
10/28/2011		10126		10178		10175
10/29/2011		10126		10178		10175
10/30/2011		10126		10178		10175
10/31/2011		9823		9912		9871

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(12/03/10)
Rydex Russell 2000® Equal Weight ETF	-1.78%
Russell 2000® Equal Weight Total Return Index	-1.29%
Russell 2000® Total Return Index	-0.88%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

22

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
SSGA GOVERNMENT MONEY MARKET FUND		0.44	%
PILGRIM’S PRIDE CORP.		0.27	%
USANA HEALTH SCIENCES, INC.		0.26	%
B&G FOODS, INC.		0.25	%
BOSTON BEER CO., INC. — CLASS A		0.25	%
GNC HOLDINGS, INC. — CLASS A		0.24	%
OMEGA PROTEIN CORP.		0.24	%
PREMIERE GLOBAL SERVICES, INC.		0.24	%
SEABOARD CORP.		0.24	%
NATURE’S SUNSHINE PRODUCTS, INC.		0.23	%

Sector Allocations*

Industrials	14.70
Information Technology	13.00
Energy	11.80
Consumer Discretionary	11.20
Financials	11.10
Health Care	10.70
Consumer Staples	10.10
Materials	7.20
Utilities	6.70
Telecommunication Services	3.50
Investment Management/Advisory Services	0.00

*  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 23

RYDEX MSCI EAFE EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex MSCI EAFE Equal Weight ETF (EWEF) returned -6.33% for the partial-year period ended October 31, 2011, compared with the benchmark MSCI EAFE Equal Weighted Gross Index* (-5.40%). The cap-weighted MSCI EAFE Total Return Index returned -4.38%. The ETF was launched December 3, 2010. During the period, EWEF achieved over 97% correlation to its benchmark on a daily basis.

Major differences between the EAFE and the MSCI ACWI (All Country World Index) are that the ACWI includes the U.S. and Canada, as well as emerging markets, whereas the EAFE excludes them.

The period was characterized by fears of a looming recession in Europe, if not the globe, and the spread of Europe’s sovereign credit crisis, raising the question of the future of the eurozone. The situation has been compounded by continuing deleveraging in the developed world and tightening in emerging markets in response to inflation threats. Many observers believe the stronger action by institutions like the European Central Bank, under a new leader, will be needed to help weaker countries restructure and reform, while preserving the monetary union. Market turmoil is likely to continue until policymakers find a resolution to Europe’s fiscal crisis and investors see improvement in the global economy.

*The MSCI EAFE (Europe, Australasia, Far East) Equal Weighted Gross Index equally weights the issuers in the MSCI EAFE Total Return Index (the MSCI EAFE Cap-Weighted Index, which is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada). The MSCI EAFE Equal Weighted Total Return Index provides an alternative to market-cap indices, as each issuer has the same weight on the rebalancing date.

Cumulative Fund Performance: December 3, 2010 – October 31, 2011

	Rydex MSCI		MSCI EAFE		MSCI EAFE
	EAFE Equal		Total Return		Equal Weighted
	Weight ETF		Index		Gross Index
12/3/2010		10000		10000		10000
12/4/2010		10000		10000		10000
12/5/2010		10000		10000		10000
12/6/2010		9988		9964		9989
12/7/2010		10047		10043		10042
12/8/2010		9978		9974		9975
12/9/2010		10002		10015		10002
12/10/2010		10015		10036		10007
12/11/2010		10015		10036		10007
12/12/2010		10015		10036		10007
12/13/2010		10162		10179		10157
12/14/2010		10197		10215		10194
12/15/2010		10123		10131		10117
12/16/2010		10069		10076		10062
12/17/2010		10048		10027		10041
12/18/2010		10048		10027		10041
12/19/2010		10048		10027		10041
12/20/2010		10062		10046		10052
12/21/2010		10176		10165		10163
12/22/2010		10181		10167		10172
12/23/2010		10188		10176		10182
12/24/2010		10188		10186		10181
12/25/2010		10188		10186		10181
12/26/2010		10188		10186		10181
12/27/2010		10176		10158		10171
12/28/2010		10217		10187		10215
12/29/2010		10281		10230		10278
12/30/2010		10264		10204		10262
12/31/2010		10328		10257		10323
1/1/2011		10328		10257		10323
1/2/2011		10328		10257		10323
1/3/2011		10345		10268		10338
1/4/2011		10397		10323		10393
1/5/2011		10259		10192		10253
1/6/2011		10286		10198		10284
1/7/2011		10276		10173		10280
1/8/2011		10276		10173		10280
1/9/2011		10276		10173		10280
1/10/2011		10205		10093		10210
1/11/2011		10249		10147		10247
1/12/2011		10380		10322		10378
1/13/2011		10518		10469		10516
1/14/2011		10486		10448		10482
1/15/2011		10486		10448		10482
1/16/2011		10486		10448		10482
1/17/2011		10486		10418		10458
1/18/2011		10569		10549		10561
1/19/2011		10606		10552		10610
1/20/2011		10390		10347		10397
1/21/2011		10439		10448		10441
1/22/2011		10439		10448		10441
1/23/2011		10439		10448		10441
1/24/2011		10513		10544		10515
1/25/2011		10530		10529		10536
1/26/2011		10579		10590		10579
1/27/2011		10609		10619		10608
1/28/2011		10505		10490		10512
1/29/2011		10505		10490		10512
1/30/2011		10505		10490		10512
1/31/2011		10486		10499		10491
2/1/2011		10646		10678		10645
2/2/2011		10710		10753		10719
2/3/2011		10636		10667		10648
2/4/2011		10665		10670		10678
2/5/2011		10665		10670		10678
2/6/2011		10665		10670		10678
2/7/2011		10725		10731		10731
2/8/2011		10811		10819		10810
2/9/2011		10752		10783		10751
2/10/2011		10653		10689		10646
2/11/2011		10638		10679		10630
2/12/2011		10638		10679		10630
2/13/2011		10638		10679		10630
2/14/2011		10678		10704		10676
2/15/2011		10683		10734		10676
2/16/2011		10727		10781		10723
2/17/2011		10808		10867		10809
2/18/2011		10840		10899		10848
2/19/2011		10840		10899		10848
2/20/2011		10840		10899		10848
2/21/2011		10840		10821		10787
2/22/2011		10670		10731		10679
2/23/2011		10599		10671		10613
2/24/2011		10555		10632		10569
2/25/2011		10670		10736		10684
2/26/2011		10670		10736		10684
2/27/2011		10670		10736		10684
2/28/2011		10781		10846		10791
3/1/2011		10816		10841		10829
3/2/2011		10720		10769		10730
3/3/2011		10757		10816		10762
3/4/2011		10794		10833		10809
3/5/2011		10794		10833		10809
3/6/2011		10794		10833		10809
3/7/2011		10744		10779		10760
3/8/2011		10690		10727		10698
3/9/2011		10722		10732		10734
3/10/2011		10510		10523		10528
3/11/2011		10451		10470		10473
3/12/2011		10451		10470		10473
3/13/2011		10451		10470		10473
3/14/2011		10203		10296		10234
3/15/2011		9715		9918		9732
3/16/2011		9875		9943		9901
3/17/2011		10040		10118		10059
3/18/2011		10119		10193		10138
3/19/2011		10119		10193		10138
3/20/2011		10119		10193		10138
3/21/2011		10247		10355		10264
3/22/2011		10404		10460		10424
3/23/2011		10367		10439		10386
3/24/2011		10456		10547		10475
3/25/2011		10456		10544		10476
3/26/2011		10456		10544		10476
3/27/2011		10456		10544		10476
3/28/2011		10424		10513		10442
3/29/2011		10402		10489		10423
3/30/2011		10527		10603		10545
3/31/2011		10549		10603		10570
4/1/2011		10522		10645		10538
4/2/2011		10522		10645		10538
4/3/2011		10522		10645		10538
4/4/2011		10596		10713		10611
4/5/2011		10525		10672		10537
4/6/2011		10552		10739		10562
4/7/2011		10512		10704		10525
4/8/2011		10648		10849		10663
4/9/2011		10648		10849		10663
4/10/2011		10648		10849		10663
4/11/2011		10633		10851		10651
4/12/2011		10517		10713		10537
4/13/2011		10574		10790		10602
4/14/2011		10567		10755		10593
4/15/2011		10547		10736		10570
4/16/2011		10547		10736		10570
4/17/2011		10547		10736		10570
4/18/2011		10401		10518		10426
4/19/2011		10421		10565		10443
4/20/2011		10653		10845		10666
4/21/2011		10779		10967		10796
4/22/2011		10779		10968		10792
4/23/2011		10779		10968		10792
4/24/2011		10779		10968		10792
4/25/2011		10749		10937		10762
4/26/2011		10786		10991		10800
4/27/2011		10791		11013		10804
4/28/2011		10989		11201		11006
4/29/2011		11021		11236		11042
4/30/2011		11021		11236		11042
5/1/2011		11021		11236		11042
5/2/2011		11109		11316		11132
5/3/2011		11040		11238		11064
5/4/2011		10971		11136		10994
5/5/2011		10865		10993		10890
5/6/2011		10850		11002		10877
5/7/2011		10850		11002		10877
5/8/2011		10850		11002		10877
5/9/2011		10737		10852		10761
5/10/2011		10843		10975		10865
5/11/2011		10838		10970		10863
5/12/2011		10707		10824		10732
5/13/2011		10668		10784		10696
5/14/2011		10668		10784		10696
5/15/2011		10668		10784		10696
5/16/2011		10596		10751		10624
5/17/2011		10480		10626		10509
5/18/2011		10579		10729		10608
5/19/2011		10589		10766		10620
5/20/2011		10540		10700		10572
5/21/2011		10540		10700		10572
5/22/2011		10540		10700		10572
5/23/2011		10308		10449		10340
5/24/2011		10342		10501		10376
5/25/2011		10342		10524		10375
5/26/2011		10436		10599		10470
5/27/2011		10562		10749		10592
5/28/2011		10562		10749		10592
5/29/2011		10562		10749		10592
5/30/2011		10562		10743		10602
5/31/2011		10722		10904		10758
6/1/2011		10717		10876		10751
6/2/2011		10579		10717		10613
6/3/2011		10577		10737		10614
6/4/2011		10577		10737		10614
6/5/2011		10577		10737		10614
6/6/2011		10537		10700		10573
6/7/2011		10577		10743		10613
6/8/2011		10483		10626		10519
6/9/2011		10478		10642		10513
6/10/2011		10352		10477		10391
6/11/2011		10352		10477		10391
6/12/2011		10352		10477		10391
6/13/2011		10342		10486		10379
6/14/2011		10471		10626		10509
6/15/2011		10323		10452		10370
6/16/2011		10135		10280		10183
6/17/2011		10205		10376		10256
6/18/2011		10205		10376		10256
6/19/2011		10205		10376		10256
6/20/2011		10156		10328		10209
6/21/2011		10331		10503		10383
6/22/2011		10395		10536		10449
6/23/2011		10153		10260		10208
6/24/2011		10193		10296		10251
6/25/2011		10193		10296		10251
6/26/2011		10193		10296		10251
6/27/2011		10161		10303		10213
6/28/2011		10245		10401		10302
6/29/2011		10432		10595		10494
6/30/2011		10590		10768		10654
7/1/2011		10635		10821		10700
7/2/2011		10635		10821		10700
7/3/2011		10635		10821		10700
7/4/2011		10635		10890		10793
7/5/2011		10683		10861		10755
7/6/2011		10625		10786		10704
7/7/2011		10666		10837		10736
7/8/2011		10623		10765		10706
7/9/2011		10623		10765		10706
7/10/2011		10623		10765		10706
7/11/2011		10388		10503		10482
7/12/2011		10325		10417		10425
7/13/2011		10494		10592		10589
7/14/2011		10401		10511		10501
7/15/2011		10378		10475		10480
7/16/2011		10378		10475		10480
7/17/2011		10378		10475		10480
7/18/2011		10225		10299		10335
7/19/2011		10338		10432		10439
7/20/2011		10467		10570		10569
7/21/2011		10620		10750		10721
7/22/2011		10716		10828		10825
7/23/2011		10716		10828		10825
7/24/2011		10716		10828		10825
7/25/2011		10635		10759		10743
7/26/2011		10711		10842		10816
7/27/2011		10590		10702		10698
7/28/2011		10489		10625		10596
7/29/2011		10479		10597		10586
7/30/2011		10479		10597		10586
7/31/2011		10479		10597		10586
8/1/2011		10426		10494		10551
8/2/2011		10220		10315		10347
8/3/2011		10051		10144		10171
8/4/2011		9688		9770		9813
8/5/2011		9484		9555		9597
8/6/2011		9484		9555		9597
8/7/2011		9484		9555		9597
8/8/2011		9171		9234		9288
8/9/2011		9204		9290		9310
8/10/2011		9136		9113		9261
8/11/2011		9252		9267		9363
8/12/2011		9400		9468		9503
8/13/2011		9400		9468		9503
8/14/2011		9400		9468		9503
8/15/2011		9587		9648		9686
8/16/2011		9539		9619		9647
8/17/2011		9595		9677		9700
8/18/2011		9234		9268		9357
8/19/2011		9106		9144		9228
8/20/2011		9106		9144		9228
8/21/2011		9106		9144		9228
8/22/2011		9068		9136		9180
8/23/2011		9171		9241		9283
8/24/2011		9206		9296		9309
8/25/2011		9169		9216		9276
8/26/2011		9189		9206		9301
8/27/2011		9189		9206		9301
8/28/2011		9189		9206		9301
8/29/2011		9365		9380		9475
8/30/2011		9441		9438		9550
8/31/2011		9622		9640		9723
9/1/2011		9600		9628		9701
9/2/2011		9400		9416		9507
9/3/2011		9400		9416		9507
9/4/2011		9400		9416		9507
9/5/2011		9400		9043		9168
9/6/2011		8914		8917		9018
9/7/2011		9151		9163		9258
9/8/2011		9201		9205		9305
9/9/2011		8917		8903		9032
9/10/2011		8917		8903		9032
9/11/2011		8917		8903		9032
9/12/2011		8659		8643		8774
9/13/2011		8758		8749		8874
9/14/2011		8786		8788		8894
9/15/2011		9007		9028		9116
9/16/2011		9101		9100		9213
9/17/2011		9101		9100		9213
9/18/2011		9101		9100		9213
9/19/2011		8902		8874		9021
9/20/2011		8965		8991		9074
9/21/2011		8905		8891		9019
9/22/2011		8484		8436		8609
9/23/2011		8499		8481		8619
9/24/2011		8499		8481		8619
9/25/2011		8499		8481		8619
9/26/2011		8466		8499		8575
9/27/2011		8849		8908		8950
9/28/2011		8824		8855		8938
9/29/2011		8884		8907		9000
9/30/2011		8700		8721		8825
10/1/2011		8700		8721		8825
10/2/2011		8700		8721		8825
10/3/2011		8498		8530		8628
10/4/2011		8287		8320		8409
10/5/2011		8409		8490		8515
10/6/2011		8673		8764		8779
10/7/2011		8787		8896		8893
10/8/2011		8787		8896		8893
10/9/2011		8787		8896		8893
10/10/2011		8956		9087		9054
10/11/2011		8994		9110		9096
10/12/2011		9141		9275		9234
10/13/2011		9096		9208		9199
10/14/2011		9144		9297		9237
10/15/2011		9144		9297		9237
10/16/2011		9144		9297		9237
10/17/2011		9141		9269		9250
10/18/2011		9020		9144		9119
10/19/2011		9098		9249		9202
10/20/2011		8923		9069		9028
10/21/2011		9156		9331		9258
10/22/2011		9156		9331		9258
10/23/2011		9156		9331		9258
10/24/2011		9329		9473		9425
10/25/2011		9283		9428		9381
10/26/2011		9245		9389		9342
10/27/2011		9694		9869		9780
10/28/2011		9734		9917		9826
10/29/2011		9734		9917		9826
10/30/2011		9734		9917		9826
10/31/2011		9369		9562		9460

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(12/03/10)
Rydex MSCI EAFE Equal Weight ETF	-6.33%
MSCI EAFE Equal Weighted Gross Index	-5.40%
MSCI EAFE Total Return Index	-4.38%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

24

RYDEX MSCI EAFE EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
ODAKYU ELECTRIC RAILWAY CO., LTD.		0.26	%
SHARP CORP.		0.25	%
SSGA GOVERNMENT MONEY MARKET FUND		0.25	%
CITY DEVELOPMENTS LTD.		0.24	%
KEIKYU CORP.		0.24	%
SHIMADZU CORP.		0.24	%
CENTRAL JAPAN RAILWAY CO.		0.23	%
KUBOTA CORP.		0.23	%
NIDEC CORP.		0.23	%
TOTO LTD.		0.23	%

Sector Allocations*

Industrials	20.70
Financials	20.00
Consumer Discretionary	14.40
Materials	11.70
Consumer Staples	7.00
Information Technology	6.70
Health Care	6.10
Utilities	5.10
Energy	4.40
Telecommunication Services	3.90

*  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 25

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex MSCI Emerging Markets Equal Weight ETF returned -14.13% for the partial-year period ended October 31, 2011, compared with the benchmark MSCI Emerging Markets Equal Weighted Gross Index* (-12.30%). The cap-weighted MSCI Emerging Markets Total Return Index returned -9.11%. The ETF was launched December 3, 2010. During the period, EWEM achieved over 94% correlation to its benchmark on a daily basis.

Investor concerns about slowing global economic growth and European financial contagion was reflected in performance of emerging markets during the period, despite the higher growth rates and lower debt levels of many emerging market economies. Notable underperformance was in Asian countries, which were affected by fears that Chinese growth may slow, and in Eastern Europe, which stands to suffer if the eurozone’s sovereign debt crisis worsens. Latin America was the best-performing region, given its strong commodity markets and lower exposure to China and Europe.

*The MSCI Emerging Markets Equal Weighted Gross Index equally weights the securities in the MSCI Emerging Markets Total Return Index (the MSCI Emerging Markets Cap-Weighted Index), which is a free float-adjusted market capitalization index that is designed to measure the equity market performance of emerging markets. In the MSCI Emerging Markets Equal Weighted Gross Index, each security has the same weight, which means that the weight of each security is set to unity of the rebalancing date.

Cumulative Fund Performance: December 3, 2010 – October 31, 2011

	Rydex MSCI				MSCI Emerging
	Emerging Markets		MSCI Emerging		Markets Equal
	Equal Weight		Markets Total		Weighted Gross
	ETF		Return Index		Index
12/3/2010		10000		10000		10000
12/4/2010		10000		10000		10000
12/5/2010		10000		10000		10000
12/6/2010		10020		10042		10036
12/7/2010		10035		10079		10069
12/8/2010		9935		9944		9959
12/9/2010		9908		9955		9955
12/10/2010		9898		9940		9932
12/11/2010		9898		9940		9932
12/12/2010		9898		9940		9932
12/13/2010		9953		10012		9987
12/14/2010		9998		10067		10041
12/15/2010		9901		9990		9976
12/16/2010		9841		9915		9895
12/17/2010		9853		9947		9921
12/18/2010		9853		9947		9921
12/19/2010		9853		9947		9921
12/20/2010		9808		9909		9868
12/21/2010		9932		10028		9983
12/22/2010		9957		10049		10002
12/23/2010		9967		10062		10018
12/24/2010		9967		10053		10017
12/25/2010		9967		10053		10017
12/26/2010		9967		10053		10017
12/27/2010		9952		10037		10012
12/28/2010		9945		10045		10012
12/29/2010		10054		10144		10105
12/30/2010		10139		10223		10189
12/31/2010		10181		10273		10238
1/1/2011		10181		10273		10238
1/2/2011		10181		10273		10238
1/3/2011		10293		10383		10352
1/4/2011		10335		10397		10390
1/5/2011		10298		10360		10343
1/6/2011		10256		10307		10312
1/7/2011		10178		10237		10244
1/8/2011		10178		10237		10244
1/9/2011		10178		10237		10244
1/10/2011		10061		10140		10136
1/11/2011		10126		10202		10191
1/12/2011		10275		10380		10336
1/13/2011		10275		10380		10356
1/14/2011		10246		10353		10320
1/15/2011		10246		10353		10320
1/16/2011		10246		10353		10320
1/17/2011		10246		10307		10239
1/18/2011		10206		10347		10273
1/19/2011		10211		10366		10301
1/20/2011		10069		10205		10161
1/21/2011		10009		10148		10102
1/22/2011		10009		10148		10102
1/23/2011		10009		10148		10102
1/24/2011		9999		10149		10087
1/25/2011		9994		10142		10094
1/26/2011		10049		10202		10127
1/27/2011		10039		10196		10116
1/28/2011		9887		10058		9987
1/29/2011		9887		10058		9987
1/30/2011		9887		10058		9987
1/31/2011		9840		9995		9921
2/1/2011		9959		10102		9985
2/2/2011		9992		10143		10029
2/3/2011		9967		10123		10007
2/4/2011		9949		10092		9985
2/5/2011		9949		10092		9985
2/6/2011		9949		10092		9985
2/7/2011		9952		10080		9995
2/8/2011		9897		10068		9983
2/9/2011		9743		9920		9830
2/10/2011		9546		9733		9635
2/11/2011		9521		9750		9598
2/12/2011		9521		9750		9598
2/13/2011		9521		9750		9598
2/14/2011		9641		9880		9725
2/15/2011		9643		9867		9722
2/16/2011		9671		9907		9755
2/17/2011		9690		9937		9759
2/18/2011		9795		10027		9852
2/19/2011		9795		10027		9852
2/20/2011		9795		10027		9852
2/21/2011		9795		10014		9837
2/22/2011		9551		9846		9636
2/23/2011		9469		9796		9562
2/24/2011		9379		9717		9452
2/25/2011		9494		9827		9560
2/26/2011		9494		9827		9560
2/27/2011		9494		9827		9560
2/28/2011		9551		9901		9625
3/1/2011		9591		9941		9692
3/2/2011		9576		9951		9670
3/3/2011		9735		10078		9806
3/4/2011		9812		10178		9896
3/5/2011		9812		10178		9896
3/6/2011		9812		10178		9896
3/7/2011		9748		10121		9844
3/8/2011		9812		10155		9881
3/9/2011		9850		10156		9919
3/10/2011		9715		9977		9799
3/11/2011		9653		9914		9716
3/12/2011		9653		9914		9716
3/13/2011		9653		9914		9716
3/14/2011		9681		9991		9751
3/15/2011		9474		9775		9538
3/16/2011		9494		9809		9585
3/17/2011		9449		9765		9532
3/18/2011		9534		9829		9622
3/19/2011		9534		9829		9622
3/20/2011		9534		9829		9622
3/21/2011		9653		9933		9732
3/22/2011		9745		10024		9825
3/23/2011		9778		10056		9843
3/24/2011		9867		10155		9923
3/25/2011		9917		10238		9985
3/26/2011		9917		10238		9985
3/27/2011		9917		10238		9985
3/28/2011		9862		10192		9946
3/29/2011		9920		10230		9982
3/30/2011		10064		10382		10123
3/31/2011		10153		10484		10220
4/1/2011		10280		10613		10346
4/2/2011		10280		10613		10346
4/3/2011		10280		10613		10346
4/4/2011		10368		10688		10420
4/5/2011		10375		10704		10438
4/6/2011		10440		10782		10523
4/7/2011		10465		10772		10546
4/8/2011		10499		10806		10583
4/9/2011		10499		10806		10583
4/10/2011		10499		10806		10583
4/11/2011		10450		10755		10535
4/12/2011		10278		10551		10374
4/13/2011		10365		10623		10454
4/14/2011		10373		10598		10451
4/15/2011		10355		10593		10442
4/16/2011		10355		10593		10442
4/17/2011		10355		10593		10442
4/18/2011		10243		10421		10323
4/19/2011		10258		10460		10332
4/20/2011		10460		10719		10536
4/21/2011		10559		10819		10624
4/22/2011		10559		10819		10635
4/23/2011		10559		10819		10635
4/24/2011		10559		10819		10635
4/25/2011		10564		10800		10636
4/26/2011		10554		10797		10621
4/27/2011		10559		10790		10627
4/28/2011		10539		10777		10611
4/29/2011		10549		10809		10622
4/30/2011		10549		10809		10622
5/1/2011		10549		10809		10622
5/2/2011		10569		10836		10651
5/3/2011		10430		10654		10503
5/4/2011		10330		10521		10425
5/5/2011		10278		10439		10353
5/6/2011		10293		10456		10365
5/7/2011		10293		10456		10365
5/8/2011		10293		10456		10365
5/9/2011		10310		10444		10371
5/10/2011		10345		10489		10405
5/11/2011		10343		10483		10429
5/12/2011		10221		10321		10282
5/13/2011		10186		10301		10276
5/14/2011		10186		10301		10276
5/15/2011		10186		10301		10276
5/16/2011		10114		10230		10199
5/17/2011		10096		10202		10173
5/18/2011		10176		10285		10244
5/19/2011		10131		10268		10213
5/20/2011		10109		10272		10205
5/21/2011		10109		10272		10205
5/22/2011		10109		10272		10205
5/23/2011		9877		10031		9973
5/24/2011		9962		10131		10063
5/25/2011		9887		10072		9983
5/26/2011		10007		10211		10096
5/27/2011		10116		10342		10207
5/28/2011		10116		10342		10207
5/29/2011		10116		10342		10207
5/30/2011		10116		10346		10226
5/31/2011		10298		10525		10403
6/1/2011		10283		10515		10413
6/2/2011		10233		10450		10358
6/3/2011		10218		10421		10356
6/4/2011		10218		10421		10356
6/5/2011		10218		10421		10356
6/6/2011		10163		10363		10311
6/7/2011		10181		10399		10328
6/8/2011		10104		10336		10253
6/9/2011		10066		10308		10206
6/10/2011		9937		10188		10100
6/11/2011		9937		10188		10100
6/12/2011		9937		10188		10100
6/13/2011		9892		10150		10047
6/14/2011		9979		10239		10130
6/15/2011		9912		10180		10085
6/16/2011		9740		10000		9910
6/17/2011		9742		9968		9907
6/18/2011		9742		9968		9907
6/19/2011		9742		9968		9907
6/20/2011		9684		9920		9843
6/21/2011		9824		10053		9961
6/22/2011		9829		10083		9989
6/23/2011		9759		9984		9905
6/24/2011		9846		10078		10005
6/25/2011		9846		10078		10005
6/26/2011		9846		10078		10005
6/27/2011		9846		10050		9985
6/28/2011		9911		10130		10040
6/29/2011		10016		10240		10142
6/30/2011		10135		10363		10265
7/1/2011		10210		10459		10344
7/2/2011		10210		10459		10344
7/3/2011		10210		10459		10344
7/4/2011		10210		10575		10460
7/5/2011		10296		10547		10448
7/6/2011		10258		10502		10414
7/7/2011		10333		10564		10478
7/8/2011		10308		10533		10462
7/9/2011		10308		10533		10462
7/10/2011		10308		10533		10462
7/11/2011		10135		10344		10301
7/12/2011		9932		10149		10089
7/13/2011		10070		10302		10234
7/14/2011		10060		10281		10230
7/15/2011		10080		10283		10241
7/16/2011		10080		10283		10241
7/17/2011		10080		10283		10241
7/18/2011		9972		10165		10134
7/19/2011		10025		10227		10179
7/20/2011		10092		10300		10242
7/21/2011		10150		10362		10290
7/22/2011		10238		10452		10393
7/23/2011		10238		10452		10393
7/24/2011		10238		10452		10393
7/25/2011		10173		10407		10334
7/26/2011		10238		10485		10397
7/27/2011		10185		10417		10365
7/28/2011		10153		10385		10334
7/29/2011		10080		10317		10248
7/30/2011		10080		10317		10248
7/31/2011		10080		10317		10248
8/1/2011		10163		10408		10341
8/2/2011		9984		10221		10181
8/3/2011		9801		10003		9985
8/4/2011		9525		9736		9757
8/5/2011		9224		9447		9422
8/6/2011		9224		9447		9422
8/7/2011		9224		9447		9422
8/8/2011		8764		8985		8989
8/9/2011		8671		8790		8790
8/10/2011		8719		8902		8930
8/11/2011		8819		8987		8979
8/12/2011		8814		8990		8986
8/13/2011		8814		8990		8986
8/14/2011		8814		8990		8986
8/15/2011		9025		9207		9178
8/16/2011		9055		9258		9224
8/17/2011		9108		9312		9269
8/18/2011		8882		9046		9080
8/19/2011		8626		8816		8839
8/20/2011		8626		8816		8839
8/21/2011		8626		8816		8839
8/22/2011		8563		8780		8770
8/23/2011		8752		8960		8938
8/24/2011		8676		8892		8860
8/25/2011		8604		8846		8802
8/26/2011		8621		8872		8793
8/27/2011		8621		8872		8793
8/28/2011		8621		8872		8793
8/29/2011		8860		9134		9024
8/30/2011		8945		9218		9113
8/31/2011		9136		9395		9278
9/1/2011		9166		9440		9319
9/2/2011		9030		9293		9232
9/3/2011		9030		9293		9232
9/4/2011		9030		9293		9232
9/5/2011		9030		9003		8964
9/6/2011		8694		8989		8894
9/7/2011		8902		9188		9071
9/8/2011		8872		9227		9091
9/9/2011		8699		9035		8926
9/10/2011		8699		9035		8926
9/11/2011		8699		9035		8926
9/12/2011		8523		8835		8718
9/13/2011		8483		8785		8659
9/14/2011		8325		8677		8504
9/15/2011		8418		8779		8592
9/16/2011		8549		8899		8728
9/17/2011		8549		8899		8728
9/18/2011		8549		8899		8728
9/19/2011		8290		8650		8480
9/20/2011		8300		8667		8484
9/21/2011		8212		8565		8417
9/22/2011		7693		8025		7892
9/23/2011		7555		7851		7715
9/24/2011		7555		7851		7715
9/25/2011		7555		7851		7715
9/26/2011		7371		7760		7527
9/27/2011		7718		8143		7877
9/28/2011		7683		8122		7881
9/29/2011		7730		8153		7916
9/30/2011		7585		8026		7816
10/1/2011		7585		8026		7816
10/2/2011		7585		8026		7816
10/3/2011		7339		7770		7552
10/4/2011		7189		7579		7372
10/5/2011		7214		7627		7403
10/6/2011		7478		7878		7633
10/7/2011		7631		8059		7833
10/8/2011		7631		8059		7833
10/9/2011		7631		8059		7833
10/10/2011		7757		8194		7934
10/11/2011		7887		8296		8053
10/12/2011		8052		8421		8189
10/13/2011		8136		8488		8296
10/14/2011		8146		8534		8300
10/15/2011		8146		8534		8300
10/16/2011		8146		8534		8300
10/17/2011		8192		8589		8387
10/18/2011		8047		8444		8208
10/19/2011		8072		8515		8276
10/20/2011		7846		8285		8042
10/21/2011		7961		8398		8126
10/22/2011		7961		8398		8126
10/23/2011		7961		8398		8126
10/24/2011		8237		8666		8370
10/25/2011		8252		8720		8423
10/26/2011		8324		8767		8471
10/27/2011		8687		9072		8762
10/28/2011		8775		9221		8902
10/29/2011		8775		9221		8902
10/30/2011		8775		9221		8902
10/31/2011		8588		9089		8772

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(12/03/10)
Rydex MSCI Emerging Markets Equal Weight ETF	-14.13%
MSCI Emerging Markets Equal Weighted Gross Index	-12.30%
MSCI Emerging Markets Total Return Index	-9.11%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

26

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
WISDOMTREE INDIA EARNINGS FUND		8.14	%
ISHARES MSCI BRAZIL INDEX FUND		6.38	%
SSGA GOVERNMENT MONEY MARKET FUND		0.48	%
MEDIATEK, INC.		0.31	%
PTT GLOBAL CHEMICAL PCL		0.30	%
TSINGTAO BREWERY CO., LTD. — CLASS H		0.30	%
HIWIN TECHNOLOGIES CORP.		0.28	%
YUANTA FINANCIAL HOLDING CO., LTD.		0.24	%
BYD CO., LTD. — CLASS H		0.22	%
CHINA RESOURCES ENTERPRISE LTD.		0.22	%

Sector Allocations*

Financials	18.50
Exchange Traded Funds	14.60
Industrials	13.60
Materials	12.50
Information Technology	10.20
Consumer Discretionary	8.50
Consumer Staples	6.30
Energy	5.70
Telecommunication Services	5.10
Utilities	3.50
Health Care	1.50

*  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.

ANNUAL REPORT 27

RYDEX MSCI ACWI EQUAL WEIGHT ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex MSCI ACWI Equal Weight ETF (EWAC) returned -8.55% for the partial-year period ended October 31, 2011, compared with the benchmark MSCI ACWI Equal Weighted Gross Index* (-8.07%). The cap-weighted MSCI ACWI Total Return Index returned -4.35%. The ETF was launched January 7, 2011. During the period, EWAC achieved over 84% correlation to its benchmark on a daily basis.

Major differences between the ACWI and the EAFE are that the ACWI includes the U.S. and Canada, as well as emerging markets, whereas the EAFE excludes them.

The period was characterized by fears of a looming recession in Europe, if not the globe, and the spread of Europe’s sovereign credit crisis, raising the question of the future of the eurozone. The situation has been compounded by continuing deleveraging in the developed world and tightening in emerging markets in response to inflation threats. Many observers believe the stronger action by institutions like the European Central Bank, under a new leader, will be needed to help weaker countries restructure and reform, while preserving the monetary union. Market turmoil is likely to continue until policymakers find a resolution to Europe’s fiscal crisis and investors see improvement in the global economy.

*The MSCI ACWI (All Country World Index) Equal Weighted Gross Index equally weights the securities in the MSCI ACWI Total Return Index (the MSCI ACWI cap-weighted index), which is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed and emerging markets. In the MSCI ACWI Equal Weighted Index, each security has the same weight, which means that the weight of each security is set to unity of the rebalancing date.

Cumulative Fund Performance: January 7, 2011 – October 31, 2011

			MSCI All
	Rydex MSCI		Country World		MSCI ACWI
	ACWI Equal		(ACWI) Total		Equal Weighted
	Weight ETF		Return Index		Gross Index
1/7/2011		10000		10000		10000
1/8/2011		10000		10000		10000
1/9/2011		10000		10000		10000
1/10/2011		9955		9948		9937
1/11/2011		10000		10001		9985
1/12/2011		10128		10135		10107
1/13/2011		10135		10181		10161
1/14/2011		10168		10202		10153
1/15/2011		10168		10202		10153
1/16/2011		10168		10202		10153
1/17/2011		10168		10186		10120
1/18/2011		10188		10250		10181
1/19/2011		10113		10204		10170
1/20/2011		10015		10090		10033
1/21/2011		10020		10132		10035
1/22/2011		10020		10132		10035
1/23/2011		10020		10132		10035
1/24/2011		10063		10198		10077
1/25/2011		10028		10188		10084
1/26/2011		10115		10247		10135
1/27/2011		10150		10266		10151
1/28/2011		9930		10119		10026
1/29/2011		9930		10119		10026
1/30/2011		9930		10119		10026
1/31/2011		10043		10151		10019
2/1/2011		10130		10315		10143
2/2/2011		10130		10339		10180
2/3/2011		10128		10317		10158
2/4/2011		10130		10325		10173
2/5/2011		10130		10325		10173
2/6/2011		10130		10325		10173
2/7/2011		10178		10376		10213
2/8/2011		10208		10428		10251
2/9/2011		10208		10377		10169
2/10/2011		10058		10322		10077
2/11/2011		10090		10346		10078
2/12/2011		10090		10346		10078
2/13/2011		10090		10346		10078
2/14/2011		10123		10391		10145
2/15/2011		10098		10386		10135
2/16/2011		10180		10444		10186
2/17/2011		10215		10500		10236
2/18/2011		10251		10532		10285
2/19/2011		10251		10532		10285
2/20/2011		10251		10532		10285
2/21/2011		10251		10500		10256
2/22/2011		10013		10343		10084
2/23/2011		9970		10282		10008
2/24/2011		9920		10254		9959
2/25/2011		10143		10366		10082
2/26/2011		10143		10366		10082
2/27/2011		10143		10366		10082
2/28/2011		10238		10446		10159
3/1/2011		10095		10380		10153
3/2/2011		10145		10363		10116
3/3/2011		10288		10476		10220
3/4/2011		10266		10466		10253
3/5/2011		10266		10466		10253
3/6/2011		10266		10466		10253
3/7/2011		10155		10395		10190
3/8/2011		10258		10415		10202
3/9/2011		10256		10407		10221
3/10/2011		10028		10208		10051
3/11/2011		10043		10211		10022
3/12/2011		10043		10211		10022
3/13/2011		10043		10211		10022
3/14/2011		9960		10128		9930
3/15/2011		9780		9901		9643
3/16/2011		9531		9828		9683
3/17/2011		9717		9954		9756
3/18/2011		9829		10012		9832
3/19/2011		9829		10012		9832
3/20/2011		9829		10012		9832
3/21/2011		10014		10164		9961
3/22/2011		10007		10201		10041
3/23/2011		10060		10210		10040
3/24/2011		10132		10307		10127
3/25/2011		10135		10331		10157
3/26/2011		10135		10331		10157
3/27/2011		10135		10331		10157
3/28/2011		10127		10296		10119
3/29/2011		10160		10325		10143
3/30/2011		10295		10429		10267
3/31/2011		10303		10436		10309
4/1/2011		10390		10499		10362
4/2/2011		10390		10499		10362
4/3/2011		10390		10499		10362
4/4/2011		10398		10539		10415
4/5/2011		10393		10528		10400
4/6/2011		10420		10575		10444
4/7/2011		10423		10549		10429
4/8/2011		10453		10597		10483
4/9/2011		10453		10597		10483
4/10/2011		10453		10597		10483
4/11/2011		10425		10571		10450
4/12/2011		10290		10444		10325
4/13/2011		10358		10488		10383
4/14/2011		10390		10470		10379
4/15/2011		10415		10480		10384
4/16/2011		10415		10480		10384
4/17/2011		10415		10480		10384
4/18/2011		10205		10316		10254
4/19/2011		10280		10373		10282
4/20/2011		10493		10584		10477
4/21/2011		10558		10672		10573
4/22/2011		10558		10672		10575
4/23/2011		10558		10672		10575
4/24/2011		10558		10672		10575
4/25/2011		10531		10646		10557
4/26/2011		10614		10709		10589
4/27/2011		10669		10741		10605
4/28/2011		10664		10832		10686
4/29/2011		10812		10863		10711
4/30/2011		10812		10863		10711
5/1/2011		10812		10863		10711
5/2/2011		10726		10890		10752
5/3/2011		10573		10807		10652
5/4/2011		10508		10713		10576
5/5/2011		10390		10596		10492
5/6/2011		10501		10628		10509
5/7/2011		10501		10628		10509
5/8/2011		10501		10628		10509
5/9/2011		10501		10590		10484
5/10/2011		10606		10682		10563
5/11/2011		10461		10625		10540
5/12/2011		10476		10562		10451
5/13/2011		10320		10507		10416
5/14/2011		10320		10507		10416
5/15/2011		10320		10507		10416
5/16/2011		10303		10455		10347
5/17/2011		10295		10403		10289
5/18/2011		10398		10502		10385
5/19/2011		10378		10525		10387
5/20/2011		10315		10466		10349
5/21/2011		10315		10466		10349
5/22/2011		10315		10466		10349
5/23/2011		10167		10280		10147
5/24/2011		10145		10308		10185
5/25/2011		10180		10331		10171
5/26/2011		10255		10397		10260
5/27/2011		10328		10494		10358
5/28/2011		10328		10494		10358
5/29/2011		10328		10494		10358
5/30/2011		10328		10494		10369
5/31/2011		10473		10629		10514
6/1/2011		10295		10502		10446
6/2/2011		10340		10425		10372
6/3/2011		10348		10386		10341
6/4/2011		10348		10386		10341
6/5/2011		10348		10386		10341
6/6/2011		10182		10308		10273
6/7/2011		10265		10328		10299
6/8/2011		10155		10251		10217
6/9/2011		10255		10289		10219
6/10/2011		10042		10141		10096
6/11/2011		10042		10141		10096
6/12/2011		10042		10141		10096
6/13/2011		10054		10138		10066
6/14/2011		10092		10268		10187
6/15/2011		9937		10111		10072
6/16/2011		9909		10017		9933
6/17/2011		9821		10060		9968
6/18/2011		9821		10060		9968
6/19/2011		9821		10060		9968
6/20/2011		9944		10061		9946
6/21/2011		10112		10217		10098
6/22/2011		10082		10206		10120
6/23/2011		10034		10070		9992
6/24/2011		9989		10042		10013
6/25/2011		9989		10042		10013
6/26/2011		9989		10042		10013
6/27/2011		10017		10081		10009
6/28/2011		10114		10193		10099
6/29/2011		10318		10328		10233
6/30/2011		10378		10462		10363
7/1/2011		10483		10561		10446
7/2/2011		10483		10561		10446
7/3/2011		10483		10561		10446
7/4/2011		10483		10607		10523
7/5/2011		10463		10588		10501
7/6/2011		10413		10557		10470
7/7/2011		10541		10636		10536
7/8/2011		10425		10569		10494
7/9/2011		10425		10569		10494
7/10/2011		10425		10569		10494
7/11/2011		10210		10351		10294
7/12/2011		10182		10273		10194
7/13/2011		10290		10384		10319
7/14/2011		10255		10316		10259
7/15/2011		10262		10332		10273
7/16/2011		10262		10332		10273
7/17/2011		10262		10332		10273
7/18/2011		10097		10207		10151
7/19/2011		10230		10348		10254
7/20/2011		10287		10410		10325
7/21/2011		10370		10552		10432
7/22/2011		10458		10598		10508
7/23/2011		10458		10598		10508
7/24/2011		10458		10598		10508
7/25/2011		10473		10539		10441
7/26/2011		10448		10560		10477
7/27/2011		10300		10392		10355
7/28/2011		10232		10346		10297
7/29/2011		10232		10292		10250
7/30/2011		10232		10292		10250
7/31/2011		10232		10292		10250
8/1/2011		10172		10244		10248
8/2/2011		9943		10030		10041
8/3/2011		9863		9958		9920
8/4/2011		9303		9553		9567
8/5/2011		9288		9416		9351
8/6/2011		9288		9416		9351
8/7/2011		9288		9416		9351
8/8/2011		8791		8937		8907
8/9/2011		9067		9129		8967
8/10/2011		8779		8911		8918
8/11/2011		9077		9170		9082
8/12/2011		9198		9268		9150
8/13/2011		9198		9268		9150
8/14/2011		9198		9268		9150
8/15/2011		9361		9462		9343
8/16/2011		9168		9414		9314
8/17/2011		9281		9449		9346
8/18/2011		8939		9055		9030
8/19/2011		8799		8914		8867
8/20/2011		8799		8914		8867
8/21/2011		8799		8914		8867
8/22/2011		8786		8907		8828
8/23/2011		9015		9112		9002
8/24/2011		9030		9177		9016
8/25/2011		8887		9076		8942
8/26/2011		9030		9137		8990
8/27/2011		9030		9137		8990
8/28/2011		9030		9137		8990
8/29/2011		9195		9364		9215
8/30/2011		9213		9413		9286
8/31/2011		9401		9540		9425
9/1/2011		9338		9492		9396
9/2/2011		9155		9282		9224
9/3/2011		9155		9282		9224
9/4/2011		9155		9282		9224
9/5/2011		9155		9095		9004
9/6/2011		8959		9014		8904
9/7/2011		9110		9258		9136
9/8/2011		9055		9238		9132
9/9/2011		8786		8973		8901
9/10/2011		8786		8973		8901
9/11/2011		8786		8973		8901
9/12/2011		8746		8865		8741
9/13/2011		8786		8941		8791
9/14/2011		8849		8997		8785
9/15/2011		8972		9178		8934
9/16/2011		8939		9239		9021
9/17/2011		8939		9239		9021
9/18/2011		8939		9239		9021
9/19/2011		8846		9073		8832
9/20/2011		8831		9113		8842
9/21/2011		8570		8930		8716
9/22/2011		8206		8530		8288
9/23/2011		8264		8544		8246
9/24/2011		8264		8544		8246
9/25/2011		8264		8544		8246
9/26/2011		8314		8631		8216
9/27/2011		8603		8893		8513
9/28/2011		8379		8777		8445
9/29/2011		8482		8831		8491
9/30/2011		8151		8639		8327
10/1/2011		8151		8639		8327
10/2/2011		8151		8639		8327
10/3/2011		7896		8405		8076
10/4/2011		8064		8376		7988
10/5/2011		8092		8532		8093
10/6/2011		8309		8756		8328
10/7/2011		8334		8797		8411
10/8/2011		8334		8797		8411
10/9/2011		8334		8797		8411
10/10/2011		8663		9023		8580
10/11/2011		8684		9056		8644
10/12/2011		8824		9186		8776
10/13/2011		8788		9151		8790
10/14/2011		8831		9275		8854
10/15/2011		8831		9275		8854
10/16/2011		8831		9275		8854
10/17/2011		8760		9184		8831
10/18/2011		8816		9203		8779
10/19/2011		8745		9195		8800
10/20/2011		8561		9109		8665
10/21/2011		8842		9312		8839
10/22/2011		8842		9312		8839
10/23/2011		8842		9312		8839
10/24/2011		9017		9469		9038
10/25/2011		8938		9367		8980
10/26/2011		8964		9405		9008
10/27/2011		9525		9791		9374
10/28/2011		9486		9835		9443
10/29/2011		9486		9835		9443
10/30/2011		9486		9835		9443
10/31/2011		9145		9565		9194

TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

	Since Inception
	(01/07/11)
Rydex MSCI ACWI Equal Weight ETF	-8.55%
MSCI ACWI Equal Weighted Gross Index	-8.07%
MSCI ACWI Total Return Index	-4.35%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

28

RYDEX MSCI ACWI EQUAL WEIGHT ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
RYDEX MSCI EAFE EQUAL WEIGHT ETF		38.15	%
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF		31.63	%
SSGA GOVERNMENT MONEY MARKET FUND		1.67	%
PRICELINE.COM, INC.		0.11	%
INTUITIVE SURGICAL, INC.		0.10	%
APPLE, INC.		0.09	%
MASTERCARD, INC. — CLASS A		0.08	%
WASHINGTON POST CO.(THE) — CLASS B		0.08	%
BIOGEN IDEC, INC.		0.07	%
GOODRICH CORP.		0.07	%

Sector Allocations*

Exchange Traded Funds	71.00
Financials	4.80
Consumer Discretionary	4.60
Information Technology	4.00
Industrials	3.60
Energy	2.90
Health Care	2.80
Consumer Staples	2.10
Materials	2.00
Utilities	1.60
Telecommunication Services	0.60

*  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 29

RYDEX S&P 500 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Consumer Discretionary ETF returned 13.91%, compared to its benchmark, the S&P 500 Equal Weight Consumer Discretionary Total Return Index*, which delivered 14.72% and the capitalization-weighted S&P 500 Consumer Discretionary Total Return Index, which returned 12.74% in the same time period. The ETF achieved over 99% correlation to its benchmark on a daily basis. The ETF outperformed the broad-market S&P 500 Total Return Index by almost six percentage points.

The sector enjoyed a bounce after steps to resolve the European debt crisis were taken in September. Although consumer confidence remains low, and the unemployment rate remains high, retail sales have been strong, reflecting positive, yet slow, economic growth. An accommodative Federal Reserve and easing commodity prices are also tailwinds for consumers, and fears of another recession have abated. Retailers are also benefiting from some pricing power due to lean inventories. The biggest threat to the sector continues to be sentiment; if the poor job market continues to pressure consumers, they may eventually curtail spending.

Multiline retail was the largest contributor to performance. Professional services was the only detractor.

VF Corp. and Abercrombie & Fitch Co. (Class A) were among the stocks with largest positive contributions to performance for the year. PulteGroup, Inc. and Best Buy Co., Inc. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Consumer Discretionary Total Return Index is an unmanaged equal weighted version of the S&P 500 Consumer Discretionary Total Return Index that consists of the common stocks of the following industries: automobiles and components, consumer durables, apparel, hotels, restaurants, leisure, media and retailing that comprise the Consumer Discretionary sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

					S&P 500
	Rydex S&P				Equal Weighted
	500 Equal		S&P 500		Consumer Discretionary
	Weight Consumer		Total Return		Total Return
	Discretionary ETF		Index		Index
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
11/30/2009		8029		8583		8119
12/31/2009		8462		8748		8547
1/31/2010		8348		8434		8435
2/28/2010		8784		8695		8876
3/31/2010		9520		9220		9636
4/30/2010		10085		9365		10214
5/31/2010		9339		8617		9461
6/30/2010		8298		8166		8401
7/31/2010		8945		8738		9063
8/31/2010		8405		8344		8518
9/30/2010		9544		9089		9681
10/31/2010		9885		9434		10032
11/30/2010		10195		9436		10349
12/31/2010		10728		10066		10900
1/31/2011		10641		10305		10818
2/28/2011		11293		10658		11488
3/31/2011		11294		10662		11495
4/30/2011		11789		10978		12005
5/31/2011		11785		10854		12005
6/30/2011		11706		10673		11932
7/31/2011		11520		10456		11756
8/31/2011		10726		9888		10951
9/30/2011		9803		9193		10011
10/31/2011		11259		10197		11509

30

RYDEX S&P 500 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF

MANAGER’S ANALYSIS (Unaudited) (concluded)

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Consumer Discretionary ETF	13.91%	25.84%	2.40%	2.40%
S&P 500 Equal Weight Consumer Discretionary Total Return Index	14.72%	26.38%	2.69%	2.85%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 31

RYDEX S&P 500 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
GOODYEAR TIRE & RUBBER CO.(THE)		1.60	%
HARMAN INTERNATIONAL INDUSTRIES, INC.		1.58	%
SEARS HOLDINGS CORP.		1.54	%
INTERPUBLIC GROUP OF COS., INC.(THE)		1.46	%
LENNAR CORP. — CLASS A		1.46	%
INTERNATIONAL GAME TECHNOLOGY		1.44	%
GANNETT CO., INC.		1.42	%
PULTE HOMES, INC.		1.42	%
DR HORTON, INC.		1.41	%
J.C. PENNEY CO., INC.		1.40	%

Industry Allocations*

Specialty Retail	21.84
Media	20.35
Hotels, Restaurants & Leisure	14.31
Multiline Retail	10.93
Household Durables	9.66
Textiles, Apparel & Luxury Goods	5.38
Internet & Catalog Retail	4.03
Diversified Consumer Services	3.65
Auto Components	2.94
Automobiles	2.65
Leisure Equipment & Products	2.57
Distributors	1.33
Short-Term Investments	0.36

*  The Fund’s Top Ten Holds 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 S&P 500 EQUAL WEIGHT CONSUMER STAPLES ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Consumer Staples ETF returned 12.37%. For the same period, its benchmark, the S&P 500 Equal Weight Consumer Staples Total Return Index*, returned 13.12%, while the cap-weighted S&P 500 Consumer Staples Total Return Index delivered a return of 11.29%. The Fund achieved over 99% correlation to its benchmark on a daily basis. The ETF outperformed the broad-market S&P 500 Total Return Index by more than four percentage points.

Consumer staples stocks have benefited as market performance declined over the course of 2011. Investors are often attracted to the group due to its defensive characteristics, which means its earnings tend to hold up in tough economic times. But when the economy is improving, as it began to do in the third quarter of 2011, consumers shift extra spending to more discretionary items, and the staples sector often underperforms. Continuing uneven economic recovery would be a positive for the group, along with retailers’ attempts to offer customers more perceived value. Fundamentals of companies in the sector remain solid and the sector’s relatively higher exposure to emerging markets compared with other sectors has benefited performance, as growth prospects in emerging markets have been outweighing those domestically.

The food products industry was the largest contributor to performance. Personal products was the fund’s only detractor to performance.

Hormel Foods Corp. and Whole Foods Market, Inc. were among the stocks with largest positive contributions to performance for the year. Safeway, Inc. and SUPERVALU, Inc. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Consumer Staples Total Return Index is an unmanaged equal weighted version of the S&P 500 Consumer Staples Total Return Index that consists of the common stocks of the following industries: food and drug retailing, beverages, food products, tobacco, household products and personal products that comprise the Consumer Staples sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

					S&P 500
	Rydex S&P				Equal Weighted
	500 Equal		S&P 500		Consumer Staples
	Weight Consumer		Total Return		Total Return
	Staples ETF		Index		Index
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
11/30/2009		10875		8583		11050
12/31/2009		10981		8748		11163
1/31/2010		10968		8434		11154
2/28/2010		11465		8695		11668
3/31/2010		12019		9220		12240
4/30/2010		12039		9365		12266
5/31/2010		11408		8617		11624
6/30/2010		11123		8166		11336
7/31/2010		11778		8738		12010
8/31/2010		11468		8344		11699
9/30/2010		12125		9089		12379
10/31/2010		12486		9434		12762
11/30/2010		12341		9436		12618
12/31/2010		12952		10066		13252
1/31/2011		12639		10305		12936
2/28/2011		13306		10658		13627
3/31/2011		13573		10662		13910
4/30/2011		14359		10978		14722
5/31/2011		14707		10854		15088
6/30/2011		14383		10673		14762
7/31/2011		14072		10456		14449
8/31/2011		13793		9888		14166
9/30/2011		13280		9193		13644
10/31/2011		14030		10197		14435

ANNUAL REPORT 33

RYDEX S&P 500 EQUAL WEIGHT CONSUMER STAPLES ETF

MANAGER’S ANALYSIS (Unaudited) (concluded)

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Consumer Staples ETF	12.37%	16.25%	7.01%	7.01%
S&P 500 Equal Weight Consumer Staples Total Return Index	13.12%	16.93%	7.49%	7.62%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

34

RYDEX S&P 500 EQUAL WEIGHT CONSUMER STAPLES ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
BEAM, INC.		2.65	%
TYSON FOODS, INC. — CLASS A		2.60	%
DEAN FOODS CO.		2.52	%
SAFEWAY, INC.		2.52	%
WAL-MART STORES, INC.		2.51	%
BROWN-FORMAN CORP. — CLASS B		2.50	%
CONAGRA FOODS, INC.		2.49	%
CAMPBELL SOUP CO.		2.48	%
HORMEL FOODS CORP.		2.47	%
CONSTELLATION BRANDS, INC. — CLASS A		2.46	%

Industry Allocations*

Food Products	36.22
Food & Staples Retailing	21.46
Beverages	19.16
Tobacco	9.50
Household Products	9.24
Personal Products	4.26
Short-Term Investments	0.16

*  The Fund’s Top Ten Holds 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.

ANNUAL REPORT 35

RYDEX S&P 500 EQUAL WEIGHT ENERGY ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Energy ETF returned 20.09%. For the same period, its benchmark, the S&P 500 Equal Weight Energy Total Return Index*, returned 20.78%, outperforming the cap-weighted S&P 500 Energy Total Return Index’s 19.24% total return. The Fund achieved over 99% correlation to its benchmark on a daily basis. The ETF outperformed the S&P 500 Total Return Index by 12 percentage points.

Better growth expectations in high-demand countries like the U.S. and China pushed the price of oil higher in October 2011, back to $100-per-barrel levels it had not seen since mid-year. The sector is expected to be volatile as long as concerns remain about the strength of the global economy. The sector remains squeezed between worldwide political developments that could threaten supply and the curtailing of stimulus in some countries that could contribute to slower economic growth.

The oil, gas and consumable fuels industry; and energy equipment and services contributed the most to performance. None of the fund’s industries had negative performance during the period.

El Paso Corp. and Cabot Oil & Gas Corp. were among the stocks with largest positive contributions to performance for the year. Murphy Oil Corp. and Marathon Petroleum Corp. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Energy Total Return Index is an unmanaged equal weighted version of the S&P 500 Energy Total Return Index that consists of the common stocks of the following industries: oil and gas exploration, production, marketing, refining and/or transportation and energy equipment and services industries that comprise the Energy sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

	Rydex S&P				S&P 500
	500 Equal		S&P 500		Equal Weighted
	Weight Energy		Total Return		Energy Total
	ETF		Index		Return Index
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
11/30/2009		10453		8583		10652
12/31/2009		10881		8748		11101
1/31/2010		10510		8434		10725
2/28/2010		11007		8695		11237
3/31/2010		11349		9220		11594
4/30/2010		11735		9365		11995
5/31/2010		10353		8617		10584
6/30/2010		9840		8166		10062
7/31/2010		10670		8738		10915
8/31/2010		9976		8344		10208
9/30/2010		11139		9089		11406
10/31/2010		11760		9434		12052
11/30/2010		12640		9436		12962
12/31/2010		13766		10066		14126
1/31/2011		14807		10305		15200
2/28/2011		15981		10658		16414
3/31/2011		16505		10662		16970
4/30/2011		16485		10978		16956
5/31/2011		15878		10854		16341
6/30/2011		15480		10673		15934
7/31/2011		15920		10456		16396
8/31/2011		14070		9888		14496
9/30/2011		11396		9193		11739
10/31/2011		14123		10197		14558

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Energy ETF	20.09%	18.36%	7.15%	7.15%
S&P 500 Equal Weight Energy Total Return Index	20.78%	19.18%	7.56%	7.80%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

36

RYDEX S&P 500 EQUAL WEIGHT ENERGY ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
EL PASO CORP.		2.97	%
OCCIDENTAL PETROLEUM CORP.		2.59	%
VALERO ENERGY CORP.		2.58	%
WILLIAMS COS., INC.(THE)		2.57	%
CABOT OIL & GAS CORP.		2.54	%
NATIONAL-OILWELL VARCO, INC.		2.54	%
SPECTRA ENERGY CORP.		2.54	%
TESORO CORP.		2.54	%
NOBLE ENERGY, INC.		2.52	%
RANGE RESOURCES CORP.		2.52	%

Industry Allocations*

Oil, Gas & Consumable Fuels	74.62
Energy Equipment & Services	25.33
Short-Term Investments	0.05

*  The Fund’s Top Ten Holds 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.

ANNUAL REPORT 37

RYDEX S&P 500 EQUAL WEIGHT FINANCIALS ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Financials ETF returned -2.25%. For the same period, its benchmark, the S&P 500 Equal Weight Financials Total Return Index*, returned -1.73%, outperforming the cap-weighted S&P 500 Financials Total Return Index’s -5.89% total return. Rydex S&P 500 Equal Weight Financials ETF achieved a daily correlation of over 99% to its benchmark on a daily basis. The ETF underperformed the S&P 500 Total Return Index by 10 percentage points.

The Financials sector, like many others, experienced considerable volatility over the past 12 months, most recently due to fears of contagion related to the troubles of European banks and that region’s sovereign debt crisis. In the U.S., investors in the sector are still cautious about the impact of housing issues, particularly the growing level of foreclosures and the resulting detrimental effect on banks’ balance sheets. Other concerns impacting profits are new regulations around proprietary trading and lending, as well as new limits on credit card fees. Nonetheless, many financial institutions are returning to health and are benefiting from looser lending standards and an improving economy that is increasing loan demand. Fears of the impact of lower interest rates and volatile equity markets have checked performance of some insurers, while capital market activity remains subdued. Among REITs, the best performing group has been the large, higher-quality property owners.

Real estate investment trusts and consumer finance were the largest contributors to performance, while capital markets and commercial banks detracted from performance.

Moody’s Corp. and Simon Property Group Inc. were among the stocks bringing the largest positive contributions to performance for the year. Hudson City Bancorp Inc. and Genworth Financial, Inc. (Class A) were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Financials Total Return Index is an unmanaged equal weighted version of the S&P 500 Financials Total Return Index that consists of the common stocks of the following industries: banks, diversified financials, brokerage, asset management insurance and real estate, including investment trusts that comprise the Financials sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

	Rydex S&P				S&P 500
	500 Equal		S&P 500		Equal Weighted
	Weight Financial		Equal Total		Financial Total
	ETF		Return Index		Return Index
11/1/2006		10000		10000		10000
11/30/2006		10198		10264		10204
12/31/2006		10505		10408		10519
1/31/2007		10745		10566		10765
2/28/2007		10536		10359		10559
3/31/2007		10394		10475		10421
4/30/2007		10757		10939		10792
5/31/2007		11021		11321		11063
6/30/2007		10589		11133		10630
7/31/2007		9699		10787		9739
8/31/2007		9732		10949		9779
9/30/2007		9970		11359		10024
10/31/2007		9777		11539		9831
11/30/2007		9059		11057		9129
12/31/2007		8587		10980		8658
1/31/2008		8524		10322		8592
2/29/2008		7741		9986		7798
3/31/2008		7499		9943		7554
4/30/2008		7873		10427		7940
5/31/2008		7629		10562		7708
6/30/2008		6292		9672		6361
7/31/2008		6504		9591		6581
8/31/2008		6754		9729		6844
9/30/2008		6156		8862		6326
10/31/2008		4606		7374		4720
11/30/2008		3800		6845		3896
12/31/2008		3882		6918		3989
1/31/2009		3030		6335		3108
2/28/2009		2438		5660		2505
3/31/2009		2835		6156		2920
4/30/2009		3553		6745		3674
5/31/2009		4075		7122		4216
6/30/2009		3973		7137		4111
7/31/2009		4316		7676		4479
8/31/2009		4930		7953		5119
9/30/2009		5107		8250		5307
10/31/2009		4752		8097		4938
11/30/2009		4977		8583		5174
12/31/2009		5067		8748		5272
1/31/2010		5050		8434		5255
2/28/2010		5224		8695		5440
3/31/2010		5761		9220		6004
4/30/2010		5974		9365		6230
5/31/2010		5441		8617		5673
6/30/2010		5100		8166		5319
7/31/2010		5499		8738		5738
8/31/2010		5138		8344		5363
9/30/2010		5542		9089		5790
10/31/2010		5676		9434		5932
11/30/2010		5594		9436		5847
12/31/2010		6224		10066		6511
1/31/2011		6380		10305		6678
2/28/2011		6622		10658		6935
3/31/2011		6512		10662		6824
4/30/2011		6630		10978		6950
5/31/2011		6469		10854		6785
6/30/2011		6271		10673		6580
7/31/2011		6023		10456		6320
8/31/2011		5416		9888		5686
9/30/2011		4840		9193		5081
10/31/2011		5550		10197		5830

38

RYDEX S&P 500 EQUAL WEIGHT FINANCIALS ETF

MANAGER’S ANALYSIS (Unaudited) (concluded)

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Financials ETF	-2.25%	6.40%	-11.11%	-11.11%
S&P 500 Equal Weight Financials Total Return Index	-1.73%	7.29%	-10.39%	-10.24%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 39

RYDEX S&P 500 EQUAL WEIGHT FINANCIALS ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
AFLAC, INC.		1.46	%
HOST HOTELS & RESORTS, INC.		1.41	%
CBRE GROUP, INC.		1.39	%
STATE STREET CORP.		1.38	%
ACE LTD.		1.37	%
TRAVELERS COS., INC.(THE)		1.37	%
FIFTH THIRD BANCORP.		1.35	%
FEDERATED INVESTORS, INC. — CLASS B		1.32	%
CHUBB CORP.(THE)		1.31	%
INVESCO LTD.		1.31	%

Industry Allocations*

Insurance	27.82
Real Estate Investment Trusts (REITs)	18.38
Capital Markets	18.19
Commercial Banks	16.04
Diversified Financial Services	10.78
Consumer Finance	4.69
Thrifts & Mortgage Finance	2.48
Real Estate Management & Development	1.39
Short-Term Invesments	0.23

*  The Fund’s Top Ten Holds 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.

40

RYDEX S&P 500 EQUAL WEIGHT HEALTH CARE ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Health Care ETF returned 11.80%. For the same period, its benchmark, the S&P 500 Equal Weight Health Care Total Return Index*, returned 12.39% while the cap-weighted S&P 500 Health Care Total Return Index delivered a 10.02% return. The fund achieved over 99% correlation to its benchmark on a daily basis. The ETF outperformed the S&P 500 Total Return Index by almost four percentage points.

Legislative and judicial activity in Washington was perhaps the largest factor in the performance of the health care sector — with the government accounting for nearly half of all U.S. health care spending. Some of the more important coming events are possible deficit reduction, the Supreme Court’s review of the individual mandate, a key part of the 2010 health care law, and the 2012 presidential election. As a traditionally defensive sector, health care has benefited from concern over the strength of the U.S. and global recovery. It is also being supported by the solid balance sheets and growing dividends of many companies in the sector, as well as cash balances that could help increase the level of mergers and acquisitions.

Health care providers and services and biotechnology contributed the most to performance for the year. Life sciences tools and services detracted from performance.

Biogen Idec, Inc. and Intuitive Surgical, Inc. were among the stocks with largest positive contributions to performance for the year. Life Technologies Corp. and Edwards Lifesciences Corp. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Health Care Total Return Index is an unmanaged equal weighted version of the S&P 500 Health Care Total Return Index that consists of the common stocks of the following industries: health care equipment and supplies, health care providers and services, and biotechnology and pharmaceuticals that comprise the Health Care sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

					S&P 500
	Rydex S&P				Equal Weighted
	500 Equal		S&P 500		Health Care
	Weight Health		Total Return		Total Return
	Care ETF		Index		Index
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
11/30/2009		11214		8583		11583
12/31/2009		11623		8748		12012
1/31/2010		11607		8434		12002
2/28/2010		11870		8695		12278
3/31/2010		12384		9220		12828
4/30/2010		12077		9365		12515
5/31/2010		11348		8617		11763
6/30/2010		10916		8166		11319
7/31/2010		11025		8738		11436
8/31/2010		10697		8344		11102
9/30/2010		11832		9089		12288
10/31/2010		12233		9434		12710
11/30/2010		12141		9436		12617
12/31/2010		12883		10066		13396
1/31/2011		13227		10305		13761
2/28/2011		13649		10658		14208
3/31/2011		14000		10662		14579
4/30/2011		14805		10978		15424
5/31/2011		15059		10854		15697
6/30/2011		15004		10673		15646
7/31/2011		14299		10456		14916
8/31/2011		13728		9888		14326
9/30/2011		12801		9193		13363
10/31/2011		13677		10197		14281

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Health Care ETF	11.80%	16.86%	6.46%	6.46%
S&P 500 Equal Weight Health Care Total Return Index	12.39%	17.62%	7.17%	7.39%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

ANNUAL REPORT 41

RYDEX S&P 500 EQUAL WEIGHT HEALTH CARE ETF

MANAGER’S ANALYSIS (Unaudited) (concluded)

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

42

RYDEX S&P 500 EQUAL WEIGHT HEALTH CARE ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
BIOGEN IDEC, INC.		2.24	%
QUEST DIAGNOSTICS, INC.		2.21	%
PATTERSON COS., INC.		2.19	%
EXPRESS SCRIPTS, INC.		2.16	%
INTUITIVE SURGICAL, INC.		2.16	%
MEDCO HEALTH SOLUTIONS, INC.		2.13	%
VARIAN MEDICAL SYSTEMS, INC.		2.12	%
HUMANA, INC.		2.09	%
DENTSPLY INTERNATIONAL, INC.		2.08	%
MCKESSON CORP.		2.08	%

Industry Allocations*

Health Care Providers & Services	32.06
Health Care Equipment & Supplies	26.98
Pharmaceuticals	21.13
Life Sciences Tools & Services	9.53
Biotechnology	8.26
Health Care Technology	1.83
Short-Term Investments	0.21

*  The Fund’s Top Ten Holds 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.

ANNUAL REPORT 43

RYDEX S&P 500 EQUAL WEIGHT INDUSTRIALS ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Industrials ETF returned 5.80% compared to its benchmark the S&P 500 Equal Weight Industrials Total Return Index* (6.35%) and the capitalization-weighted S&P 500 Industrials Total Return Index (5.95%). The Fund achieved over 99% correlation to its benchmark on a daily basis. The ETF underperformed the S&P 500 Total Return Index by about two percentage points.

The Industrials sector was affected by slowing economic growth domestically and abroad for much of the past 12 months, but could benefit from an improving outlook for the U.S., as businesses increase equipment investment, and from infrastructure upgrades in many emerging economies. Inventory levels at many manufacturers remains low, and any rebuilding would also help companies in the sector. Defense contracting continues to be the weakest subsector, given uncertainty around the extent of expected budget cuts at the Department of Defense. The improving economic environment appears to favor commercial aerospace, industrial conglomerates and agricultural/mining machinery manufacturers.

Aerospace and defense and trading companies/distributors were the biggest contributors to performance. Airlines and air freight were among the lowest contributors to performance.

Goodrich Corp. and W.W. Grainger, Inc. were among the stocks with largest positive contributions to performance for the year. R.R. Donnelley & Sons Co. and Joy Global, Inc. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Industrials Total Return Index is an unmanaged equal weighted version of the S&P 500 Industrials Total Return Index that consists of the common stocks of the following industries: aerospace and defense, building products, construction and engineering, electrical equipment, conglomerates, machinery; commercial services and supplies, air freight and logistics, airlines, and marine, road and rail transportation infrastructure that comprise the Industrials sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

	Rydex S&P				S&P 500
	500 Equal		S&P 500		Equal Weighted
	Weight Industrials		Total Return		Industrials Total
	ETF		Index		Return Index
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
11/30/2009		9262		8583		9417
12/31/2009		9562		8748		9757
1/31/2010		9262		8434		9458
2/28/2010		9754		8695		9973
3/31/2010		10542		9220		10751
4/30/2010		11044		9365		11267
5/31/2010		10084		8617		10289
6/30/2010		9414		8166		9608
7/31/2010		10310		8738		10522
8/31/2010		9569		8344		9767
9/30/2010		10721		9089		10951
10/31/2010		11030		9434		11271
11/30/2010		11199		9436		11451
12/31/2010		12082		10066		12362
1/31/2011		12500		10305		12797
2/28/2011		12656		10658		12961
3/31/2011		13047		10662		13368
4/30/2011		13265		10978		13598
5/31/2011		13029		10854		13361
6/30/2011		12950		10673		13286
7/31/2011		11993		10456		12309
8/31/2011		11234		9888		11536
9/30/2011		10171		9193		10440
10/31/2011		11669		10197		11986

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Industrials ETF	5.80%	15.00%	3.13%	3.13%
S&P 500 Equal Weight Industrials Total Return Index	6.35%	15.77%	3.57%	3.69%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

44

RYDEX S&P 500 EQUAL WEIGHT INDUSTRIALS ETF

MANAGER’S ANALYSIS (Unaudited) (concluded)

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 45

RYDEX S&P 500 EQUAL WEIGHT INDUSTRIALS ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
GOODRICH CORP.		2.18	%
MASCO CORP.		1.92	%
ROBERT HALF INTERNATIONAL, INC.		1.87	%
PARKER HANNIFIN CORP.		1.84	%
PALL CORP.		1.82	%
PACCAR, INC.		1.81	%
ROCKWELL AUTOMATION, INC.		1.79	%
HONEYWELL INTERNATIONAL, INC.		1.78	%
RYDER SYSTEM, INC.		1.77	%
STANLEY BLACK & DECKER, INC.		1.77	%

Industry Allocations*

Machinery	25.25
Aerospace & Defense	20.18
Commercial Services & Supplies	12.58
Road & Rail	6.82
Air Freight & Logistics	6.60
Industrial Conglomerates	6.44
Professional Services	5.22
Electrical Equipment	5.15
Construction & Engineering	4.93
Trading Companies & Distributors	3.36
Building Products	1.92
Airlines	1.53
Short-Term Investments	0.02

*  The Fund’s Top Ten Holds 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.

46

RYDEX S&P 500 EQUAL WEIGHT MATERIALS ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Materials ETF returned 0.04% compared to the benchmark S&P 500 Equal Weight Materials Total Return Index* return of 0.51% and the capitalization-weighted S&P 500 Materials Total Return Index’s 2.76% return. The Fund achieved over 99% correlation to its benchmark on a daily basis. The ETF underperformed the S&P 500 Index Total Return by about eight percentage points.

Materials sector performance shadowed sentiment about the economy over the course of 2011, with weak results at mid-year aligning with worries about renewed recession. Falling commodity prices and a strengthening dollar have also presented headwinds recently. The sector stands to benefit from an accommodative Federal Reserve and an expected end to tightening in China, the world’s two-largest economies. Demand may have to come from developing countries, which need more natural resources to support infrastructure spending.

Chemicals was the largest contributor to performance, followed by paper and forest products. Metals/mining and containers/packaging detracted from performance for the year.

Sherwin-Williams Co. and Monsanto Co. were among the stocks with the largest positive contributions to performance for the year. Owens-Illinois, Inc. and AK Steel Holding Corp. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Materials Total Return Index is an unmanaged equal weighted version of the S&P 500 Materials Total Return Index that consists of the common stocks of the following industries: chemicals, construction materials, containers and packaging, metals and mining, and paper and forest products that comprise the Materials sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

	Rydex S&P				S&P 500
	500 Equal		S&P 500		Equal Weighted
	Weight Materials		Total Return		Materials Total
	ETF		Index		Return Index
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
11/30/2009		11013		8583		11332
12/31/2009		11524		8748		11866
1/31/2010		10525		8434		10841
2/28/2010		11266		8695		11614
3/31/2010		12244		9220		12630
4/30/2010		12332		9365		12728
5/31/2010		11399		8617		11767
6/30/2010		10551		8166		10900
7/31/2010		11798		8738		12210
8/31/2010		11390		8344		11784
9/30/2010		12312		9089		12745
10/31/2010		12897		9434		13356
11/30/2010		12976		9436		13443
12/31/2010		14208		10066		14731
1/31/2011		14447		10305		14982
2/28/2011		14791		10658		15346
3/31/2011		15044		10662		15616
4/30/2011		15363		10978		15956
5/31/2011		15162		10854		15751
6/30/2011		14937		10673		15525
7/31/2011		14157		10456		14720
8/31/2011		13115		9888		13642
9/30/2011		11154		9193		11593
10/31/2011		12903		10197		13423

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Materials ETF	0.04%	20.59%	5.23%	5.23%
S&P 500 Equal Weight Materials Total Return Index	0.51%	21.46%	5.88%	6.07%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 47

RYDEX S&P 500 EQUAL WEIGHT MATERIALS ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
PPG INDUSTRIES, INC.		3.55	%
SHERWIN-WILLIAMS CO.(THE)		3.53	%
OWENS-ILLINOIS, INC.		3.50	%
NUCOR CORP.		3.48	%
TITANIUM METALS CORP.		3.42	%
AIRGAS, INC.		3.41	%
AIR PRODUCTS & CHEMICALS, INC.		3.37	%
EASTMAN CHEMICAL CO.		3.34	%
ECOLAB, INC.		3.34	%
MONSANTO CO.		3.33	%

Industry Allocations*

Chemicals	49.58
Metals & Mining	28.21
Containers & Packaging	12.65
Paper & Forest Products	6.40
Construction Materials	3.02
Short-Term Investments	0.14

*  The Fund’s Top Ten Holds 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.

48

RYDEX S&P 500 EQUAL WEIGHT TECHNOLOGY ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Technology ETF returned 3.51% compared to its benchmark S&P 500 Equal Weight Technology Total Return Index* (4.06%) and the capitalization-weighted S&P 500 Technology Total Return Index (8.77%). The fund achieved over 99% correlation to its benchmark on a daily basis. The ETF underperformed the S&P 500 Total Return Index by more than four percentage points.

Technology stocks underperformed the broader market due a range of factors, including inventory worries, management changes and supply chain concerns, earlier in Japan and lately in Thailand. In addition, demand in consumer-related electronics and public-sector spending has been weak. The sector could benefit if investors focus on fundamentals, as companies offer large cash holdings, rising dividend payments and tight inventory controls. Tech outperformed during most of October, but then treaded water as investors feared earnings forecasts might have to be reduced.

IT services and semiconductors/semiconductor equipment were the biggest contributors to performance. Internet software and services, and office electronics, were the biggest detractors from performance.

Teradata Corp. and Electronic Arts, Inc. were among the stocks with largest positive contributions to performance for the year. Akamai Technologies, Inc. and Hewlett-Packard Co. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Technology Total Return Index is an unmanaged equal weighted version of the S&P 500 Information Technology Total Return Index that consists of the common stocks of the following industries: internet equipment, computers and peripherals, electronic equipment, office electronics and instruments, semiconductor equipment and products, diversified telecommunication services, and wireless telecommunication services that comprise the Information Technology sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

					S&P 500
	Rydex S&P				Equal Weighted
	500 Equal		S&P 500		Information Technology
	Weight Technology		Total Return		Total Return
	ETF		Index		Index
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
11/30/2009		8834		8583		8969
12/31/2009		9619		8748		9770
1/31/2010		8827		8434		8967
2/28/2010		9286		8695		9437
3/31/2010		9975		9220		10160
4/30/2010		10205		9365		10398
5/31/2010		9558		8617		9741
6/30/2010		8894		8166		9068
7/31/2010		9501		8738		9692
8/31/2010		8978		8344		9163
9/30/2010		10188		9089		10405
10/31/2010		10705		9434		10936
11/30/2010		10771		9436		11007
12/31/2010		11376		10066		11631
1/31/2011		11809		10305		12085
2/28/2011		12330		10658		12623
3/31/2011		12115		10662		12410
4/30/2011		12469		10978		12779
5/31/2011		12323		10854		12633
6/30/2011		11780		10673		12083
7/31/2011		11090		10456		11379
8/31/2011		10401		9888		10674
9/30/2011		9625		9193		9881
10/31/2011		11080		10197		11381

ANNUAL REPORT 49

RYDEX S&P 500 EQUAL WEIGHT TECHNOLOGY ETF

MANAGER’S ANALYSIS (Unaudited) (concluded)

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Technology ETF	3.51%	20.82%	2.07%	2.07%
S&P 500 Equal Weight Information Technology Total Return Index	4.06%	21.69%	2.34%	2.62%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

50

RYDEX S&P 500 EQUAL WEIGHT TECHNOLOGY ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
CITRIX SYSTEMS, INC.		1.62	%
F5 NETWORKS, INC.		1.59	%
JUNIPER NETWORKS, INC.		1.55	%
RED HAT, INC.		1.55	%
AKAMAI TECHNOLOGIES, INC.		1.53	%
KLA-TENCOR CORP.		1.53	%
AUTODESK, INC.		1.51	%
JABIL CIRCUIT, INC.		1.51	%
SANDISK CORP.		1.51	%
TERADATA CORP.		1.47	%

Industry Allocations*

Semiconductors & Semiconductor Equipment	22.79
IT Services	18.97
Software	17.66
Communications Equipment	12.01
Computers & Peripherals	10.78
Electronic Equipment, Instruments & Components	8.22
Internet Software & Services	8.18
Office Electronics	1.30
Short-Term Investments	0.09

*  The Fund’s Top Ten Holds 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.

ANNUAL REPORT 51

RYDEX S&P 500 EQUAL WEIGHT UTILITIES ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Equal Weight Utilities ETF returned 11.29% while its benchmark, the S&P 500 Equal Weight Telecommunication Services & Utilities Total Return Index*, returned 11.94%. The Fund had a 93% correlation to its benchmark on a daily basis. The ETF, which includes the telecommunications sector, outperformed the S&P 500 Total Return Index by about three percentage points.

Utilities tend to be a more defensive, low-beta sector, and “safe-haven” investors are attracted to the group especially when they are concerned about economic uncertainty. Companies in the sector may also be benefiting from the current low-interest-rate environment, given their relatively higher yields compared with corporate bond yields. But with regulated utilities at record valuations, the sector could be hurt if the economy picks up and the group loses favor. New EPA regulations are expected to move forward despite protests from Republicans, which could boost power prices over time.

Utilities was the biggest contributor to performance while wireless telecommunication services was the largest detractor.

ONEOK, Inc. and CenterPoint Energy, Inc. were among the stocks with largest positive contributions to performance for the year. CenturyLink, Inc. and AES Corp. were among the stocks with the largest negative contributions to performance.

*The S&P 500 Equal Weight Telecommunication Services & Utilities Total Return Index is an unmanaged equal weighted version of the S&P 500 Utilities Total Return Index that consists of the common stocks of the following industries: electric utilities, gas utilities, multi-utilities and unregulated power and water utilities, telecommunication service companies, including fixed-line, cellular, wireless, high bandwidth and fiber-optic cable networks that comprise the Utilities sector of the S&P 500 Total Return Index.

S&P 500 Total Return Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Cumulative Fund Performance: November 1, 2006 – October 31, 2011

	Rydex S&P				S&P 500
	500 Equal		S&P 500		Equal Weighted
	Weight Utilities		Total Return		Utilities Total
	ETF		Index		Return Index
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
11/30/2009		8978		8583		9111
12/31/2009		9571		8748		9727
1/31/2010		9066		8434		9216
2/28/2010		9082		8695		9237
3/31/2010		9405		9220		9575
4/30/2010		9656		9365		9836
5/31/2010		9271		8617		9445
6/30/2010		9122		8166		9295
7/31/2010		9808		8738		10004
8/31/2010		9918		8344		10120
9/30/2010		10420		9089		10641
10/31/2010		10565		9434		10795
11/30/2010		10357		9436		10585
12/31/2010		10821		10066		11066
1/31/2011		10925		10305		11177
2/28/2011		11026		10658		11283
3/31/2011		11213		10662		11483
4/30/2011		11645		10978		11931
5/31/2011		11934		10854		12234
6/30/2011		11808		10673		12111
7/31/2011		11522		10456		11823
8/31/2011		11593		9888		11903
9/30/2011		11330		9193		11636
10/31/2011		11759		10197		12084

52

RYDEX S&P 500 EQUAL WEIGHT UTILITIES ETF

MANAGER’S ANALYSIS (Unaudited) (concluded)

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(11/01/06)
Rydex S&P 500 Equal Weight Utilities ETF	11.29%	13.89%	3.29%	3.29%
S&P 500 Equal Weight Telecommunications Services & Utilities Total Return Index	11.94%	14.64%	3.94%	3.86%
S&P 500 Total Return Index	8.09%	11.41%	0.25%	0.39%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 53

RYDEX S&P 500 EQUAL WEIGHT UTILITIES ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
ONEOK, INC.		2.68	%
EDISON INTERNATIONAL		2.59	%
INTEGRYS ENERGY GROUP, INC.		2.55	%
ENTERGY CORP.		2.54	%
SCANA CORP.		2.54	%
AMEREN CORP.		2.53	%
AMERICAN ELECTRIC POWER CO., INC.		2.52	%
DUKE ENERGY CORP.		2.52	%
CENTERPOINT ENERGY, INC.		2.51	%
DOMINION RESOURCES, INC.		2.50	%

Industry Allocations*

Multi-Utilities	37.00
Electric Utilities	32.29
Diversified Telecommunication Services	11.79
Independent Power Producers & Energy Traders	7.08
Wireless Telecommunication Services	6.31
Gas Utilities	5.14
Short-Term Investments	0.39

*  The Fund’s Top Ten Holds 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.

54

RYDEX S&P 500 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Aerospace & Defense 2.5%
Boeing Co.(The)		90,943		$5,983,140
General Dynamics Corp.		97,904		6,284,458
Goodrich Corp.		65,775		8,065,988
Honeywell International, Inc.		126,672		6,637,613
L-3 Communications Holdings, Inc.		88,478		5,997,039
Lockheed Martin Corp.		78,939		5,991,470
Northrop Grumman Corp.		108,630		6,273,382
Precision Castparts Corp.		34,758		5,670,768
Raytheon Co.		140,925		6,227,476
Rockwell Collins, Inc.		106,783		5,961,695
Textron, Inc.		312,913		6,076,770
United Technologies Corp.		78,750		6,140,925
Total Aerospace & Defense				75,310,724
Air Freight & Logistics 0.8%
C.H. Robinson Worldwide, Inc.		84,503		5,867,043
Expeditors International of Washington, Inc.		133,467		6,086,095
FedEx Corp.		77,969		6,380,203
United Parcel Service, Inc. — Class B		89,807		6,308,044
Total Air Freight & Logistics				24,641,385
Airlines 0.2%
Southwest Airlines Co.		667,288		5,705,312
Total Airlines				5,705,312
Auto Components 0.5%
Goodyear Tire & Rubber Co.(The)*		536,236		7,700,349
Johnson Controls, Inc.		196,021		6,454,971
Total Auto Components				14,155,320
Automobiles 0.4%
Ford Motor Co.*		563,490		6,581,563
Harley-Davidson, Inc.		158,849		6,179,226
Total Automobiles				12,760,789
Beverages 1.6%
Beam, Inc.		132,946		6,571,521
Brown-Forman Corp. — Class B		84,314		6,300,785
Coca-Cola Co.(The)		83,201		5,684,292
Coca-Cola Enterprises, Inc.		216,312		5,801,488
Constellation Brands, Inc. — Class A*		308,368		6,235,201
Dr Pepper Snapple Group, Inc.		155,155		5,810,555
Molson Coors Brewing Co. — Class B		137,942		5,840,464
PepsiCo, Inc.		95,394		6,005,052
Total Beverages				48,249,358
Biotechnology 0.8%
Amgen, Inc.		104,865		6,005,619
Biogen Idec, Inc.*		58,529		6,810,434
Celgene Corp.*		96,815		6,276,517
Gilead Sciences, Inc.*		146,158		6,088,942
Total Biotechnology				25,181,512
Building Products 0.2%
Masco Corp.		746,109		7,162,646
Total Building Products				7,162,646
Capital Markets 3.0%
Ameriprise Financial, Inc.		133,254		6,220,297
Bank of New York Mellon Corp.(The)		282,859		6,019,240
BlackRock, Inc.		37,220		5,872,944
Charles Schwab Corp.(The)		482,158		5,920,900
E*Trade Financial Corp.*		517,700		5,617,045
Federated Investors, Inc. — Class B		337,943		6,603,406
Franklin Resources, Inc.		50,219		5,354,852
Goldman Sachs Group, Inc.(The)		55,475		6,077,286
Invesco Ltd.		326,828		6,559,438
Janus Capital Group, Inc.		868,002		5,694,093
Legg Mason, Inc.		203,905		5,607,387
Morgan Stanley		365,100		6,440,364
Northern Trust Corp.		161,027		6,516,763
State Street Corp.		172,558		6,969,618
T. Rowe Price Group, Inc.		112,937		5,967,591
Total Capital Markets				91,441,224
Chemicals 3.0%
Air Products & Chemicals, Inc.		72,167		6,216,465
Airgas, Inc.		91,228		6,290,171
CF Industries Holdings, Inc.		33,882		5,498,032
Dow Chemical Co.(The)		210,560		5,870,413
Du Pont (E.I.) de Nemours & Co.		126,506		6,081,143
Eastman Chemical Co.		156,623		6,153,718
Ecolab, Inc.		114,289		6,153,320
FMC Corp.		77,400		6,106,086
International Flavors & Fragrances, Inc.		98,804		5,983,570
Monsanto Co.		84,740		6,164,835
Mosaic Co.(The)		101,052		5,917,605
PPG Industries, Inc.		75,908		6,559,210
Praxair, Inc.		59,216		6,020,491
Sherwin-Williams Co.(The)		78,797		6,517,300
Sigma-Aldrich Corp.		91,298		5,978,193
Total Chemicals				91,510,552
Commercial Banks 2.6%
BB&T Corp.		264,165		6,165,611
Comerica, Inc.		240,772		6,151,725
Fifth Third Bancorp		565,149		6,787,440
First Horizon National Corp.		891,159		6,229,201
Huntington Bancshares, Inc.		1,167,394		6,047,101
KeyCorp		913,791		6,451,364
M&T Bank Corp.		80,597		6,134,238
PNC Financial Services Group, Inc.		115,852		6,222,411
Regions Financial Corp.		1,500,130		5,895,511
SunTrust Banks, Inc.		300,011		5,919,217
US Bancorp		248,443		6,357,656
Wells Fargo & Co.		239,185		6,197,283
Zions Bancorp		349,096		6,060,307
Total Commercial Banks				80,619,065
Commercial Services & Supplies 1.5%
Avery Dennison Corp.		213,164		5,670,162
Cintas Corp.		188,350		5,629,782
Iron Mountain, Inc.		175,896		5,440,463
Pitney Bowes, Inc.		290,493		5,920,247
R.R. Donnelley & Sons Co.		396,731		6,466,715
Republic Services, Inc.		206,345		5,872,579
Stericycle, Inc.*		70,770		5,914,957
Waste Management, Inc.		186,125		6,129,096
Total Commercial Services & Supplies				47,044,001
Communications Equipment 1.8%
Cisco Systems, Inc.		356,362		6,603,388
F5 Networks, Inc.*		71,007		7,381,178
Harris Corp.		145,400		5,488,850
JDS Uniphase Corp.*		448,371		5,380,452
Juniper Networks, Inc.*		294,186		7,198,731
Motorola Mobility Holdings, Inc.*		155,865		6,060,031

See Notes to Financial Statements.

ANNUAL REPORT 55

RYDEX S&P 500 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Motorola Solutions, Inc.		133,302		$6,253,197
QUALCOMM, Inc.		110,406		5,696,950
Tellabs, Inc.		1,325,318		5,738,627
Total Communications Equipment				55,801,404
Computers & Peripherals 1.6%
Apple, Inc.*		14,727		5,961,195
Dell, Inc.*		390,812		6,178,738
EMC Corp.*		261,726		6,414,904
Hewlett-Packard Co.		253,675		6,750,292
Lexmark International, Inc. — Class A*		188,350		5,970,695
NetApp, Inc.*		157,760		6,461,850
SanDisk Corp.*		138,723		7,029,094
Western Digital Corp.*		198,555		5,289,505
Total Computers & Peripherals				50,056,273
Construction & Engineering 0.6%
Fluor Corp.		97,738		5,556,405
Jacobs Engineering Group, Inc.*		162,353		6,299,297
Quanta Services, Inc.*		315,590		6,592,675
Total Construction & Engineering				18,448,377
Construction Materials 0.2%
Vulcan Materials Co.		178,453		5,583,794
Total Construction Materials				5,583,794
Consumer Finance 0.8%
American Express Co.		118,669		6,007,025
Capital One Financial Corp.		138,036		6,302,724
Discover Financial Services		223,439		5,264,223
SLM Corp.		443,826		6,067,101
Total Consumer Finance				23,641,073
Containers & Packaging 0.8%
Ball Corp.		172,605		5,966,955
Bemis Co., Inc.		191,003		5,369,094
Owens-Illinois, Inc.*		322,763		6,481,081
Sealed Air Corp.		311,613		5,546,712
Total Containers & Packaging				23,363,842
Distributors 0.2%
Genuine Parts Co.		112,181		6,442,555
Total Distributors				6,442,555
Diversified Consumer Services 0.6%
Apollo Group, Inc. — Class A*		124,943		5,916,051
DeVry, Inc.		141,280		5,323,431
H&R Block, Inc.		419,935		6,420,806
Total Diversified Consumer Services				17,660,288
Diversified Financial Services 1.8%
Bank of America Corp.		823,747		5,626,192
Citigroup, Inc.		207,554		6,556,631
CME Group, Inc. — Class A		22,114		6,093,734
IntercontinentalExchange, Inc.*		47,638		6,187,223
JPMorgan Chase & Co.		178,003		6,187,384
Leucadia National Corp.		207,670		5,571,786
Moody’s Corp.		182,550		6,478,700
Nasdaq OMX Group, Inc.(The)*		236,107		5,914,480
NYSE Euronext		212,142		5,636,613
Total Diversified Financial Services				54,252,743
Diversified Telecommunication Services 0.9%
AT&T, Inc.		205,942		6,036,160
CenturyTel, Inc.		171,398		6,043,493
Frontier Communications Corp.		836,910		5,239,057
Verizon Communications, Inc.		161,903		5,987,173
Windstream Corp.		458,028		5,574,201
Total Diversified Telecommunication Services				28,880,084
Electric Utilities 2.6%
American Electric Power Co., Inc.		157,522		6,187,464
Duke Energy Corp.		302,283		6,172,619
Edison International		156,789		6,365,633
Entergy Corp.		90,067		6,229,934
Exelon Corp.		135,716		6,024,433
FirstEnergy Corp.		130,436		5,864,403
NextEra Energy, Inc.		106,949		6,031,924
Northeast Utilities		170,923		5,908,808
Pepco Holdings, Inc.		307,705		6,092,559
Pinnacle West Capital Corp.		133,940		6,104,985
PPL Corp.		204,569		6,008,192
Progress Energy, Inc.		116,822		6,086,426
Southern Co.		139,008		6,005,146
Total Electric Utilities				79,082,526
Electrical Equipment 0.6%
Emerson Electric Co.		129,466		6,229,904
Rockwell Automation, Inc.		99,135		6,706,483
Roper Industries, Inc.		78,157		6,338,532
Total Electrical Equipment				19,274,919
Electronic Equipment, Instruments & Components 1.2%
Amphenol Corp. — Class A		133,372		6,333,836
Corning, Inc.		425,570		6,081,395
FLIR Systems, Inc.		212,737		5,594,983
Jabil Circuit, Inc.		340,500		7,000,680
Molex, Inc.		275,459		6,801,083
TE Connectivity Ltd.		177,223		6,300,278
Total Electronic Equipment, Instruments & Components				38,112,255
Energy Equipment & Services 2.1%
Baker Hughes, Inc.		100,840		5,847,712
Cameron International Corp.*		112,442		5,525,400
Diamond Offshore Drilling, Inc.		93,524		6,129,563
FMC Technologies, Inc.*		136,805		6,131,600
Halliburton Co.		148,999		5,566,603
Helmerich & Payne, Inc.		111,305		5,919,200
Nabors Industries Ltd.*		324,468		5,947,498
National-Oilwell Varco, Inc.		91,251		6,508,934
Noble Corp.		167,515		6,020,489
Rowan Cos., Inc.*		156,576		5,400,306
Schlumberger Ltd.		80,762		5,933,584
Total Energy Equipment & Services				64,930,889
Food & Staples Retailing 1.8%
Costco Wholesale Corp.		70,249		5,848,229
CVS Caremark Corp.		162,945		5,914,903
Kroger Co.(The)		262,503		6,084,820
Safeway, Inc.		329,605		6,384,449
SUPERVALU, Inc.		768,647		6,164,549
Sysco Corp.		215,568		5,975,545
Wal-Mart Stores, Inc.		111,850		6,344,132

See Notes to Financial Statements.

56

RYDEX S&P 500 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Walgreen Co.		159,914		$5,309,145
Whole Foods Market, Inc.		86,160		6,213,859
Total Food & Staples Retailing				54,239,631
Food Products 3.0%
Archer-Daniels-Midland Co.		208,074		6,021,662
Campbell Soup Co.		188,610		6,271,282
ConAgra Foods, Inc.		248,016		6,282,245
Dean Foods Co.*		655,545		6,371,897
General Mills, Inc.		156,362		6,024,628
H.J. Heinz Co.		115,449		6,169,595
Hershey Co.(The)		99,964		5,720,940
Hormel Foods Corp.		211,743		6,240,066
J.M. Smucker Co.(The)		80,241		6,180,162
Kellogg Co.		110,051		5,965,865
Kraft Foods, Inc. — Class A		169,196		5,952,315
McCormick & Co., Inc.		125,914		6,114,384
Mead Johnson Nutrition Co.		77,873		5,595,175
Sara Lee Corp.		337,586		6,009,031
Tyson Foods, Inc. — Class A		340,333		6,568,427
Total Food Products				91,487,674
Gas Utilities 0.4%
Nicor, Inc.		106,949		6,015,881
Oneok, Inc.		86,208		6,556,119
Total Gas Utilities				12,572,000
Health Care Equipment & Supplies 2.7%
Baxter International, Inc.		105,197		5,783,731
Becton, Dickinson and Co.		76,666		5,997,581
Boston Scientific Corp.*		904,814		5,329,355
C.R. Bard, Inc.		64,520		5,545,494
CareFusion Corp.*		240,701		6,161,946
Covidien PLC		123,097		5,790,483
DENTSPLY International, Inc.		172,250		6,366,360
Edwards Lifesciences Corp.*		77,708		5,860,737
Intuitive Surgical, Inc.*		15,248		6,615,497
Medtronic, Inc.		170,735		5,931,334
St Jude Medical, Inc.		136,616		5,328,024
Stryker Corp.		119,876		5,743,259
Varian Medical Systems, Inc.*		109,885		6,452,447
Zimmer Holdings, Inc.*		104,676		5,509,098
Total Health Care Equipment & Supplies				82,415,346
Health Care Providers & Services 3.2%
Aetna, Inc.		143,838		5,718,999
AmerisourceBergen Corp.		151,486		6,180,629
Cardinal Health, Inc.		139,079		6,157,027
CIGNA Corp.		128,613		5,702,700
Coventry Health Care, Inc.*		176,204		5,605,049
DaVita, Inc.*		81,259		5,688,130
Express Scripts, Inc.*		144,714		6,617,771
Humana, Inc.		75,601		6,417,769
Laboratory Corp. of America Holdings*		71,315		5,979,763
McKesson Corp.		78,087		6,367,995
Medco Health Solutions, Inc.*		118,693		6,511,498
Patterson Cos., Inc.		212,406		6,684,417
Quest Diagnostics, Inc.		121,297		6,768,372
Tenet Healthcare Corp.*		1,251,916		5,921,563
UnitedHealth Group, Inc.		118,030		5,664,260
WellPoint, Inc.		88,647		6,107,778
Total Health Care Providers & Services				98,093,720
Health Care Technology 0.2%
Cerner Corp.*		88,315		5,601,820
Total Health Care Technology				5,601,820
Hotels, Restaurants & Leisure 2.2%
Carnival Corp.		177,483		6,249,176
Chipotle Mexican Grill, Inc.*		18,681		6,279,058
Darden Restaurants, Inc.		130,413		6,244,174
International Game Technology		392,377		6,901,911
Marriott International, Inc. — Class A		204,854		6,452,901
McDonald’s Corp.		66,982		6,219,279
Starbucks Corp.		151,746		6,424,926
Starwood Hotels & Resorts Worldwide, Inc.		131,715		6,600,239
Wyndham Worldwide Corp.		186,860		6,291,576
Wynn Resorts Ltd.		39,470		5,241,616
Yum! Brands, Inc.		110,453		5,916,967
Total Hotels, Restaurants & Leisure				68,821,823
Household Durables 1.5%
DR Horton, Inc.		611,598		6,807,086
Harman International Industries, Inc.		175,991		7,595,771
Leggett & Platt, Inc.		275,055		6,023,704
Lennar Corp. — Class A		427,842		7,076,507
Newell Rubbermaid, Inc.		455,710		6,744,508
Pulte Homes, Inc.*		1,324,239		6,859,558
Whirlpool Corp.		109,316		5,554,346
Total Household Durables				46,661,480
Household Products 0.8%
Clorox Co.(The)		85,213		5,704,158
Colgate-Palmolive Co.		63,668		5,753,677
Kimberly-Clark Corp.		85,142		5,935,249
Procter & Gamble Co.(The)		92,483		5,917,987
Total Household Products				23,311,071
Independent Power Producers & Energy Traders 0.6%
AES Corp.(The)*		535,715		6,010,722
Constellation Energy Group, Inc.		150,774		5,985,728
NRG Energy, Inc.*		249,814		5,351,016
Total Independent Power Producers & Energy Traders				17,347,466
Industrial Conglomerates 0.8%
3M Co.		73,541		5,811,210
Danaher Corp.		128,944		6,234,443
General Electric Co.		364,720		6,094,471
Tyco International Ltd.		131,642		5,996,293
Total Industrial Conglomerates				24,136,417
Insurance 4.6%
ACE Ltd.		95,111		6,862,259
AFLAC, Inc.		163,466		7,370,682
Allstate Corp.(The)		238,048		6,270,184
American International Group, Inc.*		237,766		5,870,443
Aon Corp.		135,764		6,329,318
Assurant, Inc.		166,142		6,403,113
Berkshire Hathaway, Inc. — Class B*		82,870		6,452,258
Chubb Corp.(The)		98,591		6,610,527
Cincinnati Financial Corp.		213,519		6,179,240
Genworth Financial, Inc. — Class A*		973,104		6,208,403
Hartford Financial Services Group, Inc.		313,720		6,039,110
Lincoln National Corp.		307,208		5,852,312
Loews Corp.		158,186		6,279,984
Marsh & McLennan Cos., Inc.		209,210		6,406,010

See Notes to Financial Statements.

ANNUAL REPORT 57

RYDEX S&P 500 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
MetLife, Inc.		181,248		$6,372,680
Principal Financial Group, Inc.		232,863		6,003,208
Progressive Corp.(The)		325,938		6,196,081
Prudential Financial, Inc.		115,875		6,280,425
Torchmark Corp.		159,559		6,530,750
Travelers Cos., Inc.(The)		118,125		6,892,594
Unum Group		257,393		6,136,249
XL Group PLC		297,668		6,471,302
Total Insurance				140,017,132
Internet & Catalog Retail 0.6%
Amazon.com, Inc.*		25,406		5,424,435
Expedia, Inc.		200,426		5,263,187
Netflix, Inc.*		36,936		3,031,707
priceline.com, Inc.*		11,365		5,770,238
Total Internet & Catalog Retail				19,489,567
Internet Software & Services 1.2%
Akamai Technologies, Inc.*		263,407		7,096,185
eBay, Inc.*		179,804		5,723,161
Google, Inc. — Class A*		10,774		6,385,103
Monster Worldwide, Inc.*		662,368		6,113,657
VeriSign, Inc.		203,361		6,525,854
Yahoo!, Inc.*		389,625		6,093,735
Total Internet Software & Services				37,937,695
IT Services 2.9%
Accenture PLC — Class A		109,460		6,596,060
Automatic Data Processing, Inc.		116,893		6,117,011
Cognizant Technology Solutions Corp. — Class A*		91,391		6,648,695
Computer Sciences Corp.		203,267		6,394,780
Fidelity National Information Services, Inc.		225,405		5,901,103
Fiserv, Inc.*		108,985		6,415,947
International Business Machines Corp.		34,592		6,386,721
Mastercard, Inc. — Class A		17,071		5,927,734
Paychex, Inc.		218,491		6,366,828
SAIC, Inc.*		455,165		5,657,701
Teradata Corp.*		114,337		6,821,345
Total System Services, Inc.		323,356		6,431,551
Visa, Inc. — Class A		65,325		6,092,209
Western Union Co.(The)		360,198		6,292,659
Total IT Services				88,050,344
Leisure Equipment & Products 0.4%
Hasbro, Inc.		163,726		6,231,412
Mattel, Inc.		219,343		6,194,246
Total Leisure Equipment & Products				12,425,658
Life Sciences Tools & Services 1.0%
Agilent Technologies, Inc.*		163,868		6,074,587
Life Technologies Corp.*		145,802		5,929,767
PerkinElmer, Inc.		281,587		5,820,403
Thermo Fisher Scientific, Inc.*		108,962		5,477,520
Waters Corp.*		72,191		5,783,943
Total Life Sciences Tools & Services				29,086,220
Machinery 3.1%
Caterpillar, Inc.		68,852		6,503,760
Cummins, Inc.		60,708		6,036,196
Deere & Co.		75,908		5,761,417
Dover Corp.		112,962		6,272,780
Eaton Corp.		147,057		6,591,095
Flowserve Corp.		66,793		6,191,043
Illinois Tool Works, Inc.		130,389		6,340,817
Ingersoll-Rand PLC		165,786		5,160,918
Joy Global, Inc.		72,878		6,354,962
PACCAR, Inc.		156,197		6,753,958
Pall Corp.		132,662		6,788,315
Parker Hannifin Corp.		84,550		6,895,052
Snap-on, Inc.		114,904		6,166,898
Stanley Black & Decker, Inc.		103,728		6,623,033
Xylem, Inc.*		223,706		5,981,899
Total Machinery				94,422,143
Media 3.2%
Cablevision Systems Corp. — Class A		331,430		4,795,792
CBS Corp. — Class B		248,018		6,401,345
Comcast Corp. — Class A		259,997		6,096,930
DIRECTV — Class A*		135,479		6,158,875
Discovery Communications, Inc. — Class A*		147,792		6,423,040
Gannett Co., Inc.		587,922		6,872,808
Interpublic Group of Cos., Inc.(The)		744,095		7,054,021
McGraw-Hill Cos., Inc.(The)		130,365		5,540,512
News Corp. — Class A		351,746		6,162,590
Omnicom Group, Inc.		149,283		6,640,108
Scripps Networks Interactive, Inc. — Class A		138,463		5,881,908
Time Warner Cable, Inc.		91,062		5,799,739
Time Warner, Inc.		192,328		6,729,557
Viacom, Inc. — Class B		126,766		5,558,689
Walt Disney Co.(The)		180,347		6,290,503
Washington Post Co.(The) — Class B		16,905		5,750,405
Total Media				98,156,822
Metals & Mining 1.7%
AK Steel Holding Corp.		696,433		5,801,287
Alcoa, Inc.		497,311		5,351,066
Allegheny Technologies, Inc.		125,677		5,831,413
Cliffs Natural Resources, Inc.		75,932		5,180,081
Freeport-McMoRan Copper & Gold, Inc.		141,659		5,703,191
Newmont Mining Corp.		91,015		6,082,532
Nucor Corp.		170,025		6,423,545
Titanium Metals Corp.		375,329		6,286,761
United States Steel Corp.		212,856		5,398,028
Total Metals & Mining				52,057,904
Multi-Utilities 3.0%
Ameren Corp.		194,530		6,201,616
CenterPoint Energy, Inc.		295,509		6,158,408
CMS Energy Corp.		290,445		6,047,065
Consolidated Edison, Inc.		102,616		5,938,388
Dominion Resources, Inc.		118,740		6,125,797
DTE Energy Co.		116,822		6,087,594
Integrys Energy Group, Inc.		118,219		6,254,967
NiSource, Inc.		265,773		5,870,926
PG&E Corp.		139,362		5,978,630
Public Service Enterprise Group, Inc.		171,586		5,782,448
SCANA Corp.		147,483		6,235,581
Sempra Energy		111,116		5,970,263
TECO Energy, Inc.		318,952		5,922,939
Wisconsin Energy Corp.		185,603		6,019,105
Xcel Energy, Inc.		233,786		6,043,368
Total Multi-Utilities				90,637,095

See Notes to Financial Statements.

