N-CSRS

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)

Richard M. Goldman, President
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: 1-301-296-5100

Date of fiscal year end: March 31

Date of reporting period: September 30, 2011

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

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

Item 1. Reports to Stockholders.

S E P T E M B E R 3 0 , 2 0 1 1 R Y D E X S E R I E S F U N D S S E M I — A N N U A L R E P O R T            TA R G E T B E TA F U N D S DOMESTIC EQUITY FUNDS NOVA FUND RUSSELL 2000 ^® FUND            S&P 500 FUND INVERSE RUSSELL 2000 ^®STRATEGY FUND            INVERSE S&P 500 STRATEGY FUND S&P 500 PURE GROWTH FUND            NASDAQ-100 ^® FUND S&P 500 PURE VALUE FUND            INVERSE NASDAQ-100 ^® STRATEGY FUND S&P MIDCAP 400 PURE GROWTH FUND            MID-CAP 1.5x STRATEGY FUND S&P MIDCAP 400 PURE VALUE FUND            INVERSE MID-CAP STRATEGY FUND S&P SMALLCAP 600 PURE GROWTH FUND            RUSSELL 2000 ^® 1.5x STRATEGY FUND S&P SMALLCAP 600 PURE VALUE FUND INTERNATIONAL EQUITY FUNDS EUROPE 1.25x STRATEGY FUND            JAPAN 2x STRATEGY FUND SPECIALTY FUNDS STRENGTHENING DOLLAR 2x STRATEGY FUND            WEAKENING DOLLAR 2x STRATEGY FUND            REAL ESTATE FUND FIXED INCOME FUNDS GOVERNMENT LONG BOND 1.2x STRATEGY FUND            INVERSE GOVERNMENT LONG BOND STRATEGY FUND            HIGH YIELD STRATEGY FUND            INVERSE HIGH YIELD STRATEGY FUND MONEY MARKET FUND U.S. GOVERNMENT MONEY MARKET FUND

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If you have questions about Rydex | SGI eDelivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

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

Distributed by Rydex Distributors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
NOVA FUND	10
S&P 500 FUND	21
INVERSE S&P 500 STRATEGY FUND	32
NASDAQ-100® FUND	38
INVERSE NASDAQ-100® STRATEGY FUND	45
MID-CAP1.5x STRATEGY FUND	51
INVERSE MID-CAP STRATEGY FUND	61
RUSSELL 2000® 1.5x STRATEGY FUND	67
RUSSELL 2000® FUND	92
INVERSE RUSSELL 2000® STRATEGY FUND	117
S&P 500 PURE GROWTH FUND	123
S&P 500 PURE VALUE FUND	130
S&P MIDCAP 400 PURE GROWTH FUND	137
S&P MIDCAP 400 PURE VALUE FUND	144
S&P SMALLCAP 600 PURE GROWTH FUND	151
S&P SMALLCAP 600 PURE VALUE FUND	158
EUROPE 1.25x STRATEGY FUND	165
JAPAN 2x STRATEGY FUND	172
STRENGTHENING DOLLAR 2x STRATEGY FUND	178
WEAKENING DOLLAR 2x STRATEGY FUND	184
REAL ESTATE FUND	190
GOVERNMENT LONG BOND 1.2x STRATEGY FUND	197
INVERSE GOVERNMENT LONG BOND STRATEGY FUND	203
HIGH YIELD STRATEGY FUND	209
INVERSE HIGH YIELD STRATEGY FUND	215
U.S. GOVERNMENT MONEY MARKET FUND	221
NOTES TO FINANCIAL STATEMENTS	229
OTHER INFORMATION	242
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	246
RYDEX|SGI PRIVACY POLICIES	250

the RYDEX | SGI series funds semi-annual report | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER:

The economic recovery remained fragile in 2011, as global markets were beset by natural disasters, Mid East uprisings and sovereign debt woes. After rising to their recent high around the end of April, U.S. stock markets began a slide that, by the end of September, was approaching bear-market territory. Investors became nervous as the U.S. Federal Reserve ended its second quantitative easing program in June and Congress wrangled over debt ceilings and budget deficits, which led to the U.S. losing its AAA debt rating in August. Many measures of hiring, housing, GDP and consumer confidence have worsened in the past six months, and analysts began forecasting an economy that, if not sliding backward, would move ahead only slowly.

As with many countries, the central bank of the U.S. was a major factor in the markets for most of the past year, conducting a debt-purchase program designed to boost lending and expand the economy—the second such effort since the financial crisis of 2008. Late in the third quarter, the Fed chairman said the “recovery is close to faltering,” and there was a risk of another recession unless the government took steps to increase growth. The Fed said it would keep short-term interest rates near zero for another two years and hold down borrowing costs through “operation twist,” shifting $400 billion in holdings from short-term to long-term Treasuries.

The biggest threat to markets in late September appeared to be recession. Supporting evidence in the U.S. included weak housing demand despite record-low mortgage rates, consumer confidence that has ebbed for five months amid politicization of raising the debt ceiling, job creation insufficient to keep up with population growth, as well as other indicators ranging from soft wages, slumping equity markets and falling prices for commodities like oil and copper. Analysts arguing that a recession is unlikely cite inflation expectations that have fallen to their lowest levels of 2011, good retail sales, sound corporate balance sheets and manufacturing gauges that are improving, albeit slightly. In addition, while economists surveyed by Bloomberg have been lowering GDP growth estimates for the year, positive growth is still expected.

Recession currently seems more a threat to Europe than America, as high unemployment and austerity measures weigh on weaker members of the eurozone, with a knock-on effect for the continent’s growth engines of Germany and France, particularly in manufacturing, which has been the key player in the global recovery. Many economists are hoping for an orderly default of Greece that may prevent financial problems from spreading to other weak countries or to banks, and stabilize the euro. Countries using the euro were in the process of approving a bailout fund expansion at the end of the third quarter, and bolstering European banks against the possibility of sovereign default. Even though they were not at the eye of the sovereign debt storm, many emerging market economies also began weakening over the summer, fearing global recession and financial contagion. Investors are especially concerned about the stability of China’s banking system and whether inflation will ebb along with slowing growth.

All the economic uncertainty and market volatility took their toll on the equity markets. For the six months, key equity indices have fallen significantly. While some strategists believed the market drop over the third quarter of 2011 brought stock prices to reasonable levels, others were concerned that third-quarter earnings could still come in lower than expected, kicking away a key support of valuations.

While the market forces play out, many investors have been driven to the sidelines or to safe havens. Gold reached a high of near $1900 an ounce in August, before falling 11% in September, leading some to question whether its recent run is nearing an end. Investors also abandoned riskier currencies toward the end of the third quarter, and piled into the dollar, helping it regain ground lost over the past 12 months. Further upward moves in the dollar are expected as the world economy continues to sputter.

2 | the RYDEX | SGI series funds semi-annual report

LETTER TO OUR SHAREHOLDERS (concluded)

Sluggish economic data, concern over the collapse of Europe’s financial system and the Fed’s policy efforts also drove investors into U.S. government debt over the course of 2011, driving up the price of debt maturing in 10 years or more, leading to historic low yields. Recession, however, is not a consensus view. The Fed remains accommodative and the Treasury yield curve is steep. A potential rebound in GDP to 2% in the third quarter, lower fuel prices and a stronger automotive sector may be enough to keep the U.S. recovery on course, even if slow, and counterbalance difficulties in Europe and Asia.

Thank you for investing in our funds.

Sincerely,

Michael Byrum
President & Chief Investment Officer

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

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

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

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

the RYDEX | SGI series funds semi-annual report | 3

A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)

Many of the Rydex|SGI Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged 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 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value (“NAV”) per share 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		6.0	%		9.0	%	$	10.90		9.0	%	In line
Day 2		99		-6.6	%		-9.9	%	$	9.82		-9.9	%	In line
Cumulative				-1.0	%		-1.5	%				-1.8	%		-0.3	%

As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.

Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.

In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.

As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.

4 | the RYDEX | SGI 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. Shareholders of a Fund 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 investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2011 and ending September 30, 2011.

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

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

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

Certain retirement plans such as IRA, SEP, Roth IRA and 403(b), Rydex prototype money purchase plan and profit sharing plan accounts are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.

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

Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only and do not reflect any transactional costs which may be incurred by a Fund.

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

the RYDEX | SGI series funds semi-annual report | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 1. Based on actual Fund return3
Nova Fund
Investor Class		1.28	%		(21.76	%)	$	1,000.00	$	782.40	$	5.72
Advisor Class		1.78	%		(21.94	%)		1,000.00		780.60		7.95
A-Class		1.53	%		(21.87	%)		1,000.00		781.30		6.83
C-Class		2.28	%		(22.17	%)		1,000.00		778.30		10.16
S&P 500 Fund
A-Class		1.53	%		(14.50	%)		1,000.00		855.00		7.11
C-Class		2.28	%		(14.88	%)		1,000.00		851.20		10.58
H-Class		1.53	%		(14.48	%)		1,000.00		855.20		7.12
Inverse S&P 500 Strategy Fund
Investor Class		1.42	%		11.54	%		1,000.00		1,115.40		7.53
Advisor Class		1.92	%		11.23	%		1,000.00		1,112.30		10.17
A-Class		1.67	%		11.41	%		1,000.00		1,114.10		8.85
C-Class		2.42	%		11.01	%		1,000.00		1,110.10		12.80
NASDAQ-100® Fund
Investor Class		1.29	%		(8.60	%)		1,000.00		914.00		6.19
Advisor Class		1.79	%		(8.83	%)		1,000.00		911.70		8.58
A-Class		1.54	%		(8.75	%)		1,000.00		912.50		7.38
C-Class		2.29	%		(9.11	%)		1,000.00		908.90		10.96
Inverse NASDAQ-100® Strategy Fund
Investor Class		1.46	%		4.78	%		1,000.00		1,047.80		7.49
Advisor Class		1.95	%		4.64	%		1,000.00		1,046.40		10.00
A-Class		1.71	%		4.63	%		1,000.00		1,046.30		8.77
C-Class		2.46	%		4.22	%		1,000.00		1,042.20		12.59
Mid-Cap 1.5x Strategy Fund
A-Class		1.68	%		(31.18	%)		1,000.00		688.20		7.11
C-Class		2.43	%		(31.44	%)		1,000.00		685.60		10.27
H-Class		1.68	%		(31.17	%)		1,000.00		688.30		7.11
Inverse Mid-Cap Strategy Fund
A-Class		1.67	%		18.94	%		1,000.00		1,189.40		9.17
C-Class		2.42	%		18.45	%		1,000.00		1,184.50		13.25
H-Class		1.67	%		18.91	%		1,000.00		1,189.10		9.16
Russell 2000® 1.5x Strategy Fund
A-Class		1.71	%		(34.89	%)		1,000.00		651.10		7.08
C-Class		2.47	%		(35.12	%)		1,000.00		648.80		10.21
H-Class		1.71	%		(34.88	%)		1,000.00		651.20		7.08
Russell 2000® Fund
A-Class		1.58	%		(23.72	%)		1,000.00		762.80		6.98
C-Class		2.32	%		(24.07	%)		1,000.00		759.30		10.23
H-Class		1.57	%		(23.74	%)		1,000.00		762.60		6.94
Inverse Russell 2000® Strategy Fund
A-Class		1.75	%		21.45	%		1,000.00		1,214.50		9.71
C-Class		2.51	%		21.00	%		1,000.00		1,210.00		13.91
H-Class		1.77	%		21.37	%		1,000.00		1,213.70		9.82
S&P 500 Pure Growth Fund
A-Class		1.53	%		(15.20	%)		1,000.00		848.00		7.09
C-Class		2.27	%		(15.53	%)		1,000.00		844.70		10.50
H-Class		1.53	%		(15.18	%)		1,000.00		848.20		7.09
S&P 500 Pure Value Fund
A-Class		1.53	%		(19.16	%)		1,000.00		808.40		6.94
C-Class		2.28	%		(19.44	%)		1,000.00		805.60		10.32
H-Class		1.53	%		(19.15	%)		1,000.00		808.50		6.94
S&P MidCap 400 Pure Growth Fund
A-Class		1.52	%		(15.65	%)		1,000.00		843.50		7.02
C-Class		2.27	%		(15.96	%)		1,000.00		840.40		10.47
H-Class		1.52	%		(15.65	%)		1,000.00		843.50		7.02

6 | the RYDEX | SGI series funds semi-annual report

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
S&P MidCap 400 Pure Value Fund
A-Class		1.52	%		(24.63	%)	$	1,000.00	$	753.70	$	6.68
C-Class		2.28	%		(24.92	%)		1,000.00		750.80		10.01
H-Class		1.53	%		(24.63	%)		1,000.00		753.70		6.73
S&P SmallCap 600 Pure Growth Fund
A-Class		1.52	%		(16.97	%)		1,000.00		830.30		6.97
C-Class		2.27	%		(17.31	%)		1,000.00		826.90		10.40
H-Class		1.53	%		(17.02	%)		1,000.00		829.80		7.02
S&P SmallCap 600 Pure Value Fund
A-Class		1.53	%		(26.00	%)		1,000.00		740.00		6.67
C-Class		2.28	%		(26.31	%)		1,000.00		736.90		9.93
H-Class		1.53	%		(26.06	%)		1,000.00		739.40		6.67
Europe 1.25x Strategy Fund
A-Class		1.69	%		(25.82	%)		1,000.00		741.80		7.38
C-Class		2.44	%		(26.21	%)		1,000.00		737.90		10.63
H-Class		1.69	%		(25.82	%)		1,000.00		741.80		7.38
Japan 2x Strategy Fund
A-Class		1.52	%		(13.78	%)		1,000.00		862.20		7.10
C-Class		2.27	%		(14.11	%)		1,000.00		858.90		10.58
H-Class		1.52	%		(13.75	%)		1,000.00		862.50		7.10
Strengthening Dollar 2x Strategy Fund
A-Class		1.70	%		4.46	%		1,000.00		1,044.60		8.71
C-Class		2.45	%		3.90	%		1,000.00		1,039.00		12.52
H-Class		1.70	%		4.40	%		1,000.00		1,044.00		8.71
Weakening Dollar 2x Strategy Fund
A-Class		1.70	%		(7.62	%)		1,000.00		923.80		8.20
C-Class		2.45	%		(8.01	%)		1,000.00		919.90		11.79
H-Class		1.70	%		(7.63	%)		1,000.00		923.70		8.20
Real Estate Fund
A-Class		1.62	%		(15.97	%)		1,000.00		840.30		7.47
C-Class		2.37	%		(16.31	%)		1,000.00		836.90		10.91
H-Class		1.62	%		(15.98	%)		1,000.00		840.20		7.47
Government Long Bond 1.2x Strategy Fund
Investor Class		0.97	%		44.35	%		1,000.00		1,443.50		5.94
Advisor Class		1.47	%		44.00	%		1,000.00		1,440.00		8.99
A-Class		1.22	%		44.19	%		1,000.00		1,441.90		7.47
C-Class		1.97	%		43.68	%		1,000.00		1,436.80		12.03
Inverse Government Long Bond Strategy Fund
Investor Class		4.40	%		(28.98	%)		1,000.00		710.20		18.86
Advisor Class		4.91	%		(29.13	%)		1,000.00		708.70		21.03
A-Class		4.65	%		(29.06	%)		1,000.00		709.40		19.93
C-Class		5.39	%		(29.36	%)		1,000.00		706.40		23.06
High Yield Strategy Fund
A-Class		1.52	%		(5.46	%)		1,000.00		945.40		7.41
C-Class		2.27	%		(5.85	%)		1,000.00		941.50		11.05
H-Class		1.52	%		(5.47	%)		1,000.00		945.30		7.41
Inverse High Yield Strategy Fund
A-Class		1.51	%		2.35	%		1,000.00		1,023.50		7.66
C-Class		2.27	%		1.90	%		1,000.00		1,019.00		11.49
H-Class		1.52	%		2.31	%		1,000.00		1,023.10		7.71
U.S. Government Money Market Fund
Investor Class		0.10	%		0.00	%		1,000.00		1,000.00		0.50
Investor2 Class		0.10	%		0.00	%		1,000.00		1,000.00		0.50
Advisor Class		0.09	%		0.00	%		1,000.00		1,000.00		0.45
A-Class		0.10	%		0.00	%		1,000.00		1,000.00		0.50
C-Class		0.10	%		0.00	%		1,000.00		1,000.00		0.50

the RYDEX | SGI series funds semi-annual report | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 2. Based on hypothetical 5% return (before expenses)
Nova Fund
Investor Class		1.28	%		5.00	%	$	1,000.00	$	1,018.65	$	6.48
Advisor Class		1.78	%		5.00	%		1,000.00		1,016.14		9.00
A-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
C-Class		2.28	%		5.00	%		1,000.00		1,013.64		11.51
S&P 500 Fund
A-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
C-Class		2.28	%		5.00	%		1,000.00		1,013.64		11.51
H-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
Inverse S&P 500 Strategy Fund
Investor Class		1.42	%		5.00	%		1,000.00		1,017.95		7.18
Advisor Class		1.92	%		5.00	%		1,000.00		1,015.44		9.70
A-Class		1.67	%		5.00	%		1,000.00		1,016.70		8.44
C-Class		2.42	%		5.00	%		1,000.00		1,012.94		12.21
NASDAQ-100® Fund
Investor Class		1.29	%		5.00	%		1,000.00		1,018.60		6.53
Advisor Class		1.79	%		5.00	%		1,000.00		1,016.09		9.05
A-Class		1.54	%		5.00	%		1,000.00		1,017.35		7.79
C-Class		2.29	%		5.00	%		1,000.00		1,013.59		11.56
Inverse NASDAQ-100® Strategy Fund
Investor Class		1.46	%		5.00	%		1,000.00		1,017.75		7.38
Advisor Class		1.95	%		5.00	%		1,000.00		1,015.29		9.85
A-Class		1.71	%		5.00	%		1,000.00		1,016.50		8.64
C-Class		2.46	%		5.00	%		1,000.00		1,012.73		12.41
Mid-Cap 1.5x Strategy Fund
A-Class		1.68	%		5.00	%		1,000.00		1,016.65		8.49
C-Class		2.43	%		5.00	%		1,000.00		1,012.89		12.26
H-Class		1.68	%		5.00	%		1,000.00		1,016.65		8.49
Inverse Mid-Cap Strategy Fund
A-Class		1.67	%		5.00	%		1,000.00		1,016.70		8.44
C-Class		2.42	%		5.00	%		1,000.00		1,012.94		12.21
H-Class		1.67	%		5.00	%		1,000.00		1,016.70		8.44
Russell 2000® 1.5x Strategy Fund
A-Class		1.71	%		5.00	%		1,000.00		1,016.50		8.64
C-Class		2.47	%		5.00	%		1,000.00		1,012.68		12.46
H-Class		1.71	%		5.00	%		1,000.00		1,016.50		8.64
Russell 2000® Fund
A-Class		1.58	%		5.00	%		1,000.00		1,017.15		7.99
C-Class		2.32	%		5.00	%		1,000.00		1,013.44		11.71
H-Class		1.57	%		5.00	%		1,000.00		1,017.20		7.94
Inverse Russell 2000® Strategy Fund
A-Class		1.75	%		5.00	%		1,000.00		1,016.29		8.85
C-Class		2.51	%		5.00	%		1,000.00		1,012.48		12.66
H-Class		1.77	%		5.00	%		1,000.00		1,016.19		8.95
S&P 500 Pure Growth Fund
A-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
C-Class		2.27	%		5.00	%		1,000.00		1,013.69		11.46
H-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
S&P 500 Pure Value Fund
A-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
C-Class		2.28	%		5.00	%		1,000.00		1,013.64		11.51
H-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
S&P MidCap 400 Pure Growth Fund
A-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
C-Class		2.27	%		5.00	%		1,000.00		1,013.69		11.46
H-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69

8 | the RYDEX | SGI series funds semi-annual report

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
S&P MidCap 400 Pure Value Fund
A-Class		1.52	%		5.00	%	$	1,000.00	$	1,017.45	$	7.69
C-Class		2.28	%		5.00	%		1,000.00		1,013.64		11.51
H-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
S&P SmallCap 600 Pure Growth Fund
A-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
C-Class		2.27	%		5.00	%		1,000.00		1,013.69		11.46
H-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
S&P SmallCap 600 Pure Value Fund
A-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
C-Class		2.28	%		5.00	%		1,000.00		1,013.64		11.51
H-Class		1.53	%		5.00	%		1,000.00		1,017.40		7.74
Europe 1.25x Strategy Fund
A-Class		1.69	%		5.00	%		1,000.00		1,016.60		8.54
C-Class		2.44	%		5.00	%		1,000.00		1,012.84		12.31
H-Class		1.69	%		5.00	%		1,000.00		1,016.60		8.54
Japan 2x Strategy Fund
A-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
C-Class		2.27	%		5.00	%		1,000.00		1,013.69		11.46
H-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
Strengthening Dollar 2x Strategy Fund
A-Class		1.70	%		5.00	%		1,000.00		1,016.55		8.59
C-Class		2.45	%		5.00	%		1,000.00		1,012.78		12.36
H-Class		1.70	%		5.00	%		1,000.00		1,016.55		8.59
Weakening Dollar 2x Strategy Fund
A-Class		1.70	%		5.00	%		1,000.00		1,016.55		8.59
C-Class		2.45	%		5.00	%		1,000.00		1,012.78		12.36
H-Class		1.70	%		5.00	%		1,000.00		1,016.55		8.59
Real Estate Fund
A-Class		1.62	%		5.00	%		1,000.00		1,016.95		8.19
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
H-Class		1.62	%		5.00	%		1,000.00		1,016.95		8.19
Government Long Bond 1.2x Strategy Fund
Investor Class		0.97	%		5.00	%		1,000.00		1,020.21		4.91
Advisor Class		1.47	%		5.00	%		1,000.00		1,017.70		7.44
A-Class		1.22	%		5.00	%		1,000.00		1,018.95		6.17
C-Class		1.97	%		5.00	%		1,000.00		1,015.19		9.95
Inverse Government Long Bond Strategy Fund
Investor Class		4.40	%		5.00	%		1,000.00		1,003.01		22.09
Advisor Class		4.91	%		5.00	%		1,000.00		1,000.45		24.62
A-Class		4.65	%		5.00	%		1,000.00		1,001.75		23.33
C-Class		5.39	%		5.00	%		1,000.00		998.04		27.00
High Yield Strategy Fund
A-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
C-Class		2.27	%		5.00	%		1,000.00		1,013.69		11.46
H-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
Inverse High Yield Strategy Fund
A-Class		1.51	%		5.00	%		1,000.00		1,017.50		7.64
C-Class		2.27	%		5.00	%		1,000.00		1,013.69		11.46
H-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
U.S. Government Money Market Fund
Investor Class		0.10	%		5.00	%		1,000.00		1,024.57		0.51
Investor2 Class		0.10	%		5.00	%		1,000.00		1,024.57		0.51
Advisor Class		0.09	%		5.00	%		1,000.00		1,024.62		0.46
A-Class		0.10	%		5.00	%		1,000.00		1,024.57		0.51
C-Class		0.10	%		5.00	%		1,000.00		1,024.57		0.51

1	This ratio represents annualized Net Expenses, which include interest expense related to securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 3.00%, 3.01%, 3.00%, and 2.99% lower for the Investor Class, Advisor Class, A-Class and C-Class, respectively.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2011 to September 30, 2011.

the RYDEX | SGI series funds semi-annual report | 9

FUND PROFILE (Unaudited) September 30, 2011

NOVA FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, 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 (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

“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)
Apple, Inc.	2.9	%
Exxon Mobil Corp.	2.9	%
International Business Machines Corp.	1.7	%
Microsoft Corp.	1.5	%
Chevron Corp.	1.5	%
Johnson & Johnson	1.4	%
Procter & Gamble Co.	1.4	%
AT&T, Inc.	1.4	%
General Electric Co.	1.3	%
Coca-Cola Co.	1.3	%
Top Ten Total	17.3	%

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

10 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
NOVA FUND

	Shares		Value
COMMON STOCKS† - 84.2%
INFORMATION TECHNOLOGY - 16.3%
Apple, Inc.*		2,873	$	1,095,130
International Business Machines Corp.		3,705		648,486
Microsoft Corp.		23,095		574,835
Google, Inc. — Class A		777		399,673
Oracle Corp.		12,234		351,605
Intel Corp.		16,267		346,975
Cisco Systems, Inc.		17,043		263,996
QUALCOMM, Inc.		5,206		253,168
Hewlett-Packard Co.		6,420		144,129
Visa, Inc. — Class A		1,588		136,123
EMC Corp.		6,396		134,252
Accenture plc — Class A		2,000		105,360
eBay, Inc.*		3,556		104,866
Mastercard, Inc. — Class A		326		103,394
Texas Instruments, Inc.		3,581		95,434
Automatic Data Processing, Inc.		1,521		71,715
Dell, Inc.		4,801		67,934
Corning, Inc.		4,868		60,168
Cognizant Technology Solutions Corp. — Class A*		945		59,252
Yahoo!, Inc.*		3,914		51,508
Broadcom Corp. — Class A		1,495		49,769
Salesforce.com, Inc.*		427		48,798
Intuit, Inc.		938		44,499
Applied Materials, Inc.		4,080		42,228
Motorola Solutions, Inc.		933		39,093
NetApp, Inc.*		1,146		38,895
Symantec Corp.*		2,326		37,914
Adobe Systems, Inc.*		1,531		37,004
Citrix Systems, Inc.*		588		32,064
Altera Corp.		1,007		31,751
Motorola Mobility Holdings, Inc.*		810		30,602
Xerox Corp.		4,346		30,292
SanDisk Corp.*		740		29,859
Western Union Co.		1,945		29,739
Analog Devices, Inc.		928		29,000
Juniper Networks, Inc.*		1,650		28,479
Teradata Corp.*		520		27,836
Paychex, Inc.		1,000		26,370
Red Hat, Inc.*		600		25,356
NVIDIA Corp.*		1,876		23,450
CA, Inc.		1,175		22,807
Xilinx, Inc.		820		22,501
Fiserv, Inc.*		442		22,440
Amphenol Corp. — Class A		529		21,567
Electronic Arts, Inc.*		1,038		21,227
BMC Software, Inc.*		547		21,092
KLA-Tencor Corp.		519		19,867
Autodesk, Inc.*		713		19,807
Linear Technology Corp.		710		19,632
Fidelity National Information Services, Inc.		765		18,605
Western Digital Corp.*		720		18,518
Microchip Technology, Inc.		594		18,479
F5 Networks, Inc.*		246		17,478
Micron Technology, Inc.*		3,110		15,674
VeriSign, Inc.		515		14,734
Computer Sciences Corp.		477		12,807
Harris Corp.		374		12,780
FLIR Systems, Inc.		496		12,425
Akamai Technologies, Inc.*		573		11,391
SAIC, Inc.*		859		10,145
Jabil Circuit, Inc.		569		10,123
LSI Corp.*		1,770		9,169
Advanced Micro Devices, Inc.*		1,798		9,134
Total System Services, Inc.		511		8,651
Molex, Inc.		420		8,555
JDS Uniphase Corp.*		710		7,079
Lexmark International, Inc. — Class A*		250		6,758
Teradyne, Inc.*		578		6,364
Novellus Systems, Inc.*		216		5,888
Compuware Corp.*		679		5,201
Tellabs, Inc.		1,128		4,839
MEMC Electronic Materials, Inc.*		717		3,757
Monster Worldwide, Inc.*		397		2,850
Total Information Technology				6,193,345
FINANCIALS - 11.4%
Wells Fargo & Co.		16,356		394,507
Berkshire Hathaway, Inc. — Class B		5,440		386,458
JPMorgan Chase & Co.		12,082		363,910
Citigroup, Inc.		9,036		231,502
Bank of America Corp.		31,398		192,156
Goldman Sachs Group, Inc.		1,570		148,443
American Express Co.		3,217		144,443
U.S. Bancorp		5,952		140,110
Simon Property Group, Inc.		910		100,082
MetLife, Inc.		3,276		91,761
PNC Financial Services Group, Inc.		1,631		78,598
Bank of New York Mellon Corp.		3,821		71,032
Prudential Financial, Inc.		1,508		70,665
ACE Ltd.		1,044		63,266
Travelers Companies, Inc.		1,298		63,252
Morgan Stanley		4,600		62,100
Capital One Financial Corp.		1,418		56,195
Chubb Corp.		887		53,211
CME Group, Inc. — Class A		210		51,744
Aflac, Inc.		1,450		50,678
State Street Corp.		1,560		50,170
Public Storage		438		48,771
Equity Residential		920		47,720

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 11

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
NOVA FUND

	Shares		Value
BlackRock, Inc. — Class A		315	$	46,623
BB&T Corp.		2,161		46,094
Marsh & McLennan Companies, Inc.		1,682		44,640
HCP, Inc.		1,269		44,491
Ventas, Inc.		896		44,262
Franklin Resources, Inc.		448		42,847
Aon Corp.		1,015		42,610
Vornado Realty Trust		568		42,384
Boston Properties, Inc.		458		40,808
Discover Financial Services		1,691		38,792
T. Rowe Price Group, Inc.		793		37,882
Allstate Corp.		1,599		37,880
Charles Schwab Corp.		3,340		37,642
Progressive Corp.		1,981		35,183
ProLogis, Inc.		1,418		34,386
Loews Corp.		960		33,168
AvalonBay Communities, Inc.		290		33,074
SunTrust Banks, Inc.		1,667		29,923
American International Group, Inc.*		1,356		29,764
Fifth Third Bancorp		2,850		28,785
Ameriprise Financial, Inc.		727		28,615
IntercontinentalExchange, Inc.*		230		27,200
M&T Bank Corp.		388		27,121
Northern Trust Corp.		746		26,095
Weyerhaeuser Co.		1,670		25,968
Health Care REIT, Inc.		546		25,553
Host Hotels & Resorts, Inc.		2,188		23,937
Hartford Financial Services Group, Inc.		1,380		22,273
Principal Financial Group, Inc.		971		22,013
Invesco Ltd.		1,393		21,605
SLM Corp.		1,592		19,820
Unum Group		938		19,660
XL Group plc — Class A		1,020		19,176
Moody’s Corp.		628		19,123
Kimco Realty Corp.		1,258		18,908
NYSE Euronext		810		18,824
KeyCorp		2,950		17,493
Plum Creek Timber Company, Inc.		501		17,390
Lincoln National Corp.		954		14,911
Comerica, Inc.		626		14,379
Leucadia National Corp.		618		14,016
CBRE Group, Inc. — Class A*		1,010		13,595
People’s United Financial, Inc.		1,169		13,327
Cincinnati Financial Corp.		506		13,323
Regions Financial Corp.		3,902		12,994
Huntington Bancshares, Inc.		2,670		12,816
Torchmark Corp.		330		11,504
Legg Mason, Inc.		411		10,567
Assurant, Inc.		291		10,418
Hudson City Bancorp, Inc.		1,633		9,243
NASDAQ OMX Group, Inc.*		399		9,233
Genworth Financial, Inc. — Class A		1,524		8,748
Apartment Investment &
Management Co. — Class A		370		8,184
Zions Bancorporation		573		8,062
E*Trade Financial Corp.*		784		7,142
Federated Investors, Inc. — Class B		285		4,996
First Horizon National Corp.		817		4,869
Janus Capital Group, Inc.		580		3,480
Total Financials				4,338,593
HEALTH CARE - 10.2%
Johnson & Johnson		8,486		540,643
Pfizer, Inc.		24,175		427,414
Merck & Company, Inc.		9,544		312,184
Abbott Laboratories		4,824		246,699
Bristol-Myers Squibb Co.		5,280		165,686
Amgen, Inc.		2,860		157,157
UnitedHealth Group, Inc.		3,330		153,580
Eli Lilly & Co.		3,150		116,456
Medtronic, Inc.		3,274		108,828
Baxter International, Inc.		1,765		99,087
Gilead Sciences, Inc.		2,388		92,654
Celgene Corp.*		1,419		87,865
Allergan, Inc.		960		79,085
WellPoint, Inc.		1,116		72,853
Biogen Idec, Inc.*		750		69,863
Covidien plc		1,533		67,605
Thermo Fisher Scientific, Inc.*		1,186		60,059
Medco Health Solutions, Inc.		1,198		56,174
Express Scripts, Inc. — Class A*		1,508		55,902
McKesson Corp.		766		55,688
Becton Dickinson and Co.		675		49,491
Stryker Corp.		1,026		48,355
Cardinal Health, Inc.		1,064		44,560
Intuitive Surgical, Inc.		117		42,621
Aetna, Inc.		1,157		42,057
Humana, Inc.		518		37,674
St. Jude Medical, Inc.		1,023		37,022
CIGNA Corp.		839		35,188
Agilent Technologies, Inc.*		1,073		33,531
Zimmer Holdings, Inc.*		593		31,726
Cerner Corp.*		456		31,245
AmerisourceBergen Corp. — Class A		836		31,158
Boston Scientific Corp.*		4,740		28,013
Watson Pharmaceuticals, Inc.*		394		26,891
Forest Laboratories, Inc.*		853		26,264
Edwards Lifesciences Corp.*		354		25,233
Laboratory Corporation of America Holdings*		309		24,426
Quest Diagnostics, Inc.		490		24,186
CR Bard, Inc.		270		23,636

