-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, TVVQs5xCQL/wbyHp2VnguwXuu/uHl8Sb8IBj/Gu1Fy3HVqIG7flNUfIB+zAYHqyh QXUxWSz7OY1SbljITlfWFg== 0000935069-06-003306.txt : 20061208 0000935069-06-003306.hdr.sgml : 20061208 20061208102820 ACCESSION NUMBER: 0000935069-06-003306 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061208 DATE AS OF CHANGE: 20061208 EFFECTIVENESS DATE: 20061208 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RYDEX SERIES FUNDS CENTRAL INDEX KEY: 0000899148 IRS NUMBER: 521820225 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07584 FILM NUMBER: 061264451 BUSINESS ADDRESS: STREET 1: 9601 BLACKWELL ROAD STREET 2: SUITE 500 CITY: ROCKVILLE STATE: MD ZIP: 20850 BUSINESS PHONE: 301-296-5100 MAIL ADDRESS: STREET 1: 9601 BLACKWELL ROAD STREET 2: SUITE 500 CITY: ROCKVILLE STATE: MD ZIP: 20850 FORMER COMPANY: FORMER CONFORMED NAME: RYDEX SERIES TRUST DATE OF NAME CHANGE: 19930714 0000899148 S000003657 U.S. Government Money Market Fund C000010172 Investor RYMXX C000010173 Advisor RYDXX C000010174 A RYAXX C000010175 C RYCXX 0000899148 S000003683 Banking Fund C000010303 Investor RYKIX C000010304 Advisor RYKAX C000010305 A RYBKX C000010306 C RYKCX 0000899148 S000003684 Government Long Bond Advantage Fund C000010307 Investor RYGBX C000010308 Advisor RYADX C000010309 A RYABX C000010310 C RYCGX 0000899148 S000003685 Mid-Cap Advantage Fund C000010311 H RYMDX C000010312 A RYAHX C000010313 C RYDCX 0000899148 S000003686 Sector Rotation Fund C000010314 H RYSRX C000010315 A RYAMX C000010316 C RYISX 0000899148 S000003687 Multi-Cap Core Equity Fund C000010317 H RYQMX C000010318 A RYASX C000010319 C RYQCX 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C000010447 C RYWCX 0000899148 S000003769 Mid-Cap Value Fund C000010448 H RYAVX C000010449 A RYMVX C000010450 C RYMMX 0000899148 S000003770 Mid-Cap Growth Fund C000010451 H RYBHX C000010452 A RYMGX C000010453 C RYCKX 0000899148 S000003771 Inverse Mid-Cap Fund C000010454 H RYMHX C000010455 A RYAGX C000010456 C RYCLX 0000899148 S000003772 Inverse Russell 2000 Fund C000010457 H RYSHX C000010458 A RYAFX C000010459 C RYCQX 0000899148 S000003773 Real Estate Fund C000010460 H RYHRX C000010461 A RYREX C000010462 C RYCRX 0000899148 S000003774 Commodities Fund C000010463 H RYMBX C000010464 A RYMEX C000010465 C RYMJX 0000899148 S000003775 Dynamic Strengthening Dollar Fund C000010466 H RYSBX C000010467 A RYSDX C000010468 C RYSJX 0000899148 S000003798 Precious Metals Fund C000010578 Investor RYPMX C000010579 Advisor RYMPX C000010580 A RYMNX C000010581 C RYZCX 0000899148 S000003799 Telecommunications Fund C000010582 Investor RYMIX C000010583 Advisor RYMAX C000010584 A RYTLX C000010585 C RYCSX 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C-Class Shares C000033373 H-Class Shares 0000899148 S000012545 Essential Portfolio Conservative Fund C000034110 A-Class Shares C000034111 C-Class Shares C000034112 H-Class Shares 0000899148 S000012546 Essential Portfolio Moderate Fund C000034113 A-Class Shares C000034114 C-Class Shares C000034115 H-Class Shares 0000899148 S000012547 Essential Portfolio Aggressive Fund C000034116 A-Class Shares C000034117 C-Class Shares C000034118 H-Class Shares N-CSRS 1 g35174_seriesncsrs.txt G35174_SERIESNCSRS 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 811-07584 --------- Rydex Series Funds -------------------------------------------------- (Exact name of registrant as specified in charter) 9601 Blackwell Road, Suite 500 Rockville, Maryland 20850 -------------------------------------------------- (Address of principal executive offices) (Zip code) Carl G. Verboncoeur Rydex Series Funds 9601 Blackwell Road, Suite 500 Rockville, Maryland 20850 -------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 301-296-5100 ------------ Date of fiscal year end: March 31, 2006 -------------- Date of reporting period: September 30, 2006 ------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. Item 1. Reports to Stockholders. SEPTEMBER 30, 2006 RYDEX SERIES FUNDS SEMI-ANNUAL REPORT BENCHMARK FUNDS NOVA FUND S&P 500 FUND INVERSE S&P 500 FUND OTC FUND INVERSE OTC FUND MID-CAP ADVANTAGE FUND INVERSE MID-CAP FUND RUSSELL 2000(R) ADVANTAGE FUND RUSSELL 2000(R) FUND INVERSE RUSSELL 2000(R) FUND GOVERNMENT LONG BOND ADVANTAGE FUND INVERSE GOVERNMENT LONG BOND FUND EUROPE ADVANTAGE FUND JAPAN ADVANTAGE FUND SMALL-CAP VALUE FUND MID-CAP VALUE FUND LARGE-CAP VALUE FUND SMALL-CAP GROWTH FUND MID-CAP GROWTH FUND LARGE-CAP GROWTH FUND DYNAMIC STRENGTHENING DOLLAR FUND DYNAMIC WEAKENING DOLLAR FUND U.S. GOVERNMENT MONEY MARKET FUND NOVA MASTER PORTFOLIO INVERSE S&P 500 MASTER PORTFOLIO INVERSE OTC MASTER PORTFOLIO INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ................................................ 2 A BRIEF NOTE ON THE COMPOUNDING OF RETURNS ................................ 3 ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 4 FUND PROFILES ............................................................. 9 SCHEDULES OF INVESTMENTS .................................................. 22 BENCHMARK FUNDS STATEMENTS OF ASSETS AND LIABILITIES .................................. 92 STATEMENTS OF OPERATIONS .............................................. 96 STATEMENTS OF CHANGES IN NET ASSETS ................................... 100 FINANCIAL HIGHLIGHTS .................................................. 108 BENCHMARK PORTFOLIOS STATEMENTS OF ASSETS AND LIABILITIES .................................. 120 STATEMENTS OF OPERATIONS .............................................. 121 STATEMENTS OF CHANGES IN NET ASSETS ................................... 122 FINANCIAL HIGHLIGHTS .................................................. 124 NOTES TO FINANCIAL STATEMENTS ............................................. 125 OTHER INFORMATION ......................................................... 137 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 140 THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS - -------------------------------------------------------------------------------- DEAR SHAREHOLDER: Financial markets over the six-months ended September 30, 2006, were driven by a widely anticipated "soft-landing" in the U.S. economy. This "goldilocks" scenario had economic growth slowing, inflation and interest rates coming down and the Federal Reserve ("Fed") ending its protracted string of increases. In this environment, stocks rallied as corporate earnings continued to grow at double digit rates without competition from higher interest rates. The icing on the cake was relief from higher energy prices, which had risen relentlessly since 2005. While the rally in stocks was fairly broad-based, it definitely exhibited a defensive bias. Large caps, value stocks and traditionally defensive sectors generally outperformed small caps, growth stocks and more aggressive sectors. This pattern is perfectly in keeping with the "late cycle" nature of the stock market rally. Investors wanted to ride prices up, but wanted to hedge their bets at the same time. The large-cap nature of the rally was clearly evident in the performance of the major averages. The home of the country's industrial giants--the Dow Jones Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R) Index, which returned 4.14%. If we look at the extremes of the capitalization spectrum, the large-cap bias becomes more evident as the Russell Top 50(TM) Index returned 7.13% for the six month period versus a LOSS of 4.61% for the small-cap Russell 2000(R) Index. In a defensive rally, investors are often wary of overpaying for stocks. That was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a 0.7% decline for the Russell 1000(R) Growth Index. Although developed market international stocks did well as the MSCI EAFE Index gained 3.2%, emerging market stocks fared poorly as the MSCI EM Index fell 1.2%. A major catalyst for the rally in stocks was the rally in bonds. While yields on the short end of the curve actually rose, longer dated maturities rallied with the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85% during the six-month period. The catalyst for falling rates was the decline in inflation and the Fed's pause from its extended interest rate increases. The result was a steeply inverted yield curve. Historically, inverted yield curves presage an economic slowdown or recession. While that remains a possibility, the decline in long-term rates also signals the market's anticipation of an eventual easing campaign by the Fed. The performance of stocks at the sector level highlighted the defensive bias towards the gains in stock prices over the past six months. The S&P 500 Utilities sector led the way with a gain of 10.2%. Although telecommunications services, a more aggressive sector, was number two with a gain of 8.1%, consumer staples and financials were the next best performers, gaining 7.5% and 6.5%, respectively. It is worth noting that falling interest rates also helped both financials and utilities. Sectors that typically perform well in a rapidly expanding economic environment, specifically materials, industrials and technology declined between 1.0% and 2.3% as the economy slowed. Going into the fourth quarter, we expect that Gross Domestic Product will pick up slightly, the Fed will remain on hold and equities will remain range-bound. As we head into 2007, we also see the appetite for risk continuing to decline. We appreciate the trust you have placed in our firm by investing with us. Sincerely, /s/ David C. Reilly David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (UNAUDITED) - -------------------------------------------------------------------------------- Many of the Rydex Funds described in this report are benchmarked daily to leveraged or inverse versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns. Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods. AN EXAMPLE OF COMPOUNDING For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6% gain and an expectation that the fund will rise by 9%. On the same day, the fund's net asset value ("NAV") increases from $10.00 to $10.90 for a gain of 9.0%-in line with its benchmark. On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
INDEX INDEX FUND FUND LEVEL PERFORMANCE EXPECTATION FUND NAV PERFORMANCE ASSESSMENT - ------------------------------------------------------------------------------------------ Start 100 $10.00 Day 1 106 6.00% 9.00% $10.90 9.00% In line Day 2 99 -6.60% -9.90% $ 9.82 -9.90% In line Cumulative -1.00% -1.50% -1.80% -0.30% - ------------------------------------------------------------------------------------------
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index. In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor's favor, causing the fund to seemingly beat its benchmark. As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) - -------------------------------------------------------------------------------- All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. As a shareholder of the fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund's gross income and reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2006 and ending September 30, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the "SEC") requires all mutual funds to calculate expenses based on the 5% return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are charged an annual $15 maintenance fee. Upon liquidating your retirement account, a $15 account-closing fee will be taken from the proceeds of your redemption. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by some of the Fund's classes. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for the past five years, in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus. 4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------------------- TABLE 1. BASED ON ACTUAL FUND RETURN NOVA FUND Investor Class 1.26%++ $1,000.00 $1,037.40 $ 6.42 Advisor Class 1.75%++ 1,000.00 1,035.00 8.91 A-Class 1.50%++ 1,000.00 1,035.90 7.64 C-Class 2.25%++ 1,000.00 1,032.10 11.45 S&P 500 FUND** A-Class 1.58% 1,000.00 1,048.00 8.11 C-Class 2.31% 1,000.00 1,045.60 11.85 H-Class 1.55% 1,000.00 1,047.60 7.96 INVERSE S&P 500 FUND Investor Class 1.39%++ 1,000.00 996.30 6.96 Advisor Class 1.89%++ 1,000.00 994.80 9.45 A-Class 1.64%++ 1,000.00 994.80 8.20 C-Class 2.39%++ 1,000.00 990.80 11.93 OTC FUND Investor Class 1.23% 1,000.00 967.40 6.07 Advisor Class 1.74% 1,000.00 964.20 8.57 A-Class 1.48% 1,000.00 965.30 7.29 C-Class 2.22% 1,000.00 961.80 10.92 INVERSE OTC FUND Investor Class 1.41%++ 1,000.00 1,058.70 7.28 Advisor Class 1.91%++ 1,000.00 1,056.30 9.85 A-Class 1.66%++ 1,000.00 1,056.90 8.56 C-Class 2.41%++ 1,000.00 1,053.80 12.41 MID-CAP ADVANTAGE FUND A-Class 1.66% 1,000.00 914.50 7.97 C-Class 2.40% 1,000.00 911.10 11.50 H-Class 1.66% 1,000.00 914.40 7.97 INVERSE MID-CAP FUND A-Class 1.67% 1,000.00 1,071.30 8.67 C-Class 2.43% 1,000.00 1,066.70 12.59 H-Class 1.67% 1,000.00 1,071.30 8.67 RUSSELL 2000(R) ADVANTAGE FUND A-Class 1.65% 1,000.00 905.40 7.88 C-Class 2.39% 1,000.00 902.00 11.40 H-Class 1.63% 1,000.00 905.70 7.79 RUSSELL 2000(R) FUND** A-Class 1.55% 1,000.00 1,007.60 7.80 C-Class 2.47% 1,000.00 1,005.60 12.42 H-Class 1.53% 1,000.00 1,007.60 7.70 INVERSE RUSSELL 2000(R) FUND A-Class 1.68% 1,000.00 1,068.50 8.71 C-Class 2.42% 1,000.00 1,064.30 12.52 H-Class 1.66% 1,000.00 1,068.40 8.61 GOVERNMENT LONG BOND ADVANTAGE FUND Investor Class 0.97% 1,000.00 1,048.30 4.98 Advisor Class 1.47% 1,000.00 1,039.90 7.52 A-Class 1.22% 1,000.00 1,048.00 6.26 C-Class 1.96% 1,000.00 1,043.20 10.04 INVERSE GOVERNMENT LONG BOND FUND Investor Class 5.02%++*** 1,000.00 986.80 25.00 Advisor Class 5.51%++*** 1,000.00 984.60 27.41 A-Class 5.27%++*** 1,000.00 985.70 26.23 C-Class 6.01%++*** 1,000.00 981.90 29.86
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND A-Class 1.54% $1,000.00 $1,069.30 $ 7.99 C-Class 2.35% 1,000.00 1,065.50 12.17 H-Class 1.67% 1,000.00 1,069.80 8.67 JAPAN ADVANTAGE FUND A-Class 1.66% 1,000.00 920.20 7.99 C-Class 2.39% 1,000.00 916.60 11.48 H-Class 1.64% 1,000.00 920.30 7.89 SMALL-CAP VALUE FUND A-Class 1.53% 1,000.00 950.60 7.48 C-Class 2.24% 1,000.00 946.70 10.93 H-Class 1.48% 1,000.00 950.30 7.24 MID-CAP VALUE FUND A-Class 1.51% 1,000.00 1,002.80 7.58 C-Class 2.25% 1,000.00 999.40 11.28 H-Class 1.50% 1,000.00 1,003.10 7.53 LARGE-CAP VALUE FUND A-Class 1.51% 1,000.00 1,042.90 7.73 C-Class 2.24% 1,000.00 1,038.70 11.45 H-Class 1.52% 1,000.00 1,042.90 7.78 SMALL-CAP GROWTH FUND A-Class 1.50% 1,000.00 907.00 7.17 C-Class 2.25% 1,000.00 903.50 10.74 H-Class 1.49% 1,000.00 907.00 7.12 MID-CAP GROWTH FUND A-Class 1.51% 1,000.00 902.60 7.20 C-Class 2.24% 1,000.00 899.30 10.67 H-Class 1.49% 1,000.00 903.00 7.11 LARGE-CAP GROWTH FUND A-Class 1.53% 1,000.00 982.00 7.60 C-Class 2.30% 1,000.00 977.90 11.40 H-Class 1.54% 1,000.00 982.00 7.65 DYNAMIC STRENGTHENING DOLLAR FUND A-Class 1.67% 1,000.00 952.40 8.17 C-Class 2.42% 1,000.00 948.50 11.82 H-Class 1.67% 1,000.00 952.40 8.17 DYNAMIC WEAKENING DOLLAR FUND A-Class 1.67% 1,000.00 1,074.00 8.68 C-Class 2.42% 1,000.00 1,070.10 12.56 H-Class 1.67% 1,000.00 1,074.00 8.68 U.S. GOVERNMENT MONEY MARKET FUND Investor Class 0.91% 1,000.00 1,020.40 4.61 Advisor Class 1.41% 1,000.00 1,017.90 7.13 A-Class 1.16% 1,000.00 1,019.20 5.87 C-Class 1.91% 1,000.00 1,015.40 9.65
6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN NOVA FUND Investor Class 1.26%++ $1,000.00 $1,018.67 $ 6.40 Advisor Class 1.75%++ 1,000.00 1,016.18 8.88 A-Class 1.50%++ 1,000.00 1,017.45 7.61 C-Class 2.25%++ 1,000.00 1,013.65 11.42 S&P 500 FUND** A-Class 1.58% 1,000.00 1,017.05 8.02 C-Class 2.31% 1,000.00 1,013.34 11.73 H-Class 1.55% 1,000.00 1,017.20 7.87 INVERSE S&P 500 FUND Investor Class 1.39%++ 1,000.00 1,018.01 7.06 Advisor Class 1.89%++ 1,000.00 1,015.47 9.59 A-Class 1.64%++ 1,000.00 1,016.74 8.33 C-Class 2.39%++ 1,000.00 1,012.94 12.13 OTC FUND Investor Class 1.23% 1,000.00 1,018.82 6.24 Advisor Class 1.74% 1,000.00 1,016.24 8.83 A-Class 1.48% 1,000.00 1,017.56 7.51 C-Class 2.22% 1,000.00 1,013.80 11.27 INVERSE OTC FUND Investor Class 1.41%++ 1,000.00 1,017.91 7.16 Advisor Class 1.91%++ 1,000.00 1,015.37 9.70 A-Class 1.66%++ 1,000.00 1,016.64 8.43 C-Class 2.41%++ 1,000.00 1,012.83 12.23 MID-CAP ADVANTAGE FUND A-Class 1.66% 1,000.00 1,016.64 8.43 C-Class 2.40% 1,000.00 1,012.88 12.18 H-Class 1.66% 1,000.00 1,016.64 8.43 INVERSE MID-CAP FUND A-Class 1.67% 1,000.00 1,016.59 8.48 C-Class 2.43% 1,000.00 1,012.73 12.34 H-Class 1.67% 1,000.00 1,016.59 8.48 RUSSELL 2000(R) ADVANTAGE FUND A-Class 1.65% 1,000.00 1,016.69 8.38 C-Class 2.39% 1,000.00 1,012.94 12.13 H-Class 1.63% 1,000.00 1,016.79 8.27 RUSSELL 2000(R) FUND** A-Class 1.55% 1,000.00 1,017.20 7.87 C-Class 2.47% 1,000.00 1,012.53 12.54 H-Class 1.53% 1,000.00 1,017.30 7.77 INVERSE RUSSELL 2000(R) FUND A-Class 1.68% 1,000.00 1,016.54 8.53 C-Class 2.42% 1,000.00 1,012.78 12.29 H-Class 1.66% 1,000.00 1,016.64 8.43 GOVERNMENT LONG BOND ADVANTAGE FUND Investor Class 0.97% 1,000.00 1,020.14 4.92 Advisor Class 1.47% 1,000.00 1,017.61 7.46 A-Class 1.22% 1,000.00 1,018.88 6.19 C-Class 1.96% 1,000.00 1,015.12 9.95 INVERSE GOVERNMENT LONG BOND FUND Investor Class 5.02%++*** 1,000.00 999.58 25.48 Advisor Class 5.51%++*** 1,000.00 997.10 27.97 A-Class 5.27%++*** 1,000.00 998.32 26.75 C-Class 6.01%++*** 1,000.00 994.56 30.51
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND A-Class 1.54% $1,000.00 $1,017.25 $ 7.82 C-Class 2.35% 1,000.00 1,013.14 11.93 H-Class 1.67% 1,000.00 1,016.59 8.48 JAPAN ADVANTAGE FUND A-Class 1.66% 1,000.00 1,016.64 8.43 C-Class 2.39% 1,000.00 1,012.94 12.13 H-Class 1.64% 1,000.00 1,016.74 8.33 SMALL-CAP VALUE FUND A-Class 1.53% 1,000.00 1,017.30 7.77 C-Class 2.24% 1,000.00 1,013.70 11.37 H-Class 1.48% 1,000.00 1,017.56 7.51 MID-CAP VALUE FUND A-Class 1.51% 1,000.00 1,017.40 7.67 C-Class 2.25% 1,000.00 1,013.65 11.42 H-Class 1.50% 1,000.00 1,017.45 7.61 LARGE-CAP VALUE FUND A-Class 1.51% 1,000.00 1,017.40 7.67 C-Class 2.24% 1,000.00 1,013.70 11.37 H-Class 1.52% 1,000.00 1,017.35 7.72 SMALL-CAP GROWTH FUND A-Class 1.50% 1,000.00 1,017.45 7.61 C-Class 2.25% 1,000.00 1,013.65 11.42 H-Class 1.49% 1,000.00 1,017.50 7.56 MID-CAP GROWTH FUND A-Class 1.51% 1,000.00 1,017.40 7.67 C-Class 2.24% 1,000.00 1,013.70 11.37 H-Class 1.49% 1,000.00 1,017.50 7.56 LARGE-CAP GROWTH FUND A-Class 1.53% 1,000.00 1,017.30 7.77 C-Class 2.30% 1,000.00 1,013.39 11.68 H-Class 1.54% 1,000.00 1,017.25 7.82 DYNAMIC STRENGTHENING DOLLAR FUND A-Class 1.67% 1,000.00 1,016.59 8.48 C-Class 2.42% 1,000.00 1,012.78 12.29 H-Class 1.67% 1,000.00 1,016.59 8.48 DYNAMIC WEAKENING DOLLAR FUND A-Class 1.67% 1,000.00 1,016.59 8.48 C-Class 2.42% 1,000.00 1,012.78 12.29 H-Class 1.67% 1,000.00 1,016.59 8.48 U.S. GOVERNMENT MONEY MARKET FUND Investor Class 0.91% 1,000.00 1,020.45 4.62 Advisor Class 1.41% 1,000.00 1,017.91 7.16 A-Class 1.16% 1,000.00 1,019.18 5.89 C-Class 1.91% 1,000.00 1,015.37 9.70
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. ** SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006. *** THIS RATIO REPRESENTS GROSS EXPENSES, WHICH INCLUDE INTEREST EXPENSE FROM SECURITIES SOLD SHORT. EXCLUDING SHORT INTEREST DIVIDENDS, THE OPERATING EXPENSE RATIOS WOULD BE REDUCED BY 3.66%. + ANNUALIZED ++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER PORTFOLIO. 8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) - -------------------------------------------------------------------------------- NOVA FUND OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 150% of the performance of the S&P 500 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] NOVA FUND S&P 500 INDEX --------- ------------- Other 7.1% 8.8% Financials 16.3% 21.2% Information Technology 11.4% 15.7% Health Care 10.3% 12.8% Industrials 7.4% 11.6% Energy 6.9% 10.3% Consumer Discretionary 8.8% 10.0% Consumer Staples 7.1% 9.6% Futures Contracts 20.5% Equity Index Swap Agreements 54.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class July 12, 1993 Advisor Class October 15, 1998 A-Class March 31, 2004 C-Class March 14, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Exxon Mobil Corp. 2.3% General Electric Co. 2.0% Bank of America Corp. 1.8% J.P. Morgan Chase & Co. 1.3% Altria Group, Inc. 1.3% Citigroup, Inc. 1.2% Microsoft Corp. 1.2% International Business Machines Corp. 1.1% Pfizer, Inc. 1.1% Wells Fargo & Co. 1.1% - -------------------------------------------------------- Top Ten Total 14.4% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. S&P 500 FUND OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is the S&P 500 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] S&P 500 FUND S&P 500 INDEX ------------ ------------- Other 19.5% 8.8% Financials 6.9% 21.2% Information Technology 4.8% 15.7% Health Care 12.8% Industrials 11.6% Energy 10.3% Consumer Discretionary 10.0% Consumer Staples 9.6% Futures Contracts 16.7% Equity Index Swap Agreements 52.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class May 31, 2006 C-Class May 31, 2006 H-Class May 31, 2006 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Exxon Mobil Corp. 1.0% General Electric Co. 0.9% Citigroup, Inc. 0.6% Bank of America Corp. 0.6% Microsoft Corp. 0.6% Pfizer, Inc. 0.5% Procter & Gamble Co. 0.5% Johnson & Johnson, Inc. 0.5% American International Group, Inc. 0.4% J.P. Morgan Chase & Co. 0.4% - -------------------------------------------------------- Top Ten Total 6.0% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- INVERSE S&P 500 FUND OBJECTIVE: To provide investment results that will inversely correlate to the performance of the S&P 500 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] INVERSE S&P 500 FUND S&P 500 INDEX -------------------- ------------- Other 8.8% Financials 21.2% Information Technology 15.7% Health Care 12.8% Industrials 11.6% Consumer Discretionary 10.0% Energy 10.3% Consumer Staples 9.6% Futures Contracts Sold Short -7.3% Equity Index Swap Agreements Sold Short -92.5% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class January 7, 1994 Advisor Class August 5, 1998 A-Class March 31, 2004 C-Class March 15, 2001 The Fund invests principally in derivative investments such as equity index swap agreements, futures contracts, and options on index futures. OTC FUND OBJECTIVE: To provide investment results that correspond to a benchmark for over-the-counter securities. The Fund's current benchmark is the Nasdaq 100 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] OTC FUND NASDAQ 100 INDEX -------- ---------------- Other 6.9% 9.2% Information Technology 59.3% 60.4% Consumer Discretionary 15.0% 16.0% Health Care 13.5% 14.3% Futures Contracts 4.5% Equity Index Swap Agreements 1.0% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class February 14, 1994 Advisor Class September 22, 1998 A-Class March 31, 2004 C-Class March 26, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Apple Computer, Inc. 6.2% Microsoft Corp. 5.9% Qualcomm, Inc. 5.0% Google, Inc. -- Class A 3.5% Cisco Systems, Inc. 3.5% Amgen, Inc. 3.2% Oracle Corp. 2.7% Intel Corp. 2.6% Comcast Corp. -- Class A 2.5% Starbucks Corp. 2.5% - -------------------------------------------------------- Top Ten Total 37.6% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- INVERSE OTC FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund's current benchmark is the inverse of the performance of the Nasdaq 100 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] INVERSE OTC FUND NASDAQ 100 INDEX ---------------- ---------------- Other 8.5% Information Technology 60.4% Consumer Discretionary 16.0% Health Care 14.3% Futures Contracts Short Sales -5.5% Equity Index Swap Agreements Short Sales -95.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class September 3, 1998 Advisor Class August 1, 2003 A-Class March 31, 2004 C-Class March 7, 2001 The Fund invests principally in derivative investments such as equity index swap agreements, futures contracts, and options on index futures. MID-CAP ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for mid-cap securities. The Fund's current benchmark is the S&P MidCap 400 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] MID-CAP ADVANTAGE FUND S&P MIDCAP 400 INDEX ---------------------- -------------------- Other 6.8% 2.4% Financials 16.8% 17.8% Information Technology 13.7% 16.5% Industrials 14.2% 14.5% Consumer Discretionary 13.7% 14.4% Energy 7.9% 10.5% Health Care 10.0% 10.0% Utilities 7.6% 9.0% Materials 5.0% Futures Contracts 18.4% Equity Index Swap Agreements 40.9% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class March 31, 2004 C-Class August 20, 2001 H-Class August 16, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Peabody Energy Corp. 1.1% Noble Energy, Inc. 1.1% Lam Research Corp. 1.0% American Eagle Outfitters, Inc. 1.0% W.R. Berkley Corp. 1.0% Michaels Stores, Inc. 1.0% Macerich Co. 0.9% Manpower, Inc. 0.9% Health Net, Inc. 0.9% Old Republic International Corp. 0.9% - -------------------------------------------------------- Top Ten Total 9.8% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- INVERSE MID-CAP FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund's current benchmark is the inverse of the performance of the S&P MidCap 400 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] INVERSE MID-CAP S&P MIDCAP 400 FUND INDEX ----------------- ---------------- Other 2.4% Financials 17.8% Information Technology 16.5% Industrials 14.5% Consumer Discretionary 14.4% Energy 10.5% Health Care 10.0% Utilities 9.0% Materials 5.0% Futures Contracts Short Sales -31.1% Equity Index Swap Agreements Short Sales -68.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class March 31, 2004 C-Class February 20, 2004 H-Class February 20, 2004 The Fund invests principally in derivative investments such as equity index swap agreements, futures contracts, and options on index futures. RUSSELL 2000(R) ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for small-cap securities. The Fund's current benchmark is the Russell 2000(R) Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] RUSSELL 2000(R) RUSSELL 2000(R) ADVANTAGE FUND INDEX ----------------- ----------------- Other 11.6% 9.0% Financials 15.9% 19.4% Information Technology 13.3% 19.1% Consumer Discretionary 11.1% 17.0% Industrials 9.7% 12.4% Health Care 8.6% 11.5% Materials 6.1% Energy 5.7% Futures Contracts 22.5% Equity Index Swap Agreements 57.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class March 31, 2004 C-Class January 23, 2001 H-Class November 1, 2000 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Cathay General Bancorp 0.2% Umpqua Holdings Corp. 0.2% Westamerica Bancorporation 0.2% UCBH Holdings, Inc. 0.2% Alexandria Real Estate Equities, Inc. 0.2% Phillips-Van Heusen Corp. 0.2% Big Lots, Inc. 0.2% International Bancshares Corp. 0.2% Greater Bay Bancorp 0.2% Realty Income Corp. 0.2% - -------------------------------------------------------- Top Ten Total 2.0% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is the Russell 2000(R) Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] RUSSELL 2000(R) FUND RUSSELL 2000(R) INDEX -------------------- --------------------- Other 7.4% 9.0% Financials 10.1% 19.4% Information Technology 8.5% 19.1% Consumer Discretionary 7.1% 17.0% Industrials 6.2% 12.4% Health Care 5.5% 11.5% Materials 6.1% Energy 5.7% Consumer Staples Futures Contracts 23.9% Equity Index Swap Agreements 31.3% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class May 31, 2006 C-Class May 31, 2006 H-Class May 31, 2006 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Cathay General Bancorp 0.2% Umpqua Holdings Corp. 0.1% Westamerica Bancorporation 0.1% Alexandria Real Estate Equities, Inc. 0.1% UCBH Holdings, Inc. 0.1% Phillips-Van Heusen Corp. 0.1% International Bancshares Corp. 0.1% Big Lots, Inc. 0.1% Hologic, Inc. 0.1% Greater Bay Bancorp 0.1% - -------------------------------------------------------- Top Ten Total 1.1% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. INVERSE RUSSELL 2000(R) FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund's current benchmark is the inverse of the performance of the Russell 2000(R) Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] INVERSE RUSSELL RUSSELL 2000(R) 2000(R) FUND INDEX --------------- --------------- Other 9.0% Financials 19.4% Information Technology 19.1% Consumer Discretionary 17.0% Industrials 12.4% Health Care 11.5% Materials 6.1% Energy 5.7% Futures Contracts Short Sales -16.8% Equity Index Swap Agreements Short Sales -83.2% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class March 31, 2004 C-Class February 20, 2004 H-Class February 20, 2004 The Fund invests principally in derivative investments such as equity index swap agreements, futures contracts, and options on index futures. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- GOVERNMENT LONG BOND ADVANTAGE FUND OBJECTIVE: To provide investment results that correspond to a benchmark for U.S. Government securities. The Fund's current benchmark is 120% of the price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] GOVERNMENT LONG BOND ADVANTAGE FUND ----------------------------------- U.S. Treasury Obligations 97.0% Futures Contracts 25.7% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class January 3, 1994 Advisor Class August 1, 2003 A-Class March 31, 2004 C-Class May 2, 2001 The Fund invests principally in U.S. Government securities and in derivative investments such as futures and options contracts. INVERSE GOVERNMENT LONG BOND FUND OBJECTIVE: To provide total returns that will inversely correlate to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument. The Fund's current benchmark is the inverse of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] INVERSE GOVERNMENT LONG BOND FUND --------------------------------- U.S. Treasury Obligations Short Sales -75.1% Futures Contracts Short Sales -25.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class March 3, 1995 Advisor Class August 1, 2003 A-Class March 31, 2004 C-Class March 28, 2001 The Fund invests principally in derivative investments such as equity index swap agreements, futures contracts, and options on index futures. 14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark. The Fund's current benchmark is the Dow Jones STOXX 50 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] EUROPE DOW JONES ADVANTAGE FUND STOXX 50 INDEX ---------------- ---------------- Other 18.1% 12.9% Financial 15.7% 36.9% Consumer, Non-cyclical 21.7% Energy 9.6% 15.7% Communications 12.8% Telecommunication Services 6.1% Health Care 6.9% Equity Index Swap Agreements 68.3% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class March 31, 2004 C-Class May 10, 2001 H-Class May 8, 2000 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- BP PLC -- SP ADR 3.6% HSBC Holdings PLC -- SP ADR 3.5% Novartis AG -- SP ADR 2.5% GlaxoSmithKline PLC -- SP ADR 2.4% Royal Dutch Shell PLC -- SP ADR 2.2% Total SA -- SP ADR 1.9% UBS AG 1.8% Vodafone Group PLC -- SP ADR 1.8% E.ON AG -- SP ADR 1.8% Telefonica SA -- SP ADR 1.6% - -------------------------------------------------------- Top Ten Total 23.1% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. JAPAN ADVANTAGE FUND OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark. The Fund's current benchmark is the Topix 100 Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] JAPAN ADVANTAGE FUND TOPIX 100 INDEX -------------------- --------------- Other 5.7% Financial 29.9% Consumer, Cyclical 23.7% Industrial 14.6% Consumer, Non-cyclical 8.7% Communications 5.8% Basic Materials 5.8% Technology 5.8% Futures Contracts 9.4% Equity Index Swap Agreements 115.9% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class March 31, 2004 C-Class March 1, 2002 H-Class May 8, 2000 The Fund invests principally in derivative investments such as equity index swap agreements, futures contracts, and options on index futures. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for small-cap value securities. The Fund's current benchmark is the S&P SmallCap 600/Citigroup Pure Value Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] S&P SMALLCAP 600/ SMALL-CAP VALUE FUND CITIGROUP PURE VALUE INDEX -------------------- -------------------------- Other 3.1% 3.3% Consumer Discretionary 21.5% 23.1% Industrials 17.5% 18.4% Materials 18.3% 18.2% Utilities 12.5% 11.7% Financials 12.8% 11.7% Information Technology 8.5% 8.1% Consumer Staples 5.2% 5.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class September 1, 2004 C-Class February 20, 2004 H-Class February 20, 2004 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Group 1 Automotive, Inc. 1.3% Volt Information Sciences, Inc. 1.3% Kellwood Co. 1.3% Alliance One International, Inc. 1.3% Rock-Tenn Co. -- Class A 1.3% Central Vermont Public Service Corp. 1.3% Standard Motor Products, Inc. 1.2% Chaparral Steel Co. 1.2% A. Schulman, Inc. 1.2% LandAmerica Financial Group, Inc. 1.2% - -------------------------------------------------------- Top Ten Total 12.6% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. MID-CAP VALUE FUND OBJECTIVE: To provide investment results that match the performance of the benchmark for mid-cap value securities. The Fund's current benchmark is the S&P MidCap 400/Citigroup Pure Value Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] S&P MIDCAP 400/ MID-CAP VALUE FUND CITIGROUP PURE VALUE INDEX ------------------ -------------------------- Other 7.0% 7.4% Utilities 26.6% 24.9% Financials 17.5% 16.2% Industrials 14.7% 14.6% Consumer Discretionary 13.6% 13.5% Materials 11.7% 12.5% Information Technology 8.6% 10.8% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class September 1, 2004 C-Class February 20, 2004 H-Class February 20, 2004 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Atmel Corp. 3.5% Northeast Utilities 2.4% NSTAR 2.2% Pepco Holdings, Inc. 1.9% American Financial Group, Inc. 1.9% Alaska Air Group, Inc. 1.7% Sequa Corp. -- Class A 1.7% ArvinMeritor, Inc. 1.6% Furniture Brands International, Inc. 1.6% OGE Energy Corp. 1.6% - -------------------------------------------------------- Top Ten Total 20.1% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for large-cap value securities. The Fund's current benchmark is the S&P 500/Citigroup Pure Value Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] S&P 500/CITIGROUP LARGE-CAP VALUE FUND PURE VALUE INDEX -------------------- ---------------- Other 9.2% 8.9% Financials 20.8% 20.8% Consumer Discretionary 16.6% 16.9% Utilities 18.0% 16.6% Materials 9.8% 11.5% Industrials 10.2% 10.2% Consumer Staples 8.8% 8.8% Information Technology 6.4% Telecommunication Services 6.3% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class September 1, 2004 C-Class February 20, 2004 H-Class February 20, 2004 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Dillard's, Inc.-- Class A 2.1% Ryder System, Inc. 1.8% General Motors Corp. 1.7% United States Steel Corp. 1.5% Big Lots, Inc. 1.4% OfficeMax, Inc. 1.4% Ford Motor Co. 1.3% Allied Waste Industries, Inc. 1.3% ConocoPhillips 1.2% KeySpan Corp. 1.1% - -------------------------------------------------------- Top Ten Total 14.8% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. SMALL-CAP GROWTH FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for small-cap growth securities. The Fund's current benchmark is the S&P SmallCap 600/Citigroup Pure Growth Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] S&P SMALLCAP 600/CITIGROUP SMALL-CAP GROWTH FUND PURE GROWTH INDEX --------------------- -------------------------- Other 5.1% 7.9% Consumer Discretionary 23.4% 24.6% Health Care 24.2% 21.7% Information Technology 19.9% 19.8% Energy 9.1% 9.1% Financials 10.1% 8.9% Industrials 7.8% 8.1% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class September 1, 2004 C-Class February 20, 2004 H-Class February 20, 2004 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Christopher & Banks Corp. 2.1% Coinstar, Inc. 2.0% j2 Global Communications, Inc. 1.9% Hansen Natural Corp. 1.7% Frontier Oil Corp. 1.6% Biolase Technology, Inc. 1.4% CNS, Inc. 1.3% Factset Research Systems, Inc. 1.3% Portfolio Recovery Associates, Inc. 1.3% Shuffle Master, Inc. 1.2% - -------------------------------------------------------- Top Ten Total 15.8% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- MID-CAP GROWTH FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for mid-cap growth securities. The Fund's current benchmark is the S&P MidCap 400/Citigroup Pure Growth Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] S&P MIDCAP 400/CITIGROUP MID-CAP GROWTH FUND PURE GROWTH INDEX ------------------- ------------------------ Other 1.2% 2.2% Consumer Discretionary 29.1% 27.4% Information Technology 19.3% 18.4% Health Care 17.8% 16.0% Industrials 15.3% 15.3% Energy 7.9% 10.9% Financials 8.9% 9.8% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class September 1, 2004 C-Class February 20, 2004 H-Class February 20, 2004 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Cognizant Technology Solutions Corp. -- Class A 3.1% Aeropostale, Inc. 2.6% GameStop Corp. -- Class A 2.3% Corporate Executive Board Co. 2.1% ITT Educational Services, Inc. 2.0% Brown & Brown, Inc. 1.9% Western Digital Corp. 1.9% SEI Investments Co. 1.9% Scientific Games Corp. -- Class A 1.9% Abercrombie & Fitch Co. -- Class A 1.9% - -------------------------------------------------------- Top Ten Total 21.6% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. LARGE-CAP GROWTH FUND OBJECTIVE: To provide investment results that match the performance of a benchmark for large-cap growth securities. The Fund's current benchmark is the S&P 500/Citigroup Pure Growth Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] S&P 500/CITIGROUP LARGE-CAP GROWTH FUND PURE GROWTH INDEX --------------------- ----------------- Other 4.8% 5.6% Consumer Discretionary 26.7% 26.3% Health Care 25.1% 25.1% Information Technology 17.1% 17.2% Financials 9.8% 9.3% Consumer Staples 8.7% 8.6% Energy 7.4% 8.5% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class September 1, 2004 C-Class February 20, 2004 H-Class February 20, 2004 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Nvidia Corp. 2.2% International Game Technology, Inc. 2.1% Google, Inc. -- Class A 1.6% XTO Energy, Inc. 1.6% Forest Laboratories, Inc. 1.5% Fisher Scientific International, Inc. 1.4% AutoZone, Inc. 1.4% Chicago Mercantile Exchange Holdings, Inc. 1.4% TJX Cos., Inc. 1.3% Devon Energy Corp. 1.3% - -------------------------------------------------------- Top Ten Total 15.8% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- DYNAMIC STRENGTHENING DOLLAR FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 200% of the performance of the U.S. Dollar Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] DYNAMIC STRENGTHENING DOLLAR FUND U.S. DOLLAR INDEX --------------------- ----------------- Other 7.8% Euro 57.6% Japanese Yen 13.6% British Pound 11.9% Canadian Dollar 9.1% Currency Index Swap Agreements 190.4% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class May 25, 2005 C-Class May 25, 2005 H-Class May 25, 2005 The Fund invests principally in derivative investments such as currency index swap agreements, futures contracts, and options on index futures. DYNAMIC WEAKENING DOLLAR FUND OBJECTIVE: To provide investment results that will match the performance of a specific benchmark on a daily basis. The Fund's current benchmark is 200% of the inverse performance of the U.S. Dollar Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] DYNAMIC WEAKENING U.S. DOLLAR DOLLAR FUND INDEX ----------------- ------------ Other 7.8% Euro 57.6% Japanese Yen 13.6% British Pound 11.9% Canadian Dollar 9.1% Currency Index Swap Agreements Short Sales -205.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class May 25, 2005 C-Class May 25, 2005 H-Class May 25, 2005 The Fund invests principally in derivative investments such as currency index swap agreements, futures contracts, and options on index futures. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19 FUND PROFILES (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND OBJECTIVE: To provide security of principal, high current income and liquidity. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] U.S. GOVERNMENT MONEY MARKET FUND ------------------- Federal Home Loan Bank 7.4% Freddie Mac 35.2% Farmer Mac 20.5% Federal Farm Credit Bank 20.5% Repurchase Agreements 7.6% FADN -- Federal Agency Discount Notes. INCEPTION DATES: - -------------------------------------------------------- Investor Class December 1, 1993 Advisor Class April 1, 1998 A-Class March 31, 2004 C-Class October 19, 2000 The Fund invests principally in U.S. Government securities. 20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT MASTER-FEEDER ARRANGEMENT - -------------------------------------------------------------------------------- Nova Fund, Inverse S&P 500 Fund, Inverse OTC Fund and Inverse Government Long Bond Fund are operating under a `master-feeder arrangement'. Under a master-feeder arrangement, a Feeder Fund ("feeder") invests substantially all of its assets in the Master Portfolio ("master"), a separate open-ended investment company that has the same investment objectives as the feeder, e.g., the Nova Fund would act as a feeder, holding shares of the Nova Master Portfolio as its only investment. The Master Portfolio, in turn, invests in securities and derivatives to meet its investment objective. The Feeder Fund is the sole shareholder of the Master Portfolio and is the only part of the master-feeder relationship in which shareholders can invest. As a shareholder of a Feeder Fund, you have indirect ownership of the investments of the corresponding Master Portfolio. Therefore, the Schedules of Investments of the masters are provided here to illustrate securities in which the masters invest and, indirectly, what the feeders hold. Please see Notes to Financial Statements for more information about the master-feeder arrangement. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- NOVA MASTER PORTFOLIO - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 75.4% FINANCIALS 16.3% DIVERSIFIED FINANCIALS 4.4% Bank of America Corp. 72,050 $ 3,859,718 J.P. Morgan Chase & Co. 59,810 2,808,678 Citigroup, Inc. 53,150 2,639,961 --------------- TOTAL DIVERSIFIED FINANCIALS 9,308,357 --------------- BANKS 3.7% Wells Fargo & Co. 62,600 2,264,868 Wachovia Corp.+ 32,630 1,820,754 PNC Financial Services Group, Inc. 12,570 910,571 National City Corp.+ 24,020 879,132 U.S. Bancorp+ 24,800 823,856 KeyCorp+ 21,830 817,315 Zions Bancorporation 6,000 478,860 --------------- TOTAL BANKS 7,995,356 --------------- INSURANCE 3.3% American International Group, Inc. 24,610 1,630,659 Hartford Financial Services Group, Inc.+ 11,370 986,347 Principal Financial Group, Inc.+ 15,210 825,599 Loews Corp. 21,660 820,914 Genworth Financial, Inc. -- Class A 22,970 804,180 Aon Corp.+ 21,290 721,092 Ambac Financial Group, Inc.+ 8,180 676,895 ACE Ltd. 10,070 551,131 AFLAC, Inc. 150 6,864 --------------- TOTAL INSURANCE 7,023,681 --------------- CAPITAL MARKETS 2.1% Charles Schwab Corp.+ 51,830 927,757 State Street Corp. 13,310 830,544 Goldman Sachs Group, Inc.+ 4,890 827,241 Bank of New York Co., Inc. 16,840 593,778 E*Trade Financial Corp.*+ 23,450 560,924 Morgan Stanley 4,750 346,323 Merrill Lynch & Co., Inc. 3,860 301,929 --------------- TOTAL CAPITAL MARKETS 4,388,496 --------------- THRIFTS & MORTGAGE FINANCE 1.5% Washington Mutual, Inc.+ 27,730 1,205,423 MGIC Investment Corp.+ 11,890 713,044 Golden West Financial Corp. 7,880 608,730 Countrywide Financial Corp.+ 16,600 581,664 Fannie Mae 730 40,814 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 3,149,675 --------------- CONSUMER FINANCE 0.7% Capital One Financial Corp.+ 12,550 987,183 American Express Co. 9,910 555,753 --------------- TOTAL CONSUMER FINANCE 1,542,936 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- REAL ESTATE 0.6% Boston Properties, Inc.+ 7,220 $ 746,115 Archstone-Smith Trust+ 5,720 311,397 ProLogis 4,760 271,605 --------------- TOTAL REAL ESTATE 1,329,117 --------------- TOTAL FINANCIALS 34,737,618 --------------- INFORMATION TECHNOLOGY 11.4% SOFTWARE 2.7% Microsoft Corp. 91,970 2,513,540 Oracle Corp.* 77,306 1,371,408 Citrix Systems, Inc.*+ 22,248 805,600 Compuware Corp.* 71,076 553,682 Autodesk, Inc.* 10,610 369,016 Intuit, Inc.* 1,590 51,023 --------------- TOTAL SOFTWARE 5,664,269 --------------- COMPUTERS & PERIPHERALS 2.5% International Business Machines Corp. 28,250 2,314,805 Hewlett-Packard Co. 54,190 1,988,231 NCR Corp.*+ 20,510 809,735 Apple Computer, Inc.*+ 2,200 169,466 Lexmark International, Inc.* 1,110 64,003 Dell, Inc.*+ 2,180 49,791 --------------- TOTAL COMPUTERS & PERIPHERALS 5,396,031 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.1% Freescale Semiconductor, Inc. -- Class B*+ 25,740 978,377 Intel Corp. 45,450 934,906 Micron Technology, Inc.*+ 45,910 798,834 National Semiconductor Corp.+ 30,650 721,195 Teradyne, Inc.* 48,460 637,734 LSI Logic Corp.*+ 52,011 427,530 Texas Instruments, Inc.+ 910 30,258 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 4,528,834 --------------- COMMUNICATIONS EQUIPMENT 1.9% Cisco Systems, Inc.* 52,680 1,211,640 Motorola, Inc. 43,670 1,091,750 Avaya, Inc.* 65,580 750,235 Tellabs, Inc.* 67,610 741,006 Qualcomm, Inc. 8,790 319,516 --------------- TOTAL COMMUNICATIONS EQUIPMENT 4,114,147 --------------- IT CONSULTING & SERVICES 1.0% Electronic Data Systems Corp.+ 33,020 809,651 Convergys Corp.* 31,660 653,779 Sabre Holdings Corp. 26,070 609,777 --------------- TOTAL IT CONSULTING & SERVICES 2,073,207 --------------- INTERNET SOFTWARE & SERVICES 0.8% Google, Inc. -- Class A* 2,670 1,073,073 VeriSign, Inc.* 34,260 692,052 --------------- TOTAL INTERNET SOFTWARE & SERVICES 1,765,125 --------------- See Notes to Financial Statements. 22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- NOVA MASTER PORTFOLIO - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3% Agilent Technologies, Inc.* 14,210 $ 464,525 Symbol Technologies, Inc. 10,220 151,869 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 616,394 --------------- OFFICE ELECTRONICS 0.1% Xerox Corp.* 12,190 189,676 --------------- TOTAL OFFICE ELECTRONICS 189,676 --------------- TOTAL INFORMATION TECHNOLOGY 24,347,683 --------------- HEALTH CARE 10.3% PHARMACEUTICALS 5.3% Pfizer, Inc. 80,500 2,282,980 Johnson & Johnson, Inc. 32,650 2,120,291 Merck & Co., Inc.+ 44,270 1,854,913 Wyeth 30,650 1,558,246 Bristol-Myers Squibb Co. 53,470 1,332,473 King Pharmaceuticals, Inc.* 41,710 710,321 Mylan Laboratories, Inc.+ 33,680 677,978 Abbott Laboratories 7,430 360,801 Eli Lilly & Co. 4,150 236,550 Watson Pharmaceuticals, Inc.*+ 2,380 62,285 Barr Pharmaceuticals, Inc.* 10 519 --------------- TOTAL PHARMACEUTICALS 11,197,357 --------------- HEALTH CARE PROVIDERS & SERVICES 2.2% McKesson Corp. 16,130 850,374 Humana, Inc.* 12,390 818,855 Patterson Cos., Inc.*+ 22,140 744,125 UnitedHealth Group, Inc. 14,570 716,844 Coventry Health Care, Inc.* 13,570 699,126 AmerisourceBergen Corp.+ 6,440 291,088 Laboratory Corporation of America Holdings*+ 3,280 215,070 Express Scripts, Inc.* 2,260 170,607 IMS Health, Inc. 2,640 70,330 WellPoint, Inc.* 250 19,263 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 4,595,682 --------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.5% Becton, Dickinson & Co. 12,210 862,881 Fisher Scientific International, Inc.* 9,660 755,798 Zimmer Holdings, Inc.*+ 11,120 750,600 Hospira, Inc.* 16,280 623,035 Medtronic, Inc.+ 3,920 182,045 C.R. Bard, Inc.+ 390 29,250 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,203,609 --------------- BIOTECHNOLOGY 1.3% Amgen, Inc.*+ 24,810 1,774,659 Applera Corp. - Applied Biosystems Group 22,540 746,300 Gilead Sciences, Inc.* 4,330 297,471 --------------- TOTAL BIOTECHNOLOGY 2,818,430 --------------- TOTAL HEALTH CARE 21,815,078 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY 8.8% MEDIA 2.5% Walt Disney Co.+ 49,980 $ 1,544,882 McGraw-Hill Cos., Inc. 15,800 916,874 Omnicom Group, Inc.+ 9,210 862,056 Meredith Corp. 13,510 666,448 Gannett Co., Inc.+ 10,160 577,393 Time Warner, Inc. 22,940 418,196 Comcast Corp. -- Class A*+ 10,220 376,607 --------------- TOTAL MEDIA 5,362,456 --------------- SPECIALTY RETAIL 2.0% TJX Cos., Inc.+ 29,490 826,605 Office Depot, Inc.*+ 20,740 823,378 Sherwin-Williams Co.+ 13,680 763,070 AutoZone, Inc.*+ 7,300 754,090 Lowe's Cos., Inc.+ 26,170 734,330 Home Depot, Inc.+ 12,100 438,867 --------------- TOTAL SPECIALTY RETAIL 4,340,340 --------------- HOTELS, RESTAURANTS & LEISURE 1.1% Starwood Hotels & Resorts Worldwide, Inc. 14,400 823,536 Darden Restaurants, Inc. 19,180 814,575 Starbucks Corp.*+ 16,490 561,484 McDonald's Corp. 5,940 232,373 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 2,431,968 --------------- HOUSEHOLD DURABLES 1.0% Whirlpool Corp.+ 8,700 731,757 Newell Rubbermaid, Inc.+ 20,450 579,144 Lennar Corp. -- Class A+ 8,640 390,960 Stanley Works+ 5,850 291,623 Black & Decker Corp.+ 780 61,893 --------------- TOTAL HOUSEHOLD DURABLES 2,055,377 --------------- MULTILINE RETAIL 0.9% Kohl's Corp.* 13,510 877,069 Big Lots, Inc.*+ 33,540 664,427 Federated Department Stores, Inc.+ 4,060 175,433 Nordstrom, Inc.+ 3,430 145,089 --------------- TOTAL MULTILINE RETAIL 1,862,018 --------------- TEXTILES & APPAREL 0.5% Jones Apparel Group, Inc. 17,850 579,054 VF Corp. 5,010 365,480 --------------- TOTAL TEXTILES & APPAREL 944,534 --------------- AUTO COMPONENTS 0.4% Johnson Controls, Inc.+ 11,210 804,205 --------------- TOTAL AUTO COMPONENTS 804,205 --------------- AUTOMOBILES 0.3% Harley-Davidson, Inc.+ 10,600 665,150 --------------- TOTAL AUTOMOBILES 665,150 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- NOVA MASTER PORTFOLIO - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Brunswick Corp. 7,670 $ 239,227 Mattel, Inc. 130 2,561 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 241,788 --------------- TOTAL CONSUMER DISCRETIONARY 18,707,836 --------------- INDUSTRIALS 7.4% INDUSTRIAL CONGLOMERATES 2.9% General Electric Co. 119,450 4,216,585 Tyco International Ltd. 37,660 1,054,103 Textron, Inc. 8,310 727,125 3M Co. 1,180 87,816 --------------- TOTAL INDUSTRIAL CONGLOMERATES 6,085,629 --------------- AEROSPACE & DEFENSE 1.5% Lockheed Martin Corp.+ 12,179 1,048,125 Boeing Co.+ 13,250 1,044,762 General Dynamics Corp. 13,360 957,511 United Technologies Corp. 3,768 238,703 --------------- TOTAL AEROSPACE & DEFENSE 3,289,101 --------------- MACHINERY 0.9% Caterpillar, Inc.+ 18,210 1,198,218 Cummins, Inc.+ 6,100 727,303 Navistar International Corp.* 1,010 26,078 --------------- TOTAL MACHINERY 1,951,599 --------------- ROAD & RAIL 0.8% CSX Corp.+ 26,550 871,636 Norfolk Southern Corp.+ 16,910 744,886 --------------- TOTAL ROAD & RAIL 1,616,522 --------------- AIR FREIGHT & COURIERS 0.6% FedEx Corp. 7,330 796,624 United Parcel Service, Inc. -- Class B+ 5,490 394,951 --------------- TOTAL AIR FREIGHT & COURIERS 1,191,575 --------------- AIRLINES 0.3% Southwest Airlines Co.+ 45,870 764,194 --------------- TOTAL AIRLINES 764,194 --------------- COMMERCIAL SERVICES & SUPPLIES 0.2% Equifax, Inc. 10,670 391,696 Monster Worldwide, Inc.* 1,900 68,761 Waste Management, Inc. 50 1,834 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 462,291 --------------- ELECTRICAL EQUIPMENT 0.2% Cooper Industries Ltd. -- Class A 4,500 383,490 --------------- TOTAL ELECTRICAL EQUIPMENT 383,490 --------------- TOTAL INDUSTRIALS 15,744,401 --------------- CONSUMER STAPLES 7.1% HOUSEHOLD PRODUCTS 1.7% Procter & Gamble Co. 33,310 2,064,554 Colgate-Palmolive Co. 17,000 1,055,700 Clorox Co. 7,680 483,840 --------------- TOTAL HOUSEHOLD PRODUCTS 3,604,094 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- BEVERAGES 1.6% PepsiCo, Inc. 12,250 $ 799,435 Brown-Forman Corp. -- Class B 9,180 703,647 Pepsi Bottling Group, Inc. 19,680 698,640 Molson Coors Brewing Co. -- Class B+ 9,700 668,330 Coca-Cola Co. 14,190 634,009 --------------- TOTAL BEVERAGES 3,504,061 --------------- TOBACCO 1.6% Altria Group, Inc. 35,170 2,692,264 Reynolds American, Inc.+ 11,940 739,922 UST, Inc.+ 210 11,514 --------------- TOTAL TOBACCO 3,443,700 --------------- FOOD & DRUG RETAILING 1.3% Wal-Mart Stores, Inc. 34,890 1,720,775 Kroger Co.+ 36,050 834,197 Costco Wholesale Corp.+ 3,510 174,377 Walgreen Co.+ 730 32,404 --------------- TOTAL FOOD & DRUG RETAILING 2,761,753 --------------- FOOD PRODUCTS 0.8% General Mills, Inc.+ 16,260 920,316 Campbell Soup Co.+ 19,070 696,055 --------------- TOTAL FOOD PRODUCTS 1,616,371 --------------- PERSONAL PRODUCTS 0.1% Estee Lauder Cos., Inc. -- Class A+ 6,330 255,289 --------------- TOTAL PERSONAL PRODUCTS 255,289 --------------- TOTAL CONSUMER STAPLES 15,185,268 --------------- ENERGY 6.9% OIL & GAS 5.6% Exxon Mobil Corp.+ 71,480 4,796,308 Chevron Corp.+ 20,230 1,312,118 ConocoPhillips 21,686 1,290,968 Occidental Petroleum Corp. 22,700 1,092,097 Valero Energy Corp. 19,020 978,959 Marathon Oil Corp.+ 12,170 935,873 EOG Resources, Inc.+ 11,770 765,638 Hess Corp.+ 14,740 610,531 Consol Energy, Inc. 4,790 151,987 --------------- TOTAL OIL & GAS 11,934,479 --------------- ENERGY EQUIPMENT & SERVICES 1.3% Schlumberger Ltd.+ 18,710 1,160,581 Weatherford International Ltd.* 17,030 710,492 Halliburton Co. 24,760 704,422 Smith International, Inc. 2,610 101,268 Baker Hughes, Inc.+ 590 40,238 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 2,717,001 --------------- TOTAL ENERGY 14,651,480 --------------- See Notes to Financial Statements. 24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- NOVA MASTER PORTFOLIO - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- UTILITIES 2.9% ELECTRIC UTILITIES 1.5% Edison International+ 18,700 $ 778,668 TXU Corp. 11,400 712,728 Allegheny Energy, Inc.* 17,300 694,941 FirstEnergy Corp.+ 8,890 496,595 American Electric Power Co., Inc. 8,370 304,417 PPL Corp. 6,520 214,508 Progress Energy, Inc.+ 160 7,261 --------------- TOTAL ELECTRIC UTILITIES 3,209,118 --------------- MULTI-UTILITIES 1.4% PG&E Corp.+ 19,690 820,088 Sempra Energy+ 15,690 788,422 Xcel Energy, Inc.+ 35,630 735,760 CenterPoint Energy, Inc. 47,350 678,052 --------------- TOTAL MULTI-UTILITIES 3,022,322 --------------- TOTAL UTILITIES 6,231,440 --------------- TELECOMMUNICATION SERVICES 2.7% DIVERSIFIED TELECOMMUNICATION SERVICES 2.3% AT&T, Inc.+ 62,020 2,019,371 Verizon Communications, Inc.+ 20,950 777,873 Embarq Corp. 15,350 742,480 CenturyTel, Inc.+ 17,260 684,704 BellSouth Corp. 8,740 373,635 Qwest Communications International, Inc.*+ 26,980 235,266 --------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 4,833,329 --------------- WIRELESS TELECOMMUNICATION SERVICES 0.4% Alltel Corp.+ 13,600 754,800 Sprint Nextel Corp.+ 2,640 45,276 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 800,076 --------------- TOTAL TELECOMMUNICATION SERVICES 5,633,405 --------------- MATERIALS 1.6% METALS & MINING 0.9% United States Steel Corp.+ 12,040 694,467 Nucor Corp.+ 13,500 668,115 Phelps Dodge Corp. 2,740 232,078 Allegheny Technologies, Inc.+ 2,990 185,948 Newmont Mining Corp.+ 3,860 165,015 --------------- TOTAL METALS & MINING 1,945,623 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CHEMICALS 0.4% Rohm & Haas Co. 15,340 $ 726,349 PPG Industries, Inc. 2,270 152,272 --------------- TOTAL CHEMICALS 878,621 --------------- PAPER & FOREST PRODUCTS 0.3% Louisiana-Pacific Corp. 25,040 470,001 --------------- TOTAL PAPER & FOREST PRODUCTS 470,001 --------------- CONTAINERS & PACKAGING 0.0% Temple-Inland, Inc.+ 720 28,872 --------------- TOTAL CONTAINERS & PACKAGING 28,872 --------------- TOTAL MATERIALS 3,323,117 --------------- TOTAL COMMON STOCKS (Cost $130,620,041) 160,377,326 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 22.7% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 896,838 896,838 4.95% due 10/02/06 13,587,449 13,587,449 4.94% due 10/02/06++ 8,641,006 8,641,006 4.89% due 10/02/06 8,831,842 8,831,842 4.80% due 10/02/06 16,304,939 16,304,939 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $48,262,074) 48,262,074 --------------- SECURITIES LENDING COLLATERAL 20.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 43,523,273 43,523,273 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $43,523,273) 43,523,273 --------------- TOTAL INVESTMENTS 118.5% (Cost $222,405,388) $ 252,162,673 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (18.5)% $ (39,340,963) =============== NET ASSETS - 100.0% $ 212,821,710 ================================================================================ See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- NOVA MASTER PORTFOLIO - -------------------------------------------------------------------------------- UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $43,637,138) 649 $ 642,626 =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENTS December 2006 S&P 500 Index Swap, Maturing 12/12/06** (Notional Market Value $22,642,483) 16,950 66,085 December 2006 S&P 500 Index Swap, Maturing 12/27/06** (Notional Market Value $92,509,121) 69,251 $ (240,501) --------------- (TOTAL NOTIONAL MARKET VALUE $115,151,604) $ (174,416) =============== * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. 26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- S&P 500 FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 31.3% FINANCIALS 7.0% DIVERSIFIED FINANCIALS 1.8% Citigroup, Inc. 1,800 $ 89,406 Bank of America Corp. 1,646 88,176 J.P. Morgan Chase & Co. 1,270 59,639 Moody's Corp. 90 5,884 Chicago Mercantile Exchange Holdings, Inc. 10 4,783 CIT Group, Inc. 70 3,404 --------------- TOTAL DIVERSIFIED FINANCIALS 251,292 --------------- INSURANCE 1.5% American International Group, Inc. 950 62,947 MetLife, Inc. 280 15,870 Allstate Corp. 230 14,428 Prudential Financial, Inc. 180 13,725 St. Paul Travelers Cos., Inc. 250 11,722 Hartford Financial Services Group, Inc. 110 9,542 AFLAC, Inc. 180 8,237 Chubb Corp. 150 7,794 Progressive Corp. 280 6,871 ACE Ltd. 120 6,568 Loews Corp. 170 6,443 Lincoln National Corp. 100 6,208 Genworth Financial, Inc. -- Class A 170 5,952 Marsh & McLennan Cos., Inc. 200 5,630 Principal Financial Group, Inc. 100 5,428 XL Capital Ltd. 70 4,809 Aon Corp. 110 3,726 Ambac Financial Group, Inc. 40 3,310 MBIA, Inc. 50 3,072 Cincinnati Financial Corp. 60 2,884 Torchmark Corp. 40 2,524 SAFECO Corp. 40 2,357 UnumProvident Corp. 120 2,327 --------------- TOTAL INSURANCE 212,374 --------------- BANKS 1.3% Wells Fargo & Co. 1,230 44,502 Wachovia Corp. 580 32,364 U.S. Bancorp 650 21,593 SunTrust Banks, Inc. 130 10,046 BB&T Corp. 200 8,756 National City Corp. 220 8,052 PNC Financial Services Group, Inc. 110 7,968 Fifth Third Bancorp 200 7,616 Regions Financial Corp. 170 6,254 KeyCorp 150 5,616 North Fork Bancorporation, Inc. 170 4,869 Marshall & Ilsley Corp. 90 4,336 M&T Bank Corp. 30 3,599 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Synovus Financial Corp. 120 $ 3,524 AmSouth Bancorp 120 3,485 Comerica, Inc. 60 3,415 Zions Bancorporation 40 3,192 Compass Bancshares, Inc. 50 2,849 Commerce Bancorp, Inc. 70 2,570 Huntington Bancshares, Inc. 90 2,154 First Horizon National Corp. 50 1,901 --------------- TOTAL BANKS 188,661 --------------- CAPITAL MARKETS 1.2% Morgan Stanley 390 28,435 Goldman Sachs Group, Inc. 160 27,067 Merrill Lynch & Co., Inc. 320 25,031 Lehman Brothers Holdings, Inc. 200 14,772 Bank of New York Co., Inc. 280 9,873 State Street Corp. 120 7,488 Charles Schwab Corp. 380 6,802 Franklin Resources, Inc. 60 6,345 Mellon Financial Corp. 150 5,865 Bear Stearns Cos., Inc. 40 5,604 Legg Mason, Inc. 50 5,043 T. Rowe Price Group, Inc. 100 4,785 Ameriprise Financial, Inc. 90 4,221 Northern Trust Corp. 70 4,090 E*Trade Financial Corp.* 160 3,827 Janus Capital Group, Inc. 80 1,578 Federated Investors, Inc. -- Class B 30 1,014 --------------- TOTAL CAPITAL MARKETS 161,840 --------------- THRIFTS & MORTGAGE FINANCE 0.5% Fannie Mae 350 19,568 Freddie Mac 250 16,583 Washington Mutual, Inc. 350 15,215 Golden West Financial Corp. 100 7,725 Countrywide Financial Corp. 220 7,709 Sovereign Bancorp, Inc. 130 2,796 MGIC Investment Corp. 30 1,799 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 71,395 --------------- REAL ESTATE 0.4% Simon Property Group, Inc. 80 7,249 Equity Residential 110 5,564 Equity Office Properties Trust 130 5,169 ProLogis 90 5,135 Vornado Realty Trust 40 4,360 Archstone-Smith Trust 80 4,355 Boston Properties, Inc. 40 4,134 Public Storage, Inc. 40 3,440 KIMCO Realty Corp. 80 3,430 Plum Creek Timber Co., Inc. (REIT) 70 2,383 Apartment Investment & Management Co. -- Class A 40 2,176 Realogy Corp.* 80 1,814 --------------- TOTAL REAL ESTATE 49,209 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 27 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- S&P 500 FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSUMER FINANCE 0.3% American Express Co. 440 $ 24,675 Capital One Financial Corp. 110 8,653 SLM Corp. 150 7,797 --------------- TOTAL CONSUMER FINANCE 41,125 --------------- TOTAL FINANCIALS 975,896 --------------- INFORMATION TECHNOLOGY 4.8% COMPUTERS & PERIPHERALS 1.1% International Business Machines Corp. 550 45,067 Hewlett-Packard Co. 1,000 36,690 Apple Computer, Inc.* 310 23,879 Dell, Inc.* 830 18,957 EMC Corp.* 840 10,063 Sun Microsystems, Inc.* 1,280 6,362 Network Appliance, Inc.* 140 5,181 SanDisk Corp.* 70 3,748 NCR Corp.* 70 2,764 Lexmark International, Inc.* 40 2,306 QLogic Corp.* 60 1,134 --------------- TOTAL COMPUTERS & PERIPHERALS 156,151 --------------- SOFTWARE 1.1% Microsoft Corp. 3,150 86,089 Oracle Corp.* 1,470 26,078 Adobe Systems, Inc.* 210 7,864 Symantec Corp.* 360 7,661 Electronic Arts, Inc.* 110 6,125 Intuit, Inc.* 120 3,851 CA, Inc. 150 3,554 Autodesk, Inc.* 80 2,782 Citrix Systems, Inc.* 70 2,535 BMC Software, Inc.* 70 1,905 Compuware Corp.* 140 1,091 Novell, Inc.* 120 734 Parametric Technology Corp.* 40 698 --------------- TOTAL SOFTWARE 150,967 --------------- COMMUNICATIONS EQUIPMENT 0.9% Cisco Systems, Inc.* 2,230 51,290 Motorola, Inc. 890 22,250 Qualcomm, Inc. 600 21,810 Corning, Inc.* 570 13,914 Lucent Technologies, Inc.* 1,630 3,814 Juniper Networks, Inc.* 210 3,629 Avaya, Inc.* 170 1,945 Tellabs, Inc.* 160 1,753 Comverse Technology, Inc.* 70 1,501 JDS Uniphase Corp.* 610 1,336 Ciena Corp.* 31 856 ADC Telecommunications, Inc.* 40 600 --------------- TOTAL COMMUNICATIONS EQUIPMENT 124,698 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.9% Intel Corp. 2,100 $ 43,197 Texas Instruments, Inc. 560 18,620 Applied Materials, Inc. 510 9,042 Freescale Semiconductor, Inc. -- Class B* 150 5,702 Broadcom Corp. -- Class A* 170 5,158 Micron Technology, Inc.* 270 4,698 Advanced Micro Devices, Inc.* 180 4,473 Nvidia Corp.* 130 3,847 Analog Devices, Inc. 130 3,821 Linear Technology Corp. 110 3,423 Maxim Integrated Products, Inc. 120 3,369 KLA-Tencor Corp. 70 3,113 Xilinx, Inc. 120 2,634 National Semiconductor Corp. 110 2,588 Altera Corp.* 130 2,389 LSI Logic Corp.* 150 1,233 Novellus Systems, Inc.* 40 1,106 Teradyne, Inc.* 70 921 PMC - Sierra, Inc.* 80 475 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 119,809 --------------- INTERNET SOFTWARE & SERVICES 0.4% Google, Inc. -- Class A* 80 32,152 eBay, Inc.* 430 12,195 Yahoo!, Inc.* 450 11,376 VeriSign, Inc.* 90 1,818 --------------- TOTAL INTERNET SOFTWARE & SERVICES 57,541 --------------- IT CONSULTING & SERVICES 0.3% First Data Corp. 280 11,760 Automatic Data Processing, Inc. 200 9,468 Electronic Data Systems Corp. 190 4,659 Paychex, Inc. 120 4,422 Computer Sciences Corp.* 60 2,947 Fiserv, Inc.* 60 2,825 Affiliated Computer Services, Inc. -- Class A* 40 2,074 Sabre Holdings Corp. 50 1,170 Convergys Corp.* 50 1,033 Unisys Corp.* 130 736 --------------- TOTAL IT CONSULTING & SERVICES 41,094 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.1% Agilent Technologies, Inc.* 150 4,903 Jabil Circuit, Inc. 70 2,000 Molex, Inc. 50 1,949 Symbol Technologies, Inc. 90 1,337 Solectron Corp.* 330 1,076 Tektronix, Inc. 30 868 Sanmina-SCI Corp.* 190 711 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 12,844 --------------- See Notes to Financial Statements. 28 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- S&P 500 FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- OFFICE ELECTRONICS 0.0% Xerox Corp.* 360 $ 5,602 --------------- TOTAL OFFICE ELECTRONICS 5,602 --------------- TOTAL INFORMATION TECHNOLOGY 668,706 --------------- HEALTH CARE 4.0% PHARMACEUTICALS 2.1% Pfizer, Inc. 2,656 75,324 Johnson & Johnson, Inc. 1,070 69,486 Merck & Co., Inc. 790 33,101 Abbott Laboratories 560 27,194 Wyeth 490 24,912 Eli Lilly & Co. 360 20,520 Bristol-Myers Squibb Co. 720 17,942 Schering-Plough Corp. 540 11,929 Forest Laboratories, Inc.* 120 6,073 Allergan, Inc. 50 5,630 Barr Pharmaceuticals, Inc.* 40 2,078 Mylan Laboratories, Inc. 80 1,610 King Pharmaceuticals, Inc.* 90 1,533 Watson Pharmaceuticals, Inc.* 40 1,047 --------------- TOTAL PHARMACEUTICALS 298,379 --------------- HEALTH CARE PROVIDERS & SERVICES 0.9% UnitedHealth Group, Inc. 490 24,108 WellPoint, Inc.* 230 17,721 Cardinal Health, Inc. 150 9,861 Caremark Rx, Inc. 160 9,067 Aetna, Inc. 200 7,910 HCA, Inc. 150 7,483 Medco Health Solutions, Inc.* 110 6,612 McKesson Corp. 110 5,799 CIGNA Corp. 40 4,653 Humana, Inc.* 60 3,965 Express Scripts, Inc.* 50 3,775 Quest Diagnostics, Inc. 60 3,670 Laboratory Corporation of America Holdings* 50 3,279 AmerisourceBergen Corp. 70 3,164 Coventry Health Care, Inc.* 60 3,091 Health Management Associates, Inc. -- Class A 90 1,881 IMS Health, Inc. 70 1,865 Patterson Cos., Inc.* 50 1,681 Manor Care, Inc. 30 1,568 Tenet Healthcare Corp.* 170 1,384 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 122,537 --------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.6% Medtronic, Inc. 420 19,505 Baxter International, Inc. 240 10,910 Becton, Dickinson & Co. 90 6,360 Boston Scientific Corp.* 430 6,360 Zimmer Holdings, Inc.* 90 6,075 Stryker Corp. 110 5,455 St. Jude Medical, Inc.* 130 4,588 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Fisher Scientific International, Inc.* 50 $ 3,912 C.R. Bard, Inc. 40 3,000 Biomet, Inc. 90 2,897 Thermo Electron Corp.* 60 2,360 Hospira, Inc.* 60 2,296 Waters Corp.* 40 1,811 Millipore Corp.* 20 1,226 Bausch & Lomb, Inc. 20 1,003 PerkinElmer, Inc. 50 946 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 78,704 --------------- BIOTECHNOLOGY 0.4% Amgen, Inc.* 430 30,758 Gilead Sciences, Inc.* 170 11,679 Genzyme Corp.* 100 6,747 Biogen Idec, Inc.* 130 5,808 Medimmune, Inc.* 90 2,629 Applera Corp. - Applied Biosystems Group 70 2,318 --------------- TOTAL BIOTECHNOLOGY 59,939 --------------- TOTAL HEALTH CARE 559,559 --------------- INDUSTRIALS 3.4% INDUSTRIAL CONGLOMERATES 1.3% General Electric Co. 3,760 132,728 Tyco International Ltd. 730 20,433 3M Co. 270 20,093 Textron, Inc. 50 4,375 --------------- TOTAL INDUSTRIAL CONGLOMERATES 177,629 --------------- AEROSPACE & DEFENSE 0.8% United Technologies Corp. 370 23,439 Boeing Co. 290 22,867 Honeywell International, Inc. 300 12,270 Lockheed Martin Corp. 130 11,188 General Dynamics Corp. 150 10,751 Northrop Grumman Corp. 130 8,849 Raytheon Co. 160 7,682 Rockwell Collins, Inc. 60 3,290 L-3 Communications Holdings, Inc. 40 3,133 Goodrich Corp. 50 2,026 --------------- TOTAL AEROSPACE & DEFENSE 105,495 --------------- MACHINERY 0.5% Caterpillar, Inc. 240 15,792 Illinois Tool Works, Inc. 150 6,735 Deere & Co. 80 6,713 Danaher Corp. 90 6,180 Paccar, Inc. 90 5,132 Ingersoll-Rand Co. -- Class A 120 4,558 ITT Industries, Inc. 70 3,589 Eaton Corp. 50 3,442 Dover Corp. 70 3,321 Parker Hannifin Corp. 40 3,109 Cummins, Inc. 20 2,385 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 29 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- S&P 500 FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Pall Corp. 50 $ 1,540 Navistar International Corp.* 20 516 --------------- TOTAL MACHINERY 63,012 --------------- AIR FREIGHT & COURIERS 0.3% United Parcel Service, Inc. -- Class B 390 28,056 FedEx Corp. 110 11,955 --------------- TOTAL AIR FREIGHT & COURIERS 40,011 --------------- ROAD & RAIL 0.2% Burlington Northern Santa Fe Corp. 130 9,547 Union Pacific Corp. 100 8,800 Norfolk Southern Corp. 150 6,607 CSX Corp. 160 5,253 Ryder System, Inc. 20 1,034 --------------- TOTAL ROAD & RAIL 31,241 --------------- COMMERCIAL SERVICES & SUPPLIES 0.2% Waste Management, Inc. 200 7,336 Pitney Bowes, Inc. 80 3,550 RR Donnelley & Sons Co. 80 2,637 Cintas Corp. 50 2,041 Robert Half International, Inc. 60 2,038 Equifax, Inc. 50 1,836 Monster Worldwide, Inc.* 50 1,810 Avery Dennison Corp. 30 1,805 Allied Waste Industries, Inc.* 90 1,014 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 24,067 --------------- ELECTRICAL EQUIPMENT 0.1% Emerson Electric Co. 150 12,579 Rockwell Automation, Inc. 60 3,486 Cooper Industries Ltd. -- Class A 30 2,556 American Power Conversion Corp. 60 1,318 --------------- TOTAL ELECTRICAL EQUIPMENT 19,939 --------------- BUILDING PRODUCTS 0.0% Masco Corp. 150 4,113 American Standard Cos., Inc. 60 2,518 --------------- TOTAL BUILDING PRODUCTS 6,631 --------------- AIRLINES 0.0% Southwest Airlines Co. 290 4,831 --------------- TOTAL AIRLINES 4,831 --------------- CONSTRUCTION & ENGINEERING 0.0% Fluor Corp. 30 2,307 --------------- TOTAL CONSTRUCTION & ENGINEERING 2,307 --------------- TRADING COMPANIES & DISTRIBUTORS 0.0% W.W. Grainger, Inc. 30 2,011 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 2,011 --------------- TOTAL INDUSTRIALS 477,174 --------------- CONSUMER DISCRETIONARY 3.1% MEDIA 1.1% Comcast Corp. -- Class A* 760 28,006 Time Warner, Inc. 1,480 26,980 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Walt Disney Co. 760 $ 23,491 News Corp. -- Class A 850 16,702 Viacom, Inc. -- Class B* 260 9,667 CBS Corp. 280 7,888 McGraw-Hill Cos., Inc. 130 7,544 Omnicom Group, Inc. 60 5,616 Clear Channel Communications, Inc. 180 5,193 Gannett Co., Inc. 90 5,115 Univision Communications, Inc. -- Class A* 90 3,091 Tribune Co. 70 2,290 Interpublic Group of Cos., Inc.* 160 1,584 EW Scripps Co. -- Class A 30 1,438 New York Times Co. -- Class A 50 1,149 Dow Jones & Co., Inc. 20 671 Meredith Corp. 10 493 --------------- TOTAL MEDIA 146,918 --------------- SPECIALTY RETAIL 0.6% Home Depot, Inc. 750 27,202 Lowe's Cos., Inc. 560 15,714 Best Buy Co., Inc. 150 8,034 Staples, Inc. 260 6,326 TJX Cos., Inc. 160 4,485 Office Depot, Inc.* 100 3,970 Bed Bath & Beyond, Inc.* 100 3,826 The Gap, Inc. 200 3,790 Limited Brands, Inc. 120 3,179 Sherwin-Williams Co. 40 2,231 AutoZone, Inc.* 20 2,066 Tiffany & Co. 50 1,660 Circuit City Stores, Inc. 50 1,255 AutoNation, Inc.* 60 1,254 OfficeMax, Inc. 30 1,222 RadioShack Corp. 50 965 --------------- TOTAL SPECIALTY RETAIL 87,179 --------------- HOTELS, RESTAURANTS & LEISURE 0.5% McDonald's Corp. 450 17,604 Starbucks Corp.* 280 9,534 Carnival Corp. 160 7,525 Yum! Brands, Inc. 100 5,205 Marriott International, Inc. -- Class A 130 5,023 International Game Technology, Inc. 120 4,980 Harrah's Entertainment, Inc. 70 4,650 Starwood Hotels & Resorts Worldwide, Inc. 80 4,575 Hilton Hotels Corp. 140 3,899 Wendy's International, Inc. 40 2,680 Darden Restaurants, Inc. 50 2,124 Wyndham Worldwide Corp.* 70 1,958 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 69,757 --------------- See Notes to Financial Statements. 30 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- S&P 500 FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MULTILINE RETAIL 0.4% Target Corp. 310 $ 17,128 Federated Department Stores, Inc. 200 8,642 Kohl's Corp.* 120 7,790 J.C. Penney Holding Co., Inc. 80 5,471 Sears Holdings Corp.* 30 4,743 Nordstrom, Inc. 80 3,384 Family Dollar Stores, Inc. 60 1,754 Dollar General Corp. 110 1,499 Big Lots, Inc.* 40 792 Dillard's, Inc. -- Class A 20 655 --------------- TOTAL MULTILINE RETAIL 51,858 --------------- HOUSEHOLD DURABLES 0.2% Fortune Brands, Inc. 60 4,507 Newell Rubbermaid, Inc. 100 2,832 Pulte Homes, Inc. 80 2,549 Whirlpool Corp. 30 2,523 D.R. Horton, Inc. 100 2,395 Black & Decker Corp. 30 2,380 Lennar Corp. -- Class A 50 2,262 Centex Corp. 40 2,105 Leggett & Platt, Inc. 70 1,752 Harman International Industries, Inc. 20 1,669 Stanley Works 30 1,496 KB HOME 30 1,314 Snap-On, Inc. 20 891 --------------- TOTAL HOUSEHOLD DURABLES 28,675 --------------- AUTOMOBILES 0.1% General Motors Corp. 210 6,985 Harley-Davidson, Inc. 100 6,275 Ford Motor Co. 690 5,582 --------------- TOTAL AUTOMOBILES 18,842 --------------- TEXTILES & APPAREL 0.1% Nike, Inc. -- Class B 70 6,133 Coach, Inc.* 130 4,472 VF Corp. 30 2,189 Liz Claiborne, Inc. 40 1,580 Jones Apparel Group, Inc. 40 1,298 --------------- TOTAL TEXTILES & APPAREL 15,672 --------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Mattel, Inc. 140 2,758 Eastman Kodak Co. 100 2,240 Hasbro, Inc. 60 1,365 Brunswick Corp. 30 936 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 7,299 --------------- AUTO COMPONENTS 0.0% Johnson Controls, Inc. 70 5,022 Goodyear Tire & Rubber Co.* 60 870 --------------- TOTAL AUTO COMPONENTS 5,892 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES 0.0% H&R Block, Inc. 120 $ 2,609 Apollo Group, Inc. -- Class A* 50 2,462 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 5,071 --------------- INTERNET & CATALOG RETAIL 0.0% Amazon.com, Inc.* 110 3,533 --------------- TOTAL INTERNET & CATALOG RETAIL 3,533 --------------- DISTRIBUTORS 0.0% Genuine Parts Co. 60 2,588 --------------- TOTAL DISTRIBUTORS 2,588 --------------- TOTAL CONSUMER DISCRETIONARY 443,284 --------------- CONSUMER STAPLES 3.0% FOOD & DRUG RETAILING 0.7% Wal-Mart Stores, Inc. 900 44,388 Walgreen Co. 370 16,424 CVS Corp. 300 9,636 Costco Wholesale Corp. 170 8,446 Sysco Corp. 230 7,693 Kroger Co. 260 6,016 Safeway, Inc. 160 4,856 Whole Foods Market, Inc. 50 2,972 Supervalu, Inc. 80 2,372 --------------- TOTAL FOOD & DRUG RETAILING 102,803 --------------- HOUSEHOLD PRODUCTS 0.7% Procter & Gamble Co. 1,160 71,897 Colgate-Palmolive Co. 190 11,799 Kimberly-Clark Corp. 170 11,111 Clorox Co. 60 3,780 --------------- TOTAL HOUSEHOLD PRODUCTS 98,587 --------------- BEVERAGES 0.7% PepsiCo, Inc. 600 39,156 Coca-Cola Co. 740 33,063 Anheuser-Busch Cos., Inc. 280 13,303 Constellation Brands, Inc. -- Class A* 80 2,302 Brown-Forman Corp. -- Class B 30 2,300 Coca-Cola Enterprises, Inc. 100 2,083 Pepsi Bottling Group, Inc. 50 1,775 Molson Coors Brewing Co. -- Class B 20 1,378 --------------- TOTAL BEVERAGES 95,360 --------------- TOBACCO 0.5% Altria Group, Inc. 760 58,178 Reynolds American, Inc. 60 3,718 UST, Inc. 60 3,290 --------------- TOTAL TOBACCO 65,186 --------------- FOOD PRODUCTS 0.3% Archer-Daniels-Midland Co. 240 9,091 General Mills, Inc. 130 7,358 H.J. Heinz Co. 120 5,031 ConAgra Foods, Inc. 190 4,651 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 31 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- S&P 500 FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Sara Lee Corp. 280 $ 4,500 Kellogg Co. 90 4,457 WM Wrigley Jr Co. 80 3,685 Hershey Co. 60 3,207 Campbell Soup Co. 80 2,920 Dean Foods Co.* 50 2,101 McCormick & Co., Inc. 50 1,899 Tyson Foods, Inc. -- Class A 90 1,429 --------------- TOTAL FOOD PRODUCTS 50,329 --------------- PERSONAL PRODUCTS 0.1% Avon Products, Inc. 160 4,906 Estee Lauder Cos., Inc. -- Class A 50 2,016 Alberto-Culver Co. -- Class B 30 1,518 --------------- TOTAL PERSONAL PRODUCTS 8,440 --------------- TOTAL CONSUMER STAPLES 420,705 --------------- ENERGY 2.9% OIL & GAS 2.4% Exxon Mobil Corp. 2,170 145,607 Chevron Corp. 800 51,888 ConocoPhillips 600 35,718 Occidental Petroleum Corp. 310 14,914 Valero Energy Corp. 220 11,323 Devon Energy Corp. 160 10,104 Marathon Oil Corp. 130 9,997 Apache Corp. 120 7,584 Anadarko Petroleum Corp. 170 7,451 EOG Resources, Inc. 90 5,855 XTO Energy, Inc. 130 5,477 Williams Cos., Inc. 220 5,251 Kinder Morgan, Inc. 40 4,194 Chesapeake Energy Corp. 140 4,057 Hess Corp. 90 3,728 El Paso Corp. 250 3,410 Murphy Oil Corp. 70 3,329 Sunoco, Inc. 50 3,110 Consol Energy, Inc. 70 2,221 --------------- TOTAL OIL & GAS 335,218 --------------- ENERGY EQUIPMENT & SERVICES 0.5% Schlumberger Ltd. 430 26,673 Halliburton Co. 380 10,811 Baker Hughes, Inc. 120 8,184 Transocean, Inc.* 110 8,055 Weatherford International Ltd.* 130 5,424 Nabors Industries Ltd.* 120 3,570 National-Oilwell Varco, Inc.* 60 3,513 BJ Services Co. 110 3,314 Noble Corp. 50 3,209 Smith International, Inc. 70 2,716 Rowan Cos., Inc. 40 1,265 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 76,734 --------------- TOTAL ENERGY 411,952 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 1.1% DIVERSIFIED TELECOMMUNICATION SERVICES 0.9% AT&T, Inc. 1,420 $ 46,235 Verizon Communications, Inc. 1,060 39,358 BellSouth Corp. 660 28,215 Qwest Communications International, Inc.* 580 5,058 Embarq Corp. 50 2,418 Windstream Corp. 169 2,229 Citizens Communications Co. 120 1,685 CenturyTel, Inc. 40 1,587 --------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 126,785 --------------- WIRELESS TELECOMMUNICATION SERVICES 0.2% Sprint Nextel Corp. 1,090 18,693 Alltel Corp. 140 7,770 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 26,463 --------------- TOTAL TELECOMMUNICATION SERVICES 153,248 --------------- UTILITIES 1.1% ELECTRIC UTILITIES 0.6% Exelon Corp. 240 14,530 TXU Corp. 170 10,629 Southern Co. 270 9,304 FPL Group, Inc. 150 6,750 FirstEnergy Corp. 120 6,703 Entergy Corp. 80 6,258 American Electric Power Co., Inc. 140 5,092 Edison International 120 4,997 PPL Corp. 140 4,606 Progress Energy, Inc. 90 4,084 Allegheny Energy, Inc.* 60 2,410 Pinnacle West Capital Corp. 40 1,802 --------------- TOTAL ELECTRIC UTILITIES 77,165 --------------- MULTI-UTILITIES 0.5% Duke Energy Corp. 460 13,892 Dominion Resources, Inc. 130 9,944 Public Service Enterprise Group, Inc. 90 5,507 PG&E Corp. 130 5,414 Sempra Energy 100 5,025 AES Corp.* 240 4,894 Ameren Corp. 80 4,223 Consolidated Edison, Inc. 90 4,158 Constellation Energy Group, Inc. 70 4,144 Xcel Energy, Inc. 150 3,097 DTE Energy Co. 60 2,491 KeySpan Corp. 60 2,468 NiSource, Inc. 100 2,174 CenterPoint Energy, Inc. 110 1,575 TECO Energy, Inc. 80 1,252 CMS Energy Corp.* 80 1,155 Dynegy, Inc. -- Class A* 140 776 --------------- TOTAL MULTI-UTILITIES 72,189 --------------- See Notes to Financial Statements. 32 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- S&P 500 FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- GAS UTILITIES 0.0% Nicor, Inc. 20 $ 855 Peoples Energy Corp. 10 407 --------------- TOTAL GAS UTILITIES 1,262 --------------- TOTAL UTILITIES 150,616 --------------- MATERIALS 0.9% CHEMICALS 0.5% E.I. du Pont de Nemours and Co. 340 14,566 Dow Chemical Co. 350 13,643 Monsanto Co. 200 9,402 Praxair, Inc. 120 7,099 Air Products & Chemicals, Inc. 80 5,310 PPG Industries, Inc. 60 4,025 Ecolab, Inc. 70 2,997 Rohm & Haas Co. 50 2,367 Eastman Chemical Co. 30 1,621 Sigma-Aldrich Corp. 20 1,513 Ashland, Inc. 20 1,276 International Flavors & Fragrances, Inc. 30 1,186 Hercules, Inc.* 40 631 --------------- TOTAL CHEMICALS 65,636 --------------- METALS & MINING 0.2% Alcoa, Inc. 320 8,973 Newmont Mining Corp. 160 6,840 Phelps Dodge Corp. 70 5,929 Nucor Corp. 110 5,444 Freeport-McMoRan Copper & Gold, Inc. -- Class B 70 3,728 Allegheny Technologies, Inc. 40 2,488 United States Steel Corp. 40 2,307 --------------- TOTAL METALS & MINING 35,709 --------------- PAPER & FOREST PRODUCTS 0.1% International Paper Co. 170 5,887 Weyerhaeuser Co. 90 5,537 MeadWestvaco Corp. 70 1,856 Louisiana-Pacific Corp. 40 751 --------------- TOTAL PAPER & FOREST PRODUCTS 14,031 --------------- CONTAINERS & PACKAGING 0.1% Sealed Air Corp. 30 1,624 Ball Corp. 40 1,618 Temple-Inland, Inc. 40 1,604 Pactiv Corp.* 50 1,421 Bemis Co. 40 1,314 --------------- TOTAL CONTAINERS & PACKAGING 7,581 --------------- CONSTRUCTION MATERIALS 0.0% Vulcan Materials Co. 40 3,130 --------------- TOTAL CONSTRUCTION MATERIALS 3,130 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TOTAL MATERIALS $ 126,087 --------------- TOTAL COMMON STOCKS (Cost $4,173,098) 4,387,227 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 54.1% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 160,641 160,641 4.95% due 10/02/06 2,433,771 2,433,771 4.94% due 10/02/06+ 472,943 472,943 4.89% due 10/02/06 1,581,951 1,581,951 4.80% due 10/02/06 2,920,525 2,920,525 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $7,569,831) 7,569,831 --------------- TOTAL INVESTMENTS 85.4% (Cost $11,742,929) $ 11,957,058 =============== OTHER ASSETS IN EXCESS OF LIABILITIES - 14.6% $ 2,048,129 =============== NET ASSETS - 100.0% $ 14,005,187 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $2,353,313) 35 $ 31,334 =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENTS December 2006 S&P 500 Index Swap, Maturing 12/12/06** (Notional Market Value $2,368,754) 1,773 $ 24,034 December 2006 S&P 500 Index Swap, Maturing 12/27/06** (Notional Market Value $4,947,213) 3,703 (12,862) --------------- (TOTAL NOTIONAL MARKET VALUE $7,315,967) $ 11,172 =============== * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 33 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- INVERSE S&P 500 MASTER PORTFOLIO - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 57.1% Farmer Mac* 5.25% due 10/13/06 $ 25,000,000 $ 24,959,896 Federal Farm Credit Bank* 5.05% due 10/25/06 50,000,000 49,837,722 Federal Home Loan Bank* 5.15% due 10/13/06 25,000,000 24,960,698 Freddie Mac* 5.00% due 10/10/06 50,000,000 49,944,500 5.00% due 11/14/06 50,000,000 49,701,389 5.09% due 12/01/06 50,000,000 49,575,833 5.14% due 01/04/07 50,000,000 49,328,945 --------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $298,308,983) 298,308,983 --------------- REPURCHASE AGREEMENTS 43.4% Repurchase Agreement (Note 6) 5.00% due 10/02/06+ 50,421,902 50,421,902 4.95% due 10/02/06 57,146,590 57,146,590 4.94% due 10/02/06+ 13,276,484 13,276,484 4.89% due 10/02/06 37,145,284 37,145,284 4.80% due 10/02/06 68,575,908 68,575,908 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $226,566,168) 226,566,168 --------------- TOTAL INVESTMENTS 100.5% (Cost $524,875,151) $ 524,875,151 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)% $ (2,677,940) =============== NET ASSETS - 100.0% $ 522,197,211 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT December 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $38,056,425) 566 $ (849,310) =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENTS SOLD SHORT December 2006 S&P 500 Index Swap, Maturing 12/12/06** (Notional Market Value $410,696,844) 307,442 $ (4,575,121) December 2006 S&P 500 Index Swap, Maturing 12/27/06** (Notional Market Value $72,420,457) 54,213 179,521 --------------- (TOTAL NOTIONAL MARKET VALUE $483,117,301) $ (4,395,600) =============== * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. ** PRICE RETURN BASED ON S&P 500 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. 34 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- OTC FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 94.7% INFORMATION TECHNOLOGY 59.3% SOFTWARE 15.0% Microsoft Corp.+ 1,616,382 $ 44,175,720 Oracle Corp.* 1,124,950 19,956,613 Adobe Systems, Inc.*+ 273,340 10,236,583 Symantec Corp.*+ 411,280 8,752,038 Intuit, Inc.* 243,300 7,807,497 Electronic Arts, Inc.*+ 86,723 4,828,737 Citrix Systems, Inc.*+ 130,920 4,740,613 Autodesk, Inc.*+ 126,228 4,390,210 BEA Systems, Inc.*+ 253,280 3,849,856 Red Hat, Inc.*+ 108,698 2,291,354 Check Point Software Technologies Ltd.*+ 119,340 2,273,427 --------------- TOTAL SOFTWARE 113,302,648 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 10.9% Intel Corp.+ 963,340 19,815,904 Altera Corp.*+ 524,092 9,632,811 Applied Materials, Inc. 513,140 9,097,972 Broadcom Corp. -- Class A*+ 219,300 6,653,562 Lam Research Corp.*+ 132,188 5,992,082 Maxim Integrated Products, Inc.+ 208,950 5,865,226 Xilinx, Inc. 262,820 5,768,899 Nvidia Corp.*+ 182,480 5,399,583 Marvell Technology Group Ltd.*+ 274,250 5,312,223 Linear Technology Corp.+ 152,616 4,749,410 Microchip Technology, Inc. 122,919 3,985,034 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 82,272,706 --------------- COMMUNICATIONS EQUIPMENT 10.4% Qualcomm, Inc. 1,035,140 37,627,339 Cisco Systems, Inc.*+ 1,141,440 26,253,120 Research In Motion Ltd.*+ 35,100 3,603,366 Juniper Networks, Inc.*+ 151,020 2,609,626 Tellabs, Inc.* 235,550 2,581,628 JDS Uniphase Corp.*+ 915,050 2,003,959 Telefonaktiebolaget LM Ericsson -- SP ADR+ 53,800 1,853,410 Comverse Technology, Inc.* 82,830 1,775,875 --------------- TOTAL COMMUNICATIONS EQUIPMENT 78,308,323 --------------- COMPUTERS & PERIPHERALS 9.6% Apple Computer, Inc.*+ 604,690 46,579,271 Dell, Inc.*+ 417,760 9,541,638 Network Appliance, Inc.*+ 233,540 8,643,315 SanDisk Corp.*+ 89,540 4,793,972 Sun Microsystems, Inc.* 493,940 2,454,882 --------------- TOTAL COMPUTERS & PERIPHERALS 72,013,078 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES 8.4% Google, Inc. -- Class A*+ 65,930 $ 26,497,267 eBay, Inc.*+ 494,120 14,013,243 VeriSign, Inc.*+ 523,160 10,567,832 Yahoo!, Inc.*+ 271,830 6,871,862 Akamai Technologies, Inc.*+ 99,324 4,965,207 --------------- TOTAL INTERNET SOFTWARE & SERVICES 62,915,411 --------------- IT CONSULTING & SERVICES 3.5% Fiserv, Inc.* 291,173 13,711,337 Cognizant Technology Solutions Corp. -- Class A* 61,400 4,547,284 CheckFree Corp.*+ 104,007 4,297,569 Paychex, Inc. 101,600 3,743,960 --------------- TOTAL IT CONSULTING & SERVICES 26,300,150 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.5% CDW Corp.+ 182,156 11,235,382 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 11,235,382 --------------- TOTAL INFORMATION TECHNOLOGY 446,347,698 --------------- CONSUMER DISCRETIONARY 15.0% MEDIA 5.0% Comcast Corp. -- Class A*+ 513,790 18,933,161 EchoStar Communications Corp.* 189,852 6,215,754 Sirius Satellite Radio, Inc.*+ 1,241,458 4,854,101 Lamar Advertising Co. -- Class A*+ 69,250 3,698,643 Liberty Global, Inc. -- Class A*+ 55,730 1,434,490 NTL, Inc. 55,730 1,417,214 XM Satellite Radio Holdings, Inc.* 68,920 888,379 --------------- TOTAL MEDIA 37,441,742 --------------- HOTELS, RESTAURANTS & LEISURE 3.0% Starbucks Corp.*+ 554,180 18,869,829 Wynn Resorts Ltd.*+ 54,740 3,722,868 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 22,592,697 --------------- SPECIALTY RETAIL 2.5% Bed Bath & Beyond, Inc.* 192,030 7,347,068 Staples, Inc. 201,390 4,899,819 Ross Stores, Inc.+ 160,202 4,070,733 Urban Outfitters, Inc.*+ 77,470 1,370,444 Petsmart, Inc.+ 32,230 894,382 --------------- TOTAL SPECIALTY RETAIL 18,582,446 --------------- MULTILINE RETAIL 1.7% Sears Holdings Corp.*+ 83,020 13,124,632 --------------- TOTAL MULTILINE RETAIL 13,124,632 --------------- INTERNET & CATALOG RETAIL 1.5% Amazon.com, Inc.*+ 136,470 4,383,416 IAC/InterActiveCorp*+ 132,500 3,810,700 Expedia, Inc.*+ 202,770 3,179,434 --------------- TOTAL INTERNET & CATALOG RETAIL 11,373,550 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 35 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- OTC FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- HOUSEHOLD DURABLES 0.7% Garmin Ltd.+ 109,271 $ 5,330,239 --------------- TOTAL HOUSEHOLD DURABLES 5,330,239 --------------- COMMERCIAL SERVICES & SUPPLIES 0.6% Apollo Group, Inc. -- Class A*+ 88,660 4,365,618 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 4,365,618 --------------- TOTAL CONSUMER DISCRETIONARY 112,810,924 --------------- HEALTH CARE 13.5% BIOTECHNOLOGY 9.3% Amgen, Inc.*+ 338,483 24,211,689 Gilead Sciences, Inc.*+ 239,554 16,457,360 Genzyme Corp.*+ 159,430 10,756,742 Celgene Corp.*+ 184,896 8,005,997 Biogen Idec, Inc.*+ 172,140 7,691,215 Amylin Pharmaceuticals, Inc.*+ 58,860 2,593,960 Medimmune, Inc.*+ 2,250 65,723 --------------- TOTAL BIOTECHNOLOGY 69,782,686 --------------- PHARMACEUTICALS 1.8% Teva Pharmaceutical Industries Ltd. -- SP ADR+ 317,910 10,837,552 Sepracor, Inc.*+ 51,760 2,507,254 --------------- TOTAL PHARMACEUTICALS 13,344,806 --------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.3% Biomet, Inc. 175,896 5,662,092 Intuitive Surgical, Inc.*+ 18,650 1,966,643 DENTSPLY International, Inc.+ 61,440 1,849,958 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 9,478,693 --------------- HEALTH CARE PROVIDERS & SERVICES 1.1% Express Scripts, Inc.* 63,710 4,809,468 Patterson Cos., Inc.*+ 73,359 2,465,596 Lincare Holdings, Inc.*+ 41,020 1,420,933 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 8,695,997 --------------- TOTAL HEALTH CARE 101,302,182 --------------- INDUSTRIALS 4.1% MACHINERY 1.4% Paccar, Inc. 144,250 8,225,135 Joy Global, Inc. 59,270 2,229,145 --------------- TOTAL MACHINERY 10,454,280 --------------- AIR FREIGHT & COURIERS 1.1% Expeditors International Washington, Inc.+ 105,600 4,707,648 CH Robinson Worldwide, Inc.+ 84,930 3,786,179 --------------- TOTAL AIR FREIGHT & COURIERS 8,493,827 --------------- COMMERCIAL SERVICES & SUPPLIES 0.9% Cintas Corp. 100,070 4,085,858 Monster Worldwide, Inc.* 68,630 2,483,720 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 6,569,578 --------------- TRADING COMPANIES & DISTRIBUTORS 0.4% Fastenal Co.+ 75,236 2,901,853 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 2,901,853 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT 0.3% American Power Conversion Corp.+ 102,367 $ 2,247,979 --------------- TOTAL ELECTRICAL EQUIPMENT 2,247,979 --------------- TOTAL INDUSTRIALS 30,667,517 --------------- CONSUMER STAPLES 1.4% FOOD & DRUG RETAILING 1.4% Costco Wholesale Corp.+ 129,842 6,450,550 Whole Foods Market, Inc.+ 65,560 3,896,231 --------------- TOTAL FOOD & DRUG RETAILING 10,346,781 --------------- TOTAL CONSUMER STAPLES 10,346,781 --------------- TELECOMMUNICATION SERVICES 0.9% WIRELESS TELECOMMUNICATION SERVICES 0.9% NII Holdings, Inc. -- Class B*+ 73,500 4,568,760 Millicom International Cellular SA*+ 51,960 2,126,203 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 6,694,963 --------------- TOTAL TELECOMMUNICATION SERVICES 6,694,963 --------------- MATERIALS 0.3% CHEMICALS 0.3% Sigma-Aldrich Corp.+ 28,110 2,127,084 --------------- TOTAL CHEMICALS 2,127,084 --------------- TOTAL MATERIALS 2,127,084 --------------- ENERGY 0.2% ENERGY EQUIPMENT & SERVICES 0.2% Patterson-UTI Energy, Inc.+ 82,410 1,958,062 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,958,062 --------------- TOTAL ENERGY 1,958,062 --------------- TOTAL COMMON STOCKS (Cost $439,963,057) 712,255,211 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 5.4% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 908,300 908,300 4.95% due 10/02/06 13,761,105 13,761,105 4.94% due 10/02/06++ 654,864 654,864 4.89% due 10/02/06 8,944,718 8,944,718 4.80% due 10/02/06 16,513,326 16,513,326 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $40,782,313) 40,782,313 --------------- SECURITIES LENDING COLLATERAL 34.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 256,156,878 256,156,878 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $256,156,878) 256,156,878 --------------- See Notes to Financial Statements. 36 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- OTC FUND - -------------------------------------------------------------------------------- MARKET VALUE (NOTE 1) - -------------------------------------------------------------------------------- TOTAL INVESTMENTS 134.2% (Cost $736,902,248) $ 1,009,194,402 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (34.2)% $ (257,090,444) =============== NET ASSETS - 100.0% $ 752,103,958 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 Nasdaq 100 Index Mini Futures Contracts (Aggregate Market Value of Contracts $33,561,975) 1,005 $ 893,008 =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENTS December 2006 Nasdaq 100 Index Swap, Maturing 12/12/06** (Notional Market Value $ 2,885,139) 1,744 $ 29,524 December 2006 Nasdaq 100 Index Swap, Maturing 12/27/06** (Notional Market Value $4,522,462) 2,734 (21,473) --------------- (TOTAL NOTIONAL MARKET VALUE $7,407,601) $ 8,051 =============== * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 37 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- INVERSE OTC MASTER PORTFOLIO - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 99.0% Repurchase Agreement (Note 6) 5.00% due 10/02/06+ $ 19,022,656 $ 19,022,656 4.95% due 10/02/06 58,204,235 58,204,235 4.94% due 10/02/06+ 9,800,585 9,800,585 4.89% due 10/02/06 37,832,752 37,832,752 4.80% due 10/02/06 69,845,081 69,845,081 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $194,705,309) 194,705,309 --------------- TOTAL INVESTMENTS 99.0% (Cost $194,705,309) $ 194,705,309 =============== OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% $ 1,931,340 =============== NET ASSETS - 100.0% $ 196,636,649 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT December 2006 Nasdaq 100 Index Mini Futures Contracts (Aggregate Market Value of Contracts $10,853,375) 325 $ (512,945) =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENTS SOLD SHORT December 2006 Nasdaq 100 Index Swap, Maturing 12/12/06* (Notional Market Value $127,726,128) 77,216 $ (1,997,643) December 2006 Nasdaq 100 Index Swap, Maturing 12/27/06* (Notional Market Value $58,120,558) 35,137 247,866 --------------- (TOTAL NOTIONAL MARKET VALUE $185,846,686) $ (1,749,777) =============== * PRICE RETURN BASED ON NASDAQ 100 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. 38 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 90.8% FINANCIALS 16.8% INSURANCE 4.9% W.R. Berkley Corp. 12,928 $ 457,522 Old Republic International Corp. 19,085 422,733 HCC Insurance Holdings, Inc. 11,070 363,982 Protective Life Corp. 7,470 341,752 AmerUs Group Co.+ 4,900 333,249 Brown & Brown, Inc. 8,900 271,984 Fidelity National Financial, Inc. 1,670 69,556 Everest Re Group Ltd. 310 30,234 Ohio Casualty Corp.+ 860 22,248 --------------- TOTAL INSURANCE 2,313,260 --------------- REAL ESTATE 4.2% Macerich Co. 5,790 442,125 AMB Property Corp. 7,400 407,814 Rayonier, Inc. 8,540 322,812 Highwoods Properties, Inc. 7,910 294,331 Longview Fibre Co. 12,820 260,502 Hospitality Properties Trust+ 2,510 118,472 Developers Diversified Realty Corp.+ 1,493 83,250 Potlatch Corp. 1,370 50,827 --------------- TOTAL REAL ESTATE 1,980,133 --------------- BANKS 3.1% Colonial BancGroup, Inc. 14,708 360,346 Cullen/Frost Bankers, Inc. 5,580 322,636 Texas Regional Bancshares, Inc. -- Class A 7,360 282,992 Greater Bay Bancorp 9,630 271,662 Wilmington Trust Corp. 5,050 224,977 --------------- TOTAL BANKS 1,462,613 --------------- THRIFTS & MORTGAGE FINANCE 2.1% Radian Group, Inc.+ 6,860 411,600 PMI Group, Inc.+ 8,530 373,699 IndyMac Bancorp, Inc. 4,920 202,507 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 987,806 --------------- CAPITAL MARKETS 1.8% SEI Investments Co. 4,600 258,474 Investors Financial Services Corp. 4,970 214,108 Raymond James Financial, Inc. 7,250 211,990 Waddell & Reed Financial, Inc. -- Class A 3,130 77,467 A.G. Edwards, Inc.+ 1,058 56,370 Eaton Vance Corp. 1,078 31,111 --------------- TOTAL CAPITAL MARKETS 849,520 --------------- DIVERSIFIED FINANCIALS 0.4% Leucadia National Corp. 6,580 172,199 --------------- TOTAL DIVERSIFIED FINANCIALS 172,199 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSUMER FINANCE 0.3% AmeriCredit Corp.*+ 5,220 $ 130,448 --------------- TOTAL CONSUMER FINANCE 130,448 --------------- TOTAL FINANCIALS 7,895,979 --------------- INDUSTRIALS 14.2% COMMERCIAL SERVICES & SUPPLIES 3.7% Manpower, Inc.+ 7,130 436,855 Adesa, Inc.+ 13,490 311,754 Avis Budget Group, Inc. 15,190 277,825 Navigant Consulting, Inc.* 12,970 260,178 Korn/Ferry International, Inc.* 12,220 255,887 Deluxe Corp. 8,230 140,733 Stericycle, Inc.* 290 20,239 Dun & Bradstreet Corp.* 260 19,498 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,722,969 --------------- MACHINERY 3.6% Kennametal, Inc. 5,570 315,540 Crane Co. 7,370 308,066 Timken Co.+ 10,070 299,885 Nordson Corp. 6,740 268,656 Graco, Inc.+ 5,650 220,689 Lincoln Electric Holdings, Inc. 2,860 155,727 Joy Global, Inc. 1,890 71,083 AGCO Corp.*+ 2,788 70,676 --------------- TOTAL MACHINERY 1,710,322 --------------- AIR FREIGHT & COURIERS 1.4% CH Robinson Worldwide, Inc.+ 8,210 366,002 Expeditors International Washington, Inc.+ 7,140 318,301 --------------- TOTAL AIR FREIGHT & COURIERS 684,303 --------------- AEROSPACE & DEFENSE 1.1% DRS Technologies, Inc.+ 6,311 275,601 Precision Castparts Corp. 3,910 246,956 --------------- TOTAL AEROSPACE & DEFENSE 522,557 --------------- ELECTRICAL EQUIPMENT 1.1% Thomas & Betts Corp.* 5,660 270,039 Hubbell, Inc. -- Class B 3,714 177,901 Roper Industries, Inc. 1,210 54,135 AMETEK, Inc. 160 6,968 --------------- TOTAL ELECTRICAL EQUIPMENT 509,043 --------------- TRADING COMPANIES & DISTRIBUTORS 0.9% United Rentals, Inc.* 12,280 285,510 MSC Industrial Direct Co. -- Class A 2,450 99,813 GATX Corp. 840 34,751 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 420,074 --------------- CONSTRUCTION & ENGINEERING 0.7% Granite Construction, Inc.+ 4,750 253,412 Quanta Services, Inc.*+ 5,930 99,980 --------------- TOTAL CONSTRUCTION & ENGINEERING 353,392 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 39 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ROAD & RAIL 0.7% Con-way, Inc. 5,690 $ 255,026 J.B. Hunt Transport Services, Inc.+ 4,630 96,165 Swift Transportation Co., Inc.*+ 40 949 --------------- TOTAL ROAD & RAIL 352,140 --------------- INDUSTRIAL CONGLOMERATES 0.5% Carlisle Cos., Inc. 2,580 216,978 --------------- TOTAL INDUSTRIAL CONGLOMERATES 216,978 --------------- AIRLINES 0.3% AirTran Holdings, Inc.* 14,710 145,923 --------------- TOTAL AIRLINES 145,923 --------------- MARINE 0.2% Alexander & Baldwin, Inc.+ 1,760 78,091 --------------- TOTAL MARINE 78,091 --------------- TOTAL INDUSTRIALS 6,715,792 --------------- INFORMATION TECHNOLOGY 13.7% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.3% Lam Research Corp.*+ 10,760 487,751 Intersil Corp. -- Class A+ 14,300 351,065 Cree, Inc.*+ 14,758 296,783 MEMC Electronic Materials, Inc.*+ 6,440 235,897 Microchip Technology, Inc. 2,280 73,918 Atmel Corp.* 10,902 65,848 RF Micro Devices, Inc.* 5,080 38,507 Semtech Corp.* 240 3,062 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1,552,831 --------------- IT CONSULTING & SERVICES 3.2% CheckFree Corp.*+ 9,690 400,391 MoneyGram International, Inc. 10,200 296,412 CSG Systems International, Inc.* 9,930 262,450 Acxiom Corp. 10,390 256,217 Cognizant Technology Solutions Corp. -- Class A* 2,519 186,557 BISYS Group, Inc.* 6,840 74,282 Alliance Data Systems Corp.*+ 600 33,114 --------------- TOTAL IT CONSULTING & SERVICES 1,509,423 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.2% Tech Data Corp.* 8,380 306,121 Vishay Intertechnology, Inc.* 18,690 262,407 Ingram Micro, Inc. -- Class A*+ 13,660 261,726 Plexus Corp.* 10,370 199,104 CDW Corp.+ 310 19,121 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,048,479 --------------- SOFTWARE 2.2% Fair Isaac Corp.+ 8,680 317,427 Transaction Systems Architects, Inc. -- Class A* 7,280 249,850 Advent Software, Inc.* 5,070 183,585 Mentor Graphics Corp.* 10,110 142,349 Synopsys, Inc.*+ 5,540 109,249 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Sybase, Inc.* 1,080 $ 26,179 --------------- TOTAL SOFTWARE 1,028,639 --------------- COMMUNICATIONS EQUIPMENT 1.7% F5 Networks, Inc.* 5,930 318,560 Polycom, Inc.*+ 12,530 307,361 Harris Corp. 3,435 152,823 CommScope, Inc.* 1,600 52,576 --------------- TOTAL COMMUNICATIONS EQUIPMENT 831,320 --------------- COMPUTERS & PERIPHERALS 0.9% Palm, Inc.*+ 17,890 260,478 Western Digital Corp.* 7,420 134,302 Imation Corp. 340 13,651 --------------- TOTAL COMPUTERS & PERIPHERALS 408,431 --------------- OFFICE ELECTRONICS 0.2% Zebra Technologies Corp. -- Class A*+ 2,820 100,787 --------------- TOTAL OFFICE ELECTRONICS 100,787 --------------- TOTAL INFORMATION TECHNOLOGY 6,479,910 --------------- CONSUMER DISCRETIONARY 13.7% SPECIALTY RETAIL 5.9% American Eagle Outfitters, Inc.+ 10,650 466,790 Michaels Stores, Inc. 10,290 448,027 Ross Stores, Inc. 14,340 364,379 AnnTaylor Stores Corp.*+ 8,378 350,703 Payless Shoesource, Inc.* 11,680 290,832 Claire's Stores, Inc. 9,813 286,147 Williams-Sonoma, Inc.+ 8,680 281,145 Rent-A-Center, Inc.* 9,110 266,832 Chico's FAS, Inc.*+ 1,200 25,836 Abercrombie & Fitch Co. -- Class A+ 190 13,201 --------------- TOTAL SPECIALTY RETAIL 2,793,892 --------------- HOTELS, RESTAURANTS & LEISURE 1.6% Bob Evans Farms, Inc. 8,960 271,309 Ruby Tuesday, Inc.+ 9,540 268,933 Scientific Games Corp. -- Class A*+ 7,040 223,872 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 764,114 --------------- HOUSEHOLD DURABLES 1.5% Mohawk Industries, Inc.*+ 5,150 383,417 Furniture Brands International, Inc.+ 13,061 248,681 Tupperware Brands Corp.+ 2,460 47,872 American Greetings Corp. -- Class A+ 290 6,705 --------------- TOTAL HOUSEHOLD DURABLES 686,675 --------------- MEDIA 1.3% Lee Enterprises, Inc.+ 10,320 260,477 Harte-Hanks, Inc. 9,060 238,731 Catalina Marketing Corp. 2,470 67,925 Valassis Communications, Inc.*+ 3,180 56,127 --------------- TOTAL MEDIA 623,260 --------------- See Notes to Financial Statements. 40 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES 1.1% Career Education Corp.* 11,045 $ 248,512 ITT Educational Services, Inc.* 2,723 180,535 Sotheby's Holdings, Inc. -- Class A+ 3,240 104,458 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 533,505 --------------- AUTO COMPONENTS 0.8% BorgWarner, Inc.+ 5,965 341,019 ArvinMeritor, Inc.+ 1,704 24,265 --------------- TOTAL AUTO COMPONENTS 365,284 --------------- TEXTILES & APPAREL 0.6% Timberland Co. -- Class A*+ 7,210 207,432 Hanesbrands, Inc.* 3,500 78,785 --------------- TOTAL TEXTILES & APPAREL 286,217 --------------- MULTILINE RETAIL 0.5% Dollar Tree Stores, Inc.*+ 7,690 238,082 --------------- TOTAL MULTILINE RETAIL 238,082 --------------- INTERNET & CATALOG RETAIL 0.2% Coldwater Creek, Inc.* 2,400 69,024 --------------- TOTAL INTERNET & CATALOG RETAIL 69,024 --------------- AUTOMOBILES 0.1% Thor Industries, Inc.+ 1,370 56,403 --------------- TOTAL AUTOMOBILES 56,403 --------------- LEISURE EQUIPMENT & PRODUCTS 0.1% Callaway Golf Co.+ 2,600 34,086 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 34,086 --------------- TOTAL CONSUMER DISCRETIONARY 6,450,542 --------------- HEALTH CARE 10.0% HEALTH CARE PROVIDERS & SERVICES 4.1% Health Net, Inc.* 9,730 423,450 VCA Antech, Inc.*+ 9,410 339,325 Covance, Inc.* 4,262 282,912 Pharmaceutical Product Development, Inc. 6,850 244,476 Lincare Holdings, Inc.* 5,310 183,938 Omnicare, Inc.+ 4,120 177,531 Community Health Systems, Inc.* 3,746 139,913 Apria Healthcare Group, Inc.* 6,410 126,533 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,918,078 --------------- HEALTH CARE EQUIPMENT & SUPPLIES 3.7% Intuitive Surgical, Inc.* 3,640 383,838 Beckman Coulter, Inc.+ 6,030 347,087 Cytyc Corp.*+ 13,344 326,661 Edwards Lifesciences Corp.* 6,980 325,198 Varian, Inc.* 3,570 163,756 ResMed, Inc.* 3,010 121,152 Varian Medical Systems, Inc.*+ 1,190 63,534 Advanced Medical Optics, Inc.*+ 380 15,029 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,746,255 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- BIOTECHNOLOGY 1.3% Cephalon, Inc.*+ 4,305 $ 265,834 Millennium Pharmaceuticals, Inc.*+ 22,440 223,278 Vertex Pharmaceuticals, Inc.*+ 1,420 47,783 Techne Corp.* 570 28,990 Invitrogen Corp.*+ 380 24,096 Martek Biosciences Corp.*+ 710 15,272 Charles River Laboratories International, Inc.*+ 90 3,907 --------------- TOTAL BIOTECHNOLOGY 609,160 --------------- PHARMACEUTICALS 0.9% Sepracor, Inc.*+ 4,180 202,479 Perrigo Co. 10,060 170,718 Par Pharmaceutical Cos., Inc.* 3,510 64,023 --------------- TOTAL PHARMACEUTICALS 437,220 --------------- TOTAL HEALTH CARE 4,710,713 --------------- ENERGY 7.9% OIL & GAS 4.5% Peabody Energy Corp. 14,578 536,179 Noble Energy, Inc.+ 11,450 522,005 Plains Exploration & Production Co.* 8,000 343,280 Pogo Producing Co.+ 6,900 282,555 Overseas Shipholding Group, Inc. 4,370 269,935 Denbury Resources, Inc.*+ 2,830 81,787 Arch Coal, Inc.+ 1,110 32,090 Southwestern Energy Co.