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 811-01136

SECURITY EQUITY FUND

(Exact name of registrant as specified in charter)

ONE SECURITY BENEFIT PLACE, TOPEKA, KANSAS 66636-0001
(Address of principal executive offices) (Zip code)

RICHARD M. GOLDMAN, PRESIDENT
SECURITY EQUITY FUND
ONE SECURITY BENEFIT PLACE
TOPEKA, KANSAS 66636-0001
(Name and address of agent for service)

Registrant’s telephone number, including area code: (785) 438-3000

Date of fiscal year end: September 30

Date of reporting period: September 30, 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.

Item 1. Reports to Stockholders.

SEPTEMBER 30, 2011 GI EQUITY FUND ANNUAL REPORT FUNDAMENTAL ALPHA LARGE CAP CORE FUND ALL CAP VALUE FUND MID CAP VALUE FUND MID CAP VALUE INSTITUTIONAL FUND SMALL CAP GROWTH FUND SMALL CAP VALUE FUND LARGE CAP CONCENTRATED GROWTH FUND MSCI EAFE EQUAL WEIGHT FUND (Formerly Global Fund) OPPORTUNISTIC ALPHA OPPORTUNITY FUND

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This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

Distributed by Rydex Distributors, LLC.

TABLE OF CONTENTS

ABOUT SHAREHOLDERS’ FUND EXPENSES	2
LARGE CAP CORE FUND	6
ALL CAP VALUE FUND	15
MID CAP VALUE FUND	24
MID CAP VALUE INSTITUTIONAL FUND	33
SMALL CAP GROWTH FUND	41
SMALL CAP VALUE FUND	50
LARGE CAP CONCENTRATED GROWTH FUND	59
MSCI EAFE EQUAL WEIGHT FUND	67
ALPHA OPPORTUNITY FUND	85
NOTES TO FINANCIAL STATEMENTS	96
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	108
OTHER INFORMATION	109
INFORMATION ON BOARD OF DIRECTORS AND OFFICERS	113
RYDEX|SGI PRIVACY POLICIES	116

the RYDEX|SGI equity funds annual report | 1

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2011 and ending September 30, 2011.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. Therefore, the second table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.

2 | the RYDEX|SGI equity funds annual report

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending			Expenses
	Expense			Fund			Account Value		Account Value			Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 1. Based on actual Fund return3
Large Cap Core Fund
A-Class		1.25	%		(19.90	)%	$	1,000.00	$	801.05		$	5.64
B-Class		2.00	%		(20.04	)%		1,000.00		799.65			9.02
C-Class		2.00	%		(20.20	)%		1,000.00		797.95			9.01
All Cap Value Fund
A-Class		1.27	%		(21.60	)%		1,000.00		784.02			5.68
C-Class		2.02	%		(21.86	)%		1,000.00		781.35			9.02
Institutional Class		1.02	%		(21.56	)%		1,000.00		784.36			4.56
Mid Cap Value Fund
A-Class		1.32	%		(23.21	)%		1,000.00		767.90			5.85
B-Class		2.07	%		(23.47	)%		1,000.00		765.31			9.16
C-Class		2.07	%		(23.49	)%		1,000.00		765.11			9.16
Mid Cap Value Institutional Fund		0.90	%		(23.37	)%		1,000.00		766.33			3.99
Small Cap Growth Fund
A-Class		1.99	%		(22.16	)%		1,000.00		778.43			8.87
B-Class		2.75	%		(22.43	)%		1,000.00		775.72			12.24
C-Class		2.74	%		(22.44	)%		1,000.00		775.60			12.20
Small Cap Value Fund
A-Class		1.30	%		(25.35	)%		1,000.00		746.48			5.69
C-Class		2.05	%		(25.65	)%		1,000.00		743.46			8.96
Institutional Class		1.05	%		(25.24	)%		1,000.00		747.62			4.60
Large Cap Concentrated Growth Fund
A-Class		1.35	%		(18.86	)%		1,000.00		811.40			6.13
B-Class		2.10	%		(19.23	)%		1,000.00		807.69			9.52
C-Class		2.10	%		(19.16	)%		1,000.00		808.38			9.52
MSCI EAFE Equal Weight Fund
A-Class		1.65	%		(18.76	)%		1,000.00		812.40			7.50
B-Class5		1.40	%		(18.65	)%		1,000.00		813.50			6.36
C-Class		2.40	%		(19.05	)%		1,000.00		809.52			10.89
Institutional Class4		1.36	%		(21.58	)%		1,000.00		784.20			4.99
Alpha Opportunity Fund6
A-Class		2.14	%		(21.19	)%		1,000.00		788.10			9.59
B-Class		2.89	%		(21.47	)%		1,000.00		785.30			12.93
C-Class		2.89	%		(21.40	)%		1,000.00		786.00			12.94
Institutional Class		1.89	%		(21.02	)%		1,000.00		789.80			8.48

the RYDEX|SGI equity funds annual report | 3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending			Expenses
	Expense			Fund			Account Value		Account Value			Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 2. Based on hypothetical 5% return (before expenses)
Large Cap Core Fund
A-Class		1.25	%		5.00	%	$	1,000.00	$	1,018.80		$	6.33
B-Class		2.00	%		5.00	%		1,000.00		1,015.04			10.10
C-Class		2.00	%		5.00	%		1,000.00		1,015.04			10.10
All Cap Value Fund
A-Class		1.27	%		5.00	%		1,000.00		1,018.70			6.43
C-Class		2.02	%		5.00	%		1,000.00		1,014.94			10.20
Institutional Class		1.02	%		5.00	%		1,000.00		1,019.95			5.16
Mid Cap Value Fund
A-Class		1.32	%		5.00	%		1,000.00		1,018.45			6.68
B-Class		2.07	%		5.00	%		1,000.00		1,014.69			10.45
C-Class		2.07	%		5.00	%		1,000.00		1,014.69			10.45
Mid Cap Value Institutional Fund		0.90	%		5.00	%		1,000.00		1,020.56			4.56
Small Cap Growth Fund
A-Class		1.99	%		5.00	%		1,000.00		1,015.09			10.05
B-Class		2.75	%		5.00	%		1,000.00		1,011.28			13.87
C-Class		2.74	%		5.00	%		1,000.00		1,011.33			13.82
Small Cap Value Fund
A-Class		1.30	%		5.00	%		1,000.00		1,018.55			6.58
C-Class		2.05	%		5.00	%		1,000.00		1,014.79			10.35
Institutional Class		1.05	%		5.00	%		1,000.00		1,019.80			5.32
Large Cap Concentrated Growth Fund
A-Class		1.35	%		5.00	%		1,000.00		1,018.30			6.83
B-Class		2.10	%		5.00	%		1,000.00		1,014.54			10.61
C-Class		2.10	%		5.00	%		1,000.00		1,014.54			10.61
MSCI EAFE Equal Weight Fund
A-Class		1.65	%		5.00	%		1,000.00		1,016.80			8.34
B-Class5		1.40	%		5.00	%		1,000.00		1,018.05			7.08
C-Class		2.40	%		5.00	%		1,000.00		1,013.04			12.11
Institutional Class4		1.36	%		5.00	%		1,000.00		1,018.25			6.88
Alpha Opportunity Fund6
A-Class		2.14	%		5.00	%		1,000.00		1,014.34			10.81
B-Class		2.89	%		5.00	%		1,000.00		1,010.58			14.57
C-Class		2.89	%		5.00	%		1,000.00		1,010.58			14.57
Institutional Class		1.89	%		5.00	%		1,000.00		1,015.59			9.55

1	Annualized
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2011 to September 30, 2011.
4	Expenses paid based on actual fund return are calculated using 150 days from the commencement of operations, May 2, 2011. Expenses paid based on the hypothetical 5% return are calculated using 183 days.
5	B-Class shares did not charge 12b-1 fees during the period.
6	This ratio represents annualized net expenses, which includes interest and dividend expense related to securities sold short. Excluding short dividend expense and prime broker interest expense, the operating expense ratio would be 0.03%, 0.03%, 0.03%, and 0.03% lower for the A-Class, B-Class, C-Class, and Institutional Class, respectively.

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MANAGERS’ COMMENTARY (Unaudited) September 30, 2011

Advised by:

To Our Shareholders:

For the 12 months ended September 30, 2011, the Rydex|SGI Equity Fund—Large Cap Core Fund returned -4.11%¹, while the Fund’s benchmark, the S&P 500^® Index, had a 1.14% return.

The Fund pursues its objective by investing 50% of its total assets according to a large cap growth strategy and approximately 50% to a large cap value strategy. The managers rebalance the Fund if either strategy equals or exceeds 60% of total assets. The managers use a blended approach, investing in growth stocks and value stocks, and may invest in a limited number of industries and sectors.

The large cap growth manager chooses growth-oriented companies through a combination of a qualitative top-down approach in reviewing growth trends that are based on several fixed income factors, along with a quantitative fundamental bottom-up approach. The large cap value manager chooses securities of companies that appear to be undervalued relative to assets, growth potential and cash flow. The managers sell a security when the reasons for buying it no longer apply or when the company begins to show deteriorating fundamentals or poor performance.

The benefit of having Financials sector holdings relatively outperform Index counterparts was not enough to offset the poor security selection in the Information Technology and Health Care sectors. The portfolio weight in the Financials sector, the largest contributor to the portfolio’s return, was in line with that of the Index, but Financials holdings in the portfolio outperformed those in the benchmark. The Information Technology and Health Care sectors were the main detractors from overall portfolio performance. Both sectors had slightly smaller allocations compared with the benchmark, and in both, performance lagged markedly.

The holdings contributing most to return were Apple, Inc., which returned 34%, and U.S. Bancorp, which returned 11%. The main detractors were Computer Sciences Corp., which fell 40%, and JPMorgan Chase & Co., which lost 20%.

From the growth perspective, our indicators are not particularly positive, so we expect to keep the beta of our portion of the portfolio similar to that of the benchmark. We will remain in cyclical names within certain sectors where the dollar’s strength is a tailwind, such as the consumer cyclical sector. We do anticipate that Europe will eventually provide a strong response to its sovereign crisis which should lift the markets.

In the value side of the portfolio, factors expected to affect markets going forward include the trend in corporate earnings, resolution to the European sovereign debt crisis and developments in the U.S. economic recovery as a result of the ongoing budget discussions. We expect the world macroeconomic situation to remain unsettled in the near future and are focused on searching for companies that are underpriced relative to their intrinsic value as determined through our systematic, bottom-up, fundamental-research analysis process.

We appreciate your business and the trust you place in us.

Sincerely,

Mark A. Mitchell, CFA, Portfolio Manager

Mark Bronzo, CFA, Portfolio Manager

6 | the RYDEX|SGI equity funds annual report

MANAGERS’ COMMENTARY (Unaudited) (concluded)

The opinions and forecasts expressed are those of the individuals listed above 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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

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.

the RYDEX|SGI equity funds annual report | 7

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

LARGE CAP CORE FUND

OBJECTIVE: Seeks long-term growth of capital.

Cumulative Fund Performance

The S&P 500^® Index is an unmanaged index composed of 500 selected common stocks that represent approximately two-thirds of the total market value of all U.S. common stocks.

Average Annual Returns*
Periods Ended 9/30/11

	1 Year			5 Year			10 Year
A-Class		-4.11	%		-4.11	%		-0.32	%
A-Class with sales charge†		-9.66	%		-5.24	%		-0.91	%
B-Class		-4.93	%		-4.83	%		-0.95	%
B-Class with CDSC††		-9.68	%		-5.11	%		-0.95	%
C-Class		-4.82	%		-4.80	%		-1.06	%
C-Class with CDSC†††		-5.77	%		-4.80	%		-1.06	%
S&P 500 Index		1.14	%		-1.18	%		2.82	%

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	September 10, 1962
B-Class	October 19, 1993
C-Class	January 29, 1999

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	3.1	%
Wells Fargo & Co.	3.0	%
Google, Inc. — Class A	2.8	%
Covidien plc	2.5	%
QUALCOMM, Inc.	2.3	%
Equifax, Inc.	2.1	%
Halliburton Co.	2.0	%
International Business Machines Corp.	2.0	%
Coca-Cola Co.	2.0	%
McDonald’s Corp.	1.9	%
Top Ten Total	23.7	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of up to 5% if redeemed within 5 years of purchase.
†††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

8 | the RYDEX|SGI equity funds annual report

SCHEDULE OF INVESTMENTS	September 30, 2011
LARGE CAP CORE FUND

	Shares		Value
COMMON STOCKS† - 95.4%
Information Technology - 20.7%
Apple, Inc.*		13,215	$	5,037,294
Google, Inc. — Class A*		8,985		4,621,704
QUALCOMM, Inc.		78,090		3,797,517
International Business Machines Corp.		18,800		3,290,564
Dell, Inc.*		199,710		2,825,896
Western Union Co.		155,900		2,383,711
Avago Technologies Ltd.		69,380		2,273,583
TE Connectivity Ltd.		75,400		2,121,756
Cognizant Technology Solutions Corp. — Class A*		30,830		1,933,041
Computer Sciences Corp.		70,200		1,884,870
Cisco Systems, Inc.		86,900		1,346,081
Hewlett-Packard Co.		50,716		1,138,574
Visa, Inc.		12,100		1,037,212
Total Information Technology				33,691,803
Consumer Discretionary - 14.9%
McDonald’s Corp.		36,360		3,193,135
TJX Companies, Inc.		55,260		3,065,272
Starbucks Corp.		80,200		2,990,658
Nordstrom, Inc.		65,130		2,975,139
Priceline.com, Inc.*		5,690		2,557,427
BorgWarner, Inc.*		40,350		2,442,386
Lowe’s Companies, Inc.		123,300		2,384,622
Time Warner, Inc.		70,066		2,099,878
Wynn Resorts Ltd.		17,200		1,979,376
Best Buy Company, Inc.		25,400		591,820
Total Consumer Discretionary				24,279,713
Industrials - 14.1%
Equifax, Inc.		108,500		3,335,290
United Parcel Service, Inc. — Class B		46,340		2,926,371
Precision Castparts Corp.		18,080		2,810,717
Eaton Corp.		72,430		2,571,265
Honeywell International, Inc.		57,390		2,519,995
CSX Corp.		131,750		2,459,772
Republic Services, Inc.		61,700		1,731,302
United Technologies Corp.		21,000		1,477,560
URS Corp.*		37,900		1,124,114
Parker Hannifin Corp.		11,100		700,743
FedEx Corp.		10,200		690,336
USG Corp.*		66,400		446,872
Babcock & Wilcox Co.*		4,821		94,251
Total Industrials				22,888,588
Financials - 11.5%
Wells Fargo & Co.		201,328		4,856,031
Aon Corp.		58,700		2,464,226
U.S. Bancorp		96,126		2,262,806
MetLife, Inc.		74,160		2,077,222
Berkshire Hathaway, Inc. — Class A*		16		1,708,800
JPMorgan Chase & Co.		41,770		1,258,112
Allstate Corp.		49,800		1,179,762
BB&T Corp.		51,212		1,092,352
Bank of New York Mellon Corp.		49,800		925,782
State Street Corp.		24,000		771,840
First Marblehead Corp.*		97,760		99,715
Total Financials				18,696,648
Energy - 11.4%
Halliburton Co.		108,770		3,319,660
Chevron Corp.1		32,240		2,982,845
Baker Hughes, Inc.		50,660		2,338,466
National Oilwell Varco, Inc.		43,000		2,202,460
Williams Companies, Inc.		85,500		2,081,070
McDermott International, Inc.*		183,500		1,974,460
Apache Corp.		15,600		1,251,744
ConocoPhillips		14,400		911,808
Chesapeake Energy Corp.		35,400		904,470
Exxon Mobil Corp.		8,600		624,618
Total Energy				18,591,601
Health Care - 10.2%
Covidien plc		93,520		4,124,232
Johnson & Johnson		46,400		2,956,144
Gilead Sciences, Inc.*		75,350		2,923,580
Aetna, Inc.		68,300		2,482,705
Hospira, Inc.*		44,100		1,631,700
Forest Laboratories, Inc.*		33,800		1,040,702
UnitedHealth Group, Inc.		16,200		747,144
Medco Health Solutions, Inc.*		14,800		693,972
Total Health Care				16,600,179
Consumer Staples - 6.3%
Coca-Cola Co.		47,400		3,202,344
CVS Caremark Corp.		67,400		2,263,292
Wal-Mart Stores, Inc.		31,800		1,650,420
Kraft Foods, Inc. — Class A		43,100		1,447,298
Bunge Ltd.		17,000		990,930
Costco Wholesale Corp.		9,200		755,504
Total Consumer Staples				10,309,788
Materials - 4.3%
CF Industries Holdings, Inc.		18,060		2,228,423
EI du Pont de Nemours & Co.		53,400		2,134,398
Bemis Company, Inc.		45,600		1,336,536
Dow Chemical Co.		59,300		1,331,878
Total Materials				7,031,235
Utilities - 1.5%
Edison International		64,700		2,474,775
Telecommunication Services - 0.5%
Windstream Corp.		75,500		880,330
Total Common Stocks (Cost $167,576,027)				155,444,660

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 9

SCHEDULE OF INVESTMENTS (concluded)	September 30, 2011
LARGE CAP CORE FUND

	Shares		Value
EXCHANGE TRADED FUND† - 0.7%
iShares Russell 1000 Value Index Fund		20,200	$	1,143,118
Total Exchange Traded Fund (Cost $1,160,304)				1,143,118
Total Investments - 96.1% (Cost $168,736,331)			$	156,587,778
	Contracts
OPTIONS WRITTEN† - 0.0%
Put Options on:
State Street Corp.
Expiring October 2011 with strike price of $31.00		119		(16,898	)
Total Options Written (Premiums received $21,832)				(16,898	)
Cash & Other Assets, Less Liabilities - 3.9%				6,382,265
Total Net Assets - 100.0%			$	162,953,145

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	All or a portion of this security is pledged as collateral for open options written at September 30, 2011.
	ADR — American Depositary Receipt
	plc — Public Limited Company

See Notes to Financial Statements.

10 | the RYDEX|SGI equity funds annual report

LARGE CAP CORE FUND

STATEMENT OF ASSETS AND LIABILITIES
September 30, 2011
Assets:
Investments, at value (cost $168,736,331)	$	156,587,778
Cash		6,178,228
Prepaid expenses		17,963
Receivables:
Securities sold		3,115,263
Dividends		149,443
Fund shares sold		10,899
Total assets		166,059,574
Liabilities:
Options written, at value (premiums received $21,832)		16,898
Payable for:
Securities purchased		2,767,188
Management fees		106,769
Distribution and service fees		40,049
Fund shares redeemed		39,282
Transfer agent/maintenance fees		37,330
Fund accounting/administration fees		13,524
Directors’ fees*		1,021
Miscellaneous		84,368
Total liabilities		3,106,429
Net assets	$	162,953,145
Net assets consist of:
Paid in capital	$	193,848,138
Undistributed net investment income		13,084
Accumulated net realized loss on investments		(18,764,458	)
Net unrealized depreciation on investments		(12,143,619	)
Net assets	$	162,953,145
A-Class:
Net assets	$	156,232,059
Capital shares outstanding		9,303,333
Net asset value per share	$	16.79
Maximum offering price per share (Net asset value divided by 95.25%)	$	17.63
B-Class:
Net assets	$	5,120,954
Capital shares outstanding		374,153
Net asset value per share	$	13.69
C-Class:
Net assets	$	1,600,132
Capital shares outstanding		108,064
Net asset value per share	$	14.81

STATEMENT OF OPERATIONS
Year Ended September 30, 2011
Investment Income:
Dividends	$	2,784,522
Interest		1,383
Total investment income		2,785,905
Expenses:
Management fees		1,482,362
Transfer agent/maintenance fees		394,716
Distribution and service fees:
A-Class		472,000
B-Class		68,139
C-Class		20,342
Fund accounting/administration fees		187,763
Directors’ fees*		16,673
Miscellaneous		89,690
Total expenses		2,731,685
Net investment income		54,220
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		15,933,509
Net realized gain		15,933,509
Net change in unrealized appreciation (depreciation) on:
Investments		(21,389,379	)
Options written		(7,733	)
Net change in unrealized appreciation (depreciation)		(21,397,112	)
Net realized and unrealized loss		(5,463,603	)
Net decrease in net assets resulting from operations	$	(5,409,383	)

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 11

LARGE CAP CORE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	54,220		$	505,424
Net realized gain on investments		15,933,509			6,646,343
Net change in unrealized appreciation (depreciation) on investments		(21,397,112	)		8,023,383
Net increase (decrease) in net assets resulting from operations		(5,409,383	)		15,175,150
Distributions to shareholders from:
Net investment income
A-Class		(546,823	)		—
Total distributions to shareholders		(546,823	)		—
Capital share transactions:
Proceeds from sale of shares
A-Class		9,715,889			12,543,804
B-Class		1,180,154			2,379,823
C-Class		177,237			266,313
Distributions reinvested
A-Class		502,041			—
Cost of shares redeemed
A-Class		(22,520,161	)		(27,969,578	)
B-Class		(2,775,354	)		(3,966,116	)
C-Class		(716,944	)		(514,992	)
Net decrease from capital share transactions		(14,437,138	)		(17,260,746	)
Net decrease in net assets		(20,393,344	)		(2,085,596	)
Net assets:
Beginning of year		183,346,489			185,432,085
End of year	$	162,953,145		$	183,346,489
Undistributed net investment income at end of year	$	13,084		$	505,424
Capital share activity:1
Shares sold
A-Class		493,303			736,887
B-Class		73,162			171,540
C-Class		10,210			17,562
Shares issued from reinvestment of distributions
A-Class		26,342			—
Shares redeemed
A-Class		(1,144,274	)		(1,630,932	)
B-Class		(172,978	)		(279,623	)
C-Class		(40,853	)		(33,966	)
Net decrease in shares		(755,088	)		(1,018,532	)

¹ The share activity for the year ended September 30, 2010 and the period October 1, 2010 through April 8, 2011 has been restated to reflect a 1:4 reverse share split effective April 8, 2011 — See Note 11.

See Notes to Financial Statements.

12 | the RYDEX|SGI equity funds annual report

LARGE CAP CORE FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each year and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2011d			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	17.56		$	16.20		$	17.04		$	27.36		$	27.40
Income (loss) from investment operations:
Net investment incomea		.01			.04			.04			.04			—	b
Net gain (loss) on investments (realized and unrealized)		(.74	)		1.32			(.80	)		(6.44	)		2.76
Total from investment operations		(.73	)		1.36			(.76	)		(6.40	)		2.76
Less distributions from:
Net investment income		(.04	)		—			(.04	)		—			—
Net realized gains		—			—			—			(3.88	)		(2.80	)
Return of capital		—			—			(.04	)		(.04	)		—
Total distributions		(.04	)		—			(.08	)		(3.92	)		(2.80	)
Net asset value, end of period	$	16.79		$	17.56		$	16.20		$	17.04		$	27.36
Total Returnc		(4.11	)%		8.40	%		(4.32	)%		(26.12	)%		10.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	156,232		$	174,371		$	175,404		$	205,908		$	322,850
Ratios to average net assets:
Net investment income		0.06	%		0.31	%		0.28	%		0.15	%		0.02	%
Total expenses		1.35	%		1.43	%		1.49	%		1.36	%		1.34	%
Portfolio turnover rate		92	%		100	%		69	%		111	%		20	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2011d			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	14.40		$	13.36		$	14.12		$	23.56		$	24.16
Income (loss) from investment operations:
Net investment lossa		(.11	)		(.08	)		(.04	)		(.12	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		(.60	)		1.12			(.68	)		(5.40	)		2.36
Total from investment operations		(.71	)		1.04			(.72	)		(5.52	)		2.20
Less distributions from:
Net realized gains		—			—			—			(3.88	)		(2.80	)
Return of capital		—			—			(.04	)		(.04	)		—
Total distributions		—			—			(.04	)		(3.92	)		(2.80	)
Net asset value, end of period	$	13.69		$	14.40		$	13.36		$	14.12		$	23.56
Total Returnc		(4.93	)%		7.78	%		(4.96	)%		(26.69	)%		9.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,121		$	6,817		$	7,784		$	10,621		$	19,928
Ratios to average net assets:
Net investment loss		(0.70	)%		(0.48	)%		(0.46	)%		(0.61	)%		(0.74	)%
Total expenses		2.10	%		2.17	%		2.24	%		2.11	%		2.09	%
Portfolio turnover rate		92	%		100	%		69	%		111	%		20	%

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 13

LARGE CAP CORE FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each year and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2011d			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	15.56		$	14.48		$	15.24		$	25.12		$	25.56
Income (loss) from investment operations:
Net investment lossa		(.12	)		(.08	)		(.04	)		(.12	)		(.20	)
Net gain (loss) on investments (realized and unrealized)		(.63	)		1.16			(.68	)		(5.84	)		2.56
Total from investment operations		(.75	)		1.08			(.72	)		(5.96	)		2.36
Less distributions from:
Net realized gains		—			—			—			(3.88	)		(2.80	)
Return of capital		—			—			(.04	)		(.04	)		—
Total distributions		—			—			(.04	)		(3.92	)		(2.80	)
Net asset value, end of period	$	14.81		$	15.56		$	14.48		$	15.24		$	25.12
Total Returnc		(4.82	)%		7.46	%		(4.60	)%		(26.79	)%		9.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,600		$	2,158		$	2,244		$	2,915		$	5,048
Ratios to average net assets:
Net investment loss		(0.70	)%		(0.44	)%		(0.47	)%		(0.60	)%		(0.73	)%
Total expenses		2.10	%		2.18	%		2.24	%		2.11	%		2.09	%
Portfolio turnover rate		92	%		100	%		69	%		111	%		20	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Net investment income is less than $0.01 per share.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Per share amounts for periods ended September 30, 2007 — September 30, 2010 and the period October 1, 2010 through April 8, 2011 have been restated to reflect 1:4 share split effective April 8, 2011.

See Notes to Financial Statements.

14 | the RYDEX|SGI equity funds annual report

MANAGERS’ COMMENTARY (Unaudited) September 30, 2011

Advised by:   

To Our Shareholders:

For the 12-month period ended September 30, 2011, the Rydex|SGI Equity Fund—All Cap Value Fund returned -5.93%¹, while the Fund’s benchmark, the Russell 3000^® Value Index, had a -2.22% return.

Our strategy is to select securities of small- to large-sized companies that appear undervalued by the overall market relative to assets, earnings, growth potential or cash flows. Our investment approach is a defined and disciplined process with three key philosophical tenets that drive our investment decisions: a valuation focus, a long-term investment horizon and an opportunistic approach.

Our investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and a corresponding valuation target for each company. We construct the portfolio based on the level of conviction generated by the bottom-up analysis and the upside/downside profile associated with each company.

The portfolio’s performance was helped by being underweight the poorly performing Financials sector and good stock selection in a solidly performing Energy sector. However, these benefits were not enough to offset the effects of poor stock selection in Industrials and Information Technology. The portfolio’s Industrials and Technology holdings as a group lost 13% and 18%, respectively, compared with a loss of about 5% for the Industrials and Technology names in the Index. The portfolio also had nearly twice the allocation to Industrials as the Index.

The Energy sector has experienced some heavy selling pressure in recent months, but we have conviction in our holdings in this sector because of what we believe are reinvestment opportunities in excess of 50%. Most other segments in the market don’t have such attractive return profiles. Our process favors companies with average stability/profit visibility at the expense of more economically sensitive names, a stance which held back portfolio performance early in the period. However, we did shift slightly out of defensive names in Utilities, Health Care and Consumer Staples and began to invest in more cyclical names in the third quarter of 2011 to take advantage of opportunities where we saw value.

The Financials sector contributed most to the Fund’s return over the period. Although the portfolio was underweight Financials (an 18% weighting versus 27% for the Index), our holdings performed better than those in the Index.

Industrials and Information Technology detracted the most from the Fund’s return for the period. Security selection was a major factor in the two sectors’ relative underperformance.

The holdings contributing most to portfolio performance over the period were J.C. Penney & Company, Inc., which returned 32%; and Williams Companies, Inc., an Energy stock that returned 31%. The main detractors were two Technology positions—Computer Sciences Corp., which fell 40%, and Hewlett-Packard Co., which fell 46%.

the RYDEX|SGI equity funds annual report | 15

MANAGERS’ COMMENTARY (Unaudited) (concluded) September 30, 2011

Factors expected to affect markets going forward include the trend in corporate earnings, resolution to the European sovereign debt crisis and developments in the U.S. economic recovery as a result of the ongoing budget discussions. We expect the world macroeconomic situation to remain unsettled in the near future and are focused on searching for companies that are underpriced relative to their intrinsic value as determined through our systematic, bottom-up, fundamental-research analysis process.

Through periods of uncertainty, we believe holding companies that meet our investment criteria, and staying consistent with our philosophy and process, will benefit our investors over the long term.

We appreciate your business and the trust you place in us.

Sincerely,

James Schier, CFA, Portfolio Manager

Mark A. Mitchell, CFA, Portfolio Manager

The opinions and forecasts expressed are those of James Schier and Mark A. Mitchell 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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

The Russell 3000 Value Index measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000 companies with lower price-to-book ratios and lower forecasted growth values.

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.

16 | the RYDEX|SGI equity funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

ALL CAP VALUE FUND

OBJECTIVE: Seeks long-term growth of capital.

Cumulative Fund Performance

The Russell 3000^® Value Index is an unmanaged index that measures the performance of the broad value segment of the U.S. equity universe. It includes those Russell 3000^® companies with lower price-to-book ratios and lower forecasted growth values.

Average Annual Returns*

Periods Ended 9/30/11

				Since
				Inception
	1 Year			(10/03/08)
A-Class		-5.93	%		1.53	%
A-Class with sales charge†		-11.36	%		-0.46	%
C-Class		-6.65	%		0.80	%
C-Class with CDSC††		-7.53	%		0.80	%
Institutional Class		-5.72	%		1.79	%
Russell 3000 Value Index		-2.22	%		0.29	%

Holdings Diversification (Market Exposure
as % of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	October 3, 2008
C-Class	October 3, 2008
Institutional Class	October 3, 2008

Ten Largest Holdings (% of Total Net Assets)
Equifax, Inc.	3.7	%
Lowe’s Companies, Inc.	2.6	%
Western Union Co.	2.6	%
Chevron Corp.	2.5	%
TE Connectivity Ltd.	2.4	%
Edison International	2.3	%
Time Warner, Inc.	2.2	%
ConocoPhillips	2.1	%
CVS Caremark Corp.	2.1	%
Computer Sciences Corp.	2.1	%
Top Ten Total	24.6	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 3000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

the RYDEX|SGI equity funds annual report | 17

SCHEDULE OF INVESTMENTS	September 30, 2011
ALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 96.0%
Financials - 18.4%
Aon Corp.		1,334	$	56,001
Berkshire Hathaway, Inc. — Class B*		770		54,701
Wells Fargo & Co.		1,872		45,153
U.S. Bancorp		1,440		33,898
American Financial Group, Inc.		1,050		32,623
Hanover Insurance Group, Inc.		914		32,447
WR Berkley Corp.		1,066		31,650
JPMorgan Chase & Co.		1,010		30,421
Allstate Corp.		1,270		30,086
BB&T Corp.		1,335		28,476
Bank of New York Mellon Corp.		1,330		24,725
State Street Corp.		700		22,512
Alleghany Corp.		53		15,291
Reinsurance Group of America, Inc.		294		13,509
Transatlantic Holdings, Inc.		200		9,704
Fifth Street Finance Corp.		990		9,227
Employers Holdings, Inc.		719		9,174
RenaissanceRe Holdings Ltd.		140		8,932
Old National Bancorp		713		6,645
Investors Real Estate Trust		900		6,480
Ocwen Financial Corp.*		440		5,812
Associated Banc-Corp.		544		5,059
Endurance Specialty Holdings Ltd.		130		4,440
First Marblehead Corp.*		2,819		2,875
Total Financials				519,841
Industrials - 15.8%
Equifax, Inc.		3,365		103,440
Republic Services, Inc.		1,900		53,314
United Technologies Corp.		530		37,291
URS Corp.*		1,000		29,660
Quanta Services, Inc.*		1,340		25,179
Covanta Holding Corp.		1,510		22,937
GeoEye, Inc.*		720		20,412
Parker Hannifin Corp.		252		15,909
FedEx Corp.		217		14,687
Orbital Sciences Corp.*		1,095		14,016
FTI Consulting, Inc.*		380		13,988
Trex Company, Inc.*		829		13,289
General Cable Corp.*		510		11,908
Navigant Consulting, Inc.*		1,245		11,541
Insituform Technologies, Inc. — Class A*		880		10,190
USG Corp.*		1,454		9,785
Saia, Inc.*		882		9,279
Force Protection, Inc.*		2,321		8,936
Atlas Air Worldwide Holdings, Inc.*		175		5,826
DryShips, Inc.*		2,120		4,961
ICF International, Inc.*		199		3,743
Babcock & Wilcox Co.*		150		2,932
United Stationers, Inc.		94		2,561
Total Industrials				445,784
Energy - 14.7%
Chevron Corp.1		760		70,315
ConocoPhillips		960		60,787
Williams Companies, Inc.		2,160		52,574
McDermott International, Inc.*		4,638		49,905
Apache Corp.		500		40,120
Halliburton Co.		1,069		32,626
Chesapeake Energy Corp.		859		21,948
Gulfport Energy Corp.*		800		19,344
Exxon Mobil Corp.		190		13,800
Plains Exploration & Production Co.*		600		13,626
SandRidge Energy, Inc.*		1,744		9,697
Arch Coal, Inc.		600		8,748
Goodrich Petroleum Corp.*		713		8,428
Resolute Energy Corp.*		700		7,952
USEC, Inc.*		2,005		3,228
Ocean Rig UDW, Inc.*		15		233
Total Energy				413,331
Information Technology - 13.1%
Western Union Co.		4,690		71,710
TE Connectivity Ltd.		2,352		66,185
Computer Sciences Corp.		2,243		60,225
IXYS Corp.*		3,814		41,496
Cisco Systems, Inc.		2,600		40,274
Hewlett-Packard Co.		1,290		28,961
Maxwell Technologies, Inc.*		1,259		23,178
Cree, Inc.*		470		12,211
Power-One, Inc.*		2,092		9,414
Satyam Computer Services Ltd. ADR*		3,215		8,777
Symmetricom, Inc.*		1,825		7,920
Total Information Technology				370,351
Consumer Discretionary - 9.9%
Lowe’s Companies, Inc.		3,759		72,699
Time Warner, Inc.		2,087		62,547
Cabela’s, Inc.*		1,679		34,403
Best Buy Company, Inc.		800		18,640
Chico’s FAS, Inc.		1,600		18,288
Penn National Gaming, Inc.		400		13,316
Maidenform Brands, Inc.*		537		12,571
Apollo Group, Inc. — Class A		270		10,695
Scholastic Corp.		300		8,409
Brown Shoe Company, Inc.		1,063		7,569
Hanesbrands, Inc.*		300		7,503
DeVry, Inc.		140		5,174
Jack in the Box, Inc.*		210		4,183
Fred’s, Inc. — Class A		200		2,132
Total Consumer Discretionary				278,129

See Notes to Financial Statements.