12 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
NOVA FUND

	Shares		Value
Mylan, Inc.*		1,322	$	22,474
Life Technologies Corp.*		558		21,444
Waters Corp.*		280		21,137
Cephalon, Inc.*		246		19,852
Varian Medical Systems, Inc.*		367		19,143
Hospira, Inc.*		512		18,944
DaVita, Inc.*		287		17,986
CareFusion Corp.*		696		16,669
DENTSPLY International, Inc.		438		13,442
Coventry Health Care, Inc.*		459		13,224
Patterson Companies, Inc.		286		8,188
PerkinElmer, Inc.		348		6,685
Tenet Healthcare Corp.*		1,468		6,063
Total Health Care				3,874,010
CONSUMER STAPLES - 9.9%
Procter & Gamble Co.		8,515		537,978
Coca-Cola Co.		7,110		480,352
Philip Morris International, Inc.		5,438		339,222
PepsiCo, Inc.		4,906		303,681
Wal-Mart Stores, Inc.		5,442		282,440
Kraft Foods, Inc. — Class A		5,469		183,649
Altria Group, Inc.		6,414		171,959
CVS Caremark Corp.		4,164		139,827
Colgate-Palmolive Co.		1,510		133,907
Costco Wholesale Corp.		1,358		111,519
Walgreen Co.		2,808		92,355
Kimberly-Clark Corp.		1,217		86,419
General Mills, Inc.		2,000		76,940
Archer-Daniels-Midland Co.		2,099		52,076
HJ Heinz Co.		996		50,278
Sysco Corp.		1,838		47,604
Lorillard, Inc.		425		47,047
Mead Johnson Nutrition Co. — Class A		630		43,363
Kellogg Co.		777		41,329
Kroger Co.		1,876		41,197
Reynolds American, Inc.		1,048		39,279
Whole Foods Market, Inc.		496		32,394
ConAgra Foods, Inc.		1,280		31,002
Estee Lauder Companies, Inc. — Class A		350		30,744
Sara Lee Corp.		1,826		29,855
Hershey Co.		484		28,672
Clorox Co.		412		27,328
Dr Pepper Snapple Group, Inc.		674		26,138
Avon Products, Inc.		1,330		26,068
Beam, Inc.		478		25,850
JM Smucker Co.		354		25,803
Coca-Cola Enterprises, Inc.		989		24,606
Brown-Forman Corp. — Class B		312		21,884
Molson Coors Brewing Co. — Class B		506		20,043
McCormick & Company, Inc.		410		18,926
Campbell Soup Co.		561		18,160
Safeway, Inc.		1,081		17,977
Tyson Foods, Inc. — Class A		921		15,989
Hormel Foods Corp.		427		11,537
Constellation Brands, Inc. — Class A*		574		10,332
Dean Foods Co.*		566		5,020
SUPERVALU, Inc.		658		4,382
Total Consumer Staples				3,755,131
ENERGY - 9.8%
Exxon Mobil Corp.		15,061		1,093,880
Chevron Corp.		6,199		573,531
ConocoPhillips		4,253		269,300
Schlumberger Ltd.		4,179		249,612
Occidental Petroleum Corp.		2,520		180,180
Anadarko Petroleum Corp.		1,545		97,412
Apache Corp.		1,190		95,486
Halliburton Co.		2,850		86,982
Devon Energy Corp.		1,290		71,518
National Oilwell Varco, Inc.		1,315		67,354
Baker Hughes, Inc.		1,355		62,547
EOG Resources, Inc.		830		58,938
Chesapeake Energy Corp.		2,050		52,377
Spectra Energy Corp.		2,022		49,600
Hess Corp.		936		49,103
Marathon Oil Corp.		2,208		47,649
Williams Companies, Inc.		1,828		44,494
El Paso Corp.		2,390		41,777
Noble Energy, Inc.		546		38,657
Southwestern Energy Co.*		1,080		35,996
Cameron International Corp.*		760		31,570
Valero Energy Corp.		1,770		31,471
Marathon Petroleum Corp.		1,100		29,766
Range Resources Corp.		495		28,938
Peabody Energy Corp.		835		28,290
FMC Technologies, Inc.*		740		27,824
Murphy Oil Corp.		606		26,761
Equities Corp.		460		24,546
Pioneer Natural Resources Co.		365		24,006
Consol Energy, Inc.		707		23,988
Noble Corp.		784		23,010
Cabot Oil & Gas Corp.		320		19,811
Newfield Exploration Co.*		410		16,273
QEP Resources, Inc.		552		14,943
Denbury Resources, Inc.*		1,248		14,352
Helmerich & Payne, Inc.		335		13,601
Alpha Natural Resources, Inc.*		700		12,383
Sunoco, Inc.		399		12,373
Rowan Companies, Inc.*		398		12,016
Diamond Offshore Drilling, Inc.		216		11,824
Nabors Industries Ltd.*		894		10,960
Tesoro Corp.		443		8,625
Total Energy				3,713,724

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 13

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
NOVA FUND

	Shares		Value
CONSUMER DISCRETIONARY - 9.0%
McDonald’s Corp.		3,194	$	280,497
Amazon.com, Inc.*		1,126		243,475
Comcast Corp. — Class A		8,520		178,068
Walt Disney Co.		5,752		173,480
Home Depot, Inc.		4,846		159,288
Ford Motor Co.*		11,773		113,845
News Corp. — Class A		7,082		109,559
Target Corp.		2,097		102,837
NIKE, Inc. — Class B		1,180		100,902
Time Warner, Inc.		3,237		97,013
DIRECTV — Class A*		2,289		96,710
Starbucks Corp.		2,314		86,289
Lowe’s Companies, Inc.		3,907		75,561
Yum! Brands, Inc.		1,438		71,023
Priceline.com, Inc.		156		70,116
Viacom, Inc. — Class B		1,786		69,190
TJX Companies, Inc.		1,183		65,621
Time Warner Cable, Inc. — Class A		1,010		63,297
Johnson Controls, Inc.		2,106		55,535
Coach, Inc.		897		46,491
Carnival Corp.		1,430		43,329
Bed Bath & Beyond, Inc.*		755		43,269
Kohl’s Corp.		870		42,717
CBS Corp. — Class B		2,070		42,187
McGraw-Hill Companies, Inc.		931		38,171
Macy’s, Inc.		1,320		34,742
VF Corp.		270		32,810
Omnicom Group, Inc.		869		32,014
Discovery Communications, Inc. — Class A*		850		31,977
Chipotle Mexican Grill, Inc. — Class A*		99		29,992
AutoZone, Inc.*		93		29,685
Limited Brands, Inc.		765		29,460
Staples, Inc.		2,199		29,247
Wynn Resorts Ltd.		251		28,885
Ross Stores, Inc.		360		28,328
O’Reilly Automotive, Inc.*		417		27,785
Mattel, Inc.		1,058		27,392
Ralph Lauren Corp. — Class A		200		25,940
Stanley Black & Decker, Inc.		519		25,483
Harley-Davidson, Inc.		728		24,992
Genuine Parts Co.		485		24,638
Tiffany & Co.		396		24,085
Marriott International, Inc. — Class A		877		23,889
Nordstrom, Inc.		509		23,251
Starwood Hotels & Resorts Worldwide, Inc.		592		22,981
Best Buy Company, Inc.		936		21,809
Family Dollar Stores, Inc.		376		19,123
Netflix, Inc.*		168		19,011
Darden Restaurants, Inc.		413		17,656
The Gap, Inc.		1,071		17,393
Abercrombie & Fitch Co. — Class A		272		16,744
CarMax, Inc.*		700		16,695
Expedia, Inc.		601		15,476
Apollo Group, Inc. — Class A		383		15,171
Wyndham Worldwide Corp.		510		14,540
International Game Technology		925		13,440
H&R Block, Inc.		950		12,644
Hasbro, Inc.		378		12,327
Whirlpool Corp.		238		11,879
JC Penney Company, Inc.		440		11,783
Scripps Networks Interactive, Inc. — Class A		310		11,523
Cablevision Systems Corp. — Class A		700		11,011
Interpublic Group of Companies, Inc.		1,484		10,685
Newell Rubbermaid, Inc.		899		10,671
GameStop Corp. — Class A*		427		9,864
Leggett & Platt, Inc.		436		8,628
Urban Outfitters, Inc.*		370		8,258
DR Horton, Inc.		865		7,820
Goodyear Tire & Rubber Co.*		752		7,588
Big Lots, Inc.*		206		7,175
Gannett Company, Inc.		750		7,147
DeVry, Inc.		190		7,022
Lennar Corp. — Class A		501		6,784
Sears Holdings Corp.*		117		6,730
Harman International Industries, Inc.		220		6,288
Washington Post Co. — Class B		16		5,231
AutoNation, Inc.*		153		5,015
Pulte Group, Inc.*		1,048		4,140
Total Consumer Discretionary				3,403,317
INDUSTRIALS - 8.6%
General Electric Co.		32,842		500,512
United Technologies Corp.		2,815		198,063
United Parcel Service, Inc. — Class B		3,036		191,723
3M Co.		2,200		157,938
Caterpillar, Inc.		1,996		147,385
Boeing Co.		2,298		139,052
Union Pacific Corp.		1,516		123,812
Honeywell International, Inc.		2,430		106,701
Emerson Electric Co.		2,310		95,426
Deere & Co.		1,282		82,779
Danaher Corp.		1,771		74,276
Precision Castparts Corp.		443		68,869
FedEx Corp.		980		66,326
Norfolk Southern Corp.		1,074		65,535
General Dynamics Corp.		1,120		63,717
Illinois Tool Works, Inc.		1,523		63,357
CSX Corp.		3,393		63,347
Lockheed Martin Corp.		855		62,107
Tyco International Ltd.		1,438		58,599

14 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
NOVA FUND

	Shares		Value
Cummins, Inc.		600	$	48,996
Waste Management, Inc.		1,463		47,635
Goodrich Corp.		390		47,065
Northrop Grumman Corp.		860		44,858
Raytheon Co.		1,093		44,671
PACCAR, Inc.		1,130		38,217
Eaton Corp.		1,060		37,630
CH Robinson Worldwide, Inc.		507		34,714
Parker Hannifin Corp.		480		30,302
Fastenal Co.		910		30,285
Ingersoll-Rand plc		1,029		28,905
WW Grainger, Inc.		190		28,413
Republic Services, Inc.		995		27,920
Dover Corp.		578		26,935
Expeditors International of Washington, Inc.		658		26,682
Fluor Corp.		542		25,230
Rockwell Collins, Inc.		476		25,114
Rockwell Automation, Inc.		440		24,640
ITT Corp.		576		24,192
Stericycle, Inc.*		270		21,794
Roper Industries, Inc.		300		20,673
Joy Global, Inc.		330		20,585
L-3 Communications Holdings, Inc.		327		20,264
Southwest Airlines Co.		2,490		20,020
Iron Mountain, Inc.		628		19,857
Pall Corp.		363		15,391
Textron, Inc.		859		15,153
Flowserve Corp.		177		13,098
Jacobs Engineering Group, Inc.*		400		12,916
Quanta Services, Inc.*		658		12,364
First Solar, Inc.*		186		11,757
Pitney Bowes, Inc.		625		11,750
Equifax, Inc.		380		11,681
Cintas Corp.		347		9,765
Robert Half International, Inc.		447		9,485
Dun & Bradstreet Corp.		150		9,189
Avery Dennison Corp.		329		8,251
RR Donnelley & Sons Co.		584		8,246
Snap-on, Inc.		180		7,992
Masco Corp.		1,106		7,875
Ryder System, Inc.		158		5,927
Total Industrials				3,265,961
UTILITIES - 3.4%
Southern Co.		2,660		112,704
Dominion Resources, Inc.		1,762		89,457
Exelon Corp.		2,050		87,350
Duke Energy Corp.		4,130		82,559
NextEra Energy, Inc.		1,308		70,658
FirstEnergy Corp.		1,300		58,383
American Electric Power Company, Inc.		1,495		56,840
PG&E Corp.		1,250		52,888
Public Service Enterprise Group, Inc.		1,573		52,491
Consolidated Edison, Inc.		910		51,888
PPL Corp.		1,786		50,972
Progress Energy, Inc.		909		47,013
Edison International		1,008		38,556
Sempra Energy		738		38,007
Xcel Energy, Inc.		1,502		37,084
Entergy Corp.		551		36,526
CenterPoint Energy, Inc.		1,318		25,859
DTE Energy Co.		527		25,834
Constellation Energy Group, Inc.		628		23,902
Wisconsin Energy Corp.		728		22,779
Ameren Corp.		747		22,238
Oneok, Inc.		321		21,199
AES Corp.*		2,046		19,969
NiSource, Inc.		870		18,601
Northeast Utilities		552		18,575
NRG Energy, Inc.*		748		15,865
CMS Energy Corp.		778		15,397
Pinnacle West Capital Corp.		339		14,557
SCANA Corp.		352		14,238
Pepco Holdings, Inc.		700		13,244
Integrys Energy Group, Inc.		246		11,961
TECO Energy, Inc.		670		11,477
Nicor, Inc.		138		7,591
Total Utilities				1,266,662
MATERIALS - 2.8%
EI du Pont de Nemours & Co.		2,889		115,473
Monsanto Co.		1,659		99,606
Newmont Mining Corp.		1,533		96,426
Freeport-McMoRan Copper & Gold, Inc.		2,937		89,432
Praxair, Inc.		934		87,310
Dow Chemical Co.		3,661		82,226
Air Products & Chemicals, Inc.		658		50,251
Mosaic Co.		860		42,114
Ecolab, Inc.		720		35,201
PPG Industries, Inc.		488		34,482
Alcoa, Inc.		3,300		31,581
International Paper Co.		1,350		31,388
Nucor Corp.		976		30,881
CF Industries Holdings, Inc.		226		27,886
Cliffs Natural Resources, Inc.		456		23,334
Sigma-Aldrich Corp.		376		23,233
Sherwin-Williams Co.		269		19,992
Ball Corp.		508		15,758
FMC Corp.		226		15,630
Eastman Chemical Co.		220		15,077
International Flavors & Fragrances, Inc.		256		14,392
Airgas, Inc.		214		13,658
MeadWestvaco Corp.		530		13,017
Allegheny Technologies, Inc.		328		12,133

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 15

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

NOVA FUND

	Shares		Value
Vulcan Materials Co.		397	$	10,941
United States Steel Corp.		442		9,728
Bemis Company, Inc.		320		9,379
Sealed Air Corp.		497		8,300
Owens-Illinois, Inc.		508		7,681
Titanium Metals Corp.		261		3,910
AK Steel Holding Corp.		345		2,256
Total Materials				1,072,676
TELECOMMUNICATION SERVICES - 2.8%
AT&T, Inc.		18,365		523,770
Verizon Communications, Inc.		8,766		322,589
American Tower Corp. — Class A*		1,230		66,174
CenturyLink, Inc.		1,910		63,259
Sprint Nextel Corp.*		9,270		28,181
Frontier Communications Corp.		3,080		18,819
Windstream Corp.		1,588		18,516
MetroPCS Communications, Inc.*		910		7,926
Total Telecommunication Services				1,049,234
Total Common Stocks (Cost $21,399,859)				31,932,653

	Face
	amount
REPURCHASE AGREEMENTS††,1- 3.5%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	720,591		720,591
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		356,387		356,387
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		253,276		253,276
Total Repurchase Agreements (Cost $1,330,254)				1,330,254
Total Investments — 87.7% (Cost $22,730,113)			$	33,262,907
Cash & Other Assets, Less Liabilities — 12.3%				4,682,817
Total Net Assets — 100.0%			$	37,945,724

			Unrealized
	Contracts		loss
FUTURES CONTRACTS PURCHASED†
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $2,986,550)		53	$	(80,255	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. October 2011 S&P 500 Index Swap, Terminating 10/24/112 (Notional Value $1,444,030)		1,276	$	(6,013	)
Barclays Bank plc October 2011 S&P 500 Index Swap, Terminating 10/31/112 (Notional Value $2,685,059)		2,373		(68,831	)
Goldman Sachs International October 2011 S&P 500 Index Swap, Terminating 10/27/112 (Notional Value $3,217,475)		2,844		(88,726	)
Credit Suisse Capital, LLC October 2011 S&P 500 Index Swap, Terminating 10/31/112 (Notional Value $14,884,935)		13,156		(368,253	)
(Total Notional Value $22,231,499)			$	(531,823	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on S&P 500 Index +/- financing at a variable rate. plc — Public Limited Company REIT — Real Estate Investment Trust

16 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

NOVA FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $21,399,859)	$	31,932,653
Repurchase agreements, at value (cost $1,330,254)		1,330,254
Segregated cash with broker		3,959,066
Cash		249
Receivables:
Securities sold		1,946,512
Fund shares sold		58,652
Dividends		47,980
Total assets		39,275,366
Liabilities:
Unrealized depreciation on swap agreements		531,823
Payable for:
Fund shares redeemed		597,296
Management fees		25,555
Transfer agent and administrative fees		8,518
Distribution and service fees		7,675
Portfolio accounting fees		3,407
Miscellaneous		155,368
Total liabilities		1,329,642
Net assets	$	37,945,724
Net assets consist of:
Paid in capital	$	86,402,824
Undistributed net investment income		25,041
Accumulated net realized loss on investments		(58,402,857	)
Net unrealized appreciation on investments		9,920,716
Net assets	$	37,945,724
Investor Class:
Net assets	$	27,044,702
Capital shares outstanding		1,405,758
Net asset value per share	$	19.24
Advisor Class:
Net assets	$	2,961,842
Capital shares outstanding		165,816
Net asset value per share	$	17.86
A-Class:
Net assets	$	1,067,264
Capital shares outstanding		58,567
Net asset value per share	$	18.22
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.13
C-Class:
Net assets	$	6,871,916
Capital shares outstanding		401,117
Net asset value per share	$	17.13

STATEMET OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $8)	$	460,300
Interest		1,548
Total investment income		461,848
Expenses:
Management fees		221,415
Transfer agent and administrative fees		73,805
Distribution and service fees:
Advisor Class		13,611
A-Class		2,464
C-Class		44,031
Portfolio accounting fees		29,522
Trustees’ fees*		2,947
Miscellaneous		49,012
Total expenses		436,807
Net investment income		25,041
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,126,685
Swap agreements		(4,072,631	)
Futures contracts		(312,155	)
Net realized loss		(2,258,101	)
Net change in unrealized appreciation (depreciation) on:
Investments		(9,507,508	)
Swap agreements		(1,128,833	)
Futures contracts		(194,487	)
Net change in unrealized appreciation (depreciation)		(10,830,828	)
Net realized and unrealized loss		(13,088,929	)
Net decrease in net assets resulting from operations	$	(13,063,888	)

* 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 SGI | series funds semi-annual report | 17

NOVA FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	25,041		$	(49,689	)
Net realized gain (loss) on investments		(2,258,101	)		10,031,654
Net change in unrealized appreciation (depreciation) on investments		(10,830,828	)		898,596
Net increase (decrease) in net assets resulting from operations		(13,063,888	)		10,880,561
Distributions to Shareholders from:
Net investment income
Investor Class		—			(56,523	)
Advisor Class		—			(8,341	)
A-Class		—			(3,832	)
C-Class		—			(10,036	)
Total distributions to shareholders		—			(78,732	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		90,769,314			259,708,644
Advisor Class		7,100,552			20,373,380
A-Class		1,839,600			10,442,997
C-Class		2,873,807			5,762,021
Distributions reinvested
Investor Class		—			54,308
Advisor Class		—			8,057
A-Class		—			1,475
C-Class		—			9,479
Cost of shares redeemed
Investor Class		(119,288,583	)		(279,712,330	)
Advisor Class		(9,309,299	)		(26,778,781	)
A-Class		(6,228,214	)		(7,025,575	)
C-Class		(4,472,059	)		(7,471,647	)
Net decrease from capital share transactions		(36,714,882	)		(24,627,972	)
Net decrease in net assets		(49,778,770	)		(13,826,143	)
Net assets:
Beginning of period		87,724,494			101,550,637
End of period	$	37,945,724		$	87,724,494
Accumulated/(Undistributed) net investment income/(loss) at end of period	$	25,041		$	—
Capital share activity:
Shares sold
Investor Class		3,913,233			12,737,976
Advisor Class		331,660			1,079,238
A-Class		78,944			544,055
C-Class		135,421			315,490
Shares issued from reinvestment of distributions
Investor Class		—			2,493
Advisor Class		—			397
A-Class		—			71
C-Class		—			485
Shares redeemed
Investor Class		(5,155,422	)		(13,903,126	)
Advisor Class		(441,963	)		(1,422,686	)
A-Class		(270,949	)		(390,827	)
C-Class		(209,686	)		(422,098	)
Net decrease in shares		(1,618,762	)		(1,458,532	)

18 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

NOVA FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	24.59		$	20.28		$	11.40		$	26.13		$	30.92		$	28.89
Income (loss) from investment operations:
Net investment income (loss)b		.03			.02			.06			.19			.40			(.15	)
Net gain (loss) on investments (realized and unrealized)		(5.38	)		4.31			8.97			(14.83	)		(4.51	)		4.19
Total from investment operations		(5.35	)		4.33			9.03			(14.64	)		(4.11	)		4.04
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	19.24		$	24.59		$	20.28		$	11.40		$	26.13		$	30.92
Total Returnc		(21.76	%)		21.38	%		79.36	%		(56.06	%)		(13.71	%)		13.99	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	27,045		$	65,102		$	77,268		$	32,603		$	74,674		$	113,195
Ratios to average net assets:
Net investment income		0.29	%		0.11	%		0.33	%		0.93	%		1.26	%		1.23	%
Total expenses		1.28	%		1.29	%		1.28	%		1.29	%		1.27	%		1.25	%
Portfolio turnover rate		46	%		53	%		68	%		143	%		115	%		144	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	22.88		$	18.97		$	10.73		$	24.72		$	29.44		$	27.73
Income (loss) from investment operations:
Net investment income (loss)b		(.02	)		(.07	)		(.01	)		.08			.23			(.28	)
Net gain (loss) on investments (realized and unrealized)		(5.00	)		4.00			8.40			(13.98	)		(4.27	)		4.00
Total from investment operations		(5.02	)		3.93			8.39			(13.90	)		(4.04	)		3.72
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	17.86		$	22.88		$	18.97		$	10.73		$	24.72		$	29.44
Total Returnc		(21.94	%)		20.75	%		78.35	%		(56.26	%)		(14.16	%)		13.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,962		$	6,318		$	11,746		$	10,853		$	19,218		$	36,441
Ratios to average net assets:
Net investment income (loss)		(0.23	%)		(0.37	%)		(0.03	%)		0.45	%		0.78	%		0.73	%
Total expenses		1.78	%		1.79	%		1.78	%		1.79	%		1.77	%		1.75	%
Portfolio turnover rate		46	%		53	%		68	%		143	%		115	%		144	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 19

NOVA FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	23.32		$	19.28		$	10.88		$	24.99		$	29.67		$	27.87
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		(.02	)		.03			.13			.29			(.21	)
Net gain (loss) on investments (realized and unrealized)		(5.09	)		4.08			8.52			(14.15	)		(4.29	)		4.02
Total from investment operations		(5.10	)		4.06			8.55			(14.02	)		(4.00	)		3.81
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	18.22		$	23.32		$	19.28		$	10.88		$	24.99		$	29.67
Total Returnc		(21.87	%)		21.09	%		78.74	%		(56.13	%)		(13.92	%)		13.67	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,067		$	5,843		$	1,876		$	3,612		$	11,791		$	15,586
Ratios to average net assets:
Net investment income (loss)		(0.07	%)		(0.11	%)		0.18	%		0.70	%		0.97	%		0.98	%
Total expenses		1.53	%		1.54	%		1.54	%		1.54	%		1.52	%		1.50	%
Portfolio turnover rate		46	%		53	%		68	%		143	%		115	%		144	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	22.01		$	18.33		$	10.42		$	24.14		$	28.91		$	27.39
Income (loss) from investment operations:
Net investment income (loss)b		(.07	)		(.16	)		(.09	)		(.01	)		.07			(.42	)
Net gain (loss) on investments (realized and unrealized)		(4.81	)		3.86			8.15			(13.62	)		(4.16	)		3.95
Total from investment operations		(4.88	)		3.70			8.06			(13.63	)		(4.09	)		3.53
Less distributions from:
Net investment income		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Total distributions		—			(.02	)		(.15	)		(.09	)		(.68	)		(2.01	)
Net asset value, end of period	$	17.13		$	22.01		$	18.33		$	10.42		$	24.14		$	28.91
Total Returnc		(22.17	%)		20.22	%		77.51	%		(56.49	%)		(14.60	%)		12.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,872		$	10,461		$	10,661		$	9,314		$	29,715		$	42,925
Ratios to average net assets:
Net investment income (loss)		(0.68	%)		(0.85	%)		(0.61	%)		(0.05	%)		0.24	%		0.23	%
Total expenses		2.28	%		2.29	%		2.28	%		2.29	%		2.27	%		2.25	%
Portfolio turnover rate		46	%		53	%		68	%		143	%		115	%		144	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Prior to April 1, 2007, the Fund operated under a Master-Feeder Structure. Ratios represent combined net investment income of the former Master Portfolio and the Fund. Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007.

20 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

S&P 500 FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the S&P 500^® Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:

A-Class	May 31, 2006
C-Class	May 31, 2006
H-Class	May 31, 2006

Ten Largest Holdings
(% of Total Net Assets)

Apple, Inc.	2.1	%
Exxon Mobil Corp.	2.1	%
International Business Machines Corp.	1.3	%
Microsoft Corp.	1.1	%
Chevron Corp.	1.1	%
Johnson & Johnson	1.0	%
Procter & Gamble Co.	1.0	%
AT&T, Inc.	1.0	%
General Electric Co.	1.0	%
Coca-Cola Co.	0.9	%
Top Ten Total	12.6	%

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

the RYDEX | SGI series funds semi-annual report | 21

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
S&P 500 FUND

	Shares		Value
COMMON STOCKS† - 61.6%
INFORMATION TECHNOLOGY - 12.0%
Apple, Inc.*		7,351	$	2,802,054
International Business
Machines Corp.		9,472		1,657,884
Microsoft Corp.		59,166		1,472,642
Google, Inc. — Class A		1,991		1,024,131
Oracle Corp.		31,353		901,085
Intel Corp.		41,663		888,672
Cisco Systems, Inc.		43,636		675,922
QUALCOMM, Inc.		13,328		648,141
Hewlett-Packard Co.		16,460		369,527
Visa, Inc. — Class A		4,048		346,995
EMC Corp.		16,388		343,984
Mastercard, Inc. — Class A		850		269,586
Accenture plc — Class A		5,108		269,089
eBay, Inc.*		9,100		268,359
Texas Instruments, Inc.		9,164		244,221
Automatic Data Processing, Inc.		3,884		183,131
Dell, Inc.		12,308		174,158
Corning, Inc.		12,465		154,067
Cognizant Technology Solutions Corp. — Class A*		2,405		150,793
Yahoo!, Inc.*		10,015		131,797
Broadcom Corp. — Class A		3,820		127,168
Salesforce.com, Inc.*		1,070		122,280
Intuit, Inc.		2,415		114,568
Applied Materials, Inc.		10,450		108,157
Motorola Solutions, Inc.		2,399		100,518
NetApp, Inc.*		2,918		99,037
Symantec Corp.*		5,943		96,871
Adobe Systems, Inc.*		3,916		94,650
Citrix Systems, Inc.*		1,490		81,250
Altera Corp.		2,570		81,032
Motorola Mobility Holdings, Inc.*		2,070		78,205
Xerox Corp.		11,138		77,632
SanDisk Corp.*		1,894		76,423
Western Union Co.		4,980		76,144
Analog Devices, Inc.		2,378		74,312
Juniper Networks, Inc.*		4,228		72,975
Teradata Corp.*		1,337		71,570
Paychex, Inc.		2,550		67,243
Red Hat, Inc.*		1,530		64,658
NVIDIA Corp.*		4,790		59,875
CA, Inc.		3,000		58,230
Xilinx, Inc.		2,108		57,843
Fiserv, Inc.*		1,122		56,964
Amphenol Corp. — Class A		1,349		54,999
Electronic Arts, Inc.*		2,645		54,090
BMC Software, Inc.*		1,392		53,675
KLA-Tencor Corp.		1,317		50,415
Autodesk, Inc.*		1,810		50,282
Linear Technology Corp.		1,799		49,742
Fidelity National Information Services, Inc.		1,965		47,789
Western Digital Corp.*		1,850		47,582
Microchip Technology, Inc.		1,502		46,727
F5 Networks, Inc.*		645		45,827
Micron Technology, Inc.*		7,960		40,118
VeriSign, Inc.		1,322		37,822
Computer Sciences Corp.		1,223		32,838
Harris Corp.		946		32,325
FLIR Systems, Inc.		1,270		31,813
Akamai Technologies, Inc.*		1,460		29,025
SAIC, Inc.*		2,192		25,887
Jabil Circuit, Inc.		1,443		25,671
LSI Corp.*		4,540		23,517
Advanced Micro Devices, Inc.*		4,608		23,409
Molex, Inc.		1,086		22,122
Total System Services, Inc.		1,288		21,806
JDS Uniphase Corp.*		1,808		18,026
Lexmark International, Inc. — Class A*		614		16,596
Teradyne, Inc.*		1,477		16,262
Novellus Systems, Inc.*		552		15,047
Compuware Corp.*		1,730		13,252
Tellabs, Inc.		2,895		12,420
MEMC Electronic Materials, Inc.*		1,819		9,532
Monster Worldwide, Inc.*		1,023		7,345
Total Information Technology				15,849,804
FINANCIALS - 8.4%
Wells Fargo & Co.		41,896		1,010,532
Berkshire Hathaway, Inc. — Class B		13,958		991,576
JPMorgan Chase & Co.		30,935		931,762
Citigroup, Inc.		23,148		593,052
Bank of America Corp.		80,413		492,128
Goldman Sachs Group, Inc.		4,008		378,956
American Express Co.		8,242		370,066
U.S. Bancorp		15,238		358,703
Simon Property Group, Inc.		2,330		256,253
MetLife, Inc.		8,390		235,004
PNC Financial Services Group, Inc.		4,177		201,290
Bank of New York Mellon Corp.		9,776		181,736
Prudential Financial, Inc.		3,855		180,645
ACE Ltd.		2,682		162,529
Travelers Companies, Inc.		3,325		162,027
Morgan Stanley		11,768		158,868
Capital One Financial Corp.		3,645		144,451
Chubb Corp.		2,266		135,937
CME Group, Inc. — Class A		530		130,592
Aflac, Inc.		3,708		129,595
State Street Corp.		3,990		128,318
Public Storage		1,124		125,157
Equity Residential		2,350		121,895