*+ 1,050 31,363 Newfield Exploration Co.* 270 10,406 Pioneer Natural Resources Co.+ 80 3,130 --------------- TOTAL OIL & GAS 2,112,730 --------------- ENERGY EQUIPMENT & SERVICES 3.4% Grant Prideco, Inc.* 10,300 391,709 Pride International, Inc.*+ 13,540 371,267 Tidewater, Inc.+ 6,820 301,376 FMC Technologies, Inc.* 4,470 240,039 Patterson-UTI Energy, Inc.+ 4,720 112,147 ENSCO International, Inc.+ 2,378 104,228 Helmerich & Payne, Inc.+ 3,720 85,671 Cameron International Corp.*+ 419 20,242 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,626,679 --------------- TOTAL ENERGY 3,739,409 --------------- UTILITIES 7.6% MULTI-UTILITIES 3.2% Wisconsin Energy Corp. 9,560 412,418 MDU Resources Group, Inc.+ 16,006 357,574 OGE Energy Corp.+ 9,410 339,795 Aquila, Inc.* 47,140 204,116 Vectren Corp.+ 6,770 181,775 NSTAR+ 780 26,021 --------------- TOTAL MULTI-UTILITIES 1,521,699 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 41 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ELECTRIC UTILITIES 2.1% Pepco Holdings, Inc. 16,040 $ 387,687 Westar Energy, Inc.+ 12,290 288,938 Hawaiian Electric Industries, Inc. 7,640 206,739 Sierra Pacific Resources*+ 5,030 72,130 Black Hills Corp.+ 1,320 44,365 --------------- TOTAL ELECTRIC UTILITIES 999,859 --------------- GAS UTILITIES 2.0% Oneok, Inc. 9,980 377,144 AGL Resources, Inc.+ 9,083 331,529 National Fuel Gas Co.+ 3,680 133,768 Questar Corp. 1,050 85,859 --------------- TOTAL GAS UTILITIES 928,300 --------------- WATER UTILITIES 0.3% Aqua America, Inc.+ 5,180 113,649 --------------- TOTAL WATER UTILITIES 113,649 --------------- TOTAL UTILITIES 3,563,507 --------------- MATERIALS 4.5% CHEMICALS 2.8% Airgas, Inc. 8,660 313,232 Albemarle Corp. 5,460 296,642 Valspar Corp. 11,090 294,994 FMC Corp.+ 3,820 244,747 Cytec Industries, Inc.* 2,861 159,043 --------------- TOTAL CHEMICALS 1,308,658 --------------- METALS & MINING 0.7% Steel Dynamics, Inc. 4,400 221,980 Commercial Metals Co. 4,520 91,891 --------------- TOTAL METALS & MINING 313,871 --------------- CONSTRUCTION MATERIALS 0.5% Martin Marietta Materials, Inc.+ 2,180 184,472 Florida Rock Industries, Inc. 1,100 42,581 --------------- TOTAL CONSTRUCTION MATERIALS 227,053 --------------- CONTAINERS & PACKAGING 0.4% Sonoco Products Co. 5,640 189,730 --------------- TOTAL CONTAINERS & PACKAGING 189,730 --------------- PAPER & FOREST PRODUCTS 0.1% Glatfelter+ 5,304 71,869 --------------- TOTAL PAPER & FOREST PRODUCTS 71,869 --------------- TOTAL MATERIALS 2,111,181 --------------- CONSUMER STAPLES 1.9% FOOD PRODUCTS 0.8% Hormel Foods Corp. 8,770 315,544 Smithfield Foods, Inc.* 3,050 82,411 --------------- TOTAL FOOD PRODUCTS 397,955 --------------- HOUSEHOLD PRODUCTS 0.6% Energizer Holdings, Inc.*+ 3,676 264,635 Church & Dwight Co., Inc.+ 160 6,258 --------------- TOTAL HOUSEHOLD PRODUCTS 270,893 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- FOOD & DRUG RETAILING 0.3% BJ's Wholesale Club, Inc.*+ 4,027 $ 117,508 --------------- TOTAL FOOD & DRUG RETAILING 117,508 --------------- BEVERAGES 0.1% PepsiAmericas, Inc. 2,390 51,002 --------------- TOTAL BEVERAGES 51,002 --------------- TOBACCO 0.1% Universal Corp.+ 1,020 37,261 --------------- TOTAL TOBACCO 37,261 --------------- TOTAL CONSUMER STAPLES 874,619 --------------- TELECOMMUNICATION SERVICES 0.5% WIRELESS TELECOMMUNICATION SERVICES 0.4% Telephone & Data Systems, Inc. 4,110 173,031 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 173,031 --------------- DIVERSIFIED TELECOMMUNICATION SERVICES 0.1% Cincinnati Bell, Inc.* 9,890 47,670 --------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 47,670 --------------- TOTAL TELECOMMUNICATION SERVICES 220,701 --------------- TOTAL COMMON STOCKS (Cost $40,689,536) 42,762,353 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 22.8% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 217,376 217,376 4.95% due 10/02/06 3,293,338 3,293,338 4.94% due 10/02/06++ 1,150,788 1,150,788 4.89% due 10/02/06 2,140,670 2,140,670 4.80% due 10/02/06 3,952,006 3,952,006 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $10,754,178) 10,754,178 --------------- SECURITIES LENDING COLLATERAL 18.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 8,682,175 8,682,175 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $8,682,175) 8,682,175 --------------- TOTAL INVESTMENTS 132.0% (Cost $60,125,889) $ 62,198,706 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (32.0)% $ (15,066,450) =============== NET ASSETS - 100.0% $ 47,132,256 ================================================================================ See Notes to Financial Statements. 42 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND - -------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $8,669,700) 114 $ 92,385 =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENT November 2006 S&P MidCap 400 Index Swap, Maturing 11/21/06** (Notional Market Value $ 19,289,557) 25,574 $ 227,458 =============== * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON S&P MIDCAP 400 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 43 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- INVERSE MID-CAP FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 97.1% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 1,083,743 $ 1,083,743 4.95% due 10/02/06 16,419,145 16,419,145 4.94% due 10/02/06+ 3,152,603 3,152,603 4.89% due 10/02/06 10,672,444 10,672,444 4.80% due 10/02/06 19,702,973 19,702,973 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $51,030,908) 51,030,908 --------------- TOTAL INVESTMENTS 97.1% (Cost $51,030,908) $ 51,030,908 =============== OTHER ASSETS IN EXCESS OF LIABILITIES - 2.9% $ 1,541,192 =============== NET ASSETS - 100.0% $ 52,572,100 ================================================================================ UNREALIZED LOSS CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT December 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $16,350,750) 215 $ (134,384) =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENT SOLD SHORT November 2006 S&P MidCap 400 Index Swap, Maturing 11/21/06* (Notional Market Value $36,088,772) 47,847 $ (322,225) =============== * PRICE RETURN BASED ON S&P MIDCAP 400 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. 44 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 70.1% FINANCIALS 15.9% REAL ESTATE 5.6% Alexandria Real Estate Equities, Inc.+ 2,110 $ 197,918 Realty Income Corp.+ 7,560 186,808 Home Properties, Inc.+ 3,130 178,911 Post Properties, Inc.+ 3,710 176,299 Nationwide Health Properties, Inc.+ 6,560 175,414 KKR Financial Corp.+ 7,120 174,725 Sunstone Hotel Investors, Inc.+ 5,402 160,547 American Home Mortgage Investment Corp. 4,600 160,402 LaSalle Hotel Properties+ 3,690 159,925 Washington Real Estate Investment Trust+ 3,840 152,832 BioMed Realty Trust, Inc.+ 4,790 145,329 Pennsylvania Real Estate Investment Trust 3,350 142,610 Corporate Office Properties Trust SBI 3,130 140,099 Potlatch Corp.+ 3,650 135,415 Strategic Hotel Capital, Inc.+ 6,602 131,248 Trammell Crow Co.*+ 3,542 129,318 Mid-America Apartment Communities, Inc.+ 1,970 120,603 Senior Housing Properties Trust 5,642 120,400 Entertainment Properties Trust 2,410 118,861 Newcastle Investment Corp. 4,280 117,315 Cousins Properties, Inc. 3,300 112,893 FelCor Lodging Trust, Inc. 5,580 111,879 Eastgroup Properties, Inc.+ 2,080 103,709 Spirit Finance Corp. 8,672 100,682 Tanger Factory Outlet Centers, Inc.+ 2,820 100,448 DiamondRock Hospitality Co. 6,040 100,324 Sovran Self Storage, Inc.+ 1,790 99,435 Highwoods Properties, Inc. 2,660 98,979 Longview Fibre Co. 4,830 98,146 Glenborough Realty Trust, Inc. 3,760 96,745 Heritage Property Investment Trust 2,640 96,254 Anthracite Capital, Inc. 7,250 93,235 Franklin Street Properties Corp., Inc. 4,650 92,349 PS Business Parks, Inc. 1,490 89,847 Highland Hospitality Corp.+ 6,170 88,416 Equity Lifestyle Properties, Inc. 1,920 87,763 Acadia Realty Trust 3,390 86,445 Equity Inns, Inc.+ 5,300 84,376 Innkeepers USA Trust+ 4,750 77,378 Impac Mortgage Holdings, Inc.+ 7,990 74,866 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Deerfield Triarc Capital Corp. 5,220 $ 68,434 First Potomac Realty Trust+ 1,950 58,929 Capital Trust, Inc. -- Class A 1,040 42,359 --------------- TOTAL REAL ESTATE 5,088,870 --------------- BANKS 5.2% Cathay General Bancorp 6,040 218,046 Umpqua Holding Corp. 7,202 205,977 Westamerica Bancorporation 4,030 203,555 UCBH Holdings, Inc.+ 11,490 200,615 International Bancshares Corp. 6,500 192,920 Greater Bay Bancorp+ 6,690 188,725 Chittenden Corp. 6,472 185,682 SVB Financial Group*+ 3,462 154,544 Provident Bankshares Corp. 4,162 154,202 Sterling Financial Corp. 4,692 152,162 Wintrust Financial Corp. 3,030 151,954 Citizens Banking Corp.+ 5,740 150,732 Pacific Capital Bancorp 5,530 149,144 Central Pacific Financial Corp.+ 4,032 147,491 Boston Private Financial Holdings, Inc.+ 5,112 142,523 MB Financial Corp. 3,790 139,737 First Republic Bank+ 3,090 131,510 CVB Financial Corp. 8,860 130,862 Sterling Bancshares, Inc. 6,352 128,628 Prosperity Bancshares, Inc. 3,740 127,310 Hanmi Financial Corp. 6,480 127,008 UMB Financial Corp. 3,242 118,560 First Bancorp Puerto Rico 9,700 107,282 First Community Bancorp+ 1,890 105,746 Signature Bank* 3,060 94,646 PrivateBancorp, Inc.+ 2,070 94,640 Capitol Bancorp Ltd. 2,070 92,115 Banner Corp. 1,980 81,259 Texas Capital Bancshares, Inc.* 4,180 78,250 Western Alliance Bancorp, Inc.*+ 2,190 72,051 Old National Bancorp+ 3,350 63,985 Bank of the Ozarks, Inc.+ 1,770 59,950 Preferred Bank 990 59,370 Virginia Commerce Bancorp, Inc.* 2,610 57,942 Wilshire Bancorp, Inc. 2,990 56,930 Intervest Bancshares Corp.*+ 1,300 56,628 Texas United Bancshares, Inc. 1,670 55,093 Placer Sierra Bancshares 2,420 53,748 Chemical Financial Corp. 1,770 52,534 --------------- TOTAL BANKS 4,744,056 --------------- INSURANCE 1.8% Selective Insurance Group, Inc.+ 2,910 153,095 Delphi Financial Group, Inc. -- Class A+ 3,810 151,943 ProAssurance Corp.* 2,822 139,068 Ohio Casualty Corp.+ 5,302 137,163 National Financial Partners Corp.+ 3,332 136,712 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 45 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Zenith National Insurance Corp. 3,400 $ 135,626 LandAmerica Financial Group, Inc.+ 1,750 115,132 Argonaut Group, Inc.*+ 3,472 107,736 RLI Corp.+ 2,100 106,659 Safety Insurance Group, Inc. 1,820 88,561 Infinity Property & Casualty Corp. 2,110 86,784 Tower Group, Inc. 1,670 55,695 Navigators Group, Inc.* 1,150 55,212 SeaBright Insurance Holdings, Inc.* 3,380 47,219 Odyssey Re Holdings Corp.+ 1,360 45,941 American Physicians Capital, Inc.* 680 32,898 --------------- TOTAL INSURANCE 1,595,444 --------------- THRIFTS & MORTGAGE FINANCE 1.6% First Niagara Financial Group, Inc. 10,020 146,091 MAF Bancorp, Inc. 3,492 144,185 Downey Financial Corp.+ 1,920 127,757 FirstFed Financial Corp.*+ 1,890 107,201 Corus Bankshares, Inc.+ 4,592 102,677 PFF Bancorp, Inc. 2,740 101,490 Fremont General Corp.+ 6,260 87,577 Harbor Florida Bancshares, Inc. 1,960 86,848 Accredited Home Lenders Holding Co.*+ 2,100 75,474 W Holding Co., Inc.+ 12,200 72,102 TierOne Corp. 2,080 70,574 Triad Guaranty, Inc.* 1,360 69,591 Flagstar Bancorp, Inc.+ 4,692 68,269 Franklin Bank Corp.* 3,130 62,224 Ocwen Financial Corp., Inc.*+ 4,090 60,941 Fidelity Bankshares, Inc. 1,090 42,521 Commercial Capital Bancorp, Inc. 1,980 31,561 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,457,083 --------------- CAPITAL MARKETS 0.9% Waddell & Reed Financial, Inc. -- Class A 7,390 182,903 Knight Capital Group, Inc. -- Class A* 9,520 173,264 Piper Jaffray Cos., Inc.* 2,000 121,240 Calamos Asset Management, Inc. -- Class A 2,640 77,405 LaBranche & Co., Inc.*+ 7,390 76,634 optionsXpress Holdings, Inc.+ 2,230 62,172 Apollo Investment Corp. 2,600 53,326 GFI Group, Inc.* 620 34,280 --------------- TOTAL CAPITAL MARKETS 781,224 --------------- CONSUMER FINANCE 0.6% Cash America International, Inc.+ 2,670 104,343 World Acceptance Corp.* 2,110 92,798 Advanta Corp.+ 1,970 72,693 CompuCredit Corp.*+ 2,380 71,900 First Cash Financial Services, Inc.* 2,570 52,916 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Advance America Cash Advance Centers, Inc.+ 3,204 $ 46,202 Asta Funding, Inc.+ 1,230 46,113 Ezcorp, Inc. -- Class A* 1,170 45,255 --------------- TOTAL CONSUMER FINANCE 532,220 --------------- DIVERSIFIED FINANCIALS 0.2% Financial Federal Corp.+ 2,942 78,846 Portfolio Recovery Associates, Inc.*+ 1,790 78,527 International Securities Exchange Holdings, Inc.+ 1,150 53,923 --------------- TOTAL DIVERSIFIED FINANCIALS 211,296 --------------- TOTAL FINANCIALS 14,410,193 --------------- INFORMATION TECHNOLOGY 13.3% SOFTWARE 2.9% Sybase, Inc.* 7,700 186,648 Hyperion Solutions Corp.* 5,080 175,158 TIBCO Software, Inc.* 19,180 172,236 Micros Systems, Inc.*+ 3,482 170,339 Ansys, Inc.*+ 3,060 135,191 Transaction Systems Architects, Inc. -- Class A* 3,482 119,502 Kronos, Inc.* 3,450 117,610 Intergraph Corp.* 2,710 116,205 MicroStrategy, Inc. -- Class A*+ 1,110 113,031 Internet Security Systems, Inc.* 4,060 112,706 Informatica Corp.*+ 7,902 107,388 Macrovision Corp.*+ 4,522 107,126 Net 1 UEPS Technologies, Inc.*+ 4,250 97,155 Quest Software, Inc.*+ 6,780 96,818 Lawson Software, Inc.* 13,260 96,135 Nuance Communications, Inc.*+ 11,270 92,076 Advent Software, Inc.*+ 2,080 75,317 Open Solutions, Inc.* 2,380 68,568 Quality Systems, Inc.+ 1,540 59,737 Progress Software Corp.* 2,240 58,240 Ultimate Software Group, Inc.* 2,460 57,884 Witness Systems, Inc.* 3,060 53,642 i2 Technologies, Inc.*+ 2,610 48,885 Aspen Technology, Inc.* 4,390 47,939 SPSS, Inc.* 1,820 45,373 Filenet Corp.* 1,240 43,189 Smith Micro Software, Inc.*+ 2,220 31,924 --------------- TOTAL SOFTWARE 2,606,022 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7% Varian Semiconductor Equipment Associates, Inc.* 4,982 182,839 Formfactor, Inc.*+ 3,990 168,099 Cymer, Inc.*+ 3,332 146,308 RF Micro Devices, Inc.* 17,365 131,627 Trident Microsystems, Inc.*+ 5,420 126,069 Microsemi Corp.*+ 6,252 117,850 Silicon Image, Inc.* 8,694 110,588 See Notes to Financial Statements. 46 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ATMI, Inc.* 3,759 $ 109,274 Zoran Corp.* 6,002 96,512 Diodes, Inc.* 2,230 96,269 Atheros Communications, Inc.*+ 5,122 92,862 ON Semiconductor Corp.* 14,990 88,141 OmniVision Technologies, Inc.*+ 6,082 86,790 MKS Instruments, Inc.* 4,082 82,905 Cabot Microelectronics Corp.*+ 2,842 81,906 Micrel, Inc.* 8,480 81,323 DSP Group, Inc.* 3,350 76,547 Cirrus Logic, Inc.* 9,990 72,827 Kulicke & Soffa Industries, Inc.* 7,620 67,361 Advanced Energy Industries, Inc.* 3,760 64,070 Amkor Technology, Inc.*+ 12,230 63,107 Cohu, Inc. 2,820 50,281 Supertex, Inc.*+ 1,280 49,754 Semtech Corp.* 3,860 49,254 Veeco Instruments, Inc.* 2,410 48,562 Intevac, Inc.* 2,830 47,544 AMIS Holdings, Inc.* 4,900 46,501 Netlogic Microsystems, Inc.*+ 1,750 44,398 Asyst Technologies, Inc.* 4,340 29,338 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,508,906 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.1% Flir Systems, Inc.*+ 6,200 168,392 Benchmark Electronics, Inc.*+ 5,852 157,302 Itron, Inc.*+ 2,420 135,036 Global Imaging Systems, Inc.* 5,200 114,764 Rogers Corp.* 1,710 105,592 Coherent, Inc.*+ 2,922 101,277 Anixter International, Inc.+ 1,710 96,564 Rofin-Sinar Technologies, Inc.* 1,580 96,017 Littelfuse, Inc.*+ 2,410 83,627 Plexus Corp.* 4,212 80,870 Scansource, Inc.*+ 2,660 80,678 Daktronics, Inc. 3,650 75,518 Cogent, Inc.* 5,220 71,671 Brightpoint, Inc.* 4,660 66,265 Park Electrochemical Corp. 2,070 65,578 MTS Systems Corp.+ 1,980 64,033 Electro Scientific Industries, Inc.* 2,782 57,309 TTM Technologies, Inc.* 4,712 55,130 CTS Corp. 3,540 48,781 SYNNEX Corp.* 1,980 45,560 Zygo Corp., Inc.* 3,340 42,585 Agilsys, Inc. 2,860 40,154 Checkpoint Systems, Inc.* 1,860 30,709 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,883,412 --------------- INTERNET SOFTWARE & SERVICES 1.8% Digital River, Inc.*+ 3,472 177,489 ValueClick, Inc.* 9,040 167,602 aQuantive, Inc.*+ 6,512 153,813 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- j2 Global Communications, Inc.*+ 4,652 $ 126,395 RealNetworks, Inc.*+ 10,810 114,694 EarthLink, Inc.* 14,300 103,961 Digitas, Inc.*+ 10,804 103,934 Websense, Inc.*+ 4,752 102,691 Digital Insight Corp.* 3,100 90,892 United Online, Inc.+ 7,042 85,771 CNET Networks, Inc.* 7,520 72,042 WebEx Communications, Inc.* 1,660 64,773 SonicWALL, Inc.* 5,930 64,756 InfoSpace, Inc.* 3,130 57,717 Vignette Corp.* 3,120 42,245 Internap Network Services Corp.* 2,770 42,159 Click Commerce, Inc.* 1,610 36,418 TheStreet.com, Inc. 2,870 30,537 --------------- TOTAL INTERNET SOFTWARE & SERVICES 1,637,889 --------------- COMMUNICATIONS EQUIPMENT 1.7% Polycom, Inc.*+ 7,580 185,938 Foundry Networks, Inc.* 13,510 177,657 Interdigital Communications Corp.* 4,990 170,159 CommScope, Inc.*+ 5,092 167,323 ADTRAN, Inc.+ 6,410 152,814 Avocent Corp.* 4,240 127,709 Arris Group, Inc.* 10,190 116,777 Redback Networks, Inc.* 5,522 76,645 Black Box Corp.+ 1,850 72,002 Netgear, Inc.*+ 2,830 58,270 ViaSat, Inc.* 2,070 51,916 Blue Coat Systems, Inc.* 2,500 45,025 Radyne Corp., Inc.* 3,550 43,452 Packeteer, Inc.* 4,530 39,003 Sirenza Microdevices, Inc.* 3,650 28,835 --------------- TOTAL COMMUNICATIONS EQUIPMENT 1,513,525 --------------- IT CONSULTING & SERVICES 1.3% CACI International, Inc. -- Class A* 2,990 164,480 MPS Group, Inc.* 9,850 148,833 BISYS Group, Inc.* 11,170 121,306 CSG Systems International, Inc.* 4,220 111,535 eFunds Corp.* 4,392 106,199 Perot Systems Corp. -- Class A* 7,522 103,728 Talx Corp.+ 3,752 91,999 Mantech International Corp. -- Class A* 2,070 68,331 Keane, Inc.* 4,490 64,701 SRA International, Inc. -- Class A*+ 1,880 56,513 SYKES Enterprises, Inc.* 2,280 46,398 Lightbridge, Inc.* 3,620 42,426 Euronet Worldwide, Inc.*+ 1,250 30,688 --------------- TOTAL IT CONSULTING & SERVICES 1,157,137 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 47 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS 0.8% Brocade Communications Systems, Inc.*+ 24,100 $ 170,146 Imation Corp. 3,600 144,540 Palm, Inc.*+ 9,914 144,348 Electronics for Imaging, Inc.*+ 5,002 114,446 Komag, Inc.*+ 3,350 107,066 Synaptics, Inc.*+ 2,450 59,706 --------------- TOTAL COMPUTERS & PERIPHERALS 740,252 --------------- TOTAL INFORMATION TECHNOLOGY 12,047,143 --------------- CONSUMER DISCRETIONARY 11.1% SPECIALTY RETAIL 2.9% Rent-A-Center, Inc.* 6,020 176,326 Charming Shoppes, Inc.*+ 11,860 169,361 Aeropostale, Inc.*+ 5,610 163,980 Men's Wearhouse, Inc.+ 4,340 161,491 Regis Corp. 4,152 148,849 Payless Shoesource, Inc.* 5,822 144,968 Pantry, Inc.* 2,210 124,578 Tween Brands, Inc.*+ 3,270 122,952 Group 1 Automotive, Inc.+ 2,460 122,754 Gymboree Corp.*+ 2,910 122,744 Dress Barn, Inc.*+ 5,462 119,181 Pacific Sunwear of California, Inc.* 7,030 106,012 Stage Stores, Inc. 3,610 105,917 Select Comfort Corp.*+ 4,793 104,871 Guess ?, Inc.*+ 2,100 101,913 Christopher & Banks Corp. 3,432 101,175 Hibbett Sporting Goods, Inc.*+ 3,860 101,055 Genesco, Inc.*+ 2,590 89,277 Cato Corp. -- Class A+ 4,060 88,955 CSK Auto Corp.* 5,220 73,602 Sonic Automotive, Inc. 3,160 72,964 Talbots, Inc.+ 2,160 58,860 Shoe Carnival, Inc.* 1,980 49,936 Citi Trends, Inc.*+ 1,000 34,510 --------------- TOTAL SPECIALTY RETAIL 2,666,231 --------------- HOTELS, RESTAURANTS & LEISURE 2.1% Jack in the Box, Inc.* 3,382 176,473 Sonic Corp.*+ 7,520 170,027 Ruby Tuesday, Inc.+ 5,712 161,021 Pinnacle Entertainment, Inc.* 4,542 127,721 CBRL Group, Inc. 2,820 114,013 CKE Restaurants, Inc. 6,542 109,382 Vail Resorts, Inc.* 2,650 106,053 Rare Hospitality International, Inc.* 3,350 102,376 Bob Evans Farms, Inc. 3,320 100,530 CEC Entertainment, Inc.* 3,112 98,059 Domino's Pizza, Inc.+ 3,742 95,982 Papa John's International, Inc.* 2,560 92,442 IHOP Corp.+ 1,940 89,919 WMS Industries, Inc.*+ 2,980 87,046 Texas Roadhouse Co., Inc.* 4,740 58,207 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Ameristar Casinos, Inc.+ 2,510 $ 54,492 Speedway Motorsports, Inc. 1,480 53,887 Landry's Restaurants, Inc. 1,680 50,652 Dover Downs Gaming & Entertainment, Inc. 3,450 41,917 Monarch Casino & Resort, Inc.* 1,760 34,126 Shuffle Master, Inc.*+ 1,150 31,062 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,955,387 --------------- TEXTILES & APPAREL 1.4% Phillips-Van Heusen Corp.+ 4,660 194,648 Wolverine World Wide, Inc.+ 5,335 151,034 Brown Shoe Co., Inc. 2,762 98,990 K-Swiss, Inc. -- Class A 3,062 92,044 Carter's, Inc.* 3,450 91,046 Warnaco Group, Inc.* 4,680 90,511 Kellwood Co. 2,842 81,935 Fossil, Inc.* 3,790 81,637 Steven Madden Ltd. 1,830 71,809 Columbia Sportswear Co.*+ 1,240 69,229 Oxford Industries, Inc. 1,430 61,361 Iconix Brand Group, Inc.*+ 3,560 57,316 Deckers Outdoor Corp.*+ 1,180 55,838 True Religion Apparel, Inc.*+ 1,710 36,098 --------------- TOTAL TEXTILES & APPAREL 1,233,496 --------------- MEDIA 1.3% Catalina Marketing Corp. 4,320 118,800 Lee Enterprises, Inc. 4,590 115,852 Scholastic Corp.* 3,352 104,415 Arbitron, Inc. 2,730 101,037 Valassis Communications, Inc.*+ 5,530 97,604 RCN Corp.* 3,260 92,258 Entercom Communications Corp. 3,270 82,404 CKX, Inc.* 6,260 77,937 Interactive Data Corp.* 3,850 76,807 Westwood One, Inc. 8,860 62,729 Morningstar, Inc.*+ 1,360 50,184 Cumulus Media, Inc. -- Class A* 4,330 41,395 Journal Register Co. 6,470 36,685 Citadel Broadcasting Corp. 3,590 33,746 Playboy Enterprises, Inc. -- Class B* 3,410 32,088 World Wrestling Entertainment, Inc. 1,860 30,560 --------------- TOTAL MEDIA 1,154,501 --------------- HOUSEHOLD DURABLES 0.9% American Greetings Corp. -- Class A+ 5,730 132,478 Yankee Candle Co., Inc. 4,202 122,992 Ethan Allen Interiors, Inc.+ 3,292 114,101 Meritage Homes Corp.*+ 2,500 104,025 Tempur-Pedic International, Inc.*+ 6,050 103,878 Furniture Brands International, Inc.+ 4,932 93,905 See Notes to Financial Statements. 48 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Champion Enterprises, Inc.* 9,800 $ 67,620 Interface, Inc. -- Class A* 5,062 65,199 Brookfield Homes Corp.+ 1,880 52,941 --------------- TOTAL HOUSEHOLD DURABLES 857,139 --------------- COMMERCIAL SERVICES & SUPPLIES 0.8% Sotheby's Holdings, Inc. -- Class A+ 5,340 172,162 Strayer Education, Inc.+ 1,340 145,001 DeVry, Inc.* 6,040 128,471 Bright Horizons Family Solutions, Inc.* 2,670 111,419 Jackson Hewitt Tax Service, Inc.+ 3,100 93,031 Corinthian Colleges, Inc.*+ 7,520 81,291 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 731,375 --------------- AUTO COMPONENTS 0.4% Tenneco Automotive, Inc.* 4,620 108,062 ArvinMeritor, Inc.+ 7,220 102,813 LKQ Corp.*+ 4,264 93,680 Drew Industries, Inc.*+ 1,830 46,226 Aftermarket Technology Corp.* 2,170 38,539 --------------- TOTAL AUTO COMPONENTS 389,320 --------------- LEISURE EQUIPMENT & PRODUCTS 0.4% Marvel Entertainment, Inc.*+ 4,600 111,044 RC2 Corp.* 2,269 76,079 Jakks Pacific, Inc.* 2,690 47,963 MarineMax, Inc.*+ 1,880 47,846 Oakley, Inc. 2,560 43,648 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 326,580 --------------- INTERNET & CATALOG RETAIL 0.3% Priceline.com, Inc.*+ 2,970 109,266 Netflix, Inc.*+ 3,650 83,147 Stamps.com, Inc.* 2,020 38,501 PetMed Express, Inc.*+ 3,160 32,991 --------------- TOTAL INTERNET & CATALOG RETAIL 263,905 --------------- MULTILINE RETAIL 0.3% Big Lots, Inc.*+ 9,770 193,544 Bon-Ton Stores, Inc.+ 1,420 42,231 --------------- TOTAL MULTILINE RETAIL 235,775 --------------- DISTRIBUTORS 0.2% Building Material Holding Corp.+ 3,630 94,452 Keystone Automotive Industries, Inc.* 1,880 71,478 --------------- TOTAL DISTRIBUTORS 165,930 --------------- AUTOMOBILES 0.1% Winnebago Industries, Inc.+ 3,242 101,734 --------------- TOTAL AUTOMOBILES 101,734 --------------- TOTAL CONSUMER DISCRETIONARY 10,081,373 --------------- INDUSTRIALS 9.7% COMMERCIAL SERVICES & SUPPLIES 2.6% Watson Wyatt & Co. Holdings+ 3,940 161,225 Waste Connections, Inc.*+ 3,990 151,261 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Brady Corp. -- Class A 3,992 $ 140,359 United Stationers, Inc.* 2,910 135,344 Herman Miller, Inc. 3,340 114,261 Resources Connection, Inc.* 3,913 104,829 John H. Harland Co. 2,840 103,518 Banta Corp.+ 2,140 101,864 Korn/Ferry International, Inc.* 4,837 101,287 Deluxe Corp. 5,740 98,154 Advisory Board Co.*+ 1,860 93,967 Mine Safety Appliances Co.+ 2,610 93,020 FTI Consulting, Inc.*+ 3,682 92,271 Viad Corp. 2,600 92,066 American Reprographics Co.* 2,570 82,394 Administaff, Inc.+ 2,380 80,206 Labor Ready, Inc.* 4,892 77,930 Heidrick & Struggles International, Inc.* 1,890 68,040 CoStar Group, Inc.* 1,570 64,872 Consolidated Graphics, Inc.* 1,040 62,577 Clean Harbors, Inc.* 1,390 60,534 Rollins, Inc. 2,590 54,675 Amrep Corp. PLC -- SP ADR+ 1,040 50,825 School Specialty, Inc.* 1,213 42,807 Kenexa Corp. -- Class A* 1,570 39,595 ICT Group, Inc.* 1,240 39,023 Volt Information Sciences, Inc.* 990 35,195 Spherion Corp.* 4,830 34,535 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 2,376,634 --------------- MACHINERY 1.9% Navistar International Corp.* 6,370 164,473 Mueller Industries, Inc. 4,042 142,157 Actuant Corp. -- Class A+ 2,670 133,767 Wabtec Corp.+ 4,222 114,543 Nordson Corp. 2,860 114,000 Briggs & Stratton Corp.+ 3,850 106,067 Kaydon Corp.+ 2,650 98,103 Watts Industries, Inc. -- Class A 3,030 96,233 Freightcar America, Inc.+ 1,600 84,800 NACCO Industries, Inc. -- Class A 590 80,187 Albany International Corp. -- Class A 2,420 77,004 Barnes Group, Inc. 4,110 72,172 EnPro Industries, Inc.* 2,070 62,224 Bucyrus International, Inc. -- Class A 1,420 60,236 Middleby Corp.* 640 49,318 American Science & Engineering, Inc.*+ 930 45,124 Accuride Corp.* 3,970 43,710 Ampco-Pittsburgh Corp. PLC -- SP ADR 1,400 43,302 Dynamic Materials Corp. 1,280 41,498 Astec Industries, Inc.*+ 1,530 38,633 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 49 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Columbus McKinnon Corp. -- Class A* 1,570 $ 28,307 --------------- TOTAL MACHINERY 1,695,858 --------------- ELECTRICAL EQUIPMENT 1.2% Acuity Brands, Inc. 4,010 182,054 General Cable Corp.* 4,283 163,654 Belden CDT, Inc.+ 4,110 157,125 Genlyte Group, Inc.*+ 2,100 149,520 Regal-Beloit Corp. 3,090 134,415 Woodward Governor Co.+ 2,942 98,675 A.O. Smith Corp. 1,980 78,071 Superior Essex, Inc.* 1,940 66,445 Lamson & Sessions Co., Inc.*+ 1,710 40,732 --------------- TOTAL ELECTRICAL EQUIPMENT 1,070,691 --------------- AEROSPACE & DEFENSE 1.1% Teledyne Technologies, Inc.* 3,082 122,047 Hexcel Corp.*+ 8,500 120,275 Moog, Inc. -- Class A* 3,440 119,231 BE Aerospace, Inc.*+ 5,390 113,675 Ceradyne, Inc.*+ 2,530 103,958 Orbital Sciences Corp.* 5,330 100,044 Triumph Group, Inc. 1,760 74,536 United Industrial Corp.+ 1,090 58,315 EDO Corp. 1,880 43,014 Ladish Co., Inc.* 1,480 42,742 Esterline Technologies Corp.* 1,225 41,356 Herley Industries, Inc.* 2,590 32,064 --------------- TOTAL AEROSPACE & DEFENSE 971,257 --------------- BUILDING PRODUCTS 0.6% NCI Building Systems, Inc.*+ 1,860 108,196 Universal Forest Products, Inc.+ 2,050 100,552 Simpson Manufacturing Co., Inc.+ 3,692 99,795 ElkCorp 1,920 52,128 Builders FirstSource, Inc.* 2,830 43,101 American Woodmark Corp.+ 1,250 42,112 Ameron International Corp. 590 39,200 PW Eagle, Inc.+ 1,260 37,813 Insteel Industries, Inc. 1,570 31,196 --------------- TOTAL BUILDING PRODUCTS 554,093 --------------- CONSTRUCTION & ENGINEERING 0.5% EMCOR Group, Inc.* 3,042 166,823 Granite Construction, Inc.+ 3,080 164,318 Washington Group International, Inc. 2,710 159,511 --------------- TOTAL CONSTRUCTION & ENGINEERING 490,652 --------------- TRADING COMPANIES & DISTRIBUTORS 0.5% Watsco, Inc. 2,510 115,485 Beacon Roofing Supply, Inc.*+ 5,260 106,463 UAP Holding Corp. 4,872 104,115 Applied Industrial Technologies, Inc. 4,120 100,528 BlueLinx Holdings, Inc. 3,020 28,750 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 455,341 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ROAD & RAIL 0.5% Genesee & Wyoming, Inc. -- Class A* 4,262 $ 98,964 Arkansas Best Corp. 2,280 98,108 Heartland Express, Inc.+ 5,640 88,435 Knight Transportation, Inc.+ 5,110 86,614 Amerco, Inc.* 950 70,443 --------------- TOTAL ROAD & RAIL 442,564 --------------- AIR FREIGHT & COURIERS 0.4% EGL, Inc.* 2,790 101,668 Pacer International, Inc. 3,290 91,330 HUB Group, Inc. -- Class A*+ 3,950 89,981 Atlas Air Worldwide Holdings Co., Inc.*+ 1,970 85,734 Forward Air Corp.+ 930 30,774 --------------- TOTAL AIR FREIGHT & COURIERS 399,487 --------------- AIRLINES 0.4% SkyWest, Inc.+ 6,190 151,779 AirTran Holdings, Inc.*+ 7,780 77,177 Republic Airways Holdings, Inc.* 3,970 61,614 ExpressJet Holdings, Inc.*+ 6,570 43,428 --------------- TOTAL AIRLINES 333,998 --------------- TOTAL INDUSTRIALS 8,790,575 --------------- HEALTH CARE 8.6% HEALTH CARE EQUIPMENT & SUPPLIES 3.1% Hologic, Inc.* 4,290 186,701 Mentor Corp.+ 3,362 169,411 Immucor, Inc.* 6,634 148,668 Steris Corp. 6,170 148,450 Kyphon, Inc.*+ 3,950 147,809 Varian, Inc.* 3,040 139,445 Bio--Rad Laboratories, Inc. -- Class A* 1,960 138,631 Haemonetics Corp.*+ 2,620 122,616 West Pharmaceutical Services, Inc. 2,862 112,391 American Medical Systems Holdings, Inc.*+ 5,970 110,027 Dionex Corp.* 2,140 109,012 ArthroCare Corp.* 2,300 107,778 Lifecell Corp.*+ 3,312 106,713 PolyMedica Corp.+ 2,420 103,600 DJ Orthopedics, Inc.*+ 2,410 100,087 Thoratec Corp.* 5,670 88,509 Biosite, Inc.*+ 1,800 83,214 Integra LifeSciences Holdings Corp.*+ 2,130 79,832 Palomar Medical Technologies, Inc.*+ 1,860 78,492 ICU Medical, Inc.*+ 1,480 67,310 Conmed Corp.* 2,620 55,308 OraSure Technologies, Inc.* 6,590 52,984 Abaxis, Inc.* 2,240 52,394 SurModics, Inc.*+ 1,420 49,870 Quidel Corp.* 3,460 48,855 See Notes to Financial Statements. 50 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Meridian Bioscience, Inc. 2,070 $ 48,666 PharmaNet Development Group, Inc.*+ 2,390 46,438 Candela Corp.* 4,230 46,149 Zoll Medical Corp.* 890 31,942 Molecular Devices Corp.* 1,700 31,433 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,812,735 --------------- BIOTECHNOLOGY 2.3% OSI Pharmaceuticals, Inc.*+ 4,840 181,645 ICOS Corp.* 6,340 158,880 Myogen, Inc.*+ 4,330 151,896 Alkermes, Inc.*+ 9,512 150,765 Illumina, Inc.*+ 4,152 137,182 BioMarin Pharmaceuticals, Inc.* 8,460 120,386 United Therapeutics Corp.*+ 2,280 119,791 Cubist Pharmaceuticals, Inc.*+ 5,140 111,744 Digene Corp.* 2,282 98,468 Myriad Genetics, Inc.*+ 3,912 96,431 Nuvelo, Inc.* 5,280 96,307 Martek Biosciences Corp.*+ 4,300 92,493 Telik, Inc.*+ 5,150 91,619 Pharmion Corp.*+ 3,390 73,055 Senomyx, Inc.* 4,100 63,017 Progenics Pharmaceuticals, Inc.* 2,590 60,761 Alnylam Pharmaceuticals, Inc.*+ 3,560 51,300 Savient Pharmaceuticals, Inc.* 6,990 45,505 Tanox, Inc.*+ 3,380 39,952 Keryx Biopharmaceuticals, Inc.* 3,310 39,157 BioCryst Pharmaceuticals, Inc.* 3,130 39,031 Alexion Pharmaceuticals, Inc.*+ 1,090 37,038 Phase Forward, Inc.* 2,880 34,387 Renovis, Inc.* 2,110 29,034 --------------- TOTAL BIOTECHNOLOGY 2,119,844 --------------- HEALTH CARE PROVIDERS & SERVICES 2.0% Psychiatric Solutions, Inc.*+ 4,762 162,337 Magellan Health Services, Inc.*+ 3,570 152,082 AMERIGROUP Corp.* 5,070 149,818 Sunrise Senior Living, Inc.* 4,790 143,077 Owens & Minor, Inc. 3,502 115,181 United Surgical Partners International, Inc.*+ 4,232 105,081 inVentiv Health, Inc.* 3,100 99,293 Apria Healthcare Group, Inc.* 5,010 98,897 Chemed Corp. 2,540 81,940 Per-Se Technologies, Inc.*+ 3,582 81,598 LCA-Vision, Inc.+ 1,850 76,423 Centene Corp.*+ 4,400 72,336 Amedisys, Inc.*+ 1,670 66,249 HealthExtras, Inc.*+ 2,250 63,697 PRA International* 2,350 62,722 The Trizetto Group, Inc.* 3,890 58,895 Gentiva Health Services, Inc.* 3,530 58,033 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Molina Healthcare, Inc.* 1,180 $ 41,725 Computer Programs & Systems, Inc. 1,250 40,963 Omnicell, Inc.* 2,270 40,610 Odyssey HealthCare, Inc.* 2,395 33,961 Air Methods Corp. -- SP ADR* 1,390 32,804 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,837,722 --------------- PHARMACEUTICALS 1.2% Valeant Pharmaceuticals International+ 8,450 167,141 MGI Pharma, Inc.*+ 6,960 119,782 Perrigo Co. 6,720 114,039 KV Pharmaceutical Co.*+ 4,390 104,043 Viropharma, Inc.* 8,240 100,281 Alpharma, Inc. -- Class A 4,106 96,039 Noven Pharmaceuticals, Inc.* 2,820 68,018 Sciele Pharma, Inc.*+ 3,470 65,375 Kendle International, Inc.* 1,600 51,232 Pain Therapeutics, Inc.*+ 5,510 47,496 Bradley Pharmaceuticals, Inc.*+ 2,710 43,143 New River Pharmaceuticals, Inc.*+ 1,640 42,197 CNS, Inc. 1,370 38,675 Medicis Pharmaceutical Corp. -- Class A+ 1,090 35,262 --------------- TOTAL PHARMACEUTICALS 1,092,723 --------------- TOTAL HEALTH CARE 7,863,024 --------------- ENERGY 3.6% OIL & GAS 1.8% Houston Exploration Co.*+ 2,460 135,669 Giant Industries, Inc.* 1,430 116,116 Swift Energy Co.*+ 2,620 109,568 World Fuel Services Corp. 2,690 108,810 Penn Virginia Corp. 1,710 108,431 Stone Energy Corp.* 2,670 108,082 Comstock Resources, Inc.*+ 3,650 99,098 USEC, Inc. 9,910 95,532 Alpha Natural Resources, Inc.*+ 5,780 91,093 Berry Petroleum Co. -- Class A+ 3,122 87,916 Atlas America, Inc.* 1,960 83,653 Parallel Petroleum Corp.*+ 3,640 73,018 PetroHawk Energy Corp.*+ 6,490 67,366 Carrizo Oil & Gas, Inc.* 2,460 63,443 Petroleum Development Corp.* 1,540 61,431 Vaalco Energy, Inc.* 7,620 54,712 Crosstex Energy, Inc.+ 560 50,159 Energy Partners Ltd.*+ 1,670 41,166 Harvest Natural Resources, Inc.* 3,860 39,951 Alon USA Energy, Inc. 1,280 37,747 GMX Resources, Inc.*+ 1,050 32,960 Edge Petroleum Corp.* 1,660 27,340 --------------- TOTAL OIL & GAS 1,693,261 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 51 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES 1.8% Hanover Compressor Co.*+ 8,900 $ 162,158 Universal Compression Holdings, Inc.* 2,970 158,746 Lone Star Technologies, Inc.*+ 3,160 152,881 NS Group, Inc.*+ 2,220 143,301 Grey Wolf, Inc.*+ 19,666 131,369 Oil States International, Inc.* 4,340 119,350 Atwood Oceanics, Inc.*+ 2,620 117,821 W-H Energy Services, Inc.* 2,730 113,213 Hydril*+ 1,713 96,031 Parker Drilling Co.* 13,104 92,776 Dril-Quip, Inc.* 1,250 84,600 Input/Output, Inc.*+ 8,300 82,419 Lufkin Industries, Inc.+ 1,540 81,497 Trico Marine Services, Inc.* 1,250 42,188 Natco Group, Inc.* 1,390 40,032 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,618,382 --------------- TOTAL ENERGY 3,311,643 --------------- MATERIALS 3.1% METALS & MINING 1.3% Oregon Steel Mills, Inc.* 3,230 157,850 Cleveland-Cliffs, Inc.+ 3,960 150,915 Aleris International, Inc.* 2,920 147,577 Chaparral Steel Co.* 4,160 141,690 Coeur d'Alene Mines Corp.*+ 26,790 126,181 AK Steel Holding Corp.* 10,130 122,978 Schnitzer Steel Industries, Inc. -- Class A 2,800 88,312 Quanex Corp.+ 2,840 86,194 RTI International Metals, Inc.* 1,970 85,853 Ryerson Tull, Inc.+ 3,022 66,151 --------------- TOTAL METALS & MINING 1,173,701 --------------- CHEMICALS 1.2% Hercules, Inc.*+ 9,780 154,231 OM Group, Inc.*+ 2,900 127,426 H.B. Fuller Co. 5,020 117,669 NewMarket Corp. 1,800 104,688 Georgia Gulf Corp.+ 3,770 103,373 PolyOne Corp.* 11,370 94,712 Olin Corp. 6,142 94,341 Spartech Corp.+ 3,492 93,481 Rockwood Holdings, Inc.* 3,700 73,926 A. Schulman, Inc. 2,930 68,884 Pioneer Cos., Inc.* 1,760 43,138 Zoltek Cos., Inc.*+ 1,180 30,149 --------------- TOTAL CHEMICALS 1,106,018 --------------- CONTAINERS & PACKAGING 0.4% AptarGroup, Inc.+ 3,060 155,693 Greif, Inc. -- Class A 1,575 126,173 Silgan Holdings, Inc. 2,350 88,266 --------------- TOTAL CONTAINERS & PACKAGING 370,132 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSTRUCTION MATERIALS 0.2% Headwaters, Inc.*+ 4,700 $ 109,745 U S Concrete, Inc.* 7,460 48,565 --------------- TOTAL CONSTRUCTION MATERIALS 158,310 --------------- PAPER & FOREST PRODUCTS 0.0% Deltic Timber Corp. 920 43,847 --------------- TOTAL PAPER & FOREST PRODUCTS 43,847 --------------- TOTAL MATERIALS 2,852,008 --------------- UTILITIES 2.1% ELECTRIC UTILITIES 1.0% Westar Energy, Inc.+ 7,410 174,209 IDACORP, Inc.+ 3,940 148,971 Cleco Corp.+ 5,852 147,705 Allete, Inc.+ 2,540 110,363 El Paso Electric Co.* 4,800 107,232 Unisource Energy Corp.+ 3,100 103,323 Otter Tail Power Co. 3,050 89,182 --------------- TOTAL ELECTRIC UTILITIES 880,985 --------------- GAS UTILITIES 0.9% Piedmont Natural Gas Co.+ 6,680 169,071 Nicor, Inc.+ 3,830 163,771 Southwest Gas Corp.+ 3,942 131,347 WGL Holdings, Inc. 3,340 104,676 Northwest Natural Gas Co. 2,510 98,593 South Jersey Industries, Inc. 3,102 92,781 Laclede Group, Inc. 2,130 68,330 Southern Union Co. 1 18 --------------- TOTAL GAS UTILITIES 828,587 --------------- MULTI-UTILITIES 0.2% Avista Corp. 4,300 101,824 PNM Resources, Inc. 3,550 97,874 Ormat Technologies, Inc.+ 870 28,466 --------------- TOTAL MULTI-UTILITIES 228,164 --------------- TOTAL UTILITIES 1,937,736 --------------- CONSUMER STAPLES 1.8% FOOD PRODUCTS 0.7% Flowers Foods, Inc.+ 4,752 127,734 Ralcorp Holdings, Inc.* 2,320 111,893 Lancaster Colony Corp. 2,270 101,605 Tootsie Roll Industries, Inc. 3,332 97,661 Hain Celestial Group, Inc.* 3,260 83,326 Seaboard Corp. 50 60,250 Imperial Sugar Co., Inc. 1,360 42,323 --------------- TOTAL FOOD PRODUCTS 624,792 --------------- FOOD & DRUG RETAILING 0.5% Longs Drug Stores Corp. 3,042 139,963 United Natural Foods, Inc.*+ 4,020 124,580 Central European Distribution Corp.*+ 3,330 77,955 Wild Oats Markets, Inc.*+ 2,830 45,761 See Notes to Financial Statements. 52 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Nash Finch Co.+ 1,770 $ 41,648 Andersons, Inc. 1,200 40,980 --------------- TOTAL FOOD & DRUG RETAILING 470,887 --------------- PERSONAL PRODUCTS 0.5% NBTY, Inc.* 5,260 153,960 Chattem, Inc.* 1,980 69,538 American Oriental Bioengineering, Inc. PLC -- SP ADR*+ 8,140 49,491 Elizabeth Arden, Inc.* 2,920 47,187 Prestige Brands Holdings, Inc. -- Class A* 4,180 46,565 USANA Health Sciences, Inc.*+ 780 34,780 --------------- TOTAL PERSONAL PRODUCTS 401,521 --------------- HOUSEHOLD PRODUCTS 0.1% Central Garden and Pet Co.* 2,170 104,724 --------------- TOTAL HOUSEHOLD PRODUCTS 104,724 --------------- BEVERAGES 0.0% MGP Ingredients, Inc.+ 1,280 27,226 --------------- TOTAL BEVERAGES 27,226 --------------- TOTAL CONSUMER STAPLES 1,629,150 --------------- TELECOMMUNICATION SERVICES 0.9% DIVERSIFIED TELECOMMUNICATION SERVICES 0.6% Time Warner Telecom, Inc. -- Class A* 6,790 129,078 Cincinnati Bell, Inc.* 23,430 112,933 Commonwealth Telephone Enterprises, Inc. 2,610 107,610 Iowa Telecommunications Services, Inc.+ 3,620 71,640 Golden Telecom, Inc. 2,070 62,617 CT Communications, Inc. 2,600 56,472 --------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 540,350 --------------- WIRELESS TELECOMMUNICATION SERVICES 0.3% Dobson Communications Corp. -- Class A* 13,553 95,142 iPCS, Inc. -- Class A*+ 1,680 89,964 USA Mobility, Inc. 3,030 69,205 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 254,311 --------------- TOTAL TELECOMMUNICATION SERVICES 794,661 --------------- TOTAL COMMON STOCKS (Cost $57,025,818) 63,717,506 --------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 34.6% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 670,027 $ 670,027 4.95% due 10/02/06 10,151,180 10,151,180 4.94% due 10/02/06++ 1,885,514 1,885,514 4.89% due 10/02/06 6,598,267 6,598,267 4.80% due 10/02/06 12,181,416 12,181,416 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $31,486,404) 31,486,404 --------------- SECURITIES LENDING COLLATERAL 15.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 14,084,000 14,084,000 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $14,084,000) 14,084,000 --------------- TOTAL INVESTMENTS 120.2% (Cost $102,596,222) $ 109,287,910 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (20.2)% $ (18,385,029) =============== NET ASSETS - 100.0% $ 90,902,881 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $20,437,200) 280 $ (3,950) =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENTS November 2006 Russell 2000(R) Index Swap, Maturing 11/21/06** (Notional Market Value $23,914,657) 32,959 $ 452,130 December 2006 Russell 2000(R) Index Swap, Maturing 12/27/06** (Notional Market Value $28,510,227) 38,919 (274,686) --------------- (TOTAL NOTIONAL MARKET VALUE $52,424,884) $ 177,444 =============== * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. ++ ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 53 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 44.8% FINANCIALS 10.1% REAL ESTATE 3.6% Alexandria Real Estate Equities, Inc. 150 $ 14,070 Realty Income Corp. 520 12,849 Home Properties, Inc. 220 12,575 Post Properties, Inc. 260 12,355 Nationwide Health Properties, Inc. 450 12,033 KKR Financial Corp. 490 12,025 American Home Mortgage Investment Corp. 320 11,158 Sunstone Hotel Investors, Inc. 366 10,878 LaSalle Hotel Properties 250 10,835 Washington Real Estate Investment Trust 260 10,348 BioMed Realty Trust, Inc. 330 10,012 Corporate Office Properties Trust SBI 220 9,847 Pennsylvania Real Estate Investment Trust 230 9,791 Potlatch Corp. 250 9,275 Strategic Hotel Capital, Inc. 450 8,946 Trammell Crow Co.* 240 8,762 Mid-America Apartment Communities, Inc. 140 8,571 Entertainment Properties Trust 170 8,384 Senior Housing Properties Trust 390 8,323 Newcastle Investment Corp. 300 8,223 Cousins Properties, Inc. 230 7,868 FelCor Lodging Trust, Inc. 390 7,819 Eastgroup Properties, Inc. 140 6,980 DiamondRock Hospitality Co. 420 6,976 Spirit Finance Corp. 600 6,966 Tanger Factory Outlet Centers, Inc. 190 6,768 Longview Fibre Co. 330 6,706 Highwoods Properties, Inc. 180 6,698 Glenborough Realty Trust, Inc. 260 6,690 Heritage Property Investment Trust 180 6,563 Sovran Self Storage, Inc. 116 6,444 Anthracite Capital, Inc. 500 6,430 Franklin Street Properties Corp., Inc. 320 6,355 Highland Hospitality Corp. 430 6,162 PS Business Parks, Inc. 100 6,030 Equity Lifestyle Properties, Inc. 130 5,942 Equity Inns, Inc. 370 5,890 Acadia Realty Trust 230 5,865 Innkeepers USA Trust 330 5,376 Impac Mortgage Holdings, Inc. 550 5,154 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Deerfield Triarc Capital Corp. 360 $ 4,720 First Potomac Realty Trust 126 3,808 Capital Trust, Inc. -- Class A 70 2,851 --------------- TOTAL REAL ESTATE 350,321 --------------- BANKS 3.3% Cathay General Bancorp 420 15,168 Umpqua Holding Corp. 502 14,357 Westamerica Bancorporation 280 14,143 UCBH Holdings, Inc. 786 13,724 International Bancshares Corp. 450 13,356 Greater Bay Bancorp 460 12,977 Chittenden Corp. 452 12,968 Provident Bankshares Corp. 290 10,744 SVB Financial Group* 240 10,714 Citizens Banking Corp. 400 10,504 Sterling Financial Corp. 320 10,378 Wintrust Financial Corp. 206 10,331 Pacific Capital Bancorp 380 10,249 Central Pacific Financial Corp. 276 10,096 Boston Private Financial Holdings, Inc. 346 9,646 MB Financial Corp. 260 9,586 CVB Financial Corp. 610 9,010 Sterling Bancshares, Inc. 440 8,910 First Republic Bank 208 8,852 Prosperity Bancshares, Inc. 260 8,850 Hanmi Financial Corp. 450 8,820 UMB Financial Corp. 220 8,045 First Bancorp Puerto Rico 670 7,410 First Community Bancorp 130 7,274 Signature Bank* 210 6,495 PrivateBancorp, Inc. 140 6,401 Capitol Bancorp, Ltd. 140 6,230 Banner Corp. 140 5,746 Texas Capital Bancshares, Inc.* 290 5,429 Western Alliance Bancorp, Inc.* 150 4,935 Old National Bancorp 230 4,393 Preferred Bank 70 4,198 Bank of the Ozarks, Inc. 120 4,064 Wilshire Bancorp, Inc. 210 3,998 Virginia Commerce Bancorp, Inc.* 180 3,996 Texas United Bancshares, Inc. 120 3,959 Intervest Bancshares Corp.* 90 3,920 Placer Sierra Bancshares 170 3,776 Chemical Financial Corp. 120 3,562 Independent Bank Corp. 1 12 --------------- TOTAL BANKS 327,226 --------------- INSURANCE 1.1% Selective Insurance Group, Inc. 200 10,522 Delphi Financial Group, Inc. -- Class A 260 10,369 Ohio Casualty Corp. 370 9,572 National Financial Partners Corp. 230 9,437 See Notes to Financial Statements. 54 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ProAssurance Corp.* 190 $ 9,363 Zenith National Insurance Corp. 230 9,175 LandAmerica Financial Group, Inc. 116 7,632 Argonaut Group, Inc.* 240 7,447 RLI Corp. 146 7,415 Infinity Property & Casualty Corp. 150 6,169 Safety Insurance Group, Inc. 126 6,131 Tower Group, Inc. 120 4,002 Navigators Group, Inc.* 76 3,649 SeaBright Insurance Holdings, Inc.* 230 3,213 Odyssey Re Holdings Corp. 90 3,040 American Physicians Capital, Inc.* 50 2,419 --------------- TOTAL INSURANCE 109,555 --------------- THRIFTS & MORTGAGE FINANCE 1.0% First Niagara Financial Group, Inc. 690 10,060 MAF Bancorp, Inc. 240 9,910 Downey Financial Corp. 130 8,650 Corus Bankshares, Inc. 320 7,155 FirstFed Financial Corp.* 126 7,147 PFF Bancorp, Inc. 190 7,038 Harbor Florida Bancshares, Inc. 140 6,203 Fremont General Corp. 430 6,016 Accredited Home Lenders Holding Co.* 150 5,391 W Holding Co., Inc. 840 4,964 TierOne Corp. 140 4,750 Flagstar Bancorp, Inc. 320 4,656 Triad Guaranty, Inc.* 90 4,605 Franklin Bank Corp.* 220 4,374 Ocwen Financial Corp., Inc.* 280 4,172 Fidelity Bankshares, Inc. 80 3,121 Commercial Capital Bancorp, Inc. 140 2,232 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 100,444 --------------- CAPITAL MARKETS 0.6% Waddell & Reed Financial, Inc. -- Class A 510 12,622 Knight Capital Group, Inc. -- Class A* 660 12,012 Piper Jaffray Cos., Inc.* 140 8,487 LaBranche & Co., Inc.* 510 5,289 Calamos Asset Management, Inc. -- Class A 180 5,277 optionsXpress Holdings, Inc. 150 4,182 Apollo Investment Corp. 180 3,692 GFI Group, Inc.* 40 2,212 --------------- TOTAL CAPITAL MARKETS 53,773 --------------- CONSUMER FINANCE 0.4% Cash America International, Inc. 180 7,035 World Acceptance Corp.* 150 6,597 Advanta Corp. 140 5,166 CompuCredit Corp.* 160 4,834 First Cash Financial Services, Inc.* 180 3,706 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Advance America Cash Advance Centers, Inc. 220 $ 3,172 Ezcorp, Inc. -- Class A* 80 3,094 Asta Funding, Inc. 80 2,999 --------------- TOTAL CONSUMER FINANCE 36,603 --------------- DIVERSIFIED FINANCIALS 0.1% Financial Federal Corp. 200 5,360 Portfolio Recovery Associates, Inc.* 116 5,089 International Securities Exchange Holdings, Inc. 80 3,751 --------------- TOTAL DIVERSIFIED FINANCIALS 14,200 --------------- TOTAL FINANCIALS 992,122 --------------- INFORMATION TECHNOLOGY 8.5% SOFTWARE 1.8% Sybase, Inc.* 530 12,847 Hyperion Solutions Corp.* 350 12,068 TIBCO Software, Inc.* 1,320 11,854 Micros Systems, Inc.* 240 11,741 Ansys, Inc.* 210 9,278 Transaction Systems Architects, Inc. -- Class A* 240 8,237 Kronos, Inc.* 240 8,182 Intergraph Corp.* 190 8,147 MicroStrategy, Inc. -- Class A* 80 8,146 Internet Security Systems, Inc.* 280 7,773 Macrovision Corp.* 310 7,344 Informatica Corp.* 540 7,339 Quest Software, Inc.* 470 6,712 Net 1 UEPS Technologies, Inc.* 290 6,629 Lawson Software, Inc.* 910 6,597 Nuance Communications, Inc.* 780 6,373 Advent Software, Inc.* 140 5,069 Open Solutions, Inc.* 156 4,494 Quality Systems, Inc. 106 4,112 Ultimate Software Group, Inc.* 170 4,000 Progress Software Corp.* 150 3,900 Witness Systems, Inc.* 210 3,681 i2 Technologies, Inc.* 180 3,371 Aspen Technology, Inc.* 300 3,276 SPSS, Inc.* 130 3,241 Filenet Corp.* 90 3,135 Smith Micro Software, Inc.* 150 2,157 --------------- TOTAL SOFTWARE 179,703 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1.8% Varian Semiconductor Equipment Associates, Inc.* 340 12,478 Formfactor, Inc.* 270 11,375 Cymer, Inc.* 230 10,099 RF Micro Devices, Inc.* 1,200 9,096 Trident Microsystems, Inc.* 370 8,606 Microsemi Corp.* 426 8,030 Silicon Image, Inc.* 600 7,632 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 55 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ATMI, Inc.* 258 $ 7,500 Zoran Corp.* 408 6,561 Diodes, Inc.* 150 6,476 Atheros Communications, Inc.* 350 6,346 ON Semiconductor Corp.* 1,030 6,056 OmniVision Technologies, Inc.* 420 5,993 Cabot Microelectronics Corp.* 196 5,649 MKS Instruments, Inc.* 276 5,606 Micrel, Inc.* 580 5,562 DSP Group, Inc.* 230 5,256 Cirrus Logic, Inc.* 690 5,030 Kulicke & Soffa Industries, Inc.* 530 4,685 Advanced Energy Industries, Inc.* 260 4,430 Amkor Technology, Inc.* 840 4,334 Supertex, Inc.* 90 3,498 Semtech Corp.* 270 3,445 Veeco Instruments, Inc.* 170 3,426 Cohu, Inc. 190 3,388 Intevac, Inc.* 200 3,360 AMIS Holdings, Inc.* 340 3,227 Netlogic Microsystems, Inc.* 120 3,044 Asyst Technologies, Inc.* 300 2,028 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 172,216 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.3% Flir Systems, Inc.* 430 11,679 Benchmark Electronics, Inc.* 400 10,752 Itron, Inc.* 166 9,263 Global Imaging Systems, Inc.* 360 7,945 Rogers Corp.* 120 7,410 Coherent, Inc.* 196 6,793 Anixter International, Inc. 120 6,777 Rofin-Sinar Technologies, Inc.* 108 6,563 Littelfuse, Inc.* 170 5,899 Plexus Corp.* 286 5,491 Scansource, Inc.* 180 5,460 Daktronics, Inc. 250 5,173 Cogent, Inc.* 360 4,943 Brightpoint, Inc.* 320 4,550 Park Electrochemical Corp. 140 4,435 MTS Systems Corp. 136 4,398 Electro Scientific Industries, Inc.* 190 3,914 TTM Technologies, Inc.* 320 3,744 CTS Corp. 240 3,307 SYNNEX Corp.* 140 3,221 Zygo Corp., Inc.* 230 2,933 Agilsys, Inc. 200 2,808 Checkpoint Systems, Inc.* 130 2,146 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 129,604 --------------- INTERNET SOFTWARE & SERVICES 1.2% Digital River, Inc.* 240 12,269 ValueClick, Inc.* 620 11,495 aQuantive, Inc.* 450 10,629 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- j2 Global Communications, Inc.* 316 $ 8,586 RealNetworks, Inc.* 740 7,851 EarthLink, Inc.* 990 7,197 Digitas, Inc.* 740 7,119 Websense, Inc.* 326 7,045 Digital Insight Corp.* 210 6,157 United Online, Inc. 490 5,968 CNET Networks, Inc.* 520 4,982 SonicWALL, Inc.* 410 4,477 WebEx Communications, Inc.* 110 4,292 InfoSpace, Inc.* 220 4,057 Vignette Corp.* 220 2,979 Internap Network Services Corp.* 190 2,892 Click Commerce, Inc.* 110 2,488 TheStreet.com, Inc. 200 2,128 --------------- TOTAL INTERNET SOFTWARE & SERVICES 112,611 --------------- COMMUNICATIONS EQUIPMENT 1.1% Polycom, Inc.* 520 12,756 Foundry Networks, Inc.* 930 12,229 Interdigital Communications Corp.* 340 11,594 CommScope, Inc.* 346 11,369 ADTRAN, Inc. 440 10,490 Avocent Corp.* 290 8,735 Arris Group, Inc.* 700 8,022 Redback Networks, Inc.* 380 5,274 Black Box Corp. 126 4,904 Netgear, Inc.* 200 4,118 ViaSat, Inc.* 140 3,511 Blue Coat Systems, Inc.* 170 3,062 Radyne Corp., Inc.* 240 2,938 Packeteer, Inc.* 310 2,669 Sirenza Microdevices, Inc.* 250 1,975 --------------- TOTAL COMMUNICATIONS EQUIPMENT 103,646 --------------- IT CONSULTING & SERVICES 0.8% CACI International, Inc. -- Class A* 210 11,552 MPS Group, Inc.* 680 10,275 BISYS Group, Inc.* 770 8,362 CSG Systems International, Inc.* 290 7,665 eFunds Corp.* 300 7,254 Perot Systems Corp. -- Class A* 520 7,171 Talx Corp. 260 6,375 Mantech International Corp. -- Class A* 136 4,489 Keane, Inc.* 310 4,467 SRA International, Inc. -- Class A* 130 3,908 SYKES Enterprises, Inc.* 160 3,256 Lightbridge, Inc.* 250 2,930 Euronet Worldwide, Inc.* 90 2,209 --------------- TOTAL IT CONSULTING & SERVICES 79,913 --------------- COMPUTERS & PERIPHERALS 0.5% Brocade Communications Systems, Inc.* 1,660 11,720 Imation Corp. 250 10,037 Palm, Inc.* 680 9,901 See Notes to Financial Statements. 56 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Electronics for Imaging, Inc.* 340 $ 7,779 Komag, Inc.* 230 7,351 Synaptics, Inc.* 166 4,045 --------------- TOTAL COMPUTERS & PERIPHERALS 50,833 --------------- TOTAL INFORMATION TECHNOLOGY 828,526 --------------- CONSUMER DISCRETIONARY 7.1% SPECIALTY RETAIL 1.9% Rent-A-Center, Inc.* 420 12,302 Charming Shoppes, Inc.* 820 11,710 Aeropostale, Inc.* 390 11,400 Men's Wearhouse, Inc. 300 11,163 Regis Corp. 286 10,253 Payless Shoesource, Inc.* 398 9,910 Tween Brands, Inc.* 230 8,648 Pantry, Inc.* 150 8,455 Gymboree Corp.* 200 8,436 Group 1 Automotive, Inc. 166 8,283 Dress Barn, Inc.* 376 8,204 Pacific Sunwear of California, Inc.* 490 7,389 Stage Stores, Inc. 250 7,335 Select Comfort Corp.* 330 7,220 Guess ?, Inc.* 148 7,182 Hibbett Sporting Goods, Inc.* 270 7,069 Christopher & Banks Corp. 236 6,957 Cato Corp. -- Class A 280 6,135 Genesco, Inc.* 176 6,067 Sonic Automotive, Inc. 220 5,080 CSK Auto Corp.* 360 5,076 Talbots, Inc. 150 4,088 Shoe Carnival, Inc.* 140 3,531 Citi Trends, Inc.* 70 2,416 --------------- TOTAL SPECIALTY RETAIL 184,309 --------------- HOTELS, RESTAURANTS & LEISURE 1.3% Jack in the Box, Inc.* 228 11,897 Sonic Corp.* 520 11,757 Ruby Tuesday, Inc. 390 10,994 Pinnacle Entertainment, Inc.* 310 8,717 CBRL Group, Inc. 190 7,682 CKE Restaurants, Inc. 446 7,457 Vail Resorts, Inc.* 180 7,204 Rare Hospitality International, Inc.* 230 7,029 Bob Evans Farms, Inc. 230 6,965 CEC Entertainment, Inc.* 210 6,617 Domino's Pizza, Inc. 256 6,566 Papa John's International, Inc.* 176 6,355 WMS Industries, Inc.* 210 6,134 IHOP Corp. 128 5,933 Texas Roadhouse Co., Inc.* 330 4,052 Ameristar Casinos, Inc. 170 3,691 Landry's Restaurants, Inc. 116 3,497 Speedway Motorsports, Inc. 96 3,495 Dover Downs Gaming & Entertainment, Inc. 240 2,916 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Monarch Casino & Resort, Inc.* 120 $ 2,327 Shuffle Master, Inc.* 80 2,161 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 133,446 --------------- TEXTILES & APPAREL 0.9% Phillips-Van Heusen Corp. 320 13,366 Wolverine World Wide, Inc. 370 10,475 Brown Shoe Co., Inc. 190 6,810 Carter's, Inc.* 240 6,334 K-Swiss, Inc. -- Class A 208 6,252 Warnaco Group, Inc.* 320 6,189 Kellwood Co. 200 5,766 Fossil, Inc.* 260 5,600 Steven Madden Ltd. 130 5,101 Columbia Sportswear Co.* 90 5,025 Oxford Industries, Inc. 100 4,291 Iconix Brand Group, Inc.* 250 4,025 Deckers Outdoor Corp.* 80 3,786 True Religion Apparel, Inc.* 120 2,533 --------------- TOTAL TEXTILES & APPAREL 85,553 --------------- MEDIA 0.8% Catalina Marketing Corp. 300 8,250 Lee Enterprises, Inc. 320 8,077 Scholastic Corp.* 230 7,164 Arbitron, Inc. 190 7,032 Valassis Communications, Inc.* 380 6,707 RCN Corp.* 220 6,226 Entercom Communications Corp. 230 5,796 Interactive Data Corp.* 270 5,386 CKX, Inc.* 430 5,354 Westwood One, Inc. 610 4,319 Morningstar, Inc.* 90 3,321 Cumulus Media, Inc. -- Class A* 300 2,868 Journal Register Co. 450 2,552 Citadel Broadcasting Corp. 250 2,350 Playboy Enterprises, Inc. -- Class B* 240 2,258 World Wrestling Entertainment, Inc. 130 2,136 --------------- TOTAL MEDIA 79,796 --------------- HOUSEHOLD DURABLES 0.6% American Greetings Corp. -- Class A 400 9,248 Yankee Candle Co., Inc. 286 8,371 Ethan Allen Interiors, Inc. 230 7,972 Tempur-Pedic International, Inc.* 420 7,211 Meritage Homes Corp.* 170 7,074 Furniture Brands International, Inc. 340 6,474 Champion Enterprises, Inc.* 680 4,692 Interface, Inc. -- Class A* 346 4,456 Brookfield Homes Corp. 130 3,661 --------------- TOTAL HOUSEHOLD DURABLES 59,159 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 57 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES 0.5% Sotheby's Holdings, Inc. -- Class A 370 $ 11,929 Strayer Education, Inc. 90 9,739 DeVry, Inc.* 420 8,934 Bright Horizons Family Solutions, Inc.* 180 7,511 Jackson Hewitt Tax Service, Inc. 210 6,302 Corinthian Colleges, Inc.* 520 5,621 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 50,036 --------------- AUTO COMPONENTS 0.3% Tenneco Automotive, Inc.* 320 7,485 ArvinMeritor, Inc. 500 7,120 LKQ Corp.* 290 6,371 Drew Industries, Inc.* 130 3,284 Aftermarket Technology Corp.* 150 2,664 --------------- TOTAL AUTO COMPONENTS 26,924 --------------- LEISURE EQUIPMENT & PRODUCTS 0.2% Marvel Entertainment, Inc.* 320 7,725 RC2 Corp.* 160 5,365 Jakks Pacific, Inc.* 186 3,316 MarineMax, Inc.* 130 3,308 Oakley, Inc. 180 3,069 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 22,783 --------------- INTERNET & CATALOG RETAIL 0.2% Priceline.com, Inc.* 200 7,358 Netflix, Inc.* 250 5,695 Stamps.com, Inc.* 138 2,630 PetMed Express, Inc.* 220 2,297 --------------- TOTAL INTERNET & CATALOG RETAIL 17,980 --------------- MULTILINE RETAIL 0.2% Big Lots, Inc.* 670 13,273 Bon-Ton Stores, Inc. 100 2,974 --------------- TOTAL MULTILINE RETAIL 16,247 --------------- DISTRIBUTORS 0.1% Building Material Holding Corp. 250 6,505 Keystone Automotive Industries, Inc.* 130 4,942 --------------- TOTAL DISTRIBUTORS 11,447 --------------- AUTOMOBILES 0.1% Winnebago Industries, Inc. 220 6,904 --------------- TOTAL AUTOMOBILES 6,904 --------------- TOTAL CONSUMER DISCRETIONARY 694,584 --------------- INDUSTRIALS 6.2% COMMERCIAL SERVICES & SUPPLIES 1.7% Watson Wyatt & Co. Holdings 270 11,048 Waste Connections, Inc.* 270 10,236 Brady Corp. -- Class A 278 9,775 United Stationers, Inc.* 200 9,302 Herman Miller, Inc. 230 7,868 John H. Harland Co. 200 7,290 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Resources Connection, Inc.* 270 $ 7,233 Banta Corp. 150 7,140 Korn/Ferry International, Inc.* 330 6,910 Deluxe Corp. 400 6,840 Advisory Board Co.* 128 6,467 Mine Safety Appliances Co. 176 6,273 FTI Consulting, Inc.* 250 6,265 Viad Corp. 176 6,232 American Reprographics Co.* 180 5,771 Labor Ready, Inc.* 340 5,416 Administaff, Inc. 160 5,392 Heidrick & Struggles International, Inc.* 130 4,680 CoStar Group, Inc.* 110 4,545 Clean Harbors, Inc.* 100 4,355 Consolidated Graphics, Inc.* 66 3,971 Rollins, Inc. 180 3,800 Amrep Corp. PLC -- SP ADR 70 3,421 ICT Group, Inc.* 90 2,832 School Specialty, Inc.* 80 2,823 Kenexa Corp. -- Class A* 110 2,774 Volt Information Sciences, Inc.* 70 2,489 Spherion Corp.* 330 2,360 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 163,508 --------------- MACHINERY 1.2% Navistar International Corp.* 440 11,361 Mueller Industries, Inc. 280 9,848 Actuant Corp. -- Class A 180 9,018 Nordson Corp. 200 7,972 Wabtec Corp. 290 7,868 Briggs & Stratton Corp. 270 7,438 Watts Industries, Inc. -- Class A 210 6,670 Kaydon Corp. 180 6,664 Freightcar America, Inc. 110 5,830 NACCO Industries, Inc. -- Class A 40 5,436 Albany International Corp. -- Class A 170 5,409 Barnes Group, Inc. 276 4,847 Bucyrus International, Inc. -- Class A 100 4,242 EnPro Industries, Inc.* 140 4,208 Ampco-Pittsburgh Corp. PLC -- SP ADR 100 3,093 Middleby Corp.* 40 3,082 Accuride Corp.* 270 2,973 Dynamic Materials Corp. 90 2,918 American Science & Engineering, Inc.* 60 2,911 Astec Industries, Inc.* 110 2,777 Columbus McKinnon Corp. -- Class A* 110 1,983 --------------- TOTAL MACHINERY 116,548 --------------- See Notes to Financial Statements. 58 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT 0.8% Acuity Brands, Inc. 280 $ 12,712 General Cable Corp.* 300 11,463 Belden CDT, Inc. 280 10,704 Genlyte Group, Inc.* 140 9,968 Regal-Beloit Corp. 210 9,135 Woodward Governor Co. 196 6,574 A.O. Smith Corp. 136 5,363 Superior Essex, Inc.* 126 4,316 Lamson & Sessions Co., Inc.* 120 2,858 --------------- TOTAL ELECTRICAL EQUIPMENT 73,093 --------------- AEROSPACE & DEFENSE 0.7% Hexcel Corp.* 590 8,349 Moog, Inc. -- Class A* 240 8,319 Teledyne Technologies, Inc.* 206 8,158 BE Aerospace, Inc.* 370 7,803 Ceradyne, Inc.* 170 6,985 Orbital Sciences Corp.* 370 6,945 Triumph Group, Inc. 120 5,082 United Industrial Corp. 80 4,280 EDO Corp. 130 2,974 Ladish Co., Inc.* 100 2,888 Esterline Technologies Corp.* 80 2,701 Herley Industries, Inc.* 180 2,228 --------------- TOTAL AEROSPACE & DEFENSE 66,712 --------------- BUILDING PRODUCTS 0.4% NCI Building Systems, Inc.* 126 7,329 Universal Forest Products, Inc. 140 6,867 Simpson Manufacturing Co., Inc. 250 6,757 ElkCorp 126 3,421 Builders FirstSource, Inc.* 200 3,046 American Woodmark Corp. 90 3,032 PW Eagle, Inc. 90 2,701 Ameron International Corp. 40 2,658 Insteel Industries, Inc. 110 2,186 --------------- TOTAL BUILDING PRODUCTS 37,997 --------------- CONSTRUCTION & ENGINEERING 0.3% EMCOR Group, Inc.* 210 11,516 Granite Construction, Inc. 210 11,204 Washington Group International, Inc. 190 11,183 --------------- TOTAL CONSTRUCTION & ENGINEERING 33,903 --------------- TRADING COMPANIES & DISTRIBUTORS 0.3% Watsco, Inc. 170 7,822 Beacon Roofing Supply, Inc.* 360 7,286 UAP Holding Corp. 338 7,223 Applied Industrial Technologies, Inc. 280 6,832 BlueLinx Holdings, Inc. 210 1,999 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 31,162 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ROAD & RAIL 0.3% Arkansas Best Corp. 160 $ 6,885 Genesee & Wyoming, Inc. -- Class A* 286 6,641 Heartland Express, Inc. 390 6,115 Knight Transportation, Inc. 350 5,932 Amerco, Inc.* 70 5,191 --------------- TOTAL ROAD & RAIL 30,764 --------------- AIR FREIGHT & COURIERS 0.3% EGL, Inc.* 190 6,924 Pacer International, Inc. 230 6,385 Atlas Air Worldwide Holdings Co., Inc.* 140 6,093 HUB Group, Inc. -- Class A* 266 6,059 Forward Air Corp. 60 1,985 --------------- TOTAL AIR FREIGHT & COURIERS 27,446 --------------- AIRLINES 0.2% SkyWest, Inc. 430 10,544 AirTran Holdings, Inc.* 540 5,357 Republic Airways Holdings, Inc.* 270 4,190 ExpressJet Holdings, Inc.* 450 2,974 --------------- TOTAL AIRLINES 23,065 --------------- TOTAL INDUSTRIALS 604,198 --------------- HEALTH CARE 5.5% HEALTH CARE EQUIPMENT & SUPPLIES 2.0% Hologic, Inc.* 300 13,056 Mentor Corp. 230 11,590 Steris Corp. 430 10,346 Immucor, Inc.* 460 10,308 Kyphon, Inc.* 270 10,103 Varian, Inc.* 210 9,633 Bio--Rad Laboratories, Inc. -- Class A* 136 9,619 Haemonetics Corp.* 180 8,424 West Pharmaceutical Services, Inc. 196 7,697 Dionex Corp.* 150 7,641 American Medical Systems Holdings, Inc.* 410 7,556 ArthroCare Corp.* 160 7,498 Lifecell Corp.* 226 7,282 PolyMedica Corp. 166 7,106 DJ Orthopedics, Inc.* 168 6,977 Thoratec Corp.* 390 6,088 Biosite, Inc.* 120 5,548 Integra LifeSciences Holdings Corp.* 148 5,547 Palomar Medical Technologies, Inc.* 128 5,402 ICU Medical, Inc.* 100 4,548 Conmed Corp.* 180 3,800 OraSure Technologies, Inc.* 450 3,618 SurModics, Inc.* 100 3,512 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 59 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Abaxis, Inc.* 150 $ 3,508 Quidel Corp.* 240 3,389 PharmaNet Development Group, Inc.* 170 3,303 Meridian Bioscience, Inc. 140 3,291 Candela Corp.* 290 3,164 Zoll Medical Corp.* 60 2,153 Molecular Devices Corp.* 116 2,145 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 193,852 --------------- BIOTECHNOLOGY 1.5% OSI Pharmaceuticals, Inc.* 330 12,385 ICOS Corp.* 440 11,027 Myogen, Inc.* 300 10,524 Alkermes, Inc.* 660 10,461 Illumina, Inc.* 290 9,582 BioMarin Pharmaceuticals, Inc.* 580 8,253 United Therapeutics Corp.* 156 8,196 Cubist Pharmaceuticals, Inc.* 350 7,609 Digene Corp.* 156 6,731 Myriad Genetics, Inc.* 270 6,656 Nuvelo, Inc.* 360 6,566 Martek Biosciences Corp.* 300 6,453 Telik, Inc.* 360 6,404 Pharmion Corp.* 230 4,957 Senomyx, Inc.* 276 4,242 Progenics Pharmaceuticals, Inc.* 180 4,223 Alnylam Pharmaceuticals, Inc.* 250 3,603 Savient Pharmaceuticals, Inc.* 480 3,125 BioCryst Pharmaceuticals, Inc.* 220 2,743 Keryx Biopharmaceuticals, Inc.* 230 2,721 Alexion Pharmaceuticals, Inc.* 80 2,718 Tanox, Inc.* 228 2,695 Phase Forward, Inc.* 200 2,388 Renovis, Inc.* 150 2,064 --------------- TOTAL BIOTECHNOLOGY 146,326 --------------- HEALTH CARE PROVIDERS & SERVICES 1.3% Psychiatric Solutions, Inc.* 330 11,250 Magellan Health Services, Inc.* 250 10,650 AMERIGROUP Corp.* 350 10,342 Sunrise Senior Living, Inc.* 330 9,857 Owens & Minor, Inc. 238 7,828 United Surgical Partners International, Inc.* 288 7,151 Apria Healthcare Group, Inc.* 350 6,909 inVentiv Health, Inc.* 210 6,726 Per-Se Technologies, Inc.* 246 5,604 Chemed Corp. 170 5,484 LCA-Vision, Inc. 128 5,288 Centene Corp.* 300 4,932 Amedisys, Inc.* 120 4,760 HealthExtras, Inc.* 160 4,530 PRA International* 160 4,270 The Trizetto Group, Inc.* 270 4,088 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Gentiva Health Services, Inc.* 240 $ 3,946 Computer Programs & Systems, Inc. 90 2,949 Omnicell, Inc.* 160 2,862 Molina Healthcare, Inc.* 80 2,829 Air Methods Corp. -- SP ADR* 100 2,360 Odyssey HealthCare, Inc.* 160 2,269 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 126,884 --------------- PHARMACEUTICALS 0.7% Valeant Pharmaceuticals International 580 11,472 MGI Pharma, Inc.* 480 8,261 Perrigo Co. 460 7,806 KV Pharmaceutical Co.* 300 7,110 Viropharma, Inc.* 570 6,937 Alpharma, Inc. -- Class A 276 6,456 Noven Pharmaceuticals, Inc.* 190 4,583 Sciele Pharma, Inc.* 240 4,521 Kendle International, Inc.* 110 3,522 Pain Therapeutics, Inc.* 380 3,276 Bradley Pharmaceuticals, Inc.* 190 3,025 New River Pharmaceuticals, Inc.* 110 2,830 Medicis Pharmaceutical Corp. -- Class A 80 2,588 CNS, Inc. 90 2,541 --------------- TOTAL PHARMACEUTICALS 74,928 --------------- TOTAL HEALTH CARE 541,990 --------------- ENERGY 2.3% OIL & GAS 1.2% Houston Exploration Co.* 170 9,375 Giant Industries, Inc.* 98 7,958 World Fuel Services Corp. 190 7,686 Penn Virginia Corp. 120 7,609 Swift Energy Co.* 180 7,528 Stone Energy Corp.* 180 7,286 Comstock Resources, Inc.* 250 6,788 USEC, Inc. 680 6,555 Alpha Natural Resources, Inc.* 400 6,304 Berry Petroleum Co. -- Class A 216 6,083 Atlas America, Inc.* 140 5,975 Parallel Petroleum Corp.* 250 5,015 PetroHawk Energy Corp.* 450 4,671 Carrizo Oil & Gas, Inc.* 170 4,384 Petroleum Development Corp.* 106 4,228 Vaalco Energy, Inc.* 530 3,805 Crosstex Energy, Inc. 36 3,225 Energy Partners Ltd.* 120 2,958 Harvest Natural Resources, Inc.* 270 2,795 Alon USA Energy, Inc. 90 2,654 GMX Resources, Inc.* 70 2,197 Edge Petroleum Corp.* 110 1,812 --------------- TOTAL OIL & GAS 116,891 --------------- See Notes to Financial Statements. 60 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES 1.1% Hanover Compressor Co.* 610 $ 11,114 Universal Compression Holdings, Inc.* 200 10,690 Lone Star Technologies, Inc.* 220 10,644 NS Group, Inc.* 146 9,424 Grey Wolf, Inc.* 1,362 9,098 Oil States International, Inc.* 300 8,250 Atwood Oceanics, Inc.* 180 8,095 W-H Energy Services, Inc.* 190 7,879 Hydril* 120 6,727 Parker Drilling Co.* 898 6,358 Dril-Quip, Inc.* 90 6,091 Lufkin Industries, Inc. 108 5,715 Input/Output, Inc.* 570 5,660 Trico Marine Services, Inc.* 90 3,038 Natco Group, Inc.* 100 2,880 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 111,663 --------------- TOTAL ENERGY 228,554 --------------- MATERIALS 2.0% METALS & MINING 0.8% Oregon Steel Mills, Inc.* 220 10,751 Cleveland-Cliffs, Inc. 270 10,290 Aleris International, Inc.* 200 10,108 Chaparral Steel Co.* 290 9,877 Coeur d'Alene Mines Corp.* 1,850 8,714 AK Steel Holding Corp.* 700 8,498 RTI International Metals, Inc.* 140 6,101 Quanex Corp. 200 6,070 Schnitzer Steel Industries, Inc. -- Class A 190 5,993 Ryerson Tull, Inc. 206 4,509 --------------- TOTAL METALS & MINING 80,911 --------------- CHEMICALS 0.8% Hercules, Inc.* 680 10,724 OM Group, Inc.* 200 8,788 H.B. Fuller Co. 350 8,204 Georgia Gulf Corp. 260 7,129 NewMarket Corp. 120 6,979 PolyOne Corp.* 780 6,498 Olin Corp. 420 6,451 Spartech Corp. 240 6,425 Rockwood Holdings, Inc.* 250 4,995 A. Schulman, Inc. 200 4,702 Pioneer Cos., Inc.* 120 2,941 Zoltek Cos., Inc.* 80 2,044 --------------- TOTAL CHEMICALS 75,880 --------------- CONTAINERS & PACKAGING 0.3% AptarGroup, Inc. 210 10,685 Greif, Inc. -- Class A 110 8,812 Silgan Holdings, Inc. 156 5,859 --------------- TOTAL CONTAINERS & PACKAGING 25,356 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSTRUCTION MATERIALS 0.1% Headwaters, Inc.* 320 $ 7,472 U S Concrete, Inc.* 510 3,320 --------------- TOTAL CONSTRUCTION MATERIALS 10,792 --------------- PAPER & FOREST PRODUCTS 0.0% Deltic Timber Corp. 60 2,860 --------------- TOTAL PAPER & FOREST PRODUCTS 2,860 --------------- TOTAL MATERIALS 195,799 --------------- UTILITIES 1.4% ELECTRIC UTILITIES 0.6% Westar Energy, Inc. 510 11,990 IDACORP, Inc. 270 10,209 Cleco Corp. 400 10,096 Allete, Inc. 170 7,387 El Paso Electric Co.* 330 7,372 Unisource Energy Corp. 210 6,999 Otter Tail Power Co. 210 6,140 --------------- TOTAL ELECTRIC UTILITIES 60,193 --------------- GAS UTILITIES 0.6% Piedmont Natural Gas Co. 460 11,643 Nicor, Inc. 260 11,118 Southwest Gas Corp. 270 8,996 WGL Holdings, Inc. 230 7,208 Northwest Natural Gas Co. 170 6,678 South Jersey Industries, Inc. 210 6,281 Laclede Group, Inc. 150 4,812 --------------- TOTAL GAS UTILITIES 56,736 --------------- MULTI-UTILITIES 0.2% Avista Corp. 300 7,104 PNM Resources, Inc. 240 6,617 Ormat Technologies, Inc. 60 1,963 --------------- TOTAL MULTI-UTILITIES 15,684 --------------- TOTAL UTILITIES 132,613 --------------- CONSUMER STAPLES 1.1% FOOD PRODUCTS 0.4% Flowers Foods, Inc. 330 8,870 Ralcorp Holdings, Inc.* 160 7,717 Lancaster Colony Corp. 160 7,162 Tootsie Roll Industries, Inc. 230 6,741 Hain Celestial Group, Inc.* 220 5,623 Imperial Sugar Co., Inc. 90 2,801 --------------- TOTAL FOOD PRODUCTS 38,914 --------------- FOOD & DRUG RETAILING 0.3% Longs Drug Stores Corp. 210 9,662 United Natural Foods, Inc.* 280 8,677 Central European Distribution Corp.* 230 5,384 Wild Oats Markets, Inc.* 200 3,234 Nash Finch Co. 120 2,824 Andersons, Inc. 80 2,732 --------------- TOTAL FOOD & DRUG RETAILING 32,513 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 61 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- PERSONAL PRODUCTS 0.3% NBTY, Inc.* 360 $ 10,537 Chattem, Inc.* 140 4,917 American Oriental Bioengineering, Inc. PLC -- SP ADR* 560 3,405 Elizabeth Arden, Inc.* 200 3,232 Prestige Brands Holdings, Inc. -- Class A* 290 3,231 USANA Health Sciences, Inc.* 50 2,229 --------------- TOTAL PERSONAL PRODUCTS 27,551 --------------- HOUSEHOLD PRODUCTS 0.1% Central Garden and Pet Co.* 150 7,239 --------------- TOTAL HOUSEHOLD PRODUCTS 7,239 --------------- BEVERAGES 0.0% MGP Ingredients, Inc. 90 1,914 --------------- TOTAL BEVERAGES 1,914 --------------- TOTAL CONSUMER STAPLES 108,131 --------------- TELECOMMUNICATION SERVICES 0.6% DIVERSIFIED TELECOMMUNICATION SERVICES 0.4% Time Warner Telecom, Inc. -- Class A* 470 8,935 Cincinnati Bell, Inc.* 1,610 7,760 Commonwealth Telephone Enterprises, Inc. 180 7,421 Iowa Telecommunications Services, Inc. 250 4,947 Golden Telecom, Inc. 140 4,235 CT Communications, Inc. 180 3,910 --------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 37,208 --------------- WIRELESS TELECOMMUNICATION SERVICES 0.2% Dobson Communications Corp. -- Class A* 930 6,529 iPCS, Inc. -- Class A* 120 6,426 USA Mobility, Inc. 210 4,796 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 17,751 --------------- TOTAL TELECOMMUNICATION SERVICES 54,959 --------------- TOTAL COMMON STOCKS (Cost $4,233,417) 4,381,476 --------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 62.6% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 137,444 $ 137,444 4.95% due 10/02/06 2,082,332 2,082,332 4.94% due 10/02/06+ 56,428 56,428 4.89% due 10/02/06 1,353,516 1,353,516 4.80% due 10/02/06 2,498,798 2,498,798 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $6,128,518) 6,128,518 --------------- TOTAL INVESTMENTS 107.4% (Cost $10,361,935) $ 10,509,994 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (7.4)% $ (728,379) =============== NET ASSETS - 100.0% $ 9,781,615 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $2,335,680) 32 $ 19,385 =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENTS November 2006 Russell 2000(R) Index Swap, Maturing 11/21/06** (Notional Market Value $2,451,137) 3,378 $ (25,688) December 2006 Russell 2000(R) Index Swap, Maturing 12/27/06** (Notional Market Value $614,806) 847 (5,980) --------------- (TOTAL NOTIONAL MARKET VALUE $3,065,943) $ (31,668) =============== * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. 62 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- INVERSE RUSSELL 2000(R) FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 98.5% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 3,413,851 $ 3,413,851 4.95% due 10/02/06 51,721,220 51,721,220 4.94% due 10/02/06+ 16,079,027 16,079,027 4.89% due 10/02/06 33,618,793 33,618,793 4.80% due 10/02/06 62,065,464 62,065,464 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $166,898,355) 166,898,355 --------------- TOTAL INVESTMENTS 98.5% (Cost $166,898,355) $ 166,898,355 =============== OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% $ 2,590,435 =============== NET ASSETS - 100.0% $ 169,488,790 ================================================================================ UNREALIZED LOSS CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT December 2006 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $28,539,090) 391 $ (174,937) =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENT SOLD SHORT November 2006 Russell 2000(R) Index Swap, Maturing 11/21/06* (Notional Market Value $141,006,263) 194,333 $ (4,091,077) =============== * PRICE RETURN BASED ON RUSSELL 2000(R) INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 63 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- GOVERNMENT LONG BOND ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS 94.8% U.S. Treasury Bond at 4.50% due 02/15/36 $ 160,055,000 $ 153,327,688 --------------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $143,828,639) 153,327,688 --------------- REPURCHASE AGREEMENTS 6.7% Repurchase Agreement (Note 6) 5.00% due 10/02/06 246,646 246,646 4.95% due 10/02/06 3,736,792 3,736,792 4.89% due 10/02/06 2,428,915 2,428,915 4.80% due 10/02/06 4,484,150 4,484,150 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $10,896,503) 10,896,503 --------------- TOTAL INVESTMENTS 101.5% (Cost $154,725,142) $ 164,224,191 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (1.5)% $ (2,447,552) =============== NET ASSETS - 100.0% $ 161,776,639 ================================================================================ UNREALIZED GAIN CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $63,267,125) 563 $ 1,123,906 =============== See Notes to Financial Statements. 64 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 40.1% Farmer Mac* 5.13% due 12/15/06 $ 42,463,000 $ 42,015,228 Federal Home Loan Bank* 5.13% due 10/24/06 50,000,000 49,843,250 5.07% due 12/20/06 50,000,000 49,443,708 5.24% due 10/11/06 25,000,000 24,967,250 Freddie Mac* 4.97% due 10/17/06 50,000,000 49,896,458 5.01% due 10/17/06+ 50,000,000 49,895,625 5.02% due 11/21/06+ 50,000,000 49,651,389 5.00% due 12/29/06+ 50,000,000 49,388,889 --------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $365,101,797) 365,101,797 --------------- CONTRACTS -------------- OPTIONS PURCHASED 0.0% Call Options on: December 2006 U.S. Treasury Bond Index Futures Contracts Expiring November 2006 with strike price of 120++ 1,980 -- --------------- TOTAL OPTIONS PURCHASED (Cost $39,353) -- --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 134.4% Repurchase Agreement (Note 6) 5.00% due 10/02/06+ $ 12,500,438 12,500,438 4.95% due 10/02/06+ 189,386,637 189,386,637 4.89% due 10/02/06+ 123,101,314 123,101,314 4.80% due 10/02/06+ 227,263,965 227,263,965 Individual Repurchase Agreement Lehman Brothers, Inc. at 4.85% due 10/02/06 (Secured by U.S. Treasury Bonds, at a rate of 4.50% and maturing 02/15/36 as collateral, with a Market Value of $492,276,576) and a Maturity Value of $482,800,053 482,605,000 482,605,000 MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- Individual Repurchase Agreement CitiGroup at 4.90% due 10/02/06 (Secured by U.S.Treasury Bonds, at a rate of 4.50% and maturing 02/15/36 as collateral, with a Market Value of $193,256,013) and a Maturity Value of $189,538,147 $ 189,460,784 $ 189,460,784 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,224,318,138) 1,224,318,138 --------------- TOTAL LONG TERM SECURITIES 174.5% (Cost $1,589,459,288) 1,589,419,935 --------------- U.S. TREASURY OBLIGATION SOLD SHORT (75.1)% U.S. Treasury Bond at 4.50% due 02/15/36 713,508,000 (683,518,367) TOTAL U.S. TREASURY OBLIGATION SOLD SHORT (Proceeds $704,718,709) (683,518,367) --------------- TOTAL SHORT SALES (Proceeds $704,718,709) (683,518,367) --------------- TOTAL INVESTMENTS 99.4% (Cost $884,740,579) $ 905,901,568 =============== OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% $ 4,739,641 =============== NET ASSETS - 100.0% $ 910,641,209 ================================================================================ UNREALIZED LOSS CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS SOLD SHORT December 2006 U.S. Treasury Bond Futures Contracts (Aggregate Market Value of Contracts $356,004,000) 3,168 $ (6,018,153) =============== * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. + ALL OR A PORTION OF THIS SECURITY IS HELD AS COLLATERAL AT SEPTEMBER 30, 2006. ++ SECURITY IS FAIR VALUED. (NOTE 1) See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 65 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 56.4% FINANCIALS 15.7% BANKS 9.8% HSBC Holdings PLC -- SP ADR 34,270 $ 3,136,733 Barclays PLC -- SP ADR 28,760 1,460,145 ABN AMRO Holding NV -- SP ADR 42,839 1,251,756 Banco Santander Central Hispano SA -- SP ADR 78,730 1,243,147 Lloyds TSB Group PLC -- SP ADR 26,240 1,062,720 Banco Bilbao Vizcaya Argentaria SA -- SP ADR 30,110 696,444 --------------- TOTAL BANKS 8,850,945 --------------- CAPITAL MARKETS 3.0% UBS AG 27,910 1,655,342 Deutsche Bank AG 5,990 722,993 Credit Suisse Group -- SP ADR 6,580 381,311 --------------- TOTAL CAPITAL MARKETS 2,759,646 --------------- INSURANCE 1.6% Allianz AG -- SP ADR 48,099 833,555 AXA -- SP ADR 16,570 611,599 --------------- TOTAL INSURANCE 1,445,154 --------------- DIVERSIFIED FINANCIALS 1.3% ING Groep NV -- SP ADR 27,680 1,217,367 --------------- TOTAL DIVERSIFIED FINANCIALS 1,217,367 --------------- TOTAL FINANCIALS 14,273,112 --------------- ENERGY 9.6% OIL & GAS 9.6% BP PLC -- SP ADR 49,329 3,234,996 Royal Dutch Shell PLC -- SP ADR 29,900 1,976,390 Total SA -- SP ADR 26,600 1,754,004 ENI-Ente Nazionale Idrocarburi -- SP ADR 24,940 1,484,179 Repsol YPF SA -- SP ADR 9,000 268,470 --------------- TOTAL OIL & GAS 8,718,039 --------------- TOTAL ENERGY 8,718,039 --------------- HEALTH CARE 7.0% PHARMACEUTICALS 6.5% Novartis AG -- SP ADR 39,540 2,310,718 GlaxoSmithKline PLC -- SP ADR 40,130 2,136,120 AstraZeneca PLC -- SP ADR 22,790 1,424,375 --------------- TOTAL PHARMACEUTICALS 5,871,213 --------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.5% Alcon, Inc. 3,750 429,375 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 429,375 --------------- TOTAL HEALTH CARE 6,300,588 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 6.1% DIVERSIFIED TELECOMMUNICATION SERVICES 4.3% Telefonica SA 28,680 $ 1,485,911 BT Group PLC -- SP ADR 22,520 1,138,837 Deutsche Telekom AG -- SP ADR 35,820 568,463 France Telecom SA -- SP ADR 19,830 462,237 Telecom Italia -- SP ADR 8,710 246,754 --------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 3,902,202 --------------- WIRELESS TELECOMMUNICATION SERVICES 1.8% Vodafone Group PLC -- SP ADR 70,239 1,605,664 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,605,664 --------------- TOTAL TELECOMMUNICATION SERVICES 5,507,866 --------------- MATERIALS 4.0% METALS & MINING 2.8% Anglo American PLC -- ADR 66,689 1,407,138 Rio Tinto PLC -- SP ADR 3,250 616,297 BHP Billiton Ltd. -- SP ADR 13,970 529,184 --------------- TOTAL METALS & MINING 2,552,619 --------------- CHEMICALS 1.2% BASF AG -- SP ADR 12,900 1,033,290 --------------- TOTAL CHEMICALS 1,033,290 --------------- TOTAL MATERIALS 3,585,909 --------------- INFORMATION TECHNOLOGY 3.9% COMMUNICATIONS EQUIPMENT 2.3% Nokia OYJ -- SP ADR 66,409 1,307,593 Telefonaktiebolaget LM Ericsson -- SP ADR 22,150 763,068 --------------- TOTAL COMMUNICATIONS EQUIPMENT 2,070,661 --------------- SOFTWARE 1.1% SAP AG -- SP ADR 15,490 766,755 Business Objects SA -- SP ADR* 8,710 296,924 --------------- TOTAL SOFTWARE 1,063,679 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.5% STMicroelectronics 25,040 432,190 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 432,190 --------------- TOTAL INFORMATION TECHNOLOGY 3,566,530 --------------- UTILITIES 3.1% ELECTRIC UTILITIES 1.7% E.ON AG -- SP ADR 40,299 1,598,661 --------------- TOTAL ELECTRIC UTILITIES 1,598,661 --------------- MULTI-UTILITIES 1.4% Suez SA -- SP ADR 27,980 1,238,115 --------------- TOTAL MULTI-UTILITIES 1,238,115 --------------- TOTAL UTILITIES 2,836,776 --------------- See Notes to Financial Statements. 66 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSUMER STAPLES 3.1% FOOD PRODUCTS 1.8% Unilever NV 44,559 $ 1,093,478 Cadbury Schweppes PLC -- SP ADR 12,720 544,034 --------------- TOTAL FOOD PRODUCTS 1,637,512 --------------- BEVERAGES 1.3% Diageo PLC -- SP ADR 16,420 1,166,477 --------------- TOTAL BEVERAGES 1,166,477 --------------- TOTAL CONSUMER STAPLES 2,803,989 --------------- CONSUMER DISCRETIONARY 2.4% AUTOMOBILES 0.7% DaimlerChrysler AG 12,670 632,993 --------------- TOTAL AUTOMOBILES 632,993 --------------- TEXTILES & APPAREL 0.6% Luxottica Group 19,210 565,351 --------------- TOTAL TEXTILES & APPAREL 565,351 --------------- HOUSEHOLD DURABLES 0.6% Koninklijke Philips Electronics NV 14,790 517,798 --------------- TOTAL HOUSEHOLD DURABLES 517,798 --------------- MEDIA 0.5% WPP Group PLC -- SP ADR 8,070 498,161 --------------- TOTAL MEDIA 498,161 --------------- TOTAL CONSUMER DISCRETIONARY 2,214,303 --------------- INDUSTRIALS 1.5% INDUSTRIAL CONGLOMERATES 1.0% Siemens AG -- SP ADR 10,260 893,646 --------------- TOTAL INDUSTRIAL CONGLOMERATES 893,646 --------------- AIRLINES 0.5% Ryanair Holdings PLC -- SP ADR* 7,380 467,080 --------------- TOTAL AIRLINES 467,080 --------------- TOTAL INDUSTRIALS 1,360,726 --------------- TOTAL COMMON STOCKS (Cost $47,657,496) 51,167,838 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 44.4% Repurchase Agreement (Note 6) 5.00% due 10/02/06+ $ 6,227,435 6,227,435 4.95% due 10/02/06 11,059,636 11,059,636 4.94% due 10/02/06+ 2,475,747 2,475,747 4.89% due 10/02/06 7,188,763 7,188,763 4.80% due 10/02/06 13,271,563 13,271,563 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $40,223,144) 40,223,144 --------------- MARKET VALUE (NOTE 1) - -------------------------------------------------------------------------------- TOTAL INVESTMENTS 100.8% (Cost $87,880,640) $ 91,390,982 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (0.8)% $ (718,216) =============== NET ASSETS - 100.0% $ 90,672,766 ================================================================================ UNREALIZED GAIN (LOSS) UNITS (NOTE 1) - -------------------------------------------------------------------------------- EQUITY INDEX SWAP AGREEMENTS December 2006 Dow Jones STOXX 50 Index Swap, Maturing 12/12/06** (Notional Market Value $37,028,108) 8,228 $ 342,513 December 2006 Dow Jones STOXX 50 Index Swap, Maturing 12/27/06** (Notional Market Value $24,781,100) 5,495 (75,843) --------------- (TOTAL NOTIONAL MARKET VALUE $61,809,208) $ 266,670 =============== [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] COUNTRY DIVERSIFICATION Australia 1% Great Britain 45% Germany 18% Netherlands 7% Switzerland 7% Spain 5% Italy 4% France 4% Sweden 4% Ireland 3% Finland 2% The pie chart above reflects percentages of the market value of Common Stocks. * NON-INCOME PRODUCING SECURITY. ** PRICE RETURN BASED ON DOW JONES STOXX 50 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 67 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- JAPAN ADVANTAGE FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 101.1% Repurchase Agreement (Note 6) 5.00% due 10/02/06+ $ 9,948,205 $ 9,948,205 4.95% due 10/02/06 14,475,779 14,475,779 4.89% due 10/02/06 9,409,257 9,409,257 4.80% due 10/02/06 17,370,935 17,370,935 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $51,204,176) 51,204,176 --------------- TOTAL INVESTMENTS 101.1% (Cost $51,204,176) $ 51,204,176 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (1.1)% $ (533,168) =============== NET ASSETS - 100.0% $ 50,671,008 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 Nikkei 225 Index Futures Contracts (Aggregate Market Value of Contracts $4,761,300) 59 $ 77,236 December 2006 Yen Currency Exchange Futures Contracts (Aggregate Market Value of Contracts $4,386,488) 41 (15,994) --------------- (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $9,147,788) $ 61,242 =============== UNITS -------------- EQUITY INDEX SWAP AGREEMENT December 2006 Topix 100 Index Swap, Maturing 12/12/06* (Notional Market Value $58,705,345) 6,030,314 $ 610,175 =============== * PRICE RETURN BASED ON TOPIX 100 INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. 68 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.4% CONSUMER DISCRETIONARY 21.5% SPECIALTY RETAIL 7.1% Group 1 Automotive, Inc.+ 15,878 $ 792,312 Haverty Furniture Cos., Inc.+ 39,759 634,156 PEP Boys-Manny Moe & Jack 44,448 571,157 Sonic Automotive, Inc. 23,592 544,739 Jo-Ann Stores, Inc.*+ 28,056 469,096 Stage Stores, Inc. 15,635 458,731 Cato Corp. -- Class A+ 17,351 380,161 Hancock Fabrics, Inc.* 93,012 266,945 Zale Corp.* 5,545 153,818 --------------- TOTAL SPECIALTY RETAIL 4,271,115 --------------- TEXTILES & APPAREL 3.3% Kellwood Co. 27,137 782,331 Brown Shoe Co., Inc. 16,743 600,069 Ashworth, Inc.* 54,731 374,907 Stride Rite Corp. 11,027 153,937 Oxford Industries, Inc. 2,207 94,703 --------------- TOTAL TEXTILES & APPAREL 2,005,947 --------------- HOUSEHOLD DURABLES 3.2% Bassett Furniture Industries, Inc. 23,660 384,238 La-Z-Boy, Inc.+ 26,998 376,892 Libbey, Inc.+ 30,926 346,062 Standard-Pacific Corp. 11,744 275,984 National Presto Industries, Inc. 4,819 266,346 Russ Berrie & Co., Inc.* 8,613 131,262 Lenox Group, Inc.* 20,076 121,460 --------------- TOTAL HOUSEHOLD DURABLES 1,902,244 --------------- HOTELS, RESTAURANTS & LEISURE 2.6% O'Charleys, Inc.* 34,160 648,015 Ryan's Restaurant Group, Inc.* 22,221 352,647 Lone Star Steakhouse & Saloon, Inc. 9,393 260,844 Marcus Corp. 9,444 216,929 Bally Total Fitness Holding Corp.*+ 58,442 88,247 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,566,682 --------------- AUTO COMPONENTS 1.9% Standard Motor Products, Inc.+ 60,396 724,148 Superior Industries International, Inc.+ 24,283 407,712 --------------- TOTAL AUTO COMPONENTS 1,131,860 --------------- AUTOMOBILES 1.3% Coachmen Industries, Inc. 44,456 480,569 Monaco Coach Corp. 28,703 319,752 --------------- TOTAL AUTOMOBILES 800,321 --------------- LEISURE EQUIPMENT & PRODUCTS 1.3% K2, Inc.* 30,209 354,352 Jakks Pacific, Inc.*+ 15,962 284,602 Sturm Ruger & Co., Inc.* 15,937 123,352 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 762,306 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MULTILINE RETAIL 0.6% Fred's, Inc. 26,394 $ 333,092 --------------- TOTAL MULTILINE RETAIL 333,092 --------------- DISTRIBUTORS 0.2% Audiovox Corp. -- Class A* 6,666 92,791 --------------- TOTAL DISTRIBUTORS 92,791 --------------- TOTAL CONSUMER DISCRETIONARY 12,866,358 --------------- MATERIALS 18.3% CHEMICALS 6.3% A. Schulman, Inc. 30,421 715,198 Quaker Chemical Corp. 30,304 589,413 Arch Chemicals, Inc. 15,358 436,935 Wellman, Inc.+ 103,414 412,622 Penford Corp. 25,635 388,114 H.B. Fuller Co. 15,540 364,257 PolyOne Corp.*+ 43,603 363,213 Georgia Gulf Corp.+ 11,594 317,907 Tronox, Inc.+ 16,727 213,604 --------------- TOTAL CHEMICALS 3,801,263 --------------- METALS & MINING 4.9% Chaparral Steel Co.*+ 21,086 718,189 A.M. Castle & Co. 17,669 474,236 Ryerson Tull, Inc.+ 19,506 426,986 Steel Technologies, Inc. 19,838 389,420 Brush Engineered Materials, Inc.*+ 13,883 345,270 Aleris International, Inc.* 4,765 240,823 Century Aluminum Co.*+ 6,547 220,307 Quanex Corp.+ 4,020 122,007 --------------- TOTAL METALS & MINING 2,937,238 --------------- CONTAINERS & PACKAGING 3.6% Rock-Tenn Co. -- Class A 38,951 771,230 Myers Industries, Inc. 39,864 677,688 Chesapeake Corp. 35,365 506,073 Caraustar Industries, Inc.* 24,454 194,898 --------------- TOTAL CONTAINERS & PACKAGING 2,149,889 --------------- PAPER & FOREST PRODUCTS 3.2% Schweitzer-Mauduit International, Inc. 26,791 508,493 Pope & Talbot, Inc.*+ 66,067 379,886 Wausau Paper Corp. 26,160 353,160 Neenah Paper, Inc. 9,679 331,312 Buckeye Technologies, Inc.* 37,022 314,687 --------------- TOTAL PAPER & FOREST PRODUCTS 1,887,538 --------------- CONSTRUCTION MATERIALS 0.3% Texas Industries, Inc. 3,189 166,020 --------------- TOTAL CONSTRUCTION MATERIALS 166,020 --------------- TOTAL MATERIALS 10,941,948 --------------- INDUSTRIALS 17.5% COMMERCIAL SERVICES & SUPPLIES 5.9% Volt Information Sciences, Inc.* 22,277 791,947 NCO Group, Inc.* 15,685 411,261 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 69 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Standard Register Co. 30,241 $ 399,181 Spherion Corp.* 52,766 377,277 Angelica Corp. 20,217 343,891 Bowne & Co., Inc. 22,201 317,030 United Stationers, Inc.* 3,863 179,668 Consolidated Graphics, Inc.* 2,868 172,568 ABM Industries, Inc. 8,667 162,593 Central Parking Corp. 9,063 149,540 Viad Corp. 3,336 118,128 CDI Corp. 4,476 92,698 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 3,515,782 --------------- ELECTRICAL EQUIPMENT 3.1% A.O. Smith Corp. 14,653 577,768 MagneTek, Inc.* 127,282 440,396 Belden CDT, Inc.+ 9,506 363,414 Acuity Brands, Inc. 5,111 232,039 C&D Technologies, Inc. 32,286 229,231 --------------- TOTAL ELECTRICAL EQUIPMENT 1,842,848 --------------- MACHINERY 2.4% Robbins & Myers, Inc. 14,889 460,368 Lydall, Inc.* 34,663 308,501 Mueller Industries, Inc.+ 5,755 202,403 Wolverine Tube, Inc.*+ 64,975 196,874 Briggs & Stratton Corp.+ 6,522 179,681 Barnes Group, Inc. 6,434 112,981 --------------- TOTAL MACHINERY 1,460,808 --------------- INDUSTRIAL CONGLOMERATES 1.5% Tredegar Corp.+ 31,329 524,447 Standex International Corp. 13,443 374,791 --------------- TOTAL INDUSTRIAL CONGLOMERATES 899,238 --------------- CONSTRUCTION & ENGINEERING 1.0% EMCOR Group, Inc.* 10,815 593,095 --------------- TOTAL CONSTRUCTION & ENGINEERING 593,095 --------------- AIR FREIGHT & COURIERS 0.8% HUB Group, Inc. -- Class A*+ 19,917 453,709 --------------- TOTAL AIR FREIGHT & COURIERS 453,709 --------------- ROAD & RAIL 0.7% Arkansas Best Corp. 10,245 440,842 --------------- TOTAL ROAD & RAIL 440,842 --------------- BUILDING PRODUCTS 0.7% NCI Building Systems, Inc.*+ 2,997 174,335 Lennox International, Inc. 7,345 168,201 Griffon Corp.*+ 3,623 86,481 --------------- TOTAL BUILDING PRODUCTS 429,017 --------------- AEROSPACE & DEFENSE 0.6% Cubic Corp. 10,426 204,141 Triumph Group, Inc. 3,946 167,113 --------------- TOTAL AEROSPACE & DEFENSE 371,254 --------------- TRADING COMPANIES & DISTRIBUTORS 0.6% Lawson Products, Inc. 4,705 197,234 Kaman Corp. -- Class A 7,887 142,045 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 339,279 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- AIRLINES 0.2% Frontier Airlines Holdings, Inc.*+ 15,268 $ 125,961 --------------- TOTAL AIRLINES 125,961 --------------- TOTAL INDUSTRIALS 10,471,833 --------------- FINANCIALS 12.8% INSURANCE 4.1% LandAmerica Financial Group, Inc.+ 10,832 712,637 Safety Insurance Group, Inc. 7,398 359,987 Stewart Information Services Corp. 10,159 353,228 Selective Insurance Group, Inc.+ 6,256 329,128 Presidential Life Corp. 11,558 258,553 Infinity Property & Casualty Corp. 5,338 219,552 Delphi Financial Group, Inc. -- Class A+ 4,850 193,418 --------------- TOTAL INSURANCE 2,426,503 --------------- REAL ESTATE 3.8% Glenborough Realty Trust, Inc. 17,195 442,427 National Retail Properties, Inc.+ 14,500 313,200 Senior Housing Properties Trust 13,760 293,638 Parkway Properties, Inc.+ 6,193 287,913 Colonial Properties Trust+ 5,093 243,496 Sovran Self Storage, Inc.+ 3,617 200,924 Lexington Corporate Properties Trust+ 8,832 187,062 Entertainment Properties Trust 3,778 186,331 Mid-America Apartment Communities, Inc.+ 1,730 105,911 --------------- TOTAL REAL ESTATE 2,260,902 --------------- BANKS 2.8% Whitney Holding Corp. 9,202 329,155 First Bancorp Puerto Rico+ 24,751 273,746 Sterling Financial Corp. 6,658 215,919 Community Bank System, Inc. 8,963 198,620 Susquehanna Bancshares, Inc. 7,544 184,375 First Commonwealth Financial Corp.+ 14,052 183,098 Provident Bankshares Corp. 4,376 162,131 South Financial Group, Inc. 5,858 152,484 --------------- TOTAL BANKS 1,699,528 --------------- CAPITAL MARKETS 1.9% Piper Jaffray Cos., Inc.*+ 9,784 593,106 SWS Group, Inc. 22,166 551,712 --------------- TOTAL CAPITAL MARKETS 1,144,818 --------------- THRIFTS & MORTGAGE FINANCE 0.2% Brookline Bancorp, Inc.+ 9,866 135,658 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 135,658 --------------- TOTAL FINANCIALS 7,667,409 --------------- UTILITIES 12.5% GAS UTILITIES 6.4% Southwest Gas Corp.+ 18,767 625,316 South Jersey Industries, Inc. 20,216 604,661 See Notes to Financial Statements. 70 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- UGI Corp. 21,031 $ 514,208 Cascade Natural Gas Corp. 19,101 498,345 Atmos Energy Corp.+ 17,347 495,257 Laclede Group, Inc. 12,591 403,919 Northwest Natural Gas Co. 6,603 259,366 Energen Corp. 5,407 226,391 Piedmont Natural Gas Co.+ 8,365 211,718 --------------- TOTAL GAS UTILITIES 3,839,181 --------------- ELECTRIC UTILITIES 4.3% Central Vermont Public Service Corp. 33,927 750,126 UIL Holding Corp. 16,959 635,963 Green Mountain Power Corp. 12,487 416,691 Unisource Energy Corp.+ 8,768 292,237 Cleco Corp.+ 9,697 244,752 Allete, Inc.+ 4,711 204,693 --------------- TOTAL ELECTRIC UTILITIES 2,544,462 --------------- MULTI-UTILITIES 1.6% Avista Corp. 23,949 567,112 CH Energy Group, Inc. 8,095 416,650 --------------- TOTAL MULTI-UTILITIES 983,762 --------------- WATER UTILITIES 0.2% American States Water Co.+ 3,263 124,810 --------------- TOTAL WATER UTILITIES 124,810 --------------- TOTAL UTILITIES 7,492,215 --------------- INFORMATION TECHNOLOGY 8.5% ELECTRONIC EQUIPMENT & INSTRUMENTS 5.3% Gerber Scientific, Inc.* 42,406 635,242 Planar Systems, Inc.* 46,649 529,466 Technitrol, Inc. 16,804 501,599 Insight Enterprises, Inc.* 15,886 327,411 Bell Microproducts, Inc.* 41,724 216,548 Anixter International, Inc.+ 3,644 205,777 Agilsys, Inc. 13,336 187,237 CTS Corp. 10,819 149,086 Benchmark Electronics, Inc.*+ 5,390 144,883 Methode Electronics, Inc. -- Class A 12,732 121,081 Brightpoint, Inc.* 8,460 120,301 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 3,138,631 --------------- IT CONSULTING & SERVICES 1.4% Startek, Inc. 43,911 547,570 Keane, Inc.*+ 11,213 161,579 Ciber, Inc.* 23,118 153,273 --------------- TOTAL IT CONSULTING & SERVICES 862,422 --------------- COMPUTERS & PERIPHERALS 0.7% Adaptec, Inc.*+ 91,155 401,993 --------------- TOTAL COMPUTERS & PERIPHERALS 401,993 --------------- COMMUNICATIONS EQUIPMENT 0.4% Ditech Networks, Inc.* 32,373 249,596 --------------- TOTAL COMMUNICATIONS EQUIPMENT 249,596 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- SOFTWARE 0.4% THQ, Inc.*+ 7,194 $ 209,849 --------------- TOTAL SOFTWARE 209,849 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.3% Axcelis Technologies, Inc.* 18,951 133,794 Photronics, Inc.*+ 4,714 66,609 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 200,403 --------------- TOTAL INFORMATION TECHNOLOGY 5,062,894 --------------- CONSUMER STAPLES 5.2% FOOD PRODUCTS 2.1% American Italian Pasta Co. -- Class A*+ 53,767 418,307 Corn Products International, Inc. 9,930 323,122 Lance, Inc. 14,464 318,498 Flowers Foods, Inc. 7,559 203,186 --------------- TOTAL FOOD PRODUCTS 1,263,113 --------------- FOOD & DRUG RETAILING 1.8% Longs Drug Stores Corp. 6,535 300,675 Performance Food Group Co.*+ 9,883 277,614 Nash Finch Co.+ 11,614 273,277 Casey's General Stores, Inc. 8,733 194,484 --------------- TOTAL FOOD & DRUG RETAILING 1,046,050 --------------- TOBACCO 1.3% Alliance One International, Inc.* 190,445 780,824 --------------- TOTAL TOBACCO 780,824 --------------- TOTAL CONSUMER STAPLES 3,089,987 --------------- HEALTH CARE 2.9% HEALTH CARE PROVIDERS & SERVICES 1.9% Genesis HealthCare Corp.* 7,725 367,942 Owens & Minor, Inc. 9,680 318,375 Hooper Holmes, Inc. 56,999 192,087 Chemed Corp. 4,617 148,944 Gentiva Health Services, Inc.* 5,682 93,412 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,120,760 --------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.7% Datascope Corp. 10,485 350,933 Osteotech, Inc.* 21,688 88,704 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 439,637 --------------- BIOTECHNOLOGY 0.3% Cambrex Corp.+ 8,798 182,207 --------------- TOTAL BIOTECHNOLOGY 182,207 --------------- TOTAL HEALTH CARE 1,742,604 --------------- ENERGY 0.2% ENERGY EQUIPMENT & SERVICES 0.2% Lufkin Industries, Inc.+ 2,183 115,524 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 115,524 --------------- TOTAL ENERGY 115,524 --------------- TOTAL COMMON STOCKS (Cost $55,551,352) 59,450,772 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 71 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- SMALL-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 2.2% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 29,847 $ 29,847 4.95% due 10/02/06 452,193 452,193 4.89% due 10/02/06 293,926 293,926 4.80% due 10/02/06 542,631 542,631 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,318,597) 1,318,597 --------------- SECURITIES LENDING COLLATERAL 11.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 6,834,204 6,834,204 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $6,834,204) 6,834,204 --------------- TOTAL INVESTMENTS 113.0% (Cost $63,704,153) $ 67,603,573 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (13.0)% $ (7,782,542) =============== NET ASSETS - 100.0% $ 59,821,031 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. See Notes to Financial Statements. 72 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.7% UTILITIES 26.6% MULTI-UTILITIES 11.9% NSTAR+ 20,170 $ 672,871 OGE Energy Corp.+ 13,530 488,568 Alliant Energy Corp.+ 12,418 443,695 Puget Energy, Inc. 18,776 426,779 Energy East Corp.+ 15,399 365,264 WPS Resources Corp. 6,384 316,838 Vectren Corp.+ 8,769 235,448 PNM Resources, Inc. 8,456 233,132 SCANA Corp.+ 5,658 227,848 Wisconsin Energy Corp. 4,300 185,502 MDU Resources Group, Inc.+ 3,992 89,181 --------------- TOTAL MULTI-UTILITIES 3,685,126 --------------- ELECTRIC UTILITIES 11.0% Northeast Utilities 32,374 753,343 Pepco Holdings, Inc.+ 24,230 585,639 IDACORP, Inc.+ 10,849 410,201 Great Plains Energy, Inc.+ 12,049 373,760 Duquesne Light Holdings, Inc. 15,229 299,402 Westar Energy, Inc.+ 12,459 292,911 Hawaiian Electric Industries, Inc. 9,923 268,516 Sierra Pacific Resources*+ 18,643 267,341 Black Hills Corp.+ 4,884 164,151 --------------- TOTAL ELECTRIC UTILITIES 3,415,264 --------------- GAS UTILITIES 3.7% Oneok, Inc. 9,115 344,456 National Fuel Gas Co.+ 8,520 309,702 WGL Holdings, Inc.+ 9,757 305,784 AGL Resources, Inc. 4,763 173,850 --------------- TOTAL GAS UTILITIES 1,133,792 --------------- TOTAL UTILITIES 8,234,182 --------------- FINANCIALS 17.5% INSURANCE 10.3% American Financial Group, Inc.+ 12,385 581,228 Old Republic International Corp. 15,167 335,949 HCC Insurance Holdings, Inc. 9,863 324,295 Protective Life Corp. 6,836 312,747 First American Corp.+ 6,630 280,714 Horace Mann Educators Corp.+ 11,547 222,049 Ohio Casualty Corp.+ 8,251 213,453 AmerUs Group Co.+ 2,963 201,514 Unitrin, Inc. 4,316 190,638 Hanover Insurance Group, Inc. 4,058 181,108 Stancorp Financial Group, Inc. 4,020 179,413 Mercury General Corp.+ 3,105 154,039 --------------- TOTAL INSURANCE 3,177,147 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- REAL ESTATE 5.4% Highwoods Properties, Inc. 8,232 $ 306,313 New Plan Excel Realty Trust+ 10,222 276,505 Mack-Cali Realty Corp.+ 4,594 237,969 Hospitality Properties Trust+ 4,339 204,801 Liberty Property Trust+ 3,648 174,338 United Dominion Realty Trust, Inc.+ 4,190 126,538 Potlatch Corp.+ 3,352 124,359 Rayonier, Inc.+ 3,185 120,393 AMB Property Corp. 1,816 100,080 --------------- TOTAL REAL ESTATE 1,671,296 --------------- THRIFTS & MORTGAGE FINANCE 1.6% New York Community Bancorp, Inc.+ 17,701 289,943 Webster Financial Corp. 2,202 103,736 Washington Federal, Inc. 4,218 94,652 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 488,331 --------------- BANKS 0.2% FirstMerit Corp.+ 3,300 76,461 --------------- TOTAL BANKS 76,461 --------------- TOTAL FINANCIALS 5,413,235 --------------- INDUSTRIALS 14.7% MACHINERY 4.1% AGCO Corp.*+ 18,332 464,716 Timken Co.+ 8,890 264,744 SPX Corp. 4,630 247,427 Kennametal, Inc. 3,247 183,943 Harsco Corp. 1,510 117,252 --------------- TOTAL MACHINERY 1,278,082 --------------- ROAD & RAIL 4.0% J.B. Hunt Transport Services, Inc.+ 18,900 392,553 Swift Transportation Co., Inc.*+ 14,313 339,504 YRC Worldwide, Inc.*+ 8,520 315,581 Werner Enterprises, Inc.+ 11,218 209,889 --------------- TOTAL ROAD & RAIL 1,257,527 --------------- COMMERCIAL SERVICES & SUPPLIES 2.9% Manpower, Inc.+ 5,490 336,372 Kelly Services, Inc.+ 9,962 273,059 Brink's Co. 3,170 168,200 Banta Corp.+ 2,370 112,812 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 890,443 --------------- AIRLINES 1.7% Alaska Air Group, Inc.*+ 13,856 527,082 --------------- TOTAL AIRLINES 527,082 --------------- INDUSTRIAL CONGLOMERATES 1.7% Sequa Corp. -- Class A*+ 5,488 515,104 --------------- TOTAL INDUSTRIAL CONGLOMERATES 515,104 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 73 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS 0.3% GATX Corp. 2,371 $ 98,088 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 98,088 --------------- TOTAL INDUSTRIALS 4,566,326 --------------- CONSUMER DISCRETIONARY 13.7% AUTO COMPONENTS 4.3% ArvinMeritor, Inc.+ 35,753 509,123 Lear Corp.+ 18,672 386,510 Bandag, Inc.+ 5,703 234,051 BorgWarner, Inc.+ 2,031 116,112 Modine Manufacturing Co. 4,154 101,067 --------------- TOTAL AUTO COMPONENTS 1,346,863 --------------- SPECIALTY RETAIL 2.9% Borders Group, Inc.+ 15,267 311,447 Foot Locker, Inc. 10,172 256,843 Pier 1 Imports, Inc.+ 26,182 194,270 Payless Shoesource, Inc.* 5,418 134,908 --------------- TOTAL SPECIALTY RETAIL 897,468 --------------- HOUSEHOLD DURABLES 2.9% Furniture Brands International, Inc.+ 25,999 495,021 Blyth, Inc. 9,279 225,758 American Greetings Corp. -- Class A+ 4,320 99,878 Tupperware Brands Corp. 3,835 74,629 --------------- TOTAL HOUSEHOLD DURABLES 895,286 --------------- HOTELS, RESTAURANTS & LEISURE 1.8% Bob Evans Farms, Inc. 13,395 405,601 CBRL Group, Inc. 3,719 150,359 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 555,960 --------------- MULTILINE RETAIL 0.8% Saks, Inc.+ 14,226 245,825 --------------- TOTAL MULTILINE RETAIL 245,825 --------------- MEDIA 0.7% Scholastic Corp.* 3,707 115,473 Media General, Inc. 2,330 87,888 --------------- TOTAL MEDIA 203,361 --------------- LEISURE EQUIPMENT & PRODUCTS 0.3% Callaway Golf Co.+ 6,314 82,777 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 82,777 --------------- TOTAL CONSUMER DISCRETIONARY 4,227,540 --------------- MATERIALS 11.7% CHEMICALS 5.3% Sensient Technologies Corp. 17,446 341,418 Ferro Corp. 16,244 288,818 Lubrizol Corp. 5,772 263,954 Cabot Corp.+ 5,598 208,246 RPM International, Inc.+ 9,511 180,614 Albemarle Corp. 3,052 165,815 Lyondell Chemical Co.+ 4,605 116,829 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Chemtura Corp.+ 8,415 $ 72,958 --------------- TOTAL CHEMICALS 1,638,652 --------------- METALS & MINING 3.5% Steel Dynamics, Inc. 7,700 388,465 Worthington Industries, Inc.+ 19,179 327,193 Commercial Metals Co. 9,560 194,355 Reliance Steel & Aluminum Co. 5,300 170,342 --------------- TOTAL METALS & MINING 1,080,355 --------------- CONTAINERS & PACKAGING 1.5% Packaging Corporation of America 10,475 243,020 Sonoco Products Co. 6,904 232,251 --------------- TOTAL CONTAINERS & PACKAGING 475,271 --------------- PAPER & FOREST PRODUCTS 1.4% Bowater, Inc.+ 12,266 252,311 Glatfelter+ 14,025 190,039 --------------- TOTAL PAPER & FOREST PRODUCTS 442,350 --------------- TOTAL MATERIALS 3,636,628 --------------- INFORMATION TECHNOLOGY 8.6% ELECTRONIC EQUIPMENT & INSTRUMENTS 4.2% Tech Data Corp.* 9,852 359,894 Ingram Micro, Inc. -- Class A*+ 15,295 293,052 Vishay Intertechnology, Inc.* 16,959 238,104 Avnet, Inc.*+ 10,373 203,518 Arrow Electronics, Inc.*+ 7,316 200,678 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,295,246 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.5% Atmel Corp.* 177,539 1,072,336 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1,072,336 --------------- SOFTWARE 0.5% Mentor Graphics Corp.* 12,240 172,339 --------------- TOTAL SOFTWARE 172,339 --------------- COMMUNICATIONS EQUIPMENT 0.4% Andrew Corp.