58

RYDEX S&P 500 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Multiline Retail 1.7%
Big Lots, Inc.*		176,512		$6,652,737
Family Dollar Stores, Inc.		110,263		6,464,720
J.C. Penney Co., Inc.		211,317		6,779,049
Kohl’s Corp.		123,878		6,566,773
Macy’s, Inc.		213,045		6,504,264
Nordstrom, Inc.		124,280		6,299,753
Sears Holdings Corp.*		95,465		7,463,454
Target Corp.		111,873		6,125,047
Total Multiline Retail				52,855,797
Office Electronics 0.2%
Xerox Corp.		739,811		6,051,654
Total Office Electronics				6,051,654
Oil, Gas & Consumable Fuels 6.2%
Alpha Natural Resources, Inc.*		200,710		4,825,068
Anadarko Petroleum Corp.		79,933		6,274,741
Apache Corp.		60,708		6,048,338
Cabot Oil & Gas Corp.		83,840		6,516,045
Chesapeake Energy Corp.		187,685		5,277,702
Chevron Corp.		59,855		6,287,768
ConocoPhillips		88,434		6,159,428
Consol Energy, Inc.		137,942		5,898,400
Denbury Resources, Inc.*		410,133		6,439,088
Devon Energy Corp.		90,636		5,886,808
El Paso Corp.		305,669		7,644,782
EOG Resources, Inc.		65,633		5,869,559
EQT Corp.		96,745		6,143,308
Exxon Mobil Corp.		79,981		6,245,716
Hess Corp.		96,531		6,038,979
Marathon Oil Corp.		233,502		6,078,057
Marathon Petroleum Corp.		168,888		6,063,079
Murphy Oil Corp.		113,791		6,300,608
Newfield Exploration Co.*		120,420		4,848,109
Noble Energy, Inc.		72,191		6,449,544
Occidental Petroleum Corp.		71,173		6,614,819
Peabody Energy Corp.		128,211		5,560,511
Pioneer Natural Resources Co.		74,607		6,259,527
QEP Resources, Inc.		175,494		6,238,812
Range Resources Corp.		93,690		6,449,620
Southwestern Energy Co.*		152,385		6,406,265
Spectra Energy Corp.		227,512		6,513,669
Sunoco, Inc.		159,275		5,929,808
Tesoro Corp.*		250,313		6,493,119
Valero Energy Corp.		267,976		6,592,210
Williams Cos., Inc.(The)		219,012		6,594,451
Total Oil, Gas & Consumable Fuels				190,947,938
Paper & Forest Products 0.4%
International Paper Co.		212,169		5,877,081
MeadWestvaco Corp.		212,477		5,930,233
Total Paper & Forest Products				11,807,314
Personal Products 0.4%
Avon Products, Inc.		271,624		4,965,287
Estee Lauder Cos., Inc.(The) — Class A		58,885		5,797,228
Total Personal Products				10,762,515
Pharmaceuticals 2.1%
Abbott Laboratories		114,549		6,170,755
Allergan, Inc.		71,660		6,028,039
Bristol-Myers Squibb Co.		196,108		6,195,052
Eli Lilly & Co.		157,831		5,865,000
Forest Laboratories, Inc.*		178,998		5,602,637
Hospira, Inc.*		149,899		4,714,324
Johnson & Johnson, Inc.		91,819		5,912,225
Merck & Co., Inc.		181,318		6,255,471
Mylan, Inc.*		285,661		5,590,386
Pfizer, Inc.		322,739		6,215,953
Watson Pharmaceuticals, Inc.*		88,102		5,916,930
Total Pharmaceuticals				64,466,772
Professional Services 0.6%
Dun & Bradstreet Corp.(The)		89,689		5,996,607
Equifax, Inc.		184,776		6,494,876
Robert Half International, Inc.		263,502		6,964,358
Total Professional Services				19,455,841
Real Estate Investment Trusts (REITs) 3.0%
Apartment Investment & Management Co. — Class A		222,492		5,488,878
AvalonBay Communities, Inc.		46,004		6,150,275
Boston Properties, Inc.		57,772		5,718,850
Equity Residential		102,379		6,007,600
HCP, Inc.		160,270		6,386,759
Health Care REIT, Inc.		117,580		6,195,290
Host Hotels & Resorts, Inc.		496,343		7,082,815
Kimco Realty Corp.		356,791		6,233,139
Plum Creek Timber Co., Inc.		160,933		6,060,737
ProLogis, Inc.		215,462		6,412,149
Public Storage		48,633		6,276,089
Simon Property Group, Inc.		49,935		6,413,651
Ventas, Inc.		111,543		6,202,906
Vornado Realty Trust		69,397		5,746,765
Weyerhaeuser Co.		336,853		6,056,617
Total Real Estate Investment Trusts (REITs)				92,432,520
Real Estate Management & Development 0.2%
CBRE Group, Inc.*		393,805		7,001,853
Total Real Estate Management & Development				7,001,853
Road & Rail 0.8%
CSX Corp.		278,678		6,189,438
Norfolk Southern Corp.		84,148		6,226,111
Ryder System, Inc.		130,389		6,642,016
Union Pacific Corp.		64,544		6,426,646
Total Road & Rail				25,484,211
Semiconductors & Semiconductor Equipment 3.5%
Advanced Micro Devices, Inc.*		819,955		4,780,338
Altera Corp.		154,018		5,840,363
Analog Devices, Inc.		171,303		6,264,551
Applied Materials, Inc.		510,664		6,291,381
Broadcom Corp. — Class A*		166,023		5,991,770
First Solar, Inc.*		68,734		3,420,891
Intel Corp.		270,675		6,642,365
KLA-Tencor Corp.		150,633		7,093,308
Linear Technology Corp.		193,749		6,260,030
LSI Corp.*		887,576		5,547,350
MEMC Electronic Materials, Inc.*		847,591		5,077,070
Microchip Technology, Inc.		171,090		6,186,614
Micron Technology, Inc.*		844,463		4,720,548
Novellus Systems, Inc.*		195,808		6,765,166
NVIDIA Corp.*		380,440		5,630,512
Teradyne, Inc.*		467,692		6,697,349

See Notes to Financial Statements.

ANNUAL REPORT 59

RYDEX S&P 500 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Texas Instruments, Inc.		212,737		$6,537,408
Xilinx, Inc.		185,911		6,220,582
Total Semiconductors & Semiconductor Equipment				105,967,596
Software 2.7%
Adobe Systems, Inc.*		232,200		6,829,002
Autodesk, Inc.*		202,225		6,996,985
BMC Software, Inc.*		140,618		4,887,882
CA, Inc.		278,323		6,028,476
Citrix Systems, Inc.*		102,924		7,495,955
Compuware Corp.*		700,412		5,918,481
Electronic Arts, Inc.*		259,098		6,049,938
Intuit, Inc.		120,990		6,493,533
Microsoft Corp.		218,420		5,816,525
Oracle Corp.		203,101		6,655,620
Red Hat, Inc.*		144,809		7,189,767
Salesforce.com, Inc.*		44,134		5,877,325
Symantec Corp.*		338,341		5,755,180
Total Software				81,994,669
Specialty Retail 3.4%
Abercrombie & Fitch Co. — Class A		87,226		6,489,614
AutoNation, Inc.*		157,759		6,143,135
AutoZone, Inc.*		17,923		5,799,704
Bed Bath & Beyond, Inc.*		98,614		6,098,290
Best Buy Co., Inc.		232,271		6,092,468
CarMax, Inc.*		201,065		6,044,014
GameStop Corp. — Class A*		238,569		6,100,209
Gap, Inc.(The)		346,204		6,543,256
Home Depot, Inc.		170,853		6,116,537
Limited Brands, Inc.		147,815		6,313,179
Lowe’s Cos., Inc.		292,140		6,140,783
O’Reilly Automotive, Inc.*		82,869		6,302,187
Ross Stores, Inc.		73,067		6,410,168
Staples, Inc.		400,710		5,994,622
Tiffany & Co.		78,987		6,297,633
TJX Cos., Inc.		103,989		6,128,072
Urban Outfitters, Inc.*		237,455		6,470,649
Total Specialty Retail				105,484,520
Textiles, Apparel & Luxury Goods 0.8%
Coach, Inc.		100,059		6,510,839
NIKE, Inc. — Class B		66,414		6,398,989
Ralph Lauren Corp.		40,630		6,451,637
V.F. Corp.		47,567		6,574,711
Total Textiles, Apparel & Luxury Goods				25,936,176
Thrifts & Mortgage Finance 0.4%
Hudson City Bancorp, Inc.		1,001,211		6,257,569
People’s United Financial, Inc.		485,380		6,188,595
Total Thrifts & Mortgage Finance				12,446,164
Tobacco 0.8%
Altria Group, Inc.		220,645		6,078,770
Lorillard, Inc.		53,060		5,871,620
Philip Morris International, Inc.		86,066		6,013,431
Reynolds American, Inc.		156,670		6,059,995
Total Tobacco				24,023,816
Trading Companies & Distributors 0.4%
Fastenal Co.		164,413		6,262,491
W.W. Grainger, Inc.		36,770		6,299,069
Total Trading Companies & Distributors				12,561,560
Wireless Telecommunication Services 0.5%
American Tower Corp. — Class A*		108,985		6,005,074
MetroPCS Communications, Inc.*		581,196		4,940,166
Sprint Nextel Corp.*		1,756,586		4,514,426
Total Wireless Telecommunication Services				15,459,666
Total Common Stocks (Cost $3,181,844,618)				3,061,422,520
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		880,646		880,646
Total Short Term Investments (Cost $880,646)				880,646
Total Investments 100.0%(a) (Cost $3,182,725,264)				3,062,303,166
Other Assets in Excess of Liabilities—0.0%(b)				1,505,687
Net Assets—100.0%				$3,063,808,853

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

60

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.8%
Aerospace & Defense 1.5%
Alliant Techsystems, Inc.		114		$6,621
BE Aerospace, Inc.*		207		7,810
Esterline Technologies Corp.*		112		6,261
Exelis, Inc.*		557		6,294
Huntington Ingalls Industries, Inc.*		237		6,992
Triumph Group, Inc.		133		7,727
Total Aerospace & Defense				41,705
Air Freight & Logistics 0.2%
UTi Worldwide, Inc.		467		6,823
Total Air Freight & Logistics				6,823
Airlines 0.5%
Alaska Air Group, Inc.*		113		7,518
JetBlue Airways Corp.*		1,505		6,742
Total Airlines				14,260
Auto Components 0.5%
BorgWarner, Inc.*		98		7,496
Gentex Corp.		263		7,922
Total Auto Components				15,418
Automobiles 0.3%
Thor Industries, Inc.		309		8,170
Total Automobiles				8,170
Beverages 0.2%
Hansen Natural Corp.*		75		6,682
Total Beverages				6,682
Biotechnology 0.4%
United Therapeutics Corp.*		153		6,691
Vertex Pharmaceuticals, Inc.*		134		5,305
Total Biotechnology				11,996
Building Products 0.5%
Fortune Brands Home & Security, Inc.*		396		5,754
Lennox International, Inc.		219		7,050
Total Building Products				12,804
Capital Markets 2.0%
Affiliated Managers Group, Inc.*		79		7,316
Apollo Investment Corp.		833		6,897
Eaton Vance Corp.		283		7,440
Greenhill & Co., Inc.		222		8,387
Jefferies Group, Inc.		464		6,153
Raymond James Financial, Inc.		246		7,471
SEI Investments Co.		404		6,541
Waddell & Reed Financial, Inc. — Class A		219		6,073
Total Capital Markets				56,278
Chemicals 3.0%
Albemarle Corp.		147		7,834
Ashland, Inc.		131		6,938
Cabot Corp.		206		6,217
Cytec Industries, Inc.		170		7,594
Intrepid Potash, Inc.*		199		5,538
Minerals Technologies, Inc.		126		6,910
NewMarket Corp.		41		7,960
Olin Corp.		345		6,507
RPM International, Inc.		352		7,909
Scotts Miracle-Gro Co.(The) — Class A		144		6,985
Sensient Technologies Corp.		191		7,059
Valspar Corp.		208		7,253
Total Chemicals				84,704
Commercial Banks 5.2%
Associated Banc-Corp.		665		7,415
BancorpSouth, Inc.		659		6,438
Bank of Hawaii Corp.		170		7,179
Cathay General Bancorp		566		7,918
City National Corp.		161		6,830
Commerce Bancshares, Inc.		183		7,100
Cullen/Frost Bankers, Inc.		139		6,817
East West Bancorp, Inc.		408		7,944
FirstMerit Corp.		560		7,846
Fulton Financial Corp.		779		7,354
Hancock Holding Co.		234		7,090
International Bancshares Corp.		464		8,408
Prosperity Bancshares, Inc.		190		7,313
SVB Financial Group*		158		7,258
Synovus Financial Corp.		4,909		7,363
TCF Financial Corp.		668		7,108
Trustmark Corp.		336		7,439
Valley National Bancorp		615		7,380
Webster Financial Corp.		382		7,502
Westamerica Bancorp		166		7,440
Total Commercial Banks				147,142
Commercial Services & Supplies 2.6%
Brink’s Co.(The)		261		7,253
Clean Harbors, Inc.*		122		7,109
Copart, Inc.*		164		7,142
Corrections Corp. of America*		285		6,336
Deluxe Corp.		309		7,299
Herman Miller, Inc.		376		7,764
HNI Corp.		371		8,923
Mine Safety Appliances Co.		217		7,280
Rollins, Inc.		334		7,274
Waste Connections, Inc.		201		6,844
Total Commercial Services & Supplies				73,224
Communications Equipment 1.2%
ADTRAN, Inc.		217		7,291
Ciena Corp.*		522		6,880
Plantronics, Inc.		221		7,384
Polycom, Inc.*		308		5,091
Riverbed Technology, Inc.*		283		7,805
Total Communications Equipment				34,451
Computers & Peripherals 0.8%
Diebold, Inc.		237		7,650
NCR Corp.*		369		7,026
QLogic Corp.*		469		6,552
Total Computers & Peripherals				21,228
Construction & Engineering 1.2%
Aecom Technology Corp.*		326		6,820
Granite Construction, Inc.		327		7,357
KBR, Inc.		233		6,503
Shaw Group, Inc.(The)*		281		6,536
URS Corp.*		207		7,390
Total Construction & Engineering				34,606

See Notes to Financial Statements.

ANNUAL REPORT 61

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Construction Materials 0.3%
Martin Marietta Materials, Inc.		99		$7,145
Total Construction Materials				7,145
Containers & Packaging 1.7%
AptarGroup, Inc.		137		6,572
Greif, Inc. — Class A		141		6,314
Packaging Corp. of America		251		6,546
Rock-Tenn Co. — Class A		122		7,221
Silgan Holdings, Inc.		182		6,832
Sonoco Products Co.		210		6,592
Temple-Inland, Inc.		217		6,903
Total Containers & Packaging				46,980
Distributors 0.3%
LKQ Corp.*		255		7,441
Total Distributors				7,441
Diversified Consumer Services 1.7%
Career Education Corp.*		408		6,581
ITT Educational Services, Inc.*		98		6,072
Matthews International Corp. — Class A		218		7,660
Regis Corp.		475		7,771
Service Corp. International		684		6,840
Sotheby’s		177		6,234
Strayer Education, Inc.		74		6,306
Total Diversified Consumer Services				47,464
Diversified Financial Services 0.2%
MSCI, Inc. — Class A*		210		7,012
Total Diversified Financial Services				7,012
Diversified Telecommunication Services 0.2%
tw telecom, Inc.*		375		6,938
Total Diversified Telecommunication Services				6,938
Electric Utilities 2.0%
Cleco Corp.		188		6,932
DPL, Inc.		224		6,798
Great Plains Energy, Inc.		343		7,114
Hawaiian Electric Industries, Inc.		275		6,966
IDACORP, Inc.		174		7,026
NV Energy, Inc.		457		7,330
PNM Resources, Inc.		453		8,145
Westar Energy, Inc.		257		7,006
Total Electric Utilities				57,317
Electrical Equipment 1.8%
Acuity Brands, Inc.		161		7,454
AMETEK, Inc.		176		6,956
General Cable Corp.*		247		6,926
Hubbell, Inc. — Class B		119		7,115
Regal-Beloit Corp.		116		6,163
Thomas & Betts Corp.*		156		7,752
Woodward, Inc.		222		7,521
Total Electrical Equipment				49,887
Electronic Equipment, Instruments & Components 2.0%
Arrow Electronics, Inc.*		212		7,643
Avnet, Inc.*		243		7,365
Ingram Micro, Inc. — Class A*		378		6,759
Itron, Inc.*		183		6,733
National Instruments Corp.		258		6,891
Tech Data Corp.*		141		6,934
Trimble Navigation Ltd.*		188		7,597
Vishay Intertechnology, Inc.*		631		6,783
Total Electronic Equipment, Instruments & Components				56,705
Energy Equipment & Services 2.8%
Atwood Oceanics, Inc.*		167		7,138
CARBO Ceramics, Inc.		44		5,977
Dresser-Rand Group, Inc.*		149		7,212
Dril-Quip, Inc.*		105		6,835
Exterran Holdings, Inc.*		641		6,089
Helix Energy Solutions Group, Inc.*		408		7,368
Oceaneering International, Inc.		166		6,944
Oil States International, Inc.*		106		7,379
Patterson-UTI Energy, Inc.		299		6,076
Superior Energy Services, Inc.*		192		5,399
Tidewater, Inc.		124		6,104
Unit Corp.*		144		7,065
Total Energy Equipment & Services				79,586
Food & Staples Retailing 0.2%
Ruddick Corp.		160		6,994
Total Food & Staples Retailing				6,994
Food Products 1.7%
Corn Products International, Inc.		147		7,130
Flowers Foods, Inc.		363		7,329
Green Mountain Coffee Roasters, Inc.*		63		4,096
Lancaster Colony Corp.		111		7,384
Ralcorp Holdings, Inc.*		85		6,871
Smithfield Foods, Inc.*		342		7,818
Tootsie Roll Industries, Inc.		272		6,737
Total Food Products				47,365
Gas Utilities 1.5%
AGL Resources, Inc.		165		6,920
Atmos Energy Corp.		201		6,898
National Fuel Gas Co.		114		6,987
Questar Corp.		368		7,091
UGI Corp.		234		6,709
WGL Holdings, Inc.		164		7,021
Total Gas Utilities				41,626
Health Care Equipment & Supplies 2.6%
Cooper Cos., Inc.(The)		85		5,891
Gen-Probe, Inc.*		110		6,611
Hill-Rom Holdings, Inc.		224		7,542
Hologic, Inc.*		412		6,641
IDEXX Laboratories, Inc.*		91		6,551
Kinetic Concepts, Inc.*		102		6,976
Masimo Corp.		296		6,121
ResMed, Inc.*		230		6,509
STERIS Corp.		219		6,785
Teleflex, Inc.		120		7,183
Thoratec Corp.*		215		7,850
Total Health Care Equipment & Supplies				74,660
Health Care Providers & Services 3.6%
AMERIGROUP Corp.*		158		8,789
Catalyst Health Solutions, Inc.*		120		6,596
Community Health Systems, Inc.*		367		6,415
Health Management Associates, Inc. — Class A*		896		7,849
Health Net, Inc.*		257		7,142
Henry Schein, Inc.*		105		7,279

See Notes to Financial Statements.

62

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
LifePoint Hospitals, Inc.*		197		$7,616
Lincare Holdings, Inc.		321		7,559
Mednax, Inc.*		103		6,777
Omnicare, Inc.		235		7,008
Owens & Minor, Inc.		227		6,792
Universal Health Services, Inc. — Class B		180		7,195
VCA Antech, Inc.*		399		8,108
WellCare Health Plans, Inc.*		157		7,695
Total Health Care Providers & Services				102,820
Health Care Technology 0.2%
Allscripts Healthcare Solutions, Inc.*		369		7,066
Total Health Care Technology				7,066
Hotels, Restaurants & Leisure 2.6%
Bally Technologies, Inc.*		231		8,378
Bob Evans Farms, Inc.		227		7,468
Brinker International, Inc.		316		7,236
Cheesecake Factory, Inc.(The)*		245		6,858
International Speedway Corp. — Class A		280		6,681
Life Time Fitness, Inc.*		177		7,634
Panera Bread Co. — Class A*		60		8,021
Scientific Games Corp. — Class A*		861		7,482
Wendy’s Co.(The)		1,366		6,912
WMS Industries, Inc.*		339		7,428
Total Hotels, Restaurants & Leisure				74,098
Household Durables 2.1%
American Greetings Corp. — Class A		325		5,203
KB Home		1,057		7,367
MDC Holdings, Inc.		381		8,535
Mohawk Industries, Inc.*		149		7,845
NVR, Inc.*		11		7,070
Ryland Group, Inc.		634		8,559
Toll Brothers, Inc.*		427		7,447
Tupperware Brands Corp.		111		6,276
Total Household Durables				58,302
Household Products 0.5%
Church & Dwight Co., Inc.		157		6,936
Energizer Holdings, Inc.*		95		7,010
Total Household Products				13,946
Industrial Conglomerates 0.3%
Carlisle Cos., Inc.		181		7,551
Total Industrial Conglomerates				7,551
Insurance 4.3%
American Financial Group, Inc.		207		7,417
Arthur J. Gallagher & Co.		245		7,571
Aspen Insurance Holdings Ltd.		284		7,523
Brown & Brown, Inc.		358		7,905
Everest Re Group Ltd.		85		7,643
Fidelity National Financial, Inc. — Class A		418		6,454
First American Financial Corp.		457		5,484
Hanover Insurance Group, Inc.(The)		188		7,174
HCC Insurance Holdings, Inc.		239		6,360
Kemper Corp.		260		6,991
Mercury General Corp.		175		7,577
Old Republic International Corp.		699		6,179
Protective Life Corp.		389		7,235
Reinsurance Group of America, Inc.		130		6,790
StanCorp Financial Group, Inc.		237		8,044
Transatlantic Holdings, Inc.		141		7,338
W.R. Berkley Corp.		228		7,937
Total Insurance				121,622
Internet Software & Services 1.2%
AOL, Inc.*		466		6,580
Digital River, Inc.*		315		5,774
Equinix, Inc.*		71		6,817
Rackspace Hosting, Inc.*		178		7,367
ValueClick, Inc.*		393		6,917
Total Internet Software & Services				33,455
IT Services 3.4%
Acxiom Corp.*		619		8,165
Alliance Data Systems Corp.*		72		7,376
Broadridge Financial Solutions, Inc.		324		7,209
Convergys Corp.*		679		7,265
CoreLogic, Inc.*		567		6,900
DST Systems, Inc.		148		7,428
Gartner, Inc.*		190		7,319
Global Payments, Inc.		154		7,072
Jack Henry & Associates, Inc.		230		7,454
Lender Processing Services, Inc.		409		7,178
Mantech International Corp.		200		7,026
NeuStar, Inc. — Class A*		266		8,456
VeriFone Systems, Inc.*		178		7,513
Total IT Services				96,361
Leisure Equipment & Products 0.3%
Polaris Industries, Inc.		122		7,727
Total Leisure Equipment & Products				7,727
Life Sciences Tools & Services 1.5%
Bio-Rad Laboratories, Inc. — Class A*		70		6,969
Charles River Laboratories International, Inc.*		216		6,972
Covance, Inc.*		133		6,747
Mettler-Toledo International, Inc.*		43		6,605
Pharmaceutical Product Development, Inc.		236		7,786
Techne Corp.		93		6,398
Total Life Sciences Tools & Services				41,477
Machinery 4.7%
AGCO Corp.*		156		6,837
Crane Co.		167		7,366
Donaldson Co., Inc.		116		7,430
Gardner Denver, Inc.		89		6,882
Graco, Inc.		179		7,686
Harsco Corp.		295		6,800
IDEX Corp.		196		6,948
ITT Corp.		166		2,509
Kennametal, Inc.		189		7,350
Lincoln Electric Holdings, Inc.		207		7,535
Nordson Corp.		153		7,095
Oshkosh Corp.*		339		7,072
Pentair, Inc.		200		7,190
SPX Corp.		128		6,990
Terex Corp.*		492		8,187
Timken Co.		185		7,792
Trinity Industries, Inc.		250		6,818
Valmont Industries, Inc.		74		6,346
Wabtec Corp.		112		7,524
Total Machinery				132,357

See Notes to Financial Statements.

ANNUAL REPORT 63

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Marine 0.5%
Alexander & Baldwin, Inc.		164		$6,808
Kirby Corp.*		119		7,323
Total Marine				14,131
Media 1.9%
AMC Networks, Inc. — Class A*		186		6,067
DreamWorks Animation SKG, Inc. — Class A*		335		6,214
John Wiley & Sons, Inc. — Class A		139		6,611
Lamar Advertising Co. — Class A*		357		8,029
Meredith Corp.		280		7,512
New York Times Co.(The) — Class A*		931		7,094
Scholastic Corp.		250		6,713
Valassis Communications, Inc.*		303		5,918
Total Media				54,158
Metals & Mining 1.5%
Carpenter Technology Corp.		127		7,204
Commercial Metals Co.		589		7,321
Compass Minerals International, Inc.		90		6,846
Reliance Steel & Aluminum Co.		169		7,468
Steel Dynamics, Inc.		560		6,994
Worthington Industries, Inc.		453		7,828
Total Metals & Mining				43,661
Multi-Utilities 1.5%
Alliant Energy Corp.		169		6,892
Black Hills Corp.		215		7,248
MDU Resources Group, Inc.		323		6,657
NSTAR		148		6,673
OGE Energy Corp.		136		7,037
Vectren Corp.		243		6,896
Total Multi-Utilities				41,403
Multiline Retail 0.8%
99 Cents Only Stores*		332		7,238
Dollar Tree, Inc.*		89		7,116
Saks, Inc.*		679		7,177
Total Multiline Retail				21,531
Office Electronics 0.3%
Zebra Technologies Corp. — Class A*		212		7,577
Total Office Electronics				7,577
Oil, Gas & Consumable Fuels 3.0%
Arch Coal, Inc.		344		6,268
Bill Barrett Corp.*		152		6,323
Cimarex Energy Co.		100		6,400
Comstock Resources, Inc.*		346		6,311
Energen Corp.		144		7,065
Forest Oil Corp.*		354		4,128
HollyFrontier Corp.		206		6,322
Northern Oil and Gas, Inc.*		307		7,420
Patriot Coal Corp.*		520		6,531
Plains Exploration & Production Co.*		231		7,276
Quicksilver Resources, Inc.*		734		5,652
SM Energy Co.		87		7,213
Southern Union Co.		161		6,767
Total Oil, Gas & Consumable Fuels				83,676
Paper & Forest Products 0.5%
Domtar Corp.		81		6,635
Louisiana-Pacific Corp.*		1,103		7,335
Total Paper & Forest Products				13,970
Pharmaceuticals 0.7%
Endo Pharmaceuticals Holdings, Inc.*		224		7,237
Medicis Pharmaceutical Corp. — Class A		176		6,739
Perrigo Co.		71		6,410
Total Pharmaceuticals				20,386
Professional Services 1.4%
Corporate Executive Board Co.(The)		209		7,647
FTI Consulting, Inc.*		192		7,567
Korn/Ferry International*		491		7,841
Manpower, Inc.		182		7,852
Towers Watson & Co. — Class A		114		7,490
Total Professional Services				38,397
Real Estate Investment Trusts (REITs) 6.2%
Alexandria Real Estate Equities, Inc.		100		6,609
American Campus Communities, Inc.		174		6,774
BRE Properties, Inc.		140		7,017
Camden Property Trust		108		6,549
Corporate Office Properties Trust		260		6,305
Cousins Properties, Inc.		1,026		6,730
Duke Realty Corp.		595		7,307
Equity One, Inc.		399		6,843
Essex Property Trust, Inc.		48		6,852
Federal Realty Investment Trust		79		7,012
Highwoods Properties, Inc.		219		6,785
Home Properties, Inc.		108		6,361
Hospitality Properties Trust		285		6,848
Liberty Property Trust		211		6,752
Macerich Co.(The)		145		7,215
Mack-Cali Realty Corp.		223		6,257
Omega Healthcare Investors, Inc.		367		6,518
Potlatch Corp.		210		6,821
Rayonier, Inc.		170		7,094
Realty Income Corp.		197		6,582
Regency Centers Corp.		176		7,209
Senior Housing Properties Trust		291		6,530
SL Green Realty Corp.		96		6,623
Taubman Centers, Inc.		120		7,348
UDR, Inc.		259		6,457
Weingarten Realty Investors		294		6,824
Total Real Estate Investment Trusts (REITs)				176,222
Real Estate Management & Development 0.3%
Jones Lang LaSalle, Inc.		111		7,173
Total Real Estate Management & Development				7,173
Road & Rail 1.3%
Con-way, Inc.		259		7,633
JB Hunt Transport Services, Inc.		170		7,193
Kansas City Southern*		124		7,833
Landstar System, Inc.		164		7,319
Werner Enterprises, Inc.		291		6,897
Total Road & Rail				36,875
Semiconductors & Semiconductor Equipment 3.2%
Atmel Corp.*		653		6,896
Cree, Inc.*		206		5,488
Cypress Semiconductor Corp.*		391		7,472
Fairchild Semiconductor International, Inc.*		493		7,380

See Notes to Financial Statements.

64

RYDEX S&P MIDCAP 400 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Integrated Device Technology, Inc.*		1,086		$6,603
International Rectifier Corp.*		309		7,506
Intersil Corp. — Class A		581		6,954
Lam Research Corp.*		170		7,308
RF Micro Devices, Inc.*		985		7,230
Semtech Corp.*		277		6,764
Silicon Laboratories, Inc.*		184		7,866
Skyworks Solutions, Inc.*		306		6,062
Varian Semiconductor Equipment Associates, Inc.*		109		6,842
Total Semiconductors & Semiconductor Equipment				90,371
Software 4.2%
ACI Worldwide, Inc.*		225		6,901
Advent Software, Inc.*		289		7,919
ANSYS, Inc.*		126		6,849
Cadence Design Systems, Inc.*		691		7,649
Concur Technologies, Inc.*		164		7,629
Factset Research Systems, Inc.		78		7,755
Fair Isaac Corp.		273		7,466
Informatica Corp.*		162		7,371
Mentor Graphics Corp.*		646		7,339
MICROS Systems, Inc.*		141		6,940
Parametric Technology Corp.*		396		8,249
Quest Software, Inc.*		398		7,001
Rovi Corp.*		147		7,282
Solera Holdings, Inc.		125		6,829
Synopsys, Inc.*		261		6,997
TIBCO Software, Inc.*		303		8,754
Total Software				118,930
Specialty Retail 4.5%
Aaron’s, Inc.		246		6,583
Advance Auto Parts, Inc.		108		7,028
Aeropostale, Inc.*		620		8,469
American Eagle Outfitters, Inc.		589		7,734
ANN, Inc.*		269		7,166
Ascena Retail Group, Inc.*		251		7,254
Barnes & Noble, Inc.		581		7,129
Chico’s FAS, Inc.		496		6,131
Collective Brands, Inc.*		497		7,261
Dick’s Sporting Goods, Inc.*		195		7,622
Foot Locker, Inc.		309		6,755
Guess?, Inc.		204		6,730
Office Depot, Inc.*		2,743		6,281
PetSmart, Inc.		152		7,136
RadioShack Corp.		546		6,503
Rent-A-Center, Inc.		235		8,025
Tractor Supply Co.		98		6,952
Williams-Sonoma, Inc.		200		7,508
Total Specialty Retail				128,267
Textiles, Apparel & Luxury Goods 1.5%
Deckers Outdoor Corp.*		68		7,836
Fossil, Inc.*		67		6,945
Hanesbrands, Inc.*		238		6,276
PVH Corp.		105		7,813
Under Armour, Inc. — Class A*		87		7,344
Warnaco Group, Inc.(The)*		128		6,285
Total Textiles, Apparel & Luxury Goods				42,499
Thrifts & Mortgage Finance 0.9%
Astoria Financial Corp.		750		6,225
First Niagara Financial Group, Inc.		649		5,964
New York Community Bancorp, Inc.		532		7,081
Washington Federal, Inc.		460		6,279
Total Thrifts & Mortgage Finance				25,549
Tobacco 0.3%
Universal Corp.		167		7,151
Total Tobacco				7,151
Trading Companies & Distributors 1.1%
GATX Corp.		189		7,178
MSC Industrial Direct Co. — Class A		109		7,413
United Rentals, Inc.*		376		8,802
Watsco, Inc.		117		7,215
Total Trading Companies & Distributors				30,608
Water Utilities 0.2%
Aqua America, Inc.		308		6,835
Total Water Utilities				6,835
Wireless Telecommunication Services 0.2%
Telephone & Data Systems, Inc.		282		6,537
Total Wireless Telecommunication Services				6,537
Total Common Stocks (Cost $2,961,961)				2,819,300
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market Fund		6,118		6,118
Total Short Term Investments (Cost $6,118)				6,118
Total Investments 100.0%(a) (Cost $2,968,079)				2,825,418
Other Assets in Excess of Liabilities—0.0%(b)				720
Net Assets—100.0%				$2,826,138

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 65

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.7%
Aerospace & Defense 1.9%
AAR Corp.		425		$8,470
Aerovironment, Inc.*		297		9,810
American Science & Engineering, Inc.		138		9,387
Ceradyne, Inc.*		310		10,373
Cubic Corp.		217		10,225
Curtiss-Wright Corp.		300		9,834
GenCorp, Inc.*		2,184		10,614
Moog, Inc. — Class A*		253		9,799
National Presto Industries, Inc.		97		9,264
Orbital Sciences Corp.*		625		9,662
Teledyne Technologies, Inc.*		169		9,205
Total Aerospace & Defense				106,643
Air Freight & Logistics 0.3%
Forward Air Corp.		305		9,989
HUB Group, Inc. — Class A*		300		9,378
Total Air Freight & Logistics				19,367
Airlines 0.3%
Allegiant Travel Co.*		190		9,873
SkyWest, Inc.		703		9,427
Total Airlines				19,300
Auto Components 0.7%
Drew Industries, Inc.		444		10,669
Spartan Motors, Inc.		1,959		9,599
Standard Motor Products, Inc.		623		9,688
Superior Industries International, Inc.		539		9,858
Total Auto Components				39,814
Automobiles 0.2%
Winnebago Industries, Inc.*		1,191		9,695
Total Automobiles				9,695
Beverages 0.2%
Boston Beer Co., Inc. — Class A*		113		9,998
Total Beverages				9,998
Biotechnology 0.8%
Arqule, Inc.*		1,841		10,696
Cubist Pharmaceuticals, Inc.*		269		10,171
Emergent Biosolutions, Inc.*		504		9,506
Regeneron Pharmaceuticals, Inc.*		147		8,129
Savient Pharmaceuticals, Inc.*		2,200		8,250
Total Biotechnology				46,752
Building Products 1.6%
AAON, Inc.		495		10,479
AO Smith Corp.		236		8,770
Apogee Enterprises, Inc.		969		10,582
Gibraltar Industries, Inc.*		924		10,312
Griffon Corp.*		983		9,309
NCI Building Systems, Inc.*		952		8,673
Quanex Building Products Corp.		780		11,505
Simpson Manufacturing Co., Inc.		334		10,240
Universal Forest Products, Inc.		317		8,898
Total Building Products				88,768
Capital Markets 1.1%
Calamos Asset Management, Inc. — Class A		768		9,592
Financial Engines, Inc.*		409		9,288
Investment Technology Group, Inc.*		776		8,854
Piper Jaffray Co.*		424		8,802
Prospect Capital Corp.		1,027		9,829
Stifel Financial Corp.*		310		9,880
SWS Group, Inc.*		1,523		8,392
Total Capital Markets				64,637
Chemicals 2.3%
A. Schulman, Inc.		482		10,175
American Vanguard Corp.		770		9,525
Balchem Corp.		220		8,111
Calgon Carbon Corp.*		603		9,618
H.B. Fuller Co.		424		9,112
Hawkins, Inc.		250		9,570
Koppers Holdings, Inc.		295		9,762
Kraton Performance Polymers, Inc.*		436		8,580
LSB Industries, Inc.*		242		8,574
OM Group, Inc.*		296		8,557
PolyOne Corp.		757		8,471
Quaker Chemical Corp.		298		10,367
Stepan Co.		123		9,507
Zep, Inc.		536		8,169
Total Chemicals				128,098
Commercial Banks 6.1%
Bank of the Ozarks, Inc.		406		10,097
Boston Private Financial Holdings, Inc.		1,417		10,741
City Holding Co.		302		9,924
Columbia Banking System, Inc.		542		10,336
Community Bank System, Inc.		379		9,687
First BanCorp*		2,971		10,577
First Commonwealth Financial Corp.		2,147		9,898
First Financial Bancorp		584		9,578
First Financial Bankshares, Inc.		314		9,973
First Midwest Bancorp, Inc.		1,031		9,289
FNB Corp.		1,000		10,090
Glacier Bancorp, Inc.		856		9,716
Hanmi Financial Corp.*		9,583		9,583
Home Bancshares, Inc.		389		9,122
Independent Bank Corp.		380		9,850
Nara Bancorp, Inc.*		1,336		11,329
National Penn Bancshares, Inc.		1,203		9,383
NBT Bancorp, Inc.		468		10,071
Old National Bancorp		908		10,505
PacWest Bancorp		553		9,755
Pinnacle Financial Partners, Inc.*		795		11,933
PrivateBancorp, Inc.		1,061		11,565
S&T Bancorp, Inc.		507		9,466
Signature Bank*		168		9,366
Simmons First National Corp. — Class A		406		10,540
Sterling Bancorp		1,138		9,388
Susquehanna Bancshares, Inc.		1,399		10,157
Texas Capital Bancshares, Inc.*		354		9,912
Tompkins Financial Corp.		245		9,660
UMB Financial Corp.		242		8,922
Umpqua Holdings Corp.		915		10,477
United Bankshares, Inc.		416		9,876
United Community Banks, Inc.*		891		6,584
Wilshire Bancorp, Inc.*		3,138		10,732
Wintrust Financial Corp.		303		8,751
Total Commercial Banks				346,833
Commercial Services & Supplies 2.1%
ABM Industries, Inc.		453		9,160
Consolidated Graphics, Inc.*		233		10,615
G&K Services, Inc. — Class A		309		9,381
Geo Group, Inc.(The)*		438		7,985

See Notes to Financial Statements.

66

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Healthcare Services Group, Inc.		539		$9,352
Interface, Inc. — Class A		652		8,502
Mobile Mini, Inc.*		510		9,251
Standard Register Co.(The)		3,495		9,052
SYKES Enterprises, Inc.*		557		8,873
Tetra Tech, Inc.*		459		10,020
Unifirst Corp.		175		9,161
United Stationers, Inc.		299		9,511
Viad Corp.		461		9,649
Total Commercial Services & Supplies				120,512
Communications Equipment 2.4%
Arris Group, Inc.*		809		8,705
Bel Fuse, Inc. — Class B		507		9,065
Black Box Corp.		370		10,356
Blue Coat Systems, Inc.*		562		9,048
Comtech Telecommunications Corp.		316		10,463
Digi International, Inc.*		715		9,145
Harmonic, Inc.*		1,849		10,170
Netgear, Inc.*		332		11,773
Network Equipment Technologies, Inc.*		3,875		7,401
Oplink Communications, Inc.*		534		8,662
PC-Tel, Inc.*		1,435		10,389
Symmetricom, Inc.*		1,730		8,910
Tekelec*		1,303		12,795
Viasat, Inc.*		248		10,562
Total Communications Equipment				137,444
Computers & Peripherals 1.2%
Avid Technology, Inc.*		963		5,971
Intermec, Inc.*		1,246		10,055
Intevac, Inc.*		1,168		9,402
Novatel Wireless, Inc.*		2,525		10,024
Stratasys, Inc.*		390		10,936
Super Micro Computer, Inc.*		659		10,544
Synaptics, Inc.*		350		11,827
Total Computers & Peripherals				68,759
Construction & Engineering 0.9%
Aegion Corp.*		633		9,362
Comfort Systems USA, Inc.		890		9,790
Dycom Industries, Inc.*		485		9,424
EMCOR Group, Inc.		422		10,579
Orion Marine Group, Inc.*		1,340		9,099
Total Construction & Engineering				48,254
Construction Materials 0.4%
Eagle Materials, Inc.		476		9,796
Headwaters, Inc.*		4,766		8,388
Texas Industries, Inc.		228		6,840
Total Construction Materials				25,024
Consumer Finance 0.6%
Cash America International, Inc.		149		8,158
Ezcorp, Inc. — Class A*		271		7,528
First Cash Financial Services, Inc.*		175		7,263
World Acceptance Corp.*		140		9,471
Total Consumer Finance				32,420
Containers & Packaging 0.2%
Myers Industries, Inc.		801		9,788
Total Containers & Packaging				9,788
Distributors 0.3%
Audiovox Corp. — Class A*		1,461		10,387
Pool Corp.		322		9,409
Total Distributors				19,796
Diversified Consumer Services 1.2%
American Public Education, Inc.*		228		8,165
Capella Education Co.*		270		9,399
Coinstar, Inc.*		187		8,927
Corinthian Colleges, Inc.*		4,126		7,881
Hillenbrand, Inc.		461		9,732
Lincoln Educational Services Corp.		978		9,144
School Specialty, Inc.*		986		7,543
Universal Technical Institute, Inc.*		608		8,682
Total Diversified Consumer Services				69,473
Diversified Financial Services 0.5%
Encore Capital Group, Inc.*		380		10,294
Interactive Brokers Group, Inc. — Class A		614		9,443
Portfolio Recovery Associates, Inc.*		133		9,329
Total Diversified Financial Services				29,066
Diversified Telecommunication Services 0.8%
Atlantic Tele-Network, Inc.		274		10,398
Cbeyond, Inc.*		1,017		8,380
Cincinnati Bell, Inc.*		2,652		8,539
General Communication, Inc. — Class A*		1,044		9,866
Neutral Tandem, Inc.*		870		9,170
Total Diversified Telecommunication Services				46,353
Electric Utilities 0.8%
Allete, Inc.		228		9,008
Central Vermont Public Service Corp.		253		8,949
El Paso Electric Co.		275		8,808
UIL Holdings Corp.		269		9,168
Unisource Energy Corp.		237		8,835
Total Electric Utilities				44,768
Electrical Equipment 1.3%
AZZ, Inc.		200		8,932
Belden, Inc.		289		9,329
Brady Corp. — Class A		308		9,462
Encore Wire Corp.		411		10,924
Franklin Electric Co., Inc.		209		9,597
II-VI, Inc.*		465		8,840
Powell Industries, Inc.*		254		8,537
Vicor Corp.		852		7,796
Total Electrical Equipment				73,417
Electronic Equipment, Instruments & Components 5.1%
Agilysys, Inc.*		987		8,380
Anixter International, Inc.*		153		8,980
Badger Meter, Inc.		255		8,349
Benchmark Electronics, Inc.*		650		8,931
Brightpoint, Inc.*		956		9,703
Checkpoint Systems, Inc.*		587		7,778
Cognex Corp.		300		10,167
CTS Corp.		937		8,695
Daktronics, Inc.		949		9,585
DTS, Inc.*		298		8,371
Electro Scientific Industries, Inc.*		618		7,595
FARO Technologies, Inc.*		243		10,152
FEI Co.*		286		11,371
Insight Enterprises, Inc.*		527		8,906
Littelfuse, Inc.		206		10,086

See Notes to Financial Statements.

ANNUAL REPORT 67

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
LoJack Corp.*		2,742		$9,103
Measurement Specialties, Inc.*		310		9,675
Mercury Computer Systems, Inc.*		672		9,811
Methode Electronics, Inc.		1,083		10,061
MTS Systems Corp.		262		9,608
Newport Corp.*		715		9,903
OSI Systems, Inc.*		249		11,031
Park Electrochemical Corp.		359		10,160
Plexus Corp.*		332		8,532
Pulse Electronics Corp.		2,829		9,986
Radisys Corp.*		1,348		7,899
Rofin-Sinar Technologies, Inc.*		412		10,712
Rogers Corp.*		180		7,771
Scansource, Inc.*		289		10,046
SYNNEX Corp.*		341		9,845
TTM Technologies, Inc.*		784		8,757
Total Electronic Equipment, Instruments & Components				289,949
Energy Equipment & Services 1.8%
Basic Energy Services, Inc.*		444		8,143
Bristow Group, Inc.		211		10,504
Gulf Island Fabrication, Inc.		379		10,555
Hornbeck Offshore Services, Inc.*		313		10,279
ION Geophysical Corp.*		1,338		10,196
Lufkin Industries, Inc.		137		8,095
Matrix Service Co.*		924		9,813
OYO Geospace Corp.*		135		10,608
Pioneer Drilling Co.*		773		7,645
SEACOR Holdings, Inc.		96		8,174
Tetra Technologies, Inc.*		850		8,075
Total Energy Equipment & Services				102,087
Food & Staples Retailing 0.8%
Andersons, Inc.(The)		226		8,344
Casey’s General Stores, Inc.		187		9,266
Nash Finch Co.		280		7,369
Spartan Stores, Inc.		556		9,519
United Natural Foods, Inc.*		226		8,251
Total Food & Staples Retailing				42,749
Food Products 1.8%
B&G Foods, Inc.		506		10,737
Cal-Maine Foods, Inc.		266		8,863
Calavo Growers, Inc.		432		9,750
Darling International, Inc.*		574		8,048
Diamond Foods, Inc.		102		6,707
Hain Celestial Group, Inc.(The)*		274		9,195
J&J Snack Foods Corp.		180		9,283
Sanderson Farms, Inc.		210		10,395
Seneca Foods Corp. — Class A*		401		8,441
Snyders-Lance, Inc.		424		8,997
TreeHouse Foods, Inc.*		155		9,508
Total Food Products				99,924
Gas Utilities 1.0%
Laclede Group, Inc.(The)		230		9,228
New Jersey Resources Corp.		194		9,122
Northwest Natural Gas Co.		199		9,297
Piedmont Natural Gas Co., Inc.		291		9,513
South Jersey Industries, Inc.		172		9,685
Southwest Gas Corp.		242		9,554
Total Gas Utilities				56,399
Health Care Equipment & Supplies 3.9%
Abaxis, Inc.*		351		9,849
Align Technology, Inc.*		519		11,952
Analogic Corp.		195		10,546
Cantel Medical Corp.		370		10,212
CONMED Corp.*		379		9,956
CryoLife, Inc.*		1,808		8,335
Cyberonics, Inc.*		320		9,216
Greatbatch, Inc.*		434		9,691
Haemonetics Corp.*		147		8,960
ICU Medical, Inc.*		223		8,766
Integra LifeSciences Holdings Corp.*		234		7,502
Invacare Corp.		351		7,880
Kensey Nash Corp.*		336		9,032
Meridian Bioscience, Inc.		503		9,165
Merit Medical Systems, Inc.*		619		8,307
Natus Medical, Inc.*		863		7,422
Neogen Corp.*		270		10,435
NuVasive, Inc.*		402		5,958
Palomar Medical Technologies, Inc.*		1,022		8,697
SonoSite, Inc.*		285		8,832
SurModics, Inc.*		872		9,191
Symmetry Medical, Inc.*		1,110		10,090
West Pharmaceutical Services, Inc.		223		8,668
Zoll Medical Corp.*		238		8,999
Total Health Care Equipment & Supplies				217,661
Health Care Providers & Services 4.0%
Air Methods Corp.*		145		11,719
Almost Family, Inc.*		472		8,798
Amedisys, Inc.*		549		7,208
AMN Healthcare Services, Inc.*		1,811		8,584
Amsurg Corp.*		400		10,132
Bio-Reference Labs, Inc.*		462		9,258
Centene Corp.*		291		10,229
Chemed Corp.		154		9,141
CorVel Corp.*		199		10,262
Cross Country Healthcare, Inc.*		1,804		9,020
Ensign Group, Inc.(The)		428		9,741
Gentiva Health Services, Inc.*		1,226		5,076
Hanger Orthopedic Group, Inc.*		488		8,477
Healthspring, Inc.*		230		12,406
Healthways, Inc.*		752		5,384
HMS Holdings Corp.*		343		8,383
IPC The Hospitalist Co., Inc.*		221		9,266
Kindred Healthcare, Inc.*		526		6,128
Landauer, Inc.		187		9,584
LHC Group, Inc.*		485		7,610
Magellan Health Services, Inc.*		185		9,522
Molina Healthcare, Inc.*		539		11,416
MWI Veterinary Supply, Inc.*		124		9,362
PharMerica Corp.*		616		9,610
PSS World Medical, Inc.*		403		8,967
Total Health Care Providers & Services				225,283
Health Care Technology 0.4%
Computer Programs & Systems, Inc.		126		6,435
Omnicell, Inc.*		550		8,222
Quality Systems, Inc.		188		7,315
Total Health Care Technology				21,972
Hotels, Restaurants & Leisure 3.9%
Biglari Holdings, Inc.*		27		9,318
BJ’s Restaurants, Inc.*		194		10,268
Boyd Gaming Corp.*		1,493		9,675

See Notes to Financial Statements.

68

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Buffalo Wild Wings, Inc.*		139		$9,205
CEC Entertainment, Inc.		307		9,707
Cracker Barrel Old Country Store, Inc.		211		8,944
DineEquity, Inc.*		214		10,049
Interval Leisure Group, Inc.*		687		9,488
Jack in the Box, Inc.*		430		8,849
Marcus Corp.		837		9,977
Monarch Casino & Resort, Inc.*		889		9,148
Multimedia Games Holding Co.*		2,025		13,385
O’Charleys, Inc.*		1,350		8,384
P.F. Chang’s China Bistro, Inc.		304		9,454
Papa John’s International, Inc.*		297		10,027
Peet’s Coffee & Tea, Inc.*		164		10,450
Pinnacle Entertainment, Inc.*		762		8,626
Red Robin Gourmet Burgers, Inc.*		333		8,348
Ruby Tuesday, Inc.*		1,120		9,397
Ruth’s Hospitality Group, Inc*		1,826		8,619
Shuffle Master, Inc.*		1,033		10,960
Sonic Corp.*		1,120		8,299
Texas Roadhouse, Inc.		620		8,885
Total Hotels, Restaurants & Leisure				219,462
Household Durables 1.7%
Blyth, Inc.		132		7,369
Ethan Allen Interiors, Inc.		567		11,226
Helen of Troy Ltd.*		323		9,344
iRobot Corp.*		330		11,174
La-Z-Boy, Inc.*		1,079		10,963
M/I Homes, Inc.*		1,196		8,934
Meritage Homes Corp.*		509		9,035
Skyline Corp.		896		6,057
Standard Pacific Corp.*		3,565		10,838
Universal Electronics, Inc.*		525		9,760
Total Household Durables				94,700
Household Products 0.4%
Central Garden and Pet Co. — Class A*		1,180		10,372
WD-40 Co.		229		10,081
Total Household Products				20,453
Industrial Conglomerates 0.4%
Standex International Corp.		246		9,498
Tredegar Corp.		554		10,731
Total Industrial Conglomerates				20,229
Insurance 3.0%
AMERISAFE, Inc.*		445		9,590
Delphi Financial Group, Inc. — Class A		378		10,009
eHealth, Inc.*		663		9,845
Employers Holdings, Inc.		715		11,597
Horace Mann Educators Corp.		715		9,617
Infinity Property & Casualty Corp.		174		10,085
Meadowbrook Insurance Group, Inc.		946		9,801
National Financial Partners Corp.*		736		10,061
Navigators Group, Inc.(The)*		200		9,124
Presidential Life Corp.		1,000		9,920
ProAssurance Corp.		122		9,339
RLI Corp.		140		9,848
Safety Insurance Group, Inc.		236		10,058
Selective Insurance Group, Inc.		638		10,227
Stewart Information Services Corp.		972		9,759
Tower Group, Inc.		386		9,160
United Fire & Casualty Co.		517		9,725
Total Insurance				167,765
Internet & Catalog Retail 0.7%
Blue Nile, Inc.*		239		10,786
HSN, Inc.		257		9,167
Nutrisystem, Inc.		735		9,085
PetMed Express, Inc.		897		8,943
Total Internet & Catalog Retail				37,981
Internet Software & Services 2.1%
comScore, Inc.*		519		10,956
DealerTrack Holdings, Inc.*		493		10,693
Infospace, Inc.*		910		7,972
j2 Global Communications, Inc.		277		8,526
Liquidity Services, Inc.*		277		9,019
LivePerson, Inc.*		763		9,606
LogMeIn, Inc.*		272		11,062
Perficient, Inc.*		1,107		10,550
RightNow Technologies, Inc.*		263		11,312
Stamps.com, Inc.		393		12,796
United Online, Inc.		1,542		9,113
XO Group, Inc.*		983		9,073
Total Internet Software & Services				120,678
IT Services 2.0%
CACI International, Inc. — Class A*		171		9,386
Cardtronics, Inc.*		373		9,299
CIBER, Inc.*		2,613		9,093
CSG Systems International, Inc.*		637		9,071
Forrester Research, Inc.		265		9,490
Heartland Payment Systems, Inc.		393		8,552
iGate Corp.		767		10,339
MAXIMUS, Inc.		258		10,408
NCI, Inc. — Class A*		596		8,135
TeleTech Holdings, Inc.*		531		9,282
Virtusa Corp.*		580		9,448
Wright Express Corp.*		211		9,892
Total IT Services				112,395
Leisure Equipment & Products 0.8%
Arctic Cat, Inc.*		540		10,967
Brunswick Corp.		601		10,614
Callaway Golf Co.		1,508		8,761
Jakks Pacific, Inc.		450		8,537
Sturm Ruger & Co., Inc.		286		8,672
Total Leisure Equipment & Products				47,551
Life Sciences Tools & Services 0.8%
Affymetrix, Inc.*		1,572		8,788
Cambrex Corp.*		1,754		9,665
Enzo Biochem, Inc.*		3,127		8,943
eResearchTechnology, Inc.*		1,704		8,707
PAREXEL International Corp.*		415		9,142
Total Life Sciences Tools & Services				45,245
Machinery 3.3%
Actuant Corp. — Class A		443		9,967
Albany International Corp. — Class A		446		10,075
Astec Industries, Inc.*		260		8,645
Barnes Group, Inc.		403		9,378
Briggs & Stratton Corp.		586		8,556
Cascade Corp.		249		10,732
CIRCOR International, Inc.		277		9,645

See Notes to Financial Statements.

ANNUAL REPORT 69

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
CLARCOR, Inc.		201		$9,744
EnPro Industries, Inc.*		259		8,920
ESCO Technologies, Inc.		289		8,835
Federal Signal Corp.*		1,694		7,996
John Bean Technologies Corp.		586		9,458
Kaydon Corp.		280		8,809
Lindsay Corp.		146		8,483
Lydall, Inc.*		985		10,796
Mueller Industries, Inc.		199		8,049
Robbins & Myers, Inc.		190		8,491
Tennant Co.		225		8,705
Toro Co.(The)		165		8,917
Watts Water Technologies, Inc. — Class A		311		9,793
Total Machinery				183,994
Media 0.8%
Arbitron, Inc.		244		9,694
DG Fastchannel, Inc.*		432		8,053
E.W. Scripps Co. — Class A*		1,148		9,574
Harte-Hanks, Inc.		1,048		9,201
Live Nation Entertainment, Inc.*		1,036		9,728
Total Media				46,250
Metals & Mining 1.3%
A.M. Castle & Co.*		747		10,227
AMCOL International Corp.		312		9,419
Century Aluminum Co.*		791		8,828
Haynes International, Inc.		165		9,651
Kaiser Aluminum Corp.		177		8,223
Materion Corp.*		327		8,646
Olympic Steel, Inc.		449		9,182
RTI International Metals, Inc.*		357		9,421
Total Metals & Mining				73,597
Multi-Utilities 0.5%
Avista Corp.		362		9,213
CH Energy Group, Inc.		163		8,999
NorthWestern Corp.		267		9,198
Total Multi-Utilities				27,410
Multiline Retail 0.3%
Fred’s, Inc. — Class A		787		9,594
Tuesday Morning Corp.*		2,239		8,105
Total Multiline Retail				17,699
Oil, Gas & Consumable Fuels 1.8%
Approach Resources, Inc.*		423		10,325
Contango Oil & Gas Co.*		148		9,522
GeoResources, Inc.*		401		10,643
Gulfport Energy Corp.*		316		9,840
Overseas Shipholding Group, Inc.		623		7,775
Penn Virginia Corp.		1,179		7,180
Petroleum Development Corp.*		359		9,374
Petroquest Energy, Inc.*		1,196		8,719
Stone Energy Corp.*		371		9,012
Swift Energy Co.*		271		8,298
World Fuel Services Corp.		246		9,803
Total Oil, Gas & Consumable Fuels				100,491
Paper & Forest Products 1.2%
Buckeye Technologies, Inc.		330		9,979
Clearwater Paper Corp.*		244		8,084
Deltic Timber Corp.		154		10,424
KapStone Paper and Packaging Corp.*		602		9,873
Neenah Paper, Inc.		566		9,339
Schweitzer-Mauduit International, Inc.		145		10,196
Wausau Paper Corp.		1,307		9,803
Total Paper & Forest Products				67,698
Personal Products 0.5%
Inter Parfums, Inc.		580		10,695
Medifast, Inc.*		522		8,582
Prestige Brands Holdings, Inc.*		903		9,554
Total Personal Products				28,831
Pharmaceuticals 1.1%
Hi-Tech Pharmacal Co., Inc.*		275		9,768
Medicines Co.(The)*		572		10,708
Par Pharmaceutical Cos., Inc.*		309		9,455
Questcor Pharmaceuticals, Inc.*		332		13,483
Salix Pharmaceuticals Ltd.*		303		10,379
Viropharma, Inc.*		460		9,310
Total Pharmaceuticals				63,103
Professional Services 1.8%
CDI Corp.		814		10,688
Dolan Co.(The)*		1,053		9,214
Exponent, Inc.*		211		10,166
Heidrick & Struggles International, Inc.		481		9,514
Insperity, Inc.		395		10,183
Kelly Services, Inc. — Class A		648		10,595
Navigant Consulting, Inc.*		874		9,902
On Assignment, Inc.*		1,187		12,808
Resources Connection, Inc.		850		9,426
TrueBlue, Inc.*		741		9,796
Total Professional Services				102,292
Real Estate Investment Trusts (REITs) 4.8%
Acadia Realty Trust		434		8,992
BioMed Realty Trust, Inc.		515		9,327
Cedar Shopping Centers, Inc.		2,532		9,292
Colonial Properties Trust		421		8,538
DiamondRock Hospitality Co.		1,168		10,570
EastGroup Properties, Inc.		220		9,594
Entertainment Properties Trust		215		9,632
Extra Space Storage, Inc.		421		9,485
Franklin Street Properties Corp.		741		9,411
Getty Realty Corp.		511		8,145
Healthcare Realty Trust, Inc.		511		9,653
Inland Real Estate Corp.		1,159		8,693
Kilroy Realty Corp.		259		9,503
Kite Realty Group Trust		2,262		9,342
LaSalle Hotel Properties		467		11,166
Lexington Realty Trust		1,297		10,194
LTC Properties, Inc.		323		9,160
Medical Properties Trust, Inc.		878		8,868
Mid-America Apartment Communities, Inc.		130		8,112
National Retail Properties, Inc.		339		9,238
Parkway Properties, Inc.		708		9,098
Pennsylvania Real Estate Investment Trust		936		9,603
Post Properties, Inc.		215		8,832
PS Business Parks, Inc.		169		8,996
Saul Centers, Inc.		262		9,390
Sovran Self Storage, Inc.		227		10,033
Tanger Factory Outlet Centers		324		9,124

See Notes to Financial Statements.

70

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Universal Health Realty Income Trust		248		$9,417
Urstadt Biddle Properties, Inc. — Class A		540		9,634
Total Real Estate Investment Trusts (REITs)				271,042
Real Estate Management & Development 0.2%
Forestar Group, Inc.*		745		9,685
Total Real Estate Management & Development				9,685
Road & Rail 0.6%
Arkansas Best Corp.		425		8,755
Heartland Express, Inc.		616		8,261
Knight Transportation, Inc.		606		9,211
Old Dominion Freight Line, Inc.*		272		9,947
Total Road & Rail				36,174
Semiconductors & Semiconductor Equipment 5.5%
Advanced Energy Industries, Inc.*		841		7,855
ATMI, Inc.*		496		10,118
Brooks Automation, Inc.		972		10,157
Cabot Microelectronics Corp.*		225		8,667
Ceva, Inc.*		311		9,663
Cirrus Logic, Inc.*		570		9,485
Cohu, Inc.		801		8,883
Cymer, Inc.*		220		9,559
Diodes, Inc.*		471		10,536
DSP Group, Inc.*		1,311		8,102
Entropic Communications, Inc.*		1,811		10,540
Exar Corp.*		1,426		8,713
GT Advanced Technologies, Inc.*		873		7,159
Hittite Microwave Corp.*		163		8,574
Kopin Corp.*		2,383		9,651
Kulicke & Soffa Industries, Inc.*		986		9,515
Micrel, Inc.		856		9,433
Microsemi Corp.*		516		9,525
MKS Instruments, Inc.		361		9,617
Monolithic Power Systems, Inc.*		703		8,759
Nanometrics, Inc.*		554		9,352
Pericom Semiconductor Corp.*		1,145		9,721
Power Integrations, Inc.		252		8,979
Rubicon Technology, Inc.*		728		7,586
Rudolph Technologies, Inc.*		1,286		9,478
Sigma Designs, Inc.*		1,040		8,674
Standard Microsystems Corp.*		395		9,780
STR Holdings, Inc.*		877		7,498
Supertex, Inc.*		457		8,436
Tessera Technologies, Inc.*		663		9,130
TriQuint Semiconductor, Inc.*		1,490		7,927
Ultratech, Inc.*		443		9,657
Veeco Instruments, Inc.*		292		7,793
Volterra Semiconductor Corp.*		421		9,978
Total Semiconductors & Semiconductor Equipment				308,500
Software 3.3%
Blackbaud, Inc.		360		10,091
Bottomline Technologies, Inc.*		408		9,910
CommVault Systems, Inc.*		250		10,645
Ebix, Inc.*		523		8,949
EPIQ Systems, Inc.		689		9,825
Interactive Intelligence Group*		286		7,937
JDA Software Group, Inc.*		338		10,772
Manhattan Associates, Inc.*		243		10,291
MicroStrategy, Inc. — Class A*		75		9,883
Monotype Imaging Holdings, Inc.*		730		9,906
Netscout Systems, Inc.*		703		11,522
Progress Software Corp.*		438		9,224
Sourcefire, Inc.*		306		8,430
Synchronoss Technologies, Inc.*		330		9,920
Take-Two Interactive Software, Inc.*		650		10,257
Taleo Corp. — Class A*		328		10,627
THQ, Inc.*		4,924		10,488
Tyler Technologies, Inc.*		352		11,113
Websense, Inc.*		460		8,206
Total Software				187,996
Specialty Retail 5.3%
Big 5 Sporting Goods Corp.		1,328		10,265
Brown Shoe Co., Inc.		1,204		10,728
Buckle, Inc.(The)		224		9,981
Cabela’s, Inc.*		377		9,395
Cato Corp.(The) — Class A		373		9,560
Children’s Place Retail Stores, Inc.(The)*		192		9,014
Christopher & Banks Corp.		1,994		6,640
Coldwater Creek, Inc.*		5,676		5,960
Finish Line, Inc.(The) — Class A		443		8,904
Genesco, Inc.*		170		10,020
Group 1 Automotive, Inc.		227		10,342
Haverty Furniture Cos., Inc.		848		9,854
Hibbett Sports, Inc.*		249		10,256
HOT Topic, Inc.		1,078		8,150
JOS A Bank Clothiers, Inc.*		169		9,031
Kirkland’s, Inc.*		921		10,352
Lithia Motors, Inc. — Class A		517		10,635
Lumber Liquidators Holdings, Inc.*		552		8,263
MarineMax, Inc.*		1,356		11,038
Men’s Wearhouse, Inc.(The)		316		9,758
Midas, Inc.*		1,080		9,850
Monro Muffler, Inc.		234		8,679
OfficeMax, Inc.*		1,526		7,813
PEP Boys-Manny Moe & Jack		883		10,155
Rue21, Inc.*		355		9,457
Select Comfort Corp.*		552		11,465
Sonic Automotive, Inc. — Class A		723		10,606
Stage Stores, Inc.		612		9,566
Stein Mart, Inc.		1,219		8,838
Vitamin Shoppe, Inc.*		216		8,145
Zale Corp.*		2,092		7,720
Zumiez, Inc.*		474		10,784
Total Specialty Retail				301,224
Textiles, Apparel & Luxury Goods 2.3%
Carter’s, Inc.*		274		10,437
Crocs, Inc.*		316		5,584
Iconix Brand Group, Inc.*		474		8,508
K-Swiss, Inc. — Class A*		1,808		8,136
Liz Claiborne, Inc.*		1,620		12,976
Maidenform Brands, Inc.*		365		8,972
Movado Group, Inc.		585		9,787
Oxford Industries, Inc.		218		8,611
Perry Ellis International, Inc.*		433		10,868
Quiksilver, Inc.*		2,321		7,775
Skechers U.S.A., Inc. — Class A*		528		7,529
Steven Madden Ltd.*		253		9,336
True Religion Apparel, Inc.*		288		9,769
Wolverine World Wide, Inc.		237		8,990
Total Textiles, Apparel & Luxury Goods				127,278

See Notes to Financial Statements.

ANNUAL REPORT 71

RYDEX S&P SMALLCAP 600 EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Thrifts & Mortgage Finance 1.2%
Bank Mutual Corp.		3,031		$10,093
Brookline Bancorp, Inc.		1,095		9,154
Dime Community Bancshares, Inc.		804		9,584
Northwest Bancshares, Inc.		721		8,991
Oritani Financial Corp.		660		8,554
Provident Financial Services, Inc.		733		9,492
TrustCo Bank Corp. NY		1,985		9,845
Total Thrifts & Mortgage Finance				65,713
Tobacco 0.1%
Alliance One International, Inc.*		3,073		8,205
Total Tobacco				8,205
Trading Companies & Distributors 0.5%
Applied Industrial Technologies, Inc.		303		10,187
Kaman Corp.		282		9,376
Lawson Products, Inc.		557		9,285
Total Trading Companies & Distributors				28,848
Water Utilities 0.2%
American States Water Co.		260		9,084
Total Water Utilities				9,084
Wireless Telecommunication Services 0.3%
NTELOS Holdings Corp.		484		9,206
USA Mobility, Inc.		591		7,724
Total Wireless Telecommunication Services				16,930
Total Common Stocks (Cost $5,602,332)				5,629,506
RIGHTS 0.0%(a)
Commercial Banks 0.0%(a)
First BanCorp Expires 11/29/11*(b)		2,332		70
Total Commercial Banks				70
Total Rights (Cost $0)				70
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market Fund		9,679		9,679
Total Short Term Investments (Cost $9,679)				9,679
Total Investments 99.9%(c) (Cost $5,612,011)				5,639,255
Other Assets in Excess of Liabilities—0.1%				7,675
Net Assets—100.0%				$5,646,930

*	Non-Income Producing Security.
(a)	Amount represents less than 0.05% of net assets.
(b)	Values determined based on Level 2 inputs.
(c)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

See Notes to Financial Statements.

72

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Aerospace & Defense 0.9%
Alliant Techsystems, Inc.		914		$53,085
BE Aerospace, Inc.*		1,445		54,520
Goodrich Corp.		419		51,382
Huntington Ingalls Industries, Inc.*		1,885		55,607
L-3 Communications Holdings, Inc.		798		54,088
Rockwell Collins, Inc.		954		53,262
Spirit Aerosystems Holdings, Inc. — Class A*		3,081		52,593
Textron, Inc.		2,719		52,803
TransDigm Group, Inc.*		587		55,131
Total Aerospace & Defense				482,471
Air Freight & Logistics 0.3%
C.H. Robinson Worldwide, Inc.		736		51,100
Expeditors International of Washington, Inc.		1,211		55,222
UTi Worldwide, Inc.		3,596		52,538
Total Air Freight & Logistics				158,860
Airlines 0.5%
AMR Corp.*		15,489		40,736
Copa Holdings SA — Class A		799		55,187
Delta Air Lines, Inc.*		6,241		53,173
Southwest Airlines Co.		5,956		50,924
United Continental Holdings, Inc.*		2,487		48,049
Total Airlines				248,069
Auto Components 0.7%
Autoliv, Inc.		820		47,371
BorgWarner, Inc.*		673		51,478
Federal-Mogul Corp.*		2,710		45,691
Gentex Corp.		1,653		49,788
Goodyear Tire & Rubber Co.(The)*		3,963		56,909
Lear Corp.		967		45,362
TRW Automotive Holdings Corp.*		1,200		50,520
Visteon Corp.*		919		51,115
Total Auto Components				398,234
Automobiles 0.3%
Harley-Davidson, Inc.		1,155		44,929
Tesla Motors, Inc.*		1,595		46,845
Thor Industries, Inc.		1,945		51,426
Total Automobiles				143,200
Beverages 2.2%
Beam, Inc.		725		35,837
Brown-Forman Corp. — Class B		2,578		192,654
Coca-Cola Enterprises, Inc.		7,045		188,947
Constellation Brands, Inc. — Class A*		9,951		201,209
Dr Pepper Snapple Group, Inc.		4,890		183,131
Hansen Natural Corp.*		2,013		179,338
Molson Coors Brewing Co. — Class B		4,463		188,963
Total Beverages				1,170,079
Biotechnology 1.4%
Alexion Pharmaceuticals, Inc.*		1,138		76,826
Amylin Pharmaceuticals, Inc.*		7,613		87,702
BioMarin Pharmaceutical, Inc.*		2,472		84,320
Dendreon Corp.*		7,721		84,468
Human Genome Sciences, Inc.*		5,341		54,799
Myriad Genetics, Inc.*		4,026		85,673
Pharmasset, Inc.*		951		66,950
Regeneron Pharmaceuticals, Inc.*		1,208		66,802
United Therapeutics Corp.*		1,946		85,099
Vertex Pharmaceuticals, Inc.*		1,598		63,265
Total Biotechnology				755,904
Building Products 0.8%
Armstrong World Industries, Inc.		2,371		100,981
Fortune Brands Home & Security, Inc.*		725		10,534
Lennox International, Inc.		2,959		95,250
Masco Corp.		11,939		114,614
Owens Corning*		3,757		106,624
Total Building Products				428,003
Capital Markets 1.3%
Affiliated Managers Group, Inc.*		395		36,581
American Capital Ltd.*		4,405		34,227
Ameriprise Financial, Inc.		812		37,904
Ares Capital Corp.		2,485		38,443
E*Trade Financial Corp.*		3,384		36,716
Eaton Vance Corp.		1,491		39,198
Federated Investors, Inc. — Class B		1,806		35,289
Greenhill & Co., Inc.		1,108		41,860
Invesco Ltd.		2,031		40,762
Janus Capital Group, Inc.		5,078		33,312
Jefferies Group, Inc.		2,518		33,389
Lazard Ltd. — Class A		1,379		37,702
Legg Mason, Inc.		1,231		33,852
LPL Investment Holdings, Inc.*		1,285		37,278
Northern Trust Corp.		943		38,163
Raymond James Financial, Inc.		1,221		37,082
SEI Investments Co.		2,099		33,983
T. Rowe Price Group, Inc.		678		35,826
TD Ameritrade Holding Corp.		2,220		37,252
Waddell & Reed Financial, Inc. — Class A		1,229		34,080
Total Capital Markets				732,899
Chemicals 4.4%
Airgas, Inc.		1,319		90,945
Albemarle Corp.		2,002		106,687
Ashland, Inc.		1,863		98,665
Cabot Corp.		3,288		99,232
Celanese Corp. — Series A		2,236		97,378
CF Industries Holdings, Inc.		568		92,169
Cytec Industries, Inc.		2,413		107,789
Eastman Chemical Co.		2,457		96,536
Ecolab, Inc.		1,724		92,820
FMC Corp.		1,180		93,090
Huntsman Corp.		8,464		99,367
International Flavors & Fragrances, Inc.		1,493		90,416
Intrepid Potash, Inc.*		3,039		84,575
Kronos Worldwide, Inc.		4,739		105,158
Nalco Holding Co.		1,415		53,360
PPG Industries, Inc.		1,183		102,223
Rockwood Holdings, Inc.*		2,102		96,776
RPM International, Inc.		4,664		104,800
Scotts Miracle-Gro Co.(The) — Class A		1,936		93,915
Sherwin-Williams Co.(The)		1,156		95,613
Sigma-Aldrich Corp.		1,358		88,922
Solutia, Inc.*		6,335		102,944
Valspar Corp.		2,721		94,881
Westlake Chemical Corp.		2,287		94,247
WR Grace & Co.*		2,401		100,338
Total Chemicals				2,382,846

See Notes to Financial Statements.

ANNUAL REPORT 73

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Commercial Banks 1.7%
Associated Banc-Corp.		3,575		$39,861
Bank of Hawaii Corp.		900		38,007
BOK Financial Corp.		710		37,076
CapitalSource, Inc.		5,124		32,589
CIT Group, Inc.*		1,035		36,070
City National Corp.		840		35,633
Comerica, Inc.		1,434		36,639
Commerce Bancshares, Inc.		945		36,666
Cullen/Frost Bankers, Inc.		706		34,622
East West Bancorp, Inc.		2,189		42,620
Fifth Third Bancorp		3,212		38,576
First Citizens BancShares, Inc. — Class A		225		36,686
First Horizon National Corp.		5,311		37,124
First Republic Bank/San Franciso*		1,374		38,060
Fulton Financial Corp.		4,059		38,317
Huntington Bancshares, Inc.		6,781		35,126
KeyCorp		5,576		39,367
M&T Bank Corp.		461		35,087
Popular, Inc.*		21,797		40,542
Regions Financial Corp.		9,299		36,545
SunTrust Banks, Inc.		1,795		35,415
Synovus Financial Corp.		29,705		44,557
TCF Financial Corp.		3,493		37,165
Valley National Bancorp		3,085		37,020
Zions Bancorp		2,147		37,272
Total Commercial Banks				936,642
Commercial Services & Supplies 1.1%
Avery Dennison Corp.		1,926		51,231
Cintas Corp.		1,753		52,397
Copart, Inc.*		1,296		56,441
Corrections Corp. of America*		2,177		48,395
Covanta Holding Corp.		3,259		47,777
Iron Mountain, Inc.		1,562		48,313
KAR Auction Services, Inc.*		3,246		44,632
Pitney Bowes, Inc.		2,563		52,234
R.R. Donnelley & Sons Co.		3,499		57,034
Republic Services, Inc.		1,769		50,346
Stericycle, Inc.*		605		50,566
Waste Connections, Inc.		1,500		51,075
Total Commercial Services & Supplies				610,441
Communications Equipment 1.3%
Acme Packet, Inc.*		1,305		47,254
Brocade Communications Systems, Inc.*		14,059		61,578
Ciena Corp.*		4,988		65,742
EchoStar Corp. — Class A*		2,621		69,090
F5 Networks, Inc.*		786		81,705
Harris Corp.		1,667		62,929
JDS Uniphase Corp.*		5,312		63,744
Motorola Mobility Holdings, Inc.*		1,611		62,636
Polycom, Inc.*		3,178		52,532
Riverbed Technology, Inc.*		2,833		78,134
Tellabs, Inc.		13,652		59,113
Total Communications Equipment				704,457
Computers & Peripherals 0.7%
Diebold, Inc.		2,119		68,401
Lexmark International, Inc. — Class A*		1,756		55,665
NCR Corp.*		3,403		64,793
QLogic Corp.*		4,381		61,203
SanDisk Corp.*		1,418		71,850
Western Digital Corp.*		2,182		58,129
Total Computers & Peripherals				380,041
Construction & Engineering 0.8%
Aecom Technology Corp.*		2,764		57,823
Chicago Bridge & Iron Co. NV		1,648		60,284
Fluor Corp.		981		55,770
Jacobs Engineering Group, Inc.*		1,459		56,609
KBR, Inc.		1,959		54,676
Quanta Services, Inc.*		2,615		54,627
Shaw Group, Inc.(The)*		2,353		54,731
URS Corp.*		1,646		58,762
Total Construction & Engineering				453,282
Construction Materials 0.3%
Martin Marietta Materials, Inc.		1,338		96,563
Vulcan Materials Co.		2,917		91,273
Total Construction Materials				187,836
Consumer Finance 0.2%
Discover Financial Services		1,351		31,830
Green Dot Corp. — Class A*		1,048		34,238
SLM Corp.		2,615		35,747
Total Consumer Finance				101,815
Containers & Packaging 2.0%
AptarGroup, Inc.		1,850		88,745
Ball Corp.		2,740		94,722
Bemis Co., Inc.		2,873		80,760
Crown Holdings, Inc.*		2,806		94,815
Greif, Inc. — Class A		1,947		87,187
Owens-Illinois, Inc.*		5,147		103,352
Packaging Corp. of America		3,458		90,185
Rock-Tenn Co. — Class A		1,691		100,090
Sealed Air Corp.		4,873		86,739
Silgan Holdings, Inc.		2,406		90,321
Sonoco Products Co.		2,970		93,228
Temple-Inland, Inc.		2,809		89,354
Total Containers & Packaging				1,099,498
Distributors 0.2%
Genuine Parts Co.		808		46,403
LKQ Corp.*		1,675		48,877
Total Distributors				95,280
Diversified Consumer Services 0.7%
Apollo Group, Inc. — Class A*		986		46,687
Career Education Corp.*		2,886		46,551
DeVry, Inc.		1,050		39,564
Education Management Corp.*		2,728		54,178
H&R Block, Inc.		3,036		46,421
ITT Educational Services, Inc.*		651		40,336
Service Corp. International		4,275		42,750
Weight Watchers International, Inc.		710		52,980
Total Diversified Consumer Services				369,467
Diversified Financial Services 0.5%
CBOE Holdings, Inc.		1,236		32,297
Interactive Brokers Group, Inc. — Class A		2,289		35,205
IntercontinentalExchange, Inc.*		271		35,197
Leucadia National Corp.		1,412		37,884
Moody’s Corp.		1,066		37,832
MSCI, Inc. — Class A*		1,043		34,826

See Notes to Financial Statements.

74

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Nasdaq OMX Group, Inc.(The)*		1,339		$33,542
NYSE Euronext		1,310		34,807
Total Diversified Financial Services				281,590
Diversified Telecommunication Services 0.8%
Frontier Communications Corp.		16,524		103,440
Level 3 Communications, Inc.*		4,324		115,408
tw telecom, Inc.*		6,108		112,998
Windstream Corp.		8,442		102,739
Total Diversified Telecommunication Services				434,585
Electric Utilities 2.6%
DPL, Inc.		3,474		105,436
Edison International		2,765		112,259
Entergy Corp.		1,563		108,113
Great Plains Energy, Inc.		5,178		107,392
Hawaiian Electric Industries, Inc.		4,278		108,362
ITC Holdings Corp.		1,379		100,226
Northeast Utilities		3,027		104,643
NV Energy, Inc.		7,114		114,108
Pepco Holdings, Inc.		5,517		109,236
Pinnacle West Capital Corp.		2,427		110,623
PPL Corp.		3,616		106,202
Progress Energy, Inc.		2,021		105,294
Westar Energy, Inc.		3,916		106,750
Total Electric Utilities				1,398,644
Electrical Equipment 1.2%
AMETEK, Inc.		1,436		56,751
Babcock & Wilcox Co.(The)*		2,385		52,446
Cooper Industries PLC		1,030		54,034
General Cable Corp.*		2,089		58,576
GrafTech International Ltd.*		3,563		55,975
Hubbell, Inc. — Class B		970		57,996
Polypore International, Inc.*		1,436		75,318
Regal-Beloit Corp.		996		52,917
Rockwell Automation, Inc.		876		59,261
Roper Industries, Inc.		707		57,338
Thomas & Betts Corp.*		1,214		60,324
Total Electrical Equipment				640,936
Electronic Equipment, Instruments & Components 1.8%
Amphenol Corp. — Class A		1,401		66,533
Arrow Electronics, Inc.*		2,031		73,218
Avnet, Inc.*		2,225		67,440
AVX Corp.		5,066		67,935
Dolby Laboratories, Inc. — Class A*		2,070		60,527
FLIR Systems, Inc.		1,896		49,865
Ingram Micro, Inc. — Class A*		3,629		64,886
IPG Photonics Corp.*		1,105		58,410
Itron, Inc.*		1,464		53,861
Jabil Circuit, Inc.		3,527		72,515
Molex, Inc.		2,784		68,737
National Instruments Corp.		2,123		56,705
Tech Data Corp.*		1,339		65,852
Trimble Navigation, Ltd.*		1,398		56,493
Vishay Intertechnology, Inc.*		6,612		71,079
Total Electronic Equipment, Instruments & Components				954,056
Energy Equipment & Services 4.0%
Atwood Oceanics, Inc.*		3,042		130,015
Cameron International Corp.*		2,284		112,236
CARBO Ceramics, Inc.		828		112,484
Core Laboratories NV		1,039		112,482
Diamond Offshore Drilling, Inc.		1,814		118,890
Dresser-Rand Group, Inc.*		2,338		113,159
FMC Technologies, Inc.*		2,629		117,832
Helmerich & Payne, Inc.		2,341		124,494
IHS, Inc. — Class A*		663		55,685
McDermott International, Inc.*		4,127		45,314
Nabors Industries Ltd.*		7,503		137,530
Oceaneering International, Inc.		2,785		116,497
Oil States International, Inc.*		1,901		132,329
Patterson-UTI Energy, Inc.		5,693		115,682
Rowan Cos., Inc.*		3,166		109,195
RPC, Inc.		5,647		104,865
SEACOR Holdings, Inc.		1,260		107,289
Superior Energy Services, Inc.*		3,530		99,264
Tidewater, Inc.		1,141		56,171
Unit Corp.*		2,658		130,401
Total Energy Equipment & Services				2,151,814
Food & Staples Retailing 1.1%
Safeway, Inc.		10,764		208,498
SUPERVALU, Inc.		26,136		209,611
Whole Foods Market, Inc.		2,564		184,916
Total Food & Staples Retailing				603,025
Food Products 5.8%
Bunge Ltd.		3,022		186,669
Campbell Soup Co.		5,620		186,865
ConAgra Foods, Inc.		7,458		188,911
Corn Products International, Inc.		4,436		215,146
Dean Foods Co.*		19,795		192,407
Flowers Foods, Inc.		9,420		190,190
Green Mountain Coffee Roasters, Inc.*		1,731		112,550
H.J. Heinz Co.		3,521		188,162
Hershey Co.(The)		3,034		173,636
Hormel Foods Corp.		6,565		193,471
J.M. Smucker Co.(The)		2,422		186,542
McCormick & Co., Inc.		3,814		185,208
Mead Johnson Nutrition Co.		2,438		175,170
Ralcorp Holdings, Inc.*		2,394		193,531
Sara Lee Corp.		10,419		185,458
Smithfield Foods, Inc.*		9,682		221,330
Tyson Foods, Inc. — Class A		10,522		203,075
Total Food Products				3,178,321
Gas Utilities 1.2%
AGL Resources, Inc.		2,585		108,415
Atmos Energy Corp.		3,262		111,952
National Fuel Gas Co.		1,962		120,251
Oneok, Inc.		1,546		117,573
Questar Corp.		5,753		110,860
UGI Corp.		3,817		109,434
Total Gas Utilities				678,485
Health Care Equipment & Supplies 2.7%
Alere, Inc.*		3,479		90,663
Boston Scientific Corp.*		12,514		73,708
C.R. Bard, Inc.		853		73,315
CareFusion Corp.*		3,129		80,102
Cooper Cos., Inc.(The)		947		65,627
DENTSPLY International, Inc.		2,350		86,856
Edwards Lifesciences Corp.*		979		73,836
Gen-Probe, Inc.*		1,246		74,885
Hill-Rom Holdings, Inc.		2,436		82,020

See Notes to Financial Statements.

ANNUAL REPORT 75

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Hologic, Inc.*		4,647		$74,910
IDEXX Laboratories, Inc.*		1,031		74,222
Intuitive Surgical, Inc.*		197		85,470
Kinetic Concepts, Inc.*		1,151		78,717
ResMed, Inc.*		2,583		73,099
Sirona Dental Systems, Inc.*		1,771		84,831
Teleflex, Inc.		1,383		82,786
Thoratec Corp.*		2,281		83,279
Varian Medical Systems, Inc.*		1,404		82,443
Zimmer Holdings, Inc.*		1,349		70,998
Total Health Care Equipment & Supplies				1,491,767
Health Care Providers & Services 3.3%
AMERIGROUP Corp.*		1,774		98,688
AmerisourceBergen Corp.		1,946		79,397
Brookdale Senior Living, Inc.*		5,570		92,350
Catalyst Health Solutions, Inc.*		1,259		69,207
CIGNA Corp.		1,723		76,398
Community Health Systems, Inc.*		4,420		77,262
Coventry Health Care, Inc.*		2,535		80,638
DaVita, Inc.*		1,065		74,550
Health Management Associates, Inc. — Class A*		10,779		94,424
Health Net, Inc.*		3,013		83,731
Henry Schein, Inc.*		1,165		80,758
Humana, Inc.		959		81,409
Laboratory Corp. of America Holdings*		914		76,639
LifePoint Hospitals, Inc.*		2,071		80,065
Lincare Holdings, Inc.		3,455		81,365
Mednax, Inc.*		1,167		76,789
Omnicare, Inc.		2,837		84,599
Patterson Cos., Inc.		2,561		80,595
Quest Diagnostics, Inc.		1,513		84,425
Tenet Healthcare Corp.*		17,764		84,024
Universal Health Services, Inc. — Class B		2,119		84,696
VCA Antech, Inc.*		4,502		91,481
Total Health Care Providers & Services				1,813,490
Health Care Technology 0.5%
Allscripts Healthcare Solutions, Inc.*		3,951		75,662
Cerner Corp.*		1,046		66,348
Emdeon, Inc. — Class A*		4,058		76,980
SXC Health Solutions Corp.*		1,325		62,036
Total Health Care Technology				281,026
Hotels, Restaurants & Leisure 1.5%
Bally Technologies, Inc.*		1,479		53,643
Brinker International, Inc.		1,869		42,800
Chipotle Mexican Grill, Inc.*		131		44,032
Choice Hotels International, Inc.		1,369		48,996
Darden Restaurants, Inc.		889		42,565
Hyatt Hotels Corp. — Class A*		1,283		47,715
International Game Technology		2,825		49,692
Marriott International, Inc. — Class A		1,469		46,273
MGM Resorts International*		3,912		45,066
Panera Bread Co. — Class A*		366		48,931
Penn National Gaming, Inc.*		1,164		41,904
Royal Caribbean Cruises Ltd.		1,816		53,972
Starwood Hotels & Resorts Worldwide, Inc.		992		49,709
Wendy’s Co.(The)		8,338		42,190
WMS Industries, Inc.*		2,204		48,290
Wyndham Worldwide Corp.		1,352		45,522
Wynn Resorts Ltd.		299		39,707
Total Hotels, Restaurants & Leisure				791,007
Household Durables 1.2%
DR Horton, Inc.		4,448		49,506
Garmin Ltd.		1,304		44,845
Harman International Industries, Inc.		1,298		56,022
Jarden Corp.		1,377		44,105
Leggett & Platt, Inc.		1,995		43,691
Lennar Corp. — Class A		3,047		50,397
Mohawk Industries, Inc.*		936		49,280
Newell Rubbermaid, Inc.		3,413		50,512
NVR, Inc.*		67		43,064
Pulte Homes, Inc.*		10,041		52,012
Tempur-Pedic International, Inc.*		707		48,119
Toll Brothers, Inc.*		2,792		48,693
Tupperware Brands Corp.		724		40,935
Whirlpool Corp.		784		39,835
Total Household Durables				661,016
Household Products 1.0%
Church & Dwight Co., Inc.		4,053		179,062
Clorox Co.(The)		2,700		180,738
Energizer Holdings, Inc.*		2,547		187,943
Total Household Products				547,743
Independent Power Producers & Energy Traders 1.0%
AES Corp.(The)*		10,249		114,994
Calpine Corp.*		7,075		107,328
Constellation Energy Group, Inc.		2,714		107,746
GenOn Energy, Inc.*		35,641		108,705
NRG Energy, Inc.*		4,813		103,094
Total Independent Power Producers & Energy Traders				541,867
Industrial Conglomerates 0.1%
Carlisle Cos., Inc.		1,529		63,790
Total Industrial Conglomerates				63,790
Insurance 2.9%
Alleghany Corp.*		117		37,126
Allied World Assurance Co. Holdings Ltd.		629		36,545
American Financial Group, Inc.		1,064		38,123
American National Insurance Co.		481		34,372
Aon Corp.		814		37,949
Arch Capital Group Ltd.*		1,045		37,589
Arthur J. Gallagher & Co.		1,236		38,192
Aspen Insurance Holdings Ltd.		1,478		39,152
Assurant, Inc.		933		35,958
Assured Guaranty Ltd.		2,983		38,003
Axis Capital Holdings Ltd.		1,292		40,504
Brown & Brown, Inc.		1,816		40,097
Cincinnati Financial Corp.		1,264		36,580
CNA Financial Corp.		1,472		39,155
Endurance Specialty Holdings Ltd.		976		36,307
Erie Indemnity Co. — Class A		474		37,422
Everest Re Group Ltd.		424		38,126
Fidelity National Financial, Inc. — Class A		2,193		33,860
Genworth Financial, Inc. — Class A*		5,983		38,172
Hanover Insurance Group, Inc.(The)		944		36,023
Hartford Financial Services Group, Inc.		2,026		39,000
HCC Insurance Holdings, Inc.		1,201		31,959
Kemper Corp.		1,355		36,436
Lincoln National Corp.		2,005		38,195
Markel Corp.*		93		35,945

See Notes to Financial Statements.

76

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Marsh & McLennan Cos., Inc.		1,226		$37,540
MBIA, Inc.*		4,435		39,028
Mercury General Corp.		875		37,887
Old Republic International Corp.		3,656		32,319
PartnerRe Ltd.		627		39,012
Principal Financial Group, Inc.		1,401		36,118
Progressive Corp.(The)		1,886		35,853
Protective Life Corp.		2,071		38,521
Reinsurance Group of America, Inc.		699		36,509
RenaissanceRe Holdings Ltd.		525		35,763
StanCorp Financial Group, Inc.		1,224		41,543
Torchmark Corp.		945		38,679
Transatlantic Holdings, Inc.		693		36,064
Unum Group		1,552		37,000
Validus Holdings Ltd.		1,335		36,526
W.R. Berkley Corp.		1,140		39,683
White Mountains Insurance Group Ltd.		84		35,280
XL Group PLC		1,720		37,393
Total Insurance				1,601,508
Internet & Catalog Retail 0.2%
Expedia, Inc.		1,445		37,946
Liberty Interactive Corp. — Series A*		2,608		42,849
Netflix, Inc.*		327		26,840
Total Internet & Catalog Retail				107,635
Internet Software & Services 1.2%
Akamai Technologies, Inc.*		2,768		74,570
AOL, Inc.*		4,888		69,018
Equinix, Inc.*		665		63,847
IAC/InterActiveCorp*		1,510		61,653
LinkedIn Corp. — Class A*		761		68,414
Monster Worldwide, Inc.*		6,181		57,051
Rackspace Hosting, Inc.*		1,719		71,149
VeriSign, Inc.		2,078		66,683
VistaPrint NV*		1,566		54,685
WebMD Health Corp.*		2,493		89,623
Total Internet Software & Services				676,693
IT Services 2.0%
Alliance Data Systems Corp.*		352		36,059
Amdocs Ltd.*		2,213		66,434
Booz Allen Hamilton Holding Corp.*		3,497		55,288
Broadridge Financial Solutions, Inc.		1,622		36,090
Computer Sciences Corp.		2,200		69,212
CoreLogic, Inc.*		2,949		35,889
DST Systems, Inc.		1,339		67,204
Fidelity National Information Services, Inc.		1,340		35,081
Fiserv, Inc.*		646		38,030
FleetCor Technologies, Inc.*		1,240		34,670
Gartner, Inc.*		1,682		64,791
Genpact Ltd.*		3,314		53,521
Global Payments, Inc.		815		37,425
Lender Processing Services, Inc.		2,231		39,154
NeuStar, Inc. — Class A*		2,370		75,342
Paychex, Inc.		1,903		55,454
SAIC, Inc.*		4,996		62,100
Teradata Corp.*		1,073		64,015
Total System Services, Inc.		1,901		37,811
VeriFone Systems, Inc.*		1,606		67,789
Western Union Co.(The)		2,099		36,670
Total IT Services				1,068,029
Leisure Equipment & Products 0.3%
Hasbro, Inc.		1,193		45,405
Mattel, Inc.		1,562		44,111
Polaris Industries, Inc.		782		49,532
Total Leisure Equipment & Products				139,048
Life Sciences Tools & Services 1.7%
Agilent Technologies, Inc.*		1,514		56,124
Bio-Rad Laboratories, Inc. — Class A*		794		79,043
Bruker Corp.*		5,416		78,153
Charles River Laboratories International, Inc.*		2,584		83,411
Covance, Inc.*		1,609		81,625
Illumina, Inc.*		1,785		54,657
Life Technologies Corp.*		2,005		81,543
Mettler-Toledo International, Inc.*		344		52,838
PerkinElmer, Inc.		3,816		78,877
Pharmaceutical Product Development, Inc.		2,949		97,287
QIAGEN NV*		5,352		73,750
Techne Corp.		1,081		74,373
Waters Corp.*		638		51,117
Total Life Sciences Tools & Services				942,798
Machinery 3.7%
AGCO Corp.*		1,307		57,286
CNH Global NV*		1,789		66,515
Crane Co.		1,354		59,725
Donaldson Co., Inc.		892		57,133
Dover Corp.		1,042		57,862
Eaton Corp.		1,368		61,314
Flowserve Corp.		628		58,209
Gardner Denver, Inc.		745		57,611
Graco, Inc.		1,411		60,588
Harsco Corp.		2,440		56,242
IDEX Corp.		1,528		54,168
Ingersoll-Rand PLC		1,553		48,345
ITT Corp.		1,164		53,078
Joy Global, Inc.		730		63,656
Kennametal, Inc.		1,464		56,935
Lincoln Electric Holdings, Inc.		1,617		58,859
Manitowoc Co., Inc.(The)		6,531		72,363
Navistar International Corp.*		1,418		59,655
Nordson Corp.		1,207		55,969
Oshkosh Corp.*		2,937		61,266
Pall Corp.		1,149		58,794
Parker Hannifin Corp.		778		63,446
Pentair, Inc.		1,526		54,860
Snap-on, Inc.		883		47,391
SPX Corp.		1,019		55,648
Stanley Black & Decker, Inc.		785		50,122
Terex Corp.*		4,273		71,103
Timken Co.		2,621		110,397
Toro Co.(The)		984		53,175
Trinity Industries, Inc.		2,146		58,521
Valmont Industries, Inc.		1,031		88,408
WABCO Holdings, Inc.*		988		49,607
Wabtec Corp.		895		60,126
Total Machinery				1,998,377
Marine 0.2%
Alexander & Baldwin, Inc.		1,324		54,959
Kirby Corp.*		919		56,555
Total Marine				111,514

See Notes to Financial Statements.

ANNUAL REPORT 77

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Media 1.8%
AMC Networks, Inc. — Class A*		1,227		$40,025
Cablevision Systems Corp. — Class A		2,329		33,701
Charter Communications, Inc. — Class A*		835		38,360
Clear Channel Outdoor Holdings, Inc. — Class A*		3,956		43,516
Discovery Communications, Inc. — Class A*		1,000		43,460
DISH Network Corp. — Class A*		1,497		36,182
DreamWorks Animation SKG, Inc. — Class A*		2,147		39,827
Gannett Co., Inc.		4,271		49,928
Interpublic Group of Cos., Inc.(The)		5,281		50,064
John Wiley & Sons, Inc. — Class A		912		43,375
Lamar Advertising Co. — Class A*		2,236		50,288
Liberty Global, Inc. — Class A*		1,098		44,118
Liberty Media Corp. — Liberty Capital — Series A*		592		45,477
Liberty Media Corp. — Liberty Starz — Series A — Tracking Stock*		618		42,209
Madison Square Garden, Inc.(The) — Class A*		1,774		46,887
McGraw-Hill Cos., Inc.(The)		957		40,672
Morningstar, Inc.		584		34,438
Omnicom Group, Inc.		1,067		47,460
Regal Entertainment Group — Class A		3,284		47,421
Scripps Networks Interactive, Inc. — Class A		1,035		43,967
Sirius XM Radio, Inc.*		24,716		44,242
Virgin Media, Inc.		1,669		40,690
Washington Post Co.(The) — Class B		131		44,561
Total Media				990,868
Metals & Mining 2.9%
AK Steel Holding Corp.		12,137		101,101
Allegheny Technologies, Inc.		2,118		98,275
Allied Nevada Gold Corp.*		2,428		92,216
Carpenter Technology Corp.		1,774		100,621
Cliffs Natural Resources, Inc.		1,450		98,919
Commercial Metals Co.		8,384		104,213
Compass Minerals International, Inc.		1,245		94,707
Molycorp, Inc.*		2,328		89,093
Nucor Corp.		2,634		99,513
Reliance Steel & Aluminum Co.		2,355		104,068
Royal Gold, Inc.		1,277		91,408
Schnitzer Steel Industries, Inc. — Class A		2,243		104,972
Steel Dynamics, Inc.		8,061		100,682
Titanium Metals Corp.		5,591		93,649
United States Steel Corp.		3,689		93,553
Walter Energy, Inc.		1,559		117,938
Total Metals & Mining				1,584,928
Multi-Utilities 3.4%
Alliant Energy Corp.		2,673		109,005
Ameren Corp.		3,439		109,635
CenterPoint Energy, Inc.		5,430		113,161
CMS Energy Corp.		5,219		108,660
Consolidated Edison, Inc.		1,845		106,770
DTE Energy Co.		2,115		110,213
Integrys Energy Group, Inc.		2,122		112,275
MDU Resources Group, Inc.		5,312		109,480
NiSource, Inc.		4,839		106,894
NSTAR		2,298		103,617
OGE Energy Corp.		2,190		113,311
SCANA Corp.		2,575		108,871
Sempra Energy		2,048		110,039
TECO Energy, Inc.		6,016		111,717
Vectren Corp.		3,817		108,326
Wisconsin Energy Corp.		3,346		108,511
Xcel Energy, Inc.		4,206		108,725
Total Multi-Utilities				1,859,210
Multiline Retail 0.8%
Big Lots, Inc.*		1,176		44,323
Dillard’s, Inc. — Class A		881		45,398
Dollar General Corp.*		1,119		44,379
Dollar Tree, Inc.*		552		44,138
Family Dollar Stores, Inc.		771		45,204
J.C. Penney Co., Inc.		1,520		48,762
Macy’s, Inc.		1,537		46,925
Nordstrom, Inc.		882		44,708
Sears Holdings Corp.*		727		56,837
Total Multiline Retail				420,674
Office Electronics 0.2%
Xerox Corp.		6,711		54,896
Zebra Technologies Corp. — Class A*		1,630		58,256
Total Office Electronics				113,152
Oil, Gas & Consumable Fuels 7.9%
Alpha Natural Resources, Inc.*		5,005		120,320
Arch Coal, Inc.		6,426		117,082
Brigham Exploration Co.*		3,945		143,657
Cabot Oil & Gas Corp.		1,605		124,741
Cimarex Energy Co.		1,773		113,472
Cobalt International Energy, Inc.*		12,174		125,636
Concho Resources, Inc.*		1,352		128,061
Consol Energy, Inc.		2,804		119,899
Continental Resources, Inc.*		2,041		123,787
Denbury Resources, Inc.*		8,332		130,812
El Paso Corp.		5,891		147,334
Energen Corp.		2,346		115,095
EQT Corp.		1,829		116,142
EXCO Resources, Inc.		8,643		108,988
Forest Oil Corp.*		6,696		78,075
HollyFrontier Corp.		3,803		116,714
Kosmos Energy Ltd.*		8,411		130,371
Murphy Oil Corp.		2,288		126,687
Newfield Exploration Co.*		2,452		98,718
Noble Energy, Inc.		1,424		127,220
Peabody Energy Corp.		2,740		118,834
Pioneer Natural Resources Co.		1,478		124,004
Plains Exploration & Production Co.*		4,265		134,347
QEP Resources, Inc.		3,597		127,873
Quicksilver Resources, Inc.*		12,430		95,711
Range Resources Corp.		1,678		115,514
SandRidge Energy, Inc.*		16,395		125,586
SM Energy Co.		1,536		127,350
Southern Union Co.		2,546		107,008
Spectra Energy Corp.		4,189		119,931
Sunoco, Inc.		3,165		117,833
Teekay Corp.		2,069		53,297
Tesoro Corp.*		5,180		134,369
Ultra Petroleum Corp.*		3,434		109,407
Valero Energy Corp.		5,541		136,309
Whiting Petroleum Corp.*		2,757		128,338
Total Oil, Gas & Consumable Fuels				4,288,522

See Notes to Financial Statements.

78

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Paper & Forest Products 0.5%
Domtar Corp.		1,168		$95,671
International Paper Co.		3,369		93,321
MeadWestvaco Corp.		3,346		93,387
Total Paper & Forest Products				282,379
Personal Products 0.4%
Avon Products, Inc.		2,042		37,328
Herbalife Ltd.		3,128		195,062
Total Personal Products				232,390
Pharmaceuticals 1.0%
Endo Pharmaceuticals Holdings, Inc.*		2,628		84,911
Forest Laboratories, Inc.*		2,440		76,372
Hospira, Inc.*		1,984		62,397
Mylan, Inc.*		4,117		80,570
Perrigo Co.		779		70,328
Warner Chilcott PLC — Class A*		4,835		87,610
Watson Pharmaceuticals, Inc.*		1,057		70,988
Total Pharmaceuticals				533,176
Professional Services 0.6%
Dun & Bradstreet Corp.(The)		525		35,101
Equifax, Inc.		1,050		36,907
Manpower, Inc.		1,434		61,863
Nielsen Holdings NV*		1,525		44,759
Robert Half International, Inc.		2,366		62,533
Towers Watson & Co. — Class A		848		55,714
Verisk Analytics, Inc. — Class A*		1,473		51,776
Total Professional Services				348,653
Real Estate Investment Trusts (REITs) 2.8%
Alexandria Real Estate Equities, Inc.		542		35,821
American Capital Agency Corp.		1,225		33,700
Annaly Capital Management, Inc.		1,940		32,689
Apartment Investment & Management Co. — Class A		1,431		35,303
AvalonBay Communities, Inc.		279		37,300
Boston Properties, Inc.		360		35,636
Brandywine Realty Trust		4,089		37,251
BRE Properties, Inc.		770		38,592
Camden Property Trust		592		35,899
Chimera Investment Corp.		11,189		33,679
CommonWealth		1,754		33,940
Corporate Office Properties Trust		1,423		34,508
DDR Corp.		3,063		39,237
Digital Realty Trust, Inc.		605		37,710
Douglas Emmett, Inc.		1,891		36,875
Duke Realty Corp.		3,091		37,957
Equity Residential		628		36,851
Essex Property Trust, Inc.		271		38,688
Federal Realty Investment Trust		398		35,326
General Growth Properties, Inc.		2,621		38,529
HCP, Inc.		933		37,180
Health Care REIT, Inc.		692		36,461
Hospitality Properties Trust		1,472		35,372
Host Hotels & Resorts, Inc.		2,932		41,840
Kimco Realty Corp.		2,122		37,071
Liberty Property Trust		1,098		35,136
Macerich Co.(The)		736		36,623
Mack-Cali Realty Corp.		1,198		33,616
Piedmont Office Realty Trust, Inc. — Class A		2,021		34,317
Plum Creek Timber Co., Inc.		947		35,664
ProLogis, Inc.		1,278		38,033
Rayonier, Inc.		881		36,764
Realty Income Corp.		988		33,009
Regency Centers Corp.		915		37,478
Senior Housing Properties Trust		1,490		33,436
SL Green Realty Corp.		530		36,565
Taubman Centers, Inc.		632		38,697
UDR, Inc.		1,446		36,049
Ventas, Inc.		660		36,703
Vornado Realty Trust		425		35,194
Weingarten Realty Investors		1,492		34,629
Weyerhaeuser Co.		2,032		36,535
Total Real Estate Investment Trusts (REITs)				1,521,863
Real Estate Management & Development 0.4%
CBRE Group, Inc.*		2,408		42,814
Forest City Enterprises, Inc. — Class A*		2,939		40,206
Howard Hughes Corp.(The)*		766		36,753
Jones Lang LaSalle, Inc.		593		38,320
St Joe Co.(The)*		2,147		30,809
Total Real Estate Management & Development				188,902
Road & Rail 0.6%
Con-way, Inc.		2,093		61,681
Hertz Global Holdings, Inc.*		4,397		51,005
JB Hunt Transport Services, Inc.		1,327		56,145
Kansas City Southern*		985		62,223
Landstar System, Inc.		1,253		55,921
Ryder System, Inc.		1,253		63,828
Total Road & Rail				350,803
Semiconductors & Semiconductor Equipment 3.8%
Advanced Micro Devices, Inc.*		9,445		55,064
Altera Corp.		1,712		64,919
Analog Devices, Inc.		1,824		66,704
Atmel Corp.*		6,466		68,281
Avago Technologies Ltd.		1,777		60,009
Cree, Inc.*		2,104		56,051
Cypress Semiconductor Corp.*		3,568		68,184
Fairchild Semiconductor International, Inc.*		5,066		75,838
First Solar, Inc.*		1,472		73,261
Freescale Semiconductor Holdings I Ltd.*		4,850		63,972
International Rectifier Corp.*		3,005		72,991
Intersil Corp. — Class A		5,548		66,410
KLA-Tencor Corp.		1,531		72,095
Lam Research Corp.*		1,568		67,408
Linear Technology Corp.		2,076		67,076
LSI Corp.*		10,642		66,513
Marvell Technology Group Ltd.*		4,025		56,310
Maxim Integrated Products, Inc.		2,503		65,478
MEMC Electronic Materials, Inc.*		10,496		62,871
Microchip Technology, Inc.		1,847		66,788
Micron Technology, Inc.*		9,488		53,038
Novellus Systems, Inc.*		2,095		72,382
NVIDIA Corp.*		4,429		65,549
ON Semiconductor Corp.*		7,879		59,644
PMC — Sierra, Inc.*		9,578		60,725
Silicon Laboratories, Inc.*		1,719		73,487
Skyworks Solutions, Inc.*		2,978		58,994
SunPower Corp. — Class A*		11,453		114,759
Teradyne, Inc.*		5,217		74,707
Varian Semiconductor Equipment Associates, Inc.*		1,001		62,833
Xilinx, Inc.		2,098		70,199
Total Semiconductors & Semiconductor Equipment				2,082,540

See Notes to Financial Statements.