22 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
S&P 500 FUND

	Shares		Value
BB&T Corp.		5,531	$	117,976
BlackRock, Inc. — Class A		783		115,892
Marsh & McLennan Companies, Inc.		4,292		113,910
HCP, Inc.		3,228		113,174
Ventas, Inc.		2,280		112,632
Franklin Resources, Inc.		1,155		110,464
Vornado Realty Trust		1,465		109,318
Aon Corp.		2,588		108,644
Boston Properties, Inc.		1,149		102,376
Discover Financial Services		4,318		99,055
Allstate Corp.		4,100		97,129
T. Rowe Price Group, Inc.		2,030		96,973
Charles Schwab Corp.		8,550		96,359
Progressive Corp.		5,064		89,937
ProLogis, Inc.		3,635		88,149
Loews Corp.		2,470		85,339
AvalonBay Communities, Inc.		740		84,397
SunTrust Banks, Inc.		4,253		76,341
American International Group, Inc.*		3,464		76,035
Ameriprise Financial, Inc.		1,875		73,800
Fifth Third Bancorp		7,300		73,730
M&T Bank Corp.		985		68,851
IntercontinentalExchange, Inc.*		580		68,591
Northern Trust Corp.		1,913		66,917
Weyerhaeuser Co.		4,278		66,523
Health Care REIT, Inc.		1,412		66,082
Host Hotels & Resorts, Inc.		5,595		61,209
Hartford Financial Services Group, Inc.		3,530		56,974
Principal Financial Group, Inc.		2,487		56,380
Invesco Ltd.		3,578		55,495
SLM Corp.		4,083		50,833
Unum Group		2,410		50,514
XL Group plc — Class A		2,600		48,880
Kimco Realty Corp.		3,230		48,547
NYSE Euronext		2,078		48,293
Moody’s Corp.		1,585		48,263
KeyCorp		7,558		44,819
Plum Creek Timber Company, Inc.		1,278		44,359
Lincoln National Corp.		2,448		38,262
Comerica, Inc.		1,590		36,522
Leucadia National Corp.		1,565		35,494
CBRE Group, Inc. — Class A*		2,580		34,727
People’s United Financial, Inc.		2,990		34,086
Cincinnati Financial Corp.		1,284		33,808
Regions Financial Corp.		9,988		33,260
Huntington Bancshares, Inc.		6,850		32,880
Torchmark Corp.		830		28,934
Assurant, Inc.		752		26,922
Legg Mason, Inc.		1,032		26,533
Hudson City Bancorp, Inc.		4,185		23,687
NASDAQ OMX Group, Inc.*		1,005		23,256
Genworth Financial, Inc. — Class A		3,879		22,265
Apartment Investment &
Management Co. — Class A		960		21,235
Zions Bancorporation		1,458		20,514
E*Trade Financial Corp.*		2,009		18,302
Federated Investors, Inc. — Class B		740		12,972
First Horizon National Corp.		2,091		12,462
Janus Capital Group, Inc.		1,468		8,808
Total Financials				11,099,161
HEALTH CARE - 7.5%
Johnson & Johnson		21,748		1,385,565
Pfizer, Inc.		61,901		1,094,410
Merck & Company, Inc.		24,445		799,596
Abbott Laboratories		12,350		631,579
Bristol-Myers Squibb Co.		13,530		424,571
Amgen, Inc.		7,336		403,113
UnitedHealth Group, Inc.		8,539		393,819
Eli Lilly & Co.		8,080		298,718
Medtronic, Inc.		8,375		278,385
Baxter International, Inc.		4,505		252,911
Gilead Sciences, Inc.		6,119		237,417
Celgene Corp.*		3,638		225,265
Allergan, Inc.		2,435		200,595
WellPoint, Inc.		2,858		186,570
Biogen Idec, Inc.*		1,920		178,848
Covidien plc		3,903		172,122
Thermo Fisher Scientific, Inc.*		3,030		153,439
Express Scripts, Inc. — Class A*		3,878		143,757
Medco Health Solutions, Inc.		3,058		143,390
McKesson Corp.		1,953		141,983
Becton Dickinson and Co.		1,723		126,330
Stryker Corp.		2,614		123,198
Cardinal Health, Inc.		2,735		114,542
Intuitive Surgical, Inc.		309		112,562
Aetna, Inc.		2,961		107,632
Humana, Inc.		1,326		96,440
St. Jude Medical, Inc.		2,614		94,601
CIGNA Corp.		2,140		89,752
Agilent Technologies, Inc.*		2,754		86,062
Zimmer Holdings, Inc.*		1,506		80,571
AmerisourceBergen Corp. — Class A		2,139		79,721
Cerner Corp.*		1,150		78,798
Boston Scientific Corp.*		12,148		71,795
Watson Pharmaceuticals, Inc.*		992		67,704
Forest Laboratories, Inc.*		2,179		67,091
Edwards Lifesciences Corp.*		904		64,437
Laboratory Corporation of America Holdings*		800		63,240
Quest Diagnostics, Inc.		1,250		61,700
CR Bard, Inc.		678		59,352
Mylan, Inc.*		3,380		57,460
Waters Corp.*		728		54,957

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 23

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
S&P 500 FUND

	Shares		Value
Life Technologies Corp.*		1,430	$	54,955
Cephalon, Inc.*		604		48,743
Hospira, Inc.*		1,311		48,507
Varian Medical Systems, Inc.*		923		48,144
DaVita, Inc.*		744		46,626
CareFusion Corp.*		1,768		42,344
DENTSPLY International, Inc.		1,125		34,526
Coventry Health Care, Inc.*		1,180		33,996
Patterson Companies, Inc.		746		21,358
PerkinElmer, Inc.		895		17,193
Tenet Healthcare Corp.*		3,761		15,533
Total Health Care				9,915,923
CONSUMER STAPLES - 7.2%
Procter & Gamble Co.		21,801		1,377,387
Coca-Cola Co.		18,216		1,230,673
Philip Morris International, Inc.		13,941		869,640
PepsiCo, Inc.		12,558		777,340
Wal-Mart Stores, Inc.		13,951		724,057
Kraft Foods, Inc. — Class A		14,016		470,657
Altria Group, Inc.		16,438		440,703
CVS Caremark Corp.		10,674		358,433
Colgate-Palmolive Co.		3,860		342,305
Costco Wholesale Corp.		3,478		285,613
Walgreen Co.		7,183		236,249
Kimberly-Clark Corp.		3,101		220,202
General Mills, Inc.		5,130		197,351
Archer-Daniels-Midland Co.		5,358		132,932
HJ Heinz Co.		2,543		128,371
Lorillard, Inc.		1,099		121,659
Sysco Corp.		4,695		121,600
Mead Johnson Nutrition Co. — Class A		1,620		111,505
Kroger Co.		4,798		105,364
Kellogg Co.		1,970		104,784
Reynolds American, Inc.		2,675		100,259
Whole Foods Market, Inc.		1,250		81,638
ConAgra Foods, Inc.		3,288		79,635
Estee Lauder Companies, Inc. — Class A		895		78,617
Sara Lee Corp.		4,668		76,322
Hershey Co.		1,225		72,569
Clorox Co.		1,035		68,652
Avon Products, Inc.		3,420		67,032
Dr Pepper Snapple Group, Inc.		1,719		66,663
Beam, Inc.		1,218		65,869
JM Smucker Co.		901		65,674
Coca-Cola Enterprises, Inc.		2,529		62,922
Brown-Forman Corp. — Class B		801		56,182
Molson Coors Brewing Co. — Class B		1,284		50,859
McCormick & Company, Inc.		1,040		48,006
Safeway, Inc.		2,776		46,165
Campbell Soup Co.		1,425		46,127
Tyson Foods, Inc. — Class A		2,347		40,744
Hormel Foods Corp.		1,105		29,857
Constellation Brands, Inc. — Class A*		1,460		26,280
Dean Foods Co.*		1,460		12,950
SUPERVALU, Inc.		1,685		11,222
Total Consumer Staples				9,611,069
ENERGY - 7.2%
Exxon Mobil Corp.		38,579		2,801,993
Chevron Corp.		15,895		1,470,605
ConocoPhillips		10,889		689,491
Schlumberger Ltd.		10,708		639,589
Occidental Petroleum Corp.		6,448		461,032
Anadarko Petroleum Corp.		3,950		249,047
Apache Corp.		3,040		243,930
Halliburton Co.		7,296		222,674
Devon Energy Corp.		3,305		183,229
National Oilwell Varco, Inc.		3,361		172,150
Baker Hughes, Inc.		3,461		159,760
EOG Resources, Inc.		2,120		150,541
Chesapeake Energy Corp.		5,228		133,575
Spectra Energy Corp.		5,155		126,452
Hess Corp.		2,400		125,904
Marathon Oil Corp.		5,658		122,100
Williams Companies, Inc.		4,668		113,619
El Paso Corp.		6,098		106,593
Noble Energy, Inc.		1,392		98,554
Southwestern Energy Co.*		2,754		91,791
Cameron International Corp.*		1,948		80,920
Valero Energy Corp.		4,533		80,597
Marathon Petroleum Corp.		2,830		76,580
Range Resources Corp.		1,281		74,887
Peabody Energy Corp.		2,153		72,944
FMC Technologies, Inc.*		1,908		71,741
Murphy Oil Corp.		1,530		67,565
Equities Corp.		1,180		62,965
Consol Energy, Inc.		1,794		60,870
Pioneer Natural Resources Co.		923		60,706
Noble Corp.		2,004		58,817
Cabot Oil & Gas Corp.		829		51,323
Newfield Exploration Co.*		1,038		41,198
QEP Resources, Inc.		1,402		37,952
Denbury Resources, Inc.*		3,185		36,628
Helmerich & Payne, Inc.		853		34,632
Alpha Natural Resources, Inc.*		1,790		31,665
Rowan Companies, Inc.*		1,004		30,311
Diamond Offshore Drilling, Inc.		552		30,216
Sunoco, Inc.		929		28,808
Nabors Industries Ltd.*		2,280		27,953
Tesoro Corp.		1,138		22,157
Total Energy				9,504,064
CONSUMER DISCRETIONARY - 6.5%
McDonald’s Corp.		8,190		719,246
Amazon.com, Inc.*		2,880		622,742
Comcast Corp. — Class A		21,812		455,871

24 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
S&P 500 FUND

	Shares		Value
Walt Disney Co.		14,722	$	444,016
Home Depot, Inc.		12,412		407,982
Ford Motor Co.*		30,146		291,512
News Corp. — Class A		18,138		280,595
Target Corp.		5,353		262,511
NIKE, Inc. — Class B		3,010		257,385
Time Warner, Inc.		8,289		248,421
DIRECTV — Class A*		5,855		247,374
Starbucks Corp.		5,915		220,570
Lowe’s Companies, Inc.		9,999		193,381
Yum! Brands, Inc.		3,685		182,002
Priceline.com, Inc.		394		177,087
Viacom, Inc. — Class B		4,554		176,422
TJX Companies, Inc.		3,023		167,686
Time Warner Cable, Inc. — Class A		2,577		161,501
Johnson Controls, Inc.		5,390		142,134
Coach, Inc.		2,290		118,691
Bed Bath & Beyond, Inc.*		1,941		111,239
Carnival Corp.		3,660		110,898
Kohl’s Corp.		2,228		109,395
CBS Corp. — Class B		5,310		108,218
McGraw-Hill Companies, Inc.		2,394		98,154
Macy’s, Inc.		3,390		89,225
VF Corp.		683		82,998
Discovery Communications, Inc. — Class A*		2,173		81,748
Omnicom Group, Inc.		2,217		81,674
Limited Brands, Inc.		1,963		75,595
Staples, Inc.		5,623		74,786
Chipotle Mexican Grill, Inc. — Class A*		244		73,920
O’Reilly Automotive, Inc.*		1,080		71,960
Ross Stores, Inc.		914		71,923
Wynn Resorts Ltd.		619		71,235
Mattel, Inc.		2,722		70,473
AutoZone, Inc.*		220		70,222
Ralph Lauren Corp. — Class A		500		64,850
Harley-Davidson, Inc.		1,880		64,540
Genuine Parts Co.		1,239		62,941
Tiffany & Co.		1,003		61,002
Marriott International, Inc. — Class A		2,239		60,990
Starwood Hotels & Resorts Worldwide, Inc.		1,529		59,356
Nordstrom, Inc.		1,292		59,019
Best Buy Company, Inc.		2,406		56,060
Family Dollar Stores, Inc.		949		48,266
Netflix, Inc.*		415		46,961
Darden Restaurants, Inc.		1,069		45,700
The Gap, Inc.		2,753		44,709
CarMax, Inc.*		1,790		42,691
Abercrombie & Fitch Co. — Class A		685		42,169
Expedia, Inc.		1,549		39,887
Apollo Group, Inc. — Class A		972		38,501
Wyndham Worldwide Corp.		1,305		37,206
International Game Technology		2,363		34,334
H&R Block, Inc.		2,428		32,317
Hasbro, Inc.		955		31,143
JC Penney Company, Inc.		1,133		30,342
Whirlpool Corp.		590		29,447
Scripps Networks Interactive, Inc. — Class A		773		28,732
Cablevision Systems Corp. — Class A		1,781		28,015
Newell Rubbermaid, Inc.		2,314		27,467
Interpublic Group of Companies, Inc.		3,799		27,353
GameStop Corp. — Class A*		1,103		25,479
Leggett & Platt, Inc.		1,123		22,224
Urban Outfitters, Inc.*		936		20,892
DR Horton, Inc.		2,207		19,951
Goodyear Tire & Rubber Co.*		1,939		19,564
Big Lots, Inc.*		521		18,146
Gannett Company, Inc.		1,900		18,107
DeVry, Inc.		480		17,741
Sears Holdings Corp.*		304		17,486
Lennar Corp. — Class A		1,273		17,236
Harman International Industries, Inc.		550		15,719
AutoNation, Inc.*		389		12,751
Washington Post Co. — Class B		38		12,425
Pulte Group, Inc.*		2,664		10,523
Total Consumer Discretionary				8,623,034
INDUSTRIALS - 6.3%
General Electric Co.		84,103		1,281,730
United Technologies Corp.		7,209		507,225
United Parcel Service, Inc. — Class B		7,780		491,307
3M Co.		5,621		403,532
Caterpillar, Inc.		5,125		378,430
Boeing Co.		5,875		355,496
Union Pacific Corp.		3,872		316,226
Honeywell International, Inc.		6,203		272,374
Emerson Electric Co.		5,905		243,936
Deere & Co.		3,285		212,112
Danaher Corp.		4,511		189,191
Precision Castparts Corp.		1,138		176,913
FedEx Corp.		2,510		169,877
Norfolk Southern Corp.		2,759		168,354
General Dynamics Corp.		2,866		163,047
CSX Corp.		8,695		162,336
Illinois Tool Works, Inc.		3,898		162,157
Lockheed Martin Corp.		2,184		158,646
Tyco International Ltd.		3,681		150,001
Cummins, Inc.		1,549		126,491
Waste Management, Inc.		3,740		121,774
Goodrich Corp.		990		119,473

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 25

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
S&P 500 FUND

	Shares		Value
Northrop Grumman Corp.		2,210	$	115,274
Raytheon Co.		2,804		114,599
PACCAR, Inc.		2,890		97,740
Eaton Corp.		2,700		95,850
CH Robinson Worldwide, Inc.		1,303		89,216
Fastenal Co.		2,344		78,008
Parker Hannifin Corp.		1,226		77,397
Ingersoll-Rand plc		2,630		73,877
Republic Services, Inc.		2,533		71,076
WW Grainger, Inc.		470		70,284
Dover Corp.		1,469		68,455
Expeditors International of Washington, Inc.		1,678		68,043
Stanley Black & Decker, Inc.		1,330		65,303
Fluor Corp.		1,378		64,146
Rockwell Collins, Inc.		1,215		64,103
Rockwell Automation, Inc.		1,135		63,560
ITT Corp.		1,470		61,740
Stericycle, Inc.*		680		54,890
Roper Industries, Inc.		760		52,372
Joy Global, Inc.		830		51,775
L-3 Communications Holdings, Inc.		835		51,745
Southwest Airlines Co.		6,380		51,295
Iron Mountain, Inc.		1,610		50,908
Pall Corp.		915		38,796
Textron, Inc.		2,197		38,755
Jacobs Engineering Group, Inc.*		1,000		32,290
Flowserve Corp.		433		32,042
Quanta Services, Inc.*		1,683		31,624
Pitney Bowes, Inc.		1,606		30,193
Equifax, Inc.		966		29,695
First Solar, Inc.*		469		29,645
Cintas Corp.		883		24,848
Robert Half International, Inc.		1,148		24,361
Dun & Bradstreet Corp.		386		23,646
Avery Dennison Corp.		840		21,067
RR Donnelley & Sons Co.		1,488		21,011
Snap-on, Inc.		460		20,424
Masco Corp.		2,840		20,221
Ryder System, Inc.		400		15,004
Total Industrials				8,415,906
UTILITIES - 2.4%
Southern Co.		6,800		288,116
Dominion Resources, Inc.		4,513		229,125
Exelon Corp.		5,260		224,129
Duke Energy Corp.		10,568		211,254
NextEra Energy, Inc.		3,345		180,697
FirstEnergy Corp.		3,314		148,832
American Electric Power Company, Inc.		3,830		145,617
PG&E Corp.		3,180		134,546
Public Service Enterprise Group, Inc.		4,013		133,914
Consolidated Edison, Inc.		2,320		132,286
PPL Corp.		4,578		130,656
Progress Energy, Inc.		2,340		121,025
Edison International		2,585		98,876
Sempra Energy		1,898		97,747
Xcel Energy, Inc.		3,840		94,810
Entergy Corp.		1,402		92,939
CenterPoint Energy, Inc.		3,378		66,276
DTE Energy Co.		1,340		65,687
Constellation Energy Group, Inc.		1,590		60,515
Wisconsin Energy Corp.		1,850		57,886
Ameren Corp.		1,915		57,010
Oneok, Inc.		822		54,285
AES Corp.*		5,210		50,850
NiSource, Inc.		2,230		47,677
Northeast Utilities		1,402		47,177
NRG Energy, Inc.*		1,915		40,617
CMS Energy Corp.		1,990		39,382
SCANA Corp.		913		36,931
Pinnacle West Capital Corp.		860		36,928
Pepco Holdings, Inc.		1,790		33,867
Integrys Energy Group, Inc.		610		29,658
TECO Energy, Inc.		1,710		29,292
Nicor, Inc.		358		19,694
Total Utilities				3,238,301
MATERIALS - 2.1%
EI du Pont de Nemours & Co.		7,400		295,778
Monsanto Co.		4,240		254,570
Newmont Mining Corp.		3,915		246,253
Freeport-McMoRan Copper & Gold, Inc.		7,515		228,832
Praxair, Inc.		2,401		224,445
Dow Chemical Co.		9,370		210,450
Air Products & Chemicals, Inc.		1,675		127,920
Mosaic Co.		2,195		107,489
Ecolab, Inc.		1,838		89,860
PPG Industries, Inc.		1,244		87,901
Alcoa, Inc.		8,438		80,752
International Paper Co.		3,468		80,631
Nucor Corp.		2,512		79,480
CF Industries Holdings, Inc.		568		70,086
Sigma-Aldrich Corp.		972		60,060
Cliffs Natural Resources, Inc.		1,158		59,255
Sherwin-Williams Co.		700		52,024
Ball Corp.		1,291		40,047
FMC Corp.		568		39,283
Eastman Chemical Co.		557		38,171
International Flavors & Fragrances, Inc.		640		35,981
Airgas, Inc.		540		34,463
MeadWestvaco Corp.		1,356		33,303
Allegheny Technologies, Inc.		845		31,257
Vulcan Materials Co.		1,023		28,194
United States Steel Corp.		1,138		25,047
Bemis Company, Inc.		821		24,063
Sealed Air Corp.		1,270		21,209

26 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

S&P 500 FUND

	Shares		Value
Owens-Illinois, Inc.		1,295	$	19,580
Titanium Metals Corp.		659		9,872
AK Steel Holding Corp.		873		5,709
Total Materials				2,741,965
TELECOMMUNICATION SERVICES - 2.0%
AT&T, Inc.		47,016		1,340,896
Verizon Communications, Inc.		22,456		826,381
American Tower Corp. — Class A*		3,138		168,824
CenturyLink, Inc.		4,890		161,957
Sprint Nextel Corp.*		23,764		72,243
Frontier Communications Corp.		7,896		48,245
Windstream Corp.		4,043		47,141
MetroPCS Communications, Inc.*		2,320		20,207
Total Telecommunication Services				2,685,894
Total Common Stocks (Cost $62,693,463)				81,685,121

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 26.6%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	19,115,609		19,115,609
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		9,454,114		9,454,114
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		6,718,843		6,718,843
Total Repurchase Agreements (Cost $35,288,566)				35,288,566
Total Investments — 88.2% (Cost $97,982,029)			$	116,973,687
Cash & Other Assets, Less Liabilities — 11.8%				15,712,554
Total Net Assets — 100.0%			$	132,686,241

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $11,889,850)		211	$	(281,778	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. October 2011 S&P 500 Index Swap, Terminating 10/24/112 (Notional Value $2,598,578)		2,297	$	(10,821	)
Barclays Bank plc October 2011 S&P 500 Index Swap, Terminating 10/31/112 (Notional Value $721,487)		638		(18,495	)
Credit Suisse Capital, LLC October 2011 S&P 500 Index Swap, Terminating 10/31/112 (Notional Value $23,718,815)		20,964		(192,339	)
Goldman Sachs International October 2011 S&P 500 Index Swap, Terminating 10/27/112 (Notional Value $11,973,742)		10,583		(322,801	)
(Total Notional Value $39,012,622)			$	(544,456	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on S&P 500 Index +/- financing at a variable rate. plc — Public Limited Company REIT — Real Estate Investment Trust

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 27

S&P 500 FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $62,693,463)	$	81,685,121
Repurchase agreements, at value (cost $35,288,566)		35,288,566
Segregated cash with broker		8,049,749
Receivable for swap settlement		243,893
Cash		577
Receivables:
Fund shares sold		26,986,007
Dividends		111,019
Total assets		152,364,932
Liabilities:
Unrealized depreciation on swap agreements		544,456
Payable for:
Fund shares redeemed		15,424,287
Securities purchased		2,907,011
Management fees		73,327
Distribution and service fees		30,301
Transfer agent and administrative fees		24,442
Portfolio accounting fees		9,777
Miscellaneous		665,090
Total liabilities		19,678,691
Net assets	$	132,686,241
Net assets consist of:
Paid in capital	$	175,189,676
Undistributed net investment income		69,584
Accumulated net realized loss on investments		(60,738,443	)
Net unrealized appreciation on investments		18,165,424
Net assets	$	132,686,241
A-Class:
Net assets	$	10,889,762
Capital shares outstanding		482,183
Net asset value per share	$	22.58
Maximum offering price per share (Net asset value divided by 95.25%)	$	23.71
C-Class:
Net assets	$	8,045,860
Capital shares outstanding		371,882
Net asset value per share	$	21.63
H-Class:
Net assets	$	113,750,619
Capital shares outstanding		5,038,827
Net asset value per share	$	22.57

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $12)	$	1,311,591
Interest		2,288
Total investment income		1,313,879
Expenses:
Management fees		592,768
Transfer agent and administrative fees		197,589
Distribution and service fees:
A-Class		14,364
C-Class		50,487
H-Class		170,603
Portfolio accounting fees		78,960
Trustees’ fees*		7,248
Miscellaneous		132,276
Total expenses		1,244,295
Net investment income		69,584
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(8,128,762	)
Swap agreements		(4,487,772	)
Futures contracts		(4,104,385	)
Net realized loss		(16,720,919	)
Net change in unrealized appreciation (depreciation) on:
Investments		(12,629,866	)
Swap agreements		(1,075,576	)
Futures contracts		(692,456	)
Net change in unrealized appreciation (depreciation)		(14,397,898	)
Net realized and unrealized loss		(31,118,817	)
Net decrease in net assets resulting from operations	$	(31,049,233	)

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

28 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P 500 FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	69,584		$	(645,887	)
Net realized gain (loss) on investments		(16,720,919	)		9,714,709
Net change in unrealized appreciation (depreciation) on investments		(14,397,898	)		(463,472	)
Net increase (decrease) in net assets resulting from operations		(31,049,233	)		8,605,350
Distributions to shareholders from:
Net investment income
A-Class		—			(110	)
C-Class		—			(114	)
H-Class		—			(1,766	)
Total distributions to shareholders		—			(1,990	)
Capital share transactions:
Proceeds from sale of shares
A-Class		75,068,848			69,882,666
C-Class		92,149,713			206,181,020
H-Class		795,575,445			1,555,991,786
Distributions reinvested
A-Class		—			85
C-Class		—			102
H-Class		—			1,759
Cost of shares redeemed
A-Class		(72,341,910	)		(104,986,027	)
C-Class		(92,694,904	)		(208,236,521	)
H-Class		(903,432,524	)		(1,509,988,670	)
Net increase (decrease) from capital share transactions		(105,675,332	)		8,846,200
Net increase (decrease) in net assets		(136,724,565	)		17,449,560
Net assets:
Beginning of period		269,410,806			251,961,246
End of period	$	132,686,241		$	269,410,806
Accumulated/(Undistributed) net investment income/(loss) at end of period	$	69,584		$	—
Capital share activity:
Shares sold
A-Class		3,024,307			2,964,621
C-Class		3,818,143			8,931,270
H-Class		31,785,397			65,387,409
Shares issued from reinvestment of distributions
A-Class		—			3
C-Class		—			4
H-Class		—			72
Shares redeemed
A-Class		(2,931,683	)		(4,572,700	)
C-Class		(3,841,072	)		(9,045,576	)
H-Class		(36,185,281	)		(64,329,954	)
Net decrease in shares		(4,330,189	)		(664,851	)

See Notes to Financial Statements. the | RYDEX SGI series funds semi-annual report | 29

S&P 500 FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	26.41		$	23.18		$	15.79		$	25.92		$	27.32		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.03			(.06	)		.07			.12			.52			.30
Net gain (loss) on investments (realized and unrealized)		(3.86	)		3.29			7.43			(10.21	)		(1.78	)		2.53
Total from investment operations		(3.83	)		3.23			7.50			(10.09	)		(1.26	)		2.83
Less distributions from:
Net investment income		—			(—	)e		(.11	)		(.04	)		(.14	)		(.11	)
Net realized gains		—			—			—			—			—			(.40	)
Total distributions		—			(—	)e		(.11	)		(.04	)		(.14	)		(.51	)
Net asset value, end of period	$	22.58		$	26.41		$	23.18		$	15.79		$	25.92		$	27.32
Total Returnd		(14.50	%)		13.94	%		47.55	%		(38.95	%)		(4.68	%)		11.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,890		$	10,288		$	46,312		$	29,409		$	2,358		$	2,063
Ratios to average net assets:
Net investment income (loss)		0.24	%		(0.25	%)		0.34	%		0.68	%		1.86	%		1.35	%
Total expenses		1.53	%		1.54	%		1.53	%		1.52	%		1.51	%		1.55	%
Portfolio turnover rate		58	%		202	%		58	%		168	%		396	%		119	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	25.41		$	22.50		$	15.44		$	25.55		$	27.15		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.08	)		(.27	)		(.08	)		(.02	)		.18			.19
Net gain (loss) on investments (realized and unrealized)		(3.70	)		3.18			7.25			(10.05	)		(1.64	)		2.47
Total from investment operations		(3.78	)		2.91			7.17			(10.07	)		(1.46	)		2.66
Less distributions from:
Net investment income		—			(—	)e		(.11	)		(.04	)		(.14	)		(.11	)
Net realized gains		—			—			—			—			—			(.40	)
Total distributions		—			(—	)e		(.11	)		(.04	)		(.14	)		(.51	)
Net asset value, end of period	$	21.63		$	25.41		$	22.50		$	15.44		$	25.55		$	27.15
Total Returnd		(14.88	%)		12.93	%		46.49	%		(39.43	%)		(5.45	%)		10.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,046		$	10,032		$	11,456		$	7,295		$	7,836		$	1,971
Ratios to average net assets:
Net investment income (loss)		(0.65	%)		(1.11	%)		(0.41	%)		(0.08	%)		0.67	%		0.84	%
Total expenses		2.28	%		2.29	%		2.28	%		2.28	%		2.25	%		2.25	%
Portfolio turnover rate		58	%		202	%		58	%		168	%		396	%		119	%

30 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P 500 FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007b p
Per Share Data
Net asset value, beginning of period	$	26.39		$	23.17		$	15.78		$	25.90		$	27.31		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.02			(.09	)		.06			.13			.39			.30
Net gain (loss) on investments (realized and unrealized)		(3.84	)		3.31			7.44			(10.21	)		(1.66	)		2.52
Total from investment operations		(3.82	)		3.22			7.50			(10.08	)		(1.27	)		2.82
Less distributions from:
Net investment income		—			(—	)e		(.11	)		(.04	)		(.14	)		(.11	)
Net realized gains		—			—			—			—			—			(.40	)
Total distributions		—			(—	)e		(.11	)		(.04	)		(.14	)		(.51	)
Net asset value, end of period	$	22.57		$	26.39		$	23.17		$	15.78		$	25.90		$	27.31
Total Returnd		(14.48	%)		13.90	%		47.58	%		(38.94	%)		(4.72%	)		11.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	113,751		$	249,090		$	194,193		$	139,759		$	78,963		$	6,374
Ratios to average net assets:
Net investment income (loss)		0.13	%		(0.37	%)		0.29	%		0.64	%		1.40	%		1.33	%
Total expenses		1.53	%		1.54	%		1.53	%		1.53	%		1.48	%		1.54	%
Portfolio turnover rate		58	%		202	%		58	%		168	%		396	%		119	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: May 31, 2006. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Less than $0.01 per share.

See Notes to Financial Statements. the RYDEX|SGI series funds semi-annual report | 31

FUND PROFILE (Unaudited) September 30, 2011

INVERSE S&P 500 STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

“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 swap agreements and futures contracts.