* 12,910 119,159 --------------- TOTAL COMMUNICATIONS EQUIPMENT 119,159 --------------- TOTAL INFORMATION TECHNOLOGY 2,659,080 --------------- CONSUMER STAPLES 4.5% FOOD & DRUG RETAILING 2.0% Ruddick Corp.+ 14,400 374,832 BJ's Wholesale Club, Inc.*+ 8,550 249,489 --------------- TOTAL FOOD & DRUG RETAILING 624,321 --------------- TOBACCO 1.5% Universal Corp.+ 12,675 463,018 --------------- TOTAL TOBACCO 463,018 --------------- FOOD PRODUCTS 1.0% Smithfield Foods, Inc.* 11,707 316,323 --------------- TOTAL FOOD PRODUCTS 316,323 --------------- TOTAL CONSUMER STAPLES 1,403,662 --------------- See Notes to Financial Statements. 74 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 1.4% WIRELESS TELECOMMUNICATION SERVICES 1.4% Telephone & Data Systems, Inc. 10,387 $ 437,293 --------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 437,293 --------------- TOTAL TELECOMMUNICATION SERVICES 437,293 --------------- HEALTH CARE 0.7% HEALTH CARE PROVIDERS & SERVICES 0.7% Triad Hospitals, Inc.* 5,162 227,283 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 227,283 --------------- TOTAL HEALTH CARE 227,283 --------------- ENERGY 0.3% OIL & GAS 0.3% Forest Oil Corp.* 2,935 92,716 --------------- TOTAL OIL & GAS 92,716 --------------- TOTAL ENERGY 92,716 --------------- TOTAL COMMON STOCKS (Cost $25,818,042) 30,897,945 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 3,907 3,907 4.95% due 10/02/06 59,195 59,195 4.89% due 10/02/06 38,476 38,476 4.80% due 10/02/06 71,034 71,034 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $172,612) 172,612 --------------- SECURITIES LENDING COLLATERAL 30.7% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 9,506,220 9,506,220 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $9,506,220) 9,506,220 --------------- TOTAL INVESTMENTS 131.0% (Cost $35,496,874) $ 40,576,777 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (31.0)% $ (9,590,585) =============== NET ASSETS - 100.0% $ 30,986,192 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 75 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.7% FINANCIALS 20.8% INSURANCE 8.8% ACE Ltd. 33,041 $ 1,808,334 XL Capital Ltd. 25,834 1,774,796 UnumProvident Corp.+ 80,869 1,568,050 Chubb Corp. 26,471 1,375,433 St. Paul Travelers Cos., Inc. 27,790 1,303,073 Genworth Financial, Inc. -- Class A 33,681 1,179,172 MetLife, Inc.+ 18,988 1,076,240 Lincoln National Corp.+ 15,762 978,505 Allstate Corp.+ 15,014 941,828 SAFECO Corp. 14,575 858,905 Loews Corp. 20,989 795,483 Hartford Financial Services Group, Inc. 7,803 676,910 Aon Corp.+ 19,073 646,002 --------------- TOTAL INSURANCE 14,982,731 --------------- BANKS 6.0% First Horizon National Corp.+ 28,738 1,092,331 KeyCorp 24,363 912,151 Regions Financial Corp.+ 24,595 904,850 National City Corp.+ 24,243 887,294 Huntington Bancshares, Inc. 36,084 863,490 SunTrust Banks, Inc. 10,629 821,409 North Fork Bancorporation, Inc. 28,278 809,882 PNC Financial Services Group, Inc. 9,674 700,785 BB&T Corp.+ 14,798 647,856 AmSouth Bancorp 22,073 641,000 Wells Fargo & Co. 15,904 575,407 Wachovia Corp.+ 8,661 483,284 U.S. Bancorp+ 14,250 473,385 Comerica, Inc. 7,471 425,249 --------------- TOTAL BANKS 10,238,373 --------------- REAL ESTATE 2.7% Apartment Investment & Management Co. -- Class A+ 25,859 1,406,988 Equity Office Properties Trust+ 32,369 1,286,992 KIMCO Realty Corp.+ 20,619 883,937 Archstone-Smith Trust+ 8,919 485,550 Equity Residential+ 9,335 472,164 --------------- TOTAL REAL ESTATE 4,535,631 --------------- DIVERSIFIED FINANCIALS 1.9% J.P. Morgan Chase & Co. 35,825 1,682,342 Citigroup, Inc. 19,154 951,379 CIT Group, Inc. 14,129 687,093 --------------- TOTAL DIVERSIFIED FINANCIALS 3,320,814 --------------- CAPITAL MARKETS 0.7% Morgan Stanley 9,310 678,792 Bear Stearns Cos., Inc.+ 3,854 539,946 --------------- TOTAL CAPITAL MARKETS 1,218,738 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE 0.7% Washington Mutual, Inc.+ 27,313 $ 1,187,296 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,187,296 --------------- TOTAL FINANCIALS 35,483,583 --------------- UTILITIES 18.0% MULTI-UTILITIES 10.8% KeySpan Corp. 46,269 1,903,507 Dynegy, Inc. -- Class A* 323,251 1,790,810 Xcel Energy, Inc.+ 74,508 1,538,590 NiSource, Inc. 67,659 1,470,907 Duke Energy Corp. 47,534 1,435,527 Consolidated Edison, Inc.+ 29,733 1,373,665 DTE Energy Co.+ 31,166 1,293,701 CMS Energy Corp.*+ 88,770 1,281,839 PG&E Corp.+ 27,199 1,132,838 CenterPoint Energy, Inc.+ 71,545 1,024,524 Ameren Corp.+ 19,302 1,018,952 Sempra Energy+ 17,602 884,500 Constellation Energy Group, Inc. 13,118 776,586 Dominion Resources, Inc.+ 7,447 569,621 Public Service Enterprise Group, Inc. 8,041 492,029 TECO Energy, Inc. 21,295 333,267 --------------- TOTAL MULTI-UTILITIES 18,320,863 --------------- ELECTRIC UTILITIES 5.4% Progress Energy, Inc.+ 41,932 1,902,874 PPL Corp.+ 52,928 1,741,331 Pinnacle West Capital Corp.+ 28,349 1,277,123 American Electric Power Co., Inc. 31,188 1,134,308 Entergy Corp. 11,484 898,393 FirstEnergy Corp.+ 13,655 762,768 Southern Co.+ 20,991 723,350 FPL Group, Inc.+ 15,081 678,645 --------------- TOTAL ELECTRIC UTILITIES 9,118,792 --------------- GAS UTILITIES 1.8% Peoples Energy Corp.+ 42,414 1,724,129 Nicor, Inc.+ 33,332 1,425,276 --------------- TOTAL GAS UTILITIES 3,149,405 --------------- TOTAL UTILITIES 30,589,060 --------------- CONSUMER DISCRETIONARY 16.6% MULTILINE RETAIL 4.4% Dillard's, Inc. -- Class A+ 107,487 3,518,050 Big Lots, Inc.*+ 123,440 2,445,346 Federated Department Stores, Inc. 22,534 973,694 Nordstrom, Inc.+ 11,506 486,704 --------------- TOTAL MULTILINE RETAIL 7,423,794 --------------- SPECIALTY RETAIL 3.9% OfficeMax, Inc.+ 59,696 2,432,015 Circuit City Stores, Inc.+ 71,584 1,797,474 AutoNation, Inc.*+ 66,790 1,395,911 Limited Brands, Inc.+ 38,070 1,008,475 --------------- TOTAL SPECIALTY RETAIL 6,633,875 --------------- See Notes to Financial Statements. 76 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- AUTOMOBILES 3.0% General Motors Corp.+ 86,590 $ 2,879,983 Ford Motor Co.+ 283,151 2,290,692 --------------- TOTAL AUTOMOBILES 5,170,675 --------------- HOUSEHOLD DURABLES 2.8% Whirlpool Corp.+ 16,223 1,364,516 Pulte Homes, Inc.+ 31,939 1,017,577 Snap-On, Inc. 19,196 855,182 Newell Rubbermaid, Inc.+ 29,325 830,484 Leggett & Platt, Inc. 29,173 730,200 --------------- TOTAL HOUSEHOLD DURABLES 4,797,959 --------------- TEXTILES & APPAREL 0.9% Jones Apparel Group, Inc. 45,787 1,485,330 --------------- TOTAL TEXTILES & APPAREL 1,485,330 --------------- LEISURE EQUIPMENT & PRODUCTS 0.8% Eastman Kodak Co.+ 48,931 1,096,054 Brunswick Corp.+ 9,418 293,748 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 1,389,802 --------------- AUTO COMPONENTS 0.8% Johnson Controls, Inc.+ 18,725 1,343,331 --------------- TOTAL AUTO COMPONENTS 1,343,331 --------------- TOTAL CONSUMER DISCRETIONARY 28,244,766 --------------- INDUSTRIALS 10.2% ROAD & RAIL 3.0% Ryder System, Inc.+ 60,776 3,140,903 Union Pacific Corp.+ 11,565 1,017,720 CSX Corp.+ 27,784 912,149 --------------- TOTAL ROAD & RAIL 5,070,772 --------------- MACHINERY 2.6% Ingersoll-Rand Co. -- Class A+ 29,997 1,139,286 Deere & Co.+ 13,220 1,109,290 Cummins, Inc.+ 8,346 995,094 Caterpillar, Inc.+ 13,894 914,225 Navistar International Corp.* 13,771 355,567 --------------- TOTAL MACHINERY 4,513,462 --------------- COMMERCIAL SERVICES & SUPPLIES 2.1% Allied Waste Industries, Inc.*+ 198,324 2,235,111 RR Donnelley & Sons Co. 25,927 854,554 Avery Dennison Corp.+ 8,462 509,159 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 3,598,824 --------------- AEROSPACE & DEFENSE 1.9% United Technologies Corp. 20,235 1,281,888 Northrop Grumman Corp. 18,742 1,275,768 Raytheon Co. 15,523 745,259 --------------- TOTAL AEROSPACE & DEFENSE 3,302,915 --------------- BUILDING PRODUCTS 0.3% Masco Corp.+ 15,779 432,660 --------------- TOTAL BUILDING PRODUCTS 432,660 --------------- INDUSTRIAL CONGLOMERATES 0.3% Textron, Inc. 4,933 431,638 --------------- TOTAL INDUSTRIAL CONGLOMERATES 431,638 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TOTAL INDUSTRIALS $ 17,350,271 --------------- MATERIALS 9.8% PAPER & FOREST PRODUCTS 3.1% International Paper Co.+ 49,171 1,702,792 MeadWestvaco Corp.+ 51,005 1,352,142 Weyerhaeuser Co.+ 21,756 1,338,647 Louisiana-Pacific Corp. 49,444 928,064 --------------- TOTAL PAPER & FOREST PRODUCTS 5,321,645 --------------- CHEMICALS 2.9% Ashland, Inc. 24,524 1,564,141 Eastman Chemical Co. 23,125 1,249,212 E.I. du Pont de Nemours and Co.+ 13,935 596,975 Rohm & Haas Co. 11,896 563,276 PPG Industries, Inc. 7,620 511,150 Dow Chemical Co.+ 10,777 420,087 --------------- TOTAL CHEMICALS 4,904,841 --------------- METALS & MINING 2.7% United States Steel Corp.+ 44,577 2,571,202 Alcoa, Inc. 28,581 801,411 Phelps Dodge Corp. 8,177 692,592 Nucor Corp.+ 13,251 655,792 --------------- TOTAL METALS & MINING 4,720,997 --------------- CONTAINERS & PACKAGING 1.1% Bemis Co. 31,542 1,036,470 Temple-Inland, Inc. 19,850 795,985 --------------- TOTAL CONTAINERS & PACKAGING 1,832,455 --------------- TOTAL MATERIALS 16,779,938 --------------- CONSUMER STAPLES 8.8% FOOD & DRUG RETAILING 3.1% Supervalu, Inc. 61,291 1,817,278 Safeway, Inc.+ 51,229 1,554,800 CVS Corp. 36,494 1,172,187 Costco Wholesale Corp.+ 16,089 799,302 --------------- TOTAL FOOD & DRUG RETAILING 5,343,567 --------------- FOOD PRODUCTS 2.6% Archer-Daniels-Midland Co.+ 47,087 1,783,655 Tyson Foods, Inc. -- Class A+ 97,034 1,540,900 ConAgra Foods, Inc.+ 46,571 1,140,058 --------------- TOTAL FOOD PRODUCTS 4,464,613 --------------- BEVERAGES 2.2% Molson Coors Brewing Co. -- Class B+ 23,876 1,645,056 Coca-Cola Enterprises, Inc. 64,427 1,342,015 Constellation Brands, Inc. -- Class A* 26,880 773,606 --------------- TOTAL BEVERAGES 3,760,677 --------------- TOBACCO 0.9% Reynolds American, Inc.+ 23,280 1,442,662 --------------- TOTAL TOBACCO 1,442,662 --------------- TOTAL CONSUMER STAPLES 15,011,519 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 77 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- LARGE-CAP VALUE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 6.3% DIVERSIFIED TELECOMMUNICATION SERVICES 6.3% Verizon Communications, Inc.+ 50,317 $ 1,868,270 AT&T, Inc.+ 53,322 1,736,165 BellSouth Corp. 40,167 1,717,139 Qwest Communications International, Inc.*+ 157,860 1,376,539 Citizens Communications Co. 84,694 1,189,104 Windstream Corp.+ 78,400 1,034,096 Embarq Corp. 20,251 979,541 CenturyTel, Inc.+ 21,042 834,736 --------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 10,735,590 --------------- TOTAL TELECOMMUNICATION SERVICES 10,735,590 --------------- INFORMATION TECHNOLOGY 4.9% IT CONSULTING & SERVICES 2.9% Computer Sciences Corp.* 29,149 1,431,799 Electronic Data Systems Corp.+ 56,304 1,380,574 Unisys Corp.* 235,459 1,332,698 Sabre Holdings Corp. 36,969 864,705 --------------- TOTAL IT CONSULTING & SERVICES 5,009,776 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.3% Sanmina-SCI Corp.* 324,895 1,215,107 Solectron Corp.* 283,500 924,210 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,139,317 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.7% Micron Technology, Inc.*+ 66,754 1,161,520 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 1,161,520 --------------- TOTAL INFORMATION TECHNOLOGY 8,310,613 --------------- ENERGY 3.1% OIL & GAS 3.1% ConocoPhillips 34,508 2,054,261 Sunoco, Inc. 19,099 1,187,767 Marathon Oil Corp. 14,365 1,104,668 El Paso Corp. 66,514 907,251 --------------- TOTAL OIL & GAS 5,253,947 --------------- TOTAL ENERGY 5,253,947 --------------- HEALTH CARE 1.2% HEALTH CARE PROVIDERS & SERVICES 1.2% WellPoint, Inc.* 13,281 1,023,301 Tenet Healthcare Corp.*+ 65,519 533,325 McKesson Corp. 9,454 498,415 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,055,041 --------------- TOTAL HEALTH CARE 2,055,041 --------------- TOTAL COMMON STOCKS (Cost $152,140,424) 169,814,328 --------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.4% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 16,048 $ 16,048 4.95% due 10/02/06 243,133 243,133 4.89% due 10/02/06 158,036 158,036 4.80% due 10/02/06 291,760 291,760 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $708,977) 708,977 --------------- SECURITIES LENDING COLLATERAL 24.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 41,932,704 41,932,704 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $41,932,704) 41,932,704 --------------- TOTAL INVESTMENTS 124.7% (Cost $194,782,105) $ 212,456,009 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (24.7)% $ (42,056,734) =============== NET ASSETS - 100.0% $ 170,399,275 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. See Notes to Financial Statements. 78 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.5% HEALTH CARE 24.2% HEALTH CARE EQUIPMENT & SUPPLIES 12.0% BioLase Technology, Inc.*+ 74,862 $ 467,888 Integra LifeSciences Holdings Corp.*+ 9,928 372,101 Possis Medical, Inc.* 34,007 334,969 Biosite, Inc.*+ 5,974 276,178 ICU Medical, Inc.*+ 5,408 245,956 PolyMedica Corp.+ 5,189 222,141 SurModics, Inc.*+ 5,986 210,228 Immucor, Inc.* 9,154 205,141 Dionex Corp.* 3,939 200,653 Idexx Laboratories, Inc.* 1,932 176,083 Kensey Nash Corp.*+ 5,352 156,653 Mentor Corp.+ 3,081 155,252 Respironics, Inc.* 3,864 149,189 Cooper Cos., Inc.+ 2,680 143,380 American Medical Systems Holdings, Inc.*+ 7,689 141,708 PharmaNet Development Group, Inc.*+ 6,660 129,404 Greatbatch, Inc.*+ 5,285 119,547 Merit Medical Systems, Inc.* 8,499 115,416 ArthroCare Corp.*+ 2,454 114,994 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,936,881 --------------- HEALTH CARE PROVIDERS & SERVICES 8.0% Odyssey HealthCare, Inc.* 26,590 377,046 AMERIGROUP Corp.* 10,279 303,745 Healthways, Inc.*+ 6,490 289,454 Sierra Health Services, Inc.*+ 6,831 258,485 Centene Corp.*+ 14,960 245,942 Sunrise Senior Living, Inc.* 6,866 205,087 Per-Se Technologies, Inc.*+ 8,169 186,090 United Surgical Partners International, Inc.*+ 7,419 184,214 AmSurg Corp.*+ 7,020 156,265 Cerner Corp.* 3,109 141,149 Amedisys, Inc.*+ 3,045 120,795 Pediatrix Medical Group, Inc.* 2,552 116,371 Dendrite International, Inc.* 4,977 48,675 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 2,633,318 --------------- PHARMACEUTICALS 4.2% CNS, Inc. 15,367 433,810 Bradley Pharmaceuticals, Inc.*+ 20,193 321,473 Connetics Corp.*+ 24,741 269,677 Noven Pharmaceuticals, Inc.* 9,850 237,582 Sciele Pharma, Inc.*+ 7,289 137,325 --------------- TOTAL PHARMACEUTICALS 1,399,867 --------------- TOTAL HEALTH CARE 7,970,066 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY 23.4% SPECIALTY RETAIL 7.2% Christopher & Banks Corp. 23,342 $ 688,122 HOT Topic, Inc.* 24,389 271,694 Children's Place Retail Stores, Inc.*+ 3,738 239,344 Tween Brands, Inc.*+ 6,070 228,232 Select Comfort Corp.*+ 10,256 224,401 Hibbett Sporting Goods, Inc.*+ 7,557 197,842 Tractor Supply Co.*+ 3,884 187,442 Genesco, Inc.*+ 4,641 159,975 Guitar Center, Inc.* 3,574 159,687 --------------- TOTAL SPECIALTY RETAIL 2,356,739 --------------- HOTELS, RESTAURANTS & LEISURE 5.9% Shuffle Master, Inc.*+ 14,599 394,319 Multimedia Games, Inc.*+ 43,189 392,156 Papa John's International, Inc.* 8,456 305,346 Panera Bread Co. -- Class A*+ 5,088 296,376 Sonic Corp.*+ 11,142 251,921 CEC Entertainment, Inc.* 4,778 150,555 P.F. Chang's China Bistro, Inc.*+ 4,261 147,899 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 1,938,572 --------------- LEISURE EQUIPMENT & PRODUCTS 2.4% Pool Corp. 9,388 361,438 Nautilus, Inc.+ 17,335 238,356 Polaris Industries, Inc.+ 4,307 177,233 --------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 777,027 --------------- COMMERCIAL SERVICES & SUPPLIES 2.0% Pre-Paid Legal Services, Inc.+ 9,844 390,512 Vertrue, Inc.* 7,142 280,823 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 671,335 --------------- TEXTILES & APPAREL 1.6% K-Swiss, Inc. -- Class A+ 9,896 297,474 Fossil, Inc.* 10,440 224,877 --------------- TOTAL TEXTILES & APPAREL 522,351 --------------- HOUSEHOLD DURABLES 1.5% NVR, Inc.*+ 499 266,965 Meritage Homes Corp.*+ 5,355 222,822 --------------- TOTAL HOUSEHOLD DURABLES 489,787 --------------- MEDIA 1.1% Arbitron, Inc. 5,350 198,003 Advo, Inc. 6,221 174,064 --------------- TOTAL MEDIA 372,067 --------------- INTERNET & CATALOG RETAIL 1.0% PetMed Express, Inc.*+ 32,949 343,988 --------------- TOTAL INTERNET & CATALOG RETAIL 343,988 --------------- AUTOMOBILES 0.7% Winnebago Industries, Inc.+ 6,803 213,478 --------------- TOTAL AUTOMOBILES 213,478 --------------- TOTAL CONSUMER DISCRETIONARY 7,685,344 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 79 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY 19.9% INTERNET SOFTWARE & SERVICES 5.4% j2 Global Communications, Inc.*+ 22,436 $ 609,586 Websense, Inc.*+ 15,384 332,448 Bankrate, Inc.*+ 10,401 276,251 MIVA, Inc.*+ 77,323 255,166 WebEx Communications, Inc.*+ 4,612 179,960 Digital Insight Corp.* 4,488 131,588 --------------- TOTAL INTERNET SOFTWARE & SERVICES 1,784,999 --------------- SOFTWARE 5.3% Factset Research Systems, Inc. 8,808 427,805 Internet Security Systems, Inc.* 12,027 333,869 Ansys, Inc.*+ 5,414 239,191 Manhattan Associates, Inc.* 8,473 204,538 Quality Systems, Inc.+ 4,640 179,986 EPIQ Systems, Inc.*+ 9,606 141,304 Take-Two Interactive Software, Inc.*+ 9,313 132,803 Kronos, Inc.* 3,068 104,588 --------------- TOTAL SOFTWARE 1,764,084 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 3.5% Scansource, Inc.*+ 11,189 339,363 Flir Systems, Inc.*+ 11,558 313,915 Daktronics, Inc. 14,103 291,791 LoJack Corp.* 9,127 178,798 Mercury Computer Systems, Inc.* 3,100 36,735 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,160,602 --------------- IT CONSULTING & SERVICES 2.6% eFunds Corp.* 10,592 256,115 Talx Corp.+ 9,601 235,416 Mantech International Corp. -- Class A* 6,902 227,835 CACI International, Inc. -- Class A* 2,412 132,684 --------------- TOTAL IT CONSULTING & SERVICES 852,050 --------------- COMPUTERS & PERIPHERALS 2.0% Synaptics, Inc.*+ 12,392 301,993 Komag, Inc.*+ 7,951 254,114 Neoware, Inc.*+ 6,870 93,363 --------------- TOTAL COMPUTERS & PERIPHERALS 649,470 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 0.7% Cabot Microelectronics Corp.* 7,580 218,456 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 218,456 --------------- COMMUNICATIONS EQUIPMENT 0.4% Comtech Telecommunications Corp.*+ 3,713 124,311 --------------- TOTAL COMMUNICATIONS EQUIPMENT 124,311 --------------- TOTAL INFORMATION TECHNOLOGY 6,553,972 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- FINANCIALS 10.0% BANKS 3.6% Nara Bancorp, Inc. 17,333 $ 317,021 Wilshire Bancorp, Inc. 13,118 249,767 PrivateBancorp, Inc.+ 5,153 235,595 UCBH Holdings, Inc.+ 7,848 137,026 Wintrust Financial Corp. 2,555 128,133 East-West Bancorp, Inc. 2,709 107,303 --------------- TOTAL BANKS 1,174,845 --------------- THRIFTS & MORTGAGE FINANCE 1.8% Flagstar Bancorp, Inc.+ 23,452 341,227 Fremont General Corp.+ 18,343 256,618 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 597,845 --------------- INSURANCE 1.6% Hilb Rogal & Hobbs Co.+ 6,633 282,898 Philadelphia Consolidated Holding Corp.*+ 6,495 258,371 --------------- TOTAL INSURANCE 541,269 --------------- DIVERSIFIED FINANCIALS 1.3% Portfolio Recovery Associates, Inc.*+ 9,551 419,003 --------------- TOTAL DIVERSIFIED FINANCIALS 419,003 --------------- CONSUMER FINANCE 1.0% World Acceptance Corp.*+ 7,439 327,167 --------------- TOTAL CONSUMER FINANCE 327,167 --------------- CAPITAL MARKETS 0.7% Investment Technology Group, Inc.* 5,584 249,884 --------------- TOTAL CAPITAL MARKETS 249,884 --------------- TOTAL FINANCIALS 3,310,013 --------------- ENERGY 9.1% OIL & GAS 7.4% Frontier Oil Corp.+ 19,904 529,048 St. Mary Land & Exploration Co.+ 9,406 345,294 World Fuel Services Corp.+ 6,324 255,806 Stone Energy Corp.* 5,970 241,666 Penn Virginia Corp. 3,469 219,969 Swift Energy Co.*+ 4,998 209,016 Petroleum Development Corp.* 5,014 200,008 Cimarex Energy Co. 4,490 158,003 Cabot Oil & Gas Corp. 2,761 132,335 Helix Energy Solutions Group, Inc.*+ 3,919 130,895 --------------- TOTAL OIL & GAS 2,422,040 --------------- ENERGY EQUIPMENT & SERVICES 1.7% W-H Energy Services, Inc.* 5,674 235,301 Unit Corp.* 3,169 145,679 Hydril*+ 2,136 119,744 CARBO Ceramics, Inc.+ 2,132 76,816 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 577,540 --------------- TOTAL ENERGY 2,999,580 --------------- See Notes to Financial Statements. 80 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- SMALL-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- INDUSTRIALS 7.8% COMMERCIAL SERVICES & SUPPLIES 2.5% Coinstar, Inc.* 22,678 $ 652,673 Waste Connections, Inc.*+ 4,867 184,508 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 837,181 --------------- ROAD & RAIL 1.9% Landstar System, Inc.+ 6,452 275,500 Knight Transportation, Inc.+ 12,100 205,095 Heartland Express, Inc.+ 10,260 160,877 --------------- TOTAL ROAD & RAIL 641,472 --------------- AEROSPACE & DEFENSE 1.9% Ceradyne, Inc.*+ 9,171 376,836 Curtiss-Wright Corp.+ 6,010 182,404 Gencorp, Inc.*+ 4,335 55,661 --------------- TOTAL AEROSPACE & DEFENSE 614,901 --------------- MACHINERY 0.7% EnPro Industries, Inc.* 5,203 156,402 ASV, Inc.*+ 4,707 70,182 --------------- TOTAL MACHINERY 226,584 --------------- AIR FREIGHT & COURIERS 0.5% Forward Air Corp.+ 4,721 156,218 --------------- TOTAL AIR FREIGHT & COURIERS 156,218 --------------- BUILDING PRODUCTS 0.3% Simpson Manufacturing Co., Inc.+ 3,403 91,983 --------------- TOTAL BUILDING PRODUCTS 91,983 --------------- TOTAL INDUSTRIALS 2,568,339 --------------- CONSUMER STAPLES 4.2% PERSONAL PRODUCTS 1.7% NBTY, Inc.* 10,009 292,963 USANA Health Sciences, Inc.*+ 6,276 279,847 --------------- TOTAL PERSONAL PRODUCTS 572,810 --------------- BEVERAGES 1.7% Hansen Natural Corp.*+ 17,039 553,427 --------------- TOTAL BEVERAGES 553,427 --------------- FOOD PRODUCTS 0.8% Delta & Pine Land Co. 4,643 188,041 Peet's Coffee & Tea, Inc.*+ 2,583 64,601 --------------- TOTAL FOOD PRODUCTS 252,642 --------------- TOTAL CONSUMER STAPLES 1,378,879 --------------- MATERIALS 0.9% CONSTRUCTION MATERIALS 0.9% Headwaters, Inc.*+ 12,257 286,201 --------------- TOTAL CONSTRUCTION MATERIALS 286,201 --------------- TOTAL MATERIALS 286,201 --------------- TOTAL COMMON STOCKS (Cost $29,135,890) 32,752,394 --------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 1.2% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 8,742 $ 8,742 4.95% due 10/02/06 132,455 132,455 4.89% due 10/02/06 86,096 86,096 4.80% due 10/02/06 158,946 158,946 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $386,239) 386,239 --------------- SECURITIES LENDING COLLATERAL 27.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 9,036,922 9,036,922 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $9,036,922) 9,036,922 --------------- TOTAL INVESTMENTS 128.2% (Cost $38,559,051) $ 42,175,555 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (28.2)% $ (9,282,794) =============== NET ASSETS - 100.0% $ 32,892,761 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 81 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% CONSUMER DISCRETIONARY 29.1% SPECIALTY RETAIL 15.2% Aeropostale, Inc.*+ 17,696 $ 517,254 GameStop Corp. -- Class A*+ 9,856 456,136 Abercrombie & Fitch Co. -- Class A+ 5,295 367,897 American Eagle Outfitters, Inc.+ 7,319 320,792 Chico's FAS, Inc.*+ 12,267 264,108 Ross Stores, Inc. 9,572 243,225 Petsmart, Inc.+ 8,615 239,066 Advance Auto Parts, Inc. 5,864 193,160 Williams-Sonoma, Inc. 4,855 157,253 Pacific Sunwear of California, Inc.*+ 10,002 150,830 Urban Outfitters, Inc.*+ 6,044 106,918 --------------- TOTAL SPECIALTY RETAIL 3,016,639 --------------- COMMERCIAL SERVICES & SUPPLIES 4.4% ITT Educational Services, Inc.* 5,986 396,872 Corinthian Colleges, Inc.*+ 27,717 299,621 Career Education Corp.* 8,306 186,885 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 883,378 --------------- HOTELS, RESTAURANTS & LEISURE 3.4% Scientific Games Corp. -- Class A*+ 11,624 369,643 Applebee's International, Inc.+ 7,354 158,185 Cheesecake Factory, Inc.*+ 5,402 146,880 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 674,708 --------------- HOUSEHOLD DURABLES 3.3% M.D.C. Holdings, Inc.+ 3,834 178,089 Hovnanian Enterprises, Inc. -- Class A*+ 5,975 175,307 Ryland Group, Inc.+ 3,921 169,426 Toll Brothers, Inc.*+ 4,984 139,951 --------------- TOTAL HOUSEHOLD DURABLES 662,773 --------------- TEXTILES & APPAREL 1.1% Timberland Co. -- Class A*+ 7,445 214,193 --------------- TOTAL TEXTILES & APPAREL 214,193 --------------- AUTOMOBILES 1.0% Thor Industries, Inc.+ 4,647 191,317 --------------- TOTAL AUTOMOBILES 191,317 --------------- MEDIA 0.7% Catalina Marketing Corp. 4,854 133,485 --------------- TOTAL MEDIA 133,485 --------------- TOTAL CONSUMER DISCRETIONARY 5,776,493 --------------- INFORMATION TECHNOLOGY 19.3% IT CONSULTING & SERVICES 8.0% Cognizant Technology Solutions Corp. -- Class A* 8,408 622,696 CSG Systems International, Inc.* 8,861 234,196 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Fidelity National Information Services, Inc. 6,081 $ 224,997 Alliance Data Systems Corp.*+ 3,441 189,909 DST Systems, Inc.*+ 3,052 188,217 BISYS Group, Inc.* 12,062 130,993 --------------- TOTAL IT CONSULTING & SERVICES 1,591,008 --------------- SOFTWARE 2.9% Macrovision Corp.*+ 8,219 194,708 Jack Henry & Associates, Inc.+ 6,923 150,714 Activision, Inc.*+ 5,607 84,666 McAfee, Inc.* 3,331 81,476 Fair Isaac Corp.+ 1,767 64,619 --------------- TOTAL SOFTWARE 576,183 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.4% Cree, Inc.*+ 12,438 250,128 Silicon Laboratories, Inc.*+ 7,476 231,906 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 482,034 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 2.3% Amphenol Corp. -- Class A+ 3,768 233,352 CDW Corp.+ 3,654 225,379 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 458,731 --------------- COMPUTERS & PERIPHERALS 1.9% Western Digital Corp.* 21,180 383,358 --------------- TOTAL COMPUTERS & PERIPHERALS 383,358 --------------- COMMUNICATIONS EQUIPMENT 1.4% F5 Networks, Inc.* 2,903 155,949 Plantronics, Inc.+ 7,026 123,166 --------------- TOTAL COMMUNICATIONS EQUIPMENT 279,115 --------------- OFFICE ELECTRONICS 0.4% Zebra Technologies Corp. -- Class A*+ 1,964 70,193 --------------- TOTAL OFFICE ELECTRONICS 70,193 --------------- TOTAL INFORMATION TECHNOLOGY 3,840,622 --------------- HEALTH CARE 17.8% HEALTH CARE EQUIPMENT & SUPPLIES 6.7% Cytyc Corp.*+ 13,673 334,715 ResMed, Inc.* 7,330 295,033 Gen-Probe, Inc.* 4,410 206,785 DENTSPLY International, Inc.+ 6,600 198,726 Intuitive Surgical, Inc.* 1,475 155,539 Beckman Coulter, Inc. 2,590 149,080 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,339,878 --------------- HEALTH CARE PROVIDERS & SERVICES 4.1% Lincare Holdings, Inc.* 5,653 195,820 Apria Healthcare Group, Inc.* 9,126 180,147 Pharmaceutical Product Development, Inc. 4,821 172,061 Community Health Systems, Inc.* 3,710 138,569 LifePoint Hospitals, Inc.*+ 3,422 120,865 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 807,462 --------------- See Notes to Financial Statements. 82 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- PHARMACEUTICALS 3.9% Sepracor, Inc.*+ 7,543 $ 365,383 Par Pharmaceutical Cos., Inc.* 15,495 282,629 Medicis Pharmaceutical Corp. -- Class A+ 3,967 128,332 --------------- TOTAL PHARMACEUTICALS 776,344 --------------- BIOTECHNOLOGY 3.1% Cephalon, Inc.*+ 5,639 348,208 Techne Corp.* 2,530 128,676 Invitrogen Corp.*+ 1,355 85,921 Martek Biosciences Corp.*+ 2,534 54,506 --------------- TOTAL BIOTECHNOLOGY 617,311 --------------- TOTAL HEALTH CARE 3,540,995 --------------- INDUSTRIALS 15.3% COMMERCIAL SERVICES & SUPPLIES 5.4% Corporate Executive Board Co.+ 4,637 416,913 Stericycle, Inc.* 3,510 244,963 Copart, Inc.* 7,927 223,462 Rollins, Inc. 6,064 128,011 ChoicePoint, Inc.* 1,750 62,650 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,075,999 --------------- AIR FREIGHT & COURIERS 2.6% Expeditors International Washington, Inc.+ 7,082 315,716 CH Robinson Worldwide, Inc.+ 4,507 200,922 --------------- TOTAL AIR FREIGHT & COURIERS 516,638 --------------- AIRLINES 2.6% AirTran Holdings, Inc.*+ 25,725 255,192 JetBlue Airways Corp.*+ 27,221 252,339 --------------- TOTAL AIRLINES 507,531 --------------- MACHINERY 1.7% Graco, Inc.+ 5,349 208,932 Donaldson Co., Inc.+ 3,483 128,523 --------------- TOTAL MACHINERY 337,455 --------------- AEROSPACE & DEFENSE 1.5% Alliant Techsystems, Inc.* 3,789 307,136 --------------- TOTAL AEROSPACE & DEFENSE 307,136 --------------- TRADING COMPANIES & DISTRIBUTORS 0.8% Fastenal Co. 3,957 152,621 --------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 152,621 --------------- CONSTRUCTION & ENGINEERING 0.7% Jacobs Engineering Group, Inc.* 1,933 144,453 --------------- TOTAL CONSTRUCTION & ENGINEERING 144,453 --------------- TOTAL INDUSTRIALS 3,041,833 --------------- FINANCIALS 8.9% CAPITAL MARKETS 6.1% SEI Investments Co. 6,685 375,630 Investors Financial Services Corp.+ 6,913 297,812 Eaton Vance Corp. 9,919 286,263 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Waddell & Reed Financial, Inc. -- Class A 10,411 $ 257,672 --------------- TOTAL CAPITAL MARKETS 1,217,377 --------------- INSURANCE 1.9% Brown & Brown, Inc. 12,579 384,414 --------------- TOTAL INSURANCE 384,414 --------------- THRIFTS & MORTGAGE FINANCE 0.9% Radian Group, Inc.+ 2,824 169,440 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 169,440 --------------- TOTAL FINANCIALS 1,771,231 --------------- ENERGY 7.9% OIL & GAS 6.9% Denbury Resources, Inc.*+ 12,039 347,927 Pogo Producing Co.+ 6,286 257,412 Newfield Exploration Co.* 6,133 236,366 Plains Exploration & Production Co.* 3,875 166,276 Southwestern Energy Co.*+ 4,403 131,517 Noble Energy, Inc.+ 2,546 116,072 Pioneer Natural Resources Co.+ 2,883 112,783 --------------- TOTAL OIL & GAS 1,368,353 --------------- ENERGY EQUIPMENT & SERVICES 1.0% Grant Prideco, Inc.* 2,758 104,887 Patterson-UTI Energy, Inc.+ 4,233 100,576 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 205,463 --------------- TOTAL ENERGY 1,573,816 --------------- CONSUMER STAPLES 1.3% HOUSEHOLD PRODUCTS 1.3% Energizer Holdings, Inc.*+ 2,157 155,283 Church & Dwight Co., Inc.+ 2,303 90,070 --------------- TOTAL HOUSEHOLD PRODUCTS 245,353 --------------- TOTAL CONSUMER STAPLES 245,353 --------------- TOTAL COMMON STOCKS (Cost $17,744,834) 19,790,343 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 2,861 2,861 4.95% due 10/02/06 43,347 43,347 4.89% due 10/02/06 28,176 28,176 4.80% due 10/02/06 52,017 52,017 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $126,401) 126,401 --------------- SECURITIES LENDING COLLATERAL 24.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 4,795,078 4,795,078 --------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 83 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- MID-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE (NOTE 1) - -------------------------------------------------------------------------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,795,078) $ 4,795,078 --------------- TOTAL INVESTMENTS 124.3% (Cost $22,666,313) $ 24,711,822 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (24.3)% $ (4,830,608) =============== NET ASSETS - 100.0% $ 19,881,214 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. See Notes to Financial Statements. 84 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% CONSUMER DISCRETIONARY 26.7% SPECIALTY RETAIL 6.5% AutoZone, Inc.*+ 10,760 $ 1,111,508 TJX Cos., Inc.+ 38,456 1,077,922 Bed Bath & Beyond, Inc.* 21,283 814,287 Best Buy Co., Inc.+ 14,043 752,143 Lowe's Cos., Inc.+ 16,186 454,179 Home Depot, Inc.+ 11,167 405,027 RadioShack Corp.+ 18,516 357,359 Tiffany & Co.+ 6,988 232,002 --------------- TOTAL SPECIALTY RETAIL 5,204,427 --------------- HOTELS, RESTAURANTS & LEISURE 5.2% International Game Technology, Inc.+ 41,127 1,706,770 Starbucks Corp.*+ 24,402 830,888 Darden Restaurants, Inc. 12,513 531,427 Yum! Brands, Inc. 8,631 449,244 Wendy's International, Inc. 5,870 393,290 Starwood Hotels & Resorts Worldwide, Inc. 4,830 276,228 --------------- TOTAL HOTELS, RESTAURANTS & LEISURE 4,187,847 --------------- HOUSEHOLD DURABLES 4.4% Black & Decker Corp.+ 10,953 869,120 Lennar Corp. -- Class A+ 14,800 669,700 Fortune Brands, Inc.+ 7,461 560,396 D.R. Horton, Inc.+ 23,038 551,760 Centex Corp.+ 10,350 544,617 Harman International Industries, Inc.+ 4,116 343,439 --------------- TOTAL HOUSEHOLD DURABLES 3,539,032 --------------- TEXTILES & APPAREL 2.0% Coach, Inc.*+ 28,866 992,990 Liz Claiborne, Inc.+ 9,986 394,547 Nike, Inc. -- Class B+ 2,844 249,191 --------------- TOTAL TEXTILES & APPAREL 1,636,728 --------------- MEDIA 2.0% Omnicom Group, Inc. 5,472 512,179 Clear Channel Communications, Inc.+ 15,180 437,943 Dow Jones & Co., Inc.+ 10,756 360,756 Univision Communications, Inc. -- Class A*+ 9,006 309,266 --------------- TOTAL MEDIA 1,620,144 --------------- COMMERCIAL SERVICES & SUPPLIES 1.8% Apollo Group, Inc. -- Class A*+ 15,757 775,875 H&R Block, Inc.+ 31,785 691,006 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,466,881 --------------- MULTILINE RETAIL 1.8% Kohl's Corp.* 11,738 762,031 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Sears Holdings Corp.* 2,498 $ 394,909 Target Corp.+ 4,657 257,299 --------------- TOTAL MULTILINE RETAIL 1,414,239 --------------- AUTOMOBILES 1.2% Harley-Davidson, Inc.+ 14,969 939,305 --------------- TOTAL AUTOMOBILES 939,305 --------------- INTERNET & CATALOG RETAIL 1.0% Amazon.com, Inc.*+ 25,522 819,767 --------------- TOTAL INTERNET & CATALOG RETAIL 819,767 --------------- AUTO COMPONENTS 0.8% Goodyear Tire & Rubber Co.*+ 41,588 603,026 --------------- TOTAL AUTO COMPONENTS 603,026 --------------- TOTAL CONSUMER DISCRETIONARY 21,431,396 --------------- HEALTH CARE 25.1% HEALTH CARE PROVIDERS & SERVICES 10.7% Express Scripts, Inc.* 12,630 953,439 AmerisourceBergen Corp.+ 20,685 934,962 Manor Care, Inc.+ 16,346 854,569 Humana, Inc.* 12,092 799,160 UnitedHealth Group, Inc. 15,775 776,130 Coventry Health Care, Inc.* 14,631 753,789 Caremark Rx, Inc.+ 12,848 728,096 Quest Diagnostics, Inc. 9,773 597,717 IMS Health, Inc. 21,459 571,668 Cardinal Health, Inc.+ 7,810 513,430 Patterson Cos., Inc.*+ 13,674 459,583 Health Management Associates, Inc. -- Class A+ 20,630 431,167 Laboratory Corporation of America Holdings*+ 3,504 229,757 --------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 8,603,467 --------------- HEALTH CARE EQUIPMENT & SUPPLIES 7.5% Fisher Scientific International, Inc.* 14,406 1,127,125 Zimmer Holdings, Inc.*+ 12,534 846,045 Stryker Corp. 16,950 840,550 Hospira, Inc.* 18,163 695,098 Waters Corp.* 13,110 593,621 Biomet, Inc.+ 13,882 446,862 Medtronic, Inc.+ 7,824 363,347 St. Jude Medical, Inc.* 9,985 352,371 Becton, Dickinson & Co. 3,738 264,164 Boston Scientific Corp.* 15,581 230,443 Millipore Corp.*+ 3,534 216,634 --------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 5,976,260 --------------- PHARMACEUTICALS 5.7% Forest Laboratories, Inc.* 24,016 1,215,450 King Pharmaceuticals, Inc.* 36,118 615,089 Barr Pharmaceuticals, Inc.* 11,724 608,944 Schering-Plough Corp. 18,711 413,326 Mylan Laboratories, Inc.+ 20,260 407,834 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 85 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Pfizer, Inc. 13,852 $ 392,843 Johnson & Johnson, Inc. 4,718 306,387 Wyeth 4,905 249,370 Eli Lilly & Co.+ 3,883 221,331 Watson Pharmaceuticals, Inc.*+ 6,804 178,061 --------------- TOTAL PHARMACEUTICALS 4,608,635 --------------- BIOTECHNOLOGY 1.2% Gilead Sciences, Inc.*+ 7,044 483,923 Amgen, Inc.*+ 3,440 246,063 Medimmune, Inc.*+ 7,463 217,994 --------------- TOTAL BIOTECHNOLOGY 947,980 --------------- TOTAL HEALTH CARE 20,136,342 --------------- INFORMATION TECHNOLOGY 17.1% SOFTWARE 4.4% Adobe Systems, Inc.*+ 21,661 811,204 Oracle Corp.* 36,434 646,339 Citrix Systems, Inc.*+ 16,726 605,649 Electronic Arts, Inc.*+ 8,949 498,280 Symantec Corp.*+ 18,505 393,786 Microsoft Corp. 10,493 286,774 Intuit, Inc.* 8,832 283,419 --------------- TOTAL SOFTWARE 3,525,451 --------------- COMPUTERS & PERIPHERALS 4.1% QLogic Corp.* 36,420 688,338 Network Appliance, Inc.* 17,341 641,791 Lexmark International, Inc.* 10,538 607,621 Dell, Inc.*+ 23,198 529,842 SanDisk Corp.*+ 9,564 512,057 International Business Machines Corp. 3,277 268,517 --------------- TOTAL COMPUTERS & PERIPHERALS 3,248,166 --------------- INTERNET SOFTWARE & SERVICES 3.5% Google, Inc. -- Class A*+ 3,282 1,319,036 eBay, Inc.* 23,640 670,430 Yahoo!, Inc.*+ 20,727 523,979 VeriSign, Inc.*+ 13,454 271,771 --------------- TOTAL INTERNET SOFTWARE & SERVICES 2,785,216 --------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7% Nvidia Corp.* 60,822 1,799,723 Maxim Integrated Products, Inc.+ 6,856 192,448 Broadcom Corp. -- Class A*+ 5,213 158,162 --------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,150,333 --------------- IT CONSULTING & SERVICES 1.9% First Data Corp.+ 14,027 589,134 Fiserv, Inc.* 10,350 487,381 Affiliated Computer Services, Inc. -- Class A* 8,981 465,755 --------------- TOTAL IT CONSULTING & SERVICES 1,542,270 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT 0.3% Cisco Systems, Inc.*+ 9,361 $ 215,303 --------------- TOTAL COMMUNICATIONS EQUIPMENT 215,303 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.2% Jabil Circuit, Inc.+ 6,864 196,105 --------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 196,105 --------------- TOTAL INFORMATION TECHNOLOGY 13,662,844 --------------- FINANCIALS 9.8% THRIFTS & MORTGAGE FINANCE 2.7% Countrywide Financial Corp.+ 25,314 887,003 Freddie Mac 12,471 827,201 MGIC Investment Corp.+ 7,608 456,252 --------------- TOTAL THRIFTS & MORTGAGE FINANCE 2,170,456 --------------- CONSUMER FINANCE 2.2% Capital One Financial Corp.+ 10,385 816,884 SLM Corp.+ 14,071 731,411 American Express Co. 3,619 202,953 --------------- TOTAL CONSUMER FINANCE 1,751,248 --------------- CAPITAL MARKETS 1.6% Federated Investors, Inc. -- Class B 22,057 745,747 Janus Capital Group, Inc.+ 17,768 350,385 Legg Mason, Inc.+ 1,910 192,643 --------------- TOTAL CAPITAL MARKETS 1,288,775 --------------- INSURANCE 1.4% Progressive Corp. 25,343 621,917 Ambac Financial Group, Inc. 6,072 502,458 --------------- TOTAL INSURANCE 1,124,375 --------------- DIVERSIFIED FINANCIALS 1.4% Chicago Mercantile Exchange Holdings, Inc.+ 2,300 1,099,975 --------------- TOTAL DIVERSIFIED FINANCIALS 1,099,975 --------------- BANKS 0.5% Commerce Bancorp, Inc.+ 11,469 421,027 --------------- TOTAL BANKS 421,027 --------------- TOTAL FINANCIALS 7,855,856 --------------- CONSUMER STAPLES 8.7% FOOD PRODUCTS 2.9% General Mills, Inc.+ 13,081 740,384 Campbell Soup Co.+ 15,216 555,384 Kellogg Co.+ 8,586 425,179 McCormick & Co., Inc. 9,521 361,607 WM Wrigley Jr Co.+ 4,494 206,994 --------------- TOTAL FOOD PRODUCTS 2,289,548 --------------- FOOD & DRUG RETAILING 2.0% Sysco Corp.+ 14,000 468,300 Wal-Mart Stores, Inc. 8,806 434,312 Walgreen Co.+ 8,964 397,912 Whole Foods Market, Inc.+ 4,488 266,722 --------------- TOTAL FOOD & DRUG RETAILING 1,567,246 --------------- See Notes to Financial Statements. 86 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS 1.9% Colgate-Palmolive Co. 10,361 $ 643,418 Clorox Co. 9,944 626,472 Procter & Gamble Co. 4,669 289,385 --------------- TOTAL HOUSEHOLD PRODUCTS 1,559,275 --------------- BEVERAGES 1.2% Anheuser-Busch Cos., Inc. 14,236 676,352 PepsiCo, Inc. 3,867 252,361 --------------- TOTAL BEVERAGES 928,713 --------------- TOBACCO 0.7% UST, Inc.+ 10,936 599,621 --------------- TOTAL TOBACCO 599,621 --------------- TOTAL CONSUMER STAPLES 6,944,403 --------------- ENERGY 7.4% OIL & GAS 6.8% XTO Energy, Inc.+ 30,806 1,297,857 Devon Energy Corp. 15,950 1,007,242 Apache Corp.+ 10,720 677,504 Anadarko Petroleum Corp.+ 15,400 674,982 Valero Energy Corp. 12,698 653,566 Chesapeake Energy Corp.+ 19,896 576,586 EOG Resources, Inc.+ 8,530 554,877 --------------- TOTAL OIL & GAS 5,442,614 --------------- ENERGY EQUIPMENT & SERVICES 0.6% BJ Services Co.+ 10,377 312,659 Nabors Industries Ltd.*+ 4,920 146,370 --------------- TOTAL ENERGY EQUIPMENT & SERVICES 459,029 --------------- TOTAL ENERGY 5,901,643 --------------- INDUSTRIALS 2.7% AEROSPACE & DEFENSE 1.2% General Dynamics Corp.+ 7,026 503,554 L-3 Communications Holdings, Inc. 6,404 501,625 --------------- TOTAL AEROSPACE & DEFENSE 1,005,179 --------------- MACHINERY 0.9% ITT Industries, Inc. 6,978 357,762 Danaher Corp.+ 5,035 345,753 --------------- TOTAL MACHINERY 703,515 --------------- COMMERCIAL SERVICES & SUPPLIES 0.6% Equifax, Inc. 6,274 230,318 Cintas Corp. 5,420 221,299 --------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 451,617 --------------- TOTAL INDUSTRIALS 2,160,311 --------------- MATERIALS 2.1% CHEMICALS 1.1% Ecolab, Inc.+ 12,666 542,358 Sigma-Aldrich Corp.+ 4,870 368,513 --------------- TOTAL CHEMICALS 910,871 --------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONTAINERS & PACKAGING 1.0% Ball Corp.+ 19,123 $ 773,525 --------------- TOTAL CONTAINERS & PACKAGING 773,525 --------------- TOTAL MATERIALS 1,684,396 --------------- TOTAL COMMON STOCKS (Cost $76,446,030) 79,777,191 --------------- FACE AMOUNT -------------- REPURCHASE AGREEMENTS 0.5% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 10,054 10,054 4.95% due 10/02/06 152,318 152,318 4.89% due 10/02/06 99,007 99,007 4.80% due 10/02/06 182,782 182,782 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $444,161) 444,161 --------------- SECURITIES LENDING COLLATERAL 18.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 15,146,000 15,146,000 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $15,146,000) 15,146,000 --------------- TOTAL INVESTMENTS 119.0% (Cost $92,036,191) $ 95,367,352 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (19.0)% $ (15,239,629) =============== NET ASSETS - 100.0% $ 80,127,723 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 87 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- DYNAMIC STRENGTHENING DOLLAR FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 99.6% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 424,187 $ 424,187 4.95% due 10/02/06 6,426,611 6,426,611 4.94% due 10/02/06+ 8,204,325 8,204,325 4.89% due 10/02/06 4,177,297 4,177,297 4.80% due 10/02/06 7,711,933 7,711,933 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $26,944,353) 26,944,353 --------------- TOTAL INVESTMENTS 99.6% (Cost $26,944,353) $ 26,944,353 =============== OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% $ 117,429 =============== NET ASSETS - 100.0% $ 27,061,782 ================================================================================ UNREALIZED GAIN UNITS (NOTE 1) - -------------------------------------------------------------------------------- CURRENCY INDEX SWAP AGREEMENT November 2006 U.S. Dollar Index Swap, Maturing 11/28/06* (Notional Market Value $54,036,453) 630,326 $ 531,484 =============== * PRICE RETURN BASED ON U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. 88 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- DYNAMIC WEAKENING DOLLAR FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 103.9% Repurchase Agreement (Note 6) 5.00% due 10/02/06 $ 2,552,800 $ 2,552,800 4.95% due 10/02/06 38,675,940 38,675,940 4.94% due 10/02/06+ 50,691,199 50,691,199 4.89% due 10/02/06 25,139,361 25,139,361 4.80% due 10/02/06 46,411,129 46,411,129 --------------- TOTAL REPURCHASE AGREEMENTS (Cost $163,470,429) 163,470,429 --------------- TOTAL INVESTMENTS 103.9% (Cost $163,470,429) $ 163,470,429 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (3.9)% $ (6,090,679) =============== NET ASSETS - 100.0% $ 157,379,750 ================================================================================ UNREALIZED LOSS UNITS (NOTE 1) - -------------------------------------------------------------------------------- CURRENCY INDEX SWAP AGREEMENT SOLD SHORT November 2006 U.S. Dollar Index Swap, Maturing 11/29/06* (Notional Market Value $315,787,588) 3,683,608 $ (4,437,142) =============== * PRICE RETURN BASED ON U.S. DOLLAR INDEX +/- FINANCING AT A VARIABLE RATE. + ALL OR A PORTION OF THIS SECURITY IS HELD AS EQUITY INDEX SWAP COLLATERAL AT SEPTEMBER 30, 2006. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 89 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- FEDERAL AGENCY DISCOUNT NOTES 83.6% Farmer Mac* 5.28% due 10/06/06 $ 50,000,000 $ 49,970,667 5.24% due 10/13/06 50,000,000 49,919,944 5.25% due 10/30/06 50,000,000 49,795,833 5.00% due 11/03/06 50,000,000 49,777,778 5.24% due 11/03/06 50,000,000 49,767,111 5.15% due 11/07/06 25,000,000 24,871,250 Federal Farm Credit Bank* 4.98% due 10/18/06 50,000,000 49,889,333 5.11% due 10/23/06 50,000,000 49,850,958 5.00% due 10/30/06 50,000,000 49,805,556 5.21% due 11/20/06 50,000,000 49,645,431 4.96% due 11/16/06 25,000,000 24,845,000 4.98% due 11/17/06 25,000,000 24,840,917 4.99% due 11/22/06 25,000,000 24,823,271 Federal Home Loan Bank* 5.23% due 10/13/06 50,000,000 49,920,097 5.15% due 11/17/06 25,000,000 24,835,486 5.24% due 12/15/06 25,000,000 24,730,722 Freddie Mac* 5.16% due 11/14/06+ 50,000,000 49,691,833 5.27% due 11/21/06+ 50,000,000 49,634,375 5.24% due 12/11/06 50,000,000 49,490,556 5.24% due 12/19/06 50,000,000 49,432,333 5.06% due 02/22/07 50,000,000 48,996,021 5.25% due 10/10/06 25,000,000 24,970,833 5.24% due 10/17/06 25,000,000 24,945,417 5.27% due 10/17/06 25,000,000 24,945,104 5.30% due 11/01/06 25,000,000 24,889,583 5.27% due 12/05/06 25,000,000 24,766,000 5.26% due 12/19/06+ 25,000,000 24,715,083 5.20% due 01/02/07 25,000,000 24,667,778 5.18% due 01/03/07 25,000,000 24,665,458 5.29% due 01/02/07 25,000,000 24,662,028 --------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $1,117,761,756) 1,117,761,756 --------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 7.6% Individual Repurchase Agreement Lehman Brothers, Inc. at 5.00% due 10/02/06 (Secured by U.S. Treasury Notes, as collateral, maturing 11/15/08 and 02/15/16 with a Market Value of $98,205,449 and secured by U.S. Treasury Bills, as collateral, maturing 11/15/06 with a Market Value of $4,677,123) having a Maturity Value of $100,936,034 $ 100,893,995 $ 100,893,995 TOTAL REPURCHASE AGREEMENTS --------------- (Cost $100,893,995) 100,893,995 --------------- SECURITIES LENDING COLLATERAL 10.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 9) 140,000,000 140,000,000 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $140,000,000) 140,000,000 --------------- TOTAL INVESTMENTS 101.7% (Cost $1,358,655,751) $ 1,358,655,751 =============== LIABILITIES IN EXCESS OF OTHER ASSETS - (1.7)% $ (22,150,878) =============== NET ASSETS - 100.0% $ 1,336,504,873 * THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 9. See Notes to Financial Statements. 90 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT MASTER-FEEDER ARRANGEMENT - -------------------------------------------------------------------------------- Nova Fund, Inverse S&P 500 Fund, Inverse OTC Fund and Inverse Government Long Bond Fund are operating under a 'master-feeder arrangement'. Under a master-feeder arrangement, a Feeder Fund ("feeder") invests substantially all of its assets in the Master Portfolio ("master"), a separate open-ended investment company that has the same investment objectives as the feeder, e.g., the Nova Fund would act as a feeder, holding shares of the Nova Master Portfolio as its only investment. The Master Portfolio, in turn, invests in securities and derivatives to meet its investment objective. The following statements represent the Feeder Funds, which is the part of the master-feeder arrangement in which shareholders invest. Please see Notes to Financial Statements for more information about the master-feeder arrangement. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 91 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) - --------------------------------------------------------------------------------
INVERSE NOVA S&P 500 S&P 500 OTC FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 6 and 9) $ -- $ 11,957,058 $ -- $1,009,194,402 Investments in Master Portfolio** (Note 3) 212,821,710 -- 522,197,211 -- Segregated Cash with Broker -- 2,183,987 -- 3,287,384 Cash in Custodian Bank -- 26 -- -- Receivable for Equity Index Swap Settlement (Note 1) -- 24,034 -- 138,253 Receivable for Futures Contracts Settlement (Note 1) -- -- -- -- Receivable for Securities Sold (Note 1) -- 554 -- -- Receivable for Fund Shares Purchased 806,923 121,736 1,944,419 1,685,737 Investment Income Receivable (Note 1) -- 7,859 -- 37,225 Other Assets -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 213,628,633 14,295,254 524,141,630 1,014,343,001 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) -- 12,862 -- 34,551 Payable for Futures Contracts Settlement (Note 1) -- 4,462 -- 75,375 Payable upon Return of Securities Loaned (Note 9) -- -- -- 256,156,878 Payable for Securities Purchased (Note 1) 123,656 2,716 608,148 -- Liability for Fund Shares Redeemed 606,017 249,168 1,158,196 4,997,106 Investment Advisory Fees Payable (Note 4) -- 10,283 -- 462,037 Transfer Agent and Administrative Fees Payable (Note 4) 42,059 3,428 118,346 154,012 Distribution and Service Fees Payable (Note 4) 18,366 1,556 20,135 9,868 Portfolio Accounting Fees Payable (Note 4) 16,824 1,371 39,594 46,695 Custody Fees Payable -- 329 -- 14,785 Dividends Payable -- -- -- -- Other Liabilities 82,842 3,892 223,525 287,736 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 889,764 290,067 2,167,944 262,239,043 ================================================================================================================================ NET ASSETS $ 212,738,869 $ 14,005,187 $ 521,973,686 $ 752,103,958 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 187,708,695 13,403,794 546,265,017 1,301,314,974 Undistributed Net Investment Income (Loss) 6,377,110 45,956 1,096,953 (2,352,965) Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, and Futures Contracts 7,814,396 298,802 (8,006,793) (820,051,264) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, and Futures Contracts 10,838,668 256,635 (17,381,491) 273,193,213 ================================================================================================================================ NET ASSETS $ 212,738,869 $ 14,005,187 $ 521,973,686 $ 752,103,958 ================================================================================================================================ Investor Class $ 110,206,371 N/A $ 421,739,660 $ 689,101,812 Advisor Class 39,639,197 N/A 33,361,656 47,981,634 A-Class 18,671,165 $ 843,097 17,541,217 1,976,299 C-Class 44,222,136 2,739,192 49,331,153 13,044,213 H-Class N/A 10,422,898 N/A N/A SHARES OUTSTANDING Investor Class 3,677,376 N/A 52,492,303 62,817,635 Advisor Class 1,381,386 N/A 4,351,810 4,567,223 A-Class 646,757 32,176 2,284,347 186,712 C-Class 1,564,197 104,808 6,505,702 1,263,742 H-Class N/A 397,961 N/A N/A NET ASSET VALUES Investor Class $ 29.97 N/A $ 8.03 $ 10.97 Advisor Class 28.70 N/A 7.67 10.51 A-Class 28.87 $ 26.20 7.68 10.58 A-Class Maximum Offering Price*** 30.31 27.51 8.06 11.11 C-Class 28.27 26.14 7.58 10.32 H-Class N/A 26.19 N/A N/A
* THE COST OF SECURITIES AT VALUE IS $0, $11,742,929, $0, $736,902,248, $0, $60,125,889, $51,030,908, $102,596,222, $10,361,935, $166,898,355, $154,725,142, AND $0, RESPECTIVELY. ** THE COST OF INVESTMENT IN MASTER PORTFOLIO IS $201,983,042, $0, $539,578,702, $0, $205,717,131, $0, $0, $0, $0, $0, $0, AND $888,479,350, RESPECTIVELY. *** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE. See Notes to Financial Statements. 92 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT September 30, 2006 - --------------------------------------------------------------------------------
INVERSE MID-CAP INVERSE RUSSELL 2000(R) OTC ADVANTAGE MID-CAP ADVANTAGE FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 6 and 9) $ -- $ 62,198,706 $ 51,030,908 $ 109,287,910 Investments in Master Portfolio** (Note 3) 196,636,649 -- -- -- Segregated Cash with Broker -- 537,300 580,500 3,725,838 Cash in Custodian Bank -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- 274,352 -- -- Receivable for Futures Contracts Settlement (Note 1) -- -- 92,450 -- Receivable for Securities Sold (Note 1) -- 352,333 -- -- Receivable for Fund Shares Purchased 3,764,905 328,565 1,882,221 421,137 Investment Income Receivable (Note 1) -- 32,464 20,752 67,118 Other Assets -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 200,401,554 63,723,720 53,606,831 113,502,003 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) -- -- 617,514 53,695 Payable for Futures Contracts Settlement (Note 1) -- 91,519 -- 259,364 Payable upon Return of Securities Loaned (Note 9) -- 8,682,175 -- 14,084,000 Payable for Securities Purchased (Note 1) 2,780,705 121,153 -- -- Liability for Fund Shares Redeemed 913,709 7,608,679 338,848 8,044,359 Investment Advisory Fees Payable (Note 4) -- 39,673 39,759 73,511 Transfer Agent and Administrative Fees Payable (Note 4) 44,434 11,020 11,044 20,420 Distribution and Service Fees Payable (Note 4) 8,284 7,265 4,252 11,606 Portfolio Accounting Fees Payable (Note 4) 17,774 4,408 4,418 8,168 Custody Fees Payable -- 1,058 1,060 1,960 Dividends Payable -- -- -- -- Other Liabilities 86,754 24,514 17,836 42,039 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 3,851,660 16,591,464 1,034,731 22,599,122 ================================================================================================================================ NET ASSETS $ 196,549,894 $ 47,132,256 $ 52,572,100 $ 90,902,881 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 189,338,535 48,112,130 54,928,879 91,333,865 Undistributed Net Investment Income (Loss) 408,337 (43,878) 859,483 98,713 Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, and Futures Contracts 15,883,504 (3,328,656) (2,759,653) (7,394,879) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, and Futures Contracts (9,080,482) 2,392,660 (456,609) 6,865,182 ================================================================================================================================ NET ASSETS $ 196,549,894 $ 47,132,256 $ 52,572,100 $ 90,902,881 ================================================================================================================================ Investor Class $ 153,673,928 N/A N/A N/A Advisor Class 16,019,720 N/A N/A N/A A-Class 7,087,964 $ 3,581,328 $ 931,682 $ 3,973,861 C-Class 19,768,282 18,346,484 4,464,897 24,430,119 H-Class N/A 25,204,444 47,175,521 62,498,901 SHARES OUTSTANDING Investor Class 6,658,744 N/A N/A N/A Advisor Class 704,984 N/A N/A N/A A-Class 310,269 97,565 23,484 117,557 C-Class 909,449 518,883 114,887 753,700 H-Class N/A 686,145 1,188,770 1,848,919 NET ASSET VALUES Investor Class $ 23.08 N/A N/A N/A Advisor Class 22.72 N/A N/A N/A A-Class 22.84 $ 36.71 $ 39.67 $ 33.80 A-Class Maximum Offering Price*** 23.98 38.54 41.65 35.49 C-Class 21.74 35.36 38.86 32.41 H-Class N/A 36.73 39.68 33.80 GOVERNMENT INVERSE INVERSE LONG BOND GOVERNMENT RUSSELL 2000(R) RUSSELL 2000(R) ADVANTAGE LONG BOND FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 6 and 9) $ 10,509,994 $ 166,898,355 $ 164,224,191 $ -- Investments in Master Portfolio** (Note 3) -- -- -- 910,641,209 Segregated Cash with Broker 346,400 901,800 663,300 -- Cash in Custodian Bank 52,825 -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- -- -- Receivable for Futures Contracts Settlement (Note 1) -- 252,649 -- -- Receivable for Securities Sold (Note 1) -- -- 48,119,628 -- Receivable for Fund Shares Purchased 33,832 7,669,276 255,736 5,393,572 Investment Income Receivable (Note 1) 6,224 67,902 943,881 -- Other Assets 8 -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 10,949,283 175,789,982 214,206,736 916,034,781 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) 28,993 5,657,293 -- -- Payable for Futures Contracts Settlement (Note 1) 24,000 -- 23,771 -- Payable upon Return of Securities Loaned (Note 9) -- -- -- -- Payable for Securities Purchased (Note 1) -- -- -- 1,772,323 Liability for Fund Shares Redeemed 1,100,544 383,428 52,115,884 3,255,172 Investment Advisory Fees Payable (Note 4) 6,853 131,458 91,497 -- Transfer Agent and Administrative Fees Payable (Note 4) 2,284 36,516 36,599 209,876 Distribution and Service Fees Payable (Note 4) 1,027 14,910 14,855 102,351 Portfolio Accounting Fees Payable (Note 4) 914 14,606 18,299 53,850 Custody Fees Payable 220 3,506 4,786 -- Dividends Payable -- -- 40,982 -- Other Liabilities 2,833 59,475 83,424 492,041 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 1,167,668 6,301,192 52,430,097 5,885,613 ================================================================================================================================ NET ASSETS $ 9,781,615 $ 169,488,790 $ 161,776,639 $ 910,149,168 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 10,382,628 189,020,330 165,652,409 885,057,606 Undistributed Net Investment Income (Loss) 47,097 2,819,103 183,622 2,389,536 Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, and Futures Contracts (783,886) (18,084,629) (14,682,347) 540,167 Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, and Futures Contracts 135,776 (4,266,014) 10,622,955 22,161,859 ================================================================================================================================ NET ASSETS $ 9,781,615 $ 169,488,790 $ 161,776,639 $ 910,149,168 ================================================================================================================================ Investor Class N/A N/A $ 111,181,579 $ 444,757,127 Advisor Class N/A N/A 27,190,089 54,109,953 A-Class $ 33,060 $ 27,390,710 8,568,683 92,586,987 C-Class 3,429,359 17,193,803 14,836,288 318,695,101 H-Class 6,319,196 124,904,277 N/A N/A SHARES OUTSTANDING Investor Class N/A N/A 10,299,796 22,889,950 Advisor Class N/A N/A 2,533,081 2,829,024 A-Class 1,313 693,573 793,569 4,811,332 C-Class 136,412 443,785 1,375,184 17,279,647 H-Class 250,864 3,161,161 N/A N/A NET ASSET VALUES Investor Class N/A N/A $ 10.79 $ 19.43 Advisor Class N/A N/A 10.73 19.13 A-Class $ 25.19 $ 39.49 10.80 19.24 A-Class Maximum Offering Price*** 26.45 41.46 11.34 20.20 C-Class 25.14 38.74 10.79 18.44 H-Class 25.19 39.51 N/A N/A
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 93 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
EUROPE JAPAN SMALL-CAP MID-CAP ADVANTAGE ADVANTAGE VALUE VALUE FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 6 and 9) $ 91,390,982 $ 51,204,176 $ 67,603,573 $ 40,576,777 Segregated Cash with Broker -- 303,250 -- -- Cash in Custodian Bank -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) 382,547 673,487 -- -- Receivable for Futures Contracts Settlement (Note 1) -- 2,512 -- -- Receivable for Securities Sold (Note 1) -- -- -- 5,345,842 Receivable for Fund Shares Purchased 8,032,942 5,834,072 16,921 276,530 Investment Income Receivable (Note 1) 132,628 20,899 47,495 44,717 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 99,939,099 58,038,396 67,667,989 46,243,866 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) 75,842 -- -- -- Payable upon Return of Securities Loaned (Note 9) -- -- 6,834,204 9,506,220 Payable for Securities Purchased (Note 1) 7,792,095 -- -- 139,188 Liability for Fund Shares Redeemed 1,280,924 7,259,381 955,043 5,554,648 Investment Advisory Fees Payable (Note 4) 60,260 49,901 23,016 24,495 Transfer Agent and Administrative Fees Payable (Note 4) 16,739 13,861 7,672 8,165 Distribution and Service Fees Payable (Note 4) 7,596 5,125 6,003 3,711 Portfolio Accounting Fees Payable (Note 4) 6,696 5,545 3,069 3,266 Custody Fees Payable 1,607 1,331 737 784 Cash Due to Custodian Bank -- -- -- -- Dividends Payable -- -- -- -- Other Liabilities 24,574 32,244 17,214 17,197 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 9,266,333 7,367,388 7,846,958 15,257,674 ================================================================================================================================ NET ASSETS $ 90,672,766 $ 50,671,008 $ 59,821,031 $ 30,986,192 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 88,472,310 35,732,380 64,086,737 30,743,052 Undistributed Net Investment Income (Loss) 1,752,386 3,199,943 50,192 244,385 Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, Currency Index Swaps, and Futures Contracts (3,328,942) 11,067,268 (8,215,318) (5,081,148) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, Currency Index Swaps, and Futures Contracts 3,777,012 671,417 3,899,420 5,079,903 ================================================================================================================================ NET ASSETS $ 90,672,766 $ 50,671,008 $ 59,821,031 $ 30,986,192 ================================================================================================================================ Investor Class N/A N/A N/A N/A Advisor Class N/A N/A N/A N/A A-Class $ 3,330,703 $ 4,483,702 $ 1,183,491 $ 1,346,820 C-Class 11,079,413 7,536,417 14,166,117 5,502,195 H-Class 76,262,650 38,650,889 44,471,423 24,137,177 SHARES OUTSTANDING Investor Class N/A N/A N/A N/A Advisor Class N/A N/A N/A N/A A-Class 155,280 119,981 37,276 42,191 C-Class 540,126 208,308 455,556 175,682 H-Class 3,553,909 1,033,455 1,402,170 756,287 NET ASSET VALUES Investor Class N/A N/A N/A N/A Advisor Class N/A N/A N/A N/A A-Class $ 21.45 $ 37.37 $ 31.75 $ 31.92 A-Class Maximum Offering Price** 22.52 39.23 33.33 33.51 C-Class 20.51 36.18 31.10 31.32 H-Class 21.46 37.40 31.72 31.92
* THE COST OF SECURITIES AT VALUE IS $87,880,640, $51,204,176, $63,704,153, $35,496,874, $194,782,105, $38,559,051, $22,666,313, $92,036,191, $26,944,353, $163,470,429, AND $1,358,655,751, RESPECTIVELY. ** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE. See Notes to Financial Statements. 94 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT September 30, 2006 - --------------------------------------------------------------------------------
LARGE-CAP SMALL-CAP MID-CAP LARGE-CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 6 and 9) $ 212,456,009 $ 42,175,555 $ 24,711,822 $ 95,367,352 Segregated Cash with Broker -- -- -- -- Cash in Custodian Bank 9,475 -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- -- -- Receivable for Futures Contracts Settlement (Note 1) -- -- -- -- Receivable for Securities Sold (Note 1) 421,517 350,054 2,041,611 3,105,205 Receivable for Fund Shares Purchased 6,866,260 42,937 3,144 274,983 Investment Income Receivable (Note 1) 298,534 6,718 7,559 18,976 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 220,051,795 42,575,264 26,764,136 98,766,516 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) -- -- -- -- Payable upon Return of Securities Loaned (Note 9) 41,932,704 9,036,922 4,795,078 15,146,000 Payable for Securities Purchased (Note 1) 1,983,706 449,268 320,793 -- Liability for Fund Shares Redeemed 5,495,269 158,853 1,739,229 3,422,749 Investment Advisory Fees Payable (Note 4) 112,100 15,405 10,462 33,559 Transfer Agent and Administrative Fees Payable (Note 4) 37,367 5,135 3,487 11,186 Distribution and Service Fees Payable (Note 4) 12,829 2,420 1,920 6,202 Portfolio Accounting Fees Payable (Note 4) 14,947 2,054 1,395 4,475 Custody Fees Payable 3,727 726 335 1,074 Cash Due to Custodian Bank -- -- -- -- Dividends Payable -- -- -- -- Other Liabilities 59,871 11,720 10,223 13,548 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 49,652,520 9,682,503 6,882,922 18,638,793 ================================================================================================================================ NET ASSETS $ 170,399,275 $ 32,892,761 $ 19,881,214 $ 80,127,723 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 162,232,657 37,503,431 16,749,301 82,883,608 Undistributed Net Investment Income (Loss) 620,126 (190,161) (133,214) (144,356) Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, Currency Index Swaps, and Futures Contracts (10,127,412) (8,037,013) 1,219,618 (5,942,690) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, Currency Index Swaps, and Futures Contracts 17,673,904 3,616,504 2,045,509 3,331,161 ================================================================================================================================ NET ASSETS $ 170,399,275 $ 32,892,761 $ 19,881,214 $ 80,127,723 ================================================================================================================================ Investor Class N/A N/A N/A N/A Advisor Class N/A N/A N/A N/A A-Class $ 1,407,011 $ 777,253 $ 1,488,073 $ 1,589,219 C-Class 4,091,430 1,777,697 2,521,430 14,097,976 H-Class 164,900,834 30,337,811 15,871,711 64,440,528 SHARES OUTSTANDING Investor Class N/A N/A N/A N/A Advisor Class N/A N/A N/A N/A A-Class 46,327 26,570 51,623 61,975 C-Class 137,383 61,829 89,094 560,195 H-Class 5,430,153 1,036,479 550,104 2,512,941 NET ASSET VALUES Investor Class N/A N/A N/A N/A Advisor Class N/A N/A N/A N/A A-Class $ 30.37 $ 29.25 $ 28.83 $ 25.64 A-Class Maximum Offering Price** 31.88 30.71 30.27 26.92 C-Class 29.78 28.75 28.30 25.17 H-Class 30.37 29.27 28.85 25.64 DYNAMIC DYNAMIC U.S. STRENGTHENING WEAKENING GOVERNMENT DOLLAR DOLLAR MONEY MARKET FUND FUND FUND - -------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 6 and 9) $ 26,944,353 $ 163,470,429 $1,358,655,751 Segregated Cash with Broker -- -- -- Cash in Custodian Bank -- -- -- Receivable for Equity Index Swap Settlement (Note 1) 500,404 -- -- Receivable for Futures Contracts Settlement (Note 1) -- -- -- Receivable for Securities Sold (Note 1) -- -- -- Receivable for Fund Shares Purchased 107,057 323,227 166,372,147 Investment Income Receivable (Note 1) 10,992 66,694 42,039 - -------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 27,562,806 163,860,350 1,525,069,937 ============================================================================================================== LIABILITIES Payable for Equity Index Swap Settlement (Note 1) -- 4,841,555 -- Payable upon Return of Securities Loaned (Note 9) -- -- 140,000,000 Payable for Securities Purchased (Note 1) -- -- -- Liability for Fund Shares Redeemed 466,122 1,396,363 46,907,100 Investment Advisory Fees Payable (Note 4) 16,910 123,418 575,591 Transfer Agent and Administrative Fees Payable (Note 4) 4,697 34,283 230,236 Distribution and Service Fees Payable (Note 4) 2,313 13,768 58,890 Portfolio Accounting Fees Payable (Note 4) 1,879 13,713 63,200 Custody Fees Payable 451 3,291 27,628 Cash Due to Custodian Bank -- -- 2,793 Dividends Payable -- -- 141,326 Other Liabilities 8,652 54,209 558,300 - -------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 501,024 6,480,600 188,565,064 ============================================================================================================== NET ASSETS $ 27,061,782 $ 157,379,750 $1,336,504,873 ============================================================================================================== NET ASSETS CONSIST OF Paid-In Capital 28,664,854 157,715,676 1,336,976,233 Undistributed Net Investment Income (Loss) (658,583) (1,732,056) -- Accumulated Net Realized Gain (Loss) on Investments, Equity Index Swaps, Currency Index Swaps, and Futures Contracts (1,475,973) 5,833,272 (471,360) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, Currency Index Swaps, and Futures Contracts 531,484 (4,437,142) -- ============================================================================================================== NET ASSETS $ 27,061,782 $ 157,379,750 $1,336,504,873 ============================================================================================================== Investor Class N/A N/A $1,064,152,272 Advisor Class N/A N/A 146,316,567 A-Class $ 481,245 $ 11,888,014 12,617,041 C-Class 2,675,619 13,363,339 113,418,993 H-Class 23,904,918 132,128,397 N/A SHARES OUTSTANDING Investor Class N/A N/A 1,064,584,804 Advisor Class N/A N/A 146,572,898 A-Class 18,218 487,672 12,617,118 C-Class 102,359 553,880 113,419,023 H-Class 905,896 5,420,661 N/A NET ASSET VALUES Investor Class N/A N/A $ 1.00 Advisor Class N/A N/A 1.00 A-Class $ 26.42 $ 24.38 1.00 A-Class Maximum Offering Price** 27.74 25.60 1.00 C-Class 26.14 24.13 1.00 H-Class 26.39 24.37 N/A
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 95 STATEMENTS OF OPERATIONS (UNAUDITED) - --------------------------------------------------------------------------------
INVERSE NOVA S&P 500 S&P 500 OTC FUND FUND*** FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ -- $ 82,982 $ -- $ 579,928 Interest from Securities Lending, net (Note 9) -- -- -- 89,093 Dividends, Net of Foreign Tax Withheld* (Note 1) -- 26,046 -- 1,503,876 Other Income -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Income -- 109,028 -- 2,172,897 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) -- 29,196 -- 2,667,001 Transfer Agent and Administrative Fees (Note 4) 258,388 9,732 699,916 889,000 Distribution & Service Fees (Note 4): Advisor Class 91,470 -- 131,836 51,227 A-Class 25,401 468 18,423 2,353 C-Class 211,341 4,222 239,375 61,727 H-Class -- 8,208 -- -- Portfolio Accounting Fees (Note 4) 103,268 3,893 231,746 269,288 Registration Fees 51,663 210 92,525 177,972 Trustees' Fees** 8,107 128 18,146 27,902 Custody Fees -- 1,903 -- 87,414 Miscellaneous 84,928 5,112 281,281 291,978 - -------------------------------------------------------------------------------------------------------------------------------- Total Expenses 834,566 63,072 1,713,248 4,525,862 - -------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) (834,566) 45,956 (1,713,248) (2,352,965) ================================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 7,814,396 3,621 (8,006,793) 58,907,669 Equity Index Swaps -- 243,655 -- (28,229) Futures Contracts -- 51,526 -- (232,608) - -------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 7,814,396 298,802 (8,006,793) 58,646,832 - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities (2,596,669) 214,129 729,517 (85,553,487) Equity Index Swaps -- 11,172 -- (42,609) Futures Contracts -- 31,334 -- 906,976 - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (2,596,669) 256,635 729,517 (84,689,120) - -------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 5,217,727 555,437 (7,277,276) (26,042,288) - -------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 4,383,161 $ 601,393 $ (8,990,524) $ (28,395,253) ================================================================================================================================
* NET OF FOREIGN TAX WITHHELD OF $0, $0, $0, $15,520, $0, $0, $0, $368, $8, $0, $0, AND $0, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(A)(19) OF THE 1940 ACT. *** SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006. See Notes to Financial Statements. 96 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT Period Ended September 30, 2006 - --------------------------------------------------------------------------------
INVERSE MID-CAP INVERSE RUSSELL 2000(R) OTC ADVANTAGE MID-CAP ADVANTAGE FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ -- $ 309,199 $ 1,103,351 $ 674,254 Interest from Securities Lending, net (Note 9) -- 3,625 -- 19,599 Dividends, Net of Foreign Tax Withheld* (Note 1) -- 265,899 -- 400,345 Other Income 963 -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Income 963 578,723 1,103,351 1,094,198 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) -- 289,361 195,123 492,193 Transfer Agent and Administrative Fees (Note 4) 269,429 80,378 54,201 136,720 Distribution & Service Fees (Note 4): Advisor Class 52,439 -- -- -- A-Class 5,919 4,608 1,417 6,389 C-Class 91,206 112,654 7,825 113,541 H-Class -- 47,607 50,828 101,946 Portfolio Accounting Fees (Note 4) 107,384 32,151 21,680 54,688 Registration Fees 36,698 16,623 4,824 32,858 Trustees' Fees** 7,077 2,605 1,167 4,772 Custody Fees -- 10,830 5,111 13,445 Miscellaneous 107,104 25,784 24,361 38,933 - -------------------------------------------------------------------------------------------------------------------------------- Total Expenses 677,256 622,601 366,537 995,485 - -------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) (676,293) (43,878) 736,814 98,713 ================================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 15,883,504 2,035,641 -- 11,279,798 Equity Index Swaps -- (3,487,590) 1,094,910 (6,098,884) Futures Contracts -- (692,744) (822,768) (5,427,773) - -------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 15,883,504 (2,144,693) 272,142 (246,859) - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities (5,574,479) (5,804,894) -- (18,047,090) Equity Index Swaps -- (207,342) (152,769) (1,798,456) Futures Contracts -- (519,863) (31,620) (2,968,140) - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (5,574,479) (6,532,099) (184,389) (22,813,686) - -------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 10,309,025 (8,676,792) 87,753 (23,060,545) - -------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 9,632,732 $ (8,720,670) $ 824,567 $ (22,961,832) ================================================================================================================================ GOVERNMENT INVERSE INVERSE LONG BOND GOVERNMENT RUSSELL 2000(R) RUSSELL 2000(R) ADVANTAGE LONG BOND FUND*** FUND FUND FUND - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 77,897 $ 3,624,881 $ 3,138,328 $ -- Interest from Securities Lending, net (Note 9) -- -- -- -- Dividends, Net of Foreign Tax Withheld* (Note 1) 15,573 -- -- -- Other Income -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Total Income 93,470 3,624,881 3,138,328 -- - ----------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) 22,504 636,580 314,694 -- Transfer Agent and Administrative Fees (Note 4) 7,502 176,828 125,878 1,634,362 Distribution & Service Fees (Note 4): Advisor Class -- -- 94,655 197,111 A-Class 31 20,166 7,912 149,428 C-Class 1,137 64,616 58,681 2,207,731 H-Class 7,186 140,508 -- -- Portfolio Accounting Fees (Note 4) 3,001 70,731 62,939 364,412 Registration Fees -- 15,394 19,511 308,355 Trustees' Fees** 116 3,762 3,548 49,281 Custody Fees 803 16,683 15,241 -- Miscellaneous 4,093 79,930 65,075 524,920 - ----------------------------------------------------------------------------------------------------------------------------------- Total Expenses 46,373 1,225,198 768,134 5,435,600 - ----------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 47,097 2,399,683 2,370,194 (5,435,600) =================================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (330,675) -- (1,953,623) 540,167 Equity Index Swaps (293,761) 2,473,423 -- -- Futures Contracts (159,450) (2,687,665) 1,771,442 -- - ----------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (783,886) (214,242) (182,181) 540,167 - ----------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 148,059 -- 10,717,412 3,096,533 Equity Index Swaps (31,668) (2,155,789) -- -- Futures Contracts 19,385 (52,198) 1,386,383 -- - ----------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 135,776 (2,207,987) 12,103,795 3,096,533 - ----------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments (648,110) (2,422,229) 11,921,614 3,636,700 - ----------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (601,013) $ (22,546) $ 14,291,808 $ (1,798,900) ===================================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 97 STATEMENTS OF OPERATIONS (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
EUROPE JAPAN SMALL-CAP MID-CAP ADVANTAGE ADVANTAGE VALUE VALUE FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 548,147 $ 2,139,444 $ 7,131 $ 4,672 Interest from Securities Lending, net (Note 9) -- -- 21,468 7,671 Dividends, Net of Foreign Tax Withheld* (Note 1) 1,113,098 -- 405,605 554,343 - -------------------------------------------------------------------------------------------------------------------------------- Total Income 1,661,245 2,139,444 434,204 566,686 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) 280,382 407,842 167,127 148,779 Transfer Agent and Administrative Fees (Note 4) 77,884 113,290 55,709 49,593 Distribution & Service Fees (Note 4): Advisor Class -- -- -- -- A-Class 1,940 4,196 754 1,548 C-Class 44,292 55,341 59,389 28,760 H-Class 64,871 95,258 40,108 40,855 Portfolio Accounting Fees (Note 4) 31,154 45,316 22,284 19,837 Registration Fees 13,471 24,507 15,914 10,842 Trustees' Fees** 1,733 3,660 2,197 1,656 Custody Fees 7,319 10,787 7,445 5,157 Miscellaneous 28,411 35,278 13,085 15,274 - -------------------------------------------------------------------------------------------------------------------------------- Total Expenses 551,457 795,475 384,012 322,301 - -------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 1,109,788 1,343,969 50,192 244,385 ================================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 322,296 -- 708,180 45,071 Equity Index Swaps and Currency Index Swaps (410,594) (7,340,421) -- -- Futures Contracts -- (1,539,456) -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (88,298) (8,879,877) 708,180 45,071 - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities (949,769) -- (8,341,614) (773,322) Equity Index Swaps and Currency Index Swaps (1,910) (3,364,247) -- -- Futures Contracts -- (1,500,226) -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (951,679) (4,864,473) (8,341,614) (773,322) - -------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments (1,039,977) (13,744,350) (7,633,434) (728,251) - -------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 69,811 $ (12,400,381) $ (7,583,242) $ (483,866) ================================================================================================================================
* NET OF FOREIGN TAX WITHHELD OF $141,082, $0, $324, $0, $0, $0, $0, $0, $0, $0, AND $0, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(A)(19) OF THE 1940 ACT. See Notes to Financial Statements. 98 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT Period Ended September 30, 2006 - --------------------------------------------------------------------------------
LARGE-CAP SMALL-CAP MID-CAP LARGE-CAP VALUE GROWTH GROWTH GROWTH FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 18,124 $ 5,143 $ 3,747 $ 4,389 Interest from Securities Lending, net (Note 9) 17,705 29,268 3,517 1,410 Dividends, Net of Foreign Tax Withheld* (Note 1) 1,672,108 37,158 46,018 109,621 - -------------------------------------------------------------------------------------------------------------------------------- Total Income 1,707,937 71,569 53,282 115,420 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) 517,553 122,749 88,632 116,796 Transfer Agent and Administrative Fees (Note 4) 172,518 40,916 29,544 38,932 Distribution & Service Fees (Note 4): Advisor Class -- -- -- -- A-Class 1,151 674 1,580 877 C-Class 56,244 17,618 9,272 27,488 H-Class 157,305 35,838 25,646 31,183 Portfolio Accounting Fees (Note 4) 69,007 16,367 11,818 15,573 Registration Fees 15,806 10,421 13,813 7,255 Trustees' Fees** 3,677 1,470 1,639 1,068 Custody Fees 17,423 4,652 3,459 4,509 Miscellaneous 77,127 11,025 1,093 16,095 - -------------------------------------------------------------------------------------------------------------------------------- Total Expenses 1,087,811 261,730 186,496 259,776 - -------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 620,126 (190,161) (133,214) (144,356) ================================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (5,378,199) 731,847 3,126,119 (1,915,425) Equity Index Swaps and Currency Index Swaps -- -- -- -- Futures Contracts -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (5,378,199) 731,847 3,126,119 (1,915,425) - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 12,844,507 (4,420,901) (6,819,324) 1,240,477 Equity Index Swaps and Currency Index Swaps -- -- -- -- Futures Contracts -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 12,844,507 (4,420,901) (6,819,324) 1,240,477 - -------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 7,466,308 (3,689,054) (3,693,205) (674,948) - -------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 8,086,434 $ (3,879,215) $ (3,826,419) $ (819,304) ================================================================================================================================ DYNAMIC DYNAMIC U.S. STRENGTHENING WEAKENING GOVERNMENT DOLLAR DOLLAR MONEY MARKET FUND FUND FUND - -------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 568,479 $ 3,417,480 $ 35,229,453 Interest from Securities Lending, net (Note 9) -- -- 14,008 Dividends, Net of Foreign Tax Withheld* (Note 1) -- -- -- - -------------------------------------------------------------------------------------------------------------- Total Income 568,479 3,417,480 35,243,461 - -------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) 100,272 598,204 3,502,479 Transfer Agent and Administrative Fees (Note 4) 27,853 166,168 1,400,992 Distribution & Service Fees (Note 4): Advisor Class -- -- 528,400 A-Class 339 13,057 16,639 C-Class 11,337 47,743 691,293 H-Class 24,680 141,175 -- Portfolio Accounting Fees (Note 4) 11,141 66,467 378,437 Registration Fees 3,014 14,173 269,359 Trustees' Fees** 694 3,462 48,518 Custody Fees 2,626 15,674 168,538 Miscellaneous 11,890 75,420 671,150 - -------------------------------------------------------------------------------------------------------------- Total Expenses 193,846 1,141,543 7,675,805 - -------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 374,633 2,275,937 27,567,656 ============================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities -- -- -- Equity Index Swaps and Currency Index Swaps (1,448,452) 5,772,277 -- Futures Contracts (25,796) 100,228 -- - -------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (1,474,248) 5,872,505 -- - -------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities -- -- -- Equity Index Swaps and Currency Index Swaps 407,649 (6,332,445) -- Futures Contracts 4,352 (15,006) -- - -------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 412,001 (6,347,451) -- - -------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments (1,062,247) (474,946) -- - -------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (687,614) $ 1,800,991 $ 27,567,656 ==============================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 99 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
NOVA FUND S&P 500 FUND - ----------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, 2006+ 2006 2006*+ - ----------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (834,566) $ (2,182,869) $ 45,956 Net Realized Gain (Loss) on Investments 7,814,396 28,284,949 298,802 Net Change in Unrealized Appreciation (Depreciation) on Investments (2,596,669) 12,837,485 256,635 - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 4,383,161 38,939,565 601,393 - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- (5,878,827) -- Advisor Class -- (1,716,091) -- A-Class -- (1,004,034) -- C-Class -- (1,703,672) -- H-Class -- -- -- Realized Gain on Investment Investor Class -- -- -- Advisor Class -- -- -- A-Class -- -- -- C-Class -- -- -- H-Class -- -- -- - ----------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (10,302,624) -- ======================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 179,782,445 736,237,994 -- Advisor Class 103,063,046 276,701,402 -- A-Class 6,814,539 33,284,583 925,916 C-Class 30,770,513 72,463,609 4,950,116 H-Class -- -- 44,020,350 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- 5,560,691 -- Advisor Class -- 1,694,759 -- A-Class -- 807,597 -- C-Class -- 1,595,196 -- H-Class -- -- -- COST OF SHARES REDEEMED Investor Class (211,067,366) (793,440,174) -- Advisor Class (105,255,475) (294,779,541) -- A-Class (18,122,046) (25,982,121) (122,811) C-Class (37,864,184) (78,156,275) (2,337,503) H-Class -- -- (34,032,274) ======================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (51,878,528) (64,012,280) 13,403,794 - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (47,495,367) (35,375,339) 14,005,187 NET ASSETS--BEGINNING OF PERIOD 260,234,236 295,609,575 -- ======================================================================================================================= NET ASSETS--END OF PERIOD $ 212,738,869 $ 260,234,236 $ 14,005,187 ======================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 6,377,110 $ 7,211,676 $ 45,956 =======================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006. + UNAUDITED See Notes to Financial Statements. 100 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - --------------------------------------------------------------------------------
INVERSE S&P 500 FUND OTC FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (1,713,248) $ (2,682,013) $ (2,352,965) $ (5,075,913) Net Realized Gain (Loss) on Investments (8,006,793) (21,038,614) 58,646,832 104,428,478 Net Change in Unrealized Appreciation (Depreciation) on Investments 729,517 (8,192,929) (84,689,120) 25,826,165 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (8,990,524) (31,913,556) (28,395,253) 125,178,730 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- (5,250,255) -- (3,192,385) Advisor Class -- (572,209) -- (69,604) A-Class -- (144,298) -- (8,523) C-Class -- (636,915) -- (69,305) H-Class -- -- -- -- Realized Gain on Investment Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (6,603,677) -- (3,339,817) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 628,714,350 845,995,157 371,636,010 1,115,530,088 Advisor Class 86,244,439 192,242,268 137,299,739 234,138,125 A-Class 18,678,163 19,132,752 2,249,298 2,766,322 C-Class 51,074,547 75,508,695 29,461,513 69,549,300 H-Class -- -- -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- 4,196,538 -- 3,083,904 Advisor Class -- 500,635 -- 63,938 A-Class -- 116,511 -- 8,454 C-Class -- 557,818 -- 64,916 H-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (529,844,913) (816,851,107) (549,452,936) (1,144,096,335) Advisor Class (97,538,659) (184,556,305) (116,142,799) (228,278,778) A-Class (9,544,139) (16,679,580) (2,602,523) (2,355,979) C-Class (40,013,644) (76,581,732) (34,274,733) (67,299,316) H-Class -- -- -- -- ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 107,770,144 43,581,650 (161,826,431) (16,825,361) - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 98,779,620 5,064,417 (190,221,684) 105,013,552 NET ASSETS--BEGINNING OF PERIOD 423,194,066 418,129,649 942,325,642 837,312,090 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 521,973,686 $ 423,194,066 $ 752,103,958 $ 942,325,642 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,096,953 $ 2,810,201 $ (2,352,965) $ -- ================================================================================================================================== INVERSE MID-CAP OTC FUND ADVANTAGE FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (676,293) $ (1,125,418) $ (43,878) $ (135,206) Net Realized Gain (Loss) on Investments 15,883,504 (14,726,982) (2,144,693) 11,280,982 Net Change in Unrealized Appreciation (Depreciation) on Investments (5,574,479) (9,842,202) (6,532,099) 5,315,034 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 9,632,732 (25,694,602) (8,720,670) 16,460,810 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- (2,286,362) -- -- Advisor Class -- (145,402) -- -- A-Class -- (31,062) -- -- C-Class -- (196,818) -- -- H-Class -- -- -- -- Realized Gain on Investment Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- (109,079) C-Class -- -- -- (227,505) H-Class -- -- -- (751,208) - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (2,659,644) -- (1,087,792) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 391,671,365 675,734,722 -- -- Advisor Class 50,125,283 48,969,561 -- -- A-Class 14,948,242 5,872,149 2,965,709 46,186,398 C-Class 33,146,066 60,203,469 29,669,963 106,985,217 H-Class -- -- 223,563,039 811,085,500 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- 1,652,055 -- -- Advisor Class -- 140,822 -- -- A-Class -- 19,809 -- 31,792 C-Class -- 177,151 -- 217,708 H-Class -- -- -- 725,380 COST OF SHARES REDEEMED Investor Class (390,699,631) (708,129,990) -- -- Advisor Class (45,110,124) (54,169,513) -- -- A-Class (9,674,255) (9,077,950) (3,940,511) (42,968,626) C-Class (27,256,442) (60,009,939) (37,800,392) (100,780,875) H-Class -- -- (243,271,898) (830,424,070) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 17,150,504 (38,617,654) (28,814,090) (8,941,576) - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 26,783,236 (66,971,900) (37,534,760) 6,431,442 NET ASSETS--BEGINNING OF PERIOD 169,766,658 236,738,558 84,667,016 78,235,574 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 196,549,894 $ 169,766,658 $ 47,132,256 $ 84,667,016 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 408,337 $ 1,084,630 $ (43,878) $ -- ==================================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 101 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
INVERSE RUSSELL 2000(R) MID-CAP FUND ADVANTAGE FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 736,814 $ 267,788 $ 98,713 $ (83,490) Net Realized Gain (Loss) on Investments 272,142 (1,492,000) (246,859) 23,157,165 Net Change in Unrealized Appreciation (Depreciation) on Investments (184,389) (351,431) (22,813,686) 20,603,217 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 824,567 (1,575,643) (22,961,832) 43,676,892 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- (1,301) -- -- C-Class -- (31,866) -- -- H-Class -- (149,091) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (182,258) -- -- ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class 2,914,554 770,417 1,573,036 30,528,640 C-Class 20,149,651 17,258,913 30,485,257 201,961,994 H-Class 160,646,436 249,211,191 582,636,643 2,330,412,471 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- 1,265 -- -- C-Class -- 28,010 -- -- H-Class -- 134,396 -- -- COST OF SHARES REDEEMED Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class (2,157,189) (674,165) (3,583,376) (30,054,603) C-Class (16,814,203) (16,902,821) (34,838,614) (197,597,629) H-Class (132,774,351) (259,430,871) (671,850,950) (2,259,824,185) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 31,964,898 (9,603,665) (95,578,004) 75,426,688 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 32,789,465 (11,361,566) (118,539,836) 119,103,580 NET ASSETS--BEGINNING OF PERIOD 19,782,635 31,144,201 209,442,717 90,339,137 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 52,572,100 $ 19,782,635 $ 90,902,881 $ 209,442,717 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME $ 859,483 $ 122,669 $ 98,713 $ -- ==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006. + UNAUDITED See Notes to Financial Statements. 102 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - --------------------------------------------------------------------------------
RUSSELL 2000(R) INVERSE FUND RUSSELL 2000(R) FUND - ----------------------------------------------------------------------------------------------------------------------- PERIOD ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, MARCH 31, 2006*+ 2006+ 2006 - ----------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 47,097 $ 2,399,683 $ 1,103,222 Net Realized Gain (Loss) on Investments (783,886) (214,242) (10,078,052) Net Change in Unrealized Appreciation (Depreciation) on Investments 135,776 (2,207,987) (2,742,654) - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (601,013) (22,546) (11,717,484) - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- Advisor Class -- -- -- A-Class -- -- (6,688) C-Class -- -- (63,693) H-Class -- -- (616,316) - ----------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- (686,697) ======================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class -- -- -- Advisor Class -- -- -- A-Class 74,832 31,711,865 14,621,450 C-Class 4,614,928 34,969,732 53,985,719 H-Class 42,707,102 553,680,198 747,684,697 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- Advisor Class -- -- -- A-Class -- -- 4,765 C-Class -- -- 43,760 H-Class -- -- 541,952 COST OF SHARES REDEEMED Investor Class -- -- -- Advisor Class -- -- -- A-Class (43,733) (4,960,485) (13,085,276) C-Class (1,135,622) (20,898,767) (53,941,848) H-Class (35,834,879) (481,422,003) (732,206,379) ======================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 10,382,628 113,080,540 17,648,840 - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 9,781,615 113,057,994 5,244,659 NET ASSETS--BEGINNING OF PERIOD -- 56,430,796 51,186,137 ======================================================================================================================= NET ASSETS--END OF PERIOD $ 9,781,615 $ 169,488,790 $ 56,430,796 ======================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME $ 47,097 $ 2,819,103 $ 419,420 ======================================================================================================================= GOVERNMENT LONG BOND INVERSE GOVERNMENT ADVANTAGE FUND LONG BOND FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 2,370,194 $ 3,861,800 $ (5,435,600) $ (16,070,650) Net Realized Gain (Loss) on Investments (182,181) 687,562 540,167 (214,541,087) Net Change in Unrealized Appreciation (Depreciation) on Investments 12,103,795 (8,751,213) 3,096,533 235,783,809 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 14,291,808 (4,201,851) (1,798,900) 5,172,072 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class (1,405,990) (1,380,177) -- -- Advisor Class (665,771) (2,185,482) -- -- A-Class (119,636) (38,187) -- -- C-Class (178,794) (255,827) -- -- H-Class -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders (2,370,191) (3,859,673) -- -- ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 465,807,040 676,151,203 390,987,285 1,082,711,749 Advisor Class 1,008,281,344 1,393,454,965 67,670,920 296,689,441 A-Class 11,031,130 5,347,730 23,664,637 48,738,930 C-Class 29,643,719 103,129,103 32,036,593 140,633,685 H-Class -- -- -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class 1,333,311 1,246,558 -- -- Advisor Class 665,771 2,174,627 -- -- A-Class 34,788 19,509 -- -- C-Class 129,590 239,221 -- -- H-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (395,090,252) (666,859,256) (713,676,507 (1,789,673,369) Advisor Class (1,007,763,279) (1,423,175,700) (113,497,066) (428,087,534) A-Class (4,618,487) (5,605,967) (54,855,442) (105,237,928) C-Class (22,818,525) (106,824,692) (247,057,890) (499,279,551) H-Class -- -- -- -- ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 86,636,150 (20,702,699) (614,727,470) (1,253,504,577) - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 98,557,767 (28,764,223) (616,526,370) (1,248,332,505) NET ASSETS--BEGINNING OF PERIOD 63,218,872 91,983,095 1,526,675,538 2,775,008,043 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 161,776,639 $ 63,218,872 $ 910,149,168 $ 1,526,675,538 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME $ 183,622 $ 183,619 $ 2,389,536 $ 7,825,136 ==================================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 103 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
EUROPE JAPAN ADVANTAGE FUND ADVANTAGE FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 1,109,788 $ 642,598 $ 1,343,969 $ 1,855,974 Net Realized Gain (Loss) on Investments (88,298) (3,240,646) (8,879,877) 20,960,578 Net Change in Unrealized Appreciation (Depreciation) on Investments (951,679) 8,214,837 (4,864,473) 7,875,689 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 69,811 5,616,789 (12,400,381) 30,692,241 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- Realized Gain on Investment A-Class -- (31,490) -- -- C-Class -- (72,864) -- -- H-Class -- (640,580) -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (744,934) -- -- ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED A-Class 4,628,123 5,809,082 4,947,143 12,798,304 C-Class 53,064,994 69,823,329 23,502,319 38,447,864 H-Class 346,414,695 378,405,617 353,040,404 731,956,788 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT A-Class -- 20,432 -- -- C-Class -- 68,263 -- -- H-Class -- 602,902 -- -- COST OF SHARES REDEEMED A-Class (2,804,933) (4,800,570) (3,629,267) (10,022,225) C-Class (50,920,051) (67,768,440) (28,154,207) (30,888,838) H-Class (315,926,795) (399,739,338) (415,044,058) (683,208,245) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 34,456,033 (17,578,723) (65,337,666) 59,083,648 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 34,525,844 (12,706,868) (77,738,047) 89,775,889 NET ASSETS--BEGINNING OF PERIOD 56,146,922 68,853,790 128,409,055 38,633,166 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 90,672,766 $ 56,146,922 $ 50,671,008 $ 128,409,055 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,752,386 $ 642,598 $ 3,199,943 $ 1,855,974 ==================================================================================================================================
+ UNAUDITED See Notes to Financial Statements. 104 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - --------------------------------------------------------------------------------
SMALL-CAP MID-CAP VALUE FUND VALUE FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 50,192 $ 70,733 $ 244,385 $ 204,411 Net Realized Gain (Loss) on Investments 708,180 6,141,711 45,071 14,337,674 Net Change in Unrealized Appreciation (Depreciation) on Investments (8,341,614) 2,738,151 (773,322) (4,779,148) - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (7,583,242) 8,950,595 (483,866) 9,762,937 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income A-Class -- -- -- (90) C-Class -- -- -- (871) H-Class -- -- -- (9,433) Realized Gain on Investment A-Class -- (7,180) -- (4,159) C-Class -- (60,392) -- (40,240) H-Class -- (803,658) -- (435,700) - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (871,230) -- (490,493) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED A-Class 3,917,424 13,541,282 3,205,447 3,865,281 C-Class 97,317,015 153,513,441 8,486,738 84,655,088 H-Class 171,676,625 597,522,929 164,730,776 575,823,029 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT A-Class -- 1,823 -- 1,703 C-Class -- 59,901 -- 40,372 H-Class -- 780,717 -- 437,509 COST OF SHARES REDEEMED A-Class (2,992,960) (14,123,926) (3,287,311) (2,958,343) C-Class (99,495,798) (148,570,668) (10,154,274) (86,925,166) H-Class (224,579,583) (577,825,036) (171,602,412) (668,923,822) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (54,157,277) 24,900,463 (8,621,036) (93,984,349) - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (61,740,519) 32,979,828 (9,104,902) (84,711,905) NET ASSETS--BEGINNING OF PERIOD 121,561,550 88,581,722 40,091,094 124,802,999 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 59,821,031 $ 121,561,550 $ 30,986,192 $ 40,091,094 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 50,192 $ -- $ 244,385 $ -- ================================================================================================================================== LARGE-CAP SMALL-CAP VALUE FUND GROWTH FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 620,126 $ 411,202 $ (190,161) $ (497,918) Net Realized Gain (Loss) on Investments (5,378,199) 2,255,312 731,847 2,120,121 Net Change in Unrealized Appreciation (Depreciation) on Investments 12,844,507 972,098 (4,420,901) 3,243,300 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 8,086,434 3,638,612 (3,879,215) 4,865,503 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- Realized Gain on Investment A-Class -- (13,790) -- (8,946) C-Class -- (90,835) -- (111,385) H-Class -- (622,223) -- (1,815,221) - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (726,848) -- (1,935,552) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED A-Class 2,584,033 4,419,527 1,550,559 5,970,174 C-Class 167,766,809 275,576,847 17,711,000 101,801,723 H-Class 480,890,326 467,474,814 83,657,624 638,040,933 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT A-Class -- 2,394 -- 8,819 C-Class -- 88,399 -- 111,292 H-Class -- 606,934 -- 1,773,462 COST OF SHARES REDEEMED A-Class (1,919,445) (4,042,549) (1,658,496) (5,365,219) C-Class (169,009,924) (276,257,759) (21,547,033) (99,782,182) H-Class (379,060,168) (439,539,568) (123,346,060) (594,016,548) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 101,251,631 28,329,039 (43,632,406) 48,542,454 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 109,338,065 31,240,803 (47,511,621) 51,472,405 NET ASSETS--BEGINNING OF PERIOD 61,061,210 29,820,407 80,404,382 28,931,977 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 170,399,275 $ 61,061,210 $ 32,892,761 $ 80,404,382 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 620,126 $ -- $ (190,161) $ -- ==================================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 105 STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED) - --------------------------------------------------------------------------------
MID-CAP LARGE-CAP GROWTH FUND GROWTH FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (133,214) $ (522,159) $ (144,356) $ (164,712) Net Realized Gain (Loss) on Investments 3,126,119 11,165,161 (1,915,425) (656,400) Net Change in Unrealized Appreciation (Depreciation) on Investments (6,819,324) 6,053,506 1,240,477 1,286,644 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (3,826,419) 16,696,508 (819,304) 465,532 - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- Realized Gain on Investment Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- (3,249) -- (519) C-Class -- (32,454) -- (29,600) H-Class -- (599,853) -- (41,534) - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (635,556) -- (71,653) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class 5,147,650 5,801,197 2,393,073 5,626,821 C-Class 7,773,930 44,747,648 64,817,659 252,511,122 H-Class 60,434,163 513,177,835 171,007,843 317,579,358 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- 3,044 -- 399 C-Class -- 31,627 -- 29,566 H-Class -- 592,285 -- 39,820 COST OF SHARES REDEEMED Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class (4,990,464) (5,080,905) (1,707,434) (4,782,363) C-Class (8,362,998) (44,071,769) (55,987,683) (266,451,515) H-Class (90,017,867) (504,138,775) (137,996,885) (298,065,610) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (30,015,586) 11,062,187 42,526,573 6,487,598 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (33,842,005) 27,123,139 41,707,269 6,881,477 NET ASSETS--BEGINNING OF PERIOD 53,723,219 26,600,080 38,420,454 31,538,977 ================================================================================================================================== NET ASSETS--END OF PERIOD $ 19,881,214 $ 53,723,219 $ 80,127,723 $ 38,420,454 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (133,214) $ -- $ (144,356) $ -- ==================================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 25, 2005. + UNAUDITED See Notes to Financial Statements. 106 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - --------------------------------------------------------------------------------