18 | the RYDEX|SGI equity funds annual report

SCHEDULE OF INVESTMENTS (concluded) September 30, 2011

ALL CAP VALUE FUND

	Shares		Value
Health Care - 7.6%
Aetna, Inc.		1,449	$	52,671
Covidien plc		1,038		45,776
Hospira, Inc.*		619		22,903
Mednax, Inc.*		324		20,295
Forest Laboratories, Inc.*		630		19,398
UnitedHealth Group, Inc.		350		16,142
Medco Health Solutions, Inc.*		244		11,441
Universal Health Services, Inc. — Class B		210		7,140
Community Health Systems, Inc.*		400		6,656
Hologic, Inc.*		399		6,069
Kindred Healthcare, Inc.*		605		5,215
Total Health Care				213,706
Consumer Staples - 7.5%
CVS Caremark Corp.		1,808		60,713
Wal-Mart Stores, Inc.		800		41,520
Kraft Foods, Inc. — Class A		1,100		36,938
Bunge Ltd.		425		24,773
JM Smucker Co.		201		14,651
Hormel Foods Corp.		528		14,266
Ralcorp Holdings, Inc.*		173		13,271
Beam, Inc.*		100		5,408
Total Consumer Staples				211,540
Materials - 4.6%
Dow Chemical Co.		1,656		37,194
Bemis Company, Inc.		1,194		34,996
Owens-Illinois, Inc.*		1,070		16,178
Sonoco Products Co.		521		14,708
Louisiana-Pacific Corp.*		2,800		14,280
HB Fuller Co.		352		6,414
Zoltek Companies, Inc.*		794		5,105
Total Materials				128,875
Utilities - 3.6%
Edison International		1,680		64,260
Black Hills Corp.		500		15,320
Great Plains Energy, Inc.		497		9,592
Allete, Inc.		180		6,593
MDU Resources Group, Inc.		273		5,239
Total Utilities				101,004
Telecommunication Services - 0.8%
Windstream Corp.		1,982		23,110
Total Common Stocks (Cost $2,885,517)				2,705,671
EXCHANGE TRADED FUNDS† - 2.0%
iShares S&P 500 Value Index Fund		550		28,369
iShares Russell 1000 Value Index Fund		500		28,295
Total Exchange Traded Funds (Cost $66,134)				56,664
Total Investments - 98.0% (Cost $2,951,651)			$	2,762,335

	Contracts
OPTIONS WRITTEN† - 0.0%
Put Options on:
Northern Trust Corp.
Expiring January 2012 with strike price of $35.00		4		(1,356	)
Total Options Written (Premiums received $1,472)				(1,356	)
Cash & Other Assets, Less Liabilities - 2.0%				57,350
Total Net Assets - 100.0%			$	2,818,329

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
1	All or a portion of this security is pledged as collateral for open options written at September 30, 2011.
	ADR — American Depositary Receipt
	plc — Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 19

ALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments, at value (cost $2,951,651)	$	2,762,335
Cash		18,892
Prepaid expenses		10,572
Receivables:
Securities sold		75,673
Fund shares sold		14,630
Investment advisor		9,499
Dividends		4,413
Total assets		2,896,014
Liabilities:
Options written, at value (premiums received $1,472)		1,356
Payable for:
Fund shares redeemed		55,954
Professional fees		9,517
Securities purchased		3,545
Management fees		1,672
Distribution and service fees		1,196
Transfer agent/maintenance fees		371
Fund accounting/administration fees		227
Directors’ fees*		150
Miscellaneous		3,697
Total liabilities		77,685
Net assets	$	2,818,329
Net assets consist of:
Paid in capital	$	2,861,780
Undistributed net investment income		2,724
Accumulated net realized gain on investments		143,025
Net unrealized depreciation on investments		(189,200	)
Net assets	$	2,818,329
A-Class:
Net assets	$	1,487,348
Capital shares outstanding		150,076
Net asset value per share	$	9.91
Maximum offering price per share (Net asset value divided by 95.25%)	$	10.40
C-Class:
Net assets	$	1,030,713
Capital shares outstanding		106,080
Net asset value per share	$	9.72
Institutional Class:
Net assets	$	300,268
Capital shares outstanding		30,225
Net asset value per share	$	9.93

STATEMENT OF OPERATIONS

Year Ended September 30, 2011

Investment Income:
Dividends	$	51,628
Total investment income		51,628
Expenses:
Management fees		22,771
Transfer agent/maintenance fees		5,049
Distribution and service fees:
A-Class		4,447
C-Class		11,108
Fund accounting/administration fees		3,090
Registration fees		32,283
Professional fees		7,660
Directors’ fees*		490
Miscellaneous		10,901
Total expenses		97,799
Less:
Expenses waived by advisor		(49,063	)
Net expenses		48,736
Net investment income		2,892
Net Realized and Unrealized Gain(Loss):
Net realized gain (loss) on:
Investments		183,909
Options written		2,548
Net realized gain		186,457
Net change in unrealized appreciation (depreciation) on:
Investments		(392,366	)
Options written		(331	)
Net change in unrealized appreciation (depreciation)		(392,697	)
Net realized and unrealized loss		(206,240	)
Net decrease in net assets resulting from operations	$	(203,348	)

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

20 | The RYDEX | SGI equity funds annual report See Notes to Financial Statements.

ALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	2,892		$	3,935
Net realized gain on investments		186,457			140,388
Net change in unrealized appreciation (depreciation) on investments		(392,697	)		54,786
Net increase (decrease) in net assets resulting from operations		(203,348	)		199,109
Distributions to shareholders from:
Net investment income
A-Class		(2,929	)		(1,974	)
Institutional Class		(1,040	)		(1,736	)
Net realized gains
A-Class		(89,465	)		—
C-Class		(51,878	)		—
Institutional Class		(18,694	)		—
Total distributions to shareholders		(164,006	)		(3,710	)
Capital share transactions:
Proceeds from sale of shares
A-Class		509,310			1,353,803
C-Class		500,554			464,106
Institutional Class		23,672			43,200
Distributions reinvested
A-Class		92,394			1,960
C-Class		51,833			—
Institutional Class		19,734			1,736
Cost of shares redeemed
A-Class		(547,992	)		(1,209,690	)
C-Class		(166,421	)		(128,033	)
Institutional Class		(25,872	)		(40,226	)
Net increase from capital share transactions		457,212			486,856
Net increase in net assets		89,858			682,255
Net assets:
Beginning of year		2,728,471			2,046,216
End of year	$	2,818,329		$	2,728,471
Undistributed net investment income at end of year	$	2,724		$	3,801
Capital share activity:
Shares sold
A-Class		44,039			126,610
C-Class		42,478			42,853
Institutional Class		1,966			3,913
Shares issued from reinvestment of distributions
A-Class		7,993			186
C-Class		4,547			—
Institutional Class		1,706			165
Shares redeemed
A-Class		(46,034	)		(111,974	)
C-Class		(14,749	)		(12,031	)
Institutional Class		(2,076	)		(3,913	)
Net increase in shares		39,870			45,809

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 21

ALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,
A-Class	2011			2010			2009a
Per Share Data
Net asset value, beginning of period	$	11.11		$	10.21		$	10.00
Income (loss) from investment operations:
Net investment incomeb		.04			.03			.04
Net gain (loss) on investments (realized and unrealized)		(.61	)		.89			.17
Total from investment operations		(.57	)		.92			.21
Less distributions from:
Net investment income		(.02	)		(.02	)		—
Net realized gains		(.61	)		—			—
Total distributions		(.63	)		(.02	)		—
Net asset value, end of period	$	9.91		$	11.11		$	10.21
Total Returnc		(5.93	)%		8.97	%		2.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,487		$	1,601		$	1,319
Ratios to average net assets:
Net investment income		0.31	%		0.31	%		0.51	%
Total expenses		2.78	%		3.71	%		6.75	%
Net expensesd		1.27	%		1.29	%		1.35	%
Portfolio turnover rate		30	%		55	%		17	%

	Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,
C-Class	2011			2010			2009a
Per Share Data
Net asset value, beginning of period	$	10.97		$	10.13		$	10.00
Income (loss) from investment operations:
Net investment lossb		(.05	)		(.04	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		(.59	)		.88			.15
Total from investment operations		(.64	)		.84			.13
Less distributions from:
Net realized gains		(.61	)		—			—
Total distributions		(.61	)		—			—
Net asset value, end of period	$	9.72		$	10.97		$	10.13
Total Returnc		(6.65	)%		8.29	%		1.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,031		$	809		$	436
Ratios to average net assets:
Net investment loss		(0.42	)%		(0.41	)%		(0.18	)%
Total expenses		3.52	%		4.47	%		8.89	%
Net expensesd		2.02	%		2.04	%		2.10	%
Portfolio turnover rate		30	%		55	%		17	%

22 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

ALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,
Institutional Class	2011			2010			2009a
Per Share Data
Net asset value, beginning of period	$	11.12		$	10.24		$	10.00
Income (loss) from investment operations:
Net investment incomeb		.07			.06			.07
Net gain (loss) on investments (realized and unrealized)		(.62	)		.88			.17
Total from investment operations		(.55	)		.94			.24
Less distributions from:
Net investment income		(.03	)		(.06	)		—
Net realized gains		(.61	)		—			—
Total distributions		(.64	)		(.06	)		—
Net asset value, end of period	$	9.93		$	11.12		$	10.24
Total Returnc		(5.72	%)		9.22	%		2.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	300		$	318		$	291
Ratios to average net assets:
Net investment income		0.56	%		0.55	%		0.81	%
Total expenses		2.53	%		3.48	%		8.19	%
Net expensesd		1.02	%		1.05	%		1.10	%
Portfolio turnover rate		30	%		55	%		17	%

a	Since commencement of operations: October 3, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 23

MANAGER’S COMMENTARY (Unaudited) September 30, 2011

Advised by:  

To Our Shareholders:

For the 12-month period ended September 30, 2011, the Rydex|SGI Equity Fund—Mid Cap Value Fund returned -7.98%¹, while the Fund’s benchmark, the Russell 2500^® Value Index, had a -4.70% return.

Our strategy is to select securities of small- to medium-sized companies that appear undervalued by the overall market relative to assets, earnings, growth potential or cash flows. Our investment approach is a defined and disciplined process with three key philosophical tenets that drive our investment decisions: a valuation focus, a long-term investment horizon and an opportunistic approach.

Our investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and a corresponding valuation target for each company. We construct the portfolio based on the level of conviction generated by the bottom-up analysis and the upside/downside profile associated with each company.

The portfolio’s performance was helped by good stock selection in the Consumer Staples and an underweight in the Financials sector—the two sectors that contributed the most to portfolio return for the period. However, these benefits were not enough to offset poor stock selection in Industrials and Materials, the sectors that detracted most from return. The situation in Industrials was exacerbated by having an overweight (21% for the portfolio against 12% for the Index).

Our process favors companies with average stability/profit visibility at the expense of more economically sensitive names, a stance which held back portfolio performance early in the period. However, we did shift slightly out of defensive names in Utilities, Health Care and Consumer Staples and began to invest in more cyclical names in the third quarter of 2011 to take advantage of opportunities where we saw value. We continue to believe that some of the best value investment opportunities lie in energy, insurance and infrastructure-related investments.

The holdings contributing most to portfolio performance over the period were Global Industries Ltd., an Energy holding which returned 44%, and RehabCare Group, Inc., a Health Care holding that returned 86%. The main detractors were Computer Sciences Corp., which fell 40%, and Owens-Illinois, Inc., which fell 50%.

Factors expected to affect markets going forward include the trend in corporate earnings, resolution to the European sovereign debt crisis and developments in the U.S. economic recovery as a result of the ongoing budget discussions. We expect the world macroeconomic situation to remain unsettled in the near future and are focused on searching for companies that are underpriced relative to their intrinsic value as determined through our systematic, bottom-up, fundamental research analysis process.

Through periods of uncertainty, we believe holding companies that meet our investment criteria, and staying consistent with our philosophy and process, will benefit our investors over the long term.

We appreciate your business and the trust you place in us.

Sincerely,

James Schier, CFA, Portfolio Manager

24 | the RYDEX | SGI equity funds annual report

MANAGER’S COMMENTARY (Unaudited) (concluded)

The opinions and forecasts expressed are those of James Schier 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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

Russell 2500 Value Index measures the performance of the small to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.

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.

the RYDEX | SGI equity funds annual report | 25

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

MID CAP VALUE FUND

OBJECTIVE: Seeks long-term growth of capital.

Cumulative Fund Performance

The Russell 2500^® Value Index is an unmanaged index that measures the performance of securities of small-to-mid cap U.S. companies with greater-than-average value orientation.

Average Annual Returns*

Periods Ended 9/30/11

	1 Year			5 Year			10 Year
A-Class		-7.98	%		1.60	%		10.31	%
A-Class with sales charge†		-13.26	%		0.41	%		9.66	%
B-Class		-8.66	%		0.85	%		9.62	%
B-Class with CDSC††		-13.23	%		0.59	%		9.62	%
C-Class		-8.68	%		0.84	%		9.46	%
C-Class with CDSC†††		-9.59	%		0.84	%		9.46	%
Russell 2500 Value Index		-4.70	%		-1.69	%		7.24	%

Holdings Diversification (Market Exposure as
% of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	May 1, 1997
B-Class	May 1, 1997
C-Class	January 29, 1999

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	3.7	%
Computer Sciences Corp.	3.0	%
Cabela’s, Inc.	2.8	%
Bemis Company, Inc.	2.6	%
Maxwell Technologies, Inc.	2.5	%
WR Berkley Corp.	2.4	%
American Financial Group, Inc.	2.4	%
Covanta Holding Corp.	2.3	%
Gulfport Energy Corp.	2.2	%
IXYS Corp.	2.1	%
Top Ten Total	26.0	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of up to 5% if redeemed within 5 years of purchase.
†††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

26 | the RYDEX | SGI equity funds annual report

SCHEDULE OF INVESTMENTS September 30, 2011

MID CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 97.9%
Financials - 19.8%
Hanover Insurance Group, Inc.		1,256,910	$	44,620,305
WR Berkley Corp.		956,310		28,392,844
American Financial Group, Inc.1		903,700		28,077,959
Alleghany Corp.		70,600		20,368,100
Reinsurance Group of America, Inc.		387,754		17,817,296
Transatlantic Holdings, Inc.		246,700		11,969,884
Fifth Street Finance Corp.		1,263,932		11,779,846
RenaissanceRe Holdings Ltd.		177,000		11,292,600
Old National Bancorp		1,015,822		9,467,461
Ocwen Financial Corp.*		670,930		8,862,985
Lexington Realty Trust		1,207,800		7,899,012
Associated Banc-Corp.		731,277		6,800,876
Northern Trust Corp.		189,600		6,632,208
Employers Holdings, Inc.		486,300		6,205,188
Endurance Specialty Holdings Ltd.		177,930		6,076,310
Investors Real Estate Trust		674,800		4,858,560
Redwood Trust, Inc.		287,727		3,213,911
First Marblehead Corp.*		1,117,473		1,139,822
Total Financials				235,475,167
Industrials - 19.0%
Covanta Holding Corp.		1,789,150		27,177,189
GeoEye, Inc.*		864,390		24,505,456
Quanta Services, Inc.*		1,067,600		20,060,204
FTI Consulting, Inc.*		525,210		19,332,980
Navigant Consulting, Inc.*		1,757,030		16,287,668
General Cable Corp.*		595,200		13,897,920
Equifax, Inc.		440,000		13,525,600
Orbital Sciences Corp.*		1,022,080		13,082,624
Insituform Technologies, Inc. — Class A*		913,100		10,573,698
URS Corp.*		338,300		10,033,978
Babcock & Wilcox Co.*		470,650		9,201,208
ICF International, Inc.*		437,700		8,233,137
Force Protection, Inc.*		2,066,525		7,956,121
Atlas Air Worldwide Holdings, Inc.*		221,411		7,370,772
DryShips, Inc.*		2,864,340		6,702,556
Trex Company, Inc.*		379,900		6,089,797
Saia, Inc.*		578,560		6,086,451
United Stationers, Inc.		178,902		4,875,080
Thermoenergy Corp.*		2,701,839		513,349
UQM Technologies, Inc.*		167,541		279,793
Total Industrials				225,785,581
Consumer Discretionary - 12.9%
Cabela’s, Inc.*		1,617,193		33,136,285
Chico’s FAS, Inc.1		2,006,100		22,929,723
Penn National Gaming, Inc.		483,700		16,102,373
Maidenform Brands, Inc.*		655,900		15,354,619
Apollo Group, Inc. — Class A		356,000		14,101,160
Scholastic Corp.		386,600		10,836,398
Brown Shoe Company, Inc.		1,369,435		9,750,377
Jack in the Box, Inc.*		443,700		8,838,504
Hanesbrands, Inc.*		333,580		8,342,836
DeVry, Inc.		162,480		6,005,261
Smith & Wesson Holding Corp.*		2,024,310		5,101,261
Fred’s, Inc. — Class A		242,534		2,585,412
Total Consumer Discretionary				153,084,209
Information Technology - 11.6%
Computer Sciences Corp.		1,317,120		35,364,672
Maxwell Technologies, Inc.*,2		1,617,554		29,779,169
IXYS Corp.*,2		2,336,630		25,422,534
Cree, Inc.*		629,640		16,358,047
Satyam Computer Services Ltd. ADR*		4,289,620		11,710,663
Power-One, Inc.*		2,509,259		11,291,666
Symmetricom, Inc.*		1,861,970		8,080,950
Total Information Technology				138,007,701
Energy - 8.2%
Gulfport Energy Corp.*		1,101,077		26,624,042
Plains Exploration & Production Co.*		701,740		15,936,516
SandRidge Energy, Inc.*		2,862,970		15,918,113
Goodrich Petroleum Corp.*		1,075,129		12,708,025
Resolute Energy Corp.*		917,600		10,423,936
McDermott International, Inc.*		714,400		7,686,944
USEC, Inc.*		2,743,730		4,417,405
Arch Coal, Inc.		253,500		3,696,030
Ocean Rig UDW, Inc.*		20,812		315,306
Total Energy				97,726,317
Materials - 7.8%
Bemis Company, Inc.		1,060,180		31,073,876
Owens-Illinois, Inc.*		1,313,740		19,863,749
Sonoco Products Co.		527,200		14,882,856
Louisiana-Pacific Corp.*		2,079,300		10,604,430
HB Fuller Co.		486,504		8,864,103
Landec Corp.*		911,716		4,850,329
Zoltek Companies, Inc.*		519,596		3,341,002
Total Materials				93,480,345
Utilities - 6.7%
Great Plains Energy, Inc.		953,117		18,395,158
Black Hills Corp.		501,860		15,376,990
NorthWestern Corp.		373,456		11,928,185
UGI Corp.		386,242		10,146,577
American Water Works Company, Inc.		322,720		9,739,690
Allete, Inc.		234,600		8,593,398
MDU Resources Group, Inc.		305,768		5,867,688
Total Utilities				80,047,686

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 27

SCHEDULE OF INVESTMENTS (concluded) September 30, 2011

MID CAP VALUE FUND

	Shares		Value
Consumer Staples - 6.0%
JM Smucker Co.		267,030	$	19,463,817
Hormel Foods Corp.		701,840		18,963,717
Ralcorp Holdings, Inc.*		226,316		17,360,700
Bunge Ltd.1		160,890		9,378,278
Beam, Inc.*		121,500		6,570,720
Total Consumer Staples				71,737,232
Health Care - 5.9%
Mednax, Inc.*		347,641		21,776,232
Forest Laboratories, Inc.*		390,780		12,032,116
Hologic, Inc.*		737,801		11,221,953
Universal Health Services, Inc. — Class B		261,940		8,905,960
Community Health Systems, Inc.*		530,250		8,823,360
Kindred Healthcare, Inc.*		811,136		6,991,993
Total Health Care				69,751,614
Total Common Stocks (Cost $1,211,519,124)				1,165,095,852
CONVERTIBLE PREFERRED STOCK†† - 0.0%
Thermoenergy Corp.*,3		858,334		476,204
Total Convertible Preferred Stock (Cost $819,654)				476,204
WARRANTS†† - 0.0%
Thermoenergy Corp. $0.30, 07/31/153		13,733,344		558,947
Total Warrants (Cost $1,240,348)				558,947
EXCHANGE TRADED FUNDS† - 1.0%
iShares Russell Midcap Value Index Fund		180,000		6,940,800
iShares Russell 2000 Value Index Fund		79,860		4,554,416
Total Exchange Traded Funds (Cost $10,935,558)				11,495,216
	Face
	Amount
CONVERTIBLE BONDS†† - 1.1%
Energy - 0.6%
USEC, Inc. 3.00% due 10/01/14 $13,600,000		7,174,000

	Face
	Amount		Value
Industrials - 0.5%
DryShips, Inc. 5.00% due 12/01/14	$	9,425,000	$	5,808,156
Total Convertible Bonds (Cost $19,511,906)				12,982,156
Total Investments - 100.0% (Cost $1,244,026,590)			$	1,190,608,375

	Contracts
OPTIONS WRITTEN† - (0.3)%
Call Options on:
Chico’s FAS, Inc. Expiring January 2012 with strike price of $15.00		1,239		(30,975	)
Bunge Ltd. Expiring January 2012 with strike price of $62.50		972		(320,760	)
Total Call Options				(351,735	)
Put Options on:
Chico’s FAS, Inc. Expiring January 2012 with strike price of $12.50		1,487		(312,270	)
SandRidge Energy, Inc. Expiring December 2011 with strike price of $7.00		2,012		(380,268	)
Gulfport Energy Corp. Expiring October 2011 with strike price of $25.00		2,001		(400,200	)
Northern Trust Corp. Expiring January 2012 with strike price of $35.00		1,740		(589,860	)
Bunge Ltd. Expiring January 2012 with strike price of $60.00		1,012		(647,680	)
McDermott International, Inc Expiring November 2011 with strike price of $13.00		4,925		(1,329,750	)
Total Put Options				(3,660,028	)
Total Options Written (Premiums received $3,146,202)				(4,011,763	)
Cash & Other Assets, Less Liabilities - 0.3%				3,575,474
Total Net Assets - 100.0%			$	1,190,172,086

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as collateral for open options written at September 30, 2011.
2	Affiliated issuers — See Note 8.
3	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
	ADR — American Depositary Receipt

28 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

MID CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments in unaffiliated issuers, at value (cost $1,205,095,386)	$	1,135,406,672
Investments in affiliated issuers, at value (cost $38,931,204)		55,201,703
Cash		7,988,668
Prepaid expenses		90,356
Receivables:
Securities sold		1,677,718
Dividends		1,063,929
Fund shares sold		925,739
Interest		360,984
Total assets		1,202,715,769
Liabilities:
Options written, at value (premiums received $3,146,202)		4,011,763
Payable for:
Securities purchased		3,554,414
Fund shares redeemed		2,965,494
Management fees		822,746
Distribution and service fees		402,897
Fund accounting/administration fees		99,007
Transfer agent/maintenance fees		96,041
Directors’ fees*		9,130
Miscellaneous		582,191
Total liabilities		12,543,683
Net assets	$	1,190,172,086
Net assets consist of:
Paid in capital	$	1,236,560,361
Undistributed net investment income		—
Accumulated net realized gain on investments		7,895,501
Net unrealized depreciation on investments		(54,283,776	)
Net assets	$	1,190,172,086
A-Class:
Net assets	$	973,467,195
Capital shares outstanding		35,881,053
Net asset value per share	$	27.13
Maximum offering price per share (Net asset value divided by 95.25%)	$	28.48
B-Class:
Net assets	$	27,960,158
Capital shares outstanding		1,216,371
Net asset value per share	$	22.99
C-Class:
Net assets	$	188,744,733
Capital shares outstanding		7,969,549
Net asset value per share	$	23.68

STATEMENT OF OPERATIONS

Year Ended September 30, 2011

Investment Income:
Dividends	$	16,970,819
Interest		722,109
Total investment income		17,692,928
Expenses:
Management fees		11,395,603
Transfer agent/maintenance fees		2,136,068
Distribution and service fees:
A-Class		2,968,461
B-Class		400,840
C-Class		2,252,788
Fund accounting/administration fees		1,380,091
Directors’ fees*		117,539
Miscellaneous		482,046
Total expenses		21,133,436
Net investment loss		(3,440,508	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		93,505,286
Investments in affiliated issuers		756,394
Options written		2,010,007
Net realized gain		96,271,687
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(209,339,144	)
Investments in affiliated issuers		8,748,239
Options written		(1,503,487	)
Net change in unrealized appreciation (depreciation)		(202,094,392	)
Net realized and unrealized loss		(105,822,705	)
Net decrease in net assets resulting from operations	$	(109,263,213	)

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 29

MID CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(3,440,508	)	$	2,637,672
Net realized gain (loss) on investments		96,271,687			(2,816,034	)
Net change in unrealized appreciation (depreciation) on investments		(202,094,392	)		120,886,412
Net increase (decrease) in net assets resulting from operations		(109,263,213	)		120,708,050
Distributions to shareholders from:
Net investment income
A-Class		(2,703,664	)		(1,178,918	)
Total distributions to shareholders		(2,703,664	)		(1,178,918	)
Capital share transactions:
Proceeds from sale of shares
A-Class		324,475,268			525,044,189
B-Class		1,151,877			2,160,769
C-Class		50,436,018			60,822,739
Distributions reinvested
A-Class		2,286,331			1,064,396
Cost of shares redeemed
A-Class		(319,562,384	)		(349,397,686	)
B-Class		(13,883,753	)		(23,155,998	)
C-Class		(35,726,724	)		(22,330,336	)
Net increase from capital share transactions		9,176,633			194,208,073
Net increase (decrease) in net assets		(102,790,244	)		313,737,205
Net assets:
Beginning of year		1,292,962,330			979,225,125
End of year	$	1,190,172,086		$	1,292,962,330
Undistributed net investment income at end of year	$	—		$	2,564,377
Capital share activity:
Shares sold
A-Class		9,983,874			18,798,275
B-Class		41,607			92,317
C-Class		1,764,740			2,460,598
Shares issued from reinvestment of distributions
A-Class		71,136			38,861
Shares redeemed
A-Class		(9,926,468	)		(12,495,803	)
B-Class		(506,587	)		(966,968	)
C-Class		(1,274,995	)		(908,686	)
Net increase in shares		153,307			7,018,594

30 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

MID CAP VALUE FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each year, and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	29.55		$	26.58		$	28.41		$	40.79		$	38.27
Income (loss) from investment operations:
Net investment income (loss)a		(.03	)		.11			.08			.25			.25
Net gain (loss) on investments (realized and unrealized)		(2.31	)		2.90			.82			(4.77	)		4.59
Total from investment operations		(2.34	)		3.01			.90			(4.52	)		4.84
Less distributions from:
Net investment income		(.08	)		(.04	)		(.14	)		(.14	)		(.23	)
Net realized gains		—			—			(2.59	)		(7.72	)		(2.09	)
Total distributions		(.08	)		(.04	)		(2.73	)		(7.86	)		(2.32	)
Net asset value, end of period	$	27.13		$	29.55		$	26.58		$	28.41		$	40.79
Total Returnb		(7.98	)%		11.32	%		6.90	%		(12.48	)%		12.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	973,467		$	1,056,655		$	781,883		$	656,044		$	687,484
Ratios to average net assets:
Net investment income (loss)		(0.10	)%		0.38	%		0.40	%		0.79	%		0.61	%
Total expenses		1.32	%		1.37	%		1.48	%		1.37	%		1.32	%
Portfolio turnover rate		28	%		23	%		31	%		68	%		44	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.17		$	22.78		$	24.83		$	36.78		$	34.76
Income (loss) from investment operations:
Net investment lossa		(.24	)		(.09	)		(.06	)		(—	)c		(.04	)
Net gain (loss) on investments (realized and unrealized)		(1.94	)		2.48			.60			(4.23	)		4.15
Total from investment operations		(2.18	)		2.39			.54			(4.23	)		4.11
Less distributions from:
Net realized gains		—			—			(2.59	)		(7.72	)		(2.09	)
Total distributions		—			—			(2.59	)		(7.72	)		(2.09	)
Net asset value, end of period	$	22.99		$	25.17		$	22.78		$	24.83		$	36.78
Total Returnb		(8.66	)%		10.49	%		6.17	%		(13.14	)%		12.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	27,960		$	42,321		$	58,221		$	66,641		$	106,179
Ratios to average net assets:
Net investment loss		(0.86	)%		(0.40	)%		(0.34	)%		(0.01	)%		(0.10	)%
Total expenses		2.07	%		2.12	%		2.23	%		2.12	%		2.07	%
Portfolio turnover rate		28	%		23	%		31	%		68	%		44	%

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 31

MID CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each year, and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.93		$	23.47		$	25.49		$	37.54		$	35.43
Income (loss) from investment operations:
Net investment lossa		(.24	)		(.09	)		(.07	)		(—	)c		(.05	)
Net gain (loss) on investments (realized and unrealized)		(2.01	)		2.55			.64			(4.33	)		4.25
Total from investment operations		(2.25	)		2.46			.57			(4.33	)		4.20
Less distributions from:
Net realized gains		—			—			(2.59	)		(7.72	)		(2.09	)
Total distributions		—			—			(2.59	)		(7.72	)		(2.09	)
Net asset value, end of period	$	23.68		$	25.93		$	23.47		$	25.49		$	37.54
Total Returnb		(8.68	%)		10.48	%		6.13	%		(13.15	%)		12.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	188,745		$	193,986		$	139,121		$	113,192		$	176,746
Ratios to average net assets:
Net investment loss		(0.85	%)		(0.37	%)		(0.35	%)		(0.01	%)		(0.12	%)
Total expenses		2.07	%		2.12	%		2.22	%		2.12	%		2.07	%
Portfolio turnover rate		28	%		23	%		31	%		68	%		44	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the year.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Net investment loss is less than $0.01 per share.

32 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

MANAGER’S COMMENTARY (Unaudited) September 30, 2011

Advised by:  

To Our Shareholders:

For the 12-month period ended September 30, 2011, the Rydex|SGI Equity Fund—Mid Cap Value Institutional Fund returned -8.05%¹, while the Fund’s benchmark, the Russell 2500^® Value Index, had a -4.70% return.

Our strategy is to select securities of small- to medium-sized companies that appear undervalued by the overall market relative to assets, earnings, growth potential or cash flows. Our investment approach is a defined and disciplined process with three key philosophical tenets that drive our investment decisions: a valuation focus, a long-term investment horizon and an opportunistic approach.

Our investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and a corresponding valuation target for each company. We construct the portfolio based on the level of conviction generated by the bottom-up analysis and the upside/downside profile associated with each company.

The portfolio’s performance was helped by good stock selection in the Consumer Staples and an underweight in the Financials sector—the two sectors that contributed the most to portfolio return for the period. However, these benefits were not enough to offset poor stock selection in Industrials and Materials, the sectors that detracted most from return. The situation in Industrials was exacerbated by having an overweight (21% for the portfolio against 12% for the Index).

Our process favors companies with average stability/profit visibility at the expense of more economically sensitive names, a stance which held back portfolio performance early in the period. However, we did shift slightly out of defensive names in Utilities, Health Care and Consumer Staples and began to invest in more cyclical names in the third quarter of 2011 to take advantage of opportunities where we saw value. We continue to believe that some of the best value investment opportunities lie in energy, insurance and infrastructure-related investments.

The holdings contributing most to portfolio performance over the period were Global Industries Ltd., an Energy holding which returned 44%, and RehabCare Group, Inc., a Health Care holding that returned 86%. The main detractors were Computer Sciences Corp., which fell 40%, and Owens-Illinois, Inc., which fell 50%.

Factors expected to affect markets going forward include the trend in corporate earnings, resolution to the European sovereign debt crisis and developments in the U.S. economic recovery as a result of the ongoing budget discussions. We expect the world macroeconomic situation to remain unsettled in the near future and are focused on searching for companies that are underpriced relative to their intrinsic value as determined through our systematic, bottom-up, fundamental research analysis process.

Through periods of uncertainty, we believe holding companies that meet our investment criteria, and staying consistent with our philosophy and process, will benefit our investors over the long term.

We appreciate your business and the trust you place in us.

James Schier, CFA, Portfolio Manager

the RYDEX | SGI equity funds annual report | 33

MANAGER’S COMMENTARY (Unaudited) (concluded)

The opinions and forecasts expressed are those of James Schier 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.

¹ Performance figures do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

Russell 2500 Value Index measures the performance of the small to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.

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.

34 | the RYDEX | SGI equity funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

MID CAP VALUE INSTITUTIONAL FUND

OBJECTIVE: Seeks long-term growth of capital.

Cumulative Fund Performance

The Russell 2500^®Value Index is an unmanaged index that measures the performance of securities of small-to-mid cap U.S. companies with greater-than-average value orientation.

Average Annual Returns*

Periods Ended 9/30/2011

				Since
				Inception
	1 Year			(07/11/08)
Mid Cap Value Institutional Fund		-8.05	%		4.59	%
Russell 2500 Value Index		-4.70	%		0.84	%

Holdings Diversification (Market Exposure as
% of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Date:

July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	3.8	%
Computer Sciences Corp.	3.1	%
Cabela’s, Inc.	2.8	%
Maxwell Technologies, Inc.	2.6	%
Bemis Company, Inc.	2.5	%
WR Berkley Corp.	2.4	%
American Financial Group, Inc.	2.3	%
Covanta Holding Corp.	2.3	%
Gulfport Energy Corp.	2.2	%
IXYS Corp.	2.2	%
Top Ten Total	26.2	%

“ Ten Largest Holdings” exclude any temporary cash or derivative investments.