32 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
INVERSE S&P 500 STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 48.7%
Fannie Mae1
0.19% due 12/01/11	$	25,000,000	$	24,999,175
0.10% due 12/12/11		25,000,000		24,999,025
0.10% due 12/14/11		25,000,000		24,999,000
0.14% due 02/17/12		15,000,000		14,998,860
0.19% due 05/01/12		10,000,000		9,997,070
Freddie Mac1
0.11% due 02/06/12		25,000,000		24,998,250
0.09% due 02/21/12		25,000,000		24,998,050
0.08% due 05/18/12		10,000,000		9,996,830
Federal Farm Credit Bank2
0.14% due 05/15/12		15,000,000		14,995,320
Federal Home Loan Bank2
0.06% due 05/01/12		10,000,000		9,997,070
Total Federal Agency Discount Notes (Cost $184,921,587)				184,978,650
FEDERAL AGENCY NOTES†† - 7.9%
Federal Home Loan Bank2
0.13% due 05/15/12		20,000,000		19,983,380
0.30% due 10/14/11		10,000,000		10,000,580
Total Federal Agency Notes (Cost $29,993,447)				29,983,960
REPURCHASE AGREEMENTS††,3 - 29.8%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		61,223,137		61,223,137
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		30,279,472		30,279,472
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		21,518,993		21,518,993
Total Repurchase Agreements (Cost $113,021,602)				113,021,602
Total Investments — 86.4% (Cost $327,936,636)			$	327,984,212
Cash & Other Assets,
Less Liabilities — 13.6%				51,720,848
Total Net Assets — 100.0%			$	379,705,060

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS SOLD SHORT†
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $131,126,450)		2,327	$	5,912,834

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International October 2011 S&P 500 Index Swap, Terminating 10/27/114 (Notional Value $127,636,620)		112,811	$	2,288,078
Credit Suisse Capital, LLC October 2011 S&P 500 Index Swap, Terminating 10/31/114 (Notional Value $110,715,425)		97,855		2,204,357
Barclays Bank plc October 2011 S&P 500 Index Swap, Terminating 10/31/114 (Notional Value $3,362,174)		2,972		86,144
Morgan Stanley Capital Services, Inc. October 2011 S&P 500 Index Swap, Terminating 10/24/114 (Notional Value $6,390,622)		5,648		15,242
(Total Notional Value $248,104,841 )			$	4,593,821

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
2	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreements — See Note 5.
4	Total Return based on S&P 500 Index +/- financing at a variable rate.
	plc — Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 33

INVERSE S&P 500 STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $214,915,034)	$	214,962,610
Repurchase agreements, at value (cost $113,021,602)		113,021,602
Segregated cash with broker		44,354,985
Unrealized appreciation on swap agreements		4,593,821
Receivable for swap settlement		2,315
Receivables:
Variation margin		3,409,055
Fund shares sold		1,729,551
Interest		32,263
Total assets		382,106,202
Liabilities:
Payable for:
Fund shares redeemed		1,831,639
Management fees		267,743
Transfer agent and administrative fees		74,373
Portfolio accounting fees		27,449
Distribution and service fees		18,373
Miscellaneous		181,565
Total liabilities		2,401,142
Net Assets	$	379,705,060
Net Assets Consist of:
Paid in capital	$	727,051,958
Accumulated net investment loss		(1,455,492	)
Accumulated net realized loss on investments		(356,445,637	)
Net unrealized appreciation on investments		10,554,231
Net assets	$	379,705,060
Investor Class:
Net assets	$	335,339,972
Capital shares outstanding		10,546,670
Net asset value per share	$	31.79
Advisor Class:
Net assets		19,968,048
Capital shares outstanding		678,771
Net asset value per share	$	29.41
A-Class:
Net assets		11,394,355
Capital shares outstanding		381,255
Net asset value per share	$	29.88
Maximum offering price per share (Net asset value divided by 95.25%)	$	31.37
C-Class:
Net assets		13,002,685
Capital shares outstanding		458,733
Net asset value per share	$	28.34

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	107,142
Total investment income		107,142
Expenses:
Management fees		930,806
Transfer agent and administrative fees		258,557
Distribution and service fees:
Advisor Class		23,148
A-Class		13,091
C-Class		57,440
Portfolio accounting fees		100,549
Trustees’ fees*		5,626
Miscellaneous		173,417
Total expenses		1,562,634
Net investment loss		(1,455,492	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		10,216,612
Futures contracts		(2,915,729	)
Net realized gain		7,300,883
Net change in unrealized appreciation (depreciation) on:
Investments		29,312
Swap agreements		5,604,246
Futures contracts		6,281,765
Net change in unrealized appreciation (depreciation)		11,915,323
Net realized and unrealized gain		19,216,206
Net increase in net assets resulting from operations	$	17,760,714

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

34 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE S&P 500 STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(1,455,492	)	$	(3,367,949	)
Net realized gain (loss) on investments		7,300,883			(58,643,611	)
Net change in unrealized appreciation (depreciation) on investments		11,915,323			5,102,624
Net increase (decrease) in net assets resulting from operations		17,760,714			(56,908,936	)
Distributions To Shareholders:		—			—
Capital Share Transactions:
Proceeds From Sale Of Shares
Investor Class		560,428,446			642,700,913
Advisor Class		64,770,259			80,481,458
A-Class		52,215,143			48,429,821
C-Class		13,199,989			27,104,532
Cost Of Shares Redeemed
Investor Class		(359,452,880	)		(649,407,835	)
Advisor Class		(51,920,816	)		(78,781,983	)
A-Class		(45,785,073	)		(69,617,663	)
C-Class		(13,200,579	)		(27,946,527	)
Net increase (decrease) from capital share transactions		220,254,489			(27,037,284	)
Net increase (decrease) in net assets		238,015,203			(83,946,220	)
Net Assets:
Beginning of period		141,689,857			225,636,077
End of period	$	379,705,060		$	141,689,857
Accumulated net investment loss at end of period	$	(1,455,492	)	$	—
Capital Share Activity:
Shares sold
Investor Class		18,574,649			18,633,323
Advisor Class		2,331,277			2,527,217
A-Class		1,839,186			1,480,123
C-Class		497,294			886,722
Shares redeemed
Investor Class		(12,182,777	)		(19,464,630	)
Advisor Class		(1,895,874	)		(2,583,534	)
A-Class		(1,645,439	)		(2,173,401	)
C-Class		(501,366	)		(939,419	)
Net increase (decrease) in shares		7,016,950			(1,633,599	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 35

INVERSE S&P 500 STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007e,f
Per Share Data
Net asset value, beginning of period	$	28.50		$	34.38		$	54.23		$	40.00		$	37.85		$	40.30
Income (loss) from investment operations:
Net investment income (loss)b		(.20	)		(.41	)		(.47	)		.12			.93			(.20	)
Net gain (loss) on investments (realized and unrealized)		3.49			(5.47	)		(19.32	)		14.94			2.74			(1.15	)
Total from investment operations		3.29			(5.88	)		(19.79	)		15.06			3.67			(1.35	)
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	31.79		$	28.50		$	34.38		$	54.23		$	40.00		$	37.85
Total Returnc		11.54	%		(17.10%	)		(36.51%	)		37.66	%		10.24	%		(3.26	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	335,340		$	118,410		$	171,423		$	217,740		$	223,044		$	293,092
Ratios to average net assets:
Net investment income (loss)		(1.32	%)		(1.22	%)		(1.16	%)		0.25	%		3.08	%		3.85	%
Total expenses		1.42	%		1.44	%		1.43	%		1.43	%		1.41	%		1.36	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007c,f
Per Share Data
Net asset value, beginning of period	$	26.44		$	32.06		$	50.83		$	37.72		$	36.00		$	38.55
Income (loss) from investment operations:
Net investment income (loss)b		(.25	)		(.54	)		(.63	)		(.13	)		.73			(.35	)
Net gain (loss) on investments (realized and unrealized)		3.22			(5.08	)		(18.08	)		14.07			2.51			(1.10	)
Total from investment operations		2.97			(5.62	)		(18.71	)		13.94			3.24			(1.45	)
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	29.41		$	26.44		$	32.06		$	50.83		$	37.72		$	36.00
Total Returnc		11.23	%		(17.53%	)		(36.82%	)		36.96	%		9.56	%		(3.67	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,968		$	6,434		$	9,607		$	15,305		$	11,131		$	22,712
Ratios to average net assets:
Net investment income (loss)		(1.82	%)		(1.72	%)		(1.63	%)		(0.30	%)		2.64	%		3.34	%
Total expenses		1.92	%		1.93	%		1.93	%		1.93	%		1.92	%		1.87	%
Portfolio turnover rate		—			—			—			—			—			—

36 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE S&P 500 STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007e,f
Per Share Data
Net asset value, beginning of period	$	26.82		$	32.43		$	51.30		$	37.97		$	36.10		$	38.60
Income (loss) from investment operations:
Net investment income (loss)b		(.22	)		(.48	)		(.53	)		—	d		.81			(.25	)
Net gain (loss) on investments (realized and unrealized)		3.28			(5.13	)		(18.28	)		14.16			2.58			(1.15	)
Total from investment operations		3.06			(5.61	)		(18.81	)		14.16			3.39			(1.40	)
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	29.88		$	26.82		$	32.43		$	51.30		$	37.97		$	36.10
Total Returnc		11.41	%		(17.30%	)		(36.68%	)		37.30	%		9.95	%		(3.53	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,394		$	5,029		$	28,565		$	18,381		$	9,344		$	11,388
Ratios to average net assets:
Net investment income (loss)		(1.57	%)		(1.47	%)		(1.42	%)		0.00	%		2.83	%		3.60	%
Total expenses		1.67	%		1.68	%		1.67	%		1.68	%		1.66	%		1.61	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007e,f
Per Share Data
Net asset value, beginning of period	$	25.53		$	31.12		$	49.59		$	37.00		$	35.50		$	38.25
Income (loss) from investment operations:
Net investment income (loss)b		(.30	)		(.67	)		(.79	)		(.28	)		.58			(.55	)
Net gain (loss) on investments (realized and unrealized)		3.11			(4.92	)		(17.62	)		13.70			2.44			(1.10	)
Total from investment operations		2.81			(5.59	)		(18.41	)		13.42			3.02			(1.65	)
Less distributions from:
Net investment income		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Total distributions		—			—			(.06	)		(.83	)		(1.52	)		(1.10	)
Net asset value, end of period	$	28.34		$	25.53		$	31.12		$	49.59		$	37.00		$	35.50
Total Returnc		11.01	%		(17.96%	)		(37.14%	)		36.27	%		9.07	%		(4.22	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,003		$	11,817		$	16,041		$	19,674		$	32,299		$	42,651
Ratios to average net assets:
Net investment income (loss)		(2.31	%)		(2.23	%)		(2.15	%)		(0.67	%)		2.14	%		2.85	%
Total expenses		2.42	%		2.44	%		2.43	%		2.43	%		2.41	%		2.36	%
Portfolio turnover rate		—			—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Less than $0.01 per share.
e	Reverse share splits — Per share amounts for the year ended March 31, 2007 have been restated to reflect a 1:5 reverse share split effective April 23, 2007.
f	Prior to April 1, 2007, the Fund operated under a Master-Feeder Structure. Ratios represent combined net investment income of the former Master Portfolio and the Fund. Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 37

FUND PRO FILE (Unaudited)

September 30, 2011

NASDAQ-100^® FUND

OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index^® (the “underlying index”)

Holdings Diversification (Market Exposure as % of Net Assets)

“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, Inc.	14.6	%
Microsoft Corp.	8.6	%
Oracle Corp.	6.0	%
Google, Inc. — Class A	5.4	%
Intel Corp.	4.6	%
Amazon.com, Inc.	4.0	%
Cisco Systems, Inc.	3.5	%
QUALCOMM, Inc.	3.4	%
Amgen, Inc.	2.1	%
Comcast Corp. — Class A	1.8	%
Top Ten Total	54.0	%

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

38 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)

NASDAQ-100^® FUND September 30, 2011

	Shares		Value
COMMON STOCKS† - 97.1%
INFORMATION TECHNOLOGY - 64.0%
Apple, Inc.*		205,060	$	78,164,771
Microsoft Corp.		1,853,172		46,125,451
Oracle Corp.		1,118,934		32,158,163
Google, Inc. — Class A		56,233		28,925,131
Intel Corp.		1,161,464		24,774,027
Cisco Systems, Inc.		1,216,580		18,844,824
QUALCOMM, Inc.		371,540		18,067,990
eBay, Inc.*		285,055		8,406,272
Baidu, Inc. ADR*		59,980		6,412,462
Dell, Inc.		403,537		5,710,049
Automatic Data Processing, Inc.		108,864		5,132,938
Cognizant Technology Solutions Corp. — Class A*		67,170		4,211,559
Yahoo!, Inc.*		279,271		3,675,206
Broadcom Corp. — Class A		106,393		3,541,823
Intuit, Inc.		67,238		3,189,771
Applied Materials, Inc.		291,427		3,016,269
Activision Blizzard, Inc.		252,780		3,008,082
NetApp, Inc.*		82,370		2,795,638
Symantec Corp.*		165,831		2,703,045
Adobe Systems, Inc.*		109,238		2,640,283
Check Point Software Technologies Ltd.*		45,920		2,422,739
Research In Motion Ltd.*		115,237		2,339,311
Citrix Systems, Inc.*		41,650		2,271,175
Altera Corp.		71,670		2,259,755
CA, Inc.		111,630		2,166,738
SanDisk Corp.*		52,910		2,134,919
Paychex, Inc.		80,220		2,115,401
Marvell Technology Group Ltd.*		135,237		1,964,994
NVIDIA Corp.*		133,540		1,669,250
Xilinx, Inc.		58,649		1,609,329
Fiserv, Inc.*		31,312		1,589,710
Maxim Integrated Products, Inc.		65,210		1,521,349
Electronic Arts, Inc.*		73,312		1,499,230
BMC Software, Inc.*		38,822		1,496,976
KLA-Tencor Corp.		36,935		1,413,872
Autodesk, Inc.*		50,605		1,405,807
Linear Technology Corp.		50,410		1,393,837
Microchip Technology, Inc.		42,482		1,321,615
F5 Networks, Inc.*		17,856		1,268,669
Micron Technology, Inc.*		222,070		1,119,233
VeriSign, Inc.		36,807		1,053,048
Lam Research Corp.*		27,383		1,040,006
Seagate Technology plc		92,803		954,015
Infosys Ltd. ADR		18,620		950,923
Flextronics International Ltd.*		161,799		910,928
FLIR Systems, Inc.		35,327		884,941
Akamai Technologies, Inc.*		40,785		810,806
Total Information Technology				343,092,330
CONSUMER DISCRETIONARY - 15.9%
Amazon.com, Inc.*		100,407		21,711,006
Comcast Corp. — Class A		462,197		9,659,917
DIRECTV — Class A*		163,895		6,924,564
News Corp. — Class A		404,418		6,256,346
Starbucks Corp.		165,024		6,153,745
Priceline.com, Inc.		11,009		4,948,105
Wynn Resorts Ltd.		27,638		3,180,581
Bed Bath & Beyond, Inc.*		55,137		3,159,902
Staples, Inc.		156,868		2,086,344
Ross Stores, Inc.		25,865		2,035,317
Dollar Tree, Inc.*		26,986		2,026,918
O’Reilly Automotive, Inc.*		30,074		2,003,831
Mattel, Inc.		75,842		1,963,549
Liberty Interactive Corp. — Class A*		126,670		1,870,916
Virgin Media, Inc.		69,516		1,692,715
Expedia, Inc.		55,001		1,416,276
Garmin Ltd.		42,935		1,364,045
Sears Holdings Corp.*		23,646		1,360,118
Sirius XM Radio, Inc.*		873,510		1,319,000
Netflix, Inc.*		11,620		1,314,919
Apollo Group, Inc. — Class A		30,361		1,202,599
Ctrip.com International Ltd. ADR*		32,476		1,044,428
Urban Outfitters, Inc.*		34,839		777,607
Total Consumer Discretionary				85,472,748
HEALTH CARE - 10.7%
Amgen, Inc.		204,403		11,231,945
Gilead Sciences, Inc.		170,636		6,620,677
Celgene Corp.*		101,487		6,284,075
Teva Pharmaceutical Industries Ltd. ADR		154,731		5,759,088
Biogen Idec, Inc.*		53,651		4,997,591
Express Scripts, Inc. — Class A*		107,988		4,003,115
Intuitive Surgical, Inc.		8,644		3,148,836
Alexion Pharmaceuticals, Inc.*		40,820		2,614,929
Cerner Corp.*		37,390		2,561,963
Vertex Pharmaceuticals, Inc.*		46,030		2,050,176
Mylan, Inc.*		94,285		1,602,845
Life Technologies Corp.*		39,921		1,534,164
Henry Schein, Inc.*		20,440		1,267,484
Illumina, Inc.*		27,498		1,125,218
DENTSPLY International, Inc.		31,260		959,370
Warner Chilcott plc — Class A*		56,198		803,631
QIAGEN N.V.*		51,740		715,564
Total Health Care				57,280,671
CONSUMER STAPLES - 2.6%
Costco Wholesale Corp.		96,844		7,952,829
Green Mountain Coffee Roasters, Inc.*		33,867		3,147,599
Whole Foods Market, Inc.		39,191		2,559,564
Total Consumer Staples				13,659,992

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 39

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
NASDAQ-100^® FUND September 30, 2011

	Shares		Value
INDUSTRIALS - 2.5%
PACCAR, Inc.		80,847	$	2,734,246
CH Robinson Worldwide, Inc.		36,475		2,497,443
Fastenal Co.		65,280		2,172,518
Expeditors International of
Washington, Inc.		46,910		1,902,201
Stericycle, Inc.*		19,048		1,537,555
Joy Global, Inc.		23,230		1,449,087
First Solar, Inc.*		19,091		1,206,742
Total Industrials				13,499,792
TELECOMMUNICATION SERVICES - 1.1%
Vodafone Group plc ADR		198,780		5,098,707
NII Holdings, Inc.*		37,850		1,020,058
Total Telecommunication Services				6,118,765
MATERIALS - 0.3%
Sigma-Aldrich Corp.		27,000		1,668,330
Total Common Stocks (Cost $296,943,783)				520,792,628

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 2.9%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	8,458,398		8,458,398
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		4,183,318		4,183,318
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		2,972,997		2,972,997
Total Repurchase Agreements (Cost $15,614,713)				15,614,713
Total Investments — 100.0% (Cost $312,558,496)			$	536,407,341
Liabilities, Less Cash & Other Assets — 0.0%				(265,735	)
Total Net Assets — 100.0%			$	536,141,606

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $4,652,665)		109	$	(70,166	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. October 2011 NASDAQ-100 Index Swap, Terminating 10/24/112 (Notional Value $413,414)		193	$	(13,103	)
Barclays Bank plc October 2011 NASDAQ-100 Index Swap, Terminating 10/31/112 (Notional Value $1,674,545)		783		(45,828	)
Credit Suisse Capital, LLC
October 2011 NASDAQ-100 Index Swap, Terminating 10/31/112 (Notional Value $3,154,493)		1,475		(86,237	)
Goldman Sachs International
October 2011 NASDAQ-100 Index Swap, Terminating 10/27/112 (Notional Value $5,095,255)		2,382		(226,676	)
(Total Notional Value $10,337,707 )			$	(371,844	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements—See Note 5.
2	Total Return based on NASDAQ-100 Index +/- financing at a variable rate.
	ADR — American Depositary Receipt
	plc — Public Limited Company

40 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

NASDAQ-100^® FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011
Assets:
Investments, at value (cost $296,943,783)	$	520,792,628
Repurchase agreements, at value (cost $15,614,713)		15,614,713
Segregated cash with broker		2,196,510
Cash		19,052
Receivables:
Securities sold		19,760,562
Fund shares sold		2,811,000
Dividends		107,791
Total assets		561,302,256
Liabilities:
Unrealized depreciation on swap agreements		371,844
Payable for:
Fund shares redeemed		23,534,163
Management fees		368,515
Transfer agent and administrative fees		122,839
Portfolio accounting fees		39,979
Swap settlement		38,285
Distribution and service fees		18,288
Miscellaneous		666,737
Total liabilities		25,160,650
Net assets	$	536,141,606
Net assets consist of:
Paid in capital	$	398,408,848
Accumulated net investment loss		(1,344,428	)
Accumulated net realized loss on investments		(84,329,649	)
Net unrealized appreciation on investments		223,406,835
Net assets	$	536,141,606
Investor Class:
Net assets	$	506,362,484
Capital shares outstanding		36,370,856
Net asset value per share	$	13.92
Advisor Class:
Net assets	$	10,800,969
Capital shares outstanding		829,912
Net asset value per share	$	13.01
A-Class:
Net assets	$	7,309,851
Capital shares outstanding		551,787
Net asset value per share	$	13.25
Maximum offering price per share (Net asset value divided by 95.25%)	$	13.91
C-Class:
Net assets	$	11,668,302
Capital shares outstanding		935,612
Net asset value per share	$	12.47

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011
Investment Income:
Dividends (net of foreign withholding tax of $500)	$	2,844,804
Interest		17,715
Total investment income		2,862,519
Expenses:
Management fees		2,347,178
Transfer agent and administrative fees		782,393
Distribution and service fees:
Advisor Class		92,148
A-Class		17,352
C-Class		53,313
Portfolio accounting fees		250,486
Trustees’ fees*		24,273
Miscellaneous		639,804
Total expenses		4,206,947
Net investment loss		(1,344,428	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		73,336,491
Swap agreements		(2,997,651	)
Futures contracts		(4,215,593	)
Net realized gain		66,123,247
Net change in unrealized appreciation (depreciation) on:
Investments		(120,669,101	)
Swap agreements		(1,142,380	)
Futures contracts		(78,991	)
Net change in unrealized appreciation (depreciation)		(121,890,472	)
Net realized and unrealized loss		(55,767,225	)
Net decrease in net assets resulting from operations	$	(57,111,653	)

* 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 | SGI series funds semi-annual report | 41

NASDAQ-100^® FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(1,344,428	)	$	(3,428,489	)
Net realized gain on investments		66,123,247			70,297,595
Net change in unrealized appreciation (depreciation) on investments		(121,890,472	)		34,762,528
Net increase (decrease) in net assets resulting from operations		(57,111,653	)		101,631,634
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		508,888,196			860,487,604
Advisor Class		165,852,015			441,307,154
A-Class		69,116,752			67,791,746
C-Class		12,117,173			21,551,470
Cost of shares redeemed
Investor Class		(528,137,983	)		(940,995,522	)
Advisor Class		(275,754,951	)		(348,748,232	)
A-Class		(79,338,421	)		(64,453,774	)
C-Class		(11,361,829	)		(23,664,570	)
Net increase (decrease) from capital share transactions		(138,619,048	)		13,275,876
Net increase (decrease) in net assets		(195,730,701	)		114,907,510
Net assets:
Beginning of period		731,872,307			616,964,797
End of period	$	536,141,606		$	731,872,307
Accumulated net investment loss at end of period	$	(1,344,428	)	$	—
Capital share activity:
Shares sold
Investor Class		34,100,282			63,709,336
Advisor Class		11,863,401			35,761,441
A-Class		4,796,516			5,034,771
C-Class		922,256			1,782,827
Shares redeemed
Investor Class		(35,795,740	)		(70,201,212	)
Advisor Class		(19,461,649	)		(28,810,838	)
A-Class		(5,609,041	)		(4,903,901	)
C-Class		(851,464	)		(1,964,626	)
Net increase (decrease) in shares		(10,035,439	)		407,798

42 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

NASDAQ-100^® FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.23		$	12.83		$	8.15		$	11.81		$	11.78		$	11.34
Income (loss) from investment operations:
Net investment lossb		(.03	)		(.07	)		(.07	)		(.06	)		(.06	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		(1.28	)		2.47			4.75			(3.60	)		.09			.50
Total from investment operations		(1.31	)		2.40			4.68			(3.66	)		.03			.44
Net asset value, end of period	$	13.92		$	15.23		$	12.83		$	8.15		$	11.81		$	11.78
Total Returnc		(8.60	%)		18.71	%		57.42	%		(30.99%	)		0.25	%		3.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	506,362		$	579,925		$	571,761		$	389,944		$	617,923		$	635,744
Ratios to average net assets:
Net investment loss		(0.37	%)		(0.50	%)		(0.63	%)		(0.59	%)		(0.50	%)		(0.52	%)
Total expenses		1.29	%		1.31	%		1.30	%		1.30	%		1.28	%		1.22	%
Portfolio turnover rate		55	%		39	%		34	%		55	%		57	%		71	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.27		$	12.09		$	7.72		$	11.23		$	11.26		$	10.90
Income (loss) from investment operations:
Net investment lossb		(.07	)		(.12	)		(.12	)		(.11	)		(.12	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		(1.19	)		2.30			4.49			(3.40	)		.09			.47
Total from investment operations		(1.26	)		2.18			4.37			(3.51	)		(.03	)		.36
Net asset value, end of period	$	13.01		$	14.27		$	12.09		$	7.72		$	11.23		$	11.26
Total Returnc		(8.83	%)		18.03	%		56.61	%		(31.26%	)		(0.27%	)		3.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,801		$	120,277		$	17,859		$	18,078		$	15,184		$	9,349
Ratios to average net assets:
Net investment loss		(1.00	%)		(1.00	%)		(1.13	%)		(1.11	%)		(0.99	%)		(1.07	%)
Total expenses		1.79	%		1.80	%		1.80	%		1.79	%		1.78	%		1.73	%
Portfolio turnover rate		55	%		39	%		34	%		55	%		57	%		71	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 43

NASDAQ-100^® FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.52		$	12.27		$	7.82		$	11.35		$	11.36		$	10.96
Income (loss) from investment operations:
Net investment lossb		(.05	)		(.11	)		(.09	)		(.08	)		(.09	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		(1.22	)		2.36			4.54			(3.45	)		.08			.48
Total from investment operations		(1.27	)		2.25			4.45			(3.53	)		(.01	)		.40
Net asset value, end of period	$	13.25		$	14.52		$	12.27		$	7.82		$	11.35		$	11.36
Total Returnc		(8.75	%)		18.34	%		56.91	%		(31.10%	)		(0.09%	)		3.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,310		$	19,806		$	15,128		$	3,140		$	6,044		$	3,686
Ratios to average net assets:
Net investment loss		(0.69	%)		(0.81	%)		(0.86	%)		(0.82	%)		(0.76	%)		(0.73	%)
Total expenses		1.54	%		1.56	%		1.55	%		1.55	%		1.54	%		1.46	%
Portfolio turnover rate		55	%		39	%		34	%		55	%		57	%		71	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.72		$	11.67		$	7.49		$	10.95		$	11.02		$	10.73
Income (loss) from investment operations:
Net investment lossb		(.09	)		(.19	)		(.16	)		(.15	)		(.18	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		(1.16	)		2.24			4.34			(3.31	)		.11			.45
Total from investment operations		(1.25	)		2.05			4.18			(3.46	)		(.07	)		.29
Net asset value, end of period	$	12.47		$	13.72		$	11.67		$	7.49		$	10.95		$	11.02
Total Returnc		(9.11	%)		17.57	%		(55.81%	)		(31.60%	)		(0.64%	)		2.70	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,668		$	11,864		$	12,216		$	6,368		$	10,343		$	10,032
Ratios to average net assets:
Net investment loss		(1.40	%)		(1.52	%)		(1.63	%)		(1.59	%)		(1.50	%)		(1.55	%)
Total expenses		2.29	%		2.31	%		2.30	%		2.30	%		2.28	%		2.22	%
Portfolio turnover rate		55	%		39	%		34	%		55	%		57	%		71	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

44 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

INVERSE NASDAQ-100^® STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index^® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

“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 swap agreements and futures contracts.

the RYDEX | SGI series funds semi-annual report | 45

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
INVERSE NASDAQ-100®STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1- 70.7%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	8,562,948	$	8,562,948
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		4,235,025		4,235,025
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		3,009,745		3,009,745
Total Repurchase Agreements (Cost $15,807,718)				15,807,718
Total Investments — 70.7% (Cost $15,807,718)			$	15,807,718
Cash & Other Assets,
Less Liabilities — 29.3%				6,540,432
Total Net Assets — 100.0%			$	22,348,150

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS SOLD SHORT†
December 2011 NASDAQ-100 Index
Mini Futures Contracts (Aggregate Value of Contracts $8,238,205)		193	$	165,708

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Credit Suisse Capital, LLC October 2011 NASDAQ-100 Index Swap, Terminating 10/31/112 (Notional Value $8,582,621)		4,012	$	122,508
Barclays Bank plc October 2011 NASDAQ-100 Index Swap, Terminating 10/31/112 (Notional Value $4,074,133)		1,905		111,463
Goldman Sachs International October 2011 NASDAQ-100 Index Swap, Terminating 10/27/112 (Notional Value $941,151)		440		41,864
Morgan Stanley Capital Services, Inc. October 2011 NASDAQ-100 Index Swap, Terminating 10/24/112 (Notional Value $551,248)		258		17,433
(Total Notional Value $14,149,153)			$	293,268

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements—See Note 5.
2	Total Return based on NASDAQ-100 Index +/- financing at a variable rate.       plc — Public Limited Company

46 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE NASDAQ-100^® STRATEGY FUND

STATEMENTOFASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Repurchase agreements, at value (cost $15,807,718)	$	15,807,718
Segregated cash with broker		2,928,497
Unrealized appreciation on swap agreements		293,268
Receivable for swap settlement		11,658
Receivables:
Fund shares sold		3,725,894
Variation margin		213,265
Total assets		22,980,300
Liabilities:
Payable for:
Fund shares redeemed		590,177
Management fees		14,954
Transfer agent and administrative fees		4,154
Portfolio accounting fees		1,661
Distribution and service fees		1,640
Miscellaneous		19,564
Total liabilities		632,150
Net Assets	$	22,348,150
Net assets consist of:
Paid in capital	$	115,103,458
Accumulated net investment loss		(158,451	)
Accumulated net realized loss on investments		(93,055,833	)
Net unrealized appreciation on investments		458,976
Net assets	$	22,348,150
Investor Class:
Net assets	$	17,590,050
Capital shares outstanding		1,407,692
Net asset value per share	$	12.49
Advisor Class:
Net assets	$	2,979,654
Capital shares outstanding		249,135
Net asset value per share	$	11.96
A-Class:
Net assets	$	725,430
Capital shares outstanding		59,436
Net asset value per share	$	12.20
Maximum offering price per share (Net asset value divided by 95.25%)	$	12.81
C-Class:
Net assets	$	1,053,016
Capital shares outstanding		94,659
Net asset value per share	$	11.12

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	10,023
Total investment income		10,023
Expenses:
Management fees		97,590
Transfer agent and administrative fees		27,108
Distribution and service fees:
Advisor Class		2,944
A-Class		1,079
C-Class		6,181
Portfolio accounting fees		10,843
Trustees’ fees*		935
Miscellaneous		21,794
Total expenses		168,474
Net investment loss		(158,451	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(286,106	)
Futures contracts		(631,659	)
Net realized loss		(917,765	)
Net change in unrealized appreciation (depreciation) on:
Investments		(3,616	)
Swap agreements		629,597
Futures contracts		339,487
Net change in unrealized appreciation (depreciation)		965,468
Net realized and unrealized gain		47,703
Net decrease in net assets resulting from operations	$	(110,748	)

* 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 | SGI series funds semi-annual report | 47

INVERSE NASDAQ-100^® STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(158,451	)	$	(371,197	)
Net realized loss on investments		(917,765	)		(7,304,342	)
Net change in unrealized appreciation (depreciation) on investments		965,468			882,515
Net decrease in net assets resulting from operations		(110,748	)		(6,793,024	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		98,436,081			260,086,564
Advisor Class		22,158,484			27,365,708
A-Class		3,274,753			4,601,753
C-Class		5,524,111			9,852,417
Cost of shares redeemed
Investor Class		(113,527,329	)		(242,454,552	)
Advisor Class		(19,957,246	)		(27,271,613	)
A-Class		(3,529,466	)		(4,482,661	)
C-Class		(6,921,162	)		(8,856,521	)
Net increase (decrease) from capital share transactions		(14,541,774	)		18,841,095
Net increase (decrease) in net assets		(14,652,522	)		12,048,071
Net assets:
Beginning of period		37,000,672			24,952,601
End of period	$	22,348,150		$	37,000,672
Accumulated net investment loss at end of period	$	(158,451	)	$	—
Capital share activity:
Shares sold
Investor Class		8,130,803			18,840,855
Advisor Class		1,923,029			2,019,121
A-Class		280,719			320,094
C-Class		502,719			786,039
Shares redeemed
Investor Class		(9,488,671	)		(17,478,115	)
Advisor Class		(1,730,077	)		(2,025,955	)
A-Class		(302,389	)		(309,462	)
C-Class		(636,273	)		(694,263	)
Net increase (decrease) in shares		(1,320,140	)		1,458,314

48 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE NASDAQ-100^® STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	11.92		$	15.07		$	25.09		$	21.27		$	21.67		$	21.80
Income (loss) from investment operations:
Net investment income (loss)b		(.08	)		(.18	)		(.25	)		(.06	)		.59			(.11	)
Net gain (loss) on investments (realized and unrealized)		.65			(2.97	)		(9.77	)		4.25			(.30	)		.54
Total from investment operations		.57			(3.15	)		(10.02	)		4.19			.29			.43
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	12.49		$	11.92		$	15.07		$	25.09		$	21.27		$	21.67
Total Returnc		4.78	%		(20.90%	)		(39.94%	)		19.48	%		1.92	%		2.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,590		$	32,978		$	21,137		$	33,672		$	59,819		$	104,617
Ratios to average net assets:
Net investment income (loss)		(1.37	%)		(1.30	%)		(1.35	%)		(0.26	%)		2.98	%		3.79	%
Total expenses		1.46	%		1.47	%		1.47	%		1.46	%		1.47	%		1.40	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	11.43		$	14.54		$	24.37		$	20.77		$	21.28		$	21.51
Income (loss) from investment operations:
Net investment income (loss)b		(.11	)		(.24	)		(.32	)		(.06	)		.51			(.22	)
Net gain (loss) on investments (realized and unrealized)		.64			(2.87	)		(9.51	)		4.03			(.33	)		.55
Total from investment operations		.53			(3.11	)		(9.83	)		3.97			.18			.33
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	11.96		$	11.43		$	14.54		$	24.37		$	20.77		$	21.28
Total Returnc		4.64	%		(21.39%	)		(40.34%	)		18.88	%		1.43	%		1.56	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,980		$	642		$	916		$	476		$	3,744		$	11,436
Ratios to average net assets:
Net investment income (loss)		(1.85	%)		(1.80	%)		(1.84	%)		(0.29	%)		2.56	%		3.29	%
Total expenses		1.95	%		1.97	%		1.97	%		1.97	%		1.98	%		1.90	%
Portfolio turnover rate		—			—			—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 49

INVERSE NASDAQ-100^®STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	11.66		$	14.78		$	24.67		$	20.97		$	21.43		$	21.61
Income (loss) from investment operations:
Net investment income (loss)b		(.09	)		(.21	)		(.26	)		(.22	)		.52			(.16	)
Net gain (loss) on investments (realized and unrealized)		.63			(2.91	)		(9.63	)		4.29			(.29	)		.54
Total from investment operations		.54			(3.12	)		(9.89	)		4.07			.23			.38
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	12.20		$	11.66		$	14.78		$	24.67		$	20.97		$	21.43
Total Returnc		4.63	%		(21.11%	)		(40.09%	)		19.18	%		1.65	%		1.79	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	725		$	946		$	1,041		$	2,301		$	1,784		$	4,086
Ratios to average net assets:
Net investment income (loss)		(1.61	%)		(1.54	%)		(1.37	%)		(0.92	%)		2.61	%		3.55	%
Total expenses		1.71	%		1.72	%		1.71	%		1.71	%		1.72	%		1.64	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007d
Per Share Data
Net asset value, beginning of period	$	10.67		$	13.62		$	22.91		$	19.63		$	20.27		$	20.63
Income (loss) from investment operations:
Net investment income (loss)b		(.13	)		(.29	)		(.39	)		(.25	)		.38			(.32	)
Net gain (loss) on investments (realized and unrealized)		.58			(2.66	)		(8.90	)		3.90			(.33	)		.52
Total from investment operations		.45			(2.95	)		(9.29	)		3.65			.05			.20
Less distributions from:
Net investment income		—			—			—			(.37	)		(.69	)		(.56	)
Total distributions		—			—			—			(.37	)		(.69	)		(.56	)
Net asset value, end of period	$	11.12		$	10.67		$	13.62		$	22.91		$	19.63		$	20.27
Total Returnc		4.22	%		(21.66%	)		(40.55%	)		18.35	%		0.85	%		1.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,053		$	2,435		$	1,858		$	3,066		$	7,633		$	17,834
Ratios to average net assets:
Net investment income (loss)		(2.36	%)		(2.29	%)		(2.33	%)		(1.19	%)		2.05	%		2.79	%
Total expenses		2.46	%		2.47	%		2.47	%		2.47	%		2.48	%		2.40	%
Portfolio turnover rate		—			—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Prior to April 1, 2007, the Fund operated under a Master-Feeder Structure. Ratios represent combined net investment income of the former Master Portfolio and the Fund. Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007.