ANNUAL REPORT 79

RYDEX RUSSELL MIDCAP^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Software 2.5%
Activision Blizzard, Inc.		5,033		$67,392
ANSYS, Inc.*		1,175		63,873
Ariba, Inc.*		2,060		65,261
Autodesk, Inc.*		2,080		71,968
BMC Software, Inc.*		1,533		53,287
CA, Inc.		2,981		64,568
Cadence Design Systems, Inc.*		6,235		69,021
Citrix Systems, Inc.*		1,058		77,054
Compuware Corp.*		7,448		62,936
Electronic Arts, Inc.*		2,796		65,287
Factset Research Systems, Inc.		359		35,692
Fortinet, Inc.*		3,533		81,471
Informatica Corp.*		1,430		65,065
Intuit, Inc.		1,257		67,463
MICROS Systems, Inc.*		1,303		64,134
Nuance Communications, Inc.*		2,933		77,666
Red Hat, Inc.*		1,371		68,070
Rovi Corp.*		1,345		66,631
Solera Holdings, Inc.		1,174		64,136
Synopsys, Inc.*		2,039		54,665
TIBCO Software, Inc.*		2,654		76,674
Total Software				1,382,314
Specialty Retail 2.4%
Aaron’s, Inc.		1,602		42,870
Abercrombie & Fitch Co. — Class A		625		46,500
Advance Auto Parts, Inc.		693		45,094
American Eagle Outfitters, Inc.		3,388		44,484
AutoNation, Inc.*		1,227		47,779
AutoZone, Inc.*		128		41,420
Bed Bath & Beyond, Inc.*		703		43,474
Best Buy Co., Inc.		1,692		44,381
CarMax, Inc.*		1,635		49,148
Chico’s FAS, Inc.		3,341		41,295
Dick’s Sporting Goods, Inc.*		1,125		43,976
DSW, Inc. — Class A		875		45,798
Foot Locker, Inc.		1,877		41,031
GameStop Corp. — Class A*		1,749		44,722
Gap, Inc.(The)		2,424		45,814
Guess?, Inc.		1,372		45,262
Limited Brands, Inc.		1,009		43,094
O’Reilly Automotive, Inc.*		609		46,314
PetSmart, Inc.		944		44,321
RadioShack Corp.		3,308		39,398
Ross Stores, Inc.		519		45,532
Sally Beauty Holdings, Inc.*		2,454		47,092
Signet Jewelers Ltd.		1,184		51,042
Staples, Inc.		3,049		45,613
Tiffany & Co.		590		47,041
Tractor Supply Co.		620		43,983
Ulta Salon Cosmetics & Fragrance, Inc.*		597		40,172
Urban Outfitters, Inc.*		1,752		47,742
Williams-Sonoma, Inc.		1,250		46,925
Total Specialty Retail				1,301,317
Textiles, Apparel & Luxury Goods 0.6%
Deckers Outdoor Corp.*		416		47,940
Fossil, Inc.*		429		44,470
Hanesbrands, Inc.*		1,594		42,034
PVH Corp.		639		47,548
Ralph Lauren Corp.		281		44,620
Under Armour, Inc. — Class A*		553		46,679
V.F. Corp.		321		44,368
Total Textiles, Apparel & Luxury Goods				317,659
Thrifts & Mortgage Finance 0.5%
BankUnited, Inc.		1,578		34,385
Capitol Federal Financial, Inc.		3,158		35,022
First Niagara Financial Group, Inc.		3,471		31,898
Hudson City Bancorp, Inc.		5,828		36,425
New York Community Bancorp, Inc.		2,725		36,270
People’s United Financial, Inc.		2,847		36,299
TFS Financial Corp.*		4,129		38,028
Washington Federal, Inc.		2,430		33,170
Total Thrifts & Mortgage Finance				281,497
Tobacco 0.3%
Lorillard, Inc.		1,649		182,478
Total Tobacco				182,478
Trading Companies & Distributors 0.7%
Air Lease Corp.*		2,404		53,681
Fastenal Co.		2,506		95,454
GATX Corp.		1,524		57,882
MSC Industrial Direct Co. — Class A		876		59,577
W.W. Grainger, Inc.		317		54,305
WESCO International, Inc.*		1,312		63,579
Total Trading Companies & Distributors				384,478
Water Utilities 0.4%
American Water Works Co., Inc.		3,424		104,535
Aqua America, Inc.		4,866		107,976
Total Water Utilities				212,511
Wireless Telecommunication Services 1.1%
Clearwire Corp. — Class A*		42,279		81,176
Crown Castle International Corp.*		1,450		59,972
MetroPCS Communications, Inc.*		11,086		94,231
NII Holdings, Inc.*		3,439		80,920
SBA Communications Corp. — Class A*		1,694		64,524
Telephone & Data Systems, Inc.		4,786		110,939
United States Cellular Corp.*		2,570		102,466
Total Wireless Telecommunication Services				594,228
Total Common Stocks (Cost $54,743,797)				54,452,630
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		45,454		45,454
Total Short Term Investments (Cost $45,454)				45,454
Total Investments 100.0%(a) (Cost $54,789,251)				54,498,084
Other Assets in Excess of Liabilities—0.0%(b)				9,494
Net Assets—100.0%				$54,507,578

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

REIT—Real Estate Investment Trust

Tracking Stock—A security issued by a parent company that tracks the performance of a particular division.

See Notes to Financial Statements.

80

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Aerospace & Defense 1.5%
Alliant Techsystems, Inc.		466		$27,065
BE Aerospace, Inc.*		742		27,996
Boeing Co.(The)		411		27,040
Exelis, Inc.*		1,175		13,277
General Dynamics Corp.		445		28,565
Goodrich Corp.		216		26,488
Honeywell International, Inc.		575		30,130
Huntington Ingalls Industries, Inc.*		966		28,497
L-3 Communications Holdings, Inc.		410		27,790
Lockheed Martin Corp.		351		26,641
Northrop Grumman Corp.		486		28,066
Precision Castparts Corp.		279		45,519
Raytheon Co.		640		28,282
Rockwell Collins, Inc.		486		27,133
Spirit Aerosystems Holdings, Inc. — Class A*		1,579		26,953
Textron, Inc.		1,390		26,994
TransDigm Group, Inc.*		302		28,364
United Technologies Corp.		352		27,449
Total Aerospace & Defense				502,249
Air Freight & Logistics 0.4%
C.H. Robinson Worldwide, Inc.		378		26,244
Expeditors International of Washington, Inc.		617		28,135
FedEx Corp.		370		30,277
United Parcel Service, Inc. — Class B		404		28,377
UTi Worldwide, Inc.		1,842		26,912
Total Air Freight & Logistics				139,945
Airlines 0.4%
AMR Corp.*		7,931		20,858
Copa Holdings SA — Class A		410		28,319
Delta Air Lines, Inc.*		3,193		27,204
Southwest Airlines Co.		3,051		26,086
United Continental Holdings, Inc.*		1,274		24,614
Total Airlines				127,081
Auto Components 0.7%
Autoliv, Inc.		422		24,379
BorgWarner, Inc.*		349		26,695
Federal-Mogul Corp.*		1,401		23,621
Gentex Corp.		853		25,692
Goodyear Tire & Rubber Co.(The)*		2,046		29,381
Johnson Controls, Inc.		768		25,290
Lear Corp.		500		23,455
TRW Automotive Holdings Corp.*		619		26,060
Visteon Corp.*		476		26,475
Total Auto Components				231,048
Automobiles 0.4%
Ford Motor Co.*		2,131		24,890
General Motors Co.*		1,016		26,264
Harley-Davidson, Inc.		596		23,184
Tesla Motors, Inc.*		821		24,113
Thor Industries, Inc.		1,006		26,599
Total Automobiles				125,050
Beverages 1.9%
Beam, Inc.		374		18,487
Brown-Forman Corp. — Class B		1,064		79,513
Coca-Cola Co.(The)		1,081		73,854
Coca-Cola Enterprises, Inc.		2,917		78,234
Constellation Brands, Inc. — Class A*		4,115		83,205
Dr Pepper Snapple Group, Inc.		2,023		75,761
Hansen Natural Corp.*		834		74,301
Molson Coors Brewing Co. — Class B		1,846		78,159
PepsiCo, Inc.		1,207		75,981
Total Beverages				637,495
Biotechnology 1.5%
Alexion Pharmaceuticals, Inc.*		528		35,645
Amgen, Inc.		623		35,679
Amylin Pharmaceuticals, Inc.*		3,535		40,723
Biogen Idec, Inc.*		367		42,704
BioMarin Pharmaceutical, Inc.*		1,147		39,124
Celgene Corp.*		552		35,786
Dendreon Corp.*		3,584		39,209
Gilead Sciences, Inc.*		882		36,744
Human Genome Sciences, Inc.*		2,480		25,445
Myriad Genetics, Inc.*		1,868		39,751
Pharmasset, Inc.*		441		31,047
Regeneron Pharmaceuticals, Inc.*		558		30,858
United Therapeutics Corp.*		903		39,488
Vertex Pharmaceuticals, Inc.*		743		29,415
Total Biotechnology				501,618
Building Products 0.7%
Armstrong World Industries, Inc.		1,253		53,365
Fortune Brands Home & Security, Inc.*		374		5,434
Lennox International, Inc.		1,562		50,281
Masco Corp.		6,307		60,547
Owens Corning*		1,983		56,278
Total Building Products				225,905
Capital Markets 1.5%
Affiliated Managers Group, Inc.*		204		18,892
American Capital Ltd.*		2,324		18,057
Ameriprise Financial, Inc.		425		19,839
Ares Capital Corp.		1,298		20,080
Bank of New York Mellon Corp.(The)		920		19,578
BlackRock, Inc.		110		17,357
Charles Schwab Corp.(The)		1,525		18,727
E*Trade Financial Corp.*		1,782		19,335
Eaton Vance Corp.		787		20,690
Federated Investors, Inc. — Class B		950		18,563
Franklin Resources, Inc.		174		18,554
Goldman Sachs Group, Inc.(The)		177		19,390
Greenhill & Co., Inc.		585		22,101
Invesco Ltd.		1,072		21,515
Janus Capital Group, Inc.		2,677		17,561
Jefferies Group, Inc.		1,325		17,570
Lazard Ltd. — Class A		727		19,876
Legg Mason, Inc.		646		17,765
LPL Investment Holdings, Inc.*		679		19,698
Morgan Stanley		1,183		20,868
Northern Trust Corp.		498		20,154
Raymond James Financial, Inc.		642		19,498
SEI Investments Co.		1,105		17,890
State Street Corp.		528		21,326
T. Rowe Price Group, Inc.		356		18,811
TD Ameritrade Holding Corp.		1,169		19,616
Waddell & Reed Financial, Inc. — Class A		645		17,886
Total Capital Markets				521,197
Chemicals 4.7%
Air Products & Chemicals, Inc.		573		49,358
Airgas, Inc.		699		48,196
Albemarle Corp.		1,057		56,327
Ashland, Inc.		986		52,219

See Notes to Financial Statements.

ANNUAL REPORT 81

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Cabot Corp.		1,737		$52,423
Celanese Corp. — Series A		1,183		51,520
CF Industries Holdings, Inc.		302		49,006
Cytec Industries, Inc.		1,275		56,954
Dow Chemical Co.(The)		1,820		50,742
Du Pont (E.I.) de Nemours & Co.		1,101		52,925
Eastman Chemical Co.		1,298		50,998
Ecolab, Inc.		909		48,941
FMC Corp.		621		48,991
Huntsman Corp.		4,468		52,454
International Flavors & Fragrances, Inc.		789		47,782
Intrepid Potash, Inc.*		1,605		44,667
Kronos Worldwide, Inc.		2,504		55,564
LyondellBasell Industries NV — Class A		1,576		51,787
Monsanto Co.		705		51,289
Mosaic Co.(The)		771		45,150
Nalco Holding Co.		725		27,340
PPG Industries, Inc.		622		53,747
Praxair, Inc.		483		49,107
Rockwood Holdings, Inc.*		1,108		51,012
RPM International, Inc.		2,463		55,344
Scotts Miracle-Gro Co.(The) — Class A		1,028		49,868
Sherwin-Williams Co.(The)		612		50,618
Sigma-Aldrich Corp.		719		47,080
Solutia, Inc.*		3,345		54,356
Valspar Corp.		1,435		50,038
Westlake Chemical Corp.		1,209		49,823
WR Grace & Co.*		1,270		53,073
Total Chemicals				1,608,699
Commercial Banks 1.7%
Associated Banc-Corp.		1,885		21,018
Bank of Hawaii Corp.		476		20,101
BB&T Corp.		806		18,812
BOK Financial Corp.		374		19,530
CapitalSource, Inc.		2,701		17,178
CIT Group, Inc.*		547		19,063
City National Corp.		442		18,750
Comerica, Inc.		754		19,265
Commerce Bancshares, Inc.		499		19,361
Cullen/Frost Bankers, Inc.		373		18,292
East West Bancorp, Inc.		1,151		22,410
Fifth Third Bancorp		1,693		20,333
First Citizens BancShares Inc. — Class A		112		18,262
First Horizon National Corp.		2,797		19,551
First Republic Bank/San Franciso*		725		20,082
Fulton Financial Corp.		2,137		20,173
Huntington Bancshares, Inc.		3,570		18,493
KeyCorp		2,940		20,756
M&T Bank Corp.		243		18,495
PNC Financial Services Group, Inc.		356		19,121
Popular, Inc.*		11,482		21,357
Regions Financial Corp.		4,900		19,257
SunTrust Banks, Inc.		946		18,665
Synovus Financial Corp.		15,651		23,476
TCF Financial Corp.		1,842		19,599
US Bancorp		732		18,732
Valley National Bancorp		1,626		19,512
Wells Fargo & Co.		707		18,318
Zions Bancorp		1,129		19,599
Total Commercial Banks				567,561
Commercial Services & Supplies 1.0%
Avery Dennison Corp.		987		26,254
Cintas Corp.		905		27,051
Copart, Inc.*		661		28,787
Corrections Corp. of America*		1,116		24,809
Covanta Holding Corp.		1,669		24,468
Iron Mountain, Inc.		797		24,651
KAR Auction Services, Inc.*		1,675		23,031
Pitney Bowes, Inc.		1,311		26,718
R.R. Donnelley & Sons Co.		1,789		29,161
Republic Services, Inc.		905		25,756
Stericycle, Inc.*		309		25,826
Waste Connections, Inc.		769		26,184
Waste Management, Inc.		795		26,179
Total Commercial Services & Supplies				338,875
Communications Equipment 1.4%
Acme Packet, Inc.*		642		23,247
Brocade Communications Systems, Inc.*		6,931		30,358
Ciena Corp.*		2,460		32,423
Cisco Systems, Inc.		1,884		34,910
EchoStar Corp. — Class A*		1,294		34,110
F5 Networks, Inc.*		390		40,540
Harris Corp.		820		30,955
JDS Uniphase Corp.*		2,619		31,428
Juniper Networks, Inc.*		1,517		37,121
Motorola Mobility Holdings, Inc.*		794		30,871
Motorola Solutions, Inc.		708		33,212
Polycom, Inc.*		1,566		25,886
QUALCOMM, Inc.		586		30,238
Riverbed Technology, Inc.*		1,400		38,612
Tellabs, Inc.		6,731		29,145
Total Communications Equipment				483,056
Computers & Peripherals 1.0%
Apple, Inc.*		73		29,549
Dell, Inc.*		1,995		31,541
Diebold, Inc.		1,047		33,797
EMC Corp.*		1,402		34,363
Hewlett-Packard Co.		1,280		34,061
Lexmark International, Inc. — Class A*		900		28,530
NCR Corp.*		1,677		31,930
NetApp, Inc.*		838		34,325
QLogic Corp.*		2,159		30,161
SanDisk Corp.*		701		35,520
Western Digital Corp.*		1,077		28,691
Total Computers & Peripherals				352,468
Construction & Engineering 0.7%
Aecom Technology Corp.*		1,413		29,560
Chicago Bridge & Iron Co. NV		842		30,800
Fluor Corp.		503		28,595
Jacobs Engineering Group, Inc.*		747		28,984
KBR, Inc.		1,005		28,049
Quanta Services, Inc.*		1,339		27,972
Shaw Group, Inc.(The)*		1,206		28,052
URS Corp.*		841		30,024
Total Construction & Engineering				232,036
Construction Materials 0.3%
Martin Marietta Materials, Inc.		706		50,952
Vulcan Materials Co.		1,541		48,218
Total Construction Materials				99,170

See Notes to Financial Statements.

82

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Consumer Finance 0.3%
American Express Co.		375		$18,982
Capital One Financial Corp.		417		19,040
Discover Financial Services		710		16,728
Green Dot Corp. — Class A*		552		18,034
SLM Corp.		1,379		18,851
Total Consumer Finance				91,635
Containers & Packaging 1.7%
AptarGroup, Inc.		975		46,771
Ball Corp.		1,448		50,057
Bemis Co., Inc.		1,517		42,643
Crown Holdings, Inc.*		1,480		50,009
Greif, Inc. — Class A		1,030		46,123
Owens-Illinois, Inc.*		2,721		54,638
Packaging Corp. of America		1,826		47,622
Rock-Tenn Co. — Class A		895		52,975
Sealed Air Corp.		2,574		45,817
Silgan Holdings, Inc.		1,272		47,751
Sonoco Products Co.		1,564		49,094
Temple-Inland, Inc.		1,481		47,111
Total Containers & Packaging				580,611
Distributors 0.1%
Genuine Parts Co.		417		23,948
LKQ Corp.*		863		25,183
Total Distributors				49,131
Diversified Consumer Services 0.6%
Apollo Group, Inc. — Class A*		509		24,101
Career Education Corp.*		1,492		24,066
DeVry, Inc.		544		20,498
Education Management Corp.*		1,409		27,983
H&R Block, Inc.		1,562		23,883
ITT Educational Services, Inc.*		330		20,447
Service Corp. International		2,205		22,050
Weight Watchers International, Inc.		368		27,460
Total Diversified Consumer Services				190,488
Diversified Financial Services 0.7%
Bank of America Corp.		2,728		18,632
CBOE Holdings, Inc.		653		17,063
Citigroup, Inc.		657		20,755
CME Group, Inc. — Class A		69		19,014
Interactive Brokers Group, Inc. — Class A		1,207		18,564
IntercontinentalExchange, Inc.*		140		18,183
JPMorgan Chase & Co.		558		19,396
Leucadia National Corp.		745		19,988
Moody’s Corp.		564		20,016
MSCI, Inc. — Class A*		550		18,365
Nasdaq OMX Group, Inc.(The)*		705		17,660
NYSE Euronext		688		18,280
Total Diversified Financial Services				225,916
Diversified Telecommunication Services 1.1%
AT&T, Inc.		1,843		54,018
CenturyTel, Inc.		1,554		54,794
Frontier Communications Corp.		8,354		52,296
Level 3 Communications, Inc.*		2,183		58,264
tw telecom, Inc.*		3,085		57,073
Verizon Communications, Inc.		1,431		52,918
Windstream Corp.		4,267		51,930
Total Diversified Telecommunication Services				381,293
Electric Utilities 3.0%
American Electric Power Co., Inc.		1,391		54,639
DPL, Inc.		1,757		53,325
Duke Energy Corp.		2,655		54,215
Edison International		1,400		56,840
Entergy Corp.		791		54,713
Exelon Corp.		1,231		54,644
FirstEnergy Corp.		1,170		52,603
Great Plains Energy, Inc.		2,617		54,277
Hawaiian Electric Industries, Inc.		2,161		54,738
ITC Holdings Corp.		699		50,803
NextEra Energy, Inc.		968		54,595
Northeast Utilities		1,532		52,961
NV Energy, Inc.		3,599		57,728
Pepco Holdings, Inc.		2,790		55,242
Pinnacle West Capital Corp.		1,228		55,972
PPL Corp.		1,827		53,659
Progress Energy, Inc.		1,019		53,090
Southern Co.		1,249		53,957
Westar Energy, Inc.		1,979		53,948
Total Electric Utilities				1,031,949
Electrical Equipment 1.0%
AMETEK, Inc.		733		28,968
Babcock & Wilcox Co.(The)*		1,223		26,894
Cooper Industries PLC		528		27,699
Emerson Electric Co.		591		28,439
General Cable Corp.*		1,072		30,059
GrafTech International, Ltd.*		1,824		28,655
Hubbell, Inc. — Class B		498		29,775
Polypore International, Inc.*		756		39,652
Regal-Beloit Corp.		509		27,043
Rockwell Automation, Inc.		446		30,172
Roper Industries, Inc.		360		29,196
Thomas & Betts Corp.*		620		30,808
Total Electrical Equipment				357,360
Electronic Equipment, Instruments & Components 1.5%
Amphenol Corp. — Class A		685		32,531
Arrow Electronics, Inc.*		1,004		36,194
Avnet, Inc.*		1,098		33,280
AVX Corp.		2,501		33,538
Corning, Inc.		2,368		33,839
Dolby Laboratories, Inc. — Class A*		1,019		29,796
FLIR Systems, Inc.		970		25,511
Ingram Micro, Inc. — Class A*		1,788		31,969
IPG Photonics Corp.*		545		28,809
Itron, Inc.*		749		27,556
Jabil Circuit, Inc.		1,739		35,754
Molex, Inc.		1,371		33,850
National Instruments Corp.		1,084		28,954
Tech Data Corp.*		660		32,459
Trimble Navigation, Ltd.*		718		29,014
Vishay Intertechnology, Inc.*		3,259		35,034
Total Electronic Equipment, Instruments & Components				508,088
Energy Equipment & Services 3.6%
Atwood Oceanics, Inc.*		1,405		60,050
Baker Hughes, Inc.		952		55,206
Cameron International Corp.*		1,055		51,843
CARBO Ceramics, Inc.		378		51,351
Core Laboratories NV		481		52,073
Diamond Offshore Drilling, Inc.		837		54,857
Dresser-Rand Group, Inc.*		1,084		52,466

See Notes to Financial Statements.

ANNUAL REPORT 83

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
FMC Technologies, Inc.*		1,213		$54,367
Halliburton Co.		1,427		53,313
Helmerich & Payne, Inc.		1,080		57,434
IHS, Inc. — Class A*		336		28,221
McDermott International, Inc.*		2,112		23,190
Nabors Industries Ltd.*		3,467		63,550
National-Oilwell Varco, Inc.		864		61,629
Oceaneering International, Inc.		1,283		53,668
Oil States International, Inc.*		879		61,187
Patterson-UTI Energy, Inc.		2,631		53,462
Rowan Cos., Inc.*		1,460		50,355
RPC, Inc.		2,610		48,468
Schlumberger Ltd.		773		56,792
SEACOR Holdings, Inc.		581		49,472
Superior Energy Services, Inc.*		1,629		45,807
Tidewater, Inc.		583		28,701
Unit Corp.*		1,228		60,246
Total Energy Equipment & Services				1,227,708
Food & Staples Retailing 1.8%
Costco Wholesale Corp.		257		21,395
CVS Caremark Corp.		2,171		78,807
Kroger Co.(The)		3,430		79,508
Safeway, Inc.		4,456		86,313
SUPERVALU, Inc.		10,814		86,728
Sysco Corp.		2,839		78,697
Wal-Mart Stores, Inc.		416		23,596
Walgreen Co.		2,226		73,903
Whole Foods Market, Inc.		1,060		76,447
Total Food & Staples Retailing				605,394
Food Products 4.7%
Archer-Daniels-Midland Co.		2,921		84,534
Bunge Ltd.		1,251		77,274
Campbell Soup Co.		2,326		77,340
ConAgra Foods, Inc.		3,084		78,118
Corn Products International, Inc.		1,833		88,900
Dean Foods Co.*		8,186		79,568
Flowers Foods, Inc.		3,896		78,660
General Mills, Inc.		1,909		73,554
Green Mountain Coffee Roasters, Inc.*		718		46,684
H.J. Heinz Co.		1,455		77,755
Hershey Co.(The)		1,255		71,824
Hormel Foods Corp.		2,719		80,129
J.M. Smucker Co.(The)		1,004		77,328
Kellogg Co.		1,388		75,243
Kraft Foods, Inc. — Class A		2,154		75,778
McCormick & Co., Inc.		1,579		76,676
Mead Johnson Nutrition Co.		1,009		72,497
Ralcorp Holdings, Inc.*		990		80,032
Sara Lee Corp.		4,310		76,718
Smithfield Foods, Inc.*		4,004		91,531
Tyson Foods, Inc. — Class A		4,352		83,994
Total Food Products				1,624,137
Gas Utilities 1.0%
AGL Resources, Inc.		1,305		54,732
Atmos Energy Corp.		1,649		56,594
National Fuel Gas Co.		991		60,738
Oneok, Inc.		783		59,547
Questar Corp.		2,907		56,018
UGI Corp.		1,930		55,333
Total Gas Utilities				342,962
Health Care Equipment & Supplies 2.6%
Alere, Inc.*		1,613		42,035
Baxter International, Inc.		635		34,912
Becton, Dickinson and Co.		464		36,299
Boston Scientific Corp.*		5,810		34,221
C.R. Bard, Inc.		396		34,036
CareFusion Corp.*		1,452		37,171
Cooper Cos., Inc.(The)		440		30,492
Covidien PLC		760		35,750
DENTSPLY International, Inc.		1,093		40,397
Edwards Lifesciences Corp.*		456		34,392
Gen-Probe, Inc.*		582		34,978
Hill-Rom Holdings, Inc.		1,128		37,980
Hologic, Inc.*		2,156		34,755
IDEXX Laboratories, Inc.*		480		34,555
Intuitive Surgical, Inc.*		90		39,048
Kinetic Concepts, Inc.*		533		36,452
Medtronic, Inc.		1,034		35,921
ResMed, Inc.*		1,201		33,988
Sirona Dental Systems, Inc.*		820		39,278
St Jude Medical, Inc.		906		35,334
Stryker Corp.		721		34,543
Teleflex, Inc.		641		38,370
Thoratec Corp.*		1,058		38,628
Varian Medical Systems, Inc.*		653		38,344
Zimmer Holdings, Inc.*		629		33,104
Total Health Care Equipment & Supplies				904,983
Health Care Providers & Services 3.3%
Aetna, Inc.		903		35,903
AMERIGROUP Corp.*		821		45,672
AmerisourceBergen Corp.		903		36,842
Brookdale Senior Living, Inc.*		2,588		42,909
Cardinal Health, Inc.		805		35,637
Catalyst Health Solutions, Inc.*		586		32,213
CIGNA Corp.		797		35,339
Community Health Systems, Inc.*		2,050		35,834
Coventry Health Care, Inc.*		1,179		37,504
DaVita, Inc.*		492		34,440
Express Scripts, Inc.*		893		40,837
HCA Holdings, Inc.*		1,783		41,811
Health Management Associates, Inc. — Class A*		5,005		43,844
Health Net, Inc.*		1,401		38,934
Henry Schein, Inc.*		543		37,641
Humana, Inc.		444		37,691
Laboratory Corp. of America Holdings*		419		35,133
LifePoint Hospitals, Inc.*		963		37,230
Lincare Holdings, Inc.		1,604		37,774
McKesson Corp.		463		37,758
Medco Health Solutions, Inc.*		720		39,499
Mednax, Inc.*		543		35,729
Omnicare, Inc.		1,318		39,303
Patterson Cos., Inc.		1,189		37,418
Quest Diagnostics, Inc.		703		39,227
Tenet Healthcare Corp.*		8,244		38,994
UnitedHealth Group, Inc.		717		34,409
Universal Health Services, Inc. — Class B		985		39,371
VCA Antech, Inc.*		2,089		42,449
WellPoint, Inc.		528		36,379
Total Health Care Providers & Services				1,143,724
Health Care Technology 0.3%
Allscripts Healthcare Solutions, Inc.*		1,832		35,083
Cerner Corp.*		485		30,763

See Notes to Financial Statements.

84

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Emdeon, Inc. — Class A*		1,242		$23,561
SXC Health Solutions Corp.*		615		28,794
Total Health Care Technology				118,201
Hotels, Restaurants & Leisure 1.5%
Bally Technologies, Inc.*		766		27,783
Brinker International, Inc.		966		22,121
Carnival Corp.		667		23,485
Chipotle Mexican Grill, Inc.*		67		22,520
Choice Hotels International, Inc.		706		25,268
Darden Restaurants, Inc.		460		22,025
Hyatt Hotels Corp. — Class A*		662		24,620
International Game Technology		1,462		25,716
Las Vegas Sands Corp.*		483		22,677
Marriott International, Inc. — Class A		756		23,814
McDonald’s Corp.		241		22,377
MGM Resorts International*		2,021		23,282
Panera Bread Co. — Class A*		191		25,535
Penn National Gaming, Inc.*		599		21,564
Royal Caribbean Cruises Ltd.		940		27,937
Starbucks Corp.		543		22,991
Starwood Hotels & Resorts Worldwide, Inc.		511		25,606
Wendy’s Co.(The)		4,306		21,788
WMS Industries, Inc.*		1,140		24,977
Wyndham Worldwide Corp.		700		23,569
Wynn Resorts Ltd.		154		20,451
Yum! Brands, Inc.		402		21,535
Total Hotels, Restaurants & Leisure				521,641
Household Durables 1.0%
DR Horton, Inc.		2,294		25,532
Garmin Ltd.		675		23,213
Harman International Industries, Inc.		668		28,831
Jarden Corp.		709		22,709
Leggett & Platt, Inc.		1,031		22,579
Lennar Corp. — Class A		1,576		26,067
Mohawk Industries, Inc.*		483		25,430
Newell Rubbermaid, Inc.		1,761		26,063
NVR, Inc.*		37		23,782
Pulte Homes, Inc.*		5,185		26,858
Tempur-Pedic International, Inc.*		367		24,978
Toll Brothers, Inc.*		1,444		25,183
Tupperware Brands Corp.		374		21,146
Whirlpool Corp.		403		20,477
Total Household Durables				342,848
Household Products 1.3%
Church & Dwight Co., Inc.		1,676		74,046
Clorox Co.(The)		1,118		74,839
Colgate-Palmolive Co.		828		74,826
Energizer Holdings, Inc.*		1,054		77,775
Kimberly-Clark Corp.		1,057		73,683
Procter & Gamble Co.(The)		1,189		76,084
Total Household Products				451,253
Independent Power Producers & Energy Traders 0.8%
AES Corp.(The)*		5,183		58,153
Calpine Corp.*		3,579		54,293
Constellation Energy Group, Inc.		1,370		54,389
GenOn Energy, Inc.*		18,014		54,943
NRG Energy, Inc.*		2,435		52,158
Total Independent Power Producers & Energy Traders				273,936
Industrial Conglomerates 0.4%
3M Co.		343		27,104
Carlisle Cos., Inc.		785		32,750
Danaher Corp.		589		28,478
General Electric Co.		1,650		27,572
Tyco International Ltd.		618		28,150
Total Industrial Conglomerates				144,054
Insurance 3.1%
ACE Ltd.		290		20,923
AFLAC, Inc.		511		23,041
Alleghany Corp.*		65		20,626
Allied World Assurance Co. Holdings Ltd.		331		19,231
Allstate Corp.(The)		745		19,623
American Financial Group, Inc.		564		20,208
American International Group, Inc.*		754		18,616
American National Insurance Co.		261		18,651
Aon Corp.		431		20,093
Arch Capital Group Ltd.*		550		19,784
Arthur J. Gallagher & Co.		653		20,178
Aspen Insurance Holdings Ltd.		783		20,742
Assurant, Inc.		489		18,846
Assured Guaranty Ltd.		1,570		20,002
Axis Capital Holdings Ltd.		681		21,349
Berkshire Hathaway, Inc. — Class B*		245		19,076
Brown & Brown, Inc.		959		21,175
Chubb Corp.(The)		293		19,646
Cincinnati Financial Corp.		664		19,216
CNA Financial Corp.		774		20,588
Endurance Specialty Holdings Ltd.		512		19,046
Erie Indemnity Co. — Class A		248		19,580
Everest Re Group Ltd.		223		20,052
Fidelity National Financial, Inc. — Class A		1,157		17,864
Genworth Financial, Inc. — Class A*		3,150		20,097
Hanover Insurance Group, Inc.(The)		499		19,042
Hartford Financial Services Group, Inc.		1,070		20,597
HCC Insurance Holdings, Inc.		635		16,897
Kemper Corp.		711		19,119
Lincoln National Corp.		1,057		20,136
Loews Corp.		495		19,652
Markel Corp.*		49		18,939
Marsh & McLennan Cos., Inc.		650		19,903
MBIA, Inc.*		2,335		20,548
Mercury General Corp.		461		19,961
MetLife, Inc.		607		21,342
Old Republic International Corp.		1,928		17,044
PartnerRe Ltd.		330		20,533
Principal Financial Group, Inc.		740		19,077
Progressive Corp.(The)		993		18,877
Protective Life Corp.		1,093		20,330
Prudential Financial, Inc.		376		20,379
Reinsurance Group of America, Inc.		369		19,273
RenaissanceRe Holdings Ltd.		284		19,346
StanCorp Financial Group, Inc.		643		21,823
Torchmark Corp.		499		20,424
Transatlantic Holdings, Inc.		367		19,099
Travelers Cos., Inc.(The)		357		20,831
Unum Group		817		19,477
Validus Holdings Ltd.		704		19,261
W.R. Berkley Corp.		599		20,851
White Mountains Insurance Group Ltd.		47		19,740
XL Group PLC		905		19,675
Total Insurance				1,050,429

See Notes to Financial Statements.

ANNUAL REPORT 85

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Internet & Catalog Retail 0.3%
Amazon.com, Inc.*		94		$20,070
Expedia, Inc.		747		19,616
Liberty Interactive Corp. — Series A*		1,345		22,098
Netflix, Inc.*		170		13,954
priceline.com, Inc.*		47		23,863
Total Internet & Catalog Retail				99,601
Internet Software & Services 1.2%
Akamai Technologies, Inc.*		1,365		36,773
AOL, Inc.*		2,413		34,072
eBay, Inc.*		662		21,071
Equinix, Inc.*		328		31,491
Google, Inc. — Class A*		58		34,373
IAC/InterActiveCorp*		746		30,459
LinkedIn Corp. — Class A*		375		33,713
Monster Worldwide, Inc.*		3,165		29,213
Rackspace Hosting, Inc.*		855		35,388
VeriSign, Inc.		1,031		33,085
VistaPrint NV*		810		28,285
WebMD Health Corp.*		1,160		41,702
Yahoo!, Inc.*		2,082		32,563
Total Internet Software & Services				422,188
IT Services 2.0%
Accenture PLC — Class A		485		29,226
Alliance Data Systems Corp.*		183		18,747
Amdocs Ltd.*		1,094		32,842
Automatic Data Processing, Inc.		543		28,415
Booz Allen Hamilton Holding Corp.*		1,788		28,268
Broadridge Financial Solutions, Inc.		859		19,113
Cognizant Technology Solutions Corp. — Class A*		456		33,174
Computer Sciences Corp.		1,083		34,071
CoreLogic, Inc.*		1,556		18,937
DST Systems, Inc.		660		33,125
Fidelity National Information Services, Inc.		706		18,483
Fiserv, Inc.*		338		19,898
FleetCor Technologies, Inc.*		658		18,398
Gartner, Inc.*		831		32,010
Genpact Ltd.*		1,696		27,390
Global Payments, Inc.		431		19,792
International Business Machines Corp.		171		31,572
Lender Processing Services, Inc.		1,173		20,586
Mastercard, Inc. — Class A		50		17,362
NeuStar, Inc. — Class A*		1,168		37,131
Paychex, Inc.		973		28,353
SAIC, Inc.*		2,463		30,615
Teradata Corp.*		529		31,560
Total System Services, Inc.		1,004		19,970
VeriFone Systems, Inc.*		792		33,430
Visa, Inc. — Class A		198		18,465
Western Union Co.(The)		1,105		19,304
Total IT Services				700,237
Leisure Equipment & Products 0.2%
Hasbro, Inc.		616		23,445
Mattel, Inc.		808		22,818
Polaris Industries, Inc.		402		25,463
Total Leisure Equipment & Products				71,726
Life Sciences Tools & Services 1.4%
Agilent Technologies, Inc.*		774		28,692
Bio-Rad Laboratories, Inc. — Class A*		370		36,833
Bruker Corp.*		2,512		36,248
Charles River Laboratories International, Inc.*		1,202		38,801
Covance, Inc.*		747		37,895
Illumina, Inc.*		830		25,415
Life Technologies Corp.*		929		37,782
Mettler-Toledo International, Inc.*		180		27,648
PerkinElmer, Inc.		1,774		36,669
Pharmaceutical Product Development, Inc.		1,368		45,130
QIAGEN NV*		2,484		34,230
Techne Corp.		503		34,606
Thermo Fisher Scientific, Inc.*		681		34,234
Waters Corp.*		324		25,959
Total Life Sciences Tools & Services				480,142
Machinery 3.5%
AGCO Corp.*		667		29,235
Caterpillar, Inc.		334		31,550
CNH Global NV*		918		34,131
Crane Co.		695		30,656
Cummins, Inc.		284		28,238
Deere & Co.		370		28,083
Donaldson Co., Inc.		458		29,335
Dover Corp.		532		29,542
Eaton Corp.		702		31,464
Flowserve Corp.		323		29,939
Gardner Denver, Inc.		377		29,153
Graco, Inc.		724		31,089
Harsco Corp.		1,250		28,812
IDEX Corp.		784		27,793
Illinois Tool Works, Inc.		577		28,060
Ingersoll-Rand PLC		794		24,717
ITT Corp.		494		22,526
Joy Global, Inc.		374		32,613
Kennametal, Inc.		747		29,051
Lincoln Electric Holdings, Inc.		830		30,212
Manitowoc Co., Inc.(The)		3,343		37,040
Navistar International Corp.*		726		30,543
Nordson Corp.		618		28,657
Oshkosh Corp.*		1,502		31,332
PACCAR, Inc.		720		31,133
Pall Corp.		590		30,190
Parker Hannifin Corp.		398		32,457
Pentair, Inc.		783		28,149
Snap-on, Inc.		457		24,527
SPX Corp.		523		28,561
Stanley Black & Decker, Inc.		403		25,732
Terex Corp.*		2,185		36,358
Timken Co.		1,385		58,336
Toro Co.(The)		502		27,128
Trinity Industries, Inc.		1,099		29,970
Valmont Industries, Inc.		546		46,819
WABCO Holdings, Inc.*		509		25,557
Wabtec Corp.		457		30,701
Xylem, Inc.*		1,175		31,419
Total Machinery				1,200,808
Marine 0.2%
Alexander & Baldwin, Inc.		679		28,185
Kirby Corp.*		468		28,801
Total Marine				56,986

See Notes to Financial Statements.

86

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Media 2.1%
AMC Networks, Inc. — Class A*		635		$20,714
Cablevision Systems Corp. — Class A		1,204		17,422
CBS Corp. — Class B		971		25,062
Charter Communications, Inc. — Class A*		439		20,168
Clear Channel Outdoor Holdings, Inc. — Class A*		2,043		22,473
Comcast Corp. — Class A		967		22,676
DIRECTV — Class A*		487		22,139
Discovery Communications, Inc. — Class A*		514		22,338
DISH Network Corp. — Class A*		772		18,659
DreamWorks Animation SKG, Inc. — Class A*		1,107		20,535
Gannett Co., Inc.		2,203		25,753
Interpublic Group of Cos., Inc.(The)		2,726		25,842
John Wiley & Sons, Inc. — Class A		468		22,258
Lamar Advertising Co. — Class A*		1,157		26,021
Liberty Global, Inc. — Class A*		569		22,862
Liberty Media Corp. — Liberty Capital — Series A*		306		23,507
Liberty Media Corp. — Liberty Starz — Series A — Tracking Stock*		321		21,924
Madison Square Garden, Inc.(The) — Class A*		920		24,316
McGraw-Hill Cos., Inc.(The)		492		20,910
Morningstar, Inc.		308		18,163
News Corp. — Class A		1,311		22,969
Omnicom Group, Inc.		551		24,508
Regal Entertainment Group — Class A		1,695		24,476
Scripps Networks Interactive, Inc. — Class A		530		22,514
Sirius XM Radio, Inc.*		12,759		22,839
Thomson Reuters Corp.		622		18,455
Time Warner Cable, Inc.		327		20,827
Time Warner, Inc.		681		23,828
Viacom, Inc. — Class B		519		22,758
Virgin Media, Inc.		861		20,991
Walt Disney Co.(The)		690		24,067
Washington Post Co.(The) — Class B		67		22,791
Total Media				714,765
Metals & Mining 3.0%
AK Steel Holding Corp.		6,413		53,420
Alcoa, Inc.		4,441		47,785
Allegheny Technologies, Inc.		1,119		51,922
Allied Nevada Gold Corp.*		1,281		48,652
Carpenter Technology Corp.		939		53,260
Cliffs Natural Resources, Inc.		767		52,325
Commercial Metals Co.		4,426		55,015
Compass Minerals International, Inc.		658		50,054
Freeport-McMoRan Copper & Gold, Inc.		1,338		53,868
Molycorp, Inc.*		1,230		47,072
Newmont Mining Corp.		732		48,920
Nucor Corp.		1,390		52,514
Reliance Steel & Aluminum Co.		1,246		55,061
Royal Gold, Inc.		676		48,388
Schnitzer Steel Industries, Inc. — Class A		1,185		55,458
Southern Copper Corp.		1,657		50,837
Steel Dynamics, Inc.		4,260		53,208
Titanium Metals Corp.		2,951		49,429
United States Steel Corp.		1,951		49,477
Walter Energy, Inc.		722		54,619
Total Metals & Mining				1,031,284
Multi-Utilities 3.2%
Alliant Energy Corp.		1,349		55,012
Ameren Corp.		1,738		55,407
CenterPoint Energy, Inc.		2,746		57,227
CMS Energy Corp.		2,638		54,923
Consolidated Edison, Inc.		931		53,877
Dominion Resources, Inc.		1,036		53,447
DTE Energy Co.		1,072		55,862
Integrys Energy Group, Inc.		1,074		56,825
MDU Resources Group, Inc.		2,684		55,317
NiSource, Inc.		2,445		54,010
NSTAR		1,163		52,440
OGE Energy Corp.		1,105		57,173
PG&E Corp.		1,217		52,209
Public Service Enterprise Group, Inc.		1,547		52,134
SCANA Corp.		1,301		55,006
Sempra Energy		1,035		55,611
TECO Energy, Inc.		3,039		56,434
Vectren Corp.		1,931		54,802
Wisconsin Energy Corp.		1,692		54,872
Xcel Energy, Inc.		2,128		55,009
Total Multi-Utilities				1,097,597
Multiline Retail 0.8%
Big Lots, Inc.*		609		22,953
Dillard’s, Inc. — Class A		456		23,498
Dollar General Corp.*		576		22,844
Dollar Tree, Inc.*		285		22,789
Family Dollar Stores, Inc.		398		23,335
J.C. Penney Co., Inc.		787		25,247
Kohl’s Corp.		454		24,067
Macy’s, Inc.		793		24,210
Nordstrom, Inc.		457		23,165
Sears Holdings Corp.*		375		29,317
Target Corp.		425		23,269
Total Multiline Retail				264,694
Office Electronics 0.2%
Xerox Corp.		3,434		28,090
Zebra Technologies Corp. — Class A*		835		29,843
Total Office Electronics				57,933
Oil, Gas & Consumable Fuels 8.2%
Alpha Natural Resources, Inc.*		2,310		55,532
Anadarko Petroleum Corp.		687		53,930
Apache Corp.		572		56,988
Arch Coal, Inc.		2,967		54,059
Brigham Exploration Co.*		1,822		66,348
Cabot Oil & Gas Corp.		743		57,746
Chesapeake Energy Corp.		1,776		49,941
Chevron Corp.		526		55,256
Cimarex Energy Co.		818		52,352
Cobalt International Energy, Inc.*		5,623		58,029
Concho Resources, Inc.*		622		58,916
ConocoPhillips		762		53,073
Consol Energy, Inc.		1,296		55,417
Continental Resources, Inc.*		944		57,254
Denbury Resources, Inc.*		3,847		60,398
Devon Energy Corp.		837		54,363
El Paso Corp.		2,722		68,077
Energen Corp.		1,187		58,234
EOG Resources, Inc.		623		55,715
EQT Corp.		842		53,467
EXCO Resources, Inc.		3,988		50,289
Exxon Mobil Corp.		676		52,789

See Notes to Financial Statements.

ANNUAL REPORT 87

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Forest Oil Corp.*		3,093		$36,064
Hess Corp.		862		53,927
HollyFrontier Corp.		1,756		53,892
Kinder Morgan, Inc.		1,819		52,023
Kosmos Energy Ltd.*		3,886		60,233
Marathon Oil Corp.		2,119		55,158
Marathon Petroleum Corp.		1,647		59,127
Murphy Oil Corp.		1,057		58,526
Newfield Exploration Co.*		1,129		45,454
Noble Energy, Inc.		655		58,518
Occidental Petroleum Corp.		624		57,995
Peabody Energy Corp.		1,268		54,993
Pioneer Natural Resources Co.		682		57,220
Plains Exploration & Production Co.*		1,972		62,118
QEP Resources, Inc.		1,664		59,155
Quicksilver Resources, Inc.*		5,739		44,190
Range Resources Corp.		774		53,282
SandRidge Energy, Inc.*		7,567		57,963
SM Energy Co.		708		58,700
Southern Union Co.		1,289		54,177
Southwestern Energy Co.*		1,359		57,132
Spectra Energy Corp.		1,934		55,370
Sunoco, Inc.		1,459		54,319
Teekay Corp.		1,059		27,280
Tesoro Corp.*		2,393		62,074
Ultra Petroleum Corp.*		1,585		50,498
Valero Energy Corp.		2,556		62,878
Whiting Petroleum Corp.*		1,274		59,305
Williams Cos., Inc.(The)		1,893		56,998
Total Oil, Gas & Consumable Fuels				2,816,742
Paper & Forest Products 0.4%
Domtar Corp.		617		50,539
International Paper Co.		1,780		49,306
MeadWestvaco Corp.		1,765		49,261
Total Paper & Forest Products				149,106
Personal Products 0.3%
Avon Products, Inc.		1,055		19,286
Estee Lauder Cos., Inc.(The) — Class A		222		21,856
Herbalife Ltd.		1,295		80,756
Total Personal Products				121,898
Pharmaceuticals 1.5%
Abbott Laboratories		689		37,116
Allergan, Inc.		418		35,162
Bristol-Myers Squibb Co.		1,130		35,697
Eli Lilly & Co.		950		35,302
Endo Pharmaceuticals Holdings, Inc.*		1,217		39,321
Forest Laboratories, Inc.*		1,130		35,369
Hospira, Inc.*		922		28,997
Johnson & Johnson, Inc.		553		35,608
Merck & Co., Inc.		1,101		37,985
Mylan, Inc.*		1,911		37,398
Perrigo Co.		359		32,411
Pfizer, Inc.		1,995		38,424
Warner Chilcott PLC — Class A*		2,244		40,661
Watson Pharmaceuticals, Inc.*		489		32,841
Total Pharmaceuticals				502,292
Professional Services 0.5%
Dun & Bradstreet Corp.(The)		276		18,453
Equifax, Inc.		553		19,438
Manpower, Inc.		732		31,579
Nielsen Holdings NV*		789		23,157
Robert Half International, Inc.		1,211		32,007
Towers Watson & Co. — Class A		436		28,645
Verisk Analytics, Inc. — Class A*		753		26,468
Total Professional Services				179,747
Real Estate Investment Trusts (REITs) 2.5%
Alexandria Real Estate Equities, Inc.		286		18,902
American Capital Agency Corp.		643		17,689
Annaly Capital Management, Inc.		1,020		17,187
Apartment Investment & Management Co. — Class A		752		18,552
AvalonBay Communities, Inc.		151		20,187
Boston Properties, Inc.		191		18,907
Brandywine Realty Trust		2,154		19,623
BRE Properties, Inc.		402		20,148
Camden Property Trust		309		18,738
Chimera Investment Corp.		5,894		17,741
CommonWealth		924		17,879
Corporate Office Properties Trust		749		18,163
DDR Corp.		1,612		20,650
Digital Realty Trust, Inc.		317		19,759
Douglas Emmett, Inc.		998		19,461
Duke Realty Corp.		1,628		19,992
Equity Residential		334		19,599
Essex Property Trust, Inc.		142		20,272
Federal Realty Investment Trust		212		18,817
General Growth Properties, Inc.		1,382		20,315
HCP, Inc.		490		19,526
Health Care REIT, Inc.		372		19,601
Hospitality Properties Trust		774		18,599
Host Hotels & Resorts, Inc.		1,543		22,019
Kimco Realty Corp.		1,119		19,549
Liberty Property Trust		577		18,464
Macerich Co.(The)		389		19,357
Mack-Cali Realty Corp.		633		17,762
Piedmont Office Realty Trust, Inc. — Class A		1,063		18,050
Plum Creek Timber Co., Inc.		503		18,943
ProLogis, Inc.		675		20,088
Public Storage		154		19,874
Rayonier, Inc.		467		19,488
Realty Income Corp.		522		17,440
Regency Centers Corp.		483		19,784
Senior Housing Properties Trust		787		17,660
Simon Property Group, Inc.		155		19,908
SL Green Realty Corp.		281		19,386
Taubman Centers, Inc.		336		20,573
UDR, Inc.		764		19,046
Ventas, Inc.		349		19,408
Vornado Realty Trust		219		18,135
Weingarten Realty Investors		788		18,289
Weyerhaeuser Co.		1,072		19,275
Total Real Estate Investment Trusts (REITs)				842,805
Real Estate Management & Development 0.3%
CBRE Group, Inc.*		1,270		22,580
Forest City Enterprises, Inc. — Class A*		1,547		21,163
Howard Hughes Corp.(The)*		402		19,288
Jones Lang LaSalle, Inc.		311		20,097
St Joe Co.(The)*		1,129		16,201
Total Real Estate Management & Development				99,329

See Notes to Financial Statements.

88

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Road & Rail 0.8%
Con-way, Inc.		1,073		$31,621
CSX Corp.		1,326		29,450
Hertz Global Holdings, Inc.*		2,269		26,320
JB Hunt Transport Services, Inc.		680		28,771
Kansas City Southern*		505		31,901
Landstar System, Inc.		644		28,742
Norfolk Southern Corp.		410		30,336
Ryder System, Inc.		641		32,653
Union Pacific Corp.		305		30,369
Total Road & Rail				270,163
Semiconductors & Semiconductor Equipment 3.4%
Advanced Micro Devices, Inc.*		4,659		27,162
Altera Corp.		842		31,929
Analog Devices, Inc.		901		32,950
Applied Materials, Inc.		2,799		34,484
Atmel Corp.*		3,189		33,676
Avago Technologies Ltd.		878		29,650
Broadcom Corp. — Class A*		862		31,110
Cree, Inc.*		1,037		27,626
Cypress Semiconductor Corp.*		1,759		33,614
Fairchild Semiconductor International, Inc.*		2,501		37,440
First Solar, Inc.*		680		33,844
Freescale Semiconductor Holdings I Ltd.*		2,393		31,564
Intel Corp.		1,341		32,908
International Rectifier Corp.*		1,480		35,949
Intersil Corp. — Class A		2,737		32,762
KLA-Tencor Corp.		753		35,459
Lam Research Corp.*		773		33,231
Linear Technology Corp.		1,026		33,150
LSI Corp.*		5,250		32,812
Marvell Technology Group Ltd.*		1,983		27,742
Maxim Integrated Products, Inc.		1,234		32,281
MEMC Electronic Materials, Inc.*		5,174		30,992
Microchip Technology, Inc.		908		32,833
Micron Technology, Inc.*		4,680		26,161
Novellus Systems, Inc.*		1,033		35,690
NVIDIA Corp.*		2,182		32,294
ON Semiconductor Corp.*		3,887		29,425
PMC — Sierra, Inc.*		4,724		29,950
Silicon Laboratories, Inc.*		850		36,337
Skyworks Solutions, Inc.*		1,470		29,121
SunPower Corp. — Class A*		5,285		52,956
Teradyne, Inc.*		2,573		36,845
Texas Instruments, Inc.		1,078		33,127
Varian Semiconductor Equipment Associates, Inc.*		491		30,820
Xilinx, Inc.		1,035		34,631
Total Semiconductors & Semiconductor Equipment				1,152,525
Software 2.6%
Activision Blizzard, Inc.		2,483		33,247
Adobe Systems, Inc.*		1,184		34,821
ANSYS, Inc.*		577		31,366
Ariba, Inc.*		1,015		32,155
Autodesk, Inc.*		1,028		35,569
BMC Software, Inc.*		754		26,209
CA, Inc.		1,471		31,862
Cadence Design Systems, Inc.*		3,076		34,051
Citrix Systems, Inc.*		523		38,090
Compuware Corp.*		3,673		31,037
Electronic Arts, Inc.*		1,381		32,246
Factset Research Systems, Inc.		197		19,586
Fortinet, Inc.*		1,741		40,147
Informatica Corp.*		705		32,078
Intuit, Inc.		619		33,222
MICROS Systems, Inc.*		642		31,599
Microsoft Corp.		1,180		31,423
Nuance Communications, Inc.*		1,448		38,343
Oracle Corp.		1,006		32,967
Red Hat, Inc.*		678		33,663
Rovi Corp.*		663		32,845
Salesforce.com, Inc.*		241		32,094
Solera Holdings, Inc.		577		31,522
Symantec Corp.*		1,762		29,972
Synopsys, Inc.*		1,042		27,936
TIBCO Software, Inc.*		1,311		37,875
VMware, Inc. — Class A*		350		34,212
Total Software				880,137
Specialty Retail 2.2%
Aaron’s, Inc.		829		22,184
Abercrombie & Fitch Co. — Class A		324		24,105
Advance Auto Parts, Inc.		356		23,165
American Eagle Outfitters, Inc.		1,752		23,004
AutoNation, Inc.*		635		24,727
AutoZone, Inc.*		66		21,357
Bed Bath & Beyond, Inc.*		365		22,572
Best Buy Co., Inc.		875		22,951
CarMax, Inc.*		842		25,310
Chico’s FAS, Inc.		1,723		21,296
Dick’s Sporting Goods, Inc.*		579		22,633
DSW, Inc. — Class A		454		23,762
Foot Locker, Inc.		969		21,182
GameStop Corp. — Class A*		905		23,141
Gap, Inc.(The)		1,252		23,663
Guess?, Inc.		707		23,324
Home Depot, Inc.		637		22,805
Limited Brands, Inc.		522		22,295
Lowe’s Cos., Inc.		1,059		22,260
O’Reilly Automotive, Inc.*		313		23,804
PetSmart, Inc.		487		22,865
RadioShack Corp.		1,709		20,354
Ross Stores, Inc.		267		23,424
Sally Beauty Holdings, Inc.*		1,269		24,352
Signet Jewelers Ltd.		613		26,426
Staples, Inc.		1,576		23,577
Tiffany & Co.		305		24,318
TJX Cos., Inc.		374		22,040
Tractor Supply Co.		322		22,843
Ulta Salon Cosmetics & Fragrance, Inc.*		308		20,725
Urban Outfitters, Inc.*		904		24,634
Williams-Sonoma, Inc.		643		24,138
Total Specialty Retail				739,236
Textiles, Apparel & Luxury Goods 0.6%
Coach, Inc.		368		23,946
Deckers Outdoor Corp.*		216		24,892
Fossil, Inc.*		221		22,909
Hanesbrands, Inc.*		820		21,623
NIKE, Inc. — Class B		239		23,028
PVH Corp.		330		24,555
Ralph Lauren Corp.		146		23,183
Under Armour, Inc. — Class A*		286		24,141
V.F. Corp.		167		23,083
Total Textiles, Apparel & Luxury Goods				211,360

See Notes to Financial Statements.

ANNUAL REPORT 89

RYDEX RUSSELL 1000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Thrifts & Mortgage Finance 0.4%
BankUnited, Inc.		833		$18,151
Capitol Federal Financial, Inc.		1,665		18,465
First Niagara Financial Group, Inc.		1,828		16,799
Hudson City Bancorp, Inc.		3,073		19,206
New York Community Bancorp, Inc.		1,434		19,087
People’s United Financial, Inc.		1,499		19,112
TFS Financial Corp.*		2,175		20,032
Washington Federal, Inc.		1,280		17,472
Total Thrifts & Mortgage Finance				148,324
Tobacco 0.9%
Altria Group, Inc.		2,851		78,545
Lorillard, Inc.		682		75,470
Philip Morris International, Inc.		1,164		81,329
Reynolds American, Inc.		2,021		78,172
Total Tobacco				313,516
Trading Companies & Distributors 0.6%
Air Lease Corp.*		1,231		27,488
Fastenal Co.		1,323		50,393
GATX Corp.		784		29,776
MSC Industrial Direct Co. — Class A		447		30,401
W.W. Grainger, Inc.		161		27,581
WESCO International, Inc.*		674		32,662
Total Trading Companies & Distributors				198,301
Water Utilities 0.3%
American Water Works Co., Inc.		1,732		52,878
Aqua America, Inc.		2,461		54,610
Total Water Utilities				107,488
Wireless Telecommunication Services 1.1%
American Tower Corp. — Class A*		553		30,470
Clearwire Corp. — Class A*		21,372		41,034
Crown Castle International Corp.*		717		29,655
MetroPCS Communications, Inc.*		5,605		47,643
NII Holdings, Inc.*		1,738		40,895
SBA Communications Corp. — Class A*		836		31,843
Sprint Nextel Corp.*		16,865		43,343
Telephone & Data Systems, Inc.		2,419		56,073
United States Cellular Corp.*		1,299		51,791
Total Wireless Telecommunication Services				372,747
Total Common Stocks (Cost $35,774,850)				34,164,871
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		23,769		23,769
Total Short Term Investments (Cost $23,769)				23,769
Total Investments 100.0%(a) (Cost $35,798,619)				34,188,640
Liabilities in Excess of Other Assets—0.0%(b)				(5,930	)
Net Assets—100.0%				$34,182,710

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

REIT—Real Estate Investment Trust

Tracking Stock—A security issued by a parent company that tracks the performance of a particular division.

See Notes to Financial Statements.

90

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.5%
Aerospace & Defense 1.0%
AAR Corp.		510		$10,164
Aerovironment, Inc.*		308		10,173
American Science & Engineering, Inc.		128		8,707
Astronics Corp.		322		9,789
Ceradyne, Inc.*		318		10,640
Cubic Corp.		220		10,366
Curtiss-Wright Corp.		318		10,424
DigitalGlobe, Inc.*		401		8,180
Ducommun, Inc.*		583		8,319
Esterline Technologies Corp.*		162		9,056
GenCorp, Inc.*		2,210		10,741
GeoEye, Inc.*		292		9,802
HEICO Corp.		179		10,207
Hexcel Corp.*		925		22,857
KEYW Holding Corp.(The)*		1,070		8,988
Kratos Defense & Security Solutions, Inc.*		1,150		7,280
LMI Aerospace, Inc.*		510		10,256
Moog, Inc. — Class A*		271		10,496
National Presto Industries, Inc.		97		9,264
Orbital Sciences Corp.*		685		10,590
Taser International, Inc.*		2,012		10,000
Teledyne Technologies, Inc.*		181		9,859
Triumph Group, Inc.		174		10,109
Total Aerospace & Defense				236,267
Air Freight & Logistics 0.3%
Air Transport Services Group, Inc.*		1,861		10,310
Atlas Air Worldwide Holdings, Inc.*		238		9,168
Forward Air Corp.		332		10,873
HUB Group, Inc. — Class A*		319		9,972
Pacer International, Inc.*		2,281		10,743
Park-Ohio Holdings Corp.*		728		11,779
Total Air Freight & Logistics				62,845
Airlines 0.3%
Alaska Air Group, Inc.*		160		10,645
Allegiant Travel Co.		191		9,924
Hawaiian Holdings, Inc.*		2,030		10,860
JetBlue Airways Corp.*		2,147		9,619
Republic Airways Holdings, Inc.*		3,068		7,977
SkyWest, Inc.		761		10,205
Spirit Airlines, Inc.*		745		12,263
US Airways Group, Inc.*		1,485		8,568
Total Airlines				80,061
Auto Components 0.7%
American Axle & Manufacturing Holdings, Inc.*		1,010		9,787
Amerigon, Inc.*		620		9,511
Cooper Tire & Rubber Co.		771		11,048
Dana Holding Corp.*		737		10,421
Dorman Products, Inc.*		261		9,947
Drew Industries, Inc.		405		9,732
Exide Technologies*		1,892		8,514
Fuel Systems Solutions, Inc.*		420		9,803
Modine Manufacturing Co.*		924		9,766
Motorcar Parts of America, Inc.*		941		9,335
Spartan Motors, Inc.		2,012		9,859
Standard Motor Products, Inc.		605		9,408
Stoneridge, Inc.*		1,369		10,774
Superior Industries International, Inc.		506		9,255
Tenneco, Inc.*		300		9,816
Tower International, Inc.*		779		9,589
Total Auto Components				156,565
Automobiles 0.0%(a)
Winnebago Industries, Inc.*		1,191		9,695
Total Automobiles				9,695
Beverages 1.1%
Boston Beer Co., Inc. — Class A*		656		58,043
Central European Distribution Corp.*		7,339		39,631
Coca-Cola Bottling Co. Consolidated		883		49,554
Heckmann Corp.*		8,783		52,610
National Beverage Corp.		3,075		52,029
Total Beverages				251,867
Biotechnology 3.7%
Achillion Pharmaceuticals, Inc.*		1,702		10,791
Acorda Therapeutics, Inc.*		393		8,583
Affymax, Inc.*		1,860		9,895
Alkermes PLC*		536		9,375
Allos Therapeutics, Inc.*		4,451		6,543
Alnylam Pharmaceuticals, Inc.*		1,255		10,191
AMAG Pharmaceuticals, Inc.*		602		8,494
Amicus Therapeutics, Inc.*		2,227		7,327
Anacor Pharmaceuticals, Inc.*		1,543		10,446
Anthera Pharmaceuticals, Inc.*		1,774		11,336
Ardea Biosciences, Inc.*		515		10,254
Arena Pharmaceuticals, Inc.*		5,767		8,131
Ariad Pharmaceuticals, Inc.*		847		9,851
Arqule, Inc.*		1,643		9,546
Array Biopharma, Inc.*		3,888		9,370
Astex Pharmaceuticals, Inc.*		4,339		8,374
AVEO Pharmaceuticals, Inc.*		530		8,512
AVI BioPharma, Inc.*		7,673		7,520
BioCryst Pharmaceuticals, Inc.*		2,932		9,001
BioMimetic Therapeutics, Inc.*		2,420		7,841
Biosante Pharmaceuticals, Inc.*		3,396		8,999
Biospecifics Technologies Corp.*		514		8,738
Biotime, Inc.*		1,825		8,231
Cell Therapeutics, Inc.*		7,810		9,997
Celldex Therapeutics, Inc.*		3,243		10,410
Cepheid, Inc.*		213		7,642
Chelsea Therapeutics International Ltd.*		2,160		9,785
Cleveland Biolabs, Inc.*		3,195		9,489
Codexis, Inc.*		1,739		8,017
Cubist Pharmaceuticals, Inc.*		233		8,810
Curis, Inc.*		2,603		9,579
Cytori Therapeutics, Inc.*		2,612		7,914
Dusa Pharmaceuticals, Inc.*		2,315		10,417
Dyax Corp.*		5,767		7,785
Dynavax Technologies Corp.*		4,339		11,802
Emergent Biosolutions, Inc.*		526		9,920
Enzon Pharmaceuticals, Inc.*		1,131		8,313
Exact Sciences Corp.*		1,212		9,635
Exelixis, Inc.*		1,434		11,085
Genomic Health, Inc.*		429		9,181
Geron Corp.*		3,888		9,137
GTx, Inc.*		2,355		10,338
Halozyme Therapeutics, Inc.*		1,382		11,650
Idenix Pharmaceuticals, Inc.*		1,594		9,564
Immunogen, Inc.*		738		10,022
Immunomedics, Inc.*		2,426		8,831
Incyte Corp., Ltd.*		576		7,932
Infinity Pharmaceuticals, Inc.*		1,226		9,281

See Notes to Financial Statements.

ANNUAL REPORT 91

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Inhibitex, Inc.*		2,963		$11,526
Insmed, Inc.*		1,733		6,117
InterMune, Inc.*		378		9,639
Ironwood Pharmaceuticals, Inc.*		745		10,132
Isis Pharmaceuticals, Inc.*		1,176		9,749
Keryx Biopharmaceuticals, Inc.*		2,686		8,407
Lexicon Pharmaceuticals, Inc.*		8,423		10,192
Ligand Pharmaceuticals, Inc. — Class B		584		8,585
MannKind Corp.*		2,279		7,110
Maxygen, Inc.		1,567		9,245
Medivation, Inc.		475		8,161
Metabolix, Inc.*		1,873		9,608
Micromet, Inc.*		1,719		11,294
Momenta Pharmaceuticals, Inc.*		718		10,626
Nabi Biopharmaceuticals*		4,826		8,880
Neurocrine Biosciences, Inc.*		1,430		8,952
Novavax, Inc.*		5,579		8,815
NPS Pharmaceuticals, Inc.*		1,302		6,731
Nymox Pharmaceutical Corp.*		1,030		9,507
OncoGenex Pharmaceutical, Inc.*		850		9,860
Oncothyreon, Inc.*		1,304		9,076
Onyx Pharmaceuticals, Inc.*		278		11,379
Opko Health, Inc.*		1,855		9,980
Orexigen Therapeutics, Inc.*		4,318		9,456
Osiris Therapeutics, Inc.*		1,627		8,721
PDL BioPharma, Inc.		1,479		8,978
Peregrine Pharmaceuticals, Inc.*		7,602		7,982
Pharmacyclics, Inc.*		697		9,179
PharmAthene, Inc.*		4,092		6,956
Progenics Pharmaceuticals, Inc.*		1,338		8,791
Raptor Pharmaceutical Corp.*		1,708		8,438
Rigel Pharmaceuticals, Inc.*		1,173		9,208
Sangamo Biosciences, Inc.*		1,733		5,754
Savient Pharmaceuticals, Inc.*		1,906		7,148
Sciclone Pharmaceuticals, Inc.*		2,086		8,782
Seattle Genetics, Inc.*		436		9,592
SIGA Technologies, Inc.*		3,078		9,973
Spectrum Pharmaceuticals, Inc.*		1,071		11,877
Synta Pharmaceuticals Corp.*		2,315		8,565
Targacept, Inc.*		532		9,363
Theravance, Inc.*		394		8,759
Trius Therapeutics, Inc.*		1,292		8,850
Vanda Pharmaceuticals, Inc.*		1,627		9,453
Vical, Inc.*		3,183		9,517
Zalicus, Inc.*		8,262		12,145
ZIOPHARM Oncology, Inc.*		1,798		8,828
Total Biotechnology				863,771
Building Products 1.3%
AAON, Inc.		1,182		25,023
Ameresco, Inc. — Class A*		2,401		26,387
American Woodmark Corp.*		627		10,665
AO Smith Corp.		261		9,699
Apogee Enterprises, Inc.		2,233		24,384
Gibraltar Industries, Inc.*		2,313		25,813
Griffon Corp.*		2,371		22,453
Insteel Industries, Inc.		1,941		20,012
NCI Building Systems, Inc.*		2,433		22,165
Quanex Building Products Corp.		1,802		26,579
Simpson Manufacturing Co., Inc.		777		23,823
Trex Co., Inc.*		1,145		21,160
Universal Forest Products, Inc.		791		22,203
USG Corp.*		2,746		25,428
Total Building Products				305,794
Capital Markets 1.5%
Apollo Investment Corp.		712		5,895
Arlington Asset Investment Corp. — Class A		216		4,985
Artio Global Investors, Inc.		679		4,970
BGC Partners, Inc. — Class A		827		5,665
BlackRock Kelso Capital Corp.		738		6,303
Calamos Asset Management, Inc. — Class A		511		6,382
Capital Southwest Corp.		68		5,985
CIFC Corp.*		1,217		6,742
Cohen & Steers, Inc.		165		4,483
Cowen Group, Inc. — Class A*		1,881		5,116
Diamond Hill Investment Group, Inc.		80		6,022
Duff & Phelps Corp. — Class A		503		6,383
Edelman Financial Group, Inc.		830		5,760
Epoch Holding Corp.		345		7,107
Evercore Partners, Inc. — Class A		225		6,174
FBR & Co.*		2,173		4,520
Fifth Street Finance Corp.		575		5,670
Financial Engines, Inc.*		279		6,336
FXCM, Inc. — Class A		393		4,520
GAMCO Investors, Inc. — Class A		130		6,123
GFI Group, Inc.		1,305		5,638
Gladstone Capital Corp.		736		6,065
Gladstone Investment Corp.		781		5,850
Gleacher & Co., Inc.*		4,164		5,330
Golub Capital BDC, Inc.		385		5,975
Harris & Harris Group, Inc.*		1,470		5,777
Hercules Technology Growth Capital, Inc.		600		5,808
HFF, Inc. — Class A*		647		7,117
ICG Group, Inc.*		886		9,560
INTL FCStone, Inc.*		252		6,109
Investment Technology Group, Inc.*		491		5,602
JMP Group, Inc.		819		6,077
KBW, Inc.		388		5,494
Knight Capital Group, Inc. — Class A*		417		5,208
Kohlberg Capital Corp.		889		5,850
Ladenburg Thalmann Financial Services, Inc.*		3,475		5,908
Main Street Capital Corp.		302		5,279
MCG Capital Corp.		1,265		5,870
Medallion Financial Corp.		563		6,700
Medley Capital Corp.		524		4,878
MF Global Holdings Ltd.*(b)		1,238		725
MVC Capital, Inc.		505		6,530
New Mountain Finance Corp.		440		5,900
NGP Capital Resources Co.		796		5,914
Oppenheimer Holdings, Inc. — Class A		314		5,517
PennantPark Investment Corp.		596		6,389
Piper Jaffray Co.*		272		5,647
Prospect Capital Corp.		627		6,000
Pzena Investment Management, Inc. — Class A		1,508		6,530
Safeguard Scientifics, Inc.*		567		9,588
Solar Capital Ltd.		277		6,149
Solar Senior Capital Ltd.		368		5,509
Stifel Financial Corp.*		198		6,310
SWS Group, Inc.		1,073		5,912
THL Credit, Inc.		488		5,636
TICC Capital Corp.		661		5,890
Triangle Capital Corp.		363		6,084
Virtus Investment Partners, Inc.*		96		5,990

See Notes to Financial Statements.

92

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Walter Investment Management Corp.		224		$5,681
Westwood Holdings Group, Inc.		153		5,606
Total Capital Markets				352,743
Chemicals 3.0%
A. Schulman, Inc.		1,143		24,129
American Vanguard Corp.		1,736		21,474
Balchem Corp.		500		18,435
Calgon Carbon Corp.*		1,376		21,947
Chemtura Corp.*		1,717		20,844
Ferro Corp.*		3,069		19,856
Flotek Industries, Inc.*		4,269		31,761
FutureFuel Corp.		1,778		20,091
Georgia Gulf Corp.*		1,289		23,331
H.B. Fuller Co.		1,049		22,543
Hawkins, Inc.		591		22,624
Innophos Holdings, Inc.		492		21,643
Innospec, Inc.*		778		23,496
KMG Chemicals, Inc.		1,527		22,203
Koppers Holdings, Inc.		782		25,876
Kraton Performance Polymers, Inc.*		1,110		21,845
Landec Corp.*		3,643		22,623
LSB Industries, Inc.*		618		21,896
Minerals Technologies, Inc.		382		20,949
NewMarket Corp.		127		24,656
Olin Corp.		1,047		19,746
OM Group, Inc.*		729		21,075
Omnova Solutions, Inc.*		5,600		24,808
PolyOne Corp.		1,765		19,750
Quaker Chemical Corp.		712		24,771
Senomyx, Inc.*		5,171		23,580
Sensient Technologies Corp.		583		21,548
Spartech Corp.*		5,877		23,861
Stepan Co.		281		21,719
TPC Group, Inc.*		959		19,055
Zep, Inc.		1,284		19,568
Zoltek Cos., Inc.*		2,797		20,278
Total Chemicals				711,981
Commercial Banks 3.8%
1st Source Corp.		256		6,154
1st United Bancorp, Inc.*		1,070		5,543
Alliance Financial Corp.		192		5,912
Ameris Bancorp*		616		6,191
Ames National Corp.		336		6,189
Arrow Financial Corp.		239		5,578
Bancfirst Corp.		165		6,386
Banco Latinoamericano de Comercio Exterior SA — Class E		340		5,525
Bancorp Rhode Island, Inc.		127		5,537
Bancorp, Inc.(The)*		781		6,279
BancorpSouth, Inc.		580		5,667
Bank of Kentucky Financial Corp.		256		5,530
Bank of Marin Bancorp		160		5,670
Bank of the Ozarks, Inc.		258		6,416
Banner Corp.		411		7,221
Boston Private Financial Holdings, Inc.		879		6,663
Bridge Bancorp, Inc.		288		5,544
Bridge Capital Holdings*		528		5,824
Bryn Mawr Bank Corp.		324		5,949
Camden National Corp.		196		5,817
Cape Bancorp, Inc.*		759		5,768
Capital Bank Corp.*		2,361		4,958
Capital City Bank Group, Inc.		521		5,309
Cardinal Financial Corp.		591		6,347
Cascade Bancorp*		872		4,613
Cathay General Bancorp		459		6,421
Center Bancorp, Inc.		576		5,345
Center Financial Corp.*		1,112		7,306
Centerstate Banks, Inc.		1,001		5,686
Central Pacific Financial Corp.*		525		6,400
Century Bancorp, Inc. — Class A		224		6,064
Chemical Financial Corp.		346		6,965
Citizens & Northern Corp.		351		5,816
City Holding Co.		203		6,671
CNB Financial Corp.		415		5,943
CoBiz Financial, Inc.		1,104		5,851
Columbia Banking System, Inc.		350		6,674
Community Bank System, Inc.		234		5,981
Community Trust Bancorp, Inc.		240		6,799
CVB Financial Corp.		672		6,525
Eagle Bancorp, Inc.*		456		6,325
Encore Bancshares, Inc.*		504		5,927
Enterprise Bancorp, Inc.		378		5,443
Enterprise Financial Services Corp.		404		6,234
Financial Institutions, Inc.		370		6,061
First Bancorp		565		7,164
First Bancorp., Inc.		402		5,785
First Busey Corp.		1,198		6,110
First Commonwealth Financial Corp.		1,406		6,482
First Community Bancshares, Inc.		529		6,353
First Financial Bancorp		379		6,216
First Financial Bankshares, Inc.		196		6,225
First Financial Corp.		195		6,408
First Interstate Bancsystem, Inc.		493		6,232
First Merchants Corp.		750		6,045
First Midwest Bancorp, Inc.		696		6,271
First of Long Island Corp.(The)		240		6,132
FirstMerit Corp.		478		6,697
FNB Corp.		637		6,427
German American Bancorp, Inc.		331		5,749
Glacier Bancorp, Inc.		555		6,299
Great Southern Bancorp, Inc.		316		6,285
Hampton Roads Bankshares, Inc.*		1,042		4,574
Hancock Holding Co.		205		6,212
Hanmi Financial Corp.*		6,486		6,486
Heartland Financial USA, Inc.		389		6,080
Heritage Commerce Corp.*		1,305		6,303
Heritage Financial Corp.		468		5,901
Home Bancshares, Inc.		254		5,956
Hudson Valley Holding Corp.		302		6,559
Iberiabank Corp.		114		5,896
Independent Bank Corp.		242		6,273
International Bancshares Corp.		397		7,194
Investors Bancorp, Inc.*		424		5,885
Lakeland Bancorp, Inc.		647		6,011
Lakeland Financial Corp.		259		6,188
MainSource Financial Group, Inc.		611		5,731
MB Financial, Inc.		349		5,783
Merchants Bancshares, Inc.		203		5,779
Metro Bancorp, Inc.*		581		4,805
Midsouth Bancorp, Inc.		508		6,975
Nara Bancorp, Inc.*		857		7,267
National Bankshares, Inc.		221		6,177
National Penn Bancshares, Inc.		775		6,045
NBT Bancorp, Inc.		301		6,478
Northfield Bancorp, Inc.		408		5,634
Old National Bancorp		567		6,560

See Notes to Financial Statements.

ANNUAL REPORT 93

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
OmniAmerican Bancorp, Inc.*		394		$5,812
Oriental Financial Group, Inc.		556		5,888
Orrstown Financial Services, Inc.*		395		3,618
Pacific Capital Bancorp NA*		202		5,230
Pacific Continental Corp.		759		6,581
PacWest Bancorp		361		6,368
Park National Corp.		102		6,090
Park Sterling Corp.*		1,479		5,694
Penns Woods Bancorp, Inc.		163		5,987
Peoples Bancorp, Inc.		496		6,562
Pinnacle Financial Partners, Inc.*		478		7,175
PrivateBancorp, Inc.		657		7,161
Prosperity Bancshares, Inc.		151		5,812
Renasant Corp.		394		5,681
Republic Bancorp, Inc. — Class A		312		6,346
S&T Bancorp, Inc.		321		5,993
S.Y. Bancorp, Inc.		280		5,762
Sandy Spring Bancorp, Inc.		368		6,260
SCBT Financial Corp.		207		6,113
Seacoast Banking Corp. of Florida*		3,588		5,346
Sierra Bancorp		574		6,280
Signature Bank*		117		6,523
Simmons First National Corp. — Class A		256		6,646
Southside Bancshares, Inc.		285		5,862
Southwest Bancorp, Inc.*		1,198		5,631
State Bancorp, Inc.		497		5,880
State Bank Financial Corp.*		418		6,036
StellarOne Corp.		540		6,475
Sterling Bancorp		717		5,915
Sterling Financial Corp.*		400		6,004
Suffolk Bancorp*		641		5,455
Sun Bancorp, Inc.*		1,862		5,530
Susquehanna Bancshares, Inc.		1,877		13,627
SVB Financial Group*		144		6,615
Taylor Capital Group, Inc.*		782		7,265
Texas Capital Bancshares, Inc.*		228		6,384
Tompkins Financial Corp.		149		5,875
Tower Bancorp, Inc.		246		6,327
TowneBank		450		5,607
Trico Bancshares		439		6,510
Trustmark Corp.		281		6,221
UMB Financial Corp.		160		5,899
Umpqua Holdings Corp.		632		7,236
Union First Market Bankshares Corp.		504		6,461
United Bankshares, Inc.		274		6,505
United Community Banks, Inc.*		600		4,434
Univest Corp. of Pennsylvania		400		6,084
Virginia Commerce Bancorp, Inc.*		920		5,851
Washington Banking Co.		546		6,454
Washington Trust Bancorp, Inc.		265		6,222
Webster Financial Corp.		340		6,678
WesBanco, Inc.		309		6,137
West Bancorp, Inc.		631		6,209
West Coast Bancorp*		389		5,808
Westamerica Bancorp		137		6,140
Western Alliance Bancorp*		1,035		6,727
Wilshire Bancorp, Inc.*		2,036		6,963
Wintrust Financial Corp.		204		5,892
Total Commercial Banks				892,506
Commercial Services & Supplies 2.3%
ABM Industries, Inc.		457		9,241
ACCO Brands Corp.*		1,742		11,968
American Reprographics Co.*		2,316		9,241
AT Cross Co. — Class A*		818		9,947
Brink’s Co.(The)		367		10,199
Casella Waste Systems, Inc. — Class A*		1,453		9,125
Cenveo, Inc.*		2,534		9,503
Clean Harbors, Inc.*		169		9,848
Consolidated Graphics, Inc.*		246		11,208
Courier Corp.		1,121		9,741
Deluxe Corp.		451		10,653
EnergySolutions, Inc.*		2,507		9,451
EnerNOC, Inc.*		2,389		21,190
Ennis, Inc.		654		9,568
Fuel Tech, Inc.*		1,555		8,615
G&K Services, Inc. — Class A		332		10,080
Geo Group, Inc.(The)*		456		8,313
Healthcare Services Group, Inc.		547		9,490
Heritage-Crystal Clean, Inc.*		461		7,348
Herman Miller, Inc.		461		9,520
Higher One Holdings, Inc.*		320		5,645
HNI Corp.		460		11,063
Hudson Highland Group, Inc.*		2,571		11,904
InnerWorkings, Inc.*		1,168		10,570
Interface, Inc. — Class A		1,566		20,421
Intersections, Inc.		405		6,840
Kimball International, Inc. — Class B		1,790		10,078
Knoll, Inc.		620		9,455
M&F Worldwide Corp.*		367		9,087
McGrath Rentcorp		375		10,020
Metalico, Inc.*		2,147		9,704
Mine Safety Appliances Co.		312		10,468
Mobile Mini, Inc.*		540		9,796
Multi-Color Corp.		365		9,676
NL Industries, Inc.		1,535		22,319
Quad/Graphics, Inc.		461		9,091
Rollins, Inc.		462		10,062
Schawk, Inc.		782		10,549
Standard Parking Corp.*		560		9,850
Steelcase, Inc. — Class A		1,440		10,670
Swisher Hygiene, Inc.*		2,058		8,973
SYKES Enterprises, Inc.*		570		9,080
Team, Inc.*		404		10,104
Tetra Tech, Inc.*		462		10,085
TMS International Corp. — Class A*		2,746		23,588
TRC Cos., Inc.*		2,785		12,170
Unifirst Corp.		193		10,104
United Stationers, Inc.		315		10,020
US Ecology, Inc.		556		10,041
Viad Corp.		460		9,628
WCA Waste Corp.*		2,040		9,710
Total Commercial Services & Supplies				545,020
Communications Equipment 1.5%
ADTRAN, Inc.		288		9,677
Anaren, Inc.*		437		8,360
Arris Group, Inc.*		780		8,393
Aruba Networks, Inc.*		361		8,552
Aviat Networks, Inc.*		3,061		6,275
Bel Fuse, Inc. — Class B		523		9,351
BigBand Networks, Inc.*		5,843		13,088
Black Box Corp.		362		10,132
Blue Coat Systems, Inc.*		542		8,726
Calix, Inc.*		949		8,266
Communications Systems, Inc.		630		10,382
Comtech Telecommunications Corp.		298		9,867
Dialogic, Inc.*		3,203		6,630

See Notes to Financial Statements.

94

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Digi International, Inc.*		706		$9,030
Emcore Corp.*		6,583		6,517
Emulex Corp.*		1,221		10,232
Extreme Networks*		2,974		8,773
Finisar Corp.*		410		8,401
Globecomm Systems, Inc.*		635		8,630
Harmonic, Inc.*		1,831		10,071
Infinera Corp.*		987		7,215
InterDigital, Inc.		161		6,995
Ixia*		1,014		11,489
KVH Industries, Inc.*		1,039		7,647
Loral Space & Communications, Inc.*		150		9,075
Meru Networks, Inc.*		973		5,283
Netgear, Inc.*		296		10,496
Numerex Corp. — Class A*		1,383		10,995
Oclaro, Inc.*		1,998		8,212
Oplink Communications, Inc.*		512		8,305
Opnext, Inc.*		6,191		6,144
Plantronics, Inc.		274		9,154
Powerwave Technologies, Inc.*		128		462
Powerwave Technologies, Inc.*		895		3,231
Procera Networks, Inc.*		910		10,374
ShoreTel, Inc.*		1,560		9,126
Sonus Networks, Inc.*		3,703		9,813
Sycamore Networks, Inc.		446		8,572
Symmetricom, Inc.*		1,791		9,224
Tekelec*		1,240		12,177
Viasat, Inc.*		229		9,753
Westell Technologies, Inc. — Class A*		3,516		7,067
Total Communications Equipment				360,162
Computers & Peripherals 0.7%
Avid Technology, Inc.*		956		5,927
Cray, Inc.*		1,514		9,584
Dot Hill Systems Corp.*		5,120		8,806
Electronics for Imaging, Inc.*		622		9,330
Imation Corp.*		1,162		7,809
Immersion Corp.*		1,268		8,711
Intermec, Inc.*		1,268		10,233
Intevac, Inc.*		1,174		9,451
Novatel Wireless, Inc.*		2,530		10,044
OCZ Technology Group, Inc.*		1,602		11,326
Quantum Corp.*		4,107		10,719
Rimage Corp.		615		6,827
Silicon Graphics International Corp.*		594		8,589
STEC, Inc.*		808		9,147
Stratasys, Inc.*		386		10,823
Super Micro Computer, Inc.*		621		9,936
Synaptics, Inc.*		350		11,826
Xyratex Ltd.		922		12,576
Total Computers & Peripherals				171,664
Construction & Engineering 0.9%
Aegion Corp.*		681		10,072
Argan, Inc.		864		11,750
Comfort Systems USA, Inc.		2,245		24,695
Dycom Industries, Inc.*		555		10,784
EMCOR Group, Inc.		443		11,106
Furmanite Corp.*		1,572		10,485
Granite Construction, Inc.		461		10,372
Great Lakes Dredge & Dock Corp.		2,162		11,134
Layne Christensen Co.*		399		10,051
MasTec, Inc.*		482		10,421
Michael Baker Corp.		460		9,467
MYR Group, Inc.*		525		10,127
Northwest Pipe Co.*		888		23,683
Orion Marine Group, Inc.*		1,450		9,846
Primoris Services Corp.		865		11,262
Sterling Construction Co., Inc.*		770		9,587
Tutor Perini Corp.		737		10,709
UniTek Global Services, Inc.*		1,693		7,906
Total Construction & Engineering				213,457
Construction Materials 0.4%
Eagle Materials, Inc.		1,177		24,223
Headwaters, Inc.*		12,478		21,961
Texas Industries, Inc.*		570		17,100
United States Lime & Minerals, Inc.*		500		27,500
Total Construction Materials				90,784
Consumer Finance 0.3%
Advance America Cash Advance Centers, Inc.		731		6,162
Cash America International, Inc.		100		5,475
Credit Acceptance Corp.*		81		5,583
DFC Global Corp.*		237		5,195
Ezcorp, Inc. — Class A*		182		5,056
First Cash Financial Services, Inc.*		123		5,104
First Marblehead Corp.(The)*		4,959		4,761
Imperial Holdings, Inc.*		863		1,942
Nelnet, Inc. — Class A		290		6,229
Netspend Holdings, Inc.*		975		5,606
Nicholas Financial, Inc.		538		6,112
World Acceptance Corp.*		94		6,359
Total Consumer Finance				63,584
Containers & Packaging 0.4%
AEP Industries, Inc.*		913		24,678
Boise, Inc.		3,287		19,886
Graphic Packaging Holding Co.*		5,171		22,856
Myers Industries, Inc.		1,926		23,536
Total Containers & Packaging				90,956
Distributors 0.3%
Audiovox Corp. — Class A*		1,429		10,160
Core-Mark Holding Co., Inc.		1,532		51,307
Pool Corp.		301		8,795
Weyco Group, Inc.		357		8,461
Total Distributors				78,723
Diversified Consumer Services 0.8%
American Public Education, Inc.*		228		8,165
Archipelago Learning, Inc.*		952		9,701
Ascent Capital Group, Inc. — Series A*		197		8,962
Bridgepoint Education, Inc.*		405		8,776
Cambium Learning Group, Inc.*		2,641		8,715
Capella Education Co.*		264		9,190
Coinstar, Inc.*		194		9,262
Corinthian Colleges, Inc.*		4,638		8,859
Grand Canyon Education, Inc.*		495		8,074
Hillenbrand, Inc.		441		9,310
K12, Inc.*		305		10,690
Lincoln Educational Services Corp.		1,009		9,434
Mac-Gray Corp.		713		9,896
Matthews International Corp. — Class A		253		8,890
National American University Holdings, Inc.		1,047		7,402
Regis Corp.		573		9,374
School Specialty, Inc.*		1,068		8,170
Sotheby’s		240		8,453

See Notes to Financial Statements.

ANNUAL REPORT 95

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Steiner Leisure Ltd.*		202		$9,732
Stewart Enterprises, Inc. — Class A		1,336		8,604
Strayer Education, Inc.		99		8,436
Universal Technical Institute, Inc.		572		8,168
Total Diversified Consumer Services				196,263
Diversified Financial Services 0.3%
California First National Bancorp		357		5,951
Compass Diversified Holdings		719		9,390
Encore Capital Group, Inc.*		242		6,556
Gain Capital Holdings, Inc.		954		6,688
MarketAxess Holdings, Inc.		197		5,758
Marlin Business Services Corp.*		866		10,210
NewStar Financial, Inc.*		558		5,982
PHH Corp.*		547		10,092
PICO Holdings, Inc.*		255		5,824
Portfolio Recovery Associates, Inc.		82		5,752
Primus Guaranty Ltd.*		1,025		5,986
Total Diversified Financial Services				78,189
Diversified Telecommunication Services 2.7%
8x8, Inc.*		9,922		37,307
AboveNet, Inc.		152		9,021
Alaska Communications Systems Group, Inc.		5,984		42,307
Atlantic Tele-Network, Inc.		1,337		50,739
Cbeyond, Inc.*		5,773		47,569
Cincinnati Bell, Inc.*		13,726		44,198
Cogent Communications Group, Inc.*		2,990		47,989
Consolidated Communications Holdings, Inc.		2,299		43,405
General Communication, Inc. — Class A*		5,331		50,378
IDT Corp. — Class B		2,060		23,690
Iridium Communications, Inc.*		6,489		41,270
Neutral Tandem, Inc.*		4,224		44,521
PAETEC Holding Corp.*		7,735		42,388
Premiere Global Services, Inc.*		6,337		57,413
Vonage Holdings Corp.*		15,233		51,031
Total Diversified Telecommunication Services				633,226
Electric Utilities 2.4%
Allete, Inc.		1,150		45,437
Central Vermont Public Service Corp.		1,220		43,151
Cleco Corp.		1,231		45,387
El Paso Electric Co.		1,342		42,984
Empire District Electric Co.(The)*		2,170		43,335
IDACORP, Inc.		1,130		45,629
MGE Energy, Inc.		1,037		45,255
Otter Tail Corp.		2,210		42,896
PNM Resources, Inc.		2,572		46,245
Portland General Electric Co.		1,794		44,025
UIL Holdings Corp.		1,312		44,713
Unisource Energy Corp.		1,163		43,357
Unitil Corp.		1,641		43,765
Total Electric Utilities				576,179
Electrical Equipment 1.4%
A123 Systems, Inc.*		2,231		7,652
Active Power, Inc.*		6,877		6,268
Acuity Brands, Inc.		535		24,771
American Superconductor Corp.*		2,125		9,265
AZZ, Inc.		220		9,825
Belden, Inc.		700		22,596
Brady Corp. — Class A		320		9,830
Broadwind Energy, Inc.*		21,768		8,936
Capstone Turbine Corp.*		23,420		25,528
Coleman Cable, Inc.*		959		9,753
Encore Wire Corp.		922		24,507
EnerSys*		432		9,733
Franklin Electric Co., Inc.		244		11,205
FuelCell Energy, Inc.*		24,568		26,288
Generac Holdings, Inc.*		496		11,339
Global Power Equipment Group, Inc.*		382		10,127
II-VI, Inc.*		444		8,440
LSI Industries, Inc.		3,135		21,099
Powell Industries, Inc.*		282		9,478
Preformed Line Products Co.		180		11,583
Satcon Technology Corp.*		7,322		7,761
Thermon Group Holdings, Inc.*		576		9,147
Valence Technology, Inc.*		8,730		8,372
Vicor Corp.		955		8,738
Woodward, Inc.		306		10,367
Total Electrical Equipment				322,608
Electronic Equipment, Instruments & Components 2.1%
Aeroflex Holding Corp.*		898		9,779
Agilysys, Inc.*		1,063		9,025
Anixter International, Inc.		160		9,390
Badger Meter, Inc.		274		8,971
Benchmark Electronics, Inc.*		613		8,423
Brightpoint, Inc.*		902		9,155
Checkpoint Systems, Inc.*		585		7,751
Cognex Corp.		281		9,523
Coherent, Inc.*		183		9,328
CTS Corp.		954		8,853
Daktronics, Inc.		902		9,110
DDi Corp.		1,111		10,210
DTS, Inc.*		301		8,455
Echelon Corp.*		1,057		7,145
Electro Rent Corp.		642		10,317
Electro Scientific Industries, Inc.*		650		7,988
eMagin Corp.*		2,901		12,242
Fabrinet*		404		5,010
FARO Technologies, Inc.*		267		11,155
FEI Co.*		256		10,179
GSI Group, Inc.*		998		9,750
Identive Group, Inc.*		4,047		9,591
Insight Enterprises, Inc.*		522		8,822
Kemet Corp.*		1,048		9,663
LeCroy Corp.*		958		9,829
Littelfuse, Inc.		218		10,673
Maxwell Technologies, Inc.		447		8,927
Measurement Specialties, Inc.*		331		10,331
Mercury Computer Systems, Inc.*		687		10,030
Methode Electronics, Inc.		1,051		9,764
Microvision, Inc.*		11,509		8,173
MTS Systems Corp.		291		10,671
Multi-Fineline Electronix, Inc.*		401		9,199
NeoPhotonics Corp.*		1,189		6,218
Newport Corp.*		736		10,194
OSI Systems, Inc.*		261		11,562
Park Electrochemical Corp.		368		10,414
PC Connection, Inc.*		1,045		8,726
Plexus Corp.*		340		8,738
Power-One, Inc.*		1,787		8,846
Pulse Electronics Corp.		2,870		10,131
Radisys Corp.*		1,325		7,764
Richardson Electronics Ltd.		590		7,664
Rofin-Sinar Technologies, Inc.*		403		10,478
Rogers Corp.*		190		8,202

See Notes to Financial Statements.

96

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Sanmina-SCI Corp.*		1,134		$9,991
Scansource, Inc.*		274		9,524
SYNNEX Corp.*		333		9,614
TTM Technologies, Inc.*		793		8,858
Universal Display Corp.*		157		7,352
Viasystems Group, Inc.*		473		9,739
Vishay Precision Group, Inc.*		671		9,790
X-Rite, Inc.*		2,408		10,860
Zygo Corp.*		743		11,398
Total Electronic Equipment, Instruments & Components				503,495
Energy Equipment & Services 3.4%
Basic Energy Services, Inc.*		1,660		30,444
Bristow Group, Inc.		207		10,304
Cal Dive International, Inc.*		12,720		28,493
Complete Production Services, Inc.*		1,130		37,064
Dawson Geophysical Co.*		969		28,004
Dril-Quip, Inc.*		430		27,993
Exterran Holdings, Inc.*		2,694		25,593
Global Geophysical Services, Inc.*		2,793		26,645
Global Industries Ltd.*		3,179		25,273
Gulf Island Fabrication, Inc.		1,122		31,248
Gulfmark Offshore, Inc. — Class A*		242		10,065
Helix Energy Solutions Group, Inc.*		1,720		31,063
Hercules Offshore, Inc.*		7,139		27,057
Hornbeck Offshore Services, Inc.*		927		30,443
ION Geophysical Corp.*		4,515		34,404
Key Energy Services, Inc.*		2,427		31,381
Lufkin Industries, Inc.		420		24,818
Matrix Service Co.*		2,752		29,226
Mitcham Industries, Inc.*		2,004		29,218
Natural Gas Services Group, Inc.*		1,963		27,011
Newpark Resources, Inc.*		3,717		33,193
OYO Geospace Corp.*		403		31,668
Parker Drilling Co.*		5,333		29,491
PHI, Inc.*		410		9,049
Pioneer Drilling Co.*		3,102		30,679
Tesco Corp.*		1,948		30,136
Tetra Technologies, Inc.*		2,862		27,189
Vantage Drilling Co.*		18,842		25,625
Willbros Group, Inc.*		5,379		27,379
Total Energy Equipment & Services				790,156
Food & Staples Retailing 2.6%
Andersons, Inc.(The)		1,392		51,393
Casey’s General Stores, Inc.		1,070		53,018
Fresh Market, Inc.(The)*		1,245		49,800
Ingles Markets, Inc. — Class A		3,347		50,540
Nash Finch Co.		1,754		46,165
Pantry, Inc.(The)*		3,765		53,237
Pricesmart, Inc.		123		9,353
Rite Aid Corp.*		45,888		53,230
Ruddick Corp.		1,211		52,933
Spartan Stores, Inc.		3,159		54,082
United Natural Foods, Inc.*		1,269		46,331
Weis Markets, Inc.		1,285		50,822
Winn-Dixie Stores, Inc.*		7,635		48,406
Total Food & Staples Retailing				619,310
Food Products 4.0%
B&G Foods, Inc.		2,794		59,289
Cal-Maine Foods, Inc.		1,594		53,112
Calavo Growers, Inc.		2,372		53,536
Chiquita Brands International, Inc.*		5,269		46,789
Darling International, Inc.*		670		9,393
Diamond Foods, Inc.		599		39,384
Dole Food Co., Inc.*		4,772		50,488
Fresh Del Monte Produce, Inc.		2,074		52,804
Griffin Land & Nurseries, Inc.		220		5,900
Hain Celestial Group, Inc.(The)*		1,583		53,125
J&J Snack Foods Corp.		973		50,178
Lancaster Colony Corp.		801		53,283
Omega Protein Corp.*		5,191		56,219
Pilgrim’s Pride Corp.*		12,686		63,937
Sanderson Farms, Inc.		1,077		53,311
Seneca Foods Corp. — Class A*		2,507		52,772
Smart Balance, Inc.*		8,198		53,697
Snyders-Lance, Inc.		2,326		49,358
Tootsie Roll Industries, Inc.		1,976		48,946
TreeHouse Foods, Inc.*		793		48,643
Total Food Products				954,164
Gas Utilities 1.8%
Chesapeake Utilities Corp.		1,083		45,908
Laclede Group, Inc.(The)		1,101		44,172
New Jersey Resources Corp.		975		45,845
Nicor, Inc.		781		43,931
Northwest Natural Gas Co.		983		45,926
Piedmont Natural Gas Co., Inc.		1,467		47,956
South Jersey Industries, Inc.		848		47,751
Southwest Gas Corp.		1,148		45,323
WGL Holdings, Inc.		1,079		46,192
Total Gas Utilities				413,004
Health Care Equipment & Supplies 2.7%
Abaxis, Inc.*		347		9,737
ABIOMED, Inc.*		739		11,129
Accuray, Inc.*		2,148		8,592
Align Technology, Inc.*		537		12,367
Alimera Sciences, Inc.*		1,094		7,778
Alphatec Holdings, Inc.*		3,507		7,259
Analogic Corp.		177		9,572
Angiodynamics, Inc.*		616		9,493
Antares Pharma, Inc.*		3,596		8,163
Arthrocare Corp.*		292		8,804
AtriCure, Inc.*		801		8,939
Atrion Corp.		42		9,450
Bacterin International Holdings, Inc.*		4,254		14,081
Biolase Technology, Inc.*		2,490		9,064
Cantel Medical Corp.		382		10,543
Cardiovascular Systems, Inc.*		704		5,829
Cerus Corp.*		3,997		10,672
Conceptus, Inc.*		791		9,112
CONMED Corp.*		365		9,589
CryoLife, Inc.*		1,873		8,635
Cyberonics, Inc.*		314		9,043
Cynosure, Inc. — Class A*		833		10,138
Delcath Systems, Inc.*		2,310		8,362
DexCom, Inc.*		669		6,550
DynaVox, Inc. — Class A*		1,877		6,344
Endologix, Inc.*		785		8,549
Exactech, Inc.*		601		9,616
Greatbatch, Inc.*		426		9,513
Haemonetics Corp.*		143		8,716
Hansen Medical, Inc.*		2,513		7,891
HeartWare International, Inc.*		133		9,035
ICU Medical, Inc.*		233		9,159

See Notes to Financial Statements.

ANNUAL REPORT 97

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Insulet Corp.*		532		$8,682
Integra LifeSciences Holdings Corp.*		230		7,374
Invacare Corp.		354		7,947
IRIS International, Inc.*		909		8,236
Kensey Nash Corp.*		341		9,166
MAKO Surgical Corp.*		224		8,613
Masimo Corp.		378		7,817
Medical Action Industries, Inc.*		1,612		8,447
Meridian Bioscience, Inc.		510		9,292
Merit Medical Systems, Inc.*		605		8,119
Natus Medical, Inc.*		845		7,267
Neogen Corp.*		261		10,088
Neoprobe Corp.*		2,772		7,872
NuVasive, Inc.*		419		6,210
NxStage Medical, Inc.*		410		9,426
OraSure Technologies, Inc.*		1,039		9,652
Orthofix International NV*		241		8,461
Palomar Medical Technologies, Inc.*		1,018		8,663
Quidel Corp.*		537		9,591
Rockwell Medical Technologies, Inc.*		974		8,211
RTI Biologics, Inc.*		2,360		10,620
Solta Medical, Inc.*		6,094		13,346
SonoSite, Inc.*		271		8,398
Spectranetics Corp.*		1,128		8,844
Staar Surgical Co.*		1,053		9,477
Stereotaxis, Inc.*		6,318		7,329
STERIS Corp.		291		9,015
SurModics, Inc.*		920		9,697
Symmetry Medical, Inc.*		1,064		9,672
Synergetics USA, Inc.*		1,492		9,981
Synovis Life Technologies, Inc.*		491		8,818
Tornier NV*		381		8,854
Unilife Corp.*		1,954		10,356
Uroplasty, Inc.*		1,606		7,243
Vascular Solutions, Inc.*		710		7,533
Volcano Corp.*		281		7,005
West Pharmaceutical Services, Inc.		230		8,940
Wright Medical Group, Inc.*		469		8,062
Young Innovations, Inc.		298		8,567
Zoll Medical Corp.*		213		8,054
Total Health Care Equipment & Supplies				640,669
Health Care Providers & Services 2.1%
Accretive Health, Inc.*		377		8,976
Air Methods Corp.*		143		11,557
Almost Family, Inc.*		514		9,581
Amedisys, Inc.*		602		7,904
American Dental Partners, Inc.*		872		9,208
AMN Healthcare Services, Inc.*		1,993		9,447
Amsurg Corp.*		382		9,676
Assisted Living Concepts, Inc. — Class A		698		9,919
Bio-Reference Labs, Inc.*		465		9,319
BioScrip, Inc.*		1,479		9,614
Capital Senior Living Corp.*		1,398		10,918
CardioNet, Inc.*		2,677		7,576
Centene Corp.*		276		9,701
Chemed Corp.		152		9,023
Chindex International, Inc.*		950		10,555
CorVel Corp.*		196		10,108
Cross Country Healthcare, Inc.*		2,003		10,015
Emeritus Corp.*		574		10,166
Ensign Group, Inc.(The)		365		8,307
ExamWorks Group, Inc.*		800		8,440
Five Star Quality Care, Inc.*		3,317		8,591
Gentiva Health Services, Inc.*		1,430		5,920
Hanger Orthopedic Group, Inc.*		462		8,025
HealthSouth Corp.*		557		9,837
Healthspring, Inc.*		219		11,813
Healthways, Inc.*		803		5,749
HMS Holdings Corp.*		332		8,114
IPC The Hospitalist Co., Inc.*		218		9,141
Kindred Healthcare, Inc.*		906		10,555
Landauer, Inc.		177		9,071
LHC Group, Inc.*		505		7,923
Magellan Health Services, Inc.*		186		9,573
MedQuist Holdings, Inc.*		958		8,191
Metropolitan Health Networks, Inc.*		1,860		12,127
Molina Healthcare, Inc.*		536		11,352
MWI Veterinary Supply, Inc.*		126		9,513
National Healthcare Corp.		254		9,731
National Research Corp.		251		8,383
Owens & Minor, Inc.		285		8,527
PharMerica Corp.*		603		9,407
Providence Service Corp.(The)*		897		11,213
PSS World Medical, Inc.*		412		9,167
RadNet, Inc.*		3,370		8,661
Select Medical Holdings Corp.*		1,320		11,484
Skilled Healthcare Group, Inc. — Class A*		2,434		9,201
Sun Healthcare Group, Inc.*		2,660		6,969
Sunrise Senior Living, Inc.*		1,656		9,108
Team Health Holdings, Inc.*		476		9,672
Triple-S Management Corp. — Class B*		501		9,519
Universal American Corp.		815		9,373
US Physical Therapy, Inc.		456		8,901
WellCare Health Plans, Inc.*		199		9,753
Total Health Care Providers & Services				484,574
Health Care Technology 0.3%
athenahealth, Inc.*		132		6,984
Computer Programs & Systems, Inc.		118		6,026
Epocrates, Inc.*		918		7,987
HealthStream, Inc.*		680		10,322
MedAssets, Inc.*		823		8,773
Medidata Solutions, Inc.*		492		8,846
Merge Healthcare, Inc.*		1,261		8,323
Omnicell, Inc.*		580		8,671
Quality Systems, Inc.		172		6,693
Transcend Services, Inc.*		357		9,757
Total Health Care Technology				82,382
Hotels, Restaurants & Leisure 2.1%
AFC Enterprises, Inc.		681		9,337
Ambassadors Group, Inc.		1,395		6,919
Ameristar Casinos, Inc.		466		8,621
Benihana, Inc. — Class A*		922		8,888
Biglari Holdings, Inc.		25		8,628
BJ’s Restaurants, Inc.*		171		9,051
Bob Evans Farms, Inc.		272		8,949
Boyd Gaming Corp.*		1,487		9,636
Bravo Brio Restaurant Group, Inc.*		488		9,482
Buffalo Wild Wings, Inc.*		130		8,609
Caribou Coffee Co., Inc.*		627		8,559
Carrols Restaurant Group, Inc.*		908		8,481
CEC Entertainment, Inc.		272		8,601
Cheesecake Factory, Inc.(The)*		300		8,397
Churchill Downs, Inc.		205		9,854
Cracker Barrel Old Country Store, Inc.		199		8,436
Denny’s Corp.*		2,267		8,161

See Notes to Financial Statements.