DYNAMIC STRENGTHENING DYNAMIC WEAKENING DOLLAR FUND DOLLAR FUND - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006* 2006+ 2006* - ---------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 374,633 $ 214,226 $ 2,275,937 $ 516,832 Net Realized Gain (Loss) on Investments (1,474,248) (1,441,899) 5,872,505 (4,354,007) Net Change in Unrealized Appreciation (Depreciation) on Investments 412,001 119,483 (6,347,451) 1,910,309 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (687,614) (1,108,190) 1,800,991 (1,926,866) - ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- (506) -- (9,955) C-Class -- (3,782) -- (12,618) H-Class -- (44,901) -- (162,365) Realized Gain on Investment Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- - ---------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (49,189) -- (184,938) ================================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class 1,308,265 992,045 18,053,295 3,959,866 C-Class 11,239,829 8,667,647 14,201,271 9,819,669 H-Class 148,125,200 205,734,257 299,214,535 202,663,781 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- 506 -- 8,044 C-Class -- 3,557 -- 12,537 H-Class -- 41,934 -- 149,875 COST OF SHARES REDEEMED Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class (913,005) (871,405) (9,050,106) (958,514) C-Class (9,367,801) (7,884,080) (4,977,421) (5,791,974) H-Class (130,773,748) (197,396,426) (220,477,606) (149,136,689) ================================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 19,618,740 9,288,035 96,963,968 60,726,595 - ---------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 18,931,126 8,130,656 98,764,959 58,614,791 NET ASSETS--BEGINNING OF PERIOD 8,130,656 -- 58,614,791 -- ================================================================================================================================== NET ASSETS--END OF PERIOD $ 27,061,782 $ 8,130,656 $ 157,379,750 $ 58,614,791 ================================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (658,583) $ (1,033,216) $ (1,732,056) $ (4,007,993) ================================================================================================================================== U.S. GOVERNMENT MONEY MARKET FUND - ---------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 2006+ 2006 - ---------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 27,567,656 $ 37,165,132 Net Realized Gain (Loss) on Investments -- (7,014) Net Change in Unrealized Appreciation (Depreciation) on Investments -- -- - ---------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 27,567,656 37,158,118 - ---------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class (21,323,622) (30,220,373) Advisor Class (3,839,965) (4,053,830) A-Class (256,155) (338,428) C-Class (2,147,914) (2,552,501) H-Class -- -- Realized Gain on Investment Investor Class -- -- Advisor Class -- -- A-Class -- -- C-Class -- -- H-Class -- -- - ---------------------------------------------------------------------------------------------- Total Distributions to Shareholders (27,567,656) (37,165,132) ============================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 8,900,575,560 18,360,372,731 Advisor Class 1,629,617,864 2,927,374,399 A-Class 35,777,954 89,972,004 C-Class 846,475,228 2,268,195,735 H-Class -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class 21,007,446 29,752,455 Advisor Class 3,810,033 3,987,098 A-Class 240,606 197,533 C-Class 1,784,511 2,402,985 H-Class -- -- COST OF SHARES REDEEMED Investor Class (8,832,518,730) (18,611,041,219) Advisor Class (1,638,939,809) (3,025,421,814) A-Class (37,725,701) (83,180,177) C-Class (865,886,037) (2,295,221,007) H-Class -- -- ============================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 64,218,925 (332,609,277) - ---------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 64,218,925 (332,616,291) NET ASSETS--BEGINNING OF PERIOD 1,272,285,948 1,604,902,239 ============================================================================================== NET ASSETS--END OF PERIOD $ 1,336,504,873 $ 1,272,285,948 ============================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ -- $ -- ==============================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 107 FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------ NOVA FUND INVESTOR CLASS SEPTEMBER 30, 2006@ $ 28.89 $ (.07) $ 1.15 $ 1.08 $ -- $ -- $ -- March 31, 2006 25.96 (.12) 3.90 3.78 (.85) -- (.85) March 31, 2005 24.12 (.11) 1.95 1.84 -- -- -- March 31, 2004 15.54 .07 8.51 8.58 -- -- -- March 31, 2003 25.56 .08 (10.10) (10.02) -- -- -- March 31, 2002 26.85 .12 (1.28) (1.16) (.13) -- (.13) NOVA FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 27.73 (.13) 1.10 .97 -- -- -- March 31, 2006 25.08 (.25) 3.75 3.50 (.85) -- (.85) March 31, 2005 23.42 (.23) 1.89 1.66 -- -- -- March 31, 2004 15.17 (.05) 8.30 8.25 -- -- -- March 31, 2003 25.11 (.03) (9.91) (9.94) -- -- -- March 31, 2002 26.52 (.01) (1.27) (1.28) (.13) -- (.13) NOVA FUND A-CLASS SEPTEMBER 30, 2006@ 27.87 (.10) 1.10 1.00 -- -- -- March 31, 2006 25.15 (.19) 3.76 3.57 (.85) -- (.85) March 31, 2005 23.42 (.17) 1.90 1.73 -- -- -- March 31, 2004* 23.42 -- -- -- -- -- -- NOVA FUND C-CLASS SEPTEMBER 30, 2006@ 27.39 (.20) 1.08 .88 -- -- -- March 31, 2006 24.89 (.38) 3.73 3.35 (.85) -- (.85) March 31, 2005 23.36 (.35) 1.88 1.53 -- -- -- March 31, 2004 15.20 (.12) 8.28 8.16 -- -- -- March 31, 2003 25.28 (.08) (10.00) (10.08) -- -- -- March 31, 2002 26.84 (.18) (1.25) (1.43) (.13) -- (.13) S&P 500 FUND A-CLASS SEPTEMBER 30, 2006*@ 25.00 .10 1.10 1.20 -- -- -- S&P 500 FUND C-CLASS SEPTEMBER 30, 2006*@ 25.00 .08 1.06 1.14 -- -- -- S&P 500 FUND H-CLASS SEPTEMBER 30, 2006*@ 25.00 .10 1.09 1.19 -- -- -- INVERSE S&P 500 FUND INVESTOR CLASS SEPTEMBER 30, 2006@ 8.06 (.02) (.01) (.03) -- -- -- March 31, 2006 8.69 (.04) (.47) (.51) (.12) -- (.12) March 31, 2005 9.17 (.04) (.44) (.48) -- -- -- March 31, 2004 13.06 (.04) (3.45) (3.49) -- (.40) (.40) March 31, 2003 10.45 .01 2.67 2.68 (.07) -- (.07) March 31, 2002 10.43 .16 (.10) .06 (.04) -- (.04) RATIOS TO AVERAGE NET ASSETS: ---------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------------------- NOVA FUND INVESTOR CLASS SEPTEMBER 30, 2006@ $ 1.08 $29.97 3.74% 1.26%**++ 1.26%**++ (0.49)%** 76% $ 110,206 March 31, 2006 2.93 28.89 14.68% 1.35%++ 1.23%++ (0.45)% 192% 139,786 March 31, 2005 1.84 25.96 7.63% 1.21%++ 1.21%++ (0.44)% 388% 175,042 March 31, 2004 8.58 24.12 55.25% 1.25%++ 1.25%++ 0.35% 540% 187,051 March 31, 2003 (10.02) 15.54 (39.20)% 1.27%++ 1.27%++ 0.44% 603% 130,951 March 31, 2002 (1.29) 25.56 (4.36)% 1.16%++ 1.16%++ 0.44% 401% 222,251 NOVA FUND ADVISOR CLASS SEPTEMBER 30, 2006@ .97 28.70 3.50% 1.75%**++ 1.75%**++ (0.98)%** 76% 39,639 March 31, 2006 2.65 27.73 14.07% 1.85%++ 1.74%++ (0.96)% 192% 41,002 March 31, 2005 1.66 25.08 7.09% 1.71%++ 1.71%++ (0.94)% 388% 52,642 March 31, 2004 8.25 23.42 54.42% 1.74%++ 1.74%++ (0.24)% 540% 46,405 March 31, 2003 (9.94) 15.17 (39.59)% 1.77%++ 1.77%++ (0.17)% 603% 27,130 March 31, 2002 (1.41) 25.11 (4.87)% 1.55%++ 1.55%++ (0.02)% 401% 59,375 NOVA FUND A-CLASS SEPTEMBER 30, 2006@ 1.00 28.87 3.59% 1.50%**++ 1.50%**++ (0.73)%** 76% 18,671 March 31, 2006 2.72 27.87 14.32% 1.60%++ 1.49%++ (0.71)% 192% 29,315 March 31, 2005 1.73 25.15 7.39% 1.45%++ 1.45%++ (0.68)% 388% 18,463 March 31, 2004* -- 23.42 0.00% 0.00%**++# 0.00%**++# 0.00%** 540% 1 NOVA FUND C-CLASS SEPTEMBER 30, 2006@ .88 28.27 3.21% 2.25%**++ 2.25%**++ (1.48)%** 76% 44,222 March 31, 2006 2.50 27.39 13.58% 2.35%++ 2.24%++ (1.46)% 192% 50,131 March 31, 2005 1.53 24.89 6.55% 2.21%++ 2.21%++ (1.44)% 388% 49,464 March 31, 2004 8.16 23.36 53.72% 2.26%++ 2.26%++ (0.56)% 540% 32,710 March 31, 2003 (10.08) 15.20 (39.87)% 2.28%++ 2.28%++ (0.46)% 603% 12,627 March 31, 2002 (1.56) 25.28 (5.37)% 2.27%++ 2.27%++ (0.72)% 401% 10,355 S&P 500 FUND A-CLASS SEPTEMBER 30, 2006*@ 1.20 26.20 4.80% 1.58%** 1.58%** 1.14% 23% 843 S&P 500 FUND C-CLASS SEPTEMBER 30, 2006*@ 1.14 26.14 4.56% 2.31%** 2.31%** 0.93% 23% 2,739 S&P 500 FUND H-CLASS SEPTEMBER 30, 2006*@ 1.19 26.19 4.76% 1.55%** 1.55%** 1.23%** 23% 10,423 INVERSE S&P 500 FUND INVESTOR CLASS SEPTEMBER 30, 2006@ (.03) 8.03 (0.37)% 1.39%**++ 1.39%**++ (0.47)%** -- 421,740 March 31, 2006 (.63) 8.06 (5.84)% 1.41%++ 1.38%++ (0.45)% -- 329,785 March 31, 2005 (.48) 8.69 (5.23)% 1.38%++ 1.38%++ (0.46)% -- 326,085 March 31, 2004 (3.89) 9.17 (26.90)% 1.38%++ 1.38%++ (0.37)% -- 353,496 March 31, 2003 2.61 13.06 25.65% 1.41%++ 1.41%++ 0.06% -- 471,600 March 31, 2002 .02 10.45 0.60% 1.31%++ 1.31%++ 1.56% -- 214,498
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 31, 2004--NOVA FUND A-CLASS; MAY 31, 2006--S&P 500 FUND A-CLASS, C-CLASS, AND H-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER PORTFOLIO. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. @ UNAUDITED. 108 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------ INVERSE S&P 500 FUND ADVISOR CLASS SEPTEMBER 30, 2006@ $ 7.71 $ (.04) $ -- $ (.04) $ -- $ -- $ -- March 31, 2006 8.36 (.08) (.45) (.53) (.12) -- (.12) March 31, 2005 8.87 (.08) (.43) (.51) -- -- -- March 31, 2004 12.70 (.09) (3.34) (3.43) -- (.40) (.40) March 31, 2003 10.22 (.06) 2.61 2.55 (.07) -- (.07) March 31, 2002 10.26 .09 (.09) -- (.04) -- (.04) INVERSE S&P 500 FUND A-CLASS SEPTEMBER 30, 2006@ 7.72 (.03) (.01) (.04) -- -- -- March 31, 2006 8.37 (.06) (.47) (.53) (.12) -- (.12) March 31, 2005 8.87 (.06) (.44) (.50) -- -- -- March 31, 2004* 8.87 -- -- -- -- -- -- INVERSE S&P 500 FUND C-CLASS SEPTEMBER 30, 2006@ 7.65 (.06) (.01) (.07) -- -- -- March 31, 2006 8.33 (.12) (.44) (.56) (.12) -- (.12) March 31, 2005 8.89 (.13) (.43) (.56) -- -- -- March 31, 2004 12.80 (.14) (3.37) (3.51) -- (.40) (.40) March 31, 2003 10.35 (.12) 2.64 2.52 (.07) -- (.07) March 31, 2002 10.43 (.03) (.01) (.04) (.04) -- (.04) OTC FUND INVESTOR CLASS SEPTEMBER 30, 2006@ 11.34 (.03) (.34) (.37) -- -- -- March 31, 2006 9.94 (.05) 1.49 1.44 (.04) -- (.04) March 31, 2005 9.73 .04 .17 .21 -- -- -- March 31, 2004 7.02 (.09) 2.80 2.71 -- -- -- March 31, 2003 10.16 (.08) (3.06) (3.14) -- -- -- March 31, 2002 11.19 (.11) (.92) (1.03) -- -- -- OTC FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 10.90 (.06) (.33) (.39) -- -- -- March 31, 2006 9.60 (.10) 1.44 1.34 (.04) -- (.04) March 31, 2005 9.46 (.02) .16 .14 -- -- -- March 31, 2004 6.85 (.13) 2.74 2.61 -- -- -- March 31, 2003 9.97 (.11) (3.01) (3.12) -- -- -- March 31, 2002 11.04 (.16) (.91) (1.07) -- -- -- OTC FUND A-CLASS SEPTEMBER 30, 2006@ 10.96 (.05) (.33) (.38) -- -- -- March 31, 2006 9.63 (.08) 1.45 1.37 (.04) -- (.04) March 31, 2005 9.46 .06 .11 .17 -- -- -- March 31, 2004* 9.46 -- -- -- -- -- -- OTC FUND C-CLASS SEPTEMBER 30, 2006@ 10.73 (.08) (.33) (.41) -- -- -- March 31, 2006 9.50 (.16) 1.43 1.27 (.04) -- (.04) March 31, 2005 9.41 (.03) .12 .09 -- -- -- March 31, 2004 6.86 (.18) 2.73 2.55 -- -- -- March 31, 2003 10.03 (.14) (3.03) (3.17) -- -- -- March 31, 2002 11.20 (.21) (.96) (1.17) -- -- -- RATIOS TO AVERAGE NET ASSETS: ---------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------------ INVERSE S&P 500 FUND ADVISOR CLASS SEPTEMBER 30, 2006@ $ (.04) $ 7.67 (0.52)% 1.89%**++ 1.89%**++ (0.97)%** -- $ 33,362 March 31, 2006 (.65) 7.71 (6.32)% 1.91%++ 1.88%++ (0.95)% -- 45,332 March 31, 2005 (.51) 8.36 (5.75)% 1.88%++ 1.88%++ (0.96)% -- 40,964 March 31, 2004 (3.83) 8.87 (27.19)% 1.87%++ 1.87%++ (0.86)% -- 45,073 March 31, 2003 2.48 12.70 24.95% 1.89%++ 1.89%++ (0.45)% -- 39,686 March 31, 2002 (.04) 10.22 0.02% 1.85%++ 1.85%++ 0.87% -- 7,036 INVERSE S&P 500 FUND A-CLASS SEPTEMBER 30, 2006@ (.04) 7.68 (0.52)% 1.64%**++ 1.64%**++ (0.72)%** -- 17,541 March 31, 2006 (.65) 7.72 (6.31)% 1.66%++ 1.63%++ (0.70)% -- 8,932 March 31, 2005 (.50) 8.37 (5.64)% 1.63%++ 1.63%++ (0.71)% -- 7,318 March 31, 2004* -- 8.87 0.00% 0.00%**++# 0.00%**++# 0.00%** -- 1 INVERSE S&P 500 FUND C-CLASS SEPTEMBER 30, 2006@ (.07) 7.58 (0.92)% 2.39%**++ 2.39%**++ (1.47)%** -- 49,331 March 31, 2006 (.68) 7.65 (6.70)% 2.41%++ 2.38%++ (1.45)% -- 39,146 March 31, 2005 (.56) 8.33 (6.30)% 2.38%++ 2.38%++ (1.46)% -- 43,763 March 31, 2004 (3.91) 8.89 (27.62)% 2.39%++ 2.39%++ (1.42)% -- 45,604 March 31, 2003 2.45 12.80 24.35% 2.40%++ 2.40%++ (0.97)% -- 17,540 March 31, 2002 (.08) 10.35 (0.36)% 2.47%++ 2.47%++ (0.34)% -- 7,007 OTC FUND INVESTOR CLASS SEPTEMBER 30, 2006@ (.37) 10.97 (3.26)% 1.23%** 1.23%** (0.62)%** 46% 689,102 March 31, 2006 1.40 11.34 14.45% 1.20% 1.20% (0.49)% 122% 893,295 March 31, 2005 .21 9.94 2.16% 1.20% 1.20% 0.40% 132% 801,185 March 31, 2004 2.71 9.73 38.60% 1.22% 1.22% (0.98)% 139% 858,816 March 31, 2003 (3.14) 7.02 (30.91)% 1.27% 1.27% (1.08)% 180% 653,999 March 31, 2002 (1.03) 10.16 (9.20)% 1.08% 1.08% (0.96)% 109% 783,637 OTC FUND ADVISOR CLASS SEPTEMBER 30, 2006@ (.39) 10.51 (3.58)% 1.74%** 1.74%** (1.15)%** 46% 47,982 March 31, 2006 1.30 10.90 13.92% 1.70% 1.70% (1.00)% 122% 27,832 March 31, 2005 .14 9.60 1.48% 1.69% 1.69% (0.25)% 132% 19,887 March 31, 2004 2.61 9.46 38.10% 1.71% 1.71% (1.47)% 139% 57,535 March 31, 2003 (3.12) 6.85 (31.29)% 1.76% 1.76% (1.56)% 180% 43,839 March 31, 2002 (1.07) 9.97 (9.69)% 1.60% 1.60% (1.47)% 109% 20,837 OTC FUND A-CLASS SEPTEMBER 30, 2006@ (.38) 10.58 (3.47)% 1.48%** 1.48%** (0.89)%** 46% 1,976 March 31, 2006 1.33 10.96 14.18% 1.46% 1.46% (0.78)% 122% 2,491 March 31, 2005 .17 9.63 1.80% 1.45% 1.45% 0.59% 132% 1,818 March 31, 2004* -- 9.46 0.00% 0.00%**# 0.00%**# 0.00%** 139% 1 OTC FUND C-CLASS SEPTEMBER 30, 2006@ (.41) 10.32 (3.82)% 2.22%** 2.22%** (1.62)%** 46% 13,044 March 31, 2006 1.23 10.73 13.33% 2.21% 2.21% (1.52)% 122% 18,707 March 31, 2005 .09 9.50 0.96% 2.19% 2.19% (0.33)% 132% 14,422 March 31, 2004 2.55 9.41 37.17% 2.23% 2.23% (1.97)% 139% 13,653 March 31, 2003 (3.17) 6.86 (31.61)% 2.26% 2.26% (1.98)% 180% 8,331 March 31, 2002 (1.17) 10.03 (10.45)% 2.24% 2.24% (2.13)% 109% 3,545
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 31, 2004--INVERSE S&P 500 FUND A-CLASS AND OTC FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER PORTFOLIO. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. @ UNAUDITED. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 109 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------ INVERSE OTC FUND INVESTOR CLASS SEPTEMBER 30, 2006@ $ 21.80 $ (.06) $ 1.34 $ 1.28 $ -- $ -- $ -- March 31, 2006 24.55 (.11) (2.31) (2.42) (.33) -- (.33) March 31, 2005 25.69 (.11) (1.03) (1.14) -- -- -- March 31, 2004 37.79 (.13) (11.97) (12.10) -- -- -- March 31, 2003 32.29 7.34 (.70) 6.64 (1.14) -- (1.14) March 31, 2002 35.76 1.01 (4.19) (3.18) (.29) -- (.29) INVERSE OTC FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 21.51 (.12) 1.33 1.21 -- -- -- March 31, 2006 24.34 (.22) (2.28) (2.50) (.33) -- (.33) March 31, 2005 25.60 (.24) (1.02) (1.26) -- -- -- March 31, 2004* 29.97 (.16) (4.21) (4.37) -- -- -- INVERSE OTC FUND A-CLASS SEPTEMBER 30, 2006@ 21.61 (.09) 1.32 1.23 -- -- -- March 31, 2006 24.39 (.16) (2.29) (2.45) (.33) -- (.33) March 31, 2005 25.60 (.17) (1.04) (1.21) -- -- -- March 31, 2004* 25.60 -- -- -- -- -- -- INVERSE OTC FUND C-CLASS SEPTEMBER 30, 2006@ 20.63 (.17) 1.28 1.11 -- -- -- March 31, 2006 23.48 (.32) (2.20) (2.52) (.33) -- (.33) March 31, 2005 24.83 (.35) (1.00) (1.35) -- -- -- March 31, 2004 36.92 (.38) (11.71) (12.09) -- -- -- March 31, 2003 31.93 3.08 3.05 6.13 (1.14) -- (1.14) March 31, 2002 35.74 .43 (3.95) (3.52) (.29) -- (.29) MID-CAP ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ 40.14 .02 (3.45) (3.43) -- -- -- March 31, 2006 31.86 .01 8.65 8.66 -- (.38) (.38) March 31, 2005 28.30 (.03) 3.59 3.56 -- -- -- March 31, 2004* 28.30 -- -- -- -- -- -- MID-CAP ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ 38.81 (.11) (3.34) (3.45) -- -- -- March 31, 2006 31.03 (.25) 8.41 8.16 -- (.38) (.38) March 31, 2005 27.76 (.26) 3.53 3.27 -- -- -- March 31, 2004 15.85 (.31) 12.22 11.91 -- -- -- March 31, 2003 26.00 (.17) (9.87) (10.04) (.11) -- (.11) March 31, 2002* 24.53 (.13) 1.60 1.47 -- -- -- RATIOS TO AVERAGE NET ASSETS: ---------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------------------- INVERSE OTC FUND INVESTOR CLASS SEPTEMBER 30, 2006@ $ 1.28 $ 23.08 5.87% 1.41%**++ 1.41%**++ (0.49)%** -- $ 153,674 March 31, 2006 (2.75) 21.80 (9.85)% 1.39%++ 1.38%++ (0.45)% -- 143,742 March 31, 2005 (1.14) 24.55 (4.44)% 1.38%++ 1.38%++ (0.46)% -- 198,288 March 31, 2004 (12.10) 25.69 (32.02)% 1.40%++ 1.40%++ (0.47)% -- 209,994 March 31, 2003 5.50 37.79 20.39% 1.42%++ 1.42%++ 18.11% -- 146,416 March 31, 2002 (3.47) 32.29 (8.84)% 1.35%++ 1.35%++ 3.16% -- 113,904 INVERSE OTC FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 1.21 22.72 5.63% 1.91%**++ 1.91%**++ (0.99)%** -- 16,020 March 31, 2006 (2.83) 21.51 (10.27)% 1.89%++ 1.89%++ (0.96)% -- 10,390 March 31, 2005 (1.26) 24.34 (4.92)% 1.88%++ 1.88%++ (0.96)% -- 17,059 March 31, 2004* (4.37) 25.60 (14.58)% 1.90%**++ 1.90%**++ (0.97)%** -- 17,975 INVERSE OTC FUND A-CLASS SEPTEMBER 30, 2006@ 1.23 22.84 5.69% 1.66%**++ 1.66%**++ (0.74)%** -- 7,088 March 31, 2006 (2.78) 21.61 (10.04)% 1.63%++ 1.63%++ (0.70)% -- 2,108 March 31, 2005 (1.21) 24.39 (4.73)% 1.62%++ 1.62%++ (0.70)% -- 5,697 March 31, 2004* -- 25.60 0.00% 0.00%**++# 0.00%**++# 0.00%** -- 1 INVERSE OTC FUND C-CLASS SEPTEMBER 30, 2006@ 1.11 21.74 5.38% 2.41%**++ 2.41%**++ (1.49)%** -- 19,768 March 31, 2006 (2.85) 20.63 (10.73)% 2.40%++ 2.39%++ (1.46)% -- 13,527 March 31, 2005 (1.35) 23.48 (5.44)% 2.38%++ 2.38%++ (1.46)% -- 15,693 March 31, 2004 (12.09) 24.83 (32.75)% 2.41%++ 2.41%++ (1.48)% -- 34,375 March 31, 2003 4.99 36.92 19.02% 2.41%++ 2.41%++ 8.23% -- 2,673 March 31, 2002 (3.81) 31.93 (9.80)% 2.38%++ 2.38%++ 1.45% -- 1,996 MID-CAP ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ (3.43) 36.71 (8.55)% 1.66%** 1.66%** 0.11%** 179% 3,581 March 31, 2006 8.28 40.14 27.27% 1.92% 1.66% 0.03% 528% 4,948 March 31, 2005 3.56 31.86 12.58% 1.63% 1.63% (0.10)% 669% 1,050 March 31, 2004* -- 28.30 0.00% 0.00%**# 0.00%**# 0.00%** 1,239% 4 MID-CAP ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ (3.45) 35.36 (8.89)% 2.40%** 2.40%** (0.62)%** 179% 18,346 March 31, 2006 7.78 38.81 26.38% 2.66% 2.40% (0.72)% 528% 28,836 March 31, 2005 3.27 31.03 11.78% 2.37% 2.37% (0.91)% 669% 17,912 March 31, 2004 11.91 27.76 75.14% 2.41% 2.41% (1.31)% 1,239% 14,444 March 31, 2003 (10.15) 15.85 (38.65)% 2.43% 2.43% (0.95)% 2,322% 5,610 March 31, 2002* 1.47 26.00 5.99% 2.44%** 2.44%** (0.96)%** 893% 1,734
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 20, 2001--MID-CAP ADVANTAGE FUND C-CLASS; AUGUST 1, 2003--INVERSE OTC FUND ADVISOR CLASS; MARCH 31, 2004--INVERSE OTC FUND A-CLASS AND MID-CAP ADVANTAGE FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER PORTFOLIO. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. @ UNAUDITED. 110 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------ MID-CAP ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ $ 40.17 $ .03 $ (3.47) $ (3.44) $ -- $ -- $ -- March 31, 2006 31.86 -- 8.69 8.69 -- (.38) (.38) March 31, 2005 28.30 (.06) 3.62 3.56 -- -- -- March 31, 2004 16.04 (.14) 12.40 12.26 -- -- -- March 31, 2003 26.08 (.07) (9.86) (9.93) (.11) -- (.11) March 31, 2002* 25.00 (.03) 1.11 1.08 -- -- -- INVERSE MID-CAP FUND A-CLASS SEPTEMBER 30, 2006@ 37.03 .68 1.96 2.64 -- -- -- March 31, 2006 44.01 .87 (7.20) (6.33) (.65) -- (.65) March 31, 2005 49.01 (.06) (4.94) (5.00) -- -- -- March 31, 2004* 49.01 -- -- -- -- -- -- INVERSE MID-CAP FUND C-CLASS SEPTEMBER 30, 2006@ 36.43 .51 1.92 2.43 -- -- -- March 31, 2006 43.62 .15 (6.69) (6.54) (.65) -- (.65) March 31, 2005 48.98 (.27) (5.09) (5.36) -- -- -- March 31, 2004* 50.00 (.08) (.94) (1.02) -- -- -- INVERSE MID-CAP FUND H-CLASS SEPTEMBER 30, 2006@ 37.04 .67 1.97 2.64 -- -- -- March 31, 2006 44.01 .83 (7.15) (6.32) (.65) -- (.65) March 31, 2005 49.01 .18 (5.18) (5.00) -- -- -- March 31, 2004* 50.00 (.05) (.94) (.99) -- -- -- RUSSELL 2000(R) ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ 37.33 .05 (3.58) (3.53) -- -- -- March 31, 2006 27.54 .04 9.75 9.79 -- -- -- March 31, 2005 26.22 (.03) 1.51 1.48 -- (.16) (.16) March 31, 2004* 26.22 -- -- -- -- -- -- RUSSELL 2000(R) ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ 35.93 (.07) (3.45) (3.52) -- -- -- March 31, 2006 26.69 (.21) 9.45 9.24 -- -- -- March 31, 2005 25.63 (.26) 1.48 1.22 -- (.16) (.16) March 31, 2004 12.75 (.28) 13.16 12.88 -- -- -- March 31, 2003 22.47 (.15) (9.53) (9.68) -- (.04) (.04) March 31, 2002 19.99 (.07) 2.55 2.48 -- -- -- RUSSELL 2000(R) ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ 37.32 .06 (3.58) (3.52) -- -- -- March 31, 2006 27.51 .03 9.78 9.81 -- -- -- March 31, 2005 26.22 (.07) 1.52 1.45 -- (.16) (.16) March 31, 2004 12.94 (.14) 13.42 13.28 -- -- -- March 31, 2003 22.61 (.03) (9.60) (9.63) -- (.04) (.04) March 31, 2002 19.99 .16 2.46 2.62 -- -- -- RATIOS TO AVERAGE NET ASSETS: ---------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------------------- MID-CAP ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ $ (3.44) $ 36.73 (8.56)% 1.66%** 1.66%** 0.13%** 179% $ 25,204 March 31, 2006 8.31 40.17 27.36% 1.90% 1.64% 0.01% 528% 50,883 March 31, 2005 3.56 31.86 12.58% 1.62% 1.62% (0.21)% 669% 59,274 March 31, 2004 12.26 28.30 76.43% 1.66% 1.66% (0.56)% 1,239% 68,193 March 31, 2003 (10.04) 16.04 (38.11)% 1.69% 1.69% (0.32)% 2,322% 14,634 March 31, 2002* 1.08 26.08 4.32% 1.71%** 1.71%** (0.19)%** 893% 116,176 INVERSE MID-CAP FUND A-CLASS SEPTEMBER 30, 2006@ 2.64 39.67 7.13% 1.67%** 1.67%** 3.45%** -- 932 March 31, 2006 (6.98) 37.03 (14.44)% 1.66% 1.66% 2.12% -- 161 March 31, 2005 (5.00) 44.01 (10.20)% 1.63% 1.63% (0.13)% -- 61 March 31, 2004* -- 49.01 0.00% 0.00%**# 0.00%**# 0.00%** -- 1 INVERSE MID-CAP FUND C-CLASS SEPTEMBER 30, 2006@ 2.43 38.86 6.67% 2.43%** 2.43%** 2.69%** -- 4,465 March 31, 2006 (7.19) 36.43 (15.05)% 2.41% 2.41% 1.54% -- 1,147 March 31, 2005 (5.36) 43.62 (10.94)% 2.36% 2.36% (0.58)% -- 1,011 March 31, 2004* (1.02) 48.98 (2.04)% 2.23%** 2.23%** (1.45)%** -- 137 INVERSE MID-CAP FUND H-CLASS SEPTEMBER 30, 2006@ 2.64 39.68 7.13% 1.67%** 1.67%** 3.43%** -- 47,176 March 31, 2006 (6.97) 37.04 (14.42)% 1.64% 1.64% 2.01% -- 18,475 March 31, 2005 (5.00) 44.01 (10.20)% 1.60% 1.60% 0.39% -- 30,073 March 31, 2004* (.99) 49.01 (1.98)% 1.54%** 1.54%** (0.74)%** -- 2,678 RUSSELL 2000(R) ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ (3.53) 33.80 (9.46)% 1.65%** 1.65%** 0.31%** 99% 3,974 March 31, 2006 9.79 37.33 35.55% 2.06% 1.65% 0.13% 441% 6,789 March 31, 2005 1.32 27.54 5.63% 1.61% 1.61% (0.10)% 501% 3,340 March 31, 2004* -- 26.22 0.00% 0.00%**# 0.00%**# 0.00%** 965% 4 RUSSELL 2000(R) ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ (3.52) 32.41 (9.80)% 2.39%** 2.39%** (0.41)%** 99% 24,430 March 31, 2006 9.24 35.93 34.62% 2.81% 2.40% (0.70)% 441% 31,956 March 31, 2005 1.06 26.69 4.75% 2.37% 2.37% (1.00)% 501% 18,915 March 31, 2004 12.88 25.63 101.02% 2.41% 2.41% (1.34)% 965% 48,851 March 31, 2003 (9.72) 12.75 (43.12)% 2.43% 2.43% (0.91)% 746% 13,530 March 31, 2002 2.48 22.47 12.41% 2.44% 2.44% (0.33)% 714% 20,604 RUSSELL 2000(R) ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ (3.52) 33.80 (9.43)% 1.63%** 1.63%** 0.33%** 99% 62,499 March 31, 2006 9.81 37.32 35.66% 2.05% 1.64% 0.10% 441% 170,698 March 31, 2005 1.29 27.51 5.52% 1.62% 1.62% (0.26)% 501% 68,084 March 31, 2004 13.28 26.22 102.63% 1.66% 1.66% (0.62)% 965% 174,320 March 31, 2003 (9.67) 12.94 (42.63)% 1.69% 1.69% (0.20)% 746% 32,101 March 31, 2002 2.62 22.61 13.11% 1.61% 1.61% 0.74% 714% 120,045
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 16, 2001--MID-CAP ADVANTAGE FUND H-CLASS; FEBRUARY 20, 2004 --INVERSE MID-CAP FUND C-CLASS AND INVERSE MID-CAP FUND H-CLASS; MARCH 31, 2004--INVERSE MID-CAP FUND A-CLASS AND RUSSELL 2000(R) ADVANTAGE FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. @ UNAUDITED. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 111 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------ RUSSELL 2000 FUND A-CLASS SEPTEMBER 30, 2006*@ $ 25.00 $ .16 $ .03 $ .19 $ -- $ -- $ -- RUSSELL 2000 FUND C-CLASS SEPTEMBER 30, 2006*@ 25.00 .09 .05 .14 -- -- -- RUSSELL 2000 FUND H CLASS SEPTEMBER 30, 2006*@ 25.00 .13 .06 .19 -- -- -- INVERSE RUSSELL 2000 FUND A-CLASS SEPTEMBER 30, 2006@ 36.96 .70 1.83 2.53 -- -- -- March 31, 2006 46.09 .85 (9.26) (8.41) (.72) -- (.72) March 31, 2005 48.80 (.02) (2.69) (2.71) -- -- -- March 31, 2004* 48.80 -- -- -- -- -- -- INVERSE RUSSELL 2000 FUND C-CLASS SEPTEMBER 30, 2006@ 36.40 .53 1.81 2.34 -- -- -- March 31, 2006 45.71 .56 (9.15) (8.59) (.72) -- (.72) March 31, 2005 48.77 (.49) (2.57) (3.06) -- -- -- March 31, 2004* 50.00 (.08) (1.15) (1.23) -- -- -- INVERSE RUSSELL 2000 FUND H-CLASS SEPTEMBER 30, 2006@ 36.98 .68 1.85 2.53 -- -- -- March 31, 2006 46.09 .91 (9.30) (8.39) (.72) -- (.72) March 31, 2005 48.80 .04 (2.75) (2.71) -- -- -- March 31, 2004* 50.00 (.04) (1.16) (1.20) -- -- -- GOVERNMENT LONG BOND ADVANTAGE FUND INVESTOR CLASS SEPTEMBER 30, 2006@ 10.50 .21 .28 .49 (.20) -- (.20) March 31, 2006 11.04 .42 (.54) (.12) (.42) -- (.42) March 31, 2005 11.03 .42 -- .42 (.41) -- (.41) March 31, 2004 10.95 .41 .08 .49 (.41) -- (.41) March 31, 2003 9.12 .41 1.83 2.24 (.41) -- (.41) March 31, 2002 9.82 .43 (.70) (.27) (.43) -- (.43) GOVERNMENT LONG BOND ADVANTAGE FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 10.50 .19 .22 .41 (.18) -- (.18) March 31, 2006 11.07 .37 (.57) (.20) (.37) -- (.37) March 31, 2005 11.04 .36 .04 .40 (.37) -- (.37) March 31, 2004* 10.00 .23 1.04 1.27 (.23) -- (.23) RATIOS TO AVERAGE NET ASSETS: ---------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ----------------------------------------------------------------------------------------------------------------- RUSSELL 2000 FUND A-CLASS SEPTEMBER 30, 2006*@ $ .19 $ 25.19 0.76% 1.55%** 1.96%** 161% $ 33 RUSSELL 2000 FUND C-CLASS SEPTEMBER 30, 2006*@ .14 25.14 0.56% 2.47%** 1.09%** 161% 3,429 RUSSELL 2000 FUND H CLASS SEPTEMBER 30, 2006*@ .19 25.19 0.76% 1.53%** 1.60%** 161% 6,319 INVERSE RUSSELL 2000 FUND A-CLASS SEPTEMBER 30, 2006@ 2.53 39.49 6.85% 1.68%** 3.56%** -- 27,391 March 31, 2006 (9.13) 36.96 (18.40)% 1.63% 1.97% -- 1,067 March 31, 2005 (2.71) 46.09 (5.55)% 1.63% (0.03)% -- 404 March 31, 2004* -- 48.80 0.00% 0.00%**# 0.00%** -- 1 INVERSE RUSSELL 2000 FUND C-CLASS SEPTEMBER 30, 2006@ 2.34 38.74 6.43% 2.42%** 2.74%** -- 17,194 March 31, 2006 (9.31) 36.40 (18.95)% 2.40% 1.33% -- 3,164 March 31, 2005 (3.06) 45.71 (6.27)% 2.39% (0.97)% -- 3,951 March 31, 2004* (1.23) 48.77 (2.46)% 2.24%** (1.42)%** -- 492 INVERSE RUSSELL 2000 FUND H-CLASS SEPTEMBER 30, 2006@ 2.53 39.51 6.84% 1.66%** 3.45%** -- 124,904 March 31, 2006 (9.11) 36.98 (18.36)% 1.65% 2.14% -- 52,201 March 31, 2005 (2.71) 46.09 (5.55)% 1.63% 0.09% -- 46,832 March 31, 2004* (1.20) 48.80 (2.40)% 1.54%** (0.72)%** -- 5,054 GOVERNMENT LONG BOND ADVANTAGE FUND INVESTOR CLASS SEPTEMBER 30, 2006@ .29 10.79 4.83% 0.97%** 4.03%** 882% 111,182 March 31, 2006 (.54) 10.50 (1.37)% 0.94% 3.69% 1,451% 33,223 March 31, 2005 .01 11.04 4.04% 0.93% 3.95% 737% 25,992 March 31, 2004 .08 11.03 4.65% 0.95% 3.84% 1,143% 25,188 March 31, 2003 1.83 10.95 24.93% 0.97% 4.00% 2,404% 51,370 March 31, 2002 (.70) 9.12 (2.88)% 0.88% 4.39% 860% 14,138 GOVERNMENT LONG BOND ADVANTAGE FUND ADVISOR CLASS SEPTEMBER 30, 2006@ .23 10.73 3.99% 1.47%** 3.53%** 882% 27,190 March 31, 2006 (.57) 10.50 (2.10)% 1.42% 3.16% 1,451% 21,200 March 31, 2005 .03 11.07 3.75% 1.41% 3.32% 737% 53,283 March 31, 2004* 1.04 11.04 12.84% 1.45%** 3.21%** 1,143% 46,690
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 1, 2003--GOVERNMENT LONG BOND ADVANTAGE FUND ADVISOR CLASS; FEBRUARY 20, 2004--INVERSE RUSSELL 2000(R) FUND C-CLASS AND INVERSE RUSSELL 2000(R) FUND H-CLASS; MARCH 31, 2004--INVERSE RUSSELL 2000(R) FUND A-CLASS; MAY 31, 2006--RUSSELL 2000(R) FUND A-CLASS, RUSSELL 2000(R) FUND C-CLASS, AND RUSSELL 2000(R) FUND H-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. @ UNAUDITED. 112 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------- GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ $10.50 $ .19 $ .30 $ .49 $ (.19) $ -- $ (.19) March 31, 2006 11.07 .40 (.58) (.18) (.39) -- (.39) March 31, 2005 11.05 .39 .02 .41 (.39) -- (.39) March 31, 2004* 11.05 -- -- -- -- -- -- GOVERNMENT LONG BOND ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ 10.50 .15 .29 .44 (.15) -- (.15) March 31, 2006 11.07 .31 (.57) (.26) (.31) -- (.31) March 31, 2005 11.05 .31 .02 .33 (.31) -- (.31) March 31, 2004 10.97 .30 .08 .38 (.30) -- (.30) March 31, 2003 9.12 .31 1.85 2.16 (.31) -- (.31) March 31, 2002* 9.42 .32 (.32) -- (.30) -- (.30) INVERSE GOVERNMENT LONG BOND FUND INVESTOR CLASS SEPTEMBER 30, 2006@ 19.69 (.04) (.22) (.26) -- -- -- March 31, 2006 18.94 (.07) .82 .75 -- -- -- March 31, 2005 19.77 (.08) (.75) (.83) -- -- -- March 31, 2004 21.23 (.09) (1.37) (1.46) -- -- -- March 31, 2003 26.40 (.04) (5.13) (5.17) -- -- -- March 31, 2002+++ 25.59 .27 .54 .81 -- -- -- INVERSE GOVERNMENT LONG BOND FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 19.43 (.09) (.21) (.30) -- -- -- March 31, 2006 18.79 (.16) .80 .64 -- -- -- March 31, 2005 19.71 (.17) (.75) (.92) -- -- -- March 31, 2004* 22.41 (.13) (2.57) (2.70) -- -- -- INVERSE GOVERNMENT LONG BOND FUND A-CLASS SEPTEMBER 30, 2006@ 19.52 (.07) (.21) (.28) -- -- -- March 31, 2006 18.84 (.12) .80 .68 -- -- -- March 31, 2005 19.71 (.13) (.74) (.87) -- -- -- March 31, 2004* 19.71 -- -- -- -- -- -- INVERSE GOVERNMENT LONG BOND FUND C-CLASS SEPTEMBER 30, 2006@ 18.78 (.14) (.20) (.34) -- -- -- March 31, 2006 18.25 (.25) .78 .53 -- -- -- March 31, 2005 19.24 (.27) (.72) (.99) -- -- -- March 31, 2004 20.88 (.29) (1.35) (1.64) -- -- -- March 31, 2003 26.16 (.17) (5.11) (5.28) -- -- -- March 31, 2002+++ 25.59 .15 .42 .57 -- -- -- RATIOS TO AVERAGE NET ASSETS: -------------------------------------------- NET INCREASE NET ASSET NET (DECREASE) IN VALUE, TOTAL INVESTMENT NET ASSET END OF INVESTMENT GROSS NET OPERATING INCOME VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSES ss. (LOSS) - -------------------------------------------------------------------------------------------------------------------- GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ $ .30 $ 10.80 4.80% 1.22%** 1.22%** 1.22%** 3.80%** March 31, 2006 (.57) 10.50 (1.88)% 1.17% 1.17% 1.17% 3.45% March 31, 2005 .02 11.07 3.86% 1.15% 1.15% 1.15% 3.63% March 31, 2004* -- 11.05 0.00% 0.00%**# 0.00%**# 0.00%**# 0.00%** GOVERNMENT LONG BOND ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ .29 10.79 4.32% 1.96%** 1.96%** 1.96%** 3.05%** March 31, 2006 (.57) 10.50 (2.61)% 1.93% 1.93% 1.93% 2.69% March 31, 2005 .02 11.07 3.10% 1.92% 1.92% 1.92% 2.86% March 31, 2004 .08 11.05 3.59% 1.96% 1.96% 1.96% 2.85% March 31, 2003 1.85 10.97 23.93% 1.95% 1.95% 1.95% 2.86% March 31, 2002* (.30) 9.12 (0.14)% 1.79%** 1.79%** 1.79%** 3.53%** INVERSE GOVERNMENT LONG BOND FUND INVESTOR CLASS SEPTEMBER 30, 2006@ (.26) 19.43 (1.32)% 5.02%**++ 5.02%**++ 1.36%**++ (0.44)%** March 31, 2006 .75 19.69 3.96% 4.66%++ 4.66%++ 1.33%++ (0.40)% March 31, 2005 (.83) 18.94 (4.20)% 5.11%++ 5.11%++ 1.32%++ (0.40)% March 31, 2004 (1.46) 19.77 (6.88)% 5.57%++^ 5.57%++^ 1.38%++ (0.45)% March 31, 2003 (5.17) 21.23 (19.53)% 5.65%++^@ 5.65%++^@ 1.41%++ (0.45)% March 31, 2002+++ .81 26.40 3.17% 1.41%++ 1.41%++ 1.41%++ 1.12% INVERSE GOVERNMENT LONG BOND FUND ADVISOR CLASS SEPTEMBER 30, 2006@ (.30) 19.13 (1.54)% 5.51%**++ 5.51%**++ 1.85%**++ (0.93)%** March 31, 2006 .64 19.43 3.41% 5.16%++ 5.16%++ 1.83%++ (0.90)% March 31, 2005 (.92) 18.79 (4.67)% 5.61%++ 5.61%++ 1.82%++ (0.90)% March 31, 2004* (2.70) 19.71 (12.05)% 6.05%**++^ 6.05%**++^ 1.86%**++ (0.93)%** INVERSE GOVERNMENT LONG BOND FUND A-CLASS SEPTEMBER 30, 2006@ (.28) 19.24 (1.43)% 5.27%**++ 5.27%**++ 1.61%**++ (0.69)%** March 31, 2006 .68 19.52 3.61% 4.91%++ 4.91%++ 1.58%++ (0.65)% March 31, 2005 (.87) 18.84 (4.41)% 5.35%++ 5.35%++ 1.56%++ (0.64)% March 31, 2004* -- 19.71 0.00% 0.00%**++# 0.00%**++# 0.00%**++# 0.00%** INVERSE GOVERNMENT LONG BOND FUND C-CLASS SEPTEMBER 30, 2006@ (.34) 18.44 (1.81)% 6.01%**++ 6.01%**++ 2.35%**++ (1.43)%** March 31, 2006 .53 18.78 2.90% 5.66%++ 5.66%++ 2.33%++ (1.40)% March 31, 2005 (.99) 18.25 (5.15)% 6.11%++ 6.11%++ 2.32%++ (1.40)% March 31, 2004 (1.64) 19.24 (7.85)% 6.57%++^ 6.57%++^ 2.38%++ (1.45)% March 31, 2003 (5.28) 20.88 (20.13)% 6.64%++^@ 6.64%++^@ 2.40%++ (1.64)% March 31, 2002+++ .57 26.16 2.23% 2.47%++ 2.47%++ 2.47%++ 0.55% NET ASSETS, PORTFOLIO END OF TURNOVER PERIOD (000'S RATE*** OMITTED) - ------------------------------------------------------------------------------ GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ 882% $ 8,569 March 31, 2006 1,451% 1,503 March 31, 2005 737% 1,703 March 31, 2004* 1,143% 1 GOVERNMENT LONG BOND ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ 882% 14,836 March 31, 2006 1,451% 7,293 March 31, 2005 737% 11,005 March 31, 2004 1,143% 3,828 March 31, 2003 2,404% 2,163 March 31, 2002* 860% 209 INVERSE GOVERNMENT LONG BOND FUND INVESTOR CLASS SEPTEMBER 30, 2006@ 37% 444,757 March 31, 2006 179% 768,588 March 31, 2005 101% 1,472,040 March 31, 2004 187% 898,294 March 31, 2003 -- 128,958 March 31, 2002+++ -- 32,293 INVERSE GOVERNMENT LONG BOND FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 37% 54,110 March 31, 2006 179% 99,546 March 31, 2005 101% 232,541 March 31, 2004* 187% 52,298 INVERSE GOVERNMENT LONG BOND FUND A-CLASS SEPTEMBER 30, 2006@ 37% 92,587 March 31, 2006 179% 124,679 March 31, 2005 101% 177,178 March 31, 2004* 187% 5,057 INVERSE GOVERNMENT LONG BOND FUND C-CLASS SEPTEMBER 30, 2006@ 37% 318,695 March 31, 2006 179% 533,862 March 31, 2005 101% 893,249 March 31, 2004 187% 489,918 March 31, 2003 -- 60,969 March 31, 2002+++ -- 877
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 2, 2001--GOVERNMENT LONG BOND ADVANTAGE FUND C-CLASS; AUGUST 1, 2003--INVERSE GOVERNMENT LONG BOND FUND ADVISOR CLASS; MARCH 31, 2004--GOVERNMENT LONG BOND ADVANTAGE FUND A-CLASS AND INVERSE GOVERNMENT LONG BOND FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ++ RATIOS TO AVERAGE NET ASSETS INCLUDE EXPENSES OF THE CORRESPONDING MASTER PORTFOLIO. +++ INVERSE GOVERNMENT LONG BOND FUND--PER SHARE AMOUNTS FOR THE YEAR ENDED THROUGH MARCH 31, 2002 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE FEBRUARY 10, 2003. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. ^ THE INVERSE GOVERNMENT LONG BOND FUND HAS RESTATED ITS RATIOS OF GROSS AND NET EXPENSES TO AVERAGE NET ASSETS IN THE FINANCIAL HIGHLIGHTS IN ORDER TO REFLECT THE RECLASSIFICATION OF INTEREST EXPENSE FROM SECURITIES SOLD SHORT. THIS RESTATEMENT HAD NO EFFECT ON THE INVERSE GOVERNMENT LONG BOND FUND'S NET ASSET VALUE, PER SHARE VALUE, NET INVESTMENT INCOME RATIOS AND TOTAL INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS DURING ANY PERIOD. ss. OPERATING EXPENSES EXCLUDE INTEREST EXPENSE FROM SECURITIES SOLD SHORT. @ UNAUDITED. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 113 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ $ 20.06 $ .36 $ 1.03 $ 1.39 $ -- $ -- $ -- March 31, 2006 17.14 .18 3.06 3.24 -- (.32) (.32) March 31, 2005 14.98 .05 2.59 2.64 (.47) (.01) (.48) March 31, 2004* 14.98 -- -- -- -- -- -- EUROPE ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ 19.25 .25 1.01 1.26 -- -- -- March 31, 2006 16.57 .10 2.90 3.00 -- (.32) (.32) March 31, 2005 14.62 (.09) 2.52 2.43 (.47) (.01) (.48) March 31, 2004 9.74 (1.18) 6.77 5.59 -- (.71) (.71) March 31, 2003 15.22 (.10) (5.38) (5.48) -- -- -- March 31, 2002* 19.09 (.11) (3.76) (3.87) -- -- -- EUROPE ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ 20.06 .39 1.01 1.40 -- -- -- March 31, 2006 17.13 .22 3.03 3.25 -- (.32) (.32) March 31, 2005 14.98 .05 2.58 2.63 (.47) (.01) (.48) March 31, 2004 9.88 (1.65) 7.46 5.81 -- (.71) (.71) March 31, 2003 15.30 (.02) (5.40) (5.42) -- -- -- March 31, 2002 17.72 .19 (2.61) (2.42) -- -- -- JAPAN ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ 40.61 .16 (3.40) (3.24) -- -- -- March 31, 2006 29.20 .74 10.67 11.41 -- -- -- March 31, 2005 34.60 .05 (3.96) (3.91) (.56) (.93) (1.49) March 31, 2004* 34.60 -- -- -- -- -- -- JAPAN ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ 39.47 .58 (3.87) (3.29) -- -- -- March 31, 2006 28.61 .12 10.74 10.86 -- -- -- March 31, 2005 34.18 (.25) (3.83) (4.08) (.56) (.93) (1.49) March 31, 2004 18.96 (.80) 16.26 15.46 -- (.24) (.24) March 31, 2003++ 27.24 (.18) (8.10) (8.28) -- -- -- March 31, 2002*++ 25.65 (.03) 1.62 1.59 -- -- -- JAPAN ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ 40.64 .61 (3.85) (3.24) -- -- -- March 31, 2006 29.22 .76 10.66 11.42 -- -- -- March 31, 2005 34.60 (.05) (3.84) (3.89) (.56) (.93) (1.49) March 31, 2004 19.05 (.40) 16.19 15.79 -- (.24) (.24) March 31, 2003++ 27.27 (.03) (8.19) (8.22) -- -- -- March 31, 2002++ 39.12 .48 (12.33) (11.85) -- -- -- RATIOS TO AVERAGE NET ASSETS: ---------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------------------- EUROPE ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ $ 1.39 $ 21.45 6.93% 1.54%** 1.54%** 3.52%** 232% $ 3,331 March 31, 2006 2.92 20.06 19.10% 1.67% 1.66% 1.02% 454% 1,378 March 31, 2005 2.16 17.14 17.56% 1.62% 1.62% 0.29% -- 180 March 31, 2004* -- 14.98 0.00% 0.00%**# 0.00%**# 0.00%** -- 1 EUROPE ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ 1.26 20.51 6.55% 2.35%** 2.35%** 2.55%** 232% 11,079 March 31, 2006 2.68 19.25 18.30% 2.42% 2.41% 0.59% 454% 8,703 March 31, 2005 1.95 16.57 16.55% 2.37% 2.37% (0.57)% -- 5,717 March 31, 2004 4.88 14.62 57.29% 2.47% 2.47% (8.31)% -- 1,999 March 31, 2003 (5.48) 9.74 (36.01)% 2.45% 2.45% (0.96)% -- 1,957 March 31, 2002* (3.87) 15.22 (20.27)% 2.69%** 2.69%** (0.82)%** -- 116 EUROPE ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ 1.40 21.46 6.98% 1.67%** 1.67%** 3.73%** 232% 76,263 March 31, 2006 2.93 20.06 19.17% 1.64% 1.63% 1.21% 454% 46,066 March 31, 2005 2.15 17.13 17.49% 1.61% 1.61% 0.28% -- 62,957 March 31, 2004 5.10 14.98 58.72% 1.73% 1.73% (11.25)% -- 35,914 March 31, 2003 (5.42) 9.88 (35.42)% 1.68% 1.68% (0.13)% -- 4,698 March 31, 2002 (2.42) 15.30 (13.66)% 1.76% 1.76% 1.18% -- 9,697 JAPAN ADVANTAGE FUND A-CLASS SEPTEMBER 30, 2006@ (3.24) 37.37 (7.98)% 1.66%** 1.66%** 0.81%** -- 4,484 March 31, 2006 11.41 40.61 39.08% 1.67% 1.66% 2.20% -- 3,432 March 31, 2005 (5.40) 29.20 (11.31)% 1.62% 1.62% 0.15% -- 280 March 31, 2004* -- 34.60 0.00% 0.00%**# 0.00%**# 0.00%** -- 55 JAPAN ADVANTAGE FUND C-CLASS SEPTEMBER 30, 2006@ (3.29) 36.18 (8.34)% 2.39%** 2.39%** 3.01%** -- 7,536 March 31, 2006 10.86 39.47 37.96% 2.43% 2.42% 1.49% -- 13,082 March 31, 2005 (5.57) 28.61 (11.96)% 2.38% 2.38% (0.83)% -- 3,381 March 31, 2004 15.22 34.18 81.72% 2.42% 2.42% (2.85)% -- 5,572 March 31, 2003++ (8.28) 18.96 (30.40)% 2.36% 2.36% (0.68)% -- 9 March 31, 2002*++ 1.59 27.24 6.20% 2.20%** 2.20%** (0.72)%** -- 12 JAPAN ADVANTAGE FUND H-CLASS SEPTEMBER 30, 2006@ (3.24) 37.40 (7.97)% 1.64%** 1.64%** 3.01%** -- 38,651 March 31, 2006 11.42 40.64 39.08% 1.67% 1.66% 2.19% -- 111,896 March 31, 2005 (5.38) 29.22 (11.25)% 1.63% 1.63% (0.17)% -- 34,972 March 31, 2004 15.55 34.60 83.07% 1.66% 1.66% 1.46% -- 177,760 March 31, 2003++ (8.22) 19.05 (30.14)% 1.69% 1.69% (0.06)% -- 2,683 March 31, 2002++ (11.85) 27.27 (30.29)% 1.84% 1.84% 1.44% -- 23,873
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 10, 2001--EUROPE ADVANTAGE C-CLASS; MARCH 1, 2002--JAPAN ADVANTAGE FUND C-CLASS; MARCH 31, 2004--EUROPE ADVANTAGE FUND A-CLASS AND JAPAN ADVANTAGE FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ++ JAPAN ADVANTAGE FUND--PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. @ UNAUDITED. 114 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------- SMALL-CAP VALUE FUND A-CLASS SEPTEMBER 30, 2006@ $ 33.40 $ .06 $ (1.71) $ (1.65) $ -- $ -- $ -- March 31, 2006 28.22 (.03) 5.71 5.68 -- (.50) (.50) March 31, 2005* 25.28 (.06) 3.13 3.07 -- (.13) (.13) SMALL-CAP VALUE FUND C-CLASS SEPTEMBER 30, 2006@ 32.85 (.03) (1.72) (1.75) -- -- -- March 31, 2006 28.01 (.18) 5.52 5.34 -- (.50) (.50) March 31, 2005 25.59 (.24) 2.79 2.55 -- (.13) (.13) March 31, 2004* 25.00 (.05) .64 .59 -- -- -- SMALL-CAP VALUE FUND H-CLASS SEPTEMBER 30, 2006@ 33.38 .06 (1.72) (1.66) -- -- -- March 31, 2006 28.24 .06 5.58 5.64 -- (.50) (.50) March 31, 2005 25.62 (.01) 2.76 2.75 -- (.13) (.13) March 31, 2004* 25.00 (.01) .63 .62 -- -- -- MID-CAP VALUE FUND A-CLASS SEPTEMBER 30, 2006@ 31.83 .20 (.11) .09 -- -- -- March 31, 2006 27.49 .06 4.47 4.53 (--)ss. (.19) (.19) March 31, 2005* 24.58 .11 2.91 3.02 (--)ss.ss. (.11) (.11) MID-CAP VALUE FUND C-CLASS SEPTEMBER 30, 2006@ 31.34 .07 (.09) (.02) -- -- -- March 31, 2006 27.29 (.10) 4.34 4.24 (--)ss. (.19) (.19) March 31, 2005 25.11 (.07) 2.36 2.29 (--)ss.ss. (.11) (.11) March 31, 2004* 25.00 (.02) .13 .11 -- -- -- MID-CAP VALUE FUND H-CLASS SEPTEMBER 30, 2006@ 31.82 .21 (.11) .10 -- -- -- March 31, 2006 27.49 .07 4.45 4.52 (--)ss. (.19) (.19) March 31, 2005 25.13 .21 2.26 2.47 (--)ss.ss. (.11) (.11) March 31, 2004* 25.00 .01 .12 .13 -- -- -- LARGE-CAP VALUE FUND A-CLASS SEPTEMBER 30, 2006@ 29.12 .16 1.09 1.25 -- -- -- March 31, 2006 26.56 .19 2.77 2.96 -- (.40) (.40) March 31, 2005* 24.68 .12 1.81 1.93 (--)ss.ss. (.05) (.05) LARGE-CAP VALUE FUND C-CLASS SEPTEMBER 30, 2006@ 28.67 .04 1.07 1.11 -- -- -- March 31, 2006 26.38 .04 2.65 2.69 -- (.40) (.40) March 31, 2005 24.85 .01 1.57 1.58 (--)ss.ss. (.05) (.05) March 31, 2004* 25.00 (.02) (.13) (.15) -- -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------ SMALL-CAP VALUE FUND A-CLASS SEPTEMBER 30, 2006@ $ (1.65) $ 31.75 (4.94)% 1.53%** 0.39%** 354% $ 1,183 March 31, 2006 5.18 33.40 20.35% 1.46% (0.11)% 806% 335 March 31, 2005* 2.94 28.22 12.14% 1.43%** (0.37)%** 744% 714 SMALL-CAP VALUE FUND C-CLASS SEPTEMBER 30, 2006@ (1.75) 31.10 (5.33)% 2.24%** (0.18)%** 354% 14,166 March 31, 2006 4.84 32.85 19.29% 2.27% (0.60)% 806% 18,779 March 31, 2005 2.42 28.01 9.96% 2.21% (0.89)% 744% 12,119 March 31, 2004* .59 25.59 2.36% 2.11%** (1.68)%** 177% 2,207 SMALL-CAP VALUE FUND H-CLASS SEPTEMBER 30, 2006@ (1.66) 31.72 (4.97)% 1.48%** 0.36%** 354% 44,471 March 31, 2006 5.14 33.38 20.20% 1.50% 0.19% 806% 102,448 March 31, 2005 2.62 28.24 10.73% 1.47% (0.04)% 744% 75,748 March 31, 2004* .62 25.62 2.48% 1.41%** (0.21)%** 177% 19,900 MID-CAP VALUE FUND A-CLASS SEPTEMBER 30, 2006@ .09 31.92 0.28% 1.51%** 1.25%** 346% 1,347 March 31, 2006 4.34 31.83 16.51% 1.48% 0.21% 558% 1,480 March 31, 2005* 2.91 27.49 12.29% 1.42%** 0.69%** 731% 312 MID-CAP VALUE FUND C-CLASS SEPTEMBER 30, 2006@ (.02) 31.32 (0.06)% 2.25%** 0.46%** 346% 5,502 March 31, 2006 4.05 31.34 15.57% 2.25% (0.35)% 558% 7,270 March 31, 2005 2.18 27.29 9.12% 2.21% (0.28)% 731% 8,831 March 31, 2004* .11 25.11 0.44% 2.11%** (0.50)%** 172% 710 MID-CAP VALUE FUND H-CLASS SEPTEMBER 30, 2006@ .10 31.92 0.31% 1.50%** 1.35%** 346% 24,137 March 31, 2006 4.33 31.82 16.47% 1.48% 0.25% 558% 31,340 March 31, 2005 2.36 27.49 9.83% 1.46% 0.77% 731% 115,660 March 31, 2004* .13 25.13 0.52% 1.41%** 0.19%** 172% 18,064 LARGE-CAP VALUE FUND A-CLASS SEPTEMBER 30, 2006@ 1.25 30.37 4.29% 1.51%** 1.04%** 278% 1,407 March 31, 2006 2.56 29.12 11.20% 1.47% 0.70% 1054% 713 March 31, 2005* 1.88 26.56 7.82% 1.43%** 0.77%** 747% 211 LARGE-CAP VALUE FUND C-CLASS SEPTEMBER 30, 2006@ 1.11 29.78 3.87% 2.24%** 0.27%** 278% 4,091 March 31, 2006 2.29 28.67 10.25% 2.26% 0.14% 1,054% 4,344 March 31, 2005 1.53 26.38 6.35% 2.20% 0.03% 747% 4,636 March 31, 2004* (.15) 24.85 (0.60)% 2.10%** (0.53)%** 202% 2,612
* SINCE THE COMMENCEMENT OF OPERATIONS: FEBRUARY 20, 2004--SMALL-CAP VALUE FUND C-CLASS, SMALL-CAP VALUE FUND H-CLASS, MID-CAP VALUE FUND C-CLASS, MID-CAP VALUE FUND H-CLASS AND LARGE-CAP VALUE FUND C-CLASS; SEPTEMBER 1, 2004--SMALL-CAP VALUE FUND A-CLASS, MID-CAP VALUE FUND A-CLASS AND LARGE-CAP VALUE FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ss. LESS THAN $.01 PER SHARE: MID-CAP VALUE FUND A-CLASS, C-CLASS AND H-CLASS ACTUAL AMOUNT= $.0040. ss.ss. LESS THAN $.01 PER SHARE: MID-CAP VALUE FUND A-CLASS, C-CLASS AND H-CLASS ACTUAL AMOUNT = $.0007; LARGE-CAP VALUE FUND A-CLASS AND C-CLASS ACTUAL AMOUNT = $.0001. @ UNAUDITED. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 115 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------- LARGE-CAP VALUE FUND H-CLASS SEPTEMBER 30, 2006@ $ 29.12 $ .14 $ 1.11 $ 1.25 $ -- $ -- $ -- March 31, 2006 26.56 .23 2.73 2.96 -- (.40) (.40) March 31, 2005 24.87 .16 1.58 1.74 (--)ss. (.05) (.05) March 31, 2004* 25.00 .01 (.14) (.13) -- -- -- SMALL-CAP GROWTH FUND A-CLASS SEPTEMBER 30, 2006@ 32.25 (.15) (2.85) (3.00) -- -- -- March 31, 2006 27.96 (.18) 5.27 5.09 -- (.80) (.80) March 31, 2005* 24.43 (.12) 3.90 3.78 -- (.25) (.25) SMALL-CAP GROWTH FUND C-CLASS SEPTEMBER 30, 2006@ 31.82 (.30) (2.77) (3.07) -- -- -- March 31, 2006 27.78 (.47) 5.31 4.84 -- (.80) (.80) March 31, 2005 25.33 (.44) 3.14 2.70 -- (.25) (.25) March 31, 2004* 25.00 (.04) .37 .33 -- -- -- SMALL-CAP GROWTH FUND H-CLASS SEPTEMBER 30, 2006@ 32.27 (.17) (2.83) (3.00) -- -- -- March 31, 2006 27.97 (.22) 5.32 5.10 -- (.80) (.80) March 31, 2005 25.34 (.23) 3.11 2.88 -- (.25) (.25) March 31, 2004* 25.00 (.02) .36 .34 -- -- -- MID-CAP GROWTH FUND A-CLASS SEPTEMBER 30, 2006@ 31.94 (.16) (2.95) (3.11) -- -- -- March 31, 2006 26.85 (.17) 5.39 5.22 -- (.13) (.13) March 31, 2005* 23.91 (.09) 3.04 2.95 -- (.01) (.01) MID-CAP GROWTH FUND C-CLASS SEPTEMBER 30, 2006@ 31.47 (.26) (2.91) (3.17) -- -- -- March 31, 2006 26.66 (.42) 5.36 4.94 -- (.13) (.13) March 31, 2005 25.15 (.37) 1.89 1.52 -- (.01) (.01) March 31, 2004* 25.00 (.05) .20 .15 -- -- -- MID-CAP GROWTH FUND H-CLASS SEPTEMBER 30, 2006@ 31.95 (.16) (2.94) (3.10) -- -- -- March 31, 2006 26.86 (.19) 5.41 5.22 -- (.13) (.13) March 31, 2005 25.17 (.17) 1.87 1.70 -- (.01) (.01) March 31, 2004* 25.00 (.02) .19 .17 -- -- -- LARGE-CAP GROWTH FUND A-CLASS SEPTEMBER 30, 2006@ 26.11 (.10) (.37) (.47) -- -- -- March 31, 2006 24.48 (.07) 1.72 1.65 -- (.02) (.02) March 31, 2005* 23.44 .09 .95 1.04 -- (--)ss. (--)ss. RATIOS TO AVERAGE NET ASSETS: --------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------- LARGE-CAP VALUE FUND H-CLASS SEPTEMBER 30, 2006@ $ 1.25 $ 30.37 4.29% 1.52%** 0.96%** 278% $164,901 March 31, 2006 2.56 29.12 11.20% 1.49% 0.82% 1,054% 56,005 March 31, 2005 1.69 26.56 6.99% 1.47% 0.63% 747% 24,974 March 31, 2004* (.13) 24.87 (0.52)% 1.41%** 0.34%** 202% 8,094 SMALL-CAP GROWTH FUND A-CLASS SEPTEMBER 30, 2006@ (3.00) 29.25 (9.30)% 1.50%** (0.99)%** 203% 777 March 31, 2006 4.29 32.25 18.41% 1.47% (0.61)% 1,003% 943 March 31, 2005* 3.53 27.96 15.49% 1.43%** (0.74)%** 983% 76 SMALL-CAP GROWTH FUND C-CLASS SEPTEMBER 30, 2006@ (3.07) 28.75 (9.65)% 2.25%** (1.90)%** 203% 1,778 March 31, 2006 4.04 31.82 17.63% 2.27% (1.57)% 1,003% 5,972 March 31, 2005 2.45 27.78 10.68% 2.21% (1.58)% 983% 2,710 March 31, 2004* .33 25.33 1.32% 2.08%** (1.31)%** 117% 2,505 SMALL-CAP GROWTH FUND H-CLASS SEPTEMBER 30, 2006@ (3.00) 29.27 (9.30)% 1.49%** (1.05)%** 203% 30,338 March 31, 2006 4.30 32.27 18.44% 1.50% (0.73)% 1,003% 73,489 March 31, 2005 2.63 27.97 11.38% 1.46% (0.84)% 983% 26,145 March 31, 2004* .34 25.34 1.36% 1.41%** (0.85)%** 117% 2,544 MID-CAP GROWTH FUND A-CLASS SEPTEMBER 30, 2006@ (3.11) 28.83 (9.74)% 1.51%** (1.04)%** 213% 1,488 March 31, 2006 5.09 31.94 19.47% 1.48% (0.60)% 681% 1,530 March 31, 2005* 2.94 26.85 12.33% 1.46%** (0.58)%** 1,211% 553 MID-CAP GROWTH FUND C-CLASS SEPTEMBER 30, 2006@ (3.17) 28.30 (10.07)% 2.24%** (1.76)%** 213% 2,521 March 31, 2006 4.81 31.47 18.55% 2.26% (1.43)% 681% 3,305 March 31, 2005 1.51 26.66 6.04% 2.21% (1.43)% 1,211% 2,313 March 31, 2004* .15 25.15 0.60% 2.10%** (1.50)%** 356% 1,172 MID-CAP GROWTH FUND H-CLASS SEPTEMBER 30, 2006@ (3.10) 28.85 (9.70)% 1.49%** (1.05)%** 213% 15,872 March 31, 2006 5.09 31.95 19.46% 1.50% (0.63)% 681% 48,888 March 31, 2005 1.69 26.86 6.75% 1.46% (0.66)% 1,211% 23,733 March 31, 2004* .17 25.17 0.68% 1.41%** (0.75)%** 356% 625 LARGE-CAP GROWTH FUND A-CLASS SEPTEMBER 30, 2006@ (.47) 25.64 (1.80)% 1.53%** (0.77)%** 460% 1,589 March 31, 2006 1.63 26.11 6.76% 1.48% (0.29)% 1,276% 914 March 31, 2005* 1.04 24.48 4.45% 1.45%** 0.62%** 2,018% 74
* SINCE THE COMMENCEMENT OF OPERATIONS: FEBRUARY 20, 2004--LARGE CAP VALUE FUND H-CLASS, SMALL-CAP GROWTH FUND C-CLASS, SMALL-CAP GROWTH FUND H-CLASS, MID-CAP GROWTH FUND C-CLASS AND MID-CAP GROWTH FUND H-CLASS; SEPTEMBER 1, 2004--SMALL-CAP GROWTH FUND A-CLASS, MID-CAP GROWTH FUND A-CLASS AND LARGE-CAP GROWTH FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. ss. LESS THAN $.01 PER SHARE: LARGE-CAP VALUE FUND H-CLASS ACTUAL AMOUNT = $.0001; LARGE-CAP GROWTH FUND A-CLASS ACTUAL AMOUNT = $.0042. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. @ UNAUDITED. 116 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ---------------------------------------------------------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND C-CLASS SEPTEMBER 30, 2006@ $25.74 $ (.20) $ (.37) $ (.57) -- $ -- $ -- March 31, 2006 24.30 (.26) 1.72 1.46 -- (.02) (.02) March 31, 2005 24.18 (.01) .13 .12 -- (--)ss. (--)ss. March 31, 2004* 25.00 (.05) (.77) (.82) -- -- -- LARGE-CAP GROWTH FUND H-CLASS SEPTEMBER 30, 2006@ 26.11 (.10) (.37) (.47) -- -- -- March 31, 2006 24.49 (.05) 1.69 1.64 -- (.02) (.02) March 31, 2005 24.18 .37 (.06) .31 -- (--)ss. (--)ss. March 31, 2004* 25.00 -- (.82) (.82) -- -- -- DYNAMIC STRENGTHENING DOLLAR FUND A-CLASS SEPTEMBER 30, 2006@ 27.74 .44 (1.76) (1.32) -- -- -- March 31, 2006* 25.00 .50 2.37 2.87 (.13) -- (.13) DYNAMIC STRENGTHENING DOLLAR FUND C-CLASS SEPTEMBER 30, 2006 27.56 .34 (1.76) (1.42) -- -- -- March 31, 2006* 25.00 .36 2.33 2.69 (.13) -- (.13) DYNAMIC STRENGTHENING DOLLAR FUND H-CLASS SEPTEMBER 30, 2006 27.71 .44 (1.76) (1.32) -- -- -- March 31, 2006* 25.00 .51 2.33 2.84 (.13) -- (.13) DYNAMIC WEAKENING DOLLAR FUND A-CLASS SEPTEMBER 30, 2006@ 22.70 .43 1.25 1.68 -- -- -- March 31, 2006* 25.00 .51 (2.67) (2.16) (.14) -- (.14) DYNAMIC WEAKENING DOLLAR FUND C-CLASS SEPTEMBER 30, 2006@ 22.55 .33 1.25 1.58 -- -- -- March 31, 2006* 25.00 .34 (2.65) (2.31) (.14) -- (.14) DYNAMIC WEAKENING DOLLAR FUND H-CLASS SEPTEMBER 30, 2006@ 22.69 .43 1.25 1.68 -- -- -- March 31, 2006* 25.00 .49 (2.66) (2.17) (.14) -- (.14) RATIOS TO AVERAGE NET ASSETS: --------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------- LARGE-CAP GROWTH FUND C-CLASS SEPTEMBER 30, 2006@ $ (.57) $ 25.17 (2.21)% 2.30%** (1.59)%** 460% $ 14,098 March 31, 2006 1.44 25.74 6.03% 2.23% (1.04)% 1,276% 5,249 March 31, 2005 .12 24.30 0.51% 2.20% (0.06)% 2,018% 19,703 March 31, 2004* (.82) 24.18 (3.28)% 2.08%** (1.25)%** 296% -- LARGE-CAP GROWTH FUND H-CLASS SEPTEMBER 30, 2006@ (.47) 25.64 (1.80)% 1.54%** (0.79)%** 460% 64,441 March 31, 2006 1.62 26.11 6.71% 1.49% (0.19)% 1,276% 32,258 March 31, 2005 .31 24.49 1.30% 1.47% 1.52% 2,018% 11,762 March 31, 2004* (.82) 24.18 (3.28)% 1.41%** (0.16)%** 296% 793 DYNAMIC STRENGTHENING DOLLAR FUND A-CLASS SEPTEMBER 30, 2006@ (1.32) 26.42 (4.76)% 1.67%** 3.50%** -- 481 March 31, 2006* 2.74 27.74 11.47% 1.68%** 2.17%** -- 91 DYNAMIC STRENGTHENING DOLLAR FUND C-CLASS SEPTEMBER 30, 2006 (1.42) 26.14 (5.15)% 2.42%** 2.69%** -- 2,676 March 31, 2006* 2.56 27.56 10.75% 2.41%** 1.51%** -- 769 DYNAMIC STRENGTHENING DOLLAR FUND H-CLASS SEPTEMBER 30, 2006 (1.32) 26.39 (4.76)% 1.67%** 3.45%** -- 23,905 March 31, 2006* 2.71 27.71 11.35% 1.66%** 2.19%** -- 7,270 DYNAMIC WEAKENING DOLLAR FUND A-CLASS SEPTEMBER 30, 2006@ 1.68 24.38 7.40% 1.67%** 3.53%** -- 11,888 March 31, 2006* (2.30) 22.70 (8.65)% 1.70%** 2.66%** -- 2,989 DYNAMIC WEAKENING DOLLAR FUND C-CLASS SEPTEMBER 30, 2006@ 1.58 24.13 7.01% 2.42%** 2.74%** -- 13,363 March 31, 2006* (2.45) 22.55 (9.25)% 2.46%** 1.79%** -- 3,916 DYNAMIC WEAKENING DOLLAR FUND H-CLASS SEPTEMBER 30, 2006@ 1.68 24.37 7.40% 1.67%** 3.48%** -- 132,128 March 31, 2006* (2.31) 22.69 (8.69)% 1.68%** 2.53%** -- 51,710
* SINCE THE COMMENCEMENT OF OPERATIONS: FEBRUARY 20, 2004--LARGE-CAP GROWTH FUND C-CLASS AND LARGE-CAP GROWTH FUND H-CLASS; MAY 25, 2005--DYNAMIC WEAKENING DOLLAR FUND A-CLASS, DYNAMIC WEAKENING DOLLAR FUND C-CLASS, DYNAMIC WEAKENING DOLLAR FUND H-CLASS, DYNAMIC STRENGTHENING DOLLAR FUND A-CLASS, DYNAMIC STRENGTHENING DOLLAR FUND C-CLASS AND DYNAMIC STRENGTHENING DOLLAR FUND H-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ss. LESS THAN $.01 PER SHARE: LARGE-CAP GROWTH FUND C-CLASS AND H-CLASS ACTUAL AMOUNT = $.0042. @ UNAUDITED. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 117 FINANCIAL HIGHLIGHTS (CONCLUDED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED AND UNREALIZED NET ASSET NET GAINS (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT (LOSSES) IN NET ASSET FROM NET FROM NET BEGINNING INCOME ON VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT MONEY MARKET FUND INVESTOR CLASS SEPTEMBER 30, 2006@ $ 1.00 $.02 $ -- $ .02 $(.02) $ -- $(.02) March 31, 2006 1.00 .03 -- .03 (.03) -- (.03) March 31, 2005 1.00 .01 -- .01 (.01) -- (.01) March 31, 2004 1.00 --ss.ss. -- --ss.ss. (--)ss.ss. -- (--)ss.ss. March 31, 2003 1.00 .01 -- .01 (.01) -- (.01) March 31, 2002 1.00 .02 -- .02 (.02) -- (.02) U.S. GOVERNMENT MONEY MARKET FUND ADVISOR CLASS SEPTEMBER 30, 2006@ 1.00 .02 -- .02 (.02) -- (.02) March 31, 2006 1.00 .02 -- .02 (.02) -- (.02) March 31, 2005 1.00 --ss. -- --ss. (--)ss. -- (--)ss. March 31, 2004 1.00 --ss.ss. -- --ss.ss. (--)ss.ss. -- (--)ss.ss. March 31, 2003 1.00 --ss.ss.ss. -- --ss.ss.ss. (--)ss.ss.ss. -- (--)ss.ss.ss. March 31, 2002 1.00 .02 -- .02 (.02) -- (.02) U.S. GOVERNMENT MONEY MARKET FUND A-CLASS SEPTEMBER 30, 2006@ 1.00 .02 -- .02 (.02) -- (.02) March 31, 2006 1.00 .03 -- .03 (.03) -- (.03) March 31, 2005 1.00 .01 -- .01 (.01) -- (.01) March 31, 2004* 1.00 -- -- -- -- -- -- U.S. GOVERNMENT MONEY MARKET FUND C-CLASS SEPTEMBER 30, 2006@ 1.00 .02 -- .02 (.02) -- (.02) March 31, 2006 1.00 .02 -- .02 (.02) -- (.02) March 31, 2005 1.00 --ss. -- --ss. (--)ss. -- (--)ss. March 31, 2004 1.00 --ss.ss. -- --ss.ss. (--)ss.ss. -- (--)ss.ss. March 31, 2003 1.00 --ss.ss.ss. -- --ss.ss.ss. (--)ss.ss.ss. -- (--)ss.ss.ss. March 31, 2002 1.00 .01 -- .01 (.01) -- (.01) RATIOS TO AVERAGE NET ASSETS: --------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT MONEY MARKET FUND INVESTOR CLASS SEPTEMBER 30, 2006@ -- $ 1.00 2.04% 0.91%** 0.91%** 4.09%** -- $1,064,152 March 31, 2006 -- 1.00 2.79% 0.88% 0.88% 2.74% -- 975,088 March 31, 2005 -- 1.00 0.82% 0.87% 0.87% 0.81% -- 1,196,009 March 31, 2004 -- 1.00 0.18% 0.90% 0.90% 0.18% -- 1,057,062 March 31, 2003 -- 1.00 0.71% 0.92% 0.92% 0.71% -- 1,218,676 March 31, 2002 -- 1.00 2.35% 0.85% 0.85% 2.23% -- 979,433 U.S. GOVERNMENT MONEY MARKET FUND ADVISOR CLASS SEPTEMBER 30, 2006@ -- 1.00 1.79% 1.41%** 1.41%** 3.62%** -- 146,317 March 31, 2006 -- 1.00 2.28% 1.39% 1.39% 2.21% -- 151,828 March 31, 2005 -- 1.00 0.43% 1.38% 1.25% 0.39% -- 245,890 March 31, 2004 -- 1.00 0.01% 1.38% 1.08% 0.01% -- 249,599 March 31, 2003 -- 1.00 0.27% 1.41% 1.37% 0.32% -- 187,513 March 31, 2002 -- 1.00 1.84% 1.32% 1.32% 1.87% -- 371,356 U.S. GOVERNMENT MONEY MARKET FUND A-CLASS SEPTEMBER 30, 2006@ -- 1.00 1.92% 1.16%** 1.16%** 3.82%** -- 12,617 March 31, 2006 -- 1.00 2.51% 1.15% 1.15% 2.66% -- 14,324 March 31, 2005 -- 1.00 0.59% 1.10% 1.10% 0.93% -- 7,335 March 31, 2004* -- 1.00 0.00% 0.00%**# 0.00%**# 0.00%** -- 1 U.S. GOVERNMENT MONEY MARKET FUND C-CLASS SEPTEMBER 30, 2006@ -- 1.00 1.54% 1.91%** 1.91%** 3.09%** -- 113,419 March 31, 2006 -- 1.00 1.76% 1.89% 1.89% 1.72% -- 131,045 March 31, 2005 -- 1.00 0.19% 1.87% 1.51% 0.19% -- 155,668 March 31, 2004 -- 1.00 0.01% 1.90% 1.08% 0.01% -- 131,704 March 31, 2003 -- 1.00 0.08% 1.91% 1.50% 0.06% -- 201,745 March 31, 2002 -- 1.00 1.35% 1.80% 1.80% 1.13% -- 47,920
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 31, 2004--U.S. GOVERNMENT MONEY MARKET FUND A-CLASS. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. # EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. ss. LESS THAN $.01 PER SHARE: U.S. GOVERNMENT MONEY MARKET FUND ADVISOR CLASS ACTUAL AMOUNT = $.00433; U.S. GOVERNMENT MONEY MARKET FUND C-CLASS ACTUAL AMOUNT = $.00185. ss.ss. LESS THAN $.01 PER SHARE: U.S. GOVERNMENT MONEY MARKET FUND INVESTOR CLASS ACTUAL AMOUNT = $.0019; U.S. GOVERNMENT MONEY MARKET FUND ADVISOR CLASS ACTUAL AMOUNT = $.00005; U.S. GOVERNMENT MONEY MARKET FUND C-CLASS ACTUAL AMOUNT = $.00006. ss.ss.ss. LESS THAN $.01 PER SHARE: U.S. GOVERNMENT MONEY MARKET FUND ADVISOR CLASS ACTUAL AMOUNT = $.003; U.S. GOVERNMENT MONEY MARKET FUND C-CLASS ACTUAL AMOUNT = $.0006. @ UNAUDITED 118 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT MASTER-FEEDER ARRANGEMENT - -------------------------------------------------------------------------------- Nova Fund, Inverse S&P 500 Fund, Inverse OTC Fund and Inverse Government Long Bond Fund are operating under a `master-feeder arrangement'. Under a master-feeder arrangement, a Feeder Fund ("feeder") invests substantially all of its assets in the Master Portfolio ("master"), a separate open-ended investment company that has the same investment objectives as the feeder, e.g., the Nova Fund would act as a feeder, holding shares of the Nova Master Portfolio as its only investment. The Master Portfolio, in turn, invests in securities and derivatives to meet its investment objective. The following statements represent the Master Portfolios, which is the part of the master-feeder arrangement in which Feeder Funds invest. Please see Notes to Financial Statements for more information about the master-feeder arrangement. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 119 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2006 - --------------------------------------------------------------------------------
INVERSE INVERSE GOVERNMENT NOVA S&P 500 INVERSE OTC LONG BOND MASTER MASTER MASTER MASTER PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 6, and 9) $ 252,162,673 $ 524,875,151 $ 194,705,309 $ 1,589,419,935 Segregated Cash with Broker 4,295,472 1,782,900 975,000 2,811,993 Receivable for Short Sale -- -- -- 4,525,221 Receivable for Equity Index Swap Settlement (Note 1) 100,619 179,520 247,866 -- Receivable for Futures Contracts Settlement (Note 1) -- 72,165 24,375 98,361 Receivable for Fund Shares Purchased 123,656 608,148 2,780,705 1,772,323 Investment Income Receivable (Note 1) 217,370 92,615 79,325 496,816 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 256,899,790 527,610,499 198,812,580 1,599,124,649 ================================================================================================================================= LIABILITIES Short Sales at Market Value** (Notes 1 and 2) -- -- -- 683,518,367 Payable for Equity Index Swap Settlement (Note 1) 240,501 4,975,641 2,011,623 -- Payable for Futures Contracts Settlement (Note 1) 82,747 -- -- -- Payable upon Return of Securities Loaned (Note 9) 43,523,273 -- -- -- Payable for Securities Purchased (Note 1) 101,268 -- -- -- Investment Advisory Fees Payable (Note 4) 126,251 426,279 160,040 756,068 Custody Fees Payable 4,040 11,368 4,268 21,023 Interest Payable -- -- -- 4,187,982 - --------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 44,078,080 5,413,288 2,175,931 688,483,440 ================================================================================================================================= NET ASSETS $ 212,821,710 $ 522,197,211 $ 196,636,649 $ 910,641,209 ================================================================================================================================= NET ASSETS CONSIST OF Paid-In Capital 360,092,174 1,004,184,796 357,000,508 1,113,885,507 Undistributed Net Investment Income 1,591,656 11,788,159 4,437,522 26,324,479 Accumulated Net Realized Loss on Investments, Equity Index Swaps, and Futures Contracts (179,087,615) (488,530,834) (162,538,659) (244,711,613) Net Unrealized Appreciation (Depreciation) on Investments, Equity Index Swaps, and Futures Contracts 30,225,495 (5,244,910) (2,262,722) 15,142,836 ================================================================================================================================= NET ASSETS $ 212,821,710 $ 522,197,211 $ 196,636,649 $ 910,641,209 ================================================================================================================================= SHARES OUTSTANDING 3,874,314 9,770,197 3,518,801 26,269,986 NET ASSET VALUES $ 54.93 $ 53.45 $ 55.88 $ 34.66
* THE COST OF SECURITIES AT VALUE IS $222,405,388, $524,875,151, $194,705,309, AND $1,589,459,288, RESPECTIVELY. ** THE PROCEEDS OF SHORT SALES AT MARKET VALUE ARE $0, $0 $0, AND $704,718,709, RESPECTIVELY. See Notes to Financial Statements. 120 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT STATEMENTS OF OPERATIONS (UNAUDITED) Period Ended September 30, 2006 - --------------------------------------------------------------------------------
INVERSE INVERSE GOVERNMENT NOVA S&P 500 INVERSE OTC LONG BOND MASTER MASTER MASTER MASTER PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 853,897 $ 14,374,808 $ 5,433,091 $ 56,548,348 Interest from Securities Lending, net (Note 9) 9,387 -- -- -- Dividends (Note 1) 1,528,167 -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Total Income 2,391,451 14,374,808 5,433,091 56,548,348 - --------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 4) 775,575 2,520,788 970,234 5,886,695 Interest Expense -- -- -- 24,180,418 Custody Fees 24,220 65,861 25,335 154,079 Tax Expense -- -- -- 2,677 - --------------------------------------------------------------------------------------------------------------------------------- Total Expenses 799,795 2,586,649 995,569 30,223,869 - --------------------------------------------------------------------------------------------------------------------------------- Net Investment Income 1,591,656 11,788,159 4,437,522 26,324,479 ================================================================================================================================= REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 11,799,364 -- -- (143,526) Equity Index Swaps 1,479,423 (13,660,184) 2,333,569 -- Futures Contracts (708,967) (2,063,379) 2,009,819 21,012,127 Securities Sold Short -- -- -- 19,631,058 - --------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 12,569,820 (15,723,563) 4,343,388 40,499,659 - --------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities (8,626,291) -- -- 36,590 Equity Index Swaps (252,386) (2,723,394) 1,076,398 -- Futures Contracts (65,069) (618,479) 451,714 (31,268,568) Securities Sold Short -- -- -- (32,017,968) - --------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (8,943,746) (3,341,873) 1,528,112 (63,249,946) - --------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 3,626,074 (19,065,436) 5,871,500 (22,750,287) - --------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 5,217,730 $ (7,277,277) $ 10,309,022 $ 3,574,192 =================================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 121 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
NOVA MASTER INVERSE S&P 500 MASTER PORTFOLIO PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - --------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income $ 1,591,656 $ 4,148,818 $ 11,788,159 $ 12,325,304 Net Realized Gain (Loss) on Investments 12,569,820 27,423,468 (15,723,563) (31,152,100) Net Change in Unrealized Appreciation (Depreciation) on Investments (8,943,746) 9,550,148 (3,341,873) (10,404,747) - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 5,217,730 41,122,434 (7,277,277) (29,231,543) - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1) -- -- -- -- ================================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 138,376,403 530,645,270 427,928,557 474,543,851 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT -- -- -- -- COST OF SHARES REDEEMED (191,077,377) (607,131,473) (321,754,177) (440,278,711) ================================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (52,700,974) (76,486,203) 106,174,380 34,265,140 - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (47,483,244) (35,363,769) 98,897,103 5,033,597 NET ASSETS--BEGINNING OF PERIOD 260,304,954 295,668,723 423,300,108 418,266,511 ================================================================================================================================= NET ASSETS--END OF PERIOD $ 212,821,710 $ 260,304,954 $ 522,197,211 $ 423,300,108 ================================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME $ 1,591,656 $ -- $ 11,788,159 $ -- ================================================================================================================================= TRANSACTIONS IN SHARES Shares Purchased 2,653,087 10,948,780 7,706,370 8,493,346 Shares Purchased through Reinvestment -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Total Purchased 2,653,087 10,948,780 7,706,370 8,493,346 Shares Redeemed (3,706,166) (12,469,160) (5,846,419) (7,976,667) - --------------------------------------------------------------------------------------------------------------------------------- Net Shares Purchased (Redeemed) (1,053,079) (1,520,380) 1,859,951 516,679 =================================================================================================================================
+ UNAUDITED See Notes to Financial Statements. 122 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - --------------------------------------------------------------------------------
INVERSE GOVERNMENT INVERSE OTC MASTER LONG BOND MASTER PORTFOLIO PORTFOLIO - --------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED, YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - --------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income $ 4,437,522 $ 5,333,357 $ 26,324,479 $ 23,895,786 Net Realized Gain (Loss) on Investments 4,343,388 (22,704,125) 40,499,659 (62,129,671) Net Change in Unrealized Appreciation (Depreciation) on Investments 1,528,112 (7,198,414) (63,249,946) 59,476,597 - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 10,309,022 (24,569,182) 3,574,192 21,242,712 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1) -- -- -- -- ================================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED 231,140,117 373,733,950 133,527,770 325,637,967 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT -- -- -- -- COST OF SHARES REDEEMED (214,600,982) (416,124,510) (753,539,156) (1,595,394,561) ================================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 16,539,135 (42,390,560) (620,011,386) (1,269,756,594) - --------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 26,848,157 (66,959,742) (616,437,194) (1,248,513,882) NET ASSETS--BEGINNING OF PERIOD 169,788,492 236,748,234 1,527,078,403 2,775,592,285 ================================================================================================================================= NET ASSETS--END OF PERIOD $ 196,636,649 $ 169,788,492 $ 910,641,209 $ 1,527,078,403 ================================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME $ 4,437,522 $ -- $ 26,324,479 $ -- ================================================================================================================================= TRANSACTIONS IN SHARES Shares Purchased 3,996,106 6,714,992 3,610,099 10,007,468 Shares Purchased through Reinvestment -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Total Purchased 3,996,106 6,714,992 3,610,099 10,007,468 Shares Redeemed (3,701,985) (7,563,245) (20,917,912) (49,063,279) - --------------------------------------------------------------------------------------------------------------------------------- Net Shares Purchased (Redeemed) 294,121 (848,253) (17,307,813) (39,055,811) =================================================================================================================================
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 123 FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET INCREASE (DECREASE) IN NET NET REALIZED ASSET NET ASSET NET AND VALUE DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED RESULTING FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) FROM INVESTMENT REALIZED TOTAL OF PERIOD (LOSS) ON SECURITIES OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------- NOVA MASTER PORTFOLIO SEPTEMBER 30, 2006@ $52.83 $ .41 $ 1.69 $ 2.10 $ -- $ -- $ -- March 31, 2006 45.86 1.05 5.92 6.97 -- -- -- March 31, 2005 42.41 .66 2.79 3.45 (--)ss. -- (--)ss. March 31, 2004 27.42 .32 14.99 15.31 (.32) -- (.32) March 31, 2003 45.36 .31 (17.94) (17.63) (.31) -- (.31) March 31, 2002* 50.00 .34 (4.62) (4.28) (.36) -- (.36) INVERSE S&P 500 MASTER PORTFOLIO SEPTEMBER 30, 2006@ 53.51 1.21 (1.27) (0.06) -- -- -- March 31, 2006 56.57 1.56 (4.62) (3.06) -- -- -- March 31, 2005 59.44 .45 (3.32) (2.87) -- -- -- March 31, 2004 81.01 .06 (21.59) (21.53) (.04) -- (.04) March 31, 2003 64.57 .46 16.44 16.90 (.46) -- (.46) March 31, 2002 65.19 1.22 (.35) .87 (1.49) -- (1.49) INVERSE OTC MASTER PORTFOLIO SEPTEMBER 30, 2006@ 52.65 1.26 1.97 3.23 -- -- -- March 31, 2006 58.13 1.65 (7.13) (5.48) -- -- -- March 31, 2005 60.55 .37 (2.79) (2.42) -- -- -- March 31, 2004 88.73 (1.93) (26.25) (28.18) -- -- -- March 31, 2003 85.18 6.71 16.02 22.73 (19.18) -- (19.18) March 31, 2002 96.47 1.37 (8.93) (7.56) (3.73) -- (3.73) INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO SEPTEMBER 30, 2006@ 35.04 1.00 (1.38) (0.38) -- -- -- March 31, 2006 33.59 .55 .90 1.45 -- -- -- March 31, 2005 34.90 (.62) (.69) (1.31) -- -- -- March 31, 2004 37.35 (.61) (1.84) (2.45) -- -- -- March 31, 2003 46.25 (.41) (8.49) (8.90) -- -- -- March 31, 2002 45.39 .69 1.14 1.83 (.97) -- (.97) RATIOS TO AVERAGE NET ASSETS: ----------------------------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF IN NET END OF INVESTMENT GROSS NET OPERATING INCOME TURNOVER PERIOD (000'S ASSET VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSESf (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------------ NOVA MASTER PORTFOLIO SEPTEMBER 30, 2006@ $ 2.10 $54.93 3.97% 0.77%** 0.77%** 0.77%** 1.53%** 76% $ 212,822 March 31, 2006 6.97 52.83 15.20% 0.78% 0.78% 0.78% 1.40% 192% 260,305 March 31, 2005 3.45 45.86 8.14% 0.77% 0.77% 0.77% 1.26% 388% 295,669 March 31, 2004 14.99 42.41 55.84% 0.78% 0.78% 0.78% 0.81% 540% 266,248 March 31, 2003 (17.94) 27.42 (38.94)% 0.79% 0.79% 0.79% 0.91% 603% 170,793 March 31, 2002* (4.64) 45.36 (8.54)% 0.86%** 0.86%** 0.86%** 0.69%** 401% 291,992 INVERSE S&P 500 MASTER PORTFOLIO SEPTEMBER 30, 2006@ (0.06) 53.45 (0.11)% 0.92%** 0.92%** 0.92%** 4.20%** -- 522,197 March 31, 2006 (3.06) 53.51 (5.41)% 0.93% 0.93% 0.93% 2.74% -- 423,300 March 31, 2005 (2.87) 56.57 (4.83)% 0.92% 0.92% 0.92% 0.71% -- 418,267 March 31, 2004 (21.57) 59.44 (26.58)% 0.93% 0.93% 0.93% 0.09% -- 444,281 March 31, 2003 16.44 81.01 26.21% 0.94% 0.94% 0.94% 0.52% -- 529,062 March 31, 2002 (.62) 64.57 1.37% 0.94% 0.94% 0.94% 1.90% -- 228,485 INVERSE OTC MASTER PORTFOLIO SEPTEMBER 30, 2006@ 3.23 55.88 6.13% 0.92%** 0.92%** 0.92%** 4.10%** -- 196,637 March 31, 2006 (5.48) 52.65 (9.43)% 0.93% 0.93% 0.93% 2.67% -- 169,788 March 31, 2005 (2.42) 58.13 (4.00)% 0.92% 0.92% 0.92% 0.66% -- 236,748 March 31, 2004 (28.18) 60.55 (31.76)% 0.93% 0.93% 0.93% 0.10% -- 262,356 March 31, 2003 3.55 88.73 20.95% 0.94% 0.94% 0.94% 0.51% -- 149,147 March 31, 2002 (11.29) 85.18 (8.03)% 0.94% 0.94% 0.94% 1.63% -- 115,929 INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO SEPTEMBER 30, 2006@ (0.38) 34.66 (1.08)% 4.58%** 4.58%** 0.92%** 3.99%** 37% 910,641 March 31, 2006 1.45 35.04 4.32% 4.26% 4.26% 0.93% 1.18% 179% 1,527,078 March 31, 2005 (1.31) 33.59 (3.75)% 4.71% 4.71% 0.92% 1.93% 101% 2,775,592 March 31, 2004 (2.45) 34.90 (6.56)% 5.12%^ 5.12%^ 0.93% (3.39)% 187% 1,445,842 March 31, 2003 (8.90) 37.35 (19.24)% 5.18%^@ 5.18%^@ 0.94% (2.72)% -- 189,968 March 31, 2002 .86 46.25 4.12% 0.93% 0.93% 0.93% 1.61% -- 33,105
* SINCE THE COMMENCEMENT OF OPERATIONS: AUGUST 1, 2001-- NOVA MASTER PORTFOLIO. ** ANNUALIZED. *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. THE INVERSE S&P 500 MASTER PORTFOLIO AND THE INVERSE OTC MASTER PORTFOLIO TYPICALLY HOLD MOST OF THEIR INVESTMENTS IN OPTIONS AND FUTURES CONTRACTS WHICH ARE DEEMED SHORT-TERM SECURITIES. f OPERATING EXPENSES EXCLUDE INTEREST EXPENSE FROM SECURITIES SOLD. ss. LESS THAN $.01 PER SHARE: NOVA MASTER PORTFOLIO = $.00009 @ UNAUDITED ^ THE INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO HAS RESTATED ITS RATIOS OF GROSS AND NET EXPENSES TO AVERAGE NET ASSETS IN THE FINANCIAL HIGHLIGHTS IN ORDER TO REFLECT THE RECLASSIFICATION OF INTEREST EXPENSE FROM SECURITIES SOLD SHORT. THIS RESTATEMENT HAD NO EFFECT ON THE INVERSE GOVERNMENT LONG BOND MASTER PORTFOLIO'S NET ASSET VALUE, PER SHARE VALUE, NET INVESTMENT INCOME RATIOS AND TOTAL INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS DURING ANY PERIOD. 124 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES The Rydex Series Funds (the "Trust") is registered with the SEC under the Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended investment company, and is authorized to issue an unlimited number of no par value shares. The Trust offers five separate classes of shares, Investor Class Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if Shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the net asset value per share, with the exception of A-Class Shares. A-Class Shares are sold at net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount of your purchase, but will not exceed 4.75%. A-Class Share purchases of $1 million or more have a 1% CDSC if Shares are redeemed within 18 months of purchase. The current sales charge rates are as follows: SALES CHARGE SALES CHARGE AMOUNT OF AS % OF AS % OF NET INVESTMENT OFFERING PRICE AMOUNT INVESTED - -------------------------------------------------------------------------------- Less than $100,000 4.75% 4.99% $100,000 but less than $250,000 3.75% 3.90% $250,000 but less than $500,000 2.75% 2.83% $500,000 but less than $1,000,000 1.60% 1.63% $1,000,000 or greater 0.00% 0.00% At September 30, 2006, the Trust consisted of fifty-three separate series: twenty-six Benchmark Funds, one Money Market Fund, four Alternative Strategy Funds, and three Essential Portfolio Funds. This report covers the twenty-six Benchmark Funds and the Money Market Fund (the "Funds"), while the Sector Funds, the Alternative Strategy Funds, and the Essential Portfolio Funds are contained in separate reports. The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. Effective May 31, 2006, the Trust began calculating a net asset value per share ("NAV") twice each business day, first in the morning and again in the afternoon for the Russell 2000 Fund and the S&P 500 Fund. All other Funds in the Trust will price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m., Eastern Time, and the afternoon NAV is calculated at the close of the New York Stock Exchange ("NYSE"), usually 4:00 p.m., Eastern Time. The NAV is calculated using the current market value of each Fund's total assets as of the respective time of calculation. These financial statements are based on the September 30, 2006 afternoon NAV. B. All equity securities for the morning NAV are valued at the current sales price as of 10:45 a.m., Eastern Time, on the valuation date. Equity securities listed on an exchange (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., Eastern Time, on the valuation date for the afternoon NAV. Equity securities listed on the Nasdaq market system are valued at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. Over-the-Counter options held by the Trust are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the Trust are accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued as of 10:45 a.m., Eastern Time, on the valuation date for the morning pricing cycle. Financial futures contracts are valued at the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date for the afternoon NAV cycle. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities, if any, are valued at amortized cost, which approximates market value. The value of domestic equity index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at 10:45 a.m., Eastern Time, for the morning NAV, and at the close of the NYSE, usually 4:00 p.m., Eastern Time, for the afternoon NAV. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. The value of foreign equity index, commodity index, and currency index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE, usually 4:00 p.m., Eastern Time. In the event that no order is filled at 4:00 p.m., Eastern Time, the security dealer provides a fair value quote at which the swap agreement is valued. The swap's market value is then adjusted to include THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 125 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- dividends accrued, financing charges and/or interest associated with the swap agreements. Investments for which market quotations are not readily available are valued at fair value as determined in good faith by Rydex Investments (the "Advisor"), an affiliated entity under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets. The shares of the Master Portfolios held by the Feeder Funds are valued at their respective daily Net Asset Value. C. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. D. Net investment income is computed and dividends are declared daily in the Government Long Bond Advantage Fund and the U.S. Government Money Market Fund. Income dividends in these Funds are paid daily. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Benchmark Funds and distributions of net realized capital gains in all Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for items such as deferral of wash sales and post-October losses and regulated futures contracts and options. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. E. When a Fund engages in a short sale, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales. The Fund is exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the purchaser and records this as an expense. Short Dividends or Interest Expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. Currently, the Inverse Government Long Bond Master Portfolio is the only fund practicing the use of short sales. F. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security that the Fund purchases upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in the Trust's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). G. The Trust may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the 126 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- value of the contract at the time it was opened and the value at the time it was closed. H. The Trust may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index, commodity index, or U.S. Dollar index, in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index, commodity index, or U.S. Dollar index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. I. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates. J. The Trust may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, a Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts, as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statement of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statement of Operations. K. The Funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. L. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bancorp. Periodically, a Fund may have cash due to custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements. M. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the discount rates paid at the time of purchase by a Fund. Other securities bear interest at the rates shown, payable at fixed dates through maturity. N. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the Classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution fees relating to Advisor Class Shares, A-Class Shares and H-Class Shares and service and distribution fees related to C-Class Shares, are charged directly to specific Classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net asset value of each Fund included in the Trust. O. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. 2. FINANCIAL INSTRUMENTS As part of its investment strategy, the Trust may utilize a variety of derivative instruments, including options, futures, options on futures, swap agreements, and short sales. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties, which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or its affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by a Fund THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 127 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market. The use of equity swaps and commodity linked notes involves risks that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which a Fund sells a security it does not own. If the security the Fund sold short goes down in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund. The risks inherent in the use of options, futures contracts, options on futures contracts, swap agreements, as well as short sales of securities, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. 3. MASTER-FEEDER ARRANGEMENT Currently, the Nova Fund, the Inverse S&P 500 Fund, the Inverse Government Long Bond Fund, and the Inverse OTC Fund are operating under a "master-feeder arrangement." Under a master-feeder arrangement, a Fund invests substantially all of its assets in the Master Portfolio, a separate open-ended investment company that has the same investment objectives as the Fund, e.g., the Nova Fund would act as a "feeder fund, "holding shares of its Master Portfolio as its only investment. As a result, the Fund has an indirect interest in all of the securities owned by the Master Portfolio. Because of this indirect interest, the Fund's investment returns should be the same as those of the Master Portfolio, adjusted for Fund expenses. The financial statements of the Master Portfolios, including the Schedule of Investments, are included in this report and should be read in conjunction with the Funds' financial statements. The percentage of Nova Master Portfolio, Inverse S&P 500 Master Portfolio, Inverse OTC Master Portfolio, and Inverse Government Long Bond Master Portfolio owned by the Nova Fund, the Inverse S&P 500 Fund, the Inverse OTC Fund, and the Inverse Government Long Bond Fund, respectively, at September 30, 2006, was 100 percent. The Funds record their investments in the Master Portfolio at fair value. Valuation of securities held by the Master Portfolio is discussed in Note 1, Significant Accounting Policies. 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Under the terms of an investment advisory contract, the Trust pays the Advisor, an affiliated entity, investment advisory fees calculated at an annualized rate of 0.50% of the average daily net assets of the Government Long Bond Advantage Fund and the U.S. Government Money Market Fund; 0.75% of the average daily net assets of the S&P 500 Fund, the OTC Fund, the Russell 2000(R) Fund, the Small-Cap Value Fund, the Mid-Cap Value Fund, the Large-Cap Value Fund, the Small-Cap Growth Fund, the Mid-Cap Growth Fund, the Large-Cap Growth Fund, and the Nova Master Portfolio; and 0.90% of the average daily net assets of the Mid-Cap Advantage Fund, the Inverse Mid-Cap Fund, the Russell 2000(R) Advantage Fund, the Inverse Russell 2000(R) Fund, the 128 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- Europe Advantage Fund, the Japan Advantage Fund, the Dynamic Strengthening Dollar Fund, the Dynamic Weakening Dollar Fund, the Inverse S&P 500 Master Portfolio, the Inverse OTC Master Portfolio, and the Inverse Government Long Bond Master Portfolio. Certain officers and trustees of the Trust are also officers of the Advisor. Rydex Investments, an affiliated entity, provides transfer agent and administrative services to the Trust for fees calculated at an annualized rate of 0.20% of the average daily net assets of the Government Long Bond Advantage Fund and the U.S. Government Money Market Fund; and 0.25% of the average daily net assets of the Nova Fund, the S&P 500 Fund, the Inverse S&P 500 Fund, the OTC Fund, the Inverse OTC Fund, the Mid-Cap Advantage Fund, the Inverse Mid-Cap Fund, the Russell 2000(R) Advantage Fund, the Russell 2000(R) Fund, the Inverse Russell 2000(R) Fund, the Inverse Government Long Bond Fund, the Europe Advantage Fund, the Japan Advantage Fund, the Small-Cap Value Fund, the Mid-Cap Value Fund, the Large-Cap Value Fund, the Small-Cap Growth Fund, the Mid-Cap Growth Fund, and the Large-Cap Growth Fund, the Dynamic Strengthening Dollar Fund, and the Dynamic Weakening Dollar Fund. Rydex Investments also provides accounting services to the Trust calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of each of the Funds. Certain officers and trustees of the Trust are also officers of Rydex Investments. Rydex Investments also provides other necessary services to the Trust, such as accounting and auditing services, legal services, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets. The Trust has adopted a Distribution and Shareholder Services Plan applicable to Advisor Class Shares and a Distribution Plan applicable to A-Class Shares and H-Class Shares for which Rydex Distributors, Inc. (the "Distributor"), an affiliated entity, and other firms that provide distribution and/or shareholder services ("Service Providers") may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Distributor may, at its discretion, retain a portion of such payments to compensate itself for distribution services. With regard to Advisor Class Shares only, if a Service Provider provides shareholders services, the Distributor will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. The Distributor, in turn, will pay the Service Provider out of its fees. The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class Shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds' C-Class Shares average daily net assets. The annual 0.25% service fee compensates the shareholder's financial advisor for providing on-going services to the shareholder. The annual 0.75% distribution fee reimburses the Distributor for paying the shareholder's financial advisor an ongoing sales commission. The Distributor advances the first year's service and distribution fees to the Financial Advisor. The Distributor retains the service and distribution fees on accounts with no authorized dealer of record. Certain officers and trustees of the Trust are also officers of the Distributor. 5. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and will distribute all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision is required. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This includes net operating losses not utilized during the current period, net operating losses offset with short-term capital gains, capital loss carryforward expired, and the utilization of earnings and profits distributed to the shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 129 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined. At September 30, 2006, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
TAX TAX UNREALIZED TAX UNREALIZED NET UNREALIZED FUND COST GAIN LOSS GAIN (LOSS) - ---------------------------------------------------------------------------------------------------------------------- Nova Fund $ 201,983,042 $ 10,838,668 $ -- $ 10,838,668 S&P 500 Fund 11,742,929 338,109 (92,646) 245,463 Inverse S&P 500 Fund 539,578,702 -- (17,381,491) (17,381,491) OTC Fund 736,902,248 284,111,718 (10,926,556) 273,185,162 Inverse OTC Fund 205,717,131 -- (9,080,482) (9,080,482) Mid-Cap Advantage Fund 60,125,889 3,493,047 (1,327,845) 2,165,202 Inverse Mid-Cap Fund 51,030,908 -- (134,384) (134,384) Russell 2000(R) Advantage Fund 102,596,222 8,649,896 (1,962,158) 6,687,738 Russell 2000(R) Fund 10,361,935 306,113 (138,669) 167,444 Inverse Russell 2000(R) Fund 166,898,355 -- (174,937) (174,937) Government Long Bond Advantage Fund 154,725,142 10,622,955 -- 10,622,955 Inverse Government Long Bond Fund 888,479,350 22,161,859 -- 22,161,859 Europe Advantage Fund 87,880,640 3,523,533 (13,191) 3,510,342 Japan Advantage Fund 51,204,176 61,242 -- 61,242 Small-Cap Value Fund 63,704,153 4,013,272 (113,852) 3,899,420 Mid-Cap Value Fund 35,496,874 5,116,813 (36,910) 5,079,903 Large-Cap Value Fund 194,782,105 17,800,615 (126,711) 17,673,904 Small-Cap Growth Fund 38,559,051 3,753,978 (137,474) 3,616,504 Mid-Cap Growth Fund 22,666,313 2,148,202 (102,693) 2,045,509 Large-Cap Growth Fund 92,036,191 3,431,371 (100,210) 3,331,161 Dynamic Strengthening Dollar Fund 26,944,353 -- -- -- Dynamic Weakening Dollar Fund 163,470,429 -- -- -- U.S.Government Money Market Fund 1,358,655,751 -- -- -- Nova Master Portfolio 222,405,388 32,594,187 (2,194,276) 30,399,911 Inverse S&P 500 Master Portfolio 524,875,151 -- (849,310) (849,310) Inverse OTC Master Portfolio 194,705,309 -- (512,945) (512,945) Inverse Government Long Bond Master Portfolio 1,589,459,288 21,200,342 (6,057,506) 15,142,836
6. REPURCHASE AGREEMENTS The Funds transfer uninvested cash balances into a single joint account, along with uninvested cash balances of the Absolute Return Strategies Fund, the Hedged Equity Fund and the Multi-Cap Core Equity Fund (all included in the Trust, but contained in separate reports). The daily aggregate balance is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury. The collateral is in the possession of the Trust's custodian and is evaluated daily to ensure that its market value exceeds by, at a minimum, 102% of the delivery value of the repurchase agreement at maturity. The repurchase agreements executed by the joint account and outstanding as of September 30, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE MATURITY VALUE - ------------------------------------------------------------------------------------------------------------- Bear Stearns and Cos., Inc. 4.80% due 10/02/06 $ 600,000,000 $ 600,000,000 $ 600,240,000 Morgan Stanley 4.89% due 10/02/06 325,000,000 325,000,000 325,132,438 Credit Suisse First Boston 4.94% due 10/02/06 155,139,690 155,139,690 155,203,556 Mizuho 4.95% due 10/02/06 500,000,000 500,000,000 500,206,250 Lehman Brothers, Inc. 5.00% due 10/02/06 109,323,450 109,323,450 109,369,002 - ------------------------------------------------------------------------------------------------------------- $1,689,463,140 $1,690,151,246 =============================================================================================================
130 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- As of September 30, 2006, the collateral for the repurchase agreements in the joint account was as follows: SECURITY TYPE RANGE OF RATES PAR VALUE MARKET VALUE - -------------------------------------------------------------------------------- U. S. Treasury Bonds 6.750% - 8.500% $ 481,470,000 $ 633,622,428 U. S. Treasury Notes 0.875% - 7.500% 754,857,327 779,207,541 U. S. Treasury Bills 0.000% 320,160,000 315,602,626 - -------------------------------------------------------------------------------- $1,728,432,595 ================================================================================ In the event of counterparty default, the Trust has the right to collect the collateral to offset losses incurred. There is potential loss to the Trust in the event the Trust is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Trust seeks to assert its rights. The Trust's investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the credit worthiness of those banks and dealers with which the Trust enters into repurchase agreements to evaluate potential risks. 7. SECURITIES TRANSACTIONS During the period ended September 30, 2006, purchases and sales of investment securities, excluding short-term and temporary cash, were:
MID-CAP INVERSE RUSSELL 2000(R) INVERSE S&P 500 OTC ADVANTAGE MID-CAP ADVANTAGE RUSSELL 2000(R) RUSSELL 2000(R) FUND FUND FUND FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ Purchases $ 5,135,764 $ 329,646,298 $ 98,052,393 $ -- $ 87,016,389 $ 11,140,258 $ -- Sales $ 966,121 $ 516,795,115 $117,899,553 $ -- $ 158,176,409 $ 6,575,322 $ --
GOVERNMENT LONG BOND EUROPE JAPAN SMALL-CAP MID-CAP LARGE-CAP SMALL-CAP ADVANTAGE ADVANTAGE ADVANTAGE VALUE VALUE VALUE GROWTH FUND FUND FUND FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------------------ Purchases $1,030,333,160 $ 104,612,232 $ -- $192,068,904 $ 135,674,497 $ 478,470,366 $ 79,324,142 Sales $ 956,320,953 $ 95,521,734 $ -- $246,548,531 $ 143,899,453 $ 377,199,418 $ 123,144,406
U.S. INVERSE MID-CAP LARGE-CAP DYNAMIC DYNAMIC GOVERNMENT S&P 500 GROWTH GROWTH STRENGTHENING WEAKENING MONEY MARKET NOVA MASTER MASTER FUND FUND DOLLAR FUND DOLLAR FUND FUND PORTFOLIO PORTFOLIO - ------------------------------------------------------------------------------------------------------------------------------------ Purchases $ 55,938,874 $ 199,017,809 $ -- $ -- $ -- $ 134,076,826 $ -- Sales $ 85,958,213 $ 156,795,081 $ -- $ -- $ -- $ 198,133,480 $ --
INVERSE GOVERNMENT INVERSE OTC LONG BOND MASTER MASTER PORTFOLIO PORTFOLIO - ----------------------------------------------- Purchases $ -- $ 690,233,785 Sales $ -- $1,111,254,835 THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 131 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- 8. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the periods presented were:
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED - ------------------------------------------------------------------------------------------------------------------------------------ PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 2006+ 2006 - ------------------------------------------------------------------------------------------------------------------------------------ NOVA FUND Investor Class 6,330,730 27,152,702 -- 198,159 (7,491,999) (29,254,209) Advisor Class 3,799,199 10,544,111 -- 62,807 (3,896,300) (11,227,691) A-Class 248,788 1,254,655 -- 29,825 (654,039) (966,693) C-Class 1,148,682 2,803,550 -- 59,796 (1,414,825) (3,019,911) S&P 500 FUND* A-Class 37,093 -- -- -- (4,917) -- C-Class 198,150 -- -- -- (93,342) -- H-Class 1,755,261 -- -- -- (1,357,300) -- INVERSE S&P 500 FUND Investor Class 75,390,919 99,234,506 -- 516,815 (63,803,591) (96,365,464) Advisor Class 10,897,998 23,545,582 -- 64,349 (12,423,069) (22,632,096) A-Class 2,336,953 2,329,170 -- 14,976 (1,209,751) (2,061,619) C-Class 6,497,860 9,282,280 -- 72,163 (5,110,659) (9,486,705) OTC FUND Investor Class 35,117,928 104,021,968 -- 274,125 (51,040,482) (106,169,976) Advisor Class 13,380,926 22,564,826 -- 5,909 (11,367,864) (22,088,194) A-Class 219,549 267,199 -- 777 (260,109) (229,480) C-Class 2,928,319 6,809,523 -- 6,084 (3,407,869) (6,590,660) INVERSE OTC FUND Investor Class 16,347,487 28,974,138 -- 75,748 (16,282,661) (30,534,418) Advisor Class 2,160,388 2,091,015 -- 6,535 (1,938,416) (2,315,301) A-Class 623,475 240,974 -- 916 (410,753) (377,939) C-Class 1,475,183 2,673,747 -- 8,562 (1,221,425) (2,694,889) MID-CAP ADVANTAGE FUND A-Class 78,583 1,225,928 -- 858 (104,279) (1,136,471) C-Class 821,590 3,140,186 -- 6,064 (1,045,754) (2,980,481) H-Class 5,864,575 23,002,578 -- 19,563 (6,444,984) (23,615,838) INVERSE MID-CAP FUND A-Class 73,616 18,953 -- 33 (54,482) (16,014) C-Class 515,508 425,791 -- 733 (432,106) (418,213) H-Class 4,079,322 6,128,547 -- 3,464 (3,389,353) (6,316,570) NET SHARES PURCHASED (REDEEMED) - -------------------------------------------------------- PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 2006+ 2006 - -------------------------------------------------------- NOVA FUND Investor Class (1,161,269) (1,903,348) Advisor Class (97,101) (620,773) A-Class (405,251) 317,787 C-Class (266,143) (156,565) S&P 500 FUND* A-Class 32,176 -- C-Class 104,808 -- H-Class 397,961 -- INVERSE S&P 500 FUND Investor Class 11,587,328 3,385,857 Advisor Class (1,525,071) 977,835 A-Class 1,127,202 282,527 C-Class 1,387,201 (132,262) OTC FUND Investor Class (15,922,554) (1,873,883) Advisor Class 2,013,062 482,541 A-Class (40,560) 38,496 C-Class (479,550) 224,947 INVERSE OTC FUND Investor Class 64,826 (1,484,532) Advisor Class 221,972 (217,751) A-Class 212,722 (136,049) C-Class 253,758 (12,580) MID-CAP ADVANTAGE FUND A-Class (25,696) 90,315 C-Class (224,164) 165,769 H-Class (580,409) (593,697) INVERSE MID-CAP FUND A-Class 19,134 2,972 C-Class 83,402 8,311 H-Class 689,969 (184,559)
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006. + UNAUDITED 132 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) - --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED - ------------------------------------------------------------------------------------------------------------------------------------ PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 2006+ 2006 - ------------------------------------------------------------------------------------------------------------------------------------ RUSSELL 2000(R) FUND* A-Class 3,049 -- -- -- (1,736) -- C-Class 183,496 -- -- -- (47,084) -- H-Class 1,726,329 -- -- -- (1,475,465) -- RUSSELL 2000(R) ADVANTAGE FUND A-Class 46,158 968,950 -- -- (110,456) (908,381) C-Class 913,457 6,713,989 -- -- (1,049,225) (6,533,348) H-Class 16,929,313 76,175,310 -- -- (19,653,810) (74,076,435) INVERSE RUSSELL(R) 2000 FUND A-Class 788,877 325,078 -- 117 (124,163) (305,093) C-Class 895,720 1,263,716 -- 1,088 (538,846) (1,264,315) H-Class 13,885,636 17,407,229 -- 13,290 (12,136,068) (17,025,082) GOVERNMENT LONG BOND ADVANTAGE FUND Investor Class 45,757,080 59,457,465 128,690 109,680 (38,749,520) (58,757,354) Advisor Class 98,971,371 122,265,356 64,918 187,971 (98,522,309) (125,248,884) A-Class 1,082,799 464,474 3,322 1,681 (435,694) (476,866) C-Class 2,906,041 8,976,528 12,670 20,790 (2,238,215) (9,296,594) INVERSE GOVERNMENT LONG BOND FUND Investor Class 19,174,619 59,242,280 -- -- (35,327,183) (97,900,845) Advisor Class 3,364,940 16,377,556 -- -- (5,660,188) (23,629,643) A-Class 1,177,670 2,710,989 -- -- (2,753,381) (5,729,118) C-Class 1,651,231 7,953,295 -- -- (12,800,127) (28,457,063) EUROPE ADVANTAGE FUND A-Class 222,609 311,944 -- 1,109 (135,989) (254,924) C-Class 2,672,987 3,968,922 -- 3,854 (2,584,939) (3,865,661) H-Class 16,594,395 20,643,373 -- 32,731 (15,336,982) (22,054,304) JAPAN ADVANTAGE FUND A-Class 129,057 346,530 -- -- (93,575) (271,617) C-Class 627,538 1,114,445 -- -- (750,661) (901,210) H-Class 8,927,469 21,290,967 -- -- (10,647,070) (19,734,592) SMALL-CAP VALUE FUND A-Class 125,090 461,835 -- 61 (97,830) (477,200) C-Class 3,087,631 5,165,573 -- 2,036 (3,203,790) (5,028,538) H-Class 5,403,690 19,707,435 -- 26,163 (7,070,640) (19,347,221) MID-CAP VALUE FUND A-Class 101,210 134,847 -- 56 (105,529) (99,758) C-Class 273,658 2,981,901 -- 1,344 (329,969) (3,074,861) H-Class 5,190,080 19,573,476 -- 14,373 (5,418,755) (22,810,820) NET SHARES PURCHASED (REDEEMED) - -------------------------------------------------------- PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 2006+ 2006 - -------------------------------------------------------- RUSSELL 2000(R) FUND* A-Class 1,313 -- C-Class 136,412 -- H-Class 250,864 -- RUSSELL 2000(R) ADVANTAGE FUND A-Class (64,298) 60,569 C-Class (135,768) 180,641 H-Class (2,724,497) 2,098,875 INVERSE RUSSELL(R) 2000 FUND A-Class 664,714 20,102 C-Class 356,874 489 H-Class 1,749,568 395,437 GOVERNMENT LONG BOND ADVANTAGE FUND Investor Class 7,136,250 809,791 Advisor Class 513,980 (2,795,557) A-Class 650,427 (10,711) C-Class 680,496 (299,276) INVERSE GOVERNMENT LONG BOND FUND Investor Class (16,152,564) (38,658,565) Advisor Class (2,295,248) (7,252,087) A-Class (1,575,711) (3,018,129) C-Class (11,148,896) (20,503,768) EUROPE ADVANTAGE FUND A-Class 86,620 58,129 C-Class 88,048 107,115 H-Class 1,257,413 (1,378,200) JAPAN ADVANTAGE FUND A-Class 35,482 74,913 C-Class (123,123) 213,235 H-Class (1,719,601) 1,556,375 SMALL-CAP VALUE FUND A-Class 27,260 (15,304) C-Class (116,159) 139,071 H-Class (1,666,950) 386,377 MID-CAP VALUE FUND A-Class (4,319) 35,145 C-Class (56,311) (91,616) H-Class (228,675) (3,222,971)
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 31, 2006. + UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 133 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED - ------------------------------------------------------------------------------------------------------------------------------------ PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 2006+ 2006 - ------------------------------------------------------------------------------------------------------------------------------------ LARGE-CAP VALUE FUND A-Class 87,968 164,425 -- 85 (66,124) (147,956) C-Class 5,858,084 9,967,333 -- 3,170 (5,872,183) (9,994,750) H-Class 16,356,084 16,750,835 -- 21,477 (12,849,478) (15,788,889) SMALL-CAP GROWTH FUND A-Class 52,172 207,173 -- 293 (54,840) (180,958) C-Class 592,669 3,429,315 -- 3,741 (718,540) (3,342,935) H-Class 2,773,633 21,283,960 -- 58,880 (4,014,183) (20,000,689) MID-CAP GROWTH FUND A-Class 175,257 207,659 -- 100 (171,546) (180,462) C-Class 269,320 1,576,700 -- 1,056 (285,232) (1,559,525) H-Class 2,041,125 17,787,226 -- 19,515 (3,021,133) (17,160,129) LARGE-CAP GROWTH FUND A-Class 95,134 223,808 -- 15 (68,151) (191,834) C-Class 2,616,896 10,263,007 -- 1,158 (2,260,613) (10,871,227) H-Class 6,850,746 12,639,810 -- 1,540 (5,573,483) (11,886,023) DYNAMIC STRENGTHENING DOLLAR FUND A-Class 50,135 36,159* -- 18* (35,214) (32,880)* C-Class 439,639 318,610* -- 128* (365,196) (290,822)* H-Class 5,768,454 7,556,865* -- 1,500* (5,124,911) (7,296,012)* DYNAMIC WEAKENING DOLLAR FUND A-Class 721,031 172,682* -- 360* (365,031) (41,370)* C-Class 582,028 426,708* -- 564* (201,840) (253,580)* H-Class 12,061,588 8,784,802* -- 6,715* (8,919,623) (6,512,821)* U.S. GOVERNMENT MONEY MARKET FUND Investor Class 8,900,575,560 18,360,372,730 21,007,446 29,760,400 (8,832,518,729) (18,611,041,218) Advisor Class 1,629,617,865 2,927,374,399 3,810,033 3,987,174 (1,638,939,809) (3,025,421,814) A-Class 35,777,867 89,972,004 240,694 197,533 (37,725,702) (83,180,177) C-Class 846,475,229 2,268,195,734 1,784,511 2,403,366 (865,886,037) (2,295,221,007) NET SHARES PURCHASED (REDEEMED) - -------------------------------------------------------- PERIOD ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, 2006+ 2006 - ------------------------------------------------------- LARGE-CAP VALUE FUND A-Class 21,844 16,554 C-Class (14,099) (24,247) H-Class 3,506,606 983,423 SMALL-CAP GROWTH FUND A-Class (2,668) 26,508 C-Class (125,871) 90,121 H-Class (1,240,550) 1,342,151 MID-CAP GROWTH FUND A-Class 3,711 27,297 C-Class (15,912) 18,231 H-Class (980,008) 646,612 LARGE-CAP GROWTH FUND A-Class 26,983 31,989 C-Class 356,283 (607,062) H-Class 1,277,263 755,327 DYNAMIC STRENGTHENING DOLLAR FUND A-Class 14,921 3,297* C-Class 74,443 27,916* H-Class 643,543 262,353* DYNAMIC WEAKENING DOLLAR FUND A-Class 356,000 131,672* C-Class 380,188 173,692* H-Class 3,141,965 2,278,696* U.S. GOVERNMENT MONEY MARKET FUND Investor Class 89,064,277 (220,908,088) Advisor Class (5,511,911) (94,060,241) A-Class (1,707,141) 6,989,360 C-Class (17,626,297) (24,621,907)
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 25, 2005. + UNAUDITED 134 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 9. PORTFOLIO SECURITIES LOANED The Trust lends its securities to approved brokers to earn additional income. Security lending income shown on the statement of operations is shown net of rebates paid to borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Trust acts as the lender, U.S. Bancorp acts as the agent, and other approved registered broker dealers act as the borrowers. The Trust receives cash collateral, valued at 100% of the value of the securities on loan, which is initially held in a segregated account at U.S. Bancorp. As agent, U.S. Bancorp may, for investment purposes, pool the Trust's collateral in joint accounts with cash collateral from one or more other securities lending customers of U.S. Bancorp. Under the terms of the Trust's securities lending agreement with U.S. Bancorp, cash collateral may be invested by U.S. Bancorp in certain high quality, liquid investments. At September 30, 2006, the pooled cash collateral investments consisted of repurchase agreements (46.60%), commercial paper (34.12%), fixed income securities (15.48%), guaranteed investment contract (3.67%), and mutual funds (0.13%). Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Fund the next business day. Although the collateral mitigates risk, the Trust could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Trust has the right under the securities lending agreement to recover the securities from the borrower on demand. The following represents a breakdown of the collateral, its rates, and maturities.