50 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited)	September 30, 2011
MID-CAP 1.5x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:

A-Class	March 31, 2004
C-Class	August 20, 2001
H-Class	August 16, 2001

Ten Largest Holdings (% of Total Net Assets)

Green Mountain Coffee
Roasters, Inc.	1.0	%
Vertex Pharmaceuticals, Inc.	0.8	%
Dollar Tree, Inc.	0.8	%
Perrigo Co.	0.8	%
Hansen Natural Corp.	0.6	%
BorgWarner, Inc.	0.6	%
Church & Dwight Company, Inc.	0.5	%
Henry Schein, Inc.	0.5	%
Macerich Co.	0.5	%
HollyFrontier Corp.	0.5	%
Top Ten Total	6.6	%

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

the RYDEX | SGI series funds semi-annual report | 51

SCHEDULE OF INVESTMENTS (Unaudited)

MID-CAP 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
COMMON STOCKS†- 81.5%
FINANCIALS - 15.8%
Macerich Co.		1,520	$	64,798
New York Community Bancorp, Inc.		5,041		59,988
Federal Realty Investment Trust		720		59,335
SL Green Realty Corp.		980		56,987
UDR, Inc.		2,520		55,793
Rayonier, Inc.		1,408		51,800
Everest Re Group Ltd.		630		50,009
Realty Income Corp.		1,460		47,070
Affiliated Managers Group, Inc.*		600		46,830
Essex Property Trust, Inc.		379		45,495
Camden Property Trust		820		45,313
Alexandria Real Estate Equities, Inc.		717		44,017
MSCI, Inc. — Class A*		1,390		42,159
Fidelity National Financial, Inc. — Class A		2,577		39,119
Reinsurance Group of America, Inc.		850		39,058
WR Berkley Corp.		1,311		38,924
Liberty Property Trust		1,329		38,687
Senior Housing Properties Trust		1,770		38,126
Regency Centers Corp.		1,037		36,637
BRE Properties, Inc.		860		36,412
Transatlantic Holdings, Inc.		724		35,128
HCC Insurance Holdings, Inc.		1,266		34,245
Arthur J Gallagher & Co.		1,300		34,190
Taubman Centers, Inc.		670		33,708
Cullen		708		32,469
Commerce Bancshares, Inc.		895		31,101
First Niagara Financial Group, Inc.		3,396		31,073
Home Properties, Inc.		545		30,934
Raymond James Financial, Inc.		1,180		30,633
Duke Realty Corp.		2,914		30,597
Hospitality Properties Trust		1,419		30,125
Eaton Vance Corp.		1,350		30,065
American Campus Communities, Inc.		800		29,768
Weingarten Realty Investors		1,396		29,553
American Financial Group, Inc.		900		27,963
Mack-Cali Realty Corp.		1,000		26,750
SEI Investments Co.		1,720		26,454
Hancock Holding Co.		980		26,244
Old Republic International Corp.		2,938		26,207
Jones Lang LaSalle, Inc.		500		25,905
East West Bancorp, Inc.		1,717		25,600
Waddell & Reed Financial, Inc. — Class A		988		24,710
Brown & Brown, Inc.		1,330		23,674
Highwoods Properties, Inc.		830		23,456
Jefferies Group, Inc.		1,700		21,097
Valley National Bancorp		1,958		20,735
City National Corp.		543		20,504
Bank of Hawaii Corp.		547		19,911
Omega Healthcare Investors, Inc.		1,190		18,957
Aspen Insurance Holdings Ltd.		820		18,893
Hanover Insurance Group, Inc.		525		18,638
Associated Banc-Corp.		2,000		18,600
SVB Financial Group*		498		18,426
Corporate Office Properties Trust		830		18,077
Prosperity Bancshares, Inc.		540		17,647
Fulton Financial Corp.		2,300		17,595
Apollo Investment Corp.		2,258		16,980
TCF Financial Corp.		1,840		16,854
Washington Federal, Inc.		1,270		16,180
Mercury General Corp.		420		16,107
First American Financial Corp.		1,216		15,565
Protective Life Corp.		980		15,317
Potlatch Corp.		467		14,720
FirstMerit Corp.		1,256		14,268
StanCorp Financial Group, Inc.		513		14,143
Kemper Corp.		580		13,897
Trustmark Corp.		740		13,431
Webster Financial Corp.		847		12,959
Westamerica Bancorporation		327		12,531
Equity One, Inc.		688		10,912
Cathay General Bancorp		910		10,356
Synovus Financial Corp.		9,110		9,748
Greenhill & Company, Inc.		340		9,721
International Bancshares Corp.		610		8,022
Astoria Financial Corp.		960		7,382
BancorpSouth, Inc.		835		7,331
Cousins Properties, Inc.		1,195		6,991
Total Financials				2,129,604
INFORMATION TECHNOLOGY - 12.9%
Rovi Corp.*		1,282		55,100
Alliance Data Systems Corp.*		585		54,229
Lam Research Corp.*		1,424		54,084
Varian Semiconductor Equipment Associates, Inc.		870		53,201
ANSYS, Inc.*		1,060		51,982
Informatica Corp. — Class A		1,230		50,368
Equinix, Inc.*		540		47,968
Trimble Navigation Ltd.*		1,410		47,306
Factset Research Systems, Inc.		530		47,154
Avnet, Inc.*		1,757		45,823
Atmel Corp.*		5,360		43,255
TIBCO Software, Inc.*		1,870		41,869
VeriFone Systems, Inc.*		1,192		41,744
Solera Holdings, Inc.		820		41,410
MICROS Systems, Inc.*		930		40,836
Rackspace Hosting, Inc.*		1,190		40,627
Synopsys, Inc.*		1,664		40,535
Gartner, Inc.*		1,110		38,706
Skyworks Solutions, Inc.*		2,148		38,535
Global Payments, Inc.		930		37,563

52 the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

MID-CAP 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Polycom, Inc.*		2,040	$	37,475
Arrow Electronics, Inc.		1,319		36,642
Riverbed Technology, Inc.		1,790		35,728
Cree, Inc.		1,330		34,553
NCR Corp.*		1,815		30,655
Cypress Semiconductor Corp.		1,980		29,641
Ingram Micro, Inc. — Class A*		1,817		29,308
Jack Henry & Associates, Inc.		1,000		28,980
Cadence Design Systems, Inc.*		3,104		28,681
Broadridge Financial Solutions, Inc.		1,420		28,599
National Instruments Corp.		1,070		24,460
Tech Data Corp.*		499		21,572
NeuStar, Inc. — Class A*		844		21,218
Parametric Technology Corp.*		1,352		20,794
Diebold, Inc.		737		20,275
RF Micro Devices, Inc.*		3,188		20,212
Concur Technologies, Inc.*		536		19,950
ADTRAN, Inc.		740		19,580
Zebra Technologies Corp. — Class A*		623		19,276
DST Systems, Inc.		405		17,751
Silicon Laboratories, Inc.*		510		17,090
Fairchild Semiconductor International, Inc. — Class A*		1,470		15,876
Semtech Corp.*		750		15,825
Plantronics, Inc.		541		15,391
QLogic Corp.*		1,198		15,191
Vishay Intertechnology, Inc.*		1,813		15,157
International Rectifier Corp.*		810		15,082
Intersil Corp. — Class A		1,450		14,921
AOL, Inc.*		1,237		14,844
ValueClick, Inc.*		950		14,782
Itron, Inc.*		470		13,865
Lender Processing Services, Inc.		976		13,361
CoreLogic, Inc.*		1,230		13,124
Convergys Corp.*		1,385		12,991
Ciena Corp.*		1,120		12,544
ACI Worldwide, Inc.*		390		10,741
Quest Software, Inc.*		672		10,671
Mentor Graphics Corp.*		1,071		10,303
Acxiom Corp.*		940		10,002
Fair Isaac Corp.		447		9,758
Digital River, Inc.*		460		9,536
Integrated Device Technology, Inc.*		1,682		8,662
Mantech International Corp. — Class A		270		8,473
Advent Software, Inc.*		378		7,881
Total Information Technology				1,743,716
INDUSTRIALS - 11.7%
Kansas City Southern*		1,270		63,449
AMETEK, Inc.		1,860		61,324
Donaldson Company, Inc.		872		47,786
Waste Connections, Inc.		1,305		44,135
KBR, Inc.		1,741		41,140
BE Aerospace, Inc.		1,188		39,335
J.B. Hunt Transport Services, Inc.		1,070		38,648
AGCO Corp.*		1,110		38,373
Gardner Denver, Inc.		600		38,130
Pentair, Inc.		1,140		36,491
Towers Watson & Co. — Class A		610		36,466
Hubbell, Inc. — Class B		692		34,282
Kirby Corp.*		636		33,479
Timken Co.		970		31,835
Manpower, Inc.		945		31,771
Kennametal, Inc.		936		30,645
MSC Industrial Direct Co. — Class A		540		30,488
IDEX Corp.		960		29,914
Wabtec Corp.		560		29,607
Lincoln Electric Holdings, Inc.		974		28,256
Corrections Corporation of America*		1,230		27,909
Clean Harbors, Inc.*		540		27,702
Nordson Corp.		688		27,341
URS Corp.*		920		27,287
SPX Corp.		588		26,642
Copart, Inc.*		646		25,272
AECOM Technology Corp.		1,378		24,349
Thomas & Betts Corp.*		606		24,186
Graco, Inc.		700		23,898
Alaska Air Group, Inc.*		410		23,079
Carlisle Companies, Inc.		713		22,730
Landstar System, Inc.		554		21,916
Regal-Beloit Corp.		480		21,782
Triumph Group, Inc.		440		21,446
Alliant Techsystems, Inc.		384		20,932
Valmont Industries, Inc.		260		20,264
Crane Co. — Class A		560		19,986
Trinity Industries, Inc.		920		19,697
Woodward, Inc.		690		18,906
Esterline Technologies Corp.*		350		18,144
Shaw Group, Inc.*		830		18,044
Harsco Corp.		929		18,013
Acuity Brands, Inc.		498		17,948
FTI Consulting, Inc.		475		17,485
Alexander & Baldwin, Inc.		477		17,425
GATX Corp.		540		16,735
Watsco, Inc.		325		16,608
Oshkosh Corp.*		1,050		16,527
Lennox International, Inc.		610		15,726
UTI Worldwide, Inc.		1,180		15,387
Con-way, Inc.		640		14,163
General Cable Corp.*		600		14,010
Rollins, Inc.		740		13,845
Huntington Ingalls Industries, Inc.		558		13,576
Terex Corp.*		1,260		12,928
Brink’s Co.		540		12,587
United Rentals, Inc.*		726		12,226
Herman Miller, Inc.		670		11,966

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 53

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

MID-CAP 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Corporate Executive Board Co.		400	$	11,920
Deluxe Corp.		587		10,918
Werner Enterprises, Inc.		510		10,623
HNI Corp.		516		9,871
JetBlue Airways Corp.*		2,350		9,635
Mine Safety Appliances Co.		356		9,598
Granite Construction, Inc.		400		7,508
Korn*		546		6,656
Total Industrials				1,580,950
CONSUMER DISCRETIONARY - 11.4%
Dollar Tree, Inc.*		1,401		105,229
BorgWarner, Inc.		1,260		76,268
PetSmart, Inc.		1,301		55,488
Tractor Supply Co.		819		51,228
Fossil, Inc.*		610		49,447
Advance Auto Parts, Inc.		849		49,327
PVH Corp.		780		45,427
Deckers Outdoor Corp.*		446		41,594
LKQ Corp.*		1,690		40,830
Polaris Industries, Inc.		800		39,976
Gentex Corp.		1,650		39,682
Tupperware Brands Corp.		700		37,618
Dick’s Sporting Goods, Inc.*		1,110		37,141
Williams-Sonoma, Inc.		1,206		37,133
Panera Bread Co. — Class A*		350		36,379
NVR, Inc.*		60		36,239
Foot Locker, Inc.		1,759		35,338
Mohawk Industries, Inc.*		660		28,321
Hanesbrands, Inc.		1,120		28,011
Under Armour, Inc. — Class A*		420		27,892
American Eagle Outfitters, Inc.		2,249		26,358
Service Corporation International		2,731		25,016
Toll Brothers, Inc.*		1,690		24,387
John Wiley & Sons, Inc. — Class A		548		24,342
Aaron’s, Inc.		910		22,978
Warnaco Group, Inc.*		494		22,768
Chico’s FAS, Inc.		1,987		22,711
Guess?, Inc.		770		21,937
Sotheby’s		780		21,505
Ascena Retail Group, Inc.*		794		21,494
AMC Networks, Inc. — Class A*		658		21,023
Brinker International, Inc.		954		19,958
Rent-A-Center, Inc. — Class A		714		19,599
Life Time Fitness, Inc.*		490		18,057
Saks, Inc.*		1,840		16,100
Wendy’s Co.		3,466		15,909
Cheesecake Factory, Inc.*		645		15,899
DreamWorks Animation SKG, Inc. — Class A*		820		14,908
Bally Technologies, Inc.*		510		13,760
ANN, Inc.*		600		13,704
RadioShack Corp.		1,145		13,305
ITT Educational Services, Inc.*		231		13,301
Lamar Advertising Co. — Class A*		670		11,410
Thor Industries, Inc.		510		11,296
WMS Industries, Inc.*		637		11,205
Strayer Education, Inc.		135		10,350
Matthews International Corp. — Class A		336		10,335
Valassis Communications, Inc.*		540		10,120
99 Cents Only Stores*		548		10,094
Aeropostale, Inc.*		929		10,042
Bob Evans Farms, Inc.		350		9,982
Meredith Corp.		430		9,735
Regis Corp.		660		9,299
Career Education Corp.*		696		9,083
Collective Brands, Inc.*		700		9,072
American Greetings Corp. — Class A		470		8,695
Scholastic Corp.		290		8,129
New York Times Co. — Class A*		1,390		8,076
International Speedway Corp. — Class A		327		7,469
MDC Holdings, Inc.		433		7,335
Office Depot, Inc.*		3,225		6,644
Barnes & Noble, Inc.		470		5,560
Ryland Group, Inc.		507		5,400
KB Home		830		4,864
Scientific Games Corp. — Class A*		667		4,749
Eastman Kodak Co.*		3,104		2,421
Total Consumer Discretionary				1,528,952
HEALTH CARE - 9.6%
Vertex Pharmaceuticals, Inc.*		2,400		106,896
Perrigo Co.		1,070		103,908
Henry Schein, Inc.*		1,060		65,731
Mettler-Toledo International, Inc.*		370		51,785
ResMed, Inc.*		1,741		50,123
Kinetic Concepts, Inc.*		720		47,441
Hologic, Inc.		3,025		46,010
IDEXX Laboratories, Inc.*		652		44,968
Cooper Companies, Inc.		550		43,533
Allscripts Healthcare Solutions, Inc.*		2,170		39,103
Universal Health Services, Inc. — Class B		1,129		38,386
Endo Pharmaceuticals Holdings, Inc.		1,340		37,507
Mednax, Inc.*		560		35,078
Omnicare, Inc.		1,330		33,822
Pharmaceutical Product
Development, Inc.		1,310		33,615
Catalyst Health Solutions, Inc.*		570		32,883
Covance, Inc.*		700		31,815
Gen-Probe, Inc.*		550		31,488
Techne Corp.		427		29,040
Medicis Pharmaceutical Corp. — Class A		730		26,630
Teleflex, Inc.		470		25,272
Health Net, Inc.*		1,027		24,350

54 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

MID-CAP 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Lincare Holdings, Inc.		1,073	$	24,143
Thoratec Corp.*		690		22,522
United Therapeutics Corp.*		600		22,494
AMERIGROUP Corp.*		569		22,197
LifePoint Hospitals, Inc.*		599		21,947
Hill-Rom Holdings, Inc.		730		21,915
Bio-Rad Laboratories, Inc. — Class A*		230		20,877
Owens & Minor, Inc.		730		20,790
Health Management Associates, Inc. — Class A*		2,930		20,276
STERIS Corp.		680		19,904
WellCare Health Plans, Inc.*		490		18,610
Community Health Systems, Inc.		1,070		17,805
Charles River Laboratories International, Inc.		591		16,914
VCA Antech, Inc.*		1,000		15,980
Masimo Corp.		690		14,938
Kindred Healthcare, Inc.		600		5,172
Total Health Care				1,285,868
UTILITIES - 5.3%
OGE Energy Corp.		1,130		54,003
NSTAR		1,194		53,503
Alliant Energy Corp.		1,279		49,472
National Fuel Gas Co.		955		46,489
MDU Resources Group, Inc.		2,180		41,834
DPL, Inc.		1,360		40,990
N.V. Energy, Inc.		2,718		39,982
AGL Resources, Inc.		900		36,666
Questar Corp.		2,045		36,217
Westar Energy, Inc.		1,330		35,139
Aqua America, Inc.		1,590		34,296
UGI Corp.		1,289		33,862
Atmos Energy Corp.		1,040		33,748
Great Plains Energy, Inc.		1,570		30,301
Hawaiian Electric Industries, Inc.		1,100		26,708
Vectren Corp.		940		25,455
Cleco Corp.		706		24,103
WGL Holdings, Inc.		590		23,051
IDACORP, Inc.		570		21,535
PNM Resources, Inc.		996		16,364
Black Hills Corp.		458		14,033
Total Utilities				717,751
ENERGY - 5.3%
HollyFrontier Corp.		2,420		63,452
Southern Union Co.		1,436		58,258
Cimarex Energy Co.		989		55,087
SM Energy Co.		730		44,274
Oceaneering International, Inc.		1,247		44,069
Dresser-Rand Group, Inc.*		917		37,166
Plains Exploration & Production Co.		1,625		36,904
Arch Coal, Inc.		2,460		35,867
Energen Corp.		828		33,857
Patterson-UTI Energy, Inc.		1,790		31,039
Oil States International, Inc.*		590		30,043
Tidewater, Inc.		598		25,146
Superior Energy Services, Inc.		918		24,088
CARBO Ceramics, Inc.		230		23,582
Atwood Oceanics, Inc.*		647		22,231
Dril-Quip, Inc.*		400		21,564
Bill Barrett Corp.*		550		19,932
Forest Oil Corp.*		1,320		19,008
Unit Corp.*		480		17,722
Helix Energy Solutions Group, Inc.*		1,224		16,034
Northern Oil and Gas, Inc.*		730		14,155
Quicksilver Resources, Inc.*		1,380		10,460
Patriot Coal Corp.*		1,056		8,934
Comstock Resources, Inc.*		550		8,503
Exterran Holdings, Inc.*		740		7,193
Overseas Shipholding Group, Inc.		297		4,081
Total Energy				712,649
MATERIALS - 5.1%
Albemarle Corp.		1,060		42,824
Rock-Tenn Co. — Class A		820		39,918
Ashland, Inc.		894		39,461
Temple-Inland, Inc.		1,249		39,181
Aptargroup, Inc.		770		34,396
Valspar Corp.		1,073		33,488
Martin Marietta Materials, Inc.		528		33,380
Sonoco Products Co.		1,150		32,464
Domtar Corp.		466		31,767
Reliance Steel & Aluminum Co.		858		29,181
RPM International, Inc.		1,510		28,237
Packaging Corporation of America		1,144		26,655
Compass Minerals International, Inc.		380		25,376
Steel Dynamics, Inc.		2,515		24,949
Scotts Miracle-Gro Co. — Class A		515		22,969
Carpenter Technology Corp.		509		22,849
Silgan Holdings, Inc.		570		20,942
Cytec Industries, Inc.		570		20,030
NewMarket Corp.		130		19,743
Sensient Technologies Corp.		575		18,716
Cabot Corp.		752		18,635
Olin Corp.		920		16,569
Greif, Inc. — Class A		356		15,269
Intrepid Potash, Inc.*		610		15,171
Commercial Metals Co.		1,327		12,620
Minerals Technologies, Inc.		203		10,002
Worthington Industries, Inc.		640		8,941
Louisiana-Pacific Corp.		1,520		7,752
Total Materials				691,485

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 55

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)

MID-CAP 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
CONSUMER STAPLES - 4.0%
Green Mountain Coffee Roasters, Inc.*		1,480	$	137,551
Hansen Natural Corp.		890		77,688
Church & Dwight Company, Inc.		1,650		72,930
Energizer Holdings, Inc.*		795		52,820
Ralcorp Holdings, Inc.		630		48,327
Smithfield Foods, Inc.		1,904		37,128
Corn Products International, Inc.		880		34,531
Flowers Foods, Inc.		1,300		25,298
Ruddick Corp.		570		22,224
Lancaster Colony Corp.		230		14,032
Universal Corp.		269		9,647
Tootsie Roll Industries, Inc.		290		6,995
Total Consumer Staples				539,171
TELECOMMUNICATION SERVICES - 0.4%
tw telecom, Inc. — Class A*		1,740		28,745
Telephone & Data Systems, Inc.		1,060		22,525
Total Telecommunication Services				51,270
Total Common Stocks (Cost $9,862,824)				10,981,416
WARRANT*,†† - 0.0%
CONSUMER DISCRETIONARY - 6.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		510		148
Total Warrant (Cost $—)				148

	Face
	AMOUNT
REPURCHASE AGREEMENTS††,1 - 12.7%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	929,540		929,540
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		459,728		459,728
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		326,719		326,719
Total Repurchase Agreements (Cost $1,715,987)				1,715,987
Total Investments — 94.2% (Cost $11,578,811)			$	12,697,551
Cash & Other Assets, Less Liabilities — 5.8%				777,163
Total Net Assets — 100.0%			$	13,474,714

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $1,790,320)		23	$	(110,032	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. October 2011 S&P MidCap 400 Index Swap, Terminating 10/24/112 (Notional Value $517,760)		663	$	(8,373	)
Goldman Sachs International October 2011 S&P MidCap 400 Index Swap, Terminating 10/27/112 (Notional Value $1,401,732)		1,794		(50,765	)
Credit Suisse Capital, LLC October 2011 S&P MidCap 400 Index Swap, Terminating 10/31/112 (Notional Value $1,994,227)		2,553		(58,436	)
Barclays Bank plc October 2011 S&P MidCap 400 Index Swap, Terminating 10/31/112 (Notional Value $3,582,462)		4,586		(105,071	)
(Total Notional Value $7,496,181 )			$	(222,645	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. plc — Public Limited Company

56 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

MID-CAP 1.5x STRATEGY FUND

STATEMENT OF ASSETS
AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $9,862,824)	$	10,981,564
Repurchase agreements, at value (cost $1,715,987)		1,715,987
Segregated cash with broker		714,872
Receivables:
Securities sold		1,329,828
Dividends		12,115
Fund shares sold		2,360
Total assets		14,756,726
Liabilities:
Unrealized depreciation on swap agreements		222,645
Payable for:
Fund shares redeemed		926,784
Securities purchased		34,326
Management fees		12,779
Distribution and service fees		6,848
Swap settlement		5,118
Transfer agent and administrative fees		3,550
Portfolio accounting fees		1,420
Miscellaneous		68,542
Total liabilities		1,282,012
Net assets	$	13,474,714
Net assets consist of:
Paid in capital	$	32,249,685
Accumulated net investment loss		(148,122	)
Accumulated net realized loss on investments		(19,412,912	)
Net unrealized appreciation on investments		786,063
Net assets	$	13,474,714
A-Class:
Net assets	$	703,192
Capital shares outstanding		27,505
Net asset value per share	$	25.56
Maximum offering price per share (Net asset value divided by 95.25%)	$	26.83
C-Class:
Net assets	$	4,734,797
Capital shares outstanding		201,503
Net asset value per share	$	23.49
H-Class:
Net assets	$	8,036,725
Capital shares outstanding		314,553
Net asset value per share	$	25.55

STATEMENT OF
OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	149,273
Interest		882
Total investment income		150,155
Expenses:
Management fees		146,483
Transfer agent and administrative fees		40,690
Distribution and service fees:
A-Class		1,685
C-Class		33,775
H-Class		30,561
Portfolio accounting fees		16,276
Trustees’ fees*		1,660
Miscellaneous		27,147
Total expenses		298,277
Net investment loss		(148,122	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,356,362	)
Swap agreements		(1,882,661	)
Futures contracts		(1,184,381	)
Net realized loss		(4,423,404	)
Net change in unrealized appreciation (depreciation) on:
Investments		(3,845,849	)
Swap agreements		(1,087,352	)
Futures contracts		(110,177	)
Net change in unrealized appreciation (depreciation)		(5,043,378	)
Net realized and unrealized loss		(9,466,782	)
Net decrease in net assets resulting from operations	$	(9,614,904	)

* 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 | SGI series funds semi-annual report | 57

MID-CAP 1.5x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(148,122	)	$	(353,954	)
Net realized gain (loss) on investments		(4,423,404	)		3,824,140
Net change in unrealized appreciation (depreciation) on investments		(5,043,378	)		1,314,011
Net increase (decrease) in net assets resulting from operations		(9,614,904	)		4,784,197
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		669,700			1,553,048
C-Class		5,548,183			16,167,502
H-Class		67,401,670			368,792,421
Cost of shares redeemed
A-Class		(1,427,798	)		(1,666,271	)
C-Class		(4,475,562	)		(15,672,167	)
H-Class		(95,196,262	)		(359,850,110	)
Net increase (decrease) from capital share transactions		(27,480,069	)		9,324,423
Net increase (decrease) in net assets		(37,094,973	)		14,108,620
Net assets:
Beginning of period		50,569,687			36,461,067
End of period	$	13,474,714		$	50,569,687
Accumulated net investment loss at end of period	$	(148,122	)	$	—
Capital share activity:
Shares sold
A-Class		18,534			51,004
C-Class		164,457			563,073
H-Class		1,892,327			12,089,650
Shares redeemed
A-Class		(41,562	)		(58,734	)
C-Class		(139,415	)		(549,462	)
H-Class		(2,726,779	)		(12,087,163	)
Net increase (decrease) in shares		(832,438	)		8,368

58 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

MID-CAP 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	37.14		$	26.89		$	13.33		$	32.39		$	41.56		$	40.14
Income (loss) from investment operations:
Net investment income (loss)b		(.13	)		(.26	)		(.16	)		—	c		.23			.05
Net gain (loss) on investments (realized and unrealized)		(11.45	)		10.51			13.72			(17.74	)		(7.46	)		2.74
Total from investment operations		(11.58	)		10.25			13.56			(17.74	)		(7.23	)		2.79
Less distributions from:
Net investment income		—			—			—			—			(.26	)		—
Net realized gains		—			—			—			(1.32	)		(1.68	)		(1.37	)
Total distributions		—			—			—			(1.32	)		(1.94	)		(1.37	)
Net asset value, end of period	$	25.56		$	37.14		$	26.89		$	13.33		$	32.39		$	41.56
Total Returnd		(31.18	%)		38.12	%		101.73	%		(54.70	%)		(18.29	%)		7.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	703		$	1,877		$	1,567		$	1,080		$	1,571		$	2,806
Ratios to average net assets:
Net investment income (loss)		(0.75	%)		(0.88	%)		(0.79	%)		0.01	%		0.57	%		0.13	%
Total expenses		1.68	%		1.70	%		1.69	%		1.68	%		1.67	%		1.67	%
Portfolio turnover rate		21	%		211	%		219	%		204	%		226	%		296	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	34.26		$	24.98		$	12.47		$	30.73		$	39.82		$	38.81
Income (loss) from investment operations:
Net investment lossb		(.23	)		(.43	)		(.27	)		(.17	)		(.08	)		(.23	)
Net gain (loss) on investments (realized and unrealized)		(10.54	)		9.71			12.78			(16.77	)		(7.07	)		2.61
Total from investment operations		(10.77	)		9.28			12.51			(16.94	)		(7.15	)		2.38
Less distributions from:
Net investment income		—			—			—			—			(.26	)		—
Net realized gains		—			—			—			(1.32	)		(1.68	)		(1.37	)
Total distributions		—			—			—			(1.32	)		(1.94	)		(1.37	)
Net asset value, end of period	$	23.49		$	34.26		$	24.98		$	12.47		$	30.73		$	39.82
Total Returnd		(31.44	%)		37.15	%		100.32	%		(55.06	%)		(18.90	%)		6.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,735		$	6,045		$	4,069		$	2,954		$	8,388		$	17,112
Ratios to average net assets:
Net investment loss		(1.46	%)		(1.59	%)		(1.43	%)		(0.72	%)		(0.20	%)		(0.62	%)
Total expenses		2.43	%		2.44	%		2.44	%		2.43	%		2.42	%		2.41	%
Portfolio turnover rate		21	%		211	%		219	%		204	%		226	%		296	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 59

MID-CAP 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	37.12		$	26.89		$	13.33		$	32.40		$	41.58		$	40.17
Income (loss) from investment operations:
Net investment income (loss)b		(.14	)		(.28	)		(.15	)		.01			.25			.06
Net gain (loss) on investments (realized and unrealized)		(11.43	)		10.51			13.71			(17.76	)		(7.49	)		2.72
Total from investment operations		(11.57	)		10.23			13.56			(17.75	)		(7.24	)		2.78
Less distributions from:
Net investment income		—			—			—			—			(.26	)		—
Net realized gains		—			—			—			(1.32	)		(1.68	)		(1.37	)
Total distributions		—			—			—			(1.32	)		(1.94	)		(1.37	)
Net asset value, end of period	$	25.55		$	37.12		$	26.89		$	13.33		$	32.40		$	41.58
Total Returnd		(31.17	%)		38.04	%		101.73	%		(54.71	%)		(18.31	%)		7.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,037		$	42,647		$	30,825		$	11,063		$	11,763		$	24,918
Ratios to average net assets:
Net investment income (loss)		(0.77	%)		(0.91	%)		(0.73	%)		0.06	%		0.61	%		0.16	%
Total expenses		1.68	%		1.70	%		1.68	%		1.68	%		1.67	%		1.67	%
Portfolio turnover rate		21	%		211	%		219	%		204	%		226	%		296	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

60 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

INVERSE MID-CAP STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	March 31, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

The Fund invests principally in derivative investments such as swap agreements and futures contracts.

the RYDEX | SGI series funds semi-annual report | 61

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

INVERSE MID-CAP STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 85.7%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	5,161,438	$	5,161,438
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		2,552,721		2,552,721
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		1,814,166		1,814,166
Total Repurchase Agreements (Cost $9,528,325)				9,528,325
Total Investments — 85.7% (Cost $9,528,325)			$	9,528,325
Cash & Other Assets, Less Liabilities — 14.3%				1,587,105
Total Net Assets — 100.0%			$	11,115,430

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS SOLD SHORT†
December 2011 S&P MidCap 400 Index Mini Futures Contracts (Aggregate Value of Contracts $4,281,200)		55	$	221,283
	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International October 2011 S&P MidCap 400 Index Swap, Terminating 10/27/112 (Notional Value $2,457,554)		3,146	$	88,967
Credit Suisse Capital, LLC October 2011 S&P MidCap 400 Index Swap, Terminating 10/31/112 (Notional Value $2,464,777)		3,155		72,224
Barclays Bank plc October 2011 S&P MidCap 400 Index Swap, Terminating 10/31/112 (Notional Value $1,434,957)		1,837		42,078
Morgan Stanley Capital Services, Inc. October 2011 S&P MidCap 400 Index Swap, Terminating 10/24/112 (Notional Value $354,403)		454		2,480
(Total Notional Value $6,711,691 )			$	205,749

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on S&P MidCap 400 Index +/- financing at a variable rate. plc — Public Limited Company

62 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE MID-CAP STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Repurchase agreements, at value (cost $9,528,325)	$	9,528,325
Segregated cash with broker		1,198,883
Unrealized appreciation on swap agreements		205,749
Receivables:
Variation margin		113,640
Fund shares sold		91,240
Total assets		11,137,837
Liabilities:
Payable for:
Management fees		6,835
Fund shares redeemed		6,451
Miscellaneous		3,865
Distribution and service fees		2,206
Transfer agent and administrative fees		1,898
Portfolio accounting fees		759
Miscellaneous		393
Total liabilities		22,407
Net assets	$	11,115,430
Net Assets Consist of:
Paid in capital	$	24,160,172
Accumulated net investment loss		(42,987	)
Accumulated net realized loss on investments		(13,428,787	)
Net unrealized appreciation on investments		427,032
Net assets	$	11,115,430
A-Class:
Net assets	$	221,125
Capital shares outstanding		9,120
Net asset value per share	$	24.24
Maximum offering price per share (Net asset value divided by 95.25%)	$	25.45
C-Class:
Net assets	$	485,913
Capital shares outstanding		21,314
Net asset value per share	$	22.79
H-Class:
Net assets	$	10,408,392
Capital shares outstanding		429,896
Net asset value per share	$	24.21