98

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
DineEquity, Inc.*		194		$9,110
Domino’s Pizza, Inc.		285		9,129
Einstein Noah Restaurant Group, Inc.		589		8,670
Gaylord Entertainment Co.*		401		9,379
International Speedway Corp. — Class A		349		8,327
Interval Leisure Group, Inc.*		618		8,535
Isle of Capri Casinos, Inc.*		1,639		8,916
Jack in the Box, Inc.*		399		8,211
Jamba, Inc.*		5,475		9,308
Krispy Kreme Doughnuts, Inc.*		1,081		7,632
Life Time Fitness, Inc.*		214		9,230
Luby’s, Inc.*		1,970		9,515
Marcus Corp.		785		9,357
McCormick & Schmick’s Seafood Restaurants, Inc.*		1,141		7,645
Monarch Casino & Resort, Inc.*		835		8,592
Morgans Hotel Group Co.*		1,306		8,502
Multimedia Games Holding Co.*		1,970		13,022
O’Charleys, Inc.*		1,307		8,116
Orient-Express Hotels Ltd. — Class A*		1,104		9,417
P.F. Chang’s China Bistro, Inc.		270		8,397
Papa John’s International, Inc.*		260		8,778
Peet’s Coffee & Tea, Inc.*		859		54,735
Pinnacle Entertainment, Inc.*		801		9,067
Red Lion Hotels Corp.*		1,216		8,451
Red Robin Gourmet Burgers, Inc.*		318		7,972
Ruby Tuesday, Inc.*		1,081		9,070
Ruth’s Hospitality Group, Inc*		1,710		8,071
Scientific Games Corp. — Class A*		1,051		9,133
Shuffle Master, Inc.*		925		9,814
Six Flags Entertainment Corp.		260		9,334
Sonic Corp.*		1,074		7,958
Speedway Motorsports, Inc.		688		8,944
Texas Roadhouse, Inc.		591		8,469
Town Sports International Holdings, Inc.*		1,057		9,175
Vail Resorts, Inc.		211		9,402
Total Hotels, Restaurants & Leisure				505,992
Household Durables 0.9%
American Greetings Corp. — Class A		420		6,724
Beazer Homes USA, Inc.*		4,801		10,322
Blyth, Inc.		134		7,481
Cavco Industries, Inc.*		238		10,717
CSS Industries, Inc.		475		10,013
Ethan Allen Interiors, Inc.		576		11,405
Furniture Brands International, Inc.*		3,633		6,939
Helen of Troy Ltd.*		316		9,142
Hovnanian Enterprises, Inc. — Class A*		6,038		8,695
iRobot Corp.*		330		11,174
KB Home		1,391		9,695
La-Z-Boy, Inc.*		1,001		10,170
Libbey, Inc.*		734		9,293
Lifetime Brands, Inc.		843		10,310
M/I Homes, Inc.*		1,247		9,315
MDC Holdings, Inc.		461		10,327
Meritage Homes Corp.*		524		9,301
Ryland Group, Inc.		750		10,125
Sealy Corp.*		4,587		7,110
Skyline Corp.		845		5,712
Standard Pacific Corp.*		3,284		9,983
Universal Electronics, Inc.*		487		9,053
Zagg, Inc.*		823		11,102
Total Household Durables				214,108
Household Products 0.6%
Central Garden and Pet Co. — Class A*		1,126		9,898
Oil-Dri Corp. of America		1,125		22,556
Spectrum Brands Holdings, Inc.*		1,973		50,075
WD-40 Co.		1,221		53,748
Total Household Products				136,277
Independent Power Producers & Energy Traders 0.6%
Atlantic Power Corp.		2,925		39,487
Dynegy, Inc.*		9,082		33,331
Genie Energy Ltd. — Class B*		2,060		17,098
Ormat Technologies, Inc.		2,544		48,311
Total Independent Power Producers & Energy Traders				138,227
Industrial Conglomerates 0.4%
Raven Industries, Inc.		176		10,562
Seaboard Corp.*		26		57,148
Standex International Corp.		288		11,119
Tredegar Corp.		1,308		25,336
Total Industrial Conglomerates				104,165
Insurance 1.3%
Alterra Capital Holdings Ltd.		282		6,114
American Equity Investment Life Holding Co.		603		6,536
American Safety Insurance Holdings Ltd.*		293		5,980
AMERISAFE, Inc.*		287		6,185
Amtrust Financial Services, Inc.		243		6,167
Argo Group International Holdings Ltd.		189		5,706
Baldwin & Lyons, Inc. — Class B		255		5,873
Citizens, Inc.*		817		6,405
CNO Financial Group, Inc.*		965		6,031
Crawford & Co. — Class B		864		6,143
Delphi Financial Group, Inc. — Class A		246		6,514
Donegal Group, Inc. — Class A		435		5,446
eHealth, Inc.*		395		5,866
EMC Insurance Group, Inc.		305		5,929
Employers Holdings, Inc.		444		7,202
Enstar Group Ltd.*		54		4,966
FBL Financial Group, Inc. — Class A		202		6,595
First American Financial Corp.		409		4,908
Flagstone Reinsurance Holdings SA		732		6,215
Fortegra Financial Corp.*		1,071		5,655
Global Indemnity PLC*		319		6,441
Greenlight Capital Re, Ltd. — Class A*		254		5,723
Hallmark Financial Services*		737		5,719
Harleysville Group, Inc.		170		9,989
Hilltop Holdings, Inc.*		740		5,831
Horace Mann Educators Corp.		484		6,510
Independence Holding Co.		704		5,836
Infinity Property & Casualty Corp.		107		6,202
Kansas City Life Insurance Co.		178		5,967
Maiden Holdings Ltd.		710		5,786
Meadowbrook Insurance Group, Inc.		602		6,237
Montpelier Re Holdings Ltd.		308		5,390
National Financial Partners Corp.*		477		6,521
National Interstate Corp.		242		6,437
National Western Life Insurance Co. — Class A		46		6,613
Navigators Group, Inc.(The)*		125		5,702
OneBeacon Insurance Group Ltd. — Class A		408		6,210
Phoenix Cos., Inc.(The)*		4,434		6,607
Platinum Underwriters Holdings Ltd.		174		6,026
Presidential Life Corp.		639		6,339
Primerica, Inc.		258		5,839
ProAssurance Corp.		75		5,741

See Notes to Financial Statements.

ANNUAL REPORT 99

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
RLI Corp.		86		$6,049
Safety Insurance Group, Inc.		142		6,052
SeaBright Holdings, Inc.		793		5,694
Selective Insurance Group, Inc.		412		6,604
State Auto Financial Corp.		427		5,675
Stewart Information Services Corp.		619		6,215
Symetra Financial Corp.		639		5,924
Tower Group, Inc.		240		5,695
United Fire & Casualty Co.		309		5,812
Universal Insurance Holdings, Inc.		1,374		5,798
Total Insurance				317,620
Internet & Catalog Retail 0.6%
1-800-flowers.com, Inc. — Class A*		3,196		9,109
Blue Nile, Inc.*		219		9,884
Geeknet, Inc.*		428		8,333
HSN, Inc.		234		8,347
Nutrisystem, Inc.		692		8,553
Orbitz Worldwide, Inc.*		3,508		6,630
Overstock.com, Inc.*		826		6,856
PetMed Express, Inc.		5,332		53,160
Shutterfly, Inc.*		182		7,584
US Auto Parts Network, Inc.*		1,739		9,738
Valuevision Media, Inc. — Class A*		3,008		9,866
Total Internet & Catalog Retail				138,060
Internet Software & Services 1.9%
Active Network Inc.(The)*		555		7,459
Ancestry.com, Inc.*		319		7,264
comScore, Inc.*		477		10,069
Constant Contact, Inc.*		467		9,452
Cornerstone OnDemand, Inc.*		635		9,150
DealerTrack Holdings, Inc.*		488		10,585
Demand Media, Inc.*		994		6,928
Dice Holdings, Inc.*		1,019		10,373
Digital River, Inc.*		357		6,544
EarthLink, Inc.		1,158		8,118
Envestnet, Inc.*		751		8,742
Infospace, Inc.		955		8,366
Internap Network Services Corp.*		1,618		9,190
IntraLinks Holdings, Inc.*		974		8,464
j2 Global Communications, Inc.		1,470		45,247
Keynote Systems, Inc.		369		8,808
KIT Digital, Inc.*		895		8,055
Limelight Networks, Inc.*		3,190		8,868
Liquidity Services, Inc.*		290		9,442
LivePerson, Inc.*		772		9,719
LogMeIn, Inc.*		242		9,842
LoopNet, Inc.*		521		9,217
Marchex, Inc. — Class B		859		7,637
ModusLink Global Solutions, Inc.		2,255		9,426
Move, Inc.*		4,976		9,156
NIC, Inc.		712		9,833
OpenTable, Inc.*		165		7,237
Openwave Systems, Inc.		5,091		7,891
Perficient, Inc.*		1,055		10,054
QuinStreet, Inc.*		708		8,135
RealNetworks, Inc.		971		9,477
Responsys, Inc.*		736		8,037
RightNow Technologies, Inc.*		253		10,882
Saba Software, Inc.*		1,479		10,264
SciQuest, Inc.*		607		9,008
SPS Commerce, Inc.*		478		9,350
Stamps.com, Inc.		383		12,470
support.com, Inc.*		3,606		7,609
TechTarget, Inc.*		1,406		10,418
Travelzoo, Inc.*		332		10,578
United Online, Inc.		1,468		8,676
ValueClick, Inc.*		479		8,430
Vocus, Inc.*		466		9,497
Web.com Group, Inc.*		1,078		10,413
XO Group, Inc.*		941		8,685
Zix Corp.		2,693		6,679
Total Internet Software & Services				449,744
IT Services 1.2%
Acxiom Corp.*		769		10,143
CACI International, Inc. — Class A*		163		8,947
Cardtronics, Inc.*		233		5,809
Cass Information Systems, Inc.		164		6,427
CIBER, Inc.*		2,440		8,491
Computer Task Group, Inc.*		758		9,680
Convergys Corp.*		924		9,887
CSG Systems International, Inc.*		631		8,985
Dynamics Research Corp.		909		8,763
Echo Global Logistics, Inc.*		691		10,669
Euronet Worldwide, Inc.*		331		6,412
ExlService Holdings, Inc.*		400		10,432
Forrester Research, Inc.		270		9,669
Global Cash Access Holdings, Inc.*		2,043		6,088
Hackett Group, Inc.(The)*		2,408		9,945
Heartland Payment Systems, Inc.		254		5,527
iGate Corp.*		674		9,086
Jack Henry & Associates, Inc.		187		6,061
Lionbridge Technologies, Inc.*		3,190		8,645
Mantech International Corp.		257		9,028
MAXIMUS, Inc.		267		10,771
MoneyGram International, Inc.*		2,263		5,793
NCI, Inc. — Class A*		682		9,309
PRGX Global, Inc.*		1,816		9,697
Sapient Corp.		780		9,641
ServiceSource International, Inc.*		672		8,944
Syntel, Inc.		177		8,655
TeleTech Holdings, Inc.*		586		10,243
TNS, Inc.*		430		8,398
Unisys Corp.*		490		12,735
Virtusa Corp.*		568		9,253
Wright Express Corp.*		133		6,235
Total IT Services				278,368
Leisure Equipment & Products 0.5%
Arctic Cat, Inc.*		529		10,744
Black Diamond, Inc.*		1,126		9,717
Brunswick Corp.		531		9,377
Callaway Golf Co.		1,475		8,570
Eastman Kodak Co.*		4,511		5,007
Jakks Pacific, Inc.		417		7,910
Johnson Outdoors, Inc. — Class A*		503		9,351
Leapfrog Enterprises, Inc.*		2,349		8,762
Marine Products Corp.*		1,956		10,817
Smith & Wesson Holding Corp.*		3,020		8,939
Steinway Musical Instruments, Inc.		357		8,996
Sturm Ruger & Co., Inc.		261		7,914
Summer Infant, Inc.*		1,173		9,173
Total Leisure Equipment & Products				115,277

See Notes to Financial Statements.

100

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Life Sciences Tools & Services 0.6%
Affymetrix, Inc.*		1,634		$9,134
Albany Molecular Research, Inc.*		2,789		8,953
Caliper Life Sciences, Inc.*		826		8,657
Cambrex Corp.		1,705		9,395
Complete Genomics, Inc.*		1,302		7,421
Enzo Biochem, Inc.*		3,357		9,601
eResearchTechnology, Inc.*		1,742		8,902
Fluidigm Corp.*		587		8,195
Furiex Pharmaceuticals, Inc.*		567		8,051
Harvard Bioscience, Inc.*		1,897		8,650
Luminex Corp.*		393		8,630
Medtox Scientific, Inc.		635		9,296
Pacific Biosciences of California, Inc.*		2,148		8,420
PAREXEL International Corp.*		438		9,649
Sequenom, Inc.*		1,594		7,922
Total Life Sciences Tools & Services				130,876
Machinery 3.1%
3D Systems Corp.*		513		8,346
Accuride Corp.*		1,595		10,080
Actuant Corp. — Class A		467		10,507
Alamo Group, Inc.		440		10,494
Albany International Corp. — Class A		475		10,730
Altra Holdings, Inc.*		737		10,834
American Railcar Industries, Inc.*		599		13,214
Ampco-Pittsburgh Corp.		923		19,374
Astec Industries, Inc.*		296		9,842
Barnes Group, Inc.		436		10,146
Blount International, Inc.*		641		9,955
Briggs & Stratton Corp.		635		9,271
Cascade Corp.		259		11,163
Chart Industries, Inc.*		188		10,624
CIRCOR International, Inc.		296		10,307
CLARCOR, Inc.		472		22,883
Colfax Corp.*		415		10,483
Columbus McKinnon Corp.*		857		12,846
Commercial Vehicle Group, Inc.*		1,342		14,802
Douglas Dynamics, Inc.		679		10,199
Dynamic Materials Corp.		1,259		27,320
Energy Recovery, Inc.*		3,132		9,615
EnPro Industries, Inc.*		297		10,229
ESCO Technologies, Inc.		328		10,027
Federal Signal Corp.*		1,911		9,020
Flow International Corp.*		3,798		9,837
Force Protection, Inc.*		2,322		8,545
FreightCar America, Inc.*		572		10,839
Gorman-Rupp Co.(The)		345		9,270
Graham Corp.		527		12,142
Greenbrier Cos., Inc.*		698		12,990
Hurco Cos., Inc.*		410		10,709
John Bean Technologies Corp.		604		9,749
Kadant, Inc.*		511		11,063
Kaydon Corp.		673		21,173
LB Foster Co. — Class A		860		21,930
Lindsay Corp.		156		9,064
Lydall, Inc.*		992		10,872
Meritor, Inc.*		1,145		10,900
Met-Pro Corp.		1,036		9,334
Middleby Corp.		118		9,945
Miller Industries, Inc.		504		10,302
Mueller Industries, Inc.		478		19,335
Mueller Water Products, Inc. — Series A		8,023		22,063
NACCO Industries, Inc. — Class A		138		11,330
NN, Inc.*		3,558		31,453
PMFG, Inc.*		541		11,063
RBC Bearings, Inc.*		564		22,842
Robbins & Myers, Inc.		241		10,770
Sauer-Danfoss, Inc.*		283		10,958
Sun Hydraulics Corp.		362		10,411
Tecumseh Products Co. — Class A*		1,230		7,823
Tennant Co.		238		9,208
Titan International, Inc.		542		12,195
Trimas Corp.*		592		11,538
Twin Disc, Inc.		309		12,020
Wabash National Corp.*		1,804		12,448
Watts Water Technologies, Inc. — Class A		323		10,171
Xerium Technologies, Inc.*		782		8,102
Total Machinery				734,705
Marine 0.3%
Baltic Trading Ltd.		1,804		10,030
Eagle Bulk Shipping, Inc.*		4,960		7,688
Excel Maritime Carriers Ltd.*		3,914		11,116
Genco Shipping & Trading Ltd.*		1,141		10,269
International Shipholding Corp.		487		9,906
Ultrapetrol Bahamas Ltd.*		3,362		9,985
Total Marine				58,994
Media 1.4%
AH Belo Corp. — Class A		1,906		9,530
Arbitron, Inc.		220		8,741
Belo Corp. — Class A		1,546		9,802
Central European Media Enterprises Ltd. — Class A*		939		10,367
Cinemark Holdings, Inc.		416		8,599
Crown Media Holdings, Inc. — Class A*		5,865		9,267
Cumulus Media, Inc. — Class A*		2,985		8,985
DG Fastchannel, Inc.*		444		8,276
E.W. Scripps Co. — Class A*		1,093		9,116
Entercom Communications Corp. — Class A*		1,484		9,735
Entravision Communications Corp. — Class A*		6,267		10,341
Fisher Communications, Inc.		351		10,193
Global Sources Ltd.*		1,221		8,901
Gray Television, Inc.*		4,639		8,814
Harte-Hanks, Inc.		940		8,253
interCLICK, Inc.*		1,437		10,634
Journal Communications, Inc. — Class A*		2,550		9,843
Knology, Inc.*		585		8,383
LIN TV Corp. — Class A*		3,436		10,720
Lions Gate Entertainment Corp.*		1,224		10,061
Live Nation Entertainment, Inc.*		963		9,043
Martha Stewart Living Omnimedia — Class A		2,307		8,928
McClatchy Co.(The) — Class A*		6,621		10,395
MDC Partners, Inc.		583		9,818
Meredith Corp.		354		9,498
National CineMedia, Inc.		545		6,594
New York Times Co.(The) — Class A*		1,351		10,295
Nexstar Broadcasting Group, Inc. — Class A*		1,244		11,320
Outdoor Channel Holdings, Inc.*		1,284		9,591
ReachLocal, Inc.*		651		6,516
Rentrak Corp.*		594		8,114
Saga Communications, Inc. — Class A*		263		9,862
Scholastic Corp.		292		7,840

See Notes to Financial Statements.

ANNUAL REPORT 101

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Sinclair Broadcast Group, Inc. — Class A		1,065		$10,203
Valassis Communications, Inc.*		396		7,734
World Wrestling Entertainment, Inc. — Class A		873		9,175
Total Media				333,487
Metals & Mining 2.6%
A.M. Castle & Co.*		764		10,459
AMCOL International Corp.		806		24,333
Century Aluminum Co.*		2,036		22,722
Coeur d’Alene Mines Corp.		870		22,246
General Moly, Inc.*		6,480		22,291
Globe Specialty Metals, Inc.		1,335		22,254
Gold Resource Corp.		1,032		23,220
Golden Minerals Co.*		2,390		16,754
Golden Star Resources Ltd.*		10,316		20,529
Haynes International, Inc.		418		24,449
Hecla Mining Co.*		3,444		21,594
Horsehead Holding Corp.*		2,505		21,743
Jaguar Mining, Inc.*		3,858		20,062
Kaiser Aluminum Corp.		416		19,327
Materion Corp.*		840		22,210
Metals USA Holdings Corp.*		2,155		23,468
Midway Gold Corp.*		8,985		18,868
Noranda Aluminum Holding Corp.*		2,264		20,965
Olympic Steel, Inc.		1,129		23,088
Paramount Gold and Silver Corp.*		7,659		20,373
Revett Minerals, Inc.*		4,980		20,966
RTI International Metals, Inc.*		794		20,954
Stillwater Mining Co.*		2,098		23,833
Thompson Creek Metals Co, Inc.*		3,013		21,483
Universal Stainless & Alloy*		803		30,233
US Gold Corp.*		4,358		19,785
Vista Gold Corp.*		5,632		20,331
Worthington Industries, Inc.		1,368		23,639
Total Metals & Mining				602,179
Multi-Utilities 0.8%
Avista Corp.		1,775		45,174
Black Hills Corp.		1,367		46,082
CH Energy Group, Inc.		802		44,278
NorthWestern Corp.		1,341		46,197
Total Multi-Utilities				181,731
Multiline Retail 0.2%
99 Cents Only Stores*		430		9,374
Bon-Ton Stores, Inc.(The)		1,437		7,587
Fred’s, Inc. — Class A		719		8,765
Gordmans Stores, Inc.*		639		8,933
Saks, Inc.*		867		9,164
Tuesday Morning Corp.*		2,167		7,845
Total Multiline Retail				51,668
Oil, Gas & Consumable Fuels 8.4%
Abraxas Petroleum Corp.*		7,981		31,126
Amyris, Inc.*		1,223		25,071
Apco Oil and Gas International, Inc.		315		26,145
Approach Resources, Inc.*		1,345		32,831
ATP Oil & Gas Corp.*		2,503		26,407
Berry Petroleum Co. — Class A		610		21,076
Bill Barrett Corp.*		619		25,750
BPZ Resources, Inc.*		8,271		24,730
Callon Petroleum Co.*		5,842		27,516
Carrizo Oil & Gas, Inc.*		1,052		28,614
Cheniere Energy, Inc.*		4,515		51,742
Clayton Williams Energy, Inc.*		505		32,997
Clean Energy Fuels Corp.*		2,024		23,924
Cloud Peak Energy, Inc.*		1,377		31,602
Comstock Resources, Inc.*		1,405		25,627
Contango Oil & Gas Co.*		435		27,988
Crosstex Energy, Inc.		1,735		22,607
CVR Energy, Inc.*		1,038		25,701
Delek US Holdings, Inc.		2,009		29,090
DHT Holdings, Inc.		4,072		6,515
Endeavour International Corp.*		2,959		27,460
Energy Partners Ltd.*		1,996		28,623
Energy XXI Ltd.*		1,063		31,220
Evolution Petroleum Corp.*		3,554		24,558
Frontline Ltd.		1,657		8,616
FX Energy, Inc.*		5,333		31,571
Gastar Exploration Ltd.*		7,040		26,048
GeoResources, Inc.*		1,217		32,299
GMX Resources, Inc.*		11,339		28,347
Golar LNG Ltd.		753		30,444
Goodrich Petroleum Corp.*		1,790		28,371
Green Plains Renewable Energy, Inc.*		2,658		27,803
Gulfport Energy Corp.*		1,022		31,825
Harvest Natural Resources, Inc.*		2,389		25,491
Houston American Energy Corp.*		1,661		26,011
Hyperdynamics Corp.*		6,128		30,027
James River Coal Co.*		3,336		34,528
Knightsbridge Tankers Ltd.		519		8,761
Kodiak Oil & Gas Corp.*		4,351		30,065
Magnum Hunter Resources Corp.*		5,911		26,599
McMoRan Exploration Co.*		2,260		27,527
Nordic American Tanker Shipping Ltd.		590		8,508
Northern Oil and Gas, Inc.*		1,168		28,231
Oasis Petroleum, Inc.*		1,034		30,338
Overseas Shipholding Group, Inc.		559		6,976
Panhandle Oil and Gas, Inc. — Class A		851		28,355
Patriot Coal Corp.*		2,442		30,672
Penn Virginia Corp.		3,753		22,856
Petroleum Development Corp.*		1,143		29,844
Petroquest Energy, Inc.*		3,886		28,329
Rentech, Inc.*		23,239		37,415
Resolute Energy Corp.*		2,106		27,378
REX American Resources Corp.*		1,507		27,488
Rex Energy Corp.*		1,809		28,003
Rosetta Resources, Inc.*		620		27,491
Scorpio Tankers, Inc.*		1,669		10,665
SemGroup Corp. — Class A*		1,138		31,841
Ship Finance International Ltd.		647		9,259
Solazyme, Inc.*		2,583		26,269
Stone Energy Corp.*		1,256		30,508
Swift Energy Co.*		877		26,854
Targa Resources Corp.		817		27,566
Teekay Tankers Ltd. — Class A		1,634		8,072
Triangle Petroleum Corp.*		6,039		34,060
Ur-Energy, Inc.*		20,421		26,343
Uranerz Energy Corp.*		12,403		28,279
Uranium Energy Corp.*		7,119		23,920
USEC, Inc.*		13,258		27,842
Vaalco Energy, Inc.*		4,711		32,082
Venoco, Inc.*		2,558		24,915
Voyager Oil & Gas, Inc.*		10,849		29,943
W&T Offshore, Inc.		1,576		31,031
Warren Resources, Inc.*		9,146		28,627

See Notes to Financial Statements.

102

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Western Refining, Inc.*		1,787		$28,556
World Fuel Services Corp.		715		28,493
Total Oil, Gas & Consumable Fuels				1,990,262
Paper & Forest Products 0.9%
Buckeye Technologies, Inc.		763		23,073
Clearwater Paper Corp.*		567		18,785
Deltic Timber Corp.		357		24,165
KapStone Paper and Packaging Corp.*		1,344		22,042
Louisiana-Pacific Corp.*		3,426		22,783
Neenah Paper, Inc.		1,320		21,780
PH Glatfelter Co.		1,454		21,810
Schweitzer-Mauduit International, Inc.		331		23,276
Wausau Paper Corp.		3,027		22,702
Total Paper & Forest Products				200,416
Personal Products 0.9%
Elizabeth Arden, Inc.*		257		8,810
Inter Parfums, Inc.		506		9,331
Medifast, Inc.*		2,920		48,005
Nature’s Sunshine Products, Inc.*		3,188		55,344
Nu Skin Enterprises, Inc. — Class A		188		9,499
Prestige Brands Holdings, Inc.*		912		9,649
Revlon, Inc. — Class A*		639		9,412
USANA Health Sciences, Inc.*		1,748		60,481
Total Personal Products				210,531
Pharmaceuticals 1.3%
Aegerion Pharmaceuticals, Inc.*		562		7,357
Akorn, Inc.*		1,022		9,188
Ampio Pharmaceuticals, Inc.*		1,100		7,821
Auxilium Pharmaceuticals, Inc.*		592		9,211
AVANIR Pharmaceuticals, Inc. — Class A*		2,883		8,620
Cadence Pharmaceuticals, Inc.*		1,268		7,392
Columbia Laboratories, Inc.*		4,318		10,924
Corcept Therapeutics, Inc.*		2,883		9,139
Cornerstone Therapeutics, Inc.*		1,220		7,479
Depomed, Inc.*		1,475		6,608
Durect Corp.*		5,337		8,486
Endocyte, Inc.*		774		7,515
Hi-Tech Pharmacal Co., Inc.*		252		8,951
Impax Laboratories, Inc.*		449		8,491
ISTA Pharmaceuticals, Inc.*		2,198		9,100
Jazz Pharmaceuticals, Inc.*		191		7,441
KV Pharmaceutical Co. — Class A*		6,609		7,336
Lannett Co., Inc.*		2,022		8,270
MAP Pharmaceuticals, Inc.*		551		8,144
Medicines Co.(The)*		558		10,446
Medicis Pharmaceutical Corp. — Class A		230		8,807
Nektar Therapeutics*		1,619		8,775
Obagi Medical Products, Inc.*		843		7,958
Optimer Pharmaceuticals, Inc.*		556		7,934
Pacira Pharmaceuticals, Inc.*		838		8,196
Pain Therapeutics, Inc.*		1,606		7,147
Par Pharmaceutical Cos., Inc.*		310		9,486
Pozen, Inc.*		3,396		8,660
Questcor Pharmaceuticals, Inc.*		334		13,564
Sagent Pharmaceuticals, Inc.*		410		10,475
Salix Pharmaceuticals Ltd.*		289		9,900
Santarus, Inc.*		2,846		8,680
Sucampo Pharmaceuticals, Inc. — Class A*		2,407		10,591
Viropharma, Inc.*		463		9,371
Vivus, Inc.*		989		9,326
XenoPort, Inc.*		1,292		7,881
Total Pharmaceuticals				314,670
Professional Services 1.2%
Acacia Research — Acacia Technologies*		206		8,207
Advisory Board Co.(The)*		137		8,391
Barrett Business Services, Inc.		647		10,268
CBIZ, Inc.*		1,360		8,609
CDI Corp.		802		10,530
Corporate Executive Board Co.(The)		290		10,611
CoStar Group, Inc.*		169		10,399
CRA International, Inc.*		420		8,114
Dolan Co.(The)*		943		8,251
Exponent, Inc.*		213		10,262
Franklin Covey Co.*		1,049		10,112
FTI Consulting, Inc.*		241		9,498
GP Strategies Corp.*		838		9,905
Heidrick & Struggles International, Inc.		536		10,602
Hill International, Inc.*		1,781		9,974
Huron Consulting Group, Inc.*		290		10,443
ICF International, Inc.*		457		10,685
Insperity, Inc.		408		10,518
Kelly Services, Inc. — Class A		761		12,442
Kforce, Inc.*		913		11,650
Korn/Ferry International*		679		10,844
Mistras Group, Inc.*		481		10,486
Navigant Consulting, Inc.*		913		10,344
Odyssey Marine Exploration, Inc.*		3,388		9,656
On Assignment, Inc.*		1,231		13,282
Resources Connection, Inc.		909		10,081
RPX Corp.*		416		6,473
TrueBlue, Inc.*		768		10,153
VSE Corp.		349		8,488
Total Professional Services				289,278
Real Estate Investment Trusts (REITs) 2.6%
Acadia Realty Trust		275		5,698
Agree Realty Corp.		241		5,762
Alexander’s, Inc.		17		7,373
American Assets Trust, Inc.		297		6,020
American Campus Communities, Inc.		143		5,567
Anworth Mortgage Asset Corp.		799		5,154
Apollo Commercial Real Estate Finance, Inc.		379		5,310
ARMOUR Residential REIT, Inc.		796		5,691
Ashford Hospitality Trust, Inc.		794		7,067
Associated Estates Realty Corp.		338		5,739
BioMed Realty Trust, Inc.		325		5,886
Campus Crest Communities, Inc.		468		5,349
CapLease, Inc.		1,429		5,587
Capstead Mortgage Corp.		441		5,345
CBL & Associates Properties, Inc.		428		6,583
Cedar Shopping Centers, Inc.		1,658		6,085
Chatham Lodging Trust		536		6,030
Chesapeake Lodging Trust		467		6,977
Cogdell Spencer, Inc.		1,463		5,910
Colonial Properties Trust		290		5,881
Colony Financial, Inc.		401		5,883
Coresite Realty Corp.		363		6,044
Cousins Properties, Inc.		888		5,825
CreXus Investment Corp.		584		5,583
CubeSmart		621		6,092
CYS Investments, Inc.		448		5,681
DCT Industrial Trust, Inc.		1,174		5,823
DiamondRock Hospitality Co.		753		6,815

See Notes to Financial Statements.

ANNUAL REPORT 103

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
DuPont Fabros Technology, Inc.		261		$5,426
Dynex Capital, Inc.		640		5,606
EastGroup Properties, Inc.		134		5,844
Education Realty Trust, Inc.		605		5,596
Entertainment Properties Trust		143		6,406
Equity Lifestyle Properties, Inc.		82		5,423
Equity One, Inc.		321		5,505
Excel Trust, Inc.		536		5,633
Extra Space Storage, Inc.		274		6,173
FelCor Lodging Trust, Inc.*		2,263		6,812
First Industrial Realty Trust, Inc.*		643		6,334
First Potomac Realty Trust		409		5,812
Franklin Street Properties Corp.		461		5,855
Getty Realty Corp.		341		5,436
Gladstone Commercial Corp.		340		5,722
Glimcher Realty Trust		712		6,522
Government Properties Income Trust		252		5,930
Hatteras Financial Corp.		212		5,448
Healthcare Realty Trust, Inc.		308		5,818
Hersha Hospitality Trust		1,542		6,800
Highwoods Properties, Inc.		197		6,103
Home Properties, Inc.		95		5,595
Hudson Pacific Properties, Inc.		453		6,052
Inland Real Estate Corp.		721		5,407
Invesco Mortgage Capital, Inc.		365		5,760
Investors Real Estate Trust		743		5,506
iStar Financial, Inc.*		872		5,921
Kilroy Realty Corp.		167		6,127
Kite Realty Group Trust		1,435		5,927
LaSalle Hotel Properties		275		6,575
Lexington Realty Trust		801		6,296
LTC Properties, Inc.		208		5,899
Medical Properties Trust, Inc.		574		5,797
MFA Financial, Inc.		779		5,258
Mid-America Apartment Communities, Inc.		94		5,866
Mission West Properties, Inc.		702		5,462
Monmouth Real Estate Investment Corp. — Class A		683		5,737
MPG Office Trust, Inc.*		2,263		5,409
National Health Investors, Inc.		124		5,542
National Retail Properties, Inc.		204		5,559
Newcastle Investment Corp.		1,212		5,563
NorthStar Realty Finance Corp.		1,519		6,000
Omega Healthcare Investors, Inc.		312		5,541
One Liberty Properties, Inc.		354		5,756
Parkway Properties, Inc.		474		6,091
Pebblebrook Hotel Trust		350		6,660
Pennsylvania Real Estate Investment Trust		639		6,556
Pennymac Mortgage Investment Trust		335		5,728
Post Properties, Inc.		147		6,039
Potlatch Corp.		171		5,554
PS Business Parks, Inc.		106		5,642
RAIT Financial Trust		1,559		8,107
Ramco-Gershenson Properties Trust		635		6,128
Redwood Trust, Inc.		451		5,241
Resource Capital Corp.		957		5,139
Retail Opportunity Investments Corp.		483		5,506
RLJ Lodging Trust		412		6,106
Sabra Health Care REIT, Inc.		531		5,453
Saul Centers, Inc.		170		6,093
Sovran Self Storage, Inc.		144		6,365
STAG Industrial, Inc.		498		5,348
Starwood Property Trust, Inc.		299		5,618
Strategic Hotels & Resorts, Inc.*		1,142		6,498
Summit Hotel Properties, Inc.		704		5,681
Sun Communities, Inc.		146		5,560
Sunstone Hotel Investors, Inc.*		951		6,609
Tanger Factory Outlet Centers		202		5,688
Terreno Realty Corp.		386		4,806
Two Harbors Investment Corp.		608		5,685
UMH Properties, Inc.		590		5,924
Universal Health Realty Income Trust		161		6,113
Urstadt Biddle Properties, Inc. — Class A		332		5,923
Washington Real Estate Investment Trust		189		5,473
Whitestone REIT — Class B		478		5,593
Winthrop Realty Trust		595		5,385
Total Real Estate Investment Trusts (REITs)				605,831
Real Estate Management & Development 0.1%
Avatar Holdings, Inc.*		602		5,719
Consolidated-Tomoka Land Co.		203		6,080
Forestar Group, Inc.*		467		6,071
Kennedy-Wilson Holdings, Inc.		484		6,011
Tejon Ranch Co.*		212		5,510
Total Real Estate Management & Development				29,391
Road & Rail 0.8%
Amerco, Inc.*		126		9,539
Arkansas Best Corp.		504		10,382
Avis Budget Group, Inc.*		758		10,688
Celadon Group, Inc.		952		10,482
Dollar Thrifty Automotive Group, Inc.*		133		8,118
Genesee & Wyoming, Inc. — Class A*		189		11,191
Heartland Express, Inc.		649		8,703
Knight Transportation, Inc.		647		9,834
Marten Transport Ltd.		507		8,979
Old Dominion Freight Line, Inc.*		297		10,861
Patriot Transportation Holding, Inc.*		431		9,913
Quality Distribution, Inc.*		982		11,067
RailAmerica, Inc.*		671		9,173
Roadrunner Transportation Systems, Inc.*		631		10,531
Saia, Inc.*		870		11,614
Swift Transportation Co. — Class A*		1,305		11,615
Universal Truckload Services, Inc.		660		10,243
Werner Enterprises, Inc.		418		9,907
Zipcar, Inc.*		448		9,162
Total Road & Rail				192,002
Semiconductors & Semiconductor Equipment 2.8%
Advanced Analogic Technologies, Inc.*		1,857		8,096
Advanced Energy Industries, Inc.*		988		9,228
Alpha & Omega Semiconductor Ltd.*		1,019		8,611
Amkor Technology, Inc.*		1,653		8,001
Amtech Systems, Inc.*		893		9,126
Anadigics, Inc.*		3,606		9,484
Applied Micro Circuits Corp.*		1,450		9,773
ATMI, Inc.*		482		9,833
Axcelis Technologies, Inc.*		6,855		9,597
AXT, Inc.*		1,535		7,214
Brooks Automation, Inc.		1,018		10,638
Cabot Microelectronics Corp.*		556		21,417
Cavium, Inc.*		275		8,990
Ceva, Inc.*		322		10,005
Cirrus Logic, Inc.*		519		8,636
Cohu, Inc.		784		8,695
Cymer, Inc.*		211		9,168
Diodes, Inc.*		435		9,731
DSP Group, Inc.*		1,367		8,448

See Notes to Financial Statements.

104

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Entegris, Inc.*		1,134		$10,161
Entropic Communications, Inc.*		1,861		10,831
Exar Corp.*		1,373		8,389
Formfactor, Inc.*		1,287		7,696
FSI International, Inc.*		4,254		10,507
GSI Technology, Inc.*		1,613		7,904
GT Advanced Technologies, Inc.*		3,030		24,846
Hittite Microwave Corp.*		164		8,626
Inphi Corp.*		889		9,815
Integrated Device Technology, Inc.*		1,479		8,992
Integrated Silicon Solution, Inc.*		1,032		9,505
IXYS Corp.*		688		9,405
Kopin Corp.*		2,248		9,104
Kulicke & Soffa Industries, Inc.*		987		9,525
Lattice Semiconductor Corp.*		1,459		9,235
LTX-Credence Corp.*		1,477		9,349
MaxLinear, Inc. — Class A*		1,240		7,217
Micrel, Inc.		825		9,091
Microsemi Corp.		479		8,842
Mindspeed Technologies, Inc.*		1,519		8,446
MIPS Technologies, Inc.*		1,448		7,950
MKS Instruments, Inc.		367		9,777
Monolithic Power Systems, Inc.*		746		9,295
MoSys, Inc.*		2,171		8,402
Nanometrics, Inc.*		544		9,183
Netlogic Microsystems, Inc.*		172		8,462
NVE Corp.*		128		7,043
Omnivision Technologies, Inc.*		510		8,318
PDF Solutions, Inc.*		2,049		10,593
Pericom Semiconductor Corp.*		1,083		9,195
Photronics, Inc.*		1,391		8,722
PLX Technology, Inc.*		2,514		8,170
Power Integrations, Inc.		253		9,014
Rambus, Inc.*		579		10,266
RF Micro Devices, Inc.*		1,201		8,815
Rubicon Technology, Inc.*		742		7,732
Rudolph Technologies, Inc.*		1,261		9,294
Semtech Corp.*		357		8,718
Sigma Designs, Inc.*		1,004		8,373
Silicon Image, Inc.*		1,257		8,095
Spansion, Inc. — Class A*		622		6,400
Standard Microsystems Corp.*		410		10,152
STR Holdings, Inc.*		3,063		26,189
Supertex, Inc.*		455		8,399
Tessera Technologies, Inc.*		651		8,964
TriQuint Semiconductor, Inc.*		1,488		7,916
Ultra Clean Holdings*		1,851		10,143
Ultratech, Inc.*		435		9,483
Veeco Instruments, Inc.*		281		7,500
Volterra Semiconductor Corp.*		396		9,385
Total Semiconductors & Semiconductor Equipment				662,125
Software 2.6%
Accelrys, Inc.*		1,342		8,897
ACI Worldwide, Inc.*		291		8,925
Actuate Corp.*		1,429		9,288
Advent Software, Inc.*		245		6,713
American Software, Inc. — Class A		1,126		8,805
Aspen Technology, Inc.*		507		8,791
Blackbaud, Inc.		345		9,670
Bottomline Technologies, Inc.*		404		9,813
BroadSoft, Inc.*		245		8,820
Callidus Software, Inc.*		1,806		10,222
CommVault Systems, Inc.*		208		8,857
Concur Technologies, Inc.*		218		10,141
Convio, Inc.*		976		9,360
Deltek, Inc.*		1,200		8,832
DemandTec, Inc.*		1,342		10,146
Digimarc Corp.*		293		7,838
Ebix, Inc.		535		9,154
Ellie Mae, Inc.*		1,395		7,115
EPIQ Systems, Inc.		640		9,126
ePlus, Inc.*		330		8,963
Fair Isaac Corp.		237		6,482
FalconStor Software, Inc.*		2,650		8,983
Glu Mobile, Inc.*		2,931		8,881
Guidance Software, Inc.*		1,254		7,537
Interactive Intelligence Group*		286		7,937
JDA Software Group, Inc.*		335		10,676
Kenexa Corp.*		460		10,520
Magma Design Automation, Inc.*		1,650		8,712
Manhattan Associates, Inc.*		234		9,910
Mentor Graphics Corp.*		822		9,338
MicroStrategy, Inc. — Class A*		68		8,960
Monotype Imaging Holdings, Inc.*		658		8,929
Motricity, Inc.*		4,253		7,485
Netscout Systems, Inc.*		671		10,998
NetSuite, Inc.*		263		10,005
Opnet Technologies, Inc.		222		9,710
Parametric Technology Corp.*		519		10,811
Pegasystems, Inc.		236		8,918
Progress Software Corp.*		428		9,014
PROS Holdings, Inc.*		623		9,881
QAD, Inc. — Class A*		752		8,693
QLIK Technologies, Inc.*		349		9,971
Quest Software, Inc.*		499		8,777
RealD, Inc.*		672		7,506
RealPage, Inc.*		399		10,514
Rosetta Stone, Inc.*		861		8,550
S1 Corp.*		603		5,867
SeaChange International, Inc.*		1,001		8,448
Smith Micro Software, Inc.*		5,458		6,386
SolarWinds, Inc.*		365		10,534
Sourcefire, Inc.*		289		7,962
SRS Labs, Inc.*		1,152		8,099
SS&C Technologies Holdings, Inc.*		576		9,135
SuccessFactors, Inc.*		346		9,238
Synchronoss Technologies, Inc.*		320		9,619
Take-Two Interactive Software, Inc.*		622		9,815
Taleo Corp. — Class A*		303		9,817
TeleCommunication Systems, Inc. — Class A*		2,433		8,029
TeleNav, Inc.*		906		7,764
THQ, Inc.*		4,635		9,873
TiVo, Inc.*		790		8,556
Tyler Technologies, Inc.*		324		10,229
Ultimate Software Group, Inc.*		165		9,930
VASCO Data Security International, Inc.*		1,565		12,927
Verint Systems, Inc.*		280		8,344
VirnetX Holding Corp.		458		9,870
Wave Systems Corp. — Class A*		3,179		8,297
Websense, Inc.*		452		8,064
Total Software				613,977
Specialty Retail 2.6%
Aeropostale, Inc.*		767		10,477
America’s Car-Mart, Inc.*		273		9,113

See Notes to Financial Statements.

ANNUAL REPORT 105

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
ANN, Inc.*		348		$9,271
Asbury Automotive Group, Inc.*		461		8,598
Ascena Retail Group, Inc.*		290		8,381
Barnes & Noble, Inc.*		622		7,632
Bebe Stores, Inc.		1,151		8,264
Big 5 Sporting Goods Corp.		1,236		9,554
Body Central Corp.*		419		8,799
Brown Shoe Co., Inc.		1,132		10,086
Buckle, Inc.(The)		204		9,090
Build-A-Bear Workshop, Inc.*		1,610		10,545
Cabela’s, Inc.*		372		9,270
Casual Male Retail Group, Inc.*		2,073		8,603
Cato Corp.(The) — Class A		331		8,484
Charming Shoppes, Inc.*		2,737		9,497
Children’s Place Retail Stores, Inc.(The)*		174		8,169
Christopher & Banks Corp.		2,326		7,746
Citi Trends, Inc.*		653		8,091
Coldwater Creek, Inc.*		6,267		6,580
Collective Brands, Inc.*		594		8,678
Conn’s, Inc.*		1,069		9,845
Cost Plus, Inc.*		1,192		9,405
Destination Maternity Corp.		599		9,925
Express, Inc.		381		8,607
Finish Line, Inc.(The) — Class A		377		7,578
Genesco, Inc.*		154		9,077
GNC Holdings, Inc. — Class A*		2,262		55,984
Group 1 Automotive, Inc.		214		9,750
Haverty Furniture Cos., Inc.		770		8,947
hhgregg, Inc.*		822		10,481
Hibbett Sports, Inc.*		225		9,268
HOT Topic, Inc.		1,026		7,757
JOS A Bank Clothiers, Inc.*		161		8,604
Kirkland’s, Inc.*		866		9,734
Lithia Motors, Inc. — Class A		534		10,984
Lumber Liquidators Holdings, Inc.*		512		7,665
MarineMax, Inc.*		1,229		10,004
Men’s Wearhouse, Inc.(The)		289		8,924
Monro Muffler, Inc.		234		8,679
New York & Co., Inc.*		2,512		6,707
Office Depot, Inc.*		3,698		8,468
OfficeMax, Inc.*		1,541		7,890
Pacific Sunwear of California, Inc.*		6,037		7,546
Penske Automotive Group, Inc.		479		9,767
PEP Boys-Manny Moe & Jack		795		9,143
Pier 1 Imports, Inc.*		749		9,370
Rent-A-Center, Inc.		296		10,108
Rue21, Inc.*		321		8,551
Select Comfort Corp.*		519		10,780
Shoe Carnival, Inc.*		332		9,060
Sonic Automotive, Inc. — Class A		691		10,137
Stage Stores, Inc.		567		8,862
Stein Mart, Inc.		1,226		8,889
Syms Corp.		904		7,060
Systemax, Inc.		627		9,487
Talbots, Inc.*		2,944		7,743
Vitamin Shoppe, Inc.*		212		7,995
West Marine, Inc.*		970		8,817
Wet Seal, Inc.(The) — Class A*		1,748		7,324
Winmark Corp.		162		8,040
Zale Corp.*		2,387		8,808
Zumiez, Inc.*		430		9,783
Total Specialty Retail				606,481
Textiles, Apparel & Luxury Goods 0.9%
Carter’s, Inc.*		260		9,903
Cherokee, Inc.		626		8,226
Columbia Sportswear Co.		160		8,598
Crocs, Inc.*		296		5,230
Delta Apparel, Inc.*		511		9,203
G-III Apparel Group Ltd.*		345		9,726
Iconix Brand Group, Inc.*		472		8,472
Jones Group, Inc.(The)		823		9,193
K-Swiss, Inc. — Class A*		1,730		7,785
Kenneth Cole Productions, Inc. — Class A*		744		8,006
Liz Claiborne, Inc.*		1,437		11,510
Maidenform Brands, Inc.*		342		8,406
Movado Group, Inc.		562		9,402
Oxford Industries, Inc.		214		8,453
Perry Ellis International, Inc.*		417		10,467
Quiksilver, Inc.*		2,437		8,164
R.G. Barry Corp.		768		8,533
Skechers U.S.A., Inc. — Class A*		544		7,758
Steven Madden Ltd.		238		8,782
True Religion Apparel, Inc.*		270		9,158
Unifi, Inc.*		2,292		17,763
Vera Bradley, Inc.*		205		9,287
Warnaco Group, Inc.(The)*		165		8,102
Wolverine World Wide, Inc.		224		8,496
Total Textiles, Apparel & Luxury Goods				218,623
Thrifts & Mortgage Finance 1.1%
Astoria Financial Corp.		670		5,561
Bank Mutual Corp.		1,855		6,177
BankFinancial Corp.		810		6,480
Beneficial Mutual Bancorp, Inc.*		724		5,944
Berkshire Hills Bancorp, Inc.		301		6,026
BofI Holding, Inc.*		409		6,258
Brookline Bancorp, Inc.		687		5,743
Charter Financial Corp.		593		5,556
Clifton Savings Bancorp, Inc.		567		5,772
Dime Community Bancshares, Inc.		523		6,234
Doral Financial Corp.*		4,585		5,502
ESB Financial Corp.		465		6,440
ESSA Bancorp, Inc.		489		5,399
Federal Agricultural Mortgage Corp. — Class C		290		5,852
First Defiance Financial Corp.*		409		5,812
First Financial Holdings, Inc.		1,295		9,648
First Pactrust Bancorp, Inc.		499		6,277
Flagstar Bancorp, Inc.*		10,890		8,494
Flushing Financial Corp.		517		6,338
Fox Chase Bancorp, Inc.		434		5,495
Franklin Financial Corp.*		481		5,382
Home Federal Bancorp, Inc.		620		6,231
Kearny Financial Corp.		612		5,955
Meridian Interstate Bancorp, Inc.*		480		6,254
MGIC Investment Corp.*		2,688		7,150
Northwest Bancshares, Inc.		458		5,711
OceanFirst Financial Corp.		472		6,155
Ocwen Financial Corp.*		428		6,206
Oritani Financial Corp.		424		5,495
PMI Group, Inc.(The)*(b)		24,691		7,704
Provident Financial Services, Inc.		471		6,100
Provident New York Bancorp		893		6,206
Radian Group, Inc.		2,383		5,600
Rockville Financial, Inc.		569		5,719
Roma Financial Corp.		659		6,373
Territorial Bancorp, Inc.		275		5,404

See Notes to Financial Statements.

106

RYDEX RUSSELL 2000^® EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
TrustCo Bank Corp. NY		1,214		$6,022
United Financial Bancorp, Inc.		368		5,940
ViewPoint Financial Group		475		6,113
Walker & Dunlop, Inc.*		477		6,058
Westfield Financial, Inc.		803		5,709
WSFS Financial Corp.		167		6,638
Total Thrifts & Mortgage Finance				259,133
Tobacco 0.9%
Alliance One International, Inc.*		18,117		48,372
Star Scientific, Inc.*		18,737		54,337
Universal Corp.		1,285		55,024
Vector Group Ltd.		2,785		48,933
Total Tobacco				206,666
Trading Companies & Distributors 1.1%
Aceto Corp.		3,603		22,843
Aircastle Ltd.		897		10,881
Applied Industrial Technologies, Inc.		312		10,489
Beacon Roofing Supply, Inc.*		1,214		22,374
CAI International, Inc.*		787		12,285
DXP Enterprises, Inc.*		451		11,266
Essex Rental Corp.*		3,046		8,681
H&E Equipment Services, Inc.*		1,041		11,420
Houston Wire & Cable Co.		690		8,811
Interline Brands, Inc.*		1,485		22,126
Kaman Corp.		315		10,474
RSC Holdings, Inc.*		1,113		10,863
Rush Enterprises, Inc. — Class A*		573		11,059
SeaCube Container Leasing Ltd.		777		10,800
TAL International Group, Inc.		344		9,574
Textainer Group Holdings Ltd.		413		11,337
Titan Machinery, Inc.*		445		10,382
United Rentals, Inc.*		508		11,892
Watsco, Inc.		356		21,951
Total Trading Companies & Distributors				249,508
Water Utilities 1.1%
American States Water Co.		1,271		44,409
California Water Service Group		2,439		45,292
Connecticut Water Service, Inc.		1,664		44,495
Middlesex Water Co.		2,485		47,091
SJW Corp.		1,894		44,092
York Water Co.		2,580		43,860
Total Water Utilities				269,239
Wireless Telecommunication Services 1.0%
Leap Wireless International, Inc.*		6,146		42,715
NTELOS Holdings Corp.		2,389		45,439
Pendrell Corp.*		19,264		47,775
Shenandoah Telecom Co.		3,765		51,053
USA Mobility, Inc.		3,073		40,164
Total Wireless Telecommunication Services				227,146
Total Common Stocks (Cost $25,015,251)				23,469,421
WARRANTS 0.0%(a)
Oil, Gas & Consumable Fuels 0.0%(a)
Magnum Hunter Resources Corp. EXP 10/14/2013*(b)		385		—
Total Oil, Gas & Consumable Fuels				—
Total Warrants (Cost $0)				—
	Face
	Amount
CORPORATE BONDS 0.0%(a)
Investment Management/Advisory Services 0.0%(a)
GAMCO Investors, Inc. 0.00% 2015(b)	$	100		65
Total Investment Management/Advisory Services				65
Total Corporate Bonds (Cost $100)				65
	Shares
SHORT TERM INVESTMENTS 0.5%
SSgA Government Money Market Fund		104,700		104,700
Total Short Term Investments (Cost $104,700)				104,700
Total Investments 100.0%(c) (Cost $25,120,051)				23,574,186
Other Assets in Excess of Liabilities—0.0%(a)				9,688
Net Assets—100.0%				$23,583,874

*	Non-Income Producing Security.
(a)	Amount represents less than 0.05% of net assets.
(b)	Values determined based on Level 2 inputs.
(c)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

See Notes to Financial Statements.

ANNUAL REPORT 107

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.1%
Aerospace & Defense 1.0%
BAE Systems PLC		2,993		$13,363
Cobham PLC		4,340		12,609
European Aeronautic Defence and Space Co. NV		472		14,069
Finmeccanica SpA		1,818		12,592
Rolls-Royce Holdings PLC*		1,453		16,476
Rolls-Royce Holdings PLC — Class C*(a)		100,257		162
Safran SA		373		12,315
Singapore Technologies Engineering Ltd.		6,000		13,565
Thales SA		348		12,414
Total Aerospace & Defense				107,565
Air Freight & Logistics 0.6%
Deutsche Post AG		869		13,345
PostNL NV		2,274		11,675
TNT Express NV		1,386		11,934
Toll Holdings Ltd.		2,671		13,801
Yamato Holdings Co., Ltd.		900		15,143
Total Air Freight & Logistics				65,898
Airlines 0.7%
Air France-KLM*		1,392		10,696
All Nippon Airways Co., Ltd.		3,000		9,118
Cathay Pacific Airways Ltd.		6,000		11,050
Deutsche Lufthansa AG		817		11,250
International Consolidated Airlines Group SA*		4,731		12,657
Qantas Airways Ltd.*		7,775		13,297
Ryanair Holdings PLC ADR*		507		14,586
Total Airlines				82,654
Auto Components 1.7%
Aisin Seiki Co., Ltd.		300		9,761
Bridgestone Corp.		600		14,320
Cie Generale des Etablissements Michelin — Class B		188		13,814
Continental AG*		188		14,210
Denso Corp.		300		9,472
GKN PLC		4,094		12,575
NOK Corp.		900		15,709
Nokian Renkaat OYJ		366		13,554
Pirelli & C SpA		1,653		14,756
Stanley Electric Co., Ltd.		900		13,435
Sumitomo Rubber Industries Ltd.		1,200		15,205
Toyoda Gosei Co., Ltd.		600		10,888
Toyota Boshoku Corp.		900		11,115
Toyota Industries Corp.		600		17,336
Total Auto Components				186,150
Automobiles 1.9%
Bayerische Motoren Werke AG		168		13,839
Daimler AG		246		12,696
Fiat SpA		2,177		13,482
Fuji Heavy Industries Ltd.		3,000		19,622
Honda Motor Co., Ltd.		300		9,257
Isuzu Motors Ltd.		3,000		13,081
Mazda Motor Corp.		6,000		13,004
Mitsubishi Motors Corp.*		9,000		12,119
Nissan Motor Co., Ltd.		1,500		14,139
Peugeot SA		448		9,920
Porsche Automobil Holding SE		221		13,065
Renault SA		336		14,268
Suzuki Motor Corp.		600		13,035
Toyota Motor Corp.		300		10,173
Volkswagen AG		85		15,033
Yamaha Motor Co., Ltd.		900		13,135
Total Automobiles				209,868
Beverages 1.3%
Anheuser-Busch InBev NV		251		14,079
Asahi Breweries Ltd.		600		12,458
Carlsberg A/S — Class B		179		12,281
Coca-Cola Amatil Ltd.		1,059		13,820
Coca-Cola West Co., Ltd.		600		10,811
Diageo PLC		704		14,647
Foster’s Group Ltd.*		2,448		13,843
Heineken Holding NV		322		13,938
Heineken NV		269		13,173
Pernod-Ricard SA		146		13,746
SABMiller PLC		412		15,106
Total Beverages				147,902
Biotechnology 0.3%
Actelion Ltd.*		322		12,080
CSL Ltd.		399		12,217
Grifols SA*		651		12,245
Total Biotechnology				36,542
Building Products 0.9%
Assa Abloy AB — Series B		583		14,345
Cie de St-Gobain		269		12,640
Daikin Industries Ltd.		300		9,084
Geberit AG*		68		14,095
JS Group Corp.		600		12,735
Nippon Sheet Glass Co., Ltd.		6,000		13,235
TOTO Ltd.		3,000		25,277
Total Building Products				101,411
Capital Markets 1.7%
3i Group PLC		3,846		12,763
Credit Suisse Group AG*		472		13,876
Daiwa Securities Group, Inc.		3,000		10,734
Deutsche Bank AG		329		13,925
GAM Holding AG*		943		11,425
ICAP PLC		1,894		12,354
Investec PLC		1,901		11,611
Julius Baer Group Ltd.*		334		12,788
Macquarie Group Ltd.		479		12,659
Man Group PLC		3,463		8,379
Mediobanca SpA		1,344		10,798
Nomura Holdings, Inc.		3,000		11,696
Ratos AB		890		12,002
SBI Holdings, Inc.		163		13,943
Schroders PLC		549		12,663
UBS AG*		936		12,049
Total Capital Markets				193,665
Chemicals 4.9%
Air Liquide SA		110		14,384
Akzo Nobel NV		268		14,285
Arkema SA		180		12,411
Asahi Kasei Corp.		3,000		18,083
BASF SE		186		13,799
Daicel Corp.		3,000		17,352
Denki Kagaku Kogyo KK		3,000		11,696
Givaudan SA*		15		13,815
Hitachi Chemical Co., Ltd.		900		16,448
Incitec Pivot Ltd.		3,634		13,494

See Notes to Financial Statements.

108

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Israel Chemicals Ltd.		926		$11,181
Israel Corp., Ltd.(The)		15		11,087
Johnson Matthey PLC		478		14,497
JSR Corp.		600		11,704
K+S AG		187		11,997
Kaneka Corp.		3,000		16,428
Koninklijke DSM NV		268		13,913
Kuraray Co., Ltd.		900		12,835
Lanxess AG		217		12,891
Linde AG		91		14,590
Mitsubishi Chemical Holdings Corp.		1,500		9,311
Mitsubishi Gas Chemical Co., Inc.		3,000		19,968
Mitsui Chemicals, Inc.		3,000		10,119
Nitto Denko Corp.		300		12,927
Novozymes A/S — Series B		89		13,439
Orica Ltd.		541		14,923
Shin-Etsu Chemical Co., Ltd.		300		15,697
Showa Denko KK		6,000		11,157
Sika AG*		6		11,899
Solvay SA		113		11,674
Sumitomo Chemical Co., Ltd.		3,000		11,350
Syngenta AG*		46		14,184
Taiyo Nippon Sanso Corp.		3,000		21,738
Teijin Ltd.		3,000		10,734
Toray Industries, Inc.		3,000		21,699
Tosoh Corp.		3,000		10,003
Ube Industries Ltd.		3,000		9,003
Umicore SA		273		11,848
Wacker Chemie AG		98		9,994
Yara International ASA		254		12,215
Total Chemicals				540,772
Commercial Banks 6.7%
Aozora Bank Ltd.		6,000		15,390
Australia & New Zealand Banking Group Ltd.		632		14,537
Banca Monte dei Paschi di Siena SpA		21,500		10,145
Banco Bilbao Vizcaya Argentaria SA		1,525		13,958
Banco Comercial Portugues SA — Class R		35,788		7,737
Banco de Sabadell SA		3,543		12,898
Banco Espirito Santo SA		3,813		8,350
Banco Popolare SC		7,889		11,884
Banco Popular Espanol SA		2,634		12,238
Banco Santander SA		1,475		12,708
Bank Hapoalim BM		3,226		12,672
Bank Leumi Le-Israel BM		3,525		12,392
Bank of East Asia Ltd.		3,600		13,352
Bank of Yokohama Ltd.(The)		3,000		13,966
Bankia SA*		2,432		12,398
Bankinter SA		2,200		13,655
Barclays PLC		4,858		15,314
Bendigo and Adelaide Bank Ltd.		1,585		15,908
BNP Paribas SA		262		12,005
BOC Hong Kong Holdings Ltd.		4,500		10,883
CaixaBank		2,629		12,996
Chiba Bank Ltd.(The)		3,000		18,660
Commerzbank AG*		4,437		11,034
Commonwealth Bank of Australia		277		14,480
Credit Agricole SA		1,376		10,894
Danske Bank A/S*		912		12,736
Dexia SA*		5,620		4,468
DnB NOR ASA		1,108		13,050
Erste Group Bank AG*		366		7,964
Fukuoka Financial Group, Inc.		3,000		11,811
Hang Seng Bank Ltd.		900		11,730
HSBC Holdings PLC		1,535		13,501
Intesa Sanpaolo SpA		7,986		14,380
Israel Discount Bank Ltd. — Class A		7,741		12,960
KBC Groep NV		478		10,821
Lloyds Banking Group PLC*		25,062		13,145
Mitsubishi UFJ Financial Group, Inc.		3,400		15,043
Mizrahi Tefahot Bank Ltd.		1,381		12,042
Mizuho Financial Group, Inc.		8,900		12,669
National Australia Bank Ltd.		530		14,451
National Bank of Greece SA ADR*		13,337		7,221
Natixis		3,262		10,537
Nordea Bank AB		1,444		13,321
Oversea-Chinese Banking Corp., Ltd.		3,000		20,300
Raiffeisen Bank International AG		314		8,891
Resona Holdings, Inc.		3,400		15,479
Royal Bank of Scotland Group PLC*		33,961		13,282
Shinsei Bank Ltd.		12,000		13,543
Skandinaviska Enskilda Banken AB — Class A		2,252		14,339
Societe Generale		412		12,125
Standard Chartered PLC		591		13,918
Sumitomo Mitsui Financial Group, Inc.		600		17,052
Sumitomo Mitsui Trust Holdings, Inc.		3,000		10,465
Svenska Handelsbanken AB		487		14,152
Swedbank AB		980		13,921
UniCredit SpA		9,872		11,677
Unione di Banche Italiane SCPA		3,622		13,943
Westpac Banking Corp.		638		15,108
Total Commercial Banks				740,499
Commercial Services & Supplies 1.3%
Aggreko PLC		425		11,744
Babcock International Group PLC		1,281		14,567
Brambles Ltd.		1,896		13,316
Edenred		512		14,640
G4S PLC		3,195		12,593
Secom Co., Ltd.		300		14,428
Securitas AB		1,343		12,400
Serco Group PLC		1,599		13,408
Societe BIC SA		143		12,879
Toppan Printing Co., Ltd.		3,000		23,700
Total Commercial Services & Supplies				143,675
Communications Equipment 0.3%
Alcatel-Lucent*		3,599		9,975
Nokia OYJ		2,087		14,176
Telefonaktiebolaget LM Ericsson — Class B		1,189		12,522
Total Communications Equipment				36,673
Computers & Peripherals 0.4%
Fujitsu Ltd.		3,000		16,390
Seiko Epson Corp.		900		12,166
Toshiba Corp.		3,000		13,427
Total Computers & Peripherals				41,983
Construction & Engineering 1.8%
ACS Actividades de Construccion y Servicios SA		308		11,792
Balfour Beatty PLC		3,384		13,759
Bouygues SA		388		14,699
Eiffage SA		283		9,718
Ferrovial SA		1,055		13,538
Fomento de Construcciones y Contratas SA		492		12,888
Hochtief AG		172		12,665
Kajima Corp.		3,000		9,734
Koninklijke Boskalis Westminster NV		405		14,348

See Notes to Financial Statements.

ANNUAL REPORT 109

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Leighton Holdings Ltd.		586		$13,578
Obayashi Corp.		3,000		13,889
Shimizu Corp.		3,000		13,004
Skanska AB — Class B		891		14,744
Taisei Corp.		6,000		16,236
Vinci SA		254		12,648
Total Construction & Engineering				197,240
Construction Materials 1.0%
Boral Ltd.		3,234		13,484
CRH PLC ADR		749		13,789
Fletcher Building Ltd.		2,060		11,125
HeidelbergCement AG		322		14,812
Holcim Ltd.*		216		13,891
Imerys SA		207		11,965
James Hardie Industries SE*		2,043		13,504
Lafarge SA		322		13,238
Total Construction Materials				105,808
Consumer Finance 0.2%
Aeon Credit Service Co., Ltd.		900		13,700
Credit Saison Co., Ltd.		600		12,058
Total Consumer Finance				25,758
Containers & Packaging 0.4%
Amcor Ltd.		1,937		14,426
Rexam PLC		2,259		12,620
Toyo Seikan Kaisha Ltd.		900		13,989
Total Containers & Packaging				41,035
Distributors 0.1%
Li & Fung Ltd.		6,000		11,745
Total Distributors				11,745
Diversified Consumer Services 0.1%
Benesse Holdings, Inc.		300		13,158
Total Diversified Consumer Services				13,158
Diversified Financial Services 1.7%
ASX Ltd.		424		13,810
Deutsche Boerse AG*		224		12,497
Exor SpA		569		12,619
Groupe Bruxelles Lambert SA		165		12,851
Hong Kong Exchanges and Clearing Ltd.		600		10,362
Industrivarden AB — Class C		1,078		13,612
ING Groep NV*		1,563		13,647
Investor AB — Series B		674		13,353
Kinnevik Investment AB — Class B		604		12,788
London Stock Exchange Group PLC		898		13,045
Mitsubishi UFJ Lease & Finance Co., Ltd.		330		13,014
ORIX Corp.		150		13,389
Pohjola Bank PLC — Series A		1,159		13,523
Singapore Exchange Ltd.		3,000		16,178
Total Diversified Financial Services				184,688
Diversified Telecommunication Services 2.9%
Belgacom SA		433		13,239
Bezeq The Israeli Telecommunication Corp., Ltd.		5,789		12,387
BT Group PLC		4,902		14,883
Deutsche Telekom AG		1,031		13,221
Elisa OYJ		697		14,845
France Telecom SA		697		12,677
Iliad SA		115		13,567
Inmarsat PLC		1,744		13,208
Koninklijke KPN NV		1,039		13,762
Nippon Telegraph & Telephone Corp.		300		15,505
PCCW Ltd.		30,000		12,131
Portugal Telecom SGPS SA		1,579		11,452
Singapore Telecommunications Ltd.		6,000		15,291
Swisscom AG		34		13,849
TDC A/S		1,682		14,009
Tele2 AB — Class B		629		13,385
Telecom Corp. of New Zealand Ltd.		5,612		11,553
Telecom Italia SpA		10,486		13,156
Telefonica SA		612		13,129
Telekom Austria AG		1,133		13,006
Telenor ASA		794		14,312
TeliaSonera AB		1,941		13,643
Telstra Corp., Ltd.		4,120		13,551
Vivendi SA		539		12,217
Total Diversified Telecommunication Services				321,978
Electric Utilities 2.6%
Acciona SA		140		13,402
Cheung Kong Infrastructure Holdings Ltd.		3,000		16,207
Chubu Electric Power Co., Inc.		600		11,042
Chugoku Electric Power Co., Inc.(The)		900		13,539
CLP Holdings Ltd.		1,500		13,435
E.ON AG		614		14,996
EDF SA		425		12,869
EDP — Energias de Portugal SA		3,968		12,647
Enel SpA		2,740		13,032
Fortum OYJ		486		11,951
Hokkaido Electric Power Co., Inc.		900		11,438
Hokuriku Electric Power Co.		600		9,665
Iberdrola SA		1,812		13,289
Kansai Electric Power Co., Inc.(The)		600		8,934
Kyushu Electric Power Co., Inc.		900		12,027
Power Assets Holdings Ltd.		1,500		11,465
Red Electrica Corp. SA		268		13,074
Shikoku Electric Power Co., Inc.		600		15,443
SSE PLC		660		14,318
Terna Rete Elettrica Nazionale SpA		3,660		14,120
Tohoku Electric Power Co., Inc.		900		10,030
Tokyo Electric Power Co., Inc.(The)*		2,700		9,903
Verbund AG		328		9,623
Total Electric Utilities				286,449
Electrical Equipment 1.7%
ABB Ltd.*		629		12,077
Alstom SA		291		10,999
Bekaert SA		239		10,771
Fuji Electric Co., Ltd.		6,000		17,929
Furukawa Electric Co., Ltd.		3,000		8,580
GS Yuasa Corp.		3,000		16,082
Legrand SA		346		12,386
Mabuchi Motor Co., Ltd.		300		13,389
Nidec Corp.		300		25,008
Prysmian SpA		847		12,936
Schneider Electric SA		180		10,708
Sumitomo Electric Industries Ltd.		900		10,249
Ushio, Inc.		900		13,620
Vestas Wind Systems A/S*		643		10,167
Total Electrical Equipment				184,901
Electronic Equipment, Instruments & Components 1.7%
Citizen Holdings Co., Ltd.		2,700		14,647
FUJIFILM Holdings Corp.		600		15,005

See Notes to Financial Statements.

110

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Hamamatsu Photonics KK		300		$11,657
Hexagon AB — Class B		831		12,929
Hitachi High-Technologies Corp.		600		12,789
Hitachi Ltd.		3,000		16,428
Hoya Corp.		600		13,381
Ibiden Co., Ltd.		600		13,620
Murata Manufacturing Co., Ltd.		300		17,063
Omron Corp.		600		13,158
Shimadzu Corp.		3,000		26,124
TDK Corp.		300		12,581
Yokogawa Electric Corp.		1,500		14,370
Total Electronic Equipment, Instruments & Components				193,752
Energy Equipment & Services 1.6%
Aker Solutions ASA		1,002		11,765
AMEC PLC		913		13,639
Cie Generale de Geophysique — Veritas*		554		12,136
Fugro NV		224		13,350
Petrofac Ltd.		613		14,208
Saipem SpA		307		13,874
SBM Offshore NV		652		14,551
Seadrill Ltd.		412		13,755
Subsea 7 SA*		547		12,012
Technip SA		137		13,131
Tenaris SA		817		13,162
Transocean Ltd.		239		13,723
WorleyParsons Ltd.		467		13,804
Total Energy Equipment & Services				173,110
Food & Staples Retailing 2.5%
Aeon Co., Ltd.		1,200		15,944
Carrefour SA		486		13,036
Casino Guichard Perrachon SA		156		14,779
Colruyt SA		262		10,890
Delhaize Group SA		203		13,404
Distribuidora Internacional de Alimentacion SA*		3,227		14,876
FamilyMart Co., Ltd.		300		11,888
J Sainsbury PLC		2,552		12,320
Jeronimo Martins SGPS SA		696		12,135
Kesko OYJ		344		12,360
Koninklijke Ahold NV		1,137		14,693
Lawson, Inc.		300		17,063
Metcash Ltd.		3,046		13,476
Metro AG		298		14,003
Olam International Ltd.		6,000		12,223
Seven & I Holdings Co., Ltd.		600		16,205
Tesco PLC		2,123		13,767
Wesfarmers Ltd.		425		14,636
WM Morrison Supermarkets PLC		2,950		14,390
Woolworths Ltd.		512		12,934
Total Food & Staples Retailing				275,022
Food Products 1.9%
Aryzta AG		262		12,772
Associated British Foods PLC		864		15,424
Danone		210		14,733
Golden Agri-Resources Ltd.		24,000		12,463
Kerry Group PLC — Class A		485		18,130
MEIJI Holdings Co., Ltd.		300		13,331
Nestle SA		231		13,503
Nisshin Seifun Group, Inc.		1,500		18,718
Nissin Foods Holdings Co., Ltd.		300		11,600
Parmalat SpA		5,741		12,884
Suedzucker AG		382		11,293
Unilever NV		388		13,513
Unilever PLC		396		13,333
Wilmar International Ltd.		3,000		13,110
Yakult Honsha Co., Ltd.		600		17,136
Total Food Products				211,943
Gas Utilities 0.9%
Enagas		638		12,699
Gas Natural SDG SA		780		14,671
Hong Kong & China Gas Co., Ltd.		6,000		13,630
Osaka Gas Co., Ltd.		3,000		11,427
Snam Rete Gas SpA		2,747		13,494
Toho Gas Co., Ltd.		3,000		17,082
Tokyo Gas Co., Ltd.		3,000		12,966
Total Gas Utilities				95,969
Health Care Equipment & Supplies 1.3%
Cie Generale d’Optique Essilor International SA		189		13,814
Cochlear Ltd.		178		11,061
Coloplast A/S — Class B		90		13,252
Getinge AB — Class B		538		14,095
Olympus Corp.		300		4,655
Smith & Nephew PLC		1,307		12,035
Sonova Holding AG*		156		16,750
Straumann Holding AG		67		11,926
Synthes, Inc.		75		12,678
Sysmex Corp.		300		10,015
Terumo Corp.		300		15,505
William Demant Holding A/S*		154		12,384
Total Health Care Equipment & Supplies				148,170
Health Care Providers & Services 1.0%
Celesio AG		794		12,669
Fresenius Medical Care AG & Co. KGaA		209		15,383
Fresenius SE & Co. KGaA		127		12,632
Medipal Holdings Corp.		1,500		14,197
Miraca Holdings, Inc.		300		11,561
Ramsay Health Care Ltd.		772		15,398
Sonic Healthcare Ltd.		1,160		13,587
Suzuken Co., Ltd.		600		14,559
Total Health Care Providers & Services				109,986
Hotels, Restaurants & Leisure 2.3%
Accor SA		374		12,392
Autogrill SpA		1,192		13,933
Carnival PLC		412		15,182
Compass Group PLC		1,534		14,014
Crown Ltd.		1,615		13,828
Echo Entertainment Group Ltd.*		3,137		12,448
Galaxy Entertainment Group Ltd.*		6,000		12,471
Genting Singapore PLC*		9,000		12,475
Intercontinental Hotels Group PLC		786		14,577
Sands China Ltd.*		4,800		14,774
Shangri-La Asia Ltd.		6,000		12,224
SJM Holdings Ltd.		6,000		10,571
Sodexo		200		14,592
TABCORP Holdings Ltd.		4,385		13,678
Tatts Group Ltd.		5,275		12,984
TUI AG*		1,976		13,072
TUI Travel PLC		5,201		14,330

See Notes to Financial Statements.

ANNUAL REPORT 111

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Whitbread PLC		554		$14,817
Wynn Macau Ltd.		4,800		13,754
Total Hotels, Restaurants & Leisure				256,116
Household Durables 1.3%
Casio Computer Co., Ltd.		2,100		13,116
Electrolux AB — Series B		817		15,390
Husqvarna AB		2,566		13,155
Panasonic Corp.		1,200		12,450
Rinnai Corp.		300		22,623
Sekisui Chemical Co., Ltd.		3,000		23,892
Sharp Corp.		3,000		28,278
Sony Corp.		600		12,943
Total Household Durables				141,847
Household Products 0.4%
Henkel AG & Co. KGaA		224		13,469
Reckitt Benckiser Group PLC		263		13,576
Unicharm Corp.		300		13,543
Total Household Products				40,588
Independent Power Producers & Energy Traders 0.4%
Electric Power Development Co., Ltd.		600		15,128
Enel Green Power SpA		5,801		13,448
International Power PLC		2,447		13,358
Total Independent Power Producers & Energy Traders				41,934
Industrial Conglomerates 1.2%
Delek Group Ltd.		75		14,948
Fraser and Neave Ltd.		3,000		14,764
Keppel Corp., Ltd.		3,000		22,745
Koninklijke Philips Electronics NV		644		13,559
Orkla ASA		1,609		14,151
SembCorp Industries Ltd.		3,000		10,042
Siemens AG		127		13,502
Smiths Group PLC		845		13,053
Wendel SA		156		11,741
Total Industrial Conglomerates				128,505
Insurance 4.6%
Admiral Group PLC		599		11,399
Aegon NV		3,009		14,584
Ageas		6,630		13,501
AIA Group Ltd.		3,600		11,173
Allianz SE		135		15,292
AMP Ltd.		2,631		11,947
Assicurazioni Generali SpA		742		13,485
Aviva PLC		2,431		13,373
AXA SA		853		14,004
Baloise Holding AG		158		13,037
CNP Assurances		745		11,503
Dai-ichi Life Insurance Co., Ltd.(The)		12		13,958
Delta Lloyd NV		734		13,089
Gjensidige Forsikring ASA		1,195		13,262
Hannover Rueckversicherung AG		284		14,203
Insurance Australia Group Ltd.		4,123		13,779
Legal & General Group PLC		7,698		13,730
Mapfre SA		3,934		14,601
MS&AD Insurance Group Holdings		600		12,027
Muenchener Rueckversicherungs AG		105		14,273
NKSJ Holdings, Inc.		800		16,374
Old Mutual PLC		6,920		12,287
Prudential PLC		1,348		14,088
QBE Insurance Group Ltd.		868		13,583
Resolution Ltd.		3,129		13,889
RSA Insurance Group PLC		7,088		12,779
Sampo OYJ		456		12,702
SCOR SE		535		12,619
Sony Financial Holdings, Inc.		900		15,143
Standard Life PLC		4,346		15,138
Suncorp Group Ltd.		1,667		15,192
Swiss Life Holding AG*		96		11,995
Swiss Re Ltd.*		246		13,625
T&D Holdings, Inc.		1,200		12,127
Tokio Marine Holdings, Inc.		600		14,559
Tryg A/S		247		13,928
Vienna Insurance Group AG		283		11,988
Zurich Financial Services AG*		56		13,106
Total Insurance				511,342
Internet & Catalog Retail 0.1%
Rakuten, Inc.		12		13,250
Total Internet & Catalog Retail				13,250
Internet Software & Services 0.5%
Dena Co., Ltd.		300		13,177
Gree, Inc.		300		9,895
United Internet AG		770		15,321
Yahoo Japan Corp.		46		14,996
Total Internet Software & Services				53,389
IT Services 1.0%
Amadeus IT Holding SA — Series A		759		14,461
Atos Origin SA		268		13,091
Cap Gemini SA		330		12,759
Computershare Ltd.		1,624		13,077
Indra Sistemas SA		695		11,788
Itochu Techno-Solutions Corp.		300		13,120
Nomura Research Institute Ltd.		600		13,758
NTT Data Corp.		1		3,418
Otsuka Corp.		300		21,122
Total IT Services				116,594
Leisure Equipment & Products 0.8%
Namco Bandai Holdings, Inc.		900		13,273
Nikon Corp.		600		13,766
Sankyo Co., Ltd.		300		15,890
Sega Sammy Holdings, Inc.		600		13,304
Shimano, Inc.		300		15,005
Yamaha Corp.		1,200		12,450
Total Leisure Equipment & Products				83,688
Life Sciences Tools & Services 0.2%
Lonza Group AG*		218		14,670
QIAGEN NV*		854		11,995
Total Life Sciences Tools & Services				26,665
Machinery 4.9%
Alfa Laval AB		681		12,859
Amada Co., Ltd.		3,000		20,314
Atlas Copco AB — Class A*		554		12,226
Cosco Corp. Singapore Ltd.		15,000		12,223
Fiat Industrial SpA*		1,437		12,637
GEA Group AG		439		12,225
Hino Motors Ltd.		3,000		18,044
Hitachi Construction Machinery Co., Ltd.		600		11,850
IHI Corp.		6,000		14,005
Invensys PLC		2,893		10,530

See Notes to Financial Statements.

112

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Japan Steel Works Ltd.(The)		3,000		$21,007
JTEKT Corp.		1,200		13,512
Kawasaki Heavy Industries Ltd.		3,000		7,887
Komatsu Ltd.		600		15,205
Kone OYJ — Class B		244		13,593
Kubota Corp.		3,000		25,239
Kurita Water Industries Ltd.		600		16,813
Makita Corp.		300		11,450
MAN SE		150		13,409
Metso OYJ		359		14,091
Minebea Co., Ltd.		3,000		10,965
Mitsubishi Heavy Industries Ltd.		3,000		12,504
Mitsui Engineering & Shipbuilding Co., Ltd.		6,000		9,772
Nabtesco Corp.		600		13,435
NSK Ltd.		3,000		23,277
NTN Corp.		3,000		13,581
Sandvik AB		1,041		14,514
Scania AB — Class B		748		12,725
Schindler Holding AG		121		14,340
SembCorp Marine Ltd.		3,000		10,114
SKF AB		584		13,150
Sulzer AG		105		12,420
Sumitomo Heavy Industries Ltd.		3,000		17,390
THK Co., Ltd.		600		11,942
Vallourec SA		149		9,140
Volvo AB — Class B		1,114		14,067
Wartsila OYJ		485		14,930
Weir Group PLC (The)		458		14,186
Yangzijiang Shipbuilding Holdings Ltd.		15,000		11,325
Total Machinery				542,896
Marine 0.8%
AP Moller — Maersk A/S — Class B		3		20,628
Kawasaki Kisen Kaisha Ltd.*		6,000		12,543
Kuehne + Nagel International AG		91		11,422
Mitsui OSK Lines Ltd.		3,000		11,850
Neptune Orient Lines Ltd.		15,000		13,661
Nippon Yusen KK		3,000		7,733
Orient Overseas International Ltd.		3,000		13,812
Total Marine				91,649
Media 2.9%
Axel Springer AG		298		12,170
British Sky Broadcasting Group PLC		1,242		14,113
Dentsu, Inc.		300		9,234
Eutelsat Communications		299		12,449
Fairfax Media Ltd.		14,749		14,553
ITV PLC		12,601		13,027
JCDecaux SA*		539		14,559
Kabel Deutschland Holding AG*		218		12,546
Lagardere SCA		389		10,564
Mediaset Espana Communicacion SA		1,849		12,379
Mediaset SpA		3,442		12,857
Metropole Television SA		646		11,191
Modern Times Group AB — Class B		261		13,958
Pearson PLC		813		15,025
ProSiebenSat.1 Media AG		688		14,874
Publicis Groupe SA		264		12,901
Reed Elsevier NV		1,098		13,649
Reed Elsevier PLC		1,623		14,002
Sanoma OYJ		869		11,793
SES SA		494		12,747
Singapore Press Holdings Ltd.		3,000		9,347
Societe Television Francaise 1		820		11,171
Toho Co., Ltd.		900		15,674
Wolters Kluwer NV		703		12,556
WPP PLC		1,271		13,253
Total Media				320,592
Metals & Mining 4.7%
Acerinox SA		928		12,452
Alumina Ltd.		6,974		10,951
Anglo American PLC		321		11,883
Antofagasta PLC		698		13,148
ArcelorMittal		622		13,039
BHP Billiton Ltd.		309		12,392
BHP Billiton PLC		368		11,687
BlueScope Steel Ltd.		14,497		12,997
Boliden AB		1,003		14,457
Daido Steel Co., Ltd.		3,000		18,660
Eramet		68		10,812
Eurasian Natural Resources Corp. PLC		1,221		12,968
Fortescue Metals Group Ltd.		2,180		11,217
Fresnillo PLC		405		11,100
Glencore International PLC		2,005		14,175
Iluka Resources Ltd.		756		12,994
JFE Holdings, Inc.		600		11,634
Kazakhmys PLC		764		11,438
Kobe Steel Ltd.		6,000		10,234
Lonmin PLC		629		11,046
Lynas Corp., Ltd.*		6,766		8,650
MacArthur Coal Ltd.		771		13,243
Mitsubishi Materials Corp.		3,000		8,195
Newcrest Mining Ltd.		306		10,882
Nippon Steel Corp.		3,000		8,003
Nisshin Steel Co., Ltd.		6,000		9,695
Norsk Hydro ASA		2,209		11,645
OneSteel Ltd.		8,217		10,723
Outokumpu OYJ		1,324		11,302
OZ Minerals Ltd.		1,001		12,341
Randgold Resources Ltd.		128		14,039
Rautaruukki OYJ		899		9,693
Rio Tinto Ltd.		171		12,556
Rio Tinto PLC		206		11,255
Salzgitter AG		216		12,334
Sims Metal Management Ltd.		827		12,161
SSAB AB — Class A		1,355		13,265
Sumitomo Metal Industries Ltd.		6,000		11,542
ThyssenKrupp AG		404		11,752
Vedanta Resources PLC		598		12,336
Voestalpine AG		351		12,239
Xstrata PLC		787		13,281
Yamato Kogyo Co., Ltd.		600		15,543
Total Metals & Mining				515,959
Multi-Utilities 0.9%
A2A SpA		9,556		13,196
AGL Energy Ltd.		786		12,008
Centrica PLC		2,850		13,649
GDF Suez		405		11,589
National Grid PLC		1,483		14,781
RWE AG		359		15,495
Suez Environnement Co.		778		12,311
Veolia Environnement SA		809		11,594
Total Multi-Utilities				104,623

See Notes to Financial Statements.

ANNUAL REPORT 113

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Multiline Retail 1.1%
Harvey Norman Holdings Ltd.		6,121		$14,092
Isetan Mitsukoshi Holdings Ltd.		1,200		12,481
J Front Retailing Co., Ltd.		3,000		13,389
Marks & Spencer Group PLC		2,597		13,494
Marui Group Co., Ltd.		1,800		14,289
Next PLC		352		14,522
PPR		89		14,015
Takashimaya Co., Ltd.		3,000		21,738
Total Multiline Retail				118,020
Office Electronics 0.5%
Brother Industries Ltd.		900		12,004
Canon, Inc.		300		13,851
Konica Minolta Holdings, Inc.		1,500		11,157
Neopost SA		179		13,767
Total Office Electronics				50,779
Oil, Gas & Consumable Fuels 2.8%
BG Group PLC		633		13,860
BP PLC		1,916		14,257
Cairn Energy PLC*		2,538		12,069
Caltex Australia Ltd.		1,100		15,522
Cosmo Oil Co., Ltd.		6,000		15,236
ENI SpA		675		15,054
Essar Energy PLC*		3,151		15,645
Galp Energia SGPS SA — Class B		722		15,086
Inpex Corp.		1		6,746
Japan Petroleum Exploration Co.		300		12,081
JX Holdings, Inc.		2,100		12,496
Neste Oil OYJ		1,221		14,961
OMV AG		368		12,973
Origin Energy Ltd.		835		12,748
Paladin Energy Ltd.*		5,695		9,063
Repsol YPF SA		449		13,715
Royal Dutch Shell PLC — Class A		425		15,133
Santos Ltd.		1,048		14,410
Showa Shell Sekiyu KK		1,500		11,061
Statoil ASA		577		14,868
Total SA		256		13,503
Tullow Oil PLC		787		17,822
Woodside Petroleum Ltd.		343		13,304
Total Oil, Gas & Consumable Fuels				311,613
Paper & Forest Products 0.7%
Holmen AB		487		13,918
Nippon Paper Group, Inc.		600		13,889
OJI Paper Co., Ltd.		3,000		15,005
Stora Enso OYJ — Series R		1,878		12,044
Svenska Cellulosa AB — Class B		950		14,002
UPM-Kymmene OYJ		1,062		12,561
Total Paper & Forest Products				81,419
Personal Products 0.5%
Beiersdorf AG		221		12,880
Kao Corp.		600		15,936
L’Oreal SA		120		13,358
Shiseido Co., Ltd.		600		11,135
Total Personal Products				53,309
Pharmaceuticals 3.1%
Astellas Pharma, Inc.		300		11,107
AstraZeneca PLC		281		13,543
Bayer AG		210		13,560
Chugai Pharmaceutical Co., Ltd.		900		14,278
Daiichi Sankyo Co., Ltd.		600		11,819
Dainippon Sumitomo Pharma Co., Ltd.		1,200		13,312
Eisai Co., Ltd.		300		12,004
Elan Corp. PLC ADR*		1,279		15,335
GlaxoSmithKline PLC		695		15,705
Hisamitsu Pharmaceutical Co., Inc.		300		12,158
Merck KGaA		150		14,143
Mitsubishi Tanabe Pharma Corp.		900		15,778
Novartis AG		230		13,103
Novo Nordisk A/S		128		13,797
Ono Pharmaceutical Co., Ltd.		300		15,813
Orion OYJ — Class B		571		12,002
Otsuka Holdings Co., Ltd.		600		15,559
Roche Holding AG		74		12,297
Sanofi SA		190		13,770
Santen Pharmaceutical Co., Ltd.		300		11,273
Shionogi & Co., Ltd.		900		12,408
Shire PLC		410		12,911
Takeda Pharmaceutical Co., Ltd.		300		13,620
Teva Pharmaceutical Industries Ltd. ADR		321		13,113
Tsumura & Co.		300		8,507
UCB SA		314		13,971
Total Pharmaceuticals				344,886
Professional Services 0.9%
Adecco SA*		300		14,611
Bureau Veritas SA		184		14,428
Capita Group PLC (The)		1,265		14,834
Experian PLC		1,138		14,888
Intertek Group PLC		463		15,358
Randstad Holding NV		396		14,236
SGS SA		6		10,404
Total Professional Services				98,759
Real Estate Investment Trusts (REITs) 2.6%
Ascendas Real Estate Investment Trust		9,000		14,740
British Land Co. PLC		1,519		12,517
Capital Shopping Centres Group PLC		2,418		12,852
CapitaMall Trust		9,000		13,482
CFS Retail Property Trust		6,903		13,329
Corio NV		216		11,117
Dexus Property Group		14,498		13,074
Fonciere Des Regions		157		11,694
Gecina SA		120		11,981
Goodman Group		18,288		12,127
GPT Group		3,914		13,081
Hammerson PLC		1,859		12,215
ICADE		126		11,427
Japan Retail Fund Investment Corp.		7		10,961
Klepierre		390		12,302
Land Securities Group PLC		1,071		11,824
Link REIT (The)		4,500		15,560
Mirvac Group		10,399		13,846
Segro PLC		3,159		12,431
Stockland		3,782		12,680
Unibail-Rodamco SE		67		13,504
Westfield Group		1,496		12,221
Westfield Retail Trust		4,759		12,875
Total Real Estate Investment Trusts (REITs)				291,840
Real Estate Management & Development 2.2%
Aeon Mall Co., Ltd.		600		14,158
CapitaLand Ltd.		6,000		13,086

See Notes to Financial Statements.

114

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
CapitaMalls Asia Ltd.		12,000		$13,086
City Developments Ltd.		3,000		26,149
Global Logistic Properties Ltd.*		9,000		12,655
Hang Lung Properties Ltd.		3,000		11,088
Henderson Land Development Co., Ltd.		3,000		16,632
Hysan Development Co., Ltd.		3,000		10,605
IMMOFINANZ AG*		3,749		12,482
Keppel Land Ltd.		6,000		13,422
Kerry Properties Ltd.		3,000		11,146
Lend Lease Group		1,599		13,232
New World Development Co., Ltd.		9,000		9,655
Nomura Real Estate Holdings, Inc.		900		14,889
Sino Land Co., Ltd.		6,000		9,628
Swire Pacific Ltd. — Class A		1,500		17,492
Tokyu Land Corp.		3,000		12,889
Wharf Holdings Ltd.		3,000		16,227
Total Real Estate Management & Development				248,521
Road & Rail 2.3%
Asciano Ltd.		8,028		13,117
Central Japan Railway Co.		3		25,777
DSV A/S		660		13,448
East Japan Railway Co.		300		18,333
Keikyu Corp.		3,000		27,163
Keio Corp.		3,000		20,776
Keisei Electric Railway Co., Ltd.		3,000		20,430
Kintetsu Corp.		3,000		10,619
MTR Corp.		4,500		14,662
Nippon Express Co., Ltd.		3,000		11,811
Odakyu Electric Railway Co., Ltd.		3,000		28,355
QR National Ltd.		3,690		12,958
Tobu Railway Co., Ltd.		3,000		14,466
Tokyu Corp.		3,000		14,620
West Japan Railway Co.		300		12,812
Total Road & Rail				259,347
Semiconductors & Semiconductor Equipment 1.3%
Advantest Corp.		900		10,769
ARM Holdings PLC		1,582		14,925
ASM Pacific Technology Ltd.		1,200		13,345
ASML Holding NV		387		16,339
Elpida Memory, Inc.*		1,800		11,519
Infineon Technologies AG		1,556		14,170
Renewable Energy Corp. ASA*		6,975		6,843
Rohm Co., Ltd.		300		15,543
STMicroelectronics NV		2,013		14,039
Sumco Corp.		1,200		12,419
Tokyo Electron Ltd.		300		16,390
Total Semiconductors & Semiconductor Equipment				146,301
Software 0.9%
Dassault Systemes SA		180		15,307
Konami Corp.		300		9,972
NICE Systems Ltd. ADR*		416		14,876
Oracle Corp. Japan		300		10,484
Sage Group PLC (The)		3,060		13,736
SAP AG		238		14,482
Square Enix Holdings Co., Ltd.		600		11,619
Trend Micro, Inc.		300		10,931
Total Software				101,407
Specialty Retail 0.9%
ABC-Mart, Inc.		300		11,908
Esprit Holdings Ltd.*		5,000		7,341
Hennes & Mauritz AB		425		14,190
Inditex SA		162		14,859
Kingfisher PLC		3,472		14,509
Nitori Holdings Co., Ltd.		150		14,466
USS Co., Ltd.		150		12,523
Yamada Denki Co., Ltd.		180		13,112
Total Specialty Retail				102,908
Textiles, Apparel & Luxury Goods 1.1%
Adidas AG		199		14,200
Asics Corp.		900		12,165
Burberry Group PLC		606		13,117
Christian Dior SA		101		14,412
Cie Financiere Richemont SA — Class A		229		13,215
Luxottica Group SpA		475		14,145
LVMH Moet Hennessy Louis Vuitton SA		89		14,928
Pandora A/S		1,467		14,272
Swatch Group AG (The)		30		12,802
Total Textiles, Apparel & Luxury Goods				123,256
Tobacco 0.4%
British American Tobacco PLC		295		13,640
Imperial Tobacco Group PLC		417		15,306
Japan Tobacco, Inc.		1		5,072
Swedish Match AB		358		12,490
Total Tobacco				46,508
Trading Companies & Distributors 1.3%
Brenntag AG		124		12,626
Bunzl PLC		1,034		13,452
ITOCHU Corp.		1,200		12,112
Marubeni Corp.		3,000		17,852
Mitsubishi Corp.		600		12,627
Mitsui & Co., Ltd.		900		13,447
Noble Group Ltd.		9,000		11,181
Sojitz Corp.		7,200		12,465
Sumitomo Corp.		900		11,392
Toyota Tsusho Corp.		900		14,543
Wolseley PLC		523		15,178
Total Trading Companies & Distributors				146,875
Transportation Infrastructure 1.1%
Abertis Infraestructuras SA		854		14,216
Aeroports de Paris		154		12,246
Atlantia SpA		831		12,808
Fraport AG Frankfurt Airport Services Worldwide		195		12,442
Groupe Eurotunnel SA		1,467		13,394
Hutchison Port Holdings Trust		21,000		14,070
Koninklijke Vopak NV		269		14,033
MAp Group*		3,936		14,240
Transurban Group		2,562		14,216
Total Transportation Infrastructure				121,665
Water Utilities 0.3%
Severn Trent PLC		601		14,706
United Utilities Group PLC		1,454		14,234
Total Water Utilities				28,940
Wireless Telecommunication Services 1.0%
Cellcom Israel Ltd.		582		12,827
KDDI Corp.		1		7,425

See Notes to Financial Statements.

ANNUAL REPORT 115

RYDEX MSCI EAFE EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Millicom International Cellular SA		132		$14,668
Mobistar SA		212		12,202
NTT DoCoMo, Inc.		6		10,719
Partner Communications Co., Ltd. ADR*		1,174		13,947
Softbank Corp.		300		9,957
StarHub Ltd.		6,000		13,518
Vodafone Group PLC		5,370		14,982
Total Wireless Telecommunication Services				110,245
Total Common Stocks (Cost $12,814,280)				10,992,204
RIGHTS 0.0%(a)(b)
Real Estate Management & Development 0.0%(b)
New World Development Ltd., expires 11/22/11*		4,500		1,536
Total Real Estate Management & Development				1,536
Total Rights (Cost $0)				1,536
SHORT TERM INVESTMENTS 0.3%
SSgA Government Money Market Fund		27,812		27,812
Total Short Term Investments (Cost $27,812)				27,812
Total Investments 99.4%(c) (Cost $12,842,092)				11,021,552
Other Assets in Excess of Liabilities—0.6%				71,274
Net Assets—100.0%				$11,092,826

*	Non-Income Producing Security.
(a)	Values determined based on Level 2 inputs.
(b)	Amount represents less than 0.05% of net assets.
(c)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

ADR—American Depositary Receipt

REIT—Real Estate Investment Trust

INVESTMENT CONCENTRATION

At October 31, 2011, the investment diversification of the Fund was as follows:

	% of Total
Country	Investments
Japan		31.14%
Britain		11.53%
Australia		8.15%
France		8.02%
Germany		5.60%
Sweden		3.81%
Switzerland		3.44%
Spain		3.24%
Italy		3.10%
Netherlands		2.98%
Singapore		2.74%
Hong Kong		2.51%
Finland		2.00%
Israel		1.40%
Belgium		1.39%
Denmark		1.36%
Norway		1.02%
Austria		0.81%
Bermuda		0.78%
Jersey		0.77%
Ireland		0.68%
Portugal		0.61%
Luxembourg		0.60%
Cayman Islands		0.38%
United States		0.37%
Swaziland		0.36%
Slovenia		0.25%
Georgia		0.22%
New Zealand		0.21%
Guernsey		0.13%
Isle Of Man		0.11%
Mauritius		0.11%
Niger Republic		0.11%
Greece		0.07%
Total Investments		100.00%

See Notes to Financial Statements.

116

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 84.7%
Aerospace & Defense 0.2%
Embraer SA ADR		1,130		$31,437
Total Aerospace & Defense				31,437
Air Freight & Logistics 0.2%
Hyundai Glovis Co., Ltd.		160		30,319
Total Air Freight & Logistics				30,319
Airlines 1.8%
Air China Ltd. — Class H		30,000		23,722
AirAsia BHD		25,700		32,669
China Airlines Ltd.		54,000		27,525
China Southern Airlines Co., Ltd. — Class H*		40,000		22,820
Eva Airways Corp.		44,000		32,281
Gol Linhas Aereas Inteligentes SA ADR		3,730		29,915
Korean Air Lines Co., Ltd.		535		24,138
Lan Airlines SA ADR		1,054		26,424
TAM SA ADR		1,389		27,905
Thai Airways International PCL		34,070		21,495
Turk Hava Yollari		20,550		29,842
Total Airlines				298,736
Auto Components 1.0%
Cheng Shin Rubber Industry Co. Ltd.		10,000		23,097
Hankook Tire Co., Ltd.		750		30,319
Hyundai Mobis		90		26,232
Hyundai Wia Corp.*		235		30,960
Mando Corp.		170		29,683
Nan Kang Rubber Tire Co., Ltd.		15,000		26,172
Total Auto Components				166,463
Automobiles 2.2%
Astra International Tbk PT		2,500		19,486
AviChina Industry & Technology Co., Ltd. — Class H		60,000		26,735
Brilliance China Automotive Holdings Ltd.*		30,000		32,878
Byd Co., Ltd. — Class H*		15,000		36,896
China Motor Corp.		25,000		24,275
Dongfeng Motor Group Co., Ltd. — Class H		20,000		33,278
Geely Automobile Holdings Ltd.		100,000		26,143
Great Wall Motor Co., Ltd. — Class H		20,000		27,714
Guangzhou Automobile Group Co., Ltd. — Class H		30,000		30,406
Hyundai Motor Co.		135		27,653
Kia Motors Corp.		445		29,032
Tata Motors Ltd. ADR		1,730		34,686
Yulon Motor Co., Ltd.		15,000		32,038
Total Automobiles				381,220
Beverages 1.0%
Arca Continental SAB de CV		5,800		27,836
Coca-Cola Femsa SAB de CV ADR		290		25,970
Fomento Economico Mexicano SAB de CV ADR		420		28,161
Grupo Modelo SAB de CV — Series C		4,967		31,868
Tsingtao Brewery Co., Ltd. — Class H		10,000		51,449
Total Beverages				165,284
Building Products 0.3%
KCC Corp.		105		25,819
Taiwan Glass Industrial Corp.		25,000		31,168
Total Building Products				56,987
Capital Markets 1.4%
Daewoo Securities Co., Ltd.		1,850		18,196
Hyundai Securities Co.		2,750		24,145
Investec Ltd.		3,792		23,406
KGI Securities Co., Ltd.		61,188		26,076
Korea Investment Holdings Co., Ltd.		790		26,697
Mirae Asset Securities Co., Ltd.		740		23,972
Samsung Securities Co., Ltd.		490		25,866
Woori Investment & Securities Co., Ltd.		1,950		21,907
Yuanta Financial Holding Co., Ltd.*		71,027		40,953
Total Capital Markets				231,218
Chemicals 4.1%
Braskem SA ADR		1,250		22,550
Cheil Industries, Inc.		320		28,760
China BlueChemical Ltd. — Class H		40,000		31,732
China Petrochemical Development Corp.		20,500		24,119
Dongyue Group		34,570		27,469
Formosa Chemicals & Fibre Corp.		10,000		29,247
Formosa Plastics Corp.		10,000		29,748
Hanwha Chem Corp.		840		22,361
Hanwha Corp.		750		26,800
Honam Petrochemical Corp.		90		25,014
Huabao International Holdings Ltd.		35,000		22,537
Hyosung Corp.		420		24,597
Korea Kumho Petrochemical Co., Ltd.		170		29,376
KP Chemical Corp.		1,530		22,090
LCY Chemical Corp.		15,000		25,670
LG Chem Ltd.		80		26,277
Mexichem SAB de CV		7,890		27,477
Nan Ya Plastics Corp.		10,000		22,695
OCI Co., Ltd.		90		18,923
Petronas Chemicals Group BHD		13,000		27,331
PTT Global Chemical PCL*		23,912		50,934
Sinopec Shanghai Petrochemical Co., Ltd. — Class H		70,000		26,143
Sociedad Quimica y Minera de Chile SA ADR		450		26,325
Taiwan Fertilizer Co., Ltd.		10,000		26,138
TSRC Corp.		11,000		29,009
Uralkali OJSC GDR		600		26,040
Total Chemicals				699,362
Commercial Banks 10.6%
ABSA Group Ltd.		1,555		28,121
Agricultural Bank of China Ltd. — Class H		59,000		26,974
Akbank TAS		6,941		25,435
Alliance Financial Group BHD		24,700		28,339
Asya Katilim Bankasi AS		25,580		27,569
Axis Bank Ltd. GDR		1,220		28,780
Banco Santander Brasil SA ADR		2,748		25,007
Banco Santander Chile ADR		345		28,180
BanColombia SA ADR		475		29,630
Bangkok Bank PCL		5,430		27,724
Bank Central Asia Tbk PT		30,000		27,450
Bank Mandiri Tbk PT		37,500		30,288
Bank Negara Indonesia Persero Tbk PT		59,500		27,053
Bank of Ayudhya PCL		33,500		22,224
Bank of China Ltd. — Class H		69,000		25,059
Bank of Communications Co., Ltd. — Class H*		40,000		28,023
Bank Pekao SA		578		27,363
Bank Rakyat Indonesia Persero Tbk PT		40,000		30,500
BRE Bank SA*		320		28,108
BS Financial Group, Inc.*		2,200		24,716
Chang Hwa Commercial Bank		38,150		24,993

See Notes to Financial Statements.

ANNUAL REPORT 117

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
China Citic Bank Corp., Ltd. — Class H		54,000		$29,556
China Construction Bank Corp. — Class H*		40,000		29,929
China Development Financial Holding Corp.		80,789		25,977
China Merchants Bank Co., Ltd. — Class H		12,500		25,757
China Minsheng Banking Corp., Ltd. — Class H		32,500		26,829
Chinatrust Financial Holding Co., Ltd.		37,518		25,018
Chongqing Rural Commercial Bank Co., Ltd. — Class H*		59,000		26,594
CIMB Group Holdings BHD		11,500		28,375
Credicorp Ltd.		295		32,090
DGB Financial Group, Inc.*		1,950		24,547
E.Sun Financial Holding Co., Ltd.		48,150		24,221
First Financial Holding Co., Ltd.		37,100		24,987
Getin Holding SA*		8,903		24,406
Grupo Financiero Banorte SAB de CV — Class O		7,650		26,438
Grupo Financiero Inbursa SA — Class O		15,170		32,820
Hana Financial Group, Inc.		850		30,949
Hua Nan Financial Holdings Co., Ltd.		42,400		27,990
Industrial & Commercial Bank of China — Class H		40,000		25,447
Industrial Bank of Korea		1,800		24,120
Kasikornbank PCL		7,500		30,610
KB Financial Group, Inc. ADR		649		25,343
Komercni Banka AS		130		25,313
Korea Exchange Bank*		3,600		26,995
Krung Thai Bank PCL		49,000		24,221
Malayan Banking BHD		10,500		28,611
Mega Financial Holding Co., Ltd.		35,700		27,863
Metropolitan Bank & Trust		16,690		27,970
Nedbank Group Ltd.		1,464		26,141
OTP Bank PLC		1,280		20,784
Powszechna Kasa Oszczednosci Bank Polski SA		2,310		26,822
Public Bank BHD		6,400		26,493
RHB Capital BHD		10,000		25,098
Shinhan Financial Group Co., Ltd. ADR		345		27,462
Siam Commercial Bank PCL		8,000		30,569
SinoPac Financial Holdings Co., Ltd.		73,010		23,915
Standard Bank Group Ltd.		2,098		25,984
Taishin Financial Holding Co., Ltd.		58,850		25,375
Taiwan Business Bank		83,600		27,747
Taiwan Cooperative Bank		42,400		28,132
Turkiye Garanti Bankasi AS		7,205		25,503
Turkiye Halk Bankasi AS		4,423		27,347
Turkiye Is Bankasi		10,163		23,809
Turkiye Vakiflar Bankasi Tao		15,841		27,137
VTB Bank OJSC GDR		4,987		23,997
Woori Finance Holdings Co., Ltd.*		2,500		24,477
Yapi ve Kredi Bankasi AS*		14,440		27,194
Total Commercial Banks				1,798,498
Communications Equipment 0.2%
ZTE Corp. — Class H		10,800		31,225
Total Communications Equipment				31,225
Computers & Peripherals 1.8%
Acer, Inc.		25,000		28,996
Asustek Computer, Inc.		5,100		35,883
Catcher Technology Co., Ltd.		5,000		28,411
Compal Electronics, Inc.		30,000		27,876
Foxconn Technology Co., Ltd.		8,250		29,230
Lenovo Group Ltd.		40,000		27,354
Pegatron Corp.		30,000		32,890
Quanta Computer, Inc.		15,000		30,032
Simplo Technology Co., Ltd.		5,500		32,907
Wistron Corp.		24,749		29,118
Total Computers & Peripherals				302,697
Construction & Engineering 2.8%
Aveng Ltd.		6,011		28,241
China Communications Construction Co., Ltd. — Class H		44,000		33,829
China Railway Construction Corp., Ltd. — Class H		54,500		32,988
China Railway Group Ltd. — Class H		94,000		31,838
China State Construction International Holdings Ltd.		40,000		31,475
Daelim Industrial Co., Ltd.		270		23,877
Daewoo Engineering & Construction Co., Ltd.*		2,810		26,244
Doosan Heavy Industries and Construction Co., Ltd.		575		31,132
Gamuda BHD		28,200		31,252
GS Engineering & Construction Corp.		295		26,194
Hyundai Development Co.		1,200		25,284
Hyundai Engineering & Construction Co., Ltd.		405		26,276
IJM Corp. BHD		15,000		27,868
Larsen & Toubro Ltd. GDR		820		22,812
Malaysia Marine and Heavy Engineering Holdings BHD		12,800		26,284
Orascom Construction Industries GDR		699		28,659
Samsung Engineering Co., Ltd.		135		28,018
Total Construction & Engineering				482,271
Construction Materials 1.7%
Anhui Conch Cement Co., Ltd. — Class H		7,500		27,914
Asia Cement Corp.		20,500		25,010
BBMG Corp. — Class H		27,000		24,097
Cemex SAB de CV ADR		5,400		23,598
China National Building Material Co., Ltd. — Class H		20,000		26,375
China Resources Cement Holdings Ltd.		30,000		24,340
China Shanshui Cement Group Ltd.		30,000		23,567
Indocement Tunggal Prakarsa Tbk PT		15,000		27,704
Semen Gresik Persero Tbk PT		27,500		29,511
Siam Cement PCL		2,500		30,163
Taiwan Cement Corp.		20,000		25,302
Total Construction Materials				287,581
Consumer Finance 0.1%
Samsung Card Co.		630		23,848
Total Consumer Finance				23,848
Distributors 0.2%
Imperial Holdings Ltd.		1,859		27,662
Total Distributors				27,662
Diversified Financial Services 1.3%
African Bank Investments Ltd.		6,056		26,413
AMMB Holdings BHD		14,500		28,216
China Everbright Ltd.		20,000		30,238
FirstRand Ltd.		10,548		26,368
Fubon Financial Holding Co., Ltd.		20,998		25,021
Haci Omer Sabanci Holding AS		8,080		27,775

See Notes to Financial Statements.