COLLATERAL TYPE RATES MATURITY - ------------------------------------------------------------------------------------------------- Repurchase Agreements 5.350% - 5.445% 10/02/06 Commerical Paper 5.300% - 5.432% 10/02/06 - 10/30/06 Corporate Bonds, Notes, and Asset-Backed Securities 5.330% - 5.577% 10/11/06 - 03/06/33 Guaranteed Investment Contract 5.450% 11/24/06 Mutual Funds N/A N/A
At September 30, 2006, the following funds participated in securities lending and received cash collateral:
VALUE OF FUND CASH COLLATERAL SECURITIES LOANED - ------------------------------------------------------------------------------------------------- OTC Fund $256,156,878 $246,485,229 Mid-Cap Advantage Fund 8,682,175 8,330,025 Russell 2000(R) Advantage Fund 14,084,000 13,422,831 Small-Cap Value Fund 6,834,204 6,392,141 Mid-Cap Value Fund 9,506,220 9,119,911 Large-Cap Value Fund 41,932,704 40,182,009 Small-Cap Growth Fund 9,036,922 8,620,344 Mid-Cap Growth Fund 4,795,078 4,569,393 Large-Cap Growth Fund 15,146,000 14,634,171 U.S. Government Money Market Fund 140,000,000 138,910,000 Nova Master Portfolio 43,523,273 42,145,653
10. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM The Board has selected Ernst & Young LLP ("E&Y") to serve as the Funds' independent registered public accounting firm for the fiscal year ended March 31, 2007. The decision to select E&Y was recommended by the Audit Committee and was approved by the Board on September 25, 2006. During the Funds' fiscal years ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor anyone on their behalf consulted with E&Y on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds' financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of said Item 304). The selection of E&Y does not reflect any disagreements with or dissatisfaction by the Funds or the Board with the performance of the Funds' prior auditor, PricewaterhouseCoopers LLP ("PwC"). The decision to dismiss PwC effective upon its completion of its audits for the fiscal year ended March 31, 2006 and to select E&Y was recommended by the Funds' Audit Committee and approved by the Funds' Board of Trustees. PwC's report on the Funds' financial statements for the fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds' fiscal years ended March 31, 2006 THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 135 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- and March 31, 2005, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused it to make reference to the subject matter of the disagreements in connection with its report on the Funds' financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation SK under the Securities and Exchange Act of 1934, as amended. 136 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT OTHER INFORMATION (UNAUDITED) - -------------------------------------------------------------------------------- PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES INFORMATION The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Series Funds Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered Rydex Investments' investment processes and strategies, and matters related to Rydex Investments' portfolio THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 137 OTHER INFORMATION (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- transaction policies and procedures. In particular, the Board noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of a majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. 138 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT OTHER INFORMATION (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 139 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) - -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - -------------------------- ----------------------------- ---------------- CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II, Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund Services, Inc. and Rydex Distributors, Inc. (1997 to 2000) ----------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 132 Trustee, Vice President (1970) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors (2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex Distributors, Inc. (2003 to 2004) - -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - -------------------------- ----------------------------- ---------------- JOHN O. DEMARET Rydex Series Funds - 1997 125 Trustee, Chairman of the Rydex Variable Trust - 1998 Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired ----------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 125 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of Marketing/Co-Owner, Schield Management Company ----------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 125 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group ----------------------------- 140 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - -------------------------- ----------------------------- ---------------- WERNER E. KELLER Rydex Series Funds - 2005 125 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) ----------------------------- THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments ----------------------------- PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. ----------------------------- ROGER SOMERS Rydex Series Funds - 1993 125 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS - ------------------------------ ---------------------------------------- NICK BONOS* Chief Financial Officer of Rydex Vice President and Specialized Products, LLC (2005 to Treasurer (1963) present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Fund Services, Inc. (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Fund Services, Inc. (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Chief Compliance Officer Funds, Rydex Variable Trust, and Rydex and Secretary (1966) Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Fund Services, Inc. (2000 to present); Secretary of Rydex Capital Partners SphinX Fund (2003 to 2006) THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 141 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS - ------------------------------ ---------------------------------------- JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Fund Services, Inc. (2004 to present); Director of Accounting of Rydex Fund Services, Inc. (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Controller (1974) Variable Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Fund Services, Inc. (2001 to present) * OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST, WITHIN THE MEANING OF SECTION 2(A)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. 142 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- This page intentionally left blank. - -------------------------------------------------------------------------------- This page intentionally left blank. - -------------------------------------------------------------------------------- This page intentionally left blank. [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800-820-0888 RBENF-SEMI-0906 x0307 BANKING FUND BASIC MATERIALS FUND BIOTECHNOLOGY FUND COMMODITIES FUND CONSUMER PRODUCTS FUND ELECTRONICS FUND ENERGY FUND SEPTEMBER 30, 2006 RYDEX SERIES FUNDS SECTOR FUNDS SEMI-ANNUAL REPORT ENERGY SERVICES FUND FINANCIAL SERVICES FUND HEALTH CARE FUND INTERNET FUND LEISURE FUND PRECIOUS METALS FUND REAL ESTATE FUND RETAILING FUND TECHNOLOGY FUND TELECOMMUNICATIONS FUND TRANSPORTATION FUND UTILITIES FUND [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ................................................ 2 ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 3 FUND PROFILES ............................................................. 8 SCHEDULES OF INVESTMENTS .................................................. 18 STATEMENTS OF ASSETS AND LIABILITIES ...................................... 48 STATEMENTS OF OPERATIONS .................................................. 52 STATEMENTS OF CHANGES IN NET ASSETS ....................................... 56 FINANCIAL HIGHLIGHTS ...................................................... 62 NOTES TO FINANCIAL STATEMENTS ............................................. 74 OTHER INFORMATION ......................................................... 85 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 88 THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS - -------------------------------------------------------------------------------- DEAR SHAREHOLDER: Financial markets over the six-months ended September 30, 2006, were driven by a widely anticipated "soft-landing" in the U.S. economy. This "goldilocks" scenario had economic growth slowing, inflation and interest rates coming down and the Federal Reserve ("Fed") ending its protracted string of increases. In this environment, stocks rallied as corporate earnings continued to grow at double digit rates without competition from higher interest rates. The icing on the cake was relief from higher energy prices, which had risen relentlessly since 2005. While the rally in stocks was fairly broad-based, it definitely exhibited a defensive bias. Large caps, value stocks and traditionally defensive sectors generally outperformed small caps, growth stocks and more aggressive sectors. This pattern is perfectly in keeping with the "late cycle" nature of the stock market rally. Investors wanted to ride prices up, but wanted to hedge their bets at the same time. The large-cap nature of the rally was clearly evident in the performance of the major averages. The home of the country's industrial giants--the Dow Jones Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R), which returned 4.14%. If we look at the extremes of the capitalization spectrum, the large-cap bias becomes more evident as the Russell Top 50(TM) Index returned 7.13% for the six month period versus a loss of 4.61% for the small-cap Russell 2000(R) Index. In a defensive rally, investors are often wary of overpaying for stocks. That was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a 0.7% decline for the Russell 1000(R) Growth Index. Although developed market international stocks did well as the MSCI EAFE Index gained 3.2%, emerging market stocks fared poorly as the MSCI EM Index fell 1.2%. A major catalyst for the rally in stocks was the rally in bonds. While yields on the short end of the curve actually rose, longer dated maturities rallied with the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85% during the six-month period. The catalyst for falling rates was the decline in inflation and the Fed's pause from its extended interest rate increases. The result was a steeply inverted yield curve. Historically, inverted yield curves presage an economic slowdown or recession. While that remains a possibility, the decline in long-term rates also signals the market's anticipation of an eventual easing campaign by the Fed. The performance of stocks at the sector level highlighted the defensive bias towards the gains in stock prices over the past six months. The S&P 500 Utilities sector led the way with a gain of 10.2%. Although telecommunications services, a more aggressive sector, was number two with a gain of 8.1%, consumer staples and financials were the next best performers, gaining 7.5% and 6.5%, respectively. It is worth noting that falling interest rates also helped both financials and utilities. Sectors that typically perform well in a rapidly expanding economic environment, specifically materials, industrials and technology declined between 1.0% and 2.3% as the economy slowed. Going into the fourth quarter, we expect that Gross Domestic Product will pick up slightly, the Fed will remain on hold and equities will remain range-bound. As we head into 2007, we also see the appetite for risk continuing to decline. We appreciate the trust you have placed in our firm by investing with us. Sincerely, /s/ David C. Reilly David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) - -------------------------------------------------------------------------------- All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. As a shareholder of the fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund's gross income and reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2006 and ending September 30, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the "SEC") requires all mutual funds to calculate expenses based on the 5% return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are charged an annual $15 maintenance fee. Upon liquidating your retirement account, a $15 account-closing fee will be taken from the proceeds of your redemption. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by some of the Fund's classes. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for the past five years, in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------- TABLE 1. BASED ON ACTUAL FUND RETURN BANKING FUND Investor Class 1.37% $1,000.00 $1,034.10 $ 6.99 Advisor Class 1.88% 1,000.00 1,030.10 9.57 A-Class 1.64% 1,000.00 1,032.90 8.36 C-Class 2.38% 1,000.00 1,031.40 12.12 BASIC MATERIALS FUND Investor Class 1.36% 1,000.00 965.10 6.70 Advisor Class 1.86% 1,000.00 962.70 9.15 A-Class 1.63% 1,000.00 964.30 8.03 C-Class 2.37% 1,000.00 960.30 11.65 BIOTECHNOLOGY FUND Investor Class 1.36% 1,000.00 908.30 6.51 Advisor Class 1.84% 1,000.00 906.40 8.79 A-Class 1.59% 1,000.00 907.10 7.60 C-Class 2.33% 1,000.00 903.90 11.12 COMMODITIES FUND A-Class 1.27% 1,000.00 884.60 6.00 C-Class 1.98% 1,000.00 881.20 9.34 H-Class 1.24% 1,000.00 884.20 5.86 CONSUMER PRODUCTS FUND Investor Class 1.37% 1,000.00 1,082.50 7.15 Advisor Class 1.87% 1,000.00 1,079.80 9.75 A-Class 1.61% 1,000.00 1,081.10 8.40 C-Class 2.38% 1,000.00 1,077.20 12.39 ELECTRONICS FUND Investor Class 1.37% 1,000.00 903.10 6.54 Advisor Class 1.84% 1,000.00 899.80 8.76 A-Class 1.62% 1,000.00 902.50 7.73 C-Class 2.38% 1,000.00 898.90 11.33 ENERGY FUND Investor Class 1.36% 1,000.00 960.30 6.68 Advisor Class 1.86% 1,000.00 958.00 9.13 A-Class 1.62% 1,000.00 959.10 7.96 C-Class 2.36% 1,000.00 955.90 11.57 ENERGY SERVICES FUND Investor Class 1.36% 1,000.00 904.60 6.49 Advisor Class 1.84% 1,000.00 902.40 8.78 A-Class 1.61% 1,000.00 903.40 7.68 C-Class 2.35% 1,000.00 900.30 11.19 FINANCIAL SERVICES FUND Investor Class 1.37% 1,000.00 1,027.90 6.96 Advisor Class 1.88% 1,000.00 1,024.80 9.54 A-Class 1.60% 1,000.00 1,025.60 8.12 C-Class 2.37% 1,000.00 1,022.10 12.01
4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------- HEALTH CARE FUND Investor Class 1.36% $1,000.00 $1,002.80 $ 6.83 Advisor Class 1.87% 1,000.00 1,001.40 9.38 A-Class 1.58% 1,000.00 1,002.90 7.93 C-Class 2.35% 1,000.00 998.50 11.77 INTERNET FUND Investor Class 1.36% 1,000.00 929.60 6.58 Advisor Class 1.85% 1,000.00 927.60 8.94 A-Class 1.59% 1,000.00 929.10 7.69 C-Class 2.33% 1,000.00 925.80 11.25 LEISURE FUND Investor Class 1.37% 1,000.00 974.50 6.78 Advisor Class 1.88% 1,000.00 972.10 9.29 A-Class 1.64% 1,000.00 973.10 8.11 C-Class 2.38% 1,000.00 969.40 11.75 PRECIOUS METALS FUND Investor Class 1.25% 1,000.00 902.40 5.96 Advisor Class 1.76% 1,000.00 900.20 8.38 A-Class 1.51% 1,000.00 901.30 7.20 C-Class 2.25% 1,000.00 897.90 10.70 REAL ESTATE FUND A-Class 1.62% 1,000.00 1,049.10 8.32 C-Class 2.38% 1,000.00 1,044.80 12.20 H-Class 1.62% 1,000.00 1,048.00 8.32 RETAILING FUND Investor Class 1.38% 1,000.00 991.10 6.89 Advisor Class 1.87% 1,000.00 988.50 9.32 A-Class 1.64% 1,000.00 990.80 8.18 C-Class 2.37% 1,000.00 986.70 11.80 TECHNOLOGY FUND Investor Class 1.38% 1,000.00 952.20 6.75 Advisor Class 1.88% 1,000.00 949.70 9.19 A-Class 1.59% 1,000.00 950.60 7.77 C-Class 2.35% 1,000.00 947.50 11.47 TELECOMMUNICATIONS FUND Investor Class 1.35% 1,000.00 980.80 6.70 Advisor Class 1.78% 1,000.00 978.40 8.83 A-Class 1.35% 1,000.00 976.70 6.69 C-Class 2.29% 1,000.00 976.30 11.35 TRANSPORTATION FUND Investor Class 1.35% 1,000.00 936.00 6.55 Advisor Class 1.86% 1,000.00 933.80 9.02 A-Class 1.61% 1,000.00 934.50 7.81 C-Class 2.36% 1,000.00 931.10 11.42 UTILITIES FUND Investor Class 1.37% 1,000.00 1,095.60 7.20 Advisor Class 1.88% 1,000.00 1,092.60 9.86 A-Class 1.64% 1,000.00 1,094.30 8.61 C-Class 2.37% 1,000.00 1,090.10 12.42
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONTINUED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN BANKING FUND Investor Class 1.37% $1,000.00 $1,018.11 $ 6.95 Advisor Class 1.88% 1,000.00 1,015.52 9.54 A-Class 1.64% 1,000.00 1,016.74 8.33 C-Class 2.38% 1,000.00 1,012.99 12.08 BASIC MATERIALS FUND Investor Class 1.36% 1,000.00 1,018.16 6.90 Advisor Class 1.86% 1,000.00 1,015.63 9.44 A-Class 1.63% 1,000.00 1,016.79 8.27 C-Class 2.37% 1,000.00 1,013.04 12.03 BIOTECHNOLOGY FUND Investor Class 1.36% 1,000.00 1,018.16 6.90 Advisor Class 1.84% 1,000.00 1,015.73 9.34 A-Class 1.59% 1,000.00 1,017.00 8.07 C-Class 2.33% 1,000.00 1,013.24 11.83 COMMODITIES FUND A-Class 1.27% 1,000.00 1,018.62 6.45 C-Class 1.98% 1,000.00 1,015.02 10.05 H-Class 1.24% 1,000.00 1,018.77 6.29 CONSUMER PRODUCTS FUND Investor Class 1.37% 1,000.00 1,018.11 6.95 Advisor Class 1.87% 1,000.00 1,015.58 9.49 A-Class 1.61% 1,000.00 1,016.90 8.17 C-Class 2.38% 1,000.00 1,012.99 12.08 ELECTRONICS FUND Investor Class 1.37% 1,000.00 1,018.11 6.95 Advisor Class 1.84% 1,000.00 1,015.73 9.34 A-Class 1.62% 1,000.00 1,016.84 8.22 C-Class 2.38% 1,000.00 1,012.99 12.08 ENERGY FUND Investor Class 1.36% 1,000.00 1,018.16 6.90 Advisor Class 1.86% 1,000.00 1,015.63 9.44 A-Class 1.62% 1,000.00 1,016.84 8.22 C-Class 2.36% 1,000.00 1,013.09 11.98 ENERGY SERVICES FUND Investor Class 1.36% 1,000.00 1,018.16 6.90 Advisor Class 1.84% 1,000.00 1,015.73 9.34 A-Class 1.61% 1,000.00 1,016.90 8.17 C-Class 2.35% 1,000.00 1,013.14 11.93 FINANCIAL SERVICES FUND Investor Class 1.37% 1,000.00 1,018.11 6.95 Advisor Class 1.88% 1,000.00 1,015.52 9.54 A-Class 1.60% 1,000.00 1,016.95 8.12 C-Class 2.37% 1,000.00 1,013.04 12.03 HEALTH CARE FUND Investor Class 1.36% 1,000.00 1,018.16 6.90 Advisor Class 1.87% 1,000.00 1,015.58 9.49 A-Class 1.58% 1,000.00 1,017.05 8.02 C-Class 2.35% 1,000.00 1,013.14 11.93
6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------- INTERNET FUND Investor Class 1.36% $1,000.00 $1,018.16 $ 6.90 Advisor Class 1.85% 1,000.00 1,015.68 9.39 A-Class 1.59% 1,000.00 1,017.00 8.07 C-Class 2.33% 1,000.00 1,013.24 11.83 LEISURE FUND Investor Class 1.37% 1,000.00 1,018.11 6.95 Advisor Class 1.88% 1,000.00 1,015.52 9.54 A-Class 1.64% 1,000.00 1,016.74 8.33 C-Class 2.38% 1,000.00 1,012.99 12.08 PRECIOUS METALS FUND Investor Class 1.25% 1,000.00 1,018.72 6.35 Advisor Class 1.76% 1,000.00 1,016.13 8.93 A-Class 1.51% 1,000.00 1,017.40 7.67 C-Class 2.25% 1,000.00 1,013.65 11.42 REAL ESTATE FUND A-Class 1.62% 1,000.00 1,016.84 8.22 C-Class 2.38% 1,000.00 1,012.99 12.08 H-Class 1.62% 1,000.00 1,016.84 8.22 RETAILING FUND Investor Class 1.38% 1,000.00 1,018.06 7.01 Advisor Class 1.87% 1,000.00 1,015.58 9.49 A-Class 1.64% 1,000.00 1,016.74 8.33 C-Class 2.37% 1,000.00 1,013.04 12.03 TECHNOLOGY FUND Investor Class 1.38% 1,000.00 1,018.06 7.01 Advisor Class 1.88% 1,000.00 1,015.52 9.54 A-Class 1.59% 1,000.00 1,017.00 8.07 C-Class 2.35% 1,000.00 1,013.14 11.93 TELECOMMUNICATIONS FUND Investor Class 1.35% 1,000.00 1,018.22 6.85 Advisor Class 1.78% 1,000.00 1,016.03 9.04 A-Class 1.35% 1,000.00 1,018.22 6.85 C-Class 2.29% 1,000.00 1,013.44 11.63 TRANSPORTATION FUND Investor Class 1.35% 1,000.00 1,018.22 6.85 Advisor Class 1.86% 1,000.00 1,015.63 9.44 A-Class 1.61% 1,000.00 1,016.90 8.17 C-Class 2.36% 1,000.00 1,013.09 11.98 UTILITIES FUND Investor Class 1.37% 1,000.00 1,018.11 6.95 Advisor Class 1.88% 1,000.00 1,015.52 9.54 A-Class 1.64% 1,000.00 1,016.74 8.33 C-Class 2.37% 1,000.00 1,013.04 12.03
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. + ANNUALIZED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7 FUND PROFILES (UNAUDITED) - -------------------------------------------------------------------------------- BANKING FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings-and-loan institutions. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] BANKING FUND Commercial Banks 62% Thrifts & Mortgage Finance 28% Diversified Financial Services 10% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class April 1, 1998 A-Class September 1, 2004 C-Class March 30, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- J.P. Morgan Chase & Co. 4.8% Bank of America Corp. 4.7% Wells Fargo & Co. 4.2% Wachovia Corp. 3.5% Fannie Mae 2.9% U.S. Bancorp 2.9% Freddie Mac 2.6% Washington Mutual, Inc. 2.4% SunTrust Banks, Inc. 2.0% Golden West Financial Corp. 1.8% - -------------------------------------------------------- Top Ten Total 31.8% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. BASIC MATERIALS FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the mining, manufacture or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] BASIC MATERIALS FUND Chemicals 48% Metals & Mining 26% Containers & Packaging 12% Paper & Forest Products 9% Other 5% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class April 14, 1998 A-Class September 1, 2004 C-Class May 3, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- E.I. du Pont de Nemours and Co. 3.4% Dow Chemical Co. 3.3% Monsanto Co. 2.8% Alcoa, Inc. 2.5% Praxair, Inc. 2.4% International Paper Co. 2.3% Phelps Dodge Corp. 2.3% Air Products & Chemicals, Inc. 2.1% Weyerhaeuser Co. 2.1% Newmont Mining Corp. 2.0% - -------------------------------------------------------- Top Ten Total 25.2% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- BIOTECHNOLOGY FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or biological engineering and in the design, manufacture or sale of related biotechnology products or services. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] BIOTECHNOLOGY FUND Biotechnology 90% Life Sciences Tools & Services 10% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class April 1, 1998 A-Class September 1, 2004 C-Class March 30, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Amgen, Inc. 10.7% Genentech, Inc. 10.4% Gilead Sciences, Inc. 6.8% Genzyme Corp. 4.9% Biogen Idec, Inc. 4.3% Celgene Corp. 4.1% Medimmune, Inc. 3.2% Amylin Pharmaceuticals, Inc. 2.4% Cephalon, Inc. 2.2% Charles River Laboratories International, Inc. 2.2% - -------------------------------------------------------- Top Ten Total 51.2% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. COMMODITIES FUND OBJECTIVE: Seeks to provide investment results that correlate to the performance of a benchmark for commodities. The Funds' current benchmark is the GSCI Total Return Index. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] COMMODITIES FUND Exchange Traded Funds 18% Commodity Linked Securities 82% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class May 25, 2005 C-Class May 25, 2005 H-Class May 25, 2005 The Fund invests principally in derivative investments; such as commodity linked notes, futures contracts, and options on index futures. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] CONSUMER PRODUCTS FUND Food Products 35% Beverages 21% Household Products 16% Tobacco 11% Food & Staples Retailing 11% Personal Products 6% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class July 6, 1998 Advisor Class August 17, 1998 A-Class September 1, 2004 C-Class July 24, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Procter & Gamble Co. 7.1% Altria Group, Inc. 6.0% PepsiCo, Inc. 5.1% Coca-Cola Co. 4.9% Kraft Foods, Inc. -- Class A 3.9% Anheuser-Busch Cos., Inc. 2.9% Colgate-Palmolive Co. 2.7% Kimberly-Clark Corp. 2.6% Archer-Daniels-Midland Co. 2.2% Sysco Corp. 2.2% - -------------------------------------------------------- Top Ten Total 39.6% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. ELECTRONICS FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] ELECTRONICS FUND Semiconductors & Semiconductor Equipment 100% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class April 2, 1998 A-Class September 1, 2004 C-Class March 26, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Intel Corp. 9.5% Texas Instruments, Inc. 6.3% Applied Materials, Inc. 4.6% Micron Technology, Inc. 3.2% Nvidia Corp. 3.2% Broadcom Corp. -- Class A 3.2% Freescale Semiconductor, Inc. -- Class B 3.0% Advanced Micro Devices, Inc. 2.9% Analog Devices, Inc. 2.6% KLA-Tencor Corp. 2.6% - -------------------------------------------------------- Top Ten Total 41.1% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- ENERGY FUND OBJECTIVE: Seeks capital appreciation by investing in companies involved in the energy field, including the exploration, production and development of oil, gas, coal and alternative sources of energy. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] ENERGY FUND Oil, Gas & Consumable Fuels 70% Energy Equipment & Services 30% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 21, 1998 Advisor Class May 5, 1998 A-Class September 1, 2004 C-Class April 19, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Exxon Mobil Corp. 7.6% BP PLC -- SP ADR 5.1% Total SA -- SP ADR 4.6% Chevron Corp. 4.4% Royal Dutch Shell PLC -- SP ADR 4.0% ConocoPhillips 3.4% Schlumberge, Ltd. 3.0% Repsol YPF SA -- SP ADR 2.2% Occidental Petroleum Corp. 2.2% Devon Energy Corp. 1.9% - -------------------------------------------------------- Top Ten Total 38.4% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. ENERGY SERVICES FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal and gas exploration and production. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] ENERGY SERVICES FUND Energy Equipment & Services 100% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class April 2, 1998 A-Class September 1, 2004 C-Class March 30, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Schlumberger, Ltd. 10.1% Halliburton Co. 5.7% Transocean, Inc. 5.6% Baker Hughes, Inc. 5.3% Weatherford International Ltd. 4.2% National - Oilwell Varco, Inc. 3.7% Nabors Industries Ltd. 3.4% Diamond Offshore Drilling, Inc. 3.4% BJ Services Co. 3.4% Noble Corp. 3.3% - -------------------------------------------------------- Top Ten Total 48.1% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the financial services sector. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] FINANCIAL SERVICES FUND Insurance 22% Commercial Banks 22% Real Estate Investment Trusts 17% Capital Markets 16% Thrifts & Mortgage Finance 9% Diversified Financial Services 9% Other 5% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 2, 1998 Advisor Class April 6, 1998 A-Class September 1, 2004 C-Class April 19, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Bank of America Corp. 2.0% Citigroup, Inc. 1.8% J.P. Morgan Chase & Co. 1.7% American International Group, Inc. 1.6% Wells Fargo & Co. 1.4% Wachovia Corp. 1.2% Goldman Sachs Group, Inc. 1.2% Morgan Stanley 1.2% Merrill Lynch & Co., Inc. 1.2% Fannie Mae 1.1% - -------------------------------------------------------- Top Ten Total 14.4% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. HEALTH CARE FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the health care industry. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] HEALTH CARE FUND Pharmaceuticals 36% Health Care Providers & Services 25% Health Care Equipment & Supplies 19% Biotechnology 14% Other 6% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 17, 1998 Advisor Class May 11, 1998 A-Class September 1, 2004 C-Class March 30, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Pfizer, Inc. 6.9% Johnson & Johnson, Inc. 6.3% Merck & Co., Inc. 3.7% Genentech, Inc. 3.4% Amgen, Inc. 3.4% Abbott Laboratories 3.1% Wyeth 3.0% UnitedHealth Group, Inc. 2.9% Eli Lilly & Co. 2.8% Medtronic, Inc. 2.4% - -------------------------------------------------------- Top Ten Total 37.9% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- INTERNET FUND OBJECTIVE: Seeks capital appreciation by investing in companies that provide products or services designed for or related to the Internet. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] INTERNET FUND Internet Software & Services 27% Communications Equipment 25% Software 16% Internet & Catalog Retail 7% Media 7% Other 18% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 6, 2000 Advisor Class April 6, 2000 A-Class September 1, 2004 C-Class April 19, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Cisco Systems, Inc. 9.8% Google, Inc. -- Class A 7.1% Time Warner, Inc. 6.8% Qualcomm, Inc. 5.7% eBay, Inc. 4.7% Symantec Corp. 4.2% Research In Motion Ltd. 4.0% Yahoo!, Inc. 4.0% Sun Microsystems, Inc. 3.5% Qwest Communications International, Inc. 3.2% - -------------------------------------------------------- Top Ten Total 53.0% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. LEISURE FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in leisure and entertainment businesses. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] LEISURE FUND Hotels, Restaurants & Leisure 62% Media 21% Leisure Equipment & Products 11% Software 6% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class June 3, 1998 A-Class September 1, 2004 C-Class May 3, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Time Warner, Inc. 5.5% Walt Disney Co. 5.1% McDonald's Corp. 4.6% News Corp. -- Class A 4.0% Carnival Corp. 3.5% Viacom Inc. -- Class B 3.1% Starbucks Corp. 3.0% Electronic Arts, Inc. 2.9% Las Vegas Sands Corp. 2.8% Marriott International Inc. -- Class A 2.5% - -------------------------------------------------------- Top Ten Total 37.0% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- PRECIOUS METALS FUND OBJECTIVE: To provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals-related services. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] PRECIOUS METALS FUND Metals & Mining 100% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class December 1, 1993 Advisor Class August 1, 2003 A-Class September 1, 2004 C-Class April 27, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Freeport-McMoRan Copper & Gold, Inc. -- Class B 9.5% Newmont Mining Corp. 9.0% Barrick Gold Corp. 7.2% Goldcorp, Inc. 6.6% Glamis Gold Ltd. 5.3% Agnico-Eagle Mines Ltd. 4.3% Coeur d'Alene Mines Corp. 4.1% AngloGold Ashanti Ltd. -- SP ADR 4.0% Pan American Silver Corp. 4.0% Gold Fields Ltd. -- SP ADR 3.6% - -------------------------------------------------------- Top Ten Total 57.6% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. REAL ESTATE FUND OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry including real estate investment trusts ("REITs"). INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] REAL ESTATE FUND Real Estate Investment Trusts 96% Other 4% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- A-Class September 1, 2004 C-Class February 20, 2004 H-Class February 20, 2004 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Public Storage, Inc. 2.9% Simon Property Group, Inc. 2.5% Vornado Realty Trust 2.2% Equity Residential 2.2% Equity Office Properties Trust 2.1% ProLogis 2.1% Boston Properties, Inc. 1.9% Host Hotels & Resorts, Inc. 1.9% Archstone-Smith Trust 1.9% General Growth Properties, Inc. 1.9% - -------------------------------------------------------- Top Ten Total 21.6% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- RETAILING FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, restaurant franchises, mail-order operations and other companies involved in selling products to consumers. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] RETAILING FUND Specialty Retail 55% Multiline Retail 19% Food & Staples Retailing 16% Internet & Catalog Retail 8% Other 2% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class April 21, 1998 A-Class September 1, 2004 C-Class May 9, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Wal-Mart Stores, Inc. 6.3% Home Depot, Inc. 3.8% Target Corp. 3.2% Walgreen Co. 2.9% Lowe's Cos., Inc. 2.7% Federated Department Stores, Inc. 2.3% CVS Corp. 2.3% Best Buy Co., Inc. 2.2% Sears Holdings Corp. 2.2% Kohl's Corp. 2.1% - -------------------------------------------------------- Top Ten Total 30.0% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. TECHNOLOGY FUND OBJECTIVE: Seeks capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] TECHNOLOGY FUND Semiconductors & Semiconductor Equipment 21% Software 21% Communications Equipment 14% Computers & Peripherals 13% IT Services 13% Electronic Equipment & Instruments 11% Internet Software & Services 6% Other 1% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 14, 1998 Advisor Class April 29, 1998 A-Class September 1, 2004 C-Class April 18, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Microsoft Corp. 3.2% Cisco Systems, Inc. 2.2% International Business Machines Corp. 2.0% Intel Corp. 2.0% Hewlett-Packard Co. 1.9% Oracle Corp. 1.9% Apple Computer, Inc. 1.6% Google, Inc. -- Class A 1.6% Motorola, Inc. 1.5% Texas Instruments, Inc. 1.3% - -------------------------------------------------------- Top Ten Total 19.2% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15 FUND PROFILES (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- TELECOMMUNICATIONS FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in the development, manufacture or sale of communications services or communications equipment. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] TELECOMMUNICATIONS FUND Communications Equipment 52% Diversified Telecommunication Services 27% Wireless Telecommunication Services 20% Other 1% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 1, 1998 Advisor Class April 1, 1998 A-Class September 1, 2004 C-Class April 18, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Cisco Systems, Inc. 6.7% AT&T, Inc. 6.4% Verizon Communications, Inc. 5.7% Vodafone Group PLC -- SP ADR 5.6% BellSouth Corp. 5.0% Nokia OYJ -- SP ADR 4.6% Motorola, Inc. 4.6% Qualcomm, Inc. 3.9% Telefonaktiebolaget LM Ericsson -- SP ADR 3.8% Sprint Nextel Corp. 3.4% - -------------------------------------------------------- Top Ten Total 49.7% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. TRANSPORTATION FUND OBJECTIVE: Seeks capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution or sale of transportation equipment. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] TRANSPORTATION FUND Road & Rail 47% Air Freight & Logistics 28% Airlines 22% Other 3% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 2, 1998 Advisor Class June 9, 1998 A-Class September 1, 2004 C-Class May 14, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- United Parcel Service, Inc. -- Class B 8.7% FedEx Corp. 7.6% Burlington Northern Santa Fe Corp. 6.8% Union Pacific Corp. 6.4% Norfolk Southern Corp. 5.3% Southwest Airlines Co. 5.0% CSX Corp. 5.0% Expeditors International Washington, Inc. 3.7% CH Robinson Worldwide, Inc. 3.5% AMR Corp. 2.8% - -------------------------------------------------------- Top Ten Total 54.8% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- UTILITIES FUND OBJECTIVE: Seeks capital appreciation by investing in companies that operate public utilities. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) - -------------------------------------------------------------------------------- [THE FOLLOWING TABLE WAS REPRESENTED AS A PIE CHART IN THE PRINTED MATERIAL.] UTILITIES FUND Multi-Utilities 37% Electric Utilities 36% Gas Utilities 15% Independent Power Producers & Energy Traders 11% Other 1% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------- Investor Class April 3, 2000 Advisor Class April 3, 2000 A-Class September 1, 2004 C-Class April 27, 2001 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------- Exelon Corp. 3.5% TXU Corp. 2.9% Duke Energy Corp. 2.9% Southern Co. 2.8% Dominion Resources, Inc. 2.8% FPL Group, Inc. 2.4% FirstEnergy Corp. 2.3% Entergy Corp. 2.3% PG&E Corp. 2.1% American Electric Power Co., Inc. 2.1% - -------------------------------------------------------- Top Ten Total 26.1% - -------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- BANKING FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.0% J.P. Morgan Chase & Co.+ 11,005 $ 516,795 Bank of America Corp. 9,502 509,022 Wells Fargo & Co. 12,372 447,619 Wachovia Corp.+ 6,768 377,654 Fannie Mae 5,614 313,879 U.S. Bancorp+ 9,373 311,371 Freddie Mac 4,281 283,959 Washington Mutual, Inc.+ 5,873 255,299 SunTrust Banks, Inc. 2,750 212,520 Golden West Financial Corp. 2,557 197,528 BB&T Corp. 4,460 195,259 National City Corp.+ 5,168 189,149 Countrywide Financial Corp.+ 5,344 187,254 PNC Financial Services Group, Inc. 2,560 185,446 Fifth Third Bancorp+ 4,728 180,042 Regions Financial Corp.+ 4,437 163,237 KeyCorp+ 4,136 154,852 North Fork Bancorporation, Inc. 5,182 148,412 M&T Bank Corp.+ 1,196 143,472 Marshall & Ilsley Corp.+ 2,951 142,179 Sovereign Bancorp, Inc.+ 5,999 129,039 AmSouth Bancorp 4,311 125,191 Synovus Financial Corp. 4,211 123,677 Comerica, Inc. 2,114 120,329 UnionBanCal Corp. 1,922 117,050 Zions Bancorporation 1,429 114,049 Hudson City Bancorp, Inc. 8,356 110,717 Commerce Bancorp, Inc.+ 2,964 108,808 Compass Bancshares, Inc. 1,871 106,610 TD Banknorth, Inc.+ 3,577 103,304 People's Bank 2,474 97,995 Huntington Bancshares, Inc. 3,966 94,906 Popular, Inc. 4,876 94,789 MGIC Investment Corp.+ 1,538 92,234 New York Community Bancorp, Inc.+ 5,324 87,207 Radian Group, Inc.+ 1,448 86,880 Associated Banc-Corp. 2,580 83,850 Mercantile Bankshares Corp. 2,307 83,675 First Horizon National Corp. 2,177 82,748 PMI Group, Inc.+ 1,808 79,208 Colonial BancGroup, Inc. 3,080 75,460 BOK Financial Corp. 1,417 74,534 Commerce Bancshares, Inc. 1,450 73,327 TCF Financial Corp. 2,756 72,455 City National Corp. 1,072 71,888 Cullen/Frost Bankers, Inc. 1,232 71,234 Astoria Financial Corp. 2,295 70,732 Wilmington Trust Corp. 1,571 69,988 Valley National Bancorp 2,677 68,451 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- IndyMac Bancorp, Inc. 1,615 $ 66,473 Fulton Financial Corp. 4,087 66,169 Sky Financial Group, Inc. 2,640 65,736 Capital Federal Financial+ 1,846 65,644 Webster Financial Corp. 1,326 62,468 East-West Bancorp, Inc. 1,560 61,792 Whitney Holding Corp. 1,723 61,632 Bank of Hawaii Corp. 1,269 61,115 Texas Regional Bancshares, Inc. -- Class A 1,518 58,367 First Midwest Bancorp, Inc.+ 1,484 56,229 Washington Federal, Inc. 2,485 55,763 Downey Financial Corp.+ 837 55,694 International Bancshares Corp. 1,868 55,442 South Financial Group, Inc. 2,115 55,053 FirstMerit Corp.+ 2,359 54,658 Cathay General Bancorp 1,485 53,609 Umpqua Holding Corp. 1,865 53,339 First Niagara Financial Group, Inc. 3,528 51,438 UCBH Holdings, Inc.+ 2,940 51,332 Westamerica Bancorporation 1,005 50,763 SVB Financial Group*+ 1,105 49,327 United Bankshares, Inc. 1,325 49,317 NewAlliance Bancshares, Inc.+ 3,296 48,286 Greater Bay Bancorp+ 1,688 47,618 MAF Bancorp, Inc. 1,125 46,451 Chittenden Corp. 1,603 45,990 Wintrust Financial Corp. 905 45,386 Susquehanna Bancshares, Inc. 1,825 44,603 Glacier Bancorp, Inc. 1,264 43,191 Provident Bankshares Corp. 1,165 43,163 Central Pacific Financial Corp.+ 1,160 42,433 Sterling Financial Corp. 1,301 42,191 Boston Private Financial Holdings, Inc.+ 1,507 42,015 First Bancorp Puerto Rico+ 3,767 41,663 First Republic Bank 975 41,496 W Holding Co., Inc.+ 7,000 41,370 Prosperity Bancshares, Inc.+ 1,215 41,359 Harbor Florida Bancshares, Inc. 930 41,208 Republic Bancorp, Inc.+ 3,053 40,697 Hanmi Financial Corp. 2,034 39,866 PrivateBancorp, Inc.+ 870 39,776 Fidelity Bankshares, Inc. 1,015 39,595 Fremont General Corp.+ 2,823 39,494 FirstFed Financial Corp.*+ 687 38,967 First Commonwealth Financial Corp.+ 2,961 38,582 Sterling Bancshares, Inc. 1,895 38,374 Doral Financial Corp.+ 5,775 38,057 Flagstar Bancorp, Inc.+ 2,612 38,005 See Notes to Financial Statements. 18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- BANKING FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Brookline Bancorp, Inc.+ 2,730 $ 37,538 Bankunited Financial Corp. -- Class A+ 1,424 37,124 BankAtlantic Bancorp, Inc. -- Class A+ 2,524 35,891 TrustCo Bank Corp.+ 3,295 35,718 Bank Mutual Corp. 2,791 33,855 Community Bank System, Inc. 1,470 32,575 Anchor BanCorp Wisconsin, Inc. 1,091 31,159 Irwin Financial Corp.+ 1,582 30,944 Wilshire Bancorp, Inc. 1,553 29,569 Independent Bank Corp. 1,217 29,537 Dime Community Bancshares 2,004 29,519 Franklin Bank Corp.* 1,379 27,415 Nara Bancorp, Inc.+ 1,485 27,161 First Indiana Corp. 1,030 26,790 Sterling Bancorp 1,220 23,985 -------------- TOTAL COMMON STOCKS (Cost $8,912,831) 10,625,259 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 66,594 66,594 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $66,594) 66,594 -------------- SECURITIES LENDING COLLATERAL 19.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 2,048,265 2,048,265 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $2,048,265) 2,048,265 -------------- TOTAL INVESTMENTS 118.7% (Cost $11,027,690) $ 12,740,118 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (18.7)% $ (2,008,705) ============== NET ASSETS - 100.0% $ 10,731,413 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- BASIC MATERIALS FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.5% E.I. du Pont de Nemours and Co.+ 19,566 $ 838,207 Dow Chemical Co.+ 20,640 804,547 Monsanto Co. 14,902 700,543 Alcoa, Inc. 21,559 604,514 Praxair, Inc. 10,165 601,361 International Paper Co.+ 16,242 562,460 Phelps Dodge Corp. 6,544 554,277 Air Products & Chemicals, Inc. 7,786 516,757 Weyerhaeuser Co. 8,267 508,669 Newmont Mining Corp.+ 11,689 499,705 Southern Copper Corp. 5,342 494,135 Nucor Corp.+ 9,960 492,920 Ecolab, Inc.+ 10,379 444,429 PPG Industries, Inc. 6,587 441,856 Rohm & Haas Co. 8,780 415,733 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 7,674 408,717 Vulcan Materials Co. 4,723 369,575 Lyondell Chemical Co.+ 13,738 348,533 The Mosaic Co.*+ 20,601 348,157 Cleveland-Cliffs, Inc.+ 8,774 334,377 Allegheny Technologies, Inc.+ 4,998 310,826 Sigma-Aldrich Corp.+ 3,993 302,150 United States Steel Corp.+ 5,187 299,186 Ball Corp.+ 6,990 282,746 Pactiv Corp.* 9,932 282,267 Sealed Air Corp.+ 5,201 281,478 MeadWestvaco Corp.+ 10,585 280,608 Eastman Chemical Co. 5,118 276,474 Ashland, Inc. 4,290 273,616 Huntsman Corp.* 14,865 270,543 Temple-Inland, Inc. 6,672 267,547 International Flavors & Fragrances, Inc. 6,679 264,088 Crown Holdings, Inc.* 13,646 253,816 Bemis Co. 7,689 252,661 Lubrizol Corp. 5,444 248,954 Martin Marietta Materials, Inc.+ 2,942 248,952 Sonoco Products Co. 7,353 247,355 Scotts Miracle-Gro Co. -- Class A 5,239 233,083 Smurfit-Stone Container Corp.* 20,051 224,571 Albemarle Corp. 4,133 224,546 Titanium Metals Corp.* 8,710 220,189 Nalco Holding Co.* 11,835 219,184 Carpenter Technology Corp.+ 2,033 218,568 Valspar Corp. 8,170 217,322 Airgas, Inc. 6,001 217,056 Cytec Industries, Inc.* 3,902 216,912 Valhi, Inc. 9,030 209,948 Cabot Corp.+ 5,635 209,622 Packaging Corporation of America 9,027 209,426 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Celanese Corp. 11,586 $ 207,389 FMC Corp.+ 3,236 207,331 RPM International, Inc.+ 10,674 202,699 Westlake Chemical Corp. 6,150 196,862 Owens-Illinois, Inc.*+ 12,575 193,907 Florida Rock Industries, Inc. 4,783 185,150 Commercial Metals Co. 8,994 182,848 Chemtura Corp.+ 21,086 182,816 Steel Dynamics, Inc. 3,580 180,611 Reliance Steel & Aluminum Co. 5,600 179,984 Hercules, Inc.*+ 11,347 178,942 OM Group, Inc.*+ 4,053 178,089 AptarGroup, Inc.+ 3,498 177,978 Aleris International, Inc.* 3,441 173,908 Louisiana-Pacific Corp. 9,157 171,877 Chaparral Steel Co.* 4,698 160,014 H.B. Fuller Co. 6,826 160,001 Worthington Industries, Inc.+ 8,550 145,863 Eagle Materials, Inc.+ 4,280 144,150 Texas Industries, Inc.+ 2,746 142,957 Minerals Technologies, Inc.+ 2,670 142,578 MacDermid, Inc. 4,306 140,462 Bowater, Inc.+ 6,520 134,116 Century Aluminum Co.*+ 3,965 133,422 Georgia Gulf Corp.+ 4,865 133,398 Olin Corp. 8,344 128,164 Headwaters, Inc.*+ 5,352 124,969 Rock-Tenn Co. -- Class A 6,295 124,641 Sensient Technologies Corp. 6,188 121,099 Ferro Corp. 6,801 120,922 Quanex Corp.+ 3,910 118,669 RTI International Metals, Inc.* 2,651 115,531 A. Schulman, Inc. 4,864 114,353 Wausau Paper Corp. 8,424 113,724 PolyOne Corp.*+ 13,497 112,430 Amcol International Corp.+ 4,429 110,326 Myers Industries, Inc. 5,927 100,759 Brush Engineered Materials, Inc.*+ 4,008 99,679 Neenah Paper, Inc. 2,893 99,027 Deltic Timber Corp. 2,037 97,083 Arch Chemicals, Inc. 3,393 96,531 Glatfelter+ 6,953 94,213 Ryerson Tull, Inc.+ 4,081 89,333 A.M. Castle & Co. 3,002 80,574 Buckeye Technologies, Inc.* 9,230 78,455 Tronox, Inc.+ 5,480 69,980 Schweitzer-Mauduit International, Inc. 3,514 66,696 Steel Technologies, Inc. 3,395 66,644 Chesapeake Corp. 4,568 65,368 Caraustar Industries, Inc.* 7,474 59,568 Quaker Chemical Corp. 3,006 58,467 Material Sciences Corp.* 5,310 52,888 See Notes to Financial Statements. 20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- BASIC MATERIALS FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Wellman, Inc.+ 11,822 $ 47,170 Penford Corp. 3,017 45,677 Pope & Talbot, Inc.* 6,733 38,715 -------------- TOTAL COMMON STOCKS (Cost $17,914,289) 24,502,173 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 146,884 146,884 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $146,884) 146,884 -------------- SECURITIES LENDING COLLATERAL 21.2% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 5,210,882 5,210,882 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $5,210,882) 5,210,882 -------------- TOTAL INVESTMENTS 121.3% (Cost $23,272,055) $ 29,859,939 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (21.3)% $ (5,248,379) ============== NET ASSETS - 100.0% $ 24,611,560 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- BIOTECHNOLOGY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Amgen, Inc.*+ 144,522 $ 10,337,659 Genentech, Inc.*+ 120,964 10,003,723 Gilead Sciences, Inc.* 95,500 6,560,850 Genzyme Corp.*+ 70,711 4,770,871 Biogen Idec, Inc.*+ 92,880 4,149,878 Celgene Corp.*+ 92,353 3,998,885 Medimmune, Inc.*+ 104,231 3,044,588 Amylin Pharmaceuticals, Inc.*+ 51,487 2,269,032 Cephalon, Inc.*+ 33,950 2,096,413 Charles River Laboratories International, Inc.*+ 48,280 2,095,835 Vertex Pharmaceuticals, Inc.*+ 59,907 2,015,871 Invitrogen Corp.*+ 30,969 1,963,744 Millennium Pharmaceuticals, Inc.*+ 192,468 1,915,057 OSI Pharmaceuticals, Inc.*+ 45,860 1,721,126 PDL BioPharma, Inc.*+ 84,758 1,627,354 Techne Corp.* 29,985 1,525,037 ICOS Corp.*+ 59,172 1,482,850 Myogen, Inc.*+ 41,480 1,455,118 ImClone Systems, Inc.*+ 49,642 1,405,861 Illumina, Inc.*+ 39,845 1,316,479 Human Genome Sciences, Inc.*+ 112,369 1,296,738 Medarex, Inc.*+ 118,481 1,272,486 Alkermes, Inc.*+ 75,626 1,198,672 Affymetrix, Inc.*+ 55,423 1,194,920 BioMarin Pharmaceuticals, Inc.* 82,730 1,177,248 Applera Corp. - Celera Genomics Group* 82,678 1,150,878 United Therapeutics Corp.*+ 21,742 1,142,325 Crucell -- SP ADR*+ 47,972 1,141,734 Digene Corp.* 26,376 1,138,124 Regeneron Pharmaceuticals, Inc.* 71,689 1,124,800 Cubist Pharmaceuticals, Inc.*+ 50,524 1,098,392 Nektar Therapeutics*+ 76,144 1,097,235 Zymogenetics, Inc.*+ 64,984 1,096,280 Nuvelo, Inc.* 59,614 1,087,359 Alexion Pharmaceuticals, Inc.*+ 31,827 1,081,481 Telik, Inc.*+ 60,103 1,069,232 Myriad Genetics, Inc.*+ 43,145 1,063,524 Pharmion Corp.*+ 46,637 1,005,027 MannKind Corp.*+ 52,261 992,959 Onyx Pharmaceuticals, Inc.*+ 54,949 950,068 QLT, Inc.* 121,132 920,603 Exelixis, Inc.* 99,927 870,364 Arena Pharmaceuticals, Inc.*+ 70,570 845,429 Progenics Pharmaceuticals, Inc.* 34,986 820,772 Idenix Pharmaceuticals, Inc.*+ 83,942 814,237 InterMune, Inc.*+ 48,986 804,350 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Angiotech Pharmaceuticals, Inc.* 91,170 $ 799,561 Martek Biosciences Corp.*+ 35,748 768,940 Keryx Biopharmaceuticals, Inc.* 59,227 700,655 CV Therapeutics, Inc.*+ 62,263 693,610 -------------- TOTAL COMMON STOCKS (Cost $55,525,497) 96,174,234 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 589,442 589,442 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $589,442) 589,442 -------------- SECURITIES LENDING COLLATERAL 37.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 36,179,253 36,179,253 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $36,179,253) 36,179,253 -------------- TOTAL INVESTMENTS 137.7% (Cost $92,294,192) $ 132,942,929 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (37.7)% $ (36,395,175) ============== NET ASSETS - 100.0% $ 96,547,754 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. 22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- COMMODITIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- EXCHANGE TRADED FUNDS 18.0% IShares GSCI Commodity Indexed Trust* 168,646 $ 7,094,937 -------------- TOTAL EXCHANGE TRADED FUNDS (Cost $7,059,521) 7,094,937 -------------- FACE AMOUNT ------------ COMMODITY LINKED NOTES 27.4% Credit Suisse, Goldman Sachs Commodity Index Total Return Linked Notes (Note 2) 5.12% due 10/15/07+ $ 5,400,000 5,412,984 Swedish Export Credit Corp., Goldman Sachs Commodity Index Total Return Linked Notes (Note 2) 5.10% due 10/19/07+ 5,400,000 5,412,984 -------------- TOTAL COMMODITY LINKED NOTES (Cost $10,800,000) 10,825,968 -------------- REPURCHASE AGREEMENTS 96.4% Repurchase Agreement (Note 5) 5.00% due 10/02/06 38,016,147 38,016,147 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $38,016,147) 38,016,147 -------------- TOTAL INVESTMENTS 141.8% (Cost $55,875,668) $ 55,937,052 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (41.8)% $ (16,479,209) ============== NET ASSETS - 100.0% $ 39,457,843 * NON-INCOME PRODUCING SECURITY. + COMMODITY LINKED NOTES ARE LEVERAGED, PROVIDING AN EXPOSURE TO THE UNDERLYING BENCHMARK OF THREE TIMES THE FACE AMOUNT. THE TOTAL EXPOSURE TO THE RETURN OF THE GOLDMAN SACHS COMMODITY INDEX IS $32,400,000 AS OF SEPTEMBER 30, 2006. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Procter & Gamble Co.+ 89,320 $ 5,536,054 Altria Group, Inc. 61,974 4,744,110 PepsiCo, Inc. 61,077 3,985,885 Coca-Cola Co. 86,130 3,848,288 Kraft Foods, Inc. -- Class A+ 85,345 3,043,403 Anheuser-Busch Cos., Inc. 47,861 2,273,876 Colgate-Palmolive Co. 34,054 2,114,753 Kimberly-Clark Corp.+ 31,760 2,075,834 Archer-Daniels-Midland Co. 46,350 1,755,738 Sysco Corp.+ 52,278 1,748,699 General Mills, Inc.+ 30,450 1,723,470 Kellogg Co.+ 33,149 1,641,538 Reynolds American, Inc.+ 26,300 1,629,811 Kroger Co. 66,807 1,545,914 Safeway, Inc.+ 48,379 1,468,303 Campbell Soup Co.+ 38,421 1,402,366 H.J. Heinz Co. 33,160 1,390,399 ConAgra Foods, Inc.+ 56,366 1,379,840 Avon Products, Inc.+ 44,288 1,357,870 WM Wrigley Jr Co.+ 28,752 1,324,317 Hershey Co.+ 24,104 1,288,359 Sara Lee Corp. 80,122 1,287,561 UST, Inc.+ 22,030 1,207,905 Coca-Cola Enterprises, Inc.+ 56,110 1,168,771 Brown-Forman Corp. -- Class B 15,198 1,164,927 Clorox Co. 18,272 1,151,136 Pepsi Bottling Group, Inc. 31,507 1,118,498 Estee Lauder Cos., Inc. -- Class A+ 27,286 1,100,444 Whole Foods Market, Inc.+ 17,130 1,018,036 Constellation Brands, Inc. -- Class A* 34,765 1,000,537 Dean Foods Co.* 22,300 937,046 Tyson Foods, Inc. -- Class A+ 56,880 903,254 Molson Coors Brewing Co. -- Class B+ 13,030 897,767 McCormick & Co., Inc. 23,146 879,085 Energizer Holdings, Inc.*+ 11,910 857,401 Alberto-Culver Co. -- Class B 16,040 811,464 Hormel Foods Corp. 22,396 805,808 Loews Corp. - Carolina Group+ 13,320 737,795 Supervalu, Inc. 24,551 727,937 J.M. Smucker Co. 13,250 635,338 Smithfield Foods, Inc.* 22,872 618,001 Church & Dwight Co., Inc.+ 15,470 605,032 PepsiAmericas, Inc. 28,140 600,508 Corn Products International, Inc. 17,950 584,093 NBTY, Inc.* 19,540 571,936 Hansen Natural Corp.*+ 15,970 518,706 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Delta & Pine Land Co. 12,740 $ 515,970 Del Monte Foods Co. 49,000 512,050 Lancaster Colony Corp. 10,657 477,007 Tootsie Roll Industries, Inc. 15,943 467,289 Flowers Foods, Inc. 16,870 453,466 Ralcorp Holdings, Inc.* 9,150 441,305 Ruddick Corp.+ 16,110 419,343 United Natural Foods, Inc.*+ 13,180 408,448 Playtex Products, Inc.* 28,730 384,982 Great Atlantic & Pacific Tea Co.+ 15,690 377,815 Casey's General Stores, Inc. 16,530 368,123 Hain Celestial Group, Inc.* 14,251 364,256 USANA Health Sciences, Inc.*+ 8,060 359,395 Universal Corp.+ 9,660 352,880 Performance Food Group Co.*+ 12,400 348,316 Sanderson Farms, Inc.+ 9,870 319,393 TreeHouse Foods, Inc.* 13,256 313,504 WD-40 Co. 8,240 293,921 Lance, Inc. 13,290 292,646 J&J Snack Foods Corp. 8,618 268,020 Hanesbrands, Inc.* 10,002 225,145 Alliance One International, Inc.* 53,824 220,678 Nash Finch Co.+ 9,166 215,676 Peet's Coffee & Tea, Inc.*+ 7,920 198,079 Spectrum Brands, Inc.*+ 23,200 195,808 American Italian Pasta Co. -- Class A*+ 17,090 132,960 -------------- TOTAL COMMON STOCKS (Cost $71,040,486) 78,114,288 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.4% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 297,353 297,353 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $297,353) 297,353 -------------- SECURITIES LENDING COLLATERAL 23.0% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 18,076,874 18,076,874 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $18,076,874) 18,076,874 -------------- TOTAL INVESTMENTS 123.0% (Cost $89,414,713) $ 96,488,515 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (23.0)% $ (18,070,776) ============== NET ASSETS - 100.0% $ 78,417,739 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- ELECTRONICS FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 100.3% Intel Corp. 160,853 $ 3,308,746 Texas Instruments, Inc.+ 65,930 2,192,173 Applied Materials, Inc. 90,097 1,597,420 Micron Technology, Inc.*+ 63,784 1,109,842 Nvidia Corp.* 37,412 1,107,021 Broadcom Corp. -- Class A*+ 36,141 1,096,518 Freescale Semiconductor, Inc. -- Class B*+ 27,861 1,058,997 Advanced Micro Devices, Inc.*+ 40,936 1,017,260 Analog Devices, Inc.+ 30,816 905,682 KLA-Tencor Corp.+ 20,122 894,825 Linear Technology Corp.+ 27,682 861,464 Maxim Integrated Products, Inc.+ 29,056 815,602 National Semiconductor Corp.+ 34,590 813,903 MEMC Electronic Materials, Inc.*+ 21,752 796,776 Xilinx, Inc. 35,800 785,810 Altera Corp.*+ 41,581 764,259 Microchip Technology, Inc. 23,241 753,473 Lam Research Corp.*+ 15,951 723,059 Novellus Systems, Inc.*+ 20,861 577,015 Intersil Corp. -- Class A+ 22,723 557,850 Integrated Device Technology, Inc.* 34,385 552,223 Atmel Corp.* 86,098 520,032 Cypress Semiconductor Corp.*+ 28,492 506,303 LSI Logic Corp.*+ 61,202 503,080 Agere Systems, Inc.* 31,202 465,846 Teradyne, Inc.*+ 34,677 456,349 Varian Semiconductor Equipment Associates, Inc.* 12,182 447,079 Fairchild Semiconductor International, Inc.* 23,783 444,742 International Rectifier Corp.*+ 12,435 433,235 RF Micro Devices, Inc.* 52,056 394,584 Spansion, Inc.*+ 22,540 375,742 Cymer, Inc.*+ 8,404 369,020 Silicon Laboratories, Inc.* 11,557 358,498 Rambus, Inc.*+ 19,510 340,254 Cree, Inc.*+ 16,559 333,002 ATMI, Inc.* 11,335 329,508 Diodes, Inc.* 7,220 311,687 Brooks Automation, Inc.*+ 23,119 301,703 Advanced Energy Industries, Inc.* 16,886 287,737 Microsemi Corp.*+ 15,103 284,692 Lattice Semiconductor Corp.* 39,504 269,417 Axcelis Technologies, Inc.* 38,037 268,541 Triquint Semiconductor, Inc.*+ 51,445 267,514 Standard Microsystems Corp.* 9,263 263,254 Semtech Corp.* 20,558 262,320 Skyworks Solutions, Inc.* 49,596 257,403 PMC - Sierra, Inc.*+ 43,308 257,250 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Micrel, Inc.* 26,557 $ 254,682 FEI Co.* 11,244 237,361 Cabot Microelectronics Corp.*+ 8,216 236,785 Rudolph Technologies, Inc.*+ 12,869 235,889 DSP Group, Inc.* 10,151 231,950 Kulicke & Soffa Industries, Inc.* 25,436 224,854 Photronics, Inc.* 15,383 217,362 Supertex, Inc.*+ 5,381 209,159 Veeco Instruments, Inc.* 10,355 208,653 Exar Corp.* 15,130 201,078 Actel Corp.* 12,334 191,794 Cohu, Inc. 10,416 185,717 Pericom Semiconductor Corp.* 16,373 159,637 Ultratech, Inc.* 11,333 150,956 Credence Systems Corp.* 49,142 140,055 Kopin Corp.* 40,002 134,007 ESS Technologies, Inc.* 39,155 36,414 -------------- TOTAL COMMON STOCKS (Cost $22,592,886) 34,855,063 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.4% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 159,836 159,836 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $159,836) 159,836 -------------- SECURITIES LENDING COLLATERAL 22.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 7,956,583 7,956,583 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $7,956,583) 7,956,583 -------------- TOTAL INVESTMENTS 123.6% (Cost $30,709,305) $ 42,971,482 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (23.6)% $ (8,209,787) ============== NET ASSETS - 100.0% $ 34,761,695 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- ENERGY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 100.0% Exxon Mobil Corp.+ 118,541 $ 7,954,101 BP PLC -- SP ADR 82,581 5,415,662 Total SA -- SP ADR+ 73,294 4,833,006 Chevron Corp. 71,382 4,629,836 Royal Dutch Shell PLC -- SP ADR+ 63,720 4,211,892 ConocoPhillips 59,891 3,565,311 Schlumberger Ltd.+ 50,825 3,152,675 Repsol YPF SA -- SP ADR 78,706 2,347,800 Occidental Petroleum Corp. 48,770 2,346,325 Devon Energy Corp. 32,197 2,033,241 Marathon Oil Corp. 24,885 1,913,656 Valero Energy Corp. 36,262 1,866,405 Halliburton Co. 62,984 1,791,895 Transocean, Inc.* 24,050 1,761,181 Baker Hughes, Inc.+ 24,357 1,661,147 Apache Corp.+ 26,245 1,658,684 Anadarko Petroleum Corp. 36,991 1,621,316 EOG Resources, Inc.+ 22,365 1,454,843 Kinder Morgan, Inc. 13,802 1,447,140 XTO Energy, Inc.+ 34,215 1,441,478 Williams Cos., Inc. 60,259 1,438,382 Weatherford International Ltd.* 31,665 1,321,064 Chesapeake Energy Corp.+ 44,523 1,290,277 National-Oilwell Varco, Inc.*+ 19,884 1,164,208 Hess Corp.+ 27,522 1,139,961 El Paso Corp. 81,276 1,108,605 Nabors Industries Ltd.*+ 36,138 1,075,105 Diamond Offshore Drilling, Inc.+ 14,841 1,074,043 Noble Energy, Inc.+ 23,216 1,058,417 BJ Services Co.+ 35,036 1,055,635 Noble Corp.+ 16,232 1,041,770 Murphy Oil Corp.+ 21,849 1,038,920 Sunoco, Inc. 16,516 1,027,130 Smith International, Inc.+ 26,164 1,015,163 Peabody Energy Corp. 26,020 957,016 ENSCO International, Inc.+ 21,773 954,311 Cameron International Corp.*+ 18,546 895,957 Southwestern Energy Co.*+ 27,688 827,041 Pioneer Natural Resources Co.+ 19,921 779,309 Grant Prideco, Inc.* 20,455 777,904 Pride International, Inc.*+ 27,372 750,540 Consol Energy, Inc. 23,652 750,478 Newfield Exploration Co.*+ 19,296 743,668 Plains Exploration & Production Co.* 16,644 714,194 Patterson-UTI Energy, Inc.+ 29,110 691,654 Range Resources Corp. 26,909 679,183 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Denbury Resources, Inc.* 23,184 $ 670,018 Tesoro Corp.+ 11,458 664,335 Rowan Cos., Inc.+ 20,954 662,775 Veritas DGC, Inc.*+ 9,974 656,489 FMC Technologies, Inc.* 12,052 647,192 Arch Coal, Inc.+ 21,960 634,864 CNX Gas Corp.* 26,763 620,099 Overseas Shipholding Group, Inc. 9,735 601,331 Frontier Oil Corp.+ 22,336 593,691 Maverick Tube Corp.* 9,096 589,694 Tidewater, Inc.+ 13,196 583,131 Cimarex Energy Co.+ 16,512 581,057 Cabot Oil & Gas Corp. 11,950 572,763 Holly Corp.+ 13,000 563,290 Helix Energy Solutions Group, Inc.*+ 16,657 556,344 Quicksilver Resources, Inc.*+ 17,240 549,956 Pogo Producing Co.+ 13,404 548,894 SEACOR Holdings, Inc.* 6,583 543,097 St. Mary Land & Exploration Co. 14,216 521,869 Forest Oil Corp.* 16,455 519,813 Helmerich & Payne, Inc.+ 22,304 513,661 Todco -- Class A*+ 14,692 508,343 Hanover Compressor Co.*+ 27,862 507,646 Unit Corp.* 10,740 493,718 NS Group, Inc.*+ 7,595 490,257 Global Industries, Ltd.* 31,324 487,401 Superior Energy Services, Inc.* 18,353 481,950 Dresser-Rand Group, Inc.*+ 22,732 463,733 W&T Offshore, Inc. 15,578 455,033 Tetra Technologies, Inc.*+ 18,340 443,094 Lone Star Technologies, Inc.*+ 9,020 436,388 Atwood Oceanics, Inc.*+ 9,462 425,506 Cheniere Energy, Inc.*+ 14,146 420,278 Swift Energy Co.*+ 9,855 412,136 Oceaneering International, Inc.* 12,962 399,230 Penn Virginia Corp. 6,154 390,225 Foundation Coal Holdings, Inc. 11,800 381,966 Massey Energy Co.+ 18,010 377,129 World Fuel Services Corp. 9,274 375,133 Stone Energy Corp.* 9,222 373,307 Input/Output, Inc.*+ 34,589 343,469 Hydril*+ 6,097 341,798 Bristow Group, Inc.*+ 9,580 329,552 Lufkin Industries, Inc.+ 5,952 314,980 Petroleum Development Corp.* 7,745 308,948 CARBO Ceramics, Inc.+ 8,362 301,283 -------------- TOTAL COMMON STOCKS (Cost $71,560,764) 105,134,395 -------------- See Notes to Financial Statements. 26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- ENERGY FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.5% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 538,770 $ 538,770 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $538,770) 538,770 -------------- SECURITIES LENDING COLLATERAL 26.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 27,903,856 27,903,856 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $27,903,856) 27,903,856 -------------- TOTAL INVESTMENTS 127.0% (Cost $100,003,390) $ 133,577,021 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (27.0)% $ (28,418,304) ============== NET ASSETS - 100.0% $ 105,158,717 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 27 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- ENERGY SERVICES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Schlumberger Ltd.+ 209,922 $ 13,021,462 Halliburton Co. 260,131 7,400,727 Transocean, Inc.* 99,122 7,258,704 Baker Hughes, Inc.+ 100,604 6,861,193 Weatherford International Ltd.* 130,743 5,454,598 National-Oilwell Varco, Inc.*+ 81,975 4,799,636 Nabors Industries Ltd.* 149,395 4,444,501 Diamond Offshore Drilling, Inc.+ 61,108 4,422,386 BJ Services Co. 144,823 4,363,517 Noble Corp. 67,083 4,305,387 Smith International, Inc.+ 108,109 4,194,629 ENSCO International, Inc.+ 90,129 3,950,354 Cameron International Corp.*+ 76,635 3,702,237 Grant Prideco, Inc.* 84,381 3,209,010 Pride International, Inc.*+ 112,921 3,096,294 Patterson-UTI Energy, Inc.+ 120,216 2,856,332 Rowan Cos., Inc.+ 86,817 2,746,022 Veritas DGC, Inc.*+ 41,049 2,701,845 FMC Technologies, Inc.* 49,659 2,666,688 Maverick Tube Corp.* 37,686 2,443,183 Tidewater, Inc.+ 54,567 2,411,316 SEACOR Holdings, Inc.* 27,252 2,248,290 Helmerich & Payne, Inc. 92,008 2,118,944 Todco -- Class A*+ 60,653 2,098,594 Hanover Compressor Co.*+ 115,088 2,096,903 Unit Corp.* 44,455 2,043,596 NS Group, Inc.*+ 31,444 2,029,710 Global Industries, Ltd.* 129,500 2,015,020 Superior Energy Services, Inc.* 75,651 1,986,595 Dresser-Rand Group, Inc.*+ 94,039 1,918,396 Tetra Technologies, Inc.* 75,631 1,827,245 Lone Star Technologies, Inc.* 37,239 1,801,623 Atwood Oceanics, Inc.*+ 38,971 1,752,526 Oceaneering International, Inc.* 53,346 1,643,057 Input/Output, Inc.*+ 142,846 1,418,461 Hydril* 25,214 1,413,497 Bristow Group, Inc.*+ 39,747 1,367,297 Lufkin Industries, Inc.+ 24,633 1,303,578 CARBO Ceramics, Inc.+ 34,677 1,249,412 -------------- TOTAL COMMON STOCKS (Cost $79,659,945) 128,642,765 -------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.4% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 597,551 $ 597,551 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $597,551) 597,551 -------------- SECURITIES LENDING COLLATERAL 25.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 32,381,122 32,381,122 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $32,381,122) 32,381,122 -------------- TOTAL INVESTMENTS 125.1% (Cost $112,638,618) $ 161,621,438 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (25.1)% $ (32,441,351) ============== NET ASSETS - 100.0% $ 129,180,087 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 28 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- COMMON STOCKS 99.7% Bank of America Corp. 22,602 $ 1,210,789 Citigroup, Inc. 22,461 1,115,638 J.P. Morgan Chase & Co.+ 22,461 1,054,769 American International Group, Inc. 14,747 977,136 Wells Fargo & Co. 23,816 861,663 Wachovia Corp.+ 13,342 744,484 Goldman Sachs Group, Inc.+ 4,383 741,472 Morgan Stanley 9,891 721,153 Merrill Lynch & Co., Inc. 9,183 718,294 Fannie Mae 12,021 672,094 Lehman Brothers Holdings, Inc. 7,800 576,108 Freddie Mac 8,266 548,284 American Express Co. 9,335 523,507 U.S. Bancorp+ 15,728 522,484 Washington Mutual, Inc.+ 11,076 481,474 MetLife, Inc.+ 8,384 475,205 Public Storage, Inc.+ 5,448 468,474 Golden West Financial Corp. 6,010 464,272 Allstate Corp.+ 7,389 463,512 Prudential Financial, Inc. 6,074 463,142 Capital One Financial Corp.+ 5,678 446,631 Franklin Resources, Inc. 4,088 432,306 Countrywide Financial Corp.+ 12,016 421,041 Loews Corp. 11,009 417,241 AFLAC, Inc.+ 9,114 417,057 Bank of New York Co., Inc. 11,800 416,068 Charles Schwab Corp.+ 22,964 411,056 PNC Financial Services Group, Inc. 5,486 397,406 Moody's Corp. 5,958 389,534 CIT Group, Inc. 7,945 386,365 SunTrust Banks, Inc. 4,979 384,777 Comerica, Inc. 6,656 378,860 Hartford Financial Services Group, Inc.+ 4,304 373,372 St. Paul Travelers Cos., Inc. 7,906 370,712 M&T Bank Corp.+ 3,069 368,157 Simon Property Group, Inc.+ 4,044 366,467 Progressive Corp. 14,884 365,253 State Street Corp. 5,819 363,106 Bear Stearns Cos., Inc.+ 2,585 362,158 SLM Corp.+ 6,966 362,093 Hudson City Bancorp, Inc. 27,230 360,797 Marsh & McLennan Cos., Inc. 12,507 352,072 Chicago Mercantile Exchange Holdings, Inc.+ 736 351,992 Equity Residential+ 6,932 350,621 Chubb Corp. 6,742 350,314 TD Ameritrade Holding Corp. 18,507 348,857 Northern Trust Corp.+ 5,962 348,360 Torchmark Corp. 5,430 342,687 MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- National City Corp.+ 9,276 $ 339,502 Plum Creek Timber Co., Inc. (REIT) 9,945 338,528 Fifth Third Bancorp+ 8,876 337,998 SAFECO Corp. 5,727 337,492 Legg Mason, Inc.+ 3,321 334,956 ACE Ltd. 6,104 334,072 AmSouth Bancorp 11,436 332,101 Markel Corp.* 803 329,760 Archstone-Smith Trust+ 6,037 328,654 Fidelity National Financial, Inc. 7,870 327,785 Boston Properties, Inc.+ 3,152 325,728 NYSE Group, Inc.*+ 4,349 325,088 Principal Financial Group, Inc. 5,984 324,812 Lincoln National Corp.+ 5,220 324,058 Vornado Realty Trust+ 2,949 321,441 BB&T Corp.+ 7,340 321,345 Marshall & Ilsley Corp. 6,659 320,831 Equity Office Properties Trust+ 8,051 320,108 CapitalSource, Inc.+ 12,393 319,987 MGIC Investment Corp.+ 5,325 319,340 Associated Banc-Corp. 9,812 318,890 First American Corp.+ 7,513 318,100 North Fork Bancorporation, Inc. 11,100 317,904 Assurant, Inc.+ 5,940 317,255 KIMCO Realty Corp. 7,400 317,238 T. Rowe Price Group, Inc.+ 6,624 316,958 Regions Financial Corp.+ 8,598 316,320 Huntington Bancshares, Inc. 13,025 311,688 ProLogis 5,460 311,548 Mercantile Bankshares Corp. 8,564 310,616 E*Trade Financial Corp.*+ 12,655 302,708 Ameriprise Financial, Inc. 6,440 302,036 UnumProvident Corp.+ 15,508 300,700 UnionBanCal Corp. 4,917 299,445 Zions Bancorporation 3,745 298,888 Host Hotels & Resorts, Inc.+ 12,979 297,608 Mellon Financial Corp. 7,593 296,886 Ambac Financial Group, Inc.+ 3,560 294,590 People's Bank 7,420 293,906 Commerce Bancorp, Inc.+ 7,989 293,276 AmeriCredit Corp.*+ 11,715 292,758 Erie Indemnity Co. -- Class A 5,590 292,748 TCF Financial Corp. 11,121 292,371 KeyCorp+ 7,657 286,678 Sovereign Bancorp, Inc.+ 13,270 285,438 Commerce Bancshares, Inc. 5,607 283,546 PMI Group, Inc.+ 6,454 282,750 Genworth Financial, Inc. -- Class A 8,075 282,706 First Horizon National Corp.+ 7,388 280,818 AvalonBay Communities, Inc.+ 2,332 280,773 Aon Corp.+ 8,240 279,089 Weingarten Realty Investors+ 6,460 277,909 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 29 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- Regency Centers Corp. 4,032 $ 277,240 Wesco Financial Corp. 624 272,688 Compass Bancshares, Inc. 4,735 269,800 New York Community Bancorp, Inc.+ 16,444 269,353 CNA Financial Corp.*+ 7,368 265,395 Synovus Financial Corp. 9,035 265,358 American Financial Group, Inc.+ 5,645 264,920 Health Care Property Investors, Inc. 8,469 262,962 General Growth Properties, Inc.+ 5,398 257,215 Colonial BancGroup, Inc. 10,478 256,711 XL Capital Ltd. 3,716 255,289 AmerUs Group Co.+ 3,750 255,037 AMB Property Corp. 4,625 254,884 United Dominion Realty Trust, Inc. 8,381 253,106 Popular, Inc. 12,899 250,757 Federated Investors, Inc. -- Class B 7,413 250,634 iStar Financial, Inc. 6,000 250,200 W.R. Berkley Corp. 7,013 248,190 Apartment Investment & Management Co. -- Class A+ 4,554 247,783 Macerich Co.+ 3,230 246,643 Radian Group, Inc.+ 4,089 245,340 Cbot Holdings, Inc.*+ 2,019 243,875 HCC Insurance Holdings, Inc. 7,405 243,476 Forest City Enterprises, Inc. -- Class A+ 4,475 242,992 Cincinnati Financial Corp. 5,053 242,847 Bank of Hawaii Corp. 5,035 242,486 Trizec Properties, Inc. 8,354 241,514 SVB Financial Group*+ 5,368 239,628 Federal Realty Investment Trust 3,224 239,543 American National Insurance Co. 2,046 237,131 Transatlantic Holdings, Inc. 3,920 236,807 A.G. Edwards, Inc.+ 4,380 233,366 Eaton Vance Corp. 8,081 233,218 St. Joe Co.+ 4,226 231,881 CB Richard Ellis Group, Inc. -- Class A*+ 9,268 227,993 SEI Investments Co. 4,042 227,120 Everest Re Group Ltd. 2,325 226,757 Fidelity National Title Group, Inc. -- Class A+ 10,809 226,557 Janus Capital Group, Inc.+ 11,483 226,445 Protective Life Corp. 4,948 226,371 Liberty Property Trust+ 4,732 226,142 Developers Diversified Realty Corp.+ 4,047 225,661 Mercury General Corp.+ 4,465 221,509 Nuveen Investments, Inc. -- Class A 4,319 221,262 Downey Financial Corp.+ 3,270 217,586 Unitrin, Inc. 4,899 216,389 Reckson Associates Realty Corp. 5,019 214,813 Duke Realty Corp.+ 5,750 214,763 Astoria Financial Corp.+ 6,954 214,322 First Marblehead Corp.+ 3,090 214,013 MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- Health Care REIT, Inc.+ 5,340 $ 213,653 Ventas, Inc.+ 5,516 212,587 Dime Community Bancshares 14,423 212,451 UCBH Holdings, Inc.+ 12,112 211,476 Affiliated Managers Group, Inc.*+ 2,100 210,231 First Indiana Corp. 8,081 210,187 SL Green Realty Corp.+ 1,876 209,549 Philadelphia Consolidated Holding Corp.*+ 5,180 206,060 Brown & Brown, Inc. 6,737 205,883 New Plan Excel Realty Trust+ 7,580 205,039 Allied Capital Corp.+ 6,774 204,643 MBIA, Inc.+ 3,295 202,445 Camden Property Trust 2,658 202,035 Student Loan Corp. 1,050 201,789 Hanmi Financial Corp.+ 10,237 200,645 Westamerica Bancorporation 3,866 195,272 South Financial Group, Inc. 7,414 192,986 Alleghany Corp.* 667 192,770 Leucadia National Corp. 7,356 192,507 Cullen/Frost Bankers, Inc. 3,328 192,425 Bank Mutual Corp. 15,549 188,609 Susquehanna Bancshares, Inc. 7,542 184,326 TD Banknorth, Inc.+ 6,374 184,081 Jefferies Group, Inc.+ 6,415 182,828 Colonial Properties Trust+ 3,796 181,487 Nasdaq Stock Market, Inc.*+ 5,993 181,228 Thornburg Mortgage, Inc.+ 7,090 180,582 Essex Property Trust, Inc.+ 1,474 178,944 Raymond James Financial, Inc. 6,101 178,393 Arthur J. Gallagher & Co.+ 6,662 177,676 United Bankshares, Inc. 4,750 176,795 Wilmington Trust Corp. 3,954 176,151 Old Republic International Corp. 7,911 175,229 BRE Properties, Inc. -- Class A+ 2,930 175,009 Jones Lang LaSalle, Inc. 2,046 174,892 Chittenden Corp. 6,076 174,320 American Capital Strategies Ltd.+ 4,409 174,023 Hospitality Properties Trust+ 3,560 168,032 Investors Financial Services Corp.+ 3,882 167,237 IndyMac Bancorp, Inc.+ 4,030 165,875 New Century Financial Corp.+ 4,100 161,171 FirstMerit Corp.+ 6,946 160,939 Blackrock, Inc. 1,065 158,685 Valley National Bancorp 6,134 156,846 Prosperity Bancshares, Inc.+ 4,499 153,146 Kilroy Realty Corp.+ 2,021 152,262 Whitney Holding Corp. 4,227 151,200 Texas Regional Bancshares, Inc. -- Class A 3,813 146,610 Umpqua Holding Corp. 5,116 146,318 -------------- TOTAL COMMON STOCKS (Cost $56,620,837) 61,640,543 -------------- See Notes to Financial Statements. 30 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- FINANCIAL SERVICES FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.9% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 522,333 $ 522,333 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $522,333) 522,333 -------------- SECURITIES LENDING COLLATERAL 20.4% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 12,613,797 12,613,797 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $12,613,797) 12,613,797 -------------- TOTAL INVESTMENTS 121.0% (Cost $69,756,967) $ 74,776,673 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (21.0)% $ (12,962,530) ============== NET ASSETS - 100.0% $ 61,814,143 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 31 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- HEALTH CARE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- COMMON STOCKS 99.6% Pfizer, Inc. 236,503 $ 6,707,225 Johnson & Johnson, Inc. 94,852 6,159,689 Merck & Co., Inc.+ 85,428 3,579,433 Genentech, Inc.*+ 40,462 3,346,207 Amgen, Inc.*+ 46,520 3,327,576 Abbott Laboratories+ 62,403 3,030,290 Wyeth 56,621 2,878,612 UnitedHealth Group, Inc. 56,504 2,779,997 Eli Lilly & Co. 46,944 2,675,808 Medtronic, Inc.+ 49,708 2,308,440 WellPoint, Inc.* 28,593 2,203,091 Bristol-Myers Squibb Co. 85,736 2,136,541 Schering-Plough Corp. 75,100 1,658,959 Gilead Sciences, Inc.* 23,318 1,601,947 Baxter International, Inc. 34,554 1,570,825 Cardinal Health, Inc.+ 21,446 1,409,860 Caremark Rx, Inc.+ 23,865 1,352,430 Aetna, Inc. 30,376 1,201,371 HCA, Inc.+ 23,296 1,162,237 Stryker Corp. 23,370 1,158,918 Boston Scientific Corp.* 76,766 1,135,369 Medco Health Solutions, Inc.*+ 17,294 1,039,542 Becton, Dickinson & Co. 14,610 1,032,489 Genzyme Corp.*+ 15,264 1,029,862 Zimmer Holdings, Inc.*+ 14,956 1,009,530 Forest Laboratories, Inc.* 19,932 1,008,759 Allergan, Inc.+ 8,860 997,725 McKesson Corp. 18,260 962,667 Biogen Idec, Inc.*+ 20,085 897,398 CIGNA Corp. 7,540 877,053 Celgene Corp.*+ 20,122 871,283 St. Jude Medical, Inc.* 22,811 805,000 Quest Diagnostics, Inc. 12,526 766,090 Humana, Inc.* 11,122 735,053 Express Scripts, Inc.* 9,524 718,967 Fisher Scientific International, Inc.* 8,390 656,434 AmerisourceBergen Corp.+ 14,200 641,840 Laboratory Corporation of America Holdings*+ 8,766 574,787 Coventry Health Care, Inc.* 10,851 559,044 Biomet, Inc.+ 17,241 554,988 C.R. Bard, Inc.+ 7,300 547,500 Medimmune, Inc.*+ 17,995 525,634 Varian Medical Systems, Inc.*+ 9,676 516,602 Thermo Electron Corp.*+ 12,300 483,759 DaVita, Inc.* 8,002 463,076 Applera Corp. - Applied Biosystems Group 13,817 457,481 Hospira, Inc.* 11,319 433,178 Barr Pharmaceuticals, Inc.* 8,263 429,180 IMS Health, Inc. 15,316 408,018 Amylin Pharmaceuticals, Inc.*+ 9,190 405,003 MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- Health Management Associates, Inc. -- Class A+ 19,103 $ 399,253 Omnicare, Inc.+ 9,111 392,593 Health Net, Inc.* 8,931 388,677 Sepracor, Inc.*+ 8,017 388,343 DENTSPLY International, Inc.+ 12,492 376,134 Waters Corp.* 8,300 375,824 Abraxis BioScience, Inc.*+ 13,340 370,585 Patterson Cos., Inc.*+ 10,891 366,047 Henry Schein, Inc.*+ 7,206 361,309 Covance, Inc.* 5,300 351,814 Endo Pharmaceuticals Holdings, Inc.* 10,790 351,214 Manor Care, Inc.+ 6,700 350,276 Mylan Laboratories, Inc.+ 17,230 346,840 Pharmaceutical Product Development, Inc. 9,628 343,623 King Pharmaceuticals, Inc.* 19,900 338,897 Tenet Healthcare Corp.*+ 40,892 332,861 Triad Hospitals, Inc.* 7,509 330,621 Cerner Corp.* 6,970 316,438 Cephalon, Inc.*+ 5,096 314,678 Intuitive Surgical, Inc.* 2,970 313,186 Community Health Systems, Inc.* 8,347 311,760 Beckman Coulter, Inc. 5,414 311,630 Hillenbrand Industries, Inc. 5,420 308,832 Vertex Pharmaceuticals, Inc.*+ 9,074 305,340 Dade Behring Holdings, Inc. 7,350 295,176 Invitrogen Corp.*+ 4,555 288,833 Charles River Laboratories International, Inc.*+ 6,652 288,763 Universal Health Services, Inc. -- Class B 4,700 281,671 Lincare Holdings, Inc.* 8,060 279,198 Millipore Corp.*+ 4,550 278,915 Emdeon Corp.* 23,625 276,649 Millennium Pharmaceuticals, Inc.*+ 27,681 275,426 Brookdale Senior Living, Inc.+ 5,890 273,414 VCA Antech, Inc.*+ 7,580 273,335 Idexx Laboratories, Inc.* 2,990 272,509 Watson Pharmaceuticals, Inc.*+ 10,260 268,504 Respironics, Inc.* 6,710 259,073 ResMed, Inc.*+ 6,380 256,795 Edwards Lifesciences Corp.* 5,380 250,654 Cytyc Corp.*+ 10,220 250,186 Bausch & Lomb, Inc.+ 4,920 246,640 Cooper Cos., Inc.+ 4,410 235,935 Kos Pharmaceuticals, Inc.*+ 4,750 234,745 Advanced Medical Optics, Inc.*+ 5,850 231,367 WellCare Health Plans, Inc.* 4,010 227,086 Gen-Probe, Inc.* 4,697 220,242 PerkinElmer, Inc. 11,600 219,588 PDL BioPharma, Inc.*+ 11,057 212,294 Mentor Corp.+ 4,200 211,638 Pediatrix Medical Group, Inc.* 4,630 211,128 See Notes to Financial Statements. 32 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- HEALTH CARE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- ImClone Systems, Inc.*+ 7,285 $ 206,311 LifePoint Hospitals, Inc.*+ 5,769 203,761 Kinetic Concepts, Inc.* 6,303 198,292 Sierra Health Services, Inc.*+ 5,220 197,525 Techne Corp.* 3,864 196,523 Medicis Pharmaceutical Corp. -- Class A+ 6,000 194,100 Valeant Pharmaceuticals International 9,728 192,420 Hologic, Inc.* 4,360 189,747 Steris Corp. 6,980 167,939 Perrigo Co. 9,880 167,664 Immucor, Inc.* 7,375 165,274 Sunrise Senior Living, Inc.* 5,400 161,298 AMERIGROUP Corp.* 5,370 158,683 Healthways, Inc.*+ 3,510 156,546 Varian, Inc.* 3,350 153,664 Owens & Minor, Inc. 4,520 148,663 Affymetrix, Inc.*+ 6,866 148,031 American Medical Systems Holdings, Inc.*+ 7,900 145,597 ArthroCare Corp.*+ 3,050 142,923 Haemonetics Corp.* 3,030 141,804 MGI Pharma, Inc.*+ 8,010 137,852 Intermagnetics General Corp.* 4,760 128,758 Integra LifeSciences Holdings Corp.*+ 3,290 123,309 PolyMedica Corp.+ 2,880 123,293 Dionex Corp.* 2,380 121,237 United Surgical Partners International, Inc.*+ 4,790 118,936 Alpharma, Inc. -- Class A 5,000 116,950 DJ Orthopedics, Inc.* 2,800 116,284 inVentiv Health, Inc.* 3,530 113,066 Parexel International Corp.* 3,404 112,638 Genesis HealthCare Corp.* 2,350 111,931 Regeneron Pharmaceuticals, Inc.* 6,995 109,752 Viasys Healthcare, Inc.* 4,000 108,960 Per-Se Technologies, Inc.*+ 4,546 103,558 Apria Healthcare Group, Inc.* 5,200 102,648 LCA-Vision, Inc.+ 2,460 101,623 Vital Signs, Inc. 1,760 99,634 Biosite, Inc.* 2,140 98,932 Analogic Corp. 1,900 97,508 Invacare Corp. 3,846 90,458 Chemed Corp. 2,800 90,328 SurModics, Inc.*+ 2,490 87,449 ICU Medical, Inc.* 1,910 86,867 Amedisys, Inc.*+ 2,150 85,291 Noven Pharmaceuticals, Inc.* 3,500 84,420 AmSurg Corp.*+ 3,790 84,365 Centene Corp.*+ 5,060 83,186 Matria Healthcare, Inc.*+ 2,980 82,814 Par Pharmaceutical Cos., Inc.* 4,540 82,810 MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- Martek Biosciences Corp.*+ 3,848 $ 82,770 Sciele Pharma, Inc.*+ 4,320 81,389 Conmed Corp.* 3,710 78,318 Cambrex Corp.+ 3,640 75,384 Datascope Corp. 2,220 74,303 Cross Country Healthcare, Inc.* 4,280 72,760 Greatbatch, Inc.*+ 3,010 68,086 Odyssey HealthCare, Inc.* 4,536 64,320 Gentiva Health Services, Inc.* 3,840 63,130 Kendle International, Inc.* 1,970 63,079 Dendrite International, Inc.* 6,430 62,885 Savient Pharmaceuticals, Inc.* 9,610 62,561 CNS, Inc. 2,170 61,259 Cyberonics, Inc.* 3,470 60,829 PharmaNet Development Group, Inc.*+ 3,000 58,290 Merit Medical Systems, Inc.* 4,080 55,406 Enzo Biochem, Inc.*+ 4,509 54,965 Connetics Corp.* 5,000 54,500 Kensey Nash Corp.*+ 1,820 53,271 Bradley Pharmaceuticals, Inc.*+ 3,120 49,670 WebMD Health Corp., Inc.*+ 1,222 41,963 Hooper Holmes, Inc. 11,530 38,856 RehabCare Group, Inc.* 2,750 36,025 Possis Medical, Inc.* 3,200 31,520 CryoLife, Inc.* 4,760 30,702 Arqule, Inc.* 6,210 26,144 BioLase Technology, Inc.*+ 4,090 25,563 Theragenics Corp.* 6,493 18,700 Osteotech, Inc.* 3,900 15,951 -------------- TOTAL COMMON STOCKS (Cost $83,441,266) 96,763,527 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.3% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 353,844 353,844 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $353,844) 353,844 -------------- SECURITIES LENDING COLLATERAL 18.9% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 18,361,298 18,361,298 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $18,361,298) 18,361,298 -------------- TOTAL INVESTMENTS 118.8% (Cost $102,156,408) $ 115,478,669 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (18.8)% $ (18,295,230) ============== NET ASSETS - 100.0% $ 97,183,439 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 - SEE NOTE 8. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 33 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- INTERNET FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- COMMON STOCKS 99.6% Cisco Systems, Inc.* 100,378 $ 2,308,694 Google, Inc. -- Class A*+ 4,148 1,667,081 Time Warner, Inc. 88,354 1,610,693 Qualcomm, Inc. 36,716 1,334,627 eBay, Inc.* 39,394 1,117,214 Symantec Corp.*+ 46,337 986,051 Research In Motion, Ltd.* 9,281 952,787 Yahoo!, Inc.*+ 37,096 937,787 Sun Microsystems, Inc.* 164,817 819,140 Qwest Communications International, Inc.*+ 86,687 755,911 Broadcom Corp. -- Class A*+ 22,328 677,432 Intuit, Inc.* 19,076 612,149 Amazon.com, Inc.*+ 18,657 599,263 E*Trade Financial Corp.*+ 24,538 586,949 Juniper Networks, Inc.*+ 33,768 583,511 IAC/InterActiveCorp*+ 20,175 580,233 BEA Systems, Inc.*+ 31,074 472,325 Check Point Software Technologies Ltd.*+ 21,146 402,831 VeriSign, Inc.* 18,465 372,993 McAfee, Inc.* 14,557 356,064 Monster Worldwide, Inc.* 9,665 349,776 Red Hat, Inc.*+ 16,209 341,686 CheckFree Corp.*+ 7,714 318,742 Emdeon Corp.* 26,698 312,634 Digital River, Inc.*+ 5,617 287,141 TIBCO Software, Inc.* 31,017 278,533 Foundry Networks, Inc.* 20,990 276,018 F5 Networks, Inc.* 5,043 270,910 WebEx Communications, Inc.*+ 6,553 255,698 Ciena Corp.*+ 8,960 244,164 Internet Security Systems, Inc.* 8,741 242,650 Priceline.com, Inc.*+ 6,543 240,717 CNET Networks, Inc.* 24,603 235,697 RealNetworks, Inc.*+ 21,969 233,091 aQuantive, Inc.*+ 9,845 232,539 Palm, Inc.*+ 14,392 209,548 j2 Global Communications, Inc.*+ 7,162 194,592 Netflix, Inc.*+ 8,394 191,215 Websense, Inc.*+ 8,676 187,488 Digital Insight Corp.* 5,696 167,007 EarthLink, Inc.* 22,276 161,947 United Online, Inc. 13,134 159,972 webMethods, Inc.* 13,431 102,747 S1 Corp.* 21,838 100,673 NetBank, Inc. 15,001 90,756 -------------- TOTAL COMMON STOCKS (Cost $20,135,345) 23,419,676 -------------- MARKET FACE VALUE AMOUNT (NOTE 1) - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.3% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 79,547 $ 79,547 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $79,547) 79,547 -------------- SECURITIES LENDING COLLATERAL 19.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 4,594,096 4,594,096 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,594,096) 4,594,096 -------------- TOTAL INVESTMENTS 119.4% (Cost $24,808,988) $ 28,093,319 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (19.4)% $ (4,565,851) ============== NET ASSETS - 100.0% $ 23,527,468 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 - SEE NOTE 8. See Notes to Financial Statements. 34 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- LEISURE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Time Warner, Inc. 61,945 $ 1,129,257 Walt Disney Co. 34,049 1,052,455 McDonald's Corp. 24,235 948,073 News Corp. -- Class A+ 42,300 831,195 Carnival Corp.+ 15,420 725,203 Viacom, Inc. -- Class B* 17,056 634,142 Starbucks Corp.*+ 17,948 611,129 Electronic Arts, Inc.*+ 10,615 591,043 Las Vegas Sands Corp.*+ 8,490 580,291 Marriott International, Inc. -- Class A+ 13,112 506,648 International Game Technology, Inc.+ 11,894 493,601 Yum! Brands, Inc. 9,258 481,879 Starwood Hotels & Resorts Worldwide, Inc. 7,548 431,670 Harrah's Entertainment, Inc.+ 6,413 426,016 MGM Mirage, Inc.*+ 10,530 415,830 Hilton Hotels Corp.+ 14,683 408,922 Mattel, Inc. 19,333 380,860 Wendy's International, Inc. 5,631 377,277 Darden Restaurants, Inc. 7,722 327,953 Wynn Resorts Ltd.*+ 4,659 316,859 Eastman Kodak Co.+ 13,833 309,859 Activision, Inc.* 19,673 297,062 Tim Hortons, Inc.+ 10,910 286,933 Hasbro, Inc. 12,476 283,829 Brinker International, Inc. 6,082 243,827 Warner Music Group Corp. 8,930 231,733 Boyd Gaming Corp. 5,930 227,949 Station Casinos, Inc. 3,820 220,911 Penn National Gaming, Inc.*+ 5,880 214,738 Brunswick Corp.+ 6,712 209,347 Scientific Games Corp. -- Class A*+ 6,370 202,566 THQ, Inc.*+ 6,870 200,398 Jack in the Box, Inc.* 3,775 196,979 OSI Restaurant Partners, Inc.+ 5,855 185,662 Cheesecake Factory, Inc.*+ 6,820 185,436 Sonic Corp.*+ 8,090 182,915 Aztar Corp.* 3,420 181,294 Burger King Holdings, Inc.* 11,290 180,188 Ruby Tuesday, Inc. 6,190 174,496 Choice Hotels International, Inc.+ 4,142 169,408 Pool Corp. 4,380 168,630 Applebee's International, Inc.+ 7,827 168,359 International Speedway Corp. -- Class A 3,270 162,977 Polaris Industries, Inc.+ 3,888 159,991 Panera Bread Co. -- Class A*+ 2,730 159,022 CBRL Group, Inc.+ 3,800 153,634 DreamWorks Animation SKG, Inc. -- Class A*+ 6,022 150,008 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Take-Two Interactive Software, Inc.*+ 10,304 $ 146,935 Live Nation, Inc.* 7,040 143,757 Regal Entertainment Group -- Class A+ 7,240 143,497 Papa John's International, Inc.* 3,946 142,490 Pinnacle Entertainment, Inc.* 4,980 140,038 Bob Evans Farms, Inc. 4,360 132,021 Rare Hospitality International, Inc.* 4,320 132,019 CEC Entertainment, Inc.* 4,050 127,615 Callaway Golf Co.+ 9,610 125,987 WMS Industries, Inc.*+ 4,270 124,727 Ryan's Restaurant Group, Inc.* 7,490 118,866 P.F. Chang's China Bistro, Inc.*+ 3,420 118,708 Triarc Cos., Inc. -- Class B 7,820 118,238 Red Robin Gourmet Burgers, Inc.*+ 2,550 117,581 IHOP Corp.+ 2,530 117,266 Shuffle Master, Inc.*+ 4,120 111,281 Landry's Restaurants, Inc. 3,380 101,907 RC2 Corp.* 3,000 100,590 Lone Star Steakhouse & Saloon, Inc. 3,560 98,861 K2, Inc.* 8,250 96,773 Marcus Corp. 4,060 93,258 Steak n Shake Co.* 5,430 91,713 MarineMax, Inc.*+ 3,470 88,312 O'Charleys, Inc.* 4,640 88,021 Jakks Pacific, Inc.*+ 4,660 83,088 Nautilus, Inc.+ 5,750 79,063 Napster, Inc.* 15,198 64,895 Sturm Ruger & Co., Inc.* 8,260 63,932 4Kids Entertainment, Inc.* 3,680 60,720 Multimedia Games, Inc.*+ 6,510 59,111 Arctic Cat, Inc. 3,300 54,780 Bally Total Fitness Holding Corp.*+ 9,830 14,843 -------------- TOTAL COMMON STOCKS (Cost $18,189,622) 20,479,347 -------------- FACE AMOUNT ------------ SECURITIES LENDING COLLATERAL 20.2% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) $ 4,158,360 4,158,360 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,158,360) 4,158,360 -------------- TOTAL INVESTMENTS 119.8% (Cost $22,347,982) $ 24,637,707 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (19.8)% $ (4,073,912) ============== NET ASSETS - 100.0% $ 20,563,795 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 35 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- PRECIOUS METALS FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.3% Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 329,794 $ 17,564,828 Newmont Mining Corp. 391,280 16,727,220 Barrick Gold Corp.+ 437,159 13,429,525 Goldcorp, Inc.+ 520,679 12,288,024 Glamis Gold Ltd.* 248,244 9,788,261 Agnico-Eagle Mines Ltd.+ 255,001 7,938,181 Coeur d'Alene Mines Corp.*+ 1,626,017 7,658,540 AngloGold Ashanti Ltd. -- SP ADR+ 198,474 7,490,409 Pan American Silver Corp.*+ 377,842 7,383,033 Gold Fields Ltd. -- SP ADR 370,158 6,603,619 Apex Silver Mines Ltd.*+ 370,200 6,167,532 Kinross Gold Corp.*+ 439,701 5,505,057 Silver Standard Resources, Inc.*+ 244,443 5,397,301 Crystallex International Corp.*+ 1,841,863 5,249,310 Cia de Minas Buenaventura SA -- SP ADR 182,247 4,920,669 Bema Gold Corp.*+ 1,063,092 4,709,498 Meridian Gold, Inc.* 184,858 4,595,570 Silver Wheaton Corp.*+ 482,871 4,558,302 Yamana Gold, Inc.+ 483,018 4,467,917 Harmony Gold Mining Co. Ltd. -- SP ADR* 344,216 4,450,713 Royal Gold, Inc.+ 154,710 4,197,282 Hecla Mining Co.*+ 723,065 4,150,393 Northgate Minerals Corp*+ 1,290,722 4,130,310 Novagold Resources, Inc.* 231,499 3,632,219 Randgold Resources Ltd. -- SP ADR* 175,090 3,564,832 DRDGOLD Ltd. -- SP ADR*+ 1,985,714 2,740,285 Golden Star Resources Ltd.*+ 910,122 2,484,633 Stillwater Mining Co.* 280,979 2,360,224 -------------- TOTAL COMMON STOCKS (Cost $102,356,452) 184,153,687 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 1,125,893 1,125,893 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $1,125,893) 1,125,893 -------------- SECURITIES LENDING COLLATERAL 37.1% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 68,651,694 68,651,694 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $68,651,694) 68,651,694 -------------- MARKET VALUE (NOTE 1) - -------------------------------------------------------------------------------- TOTAL INVESTMENTS 137.0% (Cost $172,134,039) $ 253,931,274 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (37.0)% $ (68,527,260) ============== NET ASSETS - 100.0% $ 185,404,014 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. 36 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- REAL ESTATE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Public Storage, Inc.+ 20,454 $ 1,758,839 Simon Property Group, Inc.+ 16,569 1,501,483 Vornado Realty Trust+ 12,244 1,334,596 Equity Residential+ 25,947 1,312,399 Equity Office Properties Trust+ 32,123 1,277,210 ProLogis 21,992 1,254,863 Boston Properties, Inc.+ 11,379 1,175,906 Host Hotels & Resorts, Inc.+ 49,435 1,133,545 Archstone-Smith Trust+ 20,809 1,132,842 General Growth Properties, Inc.+ 23,479 1,118,774 KIMCO Realty Corp. 26,080 1,118,050 AvalonBay Communities, Inc.+ 8,344 1,004,618 Apartment Investment & Management Co. -- Class A+ 15,145 824,039 Developers Diversified Realty Corp.+ 14,766 823,352 Plum Creek Timber Co., Inc. (REIT) 23,050 784,622 Macerich Co. 10,241 782,003 CB Richard Ellis Group, Inc. -- Class A*+ 30,383 747,422 Duke Realty Corp. 19,863 741,883 AMB Property Corp. 13,384 737,592 iStar Financial, Inc. 17,598 733,837 Regency Centers Corp. 10,667 733,463 Health Care Property Investors, Inc. 22,964 713,032 CapitalSource, Inc.+ 27,560 711,599 SL Green Realty Corp.+ 6,370 711,529 St. Joe Co.+ 12,846 704,860 Trizec Properties, Inc. 23,831 688,954 Liberty Property Trust+ 14,413 688,797 Ventas, Inc.+ 17,747 683,969 Forest City Enterprises, Inc. -- Class A+ 12,496 678,533 Camden Property Trust 8,919 677,933 United Dominion Realty Trust, Inc.+ 22,281 672,886 Weingarten Realty Investors+ 15,522 667,756 Federal Realty Investment Trust 8,862 658,447 Global Signal, Inc. 12,436 629,013 Reckson Associates Realty Corp. 14,405 616,534 Mack-Cali Realty Corp.+ 11,806 611,551 Hospitality Properties Trust+ 12,955 611,476 BRE Properties, Inc. -- Class A+ 9,772 583,682 New Plan Excel Realty Trust+ 20,881 564,831 Essex Property Trust, Inc.+ 4,628 561,839 Brandywine Realty Trust+ 17,066 555,498 Jones Lang LaSalle, Inc.+ 6,460 552,201 Rayonier, Inc.+ 14,420 545,076 CBL & Associates Properties, Inc.+ 13,005 545,040 Pan Pacific Retail Properties, Inc. 7,805 541,823 Health Care REIT, Inc.+ 13,497 540,015 Crescent Real Estate EQT Co.+ 23,813 519,361 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Thornburg Mortgage, Inc.+ 20,329 $ 517,780 HRPT Properties Trust+ 43,252 516,861 Taubman Centers, Inc. 11,567 513,806 Nationwide Health Properties, Inc.+ 18,537 495,679 Kilroy Realty Corp.+ 6,500 489,710 Realty Income Corp.+ 19,768 488,467 First Industrial Realty Trust, Inc.+ 11,059 486,596 Alexandria Real Estate Equities, Inc.+ 5,172 485,134 Healthcare Realty Trust, Inc.+ 12,409 476,630 Annaly Mortgage Management, Inc.+ 36,224 475,983 Post Properties, Inc.+ 9,924 471,588 Colonial Properties Trust+ 9,736 465,478 Equity One, Inc.+ 19,313 462,933 Highwoods Properties, Inc. 12,389 460,995 Home Properties, Inc.+ 7,987 456,537 Washington Real Estate Investment Trust+ 11,217 446,437 Corporate Office Properties Trust SBI+ 9,969 446,212 Cousins Properties, Inc. 12,967 443,601 New Century Financial Corp.+ 11,249 442,198 Senior Housing Properties Trust 20,323 433,693 Heritage Property Investment Trust+ 11,860 432,416 Sunstone Hotel Investors, Inc.+ 14,350 426,482 BioMed Realty Trust, Inc.+ 13,870 420,816 Pennsylvania Real Estate Investment Trust 9,664 411,396 LaSalle Hotel Properties+ 9,464 410,170 Mid-America Apartment Communities, Inc.+ 6,658 407,603 Entertainment Properties Trust 7,944 391,798 Digital Realty Trust, Inc. 12,277 384,516 Inland Real Estate Corp. 21,689 379,991 Potlatch Corp.+ 10,240 379,904 National Retail Properties, Inc.+ 17,251 372,622 PS Business Parks, Inc. 6,146 370,604 Tanger Factory Outlet Centers, Inc.+ 9,965 354,953 Eastgroup Properties, Inc.+ 6,972 347,624 FelCor Lodging Trust, Inc. 17,001 340,870 Equity Lifestyle Properties, Inc.+ 7,430 339,625 Lexington Corporate Properties Trust+ 15,910 336,974 Sovran Self Storage, Inc.+ 5,961 331,134 Glenborough Realty Trust, Inc.+ 12,393 318,872 Glimcher Realty Trust+ 12,330 305,537 Acadia Realty Trust 11,763 299,956 Equity Inns, Inc.+ 18,471 294,058 Saul Centers, Inc.+ 6,511 292,995 National Health Investors, Inc. 10,299 291,771 Trustreet Properties, Inc.+ 22,961 287,242 Parkway Properties, Inc.+ 5,697 264,854 Innkeepers USA Trust+ 16,046 261,389 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 37 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- REAL ESTATE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Ramco-Gershenson Properties Trust 8,007 $ 255,824 First Potomac Realty Trust 8,420 254,452 LTC Properties, Inc. 10,339 250,721 Mills Corp.+ 14,801 247,325 Sun Communities, Inc. 7,525 240,499 Cedar Shopping Centers, Inc. 14,580 235,759 Universal Health Realty Income Trust 6,247 223,955 CentraCore Properties Trust 6,782 215,328 Windrose Medical Properties Trust 11,945 211,188 Urstadt Biddle Properties, Inc. 10,869 197,490 Winston Hotels, Inc. 14,927 183,901 Associated Estates Realty Corp. 11,875 183,706 American Land Lease, Inc. 5,717 135,779 Monmouth Real Estate Investment Corp. -- Class A 15,887 127,096 -------------- TOTAL COMMON STOCKS (Cost $54,255,703) 60,163,086 -------------- REPURCHASE AGREEMENTS 0.3% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 156,967 156,967 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $156,967) 156,967 -------------- SECURITIES LENDING COLLATERAL 26.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 15,912,302 15,912,302 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $15,912,302) 15,912,302 -------------- TOTAL INVESTMENTS 126.2% (Cost $70,324,972) $ 76,232,355 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (26.2)% $ (15,837,228) ============== NET ASSETS - 100.0% $ 60,395,127 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. REIT -- REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. 38 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- RETAILING FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 97.5% Wal-Mart Stores, Inc. 46,067 $ 2,272,024 Home Depot, Inc.+ 37,576 1,362,881 Target Corp.+ 20,769 1,147,487 Walgreen Co.+ 23,572 1,046,361 Lowe's Cos., Inc.+ 35,550 997,533 Federated Department Stores, Inc.+ 19,364 836,718 CVS Corp. 25,680 824,842 Best Buy Co., Inc.+ 14,785 791,885 Sears Holdings Corp.* 4,992 789,185 Kohl's Corp.* 11,952 775,924 Costco Wholesale Corp.+ 14,163 703,618 Staples, Inc. 27,249 662,968 The Gap, Inc. 34,506 653,889 J.C. Penney Holding Co., Inc.+ 9,294 635,617 Liberty Media Holding Corp - Interactive* 30,706 625,788 TJX Cos., Inc.+ 22,304 625,181 Nordstrom, Inc.+ 13,472 569,866 Bed Bath & Beyond, Inc.* 14,419 551,671 Office Depot, Inc.*+ 13,585 539,324 Amazon.com, Inc.*+ 16,382 526,190 Limited Brands, Inc.+ 19,643 520,343 IAC/InterActiveCorp*+ 17,483 502,811 Sherwin-Williams Co.+ 8,455 471,620 AutoZone, Inc.*+ 4,512 466,090 American Eagle Outfitters, Inc.+ 10,494 459,952 Genuine Parts Co. 10,175 438,848 Abercrombie & Fitch Co. -- Class A+ 6,303 437,932 Michaels Stores, Inc. 8,955 389,901 Family Dollar Stores, Inc.+ 12,490 365,208 CarMax, Inc.*+ 8,641 360,416 Expedia, Inc.*+ 22,820 357,818 Tiffany & Co. 10,124 336,117 AutoNation, Inc.*+ 15,594 325,915 Petsmart, Inc.+ 11,607 322,094 Foot Locker, Inc. 12,620 318,655 Circuit City Stores, Inc.+ 12,660 317,893 Dollar General Corp. 23,174 315,862 O'Reilly Automotive, Inc.*+ 9,327 309,750 Advance Auto Parts, Inc. 9,381 309,010 Dollar Tree Stores, Inc.* 9,968 308,609 RadioShack Corp. 15,170 292,781 Williams-Sonoma, Inc. 9,020 292,158 Ross Stores, Inc.+ 11,315 287,514 Claire's Stores, Inc. 9,340 272,354 Chico's FAS, Inc.*+ 12,639 272,118 OfficeMax, Inc.+ 6,600 268,884 AnnTaylor Stores Corp.* 6,402 267,988 Urban Outfitters, Inc.*+ 15,043 266,111 Coldwater Creek, Inc.* 9,092 261,486 Dillard's, Inc. -- Class A+ 7,925 259,385 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Big Lots, Inc.*+ 13,010 $ 257,728 Rite Aid Corp.*+ 56,154 254,939 Barnes & Noble, Inc. 6,574 249,417 Saks, Inc.+ 14,380 248,486 Rent-A-Center, Inc.* 8,424 246,739 Men's Wearhouse, Inc.+ 6,477 241,009 United Auto Group, Inc. 10,260 240,084 Nutri/System, Inc.*+ 3,784 235,705 GameStop Corp. -- Class A*+ 5,060 234,177 Children's Place Retail Stores, Inc.*+ 3,496 223,849 Dick's Sporting Goods, Inc.* 4,878 222,046 BJ's Wholesale Club, Inc.*+ 7,583 221,272 Longs Drug Stores Corp. 4,586 211,002 Gymboree Corp.*+ 4,826 203,561 Tractor Supply Co.*+ 4,191 202,258 Aeropostale, Inc.*+ 6,875 200,956 Zale Corp.* 7,150 198,341 Payless Shoesource, Inc.* 7,787 193,896 Borders Group, Inc.+ 9,065 184,926 Tween Brands, Inc.*+ 4,661 175,254 Guitar Center, Inc.*+ 3,794 169,516 Dress Barn, Inc.* 7,748 169,061 Group 1 Automotive, Inc. 3,300 164,670 Christopher & Banks Corp. 5,547 163,525 Select Comfort Corp.*+ 7,444 162,875 Hibbett Sporting Goods, Inc.*+ 5,942 155,562 99 Cents Only Stores* 12,623 149,330 Aaron Rents, Inc.+ 6,490 149,140 Pacific Sunwear of California, Inc.* 9,753 147,075 Genesco, Inc.*+ 4,007 138,121 Stage Stores, Inc. 4,560 133,790 PEP Boys-Manny Moe & Jack 10,360 133,126 Sonic Automotive, Inc. 5,650 130,458 Jos. A. Bank Clothiers, Inc.*+ 4,327 129,637 Building Material Holding Corp.+ 4,926 128,174 Pier 1 Imports, Inc.+ 17,030 126,363 Stein Mart, Inc. 8,284 126,000 Tuesday Morning Corp.+ 8,858 122,949 Cato Corp. -- Class A+ 5,270 115,466 Finish Line, Inc. -- Class A 9,098 114,817 Fred's, Inc. 8,828 111,409 Jo-Ann Stores, Inc.*+ 6,500 108,680 HOT Topic, Inc.* 9,442 105,184 Midas, Inc.* 4,370 90,372 Haverty Furniture Cos., Inc.+ 5,550 88,522 Stamps.com, Inc.* 4,606 87,790 Audiovox Corp. -- Class A* 6,265 87,209 PetMed Express, Inc.*+ 7,288 76,087 Cost Plus, Inc.*+ 5,848 70,001 Hancock Fabrics, Inc.*+ 11,353 32,583 -------------- TOTAL COMMON STOCKS (Cost $32,044,348) 35,447,712 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 39 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- RETAILING FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.7% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 236,933 $ 236,933 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $236,933) 236,933 -------------- SECURITIES LENDING COLLATERAL 15.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 5,752,120 5,752,120 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $5,752,120) 5,752,120 -------------- TOTAL INVESTMENTS 114.0% (Cost $38,033,401) $ 41,436,765 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (14.0)% $ (5,097,036) ============== NET ASSETS - 100.0% $ 36,339,729 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 40 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- TECHNOLOGY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.6% Microsoft Corp.+ 71,858 $ 1,963,879 Cisco Systems, Inc.* 60,767 1,397,641 International Business Machines Corp. 15,415 1,263,105 Intel Corp. 60,072 1,235,681 Hewlett-Packard Co. 32,223 1,182,262 Oracle Corp.* 65,897 1,169,013 Apple Computer, Inc.*+ 13,267 1,021,957 Google, Inc. -- Class A*+ 2,491 1,001,133 Motorola, Inc. 38,049 951,225 Texas Instruments, Inc.+ 24,667 820,178 Qualcomm, Inc. 22,232 808,133 Dell, Inc.*+ 33,122 756,506 eBay, Inc.* 23,818 675,478 Corning, Inc.*+ 27,600 673,716 EMC Corp.* 50,444 604,319 Symantec Corp.*+ 28,071 597,351 Applied Materials, Inc. 33,670 596,969 First Data Corp.+ 14,202 596,484 Automatic Data Processing, Inc. 12,271 580,909 Adobe Systems, Inc.*+ 15,270 571,862 Yahoo!, Inc.*+ 22,407 566,449 Electronic Arts, Inc.*+ 9,209 512,757 Sun Microsystems, Inc.* 99,683 495,425 Xerox Corp.* 27,871 433,673 CA, Inc.+ 18,229 431,845 Network Appliance, Inc.* 11,226 415,474 Micron Technology, Inc.*+ 23,825 414,555 Nvidia Corp.* 13,954 412,899 Agilent Technologies, Inc.* 12,570 410,913 Broadcom Corp. -- Class A*+ 13,479 408,953 Paychex, Inc. 10,764 396,653 Freescale Semiconductor, Inc. -- Class B*+ 10,404 395,456 Electronic Data Systems Corp.+ 15,922 390,407 Advanced Micro Devices, Inc.*+ 15,306 380,354 Intuit, Inc.* 11,509 369,324 Cognizant Technology Solutions Corp. -- Class A* 4,956 367,041 SanDisk Corp.*+ 6,762 362,037 Akamai Technologies, Inc.*+ 7,068 353,329 Juniper Networks, Inc.*+ 20,409 352,668 Lucent Technologies, Inc.*+ 147,752 345,740 Analog Devices, Inc.+ 11,488 337,632 Computer Sciences Corp.* 6,792 333,623 KLA-Tencor Corp.+ 7,502 333,614 Linear Technology Corp.+ 10,350 322,092 Fiserv, Inc.* 6,791 319,788 Mastercard, Inc.*+ 4,429 311,580 Autodesk, Inc.* 8,909 309,855 Maxim Integrated Products, Inc.+ 10,865 304,981 National Semiconductor Corp.+ 12,920 304,008 NCR Corp.*+ 7,609 300,403 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MEMC Electronic Materials, Inc.*+ 8,086 $ 296,190 Fidelity National Information Services, Inc.+ 7,984 295,408 Xilinx, Inc. 13,372 293,515 BEA Systems, Inc.*+ 18,803 285,806 Altera Corp.*+ 15,497 284,835 Microchip Technology, Inc. 8,726 282,897 Jabil Circuit, Inc.+ 9,845 281,272 Iron Mountain, Inc.* 6,452 277,049 Harris Corp. 6,225 276,950 Lexmark International, Inc.* 4,763 274,635 BMC Software, Inc.* 10,037 273,207 Amphenol Corp. -- Class A+ 4,365 270,324 Lam Research Corp.*+ 5,955 269,940 Citrix Systems, Inc.*+ 7,346 265,999 Affiliated Computer Services, Inc. -- Class A* 5,039 261,323 Activision, Inc.*+ 16,946 255,885 CDW Corp.+ 4,109 253,443 Salesforce.com, Inc.*+ 7,003 251,268 Total System Services, Inc.+ 10,981 250,696 Avaya, Inc.*+ 21,836 249,804 Symbol Technologies, Inc.+ 16,693 248,058 Cadence Design Systems, Inc.* 13,931 236,270 Comverse Technology, Inc.* 10,966 235,111 DST Systems, Inc.*+ 3,766 232,249 Molex, Inc.+ 5,918 230,624 VeriSign, Inc.* 11,214 226,523 Alliance Data Systems Corp.*+ 4,026 222,195 Tellabs, Inc.* 19,910 218,214 Novellus Systems, Inc.*+ 7,827 216,495 McAfee, Inc.* 8,824 215,835 Intersil Corp. -- Class A+ 8,474 208,037 Western Digital Corp.* 11,453 207,299 Red Hat, Inc.*+ 9,825 207,111 Integrated Device Technology, Inc.* 12,850 206,371 AVX Corp. 11,359 200,941 Compuware Corp.* 25,775 200,787 Ingram Micro, Inc. -- Class A*+ 10,355 198,402 QLogic Corp.* 10,484 198,148 Sabre Holdings Corp. 8,431 197,201 Reynolds & Reynolds Co. -- Class A 4,948 195,495 Atmel Corp.* 32,175 194,337 Global Payments, Inc. 4,413 194,216 JDS Uniphase Corp.*+ 88,648 194,139 Diebold, Inc.+ 4,431 192,881 Convergys Corp.* 9,245 190,909 CheckFree Corp.*+ 4,620 190,898 Mettler Toledo International, Inc.* 2,860 189,189 Cypress Semiconductor Corp.*+ 10,599 188,344 Ceridian Corp.* 8,420 188,271 LSI Logic Corp.*+ 22,852 187,843 Synopsys, Inc.*+ 9,481 186,965 Arrow Electronics, Inc.*+ 6,728 184,549 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 41 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- TECHNOLOGY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Solectron Corp.*+ 56,127 $ 182,974 Avnet, Inc.*+ 9,318 182,819 Trimble Navigation Ltd.* 3,834 180,505 Sybase, Inc.* 7,401 179,400 Parametric Technology Corp.* 10,213 178,319 Zebra Technologies Corp. -- Class A*+ 4,950 176,913 Anixter International, Inc.+ 3,094 174,718 Agere Systems, Inc.* 11,701 174,696 THQ, Inc.*+ 5,935 173,124 Hyperion Solutions Corp.* 5,020 173,090 Gartner, Inc. -- Class A*+ 9,763 171,731 Teradyne, Inc.*+ 12,939 170,277 Factset Research Systems, Inc. 3,478 168,926 Tektronix, Inc. 5,828 168,604 Polycom, Inc.*+ 6,871 168,546 Fair Isaac Corp.+ 4,576 167,344 Varian Semiconductor Equipment Associates, Inc.* 4,536 166,471 Fairchild Semiconductor International, Inc.* 8,895 166,337 Jack Henry & Associates, Inc.+ 7,455 162,295 Flir Systems, Inc.*+ 5,965 162,009 F5 Networks, Inc.* 2,992 160,730 International Rectifier Corp.*+ 4,613 160,717 National Instruments Corp.+ 5,878 160,705 Micros Systems, Inc.*+ 3,284 160,653 Acxiom Corp. 6,442 158,860 Vishay Intertechnology, Inc.* 11,305 158,722 MoneyGram International, Inc. 5,433 157,883 WebEx Communications, Inc.*+ 3,962 154,597 CommScope, Inc.*+ 4,628 152,076 ADTRAN, Inc.+ 6,373 151,932 Filenet Corp.*+ 4,324 150,605 Novell, Inc.* 24,602 150,564 Benchmark Electronics, Inc.*+ 5,573 149,802 Tech Data Corp.* 4,099 149,736 Belden CDT, Inc.+ 3,914 149,632 Internet Security Systems, Inc.* 5,325 147,822 RF Micro Devices, Inc.* 19,423 147,226 Ciena Corp.*+ 5,400 147,138 Hewitt Associates, Inc. -- Class A* 6,032 146,336 VeriFone Holdings, Inc.*+ 5,090 145,320 Unisys Corp.* 25,361 143,543 Avid Technology, Inc.*+ 3,885 141,492 Spansion, Inc.*+ 8,420 140,361 Avocent Corp.* 4,642 139,817 Sanmina-SCI Corp.* 37,009 138,414 CACI International, Inc. -- Class A* 2,514 138,295 Cymer, Inc.*+ 3,107 136,428 MPS Group, Inc.*+ 8,973 135,582 ADC Telecommunications, Inc.* 9,033 135,495 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Ansys, Inc.*+ 3,058 $ 135,102 Technitrol, Inc. 4,526 135,101 Silicon Laboratories, Inc.*+ 4,348 134,875 Andrew Corp.*+ 14,537 134,177 3Com Corp.*+ 30,068 132,600 SRA International, Inc. -- Class A*+ 4,310 129,559 NAVTEQ Corp.*+ 4,953 129,323 Rambus, Inc.*+ 7,320 127,661 Palm, Inc.*+ 8,745 127,327 CSG Systems International, Inc.* 4,805 126,996 Take-Two Interactive Software, Inc.*+ 8,901 126,928 Macrovision Corp.*+ 5,350 126,742 Imation Corp. 3,130 125,670 ATMI, Inc.* 4,277 124,332 Itron, Inc.*+ 2,220 123,876 Cree, Inc.*+ 6,138 123,435 eFunds Corp.* 4,977 120,344 Mentor Graphics Corp.* 8,515 119,891 Utstarcom, Inc.*+ 13,512 119,851 j2 Global Communications, Inc.*+ 4,359 118,434 Progress Software Corp.* 4,531 117,806 Global Imaging Systems, Inc.* 5,270 116,309 Diodes, Inc.* 2,674 115,437 Cognex Corp. 4,566 115,337 Rogers Corp.* 1,867 115,287 Coherent, Inc.*+ 3,324 115,210 Wind River Systems, Inc.*+ 10,713 114,736 Quality Systems, Inc.+ 2,950 114,431 Websense, Inc.*+ 5,289 114,295 Transaction Systems Architects, Inc. -- Class A* 3,301 113,290 Advent Software, Inc.* 3,110 112,613 Insight Enterprises, Inc.* 5,460 112,531 Brooks Automation, Inc.* 8,595 112,165 Kronos, Inc.* 3,280 111,815 BISYS Group, Inc.* 10,226 111,054 Advanced Energy Industries, Inc.* 6,340 108,034 Keane, Inc.*+ 7,420 106,922 Microsemi Corp.* 5,606 105,673 Epicor Software Corp.* 7,854 102,966 Harmonic, Inc.*+ 13,952 102,547 Dycom Industries, Inc.*+ 4,769 102,534 Comtech Telecommunications Corp.*+ 3,030 101,444 Talx Corp. 4,137 101,439 MRO Software, Inc.* 3,945 101,268 Digital Insight Corp.* 3,449 101,125 Lattice Semiconductor Corp.* 14,776 100,772 Axcelis Technologies, Inc.* 14,242 100,549 Triquint Semiconductor, Inc.*+ 19,239 100,043 Standard Microsystems Corp.* 3,462 98,390 Semtech Corp.* 7,632 97,384 Paxar Corp.* 4,873 97,363 See Notes to Financial Statements. 42 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- TECHNOLOGY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- United Online, Inc. 7,945 $ 96,770 Manhattan Associates, Inc.* 3,990 96,319 PMC - Sierra, Inc.* 16,210 96,287 Park Electrochemical Corp. 3,034 96,117 Scansource, Inc.*+ 3,164 95,964 Skyworks Solutions, Inc.* 18,487 95,948 Micrel, Inc.* 9,917 95,104 Littelfuse, Inc.* 2,730 94,731 McData Corp. -- Class A* 18,669 93,905 Brightpoint, Inc.* 6,591 93,724 Altiris, Inc.* 4,373 92,227 Synaptics, Inc.*+ 3,758 91,582 Powerwave Technologies, Inc.* 12,013 91,299 Komag, Inc.*+ 2,850 91,086 Gateway, Inc.*+ 48,069 90,850 Electro Scientific Industries, Inc.* 4,384 90,310 Aeroflex, Inc.* 8,763 90,084 FEI Co.* 4,250 89,718 Black Box Corp. 2,288 89,049 ViaSat, Inc.* 3,548 88,984 Newport Corp.* 5,452 88,868 Rudolph Technologies, Inc.* 4,833 88,589 Netgear, Inc.*+ 4,292 88,372 Cabot Microelectronics Corp.*+ 3,057 88,103 Plantronics, Inc.+ 5,005 87,738 Power Integrations, Inc.* 4,460 87,416 DSP Group, Inc.* 3,822 87,333 MAXIMUS, Inc. 3,343 87,252 Mantech International Corp. -- Class A* 2,634 86,948 Open Solutions, Inc.* 3,000 86,430 KEMET Corp.*+ 10,518 84,880 Kulicke & Soffa Industries, Inc.* 9,481 83,812 Inter-Tel, Inc. 3,866 83,506 Daktronics, Inc. 3,987 82,491 Photronics, Inc.*+ 5,785 81,742 Supertex, Inc.*+ 2,040 79,295 Veeco Instruments, Inc.*+ 3,890 78,384 Adaptec, Inc.*+ 17,746 78,260 Gevity HR, Inc.+ 3,420 77,908 Hutchinson Technology, Inc.* 3,690 77,601 JDA Software Group, Inc.* 4,948 76,298 Plexus Corp.* 3,970 76,224 Checkpoint Systems, Inc.* 4,540 74,955 Exar Corp.* 5,613 74,597 MTS Systems Corp. 2,291 74,091 InfoSpace, Inc.* 4,017 74,073 CTS Corp.+ 5,354 73,778 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- C-COR, Inc.* 8,530 $ 73,187 Radisys Corp.* 3,388 71,995 Radiant Systems, Inc.* 5,904 71,320 Actel Corp.* 4,581 71,235 Symmetricom, Inc.* 8,794 70,968 Cohu, Inc. 3,912 69,751 Ciber, Inc.* 10,509 69,675 Gerber Scientific, Inc.* 4,514 67,620 LoJack Corp.* 3,430 67,194 SPSS, Inc.* 2,650 66,065 Sonic Solutions, Inc.*+ 4,332 66,020 Bankrate, Inc.*+ 2,420 64,275 Agilsys, Inc. 4,474 62,815 Digi International, Inc.* 4,621 62,384 Methode Electronics, Inc. -- Class A 6,464 61,473 Neoware, Inc.*+ 4,379 59,511 Pericom Semiconductor Corp.* 6,082 59,300 PC-Tel, Inc.* 5,504 57,792 Bel Fuse, Inc. -- Class B 1,792 57,505 Ultratech, Inc.* 4,278 56,983 Blue Coat Systems, Inc.* 3,155 56,822 MapInfo Corp.* 4,404 56,503 Napster, Inc.* 13,164 56,210 Novatel Wireless, Inc.* 5,808 55,931 Secure Computing Corp.*+ 8,579 54,305 EPIQ Systems, Inc.*+ 3,660 53,839 Photon Dynamics, Inc.* 4,000 53,080 Credence Systems Corp.* 18,352 52,303 X-Rite, Inc.+ 4,816 51,724 Ditech Networks, Inc.* 6,575 50,693 Kopin Corp.* 14,929 50,012 Captaris, Inc.* 8,456 49,552 Mercury Computer Systems, Inc.* 4,040 47,874 Keithley Instruments, Inc. 3,614 46,079 Planar Systems, Inc.* 3,889 44,140 Startek, Inc. 3,414 42,573 Bell Microproducts, Inc.* 8,083 41,951 Carreker Corp.* 6,471 39,732 Network Equipment Technologies, Inc.* 9,620 39,634 Tollgrade Communications, Inc.* 4,002 35,818 Phoenix Technologies Ltd.* 7,891 33,931 Catapult Communications Corp.* 3,994 33,390 MIVA, Inc.*+ 9,516 31,403 ESS Technologies, Inc.* 14,674 13,647 -------------- TOTAL COMMON STOCKS (Cost $56,063,610) 62,005,472 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 43 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- TECHNOLOGY FUND - -------------------------------------------------------------------------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 346,119 $ 346,119 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $346,119) 346,119 -------------- SECURITIES LENDING COLLATERAL 21.8% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 13,562,602 13,562,602 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $13,562,602) 13,562,602 -------------- TOTAL INVESTMENTS 122.0% (Cost $69,972,331) $ 75,914,193 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (22.0)% $ (13,670,762) ============== NET ASSETS - 100.0% $ 62,243,431 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 44 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- TELECOMMUNICATIONS FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- COMMON STOCKS 99.6% Cisco Systems, Inc.* 136,019 $ 3,128,437 AT&T, Inc.+ 90,843 2,957,848 Verizon Communications, Inc.+ 71,802 2,666,008 Vodafone Group, PLC -- SP ADR+ 113,135 2,586,266 BellSouth Corp. 54,635 2,335,646 Nokia OYJ -- SP ADR+ 109,364 2,153,377 Motorola, Inc. 85,178 2,129,450 Qualcomm, Inc. 49,754 1,808,558 Telefonaktiebolaget LM Ericsson -- SP ADR+ 51,528 1,775,140 Sprint Nextel Corp.+ 92,052 1,578,692 Corning, Inc.* 61,731 1,506,854 Alltel Corp.+ 18,991 1,054,001 American Tower Corp. -- Class A*+ 28,254 1,031,271 Qwest Communications International, Inc.*+ 117,471 1,024,347 Alcatel SA -- SP ADR+ 81,886 997,372 Juniper Networks, Inc.*+ 45,765 790,819 NII Holdings, Inc. -- Class B*+ 12,657 786,759 Lucent Technologies, Inc.*+ 331,027 774,603 Embarq Corp. 14,665 709,346 Crown Castle International Corp.*+ 19,189 676,220 Level 3 Communications, Inc.*+ 115,470 617,765 Harris Corp. 13,836 615,564 Avaya, Inc.*+ 48,925 559,702 CenturyTel, Inc.+ 13,605 539,710 Citizens Communications Co. 38,390 538,996 Comverse Technology, Inc.* 24,594 527,295 Tellabs, Inc.* 44,638 489,232 JDS Uniphase Corp.*+ 198,541 434,805 U.S. Cellular Corp.* 7,269 433,959 Leap Wireless International, Inc. -- Class B* 8,740 423,803 Polycom, Inc.*+ 15,345 376,413 SBA Communications Corp.* 15,270 371,519 Telephone & Data Systems, Inc. 8,550 359,955 F5 Networks, Inc.* 6,700 359,924 CommScope, Inc.*+ 10,450 343,387 ADTRAN, Inc.+ 14,231 339,267 Belden CDT, Inc.+ 8,729 333,710 Ciena Corp.*+ 12,151 331,103 Avocent Corp.*+ 10,506 316,441 NeuStar, Inc.*+ 11,230 311,633 ADC Telecommunications, Inc.* 20,290 304,350 Andrew Corp.*+ 32,658 301,433 3Com Corp.*+ 67,271 296,665 Cincinnati Bell, Inc.* 59,710 287,802 MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- Utstarcom, Inc.*+ 30,331 $ 269,036 Windstream Corp.+ 19,634 258,972 Commonwealth Telephone Enterprises, Inc. 6,185 255,008 Harmonic, Inc.* 31,307 230,106 Dycom Industries, Inc.*+ 10,590 227,685 Comtech Telecommunications Corp.*+ 6,790 227,329 Powerwave Technologies, Inc.*+ 26,977 205,025 Black Box Corp.+ 5,219 203,123 ViaSat, Inc.* 7,996 200,540 Plantronics, Inc.+ 11,240 197,037 Netgear, Inc.*+ 9,520 196,017 General Communication, Inc. -- Class A* 15,623 193,569 Inter-Tel, Inc. 8,609 185,954 C-COR, Inc.* 19,180 164,564 Symmetricom, Inc.* 19,615 158,293 Digi International, Inc.* 10,454 141,129 PC-Tel, Inc.* 12,370 129,885 Bel Fuse, Inc. -- Class B 4,043 129,740 Blue Coat Systems, Inc.* 7,150 128,772 Ditech Networks, Inc.* 14,813 114,208 Network Equipment Technologies, Inc.* 21,635 89,136 Tollgrade Communications, Inc.* 8,989 80,452 -------------- TOTAL COMMON STOCKS (Cost $40,909,908) 46,271,027 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 308,965 308,965 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $308,965) 308,965 -------------- SECURITIES LENDING COLLATERAL 28.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 13,138,040 13,138,040 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $13,138,040) 13,138,040 -------------- TOTAL INVESTMENTS 128.5% (Cost $54,356,913) $ 59,718,032 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (28.5)% $ (13,258,783) ============== NET ASSETS - 100.0% $ 46,459,249 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. ADR -- AMERICAN DEPOSITORY RECEIPT. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 45 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- TRANSPORTATION FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- COMMON STOCKS 99.5% United Parcel Service, Inc. -- Class B+ 38,765 $ 2,788,754 FedEx Corp. 22,213 2,414,109 Burlington Northern Santa Fe Corp. 29,494 2,166,039 Union Pacific Corp.+ 23,390 2,058,320 Norfolk Southern Corp.+ 38,380 1,690,639 Southwest Airlines Co.+ 96,269 1,603,842 CSX Corp.+ 48,768 1,601,053 Expeditors International Washington, Inc.+ 26,834 1,196,260 CH Robinson Worldwide, Inc.+ 24,822 1,106,565 AMR Corp.*+ 38,196 883,855 US Airways Group, Inc.*+ 17,980 797,053 Laidlaw International, Inc. 27,100 740,643 Ryder System, Inc.+ 14,052 726,207 J.B. Hunt Transport Services, Inc.+ 34,232 710,999 Continental Airlines, Inc. -- Class B*+ 23,585 667,691 Landstar System, Inc.+ 15,366 656,128 UAL Corp.* 24,505 651,098 Kansas City Southern*+ 22,660 618,845 Alexander & Baldwin, Inc.+ 13,753 610,221 YRC Worldwide, Inc.*+ 16,056 594,714 Con-way, Inc. 12,988 582,122 SkyWest, Inc.+ 22,032 540,225 Alaska Air Group, Inc.*+ 13,784 524,343 Werner Enterprises, Inc.+ 27,050 506,106 Heartland Express, Inc.+ 32,237 505,476 Swift Transportation Co., Inc.*+ 21,079 499,994 Kirby Corp.* 15,879 497,489 JetBlue Airways Corp.*+ 52,003 482,068 Knight Transportation, Inc.+ 28,340 480,363 EGL, Inc.* 12,343 449,779 Arkansas Best Corp. 9,752 419,629 Old Dominion Freight Line, Inc.* 13,690 411,111 Forward Air Corp.+ 12,092 400,124 HUB Group, Inc. -- Class A*+ 17,557 399,948 AirTran Holdings, Inc.*+ 33,978 337,062 Frontier Airlines Holdings, Inc.*+ 30,969 255,494 Mesa Air Group, Inc.*+ 26,334 204,352 -------------- TOTAL COMMON STOCKS (Cost $25,468,553) 31,778,720 -------------- MARKET FACE VALUE AMOUNT (NOTE 1) - ------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 0.6% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 185,264 $ 185,264 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $185,264) 185,264 -------------- SECURITIES LENDING COLLATERAL 32.0% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 10,213,425 10,213,425 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $10,213,425) 10,213,425 -------------- TOTAL INVESTMENTS 132.1% (Cost $35,867,242) $ 42,177,409 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (32.1)% $ (10,244,609) ============== NET ASSETS - 100.0% $ 31,932,800 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. 46 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- UTILITIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- COMMON STOCKS 99.5% Exelon Corp.+ 30,937 $ 1,872,926 TXU Corp. 25,066 1,567,126 Duke Energy Corp. 50,735 1,532,197 Southern Co.+ 43,455 1,497,459 Dominion Resources, Inc.+ 19,419 1,485,359 FPL Group, Inc.+ 28,176 1,267,920 FirstEnergy Corp.+ 22,243 1,242,494 Entergy Corp. 15,512 1,213,504 PG&E Corp.+ 26,798 1,116,137 American Electric Power Co., Inc. 30,616 1,113,504 AES Corp.*+ 53,923 1,099,490 Edison International+ 26,104 1,086,971 Sempra Energy+ 21,564 1,083,591 Public Service Enterprise Group, Inc.+ 17,599 1,076,883 PPL Corp.+ 30,961 1,018,617 Progress Energy, Inc.+ 21,918 994,639 Consolidated Edison, Inc.+ 21,174 978,239 Constellation Energy Group, Inc. 16,335 967,032 Ameren Corp.+ 18,149 958,086 Xcel Energy, Inc.+ 41,453 856,004 Mirant Corp.* 30,228 825,527 DTE Energy Co.+ 18,861 782,920 KeySpan Corp.+ 18,798 773,350 Allegheny Energy, Inc.* 18,946 761,061 Questar Corp.+ 9,261 757,272 NiSource, Inc. 31,902 693,549 NRG Energy, Inc.*+ 15,177 687,518 Wisconsin Energy Corp. 15,419 665,176 CenterPoint Energy, Inc.+ 45,060 645,259 Pinnacle West Capital Corp.+ 14,256 642,233 Oneok, Inc.+ 16,714 631,622 SCANA Corp.+ 15,643 629,944 Pepco Holdings, Inc.+ 25,686 620,831 Equitable Resources, Inc.+ 17,146 599,767 Alliant Energy Corp.+ 16,667 595,512 NSTAR+ 17,451 582,165 Northeast Utilities 24,615 572,791 Reliant Energy, Inc.*+ 45,634 561,755 MDU Resources Group, Inc.+ 24,525 547,888 CMS Energy Corp.*+ 37,258 538,006 Energy East Corp.+ 22,387 531,020 TECO Energy, Inc. 33,733 527,921 OGE Energy Corp.+ 14,537 524,931 Energen Corp. 12,530 524,631 DPL, Inc.+ 19,212 521,029 National Fuel Gas Co.+ 13,991 508,573 Sierra Pacific Resources*+ 34,146 489,654 Southern Union Co. 18,296 483,197 Puget Energy, Inc. 20,943 476,034 Aqua America, Inc.+ 21,682 475,703 MARKET VALUE SHARES (NOTE 1) - ------------------------------------------------------------------------------- Great Plains Energy, Inc.+ 15,200 $ 471,504 AGL Resources, Inc.+ 12,916 471,434 UGI Corp. 18,691 456,995 Atmos Energy Corp.+ 15,340 437,957 Westar Energy, Inc.+ 18,308 430,421 Dynegy, Inc. -- Class A* 76,672 424,763 WPS Resources Corp.+ 8,429 418,331 Hawaiian Electric Industries, Inc.+ 15,433 417,617 PNM Resources, Inc. 14,956 412,337 Vectren Corp.+ 15,060 404,361 Piedmont Natural Gas Co.+ 15,900 402,429 Nicor, Inc.+ 9,291 397,283 Duquesne Light Holdings, Inc.+ 19,655 386,417 IDACORP, Inc.+ 10,087 381,389 Peoples Energy Corp.+ 9,290 377,638 Aquila, Inc.* 85,034 368,197 WGL Holdings, Inc.+ 11,714 367,117 New Jersey Resources Corp.+ 7,026 346,382 Southwest Gas Corp.+ 10,202 339,931 Cleco Corp.+ 13,282 335,238 Unisource Energy Corp.+ 9,624 320,768 Allete, Inc.+ 7,234 314,317 El Paso Electric Co.* 14,031 313,453 Avista Corp. 13,207 312,742 Northwest Natural Gas Co. 7,765 305,009 Black Hills Corp.+ 8,878 298,390 UIL Holding Corp. 7,675 287,812 South Jersey Industries, Inc. 9,270 277,266 CH Energy Group, Inc. 5,204 267,850 Laclede Group, Inc. 7,105 227,928 -------------- TOTAL COMMON STOCKS (Cost $47,122,611) 53,178,293 -------------- FACE AMOUNT ------------ REPURCHASE AGREEMENTS 0.8% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 411,727 $ 411,727 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $411,727) 411,727 -------------- SECURITIES LENDING COLLATERAL 31.6% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 16,888,517 16,888,517 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $16,888,517) 16,888,517 -------------- TOTAL INVESTMENTS 131.9% (Cost $64,422,855) $ 70,478,537 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (31.9)% $ (17,031,949) ============== NET ASSETS - 100.0% $ 53,446,588 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 47 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) - --------------------------------------------------------------------------------
BASIC BIO- BANKING MATERIALS TECHNOLOGY COMMODITIES FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 12,740,118 $ 29,859,939 $ 132,942,929 $ 55,937,052 Cash -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- -- 655 Receivable for Securities Sold (Note 1) 251,323 932,249 795,741 -- Receivable for Fund Shares Purchased 396,621 114,054 71,759 198,442 Investment Income Receivable (Note 1) 19,307 31,588 246 15,840 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 13,407,369 30,937,830 133,810,675 56,151,989 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) -- -- -- 5,651,495 Payable upon Return of Securities Loaned (Note 8) 2,048,265 5,210,882 36,179,253 -- Payable for Securities Purchased (Note 1) 176,443 -- -- 10,800,000 Liability for Fund Shares Redeemed 433,922 1,071,860 938,270 191,947 Investment Advisory Fees Payable (Note 3) 7,878 19,312 70,620 15,299 Transfer Agent and Administrative Fees Payable (Note 3) 2,317 5,680 20,771 8,772 Distribution and Service Fees Payable (Note 3) 852 2,536 2,216 3,355 Portfolio Accounting Fees Payable (Note 3) 927 2,272 8,308 3,509 Custody Fees Payable 422 680 2,169 842 Cash Due to Custodian Bank -- -- -- -- Other Liabilities 4,930 13,048 41,314 18,927 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 2,675,956 6,326,270 37,262,921 16,694,146 ================================================================================================================================ NET ASSETS $ 10,731,413 $ 24,611,560 $ 96,547,754 $ 39,457,843 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 54,099,821 41,416,663 248,877,722 47,663,560 Undistributed Net Investment Income (Loss) 113,553 277,181 (706,561) (237,641) Accumulated Net Realized Loss on Investments and Commodity Index Swaps (45,194,389) (23,670,168) (192,272,144) (8,029,460) Net Unrealized Appreciation on Investments 1,712,428 6,587,884 40,648,737 61,384 ================================================================================================================================ NET ASSETS $ 10,731,413 $ 24,611,560 $ 96,547,754 $ 39,457,843 ================================================================================================================================ Investor Class $ 5,601,280 $ 12,009,972 $ 83,115,421 $ N/A Advisor Class 3,108,059 4,407,876 9,032,593 N/A A-Class 371,175 1,717,005 1,373,352 4,772,444 C-Class 1,650,899 6,476,707 3,026,388 3,520,028 H-Class N/A N/A N/A 31,165,371 SHARES OUTSTANDING Investor Class 498,627 353,270 3,901,711 N/A Advisor Class 292,835 134,530 444,152 N/A A-Class 34,746 52,081 67,278 197,719 C-Class 156,959 201,438 150,313 147,388 H-Class N/A N/A N/A 1,291,324 NET ASSET VALUES Investor Class $ 11.23 $ 34.00 $ 21.30 N/A Advisor Class 10.61 32.76 20.34 N/A A-Class 10.68 32.97 20.41 $ 24.14 A-Class Maximum Offering Price** 11.21 34.61 21.43 25.34 C-Class 10.52 32.15 20.13 23.88 H-Class N/A N/A N/A 24.13
* THE COST OF SECURITIES AT VALUE IS $11,027,690, $23,272,055, $92,294,192, $55,875,668, $89,414,713, $30,709,305, $100,003,390, $112,638,618, $69,756,967, $102,156,408, $24,808,988, AND $22,347,982, RESPECTIVELY. ** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE. See Notes to Financial Statements. 48 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT September 30, 2006 - --------------------------------------------------------------------------------