* The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2500 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.

the RYDEX | SGI equity funds annual report | 35

SCHEDULE OF INVESTMENTS September 30, 2011

MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value
COMMON STOCKS† - 97.5%
Financials - 20.1%
Hanover Insurance Group, Inc.		502,891	$	17,852,630
WR Berkley Corp.		383,810		11,395,319
American Financial Group, Inc.1		353,570		10,985,420
Alleghany Corp.		28,808		8,311,108
Reinsurance Group of America, Inc.		151,923		6,980,862
Transatlantic Holdings, Inc.		104,200		5,055,784
Fifth Street Finance Corp.		502,507		4,683,365
RenaissanceRe Holdings Ltd.		73,300		4,676,540
Old National Bancorp		393,845		3,670,635
Ocwen Financial Corp.*		260,360		3,439,356
Lexington Realty Trust		481,300		3,147,702
Associated Banc-Corp.		292,352		2,718,874
Employers Holdings, Inc.		205,900		2,627,284
Northern Trust Corp.		74,460		2,604,611
Endurance Specialty Holdings Ltd.		74,550		2,545,882
Investors Real Estate Trust		245,000		1,764,000
Redwood Trust, Inc.		125,600		1,402,952
First Marblehead Corp.*		557,384		568,532
Bimini Capital Management, Inc. — Class A		445,113		269,293
Total Financials				94,700,149
Industrials - 19.5%
Covanta Holding Corp.		710,040		10,785,508
GeoEye, Inc.*		353,900		10,033,065
Quanta Services, Inc.*		443,200		8,327,728
FTI Consulting, Inc.*		213,600		7,862,616
Navigant Consulting, Inc.*		692,070		6,415,489
General Cable Corp.*		243,600		5,688,060
Equifax, Inc.		181,500		5,579,310
Orbital Sciences Corp.*		397,788		5,091,686
Insituform Technologies, Inc. — Class A*		386,640		4,477,291
URS Corp.*		148,040		4,390,866
Babcock & Wilcox Co.*		196,600		3,843,530
Force Protection, Inc.*		913,803		3,518,142
ICF International, Inc.*		178,910		3,365,297
Atlas Air Worldwide Holdings, Inc.*		86,961		2,894,932
DryShips, Inc.*		1,199,870		2,807,696
Trex Company, Inc.*		151,200		2,423,736
Saia, Inc.*		219,570		2,309,876
United Stationers, Inc.		78,556		2,140,651
UQM Technologies, Inc.*		67,422		112,595
Total Industrials				92,068,074
Consumer Discretionary - 13.1%
Cabela’s, Inc.*		647,661		13,270,574
Chico’s FAS, Inc.1		789,170		9,020,213
Maidenform Brands, Inc.*		272,717		6,384,305
Penn National Gaming, Inc.		189,760		6,317,110
Apollo Group, Inc. — Class A		149,690		5,929,221
Scholastic Corp.		157,600		4,417,528
Brown Shoe Company, Inc.		574,257		4,088,710
Jack in the Box, Inc.*		183,130		3,647,950
Hanesbrands, Inc.*		140,160		3,505,402
DeVry, Inc.		66,060		2,441,578
Smith & Wesson Holding Corp.*		824,826		2,078,561
Fred’s, Inc. — Class A		89,226		951,149
HydroGen Corp.*,2		1,265,700		18,985
Total Consumer Discretionary				62,071,286
Information Technology - 11.9%
Computer Sciences Corp.		537,370		14,428,385
Maxwell Technologies, Inc.*		669,475		12,325,035
IXYS Corp.*		938,179		10,207,388
Cree, Inc.*		254,300		6,606,714
Satyam Computer Services Ltd. ADR*		1,770,399		4,833,189
Power-One, Inc.*		1,027,775		4,624,987
Symmetricom, Inc.*		696,000		3,020,640
Total Information Technology				56,046,338
Energy - 8.3%
Gulfport Energy Corp.*		427,612		10,339,658
SandRidge Energy, Inc.*		1,191,351		6,623,912
Plains Exploration & Production Co.*		273,230		6,205,053
Goodrich Petroleum Corp.*		422,250		4,990,995
Resolute Energy Corp.*		383,600		4,357,696
McDermott International, Inc.*		277,300		2,983,748
USEC, Inc.*		1,248,200		2,009,602
Arch Coal, Inc.		102,500		1,494,450
Ocean Rig UDW, Inc.*		8,718		132,082
Total Energy				39,137,196
Materials - 7.6%
Bemis Company, Inc.		399,150		11,699,086
Owens-Illinois, Inc.*		513,300		7,761,096
Sonoco Products Co.		186,500		5,264,895
Louisiana-Pacific Corp.*		830,700		4,236,570
HB Fuller Co.		200,316		3,649,758
Landec Corp.*		358,600		1,907,752
Zoltek Companies, Inc.*		241,514		1,552,935
Total Materials				36,072,092
Consumer Staples - 5.7%
Hormel Foods Corp.		261,520		7,066,270
JM Smucker Co.		95,950		6,993,795
Ralcorp Holdings, Inc.*		88,922		6,821,207
Bunge Ltd.1		65,420		3,813,332
Beam, Inc.*		44,000		2,379,520
Total Consumer Staples				27,074,124

36 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) September 30, 2011

MID CAP VALUE INSTITUTIONAL FUND

	Shares		Value
Utilities - 5.7%
Great Plains Energy, Inc.		402,735	$	7,772,786
Black Hills Corp.		211,540		6,481,586
NorthWestern Corp.		145,676		4,652,891
Allete, Inc.		91,500		3,351,645
MDU Resources Group, Inc.		123,467		2,369,332
UGI Corp.		87,960		2,310,709
Total Utilities				26,938,949
Health Care - 5.6%
Mednax, Inc.*		114,813		7,191,886
Hologic, Inc.*		307,882		4,682,885
Forest Laboratories, Inc.*		151,230		4,656,372
Community Health Systems, Inc.*		211,450		3,518,528
Universal Health Services, Inc. — Class B		102,930		3,499,620
Kindred Healthcare, Inc.*		340,497		2,935,084
ICU Medical, Inc.*		2,400		88,320
Total Health Care				26,572,695
Total Common Stocks (Cost $493,846,610)				460,680,903
CONVERTIBLE PREFERRED STOCK†† - 0.1%
Thermoenergy Corp.*,3		793,750		440,372
Total Convertible Preferred Stock (Cost $757,981)				440,372
WARRANTS†† - 0.1%
Thermoenergy Corp. $0.30, 07/31/153		12,700,000		516,890
Total Warrants (Cost $1,147,020)				516,890

	Face
	Amount
CONVERTIBLE BONDS†† - 1.0%
Energy — 0.6%
USEC, Inc. 3.00% due 10/01/14	$	5,500,000	2,901,250
Industrials — 0.4%
DryShips, Inc. 5.00% due 12/01/14		2,725,000	1,679,281
Total Convertible Bonds (Cost $6,563,744)			4,580,531

	Value
Total Investments - 98.7% (Cost $502,315,355)	$	466,218,696

	Contracts
OPTIONS WRITTEN† - (0.3)%
Call Options on:
Chico’s FAS, Inc. Expiring January 2012 with strike price of $15.00		522		(13,050	)
Bunge Ltd. Expiring January 2012 with strike price of $62.50		409		(134,970	)
Total Call Options				(148,020	)
Put Options on:
Chico’s FAS, Inc. Expiring January 2012 with strike price of $12.50		626		(131,460	)
SandRidge Energy, Inc. Expiring December 2011 with strike price of $7.00		845		(159,705	)
Gulfport Energy Corp. Expiring October 2011 with strike price of $25.00		840		(168,000	)
Northern Trust Corp. Expiring January 2012 with strike price of $35.00		735		(249,165	)
Bunge Ltd. Expiring January 2012 with strike price of $60.00		425		(272,000	)
McDermott International, Inc Expiring November 2011 with strike price of $13.00		1,940		(523,800	)
Total Put Options				(1,504,130	)
Total Options Written (Premiums received $1,308,247)				(1,652,150	)
Cash & Other Assets, Less Liabilities - 1.6%				7,699,459
Total Net Assets - 100.0%			$	472,266,005

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as collateral for open options written at September 30, 2011.
2	Affiliated issuers — See Note 8.
3	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
	ADR — American Depositary Receipt

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 37

MID CAP VALUE INSTITUTIONAL FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments in unaffiliated issuers, at value (cost $502,312,824)	$	466,199,711
Investments in affiliated issuers, at value (cost $2,531)		18,985
Cash		2,981,570
Prepaid expenses		44,617
Receivables:
Fund shares sold		6,090,693
Dividends		416,191
Securities sold		377,832
Interest		127,881
Investment advisor		99,951
Total assets		476,357,431
Liabilities:
Options written, at value (premiums received $1,308,247)		1,652,150
Payable for:
Securities purchased		1,205,174
Fund shares redeemed		811,563
Management fees		310,116
Fund accounting/administration fees		39,281
Transfer agent/maintenance fees		16,194
Directors’ fees*		7,142
Miscellaneous		49,806
Total liabilities		4,091,426
Net assets	$	472,266,005
Net assets consist of:
Paid in capital	$	464,162,426
Undistributed net investment income		1,977,505
Accumulated net realized gain on investments		42,566,636
Net unrealized depreciation on investments		(36,440,562	)
Net assets	$	472,266,005
Net assets	$	472,266,005
Capital shares outstanding		47,348,439
Net asset value per share	$	9.97

STATEMENT OF OPERATIONS

Year Ended September 30, 2011

Investment Income:
Dividends	$	6,886,066
Interest		445,520
Total investment income		7,331,586
Expenses:
Management fees		4,428,783
Transfer agent/maintenance fees		455,193
Fund accounting/administration fees		560,972
Directors’ fees*		62,653
Miscellaneous		253,118
Total expenses		5,760,719
Less:
Expenses waived by advisor		(443,419	)
Net expenses		5,317,300
Net investment income		2,014,286
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		45,286,587
Options written		782,329
Net realized gain		46,068,916
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(92,848,671	)
Investments in affiliated issuers		15,062
Options written		(580,465	)
Net change in unrealized appreciation (depreciation)		(93,414,074	)
Net realized and unrealized loss		(47,345,158	)
Net decrease in net assets resulting from operations	$	(45,330,872	)

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

38 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

MID CAP VALUE INSTITUTIONAL FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	2,014,286		$	3,027,929
Net realized gain on investments		46,068,916			21,766,168
Net change in unrealized appreciation (depreciation) on investments		(93,414,074	)		19,799,839
Net increase (decrease) in net assets resulting from operations		(45,330,872	)		44,593,936
Distributions to shareholders from:
Net investment income		(3,064,710	)		(326,334	)
Net realized gains		(22,149,496	)		(11,082,828	)
Total distributions to shareholders		(25,214,206	)		(11,409,162	)
Capital share transactions:
Proceeds from sale of shares		230,594,999			259,968,422
Distributions reinvested		10,706,814			5,348,897
Cost of shares redeemed		(212,937,728	)		(101,510,411	)
Net increase from capital share transactions		28,364,085			163,806,908
Net increase (decrease) in net assets		(42,180,993	)		196,991,682
Net assets:
Beginning of year		514,446,998			317,455,316
End of year	$	472,266,005		$	514,446,998
Undistributed net investment income at end of year	$	1,977,505		$	3,027,929
Capital share activity:
Shares sold		19,002,513			23,979,841
Shares issued from reinvestment of distributions		905,056			509,904
Shares redeemed		(17,934,768	)		(9,372,413	)
Net increase in shares		1,972,801			15,117,332

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 39

MID CAP VALUE INSTITUTIONAL FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,			September 30,
	2011			2010			2009			2008a
Per Share Data
Net asset value, beginning of period	$	11.34		$	10.49		$	10.68		$	10.00
Income (loss) from investment operations:
Net investment incomeb		.04			.08			.08			.04
Net gain (loss) on investments (realized and unrealized)		(.87	)		1.13			.27			.64
Total from investment operations		(.83	)		1.21			.35			.68
Less distributions from:
Net investment income		(.06	)		(.01	)		(.06	)		—
Net realized gains		(.48	)		(.35	)		(.48	)		—
Total distributions		(.54	)		(.36	)		(.54	)		—
Net asset value, end of period	$	9.97		$	11.34		$	10.49		$	10.68
Total Return		(8.05	%)		11.76	%		5.30	%		6.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	472,266		$	514,447		$	317,455		$	17,436
Ratios to average net assets:
Net investment income		0.34	%		0.78	%		0.82	%		1.81	%
Total expenses		0.98	%		0.95	%		0.98	%		1.19	%
Net expensesc		0.90	%		0.90	%		0.91	%		1.10	%
Portfolio turnover rate		38	%		20	%		76	%		63	%

a	Since commencement of operations: July 11, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income per share was computed using average shares outstanding throughout the period.
c	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

40 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

MANAGER’S COMMENTARY (Unaudited) September 30, 2011

Advised by:  

To Our Shareholders:

For the 12-month period ended September 30, 2011, the Rydex|SGI Equity Fund—Small Cap Growth Fund returned -2.78%¹, while the Fund’s benchmark, the Russell 2000^® Growth Index, had a -1.12% return.

The Fund seeks to deliver long-term growth of capital by investing in securities of small-sized companies that have solid potential for long-term growth. The Fund selects companies that appear to have sustainable revenue and earnings growth, a competitive advantage, superior financial characteristics and strong management.

The Fund uses a combination of a qualitative macroeconomic approach in reviewing growth trends that is based on several fixed income factors, such as bond spreads and interest rates, along with a quantitative, fundamental bottom-up approach.

The portfolio’s performance was helped by stock selection in Consumer Discretionary and Materials, the sectors contributing the most to the portfolio’s performance. Holdings in the portfolio’s Consumer Discretionary sector, whose nearly 19% weight was slightly larger than the Index allocation, returned almost 9%, compared with a loss of nearly 4% in the sector in the Index. The sectors that detracted the most from performance were Information Technology and Energy sectors, where stock selection was the main factor in underperformance. In the Energy sector, whose nearly 6% weight in the portfolio was similar to that of the Index, holdings in the portfolio lost 9%, compared with a return of -0.78% for the sector in the Index.

The holdings contributing most to portfolio performance over the period were Tempur-Pedic International, Inc., which returned 74%, and InterDigital, Inc., which returned 56%.

Leading detractors to performance were two Technology holdings: VanceInfo Technologies, Inc., which was off 79%, and Ciena Corp., which fell 55%.

Because the slope of the Treasury Yield Curve (the difference between the 3-month and 10-year) remains far steeper than levels prior to past recessions, we continue to believe the U.S. economy will avoid recession, but turn in subpar 1.5%-2% growth over the next year or so. Additionally, bond spreads (10-year single-A bond) have widened, but not to the levels we saw in 2008. Both factors indicate a diminished risk environment but not a crisis such as 2008.

Since our indicators are not particularly positive, we expect to keep the beta of our portfolio similar to that of the benchmark. We will remain in cyclical names within certain sectors where the dollar’s strength is a tailwind, such as the consumer cyclical sector. We do anticipate that Europe will eventually provide a strong response to its sovereign crisis which should lift the markets.

We appreciate your business and the trust you place in us.

Sincerely,

Joseph O’Connor, Portfolio Manager

the RYDEX | SGI equity funds annual report | 41

MANAGER’S COMMENTARY (Unaudited) (concluded)

The opinions and forecasts expressed are those of Joseph O’Connor 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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

Russell 2000 Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

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.

42 | the RYDEX | SGI equity funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

SMALL CAP GROWTH FUND

OBJECTIVE: Seeks long-term growth of capital.

Cumulative Fund Performance

The Russell 2000^®Growth Index is an unmanaged index that measures the performance of securities of small-to-mid cap U.S. companies with higher price-to-book ratios and higher forecasted growth values.

Average Annual Returns*

Periods Ended 9/30/11

	1 Year			5 Year			10 Year
A-Class		-2.78	%		-3.63	%		2.86	%
A-Class with sales charge†		-8.38	%		-4.76	%		2.25	%
B-Class		-3.41	%		-4.32	%		2.25	%
B-Class with CDSC††		-8.24	%		-4.67	%		2.25	%
C-Class		-3.44	%		-4.33	%		2.10	%
C-Class with CDSC†††		-4.40	%		-4.33	%		2.10	%
Russell 2000 Growth Index		-1.12	%		0.96	%		5.45	%

Holdings Diversification (Market Exposure as
% of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	October 15, 1997
B-Class	October 15, 1997
C-Class	January 29, 1999

Ten Largest Holdings (% of Total Net Assets)
Cadence Design Systems, Inc.	2.2	%
Alliance Data Systems Corp.	2.1	%
Endo Pharmaceuticals Holdings, Inc.	1.9	%
Life Time Fitness, Inc.	1.9	%
Oil States International, Inc.	1.8	%
Jarden Corp.	1.7	%
Nuance Communications, Inc.	1.6	%
Solera Holdings, Inc.	1.6	%
SonoSite, Inc. — Class A	1.5	%
Penn National Gaming, Inc.	1.5	%
Top Ten Total	17.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of up to 5% if redeemed within 5 years of purchase.
†††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

the RYDEX|SGI equity funds annual report | 43

SCHEDULE OF INVESTMENTS September 30, 2011

SMALL CAP GROWTH FUND

	Shares		Value
COMMON STOCKS† - 94.7%
Information Technology - 25.2%
Cadence Design Systems, Inc.*		30,520	$	282,005
Alliance Data Systems Corp.*		2,925		271,148
Nuance Communications, Inc.*		10,405		211,846
Solera Holdings, Inc.		4,000		202,000
Sourcefire, Inc.*		7,350		196,686
TIBCO Software, Inc.*		8,700		194,793
Opnet Technologies, Inc.		4,950		172,804
Aspen Technology, Inc.*		10,700		163,389
CommVault Systems, Inc.*		4,050		150,093
SYNNEX Corp.*		5,630		147,506
Informatica Corp.*		3,040		124,488
Lattice Semiconductor Corp.*		22,600		118,650
Netgear, Inc.*		4,350		112,622
LogMeIn, Inc.*		3,350		111,253
Ciena Corp.*		9,000		100,800
SolarWinds, Inc.*		4,520		99,530
Nanometrics, Inc.*		6,290		91,205
Harmonic, Inc.*		21,350		90,951
Rofin-Sinar Technologies, Inc.*		4,710		90,432
Newport Corp.*		8,300		89,723
Cavium, Inc.*		2,900		78,329
Riverbed Technology, Inc.*		3,710		74,052
Meru Networks, Inc.*		5,930		48,329
VanceInfo Technologies, Inc. ADR*		5,600		37,688
Total Information Technology				3,260,322
Consumer Discretionary - 19.7%
Life Time Fitness, Inc.*		6,520		240,262
Jarden Corp.		7,765		219,439
Penn National Gaming, Inc.		5,925		197,243
BJ’s Restaurants, Inc.*		4,200		185,262
Gentex Corp.		6,700		161,135
Vail Resorts, Inc.		3,725		140,768
Hanesbrands, Inc.*		5,490		137,305
MDC Partners, Inc. — Class A		9,400		135,548
Monro Muffler Brake, Inc.		4,075		134,353
PVH Corp.		2,270		132,205
Ulta Salon Cosmetics & Fragrance, Inc.*		1,925		119,793
Select Comfort Corp.*		8,360		116,789
Jos A. Bank Clothiers, Inc.*		2,360		110,047
Stage Stores, Inc.		7,400		102,638
Lennar Corp. — Class A		7,450		100,873
SodaStream International Ltd.*		2,975		98,324
Pinnacle Entertainment, Inc.*		9,100		82,628
Cost Plus, Inc.*		11,240		70,812
Harman International Industries, Inc.		2,270		64,876
Total Consumer Discretionary				2,550,300
Health Care - 17.1%
Endo Pharmaceuticals Holdings, Inc.*		8,590		240,434
SonoSite, Inc.*		6,610		200,547
Endologix, Inc.*		19,400		194,776
Cepheid, Inc.*		4,900		190,267
Mednax, Inc.*		2,620		164,117
BioMarin Pharmaceutical, Inc.*		5,000		159,350
Halozyme Therapeutics, Inc.*		23,440		143,922
Hologic, Inc.*		8,660		131,719
Haemonetics Corp.*		2,155		126,025
Integra LifeSciences Holdings Corp.*		3,230		115,537
Hill-Rom Holdings, Inc.		3,745		112,425
Teleflex, Inc.		1,830		98,399
NxStage Medical, Inc.*		4,050		84,483
Health Management Associates, Inc. — Class A*		10,770		74,528
Angiodynamics, Inc.*		4,260		55,976
NuVasive, Inc.*		2,500		42,675
Momenta Pharmaceuticals, Inc.*		3,300		37,950
CardioNet, Inc.*		12,550		37,650
Total Health Care				2,210,780
Industrials - 13.9%
Wabtec Corp.		3,150		166,541
IDEX Corp.		5,200		162,032
WABCO Holdings, Inc.*		4,190		158,633
Kansas City Southern*		2,945		147,132
BE Aerospace, Inc.*		4,440		147,008
Pall Corp.		3,240		137,376
Crane Co.		3,500		124,915
Interface, Inc. — Class A		10,430		123,700
AECOM Technology Corp.*		6,410		113,265
Navistar International Corp.*		3,500		112,420
Regal-Beloit Corp.		2,390		108,458
Towers Watson & Co. — Class A		1,800		107,604
Pentair, Inc.		3,290		105,313
A123 Systems, Inc.*		25,800		88,752
Total Industrials				1,803,149
Energy - 6.4%
Oil States International, Inc.*		4,660		237,287
Superior Energy Services, Inc.*		6,830		179,219
Plains Exploration & Production Co.*		6,250		141,937
CARBO Ceramics, Inc.		1,200		123,036
Stone Energy Corp.*		5,750		93,208
Carrizo Oil & Gas, Inc.*		2,300		49,565
Total Energy				824,252
Financials - 4.7%
Texas Capital Bancshares, Inc.*		8,250		188,513
Commerce Bancshares, Inc.		5,311		184,557
Amtrust Financial Services, Inc.		5,900		131,334
Stifel Financial Corp.*		4,005		106,373
Total Financials				610,777
Materials - 3.9%
Kaiser Aluminum Corp.		4,390		194,389
Solutia, Inc.*		9,600		123,360

44 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) September 30, 2011

SMALL CAP GROWTH FUND

	Shares		Value
Silgan Holdings, Inc.		2,670	$	98,096
Cliffs Natural Resources, Inc.		1,760		90,059
Total Materials				505,904
Utilities - 2.6%
ITC Holdings Corp.		2,270		175,766
NorthWestern Corp.		5,050		161,297
Total Utilities				337,063
Telecommunication Services - 1.2%
SBA Communications Corp. — Class A*		4,450		153,436
Total Common Stocks (Cost $12,063,145)				12,255,983
EXCHANGE TRADED FUND† - 1.5%
iShares Russell 2000 Growth Index Fund		2,570		188,818
Total Exchange Traded Fund (Cost $230,743)				188,818
Total Investments - 96.2% (Cost $12,293,888)			$	12,444,801
Cash & Other Assets, Less Liabilities - 3.8%				496,828
Total Net Assets - 100.0%			$	12,941,629

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
	ADR — American Depositary Receipt

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 45

SMALL CAP GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments, at value (cost $12,293,888)	$	12,444,801
Cash		626,520
Prepaid expenses		8,564
Receivables:
Securities sold		82,729
Fund shares sold		4,224
Dividends		1,811
Total assets		13,168,649
Liabilities:
Payable for:
Securities purchased		121,872
Fund shares redeemed		66,012
Management fees		9,585
Transfer agent/maintenance fees		4,725
Distribution and service fees		4,519
Fund accounting/administration fees		1,057
Directors’ fees*		266
Miscellaneous		18,984
Total liabilities		227,020
Net assets	$	12,941,629
Net assets consist of:
Paid in capital	$	16,907,487
Undistributed net investment income		—
Accumulated net realized loss on investments		(4,116,771	)
Net unrealized appreciation on investments		150,913
Net assets	$	12,941,629
A-Class:
Net assets	$	10,395,675
Capital shares outstanding		872,979
Net asset value per share	$	11.91
Maximum offering price per share (Net asset value divided by 95.25%)	$	12.50
B-Class:
Net assets	$	1,262,424
Capital shares outstanding		120,522
Net asset value per share	$	10.47
C-Class:
Net assets	$	1,283,530
Capital shares outstanding		120,226
Net asset value per share	$	10.68

STATEMENT OF OPERATIONS

Year Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $376)	$	72,538
Total investment income		72,538
Expenses:
Management fees		143,919
Transfer agent/maintenance fees		74,218
Distribution and service fees:
A-Class		34,413
B-Class		14,511
C-Class		17,153
Fund accounting/administration fees		25,000
Registration fees		38,539
Directors’ fees*		1,663
Miscellaneous		31,813
Total expenses		381,229
Net investment loss		(308,691	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,614,617
Net realized gain		2,614,617
Net change in unrealized appreciation (depreciation) on:
Investments		(2,745,033	)
Net change in unrealized appreciation (depreciation)		(2,745,033	)
Net realized and unrealized loss		(130,416	)
Net decrease in net assets resulting from operations	$	(439,107	)

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

46 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

SMALL CAP GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(308,691	)	$	(246,891	)
Net realized gain on investments		2,614,617			2,427,963
Net change in unrealized appreciation (depreciation) on investments		(2,745,033	)		(19,339	)
Net increase (decrease) in net assets resulting from operations		(439,107	)		2,161,733
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		7,162,239			7,166,260
B-Class		476,803			126,073
C-Class		438,345			164,394
Cost of shares redeemed
A-Class		(8,281,727	)		(7,013,788	)
B-Class		(573,179	)		(691,365	)
C-Class		(606,748	)		(397,619	)
Net decrease from capital share transactions		(1,384,267	)		(646,045	)
Net increase (decrease) in net assets		(1,823,374	)		1,515,688
Net assets:
Beginning of year		14,765,003			13,249,315
End of year	$	12,941,629		$	14,765,003
Undistributed net investment income	$	—		$	—
Capital share activity:
Shares sold
A-Class		488,818			641,027
B-Class		35,998			12,444
C-Class		32,398			16,059
Shares redeemed
A-Class		(583,053	)		(617,198	)
B-Class		(46,201	)		(69,069	)
C-Class		(47,660	)		(38,473	)
Net decrease in shares		(119,700	)		(55,210	)

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 47

SMALL CAP GROWTH FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each year and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.25		$	10.56		$	11.43		$	18.53		$	15.63
Income (loss) from investment operations:
Net investment lossa		(.24	)		(.18	)		(.18	)		(.24	)		(.23	)
Net gain (loss) on investments (realized and unrealized)		(.10	)		1.87			(.63	)		(5.55	)		3.13
Total from investment operations		(.34	)		1.69			(.81	)		(5.79	)		2.90
Less distributions from:
Net realized gains		—			—			(.06	)		(1.31	)		—
Total distributions		—			—			(.06	)		(1.31	)		—
Net asset value, end of period	$	11.91		$	12.25		$	10.56		$	11.43		$	18.53
Total Returnb		(2.78	%)		16.00	%		(6.89	%)		(33.25	%)		18.55	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,396		$	11,847		$	9,966		$	12,414		$	45,430
Ratios to average net assets:
Net investment loss		(1.68	%)		(1.55	%)		(2.04	%)		(1.59	%)		(1.32	%)
Total expenses		2.11	%		2.26	%		2.67	%		1.98	%		1.80	%
Net expensesc		2.11	%		2.26	%		2.60	%		1.98	%		1.80	%
Portfolio turnover rate		101	%		112	%		200	%		169	%		145	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	10.85		$	9.43		$	10.28		$	16.92		$	14.38
Income (loss) from investment operations:
Net investment lossa		(.30	)		(.23	)		(.21	)		(.32	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		(.08	)		1.65			(.58	)		(5.01	)		2.87
Total from investment operations		(.38	)		1.42			(.79	)		(5.33	)		2.54
Less distributions from:
Net realized gains		—			—			(.06	)		(1.31	)		—
Total distributions		—			—			(.06	)		(1.31	)		—
Net asset value, end of period	$	10.47		$	10.85		$	9.43		$	10.28		$	16.92
Total Returnb		(3.41	%)		15.06	%		(7.47	%)		(33.72	%)		17.66	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,262		$	1,419		$	1,766		$	2,675		$	5,792
Ratios to average net assets:
Net investment loss		(2.44	%)		(2.30	%)		(2.77	%)		(2.42	%)		(2.07	%)
Total expenses		2.87	%		3.02	%		3.41	%		2.82	%		2.56	%
Net expensesc		2.87	%		3.02	%		3.33	%		2.82	%		2.56	%
Portfolio turnover rate		101	%		112	%		200	%		169	%		145	%

48 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

SMALL CAP GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each year and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.06		$	9.61		$	10.48		$	17.23		$	14.64
Income (loss) from investment operations:
Net investment lossa		(.31	)		(.24	)		(.22	)		(.33	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		(.07	)		1.69			(.59	)		(5.11	)		2.92
Total from investment operations		(.38	)		1.45			(.81	)		(5.44	)		2.59
Less distributions from:
Net realized gains		—			—			(.06	)		(1.31	)		—
Total distributions		—			—			(.06	)		(1.31	)		—
Net asset value, end of period	$	10.68		$	11.06		$	9.61		$	10.48		$	17.23
Total Returnb		(3.44	%)		15.09	%		(7.51	%)		(33.76	%)		17.69	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,284		$	1,499		$	1,518		$	2,318		$	3,964
Ratios to average net assets:
Net investment loss		(2.43	%)		(2.31	%)		(2.77	%)		(2.43	%)		(2.07	%)
Total expenses		2.86	%		3.02	%		3.40	%		2.83	%		2.56	%
Net expensesc		2.86	%		3.02	%		3.33	%		2.83	%		2.56	%
Portfolio turnover rate		101	%		112	%		200	%		169	%		145	%

a	Net investment loss per share was computed using average shares outstanding throughout the year.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 49

MANAGER’S COMMENTARY (Unaudited) September 30, 2011

Advised by:  

To Our Shareholders:

For the 12-month period ended September 30, 2011, the Rydex|SGI Equity Fund—Small Cap Value Fund returned -7.31%¹, while the Fund’s benchmark, the Russell 2000^® Value Index, had a -5.99% return.

Our strategy is to select securities of small companies that appear undervalued by the overall market relative to assets, earnings, growth potential or cash flows. Our investment approach is a defined and disciplined process with three key philosophical tenets that drive our investment decisions: a valuation focus, a long-term investment horizon and an opportunistic approach.

Our investment process is fundamentally driven and quantitatively aided. We use proprietary screens to identify potential companies for investment and then perform rigorous fundamental analysis to identify the best ideas. Through this fundamental research, we determine an estimate of intrinsic value and a corresponding valuation target for each company. We construct the portfolio based on the level of conviction generated by the bottom-up analysis and the upside/downside profile associated with each company.

The portfolio’s performance was helped by good stock selection in both the Information Technology and Consumer Discretionary sectors—which contributed the most to the portfolio’s return for the period. However, these benefits were not enough to offset poor stock selection in Industrials and Financials. The situation in Industrials was exacerbated by having an overweight (24% for the portfolio against 15% for the Index). Financials detracted despite a 20-percentage point underweight (17% for the portfolio and 37% for the Index).

Our process favors companies with average stability/profit visibility at the expense of more economically sensitive names, a stance which held back portfolio performance early in the period. However, we did shift slightly out of defensive names in Utilities, Health Care and Consumer Staples and began to invest in more cyclical names in the third quarter of 2011 to take advantage of opportunities where we saw value. We continue to believe that some of the best value investment opportunities lie in energy, insurance and infrastructure-related investments.

The holdings contributing most to portfolio performance over the period were Global Industries Ltd., an Energy holding which returned 44%, and LSB Industries, Inc., a Materials holding that returned 148%. The main detractors were Insituform Technologies, Inc. — Class A, which fell 52%, and Abraxas Petroleum Corp., which fell 46%.

Factors expected to affect markets going forward include the trend in corporate earnings, resolution to the European sovereign debt crisis and developments in the U.S. economic recovery as a result of the ongoing budget discussions. We expect the world macroeconomic situation to remain unsettled in the near future and are focused on searching for companies that are underpriced relative to their intrinsic value as determined through our systematic, bottom-up, fundamental research analysis process.

Through periods of uncertainty, we believe holding companies that meet our investment criteria, and staying consistent with our philosophy and process, will benefit our investors over the long term.

We appreciate your business and the trust you place in us.

Sincerely,

James Schier, CFA, Portfolio Manager

50 | the RYDEX | SGI equity funds annual report

MANAGER’S COMMENTARY (Unaudited) (concluded)

The opinions and forecasts expressed are those of James Schier 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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

Russell 2000 Value Index measures the performance of the small to mid-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

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.

the RYDEX | SGI equity funds annual report | 51

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

SMALL CAP VALUE FUND

OBJECTIVE: Seeks long-term capital appreciation.

Cumulative Fund Performance

The Russell 2000^®Value Index is an unmanaged index measuring the performance of the small cap value segment of the U.S. equity universe and which includes companies with lower price-to-book ratios and lower forecasted growth values.