118

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Remgro Ltd.		1,899		$28,979
RMB Holdings Ltd.		7,795		24,728
Total Diversified Financial Services				217,738
Diversified Telecommunication Services 2.4%
Brasil Telecom SA ADR		1,250		25,688
China Telecom Corp., Ltd. — Class H		40,000		25,138
China Unicom Hong Kong Ltd. ADR		1,424		28,637
Chunghwa Telecom Co., Ltd. ADR		810		27,240
KT Corp. ADR		1,599		26,671
LG Uplus Corp.		6,060		36,528
Tele Norte Leste Part		2,190		23,762
Telefonica Brasil SA ADR		900		26,118
Telefonica Czech Republic AS		1,100		23,365
Telefonos de Mexico SAB de CV ADR — Series L		1,649		25,790
Telekom Malaysia BHD		20,400		28,193
Telekomunikacja Polska SA		4,803		25,964
Telekomunikasi Indonesia Tbk PT ADR		859		29,034
Telkom SA Ltd.		5,896		22,878
Turk Telekomunikasyon AS		6,270		26,675
Total Diversified Telecommunication Services				401,681
Electric Utilities 1.8%
Centrais Eletricas Brasileiras SA ADR		2,751		27,609
CEZ AS		570		24,337
Cia Energetica de Minas Gerais ADR		1,604		27,332
Cia Paranaense de Energia ADR		1,320		26,638
CPFL Energia SA ADR		1,050		27,290
Enersis SA ADR		1,419		27,855
Federal Hydrogenerating Co. JSC ADR		6,381		24,056
Korea Electric Power Corp. ADR*		2,740		30,222
PGE SA		3,981		24,959
Tauron Polska Energia SA		15,434		27,350
Tenaga Nasional BHD		16,300		31,771
Total Electric Utilities				299,419
Electrical Equipment 1.2%
China High Speed Transmission Equipment Group Co., Ltd.		49,000		31,299
Dongfang Electric Corp., Ltd. — Class H		8,000		25,087
LS Corp.		305		22,045
LS Industrial Systems Co., Ltd.		510		25,495
Shanghai Electric Group Co., Ltd. — Class H*		60,000		26,890
Teco Electric and Machinery Co., Ltd.		45,000		26,548
Walsin Lihwa Corp.		74,000		25,229
Zhuzhou CSR Times Electric Co., Ltd. — Class H		10,000		23,928
Total Electrical Equipment				206,521
Electronic Equipment, Instruments & Components 3.3%
AU Optronics Corp. ADR		6,360		27,221
Cheng Uei Precision Industry Co., Ltd.		10,149		23,203
Chimei Innolux Corp.*		69,000		28,137
Coretronic Corp.		35,000		26,731
Delta Electronics, Inc.		10,000		23,832
E Ink Holdings, Inc.		15,000		31,085
Everlight Electronics Co., Ltd.		15,000		28,077
Hon Hai Precision Industry Co., Ltd. GDR		5,970		33,313
Kingboard Chemical Holdings Ltd.		7,500		26,079
LG Display Co., Ltd. ADR		2,910		29,275
LG Innotek Co., Ltd.		410		27,526
Nan Ya Printed Circuit Board Corp.		10,300		30,399
Samsung Electro-Mechanics Co., Ltd.		450		34,678
Samsung SDI Co., Ltd.		220		26,999
Synnex Technology International Corp.		10,000		24,768
Tripod Technology Corp.		9,550		25,217
Unimicron Technology Corp.		20,000		26,405
Wintek Corp.		34,498		26,982
WPG Holdings Ltd.		19,350		23,736
Young Fast Optoelectronics Co., Ltd.		10,249		30,043
Total Electronic Equipment, Instruments & Components				553,706
Energy Equipment & Services 0.4%
China Oilfield Services Ltd. — Class H		20,000		33,999
TMK OAO GDR		2,370		30,573
Total Energy Equipment & Services				64,572
Food & Staples Retailing 2.0%
BIM Birlesik Magazalar AS		964		29,529
Cencosud SA		4,581		29,265
China Resources Enterprise Ltd.		10,000		37,025
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR		734		28,765
CP ALL PCL		17,280		26,412
E-Mart Co., Ltd.*		92		24,034
Magnit OJSC GDR		1,250		31,937
Massmart Holdings Ltd.		1,280		25,741
Pick n Pay Stores Ltd.		4,987		25,104
President Chain Store Corp.		5,000		28,077
Shoprite Holdings Ltd.		1,890		27,838
Wal-Mart de Mexico SAB de CV — Series V		10,283		26,870
Total Food & Staples Retailing				340,597
Food Products 2.5%
BRF — Brasil Foods SA ADR		1,450		30,522
Chaoda Modern Agriculture Holdings Ltd.		106,000		15,016
Charoen Pokphand Foods PCL		30,500		30,004
Charoen Pokphand Indonesia Tbk PT		89,000		26,893
China Agri-Industries Holdings Ltd.		35,000		28,397
China Mengniu Dairy Co., Ltd.		10,000		32,196
China Yurun Food Group Ltd.		15,000		26,697
CJ CheilJedang Corp.		100		27,793
Indofood Sukses Makmur Tbk PT		40,000		23,722
IOI Corp. BHD		17,500		29,946
Kuala Lumpur Kepong BHD		4,000		27,458
Tiger Brands Ltd.		1,000		28,963
Tingyi Cayman Islands Holding Corp.		10,000		28,719
Uni-President Enterprises Corp.		21,200		29,620
Want Want China Holdings Ltd.		35,000		32,814
Total Food Products				418,760
Gas Utilities 0.7%
ENN Energy Holdings Ltd.		10,000		36,574
Korea Gas Corp.		900		30,658
Perusahaan Gas Negara PT		81,500		27,159
Petronas Gas BHD		6,400		27,327
Total Gas Utilities				121,718
Health Care Equipment & Supplies 0.1%
Shandong Weigao Group Medical Polymer Co., Ltd. — Class H		20,000		21,043
Total Health Care Equipment & Supplies				21,043

See Notes to Financial Statements.

ANNUAL REPORT 119

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Health Care Providers & Services 0.5%
Life Healthcare Group Holdings Ltd.		11,400		$27,877
Netcare Ltd.		15,100		26,580
Sinopharm Group Co. — Class H		12,000		33,072
Total Health Care Providers & Services				87,529
Hotels, Restaurants & Leisure 0.5%
Genting BHD		8,500		29,811
Genting Malaysia BHD		25,500		32,000
Kangwon Land, Inc.		1,090		29,310
Total Hotels, Restaurants & Leisure				91,121
Household Durables 1.1%
Gafisa SA ADR		2,903		21,598
LG Electronics, Inc.		470		31,681
Skyworth Digital Holdings Ltd.		50,000		26,980
Steinhoff International Holdings Ltd.		8,759		26,400
Tatung Co., Ltd.		64,000		22,782
Turkiye Sise ve Cam Fabrikalari AS		15,400		29,614
Woongjin Coway Co., Ltd.		790		27,517
Total Household Durables				186,572
Household Products 0.2%
LG Household & Health Care Ltd.		60		27,233
Total Household Products				27,233
Independent Power Producers & Energy Traders 0.7%
China Longyuan Power Group Corp. — Class H		30,000		25,306
China Resources Power Holdings Co., Ltd.		20,000		35,905
Empresa Nacional de Electricidad SA ADR		565		27,255
Huaneng Power International, Inc. — Class H		60,000		27,508
Total Independent Power Producers & Energy Traders				115,974
Industrial Conglomerates 2.1%
Alfa SAB de CV — Class A		2,138		25,212
Beijing Enterprises Holdings Ltd.		5,000		27,978
Bidvest Group Ltd.		1,414		28,310
Citic Pacific Ltd.		15,000		27,663
Doosan Corp.		230		29,575
Empresas COPEC SA		1,630		24,985
Far Eastern New Century Corp.		20,600		24,512
KOC Holding AS		8,050		28,859
LG Corp.		500		29,823
Samsung Techwin Co., Ltd.		520		28,295
Shanghai Industrial Holdings Ltd.		10,000		33,226
Sime Darby BHD		10,000		29,009
SK Holdings Co., Ltd.		176		23,902
Total Industrial Conglomerates				361,349
Insurance 2.1%
Cathay Financial Holding Co., Ltd.		24,400		29,483
China Life Insurance Co., Ltd.		27,375		30,881
China Life Insurance Co., Ltd. — Class H		10,000		26,722
China Pacific Insurance Group Co., Ltd. — Class H		8,000		24,932
Dongbu Insurance Co., Ltd.		664		28,251
Korea Life Insurance Co., Ltd.		4,750		26,875
PICC Property & Casualty Co., Ltd. — Class H		20,000		28,332
Ping An Insurance Group Co., Ltd. — Class H		2,500		18,899
Powszechny Zaklad Ubezpieczen SA		220		23,750
Samsung Fire & Marine Insurance Co., Ltd.		140		30,067
Samsung Life Insurance Co., Ltd.		380		29,764
Sanlam Ltd.		7,715		28,968
Shin Kong Financial Holding Co., Ltd.*		79,000		24,980
Total Insurance				351,904
Internet Software & Services 0.5%
Alibaba.com Ltd.		27,000		32,164
NHN Corp.*		175		36,794
Tencent Holdings Ltd.		1,000		23,580
Total Internet Software & Services				92,538
IT Services 0.4%
SK C&C Co., Ltd.		220		30,175
Wipro Ltd. ADR		2,860		29,916
Total IT Services				60,091
Machinery 2.3%
China Rongsheng Heavy Industry Group Holdings Co., Ltd.		71,500		25,414
CSR Corp., Ltd. — Class H		49,000		29,659
Daewoo Shipbuilding & Marine Engineering Co., Ltd.		1,040		26,230
Doosan Infracore Co., Ltd.*		1,350		23,633
Hanjin Heavy Industries & Construction Co., Ltd.*		1,430		25,937
Hiwin Technologies Corp.		5,150		47,338
Hyundai Heavy Industries Co., Ltd.		90		24,567
Hyundai Mipo Dockyard		230		25,528
Lonking Holdings Ltd.		74,000		29,829
Samsung Heavy Industries Co., Ltd.		890		27,827
Sany Heavy Equipment International Holdings Co., Ltd.		30,000		26,812
United Tractors Tbk PT		10,000		27,789
Weichai Power Co., Ltd. — Class H		5,000		25,595
Zoomlion Heavy Industry Science and Technology Co., Ltd. — Class H		16,720		24,762
Total Machinery				390,920
Marine 1.2%
China COSCO Holdings Co., Ltd. — Class H		52,000		27,725
China Shipping Container Lines Co., Ltd. — Class H*		123,000		23,919
China Shipping Development Co., Ltd. — Class H		40,000		28,847
Evergreen Marine Corp. Taiwan Ltd.		47,499		26,355
Hanjin Shipping Co., Ltd.		1,680		16,827
Hyundai Merchant Marine Co., Ltd.		1,050		27,477
STX Pan Ocean Co., Ltd.		3,600		24,039
Yang Ming Marine Transport Corp.		59,400		24,818
Total Marine				200,007
Media 0.5%
BEC World PCL		21,730		26,500
Grupo Televisa SA ADR		1,299		27,708
Naspers Ltd. — Class N		545		26,226
Total Media				80,434
Metals & Mining 6.1%
African Rainbow Minerals Ltd.		1,049		24,366
Aluminum Corp. of China Ltd. ADR		1,680		22,327
Angang Steel Co., Ltd. — Class H		40,000		24,932
Anglo Platinum Ltd.		335		24,370
AngloGold Ashanti Ltd. ADR		679		30,698
ArcelorMittal South Africa Ltd.		3,400		29,042

See Notes to Financial Statements.

120

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
CAP SA		630		$24,304
China Steel Corp.		29,250		29,232
Cia de Minas Buenaventura SA ADR		600		24,558
Cia Siderurgica Nacional SA ADR		2,850		26,676
Dongkuk Steel Mill Co., Ltd.		990		23,450
Eregli Demir ve Celik Fabrikalari TAS		14,840		30,810
Exxaro Resources Ltd.		1,110		25,232
Gerdau SA ADR		3,280		29,586
Gold Fields Ltd. ADR		1,710		29,805
Grupo Mexico SAB de CV — Series B		8,590		24,142
Harmony Gold Mining Co., Ltd. ADR		2,228		29,254
Hidili Industry International Development Ltd.		54,000		23,019
Hyundai Hysco Co., Ltd.		650		25,661
Hyundai Steel Co.		295		27,285
Impala Platinum Holdings Ltd.		1,144		26,579
Industrias Penoles SAB de CV		600		24,422
Jastrzebska Spolka Weglowa SA*		740		22,037
Jiangxi Copper Co., Ltd. — Class H		10,000		24,855
KGHM Polska Miedz SA		455		22,486
Korea Zinc Co., Ltd.		70		20,781
Kumba Iron Ore Ltd.		470		28,093
Maanshan Iron & Steel — Class H		80,000		24,314
Mechel ADR		1,590		20,893
MMC Norilsk Nickel OJSC ADR		1,204		23,562
Northam Platinum Ltd.		5,800		22,586
Novolipetsk Steel OJSC GDR		980		26,676
Polymetal JSC GDR*		1,310		21,366
POSCO ADR		305		26,206
Severstal OAO GDR		1,709		25,105
Shougang Fushan Resources Group Ltd.		60,000		25,190
Southern Copper Corp.		839		25,741
Sterlite Industries (India) Ltd. ADR		2,540		26,213
Vale SA ADR		964		24,495
Zhaojin Mining Industry Co., Ltd. — Class H		12,500		22,473
Zijin Mining Group Co., Ltd. — Class H		60,000		26,040
Total Metals & Mining				1,038,862
Multiline Retail 1.4%
Far Eastern Department Stores Co., Ltd.		15,900		24,659
Golden Eagle Retail Group Ltd.		10,000		25,473
Hyundai Department Store Co., Ltd.		185		26,877
Intime Department Store Group Co., Ltd.		20,000		29,002
Lotte Shopping Co., Ltd.		65		23,579
Parkson Retail Group Ltd.		20,000		25,757
S.A.C.I. Falabella		3,114		29,236
Shinsegae Co., Ltd.		90		22,821
Woolworths Holdings Ltd.		5,690		29,104
Total Multiline Retail				236,508
Oil, Gas & Consumable Fuels 5.2%
Adaro Energy Tbk PT		110,000		25,162
Banpu PCL		1,480		30,707
Bumi Resources Tbk PT		96,500		25,617
China Coal Energy Co., Ltd. — Class H		20,000		25,473
China Petroleum & Chemical Corp. — Class H		30,000		28,744
China Shenhua Energy Co., Ltd. — Class H		5,000		23,310
CNOOC Ltd. ADR		140		26,405
Ecopetrol SA ADR		699		29,735
Formosa Petrochemical Corp.		10,000		31,620
Gazprom OAO ADR		2,143		25,009
GS Holdings		430		25,337
Indo Tambangraya Megah PT		5,000		25,219
IRPC PCL		184,190		23,001
Kunlun Energy Co., Ltd.		20,000		28,487
Lukoil OAO ADR		495		28,809
MOL Hungarian Oil and Gas PLC*		320		25,239
NovaTek OAO GDR		230		32,292
PetroChina Co., Ltd. — Class H		20,000		26,426
Petroleo Brasileiro SA ADR		889		24,012
Polski Koncern Naftowy Orlen SA*		2,151		27,143
Polskie Gornictwo Naftowe i Gazownictwo SA		19,562		24,842
PTT Exploration & Production PCL		4,940		25,865
PTT PCL		2,500		24,878
Rosneft Oil Co. GDR		3,597		25,593
S-Oil Corp.		260		27,567
Sasol Ltd. ADR		590		26,692
SK Innovation Co., Ltd.		180		27,694
Surgutneftegas OJSC ADR		3,247		27,973
Tambang Batubara Bukit Asam Tbk PT		12,500		25,911
Tatneft ADR		900		26,721
Thai Oil PCL		12,840		24,323
Tupras Turkiye Petrol Rafinerileri AS		1,510		34,262
Yanzhou Coal Mining Co., Ltd. — Class H		10,000		25,821
Total Oil, Gas & Consumable Fuels				885,889
Paper & Forest Products 0.4%
Fibria Celulose SA ADR		2,920		25,900
Nine Dragons Paper Holdings Ltd.		40,000		27,817
Sappi Ltd.*		7,750		22,868
Total Paper & Forest Products				76,585
Personal Products 0.3%
Amorepacific Corp.		20		22,668
Hengan International Group Co., Ltd.		2,500		21,925
Total Personal Products				44,593
Pharmaceuticals 0.9%
Aspen Pharmacare Holdings Ltd.*		2,483		29,951
Celltrion, Inc.		660		22,453
China Shineway Pharmaceutical Group Ltd.		20,000		28,332
Dr. Reddy’s Laboratories Ltd. ADR		870		28,840
Sihuan Pharmaceutical Holdings Group Ltd.		84,000		36,131
Total Pharmaceuticals				145,707
Real Estate Investment Trusts (REITs) 0.2%
Emlak Konut Gayrimenkul Yatirim Ortakligi		21,930		29,731
Total Real Estate Investment Trusts (REITs)				29,731
Real Estate Management & Development 2.7%
Agile Property Holdings Ltd.		20,000		18,467
China Overseas Land & Investment Ltd.		10,000		18,880
China Resources Land Ltd.		20,000		29,723
Country Garden Holdings Co., Ltd.		70,000		28,216
Evergrande Real Estate Group Ltd.		45,000		19,994
Farglory Land Development Co., Ltd.		15,000		25,670
Growthpoint Properties Ltd.		10,660		24,907
Guangzhou R&F Properties Co., Ltd. — Class H		22,000		21,787
Highwealth Construction Corp.		15,000		26,272
Longfor Properties Co., Ltd.		20,000		26,066
LSR Group OJSC GDR		6,160		29,506
Poly Hong Kong Investments Ltd.		45,000		23,065
Renhe Commercial Holdings Co., Ltd.		150,000		21,442
Ruentex Development Co., Ltd.		25,000		30,291
Shimao Property Holdings Ltd.		27,000		26,844
Sino-Ocean Land Holdings Ltd.		57,500		25,992

See Notes to Financial Statements.

ANNUAL REPORT 121

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Soho China Ltd.		35,000		$25,332
UEM Land Holdings BHD*		40,500		29,174
Total Real Estate Management & Development				451,628
Semiconductors & Semiconductor Equipment 3.8%
Advanced Semiconductor Engineering, Inc.		27,872		25,107
Epistar Corp.		15,000		28,177
GCL-Poly Energy Holdings Ltd.		60,000		19,936
Hynix Semiconductor, Inc.		1,580		32,578
Inotera Memories, Inc.*		123,000		18,459
Kinsus Interconnect Technology Corp.		10,000		35,096
Macronix International		74,000		28,444
MediaTek, Inc.		5,000		53,145
Motech Industries, Inc.		11,499		21,985
MStar Semiconductor, Inc.		5,504		32,379
Novatek Microelectronics Corp.		10,000		24,901
Phison Electronics Corp.		5,000		26,823
Powertech Technology, Inc.		11,000		27,208
Realtek Semiconductor Corp.		20,150		34,147
Richtek Technology Corp.		5,000		25,570
Samsung Electronics Co., Ltd. GDR		75		32,273
Semiconductor Manufacturing International Corp.*		538,000		30,139
Seoul Semiconductor Co., Ltd.		1,234		25,722
Siliconware Precision Industries Co. ADR		6,260		32,552
Sino-American Silicon Products, Inc.		14,500		24,088
Taiwan Semiconductor Manufacturing Co., Ltd. ADR		2,318		29,253
United Microelectronics Corp. ADR		14,760		32,915
Total Semiconductors & Semiconductor Equipment				640,897
Software 0.2%
NCSoft Corp.		90		28,546
Total Software				28,546
Specialty Retail 0.9%
Belle International Holdings Ltd.		15,000		29,826
Foschini Group Ltd.(The)		2,160		27,392
GOME Electrical Appliances Holdings Ltd.		70,000		21,906
Grupo Elektra SA de CV		340		26,428
Hengdeli Holdings Ltd.		60,000		27,431
Truworths International Ltd.		2,610		26,508
Total Specialty Retail				159,491
Textiles, Apparel & Luxury Goods 0.6%
Anta Sports Products Ltd.		20,000		18,571
Indorama Ventures PCL		23,210		26,984
Li Ning Co., Ltd.		24,500		23,569
Ruentex Industries Ltd.		15,000		30,684
Total Textiles, Apparel & Luxury Goods				99,808
Tobacco 0.4%
Gudang Garam Tbk PT		5,000		33,098
KT&G Corp.		450		28,221
Total Tobacco				61,319
Trading Companies & Distributors 0.6%
Barloworld Ltd.		3,018		25,454
Daewoo International Corp.		850		25,158
Samsung C&T Corp.		415		26,064
SK Networks Co., Ltd.		2,950		30,080
Total Trading Companies & Distributors				106,756
Transportation Infrastructure 0.7%
China Merchants Holdings International Co., Ltd.		10,000		31,359
COSCO Pacific Ltd.		20,000		28,384
Grupo Aeroportuario del Pacifico SAB de CV ADR		754		26,133
PLUS Expressways BHD		19,400		27,949
Total Transportation Infrastructure				113,825
Water Utilities 0.3%
Cia de Saneamento Basico do Estado de Sao Paulo ADR		505		27,401
Guangdong Investment Ltd.		50,000		30,393
Total Water Utilities				57,794
Wireless Telecommunication Services 2.6%
Advanced Info Service PCL		7,410		31,447
America Movil SAB de CV ADR — Series L		1,180		29,996
Axiata Group BHD		18,500		29,426
China Mobile Ltd. ADR		560		26,634
DiGi.Com BHD		3,000		30,997
ENTEL Chile SA		1,371		27,143
Far EasTone Telecommunications Co., Ltd.		20,000		33,057
Mobile Telesystems OJSC ADR		1,770		25,293
MTN Group Ltd.		1,504		26,383
Philippine Long Distance Telephone Co. ADR		490		27,215
Sistema JSFC GDR		1,570		26,910
SK Telecom Co., Ltd. ADR		1,674		24,759
Taiwan Mobile Co., Ltd.		9,000		25,931
Tim Participacoes SA ADR		910		23,696
Turkcell Iletisim Hizmetleri AS ADR*		2,580		31,786
Vodacom Group Ltd.		2,280		25,957
Total Wireless Telecommunication Services				446,630
Total Common Stocks (Cost $16,280,344)				14,330,804
EXCHANGE TRADED FUNDS 14.5%
iShares MSCI Brazil Index Fund		17,300		1,079,001
WisdomTree India Earnings Fund		68,850		1,376,311
Total Exchange Traded Funds (Cost $2,759,224)				2,455,312
RIGHTS 0.1%(a)
Capital Markets 0.1%
Daewoo Securities Co., Ltd., expires 11/01/11*		1,038		2,501
Samsung Securities Co., Ltd., expires 11/24/11*		58		607
Woori Investment & Securities Co., Ltd., expires 11/23/11*		693		1,501
Total Capital Markets				4,609
Marine 0.0%(b)
Hanjin Shipping Co., Ltd., expires 11/04/11*		710		2,306
Total Marine				2,306
Total Rights (Cost $0)				6,915

See Notes to Financial Statements.

122

RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
RIGHTS (continued)
SHORT TERM INVESTMENTS 0.5%
SSgA Government Money Market Fund		81,167		$81,167
Total Short Term Investments (Cost $81,167)				81,167
Total Investments 99.8%(c) (Cost $19,120,735)				16,874,198
Other Assets in Excess of Liabilities—0.2%				39,908
Net Assets—100.0%				$16,914,106

*	Non-Income Producing Security.
(a)	Values determined based on Level 2 inputs.
(b)	Amount represents less than 0.05% of net assets.
(c)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

ADR—American Depositary Receipt

ADS—American Depositary Share

GDR—Global Depository Receipt

REIT—Real Estate Investment Trust

INVESTMENT CONCENTRATION

At October 31, 2011, the investment diversification of the Fund was as follows:

	% of Total
Country	Investments
Taiwan		15.54%
United States		15.18%
South Korea		14.43%
China		8.94%
South Africa		5.89%
Cayman Islands		5.08%
Hong Kong		3.22%
Brazil		3.16%
Malaysia		3.09%
Thailand		3.01%
Russia		2.98%
Turkey		2.86%
Indonesia		2.74%
Mexico		2.73%
Poland		1.81%
Chile		1.61%
Bermuda		1.47%
India		1.01%
Slovakia		0.94%
Switzerland		0.87%
Morocco		0.84%
Saudi Arabia		0.60%
Czech		0.43%
Colombia		0.35%
Philippines		0.33%
Belize		0.30%
Hungary		0.27%
Egypt		0.17%
Peru		0.15%
Total Investments		100.00%

See Notes to Financial Statements.

ANNUAL REPORT 123

RYDEX MSCI ACWI EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 28.5%
Aerospace & Defense 0.6%
Boeing Co.(The)		28		$1,842
General Dynamics Corp.		27		1,733
Goodrich Corp.		21		2,575
Honeywell International, Inc.		33		1,729
L-3 Communications Holdings, Inc.		28		1,898
Lockheed Martin Corp.		19		1,442
Northrop Grumman Corp.		25		1,444
Precision Castparts Corp.		10		1,632
Raytheon Co.		41		1,812
Rockwell Collins, Inc.		34		1,898
Textron, Inc.		98		1,903
United Technologies Corp.		19		1,482
Total Aerospace & Defense				21,390
Air Freight & Logistics 0.2%
C.H. Robinson Worldwide, Inc.		19		1,319
Expeditors International of Washington, Inc.		32		1,459
FedEx Corp.		20		1,637
United Parcel Service, Inc. — Class B		28		1,967
Total Air Freight & Logistics				6,382
Airlines 0.1%
Delta Air Lines, Inc.*		210		1,790
Southwest Airlines Co.		182		1,556
United Continental Holdings, Inc.*		85		1,642
Total Airlines				4,988
Auto Components 0.3%
Autoliv, Inc.		25		1,444
BorgWarner, Inc.*		19		1,454
Goodyear Tire & Rubber Co.(The)*		122		1,752
Johnson Controls, Inc.		53		1,745
Magna International, Inc.		47		1,793
TRW Automotive Holdings Corp.*		39		1,642
Total Auto Components				9,830
Automobiles 0.1%
Ford Motor Co.*		142		1,659
General Motors Co.*		64		1,654
Harley-Davidson, Inc.		48		1,867
Total Automobiles				5,180
Beverages 0.4%
Beam, Inc.		26		1,285
Brown-Forman Corp. — Class B		19		1,420
Coca-Cola Co.(The)		28		1,913
Coca-Cola Enterprises, Inc.		60		1,609
Constellation Brands, Inc. — Class A*		78		1,577
Dr Pepper Snapple Group, Inc.		39		1,460
Hansen Natural Corp.*		21		1,871
Molson Coors Brewing Co. — Class B		41		1,736
PepsiCo, Inc.		27		1,700
Total Beverages				14,571
Biotechnology 0.3%
Alexion Pharmaceuticals, Inc.*		26		1,755
Amgen, Inc.		25		1,432
Biogen Idec, Inc.*		21		2,443
Celgene Corp.*		26		1,686
Gilead Sciences, Inc.*		40		1,666
Human Genome Sciences, Inc.*		114		1,170
Vertex Pharmaceuticals, Inc.*		32		1,267
Total Biotechnology				11,419
Building Products 0.0%(b)
Masco Corp.		172		1,651
Total Building Products				1,651
Capital Markets 0.7%
Ameriprise Financial, Inc.		32		1,494
Bank of New York Mellon Corp.(The)		79		1,681
BlackRock, Inc.		10		1,578
Charles Schwab Corp.(The)		130		1,596
Eaton Vance Corp.		65		1,709
Franklin Resources, Inc.		13		1,386
Goldman Sachs Group, Inc.(The)		13		1,424
Invesco Ltd.		83		1,666
Jefferies Group, Inc.		98		1,300
Legg Mason, Inc.		60		1,650
Morgan Stanley		89		1,570
Northern Trust Corp.		39		1,578
SEI Investments Co.		91		1,473
State Street Corp.		46		1,858
T. Rowe Price Group, Inc.		25		1,321
TD Ameritrade Holding Corp.		104		1,745
Total Capital Markets				25,029
Chemicals 0.8%
Agrium, Inc.		21		1,728
Air Products & Chemicals, Inc.		20		1,723
Airgas, Inc.		27		1,862
Celanese Corp. — Class A		32		1,394
CF Industries Holdings, Inc.		6		974
Dow Chemical Co.(The)		60		1,673
Du Pont (E.I.) de Nemours & Co.		33		1,586
Eastman Chemical Co.		40		1,571
Ecolab, Inc.		25		1,346
FMC Corp.		19		1,499
International Flavors & Fragrances, Inc.		26		1,574
LyondellBasell Industries NV — Class A		46		1,511
Monsanto Co.		28		2,037
Mosaic Co.(The)		19		1,113
PPG Industries, Inc.		19		1,642
Praxair, Inc.		12		1,220
Sherwin-Williams Co.(The)		19		1,571
Sigma-Aldrich Corp.		27		1,768
Total Chemicals				27,792
Commercial Banks 0.7%
Bank of Montreal		27		1,598
Bank of Nova Scotia		25		1,315
BB&T Corp.		71		1,657
Canadian Imperial Bank of Commerce		19		1,434
CIT Group, Inc.*		46		1,603
Comerica, Inc.		56		1,431
Fifth Third Bancorp		151		1,813
KeyCorp		235		1,659
M&T Bank Corp.		19		1,446
PNC Financial Services Group, Inc.		34		1,826
Regions Financial Corp.		349		1,372
Royal Bank of Canada		34		1,663
SunTrust Banks, Inc.		77		1,519
Toronto-Dominion Bank (The)		19		1,430

See Notes to Financial Statements.

124

RYDEX MSCI ACWI EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
U.S. Bancorp		64		$1,638
Wells Fargo & Co.		57		1,477
Total Commercial Banks				24,881
Commercial Services & Supplies 0.4%
Avery Dennison Corp.		51		1,357
Cintas Corp.		54		1,614
Iron Mountain, Inc.		45		1,392
Pitney Bowes, Inc.		79		1,610
R.R. Donnelley & Sons Co.		102		1,663
Republic Services, Inc.		53		1,508
Ritchie Bros Auctioneers, Inc.		64		1,276
Stericycle, Inc.*		21		1,755
Waste Management, Inc.		46		1,515
Total Commercial Services & Supplies				13,690
Communications Equipment 0.3%
Cisco Systems, Inc.		97		1,798
F5 Networks, Inc.*		20		2,079
Harris Corp.		40		1,510
Juniper Networks, Inc.*		70		1,713
Motorola Mobility Holdings, Inc.*		39		1,516
Motorola Solutions, Inc.		41		1,923
QUALCOMM, Inc.		34		1,754
Total Communications Equipment				12,293
Computers & Peripherals 0.4%
Apple, Inc.*		8		3,238
Dell, Inc.*		104		1,644
EMC Corp.		71		1,740
Hewlett-Packard Co.		57		1,517
NetApp, Inc.*		47		1,925
SanDisk Corp.*		47		2,382
Seagate Technology PLC		136		2,196
Western Digital Corp.*		53		1,412
Total Computers & Peripherals				16,054
Construction & Engineering 0.3%
Fluor Corp.		27		1,535
Foster Wheeler AG*		65		1,386
Jacobs Engineering Group, Inc.*		47		1,824
KBR, Inc.		53		1,479
Quanta Services, Inc.*		77		1,608
URS Corp.		47		1,678
Total Construction & Engineering				9,510
Construction Materials 0.1%
Martin Marietta Materials, Inc.		19		1,371
Vulcan Materials Co.		47		1,471
Total Construction Materials				2,842
Consumer Finance 0.2%
American Express Co.		33		1,671
Capital One Financial Corp.		32		1,461
Discover Financial Services		66		1,555
SLM Corp.		118		1,613
Total Consumer Finance				6,300
Containers & Packaging 0.2%
Ball Corp.		47		1,625
Crown Holdings, Inc.*		47		1,588
Owens-Illinois, Inc.*		83		1,667
Rock-Tenn Co. — Class A		33		1,953
Sealed Air Corp.		83		1,477
Total Containers & Packaging				8,310
Distributors 0.0%(b)
Genuine Parts Co.		25		1,436
Total Distributors				1,436
Diversified Consumer Services 0.1%
Apollo Group, Inc. — Class A*		33		1,563
DeVry, Inc.		32		1,206
H&R Block, Inc.		105		1,605
Total Diversified Consumer Services				4,374
Diversified Financial Services 0.4%
Bank of America Corp.		196		1,339
Citigroup, Inc.		53		1,674
CME Group, Inc. — Class A		7		1,929
IntercontinentalExchange, Inc.*		13		1,688
JPMorgan Chase & Co.		48		1,669
Leucadia National Corp.		52		1,395
Moody’s Corp.		53		1,881
Nasdaq OMX Group, Inc.(The)*		64		1,603
NYSE Euronext		59		1,568
Total Diversified Financial Services				14,746
Diversified Telecommunication Services 0.3%
AT&T, Inc.		53		1,554
BCE, Inc.		40		1,584
CenturyTel, Inc.		47		1,657
Frontier Communications Corp.		211		1,321
TELUS Corp.		34		1,734
Verizon Communications, Inc.		48		1,775
Windstream Corp.		124		1,509
Total Diversified Telecommunication Services				11,134
Electric Utilities 0.6%
American Electric Power Co., Inc.		39		1,532
Duke Energy Corp.		86		1,756
Edison International		48		1,949
Entergy Corp.		27		1,868
Exelon Corp.		41		1,820
FirstEnergy Corp.		32		1,439
NextEra Energy, Inc.		26		1,466
Northeast Utilities		47		1,625
Pepco Holdings, Inc.		77		1,525
Pinnacle West Capital Corp.		32		1,458
PPL Corp.		61		1,791
Progress Energy, Inc.		33		1,719
Southern Co.		40		1,728
Total Electric Utilities				21,676
Electrical Equipment 0.2%
AMETEK, Inc.		39		1,541
Cooper Industries PLC		33		1,731
Emerson Electric Co.		33		1,588
Rockwell Automation, Inc.		27		1,827
Roper Industries, Inc.		19		1,541
Total Electrical Equipment				8,228
Electronic Equipment, Instruments & Components 0.4%
Amphenol Corp. — Class A		33		1,567
Arrow Electronics, Inc.		53		1,910
Avnet, Inc.*		57		1,728
Corning, Inc.		103		1,472

See Notes to Financial Statements.

ANNUAL REPORT 125

RYDEX MSCI ACWI EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Dolby Laboratories, Inc. — Class A*		45		$1,316
Flextronics International Ltd.*		277		1,818
FLIR Systems, Inc.		56		1,473
TE Connectivity Ltd.		54		1,920
Total Electronic Equipment, Instruments & Components				13,204
Energy Equipment & Services 0.6%
Baker Hughes, Inc.		26		1,508
Cameron International Corp.*		34		1,671
Diamond Offshore Drilling, Inc.		27		1,770
FMC Technologies, Inc.*		32		1,434
Halliburton Co.		41		1,532
Helmerich & Payne, Inc.		26		1,383
IHS, Inc. — Class A*		20		1,680
Nabors Industries Ltd.*		83		1,521
National-Oilwell Varco, Inc.		28		1,997
Noble Corp.		46		1,653
Precision Drilling Corp.*		100		1,157
Rowan Cos., Inc.*		47		1,621
Schlumberger Ltd.		20		1,469
Weatherford International Ltd.*		91		1,410
Total Energy Equipment & Services				21,806
Food & Staples Retailing 0.4%
Costco Wholesale Corp.		20		1,665
CVS Caremark Corp.		47		1,706
Kroger Co.(The)		64		1,484
Safeway, Inc.		83		1,608
Sysco Corp.		61		1,691
Wal-Mart Stores, Inc.		25		1,418
Walgreen Co.		47		1,560
Whole Foods Market, Inc.		27		1,947
Total Food & Staples Retailing				13,079
Food Products 0.7%
Archer-Daniels-Midland Co.		52		1,505
Bunge Ltd.		27		1,668
Campbell Soup Co.		54		1,796
ConAgra Foods, Inc.		66		1,672
General Mills, Inc.		48		1,849
Green Mountain Coffee Roasters, Inc.*		12		780
H.J. Heinz Co.		25		1,336
Hershey Co.(The)		26		1,488
Hormel Foods Corp.		61		1,798
J.M. Smucker Co.(The)		19		1,463
Kellogg Co.		25		1,355
Kraft Foods, Inc. — Class A		47		1,653
McCormick & Co., Inc.		33		1,602
Mead Johnson Nutrition Co.		19		1,365
Ralcorp Holdings, Inc.		21		1,698
Sara Lee Corp.		84		1,495
Tyson Foods, Inc. — Class A		92		1,776
Total Food Products				26,299
Gas Utilities 0.0%(b)
Oneok, Inc.		19		1,445
Total Gas Utilities				1,445
Health Care Equipment & Supplies 0.7%
Baxter International, Inc.		25		1,374
Becton, Dickinson and Co.		20		1,565
Boston Scientific Corp.*		238		1,402
C.R. Bard, Inc.		21		1,805
CareFusion Corp.*		57		1,459
Covidien PLC		34		1,599
DENTSPLY International, Inc.		47		1,737
Edwards Lifesciences Corp.*		19		1,433
Hologic, Inc.*		99		1,596
Intuitive Surgical, Inc.*		8		3,471
Medtronic, Inc.		47		1,633
St Jude Medical, Inc.		32		1,248
Stryker Corp.		33		1,581
Varian Medical Systems, Inc.*		26		1,527
Zimmer Holdings, Inc.*		25		1,316
Total Health Care Equipment & Supplies				24,746
Health Care Providers & Services 0.8%
Aetna, Inc.		40		1,590
AmerisourceBergen Corp.		39		1,591
Cardinal Health, Inc.		41		1,815
CIGNA Corp.		33		1,463
Coventry Health Care, Inc.*		45		1,432
DaVita, Inc.*		19		1,330
Express Scripts, Inc.*		33		1,509
HCA Holdings, Inc.*		75		1,759
Henry Schein, Inc.*		28		1,941
Humana, Inc.		19		1,613
Laboratory Corp. of America Holdings*		20		1,677
McKesson Corp.		20		1,631
Medco Health Solutions, Inc.*		25		1,372
Omnicare, Inc.		53		1,581
Patterson Cos., Inc.		52		1,636
Quest Diagnostics, Inc.		34		1,897
UnitedHealth Group, Inc.		33		1,584
WellPoint, Inc.		27		1,860
Total Health Care Providers & Services				29,281
Health Care Technology 0.1%
Cerner Corp.*		28		1,776
Total Health Care Technology				1,776
Hotels, Restaurants & Leisure 0.7%
Carnival Corp.		45		1,585
Chipotle Mexican Grill, Inc.*		7		2,353
Darden Restaurants, Inc.		33		1,580
International Game Technology		97		1,706
Las Vegas Sands Corp.*		33		1,549
Marriott International, Inc. — Class A		52		1,638
McDonald’s Corp.		21		1,950
MGM Resorts International*		143		1,647
Royal Caribbean Cruises Ltd.		57		1,694
Starbucks Corp.		39		1,651
Starwood Hotels & Resorts Worldwide, Inc.		40		2,005
Tim Hortons, Inc.		33		1,628
Wynn Resorts Ltd.		10		1,328
Yum! Brands, Inc.		25		1,339
Total Hotels, Restaurants & Leisure				23,653
Household Durables 0.4%
D.R. Horton, Inc.		153		1,703
Garmin Ltd.		46		1,582
Leggett & Platt, Inc.		72		1,577
Mohawk Industries, Inc.*		34		1,790
Newell Rubbermaid, Inc.		117		1,731
Pulte Homes, Inc.*		316		1,637

See Notes to Financial Statements.

126

RYDEX MSCI ACWI EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Toll Brothers, Inc.*		91		$1,587
Whirlpool Corp.		27		1,372
Total Household Durables				12,979
Household Products 0.3%
Church & Dwight Co., Inc.		41		1,811
Clorox Co.(The)		19		1,272
Colgate-Palmolive Co.		21		1,898
Energizer Holdings, Inc.*		19		1,402
Kimberly-Clark Corp.		28		1,952
Procter & Gamble Co.(The)		27		1,728
Total Household Products				10,063
Independent Power Producers & Energy Traders 0.2%
AES Corp.(The)*		152		1,705
Calpine Corp.*		112		1,699
Constellation Energy Group, Inc.		39		1,548
NRG Energy, Inc.*		73		1,564
Total Independent Power Producers & Energy Traders				6,516
Industrial Conglomerates 0.2%
3M Co.		20		1,580
Danaher Corp.		32		1,547
General Electric Co.		98		1,638
Tyco International Ltd.		40		1,822
Total Industrial Conglomerates				6,587
Insurance 1.5%
ACE Ltd.		27		1,948
AFLAC, Inc.		47		2,119
Allstate Corp.(The)		58		1,528
American International Group, Inc.*		66		1,630
Aon Corp.		33		1,539
Arch Capital Group Ltd.*		46		1,655
Assurant, Inc.		47		1,811
Axis Capital Holdings Ltd.		52		1,630
Berkshire Hathaway, Inc. — Class B*		19		1,479
Chubb Corp.(The)		27		1,810
Cincinnati Financial Corp.		61		1,765
Everest Re Group Ltd.		20		1,798
Fidelity National Financial, Inc. — Class A		91		1,405
Genworth Financial, Inc. — Class A*		227		1,448
Hartford Financial Services Group, Inc.		76		1,463
Lincoln National Corp.		78		1,486
Loews Corp.		48		1,906
Manulife Financial Corp.		118		1,559
Marsh & McLennan Cos., Inc.		53		1,623
MetLife, Inc.		45		1,582
Old Republic International Corp.		157		1,388
PartnerRe Ltd.		26		1,618
Principal Financial Group, Inc.		57		1,469
Progressive Corp.(The)		86		1,635
Prudential Financial, Inc.		34		1,843
RenaissanceRe Holdings Ltd.		27		1,839
Sun Life Financial, Inc.		60		1,513
Torchmark Corp.		39		1,596
Travelers Cos., Inc.(The)		34		1,984
Unum Group		64		1,526
W.R. Berkley Corp.		54		1,880
Willis Group Holdings PLC		39		1,416
XL Group PLC		80		1,739
Total Insurance				54,630
Internet & Catalog Retail 0.3%
Amazon.com, Inc.*		6		1,281
Expedia, Inc.		53		1,392
Liberty Media Corp. — Interactive — Class A — Tracking Stock*		98		1,610
Netflix, Inc.*		7		574
priceline.com, Inc.*		8		4,062
Total Internet & Catalog Retail				8,919
Internet Software & Services 0.3%
Akamai Technologies, Inc.*		70		1,886
eBay, Inc.*		54		1,719
Google, Inc. — Class A*		2		1,185
Open Text Corp.*		26		1,587
VeriSign, Inc.		54		1,733
Yahoo!, Inc.*		110		1,720
Total Internet Software & Services				9,830
IT Services 0.8%
Accenture PLC — Class A		25		1,507
Alliance Data Systems Corp.*		21		2,151
Automatic Data Processing, Inc.		34		1,779
Cognizant Technology Solutions Corp. — Class A*		27		1,964
Computer Sciences Corp.		53		1,667
Fidelity National Information Services, Inc.		61		1,597
Fiserv, Inc.*		25		1,472
International Business Machines Corp.		10		1,846
Mastercard, Inc. — Class A		8		2,778
Paychex, Inc.		60		1,748
SAIC, Inc.*		104		1,293
Teradata Corp.*		34		2,028
Total System Services, Inc.		84		1,671
Visa, Inc. — Class A		21		1,959
Western Union Co.(The)		99		1,730
Total IT Services				27,190
Leisure Equipment & Products 0.1%
Hasbro, Inc.		39		1,484
Mattel, Inc.		60		1,695
Total Leisure Equipment & Products				3,179
Life Sciences Tools & Services 0.3%
Agilent Technologies, Inc.*		47		1,742
Covance, Inc.*		34		1,725
Illumina, Inc.*		33		1,010
Life Technologies Corp.*		40		1,627
Pharmaceutical Product Development, Inc.		54		1,782
Thermo Fisher Scientific, Inc.*		25		1,257
Waters Corp.*		20		1,602
Total Life Sciences Tools & Services				10,745
Machinery 0.8%
AGCO Corp.*		41		1,797
Caterpillar, Inc.		21		1,984
Cummins, Inc.		21		2,088
Deere & Co.		20		1,518
Dover Corp.		26		1,444
Eaton Corp.		41		1,837
Flowserve Corp.		21		1,946
Illinois Tool Works, Inc.		33		1,605
Ingersoll-Rand PLC		44		1,370
ITT Corp.		17		775
Joy Global, Inc.		20		1,744
PACCAR, Inc.		39		1,686

See Notes to Financial Statements.

ANNUAL REPORT 127

RYDEX MSCI ACWI EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Pall Corp.		34		$1,740
Parker Hannifin Corp.		19		1,549
Pentair, Inc.		47		1,690
SPX Corp.		26		1,420
Stanley Black & Decker, Inc.		27		1,724
Total Machinery				27,917
Media 0.9%
Cablevision Systems Corp. — Class A		81		1,172
CBS Corp. — Class B		57		1,471
Comcast Corp. — Class A		71		1,665
DIRECTV — Class A*		41		1,864
Discovery Communications, Inc. — Class A*		41		1,782
DISH Network Corp. — Class A		63		1,523
Interpublic Group of Cos., Inc.		182		1,725
Liberty Global, Inc. — Class A*		39		1,567
McGraw-Hill Cos., Inc.(The)		41		1,743
News Corp. — Class B		92		1,642
Omnicom Group, Inc.		40		1,779
Scripps Networks Interactive, Inc. — Class A		41		1,742
Sirius XM Radio, Inc.*		866		1,550
Time Warner Cable, Inc.		28		1,783
Time Warner, Inc.		54		1,889
Viacom, Inc. — Class B		33		1,447
Virgin Media, Inc.		57		1,390
Walt Disney Co.(The)		46		1,605
Washington Post Co.(The) — Class B		8		2,721
Total Media				32,060
Metals & Mining 0.8%
Agnico-Eagle Mines Ltd.		28		1,215
Alcoa, Inc.		131		1,410
Allegheny Technologies, Inc.		34		1,578
Barrick Gold Corp.		34		1,683
Cliffs Natural Resources, Inc.		20		1,364
Eldorado Gold Corp.		78		1,472
Freeport-McMoRan Copper & Gold, Inc.		33		1,329
Goldcorp, Inc.		25		1,221
IAMGOLD Corp.		80		1,720
Ivanhoe Mines Ltd.*		72		1,477
Kinross Gold Corp.		93		1,335
New Gold, Inc.*		100		1,238
Newmont Mining Corp.		27		1,804
Nucor Corp.		48		1,813
Pan American Silver Corp.		45		1,258
Silver Wheaton Corp.		40		1,384
Teck Resources Ltd. — Class B		32		1,283
United States Steel Corp.		52		1,319
Walter Energy, Inc.		19		1,437
Yamana Gold, Inc.		98		1,467
Total Metals & Mining				28,807
Multi-Utilities 0.7%
Alliant Energy Corp.		40		1,631
Ameren Corp.		53		1,690
CenterPoint Energy, Inc.		78		1,626
Consolidated Edison, Inc.		26		1,505
Dominion Resources, Inc.		33		1,702
DTE Energy Co.		34		1,772
Integrys Energy Group, Inc.		34		1,799
MDU Resources Group, Inc.		71		1,463
NiSource, Inc.		71		1,568
NSTAR		32		1,443
PG&E Corp.		41		1,759
Public Service Enterprise Group, Inc.		46		1,550
SCANA Corp.		40		1,691
Sempra Energy		34		1,827
Wisconsin Energy Corp.		54		1,751
Xcel Energy, Inc.		66		1,706
Total Multi-Utilities				26,483
Multiline Retail 0.5%
Dollar General Corp.*		47		1,864
Dollar Tree, Inc.*		19		1,519
Family Dollar Stores, Inc.		34		1,993
J.C. Penney Co., Inc.		59		1,893
Kohl’s Corp.		33		1,749
Macy’s, Inc.		58		1,771
Nordstrom, Inc.		32		1,622
Sears Holdings Corp.*		26		2,033
Target Corp.		34		1,862
Total Multiline Retail				16,306
Office Electronics 0.0%(b)
Xerox Corp.		198		1,620
Total Office Electronics				1,620
Oil, Gas & Consumable Fuels 2.2%
Alpha Natural Resources, Inc.*		45		1,082
Anadarko Petroleum Corp.		19		1,491
Apache Corp.		12		1,196
Arch Coal, Inc.		77		1,403
Cabot Oil & Gas Corp.		19		1,477
Cameco Corp.		64		1,371
Canadian Natural Resources Ltd.		48		1,697
Cenovus Energy, Inc.		47		1,607
Chesapeake Energy Corp.		45		1,265
Chevron Corp.		12		1,261
Cimarex Energy Co.		27		1,728
Concho Resources, Inc.*		21		1,989
ConocoPhillips		28		1,950
Consol Energy, Inc.		32		1,368
Continental Resources, Inc.*		26		1,577
Denbury Resources, Inc.*		97		1,523
Devon Energy Corp.		28		1,819
El Paso Corp.		86		2,151
Enbridge, Inc.		45		1,562
Encana Corp.		65		1,410
Energen Corp.		33		1,619
EOG Resources, Inc.		21		1,878
EQT Corp.		26		1,651
Exxon Mobil Corp.		19		1,484
Hess Corp.		26		1,627
HollyFrontier Corp.		45		1,381
Kinder Morgan Management LLC*		26		1,752
Kinder Morgan, Inc.		57		1,630
Marathon Oil Corp.		56		1,458
Marathon Petroleum Corp.		45		1,615
Murphy Oil Corp.		33		1,827
Newfield Exploration Co.*		33		1,329
Nexen, Inc.		71		1,206
Noble Energy, Inc.		21		1,876
Occidental Petroleum Corp.		21		1,952
Peabody Energy Corp.		33		1,431
Pioneer Natural Resources Co.		19		1,594
Plains Exploration & Production Co.*		52		1,638
QEP Resources, Inc.		47		1,671
Range Resources Corp.		28		1,927

See Notes to Financial Statements.

128

RYDEX MSCI ACWI EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Southwestern Energy Co.*		48		$2,018
Spectra Energy Corp.		58		1,660
Suncor Energy, Inc.		53		1,691
Sunoco, Inc.		39		1,452
Talisman Energy, Inc.		99		1,406
TransCanada Corp.		41		1,765
Ultra Petroleum Corp.*		45		1,434
Valero Energy Corp.		72		1,771
Whiting Petroleum Corp.*		33		1,536
Williams Cos., Inc.(The)		60		1,807
Total Oil, Gas & Consumable Fuels				80,013
Paper & Forest Products 0.1%
International Paper Co.		60		1,662
MeadWestvaco Corp.		59		1,647
Total Paper & Forest Products				3,309
Personal Products 0.1%
Avon Products, Inc.		72		1,316
Estee Lauder Cos., Inc.(The) — Class A		12		1,182
Total Personal Products				2,498
Pharmaceuticals 0.6%
Abbott Laboratories		34		1,832
Allergan, Inc.		20		1,682
Bristol-Myers Squibb Co.		52		1,643
Eli Lilly & Co.		48		1,784
Forest Laboratories, Inc.*		46		1,440
Hospira, Inc.*		32		1,006
Johnson & Johnson, Inc.		28		1,803
Merck & Co., Inc.		45		1,553
Mylan, Inc.*		79		1,546
Perrigo Co.		12		1,083
Pfizer, Inc.		86		1,656
Valeant Pharmaceuticals International, Inc.		32		1,266
Warner Chilcott PLC — Class A		89		1,613
Watson Pharmaceuticals, Inc.*		28		1,880
Total Pharmaceuticals				21,787
Professional Services 0.3%
Dun & Bradstreet Corp.(The)		28		1,872
Equifax, Inc.		45		1,582
Manpower, Inc.		39		1,682
Nielsen Holdings NV*		52		1,526
Robert Half International, Inc.		65		1,718
Verisk Analytics, Inc. — Class A*		47		1,652
Total Professional Services				10,032
Real Estate Investment Trusts (REITs) 1.0%
Annaly Capital Management, Inc.		84		1,415
AvalonBay Communities, Inc.		14		1,872
Boston Properties, Inc.		12		1,188
Duke Realty Corp.		129		1,584
Equity Residential		27		1,584
Federal Realty Investment Trust		21		1,864
General Growth Properties, Inc.		118		1,735
HCP, Inc.		48		1,913
Health Care REIT, Inc.		34		1,791
Host Hotels & Resorts, Inc.		136		1,941
Kimco Realty Corp.		92		1,607
Liberty Property Trust		46		1,472
Macerich Co.(The)		33		1,642
Plum Creek Timber Co., Inc.		48		1,808
ProLogis, Inc.		59		1,756
Public Storage		13		1,678
Rayonier, Inc.		40		1,669
Regency Centers Corp.		41		1,679
Simon Property Group, Inc.		13		1,670
Ventas, Inc.		25		1,390
Vornado Realty Trust		20		1,656
Weyerhaeuser Co.		92		1,654
Total Real Estate Investment Trusts (REITs)				36,568
Real Estate Management & Development 0.1%
Brookfield Asset Management, Inc. — Class A		52		1,508
CBRE Group, Inc.*		100		1,778
Total Real Estate Management & Development				3,286
Road & Rail 0.3%
Canadian National Railway Co.		19		1,490
Canadian Pacific Railway Ltd.		26		1,609
CSX Corp.		72		1,599
Hertz Global Holdings, Inc.*		142		1,647
J.B. Hunt Transport Services, Inc.		40		1,692
Norfolk Southern Corp.		28		2,072
Union Pacific Corp.		21		2,091
Total Road & Rail				12,200
Semiconductors & Semiconductor Equipment 0.9%
Advanced Micro Devices, Inc.*		230		1,341
Altera Corp.		47		1,782
Analog Devices, Inc.		46		1,682
Applied Materials, Inc.		138		1,700
Avago Technologies Ltd.		46		1,553
Broadcom Corp. — Class A*		47		1,696
Cree, Inc.*		53		1,412
First Solar, Inc.*		12		597
Intel Corp.		79		1,939
KLA-Tencor Corp.		48		2,260
Lam Research Corp.*		39		1,677
Linear Technology Corp.		60		1,939
LSI Corp.*		231		1,444
Marvell Technology Group Ltd.*		117		1,637
Maxim Integrated Products, Inc.		64		1,674
Microchip Technology, Inc.		45		1,627
Micron Technology, Inc.*		256		1,431
NVIDIA Corp.*		108		1,598
Texas Instruments, Inc.		57		1,752
Xilinx, Inc.		54		1,807
Total Semiconductors & Semiconductor Equipment				32,548
Software 0.8%
Activision Blizzard, Inc.		130		1,741
Adobe Systems, Inc.*		56		1,647
Autodesk, Inc.*		59		2,041
BMC Software, Inc.*		39		1,356
CA, Inc.		80		1,733
Citrix Systems, Inc.*		25		1,821
Electronic Arts, Inc.*		73		1,705
Intuit, Inc.		33		1,771
Microsoft Corp.		58		1,544
Nuance Communications, Inc.*		85		2,251
Oracle Corp.		60		1,966
Red Hat, Inc.*		39		1,936
Salesforce.com, Inc.*		13		1,731
Symantec Corp.*		91		1,548

See Notes to Financial Statements.

ANNUAL REPORT 129

RYDEX MSCI ACWI EQUAL WEIGHT ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Synopsys, Inc.*		58		$1,555
VMware, Inc. — Class A*		21		2,053
Total Software				28,399
Specialty Retail 0.9%
Abercrombie & Fitch Co. — Class A		27		2,009
Advance Auto Parts, Inc.		27		1,757
AutoZone, Inc.*		7		2,265
Bed Bath & Beyond, Inc.*		26		1,608
Best Buy Co., Inc.		57		1,495
CarMax, Inc.*		61		1,834
GameStop Corp. — Class A*		64		1,636
Gap, Inc.(The)		91		1,720
Home Depot, Inc.		46		1,647
Limited Brands, Inc.		39		1,666
Lowe’s Cos., Inc.		78		1,640
O’Reilly Automotive, Inc.*		28		2,129
PetSmart, Inc.		41		1,925
Ross Stores, Inc.		19		1,667
Staples, Inc.		113		1,690
Tiffany & Co.		19		1,515
TJX Cos., Inc.		25		1,473
Urban Outfitters, Inc.*		58		1,580
Total Specialty Retail				31,256
Textiles, Apparel & Luxury Goods 0.3%
Coach, Inc.		25		1,627
Fossil, Inc.*		11		1,140
Gildan Activewear, Inc.		59		1,521
Lululemon Athletica, Inc.*		26		1,469
NIKE, Inc. — Class B		21		2,023
Ralph Lauren Corp.		14		2,223
V.F. Corp.		13		1,797
Total Textiles, Apparel & Luxury Goods				11,800
Thrifts & Mortgage Finance 0.1%
Hudson City Bancorp, Inc.		254		1,588
New York Community Bancorp, Inc.		125		1,664
People’s United Financial, Inc.		139		1,772
Total Thrifts & Mortgage Finance				5,024
Tobacco 0.2%
Altria Group, Inc.		60		1,653
Lorillard, Inc.		13		1,439
Philip Morris International, Inc.		28		1,956
Reynolds American, Inc.		48		1,857
Total Tobacco				6,905
Trading Companies & Distributors 0.1%
Fastenal Co.		46		1,752
W.W. Grainger, Inc.		10		1,713
Total Trading Companies & Distributors				3,465
Water Utilities 0.0%(b)
American Water Works Co., Inc.		53		1,618
Total Water Utilities				1,618
Wireless Telecommunication Services 0.3%
American Tower Corp. — Class A*		25		1,377
Crown Castle International Corp.*		41		1,696
MetroPCS Communications, Inc.*		133		1,130
NII Holdings, Inc.*		39		918
Rogers Communications, Inc. — Class B		39		1,418
SBA Communications Corp. — Class A*		48		1,828
Sprint Nextel Corp.*		437		1,123
Total Wireless Telecommunication Services				9,490
Total Common Stocks (Cost $1,062,965)				1,023,024
EXCHANGE TRADED FUNDS 69.8%
Rydex MSCI EAFE Equal Weight ETF†		36,992		1,368,704
Rydex MSCI Emerging Markets Equal Weight ETF†		33,275		1,135,010
Total Exchange Traded Funds (Cost $2,701,312)				2,503,714
SHORT TERM INVESTMENTS 1.7%
SSgA Government Money Market Fund		59,788		59,788
Total Short Term Investments (Cost $59,788)				59,788
Total Investments 100.0%(a) (Cost $3,824,065)				3,586,526
Other Assets in Excess of Liabilities—0.0%(b)				1,524
Net Assets—100.0%				$3,588,050

*	Non-Income Producing Security.
†	Investment in an affiliated issuer.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

INVESTMENT CONCENTRATION

At October 31, 2011, the investment diversification of the Fund was as follows:

	% of Total
Country	Investments
International		69.81%
United States		26.95%
Canada		1.82%
Bermuda		0.42%
Ireland		0.37%
Switzerland		0.33%
Singapore		0.09%
Netherlands		0.08%
Liberia		0.05%
Panama		0.04%
Netherlands Antilles		0.04%
Total Investments		100.00%

See Notes to Financial Statements.

130

RYDEX S&P 500 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.6%
Auto Components 2.9%
Goodyear Tire & Rubber Co.(The)*		23,869		$342,759
Johnson Controls, Inc.		8,713		286,919
Total Auto Components				629,678
Automobiles 2.7%
Ford Motor Co.*		25,145		293,694
Harley-Davidson, Inc.		7,075		275,217
Total Automobiles				568,911
Distributors 1.3%
Genuine Parts Co.		4,985		286,289
Total Distributors				286,289
Diversified Consumer Services 3.7%
Apollo Group, Inc. — Class A*		5,546		262,603
DeVry, Inc.		6,262		235,952
H&R Block, Inc.		18,678		285,587
Total Diversified Consumer Services				784,142
Hotels, Restaurants & Leisure 14.3%
Carnival Corp.		7,907		278,406
Chipotle Mexican Grill, Inc.*		836		280,996
Darden Restaurants, Inc.		5,813		278,326
International Game Technology		17,541		308,546
Marriott International, Inc. — Class A		9,145		288,068
McDonald’s Corp.		2,981		276,786
Starbucks Corp.		6,751		285,837
Starwood Hotels & Resorts Worldwide, Inc.		5,875		294,396
Wyndham Worldwide Corp.		8,351		281,178
Wynn Resorts Ltd.		1,761		233,861
Yum! Brands, Inc.		4,921		263,618
Total Hotels, Restaurants & Leisure				3,070,018
Household Durables 9.7%
DR Horton, Inc.		27,144		302,113
Harman International Industries, Inc.		7,841		338,417
Leggett & Platt, Inc.		12,237		267,990
Lennar Corp. — Class A		18,987		314,045
Newell Rubbermaid, Inc.		20,252		299,730
Pulte Homes, Inc.*		58,790		304,532
Whirlpool Corp.		4,832		245,514
Total Household Durables				2,072,341
Internet & Catalog Retail 4.0%
Amazon.com, Inc.*		1,140		243,401
Expedia, Inc.		8,916		234,134
Netflix, Inc.*		1,623		133,216
priceline.com, Inc.*		501		254,368
Total Internet & Catalog Retail				865,119
Leisure Equipment & Products 2.6%
Hasbro, Inc.		7,264		276,468
Mattel, Inc.		9,750		275,340
Total Leisure Equipment & Products				551,808
Media 20.3%
Cablevision Systems Corp. — Class A		14,725		213,071
CBS Corp. — Class B		11,087		286,155
Comcast Corp. — Class A		11,582		271,598
DIRECTV — Class A*		6,017		273,533
Discovery Communications, Inc. — Class A*		6,573		285,663
Gannett Co., Inc.		26,131		305,471
Interpublic Group of Cos., Inc.(The)		33,067		313,475
McGraw-Hill Cos., Inc.(The)		5,790		246,075
News Corp. — Class A		15,684		274,784
Omnicom Group, Inc.		6,641		295,392
Scripps Networks Interactive, Inc. — Class A		6,154		261,422
Time Warner Cable, Inc.		4,063		258,772
Time Warner, Inc.		8,574		300,004
Viacom, Inc. — Class B		5,638		247,226
Walt Disney Co.(The)		8,018		279,668
Washington Post Co.(The) — Class B		748		254,440
Total Media				4,366,749
Multiline Retail 10.9%
Big Lots, Inc.*		7,848		295,791
Family Dollar Stores, Inc.		4,889		286,642
J.C. Penney Co., Inc.		9,388		301,167
Kohl’s Corp.		5,500		291,555
Macy’s, Inc.		9,469		289,088
Nordstrom, Inc.		5,530		280,316
Sears Holdings Corp.*		4,220		329,920
Target Corp.		4,964		271,779
Total Multiline Retail				2,346,258
Specialty Retail 21.8%
Abercrombie & Fitch Co. — Class A		3,875		288,300
AutoNation, Inc.*		6,987		272,074
AutoZone, Inc.*		792		256,283
Bed Bath & Beyond, Inc.*		4,374		270,488
Best Buy Co., Inc.		10,317		270,615
CarMax, Inc.*		8,933		268,526
GameStop Corp. — Class A*		10,616		271,451
Gap, Inc.(The)		15,365		290,398
Home Depot, Inc.		7,589		271,686
Limited Brands, Inc.		6,577		280,904
Lowe’s Cos., Inc.		13,019		273,659
O’Reilly Automotive, Inc.*		3,673		279,332
Ross Stores, Inc.		3,244		284,596
Staples, Inc.		17,849		267,021
Tiffany & Co.		3,519		280,570
TJX Cos., Inc.		4,634		273,082
Urban Outfitters, Inc.*		10,530		286,943
Total Specialty Retail				4,685,928
Textiles, Apparel & Luxury Goods 5.4%
Coach, Inc.		4,460		290,212
NIKE, Inc. — Class B		2,951		284,329
Ralph Lauren Corp.		1,809		287,251
V.F. Corp.		2,121		293,165
Total Textiles, Apparel & Luxury Goods				1,154,957
Total Common Stocks (Cost $20,250,969)				21,382,198
SHORT TERM INVESTMENTS 0.4%
SSgA Government Money Market Fund		78,144		78,144
Total Short Term Investments (Cost $78,144)				78,144
Total Investments 100.0%(a) (Cost $20,329,113)				21,460,342
Other Assets in Excess of Liabilities—0.0%(b)				6,396
Net Assets—100.0%				$21,466,738

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 131

RYDEX S&P 500 EQUAL WEIGHT CONSUMER STAPLES ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.8%
Beverages 19.1%
Beam, Inc.		16,383		$809,812
Brown-Forman Corp. — Class B		10,189		761,424
Coca-Cola Co.(The)		10,028		685,113
Coca-Cola Enterprises, Inc.		26,094		699,841
Constellation Brands, Inc. — Class A*		37,191		752,002
Dr Pepper Snapple Group, Inc.		18,737		701,701
Molson Coors Brewing Co. — Class B		16,636		704,368
PepsiCo, Inc.		11,512		724,680
Total Beverages				5,838,941
Food & Staples Retailing 21.5%
Costco Wholesale Corp.		8,470		705,128
CVS Caremark Corp.		19,660		713,658
Kroger Co.(The)		31,651		733,670
Safeway, Inc.		39,704		769,066
SUPERVALU, Inc.		92,715		743,574
Sysco Corp.		26,018		721,219
Wal-Mart Stores, Inc.		13,491		765,210
Walgreen Co.		19,281		640,129
Whole Foods Market, Inc.		10,391		749,399
Total Food & Staples Retailing				6,541,053
Food Products 36.2%
Archer-Daniels-Midland Co.		25,140		727,552
Campbell Soup Co.		22,740		756,105
ConAgra Foods, Inc.		29,952		758,684
Dean Foods Co.*		79,156		769,396
General Mills, Inc.		18,867		726,945
H.J. Heinz Co.		13,938		744,847
Hershey Co.(The)		12,078		691,224
Hormel Foods Corp.		25,551		752,988
J.M. Smucker Co.(The)		9,665		744,398
Kellogg Co.		13,284		720,126
Kraft Foods, Inc. — Class A		20,431		718,763
McCormick & Co., Inc.		15,175		736,898
Mead Johnson Nutrition Co.		9,383		674,168
Sara Lee Corp.		40,867		727,433
Tyson Foods, Inc. — Class A		41,080		792,844
Total Food Products				11,042,371
Household Products 9.2%
Clorox Co.		10,291		688,879
Colgate-Palmolive Co.		7,703		696,120
Kimberly-Clark Corp.		10,277		716,410
Procter & Gamble Co.		11,183		715,600
Total Household Products				2,817,009
Personal Products 4.3%
Avon Products, Inc.		32,836		600,242
Estee Lauder Cos., Inc. — Class A		7,101		699,094
Total Personal Products				1,299,336
Tobacco 9.5%
Altria Group, Inc.		26,616		733,271
Lorillard, Inc.		6,388		706,896
Philip Morris International, Inc.		10,377		725,041
Reynolds American, Inc.		18,908		731,361
Total Tobacco				2,896,569
Total Common Stocks (Cost $28,006,480)				30,435,279
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		49,529		49,529
Total Short Term Investments (Cost $49,529)				49,529
Total Investments 99.9%(a) (Cost $28,056,009)				30,484,808
Other Assets in Excess of Liabilities—0.1%				22,366
Net Assets—100.0%				$30,507,174

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

See Notes to Financial Statements.

132

RYDEX S&P 500 EQUAL WEIGHT ENERGY ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Energy Equipment & Services 25.3%
Baker Hughes, Inc.		13,907		$806,467
Cameron International Corp.*		15,467		760,048
Diamond Offshore Drilling, Inc.		12,849		842,124
FMC Technologies, Inc.*		18,809		843,019
Halliburton Co.		20,523		766,739
Helmerich & Payne, Inc.		15,345		816,047
Nabors Industries Ltd.*		44,590		817,335
National-Oilwell Varco, Inc.		12,557		895,691
Noble Corp.		23,070		829,136
Rowan Cos., Inc.*		21,610		745,329
Schlumberger Ltd.		11,092		814,929
Total Energy Equipment & Services				8,936,864
Oil, Gas & Consumable Fuels 74.6%
Alpha Natural Resources, Inc.*		27,755		667,230
Anadarko Petroleum Corp.		11,030		865,855
Apache Corp.		8,390		835,896
Cabot Oil & Gas Corp.		11,546		897,355
Chesapeake Energy Corp.		25,940		729,433
Chevron Corp.		8,239		865,507
ConocoPhillips		12,219		851,053
CONSOL Energy, Inc.		19,028		813,637
Denbury Resources, Inc.*		56,525		887,443
Devon Energy Corp.		12,520		813,174
El Paso Corp.		41,978		1,049,870
EOG Resources, Inc.		9,045		808,894
EQT Corp.		13,391		850,329
Exxon Mobil Corp.		11,034		861,645
Hess Corp.		13,290		831,422
Marathon Oil Corp.		32,115		835,953
Marathon Petroleum Corp.		23,264		835,178
Murphy Oil Corp.		15,677		868,036
Newfield Exploration Co.*		16,517		664,974
Noble Energy, Inc.		9,946		888,576
Occidental Petroleum Corp.		9,824		913,043
Peabody Energy Corp.		17,646		765,307
Pioneer Natural Resources Co.		10,362		869,372
QEP Resources, Inc.		24,174		859,386
Range Resources Corp.		12,941		890,858
Southwestern Energy Co.*		21,019		883,639
Spectra Energy Corp.		31,315		896,548
Sunoco, Inc.		21,904		815,486
Tesoro Corp.*		34,500		894,930
Valero Energy Corp.		36,969		909,437
Williams Cos., Inc.(The)		30,127		907,124
Total Oil, Gas & Consumable Fuels				26,326,590
Total Common Stocks (Cost $41,062,236)				35,263,454
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		17,483		17,483
Total Short Term Investments (Cost $17,483)				17,483
Total Investments 100.0%(a) (Cost $41,079,719)				35,280,937
Other Assets in Excess of Liabilities—0.0%(b)				6,537
Net Assets—100.0%				$35,287,474

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 133

RYDEX S&P 500 EQUAL WEIGHT FINANCIALS ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.8%
Capital Markets 18.2%
Ameriprise Financial, Inc.		4,538		$211,834
Bank of New York Mellon Corp.(The)		9,637		205,075
BlackRock, Inc.		1,270		200,393
Charles Schwab Corp.(The)		16,403		201,429
E*Trade Financial Corp.*		17,657		191,578
Federated Investors, Inc. — Class B		11,521		225,120
Franklin Resources, Inc.		1,711		182,444
Goldman Sachs Group, Inc.(The)		1,890		207,050
Invesco Ltd.		11,182		224,423
Janus Capital Group, Inc.		29,592		194,124
Legg Mason, Inc.		6,917		190,218
Morgan Stanley		12,441		219,459
Northern Trust Corp.		5,473		221,492
State Street Corp.		5,863		236,807
T. Rowe Price Group, Inc.		3,849		203,381
Total Capital Markets				3,114,827
Commercial Banks 16.0%
BB&T Corp.		8,999		210,037
Comerica, Inc.		8,205		209,638
Fifth Third Bancorp		19,283		231,589
First Horizon National Corp.		30,397		212,475
Huntington Bancshares, Inc.		39,709		205,693
KeyCorp		31,104		219,594
M&T Bank Corp.		2,746		208,998
PNC Financial Services Group, Inc.		3,943		211,778
Regions Financial Corp.		51,127		200,929
SunTrust Banks, Inc.		10,210		201,443
US Bancorp		8,464		216,594
Wells Fargo & Co.		8,138		210,856
Zions Bancorp		11,917		206,879
Total Commercial Banks				2,746,503
Consumer Finance 4.7%
American Express Co.		4,041		204,555
Capital One Financial Corp.		4,686		213,963
Discover Financial Services		7,591		178,844
SLM Corp.		15,119		206,677
Total Consumer Finance				804,039
Diversified Financial Services 10.8%
Bank of America Corp.		28,023		191,397
Citigroup, Inc.		7,083		223,752
CME Group, Inc. — Class A		750		206,670
IntercontinentalExchange, Inc.*		1,624		210,925
JPMorgan Chase & Co.		6,050		210,298
Leucadia National Corp.		7,055		189,286
Moody’s Corp.		6,221		220,783
Nasdaq OMX Group, Inc.(The)*		8,040		201,402
NYSE Euronext		7,196		191,198
Total Diversified Financial Services				1,845,711
Insurance 27.8%
ACE Ltd.		3,240		233,766
AFLAC, Inc.		5,555		250,475
Allstate Corp.(The)		8,089		213,064
American International Group, Inc.*		8,122		200,532
Aon Corp.		4,622		215,478
Assurant, Inc.		5,657		218,021
Berkshire Hathaway, Inc. — Class B*		2,820		219,565
Chubb Corp.(The)		3,354		224,886
Cincinnati Financial Corp.		7,259		210,076
Genworth Financial, Inc. — Class A*		33,156		211,535
Hartford Financial Services Group, Inc.		10,670		205,398
Lincoln National Corp.		10,427		198,634
Loews Corp.		5,375		213,388
Marsh & McLennan Cos., Inc.		7,120		218,014
MetLife, Inc.		6,177		217,183
Principal Financial Group, Inc.		7,914		204,023
Progressive Corp.(The)		11,089		210,802
Prudential Financial, Inc.		3,944		213,765
Torchmark Corp.		5,422		221,923
Travelers Cos., Inc.(The)		4,018		234,450
Unum Group		8,755		208,719
XL Group PLC		10,133		220,291
Total Insurance				4,763,988
Real Estate Investment Trusts (REITs) 18.4%
Apartment Investment & Management Co. — Class A		7,551		186,283
AvalonBay Communities, Inc.		1,565		209,225
Boston Properties, Inc.		1,965		194,515
Equity Residential		3,482		204,324
HCP, Inc.		5,463		217,701
Health Care REIT, Inc.		4,006		211,076
Host Hotels & Resorts, Inc.		16,927		241,548
Kimco Realty Corp.		12,177		212,732
Plum Creek Timber Co., Inc.		5,491		206,791
ProLogis, Inc.		7,373		219,420
Public Storage		1,655		213,578
Simon Property Group, Inc.		1,699		218,220
Ventas, Inc.		3,805		211,596
Vornado Realty Trust		2,359		195,349
Weyerhaeuser Co.		11,475		206,320
Total Real Estate Investment Trusts (REITs)				3,148,678
Real Estate Management & Development 1.4%
CBRE Group, Inc.*		13,404		238,323
Total Real Estate Management & Development				238,323
Thrifts & Mortgage Finance 2.5%
Hudson City Bancorp, Inc.		34,172		213,575
People’s United Financial, Inc.		16,550		211,012
Total Thrifts & Mortgage Finance				424,587
Total Common Stocks (Cost $18,834,632)				17,086,656
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market Fund		39,483		39,483
Total Short Term Investments (Cost $39,483)				39,483
Total Investments 100.0%(a) (Cost $18,874,115)				17,126,139
Other Assets in Excess of Liabilities—0.0%(b)				7,066
Net Assets—100.0%				$17,133,205

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

134

RYDEX S&P 500 EQUAL WEIGHT HEALTH CARE ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.8%
Biotechnology 8.3%
Amgen, Inc.		18,258		$1,045,635
Biogen Idec, Inc.*		10,225		1,189,781
Celgene Corp.*		16,913		1,096,470
Gilead Sciences, Inc.*		25,535		1,063,788
Total Biotechnology				4,395,674
Health Care Equipment & Supplies 27.0%
Baxter International, Inc.		18,299		1,006,079
Becton, Dickinson and Co.		13,369		1,045,857
Boston Scientific Corp.*		158,037		930,838
C.R. Bard, Inc.		11,277		969,258
CareFusion Corp.*		41,914		1,072,998
Covidien PLC		21,419		1,007,550
DENTSPLY International, Inc.		30,003		1,108,911
Edwards Lifesciences Corp.*		13,472		1,016,058
Intuitive Surgical, Inc.*		2,645		1,147,560
Medtronic, Inc.		29,671		1,030,770
St Jude Medical, Inc.		23,783		927,537
Stryker Corp.		20,925		1,002,517
Varian Medical Systems, Inc.*		19,176		1,126,015
Zimmer Holdings, Inc.*		18,203		958,024
Total Health Care Equipment & Supplies				14,349,972
Health Care Providers & Services 32.1%
Aetna, Inc.		25,002		994,079
AmerisourceBergen Corp.		26,372		1,075,978
Cardinal Health, Inc.		24,131		1,068,279
CIGNA Corp.		22,353		991,132
Coventry Health Care, Inc.*		30,616		973,895
DaVita, Inc.*		14,176		992,320
Express Scripts, Inc.*		25,141		1,149,698
Humana, Inc.		13,114		1,113,247
Laboratory Corp. of America Holdings*		12,427		1,042,004
McKesson Corp.		13,562		1,105,981
Medco Health Solutions, Inc.*		20,647		1,132,694
Patterson Cos., Inc.		36,963		1,163,226
Quest Diagnostics, Inc.		21,122		1,178,608
Tenet Healthcare Corp.*		217,183		1,027,276
UnitedHealth Group, Inc.		20,491		983,363
WellPoint, Inc.		15,374		1,059,269
Total Health Care Providers & Services				17,051,049
Health Care Technology 1.8%
Cerner Corp.*		15,325		972,065
Total Health Care Technology				972,065
Life Sciences Tools & Services 9.5%
Agilent Technologies, Inc.*		28,506		1,056,717
Life Technologies Corp.*		25,415		1,033,628
PerkinElmer, Inc.		49,122		1,015,352
Thermo Fisher Scientific, Inc.*		18,987		954,477
Waters Corp.*		12,566		1,006,788
Total Life Sciences Tools & Services				5,066,962
Pharmaceuticals 21.1%
Abbott Laboratories		19,903		1,072,175
Allergan, Inc.		12,476		1,049,481
Bristol-Myers Squibb Co.		34,048		1,075,576
Eli Lilly & Co.		27,438		1,019,596
Forest Laboratories, Inc.*		31,179		975,903
Hospira, Inc.*		26,167		822,952
Johnson & Johnson, Inc.		16,015		1,031,206
Merck & Co., Inc.		31,619		1,090,856
Mylan, Inc.*		50,085		980,163
Pfizer, Inc.		56,586		1,089,846
Watson Pharmaceuticals, Inc.*		15,376		1,032,652
Total Pharmaceuticals				11,240,406
Total Common Stocks (Cost $55,392,482)				53,076,128
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market Fund		109,893		109,893
Total Short Term Investments (Cost $109,893)				109,893
Total Investments 100.0%(a) (Cost $55,502,375)				53,186,021
Other Assets in Excess of Liabilities—0.0%(b)				9,652
Net Assets—100.0%				$53,195,673

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.1% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 135

RYDEX S&P 500 EQUAL WEIGHT INDUSTRIALS ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 100.0%
Aerospace & Defense 20.2%
Boeing Co.(The)		3,766		$247,765
General Dynamics Corp.		4,043		259,520
Goodrich Corp.		2,749		337,110
Honeywell International, Inc.		5,248		274,995
L-3 Communications Holdings, Inc.		3,660		248,075
Lockheed Martin Corp.		3,271		248,269
Northrop Grumman Corp.		4,490		259,297
Precision Castparts Corp.		1,446		235,915
Raytheon Co.		5,820		257,186
Rockwell Collins, Inc.		4,428		247,215
Textron, Inc.		12,868		249,897
United Technologies Corp.		3,257		253,981
Total Aerospace & Defense				3,119,225
Air Freight & Logistics 6.6%
C.H. Robinson Worldwide, Inc.		3,501		243,074
Expeditors International of Washington, Inc.		5,515		251,484
FedEx Corp.		3,231		264,393
United Parcel Service, Inc. — Class B		3,723		261,504
Total Air Freight & Logistics				1,020,455
Airlines 1.5%
Southwest Airlines Co.		27,665		236,536
Total Airlines				236,536
Building Products 1.9%
Masco Corp.		30,851		296,170
Total Building Products				296,170
Commercial Services & Supplies 12.6%
Avery Dennison Corp.		8,807		234,266
Cintas Corp.		7,782		232,604
Iron Mountain, Inc.		7,261		224,583
Pitney Bowes, Inc.		12,021		244,988
R.R. Donnelley & Sons Co.		16,397		267,271
Republic Services, Inc.		8,537		242,963
Stericycle, Inc.*		2,926		244,555
Waste Management, Inc.		7,696		253,429
Total Commercial Services & Supplies				1,944,659
Construction & Engineering 4.9%
Fluor Corp.		4,035		229,390
Jacobs Engineering Group, Inc.*		6,710		260,348
Quanta Services, Inc.*		13,045		272,510
Total Construction & Engineering				762,248
Electrical Equipment 5.2%
Emerson Electric Co.		5,348		257,346
Rockwell Automation, Inc.		4,092		276,824
Roper Industries, Inc.		3,226		261,628
Total Electrical Equipment				795,798
Industrial Conglomerates 6.4%
3M Co.		3,041		240,300
Danaher Corp.		5,322		257,319
General Electric Co.		15,084		252,053
Tyco International Ltd.		5,386		245,332
Total Industrial Conglomerates				995,004
Machinery 25.3%
Caterpillar, Inc.		2,840		268,266
Cummins, Inc.		2,515		250,067
Deere & Co.		3,137		238,098
Dover Corp.		4,658		258,659
Eaton Corp.		6,051		271,206
Flowserve Corp.		2,760		255,824
Illinois Tool Works, Inc.		5,383		261,775
Ingersoll-Rand PLC		6,846		213,116
Joy Global, Inc.		3,007		262,210
PACCAR, Inc.		6,461		279,374
Pall Corp.		5,488		280,821
Parker Hannifin Corp.		3,489		284,528
Snap-on, Inc.		4,747		254,772
Stanley Black & Decker, Inc.		4,275		272,959
Xylem, Inc.*		9,342		249,805
Total Machinery				3,901,480
Professional Services 5.2%
Dun & Bradstreet Corp.(The)		3,716		248,452
Equifax, Inc.		7,656		269,108
Robert Half International, Inc.		10,917		288,536
Total Professional Services				806,096
Road & Rail 6.8%
CSX Corp.		11,535		256,192
Norfolk Southern Corp.		3,481		257,559
Ryder System, Inc.		5,383		274,210
Union Pacific Corp.		2,671		265,952
Total Road & Rail				1,053,913
Trading Companies & Distributors 3.4%
Fastenal Co.		6,806		259,241
W.W. Grainger, Inc.		1,520		260,391
Total Trading Companies & Distributors				519,632
Total Common Stocks (Cost $15,598,394)				15,451,216
SHORT TERM INVESTMENTS 0.0%(b)
SSgA Government Money Market Fund		3,641		3,641
Total Short Term Investments (Cost $3,641)				3,641
Total Investments 100.0%(a) (Cost $15,602,035)				15,454,857
Liabilities in Excess of Other Assets—0.0%(b)				(4,446	)
Net Assets—100.0%				$15,450,411

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

136

RYDEX S&P 500 EQUAL WEIGHT MATERIALS ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.8%
Chemicals 49.6%
Air Products & Chemicals, Inc.		14,377		$1,238,435
Airgas, Inc.		18,208		1,255,442
CF Industries Holdings, Inc.		6,738		1,093,375
Dow Chemical Co.(The)		41,978		1,170,347
Du Pont (E.I.) de Nemours & Co.		25,229		1,212,758
Eastman Chemical Co.		31,226		1,226,870
Ecolab, Inc.		22,775		1,226,206
FMC Corp.		15,419		1,216,405
International Flavors & Fragrances, Inc.		19,703		1,193,214
Monsanto Co.		16,855		1,226,201
Mosaic Co.(The)		20,003		1,171,376
PPG Industries, Inc.		15,113		1,305,914
Praxair, Inc.		11,805		1,200,214
Sherwin-Williams Co.(The)		15,701		1,298,630
Sigma-Aldrich Corp.		18,161		1,189,182
Total Chemicals				18,224,569
Construction Materials 3.0%
Vulcan Materials Co.		35,487		1,110,388
Total Construction Materials				1,110,388
Containers & Packaging 12.6%
Ball Corp.		34,357		1,187,721
Bemis Co., Inc.		38,088		1,070,654
Owens-Illinois, Inc.*		64,106		1,287,248
Sealed Air Corp.		62,111		1,105,576
Total Containers & Packaging				4,651,199
Metals & Mining 28.2%
AK Steel Holding Corp.		138,469		1,153,447
Alcoa, Inc.		99,075		1,066,047
Allegheny Technologies, Inc.		25,023		1,161,067
Cliffs Natural Resources, Inc.		15,119		1,031,418
Freeport-McMoRan Copper & Gold, Inc.		28,154		1,133,480
Newmont Mining Corp.		18,155		1,213,298
Nucor Corp.		33,910		1,281,120
Titanium Metals Corp.		74,969		1,255,731
United States Steel Corp.		42,355		1,074,123
Total Metals & Mining				10,369,731
Paper & Forest Products 6.4%
International Paper Co.		42,249		1,170,297
MeadWestvaco Corp.		42,325		1,181,291
Total Paper & Forest Products				2,351,588
Total Common Stocks (Cost $33,587,097)				36,707,475
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market Fund		50,237		50,237
Total Short Term Investments (Cost $50,237)				50,237
Total Investments 100.0%(a) (Cost $33,637,334)				36,757,712
Other Assets in Excess of Liabilities—0.0%(b)				12,943
Net Assets—100.0%				$36,770,655

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 137

RYDEX S&P 500 EQUAL WEIGHT TECHNOLOGY ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Communications Equipment 12.0%
Cisco Systems, Inc.		84,042		$1,557,299
F5 Networks, Inc.*		16,778		1,744,073
Harris Corp.		34,320		1,295,580
JDS Uniphase Corp.*		105,864		1,270,368
Juniper Networks, Inc.*		69,409		1,698,438
Motorola Mobility Holdings, Inc.*		36,707		1,427,168
Motorola Solutions, Inc.		31,531		1,479,119
QUALCOMM, Inc.		26,085		1,345,986
Tellabs, Inc.		312,829		1,354,550
Total Communications Equipment				13,172,581
Computers & Peripherals 10.8%
Apple, Inc.*		3,494		1,414,301
Dell, Inc.*		92,282		1,458,978
EMC Corp.*		61,849		1,515,919
Hewlett-Packard Co.		59,941		1,595,030
Lexmark International, Inc. — Class A*		44,443		1,408,843
NetApp, Inc.*		37,278		1,526,907
SanDisk Corp.*		32,738		1,658,835
Western Digital Corp.*		46,922		1,250,002
Total Computers & Peripherals				11,828,815
Electronic Equipment, Instruments & Components 8.2%
Amphenol Corp. — Class A		31,468		1,494,415
Corning, Inc.		100,447		1,435,388
FLIR Systems, Inc.		50,166		1,319,366
Jabil Circuit, Inc.		80,631		1,657,773
Molex, Inc.		65,220		1,610,282
TE Connectivity Ltd.		42,032		1,494,237
Total Electronic Equipment, Instruments & Components				9,011,461
Internet Software & Services 8.2%
Akamai Technologies, Inc.*		62,275		1,677,689
eBay, Inc.*		42,641		1,357,263
Google, Inc. — Class A*		2,560		1,517,158
Monster Worldwide, Inc.*		157,016		1,449,258
VeriSign, Inc.		47,938		1,538,330
Yahoo!, Inc.*		91,498		1,431,029
Total Internet Software & Services				8,970,727
IT Services 19.0%
Accenture PLC — Class A		25,970		1,564,952
Automatic Data Processing, Inc.		27,611		1,444,884
Cognizant Technology Solutions Corp. — Class A*		21,608		1,571,982
Computer Sciences Corp.		47,999		1,510,049
Fidelity National Information Services, Inc.		53,300		1,395,394
Fiserv, Inc.*		25,742		1,515,432
International Business Machines Corp.		8,200		1,513,966
Mastercard, Inc. — Class A		4,032		1,400,072
Paychex, Inc.		51,556		1,502,342
SAIC, Inc.*		107,315		1,333,925
Teradata Corp.*		27,099		1,616,726
Total System Services, Inc.		76,232		1,516,254
Visa, Inc. — Class A		15,410		1,437,137
Western Union Co.(The)		85,024		1,485,369
Total IT Services				20,808,484
Office Electronics 1.3%
Xerox Corp.		174,617		1,428,367
Total Office Electronics				1,428,367
Semiconductors & Semiconductor Equipment 22.8%
Advanced Micro Devices, Inc.*		193,212		1,126,426
Altera Corp.		36,238		1,374,145
Analog Devices, Inc.		40,417		1,478,050
Applied Materials, Inc.		120,361		1,482,848
Broadcom Corp. — Class A*		39,168		1,413,573
First Solar, Inc.*		16,181		805,328
Intel Corp.		63,947		1,569,259
KLA-Tencor Corp.		35,556		1,674,332
Linear Technology Corp.		45,726		1,477,407
LSI Corp.*		209,141		1,307,131
MEMC Electronic Materials, Inc.*		200,513		1,201,073
Microchip Technology, Inc.		40,352		1,459,128
Micron Technology, Inc.*		199,313		1,114,160
Novellus Systems, Inc.*		46,091		1,592,444
NVIDIA Corp.*		89,583		1,325,829
Teradyne, Inc.*		110,576		1,583,448
Texas Instruments, Inc.		50,167		1,541,632
Xilinx, Inc.		43,794		1,465,347
Total Semiconductors & Semiconductor Equipment				24,991,560
Software 17.6%
Adobe Systems, Inc.*		54,751		1,610,227
Autodesk, Inc.*		47,769		1,652,807
BMC Software, Inc.*		33,222		1,154,797
CA, Inc.		65,652		1,422,022
Citrix Systems, Inc.*		24,346		1,773,119
Compuware Corp.*		165,314		1,396,903
Electronic Arts, Inc.*		61,229		1,429,697
Intuit, Inc.		28,592		1,534,533
Microsoft Corp.		51,536		1,372,404
Oracle Corp.		47,947		1,571,223
Red Hat, Inc.*		34,229		1,699,470
Salesforce.com, Inc.*		10,476		1,395,089
Symantec Corp.*		79,861		1,358,436
Total Software				19,370,727
Total Common Stocks (Cost $110,361,815)				109,582,722
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		100,077		100,077
Total Short Term Investments (Cost $100,077)				100,077
Total Investments 100.0%(a) (Cost $110,461,892)				109,682,799
Other Assets in Excess of Liabilities—0.0%(b)				2,526
Net Assets—100.0%				$109,685,325

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

138

RYDEX S&P 500 EQUAL WEIGHT UTILITIES ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.5%
Diversified Telecommunication Services 11.8%
AT&T, Inc.		27,223		$797,906
CenturyTel, Inc.		22,659		798,956
Frontier Communications Corp.		110,658		692,719
Verizon Communications, Inc.		21,426		792,334
Windstream Corp.		60,555		736,954
Total Diversified Telecommunication Services				3,818,869
Electric Utilities 32.2%
American Electric Power Co., Inc.		20,819		817,770
Duke Energy Corp.		39,952		815,820
Edison International		20,731		841,679
Entergy Corp.		11,911		823,884
Exelon Corp.		17,954		796,978
FirstEnergy Corp.		17,238		775,020
NextEra Energy, Inc.		14,140		797,496
Northeast Utilities		22,578		780,521
Pepco Holdings, Inc.		40,687		805,603
Pinnacle West Capital Corp.		17,692		806,401
PPL Corp.		27,056		794,635
Progress Energy, Inc.		15,428		803,799
Southern Co.		18,395		794,664
Total Electric Utilities				10,454,270
Gas Utilities 5.1%
Nicor, Inc.		14,142		795,488
Oneok, Inc.		11,409		867,654
Total Gas Utilities				1,663,142
Independent Power Producers & Energy Traders 7.1%
AES Corp.(The)*		70,826		794,667
Constellation Energy Group, Inc.		19,927		791,102
NRG Energy, Inc.*		33,028		707,460
Total Independent Power Producers & Energy Traders				2,293,229
Multi-Utilities 37.0%
Ameren Corp.		25,720		819,954
CenterPoint Energy, Inc.		39,065		814,115
CMS Energy Corp.		38,402		799,530
Consolidated Edison, Inc.		13,562		784,833
Dominion Resources, Inc.		15,697		809,808
DTE Energy Co.		15,432		804,161
Integrys Energy Group, Inc.		15,619		826,401
NiSource, Inc.		35,147		776,397
PG&E Corp.		18,411		789,832
Public Service Enterprise Group, Inc.		22,668		763,912
SCANA Corp.		19,482		823,699
Sempra Energy		14,693		789,455
TECO Energy, Inc.		42,169		783,078
Wisconsin Energy Corp.		24,531		795,540
Xcel Energy, Inc.		30,921		799,308
Total Multi-Utilities				11,980,023
Wireless Telecommunication Services 6.3%
American Tower Corp. — Class A*		14,400		793,440
MetroPCS Communications, Inc.*		76,809		652,877
Sprint Nextel Corp.*		232,209		596,777
Total Wireless Telecommunication Services				2,043,094
Total Common Stocks (Cost $30,896,068)				32,252,627
SHORT TERM INVESTMENTS 0.4%
SSgA Government Money Market Fund		125,410		125,410
Total Short Term Investments (Cost $125,410)				125,410
Total Investments 99.9%(a) (Cost $31,021,478)				32,378,037
Other Assets in Excess of Liabilities—0.1%				39,201
Net Assets—100.0%				$32,417,238

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

See Notes to Financial Statements.

ANNUAL REPORT 139

STATEMENTS OF ASSETS AND LIABILITIES October 31, 2011

				Rydex S&P			Rydex S&P
	Rydex S&P 500			MidCap 400			SmallCap 600			Rydex Russell
	Equal			Equal			Equal			MidCap® Equal
	Weight ETF			Weight ETF			Weight ETF			Weight ETF
Assets
Investments at Market Value*	$	3,062,303,166		$	2,825,418		$	5,639,255		$	54,498,084
Cash		—			—			—			84
Receivables:
Investments Sold		5,995,483			9,354			13,771			—
Fund Shares Sold		220,146,497			—			—			1,601,220
Dividends		2,024,122			1,462			1,828			25,293
Total Assets		3,290,469,268			2,836,234			5,654,854			56,124,681
Liabilities
Payables:
Investments Purchased		225,843,045			9,196			6,129			1,600,149
Accrued Management Fees		817,370			900			1,795			16,954
Total Liabilities		226,660,415			10,096			7,924			1,617,103
Net Assets	$	3,063,808,853		$	2,826,138		$	5,646,930		$	54,507,578
Net Assets Consist of:
Paid-in Capital	$	3,675,956,797		$	2,976,025		$	5,629,931		$	55,040,465
Undistributed Net Investment Income		818,113			1,484			2,570			36,985
Accumulated Net Realized Gain (Loss) on Investment Securities		(492,543,959	)		(8,710	)		(12,815	)		(278,705	)
Net Unrealized Appreciation (Depreciation) on Investment Securities and Foreign Currency		(120,422,098	)		(142,661	)		27,244			(291,167	)
Net Assets	$	3,063,808,853		$	2,826,138		$	5,646,930		$	54,507,578
Shares Outstanding (Unlimited Shares Authorized), No Par Value		65,508,863			100,000			200,000			1,750,000
Net Asset Value, Offering Price and Repurchase Price Per Share	$	46.77		$	28.26		$	28.23		$	31.15
*Total Cost of Investments	$	3,182,725,264		$	2,968,079		$	5,612,011		$	54,789,251

See Notes to Financial Statements.

140

STATEMENTS OF ASSETS AND LIABILITIES (continued) October 31, 2011

										Rydex MSCI
	Rydex Russell			Rydex Russell			Rydex MSCI			Emerging
	1000® Equal			2000® Equal			EAFE Equal			Markets Equal
	Weight ETF			Weight ETF			Weight ETF			Weight ETF
Assets
Investments at Market Value*	$	34,188,640		$	23,574,186		$	11,021,552		$	16,874,198
Foreign currency, at value (Cost $0, $221, $19,711 and $40,086, respectively)		—			206			20,092			40,198
Cash		—			215			230			—
Receivables:
Investments Sold		29,936			10,272			—			—
Fund Shares Sold		—			2,947,983			—			—
Dividends		17,397			7,808			56,774			8,864
Total Assets		34,235,973			26,540,670			11,098,648			16,923,260
Liabilities
Payables:
Investments Purchased		44,680			2,950,233			162			—
Accrued Management Fees		8,583			6,563			5,660			6,435
Capital Gains Tax		—			—			—			2,719
Total Liabilities		53,263			2,956,796			5,822			9,154
Net Assets	$	34,182,710		$	23,583,874		$	11,092,826		$	16,914,106
Net Assets Consist of:
Paid-in Capital	$	35,803,059		$	25,390,211		$	12,897,138		$	19,724,137
Undistributed (Distributions in Excess of) Net Investment Income		21,192			11,261			19,048			(372	)
Accumulated Net Realized Gain (Loss) on Investment Securities		(31,562	)		(271,718	)		(2,284	)		(560,467	)
Net Unrealized Appreciation (Depreciation) on Investment Securities and Foreign Currency		(1,609,979	)		(1,545,880	)		(1,821,076	)		(2,249,192	)
Net Assets	$	34,182,710		$	23,583,874		$	11,092,826		$	16,914,106
Shares Outstanding (Unlimited Shares Authorized), No Par Value		1,100,000			800,000			300,000			500,000
Net Asset Value, Offering Price and Repurchase Price Per Share	$	31.08		$	29.48		$	36.98		$	33.83
*Total Cost of Investments	$	35,798,619		$	25,120,051		$	12,842,092		$	19,120,735

See Notes to Financial Statements.

ANNUAL REPORT 141

STATEMENTS OF ASSETS AND LIABILITIES (continued) October 31, 2011

				Rydex S&P 500			Rydex S&P 500
	Rydex MSCI			Equal Weight			Equal Weight			Rydex S&P 500
	ACWI Equal			Consumer			Consumer			Equal Weight
	Weight ETF			Discretionary ETF			Staples ETF			Energy ETF
Assets
Investments at Market Value*	$	1,082,812		$	21,460,342		$	30,484,808		$	35,280,937
Investments in Affiliated Issuers, at Market Value**		2,503,714			—			—			—
Total Investments***		3,586,526			21,460,342			30,484,808			35,280,937
Cash		49			—			—			—
Receivables:
Investments Sold		730			—			—			—
Fund Shares Sold		—			2,385,193			—			—
Dividends		798			13,203			34,593			21,296
Total Assets		3,588,103			23,858,738			30,519,401			35,302,233
Liabilities
Payables:
Investments Purchased		—			2,383,608			—			—
Accrued Management Fees		53			8,392			12,227			14,759
Total Liabilities		53			2,392,000			12,227			14,759
Net Assets	$	3,588,050		$	21,466,738		$	30,507,174		$	35,287,474
Net Assets Consist of:
Paid-in Capital	$	3,780,767		$	23,189,762		$	28,483,532		$	43,383,989
Undistributed Net Investment Income		27,469			12,998			57,011			3,322
Accumulated Net Realized Gain (Loss) on Investment Securities		17,353			(2,867,251	)		(462,168	)		(2,301,055	)
Net Unrealized Appreciation (Depreciation) on Investment Securities		(237,539	)		1,131,229			2,428,799			(5,798,782	)
Net Assets	$	3,588,050		$	21,466,738		$	30,507,174		$	35,287,474
Shares Outstanding (Unlimited Shares Authorized), No Par Value		100,000			450,000			500,000			550,005
Net Asset Value, Offering Price and Repurchase Price Per Share	$	35.88		$	47.70		$	61.01		$	64.16
*Investments in Unaffiliated Issuers, at Cost	$	1,122,753		$	20,329,113		$	28,056,009		$	41,079,719
**Investments in Affiliated Issuers, at Cost	$	2,701,312		$	—		$	—		$	—
***Total Cost of Investments	$	3,824,065		$	20,329,113		$	28,056,009		$	41,079,719

See Notes to Financial Statements.

142

STATEMENTS OF ASSETS AND LIABILITIES (continued) October 31, 2011

	Rydex S&P 500			Rydex S&P 500			Rydex S&P 500			Rydex S&P 500
	Equal Weight			Equal Weight			Equal Weight			Equal Weight
	Financials ETF			Health Care ETF			Industrials ETF			Materials ETF
Assets
Investments at Market Value*	$	17,126,139		$	53,186,021		$	15,454,857		$	36,757,712
Receivables:
Investments Sold		—			—			250,595			—
Dividends		13,859			29,519			13,846			27,670
Total Assets		17,139,998			53,215,540			15,719,298			36,785,382
Liabilities
Payables:
Investments Purchased		—			—			262,324			—
Accrued Management Fees		6,793			19,867			6,563			14,727
Total Liabilities		6,793			19,867			268,887			14,727
Net Assets	$	17,133,205		$	53,195,673		$	15,450,411		$	36,770,655
Net Assets Consist of:
Paid-in Capital	$	25,151,116		$	60,027,802		$	16,747,782		$	34,664,155
Undistributed Net Investment Income		—			36,874			7,527			29,012
Accumulated Net Realized Gain (Loss) on Investment Securities		(6,269,935	)		(4,552,649	)		(1,157,720	)		(1,042,890	)
Net Unrealized Appreciation (Depreciation) on Investment Securities		(1,747,976	)		(2,316,354	)		(147,178	)		3,120,378
Net Assets	$	17,133,205		$	53,195,673		$	15,450,411		$	36,770,655
Shares Outstanding (Unlimited Shares Authorized), No Par Value		700,000			800,000			300,000			650,000
Net Asset Value, Offering Price and Repurchase Price Per Share	$	24.48		$	66.49		$	51.50		$	56.57
*Total Cost of Investments	$	18,874,115		$	55,502,375		$	15,602,035		$	33,637,334

See Notes to Financial Statements.

ANNUAL REPORT 143

STATEMENTS OF ASSETS AND LIABILITIES (concluded) October 31, 2011

	Rydex S&P 500			Rydex S&P 500
	Equal Weight			Equal Weight
	Technology ETF			Utilities ETF
Assets
Investments at Market Value*	$	109,682,799		$	32,378,037
Receivables:
Dividends		46,149			52,173
Total Assets		109,728,948			32,430,210
Liabilities
Payables:
Accrued Management Fees		43,623			12,972
Total Liabilities		43,623			12,972
Net Assets	$	109,685,325		$	32,417,238
Net Assets Consist of:
Paid-in Capital	$	113,350,824		$	32,006,241
Undistributed Net Investment Income		—			40,616
Accumulated Net Realized Gain (Loss) on Investment Securities		(2,886,406	)		(986,178	)
Net Unrealized Appreciation (Depreciation) on Investment Securities		(779,093	)		1,356,559
Net Assets	$	109,685,325		$	32,417,238
Shares Outstanding (Unlimited Shares Authorized), No Par Value		2,100,000			600,000
Net Asset Value, Offering Price and Repurchase Price Per Share	$	52.23		$	54.03
*Total Cost of Investments	$	110,461,892		$	31,021,478

See Notes to Financial Statements.

144

STATEMENTS OF OPERATIONS For the Year Ended October 31, 2011

				Rydex S&P			Rydex S&P
	Rydex S&P 500			MidCap 400			SmallCap 600			Rydex Russell
	Equal			Equal			Equal			MidCap® Equal
	Weight ETF			Weight ETF*			Weight ETF*			Weight ETF**
Investment Income
Dividends, Net of Foreign Taxes Withheld	$	54,213,123		$	10,557		$	14,453		$	293,431
Expenses
Management Fee		11,748,145			2,636			4,726			80,308
Trustee Fees		—			—			—			975
Other Fees		332			—			—			—
Total Expenses		11,748,477			2,636			4,726			81,283
Net Investment Income		42,464,646			7,921			9,727			212,148
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) From:
Investments		(27,035,462	)		(9,545	)		(13,809	)		(285,454	)
In-kind Redemptions		304,213,666			—			—			173,450
Net Realized Gain (Loss)		277,178,204			(9,545	)		(13,809	)		(112,004	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		(197,398,983	)		(142,661	)		27,244			(291,167	)
Net Realized and Unrealized Gain (Loss) on Investments		79,779,221			(152,206	)		13,435			(403,171	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	122,243,867		$	(144,285	)	$	23,162		$	(191,023	)
Foreign Taxes Withheld	$	1,300		$	—		$	—		$	92

*	The Fund commenced operations on August 1, 2011.
**	The Fund commenced operations on December 3, 2010.

See Notes to Financial Statements.