CONSUMER ENERGY PRODUCTS ELECTRONICS ENERGY SERVICES FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 96,488,515 $ 42,971,482 $ 133,577,021 $ 161,621,438 Cash -- -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- -- -- Receivable for Securities Sold (Note 1) 4,813,612 -- -- -- Receivable for Fund Shares Purchased 1,961,532 3,422,176 3,342,509 8,481,573 Investment Income Receivable (Note 1) 169,747 1,751 41,967 56,136 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 103,433,406 46,395,409 136,961,497 170,159,147 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) -- -- -- -- Payable upon Return of Securities Loaned (Note 8) 18,076,874 7,956,583 27,903,856 32,381,122 Payable for Securities Purchased (Note 1) -- 2,583,024 -- 4,894,663 Liability for Fund Shares Redeemed 6,832,244 1,038,874 3,712,257 3,458,292 Investment Advisory Fees Payable (Note 3) 56,954 26,047 85,019 106,799 Transfer Agent and Administrative Fees Payable (Note 3) 16,751 7,661 25,006 31,412 Distribution and Service Fees Payable (Note 3) 4,367 1,936 7,751 9,006 Portfolio Accounting Fees Payable (Note 3) 6,700 3,064 10,002 12,565 Custody Fees Payable 1,645 1,837 4,384 4,711 Cash Due to Custodian Bank -- -- -- -- Other Liabilities 20,132 14,688 54,505 80,490 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 25,015,667 11,633,714 31,802,780 40,979,060 ================================================================================================================================ NET ASSETS $ 78,417,739 $ 34,761,695 $ 105,158,717 $ 129,180,087 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 89,180,347 190,845,122 76,328,221 159,663,467 Undistributed Net Investment Income (Loss) 249,055 (188,365) (217,485) (1,271,798) Accumulated Net Realized Loss on Investments and Commodity Index Swaps (18,085,465) (168,157,239) (4,525,650) (78,194,402) Net Unrealized Appreciation on Investments 7,073,802 12,262,177 33,573,631 48,982,820 ================================================================================================================================ NET ASSETS $ 78,417,739 $ 34,761,695 $ 105,158,717 $ 129,180,087 ================================================================================================================================ Investor Class $ 49,559,859 $ 26,082,561 $ 67,628,908 $ 84,629,129 Advisor Class 18,792,725 3,875,715 14,819,726 14,034,076 A-Class 2,638,711 203,883 4,743,574 7,584,467 C-Class 7,426,444 4,599,536 17,966,509 22,932,415 H-Class N/A N/A N/A N/A SHARES OUTSTANDING Investor Class 1,475,570 2,136,099 3,248,036 2,076,956 Advisor Class 580,923 331,739 738,068 357,811 A-Class 81,177 17,340 235,065 192,244 C-Class 233,304 397,928 911,752 593,552 H-Class N/A N/A N/A N/A NET ASSET VALUES Investor Class $ 33.59 $ 12.21 $ 20.82 $ 40.75 Advisor Class 32.35 11.68 20.08 39.22 A-Class 32.51 11.76 20.18 39.45 A-Class Maximum Offering Price** 34.13 12.35 21.19 41.42 C-Class 31.83 11.56 19.71 38.64 H-Class N/A N/A N/A N/A FINANCIAL HEALTH SERVICES CARE INTERNET LEISURE FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 74,776,673 $ 115,478,669 $ 28,093,319 $ 24,637,707 Cash 1,184 -- -- -- Receivable for Equity Index Swap Settlement (Note 1) -- -- -- -- Receivable for Securities Sold (Note 1) -- 4,638,544 441,538 550,135 Receivable for Fund Shares Purchased 1,635,312 327,258 10,616 80,798 Investment Income Receivable (Note 1) 89,661 47,295 33 2,431 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 76,502,830 120,491,766 28,545,506 25,271,071 ================================================================================================================================ LIABILITIES Payable for Equity Index Swap Settlement (Note 1) -- -- -- -- Payable upon Return of Securities Loaned (Note 8) 12,613,797 18,361,298 4,594,096 4,158,360 Payable for Securities Purchased (Note 1) 947,154 -- -- -- Liability for Fund Shares Redeemed 1,051,081 4,812,776 389,546 409,756 Investment Advisory Fees Payable (Note 3) 39,377 68,662 19,274 10,055 Transfer Agent and Administrative Fees Payable (Note 3) 11,582 20,195 5,669 2,957 Distribution and Service Fees Payable (Note 3) 4,248 6,415 892 869 Portfolio Accounting Fees Payable (Note 3) 4,633 8,078 2,268 1,183 Custody Fees Payable 1,165 1,997 605 511 Cash Due to Custodian Bank -- -- -- 118,500 Other Liabilities 15,650 28,906 5,688 5,085 - -------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 14,688,687 23,308,327 5,018,038 4,707,276 ================================================================================================================================ NET ASSETS $ 61,814,143 $ 97,183,439 $ 23,527,468 $ 20,563,795 ================================================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 101,322,176 117,714,081 58,684,286 38,571,445 Undistributed Net Investment Income (Loss) 234,683 (186,103) (76,072) (60,920) Accumulated Net Realized Loss on Investments and Commodity Index Swaps (44,762,422) (33,666,800) (38,365,077) (20,236,455) Net Unrealized Appreciation on Investments 5,019,706 13,322,261 3,284,331 2,289,725 ================================================================================================================================ NET ASSETS $ 61,814,143 $ 97,183,439 $ 23,527,468 $ 20,563,795 ================================================================================================================================ Investor Class $ 31,351,015 $ 53,340,752 $ 19,702,942 $ 14,582,445 Advisor Class 25,780,737 36,965,487 2,682,293 4,822,949 A-Class 1,140,076 888,850 140,797 81,290 C-Class 3,542,315 5,988,350 1,001,436 1,077,111 H-Class N/A N/A N/A N/A SHARES OUTSTANDING Investor Class 2,299,420 3,657,241 526,924 459,549 Advisor Class 1,953,728 2,648,666 74,260 159,229 A-Class 86,131 63,417 3,879 2,674 C-Class 273,575 434,918 28,241 35,783 H-Class N/A N/A N/A N/A NET ASSET VALUES Investor Class $ 13.63 $ 14.58 $ 37.39 $ 31.73 Advisor Class 13.20 13.96 36.12 30.29 A-Class 13.24 14.02 36.30 30.40 A-Class Maximum Offering Price** 13.90 14.72 38.11 31.92 C-Class 12.95 13.77 35.46 30.10 H-Class N/A N/A N/A N/A
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 49 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
PRECIOUS REAL METALS ESTATE RETAILING TECHNOLOGY FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 253,931,274 $ 76,232,355 $ 41,436,765 $ 75,914,193 Receivable for Securities Sold (Note 1) -- 2,169,040 -- 9,088,304 Receivable for Fund Shares Purchased 5,663,738 2,672,425 5,375,002 368,056 Investment Income Receivable (Note 1) 11,587 222,639 9,091 7,174 - ------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 259,606,599 81,296,459 46,820,858 85,377,727 ========================================================================================================================= LIABILITIES Payable upon Return of Securities Loaned (Note 8) 68,651,694 15,912,302 5,752,120 13,562,602 Payable for Securities Purchased (Note 1) 2,378,114 -- 1,233,850 -- Liability for Fund Shares Redeemed 2,887,792 4,918,928 3,467,908 9,499,316 Investment Advisory Fees Payable (Note 3) 127,137 35,502 13,946 38,170 Transfer Agent and Administrative Fees Payable (Note 3) 42,379 10,442 4,102 11,226 Distribution and Service Fees Payable (Note 3) 7,952 5,134 1,444 3,872 Portfolio Accounting Fees Payable (Note 3) 16,952 4,177 1,641 4,491 Custody Fees Payable 4,400 1,207 885 1,174 Other Liabilities 86,165 13,640 5,233 13,445 - ------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 74,202,585 20,901,332 10,481,129 23,134,296 ========================================================================================================================= NET ASSETS $ 185,404,014 $ 60,395,127 $ 36,339,729 $ 62,243,431 ========================================================================================================================= NET ASSETS CONSIST OF Paid-In Capital 180,411,312 56,992,615 69,386,071 137,542,943 Undistributed Net Investment Income (Loss) (259,325) 251,814 (29,740) (168,275) Accumulated Net Realized Gain (Loss) on Investments (76,545,208) (2,756,685) (36,419,966) (81,073,099) Net Unrealized Appreciation on Investments 81,797,235 5,907,383 3,403,364 5,941,862 ========================================================================================================================= NET ASSETS $ 185,404,014 $ 60,395,127 $ 36,339,729 $ 62,243,431 ========================================================================================================================= Investor Class $ 146,507,743 N/A $ 28,398,423 $ 36,423,432 Advisor Class 11,073,214 N/A 4,844,546 23,568,157 A-Class 5,462,386 $ 444,536 160,022 121,359 C-Class 22,360,671 4,962,707 2,936,738 2,130,483 H-Class N/A 54,987,884 N/A N/A SHARES OUTSTANDING Investor Class 2,979,052 N/A 2,125,242 3,098,851 Advisor Class 228,525 N/A 374,915 2,079,027 A-Class 112,164 11,623 12,332 10,685 C-Class 478,734 132,207 232,532 190,416 H-Class N/A 1,438,569 N/A N/A NET ASSET VALUES Investor Class $ 49.18 N/A $ 13.36 $ 11.75 Advisor Class 48.46 N/A 12.92 11.34 A-Class 48.70 $ 38.25 12.98 11.36 A-Class Maximum Offering Price** 51.13 40.16 13.63 11.93 C-Class 46.71 37.54 12.63 11.19 H-Class N/A 38.22 N/A N/A
* THE COST OF SECURITIES AT VALUE IS $172,134,039, $70,324,972, $38,033,401, $69,972,331, $54,356,913, $35,867,242, AND $64,422,855, RESPECTIVELY. ** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE. See Notes to Financial Statements. 50 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT September 30, 2006 - --------------------------------------------------------------------------------
TELECOM- MUNICATIONS TRANSPORTATION UTILITIES FUND FUND FUND - -------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 59,718,032 $ 42,177,409 $ 70,478,537 Receivable for Securities Sold (Note 1) 8,080,387 997,957 4,940,667 Receivable for Fund Shares Purchased 452,915 4,283,665 849,833 Investment Income Receivable (Note 1) 22,355 19,682 156,764 - -------------------------------------------------------------------------------------------------------- TOTAL ASSETS 68,273,689 47,478,713 76,425,801 ======================================================================================================== LIABILITIES Payable upon Return of Securities Loaned (Note 8) 13,138,040 10,213,425 16,888,517 Payable for Securities Purchased (Note 1) -- -- -- Liability for Fund Shares Redeemed 8,626,785 5,282,896 5,994,968 Investment Advisory Fees Payable (Note 3) 25,948 20,192 48,852 Transfer Agent and Administrative Fees Payable (Note 3) 7,632 5,939 14,368 Distribution and Service Fees Payable (Note 3) 1,782 2,687 3,345 Portfolio Accounting Fees Payable (Note 3) 3,053 2,376 5,747 Custody Fees Payable 875 836 1,867 Other Liabilities 10,325 17,562 21,549 - -------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 21,814,440 15,545,913 22,979,213 ======================================================================================================== NET ASSETS $ 46,459,249 $ 31,932,800 $ 53,446,588 ======================================================================================================== NET ASSETS CONSIST OF Paid-In Capital 83,556,937 48,728,533 55,365,671 Undistributed Net Investment Income (Loss) 206,017 (181,827) 670,155 Accumulated Net Realized Gain (Loss) on Investments (42,664,824) (22,924,073) (8,644,920) Net Unrealized Appreciation on Investments 5,361,119 6,310,167 6,055,682 ======================================================================================================== NET ASSETS $ 46,459,249 $ 31,932,800 $ 53,446,588 ======================================================================================================== Investor Class $ 35,358,506 $ 16,532,814 $ 35,669,477 Advisor Class 7,555,688 6,444,371 8,160,186 A-Class 306,729 2,907,957 2,518,973 C-Class 3,238,326 6,047,658 7,097,952 H-Class N/A N/A N/A SHARES OUTSTANDING Investor Class 2,032,385 624,199 1,307,344 Advisor Class 451,613 258,004 310,149 A-Class 18,308 115,788 95,211 C-Class 196,286 239,329 278,012 H-Class N/A N/A N/A NET ASSET VALUES Investor Class $ 17.40 $ 26.49 $ 27.28 Advisor Class 16.73 24.98 26.31 A-Class 16.75 25.11 26.46 A-Class Maximum Offering Price** 17.59 26.36 27.78 C-Class 16.50 25.27 25.53 H-Class N/A N/A N/A
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 51 STATEMENTS OF OPERATIONS (UNAUDITED) - --------------------------------------------------------------------------------
BASIC BIO- BANKING MATERIALS TECHNOLOGY COMMODITIES FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 2,205 $ 3,877 $ 12,800 $ 1,237,343 Interest from Securities Lending, net (Note 8) 702 5,191 30,711 -- Dividends, Net of Foreign Tax Withheld* (Note 1) 182,007 398,095 4,444 -- Other Income -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Income 184,914 407,163 47,955 1,237,343 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 52,676 152,304 433,533 184,655 Transfer Agent and Administrative Fees (Note 3) 15,493 44,795 127,510 61,552 Distribution & Service Fees (Note 3): Advisor Class 8,069 18,015 30,929 -- A-Class 272 2,658 3,281 6,614 C-Class 7,792 39,298 20,900 21,177 H-Class -- -- -- 49,643 Portfolio Accounting Fees (Note 3) 6,197 17,918 51,004 24,621 Trustees' Fees** 398 1,353 4,122 1,600 Custody Fees 2,493 6,607 15,955 5,780 Miscellaneous 8,278 23,733 67,282 32,868 - -------------------------------------------------------------------------------------------------------------------------------- Total Expenses 101,668 306,681 754,516 388,510 - -------------------------------------------------------------------------------------------------------------------------------- Less Tax Expense Reimbursed by Advisor (Note 4) -- -- -- (64,988) - -------------------------------------------------------------------------------------------------------------------------------- Net Expenses 101,668 306,681 754,516 323,522 - -------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 83,246 100,482 (706,561) 913,821 ================================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (654,792) (364,499) 7,092,756 -- Commodity Index Swaps -- -- -- (7,624,978) - -------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (654,792) (364,499) 7,092,756 (7,624,978) - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 490,963 (2,181,031) (19,205,434) 61,384 Commodity Index Swaps -- -- -- (1,151,462) - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 490,963 (2,181,031) (19,205,434) (1,090,078) - -------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments (163,829) (2,545,530) (12,112,678) (8,715,056) - -------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (80,583) $ (2,445,048) $ (12,819,239) $ (7,801,235) ================================================================================================================================
* FOREIGN TAX WITHHELD OF $237, $0, $0, $0, $0, $0, $33,189, $0, $256, $0, $0, AND $0 RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT. See Notes to Financial Statements. 52 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT Period Ended September 30, 2006 - --------------------------------------------------------------------------------
CONSUMER ENERGY PRODUCTS ELECTRONICS ENERGY SERVICES FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 8,597 $ 6,539 $ 20,884 $ 33,718 Interest from Securities Lending, net (Note 8) 3,566 2,756 9,887 20,178 Dividends, Net of Foreign Tax Withheld* (Note 1) 509,505 102,631 838,771 388,017 Other Income -- 3,224 -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Income 521,668 115,150 869,542 441,913 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 185,977 158,072 570,836 916,854 Transfer Agent and Administrative Fees (Note 3) 54,699 46,492 167,893 269,663 Distribution & Service Fees (Note 3): Advisor Class 21,342 17,422 45,404 82,086 A-Class 2,269 1,356 5,259 10,241 C-Class 20,216 26,844 113,460 146,614 H-Class -- -- -- -- Portfolio Accounting Fees (Note 3) 21,880 18,597 67,157 107,473 Trustees' Fees** 1,079 1,540 4,889 7,866 Custody Fees 5,390 8,697 22,998 29,768 Miscellaneous 29,552 24,495 89,131 143,146 - -------------------------------------------------------------------------------------------------------------------------------- Total Expenses 342,404 303,515 1,087,027 1,713,711 - -------------------------------------------------------------------------------------------------------------------------------- Less Tax Expense Reimbursed by Advisor (Note 4) -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Expenses 342,404 303,515 1,087,027 1,713,711 - -------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 179,264 (188,365) (217,485) (1,271,798) ================================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (1,026,743) 69,775 3,957,984 3,588,370 Commodity Index Swaps -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (1,026,743) 69,775 3,957,984 3,588,370 - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 4,285,319 (5,451,339) (11,987,482) (25,670,650) Commodity Index Swaps -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 4,285,319 (5,451,339) (11,987,482) (25,670,650) - -------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 3,258,576 (5,381,564) (8,029,498) (22,082,280) - -------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 3,437,840 $ (5,569,929) $ (8,246,983) $ (23,354,078) ================================================================================================================================ FINANCIAL HEALTH SERVICES CARE INTERNET LEISURE FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 5,995 $ 8,747 $ 1,289 $ 2,567 Interest from Securities Lending, net (Note 8) 4,785 5,197 860 3,674 Dividends, Net of Foreign Tax Withheld* (Note 1) 388,551 328,352 11,661 49,745 Other Income -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Income 399,331 342,296 13,810 55,986 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 141,983 277,367 48,121 60,141 Transfer Agent and Administrative Fees (Note 3) 41,760 81,579 14,153 17,688 Distribution & Service Fees (Note 3): Advisor Class 30,489 51,421 6,308 13,779 A-Class 2,404 1,259 283 73 C-Class 9,249 30,278 5,878 5,015 H-Class -- -- -- -- Portfolio Accounting Fees (Note 3) 16,704 32,631 5,661 7,075 Trustees' Fees** 1,013 2,125 363 502 Custody Fees 4,985 8,179 1,550 3,230 Miscellaneous 22,372 43,560 7,565 9,403 - -------------------------------------------------------------------------------------------------------------------------------- Total Expenses 270,959 528,399 89,882 116,906 - -------------------------------------------------------------------------------------------------------------------------------- Less Tax Expense Reimbursed by Advisor (Note 4) -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Expenses 270,959 528,399 89,882 116,906 - -------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 128,372 (186,103) (76,072) (60,920) ================================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 365,820 512,762 368,313 (90,243) Commodity Index Swaps -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 365,820 512,762 368,313 (90,243) - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 1,319,926 824,015 (516,094) (429,433) Commodity Index Swaps -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 1,319,926 824,015 (516,094) (429,433) - -------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments 1,685,746 1,336,777 (147,781) (519,676) - -------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,814,118 $ 1,150,674 $ (223,853) $ (580,596) ================================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 53 STATEMENTS OF OPERATIONS (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
PRECIOUS REAL METALS ESTATE RETAILING TECHNOLOGY FUND FUND FUND FUND - ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 33,607 $ 4,165 $ 2,076 $ 5,306 Interest from Securities Lending, net (Note 8) 142,944 3,361 780 1,580 Dividends, Net of Foreign Tax Withheld* (Note 1) 1,148,119 489,119 61,817 62,704 Other Income -- -- -- 353 - ---------------------------------------------------------------------------------------------------------------------------------- Total Income 1,324,670 496,645 64,673 69,943 - ---------------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 847,568 121,416 49,369 129,046 Transfer Agent and Administrative Fees (Note 3) 282,523 35,711 14,520 37,955 Distribution & Service Fees (Note 3): Advisor Class 27,823 -- 6,746 20,672 A-Class 8,301 305 46 309 C-Class 119,509 15,882 7,837 8,484 H-Class -- 31,436 -- -- Portfolio Accounting Fees (Note 3) 111,900 14,284 5,808 15,182 Trustees' Fees** 8,119 927 381 1,048 Custody Fees 28,159 5,800 1,954 5,315 Miscellaneous 150,093 19,070 7,752 20,207 - ---------------------------------------------------------------------------------------------------------------------------------- Total Expenses 1,583,995 244,831 94,413 238,218 - ---------------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) (259,325) 251,814 (29,740) (168,275) ================================================================================================================================== REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities 14,316,662 705,034 (147,156) 2,473,549 - ---------------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) 14,316,662 705,034 (147,156) 2,473,549 - ---------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities (42,510,521) (182,373) 254,219 (3,565,444) - ---------------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (42,510,521) (182,373) 254,219 (3,565,444) - ---------------------------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments (28,193,859) 522,661 107,063 (1,091,895) - ---------------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (28,453,184) $ 774,475 $ 77,323 $ (1,260,170) ==================================================================================================================================
* FOREIGN TAX WITHHELD OF $21,735, $0, $0, $0, $0, $0, AND $0, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT. See Notes to Financial Statements. 54 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT Period Ended September 30, 2006 - --------------------------------------------------------------------------------
TELECOM- MUNICATIONS TRANSPORTATION UTILITIES FUND FUND FUND - ---------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 3,601 $ 7,061 $ 5,479 Interest from Securities Lending, net (Note 8) 4,114 9,005 2,859 Dividends, Net of Foreign Tax Withheld* (Note 1) 396,450 182,938 753,388 Other Income -- -- -- - ---------------------------------------------------------------------------------------------------------------- Total Income 404,165 199,004 761,726 - ---------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 109,988 201,925 189,714 Transfer Agent and Administrative Fees (Note 3) 32,349 59,390 55,798 Distribution & Service Fees (Note 3): Advisor Class 10,441 23,687 18,342 A-Class 1,501 3,824 2,093 C-Class 11,615 28,258 27,298 H-Class -- -- -- Portfolio Accounting Fees (Note 3) 12,940 23,756 22,319 Trustees' Fees** 1,017 2,045 1,317 Custody Fees 3,878 6,733 6,971 Miscellaneous 14,419 31,213 29,930 - ---------------------------------------------------------------------------------------------------------------- Total Expenses 198,148 380,831 353,782 - ---------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 206,017 (181,827) 407,944 ================================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (404,052) (657,811) 1,028,149 - ---------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (404,052) (657,811) 1,028,149 - ---------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities (1,224,464) (6,949,886) 1,987,702 - ---------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) (1,224,464) (6,949,886) 1,987,702 - ---------------------------------------------------------------------------------------------------------------- Net Gain (Loss) on Investments (1,628,516) (7,607,697) 3,015,851 - ---------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ (1,422,499) $ (7,789,524) $ 3,423,795 ================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 55 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
BASIC BANKING FUND MATERIALS FUND - -------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - -------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 83,246 $ 138,952 $ 100,482 $ 275,013 Net Realized Gain (Loss) on Investments (654,792) (103,048) (364,499) (740,023) Net Change in Unrealized Appreciation (Depreciation) on Investments 490,963 659,740 (2,181,031) 2,910,645 - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (80,583) 695,644 (2,445,048) 2,445,635 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- (214,427) -- (163,691) Advisor Class -- (53,165) -- (42,795) A-Class -- (561) -- (2,490) C-Class -- (10,268) -- (30,622) Realized Gain on Investment Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (278,421) -- (239,598) ========================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 71,398,541 204,320,184 113,603,331 279,909,252 Advisor Class 23,533,617 39,149,881 35,343,194 77,286,943 A-Class 592,452 132,883 3,269,436 609,616 C-Class 7,157,479 13,242,639 10,539,556 47,906,414 H-Class -- -- -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- 212,320 -- 153,634 Advisor Class -- 33,917 -- 35,335 A-Class -- 517 -- 2,472 C-Class -- 8,362 -- 27,804 H-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (74,513,536) (200,925,600) (124,155,597) (291,983,757) Advisor Class (21,917,326) (40,818,579) (37,737,886) (82,668,932) A-Class (323,175) (53,938) (2,121,873) (223,003) C-Class (6,135,517) (13,437,135) (9,633,326) (49,969,464) H-Class -- -- -- -- ========================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (207,465) 1,865,451 (10,893,165) (18,913,686) - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (288,048) 2,282,674 (13,338,213) (16,707,649) NET ASSETS--BEGINNING OF PERIOD 11,019,461 8,736,787 37,949,773 54,657,422 ========================================================================================================================== NET ASSETS--END OF PERIOD $ 10,731,413 $ 11,019,461 $ 24,611,560 $ 37,949,773 ========================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 113,553 $ 30,307 $ 277,181 $ 176,699 ========================================================================================================================== BIOTECHNOLOGY FUND - ------------------------------------------------------------------------------------------ PERIOD YEAR ENDED ENDED SEPTEMBER 30, MARCH 31, 2006+ 2006 - ------------------------------------------------------------------------------------------ FROM OPERATIONS Net Investment Income (Loss) $ (706,561) $ (1,969,489) Net Realized Gain (Loss) on Investments 7,092,756 5,439,783 Net Change in Unrealized Appreciation (Depreciation) on Investments (19,205,434) 32,543,773 - ------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets from Operations (12,819,239) 36,014,067 - ------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- Advisor Class -- -- A-Class -- -- C-Class -- -- Realized Gain on Investment Investor Class -- -- Advisor Class -- -- A-Class -- -- C-Class -- -- H-Class -- -- - ------------------------------------------------------------------------------------------ Total Distributions to Shareholders -- -- ========================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 180,242,690 559,515,985 Advisor Class 23,939,743 130,742,290 A-Class 775,570 6,216,121 C-Class 27,401,177 26,453,099 H-Class -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- Advisor Class -- -- A-Class -- -- C-Class -- -- H-Class -- -- COST OF SHARES REDEEMED Investor Class (191,466,000) (560,710,682) Advisor Class (39,038,896) (118,636,207) A-Class (4,082,585) (1,565,956) C-Class (31,642,618) (22,611,412) H-Class -- -- ========================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (33,870,919) 19,403,238 - ------------------------------------------------------------------------------------------ Net Increase (Decrease) in Net Assets (46,690,158) 55,417,305 NET ASSETS--BEGINNING OF PERIOD 143,237,912 87,820,607 ========================================================================================== NET ASSETS--END OF PERIOD $ 96,547,754 $ 143,237,912 ========================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (706,561) $ -- ==========================================================================================
+ UNAUDITED. See Notes to Financial Statements. 56 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT
COMMODITIES CONSUMER FUND PRODUCTS FUND - -------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - -------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 913,821 $ 494,315 $ 179,264 $ 120,629 Net Realized Gain (Loss) on Investments (7,624,978) (4,048,096) (1,026,743) 933,392 Net Change in Unrealized Appreciation (Depreciation) on Investments (1,090,078) 1,151,462 4,285,319 (1,131,158) - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (7,801,235) (2,402,319) 3,437,840 (77,137) - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- (96,408) Advisor Class -- -- -- (72,429) A-Class -- -- -- (17,220) C-Class -- -- -- (24,079) Realized Gain on Investment Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- -- (210,136) ========================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class -- -- 140,373,940 139,858,909 Advisor Class -- -- 43,248,131 42,530,953 A-Class 6,229,251 10,336,843 1,364,783 1,508,341 C-Class 3,062,141 10,750,011 23,677,561 78,675,501 H-Class 95,998,602 156,991,485 -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- 92,503 Advisor Class -- -- -- 56,834 A-Class -- -- -- 16,626 C-Class -- -- -- 20,004 H-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class -- -- (105,176,368) (143,655,550) Advisor Class -- -- (31,411,478) (63,000,981) A-Class (9,841,235) (1,675,048) (348,145) (531,673) C-Class (3,082,998) (6,473,670) (17,864,235) (85,001,139) H-Class (87,013,517) (125,620,468) -- -- ========================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 5,352,244 44,309,153 53,864,189 (29,429,672) - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (2,448,991) 41,906,834 57,302,029 (29,716,945) NET ASSETS--BEGINNING OF PERIOD 41,906,834 -- 21,115,710 50,832,655 ========================================================================================================================== NET ASSETS--END OF PERIOD $ 39,457,843 $ 41,906,834 $ 78,417,739 $ 21,115,710 ========================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (237,641) $ (1,151,462) $ 249,055 $ 69,791 ========================================================================================================================== ELECTRONICS ENERGY FUND FUND - -------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - -------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (188,365) $ (551,843) $ (217,485) $ (215,284) Net Realized Gain (Loss) on Investments 69,775 2,646,293 3,957,984 22,883,529 Net Change in Unrealized Appreciation (Depreciation) on Investments (5,451,339) 7,330,596 (11,987,482) 11,137,621 - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (5,569,929) 9,425,046 (8,246,983) 33,805,866 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- (194,789) Advisor Class -- -- -- (29,334) A-Class -- -- -- (8,404) C-Class -- -- -- (38,715) Realized Gain on Investment Investor Class -- -- -- (2,873,081) Advisor Class -- -- -- (432,664) A-Class -- -- -- (123,902) C-Class -- -- -- (571,040) H-Class -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- -- (4,271,929) ========================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 189,785,043 612,961,027 353,062,366 843,697,429 Advisor Class 24,026,151 96,932,862 45,927,462 93,639,117 A-Class 956,408 1,901,735 5,026,955 19,499,848 C-Class 6,823,712 12,798,067 21,702,989 80,697,248 H-Class -- -- -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- 2,987,632 Advisor Class -- -- -- 422,926 A-Class -- -- -- 127,827 C-Class -- -- -- 558,762 H-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (194,373,960) (612,517,070) (369,774,300) (888,612,720) Advisor Class (33,205,295) (97,720,610) (48,423,760) (104,512,735) A-Class (1,822,050) (749,217) (3,192,550) (17,937,164) C-Class (6,409,798) (10,364,385) (26,359,607) (80,164,356) H-Class -- -- -- -- ========================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (14,219,789) 3,242,409 (22,030,445) (49,596,186) - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (19,789,718) 12,667,455 (30,277,428) (20,062,249) NET ASSETS--BEGINNING OF PERIOD 54,551,413 41,883,958 135,436,145 155,498,394 ========================================================================================================================== NET ASSETS--END OF PERIOD $ 34,761,695 $ 54,551,413 $ 105,158,717 $ 135,436,145 ========================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (188,365) $ -- $ (217,485) $ -- ==========================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 57 STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) - --------------------------------------------------------------------------------
ENERGY SERVICES FINANCIAL SERVICES FUND FUND - -------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - -------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (1,271,798) $ (1,674,118) $ 128,372 $ 346,476 Net Realized Gain (Loss) on Investments 3,588,370 (802,696) 365,820 1,405,726 Net Change in Unrealized Appreciation (Depreciation) on Investments (25,670,650) 48,738,972 1,319,926 3,575,861 - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (23,354,078) 46,262,158 1,814,118 5,328,063 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- (229,765) Advisor Class -- -- -- (198,103) A-Class -- -- -- (6,465) C-Class -- -- -- (33,856) - -------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- -- (468,189) ========================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 321,380,199 742,386,096 101,812,146 210,186,562 Advisor Class 46,555,398 145,929,179 35,767,316 75,780,551 A-Class 6,438,976 16,042,155 1,685,649 4,477,361 C-Class 23,703,481 47,967,272 4,825,457 22,663,438 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- 219,400 Advisor Class -- -- -- 171,741 A-Class -- -- -- 6,465 C-Class -- -- -- 31,449 COST OF SHARES REDEEMED Investor Class (367,537,136) (725,065,846) (83,555,608) (207,649,812) Advisor Class (74,077,972) (135,268,200) (17,647,664) (98,982,008) A-Class (4,402,999) (10,632,621) (4,855,573) (306,686) C-Class (25,108,819) (38,129,765) (3,435,101) (22,671,475) ========================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (73,048,872) 43,228,270 34,596,622 (16,073,014) - -------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (96,402,950) 89,490,428 36,410,740 (11,213,140) NET ASSETS--BEGINNING OF PERIOD 225,583,037 136,092,609 25,403,403 36,616,543 ========================================================================================================================== NET ASSETS--END OF PERIOD $ 129,180,087 $ 225,583,037 $ 61,814,143 $ 25,403,403 ========================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (1,271,798) $ -- $ 234,683 $ 106,311 ==========================================================================================================================
+ UNAUDITED. See Notes to Financial Statements. 58 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - --------------------------------------------------------------------------------
HEALTH CARE INTERNET FUND FUND - --------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - --------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (186,103) $ (487,148) $ (76,072) $ (236,147) Net Realized Gain (Loss) on Investments 512,762 4,847,905 368,313 541,751 Net Change in Unrealized Appreciation (Depreciation) on Investments 824,015 4,065,143 (516,094) 1,492,137 - --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 1,150,674 8,425,900 (223,853) 1,797,741 - --------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- -- -- =========================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 169,611,225 481,885,275 90,534,632 260,792,729 Advisor Class 55,349,851 92,074,770 20,744,246 59,768,520 A-Class 3,075,713 2,904,197 218,139 709,829 C-Class 9,593,249 33,285,608 2,381,395 8,858,919 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (163,313,426) (476,650,900) (87,079,659) (250,443,522) Advisor Class (33,670,948) (95,923,651) (21,688,538) (57,455,538) A-Class (4,334,374) (735,551) (510,160) (304,904) C-Class (10,639,750) (30,934,146) (3,576,631) (8,635,688) =========================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 25,671,540 5,905,602 1,023,424 13,290,345 - --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 26,822,214 14,331,502 799,571 15,088,086 NET ASSETS--BEGINNING OF PERIOD 70,361,225 56,029,723 22,727,897 7,639,811 =========================================================================================================================== NET ASSETS--END OF PERIOD $ 97,183,439 $ 70,361,225 $ 23,527,468 $ 22,727,897 =========================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (186,103) $ -- $ (76,072) $ -- =========================================================================================================================== LEISURE PRECIOUS FUND METALS FUND - --------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - --------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (60,920) $ (180,028) $ (259,325) $ (601,875) Net Realized Gain (Loss) on Investments (90,243) 163,450 14,316,662 6,116,575 Net Change in Unrealized Appreciation (Depreciation) on Investments (429,433) (559,461) (42,510,521) 82,313,881 - --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (580,596) (576,039) (28,453,184) 87,828,581 - --------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- - --------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- -- -- =========================================================================================================================== SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 75,569,289 128,662,532 691,624,775 1,274,815,208 Advisor Class 29,455,442 44,175,551 46,030,066 60,242,976 A-Class 30,858 84,034 9,072,349 8,218,350 C-Class 1,973,071 17,795,634 37,652,268 41,496,054 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (77,387,735) (127,210,653) (735,440,937) (1,268,641,782) Advisor Class (29,488,097) (66,133,356) (47,036,333) (56,399,724) A-Class (17,530) (29,907) (8,370,828) (3,767,710) C-Class (1,846,318) (19,256,785) (36,745,092) (46,678,017) =========================================================================================================================== NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (1,711,020) (21,912,950) (43,213,732) 9,285,355 - --------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (2,291,616) (22,488,989) (71,666,916) 97,113,936 NET ASSETS--BEGINNING OF PERIOD 22,855,411 45,344,400 257,070,930 159,956,994 =========================================================================================================================== NET ASSETS--END OF PERIOD $ 20,563,795 $ 22,855,411 $ 185,404,014 $ 257,070,930 =========================================================================================================================== UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (60,920) $ -- $ (259,325) $ -- ===========================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 59 STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED) - --------------------------------------------------------------------------------
REAL ESTATE RETAILING FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - -------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 251,814 $ 567,302 $ (29,740) $ (188,301) Net Realized Gain (Loss) on Investments 705,034 954,434 (147,156) 1,264,104 Net Change in Unrealized Appreciation (Depreciation) on Investments (182,373) 4,704,869 254,219 (131,984) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations 774,475 6,226,605 77,323 943,819 - -------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- -- -- -- C-Class -- -- -- -- Realized Gain on Investment A-Class -- (610) -- -- C-Class -- (11,483) -- -- H-Class -- (91,311) -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (103,404) -- -- ================================================================================================================================ SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class -- -- 99,955,888 247,082,441 Advisor Class -- -- 16,743,376 45,536,275 A-Class 1,891,973 1,499,608 154,042 262,572 C-Class 8,936,663 21,238,488 2,542,220 7,193,600 H-Class 372,896,459 661,120,592 -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- -- Advisor Class -- -- -- -- A-Class -- 610 -- -- C-Class -- 11,366 -- -- H-Class -- 90,688 -- -- COST OF SHARES REDEEMED Investor Class -- -- (79,222,455) (247,878,157) Advisor Class -- -- (15,270,109) (48,558,619) A-Class (1,826,453) (1,275,850) (43,926) (208,024) C-Class (7,691,492) (19,427,126) (1,222,455) (7,497,639) H-Class (368,100,233) (625,418,314) -- -- ================================================================================================================================ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 6,106,917 37,840,062 23,636,581 (4,067,551) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 6,881,392 43,963,263 23,713,904 (3,123,732) NET ASSETS--BEGINNING OF PERIOD 53,513,735 9,550,472 12,625,825 15,749,557 ================================================================================================================================ NET ASSETS--END OF PERIOD $ 60,395,127 $ 53,513,735 $ 36,339,729 $ 12,625,825 ================================================================================================================================ UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 251,814 $ -- $ (29,740) $ -- ================================================================================================================================
+ UNAUDITED. See Notes to Financial Statements. 60 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - --------------------------------------------------------------------------------
TECHNOLOGY TELECOMMUNICATIONS FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - -------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (168,275) $ (443,708) $ 206,017 $ 199,534 Net Realized Gain (Loss) on Investments 2,473,549 1,114,427 (404,052) 351,807 Net Change in Unrealized Appreciation (Depreciation) on Investments (3,565,444) 4,439,647 (1,224,464) 3,772,038 - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (1,260,170) 5,110,366 (1,422,499) 4,323,379 - -------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- (79,039) -- (164,065) Advisor Class -- (41,726) -- (75,001) A-Class -- (1,852) -- (79) C-Class -- (10,046) -- (39,119) Realized Gain on Investment A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- (132,663) -- (278,264) ================================================================================================================================ SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 116,482,634 202,362,770 99,060,491 216,469,561 Advisor Class 38,806,483 79,399,708 21,008,671 48,174,352 A-Class 866,434 2,364,076 241,640 4,148,893 C-Class 4,715,218 30,059,319 5,708,459 15,050,401 H-Class -- -- -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- 77,670 -- 160,260 Advisor Class -- 36,447 -- 74,735 A-Class -- 1,852 -- 79 C-Class -- 9,497 -- 38,007 H-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (100,665,530) (197,542,071) (119,589,688) (168,743,891) Advisor Class (27,399,615) (79,116,520) (21,671,877) (42,353,091) A-Class (1,368,877) (1,771,212) (3,858,189) (155,378) C-Class (5,284,333) (28,836,213) (5,221,342) (14,416,680) H-Class -- -- -- -- ================================================================================================================================ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 26,152,414 7,045,323 (24,321,835) 58,447,248 - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 24,892,244 12,023,026 (25,744,334) 62,492,363 NET ASSETS--BEGINNING OF PERIOD 37,351,187 25,328,161 72,203,583 9,711,220 ================================================================================================================================ NET ASSETS--END OF PERIOD $ 62,243,431 $ 37,351,187 $ 46,459,249 $ 72,203,583 ================================================================================================================================ UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (168,275) $ -- $ 206,017 $ -- ================================================================================================================================ TRANSPORTATION UTILITIES FUND FUND - -------------------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - -------------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (181,827) $ (195,636) $ 407,944 $ 972,278 Net Realized Gain (Loss) on Investments (657,811) (477,426) 1,028,149 1,494,706 Net Change in Unrealized Appreciation (Depreciation) on Investments (6,949,886) 9,632,801 1,987,702 769,594 - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets from Operations (7,789,524) 8,959,739 3,423,795 3,236,578 - -------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income Investor Class -- -- -- (620,014) Advisor Class -- -- -- (126,059) A-Class -- -- -- (21,140) C-Class -- -- -- (127,871) Realized Gain on Investment A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- - -------------------------------------------------------------------------------------------------------------------------------- Total Distributions to Shareholders -- -- -- (895,084) ================================================================================================================================ SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED Investor Class 175,540,930 309,190,617 279,247,719 545,633,316 Advisor Class 31,269,699 90,227,733 47,606,893 87,980,415 A-Class 2,548,654 3,227,729 5,098,886 2,814,317 C-Class 10,806,401 9,357,466 13,510,701 25,902,554 H-Class -- -- -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT Investor Class -- -- -- 548,915 Advisor Class -- -- -- 100,838 A-Class -- -- -- 19,391 C-Class -- -- -- 114,209 H-Class -- -- -- -- COST OF SHARES REDEEMED Investor Class (202,369,800) (275,106,805) (257,517,254) (554,075,170) Advisor Class (31,751,538) (89,074,061) (41,574,669) (94,994,900) A-Class (2,334,934) (405,189) (3,304,719) (2,322,837) C-Class (9,473,546) (6,358,001) (12,160,212) (25,788,376) H-Class -- -- -- -- ================================================================================================================================ NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (25,764,134) 41,059,489 30,907,345 (14,067,328) - -------------------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (33,553,658) 50,019,228 34,331,140 (11,725,834) NET ASSETS--BEGINNING OF PERIOD 65,486,458 15,467,230 19,115,448 30,841,282 ================================================================================================================================ NET ASSETS--END OF PERIOD $ 31,932,800 $ 65,486,458 $ 53,446,588 $ 19,115,448 ================================================================================================================================ UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (181,827) $ -- $ 670,155 $ 262,211 ================================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 61 FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS - ------------------------------------------------------------------------------------------------------------------------- BANKING FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ 10.86 $ .09 $ .28 $ .37 $ -- $ -- March 31, 2006 10.17 .16 .69 .85 (.16) -- March 31, 2005 10.25 .13 .05 .18 (.26) -- March 31, 2004 7.30 .14 2.89 3.03 (.08) -- March 31, 2003 8.63 .12 (1.24) (1.12) (.21) -- March 31, 2002 8.27 .12 .53 .65 (.29) -- BANKING FUND ADVISOR CLASS SEPTEMBER 30, 2006# 10.30 .05 .26 .31 -- -- March 31, 2006 9.72 .12 .62 .74 (.16) -- March 31, 2005 9.85 .06 .07 .13 (.26) -- March 31, 2004 7.06 .09 2.78 2.87 (.08) -- March 31, 2003 8.41 .07 (1.21) (1.14) (.21) -- March 31, 2002 8.13 .08 .49 .57 (.29) -- BANKING FUND A-CLASS SEPTEMBER 30, 2006# 10.34 .06 .28 .34 -- -- March 31, 2006 9.72 .14 .64 .78 (.16) -- March 31, 2005* 10.06 .06 (.14) (.08) (.26) -- BANKING FUND C-CLASS SEPTEMBER 30, 2006# 10.20 .03 .29 .32 -- -- March 31, 2006 9.66 .06 .64 .70 (.16) -- March 31, 2005 9.87 .04 .01 .05 (.26) -- March 31, 2004 7.12 .04 2.79 2.83 (.08) -- March 31, 2003 8.54 .02 (1.23) (1.21) (.21) -- March 31, 2002 8.27 .03 .53 .56 (.29) -- BASIC MATERIALS FUND INVESTOR CLASS SEPTEMBER 30, 2006# 35.23 .14 (1.37) (1.23) -- -- March 31, 2006 30.66 .32 4.44 4.76 (.19) -- March 31, 2005 25.46 .14 5.06 5.20 -- -- March 31, 2004 17.22 .05 8.32 8.37 (.13) -- March 31, 2003++ 24.30 .12 (7.17) (7.05) (.03) -- March 31, 2002++ 21.03 .27 3.27 3.54 (.27) -- BASIC MATERIALS FUND ADVISOR CLASS SEPTEMBER 30, 2006# 34.03 .08 (1.35) (1.27) -- -- March 31, 2006 29.78 .16 4.28 4.44 (.19) -- March 31, 2005 24.85 .01 4.92 4.93 -- -- March 31, 2004 16.89 .02 8.07 8.09 (.13) -- March 31, 2003++ 23.91 (.06) (6.93) (6.99) (.03) -- March 31, 2002++ 20.79 .15 3.24 3.39 (.27) -- BASIC MATERIALS FUND A-CLASS SEPTEMBER 30, 2006# 34.19 .11 (1.33) (1.22) -- -- March 31, 2006 29.84 .29 4.25 4.54 (.19) -- March 31, 2005* 25.80 .07 3.97 4.04 -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF TOTAL NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------------ BANKING FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ -- $ .37 $ 11.23 3.41% 1.37%** 1.66%** 559% $ 5,601 March 31, 2006 (.16) .69 10.86 8.41% 1.34% 1.48% 1,834% 8,713 March 31, 2005 (.26) (.08) 10.17 1.61% 1.34% 1.26% 1,692% 4,899 March 31, 2004 (.08) 2.95 10.25 41.53% 1.36% 1.51% 1,435% 12,504 March 31, 2003 (.21) (1.33) 7.30 (13.15)% 1.38% 1.52% 1,495% 7,352 March 31, 2002 (.29) .36 8.63 8.30% 1.50% 1.49% 1,292% 28,992 BANKING FUND ADVISOR CLASS SEPTEMBER 30, 2006# -- .31 10.61 3.01% 1.88%** 0.97%** 559% 3,108 March 31, 2006 (.16) .58 10.30 7.66% 1.84% 1.20% 1,834% 1,537 March 31, 2005 (.26) (.13) 9.72 1.17% 1.86% 0.60% 1,692% 2,955 March 31, 2004 (.08) 2.79 9.85 40.67% 1.86% 1.04% 1,435% 3,712 March 31, 2003 (.21) (1.35) 7.06 (13.73)% 1.89% 0.91% 1,495% 390 March 31, 2002 (.29) .28 8.41 7.44% 1.91% 0.95% 1,292% 23,281 BANKING FUND A-CLASS SEPTEMBER 30, 2006# -- .34 10.68 3.29% 1.64%** 1.28%** 559% 371 March 31, 2006 (.16) .62 10.34 8.07% 1.62% 1.40% 1,834% 97 March 31, 2005* (.26) (.34) 9.72 (0.95)% 1.57%** 1.03%** 1,692% 15 BANKING FUND C-CLASS SEPTEMBER 30, 2006# -- .32 10.52 3.14% 2.38%** 0.52%** 559% 1,651 March 31, 2006 (.16) .54 10.20 7.29% 2.35% 0.59% 1,834% 673 March 31, 2005 (.26) (.21) 9.66 0.35% 2.34% 0.43% 1,692% 867 March 31, 2004 (.08) 2.75 9.87 39.76% 2.37% 0.41% 1,435% 1,829 March 31, 2003 (.21) (1.42) 7.12 (14.35)% 2.38% 0.23% 1,495% 76 March 31, 2002 (.29) .27 8.54 7.19% 2.40% 0.42% 1,292% 15 BASIC MATERIALS FUND INVESTOR CLASS SEPTEMBER 30, 2006# -- (1.23) 34.00 (3.49)% 1.36%** 0.83%** 261% 12,010 March 31, 2006 (.19) 4.57 35.23 15.60% 1.35% 1.04% 826% 23,630 March 31, 2005 -- 5.20 30.66 20.42% 1.33% 0.51% 891% 34,039 March 31, 2004 (.13) 8.24 25.46 48.70% 1.38% 0.20% 1,669% 29,749 March 31, 2003++ (.03) (7.08) 17.22 (29.02)% 1.39% 0.53% 1,943% 3,360 March 31, 2002++ (.27) 3.27 24.30 16.89% 1.41% 1.12% 1,523% 45,716 BASIC MATERIALS FUND ADVISOR CLASS SEPTEMBER 30, 2006# -- (1.27) 32.76 (3.73)% 1.86%** 0.50%** 261% 4,408 March 31, 2006 (.19) 4.25 34.03 14.98% 1.85% 0.55% 826% 7,619 March 31, 2005 -- 4.93 29.78 19.84% 1.82% 0.03% 891% 12,987 March 31, 2004 (.13) 7.96 24.85 47.99% 1.87% 0.09% 1,669% 13,483 March 31, 2003++ (.03) (7.02) 16.89 (29.24)% 1.89% (0.23)% 1,943% 2,419 March 31, 2002++ (.27) 3.12 23.91 16.36% 2.00% 0.65% 1,523% 30,839 BASIC MATERIALS FUND A-CLASS SEPTEMBER 30, 2006# -- (1.22) 32.97 (3.57)% 1.63%** 0.64%** 261% 1,717 March 31, 2006 (.19) 4.35 34.19 15.29% 1.63% 0.97% 826% 659 March 31, 2005* -- 4.04 29.84 15.66% 1.55%** 0.44%** 891% 210
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 1, 2004 -- BANKING FUND A-CLASS AND BASIC MATERIALS A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED 62 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS - ------------------------------------------------------------------------------------------------------------------------- BASIC MATERIALS FUND C-CLASS SEPTEMBER 30, 2006# $ 33.48 $ (.01) $ (1.32) $ (1.33) $ -- $ -- March 31, 2006 29.44 .03 4.20 4.23 (.19) -- March 31, 2005 24.68 (.12) 4.88 4.76 -- -- March 31, 2004 16.86 (.14) 8.09 7.95 (.13) -- March 31, 2003++ 24.03 (.06) (7.08) (7.14) (.03) -- March 31, 2002*++ 23.13 (.03) 1.20 1.17 (.27) -- BIOTECHNOLOGY FUND INVESTOR CLASS SEPTEMBER 30, 2006# 23.45 (.13) (2.02) (2.15) -- -- March 31, 2006 17.59 (.26) 6.12 5.86 -- -- March 31, 2005 20.56 (.24) (2.73) (2.97) -- -- March 31, 2004 13.75 (.24) 7.05 6.81 -- -- March 31, 2003 20.86 (.19) (6.92) (7.11) -- -- March 31, 2002 21.66 (.28) (.52) (.80) -- -- BIOTECHNOLOGY FUND ADVISOR CLASS SEPTEMBER 30, 2006# 22.44 (.18) (1.92) (2.10) -- -- March 31, 2006 16.91 (.36) 5.89 5.53 -- -- March 31, 2005 19.86 (.32) (2.63) (2.95) -- -- March 31, 2004 13.35 (.32) 6.83 6.51 -- -- March 31, 2003 20.36 (.25) (6.76) (7.01) -- -- March 31, 2002 21.25 (.40) (.49) (.89) -- -- BIOTECHNOLOGY FUND A-CLASS SEPTEMBER 30, 2006# 22.50 (.16) (1.93) (2.09) -- -- March 31, 2006 16.93 (.33) 5.90 5.57 -- -- March 31, 2005* 17.89 (.16) (.80) (.96) -- -- BIOTECHNOLOGY FUND C-CLASS SEPTEMBER 30, 2006# 22.27 (.23) (1.91) (2.14) -- -- March 31, 2006 16.87 (.47) 5.87 5.40 -- -- March 31, 2005 19.92 (.42) (2.63) (3.05) -- -- March 31, 2004 13.47 (.43) 6.88 6.45 -- -- March 31, 2003 20.66 (.33) (6.86) (7.19) -- -- March 31, 2002 21.66 (.54) (.46) (1.00) -- -- COMMODITIES FUND A-CLASS SEPTEMBER 30, 2006# 27.29 .51 (3.66) (3.15) -- -- March 31, 2006* 25.00 .61 1.68 2.29 -- -- COMMODITIES FUND C-CLASS SEPTEMBER 30, 2006# 27.10 .43 (3.65) (3.22) -- -- March 31, 2006* 25.00 .42 1.68 2.10 -- -- COMMODITIES FUND H-CLASS SEPTEMBER 30, 2006# 27.29 .54 (3.70) (3.16) -- -- March 31, 2006+ 25.00 .61 1.68 2.29 -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF TOTAL NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------------ BASIC MATERIALS FUND C-CLASS SEPTEMBER 30, 2006# $ -- $ (1.33) $ 32.15 (3.97)% 2.37%** (0.08)%** 261% $ 6,477 March 31, 2006 (.19) 4.04 33.48 14.44% 2.36% 0.11% 826% 6,041 March 31, 2005 -- 4.76 29.44 19.29% 2.32% (0.43)% 891% 7,421 March 31, 2004 (.13) 7.82 24.68 47.25% 2.38% (0.62)% 1,669% 5,311 March 31, 2003++ (.03) (7.17) 16.86 (29.72)% 2.39% (0.23)% 1,943% 294 March 31, 2002*++ (.27) .90 24.03 5.10% 2.60%** (0.13)%** 1,523% 525 BIOTECHNOLOGY FUND INVESTOR CLASS SEPTEMBER 30, 2006# -- (2.15) 21.30 (9.17)% 1.36%** (1.27)%** 160% 83,115 March 31, 2006 -- 5.86 23.45 33.31% 1.34% (1.25)% 338% 104,126 March 31, 2005 -- (2.97) 17.59 (14.45)% 1.33% (1.25)% 585% 74,890 March 31, 2004 -- 6.81 20.56 49.53% 1.35% (1.31)% 548% 135,619 March 31, 2003 -- (7.11) 13.75 (34.08)% 1.38% (1.31)% 477% 111,003 March 31, 2002 -- (.80) 20.86 (3.69)% 1.23% (1.20)% 390% 218,263 BIOTECHNOLOGY FUND ADVISOR CLASS SEPTEMBER 30, 2006# -- (2.10) 20.34 (9.36)% 1.84%** (1.75)%** 160% 9,033 March 31, 2006 -- 5.53 22.44 32.70% 1.86% (1.76)% 338% 26,240 March 31, 2005 -- (2.95) 16.91 (14.85)% 1.83% (1.75)% 585% 10,231 March 31, 2004 -- 6.51 19.86 48.76% 1.84% (1.79)% 548% 12,708 March 31, 2003 -- (7.01) 13.35 (34.43)% 1.88% (1.82)% 477% 24,280 March 31, 2002 -- (.89) 20.36 (4.19)% 1.72% (1.69)% 390% 20,931 BIOTECHNOLOGY FUND A-CLASS SEPTEMBER 30, 2006# -- (2.09) 20.41 (9.29)% 1.59%** (1.50)%** 160% 1,373 March 31, 2006 -- 5.57 22.50 32.90% 1.63% (1.52)% 338% 5,087 March 31, 2005* -- (.96) 16.93 (5.37)% 1.53%** (1.47)%** 585% 74 BIOTECHNOLOGY FUND C-CLASS SEPTEMBER 30, 2006# -- (2.14) 20.13 (9.61)% 2.33%** (2.24)%** 160% 3,026 March 31, 2006 -- 5.40 22.27 32.01% 2.36% (2.27)% 338% 7,786 March 31, 2005 -- (3.05) 16.87 (15.31)% 2.33% (2.23)% 585% 2,625 March 31, 2004 -- 6.45 19.92 47.88% 2.36% (2.32)% 548% 3,567 March 31, 2003 -- (7.19) 13.47 (34.80)% 2.38% (2.30)% 477% 1,667 March 31, 2002 -- (1.00) 20.66 (4.62)% 2.38% (2.36)% 390% 967 COMMODITIES FUND A-CLASS SEPTEMBER 30, 2006# -- (3.15) 24.14 (11.54)% 1.27%** 3.54%** -- 4,772 March 31, 2006* -- 2.29 27.29 9.16% 1.71%** 2.76%** -- 8,751 COMMODITIES FUND C-CLASS SEPTEMBER 30, 2006# -- (3.22) 23.88 (11.88)% 1.98%** 3.03%** -- 3,520 March 31, 2006* -- 2.10 27.10 8.40% 2.34%** 1.79%** -- 4,128 COMMODITIES FUND H-CLASS SEPTEMBER 30, 2006# -- (3.16) 24.13 (11.58)% 1.24%** 3.78%** -- 31,165 March 31, 2006+ -- 2.29 27.29 9.16% 1.57%** 2.56%** -- 29,028
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 3, 2001 -- BASIC MATERIALS FUND C-CLASS; SEPTEMBER 1, 2004 -- BIOTECHNOLOGY FUND A-CLASS; MAY 25, 2005 -- COMMODITIES FUND A-CLASS, C-CLASS AND H-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 63 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS - ----------------------------------------------------------------------------------------------------------------------------- CONSUMER PRODUCTS FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ 31.03 $ .17 $ 2.39 $ 2.56 $ -- $ -- March 31, 2006 30.50 .30 .65 .95 (.42) -- March 31, 2005 28.68 .18 1.65 1.83 (.01) -- March 31, 2004 20.85 .14 7.74 7.88 (.05) -- March 31, 2003++ 25.08 .12 (4.23) (4.11) (.12) -- March 31, 2002++ 21.54 .12 3.48 3.60 (.06) -- CONSUMER PRODUCTS FUND ADVISOR CLASS SEPTEMBER 30, 2006# 29.96 .07 2.32 2.39 -- -- March 31, 2006 29.66 .03 .69 .72 (.42) -- March 31, 2005 27.99 .05 1.63 1.68 (.01) -- March 31, 2004 20.46 (.04) 7.62 7.58 (.05) -- March 31, 2003++ 24.69 (.03) (4.08) (4.11) (.12) -- March 31, 2002++ 21.24 .03 3.48 3.51 (.06) -- CONSUMER PRODUCTS FUND A-CLASS SEPTEMBER 30, 2006# 30.07 .11 2.33 2.44 -- -- March 31, 2006 29.69 .18 .62 .80 (.42) -- March 31, 2005* 27.42 .06 2.22 2.28 (.01) -- CONSUMER PRODUCTS FUND C-CLASS SEPTEMBER 30, 2006# 29.55 (.02) 2.30 2.28 -- -- March 31, 2006 29.53 (.03) .47 .44 (.42) -- March 31, 2005 27.92 (.13) 1.75 1.62 (.01) -- March 31, 2004 20.52 (.20) 7.65 7.45 (.05) -- March 31, 2003++ 24.93 (.09) (4.20) (4.29) (.12) -- March 31, 2002*++ 21.81 (.03) 3.21 3.18 (.06) -- ELECTRONICS FUND INVESTOR CLASS SEPTEMBER 30, 2006# 13.52 (.05) (1.26) (1.31) -- -- March 31, 2006 10.31 (.11) 3.32 3.21 -- -- March 31, 2005 13.43 (.08) (3.04) (3.12) -- -- March 31, 2004 8.08 (.15) 5.50 5.35 -- -- March 31, 2003 16.96 (.12) (8.76) (8.88) -- -- March 31, 2002 16.54 (.18) .60 .42 -- -- ELECTRONICS FUND ADVISOR CLASS SEPTEMBER 30, 2006# 12.98 (.08) (1.22) (1.30) -- -- March 31, 2006 9.95 (.16) 3.19 3.03 -- -- March 31, 2005 13.02 (.14) (2.93) (3.07) -- -- March 31, 2004 7.87 (.21) 5.36 5.15 -- -- March 31, 2003 16.62 (.16) (8.59) (8.75) -- -- March 31, 2002 16.28 (.26) .60 .34 -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF TOTAL NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S DISTRIBUTIONS VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER PRODUCTS FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ -- $ 2.56 $ 33.59 8.25% 1.37%** 1.07%** 210% $ 49,560 March 31, 2006 (.42) .53 31.03 3.13% 1.32% 0.98% 813% 11,815 March 31, 2005 (.01) 1.82 30.50 6.40% 1.33% 0.60% 907% 15,470 March 31, 2004 (.05) 7.83 28.68 37.84% 1.36% 0.56% 914% 23,560 March 31, 2003++ (.12) (4.23) 20.85 (16.38)% 1.39% 0.53% 1,205% 1,640 March 31, 2002++ (.06) 3.54 25.08 16.71% 1.56% 0.53% 890% 20,083 CONSUMER PRODUCTS FUND ADVISOR CLASS SEPTEMBER 30, 2006# -- 2.39 32.35 7.98% 1.87%** 0.46%** 210% 18,793 March 31, 2006 (.42) .30 29.96 2.44% 1.82% 0.08% 813% 6,487 March 31, 2005 (.01) 1.67 29.66 6.02% 1.82% 0.19% 907% 26,851 March 31, 2004 (.05) 7.53 27.99 37.10% 1.86% (0.18)% 914% 13,357 March 31, 2003++ (.12) (4.23) 20.46 (16.64)% 1.89% (0.09)% 1,205% 3,120 March 31, 2002++ (.06) 3.45 24.69 16.52% 2.02% 0.18% 890% 33,201 CONSUMER PRODUCTS FUND A-CLASS SEPTEMBER 30, 2006# -- 2.44 32.51 8.11% 1.61%** 0.74%** 210% 2,639 March 31, 2006 (.42) .38 30.07 2.71% 1.60% 0.62% 813% 1,475 March 31, 2005* (.01) 2.27 29.69 8.33% 1.56%** 0.42%** 907% 463 CONSUMER PRODUCTS FUND C-CLASS SEPTEMBER 30, 2006# -- 2.28 31.83 7.72% 2.38%** (0.16)%** 210% 7,426 March 31, 2006 (.42) .02 29.55 1.50% 2.33% (0.11)% 813% 1,340 March 31, 2005 (.01) 1.61 29.53 5.82% 2.31% (0.44)% 907% 8,048 March 31, 2004 (.05) 7.40 27.92 36.36% 2.37% (0.79)% 914% 4,259 March 31, 2003++ (.12) (4.41) 20.52 (17.20)% 2.39% (0.35)% 1,205% 196 March 31, 2002*++ (.06) 3.12 24.93 14.57% 2.57%** (0.19)%** 890% 501 ELECTRONICS FUND INVESTOR CLASS SEPTEMBER 30, 2006# -- (1.31) 12.21 (9.69)% 1.37%** (0.78)%** 350% 26,083 March 31, 2006 -- 3.21 13.52 31.13% 1.34% (0.91)% 911% 34,194 March 31, 2005 -- (3.12) 10.31 (23.23)% 1.33% (0.76)% 1,106% 27,150 March 31, 2004 -- 5.35 13.43 66.21% 1.36% (1.20)% 1,359% 46,200 March 31, 2003 -- (8.88) 8.08 (52.36)% 1.39% (1.20)% 2,413% 31,655 March 31, 2002 -- .42 16.96 2.54% 1.29% (1.08)% 1,279% 96,671 ELECTRONICS FUND ADVISOR CLASS SEPTEMBER 30, 2006# -- (1.30) 11.68 (10.02)% 1.84%** (1.20)%** 350% 3,876 March 31, 2006 -- 3.03 12.98 30.45% 1.84% (1.39)% 911% 14,089 March 31, 2005 -- (3.07) 9.95 (23.58)% 1.83% (1.32)% 1,106% 12,613 March 31, 2004 -- 5.15 13.02 65.44% 1.85% (1.70)% 1,359% 3,341 March 31, 2003 -- (8.75) 7.87 (52.65)% 1.87% (1.72)% 2,413% 7,389 March 31, 2002 -- .34 16.62 2.09% 1.75% (1.50)% 1,279% 9,528
* SINCE THE COMMENCEMENT OF OPERATIONS: JULY 24, 2001 -- CONSUMER PRODUCTS FUND C-CLASS; SEPTEMBER 1, 2004 -- CONSUMER PRODUCTS FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED 64 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ ELECTRONICS FUND A-CLASS SEPTEMBER 30, 2006# $ 13.03 $ (.06) $ (1.21) $ (1.27) $ -- $ -- $ -- March 31, 2006 9.96 (.14) 3.21 3.07 -- -- -- March 31, 2005* 9.22 (.07) .81 .74 -- -- -- ELECTRONICS FUND C-CLASS SEPTEMBER 30, 2006# 12.86 (.10) (1.20) (1.30) -- -- -- March 31, 2006 9.90 (.21) 3.17 2.96 -- -- -- March 31, 2005 13.00 (.20) (2.90) (3.10) -- -- -- March 31, 2004 7.91 (.27) 5.36 5.09 -- -- -- March 31, 2003 16.82 (.22) (8.69) (8.91) -- -- -- March 31, 2002 16.54 (.37) .65 .28 -- -- -- ENERGY FUND INVESTOR CLASS SEPTEMBER 30, 2006# 21.68 (.01) (.85) (.86) -- -- -- March 31, 2006 17.12 .02 5.02 5.04 (.03) (.45) (.48) March 31, 2005 11.94 .05 5.14 5.19 (.01) -- (.01) March 31, 2004 8.80 -- 3.17 3.17 (.03) -- (.03) March 31, 2003 11.26 .02 (2.47) (2.45) (.01) -- (.01) March 31, 2002 11.43 .12 (.19) (.07) (.10) -- (.10) ENERGY FUND ADVISOR CLASS SEPTEMBER 30, 2006# 20.96 (.06) (.82) (.88) -- -- -- March 31, 2006 16.65 (.07) 4.86 4.79 (.03) (.45) (.48) March 31, 2005 11.68 (.02) 5.00 4.98 (.01) -- (.01) March 31, 2004 8.63 (.03) 3.11 3.08 (.03) -- (.03) March 31, 2003 11.09 -- (2.45) (2.45) (.01) -- (.01) March 31, 2002 11.33 .05 (.19) (.14) (.10) -- (.10) ENERGY FUND A-CLASS SEPTEMBER 30, 2006# 21.04 (.04) (.82) (.86) -- -- -- March 31, 2006 16.68 (.05) 4.89 4.84 (.03) (.45) (.48) March 31, 2005* 12.79 .02 3.88 3.90 (.01) -- (.01) ENERGY FUND C-CLASS SEPTEMBER 30, 2006# 20.62 (.11) (.80) (.91) -- -- -- March 31, 2006 16.47 (.16) 4.79 4.63 (.03) (.45) (.48) March 31, 2005 11.60 (.08) 4.96 4.88 (.01) -- (.01) March 31, 2004 8.63 (.12) 3.12 3.00 (.03) -- (.03) March 31, 2003 11.14 (.07) (2.43) (2.50) (.01) -- (.01) March 31, 2002* 11.87 (.09) (.54) (.63) (.10) -- (.10) ENERGY SERVICES FUND INVESTOR CLASS SEPTEMBER 30, 2006# 45.05 (.21) (4.09) (4.30) -- -- -- March 31, 2006 30.12 (.30) 15.23 14.93 -- -- -- March 31, 2005 21.74 (.22) 8.60 8.38 -- -- -- March 31, 2004 17.37 (.18) 4.55 4.37 -- -- -- March 31, 2003++ 22.47 (.15) (4.95) (5.10) -- -- -- March 31, 2002++ 27.30 (.18) (4.65) (4.83) -- -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF IN NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------ ELECTRONICS FUND A-CLASS SEPTEMBER 30, 2006# $ (1.27) $ 11.76 (9.75)% 1.62%** 1.62%** (0.95)%** 350% $ 204 March 31, 2006 3.07 13.03 30.82% 1.64% 1.64% (1.18)% 911% 1,253 March 31, 2005* .74 9.96 8.03% 1.59%** 1.59%** (1.21)%** 1,106% 1 ELECTRONICS FUND C-CLASS SEPTEMBER 30, 2006# (1.30) 11.56 (10.11)% 2.38%** 2.38%** (1.75)%** 350% 4,600 March 31, 2006 2.96 12.86 29.90% 2.36% 2.36% (1.91)% 911% 5,015 March 31, 2005 (3.10) 9.90 (23.85)% 2.33% 2.33% (1.86)% 1,106% 2,119 March 31, 2004 5.09 13.00 64.35% 2.36% 2.36% (2.20)% 1,359% 1,111 March 31, 2003 (8.91) 7.91 (52.97)% 2.39% 2.39% (2.21)% 2,413% 940 March 31, 2002 .28 16.82 1.69% 2.49% 2.49% (2.27)% 1,279% 388 ENERGY FUND INVESTOR CLASS SEPTEMBER 30, 2006# (.86) 20.82 (3.97)% 1.36%** 1.36%** (0.07)%** 161% 67,629 March 31, 2006 4.56 21.68 29.60% 1.34% 1.34% 0.08% 415% 90,331 March 31, 2005 5.18 17.12 43.43% 1.33% 1.33% 0.40% 546% 111,762 March 31, 2004 3.14 11.94 36.12% 1.36% 1.36% 0.04% 913% 61,800 March 31, 2003 (2.46) 8.80 (21.79)% 1.39% 1.39% 0.24% 1,362% 4,703 March 31, 2002 (.17) 11.26 (0.52)% 1.32% 1.32% 1.06% 1,502% 31,769 ENERGY FUND ADVISOR CLASS SEPTEMBER 30, 2006# (.88) 20.08 (4.20)% 1.86%** 1.86%** (0.58)%** 161% 14,820 March 31, 2006 4.31 20.96 28.93% 1.85% 1.84% (0.38)% 415% 18,162 March 31, 2005 4.97 16.65 42.60% 1.82% 1.82% (0.11)% 546% 25,000 March 31, 2004 3.05 11.68 35.79% 1.92% 1.92% (0.25)% 913% 4,895 March 31, 2003 (2.46) 8.63 (22.13)% 1.88% 1.88% (0.03)% 1,362% 7,039 March 31, 2002 (.24) 11.09 (1.14)% 1.80% 1.80% 0.42% 1,502% 9,621 ENERGY FUND A-CLASS SEPTEMBER 30, 2006# (.86) 20.18 (4.09)% 1.62%** 1.62%** (0.38)%** 161% 4,744 March 31, 2006 4.36 21.04 29.18% 1.61% 1.60% (0.25)% 415% 3,210 March 31, 2005* 3.89 16.68 30.46% 1.45%** 1.45%** 0.19%** 546% 744 ENERGY FUND C-CLASS SEPTEMBER 30, 2006# (.91) 19.71 (4.41)% 2.36%** 2.36%** (1.08)%** 161% 17,967 March 31, 2006 4.15 20.62 28.27% 2.35% 2.35% (0.88)% 415% 23,734 March 31, 2005 4.87 16.47 42.03% 2.33% 2.33% (0.61)% 546% 17,993 March 31, 2004 2.97 11.60 34.86% 2.36% 2.36% (1.08)% 913% 6,571 March 31, 2003 (2.51) 8.63 (22.48)% 2.38% 2.38% (0.81)% 1,362% 1,471 March 31, 2002* (.73) 11.14 (5.22)% 2.51%** 2.51%** (0.92)%** 1,502% 392 ENERGY SERVICES FUND INVESTOR CLASS SEPTEMBER 30, 2006# (4.30) 40.75 (9.54)% 1.36%** 1.36%** (0.95)%** 83% 84,629 March 31, 2006 14.93 45.05 49.57% 1.35% 1.35% (0.81)% 324% 147,439 March 31, 2005 8.38 30.12 38.55% 1.31% 1.31% (0.85)% 501% 99,603 March 31, 2004 4.37 21.74 25.16% 1.37% 1.37% (0.96)% 1,009% 47,344 March 31, 2003++ (5.10) 17.37 (22.70)% 1.39% 1.39% (0.72)% 971% 15,144 March 31, 2002++ (4.83) 22.47 (17.69)% 1.54% 1.54% (0.74)% 949% 51,983
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 19, 2001 -- ENERGY FUND C-CLASS; SEPTEMBER 1, 2004 -- ELECTRONICS FUND A-CLASS AND ENERGY FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 65 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ ENERGY SERVICES FUND ADVISOR CLASS SEPTEMBER 30, 2006# $43.46 $ (.32) $ (3.92) $ (4.24) $ -- $ -- $ -- March 31, 2006 29.21 (.47) 14.72 14.25 -- -- -- March 31, 2005 21.18 (.33) 8.36 8.03 -- -- -- March 31, 2004 17.01 (.27) 4.44 4.17 -- -- -- March 31, 2003++ 22.08 (.24) (4.83) (5.07) -- -- -- March 31, 2002++ 26.97 (.27) (4.62) (4.89) -- -- -- ENERGY SERVICES FUND A-CLASS SEPTEMBER 30, 2006# 43.67 (.26) (3.96) (4.22) -- -- -- March 31, 2006 29.25 (.39) 14.81 14.42 -- -- -- March 31, 2005* 23.18 (.18) 6.25 6.07 -- -- -- ENERGY SERVICES FUND C-CLASS SEPTEMBER 30, 2006# 42.92 (.41) (3.87) (4.28) -- -- -- March 31, 2006 28.98 (.65) 14.59 13.94 -- -- -- March 31, 2005 21.12 (.45) 8.31 7.86 -- -- -- March 31, 2004 17.04 (.35) 4.43 4.08 -- -- -- March 31, 2003++ 22.23 (.30) (4.89) (5.19) -- -- -- March 31, 2002++ 27.30 (.30) (4.77) (5.07) -- -- -- FINANCIAL SERVICES FUND INVESTOR CLASS SEPTEMBER 30, 2006# 13.26 .07 .30 .37 -- -- -- March 31, 2006 11.40 .17 1.81 1.98 (.12) -- (.12) March 31, 2005 11.09 .10 .29 .39 (.08) -- (.08) March 31, 2004 7.66 .09 3.38 3.47 (.04) -- (.04) March 31, 2003 10.23 .07 (2.62) (2.55) (.02) -- (.02) March 31, 2002 10.00 .04 .29 .33 (.10) -- (.10) FINANCIAL SERVICES FUND ADVISOR CLASS SEPTEMBER 30, 2006# 12.88 .04 .28 .32 -- -- -- March 31, 2006 11.13 .10 1.77 1.87 (.12) -- (.12) March 31, 2005 10.89 .05 .27 .32 (.08) -- (.08) March 31, 2004 7.57 .04 3.32 3.36 (.04) -- (.04) March 31, 2003 10.08 .03 (2.52) (2.49) (.02) -- (.02) March 31, 2002 9.89 (.01) .30 .29 (.10) -- (.10) FINANCIAL SERVICES FUND A-CLASS SEPTEMBER 30, 2006# 12.91 .05 .28 .33 -- -- -- March 31, 2006 11.13 .14 1.76 1.90 (.12) -- (.12) March 31, 2005* 10.75 .05 .41 .46 (.08) -- (.08) RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - -------------------------------------------------------------------------------------------------------------------------------- ENERGY SERVICES FUND ADVISOR CLASS SEPTEMBER 30, 2006# $ (4.24) $ 39.22 (9.76)% 1.84%** 1.84%** (1.45)%** 83% $14,034 March 31, 2006 14.25 43.46 48.78% 1.85% 1.85% (1.33)% 324% 44,033 March 31, 2005 8.03 29.21 37.91% 1.82% 1.82% (1.37)% 501% 24,647 March 31, 2004 4.17 21.18 24.51% 1.87% 1.87% (1.39)% 1,009% 25,302 March 31, 2003++ (5.07) 17.01 (22.96)% 1.88% 1.88% (1.26)% 971% 1,961 March 31, 2002++ (4.89) 22.08 (18.13)% 1.97% 1.97% (1.21)% 949% 22,051 ENERGY SERVICES FUND A-CLASS SEPTEMBER 30, 2006# (4.22) 39.45 (9.66)% 1.61%** 1.61%** (1.20)%** 83% 7,584 March 31, 2006 14.42 43.67 49.30% 1.63% 1.63% (1.00)% 324% 6,569 March 31, 2005* 6.07 29.25 26.19% 1.53%** 1.53%** (1.13)%** 501% 313 ENERGY SERVICES FUND C-CLASS SEPTEMBER 30, 2006# (4.28) 38.64 (9.97)% 2.35%** 2.35%** (1.94)%** 83% 22,932 March 31, 2006 13.94 42.92 48.10% 2.36% 2.36% (1.82)% 324% 27,542 March 31, 2005 7.86 28.98 37.22% 2.31% 2.31% (1.84)% 501% 11,529 March 31, 2004 4.08 21.12 23.94% 2.37% 2.37% (1.86)% 1,009% 2,833 March 31, 2003++ (5.19) 17.04 (23.35)% 2.39% 2.39% (1.60)% 971% 651 March 31, 2002++ (5.07) 22.23 (18.57)% 2.57% 2.57% (1.60)% 949% 697 FINANCIAL SERVICES FUND INVESTOR CLASS SEPTEMBER 30, 2006# .37 13.63 2.79% 1.37%** 1.37%** 1.00%** 229% 31,351 March 31, 2006 1.86 13.26 17.42% 1.36% 1.34% 1.32% 821% 12,226 March 31, 2005 .31 11.40 3.46% 1.33% 1.33% 0.91% 1,005% 7,741 March 31, 2004 3.43 11.09 45.36% 1.36% 1.36% 0.94% 1,200% 34,423 March 31, 2003 (2.57) 7.66 (24.97)% 1.38% 1.38% 0.82% 2,336% 6,671 March 31, 2002 .23 10.23 3.39% 1.51% 1.51% 0.43% 1,110% 25,147 FINANCIAL SERVICES FUND ADVISOR CLASS SEPTEMBER 30, 2006# .32 13.20 2.48% 1.88%** 1.88%** 0.56%** 229% 25,781 March 31, 2006 1.75 12.88 16.85% 1.85% 1.83% 0.82% 821% 6,801 March 31, 2005 .24 11.13 2.88% 1.83% 1.83% 0.43% 1,005% 27,181 March 31, 2004 3.32 10.89 44.45% 1.86% 1.86% 0.39% 1,200% 40,885 March 31, 2003 (2.51) 7.57 (24.74)% 1.88% 1.88% 0.35% 2,336% 15,074 March 31, 2002 .19 10.08 3.02% 2.02% 2.02% (0.08)% 1,110% 40,968 FINANCIAL SERVICES FUND A-CLASS SEPTEMBER 30, 2006# .33 13.24 2.56% 1.60%** 1.60%** 0.70%** 229% 1,140 March 31, 2006 1.78 12.91 17.12% 1.65% 1.64% 1.18% 821% 4,295 March 31, 2005* .38 11.13 4.22% 1.55%** 1.55%** 0.70%** 1,005% 5
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 1, 2004 -- ENERGY SERVICES FUND A-CLASS AND FINANCIAL SERVICES A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED 66 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ FINANCIAL SERVICES FUND C-CLASS SEPTEMBER 30, 2006# $12.67 $ -- $ .28 $ .28 $ -- $ -- $ -- March 31, 2006 11.01 .01 1.77 1.78 (.12) -- (.12) March 31, 2005 10.84 (.01) .26 .25 (.08) -- (.08) March 31, 2004 7.57 (.02) 3.33 3.31 (.04) -- (.04) March 31, 2003 10.14 (.02) (2.53) (2.55) (.02) -- (.02) March 31, 2002* 10.46 (.05) (.17) (.22) (.10) -- (.10) HEALTH CARE FUND INVESTOR CLASS SEPTEMBER 30, 2006# 14.54 (.02) .06 .04 -- -- -- March 31, 2006 12.71 (.05) 1.88 1.83 -- -- -- March 31, 2005 12.50 (.05) .26 .21 -- -- -- March 31, 2004 9.21 (.07) 3.36 3.29 -- -- -- March 31, 2003 11.36 (.02) (2.13) (2.15) -- -- -- March 31, 2002 11.25 (.04) .15 .11 -- -- -- HEALTH CARE FUND ADVISOR CLASS SEPTEMBER 30, 2006# 13.94 (.06) .08 .02 -- -- -- March 31, 2006 12.25 (.12) 1.81 1.69 -- -- -- March 31, 2005 12.11 (.10) .24 .14 -- -- -- March 31, 2004 8.97 (.12) 3.26 3.14 -- -- -- March 31, 2003 11.11 (.06) (2.08) (2.14) -- -- -- March 31, 2002 11.06 (.09) .14 .05 -- -- -- HEALTH CARE FUND A-CLASS SEPTEMBER 30, 2006# 13.98 (.05) .09 .04 -- -- -- March 31, 2006 12.25 (.08) 1.81 1.73 -- -- -- March 31, 2005* 11.65 (.05) .65 .60 -- -- -- HEALTH CARE FUND C-CLASS SEPTEMBER 30, 2006# 13.79 (.09) .07 (.02) -- -- -- March 31, 2006 12.19 (.18) 1.78 1.60 -- -- -- March 31, 2005 12.11 (.16) .24 .08 -- -- -- March 31, 2004 9.03 (.18) 3.26 3.08 -- -- -- March 31, 2003 11.25 (.12) (2.10) (2.22) -- -- -- March 31, 2002 11.25 (.18) .18 -- -- -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF IN NET ASSET END OF INVESTMENT GROSS NET INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES (LOSS) RATE*** OMITTED) - -------------------------------------------------------------------------------------------------------------------------------- FINANCIAL SERVICES FUND C-CLASS SEPTEMBER 30, 2006# $ .28 $ 12.95 2.21% 2.37%** 2.37%** 0.02%** 229% $ 3,542 March 31, 2006 1.66 12.67 16.21% 2.36% 2.34% 0.11% 821% 2,081 March 31, 2005 .17 11.01 2.24% 2.33% 2.33% (0.10)% 1,005% 1,689 March 31, 2004 3.27 10.84 43.78% 2.37% 2.37% (0.23)% 1,200% 2,242 March 31, 2003 (2.57) 7.57 (25.19)% 2.37% 2.37% (0.19)% 2,336% 222 March 31, 2002* (.32) 10.14 (2.02)% 2.52%** 2.52%** (0.50)%** 1,110% 526 HEALTH CARE FUND INVESTOR CLASS SEPTEMBER 30, 2006# .04 14.58 0.28% 1.36%** 1.36%** (0.30)%** 205% 53,341 March 31, 2006 1.83 14.54 14.40% 1.33% 1.33% (0.35)% 568% 46,432 March 31, 2005 .21 12.71 1.68% 1.34% 1.34% (0.42)% 610% 35,500 March 31, 2004 3.29 12.50 35.72% 1.36% 1.36% (0.56)% 1,204% 19,801 March 31, 2003 (2.15) 9.21 (18.93)% 1.38% 1.38% (0.25)% 1,395% 13,400 March 31, 2002 .11 11.36 0.98% 1.37% 1.37% (0.36)% 936% 20,567 HEALTH CARE FUND ADVISOR CLASS SEPTEMBER 30, 2006# .02 13.96 0.14% 1.87%** 1.87%** (0.84)%** 205% 36,965 March 31, 2006 1.69 13.94 13.80% 1.84% 1.84% (0.89)% 568% 14,577 March 31, 2005 .14 12.25 1.16% 1.84% 1.84% (0.83)% 610% 16,511 March 31, 2004 3.14 12.11 35.01% 1.85% 1.85% (1.05)% 1,204% 27,102 March 31, 2003 (2.14) 8.97 (19.26)% 1.88% 1.88% (0.66)% 1,395% 23,127 March 31, 2002 .05 11.11 0.45% 1.85% 1.85% (0.81)% 936% 29,504 HEALTH CARE FUND A-CLASS SEPTEMBER 30, 2006# .04 14.02 0.29% 1.58%** 1.58%** (0.68)%** 205% 889 March 31, 2006 1.73 13.98 14.12% 1.62% 1.62% (0.60)% 568% 2,239 March 31, 2005* .60 12.25 5.15% 1.56%** 1.56%** (0.65)%** 610% 1 HEALTH CARE FUND C-CLASS SEPTEMBER 30, 2006# (.02) 13.77 (0.15)% 2.35%** 2.35%** (1.32)%** 205% 5,988 March 31, 2006 1.60 13.79 13.13% 2.34% 2.34% (1.39)% 568% 7,114 March 31, 2005 .08 12.19 0.66% 2.33% 2.33% (1.36)% 610% 4,017 March 31, 2004 3.08 12.11 34.11% 2.37% 2.37% (1.60)% 1,204% 2,865 March 31, 2003 (2.22) 9.03 (19.73)% 2.37% 2.37% (1.30)% 1,395% 421 March 31, 2002 -- 11.25 0.00% 2.54% 2.54% (1.59)% 936% 1,085
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 19, 2001 -- FINANCIAL SERVICES FUND C-CLASS; SEPTEMBER 1, 2004 -- HEALTH CARE FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. # UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 67 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ INTERNET FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ 40.22 $ (.20) $ (2.63) $ (2.83) $ -- $ -- $ -- March 31, 2006 32.29 (.40) 8.33 7.93 -- -- -- March 31, 2005 35.66 (.43) (2.94) (3.37) -- -- -- March 31, 2004 20.43 (.41) 15.64 15.23 -- -- -- March 31, 2003 30.55 (.29) (9.83) (10.12) -- -- -- March 31, 2002 41.80 (.31) (10.94) (11.25) -- -- -- INTERNET FUND ADVISOR CLASS SEPTEMBER 30, 2006# 38.94 (.31) (2.51) (2.82) -- -- -- March 31, 2006 31.41 (.55) 8.08 7.53 -- -- -- March 31, 2005 34.85 (.60) (2.84) (3.44) -- -- -- March 31, 2004 20.05 (.54) 15.34 14.80 -- -- -- March 31, 2003 30.18 (.40) (9.73) (10.13) -- -- -- March 31, 2002 41.60 (.64) (10.78) (11.42) -- -- -- INTERNET FUND A-CLASS SEPTEMBER 30, 2006# 39.07 (.26) (2.51) (2.77) -- -- -- March 31, 2006 31.45 (.50) 8.12 7.62 -- -- -- March 31, 2005* 30.65 (.31) 1.11 .80 -- -- -- INTERNET FUND C-CLASS SEPTEMBER 30, 2006# 38.30 (.37) (2.47) (2.84) -- -- -- March 31, 2006 31.06 (.73) 7.97 7.24 -- -- -- March 31, 2005 34.64 (.73) (2.85) (3.58) -- -- -- March 31, 2004 20.04 (.72) 15.32 14.60 -- -- -- March 31, 2003 30.28 (.50) (9.74) (10.24) -- -- -- March 31, 2002* 53.40 (.78) (22.34) (23.12) -- -- -- LEISURE FUND INVESTOR CLASS SEPTEMBER 30, 2006# 32.56 (.10) (.73) (.83) -- -- -- March 31, 2006 30.50 (.07) 2.13 2.06 -- -- -- March 31, 2005 27.66 (.17) 3.01 2.84 -- -- -- March 31, 2004 17.88 (.06) 9.84 9.78 -- -- -- March 31, 2003++ 24.00 (.15) (5.97) (6.12) -- -- -- March 31, 2002++ 25.56 (.33) (1.23) (1.56) -- -- -- LEISURE FUND ADVISOR CLASS SEPTEMBER 30, 2006# 31.15 (.16) (.70) (.86) -- -- -- March 31, 2006 29.34 (.32) 2.13 1.81 -- -- -- March 31, 2005 26.74 (.30) 2.90 2.60 -- -- -- March 31, 2004 17.37 (.23) 9.60 9.37 -- -- -- March 31, 2003++ 23.34 (.39) (5.58) (5.97) -- -- -- March 31, 2002++ 24.93 (.51) (1.08) (1.59) -- -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - --------------------------------------------------------------------------------------------------------------------- INTERNET FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ (2.83) $ 37.39 (7.04)% 1.36%** (1.10)%** 593% $ 19,703 March 31, 2006 7.93 40.22 24.56% 1.34% (1.10)% 1,371% 16,288 March 31, 2005 (3.37) 32.29 (9.45)% 1.34% (1.23)% 1,947% 5,210 March 31, 2004 15.23 35.66 74.55% 1.36% (1.31)% 1,340% 15,292 March 31, 2003 (10.12) 20.43 (33.13)% 1.38% (1.34)% 2,052% 3,335 March 31, 2002 (11.25) 30.55 (26.91)% 1.21% (1.15)% 2,186% 3,124 INTERNET FUND ADVISOR CLASS SEPTEMBER 30, 2006# (2.82) 36.12 (7.24)% 1.85%** (1.67)%** 593% 2,682 March 31, 2006 7.53 38.94 23.97% 1.85% (1.58)% 1,371% 3,696 March 31, 2005 (3.44) 31.41 (9.87)% 1.83% (1.72)% 1,947% 829 March 31, 2004 14.80 34.85 73.82% 1.86% (1.81)% 1,340% 12,090 March 31, 2003 (10.13) 20.05 (33.57)% 1.82% (1.79)% 2,052% 717 March 31, 2002 (11.42) 30.18 (27.45)% 1.74% (1.68)% 2,186% 396 INTERNET FUND A-CLASS SEPTEMBER 30, 2006# (2.77) 36.30 (7.09)% 1.59%** (1.38)%** 593% 141 March 31, 2006 7.62 39.07 24.23% 1.63% (1.36)% 1,371% 470 March 31, 2005* .80 31.45 2.61% 1.55%** (1.46)%** 1,947% 4 INTERNET FUND C-CLASS SEPTEMBER 30, 2006# (2.84) 35.46 (7.42)% 2.33%** (2.09)%** 593% 1,001 March 31, 2006 7.24 38.30 23.31% 2.35% (2.09)% 1,371% 2,273 March 31, 2005 (3.58) 31.06 (10.33)% 2.33% (2.19)% 1,947% 1,596 March 31, 2004 14.60 34.64 72.85% 2.36% (2.31)% 1,340% 1,556 March 31, 2003 (10.24) 20.04 (33.82)% 2.37% (2.34)% 2,052% 234 March 31, 2002* (23.12) 30.28 (43.30)% 2.36%** (2.33)%** 2,186% 149 LEISURE FUND INVESTOR CLASS SEPTEMBER 30, 2006# (.83) 31.73 (2.55)% 1.37%** (0.62)%** 503% 14,582 March 31, 2006 2.06 32.56 6.75% 1.34% (0.25)% 734% 16,418 March 31, 2005 2.84 30.50 10.27% 1.31% (0.57)% 1,046% 15,080 March 31, 2004 9.78 27.66 54.70% 1.36% (0.31)% 1,870% 25,030 March 31, 2003++ (6.12) 17.88 (25.50)% 1.38% (0.65)% 3,179% 2,325 March 31, 2002++ (1.56) 24.00 (6.10)% 1.57% (1.27)% 2,609% 11,443 LEISURE FUND ADVISOR CLASS SEPTEMBER 30, 2006# (.86) 30.29 (2.76)% 1.88%** (1.05)%** 503% 4,823 March 31, 2006 1.81 31.15 6.17% 1.80% (1.10)% 734% 5,372 March 31, 2005 2.60 29.34 9.72% 1.82% (1.10)% 1,046% 27,750 March 31, 2004 9.37 26.74 53.94% 1.86% (1.06)% 1,870% 39,789 March 31, 2003++ (5.97) 17.37 (25.58)% 1.90% (1.68)% 3,179% 3,592 March 31, 2002++ (1.59) 23.34 (6.38)% 2.26% (2.05)% 2,609% 9,324
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 19, 2001 -- INTERNET FUND C-CLASS; SEPTEMBER 1, 2004 -- INTERNET FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED 68 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ LEISURE FUND A-CLASS SEPTEMBER 30, 2006# $ 31.24 $ (.12) $ (.72) $ (.84) $ -- $ -- $ -- March 31, 2006 29.34 (.14) 2.04 1.90 -- -- -- March 31, 2005* 24.59 (.08) 4.83 4.75 -- -- -- LEISURE FUND C-CLASS SEPTEMBER 30, 2006# 31.05 (.24) (.71) (.95) -- -- -- March 31, 2006 29.39 (.40) 2.06 1.66 -- -- -- March 31, 2005 26.93 (.40) 2.86 2.46 -- -- -- March 31, 2004 17.61 (.38) 9.70 9.32 -- -- -- March 31, 2003++ 23.79 (.36) (5.82) (6.18) -- -- -- March 31, 2002*++ 29.01 (.45) (4.77) (5.22) -- -- -- PRECIOUS METALS FUND INVESTOR CLASS SEPTEMBER 30, 2006# 54.50 (.03) (5.29) (5.32) -- -- -- March 31, 2006 35.64 (.07) 18.93 18.86 -- -- -- March 31, 2005 44.32 (.05) (8.63) (8.68) -- -- -- March 31, 2004 26.78 (.12) 17.67 17.55 (.01) -- (.01) March 31, 2003 27.90 .03 (1.15) (1.12) -- -- -- March 31, 2002 17.73 .01 10.30 10.31 (.14) -- (.14) PRECIOUS METALS FUND ADVISOR CLASS SEPTEMBER 30, 2006# 53.83 (.16) (5.21) (5.37) -- -- -- March 31, 2006 35.37 (.28) 18.74 18.46 -- -- -- March 31, 2005 44.17 (.03) (8.77) (8.80) -- -- -- March 31, 2004* 31.68 (.18) 12.68 12.50 (.01) -- (.01) PRECIOUS METALS FUND A-CLASS SEPTEMBER 30, 2006# 54.03 (.08) (5.25) (5.33) -- -- -- March 31, 2006 35.41 (.19) 18.81 18.62 -- -- -- March 31, 2005* 37.26 (.01) (1.84) (1.85) -- -- -- PRECIOUS METALS FUND C-CLASS SEPTEMBER 30, 2006# 52.02 (.27) (5.04) (5.31) -- -- -- March 31, 2006 34.37 (.46) 18.11 17.65 -- -- -- March 31, 2005 43.16 (.39) (8.40) (8.79) -- -- -- March 31, 2004 26.35 (.51) 17.33 16.82 (.01) -- (.01) March 31, 2003 27.72 (.27) (1.10) (1.37) -- -- -- March 31, 2002* 20.41 (.26) 7.71 7.45 (.14) -- (.14) REAL ESTATE FUND A-CLASS SEPTEMBER 30, 2006# 36.46 .26 1.53 1.79 -- -- -- March 31, 2006 27.84 .64 8.18 8.82 -- (.20) (.20) March 31, 2005* 26.66 .09 1.24 1.33 (.03) (.12) (.15) RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - --------------------------------------------------------------------------------------------------------------------- LEISURE FUND A-CLASS SEPTEMBER 30, 2006# $ (.84) $ 30.40 (2.69)% 1.64%** (0.82)%** 503% $ 81 March 31, 2006 1.90 31.24 6.48% 1.60% (0.49)% 734% 68 March 31, 2005* 4.75 29.34 19.32% 1.55%** (1.02)%** 1,046% 12 LEISURE FUND C-CLASS SEPTEMBER 30, 2006# (.95) 30.10 (3.06)% 2.38%** (1.58)%** 503% 1,077 March 31, 2006 1.66 31.05 5.65% 2.32% (1.40)% 734% 997 March 31, 2005 2.46 29.39 9.13% 2.31% (1.44)% 1,046% 2,502 March 31, 2004 9.32 26.93 52.92% 2.37% (1.59)% 1,870% 2,165 March 31, 2003++ (6.18) 17.61 (25.98)% 2.39% (1.70)% 3,179% 36 March 31, 2002*++ (5.22) 23.79 (17.99)% 2.53%** (2.14)%** 2,609% 87 PRECIOUS METALS FUND INVESTOR CLASS SEPTEMBER 30, 2006# (5.32) 49.18 (9.76)% 1.25%** (0.10)%** 130% 146,508 March 31, 2006 18.86 54.50 52.92% 1.24% (0.16)% 277% 213,017 March 31, 2005 (8.68) 35.64 (19.58)% 1.23% (0.12)% 358% 130,718 March 31, 2004 17.54 44.32 65.53% 1.26% (0.32)% 550% 236,961 March 31, 2003 (1.12) 26.78 (4.01)% 1.27% 0.09% 744% 75,185 March 31, 2002 10.17 27.90 58.44% 1.39% 0.07% 839% 59,625 PRECIOUS METALS FUND ADVISOR CLASS SEPTEMBER 30, 2006# (5.37) 48.46 (9.98)% 1.76%** (0.59)%** 130% 11,073 March 31, 2006 18.46 53.83 52.19% 1.75% (0.70)% 277% 14,087 March 31, 2005 (8.80) 35.37 (19.92)% 1.72% (0.09)% 358% 8,596 March 31,2004* 12.49 44.17 39.46% 1.72%** (0.68)%** 550% 2,112 PRECIOUS METALS FUND A-CLASS SEPTEMBER 30, 2006# (5.33) 48.70 (9.87)% 1.51%** (0.29)%** 130% 5,462 March 31, 2006 18.62 54.03 52.58% 1.52% (0.43)% 277% 5,701 March 31, 2005* (1.85) 35.41 (4.97)% 1.45%** (0.02)%** 358% 217 PRECIOUS METALS FUND C-CLASS SEPTEMBER 30, 2006# (5.31) 46.71 (10.21)% 2.25%** (1.06)%** 130% 22,361 March 31, 2006 17.65 52.02 51.35% 2.25% (1.20)% 277% 24,266 March 31, 2005 (8.79) 34.37 (20.37)% 2.23% (1.08)% 358% 20,426 March 31, 2004 16.81 43.16 63.83% 2.27% (1.38)% 550% 17,998 March 31, 2003 (1.37) 26.35 (4.94)% 2.27% (0.94)% 744% 2,150 March 31, 2002* 7.31 27.72 36.75% 2.38%** (1.23)%** 839% 910 REAL ESTATE FUND A-CLASS SEPTEMBER 30, 2006# 1.79 38.25 4.91% 1.62%** 1.40%** 678% 445 March 31, 2006 8.62 36.46 31.75% 1.57% 2.02% 1,304% 375 March 31, 2005* 1.18 27.84 4.98% 1.54%** 0.52%** 1,773% 71
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 27, 2001 -- PRECIOUS METALS FUND C-CLASS; MAY 3, 2001 -- LEISURE FUND C-CLASS; AUGUST 1, 2003 -- PRECIOUS METALS FUND ADVISOR CLASS; SEPTEMBER 1, 2004 -- LEISURE FUND A-CLASS, PRECIOUS METALS FUND A-CLASS AND REAL ESTATE FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 69 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ REAL ESTATE FUND C-CLASS SEPTEMBER 30, 2006# $ 35.93 $ .15 $ 1.46 $ 1.61 $ -- $ -- $ -- March 31, 2006 27.64 .43 8.06 8.49 -- (.20) (.20) March 31, 2005 26.63 .41 .75 1.16 (.03) (.12) (.15) March 31, 2004* 25.00 .02 1.61 1.63 -- -- -- REAL ESTATE FUND H-CLASS SEPTEMBER 30, 2006# 36.47 .34 1.41 1.75 -- -- -- March 31, 2006 27.85 .57 8.25 8.82 -- (.20) (.20) March 31, 2005 26.65 .58 .77 1.35 (.03) (.12) (.15) March 31, 2004* 25.00 .10 1.55 1.65 -- -- -- RETAILING FUND INVESTOR CLASS SEPTEMBER 30, 2006# 13.48 (.02) (.10) (.12) -- -- -- March 31, 2006 12.30 (.08) 1.26 1.18 -- -- -- March 31, 2005 11.74 (.06) .62 .56 -- -- -- March 31, 2004 8.00 (.08) 3.82 3.74 -- -- -- March 31, 2003 11.12 (.07) (3.05) (3.12) -- -- -- March 31, 2002 10.29 (.10) .93 .83 -- -- -- RETAILING FUND ADVISOR CLASS SEPTEMBER 30, 2006# 13.07 (.04) (.11) (.15) -- -- -- March 31, 2006 11.99 (.15) 1.23 1.08 -- -- -- March 31, 2005 11.49 (.12) .62 .50 -- -- -- March 31, 2004 7.85 (.13) 3.77 3.64 -- -- -- March 31, 2003 10.94 (.12) (2.97) (3.09) -- -- -- March 31, 2002 10.17 (.15) .92 .77 -- -- -- RETAILING FUND A-CLASS SEPTEMBER 30, 2006# 13.10 (.04) (.08) (.12) -- -- -- March 31, 2006 12.01 (.11) 1.20 1.09 -- -- -- March 31, 2005 * 10.45 (.07) 1.63 1.56 -- -- -- RETAILING FUND C-CLASS SEPTEMBER 30, 2006# 12.80 (.07) (.10) (.17) -- -- -- March 31, 2006 11.80 (.20) 1.20 1.00 -- -- -- March 31, 2005 11.37 (.17) .60 .43 -- -- -- March 31, 2004 7.81 (.18) 3.74 3.56 -- -- -- March 31, 2003 11.02 (.20) (3.01) (3.21) -- -- -- March 31, 2002* 10.68 (.20) .54 .34 -- -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - --------------------------------------------------------------------------------------------------------------------- REAL ESTATE FUND C-CLASS SEPTEMBER 30, 2006# $ 1.61 $ 37.54 4.48% 2.38%** 0.82%** 678% $ 4,963 March 31, 2006 8.29 35.93 30.79% 2.36% 1.35% 1,304% 3,548 March 31, 2005 1.01 27.64 4.35% 2.32% 1.52% 1,773% 1,293 March 31, 2004* 1.63 26.63 6.52% 2.36%** 0.72%** 102% 7,562 REAL ESTATE FUND H-CLASS SEPTEMBER 30, 2006# 1.75 38.22 4.80% 1.62%** 1.87%** 678% 54,988 March 31, 2006 8.62 36.47 31.74% 1.59% 1.78% 1,304% 49,591 March 31, 2005 1.20 27.85 5.06% 1.58% 2.08% 1,773% 8,186 March 31, 2004* 1.65 26.65 6.60% 1.61%** 3.83%** 102% 75,916 RETAILING FUND INVESTOR CLASS SEPTEMBER 30, 2006# (.12) 13.36 (0.89)% 1.38%** (0.31)%** 473% 28,398 March 31, 2006 1.18 13.48 9.59% 1.33% (0.60)% 1,163% 7,608 March 31, 2005 .56 12.30 4.77% 1.33% (0.54)% 1,505% 7,529 March 31, 2004 3.74 11.74 46.75% 1.35% (0.78)% 1,825% 11,738 March 31, 2003 (3.12) 8.00 (28.06)% 1.38% (0.82)% 3,788% 2,964 March 31, 2002 .83 11.12 8.07% 1.44% (0.92)% 2,030% 21,667 RETAILING FUND ADVISOR CLASS SEPTEMBER 30, 2006# (.15) 12.92 (1.15)% 1.87%** (0.66)%** 473% 4,845 March 31, 2006 1.08 13.07 9.01% 1.82% (1.18)% 1,163% 3,385 March 31, 2005 .50 11.99 4.35% 1.83% (1.09)% 1,505% 6,445 March 31, 2004 3.64 11.49 46.37% 1.85% (1.25)% 1,825% 15,863 March 31, 2003 (3.09) 7.85 (28.24)% 1.88% (1.35)% 3,788% 14,965 March 31, 2002 .77 10.94 7.57% 1.95% (1.40)% 2,030% 37,690 RETAILING FUND A-CLASS SEPTEMBER 30, 2006# (.12) 12.98 (0.92)% 1.64%** (0.69)%** 473% 160 March 31, 2006 1.09 13.10 9.08% 1.59% (0.87)% 1,163% 46 March 31, 2005 * 1.56 12.01 14.93% 1.68%** (1.03)%** 1,505% 1 RETAILING FUND C-CLASS SEPTEMBER 30, 2006# (.17) 12.63 (1.33)% 2.37%** (1.18)%** 473% 2,937 March 31, 2006 1.00 12.80 8.47% 2.34% (1.65)% 1,163% 1,586 March 31, 2005 .43 11.80 3.78% 2.33% (1.52)% 1,505% 1,774 March 31, 2004 3.56 11.37 45.58% 2.36% (1.72)% 1,825% 2,362 March 31, 2003 (3.21) 7.81 (29.13)% 2.32% (1.89)% 3,788% 85 March 31, 2002* .34 11.02 3.18% 2.70%** (2.13)%** 2,030% 1,028
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 9, 2001 -- RETAILING FUND C-CLASS; FEBRUARY 20, 2004 -- REAL ESTATE FUND C-CLASS AND REAL ESTATE FUND H-CLASS; SEPTEMBER 1, 2004 -- RETAILING FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. # UNAUDITED 70 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ TECHNOLOGY FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ 12.35 (.05) $ (.55) $ (.60) $ -- $ -- $ -- March 31, 2006 10.35 (.09) 2.12 2.03 (.03) -- (.03) March 31, 2005 11.40 .03 (1.08) (1.05) -- -- -- March 31, 2004 7.11 (.11) 4.40 4.29 -- -- -- March 31, 2003 11.00 (.09) (3.80) (3.89) -- -- -- March 31, 2002 12.70 (.15) (1.55) (1.70) -- -- -- TECHNOLOGY FUND ADVISOR CLASS SEPTEMBER 30, 2006# 11.94 (.08) (.52) (.60) -- -- -- March 31, 2006 10.06 (.14) 2.05 1.91 (.03) -- (.03) March 31, 2005 11.13 .02 (1.09) (1.07) -- -- -- March 31, 2004 6.97 (.16) 4.32 4.16 -- -- -- March 31, 2003 10.77 (.12) (3.68) (3.80) -- -- -- March 31, 2002 12.49 (.20) (1.52) (1.72) -- -- -- TECHNOLOGY FUND A-CLASS SEPTEMBER 30, 2006# 11.95 (.07) (.52) (.59) -- -- -- March 31, 2006 10.07 (.13) 2.04 1.91 (.03) -- (.03) March 31, 2005* 9.32 -- .75 .75 -- -- -- TECHNOLOGY FUND C-CLASS SEPTEMBER 30, 2006# 11.81 (.11) (.51) (.62) -- -- -- March 31, 2006 10.01 (.21) 2.04 1.83 (.03) -- (.03) March 31, 2005 11.10 -- (1.09) (1.09) -- -- -- March 31, 2004 7.00 (.21) 4.31 4.10 -- -- -- March 31, 2003 10.90 (.18) (3.72) (3.90) -- -- -- March 31, 2002* 14.82 (.25) (3.67) (3.92) -- -- -- TELECOMMUNICATIONS FUND INVESTOR CLASS SEPTEMBER 30, 2006# 17.74 .15 (.49) (.34) -- -- -- March 31, 2006 14.33 .21 3.60 3.81 (.40) -- (.40) March 31, 2005 15.48 .09 (1.24) (1.15) -- -- -- March 31, 2004 10.05 -- 5.48 5.48 (.05) -- (.05) March 31, 2003++ 15.12 .06 (5.13) (5.07) -- -- -- March 31, 2002++ 24.03 (.12) (8.70) (8.82) -- (.09) (.09) TELECOMMUNICATIONS FUND ADVISOR CLASS SEPTEMBER 30, 2006# 17.10 .11 (.48) (.37) -- -- -- March 31, 2006 13.88 .12 3.50 3.62 (.40) -- (.40) March 31, 2005 15.07 .03 (1.22) (1.19) -- -- -- March 31, 2004 9.81 (.08) 5.39 5.31 (.05) -- (.05) March 31, 2003++ 14.76 (.09) (4.86) (4.95) -- -- -- March 31, 2002++ 23.58 (.06) (8.67) (8.73) -- (.09) (.09) RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, DECREASE) IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ---------------------------------------------------------------------------------------------------------------------- TECHNOLOGY FUND INVESTOR CLASS SEPTEMBER 30, 2006# $ (.60) $ 11.75 (4.78)% 1.38%** (0.91)%** 301% $ 36,423 March 31, 2006 2.00 12.35 19.65% 1.33% (0.79)% 666% 21,182 March 31, 2005 (1.05) 10.35 (9.21)% 1.31% 0.33% 1,304% 13,346 March 31, 2004 4.29 11.40 60.34% 1.36% (1.07)% 1,853% 17,114 March 31, 2003 (3.89) 7.11 (35.36)% 1.38% (1.13)% 1,938% 8,348 March 31, 2002 (1.70) 11.00 (13.39)% 1.44% (1.21)% 1,017% 35,815 TECHNOLOGY FUND ADVISOR CLASS SEPTEMBER 30, 2006# (.60) 11.34 (5.03)% 1.88%** (1.42)%** 301% 23,568 March 31, 2006 1.88 11.94 19.02% 1.84% (1.32)% 666% 12,737 March 31, 2005 (1.07) 10.06 (9.61)% 1.83% 0.21% 1,304% 10,693 March 31, 2004 4.16 11.13 59.68% 1.86% (1.58)% 1,853% 17,972 March 31, 2003 (3.80) 6.97 (35.28)% 1.88% (1.62)% 1,938% 16,717 March 31, 2002 (1.72) 10.77 (13.77)% 1.93% (1.69)% 1,017% 25,769 TECHNOLOGY FUND A-CLASS SEPTEMBER 30, 2006# (.59) 11.36 (4.94)% 1.59%** (1.20)%** 301% 121 March 31, 2006 1.88 11.95 19.00% 1.63% (1.15)% 666% 633 March 31, 2005* .75 10.07 8.05% 1.54%** 0.00%** 1,304% 6 TECHNOLOGY FUND C-CLASS SEPTEMBER 30, 2006# (.62) 11.19 (5.25)% 2.35%** (1.90)%** 301% 2,130 March 31, 2006 1.80 11.81 18.31% 2.35% (1.88)% 666% 2,800 March 31, 2005 (1.09) 10.01 (9.82)% 2.32% 0.00% 1,304% 1,284 March 31, 2004 4.10 11.10 58.57% 2.36% (2.13)% 1,853% 1,101 March 31, 2003 (3.90) 7.00 (35.78)% 2.37% (2.07)% 1,938% 434 March 31, 2002* (3.92) 10.90 (26.45)% 2.43%** (2.22)%** 1,017% 424 TELECOMMUNICATIONS FUND INVESTOR CLASS SEPTEMBER 30, 2006# (.34) 17.40 (1.92)% 1.35%** 1.76%** 279% 35,359 March 31, 2006 3.41 17.74 26.96% 1.38% 1.30% 820% 56,695 March 31, 2005 (1.15) 14.33 (7.43)% 1.35% 0.60% 1,142% 6,003 March 31, 2004 5.43 15.48 54.59% 1.37% 0.01% 1,506% 14,406 March 31, 2003++ (5.07) 10.05 (33.53)% 1.38% 0.46% 2,431% 9,152 March 31, 2002++ (8.91) 15.12 (36.84)% 1.51% (0.60)% 1,192% 4,530 TELECOMMUNICATIONS FUND ADVISOR CLASS SEPTEMBER 30, 2006# (.37) 16.73 (2.16)% 1.78%** 1.33%** 279% 7,556 March 31, 2006 3.22 17.10 26.46% 1.82% 0.81% 820% 8,487 March 31, 2005 (1.19) 13.88 (7.90)% 1.86% 0.19% 1,142% 1,922 March 31, 2004 5.26 15.07 54.20% 1.87% (0.58)% 1,506% 7,376 March 31, 2003++ (4.95) 9.81 (33.54)% 1.86% (0.68)% 2,431% 898 March 31, 2002++ (8.82) 14.76 (37.16)% 1.87% (0.29)% 1,192% 931
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 18, 2001 -- TECHNOLOGY FUND C-CLASS; SEPTEMBER 1, 2004 -- TECHNOLOGY FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 71 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATIONS FUND A-CLASS SEPTEMBER 30, 2006 # $ 17.15 $ .08 $ (.48) $ (.40) $ -- $ -- $ -- March 31, 2006 13.90 (.03) 3.68 3.65 (.40) -- (.40) March 31, 2005* 13.55 .11 .24 .35 -- -- -- TELECOMMUNICATIONS FUND C-CLASS SEPTEMBER 30, 2006 # 16.90 .06 (.46) (.40) -- -- -- March 31, 2006 13.81 .01 3.48 3.49 (.40) -- (.40) March 31, 2005 15.06 (.07) (1.18) (1.25) -- -- -- March 31, 2004 9.84 (.15) 5.42 5.27 (.05) -- (.05) March 31, 2003++ 14.97 (.09) (5.04) (5.13) -- -- -- March 31, 2002*++ 26.91 (.24) (11.61) (11.85) -- (.09) (.09) TRANSPORTATION FUND INVESTOR CLASS SEPTEMBER 30, 2006 # 28.30 (.08) (1.73) (1.81) -- -- -- March 31, 2006 22.42 (.09) 5.97 5.88 -- -- -- March 31, 2005 18.84 (.11) 3.69 3.58 -- -- -- March 31, 2004 15.03 (.06) 3.87 3.81 -- -- -- March 31, 2003++ 20.85 (.12) (5.70) (5.82) -- -- -- March 31, 2002++ 19.26 (.09) 1.68 1.59 -- -- -- TRANSPORTATION FUND ADVISOR CLASS SEPTEMBER 30, 2006 # 26.75 (.13) (1.64) (1.77) -- -- -- March 31, 2006 21.31 (.19) 5.63 5.44 -- -- -- March 31, 2005 18.02 (.21) 3.50 3.29 -- -- -- March 31, 2004 14.40 (.12) 3.74 3.62 -- -- -- March 31, 2003++ 19.98 (.15) (5.43) (5.58) -- -- -- March 31, 2002++ 18.57 (.21) 1.62 1.41 -- -- -- TRANSPORTATION FUND A-CLASS SEPTEMBER 30, 2006 # 26.87 (.09) (1.67) (1.76) -- -- -- March 31, 2006 21.34 (.17) 5.70 5.53 -- -- -- March 31, 2005* 18.73 (.09) 2.70 2.61 -- -- -- TRANSPORTATION FUND C-CLASS SEPTEMBER 30, 2006 # 27.14 (.19) (1.68) (1.87) -- -- -- March 31, 2006 21.71 (.35) 5.78 5.43 -- -- -- March 31, 2005 18.43 (.32) 3.60 3.28 -- -- -- March 31, 2004 14.85 (.25) 3.83 3.58 -- -- -- March 31, 2003++ 20.73 (.27) (5.61) (5.88) -- -- -- March 31, 2002*++ 20.04 (.24) .93 .69 -- -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - --------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS FUND A-CLASS SEPTEMBER 30, 2006 # $ (.40) $ 16.75 (2.33)% 1.35%** 0.97%** 279% $ 307 March 31, 2006 3.25 17.15 26.64% 1.88% (0.18)% 820% 4,193 March 31, 2005* .35 13.90 2.58% 1.54%** 1.25%** 1,142% 3 TELECOMMUNICATIONS FUND C-CLASS SEPTEMBER 30, 2006 # (.40) 16.50 (2.37)% 2.29%** 0.73%** 279% 3,238 March 31, 2006 3.09 16.90 25.65% 2.31% 0.09% 820% 2,827 March 31, 2005 (1.25) 13.81 (8.30)% 2.38% (0.51)% 1,142% 1,784 March 31, 2004 5.22 15.06 53.62% 2.37% (1.09)% 1,506% 3,635 March 31, 2003++ (5.13) 9.84 (34.27)% 2.41% (0.71)% 2,431% 774 March 31, 2002*++ (11.94) 14.97 (44.16)% 2.43%** (1.25)%** 1,192% 19 TRANSPORTATION FUND INVESTOR CLASS SEPTEMBER 30, 2006 # (1.81) 26.49 (6.40)% 1.35%** (0.55)%** 310% 16,533 March 31, 2006 5.88 28.30 26.23% 1.37% (0.36)% 669% 48,580 March 31, 2005 3.58 22.42 19.00% 1.32% (0.51)% 929% 7,890 March 31, 2004 3.81 18.84 25.35% 1.36% (0.34)% 1,624% 3,792 March 31, 2003++ (5.82) 15.03 (27.91)% 1.40% (0.70)% 2,786% 960 March 31, 2002++ 1.59 20.85 8.26% 1.56% (0.51)% 1,704% 18,215 TRANSPORTATION FUND ADVISOR CLASS SEPTEMBER 30, 2006 # (1.77) 24.98 (6.62)% 1.86%** (1.01)%** 310% 6,444 March 31, 2006 5.44 26.75 25.53% 1.86% (0.81)% 669% 8,478 March 31, 2005 3.29 21.31 18.26% 1.82% (1.05)% 929% 5,748 March 31, 2004 3.62 18.02 25.14% 1.83% (0.73)% 1,624% 4,284 March 31, 2003++ (5.58) 14.40 (27.93)% 1.92% (0.94)% 2,786% 3,561 March 31, 2002++ 1.41 19.98 7.59% 2.23% (1.16)% 1,704% 23,807 TRANSPORTATION FUND A-CLASS SEPTEMBER 30, 2006 # (1.76) 25.11 (6.55)% 1.61%** (0.70)%** 310% 2,908 March 31, 2006 5.53 26.87 25.91% 1.66% (0.71)% 669% 3,044 March 31, 2005* 2.61 21.34 13.93% 1.54%** (0.71)%** 929% 22 TRANSPORTATION FUND C-CLASS SEPTEMBER 30, 2006 # (1.87) 25.27 (6.89)% 2.36%** (1.45)%** 310% 6,048 March 31, 2006 5.43 27.14 25.01% 2.38% (1.43)% 669% 5,385 March 31, 2005 3.28 21.71 17.80% 2.32% (1.51)% 929% 1,807 March 31, 2004 3.58 18.43 24.11% 2.36% (1.53)% 1,624% 656 March 31, 2003++ (5.88) 14.85 (28.36)% 2.36% (1.51)% 2,786% 514 March 31, 2002*++ .69 20.73 3.44% 2.59%** (1.35)%** 1,704% 654
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 18, 2001 -- TELECOMMUNICATIONS FUND C-CLASS; MAY 14, 2001 -- TRANSPORTATION FUND C-CLASS; SEPTEMBER 1, 2004 -- TELECOMMUNICATIONS FUND A-CLASS AND TRANSPORTATION FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE YEARS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED 72 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONCLUDED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES FUND INVESTOR CLASS SEPTEMBER 30, 2006 # $ 24.90 $ .27 $ 2.11 $ 2.38 $ -- $ -- $ -- March 31, 2006 23.62 .51 1.21 1.72 (.44) -- (.44) March 31, 2005 20.57 .53 2.82 3.35 (.30) -- (.30) March 31, 2004 16.38 .45 4.71 5.16 (.97) -- (.97) March 31, 2003++ 25.44 .60 (9.12) (8.52) (.54) -- (.54) March 31, 2002++ 35.52 .60 (9.12) (8.52) (1.56) -- (1.56) UTILITIES FUND ADVISOR CLASS SEPTEMBER 30, 2006 # 24.08 .21 2.02 2.23 -- -- -- March 31, 2006 22.96 .36 1.20 1.56 (.44) -- (.44) March 31, 2005 20.10 .42 2.74 3.16 (.30) -- (.30) March 31, 2004 16.11 .30 4.66 4.96 (.97) -- (.97) March 31, 2003++ 25.23 .33 (8.91) (8.58) (.54) -- (.54) March 31, 2002++ 35.43 .36 (9.00) (8.64) (1.56) -- (1.56) UTILITIES FUND A-CLASS SEPTEMBER 30, 2006 # 24.18 .21 2.07 2.28 -- -- -- March 31, 2006 23.00 .44 1.18 1.62 (.44) -- (.44) March 31, 2005* 20.66 .40 2.24 2.64 (.30) -- (.30) UTILITIES FUND C-CLASS SEPTEMBER 30, 2006 # 23.42 .12 1.99 2.11 -- -- -- March 31, 2006 22.47 .24 1.15 1.39 (.44) -- (.44) March 31, 2005 19.77 .29 2.71 3.00 (.30) -- (.30) March 31, 2004 15.93 .22 4.59 4.81 (.97) -- (.97) March 31, 2003++ 25.08 .30 (8.91) (8.61) (.54) -- (.54) March 31, 2002*++ 37.98 (.12) (11.22) (11.34) (1.56) -- (1.56) RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE)IN VALUE, TOTAL INVESTMENT PORTFOLIO END OF NET ASSET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - --------------------------------------------------------------------------------------------------------------------- UTILITIES FUND INVESTOR CLASS SEPTEMBER 30, 2006 # $ 2.38 $ 27.28 9.56% 1.37%** 2.03%** 420% $ 35,669 March 31, 2006 1.28 24.90 7.25% 1.33% 1.99% 728% 11,717 March 31, 2005 3.05 23.62 16.35% 1.33% 2.46% 1,124% 17,861 March 31, 2004 4.19 20.57 32.11% 1.35% 2.50% 1,609% 19,170 March 31, 2003++ (9.06) 16.38 (33.55)% 1.39% 3.24% 3,158% 9,978 March 31, 2002++ (10.08) 25.44 (24.07)% 1.54% 2.00% 2,418% 26,539 UTILITIES FUND ADVISOR CLASS SEPTEMBER 30, 2006 # 2.23 26.31 9.26% 1.88%** 1.69%** 420% 8,160 March 31, 2006 1.12 24.08 6.76% 1.83% 1.46% 728% 1,427 March 31, 2005 2.86 22.96 15.78% 1.83% 1.95% 1,124% 8,045 March 31, 2004 3.99 20.10 31.39% 1.84% 1.91% 1,609% 1,072 March 31, 2003++ (9.12) 16.11 (34.07)% 1.89% 1.74% 3,158% 2,239 March 31, 2002++ (10.20) 25.23 (24.47)% 1.85% 1.15% 2,418% 6,053 UTILITIES FUND A-CLASS SEPTEMBER 30, 2006 # 2.28 26.46 9.43% 1.64%** 1.65%** 420% 2,519 March 31, 2006 1.18 24.18 7.01% 1.60% 1.75% 728% 626 March 31, 2005* 2.34 23.00 12.84% 1.54%** 2.98%** 1,124% 128 UTILITIES FUND C-CLASS SEPTEMBER 30, 2006 # 2.11 25.53 9.01% 2.37%** 1.00%** 420% 7,098 March 31, 2006 .95 23.42 6.15% 2.34% 1.00% 728% 5,346 March 31, 2005 2.70 22.47 15.23% 2.32% 1.39% 1,124% 4,807 March 31, 2004 3.84 19.77 30.80% 2.36% 1.19% 1,609% 3,948 March 31, 2003++ (9.15) 15.93 (34.40)% 2.42% 1.56% 3,158% 939 March 31, 2002*++ (12.90) 25.08 (29.95)% 2.76%** (0.48)%** 2,418% 192
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 27, 2001 -- UTILITIES FUND C-CLASS; SEPTEMBER 1, 2004 -- UTILITIES FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR. ++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 2002 THROUGH MARCH 31, 2003 HAVE BEEN RESTATED TO REFLECT A 1:3 REVERSE STOCK SPLIT EFFECTIVE APRIL 21, 2003. # UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 73 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES The Rydex Series Funds (the "Trust") is registered with the SEC under the Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended investment company, and is authorized to issue an unlimited number of no par value shares. The Trust offers five separate classes of shares, Investor Class Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if Shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the net asset value per share, with the exception of A-Class Shares. A-Class Shares are sold at net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount of your purchase, but will not exceed 4.75%. A-Class Share purchases of $1 million or more have a 1% CDSC if Shares are redeemed within 18 months of purchase. The current sales charge rates are as follows: SALES CHARGE SALES CHARGE AS % OF AS % OF NET AMOUNT OF INVESTMENT OFFERING PRICE AMOUNT INVESTED - ----------------------------------------------------------------------------- Less than $100,000 4.75% 4.99% $100,000 but less than $250,000 3.75% 3.90% $250,000 but less than $500,000 2.75% 2.83% $500,000 but less than $1,000,000 1.60% 1.63% $1,000,000 or greater 0.00% 0.00% At September 30, 2006, the Trust consisted of fifty-three separate series: twenty-six Benchmark Funds, one Money Market Fund, four Alternative Strategies Funds, nineteen Sector Funds, and three Essential Portfolio Funds. This report covers the nineteen Sector Funds (the "Funds"), while the Money Market Fund, the Benchmark Funds, the Alternative Strategies Funds and the Essential Portfolio Funds are contained in separate reports. At a meeting on September 25, 2006, the Board of Trustees approved redemption fees of 1% on redemptions of shares held for less than 30 days for all share classes of the Commodities Fund. These fees will be effective on January 1, 2007. For the period October 1, 2006 through December 31, 2006, shareholders will be restricted to one substantive redemption out of the Fund followed by a purchase of the Fund during the period. The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. Equity securities listed on an exchange (New York Stock Exchange ("NYSE") or American Stock Exchange) are valued at the last quoted sales price as of close of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date. Equity securities listed on the Nasdaq market system are valued at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. Over-the-Counter options held by the Trust are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the Trust are accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities, if any, are valued at amortized cost, which approximates market value. Structured notes are valued in accordance with the terms of their agreement at the value of the underlying index close, usually 4:00 p.m., Eastern Time, adjusted for any interest accruals and financing charges. If the securities comprising the underlying index cease trading before the fund's close of business, the index will be fair valued with the use of an appropriate market indicator. The value of domestic equity index swap agreements entered into by the Funds is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE, usually 4:00 p.m., Eastern Time. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. The value of foreign equity index, commodity index, and currency index swap agreements entered into by the Funds are accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE, usually 4:00 p.m., Eastern Time. In the event that no order is filled at 4:00 p.m., Eastern Time, the security dealer provides a fair value quote at which the swap agreement is valued. The swap's market value is then adjusted to include 74 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- dividends accrued, financing charges and/or interest associated with the swap agreements. Investments, including structured notes, for which market quotations are not readily available are valued at fair value as determined in good faith by Rydex Investments (the "Advisor"), an affiliated entity, under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets. B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. C. Distributions of net investment income and net realized capital gains are recorded on the ex-dividend date. Distributions from net investment income and net realized capital gains are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for items such as deferral of wash sales and post-October losses and regulated futures contracts and options. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. D. The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector, with the exception of the Commodities Fund, which invests primarily in "commodity related" derivative instruments. E. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security that the Fund purchases upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in the Trust's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). F. The Trust may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. G. The Trust may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index, commodity index, or U.S. Dollar index, in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index, commodity index, or U.S. Dollar index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. In accordance with a Revenue Ruling issued by the Internal Revenue Service (the "IRS"), the Trust will not invest in commodity index swaps after September 30, 2006. H. The Trust may invest in structured notes, which are over-the-counter contracts linked to the performance of an underlying benchmark such as interest rates, equity THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 75 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- markets, equity indices, commodities indices, corporate credits or foreign exchange markets. A structured note is a type of bond in which an issuer borrows money from investors and pays back the principal, adjusted for performance of the underlying benchmark, at a specified maturity date. In addition, the contract may require periodic interest payments. Structured notes are used to obtain exposure to a market without owning or taking physical custody of securities or commodities. I. The Funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. J. The Fund may leave Cash in Custodian Bank overnight in its cash account with the custodian, U.S. Bancorp. Periodically, a Fund may have Cash Payable to Custodian Bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. K. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the Classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution fees relating to Advisor Class Shares, A-Class Shares and H-Class Shares and service and distribution fees related to C-Class Shares, are charged directly to specific Classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net asset value of each Fund included in the Trust. L. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. 2. FINANCIAL INSTRUMENTS As part of its investment strategy, the Trust may utilize a variety of derivative instruments, including options, futures, options on futures, structured notes, swap agreements, and short sales. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties, which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or its affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by a Fund involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market. There are several risks associated with the use of structured notes. Structured securities are leveraged, providing an exposure to the underlying benchmark of three times the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes a Fund invests in which may make it difficult for the Fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless the Advisor believes that the issuer is creditworthy, a Fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The use of equity swaps involves risks that are different from those associated with ordinary portfolio securities 76 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, a Fund does bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which a Fund sells a security it does not own. If the security the Fund sold short goes down in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each of the Funds. The risks inherent in the use of options, futures contracts, options on futures contracts, structured notes, swap agreements, as well as short sales of securities include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Under the terms of an investment advisory contract, the Trust pays the Advisor, an affiliated entity, investment advisory fees calculated at an annualized rate of 0.85% of the average daily net assets of each of the Funds, except the Precious Metals Fund, which is 0.75% of the average daily net assets. Effective May 1, 2006, the Advisor has contractually agreed to waive its 0.75% management fee to the extent necessary to limit the ordinary operating expenses of the Commodities Fund (but excluding interest expenses, brokerage commissions, and extraordinary expenses) to not more than 1.20%, 1.95%, and 1.20% per annum of the average monthly net assets of the A-Class, C-Class, and H-Class of the Fund, respectively (the "Contractual Fee Waiver"). The Contractual Fee Waiver may not be modified or eliminated prior to August 1, 2007, except with the approval of the Board of Trustees. There is no guarantee that the Contractual Fee Waiver will continue beyond August 1, 2007. Certain officers and trustees of the Trust are also officers of the Advisor. Rydex Investments, an affiliated entity, provides transfer agent and administrative services to the Trust for fees calculated at an annualized rate of 0.25% of the average daily net assets of each of the Sector Funds. Rydex Investments also provides accounting services to the Trust calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of each of the Sector Funds. Certain officers and trustees of the Trust are also officers of Rydex Investments. Rydex Investments also provides other necessary services to the Trust, such as accounting and auditing services, legal services, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets. The Trust has adopted a Distribution Plan and Shareholder Services Plan applicable to its Advisor Class Shares and a Distribution Plan applicable to A-Class Shares and H-Class Shares for which Rydex Distributors, Inc. (the "Distributor"), an affiliated entity, and other firms that provide distribution and/or shareholder services ("Service Providers") may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Distributor may, at its discretion, retain a portion of such payments to compensate itself for distribution services. With regard to Advisor Class Shares only, if a Service Provider provides shareholder services, the Distributor will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. The Distributor, in turn, will pay the Service Provider out of its fees. The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class Shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds' C-Class Shares average daily net assets. The annual 0.25% service fee compensates the shareholder's financial advisor for providing on-going services to the shareholder. The THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 77 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- annual 0.75% distribution fee reimburses the Distributor for paying the shareholder's financial advisor an ongoing sales commission. The Distributor advances the first year's service and distribution fees to the Financial Advisor. The Distributor retains the service and distribution fees on accounts with no authorized dealer of record. Certain officers and trustees of the Trust are also officers of the Distributor. 4. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and will distribute all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision is required. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This includes net operating losses not utilized during the current year, reclasses of swap related income and gains, and the utilization of earnings and profits distributed to the shareholders on redemption of shares as part of the dividend paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. On July 13, 2006, the Financial Accounting Standards Board ("FASB") released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined. At September 30, 2006, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
TAX TAX NET TAX UNREALIZED UNREALIZED UNREALIZED FUND COST GAIN LOSS GAIN - ---------------------------------------------------------------------------------------------- Banking Fund $ 11,027,690 $ 1,715,983 $ (3,555) $ 1,712,428 Basic Materials Fund 23,272,055 6,664,824 (76,940) 6,587,884 Biotechnology Fund 92,294,192 41,330,771 (682,034) 40,648,737 Commodities Fund 55,875,668 61,384 -- 61,384 Consumer Products Fund 89,414,713 7,116,123 (42,321) 7,073,802 Electronics Fund 30,709,305 12,272,331 (10,154) 12,262,177 Energy Fund 100,003,390 34,607,093 (1,033,462) 33,573,631 Energy Services Fund 112,638,618 50,098,451 (1,115,631) 48,982,820 Financial Services Fund 69,756,967 5,077,003 (57,297) 5,019,706 Health Care Fund 102,156,408 13,693,595 (371,334) 13,322,261 Internet Fund 24,808,988 3,301,992 (17,661) 3,284,331 Leisure Fund 22,347,982 2,304,659 (14,934) 2,289,725 Precious Metals Fund 172,134,039 82,804,541 (1,007,306) 81,797,235 Real Estate Fund 70,324,972 5,919,044 (11,661) 5,907,383 Retailing Fund 38,033,401 3,409,850 (6,486) 3,403,364 Technology Fund 69,972,331 6,182,959 (241,097) 5,941,862 Telecommunications Fund 54,356,913 5,375,912 (14,793) 5,361,119 Transportation Fund 35,867,242 6,362,660 (52,493) 6,310,167 Utilities Fund 64,422,855 6,056,748 (1,066) 6,055,682
78 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 5. REPURCHASE AGREEMENTS The Trust transfers uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury. The collateral is in the possession of the Trust's custodian and is evaluated daily to ensure that its market value exceeds by, at a minimum, 102% of the delivery value of the repurchase agreement at maturity. The repurchase agreements executed by the joint account and outstanding as of September 30, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE MATURITY VALUE - ---------------------------------------------------------------------------------------------- Lehman Brothers, Inc. 5.00% due 10/02/06 $ 44,140,170 $ 44,140,170 $ 44,158,562 - ---------------------------------------------------------------------------------------------- $ 44,140,170 $ 44,158,562 - ----------------------------------------------------------------------------------------------
As of September 30, 2006, the collateral for the repurchase agreements in the joint account was as follows: SECURITY TYPE RANGE OF RATES PAR VALUE MARKET VALUE - -------------------------------------------------------------------------------- U. S. Treasury Notes 3.000% - 4.875% $ 45,150,000 $ 45,023,916 - -------------------------------------------------------------------------------- $ 45,023,916 - -------------------------------------------------------------------------------- In the event of counterparty default, the Trust has the right to collect the collateral to offset losses incurred. There is potential loss to the Trust in the event the Trust is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Trust seeks to assert its rights. The Trust's investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the credit worthiness of those banks and dealers with which the Trust enters into repurchase agreements to evaluate potential risks. 6. SECURITIES TRANSACTIONS During the period ended September 30, 2006, purchases and sales of investment securities, excluding short-term and temporary cash investments, were:
BASIC BIOTECH- CONSUMER ENERGY BANKING MATERIALS NOLOGY COMMODITIES PRODUCTS ELECTRONICS ENERGY SERVICES FUND FUND FUND FUND FUND FUND FUND FUND - ---------------------------------------------------------------------------------------------------------------------------------- Purchases $ 66,603,292 $ 91,635,569 $172,496,549 $17,859,522 $151,809,537 $142,194,543 $214,522,524 $177,703,986 Sales $ 66,759,918 $102,708,640 $207,281,837 $ -- $ 97,967,518 $156,250,811 $238,232,359 $250,660,556
FINANCIAL HEALTH PRECIOUS REAL SERVICES CARE INTERNET LEISURE METALS ESTATE RETAILING TECHNOLOGY FUND FUND FUND FUND FUND FUND FUND FUND - ---------------------------------------------------------------------------------------------------------------------------------- Purchases $118,939,747 $170,259,056 $ 86,503,242 $76,724,175 $294,197,486 $247,066,219 $ 83,917,909 $128,233,652 Sales $ 84,240,583 $144,792,027 $ 85,512,351 $78,630,386 $335,795,750 $240,489,443 $ 61,157,020 $102,257,330
TELECOMMU- TRANSPOR- NICATIONS TATION UTILITIES FUND FUND FUND - -------------------------------------------------------- Purchases $ 87,682,909 $145,243,435 $216,323,269 Sales $111,206,344 $171,297,744 $185,201,540
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 79 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- 7. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the periods presented were:
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT - ---------------------------------------------------------------------------------------------------------------- PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------- BANKING FUND Investor Class 6,517,044 19,431,785 -- 19,824 Advisor Class 2,261,988 3,931,501 -- 3,332 A-Class 56,391 13,249 -- 51 C-Class 692,268 1,371,582 -- 829 BASIC MATERIALS FUND Investor Class 3,261,789 9,123,721 -- 4,850 Advisor Class 1,046,716 2,567,153 -- 1,153 A-Class 96,043 20,008 -- 80 C-Class 316,148 1,638,567 -- 921 BIOTECHNOLOGY FUND Investor Class 8,524,172 26,699,177 -- -- Advisor Class 1,180,581 6,328,000 -- -- A-Class 38,117 294,689 -- -- C-Class 1,369,456 1,319,832 -- -- COMMODITIES FUND A-Class 224,745 380,638* -- -- C-Class 107,378 387,087* -- -- H-Class 3,317,048 5,477,788* -- -- CONSUMER PRODUCTS FUND Investor Class 4,362,328 4,578,991 -- 3,050 Advisor Class 1,387,563 1,436,673 -- 1,938 A-Class 43,183 50,888 -- 566 C-Class 777,994 2,674,258 -- 690 ELECTRONICS FUND Investor Class 15,544,615 52,323,752 -- -- Advisor Class 2,015,629 8,421,283 -- -- A-Class 76,965 157,542 -- -- C-Class 567,222 1,114,986 -- -- ENERGY FUND Investor Class 15,867,098 43,314,450 -- 145,031 Advisor Class 2,137,575 4,842,701 -- 21,210 A-Class 232,950 1,018,596 -- 6,392 C-Class 1,029,996 4,544,320 -- 28,450 SHARES REDEEMED NET SHARES PURCHASED (REDEEMED) - ---------------------------------------------------------------------------------------------------------------- PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------- BANKING FUND Investor Class (6,820,889) (19,131,035) (303,845) 320,574 Advisor Class (2,118,361) (4,089,712) 143,627 (154,879) A-Class (31,029) (5,479) 25,362 7,821 C-Class (601,248) (1,396,202) 91,020 (23,791) BASIC MATERIALS FUND Investor Class (3,579,309) (9,567,902) (317,520) (439,331) Advisor Class (1,136,068) (2,780,462) (89,352) (212,156) A-Class (63,238) (7,851) 32,805 12,237 C-Class (295,145) (1,711,115) 21,003 (71,627) BIOTECHNOLOGY FUND Investor Class (9,063,661) (26,516,133) (539,489) 183,044 Advisor Class (1,905,981) (5,763,395) (725,400) 564,605 A-Class (196,867) (73,060) (158,750) 221,629 C-Class (1,568,680) (1,125,877) (199,224) 193,955 COMMODITIES FUND A-Class (347,668) (59,996)* (122,923) 320,642* C-Class (112,279) (234,798)* (4,901) 152,289* H-Class (3,089,559) (4,413,953)* 227,489 1,063,835* CONSUMER PRODUCTS FUND Investor Class (3,267,509) (4,708,564) 1,094,819 (126,523) Advisor Class (1,023,164) (2,127,405) 364,399 (688,794) A-Class (11,055) (18,005) 32,128 33,449 C-Class (590,025) (2,902,147) 187,969 (227,199) ELECTRONICS FUND Investor Class (15,937,406) (52,427,967) (392,791) (104,215) Advisor Class (2,769,736) (8,602,919) (754,107) (181,636) A-Class (155,787) (61,488) (78,822) 96,054 C-Class (559,262) (939,019) 7,960 175,967 ENERGY FUND Investor Class (16,785,159) (45,820,840) (918,061) (2,361,359) Advisor Class (2,266,183) (5,498,339) (128,608) (634,428) A-Class (150,460) (916,995) 82,490 107,993 C-Class (1,269,212) (4,514,179) (239,216) 58,591
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 25, 2005. + UNAUDITED. 80 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (CONTINUED) - --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT - ---------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------- ENERGY SERVICES FUND Investor Class 7,093,054 19,648,682 -- -- Advisor Class 1,060,937 3,980,155 -- -- A-Class 146,344 400,630 -- -- C-Class 549,628 1,348,672 -- -- FINANCIAL SERVICES FUND Investor Class 7,738,062 16,999,280 -- 17,330 Advisor Class 2,818,026 6,288,138 -- 13,951 A-Class 132,897 355,869 -- 524 C-Class 385,250 1,901,071 -- 2,593 HEALTH CARE FUND Investor Class 12,043,961 35,375,281 -- -- Advisor Class 4,110,235 6,941,714 -- -- A-Class 229,752 214,718 -- -- C-Class 722,011 2,565,687 -- -- INTERNET FUND Investor Class 2,499,766 7,213,052 -- -- Advisor Class 584,953 1,707,673 -- -- A-Class 5,972 20,017 -- -- C-Class 70,490 258,023 -- -- LEISURE FUND Investor Class 2,441,187 4,268,066 -- -- Advisor Class 975,200 1,514,408 -- -- A-Class 1,057 2,800 -- -- C-Class 66,448 609,829 -- -- PRECIOUS METALS FUND Investor Class 12,944,294 32,009,774 -- -- Advisor Class 863,618 1,507,393 -- -- A-Class 171,600 182,647 -- -- C-Class 736,636 1,029,486 -- -- REAL ESTATE FUND A-Class 53,848 47,503 -- 19 C-Class 253,148 665,531 -- 355 H-Class 10,395,633 20,581,009 -- 2,795 SHARES REDEEMED NET SHARES PURCHASED (REDEEMED) - ---------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------- ENERGY SERVICES FUND Investor Class (8,289,138) (19,682,786) (1,196,084) (34,104) Advisor Class (1,716,253) (3,810,903) (655,316) 169,252 A-Class (104,512) (260,922) 41,832 139,708 C-Class (597,749) (1,104,795) (48,121) 243,877 FINANCIAL SERVICES FUND Investor Class (6,360,510) (16,774,042) 1,377,552 242,568 Advisor Class (1,392,470) (8,217,061) 1,425,556 (1,914,972) A-Class (379,543) (24,086) (246,646) 332,307 C-Class (275,917) (1,892,843) 109,333 10,821 HEALTH CARE FUND Investor Class (11,581,004) (34,974,857) 462,957 400,424 Advisor Class (2,507,041) (7,244,262) 1,603,194 (302,548) A-Class (326,463) (54,676) (96,711) 160,042 C-Class (802,879) (2,379,566) (80,868) 186,121 INTERNET FUND Investor Class (2,377,841) (6,969,421) 121,925 243,631 Advisor Class (605,609) (1,639,167) (20,656) 68,506 A-Class (14,125) (8,110) (8,153) 11,907 C-Class (101,607) (250,044) (31,117) 7,979 LEISURE FUND Investor Class (2,485,885) (4,258,235) (44,698) 9,831 Advisor Class (988,398) (2,287,763) (13,198) (773,355) A-Class (561) (1,039) 496 1,761 C-Class (62,772) (662,871) 3,676 (53,042) PRECIOUS METALS FUND Investor Class (13,874,067) (31,768,397) (929,773) 241,377 Advisor Class (896,780) (1,488,721) (33,162) 18,672 A-Class (164,952) (83,266) 6,648 99,381 C-Class (724,339) (1,157,357) 12,297 (127,871) REAL ESTATE FUND A-Class (52,505) (39,791) 1,343 7,731 C-Class (219,687) (613,928) 33,461 51,958 H-Class (10,316,938) (19,517,895) 78,695 1,065,909