Average Annual Returns*

Periods Ended 9/30/11

				Since
				Inception
	1 Year			(07/11/08)
A-Class		-7.31	%		12.78	%
A-Class with sales charge†		-12.66	%		10.73	%
C-Class		-8.07	%		11.97	%
C-Class with CDSC††		-8.87	%		11.97	%
Institutional Class		-7.11	%		13.04	%
Russell 2000 Value Index		-5.99	%		-0.48	%

Holdings Diversification (Market Exposure as
% of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	July 11, 2008
C-Class	July 11, 2008
Institutional Class	July 11, 2008

Ten Largest Holdings (% of Total Net Assets)
Hanover Insurance Group, Inc.	3.7	%
Cabela’s, Inc.	2.7	%
Maxwell Technologies, Inc.	2.4	%
GeoEye, Inc.	2.2	%
Gulfport Energy Corp.	2.1	%
Standard Microsystems Corp.	2.1	%
Chico’s FAS, Inc.	2.1	%
IXYS Corp.	2.0	%
Myers Industries, Inc.	2.0	%
Black Hills Corp.	1.9	%
Top Ten Total	23.2	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

52 | the RYDEX|SGI equity funds annual report

SCHEDULE OF INVESTMENTS September 30, 2011

SMALL CAP VALUE FUND

	Shares		Value
COMMON STOCKS† - 97.6%
Financials - 18.6%
Hanover Insurance Group, Inc.1		11,020	$	391,210
Transatlantic Holdings, Inc.		4,015		194,808
1st Source Corp.		8,260		172,056
Horace Mann Educators Corp.		14,920		170,237
SeaBright Holdings, Inc.		22,830		164,376
Reinsurance Group of America, Inc.		3,248		149,246
Cedar Shopping Centers, Inc.		41,920		130,371
Employers Holdings, Inc.		6,120		78,091
Heritage Financial Corp.		6,860		75,734
Solar Senior Capital Ltd.		5,296		75,680
Ocwen Financial Corp.*		5,560		73,448
Lexington Realty Trust		10,670		69,782
Fifth Street Finance Corp.		6,340		59,089
Endurance Specialty Holdings Ltd.		1,500		51,225
Bancfirst Corp.		1,514		50,204
Redwood Trust, Inc.		2,650		29,600
First Marblehead Corp.*		19,362		19,749
First Horizon National Corp.		—		—
Total Financials				1,954,906
Information Technology - 18.0%
Maxwell Technologies, Inc.*		13,900		255,899
Standard Microsystems Corp.*		11,373		220,636
IXYS Corp.*		19,630		213,574
Insight Enterprises, Inc.*		11,599		175,609
Cree, Inc.*		5,500		142,890
Global Cash Access Holdings, Inc.*		54,270		138,931
Digi International, Inc.*		11,227		123,497
Multi-Fineline Electronix, Inc.*		5,980		119,241
Satyam Computer Services Ltd. ADR*		41,467		113,205
KIT Digital, Inc.*		11,720		98,448
Power-One, Inc.*		18,173		81,779
Intermec, Inc.*		11,220		73,155
Perficient, Inc.*		8,920		65,294
Symmetricom, Inc.*		11,100		48,174
Methode Electronics, Inc.		3,045		22,624
Total Information Technology				1,892,956
Industrials - 17.4%
GeoEye, Inc.*		8,330		236,155
FTI Consulting, Inc.*		4,560		167,854
Force Protection, Inc.*		43,440		167,244
Great Lakes Dredge & Dock Corp.		38,350		156,084
ICF International, Inc.*		7,850		147,658
Navigant Consulting, Inc.*		14,960		138,679
Orbital Sciences Corp.*		9,876		126,413
EnergySolutions, Inc.*		33,188		117,154
General Cable Corp.*		4,910		114,648
Saia, Inc.*		10,180		107,094
Insituform Technologies, Inc. — Class A*		9,060		104,915
Celadon Group, Inc.		10,212		90,683
Atlas Air Worldwide Holdings, Inc.*		1,973		65,681
DryShips, Inc.*		24,770		57,962
Energy Recovery, Inc.*		10,898		32,803
Total Industrials				1,831,027
Consumer Discretionary - 15.3%
Cabela’s, Inc.*		13,819		283,151
Chico’s FAS, Inc.1		19,100		218,313
International Speedway Corp. — Class A		8,040		183,634
Penn National Gaming, Inc.*		4,600		153,134
DeVry, Inc.		3,760		138,970
Smith & Wesson Holding Corp.*		54,610		137,617
Maidenform Brands, Inc.*,1		5,510		128,989
MDC Partners, Inc. — Class A		8,239		118,806
Scholastic Corp.		3,620		101,469
Brown Shoe Company, Inc.		11,564		82,336
Hanesbrands, Inc.*		2,840		71,028
Total Consumer Discretionary				1,617,447
Energy - 11.1%
Gulfport Energy Corp.*		9,235		223,302
Parker Drilling Co.*		41,470		182,053
Kodiak Oil & Gas Corp.*		28,916		150,652
Tesco Corp.*		12,810		148,596
Abraxas Petroleum Corp.*		52,820		139,445
Goodrich Petroleum Corp.*		9,564		113,047
Resolute Energy Corp.*		8,360		94,970
Petroleum Development Corp.*		3,290		63,793
USEC, Inc.*		29,420		47,366
Ocean Rig UDW, Inc.*		180		2,727
Total Energy				1,165,951
Materials - 7.3%
Myers Industries, Inc.		20,660		209,699
TPC Group, Inc.*		7,560		151,805
A. Schulman, Inc.		8,040		136,600
Landec Corp.*		20,173		107,320
Zoltek Companies, Inc.*		14,540		93,492
HB Fuller Co.		4,167		75,923
Total Materials				774,839
Consumer Staples - 4.5%
Spartan Stores, Inc.		8,860		137,153
Smart Balance, Inc.*		20,500		120,950
Orchids Paper Products Co.		9,569		119,517
Winn-Dixie Stores, Inc.*		15,600		92,352
Total Consumer Staples				469,972
Health Care - 3.1%
ICU Medical, Inc.*		5,180		190,624
Mednax, Inc.*		1,240		77,673
Kindred Healthcare, Inc.*		6,980		60,168
Total Health Care				328,465

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 53

SCHEDULE OF INVESTMENTS (concluded) September 30, 2011

SMALL CAP VALUE FUND

	Shares		Value
Utilities - 2.3%
Black Hills Corp.		6,410	$	196,402
MDU Resources Group, Inc.		2,346		45,020
Total Utilities				241,422
Total Common Stocks (Cost $12,306,222)				10,276,985
CONVERTIBLE PREFERRED STOCK†† -0.0%
Thermoenergy Corp.*,2		6,250		3,468
Total Convertible Preferred Stock (Cost $5,968)				3,468
WARRANTS†† - 0.0%
Thermoenergy Corp.2 $0.30, 07/31/15		100,000		4,070
Total Warrants (Cost $9,032)				4,070

	Face
	Amount
CONVERTIBLE BONDS†† - 0.8%
Industrials - 0.8%
DryShips, Inc. 5.00% due 12/01/14	$	125,000		77,031
Total Convertible Bonds (Cost $93,467)				77,031
Total Investments - 98.4% (Cost $12,414,689)			$	10,361,554

	Contracts		Value
OPTIONS WRITTEN† - (0.2)%
Call Options on:
Chico’s FAS, Inc. Expiring January 2012 with strike price of $15.00		10	$	(250	)
Maidenform Brands, Inc.†† Expiring January 2012 with strike price of $25.00		21		(3,045	)
Total Call Options				(3,295	)
Put Options on:
Chico’s FAS, Inc. Expiring January 2012 with strike price of $12.50		13		(2,730	)
SandRidge Energy, Inc. Expiring December 2011 with strike price of $7.00		19		(3,591	)
Gulfport Energy Corp. Expiring October 2011 with strike price of $25.00		19		(3,800	)
Maidenform Brands, Inc. Expiring January 2012 with strike price of $22.50		23		(5,520	)
Total Put Options				(15,641	)
Total Options Written (Premiums received $17,903)				(18,936	)
Cash & Other Assets, Less Liabilities - 1.8%				191,823
Total Net Assets - 100.0%			$	10,534,441

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	All or a portion of this security is pledged as collateral for open options written at September 30, 2011.
2	PIPE (Private Investment in Public Equity) — Stock issued by a company in the secondary market as a means of raising capital more quickly and less expensively than through registration of a secondary public offering.
	ADR — American Depositary Receipt

54 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

SMALL CAP VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments, at value (cost $12,414,689)	$	10,361,554
Cash		123,524
Prepaid expenses		22,717
Receivables:
Securities sold		55,968
Fund shares sold		53,084
Investment advisor		10,832
Dividends		6,705
Interest		2,082
Total assets		10,636,466
Liabilities:
Options written, at value (premiums received $17,903)		18,936
Payable for:
Securities purchased		45,162
Management fees		9,178
Fund shares redeemed		8,509
Distribution and service fees		3,665
Transfer agent/maintenance fees		2,188
Fund accounting/administration fees		533
Directors’ fees*		58
Miscellaneous		13,796
Total liabilities		102,025
Net assets	$	10,534,441
Net assets consist of:
Paid in capital	$	12,345,276
Undistributed net investment income		—
Accumulated net realized gain on investments		243,333
Net unrealized depreciation on investments		(2,054,168	)
Net assets	$	10,534,441
A-Class:
Net assets	$	7,591,756
Capital shares outstanding		651,156
Net asset value per share	$	11.66
Maximum offering price per share (Net asset value divided by 95.25%)	$	12.24
C-Class:
Net assets	$	2,304,893
Capital shares outstanding		202,821
Net asset value per share	$	11.36
Institutional Class:
Net assets	$	637,792
Capital shares outstanding		54,234
Net asset value per share	$	11.76

STATEMENT OF OPERATIONS

Year Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $607)	$	89,368
Interest		255
Total investment income		89,623
Expenses:
Management fees		114,840
Transfer agent/maintenance fees		36,625
Distribution and service fees:
A-Class		21,032
C-Class		22,707
Fund accounting/administration fees		25,000
Registration fees		33,832
Directors’ fees*		1,011
Miscellaneous		27,464
Total expenses		282,511
Less:
Expenses waived by advisor		(118,145	)
Net expenses		164,366
Net investment loss		(74,743	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		876,975
Options written		15,644
Net realized gain		892,619
Net change in unrealized appreciation (depreciation) on:
Investments		(2,396,483	)
Options written		(1,659	)
Net change in unrealized appreciation (depreciation)		(2,398,142	)
Net realized and unrealized loss		(1,505,523	)
Net decrease in net assets resulting from operations	$	(1,580,266	)

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 55

SMALL CAP VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(74,743	)	$	(32,326	)
Net realized gain on investments		892,619			720,272
Net change in unrealized appreciation (depreciation) on investments		(2,398,142	)		(376,988	)
Net increase (decrease) in net assets resulting from operations		(1,580,266	)		310,958
Distributions to Shareholders From:
Net realized gains
A-Class		(891,555	)		(152,192	)
C-Class		(220,130	)		(21,874	)
Institutional Class		(91,413	)		(21,435	)
Total distributions to shareholders		(1,203,098	)		(195,501	)
Capital Share Transactions:
Proceeds from sale of shares
A-Class		6,162,474			12,456,244
C-Class		1,798,076			692,236
Institutional Class		187,814			157,271
Distributions reinvested
A-Class		869,495			150,268
C-Class		203,368			21,874
Institutional Class		73,422			13,598
Cost of shares redeemed
A-Class		(3,590,095	)		(9,619,034	)
C-Class		(469,516	)		(143,145	)
Institutional Class		(213,782	)		(131,908	)
Net increase from capital share transactions		5,021,256			3,597,404
Net increase in net assets		2,237,892			3,712,861
Net assets:
Beginning of year		8,296,549			4,583,688
End of year	$	10,534,441		$	8,296,549
Undistributed net investment income	$	—		$	—
Capital share activity:
Shares sold
A-Class		427,431			911,652
C-Class		126,060			51,089
Institutional Class		12,835			11,908
Shares issued from reinvestment of distributions
A-Class		61,535			11,497
C-Class		14,673			1,693
Institutional Class		5,160			1,036
Shares redeemed
A-Class		(270,342	)		(735,798	)
C-Class		(33,653	)		(11,124	)
Institutional Class		(14,642	)		(9,494	)
Net increase in shares		329,057			232,459

56 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,			September 30,
A-Class	2011			2010			2009			2008a
Per Share Data
Net asset value, beginning of period	$	14.35		$	13.24		$	11.48		$	10.00
Income (loss) from investment operations:
Net investment lossb		(.07	)		(.05	)		(.05	)		(—	)c
Net gain (loss) on investments (realized and unrealized)		(.63	)		1.54			2.44			1.48
Total from investment operations		(.70	)		1.49			2.39			1.48
Less distributions from:
Net realized gains		(1.99	)		(.38	)		(.63	)		—
Total distributions		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	11.66		$	14.35		$	13.24		$	11.48
Total Returnd		(7.31	%)		11.53	%		24.15	%		14.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,592		$	6,209		$	3,245		$	400
Ratios to average net assets:
Net investment loss		(0.52	%)		(0.34	%)		(0.46	%)		(0.19	%)
Total expenses		2.33	%		2.45	%		4.92	%		6.10	%
Net expensese		1.30	%		1.30	%		1.55	%		1.55	%
Portfolio turnover rate		70	%		140	%		58	%		86	%

	Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,			September 30,
C-Class	2011			2010			2009			2008a
Per Share Data
Net asset value, beginning of period	$	14.13		$	13.11		$	11.46		$	10.00
Income (loss) from investment operations:
Net investment lossb		(.18	)		(.15	)		(.11	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		(.60	)		1.55			2.39			1.48
Total from investment operations		(.78	)		1.40			2.28			1.46
Less distributions from:
Net realized gains		(1.99	)		(.38	)		(.63	)		—
Total distributions		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	11.36		$	14.13		$	13.11		$	11.46
Total Returnd		(8.07	%)		10.94	%		23.16	%		14.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,305		$	1,353		$	709		$	391
Ratios to average net assets:
Net investment loss		(1.26	%)		(1.09	%)		(1.15	%)		(0.94	%)
Total expenses		3.07	%		3.22	%		6.40	%		6.88	%
Net expensese		2.05	%		2.05	%		2.30	%		2.30	%
Portfolio turnover rate		70	%		140	%		58	%		86	%

See Notes to Financial Statements. the RYDEX | SGI equity funds annual report | 57

SMALL CAP VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,			September 30,
Institutional Class	2011			2010			2009			2008a
Per Share Data
Net asset value, beginning of period	$	14.43		$	13.28		$	11.49		$	10.00
Income (loss) from investment operations:
Net investment income (loss)b		(.04	)		(.01	)		(.01	)		—c
Net gain (loss) on investments (realized and unrealized)		(.64	)		1.54			2.43			1.49
Total from investment operations		(.68	)		1.53			2.42			1.49
Less distributions from:
Net realized gains		(1.99	)		(.38	)		(.63	)		—
Total distributions		(1.99	)		(.38	)		(.63	)		—
Net asset value, end of period	$	11.76		$	14.43		$	13.28		$	11.49
Total Returnd		(7.11	%)		11.80	%		24.40	%		14.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	638		$	734		$	630		$	383
Ratios to average net assets:
Net investment income (loss)		(0.30	%)		(0.08	%)		(0.14	%)		0.06	%
Total expenses		2.09	%		2.21	%		5.44	%		5.90	%
Net expensese		1.05	%		1.05	%		1.30	%		1.30	%
Portfolio turnover rate		70	%		140	%		58	%		86	%

a	Since commencement of operations: July 11, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.

58 | the RYDEX | SGI equity funds annual report See Notes to Financial Statements.

MANAGER’S COMMENTARY (Unaudited)	September 30, 2011
Advised by:

To Our Shareholders:

For the 12-month period ended September 30, 2011, the Rydex|SGI Equity Fund—Large Cap Concentrated Growth Fund returned -2.59%¹, while the Fund’s benchmark, the Russell 1000^® Growth Index, had a 3.78% return.

The Fund seeks to deliver long-term growth of capital by investing in securities that have demonstrated consistent above-average returns. It primarily invests in stocks of large companies that appear to have solid potential for growth. The Fund uses a combination of a qualitative top-down approach in reviewing growth trends that are based on several fixed income factors, such as bond spreads and interest rates, along with a quantitative fundamental bottom-up approach.

The portfolio is constructed with 25-30 names; holdings are replaced when the fundamentals of a company or the original thesis for selecting the security changes.

The portfolio’s performance was helped by its Information Technology and Industrials holdings, which contributed the most to the portfolio’s performance. The Technology holdings in the portfolio outgained those in the Index, while the Industrials sector benefited by being overweight and relatively outperforming Industrials in the Index. However, this was not enough to offset the effects of poor stock selection in Financials and Energy sectors, the largest detractors to portfolio performance. The portfolio’s Financials holdings lost 32% as a group, compared with a loss of about 3.5% for the Financials names in the Index. The Energy sector in the Index had positive performance, while the portfolio’s Energy holdings had negative performance as a group.

The holdings contributing most to portfolio performance over the period were Apple, Inc., which returned 34%, and Occidental Petroleum Corp., which returned 29%.

Leading detractors to performance were energy stock Baker Hughes, Inc., which was off 35%, MetLife, Inc., which fell 40%, and JPMorgan Chase & Co., which fell 34%.

Because the slope of the Treasury Yield Curve (the difference between the 3-month and 10-year) remains far steeper than levels prior to past recessions, we continue to believe the U.S. economy will avoid recession, but turn in subpar 1.5%-2% growth over the next year or so. Additionally, bond spreads (10-year single-A bond) have widened, but not to the levels we saw in 2008. Both factors indicate a diminished risk environment but not a crisis such as 2008.

Since our indicators are not particularly positive, we expect to keep the beta of our portfolio similar to that of the benchmark. We will remain in cyclical names within certain sectors where the dollar’s strength is a tailwind, such as the consumer cyclical sector. We do anticipate that Europe will eventually provide a strong response to its sovereign crisis which should lift the markets.

We appreciate your business and the trust you place in us.

Sincerely,

Mark Bronzo, CFA, Portfolio Manager

the RYDEX|SGI equity funds annual report | 59

MANAGERS’S COMMENTARY (Unaudited) (concluded)

The opinions and forecasts expressed are those of Mark Bronzo 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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

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.

60 | the RYDEX|SGI equity funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

LARGE CAP CONCENTRATED GROWTH FUND

OBJECTIVE: Seeks long-term growth of capital.

Cumulative Fund Performance

The Russell 1000^® Growth Index is an unmanaged index measuring the performance of the large cap growth segment of the U.S. equity universe and which includes companies with higher price-to-book ratios and higher forecasted growth values.

Average Annual Returns*
Periods Ended 9/30/11

	1 Year			5 Year			10 Year
A-Class		-2.59	%		-3.72	%		0.74	%
A-Class with sales charge†		-8.24	%		-4.85	%		0.15	%
B-Class		-3.45	%		-4.47	%		0.15	%
B-Class with CDSC††		-8.28	%		-4.81	%		0.15	%
C-Class		-3.43	%		-4.45	%		-0.02	%
C-Class with CDSC†††		-4.40	%		-4.45	%		-0.02	%
Russell 1000 Growth Index		3.78	%		1.62	%		3.01	%

Holdings Diversification (Market Exposure as
% of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	January 29, 1999
B-Class	January 29, 1999
C-Class	January 29, 1999

Ten Largest Holdings (% of Total Net Assets)
Apple, Inc.	5.7	%
Google, Inc. — Class A	5.2	%
QUALCOMM, Inc.	4.2	%
International Business Machines Corp.	3.7	%
Coca-Cola Co.	3.6	%
McDonald’s Corp.	3.6	%
TJX Companies, Inc.	3.4	%
Starbucks Corp.	3.4	%
Johnson & Johnson	3.4	%
Nordstrom, Inc.	3.3	%
Top Ten Total	39.5	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 1000 Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of up to 5% if redeemed within 5 years of purchase.
†††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

the RYDEX|SGI equity funds annual report | 61

SCHEDULE OF INVESTMENTS September 30, 2011

LARGE CAP CONCENTRATED GROWTH FUND

	Shares		Value
COMMON STOCKS† - 94.3%
Information Technology - 26.8%
Apple, Inc.*		4,305	$	1,640,980
Google, Inc. — Class A*		2,945		1,514,849
QUALCOMM, Inc.		25,320		1,231,312
International Business Machines Corp.		6,150		1,076,434
Dell, Inc.*		65,820		931,353
Avago Technologies Ltd.		22,720		744,534
Cognizant Technology Solutions Corp. — Class A*		10,070		631,389
Total Information Technology				7,770,851
Consumer Discretionary - 21.6%
McDonald’s Corp.		11,890		1,044,180
TJX Companies, Inc.		18,040		1,000,679
Starbucks Corp.		26,400		984,456
Nordstrom, Inc.		21,250		970,700
Priceline.com, Inc.*		1,865		838,243
BorgWarner, Inc.*		13,250		802,022
Wynn Resorts Ltd.		5,475		630,063
Total Consumer Discretionary				6,270,343
Industrials - 14.9%
United Parcel Service, Inc. — Class B		15,040		949,776
Precision Castparts Corp.		5,910		918,769
Eaton Corp.		23,720		842,060
CSX Corp.		43,080		804,304
Honeywell International, Inc.		18,260		801,796
Total Industrials				4,316,705
Health Care - 9.5%
Johnson & Johnson		15,300		974,763
Gilead Sciences, Inc.*		24,750		960,300
Covidien plc		18,200		802,620
Total Health Care				2,737,683
Energy - 7.6%
Baker Hughes, Inc.		16,770		774,103
National Oilwell Varco, Inc.		14,100		722,202
Halliburton Co.		22,870		697,993
Total Energy				2,194,298
Financials - 5.4%
Wells Fargo & Co.		36,400		877,968
MetLife, Inc.		24,230		678,682
Total Financials				1,556,650
Materials - 4.9%
CF Industries Holdings, Inc.		5,920		730,469
EI du Pont de Nemours & Co.		17,500		699,475
Total Materials				1,429,944
Consumer Staples - 3.6%
Coca-Cola Co.		15,500		1,047,180
Total Common Stocks (Cost $29,719,841)				27,323,654
Total Investments - 94.3% (Cost $29,719,841)			$	27,323,654
Cash & Other Assets, Less Liabilities - 5.7%				1,666,289
Total Net Assets - 100.0%			$	28,989,943

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
	plc — Public Limited Company

See Notes to Financial Statements.

62 | the RYDEX|SGI equity funds annual report

LARGE CAP CONCENTRATED GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments, at value (cost $29,719,841)	$	27,323,654
Cash		1,813,634
Prepaid expenses		11,313
Receivables:
Securities sold		842,297
Investment advisor		7,091
Fund shares sold		3,935
Dividends		177
Total assets		30,002,101
Liabilities:
Payable for:
Securities purchased		902,964
Fund shares redeemed		52,409
Management fees		19,190
Distribution and service fees		10,185
Transfer agent/maintenance fees		7,307
Fund accounting/administration fees		2,430
Directors’ fees*		339
Miscellaneous		17,334
Total liabilities		1,012,158
Net assets	$	28,989,943
Net assets consist of:
Paid in capital	$	39,267,240
Undistributed net investment income		—
Accumulated net realized loss on investments		(7,881,110	)
Net unrealized depreciation on investments		(2,396,187	)
Net assets	$	28,989,943
A-Class:
Net assets	$	23,358,008
Capital shares outstanding		3,158,438
Net asset value per share	$	7.40
Maximum offering price per share (Net asset value divided by 95.25%)	$	7.77
B-Class:
Net assets	$	2,873,445
Capital shares outstanding		427,296
Net asset value per share	$	6.72
C-Class:
Net assets	$	2,758,490
Capital shares outstanding		408,504
Net asset value per share	$	6.75

STATEMENT OF OPERATIONS

Year Ended September 30, 2011

Investment income:
Dividends	$	448,920
Interest		174
Total investment income		449,094
Expenses:
Management fees		297,791
Transfer agent/maintenance fees		167,738
Distribution and service fees:
A-Class		78,414
B-Class		45,007
C-Class		38,392
Fund accounting/administration fees		37,720
Registration fees		39,459
Directors’ fees*		2,636
Miscellaneous		32,200
Total expenses		739,357
Less:
Expenses waived by advisor		(140,783	)
Net expenses		598,574
Net investment loss		(149,480	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		5,536,174
Net realized gain		5,536,174
Net change in unrealized appreciation (depreciation) on:
Investments		(5,217,813	)
Net change in unrealized appreciation (depreciation)		(5,217,813	)
Net realized and unrealized gain		318,361
Net increase in net assets resulting from operations	$	168,881

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 63

LARGE CAP CONCENTRATED GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(149,480	)	$	129,025
Net realized gain on investments		5,536,174			4,700,281
Net change in unrealized appreciation (depreciation) on investments		(5,217,813	)		(1,175,337	)
Net increase in net assets resulting from operations		168,881			3,653,969
Distributions to shareholders from:
Net investment income
A-Class		(136,272	)		—
Total distributions to shareholders		(136,272	)		—
Capital share transactions:
Proceeds from sale of shares
A-Class		6,625,536			12,118,241
B-Class		432,234			1,138,329
C-Class		912,085			253,325
Distributions reinvested
A-Class		135,329			—
Cost of shares redeemed
A-Class		(12,415,678	)		(8,293,084	)
B-Class		(2,268,242	)		(2,811,232	)
C-Class		(1,408,613	)		(1,022,294	)
Net increase (decrease) from capital share transactions		(7,987,349	)		1,383,285
Net increase (decrease) in net assets		(7,954,740	)		5,037,254
Net assets:
Beginning of year		36,944,683			31,907,429
End of year	$	28,989,943		$	36,944,683
Undistributed net investment income at end of year	$	—		$	129,025
Capital share activity:
Shares sold
A-Class		770,941			1,699,951
B-Class		55,464			170,222
C-Class		115,065			37,449
Shares issued from reinvestment of distributions
A-Class		16,034			—
Shares redeemed
A-Class		(1,435,726	)		(1,120,658	)
B-Class		(287,335	)		(409,958	)
C-Class		(177,984	)		(149,671	)
Net increase (decrease) in shares		(943,541	)		227,335

See Notes to Financial Statements.

64 | the RYDEX|SGI equity funds annual report

LARGE CAP CONCENTRATED GROWTH FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each year and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	7.63		$	6.95		$	6.91		$	10.66		$	9.86
Income (loss) from investment operations:
Net investment income (loss)a		(.02	)		.04			.01			(.02	)		(.01	)
Net gain (loss) on investments (realized and unrealized)		(.17	)		.64			.03			(2.87	)		.81
Total from investment operations		(.19	)		.68			.04			(2.89	)		.80
Less distributions from:
Net investment income		(.04	)		—			—			—			—
Net realized gains		—			—			—			(.86	)		—
Total distributions		(.04	)		—			—			(.86	)		—
Net asset value, end of period	$	7.40		$	7.63		$	6.95		$	6.91		$	10.66
Total Returnb		(2.59	%)		9.78	%		0.58	%		(28.85	%)		8.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	23,358		$	29,059		$	22,425		$	23,723		$	30,375
Ratios to average net assets:
Net investment income (loss)		(0.22	%)		0.52	%		0.09	%		(0.20	%)		(0.10	%)
Total expenses		1.70	%		1.73	%		2.04	%		1.72	%		1.57	%
Net expensesc		1.35	%		1.35	%		1.35	%		1.35	%		1.40	%
Portfolio turnover rate		158	%		190	%		134	%		198	%d		21	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	6.96		$	6.39		$	6.40		$	10.01		$	9.33
Income (loss) from investment operations:
Net investment lossa		(.08	)		(.02	)		(.03	)		(.08	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		(.16	)		.59			.02			(2.67	)		.77
Total from investment operations		(.24	)		.57			(.01	)		(2.75	)		.68
Less distributions from:
Net realized gains		—			—			—			(.86	)		—
Total distributions		—			—			—			(.86	)		—
Net asset value, end of period	$	6.72		$	6.96		$	6.39		$	6.40		$	10.01
Total Returnb		(3.45	%)		8.92	%		(0.16	%)		(29.36	%)		7.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,873		$	4,590		$	5,740		$	7,394		$	10,868
Ratios to average net assets:
Net investment loss		(0.97	%)		(0.31	%)		(0.66	%)		(0.95	%)		(0.88	%)
Total expenses		2.46	%		2.48	%		2.79	%		2.47	%		2.32	%
Net expensesc		2.10	%		2.10	%		2.10	%		2.10	%		2.15	%
Portfolio turnover rate		158	%		190	%		134	%		198	%d		21	%

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 65

LARGE CAP CONCENTRATED GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each year, and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	6.99		$	6.41		$	6.42		$	10.04		$	9.36
Income (loss) from investment operations:
Net investment lossa		(.08	)		(.02	)		(.03	)		(.08	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		(.16	)		.60			.02			(2.68	)		.76
Total from investment operations		(.24	)		.58			(.01	)		(2.76	)		.68
Less distributions from:
Net realized gains		—			—			—			(.86	)		—
Total distributions		—			—			—			(.86	)		—
Net asset value, end of period	$	6.75		$	6.99		$	6.41		$	6.42		$	10.04
Total Returnb		(3.43	%)		9.05	%		(0.16	%)		(29.37	%)		7.26	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,758		$	3,296		$	3,742		$	5,501		$	11,245
Ratios to average net assets:
Net investment loss		(0.97	%)		(0.27	%)		(0.66	%)		(0.92	%)		(0.86	%)
Total expenses		2.46	%		2.48	%		2.78	%		2.46	%		2.32	%
Net expensesc		2.10	%		2.10	%		2.10	%		2.10	%		2.15	%
Portfolio turnover rate		158	%		190	%		134	%		198	%d		21	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the year.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
d	Significant variation in the portfolio turnover rate is due to the Investment Manager’s appointment of new portfolio managers for the Fund.

See Notes to Financial Statements.

66 | the RYDEX|SGI equity funds annual report

MANAGER’S COMMENTARY (Unaudited)	September 30, 2011
Advised by:

To Our Shareholders:

For the 12-month period ended September 30, 2011, the Rydex|SGI Equity Fund—MSCI EAFE Equal Weight Fund (formerly, the Global Fund) returned -7.32%¹, while the Fund’s benchmark, the MSCI EAFE Equal Weighted Index, had a -7.49% return.

The strategy provides broad exposure to the companies in the MSCI EAFE Equal Weighted Index, which represents the equity markets of developed countries in Europe, Australasia and the Far East. The Fund seeks performance that corresponds, before fees and expenses, to the price and yield performance of the MSCI EAFE Equal Weighted Index. The index weights the issuers in the MSCI EAFE Index (the cap-weighted version of the index) the same weight on the rebalancing date. Between two rebalancings, the weight of securities in the equal weighted index will deviate from equal weight based on the performance of each security.

On May 2, 2011, the Fund’s name was changed from Rydex|SGI Global Fund to Rydex|SGI MSCI EAFE Equal Weight Fund, and its investment strategy from a global strategy to a strategy that seeks to correspond to the MSCI EAFE Equal Weighted Index. Prior to May 2, 2011, the Fund’s benchmark was the MSCI World Index.

The best-performing sectors in the MSCI EAFE Equal Weight Index over the past 12 months were the Consumer Discretionary and Energy sectors. The Industrials and Utilities sectors were the worst-performing sectors.

The holdings contributing most to the portfolio performance over the period were Rent-A-Center, Inc., which returned 35% over the period, and Apple, Inc., which returned 20%. These two stocks were in the portfolio prior to the change in investment strategy and benchmark on May 2, 2011, but not part of MSCI EAFE Equal Weighted Index.

The holdings detracting most from portfolio performance over the period were iShares MSCI EAFE Index Fund, which fell 19%, and Industrials holding Amada Company Ltd., which fell 26%. It is part of the MSCI EAFE Equal Weighted Index.

We appreciate your business and the trust you place in us.

Sincerely,

Michael Byrum, CFA, Portfolio Manager

the RYDEX|SGI equity funds annual report | 67

MANAGER’S COMMENTARY (Unaudited) (concluded)

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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

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.

MSCI EAFE Equal Weighted Index equally weights the issuers in the MSCI EAFE 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 Index is rebalanced quarterly so that each issuer has the same weight on each rebalancing date. The MSCI EAFE Index consists of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.

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.

68 | the RYDEX|SGI equity funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

OBJECTIVE: Seeks performance that corresponds, before fees and expenses, to the price and yield performance of the MSCI EAFE Equal Weighted Index (the “Underlying Index”).

Cumulative Fund Performance

The MSCI EAFE^®Equal Weighted Index is an unmanaged equal-weighted version of the MSCI EAFE^®Index, which means that each security included in the index has the same weight on each rebalancing date and then fluctuates based on the performance of the security until weights are reset equally on the next rebalancing date. The MSCI EAFE^®Index (Europe, Australasia, Far East) is an index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada.

Effective April 29, 2011, the Fund changed its principal investment strategy. As a result of the investment strategy change, the Fund’s new benchmark is the MSCI EAFE Equal Weighted Index. The Fund’s performance was previously compared to the MSCI World Index. The MSCI EAFE Equal Weighted Index-Blended uses performance data for the MSCI World Index from 09/30/01 to 04/28/11, and the MSCI EAFE Equal Weight Index from 04/29/11 to 09/30/11.

Average Annual Returns
Periods Ended 9/30/2011

	1 Year			5 Year			10 Year
A-Class		-7.32	%		-3.09	%		4.29	%
A-Class with sales charge†		-12.63	%		-4.23	%		3.68	%
B-Class		-7.13	%		-2.84	%		4.20	%
B-Class with CDSC††		-11.74	%		-3.05	%		4.20	%
C-Class		-8.06	%		-3.83	%		3.50	%
C-Class with CDSC†††		-8.98	%		-3.83	%		3.50	%
MSCI EAFE Equal Weighted Index		-7.49	%		N/A			N/A
MSCI EAFE Equal Weighted Index — Blended		-4.53	%		-1.84	%		4.16	%
MSCI World Index		-4.36	%		-2.23	%		3.71	%

	Since Inception
	(05/02/11)
Institutional Class Shares		-21.58	%
MSCI World Index		-19.83	%
MSCI EAFE Equal Weighted Index		-20.73	%

Holdings Diversification (Market Exposure as
% of Net Assets)

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Inception Dates:
A-Class	October 1, 1993
B-Class	October 19, 1993
C-Class	January 29, 1999
Institutional Class	May 2, 2011

Ten Largest Holdings (% of Total Net Assets)
iShares MSCI EAFE Index Fund	4.0	%
iShares MSCI Japan Index Fund	0.8	%
Toyo Suisan Kaisha Ltd.	0.2	%
Keyence Corp.	0.2	%
Nippon Building Fund, Inc.	0.1	%
Chugoku Bank Ltd.	0.1	%
Taisho Pharmaceutical Holdings Co. Ltd.	0.1	%
JGC Corp.	0.1	%
Japan Real Estate Investment Corp.	0.1	%
TOTO Ltd.	0.1	%
Top Ten Total	5.8	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The MSCI World Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of up to 5% if redeemed within 5 years of purchase.
†††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

the RYDEX|SGI equity funds annual report | 69

SCHEDULE OF INVESTMENTS September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
COMMON STOCKS†† - 92.6%
Financials - 20.2%
Nippon Building Fund, Inc.		10	$	103,516
Chugoku Bank Ltd.		7,000		103,079
Japan Real Estate Investment Corp.		10		97,760
Japan Retail Fund Investment Corp. — Class A		60		96,462
Joyo Bank Ltd.		20,000		93,039
Iyo Bank Ltd.		9,000		91,816
Chiba Bank Ltd.		13,000		90,161
Daiwa House Industry Company Ltd.		7,000		89,625
Gunma Bank Ltd.		16,000		89,176
Hiroshima Bank Ltd.		18,000		89,083
Bank of Kyoto Ltd.		10,000		89,028
Fukuoka Financial Group, Inc.		21,000		87,862
Suruga Bank Ltd.		9,000		87,674
Hokuhoku Financial Group, Inc.		39,960		87,305
Lloyds Banking Group plc*		160,350		86,062
Nishi-Nippon City Bank Ltd.		28,000		86,043
Hachijuni Bank Ltd.		14,000		85,755
Bank of Yokohama Ltd.		17,000		85,244
Resona Holdings, Inc.		17,780		84,825
Shizuoka Bank Ltd.		8,000		83,813
Mitsubishi UFJ Financial Group, Inc.†		18,080		82,976
Aeon Credit Service Company Ltd.		5,390		82,916
Sumitomo Mitsui Trust Holdings, Inc.		24,980		82,676
Daito Trust Construction Company Ltd.		900		82,506
Aeon Mall Company Ltd.		3,600		82,226
Mitsubishi UFJ Lease & Finance Company Ltd.		2,040		81,430
Mitsubishi Estate Company Ltd.		5,000		81,098
Yamaguchi Financial Group, Inc.		8,000		80,848
Credit Saison Company Ltd.		4,190		80,781
Nomura Real Estate Holdings, Inc.		5,290		80,028
Mizuho Financial Group, Inc.		54,057		79,155
Mitsui Fudosan Company Ltd.		5,000		78,981
Sumitomo Mitsui Financial Group, Inc.		2,800		78,887
Shinsei Bank Ltd.		69,920		78,585
Daiwa Securities Group, Inc.		21,000		78,414
Seven Bank Ltd.		40		78,066
Royal Bank of Scotland Group plc ADR*		217,770		77,864
SBI Holdings, Inc.		901		77,848
NKSJ Holdings, Inc.		3,500		77,693
Unione di Banche Italiane SCPA		20,960		77,589
Banco Popolare SC		46,800		77,375
Zurich Financial Services AG*		370		77,073
Japan Prime Realty Investment Corp.		30		77,030
United Overseas Bank Ltd.		5,990		77,018
Sumitomo Realty & Development Company Ltd.		4,000		76,887
Standard Life plc		24,818		76,756
Randstad Holding N.V.		2,400		76,509
Sony Financial Holdings, Inc.		5,000		76,334
MS&AD Insurance Group Holdings		3,500		76,147
Hopewell Holdings Ltd.		26,500		76,035
Tokio Marine Holdings, Inc.		3,000		76,024
Capital Shopping Centres Group plc		14,990		75,977
Hannover Rueckversicherung AG		1,671		75,544
Danske Bank A/S*		5,390		75,379
Barclays plc		30,740		75,353
Credit Suisse Group AG*		2,860		74,821
Muenchener Rueckversicherungs AG		600		74,514
Tryg A/S		1,411		74,184
ASX Ltd.		2,551		74,091
Allianz AG		790		74,042
Aozora Bank Ltd.		32,000		73,673
RSA Insurance Group plc		42,810		73,599
T&D Holdings, Inc.		7,800		73,483
Pohjola Bank plc — Class A		6,980		73,425
Banco Bilbao Vizcaya Argentaria S.A.†		8,850		73,271
Aegon N.V.*		18,010		72,997
Intesa Sanpaolo SpA		46,480		72,888
Bankinter S.A.		13,414		72,848
Standard Chartered plc		3,650		72,784
Svenska Handelsbanken AB — Class A		2,860		72,755
Swiss Re AG*,†		1,550		72,712
Global Logistic Properties Ltd.*		57,950		72,665
NTT Urban Development Corp.		100		72,664
Link REIT		22,980		72,603
SCOR SE		3,360		72,475
HSBC Holdings plc		9,460		72,441
Legal & General Group plc		48,529		72,433
City Developments Ltd.		9,990		72,426
Dai-ichi Life Insurance Company Ltd.		70		72,351
Resolution Ltd.		18,860		72,260
CapitaMall Trust		51,950		72,038
Tokyu Land Corp.		20,000		71,880
Insurance Australia Group Ltd.		24,832		71,879
Aviva plc		15,290		71,875
Hammerson plc		12,270		71,807
Suncorp Group Ltd.		9,418		71,700
Government Properties Trust, Inc.		23,821		71,643
Skandinaviska Enskilda Banken AB		13,330		71,637
Mapfre S.A.		23,191		71,606
Banco Santander S.A.		8,740		71,453
Bankia S.A.*,†		14,550		71,420
Banco de Sabadell S.A.		19,994		71,385

See Notes to Financial Statements.