ANNUAL REPORT 145

STATEMENTS OF OPERATIONS (continued) For the Year Ended October 31, 2011

										Rydex MSCI
	Rydex Russell			Rydex Russell			Rydex MSCI			Emerging
	1000® Equal			2000® Equal			EAFE Equal			Markets Equal
	Weight ETF*			Weight ETF*			Weight ETF*			Weight ETF*
Investment Income
Dividends, Net of Foreign Taxes Withheld	$	253,029		$	147,602		$	574,862		$	379,650
Interest		—			1			—			—
Total Income		253,029			147,603			574,862			379,650
Expenses
Management Fee		60,850			49,371			90,000			101,868
Trustee Fees		849			710			1,103			875
Other Fees		41			18			229			—
Total Expenses		61,740			50,099			91,332			102,743
Less:
Expenses waived by Advisor		—			—			—			(11,847	)
Net Expenses		61,740			50,099			91,332			90,896
Net Investment Income		191,289			97,504			483,530			288,754
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) From:
Investments		(45,717	)		(275,810	)		72,935			(599,402	)
In-kind Redemptions		116,339			—			268,259			(139,767	)
Capital Gains Tax		—			—			—			(2,019	)
Foreign Currency Transactions		—			18			(2,205	)		(90,686	)
Net Realized Gain (Loss)		70,622			(275,792	)		338,989			(831,874	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		(1,609,979	)		(1,545,865	)		(1,820,540	)		(2,246,537	)
Capital Gains Tax		—			—			—			(2,719	)
Foreign Currency Transactions		—			(15	)		(536	)		64
Net Change in Unrealized Appreciation (Depreciation)		(1,609,979	)		(1,545,880	)		(1,821,076	)		(2,249,192	)
Net Realized and Unrealized Loss on Investments and Foreign Currency Transactions		(1,539,357	)		(1,821,672	)		(1,482,087	)		(3,081,066	)
Net Decrease in Net Assets Resulting From Operations	$	(1,348,068	)	$	(1,724,168	)	$	(998,557	)	$	(2,792,312	)
Foreign Taxes Withheld	$	135		$	207		$	54,316		$	48,282

* The Fund commenced operations on December 3, 2010.

See Notes to Financial Statements.

146

STATEMENTS OF OPERATIONS (continued) For the Year Ended October 31, 2011

				Rydex S&P 500			Rydex S&P 500
	Rydex MSCI			Equal Weight			Equal Weight			Rydex S&P 500
	ACWI Equal			Consumer			Consumer			Equal Weight
	Weight ETF*			Discretionary ETF			Staples ETF			Energy ETF
Investment Income
Dividends, Net of Foreign Taxes Withheld	$	19,071		$	423,932		$	530,533		$	521,967
Dividends from Affiliated Issuers		98,793			—			—			—
Total Income		117,864			423,932			530,533			521,967
Expenses
Management Fee		8,138			124,481			98,349			254,293
Trustee Fees		66			—			—			—
Total Expenses		8,204			124,481			98,349			254,293
Less:
Expenses waived by Advisor		(2,026	)		—			—			—
Net Expenses		6,178			124,481			98,349			254,293
Net Investment Income		111,686			299,451			432,184			267,674
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) From:
Investments		19,322			317,950			(192,961	)		(204,490	)
Investments in Affiliated Issuers		(2,718	)		—			—			—
In-kind Redemptions		(101,852	)		2,659,377			985,229			4,631,925
In-kind Redemptions in Affiliated Issuers		(656,041	)		—			—			—
Net Realized Gain (Loss)		(741,289	)		2,977,327			792,268			4,427,435
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		(39,941	)		(739,044	)		834,186			(7,248,237	)
Investments in Affiliated Issuers		(197,598	)		—			—			—
Net Change in Unrealized Appreciation (Depreciation)		(237,539	)		(739,044	)		834,186			(7,248,237	)
Net Realized and Unrealized Gain (Loss) on Investments		(978,828	)		2,238,283			1,626,454			(2,820,802	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(867,142	)	$	2,537,734		$	2,058,638		$	(2,553,128	)
Foreign Taxes Withheld	$	214		$	—		$	—		$	—

* The Fund commenced operations on January 7, 2011.

See Notes to Financial Statements.

ANNUAL REPORT 147

STATEMENTS OF OPERATIONS (continued) For the Year Ended October 31, 2011

	Rydex S&P 500			Rydex S&P 500			Rydex S&P 500			Rydex S&P 500
	Equal Weight			Equal Weight			Equal Weight			Equal Weight
	Financials ETF			Health Care ETF			Industrials ETF			Materials ETF
Investment Income
Dividends, Net of Foreign Taxes Withheld	$	386,359		$	517,017		$	807,871		$	795,534
Expenses
Management Fee		92,631			265,780			200,357			216,822
Net Investment Income		293,728			251,237			607,514			578,712
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) From:
Investments		(50,133	)		(357,862	)		(37,526	)		232,064
In-kind Redemptions		1,349,149			4,344,891			7,153,039			1,399,485
Net Realized Gain		1,299,016			3,987,029			7,115,513			1,631,549
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		(2,262,770	)		(524,200	)		(6,672,032	)		(2,893,215	)
Net Realized and Unrealized Gain (Loss) on Investments		(963,754	)		3,462,829			443,481			(1,261,666	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(670,026	)	$	3,714,066		$	1,050,995		$	(682,954	)
Foreign Taxes Withheld	$	—		$	—		$	(359	)	$	—

See Notes to Financial Statements.

148

STATEMENTS OF OPERATIONS (concluded) For the Year Ended October 31, 2011

	Rydex S&P 500			Rydex S&P 500
	Equal Weight			Equal Weight
	Technology ETF			Utilities ETF
Investment Income
Dividends	$	1,231,314		$	1,010,204
Expenses
Management Fee		589,780			123,136
Net Investment Income		641,534			887,068
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) From:
Investments		(126,587	)		61,049
In-kind Redemptions		5,356,830			2,010,409
Net Realized Gain		5,230,243			2,071,458
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		(7,130,337	)		(334,844	)
Net Realized and Unrealized Gain (Loss) on Investments		(1,900,094	)		1,736,614
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(1,258,560	)	$	2,623,682

See Notes to Financial Statements.

ANNUAL REPORT 149

STATEMENTS OF CHANGES IN NET ASSETS

							Rydex S&P MidCap
	Rydex S&P 500 Equal Weight ETF						400 Equal Weight ETF*
	Year Ended			Year Ended			Period Ended
	October 31, 2011			October 31, 2010			October 31, 2011
Operations
Net Investment Income	$	42,464,646		$	28,665,485		$	7,921
Net Realized Gain (Loss) on Investments		277,178,204			149,473,587			(9,545	)
Net Change in Unrealized Appreciation (Depreciation) on Investments		(197,398,983	)		138,369,551			(142,661	)
Net Increase (Decrease) in Net Assets Resulting From Operations		122,243,867			316,508,623			(144,285	)
Distributions to Shareholders From:
Net Investment Income		(40,649,421	)		(27,968,738	)		(5,601	)
Shareholder Transactions
Proceeds From Shares Purchased		2,816,559,505			1,634,617,920			2,976,024
Value of Shares Purchased through Dividend Reinvestments		—			10,909			—
Value of Shares Redeemed		(1,988,604,371	)		(1,268,259,958	)		—
Net Increase in Net Assets Resulting From Share Transactions		827,955,134			366,368,871			2,976,024
Increase in Net Assets		909,549,580			654,908,756			2,826,138
NET ASSETS—Beginning of Period		2,154,259,273			1,499,350,517			—
NET ASSETS—End of Period(1)	$	3,063,808,853		$	2,154,259,273		$	2,826,138
(1) Including Undistributed Net Investment Income	$	818,113		$	478,594		$	1,484
Changes in Shares Outstanding:
Shares Purchased		58,750,000			39,600,000			100,000
Shares Purchased through Dividend Reinvestments		—			267			—
Shares Redeemed		(42,350,000	)		(32,150,000	)		—
Shares Outstanding, Beginning of Period		49,108,863			41,658,596			—
Shares Outstanding, End of Period		65,508,863			49,108,863			100,000

* The Fund commenced operations on August 1, 2011.

See Notes to Financial Statements.

150

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Rydex S&P			Rydex Russell
	SmallCap 600 Equal			MidCap® Equal
	Weight ETF*			Weight ETF**
	Period Ended			Period Ended
	October 31, 2011			October 31, 2011
Operations
Net Investment Income	$	9,727		$	212,148
Net Realized Loss on Investments		(13,809	)		(112,004	)
Net Change in Unrealized Appreciation (Depreciation) on Investments		27,244			(291,167	)
Net Increase (Decrease) in Net Assets Resulting From Operations		23,162			(191,023	)
Distributions to Shareholders From:
Net Investment Income		(6,163	)		(168,415	)
Shareholder Transactions
Proceeds From Shares Purchased		5,629,931			56,370,615
Value of Shares Redeemed		—			(1,503,599	)
Net Increase in Net Assets Resulting From Share Transactions		5,629,931			54,867,016
Increase in Net Assets		5,646,930			54,507,578
NET ASSETS—Beginning of Period		—			—
NET ASSETS—End of Period(1)	$	5,646,930		$	54,507,578
(1) Including Undistributed Net Investment Income	$	2,570		$	36,985
Changes in Shares Outstanding:
Shares Purchased		200,000			1,800,000
Shares Redeemed		—			(50,000	)
Shares Outstanding, Beginning of Period		—			—
Shares Outstanding, End of Period		200,000			1,750,000

*	The Fund commenced operations on August 1, 2011.
**	The Fund commenced operations on December 3, 2010.

See Notes to Financial Statements.

ANNUAL REPORT 151

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Rydex Russell			Rydex Russell
	1000® Equal			2000® Equal
	Weight ETF*			Weight ETF*
	Period Ended			Period Ended
	October 31, 2011			October 31, 2011
Operations
Net Investment Income	$	191,289		$	97,504
Net Realized Gain (Loss) on Investments		70,622			(275,792	)
Net Change in Unrealized Appreciation (Depreciation) on Investments		(1,609,979	)		(1,545,880	)
Net Decrease in Net Assets Resulting From Operations		(1,348,068	)		(1,724,168	)
Distributions to Shareholders From:
Net Investment Income		(165,561	)		(82,186	)
Shareholder Transactions
Proceeds From Shares Purchased		37,147,734			25,390,228
Value of Shares Redeemed		(1,451,395	)		—
Net Increase in Net Assets Resulting From Share Transactions		35,696,339			25,390,228
Increase in Net Assets		34,182,710			23,583,874
NET ASSETS—Beginning of Period		—			—
NET ASSETS—End of Period(1)	$	34,182,710		$	23,583,874
(1) Including Undistributed Net Investment Income	$	21,192		$	11,261
Changes in Shares Outstanding:
Shares Purchased		1,150,000			800,000
Shares Redeemed		(50,000	)		—
Shares Outstanding, Beginning of Period		—			—
Shares Outstanding, End of Period		1,100,000			800,000

* The Fund commenced operations on December 3, 2010.

See Notes to Financial Statements.

152

STATEMENTS OF CHANGES IN NET ASSETS (continued)

				Rydex MSCI
	Rydex MSCI EAFE			Emerging Markets
	Equal Weight ETF*			Equal Weight ETF*
	Period Ended			Period Ended
	October 31, 2011			October 31, 2011
Operations
Net Investment Income	$	483,530		$	288,754
Net Realized Gain (Loss) on Investments		338,989			(831,874	)
Net Change in Unrealized Appreciation (Depreciation) on Investments		(1,821,076	)		(2,249,192	)
Net Decrease in Net Assets Resulting From Operations		(998,557	)		(2,792,312	)
Distributions to Shareholders From:
Net Investment Income		(491,348	)		(160,394	)
Capital		—			(155,130	)
Total Distributions to Shareholders		(491,348	)		(315,524	)
Shareholder Transactions
Proceeds From Shares Purchased		24,728,819			27,283,677
Value of Shares Redeemed		(12,146,088	)		(7,261,735	)
Net Increase in Net Assets Resulting From Share Transactions		12,582,731			20,021,942
Increase in Net Assets		11,092,826			16,914,106
NET ASSETS—Beginning of Period		—			—
NET ASSETS—End of Period(1)	$	11,092,826		$	16,914,106
(1) Including Undistributed (Distributions in Excess of) Net Investment Income	$	19,048		$	(372	)
Changes in Shares Outstanding:
Shares Purchased		600,000			700,000
Shares Redeemed		(300,000	)		(200,000	)
Shares Outstanding, Beginning of Period		—			—
Shares Outstanding, End of Period		300,000			500,000

* The Fund commenced operations on December 3, 2010.

See Notes to Financial Statements.

ANNUAL REPORT 153

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Rydex MSCI ACWI
	Equal Weight ETF*			Rydex S&P 500 Equal Weight Consumer Discretionary ETF
	Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	111,686		$	299,451		$	225,501
Net Realized Gain (Loss) on Investments		(741,289	)		2,977,327			3,105,219
Net Change in Unrealized Appreciation (Depreciation) on Investments		(237,539	)		(739,044	)		543,585
Net Increase (Decrease) in Net Assets Resulting From Operations		(867,142	)		2,537,734			3,874,305
Distributions to Shareholders From:
Net Investment Income		(83,619	)		(291,636	)		(221,575	)
Shareholder Transactions
Proceeds From Shares Purchased		7,799,242			7,384,661			23,320,514
Value of Shares Redeemed		(3,260,431	)		(13,588,895	)		(13,022,663	)
Net Increase (Decrease) in Net Assets Resulting From Share Transactions		4,538,811			(6,204,234	)		10,297,851
Increase (Decrease) in Net Assets		3,588,050			(3,958,136	)		13,950,581
NET ASSETS—Beginning of Period		—			25,424,874			11,474,293
NET ASSETS—End of Period(1)	$	3,588,050		$	21,466,738		$	25,424,874
(1) Including Undistributed Net Investment Income	$	27,469		$	12,998		$	5,183
Changes in Shares Outstanding:
Shares Purchased		200,000			150,000			600,000
Shares Redeemed		(100,000	)		(300,000	)		(350,000	)
Shares Outstanding, Beginning of Period		—			600,000			350,000
Shares Outstanding, End of Period		100,000			450,000			600,000

* The Fund commenced operations on January 7, 2011.

See Notes to Financial Statements.

154

STATEMENTS OF CHANGES IN NET ASSETS (continued)

							Rydex S&P 500 Equal Weight
	Rydex S&P 500 Equal Weight Consumer Staples ETF						Energy ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	432,184		$	253,328		$	267,674		$	135,122
Net Realized Gain on Investments		792,268			156,024			4,427,435			640,273
Net Change in Unrealized Appreciation (Depreciation) on Investments		834,186			1,476,439			(7,248,237	)		1,516,371
Net Increase (Decrease) in Net Assets Resulting From Operations		2,058,638			1,885,791			(2,553,128	)		2,291,766
Distributions to Shareholders From:
Net Investment Income		(404,016	)		(244,303	)		(267,926	)		(137,899	)
Shareholder Transactions
Proceeds From Shares Purchased		18,142,268			2,529,276			99,253,072			7,318,377
Value of Shares Redeemed		(3,145,222	)		—			(77,266,420	)		(5,272,130	)
Net Increase in Net Assets Resulting From Share Transactions		14,997,046			2,529,276			21,986,652			2,046,247
Increase in Net Assets		16,651,668			4,170,764			19,165,598			4,200,114
NET ASSETS—Beginning of Period		13,855,506			9,684,742			16,121,876			11,921,762
NET ASSETS—End of Period(1)	$	30,507,174		$	13,855,506		$	35,287,474		$	16,121,876
(1) Including Undistributed Net Investment Income	$	57,011		$	28,843		$	3,322		$	3,574
Changes in Shares Outstanding:
Shares Purchased		300,000			50,000			1,400,000			150,000
Shares Redeemed		(50,000	)		—			(1,150,000	)		(100,000	)
Shares Outstanding, Beginning of Period		250,000			200,000			300,005			250,005
Shares Outstanding, End of Period		500,000			250,000			550,005			300,005

See Notes to Financial Statements.

ANNUAL REPORT 155

STATEMENTS OF CHANGES IN NET ASSETS (continued)

							Rydex S&P 500 Equal Weight
	Rydex S&P 500 Equal Weight Financials ETF						Health Care ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	293,728		$	219,313		$	251,237		$	239,001
Net Realized Gain on Investments		1,299,016			2,421,086			3,987,029			11,816,424
Net Change in Unrealized Appreciation (Depreciation) on Investments		(2,262,770	)		(407,694	)		(524,200	)		(234,579	)
Net Increase (Decrease) in Net Assets Resulting From Operations		(670,026	)		2,232,705			3,714,066			11,820,846
Distributions to Shareholders From:
Net Investment Income		(292,247	)		(251,198	)		(230,946	)		(247,927	)
Shareholder Transactions
Proceeds From Shares Purchased		8,493,107			12,509,461			182,857,489			78,908,687
Value of Shares Redeemed		(6,907,580	)		(11,975,988	)		(186,914,915	)		(110,019,690	)
Net Increase (Decrease) in Net Assets Resulting From Share Transactions		1,585,527			533,473			(4,057,426	)		(31,111,003	)
Increase (Decrease) in Net Assets		623,254			2,514,980			(574,306	)		(19,538,084	)
NET ASSETS—Beginning of Period		16,509,951			13,994,971			53,769,979			73,308,063
NET ASSETS—End of Period(1)	$	17,133,205		$	16,509,951		$	53,195,673		$	53,769,979
(1) Including Undistributed Net Investment Income	$	—		$	—		$	36,874		$	16,583
Changes in Shares Outstanding:
Shares Purchased		300,000			500,000			2,800,000			1,400,000
Shares Redeemed		(250,000	)		(500,000	)		(2,900,000	)		(1,950,000	)
Shares Outstanding, Beginning of Period		650,000			650,000			900,000			1,450,000
Shares Outstanding, End of Period		700,000			650,000			800,000			900,000

See Notes to Financial Statements.

156

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Rydex S&P 500 Equal Weight Industrials ETF						Rydex S&P 500 Equal Weight Materials ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	607,514		$	412,876		$	578,712		$	1,012,652
Net Realized Gain on Investments		7,115,513			993,608			1,631,549			5,248,476
Net Change in Unrealized Appreciation (Depreciation) on Investments		(6,672,032	)		4,470,909			(2,893,215	)		2,675,915
Net Increase (Decrease) in Net Assets Resulting From Operations		1,050,995			5,877,393			(682,954	)		8,937,043
Distributions to Shareholders From:
Net Investment Income		(609,503	)		(398,481	)		(560,979	)		(1,001,234	)
Shareholder Transactions
Proceeds From Shares Purchased		8,408,979			21,282,423			9,291,043			10,346,920
Value of Shares Redeemed		(35,505,013	)		(2,546,360	)		(5,671,266	)		(25,086,993	)
Net Increase (Decrease) in Net Assets Resulting From Share Transactions		(27,096,034	)		18,736,063			3,619,777			(14,740,073	)
Increase (Decrease) in Net Assets		(26,654,542	)		24,214,975			2,375,844			(6,804,264	)
NET ASSETS—Beginning of Period		42,104,953			17,889,978			34,394,811			41,199,075
NET ASSETS—End of Period(1)	$	15,450,411		$	42,104,953		$	36,770,655		$	34,394,811
(1) Including Undistributed Net Investment Income	$	7,527		$	14,627		$	29,012		$	20,709
Changes in Shares Outstanding:
Shares Purchased		150,000			450,000			150,000			200,000
Shares Redeemed		(700,000	)		(50,000	)		(100,000	)		(500,000	)
Shares Outstanding, Beginning of Period		850,000			450,000			600,000			900,000
Shares Outstanding, End of Period		300,000			850,000			650,000			600,000

See Notes to Financial Statements.

ANNUAL REPORT 157

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Rydex S&P 500 Equal Weight Technology ETF						Rydex S&P 500 Equal Weight Utilities ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	641,534		$	216,054		$	887,068		$	475,774
Net Realized Gain (Loss) on Investments		5,230,243			11,943,411			2,071,458			(330,684	)
Net Change in Unrealized Appreciation (Depreciation) on Investments		(7,130,337	)		5,055,947			(334,844	)		2,266,186
Net Increase (Decrease) in Net Assets Resulting From Operations		(1,258,560	)		17,215,412			2,623,682			2,411,276
Distributions to Shareholders From:
Net Investment Income		(622,234	)		(230,398	)		(868,554	)		(451,578	)
Shareholder Transactions
Proceeds From Shares Purchased		68,792,638			86,546,014			18,642,716			9,722,935
Value of Shares Redeemed		(45,985,675	)		(68,740,444	)		(8,090,201	)		—
Net Increase in Net Assets Resulting From Share Transactions		22,806,963			17,805,570			10,552,515			9,722,935
Increase in Net Assets		20,926,169			34,790,584			12,307,643			11,682,633
NET ASSETS—Beginning of Period		88,759,156			53,968,572			20,109,595			8,426,962
NET ASSETS—End of Period(1)	$	109,685,325		$	88,759,156		$	32,417,238		$	20,109,595
(1) Including Undistributed Net Investment Income	$	—		$	—		$	40,616		$	52,999
Changes in Shares Outstanding:
Shares Purchased		1,300,000			1,900,000			350,000			200,000
Shares Redeemed		(950,000	)		(1,500,000	)		(150,000	)		—
Shares Outstanding, Beginning of Period		1,750,000			1,350,000			400,000			200,000
Shares Outstanding, End of Period		2,100,000			1,750,000			600,000			400,000

See Notes to Financial Statements.

158

FINANCIAL HIGHLIGHTS

	Rydex S&P 500 Equal Weight ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	43.87		$	35.99		$	30.01		$	50.63		$	46.06
Net Investment Income*		0.69			0.60			0.54			0.72			0.59
Net Realized and Unrealized Gain (Loss) on Investments		2.87			7.87			5.98			(20.64	)		4.56
Total From Investment Operations		3.56			8.47			6.52			(19.92	)		5.15
Distributions To Shareholders From:
Net Investment Income		(0.66	)		(0.59	)		(0.54	)		(0.70	)		(0.58	)
Net Asset Value at End of Period	$	46.77		$	43.87		$	35.99		$	30.01		$	50.63
Total Return**		8.12	%		23.67	%		22.21	%		(39.75	)%		11.23	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	3,063,809		$	2,154,259		$	1,499,351		$	843,417		$	2,177,693
Ratio To Average Net Assets Of:
Expenses		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Net Investment Income		1.45	%		1.48	%		1.75	%		1.65	%		1.22	%
Portfolio Turnover Rate†		21	%		20	%		37	%		32	%		25	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 159

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P
	MidCap 400
	Equal Weight ETF
	Year Ended
	October 31, 2011*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	29.76
Net Investment Income**		0.08
Net Realized and Unrealized Loss on Investments		(1.52	)
Total From Investment Operations		(1.44	)
Distributions To Shareholders From:
Net Investment Income		(0.06	)
Net Asset Value at End of Period	$	28.26
Total Return***		(4.81	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	2,826
Ratio To Average Net Assets Of:
Expenses		0.40	%****
Net Investment Income		1.20	%****
Portfolio Turnover Rate†		7	%

*	The Fund commenced operations on August 1, 2011.
**	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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

160

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P
	SmallCap 600
	Equal Weight ETF
	Year Ended
	October 31, 2011 *
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	29.85
Net Investment Income**		0.05
Net Realized and Unrealized Loss on Investments		(1.64	)
Total From Investment Operations		(1.59	)
Distributions To Shareholders From:
Net Investment Income		(0.03	)
Net Asset Value at End of Period	$	28.23
Total Return***		(5.30	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	5,647
Ratio To Average Net Assets Of:
Expenses		0.40	%****
Net Investment Income		0.82	%****
Portfolio Turnover Rate†		8	%

*	Fund commenced operations on August 1, 2011.
**	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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 161

FINANCIAL HIGHLIGHTS (continued)

	Rydex Russell MidCap®
	Equal Weight ETF
	Year Ended
	October 31, 2011*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	30.21
Net Investment Income**		0.30
Net Realized and Unrealized Gain on Investments		0.85
Total From Investment Operations		1.15
Distributions To Shareholders From:
Net Investment Income		(0.21	)
Net Asset Value at End of Period	$	31.15
Total Return***		3.80	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	54,508
Ratio To Average Net Assets Of:
Expenses		0.41	%****
Net Investment Income		1.06	%****
Portfolio Turnover Rate†		30	%

*	The Fund commenced operations on December 3, 2010.
**	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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

162

FINANCIAL HIGHLIGHTS (continued)

	Rydex Russell 1000®
	Equal Weight ETF
	Year Ended
	October 31, 2011*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	30.18
Net Investment Income**		0.36
Net Realized and Unrealized Gain on Investments		0.85
Total From Investment Operations		1.21
Distributions To Shareholders From:
Net Investment Income		(0.31	)
Net Asset Value at End of Period	$	31.08
Total Return***		4.00	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	34,183
Ratio To Average Net Assets Of:
Expenses		0.41	%****
Net Investment Income		1.26	%****
Portfolio Turnover Rate†		25	%

*	The Fund commenced operations on December 3, 2010.
**	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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 163

FINANCIAL HIGHLIGHTS (continued)

	Rydex Russell 2000®
	Equal Weight ETF
	Year Ended
	October 31, 2011*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	30.19
Net Investment Income**		0.22
Net Realized and Unrealized Loss on Investments		(0.75	)
Total From Investment Operations		(0.53	)
Distributions To Shareholders From:
Net Investment Income		(0.18	)
Net Asset Value at End of Period	$	29.48
Total Return***		(1.78	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	23,584
Ratio To Average Net Assets Of:
Expenses		0.41	%****
Net Investment Income		0.79	%****
Portfolio Turnover Rate†		38	%

*	The Fund commenced operations on December 3, 2010.
**	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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

164

FINANCIAL HIGHLIGHTS (continued)

	Rydex MSCI EAFE
	Equal Weight ETF
	Year Ended
	October 31, 2011*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	40.63
Net Investment Income**		1.11
Net Realized and Unrealized Loss on Investments		(3.57	)
Total From Investment Operations		(2.46	)
Distributions To Shareholders From:
Net Investment Income		(1.19	)
Net Asset Value at End of Period	$	36.98
Total Return***		(6.33	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	11,093
Ratio To Average Net Assets Of:
Expenses		0.56	%****
Net Investment Income		2.96	%****
Portfolio Turnover Rate†		24	%

*	The Fund commenced operations on December 3, 2010.
**	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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 165

FINANCIAL HIGHLIGHTS (continued)

	Rydex MSCI
	Emerging Markets
	Equal Weight ETF
	Year Ended
	October 31, 2011*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	40.21
Net Investment Income**		0.69
Net Realized and Unrealized Loss on Investments		(6.35	)
Total From Investment Operations		(5.66	)
Distributions To Shareholders From:
Net Investment Income		(0.36	)
Capital		(0.36	)
Total Distributions		(0.72	)
Net Asset Value at End of Period	$	33.83
Total Return***		(14.13	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	16,914
Ratio To Average Net Assets Of:
Expenses		0.71	%****
Net Expenses*****		0.63	%****
Net Investment Income		1.99	%****
Portfolio Turnover Rate†		63	%

*	The Fund commenced operations on December 3, 2010.
**	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.
*****	Net expense information reflects the expense ratios after expense waivers.
†	Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

166

FINANCIAL HIGHLIGHTS (continued)

	Rydex MSCI ACWI
	Equal Weight ETF
	Year Ended
	October 31, 2011*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	39.91
Net Investment Income**		0.88
Net Realized and Unrealized Loss on Investments		(4.34	)
Total From Investment Operations		(3.46	)
Distributions To Shareholders From:
Net Investment Income		(0.57	)
Net Asset Value at End of Period	$	35.88
Total Return***		(8.55	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	3,588
Ratio To Average Net Assets Of:
Expenses		0.20	%****
Net Expenses*****		0.15	%****
Net Investment Income		2.75	%****
Portfolio Turnover Rate†		8	%

*	The Fund commenced operations on January 7, 2011.
**	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.
*****	Net expense information reflects the expense ratios after expense waivers.
†	Portfolio turnover is not annualized and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 167

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Consumer Discretionary ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	42.37		$	32.78		$	24.82		$	44.50		$	44.98
Net Investment Income**		0.56			0.35			0.40			0.53			0.32
Net Realized and Unrealized Gain (Loss) on Investments		5.31			9.56			7.93			(19.59	)		(0.49	)
Total From Investment Operations		5.87			9.91			8.33			(19.06	)		(0.17	)
Distributions To Shareholders From:
Net Investment Income		(0.54	)		(0.32	)		(0.37	)		(0.62	)		(0.31	)
Net Asset Value at End of Period	$	47.70		$	42.37		$	32.78		$	24.82		$	44.50
Total Return***		13.91	%		30.35	%		34.20	%		(43.27	)%		(0.40	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	21,467		$	25,425		$	11,474		$	3,722		$	28,928
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		1.20	%		0.89	%		1.61	%		1.44	%		0.67	%****
Portfolio Turnover Rate†		26	%		28	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

168

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Consumer Staples ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	55.42		$	48.42		$	41.47		$	52.68		$	48.16
Net Investment Income**		1.31			1.14			1.04			0.88			1.16
Net Realized and Unrealized Gain (Loss) on Investments		5.49			6.95			6.91			(11.22	)		4.32
Total From Investment Operations		6.80			8.09			7.95			(10.34	)		5.48
Distributions To Shareholders From:
Net Investment Income		(1.21	)		(1.09	)		(1.00	)		(0.87	)		(0.96	)
Net Asset Value at End of Period	$	61.01		$	55.42		$	48.42		$	41.47		$	52.68
Total Return***		12.37	%		16.89	%		19.60	%		(19.87	)%		11.45	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	30,507		$	13,856		$	9,685		$	10,368		$	7,902
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		2.20	%		2.20	%		2.52	%		1.78	%		2.29	%****
Portfolio Turnover Rate†		15	%		18	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 169

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Energy ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	53.74		$	47.69		$	39.72		$	67.48		$	48.35
Net Investment Income**		0.36			0.44			0.46			0.33			0.27
Net Realized and Unrealized Gain (Loss) on Investments		10.43			6.07			7.93			(25.94	)		19.14
Total From Investment Operations		10.79			6.51			8.39			(25.61	)		19.41
Distributions To Shareholders From:
Net Investment Income		(0.37	)		(0.46	)		(0.42	)		(0.35	)		(0.28	)
Net Realized Gains		—			—			—			(1.80	)		—
Total Distributions		(0.37	)		(0.46	)		(0.42	)		(2.15	)		(0.28	)
Net Asset Value at End of Period	$	64.16		$	53.74		$	47.69		$	39.72		$	67.48
Total Return***		20.09	%		13.74	%		21.39	%		(39.28	)%		40.28	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	35,287		$	16,122		$	11,922		$	5,958		$	10,122
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		0.53	%		0.87	%		1.16	%		0.50	%		0.47	%****
Portfolio Turnover Rate†		23	%		31	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

170

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Financials ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	25.40		$	21.53		$	21.41		$	46.67		$	48.57
Net Investment Income**		0.42			0.31			0.36			1.02			0.92
Net Realized and Unrealized Gain (Loss) on Investments		(0.96	)		3.87			0.18			(25.40	)		(1.95	)
Total From Investment Operations		(0.54	)		4.18			0.54			(24.38	)		(1.03	)
Distributions To Shareholders From:
Net Investment Income		(0.38	)		(0.31	)		(0.42	)		(0.88	)		(0.87	)
Net Asset Value at End of Period	$	24.48		$	25.40		$	21.53		$	21.41		$	46.67
Total Return***		(2.25	)%		19.46	%		3.15	%		(52.88	)%		(2.23	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	17,133		$	16,510		$	13,995		$	10,705		$	7,000
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		1.59	%		1.26	%		2.00	%		3.09	%		1.84	%****
Portfolio Turnover Rate†		18	%		19	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 171

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Health Care ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	59.74		$	50.56		$	42.21		$	57.94		$	49.46
Net Investment Income**		0.32			0.20			0.19			0.14			0.11
Net Realized and Unrealized Gain (Loss) on Investments		6.73			9.20			8.35			(15.74	)		8.48
Total From Investment Operations		7.05			9.40			8.54			(15.60	)		8.59
Distributions To Shareholders From:
Net Investment Income		(0.30	)		(0.22	)		(0.19	)		(0.13	)		(0.11	)
Net Asset Value at End of Period	$	66.49		$	59.74		$	50.56		$	42.21		$	57.94
Total Return***		11.80	%		18.64	%		20.31	%		(26.98	)%		17.37	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	53,196		$	53,770		$	73,308		$	48,537		$	17,383
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		0.47	%		0.35	%		0.42	%		0.26	%		0.20	%****
Portfolio Turnover Rate†		19	%		20	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

172

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Industrials ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	49.54		$	39.76		$	35.73		$	59.37		$	49.15
Net Investment Income**		0.83			0.61			0.67			0.61			0.56
Net Realized and Unrealized Gain (Loss) on Investments		2.05			9.78			4.12			(21.82	)		10.21
Total From Investment Operations		2.88			10.39			4.79			(21.21	)		10.77
Distributions To Shareholders From:
Net Investment Income		(0.92	)		(0.61	)		(0.76	)		(0.65	)		(0.55	)
Net Realized Gains		—			—			—			(1.78	)		—
Total Distributions		(0.92	)		(0.61	)		(0.76	)		(2.43	)		(0.55	)
Net Asset Value at End of Period	$	51.50		$	49.54		$	39.76		$	35.73		$	59.37
Total Return***		5.80	%		26.28	%		13.84	%		(37.12	)%		22.00	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	15,450		$	42,105		$	17,890		$	7,146		$	8,905
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		1.52	%		1.34	%		1.88	%		1.17	%		1.02	%****
Portfolio Turnover Rate†		15	%		18	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 173

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Materials ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	57.32		$	45.78		$	34.37		$	59.42		$	48.43
Net Investment Income**		0.82			1.52			0.60			1.40			0.85
Net Realized and Unrealized Gain (Loss) on Investments		(0.76	)		11.65			11.49			(25.11	)		10.74
Total From Investment Operations		0.06			13.17			12.09			(23.71	)		11.59
Distributions To Shareholders From:
Net Investment Income		(0.81	)		(1.63	)		(0.68	)		(1.34	)		(0.60	)
Net Asset Value at End of Period	$	56.57		$	57.32		$	45.78		$	34.37		$	59.42
Total Return***		0.04	%		29.05	%		35.82	%		(40.67	)%		24.02	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	36,771		$	34,395		$	41,199		$	5,155		$	8,913
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		1.33	%		2.88	%		1.41	%		2.69	%		1.53	%****
Portfolio Turnover Rate†		21	%		27	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

174

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Equal Weight Technology ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	50.72		$	39.98		$	29.98		$	55.18		$	47.80
Net Investment Income (Loss)**		0.29			0.12			0.11			0.06			(0.05	)
Net Realized and Unrealized Gain (Loss) on Investments		1.49			10.75			10.03			(25.19	)		7.43
Total From Investment Operations		1.78			10.87			10.14			(25.13	)		7.38
Distributions To Shareholders From:
Net Investment Income		(0.27	)		(0.13	)		(0.14	)		(0.07	)		—
Net Asset Value at End of Period	$	52.23		$	50.72		$	39.98		$	29.98		$	55.18
Total Return***		3.51	%		27.23	%		33.94	%		(45.58	)%		15.44	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	109,685		$	88,759		$	53,969		$	7,495		$	19,312
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		0.54	%		0.26	%		0.30	%		0.14	%		(0.10	)%****
Portfolio Turnover Rate†		29	%		25	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 175

FINANCIAL HIGHLIGHTS (concluded)

	Rydex S&P 500 Equal Weight Utilities ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	50.27		$	42.13		$	41.18		$	62.28		$	54.91
Net Investment Income**		1.89			1.84			1.89			1.81			1.55
Net Realized and Unrealized Gain (Loss) on Investments		3.71			8.13			0.88			(21.09	)		7.38
Total From Investment Operations		5.60			9.97			2.77			(19.28	)		8.93
Distributions To Shareholders From:
Net Investment Income		(1.84	)		(1.83	)		(1.82	)		(1.82	)		(1.56	)
Net Asset Value at End of Period	$	54.03		$	50.27		$	42.13		$	41.18		$	62.28
Total Return***		11.29	%		24.10	%		6.97	%		(31.63	)%		16.41	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	32,417		$	20,110		$	8,427		$	4,118		$	6,228
Ratio To Average Net Assets Of:
Expenses		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%****
Net Investment Income		3.60	%		3.95	%		4.64	%		3.30	%		2.59	%****
Portfolio Turnover Rate†		15	%		16	%		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 and does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

176

NOTES TO FINANCIAL STATEMENTS October 31, 2011

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, 2011, the Trust offers twenty-seven 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 S&P 500 Equal Weight ETF, Rydex S&P MidCap 400 Equal Weight ETF, Rydex S&P SmallCap 600 Equal Weight ETF, Rydex Russell MidCap^® Equal Weight ETF, Rydex Russell 1000^® Equal Weight ETF, Rydex Russell 2000^® Equal Weight ETF, Rydex MSCI EAFE Equal Weight ETF, Rydex MSCI Emerging Markets Equal Weight ETF, Rydex MSCI ACWI Equal Weight ETF, Rydex S&P 500 Equal Weight Consumer Discretionary ETF, Rydex S&P 500 Equal Weight Consumer Staples ETF, Rydex S&P 500 Equal Weight Energy ETF, Rydex S&P 500 Equal Weight Financials ETF, Rydex S&P 500 Equal Weight Health Care ETF, Rydex S&P 500 Equal Weight Industrials ETF, Rydex S&P 500 Equal Weight Materials ETF, Rydex S&P 500 Equal Weight Technology ETF and Rydex S&P 500 Equal Weight Utilities ETF. Rydex S&P 500 Equal Weight ETF commenced operations on April 24, 2003. Rydex S&P MidCap 400 Equal Weight and Rydex S&P SmallCap 600 Equal Weight commenced operations on August 1, 2011. Rydex Russell MidCap^® Equal Weight ETF, Rydex Russell 1000^® Equal Weight ETF, Rydex Russell 2000^® Equal Weight ETF, Rydex MSCI EAFE Equal Weight ETF and Rydex MSCI Emerging Markets Equal Weight ETF commenced operations on December 3, 2010. Rydex MSCI ACWI Equal Weight ETF commenced operations on January 7, 2011. Rydex S&P 500 Equal Weight Consumer Discretionary ETF, Rydex S&P 500 Equal Weight Consumer Staples ETF, Rydex S&P 500 Equal Weight Energy ETF, Rydex S&P 500 Equal Weight Financials ETF, Rydex S&P 500 Equal Weight Health Care ETF, Rydex S&P 500 Equal Weight Industrials ETF, Rydex S&P 500 Equal Weight Materials ETF, Rydex S&P 500 Equal Weight Technology ETF and Rydex S&P 500 Equal Weight Utilities ETF commenced operations on November 1, 2006.

Each Fund’s 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”). The Rydex S&P 500 Equal Weight ETF tracks the S&P 500 Equal Weight Index, the Rydex S&P MidCap 400 Equal Weight ETF tracks the S&P MidCap 400^® Equal Weight Index, the Rydex S&P SmallCap 600 Equal Weight ETF tracks the S&P SmallCap 600^® Equal Weight Index, the Rydex Russell MidCap^® Equal Weight ETF tracks the Russell MidCap^® Equal Weight Index, the Rydex Russell 1000^® Equal Weight ETF tracks the Russell 1000^® Equal Weight Index, the Rydex Russell 2000^® Equal Weight ETF tracks the Russell 2000^® Equal Weight Index, the Rydex MSCI EAFE Equal Weight ETF tracks the MSCI EAFE Equal Weighted Index, the Rydex MSCI Emerging Markets Equal Weight ETF tracks the MSCI Emerging Markets Equal Weighted Index, the Rydex MSCI ACWI Equal Weight ETF tracks the MSCI ACWI Equal Weighted Index, the Rydex S&P 500 Equal Weight Consumer Discretionary ETF tracks the S&P 500 Equal Weight Consumer Discretionary Index, the Rydex S&P 500 Equal Weight Consumer Staples ETF tracks the S&P 500 Equal Weight Consumer Staples Index, the Rydex S&P 500 Equal Weight Energy ETF tracks the S&P 500 Equal Weight Energy Index, the Rydex S&P 500 Equal Weight Financials ETF tracks the S&P 500 Equal Weight Financials Index, the Rydex S&P 500 Equal Weight Health Care ETF tracks the S&P 500 Equal Weight Health Care Index, the Rydex S&P 500 Equal Weight Industrials ETF tracks the S&P 500 Equal Weight Industrials Index, the Rydex S&P 500 Equal Weight Materials ETF tracks the S&P 500 Equal Weight Materials Index, the Rydex S&P 500 Equal Weight Technology ETF tracks the S&P 500 Equal Weight Information Technology Index and the Rydex S&P 500 Equal Weight Utilities ETF tracks the S&P 500 Equal Weight Telecommunication Services & Utilities Index. The Funds seek to achieve their objective by investing in common stocks or ETFs, where applicable, 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 per share (“NAV”), only in aggregation of 50,000 shares (100,000 shares for International Funds) 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 (“U.S. GAAP”) 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.

ANNUAL REPORT 177

NOTES TO FINANCIAL STATEMENTS (continued)

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 the primary market is the National Association of Securities Dealers Automated Quotations National Market System (“NASDAQ”) are valued at the NASDAQ Official Closing Price.

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 Security Investors, LLC, an affiliated entity, which acts as the Funds’ investment advisor (the “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.

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.

B.  Security Transactions and Income Recognition

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from portfolio 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 real estate investment trusts (“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 Security Global Investors. 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 a Fund’s net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of Security Global Investors, liquidity or other considerations so warrant. For the year ended October 31, 2011, the Funds had not engaged in repurchase agreement transactions.

D.  Foreign Currency Transactions

The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.

The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

178

NOTES TO FINANCIAL STATEMENTS (continued)

Net realized foreign exchange gains or losses arise from the difference between asset and liability amounts initially stated in foreign currencies and the U.S. dollar value of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of portfolio securities and other assets and liabilities at the end of the reporting period, resulting from changes in the exchange rates.

E.  Federal Income Taxes

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision has been recorded.

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 — 2011), 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. GAAP. These differences are primarily due to differing treatments for in-kind redemptions, income reclassifications from REITs and losses deferred due to wash sales.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The greatest impact to the disclosure in the financial reports for the Fund will be seen on the treatment of capital loss carryforwards.

Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

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 net capital gains resulting from in-kind redemptions, because they are non-taxable to the Funds, and therefore are not distributed to existing Fund

ANNUAL REPORT 179

NOTES TO FINANCIAL STATEMENTS (continued)

shareholders, or net capital losses resulting from in-kind redemptions, which are reclassified to paid-in-capital. For the year ended October 31, 2011, the adjustments for the Funds were as follows:

				Undistributed			Accumulated
	Paid-In			Net Investment			Net Realized
	Capital			Income (Loss)			Gain (Loss)
Rydex S&P 500 Equal Weight ETF	$	296,324,299		$	(1,475,706	)	$	(294,848,593	)
Rydex S&P MidCap 400 Equal Weight ETF		1			(836	)		835
Rydex S&P SmallCap 600 Equal Weight ETF		—			(994	)		994
Rydex Russell MidCap® Equal Weight ETF		173,449			(6,748	)		(166,701	)
Rydex Russell 1000® Equal Weight ETF		106,720			(4,536	)		(102,184	)
Rydex Russell 2000® Equal Weight ETF		(17	)		(4,057	)		4,074
Rydex MSCI EAFE Equal Weight ETF		314,407			26,866			(341,273	)
Rydex MSCI Emerging Markets Equal Weight ETF		(297,805	)		26,398			271,407
Rydex MSCI ACWI Equal Weight ETF		(758,044	)		(598	)		758,642
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		2,624,708			—			(2,624,708	)
Rydex S&P 500 Equal Weight Consumer Staples ETF		957,802			—			(957,802	)
Rydex S&P 500 Equal Weight Energy ETF		4,118,337			—			(4,118,337	)
Rydex S&P 500 Equal Weight Financials ETF		1,262,252			(1,481	)		(1,260,771	)
Rydex S&P 500 Equal Weight Health Care ETF		4,013,252			—			(4,013,252	)
Rydex S&P 500 Equal Weight Industrials ETF		6,891,752			(5,111	)		(6,886,641	)
Rydex S&P 500 Equal Weight Materials ETF		1,339,224			(9,430	)		(1,329,794	)
Rydex S&P 500 Equal Weight Technology ETF		4,837,454			(19,300	)		(4,818,154	)
Rydex S&P 500 Equal Weight Utilities ETF		1,795,387			(30,897	)		(1,764,490	)

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended October 31, 2011, the following capital loss carryforward amounts expired or were used to offset current year net realized capital gains:

Rydex S&P 500 Equal Weight ETF	$	—
Rydex S&P MidCap 400 Equal Weight ETF		—
Rydex S&P SmallCap 600 Equal Weight ETF		—
Rydex Russell MidCap® Equal Weight ETF		—
Rydex Russell 1000® Equal Weight ETF		—
Rydex Russell 2000® Equal Weight ETF		—
Rydex MSCI EAFE Equal Weight ETF		—
Rydex MSCI Emerging Markets Equal Weight ETF		—
Rydex MSCI ACWI Equal Weight ETF		—
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		322,418
Rydex S&P 500 Equal Weight Consumer Staples ETF		—
Rydex S&P 500 Equal Weight Energy ETF		—
Rydex S&P 500 Equal Weight Financials ETF		26,014
Rydex S&P 500 Equal Weight Health Care ETF		—
Rydex S&P 500 Equal Weight Industrials ETF		271
Rydex S&P 500 Equal Weight Materials ETF		603,691
Rydex S&P 500 Equal Weight Technology ETF		718,650
Rydex S&P 500 Equal Weight Utilities ETF		87,518

180

NOTES TO FINANCIAL STATEMENTS (continued)

A summary of the expiration of the capital loss carryforward is as follows:

	2016		2017		2018		2019		Unlimited
Rydex S&P 500 Equal Weight ETF	$	119,981,602	$	313,762,207	$	35,251,288	$	20,961,994	$	—
Rydex S&P MidCap 400 Equal Weight ETF		—		—		—		—		8,775
Rydex S&P SmallCap 600 Equal Weight ETF		—		—		—		—		2,144
Rydex Russell MidCap® Equal Weight ETF		—		—		—		203,151		—
Rydex Russell 1000® Equal Weight ETF		—		—		—		1,055		—
Rydex Russell 2000® Equal Weight ETF		—		—		—		260,291		—
Rydex MSCI EAFE Equal Weight ETF		—		—		—		—		—
Rydex MSCI Emerging Markets Equal Weight ETF		—		—		—		18,800		—
Rydex MSCI ACWI Equal Weight ETF		—		—		—		—		—
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		800,016		1,981,333		—		—		—
Rydex S&P 500 Equal Weight Consumer Staples ETF		32,363		195,890		—		61,000		—
Rydex S&P 500 Equal Weight Energy ETF		—		1,743,348		393,314		128,371		—
Rydex S&P 500 Equal Weight Financials ETF		1,784,990		4,062,086		376,840		—		—
Rydex S&P 500 Equal Weight Health Care ETF		929,808		3,545,994		—		66,030		—
Rydex S&P 500 Equal Weight Industrials ETF		—		1,121,641		—		—		—
Rydex S&P 500 Equal Weight Materials ETF		—		577,821		—		—		—
Rydex S&P 500 Equal Weight Technology ETF		—		2,339,667		—		—		—
Rydex S&P 500 Equal Weight Utilities ETF		−		527,922		333,609		—		—

The tax character of distributable earnings (accumulated losses) at October 31, 2011 was as follows:

	Undistributed		Undistributed					Unrealized
	Ordinary		Long Term		Capital Loss			Appreciation
	Income		Capital Gain		Carryfoward			(Depreciation)
Rydex S&P 500 Equal Weight ETF	$	818,113	$	—	$	(489,957,091	)	$	(123,008,966	)
Rydex S&P MidCap 400 Equal Weight ETF		1,484		—		(8,775	)		(142,596	)
Rydex S&P SmallCap 600 Equal Weight ETF		2,570		—		(2,144	)		16,573
Rydex Russell MidCap® Equal Weight ETF		36,985		—		(203,151	)		(366,721	)
Rydex Russell 1000® Equal Weight ETF		21,192		—		(1,055	)		(1,640,486	)
Rydex Russell 2000® Equal Weight ETF		18,876		—		(260,291	)		(1,564,922	)
Rydex MSCI EAFE Equal Weight ETF		24,815		—		—			(1,829,127	)
Rydex MSCI Emerging Markets Equal Weight ETF		—		—		(18,800	)		(2,791,231	)
Rydex MSCI ACWI Equal Weight ETF		44,260		230		—			(237,274	)
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		12,998		—		(2,781,349	)		1,045,328
Rydex S&P 500 Equal Weight Consumer Staples ETF		57,011		—		(289,253	)		2,255,884
Rydex S&P 500 Equal Weight Energy ETF		3,322		—		(2,265,033	)		(5,834,804	)
Rydex S&P 500 Equal Weight Financials ETF		—		—		(6,223,916	)		(1,793,995	)
Rydex S&P 500 Equal Weight Health Care ETF		36,874		—		(4,541,832	)		(2,327,171	)
Rydex S&P 500 Equal Weight Industrials ETF		7,527		—		(1,121,641	)		(183,257	)
Rydex S&P 500 Equal Weight Materials ETF		29,012		—		(577,821	)		2,655,309
Rydex S&P 500 Equal Weight Technology ETF		—		—		(2,339,667	)		(1,325,832	)
Rydex S&P 500 Equal Weight Utilities ETF		40,616		—		(861,531	)		1,231,912

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. Any undistributed ordinary income or long-term capital gain remaining at fiscal year-end is distributed in the following year.

ANNUAL REPORT 181

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during 2011 was as follows:

	Ordinary		Return of
	Income		Capital
Rydex S&P 500 Equal Weight ETF	$	40,649,421	$	—
Rydex S&P MidCap 400 Equal Weight ETF		5,601		—
Rydex S&P SmallCap 600 Equal Weight ETF		6,163		—
Rydex Russell MidCap® Equal Weight ETF		168,415		—
Rydex Russell 1000® Equal Weight ETF		165,561		—
Rydex Russell 2000® Equal Weight ETF		82,186		—
Rydex MSCI EAFE Equal Weight ETF		491,348		—
Rydex MSCI Emerging Markets Equal Weight ETF		160,394		155,130
Rydex MSCI ACWI Equal Weight ETF		83,619		—
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		291,636		—
Rydex S&P 500 Equal Weight Consumer Staples ETF		404,016		—
Rydex S&P 500 Equal Weight Energy ETF		267,926		—
Rydex S&P 500 Equal Weight Financials ETF		292,247		—
Rydex S&P 500 Equal Weight Health Care ETF		230,946		—
Rydex S&P 500 Equal Weight Industrials ETF		609,503		—
Rydex S&P 500 Equal Weight Materials ETF		560,979		—
Rydex S&P 500 Equal Weight Technology ETF		622,234		—
Rydex S&P 500 Equal Weight Utilities ETF		868,554		—

The tax character of distributions paid during 2010 was as follows:

	Ordinary
	Income
Rydex S&P 500 Equal Weight ETF	$	27,968,738
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		221,575
Rydex S&P 500 Equal Weight Consumer Staples ETF		244,303
Rydex S&P 500 Equal Weight Energy ETF		137,899
Rydex S&P 500 Equal Weight Financials ETF		251,198
Rydex S&P 500 Equal Weight Health Care ETF		247,927
Rydex S&P 500 Equal Weight Industrials ETF		398,481
Rydex S&P 500 Equal Weight Materials ETF		1,001,234
Rydex S&P 500 Equal Weight Technology ETF		230,398
Rydex S&P 500 Equal Weight Utilities ETF		451,578

F. Fair Value Measurement

In accordance with U.S. GAAP, 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. A three-tier hierarchy is utilized 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. The types of assets and liabilities carried at Level 1 fair value generally are government and agency securities, equities listed in active markets and stock index futures.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). The types of assets and liabilities carried at Level 2 fair value generally are domestic equity index swaps and short-term securities with maturities of 60 days or less, including repurchase agreements.

Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

Transfers between investment Levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2011, there were no securities transferred between any Levels.

182

NOTES TO FINANCIAL STATEMENTS (continued)

The following table summarizes the inputs used to value the Funds’ net assets as of October 31, 2011:

	Level 1		Level 2		Level 3
	Investments		Investments		Investments
Fund	in Securities		in Securities		in Securities		Total
Rydex S&P 500 Equal Weight ETF	$	3,062,303,166	$	—	$	—	$	3,062,303,166
Rydex S&P MidCap 400 Equal Weight ETF		2,825,418		—		—		2,825,418
Rydex S&P SmallCap 600 Equal Weight ETF		5,639,185		70		—		5,639,255
Rydex Russell MidCap® Equal Weight ETF		54,498,084		—		—		54,498,084
Rydex Russell 1000® Equal Weight ETF		34,188,640		—		—		34,188,640
Rydex Russell 2000® Equal Weight ETF		23,566,416		7,770		—		23,574,186
Rydex MSCI EAFE Equal Weight ETF		11,019,854		1,698		—		11,021,552
Rydex MSCI Emerging Markets Equal Weight ETF		16,867,283		6,915		—		16,874,198
Rydex MSCI ACWI Equal Weight ETF		3,586,526		—		—		3,586,526
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		21,460,342		—		—		21,460,342
Rydex S&P 500 Equal Weight Consumer Staples ETF		30,484,808		—		—		30,484,808
Rydex S&P 500 Equal Weight Energy ETF		35,280,937		—		—		35,280,937
Rydex S&P 500 Equal Weight Financials ETF		17,126,139		—		—		17,126,139
Rydex S&P 500 Equal Weight Health Care ETF		53,186,021		—		—		53,186,021
Rydex S&P 500 Equal Weight Industrials ETF		15,454,857		—		—		15,454,857
Rydex S&P 500 Equal Weight Materials ETF		36,757,712		—		—		36,757,712
Rydex S&P 500 Equal Weight Technology ETF		109,682,799		—		—		109,682,799
Rydex S&P 500 Equal Weight Utilities ETF		32,378,037		—		—		32,378,037

For the year ended October 31, 2011, there were no Level 3 Investments.

G.  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. GAAP.

H.  Risks and Uncertainties

The Funds invest 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 Rydex S&P 500 Equal Weight Sector ETFs are non-diversified funds, subjecting them to a greater risk than funds that are diversified.

I.  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.

3.   ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES

The Advisor 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

ANNUAL REPORT 183

NOTES TO FINANCIAL STATEMENTS (continued)

index. For these services, the Advisor receives a management fee at the annual rate shown below as a percentage of the average daily net assets of the Funds.

	Advisory Fee
Rydex S&P 500 Equal Weight ETF		0.40	%
Rydex S&P MidCap 400 Equal Weight ETF		0.40	%
Rydex S&P SmallCap 600 Equal Weight ETF		0.40	%
Rydex Russell MidCap® Equal Weight ETF		0.40	%
Rydex Russell 1000® Equal Weight ETF		0.40	%
Rydex Russell 2000® Equal Weight ETF		0.40	%
Rydex MSCI EAFE Equal Weight ETF		0.55	%
Rydex MSCI Emerging Markets Equal Weight ETF		0.70	%
Rydex MSCI ACWI Equal Weight ETF		0.20	%
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		0.50	%
Rydex S&P 500 Equal Weight Consumer Staples ETF		0.50	%
Rydex S&P 500 Equal Weight Energy ETF		0.50	%
Rydex S&P 500 Equal Weight Financials ETF		0.50	%
Rydex S&P 500 Equal Weight Health Care ETF		0.50	%
Rydex S&P 500 Equal Weight Industrials ETF		0.50	%
Rydex S&P 500 Equal Weight Materials ETF		0.50	%
Rydex S&P 500 Equal Weight Technology ETF		0.50	%
Rydex S&P 500 Equal Weight Utilities ETF		0.50	%

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 fees or expenses, Trustee Fees (where applicable) and extraordinary expenses.

For the Rydex MSCI ACWI Equal Weight ETF and the Rydex Emerging Markets Equal Weight ETF, the Advisor has contractually agreed to reduce fees and/or reimburse expenses to the extent necessary to keep the Fund’s net operating expenses (excluding interest, taxes, brokerage commissions, dividends on securities sold short, distribution fees and expenses, and extraordinary expenses (“Excluded Expenses”)) plus Acquired Fund Fees and Expenses borne indirectly from exceeding 0.60% (for the Rydex MSCI ACWI Equal Weight ETF) or 0.70% (for the Rydex Emerging Markets Equal Weight ETF) of the Fund’s average daily net assets until February 28, 2012. This agreement may be terminated: (i) by the Trust’s Board of Trustees, for any reason at any time, or (ii) by the Advisor, upon ninety (90) days’ prior written notice to the Trust, effective as of the close of the business on the last day of the then-current one-year period.

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 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, LLC, 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, 2011, 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

184

NOTES TO FINANCIAL STATEMENTS (continued)

equate the transaction to the NAV of the Fund on the transaction date. Transaction fees are not charged to or paid by the Funds. The minimum transaction fees are:

	Minimum
	Transaction Fee
Rydex S&P 500 Equal Weight ETF	$	2,000
Rydex S&P MidCap 400 Equal Weight ETF		2,000
Rydex S&P SmallCap 600 Equal Weight ETF		1,250
Rydex Russell MidCap® Equal Weight ETF		2,000
Rydex Russell 1000® Equal Weight ETF		2,500
Rydex Russell 2000® Equal Weight ETF		3,000
Rydex MSCI EAFE Equal Weight ETF		12,000
Rydex MSCI Emerging Markets Equal Weight ETF		6,000
Rydex MSCI ACWI Equal Weight ETF		2,000
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		750
Rydex S&P 500 Equal Weight Consumer Staples ETF		500
Rydex S&P 500 Equal Weight Energy ETF		500
Rydex S&P 500 Equal Weight Financials ETF		750
Rydex S&P 500 Equal Weight Health Care ETF		500
Rydex S&P 500 Equal Weight Industrials ETF		500
Rydex S&P 500 Equal Weight Materials ETF		500
Rydex S&P 500 Equal Weight Technology ETF		750
Rydex S&P 500 Equal Weight Utilities ETF		500

5.   INVESTMENT TRANSACTIONS

For the year ended October 31, 2011, the Funds had investment transactions in-kind associated with subscriptions and redemptions as follows:

	Subscriptions		Redemptions
Rydex S&P 500 Equal Weight ETF	$	2,768,801,103	$	1,942,054,957
Rydex S&P MidCap 400 Equal Weight ETF		2,976,577		—
Rydex S&P SmallCap 600 Equal Weight ETF		5,628,940		—
Rydex Russell MidCap® Equal Weight ETF		56,296,996		1,501,468
Rydex Russell 1000® Equal Weight ETF		37,122,772		1,450,623
Rydex Russell 2000® Equal Weight ETF		25,380,840		—
Rydex MSCI EAFE Equal Weight ETF		24,804,865		12,061,030
Rydex MSCI Emerging Markets Equal Weight ETF		17,984,637		4,441,699
Rydex MSCI ACWI Equal Weight ETF		7,756,517		3,247,346
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		7,382,455		13,584,293
Rydex S&P 500 Equal Weight Consumer Staples ETF		18,099,368		3,142,633
Rydex S&P 500 Equal Weight Energy ETF		99,180,407		77,214,373
Rydex S&P 500 Equal Weight Financials ETF		8,458,023		6,902,846
Rydex S&P 500 Equal Weight Health Care ETF		118,501,145		122,586,798
Rydex S&P 500 Equal Weight Industrials ETF		8,391,571		35,411,733
Rydex S&P 500 Equal Weight Materials ETF		9,279,454		5,656,205
Rydex S&P 500 Equal Weight Technology ETF		68,765,766		45,910,160
Rydex S&P 500 Equal Weight Utilities ETF		18,573,659		8,067,482

ANNUAL REPORT 185

NOTES TO FINANCIAL STATEMENTS (continued)

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 S&P 500 Equal Weight ETF	$	601,884,637	$	617,046,786
Rydex S&P MidCap 400 Equal Weight ETF		199,636		196,539
Rydex S&P SmallCap 600 Equal Weight ETF		448,303		458,195
Rydex Russell MidCap® Equal Weight ETF		7,478,600		7,346,213
Rydex Russell 1000® Equal Weight ETF		4,542,481		4,491,157
Rydex Russell 2000® Equal Weight ETF		5,603,630		5,578,201
Rydex MSCI EAFE Equal Weight ETF		4,324,169		4,585,289
Rydex MSCI Emerging Markets Equal Weight ETF		16,774,623		10,443,629
Rydex MSCI ACWI Equal Weight ETF		429,842		431,113
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		6,431,180		6,902,251
Rydex S&P 500 Equal Weight Consumer Staples ETF		2,907,791		3,145,263
Rydex S&P 500 Equal Weight Energy ETF		10,919,690		11,052,148
Rydex S&P 500 Equal Weight Financials ETF		3,554,041		3,280,371
Rydex S&P 500 Equal Weight Health Care ETF		10,045,135		11,939,203
Rydex S&P 500 Equal Weight Industrials ETF		6,063,950		7,186,195
Rydex S&P 500 Equal Weight Materials ETF		8,960,219		9,127,303
Rydex S&P 500 Equal Weight Technology ETF		33,799,528		33,451,306
Rydex S&P 500 Equal Weight Utilities ETF		3,653,110		3,933,421

There were no purchases or sales of U.S. government or government agency obligations for the year ended October 31, 2011.

At October 31, 2011, 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 S&P 500 Equal Weight ETF	$	3,185,312,132	$	139,708,357	$	(262,717,323	)	$	(123,008,966	)
Rydex S&P MidCap 400 Equal Weight ETF		2,968,014		74,676		(217,272	)		(142,596	)
Rydex S&P SmallCap 600 Equal Weight ETF		5,622,682		294,834		(278,261	)		16,573
Rydex Russell MidCap® Equal Weight ETF		54,864,805		2,226,652		(2,593,373	)		(366,721	)
Rydex Russell 1000® Equal Weight ETF		35,829,126		890,595		(2,531,081	)		(1,640,486	)
Rydex Russell 2000® Equal Weight ETF		25,139,093		1,033,273		(2,598,180	)		(1,564,907	)
Rydex MSCI EAFE Equal Weight ETF		12,850,143		277,612		(2,106,203	)		(1,828,591	)
Rydex MSCI Emerging Markets Equal Weight ETF		19,665,493		373,823		(3,165,118	)		(2,791,295	)
Rydex MSCI ACWI Equal Weight ETF		3,823,800		28,580		(265,854	)		(237,274	)
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		20,415,014		2,595,108		(1,549,780	)		1,045,328
Rydex S&P 500 Equal Weight Consumer Staples ETF		28,228,924		2,924,729		(668,845	)		2,255,884
Rydex S&P 500 Equal Weight Energy ETF		41,115,741		1,224,860		(7,059,664	)		(5,834,804	)
Rydex S&P 500 Equal Weight Financials ETF		18,920,134		909,216		(2,703,211	)		(1,793,995	)
Rydex S&P 500 Equal Weight Health Care ETF		55,513,192		651,018		(2,978,189	)		(2,327,171	)
Rydex S&P 500 Equal Weight Industrials ETF		15,638,114		1,137,723		(1,320,980	)		(183,257	)
Rydex S&P 500 Equal Weight Materials ETF		34,102,403		5,365,630		(2,710,321	)		2,655,309
Rydex S&P 500 Equal Weight Technology ETF		111,008,631		8,562,974		(9,888,806	)		(1,325,832	)
Rydex S&P 500 Equal Weight Utilities ETF		31,146,125		2,096,343		(864,431	)		1,231,912

6.   AFFILIATED ISSUERS

Investments representing 5% or more of the outstanding voting securities of a portfolio company of a fund result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act. The aggregate market value of all securities of affiliated companies held in Rydex MSCI ACWI Equal Weight ETF as of October 31, 2011 amounted to $2,503,714, which

186

NOTES TO FINANCIAL STATEMENTS (concluded)

represents 69.8% of net assets. There were no affiliated companies held in any other Fund. Transactions in Rydex MSCI ACWI Equal Weight ETF during the year ended October 31, 2011 in which the portfolio company is an “affiliated person” are as follows:

														Gain (Loss)
														Realized on
	Value							Value		Shares		Investment		Sale of
Security	1/7/11		Additions		Reductions			10/31/11		10/31/11		Income		Shares
Rydex MSCI EAFE Equal Weight ETF	$	—	$	3,106,238	$	(1,361,368	)	$	1,368,704		36,992	$	64,876	$	(281,530	)
Rydex MSCI Emerging Markets Equal Weight ETF		—		2,687,610		(1,072,411	)		1,135,010		33,275		33,917		(377,229	)

7. NAME CHANGES

Effective March 1, 2011, the Rydex S&P Equal Weight ETF, the Rydex S&P Equal Weight Consumer Discretionary ETF, the Rydex S&P Equal Weight Consumer Staples ETF, the Rydex S&P Equal Weight Energy ETF, the Rydex S&P Equal Weight Financials ETF, the Rydex S&P Equal Weight Health Care ETF, the Rydex S&P Equal Weight Industrials ETF, the Rydex S&P Equal Weight Materials ETF, the Rydex S&P Equal Weight Technology ETF and the Rydex S&P Equal Weight Utilities ETF, changed their Fund names to Rydex S&P 500 Equal Weight ETF, Rydex S&P 500 Equal Weight Consumer Discretionary ETF, Rydex S&P 500 Equal Weight Consumer Staples ETF, Rydex S&P 500 Equal Weight Energy ETF, Rydex S&P 500 Equal Weight Financials ETF, Rydex S&P 500 Equal Weight Health Care ETF, Rydex S&P 500 Equal Weight Industrials ETF, Rydex S&P 500 Equal Weight Materials ETF, Rydex S&P 500 Equal Weight Technology ETF and Rydex S&P 500 Equal Weight Utilities ETF, respectively. The name changes did not have any impact on the Funds’ investment objectives, tickers or CUSIPS.

ANNUAL REPORT 187

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 S&P 500 Equal Weight ETF, Rydex S&P MidCap 400 Equal Weight ETF, Rydex S&P SmallCap 600 Equal Weight ETF, Rydex Russell MidCap^® Equal Weight ETF, Rydex Russell 1000^® Equal Weight ETF, Rydex Russell 2000^® Equal Weight ETF, Rydex MSCI EAFE Equal Weight ETF, Rydex MSCI Emerging Markets Equal Weight ETF, Rydex MSCI ACWI Equal Weight ETF, Rydex S&P Equal Weight Consumer Discretionary ETF, Rydex S&P Equal Weight Consumer Staples ETF, Rydex S&P Equal Weight Energy ETF, Rydex S&P Equal Weight Financials ETF, Rydex S&P Equal Weight Health Care ETF, Rydex S&P Equal Weight Industrials ETF, Rydex S&P Equal Weight Materials ETF, Rydex S&P Equal Weight Technology ETF, and Rydex S&P Equal Weight Utilities ETF (18 of the series constituting the Rydex ETF Trust) (the “Funds”) as of October 31, 2011, and the related statements of operations, 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 Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011, 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 the above listed Funds at October 31, 2011, and the results of their operations, 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.

McLean, Virginia

December 23, 2011

188

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, 2011:

	Dividend Received			Long Term Capital		Qualified Income
	Deduction			Gains Distribution		Distribution
Rydex S&P 500 Equal Weight ETF		100.00	%	$	—	$	50,481,158
Rydex S&P MidCap 400 Equal Weight ETF		100.00	%		—		8,435
Rydex S&P SmallCap 600 Equal Weight ETF		100.00	%		—		10,746
Rydex Russell MidCap® Equal Weight ETF		100.00	%		—		288,531
Rydex Russell 1000® Equal Weight ETF		100.00	%		—		223,473
Rydex Russell 2000® Equal Weight ETF		100.00	%		—		120,491
Rydex MSCI EAFE Equal Weight ETF		0.00	%		—		552,283
Rydex MSCI Emerging Markets Equal Weight ETF		0.00	%		—		179,945
Rydex MSCI ACWI Equal Weight ETF		11.89	%		—		115,392
Rydex S&P 500 Equal Weight Consumer Discretionary ETF		100.00	%		—		414,879
Rydex S&P 500 Equal Weight Consumer Staples ETF		100.00	%		—		517,699
Rydex S&P 500 Equal Weight Energy ETF		100.00	%		—		491,922
Rydex S&P 500 Equal Weight Financials ETF		100.00	%		—		271,621
Rydex S&P 500 Equal Weight Health Care ETF		100.00	%		—		476,803
Rydex S&P 500 Equal Weight Industrials ETF		100.00	%		—		800,368
Rydex S&P 500 Equal Weight Materials ETF		100.00	%		—		790,048
Rydex S&P 500 Equal Weight Technology ETF		100.00	%		—		1,206,129
Rydex S&P 500 Equal Weight Utilities ETF		100.00	%		—		995,340

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, 2011 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 inWashington, 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.

Office Locations

The offices of Security Global Investors, LLC can be found in the following locations:

40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)

Four Irvington Centre

805 King Farm Boulevard
Suite 600
Rockville, MD 20850

ANNUAL REPORT 189

SUPPLEMENTAL INFORMATION (Unaudited) (continued)

9401 Indian Creek Parkway

40 Corporate Woods
Suite 850
Overland Park, KS 66210

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Funds’ investment adviser (the “Investment Adviser”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals.

The Transaction should not result in material changes to the day-to-day management and operations of the Funds or any increase in fees. The parties expect the Transaction to be completed in late 2011 or early 2012. However, it is subject to various conditions, and could be delayed or even terminated due to unforeseen circumstances.

In anticipation of the Transaction, the Boards of Trustees of the Funds (the “Boards”) have called special meetings of shareholders (the “Meetings”), at which shareholders of record of each of the Funds as of October 3, 2011 (October 13, 2011 with respect to the Funds that are series of Rydex ETF Trust) will be asked to consider the approval of new investment advisory agreements between the Funds and the Investment Adviser (the “New Advisory Agreements”). This is necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could result in the termination of the Funds’ current investment advisory agreements with the Investment Adviser (the “Current Agreements”). The terms of the New Agreements are substantially identical to the corresponding Current Agreements, except with respect to the date of execution.

Board Considerations in Approving the Investment Advisory Agreement

At an in-person meeting of the Rydex ETF Trust’s Board of Trustees held August 16-17, 2011, called for the purpose of, among other things, voting on the approval of investment advisory agreement applicable to the series of the Trust (collectively, the “Funds”), the Trust’s Board of Trustees, including the independent Trustees, unanimously approved the investment advisory agreement between the Trust and Security Investors, LLC (referred to herein as the “Adviser”).

At the meeting of August 16-17, 2011, the Trust’s Board of Trustees also considered a new investment advisory agreement that was required as a result of a proposed change in the corporate ownership structure of the Adviser (the “Transaction”). The Investment Company Act of 1940 (the “1940 Act”), the law that regulates mutual funds, including the Funds, requires that a fund’s investment advisory agreement terminate whenever there is deemed to be a “change in control” of the investment adviser. The change in the corporate ownership structure of the Adviser could potentially be deemed to constitute a “change in control” (as this term is used for regulatory purposes) of the Adviser. Before an investment advisory agreement terminates, a new investment advisory agreement must be in effect in order for the investment adviser to continue to manage the fund’s investments. For that reason, the Board of Trustees was asked to approve a new investment advisory agreement for the Funds.

At the meeting of August 16-17, 2011, the Board considered the new investment advisory agreement, pursuant to which, subject to approval by each Fund’s shareholders, the Adviser would continue to serve each Fund as investment adviser after the completion of the Transaction. At a special meeting of the Board held on September 14, 2011, the Board considered further information about the Transaction and voted in favor of the new investment advisory agreement.

In reaching the conclusion to approve the investment advisory agreement, the Trustees requested and obtained from the Adviser such information as the Trustees deemed reasonably necessary to evaluate the proposed agreement. The Trustees carefully evaluated this information and were advised by legal counsel with respect to their deliberations.

Prior to the Board meetings in August and September 2011, representatives of Guggenheim Capital informed the Board of the Transaction. With respect to the Transaction, the Board reviewed materials received from Guggenheim Capital, including information relating to the terms of the Transaction. The Board also reviewed information regarding Guggenheim Capital, including, but not limited to: (a) certain representations concerning Guggenheim Capital’s financial condition, (b) information regarding the new proposed ownership structure and its possible effect on shareholders, (c) information regarding the consideration to be paid by Guggenheim Capital, and (d) potential conflicts of interest.

190

SUPPLEMENTAL INFORMATION (Unaudited) (continued)

In considering the new investment advisory agreement, the Board determined that the agreement would enable shareholders of the Funds to continue to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of their shareholders. The Board, including the independent Trustees, unanimously approved the new agreement. In reaching their decision, the Trustees carefully considered information that they had received throughout the year as part of their regular oversight of the Funds, including, in particular, information from the Adviser that the Board had received relating to the current investment advisory agreement at the Board meeting of August 16-17, 2011. The Trustees noted that, at the meeting, they had obtained and reviewed a wide variety of information, including certain comparative information regarding performance of the Funds relative to performance of other comparable mutual funds. They also considered the evolution of the Rydex|SGI family of funds and the Adviser since the change in control of the Investment Adviser in 2010 and Guggenheim Capital’s commitment to the success of the Adviser and the Funds.

In addition, as a part of their required consideration of the renewal of the current investment advisory agreement at the meeting of August 16-17, 2011, the Trustees, including the independent Trustees, had evaluated a number of considerations, including among others: (a) the quality of the Advisers’ investment advisory and other services; (b) the Advisers’ investment management personnel; (c) the Advisers’ operations and financial condition; (d) the Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the fees that the Advisers charge compared with the fees charged to comparable mutual funds or accounts; (f) each Fund’s overall fees and operating expenses compared with similar mutual funds; (g) the level of the Advisers’ profitability from its Fund-related operations; (h) the Advisers’ compliance systems; (i) the Advisers’ policies on and compliance procedures for personal securities transactions; (j) the Advisers’ reputation, expertise and resources in the financial markets; and (k) Fund performance compared with similar mutual funds. Based on the Board’s deliberations at the meetings of August 16-17, 2011 and September 14, 2011, and its evaluation of the information regarding the Transaction and the fact that the Transaction is not expected to change the level and quality of services rendered by the Adviser to any of the Funds, the Board, including all of the independent Trustees, unanimously: (a) concluded that terms of the current and new investment advisory agreement are fair and reasonable; (b) concluded that the Adviser’s fees were reasonable in light of the services that they provide to the Funds; and (c) agreed to approve the current investment advisory agreement and, subject to shareholder approval, the new investment advisory agreement, based upon the following considerations, among others:

•  Nature, Extent and Quality of Services Provided by the Adviser. At the meeting of August 16-17, 2011, the Board reviewed the scope of services to be provided by the Adviser under the current investment advisory agreement and, at the meetings of August 16-17, 2011 and September 14, 2011, noted that there would be no significant differences between the scope of services required to be provided by the Adviser under the current investment advisory agreement and the scope of services required to be provided by the Adviser under the new investment advisory agreement. The Board noted that the key investment and management personnel of the Adviser servicing the Funds are expected to remain the same following the Transaction. The Trustees also considered Guggenheim Capital’s representations to the Board that the Adviser would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and that these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs.

•  Fund Expenses and Performance of the Funds and the Adviser. At the meeting of August 16-17, 2011, the Board had reviewed statistical information prepared by the Adviser regarding the expense ratio components and performance of each Fund. Based on the representations made by Guggenheim Capital at the meeting that the Adviser would continue to operate following the closing of the Transaction in much the same manner as it currently operates, the Board concluded that the investment performance of the Adviser was not expected to be affected by the Transaction.

•  Costs of Services Provided to the Funds and Profits Realized by the Adviser and its Affiliates. At the meeting of August 16-17, 2011, the Board had reviewed information about the profitability of the Funds to the Adviser based on the advisory fees payable under the current investment advisory agreement. At that meeting, the Board had also analyzed the Funds’ expenses, including the investment advisory fees paid to the Adviser. At the Board meeting, the Board considered the fact that the fee rates payable to the Adviser would be the same under each Fund’s new investment advisory agreement as they are under such Fund’s current agreement. With respect to anticipated profitability, the Board noted that it was too early to predict how the Transaction would affect the Adviser’s profitability with respect to the Funds, but noted that this matter would be given further consideration on an ongoing basis.

•  Economies of Scale. In connection with its review of the Funds’ profitability analysis at the meeting of August 16-17, 2011, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds’ asset levels. The Trustees noted that the fees would not change under the new investment advisory agreement, and that no

ANNUAL REPORT 191

SUPPLEMENTAL INFORMATION (Unaudited) (concluded)

additional economies of scale would be directly realized as a result of the Transaction. They also noted that they will have the opportunity to again review the appropriateness of the fees payable to the Adviser under the new agreement when the renewal of the new agreement comes before the Board.

•  Other Benefits to the Adviser and/or its Affiliates. In addition to evaluating the services provided by the Adviser, the Board had considered the nature, extent, quality and cost of the distribution services performed by the Funds’ Distributor under a separate agreement at the meeting of August 16-17, 2011. The Board reviewed information regarding potential economies of scale arising from the integration of the asset management businesses of Guggenheim Capital. The Board also considered the terms of the Transaction and the changes to the corporate ownership structure of the Adviser, noting that the Adviser would no longer be a subsidiary of Security Benefit Corporation. In this regard, the Board noted that, under the corporate structure after the Transaction, the Adviser would be more closely controlled by Guggenheim Capital, which could benefit Guggenheim Capital. The Board also noted that the costs associated with the Transaction would be borne by Guggenheim Capital (or its affiliates) and not the Funds.

On the basis of the information provided to it and its evaluation of that information, the Board, including the independent Trustees, concluded that the terms of the investment advisory and investment sub-advisory agreements for the Funds were reasonable, and that approval of the current and new investment advisory agreement was in the best interests of the Funds.

192

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other Trusts of SGI, 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 800.820.0888.

All Trustees and Officers may be reached c/o Security Global Investors, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

INDEPENDENT TRUSTEES

	Length of Service
Name, Position and	As Trustee
Year of Birth	(Year Began)	Number of Funds Overseen
Corey A. Colehour Trustee (1945)	Rydex Series Funds – 1993 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Audit and Governance and Nominating Committees (1995 to present)
J. Kenneth Dalton Trustee (1941)	Rydex Series Funds – 1995 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
John O. Demaret Trustee, Chairman of the Board (1940)	Rydex Series Funds – 1997 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
Werner E. Keller Trustee, Vice Chairman of the Board (1940)	Rydex Series Funds – 2005 Rydex Variable Trust – 2005 Rydex Dynamic Funds – 2005 Rydex ETF Trust – 2005		150
Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)
Thomas F. Lydon, Jr. Trustee (1960)	Rydex Series Funds – 2005 Rydex Variable Trust – 2005 Rydex Dynamic Funds – 2005 Rydex ETF Trust – 2005		150
Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)
Patrick T. McCarville Trustee (1942)	Rydex Series Funds – 1997 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present);Member of the Audit Committee (1997 to present)
Roger Somers Trustee (1944)	Rydex Series Funds – 1993 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (1995 to present)

ANNUAL REPORT 193

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)

EXECUTIVE OFFICERS

Name, Position and
Year of Birth	Principal Occupations During Past Five Years
Richard M. Goldman* President (1961)	Current: Senior Vice President, Security Benefit Corporation; CEO, Security Benefit Asset Management Holdings, LLC; CEO, President and Manager Representative, Security Investors, LLC; CEO and Manager, Rydex Holdings, LLC; CEO, President and Manager, Rydex Distributors, LLC; Manager, Rydex Fund Services, LLC; President and Trustee, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds and Rydex Variable Trust
	Previous: Director, First Security Benefit Life Insurance Company (2007-2010); President and Director, Security Global Investors (2010-2011); CEO and Director, Rydex Advisors, LLC and Rydex Advisor II, LLC (2010); Director, Security Distributors, Inc. (2007-2009); Managing Member, R M Goldman Partners, LLC (2006-2007)
Michael P. Byrum* Vice President (1970)	Current: President, Security Benefit Asset Management Holdings, LLC; Senior Vice President, Security Investors, LLC; President and Chief Investment Officer, Rydex Holdings, LLC; Director and Chairman of the Board, Advisor Research Center, Inc.; Manager, Rydex Specialized Products, LLC
	Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009-2010), Secretary (2002-2010), Executive Vice President (2002-2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010); Secretary (2002-2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Capital Partners, LLC, (President and Secretary 2003-2007); Rydex Capital Partners II, LLC, (2003-2007); Rydex Holdings, LLC (f/k/a Rydex Holdings, Inc.), Secretary 2005-2008), Executive Vice President (2005-2006); Advisor Research Center, Inc., Secretary (2006-2009), Executive Vice President (2006); Rydex Specialized Products, LLC, Secretary (2005-2008)
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Benefit Asset Management Holdings, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006-2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) and Senior Vice President (2003-2006); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)

194

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

EXECUTIVE OFFICERS (concluded)

Name, Position and
Year of Birth	Principal Occupations During Past Five Years
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966)	Current: Chief Compliance Officer and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; Senior Vice President and Chief Compliance Officer, Security Investors, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC and Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Keith A. Fletcher* Vice President (1958)	Current: Senior Vice President, Security Investors, LLC; Vice President, Rydex Holdings, LLC; Vice President, Rydex Specialized Products, LLC; Vice President, Rydex Distributors, LLC; Vice President, Rydex Fund Services, LLC; Vice President and Director, Advisor Research Center, Inc.; Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)
Amy J. Lee* Vice President and Assistant Secretary (1961)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap l Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)

*  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 Security Global Investors.

Rydex Funds, Rydex|SGI Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Global Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Rydex”)

Our Commitment to You

When you become a Rydex|SGI investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone — whether it is your personal information or if you are a current or former Rydex|SGI client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Rydex|SGI account application or when you request a transaction that involves Rydex and Rydex|SGI funds or one of the Rydex|SGI affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Rydex|SGI. For example, if you ask to transfer assets from another financial institution to Rydex|SGI, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Rydex|SGI investment products and services, we may share your information within the Rydex|SGI family of affiliated companies. This would include, for example, sharing your information within Rydex|SGI so we can make you aware of new Rydex and Rydex|SGI funds or the services offered through another Rydex|SGI affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.

Opt Out Provisions

We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Rydex|SGI web site offers customized features that require our use of “http cookies” — tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies.

We only use cookies for session management and security features on the Rydex|SGI web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

805 KING FARM BLVD.

SUITE 600

ROCKVILLE, MD 20850

800.820.0888

www.rydex-sgi.com

ETF-ANN-1011X1012

October 31, 2011

RYDEX ETF TRUST ANNUAL REPORT

RYDEX RUSSELL TOP 50^® ETF

RYDEX S&P 500 PURE VALUE ETF

RYDEX S&P 500 PURE GROWTH ETF

RYDEX S&P MIDCAP 400 PURE VALUE ETF

RYDEX S&P MIDCAP 400 PURE GROWTH ETF

RYDEX S&P SMALLCAP 600 PURE VALUE ETF

RYDEX S&P SMALLCAP 600 PURE GROWTH ETF

ANNUAL REPORT 1

 TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
FEES AND EXPENSES	4
PREMIUM AND DISCOUNT INFORMATION	5
MANAGER’S ANALYSIS	6
PORTFOLIO SUMMARY	7
SCHEDULES OF INVESTMENTS	20
STATEMENTS OF ASSETS AND LIABILITIES	37
STATEMENTS OF OPERATIONS	39
STATEMENTS OF CHANGES IN NET ASSETS	41
FINANCIAL HIGHLIGHTS	45
NOTES TO FINANCIAL STATEMENTS	52
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	58
SUPPLEMENTAL INFORMATION	59
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	63
RYDEX|SGI PRIVACY POLICIES	66

2

LETTER TO OUR SHAREHOLDERS

To Our Shareholders:

The U.S. and European debt crises weighed down equity markets in the fall of 2011, but not enough to offset strong performance in the first half of the period that was spurred by the Fed’s quantitative easing (QE) program and a belief that the economic recovery was gaining traction. The broad market S&P 500 Index returned 8.09% over the 12 months ended October 31, 2011.

To achieve that performance, investors had to shrug off natural disasters, Mid East uprisings, volatile oil prices and sovereign debt issues. QEII ended in June, then Congress wrangled over the debt ceiling, and that led to the U.S. losing its triple-A debt rating in August.

As with many countries, the central bank of the U.S. was a major factor in the markets for most of the past year. Late in the third quarter, the Fed chairman said the “recovery is close to faltering,” and there was a risk of another recession unless the government took steps to increase growth. Recessionary fears plagued U.S. markets throughout the past 12 months, driven by weak housing demand despite record-low mortgage rates, consumer confidence that has ebbed for several months and job creation insufficient to keep up with population growth.

Recession was also a threat in Europe, as high unemployment and austerity measures weigh on weaker members of the euro zone, with a knock-on effect for the continent’s growth engines of Germany and France. A rising number of investors are bracing for an orderly default of Greece that may prevent financial problems from spreading to other weak countries or to banks, and stabilize the euro. Even though they were not at the eye of the sovereign debt storm, many emerging market economies also began weakening over the summer, fearing global recession and financial contagion. Investors are especially concerned about the stability of China’s banking system and whether inflation will ebb along with slowing growth.

While the market forces play out, many investors have been driven to the sidelines or to safe havens, including gold, which reached a high of near $1,900 an ounce in August, and the dollar. Further upward moves in the dollar are expected if the world economy continues to sputter. Sluggish economic data, concern over European financial weakness and the Fed’s policy efforts also drove investors into U.S. government debt over the course of 2011, driving up the price of debt maturing in 10 years or more, leading to historic low yields.

As we prepare for 2012, markets continue to be affected by consumer confidence, which remains low, and the unemployment rate, which remains high. Helping matters is lower inflation expectations, good retail sales, sound corporate balance sheets and manufacturing gauges that are improving, albeit slightly. The Fed remains accommodative and the Treasury yield curve is steep. A rebound in GDP to around 2% in the third quarter, fuel prices lower than in the spring and a stronger automotive sector may be enough to keep the U.S. recovery on course, even if modest, and counterbalance difficulties in Europe and Asia.

We are proud of the growth of ETF assets at Rydex|SGI, from $3.6 billion to $5.2 billion (about 44%) over the 12 months ended October 31, 2011, despite troubled markets. According to the Investment Company Institute (ICI), assets in ETFs in the U.S. were more than $1 trillion¹ in October, up about 14% from the year earlier. There are now more than 1,000 ETFs in the U.S., 8 of them launched by Rydex|SGI in the past 12 months.

In September, Guggenheim Partners announced it is expanding its investment management capabilities under a single brand called Guggenheim Investments. This marks an alignment of several complementary acquisitions, including Rydex|SGI, into Guggenheim’s existing investment management business. Upon the change of ownership of Rydex|SGI, expected to be complete in Q1 2012, Guggenheim Investments will have total assets exceeding $115 billion^*, with nearly 150 investment professionals. Guggenheim Investments will offer clients investment competencies across all major asset classes, including fixed income, equities and alternatives. In addition, with the integration of Rydex|SGI, Guggenheim Investments is projected to be included in the top ten of largest ETF providers globally.^**

  ¹  ICI Exchange Traded Fund Assets, October 2011

 *  Asset figure is based upon the best available information as of 9/30/2011 and consists of assets under management and serviced assets of the various asset managers comprising Guggenheim Investments.

 ** Figures are comprised of Guggenheim Funds Investment Advisors, LLC, Claymore Investment, Inc. and Security Investors, LLC. ETF ranking based on BlackRock Global ETF report as of 9/30/2011 and Guggenheim analysis. Performance displayed represents past performance which is no guarantee of future results. Of course, 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 us at 800.820.0888 or visit www.rydex-sgi.com.

ANNUAL REPORT 3

LETTER TO OUR SHAREHOLDERS (concluded)

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Michael Byrum

The opinions and forecasts expressed are those of Michael Byrum as of 10/31/2011, and may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

S&P 500^® Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888

RydexïSGI funds are distributed by Rydex Distributors, LLC (RDL). Security Investors, LLC (SI) is a registered investment advisor, and does business as Security Global Investors^® and Rydex Investments. SI and RDL are affiliates and are subsidiaries of Security Benefit Corporation, which is wholly owned by Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate of Guggenheim Partners, LLC, a diversified financial services firm with more than $100 billion in assets under supervision.

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, 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, 2011 and held for the six months ended October 31, 2011.

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			04/30/11		10/31/11		04/30/11 to 10/31/11
Actual
Rydex Russell Top 50® ETF		0.20	%	$	1,000.00	$	947.30	$	0.98
Rydex S&P 500 Pure Value ETF		0.35	%	$	1,000.00	$	887.20	$	1.66
Rydex S&P 500 Pure Growth ETF		0.35	%	$	1,000.00	$	930.40	$	1.70
Rydex S&P MidCap 400 Pure Value ETF		0.35	%	$	1,000.00	$	856.70	$	1.64
Rydex S&P MidCap 400 Pure Growth ETF		0.35	%	$	1,000.00	$	919.10	$	1.69
Rydex S&P SmallCap 600 Pure Value ETF		0.35	%	$	1,000.00	$	868.50	$	1.65
Rydex S&P SmallCap 600 Pure Growth ETF		0.35	%	$	1,000.00	$	920.20	$	1.69
Hypothetical (assuming a 5% return before expenses)
Rydex Russell Top 50® ETF		0.20	%	$	1,000.00	$	1,024.20	$	1.02
Rydex S&P 500 Pure Value ETF		0.35	%	$	1,000.00	$	1,023.44	$	1.79
Rydex S&P 500 Pure Growth ETF		0.35	%	$	1,000.00	$	1,023.44	$	1.79
Rydex S&P MidCap 400 Pure Value ETF		0.35	%	$	1,000.00	$	1,023.44	$	1.79
Rydex S&P MidCap 400 Pure Growth ETF		0.35	%	$	1,000.00	$	1,023.44	$	1.79
Rydex S&P SmallCap 600 Pure Value ETF		0.35	%	$	1,000.00	$	1,023.44	$	1.79
Rydex S&P SmallCap 600 Pure Growth ETF		0.35	%	$	1,000.00	$	1,023.44	$	1.79

* 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

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 Net Asset Value per share (“NAV”). The 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, 2011.

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		Rydex		Rydex		Rydex
	Rydex		Rydex		Rydex		S&P MidCap		S&P MidCap		S&P SmallCap		S&P SmallCap
	Russell Top		S&P 500 Pure		S&P 500 Pure		400 Pure		400 Pure		600 Pure		600 Pure
Premium/Discount Range	50® ETF		Value ETF		Growth ETF		Value ETF		Growth ETF		Value ETF		Growth ETF
Greater than 30%		0		0		0		0		0		0		0
Between 10.01% and 30%		0		0		0		0		0		0		0
Between 8.01% and 10%		0		0		0		0		0		0		0
Between 3.01% and 8%		0		2		2		6		0		5		4
Between 1.01% and 3%		3		33		17		30		11		23		45
Between .51% and 1%		7		46		32		43		24		45		50
Between .26% and .5%		25		68		62		82		35		91		111
Between 0% and .25%		922		725		831		633		808		604		556
Between -0.01% and -0.25%		924		688		641		698		692		732		665
Between -0.26% and -0.5%		28		74		65		94		84		99		138
Between -0.51% and -1%		7		41		29		52		36		62		84
Between -1.01% and -3%		3		32		30		60		21		45		54
Between -3.01% and -8%		0		3		3		14		1		6		5
Between -8.01% and -10%		0		0		0		0		0		0		0
Between -10.01% and -30%		0		0		0		0		0		0		0
Less than -30%		0		0		0		0		0		0		0
Total		1,919		1,712		1,712		1,712		1,712		1,712		1,712

	Percentage of Total Days
										Rydex			Rydex			Rydex			Rydex
	Rydex			Rydex			Rydex			S&P MidCap			S&P MidCap			S&P SmallCap			S&P SmallCap
	Russell Top			S&P 500 Pure			S&P 500 Pure			400 Pure			400 Pure			600 Pure			600 Pure
Premium/Discount Range	50® ETF			Value ETF			Growth ETF			Value ETF			Growth ETF			Value ETF			Growth ETF
Greater than 30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 10.01% and 30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 8.01% and 10%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between 3.01% and 8%		0.00	%		0.12	%		0.12	%		0.35	%		0.00	%		0.29	%		0.23	%
Between 1.01% and 3%		0.16	%		1.93	%		0.99	%		1.75	%		0.64	%		1.34	%		2.63	%
Between .51% and 1%		0.36	%		2.69	%		1.87	%		2.51	%		1.40	%		2.63	%		2.92	%
Between .26% and .5%		1.30	%		3.97	%		3.62	%		4.79	%		2.04	%		5.32	%		6.49	%
Between 0% and .25%		48.05	%		42.35	%		48.54	%		36.97	%		47.20	%		35.28	%		32.48	%
Between -0.01% and -0.25%		48.15	%		40.19	%		37.44	%		40.77	%		40.42	%		42.76	%		38.84	%
Between -0.26% and -0.5%		1.46	%		4.32	%		3.80	%		5.49	%		4.91	%		5.78	%		8.06	%
Between -0.51% and -1%		0.36	%		2.39	%		1.69	%		3.04	%		2.10	%		3.62	%		4.91	%
Between -1.01% and -3%		0.16	%		1.87	%		1.75	%		3.51	%		1.23	%		2.63	%		3.15	%
Between -3.01% and -8%		0.00	%		0.17	%		0.18	%		0.82	%		0.06	%		0.35	%		0.29	%
Between -8.01% and -10%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Between -10.01% and -30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Less than -30%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Total		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%

6

RYDEX RUSSELL TOP 50^® ETF

MANAGER’S ANALYSIS (Unaudited)

Rydex Russell Top 50^® ETF (XLG) finished the one-year period ended October 31, 2011, at 7.80%, compared with the Russell Top 50^® Total Return Index* benchmark, which returned 8.05% for the same period. During the period, Rydex Russell Top 50^® ETF achieved over 99% correlation to its benchmark on a daily basis. The Energy sector (21%) was the largest contributor to performance, followed by Information Technology (11%). The Financials sector (-11.50%) was the largest detractor to performance.

The mega-cap Russell Top 50^® Total Return Index performed in-line with the S&P 500 Total Return Index during the period. The slight underperformance of the Russell Top 50^® Total Return Index was mainly due to weaker performance of mega-cap Financials stocks relative to Financials stocks in the S&P 500. The sector in each index was about the same weight, but performance of the Top 50 was -11%, compared with a -5% loss in the S&P 500.

The top contributors to the Fund’s return were Exxon Mobil Corp. and Apple, Inc., and the largest detractors were Cisco Systems, Inc. and Citigroup, Inc.

Large-cap stocks generally underperformed both their mid-cap and small-cap counterparts. Large cap stocks, as represented by the S&P 500, returned half a percentage point less than mid-cap stocks and two percentage points less than small cap stocks, as represented by the S&P MidCap 400 and SmallCap 600, respectively.

*The Russell Top 50^® Total Return Index is an unmanaged equal-weighted version comprised of the 50 largest companies in the Russell 3000^® Index, which is an unmanaged capitalization-weighted index that offers investors access to the broad U.S. equity universe representing approximately 98% of the U.S. equity market.

Cumulative Fund Performance: May 4, 2005 – October 31, 2011

	Rydex Russell		Russell Top		S&P 100
	Top 50		50 Total		Total Return
	ETF		Return Index		Index
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
11/30/2009		10040		10110		10174
12/31/2009		10103		10176		10256
1/31/2010		9718		9788		9890
2/28/2010		9917		9991		10136
3/31/2010		10473		10555		10728
4/30/2010		10550		10634		10850
5/31/2010		9663		9739		9927
6/30/2010		9179		9248		9430
7/31/2010		9782		9859		10110
8/31/2010		9326		9399		9633
9/30/2010		10083		10168		10437
10/31/2010		10448		10538		10827
11/30/2010		10342		10432		10787
12/31/2010		11037		11141		11538
1/31/2011		11309		11418		11826
2/28/2011		11642		11757		12198
3/31/2011		11571		11686		12148
4/30/2011		11889		12011		12485
5/31/2011		11710		11831		12290
6/30/2011		11500		11621		12102
7/31/2011		11429		11551		11964
8/31/2011		10896		11013		11342
9/30/2011		10316		10426		10639
10/31/2011		11263		11387		11697

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(05/04/05)
Rydex Russell Top 50® ETF	7.80%	8.11%	-0.69%	1.85%
Russell Top 50® Total Return Index	8.05%	8.33%	-0.54%	2.02%
S&P 100 Total Return Index	8.03%	9.28%	-0.17%	2.44%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 7

RYDEX RUSSELL TOP 50^® ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
EXXON MOBIL CORP.		6.89	%
APPLE, INC.		6.70	%
INTERNATIONAL BUSINESS MACHINES CORP.		4.00	%
CHEVRON CORP.		3.78	%
MICROSOFT CORP.		3.54	%
PROCTER & GAMBLE CO.(THE)		3.20	%
GENERAL ELECTRIC CO.		3.17	%
JOHNSON & JOHNSON, INC.		3.16	%
AT&T, INC.		3.11	%
PFIZER, INC.		2.72	%

Sector Allocations*

*  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.

8

RYDEX S&P 500 PURE VALUE ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Pure Value ETF (RPV) returned 10.84%. Over the year, its benchmark, the S&P 500 Pure Value Total Return Index*, posted a return of 11.23%. For the period, RPV achieved a correlation of over 99% to its benchmark of the daily price movement of the S&P 500 Pure Value Total Return Index. The Energy sector (35.61% return) was the largest contributor to performance during the period, followed by Health Care (34.44%). The sectors detracting from performance were lightly weighted Telecommunication Services (-33.27%) and Information Technology (-11.05%).

Stocks contributing the most to return were Constellation Energy Group, Inc. and Tesoro Corp., while Hartford Financial Services Group, Inc. and Computer Sciences Corp. were the largest detractors from performance.

From a style perspective, growth pure-style indices outperformed corresponding value pure-style indices at each cap size (with the greatest differential in mid-caps). Within the value pure-style space, large-cap value stocks outperformed mid-cap value stocks and small-cap value stocks.

The 11.23% return of the S&P 500 Pure Value Total Return Index outperformed both the S&P 500 Value Total Return Index* (5.62%) and the broad S&P 500 Total Return Index* (8.09%) for the year.

*The S&P 500 Value Total Return Index consists of value companies in the Standard & Poor’s 500 Index (S&P 500), which is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The S&P 500 Pure Value Total Return Index is narrow in focus, containing only those S&P 500 companies with strong value characteristics as selected by S&P.

Cumulative Fund Performance: March 1, 2006 – October 31, 2011

			S&P 500
	Rydex S&P		Pure Value		S&P 500
	500 Pure		Total Return		Value Total
	Value ETF		Index		Return Index
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
9/30/2009		8551		8696		8287
10/31/2009		7978		8114		7987
11/30/2009		8372		8517		8487
12/31/2009		8808		8976		8636
1/31/2010		8841		9012		8462
2/28/2010		9144		9326		8695
3/31/2010		9956		10158		9249
4/30/2010		10356		10571		9423
5/31/2010		9488		9687		8676
6/30/2010		8803		8984		8179
7/31/2010		9404		9605		8758
8/31/2010		8769		8957		8349
9/30/2010		9631		9843		8995
10/31/2010		9786		10004		9228
11/30/2010		9805		10026		9185
12/31/2010		10794		11045		9940
1/31/2011		11119		11381		10262
2/28/2011		11618		11894		10640
3/31/2011		11746		12029		10617
4/30/2011		12228		12528		10886
5/31/2011		12160		12461		10687
6/30/2011		11871		12170		10461
7/31/2011		11247		11531		10088
8/31/2011		10517		10785		9464
9/30/2011		9620		9864		8755
10/31/2011		10847		11130		9746

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(03/01/06)
Rydex S&P 500 Pure Value ETF	10.84%	18.93%	-0.33%	1.44%
S&P 500 Pure Value Total Return Index	11.23%	19.66%	0.13%	1.91%
S&P 500 Value Total Return Index	5.62%	7.91%	-2.44%	-0.45%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 9

RYDEX S&P 500 PURE VALUE ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
CONSTELLATION ENERGY GROUP, INC.		2.95	%
TESORO CORP.		2.60	%
DEAN FOODS CO.		2.44	%
COVENTRY HEALTH CARE, INC.		2.21	%
SUPERVALU, INC.		2.17	%
SEARS HOLDINGS CORP.		2.14	%
HUMANA, INC.		2.11	%
VALERO ENERGY CORP.		2.09	%
NRG ENERGY, INC.		1.97	%
TYSON FOODS, INC. — CLASS A		1.92	%

Sector Allocations*

*  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 S&P 500 PURE GROWTH ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P 500 Pure Growth ETF (RPG) returned 11.06%. Over the year, its benchmark, the S&P 500 Pure Growth Total Return Index*, turned in a return of 11.57%. For the period, RPG achieved over 99% correlation to its benchmark on a daily basis. Consumer Discretionary was by far the sector contributing most to performance, returning 19.30% during the period, followed by Energy (18.39%). Telecommunication Services returned -5.87%, the only sector to detract from performance for the year.

Stocks contributing the most to return were Priceline.com, Inc. and Intuitive Surgical, Inc., while F5 Networks, Inc. and Tenet Healthcare Corp. were the largest detractors from performance.

From a style perspective, growth pure-style indices outperformed corresponding value pure-style indices at each cap size (with the greatest differential in mid-caps). Within the growth pure-style space, mid-cap value stocks outperformed large-cap value stocks and small-cap value stocks.

The S&P 500 Pure Growth Total Return Index (11.57%) slightly outperformed the S&P 500 Growth Total Return Index* (10.43%) and by a larger margin beat the broad S&P 500 Total Return Index* (8.09%) for the year.

*The S&P 500 Growth Total Return Index consists of growth companies in the Standard & Poor’s 500 Index (S&P 500), which is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues). The S&P 500 Pure Growth Total Return Index is narrow in focus, containing only those S&P 500 companies with strong growth characteristics as selected by S&P.

Cumulative Fund Performance: March 1, 2006 – October 31, 2011

			S&P 500
	Rydex S&P		Pure Growth		S&P 500
	500 Pure		Total Return		Growth Total
	Growth ETF		Index		Return Index
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
11/30/2009		9705		9818		9900
12/31/2009		10167		10292		10110
1/31/2010		9543		9656		9590
2/28/2010		10143		10268		9920
3/31/2010		10891		11035		10485
4/30/2010		11085		11235		10618
5/31/2010		10243		10384		9764
6/30/2010		9541		9673		9302
7/31/2010		10283		10429		9947
8/31/2010		10044		10189		9514
9/30/2010		11329		11497		10477
10/31/2010		12041		12225		11002
11/30/2010		12467		12661		11054
12/31/2010		12925		13138		11632
1/31/2011		13149		13371		11811
2/28/2011		13674		13911		12186
3/31/2011		13876		14119		12222
4/30/2011		14375		14630		12635
5/31/2011		14328		14588		12578
6/30/2011		14221		14485		12422
7/31/2011		13943		14208		12349
8/31/2011		13091		13343		11763
9/30/2011		11845		12073		10986
10/31/2011		13371		13637		12149

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(03/01/06)
Rydex S&P 500 Pure Growth ETF	11.06%	23.00%	5.41%	5.26%
S&P 500 Pure Growth Total Return Index	11.57%	23.46%	5.76%	5.62%
S&P 500 Growth Total Return Index	10.43%	14.74%	2.83%	3.49%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 11

RYDEX S&P 500 PURE GROWTH ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
CHIPOTLE MEXICAN GRILL, INC.		2.15	%
APPLE, INC.		1.98	%
PRICELINE.COM, INC.		1.92	%
AMAZON.COM, INC.		1.85	%
COACH, INC.		1.65	%
COGNIZANT TECHNOLOGY SOLUTIONS CORP. — CLASS A		1.59	%
RED HAT, INC.		1.57	%
INTUITIVE SURGICAL, INC.		1.55	%
BIOGEN IDEC, INC.		1.41	%
WHOLE FOODS MARKET, INC.		1.41	%

Sector Allocations*

Consumer Discretionary	32.10
Information Technology	27.60
Health Care	16.50
Industrials	5.90
Energy	5.60
Materials	4.90
Consumer Staples	3.80
Financials	2.60
Telecommunication Services	1.00

*  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 S&P MIDCAP 400 PURE VALUE ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P MidCap 400 Pure Value ETF (RFV) returned 2.03%. Over the year, its benchmark, the S&P MidCap 400 Pure Value Total Return Index*, posted a 2.54% return. RFV achieved over 99% correlation to its benchmark on a daily basis. Utilities (24.50%) and Consumer Staples (26.29%) were the biggest contributors to performance. Several sectors detracted from performance of the fund, led by Health Care (-2.59% return) and Information Technology (-2.37%).

The stocks contributing the most to return for the fund were PNM Resources, Inc. and Smithfield Foods, Inc., while Kindred Healthcare, Inc. and CoreLogic, Inc. were the biggest detractors.

From a style perspective, growth pure-style indices outperformed corresponding value pure-style indices at each cap size (with the greatest differential in mid-caps). Within the value pure-style space, mid-cap value stocks underperformed both large-cap value stocks and small-cap value stocks.

The S&P MidCap 400 Pure Value Total Return Index (2.54%) underperformed both the S&P MidCap 400 Value Total Return Index* (4.91%) and the broader S&P MidCap 400 Total Return Index* (8.55%) for the year.

*The S&P MidCap 400 Total Return Index measures the performance of the mid capitalization sector of the U.S. equity market. S&P MidCap 400 Value Total Return Index consists of value companies of the S&P MidCap 400. The S&P MidCap 400 Pure Value Total Return Index is narrow in focus, containing only those S&P MidCap 400 companies with strong value characteristics as selected by S&P.