+ UNAUDITED. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 81 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - --------------------------------------------------------------------------------
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT - ---------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------- RETAILING FUND Investor Class 7,724,429 19,589,679 -- -- Advisor Class 1,334,231 3,652,665 -- -- A-Class 12,166 20,951 -- -- C-Class 208,271 593,142 -- -- TECHNOLOGY FUND Investor Class 10,034,342 18,146,078 -- 6,582 Advisor Class 3,446,334 7,163,169 -- 3,192 A-Class 79,817 216,530 -- 162 C-Class 431,250 2,843,053 -- 839 TELECOMMUNICATIONS FUND Investor Class 5,781,325 13,459,148 -- 10,130 Advisor Class 1,287,672 3,069,757 -- 4,894 A-Class 14,983 253,560 -- 5 C-Class 354,777 999,170 -- 2,514 TRANSPORTATION FUND Investor Class 6,270,264 12,609,504 -- -- Advisor Class 1,161,737 3,860,047 -- -- A-Class 92,774 128,554 -- -- C-Class 398,522 382,848 -- -- UTILITIES FUND Investor Class 10,603,899 21,477,912 -- 21,860 Advisor Class 1,876,255 3,553,134 -- 4,148 A-Class 194,604 113,218 -- 795 C-Class 542,856 1,080,678 -- 4,821 SHARES REDEEMED NET SHARES PURCHASED (REDEEMED) - ---------------------------------------------------------------------------------------------------------------- PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ---------------------------------------------------------------------------------------------------------------- RETAILING FUND Investor Class (6,163,611) (19,637,584) 1,560,818 (47,905) Advisor Class (1,218,365) (3,930,966) 115,866 (278,301) A-Class (3,376) (17,505) 8,790 3,446 C-Class (99,660) (619,548) 108,611 (26,406) TECHNOLOGY FUND Investor Class (8,650,334) (17,726,933) 1,384,008 425,727 Advisor Class (2,434,115) (7,162,497) 1,012,219 3,864 A-Class (122,074) (164,343) (42,257) 52,349 C-Class (477,840) (2,735,137) (46,590) 108,755 TELECOMMUNICATIONS FUND Investor Class (6,944,855) (10,692,365) (1,163,530) 2,776,913 Advisor Class (1,332,402) (2,716,747) (44,730) 357,904 A-Class (241,231) (9,199) (226,248) 244,366 C-Class (325,742) (963,686) 29,035 37,998 TRANSPORTATION FUND Investor Class (7,362,855) (11,244,555) (1,092,591) 1,364,949 Advisor Class (1,220,633) (3,812,896) (58,896) 47,151 A-Class (90,283) (16,303) 2,491 112,251 C-Class (357,642) (267,653) 40,880 115,195 UTILITIES FUND Investor Class (9,767,091) (21,785,329) 836,808 (285,557) Advisor Class (1,625,369) (3,848,404) 250,886 (291,122) A-Class (125,293) (93,656) 69,311 20,357 C-Class (493,061) (1,071,267) 49,795 14,232
+ UNAUDITED. 82 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 8. PORTFOLIO SECURITIES LOANED The Trust lends its securities to approved brokers to earn additional income. Security lending income shown on the statement of operations is shown net of rebates paid to borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Trust acts as the lender, U.S. Bancorp acts as the agent, and other approved registered broker dealers act as the borrowers. The Trust receives cash collateral, valued at 100% of the value of the securities on loan, which is initially held in a segregated account at U.S. Bancorp. As agent, U.S. Bancorp may, for investment purposes, pool the Trust's collateral in joint accounts with cash collateral from one or more other securities lending customers of U.S. Bancorp. Under the terms of the Trust's securities lending agreement with U.S. Bancorp, cash collateral may be invested by U.S. Bancorp in certain high quality, liquid investments. At September 30, 2006, the pooled cash collateral investments consisted of repurchase agreements (46.60%), commercial paper (34.12%), fixed income securities (15.48%), guaranteed investment contract (3.67%), and mutual funds (0.13%). Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Fund the next business day. Although the collateral mitigates risk, the Trust could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Trust has the right under the securities lending agreement to recover the securities from the borrower on demand. The following represents a breakdown of the collateral, its rates, and maturities:
COLLATERAL TYPE RATES MATURITY - ------------------------------------------------------------------------------------------------------ Repurchase Agreements 5.350% - 5.445% 10/02/06 Commercial Paper 5.300% - 5.432% 10/02/06-10/30/06 Corporate Bonds, Notes, and Asset-Backed Securities 5.330% - 5.577% 10/11/06 - 03/06/33 Guaranteed Investment Contract 5.450% 11/24/06 Mutual Funds N/A N/A
At September 30, 2006, the following funds participated in securities lending and received cash collateral: VALUE OF CASH SECURITIES FUND COLLATERAL LOANED - -------------------------------------------------------------------------------- Banking Fund $ 2,048,265 $ 1,964,788 Basic Materials Fund 5,210,882 5,001,668 Biotechnology Fund 36,179,253 35,089,220 Consumer Products Fund 18,076,874 17,413,029 Electronics Fund 7,956,583 7,557,047 Energy Fund 27,903,856 27,128,449 Energy Services Fund 32,381,122 31,605,516 Financial Services Fund 12,613,797 12,204,272 Health Care Fund 18,361,298 17,812,595 Internet Fund 4,594,096 4,414,935 Leisure Fund 4,158,360 4,014,087 Precious Metals Fund 68,651,694 64,455,966 Real Estate Fund 15,912,302 15,382,354 Retailing Fund 5,752,120 5,468,956 Technology Fund 13,562,602 12,863,483 Telecommunications Fund 13,138,040 12,446,594 Transportation Fund 10,213,425 9,854,410 Utilities Fund 16,888,517 16,146,816 THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 83 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- 9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM The Board has selected Ernst & Young LLP (E&Y) to serve as the Funds' independent registered public accounting firm for the fiscal year ended March 31, 2007. The decision to select E&Y was recommended by the Audit Committee and was approved by the Board on September 25, 2006. During the Funds' fiscal years ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor anyone on their behalf consulted with E&Y on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds' financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of said Item 304). The selection of E&Y does not reflect any disagreements with or dissatisfaction by the Funds or the Board with the performance of the Funds' prior auditor, PricewaterhouseCoopers LLP (PwC). The decision to dismiss PwC effective upon its completion of its audits for the fiscal year ended March 31, 2006 and to select E&Y was recommended by the Funds' Audit Committee and approved by the Funds' Board of Trustees. PwC's report on the Funds' financial statements for the fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds' fiscal years ended March 31, 2006 and March 31, 2005, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused it to make reference to the subject matter of the disagreements in connection with its report on the Funds' financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation SK under the Securities and Exchange Act of 1934, as amended. 84 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT OTHER INFORMATION (UNAUDITED) - -------------------------------------------------------------------------------- PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES INFORMATION The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Series Funds Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 85 OTHER INFORMATION (UNAUDITED) (CONTINUED) - ------------------------------------------------------------------------------- Rydex Investments' investment processes and strategies, and matters related to Rydex Investments' portfolio transaction policies and procedures. In particular, the Board noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of a majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. 86 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT OTHER INFORMATION (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 87 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) - -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- --------------------------------- ------------------- CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II, Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund Services, Inc. and Rydex Distributors, Inc. (1997 to 2000) --------------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 132 Trustee, Vice President Rydex Variable Trust - 2005 (1970) Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors (2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex Distributors, Inc. (2003 to 2004) - -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------------ ----------------------------------- ------------------- JOHN O. DEMARET Rydex Series Funds - 1997 125 Trustee, Chairman of the Rydex Variable Trust - 1998 Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired --------------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 125 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of Marketing/Co-Owner, Schield Management Company --------------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 125 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group ---------------------------------
88 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- --------------------------------- ------------------- WERNER E. KELLER Rydex Series Funds - 2005 125 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) --------------------------------- THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments --------------------------------- PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. --------------------------------- ROGER SOMERS Rydex Series Funds - 1993 125 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine ---------------------------------
EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS - ------------------------------------------------------------------------------------------- NICK BONOS* Chief Financial Officer of Rydex Specialized Vice President and Treasurer (1963) Products, LLC (2005 to present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Fund Services, Inc. (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Fund Services, Inc. (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex Chief Compliance Officer and Secretary Variable Trust, and Rydex Dynamic Funds (2004 to (1966) present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Fund Services, Inc. (2000 to present); Secretary of Rydex Capital Partners SphinX Fund (2003 to 2006) JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex Assistant Treasurer (1966) Variable Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Fund Services, Inc. (2004 to present); Director of Accounting of Rydex Fund Services, Inc. (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable Controller (1974) Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Fund Services, Inc. (2001 to present)
* OFFICERS OF THE FUND ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 89 [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800-820-0888 RSECF-SEMI-0906x0307 SEPTEMBER 30, 2006 RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ALTERNATIVE STRATEGY FUNDS ABSOLUTE RETURN STRATEGIES FUND HEDGED EQUITY FUND MULTI-CAP CORE EQUITY FUND SECTOR ROTATION FUND [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ............................................... 2 ABOUT SHAREHOLDERS' FUND EXPENSES ........................................ 3 FUND PROFILES ............................................................ 5 SCHEDULES OF INVESTMENTS ................................................. 7 STATEMENTS OF ASSETS AND LIABILITIES ..................................... 36 STATEMENTS OF OPERATIONS ................................................. 37 STATEMENTS OF CHANGES IN NET ASSETS ...................................... 38 FINANCIAL HIGHLIGHTS ..................................................... 40 NOTES TO FINANCIAL STATEMENTS ............................................ 42 OTHER INFORMATION ........................................................ 50 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................ 53 THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS - -------------------------------------------------------------------------------- DEAR SHAREHOLDER: Financial markets over the six-months ended September 30, 2006, were driven by a widely anticipated "soft-landing" in the U.S. economy. This "goldilocks" scenario had economic growth slowing, inflation and interest rates coming down and the Federal Reserve ("Fed") ending its protracted string of increases. In this environment, stocks rallied as corporate earnings continued to grow at double digit rates without competition from higher interest rates. The icing on the cake was relief from higher energy prices, which had risen relentlessly since 2005. While the rally in stocks was fairly broad-based, it definitely exhibited a defensive bias. Large caps, value stocks and traditionally defensive sectors generally outperformed small caps, growth stocks and more aggressive sectors. This pattern is perfectly in keeping with the "late cycle" nature of the stock market rally. Investors wanted to ride prices up, but wanted to hedge their bets at the same time. The large-cap nature of the rally was clearly evident in the performance of the major averages. The home of the country's industrial giants--the Dow Jones Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R) Index, which returned 4.14%. If we look at the extremes of the capitalization spectrum, the large-cap bias becomes more evident as the Russell Top 50(TM) Index returned 7.13% for the six month period versus a LOSS of 4.61% for the small-cap Russell 2000(R) Index. In a defensive rally, investors are often wary of overpaying for stocks. That was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a 0.7% decline for the Russell 1000(R) Growth Index. Although developed market international stocks did well as the MSCI EAFE Index gained 3.2%, emerging market stocks fared poorly as the MSCI EM Index fell 1.2%. A major catalyst for the rally in stocks was the rally in bonds. While yields on the short end of the curve actually rose, longer dated maturities rallied with the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85% during the six-month period. The catalyst for falling rates was the decline in inflation and the Fed's pause from its extended interest rate increases. The result was a steeply inverted yield curve. Historically, inverted yield curves presage an economic slowdown or recession. While that remains a possibility, the decline in long-term rates also signals the market's anticipation of an eventual easing campaign by the Fed. The performance of stocks at the sector level highlighted the defensive bias towards the gains in stock prices over the past six months. The S&P 500 Utilities sector led the way with a gain of 10.2%. Although telecommunications services, a more aggressive sector, was number two with a gain of 8.1%, consumer staples and financials were the next best performers, gaining 7.5% and 6.5%, respectively. It is worth noting that falling interest rates also helped both financials and utilities. Sectors that typically perform well in a rapidly expanding economic environment, specifically materials, industrials and technology declined between 1.0% and 2.3% as the economy slowed. Going into the fourth quarter, we expect that Gross Domestic Product will pick up slightly, the Fed will remain on hold and equities will remain range-bound. As we head into 2007, we also see the appetite for risk continuing to decline. We appreciate the trust you have placed in our firm by investing with us. Sincerely, /s/ David C. Reilly David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) - -------------------------------------------------------------------------------- All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. As a shareholder of the fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund's gross income and reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2006 and ending September 30, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the Fund's actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the "SEC") requires all mutual funds to calculate expenses based on the 5% return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are charged an annual $15 maintenance fee. Upon liquidating your retirement account, a $15 account-closing fee will be taken from the proceeds of your redemption. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by some of the Fund's classes. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for the past five years, in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ----------------------------------------------------------------------------------------------------------- TABLE 1. BASED ON ACTUAL FUND RETURN ABSOLUTE RETURN STRATEGIES FUND A-Class 1.82%** $1,000.00 $1,013.71 $ 9.19 C-Class 2.57%** 1,000.00 1,009.83 12.95 H-Class 1.80%** 1,000.00 1,014.11 9.09 HEDGED EQUITY FUND A-Class 1.97%** 1,000.00 1,000.77 9.88 C-Class 2.73%** 1,000.00 996.89 13.67 H-Class 1.97%** 1,000.00 1,000.77 9.88 MULTI-CAP CORE EQUITY FUND A-Class 1.49% 1,000.00 989.83 7.43 C-Class 2.25% 1,000.00 985.84 11.20 H-Class 1.51% 1,000.00 989.83 7.53 SECTOR ROTATION FUND A-Class 1.67% 1,000.00 905.30 7.98 C-Class 2.41% 1,000.00 902.62 11.49 H-Class 1.66% 1,000.00 905.50 7.93 - ----------------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN ABSOLUTE RETURN STRATEGIES FUND A-Class 1.82%** 1,000.00 1,015.83 9.24 C-Class 2.57%** 1,000.00 1,012.02 13.05 H-Class 1.80%** 1,000.00 1,015.93 9.14 HEDGED EQUITY FUND A-Class 1.97%** 1,000.00 1,015.07 10.00 C-Class 2.73%** 1,000.00 1,011.21 13.86 H-Class 1.97%** 1,000.00 1,015.07 10.00 MULTI-CAP CORE EQUITY FUND A-Class 1.49% 1,000.00 1,017.50 7.56 C-Class 2.25% 1,000.00 1,013.65 11.42 H-Class 1.51% 1,000.00 1,017.40 7.67 SECTOR ROTATION FUND A-Class 1.67% 1,000.00 1,016.59 8.48 C-Class 2.41% 1,000.00 1,012.83 12.23 H-Class 1.66% 1,000.00 1,016.64 8.43
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. ** THIS RATIO REPRESENTS ANNUALIZED GROSS EXPENSES, WHICH INCLUDE DIVIDEND EXPENSE FROM SECURITIES SOLD SHORT. EXCLUDING SHORT DIVIDENDS EXPENSE, THE OPERATING EXPENSE RATIO WOULD BE 0.39% AND 0.57% LOWER EACH CLASS OF THE ABSOLUTE RETURN STRATEGIES FUND AND THE HEDGED EQUITY FUND. + ANNUALIZED 4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND OBJECTIVE: To provide capital appreciation consistent with the return and risk characteristics of the hedge fund universe. The secondary objective is to achieve these returns with low correlation to and less volatility than equity indices. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] ABSOLUTE RETURN ABSOLUTE RETURN STRATEGIES FUND STRATEGIES FUND LONG HOLDINGS SHORT HOLDINGS Financials 15.6% -11.8% Telecommunication Services 3.1% Consumer Discretionary 6.8% -3.9% PowerShares DB Commodity Index Tracking Fund 2.2% Industrials 6.0% -3.8% Utilities 3.6% -1.6% Energy 5.4% -4.2% Health Care 6.2% -5.0% Consumer Staples 5.4% -4.2% Materials 2.7% -2.0% Information Technology 9.2% -8.9% Futures Contracts 27.1% -11.6% CDXI Swap Agreements 35.5% 0.0% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------------------------------- A-Class September 19, 2005 C-Class September 19, 2005 H-Class September 19, 2005 TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------------------------------- PowerShares DB Commodity Index Tracking Fund Co., Inc. 2.2% Freddie Mac 2.2% J.P. Morgan Chase & Co. 0.8% Pfizer, Inc. 0.8% Archer-Daniels-Midland Co. 0.7% Reynolds American, Inc. 0.7% ConocoPhillips 0.7% Verizon Communications, Inc. 0.7% Biogen Idec, Inc. 0.6% Metlife, Inc. 0.6% - -------------------------------------------------------------------------------- Top Ten Total 10.0% - -------------------------------------------------------------------------------- "Ten Largest Long Holdings" exclude any temporary cash or derivative instruments. HEDGED EQUITY FUND OBJECTIVE: To provide capital appreciation consistent with the return and risk characteristics of the long/short hedge fund universe. The secondary objective is to achieve these returns with low correlation to and less volatility than equity indices. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] HEDGED EQUITY FUND HEDGED EQUITY FUND LONG HOLDINGS SHORT HOLDINGS Other 11.0% -4.5% Industrials 8.9% -6.5% Financials 16.5% -14.7% Consumer Staples 8.6% -7.4% Consumer Discretionary 6.9% -6.6% Health Care 8.8% -8.9% Energy 6.3% -7.0% Information Technology 10.1% -14.6% Futures Contracts 27.9% 0.0% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------------------------------- A-Class September 19, 2005 C-Class September 19, 2005 H-Class September 19, 2005 TEN LARGEST LONG HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------------------------------- J.P. Morgan Chase & Co. 1.5% Archer-Daniels-Midland, Co. 1.5% Reynolds American, Inc. 1.3% Biogen Idec, Inc. 1.3% Pfizer, Inc. 1.2% Goldman Sachs Group, Inc. 1.2% Merrill Lynch & Co., Inc. 1.1% AT&T, Inc. 1.0% Express Scripts, Inc. 1.0% ConocoPhillips 1.0% - -------------------------------------------------------------------------------- Top Ten Total 12.1% - -------------------------------------------------------------------------------- "Ten Largest Long Holdings" exclude any temporary cash or derivative instruments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5 FUND PROFILES (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND OBJECTIVE: Seeks long-term capital appreciation. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] MULTI-CAP CORE EQUITY FUND Other 10.2% Financials 21.7% Information Technology 16.1% Consumer Discretionary 13.4% Health Care 12.1% Industrials 11.8% Energy 7.1% Consumer Staples 6.3% Futures Contracts 0.6% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------------------------------- A-Class March 31, 2004 C-Class September 23, 2002 H-Class September 23, 2002 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------------------------------- Exxon Mobil Corp. 1.3% General Electric Co. 1.1% Citigroup, Inc. 1.0% Bank of America Corp. 0.9% Pfizer, Inc. 0.9% Procter & Gamble Co. 0.7% Microsoft Corp. 0.7% J.P. Morgan Chase & Co. 0.7% Altria Group, Inc. 0.7% International Business Machines Corp. 0.6% - -------------------------------------------------------------------------------- Top Ten Total 8.6% - -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. SECTOR ROTATION FUND OBJECTIVE: Seeks long-term capital appreciation. HOLDINGS DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.] SECTOR ROTATION FUND Financials 34.5% Industrials 17.3% Consumer Staples 16.1% Utilities 8.8% Materials 8.0% Information Technology 7.6% Telecommunication Services 7.2% "Holdings Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - -------------------------------------------------------------------------------- A-Class March 31, 2004 C-Class March 22, 2002 H-Class March 22, 2002 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - -------------------------------------------------------------------------------- Altria Group, Inc. 4.4% Procter & Gamble Co. 3.2% Brookfield Asset Management, Inc. -- Class A 2.4% Brookfield Properties Corp. 1.8% Microsoft Corp. 1.7% ABB Ltd. -- SP ADR 1.6% Reynolds American, Inc. 1.6% Bank of America Corp. 1.5% Citigroup, Inc. 1.5% Emerson Electric Co. 1.5% - -------------------------------------------------------------------------------- Top Ten Total 21.2% - -------------------------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 64.1% FINANCIALS 15.6% INSURANCE 4.0% MetLife, Inc. 18,740 $ 1,062,183 Hartford Financial Services Group, Inc. 9,500 824,125 UnumProvident Corp. 38,019 737,188 AmerUs Group Co. 10,320 701,863 Genworth Financial, Inc. -- Class A 18,680 653,987 First American Corp. 15,259 646,066 MBIA, Inc. 7,670 471,245 Principal Financial Group, Inc. 6,940 376,703 Old Republic International Corp. 16,280 360,602 Chubb Corp. 6,830 354,887 Aon Corp. 9,529 322,747 Ohio Casualty Corp. 12,310 318,460 American Financial Group, Inc. 4,200 197,106 Horace Mann Educators Corp. 8,040 154,609 Hanover Insurance Group, Inc. 3,250 145,048 -------------- TOTAL INSURANCE 7,326,819 -------------- REAL ESTATE 3.8% Longview Fibre Co. 26,340 535,229 Public Storage, Inc. 5,444 468,130 Saxon Capital, Inc. 32,910 462,056 Heritage Property Investment Trust 12,630 460,490 Trizec Properties, Inc. 15,920 460,247 Pan Pacific Retail Properties, Inc. 6,610 458,866 Newkirk Realty Trust Co., Inc. 27,610 455,013 Glenborough Realty Trust, Inc. 17,670 454,649 Reckson Associates Realty Corp. 10,590 453,252 Sizeler Property Investors 29,860 448,796 MortgageIT Holdings, Inc. 31,760 447,181 CentraCore Properties Trust 13,130 416,878 Liberty Property Trust 5,260 251,375 Brookfield Asset Management, Inc. -- Class A 4,230 187,558 Brookfield Properties Corp. 3,860 136,335 Forest City Enterprises, Inc. -- Class A 2,070 112,401 CB Richard Ellis Group, Inc. -- Class A* 4,020 98,892 The St. Joe Co. 1,710 93,828 Jones Lang LaSalle, Inc. 820 70,094 Equity Office Properties Trust 1,270 50,495 Equity Residential 990 50,074 Trammell Crow Co.* 1,360 49,654 ProLogis 870 49,642 General Growth Properties, Inc. 960 45,744 Host Hotels & Resorts, Inc. 1,980 45,401 Archstone-Smith Trust 830 45,185 AvalonBay Communities, Inc. 330 39,732 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Developers Diversified Realty Corp. 590 $ 32,898 Plum Creek Timber Co., Inc. (REIT) 930 31,657 Macerich Co. 410 31,308 -------------- TOTAL REAL ESTATE 6,943,060 -------------- BANKS 2.3% North Fork Bancorporation, Inc. 16,420 470,269 AmSouth Bancorp 15,890 461,445 Interchange Financial Services Corp. 20,330 459,865 Texas Regional Bancshares, Inc. -- Class A 11,950 459,477 Flag Financial Corp., Inc. 18,330 458,983 Republic Bancorp, Inc. 34,390 458,419 State National Bancshares, Inc. 11,030 419,030 MB Financial Corp. 10,640 392,297 Commerce Bancorp, Inc. 7,380 270,920 FirstMerit Corp. 7,160 165,897 SVB Financial Group* 3,250 145,080 -------------- TOTAL BANKS 4,161,682 -------------- CAPITAL MARKETS 1.9% Goldman Sachs Group, Inc. 5,700 964,269 Merrill Lynch & Co., Inc. 11,399 891,630 Franklin Resources, Inc. 6,830 722,272 E*Trade Financial Corp.* 13,379 320,026 Lehman Brothers Holdings, Inc. 3,990 294,701 Morgan Stanley 770 56,141 Deutsche Bank AG 410 49,487 UBS AG Co., Inc. 610 36,179 Nomura Holdings, Inc. -- SP ADR 1,930 33,929 Credit Suisse Group -- SP ADR 570 33,032 Bank of New York Co., Inc. 910 32,087 State Street Corp. 440 27,456 Bear Stearns Cos., Inc. 190 26,619 Mellon Financial Corp. 630 24,633 Northern Trust Corp. 370 21,619 -------------- TOTAL CAPITAL MARKETS 3,534,080 -------------- THRIFTS & MORTGAGE FINANCE 1.7% Sovereign Bancorp, Inc. 36,909 793,913 Golden West Financial Corp. 6,010 464,272 Commercial Capital Bancorp, Inc. 28,900 460,666 Harbor Florida Bancshares, Inc. 10,340 458,165 Radian Group, Inc. 5,650 339,000 PMI Group, Inc. 7,460 326,823 IndyMac Bancorp, Inc. 4,650 191,394 First Niagara Financial Group, Inc. 9,829 143,307 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 3,177,540 -------------- DIVERSIFIED FINANCIALS 1.6% J.P. Morgan Chase & Co. 32,508 1,526,576 CIT Group, Inc. 19,819 963,798 Leucadia National Corp. 20,349 532,533 -------------- TOTAL DIVERSIFIED FINANCIALS 3,022,907 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- CONSUMER FINANCE 0.3% ACE Cash Express, Inc.* 15,440 $ 461,501 -------------- TOTAL CONSUMER FINANCE 461,501 -------------- TOTAL FINANCIALS 28,627,589 -------------- INFORMATION TECHNOLOGY 9.2% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.0% ADE Corp.* 14,290 457,566 Freescale Semiconductor, Inc. -- Class A* 12,010 456,980 Nvidia Corp.* 15,239 450,922 ATI Technologies, Inc.* 20,930 448,948 Advanced Micro Devices, Inc.* 17,569 436,590 Lam Research Corp.* 6,390 289,659 Atmel Corp.* 41,767 252,273 Intersil Corp. -- Class A 8,759 215,033 LSI Logic Corp.* 24,068 197,839 International Rectifier Corp.* 5,340 186,046 MEMC Electronic Materials, Inc.* 4,759 174,322 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3,566,178 -------------- SOFTWARE 1.9% Embarcadero Technologies, Inc.* 56,850 467,307 Intergraph Corp.* 10,740 460,531 MRO Software, Inc.* 17,940 460,520 Filenet Corp.* 13,220 460,453 Reynolds & Reynolds Co. -- Class A 11,650 460,291 Internet Security Systems, Inc.* 16,530 458,873 Novell, Inc.* 50,368 308,252 Parametric Technology Corp.* 11,289 197,106 Compuware Corp.* 24,420 190,232 Advent Software, Inc.* 1,740 63,005 Wind River Systems, Inc.* 1,740 18,635 -------------- TOTAL SOFTWARE 3,545,205 -------------- COMMUNICATIONS EQUIPMENT 1.4% Corning, Inc.* 27,608 673,911 Lucent Technologies, Inc.* 200,200 468,468 Inter-Tel, Inc. 20,790 449,064 Tellabs, Inc.* 26,878 294,583 JDS Uniphase Corp.* 117,293 256,872 Ciena Corp.* 8,228 224,213 CommScope, Inc.* 6,030 198,146 Dycom Industries, Inc.* 2,250 48,375 ADC Telecommunications, Inc.* 1,890 28,350 -------------- TOTAL COMMUNICATIONS EQUIPMENT 2,641,982 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.4% Lipman Electronic Engineering Ltd.* 16,460 464,501 Excel Technology, Inc.* 15,530 459,533 Metrologic Instruments, Inc.* 25,179 457,251 Symbol Technologies, Inc. 28,490 423,361 Avnet, Inc.* 20,679 405,722 Arrow Electronics, Inc.* 7,470 204,902 Sanmina-SCI Corp.* 43,457 162,529 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 2,577,799 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS 1.1% Apple Computer, Inc.* 11,379 $ 876,524 McData Corp. -- Class A* 93,020 467,891 msystems Ltd.* 10,380 417,691 Imation Corp. 3,130 125,670 SanDisk Corp.* 2,010 107,615 -------------- TOTAL COMPUTERS & PERIPHERALS 1,995,391 -------------- IT CONSULTING & SERVICES 0.8% Computer Sciences Corp.* 6,110 300,123 Affiliated Computer Services, Inc. -- Class A* 5,230 271,228 Sabre Holdings Corp. 8,630 201,856 CheckFree Corp.* 4,750 196,270 MoneyGram International, Inc. 6,600 191,796 MPS Group, Inc.* 12,329 186,291 BISYS Group, Inc.* 10,400 112,944 -------------- TOTAL IT CONSULTING & SERVICES 1,460,508 -------------- INTERNET SOFTWARE & SERVICES 0.4% Yahoo!, Inc.* 26,078 659,252 -------------- TOTAL INTERNET SOFTWARE & SERVICES 659,252 -------------- OFFICE ELECTRONICS 0.2% Xerox Corp.* 27,860 433,502 -------------- TOTAL OFFICE ELECTRONICS 433,502 -------------- TOTAL INFORMATION TECHNOLOGY 16,879,817 -------------- CONSUMER DISCRETIONARY 6.9% HOTELS, RESTAURANTS & LEISURE 1.7% Carnival Corp. 14,760 694,163 Aztar Corp.* 8,700 461,187 Intrawest Corp., Inc. 13,330 460,418 Riviera Holdings Corp.* 22,460 458,858 Lone Star Steakhouse & Saloon, Inc. 16,520 458,760 Ryan's Restaurant Group, Inc.* 28,720 455,786 CBRL Group, Inc. 3,950 159,699 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 3,148,871 -------------- SPECIALTY RETAIL 1.4% Michaels Stores, Inc. 10,660 464,136 Rent-Way, Inc.* 43,940 460,931 PETCO Animal Supplies, Inc.* 16,050 459,672 GameStop Corp. -- Class A* 6,600 305,448 AnnTaylor Stores Corp.* 6,310 264,137 AutoNation, Inc.* 12,030 251,427 Circuit City Stores, Inc. 6,310 158,444 Borders Group, Inc. 6,200 126,480 Payless Shoesource, Inc.* 3,820 95,118 -------------- TOTAL SPECIALTY RETAIL 2,585,793 -------------- MULTILINE RETAIL 1.1% Federated Department Stores, Inc. 23,729 1,025,330 Target Corp. 10,509 580,622 J.C. Penney Holding Co., Inc. 4,770 326,221 Nordstrom, Inc. 1,250 52,875 -------------- TOTAL MULTILINE RETAIL 1,985,048 -------------- 8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MEDIA 1.0% Univision Communications, Inc. -- Class A* 19,800 $ 679,932 Advo, Inc. 15,990 447,400 Gannett Co., Inc. 7,020 398,947 Belo Corp. -- Class A 8,500 134,385 Scholastic Corp.* 3,910 121,796 Media General, Inc. 1,110 41,869 Westwood One, Inc. 4,570 32,356 -------------- TOTAL MEDIA 1,856,685 -------------- HOUSEHOLD DURABLES 0.9% Lennar Corp. -- Class A 10,920 494,130 Whirlpool Corp. 5,610 471,857 D.R. Horton, Inc. 10,139 242,829 KB HOME 3,610 158,118 American Greetings Corp. -- Class A 4,920 113,751 Furniture Brands International, Inc. 5,360 102,054 Pulte Homes, Inc. 1,310 41,737 Toll Brothers, Inc.* 1,140 32,011 Ryland Group, Inc. 500 21,605 Hovnanian Enterprises, Inc. -- Class A* 700 20,538 -------------- TOTAL HOUSEHOLD DURABLES 1,698,630 -------------- HEALTH CARE PROVIDERS & SERVICES 0.3% Alderwoods Group, Inc.* 23,200 460,056 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 460,056 -------------- LEISURE EQUIPMENT & PRODUCTS 0.2% Brunswick Corp. 6,420 200,240 Callaway Golf Co. 5,790 75,907 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 276,147 -------------- AUTO COMPONENTS 0.1% Goodyear Tire & Rubber Co.* 10,479 151,945 Modine Manufacturing Co. 3,930 95,617 -------------- TOTAL AUTO COMPONENTS 247,562 -------------- TEXTILES & APPAREL 0.1% Polo Ralph Lauren Corp. 3,340 216,064 -------------- TOTAL TEXTILES & APPAREL 216,064 -------------- AUTOMOBILES 0.1% Thor Industries, Inc. 1,870 76,988 -------------- TOTAL AUTOMOBILES 76,988 -------------- TOTAL CONSUMER DISCRETIONARY 12,551,844 -------------- HEALTH CARE 6.2% HEALTH CARE PROVIDERS & SERVICES 2.4% McKesson Corp. 18,729 987,393 Express Scripts, Inc.* 11,789 889,952 HCA, Inc. 17,770 886,545 WellPoint, Inc.* 8,630 664,941 Health Net, Inc.* 7,220 314,214 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Community Health Systems, Inc.* 7,540 $ 281,619 Triad Hospitals, Inc.* 4,490 197,695 LifePoint Hospitals, Inc.* 3,780 133,510 Aetna, Inc. 10 396 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 4,356,265 -------------- PHARMACEUTICALS 1.8% Pfizer, Inc. 53,630 1,520,947 King Pharmaceuticals, Inc.* 32,408 551,908 Andrx Corp.* 18,780 458,795 Barr Pharmaceuticals, Inc.* 7,150 371,371 Valeant Pharmaceuticals International 11,469 226,857 Watson Pharmaceuticals, Inc.* 7,010 183,452 -------------- TOTAL PHARMACEUTICALS 3,313,330 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 1.1% TriPath Imaging, Inc.* 50,880 459,446 Intermagnetics General Corp.* 16,870 456,334 Fisher Scientific International, Inc.* 5,800 453,792 Encore Medical Corp.* 71,950 453,285 Intuitive Surgical, Inc.* 2,080 219,336 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,042,193 -------------- BIOTECHNOLOGY 0.9% Biogen Idec, Inc.* 25,978 1,160,697 Applera Corp. - Applied Biosystems Group 8,979 297,295 Cephalon, Inc.* 3,590 221,682 -------------- TOTAL BIOTECHNOLOGY 1,679,674 -------------- TOTAL HEALTH CARE 11,391,462 -------------- INDUSTRIALS 6.0% COMMERCIAL SERVICES & SUPPLIES 1.4% Banta Corp. 9,690 461,244 ARAMARK Corp. -- Class B 14,010 460,369 West Corp.* 9,530 460,299 NCO Group, Inc.* 17,510 459,112 Robert Half International, Inc. 8,819 299,581 Manpower, Inc. 3,510 215,058 Korn/Ferry International, Inc.* 5,380 112,657 Monster Worldwide, Inc.* 2,230 80,704 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 2,549,024 -------------- ROAD & RAIL 0.9% Norfolk Southern Corp. 19,629 864,657 Burlington Northern Santa Fe Corp. 6,700 492,048 Werner Enterprises, Inc. 7,480 139,951 YRC Worldwide, Inc.* 1,370 50,745 -------------- TOTAL ROAD & RAIL 1,547,401 -------------- AEROSPACE & DEFENSE 0.8% Boeing Co. 10,689 842,827 Northrop Grumman Corp. 7,710 524,820 DRS Technologies, Inc. 3,300 144,111 -------------- TOTAL AEROSPACE & DEFENSE 1,511,758 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES 0.8% Tyco International Ltd. 32,040 $ 896,800 Teleflex, Inc. 6,180 343,855 Sequa Corp. -- Class A* 1,370 128,588 -------------- TOTAL INDUSTRIAL CONGLOMERATES 1,369,243 -------------- MACHINERY 0.7% Timken Co. 12,710 378,504 Lincoln Electric Holdings, Inc. 5,470 297,841 Cummins, Inc. 2,300 274,229 Crane Co. 4,650 194,370 Trinity Industries, Inc. 4,680 150,556 -------------- TOTAL MACHINERY 1,295,500 -------------- AIRLINES 0.6% Southwest Airlines Co. 28,478 474,443 Alaska Air Group, Inc.* 4,450 169,278 Ryanair Holdings PLC -- SP ADR* 1,400 88,606 British Airways PLC -- SP ADR* 1,020 81,620 AMR Corp.* 2,800 64,792 US Airways Group, Inc.* 1,250 55,413 Gol Linhas Aereas Inteligentes SA -- SP ADR 1,360 46,716 UAL Corp.* 1,750 46,498 Continental Airlines, Inc. -- Class B* 1,630 46,145 SkyWest, Inc. 1,400 34,328 AirTran Holdings, Inc.* 2,500 24,800 -------------- TOTAL AIRLINES 1,132,639 -------------- ELECTRICAL EQUIPMENT 0.4% Thomas & Betts Corp.* 3,960 188,932 ABB Ltd. -- SP ADR 9,360 123,365 Emerson Electric Co. 1,400 117,404 Rockwell Automation, Inc. 1,050 61,005 Cooper Industries Ltd. -- Class A 690 58,802 American Power Conversion Corp. 2,240 49,190 Hubbell, Inc. -- Class B 770 36,883 AMETEK, Inc. 830 36,147 Acuity Brands, Inc. 690 31,326 General Cable Corp.* 730 27,893 Regal-Beloit Corp. 550 23,925 Energy Conversion Devices, Inc.* 610 22,594 A.O. Smith Corp. 530 20,898 -------------- TOTAL ELECTRICAL EQUIPMENT 798,364 -------------- CONSTRUCTION & ENGINEERING 0.4% Granite Construction, Inc. 5,040 268,884 Fluor Corp. 1,310 100,726 Foster Wheeler, Ltd.* 1,310 50,553 URS Corp.* 1,240 48,224 Shaw Group, Inc.* 2,020 47,753 Washington Group International, Inc. 780 45,911 Chicago Bridge & Iron Co. 1,840 44,270 EMCOR Group, Inc.* 560 30,710 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Insituform Technologies, Inc. -- Class A* 1,200 $ 29,136 -------------- TOTAL CONSTRUCTION & ENGINEERING 666,167 -------------- TRADING COMPANIES & DISTRIBUTORS 0.0% United Rentals, Inc.* 3,230 75,097 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 75,097 -------------- TOTAL INDUSTRIALS 10,945,193 -------------- CONSUMER STAPLES 5.4% FOOD PRODUCTS 2.6% Archer-Daniels-Midland Co. 35,298 1,337,088 ConAgra Foods, Inc. 30,930 757,167 General Mills, Inc. 10,779 610,091 Tyson Foods, Inc. -- Class A 32,200 511,336 Gold Kist, Inc.* 22,490 468,692 Delta & Pine Land Co. 11,290 457,245 Premium Standard Farms, Inc. 23,180 441,579 Tootsie Roll Industries, Inc. 5,930 173,808 -------------- TOTAL FOOD PRODUCTS 4,757,006 -------------- TOBACCO 0.9% Reynolds American, Inc. 19,699 1,220,747 Altria Group, Inc. 4,450 340,647 UST, Inc. 1,620 88,825 Loews Corp. - Carolina Group 1,030 57,052 Vector Group Ltd. 1,641 26,609 -------------- TOTAL TOBACCO 1,733,880 -------------- FOOD & DRUG RETAILING 0.8% Kroger Co. 34,300 793,702 CVS Corp. 20,379 654,573 -------------- TOTAL FOOD & DRUG RETAILING 1,448,275 -------------- BEVERAGES 0.7% Coca-Cola Enterprises, Inc. 29,290 610,111 Brown-Forman Corp. -- Class B 5,670 434,606 PepsiAmericas, Inc. 15,710 335,251 -------------- TOTAL BEVERAGES 1,379,968 -------------- HOUSEHOLD PRODUCTS 0.4% Procter & Gamble Co. 3,990 247,300 Church & Dwight Co., Inc. 6,230 243,655 Kimberly-Clark Corp. 1,470 96,079 Clorox Co. 880 55,440 Central Garden and Pet Co.* 390 18,822 -------------- TOTAL HOUSEHOLD PRODUCTS 661,296 -------------- TOTAL CONSUMER STAPLES 9,980,425 -------------- ENERGY 5.4% ENERGY EQUIPMENT & SERVICES 2.9% Transocean, Inc.* 10,879 796,669 Grant Prideco, Inc.* 19,889 756,379 Baker Hughes, Inc. 11,079 755,588 Veritas DGC, Inc.* 7,130 469,296 Maverick Tube Corp.* 7,130 462,238 10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- NS Group, Inc.* 7,140 $ 460,887 Seitel, Inc.* 120,540 442,382 Warrior Energy Service Corp.* 16,530 425,647 Patterson-UTI Energy, Inc. 14,839 352,575 Rowan Cos., Inc. 9,699 306,779 Nabors Industries Ltd.* 3,480 103,530 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 5,331,970 -------------- OIL & GAS 2.5% ConocoPhillips 20,430 1,216,198 Devon Energy Corp. 11,240 709,806 Apache Corp. 9,450 597,240 Peabody Energy Corp. 12,999 478,103 Giant Industries, Inc.* 5,690 462,028 Maritrans, Inc. 11,460 419,436 Consol Energy, Inc. 12,249 388,661 Overseas Shipholding Group, Inc. 3,170 195,811 Anadarko Petroleum Corp. 600 26,298 -------------- TOTAL OIL & GAS 4,493,581 -------------- TOTAL ENERGY 9,825,551 -------------- UTILITIES 3.6% MULTI-UTILITIES 1.4% Constellation Energy Group, Inc. 9,500 562,400 AES Corp.* 24,099 491,379 NorthWestern Corp. 13,140 459,637 KeySpan Corp. 6,390 262,884 MDU Resources Group, Inc. 9,379 209,527 Alliant Energy Corp. 3,550 126,841 Wisconsin Energy Corp. 2,320 100,085 Mirant Corp.* 3,380 92,308 DTE Energy Co. 1,980 82,190 NRG Energy, Inc.* 1,680 76,104 Energy East Corp. 2,440 57,877 Ormat Technologies, Inc. 970 31,738 TECO Energy, Inc. 620 9,703 -------------- TOTAL MULTI-UTILITIES 2,562,673 -------------- ELECTRIC UTILITIES 1.2% Duquesne Light Holdings, Inc. 23,500 462,010 American Electric Power Co., Inc. 8,330 302,962 Progress Energy, Inc. 6,050 274,549 Pepco Holdings, Inc. 11,010 266,112 TXU Corp. 3,200 200,064 Edison International 4,770 198,623 Pinnacle West Capital Corp. 3,770 169,838 Westar Energy, Inc. 4,180 98,272 E.ON AG -- SP ADR 2,210 87,671 Korea Electric Power Corp. -- SP ADR 2,660 52,003 Southern Co. 1,470 50,656 Scottish Power, Inc. -- SP ADR 890 43,218 FirstEnergy Corp. 760 42,454 Entergy Corp. 510 39,897 Black Hills Corp. 920 30,921 -------------- TOTAL ELECTRIC UTILITIES 2,319,250 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- GAS UTILITIES 1.0% Peoples Energy Corp. 12,100 $ 491,865 Cascade Natural Gas Corp. 17,790 464,141 Questar Corp. 2,480 202,790 National Fuel Gas Co. 4,250 154,487 Oneok, Inc. 1,580 59,708 Energen Corp. 1,210 50,663 Southern Union Co. 1,820 48,066 AGL Resources, Inc. 1,230 44,895 UGI Corp. 1,740 42,543 Atmos Energy Corp. 1,460 41,683 Nicor, Inc. 870 37,201 Piedmont Natural Gas Co. 1,460 36,953 WGL Holdings, Inc. 1,100 34,474 Southwest Gas Corp. 980 32,654 New Jersey Resources Corp. 660 32,538 -------------- TOTAL GAS UTILITIES 1,774,661 -------------- TOTAL UTILITIES 6,656,584 -------------- TELECOMMUNICATION SERVICES 3.1% DIVERSIFIED TELECOMMUNICATION SERVICES 2.3% Verizon Communications, Inc. 32,180 1,194,844 AT&T, Inc. 24,779 806,804 Qwest Communications International, Inc.* 58,796 512,701 Talk America Holdings, Inc.* 52,540 499,130 BellSouth Corp. 11,150 476,663 Commonwealth Telephone Enterprises, Inc. 11,280 465,074 CenturyTel, Inc. 6,070 240,797 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 4,196,013 -------------- WIRELESS TELECOMMUNICATION SERVICES 0.8% Sprint Nextel Corp. 41,530 712,239 Alltel Corp. 9,780 542,790 Telephone & Data Systems, Inc. 5,600 235,760 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 1,490,789 -------------- TOTAL TELECOMMUNICATION SERVICES 5,686,802 -------------- MATERIALS 2.7% METALS & MINING 1.7% Allegheny Technologies, Inc. 8,959 557,160 Glamis Gold Ltd.* 12,100 477,103 Aleris International, Inc.* 9,060 457,892 Cambior, Inc.* 125,115 441,656 United States Steel Corp. 4,370 252,062 Commercial Metals Co. 8,559 174,004 Steel Dynamics, Inc. 2,560 129,152 Reliance Steel & Aluminum Co. 3,870 124,382 BHP Billiton Ltd. -- SP ADR 2,360 89,397 Rio Tinto PLC -- SP ADR 360 68,267 Companhia Vale do Rio Doce -- SP ADR 2,550 54,978 POSCO -- SP ADR 650 42,204 Mittal Steel NV Co. -- Class A 1,180 40,993 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Alcoa, Inc. 1,370 $ 38,415 Nucor Corp. 740 36,623 Anglo American PLC -- ADR 1,680 35,448 Barrick Gold Corp. 1,110 34,099 Newmont Mining Corp. 740 31,635 Alcan, Inc. 730 29,105 Freeport-McMoRan Copper & Gold, Inc. -- Class B 440 23,434 AngloGold Ashanti Ltd. -- SP ADR 590 22,267 Phelps Dodge Corp. 210 17,787 -------------- TOTAL METALS & MINING 3,178,063 -------------- CHEMICALS 0.9% MacDermid, Inc. 14,140 461,247 Eastman Chemical Co. 8,080 436,481 Olin Corp. 13,899 213,489 Lubrizol Corp. 3,990 182,463 Airgas, Inc. 4,180 151,191 Lyondell Chemical Co. 5,320 134,968 -------------- TOTAL CHEMICALS 1,579,839 -------------- PAPER & FOREST PRODUCTS 0.1% Louisiana-Pacific Corp. 7,020 131,766 Bowater, Inc. 3,390 69,732 -------------- TOTAL PAPER & FOREST PRODUCTS 201,498 -------------- TOTAL MATERIALS 4,959,400 -------------- TOTAL COMMON STOCKS (Cost $115,467,054) 117,504,667 -------------- EXCHANGE TRADED FUNDS 2.2% PowerShares DB Commodity Index Tracking Fund Co., Inc.* 172,470 4,122,033 -------------- TOTAL EXCHANGE TRADED FUNDS (Cost $4,363,898) 4,122,033 -------------- FACE AMOUNT ------------ FEDERAL AGENCY DISCOUNT NOTES 2.2% Freddie Mac** 5.14% due 10/03/06 $ 4,000,000 3,999,429 -------------- TOTAL FEDERAL AGENCY DISCOUNT NOTES (Cost $3,999,429) 3,999,429 -------------- REPURCHASE AGREEMENTS 25.7% Repurchase Agreement (Note 5) 5.00% due 10/02/06 397,923 397,923 4.95% due 10/02/06 6,028,699 6,028,699 4.94% due 10/02/06+ 29,445,822 29,445,822 4.89% due 10/02/06 3,918,655 3,918,655 4.80% due 10/02/06 7,234,439 7,234,439 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $47,025,538) 47,025,538 -------------- TOTAL LONG SECURITIES 94.2% (Cost $170,855,919) 172,651,667 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS SOLD SHORT (45.4)% TELECOMMUNICATION SERVICES (0.1)% DIVERSIFIED TELECOMMUNICATION SERVICES (0.1)% Citizens Communications Co. 8,720 $ (122,429) -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES (122,429) -------------- TOTAL TELECOMMUNICATION SERVICES (122,429) -------------- UTILITIES (1.6)% WATER UTILITIES (0.1)% Aqua America, Inc. 9,780 (214,573) -------------- TOTAL WATER UTILITIES (214,573) -------------- GAS UTILITIES (0.2)% Equitable Resources, Inc. 10,100 (353,298) -------------- TOTAL GAS UTILITIES (353,298) -------------- MULTI-UTILITIES (0.4)% Dynegy, Inc. -- Class A* 10,960 (60,719) CenterPoint Energy, Inc. 12,370 (177,138) WPS Resources Corp. 9,340 (463,544) -------------- TOTAL MULTI-UTILITIES (701,401) -------------- ELECTRIC UTILITIES (0.9)% Allegheny Energy, Inc.* 720 (28,922) PPL Corp. 3,010 (99,029) Northeast Utilities 5,990 (139,387) FPL Group, Inc. 10,310 (463,950) Exelon Corp. 15,340 (928,684) -------------- TOTAL ELECTRIC UTILITIES (1,659,972) -------------- TOTAL UTILITIES (2,929,244) -------------- MATERIALS (1.9)% CONSTRUCTION MATERIALS (0.1)% Florida Rock Industries, Inc. 5,500 (212,905) -------------- TOTAL CONSTRUCTION MATERIALS (212,905) -------------- CONTAINERS & PACKAGING (0.1)% Pactiv Corp.* 10,680 (303,525) -------------- TOTAL CONTAINERS & PACKAGING (303,525) -------------- PAPER & FOREST PRODUCTS (0.4)% MeadWestvaco Corp. 9,340 (247,604) Weyerhaeuser Co. 7,580 (466,397) -------------- TOTAL PAPER & FOREST PRODUCTS (714,001) -------------- METALS & MINING (0.5)% Iamgold Corp. 52,890 (449,036) Goldcorp, Inc. 20,680 (488,048) -------------- TOTAL METALS & MINING (937,084) -------------- CHEMICALS (0.8)% Valspar Corp. 3,030 (80,598) Scotts Miracle-Gro Co. -- Class A 1,980 (88,090) Sensient Technologies Corp. 5,170 (101,177) Hercules, Inc.* 12,100 (190,817) Chemtura Corp. 26,660 (231,142) 12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Dow Chemical Co. 7,660 $ (298,587) Ecolab, Inc. 10,230 (438,049) -------------- TOTAL CHEMICALS (1,428,460) -------------- TOTAL MATERIALS (3,595,975) -------------- INDUSTRIALS (3.8)% ELECTRICAL EQUIPMENT (0.1)% Roper Industries, Inc. 2,530 (113,192) -------------- TOTAL ELECTRICAL EQUIPMENT (113,192) -------------- BUILDING PRODUCTS (0.1)% Masco Corp. 4,440 (121,745) -------------- TOTAL BUILDING PRODUCTS (121,745) -------------- AIRLINES (0.1)% JetBlue Airways Corp.* 23,920 (221,739) -------------- TOTAL AIRLINES (221,739) -------------- CONSTRUCTION & ENGINEERING (0.2)% Quanta Services, Inc.* 2,120 (35,743) Jacobs Engineering Group, Inc.* 3,900 (291,447) -------------- TOTAL CONSTRUCTION & ENGINEERING (327,190) -------------- AEROSPACE & DEFENSE (0.2)% General Dynamics Corp. 5,500 (394,185) -------------- TOTAL AEROSPACE & DEFENSE (394,185) -------------- AIR FREIGHT & COURIERS (0.2)% CH Robinson Worldwide, Inc. 3,540 (157,813) Expeditors International Washington, Inc. 5,560 (247,865) -------------- TOTAL AIR FREIGHT & COURIERS (405,678) -------------- TRADING COMPANIES & DISTRIBUTORS (0.6)% GATX Corp. 5,550 (229,603) MSC Industrial Direct Co. -- Class A 7,470 (304,328) Fastenal Co. 17,200 (663,404) -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS (1,197,335) -------------- MACHINERY (1.1)% Tecumseh Products Co. -- Class A* 2,580 (39,242) Pentair, Inc. 4,440 (116,284) Flowserve Corp.* 2,560 (129,510) Joy Global, Inc. 3,500 (131,635) Oshkosh Truck Corp. 3,120 (157,466) ITT Industries, Inc. 4,570 (234,304) SPX Corp. 5,130 (274,147) Ingersoll-Rand Co. -- Class A 7,510 (285,230) Graco, Inc. 7,610 (297,247) Illinois Tool Works, Inc. 8,640 (387,936) -------------- TOTAL MACHINERY (2,053,001) -------------- COMMERCIAL SERVICES & SUPPLIES (1.2)% Avis Budget Group, Inc. 2,770 (50,663) Deluxe Corp. 14,670 (250,857) Corporate Executive Board Co. 3,310 (297,602) Stericycle, Inc.* 4,340 (302,889) MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Avery Dennison Corp. 5,950 $ (358,011) Cintas Corp. 10,250 (418,508) Pitney Bowes, Inc. 10,460 (464,110) -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES (2,142,640) -------------- TOTAL INDUSTRIALS (6,976,705) -------------- CONSUMER DISCRETIONARY (3.9)% MULTILINE RETAIL (0.1)% Saks, Inc. 8,010 (138,413) -------------- TOTAL MULTILINE RETAIL (138,413) -------------- LEISURE EQUIPMENT & PRODUCTS (0.1)% Mattel, Inc. 11,960 (235,612) -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS (235,612) -------------- HOUSEHOLD DURABLES (0.2)% M.D.C. Holdings, Inc. 2,170 (100,796) Centex Corp. 3,430 (180,487) -------------- TOTAL HOUSEHOLD DURABLES (281,283) -------------- INTERNET & CATALOG RETAIL (0.2)% Amazon.com, Inc.* 11,310 (363,277) -------------- TOTAL INTERNET & CATALOG RETAIL (363,277) -------------- AUTO COMPONENTS (0.2)% Johnson Controls, Inc. 850 (60,979) ArvinMeritor, Inc. 5,810 (82,734) Bandag, Inc. 2,090 (85,774) Lear Corp. 8,370 (173,259) -------------- TOTAL AUTO COMPONENTS (402,746) -------------- TEXTILES & APPAREL (0.2)% Coach, Inc.* 12,060 (414,864) -------------- TOTAL TEXTILES & APPAREL (414,864) -------------- COMMERCIAL SERVICES & SUPPLIES (0.3)% DeVry, Inc.* 990 (21,057) Sotheby's Holdings, Inc. -- Class A 1,220 (39,333) ITT Educational Services, Inc.* 2,490 (165,087) H&R Block, Inc. 7,630 (165,876) Apollo Group, Inc. -- Class A* 3,930 (193,513) -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES (584,866) -------------- AUTOMOBILES (0.3)% Ford Motor Co. 24,950 (201,845) General Motors Corp. 11,810 (392,801) -------------- TOTAL AUTOMOBILES (594,646) -------------- SPECIALTY RETAIL (0.5)% OfficeMax, Inc. 660 (26,888) CarMax, Inc.* 1,100 (45,881) Office Depot, Inc.* 2,470 (98,059) Advance Auto Parts, Inc. 3,710 (122,207) Pier 1 Imports, Inc. 17,690 (131,260) Chico's FAS, Inc.* 8,990 (193,555) Urban Outfitters, Inc.* 17,610 (311,521) -------------- TOTAL SPECIALTY RETAIL (929,371) -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MEDIA (0.8)% Reader's Digest Association, Inc. 7,130 $ (92,405) Dow Jones & Co., Inc. 4,510 (151,266) Interpublic Group of Cos., Inc.* 41,920 (415,008) Time Warner, Inc. 45,310 (826,001) -------------- TOTAL MEDIA (1,484,680) -------------- HOTELS, RESTAURANTS & LEISURE (1.0)% Scientific Games Corp. -- Class A* 1,390 (44,202) International Game Technology, Inc. 2,540 (105,410) Harrah's Entertainment, Inc. 4,760 (316,207) Marriott International, Inc. -- Class A 10,470 (404,561) Starbucks Corp.* 24,760 (843,078) -------------- TOTAL HOTELS, RESTAURANTS & LEISURE (1,713,458) -------------- TOTAL CONSUMER DISCRETIONARY (7,143,216) -------------- ENERGY (4.2)% OIL & GAS (1.7)% Forest Oil Corp.* 5,790 (182,906) Quicksilver Resources, Inc.* 6,670 (212,773) Noble Energy, Inc. 7,560 (344,661) Sunoco, Inc. 5,810 (361,324) Kinder Morgan, Inc. 3,540 (371,169) Arch Coal, Inc. 15,540 (449,261) El Paso Corp. 90,459 (1,233,861) -------------- TOTAL OIL & GAS (3,155,955) -------------- ENERGY EQUIPMENT & SERVICES (2.5)% Superior Energy Services, Inc.* 7,660 (201,151) Compagnie Generale de Geophysique SA, Inc. -- SP ADR* 8,120 (249,771) FMC Technologies, Inc.* 8,830 (474,171) Weatherford International Ltd.* 21,630 (902,404) Smith International, Inc. 24,200 (938,960) Schlumberger Ltd. 28,790 (1,785,844) -------------- TOTAL ENERGY EQUIPMENT & SERVICES (4,552,301) -------------- TOTAL ENERGY (7,708,256) -------------- CONSUMER STAPLES (4.2)% TOBACCO (0.2)% Universal Corp. 10,210 (372,971) -------------- TOTAL TOBACCO (372,971) -------------- PERSONAL PRODUCTS (0.4)% Alberto-Culver Co. -- Class B 4,050 (204,889) Avon Products, Inc. 15,160 (464,806) -------------- TOTAL PERSONAL PRODUCTS (669,695) -------------- BEVERAGES (0.5)% Constellation Brands, Inc. -- Class A* 12,270 (353,131) Molson Coors Brewing Co. -- Class B 9,160 (631,124) -------------- TOTAL BEVERAGES (984,255) -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- FOOD & DRUG RETAILING (0.6)% Whole Foods Market, Inc. 18,830 $ (1,119,067) -------------- TOTAL FOOD & DRUG RETAILING (1,119,067) -------------- HOUSEHOLD PRODUCTS (0.8)% Energizer Holdings, Inc.* 4,010 (288,680) Colgate-Palmolive Co. 18,840 (1,169,964) -------------- TOTAL HOUSEHOLD PRODUCTS (1,458,644) -------------- FOOD PRODUCTS (1.7)% Smithfield Foods, Inc.* 3,240 (87,545) WM Wrigley Jr Co. 10,550 (485,933) Sara Lee Corp. 56,109 (901,672) Hershey Co. 31,950 (1,707,727) -------------- TOTAL FOOD PRODUCTS (3,182,877) -------------- TOTAL CONSUMER STAPLES (7,787,509) -------------- HEALTH CARE (5.0)% HEALTH CARE PROVIDERS & SERVICES (0.8)% Tenet Healthcare Corp.* 29,170 (237,444) Coventry Health Care, Inc.* 5,220 (268,935) AmerisourceBergen Corp. 6,920 (312,784) CIGNA Corp. 6,520 (758,406) -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES (1,577,569) -------------- BIOTECHNOLOGY (1.2)% Vertex Pharmaceuticals, Inc.* 1,610 (54,176) Affymetrix, Inc.* 6,190 (133,456) Martek Biosciences Corp.* 10,750 (231,233) PDL BioPharma, Inc.* 12,860 (246,912) Medimmune, Inc.* 19,810 (578,650) Gilead Sciences, Inc.* 12,870 (884,169) -------------- TOTAL BIOTECHNOLOGY (2,128,596) -------------- HEALTH CARE EQUIPMENT & SUPPLIES (1.4)% Thermo Electron Corp.* 3,360 (132,149) Gen-Probe, Inc.* 4,600 (215,694) Advanced Medical Optics, Inc.* 7,610 (300,976) St. Jude Medical, Inc.* 10,170 (358,899) Varian Medical Systems, Inc.* 8,880 (474,103) Boston Scientific Corp.* 68,519 (1,013,396) -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (2,495,217) -------------- PHARMACEUTICALS (1.6)% Perrigo Co. 15,720 (266,768) Sepracor, Inc.* 7,470 (361,847) Allergan, Inc. 5,630 (633,994) Forest Laboratories, Inc.* 15,990 (809,254) Schering-Plough Corp. 40,100 (885,809) -------------- TOTAL PHARMACEUTICALS (2,957,672) -------------- TOTAL HEALTH CARE (9,159,054) -------------- 14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY (8.9)% ELECTRONIC EQUIPMENT & INSTRUMENTS 0.0% Plexus Corp.* 2,330 $ (44,736) -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS (44,736) -------------- OFFICE ELECTRONICS (0.1)% Zebra Technologies Corp. -- Class A* 4,370 (156,184) -------------- TOTAL OFFICE ELECTRONICS (156,184) -------------- INTERNET SOFTWARE & SERVICES (0.6)% VeriSign, Inc.* 10,440 (210,888) Google, Inc. -- Class A* 2,100 (843,990) -------------- TOTAL INTERNET SOFTWARE & SERVICES (1,054,878) -------------- COMMUNICATIONS EQUIPMENT (0.7)% Plantronics, Inc. 4,590 (80,463) Andrew Corp.* 13,340 (123,128) Utstarcom, Inc.* 23,880 (211,815) Juniper Networks, Inc.* 18,370 (317,434) Alcatel SA -- SP ADR 39,330 (479,039) -------------- TOTAL COMMUNICATIONS EQUIPMENT (1,211,879) -------------- IT CONSULTING & SERVICES (1.4)% VeriFone Holdings, Inc.* 8,280 (236,394) Gartner, Inc. -- Class A* 16,550 (291,115) Unisys Corp.* 54,750 (309,885) Alliance Data Systems Corp.* 7,470 (412,269) Cognizant Technology Solutions Corp. -- Class A* 8,720 (645,803) Paychex, Inc. 18,870 (695,360) -------------- TOTAL IT CONSULTING & SERVICES (2,590,826) -------------- COMPUTERS & PERIPHERALS (1.5)% Palm, Inc.* 7,430 (108,181) QLogic Corp.* 8,670 (163,863) Brocade Communications Systems, Inc.* 70,210 (495,682) Lexmark International, Inc.* 9,110 (525,283) Dell, Inc.* 31,220 (713,065) Network Appliance, Inc.* 21,870 (809,409) -------------- TOTAL COMPUTERS & PERIPHERALS (2,815,483) -------------- SOFTWARE (2.2)% Citrix Systems, Inc.* 4,690 (169,825) Transaction Systems Architects, Inc. -- Class A* 6,490 (222,737) CA, Inc. 14,680 (347,769) Activision, Inc.* 40,740 (615,174) Electronic Arts, Inc.* 21,830 (1,215,494) Symantec Corp.* 71,079 (1,512,561) -------------- TOTAL SOFTWARE (4,083,560) -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (2.4)% Lattice Semiconductor Corp.* 31,000 (211,420) PMC - Sierra, Inc.* 44,520 (264,449) Teradyne, Inc.* 25,410 (334,395) Cypress Semiconductor Corp.* 18,970 (337,097) MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Fairchild Semiconductor International, Inc.* 18,570 $ (347,259) Analog Devices, Inc. 21,180 (622,480) Intel Corp. 50,980 (1,048,659) Applied Materials, Inc. 64,099 (1,136,475) -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (4,302,234) -------------- TOTAL INFORMATION TECHNOLOGY (16,259,780) -------------- FINANCIALS (11.8)% DIVERSIFIED FINANCIALS (0.2)% Moody's Corp. 4,860 (317,747) -------------- TOTAL DIVERSIFIED FINANCIALS (317,747) -------------- CONSUMER FINANCE (0.5)% Capital One Financial Corp. 3,660 (287,895) SLM Corp. 12,860 (668,463) -------------- TOTAL CONSUMER FINANCE (956,358) -------------- THRIFTS & MORTGAGE FINANCE (1.0)% New York Community Bancorp, Inc. 17,750 (290,745) Freddie Mac 24,140 (1,601,206) -------------- TOTAL THRIFTS & MORTGAGE FINANCE (1,891,951) -------------- BANKS (1.3)% Mercantile Bankshares Corp. 4,890 (177,360) Synovus Financial Corp. 8,650 (254,050) Wachovia Corp. 6,350 (354,330) Citizens Banking Corp. 15,170 (398,364) Regions Financial Corp. 12,740 (468,705) National City Corp. 17,770 (650,382) -------------- TOTAL BANKS (2,303,191) -------------- CAPITAL MARKETS (1.3)% Jefferies Group, Inc. 6,240 (177,840) SEI Investments Co. 3,970 (223,074) T. Rowe Price Group, Inc. 5,460 (261,261) Federated Investors, Inc. -- Class B 8,350 (282,314) Waddell & Reed Financial, Inc. -- Class A 11,960 (296,010) Janus Capital Group, Inc. 16,330 (322,028) Eaton Vance Corp. 13,170 (380,086) Charles Schwab Corp. 23,980 (429,242) -------------- TOTAL CAPITAL MARKETS (2,371,855) -------------- INSURANCE (2.9)% Stancorp Financial Group, Inc. 2,750 (122,733) Arthur J. Gallagher & Co. 8,760 (233,629) Everest Re Group Ltd. 3,680 (358,910) Loews Corp. 10,350 (392,265) Allstate Corp. 8,510 (533,832) Brown & Brown, Inc. 19,080 (583,085) ACE Ltd. 10,970 (600,388) Marsh & McLennan Cos., Inc. 26,540 (747,101) XL Capital Ltd. 11,330 (778,371) Progressive Corp. 40,040 (982,582) -------------- TOTAL INSURANCE (5,332,896) -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- REAL ESTATE (4.6)% Potlatch Corp. 2,860 $ (106,106) SL Green Realty Corp. 1,110 (123,987) Rayonier, Inc. 3,710 (140,238) Highwoods Properties, Inc. 5,380 (200,190) United Dominion Realty Trust, Inc. 12,850 (388,070) MB Financial Corp. 10,640 (392,297) Lexington Corporate Properties Trust 22,230 (470,831) Vornado Realty Trust 4,590 (500,310) Boston Properties, Inc. 5,690 (588,004) Simon Property Group, Inc. 8,540 (773,895) Public Storage, Inc. 12,324 (1,059,741) KIMCO Realty Corp. 85,280 (3,655,954) -------------- TOTAL REAL ESTATE (8,399,623) -------------- TOTAL FINANCIALS (21,573,621) -------------- TOTAL COMMON STOCKS SOLD SHORT (Proceeds $80,969,710) (83,255,789) -------------- TOTAL INVESTMENTS 48.8% (Cost $89,886,209) $ 89,395,878 ============== OTHER ASSETS IN EXCESS OF LIABILITIES - 51.2% $ 93,905,522 ============== NET ASSETS - 100.0% $ 183,301,400 ================================================================================ UNREALIZED GAIN (LOSS) CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $33,215,325) 494 $ 464,176 December 2006 U.S. 10-Year Treasury Note Futures Contracts (Aggregate Market Value of Contracts $15,777,125) 146 198,268 December 2006 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $10,948,500) 150 170,112 December 2006 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $10,951,200) 144 107,159 -------------- (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $70,892,150) $ 939,715 ============== FUTURES CONTRACTS SOLD SHORT December 2006 U.S. Dollar Index Futures Contracts (Aggregate Market Value of Contracts $21,248,640) 248 $ (65,517) ============== NOTIONAL AMOUNT ------------ CREDIT DEFAULT SWAP AGREEMENT Dow Jones CDX North American Investment Grade Swap Agreement, Series 6 Interest Rate 0.40%, Maturing 06/20/11 65,000,000 $ 162,999 ============== * NON-INCOME PRODUCING SECURITY. ** THE ISSUER IS A PUBLICLY TRADED COMPANY THAT OPERATES UNDER A CONGRESSIONAL CHARTER; ITS SECURITIES ARE NEITHER ISSUED NOR GUARANTEED BY THE U.S. GOVERNMENT. + ALL OR A PORTION OF THIS SECURITY IS HELD AS SHORT SECURITY COLLATERAL AT SEPTEMBER 30, 2006. ADR--AMERICAN DEPOSITORY RECEIPT. REIT--REAL ESTATE INVESTMENT TRUST. 16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 77.2% FINANCIALS 16.5% INSURANCE 5.9% MetLife, Inc.+ 5,460 $ 309,473 Hartford Financial Services Group, Inc. 2,770 240,298 UnumProvident Corp. 12,200 236,558 First American Corp. 4,900 207,466 Genworth Financial, Inc. -- Class A 5,440 190,454 Principal Financial Group, Inc. 3,110 168,811 Aon Corp. 4,270 144,625 MBIA, Inc. 2,240 137,626 Ohio Casualty Corp. 4,320 111,758 Old Republic International Corp. 4,740 104,991 American Financial Group, Inc. 1,880 88,228 AmerUs Group Co. 1,030 70,050 Hanover Insurance Group, Inc. 1,460 65,160 Horace Mann Educators Corp. 2,340 44,998 Chubb Corp.+ 860 44,686 -------------- TOTAL INSURANCE 2,165,182 -------------- CAPITAL MARKETS 3.9% Goldman Sachs Group, Inc. 2,530 428,000 Merrill Lynch & Co., Inc. 5,060 395,793 Franklin Resources, Inc. 2,470 261,203 E*Trade Financial Corp.* 6,000 143,520 Lehman Brothers Holdings, Inc.+ 750 55,395 Morgan Stanley 280 20,415 Deutsche Bank AG 150 18,105 UBS AG Co., Inc. 220 13,048 Nomura Holdings, Inc. -- SP ADR 720 12,658 Credit Suisse Group -- SP ADR 210 12,170 Bank of New York Co., Inc. 340 11,988 State Street Corp. 160 9,984 Bear Stearns Cos., Inc. 70 9,807 Mellon Financial Corp. 240 9,384 Northern Trust Corp. 140 8,180 -------------- TOTAL CAPITAL MARKETS 1,409,650 -------------- DIVERSIFIED FINANCIALS 2.9% J.P. Morgan Chase & Co. 11,730 550,840 CIT Group, Inc. 6,360 309,287 Leucadia National Corp. 8,140 213,024 -------------- TOTAL DIVERSIFIED FINANCIALS 1,073,151 -------------- THRIFTS & MORTGAGE FINANCE 1.6% Sovereign Bancorp, Inc. 11,850 254,893 Radian Group, Inc. 1,650 99,000 PMI Group, Inc. 2,180 95,506 IndyMac Bancorp, Inc. 1,680 69,149 First Niagara Financial Group, Inc. 3,550 51,759 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 570,307 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- REAL ESTATE 1.6% Liberty Property Trust 1,900 $ 90,801 Brookfield Asset Management, Inc. -- Class A 1,560 69,170 Brookfield Properties Corp. 1,430 50,508 Forest City Enterprises, Inc. -- Class A 770 41,811 Longview Fibre Co. 2,020 41,046 CB Richard Ellis Group, Inc. -- Class A* 1,490 36,654 The St. Joe Co. 630 34,568 Jones Lang LaSalle, Inc. 300 25,644 Equity Office Properties Trust 470 18,687 ProLogis 320 18,259 Trammell Crow Co.* 500 18,255 Equity Residential 360 18,209 Archstone-Smith Trust 310 16,876 Host Hotels & Resorts, Inc. 730 16,739 General Growth Properties, Inc. 350 16,678 AvalonBay Communities, Inc. 120 14,448 Developers Diversified Realty Corp. 220 12,267 Plum Creek Timber Co., Inc. (REIT) 340 11,574 Macerich Co. 150 11,454 -------------- TOTAL REAL ESTATE 563,648 -------------- BANKS 0.6% Commerce Bancorp, Inc. 3,310 121,510 FirstMerit Corp. 2,580 59,779 SVB Financial Group* 1,170 52,229 -------------- TOTAL BANKS 233,518 -------------- TOTAL FINANCIALS 6,015,456 -------------- INFORMATION TECHNOLOGY 10.1% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2.7% Advanced Micro Devices, Inc.* 9,980 248,003 Nvidia Corp.* 5,500 162,745 MEMC Electronic Materials, Inc.* 4,070 149,084 Atmel Corp.* 18,740 113,190 Lam Research Corp.* 2,310 104,712 Intersil Corp. -- Class A 3,160 77,578 LSI Logic Corp.* 8,680 71,350 International Rectifier Corp.* 1,560 54,350 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 981,012 -------------- COMMUNICATIONS EQUIPMENT 1.9% Corning, Inc.* 9,960 243,123 Tellabs, Inc.* 12,060 132,178 JDS Uniphase Corp.* 52,620 115,238 Ciena Corp.* 3,691 100,591 CommScope, Inc.* 2,700 88,722 Dycom Industries, Inc.* 830 17,845 -------------- TOTAL COMMUNICATIONS EQUIPMENT 697,697 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS 1.6% Apple Computer, Inc.*+ 4,100 $ 315,823 SanDisk Corp.* 4,460 238,788 Imation Corp. 910 36,537 -------------- TOTAL COMPUTERS & PERIPHERALS 591,148 -------------- IT CONSULTING & SERVICES 1.4% Computer Sciences Corp.* 1,780 87,434 MoneyGram International, Inc. 2,960 86,018 MPS Group, Inc.* 5,530 83,558 Affiliated Computer Services, Inc. -- Class A* 1,520 78,827 CheckFree Corp.* 1,710 70,657 Sabre Holdings Corp. 2,520 58,943 BISYS Group, Inc.* 3,030 32,906 -------------- TOTAL IT CONSULTING & SERVICES 498,343 -------------- SOFTWARE 0.8% Novell, Inc.* 16,390 100,307 Parametric Technology Corp.* 5,070 88,522 Compuware Corp.* 7,120 55,465 Advent Software, Inc.* 1,490 53,953 Citrix Systems, Inc.* 250 9,052 -------------- TOTAL SOFTWARE 307,299 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 0.7% Avnet, Inc.* 6,730 132,043 Arrow Electronics, Inc.* 2,180 59,797 Sanmina-SCI Corp.* 15,680 58,643 Plexus Corp.* 130 2,496 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 252,979 -------------- INTERNET SOFTWARE & SERVICES 0.7% Yahoo!, Inc.* 9,410 237,885 -------------- TOTAL INTERNET SOFTWARE & SERVICES 237,885 -------------- OFFICE ELECTRONICS 0.3% Xerox Corp.* 8,120 126,347 -------------- TOTAL OFFICE ELECTRONICS 126,347 -------------- TOTAL INFORMATION TECHNOLOGY 3,692,710 -------------- INDUSTRIALS 8.9% ROAD & RAIL 1.6% Norfolk Southern Corp.+ 7,090 312,315 Burlington Northern Santa Fe Corp. 3,010 221,054 Werner Enterprises, Inc. 2,180 40,788 -------------- TOTAL ROAD & RAIL 574,157 -------------- AEROSPACE & DEFENSE 1.4% Boeing Co. 3,860 304,361 Northrop Grumman Corp.+ 2,250 153,158 DRS Technologies, Inc. 960 41,923 -------------- TOTAL AEROSPACE & DEFENSE 499,442 -------------- MACHINERY 1.2% Timken Co. 4,150 123,587 Lincoln Electric Holdings, Inc. 2,190 119,246 Cummins, Inc. 670 79,884 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Crane Co. 1,680 $ 70,224 Trinity Industries, Inc. 2,100 67,557 -------------- TOTAL MACHINERY 460,498 -------------- INDUSTRIAL CONGLOMERATES 1.1% Tyco International Ltd.+ 9,340 261,427 Teleflex, Inc. 2,010 111,836 Sequa Corp. -- Class A* 500 46,930 -------------- TOTAL INDUSTRIAL CONGLOMERATES 420,193 -------------- AIRLINES 1.1% Southwest Airlines Co. 10,330 172,098 Alaska Air Group, Inc.* 1,370 52,115 Ryanair Holdings PLC -- SP ADR* 520 32,911 British Airways PLC -- SP ADR* 380 30,407 AMR Corp.* 1,040 24,066 US Airways Group, Inc.* 460 20,392 UAL Corp.* 650 17,270 Gol Linhas Aereas Inteligentes SA -- SP ADR 500 17,175 Continental Airlines, Inc. -- Class B* 600 16,986 SkyWest, Inc. 520 12,750 AirTran Holdings, Inc.* 930 9,226 -------------- TOTAL AIRLINES 405,396 -------------- COMMERCIAL SERVICES & SUPPLIES 0.9% Robert Half International, Inc. 3,180 108,024 Manpower, Inc. 1,570 96,194 Monster Worldwide, Inc.* 2,000 72,380 Korn/Ferry International, Inc.* 1,940 40,624 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 317,222 -------------- ELECTRICAL EQUIPMENT 0.8% Thomas & Betts Corp.* 1,720 82,061 ABB Ltd. -- SP ADR 3,470 45,735 Emerson Electric Co. 520 43,607 Rockwell Automation, Inc. 390 22,659 Cooper Industries Ltd. -- Class A 260 22,157 American Power Conversion Corp. 830 18,227 AMETEK, Inc. 310 13,500 Hubbell, Inc. -- Class B 280 13,412 Acuity Brands, Inc. 250 11,350 General Cable Corp.* 270 10,317 Regal-Beloit Corp. 200 8,700 Energy Conversion Devices, Inc.* 230 8,519 A.O. Smith Corp. 200 7,886 -------------- TOTAL ELECTRICAL EQUIPMENT 308,130 -------------- CONSTRUCTION & ENGINEERING 0.7% Granite Construction, Inc. 1,830 97,631 Fluor Corp.+ 490 37,676 Foster Wheeler, Ltd.*+ 480 18,523 URS Corp.* 460 17,890 Shaw Group, Inc.* 750 17,730 Washington Group International, Inc. 290 17,069 18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Chicago Bridge & Iron NV Co.+ 680 $ 16,361 EMCOR Group, Inc.* 210 11,516 Insituform Technologies, Inc. -- Class A* 450 10,926 -------------- TOTAL CONSTRUCTION & ENGINEERING 245,322 -------------- TRADING COMPANIES & DISTRIBUTORS 0.1% United Rentals, Inc.* 1,170 27,202 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 27,202 -------------- TOTAL INDUSTRIALS 3,257,562 -------------- HEALTH CARE 8.8% HEALTH CARE PROVIDERS & SERVICES 3.6% Express Scripts, Inc.* 4,720 356,313 McKesson Corp. 6,240 328,973 WellPoint, Inc.* 2,520 194,166 HCA, Inc. 2,490 124,226 Health Net, Inc.* 2,610 113,587 Community Health Systems, Inc.* 2,720 101,592 Triad Hospitals, Inc.* 1,310 57,679 LifePoint Hospitals, Inc.* 1,100 38,852 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 1,315,388 -------------- PHARMACEUTICALS 2.5% Pfizer, Inc. 15,630 443,267 King Pharmaceuticals, Inc.* 12,970 220,879 Barr Pharmaceuticals, Inc.* 2,580 134,005 Valeant Pharmaceuticals International 4,140 81,889 Watson Pharmaceuticals, Inc.* 2,040 53,387 -------------- TOTAL PHARMACEUTICALS 933,427 -------------- BIOTECHNOLOGY 2.0% Biogen Idec, Inc.* 10,390 464,225 Applera Corp. - Applied Biosystems Group 4,030 133,433 Cephalon, Inc.* 1,610 99,418 Vertex Pharmaceuticals, Inc.* 620 20,863 -------------- TOTAL BIOTECHNOLOGY 717,939 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 0.7% Thermo Electron Corp.* 3,700 145,521 Intuitive Surgical, Inc.* 1,110 117,050 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 262,571 -------------- TOTAL HEALTH CARE 3,229,325 -------------- CONSUMER STAPLES 8.7% FOOD PRODUCTS 3.5% Archer-Daniels-Midland Co.+ 14,330 542,821 ConAgra Foods, Inc. 9,020 220,810 General Mills, Inc. 3,890 220,174 Tyson Foods, Inc. -- Class A 9,380 148,954 Smithfield Foods, Inc.* 3,630 98,083 Tootsie Roll Industries, Inc. 2,140 62,723 -------------- TOTAL FOOD PRODUCTS 1,293,565 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TOBACCO 1.9% Reynolds American, Inc. 7,930 $ 491,422 Altria Group, Inc. 1,650 126,308 UST, Inc. 600 32,898 Loews Corp. - Carolina Group 380 21,048 Vector Group Ltd. 611 9,902 -------------- TOTAL TOBACCO 681,578 -------------- BEVERAGES 1.3% Brown-Forman Corp. -- Class B 2,540 194,691 Coca-Cola Enterprises, Inc. 8,540 177,888 PepsiAmericas, Inc. 4,580 97,737 -------------- TOTAL BEVERAGES 470,316 -------------- FOOD & DRUG RETAILING 1.3% CVS Corp. 7,350 236,082 Kroger Co. 10,000 231,400 -------------- TOTAL FOOD & DRUG RETAILING 467,482 -------------- HOUSEHOLD PRODUCTS 0.7% Procter & Gamble Co. 1,480 91,730 Church & Dwight Co., Inc. 2,260 88,389 Kimberly-Clark Corp. 540 35,294 Clorox Co. 330 20,790 Central Garden and Pet Co.* 150 7,239 -------------- TOTAL HOUSEHOLD PRODUCTS 243,442 -------------- TOTAL CONSUMER STAPLES 3,156,383 -------------- CONSUMER DISCRETIONARY 6.9% MULTILINE RETAIL 1.8% Federated Department Stores, Inc.+ 7,610 328,828 Target Corp. 3,790 209,397 J.C. Penney Holding Co., Inc. 1,720 117,631 -------------- TOTAL MULTILINE RETAIL 655,856 -------------- HOUSEHOLD DURABLES 1.5% Whirlpool Corp. 1,990 167,379 Lennar Corp. -- Class A 3,500 158,375 D.R. Horton, Inc. 3,660 87,657 KB HOME 1,300 56,940 American Greetings Corp. -- Class A 1,430 33,062 Furniture Brands International, Inc. 1,560 29,702 -------------- TOTAL HOUSEHOLD DURABLES 533,115 -------------- SPECIALTY RETAIL 1.3% GameStop Corp. -- Class A* 2,650 122,642 AnnTaylor Stores Corp.* 2,540 106,325 AutoNation, Inc.* 3,510 73,359 Circuit City Stores, Inc. 2,830 71,061 Payless Shoesource, Inc.* 1,710 42,579 Borders Group, Inc. 1,810 36,924 Office Depot, Inc.* 260 10,322 -------------- TOTAL SPECIALTY RETAIL 463,212 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MEDIA 0.8% Gannett Co., Inc. 2,050 $ 116,501 Univision Communications, Inc. -- Class A* 2,890 99,242 Belo Corp. -- Class A 2,480 39,209 Scholastic Corp.* 1,140 35,511 Media General, Inc. 50 1,886 Westwood One, Inc. 220 1,558 -------------- TOTAL MEDIA 293,907 -------------- HOTELS, RESTAURANTS & LEISURE 0.7% Carnival Corp. 4,300 202,229 CBRL Group, Inc. 1,150 46,494 International Game Technology, Inc. 260 10,790 Scientific Games Corp. -- Class A* 140 4,452 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 263,965 -------------- TEXTILES & APPAREL 0.3% Polo Ralph Lauren Corp. 1,500 97,035 -------------- TOTAL TEXTILES & APPAREL 97,035 -------------- LEISURE EQUIPMENT & PRODUCTS 0.2% Brunswick Corp. 1,870 58,325 Callaway Golf Co. 2,090 27,400 -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS 85,725 -------------- AUTO COMPONENTS 0.2% Goodyear Tire & Rubber Co.* 3,780 54,810 Modine Manufacturing Co. 1,150 27,980 -------------- TOTAL AUTO COMPONENTS 82,790 -------------- AUTOMOBILES 0.1% Thor Industries, Inc. 1,150 47,346 -------------- TOTAL AUTOMOBILES 47,346 -------------- COMMERCIAL SERVICES & SUPPLIES 0.0% Sotheby's Holdings, Inc. -- Class A 130 4,191 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 4,191 -------------- TOTAL CONSUMER DISCRETIONARY 2,527,142 -------------- ENERGY 6.3% ENERGY EQUIPMENT & SERVICES 3.2% Baker Hughes, Inc. 4,970 338,954 Grant Prideco, Inc.* 8,070 306,902 Transocean, Inc.*+ 3,920 287,062 Patterson-UTI Energy, Inc. 5,350 127,116 Rowan Cos., Inc. 3,500 110,705 Nabors Industries Ltd.* 100 2,975 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,173,714 -------------- OIL & GAS 3.1% ConocoPhillips+ 5,960 354,799 Devon Energy Corp. 3,280 207,132 Consol Energy, Inc. 5,490 174,198 Apache Corp. 2,750 173,800 Peabody Energy Corp. 4,690 172,498 Overseas Shipholding Group, Inc. 920 56,828 -------------- TOTAL OIL & GAS 1,139,255 -------------- TOTAL ENERGY 2,312,969 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES 4.0% DIVERSIFIED TELECOMMUNICATION SERVICES 2.8% AT&T, Inc. 11,520 $ 375,091 Verizon Communications, Inc.+ 9,380 348,280 Qwest Communications International, Inc.* 26,370 229,946 CenturyTel, Inc. 1,770 70,216 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 1,023,533 -------------- WIRELESS TELECOMMUNICATION SERVICES 1.2% Sprint Nextel Corp. 12,110 207,686 Alltel Corp. 2,850 158,175 Telephone & Data Systems, Inc. 1,630 68,623 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 434,484 -------------- TOTAL TELECOMMUNICATION SERVICES 1,458,017 -------------- UTILITIES 4.0% ELECTRIC UTILITIES 1.7% American Electric Power Co., Inc. 2,510 91,289 Pepco Holdings, Inc. 3,550 85,803 Progress Energy, Inc. 1,820 82,592 Edison International 1,730 72,037 TXU Corp. 890 55,643 Pinnacle West Capital Corp. 1,140 51,357 E.ON AG -- SP ADR 820 32,529 Westar Energy, Inc. 1,220 28,682 Korea Electric Power Corp. -- SP ADR 980 19,159 Southern Co. 540 18,608 Allegheny Energy, Inc.* 440 17,675 FPL Group, Inc. 360 16,200 Scottish Power, Inc. -- SP ADR 330 16,025 FirstEnergy Corp. 280 15,641 Entergy Corp. 190 14,864 Black Hills Corp. 340 11,427 -------------- TOTAL ELECTRIC UTILITIES 629,531 -------------- MULTI-UTILITIES 1.4% AES Corp.* 9,690 197,579 MDU Resources Group, Inc. 3,870 86,456 Alliant Energy Corp. 1,590 56,811 Constellation Energy Group, Inc. 640 37,888 Wisconsin Energy Corp. 840 36,238 Mirant Corp.* 1,250 34,137 NRG Energy, Inc.* 620 28,086 Ormat Technologies, Inc. 360 11,779 DTE Energy Co. 190 7,887 Energy East Corp. 240 5,693 -------------- TOTAL MULTI-UTILITIES 502,554 -------------- GAS UTILITIES 0.9% Questar Corp. 900 73,593 National Fuel Gas Co. 1,800 65,430 Oneok, Inc. 590 22,296 Energen Corp. 450 18,842 Southern Union Co. 670 17,695 AGL Resources, Inc. 450 16,425 20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- UGI Corp. 650 $ 15,893 Atmos Energy Corp. 540 15,417 Nicor, Inc. 320 13,683 Piedmont Natural Gas Co. 540 13,667 Peoples Energy Corp. 320 13,008 WGL Holdings, Inc. 410 12,849 Southwest Gas Corp. 360 11,995 New Jersey Resources Corp. 240 11,832 -------------- TOTAL GAS UTILITIES 322,625 -------------- TOTAL UTILITIES 1,454,710 -------------- MATERIALS 3.0% METALS & MINING 1.9% Allegheny Technologies, Inc. 3,580 222,640 United States Steel Corp. 1,270 73,254 Commercial Metals Co. 3,090 62,820 Steel Dynamics, Inc. 1,150 58,017 Reliance Steel & Aluminum Co. 1,730 55,602 BHP Billiton Ltd. -- SP ADR 870 32,956 Rio Tinto PLC -- SP ADR 130 24,652 Companhia Vale do Rio Doce -- SP ADR 940 20,266 POSCO -- SP ADR 240 15,583 Mittal Steel NV Co. -- Class A 440 15,286 Alcoa, Inc. 510 14,300 Nucor Corp. 270 13,362 Anglo American PLC -- ADR 620 13,082 Barrick Gold Corp. 410 12,595 Newmont Mining Corp. 270 11,543 Alcan, Inc. 270 10,765 Freeport-McMoRan Copper & Gold, Inc. -- Class B 160 8,522 AngloGold Ashanti Ltd. -- SP ADR 220 8,303 Phelps Dodge Corp.+ 80 6,776 -------------- TOTAL METALS & MINING 680,324 -------------- CHEMICALS 1.0% Eastman Chemical Co. 2,650 143,153 Olin Corp. 4,560 70,042 Airgas, Inc. 1,870 67,638 Lubrizol Corp. 1,160 53,047 Lyondell Chemical Co. 750 19,027 -------------- TOTAL CHEMICALS 352,907 -------------- PAPER & FOREST PRODUCTS 0.1% Louisiana-Pacific Corp. 2,050 38,478 Bowater, Inc. 1,000 20,570 -------------- TOTAL PAPER & FOREST PRODUCTS 59,048 -------------- TOTAL MATERIALS 1,092,279 -------------- TOTAL COMMON STOCKS (Cost $27,814,990) 28,196,553 -------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS 25.0% Repurchase Agreement (Note 5) 4.94% due 10/02/06+ $ 9,152,357 $ 9,152,357 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $9,152,357) 9,152,357 -------------- TOTAL LONG SECURITIES (Cost $36,967,347) 37,348,910 -------------- SHARES ------------ COMMON STOCKS SOLD SHORT (70.4)% UTILITIES (2.0)% WATER UTILITIES (0.2)% Aqua America, Inc. 3,330 (73,060) -------------- TOTAL WATER UTILITIES (73,060) -------------- GAS UTILITIES (0.3)% Equitable Resources, Inc. 3,480 (121,731) -------------- TOTAL GAS UTILITIES (121,731) -------------- MULTI-UTILITIES (0.4)% TECO Energy, Inc. 160 (2,504) Dynegy, Inc. -- Class A* 3,860 (21,384) CenterPoint Energy, Inc. 3,590 (51,409) KeySpan Corp. 1,750 (71,995) -------------- TOTAL MULTI-UTILITIES (147,292) -------------- ELECTRIC UTILITIES (1.1)% PPL Corp. 1,430 (47,047) Northeast Utilities 2,160 (50,263) Exelon Corp. 4,900 (296,646) -------------- TOTAL ELECTRIC UTILITIES (393,956) -------------- TOTAL UTILITIES (736,039) -------------- MATERIALS (2.5)% CONSTRUCTION MATERIALS (0.2)% Florida Rock Industries, Inc. 1,600 (61,936) -------------- TOTAL CONSTRUCTION MATERIALS (61,936) -------------- CONTAINERS & PACKAGING (0.2)% Pactiv Corp.* 3,100 (88,102) -------------- TOTAL CONTAINERS & PACKAGING (88,102) -------------- PAPER & FOREST PRODUCTS (0.7)% MeadWestvaco Corp. 3,360 (89,073) Weyerhaeuser Co. 2,730 (167,977) -------------- TOTAL PAPER & FOREST PRODUCTS (257,050) -------------- CHEMICALS (1.4)% Valspar Corp. 1,360 (36,176) Sensient Technologies Corp. 1,860 (36,400) Scotts Miracle-Gro Co. -- Class A 890 (39,596) Hercules, Inc.* 3,520 (55,511) Chemtura Corp. 10,290 (89,214) Ecolab, Inc. 2,970 (127,175) Dow Chemical Co. 3,420 (133,312) -------------- TOTAL CHEMICALS (517,384) -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- TOTAL MATERIALS (924,472) -------------- CONSUMER DISCRETIONARY (6.6)% MULTILINE RETAIL (0.1)% Nordstrom, Inc. 70 $ (2,961) Saks, Inc. 2,880 (49,766) -------------- TOTAL MULTILINE RETAIL (52,727) -------------- LEISURE EQUIPMENT & PRODUCTS (0.2)% Mattel, Inc. 4,300 (84,710) -------------- TOTAL LEISURE EQUIPMENT & PRODUCTS (84,710) -------------- INTERNET & CATALOG RETAIL (0.3)% Amazon.com, Inc.* 3,290 (105,675) -------------- TOTAL INTERNET & CATALOG RETAIL (105,675) -------------- TEXTILES & APPAREL (0.3)% Coach, Inc.* 3,500 (120,400) -------------- TOTAL TEXTILES & APPAREL (120,400) -------------- AUTO COMPONENTS (0.4)% ArvinMeritor, Inc. 2,090 (29,761) Bandag, Inc. 750 (30,780) Lear Corp. 3,320 (68,724) -------------- TOTAL AUTO COMPONENTS (129,265) -------------- HOUSEHOLD DURABLES (0.4)% Hovnanian Enterprises, Inc. -- Class A* 40 (1,174) Ryland Group, Inc. 30 (1,296) Toll Brothers, Inc.* 60 (1,685) Pulte Homes, Inc. 70 (2,230) M.D.C. Holdings, Inc. 970 (45,056) Centex Corp. 1,530 (80,509) -------------- TOTAL HOUSEHOLD DURABLES (131,950) -------------- COMMERCIAL SERVICES & SUPPLIES (0.6)% ITT Educational Services, Inc.* 720 (47,736) H&R Block, Inc. 3,410 (74,134) Apollo Group, Inc. -- Class A* 1,760 (86,662) -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES (208,532) -------------- AUTOMOBILES (0.7)% Ford Motor Co. 16,110 (130,330) General Motors Corp. 4,250 (141,355) -------------- TOTAL AUTOMOBILES (271,685) -------------- SPECIALTY RETAIL (0.8)% CarMax, Inc.* 20 (834) Pier 1 Imports, Inc. 7,020 (52,089) Advance Auto Parts, Inc. 1,660 (54,680) Chico's FAS, Inc.* 2,610 (56,193) Urban Outfitters, Inc.* 6,210 (109,855) -------------- TOTAL SPECIALTY RETAIL (273,651) -------------- MEDIA (1.4)% Reader's Digest Association, Inc. 2,570 (33,307) Dow Jones & Co., Inc. 1,310 (43,938) Interpublic Group of Cos., Inc.* 13,660 (135,234) Time Warner, Inc. 16,300 (297,149) -------------- TOTAL MEDIA (509,628) -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE (1.4)% Harrah's Entertainment, Inc. 1,710 $ (113,595) Marriott International, Inc. -- Class A 3,040 (117,466) Starbucks Corp.* 8,740 (297,597) -------------- TOTAL HOTELS, RESTAURANTS & LEISURE (528,658) -------------- TOTAL CONSUMER DISCRETIONARY (2,416,881) -------------- INDUSTRIALS (6.6)% ROAD & RAIL 0.0% YRC Worldwide, Inc.* 30 (1,111) -------------- TOTAL ROAD & RAIL (1,111) -------------- AIR FREIGHT & COURIERS (0.1)% CH Robinson Worldwide, Inc. 520 (23,182) Expeditors International Washington, Inc. 580 (25,856) -------------- TOTAL AIR FREIGHT & COURIERS (49,038) -------------- ELECTRICAL EQUIPMENT (0.2)% Roper Industries, Inc. 1,210 (54,135) -------------- TOTAL ELECTRICAL EQUIPMENT (54,135) -------------- BUILDING PRODUCTS (0.2)% Masco Corp. 2,590 (71,018) -------------- TOTAL BUILDING PRODUCTS (71,018) -------------- CONSTRUCTION & ENGINEERING (0.2)% Jacobs Engineering Group, Inc.* 1,050 (78,466) -------------- TOTAL CONSTRUCTION & ENGINEERING (78,466) -------------- AIRLINES (0.2)% JetBlue Airways Corp.* 9,380 (86,953) -------------- TOTAL AIRLINES (86,953) -------------- AEROSPACE & DEFENSE (0.5)% General Dynamics Corp. 2,460 (176,308) -------------- TOTAL AEROSPACE & DEFENSE (176,308) -------------- TRADING COMPANIES & DISTRIBUTORS (1.1)% GATX Corp. 2,000 (82,740) MSC Industrial Direct Co. -- Class A 2,170 (88,406) Fastenal Co. 5,840 (225,249) -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS (396,395) -------------- COMMERCIAL SERVICES & SUPPLIES (2.0)% Avis Budget Group, Inc. 1,360 (24,874) Corporate Executive Board Co. 960 (86,314) Stericycle, Inc.* 1,260 (87,935) Deluxe Corp. 5,760 (98,496) Avery Dennison Corp. 2,140 (128,764) Cintas Corp. 3,690 (150,663) Pitney Bowes, Inc. 3,760 (166,831) -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES (743,877) -------------- MACHINERY (2.1)% Flowserve Corp.* 270 (13,659) Tecumseh Products Co. -- Class A* 1,150 (17,492) Joy Global, Inc. 510 (19,181) Pentair, Inc. 1,980 (51,856) Oshkosh Truck Corp. 1,390 (70,153) 22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Graco, Inc. 2,210 $ (86,323) SPX Corp. 1,850 (98,864) ITT Industries, Inc. 2,040 (104,591) Ingersoll-Rand Co. -- Class A 3,360 (127,613) Illinois Tool Works, Inc. 3,860 (173,314) -------------- TOTAL MACHINERY (763,046) -------------- TOTAL INDUSTRIALS (2,420,347) -------------- ENERGY (7.0)% ENERGY EQUIPMENT & SERVICES (3.2)% FMC Technologies, Inc.* 2,230 (119,751) Smith International, Inc. 5,010 (194,388) Weatherford International Ltd.* 7,780 (324,582) Schlumberger Ltd. 8,370 (519,191) -------------- TOTAL ENERGY EQUIPMENT & SERVICES (1,157,912) -------------- OIL & GAS (3.8)% Forest Oil Corp.* 2,590 (81,818) Anadarko Petroleum Corp. 1,940 (85,030) Quicksilver Resources, Inc.* 2,980 (95,062) Arch Coal, Inc. 4,520 (130,673) Noble Energy, Inc. 3,380 (154,094) Sunoco, Inc. 2,600 (161,694) Kinder Morgan, Inc. 2,870 (300,920) El Paso Corp. 29,540 (402,926) -------------- TOTAL OIL & GAS (1,412,217) -------------- TOTAL ENERGY (2,570,129) -------------- CONSUMER STAPLES (7.4)% TOBACCO (0.4)% Universal Corp. 3,980 (145,389) -------------- TOTAL TOBACCO (145,389) -------------- PERSONAL PRODUCTS (0.6)% Alberto-Culver Co. -- Class B 200 (10,118) Avon Products, Inc. 6,780 (207,875) -------------- TOTAL PERSONAL PRODUCTS (217,993) -------------- BEVERAGES (1.0)% Constellation Brands, Inc. -- Class A* 5,490 (158,002) Molson Coors Brewing Co. -- Class B 3,300 (227,370) -------------- TOTAL BEVERAGES (385,372) -------------- FOOD & DRUG RETAILING (1.1)% Whole Foods Market, Inc. 6,530 (388,078) -------------- TOTAL FOOD & DRUG RETAILING (388,078) -------------- HOUSEHOLD PRODUCTS (1.3)% Energizer Holdings, Inc.* 1,830 (131,742) Colgate-Palmolive Co. 5,350 (332,235) -------------- TOTAL HOUSEHOLD PRODUCTS (463,977) -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- FOOD PRODUCTS (3.0)% WM Wrigley Jr Co. 4,720 $ (217,403) Sara Lee Corp. 20,180 (324,293) Hershey Co. 10,480 (560,156) -------------- TOTAL FOOD PRODUCTS (1,101,852) -------------- TOTAL CONSUMER STAPLES (2,702,661) -------------- HEALTH CARE (8.9)% BIOTECHNOLOGY (1.9)% Affymetrix, Inc.* 2,770 (59,721) PDL BioPharma, Inc.* 3,740 (71,808) Martek Biosciences Corp.* 4,180 (89,912) Medimmune, Inc.* 7,130 (208,267) Gilead Sciences, Inc.* 3,740 (256,938) -------------- TOTAL BIOTECHNOLOGY (686,646) -------------- HEALTH CARE PROVIDERS & SERVICES (2.0)% Apria Healthcare Group, Inc.* 730 (14,410) Aetna, Inc. 1,870 (73,959) Tenet Healthcare Corp.* 13,050 (106,227) Coventry Health Care, Inc.* 2,340 (120,557) AmerisourceBergen Corp. 3,090 (139,668) CIGNA Corp. 2,350 (273,352) -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES (728,173) -------------- HEALTH CARE EQUIPMENT & SUPPLIES (2.4)% Bausch & Lomb, Inc. 520 (26,068) Gen-Probe, Inc.* 1,340 (62,833) Advanced Medical Optics, Inc.* 2,740 (108,367) Varian Medical Systems, Inc.* 2,580 (137,746) St. Jude Medical, Inc.* 4,550 (160,569) Boston Scientific Corp.* 26,660 (394,301) -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES (889,884) -------------- PHARMACEUTICALS (2.6)% Perrigo Co. 5,660 (96,050) Sepracor, Inc.* 2,170 (105,115) Allergan, Inc. 1,640 (184,680) Schering-Plough Corp. 11,650 (257,349) Forest Laboratories, Inc.* 5,750 (291,008) -------------- TOTAL PHARMACEUTICALS (934,202) -------------- TOTAL HEALTH CARE (3,238,905) -------------- INFORMATION TECHNOLOGY (14.7)% OFFICE ELECTRONICS (0.2)% Zebra Technologies Corp. -- Class A* 1,960 (70,050) -------------- TOTAL OFFICE ELECTRONICS (70,050) -------------- INTERNET SOFTWARE & SERVICES (0.7)% VeriSign, Inc.* 4,670 (94,334) Google, Inc. -- Class A* 410 (164,779) -------------- TOTAL INTERNET SOFTWARE & SERVICES (259,113) -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT (0.9)% ADC Telecommunications, Inc.* 170 $ (2,550) Plantronics, Inc. 2,050 (35,937) Andrew Corp.* 5,970 (55,103) Utstarcom, Inc.* 8,590 (76,193) Juniper Networks, Inc.* 8,210 (141,869) -------------- TOTAL COMMUNICATIONS EQUIPMENT (311,652) -------------- IT CONSULTING & SERVICES (1.9)% Gartner, Inc. -- Class A* 4,810 (84,608) Unisys Corp.* 19,850 (112,351) Alliance Data Systems Corp.* 2,170 (119,762) Cognizant Technology Solutions Corp. -- Class A* 2,530 (187,372) Paychex, Inc. 5,480 (201,938) -------------- TOTAL IT CONSULTING & SERVICES (706,031) -------------- COMPUTERS & PERIPHERALS (2.4)% Palm, Inc.* 3,320 (48,339) QLogic Corp.* 3,880 (73,332) Lexmark International, Inc.* 3,280 (189,125) Network Appliance, Inc.* 6,350 (235,014) Dell, Inc.* 13,960 (318,846) -------------- TOTAL COMPUTERS & PERIPHERALS (864,656) -------------- SOFTWARE (4.2)% Wind River Systems, Inc.* 160 (1,714) Transaction Systems Architects, Inc. -- Class A* 1,880 (64,522) CA, Inc. 6,560 (155,406) Activision, Inc.* 15,750 (237,825) Electronic Arts, Inc.* 8,440 (469,939) Symantec Corp.* 27,480 (584,774) -------------- TOTAL SOFTWARE (1,514,180) -------------- SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (4.4)% Lattice Semiconductor Corp.* 11,150 (76,043) PMC - Sierra, Inc.* 12,940 (76,864) Teradyne, Inc.* 9,140 (120,282) Cypress Semiconductor Corp.* 6,820 (121,191) Fairchild Semiconductor International, Inc.* 6,680 (124,916) Analog Devices, Inc. 7,620 (223,952) Applied Materials, Inc. 23,060 (408,854) Intel Corp. 22,800 (468,996) -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT (1,621,098) -------------- TOTAL INFORMATION TECHNOLOGY (5,346,780) -------------- FINANCIALS (14.7)% DIVERSIFIED FINANCIALS (0.1)% Moody's Corp. 780 (50,997) -------------- TOTAL DIVERSIFIED FINANCIALS (50,997) -------------- CONSUMER FINANCE (0.7)% SLM Corp. 4,630 (240,667) -------------- TOTAL CONSUMER FINANCE (240,667) -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- BANKS (1.2)% Mercantile Bankshares Corp. 2,190 $ (79,431) Synovus Financial Corp. 3,870 (113,662) National City Corp. 6,390 (233,874) -------------- TOTAL BANKS (426,967) -------------- CAPITAL MARKETS (1.6)% SEI Investments Co. 440 (24,724) Charles Schwab Corp. 2,220 (39,738) T. Rowe Price Group, Inc. 870 (41,629) Jefferies Group, Inc. 2,790 (79,515) Waddell & Reed Financial, Inc. -- Class A 3,480 (86,130) Federated Investors, Inc. -- Class B 3,000 (101,430) Eaton Vance Corp. 3,830 (110,534) Janus Capital Group, Inc. 5,870 (115,756) -------------- TOTAL CAPITAL MARKETS (599,456) -------------- THRIFTS & MORTGAGE FINANCE (2.0)% New York Community Bancorp, Inc. 6,380 (104,505) Freddie Mac 9,470 (628,145) -------------- TOTAL THRIFTS & MORTGAGE FINANCE (732,650) -------------- REAL ESTATE (3.6)% Potlatch Corp. 1,280 (47,488) Rayonier, Inc. 1,660 (62,748) Highwoods Properties, Inc. 1,930 (71,815) United Dominion Realty Trust, Inc. 3,730 (112,646) Boston Properties, Inc. 1,620 (167,411) Public Storage, Inc. 1,960 (168,540) Vornado Realty Trust 1,650 (179,850) Simon Property Group, Inc. 2,430 (220,207) KIMCO Realty Corp. 6,600 (282,942) -------------- TOTAL REAL ESTATE (1,313,647) -------------- INSURANCE (5.5)% Stancorp Financial Group, Inc. 1,230 (54,895) Arthur J. Gallagher & Co. 3,150 (84,010) Everest Re Group Ltd. 1,320 (128,740) Loews Corp. 4,630 (175,477) Brown & Brown, Inc. 6,480 (198,029) ACE Ltd. 3,950 (216,183) Marsh & McLennan Cos., Inc. 7,710 (217,037) Allstate Corp. 3,810 (239,001) XL Capital Ltd. 4,440 (305,028) Progressive Corp. 15,700 (385,278) -------------- TOTAL INSURANCE (2,003,678) -------------- TOTAL FINANCIALS (5,368,062) -------------- TOTAL COMMON STOCKS SOLD SHORT (Proceeds $25,231,982) (25,724,276) -------------- TOTAL INVESTMENTS 31.8% (Cost $11,735,365) $ 11,624,634 ============== OTHER ASSETS IN EXCESS OF LIABILITIES - 68.2% $ 24,903,205 ============== NET ASSETS - 100.0% $ 36,527,839 ================================================================================ 24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- HEDGED EQUITY FUND - -------------------------------------------------------------------------------- UNREALIZED GAIN CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $14,993,963) 223 $ 221,739 December 2006 Russell 2000(R) Index Mini Futures Contracts (Aggregate Market Value of Contracts $2,481,660) 34 38,559 December 2006 S&P 400 Index Mini Futures Contracts (Aggregate Market Value of Contracts $2,585,700) 34 27,270 -------------- (TOTAL AGGREGATE MARKET VALUE OF CONTRACTS $20,061,323) $ 287,568 ============== * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS HELD AS SHORT SECURITY COLLATERAL AT SEPTEMBER 30, 2006. ADR--AMERICAN DEPOSITORY RECEIPT. REIT--REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 98.6% FINANCIALS 21.7% INSURANCE 9.6% American International Group, Inc. 4,006 $ 265,438 Prudential Financial, Inc. 2,800 213,500 MetLife, Inc.+ 3,480 197,246 Hartford Financial Services Group, Inc.+ 2,187 189,722 Chubb Corp. 3,520 182,899 Assurant, Inc.+ 3,350 178,923 Ambac Financial Group, Inc. 2,150 177,913 Lincoln National Corp.+ 2,850 176,928 AFLAC, Inc. 3,828 175,169 Cincinnati Financial Corp. 3,570 171,574 Loews Corp. 4,350 164,865 Genworth Financial, Inc. -- Class A 4,690 164,197 UnumProvident Corp.+ 8,351 161,926 Delphi Financial Group, Inc. -- Class A+ 3,990 159,121 Old Republic International Corp. 7,170 158,816 W.R. Berkley Corp. 4,440 157,132 Philadelphia Consolidated Holding Corp.*+ 3,930 156,335 Principal Financial Group, Inc.+ 2,880 156,326 HCC Insurance Holdings, Inc. 4,660 153,221 American Financial Group, Inc.+ 3,230 151,584 Selective Insurance Group, Inc.+ 2,880 151,517 First American Corp.+ 3,570 151,154 ProAssurance Corp.* 3,020 148,826 Nationwide Financial Services, Inc. 2,950 141,895 Meadowbrook Insurance Group Co., Inc.* 12,590 141,763 Harleysville Group, Inc. 4,050 141,710 CNA Surety Corp.* 6,970 140,794 Protective Life Corp. 3,060 139,995 Ohio Casualty Corp.+ 5,390 139,439 AmerUs Group Co.+ 2,030 138,060 Argonaut Group, Inc.*+ 4,421 137,184 Wesco Financial Corp. 310 135,470 Infinity Property & Casualty Corp. 3,270 134,495 Donegal Group, Inc. -- Class A 6,630 134,059 Reinsurance Group of America, Inc. 2,570 133,460 FPIC Insurance Group, Inc.* 3,361 133,129 American National Insurance Co. 1,140 132,126 CNA Financial Corp.*+ 3,640 131,113 National Western Life Insurance Co. -- Class A 560 128,738 Conseco, Inc.* 6,071 127,430 Hanover Insurance Group, Inc. 2,820 125,857 NYMAGIC, Inc. 3,920 124,264 Stancorp Financial Group, Inc. 2,754 122,911 American Physicians Capital, Inc.* 2,540 122,885 Safety Insurance Group, Inc. 2,520 122,623 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- EMC Insurance Group, Inc. 4,250 $ 122,570 Baldwind & Lyons, Inc. -- Class B 4,720 114,318 Fidelity National Title Group, Inc. -- Class A+ 1,897 39,761 Crawford & Co. -- Class B 4,069 27,629 Aon Corp.+ 210 7,113 -------------- TOTAL INSURANCE 7,205,123 -------------- DIVERSIFIED FINANCIALS 2.9% Citigroup, Inc. 15,260 757,964 Bank of America Corp. 13,127 703,214 J.P. Morgan Chase & Co.+ 11,620 545,675 Leucadia National Corp. 5,460 142,888 -------------- TOTAL DIVERSIFIED FINANCIALS 2,149,741 -------------- BANKS 2.6% Wachovia Corp.+ 6,370 355,446 KeyCorp+ 5,870 219,773 Wells Fargo & Co. 5,348 193,491 M&T Bank Corp.+ 1,480 177,541 National City Corp.+ 4,780 174,948 Royal Bancshares of Pennsylvania, Inc. -- Class A 4,810 130,303 Intervest Bancshares Corp.*+ 2,840 123,710 FNB Corp. 3,430 123,514 First Citizens BancShares, Inc. -- Class A 610 116,571 1st Source Corp. 3,944 116,427 Camden National Corp. 2,890 116,178 TD Banknorth, Inc. 1,360 39,277 U.S. Bancorp+ 820 27,240 R&G Financial Corp. -- Class B 860 6,407 -------------- TOTAL BANKS 1,920,826 -------------- CAPITAL MARKETS 2.6% Goldman Sachs Group, Inc.+ 1,780 301,123 E*Trade Financial Corp.*+ 7,620 182,270 Charles Schwab Corp.+ 10,060 180,074 Janus Capital Group, Inc.+ 8,990 177,283 Blackrock, Inc.+ 1,070 159,430 Ameriprise Financial, Inc. 3,250 152,425 Capital Southwest Corp. 1,190 141,788 MCG Capital Corp. 8,410 137,335 Thomas Weisel Partners Group, Inc.* 8,250 132,413 Penson Worldwide Co., Inc.* 7,300 131,035 LaBranche & Co., Inc.*+ 9,680 100,382 Morgan Stanley 930 67,806 Merrill Lynch & Co., Inc. 720 56,318 -------------- TOTAL CAPITAL MARKETS 1,919,682 -------------- THRIFTS & MORTGAGE FINANCE 2.2% Washington Mutual, Inc.+ 5,130 223,001 Radian Group, Inc.+ 2,500 150,000 PMI Group, Inc.+ 3,420 149,830 Ocwen Financial Corp., Inc.*+ 9,370 139,613 FirstFed Financial Corp.*+ 2,420 137,263 Webster Financial Corp. 2,890 136,148 26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Triad Guaranty, Inc.* 2,650 $ 135,601 Federal Agricultural Mortgage Corp. 4,690 124,144 ITLA Capital Corp. 2,204 118,487 Corus Bankshares, Inc.+ 4,650 103,974 Berkshire Hills Bancorp, Inc. 2,600 92,534 MGIC Investment Corp.+ 1,207 72,384 Doral Financial Corp.+ 7,519 49,550 -------------- TOTAL THRIFTS & MORTGAGE FINANCE 1,632,529 -------------- CONSUMER FINANCE 1.0% Capital One Financial Corp.+ 2,184 171,794 Cash America International, Inc. 4,130 161,400 Asta Funding, Inc.+ 3,820 143,212 Student Loan Corp. 710 136,448 Credit Acceptance Corp.*+ 4,530 134,450 American Express Co. 480 26,918 -------------- TOTAL CONSUMER FINANCE 774,222 -------------- REAL ESTATE 0.8% American Home Mortgage Investment Corp. 4,370 152,382 HRPT Properties Trust+ 11,570 138,261 Newkirk Realty Trust Co., Inc. 7,940 130,851 AvalonBay Communities, Inc. 997 120,039 Fieldstone Investment Corp. 9,641 84,166 -------------- TOTAL REAL ESTATE 625,699 -------------- TOTAL FINANCIALS 16,227,822 -------------- INFORMATION TECHNOLOGY 16.1% SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 3.2% Intel Corp. 20,779 427,424 Texas Instruments, Inc.+ 7,998 265,933 Freescale Semiconductor, Inc. -- Class B*+ 6,621 251,664 Micron Technology, Inc.*+ 12,540 218,196 Lam Research Corp.*+ 3,560 161,375 National Semiconductor Corp.+ 6,705 157,769 Varian Semiconductor Equipment Associates, Inc.* 4,270 156,709 Intersil Corp. -- Class A 6,190 151,964 Zoran Corp.* 8,800 141,504 MKS Instruments, Inc.* 6,700 136,077 OmniVision Technologies, Inc.*+ 7,591 108,324 LSI Logic Corp.*+ 12,507 102,808 Genesis Microchip, Inc.*+ 8,699 102,387 -------------- TOTAL SEMICONDUCTOR & SEMICONDUCTOR EQUIPMENT 2,382,134 -------------- IT CONSULTING & SERVICES 3.0% Mastercard, Inc.*+ 3,070 215,974 Electronic Data Systems Corp.+ 8,500 208,420 First Data Corp. 4,700 197,400 MPS Group, Inc.* 11,160 168,628 Convergys Corp.* 7,260 149,919 Affiliated Computer Services, Inc. -- Class A* 2,751 142,667 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Automatic Data Processing, Inc. 2,964 $ 140,316 Acxiom Corp. 5,470 134,890 Ceridian Corp.* 5,990 133,936 Forrester Research, Inc.* 4,740 124,709 Hewitt Associates, Inc. -- Class A* 4,780 115,963 Lightbridge, Inc.* 9,880 115,794 SYKES Enterprises, Inc.* 5,653 115,039 Computer Sciences Corp.* 1,900 93,328 BISYS Group, Inc.* 8,529 92,625 infoUSA, Inc. -- Class B 6,893 57,212 Global Payments, Inc. 1,127 49,599 -------------- TOTAL IT CONSULTING & SERVICES 2,256,419 -------------- COMPUTERS & PERIPHERALS 2.8% International Business Machines Corp. 5,550 454,767 Hewlett-Packard Co. 10,920 400,655 Apple Computer, Inc.*+ 3,807 293,253 EMC Corp.* 14,790 177,184 Brocade Communications Systems, Inc.*+ 24,941 176,084 NCR Corp.*+ 4,410 174,107 Electronics for Imaging, Inc.*+ 7,180 164,279 Palm, Inc.*+ 7,200 104,832 Komag, Inc.*+ 3,090 98,756 Dell, Inc.*+ 860 19,642 -------------- TOTAL COMPUTERS & PERIPHERALS 2,063,559 -------------- COMMUNICATIONS EQUIPMENT 2.4% Motorola, Inc. 11,730 293,250 Cisco Systems, Inc.* 11,049 254,127 Polycom, Inc.*+ 7,230 177,352 Avocent Corp.* 5,700 171,684 Interdigital Communications Corp.* 5,020 171,182 Arris Group, Inc.* 13,520 154,939 Avaya, Inc.*+ 13,511 154,566 Black Box Corp. 3,400 132,328 Tellabs, Inc.* 11,000 120,560 Juniper Networks, Inc.*+ 6,320 109,210 Qualcomm, Inc. 1,724 62,667 -------------- TOTAL COMMUNICATIONS EQUIPMENT 1,801,865 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS 1.9% Molex, Inc.+ 4,340 169,130 DTS, Inc. -- Class A* 7,310 154,826 Rofin-Sinar Technologies, Inc.* 2,380 144,633 TTM Technologies, Inc.* 12,180 142,506 Vishay Intertechnology, Inc.*+ 9,700 136,188 Tech Data Corp.* 3,630 132,604 Dolby Laboratories, Inc. -- Class A* 6,390 126,841 Solectron Corp.* 38,033 123,987 Zygo Corp., Inc.* 9,100 116,025 Agilsys, Inc. 7,640 107,266 AVX Corp. 5,020 88,804 -------------- TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS 1,442,810 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 27 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- SOFTWARE 1.8% Microsoft Corp. 19,987 $ 546,245 MicroStrategy, Inc. -- Class A*+ 1,450 147,653 eSpeed, Inc. -- Class A* 14,541 133,777 Lawson Software, Inc.* 17,215 124,809 Compuware Corp.* 15,699 122,295 Fair Isaac Corp.+ 3,061 111,941 MRO Software, Inc.* 1,967 50,493 Oracle Corp.* 2,080 36,899 TIBCO Software, Inc.* 3,390 30,442 Secure Computing Corp.*+ 4,336 27,447 Altiris, Inc.* 600 12,654 -------------- TOTAL SOFTWARE 1,344,655 -------------- INTERNET SOFTWARE & SERVICES 0.8% VeriSign, Inc.* 8,300 167,660 SonicWALL, Inc.* 13,590 148,403 RealNetworks, Inc.*+ 13,730 145,675 Google, Inc. -- Class A* 240 96,456 EarthLink, Inc.* 3,279 23,838 -------------- TOTAL INTERNET SOFTWARE & SERVICES 582,032 -------------- OFFICE ELECTRONICS 0.2% Xerox Corp.* 8,436 131,264 -------------- TOTAL OFFICE ELECTRONICS 131,264 -------------- TOTAL INFORMATION TECHNOLOGY 12,004,738 -------------- CONSUMER DISCRETIONARY 13.4% SPECIALTY RETAIL 3.8% Home Depot, Inc.+ 8,585 311,378 Abercrombie & Fitch Co. -- Class A+ 2,870 199,408 American Eagle Outfitters, Inc.+ 4,540 198,988 Sherwin-Williams Co. 3,180 177,380 Staples, Inc.+ 6,870 167,147 Shoe Carnival, Inc.* 5,840 147,285 Payless Shoesource, Inc.* 5,880 146,412 Dress Barn, Inc.*+ 6,591 143,816 United Auto Group, Inc. 6,110 142,974 Rent-A-Center, Inc.* 4,815 141,031 Syms Corp.* 6,570 133,765 AnnTaylor Stores Corp.* 3,160 132,278 Claire's Stores, Inc. 4,360 127,138 Group 1 Automotive, Inc.+ 2,541 126,796 Cato Corp. -- Class A+ 5,780 126,640 Barnes & Noble, Inc. 3,199 121,370 DSW, Inc.*+ 3,840 120,960 Tween Brands, Inc.*+ 2,890 108,664 Office Depot, Inc.*+ 1,042 41,367 Charming Shoppes, Inc.* 690 9,853 -------------- TOTAL SPECIALTY RETAIL 2,824,650 -------------- HOUSEHOLD DURABLES 2.6% Leggett & Platt, Inc. 6,560 164,197 Whirlpool Corp. 1,910 160,650 Lennar Corp. -- Class A+ 3,550 160,637 Stanley Works+ 3,180 158,523 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Snap-On, Inc. 3,250 $ 144,787 American Greetings Corp. -- Class A+ 6,120 141,494 Champion Enterprises, Inc.* 20,431 140,974 Avatar Holdings, Inc.*+ 2,350 138,791 Furniture Brands International, Inc.+ 7,090 134,994 Ethan Allen Interiors, Inc.+ 3,860 133,788 Mohawk Industries, Inc.*+ 1,450 107,953 Ryland Group, Inc.+ 2,425 104,784 NVR, Inc.*+ 195 104,325 Meritage Homes Corp.*+ 2,138 88,962 Kimball International, Inc. -- Class B 1,360 26,248 -------------- TOTAL HOUSEHOLD DURABLES 1,911,107 -------------- MEDIA 1.9% Walt Disney Co. 9,646 298,158 McGraw-Hill Cos., Inc. 3,050 176,992 Omnicom Group, Inc.+ 1,800 168,480 Lee Enterprises, Inc.+ 5,730 144,625 John Wiley & Sons, Inc. -- Class A 3,980 143,320 Meredith Corp.+ 2,750 135,658 Cox Radio Inc. -- Class A* 7,921 121,587 Time Warner, Inc. 4,522 82,436 Comcast Corp. -- Class A*+ 1,497 55,164 Journal Communications, Inc. -- Class A 3,869 43,604 World Wrestling Entertainment, Inc. 430 7,065 McClatchy Co. -- Class A 160 6,750 -------------- TOTAL MEDIA 1,383,839 -------------- TEXTILES & APPAREL 1.4% Phillips-Van Heusen Corp.+ 4,490 187,547 Nike, Inc. -- Class B+ 2,020 176,993 Polo Ralph Lauren Corp. 2,550 164,960 Jones Apparel Group, Inc. 4,871 158,015 Brown Shoe Co., Inc. 4,360 156,262 Deckers Outdoor Corp.*+ 3,090 146,219 Unifirst Corp. 1,910 59,668 Kellwood Co. 270 7,784 -------------- TOTAL TEXTILES & APPAREL 1,057,448 -------------- HOTELS, RESTAURANTS & LEISURE 1.3% McDonald's Corp. 6,650 260,148 Starwood Hotels & Resorts Worldwide, Inc. 3,680 210,459 Bob Evans Farms, Inc. 5,150 155,942 International Speedway Corp. -- Class A 2,900 144,536 Dover Motorsports, Inc. 19,785 107,235 Dover Downs Gaming & Entertainment, Inc. 7,956 96,665 Luby's, Inc.*+ 1,433 14,144 Multimedia Games, Inc.*+ 1,060 9,625 -------------- TOTAL HOTELS, RESTAURANTS & LEISURE 998,754 -------------- 28 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MULTILINE RETAIL 1.2% J.C. Penney Holding Co., Inc.+ 3,320 $ 227,055 Big Lots, Inc.*+ 9,760 193,346 Dollar Tree Stores, Inc.*+ 5,290 163,778 Dillard's, Inc. -- Class A+ 4,410 144,339 Nordstrom, Inc. 2,332 98,644 Target Corp.+ 1,130 62,432 -------------- TOTAL MULTILINE RETAIL 889,594 -------------- AUTO COMPONENTS 0.5% Autoliv, Inc. 2,660 146,593 BorgWarner, Inc. 2,420 138,351 Aftermarket Technology Corp.* 5,451 96,810 -------------- TOTAL AUTO COMPONENTS 381,754 -------------- AUTOMOBILES 0.3% Harley-Davidson, Inc.+ 3,860 242,215 -------------- TOTAL AUTOMOBILES 242,215 -------------- DISTRIBUTORS 0.2% Audiovox Corp. -- Class A* 9,610 133,771 -------------- TOTAL DISTRIBUTORS 133,771 -------------- COMMERCIAL SERVICES & SUPPLIES 0.1% Career Education Corp.* 3,859 86,827 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 86,827 -------------- HEALTH CARE PROVIDERS & SERVICES 0.1% Stewart Enterprises, Inc. -- Class A 14,417 84,484 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 84,484 -------------- TOTAL CONSUMER DISCRETIONARY 9,994,443 -------------- HEALTH CARE 12.1% HEALTH CARE PROVIDERS & SERVICES 4.8% UnitedHealth Group, Inc. 5,315 261,498 WellPoint, Inc.* 3,250 250,412 Caremark Rx, Inc.+ 3,430 194,378 Cardinal Health, Inc.+ 2,880 189,331 AmerisourceBergen Corp.+ 4,160 188,032 Aetna, Inc. 4,590 181,535 Laboratory Corporation of America Holdings*+ 2,690 176,383 Medco Health Solutions, Inc.*+ 2,800 168,308 McKesson Corp. 3,170 167,122 Health Net, Inc.* 3,580 155,802 Sunrise Senior Living, Inc.* 5,140 153,532 Coventry Health Care, Inc.* 2,964 152,705 inVentiv Health, Inc.* 4,710 150,861 AMERIGROUP Corp.* 4,970 146,864 Dendrite International, Inc.* 14,141 138,299 Magellan Health Services, Inc.* 3,210 136,746 Molina Healthcare, Inc.* 3,760 132,954 Cross Country Healthcare, Inc.* 7,540 128,180 Chemed Corp. 3,780 121,943 AMN Healthcare Services, Inc.* 4,920 116,850 Vital Images, Inc.* 3,585 113,214 Express Scripts, Inc.* 840 63,412 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- HCA, Inc.+ 976 $ 48,693 The Trizetto Group, Inc.* 2,732 41,362 -------------- TOTAL HEALTH CARE PROVIDERS & SERVICES 3,578,416 -------------- PHARMACEUTICALS 3.8% Pfizer, Inc. 23,561 668,190 Johnson & Johnson, Inc. 5,720 371,457 Merck & Co., Inc.+ 8,580 359,502 Abbott Laboratories 6,470 314,183 Barr Pharmaceuticals, Inc.* 3,130 162,572 Perrigo Co. 9,150 155,275 KV Pharmaceutical Co.*+ 6,530 154,761 Endo Pharmaceuticals Holdings, Inc.* 4,626 150,576 Mylan Laboratories, Inc.+ 6,750 135,877 Sciele Pharma, Inc.*+ 6,596 124,269 Wyeth 990 50,332 Hi-Tech Pharmacal Co., Inc.* 3,912 49,448 CNS, Inc. 1,724 48,669 Connetics Corp.* 3,370 36,733 Eli Lilly & Co.+ 390 22,230 Bristol-Myers Squibb Co. 290 7,227 -------------- TOTAL PHARMACEUTICALS 2,811,301 -------------- HEALTH CARE EQUIPMENT & SUPPLIES 2.5% Fisher Scientific International, Inc.* 2,410 188,559 Thermo Electron Corp.*+ 4,300 169,119 Varian, Inc.* 3,330 152,747 DJ Orthopedics, Inc.*+ 3,500 145,355 ICU Medical, Inc.*+ 3,180 144,627 Dade Behring Holdings, Inc. 3,520 141,363 Haemonetics Corp.* 2,910 136,188 Zoll Medical Corp.* 3,660 131,357 West Pharmaceutical Services, Inc. 2,860 112,312 Health Tronics Surgical Services, Inc.* 16,301 100,577 Candela Corp.* 8,550 93,281 TriPath Imaging, Inc.* 9,212 83,184 Molecular Devices Corp.* 4,400 81,356 OraSure Technologies, Inc.* 8,485 68,219 Integra LifeSciences Holdings Corp.*+ 1,137 42,615 Medtronic, Inc.+ 730 33,901 Immucor, Inc.* 1,405 31,486 Vital Signs, Inc. 384 21,738 -------------- TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,877,984 -------------- BIOTECHNOLOGY 1.0% Amgen, Inc.*+ 4,760 340,483 Applera Corp. -- Applied Biosystems Group 4,960 164,226 United Therapeutics Corp.*+ 2,560 134,502 ImClone Systems, Inc.*+ 4,160 117,811 Savient Pharmaceuticals, Inc.* 1,463 9,524 -------------- TOTAL BIOTECHNOLOGY 766,546 -------------- TOTAL HEALTH CARE 9,034,247 -------------- See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 29 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- INDUSTRIALS 11.8% MACHINERY 2.5% Eaton Corp. 2,860 $ 196,911 Parker Hannifin Corp. 2,317 180,100 Dover Corp. 3,770 178,849 Illinois Tool Works, Inc. 3,810 171,069 Cummins, Inc.+ 1,330 158,576 Terex Corp.*+ 3,390 153,296 Kennametal, Inc. 2,540 143,891 Crane Co. 3,380 141,284 Ampco-Pittsburgh Corp. PLC -- SP ADR 4,360 134,855 NACCO Industries, Inc. -- Class A 990 134,551 Miller Industries, Inc. -- Class A* 5,950 108,706 Accuride Corp.* 9,584 105,520 Cascade Corp. 777 35,470 JLG Industries, Inc.+ 1,240 24,564 Caterpillar, Inc.+ 100 6,580 -------------- TOTAL MACHINERY 1,874,222 -------------- AEROSPACE & DEFENSE 1.8% Boeing Co.+ 3,230 254,686 Lockheed Martin Corp.+ 2,440 209,987 General Dynamics Corp. 2,840 203,543 Raytheon Co. 3,840 184,358 Goodrich Corp. 3,770 152,760 Orbital Sciences Corp.* 7,780 146,031 Armor Holdings, Inc.*+ 2,440 139,885 United Technologies Corp. 684 43,331 -------------- TOTAL AEROSPACE & DEFENSE 1,334,581 -------------- COMMERCIAL SERVICES & SUPPLIES 1.6% Waste Management, Inc. 4,910 180,099 Amrep Corp. PLC -- SP ADR+ 3,330 162,737 Corrections Corporation of America* 3,630 156,997 Manpower, Inc.+ 2,470 151,337 United Stationers, Inc.* 3,080 143,251 Steelcase, Inc. -- Class A+ 7,330 115,008 M&F Worldwide Corp.* 7,080 104,076 Volt Information Sciences, Inc.* 2,720 96,696 CBIZ, Inc.* 7,920 57,816 Spherion Corp.* 5,293 37,845 -------------- TOTAL COMMERCIAL SERVICES & SUPPLIES 1,205,862 -------------- INDUSTRIAL CONGLOMERATES 1.4% General Electric Co. 23,160 817,548 Textron, Inc. 2,160 189,000 3M Co. 410 30,512 Teleflex, Inc. 120 6,677 -------------- TOTAL INDUSTRIAL CONGLOMERATES 1,043,737 -------------- ROAD & RAIL 1.2% CSX Corp.+ 6,900 226,527 Burlington Northern Santa Fe Corp. 2,480 182,131 Union Pacific Corp.+ 2,010 176,880 Norfolk Southern Corp.+ 3,340 147,127 MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Genesee & Wyoming, Inc. -- Class A* 5,490 $ 127,478 -------------- TOTAL ROAD & RAIL 860,143 -------------- BUILDING PRODUCTS 1.0% Ameron International Corp. 2,290 152,148 American Woodmark Corp.+ 3,830 129,033 PW Eagle, Inc.+ 4,260 127,843 Goodman Global, Inc.* 8,250 110,137 Insteel Industries, Inc. 5,360 106,503 Universal Forest Products, Inc.+ 1,697 83,238 Builders FirstSource, Inc.* 1,740 26,500 -------------- TOTAL BUILDING PRODUCTS 735,402 -------------- ELECTRICAL EQUIPMENT 0.9% Belden CDT, Inc.+ 4,600 175,858 Roper Industries, Inc. 3,200 143,168 Regal-Beloit Corp.+ 3,200 139,200 Thomas & Betts Corp.* 2,590 123,569 Lamson & Sessions Co., Inc.*+ 4,670 111,239 -------------- TOTAL ELECTRICAL EQUIPMENT 693,034 -------------- AIRLINES 0.8% Southwest Airlines Co. 12,080 201,253 Continental Airlines, Inc. -- Class B*+ 5,280 149,477 UAL Corp.* 5,420 144,009 Republic Airways Holdings, Inc.* 7,980 123,850 -------------- TOTAL AIRLINES 618,589 -------------- AIR FREIGHT & COURIERS 0.4% United Parcel Service, Inc. -- Class B+ 2,660 191,360 HUB Group, Inc. -- Class A*+ 5,310 120,962 -------------- TOTAL AIR FREIGHT & COURIERS 312,322 -------------- TRADING COMPANIES & DISTRIBUTORS 0.1% United Rentals, Inc.* 4,080 94,860 -------------- TOTAL TRADING COMPANIES & DISTRIBUTORS 94,860 -------------- CONSTRUCTION & ENGINEERING 0.1% EMCOR Group, Inc.* 530 29,065 -------------- TOTAL CONSTRUCTION & ENGINEERING 29,065 -------------- TOTAL INDUSTRIALS 8,801,817 -------------- ENERGY 7.0% OIL & GAS 4.4% Exxon Mobil Corp.+ 14,593 979,190 ConocoPhillips 6,010 357,775 Chevron Corp.+ 3,897 252,759 Occidental Petroleum Corp. 4,440 213,608 Devon Energy Corp.+ 2,990 188,819 Valero Energy Corp. 3,380 173,969 Marathon Oil Corp. 2,260 173,794 Noble Energy, Inc. 3,510 160,021 EOG Resources, Inc.+ 2,310 150,266 Delek US Holdings, Inc.* 7,550 139,675 Penn Virginia Corp. 2,130 135,063 30 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- USEC, Inc. 13,100 $ 126,284 Tesoro Corp.+ 2,050 118,859 St. Mary Land & Exploration Co. 1,137 41,739 Hess Corp.+ 870 36,035 Harvest Natural Resources, Inc.* 3,439 35,594 -------------- TOTAL OIL & GAS 3,283,450 -------------- ENERGY EQUIPMENT & SERVICES 2.6% Veritas DGC, Inc.*+ 2,860 188,245 Maverick Tube Corp.* 2,590 167,910 NS Group, Inc.*+ 2,600 167,830 ENSCO International, Inc.+ 3,590 157,350 Pride International, Inc.*+ 5,111 140,144 Lone Star Technologies, Inc.*+ 2,824 136,625 SEACOR Holdings, Inc.* 1,620 133,650 Patterson-UTI Energy, Inc.+ 5,390 128,066 Grey Wolf, Inc.*+ 18,771 125,390 Tidewater, Inc.+ 2,810 124,174 Lufkin Industries, Inc.+ 2,230 118,012 Parker Drilling Co.* 16,511 116,898 Trico Marine Services, Inc.* 3,460 116,775 T-3 Energy Services, Inc. -- Class A* 5,560 111,589 Rowan Cos., Inc. 1,437 45,452 -------------- TOTAL ENERGY EQUIPMENT & SERVICES 1,978,110 -------------- TOTAL ENERGY 5,261,560 -------------- CONSUMER STAPLES 6.3% HOUSEHOLD PRODUCTS 1.2% Procter & Gamble Co. 8,902 551,746 Kimberly-Clark Corp.+ 2,880 188,237 Energizer Holdings, Inc.*+ 2,290 164,857 -------------- TOTAL HOUSEHOLD PRODUCTS 904,840 -------------- FOOD & DRUG RETAILING 1.2% Kroger Co. 10,010 231,631 Wal-Mart Stores, Inc. 3,978 196,195 Costco Wholesale Corp. 3,360 166,925 Ingles Markets, Inc. -- Class A 6,130 161,709 Performance Food Group Co.*+ 4,710 132,304 Walgreen Co.+ 150 6,659 -------------- TOTAL FOOD & DRUG RETAILING 895,423 -------------- BEVERAGES 1.1% Coca-Cola Co. 7,980 356,546 Pepsi Bottling Group, Inc. 4,480 159,040 PepsiCo, Inc. 2,410 157,277 Brown-Forman Corp. -- Class B 2,040 156,366 Hansen Natural Corp.*+ 150 4,872 -------------- TOTAL BEVERAGES 834,101 -------------- TOBACCO 1.1% Altria Group, Inc. 6,900 528,195 Loews Corp. -- Carolina Group+ 2,660 147,337 Reynolds American, Inc.+ 2,340 145,010 -------------- TOTAL TOBACCO 820,542 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- FOOD PRODUCTS 1.1% General Mills, Inc.+ 3,230 $ 182,818 Ralcorp Holdings, Inc.* 3,440 165,911 Kraft Foods, Inc. -- Class A+ 4,250 151,555 Del Monte Foods Co. 12,731 133,039 J.M. Smucker Co. 2,540 121,793 Archer-Daniels-Midland Co. 1,190 45,077 Seaboard Corp. 10 12,050 -------------- TOTAL FOOD PRODUCTS 812,243 -------------- PERSONAL PRODUCTS 0.6% NBTY, Inc.* 5,250 153,668 Prestige Brands Holdings, Inc. -- Class A* 13,180 146,825 Estee Lauder Cos., Inc. -- Class A+ 2,440 98,405 -------------- TOTAL PERSONAL PRODUCTS 398,898 -------------- TOTAL CONSUMER STAPLES 4,666,047 -------------- UTILITIES 4.1% MULTI-UTILITIES 1.9% Sempra Energy+ 4,160 209,040 Duke Energy Corp. 6,782 204,817 Xcel Energy, Inc.+ 8,590 177,384 Wisconsin Energy Corp. 3,560 153,578 CenterPoint Energy, Inc.+ 10,709 153,353 NSTAR+ 4,490 149,786 Avista Corp. 5,800 137,344 MDU Resources Group, Inc.+ 5,960 133,146 NorthWestern Corp. 2,312 80,874 -------------- TOTAL MULTI-UTILITIES 1,399,322 -------------- ELECTRIC UTILITIES 1.6% Edison International+ 4,970 206,951 PPL Corp. 5,950 195,755 FPL Group, Inc.+ 3,810 171,450 FirstEnergy Corp.+ 2,960 165,346 Westar Energy, Inc.+ 6,830 160,573 Pepco Holdings, Inc.+ 6,070 146,712 Unisource Energy Corp. 4,270 142,319 TXU Corp. 570 35,636 Cleco Corp.+ 420 10,601 -------------- TOTAL ELECTRIC UTILITIES 1,235,343 -------------- GAS UTILITIES 0.6% Oneok, Inc. 3,960 149,649 Southwest Gas Corp.+ 4,410 146,941 Energen Corp. 3,230 135,240 Southern Union Co. 1 13 -------------- TOTAL GAS UTILITIES 431,843 -------------- TOTAL UTILITIES 3,066,508 -------------- MATERIALS 3.8% CHEMICALS 1.7% Dow Chemical Co.+ 5,228 203,787 Monsanto Co. 4,180 196,502 Lyondell Chemical Co.+ 6,411 162,647 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 31 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Spartech Corp.+ 5,960 $ 159,549 OM Group, Inc.*+ 3,450 151,593 Valspar Corp. 5,280 140,448 Ashland, Inc. 2,200 140,316 Pioneer Cos., Inc.* 4,405 107,967 NewMarket Corp. 710 41,294 -------------- TOTAL CHEMICALS 1,304,103 -------------- METALS & MINING 1.4% Alcoa, Inc. 5,950 166,838 United States Steel Corp.+ 2,650 152,852 Nucor Corp.+ 3,050 150,944 Carpenter Technology Corp.+ 1,400 150,514 Steel Dynamics, Inc. 2,450 123,603 Schnitzer Steel Industries, Inc. -- Class A 3,864 121,871 Reliance Steel & Aluminum Co. 3,360 107,990 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 890 47,401 Phelps Dodge Corp. 140 11,858 -------------- TOTAL METALS & MINING 1,033,871 -------------- CONTAINERS & PACKAGING 0.6% Greif, Inc. -- Class A 2,050 164,226 Rock-Tenn Co. -- Class A 7,780 154,044 Temple-Inland, Inc. 3,540 141,954 -------------- TOTAL CONTAINERS & PACKAGING 460,224 -------------- CONSTRUCTION MATERIALS 0.1% Eagle Materials, Inc.+ 1,831 61,668 -------------- TOTAL CONSTRUCTION MATERIALS 61,668 -------------- TOTAL MATERIALS 2,859,866 -------------- TELECOMMUNICATION SERVICES 2.3% DIVERSIFIED TELECOMMUNICATION SERVICES 1.3% AT&T, Inc.+ 5,995 195,197 CenturyTel, Inc.+ 3,900 154,713 Fairpoint Communications, Inc. 8,840 153,816 Verizon Communications, Inc.+ 3,910 145,178 CT Communications, Inc. 5,420 117,722 BellSouth Corp. 1,570 67,118 Atlantic Tele-Network, Inc. 2,750 50,820 Windstream Corp.+ 3,024 39,887 Embarq Corp. 514 24,862 -------------- TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 949,313 -------------- WIRELESS TELECOMMUNICATION SERVICES 1.0% American Tower Corp. -- Class A*+ 6,310 230,315 USA Mobility, Inc. 7,710 176,096 Alltel Corp.+ 2,920 162,060 U.S. Cellular Corp.* 2,130 127,161 Sprint Nextel Corp.+ 1,510 25,897 Wireless Facilities, Inc.*+ 8,455 18,094 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 739,623 -------------- MARKET FACE VALUE AMOUNT (NOTE 1) - -------------------------------------------------------------------------------- TOTAL TELECOMMUNICATION SERVICES $ 1,688,936 -------------- TOTAL COMMON STOCKS (Cost $64,317,652) 73,605,984 -------------- REPURCHASE AGREEMENTS 1.3% Repurchase Agreement (Note 5) 5.00% due 10/02/06 $ 21,577 21,577 4.95% due 10/02/06 326,900 326,900 4.89% due 10/02/06 212,485 212,485 4.80% due 10/02/06 392,279 392,279 -------------- TOTAL REPURCHASE AGREEMENTS (Cost $953,241) 953,241 -------------- SECURITIES LENDING COLLATERAL 19.5% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) 14,529,980 14,529,980 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $14,529,980) 14,529,980 -------------- TOTAL INVESTMENTS 119.4% (Cost $79,800,873) $ 89,089,205 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (19.4)% $ (14,456,067) ============== NET ASSETS - 100.0% $ 74,633,138 ================================================================================ UNREALIZED GAIN CONTRACTS (NOTE 1) - -------------------------------------------------------------------------------- FUTURES CONTRACTS PURCHASED December 2006 S&P 500 Index Mini Futures Contracts (Aggregate Market Value of Contracts $470,663) 7 $ 5,122 -------------- * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 -- SEE NOTE 8. ADR--AMERICAN DEPOSITORY RECEIPT. 32 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- SECTOR ROTATION FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- COMMON STOCKS 99.5% FINANCIALS 34.5% REAL ESTATE 18.3% Brookfield Asset Management, Inc. -- Class A+ 172,499 $ 7,648,606 Brookfield Properties Corp.+ 157,645 5,568,021 Forest City Enterprises, Inc. -- Class A+ 84,475 4,586,992 CB Richard Ellis Group, Inc. -- Class A*+ 163,989 4,034,129 The St. Joe Co.+ 69,700 3,824,439 Jones Lang LaSalle, Inc. 33,497 2,863,324 Simon Property Group, Inc. 27,200 2,464,864 Vornado Realty Trust+ 19,500 2,125,500 Equity Office Properties Trust+ 52,000 2,067,520 Equity Residential+ 40,200 2,033,316 Trammell Crow Co.*+ 55,431 2,023,786 ProLogis 35,400 2,019,924 General Growth Properties, Inc.+ 39,100 1,863,115 Boston Properties, Inc.+ 18,000 1,860,120 Host Hotels & Resorts, Inc.+ 81,000 1,857,330 Archstone-Smith Trust+ 33,800 1,840,072 KIMCO Realty Corp. 40,300 1,727,661 Public Storage, Inc. 19,900 1,711,201 AvalonBay Communities, Inc. 13,300 1,601,320 Developers Diversified Realty Corp.+ 24,000 1,338,240 Plum Creek Timber Co., Inc. (REIT) 38,000 1,293,520 Macerich Co. 16,600 1,267,576 -------------- TOTAL REAL ESTATE 57,620,576 -------------- CAPITAL MARKETS 8.5% UBS AG Co., Inc. 49,819 2,954,765 Morgan Stanley 34,200 2,493,522 Goldman Sachs Group, Inc.+ 14,500 2,452,965 Merrill Lynch & Co., Inc. 30,300 2,370,066 Deutsche Bank AG+ 18,300 2,208,810 Credit Suisse Group -- SP ADR 37,366 2,165,360 Lehman Brothers Holdings, Inc. 24,200 1,787,412 Nomura Holdings, Inc. -- SP ADR 86,400 1,518,912 Franklin Resources, Inc. 13,600 1,438,200 Bank of New York Co., Inc. 40,700 1,435,082 Charles Schwab Corp.+ 76,200 1,363,980 State Street Corp. 19,800 1,235,520 Bear Stearns Cos., Inc.+ 8,400 1,176,840 Mellon Financial Corp. 28,400 1,110,440 Northern Trust Corp.+ 16,800 981,624 -------------- TOTAL CAPITAL MARKETS 26,693,498 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- DIVERSIFIED FINANCIALS 7.7% Bank of America Corp. 90,400 $ 4,842,728 Citigroup, Inc. 97,400 4,837,858 J.P. Morgan Chase & Co. 82,900 3,892,984 ING Groep NV -- SP ADR 69,200 3,043,416 Moody's Corp. 20,500 1,340,290 Chicago Mercantile Exchange Holdings, Inc. 2,600 1,243,450 NYSE Group, Inc.*+ 14,600 1,091,350 CIT Group, Inc. 19,400 943,422 Cbot Holdings, Inc.*+ 6,400 773,056 Leucadia National Corp. 26,800 701,356 IntercontinentalExchange, Inc.* 8,300 623,081 Nasdaq Stock Market, Inc.* 17,800 538,272 International Securities Exchange Holdings, Inc. 8,900 417,321 -------------- TOTAL DIVERSIFIED FINANCIALS 24,288,584 -------------- TOTAL FINANCIALS 108,602,658 -------------- INDUSTRIALS 17.3% ELECTRICAL EQUIPMENT 8.9% ABB Ltd. -- SP ADR+ 382,061 5,035,564 Emerson Electric Co. 57,170 4,794,276 Rockwell Automation, Inc.+ 42,737 2,483,020 Cooper Industries Ltd. -- Class A 28,300 2,411,726 American Power Conversion Corp.+ 91,300 2,004,948 Roper Industries, Inc.+ 37,383 1,672,516 Hubbell, Inc. -- Class B 31,400 1,504,060 AMETEK, Inc. 33,900 1,476,345 Thomas & Betts Corp.* 29,900 1,426,529 Acuity Brands, Inc. 28,001 1,271,245 General Cable Corp.* 29,900 1,142,479 Regal-Beloit Corp. 22,600 983,100 Energy Conversion Devices, Inc.*+ 25,100 929,704 A.O. Smith Corp. 21,600 851,688 -------------- TOTAL ELECTRICAL EQUIPMENT 27,987,200 -------------- AIRLINES 8.4% Southwest Airlines Co. 238,000 3,965,080 Ryanair Holdings PLC -- SP ADR*+ 57,002 3,607,656 British Airways PLC -- SP ADR*+ 41,797 3,344,596 AMR Corp.*+ 114,200 2,642,588 US Airways Group, Inc.* 51,000 2,260,830 Gol Linhas Aereas Inteligentes SA -- SP ADR+ 55,600 1,909,860 UAL Corp.* 71,300 1,894,441 Continental Airlines, Inc. -- Class B*+ 66,500 1,882,615 SkyWest, Inc.+ 56,950 1,396,414 See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 33 SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED) September 30, 2006 - -------------------------------------------------------------------------------- SECTOR ROTATION FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Alaska Air Group, Inc.* 36,200 $ 1,377,048 JetBlue Airways Corp.*+ 145,600 1,349,712 AirTran Holdings, Inc.* 102,100 1,012,832 -------------- TOTAL AIRLINES 26,643,672 -------------- TOTAL INDUSTRIALS 54,630,872 -------------- CONSUMER STAPLES 16.1% TOBACCO 8.6% Altria Group, Inc. 181,600 13,901,480 Reynolds American, Inc.+ 78,900 4,889,433 UST, Inc.+ 66,000 3,618,780 Loews Corp. -- Carolina Group+ 41,900 2,320,841 Universal Corp.+ 30,400 1,110,512 Vector Group Ltd.+ 66,885 1,084,875 -------------- TOTAL TOBACCO 26,925,921 -------------- HOUSEHOLD PRODUCTS 7.5% Procter & Gamble Co. 162,800 10,090,344 Colgate-Palmolive Co. 64,900 4,030,290 Kimberly-Clark Corp. 59,800 3,908,528 Clorox Co. 36,100 2,274,300 Energizer Holdings, Inc.*+ 20,500 1,475,795 Church & Dwight Co., Inc. 28,900 1,130,279 Central Garden and Pet Co.* 16,000 772,160 -------------- TOTAL HOUSEHOLD PRODUCTS 23,681,696 -------------- TOTAL CONSUMER STAPLES 50,607,617 -------------- UTILITIES 8.8% ELECTRIC UTILITIES 8.5% E.ON AG -- SP ADR+ 90,142 3,575,933 Exelon Corp.+ 43,900 2,657,706 Korea Electric Power Corp. -- SP ADR 108,400 2,119,220 Southern Co.+ 59,900 2,064,154 FPL Group, Inc.+ 39,600 1,782,000 Scottish Power, Inc. -- SP ADR 36,548 1,774,771 FirstEnergy Corp. 31,100 1,737,246 Entergy Corp. 20,600 1,611,538 American Electric Power Co., Inc. 42,300 1,538,451 Edison International+ 35,500 1,478,220 Progress Energy, Inc.+ 31,500 1,429,470 PPL Corp. 42,500 1,398,250 Allegheny Energy, Inc.* 24,500 984,165 Black Hills Corp. 27,044 908,949 Pepco Holdings, Inc.+ 35,700 862,869 Pinnacle West Capital Corp.+ 19,100 860,455 TXU Corp. 162 10,128 -------------- TOTAL ELECTRIC UTILITIES 26,793,525 -------------- MULTI-UTILITIES 0.3% Ormat Technologies, Inc.+ 30,178 987,424 -------------- TOTAL MULTI-UTILITIES 987,424 -------------- TOTAL UTILITIES 27,780,949 -------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MATERIALS 8.0% METALS & MINING 8.0% BHP Billiton Ltd. -- SP ADR+ 96,154 $ 3,642,313 Rio Tinto PLC -- SP ADR+ 14,778 2,802,352 Companhia Vale do Rio Doce -- SP ADR 103,894 2,239,955 Falconbridge Ltd.+ 36,475 2,039,317 POSCO -- SP ADR+ 26,480 1,719,346 Mittal Steel NV Co. -- Class A 48,147 1,672,627 Alcoa, Inc. 55,997 1,570,156 Nucor Corp.+ 30,128 1,491,035 Anglo American PLC -- ADR 68,536 1,446,109 Barrick Gold Corp.+ 45,308 1,391,862 Newmont Mining Corp. 30,069 1,285,450 Alcan, Inc. 29,601 1,180,192 Freeport-McMoRan Copper & Gold, Inc. -- Class B+ 18,140 966,136 AngloGold Ashanti Ltd. -- SP ADR 24,054 907,798 Phelps Dodge Corp. 8,731 739,516 -------------- TOTAL METALS & MINING 25,094,164 -------------- TOTAL MATERIALS 25,094,164 -------------- INFORMATION TECHNOLOGY 7.6% SOFTWARE 7.6% Microsoft Corp. 196,600 5,373,078 Oracle Corp.* 167,800 2,976,772 SAP AG -- SP ADR+ 52,200 2,583,900 Nintendo Co., Ltd. -- SP ADR+ 70,300 1,817,255 Symantec Corp.*+ 68,000 1,447,040 Adobe Systems, Inc.* 38,200 1,430,590 Electronic Arts, Inc.* 23,500 1,308,480 CA, Inc. 51,900 1,229,511 Intuit, Inc.* 32,300 1,036,507 Amdocs, Ltd.* 23,900 946,440 Autodesk, Inc.* 25,500 886,890 Citrix Systems, Inc.* 21,800 789,378 BMC Software, Inc.* 28,500 775,770 BEA Systems, Inc.* 48,500 737,200 Cadence Design Systems, Inc.* 42,500 720,800 -------------- TOTAL SOFTWARE 24,059,611 -------------- TOTAL INFORMATION TECHNOLOGY 24,059,611 -------------- TELECOMMUNICATION SERVICES 7.2% WIRELESS TELECOMMUNICATION SERVICES 7.2% China Mobile Hong Kong Ltd. -- SP ADR 98,400 3,478,440 Vodafone Group, Inc. -- SP ADR 141,300 3,230,118 America Movil SA de CV -- SP ADR 63,600 2,503,932 Sprint Nextel Corp. 128,400 2,202,060 Alltel Corp. 25,100 1,393,050 34 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED) September 30, 2006 - -------------------------------------------------------------------------------- SECTOR ROTATION FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Rogers Communications, Inc. -- Class B 22,500 $ 1,234,575 American Tower Corp. -- Class A* 32,400 1,182,600 Mobile Telesystems -- SP ADR 30,500 1,151,985 SK Telecom Co., Ltd. -- SP ADR 48,500 1,146,055 Vimpel--Communications -- SP ADR* 16,500 999,735 Turkcell Iletisim Hizmet AS, Inc. -- SP ADR 73,800 981,540 NII Holdings, Inc. -- Class B* 14,900 926,184 Crown Castle International Corp.* 23,000 810,520 Philippine Long Distance Telephone Co. -- SP ADR 18,000 784,080 U.S. Cellular Corp.* 11,642 695,028 -------------- TOTAL WIRELESS TELECOMMUNICATION SERVICES 22,719,902 -------------- TOTAL TELECOMMUNICATION SERVICES 22,719,902 -------------- TOTAL COMMON STOCKS (Cost $303,501,144) 313,495,773 -------------- FACE AMOUNT ------------ SECURITIES LENDING COLLATERAL 22.3% Investment in Securities Lending Short Term Investment Portfolio Held by U.S. Bancorp (Note 8) $ 70,251,053 70,251,053 -------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $70,251,053) 70,251,053 -------------- TOTAL INVESTMENTS 121.8% (Cost $373,752,197) $ 383,746,826 ============== LIABILITIES IN EXCESS OF OTHER ASSETS - (21.8)% $ (68,706,215) ============== NET ASSETS - 100.0% $ 315,040,611 * NON-INCOME PRODUCING SECURITY. + ALL OR A PORTION OF THIS SECURITY IS ON LOAN AT SEPTEMBER 30, 2006 - SEE NOTE 8. ADR--AMERICAN DEPOSITORY RECEIPT. REIT--REAL ESTATE INVESTMENT TRUST. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 35 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2006 - --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED MULTI-CAP SECTOR STRATEGIES EQUITY CORE EQUITY ROTATION FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------- ASSETS Securities at Value* (Notes 1, 2, 5 and 8) $ 172,651,667 $ 37,348,910 $ 89,089,205 $ 383,746,826 Segregated Cash with Broker 12,361,078 2,664,852 22,050 -- Receivable for Short Sale 80,969,710 25,231,982 -- -- Receivable for Equity Index Swap Settlement (Note 1) 103,661 -- -- -- Receivable for Securities Sold (Note 1) 1,842,008 381,455 -- 25,396,866 Receivable for Fund Shares Purchased 1,002,652 69,115 149,879 1,441,182 Investment Income Receivable (Note 1) 359,194 96,121 80,892 597,252 Other Assets 23,986 -- -- -- - -------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 269,313,956 65,792,435 89,342,026 411,182,126 ========================================================================================================================== LIABILITIES Short Sales at Market Value** (Notes 1 and 2) 83,255,789 25,724,276 -- -- Payable for Futures Contracts Settlement (Note 1) 311,079 67,700 893 -- Payable upon Return of Securities Loaned (Note 8) -- -- 14,529,980 70,251,053 Payable for Securities Purchased (Note 1) 2,012,702 379,789 -- 22,722,738 Liability for Fund Shares Redeemed 193,148 126,315 80,803 1,647,298 Investment Advisory Fees Payable (Note 3) 172,452 35,634 30,199 247,135 Transfer Agent and Administrative Fees Payable (Note 3) -- -- 15,749 68,649 Distribution and Service Fees Payable (Note 3) 18,491 4,007 11,199 46,522 Portfolio Accounting Fees Payable (Note 3) -- -- 6,300 25,903 Custody Fees Payable -- -- 2,759 7,320 Cash Due to Custodian Bank -- 2,915,224 -- 983,865 Short Sales Dividends Payable 48,895 11,651 -- -- Other Liabilities -- -- 31,006 141,032 - -------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 86,012,556 29,264,596 14,708,888 96,141,515 ========================================================================================================================== NET ASSETS $ 183,301,400 $ 36,527,839 $ 74,633,138 $ 315,040,611 ========================================================================================================================== NET ASSETS CONSIST OF Paid-In Capital 181,638,314 36,004,594 60,545,261 306,893,535 Undistributed Net Investment Income (Loss) 1,814,048 486,641 (129,481) (813,926) Accumulated Net Realized Gain (Loss) on Investments, Credit Default Swaps, and Futures Contracts (697,828) (140,233) 4,923,904 (1,033,627) Net Unrealized Appreciation on Investments, Credit Default Swaps, and Futures Contracts 546,866 176,837 9,293,454 9,994,629 ========================================================================================================================== NET ASSETS $ 183,301,400 $ 36,527,839 $ 74,633,138 $ 315,040,611 ========================================================================================================================== A-Class $ 21,427,918 $ 4,009,372 $ 4,773,553 $ 41,215,405 C-Class 30,013,676 7,327,363 29,938,698 120,322,693 H-Class 131,859,806 25,191,104 39,920,887 153,502,513 SHARES OUTSTANDING A-Class 828,236 154,949 288,457 3,217,961 C-Class 1,169,224 285,308 1,870,345 9,689,553 H-Class 5,094,846 973,338 2,412,577 11,950,698 NET ASSET VALUES A-Class $ 25.87 $ 25.88 $ 16.55 $ 12.81 A-Class Maximum Offering Price*** 27.16 27.17 17.38 13.45 C-Class 25.67 25.68 16.01 12.42 H-Class 25.88 25.88 16.55 12.84