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	527
Total investment income		527
Expenses:
Management fees		22,705
Transfer agent and administrative fees		6,307
Distribution and service fees:
A-Class		376
C-Class		1,791
H-Class		5,483
Portfolio accounting fees		2,523
Trustees’ fees*		104
Miscellaneous		4,225
Total expenses		43,514
Net investment loss		(42,987	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(14,792	)
Futures contracts		(185,544	)
Net realized loss		(200,336	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		251,553
Futures contracts		221,390
Net change in unrealized appreciation (depreciation)		472,943
Net realized and unrealized gain		272,607
Net increase in net assets resulting from operations	$	229,620

* 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 | SGI series funds semi-annual report | 63

INVERSE MID-CAP STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(42,987	)	$	(67,569	)
Net realized loss on investments		(200,336	)		(1,408,270	)
Net change in unrealized appreciation (depreciation) on investments		472,943			124,179
Net increase (decrease) in net assets resulting from operations		229,620			(1,351,660	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		381,313			686,044
C-Class		1,013,365			1,570,414
H-Class		27,421,410			41,475,130
Cost of shares redeemed
A-Class		(458,022	)		(1,036,384	)
C-Class		(931,726	)		(1,354,262	)
H-Class		(18,990,577	)		(41,431,048	)
Net increase (decrease) from capital share transactions		8,435,763			(90,106	)
Net increase (decrease) in net assets		8,665,383			(1,441,766	)
Net assets:
Beginning of period		2,450,047			3,891,813
End of period	$	11,115,430		$	2,450,047
Accumulated net investment loss at end of period	$	(42,987	)	$	—
Capital share activity:
Shares sold
A-Class		18,255			25,274
C-Class		48,913			61,434
H-Class		1,213,983			1,626,446
Shares redeemed
A-Class		(22,289	)		(38,915	)
C-Class		(45,126	)		(54,193	)
H-Class		(874,686	)		(1,641,534	)
Net increase (decrease) in shares		339,050			(21,488	)

64 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE MID-CAP STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	20.38		$	27.37		$	48.21		$	37.07		$	33.78		$	37.03
Income (loss) from investment operations:
Net investment income (loss)b		(.17	)		(.39	)		(.52	)		(.22	)		.81			1.35
Net gain (loss) on investments (realized and unrealized)		4.03			(6.60	)		(20.32	)		11.40			3.11			(1.81	)
Total from investment operations		3.86			(6.99	)		(20.84	)		11.18			3.92			(.46	)
Less distributions from:
Net investment income		—			—			—			(.04	)		(.63	)		(2.79	)
Total distributions		—			—			—			(.04	)		(.63	)		(2.79	)
Net asset value, end of period	$	24.24		$	20.38		$	27.37		$	48.21		$	37.07		$	33.78
Total Returnc		18.94	%		(25.54	%)		(43.23	%)		30.14	%		11.83	%		(1.35	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	221		$	268		$	733		$	452		$	906		$	477
Ratios to average net assets:
Net investment income (loss)		(1.65	%)		(1.54	%)		(1.56	%)		(0.55	%)		2.35	%		3.52	%
Total expenses		1.67	%		1.69	%		1.69	%		1.68	%		1.66	%		1.65	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.24		$	26.03		$	46.24		$	35.82		$	32.89		$	36.43
Income (loss) from investment operations:
Net investment income (loss)b		(.24	)		(.55	)		(.75	)		(.41	)		.60			1.05
Net gain (loss) on investments (realized and unrealized)		3.79			(6.24	)		(19.46	)		10.87			2.96			(1.80	)
Total from investment operations		3.55			(6.79	)		(20.21	)		10.46			3.56			(.75	)
Less distributions from:
Net investment income		—			—			—			(.04	)		(.63	)		(2.79	)
Total distributions		—			—			—			(.04	)		(.63	)		(2.79	)
Net asset value, end of period	$	22.79		$	19.24		$	26.03		$	46.24		$	35.82		$	32.89
Total Returnc		18.45	%		(26.09	%)		(43.71	%)		29.18	%		11.05	%		(2.19	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	486		$	337		$	268		$	327		$	1,478		$	801
Ratios to average net assets:
Net investment income (loss)		(2.40	%)		(2.29	%)		(2.30	%)		(1.07	%)		1.83	%		2.81	%
Total expenses		2.42	%		2.44	%		2.43	%		2.43	%		2.41	%		2.40	%
Portfolio turnover rate		—			—			—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 65

INVERSE MID-CAP STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	20.36		$	27.35		$	48.21		$	37.07		$	33.78		$	37.04
Income (loss) from investment operations:
Net investment income (loss)b		(.18	)		(.40	)		(.55	)		(.27	)		.78			1.35
Net gain (loss) on investments (realized and unrealized)		4.03			(6.59	)		(20.31	)		11.45			3.14			(1.82	)
Total from investment operations		3.85			(6.99	)		(20.86	)		11.18			3.92			(.47	)
Less distributions from:
Net investment income		—			—			—			(.04	)		(.63	)		(2.79	)
Total distributions		—			—			—			(.04	)		(.63	)		(2.79	)
Net asset value, end of period	$	24.21		$	20.36		$	27.35		$	48.21		$	37.07		$	33.78
Total Returnc		18.91	%		(25.56	%)		(43.27	%)		30.14	%		11.83	%		(1.38	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,408		$	1,845		$	2,891		$	7,350		$	46,630		$	15,531
Ratios to average net assets:
Net investment income (loss)		(1.65	%)		(1.53	%)		(1.55	%)		(0.62	%)		2.26	%		3.51	%
Total expenses		1.67	%		1.69	%		1.68	%		1.70	%		1.65	%		1.66	%
Portfolio turnover rate		—			—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate,have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

66 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

RUSSELL 2000^® 1.5x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	March 31,2004
C-Class	January 23,2001
H-Class	November 1,2000

Ten Largest Holdings
(% of Total Net Assets)

Netlogic Microsystems, Inc.	0.1	%
American Campus Communities, Inc.	0.1	%
Jack Henry & Associates, Inc.	0.1	%
MFA Financial, Inc.	0.1	%
Healthspring, Inc.	0.1	%
Nicor, Inc.	0.1	%
Cepheid, Inc.	0.1	%
Clean Harbors, Inc.	0.1	%
National Retail Properties, Inc.	0.1	%
Medicis Pharmaceutical Corp. — Class A	0.1	%
Top Ten Total	1.0	%

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

the RYDEX | SGI series funds semi-annual report | 67

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
COMMON STOCKS† - 37.7%
FINANCIALS - 8.3%
American Campus Communities, Inc.		215	$	8,000
MFA Financial, Inc.		1,134		7,961
National Retail Properties, Inc.		274		7,362
Home Properties, Inc.		127		7,209
Signature Bank*		150		7,160
Tanger Factory Outlet Centers		270		7,023
Mid-America Apartment Communities, Inc.		116		6,986
BioMed Realty Trust, Inc.		420		6,959
ProAssurance Corp.		94		6,770
Highwoods Properties, Inc.		230		6,500
Hancock Holding Co.		240		6,427
Equity Lifestyle Properties, Inc.		100		6,270
Hatteras Financial Corp.		240		6,038
Washington Real Estate Investment Trust		213		6,002
Kilroy Realty Corp.		188		5,884
Entertainment Properties Trust		149		5,808
Extra Space Storage, Inc.		300		5,589
Post Properties, Inc.		160		5,558
Alterra Capital Holdings Ltd.		284		5,387
CBL & Associates Properties, Inc.		468		5,316
LaSalle Hotel Properties		274		5,261
Invesco Mortgage Capital, Inc.		370		5,228
Starwood Property Trust, Inc.		300		5,148
SVB Financial Group*		139		5,143
Omega Healthcare Investors, Inc.		319		5,082
Prosperity Bancshares, Inc.		150		4,902
Colonial Properties Trust		264		4,794
Apollo Investment Corp.		619		4,655
Cash America International, Inc.		90		4,604
Stifel Financial Corp.*		169		4,489
Ezcorp, Inc. — Class A*		153		4,367
First American Financial Corp.		334		4,275
Iberiabank Corp.		90		4,235
Healthcare Realty Trust, Inc.		244		4,111
First Cash Financial Services, Inc.*		96		4,027
Northwest Bancshares, Inc.		334		3,978
Two Harbors Investment Corp.		450		3,974
FirstMerit Corp.		344		3,908
Knight Capital Group, Inc. — Class A*		319		3,879
Potlatch Corp.		123		3,877
CNO Financial Group, Inc.*		700		3,787
DiamondRock Hospitality Co.		534		3,733
DuPont Fabros Technology, Inc.		189		3,721
Trustmark Corp.		199		3,612
Alexander’s, Inc.		10		3,610
Montpelier Re Holdings Ltd.		200		3,536
Webster Financial Corp.		230		3,519
Platinum Underwriters Holdings Ltd.		113		3,475
Westamerica Bancorporation		90		3,449
DCT Industrial Trust, Inc.		784		3,442
FNB Corp.		398		3,411
EastGroup Properties, Inc.		89		3,394
National Health Investors, Inc.		80		3,370
RLI Corp.		53		3,370
Sovran Self Storage, Inc.		90		3,345
Delphi Financial Group, Inc. — Class A		154		3,314
United Bankshares, Inc.		160		3,214
Umpqua Holdings Corp.		365		3,208
UMB Financial Corp.		100		3,208
Ocwen Financial Corp.*		240		3,170
Medical Properties Trust, Inc.		354		3,168
CYS Investments, Inc.		258		3,119
Capstead Mortgage Corp.		270		3,116
Portfolio Recovery Associates, Inc.*		50		3,111
DFC Global Corp.*		140		3,059
Wintrust Financial Corp.		115		2,968
Prospect Capital Corp.		350		2,944
PHH Corp.*		179		2,878
PS Business Parks, Inc.		58		2,873
Cathay General Bancorp		250		2,845
Old National Bancorp		304		2,833
Redwood Trust, Inc.		250		2,793
Equity One, Inc.		173		2,744
Tower Group, Inc.		120		2,743
National Penn Bancshares, Inc.		390		2,734
Community Bank System, Inc.		120		2,723
Anworth Mortgage Asset Corp.		400		2,720
CubeSmart		314		2,678
Texas Capital Bancshares, Inc.		114		2,605
First Financial Bankshares, Inc.		97		2,538
Pebblebrook Hotel Trust		162		2,535
Franklin Street Properties Corp.		224		2,533
MB Financial, Inc.		170		2,502
Argo Group International Holdings Ltd.		88		2,497
First Financial Bancorp		180		2,484
Lexington Realty Trust		379		2,479
World Acceptance Corp.*		44		2,462
Glimcher Realty Trust		340		2,407
Strategic Hotels & Resorts, Inc.*		556		2,396
LTC Properties, Inc.		94		2,380
Primerica, Inc.		110		2,372
Government Properties Income Trust		110		2,366
Harleysville Group, Inc.		40		2,354
MarketAxess Holdings, Inc.		90		2,342
Acadia Realty Trust		124		2,319
BancorpSouth, Inc.		264		2,318
Oritani Financial Corp.		179		2,302
Sun Communities, Inc.		65		2,287
Susquehanna Bancshares, Inc.		410		2,243
International Bancshares Corp.		170		2,236
Solar Capital Ltd.		111		2,234
First Industrial Realty Trust, Inc.*		278		2,224

68 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Park National Corp.		42	$	2,221
Selective Insurance Group, Inc.		168		2,192
CVB Financial Corp.		284		2,184
Financial Engines, Inc.*		120		2,173
Glacier Bancorp, Inc.		230		2,155
Astoria Financial Corp.		279		2,146
Fifth Street Finance Corp.		230		2,144
MF Global Holdings Ltd.*		517		2,135
Sunstone Hotel Investors, Inc.*		374		2,128
Infinity Property & Casualty Corp.		40		2,099
NBT Bancorp, Inc.		110		2,048
Provident Financial Services, Inc.		190		2,043
Associated Estates Realty Corp.		130		2,010
Enstar Group Ltd.*		21		2,000
First Potomac Realty Trust		159		1,983
Education Realty Trust, Inc.		230		1,976
Investors Bancorp, Inc.*		150		1,895
Bank of the Ozarks, Inc.		90		1,884
Greenlight Capital Re Ltd. — Class A*		90		1,867
Walter Investment Management Corp.		80		1,834
Investors Real Estate Trust		250		1,800
Inland Real Estate Corp.		246		1,796
American Assets Trust, Inc.		100		1,795
Columbia Banking System, Inc.		124		1,776
First Midwest Bancorp, Inc.		240		1,757
Amtrust Financial Services, Inc.		78		1,736
Symetra Financial Corp.		209		1,703
Cousins Properties, Inc.		290		1,697
iStar Financial, Inc.*		290		1,688
BlackRock Kelso Capital Corp.		230		1,679
American Equity Investment Life Holding Co.		190		1,663
ARMOUR Residential REIT, Inc.		240		1,632
Evercore Partners, Inc. — Class A		71		1,619
CreXus Investment Corp.		179		1,590
Employers Holdings, Inc.		124		1,582
KBW, Inc.		114		1,572
Hersha Hospitality Trust — Class A		450		1,557
Cohen & Steers, Inc.		54		1,552
National Financial Partners Corp.*		140		1,532
Pico Holdings, Inc.*		74		1,518
Meadowbrook Insurance Group, Inc.		170		1,515
Safety Insurance Group, Inc.		40		1,513
Nelnet, Inc. — Class A		80		1,502
Compass Diversified Holdings		123		1,498
Retail Opportunity Investments Corp.		134		1,485
Horace Mann Educators Corp.		130		1,483
Credit Acceptance Corp.*		23		1,480
Navigators Group, Inc.*		34		1,469
Boston Private Financial Holdings, Inc.		246		1,446
Home Bancshares, Inc.		68		1,443
BGC Partners, Inc. — Class A		239		1,441
PennyMac Mortgage Investment Trust		90		1,431
PrivateBancorp, Inc.		190		1,429
Brookline Bancorp, Inc.		184		1,419
Chemical Financial Corp.		90		1,378
Banco Latinoamericano de Comercio Exterior S.A. — Class E		90		1,371
Independent Bank Corp.		63		1,370
S&T Bancorp, Inc.		84		1,357
National Western Life Insurance Co. — Class A		10		1,355
Oriental Financial Group, Inc.		140		1,354
City Holding Co.		50		1,349
Pennsylvania Real Estate Investment Trust		172		1,330
Colony Financial, Inc.		102		1,318
ViewPoint Financial Group		115		1,317
PacWest Bancorp		94		1,310
PennantPark Investment Corp.		146		1,302
Trustco Bank Corp.		290		1,293
Berkshire Hills Bancorp, Inc.		70		1,293
WesBanco, Inc.		74		1,281
Advance America Cash Advance Centers, Inc.		174		1,281
Investment Technology Group, Inc.*		130		1,273
Chesapeake Lodging Trust		105		1,267
State Bank Financial Corp.*		100		1,262
FPIC Insurance Group, Inc.*		30		1,255
Flagstone Reinsurance Holdings S.A.		161		1,248
Forestar Group, Inc.*		114		1,244
Western Alliance Bancorporation*		224		1,228
First Commonwealth Financial Corp.		330		1,221
Maiden Holdings Ltd.		164		1,212
Main Street Capital Corp.		68		1,208
Pinnacle Financial Partners, Inc.*		110		1,203
Getty Realty Corp.		83		1,197
Ashford Hospitality Trust, Inc.		170		1,193
Hercules Technology Growth Capital, Inc.		140		1,193
Urstadt Biddle Properties, Inc. — Class A		74		1,182
Encore Capital Group, Inc.*		54		1,180
Universal Health Realty Income Trust		35		1,176
Simmons First National Corp. — Class A		54		1,172
FBL Financial Group, Inc. — Class A		44		1,171
Sandy Spring Bancorp, Inc.		80		1,170
RLJ Lodging Trust		90		1,149
Sabra Health Care REIT, Inc.		120		1,145
United Fire & Casualty Co.		64		1,132
Resource Capital Corp.		226		1,130
MGIC Investment Corp.*		599		1,120
Lakeland Financial Corp.		54		1,116
United Community Banks, Inc.*		129		1,095
Flushing Financial Corp.		100		1,080

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 69

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Tompkins Financial Corp.		30	$	1,073
First Busey Corp.		246		1,070
Triangle Capital Corp.		70		1,065
SCBT Financial Corp.		43		1,061
1st Source Corp.		50		1,041
Tejon Ranch Co.*		43		1,026
Campus Crest Communities, Inc.		94		1,023
Renasant Corp.		80		1,018
Ramco-Gershenson Properties Trust		124		1,017
Duff & Phelps Corp. — Class A		95		1,013
OneBeacon Insurance Group Ltd. — Class A		74		1,009
Dynex Capital, Inc.		125		1,008
Newcastle Investment Corp.		247		1,005
NorthStar Realty Finance Corp.		304		1,003
AMERISAFE, Inc.*		54		994
Sterling Financial Corp.*		80		990
Safeguard Scientifics, Inc.*		66		990
Community Trust Bancorp, Inc.		42		978
Dime Community Bancshares, Inc.		96		972
Piper Jaffray Cos.*		54		968
MCG Capital Corp.		240		950
Hilltop Holdings, Inc.*		129		930
Excel Trust, Inc.		96		924
Monmouth Real Estate Investment Corp. — Class A		116		920
FelCor Lodging Trust, Inc.*		394		918
Radian Group, Inc.		419		918
TowneBank		80		910
Rockville Financial, Inc.		95		901
GFI Group, Inc.		220		884
eHealth, Inc.*		64		874
GAMCO Investors, Inc. — Class A		22		867
Southside Bancshares, Inc.		48		864
Coresite Realty Corp.		60		861
Hudson Pacific Properties, Inc.		74		861
TICC Capital Corp.		103		842
NewStar Financial, Inc.*		90		841
MVC Capital, Inc.		80		838
Washington Trust Bancorp, Inc.		42		831
Apollo Commercial Real Estate Finance, Inc.		63		830
First Financial Corp.		30		825
Beneficial Mutual Bancorp, Inc.*		110		819
West Coast Bancorp*		58		812
Artio Global Investors, Inc. — Class A		102		812
Saul Centers, Inc.		24		811
Kennedy-Wilson Holdings, Inc.		76		806
CapLease, Inc.		219		791
HFF, Inc. — Class A*		90		787
Parkway Properties, Inc.		71		782
Cardinal Financial Corp.		90		776
Citizens, Inc.*		120		769
International FCStone, Inc.*		37		768
Hudson Valley Holding Corp.		44		767
Bancfirst Corp.		23		763
Westwood Holdings Group, Inc.		22		760
FXCM, Inc. — Class A		54		757
Global Indemnity plc — Class A*		44		752
Winthrop Realty Trust		86		747
Capital Southwest Corp.		10		740
StellarOne Corp.		74		736
Enterprise Financial Services Corp.		54		734
Nara Bancorp, Inc.*		120		728
WSFS Financial Corp.		23		726
United Financial Bancorp, Inc.		52		712
Provident New York Bancorp		120		698
Diamond Hill Investment Group, Inc.		10		694
Territorial Bancorp, Inc.		36		689
Arrow Financial Corp.		31		688
Sterling Bancorp — Class N		94		682
Epoch Holding Corp.		50		679
Ameris Bancorp*		77		671
Univest Corporation of Pennsylvania		50		667
State Auto Financial Corp.		50		658
Camden National Corp.		24		654
Agree Realty Corp.		30		653
Northfield Bancorp, Inc.		49		649
German American Bancorp, Inc.		40		645
Bancorp, Inc.*		90		644
Virtus Investment Partners, Inc.*		12		643
Union First Market Bankshares Corp.		60		643
Baldwin & Lyons, Inc. — Class B		30		641
Banner Corp.		50		639
Kite Realty Group Trust		174		637
Bancorp Rhode Island, Inc.		15		636
Summit Hotel Properties, Inc.		90		635
Tower Bancorp, Inc.		30		628
Financial Institutions, Inc.		44		627
SY Bancorp, Inc.		33		614
Calamos Asset Management, Inc. — Class A		60		601
Presidential Life Corp.		73		600
Citizens & Northern Corp.		40		594
Westfield Financial, Inc.		90		593
OceanFirst Financial Corp.		50		583
Heritage Financial Corp.		52		574
Cowen Group, Inc. — Class A*		211		572
Farmer Mac — Class C		30		571
Eagle Bancorp, Inc.*		48		565
Lakeland Bancorp, Inc.		72		563
Cedar Shopping Centers, Inc.		181		563
OmniAmerican Bancorp, Inc.*		41		560
First Merchants Corp.		79		557
National Bankshares, Inc.		23		555
Arlington Asset Investment Corp. — Class A		23		553
American Safety Insurance Holdings Ltd.*		30		552
STAG Industrial, Inc.		54		551
First Community Bancshares, Inc.		54		551
Stewart Information Services Corp.		62		548

70 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
First Interstate Bancsystem, Inc. — Class A		51	$	546
Fox Chase Bancorp, Inc.		43		545
Trico Bancshares		44		540
Heartland Financial USA, Inc.		38		539
Center Financial Corp.*		114		535
Wilshire Bancorp, Inc.*		194		532
Republic Bancorp, Inc. — Class A		30		531
State Bancorp, Inc.		50		529
MainSource Financial Group, Inc.		60		523
First of Long Island Corp.		23		521
Ladenburg Thalmann Financial Services, Inc.*		336		521
Cogdell Spencer, Inc.		138		520
Central Pacific Financial Corp.*		50		516
CNB Financial Corp.		40		513
National Interstate Corp.		23		506
Great Southern Bancorp, Inc.		30		503
Gladstone Investment Corp.		74		503
First Bancorp		50		502
Bryn Mawr Bank Corp.		30		497
Kansas City Life Insurance Co.		16		494
Penns Woods Bancorp, Inc.		15		491
Washington Banking Co.		50		487
Franklin Financial Corp.*		44		486
Oppenheimer Holdings, Inc. — Class A		30		481
Gladstone Capital Corp.		70		480
Centerstate Banks, Inc.		90		471
Gladstone Commercial Corp.		30		470
Ames National Corp.		30		469
Medallion Financial Corp.		50		465
BankFinancial Corp.		70		465
NGP Capital Resources Co.		71		464
Netspend Holdings, Inc.*		90		463
Phoenix Companies, Inc.*		370		451
CoBiz Financial, Inc.		100		447
Home Federal Bancorp, Inc.		57		446
Golub Capital BDC, Inc.		30		445
1st United Bancorp, Inc.*		90		444
One Liberty Properties, Inc.		30		440
Pacific Continental Corp.		62		440
ESB Financial Corp.		40		438
Doral Financial Corp.*		400		436
Crawford & Co. — Class B		81		434
West Bancorporation, Inc.		51		432
SeaBright Holdings, Inc.		60		432
Abington Bancorp, Inc.		60		432
Virginia Commerce Bancorp, Inc.*		73		429
SWS Group, Inc.		90		422
Primus Guaranty Ltd.*		80		422
Bridge Bancorp, Inc.		23		421
ESSA Bancorp, Inc.		40		420
RAIT Financial Trust		123		417
Chatham Lodging Trust		42		417
Capital City Bank Group, Inc.		40		416
Mission West Properties, Inc.		54		410
Bank of Kentucky Financial Corporation		20		405
BofI Holding, Inc.*		30		404
First Defiance Financial Corp.*		30		402
Hanmi Financial Corp.*		484		402
Bank of Marin Bancorp		12		396
Walker & Dunlop, Inc.*		34		395
Consolidated-Tomoka Land Co.		15		394
Bank Mutual Corp.		150		391
FBR & Company*		164		390
Edelman Financial Group, Inc.		60		388
Terreno Realty Corp.		30		385
Pacific Capital Bancorp North America*		15		383
First Bancorp, Inc.		30		378
Alliance Financial Corp.		13		365
UMH Properties, Inc.		40		364
Metro Bancorp, Inc.*		42		363
Kohlberg Capital Corp.		60		351
Center Bancorp, Inc.		36		347
Solar Senior Capital Ltd.		24		343
First Pactrust Bancorp, Inc.		30		340
Seacoast Banking Corporation of Florida*		230		338
MPG Office Trust, Inc.*		160		338
Harris & Harris Group, Inc.*		94		334
Peoples Bancorp, Inc.		30		330
Sierra Bancorp		36		329
THL Credit, Inc.		30		328
Meridian Interstate Bancorp, Inc.*		30		327
Kearny Financial Corp.		37		327
Merchants Bancshares, Inc.		12		321
Encore Bancshares, Inc.*		30		320
Marlin Business Services Corp.*		30		318
Sun Bancorp, Inc.*		120		318
Hallmark Financial Services*		42		310
Park Sterling Corp.*		90		308
Flagstar Bancorp, Inc.*		623		305
New Mountain Finance Corp.		24		305
Medley Capital Corp.		30		302
Bridge Capital Holdings*		30		302
Gleacher & Company, Inc.*		250		298
Nicholas Financial, Inc.		30		293
JMP Group, Inc.		50		291
Donegal Group, Inc. — Class A		24		289
Cape Bancorp, Inc.*		40		283
Clifton Savings Bancorp, Inc.		30		275
Heritage Commerce Corp.*		70		269
Whitestone REIT — Class B		24		267
Southwest Bancorp, Inc.		60		253
Suffolk Bancorp		30		250
Midsouth Bancorp, Inc.		23		247
Enterprise Bancorp, Inc.		20		247
Avatar Holdings, Inc.*		30		245
Century Bancorp, Inc. — Class A		10		232

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 71

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Orrstown Financial Services, Inc.		18	$	231
EMC Insurance Group, Inc.		12		221
Universal Insurance Holdings, Inc.		57		219
Charter Financial Corp.		23		216
First Financial Holdings, Inc.		49		196
Roma Financial Corp.		24		196
Taylor Capital Group, Inc.*		30		193
First Marblehead Corp.		174		177
Independence Holding Co.		24		174
CIFC Corp.*		36		156
California First National Bancorp		10		153
Gain Capital Holdings, Inc.*		24		151
Hampton Roads Bankshares, Inc.*		30		141
Cascade Bancorp*		23		134
Imperial Holdings, Inc.*		54		130
Fortegra Financial Corp.*		20		105
Pzena Investment Management, Inc. — Class A		30		98
PMI Group, Inc.*		486		97
Capital Bank Corp.*		44		92
Total Financials				675,746
INFORMATION TECHNOLOGY - 6.5%
Netlogic Microsystems, Inc.*		220		10,584
Jack Henry & Associates, Inc.		275		7,969
InterDigital, Inc.		140		6,521
SuccessFactors, Inc.*		264		6,069
Parametric Technology Corp.*		380		5,844
Universal Display Corp.*		120		5,753
Aruba Networks, Inc.*		274		5,729
RF Micro Devices, Inc.*		879		5,573
ADTRAN, Inc.		208		5,504
Concur Technologies, Inc.*		141		5,248
CommVault Systems, Inc.		138		5,114
Finisar Corp.*		289		5,069
CACI International, Inc. — Class A*		100		4,994
Hittite Microwave Corp.*		101		4,919
Blackboard, Inc.*		109		4,868
QLIK Technologies, Inc.*		220		4,765
Wright Express Corp.*		124		4,717
Microsemi Corp.*		276		4,410
Rambus, Inc.*		314		4,396
Semtech Corp.*		204		4,304
Anixter International, Inc.		90		4,270
Plantronics, Inc.		150		4,267
Cavium, Inc.*		152		4,106
Aspen Technology, Inc.*		264		4,031
Arris Group, Inc.*		390		4,017
MAXIMUS, Inc.		114		3,979
j2 Global Communications, Inc.		147		3,954
ValueClick, Inc.*		250		3,890
SolarWinds, Inc.		176		3,876
Ultimate Software Group, Inc.*		80		3,738
Progress Software Corp.*		210		3,685
FEI Co.*		123		3,685
Viasat, Inc.*		110		3,664
MKS Instruments, Inc.		163		3,539
TiVo, Inc.*		377		3,521
Cognex Corp.		129		3,497
Cymer, Inc.*		94		3,495
Sapient Corp.		344		3,488
Coherent, Inc.*		80		3,437
Taleo Corp. — Class A*		130		3,344
Blackbaud, Inc.		145		3,229
OpenTable, Inc.*		70		3,221
Cirrus Logic, Inc.*		214		3,154
JDA Software Group, Inc.*		134		3,141
Convergys Corp.*		334		3,133
Veeco Instruments, Inc.*		128		3,123
Netgear, Inc.*		120		3,107
Quest Software, Inc.*		194		3,081
ACI Worldwide, Inc.*		110		3,029
Cardtronics, Inc.*		132		3,025
Mentor Graphics Corp.*		310		2,982
Littelfuse, Inc.		74		2,976
Take-Two Interactive Software, Inc.*		230		2,926
Fair Isaac Corp.		130		2,838
Acxiom Corp.*		262		2,788
Power Integrations, Inc.		90		2,755
MicroStrategy, Inc. — Class A*		24		2,738
Entegris, Inc.*		424		2,705
Digital River, Inc.*		130		2,695
TriQuint Semiconductor, Inc.		524		2,630
Synaptics, Inc.*		110		2,629
Infinera Corp.*		336		2,594
Euronet Worldwide, Inc.*		164		2,581
Scansource, Inc.*		87		2,572
RightNow Technologies, Inc.*		77		2,545
Omnivision Technologies, Inc.*		180		2,527
Benchmark Electronics, Inc.*		190		2,472
Plexus Corp.*		109		2,466
Tyler Technologies, Inc.*		97		2,452
Heartland Payment Systems, Inc.		124		2,445
Integrated Device Technology, Inc.*		470		2,421
Sourcefire, Inc.*		90		2,408
Cabot Microelectronics Corp.*		70		2,407
Ancestry.com, Inc.*		102		2,397
NetSuite, Inc.*		86		2,323
Earthlink, Inc.		349		2,279
NIC, Inc.		199		2,279
Insight Enterprises, Inc.		150		2,271
Websense, Inc.*		130		2,249
Comtech Telecommunications Corp.		80		2,247
BroadSoft, Inc.*		74		2,246
Bottomline Technologies, Inc.*		110		2,215
Mantech International Corp. — Class A		70		2,197
Unisys Corp.*		140		2,197
Syntel, Inc.		50		2,159
LogMeIn, Inc.		64		2,125

72 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Synchronoss Technologies, Inc.*		85	$	2,117
Manhattan Associates, Inc.*		64		2,117
SYNNEX Corp.*		80		2,096
Advent Software, Inc.*		100		2,085
DealerTrack Holdings, Inc.*		130		2,037
Electronics for Imaging, Inc.*		149		2,007
VirnetX Holding Corp.*		133		1,994
Diodes, Inc.*		110		1,971
Brightpoint, Inc.*		214		1,971
Tessera Technologies, Inc.*		164		1,958
Rogers Corp.*		50		1,957
Blue Coat Systems, Inc.*		140		1,943
Lattice Semiconductor Corp.*		370		1,943
Spansion, Inc. — Class A*		158		1,931
Liquidity Services, Inc.*		60		1,924
RealPage, Inc.*		94		1,922
OSI Systems, Inc.*		56		1,877
Verint Systems, Inc.*		70		1,840
Emulex Corp.*		279		1,786
Brooks Automation, Inc.		214		1,744
Rofin-Sinar Technologies, Inc.*		90		1,728
Ceva, Inc.*		71		1,726
Kulicke & Soffa Industries, Inc.*		230		1,716
Sanmina-SCI Corp.*		254		1,697
Constant Contact, Inc.*		98		1,694
LivePerson, Inc.*		170		1,692
Checkpoint Systems, Inc.*		124		1,684
MTS Systems Corp.		54		1,655
Maxwell Technologies, Inc.		89		1,638
Forrester Research, Inc.		50		1,625
comScore, Inc.*		96		1,620
ATMI, Inc.*		100		1,582
TTM Technologies, Inc.*		164		1,560
Micrel, Inc.		164		1,553
S1 Corp.*		169		1,550
Harmonic, Inc.*		363		1,546
FARO Technologies, Inc.*		49		1,546
Volterra Semiconductor Corp.*		80		1,538
Pegasystems, Inc.		50		1,531
TNS, Inc.*		80		1,504
Loral Space & Communications, Inc.*		30		1,503
Opnet Technologies, Inc.		43		1,501
Park Electrochemical Corp.		70		1,496
United Online, Inc.		284		1,485
Amkor Technology, Inc.*		340		1,482
Silicon Image, Inc.*		250		1,468
Sonus Networks, Inc.*		674		1,463
Standard Microsystems Corp.*		74		1,436
DG FastChannel, Inc.*		83		1,407
CSG Systems International, Inc.*		110		1,390
Monotype Imaging Holdings, Inc.*		114		1,383
Ebix, Inc.		94		1,382
Ultratech, Inc.*		80		1,372
DTS, Inc.*		54		1,341
STEC, Inc.*		130		1,318
Netscout Systems, Inc.*		114		1,302
Measurement Specialties, Inc.*		50		1,298
Stratasys, Inc.*		70		1,298
Quantum Corp.*		714		1,292
Black Box Corp.		60		1,281
EPIQ Systems, Inc.		100		1,253
Kenexa Corp.*		80		1,251
Newport Corp.		114		1,232
TeleTech Holdings, Inc.*		80		1,219
RealD, Inc.*		130		1,215
Intermec, Inc.		186		1,213
Dice Holdings, Inc.*		154		1,204
ExlService Holdings, Inc.*		54		1,188
Tekelec*		194		1,172
Interactive Intelligence Group*		43		1,167
Advanced Energy Industries, Inc.*		135		1,164
Mercury Computer Systems, Inc.*		100		1,150
Entropic Communications, Inc.*		276		1,140
SS&C Technologies Holdings, Inc.*		79		1,129
Fabrinet*		60		1,122
Silicon Graphics International Corp.*		94		1,120
iGate Corp.		97		1,119
Super Micro Computer, Inc.*		88		1,103
Applied Micro Circuits Corp.*		204		1,095
Accelrys, Inc.*		180		1,091
Sycamore Networks, Inc.		60		1,083
Oplink Communications, Inc.*		70		1,060
ICG Group, Inc.*		114		1,050
Infospace, Inc.*		122		1,020
Formfactor, Inc.*		162		1,009
Kemet Corp.*		140		1,001
Power-One, Inc.		214		963
Magma Design Automation, Inc.*		211		960
Anaren, Inc.*		50		957
Photronics, Inc.*		190		946
Daktronics, Inc.		110		944
Calix, Inc.*		120		936
Ixia*		122		936
Globecomm Systems, Inc.*		69		932
Cass Information Systems, Inc.		30		931
Keynote Systems, Inc.		44		930
KIT Digital, Inc.		110		924
Monolithic Power Systems, Inc.*		90		916
Vocus, Inc.*		54		905
PROS Holdings, Inc.*		70		902
CTS Corp.		110		894
Methode Electronics, Inc.		120		892
QuinStreet, Inc.*		86		890
Digi International, Inc.		80		880
Xyratex Ltd.		94		871
IXYS Corp.*		80		870
Nanometrics, Inc.		60		870
Powerwave Technologies, Inc.*		504		867
LoopNet, Inc.*		50		857
Ness Technologies, Inc.*		110		843