Cumulative Fund Performance: March 1, 2006 – October 31, 2011

	Rydex S&P		S&P MidCap		S&P MidCap
	MidCap 400		400 Pure		400 Value
	Pure Value		Value Total		Total Return
	ETF		Return Index		Index
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
11/30/2009		9108		9213		8892
12/31/2009		9774		9908		9514
1/31/2010		9673		9808		9273
2/28/2010		10238		10385		9723
3/31/2010		11114		11280		10348
4/30/2010		11579		11755		10838
5/31/2010		10622		10783		10007
6/30/2010		9438		9583		9324
7/31/2010		10104		10265		9967
8/31/2010		9448		9598		9430
9/30/2010		10510		10686		10394
10/31/2010		10827		11011		10705
11/30/2010		11172		11367		10852
12/31/2010		11978		12206		11681
1/31/2011		12267		12504		11988
2/28/2011		12718		12968		12489
3/31/2011		12836		13094		12721
4/30/2011		12893		13157		12971
5/31/2011		12840		13107		12754
6/30/2011		12419		12681		12441
7/31/2011		11866		12116		11946
8/31/2011		10880		11113		11056
9/30/2011		9758		9966		9835
10/31/2011		11048		11288		11231

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(03/01/06)
Rydex S&P MidCap 400 Pure Value ETF	2.03%	17.45%	0.74%	1.77%
S&P MidCap 400 Pure Value Total Return Index	2.54%	18.26%	1.12%	2.16%
S&P MidCap 400 Value Total Return Index	4.91%	14.75%	1.72%	2.07%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 13

RYDEX S&P MIDCAP 400 PURE VALUE ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
OMNICARE, INC.		2.85	%
PNM RESOURCES, INC.		2.79	%
TECH DATA CORP.		2.55	%
SMITHFIELD FOODS, INC.		2.40	%
INGRAM MICRO, INC. — CLASS A		2.33	%
KEMPER CORP.		2.16	%
CORELOGIC, INC.		2.13	%
FIRST AMERICAN FINANCIAL CORP.		2.11	%
BARNES & NOBLE, INC.		2.06	%
ARROW ELECTRONICS, INC.		2.05	%

Sector Allocations*

Financials	24.90
Consumer Discretionary	13.70
Information Technology	12.20
Industrials	11.80
Utilities	11.00
Health Care	9.30
Consumer Staples	6.70
Materials	6.10
Energy	3.60
Telecommunication Services	0.70

*  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 S&P MIDCAP 400 PURE GROWTH ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P MidCap 400 Pure Growth ETF (RFG) returned 16.73%. Over the year, its benchmark, the S&P MidCap 400 Pure Growth Total Return Index*, turned in a 17.06% total return. RFG achieved over 99% correlation to its benchmark on a daily basis. Consumer Discretionary (19.32% return) and Industrials (35.75%) were the sectors contributing most to performance. No sectors had a negative impact on performance during the period.

The stocks contributing the most to return for the fund were Green Mountain Coffee Roasters, Inc. and Deckers Outdoor Corp., while Valassis Communications, Inc. and Aeropostale, Inc. were the biggest detractors.

From a style perspective, growth pure-style indices outperformed corresponding value indices at each cap size (with the greatest differential in mid-caps). Within the growth pure-style space, mid-cap value stocks outperformed large-cap value stocks and small-cap value stocks.

The S&P MidCap 400 Pure Growth Total Return Index (17.06%) outperformed both the S&P MidCap 400 Growth Total Return Index* (12.25%) and the broader S&P MidCap 400 Total Return Index* (8.55%) for the year.

*The S&P MidCap 400 Total Return Index measures the performance of the mid capitalization sector of the U.S. equity market. S&P MidCap 400 Growth Total Return Index consists of growth companies of the S&P MidCap 400. The S&P MidCap 400 Pure Growth Total Return Index is narrow in focus, containing only those S&P MidCap 400 companies with strong growth characteristics as selected by S&P.

Cumulative Fund Performance: March 1, 2006 – October 31, 2011

	Rydex S&P		S&P MidCap		S&P MidCap
	MidCap 400		400 Pure		400 Growth
	Pure Growth		Growth Total		Total Return
	ETF		Return Index		Index
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
11/30/2009		10504		10654		9499
12/31/2009		11178		11340		10025
1/31/2010		10690		10848		9634
2/28/2010		11305		11474		10171
3/31/2010		12294		12481		10971
4/30/2010		12686		12884		11386
5/31/2010		11817		12001		10621
6/30/2010		10910		11081		9955
7/31/2010		11813		12004		10643
8/31/2010		11348		11535		10167
9/30/2010		12911		13128		11427
10/31/2010		13548		13780		11872
11/30/2010		14667		14924		12408
12/31/2010		15060		15327		13089
1/31/2011		15108		15373		13267
2/28/2011		15991		16276		13950
3/31/2011		16607		16909		14377
4/30/2011		17208		17525		14879
5/31/2011		17177		17501		14727
6/30/2011		17064		17389		14488
7/31/2011		16660		16982		14041
8/31/2011		15534		15837		13087
9/30/2011		14096		14373		11760
10/31/2011		15815		16133		13326

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(03/01/06)
Rydex S&P MidCap 400 Pure Growth ETF	16.73%	28.26%	10.67%	8.42%
S&P MidCap 400 Pure Growth Total Return Index	17.06%	28.75%	11.08%	8.80%
S&P MidCap 400 Growth Total Return Index	12.25%	21.01%	6.29%	5.20%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 15

RYDEX S&P MIDCAP 400 PURE GROWTH ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
GREEN MOUNTAIN COFFEE ROASTERS, INC.		3.07	%
DECKERS OUTDOOR CORP.		2.64	%
NEWMARKET CORP.		2.39	%
RACKSPACE HOSTING, INC.		2.38	%
MEDICIS PHARMACEUTICAL CORP. — CLASS A		1.88	%
FOSSIL, INC.		1.87	%
UNDER ARMOUR, INC. — CLASS A		1.85	%
HANSEN NATURAL CORP.		1.73	%
TIBCO SOFTWARE, INC.		1.73	%
ASCENA RETAIL GROUP, INC.		1.54	%

Sector Allocations*

Consumer Discretionary	32.20
Information Technology	25.60
Health Care	16.90
Energy	7.70
Consumer Staples	4.80
Industrials	4.30
Materials	4.10
Financials	3.60
Telecommunication Services	0.80

*  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 S&P SMALLCAP 600 PURE VALUE ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P SmallCap 600 Pure Value ETF (RZV) returned 4.16%. Over the year, its benchmark, the S&P SmallCap 600 Pure Value Total Return Index*, turned in a 4.45% return. RZV achieved over 99% correlation to its benchmark on a daily basis. The largest contributor to performance was the Industrials sector (11.69% return). Energy (37.29%) also contributed. Detracting from performance were the Consumer Staples (-17.17%) and Financials (-6.48%) sectors.

PharMerica Corp. and Lithia Motors, Inc. (Class A) were the holdings contributing most to performance, while School Specialty, Inc. and Alliance One International, Inc. were the largest detractors.

From a style perspective, growth pure-style indices outperformed corresponding value indices at each cap size (with the greatest differential in mid-caps). Within the value pure-style space, small-cap value stocks outperformed mid-cap value stocks and underperformed large-cap value stocks.

The S&P SmallCap 600 Pure Value Total Return Index (4.45%) underperformed the S&P SmallCap 600 Value Total Return Index* (7.14%) and the broad S&P SmallCap 600 Index* (10.54%) for the year.

*The S&P SmallCap 600 Index measures the performance of the small capitalization sector of the U.S. equity market. The S&P SmallCap 600 Value Index consists of value companies in the S&P 600. The S&P SmallCap 600 Pure Value Total Return Index is narrow in focus, containing only those S&P SmallCap 600 companies with strong value characteristics as selected by S&P.

Cumulative Fund Performance: March 1, 2006 – October 31, 2011

	Rydex S&P		S&P SmallCap		S&P SmallCap
	SmallCap 600		600 Pure		600 Pure
	Pure Value		Value Total		Value Total
	ETF		Return Index		Return Index
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
11/30/2009		8022		8167		8183
12/31/2009		8580		8554		8847
1/31/2010		8633		8610		8611
2/28/2010		9361		9342		9024
3/31/2010		10209		10193		9726
4/30/2010		10979		10964		10373
5/31/2010		9764		9752		9502
6/30/2010		8500		8508		8713
7/31/2010		9127		9144		9294
8/31/2010		8154		8171		8569
9/30/2010		9101		9125		9514
10/31/2010		9567		9594		9886
11/30/2010		9958		9996		10132
12/31/2010		10992		11051		11034
1/31/2011		10735		10796		11027
2/28/2011		11263		11331		11494
3/31/2011		11429		11500		11733
4/30/2011		11474		11549		11867
5/31/2011		11398		11478		11648
6/30/2011		11119		11198		11476
7/31/2011		10870		10941		11148
8/31/2011		9741		9791		10280
9/30/2011		8600		8647		9177
10/31/2011		9964		10022		10592

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(03/01/06)
Rydex S&P SmallCap 600 Pure Value ETF	4.16%	16.38%	-1.08%	-0.06%
S&P SmallCap 600 Pure Value Total Return Index	4.45%	16.48%	-1.00%	0.04%
S&P SmallCap 600 Value Total Return Index	7.14%	11.36%	0.14%	1.02%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 17

RYDEX S&P SMALLCAP 600 PURE VALUE ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
AGILYSYS, INC.		2.70	%
PHARMERICA CORP.		1.95	%
KINDRED HEALTHCARE, INC.		1.80	%
LITHIA MOTORS, INC. — CLASS A		1.73	%
SWS GROUP, INC.		1.73	%
AUDIOVOX CORP. — CLASS A		1.65	%
CIBER, INC.		1.60	%
CENTENE CORP.		1.43	%
MOLINA HEALTHCARE, INC.		1.39	%
INSIGHT ENTERPRISES, INC.		1.35	%

Sector Allocations*

Consumer Discretionary	28.40
Industrials	15.60
Financials	14.50
Information Technology	13.50
Health Care	11.10
Consumer Staples	5.70
Energy	3.80
Materials	3.50
Utilities	3.40
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.

18

RYDEX S&P SMALLCAP 600 PURE GROWTH ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex S&P SmallCap 600 Pure Growth ETF (RZG) returned 15.22%. Over the year, its benchmark, the S&P SmallCap 600 Pure Growth Total Return Index*, turned in a 15.72% return. RZG achieved over 99% correlation to its benchmark on a daily basis. The Health Care (37.59% return) and Consumer Discretionary (14.98%) sectors were the largest contributors to performance. The lightly weighted Telecommunication Services (-23.18%) was the only sector to detract from performance for the year.

Questcor Pharmaceuticals, Inc. and Sturm Ruger & Co., Inc. were the holdings contributing most to performance, while Entropic Communications, Inc. and Blue Coat Systems, Inc. were the largest detractors.

From a style perspective, growth pure-style indices outperformed corresponding value indices at each cap size (with the greatest differential in mid-caps). Within the growth pure-style space, small-cap value stocks outperformed large-cap value stocks but underperformed mid-cap value stocks.

The S&P SmallCap 600 Pure Growth Total Return Index (15.72%) outperformed the S&P SmallCap 600 Growth Total Return Index* (14.14%) and the broad S&P SmallCap 600 Total Return Index* (10.54%) for the year.

*The S&P SmallCap 600 Index measures the performance of the small capitalization sector of the U.S. equity market. The S&P SmallCap 600 Growth Index consists of growth companies in the S&P 600. The S&P SmallCap 600 Pure Growth Total Return Index is narrow in focus, containing only those S&P SmallCap 600 companies with strong growth characteristics as selected by S&P.

Cumulative Fund Performance: March 1, 2006 – October 31, 2011

	Rydex S&P		S&P SmallCap		S&P SmallCap
	SmallCap 600		600 Pure		600 Growth
	Pure Growth		Growth Total		Total Return
	ETF		Return Index		Index
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
11/30/2009		8747		8775		8559
12/31/2009		9601		9647		9342
1/31/2010		9237		9286		8960
2/28/2010		9583		9636		9300
3/31/2010		10291		10353		10024
4/30/2010		10777		10845		10529
5/31/2010		10158		10224		9899
6/30/2010		9539		9603		9325
7/31/2010		10065		10137		9885
8/31/2010		9367		9436		9180
9/30/2010		10562		10643		10262
10/31/2010		11130		11220		10735
11/30/2010		11715		11814		11236
12/31/2010		12310		12419		11957
1/31/2011		12292		12405		12001
2/28/2011		12899		13025		12551
3/31/2011		13337		13472		13051
4/30/2011		13937		14080		13588
5/31/2011		13896		14043		13597
6/30/2011		13646		13795		13306
7/31/2011		13074		13222		12832
8/31/2011		12099		12237		11862
9/30/2011		11115		11246		10695
10/31/2011		12825		12981		12253

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

				Since Inception
	One Year	Three Year	Five Year	(03/01/06)
Rydex S&P SmallCap 600 Pure Growth ETF	15.22%	19.98%	5.21%	4.48%
S&P SmallCap 600 Pure Growth Total Return Index	15.72%	20.28%	5.42%	4.71%
S&P SmallCap 600 Growth Total Return Index	14.14%	16.34%	4.13%	3.65%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 19

RYDEX S&P SMALLCAP 600 PURE GROWTH ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
QUESTCOR PHARMACEUTICALS, INC.		2.01	%
STURM RUGER & CO., INC.		1.97	%
HI-TECH PHARMACAL CO., INC.		1.85	%
AIR METHODS CORP.		1.48	%
RIGHTNOW TECHNOLOGIES, INC.		1.45	%
BJ’S RESTAURANTS, INC.		1.42	%
HEALTHSPRING, INC.		1.29	%
REGENERON PHARMACEUTICALS, INC.		1.26	%
CIRRUS LOGIC, INC.		1.25	%
LIQUIDITY SERVICES, INC.		1.22	%

Sector Allocations*

Information Technology	34.90
Consumer Discretionary	24.30
Health Care	21.40
Materials	4.60
Financials	4.50
Industrials	4.10
Consumer Staples	3.80
Energy	1.50
Telecommunication Services	0.90

*  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 RUSSELL TOP 50^® ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.7%
Aerospace & Defense 2.1%
Boeing Co.(The)		60,049		$3,950,624
United Technologies Corp.		74,445		5,805,221
Total Aerospace & Defense				9,755,845
Air Freight & Logistics 0.9%
United Parcel Service, Inc. — Class B		59,761		4,197,613
Total Air Freight & Logistics				4,197,613
Automobiles 0.8%
Ford Motor Co.*		303,066		3,539,811
Total Automobiles				3,539,811
Beverages 4.2%
Coca-Cola Co.(The)		160,693		10,978,546
PepsiCo, Inc.		128,566		8,093,229
Total Beverages				19,071,775
Biotechnology 0.9%
Amgen, Inc.		71,537		4,096,924
Total Biotechnology				4,096,924
Capital Markets 1.0%
Goldman Sachs Group, Inc.(The)		42,111		4,613,260
Total Capital Markets				4,613,260
Commercial Banks 2.3%
Wells Fargo & Co.		400,089		10,366,306
Total Commercial Banks				10,366,306
Communications Equipment 3.4%
Cisco Systems, Inc.		447,373		8,289,822
QUALCOMM, Inc.		135,796		7,007,073
Total Communications Equipment				15,296,895
Computers & Peripherals 8.5%
Apple, Inc.*		75,218		30,446,742
EMC Corp.*		167,358		4,101,945
Hewlett-Packard Co.		161,615		4,300,575
Total Computers & Peripherals				38,849,262
Consumer Finance 1.0%
American Express Co.		85,460		4,325,985
Total Consumer Finance				4,325,985
Diversified Financial Services 5.4%
Bank of America Corp.		824,193		5,629,238
Citigroup, Inc.		236,368		7,466,865
JPMorgan Chase & Co.		323,211		11,234,815
Total Diversified Financial Services				24,330,918
Diversified Telecommunication Services 5.0%
AT&T, Inc.		481,683		14,118,129
Verizon Communications, Inc.		230,111		8,509,505
Total Diversified Telecommunication Services				22,627,634
Energy Equipment & Services 1.8%
Schlumberger Ltd.		110,370		8,108,884
Total Energy Equipment & Services				8,108,884
Food & Staples Retailing 1.8%
Wal-Mart Stores, Inc.		144,334		8,186,624
Total Food & Staples Retailing				8,186,624
Food Products 1.0%
Kraft Foods, Inc. — Class A		134,403		4,728,298
Total Food Products				4,728,298
Hotels, Restaurants & Leisure 1.7%
McDonald’s Corp.		84,395		7,836,076
Total Hotels, Restaurants & Leisure				7,836,076
Household Products 3.2%
Procter & Gamble Co.(The)		227,038		14,528,162
Total Household Products				14,528,162
Industrial Conglomerates 4.2%
3M Co.		57,797		4,567,119
General Electric Co.		862,624		14,414,447
Total Industrial Conglomerates				18,981,566
Insurance 2.6%
American International Group, Inc.*		35,946		887,507
Berkshire Hathaway, Inc. — Class B*		142,384		11,086,018
Total Insurance				11,973,525
Internet & Catalog Retail 1.4%
Amazon.com, Inc.*		29,562		6,311,783
Total Internet & Catalog Retail				6,311,783
Internet Software & Services 2.7%
Google, Inc. — Class A*		20,471		12,131,933
Total Internet Software & Services				12,131,933
IT Services 4.9%
International Business Machines Corp.		98,517		18,189,194
Visa, Inc. — Class A		42,535		3,966,814
Total IT Services				22,156,008
Machinery 1.1%
Caterpillar, Inc.		52,438		4,953,293
Total Machinery				4,953,293
Media 2.3%
Comcast Corp. — Class A		224,322		5,260,351
Walt Disney Co.(The)		153,741		5,362,486
Total Media				10,622,837
Oil, Gas & Consumable Fuels 13.8%
Chevron Corp.		163,509		17,176,620
ConocoPhillips		114,972		8,007,800
Exxon Mobil Corp.		400,677		31,288,867
Occidental Petroleum Corp.		66,117		6,144,914
Total Oil, Gas & Consumable Fuels				62,618,201
Pharmaceuticals 9.3%
Abbott Laboratories		126,422		6,810,353
Johnson & Johnson, Inc.		222,958		14,356,266
Merck & Co., Inc.		251,056		8,661,432
Pfizer, Inc.		642,660		12,377,631
Total Pharmaceuticals				42,205,682
Semiconductors & Semiconductor Equipment 2.3%
Intel Corp.		431,253		10,582,949
Total Semiconductors & Semiconductor Equipment				10,582,949
Software 5.8%
Microsoft Corp.		603,594		16,073,708
Oracle Corp.		312,413		10,237,774
Total Software				26,311,482

See Notes to Financial Statements.

ANNUAL REPORT 21

RYDEX RUSSELL TOP 50^® ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Specialty Retail 1.0%
Home Depot, Inc.		129,983		$4,653,391
Total Specialty Retail				4,653,391
Tobacco 3.3%
Altria Group, Inc.		170,272		4,690,994
Philip Morris International, Inc.		144,652		10,106,835
Total Tobacco				14,797,829
Total Common Stocks (Cost $477,746,467)				452,760,751
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market Fund		1,076,224		1,076,224
Total Short Term Investments (Cost $1,076,224)				1,076,224
Total Investments 99.9%(a) (Cost $478,822,691)				453,836,975
Other Assets in Excess of Liabilities—0.1%				572,313
Net Assets—100.0%				$454,409,288

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

See Notes to Financial Statements.

22

RYDEX S&P 500 PURE VALUE ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.7%
Aerospace & Defense 1.7%
L-3 Communications Holdings, Inc.		10,986		$744,631
Northrop Grumman Corp.		10,272		593,208
Total Aerospace & Defense				1,337,839
Auto Components 0.5%
Goodyear Tire & Rubber Co.(The)*		27,892		400,529
Total Auto Components				400,529
Building Products 0.4%
Masco Corp.		32,700		313,920
Total Building Products				313,920
Capital Markets 1.1%
Goldman Sachs Group, Inc.(The)		2,124		232,684
Legg Mason, Inc.		12,724		349,910
Morgan Stanley		15,690		276,772
Total Capital Markets				859,366
Commercial Banks 2.4%
BB&T Corp.		18,090		422,221
Fifth Third Bancorp		41,367		496,818
PNC Financial Services Group, Inc.		7,237		388,699
Regions Financial Corp.		69,908		274,738
SunTrust Banks, Inc.		14,946		294,885
Total Commercial Banks				1,877,361
Commercial Services & Supplies 1.0%
R.R. Donnelley & Sons Co.		47,952		781,618
Total Commercial Services & Supplies				781,618
Computers & Peripherals 0.4%
Dell, Inc.*		21,395		338,255
Total Computers & Peripherals				338,255
Construction & Engineering 1.2%
Jacobs Engineering Group, Inc.*		14,086		546,537
Quanta Services, Inc.*		19,666		410,823
Total Construction & Engineering				957,360
Consumer Finance 2.3%
Capital One Financial Corp.		22,226		1,014,839
Discover Financial Services		16,500		388,740
SLM Corp.		30,727		420,038
Total Consumer Finance				1,823,617
Containers & Packaging 0.3%
Sealed Air Corp.		13,168		234,390
Total Containers & Packaging				234,390
Diversified Financial Services 3.0%
Bank of America Corp.		86,259		589,149
Citigroup, Inc.		12,320		389,189
JPMorgan Chase & Co.		13,710		476,559
Nasdaq OMX Group, Inc.(The)*		24,688		618,434
NYSE Euronext		11,924		316,821
Total Diversified Financial Services				2,390,152
Electric Utilities 5.2%
American Electric Power Co., Inc.		10,988		431,609
Duke Energy Corp.		19,648		401,212
Edison International		11,942		484,845
Entergy Corp.		3,989		275,919
FirstEnergy Corp.		15,296		687,708
Northeast Utilities		9,641		333,290
Pepco Holdings, Inc.		57,085		1,130,283
Progress Energy, Inc.		7,860		409,506
Total Electric Utilities				4,154,372
Electronic Equipment, Instruments & Components 1.5%
Jabil Circuit, Inc.		57,732		1,186,970
Total Electronic Equipment, Instruments & Components				1,186,970
Energy Equipment & Services 0.5%
Rowan Cos., Inc.*		12,580		433,884
Total Energy Equipment & Services				433,884
Food & Staples Retailing 7.4%
Costco Wholesale Corp.		8,428		701,631
CVS Caremark Corp.		27,314		991,498
Kroger Co.(The)		34,370		796,697
Safeway, Inc.		27,712		536,782
SUPERVALU, Inc.		214,979		1,724,132
Sysco Corp.		12,638		350,325
Wal-Mart Stores, Inc.		7,192		407,930
Walgreen Co.		12,562		417,058
Total Food & Staples Retailing				5,926,053
Food Products 6.4%
Archer-Daniels-Midland Co.		42,162		1,220,168
ConAgra Foods, Inc.		14,446		365,917
Dean Foods Co.*		199,869		1,942,727
Tyson Foods, Inc. — Class A		79,349		1,531,436
Total Food Products				5,060,248
Gas Utilities 1.3%
Nicor, Inc.		6,816		383,400
Oneok, Inc.		8,400		638,820
Total Gas Utilities				1,022,220
Health Care Equipment & Supplies 0.8%
Boston Scientific Corp.*		46,572		274,309
CareFusion Corp.*		15,370		393,472
Total Health Care Equipment & Supplies				667,781
Health Care Providers & Services 11.6%
Aetna, Inc.		33,522		1,332,835
Cardinal Health, Inc.		24,320		1,076,646
Coventry Health Care, Inc.*		55,183		1,755,371
Humana, Inc.		19,754		1,676,917
McKesson Corp.		14,724		1,200,742
UnitedHealth Group, Inc.		17,640		846,544
WellPoint, Inc.		19,106		1,316,404
Total Health Care Providers & Services				9,205,459
Household Durables 1.5%
DR Horton, Inc.		52,918		588,978
Whirlpool Corp.		12,436		631,873
Total Household Durables				1,220,851
Independent Power Producers & Energy Traders 5.8%
AES Corp.(The)*		60,584		679,752
Constellation Energy Group, Inc.		59,145		2,348,057
NRG Energy, Inc.*		73,070		1,565,159
Total Independent Power Producers & Energy Traders				4,592,968

See Notes to Financial Statements.

ANNUAL REPORT 23

RYDEX S&P 500 PURE VALUE ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Industrial Conglomerates 0.4%
General Electric Co.		18,324		$306,194
Total Industrial Conglomerates				306,194
Insurance 13.0%
ACE Ltd.		9,384		677,056
Allstate Corp.(The)		31,680		834,451
Assurant, Inc.		30,306		1,167,993
Chubb Corp.(The)		6,488		435,020
Cincinnati Financial Corp.		17,582		508,823
Genworth Financial, Inc. — Class A*		66,904		426,847
Hartford Financial Services Group, Inc.		51,006		981,865
Lincoln National Corp.		27,480		523,494
Loews Corp.		13,314		528,566
MetLife, Inc.		8,854		311,307
Principal Financial Group, Inc.		17,920		461,978
Prudential Financial, Inc.		15,438		836,740
Torchmark Corp.		7,078		289,702
Travelers Cos., Inc.(The)		10,040		585,834
Unum Group		40,189		958,106
XL Group PLC		38,005		826,229
Total Insurance				10,354,011
IT Services 0.9%
Computer Sciences Corp.		22,340		702,816
Total IT Services				702,816
Media 2.3%
CBS Corp. — Class B		19,653		507,244
Gannett Co., Inc.		34,198		399,774
Time Warner, Inc.		14,608		511,134
Washington Post Co.(The) — Class B		1,148		390,504
Total Media				1,808,656
Metals & Mining 0.8%
AK Steel Holding Corp.		42,288		352,259
Alcoa, Inc.		25,402		273,326
Total Metals & Mining				625,585
Multi-Utilities 6.6%
Ameren Corp.		28,271		901,280
CenterPoint Energy, Inc.		18,112		377,454
CMS Energy Corp.		23,003		478,922
Consolidated Edison, Inc.		7,820		452,543
DTE Energy Co.		11,374		592,699
Integrys Energy Group, Inc.		10,988		581,375
NiSource, Inc.		43,118		952,477
SCANA Corp.		7,192		304,078
Sempra Energy		6,082		326,786
Xcel Energy, Inc.		12,184		314,956
Total Multi-Utilities				5,282,570
Multiline Retail 2.9%
J.C. Penney Co., Inc.		18,322		587,770
Sears Holdings Corp.*		21,781		1,702,838
Total Multiline Retail				2,290,608
Office Electronics 0.4%
Xerox Corp.		40,762		333,433
Total Office Electronics				333,433
Oil, Gas & Consumable Fuels 8.9%
ConocoPhillips		7,598		529,201
Hess Corp.		3,670		229,595
Marathon Oil Corp.		39,314		1,023,343
Marathon Petroleum Corp.		9,911		355,805
QEP Resources, Inc.		14,618		519,670
Sunoco, Inc.		17,426		648,770
Tesoro Corp.*		79,755		2,068,845
Valero Energy Corp.		67,705		1,665,543
Total Oil, Gas & Consumable Fuels				7,040,772
Paper & Forest Products 1.6%
International Paper Co.		23,857		660,839
MeadWestvaco Corp.		20,886		582,928
Total Paper & Forest Products				1,243,767
Real Estate Investment Trusts (REITs) 0.4%
Weyerhaeuser Co.		19,602		352,444
Total Real Estate Investment Trusts (REITs)				352,444
Road & Rail 0.8%
Ryder System, Inc.		12,512		637,361
Total Road & Rail				637,361
Specialty Retail 3.2%
AutoNation, Inc.*		23,384		910,573
GameStop Corp. — Class A*		53,271		1,362,140
Lowe’s Cos., Inc.		13,958		293,397
Total Specialty Retail				2,566,110
Thrifts & Mortgage Finance 0.5%
People’s United Financial, Inc.		30,000		382,500
Total Thrifts & Mortgage Finance				382,500
Wireless Telecommunication Services 0.7%
Sprint Nextel Corp.*		229,979		591,046
Total Wireless Telecommunication Services				591,046
Total Common Stocks (Cost $84,844,752)				79,303,086
SHORT TERM INVESTMENTS 0.3%
SSgA Government Money Market Fund		208,452		208,452
Total Short Term Investments (Cost $208,452)				208,452
Total Investments 100.0%(a) (Cost $85,053,204)				79,511,538
Other Assets in Excess of Liabilities—0.0%(b)				38,741
Net Assets—100.0%				$79,550,279

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

24

RYDEX S&P 500 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Aerospace & Defense 1.2%
Goodrich Corp.		18,020		$2,209,793
Precision Castparts Corp.		5,280		861,432
Total Aerospace & Defense				3,071,225
Beverages 1.6%
Coca-Cola Co.(The)		11,705		799,686
Coca-Cola Enterprises, Inc.		80,365		2,155,389
Dr Pepper Snapple Group, Inc.		35,326		1,322,959
Total Beverages				4,278,034
Biotechnology 2.9%
Biogen Idec, Inc.*		32,130		3,738,647
Celgene Corp.*		28,515		1,848,627
Gilead Sciences, Inc.*		47,663		1,985,641
Total Biotechnology				7,572,915
Capital Markets 0.4%
Ameriprise Financial, Inc.		24,657		1,150,989
Total Capital Markets				1,150,989
Chemicals 3.1%
CF Industries Holdings, Inc.		23,016		3,734,806
FMC Corp.		14,902		1,175,619
International Flavors & Fragrances, Inc.		18,188		1,101,465
Mosaic Co.(The)		23,706		1,388,223
Sigma-Aldrich Corp.		13,401		877,498
Total Chemicals				8,277,611
Commercial Services & Supplies 0.6%
Stericycle, Inc.*		18,711		1,563,865
Total Commercial Services & Supplies				1,563,865
Communications Equipment 2.5%
F5 Networks, Inc.*		29,557		3,072,450
JDS Uniphase Corp.*		136,933		1,643,196
Juniper Networks, Inc.*		72,969		1,785,552
Total Communications Equipment				6,501,198
Computers & Peripherals 5.7%
Apple, Inc.*		13,029		5,273,879
EMC Corp.*		77,725		1,905,040
NetApp, Inc.*		68,026		2,786,345
SanDisk Corp.*		42,669		2,162,038
Western Digital Corp.*		112,599		2,999,637
Total Computers & Peripherals				15,126,939
Containers & Packaging 0.4%
Ball Corp.		30,360		1,049,545
Total Containers & Packaging				1,049,545
Diversified Consumer Services 1.0%
Apollo Group, Inc. — Class A*		31,192		1,476,941
DeVry, Inc.		33,223		1,251,843
Total Diversified Consumer Services				2,728,784
Diversified Financial Services 0.8%
IntercontinentalExchange, Inc.*		16,897		2,194,582
Total Diversified Financial Services				2,194,582
Electrical Equipment 0.3%
Rockwell Automation, Inc.		11,474		776,216
Total Electrical Equipment				776,216
Electronic Equipment, Instruments & Components 0.9%
Amphenol Corp. — Class A		24,099		1,144,462
FLIR Systems, Inc.		48,375		1,272,262
Total Electronic Equipment, Instruments & Components				2,416,724
Energy Equipment & Services 3.5%
Cameron International Corp.*		45,165		2,219,408
Diamond Offshore Drilling, Inc.		25,020		1,639,811
FMC Technologies, Inc.*		60,083		2,692,920
National-Oilwell Varco, Inc.		39,620		2,826,095
Total Energy Equipment & Services				9,378,234
Food & Staples Retailing 1.4%
Whole Foods Market, Inc.		51,853		3,739,638
Total Food & Staples Retailing				3,739,638
Health Care Equipment & Supplies 3.3%
Edwards Lifesciences Corp.*		27,490		2,073,296
Intuitive Surgical, Inc.*		9,535		4,136,855
St Jude Medical, Inc.		35,270		1,375,530
Varian Medical Systems, Inc.*		20,152		1,183,325
Total Health Care Equipment & Supplies				8,769,006
Health Care Providers & Services 4.6%
CIGNA Corp.		79,135		3,508,846
Express Scripts, Inc.*		33,956		1,552,808
Laboratory Corp. of America Holdings*		16,541		1,386,963
Medco Health Solutions, Inc.*		31,107		1,706,530
Patterson Cos., Inc.		36,547		1,150,134
Tenet Healthcare Corp.*		641,365		3,033,656
Total Health Care Providers & Services				12,338,937
Health Care Technology 0.8%
Cerner Corp.*		33,086		2,098,645
Total Health Care Technology				2,098,645
Hotels, Restaurants & Leisure 7.4%
Chipotle Mexican Grill, Inc.*		16,994		5,712,023
Darden Restaurants, Inc.		44,861		2,147,945
Starbucks Corp.		79,235		3,354,810
Starwood Hotels & Resorts Worldwide, Inc.		18,610		932,547
Wyndham Worldwide Corp.		75,423		2,539,492
Wynn Resorts Ltd.		25,427		3,376,706
Yum! Brands, Inc.		27,509		1,473,657
Total Hotels, Restaurants & Leisure				19,537,180
Internet & Catalog Retail 5.7%
Amazon.com, Inc.*		23,088		4,929,519
Expedia, Inc.		129,888		3,410,859
Netflix, Inc.*		21,497		1,764,474
priceline.com, Inc.*		10,058		5,106,647
Total Internet & Catalog Retail				15,211,499
Internet Software & Services 2.8%
Akamai Technologies, Inc.*		75,199		2,025,861
eBay, Inc.*		91,792		2,921,739
Google, Inc. — Class A*		4,087		2,422,120
Total Internet Software & Services				7,369,720
IT Services 5.4%
Cognizant Technology Solutions Corp. — Class A*		58,157		4,230,922
International Business Machines Corp.		6,836		1,262,131
Mastercard, Inc. — Class A		8,858		3,075,852

See Notes to Financial Statements.

ANNUAL REPORT 25

RYDEX S&P 500 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Teradata Corp.*		51,344		$3,063,183
Visa, Inc. — Class A		28,840		2,689,618
Total IT Services				14,321,706
Leisure Equipment & Products 0.6%
Hasbro, Inc.		42,253		1,608,149
Total Leisure Equipment & Products				1,608,149
Life Sciences Tools & Services 1.4%
Agilent Technologies, Inc.*		20,218		749,481
Life Technologies Corp.*		44,418		1,806,480
Waters Corp.*		15,422		1,235,611
Total Life Sciences Tools & Services				3,791,572
Machinery 3.4%
Cummins, Inc.		15,902		1,581,136
Deere & Co.		14,335		1,088,027
Flowserve Corp.		19,964		1,850,463
Ingersoll-Rand PLC		29,299		912,078
Joy Global, Inc.		40,792		3,557,062
Total Machinery				8,988,766
Media 3.9%
Cablevision Systems Corp. — Class A		77,432		1,120,441
Comcast Corp. — Class A		71,382		1,673,908
DIRECTV — Class A*		56,177		2,553,806
Discovery Communications, Inc. — Class A*		81,834		3,556,506
Interpublic Group of Cos., Inc.(The)		95,574		906,041
Scripps Networks Interactive, Inc. — Class A		14,462		614,346
Total Media				10,425,048
Metals & Mining 1.4%
Freeport-McMoRan Copper & Gold, Inc.		47,290		1,903,896
Newmont Mining Corp.		26,134		1,746,535
Total Metals & Mining				3,650,431
Multiline Retail 1.7%
Family Dollar Stores, Inc.		23,639		1,385,955
Nordstrom, Inc.		59,883		3,035,469
Total Multiline Retail				4,421,424
Oil, Gas & Consumable Fuels 2.0%
Consol Energy, Inc.		19,086		816,117
Peabody Energy Corp.		22,410		971,922
Pioneer Natural Resources Co.		25,770		2,162,103
Southwestern Energy Co.*		33,992		1,429,024
Total Oil, Gas & Consumable Fuels				5,379,166
Personal Products 0.8%
Estee Lauder Cos., Inc.(The) — Class A		21,830		2,149,164
Total Personal Products				2,149,164
Pharmaceuticals 3.5%
Allergan, Inc.		25,622		2,155,323
Eli Lilly & Co.		23,125		859,325
Hospira, Inc.*		31,081		977,497
Mylan, Inc.*		111,672		2,185,421
Watson Pharmaceuticals, Inc.*		47,512		3,190,906
Total Pharmaceuticals				9,368,472
Real Estate Investment Trusts (REITs) 0.9%
Ventas, Inc.		44,753		2,488,714
Total Real Estate Investment Trusts (REITs)				2,488,714
Real Estate Management & Development 0.4%
CBRE Group, Inc.*		54,601		970,806
Total Real Estate Management & Development				970,806
Semiconductors & Semiconductor Equipment 3.8%
Advanced Micro Devices, Inc.*		175,258		1,021,754
Altera Corp.		34,305		1,300,846
Analog Devices, Inc.		34,244		1,252,303
Broadcom Corp. — Class A*		53,300		1,923,597
First Solar, Inc.*		12,783		636,210
Linear Technology Corp.		36,133		1,167,457
Micron Technology, Inc.*		346,506		1,936,968
Xilinx, Inc.		28,026		937,750
Total Semiconductors & Semiconductor Equipment				10,176,885
Software 6.5%
BMC Software, Inc.*		31,325		1,088,857
Citrix Systems, Inc.*		32,630		2,376,443
Intuit, Inc.		37,497		2,012,464
Microsoft Corp.		32,691		870,561
Oracle Corp.		63,542		2,082,271
Red Hat, Inc.*		83,894		4,165,337
Salesforce.com, Inc.*		26,792		3,567,891
Symantec Corp.*		64,510		1,097,315
Total Software				17,261,139
Specialty Retail 8.9%
AutoZone, Inc.*		11,465		3,709,960
Bed Bath & Beyond, Inc.*		33,338		2,061,622
CarMax, Inc.*		59,127		1,777,358
Limited Brands, Inc.		62,996		2,690,559
O’Reilly Automotive, Inc.*		46,337		3,523,929
Ross Stores, Inc.		40,314		3,536,747
Tiffany & Co.		34,851		2,778,670
TJX Cos., Inc.		32,630		1,922,886
Urban Outfitters, Inc.*		61,513		1,676,229
Total Specialty Retail				23,677,960
Textiles, Apparel & Luxury Goods 2.9%
Coach, Inc.		67,481		4,390,988
NIKE, Inc. — Class B		8,523		821,191
Ralph Lauren Corp.		15,992		2,539,370
Total Textiles, Apparel & Luxury Goods				7,751,549
Trading Companies & Distributors 0.5%
W.W. Grainger, Inc.		8,091		1,386,069
Total Trading Companies & Distributors				1,386,069
Wireless Telecommunication Services 1.0%
American Tower Corp. — Class A*		31,076		1,712,288
MetroPCS Communications, Inc.*		103,238		877,523
Total Wireless Telecommunication Services				2,589,811
Total Common Stocks (Cost $273,418,564)				265,558,317

See Notes to Financial Statements.

26

RYDEX S&P 500 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		309,096		$309,096
Total Short Term Investments (Cost $309,096)				309,096
Total Investments 100.0%(a) (Cost $273,727,660)				265,867,413
Other Assets in Excess of Liabilities—0.0%(b)				21,343
Net Assets—100.0%				$265,888,756

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 27

RYDEX S&P MIDCAP 400 PURE VALUE ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.7%
Aerospace & Defense 0.5%
Alliant Techsystems, Inc.		3,208		$186,321
Total Aerospace & Defense				186,321
Airlines 0.7%
JetBlue Airways Corp.*		53,510		239,725
Total Airlines				239,725
Capital Markets 0.4%
Apollo Investment Corp.		16,028		132,712
Total Capital Markets				132,712
Chemicals 2.6%
Ashland, Inc.		11,835		626,782
Cabot Corp.		4,834		145,890
Olin Corp.		8,921		168,250
Total Chemicals				940,922
Commercial Banks 3.7%
Associated Banc-Corp.		15,414		171,866
BancorpSouth, Inc.		28,374		277,214
Fulton Financial Corp.		23,816		224,823
International Bancshares Corp.		16,012		290,138
Synovus Financial Corp.		106,518		159,777
Webster Financial Corp.		9,616		188,858
Total Commercial Banks				1,312,676
Commercial Services & Supplies 1.4%
Brink’s Co.(The)		17,669		491,022
Total Commercial Services & Supplies				491,022
Construction & Engineering 6.2%
Aecom Technology Corp.*		17,226		360,368
Granite Construction, Inc.		17,981		404,573
KBR, Inc.		16,508		460,738
Shaw Group, Inc.(The)*		12,243		284,772
URS Corp.*		19,979		713,250
Total Construction & Engineering				2,223,701
Containers & Packaging 0.8%
Temple-Inland, Inc.		8,461		269,144
Total Containers & Packaging				269,144
Diversified Consumer Services 2.0%
Career Education Corp.*		11,158		179,979
Regis Corp.		31,540		515,994
Total Diversified Consumer Services				695,973
Electric Utilities 6.1%
Great Plains Energy, Inc.		17,889		371,018
Hawaiian Electric Industries, Inc.		8,601		217,863
IDACORP, Inc.		4,519		182,477
NV Energy, Inc.		25,574		410,207
PNM Resources, Inc.		55,448		996,955
Total Electric Utilities				2,178,520
Electronic Equipment, Instruments & Components 8.8%
Arrow Electronics, Inc.*		20,290		731,454
Avnet, Inc.*		21,478		650,998
Ingram Micro, Inc. — Class A*		46,562		832,529
Tech Data Corp.*		18,470		908,355
Total Electronic Equipment, Instruments & Components				3,123,336
Energy Equipment & Services 2.1%
Exterran Holdings, Inc.*		9,950		94,525
Helix Energy Solutions Group, Inc.*		23,887		431,399
Tidewater, Inc.		4,783		235,467
Total Energy Equipment & Services				761,391
Food & Staples Retailing 1.3%
Ruddick Corp.		10,533		460,397
Total Food & Staples Retailing				460,397
Food Products 3.4%
Ralcorp Holdings, Inc.*		4,453		359,981
Smithfield Foods, Inc.*		37,461		856,358
Total Food Products				1,216,339
Gas Utilities 4.3%
Atmos Energy Corp.		13,245		454,568
Questar Corp.		27,332		526,688
UGI Corp.		9,273		265,857
WGL Holdings, Inc.		6,903		295,517
Total Gas Utilities				1,542,630
Health Care Equipment & Supplies 0.8%
Teleflex, Inc.		4,556		272,722
Total Health Care Equipment & Supplies				272,722
Health Care Providers & Services 8.5%
Community Health Systems, Inc.*		22,395		391,465
Health Net, Inc.*		19,877		552,382
LifePoint Hospitals, Inc.*		11,996		463,765
Omnicare, Inc.		34,066		1,015,848
Owens & Minor, Inc.		20,686		618,925
Total Health Care Providers & Services				3,042,385
Hotels, Restaurants & Leisure 2.2%
Bob Evans Farms, Inc.		10,738		353,280
Wendy’s Co.(The)		85,058		430,394
Total Hotels, Restaurants & Leisure				783,674
Household Durables 2.5%
American Greetings Corp. — Class A		22,646		362,562
KB Home		15,406		107,380
MDC Holdings, Inc.		6,746		151,110
Mohawk Industries, Inc.*		4,978		262,092
Total Household Durables				883,144
Insurance 18.7%
American Financial Group, Inc.		14,201		508,822
Everest Re Group Ltd.		5,446		489,704
Fidelity National Financial, Inc. — Class A		42,358		654,007
First American Financial Corp.		62,667		752,004
Hanover Insurance Group, Inc.(The)		9,824		374,884
HCC Insurance Holdings, Inc.		10,298		274,030
Kemper Corp.		28,662		770,721
Mercury General Corp.		7,275		315,007
Old Republic International Corp.		29,220		258,305
Protective Life Corp.		23,403		435,296
Reinsurance Group of America, Inc.		11,559		603,727
StanCorp Financial Group, Inc.		8,782		298,061
Transatlantic Holdings, Inc.		10,407		541,580
W.R. Berkley Corp.		10,934		380,613
Total Insurance				6,656,761

See Notes to Financial Statements.

28

RYDEX S&P MIDCAP 400 PURE VALUE ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Internet Software & Services 0.8%
AOL, Inc.*		20,989		$296,365
Total Internet Software & Services				296,365
IT Services 2.6%
Convergys Corp.*		14,175		151,673
CoreLogic, Inc.*		62,508		760,722
Total IT Services				912,395
Machinery 1.5%
Harsco Corp.		12,935		298,152
Trinity Industries, Inc.		8,657		236,076
Total Machinery				534,228
Media 1.0%
Scholastic Corp.		13,698		367,791
Total Media				367,791
Metals & Mining 2.3%
Commercial Metals Co.		27,621		343,329
Reliance Steel & Aluminum Co.		6,954		307,297
Worthington Industries, Inc.		10,665		184,291
Total Metals & Mining				834,917
Multi-Utilities 0.5%
Vectren Corp.		6,673		189,380
Total Multi-Utilities				189,380
Oil, Gas & Consumable Fuels 1.4%
HollyFrontier Corp.		6,671		204,733
Southern Union Co.		7,170		301,355
Total Oil, Gas & Consumable Fuels				506,088
Paper & Forest Products 0.4%
Louisiana-Pacific Corp.*		18,949		126,011
Total Paper & Forest Products				126,011
Professional Services 1.0%
Manpower, Inc.		8,688		374,800
Total Professional Services				374,800
Real Estate Investment Trusts (REITs) 0.6%
Hospitality Properties Trust		9,556		229,631
Total Real Estate Investment Trusts (REITs)				229,631
Road & Rail 0.4%
Con-way, Inc.		5,208		153,480
Total Road & Rail				153,480
Specialty Retail 6.0%
Barnes & Noble, Inc.		59,826		734,065
Collective Brands, Inc.*		32,454		474,153
Foot Locker, Inc.		11,894		260,003
RadioShack Corp.		24,376		290,318
Rent-A-Center, Inc.		10,993		375,411
Total Specialty Retail				2,133,950
Thrifts & Mortgage Finance 1.5%
Astoria Financial Corp.		21,675		179,902
First Niagara Financial Group, Inc.		12,716		116,860
Washington Federal, Inc.		17,429		237,906
Total Thrifts & Mortgage Finance				534,668
Tobacco 2.0%
Universal Corp.		16,462		704,903
Total Tobacco				704,903
Wireless Telecommunication Services 0.7%
Telephone & Data Systems, Inc.		10,338		239,635
Total Wireless Telecommunication Services				239,635
Total Common Stocks (Cost $39,127,582)				35,551,737
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market Fund		67,468		67,468
Total Short Term Investments (Cost $67,468)				67,468
Total Investments 99.9%(a) (Cost $39,195,050)				35,619,205
Other Assets in Excess of Liabilities—0.1%				51,759
Net Assets—100.0%				$35,670,964

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

See Notes to Financial Statements.

ANNUAL REPORT 29

RYDEX S&P MIDCAP 400 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Aerospace & Defense 2.8%
BE Aerospace, Inc.*		233,756		$8,819,614
Triumph Group, Inc.		164,832		9,576,739
Total Aerospace & Defense				18,396,353
Auto Components 0.4%
Gentex Corp.		77,317		2,328,788
Total Auto Components				2,328,788
Beverages 1.7%
Hansen Natural Corp.*		127,088		11,322,270
Total Beverages				11,322,270
Biotechnology 0.8%
United Therapeutics Corp.*		117,309		5,129,923
Total Biotechnology				5,129,923
Capital Markets 0.4%
Waddell & Reed Financial, Inc. — Class A		99,677		2,764,043
Total Capital Markets				2,764,043
Chemicals 3.5%
Albemarle Corp.		40,804		2,174,445
Intrepid Potash, Inc.*		179,329		4,990,726
NewMarket Corp.		80,530		15,634,094
Total Chemicals				22,799,265
Commercial Services & Supplies 1.1%
Copart, Inc.*		101,353		4,413,923
Rollins, Inc.		115,384		2,513,064
Total Commercial Services & Supplies				6,926,987
Communications Equipment 2.6%
ADTRAN, Inc.		105,674		3,550,646
Polycom, Inc.*		271,809		4,493,003
Riverbed Technology, Inc.*		326,747		9,011,682
Total Communications Equipment				17,055,331
Computers & Peripherals 0.3%
QLogic Corp.*		148,036		2,068,063
Total Computers & Peripherals				2,068,063
Distributors 1.5%
LKQ Corp.*		328,255		9,578,481
Total Distributors				9,578,481
Diversified Consumer Services 0.9%
ITT Educational Services, Inc.*		66,870		4,143,265
Strayer Education, Inc.		20,787		1,771,261
Total Diversified Consumer Services				5,914,526
Diversified Financial Services 0.4%
MSCI, Inc. — Class A*		85,527		2,855,747
Total Diversified Financial Services				2,855,747
Diversified Telecommunication Services 0.8%
tw telecom, Inc.*		299,128		5,533,868
Total Diversified Telecommunication Services				5,533,868
Electrical Equipment 0.5%
Woodward, Inc.		87,816		2,975,206
Total Electrical Equipment				2,975,206
Energy Equipment & Services 6.0%
Atwood Oceanics, Inc.*		193,128		8,254,291
CARBO Ceramics, Inc.		25,239		3,428,718
Dresser-Rand Group, Inc.*		192,429		9,313,563
Dril-Quip, Inc.*		96,416		6,276,682
Oceaneering International, Inc.		195,916		8,195,166
Oil States International, Inc.*		58,195		4,050,954
Total Energy Equipment & Services				39,519,374
Food Products 3.1%
Green Mountain Coffee Roasters, Inc.*		308,640		20,067,773
Total Food Products				20,067,773
Health Care Equipment & Supplies 5.8%
Cooper Cos., Inc.(The)		133,100		9,223,830
Gen-Probe, Inc.*		64,552		3,879,575
IDEXX Laboratories, Inc.*		87,644		6,309,492
Kinetic Concepts, Inc.*		120,241		8,223,282
ResMed, Inc.*		172,694		4,887,240
Thoratec Corp.*		147,841		5,397,675
Total Health Care Equipment & Supplies				37,921,094
Health Care Providers & Services 4.6%
Catalyst Health Solutions, Inc.*		135,978		7,474,711
Health Management Associates, Inc. — Class A*		683,810		5,990,176
Lincare Holdings, Inc.		168,560		3,969,588
Mednax, Inc.*		109,678		7,216,812
Universal Health Services, Inc. — Class B		129,724		5,185,068
Total Health Care Providers & Services				29,836,355
Health Care Technology 1.3%
Allscripts Healthcare Solutions, Inc.*		442,469		8,473,281
Total Health Care Technology				8,473,281
Hotels, Restaurants & Leisure 4.8%
Bally Technologies, Inc.*		75,624		2,742,883
Cheesecake Factory, Inc.(The)*		325,650		9,114,944
Life Time Fitness, Inc.*		199,025		8,583,948
Panera Bread Co. — Class A*		73,613		9,841,322
WMS Industries, Inc.*		59,106		1,295,012
Total Hotels, Restaurants & Leisure				31,578,109
Household Durables 0.8%
Tupperware Brands Corp.		90,989		5,144,518
Total Household Durables				5,144,518
Internet Software & Services 3.7%
Digital River, Inc.*		90,068		1,650,946
Equinix, Inc.*		75,113		7,211,599
Rackspace Hosting, Inc.*		375,833		15,555,728
Total Internet Software & Services				24,418,273
IT Services 4.9%
Alliance Data Systems Corp.*		46,435		4,756,801
Gartner, Inc.*		124,947		4,812,959
Global Payments, Inc.		79,046		3,629,792
Jack Henry & Associates, Inc.		88,021		2,852,761
Lender Processing Services, Inc.		179,734		3,154,332
NeuStar, Inc. — Class A*		108,549		3,450,773
VeriFone Systems, Inc.*		220,021		9,287,086
Total IT Services				31,944,504

See Notes to Financial Statements.

30

RYDEX S&P MIDCAP 400 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Leisure Equipment & Products 1.2%
Polaris Industries, Inc.		126,647		$8,021,821
Total Leisure Equipment & Products				8,021,821
Life Sciences Tools & Services 0.5%
Mettler-Toledo International, Inc.*		19,858		3,050,189
Total Life Sciences Tools & Services				3,050,189
Media 3.1%
AMC Networks, Inc. — Class A*		185,746		6,059,034
DreamWorks Animation SKG, Inc. — Class A*		185,616		3,443,177
Lamar Advertising Co. — Class A*		64,248		1,444,937
Valassis Communications, Inc.*		483,620		9,445,099
Total Media				20,392,247
Metals & Mining 0.6%
Compass Minerals International, Inc.		47,786		3,635,081
Total Metals & Mining				3,635,081
Multiline Retail 1.3%
Dollar Tree, Inc.*		104,941		8,391,082
Total Multiline Retail				8,391,082
Office Electronics 0.3%
Zebra Technologies Corp. — Class A*		60,737		2,170,740
Total Office Electronics				2,170,740
Oil, Gas & Consumable Fuels 1.6%
Bill Barrett Corp.*		124,893		5,195,549
Northern Oil and Gas, Inc.*		216,558		5,234,207
Total Oil, Gas & Consumable Fuels				10,429,756
Pharmaceuticals 4.0%
Endo Pharmaceuticals Holdings, Inc.*		172,928		5,587,304
Medicis Pharmaceutical Corp. — Class A		321,039		12,292,583
Perrigo Co.		91,257		8,238,682
Total Pharmaceuticals				26,118,569
Real Estate Investment Trusts (REITs) 2.2%
Corporate Office Properties Trust		109,010		2,643,493
Macerich Co.(The)		101,886		5,069,847
SL Green Realty Corp.		100,728		6,949,225
Total Real Estate Investment Trusts (REITs)				14,662,565
Real Estate Management & Development 0.5%
Jones Lang LaSalle, Inc.		51,148		3,305,184
Total Real Estate Management & Development				3,305,184
Semiconductors & Semiconductor Equipment 3.6%
Atmel Corp.*		312,919		3,304,425
Cree, Inc.*		168,680		4,493,635
RF Micro Devices, Inc.*		307,784		2,259,135
Semtech Corp.*		167,863		4,099,214
Silicon Laboratories, Inc.*		67,410		2,881,778
Skyworks Solutions, Inc.*		323,914		6,416,736
Total Semiconductors & Semiconductor Equipment				23,454,923
Software 10.1%
ACI Worldwide, Inc.*		79,833		2,448,478
Advent Software, Inc.*		248,429		6,806,955
ANSYS, Inc.*		116,544		6,335,332
Concur Technologies, Inc.*		116,925		5,439,351
Factset Research Systems, Inc.		59,869		5,952,176
Informatica Corp.*		203,733		9,269,851
MICROS Systems, Inc.*		102,626		5,051,252
Quest Software, Inc.*		150,561		2,648,368
Rovi Corp.*		93,891		4,651,360
Solera Holdings, Inc.		110,886		6,057,702
TIBCO Software, Inc.*		391,401		11,307,575
Total Software				65,968,400
Specialty Retail 9.9%
Advance Auto Parts, Inc.		68,667		4,468,162
Aeropostale, Inc.*		406,023		5,546,274
ANN, Inc.*		140,688		3,747,928
Ascena Retail Group, Inc.*		346,598		10,016,682
Chico’s FAS, Inc.		411,852		5,090,491
Dick’s Sporting Goods, Inc.*		165,977		6,488,041
Guess?, Inc.		253,557		8,364,845
PetSmart, Inc.		134,808		6,329,236
Tractor Supply Co.		140,263		9,950,257
Williams-Sonoma, Inc.		119,004		4,467,410
Total Specialty Retail				64,469,326
Textiles, Apparel & Luxury Goods 8.3%
Deckers Outdoor Corp.*		149,698		17,251,198
Fossil, Inc.*		117,475		12,177,458
PVH Corp.		104,898		7,805,460
Under Armour, Inc. — Class A*		142,885		12,060,923
Warnaco Group, Inc.(The)*		101,413		4,979,378
Total Textiles, Apparel & Luxury Goods				54,274,417
Total Common Stocks (Cost $676,293,556)				652,896,432
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		420,698		420,698
Total Short Term Investments (Cost $420,698)				420,698
Total Investments 100.0%(a) (Cost $676,714,254)				653,317,130
Liabilities in Excess of Other Assets—0.0%(b)				(71,158	)
Net Assets—100.0%				$653,245,972

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 31

RYDEX S&P SMALLCAP 600 PURE VALUE ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 100.0%
Aerospace & Defense 1.0%
AAR Corp.		8,809		$175,563
Curtiss-Wright Corp.		6,486		212,611
GenCorp, Inc.*		48,454		235,487
Total Aerospace & Defense				623,661
Airlines 1.3%
SkyWest, Inc.		58,557		785,249
Total Airlines				785,249
Auto Components 1.8%
Spartan Motors, Inc.		107,051		524,550
Standard Motor Products, Inc.		37,219		578,755
Total Auto Components				1,103,305
Building Products 2.9%
Apogee Enterprises, Inc.		49,980		545,782
Gibraltar Industries, Inc.*		49,878		556,638
Griffon Corp.*		30,183		285,833
Universal Forest Products, Inc.		14,923		418,889
Total Building Products				1,807,142
Capital Markets 3.0%
Investment Technology Group, Inc.*		29,088		331,894
Piper Jaffray Co.*		15,656		325,018
Prospect Capital Corp.		16,545		158,336
SWS Group, Inc.*		194,677		1,072,670
Total Capital Markets				1,887,918
Chemicals 1.2%
A. Schulman, Inc.		25,354		535,223
Stepan Co.		2,694		208,219
Total Chemicals				743,442
Commercial Banks 4.7%
Boston Private Financial Holdings, Inc.		30,285		229,560
First BanCorp*		83,444		297,061
First Midwest Bancorp, Inc.		26,038		234,602
FNB Corp.		17,479		176,363
Hanmi Financial Corp.*		395,305		395,305
Pinnacle Financial Partners, Inc.*		16,229		243,597
PrivateBancorp, Inc.		12,764		139,128
Susquehanna Bancshares, Inc.		55,118		400,157
United Community Banks, Inc.*		39,319		290,567
Wilshire Bancorp, Inc.*		36,857		126,051
Wintrust Financial Corp.		13,793		398,342
Total Commercial Banks				2,930,733
Commercial Services & Supplies 2.3%
ABM Industries, Inc.		18,991		383,998
G&K Services, Inc. — Class A		12,238		371,545
Standard Register Co.(The)		71,042		183,999
United Stationers, Inc.		14,911		474,319
Total Commercial Services & Supplies				1,413,861
Communications Equipment 1.5%
Arris Group, Inc.*		15,851		170,557
Black Box Corp.		11,092		310,465
Comtech Telecommunications Corp.		6,269		207,566
Digi International, Inc.*		18,396		235,285
Total Communications Equipment				923,873
Construction & Engineering 2.3%
Comfort Systems USA, Inc.		42,489		467,379
Dycom Industries, Inc.*		20,399		396,353
EMCOR Group, Inc.		21,615		541,888
Total Construction & Engineering				1,405,620
Construction Materials 0.2%
Headwaters, Inc.*		74,933		131,882
Total Construction Materials				131,882
Containers & Packaging 0.6%
Myers Industries, Inc.		30,657		374,629
Total Containers & Packaging				374,629
Distributors 1.7%
Audiovox Corp. — Class A*		144,266		1,025,731
Total Distributors				1,025,731
Diversified Consumer Services 1.8%
Corinthian Colleges, Inc.*		241,952		462,128
School Specialty, Inc.*		86,744		663,592
Total Diversified Consumer Services				1,125,720
Diversified Financial Services 0.4%
Interactive Brokers Group, Inc. — Class A		14,943		229,823
Total Diversified Financial Services				229,823
Diversified Telecommunication Services 0.5%
Cincinnati Bell, Inc.*		100,905		324,914
Total Diversified Telecommunication Services				324,914
Electric Utilities 1.1%
Central Vermont Public Service Corp.		19,258		681,155
Total Electric Utilities				681,155
Electrical Equipment 0.4%
Powell Industries, Inc.*		8,137		273,485
Total Electrical Equipment				273,485
Electronic Equipment, Instruments & Components 8.0%
Agilysys, Inc.*		197,379		1,675,748
Anixter International, Inc.*		4,360		255,889
Benchmark Electronics, Inc.*		29,223		401,524
Brightpoint, Inc.*		55,682		565,172
Insight Enterprises, Inc.*		49,797		841,569
Scansource, Inc.*		14,366		499,362
SYNNEX Corp.*		24,659		711,905
Total Electronic Equipment, Instruments & Components				4,951,169
Energy Equipment & Services 2.0%
Bristow Group, Inc.		4,008		199,518
Hornbeck Offshore Services, Inc.*		19,482		639,789
Matrix Service Co.*		26,304		279,348
Tetra Technologies, Inc.*		15,649		148,666
Total Energy Equipment & Services				1,267,321
Food & Staples Retailing 2.1%
Casey’s General Stores, Inc.		5,008		248,146
Nash Finch Co.		15,258		401,591
Spartan Stores, Inc.		39,391		674,374
Total Food & Staples Retailing				1,324,111

See Notes to Financial Statements.

32

RYDEX S&P SMALLCAP 600 PURE VALUE ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Food Products 1.8%
Sanderson Farms, Inc.		6,537		$323,581
Seneca Foods Corp. — Class A*		37,419		787,670
Total Food Products				1,111,251
Gas Utilities 1.0%
Laclede Group, Inc.(The)		10,842		434,981
Southwest Gas Corp.		4,626		182,635
Total Gas Utilities				617,616
Health Care Equipment & Supplies 1.3%
CONMED Corp.*		7,906		207,691
Invacare Corp.		12,567		282,129
Symmetry Medical, Inc.*		37,422		340,166
Total Health Care Equipment & Supplies				829,986
Health Care Providers & Services 8.9%
Amedisys, Inc.*		17,850		234,371
Amsurg Corp.*		16,052		406,597
Centene Corp.*		25,275		888,416
Cross Country Healthcare, Inc.*		70,892		354,460
Gentiva Health Services, Inc.*		18,284		75,696
Healthways, Inc.*		54,096		387,327
Kindred Healthcare, Inc.*		96,312		1,122,035
Molina Healthcare, Inc.*		40,920		866,686
PharMerica Corp.*		77,612		1,210,747
Total Health Care Providers & Services				5,546,335
Hotels, Restaurants & Leisure 5.2%
Boyd Gaming Corp.*		89,290		578,599
Jack in the Box, Inc.*		12,224		251,570
Marcus Corp.		12,570		149,834
Multimedia Games Holding Co.*		41,722		275,782
O’Charleys, Inc.*		113,699		706,071
Red Robin Gourmet Burgers, Inc.*		33,266		833,979
Ruby Tuesday, Inc.*		15,405		129,248
Ruth’s Hospitality Group, Inc*		64,139		302,736
Total Hotels, Restaurants & Leisure				3,227,819
Household Durables 3.6%
Blyth, Inc.		10,231		571,197
Helen of Troy Ltd.*		8,724		252,385
La-Z-Boy, Inc.*		79,618		808,919
Standard Pacific Corp.*		192,751		585,963
Total Household Durables				2,218,464
Household Products 0.9%
Central Garden and Pet Co. — Class A*		61,855		543,705
Total Household Products				543,705
Industrial Conglomerates 0.4%
Standex International Corp.		6,009		232,008
Total Industrial Conglomerates				232,008
Insurance 5.1%
AMERISAFE, Inc.*		11,505		247,933
Delphi Financial Group, Inc. — Class A		11,695		309,684
Horace Mann Educators Corp.		27,540		370,413
Infinity Property & Casualty Corp.		3,941		228,420
Navigators Group, Inc.(The)*		5,068		231,202
Presidential Life Corp.		43,481		431,331
Safety Insurance Group, Inc.		4,224		180,027
Selective Insurance Group, Inc.		27,448		439,991
Stewart Information Services Corp.		49,450		496,478
United Fire & Casualty Co.		12,355		232,398
Total Insurance				3,167,877
Internet Software & Services 0.9%
Infospace, Inc.*		24,432		214,024
United Online, Inc.		59,372		350,889
Total Internet Software & Services				564,913
IT Services 2.3%
CACI International, Inc. — Class A*		7,543		414,035
CIBER, Inc.*		285,135		992,270
Total IT Services				1,406,305
Leisure Equipment & Products 0.6%
Callaway Golf Co.		68,721		399,269
Total Leisure Equipment & Products				399,269
Life Sciences Tools & Services 0.8%
Cambrex Corp.*		89,308		492,087
Total Life Sciences Tools & Services				492,087
Machinery 2.0%
Briggs & Stratton Corp.		20,766		303,184
Federal Signal Corp.*		90,982		429,435
Lydall, Inc.*		47,635		522,079
Total Machinery				1,254,698
Media 0.4%
Live Nation Entertainment, Inc.*		27,364		256,948
Total Media				256,948
Metals & Mining 0.8%
A.M. Castle & Co.*		17,910		245,188
Kaiser Aluminum Corp.		5,680		263,893
Total Metals & Mining				509,081
Multi-Utilities 1.3%
Avista Corp.		14,129		359,583
CH Energy Group, Inc.		3,623		200,026
NorthWestern Corp.		6,749		232,503
Total Multi-Utilities				792,112
Multiline Retail 1.8%
Fred’s, Inc. — Class A		47,677		581,183
Tuesday Morning Corp.*		148,716		538,352
Total Multiline Retail				1,119,535
Oil, Gas & Consumable Fuels 1.8%
Overseas Shipholding Group, Inc.		39,451		492,349
World Fuel Services Corp.		15,784		628,992
Total Oil, Gas & Consumable Fuels				1,121,341
Paper & Forest Products 0.6%
Wausau Paper Corp.		52,716		395,370
Total Paper & Forest Products				395,370
Professional Services 2.7%
CDI Corp.		19,893		261,195
Kelly Services, Inc. — Class A		19,272		315,097
Navigant Consulting, Inc.*		56,579		641,040
On Assignment, Inc.*		39,848		429,960
Total Professional Services				1,647,292

See Notes to Financial Statements.

ANNUAL REPORT 33

RYDEX S&P SMALLCAP 600 PURE VALUE ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Real Estate Investment Trusts (REITs) 0.4%
Cedar Shopping Centers, Inc.		32,515		$119,330
Kite Realty Group Trust		34,200		141,246
Total Real Estate Investment Trusts (REITs)				260,576
Semiconductors & Semiconductor Equipment 0.6%
Brooks Automation, Inc.		34,768		363,326
Total Semiconductors & Semiconductor Equipment				363,326
Software 0.3%
THQ, Inc.*		81,014		172,560
Total Software				172,560
Specialty Retail 10.9%
Brown Shoe Co., Inc.		38,392		342,073
Christopher & Banks Corp.		90,920		302,764
Coldwater Creek, Inc.*		100,915		105,961
Group 1 Automotive, Inc.		15,856		722,399
Haverty Furniture Cos., Inc.		31,747		368,900
HOT Topic, Inc.		99,857		754,919
Lithia Motors, Inc. — Class A		52,146		1,072,643
MarineMax, Inc.*		78,119		635,889
OfficeMax, Inc.*		19,645		100,582
PEP Boys-Manny Moe & Jack		36,056		414,644
Sonic Automotive, Inc. — Class A		46,331		679,676
Stage Stores, Inc.		29,975		468,509
Stein Mart, Inc.		48,089		348,645
Zale Corp.*		123,115		454,294
Total Specialty Retail				6,771,898
Textiles, Apparel & Luxury Goods 0.7%
Quiksilver, Inc.*		85,303		285,765
Skechers U.S.A., Inc. — Class A*		8,582		122,379
Total Textiles, Apparel & Luxury Goods				408,144
Thrifts & Mortgage Finance 0.8%
Bank Mutual Corp.		100,004		333,013
Northwest Bancshares, Inc.		15,374		191,714
Total Thrifts & Mortgage Finance				524,727
Tobacco 0.9%
Alliance One International, Inc.*		217,692		581,238
Total Tobacco				581,238
Trading Companies & Distributors 0.4%
Lawson Products, Inc.		13,795		229,963
Total Trading Companies & Distributors				229,963
Total Common Stocks (Cost $72,619,906)				62,101,188
RIGHTS 0.0%(a)(b)
Commercial Banks 0.0%(a)
First BanCorp., Expires 11/29/11*		93,179		2,795
Total Commercial Banks				2,795
Total Rights (Cost $0)				2,795
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		71,411		71,411
Total Short Term Investments (Cost $71,411)				71,411
Total Investments 100.1%(c) (Cost $72,691,317)				62,175,394
Liabilities in Excess of Other Assets—(0.1)%				(45,786	)
Net Assets—100.0%				$62,129,608

*	Non-Income Producing Security.
(a)	Amount represents less than 0.05% of net assets.
(b)	Values determined based on Level 2 inputs.
(c)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

See Notes to Financial Statements.

34

RYDEX S&P SMALLCAP 600 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 99.9%
Aerospace & Defense 0.8%
American Science & Engineering, Inc.		1,714		$116,586
National Presto Industries, Inc.		1,749		167,030
Total Aerospace & Defense				283,616
Airlines 0.5%
Allegiant Travel Co.*		3,419		177,651
Total Airlines				177,651
Beverages 0.7%
Boston Beer Co., Inc. — Class A*		2,845		251,726
Total Beverages				251,726
Biotechnology 2.8%
Arqule, Inc.*		45,195		262,583
Cubist Pharmaceuticals, Inc.*		7,436		281,155
Regeneron Pharmaceuticals, Inc.*		7,972		440,852
Total Biotechnology				984,590
Capital Markets 0.3%
Stifel Financial Corp.*		3,110		99,116
Total Capital Markets				99,116
Chemicals 1.9%
Balchem Corp.		6,889		253,997
Hawkins, Inc.		8,268		316,499
Quaker Chemical Corp.		3,093		107,606
Total Chemicals				678,102
Commercial Banks 0.2%
Signature Bank*		1,511		84,238
Total Commercial Banks				84,238
Commercial Services & Supplies 0.8%
Consolidated Graphics, Inc.*		4,181		190,486
Healthcare Services Group, Inc.		5,136		89,110
Total Commercial Services & Supplies				279,596
Communications Equipment 1.7%
Blue Coat Systems, Inc.*		12,873		207,255
Netgear, Inc.*		4,259		151,024
Oplink Communications, Inc.*		10,298		167,034
Viasat, Inc.*		2,025		86,245
Total Communications Equipment				611,558
Computers & Peripherals 1.2%
Novatel Wireless, Inc.*		27,305		108,401
Stratasys, Inc.*		4,133		115,889
Synaptics, Inc.*		6,022		203,483
Total Computers & Peripherals				427,773
Construction & Engineering 0.2%
Orion Marine Group, Inc.*		11,364		77,162
Total Construction & Engineering				77,162
Consumer Finance 3.2%
Cash America International, Inc.		4,844		265,209
Ezcorp, Inc. — Class A*		7,653		212,600
First Cash Financial Services, Inc.*		5,678		235,637
World Acceptance Corp.*		5,760		389,664
Total Consumer Finance				1,103,110
Diversified Consumer Services 1.6%
American Public Education, Inc.*		3,768		134,932
Capella Education Co.*		2,368		82,430
Coinstar, Inc.*		5,913		282,287
Universal Technical Institute, Inc.*		4,251		60,704
Total Diversified Consumer Services				560,353
Diversified Financial Services 0.6%
Portfolio Recovery Associates, Inc.*		2,815		197,444
Total Diversified Financial Services				197,444
Diversified Telecommunication Services 0.9%
Atlantic Tele-Network, Inc.		3,746		142,161
Cbeyond, Inc.*		6,967		57,408
Neutral Tandem, Inc.*		11,293		119,028
Total Diversified Telecommunication Services				318,597
Electrical Equipment 0.6%
II-VI, Inc.*		6,155		117,006
Vicor Corp.		10,577		96,780
Total Electrical Equipment				213,786
Electronic Equipment, Instruments & Components 2.7%
DTS, Inc.*		3,084		86,630
Littelfuse, Inc.		2,267		110,992
Measurement Specialties, Inc.*		6,692		208,857
Mercury Computer Systems, Inc.*		11,200		163,520
OSI Systems, Inc.*		4,680		207,324
TTM Technologies, Inc.*		15,980		178,497
Total Electronic Equipment, Instruments & Components				955,820
Food Products 1.9%
Calavo Growers, Inc.		7,087		159,953
Darling International, Inc.*		15,936		223,423
TreeHouse Foods, Inc.*		4,600		282,164
Total Food Products				665,540
Health Care Equipment & Supplies 3.9%
Abaxis, Inc.*		5,677		159,297
Align Technology, Inc.*		12,029		277,028
Cyberonics, Inc.*		5,884		169,459
Haemonetics Corp.*		1,668		101,665
Integra LifeSciences Holdings Corp.*		3,775		121,026
Kensey Nash Corp.*		4,115		110,611
Neogen Corp.*		6,474		250,220
NuVasive, Inc.*		4,417		65,460
Zoll Medical Corp.*		2,365		89,421
Total Health Care Equipment & Supplies				1,344,187
Health Care Providers & Services 7.5%
Air Methods Corp.*		6,370		514,823
Almost Family, Inc.*		4,544		84,700
Bio-Reference Labs, Inc.*		8,325		166,833
Chemed Corp.		1,834		108,866
CorVel Corp.*		3,873		199,731
Ensign Group, Inc.(The)		7,073		160,981
Healthspring, Inc.*		8,355		450,669
HMS Holdings Corp.*		11,562		282,575
IPC The Hospitalist Co., Inc.*		6,801		285,166
MWI Veterinary Supply, Inc.*		4,779		360,815
Total Health Care Providers & Services				2,615,159

See Notes to Financial Statements.

ANNUAL REPORT 35

RYDEX S&P SMALLCAP 600 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Health Care Technology 0.8%
Quality Systems, Inc.		7,536		$293,226
Total Health Care Technology				293,226
Hotels, Restaurants & Leisure 7.5%
Biglari Holdings, Inc.*		428		147,711
BJ’s Restaurants, Inc.*		9,367		495,795
Buffalo Wild Wings, Inc.*		5,649		374,077
CEC Entertainment, Inc.		5,705		180,392
Cracker Barrel Old Country Store, Inc.		3,723		157,818
DineEquity, Inc.*		6,434		302,141
Interval Leisure Group, Inc.*		16,186		223,529
P.F. Chang’s China Bistro, Inc.		5,126		159,419
Peet’s Coffee & Tea, Inc.*		4,724		301,013
Texas Roadhouse, Inc.		19,426		278,374
Total Hotels, Restaurants & Leisure				2,620,269
Household Durables 0.9%
iRobot Corp.*		6,445		218,227
Universal Electronics, Inc.*		4,320		80,309
Total Household Durables				298,536
Insurance 0.3%
eHealth, Inc.*		6,218		92,337
Total Insurance				92,337
Internet & Catalog Retail 1.3%
Blue Nile, Inc.*		3,056		137,917
HSN, Inc.		6,492		231,570
PetMed Express, Inc.		7,231		72,093
Total Internet & Catalog Retail				441,580
Internet Software & Services 6.0%
comScore, Inc.*		11,392		240,485
j2 Global Communications, Inc.		4,851		149,314
Liquidity Services, Inc.*		13,017		423,833
LivePerson, Inc.*		31,380		395,074
Perficient, Inc.*		16,962		161,648
RightNow Technologies, Inc.*		11,758		505,712
Stamps.com, Inc.		7,001		227,953
Total Internet Software & Services				2,104,019
IT Services 3.7%
Cardtronics, Inc.*		11,231		279,989
CSG Systems International, Inc.*		7,132		101,560
Forrester Research, Inc.		2,423		86,768
iGate Corp.		5,151		69,435
MAXIMUS, Inc.		6,393		257,894
Virtusa Corp.*		12,519		203,934
Wright Express Corp.*		6,083		285,171
Total IT Services				1,284,751
Leisure Equipment & Products 2.0%
Sturm Ruger & Co., Inc.		22,703		688,355
Total Leisure Equipment & Products				688,355
Life Sciences Tools & Services 0.7%
Enzo Biochem, Inc.*		17,661		50,510
PAREXEL International Corp.*		9,290		204,659
Total Life Sciences Tools & Services				255,169
Media 0.8%
Arbitron, Inc.		4,813		191,221
DG Fastchannel, Inc.*		3,927		73,199
Total Media				264,420
Oil, Gas & Consumable Fuels 1.5%
Contango Oil & Gas Co.*		2,992		192,505
Gulfport Energy Corp.*		10,254		319,310
Total Oil, Gas & Consumable Fuels				511,815
Paper & Forest Products 2.7%
Buckeye Technologies, Inc.		11,777		356,136
KapStone Paper and Packaging Corp.*		16,857		276,455
Schweitzer-Mauduit International, Inc.		4,349		305,822
Total Paper & Forest Products				938,413
Personal Products 1.2%
Inter Parfums, Inc.		9,920		182,925
Medifast, Inc.*		13,818		227,168
Total Personal Products				410,093
Pharmaceuticals 5.6%
Hi-Tech Pharmacal Co., Inc.*		18,214		646,961
Par Pharmaceutical Cos., Inc.*		9,972		305,143
Questcor Pharmaceuticals, Inc.*		17,234		699,873
Salix Pharmaceuticals Ltd.*		4,390		150,379
Viropharma, Inc.*		7,332		148,400
Total Pharmaceuticals				1,950,756
Professional Services 1.2%
Dolan Co.(The)*		28,619		250,416
Exponent, Inc.*		3,194		153,887
Total Professional Services				404,303
Semiconductors & Semiconductor Equipment 8.9%
Ceva, Inc.*		9,720		302,000
Cirrus Logic, Inc.*		26,107		434,421
Diodes, Inc.*		7,828		175,112
Entropic Communications, Inc.*		46,786		272,295
GT Advanced Technologies, Inc.*		22,900		187,780
Hittite Microwave Corp.*		2,079		109,355
Kopin Corp.*		67,615		273,841
Kulicke & Soffa Industries, Inc.*		30,285		292,250
Monolithic Power Systems, Inc.*		8,320		103,667
Nanometrics, Inc.*		8,484		143,210
Power Integrations, Inc.		5,241		186,737
Rubicon Technology, Inc.*		11,193		116,631
TriQuint Semiconductor, Inc.*		28,187		149,955
Veeco Instruments, Inc.*		2,821		75,293
Volterra Semiconductor Corp.*		12,023		284,945
Total Semiconductors & Semiconductor Equipment				3,107,492
Software 10.5%
Blackbaud, Inc.		8,628		241,843
Bottomline Technologies, Inc.*		10,697		259,830
CommVault Systems, Inc.*		9,375		399,188
Ebix, Inc.*		14,161		242,295
Interactive Intelligence Group*		12,439		345,182
JDA Software Group, Inc.*		4,381		139,622
MicroStrategy, Inc. — Class A*		2,077		273,686
Netscout Systems, Inc.*		14,131		231,607
Sourcefire, Inc.*		15,203		418,843
Synchronoss Technologies, Inc.*		13,267		398,806
Taleo Corp. — Class A*		9,033		292,669

See Notes to Financial Statements.

36

RYDEX S&P SMALLCAP 600 PURE GROWTH ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Tyler Technologies, Inc.*		9,600		$303,072
Websense, Inc.*		6,020		107,397
Total Software				3,654,040
Specialty Retail 5.8%
Buckle, Inc.(The)		6,771		301,716
Cabela’s, Inc.*		11,225		279,727
Hibbett Sports, Inc.*		5,082		209,327
JOS A Bank Clothiers, Inc.*		7,859		419,985
Kirkland’s, Inc.*		17,496		196,655
Lumber Liquidators Holdings, Inc.*		12,205		182,709
Monro Muffler, Inc.		6,488		240,640
Zumiez, Inc.*		8,975		204,181
Total Specialty Retail				2,034,940
Textiles, Apparel & Luxury Goods 4.5%
Carter’s, Inc.*		2,852		108,633
Crocs, Inc.*		18,497		326,842
Iconix Brand Group, Inc.*		13,934		250,115
Maidenform Brands, Inc.*		7,531		185,112
Steven Madden Ltd.*		8,658		319,480
True Religion Apparel, Inc.*		10,722		363,690
Total Textiles, Apparel & Luxury Goods				1,553,872
Total Common Stocks (Cost $38,933,778)				34,837,510
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund		40,413		40,413
Total Short Term Investments (Cost $40,413)				40,413
Total Investments 100.0%(a) (Cost $38,974,191)				34,877,923
Liabilities in Excess of Other Assets—0.0%(b)				(5,374	)
Net Assets—100.0%				$34,872,549

*	Non-Income Producing Security.
(a)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.
(b)	Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

ANNUAL REPORT 37

STATEMENTS OF ASSETS AND LIABILITIES October 31, 2011

										Rydex
	Rydex			Rydex			Rydex			S&P MidCap
	Russell Top			S&P 500 Pure			S&P 500 Pure			400 Pure
	50® ETF			Value ETF			Growth ETF			Value ETF
Assets
Investments at Market Value*	$	453,836,975		$	79,511,538		$	265,867,413		$	35,619,205
Receivables:
Investments Sold		231,727			—			—			785,408
Fund Shares Sold		13,711,842			2,838,207			—			—
Dividends		620,287			58,134			101,486			28,976
Total Assets		468,400,831			82,407,879			265,968,899			36,433,589
Liabilities
Payables:
Investments Purchased		13,918,901			2,835,010			—			752,421
Accrued Management Fees		72,642			22,590			80,143			10,204
Total Liabilities		13,991,543			2,857,600			80,143			762,625
Net Assets	$	454,409,288		$	79,550,279		$	265,888,756		$	35,670,964
Net Assets Consist of:
Paid-in Capital	$	578,910,986		$	93,192,897		$	276,340,999		$	42,055,052
Undistributed Net Investment Income		790,411			81,520			15,198			28,336
Accumulated Net Realized Gain (Loss) on Investment Securities		(100,306,393	)		(8,182,472	)		(2,607,194	)		(2,836,579	)
Net Unrealized Appreciation (Depreciation) on Investment Securities		(24,985,716	)		(5,541,666	)		(7,860,247	)		(3,575,845	)
Net Assets	$	454,409,288		$	79,550,279		$	265,888,756		$	35,670,964
Shares Outstanding (Unlimited Shares Authorized), No Par Value		5,050,785			2,802,836			5,950,299			1,150,499
Net Asset Value, Offering Price and Repurchase Price Per Share	$	89.97		$	28.38		$	44.68		$	31.00
*Total Cost of Investments	$	478,822,691		$	85,053,204		$	273,727,660		$	39,195,050

See Notes to Financial Statements.

38

STATEMENTS OF ASSETS AND LIABILITIES (concluded) October 31, 2011

	Rydex			Rydex			Rydex
	S&P MidCap			S&P SmallCap			S&P SmallCap
	400 Pure			600 Pure			600 Pure
	Growth ETF			Value ETF			Growth ETF
Assets
Investments at Market Value*	$	653,317,130		$	62,175,394		$	34,877,923
Receivables:
Investments Sold		—			1,068,563			83,792
Fund Shares Sold		41,643,245			—			2,490,874
Dividends		97,547			25,080			2,531
Total Assets		695,057,922			63,269,037			37,455,120
Liabilities
Payables:
Investments Purchased		41,645,168			1,122,057			2,572,810
Accrued Management Fees		166,782			17,372			9,761
Total Liabilities		41,811,950			1,139,429			2,582,571
Net Assets	$	653,245,972		$	62,129,608		$	34,872,549
Net Assets Consist of:
Paid-in Capital	$	678,830,575		$	93,642,767		$	39,900,593
Accumulated Net Realized Gain (Loss) on Investment Securities		(2,187,479	)		(20,997,236	)		(931,776	)
Net Unrealized Appreciation (Depreciation) on Investment Securities		(23,397,124	)		(10,515,923	)		(4,096,268	)
Net Assets	$	653,245,972		$	62,129,608		$	34,872,549
Shares Outstanding (Unlimited Shares Authorized), No Par Value		7,950,021			1,750,040			700,004
Net Asset Value, Offering Price and Repurchase Price Per Share	$	82.17		$	35.50		$	49.82
*Total Cost of Investments	$	676,714,254		$	72,691,317		$	38,974,191

See Notes to Financial Statements.

ANNUAL REPORT 39

STATEMENTS OF OPERATIONS For the Year Ended October 31, 2011

										Rydex
	Rydex			Rydex			Rydex			S&P MidCap
	Russell Top			S&P 500 Pure			S&P 500 Pure			400 Pure
	50® ETF			Value ETF			Growth ETF			Value ETF
Investment Income
Dividends, Net of Foreign Taxes Withheld	$	8,634,215		$	1,601,100		$	1,897,984		$	756,673
Expenses
Management Fee		758,963			312,831			877,768			168,182
Other Fees		126			—			—			—
Total Expenses		759,089			312,831			877,768			168,182
Net Investment Income		7,875,126			1,288,269			1,020,216			588,491
Realized And Unrealized Gain (Loss) On Investments
Net Realized Gain (Loss) From:
Investments		(4,150,627	)		687,340			4,971,909			1,261,234
In-kind Redemptions		3,149,806			435,640			18,508,163			(20,978	)
Net Realized Gain (Loss)		(1,000,821	)		1,122,980			23,480,072			1,240,256
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		19,318,113			(2,290,115	)		(23,088,187	)		(2,426,037	)
Net Realized and Unrealized Gain (Loss) on Investments		18,317,292			(1,167,135	)		391,885			(1,185,781	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	26,192,418		$	121,134		$	1,412,101		$	(597,290	)
Foreign Taxes Withheld	$	—		$	32		$	—		$	—

See Notes to Financial Statements.

40

STATEMENTS OF OPERATIONS (concluded) For the Year Ended October 31, 2011

	Rydex			Rydex		Rydex
	S&P MidCap			S&P SmallCap		S&P SmallCap
	400 Pure			600 Pure		600 Pure
	Growth ETF			Value ETF		Growth ETF
Investment Income
Dividends	$	2,487,422		$	739,175	$	146,596
Expenses
Management Fee		1,992,926			294,541		134,515
Other Fees		76			34		—
Total Expenses		1,993,002			294,575		134,515
Net Investment Income		494,420			444,600		12,081
Realized And Unrealized Gain (Loss) On Investments
Net Realized Gain (Loss) From:
Investments		21,424,219			1,210,465		885,064
In-kind Redemptions		47,666,478			2,175,606		(2,552,469	)
Net Realized Gain (Loss)		69,090,697			3,386,071		(1,667,405	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		(51,357,329	)		849,778		(6,355,046	)
Net Realized and Unrealized Gain (Loss) on Investments		17,733,368			4,235,849		(8,022,451	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	18,227,788		$	4,680,449	$	(8,010,370	)

See Notes to Financial Statements.

ANNUAL REPORT 41

STATEMENTS OF CHANGES IN NET ASSETS

	Rydex Russell Top 50® ETF						Rydex S&P 500 Pure Value ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	7,875,126		$	6,900,519		$	1,288,269		$	877,419
Net Realized Gain (Loss) on Investments		(1,000,821	)		(7,489,617	)		1,122,980			10,140,255
Net Change in Unrealized Appreciation (Depreciation) on Investments		19,318,113			32,212,043			(2,290,115	)		(4,582,840	)
Net Increase in Net Assets Resulting From Operations		26,192,418			31,622,945			121,134			6,434,834
Distributions To Shareholders From:
Net Investment Income		(7,603,764	)		(6,973,425	)		(1,211,677	)		(867,443	)
Shareholder Transactions
Proceeds From Shares Purchased		150,183,009			45,555,770			60,757,533			85,657,155
Value of Shares Purchased through Dividend Reinvestments		—			9,726			—			6,581
Value of Shares Redeemed		(38,031,580	)		(62,207,870	)		(35,992,276	)		(65,456,767	)
Net Increase (Decrease) in Net Assets Resulting From Share Transactions		112,151,429			(16,642,374	)		24,765,257			20,206,969
Increase in Net Assets		130,740,083			8,007,146			23,674,714			25,774,360
NET ASSETS—Beginning of Period		323,669,205			315,662,059			55,875,565			30,101,205
NET ASSETS—End of Period(1)	$	454,409,288		$	323,669,205		$	79,550,279		$	55,875,565
(1) Including Undistributed Net Investment Income	$	790,411		$	519,049		$	81,520		$	6,288
Changes in Shares Outstanding:
Shares Purchased		1,700,000			550,000			2,000,000			3,350,000
Shares Purchased through Dividend Reinvestments		—			115			—			266
Shares Redeemed		(450,000	)		(750,000	)		(1,350,000	)		(2,600,000	)
Shares Outstanding, Beginning of Period		3,800,785			4,000,670			2,152,836			1,402,570
Shares Outstanding, End of Period		5,050,785			3,800,785			2,802,836			2,152,836

See Notes to Financial Statements.

42

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Rydex S&P 500 Pure Growth ETF						Rydex S&P MidCap 400 Pure Value ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	1,020,216		$	273,834		$	588,491		$	532,926
Net Realized Gain on Investments		23,480,072			4,220,567			1,240,256			6,476,646
Net Change in Unrealized Appreciation (Depreciation) on Investments		(23,088,187	)		14,201,445			(2,426,037	)		(2,350,651	)
Net Increase (Decrease) in Net Assets Resulting From Operations		1,412,101			18,695,846			(597,290	)		4,658,921
Distributions To Shareholders From:
Net Investment Income		(996,112	)		(285,918	)		(566,319	)		(526,762	)
Shareholder Transactions
Proceeds From Shares Purchased		259,891,376			117,266,926			10,618,563			43,241,178
Value of Shares Purchased through Dividend Reinvestments		—			1,529			—			2,368
Value of Shares Redeemed		(141,889,014	)		(26,775,492	)		(16,872,735	)		(27,284,312	)
Net Increase (Decrease) in Net Assets Resulting From Share Transactions		118,002,362			90,492,963			(6,254,172	)		15,959,234
Increase (Decrease) in Net Assets		118,418,351			108,902,891			(7,417,781	)		20,091,393
NET ASSETS—Beginning of Period		147,470,405			38,567,514			43,088,745			22,997,352
NET ASSETS—End of Period(1)	$	265,888,756		$	147,470,405		$	35,670,964		$	43,088,745
(1) Including Undistributed Net Investment Income	$	15,198		$	—		$	28,336		$	6,164
Changes in Shares Outstanding:
Shares Purchased		5,700,000			3,200,000			300,000			1,400,000
Shares Purchased through Dividend Reinvestments		—			44			—			81
Shares Redeemed		(3,400,000	)		(800,000	)		(550,000	)		(950,000	)
Shares Outstanding, Beginning of Period		3,650,299			1,250,255			1,400,499			950,418
Shares Outstanding, End of Period		5,950,299			3,650,299			1,150,499			1,400,499

See Notes to Financial Statements.

ANNUAL REPORT 43

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Rydex S&P MidCap 400						Rydex S&P SmallCap 600
	Pure Growth ETF						Pure Value ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income	$	494,420		$	48,972		$	444,600		$	671,866
Net Realized Gain on Investments		69,090,697			14,290,972			3,386,071			2,507,840
Net Change in Unrealized Appreciation (Depreciation) on Investments		(51,357,329	)		25,139,989			849,778			(1,095,620	)
Net Increase in Net Assets Resulting From Operations		18,227,788			39,479,933			4,680,449			2,084,086
Distributions To Shareholders From:
Net Investment Income		(494,945	)		(89,353	)		(444,287	)		(707,768	)
Shareholder Transactions
Proceeds From Shares Purchased		689,925,224			229,792,522			14,049,940			108,057,601
Value of Shares Purchased through Dividend Reinvestments		—			122			—			—
Value of Shares Redeemed		(346,841,356	)		(85,185,473	)		(43,539,405	)		(130,334,749	)
Net Increase (Decrease) in Net Assets Resulting From Share Transactions		343,083,868			144,607,171			(29,489,465	)		(22,277,148	)
Increase (Decrease) in Net Assets		360,816,711			183,997,751			(25,253,303	)		(20,900,830	)
NET ASSETS—Beginning of Period		292,429,261			108,431,510			87,382,911			108,283,741
NET ASSETS—End of Period(1)	$	653,245,972		$	292,429,261		$	62,129,608		$	87,382,911
(1) Including Undistributed Net Investment Income	$	—		$	—		$	—		$	—
Changes in Shares Outstanding:
Shares Purchased		8,250,000			3,550,000			350,000			2,850,000
Shares Purchased through Dividend Reinvestments		—			2			—			—
Shares Redeemed		(4,450,000	)		(1,450,000	)		(1,150,000	)		(4,100,000	)
Shares Outstanding, Beginning of Period		4,150,021			2,050,019			2,550,040			3,800,040
Shares Outstanding, End of Period		7,950,021			4,150,021			1,750,040			2,550,040

See Notes to Financial Statements.

44

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Rydex S&P SmallCap 600 Pure Growth ETF
	Year Ended			Year Ended
	October			October
	31, 2011			31, 2010
Operations
Net Investment Income	$	12,081		$	23,587
Net Realized Gain (Loss) on Investments		(1,667,405	)		1,007,797
Net Change in Unrealized Appreciation (Depreciation) on Investments		(6,355,046	)		2,751,747
Net Increase (Decrease) in Net Assets Resulting From Operations		(8,010,370	)		3,783,131
Distributions To Shareholders From:
Net Investment Income		(46,996	)		(25,566	)
Shareholder Transactions
Proceeds From Shares Purchased		103,804,934			7,478,723
Value of Shares Redeemed		(78,204,381	)		(5,851,855	)
Net Increase in Net Assets Resulting From Share Transactions		25,600,553			1,626,868
Increase in Net Assets		17,543,187			5,384,433
NET ASSETS—Beginning of Period		17,329,362			11,944,929
NET ASSETS—End of Period(1)	$	34,872,549		$	17,329,362
(1) Including Undistributed Net Investment Income	$	—		$	—
Changes in Shares Outstanding:
Shares Purchased		1,950,000			200,000
Shares Redeemed		(1,650,000	)		(150,000	)
Shares Outstanding, Beginning of Period		400,004			350,004
Shares Outstanding, End of Period		700,004			400,004

See Notes to Financial Statements.

ANNUAL REPORT 45

FINANCIAL HIGHLIGHTS

	Rydex Russell Top 50®ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	85.16		$	78.90		$	76.29		$	116.47		$	104.15
Net Investment Income*		1.87			1.72			1.95			2.34			2.15
Net Realized and Unrealized Gain (Loss) on Investments		4.74			6.26			2.61			(40.20	)		12.25
Total From Investment Operations		6.61			7.98			4.56			(37.86	)		14.40
Distributions To Shareholders From:
Net Investment Income		(1.80	)		(1.72	)		(1.95	)		(2.32	)		(2.08	)
Net Asset Value at End of Period	$	89.97		$	85.16		$	78.90		$	76.29		$	116.47
Total Return**		7.80	%		10.22	%		6.35	%		(32.92	)%		13.96	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	454,409		$	323,669		$	315,662		$	434,878		$	681,355
Ratio To Average Net Assets Of:
Expenses		0.20	%		0.20	%		0.20	%		0.20	%		0.20	%
Net Investment Income		2.08	%		2.09	%		2.79	%		2.37	%		1.96	%
Portfolio Turnover Rate†		6	%		9	%		12	%		10	%		8	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

46

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Pure Value ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	25.95		$	21.46		$	17.98		$	34.46		$	32.66
Net Investment Income*		0.42			0.35			0.49			1.00			0.75
Net Realized and Unrealized Gain (Loss) on Investments		2.40			4.49			3.53			(16.44	)		1.80
Total From Investment Operations		2.82			4.84			4.02			(15.44	)		2.55
Distributions To Shareholders From:
Net Investment Income		(0.39	)		(0.35	)		(0.54	)		(1.04	)		(0.75	)
Net Asset Value at End of Period	$	28.38		$	25.95		$	21.46		$	17.98		$	34.46
Total Return**		10.84	%		22.67	%		23.73	%		(45.76	)%		7.79	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	79,550		$	55,876		$	30,101		$	17,994		$	39,635
Ratio To Average Net Assets Of:
Expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Net Investment Income		1.44	%		1.38	%		2.92	%		3.63	%		2.15	%
Portfolio Turnover Rate†		23	%		27	%		45	%		53	%		26	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 47

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P 500 Pure Growth ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	40.40		$	30.85		$	24.40		$	39.59		$	35.30
Net Investment Income*		0.18			0.13			0.18			0.20			0.25
Net Realized and Unrealized Gain (Loss) on Investments		4.28			9.57			6.46			(15.19	)		4.26
Total From Investment Operations		4.46			9.70			6.64			(14.99	)		4.51
Distributions To Shareholders From:
Net Investment Income		(0.18	)		(0.15	)		(0.19	)		(0.20	)		(0.22	)
Net Asset Value at End of Period	$	44.68		$	40.40		$	30.85		$	24.40		$	39.59
Total Return**		11.06	%		31.51	%		27.41	%		(38.00	)%		12.79	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	265,889		$	147,470		$	38,568		$	24,398		$	63,340
Ratio To Average Net Assets Of:
Expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Net Investment Income		0.41	%		0.37	%		0.69	%		0.57	%		0.66	%
Portfolio Turnover Rate†		21	%		31	%		27	%		30	%		24	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

48

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P MidCap 400 Pure Value ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	30.77		$	24.20		$	20.24		$	35.76		$	33.27
Net Investment Income*		0.41			0.36			0.59			0.87			0.82
Net Realized and Unrealized Gain (Loss) on Investments		0.22			6.57			3.92			(15.54	)		2.48
Total From Investment Operations		0.63			6.93			4.51			(14.67	)		3.30
Distributions To Shareholders From:
Net Investment Income		(0.40	)		(0.36	)		(0.55	)		(0.84	)		(0.81	)
Net Asset Value at End of Period	$	31.00		$	30.77		$	24.20		$	20.24		$	35.76
Total Return**		2.03	%		28.75	%		23.32	%		(41.75	)%		9.94	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	35,671		$	43,089		$	22,997		$	10,126		$	21,458
Ratio To Average Net Assets Of:
Expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Net Investment Income		1.22	%		1.20	%		2.90	%		2.87	%		2.28	%
Portfolio Turnover Rate†		49	%		35	%		57	%		64	%		46	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 49

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P MidCap 400 Pure Growth ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	70.46		$	52.89		$	39.10		$	59.75		$	50.10
Net Investment Income*		0.07			0.02			0.09			0.02			0.33
Net Realized and Unrealized Gain (Loss) on Investments		11.72			17.59			13.79			(20.63	)		9.73
Total From Investment Operations		11.79			17.61			13.88			(20.61	)		10.06
Distributions To Shareholders From:
Net Investment Income		(0.08	)		(0.04	)		(0.09	)		(0.04	)		(0.27	)
Net Realized Gains		—			—			—			—			(0.14	)
Total Distributions		(0.08	)		(0.04	)		(0.09	)		(0.04	)		(0.41	)
Net Asset Value at End of Period	$	82.17		$	70.46		$	52.89		$	39.10		$	59.75
Total Return**		16.73	%		33.32	%		35.59	%		(34.52	)%		20.17	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	653,246		$	292,429		$	108,432		$	17,596		$	20,914
Ratio To Average Net Assets Of:
Expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Net Investment Income		0.09	%		0.03	%		0.19	%		0.04	%		0.60	%
Portfolio Turnover Rate†		45	%		51	%		29	%		52	%		53	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

50

FINANCIAL HIGHLIGHTS (continued)

	Rydex S&P SmallCap 600 Pure Value ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	34.27		$	28.50		$	23.21		$	37.38		$	40.13
Net Investment Income*		0.20			0.20			0.32			0.79			0.74
Net Realized and Unrealized Gain (Loss) on Investments		1.23			5.78			5.29			(14.26	)		(2.85	)
Total From Investment Operations		1.43			5.98			5.61			(13.47	)		(2.11	)
Distributions To Shareholders From:
Net Investment Income		(0.20	)		(0.21	)		(0.32	)		(0.70	)		(0.62	)
Net Realized Gains		—			—			—			—			(0.02	)
Total Distributions		(0.20	)		(0.21	)		(0.32	)		(0.70	)		(0.64	)
Net Asset Value at End of Period	$	35.50		$	34.27		$	28.50		$	23.21		$	37.38
Total Return**		4.16	%		21.07	%		25.00	%		(36.48	)%		(5.38	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	62,130		$	87,383		$	108,284		$	25,527		$	22,426
Ratio To Average Net Assets Of:
Expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Net Investment Income		0.53	%		0.60	%		1.18	%		2.57	%		1.78	%
Portfolio Turnover Rate†		76	%		62	%		43	%		50	%		37	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

ANNUAL REPORT 51

FINANCIAL HIGHLIGHTS (concluded)

	Rydex S&P SmallCap 600 Pure Growth ETF
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008			October 31, 2007
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	43.32		$	34.13		$	29.03		$	44.92		$	39.10
Net Investment Income*		0.02			0.06			0.06			0.17			—
Net Realized and Unrealized Gain (Loss) on Investments		6.57			9.18			5.13			(15.87	)		5.84
Total From Investment Operations		6.59			9.24			5.19			(15.70	)		5.84
Distributions To Shareholders From:
Net Investment Income		(0.09	)		(0.05	)		(0.09	)		(0.19	)		(0.02	)
Net Asset Value at End of Period	$	49.82		$	43.32		$	34.13		$	29.03		$	44.92
Total Return**		15.22	%		27.11	%		17.93	%		(35.05	)%		14.93	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	34,873		$	17,329		$	11,945		$	7,257		$	11,229
Ratio To Average Net Assets Of:
Expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%
Net Investment Income		0.03	%		0.14	%		0.21	%		0.44	%		0.00	%
Portfolio Turnover Rate†		33	%		55	%		46	%		63	%		51	%

*	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.
†	Portfolio turnover does not include securities received or delivered from processing creations or redemptions.

See Notes to Financial Statements.

52

NOTES TO FINANCIAL STATEMENTS October 31, 2011

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, 2011, the Trust offers twenty-seven 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 Russell Top 50^® ETF, Rydex S&P 500 Pure Value ETF, Rydex S&P 500 Pure Growth ETF, Rydex S&P MidCap 400 Pure Value ETF, Rydex S&P 400 Pure Growth ETF, Rydex S&P SmallCap 600 Pure Value ETF and Rydex S&P SmallCap 600 Pure Growth ETF. Rydex Russell Top 50^® ETF commenced operations on May 4, 2005. Rydex S&P 500 Pure Value ETF, Rydex S&P 500 Pure Growth ETF, Rydex S&P MidCap 400 Pure Value ETF, Rydex S&P MidCap 400 Pure Growth ETF, Rydex S&P SmallCap 600 Pure Value ETF and Rydex S&P SmallCap 600 Pure Growth ETF commenced operations on March 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”). The Rydex Russell Top 50^® ETF tracks the Russell Top 50^® Index. The Rydex S&P 500 Pure Value ETF tracks the S&P 500 Pure Value Index, the Rydex S&P 500 Pure Growth ETF tracks the S&P 500 Pure Growth Index, the Rydex S&P MidCap 400 Pure Value ETF tracks the S&P MidCap 400 Pure Value Index, the Rydex S&P MidCap 400 Pure Growth ETF tracks the S&P MidCap 400 Pure Growth Index, the Rydex S&P SmallCap 600 Pure Value ETF tracks the S&P SmallCap 600 Pure Value Index and the Rydex S&P SmallCap 600 Pure Growth ETF tracks the S&P SmallCap 600 Pure Growth Index. The Funds seek to achieve their objective by investing in common stocks or ETFs, where applicable, 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 per share (“NAV”), only in aggregation 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 (“U.S. GAAP”) 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 the primary market is the National Association of Securities Dealers Automated Quotations National Market System (“NASDAQ”) are valued at the NASDAQ Official Closing Price.

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 Security Investors, LLC, an affiliated entity, which acts as the Funds’ investment advisor (the “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 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 real estate investment trusts (“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.

ANNUAL REPORT 53

NOTES TO FINANCIAL STATEMENTS (continued)

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 Security Global Investors. 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 a Fund’s net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of Security Global Investors, liquidity or other considerations so warrant. For the year ended October 31, 2011, the Funds had not engaged in repurchase agreement transactions.

D.  Federal Income Taxes

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision has been recorded.

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 — 2011), 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. GAAP. These differences are primarily due to differing treatments for in-kind redemptions, distributions in excess of current year earnings, excise taxes paid, income reclassifications from REITs and losses deferred due to wash sales.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The greatest impact to the disclosure in the financial reports for the Fund will be seen on the treatment of capital loss carryforwards.

Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

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 net capital gains resulting from in-kind redemptions, because they are non-taxable to the Funds, and therefore are not distributed to existing Fund

54

NOTES TO FINANCIAL STATEMENTS (continued)

shareholders, or equalization or net capital losses resulting from in-kind redemptions which are reclassified to paid-in-capital. For the year ended October 31, 2011, the adjustments for the Funds were as follows:

				Undistributed			Accumulated
	Paid-In			Net Investment			Net Realized
	Capital			Income (Loss)			Gain (Loss)
Rydex Russell Top 50® ETF	$	3,030,473		$	—		$	(3,030,473	)
Rydex S&P 500 Pure Value ETF		299,291			(1,360	)		(297,931	)
Rydex S&P 500 Pure Growth ETF		18,256,707			(8,906	)		(18,247,801	)
Rydex S&P MidCap 400 Pure Value ETF		(86,334	)		—			86,334
Rydex S&P MidCap 400 Pure Growth ETF		69,015,490			525			(69,016,015	)
Rydex S&P SmallCap 600 Pure Value ETF		1,826,181			(313	)		(1,825,868	)
Rydex S&P SmallCap 600 Pure Growth ETF		(2,782,732	)		34,915			2,747,817

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended October 31, 2011, the following capital loss carryforward amounts expired or were used to offset current year net realized capital gains:

Rydex Russell Top 50® ETF	$	—
Rydex S&P 500 Pure Value ETF		807,960
Rydex S&P 500 Pure Growth ETF		5,326,860
Rydex S&P MidCap 400 Pure Value ETF		1,332,917
Rydex S&P MidCap 400 Pure Growth ETF		2,005,241
Rydex S&P SmallCap 600 Pure Value ETF		1,580,093
Rydex S&P SmallCap 600 Pure Growth ETF		1,043,259

A summary of the expiration of the capital loss carryforward is as follows:

	2013		2014		2015		2016		2017		2018		2019
Rydex Russell Top 50® ETF	$	88,468	$	675,404	$	618,363	$	32,651,414	$	51,313,952	$	10,584,384	$	3,619,667
Rydex S&P 500 Pure Value ETF		—		—		—		—		8,057,414		—		—
Rydex S&P 500 Pure Growth ETF		—		—		—		—		2,288,071		138,571		—
Rydex S&P MidCap 400 Pure Value ETF		—		—		—		—		2,758,055		—		—
Rydex S&P MidCap 400 Pure Growth ETF		—		—		—		—		—		—		—
Rydex S&P SmallCap 600 Pure Value ETF		—		—		—		2,553,568		9,954,238		8,325,244		—
Rydex S&P SmallCap 600 Pure Growth ETF		—		—		—		—		800,259		46,873		—

The tax character of distributable earnings (accumulated losses) at October 31, 2011 was as follows:

	Undistributed		Undistributed					Unrealized
	Ordinary		Long Term		Capital Loss			Appreciation
	Income		Capital Gain		Carryfoward			(Depreciation)
Rydex Russell Top 50® ETF	$	790,411	$	—	$	(99,551,652	)	$	(25,740,457	)
Rydex S&P 500 Pure Value ETF		81,520		—		(8,057,414	)		(5,666,724	)
Rydex S&P 500 Pure Growth ETF		15,198		—		(2,426,642	)		(8,040,799	)
Rydex S&P MidCap 400 Pure Value ETF		28,336		—		(2,758,055	)		(3,654,369	)
Rydex S&P MidCap 400 Pure Growth ETF		—		—		—			(25,584,603	)
Rydex S&P SmallCap 600 Pure Value ETF		—		—		(20,833,050	)		(10,680,109	)
Rydex S&P SmallCap 600 Pure Growth ETF		—		—		(847,132	)		(4,180,912	)

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. Any undistributed ordinary income or long-term capital gain remaining at fiscal year-end is distributed in the following year.