70 | the RYDEX|SGI equity funds annual report

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Prudential plc		8,320	$	71,380
GAM Holding AG*		5,700		71,345
Sino Land Company Ltd.		54,000		71,313
Hang Lung Group Ltd.		13,990		71,283
Mirvac Group REIT		64,795		71,231
Banco Popular Espanol S.A.		15,421		71,141
Israel Discount Bank Ltd. — Class A*		47,025		68,932
Mizrahi Tefahot Bank Ltd.*		8,394		68,908
Admiral Group plc		3,620		70,948
CapitaLand Ltd.		38,000		70,895
Ascendas Real Estate Investment Trust		45,950		70,851
Dexus Property Group		89,703		70,701
London Stock Exchange Group plc		5,622		70,676
ORIX Corp.		900		70,634
Singapore Exchange Ltd.		14,000		70,366
Assicurazioni Generali SpA		4,440		70,309
Delta Lloyd N.V.		4,450		70,221
Investor AB — Class B		3,990		70,194
Banca Carige SpA		36,290		70,180
Intesa Sanpaolo SpA		54,480		70,027
Westpac Banking Corp.		3,603		69,768
CFS Retail Property Trust		41,560		69,736
Nomura Holdings, Inc.		19,100		69,651
Stockland		24,923		69,368
Sampo Oyj — Class A		2,761		69,346
Westfield Group		9,333		69,206
Banca Monte dei Paschi di Siena SpA		124,390		69,076
Nordea Bank AB		8,530		69,015
Sun Hung Kai Properties Ltd.		6,000		68,832
Ageas		39,950		68,795
Bank Hapoalim BM*		19,240		66,388
Wing Hang Bank Ltd.		8,490		68,524
Pargesa Holding S.A.		1,000		68,403
Old Mutual plc		42,183		68,375
Groupe Bruxelles Lambert S.A.		971		68,193
Kinnevik Investment AB — Class B		3,681		68,092
Wheelock & Company Ltd.		22,980		67,991
Deutsche Bank AG		1,960		67,913
Bendigo and Adelaide Bank Ltd.		8,370		67,792
Oversea-Chinese Banking Corporation Ltd.		10,990		67,728
Gjensidige Forsikring ASA		6,556		67,682
Australia & New Zealand Banking Group Ltd.		3,643		67,614
Julius Baer Group Ltd.*		2,021		67,538
ICAP plc		10,589		67,471
ING Groep N.V.*		9,560		67,431
Mediobanca SpA		8,580		67,355
AIA Group Ltd.		23,780		67,344
Deutsche Boerse AG*†		1,330		67,262
Land Securities Group plc		6,761		67,134
3i Group plc		23,070		67,025
Industrivarden AB — Class C		6,400		66,993
British Land Company plc		9,094		66,963
Bank Leumi Le-Israel BM*		21,050		64,449
Swiss Life Holding AG*		610		66,898
AXA S.A.		5,140		66,867
CaixaBank		15,250		66,809
National Australia Bank Ltd. ADR		3,142		66,736
Commonwealth Bank of Australia ADR		1,532		66,621
Exor SpA		3,400		66,545
Westfield Retail Trust		28,523		66,376
Fonciere Des Regions		950		66,265
UOL Group Ltd.		20,980		66,117
Commerzbank AG*		26,350		66,034
Unibail-Rodamco SE		370		66,018
DnB NOR ASA*		6,620		65,973
Schroders plc		3,331		65,969
Baloise Holding AG		900		65,910
KBC Groep N.V.		2,850		65,748
Segro plc		19,240		65,595
Hang Seng Bank Ltd.		5,590		65,485
Hang Lung Properties Ltd.		22,000		65,457
Klepierre		2,330		65,309
UBS AG*		5,700		65,200
Cheung Kong Holdings Ltd.		6,000		65,044
Swedbank AB		5,880		64,904
Dexia S.A.*		34,030		64,724
Vienna Insurance Group AG Wiener Versicherung Gruppe		1,700		64,625
CapitaMalls Asia Ltd.		69,940		64,448
Bank of East Asia Ltd.		20,980		64,435
CNP Assurances		4,362		64,222
QBE Insurance Group Ltd.		5,230		64,221
Wharf Holdings Ltd.		12,990		64,088
Macquarie Group Ltd.		2,950		63,792
Societe Generale S.A.		2,430		63,608
Investec plc		11,730		63,438
AMP Ltd.		16,862		63,330
Gecina S.A.		720		62,931
Banco Espirito Santo S.A.		23,754		62,911
IMMOFINANZ AG*		22,230		62,843
Henderson Land Development Company Ltd.		13,990		62,809
DBS Group Holdings Ltd.		7,000		62,765
Corio N.V.		1,360		62,661
Keppel Land Ltd.		32,000		62,499
Hong Kong Exchanges and Clearing Ltd.		4,300		62,375
BOC Hong Kong Holdings Ltd.		29,470		62,309
Goodman Group		113,135		61,981
ICADE		790		61,720
Swire Pacific Ltd. — Class A		5,990		61,547
BNP Paribas S.A.		1,560		61,496
UniCredit SpA		57,880		61,371
New World Development Ltd.		64,000		61,196

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 71

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Nomura Real Estate Office Fund, Inc. — Class A		10	$	60,978
Natixis		19,300		60,710
Hysan Development Company Ltd. — Class A		19,980		60,532
Ratos AB — Class B		5,260		60,368
Lend Lease Group		8,986		60,346
Eurazeo		1,420		59,637
Man Group plc		22,950		59,324
Kerry Properties Ltd.		18,480		58,985
Raiffeisen Bank International AG		1,980		57,311
Banco Comercial Portugues S.A.*		215,886		55,861
Credit Agricole S.A.		8,100		55,703
Bank of Cyprus plc		35,850		55,350
Erste Group Bank AG		2,170		55,340
National Bank of Greece S.A.*		14,980		54,193
Alpha Bank AE — Class B*		21,770		37,973
EFG Eurobank Ergasias S.A.*		24,010		29,386
ANF Immobilier		43		1,759
Swiss Reinsurance Company Ltd.*		10		463
Banco de Valencia S.A.*		412		424
Deutsche Boerse AG		8		403
Total Financials				14,873,323
Industrials - 18.1%
JGC Corp.		4,000		97,811
TOTO Ltd.		11,000		97,021
Odakyu Electric Railway Company Ltd.		10,000		95,046
Keio Corp.		13,000		92,998
Keikyu Corp.		10,000		92,317
NGK Insulators Ltd.		6,000		90,279
Kubota Corp.†		11,000		89,700
JS Group Corp.		3,200		89,578
Keisei Electric Railway Company Ltd.		13,000		88,145
Asahi Glass Company Ltd.		9,000		87,863
Central Japan Railway Co.		10		87,262
Kurita Water Industries Ltd.		3,100		86,897
Secom Company Ltd.		1,800		86,813
Kinden Corp.		10,000		86,456
West Japan Railway Co.		2,000		85,726
Yamato Holdings Company Ltd.		4,690		85,499
Tokyu Corp.		17,000		85,422
Toyota Tsusho Corp.		4,990		85,366
Nippon Express Company Ltd.		20,000		85,304
East Japan Railway Co.		1,400		84,872
Tobu Railway Company Ltd.		18,000		84,781
Obayashi Corp.		17,000		83,966
Mabuchi Motor Company Ltd.		1,800		83,594
Hino Motors Ltd.		14,000		83,291
Kintetsu Corp.		22,000		82,942
Dai Nippon Printing Company Ltd.		8,000		82,724
Taisei Corp.		30,000		82,585
Balfour Beatty plc		20,840		82,393
Kajima Corp.		24,970		81,947
Wolseley plc		3,270		81,125
Babcock International Group plc		7,943		80,912
Nidec Corp.		1,000		80,532
Kamigumi Company Ltd.		9,000		80,329
Hutchison Port Holdings Trust		119,000		80,325
Toppan Printing Company Ltd.		11,000		80,111
JTEKT Corp.		6,690		80,047
Mitsubishi Heavy Industries Ltd.		18,980		80,045
Experian plc		7,131		80,040
NTN Corp.		17,000		79,721
Smiths Group plc		5,150		79,428
Abertis Infraestructuras S.A.		5,150		79,197
Shimizu Corp.		18,000		79,001
Amada Company Ltd.		12,000		78,931
Bunzl plc		6,606		78,659
All Nippon Airways Company Ltd.		25,000		78,237
Sojitz Corp.		42,800		78,186
Marubeni Corp.		14,000		78,170
Bouygues S.A.		2,360		78,068
Koninklijke Vopak N.V.		1,632		77,996
Singapore Airlines Ltd.		9,000		77,915
Chiyoda Corp.		7,990		77,891
Sumitomo Corp.		6,290		77,825
Japan Steel Works Ltd.		13,000		77,539
Ryanair Holdings plc ADR†,*		2,990		76,993
Serco Group plc		9,692		76,588
Capita Group plc		6,936		75,905
Elbit Systems Ltd.*		1,900		73,936
G4S plc		18,323		75,774
BAE Systems plc		18,310		75,586
Mitsubishi Logistics Corp.		7,000		75,420
Schindler Holding AG		690		75,209
Finmeccanica SpA		10,870		75,208
Fomento de Construcciones y Contratas S.A.		3,050		75,191
Makita Corp.		2,100		74,740
Ushio, Inc.		4,900		74,594
Fraser and Neave Ltd.		16,980		74,530
Daikin Industries Ltd.		2,600		74,465
MAp Group		23,972		74,223
Schindler Holding AG		700		74,203
Koninklijke Boskalis Westminster N.V. — Class B		2,410		74,123
NWS Holdings Ltd.		56,000		74,097
Transurban Group		14,234		74,000
Groupe Eurotunnel S.A.		8,710		73,814
Hitachi Construction Machinery Company Ltd.		4,400		73,665
ITOCHU Corp.		7,700		73,575
NSK Ltd.		10,000		73,485
MTR Corp.		24,480		73,275
Mitsui OSK Lines Ltd.		19,000		73,200
SMC Corp.		500		73,076
Skanska AB		5,280		73,073
Ferrovial S.A.		6,407		73,034

See Notes to Financial Statements.

72 | the RYDEX|SGI equity funds annual report

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Delek Group Ltd.*		460	$	69,696
IHI Corp.		33,000		72,748
Rolls-Royce Holdings plc*		7,898		72,535
Fuji Electric Company Ltd.		28,000		72,478
Aeroports de Paris		960		72,206
Atlantia SpA		5,020		72,176
Geberit AG*		390		72,010
Bureau Veritas S.A.		1,001		71,953
Sumitomo Heavy Industries Ltd.		14,000		71,589
Cobham plc		26,460		71,575
Nippon Sheet Glass Company Ltd.		31,980		71,545
Sandvik AB		6,210		71,539
Auckland International Airport Ltd.		41,110		71,451
Intertek Group plc		2,482		71,337
Mitsubishi Corp.		3,500		71,254
Hochtief AG		1,140		71,201
Edenred		2,982		71,036
Mitsui & Company Ltd.		4,900		70,973
Assa Abloy AB		3,450		70,962
Orkla ASA		9,336		70,961
Adecco S.A.*		1,800		70,946
European Aeronautic Defence and Space Company N.V.*		2,522		70,887
Mitsubishi Electric Corp.		8,000		70,858
Societe BIC S.A. ADR		831		70,750
DSV A/S		3,920		70,524
Nippon Yusen Kabushiki Kaisha		26,000		70,518
Sumitomo Electric Industries Ltd.		5,990		70,344
Singapore Technologies Engineering Ltd.		33,000		70,242
Nabtesco Corp.		3,700		69,928
Wartsila Oyj		2,940		69,757
QR National Ltd.		22,989		69,513
ComfortDelGro Corporation Ltd.		69,930		69,433
Brenntag AG		800		69,396
Neptune Orient Lines Ltd.		84,000		69,250
Koninklijke Philips Electronics N.V.		3,850		69,073
ACS Actividades de Construccion y Servicios S.A.		1,960		69,068
MAN SE		890		68,986
Zardoya Otis S.A.		5,422		68,921
FANUC Corp.		500		68,868
Kawasaki Heavy Industries Ltd.		27,000		68,848
Mitsui Engineering & Shipbuilding Company Ltd.		40,960		68,781
Siemens AG		760		68,374
Fraport AG Frankfurt Airport Services Worldwide		1,150		67,712
Asciano Ltd.		48,890		67,355
Thales S.A.		2,151		67,231
International Consolidated Airlines Group S.A.*		28,440		66,949
Komatsu Ltd.		3,100		66,832
Aggreko plc		2,652		66,686
Hutchison Whampoa Ltd.		9,000		66,604
Toll Holdings Ltd.		15,878		66,580
Brambles Ltd.		10,799		66,569
Kuehne + Nagel International AG		590		66,217
Prysmian SpA		5,040		66,209
Deutsche Post AG		5,160		66,059
Invensys plc		18,960		66,010
Weir Group plc		2,761		65,916
Orient Overseas International Ltd.		16,490		65,880
Sulzer AG		640		65,770
GS Yuasa Corp.		14,000		65,643
GEA Group AG		2,810		65,589
SKF AB		3,480		65,552
ABB Ltd.*		3,830		65,516
Fiat Industrial SpA*		8,740		65,303
Cathay Pacific Airways Ltd.		39,970		65,232
Volvo AB		6,640		65,211
Vinci S.A.		1,520		65,192
Metso Oyj		2,220		64,977
THK Company Ltd.		3,900		64,895
Safran S.A.		2,121		64,880
Kone Oyj — Class B		1,361		64,730
Keppel Corporation Ltd.		10,990		64,443
Schneider Electric S.A.		1,200		64,215
Legrand S.A.		2,051		63,935
Minebea Company Ltd.		19,000		63,781
Deutsche Lufthansa AG		4,910		63,651
Cosco Corporation Singapore Ltd.		91,000		63,481
Leighton Holdings Ltd.		3,572		63,435
Atlas Copco AB — Class A		3,570		63,173
Scania AB — Class B		4,420		63,132
Alfa Laval AB		3,992		62,826
Atlas Copco AB — Class B		4,010		62,763
Qantas Airways Ltd.*		46,810		62,745
Furukawa Electric Company Ltd.		23,000		62,636
Securitas AB — Class B		8,611		62,617
Kawasaki Kisen Kaisha Ltd.		29,980		62,344
Air France-KLM*		8,450		61,757
Vestas Wind Systems A/S*		3,780		61,255
Cie de St.-Gobain		1,600		61,039
PostNL N.V. ADR		13,945		60,995
Noble Group Ltd.		60,950		60,803
Wendel S.A.		970		60,785
SGS S.A.		40		60,768
Yangzijiang Shipbuilding Holdings Ltd.		90,940		60,730
SembCorp Industries Ltd.		22,980		59,308
TNT Express N.V.†		8,480		59,290
Bekaert S.A.		1,450		59,030
A P Moller — Maersk A/S — Class B		10		58,737
SembCorp Marine Ltd.		23,980		58,712
Alstom S.A.		1,740		57,310
A P Moller — Maersk A/S — Class A		10		55,969

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 73

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Eiffage S.A.		1,710	$	52,743
Vallourec S.A.		900		51,537
Total Industrials				13,275,544
Consumer Discretionary - 13.2%
Jardine Cycle & Carriage Ltd.		3,000		95,320
NGK Spark Plug Company Ltd.		7,000		95,127
Koito Manufacturing Company Ltd.		6,000		94,915
Sekisui House Ltd.		10,000		93,697
Rinnai Corp.		1,100		91,828
Daihatsu Motor Company Ltd.		5,000		90,720
Takashimaya Company Ltd.		12,000		87,507
Sankyo Company Ltd.		1,600		86,571
Sega Sammy Holdings, Inc.		3,700		86,318
Suzuki Motor Corp.		3,900		85,962
J Front Retailing Company Ltd.		18,000		85,429
Oriental Land Company Ltd.		800		85,348
NOK Corp.		4,700		85,024
Nikon Corp.		3,600		84,915
Mitsubishi Motors Corp.*		63,930		84,728
Shimano, Inc.		1,600		84,684
Stanley Electric Company Ltd.		5,600		84,616
Benesse Holdings, Inc.		1,900		84,165
Sekisui Chemical Company Ltd.		10,000		84,068
Sharp Corp.		10,000		84,007
Next plc		2,143		83,973
Shimamura Company Ltd.		800		83,858
Toyoda Gosei Company Ltd.		4,400		83,771
Hakuhodo DY Holdings, Inc.		1,440		83,533
Aisin Seiki Company Ltd.		2,500		83,233
Namco Bandai Holdings, Inc.		6,090		82,477
Dentsu, Inc.		2,600		82,369
Toho Company Ltd.		4,700		82,089
Inditex S.A.		961		82,031
Kingfisher plc		21,300		81,747
Sumitomo Rubber Industries Ltd.		6,390		81,700
Bridgestone Corp.		3,600		81,678
Toyota Industries Corp.		2,800		81,655
Isuzu Motors Ltd.		19,000		81,622
Rakuten, Inc.		70		81,548
Whitbread plc		3,302		80,906
ABC-Mart, Inc.		2,100		80,719
Carnival plc		2,590		80,682
Nitori Holdings Company Ltd.		800		80,522
Denso Corp.		2,500		80,363
McDonald’s Holdings Company Japan Ltd.		3,000		80,009
Toyota Boshoku Corp.		5,590		79,880
Nissan Motor Company Ltd.		8,990		79,539
NHK Spring Company Ltd.		9,000		79,517
Intercontinental Hotels Group plc		4,900		79,372
USS Company Ltd.		930		79,070
Pearson plc		4,484		79,015
Isetan Mitsukoshi Holdings Ltd.		7,790		78,838
Toyota Motor Corp.		2,300		78,837
British Sky Broadcasting Group plc ADR		7,650		78,720
Yamada Denki Company Ltd.		1,130		78,586
Casio Computer Co. Ltd.		12,390		78,442
JCDecaux S.A.*		3,160		78,423
Marui Group Company Ltd.		10,300		77,436
Yamaha Corp.		7,090		76,715
Li & Fung Ltd.		45,960		76,688
Fuji Heavy Industries Ltd.		13,000		76,325
Kabel Deutschland Holding AG*		1,420		76,129
Hennes & Mauritz AB — Class B		2,540		76,031
Jupiter Telecommunications Company Ltd.		70		75,736
ITV plc*		82,360		75,257
Reed Elsevier plc		9,814		75,112
Marks & Spencer Group plc		15,380		74,861
Mazda Motor Corp.*		37,000		74,837
Reed Elsevier N.V.		6,802		74,794
Harvey Norman Holdings Ltd.		36,210		74,396
Singapore Press Holdings Ltd.		26,000		74,334
Yue Yuen Industrial Holdings Ltd.		28,480		73,657
TUI Travel plc		31,830		73,358
Panasonic Corp.		7,590		73,354
Honda Motor Company Ltd.		2,500		73,232
SES S.A.		2,984		72,613
Asics Corp.		5,290		72,227
Eutelsat Communications S.A.		1,792		71,984
Compass Group plc		8,916		71,853
WPP plc		7,750		71,716
Fast Retailing Company Ltd.		400		71,634
Yamaha Motor Company Ltd.*		5,400		71,287
Pirelli & C. SpA		10,000		71,125
Sony Corp.		3,700		70,821
Sodexo		1,071		70,518
Electrolux AB		4,750		69,833
Genting Singapore plc*		59,950		69,605
Luxottica Group SpA		2,732		69,431
Fairfax Media Ltd.		88,020		69,170
GKN plc		25,445		69,042
Publicis Groupe S.A.		1,650		68,861
Crown Ltd.		9,038		68,847
Burberry Group plc		3,794		68,829
Adidas AG		1,131		68,824
Sky City Entertainment Group Ltd.		27,188		68,799
Shangri-La Asia Ltd.		35,970		68,772
Tatts Group Ltd.		32,142		68,763
Fiat SpA		12,710		68,618
Wolters Kluwer N.V.		4,170		67,669
Lifestyle International Holdings Ltd.		26,470		67,154
SJM Holdings Ltd.		37,970		67,077
Nokian Renkaat Oyj		2,230		66,758
Renault S.A.		1,990		65,912
Daimler AG		1,480		65,818
Cie Generale des Etablissements Michelin — Class B		1,100		65,785

See Notes to Financial Statements.

74 | the RYDEX|SGI equity funds annual report

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Mediaset SpA		20,840	$	65,634
Bayerische Motoren Werke AG		990		65,397
Volkswagen AG		530		65,297
TABCORP Holdings Ltd.		26,160		64,459
Echo Entertainment Group Ltd.*,†		18,190		64,245
Autogrill SpA		6,387		64,216
Societe Television Francaise 1		5,131		63,785
Cie Financiere Richemont S.A.		1,430		63,700
Modern Times Group AB — Class B		1,590		63,696
Continental AG*		1,100		63,488
LVMH Moet Hennessy Louis Vuitton S.A.		480		63,357
PPR		490		63,334
Swatch Group AG/REG		1,060		63,177
Christian Dior S.A.		560		62,695
Sands China Ltd.*		26,770		62,633
Husqvarna AB — Class B		15,490		62,568
Mediaset Espana Comunicacion S.A.		10,990		62,471
Axel Springer AG		1,811		62,328
Sanoma Oyj		5,210		61,246
TUI AG*		11,900		61,177
Accor S.A.		2,280		60,709
Metropole Television S.A.		3,732		60,505
Wynn Macau Ltd.		25,580		60,492
OPAP S.A.		5,910		59,606
Swatch Group AG/BR		180		59,224
Pandora A/S		8,740		58,268
Porsche Automobil Holding SE		1,221		58,155
Lagardere SCA		2,330		57,229
Peugeot S.A.		2,690		57,223
Galaxy Entertainment Group Ltd.*		34,960		50,792
Esprit Holdings Ltd.		29,680		35,945
Total Consumer Discretionary				9,742,321
Materials - 10.0%
Yamato Kogyo Company Ltd.		3,300		86,549
Air Water, Inc.		7,000		86,517
Ube Industries Ltd.		26,000		86,399
Kansai Paint Company Ltd.		9,000		86,239
Daido Steel Company Ltd.		14,000		83,726
Maruichi Steel Tube Ltd.		3,500		82,642
Nippon Paper Group, Inc.		3,100		82,530
OJI Paper Company Ltd.		15,000		82,267
Showa Denko K.K.		41,000		80,928
Sumitomo Metal Industries Ltd.		38,960		80,746
Hitachi Metals Ltd.		7,000		80,601
Nippon Steel Corp.		28,000		80,301
Mitsui Chemicals, Inc.		24,000		80,270
Makhteshim-Agan Industries Ltd.*,†		14,622		80,041
Daicel Corp.		14,000		79,697
Glencore International plc†		12,630		79,342
Kaneka Corp.		14,000		79,191
Nitto Denko Corp.		2,000		78,708
Shin-Etsu Chemical Company Ltd.		1,600		78,481
Mitsubishi Chemical Holdings Corp.		11,490		77,918
Asahi Kasei Corp.		13,000		77,906
Kuraray Company Ltd.		5,690		77,596
Toray Industries, Inc.		11,000		77,030
Novozymes A/S — Class B		540		76,770
Taiyo Nippon Sanso Corp.		11,000		76,583
Hitachi Chemical Company Ltd.		4,600		75,939
JSR Corp.		4,400		75,700
Toyo Seikan Kaisha Ltd.		4,990		75,512
Teijin Ltd.		21,000		75,489
Nisshin Steel Company Ltd.		42,000		74,958
Amcor Ltd.		11,208		74,196
Mitsubishi Gas Chemical Company, Inc.		12,000		73,663
Kobe Steel Ltd.		43,960		73,375
Sumitomo Chemical Company Ltd.		19,000		73,307
Randgold Resources Ltd.		753		73,135
Johnson Matthey plc		2,970		72,795
Denki Kagaku Kogyo Kabushiki Kaisha		19,000		72,434
Holmen AB — Class B		2,880		71,522
UPM-Kymmene Oyj		6,320		71,393
MacArthur Coal Ltd.		4,668		71,376
Air Liquide S.A.		611		71,346
Akzo Nobel N.V.		1,610		71,041
Sika AG — Class A		40		70,822
CRH plc ADR		4,580		70,779
JFE Holdings, Inc.		3,500		70,647
Holcim Ltd.*		1,330		70,580
Koninklijke DSM N.V.		1,620		70,431
Orica Ltd.		3,132		70,284
Anglo American plc		2,040		70,174
Fletcher Building Ltd.		11,996		70,154
Svenska Cellulosa AB — Class B		5,752		70,016
Linde AG		520		69,579
Cimpor Cimentos de Portugal SGPS S.A.		10,344		69,072
HeidelbergCement AG		1,900		69,022
Mitsubishi Materials Corp.		28,000		68,177
James Hardie Industries SE*		12,458		68,115
Eurasian Natural Resources Corp. plc		7,650		67,733
BASF SE		1,110		67,668
Syngenta AG*		260		67,566
Rexam plc		13,973		67,163
Sumitomo Metal Mining Company Ltd.		5,000		66,197
Lonmin plc		4,060		65,851
Stora Enso Oyj		11,240		65,785
Boral Ltd.		19,760		65,754
Tosoh Corp.		20,980		65,737
Lafarge S.A.		1,910		65,641
BHP Billiton plc		2,430		64,888
Vedanta Resources plc		3,820		64,867
Israel Chemicals Ltd.*		5,393		61,379
Salzgitter AG		1,320		63,347
Incitec Pivot Ltd.		20,438		63,318
Acerinox S.A.		5,610		63,040

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 75

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Boliden AB		6,080	$	62,505
Givaudan S.A.*		80		62,391
Fresnillo plc		2,549		62,308
BHP Billiton Ltd.		1,881		62,276
Solvay S.A.		660		62,143
Imerys S.A.		1,240		62,026
Arkema S.A.		1,060		61,380
Xstrata plc		4,860		61,363
Voestalpine AG		2,120		61,280
Lanxess AG		1,270		60,918
Rio Tinto Ltd.		1,040		60,912
Umicore S.A.		1,680		60,901
K+S AG		1,160		60,722
Israel Corporation Ltd.*		90		57,594
SSAB AB — Class A		8,150		60,433
Newcrest Mining Ltd.		1,833		60,414
Norsk Hydro ASA		13,270		60,185
BlueScope Steel Ltd.		86,980		59,972
ArcelorMittal		3,750		59,910
Rio Tinto plc		1,350		59,852
ThyssenKrupp AG		2,410		59,214
Kazakhmys plc		4,810		58,715
OneSteel Ltd.		50,000		58,593
Alumina Ltd.		42,000		58,563
Sims Metal Management Ltd.†		4,704		56,442
Antofagasta plc		3,943		56,263
OZ Minerals Ltd.		6,231		55,507
Rautaruukki Oyj		5,500		55,150
Outokumpu Oyj		8,400		55,115
Yara International ASA		1,431		54,591
Eramet		390		53,843
Iluka Resources Ltd.		4,458		52,176
Fortescue Metals Group Ltd.		12,468		52,076
Wacker Chemie AG		550		48,826
Lynas Corporation Ltd.*		40,270		41,213
Total Materials				7,325,717
Consumer Staples - 6.9%
Toyo Suisan Kaisha Ltd.		4,000		109,693
Japan Tobacco, Inc.		20		93,545
Kirin Holdings Company Ltd.		7,000		91,555
Kikkoman Corp.		8,000		91,392
Yamazaki Baking Company Ltd.		6,000		90,981
Nippon Meat Packers, Inc.		7,000		90,961
Yakult Honsha Company Ltd.		2,800		87,357
Lindt & Spruengli AG		30		87,269
Seven & I Holdings Company Ltd.		3,100		86,888
Aeon Company Ltd.		6,390		86,430
Kao Corp.		3,100		86,343
Unicharm Corp.		1,800		86,329
Coca-Cola West Company Ltd.		4,500		86,313
MEIJI Holdings Company Ltd.		1,800		85,410
Lawson, Inc.		1,500		84,902
Nisshin Seifun Group, Inc.		6,490		84,712
Nissin Foods Holdings Company Ltd.		2,100		84,491
FamilyMart Company Ltd.		2,200		84,018
Asahi Group Holdings Ltd.		3,900		82,633
Ajinomoto Company, Inc.		6,990		82,567
Shiseido Company Ltd.		4,200		81,448
Distribuidora Internacional de Alimentacion S.A.*,†		20,330		80,944
Imperial Tobacco Group plc		2,382		80,340
Koninklijke Ahold N.V.		6,760		79,494
Associated British Foods plc		4,545		78,164
WM Morrison Supermarkets plc		17,014		76,676
Anheuser-Busch InBev N.V.		1,441		76,483
Tesco plc		13,035		76,334
Diageo plc		4,003		76,283
Metro AG		1,780		75,554
Reckitt Benckiser Group plc		1,491		75,514
Foster’s Group Ltd.†		14,767		75,446
British American Tobacco plc		1,772		74,800
Unilever plc		2,374		74,318
Casino Guichard Perrachon S.A.		950		74,149
Unilever N.V. — Class B		2,334		73,875
Heineken Holding N.V.		1,900		73,321
SABMiller plc		2,242		73,128
Heineken N.V. ADR†		1,620		72,791
Wesfarmers Ltd. — PPS		2,360		72,605
Danone		1,181		72,596
Wesfarmers Ltd.		2,400		72,510
Metcash Ltd.		18,180		71,661
Aryzta AG		1,650		71,647
Wilmar International Ltd.		18,000		71,621
Parmalat SpA		33,730		71,214
Coca-Cola Amatil Ltd.		6,209		71,124
Henkel AG & Company KGaA — Class B		1,620		70,996
Swedish Match AB		2,144		70,735
Kerry Group plc — Class A†		2,011		70,585
Pernod-Ricard S.A.		900		70,459
Beiersdorf AG		1,311		70,147
Nestle S.A.		1,271		69,972
J Sainsbury plc		16,323		69,471
Woolworths Ltd.		2,892		69,104
Golden Agri-Resources Ltd.		148,850		68,878
Olam International Ltd.		39,970		68,106
Delhaize Group S.A.		1,160		67,809
L’Oreal S.A.		690		67,308
Jeronimo Martins SGPS S.A.		4,166		65,054
Carrefour S.A.		2,850		64,897
Coca Cola Hellenic Bottling Company S.A.*		3,600		63,445
Carlsberg A — Class B		1,070		63,402
Suedzucker AG		2,225		63,211
Colruyt S.A.		1,521		63,184
Kesko Oyj — Class B		2,030		62,454
Total Consumer Staples				5,067,046

See Notes to Financial Statements.