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 73

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
LTX-Credence Corp.*		158	$	836
Electro Scientific Industries, Inc.*		70		832
Electro Rent Corp.		60		829
XO Group, Inc.*		100		817
Internap Network Services Corp.*		164		807
MIPS Technologies, Inc. — Class A*		164		794
Cohu, Inc.		80		790
Extreme Networks*		294		779
Sigma Designs, Inc.*		99		776
OCZ Technology Group, Inc.*		160		776
Echelon Corp.*		110		771
ShoreTel, Inc.*		154		767
IntraLinks Holdings, Inc.*		100		751
Move, Inc.*		504		731
NVE Corp.*		12		728
Kopin Corp.*		204		700
Avid Technology, Inc.*		90		697
Exar Corp.*		120		685
DemandTec, Inc.*		104		680
Rudolph Technologies, Inc.*		99		662
Virtusa Corp.*		50		660
Imation Corp.*		90		658
Renaissance Learning, Inc.		38		638
Actuate Corp.*		114		629
Web.com Group, Inc.*		90		628
Integrated Silicon Solution, Inc.*		80		625
Zygo Corp.*		54		624
CIBER, Inc.*		204		618
Seachange International, Inc.*		80		616
MoneyGram International, Inc.*		264		615
GSI Group, Inc.*		80		614
Stamps.com, Inc.		30		613
Wave Systems Corp. — Class A*		260		608
Symmetricom, Inc.*		140		608
Cray, Inc.*		114		605
Advanced Analogic Technologies, Inc.*		139		602
Envestnet, Inc.*		60		600
Richardson Electronics Ltd.		44		599
Multi-Fineline Electronix, Inc.*		30		598
SciQuest, Inc.*		40		598
Oclaro, Inc.*		164		597
Pericom Semiconductor Corp.*		80		593
Rubicon Technology, Inc.*		54		590
Active Network, Inc.*		40		590
Perficient, Inc.		80		586
Digimarc Corp.*		23		584
Mindspeed Technologies, Inc.*		109		567
Marchex, Inc. — Class A		66		561
Zix Corp.*		210		561
Computer Task Group, Inc.*		50		559
RealNetworks, Inc.		66		556
Aeroflex Holding Corp.*		60		546
Immersion Corp.*		90		538
American Software, Inc. — Class A		74		537
Echo Global Logistics, Inc.*		40		532
Global Cash Access Holdings, Inc.*		206		527
Vishay Precision Group, Inc.*		40		527
Inphi Corp.*		60		526
Supertex, Inc.*		30		519
Saba Software, Inc.*		90		518
TeleCommunication Systems, Inc. — Class A*		150		517
Intevac, Inc.*		74		517
Limelight Networks, Inc.*		215		507
Cornerstone OnDemand, Inc.*		40		502
AXT, Inc.*		97		489
SPS Commerce, Inc.		30		489
ModusLink Global Solutions, Inc.		140		489
Travelzoo, Inc.*		22		484
Procera Networks, Inc.*		50		480
Lionbridge Technologies, Inc.*		194		477
Bel Fuse, Inc. — Class B		30		468
VASCO Data Security International, Inc.*		89		455
Anadigics, Inc.*		210		454
Aviat Networks, Inc.*		190		447
Deltek, Inc.*		74		445
TeleNav, Inc.*		50		443
DSP Group, Inc.*		74		437
PLX Technology, Inc.*		144		433
Openwave Systems, Inc.*		274		427
Callidus Software, Inc.*		90		415
Alpha & Omega Semiconductor Ltd.*		50		411
Axcelis Technologies, Inc.*		334		401
ServiceSource International, Inc.*		30		396
KVH Industries, Inc.*		50		396
LeCroy Corp.*		50		395
Rimage Corp.		30		379
THQ, Inc.*		219		379
Agilysys, Inc.*		53		378
Pulse Electronics Corp.		130		372
Radisys Corp.*		60		367
Westell Technologies, Inc. — Class A*		170		367
MoSys, Inc.*		100		366
DDi Corp.		50		362
Hackett Group, Inc.*		94		351
MaxLinear, Inc. — Class A*		51		329
Responsys, Inc.*		30		323
ePlus, Inc.*		13		321
support.com, Inc.*		154		305
Ultra Clean Holdings*		71		305
Novatel Wireless, Inc.*		100		302
PDF Solutions, Inc.*		74		302
Communications Systems, Inc.		23		299
X-Rite, Inc.*		80		298
GSI Technology, Inc.*		60		295
Convio, Inc.*		35		294
Guidance Software, Inc.*		44		286
PRGX Global, Inc.*		60		283

74 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Glu Mobile, Inc.*		134	$	283
ORBCOMM, Inc.*		110		281
Emcore Corp.*		279		276
Rosetta Stone, Inc.*		30		275
FalconStor Software, Inc.*		94		274
Dot Hill Systems Corp.*		179		270
Dynamics Research Corp.*		30		268
NCI, Inc. — Class A*		22		262
SRS Labs, Inc.*		36		258
Meru Networks, Inc.*		31		253
Identive Group, Inc.*		124		247
TechTarget, Inc.*		43		246
Amtech Systems, Inc.*		30		240
PC Connection, Inc.*		30		239
FSI International, Inc.*		124		234
QAD, Inc. — Class A*		20		214
NeoPhotonics Corp.*		30		206
Motricity, Inc.*		114		193
Demand Media, Inc.*		24		192
BigBand Networks, Inc.*		140		179
Viasystems Group, Inc.*		10		176
Opnext, Inc.*		140		175
Smith Micro Software, Inc.*		114		173
Ellie Mae, Inc.*		30		167
Numerex Corp. — Class A*		30		167
eMagin Corp.*		54		142
Dialogic, Inc.*		50		93
Quepasa Corp.*		23		79
Stream Global Services, Inc.*		30		62
CSR plc ADR*		3		38
FriendFinder Networks, Inc.*		13		24
Total Information Technology				523,202
INDUSTRIALS - 5.7%
Clean Harbors, Inc.*		149		7,644
Hexcel Corp.*		310		6,870
CLARCOR, Inc.		164		6,786
Alaska Air Group, Inc.*		112		6,304
HEICO Corp.		127		6,253
Genesee & Wyoming,
Inc. — Class A*		130		6,048
Teledyne Technologies, Inc.*		120		5,863
Triumph Group, Inc.		120		5,849
Woodward, Inc.		194		5,316
Dollar Thrifty Automotive
Group, Inc.*		90		5,067
Acuity Brands, Inc.		140		5,046
Acacia Research — Acacia
Technologies*		140		5,039
FTI Consulting, Inc.		134		4,933
Esterline Technologies Corp.*		93		4,821
Watsco, Inc.		90		4,599
Moog, Inc. — Class A*		140		4,567
Mueller Industries, Inc.		118		4,554
Old Dominion Freight Line, Inc.*		154		4,461
Curtiss-Wright Corp.		150		4,324
Robbins & Myers, Inc.		124		4,304
EMCOR Group, Inc.		210		4,269
Middleby Corp.*		60		4,228
Actuant Corp. — Class A		214		4,227
United Stationers, Inc.		150		4,087
Brady Corp. — Class A		154		4,070
CoStar Group, Inc.*		76		3,950
Belden, Inc.		152		3,920
Geo Group, Inc.*		210		3,898
AO Smith Corp.		120		3,844
Chart Industries, Inc.		90		3,795
Rollins, Inc.		202		3,779
Tetra Tech, Inc.*		200		3,748
Applied Industrial Technologies, Inc.		134		3,639
Brink’s Co.		150		3,496
Healthcare Services Group, Inc.		214		3,454
HUB Group, Inc. — Class A*		120		3,392
United Rentals, Inc.*		200		3,368
Advisory Board Co.*		52		3,356
Barnes Group, Inc.		171		3,292
Corporate Executive Board Co.		110		3,278
Simpson Manufacturing
Company, Inc.		130		3,241
ABM Industries, Inc.		170		3,240
Avis Budget Group, Inc.*		334		3,230
Herman Miller, Inc.		180		3,215
MasTec, Inc.		182		3,205
EnerSys*		160		3,203
JetBlue Airways Corp.*		779		3,194
Deluxe Corp.		160		2,976
II-VI, Inc.*		168		2,940
Werner Enterprises, Inc.		140		2,916
Kaydon Corp.		100		2,868
Raven Industries, Inc.		59		2,844
US Airways Group, Inc.*		510		2,805
GT Advanced Technologies, Inc.*		396		2,780
HNI Corp.		145		2,774
Franklin Electric Company, Inc.		74		2,685
Atlas Air Worldwide Holdings, Inc.*		80		2,663
Watts Water Technologies, Inc. — Class A		98		2,612
Ameron International Corp.		30		2,548
Knight Transportation, Inc.		190		2,529
RBC Bearings, Inc.*		74		2,515
Mine Safety Appliances Co.		90		2,426
Beacon Roofing Supply, Inc.*		150		2,398
Allegiant Travel Co. — Class A*		50		2,356
Granite Construction, Inc.		124		2,327
Orbital Sciences Corp.		180		2,304
Forward Air Corp.		90		2,290
Huron Consulting Group, Inc.*		72		2,241
Kaman Corp.		80		2,228
Heartland Express, Inc.		164		2,224
Briggs & Stratton Corp.		163		2,202
AAR Corp.		130		2,167

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 75

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Lindsay Corp.		40	$	2,152
Ceradyne, Inc.*		80		2,151
DigitalGlobe, Inc.*		108		2,098
EnPro Industries, Inc.*		70		2,078
Cubic Corp.		53		2,071
GeoEye, Inc.*		73		2,070
Blount International, Inc.*		154		2,057
Knoll, Inc.		150		2,055
ESCO Technologies, Inc.		80		2,040
Tennant Co.		57		2,016
Titan International, Inc.		134		2,010
Unifirst Corp.		44		1,993
Mobile Mini, Inc.*		120		1,973
SYKES Enterprises, Inc.*		131		1,958
Skywest, Inc.		170		1,957
Interface, Inc. — Class A		164		1,945
Astec Industries, Inc.*		66		1,932
McGrath Rentcorp		80		1,903
Amerco, Inc.*		30		1,873
3D Systems Corp.*		132		1,847
American Science & Engineering, Inc.		30		1,831
Exponent, Inc.*		44		1,819
Korn*		144		1,755
TAL International Group, Inc.		70		1,746
Aircastle Ltd.		181		1,723
Dycom Industries, Inc.*		110		1,683
Insperity, Inc.		74		1,646
TrueBlue, Inc.*		145		1,643
Albany International Corp. — Class A		90		1,643
Swift Transportation Co. — Class A*		250		1,610
Colfax Corp.*		79		1,601
CIRCOR International, Inc.		54		1,586
Steelcase, Inc. — Class A		250		1,577
AZZ, Inc.		40		1,551
USG Corp.		230		1,548
Higher One Holdings, Inc.*		94		1,529
RSC Holdings, Inc.*		213		1,519
Navigant Consulting, Inc.*		163		1,511
Generac Holdings, Inc.*		79		1,486
Rush Enterprises, Inc. — Class A*		104		1,473
Resources Connection, Inc.		150		1,467
Badger Meter, Inc.		50		1,446
Quad		80		1,446
Universal Forest Products, Inc.		60		1,443
Insituform Technologies, Inc. — Class A*		124		1,436
G&K Services, Inc. — Class A		56		1,430
Interline Brands, Inc.*		110		1,416
Aerovironment, Inc.*		50		1,407
Layne Christensen Co.*		60		1,386
Quanex Building Products Corp.		120		1,314
Arkansas Best Corp.		80		1,292
John Bean Technologies Corp.		90		1,283
NACCO Industries, Inc. — Class A		20		1,268
Sun Hydraulics Corp.		62		1,264
Griffon Corp.*		154		1,260
Team, Inc.*		60		1,259
Global Power Equipment Group, Inc.*		54		1,257
Standex International Corp.		40		1,245
Encore Wire Corp.		60		1,235
Gorman-Rupp Co.		50		1,234
Mueller Water Products, Inc. — Class A		494		1,225
Tutor Perini Corp.		102		1,172
Tredegar Corp.		79		1,172
MYR Group, Inc.*		66		1,164
Sauer-Danfoss, Inc.*		40		1,156
ICF International, Inc.*		60		1,129
Trimas Corp.*		76		1,129
Consolidated Graphics, Inc.*		30		1,096
Kforce, Inc.*		110		1,079
Swisher Hygiene, Inc.*		264		1,069
Ennis, Inc.		80		1,045
Wabash National Corp.*		214		1,021
Viad Corp.		60		1,019
Cascade Corp.		30		1,002
Comfort Systems USA, Inc.		120		998
A123 Systems, Inc.*		279		960
US Ecology, Inc.		62		959
AAON, Inc.		60		945
Powell Industries, Inc.*		30		929
Altra Holdings, Inc.*		80		926
Marten Transport Ltd.		53		914
Kelly Services, Inc. — Class A		80		912
Multi-Color Corp.		40		904
Titan Machinery, Inc.*		50		895
Heidrick & Struggles International, Inc.		54		888
Federal Signal Corp.		200		884
EnergySolutions, Inc.*		250		882
Force Protection, Inc.*		229		882
Mistras Group, Inc.*		50		878
APAC Customer Services, Inc.*		100		852
PMFG, Inc.*		54		852
Trex Company, Inc.		53		850
On Assignment, Inc.*		120		848
Astronics Corp.*		30		847
Dolan Co.*		94		845
Standard Parking Corp.*		54		845
Primoris Services Corp.		80		837
RailAmerica, Inc.*		64		834
ACCO Brands Corp.*		174		830
GenCorp, Inc.*		184		826
Taser International, Inc.*		190		819
CBIZ, Inc.*		124		817
Textainer Group Holdings Ltd.		40		811
Twin Disc, Inc.		30		800
Capstone Turbine Corp.*		784		784
Apogee Enterprises, Inc.		90		773

76 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
Gibraltar Industries, Inc.*		93	$	755
Great Lakes Dredge & Dock Corp.		184		749
Douglas Dynamics, Inc.		58		741
M&F Worldwide Corp.*		30		739
Air Transport Services Group, Inc.*		168		727
H&E Equipment Services, Inc.*		88		726
Kadant, Inc.*		40		710
Genco Shipping & Trading Ltd.*		89		695
Hawaiian Holdings, Inc.*		163		686
Kratos Defense & Security Solutions, Inc.*		100		672
LB Foster Co. — Class A		30		667
EnerNOC, Inc.*		74		666
Columbus McKinnon Corp.*		60		658
Furmanite Corp.*		120		649
Accuride Corp.*		124		635
Greenbrier Companies, Inc.*		54		629
InnerWorkings, Inc.*		80		627
RPX Corp.*		30		621
Dynamic Materials Corp.		39		614
Ampco-Pittsburgh Corp.		30		614
Houston Wire & Cable Co.		53		609
Northwest Pipe Co.*		30		609
CRA International, Inc.*		30		600
Commercial Vehicle Group, Inc.*		89		585
Michael Baker Corp.*		30		574
Miller Industries, Inc.		33		573
American Superconductor Corp.*		145		570
Odyssey Marine Exploration, Inc.*		230		566
DXP Enterprises, Inc.*		30		565
Sterling Construction Company, Inc.*		50		558
Spirit Airlines, Inc.*		44		550
Ameresco, Inc. — Class A*		54		549
Insteel Industries, Inc.		54		544
Zipcar, Inc.*		30		540
Celadon Group, Inc.		60		533
Saia, Inc.		50		526
Vicor Corp.		60		525
Cenveo, Inc.*		174		524
Orion Marine Group, Inc.*		89		514
LMI Aerospace, Inc.*		30		512
Lydall, Inc.*		57		507
GP Strategies Corp.*		50		500
Graham Corp.		30		499
CAI International, Inc.*		42		492
Kimball International, Inc. — Class B		100		486
Metalico, Inc.*		123		480
Alamo Group, Inc.		23		478
FreightCar America, Inc.*		33		476
Hurco Companies, Inc.*		23		467
Patriot Transportation Holding, Inc.*		23		465
American Railcar Industries, Inc.*		30		461
Preformed Line Products Co.		10		458
NCI Building Systems, Inc.*		60		454
Ducommun, Inc.		30		449
Tecumseh Products Co. — Class A*		60		437
Energy Recovery, Inc.*		145		436
Pacer International, Inc.*		115		431
Met-Pro Corp.		50		429
CDI Corp.		40		427
Republic Airways Holdings, Inc.*		150		424
Aceto Corp.		80		423
Casella Waste Systems, Inc. — Class A*		80		421
Thermon Group Holdings, Inc.*		30		415
Roadrunner Transportation Systems, Inc.*		30		412
VSE Corp.		15		388
Intersections, Inc.		30		385
School Specialty, Inc.*		54		385
KEYW Holding Corp.*		54		384
American Reprographics Co.*		114		383
Quality Distribution, Inc.*		42		377
Hill International, Inc.*		80		374
LSI Industries, Inc.		60		374
Pike Electric Corp.*		54		366
SeaCube Container Leasing Ltd.		30		364
American Woodmark Corp.		30		363
Park-Ohio Holdings Corp.*		30		360
Schawk, Inc. — Class A		36		355
Hudson Highland Group, Inc.*		100		342
Flow International Corp.*		154		340
AT Cross Co. — Class A*		30		338
Barrett Business Services, Inc.		24		335
FuelCell Energy, Inc.*		393		330
Active Power, Inc.*		250		323
TMS International Corp. — Class A*		44		320
Xerium Technologies, Inc.*		30		314
Eagle Bulk Shipping, Inc.*		200		314
Fuel Tech, Inc.*		53		308
Excel Maritime Carriers Ltd. — Class A*		140		291
Franklin Covey Co.*		38		289
PowerSecure International, Inc.*		60		284
Satcon Technology Corp.*		284		270
Coleman Cable, Inc.*		30		254
NN, Inc.*		50		252
International Shipholding Corp.		13		240
Valence Technology, Inc.*		230		239
Heritage-Crystal Clean, Inc.*		13		236
Argan, Inc.*		23		234
Baltic Trading Ltd.		50		233
Microvision, Inc.*		336		229
WCA Waste Corp.*		50		212
Courier Corp.		30		196
Builders FirstSource, Inc.*		147		187
Universal Truckload Services, Inc.		13		169
Ultrapetrol Bahamas Ltd.*		72		163

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 77

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® 1.5x STRATEGY FUND

	Shares		Value
TRC Companies, Inc.*		54	$	163
UniTek Global Services, Inc.*		30		149
Lawson Products, Inc.		10		135
Omega Flex, Inc.*		10		133
Essex Rental Corp.*		50		123
Covenant Transportation Group, Inc. — Class A*		30		109
Broadwind Energy, Inc.*		336		108
Ener1, Inc.*		230		32
Total Industrials				461,320
CONSUMER DISCRETIONARY - 5.0%
Crocs, Inc.*		274		6,486
Warnaco Group, Inc.*		140		6,453
Sotheby’s		209		5,762
Rent-A-Center, Inc. — Class A		204		5,600
Cinemark Holdings, Inc.		291		5,494
Domino’s Pizza, Inc.*		199		5,423
Ascena Retail Group, Inc.*		199		5,387
Wolverine World Wide, Inc.		160		5,320
Life Time Fitness, Inc.*		134		4,938
Carter’s, Inc.*		160		4,886
Dana Holding Corp.*		464		4,872
Tenneco, Inc.*		190		4,866
Cheesecake Factory, Inc.*		180		4,437
Vail Resorts, Inc.		114		4,308
HSN, Inc.		130		4,307
Men’s Wearhouse, Inc.		160		4,173
Jos A. Bank Clothiers, Inc.*		87		4,057
Brunswick Corp.		284		3,987
Shutterfly, Inc.*		96		3,953
Pool Corp.		150		3,927
Coinstar, Inc.*		97		3,880
ANN, Inc.*		164		3,746
Childrens Place Retail Stores, Inc.*		80		3,722
Buffalo Wild Wings, Inc.*		62		3,708
Hillenbrand, Inc.		200		3,680
Iconix Brand Group, Inc.*		230		3,634
Steven Madden Ltd.*		120		3,612
Genesco, Inc.*		70		3,607
Six Flags Entertainment Corp.		130		3,604
Live Nation Entertainment, Inc.*		444		3,556
BJ’s Restaurants, Inc.*		80		3,529
Express, Inc.		170		3,449
Buckle, Inc.		86		3,308
Finish Line, Inc. — Class A		164		3,278
Pier 1 Imports, Inc.*		334		3,267
Saks, Inc.*		364		3,185
Monro Muffler Brake, Inc.		94		3,099
Strayer Education, Inc.		40		3,067
Hibbett Sports, Inc.*		90		3,050
Vitamin Shoppe, Inc.*		81		3,033
Valassis Communications, Inc.*		160		2,998
Jack in the Box, Inc.		150		2,988
Arbitron, Inc.		90		2,977
Cracker Barrel Old Country Store, Inc.		74		2,966
Cabela’s, Inc.*		140		2,869
Group 1 Automotive, Inc.		80		2,844
Matthews International Corp. — Class A		90		2,768
99 Cents Only Stores*		150		2,763
Aeropostale, Inc.*		254		2,746
Texas Roadhouse, Inc. — Class A		203		2,684
Bob Evans Farms, Inc.		94		2,681
Jones Group, Inc.		279		2,570
Regis Corp.		180		2,536
National CineMedia, Inc.		174		2,525
Collective Brands, Inc.*		194		2,514
New York Times Co. — Class A*		430		2,498
Meredith Corp.		110		2,490
Scholastic Corp.		88		2,467
Peet’s Coffee & Tea, Inc.*		44		2,448
Select Comfort Corp.*		174		2,431
Helen of Troy Ltd.*		94		2,361
Penske Automotive Group, Inc.		145		2,320
True Religion Apparel, Inc.*		86		2,319
American Greetings Corp. — Class A		124		2,294
Gaylord Entertainment Co.		114		2,205
Cooper Tire & Rubber Co.		200		2,178
Vera Bradley, Inc.*		60		2,163
Meritor, Inc.*		304		2,146
Orient-Express Hotels Ltd. — Class A*		300		2,073
International Speedway Corp. — Class A		90		2,056
Steiner Leisure Ltd.*		50		2,039
K12, Inc.*		80		2,037
Cato Corp. — Class A		90		2,030
PF Chang’s China Bistro, Inc.		74		2,016
iRobot Corp.*		77		1,937
MDC Holdings, Inc.		114		1,931
DineEquity, Inc.*		50		1,924
Columbia Sportswear Co.		40		1,856
American Public Education, Inc.*		54		1,836
Office Depot, Inc.*		879		1,811
Pinnacle Entertainment, Inc.*		199		1,807
Papa John’s International, Inc.		59		1,794
Maidenform Brands, Inc.		74		1,732
Ascent Capital Group, Inc. — Class A*		44		1,730
CEC Entertainment, Inc.		60		1,708
Jakks Pacific, Inc.1		90		1,705
Ameristar Casinos, Inc.		105		1,685
Interval Leisure Group, Inc.*		124		1,652
American Axle & Manufacturing Holdings, Inc.*		216		1,648
PEP Boys-Manny Moe & Jack		164		1,619

78 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Skechers U.S.A., Inc. — Class A*		114	$	1,599
Stage Stores, Inc.		114		1,581
Sturm Ruger & Company, Inc.		60		1,559
Ryland Group, Inc.		145		1,544
Liz Claiborne, Inc.*		304		1,520
Capella Education Co.*		53		1,504
GNC Holdings, Inc. — Class A*		74		1,489
Stewart Enterprises, Inc. — Class A		250		1,487
Asbury Automotive Group, Inc.*		90		1,484
Blue Nile, Inc.*		42		1,482
Ruby Tuesday, Inc.*		204		1,461
Grand Canyon Education, Inc.*		90		1,453
Oxford Industries, Inc.		42		1,441
KB Home		245		1,436
Shuffle Master, Inc.*		170		1,430
Belo Corp. — Class A		290		1,418
Sonic Corp.*		199		1,407
Churchill Downs, Inc.		35		1,366
Meritage Homes Corp.*		90		1,363
Modine Manufacturing Co.*		150		1,359
Sonic Automotive, Inc. — Class A		124		1,338
OfficeMax, Inc.*		270		1,310
Krispy Kreme Doughnuts, Inc.*		190		1,296
Scientific Games Corp. — Class A*		180		1,282
Fred’s, Inc. — Class A		120		1,279
Wet Seal, Inc. — Class A*		284		1,272
Quiksilver, Inc.*		410		1,251
Harte-Hanks, Inc.		145		1,230
Core-Mark Holding Company, Inc.*		40		1,225
La-Z-Boy, Inc.*		163		1,208
Drew Industries, Inc.		60		1,199
Zumiez, Inc.*		67		1,173
Knology, Inc.*		90		1,168
MDC Partners, Inc. — Class A		80		1,154
Superior Industries International, Inc.		74		1,143
Sinclair Broadcast Group, Inc. — Class A		159		1,140
Rue21, Inc.*		50		1,134
Hot Topic, Inc.		145		1,106
G-III Apparel Group Ltd.*		48		1,097
Ethan Allen Interiors, Inc.		80		1,089
NutriSystem, Inc.		89		1,078
Lumber Liquidators Holdings, Inc.*		71		1,072
Barnes & Noble, Inc.		90		1,065
Callaway Golf Co.		204		1,055
National Presto Industries, Inc.		12		1,043
Red Robin Gourmet Burgers, Inc.*		43		1,036
Brown Shoe Company, Inc.		145		1,032
Denny’s Corp.*		310		1,032
Lithia Motors, Inc. — Class A		71		1,021
Lions Gate Entertainment Corp.*		145		1,000
Exide Technologies*		250		1,000
Bravo Brio Restaurant Group, Inc.*		60		998
Dorman Products, Inc.*		30		992
Universal Technical Institute, Inc.*		72		978
Charming Shoppes, Inc.*		370		962
AFC Enterprises, Inc.*		80		946
Bridgepoint Education, Inc.*		54		942
Central European Media Enterprises Ltd. — Class A*		120		937
Fuel Systems Solutions, Inc.*		48		922
Amerigon, Inc.*		71		904
America’s Car-Mart, Inc.*		30		871
Boyd Gaming Corp.*		174		853
Perry Ellis International, Inc.*		44		827
Standard Pacific Corp.*		334		825
Universal Electronics, Inc.*		50		819
World Wrestling Entertainment, Inc. — Class A		90		802
Bebe Stores, Inc.		118		793
Standard Motor Products, Inc.		60		778
EW Scripps Co. — Class A*		110		769
Cavco Industries, Inc.*		22		758
Blyth, Inc.		13		721
Shoe Carnival, Inc.*		30		708
Marcus Corp.		69		687
Fisher Communications, Inc.*		30		670
Eastman Kodak Co.*		849		662
Body Central Corp.*		36		654
Movado Group, Inc.		52		633
Winnebago Industries, Inc.*		90		623
Libbey, Inc.*		59		622
Talbots, Inc.*		220		594
Citi Trends, Inc.*		50		588
hhgregg, Inc.*		60		585
Arctic Cat, Inc.*		40		580
Haverty Furniture Companies, Inc.		58		579
PetMed Express, Inc.		64		576
Lincoln Educational Services Corp.		69		558
Stein Mart, Inc.		89		556
Weyco Group, Inc.		23		513
Casual Male Retail Group, Inc.*		134		504
Steinway Musical Instruments, Inc.*		23		496
Speedway Motorsports, Inc.		41		495
Tuesday Morning Corp.*		140		493
Smith & Wesson Holding Corp.		190		479
MarineMax, Inc.*		74		479
Ruth’s Hospitality Group, Inc.*		109		468
Winmark Corp.		10		462
Kirkland’s, Inc.*		50		458
Spartan Motors, Inc.		110		454
Big 5 Sporting Goods Corp.		74		450
Caribou Coffee Company, Inc.*		38		449
Saga Communications, Inc. — Class A*		15		443
Leapfrog Enterprises, Inc. — Class A*		130		438
Town Sports International Holdings, Inc.*		60		436
Mac-Gray Corp.		33		426
Morgans Hotel Group Co.*		71		425
Stoneridge, Inc.*		81		423

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 79

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Entercom Communications Corp. — Class A*		80	$	420
Systemax, Inc.*		33		420
Journal Communications, Inc. — Class A*		140		416
CSS Industries, Inc.		24		400
Christopher & Banks Corp.		112		395
REX American Resources Corp.*		23		388
Destination Maternity Corp.		30		386
Cherokee, Inc.		30		385
West Marine, Inc.*		50		385
Corinthian Colleges, Inc.*		245		382
Cost Plus, Inc.*		60		378
Rentrak Corp.*		30		378
Overstock.com, Inc.*		40		371
Archipelago Learning, Inc.*		44		370
Beazer Homes USA, Inc.*		240		362
O’Charleys, Inc.*		61		362
M/I Homes, Inc.*		60		361
Unifi, Inc.*		44		359
Carrols Restaurant Group, Inc.*		40		356
K-Swiss, Inc. — Class A*		80		340
Benihana, Inc. — Class A*		39		336
Red Lion Hotels Corp.*		50		335
interCLICK, Inc.*		60		333
Audiovox Corp. — Class A*		60		329
Isle of Capri Casinos, Inc.*		68		329
ReachLocal, Inc.*		30		326
Geeknet, Inc.*		16		324
Multimedia Games Holding Company, Inc.*		80		323
RG Barry Corp.		30		318
Conn’s, Inc.*		43		309
Valuevision Media, Inc. — Class A*		130		307
McCormick & Schmick’s Seafood Restaurants, Inc.*		44		304
Ambassadors Group, Inc.		52		298
Motorcar Parts of America, Inc.*		36		296
Monarch Casino & Resort, Inc.*		30		293
Lifetime Brands, Inc.		30		289
New York & Company, Inc.*		90		287
Zale Corp.*		100		285
Martha Stewart Living Omnimedia — Class A*		89		278
Furniture Brands International, Inc.*		134		276
Jamba, Inc.*		210		271
Global Sources Ltd.*		40		271
Delta Apparel, Inc.*		17		268
Kenneth Cole Productions, Inc. — Class A*		24		258
Summer Infant, Inc.*		39		257
Einstein Noah Restaurant Group, Inc.		20		257
Black Diamond, Inc.*		39		254
US Auto Parts Network, Inc.*		50		253
AH Belo Corp. — Class A		60		252
Outdoor Channel Holdings, Inc.		44		252
Build-A-Bear Workshop, Inc. — Class A*		49		250
Gray Television, Inc.*		160		250
Luby’s, Inc.*		60		246
McClatchy Co. — Class A*		180		241
Coldwater Creek, Inc.*		190		237
Tower International, Inc.*		23		237
Sealy Corp.*		160		237
Hovnanian Enterprises, Inc. — Class A*		194		237
Skyline Corp.		23		220
National American University Holdings, Inc.		30		215
Cumulus Media, Inc. — Class A*		74		210
Syms Corp.*		23		202
Johnson Outdoors, Inc. — Class A*		13		200
Bon-Ton Stores, Inc.		40		199
Nexstar Broadcasting Group, Inc. — Class A*		30		198
LIN TV Corp. — Class A*		90		196
Shiloh Industries, Inc.		21		188
1-800-Flowers.com, Inc. — Class A*		80		186
Pacific Sunwear of California, Inc.*		154		185
Entravision Communications Corp. — Class A*		164		167
Gordmans Stores, Inc.*		13		156
Crown Media Holdings, Inc. — Class A*		107		153
Orbitz Worldwide, Inc.*		70		152
Cambium Learning Group, Inc.*		50		149
Marine Products Corp.*		30		103
Westwood One, Inc.*		13		47
Total Consumer Discretionary				402,442
HEALTH CARE - 4.9%
Healthspring, Inc.*		214		7,802
Cepheid, Inc.*		198		7,688
Medicis Pharmaceutical Corp. — Class A		200		7,296
Cubist Pharmaceuticals, Inc.*		190		6,711
athenahealth, Inc.*		110		6,551
HMS Holdings Corp.*		264		6,439
Onyx Pharmaceuticals, Inc.*		204		6,122
Seattle Genetics, Inc.*		310		5,909
Quality Systems, Inc.		60		5,820
Owens & Minor, Inc.		204		5,810
STERIS Corp.		190		5,561
Salix Pharmaceuticals Ltd.*		180		5,328
WellCare Health Plans, Inc.*		134		5,089
Volcano Corp.*		164		4,859
Magellan Health Services, Inc.*		99		4,782
Haemonetics Corp.*		80		4,678
Alkermes plc*		304		4,639
Questcor Pharmaceuticals, Inc.*		170		4,634
Centene Corp.*		160		4,587
HealthSouth Corp.*		300		4,479