* THE COST OF SECURITIES AT VALUE IS $170,855,919, $36,967,347, $79,800,873 AND $373,752,197, RESPECTIVELY. ** THE PROCEEDS OF SHORT SALES AT MARKET VALUE IS $80,969,710, $25,231,982, $0, AND $0, RESPECTIVELY. *** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE. 36 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. STATEMENTS OF OPERATIONS (UNAUDITED) Period Ended September 30, 2006 - --------------------------------------------------------------------------------
ABSOLUTE RETURN HEDGED MULTI-CAP SECTOR STRATEGIES EQUITY CORE EQUITY ROTATION FUND FUND FUND FUND - -------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (Note 1) $ 2,124,728 $ 624,267 $ 59,432 $ 92,812 Interest from Securities Lending, net (Note 8) -- -- 8,680 81,979 Dividends, Net of Foreign Tax Withheld* (Note 1) 565,420 120,398 518,135 2,648,400 Other Income 128,627 38,862 -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Income 2,818,775 783,527 586,247 2,823,191 - -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment Advisory Fees (Note 3) 686,683 176,799 295,724 1,707,075 Transfer Agent and Administrative Fees (Note 3) -- -- 99,009 474,188 Distribution & Service Fees (Note 3): A-Class 14,773 3,804 4,165 51,093 C-Class 92,624 28,106 151,499 624,655 H-Class 111,349 27,604 56,970 266,931 Portfolio Accounting Fees (Note 3) -- -- 39,604 173,420 Short Sales Dividend Expense (Note 1) 234,264 88,480 -- -- Trustees' Fees** 2,808 871 2,866 12,989 Custody Fees 9,874 2,901 13,312 74,211 Miscellaneous (12,682) (3,772) 52,579 252,555 - -------------------------------------------------------------------------------------------------------------------------- Total Expenses 1,139,693 324,793 715,728 3,637,117 - -------------------------------------------------------------------------------------------------------------------------- Net Investment Income (Loss) 1,679,082 458,734 (129,481) (813,926) - -------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Gain (Loss) on: Investment Securities (3,046,207) 86,268 2,865,487 (10,123,284) Futures Contracts (405,905) (324,370) (420,327) -- Securities Sold Short 2,920,782 57,430 -- -- - -------------------------------------------------------------------------------------------------------------------------- Total Net Realized Gain (Loss) (531,330) (180,672) 2,445,160 (10,123,284) - -------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 1,217,544 (155,410) (4,003,850) (35,806,801) Credit Default Swaps 162,999 -- -- -- Futures Contracts 682,949 54,002 (72,425) -- Securities Sold Short (1,913,622) (120,377) -- -- - -------------------------------------------------------------------------------------------------------------------------- Net Change in Unrealized Appreciation (Depreciation) 149,870 (221,785) (4,076,275) (35,806,801) - -------------------------------------------------------------------------------------------------------------------------- Net Loss on Investments (381,460) (402,457) (1,631,115) (45,930,085) - -------------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $ 1,297,622 $ 56,277 $ (1,760,596) $ (46,744,011) - --------------------------------------------------------------------------------------------------------------------------
* FOREIGN TAX WITHHELD OF $762, $322, $0, AND $58,230, RESPECTIVELY. ** RELATES TO TRUSTEES NOT DEEMED "INTERESTED PERSONS" WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 37 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
ABSOLUTE RETURN STRATEGIES FUND HEDGED EQUITY FUND - ----------------------------------------------------------------------------------------------------------------------- PERIOD PERIOD PERIOD PERIOD ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006* 2006+ 2006* - ----------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 1,679,082 $ 188,674 $ 458,734 $ 91,813 Net Realized Gain (Loss) on Investments (531,330) (165,703) (180,672) 41,571 Net Change in Unrealized Appreciation (Depreciation) on Investments 149,870 396,996 (221,785) 398,622 - ----------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS 1,297,622 419,967 56,277 532,006 - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income A-Class -- (4,056) -- (2,041) C-Class -- (5,161) -- (2,346) H-Class -- (26,307) -- (16,727) Realized Gain on Investment A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS -- (35,524) -- (21,114) ======================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED A-Class 17,192,528 5,923,913 2,645,418 1,744,267 C-Class 26,710,368 7,650,488 5,893,038 4,220,376 H-Class 137,313,519 39,257,415 16,339,163 21,043,451 REDEMPTION FEES COLLECTED A-Class 5,970 496 1,264 340 C-Class 9,983 1,982 2,351 4,855 H-Class 48,258 38,128 9,372 10,849 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT A-Class -- 3,202 -- 1,865 C-Class -- 4,845 -- 2,054 H-Class -- 21,204 -- 13,916 COST OF SHARES REDEEMED A-Class (1,709,291) (196,629) (327,246) (121,004) C-Class (4,245,433) (354,008) (1,497,428) (1,354,798) H-Class (37,261,609) (8,795,994) (8,544,108) (4,127,325) ======================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS 138,064,293 43,555,042 14,521,824 21,438,846 - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets 139,361,915 43,939,485 14,578,101 21,949,738 NET ASSETS -- BEGINNING OF PERIOD 43,939,485 -- 21,949,738 -- ======================================================================================================================= NET ASSETS -- END OF PERIOD $ 183,301,400 $ 43,939,485 $ 36,527,839 $ 21,949,738 ======================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,814,048 $ 134,966 $ 486,641 $ 27,907 =======================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 19, 2005. + UNAUDITED. 38 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. - --------------------------------------------------------------------------------
MULTI-CAP CORE EQUITY FUND SECTOR ROTATION FUND - ----------------------------------------------------------------------------------------------------------------------- PERIOD YEAR PERIOD YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 - ----------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ (129,481) $ (341,616) $ (813,926) $ (985,900) Net Realized Gain (Loss) on Investments 2,445,160 6,796,622 (10,123,284) 21,885,548 Net Change in Unrealized Appreciation (Depreciation) on Investments (4,076,275) 6,242,318 (35,806,801) 30,553,890 - ----------------------------------------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS (1,760,596) 12,697,324 (46,744,011) 51,453,538 - ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: (NOTE 1) Net Investment Income A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- Realized Gain on Investment A-Class -- (129,165) -- -- C-Class -- (1,805,667) -- -- H-Class -- (2,675,295) -- -- - ----------------------------------------------------------------------------------------------------------------------- TOTAL DISTRIBUTIONS TO SHAREHOLDERS -- (4,610,127) -- -- ======================================================================================================================= SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED A-Class 2,621,986 2,331,697 31,815,897 37,159,887 C-Class 9,102,249 12,246,181 61,417,131 79,369,448 H-Class 27,637,639 81,410,235 186,339,295 294,322,484 REDEMPTION FEES COLLECTED A-Class -- -- -- -- C-Class -- -- -- -- H-Class -- -- -- -- VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT A-Class -- 93,039 -- -- C-Class -- 1,724,465 -- -- H-Class -- 2,369,773 -- -- COST OF SHARES REDEEMED A-Class (926,474) (469,894) (16,539,633) (12,405,032) C-Class (9,691,171) (20,920,892) (45,397,995) (33,199,991) H-Class (39,732,876) (86,327,879) (250,555,074) (136,313,098) ======================================================================================================================= NET INCREASE (DECREASE) IN NET ASSETS FROM SHARE TRANSACTIONS (10,988,647) (7,543,275) (32,920,379) 228,933,698 - ----------------------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets (12,749,243) 543,922 (79,664,390) 280,387,236 NET ASSETS -- BEGINNING OF PERIOD 87,382,381 86,838,459 394,705,001 114,317,765 ======================================================================================================================= NET ASSETS -- END OF PERIOD $ 74,633,138 $ 87,382,381 $ 315,040,611 $ 394,705,001 ======================================================================================================================= UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (129,481) $ -- $ (813,926) $ -- =======================================================================================================================
See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 39 FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, NET UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INVESTMENT GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED TOTAL OF PERIOD INCOME+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS DISTRIBUTIONS - ------------------------------------------------------------------------------------------------------------------------------------ ABSOLUTE RETURN STRATEGIES FUND A-CLASS SEPTEMBER 30, 2006# $ 25.52 $ .36 $ (.01) $ .35 $ -- $ -- $ -- March 31, 2006* 25.00 .29 .30 .59 (.07) -- (.07) ABSOLUTE RETURN STRATEGIES FUND C-CLASS SEPTEMBER 30, 2006# 25.42 .27 (.02) .25 -- -- -- March 31, 2006* 25.00 .19 .30 .49 (.07) -- (.07) ABSOLUTE RETURN STRATEGIES FUND H-CLASS SEPTEMBER 30, 2006# 25.53 .37 (.02) .35 -- -- -- March 31, 2006* 25.00 .29 .31 .60 (.07) -- (.07) HEDGED EQUITY FUND A-CLASS SEPTEMBER 30, 2006# 25.86 .40 (.38) .02 -- -- -- March 31, 2006* 25.00 .26 .69 .95 (.09) -- (.09) HEDGED EQUITY FUND C-CLASS SEPTEMBER 30, 2006# 25.76 .30 (.38) (.08) -- -- -- March 31, 2006* 25.00 .16 .69 .85 (.09) -- (.09) HEDGED EQUITY FUND H-CLASS SEPTEMBER 30, 2006# 25.86 .40 (.38) .02 -- -- -- March 31, 2006* 25.00 .26 .69 .95 (.09) -- (.09) RATIOS TO AVERAGE NET ASSETS: NET INCREASE NET ASSET ------------------------------------------ NET ASSETS, (DECREASE) VALUE, TOTAL NET PORTFOLIO END OF IN NET ASSET END OF INVESTMENT GROSS NET OPERATING INVESTMENT TURNOVER PERIOD (000'S VALUE PERIOD RETURN EXPENSES EXPENSES EXPENSES++ INCOME RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------------ ABSOLUTE RETURN STRATEGIES FUND A-CLASS SEPTEMBER 30, 2006# $ .35 $ 25.87 1.37% 1.82%** 1.82%** 1.43%** 2.86%** 110% $ 21,428 March 31, 2006* .52 25.52 2.36% 1.87%** 1.87%** 1.45%** 2.20%** 127% 5,791 ABSOLUTE RETURN STRATEGIES FUND C-CLASS SEPTEMBER 30, 2006# .25 25.67 0.98% 2.57%** 2.57%** 2.18%** 2.11%** 110% 30,014 March 31, 2006* .42 25.42 1.96% 2.65%** 2.65%** 2.23%** 1.42%** 127% 7,352 ABSOLUTE RETURN STRATEGIES FUND H-CLASS SEPTEMBER 30, 2006# .35 25.88 1.37% 1.80%** 1.80%** 1.41%** 2.97%** 110% 131,860 March 31, 2006* .53 25.53 2.40% 1.83%** 1.83%** 1.41%** 2.18%** 127% 30,796 HEDGED EQUITY FUND A-CLASS SEPTEMBER 30, 2006# .02 25.88 0.08% 1.97%** 1.97%** 1.40%** 3.15%** 102% 4,009 March 31, 2006* .86 25.86 3.81% 2.10%** 2.10%** 1.44%** 1.91%** 159% 1,672 HEDGED EQUITY FUND C-CLASS SEPTEMBER 30, 2006# (.08) 25.68 (0.31)% 2.73%** 2.73%** 2.16%** 2.38%** 102% 7,327 March 31, 2006* .76 25.76 3.41% 2.86%** 2.86%** 2.20%** 1.16%** 159% 2,957 HEDGED EQUITY FUND H-CLASS SEPTEMBER 30, 2006# .02 25.88 0.08% 1.97%** 1.97%** 1.40%** 3.11%** 102% 25,191 March 31, 2006* .86 25.86 3.81% 2.07%** 2.07%** 1.41%** 1.96%** 159% 17,321
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 19, 2005. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ++ OPERATING EXPENSES EXCLUDES SHORT DIVIDEND EXPENSE. # UNAUDITED 40 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FINANCIAL HIGHLIGHTS (CONCLUDED) - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET INCREASE NET ASSET NET AND (DECREASE) DISTRIBUTIONS DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED IN NET ASSET FROM NET FROM NET BEGINNING INCOME GAINS (LOSSES) VALUE RESULTING INVESTMENT REALIZED OF PERIOD (LOSS)+ ON SECURITIES FROM OPERATIONS INCOME CAPITAL GAINS - ------------------------------------------------------------------------------------------------------------------------------- MULTI-CAP CORE EQUITY FUND A-CLASS SEPTEMBER 30, 2006# $ 16.72 $ -- $ (.17) $ (.17) $ -- $ -- March 31, 2006 15.01 (.01) 2.59 2.58 -- (.87) March 31, 2005 14.44 .02 1.16 1.18 -- (.61) March 31, 2004* 14.44 -- -- -- -- -- MULTI-CAP CORE EQUITY FUND C-CLASS SEPTEMBER 30, 2006# 16.24 (.06) (.17) (.23) -- -- March 31, 2006 14.71 (.13) 2.53 2.40 -- (.87) March 31, 2005 14.27 (.10) 1.15 1.05 -- (.61) March 31, 2004 10.11 (.11) 4.38 4.27 -- (.11) March 31, 2003* 10.00 (.03) .14 .11 -- -- MULTI-CAP CORE EQUITY FUND H-CLASS SEPTEMBER 30, 2006# 16.72 -- (.17) (.17) -- -- March 31, 2006 15.01 (.02) 2.60 2.58 -- (.87) March 31, 2005 14.44 -- 1.18 1.18 -- (.61) March 31, 2004 10.15 (.01) 4.41 4.40 -- (.11) March 31, 2003* 10.00 .01 .14 .15 -- -- SECTOR ROTATION FUND A-CLASS SEPTEMBER 30, 2006# 14.15 (.01) (1.33) (1.34) -- -- March 31, 2006 11.10 (.04) 3.09 3.05 -- -- March 31, 2005 10.45 (.02) .67 .65 -- -- March 31, 2004* 10.45 -- -- -- -- -- SECTOR ROTATION FUND C-CLASS SEPTEMBER 30, 2006# 13.76 (.06) (1.28) (1.34) -- -- March 31, 2006 10.87 (.12) 3.01 2.89 -- -- March 31, 2005 10.30 (.10) .67 .57 -- -- March 31, 2004 7.53 (.16) 2.93 2.77 -- -- March 31, 2003 9.99 (.07) (2.39) (2.46) -- -- March 31, 2002* 10.00 -- (.01) (.01) -- -- SECTOR ROTATION FUND H-CLASS SEPTEMBER 30, 2006# 14.18 (.02) (1.32) (1.34) -- -- March 31, 2006 11.12 (.03) 3.09 3.06 -- -- March 31, 2005 10.45 (.03) .70 .67 -- -- March 31, 2004 7.58 (.09) 2.96 2.87 -- -- March 31, 2003 9.99 (.01) (2.40) (2.41) -- -- March 31, 2002* 10.00 -- (.01) (.01) -- -- RATIOS TO AVERAGE NET ASSETS: ------------------- NET INCREASE NET ASSET NET NET ASSETS, (DECREASE) VALUE, TOTAL INVESTMENT PORTFOLIO END OF TOTAL IN NET END OF INVESTMENT TOTAL INCOME TURNOVER PERIOD (000'S DISTRIBUTIONS ASSET VALUE PERIOD RETURN EXPENSES (LOSS) RATE*** OMITTED) - ------------------------------------------------------------------------------------------------------------------------------------ MULTI-CAP CORE EQUITY FUND A-CLASS SEPTEMBER 30, 2006# $ -- $ (.17) $ 16.55 (1.02)% 1.49%** (0.01)%** 44% $ 4,774 March 31, 2006 (.87) 1.71 16.72 17.55% 1.66% (0.08)% 168% 3,079 March 31, 2005 (.61) .57 15.01 8.16% 1.57% 0.16% 159% 906 March 31, 2004* -- -- 14.44 0.00% 0.00%**@ 0.00%** 226% 1 MULTI-CAP CORE EQUITY FUND C-CLASS SEPTEMBER 30, 2006# -- (.23) 16.01 (1.42)% 2.25%** (0.78)%** 44% 29,939 March 31, 2006 (.87) 1.53 16.24 16.68% 2.40% (0.87)% 168% 30,981 March 31, 2005 (.61) .44 14.71 7.34% 2.31% (0.71)% 159% 34,793 March 31, 2004 (.11) 4.16 14.27 42.29% 2.24% (0.87)% 226% 23,811 March 31, 2003* -- .11 10.11 1.10% 2.41%** (0.48)%** 123% 5,771 MULTI-CAP CORE EQUITY FUND H-CLASS SEPTEMBER 30, 2006# -- (.17) 16.55 (1.02)% 1.51%** (0.05)%** 44% 39,921 March 31, 2006 (.87) 1.71 16.72 17.55% 1.64% (0.11)% 168% 53,323 March 31, 2005 (.61) .57 15.01 8.16% 1.56% 0.03% 159% 51,139 March 31, 2004 (.11) 4.29 14.44 43.41% 1.49% (0.11)% 226% 42,568 March 31, 2003* -- .15 10.15 1.50% 1.67%** 0.22%** 123% 18,516 SECTOR ROTATION FUND A-CLASS SEPTEMBER 30, 2006# -- (1.34) 12.81 (9.47)% 1.67%** (0.10)%** 196% 41,215 March 31, 2006 -- 3.05 14.15 27.48% 1.67% (0.33)% 263% 30,593 March 31, 2005 -- .65 11.10 6.22% 1.63% (0.19)% 262% 2,989 March 31, 2004* -- -- 10.45 0.00% 0.00%**@ 0.00%** 253% 5 SECTOR ROTATION FUND C-CLASS SEPTEMBER 30, 2006# -- (1.34) 12.42 (9.74)% 2.41%** (0.88)%** 196% 120,323 March 31, 2006 -- 2.89 13.76 26.59% 2.41% (0.95)% 263% 118,083 March 31, 2005 -- .57 10.87 5.53% 2.38% (1.03)% 262% 54,604 March 31, 2004 -- 2.77 10.30 36.79% 2.41% (1.66)% 253% 59,192 March 31, 2003 -- (2.46) 7.53 (24.62)% 2.44% (0.83)% 451% 17,538 March 31, 2002* -- (.01) 9.99 (0.10)% 2.44%** (1.86)%** -- 5,150 SECTOR ROTATION FUND H-CLASS SEPTEMBER 30, 2006# -- (1.34) 12.84 (9.45)% 1.66%** (0.22)%** 196% 153,503 March 31, 2006 -- 3.06 14.18 27.52% 1.66% (0.25)% 263% 246,029 March 31, 2005 -- .67 11.12 6.41% 1.64% (0.31)% 262% 56,725 March 31, 2004 -- 2.87 10.45 37.86% 1.66% (0.88)% 253% 86,677 March 31, 2003 -- (2.41) 7.58 (24.12)% 1.68% (0.08)% 451% 34,845 March 31, 2002* -- (.01) 9.99 (0.10)% 1.69%** (1.13)%** -- 18,055
* SINCE THE COMMENCEMENT OF OPERATIONS: MARCH 22, 2002--SECTOR ROTATION FUND C-CLASS AND H-CLASS; SEPTEMBER 23, 2002--MULTI-CAP CORE EQUITY FUND C-CLASS AND H-CLASS; MARCH 31, 2004--MULTI-CAP CORE EQUITY FUND A-CLASS AND SECTOR ROTATION FUND A-CLASS. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. @ EXPENSE RATIOS FOR THE PERIOD ENDED MARCH 31, 2004 ARE CALCULATED FOR ONE DAY ONLY AND ARE NOT INDICATIVE OF FUTURE CLASS PERFORMANCE. # UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 41 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES The Rydex Series Funds (the "Trust") is registered with the SEC under the Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended investment company, and is authorized to issue an unlimited number of no par value shares. The Trust offers five separate classes of shares, Investor Class Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if Shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the net asset value per share, with the exception of A-Class Shares. A-Class Shares are sold at net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount of your purchase, but will not exceed 4.75%. A-Class Share purchases of $1 million or more have a 1% CDSC if Shares are redeemed within 18 months of purchase. The current sales charge rates are as follows: SALES CHARGE SALES CHARGE AS % OF AS % OF NET AMOUNT OF INVESTMENT OFFERING PRICE AMOUNT INVESTED - ----------------------------------------------------------------------------- Less than $100,000 4.75% 4.99% $100,000 but less than $250,000 3.75% 3.90% $250,000 but less than $500,000 2.75% 2.83% $500,000 but less than $1,000,000 1.60% 1.63% $1,000,000 or greater 0.00% 0.00% At September 30, 2006, the Trust consisted of fifty-three separate series: twenty-six Benchmark Funds, one Money Market Fund, nineteen Sector Funds, four Alternative Strategy Funds and three Essential Portfolio Funds. This report covers the Alternative Strategy Funds (the "Funds"), while the Money Market Fund, the Benchmark Funds, the Sector Funds and the Essential Portfolio Funds are contained in separate reports. As of September 30, 2006, only A-Class, C-Class and H-Class Shares had been issued in the Alternative Strategy Funds. All share classes of the Absolute Return Strategies Fund and the Hedged Equity Fund are subject to a 1% redemption fee when shares are redeemed after being held for less than 30 days. At a meeting on September 25, 2006, the Board of Trustees approved redemption fees of 1% on redemptions of shares held for less than 30 days for all share classes of the Multi-Cap Core Equity Fund and the Sector Rotation Fund. These fees will be effective on January 1, 2007. For the period October 1, 2006 through December 31, 2006, shareholders will be restricted to one substantive redemption out of the Fund followed by a purchase of the Fund during the period. The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. Equity securities listed on an exchange (New York Stock Exchange ("NYSE") or American Stock Exchange) are valued at the last quoted sales price as of close of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the Trust are accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities, if any, are valued at amortized cost, which approximates market value. The value of domestic equity index and credit default swap agreements entered into by the Funds is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE, usally 4:00 p.m., Eastern Time. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. Investments for which market quotations are not readily available, are valued at fair value as determined in good faith by Rydex Investments (the "Advisor") under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and 42 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related-markets. B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. C. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and losses are allocated to the Classes based upon the value of the outstanding shares in each Class. Certain costs, such as distribution fees relating to A-Class Shares and H-Class Shares and service and distribution fees related to C-Class Shares, are charged directly to specific Classes. In addition, certain expenses have been allocated to the individual Funds in the Trust on a pro rata basis upon the respective aggregate net asset value of each Fund included in the Trust. D. Distributions of net investment income and net realized capital gains are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for items such as deferral of wash sales and post-October losses and regulated futures contracts and options. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. E. When a Fund engages in short sales, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A segregated account of cash and/or securities is maintained as collateral for short sales. The Funds are exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Funds must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the purchaser and record this as an expense. Short Dividends or Interest Expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. F. Upon the purchase of an option by a Fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the Fund will realize a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When a Fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When a Fund exercises a call option, the cost of the security that the Fund purchases upon exercise will be increased by the premium originally paid. When a Fund writes (sells) an option, an amount equal to the premium received is entered in the Trust's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). G. The Trust may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. H. The Trust may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, or equity index in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, or equity index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 43 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- I. The Funds seek long-term capital appreciation and respond to the dynamically changing economy by moving their investments among different sectors or industries. The Funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. J. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bancorp. Periodically, a Fund may have cash due to custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and equity index swap agreements. K. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the discount rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity. L. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. 2. FINANCIAL INSTRUMENTS As part of its investment strategy, the Trust may utilize a variety of derivative instruments, including options, futures, options on futures, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. In the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties, which provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or its affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by a Fund involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that a Fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market. The use of swaps involves risks that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, the Funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which a Fund sells a security it does not own. If the security the Fund sold short goes down in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund. The risks inherent in the use of options, futures contracts, options on futures contracts, swap agreements, as well as short sales of securities include i) adverse 44 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Under the terms of an investment advisory contract, the Trust pays the Advisor, an affiliated entity, investment advisory fees calculated at an annualized rate of 0.90% of the average daily net assets of the Sector Rotation Fund and 1.15% of the average daily net assets of the Absolute Return Strategies Fund and the Hedged Equity Fund. As part of its agreement with the Trust, the Advisor will pay all expenses of the Absolute Return Strategies Fund and Hedged Equity Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with execution of portfolio transactions, short dividend expenses, and extraordinary expenses. Also under the terms of the investment advisory contract, the Trustees voted to implement a performance adjustment for the Multi-Cap Core Equity Fund. The Trust pays the Advisor investment advisory fees calculated at a basic annual fee rate of 0.70% of the average daily net assets of this Fund, adding or subtracting a performance rate up to 0.20%. The basic annual fee rate, along with the performance adjustment allows the total fee to increase to a maximum of 0.90% or decrease to a minimum of 0.50%, depending on the investment performance of the Fund relative to the Russell 3000 Index (the "Index"). The performance comparison will be made for a rolling 12-month period, with performance adjustments made at the end of each month. Because the performance adjustment is applied relative to the performance of the Index, the Advisor could receive a positive performance adjustment even during periods where the Fund's performance is negative. At September 30, 2006, the effective management fee was 0.50% of the Fund's average daily net assets. Certain officers and trustees of the Trust are also officers of the Advisor. Rydex Investments, an affiliated entity, provides transfer agent and administrative services to the Multi-Cap Core Equity Fund and Sector Rotation Fund for fees calculated at an annualized rate of 0.25% of the average daily net assets of these Funds. The Servicer also provides transfer agent and administrative services to the Absolute Return Strategies Fund and the Hedged Equity Fund, however the related fees are paid by the Advisor as noted above. Rydex Investments provides accounting services to the Multi-Cap Core Equity Fund and Sector Rotation Fund calculated at an annualized rate of 0.10% on the first $250 million of the average daily net assets, 0.075% on the next $250 million of the average daily net assets, 0.05% on the next $250 million of the average daily net assets, and 0.03% on the average daily net assets over $750 million of these Funds. Rydex Investments also provides accounting services to the Absolute Return Strategies Fund and the Hedged Equity Fund, however the related fees are paid by the Advisor, as noted above. Certain officers and trustees of the Trust are also officers of Rydex Investments. Rydex Investments also provides other necessary services to the Trust, such as accounting and auditing services, legal services, printing and mailing, etc., on a passthrough basis. Such expenses vary from Fund to Fund and are allocated to the Funds based on relative net assets. Any of these expenses allocated to the Absolute Return Strategies Fund and the Hedged Equity Fund are paid by the Advisor, as noted above. Organizational and setup costs for new funds are paid by the Trust. The Trust has adopted a Distribution Plan applicable to its A-Class Shares and H-Class Shares for which Rydex Distributors, Inc. (the "Distributor"), an affiliated entity, and other firms that provide distribution and/or shareholder services ("Service Providers") may receive compensation. If a Service Provider provides distribution services, the Trust will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service Provider out of its fees. The Trust has adopted a separate Distribution and Shareholder Services Plan applicable to its C-Class Shares that allows the Funds to pay annual distribution and service fees of 1.00% of the Funds' C-Class Shares average daily net assets. The annual 0.25% service fee compensates the shareholder's financial advisor for providing ongoing services to the shareholder. The annual 0.75% distribution fee reimburses the Distributor for paying the shareholder's financial advisor an on-going sales commission. The Distributor advances the first year's service and distribution fees to the Financial Advisor. The Distributor retains the service and distribution fees on accounts with no authorized dealer of record. Certain officers and trustees of the Trust are also officers of the Distributor. 4. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and will distribute all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision is required. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 45 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for derivatives, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This includes net operating losses not utilized during the current period, capital loss carryforward expired, and the utilization of earnings and profits distributed to the shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined. At September 30, 2006, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
TAX NET TAX TAX UNREALIZED UNREALIZED UNREALIZED FUND COST GAIN (LOSS) GAIN - ------------------------------------------------------------------------------------------- Absolute Return Strategies Fund $ 89,886,209 $ 5,854,526 $(5,470,659) $ 383,867 Hedged Equity Fund 11,735,365 1,926,988 (1,750,151) 176,837 Multi-Cap Core Equity Fund 79,800,873 11,521,497 (2,228,043) 9,293,454 Sector Rotation Fund 373,752,197 13,092,241 (3,097,612) 9,994,629
5. REPURCHASE AGREEMENTS The Funds transfer uninvested cash balances into a single joint account, along with uninvested cash balances of the S&P 500 Fund, the OTC Fund, the Mid-Cap Advantage Fund, the Inverse Mid-Cap Fund, the Russell 2000(R) Advantage Fund, the Russell 2000(R) Fund, the Inverse Russell 2000(R) Fund, the Government Long Bond Advantage Fund, the Europe Advantage Fund, the Japan Advantage Fund, the Small-Cap Value Fund, the Mid-Cap Value Fund, the Large-Cap Value Fund, the Small-Cap Growth Fund, the Mid-Cap Growth Fund, the Large-Cap Growth Fund, the Dynamic Strengthening Dollar Fund, the Dynamic Weakening Dollar Fund, the Nova Master Portfolio, the Inverse S&P 500 Master Portfolio, the Inverse OTC Master Portfolio, and the Inverse Government Long Bond Master Portfolio (all included in the Trust, but contained in separate reports). The daily aggregate balance is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury. The collateral is in the possession of the Trust's custodian and is evaluated daily to ensure that its market value exceeds by, at a minimum, 102% of the delivery value of the repurchase agreement at maturity. The repurchase agreements executed by the joint account and outstanding as of September 30, 2006, were as follows:
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE MATURITY VALUE - ------------------------------------------------------------------------------------------------- Bear Stearns and Cos., Inc. 4.80% due 10/02/06 $600,000,000 $ 600,000,000 $ 600,240,000 Morgan Stanley 4.89% due 10/02/06 325,000,000 325,000,000 325,132,438 Credit Suisse First Boston 4.94% due 10/02/06 155,139,690 155,139,690 155,203,556 Mizuho 4.95% due 10/02/06 500,000,000 500,000,000 500,206,250 Lehman Brothers, Inc. 5.00% due 10/02/06 109,323,450 109,323,450 109,369,002 - ------------------------------------------------------------------------------------------------- $1,689,463,140 $1,690,151,246 - -------------------------------------------------------------------------------------------------
As of September 30, 2006, the collateral for the repurchase agreements in the joint account was as follows:
SECURITY TYPE RANGE OF RATES PAR VALUE MARKET VALUE - ------------------------------------------------------------------------------------------------- U. S. Treasury Bonds 6.750% - 8.500% $ 481,470,000 $ 633,622,428 U. S. Treasury Notes 0.875% - 7.500% 754,857,327 779,207,541 U. S. Treasury Bills 0.000% 320,160,000 315,602,626 - ------------------------------------------------------------------------------------------------- $1,728,432,595 - -------------------------------------------------------------------------------------------------
46 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- In the event of counterparty default, the Trust has the right to collect the collateral to offset losses incurred. There is potential loss to the Trust in the event the Trust is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Trust seeks to assert its rights. The Trust's investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the credit worthiness of those banks and dealers with which the Trust enters into repurchase agreements to evaluate potential risks. 6. SECURITIES TRANSACTIONS During the period ended September 30, 2006, cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
ABSOLUTE HEDGED MULTI-CAP SECTOR RETURN STRATEGIES EQUITY CORE EQUITY ROTATION FUND FUND FUND FUND - ------------------------------------------------------------------------------------------- Purchases $ 172,171,073 $33,772,665 $34,365,512 $738,287,077 Sales $ 68,954,794 $17,147,947 $42,110,285 $764,364,963
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 47 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- 7. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the periods presented were:
SHARES PURCHASED PURCHASED THROUGH DIVIDEND REINVESTMENT SHARES REDEEMED - ------------------------------------------------------------------------------------------------------------------------------------ PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, 2006+ 2006 2006+ 2006 2006+ 2006 - ------------------------------------------------------------------------------------------------------------------------------------ ABSOLUTE RETURN STRATEGIES FUND A-Class 667,993 234,585* -- 128* (66,678) (7,792)* C-Class 1,046,526 303,061* -- 194* (166,489) (14,068)* H-Class 5,340,182 1,553,726* -- 848* (1,451,682) (348,228)* HEDGED EQUITY FUND A-Class 103,094 69,350* -- 75* (12,827) (4,743)* C-Class 229,470 167,722* -- 83* (58,952) (53,015)* H-Class 637,597 831,882* -- 560* (334,007) (162,694)* MULTI-CAP CORE EQUITY FUND A-Class 161,195 148,120 -- 5,900 (56,837) (30,237) C-Class 583,279 797,282 -- 112,416 (620,785) (1,366,871) H-Class 1,694,439 5,144,968 -- 150,271 (2,470,272) (5,513,081) SECTOR ROTATION FUND A-Class 2,289,629 2,839,301 -- -- (1,234,273) (945,908) C-Class 4,629,031 6,283,225 -- -- (3,518,887) (2,725,801) H-Class 13,604,276 23,056,754 -- -- (18,999,624) (10,812,313) NET SHARES PURCHASED (REDEEMED) - ---------------------------------------------------------------- PERIOD ENDED PERIOD ENDED SEPTEMBER 30, MARCH 31, 2006+ 2006 - ---------------------------------------------------------------- ABSOLUTE RETURN STRATEGIES FUND A-Class 601,315 226,921* C-Class 880,037 289,187* H-Class 3,888,500 1,206,346* HEDGED EQUITY FUND A-Class 90,267 64,682* C-Class 170,518 114,790* H-Class 303,590 669,748* MULTI-CAP CORE EQUITY FUND A-Class 104,358 123,783 C-Class (37,506) (457,173) H-Class (775,833) (217,842) SECTOR ROTATION FUND A-Class 1,055,356 1,893,393 C-Class 1,110,144 3,557,424 H-Class (5,395,348) 12,244,441
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 19, 2005. + UNAUDITED 48 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- 8. PORTFOLIO SECURITIES LOANED The Trust lends its securities to approved brokers to earn additional income. Within this arrangement, the Trust acts as the lender, U.S. Bancorp acts as the agent, and other approved registered broker dealers act as the borrowers. The Trust receives cash collateral, valued at 100% of the value of the securities on loan, which is initially held in a segregated account at U.S. Bancorp. As agent, U.S. Bancorp may, for investment purposes, pool the Trust's collateral in joint accounts with cash collateral from one or more other securities lending customers of U.S. Bancorp. Under the terms of the Trust's securities lending agreement with U.S. Bancorp, cash collateral may be invested by U.S. Bancorp in certain high quality, liquid investments. At September 30, 2006, the pooled cash collateral investments consisted of repurchase agreements (46.60%), commercial paper (34.12%), fixed income securities (15.48%), guaranteed investment contract (3.67%) and mutual funds (0.13%). Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Fund the next business day. Although the collateral mitigates risk, the Trust could experience a delay in recovering its securities and a possible loss of income or value if the borrower fails to return the securities. The Trust has the right under the securities lending agreement to recover the securities from the borrower on demand. The following represents a breakdown of the collateral, its rates, and maturities:
COLLATERAL TYPE RATES MATURITY - ------------------------------------------------------------------------------------------------------ Repurchase Agreements 5.350% - 5.445% 10/02/06 Commercial Paper 5.300% - 5.432% 10/02/06 - 10/30/06 Corporate Bonds, Notes, and Asset-Backed Securities 5.330% - 5.577% 10/11/06 - 03/06/33 Guaranteed Investment Contract 5.450% 11/24/06 Mutual Funds N/A N/A
At September 30, 2006 the following funds participated in securities lending and received cash collateral:
FUND CASH COLLATERAL VALUE OF SECURITIES LOANED - ------------------------------------------------------------------------------------------------------ Multi-Cap Core Equity Fund $ 14,529,980 $ 13,969,575 Sector Rotation Fund 70,251,053 67,683,898
9. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM: The Board has selected Ernst & Young LLP ("E&Y") to serve as the Funds' independent registered public accounting firm for the fiscal year ended March 31, 2007. The decision to select E&Y was recommended by the Audit Committee and was approved by the Board on September 25, 2006. During the Funds' fiscal years ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor anyone on their behalf consulted with E&Y on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds' financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of said Item 304). The selection of E&Y does not reflect any disagreements with or dissatisfaction by the Funds or the Board with the performance of the Funds' prior auditor, PricewaterhouseCoopers LLP ("PwC"). The decision to dismiss PwC effective upon its completion of its audits for the fiscal year ended March 31, 2006 and to select E&Y was recommended by the Funds' Audit Committee and approved by the Funds' Board of Trustees. PwC's report on the Funds' financial statements for the fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds' fiscal years ended March 31, 2006 and March 31, 2005, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused it to make reference to the subject matter of the disagreements in connection with its report on the Funds' financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation SK under the Securities and Exchange Act of 1934, as amended. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 49 OTHER INFORMATION (UNAUDITED) - -------------------------------------------------------------------------------- PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's site at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES INFORMATION The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Series Funds Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered Rydex Investments' investment processes and strategies, and matters related to Rydex Investments' portfolio transaction policies and procedures. In particular, the Board noted the substantial volume of portfolio trades and 50 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT OTHER INFORMATION (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of a majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 51 OTHER INFORMATION (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. 52 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) - -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- --------------------------------- ------------------ CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II, Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund Services, Inc. and Rydex Distributors, Inc. (1997 to 2000) --------------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 132 Trustee, Vice President Rydex Variable Trust - 2005 (1970) Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors (2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex Distributors, Inc. (2003 to 2004) - -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- --------------------------------- ------------------ JOHN O. DEMARET Rydex Series Funds - 1997 125 Trustee, Chairman of the Rydex Variable Trust - 1998 Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired --------------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 125 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of Marketing/Co-Owner, Schield Management Company --------------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 125 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group ---------------------------------
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 53 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
LENGTH OF SERVICE NAME, POSITION AND AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- --------------------------------- ------------------ WERNER E. KELLER Rydex Series Funds - 2005 125 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) ------------------------------ THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments ------------------------------ PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. ------------------------------ ROGER SOMERS Rydex Series Funds - 1993 125 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS - ----------------------------------- ----------------------------------------- NICK BONOS* Chief Financial Officer of Rydex Vice President and Treasurer (1963) Specialized Products, LLC (2005 to present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Fund Services, Inc. (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Fund Services, Inc. (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Chief Compliance Officer and Funds, Rydex Variable Trust, and Rydex Secretary (1966) Dynamic Funds (2004 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Fund Services, Inc. (2000 to present); Secretary of Rydex Capital Partners SphinX Fund (2003 to 2006) JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Fund Services, Inc. (2004 to present); Director of Accounting of Rydex Fund Services, Inc. (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Controller (1974) Variable Trust, Rydex Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Fund Services, Inc. (2001 to present)
* OFFICERS OF THE FUNDS ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. 54 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- This page intentionally left blank. - -------------------------------------------------------------------------------- This page intentionally left blank. - -------------------------------------------------------------------------------- This page intentionally left blank. [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800-820-0888 RSTF-SEMI-0906X0307 SEPTEMBER 30, 2006 RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ESSENTIAL PORTFOLIOS ESSENTIAL PORTFOLIO CONSERVATIVE FUND ESSENTIAL PORTFOLIO MODERATE FUND ESSENTIAL PORTFOLIO AGGRESSIVE FUND [LOGO] RYDEXINVESTMENTS Essential for modern markets(TM) This report and the financial statements contained herein are submitted for the general information of our shareholders. The report is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Distributed by Rydex Distributors, Inc. TABLE OF CONTENTS - -------------------------------------------------------------------------------- LETTER TO OUR SHAREHOLDERS ................................................ 2 ABOUT SHAREHOLDERS' FUND EXPENSES ......................................... 3 FUND PROFILES ............................................................. 5 SCHEDULES OF INVESTMENTS .................................................. 7 STATEMENTS OF ASSETS AND LIABILITIES ...................................... 10 STATEMENTS OF OPERATIONS .................................................. 11 STATEMENTS OF CHANGES IN NET ASSETS ....................................... 12 FINANCIAL HIGHLIGHTS ...................................................... 13 NOTES TO FINANCIAL STATEMENTS ............................................. 14 OTHER INFORMATION ......................................................... 22 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS ............................. 25 THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 1 LETTER TO OUR SHAREHOLDERS - -------------------------------------------------------------------------------- DEAR SHAREHOLDER: Financial markets over the six-months ended September 30, 2006, were driven by a widely anticipated "soft-landing" in the U.S. economy. This "goldilocks" scenario had economic growth slowing, inflation and interest rates coming down and the Federal Reserve ("Fed") ending its protracted string of increases. In this environment, stocks rallied as corporate earnings continued to grow at double digit rates without competition from higher interest rates. The icing on the cake was relief from higher energy prices, which had risen relentlessly since 2005. While the rally in stocks was fairly broad-based, it definitely exhibited a defensive bias. Large caps, value stocks and traditionally defensive sectors generally outperformed small caps, growth stocks and more aggressive sectors. This pattern is perfectly in keeping with the "late cycle" nature of the stock market rally. Investors wanted to ride prices up, but wanted to hedge their bets at the same time. The large-cap nature of the rally was clearly evident in the performance of the major averages. The home of the country's industrial giants--the Dow Jones Industrial Average(SM)--returned 6.34%, followed by the broader S&P 500(R), which returned 4.14%. If we look at the extremes of the capitalization spectrum, the large-cap bias becomes more evident as the Russell Top 50(TM) Index returned 7.13% for the six month period versus a LOSS of 4.61% for the small-cap Russell 2000(R) Index. In a defensive rally, investors are often wary of overpaying for stocks. That was certainly true as the Russell 1000(R) Value Index returned 5.5% versus a 0.7% decline for the Russell 1000(R) Growth Index. Although developed market international stocks did well as the MSCI EAFE Index gained 3.2%, emerging market stocks fared poorly as the MSCI EM Index fell 1.2%. A major catalyst for the rally in stocks was the rally in bonds. While yields on the short end of the curve actually rose, longer dated maturities rallied with the yield on the benchmark 10-Year Treasury note declining to 4.63% from 4.85% during the six-month period. The catalyst for falling rates was the decline in inflation and the Fed's pause from its extended interest rate increases. The result was a steeply inverted yield curve. Historically, inverted yield curves presage an economic slowdown or recession. While that remains a possibility, the decline in long-term rates also signals the market's anticipation of an eventual easing campaign by the Fed. The performance of stocks at the sector level highlighted the defensive bias towards the gains in stock prices over the past six months. The S&P 500 Utilities sector led the way with a gain of 10.2%. Although telecommunications services, a more aggressive sector, was number two with a gain of 8.1%, consumer staples and financials were the next best performers, gaining 7.5% and 6.5%, respectively. It is worth noting that falling interest rates also helped both financials and utilities. Sectors that typically perform well in a rapidly expanding economic environment, specifically materials, industrials and technology declined between 1.0% and 2.3% as the economy slowed. Going into the fourth quarter, we expect that Gross Domestic Product will pick up slightly, the Fed will remain on hold and equities will remain range-bound. As we head into 2007, we also see the appetite for risk continuing to decline. We appreciate the trust you have placed in our firm by investing with us. Sincerely, /s/ David C. Reilly David C. Reilly, CFA Director of Investment Strategy 2 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) - -------------------------------------------------------------------------------- All mutual funds have operating expenses and it is important for our shareholders to understand the impact of costs on their investments. As a shareholder of the fund, you incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund's gross income and reduce the investment return of the fund. A fund's expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2006 and ending September 30, 2006. The following tables illustrate your fund's costs in two ways: TABLE 1. BASED ON ACTUAL FUND RETURN. This section helps you estimate the actual expenses that you paid over the period. The "Ending Account Value" shown is derived from the fund's actual return, and the fourth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading "Expenses Paid During Period." TABLE 2. BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare your fund's cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the "SEC") requires all mutual funds to calculate expenses based on the 5% return. You can assess your fund's costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. Certain retirement plans such as IRA, Roth IRA and 403(b) accounts are charged an annual $15 maintenance fee. Upon liquidating your retirement account, a $15 account-closing fee will be taken from the proceeds of your redemption. The calculations above assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions. Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs which may be incurred by some of the Fund's classes. These costs may include, but are not limited to, sales charges (loads), redemption fees, and exchange fees. You can find more information about the Fund's expenses, including annual expense ratios for the past five years, in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 3 ABOUT SHAREHOLDERS' FUND EXPENSES (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES EXPENSE ACCOUNT VALUE ACCOUNT VALUE PAID DURING RATIO+ MARCH 31, 2006 SEPTEMBER 30, 2006 PERIOD* - ---------------------------------------------------------------------------------------------------------------- TABLE 1. BASED ON ACTUAL FUND RETURN ESSENTIAL PORTFOLIO CONSERVATIVE FUND** A-Class -- $1,000.00 $1,019.00 $ -- C-Class 0.75% 1,000.00 1,018.00 3.79 H-Class -- 1,000.00 1,020.00 -- ESSENTIAL PORTFOLIO MODERATE FUND** A-Class -- 1,000.00 1,014.00 -- C-Class 0.75% 1,000.00 1,012.00 3.78 H-Class -- 1,000.00 1,014.00 -- ESSENTIAL PORTFOLIO AGGRESSIVE FUND** A-Class -- 1,000.00 1,015.00 -- C-Class 0.75% 1,000.00 1,012.00 3.78 H-Class -- 1,000.00 1,014.00 -- - ---------------------------------------------------------------------------------------------------------------- TABLE 2. BASED ON HYPOTHETICAL 5% RETURN ESSENTIAL PORTFOLIO CONSERVATIVE FUND** A-Class -- 1,000.00 1,025.07 -- C-Class 0.75% 1,000.00 1,021.26 3.81 H-Class -- 1,000.00 1,025.07 -- ESSENTIAL PORTFOLIO MODERATE FUND** A-Class -- 1,000.00 1,025.07 -- C-Class 0.75% 1,000.00 1,021.26 3.81 H-Class -- 1,000.00 1,025.07 -- ESSENTIAL PORTFOLIO AGGRESSIVE FUND** A-Class -- 1,000.00 1,025.07 -- C-Class 0.75% 1,000.00 1,021.26 3.81 H-Class -- 1,000.00 1,025.07 --
* EXPENSES ARE EQUAL TO THE FUND'S ANNUALIZED EXPENSE RATIO, MULTIPLIED BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF DAYS IN THE MOST RECENT FISCAL HALF-YEAR, THEN DIVIDED BY 365. ** SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006. + ANNUALIZED 4 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT FUND PROFILES (UNAUDITED) - -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND OBJECTIVE: To primarily seek preservation of capital and, secondarily, to seek long-term growth of capital. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO CONSERVATIVE FUND - -------------------------------------------------------------------- EXCHANGE TRADED FUNDS 0.1% U.S. EQUITY FUNDS 22.8% U.S. FIXED-INCOME FUND AND MONEY MARKET FUND 42.3% INTERNATIONAL EQUITY FUNDS 7.1% ALTERNATIVE STRATEGIES FUNDS 26.9% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - ---------------------------------------------------------------- A-Class June 30, 2006 C-Class June 30, 2006 H-Class June 30, 2006 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - ---------------------------------------------------------------- Rydex Series Funds -- Government Long Bond Advantage Fund Class A 22.7% Rydex Series Funds -- U.S. Government Money Market Fund Class A 19.6% Rydex Series Funds -- Absolute Return Strategies Fund Class A 18.6% Rydex Series Funds -- Multi-Cap Core Equity Fund Class A 16.0% Rydex Series Funds -- Europe Advantage Fund Class A 7.1% Rydex Series Funds -- Hedged Equity Fund Class A 4.2% Rydex Series Funds -- Small-Cap Value Fund Class A 4.1% Rydex Series Funds -- Commodities Fund Class A 4.0% Rydex Series Funds -- Sector Rotation Fund Class A 2.7% iShares S&P 500 Index Fund 0.1% - ---------------------------------------------------------------- Top Ten Total 99.1% - ---------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. ESSENTIAL PORTFOLIO MODERATE FUND OBJECTIVE: To primarily seek growth of capital and, secondarily, to seek preservation of capital. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) [THE FOLLOWING TABLE WAS REPRESENTED BY A BAR CHART IN THE PRINTED MATERIAL.] ESSENTIAL PORTFOLIO MODERATE FUND - -------------------------------------------------------------------- U.S. EQUITY FUNDS 32.2% U.S. FIXED-INCOME FUND 16.3% INTERNATIONAL EQUITY FUNDS 19.9% ALTERNATIVE STRATEGIES FUNDS 27.3% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - ---------------------------------------------------------------- A-Class June 30, 2006 C-Class June 30, 2006 H-Class June 30, 2006 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - ---------------------------------------------------------------- Rydex Series Funds -- Absolute Return Strategies Fund Class A 18.2% Rydex Series Funds -- Multi-Cap Core Equity Fund Class A 17.3% Rydex Series Funds -- Government Long Bond Advantage Fund Class A 16.3% Rydex Series Funds -- Europe Advantage Fund Class A 11.6% Rydex Series Funds -- Nova Fund Class A 9.8% Rydex Series Funds -- Commodities Fund Class A 9.0% Rydex Series Funds -- Japan Advantage Fund Class A 8.4% Rydex Series Funds -- OTC Fund Class A 5.1% - ---------------------------------------------------------------- Top Ten Total 95.7% - ---------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 5 FUND PROFILES (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO AGGRESSIVE FUND OBJECTIVE: To primarily seek growth of capital. INDUSTRY DIVERSIFICATION (MARKET EXPOSURE AS % OF NET ASSETS) ESSENTIAL PORTFOLIO AGGRESSIVE FUND - -------------------------------------------------------------------- U.S. EQUITY FUNDS 42.1% U.S. FIXED-INCOME FUNDS 7.8% INTERNATIONAL EQUITY FUNDS 24.3% ALTERNATIVE STRATEGIES FUNDS 23.3% "Industry Diversification (Market Exposure as % of Net Assets)" excludes any temporary cash investments. INCEPTION DATES: - ---------------------------------------------------------------- A-Class June 30, 2006 C-Class June 30, 2006 H-Class June 30, 2006 TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) - ---------------------------------------------------------------- Rydex Series Funds -- Multi-Cap Core Equity Fund Class A 17.3% Rydex Series Funds -- Europe Advantage Fund Class A 12.9% Rydex Series Funds -- Absolute Return Strategies Fund Class A 11.9% Rydex Dynamic Funds -- Dynamic S&P 500 Fund Class A 11.5% Rydex Series Funds -- Japan Advantage Fund Class A 11.3% Rydex Series Funds -- Commodities Fund Class A 9.3% Rydex Series Funds -- Government Long Bond Advantage Fund Class A 7.8% Rydex Series Funds -- Sector Rotation Fund Class A 6.3% Rydex Series Funds -- Russell 2000 Advantage Fund Class A 4.0% Rydex Dynamic Funds -- Dynamic OTC Fund Class A 3.1% - ---------------------------------------------------------------- Top Ten Total 95.4% - ---------------------------------------------------------------- "Ten Largest Holdings" exclude any temporary cash or derivative investments. 6 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MUTUAL FUNDS 99.1% Rydex Series Funds -- Government Long Bond Advantage Fund Class A+ 29,273 $ 316,146 Rydex Series Funds -- U.S. Government Money Market Fund Class A+ 272,684 272,684 Rydex Series Funds -- Absolute Return Strategies Fund Class A+ 10,009 258,944 Rydex Series Funds -- Multi-Cap Core Equity Fund Class A+ 13,481 223,116 Rydex Series Funds -- Europe Advantage Fund Class A+ 4,619 99,084 Rydex Series Funds -- Hedged Equity Fund Class A+ 2,270 58,717 Rydex Series Funds -- Small-Cap Value Fund Class A+ 1,789 56,804 Rydex Series Funds -- Commodities Fund Class A*+ 2,314 55,855 Rydex Series Funds -- Sector Rotation Fund Class A*+ 2,929 37,520 ----------- TOTAL MUTUAL FUNDS (Cost $1,368,314) 1,378,870 ----------- EXCHANGE TRADED FUNDS 0.1% iShares S&P 500 Index Fund 3 401 iShares Lehman 20+ Year Treasury Bond Fund 4 358 ----------- TOTAL EXCHANGE TRADED FUNDS (Cost $759) 759 ----------- TOTAL INVESTMENTS 99.2% (Cost $1,369,073) $ 1,379,629 =========== OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% $ 11,024 =========== NET ASSETS - 100.0% $ 1,390,653 * NON-INCOME PRODUCING SECURITY. + AFFILIATED FUND See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 7 SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO MODERATE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MUTUAL FUNDS 95.7% Rydex Series Funds -- Absolute Return Strategies Fund Class A+ 39,307 $ 1,016,876 Rydex Series Funds -- Multi-Cap Core Equity Fund Class A+ 58,168 962,675 Rydex Series Funds -- Government Long Bond Advantage Fund Class A+ 84,277 910,190 Rydex Series Funds -- Europe Advantage Fund Class A+ 30,060 644,792 Rydex Series Funds -- Nova Fund Class A+ 18,858 544,431 Rydex Series Funds -- Commodities Fund Class A*+ 20,813 502,430 Rydex Series Funds -- Japan Advantage Fund Class A*+ 12,453 465,387 Rydex Series Funds -- OTC Fund Class A+ 26,870 284,286 ----------- TOTAL MUTUAL FUNDS (Cost $5,292,693) 5,331,067 ----------- TOTAL INVESTMENTS 95.7% (Cost $5,292,693) $ 5,331,067 =========== OTHER ASSETS IN EXCESS OF LIABILITIES - 4.3% $ 236,672 =========== NET ASSETS - 100.0% $ 5,567,739 * NON-INCOME PRODUCING SECURITY. + AFFILIATED FUND 8 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. SCHEDULE OF INVESTMENTS (UNAUDITED) September 30, 2006 - -------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO AGGRESSIVE FUND - -------------------------------------------------------------------------------- MARKET VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- MUTUAL FUNDS 97.5% Rydex Series Funds -- Multi-Cap Core Equity Fund Class A+ 40,988 $ 678,349 Rydex Series Funds -- Europe Advantage Fund Class A+ 23,694 508,247 Rydex Series Funds -- Absolute Return Strategies Fund Class A+ 18,077 467,657 Rydex Dynamic Funds -- Dynamic S&P 500 Fund Class A+ 10,452 452,062 Rydex Series Funds -- Japan Advantage Fund Class A*+ 11,924 445,608 Rydex Series Funds -- Commodities Fund Class A*+ 15,114 364,854 Rydex Series Funds -- Government Long Bond Advantage Fund Class A+ 28,355 306,235 Rydex Series Funds -- Sector Rotation Fund Class A*+ 19,256 246,675 Rydex Series Funds -- Russell 2000 Advantage Fund Class A*+ 4,590 155,147 Rydex Dynamic Funds -- Dynamic OTC Fund Class A+ 5,829 121,300 Rydex Series Funds -- Hedged Equity Fund Class A+ 3,260 84,346 ----------- TOTAL MUTUAL FUNDS (Cost $3,794,068) 3,830,480 ----------- TOTAL INVESTMENTS 97.5% (Cost $3,794,068) $ 3,830,480 =========== OTHER ASSETS IN EXCESS OF LIABILITIES - 2.5% $ 97,063 =========== NET ASSETS - 100.0% $ 3,927,543 * NON-INCOME PRODUCING SECURITY. + AFFILIATED FUND See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 9 STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2006 - --------------------------------------------------------------------------------
ESSENTIAL ESSENTIAL ESSENTIAL PORTFOLIO PORTFOLIO PORTFOLIO CONSERVATIVE MODERATE AGGRESSIVE FUND FUND FUND - ------------------------------------------------------------------------------------------------------------ ASSETS Securities at Value* (Notes 1 and 2) $ 1,379,629 $ 5,331,067 $ 3,830,480 Segregated Cash with Broker 17,713 -- -- Cash in Custodian Bank 173,024 44,700 13,551 Receivable for Securities Sold (Note 1) -- 759 -- Receivable for Fund Shares Purchased 1,300 219,795 126,435 Investment Income Receivable (Note 1) 1,005 -- 586 - ------------------------------------------------------------------------------------------------------------ TOTAL ASSETS 1,572,671 5,596,321 3,971,052 ============================================================================================================ LIABILITIES Payable for Securities Purchased (Note 1) 181,925 26,667 40,732 Liability for Fund Shares Redeemed -- 1,500 2,500 Distribution and Service Fees Payable (Note 3) 93 415 277 - ------------------------------------------------------------------------------------------------------------ TOTAL LIABILITIES 182,018 28,582 43,509 ============================================================================================================ NET ASSETS $ 1,390,653 $ 5,567,739 $ 3,927,543 ============================================================================================================ NET ASSETS CONSIST OF Paid-In Capital 1,382,530 5,531,405 3,907,225 Undistributed Net Investment Income (Loss) 1,473 (413) (285) Accumulated Net Realized Loss on Investments (3,906) (1,627) (15,809) Net Unrealized Appreciation on Investments 10,556 38,374 36,412 ============================================================================================================ NET ASSETS $ 1,390,653 $ 5,567,739 $ 3,927,543 ============================================================================================================ A-Class $ 212,830 $ 778,084 $ 1,007,840 C-Class 633,596 2,124,364 1,396,290 H-Class 544,227 2,665,291 1,523,413 SHARES OUTSTANDING A-Class 20,883 76,735 99,340 C-Class 62,240 209,938 138,014 H-Class 53,362 262,955 150,194 NET ASSET VALUES A-Class $ 10.19 $ 10.14 $ 10.15 A-Class Maximum Offering Price** 10.70 10.65 10.66 C-Class 10.18 10.12 10.12 H-Class 10.20 10.14 10.14
* THE COST OF SECURITIES AT VALUE IS $1,369,073, $5,292,693 AND $3,794,068, RESPECTIVELY. ** NET ASSET VALUE ADJUSTED FOR SALES CHARGE OF 4.75% OF OFFERING PRICE. 10 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. STATEMENTS OF OPERATIONS (UNAUDITED) Period Ended September 30, 2006 - --------------------------------------------------------------------------------
ESSENTIAL ESSENTIAL ESSENTIAL PORTFOLIO PORTFOLIO PORTFOLIO CONSERVATIVE MODERATE AGGRESSIVE FUND* FUND* FUND* - ------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME Dividends (Note 1) $ 1,837 $ 581 $ 1,003 - ------------------------------------------------------------------------------------------------------------ Total Income 1,837 581 1,003 - ------------------------------------------------------------------------------------------------------------ EXPENSES Distribution & Service Fees (Note 3): C-Class 364 994 1,288 - ------------------------------------------------------------------------------------------------------------ Total Expenses 364 994 1,288 - ------------------------------------------------------------------------------------------------------------ Net Investment Income (Loss) 1,473 (413) (285) ============================================================================================================ REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTE 1) Net Realized Loss on: Investment Securities (3,620) (1,627) (15,809) Securities Sold Short (286) -- -- - ------------------------------------------------------------------------------------------------------------ Total Net Realized Loss (3,906) (1,627) (15,809) - ------------------------------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation (Depreciation) on: Investment Securities 10,556 38,374 36,412 - ------------------------------------------------------------------------------------------------------------ Net Change in Unrealized Appreciation (Depreciation) 10,556 38,374 36,412 - ------------------------------------------------------------------------------------------------------------ Net Gain on Investments 6,650 36,747 20,603 - ------------------------------------------------------------------------------------------------------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $ 8,123 $ 36,334 $ 20,318 ============================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006. See Notes to Financial Statements. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 11 STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO CONSERVATIVE FUND MODERATE FUND AGGRESSIVE FUND - ---------------------------------------------------------------------------------------------------------------------------- PERIOD PERIOD PERIOD ENDED ENDED ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2006*+ 2006*+ 2006*+ - ---------------------------------------------------------------------------------------------------------------------------- FROM OPERATIONS Net Investment Income (Loss) $ 1,473 $ (413) $ (285) Net Realized Loss on Investments (3,906) (1,627) (15,809) Net Change in Unrealized Appreciation (Depreciation) on Investments 10,556 38,374 36,412 - ---------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets from Operations 8,123 36,334 20,318 - ---------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1) -- -- -- ============================================================================================================================ SHARE TRANSACTIONS PROCEEDS FROM SHARES PURCHASED A-Class 210,600 778,083 1,016,015 C-Class 693,005 2,287,272 1,817,538 H-Class 720,134 2,870,429 1,667,807 REDEMPTION FEES COLLECTED A-Class 177 328 1,358 C-Class 324 858 1,870 H-Class 281 1,055 2,053 VALUE OF SHARES PURCHASED THROUGH DIVIDEND REINVESTMENT A-Class -- -- -- C-Class -- -- -- H-Class -- -- -- COST OF SHARES REDEEMED A-Class -- (3,539) (10,500) C-Class (62,880) (181,243) (430,462) H-Class (179,111) (221,838) (158,454) ============================================================================================================================ NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS 1,382,530 5,531,405 3,907,225 - ---------------------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets 1,390,653 5,567,739 3,927,543 NET ASSETS--BEGINNING OF PERIOD -- -- -- ============================================================================================================================ NET ASSETS--END OF PERIOD $ 1,390,653 $ 5,567,739 $ 3,927,543 ============================================================================================================================ UNDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ 1,473 $ (413) $ (285) ============================================================================================================================
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006. + UNAUDITED 12 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT See Notes to Financial Statements. FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.
NET REALIZED NET ASSET AND NET INCREASE DISTRIBUTIONS VALUE, NET UNREALIZED IN NET ASSET FROM NET BEGINNING INVESTMENT GAINS VALUE RESULTING INVESTMENT OF PERIOD INCOME+ ON SECURITIES FROM OPERATIONS INCOME - ------------------------------------------------------------------------------------------------------------------------ ESSENTIAL PORTFOLIO CONSERVATIVE FUND A-CLASS SEPTEMBER 30, 2006*@ $ 10.00 $ .04 $ .15 $ .19 $ -- ESSENTIAL PORTFOLIO CONSERVATIVE FUND C-CLASS SEPTEMBER 30, 2006*@ 10.00 .02 .16 .18 -- ESSENTIAL PORTFOLIO CONSERVATIVE FUND H-CLASS SEPTEMBER 30, 2006*@ 10.00 .04 .16 .20 -- ESSENTIAL PORTFOLIO MODERATE FUND A-CLASS SEPTEMBER 30, 2006*@ 10.00 .01 .13 .14 -- ESSENTIAL PORTFOLIO MODERATE FUND C-CLASS SEPTEMBER 30, 2006*@ 10.00 (.02) .14 .12 -- ESSENTIAL PORTFOLIO MODERATE FUND H-CLASS SEPTEMBER 30, 2006*@ 10.00 -- .14 .14 -- ESSENTIAL PORTFOLIO AGGRESSIVE FUND A-CLASS SEPTEMBER 30, 2006*@ 10.00 .01 .14 .15 -- ESSENTIAL PORTFOLIO AGGRESSIVE FUND C-CLASS SEPTEMBER 30, 2006*@ 10.00 (.01) .13 .12 -- ESSENTIAL PORTFOLIO AGGRESSIVE FUND H-CLASS SEPTEMBER 30, 2006*@ 10.00 .01 .13 .14 -- DISTRIBUTIONS NET ASSET FROM NET NET INCREASE VALUE, TOTAL REALIZED TOTAL IN NET ASSET END OF INVESTMENT CAPITAL GAINS DISTRIBUTIONS VALUE PERIOD RETURN - ------------------------------------------------------------------------------------------------------------------------ ESSENTIAL PORTFOLIO CONSERVATIVE FUND A-CLASS SEPTEMBER 30, 2006*@ $ -- $ -- $ .19 $ 10.19 1.90% ESSENTIAL PORTFOLIO CONSERVATIVE FUND C-CLASS SEPTEMBER 30, 2006*@ -- -- .18 10.18 1.80% ESSENTIAL PORTFOLIO CONSERVATIVE FUND H-CLASS SEPTEMBER 30, 2006*@ -- -- .20 10.20 2.00% ESSENTIAL PORTFOLIO MODERATE FUND A-CLASS SEPTEMBER 30, 2006*@ -- -- .14 10.14 1.40% ESSENTIAL PORTFOLIO MODERATE FUND C-CLASS SEPTEMBER 30, 2006*@ -- -- .12 10.12 1.20% ESSENTIAL PORTFOLIO MODERATE FUND H-CLASS SEPTEMBER 30, 2006*@ -- -- .14 10.14 1.40% ESSENTIAL PORTFOLIO AGGRESSIVE FUND A-CLASS SEPTEMBER 30, 2006*@ -- -- .15 10.15 1.50% ESSENTIAL PORTFOLIO AGGRESSIVE FUND C-CLASS SEPTEMBER 30, 2006*@ -- -- .12 10.12 1.20% ESSENTIAL PORTFOLIO AGGRESSIVE FUND H-CLASS SEPTEMBER 30, 2006*@ -- -- .14 10.14 1.40% RATIOS TO AVERAGE NET ASSETS: ----------------------- NET NET ASSETS, INVESTMENT PORTFOLIO END OF TOTAL INCOME TURNOVER PERIOD (000'S EXPENSES++ (LOSS) RATE*** OMITTED) - --------------------------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND A-CLASS SEPTEMBER 30, 2006*@ -- 1.46%** 41% $ 213 ESSENTIAL PORTFOLIO CONSERVATIVE FUND C-CLASS SEPTEMBER 30, 2006*@ 0.75%** 0.72%** 41% 634 ESSENTIAL PORTFOLIO CONSERVATIVE FUND H-CLASS SEPTEMBER 30, 2006*@ -- 1.40%** 41% 544 ESSENTIAL PORTFOLIO MODERATE FUND A-CLASS SEPTEMBER 30, 2006*@ -- 0.28%** 23% 778 ESSENTIAL PORTFOLIO MODERATE FUND C-CLASS SEPTEMBER 30, 2006*@ 0.75%** (0.64)%** 23% 2,124 ESSENTIAL PORTFOLIO MODERATE FUND H-CLASS SEPTEMBER 30, 2006*@ -- 0.13%** 23% 2,665 ESSENTIAL PORTFOLIO AGGRESSIVE FUND A-CLASS SEPTEMBER 30, 2006*@ -- 0.24%** 50% 1,008 ESSENTIAL PORTFOLIO AGGRESSIVE FUND C-CLASS SEPTEMBER 30, 2006*@ 0.75%** (0.50)%** 50% 1,396 ESSENTIAL PORTFOLIO AGGRESSIVE FUND H-CLASS SEPTEMBER 30, 2006*@ -- 0.27%** 50% 1,523
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006. ** ANNUALIZED *** PORTFOLIO TURNOVER RATE IS CALCULATED WITHOUT REGARD TO SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. + CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD. ++ DOES NOT INCLUDE EXPENSES OF THE UNDERLYING FUNDS IN WHICH THE FUNDS INVEST. THE ANNUALIZED WEIGHTED AVERAGE EXPENSE RATIOS OF THE UNDERLYING FUNDS IN WHICH THE ESSENTIAL PORTFOLIO CONSERVATIVE FUND, THE ESSENTIAL PORTFOLIO MODERATE FUND, AND THE ESSENTIAL PORTFOLIO AGGRESSIVE FUND INVEST ARE 1.45%, 1.51%, AND 1.57%, RESPECTIVELY. @ UNAUDITED THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 13 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES The Rydex Series Funds (the "Trust") is registered with the SEC under the Investment Company Act of 1940 (the "1940 Act") as a non-diversified, open-ended investment company, and is authorized to issue an unlimited number of no par value shares. The Trust offers five separate classes of shares, Investor Class Shares, Advisor Class Shares, A-Class Shares, C-Class Shares, and H-Class Shares. C-Class Shares have a 1% Contingent Deferred Sales Charge ("CDSC") if Shares are redeemed within 12 months of purchase. Sales of shares of each Class are made without a sales charge at the net asset value per share, with the exception of A-Class Shares. A-Class Shares are sold at net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount of your purchase, but will not exceed 4.75%. A-Class Share purchases of $1 million or more have a 1% CDSC if Shares are redeemed within 18 months of purchase. The current sales charge rates are as follows: SALES CHARGE SALES CHARGE AS % OF AS % OF NET AMOUNT OF INVESTMENT OFFERING PRICE AMOUNT INVESTED - -------------------------------------------------------------------------------- Less than $100,000 4.75% 4.99% $100,000 but less than $250,000 3.75% 3.90% $250,000 but less than $500,000 2.75% 2.83% $500,000 but less than $1,000,000 1.60% 1.63% $1,000,000 or greater 0.00% 0.00% At September 30, 2006, the Trust consisted of fifty-three separate series: twenty-six Benchmark Funds, one Money Market Fund, nineteen Sector Funds, four Alternative Strategy Funds, and three Essential Portfolio Funds. This report covers the Essential Portfolio Funds (the "Funds"), while the Benchmark Funds, the Money Market Fund, the Sector Funds, and the Alternative Strategy Funds are contained in separate reports. Each Essential Portfolio Fund is a "fund of funds," which means that each Fund seeks to achieve its investment objective by investing primarily in other Rydex mutual funds (the "underlying funds") instead of in individual securities. At September 30, 2006, only A-Class, C-Class and H-Class Shares had been issued by the Funds. All share classes of the funds are subject to a 1% redemption fee when shares are redeemed after being held for less than 30 days. The following significant accounting policies are in conformity with accounting principles generally accepted in the United States of America and are consistently followed by the Trust. A. Traditional open-end investment companies ("Mutual Funds") are valued at their Net Asset Value (the "NAV") as of the close of business, usually 4:00 p.m., Eastern Time, on the valuation date. Exchange Traded Funds ("ETFs"), and closed-end investment companies ("closed-end funds") are valued at the last quoted sales price. Equity securities of the underlying Funds listed on an exchange (New York Stock Exchange ("NYSE") or American Stock Exchange) are valued at the last quoted sales price as of close of business on the NYSE, usually 4:00 p.m., Eastern Time, on the valuation date. Equity securities of the underlying Funds listed on the Nasdaq market system are valued at the Nasdaq Official Closing Price, usually as of 4:00 p.m., Eastern Time, on the valuation date. Listed options held by the underlying funds are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m., Eastern Time. Over-the-Counter options held by the underlying funds are valued using the average bid price obtained from one or more security dealers. The value of futures contracts purchased and sold by the underlying funds are accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts held by the underlying funds are valued at the last quoted sales price, usually as of 4:00 p.m., Eastern Time, on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., Eastern Time, the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m., Eastern Time, to determine if fair valuation would provide a more accurate valuation. Short-term securities held by the underlying funds are valued at amortized cost, which approximates market value. The value of domestic equity index and credit default swap agreements entered into by the underlying funds is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE, usually 4:00 p.m., Eastern Time. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. The value of foreign equity index, commodity index, and currency index swap agreements entered into by an underlying fund is accounted for using the unrealized 14 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- gain or loss on the agreements that is determined by marking the agreements to the price at which orders are being filled at the close of the NYSE, usually 4:00 p.m., Eastern Time. In the event that no order is filled at 4:00 p.m., Eastern Time, the security dealer provides a fair value quote at which the swap agreement is valued. The swap's market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements. Investments of the underlying funds, including structured notes, for which market quotations are not readily available are valued at fair value as determined in good faith by Rydex Investments (the "Advisor"), an affiliated entity under direction of the Board of Trustees using methods established or ratified by the Board of Trustees. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; (ii) in connection with futures contracts and options thereupon, and other derivative investments, information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market; and (iii) other information and considerations, including current values in related markets. B. Securities transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings of the underlying funds are recorded as realized gains in the respective fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. C. Distributions of net investment income and distributions of net realized capital gains are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for items such as deferral of wash sales and post-October losses. Net investment income and loss, net realized gains and losses, and net assets are not affected by these differences. D. When a Fund, or an underlying Absolute Return Strategies Fund, and/or Hedged Equity Fund engages in a short sale, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund and/or underlying funds maintain a segregated account of cash and/or securities as collateral for short sales. The Fund and/or underlying funds are exposed to market risk based on the amount, if any, that the market value of the security exceeds the market value of the securities in the segregated account. Fees, if any, paid to brokers to borrow securities in connection with short sales are considered part of the cost of short sale transactions. In addition, the Fund and/or underlying funds must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the purchaser and records this as an expense. Short Dividends or Interest Expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. E. Upon the purchase of an option by an underlying fund, the premium paid is recorded as an investment, the value of which is marked-to-market daily. When a purchased option expires, the underlying fund will realize a loss in the amount of the cost of the option. When the underlying fund enters into a closing sale transaction, the underlying fund will realize a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. When an underlying fund exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When an underlying fund exercises a call option, the cost of the security that the underlying fund purchases upon exercise will be increased by the premium originally paid. When an underlying fund writes (sells) an option, an amount equal to the premium received is entered in the Trust's accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the underlying fund enters into a closing purchase transaction, the underlying fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold). F. The underlying funds may purchase or sell stock and bond index futures contracts and options on such futures contracts. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a contract, an underlying fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the underlying fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 15 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- are recorded by the underlying fund as unrealized gains or losses. When the contract is closed, the underlying fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. G. The underlying funds may enter into swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, or equity index in return for periodic payments based on a fixed or variable interest rate or the change in market value of a different equity security, basket of equity securities, equity index, or commodity index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. In accordance with a Revenue Ruling issued by the Internal Revenue Service (the "IRS"), the underlying Commodity Fund will not invest in commodity index swaps after September 30, 2006. H. The underlying funds may invest in structured notes, which are over-the-counter contracts linked to the performance of an underlying benchmark such as interest rates, equity markets, equity indices, commodities indices, corporate credits or foreign exchange markets. A structured note is a type of bond in which an issuer borrows money from investors and pays back the principal, adjusted for performance of the underlying benchmark, at a specified maturity date. In addition, the contract may require periodic interest payments. Structured notes are used to obtain exposure to a market without owning or taking physical custody of securities or commodities. I. The underlying funds' investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The underlying funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain and loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates. J. The underlying funds may enter into forward currency contracts primarily to hedge against foreign currency exchange rate risks on its non-U.S. dollar denominated investment securities. When entering into a forward currency contract, an underlying fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and the corresponding unrealized gain or loss on the contracts is measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. K. The underlying funds may also purchase American Depository Receipts, U.S. Government securities, enter into repurchase agreements, and engage in futures, options and swap transactions. L. The Funds and/or underlying funds may leave cash overnight in their cash account with the custodian, U.S. Bancorp. Periodically, a Fund or underlying fund may have cash due to custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate. Segregated cash with the broker is held as collateral for investments in derivative instruments such as futures contracts and index swap agreements. M. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates reflect the discount rates paid at the time of purchase by the underlying funds. Other securities bear interest payable at fixed dates through maturity. N. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. 2. FINANCIAL INSTRUMENTS As part of their investment strategies, the underlying funds may utilize a variety of derivative instruments, including options, futures, options on futures, structured notes, swap agreements, and short sales. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. 16 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- In the normal course of business, the underlying funds enter into contracts that contain a variety of representations and warranties, which provide general indemnifications. The underlying funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the underlying funds and/or its affiliates that have not yet occurred. However, based on experience, the underlying funds expect the risk of loss to be remote. The risk associated with purchasing options is limited to the premium originally paid. Options written by an underlying fund involve, to varying degrees, risk of loss in excess of the option value reflected in the Statements of Assets and Liabilities. The risk in writing a covered call option is that an underlying fund may forego the opportunity for profit if the market price of the underlying security increases and the option is exercised. The risk in writing a covered put option is that an underlying fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market or, for over-the-counter options, because of the counterparty's inability to perform. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. There are several risks in connection with the use of futures contracts. Futures contracts involve, to varying degrees, risk of loss in excess of amounts reflected in the financial statements. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that an underlying fund may not be able to enter into a closing transaction because of an illiquid secondary market. There are several risks associated with the use of structured notes. Structured securities are leveraged, providing an exposure to the underlying benchmark of three times the face amount and increasing the volatility of each note relative to the change in the underlying linked financial instrument. A highly liquid secondary market may not exist for the structured notes an underlying fund invests in which may make it difficult for the underlying fund to sell the structured notes it holds at an acceptable price or to accurately value them. In addition, structured notes are subject to the risk that the counterparty to the instrument, or issuer, might not pay interest when due or repay principal at maturity of the obligation. Although the Trust will not invest in any structured notes unless the Advisor believes that the issuer is creditworthy, an underlying fund does bear the risk of loss of the amount expected to be received in the event of the default or bankruptcy of the issuer. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The use of swaps involves risks that are different from those associated with ordinary portfolio securities transactions. Swap agreements may be considered to be illiquid. Although the Trust will not enter into any swap agreement unless the Advisor believes that the other party to the transaction is creditworthy, the underlying funds bear the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of the agreement counterparty. The Trust has established strict counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. Short sales are transactions in which a Fund or an underlying Absolute Return Strategies Fund, and/or Hedged Equity Fund sells a security it does not own. If the security the Fund and/or underlying funds sold short goes down in price between the time the Fund and/or underlying funds sell the security and closes its short position, the Fund and/or underlying funds will realize a gain on the transaction. Conversely, if the security goes up in price during the period, the Fund and/or underlying funds will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales. In conjunction with the use of options, futures, options on futures, swap agreements, as well as short sales of securities, the underlying funds are required to maintain collateral in various forms. The underlying funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each underlying fund. The risks inherent in the use of options, futures contracts, options on futures contracts, structured notes, swap agreements, as well as short sales of securities include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 17 NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES As part of its agreement with the Trust, the Advisor will pay all expenses of the Essential Portfolios, including the cost of transfer agency, fund administration, audit and other services, excluding interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with the execution of portfolio transactions, short dividend expenses, and extraordinary expenses. Each Fund will also indirectly bear a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other underlying fund expenses) of the underlying funds in which the Funds invest. In addition, some underlying funds charge redemption fees if a shareholder, including a Fund, redeems shares before the end of the funds' requisite holding period. Therefore, if a Fund sells shares of an underlying fund that are subject to a redemption fee, the Fund will be responsible for paying the redemption fee to the underlying fund. Rydex Investments, an affiliated entity, provides transfer agent and administrative services to the Funds. However, the related fees are paid by the Advisor, as noted above. Rydex Investments also provides accounting services to the Funds. However, the related fees are paid by the Advisor, as noted above. Certain officers and trustees of the Trust are also officers of Rydex Investments. The Funds have not adopted a Distribution Plan and a Shareholder Services Plan with respect to A-Class Shares and H-Class Shares. Instead, the Funds invest in underlying funds that have a distribution plan that allows the underlying funds to pay distribution fees to the Distributor and other firms that provide distribution services ("Service Providers"). The underlying funds will pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 under the 1940 Act, as amended. If a Service Provider provides distribution or shareholder services, the Distributor will, in turn, pay the Service Provider for the services it provides at an annual rate not to exceed 0.25% of the average daily net assets of a Fund. The Funds have adopted a Distribution Plan and a Shareholder Services Plan pursuant to Rule 12b-1 under the 1940 Act, as amended, applicable to C-Class Shares that allows the Funds to pay annual distribution and service fees of 0.75% of the Funds' average daily net assets. The annual 0.50% distribution fee reimburses the Distributor for paying the shareholders' financial advisors an on-going sales commission. The annual 0.25% service fee compensates the shareholders' financials advisors for providing ongoing services to the shareholders. The Distributor advances the first year's distribution and service fees, and retains the distribution and service fees on accounts with no authorized intermediary of record. 4. FEDERAL INCOME TAX INFORMATION The Funds intend to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and will distribute all net investment income and capital gains to shareholders. Therefore, no Federal income tax provision is required. Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for losses deferred due to wash sales, losses deferred due to post-October losses, and excise tax regulations. Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This includes net operating losses not utilized during the current year, capital loss carryforward expired, and the utilization of earnings and profits distributed to the shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year. On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined. 18 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- At September 30, 2006, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
TAX UNREALIZED TAX UNREALIZED NET UNREALIZED FUND TAX COST GAIN LOSS GAIN - ------------------------------------------------------------------------------------------------------------------------ Essential Portfolio Conservative Fund $1,369,073 $14,285 $ (3,729) $10,556 Essential Portfolio Moderate Fund 5,292,693 70,519 (32,145) 38,374 Essential Portfolio Aggressive Fund 3,794,068 64,987 (28,575) 36,412
5. SECURITIES TRANSACTIONS During the period ended September 30, 2006, cost of purchases and proceeds from sales of investment securities, excluding short-term and temporary cash investments, were:
ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO ESSENTIAL PORTFOLIO CONSERVATIVE FUND MODERATE FUND AGGRESSIVE FUND - ------------------------------------------------------------------------------------------------------------------------ Purchases $1,661,765 $5,831,765 $4,828,424 Sales $ 289,073 $ 537,444 $1,018,547
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 19 NOTES TO FINANCIAL STATEMENTS (CONTINUED) - -------------------------------------------------------------------------------- 6. SHARE TRANSACTIONS The Trust is authorized to distribute an unlimited number of no par value shares. Transactions in shares for the periods presented were:
PURCHASED THROUGH SHARES PURCHASED DIVIDEND REINVESTMENT SHARES REDEEMED NET SHARES PURCHASED - ---------------------------------------------------------------------------------------------------------------------------------- PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2006+ 2006+ 2006+ 2006+ - ---------------------------------------------------------------------------------------------------------------------------------- ESSENTIAL PORTFOLIO CONSERVATIVE FUND* A-Class 20,883 -- -- 20,883 C-Class 68,472 -- (6,232) 62,240 H-Class 71,231 -- (17,869) 53,362 ESSENTIAL PORTFOLIO MODERATE FUND* A-Class 77,085 -- (350) 76,735 C-Class 227,918 -- (17,980) 209,938 H-Class 285,239 -- (22,284) 262,955 ESSENTIAL PORTFOLIO AGGRESSIVE FUND* A-Class 100,380 -- (1,040) 99,340 C-Class 180,942 -- (42,928) 138,014 H-Class 165,999 -- (15,805) 150,194
* SINCE THE COMMENCEMENT OF OPERATIONS: JUNE 30, 2006 + UNAUDITED. 20 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- 7. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM The Board has selected Ernst & Young LLP (E&Y) to serve as the Funds' independent registered public accounting firm for the fiscal year ended March 31, 2007. The decision to select E&Y was recommended by the Audit Committee and was approved by the Board on September 25, 2006. During the Funds' fiscal years ended March 31, 2006 and March 31, 2005, none of the Funds, their portfolios nor anyone on their behalf consulted with E&Y on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds' financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of said Item 304). The selection of E&Y does not reflect any disagreements with or dissatisfaction by the Funds or the Board with the performance of the Funds' prior auditor, PricewaterhouseCoopers LLP (PwC). The decision to dismiss PwC effective upon its completion of its audits for the fiscal year ended March 31, 2006 and to select E&Y was recommended by the Funds' Audit Committee and approved by the Funds' Board of Trustees. PwC's report on the Funds' financial statements for the fiscal years ended March 31, 2006 and 2005 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Funds' fiscal years ended March 31, 2006 and March 31, 2005, (i) there were no disagreements with PwC on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PwC, would have caused it to make reference to the subject matter of the disagreements in connection with its report on the Funds' financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation SK under the Securities and Exchange Act of 1934, as amended. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 21 OTHER INFORMATION (UNAUDITED) - -------------------------------------------------------------------------------- PROXY VOTING INFORMATION A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds' portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also available from the EDGAR database on the SEC's website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES INFORMATION The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q; which are available on the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 1-800-820-0888. RYDEX INVESTMENTS BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT The Investment Company Act of 1940 (the "1940 Act") requires that the initial approval of, as well as the continuation of, a fund's investment advisory agreement be specifically approved (1) by the vote of the trustees or by a vote of the shareholders of the fund, and (2) by the vote of a majority of the trustees who are not parties to the investment advisory agreement or "interested persons" of any party (the "Independent Trustees"), cast in person at a meeting called for the purpose of voting on such approval. In connection with such approvals, the fund's trustees must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. In addition, the Securities and Exchange Commission (the "SEC") takes the position that, as part of their fiduciary duties with respect to fund fees, fund boards are required to evaluate the material factors applicable to a decision to approve an investment advisory agreement. Consistent with these responsibilities, the Rydex Series Funds Board of Trustees (the "Board") calls and holds one meeting each year that is dedicated to considering whether to renew the investment advisory agreement between Rydex Series Funds (the "Trust") and PADCO Advisors, Inc., which does business under the name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with respect to existing funds in the Trust, including the funds discussed in this Semi-Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing certain other agreements pursuant to which Rydex Investments provides investment advisory services to certain other registered investment companies. In preparation for the meeting, the Board requests and reviews a wide variety of materials provided by Rydex Investments, including information about Rydex Investments' affiliates, personnel and operations. The Board also receives data provided by third parties. This information is in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and performance. The Board also receives a memorandum from Fund counsel regarding the responsibilities of the Board for the approval of investment advisory agreements. In addition, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive session outside the presence of fund management, and participate in question and answer sessions with representatives of Rydex Investments. At a meeting held on August 27 and 28, 2006, the Board approved the selection of Rydex Investments and the continuance of the Advisory Agreement for an additional one-year period, based on its review of qualitative and quantitative information provided by Rydex Investments. The Board's approval of the Advisory Agreement was based on consideration and evaluation of a variety of specific factors discussed at that meeting and at prior meetings, including: NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS The Board reviewed the scope of services to be provided by Rydex Investments under the Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by Rydex Investments for the past year and the scope of services required to be provided by Rydex Investments for the upcoming year. In reviewing the scope of services provided to the Funds by Rydex Investments, the Board reviewed and discussed Rydex Investments' investment experience, noting that Rydex Investments and its affiliates have committed significant resources over time to the support of the Funds. The Board also considered Rydex Investments' compliance program and its compliance record with respect to the Funds. In that regard, the Board noted that Rydex Investments provides information regarding the portfolio management and compliance to the Board on a periodic basis in connection with regularly scheduled meetings of the Board. In addition to the above considerations, the Board reviewed and considered Rydex Investments' investment processes and strategies, and matters related to 22 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT OTHER INFORMATION (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- Rydex Investments' portfolio transaction policies and procedures. In particular, the Board noted the substantial volume of portfolio trades and shareholder transaction activity, in general, processed by Rydex Investments due to the unlimited exchange policy of the majority of the Funds. The Board further noted that the Funds have met their investment objectives consistently since their relevant inception dates. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by Rydex Investments to the Funds under the Advisory Agreement were appropriate and continued to support the Board's original selection of Rydex Investments as investment adviser to the Funds. FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS The Board reviewed statistical information prepared by Rydex Investments regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of each Fund in comparison with the same information for other funds registered under the 1940 Act determined by Rydex Investments to comprise each Fund's applicable peer group. Because few funds seek to provide unlimited exchange privileges similar to those of the Funds (other than the Commodities Fund, Multi-Cap Core Equity Fund, Sector Rotation Fund, Absolute Return Strategies Fund, and Hedged Equity Fund), each Fund's applicable peer group is generally limited to the funds of two unaffiliated mutual fund families. In addition, the Board reviewed statistical information prepared by Rydex Investments relating to the performance of each Fund, as well as each Fund's ability to successfully track its benchmark over time, and a comparison of each Fund's performance to funds with similar investment objectives for the same periods and to appropriate indices/benchmarks, in light of total return, yield and market trends. The Board further noted that despite the unique nature of the Funds, the peer fund information presented to the Board was meaningful because the peer funds' investment objectives and strategies were closely aligned with those of the Funds. The Board noted that most of the Funds either outperformed their peer funds or performed in line with them over relevant periods. The Board also noted that the investment advisory fees and overall expenses for the Funds were generally lower than or in line with the investment advisory fee rates and overall expenses of the peer funds. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Funds, as managed by Rydex Investments, as compared to the investment advisory fees and expense levels and performance of the peer funds, were satisfactory for the purposes of approving the continuance of the Advisory Agreement. COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX INVESTMENTS AND ITS AFFILIATES The Board reviewed information about the profitability of the Funds to Rydex Investments based on the advisory fees payable under the Advisory Agreement for the last calendar year. Rydex Investments also presented the Board with material discussing its methodology for determining the level of advisory fees assessable to the Funds. The Board analyzed the Funds' expenses, including the investment advisory fees paid to Rydex Investments. The Board also reviewed information regarding direct revenue received by Rydex Investments and ancillary revenue received by Rydex Investments and/or its affiliates in connection with the services provided to the Funds by Rydex Investments (as discussed below) and/or its affiliates. The Board also discussed Rydex Investments' profit margin as reflected in Rydex Investments' profitability analysis and reviewed information regarding economies of scale (as discussed below). Based on this review, the Board concluded that the profits to be realized by Rydex Investments and its affiliates under the Advisory Agreement and from other relationships between the Funds and Rydex Investments and/or its affiliates, if any, were within the range the Board considered reasonable and appropriate. ECONOMIES OF SCALE In connection with its review of the Funds' profitability analysis, the Board reviewed information regarding economies of scale or other efficiencies that may result from increases in the Funds' asset levels. The Board noted that the Advisory Agreement for the Funds did not provide for any breakpoints in the investment advisory fee rates as a result of increases in the asset levels of such Funds. The Board also noted that though Rydex Investments' assets under management were significant, the amount is spread among more than 95 Funds. Further limiting the realization of economies of scale is the ability of shareholders of a majority of the Funds to engage in unlimited trading. The Board also reviewed Rydex Investments' historic profitability as investment adviser to the Funds and determined that reductions in fee rates or additions of breakpoints were not warranted at this juncture. Based on this review, the Board, recognizing its responsibility to consider this issue at least annually, concluded that there are limited economies of scale to share with the Funds' shareholders. THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 23 OTHER INFORMATION (UNAUDITED) (CONCLUDED) - -------------------------------------------------------------------------------- OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES In addition to evaluating the services provided by Rydex Investments, the Board also considered the nature, extent, quality and cost of the administrative, distribution, and shareholder services performed by Rydex Investments' affiliates under separate agreements. The Board noted that Rydex Investments reports its use of soft dollars to the Board on a quarterly basis, as well as any portfolio transactions on behalf of the Funds placed through an affiliate of the Funds or Rydex Investments pursuant to Rule 17e-1 under the 1940 Act. Based on its review, the Board concluded that the nature and quality of the services provided by Rydex Investments' affiliates to the Trust will benefit the Funds' shareholders, and that any ancillary benefits would not be disadvantageous to the Funds' shareholders, particularly in light of the Board's view that the Funds' shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment strategies and services. Based on the above analysis, the Board determined that the Advisory Agreement, including the investment advisory fee rates thereunder, are fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Funds and their shareholders to continue the Advisory Agreement. 24 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) - -------------------------------------------------------------------------------- A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888. All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850. TRUSTEES AND OFFICERS
NAME, POSITION AND LENGTH OF SERVICE AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- -------------------------------- -------------------- CARL G. VERBONCOEUR* Rydex Series Funds - 2004 132 Trustee, President (1952) Rydex Variable Trust - 2004 Rydex Dynamic Funds - 2004 Rydex ETF Trust - 2004 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005 to present); Chief Executive Officer of Rydex Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II, Inc., and Rydex Distributors, Inc. (2003 to present); Executive Vice President of Rydex Fund Services, Inc. (2000 to 2003); Vice President of Rydex Fund Services, Inc. and Rydex Distributors, Inc. (1997 to 2000) -------------------------------- MICHAEL P. BYRUM* Rydex Series Funds - 2005 132 Trustee, Vice President Rydex Variable Trust - 2005 (1970) Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized Products, LLC (2005 to present); Secretary of Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex Global Advisors (2004 to present); Chief Operating Officer of Rydex Global Advisors and Rydex Distributors, Inc. (2003 to 2004) - -------------------------------------------------------------------------------- INDEPENDENT TRUSTEES NAME, POSITION AND LENGTH OF SERVICE AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- -------------------------------- -------------------- JOHN O. DEMARET Rydex Series Funds - 1997 125 Trustee, Chairman of the Rydex Variable Trust - 1998 Board (1940) Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired -------------------------------- COREY A. COLEHOUR Rydex Series Funds - 1993 125 Trustee (1945) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of Marketing/Co-Owner, Schield Management Company -------------------------------- J. KENNETH DALTON Rydex Series Funds - 1995 125 Trustee (1941) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and Investor, The Dalton Group -------------------------------- WERNER E. KELLER Rydex Series Funds - 2005 125 Trustee (1940) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001) --------------------------------
THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT | 25 INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (UNAUDITED) (CONCLUDED) - --------------------------------------------------------------------------------
NAME, POSITION AND LENGTH OF SERVICE AS TRUSTEE NUMBER OF YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN - ------------------------- -------------------------------- -------------------- THOMAS F. LYDON, JR. Rydex Series Funds - 2005 125 Trustee (1960) Rydex Variable Trust - 2005 Rydex Dynamic Funds - 2005 Rydex ETF Trust - 2005 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends Investments -------------------------------- PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125 Trustee (1942) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003 PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive Officer, Par Industries, Inc. -------------------------------- ROGER SOMERS Rydex Series Funds - 1993 125 Trustee (1944) Rydex Variable Trust - 1998 Rydex Dynamic Funds - 1999 Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS
NAME, POSITION AND PRINCIPAL OCCUPATIONS YEAR OF BIRTH DURING PAST FIVE YEARS - ------------------------------ --------------------------- NICK BONOS* Chief Financial Officer of Rydex Specialized Products, LLC (2005 Vice President and Treasurer (1963) to present); Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice President of Rydex Fund Services, Inc. (2003 to present); Vice President and Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice President of Accounting of Rydex Fund Services, Inc. (2000 to 2003) JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex Variable Chief Compliance Officer and Trust, and Rydex Dynamic Funds (2004 to present); Secretary of Secretary (1966) Rydex Series Funds, Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex Fund Services, Inc. (2000 to present); Secretary of Rydex Capital Partners SphinX Fund (2003 to 2006) JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Assistant Treasurer (1966) Rydex Dynamic Funds, Rydex ETF Trust (2006); Vice President of Rydex Fund Services, Inc. (2004 to present); Director of Accounting of Rydex Fund Services, Inc. (2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust (2000 to 2003) PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Controller (1974) Dynamic Funds, Rydex ETF Trust (2006); Director of Fund Administration of Rydex Fund Services, Inc. (2001 to present)
* OFFICERS OF THE FUNDS ARE DEEMED TO BE "INTERESTED PERSONS" OF THE TRUST, WITHIN THE MEANING OF SECTION 2(a)(19) OF THE 1940 ACT, INASMUCH AS THIS PERSON IS AFFILIATED WITH THE ADVISOR. 26 | THE RYDEX SERIES FUNDS SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- This page intentionally left blank. - -------------------------------------------------------------------------------- This page intentionally left blank. - -------------------------------------------------------------------------------- This page intentionally left blank. [LOGO] RYDEXINVESTMENTS ESSENTIAL FOR MODERN MARKETS(TM) 9601 Blackwell Road, Suite 500 Rockville, MD 20850 www.rydexinvestments.com 800-820-0888 RSEP-SEMI-0906x0307 Item 2. Code of Ethics. Not applicable at this time. Item 3. Audit Committee Financial Expert. Not applicable at this time. Item 4. Principal Accountant Fees and Services. Not applicable at this time. Item 5. Audit Committee of Listed Registrants. Not applicable. Item 6. Schedule of Investments Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form. Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. Not applicable. Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable. Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. Not applicable. Item 10. Submission of Matters to a Vote of Security Holders. Not applicable. Item 11. Controls and Procedures. (a) Based on their evaluation on December 7, 2006, the President (principal executive officer) and the Treasurer (principal financial officer) of the Rydex Series Funds (the "Trust") believe that there were no significant deficiencies in the design or operation of the internal controls of the Trust or Rydex Investments ("RI"), the investment advisor and manager of the Trust, or Rydex Distributors, Inc. ("RD"), which acts as distributor for the Trust, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) which would have adversely affected the ability of the Trust or RGA on behalf of the Trust, to record, process, summarize, and report the subject matter contained in this Report, and the President and Treasurer of the Trust have identified no material weaknesses in such internal controls on behalf of the Trust. There was no fraud, whether or not material, involving officers or employees of RI, RD or the Trust who have a significant role in the Trust's internal controls, including disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that has come to the attention of the Advisor or the officers of the Trust, including its President and Treasurer. (b) There were no significant changes in the Trust's or RI's internal controls over financial reporting, (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. Item 12. Exhibits. (a)(2) Separate certifications by the President (principal executive officer) and Treasurer (principal financial officer) of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached. (b) A certification by the registrant's President (principal executive officer) and Treasurer (principal financial officer) as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Rydex Series Funds -------------------------------------------------------------------- By (Signature and Title)* /s/ Carl G. Verboncoeur -------------------------------- Carl G. Verboncoeur President Date December 7, 2006 --------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Carl G. Verboncoeur ------------------------------- Carl G. Verboncoeur President Date December 7, 2006 --------------------------------------------------------------------------- By (Signature and Title)* /s/ Nick Bonos ---------------------------- Nick Bonos Vice President and Treasurer Date December 7, 2006 --------------------------------------------------------------------------- *Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 g35174_series302.txt G35174_SERIES302 EX.-12(a)(2)(i) CERTIFICATIONS I, Carl G. Verboncoeur, certify that: 1. I have reviewed this report on Form N-CSR of Rydex Series Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees: (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financialreporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 7, 2006 /s/ Carl G. Verboncoeur ----------------------- Carl G. Verboncoeur President EX.-12(a)(2)(ii) CERTIFICATIONS I, Nick Bonos, certify that: 1. I have reviewed this report on Form N-CSR of Rydex Series Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees: (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financialreporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 7, 2006 /s/ Nick Bonos ---------------------------- Nick Bonos Vice President and Treasurer EX-99.906CERT 3 g35174_series906.txt G35174_SERIES906 EX. 12(b)(i) CERTIFICATIONS I, Carl G. Verboncoeur, President of Rydex Series Funds (the "Trust"), certify that: 1. The Form N-CSR of the Trust (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. A signed original of this written statement required by Section 906 has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request. Dated: December 7, 2006 /s/ Carl G. Verboncoeur ----------------------- Carl G. Verboncoeur President EX. 12(b)(ii) CERTIFICATIONS I, Nick Bonos, Vice President and Treasurer of Rydex Series Funds (the "Trust"), certify that: 1. The Form N-CSR of the Trust (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust. A signed original of this written statement required by Section 906 has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request. Dated: December 7, 2006 /s/ Nick Bonos ---------------------------- Nick Bonos Vice President and Treasurer -----END PRIVACY-ENHANCED MESSAGE-----