76 | the RYDEX|SGI equity funds annual report

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Information Technology - 6.6%
Keyence Corp.		400	$	109,455
Shimadzu Corp.		11,000		92,784
NTT Data Corp.		30		92,588
Foxconn International Holdings Ltd.*		174,850		90,326
Yokogawa Electric Corp.*		9,300		87,965
Nomura Research Institute Ltd.		3,800		86,798
Hitachi High-Technologies Corp.		4,300		86,282
Itochu Techno-Solutions Corp.		1,900		85,475
Oracle Corporation Japan		2,400		84,489
Hirose Electric Company Ltd.		900		83,661
Hoya Corp.		3,600		83,459
Rohm Company Ltd.		1,600		83,458
Otsuka Corp.		1,200		82,712
Canon, Inc.		1,800		81,726
Trend Micro, Inc.		2,600		81,310
Hamamatsu Photonics K.K.		2,000		80,607
NICE Systems Ltd.*		2,541		76,423
Gree, Inc.		2,600		79,288
Neopost S.A.		1,080		79,187
Citizen Holdings Company Ltd.		15,890		79,114
Konica Minolta Holdings, Inc.		11,490		78,778
STMicroelectronics N.V.		11,990		78,352
Sage Group plc		19,603		77,706
Yahoo Japan Corp.		250		77,641
Konami Corp.		2,300		77,210
ASM Pacific Technology Ltd.		7,900		77,114
Tokyo Electron Ltd.		1,700		77,107
ARM Holdings plc		8,948		76,443
ASML Holding N.V.		2,202		76,137
Murata Manufacturing Company Ltd.		1,400		76,007
Autonomy Corp. plc*		1,908		75,451
Fujitsu Ltd.		16,000		75,449
United Internet AG		4,463		75,440
Ricoh Company Ltd.		9,000		75,427
Kyocera Corp.		900		75,249
Hitachi Ltd.		15,000		74,456
FUJIFILM Holdings Corp.		3,200		74,365
SAP AG		1,451		73,826
Nintendo Company Ltd.		500		73,464
Toshiba Corp.		18,000		73,425
Brother Industries Ltd.		6,190		72,720
Nippon Electric Glass Company Ltd.		8,000		72,691
Nokia Oyj		12,827		72,530
Seiko Epson Corp.		5,600		71,254
Computershare Ltd.		9,840		70,061
Dassault Systemes S.A.		991		69,976
Ibiden Company Ltd.		3,300		69,731
AtoS		1,600		69,053
Elpida Memory, Inc.*		10,900		68,171
Infineon Technologies AG ADR		9,200		67,879
Yaskawa Electric Corp.		9,000		67,847
Telefonaktiebolaget LM Ericsson — Class B		7,000		67,195
Dena Company Ltd.		1,600		67,022
NEC Corp.*		32,000		65,005
Omron Corp.		3,300		64,803
Advantest Corp.		6,000		64,671
Square Enix Holdings Company Ltd.		3,590		64,641
Amadeus IT Holding S.A. — Class A		4,014		64,127
Capital Gemini S.A. — Class B		1,920		63,834
Indra Sistemas S.A.		4,431		63,699
Alcatel-Lucent*		21,730		63,003
TDK Corp.		1,800		62,786
Hexagon AB — Class B		4,780		62,138
Sumco Corp.*		6,400		59,763
Renewable Energy Corp. ASA*		41,610		36,394
Total Information Technology				4,867,148
Health Care - 5.7%
Taisho Pharmaceutical Holdings Co. Ltd.*		1,200		98,842
Hisamitsu Pharmaceutical Company, Inc.		2,000		96,092
Mitsubishi Tanabe Pharma Corp.		4,900		91,092
Sonova Holding AG*		990		89,828
Ono Pharmaceutical Company Ltd.		1,500		89,491
Kyowa Hakko Kirin Company Ltd.		8,000		89,191
Medipal Holdings Corp.		8,790		89,029
Dainippon Sumitomo Pharma Company Ltd.		8,090		88,905
Suzuken Company Ltd.		3,300		88,753
Santen Pharmaceutical Company Ltd.		2,100		88,254
Alfresa Holdings Corp.		2,100		87,795
Olympus Corp.		2,800		86,413
Daiichi Sankyo Company Ltd.		4,100		85,465
Otsuka Holdings Company Ltd.		3,100		84,923
Elan Corporation plc*		7,892		83,649
Miraca Holdings, Inc.		1,900		83,507
Tsumura & Co.		2,600		82,893
Takeda Pharmaceutical Company Ltd.		1,700		80,623
Chugai Pharmaceutical Company Ltd.		4,700		79,615
Astellas Pharma, Inc.		2,100		79,263
Sysmex Corp.		2,200		79,149
Fresenius Medical Care AG & Co. KGaA		1,161		78,757
Terumo Corp.		1,500		78,061
Lonza Group AG*		1,290		77,728
Shire plc		2,484		77,415
Novartis AG		1,381		77,145
Eisai Company Ltd.		1,900		76,657
GlaxoSmithKline plc ADR		3,704		76,394
Ramsay Health Care Ltd.		4,164		76,012
UCB S.A.		1,781		75,896
Coloplast A/S — Class B		521		75,071
AstraZeneca plc		1,691		75,024
Novo Nordisk A/S — Class B		750		74,795

See Notes to Financial Statements.

the RYDEX|SGI equity funds annual report | 77

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Smith & Nephew plc		8,302	$	74,671
Roche Holding AG		461		74,457
Cie Generale d’Optique Essilor International S.A.		1,021		73,419
Synthes, Inc.1		451		72,987
Shionogi & Company Ltd.		4,900		72,493
Grifols S.A.*		3,885		72,445
CSL Ltd.		2,541		72,132
Merck KGaA		880		72,076
William Demant Holding A/S*		950		71,451
QIAGEN N.V.*		5,120		71,107
Sanofi		1,081		71,101
Orion Oyj — Class B		3,481		70,090
Teva Pharmaceutical Industries Ltd.*		1,960		72,573
Sonic Healthcare Ltd.		6,276		68,593
Getinge AB — Class B		3,132		68,325
Fresenius SE & Company KGaA		761		67,639
Bayer AG		1,210		66,769
Straumann Holding AG		410		64,154
Actelion Ltd.*		1,890		62,789
Celesio AG		4,670		61,451
Cochlear Ltd.		961		42,598
Total Health Care				4,185,047
Utilities - 4.8%
Toho Gas Company Ltd.		14,000		91,880
Shikoku Electric Power Company, Inc.		3,200		87,967
Tokyo Gas Company Ltd.		18,000		83,601
Osaka Gas Company Ltd.		20,000		83,087
Electric Power Development Company Ltd.		2,800		82,734
Chugoku Electric Power Company, Inc.		4,690		82,485
Tohoku Electric Power Company, Inc.		5,890		81,597
CLP Holdings Ltd.		8,990		80,993
Severn Trent plc		3,333		79,573
United Utilities Group plc		8,207		79,368
Hokuriku Electric Power Co.		4,300		79,337
Enel Green Power SpA		34,600		78,825
Hong Kong & China Gas Company Ltd.		34,960		78,692
Terna Rete Elettrica Nazionale SpA		21,200		78,611
National Grid plc		7,929		78,521
Chubu Electric Power Company, Inc.		4,190		78,470
E.ON AG		3,560		77,234
SSE plc		3,852		77,230
Power Assets Holdings Ltd.		9,990		76,433
RWE AG		2,070		76,354
Kansai Electric Power Company, Inc.		4,400		76,033
Cheung Kong Infrastructure Holdings Ltd.		13,000		75,737
Kyushu Electric Power Company, Inc.		4,690		75,400
Contact Energy Ltd.*		18,168		75,045
Gas Natural SDG S.A.		4,394		74,716
GDF Suez		2,501		74,305
Centrica plc		16,124		74,291
EDP — Energias de Portugal S.A. ADR		23,991		73,888
Snam Rete Gas SpA		15,961		73,682
Red Electrica Corp. S.A.		1,610		73,362
EDF S.A.		2,530		73,267
Hokkaido Electric Power Company, Inc.		4,900		72,225
Iberdrola S.A.		10,682		72,216
Acciona S.A.		850		71,652
EDP Renovaveis S.A.*		13,056		71,090
International Power plc ADR		14,961		70,989
Enel SpA		15,980		70,535
A2A SpA		56,600		70,408
SP AusNet		78,305		70,320
Veolia Environnement S.A.		4,770		69,658
Enagas S.A.		3,782		69,503
Fortum Oyj		2,890		68,023
AGL Energy Ltd.		4,680		64,165
Suez Environnement Co.		4,580		63,736
Public Power Corp. S.A.		7,900		62,746
Verbund AG		2,051		59,025
Tokyo Electric Power Company, Inc.*		15,280		46,191
Total Utilities				3,505,200
Energy - 3.7%
Tullow Oil plc*		4,770		96,384
TonenGeneral Sekiyu K.K.		7,000		80,428
Cosmo Oil Company Ltd.		31,000		76,723
Royal Dutch Shell plc		2,430		75,600
Royal Dutch Shell plc — Class A		2,440		75,380
Repsol YPF S.A.		2,850		75,232
Essar Energy plc*		19,420		75,228
BG Group plc		3,872		74,066
BP plc		12,330		73,908
Galp Energia SGPS S.A. — Class B		4,003		73,099
JX Holdings, Inc.		12,990		72,904
Japan Petroleum Exploration Co.		2,000		72,695
Petrofac Ltd.		3,880		71,701
Idemitsu Kosan Company Ltd.		800		71,661
Total S.A.		1,620		71,469
AMEC plc		5,610		70,734
ENI SpA — Class Preference		4,010		70,543
Showa Shell Sekiyu K.K.		9,890		70,445
Statoil ASA		3,282		70,421
Transocean Ltd.		1,450		69,911
Fugro N.V.		1,370		69,087
Seadrill Ltd.		2,501		69,065
Cairn Energy plc*		15,910		68,969
WorleyParsons Ltd.		2,761		68,887
SBM Offshore N.V.		3,930		68,111
Santos Ltd.		6,230		67,419

78 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

	Shares		Value
Caltex Australia Ltd.		6,530	$	67,297
Origin Energy Ltd.		5,222		66,816
Technip S.A.		830		66,493
Subsea 7 S.A.*		3,501		66,150
Saipem SpA		1,830		64,225
Neste Oil Oyj		7,350		63,784
Woodside Petroleum Ltd.		2,050		63,512
Tenaris S.A.		4,890		61,594
Inpex Corp.		10		61,407
OMV AG		2,042		60,780
Cie Generale de Geophysique — Veritas*		3,310		58,297
Aker Solutions ASA		6,070		58,144
Paladin Energy Ltd.*		34,190		39,232
John Wood Group plc		47		384
Kvaerner ASA*,†		28		37
Total Energy				2,698,222
Telecommunication Services - 3.4%
Nippon Telegraph & Telephone Corp.		1,800		86,229
Inmarsat plc		10,570		80,471
BT Group plc		29,590		79,256
Vodafone Group plc		29,461		75,897
Elisa Oyj		3,664		74,897
Singapore Telecommunications Ltd.		30,970		74,648
StarHub Ltd.		33,960		73,810
Cellcom Israel Ltd.*		3,540		72,225
Koninklijke KPN N.V.		5,586		73,569
TDC A/S		8,990		73,439
Swisscom AG		180		73,230
Telefonica S.A.		3,811		73,033
Telenor ASA		4,726		72,886
NTT DoCoMo, Inc.		40		72,877
Iliad S.A.		651		72,722
Belgacom S.A.		2,392		71,985
Telecom Italia SpA — Savings Shares		73,860		71,827
TeliaSonera AB ADR		10,849		71,507
Telstra Corporation Ltd.		23,976		71,401
Telekom Austria AG ADR		7,062		71,269
Telecom Italia SpA		65,100		70,728
Softbank Corp.		2,400		70,220
Millicom International Cellular S.A.		701		69,836
PCCW Ltd.		186,790		69,471
Mobistar S.A.		1,211		69,128
KDDI Corp.		10		68,839
Tele2 AB — Class B		3,787		68,573
Vivendi S.A.		3,350		68,202
Portugal Telecom SGPS S.A.		9,280		68,176
Partner Communications Company Ltd.*		7,010		66,385
France Telecom S.A.		4,130		67,591
Bezeq The Israeli Telecommunication Corporation Ltd.*		35,016		65,478
Telecom Corporation of New Zealand Ltd.		33,492		66,567
Deutsche Telekom AG		5,595		65,670
Hellenic Telecommunications Organization S.A.		11,980		50,921
Total Telecommunication Services				2,492,963
Total Common Stocks (Cost $84,204,916)				68,032,531
PREFERRED STOCKS†† - 0.5%
RWE AG		2,280		78,820
ProSiebenSat.1 Media AG		4,260		74,901
Bayerische Motoren Werke AG		1,540		72,234
Henkel AG & Company KGaA		1,320		70,183
Volkswagen AG		480		63,341
Total Preferred Stocks (Cost $453,661)				359,479
RIGHTS†† - 0.0%
Banco Bilbao Vizcaya Argentaria S.A.*
Expires 10/01/11		8,850		1,304
CaixaBank*
Expires 10/13/11		15,250		1,246
Eurazeo*
Expires 12/30/11		20		27
Total Rights (Cost $32)				2,577
EXCHANGE TRADED FUNDS† - 4.9%
iShares MSCI EAFE Index Fund		61,140		2,919,435
iShares MSCI Japan Index Fund		59,800		565,708
iShares MSCI Singapore Index Fund		4,970		54,670
iShares MSCI Hong Kong Index Fund		3,580		51,337
Total Exchange Traded Funds (Cost $4,281,166)				3,591,150
SHORT TERM INVESTMENTS†† - 1.7%
State Street General Account U.S. Government Fund		1,204,333		1,204,333
Total Short Term Investments (Cost $1,204,333)				1,204,333
Total Investments - 99.7% (Cost $90,144,108)			$	73,190,070
Cash & Other Assets, Less Liabilities - 0.3%				242,760
Total Net Assets - 100.0%			$	73,432,830

See Notes to Financial Statements. the RYDEX|SGI equity funds annual report | 79

SCHEDULE OF INVESTMENTS (concluded) September 30, 2011

MSCI EAFE EQUAL WEIGHT FUND

Country Diversification

The pie chart above reflects percentages of
the market value of Common Stocks.

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Security is a 144A or Section 4(2) security. The total market value of 144A or Section 4(2) securities is $72,987 (cost $75,313), or 0.1% of total net assets.
	ADR — American Depositary Receipt
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

80 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

MSCI EAFE EQUAL WEIGHT FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments, at value (cost $90,144,108)	$	73,190,070
Foreign currency, at value (cost $21,150)		14,358
Cash		242
Prepaid expenses		42,235
Receivables:
Dividends		295,922
Foreign taxes reclaim		41,006
Investment advisor		25,388
Fund shares sold		16,564
Total assets		73,625,785
Liabilities:
Payable for:
Management fees		43,715
Fund shares redeemed		41,823
Custodian fees		24,707
Professional fees		19,741
Distribution and service fees		16,881
Transfer agent/maintenance fees		10,598
Fund accounting/administration fees		9,367
Directors’ fees*		446
Miscellaneous		25,677
Total liabilities		192,955
Net Assets	$	73,432,830
Net Assets Consist Of:
Paid in capital	$	114,269,030
Accumulated net investment loss		(281,821	)
Accumulated net realized loss on investments and foreign currency		(23,593,549	)
Net unrealized depreciation on investments and foreign currency		(16,960,830	)
Net assets	$	73,432,830
A-Class:
Net assets	$	65,573,376
Capital shares outstanding		6,762,710
Net asset value per share	$	9.70
Maximum offering price per share (Net asset value divided by 95.25%)	$	10.18
B-Class:
Net assets	$	4,147,954
Capital shares outstanding		490,473
Net asset value per share	$	8.46
C-Class:
Net assets	$	3,426,020
Capital shares outstanding		411,183
Net asset value per share	$	8.33
Institutional Class:
Net assets	$	285,480
Capital shares outstanding		29,426
Net asset value per share	$	9.70

STATEMENT OF OPERATIONS

For the Year Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $207,613)	$	2,025,164
Total investment income		2,025,164
Expenses:
Management fees		807,696
Transfer agent/maintenance fees		208,668
Distribution and service fees:
A-Class		202,576
C-Class		43,945
Fund accounting/administration fees		137,401
Custodian fees		149,096
Directors’ fees*		5,206
Miscellaneous		159,980
Total expenses		1,714,568
Less:
Expenses waived by advisor		(26,732	)
Net expenses		1,687,836
Net investment income		337,328
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		19,293,911
Futures contracts		530,374
Foreign currency		(258,603	)
Net realized gain		19,565,682
Net change in unrealized appreciation (depreciation) on:
Investments		(24,782,002	)
Foreign currency		(12,406	)
Net change in unrealized appreciation (depreciation)		(24,794,408	)
Net realized and unrealized loss		(5,228,726	)
Net decrease in net assets resulting from operations	$	(4,891,398	)

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

See Notes to Financial Statements. the RYDEX|SGI equity funds annual report | 81

MSCI EAFE EQUAL WEIGHT FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	337,328		$	223,151
Net realized gain on investments and foreign currency		19,565,682			11,793,752
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(24,794,408	)		(6,398,467	)
Net increase (decrease) in net assets resulting from operations		(4,891,398	)		5,618,436
Distributions to shareholders from:
Net investment income
A-Class		(428,482	)		—
B-Class		(59,809	)		—
Total distributions to shareholders		(488,291	)		—
Capital share transactions:
Proceeds from sale of shares
A-Class		11,944,041			20,592,616
B-Class		358,374			826,631
C-Class		541,059			439,496
Institutional Class*		1,599,376			—
Distributions reinvested
A-Class		424,001			—
B-Class		59,500			—
Cost of shares redeemed
A-Class		(20,083,005	)		(44,556,043	)
B-Class		(2,876,923	)		(5,667,547	)
C-Class		(1,159,828	)		(1,186,786	)
Institutional Class*		(1,258,878	)		—
Net decrease from capital share transactions		(10,452,283	)		(29,551,633	)
Net decrease in net assets		(15,831,972	)		(23,933,197	)
Net assets:
Beginning of year		89,264,802			113,197,999
End of year	$	73,432,830		$	89,264,802
Accumulated net investment loss at end of year	$	(281,821	)	$	(426,190	)
Capital share activity:
Shares sold
A-Class		1,048,009			2,066,878
B-Class		35,602			93,747
C-Class		53,801			50,022
Institutional Class*		150,654			—
Shares issued from reinvestment of distributions
A-Class		36,520			—
B-Class		5,885			—
Shares redeemed
A-Class		(1,754,360	)		(4,379,932	)
B-Class		(287,631	)		(640,990	)
C-Class		(116,514	)		(135,076	)
Institutional Class*		(121,228	)		—
Net decrease in shares		(949,262	)		(2,945,351	)

* Since commencement of operations: May 2, 2011.

82 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

MSCI EAFE EQUAL WEIGHT FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each year and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2011			2010			2009			2008			2007f
Per Share Data
Net asset value, beginning of period	$	10.52		$	9.97		$	10.35		$	20.69		$	19.65
Income (loss) from investment operations:
Net investment incomea		.05			.02			.05			.05			.06
Net gain (loss) on investments (realized and unrealized)		(.81	)		.53			(.35	)		(3.63	)		3.60
Total from investment operations		(.76	)		.55			(.30	)		(3.58	)		3.66
Less distributions from:
Net investment income		(.06	)		—			(.02	)		(.04	)		—
Net realized gains		—			—			—			(6.72	)		(2.62	)
Return of capital		—			—			(.06	)		—			—
Total distributions		(.06	)		—			(.08	)		(6.76	)		(2.62	)
Net asset value, end of period	$	9.70		$	10.52		$	9.97		$	10.35		$	20.69
Total Returnb		(7.32	%)		5.52	%		(2.71	%)		(25.16	%)		20.07	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	65,573		$	78,201		$	97,205		$	88,782		$	145,158
Ratios to average net assets:
Net investment income		0.40	%		0.24	%		0.63	%		0.33	%		0.29	%
Total expenses		1.85	%		1.86	%		1.89	%		1.73	%		1.69	%
Net expensesc		1.82	%		1.86	%		1.89	%		1.73	%		1.69	%
Portfolio turnover rate		206	%		288	%		368	%		280	%g		162	%g

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2011d			2010d			2009d			2008d			2007d,f
Per Share Data
Net asset value, beginning of period	$	9.19		$	8.69		$	9.05		$	18.96		$	18.17
Income (loss) from investment operations:
Net investment incomea		.05			.04			.07			.07			.09
Net gain (loss) on investments (realized and unrealized)		(.69	)		.46			(.32	)		(3.17	)		3.32
Total from investment operations		(.64	)		.50			(.25	)		(3.10	)		3.41
Less distributions from:
Net investment income		(.09	)		—			(.04	)		(.09	)		—
Net realized gains		—			—			—			(6.72	)		(2.62	)
Return of capital		—			—			(.07	)		—			—
Total distributions		(.09	)		—			(.11	)		(6.81	)		(2,62	)
Net asset value, end of period	$	8.46		$	9.19		$	8.69		$	9.05		$	18.96
Total Returnb		(7.13	%)		5.75	%		(2.45	%)		(24.91	%)		20.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,148		$	6,769		$	11,155		$	15,303		$	29,659
Ratios to average net assets:
Net investment income		0.53	%		0.45	%		0.90	%		0.55	%		0.50	%
Total expenses		1.61	%		1.61	%		1.65	%		1.48	%		1.44	%
Net expensesc		1.59	%		1.61	%		1.65	%		1.48	%		1.44	%
Portfolio turnover rate		206	%		288	%		368	%		280	%g		162	%g

See Notes to Financial Statements. the RYDEX|SGI equity funds annual report | 83

MSCI EAFE EQUAL WEIGHT FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each year and to assist shareholders in evaluating a Fund’s performance for the years presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2011			2010			2009			2008			2007f
Per Share Data
Net asset value, beginning of period	$	9.06		$	8.66		$	9.04		$	19.00		$	18.37
Income (loss) from investment operations:
Net investment lossa		(.04	)		(.04	)		(.01	)		(.05	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		(.69	)		.44			(.31	)		(3.18	)		3.34
Total from investment operations		(.73	)		.40			(.32	)		(3.23	)		3.25
Less distributions from:
Net realized gains		—			—			—			(6.73	)		(2.62	)
Return of capital		—			—			(.06	)		—			—
Total distributions		—			—			(.06	)		(6.73	)		(2.62	)
Net asset value, end of period	$	8.33		$	9.06		$	8.66		$	9.04		$	19.00
Total Returnb		(8.06	%)		4.62	%		(3.39	%)		(25.69	%)		19.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,426		$	4,295		$	4,838		$	7,866		$	12,449
Ratios to average net assets:
Net investment loss		(0.37	%)		(0.50	%)		(0.11	%)		(0.44	%)		(0.48	%)
Total expenses		2.60	%		2.62	%		2.65	%		2.49	%		2.44	%
Net expensesc		2.58	%		2.62	%		2.65	%		2.49	%		2.44	%
Portfolio turnover rate		206	%		288	%		368	%		280	%g		162	%g

	Year Ended
	September 30,
Institutional Class	2011e
Per Share Data
Net asset value, beginning of period	$	12.37
Income (loss) from investment operations:
Net investment incomea		.13
Net loss on investments (realized and unrealized)		(2.80	)
Total from investment operations		(2.67	)
Net asset value, end of period	$	9.70
Total Returnb		(21.58	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	285
Ratios to average net assets:
Net investment income		2.99	%
Total expenses		2.27	%
Net expensesc		1.36	%
Portfolio turnover rate		206	%

a	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
d	Effective August 25, 2005, B-Class shares ceased charging 12b-1 fees in accordance with FINRA sales cap regulations. Per share information reflects this change. This fee will be reinstated when sales exceed the sales cap limit.
e	Since commencement of operations: May 2, 2011 — percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
f	Security Global Investors, LLC (“SGI”) became the sub-advisor of the fund effective August 1, 2007.
g	Significant variation in the portfolio turnover is due to the re-alignment of the Fund’s portfolio following the appointment of SGI as sub-advisor.

84 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

MANAGERS’ COMMENTARY (Unaudited) September 30, 2011

Advised by: and Subadvised by:

To Our Shareholders:

For the 12-month period ending September 30, 2011, the Rydex|SGI Equity Fund—Alpha Opportunity Fund returned 1.13%¹, while the Fund’s benchmark, the S&P 500^® Index, had a 1.14% return.

The Fund pursues its objective of seeking long-term growth of capital by investing approximately 37.5% of its total assets according to a long/short strategy in domestic equity securities and 37.5% of its total assets according to a long/short strategy in non-U.S. securities. The manager invests the remaining 25% of total assets in a portfolio of equity securities, equity derivative securities and fixed-income securities intended to track the S&P 500 Index.

The Fund pursues its domestic long/short strategy using fundamental and technical analysis to identify quality securities trading at attractive valuations. This strategy uses a top-down perspective to formulate long-term themes and a bottom-up approach to identify individual securities. The Fund’s global long/short strategy uses quantitative and qualitative techniques to identify long and short investment opportunities; however, the fund is currently unable to pursue the global long/short strategy, which affects its ability to meet its investment objective. The Fund primarily uses S&P 500 futures for the portion of total assets that is intended to track the S&P 500 Index.

Non-U.S. Strategy Performance

Most of the long holdings in the non-U.S. strategy are held as short sale collateral in a special custody account and are deemed illiquid due to the Fund’s exposure to Lehman Brothers International Europe (LBIE). Top-performing sectors for this strategy were Consumer Discretionary and Consumer Staples.

Consumer Discretionary positions that contributed to performance were long positions in Limited Brands, Inc. and Ross Stores, Inc.

Herbalife Ltd. and Philip Morris International, Inc. were among long positions in the Consumer Staples sector that contributed to performance.

Detracting from performance was a long position in Shanda Interactive Entertainment Ltd. in the Information Technology sector.

Domestic Long/Short Strategy Performance

For the domestic long/short strategy, contributors to performance included an overweight allocation to Materials and an underweight position in the Financials sector. The cash allocation also positively contributed to relative returns during a very volatile period for the equity market.

Leaders in the Materials sector included CF Industries Holdings, Inc. In the Financials sector, RenaissanceRe Holdings Ltd. and Simon Property Group, Inc., led relative performance. The domestic long/short strategy benefited by having little exposure to the banking industry.

Stock selection within the consumer sectors detracted from performance during the year. These positions included Corn Products International, Inc., and Expedia, Inc.

The domestic long/short strategy’s current focus is larger capitalization, high quality stocks. These “blue chip” equities have solid balance sheets and dependable income streams that are coupled with either above-average growth or attractive dividends.

Broad Market Tracking

The Fund primarily used S&P 500 e-mini futures for the portion of Fund assets that was intended to track the S&P 500 Index. 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.

the RYDEX|SGI equity funds annual report | 85

MANAGERS’ COMMENTARY (Unaudited) (concluded)

As referenced in Note 9 of the Notes to Financials in this shareholder report, Security Global Investors (SGI) is working to resolve certain outstanding short sale transactions with Lehman Brothers International Europe (LBIE) and its administrator. The Fund’s exposure to LBIE due to these transactions consists of short sale proceeds held by LBIE and long positions held as collateral at the Fund’s custodian. Release of the collateral requires the consent of LBIE and Lehman Brothers, Inc., an entity that is subject to a liquidation proceeding. Due to the valuations assigned to the short positions, which are based on certain assumptions, resolution of these matters could ultimately result in the Fund’s realizing values that are materially different from those indicated in this report, which would materially affect the Fund’s net asset value (either positively or negatively). SGI is uncertain when it will resume its full investment program.

We appreciate your business and the trust you place in us.

Sincerely,

Bill Jenkins, CFA, Portfolio Manager
(Mainstream Investment Advisers)

Charles Craig, CFA, Portfolio Manager
(Mainstream Investment Advisers)

Michael Byrum, CFA, Portfolio Manager
Rydex|SGI

Michael Dellapa, CFA, CAIA, Portfolio Manager
Rydex|SGI

Ryan Harder, CFA, Portfolio Manager
Rydex|SGI

Yon Perullo, CFA, Portfolio Manager
Rydex|SGI

The opinions and forecasts expressed are those of the individuals listed above 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.

¹ Performance figures are based on A-Class shares and do not reflect deduction of the sales charges or taxes that a shareholder would pay on distributions or the redemption of shares. Fee waivers and/or reimbursements reduce Fund expenses and, in the absence of such waivers, the performance quoted would be reduced.

Mainstream Investment Advisors, LLC is not affiliated with Security Global Investors, LLC.

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.

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.

86 | the RYDEX|SGI equity funds annual report

PERFORMANCE REPORT AND FUND PROFILE (Unaudited) September 30, 2011

ALPHA OPPORTUNITY FUND

OBJECTIVE: Seeks long-term growth of capital.

Cumulative Fund Performance

The S&P 500^® Index is an unmanaged index composed of 500 selected common stocks that represent approximately two-thirds of the total market value of all U.S. common stocks.

Holdings Diversification (Market Exposure as
% of Net Assets)

** Substantially all of the short holdings were fair valued by the Valuation Committee at September 30, 2011 due to exposure to LBIE — See Note 9. The total market value of fair valued securities amounts to (73%) of total net assets.

“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.

Average Annual Returns*
Periods Ended 9/30/11

							Since
							Inception
	1 Year			5 Year			(07/07/03)
A-Class		1.13	%		2.13	%		6.38	%
A-Class with sales charge†		-4.66	%		0.93	%		5.62	%
B-Class		0.44	%		1.34	%		5.58	%
B-Class with CDSC††		-4.56	%		1.05	%		5.58	%
C-Class		0.44	%		1.34	%		5.56	%
C-Class with CDSC†††		-0.56	%		1.34	%		5.56	%
S&P 500 Index		1.14	%		-1.18	%		3.51	%

				Since
				Inception
	1 Year			(11/07/08)
Institutional Class		1.50	%		11.00	%
S&P 500 Index		1.14	%		9.35	%

Inception Dates:
A-Class	July 7, 2003
B-Class	July 7, 2003
C-Class	July 7, 2003
Institutional Class	November 7, 2008

Ten Largest Holdings (% of Total Net Assets)
Philip Morris International, Inc.	6.9	%
Johnson & Johnson	5.3	%
Altria Group, Inc.	4.5	%
Shanda Interactive Entertainment Ltd. ADR	4.4	%
Herbalife Ltd.	3.2	%
AT&T, Inc.	3.0	%
Joy Global, Inc.	2.8	%
Lockheed Martin Corp.	2.7	%
CA, Inc.	2.7	%
Trinity Industries, Inc.	2.2	%
Top Ten Total	37.7	%

“Ten Largest Holdings” exclude any temporary cash or derivative investments.

*	The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return.
†	Effective February 22, 2011, the maximum sales charge decreased from 5.75% to 4.75%. A 5.75% maximum sales charge is used in the calculation of the 1 Year, 5 Year and 10 Year Average Annual Returns (based on subscriptions made prior to February 22, 2011), and a 4.75% maximum sales charge will be used to calculate performance for periods based on subscriptions made on or after February 22, 2011.
††	Fund returns include a CDSC of up to 5% if redeemed within 5 years of purchase.
†††	Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

the RYDEX|SGI equity funds annual report | 87

SCHEDULE OF INVESTMENTS September 30, 2011

ALPHA OPPORTUNITY FUND

	Shares		Value
COMMON STOCKS† - 101.5%
Consumer Staples - 23.6%
Philip Morris International, Inc.1,2		11,007	$	686,617
Altria Group, Inc.1,2		16,700		447,727
Herbalife Ltd.1,2		5,965		319,724
Procter & Gamble Co.		3,273		206,788
Wal-Mart Stores, Inc.1,2		2,200		114,180
Clorox Co.		1,655		109,776
Unilever plc ADR		3,186		99,371
Safeway, Inc.1,2		3,900		64,857
CVS Caremark Corp.		1,931		64,843
Corn Products International, Inc.		1,593		62,509
Darling International, Inc.		3,448		43,410
Cia de Bebidas das Americas ADR		1,015		31,110
Brown-Forman Corp. — Class B		433		30,371
Colgate-Palmolive Co.		276		24,476
Smithfield Foods, Inc.		965		18,817
British American Tobacco plc ADR		171		14,489
Kraft Foods, Inc. — Class A		276		9,268
Omega Protein Corp.*		1,000		9,080
HJ Heinz Co.		158		7,976
Total Consumer Staples				2,365,389
Industrials - 16.7%
Joy Global, Inc.1,2		4,500		280,710
Lockheed Martin Corp.1,2		3,753		272,618
Trinity Industries, Inc.1,2		10,200		218,382
AO Smith Corp.1,2		4,200		134,526
Towers Watson & Co. — Class A1,2		2,200		131,516
General Electric Co.1,2		7,194		109,636
Kirby Corp.*		1,434		75,486
Watts Water Technologies, Inc. — Class A1,2		2,800		74,620
Northrop Grumman Corp.1,2		1,100		57,376
Boeing Co.		827		50,042
MasTec, Inc.*		2,482		43,708
Danaher Corp.		965		40,472
3M Co.		552		39,628
Polypore International, Inc.		689		38,942
Con-way, Inc.1,2		1,700		37,621
Wesco Aircraft Holdings, Inc.		2,502		27,347
Waste Connections, Inc.		552		18,669
Chart Industries, Inc.		178		7,506
Thermon Group Holdings, Inc.*		513		7,090
Huntington Ingalls Industries, Inc.1,2		183		4,452
Total Industrials				1,670,347
Consumer Discretionary - 15.3%
TJX Companies, Inc.1,2		3,600		199,692
Limited Brands, Inc.1,2		5,100		196,401
Family Dollar Stores, Inc.1,2		3,700		188,182
Ross Stores, Inc.1,2		2,100		165,249
Walt Disney Co.1,2		4,024		121,364
The Gap, Inc.1,2		6,000		97,440
Wynn Resorts Ltd.		830		95,516
Jack in the Box, Inc.*,1,2		4,000		79,680
Mattel, Inc.		2,901		75,107
RadioShack Corp.1,2		5,100		59,262
Lululemon Athletica, Inc.		1,026		49,915
PVH Corp.1,2		800		46,592
Tupperware Brands Corp.		827		44,443
Expedia, Inc.		1,517		39,063
Priceline.com, Inc.*		79		35,507
Target Corp.		414		20,303
Lithia Motors, Inc. — Class A		827		11,892
Perfumania Holdings, Inc.		527		7,494
Total Consumer Discretionary				1,533,102
Health Care - 15.1%
Johnson & Johnson1,2		8,281		527,582
Viropharma, Inc.*,1,2		9,900		178,893
Life Technologies Corp.*,1,2		2,800		107,604
Forest Laboratories, Inc.*,1,2		3,400		104,686
Baxter International, Inc.1,2		1,800		101,052
Amgen, Inc.1,2		1,800		98,910
WellCare Health Plans, Inc.*,1,2		2,300		87,354
Lincare Holdings, Inc.1,2		3,800		85,500
Owens & Minor, Inc.1,2		2,700		76,896
Charles River Laboratories International, Inc. ADR1,2		2,000		57,240
athenahealth, Inc.*		827		49,248
Kindred Healthcare, Inc.*,1,2		3,900		33,618
Total Health Care				1,508,583
Information Technology - 12.6%
Shanda Interactive Entertainment Ltd. ADR*,1,2		15,100		446,054
CA, Inc.1,2		14,000		271,740
Symantec Corp.*,1,2		5,900		96,170
Avnet, Inc.*,1,2		3,100		80,848
Arrow Electronics, Inc.1,2		2,600		72,228
ARM Holdings plc ADR		2,620		66,810
Harmonic, Inc.*,1,2		11,000		46,860
Apple, Inc.*		120		45,742
Amkor Technology, Inc.*,1,2		9,200		40,112
Baidu, Inc. ADR*		286		30,576
Yandex N.V. — Class A		1,182		24,125
Microsoft Corp.		690		17,174
Electronic Arts, Inc.*		689		14,090
SPS Commerce, Inc.		414		6,744
TriQuint Semiconductor, Inc.		828		4,156
Total Information Technology				1,263,429

88 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

ALPHA OPPORTUNITY FUND

	Shares		Value
Financials - 7.3%
Simon Property Group, Inc.		1,655	$	182,017
Amtrust Financial Services, Inc.1,2		6,000		133,560
Endurance Specialty Holdings Ltd.1,2		3,000		102,450
RenaissanceRe Holdings Ltd.		1,397		89,129
ACE Ltd.		1,103		66,842
Chubb Corp.		1,103		66,169
Arch Capital Group Ltd.		1,103		36,040
Berkshire Hathaway, Inc. — Class B*		425		30,192
Genworth Financial, Inc. — Class A1,2		4,000		22,960
Total Financials				729,359
Energy - 4.6%
Anadarko Petroleum Corp.1,2		2,755		173,703
ConocoPhillips1,2		1,500		94,980
Chesapeake Energy Corp.		3,034		77,519
Cabot Oil & Gas Corp.		965		59,743
El Paso Corp.		1,655		28,929
Hornbeck Offshore Services, Inc.*		552		13,750
Oceaneering International, Inc.		276		9,754
Tsakos Energy Navigation Ltd.		752		4,196
Total Energy				462,574
Telecommunication Services - 3.2%
AT&T, Inc.1,2		10,600		302,312
Crown Castle International Corp.*		414		16,838
Total Telecommunication Services				319,150
Utilities - 1.9%
Constellation Energy Group, Inc.1,2		5,100		194,106
Materials - 1.2%
Potash Corporation of Saskatchewan, Inc.		1,265		54,673
CF Industries Holdings, Inc.		278		34,303
Molycorp, Inc.*		552		18,144
Newmont Mining Corp.		276		17,361
Total Materials				124,481
Total Common Stocks (Cost $10,885,895)				10,170,520
EXCHANGE TRADED FUNDS† - 6.2%
Consumer Staples Select Sector SPDR Fund		6,206		184,318
PowerShares DB Agriculture Fund		3,748		111,128
Teucrium Corn Fund		2,736		109,112
Utilities Select Sector SPDR Fund		2,846		95,740
WisdomTree Asia Local Debt Fund		1,734		85,696
WisdomTree Dreyfus Emerging Currency Fund		1,565		32,364
Total Exchange Traded Funds (Cost $668,958)				618,358
CLOSED-END FUND† - 0.3%
Morgan Stanley China A Share Fund, Inc.		1,512		32,039
Total Closed-End Fund (Cost $34,976)				32,039
SHORT TERM INVESTMENTS†† - 0.2%
State Street General Account U.S. Government Fund		20,591		20,591
Total Short Term Investments (Cost $20,591)				20,591

	Face
	Amount
FEDERAL AGENCY DISCOUNT NOTE†† - 10.0%
Fannie Mae3 0.11% due 01/17/12	$	1,000,000		999,941
Total Federal Agency Discount Note (Cost $999,670)				999,941
Total Long Investments - 118.2% (Cost $12,610,090)			$	11,841,449