The tax character of distributions paid during 2011 was as follows:

	Ordinary
	Income
Rydex Russell Top 50® ETF	$	7,603,764
Rydex S&P 500 Pure Value ETF		1,211,677
Rydex S&P 500 Pure Growth ETF		996,112
Rydex S&P MidCap 400 Pure Value ETF		566,319
Rydex S&P MidCap 400 Pure Growth ETF		494,945
Rydex S&P SmallCap 600 Pure Value ETF		444,287
Rydex S&P SmallCap 600 Pure Growth ETF		46,996

ANNUAL REPORT 55

NOTES TO FINANCIAL STATEMENTS (continued)

The tax character of distributions paid during 2010 was as follows:

	Ordinary
	Income
Rydex Russell Top 50® ETF	$	6,973,425
Rydex S&P 500 Pure Value ETF		867,443
Rydex S&P 500 Pure Growth ETF		285,918
Rydex S&P MidCap 400 Pure Value ETF		526,762
Rydex S&P MidCap 400 Pure Growth ETF		89,353
Rydex S&P SmallCap 600 Pure Value ETF		707,768
Rydex S&P SmallCap 600 Pure Growth ETF		25,566

E.  Fair Value Measurement

In accordance with U.S. GAAP, 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. A three-tier hierarchy is utilized 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. The types of assets and liabilities carried at Level 1 fair value generally are government and agency securities, equities listed in active markets and stock index futures.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). The types of assets and liabilities carried at Level 2 fair value generally are domestic equity index swaps and short-term securities with maturities of 60 days or less, including repurchase agreements.

Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

Transfers between investment Levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2011, there were no securities transferred between any Levels.

The following table summarizes the inputs used to value the Funds’ net assets as of October 31, 2011:

	Level 1		Level 2		Level 3
	Investments		Investments		Investments
Fund	in Securities		in Securities		in Securities		Total
Rydex Russell Top 50® ETF	$	453,836,975	$	—	$	—	$	453,836,975
Rydex S&P 500 Pure Value ETF		79,511,538		—		—		79,511,538
Rydex S&P 500 Pure Growth ETF		265,867,413		—		—		265,867,413
Rydex S&P MidCap 400 Pure Value ETF		35,619,205		—		—		35,619,205
Rydex S&P MidCap 400 Pure Growth ETF		653,317,130		—		—		653,317,130
Rydex S&P SmallCap 600 Pure Value ETF		62,172,599		2,795		—		62,175,394
Rydex S&P SmallCap 600 Pure Growth ETF		34,877,923		—		—		34,877,923

For the year ended October 31, 2011, 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. GAAP.

G.  Risks and Uncertainties

The Funds invest 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

56

NOTES TO FINANCIAL STATEMENTS (continued)

changes could materially affect amounts reported in the financial statements. The Rydex 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.

3.   ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES

The Advisor 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 as a percentage of the average daily net assets of the Funds.

	Advisory Fee
Rydex Russell Top 50® ETF		0.20	%
Rydex S&P 500 Pure Value ETF		0.35	%
Rydex S&P 500 Pure Growth ETF		0.35	%
Rydex S&P MidCap 400 Pure Value ETF		0.35	%
Rydex S&P MidCap 400 Pure Growth ETF		0.35	%
Rydex S&P SmallCap 600 Pure Value ETF		0.35	%
Rydex S&P SmallCap 600 Pure Growth ETF		0.35	%

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 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 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, LLC, 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, 2011, 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

ANNUAL REPORT 57

NOTES TO FINANCIAL STATEMENTS (continued)

equate the transaction to the NAV of the Fund on the transaction date. Transaction fees are not charged to or paid by the Funds. The minimum transaction fees are:

	Minimum
	Transaction Fee
Rydex Russell Top 50® ETF	$	500
Rydex S&P 500 Pure Value ETF		1,000
Rydex S&P 500 Pure Growth ETF		1,000
Rydex S&P MidCap 400 Pure Value ETF		750
Rydex S&P MidCap 400 Pure Growth ETF		750
Rydex S&P SmallCap 600 Pure Value ETF		1,000
Rydex S&P SmallCap 600 Pure Growth ETF		1,000

5.   INVESTMENT TRANSACTIONS

For the year ended October 31, 2011, the Funds had investment transactions in-kind associated with subscriptions and redemptions as follows:

	Subscriptions		Redemptions
Rydex Russell Top 50® ETF	$	145,688,904	$	33,736,738
Rydex S&P 500 Pure Value ETF		60,688,325		35,946,682
Rydex S&P 500 Pure Growth ETF		252,908,380		134,967,300
Rydex S&P MidCap 400 Pure Value ETF		10,606,700		16,844,730
Rydex S&P MidCap 400 Pure Growth ETF		684,982,027		342,684,028
Rydex S&P SmallCap 600 Pure Value ETF		14,034,153		43,449,302
Rydex S&P SmallCap 600 Pure Growth ETF		103,853,870		78,252,468

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 Russell Top 50® ETF	$	21,436,240	$	21,338,452
Rydex S&P 500 Pure Value ETF		25,526,491		20,677,804
Rydex S&P 500 Pure Growth ETF		53,887,874		78,514,805
Rydex S&P MidCap 400 Pure Value ETF		23,463,837		23,202,552
Rydex S&P MidCap 400 Pure Growth ETF		301,509,361		255,785,238
Rydex S&P SmallCap 600 Pure Value ETF		63,609,448		65,075,786
Rydex S&P SmallCap 600 Pure Growth ETF		14,838,624		12,749,679

There were no purchases or sales of U.S. government or government agency obligations for the year ended October 31, 2011.

At October 31, 2011, 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 Russell Top 50® ETF	$	479,577,432	$	39,168,066	$	(64,908,523	)	$	(25,740,457	)
Rydex S&P 500 Pure Value ETF		85,178,262		3,908,778		(9,575,502	)		(5,666,724	)
Rydex S&P 500 Pure Growth ETF		273,908,212		16,041,765		(24,082,564	)		(8,040,799	)
Rydex S&P MidCap 400 Pure Value ETF		39,273,574		1,865,514		(5,519,883	)		(3,654,369	)
Rydex S&P MidCap 400 Pure Growth ETF		678,901,733		33,967,456		(59,552,059	)		(25,584,603	)
Rydex S&P SmallCap 600 Pure Value ETF		72,855,503		4,232,156		(14,912,265	)		(10,680,109	)
Rydex S&P SmallCap 600 Pure Growth ETF		39,058,835		1,206,069		(5,386,981	)		(4,180,912	)

58

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 Russell Top 50^® ETF, Rydex S&P 500 Pure Value ETF, Rydex S&P 500 Pure Growth ETF, Rydex S&P MidCap 400 Pure Value ETF, Rydex S&P MidCap 400 Pure Growth ETF, Rydex S&P SmallCap 600 Pure Value ETF, and Rydex S&P SmallCap 600 Pure Growth ETF (seven of the series constituting the Rydex ETF Trust) (the “Funds”) as of October 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011, 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 the above listed Funds at October 31, 2011, 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 five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

McLean, Virginia

December 23, 2011

ANNUAL REPORT 59

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, 2011:

	Dividend			Long Term		Qualified
	Received			Capital Gains		Income
	Deduction			Distribution		Distribution
Rydex Russell Top 50® ETF		100.00	%	$	—	$	8,487,565
Rydex S&P 500 Pure Value ETF		100.00	%		—		1,574,935
Rydex S&P 500 Pure Growth ETF		100.00	%		—		1,707,893
Rydex S&P MidCap 400 Pure Value ETF		100.00	%		—		724,701
Rydex S&P MidCap 400 Pure Growth ETF		11.81	%		—		2,098,381
Rydex S&P SmallCap 600 Pure Value ETF		100.00	%		—		695,746
Rydex S&P SmallCap 600 Pure Growth ETF		100.00	%		—		141,039

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, 2011 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.

Office Locations

The offices of Security Global Investors, LLC can be found in the following locations:

40 East 52nd Street

16th Floor

New York, NY 10022

(Headquarters)

Four Irvington Centre

805 King Farm Boulevard

Suite 600

Rockville, MD 20850

9401 Indian Creek Parkway

40 Corporate Woods

Suite 850

Overland Park, KS 66210

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Funds’ investment adviser (the “Investment Adviser”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals.

60

SUPPLEMENTAL INFORMATION (Unaudited) (continued)

The Transaction should not result in material changes to the day-to-day management and operations of the Funds or any increase in fees. The parties expect the Transaction to be completed in late 2011 or early 2012. However, it is subject to various conditions, and could be delayed or even terminated due to unforeseen circumstances.

In anticipation of the Transaction, the Boards of Trustees of the Funds (the “Boards”) have called special meetings of shareholders (the “Meetings”), at which shareholders of record of each of the Funds as of October 3, 2011 (October 13, 2011 with respect to the Funds that are series of Rydex ETF Trust) will be asked to consider the approval of new investment advisory agreements between the Funds and the Investment Adviser (the “New Advisory Agreements”). This is necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could result in the termination of the Funds’ current investment advisory agreements with the Investment Adviser (the “Current Agreements”). The terms of the New Agreements are substantially identical to the corresponding Current Agreements, except with respect to the date of execution.

Board Considerations in Approving the Investment Advisory Agreement

At an in-person meeting of the Rydex ETF Trust’s Board of Trustees held August 16-17, 2011, called for the purpose of, among other things, voting on the approval of investment advisory agreement applicable to the series of the Trust (collectively, the “Funds”), the Trust’s Board of Trustees, including the independent Trustees, unanimously approved the investment advisory agreement between the Trust and Security Investors, LLC (referred to herein as the “Adviser”).

At the meeting of August 16-17, 2011, the Trust’s Board of Trustees also considered a new investment advisory agreement that was required as a result of a proposed change in the corporate ownership structure of the Adviser (the “Transaction”). The Investment Company Act of 1940 (the “1940 Act”), the law that regulates mutual funds, including the Funds, requires that a fund’s investment advisory agreement terminate whenever there is deemed to be a “change in control” of the investment adviser. The change in the corporate ownership structure of the Adviser could potentially be deemed to constitute a “change in control” (as this term is used for regulatory purposes) of the Adviser. Before an investment advisory agreement terminates, a new investment advisory agreement must be in effect in order for the investment adviser to continue to manage the fund’s investments. For that reason, the Board of Trustees was asked to approve a new investment advisory agreement for the Funds.

At the meeting of August 16-17, 2011, the Board considered the new investment advisory agreement, pursuant to which, subject to approval by each Fund’s shareholders, the Adviser would continue to serve each Fund as investment adviser after the completion of the Transaction. At a special meeting of the Board held on September 14, 2011, the Board considered further information about the Transaction and voted in favor of the new investment advisory agreement.

In reaching the conclusion to approve the investment advisory agreement, the Trustees requested and obtained from the Adviser such information as the Trustees deemed reasonably necessary to evaluate the proposed agreement. The Trustees carefully evaluated this information and were advised by legal counsel with respect to their deliberations.

Prior to the Board meetings in August and September 2011, representatives of Guggenheim Capital informed the Board of the Transaction. With respect to the Transaction, the Board reviewed materials received from Guggenheim Capital, including information relating to the terms of the Transaction. The Board also reviewed information regarding Guggenheim Capital, including, but not limited to: (a) certain representations concerning Guggenheim Capital’s financial condition, (b) information regarding the new proposed ownership structure and its possible effect on shareholders, (c) information regarding the consideration to be paid by Guggenheim Capital, and (d) potential conflicts of interest.

In considering the new investment advisory agreement, the Board determined that the agreement would enable shareholders of the Funds to continue to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of their shareholders. The Board, including the independent Trustees, unanimously approved the new agreement. In reaching their decision, the Trustees carefully considered information that they had received throughout the year as part of their regular oversight of the Funds, including, in particular, information from the Adviser that the Board had received relating to the current investment advisory agreement at the Board meeting of August 16-17, 2011. The Trustees noted that, at the meeting, they had obtained and reviewed a wide variety of information, including certain comparative information regarding performance of the Funds relative to performance of other comparable mutual funds. They also considered the evolution of the Rydex|SGI family of funds and the Adviser since the change in control of the Investment Adviser in 2010 and Guggenheim Capital’s commitment to the success of the Adviser and the Funds.

In addition, as a part of their required consideration of the renewal of the current investment advisory agreement at the meeting of August 16-17, 2011, the Trustees, including the independent Trustees, had evaluated a number of considerations, including among

ANNUAL REPORT 61

SUPPLEMENTAL INFORMATION (Unaudited) (continued)

others: (a) the quality of the Advisers’ investment advisory and other services; (b) the Advisers’ investment management personnel; (c) the Advisers’ operations and financial condition; (d) the Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the fees that the Advisers charge compared with the fees charged to comparable mutual funds or accounts; (f) each Fund’s overall fees and operating expenses compared with similar mutual funds; (g) the level of the Advisers’ profitability from its Fund-related operations; (h) the Advisers’ compliance systems; (i) the Advisers’ policies on and compliance procedures for personal securities transactions; (j) the Advisers’ reputation, expertise and resources in the financial markets; and (k) Fund performance compared with similar mutual funds. Based on the Board’s deliberations at the meetings of August 16-17, 2011 and September 14, 2011, and its evaluation of the information regarding the Transaction and the fact that the Transaction is not expected to change the level and quality of services rendered by the Adviser to any of the Funds, the Board, including all of the independent Trustees, unanimously: (a) concluded that terms of the current and new investment advisory agreement are fair and reasonable; (b) concluded that the Adviser’s fees were reasonable in light of the services that they provide to the Funds; and (c) agreed to approve the current investment advisory agreement and, subject to shareholder approval, the new investment advisory agreement, based upon the following considerations, among others:

•  Nature, Extent and Quality of Services Provided by the Adviser. At the meeting of August 16-17, 2011, the Board reviewed the scope of services to be provided by the Adviser under the current investment advisory agreement and, at the meetings of August 16-17, 2011 and September 14, 2011, noted that there would be no significant differences between the scope of services required to be provided by the Adviser under the current investment advisory agreement and the scope of services required to be provided by the Adviser under the new investment advisory agreement. The Board noted that the key investment and management personnel of the Adviser servicing the Funds are expected to remain the same following the Transaction. The Trustees also considered Guggenheim Capital’s representations to the Board that the Adviser would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and that these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs.

•  Fund Expenses and Performance of the Funds and the Adviser. At the meeting of August 16-17, 2011, the Board had reviewed statistical information prepared by the Adviser regarding the expense ratio components and performance of each Fund. Based on the representations made by Guggenheim Capital at the meeting that the Adviser would continue to operate following the closing of the Transaction in much the same manner as it currently operates, the Board concluded that the investment performance of the Adviser was not expected to be affected by the Transaction.

•  Costs of Services Provided to the Funds and Profits Realized by the Adviser and its Affiliates. At the meeting of August 16-17, 2011, the Board had reviewed information about the profitability of the Funds to the Adviser based on the advisory fees payable under the current investment advisory agreement. At that meeting, the Board had also analyzed the Funds’ expenses, including the investment advisory fees paid to the Adviser. At the Board meeting, the Board considered the fact that the fee rates payable to the Adviser would be the same under each Fund’s new investment advisory agreement as they are under such Fund’s current agreement. With respect to anticipated profitability, the Board noted that it was too early to predict how the Transaction would affect the Adviser’s profitability with respect to the Funds, but noted that this matter would be given further consideration on an ongoing basis.

•  Economies of Scale. In connection with its review of the Funds’ profitability analysis at the meeting of August 16-17, 2011, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds’ asset levels. The Trustees noted that the fees would not change under the new investment advisory agreement, and that no additional economies of scale would be directly realized as a result of the Transaction. They also noted that they will have the opportunity to again review the appropriateness of the fees payable to the Adviser under the new agreement when the renewal of the new agreement comes before the Board.

•  Other Benefits to the Adviser and/or its Affiliates. In addition to evaluating the services provided by the Adviser, the Board had considered the nature, extent, quality and cost of the distribution services performed by the Funds’ Distributor under a separate agreement at the meeting of August 16-17, 2011. The Board reviewed information regarding potential economies of scale arising from the integration of the asset management businesses of Guggenheim Capital. The Board also considered the terms of the Transaction and the changes to the corporate ownership structure of the Adviser, noting that the Adviser would no longer be a subsidiary of Security Benefit Corporation. In this regard, the Board noted that, under the corporate structure after the Transaction, the Adviser would be more closely controlled by Guggenheim Capital, which could

62

SUPPLEMENTAL INFORMATION (Unaudited) (concluded)

benefit Guggenheim Capital. The Board also noted that the costs associated with the Transaction would be borne by Guggenheim Capital (or its affiliates) and not the Funds.

On the basis of the information provided to it and its evaluation of that information, the Board, including the independent Trustees, concluded that the terms of the investment advisory and investment sub-advisory agreements for the Funds were reasonable, and that approval of the current and new investment advisory agreement was in the best interests of the Funds.

ANNUAL REPORT 63

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other Trusts of SGI, 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 800.820.0888.

All Trustees and Officers may be reached c/o Security Global Investors, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

INDEPENDENT TRUSTEES

	Length of Service
Name, Position and	As Trustee	Number of
Year of Birth	(Year Began)	Funds Overseen
Corey A. Colehour Trustee (1945)	Rydex Series Funds – 1993 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Audit and Governance and Nominating Committees (1995 to present)
J. Kenneth Dalton Trustee (1941)	Rydex Series Funds – 1995 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
John O. Demaret Trustee, Chairman of the Board (1940)	Rydex Series Funds – 1997 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
Werner E. Keller Trustee, Vice Chairman of the Board (1940)	Rydex Series Funds – 2005 Rydex Variable Trust – 2005 Rydex Dynamic Funds – 2005 Rydex ETF Trust – 2005		150
Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)
Thomas F. Lydon, Jr. Trustee (1960)	Rydex Series Funds – 2005 Rydex Variable Trust – 2005 Rydex Dynamic Funds – 2005 Rydex ETF Trust – 2005		150
Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)
Patrick T. McCarville Trustee (1942)	Rydex Series Funds – 1997 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present);Member of the Audit Committee (1997 to present)
Roger Somers Trustee (1944)	Rydex Series Funds – 1993 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (1995 to present)

64

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)

EXECUTIVE OFFICERS

Name, Position and
Year of Birth	Principal Occupations During Past Five Years
Richard M. Goldman* President (1961)	Current: Senior Vice President, Security Benefit Corporation; CEO, Security Benefit Asset Management Holdings, LLC; CEO, President and Manager Representative, Security Investors, LLC; CEO and Manager, Rydex Holdings, LLC; CEO, President and Manager, Rydex Distributors, LLC; Manager, Rydex Fund Services, LLC; President and Trustee, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds and Rydex Variable Trust
	Previous: Director, First Security Benefit Life Insurance Company (2007-2010); President and Director, Security Global Investors (2010-2011); CEO and Director, Rydex Advisors, LLC and Rydex Advisor II, LLC (2010); Director, Security Distributors, Inc. (2007-2009); Managing Member, R M Goldman Partners, LLC (2006-2007)
Michael P. Byrum* Vice President (1970)	Current: President, Security Benefit Asset Management Holdings, LLC; Senior Vice President, Security Investors, LLC; President and Chief Investment Officer, Rydex Holdings, LLC; Director and Chairman of the Board, Advisor Research Center, Inc.; Manager, Rydex Specialized Products, LLC
	Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009-2010), Secretary (2002-2010), Executive Vice President (2002-2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010); Secretary (2002-2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Capital Partners, LLC, (President and Secretary 2003-2007); Rydex Capital Partners II, LLC, (2003-2007); Rydex Holdings, LLC (f/k/a Rydex Holdings, Inc.), Secretary 2005-2008), Executive Vice President (2005-2006); Advisor Research Center, Inc., Secretary (2006-2009), Executive Vice President (2006); Rydex Specialized Products, LLC, Secretary (2005-2008)
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Benefit Asset Management Holdings, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006-2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) and Senior Vice President (2003-2006); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)

ANNUAL REPORT 65

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

EXECUTIVE OFFICERS (concluded)

Name, Position and
Year of Birth	Principal Occupations During Past Five Years
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966)	Current: Chief Compliance Officer and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; Senior Vice President and Chief Compliance Officer, Security Investors, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC and Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Keith A. Fletcher* Vice President (1958)	Current: Senior Vice President, Security Investors, LLC; Vice President, Rydex Holdings, LLC; Vice President, Rydex Specialized Products, LLC; Vice President, Rydex Distributors, LLC; Vice President, Rydex Fund Services, LLC; Vice President and Director, Advisor Research Center, Inc.; Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)
Amy J. Lee* Vice President and Assistant Secretary (1961)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap l Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)

*  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 Security Global Investors.

Rydex Funds, Rydex|SGI Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Global Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Rydex”)

Our Commitment to You

When you become a Rydex|SGI investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone — whether it is your personal information or if you are a current or former Rydex|SGI client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Rydex|SGI account application or when you request a transaction that involves Rydex and Rydex|SGI funds or one of the Rydex|SGI affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Rydex|SGI. For example, if you ask to transfer assets from another financial institution to Rydex|SGI, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Rydex|SGI investment products and services, we may share your information within the Rydex|SGI family of affiliated companies. This would include, for example, sharing your information within Rydex|SGI so we can make you aware of new Rydex and Rydex|SGI funds or the services offered through another Rydex|SGI affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.

Opt Out Provisions

We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Rydex|SGI web site offers customized features that require our use of “http cookies” — tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies.

We only use cookies for session management and security features on the Rydex|SGI web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

805 KING FARM BLVD

SUITE 600

ROCKVILLE, MD 20850

800.820.0888

www.rydex-sgi.com

ETF2-ANN-1011X1012

October 31, 2011

RYDEX ETF TRUST ANNUAL REPORT

RYDEX 2x S&P 500 ETF

RYDEX INVERSE 2x S&P 500 ETF

ANNUAL REPORT 1

 TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS	4
FEES AND EXPENSES	5
PREMIUM AND DISCOUNT INFORMATION	6
MANAGER’S ANALYSIS	8
PORTFOLIO SUMMARY	9
SCHEDULES OF INVESTMENTS	11
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	30
SUPPLEMENTAL INFORMATION	31
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	34
RYDEX|SGI PRIVACY POLICIES	37

2

LETTER TO OUR SHAREHOLDERS

To Our Shareholders:

The U.S. and European debt crises weighed down equity markets in the fall of 2011, but not enough to offset strong performance in the first half of the period that was spurred by the Fed’s quantitative easing (QE) program and a belief that the economic recovery was gaining traction. The broad market S&P 500 Index returned 8.09% over the 12 months ended October 31, 2011.

To achieve that performance, investors had to shrug off natural disasters, Mid East uprisings, volatile oil prices and sovereign debt issues. QEII ended in June, then Congress wrangled over the debt ceiling, and that led to the U.S. losing its triple-A debt rating in August.

As with many countries, the central bank of the U.S. was a major factor in the markets for most of the past year. Late in the third quarter, the Fed chairman said the “recovery is close to faltering,” and there was a risk of another recession unless the government took steps to increase growth. Recessionary fears plagued U.S. markets throughout the past 12 months, driven by weak housing demand despite record-low mortgage rates, consumer confidence that has ebbed for several months and job creation insufficient to keep up with population growth.

Recession was also a threat in Europe, as high unemployment and austerity measures weigh on weaker members of the euro zone, with a knock-on effect for the continent’s growth engines of Germany and France. A rising number of investors are bracing for an orderly default of Greece that may prevent financial problems from spreading to other weak countries or to banks, and stabilize the euro. Even though they were not at the eye of the sovereign debt storm, many emerging market economies also began weakening over the summer, fearing global recession and financial contagion. Investors are especially concerned about the stability of China’s banking system and whether inflation will ebb along with slowing growth.

While the market forces play out, many investors have been driven to the sidelines or to safe havens, including gold, which reached a high of near $1,900 an ounce in August, and the dollar. Further upward moves in the dollar are expected if the world economy continues to sputter. Sluggish economic data, concern over European financial weakness and the Fed’s policy efforts also drove investors into U.S. government debt over the course of 2011, driving up the price of debt maturing in 10 years or more, leading to historic low yields.

As we prepare for 2012, markets continue to be affected by consumer confidence, which remains low, and the unemployment rate, which remains high. Helping matters is lower inflation expectations, good retail sales, sound corporate balance sheets and manufacturing gauges that are improving, albeit slightly. The Fed remains accommodative and the Treasury yield curve is steep. A rebound in GDP to around 2% in the third quarter, fuel prices lower than in the spring and a stronger automotive sector may be enough to keep the U.S. recovery on course, even if modest, and counterbalance difficulties in Europe and Asia.

We are proud of the growth of ETF assets at Rydex|SGI, from $3.6 billion to $5.2 billion (about 44%) over the 12 months ended October 31, 2011, despite troubled markets. According to the Investment Company Institute (ICI), assets in ETFs in the U.S. were more than $1 trillion¹ in October, up about 14% from the year earlier. There are now more than 1,000 ETFs in the U.S., 8 of them launched by Rydex|SGI in the past 12 months.

In September, Guggenheim Partners announced it is expanding its investment management capabilities under a single brand called Guggenheim Investments. This marks an alignment of several complementary acquisitions, including Rydex|SGI, into Guggenheim’s existing investment management business. Upon the change of ownership of Rydex|SGI, expected to be complete in Q1 2012, Guggenheim Investments will have total assets exceeding $115 billion,^* with nearly 150 investment professionals. Guggenheim Investments will offer clients investment competencies across all major asset classes, including fixed income, equities and alternatives. In addition, with the integration of Rydex|SGI, Guggenheim Investments is projected to be included in the top ten of largest ETF providers globally^**.

  ¹  ICI Exchange Traded Fund Assets, October 2011

 *  Asset figure is based upon the best available information as of 9/30/2011 and consists of assets under management and serviced assets of the various asset managers comprising Guggenheim Investments.

 ** Figures are comprised of Guggenheim Funds Investment Advisors, LLC, Claymore Investment, Inc. and Security Investors, LLC. ETF ranking based on BlackRock Global ETF report as of 9/30/2011 and Guggenheim analysis. Performance displayed represents past performance which is no guarantee of future results. Of course, 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 us at 800.820.0888 or visit www.rydex-sgi.com.

ANNUAL REPORT 3

LETTER TO OUR SHAREHOLDERS (concluded)

We look forward to continuing our service to you. Thank you for investing in our funds.

Sincerely,

Michael Byrum

The opinions and forecasts expressed are those of Michael Byrum as of 10/31/2011, and may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.

S&P 500^® Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).

Read each fund’s prospectus and summary prospectus (if available) carefully before investing. It contains the fund’s investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at www.rydex-sgi.com or call 800.820.0888

Rydex|SGI funds are distributed by Rydex Distributors, LLC (RDL). Security Investors, LLC (SI) is a registered investment advisor, and does business as Security Global Investors^® and Rydex Investments. SI and RDL are affiliates and are subsidiaries of Security Benefit Corporation, which is wholly owned by Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate of Guggenheim Partners, LLC, a diversified financial services firm with more than $100 billion in assets under supervision.

4

A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)

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, 2011 and held for the six months ended October 31, 2011.

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*
Actual	Ratio			04/30/11		10/31/11		04/30/11 to 10/31/11
Rydex 2x S&P 500 ETF		0.71	%	$	1,000.00	$	825.40	$	3.27
Rydex Inverse 2x S&P 500 ETF		0.71	%	$	1,000.00	$	1,028.80	$	3.63
Hypothetical (assuming a 5% return before expenses)
Rydex 2x S&P 500 ETF		0.71	%	$	1,000.00	$	1,021.63	$	3.62
Rydex Inverse 2x S&P 500 ETF		0.71	%	$	1,000.00	$	1,021.63	$	3.62

* 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 Net Asset Value per share (“NAV”). The 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, 2011.

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.

PREMIUM/DISCOUNT TABLE

	Number of Days
	Rydex 2x		Rydex Inverse 2x
Premium/Discount Range	S&P 500 ETF		S&P 500 ETF
Greater than 30%		0		0
Between 10.01% and 30%		0		0
Between 8.01% and 10%		0		0
Between 3.01% and 8%		7		2
Between 1.01% and 3%		17		12
Between .51% and 1%		41		36
Between .26% and .5%		45		43
Between 0% and .25%		369		624
Between -0.01% and -0.25%		687		491
Between -0.26% and -0.5%		74		40
Between -0.51% and -1%		30		20
Between -1.01% and -3%		17		16
Between -3.01% and -8%		1		4
Between -8.01% and -10%		0		0
Between -10.01% and -30%		0		0
Less Than -30%		0		0
Total		1,288		1,288

ANNUAL REPORT 7

PREMIUM AND DISCOUNT INFORMATION (Unaudited) (concluded)

	Percentage of Total Days
	Rydex 2x			Rydex Inverse 2x
Premium/Discount Range	S&P 500 ETF			S&P 500 ETF
Greater than 30%		0.00	%		0.00	%
Between 10.01% and 30%		0.00	%		0.00	%
Between 8.01% and 10%		0.00	%		0.00	%
Between 3.01% and 8%		0.54	%		0.15	%
Between 1.01% and 3%		1.32	%		0.93	%
Between .51% and 1%		3.18	%		2.80	%
Between .26% and .5%		3.49	%		3.34	%
Between 0% and .25%		28.65	%		48.45	%
Between -0.01% and -0.25%		53.34	%		38.12	%
Between -0.26% and -0.5%		5.75	%		3.11	%
Between -0.51% and -1%		2.33	%		1.55	%
Between -1.01% and -3%		1.32	%		1.24	%
Between -3.01% and -8%		0.08	%		0.31	%
Between -8.01% and -10%		0.00	%		0.00	%
Between -10.01% and -30%		0.00	%		0.00	%
Less Than -30%		0.00	%		0.00	%
Total		100.00	%		100.00	%

8

RYDEX 2x S&P 500 ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex 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 Total Return Index*. Rydex 2x S&P 500 ETF returned 10.36%, while the S&P 500 Total Return Index had performance of 8.09% over the same time period. The biggest performance contributors to the index during the period were the Energy and Information Technology sectors. Financials was the sector detracting the most from performance.

The broad U.S. stock market, as represented by the S&P 500 Index, had solid if uneven performance over the year ended October 31, 2011. After a strong first six months of the period, the index slipped in the second and third quarters of 2011, and then finished its fiscal year with its best monthly gain in 20 years. The U.S. Federal Reserve has been a major factor in the markets over the past 12 months, remaining accommodative through quantitative easing programs and vowing to keep interest rates near zero for the next two years. Retail sales are growing smartly, fuel prices remain relatively low and attractive mortgage rates are permitting modest refinancing activity. Although job creation remains slow, the U.S. economy appears to be gaining momentum, expanding at an annual rate of 2.0% in the third quarter, which is helping to keep the recovery on course and counterbalancing difficulties in Europe and Asia.

In order to gain leveraged exposure in the S&P 500 Index, the Rydex 2x S&P 500 ETF employs as its investment strategy a program of engaging in investing in leveraged derivative instruments, such as equity index swaps and futures contracts on stock indices. 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.

*The S&P 500 Total Return Index is a capitalization-weighted index composed of 500 common stocks, which are chosen by the Standard & Poor’s Corporation (“S&P”) on a statistical basis.

Cumulative Fund Performance: November 5, 2007 – October 31, 2011

	Rydex 2x		S&P 500
	S&P 500		Total Return
	ETF		Index
11/5/2007		10000		10000
11/30/2007		9685		9879
12/31/2007		9484		9811
1/31/2008		8286		9222
2/29/2008		7716		8923
3/31/2008		7600		8884
4/30/2008		8315		9317
5/31/2008		8494		9438
6/30/2008		7081		8642
7/31/2008		6914		8569
8/31/2008		7076		8693
9/30/2008		5764		7919
10/31/2008		3732		6589
11/30/2008		3086		6116
12/31/2008		3070		6181
1/31/2009		2537		5660
2/28/2009		2002		5057
3/31/2009		2307		5500
4/30/2009		2755		6027
5/31/2009		3059		6364
6/30/2009		3047		6377
7/31/2009		3507		6859
8/31/2009		3757		7107
9/30/2009		4030		7372
10/31/2009		3863		7235
11/30/2009		4330		7669
12/31/2009		4490		7817
1/31/2010		4159		7536
2/28/2010		4409		7769
3/31/2010		4950		8238
4/30/2010		5094		8368
5/31/2010		4275		7700
6/30/2010		3814		7297
7/31/2010		4349		7808
8/31/2010		3953		7455
9/30/2010		4673		8121
10/31/2010		5027		8430
11/30/2010		5013		8431
12/31/2010		5700		8994
1/31/2011		5961		9208
2/28/2011		6367		9523
3/31/2011		6350		9527
4/30/2011		6721		9809
5/31/2011		6559		9698
6/30/2011		6320		9536
7/31/2011		6047		9342
8/31/2011		5298		8835
9/30/2011		4548		8214
10/31/2011		5547		9111

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

			Since Inception
	One Year	Three Year	(11/05/2007)
Rydex 2x S&P 500 ETF	10.36%	14.13%	-13.73%
S&P 500 Total Return Index	8.09%	11.41%	-2.31%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 9

RYDEX 2x S&P 500 ETF

PORTFOLIO SUMMARY (Unaudited) As of October 31, 2011

Top 10 Holdings*

Description	% of Net Assets
EXXON MOBIL CORP.		2.72	%
APPLE, INC.		2.68	%
INTERNATIONAL BUSINESS MACHINES CORP.		1.58	%
CHEVRON CORP.		1.51	%
MICROSOFT CORP.		1.42	%
GENERAL ELECTRIC CO.		1.27	%
JOHNSON & JOHNSON, INC.		1.26	%
PROCTER & GAMBLE CO.(THE)		1.26	%
AT&T, INC.		1.24	%
COCA-COLA CO.(THE)		1.12	%

Sector Allocations*

*  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 INVERSE 2x S&P 500 ETF

MANAGER’S ANALYSIS (Unaudited)

For the one-year period ended October 31, 2011, Rydex 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 Total Return Index*. Rydex Inverse 2x S&P 500 ETF delivered a total return of -25.94% compared with the S&P 500, which returned 8.09%. The biggest performance contributors to the index during the period were the Energy and Information Technology sectors. Financials was the sector detracting the most from performance.

The broad U.S. stock market, as represented by the S&P 500 Index, had solid if uneven performance over the year ended October 31, 2011. After a strong first six months of the period, the index slipped in the second and third quarters of 2011, and then finished its fiscal year with its best monthly gain in 20 years. The U.S. Federal Reserve has been a major factor in the markets over the past 12 months, remaining accommodative through quantitative easing programs and vowing to keep interest rates near zero for the next two years. Retail sales are growing smartly, fuel prices remain relatively low and attractive mortgage rates are permitting modest refinancing activity. Although job creation remains slow, the U.S. economy appears to be gaining momentum, expanding at an annual rate of 2.0% in the third quarter, which is helping to keep the recovery on course and counterbalancing difficulties in Europe and Asia.

In order to gain leveraged exposure in the S&P 500 Index, the Rydex Inverse 2x S&P 500 ETF employs as its investment strategy a program of engaging in investing in leveraged derivative instruments, such as equity index swaps and futures contracts on stock indices. 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.

*The S&P 500 Total Return Index is a capitalization-weighted index composed of 500 common stocks, which are chosen by the Standard & Poor’s Corporation (“S&P”) on a statistical basis.

Cumulative Fund Performance: November 5, 2007 – October 31, 2011

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2011

			Since Inception
	One Year	Three Year	(11/05/2007)
Rydex Inverse 2x S&P 500 ETF	-25.94%	-33.97%	-15.40%
S&P 500 Total Return Index	8.09%	11.41%	-2.31%

The returns presented above do not reflect the effect of taxes. Index returns represent total returns. 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.

ANNUAL REPORT 11

RYDEX 2x S&P 500 ETF

SCHEDULE OF INVESTMENTS October 31, 2011

			Market
	Shares		Value
COMMON STOCKS 81.7%
Aerospace & Defense 2.1%
Boeing Co.(The)		4,210		$276,976
General Dynamics Corp.		2,055		131,910
Goodrich Corp.		710		87,067
Honeywell International, Inc.		4,445		232,918
L-3 Communications Holdings, Inc.		599		40,600
Lockheed Martin Corp.		1,564		118,708
Northrop Grumman Corp.		1,580		91,245
Precision Castparts Corp.		818		133,457
Raytheon Co.		2,009		88,778
Rockwell Collins, Inc.		873		48,739
Textron, Inc.		1,576		30,606
United Technologies Corp.		5,163		402,611
Total Aerospace & Defense				1,683,615
Air Freight & Logistics 0.8%
C.H. Robinson Worldwide, Inc.		937		65,056
Expeditors International of Washington, Inc.		1,205		54,948
FedEx Corp.		1,801		147,376
United Parcel Service, Inc. — Class B		5,572		391,377
Total Air Freight & Logistics				658,757
Airlines 0.0%(a)
Southwest Airlines Co.		4,568		39,056
Total Airlines				39,056
Auto Components 0.2%
Goodyear Tire & Rubber Co.(The)*		1,388		19,932
Johnson Controls, Inc.		3,862		127,175
Total Auto Components				147,107
Automobiles 0.4%
Ford Motor Co.*		21,589		252,159
Harley-Davidson, Inc.		1,343		52,243
Total Automobiles				304,402
Beverages 2.1%
Beam, Inc.		878		43,400
Brown-Forman Corp. — Class B		573		42,820
Coca-Cola Co.(The)		13,045		891,234
Coca-Cola Enterprises, Inc.		1,812		48,598
Constellation Brands, Inc. — Class A*		1,048		21,191
Dr Pepper Snapple Group, Inc.		1,233		46,176
Molson Coors Brewing Co. — Class B		926		39,207
PepsiCo, Inc.		8,991		565,983
Total Beverages				1,698,609
Biotechnology 1.0%
Amgen, Inc.		5,250		300,667
Biogen Idec, Inc.*		1,378		160,344
Celgene Corp.*		2,607		169,012
Gilead Sciences, Inc.*		4,383		182,596
Total Biotechnology				812,619
Building Products 0.0%(a)
Masco Corp.		2,033		19,517
Total Building Products				19,517
Capital Markets 1.6%
Ameriprise Financial, Inc.		1,341		62,598
Bank of New York Mellon Corp.(The)		7,003		149,024
BlackRock, Inc.		570		89,940
Charles Schwab Corp.(The)		6,124		75,203
E*Trade Financial Corp.*		1,442		15,646
Federated Investors, Inc. — Class B		527		10,297
Franklin Resources, Inc.		827		88,183
Goldman Sachs Group, Inc.(The)		2,874		314,847
Invesco Ltd.		2,562		51,419
Janus Capital Group, Inc.		1,060		6,954
Legg Mason, Inc.		745		20,487
Morgan Stanley		8,434		148,776
Northern Trust Corp.		1,369		55,403
State Street Corp.		2,864		115,677
T. Rowe Price Group, Inc.		1,457		76,988
Total Capital Markets				1,281,442
Chemicals 1.8%
Air Products & Chemicals, Inc.		1,211		104,316
Airgas, Inc.		387		26,684
CF Industries Holdings, Inc.		408		66,206
Dow Chemical Co.(The)		6,711		187,103
Du Pont (E.I.) de Nemours & Co.		5,298		254,675
Eastman Chemical Co.		798		31,353
Ecolab, Inc.		1,318		70,961
FMC Corp.		407		32,108
International Flavors & Fragrances, Inc.		459		27,797
Monsanto Co.		3,038		221,014
Mosaic Co.(The)		1,573		92,115
PPG Industries, Inc.		895		77,337
Praxair, Inc.		1,717		174,567
Sherwin-Williams Co.(The)		501		41,438
Sigma-Aldrich Corp.		694		45,443
Total Chemicals				1,453,117
Commercial Banks 2.1%
BB&T Corp.		3,960		92,426
Comerica, Inc.		1,142		29,178
Fifth Third Bancorp		5,226		62,764
First Horizon National Corp.		1,498		10,471
Huntington Bancshares, Inc.		4,905		25,408
KeyCorp		5,414		38,223
M&T Bank Corp.		714		54,343
PNC Financial Services Group, Inc.		2,990		160,593
Regions Financial Corp.		7,152		28,107
SunTrust Banks, Inc.		3,050		60,177
US Bancorp		10,914		279,289
Wells Fargo & Co.		29,997		777,222
Zions Bancorp		1,047		18,176
Total Commercial Banks				1,636,377
Commercial Services & Supplies 0.4%
Avery Dennison Corp.		602		16,013
Cintas Corp.		634		18,950
Iron Mountain, Inc.		1,154		35,693
Pitney Bowes, Inc.		1,148		23,396
R.R. Donnelley & Sons Co.		1,067		17,392
Republic Services, Inc.		1,818		51,741
Stericycle, Inc.*		489		40,871
Waste Management, Inc.		2,682		88,318
Total Commercial Services & Supplies				292,374
Communications Equipment 1.7%
Cisco Systems, Inc.		31,249		579,044
F5 Networks, Inc.*		459		47,713
Harris Corp.		683		25,783
JDS Uniphase Corp.*		1,296		15,552
Juniper Networks, Inc.*		3,028		74,095
Motorola Mobility Holdings, Inc.*		1,486		57,776
Motorola Solutions, Inc.		1,716		80,498

See Notes to Financial Statements.

12

RYDEX 2x S&P 500 ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
QUALCOMM, Inc.		9,543		$492,419
Tellabs, Inc.		2,073		8,976
Total Communications Equipment				1,381,856
Computers & Peripherals 3.9%
Apple, Inc.*		5,267		2,131,976
Dell, Inc.*		8,811		139,302
EMC Corp.*		11,732		287,552
Hewlett-Packard Co.		11,784		313,572
Lexmark International, Inc. — Class A*		450		14,265
NetApp, Inc.*		2,093		85,729
SanDisk Corp.*		1,359		68,861
Western Digital Corp.*		1,325		35,298
Total Computers & Peripherals				3,076,555
Construction & Engineering 0.1%
Fluor Corp.		987		56,111
Jacobs Engineering Group, Inc.*		725		28,130
Quanta Services, Inc.*		1,206		25,193
Total Construction & Engineering				109,434
Construction Materials 0.0%(a)
Vulcan Materials Co.		734		22,967
Total Construction Materials				22,967
Consumer Finance 0.7%
American Express Co.		5,901		298,709
Capital One Financial Corp.		2,610		119,172
Discover Financial Services		3,100		73,036
SLM Corp.		2,922		39,944
Total Consumer Finance				530,861
Containers & Packaging 0.1%
Ball Corp.		929		32,115
Bemis Co., Inc.		588		16,529
Owens-Illinois, Inc.*		933		18,735
Sealed Air Corp.		916		16,305
Total Containers & Packaging				83,684
Distributors 0.1%
Genuine Parts Co.		891		51,170
Total Distributors				51,170
Diversified Consumer Services 0.1%
Apollo Group, Inc. — Class A*		697		33,003
DeVry, Inc.		350		13,188
H&R Block, Inc.		1,737		26,559
Total Diversified Consumer Services				72,750
Diversified Financial Services 2.5%
Bank of America Corp.		57,578		393,258
Citigroup, Inc.		16,578		523,699
CME Group, Inc. — Class A		380		104,713
IntercontinentalExchange, Inc.*		417		54,160
JPMorgan Chase & Co.		22,152		770,003
Leucadia National Corp.		1,126		30,211
Moody’s Corp.		1,143		40,565
Nasdaq OMX Group, Inc.(The)*		724		18,136
NYSE Euronext		1,487		39,510
Total Diversified Financial Services				1,974,255
Diversified Telecommunication Services 2.2%
AT&T, Inc.		33,668		986,809
CenturyTel, Inc.		3,502		123,481
Frontier Communications Corp.		5,654		35,394
Verizon Communications, Inc.		16,082		594,712
Windstream Corp.		2,897		35,257
Total Diversified Telecommunication Services				1,775,653
Electric Utilities 1.6%
American Electric Power Co., Inc.		2,740		107,627
Duke Energy Corp.		7,567		154,518
Edison International		1,851		75,151
Entergy Corp.		1,004		69,447
Exelon Corp.		3,765		167,128
FirstEnergy Corp.		2,376		106,825
NextEra Energy, Inc.		2,400		135,360
Northeast Utilities		1,005		34,743
Pepco Holdings, Inc.		1,286		25,463
Pinnacle West Capital Corp.		620		28,260
PPL Corp.		3,282		96,392
Progress Energy, Inc.		1,674		87,215
Southern Co.		4,873		210,514
Total Electric Utilities				1,298,643
Electrical Equipment 0.4%
Emerson Electric Co.		4,231		203,596
Rockwell Automation, Inc.		814		55,067
Roper Industries, Inc.		546		44,280
Total Electrical Equipment				302,943
Electronic Equipment, Instruments & Components 0.4%
Amphenol Corp. — Class A		965		45,828
Corning, Inc.		8,926		127,553
FLIR Systems, Inc.		908		23,880
Jabil Circuit, Inc.		1,035		21,280
Molex, Inc.		777		19,184
TE Connectivity Ltd.		2,462		87,524
Total Electronic Equipment, Instruments & Components				325,249
Energy Equipment & Services 1.7%
Baker Hughes, Inc.		2,478		143,699
Cameron International Corp.*		1,392		68,403
Diamond Offshore Drilling, Inc.		395		25,888
FMC Technologies, Inc.*		1,365		61,179
Halliburton Co.		5,225		195,206
Helmerich & Payne, Inc.		608		32,334
Nabors Industries Ltd.*		1,633		29,933
National-Oilwell Varco, Inc.		2,407		171,691
Noble Corp.		1,434		51,538
Rowan Cos., Inc.*		724		24,971
Schlumberger Ltd.		7,666		563,221
Total Energy Equipment & Services				1,368,063
Food & Staples Retailing 1.9%
Costco Wholesale Corp.		2,487		207,043
CVS Caremark Corp.		7,641		277,368
Kroger Co.(The)		3,438		79,693
Safeway, Inc.		1,989		38,527
SUPERVALU, Inc.		1,206		9,672
Sysco Corp.		3,367		93,333
Wal-Mart Stores, Inc.		9,987		566,463

See Notes to Financial Statements.

ANNUAL REPORT 13

RYDEX 2x S&P 500 ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Walgreen Co.		5,144		$170,781
Whole Foods Market, Inc.		896		64,619
Total Food & Staples Retailing				1,507,499
Food Products 1.5%
Archer-Daniels-Midland Co.		3,840		111,130
Campbell Soup Co.		1,021		33,948
ConAgra Foods, Inc.		2,355		59,652
Dean Foods Co.*		1,043		10,138
General Mills, Inc.		3,674		141,559
H.J. Heinz Co.		1,824		97,475
Hershey Co.(The)		879		50,305
Hormel Foods Corp.		789		23,252
J.M. Smucker Co.(The)		647		49,832
Kellogg Co.		1,419		76,924
Kraft Foods, Inc. — Class A		10,034		352,996
McCormick & Co., Inc.		752		36,517
Mead Johnson Nutrition Co.		1,159		83,274
Sara Lee Corp.		3,345		59,541
Tyson Foods, Inc. — Class A		1,684		32,501
Total Food Products				1,219,044
Gas Utilities 0.1%
Nicor, Inc.		259		14,569
Oneok, Inc.		588		44,717
Total Gas Utilities				59,286
Health Care Equipment & Supplies 1.5%
Baxter International, Inc.		3,229		177,530
Becton, Dickinson and Co.		1,235		96,614
Boston Scientific Corp.*		8,696		51,220
C.R. Bard, Inc.		492		42,287
CareFusion Corp.*		1,270		32,512
Covidien PLC		2,803		131,853
DENTSPLY International, Inc.		803		29,679
Edwards Lifesciences Corp.*		653		49,249
Intuitive Surgical, Inc.*		222		96,317
Medtronic, Inc.		6,000		208,440
St Jude Medical, Inc.		1,872		73,008
Stryker Corp.		1,875		89,831
Varian Medical Systems, Inc.*		666		39,108
Zimmer Holdings, Inc.*		1,082		56,946
Total Health Care Equipment & Supplies				1,174,594
Health Care Providers & Services 1.7%
Aetna, Inc.		2,119		84,251
AmerisourceBergen Corp.		1,530		62,424
Cardinal Health, Inc.		1,958		86,681
CIGNA Corp.		1,535		68,062
Coventry Health Care, Inc.*		844		26,848
DaVita, Inc.*		531		37,170
Express Scripts, Inc.*		2,774		126,855
Humana, Inc.		948		80,476
Laboratory Corp. of America Holdings*		575		48,214
McKesson Corp.		1,399		114,088
Medco Health Solutions, Inc.*		2,190		120,143
Patterson Cos., Inc.		532		16,742
Quest Diagnostics, Inc.		899		50,164
Tenet Healthcare Corp.*		2,690		12,724
UnitedHealth Group, Inc.		6,114		293,411
WellPoint, Inc.		2,049		141,176
Total Health Care Providers & Services				1,369,429
Health Care Technology 0.1%
Cerner Corp.*		826		52,393
Total Health Care Technology				52,393
Hotels, Restaurants & Leisure 1.6%
Carnival Corp.		2,627		92,497
Chipotle Mexican Grill, Inc.*		178		59,829
Darden Restaurants, Inc.		765		36,628
International Game Technology		1,696		29,833
Marriott International, Inc. — Class A		1,604		50,526
McDonald’s Corp.		5,862		544,287
Starbucks Corp.		4,239		179,479
Starwood Hotels & Resorts Worldwide, Inc.		1,092		54,720
Wyndham Worldwide Corp.		932		31,381
Wynn Resorts Ltd.		454		60,291
Yum! Brands, Inc.		2,639		141,371
Total Hotels, Restaurants & Leisure				1,280,842
Household Durables 0.2%
DR Horton, Inc.		1,580		17,585
Harman International Industries, Inc.		397		17,134
Leggett & Platt, Inc.		804		17,608
Lennar Corp. — Class A		914		15,118
Newell Rubbermaid, Inc.		1,656		24,509
Pulte Homes, Inc.*		1,914		9,914
Whirlpool Corp.		434		22,052
Total Household Durables				123,920
Household Products 1.8%
Clorox Co.(The)		747		50,004
Colgate-Palmolive Co.		2,764		249,783
Kimberly-Clark Corp.		2,226		155,174
Procter & Gamble Co.(The)		15,611		998,948
Total Household Products				1,453,909
Independent Power Producers & Energy Traders 0.2%
AES Corp.(The)*		3,734		41,895
Constellation Energy Group, Inc.		1,144		45,417
NRG Energy, Inc.*		1,371		29,367
Total Independent Power Producers & Energy Traders				116,679
Industrial Conglomerates 2.0%
3M Co.		4,031		318,530
Danaher Corp.		3,233		156,315
General Electric Co.		60,225		1,006,360
Tyco International Ltd.		2,638		120,161
Total Industrial Conglomerates				1,601,366
Insurance 3.0%
ACE Ltd.		1,920		138,528
AFLAC, Inc.		2,654		119,669
Allstate Corp.(The)		2,935		77,308
American International Group, Inc.*		2,482		61,281
Aon Corp.		1,856		86,527
Assurant, Inc.		537		20,696
Berkshire Hathaway, Inc. — Class B*		9,991		777,899
Chubb Corp.(The)		1,624		108,889
Cincinnati Financial Corp.		927		26,827
Genworth Financial, Inc. — Class A*		2,788		17,787
Hartford Financial Services Group, Inc.		2,531		48,722
Lincoln National Corp.		1,752		33,376
Loews Corp.		1,768		70,190
Marsh & McLennan Cos., Inc.		3,077		94,218
MetLife, Inc.		6,008		211,241
Principal Financial Group, Inc.		1,781		45,914

See Notes to Financial Statements.

14

RYDEX 2x S&P 500 ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Progressive Corp.(The)		3,629		$68,987
Prudential Financial, Inc.		2,761		149,646
Torchmark Corp.		597		24,435
Travelers Cos., Inc.(The)		2,379		138,815
Unum Group		1,724		41,100
XL Group PLC		1,865		40,545
Total Insurance				2,402,600
Internet & Catalog Retail 0.8%
Amazon.com, Inc.*		2,063		440,471
Expedia, Inc.		1,106		29,043
Netflix, Inc.*		298		24,460
priceline.com, Inc.*		283		143,685
Total Internet & Catalog Retail				637,659
Internet Software & Services 1.6%
Akamai Technologies, Inc.*		1,048		28,233
eBay, Inc.*		6,517		207,436
Google, Inc. — Class A*		1,431		848,068
Monster Worldwide, Inc.*		734		6,775
VeriSign, Inc.		945		30,325
Yahoo!, Inc.*		7,173		112,186
Total Internet Software & Services				1,233,023
IT Services 3.2%
Accenture PLC — Class A		3,661		220,612
Automatic Data Processing, Inc.		2,782		145,582
Cognizant Technology Solutions Corp. — Class A*		1,725		125,494
Computer Sciences Corp.		881		27,716
Fidelity National Information Services, Inc.		1,408		36,861
Fiserv, Inc.*		804		47,331
International Business Machines Corp.		6,785		1,252,715
Mastercard, Inc. — Class A		606		210,427
Paychex, Inc.		1,831		53,355
SAIC, Inc.*		1,569		19,503
Teradata Corp.*		956		57,035
Total System Services, Inc.		930		18,498
Visa, Inc. — Class A		2,906		271,014
Western Union Co.(The)		3,566		62,298
Total IT Services				2,548,441
Leisure Equipment & Products 0.1%
Hasbro, Inc.		687		26,147
Mattel, Inc.		1,948		55,012
Total Leisure Equipment & Products				81,159
Life Sciences Tools & Services 0.4%
Agilent Technologies, Inc.*		1,973		73,139
Life Technologies Corp.*		1,025		41,687
PerkinElmer, Inc.		642		13,270
Thermo Fisher Scientific, Inc.*		2,170		109,086
Waters Corp.*		519		41,582
Total Life Sciences Tools & Services				278,764
Machinery 1.7%
Caterpillar, Inc.		3,671		346,763
Cummins, Inc.		1,106		109,970
Deere & Co.		2,352		178,517
Dover Corp.		1,057		58,695
Eaton Corp.		1,938		86,861
Flowserve Corp.		317		29,383
Illinois Tool Works, Inc.		2,792		135,775
Ingersoll-Rand PLC		1,880		58,524
Joy Global, Inc.		597		52,058
PACCAR, Inc.		2,077		89,810
Pall Corp.		661		33,823
Parker Hannifin Corp.		881		71,846
Snap-on, Inc.		331		17,765
Stanley Black & Decker, Inc.		957		61,104
Xylem, Inc.*		1,053		28,157
Total Machinery				1,359,051
Media 2.6%
Cablevision Systems Corp. — Class A		1,278		18,493
CBS Corp. — Class B		3,806		98,233
Comcast Corp. — Class A		15,619		366,265
DIRECTV — Class A*		4,195		190,705
Discovery Communications, Inc. — Class A*		1,555		67,580
Gannett Co., Inc.		1,368		15,992
Interpublic Group of Cos., Inc.(The)		2,719		25,776
McGraw-Hill Cos., Inc.(The)		1,712		72,760
News Corp. — Class A		12,984		227,480
Omnicom Group, Inc.		1,588		70,634
Scripps Networks Interactive, Inc. — Class A		561		23,831
Time Warner Cable, Inc.		1,848		117,699
Time Warner, Inc.		5,936		207,701
Viacom, Inc. — Class B		3,265		143,170
Walt Disney Co.(The)		10,545		367,810
Washington Post Co.(The) — Class B		28		9,524
Total Media				2,023,653
Metals & Mining 0.8%
AK Steel Holding Corp.		626		5,215
Alcoa, Inc.		6,046		65,055
Allegheny Technologies, Inc.		604		28,026
Cliffs Natural Resources, Inc.		830		56,623
Freeport-McMoRan Copper & Gold, Inc.		5,385		216,800
Newmont Mining Corp.		2,808		187,659
Nucor Corp.		1,798		67,928
Titanium Metals Corp.		475		7,956
United States Steel Corp.		818		20,744
Total Metals & Mining				656,006
Multi-Utilities 1.2%
Ameren Corp.		1,373		43,771
CenterPoint Energy, Inc.		2,419		50,412
CMS Energy Corp.		1,431		29,793
Consolidated Edison, Inc.		1,664		96,296
Dominion Resources, Inc.		3,234		166,842
DTE Energy Co.		962		50,130
Integrys Energy Group, Inc.		443		23,439
NiSource, Inc.		1,594		35,211
PG&E Corp.		2,285		98,026
Public Service Enterprise Group, Inc.		2,874		96,854
SCANA Corp.		652		27,567
Sempra Energy		1,361		73,127
TECO Energy, Inc.		1,226		22,767
Wisconsin Energy Corp.		1,328		43,067
Xcel Energy, Inc.		2,753		71,165
Total Multi-Utilities				928,467
Multiline Retail 0.6%
Big Lots, Inc.*		372		14,021
Family Dollar Stores, Inc.		683		40,044
J.C. Penney Co., Inc.		812		26,049

See Notes to Financial Statements.

ANNUAL REPORT 15

RYDEX 2x S&P 500 ETF

SCHEDULE OF INVESTMENTS (continued) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (continued)
Kohl’s Corp.		1,597		$84,657
Macy’s, Inc.		2,427		74,096
Nordstrom, Inc.		930		47,142
Sears Holdings Corp.*		219		17,121
Target Corp.		3,836		210,021
Total Multiline Retail				513,151
Office Electronics 0.1%
Xerox Corp.		7,974		65,227
Total Office Electronics				65,227
Oil, Gas & Consumable Fuels 8.3%
Alpha Natural Resources, Inc.*		1,286		30,915
Anadarko Petroleum Corp.		2,828		221,998
Apache Corp.		2,181		217,293
Cabot Oil & Gas Corp.		594		46,166
Chesapeake Energy Corp.		3,755		105,590
Chevron Corp.		11,380		1,195,469
ConocoPhillips		7,801		543,340
Consol Energy, Inc.		1,288		55,075
Denbury Resources, Inc.*		2,286		35,890
Devon Energy Corp.		2,366		153,672
El Paso Corp.		4,376		109,444
EOG Resources, Inc.		1,526		136,470
EQT Corp.		849		53,911
Exxon Mobil Corp.		27,624		2,157,158
Hess Corp.		1,719		107,541
Marathon Oil Corp.		4,057		105,604
Marathon Petroleum Corp.		2,025		72,697
Murphy Oil Corp.		1,099		60,852
Newfield Exploration Co.*		752		30,275
Noble Energy, Inc.		1,003		89,608
Occidental Petroleum Corp.		4,618		429,197
Peabody Energy Corp.		1,539		66,746
Pioneer Natural Resources Co.		663		55,626
QEP Resources, Inc.		1,005		35,728
Range Resources Corp.		915		62,989
Southwestern Energy Co.*		1,977		83,113
Spectra Energy Corp.		3,695		105,788
Sunoco, Inc.		614		22,859
Tesoro Corp.*		817		21,193
Valero Energy Corp.		3,251		79,975
Williams Cos., Inc.(The)		3,346		100,748
Total Oil, Gas & Consumable Fuels				6,592,930
Paper & Forest Products 0.1%
International Paper Co.		2,483		68,779
MeadWestvaco Corp.		970		27,073
Total Paper & Forest Products				95,852
Personal Products 0.1%
Avon Products, Inc.		2,447		44,731
Estee Lauder Cos., Inc.(The) — Class A		642		63,205
Total Personal Products				107,936
Pharmaceuticals 4.8%
Abbott Laboratories		8,844		476,426
Allergan, Inc.		1,747		146,958
Bristol-Myers Squibb Co.		9,691		306,139
Eli Lilly & Co.		5,788		215,082
Forest Laboratories, Inc.*		1,560		48,828
Hospira, Inc.*		937		29,469
Johnson & Johnson, Inc.		15,569		1,002,488
Merck & Co., Inc.		17,503		603,853
Mylan, Inc.*		2,422		47,399
Pfizer, Inc.		44,327		853,738
Watson Pharmaceuticals, Inc.*		715		48,019
Total Pharmaceuticals				3,778,399
Professional Services 0.1%
Dun & Bradstreet Corp.(The)		279		18,654
Equifax, Inc.		695		24,429
Robert Half International, Inc.		823		21,752
Total Professional Services				64,835
Real Estate Investment Trusts (REITs) 1.5%
Apartment Investment & Management Co. — Class A		686		16,924
AvalonBay Communities, Inc.		534		71,390
Boston Properties, Inc.		835		82,657
Equity Residential		1,684		98,817
HCP, Inc.		2,313		92,173
Health Care REIT, Inc.		1,008		53,111
Host Hotels & Resorts, Inc.		4,012		57,251
Kimco Realty Corp.		2,312		40,391
Plum Creek Timber Co., Inc.		920		34,647
ProLogis, Inc.		2,608		77,614
Public Storage		805		103,885
Simon Property Group, Inc.		1,668		214,238
Ventas, Inc.		1,636		90,978
Vornado Realty Trust		1,048		86,785
Weyerhaeuser Co.		3,060		55,019
Total Real Estate Investment Trusts (REITs)				1,175,880
Real Estate Management & Development 0.0%(a)
CBRE Group, Inc.*		1,847		32,840
Total Real Estate Management & Development				32,840
Road & Rail 0.7%
CSX Corp.		6,223		138,213
Norfolk Southern Corp.		1,976		146,204
Ryder System, Inc.		291		14,823
Union Pacific Corp.		2,773		276,108
Total Road & Rail				575,348
Semiconductors & Semiconductor Equipment 2.0%
Advanced Micro Devices, Inc.*		3,299		19,233
Altera Corp.		1,841		69,811
Analog Devices, Inc.		1,701		62,206
Applied Materials, Inc.		7,485		92,215
Broadcom Corp. — Class A*		2,736		98,742
First Solar, Inc.*		333		16,573
Intel Corp.		29,833		732,102
KLA-Tencor Corp.		949		44,688
Linear Technology Corp.		1,295		41,841
LSI Corp.*		3,255		20,344
MEMC Electronic Materials, Inc.*		1,309		7,841
Microchip Technology, Inc.		1,083		39,161
Micron Technology, Inc.*		5,704		31,885
Novellus Systems, Inc.*		396		13,682
NVIDIA Corp.*		3,430		50,764
Teradyne, Inc.*		1,058		15,151
Texas Instruments, Inc.		6,564		201,712
Xilinx, Inc.		1,506		50,391
Total Semiconductors & Semiconductor Equipment				1,608,342

See Notes to Financial Statements.

16

RYDEX 2x S&P 500 ETF

SCHEDULE OF INVESTMENTS (concluded) October 31, 2011

			Market
	Shares		Value
COMMON STOCKS (concluded)
Software 3.2%
Adobe Systems, Inc.*		2,806		$82,524
Autodesk, Inc.*		1,300		44,980
BMC Software, Inc.*		997		34,656
CA, Inc.		2,151		46,591
Citrix Systems, Inc.*		1,070		77,928
Compuware Corp.*		1,242		10,495
Electronic Arts, Inc.*		1,899		44,342
Intuit, Inc.		1,727		92,688
Microsoft Corp.		42,365		1,128,180
Oracle Corp.		22,448		735,621
Red Hat, Inc.*		1,097		54,466
Salesforce.com, Inc.*		770		102,541
Symantec Corp.*		4,260		72,462
Total Software				2,527,474
Specialty Retail 1.6%
Abercrombie & Fitch Co. — Class A		494		36,754
AutoNation, Inc.*		282		10,981
AutoZone, Inc.*		165		53,392
Bed Bath & Beyond, Inc.*		1,390		85,958
Best Buy Co., Inc.		1,721		45,142
CarMax, Inc.*		1,286		38,657
GameStop Corp. — Class A*		790		20,200
Gap, Inc.(The)		1,971		37,252
Home Depot, Inc.		8,887		318,154
Limited Brands, Inc.		1,407		60,093
Lowe’s Cos., Inc.		7,162		150,545
O’Reilly Automotive, Inc.*		772		58,711
Ross Stores, Inc.		657		57,639
Staples, Inc.		4,029		60,274
Tiffany & Co.		723		57,645
TJX Cos., Inc.		2,165		127,583
Urban Outfitters, Inc.*		673		18,339
Total Specialty Retail				1,237,319
Textiles, Apparel & Luxury Goods 0.6%
Coach, Inc.		1,642		106,845
NIKE, Inc. — Class B		2,158		207,923
Ralph Lauren Corp.		368		58,435
V.F. Corp.		492		68,004
Total Textiles, Apparel & Luxury Goods				441,207
Thrifts & Mortgage Finance 0.1%
Hudson City Bancorp, Inc.		2,997		18,731
People’s United Financial, Inc.		2,139		27,273
Total Thrifts & Mortgage Finance				46,004
Tobacco 1.5%
Altria Group, Inc.		11,768		324,208
Lorillard, Inc.		787		87,090
Philip Morris International, Inc.		9,979		697,233
Reynolds American, Inc.		1,921		74,304
Total Tobacco				1,182,835
Trading Companies & Distributors 0.2%
Fastenal Co.		1,677		63,877
W.W. Grainger, Inc.		345		59,102
Total Trading Companies & Distributors				122,979
Wireless Telecommunication Services 0.2%
American Tower Corp. — Class A*		2,248		123,865
Metro PCS Communications, Inc.*		1,666		14,161
Sprint Nextel Corp.*		17,013		43,723
Total Wireless Telecommunication Services				181,749
Total Common Stocks (Cost $50,838,456)				64,859,166
	Face
	Amount
REPURCHASE AGREEMENTS 7.0%
State Street Bank & Trust Co., 0.010%, dated 10/31/11, to be repurchased at $5,541,002 on 11/01/11 collateralized by $5,645,000 FHLMC at 0.050% due 08/23/13 with a value of $5,652,056(b)	$	5,541,000		5,541,000
Total Repurchase Agreements (Cost $5,541,000)				5,541,000
Total Investments 88.7%(c) (Cost $56,379,456)				70,400,166
Other Assets in Excess of Liabilities—11.3%				8,987,213
Net Assets—100.0%				$79,387,379
			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED
December 2011 S&P 500 Index Futures Contracts (Aggregate Market Value of Contracts $32,523,425)(c)		521		$1,455,953
	Units
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston November 2011 S&P 500 Index Swap, Terminating 11/30/11 (Notional Market Value $28,419,931)**(b)		22,676		$(827,407	)
Goldman Sachs International November 2011 S&P 500 Index Swap, Terminating 11/29/11 (Notional Market Value $32,872,981)**(b)		26,229		296,392
(Total Notional Market Value $61,292,912)				$(531,015	)

*	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)	Values determined based on Level 2 inputs.
(c)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs.

FHLMC—Federal Home Loan Mortgage Corporation

REIT—Real Estate Investment Trust

See Notes to Financial Statements.

ANNUAL REPORT 17

RYDEX INVERSE 2x S&P 500 ETF

SCHEDULE OF INVESTMENTS October 31, 2011

	Face		Market
	Amount		Value
REPURCHASE AGREEMENTS 58.2%
State Street Bank & Trust Co., 0.010%, dated 10/31/11, to be repurchased at $32,499,009 on 11/01/11 collateralized by $33,110,000 FHLMC at 0.500% due 08/23/13 with a value of $33,151,388(a)	$	32,499,000		$32,499,000
Total Repurchase Agreements (Cost $32,499,000)				32,499,000
Total Investments 58.2%(b) (Cost $32,499,000)				32,499,000
Other Assets in Excess of Liabilities—41.8%				23,302,510
Net Assets—100.0%				$55,801,510
			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS SOLD SHORT
December 2011 S&P 500 Index E-Mini Futures Contracts (Aggregate Market Value of Contracts $19,788,725)(b)		317		$(1,293,067	)
			Unrealized
	Units		Gain (Loss)
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston November 2011 S&P 500 Index Swap, Terminating 11/30/11 (Notional Market Value $66,803,021)*(a)		53,302		$1,494,075
Goldman Sachs International November 2011 S&P 500 Index Swap, Terminating 11/29/11 (Notional Market Value $24,897,744)*(a)		19,866		(224,485	)
(Total Notional Market Value $91,700,765)				$1,269,590

*	Price return based on S&P 500 Index +/− financing at a variable rate
(a)	Values determined based on Level 2 inputs.
(b)	Unless otherwise indicated, the values of the Portfolio are determined based on Level 1 inputs

FHLMC—Federal Home Loan Mortgage Corporation

See Notes to Financial Statements.

18

STATEMENTS OF ASSETS AND LIABILITIES October 31, 2011

	Rydex 2x			Rydex Inverse 2x
	S&P 500 ETF			S&P 500 ETF
Assets
Investments at Market Value	$	64,859,166		$	—
Repurchase Agreements		5,541,000			32,499,000
Total Investments*		70,400,166			32,499,000
Cash		207			992
Segregated Cash for Swaps		8,230,972			20,289,862
Margin Deposit for Future Contracts		2,084,000			1,268,000
Unrealized Appreciation on Swap Agreements		296,392			1,494,075
Receivables:
Investments Sold		48,021			—
Dividends and Interest		68,886			9
Variation Margin on Futures Contracts		—			513,540
Equity Index Swap Settlement		1,874			—
Total Assets		81,130,518			56,065,478
Liabilities
Unrealized Depreciation on Swap Agreements		827,407			224,485
Payables:
Investments Purchased		28,152			—
Equity Index Swap Settlement		—			2,194
Variation Margin on Futures Contracts		844,020			—
Accrued Management Fees		43,560			37,289
Total Liabilities		1,743,139			263,968
Net Assets	$	79,387,379		$	55,801,510
Net Assets Consist of:
Paid-in Capital	$	74,159,089		$	172,936,865
Undistributed Net Investment Income		2,326			—
Accumulated Net Realized Gain (Loss) on Investment Securities, Futures and Swaps		(9,719,684	)		(117,111,878	)
Net Unrealized Appreciation (Depreciation) on Investment Securities, Futures and Swaps		14,945,648			(23,477	)
Net Assets	$	79,387,379		$	55,801,510
Shares Outstanding (Unlimited Shares Authorized), No Par Value		2,000,002			1,700,000
Net Asset Value, Offering Price and Repurchase Price Per Share	$	39.69		$	32.82
*Total Cost of Investments	$	56,379,456		$	32,499,000

See Notes to Financial Statements.

ANNUAL REPORT 19

STATEMENTS OF OPERATIONS For the Year Ended October 31, 2011

	Rydex 2x			Rydex Inverse 2x
	S&P 500 ETF			S&P 500 ETF
Investment Income
Dividends, Net of Foreign Taxes Withheld	$	1,431,529		$	—
Interest		1,066			17,474
Total Income		1,432,595			17,474
Expenses
Management Fee		593,838			426,877
Trustee Fees		6,707			5,221
Total Expenses		600,545			432,098
Net Investment Income (Loss)		832,050			(414,624	)
Realized and Unrealized Gain (Loss) on Investments
Net Realized Gain (Loss) From:
Investments		(2,447,944	)		—
In-kind Redemptions		3,032,381			—
Futures Contracts		1,928,692			(3,276,590	)
Swap Contracts		4,758,030			(18,555,121	)
Net Realized Gain (Loss)		7,271,159			(21,831,711	)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities		1,996,542			—
Futures Contracts		(38,274	)		533,372
Swap Contracts		(441,039	)		1,146,248
Net Change in Unrealized Appreciation (Depreciation)		1,517,229			1,679,620
Net Realized and Unrealized Gain (Loss) on Investments, Futures and Swap Contracts		8,788,388			(20,152,091	)
Net Increase (Decrease) in Net Assets Resulting From Operations	$	9,620,438		$	(20,566,715	)
Foreign Taxes Withheld	$	4		$	—

See Notes to Financial Statements.

20

STATEMENTS OF CHANGES IN NET ASSETS

	Rydex 2x S&P 500 ETF						Rydex Inverse 2x S&P 500 ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2011			October 31, 2010
Operations
Net Investment Income (Loss)	$	832,050		$	960,963		$	(414,624	)	$	(627,590	)
Net Realized Gain (Loss) on Investments		7,271,159			24,687,608			(21,831,711	)		(37,604,265	)
Net Change in Unrealized Appreciation (Depreciation) on Investments		1,517,229			3,068,601			1,679,620			(1,760,618	)
Net Increase (Decrease) in Net Assets Resulting From Operations		9,620,438			28,717,172			(20,566,715	)		(39,992,473	)
Distributions To Shareholders From:
Net Investment Income		(849,031	)		(964,096	)		—			—
Shareholder Transactions
Proceeds From Shares Purchased		2,087,505			16,758,573			22,017,345			83,801,968
Value of Shares Purchased through Dividend Reinvestments		—			72			—			—
Value of Shares Redeemed		(11,417,222	)		(81,692,319	)		(29,862,599	)		(63,069,991	)
Net Increase (Decrease) in Net Assets Resulting From Share Transactions		(9,329,717	)		(64,933,674	)		(7,845,254	)		20,731,977
Decrease in Net Assets		(558,310	)		(37,180,598	)		(28,411,969	)		(19,260,496	)
NET ASSETS—Beginning of Period		79,945,689			117,126,287			84,213,479			103,473,975
NET ASSETS—End of Period(1)	$	79,387,379		$	79,945,689		$	55,801,510		$	84,213,479
(1) Including Undistributed Net Investment Income	$	2,326		$	42,287		$	—		$	—
Changes in Shares Outstanding:
Shares Purchased		50,000			550,000			600,000			1,500,000
Shares Purchased through Dividend Reinvestments		—			2			—			—
Shares Redeemed		(250,000	)		(2,500,000	)		(800,000	)		(1,150,000	)
Shares Outstanding, Beginning of Period		2,200,002			4,150,000			1,900,000			1,550,000
Shares Outstanding, End of Period		2,000,002			2,200,002			1,700,000			1,900,000

See Notes to Financial Statements.

ANNUAL REPORT 21

FINANCIAL HIGHLIGHTS

	Rydex 2x S&P 500 ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	36.34		$	28.22		$	27.65		$	75.00
Net Investment Income**		0.41			0.33			0.31			0.61
Net Realized and Unrealized Gain (Loss) on Investments		3.36			8.13			0.57			(47.27	)
Total From Investment Operations		3.77			8.46			0.88			(46.66	)
Distributions To Shareholders From:
Net Investment Income		(0.42	)		(0.34	)		(0.31	)		(0.69	)
Net Asset Value at End of Period	$	39.69		$	36.34		$	28.22		$	27.65
Total Return***		10.36	%		30.12	%		3.51	%		(62.68	)%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	79,387		$	79,946		$	117,126		$	113,364
Ratio To Average Net Assets Of:
Expenses		0.71	%		0.71	%		0.70	%		0.70	%****
Net Investment Income		0.98	%		1.01	%		1.43	%		1.35	%****
Portfolio Turnover Rate†		41	%		23	%		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 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.

22

FINANCIAL HIGHLIGHTS (concluded)

	Rydex Inverse 2x S&P 500 ETF
	Year Ended			Year Ended			Year Ended			Year Ended
	October 31, 2011			October 31, 2010			October 31, 2009			October 31, 2008*
Per Share Operating Performance:
Net Asset Value at Beginning of Period	$	44.32		$	66.76		$	132.21		$	75.00
Net Investment Income (Loss)**		(0.25	)		(0.35	)		(0.61	)		1.04
Net Realized and Unrealized Gain (Loss) on Investments		(11.25	)		(22.09	)		(46.79	)		57.20
Total From Investment Operations		(11.50	)		(22.44	)		(47.40	)		58.24
Distributions To Shareholders From:
Net Investment Income		—			—			—			(1.03	)
Net Realized Gains		—			—			(18.05	)		—
Total Distributions		—			—			(18.05	)		(1.03	)
Net Asset Value at End of Period	$	32.82		$	44.32		$	66.76		$	132.21
Total Return***		(25.94	)%		(33.61	)%		(41.45	)%		78.27	%
Ratios/Supplemental Data:
Net Assets at End of Period (000’s Omitted)	$	55,802		$	84,213		$	103,474		$	66,106
Ratio To Average Net Assets Of:
Expenses		0.71	%		0.71	%		0.71	%		0.71	%****
Net Investment Income (Loss)		(0.68	)%		(0.65	)%		(0.64	)%		1.09	%****
Portfolio Turnover Rate†		—			—			—			—

*	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 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).

See Notes to Financial Statements.

ANNUAL REPORT 23

NOTES TO FINANCIAL STATEMENTS October 31, 2011

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, 2011, the Trust offers twenty-seven 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 2x S&P 500 ETF and Rydex Inverse 2x S&P 500 ETF. Rydex 2x S&P 500 ETF and Rydex Inverse 2x S&P 500 ETF commenced operations on November 5, 2007.

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”). 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 Rydex 2x S&P 500 ETF (a “Leveraged Fund”), the Fund’s benchmark is 200% of the daily performance of an index representing publicly traded securities (the “Underlying Index”). For Rydex Inverse 2x S&P 500 ETF (a “Leveraged Inverse Fund”), the Fund’s benchmark is 200% of the daily inverse (opposite) performance of its Underlying Index. The Underlying Index for Rydex 2x S&P 500 ETF and Rydex Inverse 2x S&P 500 ETF is the S&P 500 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 per share (“NAV”), only in aggregation 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 (“U.S. GAAP”) 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 the primary market is the National Association of Securities Dealers Automated Quotations National Market System (“NASDAQ”) are valued at the NASDAQ Official Closing Price.

Investments for which market quotations are not readily available are fair valued as determined in good faith by Security Investors, LLC, an affiliated entity, which acts as the Funds’ investment advisor (the “Advisor”), 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) obtaining general information as to how these securities and assets trade, (ii) in connection with futures contracts and options thereupon, and other derivative instruments, obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market, and (iii) gathering other information and considerations, including current values in related markets.

The value of futures contracts purchased and sold by the Funds are accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts 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.

24

NOTES TO FINANCIAL STATEMENTS (continued)

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.

B.  Security Transactions and Income Recognition

Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from portfolio 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 real estate investment trusts (“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 Security Global Investors. 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 a Fund’s net assets. The investments of the Funds in repurchase agreements, at times, may be substantial when, in the view of Security Global Investors, liquidity or other considerations so warrant.

D.  Futures Contracts

The Funds utilized stock index futures contracts to gain exposure to the Underlying Index. 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 utilized domestic equity index swap agreements to gain exposure to the Underlying Index, 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. The risk is managed through the terms of the swap contracts which include trigger points to terminate the current contract based on

ANNUAL REPORT 25

NOTES TO FINANCIAL STATEMENTS (continued)

predetermined thresholds and limit the amount of potential loss. Although the Funds will not enter into any swap agreement unless Security Global Investors 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 intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision has been recorded.

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 — 2011), 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. GAAP. These differences are primarily due to differing treatments for in-kind redemptions, mark-to-market on futures contracts, income reclassifications from REITs and losses deferred due to wash sales.

The RIC Modernization Act of 2010 was signed into law on December 22, 2010 and seeks to simplify some of the tax provisions applicable to regulated investment companies and the tax reporting to their shareholders, and to improve the tax efficiency of certain fund structures. The greatest impact to the disclosure in the financial reports for the Fund will be seen on the treatment of capital loss carryforwards.

Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss. As a result of this ordering rule, pre-enactment capital loss carryforwards may potentially expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

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 net capital gains resulting from in-kind redemptions, because they are non-taxable to the Funds, and therefore are not distributed to existing Fund shareholders, or net operating losses which are reclassified to paid-in-capital. For the year ended October 31, 2011, the adjustments for the Funds were as follows:

				Undistributed			Accumulated
	Paid-In			Net Investment			Net Realized
	Capital			Income (Loss)			Gain (Loss)
Rydex 2x S&P 500 ETF	$	1,792,826		$	(22,980	)	$	(1,769,846	)
Rydex Inverse 2x S&P 500 ETF		(414,624	)		414,624			—

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains. For the year ended October 31, 2011, the following capital loss carryforward amounts expired or were used to offset current year net realized capital gains:

Rydex 2x S&P 500 ETF	$	6,010,242
Rydex Inverse 2x S&P 500 ETF		—

26

NOTES TO FINANCIAL STATEMENTS (continued)

A summary of the expiration of the capital loss carryforward is as follows:

	2016		2017		2018		2019
Rydex 2x S&P 500 ETF	$	254,366	$	—	$	—	$	—
Rydex Inverse 2x S&P 500 ETF		—		57,618,386		39,488,221		21,311,018

The tax character of distributable earnings (accumulated losses) at October 31, 2011 was as follows:

	Undistributed		Undistributed					Unrealized
	Ordinary		Long Term		Capital Loss			Appreciation
	Income		Capital Gain		Carryfoward			(Depreciation)
Rydex 2x S&P 500 ETF	$	2,326	$	—	$	(254,366	)	$	5,480,330
Rydex Inverse 2x S&P 500 ETF		—		—		(118,417,625	)		1,269,590

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. Any undistributed ordinary income or long-term capital gain remaining at fiscal year-end is distributed in the following year.

The tax character of distributions paid during 2011 was as follows:

	Ordinary
	Income
Rydex 2x S&P 500 ETF	$	849,031
Rydex Inverse 2x S&P 500 ETF		—

The tax character of distributions paid during 2010 was as follows:

	Ordinary
	Income
Rydex 2x S&P 500 ETF	$	964,096
Rydex Inverse 2x S&P 500 ETF		—

H.  Fair Value Measurement

In accordance with U.S. GAAP, 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. A three-tier hierarchy is utilized 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. The types of assets and liabilities carried at Level 1 fair value generally are government and agency securities, equities listed in active markets and stock index futures.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). The types of assets and liabilities carried at Level 2 fair value generally are domestic equity index swaps and short-term securities with maturities of 60 days or less, including repurchase agreements.

Level 3 — significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

Transfers between investment Levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For the year ended October 31, 2011, there were no securities transferred between any Levels.

ANNUAL REPORT 27

NOTES TO FINANCIAL STATEMENTS (continued)

The following table summarizes the inputs used to value the Funds’ net assets as of October 31, 2011:

			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
Rydex 2x S&P 500 ETF	$	64,859,166	$	1,455,953	$	5,541,000	$	296,392	$	—	$	72,152,511
Rydex Inverse 2x S&P 500 ETF		—		—		32,499,000		1,494,075		—		33,993,075
Liabilities
Rydex 2x S&P 500 ETF		—		—		—		827,407		—		827,407
Rydex Inverse 2x S&P 500 ETF		—		1,293,067		—		224,485		—		1,517,552

* Other financial instruments may include futures contracts and/or swaps, which are reported as unrealized gain/loss at period end.

For the year ended October 31, 2011, there were no Level 3 Investments.

I.  Disclosures About Derivative Instruments and Hedging Activities

U.S. GAAP require 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.

During the year ended October 31, 2011, the Funds sought to gain part, if not all, exposure to their respective benchmarks by investing in financial-linked derivative instruments, including swap agreements and futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

	Approximately Percentage of Funds’
Fund	Net Assets on a Daily Basis
Rydex 2x S&P 500 ETF		120	%
Rydex Inverse 2x S&P 500 ETF		200	%

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, 2011:

	Location on the Statements of Assets and Liabilities
Derivative Investment Type	Asset		Liability
Equity Index Swap Contracts		Unrealized Appreciation on Swap Agreements		Unrealized Depreciation on Swap Agreements
Equity Index Futures Contracts		Receivables: Variation Margin on Futures Contracts		Payables: Variation Margin on Futures Contracts

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, 2011:

	Asset Derivative Investments Value
	Total Value at		Equity Index		Equity Index
Portfolio	October 31, 2011		Swap Contracts		Futures Contracts*
Rydex 2x S&P 500 ETF	$	1,752,345	$	296,392	$	1,455,953
Rydex Inverse 2x S&P 500 ETF		1,494,075		1,494,075		—

	Liability Derivative Investments Value
	Total Value at		Equity Index		Equity Index
Portfolio	October 31, 2011		Swap Contracts		Futures Contracts*
Rydex 2x S&P 500 ETF	$	827,407	$	827,407	$	—
Rydex Inverse 2x S&P 500 ETF		1,517,552		224,485		1,293,067

* 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.

28

NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended October 31, 2011:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity Index Swap Contracts	Net Realized Gain (Loss) from: Swap Contracts
	Net Change in Unrealized Appreciation (Depreciation) on: Swap Contracts
Futures Contracts	Net Realized Gain (Loss) from: Futures Contracts
	Net Change in Unrealized Appreciation (Depreciation) on: Futures Contracts

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 for the year ended October 31, 2011:

	Realized Gain (Loss) on Derivative Investments
	Recognized in the Statement of Operations
				Equity Index			Equity Index
Portfolio	Total			Swap Contracts			Futures Contracts
Rydex 2x S&P 500 ETF	$	6,686,722		$	4,758,030		$	1,928,692
Rydex Inverse 2x S&P 500 ETF		(21,831,711	)		(18,555,121	)		(3,276,590	)

	Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the
	Statement of Operations
				Equity Index			Equity Index
Portfolio	Total			Swap Contracts			Futures Contracts
Rydex 2x S&P 500 ETF	$	(479,313	)	$	(441,039	)	$	(38,274	)
Rydex Inverse 2x S&P 500 ETF		1,679,620			1,146,248			533,372

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. GAAP.

K.  Risks and Uncertainties

The Funds invest 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.

L.  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.

3.   ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES

The Advisor 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 as a percentage of the average daily net assets of the Funds.

	Advisory Fee
Rydex 2x S&P 500 ETF		0.70	%
Rydex Inverse 2x S&P 500 ETF		0.70	%

ANNUAL REPORT 29

NOTES TO FINANCIAL STATEMENTS (continued)

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 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 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, LLC, 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, 2011, 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 NAV of the Fund on the transaction date. The minimum transaction fees are:

	Minimum
	Transaction Fee
Rydex 2x S&P 500 ETF	$	2,000
Rydex Inverse 2x S&P 500 ETF		50

5.   INVESTMENT TRANSACTIONS

For the year ended October 31, 2011, the Funds had investment transactions in-kind associated with subscriptions and redemptions as follows:

	Subscriptions		Redemptions
Rydex 2x S&P 500 ETF	$	1,700,141	$	9,150,749
Rydex Inverse 2x S&P 500 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
Rydex 2x S&P 500 ETF	$	34,393,173	$	29,040,719
Rydex Inverse 2x S&P 500 ETF		—		—

At October 31, 2011, 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 2x S&P 500 ETF	$	64,367,981	$	7,377,235	$	(1,345,050	)	$	6,032,185
Rydex Inverse 2x S&P 500 ETF		32,499,000		—		—			—

30

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 2x S&P 500 ETF and Rydex Inverse 2x S&P 500 ETF (two of the series constituting the Rydex ETF Trust) (the “Funds”) as of October 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and the period November 5, 2007 (commencement of operations) through October 31, 2008. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2011, 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 the above listed Funds at October 31, 2011, 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 three years in the period then ended and the period November 5, 2007 (commencement of operations) through October 31, 2008, in conformity with U.S. generally accepted accounting principles.

McLean, Virginia

December 23, 2011

ANNUAL REPORT 31

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, 2011:

	Dividend			Long Term		Qualified
	Received			Capital Gains		Income
	Deduction			Distribution		Distribution
Rydex 2x S&P 500 ETF		100.00	%	$	—	$	1,373,539
Rydex Inverse 2x S&P 500 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, 2011 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 inWashington, 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.

Office Locations

The offices of Security Global Investors, LLC can be found in the following locations:

40 East 52nd Street

16th Floor

New York, NY 10022

(Headquarters)

Four Irvington Centre

805 King Farm Boulevard

Suite 600

Rockville, MD 20850

9401 Indian Creek Parkway

40 Corporate Woods

Suite 850

Overland Park, KS 66210

Guggenheim Transaction

On September 20, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Funds’ investment adviser (the “Investment Adviser”) (the “Transaction”). Guggenheim Capital, LLC’s subsidiary, Guggenheim Partners, LLC (“Guggenheim”), is a global, independent, privately-held, diversified financial services firm with more than 1,500 dedicated professionals.

The Transaction should not result in material changes to the day-to-day management and operations of the Funds or any increase in fees. The parties expect the Transaction to be completed in late 2011 or early 2012. However, it is subject to various conditions, and could be delayed or even terminated due to unforeseen circumstances.

32

SUPPLEMENTAL INFORMATION (Unaudited) (continued)

In anticipation of the Transaction, the Boards of Trustees of the Funds (the “Boards”) have called special meetings of shareholders (the “Meetings”), at which shareholders of record of each of the Funds as of October 3, 2011 (October 13, 2011 with respect to the Funds that are series of Rydex ETF Trust) will be asked to consider the approval of new investment advisory agreements between the Funds and the Investment Adviser (the “New Advisory Agreements”). This is necessary because, under the Investment Company Act of 1940 (the “1940 Act”), the Transaction could result in the termination of the Funds’ current investment advisory agreements with the Investment Adviser (the “Current Agreements”). The terms of the New Agreements are substantially identical to the corresponding Current Agreements, except with respect to the date of execution.

Board Considerations in Approving the Investment Advisory Agreement

At an in-person meeting of the Rydex ETF Trust’s Board of Trustees held August 16-17, 2011, called for the purpose of, among other things, voting on the approval of investment advisory agreement applicable to the series of the Trust (collectively, the “Funds”), the Trust’s Board of Trustees, including the independent Trustees, unanimously approved the investment advisory agreement between the Trust and Security Investors, LLC (referred to herein as the “Adviser”).

At the meeting of August 16-17, 2011, the Trust’s Board of Trustees also considered a new investment advisory agreement that was required as a result of a proposed change in the corporate ownership structure of the Adviser (the “Transaction”). The Investment Company Act of 1940 (the “1940 Act”), the law that regulates mutual funds, including the Funds, requires that a fund’s investment advisory agreement terminate whenever there is deemed to be a “change in control” of the investment adviser. The change in the corporate ownership structure of the Adviser could potentially be deemed to constitute a “change in control” (as this term is used for regulatory purposes) of the Adviser. Before an investment advisory agreement terminates, a new investment advisory agreement must be in effect in order for the investment adviser to continue to manage the fund’s investments. For that reason, the Board of Trustees was asked to approve a new investment advisory agreement for the Funds.

At the meeting of August 16-17, 2011, the Board considered the new investment advisory agreement, pursuant to which, subject to approval by each Fund’s shareholders, the Adviser would continue to serve each Fund as investment adviser after the completion of the Transaction. At a special meeting of the Board held on September 14, 2011, the Board considered further information about the Transaction and voted in favor of the new investment advisory agreement.

In reaching the conclusion to approve the investment advisory agreement, the Trustees requested and obtained from the Adviser such information as the Trustees deemed reasonably necessary to evaluate the proposed agreement. The Trustees carefully evaluated this information and were advised by legal counsel with respect to their deliberations.

Prior to the Board meetings in August and September 2011, representatives of Guggenheim Capital informed the Board of the Transaction. With respect to the Transaction, the Board reviewed materials received from Guggenheim Capital, including information relating to the terms of the Transaction. The Board also reviewed information regarding Guggenheim Capital, including, but not limited to: (a) certain representations concerning Guggenheim Capital’s financial condition, (b) information regarding the new proposed ownership structure and its possible effect on shareholders, (c) information regarding the consideration to be paid by Guggenheim Capital, and (d) potential conflicts of interest.

In considering the new investment advisory agreement, the Board determined that the agreement would enable shareholders of the Funds to continue to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of their shareholders. The Board, including the independent Trustees, unanimously approved the new agreement. In reaching their decision, the Trustees carefully considered information that they had received throughout the year as part of their regular oversight of the Funds, including, in particular, information from the Adviser that the Board had received relating to the current investment advisory agreement at the Board meeting of August 16-17, 2011. The Trustees noted that, at the meeting, they had obtained and reviewed a wide variety of information, including certain comparative information regarding performance of the Funds relative to performance of other comparable mutual funds. They also considered the evolution of the Rydex|SGI family of funds and the Adviser since the change in control of the Investment Adviser in 2010 and Guggenheim Capital’s commitment to the success of the Adviser and the Funds.

In addition, as a part of their required consideration of the renewal of the current investment advisory agreement at the meeting of August 16-17, 2011, the Trustees, including the independent Trustees, had evaluated a number of considerations, including among others: (a) the quality of the Advisers’ investment advisory and other services; (b) the Advisers’ investment management personnel; (c) the Advisers’ operations and financial condition; (d) the Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the fees that the Advisers charge compared with the fees charged to comparable mutual funds or accounts; (f) each Fund’s overall fees and operating expenses compared with similar mutual funds; (g) the level of the Advisers’ profitability from its

ANNUAL REPORT 33

SUPPLEMENTAL INFORMATION (Unaudited) (concluded)

Fund-related operations; (h) the Advisers’ compliance systems; (i) the Advisers’ policies on and compliance procedures for personal securities transactions; (j) the Advisers’ reputation, expertise and resources in the financial markets; and (k) Fund performance compared with similar mutual funds. Based on the Board’s deliberations at the meetings of August 16-17, 2011 and September 14, 2011, and its evaluation of the information regarding the Transaction and the fact that the Transaction is not expected to change the level and quality of services rendered by the Adviser to any of the Funds, the Board, including all of the independent Trustees, unanimously: (a) concluded that terms of the current and new investment advisory agreement are fair and reasonable; (b) concluded that the Adviser’s fees were reasonable in light of the services that they provide to the Funds; and (c) agreed to approve the current investment advisory agreement and, subject to shareholder approval, the new investment advisory agreement, based upon the following considerations, among others:

•  Nature, Extent and Quality of Services Provided by the Adviser. At the meeting of August 16-17, 2011, the Board reviewed the scope of services to be provided by the Adviser under the current investment advisory agreement and, at the meetings of August 16-17, 2011 and September 14, 2011, noted that there would be no significant differences between the scope of services required to be provided by the Adviser under the current investment advisory agreement and the scope of services required to be provided by the Adviser under the new investment advisory agreement. The Board noted that the key investment and management personnel of the Adviser servicing the Funds are expected to remain the same following the Transaction. The Trustees also considered Guggenheim Capital’s representations to the Board that the Adviser would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and that these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs.

•  Fund Expenses and Performance of the Funds and the Adviser. At the meeting of August 16-17, 2011, the Board had reviewed statistical information prepared by the Adviser regarding the expense ratio components and performance of each Fund. Based on the representations made by Guggenheim Capital at the meeting that the Adviser would continue to operate following the closing of the Transaction in much the same manner as it currently operates, the Board concluded that the investment performance of the Adviser was not expected to be affected by the Transaction.

•  Costs of Services Provided to the Funds and Profits Realized by the Adviser and its Affiliates. At the meeting of August 16-17, 2011, the Board had reviewed information about the profitability of the Funds to the Adviser based on the advisory fees payable under the current investment advisory agreement. At that meeting, the Board had also analyzed the Funds’ expenses, including the investment advisory fees paid to the Adviser. At the Board meeting, the Board considered the fact that the fee rates payable to the Adviser would be the same under each Fund’s new investment advisory agreement as they are under such Fund’s current agreement. With respect to anticipated profitability, the Board noted that it was too early to predict how the Transaction would affect the Adviser’s profitability with respect to the Funds, but noted that this matter would be given further consideration on an ongoing basis.

•  Economies of Scale. In connection with its review of the Funds’ profitability analysis at the meeting of August 16-17, 2011, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds’ asset levels. The Trustees noted that the fees would not change under the new investment advisory agreement, and that no additional economies of scale would be directly realized as a result of the Transaction. They also noted that they will have the opportunity to again review the appropriateness of the fees payable to the Adviser under the new agreement when the renewal of the new agreement comes before the Board.

•  Other Benefits to the Adviser and/or its Affiliates. In addition to evaluating the services provided by the Adviser, the Board had considered the nature, extent, quality and cost of the distribution services performed by the Funds’ Distributor under a separate agreement at the meeting of August 16-17, 2011. The Board reviewed information regarding potential economies of scale arising from the integration of the asset management businesses of Guggenheim Capital. The Board also considered the terms of the Transaction and the changes to the corporate ownership structure of the Adviser, noting that the Adviser would no longer be a subsidiary of Security Benefit Corporation. In this regard, the Board noted that, under the corporate structure after the Transaction, the Adviser would be more closely controlled by Guggenheim Capital, which could benefit Guggenheim Capital. The Board also noted that the costs associated with the Transaction would be borne by Guggenheim Capital (or its affiliates) and not the Funds.

On the basis of the information provided to it and its evaluation of that information, the Board, including the independent Trustees, concluded that the terms of the investment advisory and investment sub-advisory agreements for the Funds were reasonable, and that approval of the current and new investment advisory agreement was in the best interests of the Funds.

34

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other Trusts of SGI, 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 800.820.0888.

All Trustees and Officers may be reached c/o Security Global Investors, 805 King Farm Boulevard, Suite 600, Rockville, MD 20850.

INDEPENDENT TRUSTEES

	Length of Service
Name, Position and	As Trustee
Year of Birth	(Year Began)	Number of Funds Overseen
Corey A. Colehour Trustee (1945)	Rydex Series Funds – 1993 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Audit and Governance and Nominating Committees (1995 to present)
J. Kenneth Dalton Trustee (1941)	Rydex Series Funds – 1995 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
John O. Demaret Trustee, Chairman of the Board (1940)	Rydex Series Funds – 1997 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)
Werner E. Keller Trustee, Vice Chairman of the Board (1940)	Rydex Series Funds – 2005 Rydex Variable Trust – 2005 Rydex Dynamic Funds – 2005 Rydex ETF Trust – 2005		150
Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)
Thomas F. Lydon, Jr. Trustee (1960)	Rydex Series Funds – 2005 Rydex Variable Trust – 2005 Rydex Dynamic Funds – 2005 Rydex ETF Trust – 2005		150
Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)
Patrick T. McCarville Trustee (1942)	Rydex Series Funds – 1997 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Retired; CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present);Member of the Audit Committee (1997 to present)
Roger Somers Trustee (1944)	Rydex Series Funds – 1993 Rydex Variable Trust – 1998 Rydex Dynamic Funds – 1999 Rydex ETF Trust – 2003		150
Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (1995 to present)

ANNUAL REPORT 35

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)

EXECUTIVE OFFICERS

Name, Position and
Year of Birth	Principal Occupations During Past Five Years
Richard M. Goldman* President (1961)	Current: Senior Vice President, Security Benefit Corporation; CEO, Security Benefit Asset Management Holdings, LLC; CEO, President and Manager Representative, Security Investors, LLC; CEO and Manager, Rydex Holdings, LLC; CEO, President and Manager, Rydex Distributors, LLC; Manager, Rydex Fund Services, LLC; President and Trustee, Rydex Series Funds, Rydex ETF Trust, Rydex Dynamic Funds and Rydex Variable Trust
	Previous: Director, First Security Benefit Life Insurance Company (2007-2010); President and Director, Security Global Investors (2010-2011); CEO and Director, Rydex Advisors, LLC and Rydex Advisor II, LLC (2010); Director, Security Distributors, Inc. (2007-2009); Managing Member, R M Goldman Partners, LLC (2006-2007)
Michael P. Byrum* Vice President (1970)	Current: President, Security Benefit Asset Management Holdings, LLC; Senior Vice President, Security Investors, LLC; President and Chief Investment Officer, Rydex Holdings, LLC; Director and Chairman of the Board, Advisor Research Center, Inc.; Manager, Rydex Specialized Products, LLC
	Previous: Rydex Distributors, LLC (f/k/a Rydex Distributors, Inc.), Vice President (2009); Rydex Fund Services, LLC, Director (2009-2010), Secretary (2002-2010), Executive Vice President (2002-2006); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010); Secretary (2002-2010); Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010), Secretary (2002-2010); Rydex Capital Partners, LLC, (President and Secretary 2003-2007); Rydex Capital Partners II, LLC, (2003-2007); Rydex Holdings, LLC (f/k/a Rydex Holdings, Inc.), Secretary 2005-2008), Executive Vice President (2005-2006); Advisor Research Center, Inc., Secretary (2006-2009), Executive Vice President (2006); Rydex Specialized Products, LLC, Secretary (2005-2008)
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Benefit Asset Management Holdings, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006-2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) and Senior Vice President (2003-2006); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)

36

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

EXECUTIVE OFFICERS (concluded)

Name, Position and
Year of Birth	Principal Occupations During Past Five Years
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966)	Current: Chief Compliance Officer and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; Senior Vice President and Chief Compliance Officer, Security Investors, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC and Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Keith A. Fletcher* Vice President (1958)	Current: Senior Vice President, Security Investors, LLC; Vice President, Rydex Holdings, LLC; Vice President, Rydex Specialized Products, LLC; Vice President, Rydex Distributors, LLC; Vice President, Rydex Fund Services, LLC; Vice President and Director, Advisor Research Center, Inc.; Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)
Amy J. Lee* Vice President and Assistant Secretary (1961)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap l Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)

*  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 Security Global Investors.

Rydex Funds, Rydex ï SGI Funds, Rydex Investments, Rydex Distributors, Inc., Security Investors, LLC, Security Global Investors, LLC, Security Distributors, Inc. and Rydex Advisory Services (Collectively “Rydex”)

Our Commitment to You

When you become a Rydex ï SGI investor, you entrust us with not only your hard-earned money but also with personal and financial information about you. We recognize that your relationship with us is based on trust and that you expect us to act responsibly and in your best interests. Because we have access to this private information about you, we hold ourselves to the highest standards in its safekeeping and use. This means, most importantly, that we do not sell client information to anyone – whether it is your personal information or if you are a current or former Rydex ï SGI client.

The Information We Collect About You

In the course of doing business with shareholders and investors, we collect nonpublic personal information about you. You typically provide personal information when you complete a Rydex ï SGI account application or when you request a transaction that involves Rydex and Rydex ï SGI funds or one of the Rydex ï SGI affiliated companies. “Nonpublic personal information” is personally identifiable private information about you. For example, it includes information regarding your name and address, Social Security or taxpayer identification number, assets, income, account balance, bank account information and investment activity (e.g., purchase and redemption history).

How We Handle Your Personal Information

As emphasized above, we do not sell information about current or former clients or their accounts to third parties. Nor do we share such information, except when necessary to complete transactions at your request or to make you aware of related investment products and services that we offer. Additional details about how we handle your personal information are provided below. To complete certain transactions or account changes that you direct, it may be necessary to provide identifying information to companies, individuals or groups that are not affiliated with Rydex ï SGI. For example, if you ask to transfer assets from another financial institution to Rydex ï SGI, we will need to provide certain information about you to that company to complete the transaction. To alert you to other Rydex ï SGI investment products and services, we may share your information within the Rydex ï SGI family of affiliated companies. This would include, for example, sharing your information within Rydex ï SGI so we can make you aware of new Rydex and Rydex ï SGI funds or the services offered through another Rydex ï SGI affiliated company. In certain instances, we may contract with nonaffiliated companies to perform services for us. Where necessary, we will disclose information we have about you to these third parties. In all such cases, we provide the third party with only the information necessary to carry out its assigned responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. In certain instances, we may share information with other financial institutions regarding individuals and entities in response to the U.S.A. Patriot Act. Finally, we will release information about you if you direct us to do so, if we are compelled by law to do so or in other circumstances permitted by law.

Opt Out Provisions

We do not sell your personal information to anyone. The law allows you to “opt out” of only certain kinds of information sharing with third parties. The firm does not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Rydex ï SGI web site offers customized features that require our use of “http cookies” – tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Rydex ï SGI web site. We do not use

them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

We restrict access to nonpublic personal information about shareholders to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.

We’ll Keep You Informed

As required by federal law, we will notify shareholders of our privacy policy annually. We reserve the right to modify this policy at any time, but rest assured that if we do change it, we will tell you promptly. You will also be able to access our privacy policy from our web site at www.rydex-sgi.com. Should you have any questions regarding our privacy policy, contact us at 800.820.0888 or 301.296.5100.

805 KING FARM BLVD.

SUITE 600

ROCKVILLE, MD 20850

800.820.0888

www.rydex-sgi.com

ETF3-ANN-1011X1012

Item 2. Code of Ethics.

The registrant’s Board of Trustees has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. 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, 2011 and October 31, 2010 were $322,000 and $266,000, 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, 2011 and October 31, 2010 were $74,250 and $76,250, respectively.

(e) The audit committee has adopted a policy whereby audit and non-audit services performed by the registrant’s principal accountant for the registrant, its investment advisor, and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant require pre-approval in advance at regularly scheduled audit committee meetings. If such service is required between regularly scheduled audit committee meetings, the chairman of the audit committee, J. Kenneth Dalton, is authorized to pre-approve the service with full committee approval at the next scheduled meeting. There shall be no waivers of the pre-approval process. No services described in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) The aggregate non-audit fees were for 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, 2011 and October 31, 2010, and were $74,250 and $76,250, respectively.

(h) All non-audit services rendered in (g) above were pre-approved by the registrant’s audit committee. As such, the audit committee has considered these services in maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant has a separately standing Audit Committee, which includes the following independent members: John O. Demaret, Corey A. Colehour, Roger Somers, J. Kenneth Dalton, Patrick T. McCarville, Thomas F. Lydon, and Werner E. Keller.

(b) 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) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter 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.

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 6, 2012

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 6, 2012

By (Signature and Title)* /s/ Nick Bonos   Nick Bonos, Vice President and Treasurer

Date January 6, 2012

^* Print the name and title of each signing officer under his or her signature.

EX-99.CODEETH

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 Richard Goldman	February 23, 2011 Date
President
/s/ Nick Bonos Nick Bonos	February 23, 2011 Date
Treasurer
/s/ Mike Byrum Mike Byrum	February 23, 2011 Date
Chief Investment Officer

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APPENDIX A

Senior Financial Officers

As of January 1, 2011 each Trust’s senior financial officers are:

Richard Goldman
Nick Bonos
Mike Byrum

5

EX-99.CERT

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 most recent fiscal half-year (the Registrant’s second fiscal half-year in the case of an annual 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 6, 2012

/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 most recent fiscal half-year (the Registrant’s second fiscal half-year in the case of an annual 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 6, 2012

/s/ Nick Bonos  

Nick Bonos, 

Vice President and Treasurer 

EX-99.906CERT

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 6, 2012

/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 6, 2012

/s/ Nick Bonos  

Nick Bonos, 

Vice President and Treasurer