	Shares
COMMON STOCKS SOLD SHORT — (73.7)%
Consumer Staples — (1.0)%
Bridgford Foods Corp. — Class A†		238	(2,209	)
Hansen Natural Corp.†††,4,5		3,250	(96,232	)
Total Consumer Staples			(98,441	)
Telecommunication Services — (1.9)%
Clearwire Corp. — Class A*,†††,4,5		2,530	(28,665	)
Global Crossing Ltd.*,†††,4,5		1,800	(28,746	)
Leap Wireless International, Inc.*,†††,4,5		1,500	(65,100	)
SBA Communications Corp. — Class A*,†††,4,5		2,400	(69,096	)
Total Telecommunication Services			(191,607	)
Utilities — (2.5)%
Korea Electric Power Corp. ADR*,†††,4,5		18,310	(247,734	)
Energy — (3.4)%
Aquila Resources Ltd. — Class A*,†††,4,5		2,750	(21,907	)
Arrow Energy Holdings Pty Ltd.†††,4,5		8,900	(22,965	)
Modec, Inc.†††,4,5		900	(23,195	)
Sevan Marine ASA*,†††,4,5		5,900	(30,951	)
Trican Well Service Ltd.†††,4,5		2,000	(34,043	)
Queensland Gas Company Ltd.*,†††,4,5		12,800	(49,787	)
Riversdale Mining Ltd.*,†††,4,5		6,700	(50,985	)
BPZ Resources, Inc.*,†††,4,5		5,700	(107,160	)
Total Energy			(340,993	)

See Notes to Financial Statements. the RYDEX|SGI equity funds annual report | 89

SCHEDULE OF INVESTMENTS (continued) September 30, 2011

ALPHA OPPORTUNITY FUND

	Shares		Value
Materials — (4.1)%
China National Building Material Company Ltd. — Class H†††,4,5		14,700	$	(19,911	)
Anhui Conch Cement Company Ltd. — Class H†††,4,5		4,500		(20,259	)
Shougang Fushan Resources Group Ltd.†††,4,5		66,000		(23,727	)
Sino Gold Mining Ltd. — Class A†††,4,5		8,600		(35,368	)
Ivanhoe Mines Ltd.*,†††,4,5		4,440		(37,030	)
Western Areas NL†††,4,5		6,200		(44,456	)
Zoltek Companies, Inc.*,†††,4,5		2,700		(49,221	)
Silver Wheaton Corp.†††,4,5		6,100		(64,046	)
Agnico-Eagle Mines Ltd.†††,4,5		1,800		(119,001	)
Total Materials				(413,019	)
Information Technology — (8.2)%
Jabil Circuit, Inc.†		543		(9,660	)
VeriSign, Inc.†††,4,5		1,200		(30,756	)
Access Company Ltd.†††,4,5		17		(32,755	)
Varian Semiconductor Equipment Associates, Inc.*,†††,4,5		1,260		(33,037	)
Electronic Arts, Inc.*,†††,4,5		900		(36,720	)
Riverbed Technology, Inc.*,†††,4,5		3,280		(43,624	)
Red Hat, Inc.*,†††,4,5		2,610		(46,589	)
Baidu, Inc. ADR*,†††,4,5		200		(53,726	)
Intermec, Inc.*,†††,4,5		2,740		(54,307	)
Rambus, Inc.*,†††,4,5		3,600		(55,224	)
VMware, Inc. — Class A*,†††,4,5		2,400		(68,592	)
Imperial Energy Corporation plc*,†††,4,5		3,900		(77,681	)
Equinix, Inc.*,†††,4,5		1,000		(79,940	)
SAVVIS, Inc.*,†††,4,5		5,700		(84,018	)
Cree, Inc.*,†††,4,5		4,000		(109,840	)
Total Information Technology				(816,469	)
Industrials — (9.9)%
China Merchants Holdings International Company Ltd. ADR†††,4,5		3,100		(11,047	)
China Communications Construction Company Ltd. — Class H†††,4,5		15,000		(15,535	)
China National Materials Company Ltd.†††,4,5		34,400		(17,537	)
Japan Steel Works Ltd.†††,4,5		1,500		(20,809	)
Ausenco Ltd.†††,4,5		2,100		(22,659	)
Toyo Tanso Company Ltd.†††,4,5		500		(27,007	)
Ryanair Holdings plc*,†††,4,5		9,600		(35,971	)
Meyer Burger Technology AG*,†††,4,5		200		(49,878	)
USG Corp.*,†††,4,5		4,940		(141,877	)
Beijing Capital International Airport Company Ltd. — Class H†††,4,5		218,000		(188,550	)
Brisa Auto-Estradas de Portugal S.A.†††,4,5		44,400		(461,804	)
Total Industrials				(992,674	)
Financials — (11.7)%
C C Land Holdings Ltd.†††,4,5		50,000		(13,945	)
Franshion Properties China Ltd.†††,4,5		79,400		(22,104	)
Mizuho Trust & Banking Company Ltd.†††,4,5		17,700		(24,682	)
Aozora Bank Ltd.†††,4,5		16,300		(26,251	)
Monex Group, Inc.†††,4,5		78		(27,384	)
Mizuho Financial Group, Inc.†††,4,5		11,000		(45,461	)
Aeon Mall Company Ltd.†††,4,5		1,700		(52,093	)
PrivateBancorp, Inc.†††,4,5		2,390		(102,770	)
Erste Group Bank AG†††,4,5		5,200		(319,536	)
Wells Fargo & Co.†††,4,5		12,384		(539,689	)
Total Financials				(1,173,915	)
Health Care — (13.4)%
Sepracor, Inc.*,†††,4,5		1,400		(24,500	)
Exelixis, Inc. — Class H†††,4,5		4,500		(28,845	)
Savient Pharmaceuticals, Inc.*,†††,4,5		2,420		(48,013	)
Zeltia S.A.†††,4,5		8,000		(54,559	)
Intuitive Surgical, Inc.†††,4,5		200		(56,100	)
Auxilium Pharmaceuticals, Inc.*,†††,4,5		1,540		(56,703	)
XenoPort, Inc.*,†††,4,5		1,376		(63,062	)
Luminex Corp.*,†††,4,5		2,500		(63,725	)
Regeneron Pharmaceuticals, Inc.*,†††,4,5		3,180		(69,038	)
Vertex Pharmaceuticals, Inc.*,†††,4,5		2,600		(71,942	)
Align Technology, Inc.*,†††,4,5		6,100		(74,420	)
Intercell AG*,†††,4,5		1,900		(74,840	)
Acorda Therapeutics, Inc.†††,4,5		2,800		(74,900	)
Rigel Pharmaceuticals, Inc.*,†††,4,5		3,050		(78,324	)
Sequenom, Inc.*,†††,4,5		3,810		(78,524	)
Cepheid, Inc.*,†††,4,5		5,300		(81,620	)
AMAG Pharmaceuticals, Inc.*,†††,4,5		1,900		(82,954	)
Basilea Pharmaceutica*,†††,4,5		500		(83,364	)
Alnylam Pharmaceuticals, Inc.*,†††,4,5		2,900		(85,289	)
athenahealth, Inc.*,†††,4,5		2,500		(89,625	)
Total Health Care				(1,340,347	)
Consumer Discretionary — (17.6)%
Papa John’s International, Inc. ADR†		108		(3,283	)
DineEquity, Inc.*†		542		(20,862	)
Tokyo Broadcasting System Holdings, Inc.†††,4,5		1,300		(21,837	)
Genting Singapore plc*,†††,4,5		124,900		(41,123	)
bwin Interactive Entertainment AG*,†††,4,5		1,600		(45,582	)
Bwin.Party Digital Entertainment plc*,†††,4,5		15,200		(57,210	)
Focus Media Holding Ltd. ADR†††,4,5		2,130		(63,900	)

90 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded) September 30, 2011

ALPHA OPPORTUNITY FUND

	Shares		Value
Sky Deutschland AG*,†††,4,5		4,000	$	(65,668	)
Marui Group Company Ltd.†††,4,5		29,100		(219,527	)
Pool Corp.†††,4,5		11,639		(288,065	)
Electrolux AB†††,4,5		30,100		(395,761	)
Volkswagen AG†††,4,5		1,300		(539,374	)
Total Consumer Discretionary				(1,762,192	)
Total Common Stocks Sold Short (Proceeds $7,201,487)				(7,377,391	)
EXCHANGE TRADED FUND SOLD SHORT† - (0.8)%
PowerShares DB US Dollar Index Bullish Fund ADR		3,798		(84,733	)
Total Exchange Traded Fund Sold Short (Proceeds $81,133)				(84,733	)
Total Securities Sold Short — (74.5)% (Proceeds $7,282,620)			$	(7,462,124	)
Cash & Other Assets, Less Liabilities - 56.3%				5,640,274
Total Net Assets - 100.0%			$	10,019,599

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 S&P 500 Index
Mini Futures Contracts (Aggregate Value of Contracts $2,589,800)		46	$	(90,054	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
†††	Value determined based on Level 3 inputs — See Note 4.
1	All or a portion of this security is pledged as short security collateral at September 30, 2011.
2	All or a portion of the security is deemed illiquid due to the Fund’s exposure to Lehman Brothers International Europe (“LBIE”) prime brokerage services. The total market value of illiquid securities is $7,264,165 (cost $7,627,564), or 72% of total net assets. The security was deemed liquid at the time of purchase — See Note 9.
3	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
4	All or a portion of this security was fair valued by the Valuation Committee at September 30, 2011. The total market value of fair valued securities amounts to $(7,341,377) (proceeds $7,164,435), or (73%) of total net assets.
5	Illiquid security.
6	Security was acquired through a private placement.
	ADR — American Depositary Receipt
	plc — Public Limited Company

See Notes to Financial Statements. the RYDEX|SGI equity funds annual report | 91

ALPHA OPPORTUNITY FUND

STATEMENT OF ASSETS AND LIABILITIES

September 30, 2011

Assets:
Investments, at value (cost $12,610,090)	$	11,841,449
Restricted cash denominated in a foreign currency, at value (cost $3,380,755)†		3,609,568
Cash		66,034
Restricted cash†		1,759,316
Prepaid expenses		16,665
Receivables:
Securities sold		501,703
Dividends		22,405
Investment advisor		1,279
Foreign taxes reclaim		216
Total assets		17,818,635
Liabilities:
Securities sold short, at value (proceeds $7,282,620)		7,462,124
Payable for:
Securities purchased		184,210
Management fees		11,146
Distribution and service fees		3,271
Fund shares redeemed		2,876
Transfer agent/maintenance fees		2,112
Fund accounting/administration fees		1,446
Directors’ fees*		839
Variation margin		69,690
Miscellaneous		61,322
Total liabilities		7,799,036
Net assets	$	10,019,599
Net assets consist of:
Paid in capital	$	22,505,329
Undistributed net investment income		—
Accumulated net realized loss on investments and foreign currency		(11,676,344	)
Net unrealized depreciation on investments and foreign currency		(809,386	)
Net assets	$	10,019,599
A-Class:
Net assets	$	6,708,144
Capital shares outstanding		682,866
Net asset value per share	$	9.82
Maximum offering price per share (Net asset value divided by 95.25%)	$	10.31
B-Class:
Net assets	$	693,059
Capital shares outstanding		76,418
Net asset value per share	$	9.07
C-Class:
Net assets	$	1,292,446
Capital shares outstanding		142,500
Net asset value per share	$	9.07
Institutional Class:
Net assets	$	1,325,950
Capital shares outstanding		98,009
Net asset value per share	$	13.53

^† All or portion of this amount represents values related to Lehman Brothers International Europe prime brokerage services — See Note 9.

STATEMENT OF OPERATIONS

Year Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $209)	$	230,139
Interest		1,617
Total investment income		231,756
Expenses:
Management fees		158,975
Transfer agent/maintenance fees		36,812
Distribution and service fees:
A-Class		20,996
B-Class		10,503
C-Class		16,336
Fund accounting/administration fees		25,000
Legal fees expense		60,809
Registration fees		45,630
Prime broker interest expense		4,384
Directors’ fees*		1,432
Short sales dividend expense		979
Miscellaneous		65,821
Total expenses		447,677
Less:
Expenses waived by advisor		(157,924	)
Net expenses		289,753
Net investment loss		(57,997	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		699,216
Futures contracts		263,253
Foreign currency		99
Securities sold short		7,124
Net realized gain		969,692
Net change in unrealized appreciation (depreciation) on:
Investments		(337,630	)
Securities sold short		598
Futures contracts		(139,087	)
Foreign currency		36,295
Net change in unrealized appreciation (depreciation)		(439,824	)
Net realized and unrealized gain		529,868
Net increase in net assets resulting from operations	$	471,871

* Relates to Directors not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

92 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

ALPHA OPPORTUNITY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Year Ended			Year Ended
	September 30,			September 30,
	2011			2010
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(57,997	)	$	(114,876	)
Net realized gain on investments and foreign currency		969,692			1,037,820
Net change in unrealized appreciation (depreciation) on investments and foreign currency		(439,824	)		683,849
Net increase in net assets resulting from operations		471,871			1,606,793
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class*		180,654			293,839
Cost of shares redeemed
A-Class		(1,908,640	)		(2,954,805	)
B-Class		(547,550	)		(635,054	)
C-Class		(242,522	)		(698,685	)
Institutional Class		(166,305	)		(917,495	)
Net decrease from capital share transactions		(2,684,363	)		(4,912,200	)
Net decrease in net assets		(2,212,492	)		(3,305,407	)
Net assets:
Beginning of year		12,232,091			15,537,498
End of year	$	10,019,599		$	12,232,091
Accumulated (Undistributed) net investment income (loss) at end of year	$	—		$	(2,843	)
Capital share activity:
Shares sold
A-Class*		15,900			32,339
Shares redeemed
A-Class		(171,786	)		(333,306	)
B-Class		(52,155	)		(74,867	)
C-Class		(22,496	)		(83,926	)
Institutional Class		(10,264	)		(75,471	)
Net decrease in shares		(240,801	)		(535,231	)

* Represents conversion of B-Class to A-Class shares.

See Notes to Financial Statements. the RYDEX|SGI equity funds annual report | 93

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
A-Class	2011			2010			2009			2008f			2007
Per Share Data
Net asset value, beginning of period	$	9.70		$	8.56		$	9.37		$	13.94		$	12.23
Income (loss) from investment operations:
Net investment lossa		(.04	)		(.06	)		(.04	)		(.16	)		(.01	)
Net gain (loss) on investments (realized and unrealized)		.16			1.20			(.77	)		(1.68	)		2.99
Total from investment operations		.12			1.14			(.81	)		(1.84	)		2.98
Less distributions from:
Net realized gains		—			—			—			(2.57	)		(1.27	)
Return of capital		—			—			—			(.16	)		—
Total distributions		—			—			—			(2.73	)		(1.27	)
Net asset value, end of period	$	9.82		$	9.70		$	8.56		$	9.37		$	13.94
Total Returnb		1.13	%		13.43	%		(8.64	%)		(15.99	%)		26.10	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,708		$	8,138		$	9,752		$	30,615		$	25,072
Ratios to average net assets:
Net investment loss		(0.33	%)		(0.71	%)		(0.50	%)		(1.44	%)		(0.08	%)
Total expenses		3.39	%		3.51	%		3.82	%		3.41	%		2.88	%
Net expensesc		2.15	%		2.21	%		2.00	%		3.32	%		2.82	%
Operating expensesd		2.11	%		2.05	%		1.95	%		3.06	%		2.62	%
Portfolio turnover rate		868	%		954	%		422	%		1,248	%		1,697	%

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
B-Class	2011			2010			2009			2008f			2007
Per Share Data
Net asset value, beginning of period	$	9.03		$	8.04		$	8.87		$	13.42		$	11.90
Income (loss) from investment operations:
Net investment lossa		(.12	)		(.12	)		(.09	)		(.23	)		(.09	)
Net gain (loss) on investments (realized and unrealized)		.16			1.11			(.74	)		(1.59	)		2.88
Total from investment operations		.04			.99			(.83	)		(1.82	)		2.79
Less distributions from:
Net realized gains		—			—			—			(2.57	)		(1.27	)
Return of capital		—			—			—			(.16	)		—
Total distributions		—			—			—			(2.73	)		(1.27	)
Net asset value, end of period	$	9.07		$	9.03		$	8.04		$	8.87		$	13.42
Total Returnb		0.44	%		12.31	%		(9.36	%)		(16.66	%)		25.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	693		$	1,161		$	1,635		$	5,391		$	3,154
Ratios to average net assets:
Net investment loss		(1.09	%)		(1.47	%)		(1.24	%)		(2.18	%)		(0.77	%)
Total expenses		4.19	%		4.27	%		4.57	%		4.16	%		3.59	%
Net expensesc		2.90	%		2.96	%		2.75	%		4.04	%		3.53	%
Operating expensesd		2.86	%		2.80	%		2.69	%		3.78	%		3.33	%
Portfolio turnover rate		868	%		954	%		422	%		1,248	%		1,697	%

94 | the RYDEX|SGI equity funds annual report See Notes to Financial Statements.

ALPHA OPPORTUNITY FUND

FINANCIAL HIGHLIGHTS (concluded)

This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.

	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			September 30,			September 30,			September 30,			September 30,
C-Class	2011			2010			2009			2008f			2007
Per Share Data
Net asset value, beginning of period	$	9.03		$	8.02		$	8.87		$	13.43		$	11.90
Income (loss) from investment operations:
Net investment lossa		(.11	)		(.12	)		(.09	)		(.23	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		.15			1.13			(.76	)		(1.60	)		2.90
Total from investment operations		.04			1.01			(.85	)		(1.83	)		2.80
Less distributions from:
Net realized gains		—			—			—			(2.57	)		(1.27	)
Return of capital		—			—			—			(.16	)		—
Total distributions		—			—			—			(2.73	)		(1.27	)
Net asset value, end of period	$	9.07		$	9.03		$	8.02		$	8.87		$	13.43
Total Returnb		0.44	%		12.59	%		(9.58	%)		(16.63	%)		25.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,292		$	1,490		$	1,996		$	4,935		$	4,216
Ratios to average net assets:
Net investment loss		(1.08	%)		(1.46	%)		(1.24	%)		(2.21	%)		(0.77	%)
Total expenses		4.14	%		4.28	%		4.67	%		4.16	%		3.60	%
Net expensesc		2.90	%		2.95	%		2.75	%		4.09	%		3.54	%
Operating expensesd		2.86	%		2.80	%		2.69	%		3.83	%		3.34	%
Portfolio turnover rate		868	%		954	%		422	%		1,248	%		1,697	%

	Year Ended			Year Ended			Period Ended
	September 30,			September 30,			September 30,
Institutional Class	2011			2010			2009e
Per Share Data
Net asset value, beginning of period	$	13.33		$	11.73		$	10.00
Income (loss) from investment operations:
Net investment lossa		(.01	)		(.06	)		(.01	)
Net gain on investments (realized and unrealized)		.21			1.66			1.74
Total from investment operations		.20			1.60			1.73
Net asset value, end of period	$	13.53		$	13.33		$	11.73
Total Returnb		1.50	%		13.64	%		17.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,326		$	1,444		$	2,155
Ratios to average net assets:
Net investment loss		(0.08	%)		(0.48	%)		(0.07	%)
Total expenses		3.12	%		3.28	%		3.94	%
Net expensesc		1.90	%		1.96	%		1.76	%
Operating expensesd		1.86	%		1.80	%		1.70	%
Portfolio turnover rate		868	%		954	%		422	%

a	Net investment loss per share was computed using average shares outstanding throughout the period.
b	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
c	Net expense information reflects the expense ratios after expense waivers and reimbursements, as applicable.
d	Operating expenses exclude interest and dividend expense from securities sold short and prime broker interest expense.
e	Since commencement of operations: November 7, 2008 — Alpha Opportunity Fund Institutional Class. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
f	Security Global Investors, LLC (SGI) became the sub-advisor of 37.5% of the assets of the Alpha Opportunity Fund effective August 18, 2008. Also effective August 18, 2008, Mainstream Investment Advisers, LLC (Mainstream) sub-advises 37.5% of the assets and Security Investors, LLC (SI) manages 25% of the assets. Prior to August 18, 2008, Mainstream sub-advised 60% of the assets and SI managed the remaining 40% of the assets.

See Notes to Financial Statements. the RYDEX|SGI equity funds annual report | 95

NOTES TO FINANCIAL STATEMENTS

1. Organization and Significant Accounting Policies Organization

Rydex|SGI Equity Fund (legally known as Security Equity Fund) (the “Trust”) is registered under the Investment Company Act of 1940 (the “1940 Act”) as a non-diversified, open-ended investment company. The Trust is authorized to issue an unlimited number of shares. The shares of the Trust are currently issued in multiple series, with each series, in effect, representing a separate Fund (collectively, the “Funds”). The Trust accounts for the assets of each Fund separately.

The Trust offers a combination of four separate classes of shares, A-Class shares, B-Class shares, C-Class shares and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value (the “NAV”), with the exception of A-Class shares. A-Class shares are sold at the NAV, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. Prior to February 22, 2011, the maximum sales charge was 5.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% CDSC if shares are redeemed within 12 months of purchase. B-Class shares are offered without a front-end sales charge, but are subject to a CDSC of up to 5% for five years and convert to A-Class shares after eight years. Effective January 4, 2010, subscriptions for B-Class shares are no longer accepted. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase. Institutional Class shares are offered primarily for direct investment by institutions such as pension and profit sharing plans, endowments, foundations and corporations. Institutional Class shares have a minimum initial investment of $2 million and a minimum account balance of $1 million. Institutional Class shares are offered without a front-end sales charge or a CDSC.

At September 30, 2011, the Trust consisted of nine separate funds.

Security Investors, LLC (“SI”) provides advisory, administrative and accounting services to the Funds. Rydex Fund Services, LLC (“RFS”) acts as the transfer agent to the Funds. Rydex Distributors, LLC (“RDL”) acts as principal underwriter to the Funds. SI, RFS and RDL are affiliated entities.

Mainstream Investment Advisers, LLC serves as the investment sub-advisor for the Alpha Opportunity Fund. The sub-advisor furnishes investment advisory services, supervises and arranges for the purchase and sale of securities and provides for the compilation and maintenance of records pertaining to such investment advisory services, subject to the control and supervision of the Board of Directors of the Trust and SI. Prior to January 14, 2011, Security Global Investors, LLC (“SGI”) acted as a sub-advisor to a portion of the total assets of Alpha Opportunity Fund. Effective January 14, 2011, SGI was merged with and into SI.

Significant Accounting Policies

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.

A. Security Valuation — Valuations of the Funds’ securities are supplied by pricing services approved by the Board of Directors. The Trust’s officers, through the Valuation Committee under the general supervision of the Board of Directors, regularly review procedures used by, and valuations provided by, the pricing services.

Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on such day, the security is valued at the closing bid price on such day.

Investments for which market quotations are not readily available are fair valued as determined in good faith by SGI under the direction of the Board of Directors using methods established or ratified by the Board of Directors. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets.

Debt securities with a maturity greater than 60 days at acquisition are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt 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 at acquisition are valued at amortized cost, which approximates market value.

Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, usually 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.

The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the Official Settlement Price of the exchange on the valuation date.

96 | the RYDEX|SGI equity funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

Generally, trading in foreign securities markets is substantially completed each day at various times prior to the close of the NYSE. The values of foreign securities are determined as of the close of such foreign markets or the close of the NYSE, if earlier. All investments quoted in foreign currency are valued in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the close of business. Investments in foreign securities may involve risks not present in domestic investments. The Valuation Committee will determine the current value of such foreign securities by taking into consideration certain factors which may include those discussed above, as well as the following factors, among others: the value of the securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity, and the trading prices of financial products that are tied to foreign securities such as WEBS^®. In addition, the Board of Directors has authorized the Valuation Committee and SI to use prices and other information supplied by a third party pricing vendor in valuing foreign securities.

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

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

Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.

C. Futures — The Alpha Opportunity Fund and the MSCI Equal Weight Fund utilized futures contracts to obtain broad index exposure. Returns may be enhanced by purchasing futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. 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 the Fund may not be able to enter into a closing transaction because of an illiquid secondary market. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, the 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. Cash deposits are shown as restricted cash on the Statement of Assets and Liabilities; securities held as collateral are noted on the Schedule of Investments.

D. Options Written — Certain Funds wrote call options on a covered basis and put options on securities that are traded on recognized securities exchanges and over-the-counter markets. Call and put options on securities give the writer the obligation to sell or purchase a security at a specified price, until a certain date. Options were used minimally to hedge the Funds’ portfolio, to increase returns, to maintain exposure to the equity markets, and create liquidity. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty’s inability to perform. An amount equal to the premium received is entered in the Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if a Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).

E. Securities Sold Short — The Alpha Opportunity Fund may make short sales “against the box,” in which the Fund enters into a short sale of a security it owns. At no time will more than 15% of the value of the Fund’s net assets be in deposits on short sales against the box. When the Fund makes a short sale, the Fund does not immediately deliver the securities sold from its own account, or receive the proceeds from the sale. To complete the sale, the Fund must borrow the security (generally from the broker through which the short sale is made) in order to make delivery to the buyer. The Fund must replace the security borrowed by purchasing it at the market price at the time of replacement or delivering the security from its own portfolio. The Fund is said to have a “short position” in securities sold until it delivers them to the broker, at which time it receives the proceeds of the sale. Certain Funds may make short sales that are not “against the box,” which create opportunities to increase the Funds’ return but, at the same time, involve specific risk considerations and may be considered a speculative technique. Such short sales theoretically involve unlimited loss potential, as the market price of securities sold short

the RYDEX|SGI equity funds annual report | 97

NOTES TO FINANCIAL STATEMENTS (continued)

may continually increase, although a Fund may mitigate such losses by replacing the securities sold short before the market price has increased significantly. For financial statement purposes, an amount equal to the settlement amount is included in the Statement of Assets and Liabilities as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the short position. Subsequent fluctuations in the market prices of securities sold, but not yet purchased, may require purchasing the securities at prices which differ from the market value reflected on the Statements of Assets and Liabilities. The Funds are liable for any dividends or interest payable on securities while those securities are in a short position. As collateral for its short positions, the Fund is required under the 1940 Act to maintain segregated assets consisting of cash, cash equivalents or liquid securities. These segregated assets are valued consistent with Note 1A and are required to be adjusted daily to reflect changes in the market value of the securities sold short.

F. Security Transactions and Investment Income — Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

G. Expenses — Expenses directly attributable to a Fund are charged directly to the Fund. Other expenses common to various funds within the fund complex are generally allocated amongst such funds on the basis of average net assets.

H. Distributions to Shareholders — Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.

I. Earnings Credits — Under the fee arrangement with the custodian, the Funds may earn credits based on overnight custody cash balances. These credits are utilized to reduce related custodial expenses. The custodian fees disclosed in the Statements of Operations are before the reduction in expense from the related earnings credits, if any.

J. Indemnifications — Under the Funds’ organizational documents, its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

2. Fees and Other Transactions with Affiliates

SI pays the sub-advisor out of the management fee it receives. Under the terms of an investment advisory contract, the Funds pay SI management fees calculated at the annualized rates below, based on the average daily net assets of the Funds for the year ended September 30, 2011:

	Management
	Fees (as a %
	of net assets)
Large Cap Core Fund		0.75	%
All Cap Value Fund		0.70	%
Mid Cap Value Fund		0.78	%2
Mid Cap Value Institutional Fund		0.75	%
Small Cap Growth Fund		0.85	%
Small Cap Value Fund		1.00	%
Large Cap Concentrated Growth Fund		0.75	%
MSCI EAFE Equal Weight Fund		0.70	%1
Alpha Opportunity Fund		1.25	%

1	Effective April 29, 2011, the Fund’s management fee was reduced from an annual rate of 1.00% of the average daily net assets to 0.70% of the average daily net assets.
2	Management fees are payable at an annual rate of 1.00% of the average daily net assets of $200 million or less, and 0.75% of the average daily net assets of the Fund in excess of $200 million.

SI also acts as the administrative agent for the Funds, and as such performs administrative functions and the bookkeeping, accounting and pricing functions for each Fund. For these services, SI receives the following:

	Administrative Fees
	(as a % of net assets)
Large Cap Core Fund		0.095	%
All Cap Value Fund		0.095	%
Mid Cap Value Fund		0.095	%
Mid Cap Value Institutional Fund		0.095	%
Small Cap Growth Fund		0.095	%
Small Cap Value Fund		0.095	%
Large Cap Concentrated Growth Fund		0.095	%
MSCI EAFE Equal Weight Fund	greater of 0.15% or $60,000
Alpha Opportunity Fund		0.15	%
Minimum charge per Fund	$	25,000	1
Certain out-of-pocket charges	Varies

¹ SI has agreed not to charge the $25,000 minimum fee on the All Cap Value Fund.

RFS is paid the following for providing transfer agent services to the Funds:

Annual charge per account	$	5.00 – $8.00
Transaction fee	$	0.60 – $1.10
Minimum annual charge (per Fund)	$	25,000	1
Certain out-of-pocket charges	Varies

¹ SI has agreed not to charge the $25,000 minimum fee on the All Cap Value Fund.

98 | the RYDEX|SGI equity funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

The investment advisory contracts for the Funds provide that the total expenses be limited to a percentage of average net assets for each class of shares, exclusive of brokerage costs, dividends on securities sold short, expenses of other investment companies in which a Fund invests, interest, taxes, litigation, indemnification and extraordinary expenses (as determined under generally accepted accounting principles). The limits are listed below:

				Effective		Contract
	Limit			Date		End Date
All Cap Value Fund — A-Class		1.27	%		02/01/10		01/31/12
All Cap Value Fund — C-Class		2.02	%		02/01/10		01/31/12
All Cap Value Fund — Institutional Class		1.02	%		02/01/10		01/31/12
Mid Cap Value Institutional Fund		0.90	%		04/13/09		03/31/12
Small Cap Value Fund — A-Class		1.30	%		08/24/09		01/31/12
Small Cap Value Fund — C-Class		2.05	%		08/24/09		01/31/12
Small Cap Value Fund — Institutional Class		1.05	%		08/24/09		01/31/12
Large Cap Concentrated Growth Fund — A-Class		1.35	%		01/11/07		01/31/12
Large Cap Concentrated Growth Fund — B-Class		2.10	%		01/11/07		01/31/12
Large Cap Concentrated Growth Fund — C-Class		2.10	%		01/11/07		01/31/12
MSCI EAFE Equal Weight Fund — A-Class		1.61	%		04/29/11		01/31/13
MSCI EAFE Equal Weight Fund — B-Class		2.36	%		04/29/11		01/31/13
MSCI EAFE Equal Weight Fund — C-Class		2.36	%		04/29/11		01/31/13
MSCI EAFE Equal Weight Fund — Institutional Class		1.36	%		04/29/11		01/31/13
Alpha Opportunity Fund — A-Class		2.11	%		02/01/10		01/31/12
Alpha Opportunity Fund — B-Class		2.86	%		02/01/10		01/31/12
Alpha Opportunity Fund — C-Class		2.86	%		02/01/10		01/31/12
Alpha Opportunity Fund — Institutional Class		1.86	%		02/01/10		01/31/12

SI is entitled to reimbursement by the Funds for fees waived or expenses reimbursed during any of the previous 36 months, beginning on the date of the expense limitation agreement, if on any day the estimated operating expenses are less than the indicated percentages. At September 30, 2011, the amount of fees waived or expenses reimbursed that are subject to recoupment are presented in the following table:

	Fees Waived		Expires In
All Cap Value Fund	$	49,063		2014
		59,326		2013
		56,488		2012
	$	164,877
Mid Cap Value Institutional Fund	$	443,419		2014
		209,976		2013
		56,387		2012
	$	709,782
Small Cap Value Fund	$	118,145		2014
		90,347		2013
		68,867		2012
	$	277,359
Large Cap Concentrated Growth Fund	$	140,783		2014
		150,104		2013
		208,564		2012
	$	499,451
Alpha Opportunity Fund	$	157,924		2014
		176,815		2013
		360,351		2012
	$	695,090

For the year ended September 30, 2011, no amounts were recouped by SI.

The Funds have adopted Distribution Plans related to the offering of A-Class, B-Class and C-Class shares pursuant to Rule 12b-1 under the 1940 Act. The plans provide for payments at an annual rate of 0.25% of the average daily net assets of each Fund’s A-Class shares and 1.00% of the average daily net assets of each Fund’s B-Class and C-Class shares. Effective August 25, 2005, the MSCI EAFE Equal Weight Fund ceased charging 12b-1 fees on B-Class shares in accordance with the FINRA sales cap regulations. These fees may be reinstated at any time.

the RYDEX|SGI equity funds annual report | 99

NOTES TO FINANCIAL STATEMENTS (continued)

During the year ended September 30, 2011, RDL retained sales charges of $338,421 relating to sales of A-Class shares of the Trust.

Certain directors and officers of the Funds are also directors and/or officers of Security Benefit Life Insurance Company, a subsidiary of Security Benefit Corporation, and its affiliates, which include SI, SGI, and RDL.

At September 30, 2011, Security Benefit Corporation and its subsidiaries owned over five percent of the outstanding shares of the Funds, as follows:

	Percent of
	outstanding
	shares owned
Large Cap Core Fund		15	%
All Cap Value Fund		32	%
Small Cap Growth Fund		25	%
Small Cap Value Fund		16	%
Large Cap Concentrated Growth Fund		20	%
MSCI EAFE Equal Weight Fund		14	%
Alpha Opportunity Fund		16	%

3. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and distribute substantially all taxable net investment income and capital gains sufficient to relieve them from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2008 — 2011), and has concluded that no provision for income tax is required in the Funds’ financial statements.

Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations.

Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and the expiration of capital loss carryforward. These reclassifications have no effect on net assets or net asset values per share. Any 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 the year ended September 30, 2011 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
Large Cap Core Fund	$	546,823	$	—	$	546,823
All Cap Value Fund		48,497		115,509		164,006
Mid Cap Value Fund		2,564,377		139,287		2,703,664
Mid Cap Value Institutional Fund		14,998,506		10,215,700		25,214,206
Small Cap Growth Fund		—		—		—
Small Cap Value Fund		526,847		676,251		1,203,098
Large Cap Concentrated Growth Fund		136,272		—		136,272
MSCI EAFE Equal Weight Fund		488,291		—		488,291
Alpha Opportunity Fund		—		—		—

The tax character of distributions paid during the year ended September 30, 2010 was as follows:

	Ordinary		Long-Term		Total
Fund	Income		Capital Gain		Distributions
Large Cap Core Fund	$	—	$	—	$	—
All Cap Value Fund		3,710		—		3,710
Mid Cap Value Fund		1,178,918		—		1,178,918
Mid Cap Value Institutional Fund		10,187,733		1,221,429		11,409,162
Small Cap Growth Fund		—		—		—
Small Cap Value Fund		161,456		34,045		195,501
Large Cap Concentrated Growth Fund		—		—		—
MSCI EAFE Equal Weight Fund		—		—		—
Alpha Opportunity Fund		—		—		—

100 | the RYDEX|SGI equity funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

Note: For federal income tax purposes, short term capital gain distributions are treated as ordinary income distributions.

The tax character of distributable earnings/(accumulated losses) at September 30, 2011 was as follows:

	Undistributed		Undistributed		Accumulated			Net Unrealized			Total
	Ordinary		Long-Term		Capital and			Appreciation/			Accumulated
Fund	Income		Capital Gain		Other Losses*			(Depreciation)**			Earnings/(Deficit)
Large Cap Core Fund	$	13,084	$	—	$	(18,461,711	)	$	(12,446,366	)	$	(30,894,993	)
All Cap Value Fund		45,954		138,514		—			(227,919	)		(43,451	)
Mid Cap Value Fund		—		18,116,293		—			(64,504,568	)		(46,388,275	)
Mid Cap Value Institutional Fund		10,347,092		34,203,113		—			(36,446,626	)		8,103,579
Small Cap Growth Fund		—		—		(4,100,570	)		134,712			(3,965,858	)
Small Cap Value Fund		490,519		201,354		—			(2,502,708	)		(1,810,835	)
Large Cap Concentrated Growth Fund		—		—		(7,817,471	)		(2,459,826	)		(10,277,297	)
MSCI EAFE Equal Weight Fund		—		—		(23,814,806	)		(17,021,394	)		(40,836,200	)
Alpha Opportunity Fund		—		—		(11,707,214	)		(778,516	)		(12,485,730	)

*	The Fund had net capital loss carryovers and deferred post October losses as identified elsewhere in the Notes to the Financial Statements.
**	Any differences between book-basis and tax-basis unrealized appreciation (depreciation) are attributable primarily to the tax deferral of wash sale losses, the differences between book and tax basis passive foreign investment companies and bond discount accretion.

For the year ended September 30, 2011, the capital loss carryovers utilized or expired, the accumulated net realized loss on sales of investments for federal income tax purposes which are available to offset future taxable gains, and post-October losses that are deferred to the first day of the next fiscal year are shown in the table below:

									Deferred
	Capital Loss		Capital Loss		Remaining				Post-
	Carryovers		Carryovers		Capital Loss				October
	Utilized		Expired		Carryovers		Expires In		Losses
Large Cap Core Fund	$	13,503,040	$	—	$	18,461,711		2018	$	—
Mid Cap Value Fund	$	74,225,225	$	—	$	—			$	—
Small Cap Growth Fund					$	1,974,062		2017
						2,126,508		2018
Small Cap Growth Fund Total	$	2,615,693	$	—	$	4,100,570			$	—
Large Cap Concentrated Growth Fund					$	5,361,779		2017
						2,455,692		2018
Large Cap Concentrated Growth Fund Total	$	5,509,431	$	—	$	7,817,471			$	—
MSCI EAFE Equal Weight Fund					$	18,217,126		2017
						5,357,504		2018
MSCI EAFE Equal Weight Fund Total	$	19,083,242	$	—	$	23,574,630			$	240,175
Alpha Opportunity Fund					$	7,365,287		2017
						4,341,927		2018
Alpha Opportunity Fund Total	$	850,171	$	—	$	11,707,214			$	—

Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to post-October losses, losses deferred due to wash sales, foreign currency gains and losses, and the “mark-to-market” of certain passive foreign investment companies (PFICs) for tax purposes. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the differences arise.

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NOTES TO FINANCIAL STATEMENTS (continued)

On the Statements of Assets and Liabilities the following adjustments were made for permanent book/tax differences:

	Accumulated			Undistributed
	Net Realized			Net Investment
	Gain/(Loss)			Income		Paid-In Capital
Large Cap Core Fund	$	—		$	263	$	(263	)
All Cap Value Fund		—			—		—
Mid Cap Value Fund		(139,287	)		3,579,795		(3,440,508	)
Mid Cap Value Institutional Fund		—			—		—
Small Cap Growth Fund		—			308,691		(308,691	)
Small Cap Value Fund		(74,743	)		74,743		—
Large Cap Concentrated Growth Fund		—			156,727		(156,727	)
MSCI EAFE Equal Weight Fund		(291,194	)		295,332		(4,138	)
Alpha Opportunity Fund		(99	)		60,840		(60,741	)

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 Funds will be seen on the treatment of net capital losses, effective for tax years beginning after December 22, 2010.

At September 30, 2011, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:

			Tax		Tax			Net Unrealized
Fund	Tax Cost		Unrealized Gain		Unrealized Loss			Gain/(Loss)
Large Cap Core Fund	$	169,039,079	$	12,000,057	$	(24,446,423	)	$	(12,446,366	)
All Cap Value Fund		2,990,370		161,114		(389,033	)		(227,919	)
Mid Cap Value Fund		1,254,247,382		142,945,600		(207,450,168	)		(64,504,568	)
Mid Cap Value Institutional Fund		502,321,419		44,463,668		(80,910,294	)		(36,446,626	)
Small Cap Growth Fund		12,310,089		2,062,263		(1,927,551	)		134,712
Small Cap Value Fund		12,863,229		336,415		(2,839,123	)		(2,502,708	)
Large Cap Concentrated Growth Fund		29,783,480		1,073,300		(3,533,126	)		(2,459,826	)
MSCI EAFE Equal Weight Fund		90,204,673		1,800,000		(18,821,394	)		(17,021,394	)
Alpha Opportunity Fund		12,669,273		1,148,504		(1,927,020	)		(778,516	)

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, 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.

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

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

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

102 | the RYDEX|SGI equity funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

The following table summarizes the inputs used to value the Funds’ net assets at September 30, 2011:

	Level 1		Level 1		Level 2		Level 2		Level 3
	Investments		Other Financial		Investments		Other Financial		Investments
	In Securities		Instruments*		In Securities		Instruments*		In Securities		Total
Assets
Large Cap Core Fund	$	156,587,778	$	—	$	—	$	—	$	—	$	156,587,778
All Cap Value Fund		2,762,335		—		—		—		—		2,762,335
Mid Cap Value Fund		1,176,591,068		—		14,017,307		—		—		1,190,608,375
Mid Cap Value Institutional Fund		460,680,903		—		5,537,793		—		—		466,218,696
Small Cap Growth Fund		12,444,801		—		—		—		—		12,444,801
Small Cap Value Fund		10,276,985		—		84,569		—		—		10,361,554
Large Cap Concentrated Growth Fund		27,323,654		—		—		—		—		27,323,654
MSCI EAFE Equal Weight Fund		4,764,646		—		68,425,424		—		—		73,190,070
Alpha Opportunity Fund		10,820,917		—		1,020,532		—		—		11,841,449
Liabilities
Large Cap Core Fund	$	—	$	16,898	$	—	$	—	$	—	$	16,898
All Cap Value Fund		—		1,356		—		—		—		1,356
Mid Cap Value Fund		—		4,011,763		—		—		—		4,011,763
Mid Cap Value Institutional Fund		—		1,652,150		—		—		—		1,652,150
Small Cap Value Fund		—		10,371		—		8,565		—		18,936
Alpha Opportunity Fund		120,747		90,054		—		—		7,341,377		7,552,178

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

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Funds generally recognized transfers between the levels as of the beginning of the period. As of September 30, 2011, MSCI EAFE Equal Weight Fund had securities with a total value of $67,118,028 transfer from Level 1 to Level 2. The change in level occurred due to developments that occurred between the time of closing of the foreign markets on which those securities trade and the close of business on the exchange.

Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value for the year ended September 30, 2011:

LEVEL 3 — Fair value measurement using significant unobservable inputs

	Securities Sold Short		Total
Alpha Opportunity Fund
Liabilities:
Beginning Balance	$	7,341,377	$	7,341,377
Total realized gains or losses included in earnings		—		—
Total unrealized gains or losses included in earnings		—		—
Purchases, sales, issuances, and settlements (net)		—		—
Transfers in and/or out of Level 3		—		—
Ending Balance	$	7,341,377	$	7,341,377

5. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivatives 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 September 30, 2011, certain Funds sought to gain exposure to their respective benchmarks by investing in futures contracts. The following table represents the notional amount of futures contracts 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.

	Approximate percentage
	of Fund’s net assets
Fund	on a daily basis
Alpha Opportunity Fund		25	%
MSCI EAFE Equal Weight Fund		0	%

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NOTES TO FINANCIAL STATEMENTS (continued)

The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of September 30, 2011:

Location on the Statements of Assets and Liabilities

Derivative Investments Type	Asset Derivatives	Liability Derivatives
Futures — equity contracts	Variation margin	Variation margin
Options Written — equity contracts	—	Options Written, at value

The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at September 30, 2011:

Liability Derivative Investments Value

	Futures		Options Written		Total
	Equity		Equity		Value at
	Contracts*		Contracts		September 30, 2011
Large Cap Core Fund	$	—	$	16,898	$	16,898
All Cap Value Fund		—		1,356		1,356
Mid Cap Value Fund		—		4,011,763		4,011,763
Mid Cap Value Institutional Fund		—		1,652,150		1,652,150
Small Cap Value Fund		—		18,936		18,936
Alpha Opportunity Fund		90,054		—		90,054

* Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the year ended September 30, 2011:

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Futures — equity contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Options Written — equity contracts	Net realized gain (loss) on options written
	Net change in unrealized appreciation(depreciation) on options written

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the year ended September 30, 2011:

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations

	Futures		Options Written
	Equity		Equity
	Contracts		Contracts		Total
All Cap Value Fund	$	—	$	2,548	$	2,548
Mid Cap Value Fund		—		2,010,007		2,010,007
Mid Cap Value Institutional Fund		—		782,329		782,329
Small Cap Value Fund		—		15,644		15,644
MSCI EAFE Equal Weight Fund		530,374		—		530,374
Alpha Opportunity Fund		263,253		—		263,253

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations

	Futures			Options Written
	Equity			Equity
	Contracts			Contracts			Total
Large Cap Core Fund	$	—		$	(7,733	)	$	(7,733	)
All Cap Value Fund		—			(331	)		(331	)
Mid Cap Value Fund		—			(1,503,487	)		(1,503,487	)
Mid Cap Value Institutional Fund		—			(580,465	)		(580,465	)
Small Cap Value Fund		—			(1,659	)		(1,659	)
Alpha Opportunity Fund		(139,087	)		—			(139,087	)

104 | the RYDEX|SGI equity funds annual report

NOTES TO FINANCIAL STATEMENTS (continued)

6. Options Written

Transactions in options written during the year ended September 30, 2011 were as follows:

Written Call Options

	All Cap Value						Mid Cap Value						Mid Cap Value Institutional						Small Cap Value
	Fund						Fund						Fund						Fund
	Number of			Premium			Number of			Premium			Number of			Premium			Number of			Premium
	Contracts			Amount			Contracts			Amount			Contracts			Amount			Contracts			Amount
Balance at September 30, 2010		—		$	—			4,000		$	520,297			1,400		$	182,101			—		$	—
Options written		62			5,787			16,876			1,923,673			6,880			788,044			179			18,985
Options terminated in closing purchase transactions		(41	)		(3,813	)		—			—			—			—			—			—
Options expired		(10	)		(906	)		(9,252	)		(803,561	)		(3,760	)		(325,903	)		(148	)		(13,698	)
Options exercised		(11	)		(1,068	)		(9,413	)		(1,071,322	)		(3,589	)		(404,725	)		—			—
Balance at September 30, 2011		—		$	—			2,211		$	569,087			931		$	239,517			31		$	5,287

Written Put Options

	Large Cap Core						All Cap Value						Mid Cap Value						Mid Cap Value Institutional						Small Cap Value
	Fund						Fund						Fund						Fund						Fund
	Number of			Premium			Number of			Premium			Number of			Premium			Number of			Premium			Number of			Premium
	Contracts			Amount			Contracts			Amount			Contracts			Amount			Contracts			Amount			Contracts			Amount
Balance at September 30, 2010		120		$	36,067			8		$	1,057			8,745		$	1,059,209			3,274		$	397,441			17		$	1,946
Options written		0			—			17			4,520			18,514			3,574,610			7,518			1,456,974			74			12,616
Options terminated in closing purchase transactions		—			—			—			—			—			—			—			—			—			—
Options expired		119			21,832			(11	)		(1,396	)		(8,047	)		(770,235	)		(2,956	)		(273,309	)		(17	)		(1,946	)
Options exercised		(120	)		(36,067	)		(10	)		(2,709	)		(6,035	)		(1,286,469	)		(2,425	)		(512,376	)		—			—
Balance at September 30, 2011		119		$	21,832			4		$	1,472			13,177		$	2,577,115			5,411		$	1,068,730			74		$	12,616

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NOTES TO FINANCIAL STATEMENTS (continued)

7. Securities Transactions

For the year ended September 30, 2011, the cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments and government securities, were:

	Purchases		Sales
Large Cap Core Fund	$	174,716,047	$	191,871,883
All Cap Value Fund		1,286,759		934,375
Mid Cap Value Fund		446,121,828		388,353,911
Mid Cap Value Institutional Fund		243,506,000		219,105,694
Small Cap Growth Fund		16,484,693		18,352,785
Small Cap Value Fund		11,775,821		7,772,657
Large Cap Concentrated Growth Fund		59,770,723		68,607,807
MSCI EAFE Equal Weight Fund		184,892,745		194,031,099
Alpha Opportunity Fund		43,188,800		44,258,167

8. Affiliated Transactions

Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under Guggenheim Partners, LLC, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act. Transactions for the year ended September 30, 2011 in which the portfolio company is an “affiliated person” are as follows:

		Value							Value		Shares		Investment
Fund	Security	09/30/10		Additions		Reductions			09/30/11		09/30/11		Income
Mid Cap Value Fund	Common Stock:
	IXYS Corp.	$	22,347,000	$	1,295,290	$	(1,717,014	)	$	25,422,534		2,336,630	$	—
	Maxwell Technologies, Inc.		21,691,467		2,080,327		—			29,779,169		1,617,554		—
	Total		44,038,467		3,375,617		(1,717,014	)		55,201,703		3,954,184		—
Mid Cap Value Institutional Fund
	Common Stock:
	HydroGen Corp.		3,924		—		—			18,985		1,265,700		—
	Total		3,924		—		—			18,985		1,265,700		—

9. Alpha Opportunity Fund

The Fund contracted with Lehman Brothers International Europe (“LBIE”) to provide prime brokerage services related to the Fund’s short selling. On September 15, 2008, LBIE was placed into administration and a third party administrator was named (the “Administrator”). The Fund’s exposure to LBIE consists of short sale proceeds held by LBIE, and restricted long positions held at the Fund’s custodian, as collateral for said short sales. The Fund has delivered a Notice of Termination of Loans to LBIE and the Administrator. The Fund is working to resolve these issues with LBIE and the Administrator. As of September 30, 2011, included in the Statement of Assets and Liabilities are the value of restricted long positions of $7,264,165, cash collateral of $550,800, restricted cash representing the value of short sale proceeds of $4,318,084 and liabilities for short sales of $7,341,377 representing the value of securities sold short at the date the short sales were deemed by the Fund to have been terminated. If these short sales had not been terminated, the value of the liability related to these securities sold short would have been $6,176,990 as of September 30, 2011 resulting in an increase in net assets of $1,164,387 or 11.6%. Until such time as the liability for short sales is settled and all restrictions are removed by LBIE and LBI, the Fund cannot sell such restricted long positions and/or utilize the restricted cash balances to achieve the Fund’s investment objectives and/or meet Fund redemption or other Fund obligations. Based on the ultimate terms of such settlement, the value assigned to these positions may ultimately differ from the fair valuations assigned to them by the Fund and there is no guaranty that the Fund will ultimately recover the full value of the assets that are subject to restrictions. Accordingly, a settlement could ultimately result in the Fund realizing values that are materially different from those indicated herein, which would materially impact the Fund’s net asset value (either positively or negatively). As of the close of business on October 3, 2008, and until further notice, the Fund is not accepting subscriptions for shares from either new or existing shareholders.

106 | the RYDEX|SGI equity funds annual report

NOTES TO FINANCIAL STATEMENTS (concluded)

10. Other Liabilities

Large Cap Core Fund, Mid Cap Value Fund and Mid Cap Value Institutional Fund, each wrote put option contracts through Lehman Brothers Inc., (“Lehman”) that were exercised prior to the option contracts’ expiration and prior to the bankruptcy filing by Lehman, during September, 2008. However, these transactions have not settled and the securities have not been delivered to the Funds as of September 30, 2011.

Although the ultimate resolution of these transactions is uncertain, the Funds have recorded a liability on their respective books equal to the difference between the strike price on the put options and the market price of the underlying security on the exercise date. The amount of the liability recorded by the Funds as of September 30, 2011 was $18,615 for Large Cap Core Fund, $473,594 for Mid Cap Value Fund and $15,940 for Mid Cap Value Institutional Fund.

11. Reverse Share Splits

Effective April 8, 2011, the Large Cap Core Fund underwent a 1-for-4 reverse share split. The effect of this transaction was to divide the number of outstanding shares of the Fund by four, resulting in a corresponding increase in the net asset value per share. The capital share activity presented in the statements of changes in net assets, and the per share data in the financial highlights for periods prior to the share split have been given retroactive effect to reflect this reverse share split. There were no changes in net assets, results of operations or total return as a result of this transaction.

the RYDEX|SGI equity funds annual report | 107

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

The Board of Directors and Shareholders
Rydex|SGI Equity Fund

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Rydex|SGI Equity Fund (comprised of Large Cap Core Fund, All Cap Value Fund, Mid Cap Value Fund, Mid Cap Value Institutional Fund, Small Cap Growth Fund, Small Cap Value Fund, Large Cap Concentrated Growth Fund, MSCI EAFE Equal Weight Fund (formerly Global Fund) and Alpha Opportunity Fund) (the “Funds”) as of September 30, 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 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 September 30, 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.

As more fully discussed in Note 9 to the financial statements, the Alpha Opportunity Fund (“Alpha Opportunity”) previously utilized the services of Lehman Brothers International (Europe) (“Lehman”) to provide prime broker services related to Alpha Opportunity’s securities sold short. On September 15, 2008, Lehman was placed into administration. The financial records of Lehman are now being handled by the administrators. Information flow to Alpha Opportunity from the administrators has been limited. Management has recorded in the financial statements its best estimate of the liability for securities sold short due to Lehman, based upon management’s assessment of all available evidence, including information supplied by the administrators. Significant uncertainty exists regarding the ultimate timing and manner of settlement, as well as the ultimate liability for securities sold short due to Lehman, and the difference between amounts currently recorded and that which may ultimately be due may be material.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective portfolios constituting the Rydex|SGI Equity Fund at September 30, 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 periods indicated therein, in conformity with U.S. generally accepted accounting principles.

Chicago, Illinois
November 29, 2011

108 | the RYDEX|SGI equity funds annual report

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided as required by the Internal Revenue Code. Amounts shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the taxable ordinary income distributions paid during the fiscal year ending September 30, 2011, the following funds had the corresponding percentages qualify for the dividends received deduction for corporations:

Fund	% Qualifying
Large Cap Core Fund		100.00	%
All Cap Value Fund		100.00	%
Mid Cap Value Institutional Fund		65.13	%
Small Cap Value Fund		13.69	%
MSCI EAFE Equal Weight Fund		100.00	%

Additionally, the following amounts of taxable ordinary income dividends paid during the fiscal year qualified for the lower income tax rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Fund	% Qualifying
Large Cap Core Fund		100.00	%
All Cap Value Fund		100.00	%
Mid Cap Value Institutional Fund		65.75	%
Small Cap Value Fund		14.16	%
MSCI EAFE Equal Weight Fund		100.00	%

Quarterly Portfolio Schedules Information

Each of the Rydex|SGI Funds files a complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Forms N-Q of each such Fund are available on the Commission’s website at www.sec.gov. The Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1.800.SEC.0330. The portfolio holdings of each of the Rydex|SGI Funds are available on their website, www.rydex-sgi.com, or by calling 1.800.888.2461.

A description of the policies and procedures that the Rydex|SGI Funds use to determine how to vote proxies relating to portfolio securities is available upon request, free of charge by calling 1.800.888.2461, or accessing the U.S. Securities and Exchange Commission website at www.sec.gov. Information regarding how the Rydex|SGI Funds voted proxies relating to portfolio securities during the 12 month period ended June 30 is available upon request, free of charge, by calling 1.800.888.2461, or accessing the U.S. Securities and Exchange Commission website at www.sec.gov.

The statement of additional information (“SAI”) includes additional information about the Funds’ Directors and is available upon request without charge by calling 1.800.888.2461.

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 21, 2011, Guggenheim Capital, LLC agreed to purchase the indirect holding company of Security Investors, LLC, the Funds’ investment manager (the “Investment Manager”) (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 RYDEX|SGI equity funds annual report | 109

OTHER 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 Directors of the Funds (the “Boards”) have called special meetings of shareholders (the “Meetings”), at which shareholders of each of the Funds of record as of October 3, 2011 will be asked to consider the approval of new investment management agreements between the Funds and the Investment Manager (the “New 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 management agreements with the Investment Manager (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.

Election of Board Members

The Boards have also approved a proposal to elect seven individuals to the Boards. The Boards propose the election of the following nominees: Donald C. Cacciapaglia, Donald A. Chubb, Jr., Harry W. Craig, Jr., Jerry B. Farley, Richard M. Goldman, Penny A. Lumpkin and Maynard F. Oliverius. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Director. In connection with the Transaction, the Board believes that expanding the Board to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Rydex|SGI family of funds, would be beneficial to the Funds and their shareholders. However, for regulatory and governance reasons the term of Mr. Cacciapaglia, an “interested person” (as that term is defined for regulatory purposes), would not be effective until an additional non-interested Director is also appointed (or the balance is otherwise maintained). This search for an additional non-interested Director is still underway.

Information regarding the proposals will be contained in the proxy materials to be filed with the Securities and Exchange Commission (“SEC”). The proxy statement will be mailed to shareholders of record, and you will also be able to access the proxy statement from the EDGAR Database on the SEC’s website at http://www.sec.gov once filed.

Board Considerations in Approving the Investment Advisory and Investment Sub-Advisory Agreements

At an in-person meeting of the Board of Directors of Security Equity Fund (the “Company”) held August 10, 2011, called for the purpose of, among other things, voting on the approval of investment advisory agreements applicable to the series of the Company (collectively, the “Funds”), the Company’s Boards of Directors (the “Board”), including the independent Directors, unanimously approved the investment advisory agreement between the Company and Security Investors, LLC (referred to herein as the “Adviser”) and the sub-investment advisory agreement between the Adviser and Mainstream Investment Advisers LLC (“Mainstream”) with respect to the Alpha Opportunity Fund.

At an in-person meeting of the Board held August 16, 2011, the Board also considered new investment advisory and sub-investment advisory agreements that were 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 was asked to approve new investment advisory agreements for the Funds and a new sub-investment advisory agreement for the Alpha Opportunity Fund.

At the meeting of August 16, 2011, the Board considered the new investment advisory and sub-investment advisory agreements, pursuant to which, subject to their approval by each Fund’s shareholders, the Adviser would continue to serve each Fund as investment adviser (and Mainstream would continue to serve as sub-investment adviser to the Alpha Opportunity Fund) after the completion of the Transaction. At the meeting, the Board considered information about the Transaction and voted in favor of the new investment advisory and sub-investment advisory agreements.

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

Prior to the Board meetings on August 10, 2011 and August 16, 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.

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OTHER INFORMATION (Unaudited) (continued)

In considering the new investment advisory and sub-investment advisory agreements, the Board determined that the agreements 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 Directors, unanimously approved the new agreements. In reaching their decision, the Directors 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 and Mainstream (collectively, the “Advisers”) that the Board had received relating to the current investment advisory agreements at the Board meeting of August 10, 2011. The Directors 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 agreements at the meeting of August 10, 2011, the Directors, including the independent Directors, 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 Adviser charges 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 Adviser’s profitability from its Fund-related operations; (h) revenue sharing arrangements entered into by the Adviser (whereby certain of its profits are shared with other parties in exchange for certain services); (i) the Advisers’ compliance systems; (j) the Advisers’ policies on and compliance procedures for personal securities transactions; (k) the Advisers’ reputation, expertise and resources in the financial markets; and (l) Fund performance compared with similar mutual funds. Based on the Board’s deliberations at the meetings of August 10, 2011 and August 16, 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 Advisers to any of the Funds, the Board, including all of the independent Directors, unanimously: (a) concluded that terms of the current and new investment advisory agreements are fair and reasonable; (b) concluded that the Advisers’ fees were reasonable in light of the services that they provide to the Funds; and (c) agreed to approve the current investment advisory agreements and, subject to shareholder approval, the new investment advisory agreements, based upon the following considerations, among others:

• Nature, Extent and Quality of Services Provided by the Advisers. At the meeting of August 10, 2011, the Board reviewed the scope of services to be provided by the Advisers under the current investment advisory agreements, and, at the meeting of August 16, 2011, noted that there would be no significant differences between the scope of services required to be provided by the Advisers under the current investment advisory agreements (which had been recently approved by shareholders and renewed by the Board at the meeting of August 10, 2011) and the scope of services required to be provided by the Advisers under the new investment advisory agreements. The Board noted that the key investment and management personnel of the Advisers servicing the Funds were expected to remain with the Adviser following the Transaction. The Directors also considered Guggenheim Capital’s representations to the Board that the Adviser would continue to provide investment and related services that were materially the same quality and quantity as services provided to the Funds in the past, and that these services were appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs.

• The investment performance of the Funds. At the meeting of August 10, 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 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.

• The cost of investment management and sub-advisory services provided and the level of profitability. At the meeting of August 10, 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 agreements. At that meeting, the Board had also analyzed the Funds’ expenses, including the investment advisory fees paid to the Adviser. At the meeting of August 16, 2011, 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 investment advisory 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.

• Whether the investment management fees reflect economies of scale. In connection with its review of the Funds’ profitability analysis at the meeting of August 10, 2011, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds’ asset levels. The Directors noted that the fees would not change under the new investment advisory agreements, 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 fee payable to the Adviser under the Agreements when the next renewal of the Agreements comes before the Board.

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OTHER INFORMATION (Unaudited) (concluded)

• Benefits (such as soft dollars) to the Advisers from their relationship with the Funds. In addition to evaluating the services provided by the Advisers, the Board had considered the nature, extent, quality and cost of the distribution services performed by the Distributor under a separate agreement at the meeting of August 10, 2011. 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 Directors, 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 and investment sub-advisory agreements were in the best interests of the Funds.

Fund Changes

Effective April 27, 2011, the Global Institutional Fund liquidated assets and ceased operations.

At a meeting held on February 16, 2011 the Board of Directors (the “Board”) approved the following changes with respect to the Global Fund, each effective on April 29, 2011:

• The change of the Fund’s name to “MSCI EAFE Equal Weight Fund;”

• The change of the Fund’s’ investment objective to “performance that corresponds, before fees and expenses, to the price and yield performance of the MSCI EAFE Equal Weighted Index;”

• The change of the Fund’s investment strategies to reflect the new name and investment objective;

• The change of the Fund’s benchmark index in light of the foregoing changes to the Fund’s investment objective and strategies; and

• A new lower investment advisory fee of 0.70% of average daily net assets on an annual basis (instead of 1.00% currently).

• The creation of the new Institutional Class in MSCI EAFE Equal Weight Fund.

Also, the Fund’s portfolio managers are expected to change when the new strategies are implemented.

112 | the RYDEX|SGI equity funds annual report

INFORMATION ON BOARD OF DIRECTORS AND OFFICERS (Unaudited)

DIRECTORS

The business address of each director is One Security Benefit Place, Topeka, KS 66636-0001

Name
(Date of Birth)	Principal Occupations
Year Elected***	During Past Five Years
Donald A. Chubb, Jr.** (12-14-46) 1994	Business Broker — Griffith & Blair Realtors
Harry W. Craig, Jr.** (05-11-39) 2004	Chairman, CEO, Secretary & Director — The Martin Tractor Company, Inc.
Jerry B. Farley** (09-20-46) 2005	President — Washburn University
Penny A. Lumpkin** (08-20-39) 1993	Partner — Vivian’s Gift Shop (Corporate Retail) Vice President — Palmer Companies, Inc. (Small Business and Shopping Center Development) Vice President — PLB (Real Estate Equipment Leasing)
Maynard F. Oliverius** (12-18-43) 1998	President & Chief Executive Officer — Stormont-Vail HealthCare
Richard M. Goldman* (03-04-61) 2008 (President, Director & Chairman of the Board)	Senior Vice President — Security Benefit Corporation (2007 to present) Chief Executive Officer — Security Benefit Asset Management Holdings, LLC (2010 to present) Chief Executive Officer & Manager — Rydex Holdings, LLC (2009 to present) President, CEO & Member Representative — Security Investors, LLC (2007 to present) President, Chief Executive Officer and Manager — Rydex Distributors, LLC (2009 to present) Manager — Rydex Fund Services, LLC (2009 to present) President — SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund and Security Mid Cap Growth Fund (2008 to present) Director — First Security Benefit Life and Annuity Insurance Company of New York (2007 to 2010) Director and Chief Executive Officer — Rydex Advisors, LLC (2009 to 2010) Director and Chief Executive Officer — Rydex Advisors II, LLC (2009 to 2010) Manager and President — Security Global Investors, LLC (2007 to 2010) Director — Security Distributors, Inc. (2007 to 2009) Managing Member — R.M. Goldman Partner, LLC (2006 to 2007)

*	This Director is deemed to be an “interested person” of the Funds under the 1940 Act, as amended, by reason of his position with the Funds’ Investment Manager and/or the parent of the Investment Manager. This Director is also an officer of the funds.
**	These Directors serve on the Fund’s joint audit committee, the purpose of which is to meet with the independent registered public accounting firm, to review the work of the independent registered public accounting firm, and to oversee the handling by Security Investors of the accounting and financial reporting functions for the Funds.
***	Each Director oversees 28 Security Funds portfolios and serves until the next annual meeting, or until a successor has been duly elected and qualified.

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

OFFICERS*

The business address of each officer is One Security Benefit Place, Topeka, KS 66636-0001

Name
(Date of Birth)	Principal Occupations
Title — Year Elected	During Past Five Years
Mark P. Bronzo (11-01-60) Vice President — 2008	Current: Portfolio Manager, Security Investors, LLC Previous: Managing Director and Chief Compliance Officer, Nationwide Separate Accounts LLC (2003-2008)
Keith A. Fletcher (02-18-58) Vice President — 2010	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.; and Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); and Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)
Joanna Haigney (10-10-66) Chief Compliance Officer — 2010	Current: Chief Compliance Officer & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; and Senior Vice President & 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 & Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); and Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Nikolaos Bonos (05-30-63) Treasurer — 2010	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer & Manager, Rydex Specialized Products, LLC; Chief Executive Officer & President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; and 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) & Senior Vice President (2003-2006); and Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)

* Officers serve until the next annual meeting or until a successor has been duly elected and qualified.

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

OFFICERS* (concluded)

The business address of each officer is One Security Benefit Place, Topeka, KS 66636-0001

Name
(Date of Birth)	Principal Occupations
Title — Year Elected	During Past Five Years
Joseph M. Arruda (09-05-66) Assistant Treasurer — 2010	Current: Assistant Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; and Chief Financial Officer & Manager, Rydex Specialized Products, LLC Previous: Security Global Investors, LLC, Vice President (2010- 2011); and Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)
Amy J. Lee (06-05-61) Vice President — 2007 Secretary — 1987	Current: Senior Vice President & Secretary, Security Investors, LLC; Secretary & Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel & 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 & Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund & Security Mid Cap Growth Fund; Vice President & Secretary, Rydex Holdings, LLC; Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; and Assistant Secretary, Security Benefit Clinic and Hospital Previous: Security Global Investors, LLC, Senior Vice President & Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) & Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President & Secretary (2010-2011); and Brecek & Young Advisors, Inc., Director (2004-2008)
Mark A. Mitchell (08-24-64) Vice President — 2003	Current: Portfolio Manager, Security Investors, LLC Previous: Vice President and Portfolio Manager, Security Benefit Life Insurance Company (2003-2010)
Joseph C. O’Connor (07-15-60) Vice President — 2008	Current: Portfolio Manager, Security Investors, LLC Previous: Managing Director, Nationwide Separate Accounts LLC (2003-2008)
Daniel W. Portanova (10-02-60) Vice President — 2008	Current: Portfolio Manager, Security Investors, LLC Previous: Managing Director, Nationwide Separate Accounts LLC (2003-2008)
James P. Schier (12-28-57) Vice President — 1998	Current: Senior Portfolio Manager, Security Investors, LLC Previous: Vice President & Senior Portfolio Manager, Security Benefit Life Insurance Company (1998-2010)
David G. Toussaint (10-10-66) Vice President — 2005	Current: Portfolio Manager, Security Investors, LLC Previous: Assistant Vice President and Portfolio Manager, Security Benefit Life Insurance Company (2005-2009)

* Officers serve until the next annual meeting or until a successor has been duly elected and qualified.

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RYDEX | SGI PRIVACY POLICIES

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|SGI”)

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.

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One Security Benefit Place
Topeka, Kansas 66636-0001
www.rydex-sgi.com
Rydex Distributors, Inc.
SBE-ANN

Item 2. Code of Ethics.

The registrant’s Board of Directors 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 Directors has determined that Maynard Oliverius, a member of the Audit Committee of the Board, is an audit committee financial expert. Mr. Oliverius is “independent” for purposes of this item.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the “Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $171,900 in 2010 and $158,660 in 2011.

(b)

Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item 4 were $5,400 in 2010 and $5,046 in 2011. These services consisted of financial reporting advisory services.

The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the Registrant’s investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”) which required pre-approval by the Audit Committee were $9,250 in 2010 and $30,000 in 2011, which related to the review of the transfer agent function.

__________

(c) Tax Fees. The aggregate fees billed to the Registrant in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $38,700 in 2010 and $31,733 in 2011.

The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates which required pre-approval by the Audit Committee were $0 in 2010 and $0 in 2011.

__________

(d)	All Other Fees. The aggregate fees billed to the Registrant in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $0 in 2010 and $0 in 2011.
	The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (d) of this Item, which required pre-approval by the Audit Committee were $0 in 2010 and $0 in 2011.

__________

(e)	(1	)	Audit Committee Pre-Approval Policies and Procedures. The Registrant’s Audit Committee has established policies and procedures for pre-approval of the auditor’s engagements for audit and non-audit services to the Registrant. Pre-approval considerations include whether the proposed services are compatible with maintaining the auditor’s independence as specified in applicable rules.
(e)	(2	)	Percentage of Non-Audit Services Approved under (c)(7)(i)(C). The percentage of the services described in each of (b) through (d) of this Item 4 (only those that relate to the Registrant) that were approved by the Audit Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X was 0%, 0% and 0%, respectively.

(f) Not applicable.

(g) Non-Audit Fees. The aggregate non-audit fees were for audit-related and tax services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $53,350 in 2010 and $66,779 in 2011.

(h) Auditor Independence. The Registrant’s Audit Committee was provided with information relating to the provision of non audit services by Ernst & Young, LLP to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre approved by the Audit Committee so that a determination could be made whether the provision of such services is compatible with maintaining Ernst & Young, LLP’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

The Schedule of Investments is included 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 Mangers 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.

The registrant does not currently have in place procedures by which shareholders may recommend nominees to the registrant’s board.

There have been no changes to the procedures by which shareholders may recommend nominees to the registrant’s board.

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)(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)	Security Equity Fund
By (Signature and Title)*	/s/ Richard M. Goldman Richard M. Goldman, President
Date: December 8, 2011

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 M. Goldman Richard M. Goldman, President
Date: December 8, 2011
By (Signature and Title)*	/s/ Nikolaos Bonos Nikolaos Bonos, Treasurer
Date: December 8, 2011

^* Print the name and title of each signing officer under his or her signature.