80 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Viropharma, Inc.		240	$	4,337
Theravance, Inc.*		214		4,310
West Pharmaceutical Services, Inc.		109		4,044
Incyte Corporation Ltd.*		284		3,967
Chemed Corp.		70		3,847
Ariad Pharmaceuticals, Inc.*		420		3,692
Impax Laboratories, Inc.*		204		3,654
Masimo Corp.		163		3,529
PAREXEL International Corp.*		184		3,483
PSS World Medical, Inc.*		174		3,426
MAKO Surgical Corp.*		100		3,422
InterMune, Inc.*		154		3,111
NxStage Medical, Inc.*		146		3,046
Par Pharmaceutical Companies, Inc.*		114		3,035
Align Technology, Inc.*		194		2,943
Zoll Medical Corp.*		74		2,793
Jazz Pharmaceuticals, Inc.*		67		2,782
MWI Veterinary Supply, Inc.*		40		2,753
Luminex Corp.*		120		2,660
Accretive Health, Inc.*		125		2,654
Immunogen, Inc.*		240		2,630
Neogen Corp.*		74		2,569
Arthrocare Corp.*		89		2,561
Cyberonics, Inc.*		90		2,547
Air Methods Corp.*		40		2,547
DexCom, Inc.*		210		2,520
Integra LifeSciences Holdings Corp.*		70		2,504
Medicines Co.*		168		2,500
Acorda Therapeutics, Inc.		124		2,475
PDL BioPharma, Inc.		444		2,464
Auxilium Pharmaceuticals, Inc.*		155		2,323
Insulet Corp.*		149		2,274
Vivus, Inc.*		280		2,260
Exelixis, Inc.		404		2,206
NuVasive, Inc.*		129		2,202
Amsurg Corp. — Class A*		97		2,183
Wright Medical Group, Inc.*		120		2,146
Isis Pharmaceuticals, Inc.*		314		2,129
HeartWare International, Inc.*		33		2,126
Hanger Orthopedic Group, Inc.*		110		2,078
Invacare Corp.		90		2,074
CONMED Corp.*		90		2,071
Optimer Pharmaceuticals, Inc.*		149		2,062
Meridian Bioscience, Inc.		130		2,046
Orthofix International N.V.*		59		2,036
Computer Programs & Systems, Inc.		30		1,985
Analogic Corp.		40		1,816
Pharmacyclics, Inc.*		150		1,775
Nektar Therapeutics*		365		1,770
NPS Pharmaceuticals, Inc.*		270		1,758
Merit Medical Systems, Inc.*		130		1,708
Ironwood Pharmaceuticals, Inc. — Class A*		158		1,706
Medivation, Inc.*		100		1,698
Momenta Pharmaceuticals, Inc.*		146		1,679
IPC The Hospitalist Company, Inc.*		47		1,677
Abaxis, Inc.*		72		1,650
Caliper Life Sciences, Inc.*		154		1,612
Rigel Pharmaceuticals, Inc.*		218		1,604
Halozyme Therapeutics, Inc. — Class A		257		1,578
Sequenom, Inc.		310		1,578
AVEO Pharmaceuticals, Inc.*		102		1,570
Endologix, Inc.*		150		1,506
Opko Health, Inc.*		346		1,498
Omnicell, Inc.*		108		1,488
Landauer, Inc.		30		1,486
Greatbatch, Inc.*		74		1,481
Bio-Reference Labs, Inc.*		80		1,473
ICU Medical, Inc.*		40		1,472
Quidel Corp.*		87		1,424
MedAssets, Inc.*		147		1,413
Kindred Healthcare, Inc.		163		1,405
Micromet, Inc.*		290		1,392
Team Health Holdings, Inc.*		83		1,363
Akorn, Inc.*		174		1,359
Molina Healthcare, Inc.*		88		1,359
Targacept, Inc.*		90		1,350
Amedisys, Inc.*		90		1,334
Emeritus Corp.*		94		1,325
SonoSite, Inc. — Class A		43		1,305
PharMerica Corp.*		90		1,284
Genomic Health, Inc.*		57		1,253
Spectrum Pharmaceuticals, Inc.*		164		1,251
OraSure Technologies, Inc.*		150		1,194
Emergent Biosolutions, Inc.*		77		1,188
Ensign Group, Inc.		51		1,179
AVANIR Pharmaceuticals, Inc. — Class A*		393		1,124
ABIOMED, Inc.*		100		1,103
Medidata Solutions, Inc.*		67		1,101
Affymetrix, Inc.*		224		1,098
Exact Sciences Corp.*		164		1,087
Healthways, Inc.*		109		1,071
Angiodynamics, Inc.*		80		1,051
Conceptus, Inc.*		100		1,047
Universal American Corp.		103		1,036
AMAG Pharmaceuticals, Inc.*		70		1,033
Hi-Tech Pharmacal Company, Inc.*		30		1,008
Triple-S Management Corp. — Class B*		60		1,005
Merge Healthcare, Inc.*		163		993
National Healthcare Corp.		30		969
Select Medical Holdings Corp.*		145		967
Neurocrine Biosciences, Inc.*		160		957
Savient Pharmaceuticals, Inc.*		230		943
MAP Pharmaceuticals, Inc.*		64		936
Corvel Corp.*		22		935
MannKind Corp.*		246		932
ExamWorks Group, Inc.*		90		916
Depomed, Inc.*		165		891
Neoprobe Corp.*		300		888

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 81

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
LHC Group, Inc.*		52	$	887
Staar Surgical Co.*		112		874
Accuray, Inc.*		217		872
Geron Corp.*		406		861
Symmetry Medical, Inc.*		110		849
Arqule, Inc.*		168		848
Idenix Pharmaceuticals, Inc.*		170		848
Natus Medical, Inc.*		89		846
Enzon Pharmaceuticals, Inc.*		120		845
ZIOPHARM Oncology, Inc.*		190		838
Assisted Living Concepts, Inc. — Class A		66		836
BioScrip, Inc.*		130		827
Sunrise Senior Living, Inc.*		178		824
Cantel Medical Corp.		39		824
Ligand Pharmaceuticals, Inc. — Class B*		60		821
Ardea Biosciences, Inc.*		51		797
Biosante Pharmaceuticals, Inc.*		347		791
Alnylam Pharmaceuticals, Inc.*		120		788
Oncothyreon, Inc.*		130		777
Unilife Corp.*		184		773
Spectranetics Corp.*		108		771
Cadence Pharmaceuticals, Inc.*		116		760
Curis, Inc.*		240		758
MedQuist Holdings, Inc.*		100		756
Kensey Nash Corp.*		30		735
Dynavax Technologies Corp.*		394		733
Sangamo Biosciences, Inc.*		164		713
eResearchTechnology, Inc.*		159		709
Achillion Pharmaceuticals, Inc.*		150		708
Transcend Services, Inc.*		30		676
Arena Pharmaceuticals, Inc.*		466		676
XenoPort, Inc.*		114		673
Synovis Life Technologies, Inc.*		40		668
US Physical Therapy, Inc.		36		667
Immunomedics, Inc.*		204		653
Cell Therapeutics, Inc.*		614		651
Antares Pharma, Inc.*		279		647
Keryx Biopharmaceuticals, Inc.*		214		642
HealthStream, Inc.*		50		641
Tornier N.V.*		30		615
Chelsea Therapeutics International Ltd.*		165		602
Metropolitan Health Networks, Inc.*		127		577
Continucare Corp.*		90		574
Vascular Solutions, Inc.*		50		573
RTI Biologics, Inc.*		174		572
Endocyte, Inc.*		54		572
Vical, Inc.*		230		570
Pain Therapeutics, Inc.		118		562
Maxygen, Inc.		100		547
Capital Senior Living Corp.*		87		537
AMN Healthcare Services, Inc.*		130		521
Affymax, Inc.*		116		520
Gentiva Health Services, Inc.*		93		513
Obagi Medical Products, Inc.*		56		508
Progenics Pharmaceuticals, Inc.*		88		505
Inhibitex, Inc.*		204		502
Delcath Systems, Inc.*		150		501
Almost Family, Inc.*		30		499
Raptor Pharmaceutical Corp.*		110		496
Novavax, Inc.*		308		496
Lexicon Pharmaceuticals, Inc.*		539		496
AVI BioPharma, Inc.*		434		486
Hansen Medical, Inc.*		146		485
IRIS International, Inc.*		54		484
American Dental Partners, Inc.*		50		483
Santarus, Inc.*		170		474
Metabolix, Inc.*		107		469
Nymox Pharmaceutical Corp.*		57		466
Sagent Pharmaceuticals, Inc.*		23		466
Allos Therapeutics, Inc.*		250		460
Providence Service Corp.*		43		458
SurModics, Inc.*		50		455
Cytori Therapeutics, Inc.*		154		454
Cambrex Corp.*		90		454
Palomar Medical Technologies, Inc.*		57		449
Columbia Laboratories, Inc.*		230		449
Vanda Pharmaceuticals, Inc.*		90		446
Cardiovascular Systems, Inc.*		39		444
Infinity Pharmaceuticals, Inc.*		63		444
AtriCure, Inc.*		44		429
Furiex Pharmaceuticals, Inc.*		30		427
Exactech, Inc.*		30		422
Sciclone Pharmaceuticals, Inc.*		110		419
Durect Corp.*		254		409
Rockwell Medical Technologies, Inc.*		50		408
Insmed, Inc.*		80		408
Corcept Therapeutics, Inc.*		131		406
CryoLife, Inc.*		90		404
Ampio Pharmaceuticals, Inc.*		60		399
Synergetics USA, Inc.*		74		399
Dyax Corp.*		310		391
Aegerion Pharmaceuticals, Inc.*		30		380
Cross Country Healthcare, Inc.*		90		376
Codexis, Inc.*		82		375
Young Innovations, Inc.		13		371
Alphatec Holdings, Inc.*		174		367
SIGA Technologies, Inc.*		110		360
Pacific Biosciences of California, Inc.*		110		353
Biotime, Inc.*		80		353
Array Biopharma, Inc.*		180		353
Chindex International, Inc.*		40		352
ISTA Pharmaceuticals, Inc.*		100		345
Astex Pharmaceuticals*		179		344
Uroplasty, Inc.*		70		340
Anthera Pharmaceuticals, Inc.*		71		339
National Research Corp.		10		331
Cerus Corp.*		154		326
Five Star Quality Care, Inc.*		130		325

82 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Fluidigm Corp.*		23	$	320
Alimera Sciences, Inc.*		40		320
Celldex Therapeutics, Inc.*		140		320
Medtox Scientific, Inc.		24		314
Harvard Bioscience, Inc.*		74		312
Enzo Biochem, Inc.*		119		306
Cynosure, Inc. — Class A*		30		303
Dusa Pharmaceuticals, Inc.*		80		296
OncoGenex Pharmaceutical, Inc.*		30		294
Medical Action Industries, Inc.*		55		278
Biolase Technology, Inc.*		90		270
Osiris Therapeutics, Inc.*		49		251
BioCryst Pharmaceuticals, Inc.*		90		248
Synta Pharmaceuticals Corp.*		74		240
CardioNet, Inc.*		80		240
Solta Medical, Inc.*		190		237
Nabi Biopharmaceuticals*		140		235
GTx, Inc.*		70		235
Peregrine Pharmaceuticals, Inc.*		214		233
Zalicus, Inc.*		234		229
RadNet, Inc.*		94		229
Cleveland Biolabs, Inc.*		90		229
KV Pharmaceutical Co. — Class A*		160		216
Sun Healthcare Group, Inc.*		80		216
Biospecifics Technologies Corp.*		13		210
Albany Molecular Research, Inc.*		74		209
Amicus Therapeutics, Inc.*		54		207
Epocrates, Inc.*		23		207
Lannett Company, Inc.*		54		207
Skilled Healthcare Group, Inc. — Class A*		56		202
PharmAthene, Inc.*		114		201
Orexigen Therapeutics, Inc.*		100		199
BioMimetic Therapeutics, Inc.*		60		198
Pozen, Inc.*		80		193
Complete Genomics, Inc.*		30		176
Anacor Pharmaceuticals, Inc.*		30		171
Stereotaxis, Inc.*		140		155
Cornerstone Therapeutics, Inc.*		24		154
Sucampo Pharmaceuticals, Inc. — Class A*		40		149
Trius Therapeutics, Inc.*		23		145
Bacterin International Holdings, Inc.*		70		140
Pacira Pharmaceuticals, Inc.*		13		129
Acura Pharmaceuticals, Inc.*		33		112
Sunesis Pharmaceuticals, Inc.*		90		111
DynaVox, Inc. — Class A*		30		108
Alliance HealthCare Services, Inc.*		80		91
Neostem, Inc.*		140		91
Pernix Therapeutics Holdings*		10		88
Transcept Pharmaceuticals, Inc.*		13		86
BG Medicine, Inc.*		24		85
Zogenix, Inc.*		30		55
Total Health Care				394,250
ENERGY - 2.3%
World Fuel Services Corp.		220		7,183
CVR Energy, Inc.*		281		5,940
Dril-Quip, Inc.*		110		5,930
Rosetta Resources, Inc.*		170		5,817
Berry Petroleum Co. — Class A		164		5,802
Bill Barrett Corp.*		154		5,581
Energy XXI Bermuda Ltd.*		236		5,062
Lufkin Industries, Inc.		92		4,895
Complete Production Services, Inc.*		250		4,713
Bristow Group, Inc.		110		4,667
Helix Energy Solutions Group, Inc.*		340		4,454
Oasis Petroleum, Inc.*		190		4,243
Golar LNG Ltd.		130		4,131
Northern Oil and Gas, Inc.*		204		3,956
Key Energy Services, Inc.*		395		3,749
Kodiak Oil & Gas Corp.		660		3,439
Swift Energy Co.*		134		3,262
Gulfport Energy Corp.*		134		3,240
Cloud Peak Energy, Inc.*		190		3,221
McMoRan Exploration Co.*		314		3,118
Gulfmark Offshore, Inc. — Class A*		79		2,871
Carrizo Oil & Gas, Inc.*		128		2,758
SemGroup Corp. — Class A*		130		2,595
Stone Energy Corp.*		159		2,577
Global Industries Ltd.*		324		2,566
Patriot Coal Corp.*		290		2,453
Comstock Resources, Inc.*		154		2,381
Apco Oil and Gas International, Inc.		30		2,233
Contango Oil & Gas Co.*		40		2,188
Nordic American Tankers Ltd.		154		2,171
Western Refining, Inc.*		163		2,031
ION Geophysical Corp.*		420		1,987
Exterran Holdings, Inc.*		204		1,983
Tetra Technologies, Inc.*		245		1,891
Ship Finance International Ltd.		145		1,885
Hornbeck Offshore Services, Inc.*		74		1,843
Hyperdynamics Corp.*		494		1,828
Newpark Resources, Inc.*		284		1,730
Clean Energy Fuels Corp.*		154		1,712
Resolute Energy Corp.		150		1,704
Crosstex Energy, Inc.		124		1,672
Parker Drilling Co.		374		1,642
W&T Offshore, Inc.		110		1,514
Targa Resources Corp.		50		1,488
Petroleum Development Corp.*		74		1,435
Pioneer Drilling Co.*		198		1,422
Rex Energy Corp.*		108		1,366
Cheniere Energy, Inc.*		262		1,349
Approach Resources, Inc.*		72		1,223
GeoResources, Inc.*		68		1,210
Overseas Shipholding Group, Inc.		88		1,209
Knightsbridge Tankers Ltd.		72		1,192
Magnum Hunter Resources Corp.*		353		1,168
Tesco Corp.*		100		1,160

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 83

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Basic Energy Services, Inc.*		80	$	1,133
ATP Oil & Gas Corp.*		145		1,118
Amyris, Inc.*		54		1,093
Hercules Offshore, Inc.*		364		1,063
Energy Partners Ltd.*		90		996
Endeavour International Corp.*		120		958
Petroquest Energy, Inc.*		174		957
Goodrich Petroleum Corp.*		80		946
Harvest Natural Resources, Inc.*		109		934
OYO Geospace Corp.*		16		901
BPZ Resources, Inc.*		320		886
Clayton Williams Energy, Inc.*		20		856
Gulf Island Fabrication, Inc.		41		848
PHI, Inc.*		44		842
Frontline Ltd.		164		795
Vaalco Energy, Inc.*		163		792
Venoco, Inc.*		89		784
Penn Virginia Corp.		140		780
Matrix Service Co.*		86		732
James River Coal Co.*		114		726
FX Energy, Inc.*		170		702
Abraxas Petroleum Corp.		264		697
Vantage Drilling Co.*		554		692
Panhandle Oil and Gas, Inc. — Class A		24		681
Houston American Energy Corp.		49		674
Green Plains Renewable Energy, Inc.*		70		653
Teekay Tankers Ltd. — Class A		134		616
Uranium Energy Corp.*		223		611
USEC, Inc.		370		596
Cal Dive International, Inc.*		304		581
Dawson Geophysical Co.*		24		566
Gastar Exploration Ltd.*		186		558
Rentech, Inc.*		710		554
Warren Resources, Inc.*		230		552
Natural Gas Services Group, Inc.*		40		513
Triangle Petroleum Corp.*		140		503
Willbros Group, Inc.*		120		500
Delek US Holdings, Inc.		44		496
Global Geophysical Services, Inc.*		61		486
Callon Petroleum Co.*		119		461
Mitcham Industries, Inc.*		40		448
GMX Resources, Inc.*		190		431
DHT Holdings, Inc.		200		408
Scorpio Tankers, Inc.*		74		391
Evolution Petroleum Corp.*		50		353
RigNet, Inc.*		20		321
Voyager Oil & Gas, Inc.*		144		302
Ur-Energy, Inc.*		324		292
Solazyme, Inc.*		30		288
Uranerz Energy Corp.*		204		279
Miller Energy Resources, Inc.*		96		253
Alon USA Energy, Inc.		40		245
Syntroleum Corp.*		275		237
Union Drilling, Inc.*		50		235
Westmoreland Coal Co.*		30		233
Uranium Resources, Inc.*		294		200
Zion Oil & Gas, Inc.*		100		196
L&L Energy, Inc.*		66		178
Crimson Exploration, Inc.*		64		138
Gevo, Inc.*		20		111
CAMAC Energy, Inc.*		184		110
Hallador Energy Co.		12		103
General Maritime Corp.		365		95
Geokinetics, Inc.*		30		73
Total Energy				190,592
MATERIALS - 1.7%
Coeur d’Alene Mines Corp.*		285		6,110
Sensient Technologies Corp.		160		5,208
Hecla Mining Co.*		884		4,738
NewMarket Corp.		30		4,556
Olin Corp.		250		4,503
Arch Chemicals, Inc.		74		3,472
Balchem Corp.		89		3,321
PolyOne Corp.		294		3,149
Buckeye Technologies, Inc.		130		3,134
Chemtura Corp.*		310		3,109
Schweitzer-Mauduit International, Inc.		54		3,017
Thompson Creek Metals Company, Inc.*		484		2,938
Globe Specialty Metals, Inc.		202		2,933
HB Fuller Co.		160		2,915
Innophos Holdings, Inc.		72		2,871
Stillwater Mining Co.*		322		2,737
Minerals Technologies, Inc.		54		2,661
Calgon Carbon Corp.*		179		2,608
Worthington Industries, Inc.		180		2,515
OM Group, Inc.*		94		2,441
Eagle Materials, Inc.		145		2,414
Clearwater Paper Corp.*		70		2,379
RTI International Metals, Inc.*		100		2,332
Texas Industries, Inc.		70		2,222
Kaiser Aluminum Corp.		49		2,170
Louisiana-Pacific Corp.		420		2,142
Deltic Timber Corp.		34		2,029
PH Glatfelter Co.		149		1,968
AMCOL International Corp.		80		1,919
Graphic Packaging Holding Co.*		504		1,739
Haynes International, Inc.		40		1,738
Boise, Inc.		332		1,716
Innospec, Inc.*		70		1,695
LSB Industries, Inc.*		59		1,692
Ferro Corp.*		275		1,691
KapStone Paper and Packaging Corp.*		120		1,667
Kraton Performance Polymers, Inc.*		100		1,618
Stepan Co.		24		1,612
A. Schulman, Inc.		94		1,597
Koppers Holdings, Inc.		60		1,537

84 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
Golden Star Resources Ltd.*		820	$	1,525
Georgia Gulf Corp.*		110		1,521
Gold Resource Corp.		90		1,498
Materion Corp.*		66		1,497
Century Aluminum Co.*		164		1,466
US Gold Corp.*		339		1,359
Jaguar Mining, Inc.*		264		1,241
Quaker Chemical Corp.		43		1,115
Zep, Inc.		74		1,111
Horsehead Holding Corp.*		140		1,039
Wausau Paper Corp.		160		1,022
Myers Industries, Inc.		100		1,015
Hawkins, Inc.		30		955
Paramount Gold and Silver Corp.*		374		883
American Vanguard Corp.		75		837
STR Holdings, Inc.*		97		787
TPC Group, Inc.*		39		783
Vista Gold Corp.*		230		768
Flotek Industries, Inc.*		160		747
Neenah Paper, Inc.		50		709
Zagg, Inc.*		70		694
Golden Minerals Co.*		90		670
FutureFuel Corp.		60		624
General Moly, Inc.*		210		609
Zoltek Companies, Inc.*		90		579
Noranda Aluminum Holding Corp.*		67		559
Universal Stainless & Alloy*		22		559
AM Castle & Co.*		50		547
Midway Gold Corp.*		270		543
Omnova Solutions, Inc.*		148		530
Olympic Steel, Inc.		30		508
Senomyx, Inc.*		126		442
Landec Corp.*		80		426
United States Lime & Minerals, Inc.*		10		399
Metals USA Holdings Corp.*		40		358
Spartech Corp.*		101		323
Revett Minerals, Inc.*		80		309
KMG Chemicals, Inc.		24		296
AEP Industries, Inc.*		13		289
NL Industries, Inc.		23		288
Headwaters, Inc.*		189		272
Chase Corp.		23		247
Handy & Harman Ltd.*		20		202
US Energy Corp.*		80		185
Verso Paper Corp.*		50		83
Total Materials				139,232
UTILITIES - 1.5%
Nicor, Inc.		140		7,701
Piedmont Natural Gas Company, Inc.		230		6,645
Cleco Corp.		189		6,452
WGL Holdings, Inc.		164		6,408
IDACORP, Inc.		160		6,045
Portland General Electric Co.		234		5,543
New Jersey Resources Corp.		130		5,534
Southwest Gas Corp.		147		5,317
UIL Holdings Corp.		161		5,302
PNM Resources, Inc.		275		4,518
South Jersey Industries, Inc.		90		4,478
Unisource Energy Corp.		120		4,331
El Paso Electric Co.		134		4,300
Avista Corp.		180		4,293
Black Hills Corp.		124		3,799
Allete, Inc.		100		3,663
NorthWestern Corp.		114		3,641
Northwest Natural Gas Co.		80		3,528
Atlantic Power Corp.		214		3,037
MGE Energy, Inc.		74		3,010
Laclede Group, Inc.		70		2,713
Empire District Electric Co.		137		2,655
CH Energy Group, Inc.		44		2,295
California Water Service Group		128		2,267
Otter Tail Corp.		114		2,086
American States Water Co.		60		2,036
Central Vermont Public Service Corp.		44		1,549
Dynegy, Inc. — Class A*		324		1,335
Chesapeake Utilities Corp.		30		1,203
Ormat Technologies, Inc.		60		965
SJW Corp.		43		936
Unitil Corp.		30		770
Middlesex Water Co.		44		751
Connecticut Water Service, Inc.		30		751
York Water Co.		40		647
Artesian Resources Corp. — Class A		22		385
Pennichuck Corp.		13		364
Consolidated Water Company Ltd.		44		347
Cadiz, Inc.*		36		285
Total Utilities				121,885
CONSUMER STAPLES - 1.4%
TreeHouse Foods, Inc.*		112		6,926
Nu Skin Enterprises, Inc. — Class A		169		6,848
Ruddick Corp.		158		6,160
Diamond Foods, Inc.		72		5,745
United Natural Foods, Inc.*		154		5,704
Casey’s General Stores, Inc.		120		5,238
Darling International, Inc.		366		4,608
Sanderson Farms, Inc.		74		3,515
Hain Celestial Group, Inc.*		114		3,483
Fresh Market, Inc.*		90		3,434
Lancaster Colony Corp.		56		3,416
Pricesmart, Inc.		54		3,365
Snyders-Lance, Inc.		154		3,211
Fresh Del Monte Produce, Inc.		119		2,761
Vector Group Ltd.		156		2,688
Universal Corp.		74		2,654
B&G Foods, Inc. — Class A		150		2,502
Elizabeth Arden, Inc.*		80		2,275
Boston Beer Company, Inc. — Class A*		30		2,181
J&J Snack Foods Corp.		44		2,114

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 85

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND September 30, 2011

	Shares		Value
WD-40 Co.		50	$	1,992
Andersons, Inc.		57		1,919
Rite Aid Corp.*		1,867		1,830
Tootsie Roll Industries, Inc.		70		1,688
Central European Distribution Corp.*		234		1,640
Heckmann Corp.*		290		1,534
Prestige Brands Holdings, Inc.*		161		1,457
Cal-Maine Foods, Inc.		41		1,289
Spectrum Brands Holdings, Inc.*		50		1,181
Chiquita Brands International, Inc.*		140		1,168
Dole Food Company, Inc.*		114		1,140
Smart Balance, Inc.*		190		1,121
Weis Markets, Inc.		30		1,112
Central Garden and Pet Co. — Class A*		154		1,090
Nash Finch Co.		40		1,077
Spartan Stores, Inc.		68		1,053
Winn-Dixie Stores, Inc.*		174		1,030
Pantry, Inc.*		74		898
Inter Parfums, Inc.		51		788
Star Scientific, Inc.*		340		785
Coca-Cola Bottling Company Consolidated		13		721
Medifast, Inc.*		44		711
Pilgrim’s Pride Corp.*		164		700
Calavo Growers, Inc.		34		698
Alliance One International, Inc.*		279		681
National Beverage Corp.		40		606
USANA Health Sciences, Inc.*		22		605
Seneca Foods Corp. — Class A*		30		594
Ingles Markets, Inc. — Class A		40		570
Omega Protein Corp.*		60		545
Village Super Market, Inc. — Class A		21		503
Susser Holdings Corp.*		24		478
Schiff Nutrition International, Inc.*		40		443
Nature’s Sunshine Products, Inc.*		30		422
Nutraceutical International Corp.*		30		383
Revlon, Inc. — Class A*		30		370
Limoneira Co.		24		343
Primo Water Corp.*		50		282
Synutra International, Inc.*		52		277
Imperial Sugar Co.		40		258
Griffin Land & Nurseries, Inc.		10		257
Female Health Co.		59		241
Oil-Dri Corporation of America		12		223
Alico, Inc.		10		196
MGP Ingredients, Inc.		36		182
Craft Brewers Alliance, Inc.*		30		168
Harbinger Group, Inc.*		30		152
Lifeway Foods, Inc.*		12		128
Farmer Brothers Co.		23		127
Total Consumer Staples				116,484
TELECOMMUNICATION SERVICES - 0.4%
AboveNet, Inc.		73		3,913
Global Crossing Ltd.*		94		2,247
PAETEC Holding Corp.*		395		2,090
Cogent Communications Group, Inc.*		150		2,017
Cincinnati Bell, Inc.*		634		1,959
NTELOS Holdings Corp.		90		1,596
Consolidated Communications Holdings, Inc.		86		1,552
Leap Wireless International, Inc.*		194		1,339
Vonage Holdings Corp.*		444		1,154
Pendrell Corp.*		480		1,080
General Communication, Inc. — Class A*		130		1,066
Premiere Global Services, Inc.*		164		1,053
Atlantic Tele-Network, Inc.		30		986
USA Mobility, Inc.		74		977
Neutral Tandem, Inc.*		100		968
Alaska Communications Systems Group, Inc.		145		951
IDT Corp. — Class B		44		898
Iridium Communications, Inc.*		140		868
8x8, Inc.*		200		814
Shenandoah Telecommunications Co.		70		780
Cbeyond, Inc.*		90		635
SureWest Communications		44		461
HickoryTech Corp.		39		375
Towerstream Corp.*		130		333
inContact, Inc.*		94		324
Fairpoint Communications, Inc.*		64		275
Boingo Wireless, Inc.*		20		143
Globalstar, Inc.*		329		135
Total Telecommunication Services				30,989
Total Common Stocks (Cost $3,192,225)				3,056,142
WARRANTS*,†† - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		250		73
ENERGY - 0.0%
Magnum Hunter Resources Corp. $10.50, 12/31/11		23		—
Total Warrants (Costs $—)				73

86 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
RUSSELL 2000®1.5x STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 44.4%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	1,945,137	$	1,945,137
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		962,018		962,018
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		683,686		683,686
Total Repurchase Agreements (Cost $3,590,841)				3,590,841
Total Investments — 82.1% (Cost $6,783,066)			$	6,647,056
Cash & Other Assets, Less Liabilities — 17.9%				1,449,948
Total Net Assets — 100.0%			$	8,097,004

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $2,434,280)		38	$	(27,831	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. October 2011 Russell 2000 Index Swap, Terminating 10/24/112 (Notional Value $355,263)		552	$	(4,057	)
Barclays Bank plc October 2011 Russell 2000 Index Swap, Terminating 10/31/112 (Notional Value $382,000)		593		(11,033	)
Goldman Sachs International October 2011 Russell 2000 Index Swap, Terminating 10/27/112 (Notional Value $2,734,449)		4,245		(88,958	)
Credit Suisse Capital, LLC October 2011 Russell 2000 Index Swap, Terminating 10/31/112 (Notional Value $3,180,866)		4,938		(91,966	)
(Total Notional Value $6,652,578)			$	(196,014	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on Russell 2000 Index +/- financing at a variable rate.
	ADR — American Depositary Receipt
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 87

RUSSELL 2000^® 1.5x STRATEGY FUND 

STATEMENT OF ASSETS AND
LIABILITIES (Unaudited)

September 30, 2011

ASSETS:
Investments, at value (cost $3,192,225)	$	3,056,215
Repurchase agreements, at value (cost $3,590,841)		3,590,841
Foreign currency, at value (cost $13)		13
Segregated cash with broker		1,858,168
Cash		13
Receivables:
Fund shares sold		11,483
Dividends		3,573
Securities sold		125
Total assets		8,520,431
Liabilities:
Unrealized depreciation on swap agreements		196,014
Payable for:
Fund shares redeemed		128,334
Variation margin		82,080
Management fees		6,847
Swap settlement		4,517
Distribution and service fees		2,902
Transfer agent and administrative fees		1,902
Portfolio accounting fees		761
Miscellaneous		70
Total liabilities		423,427
Net assets	$	8,097,004
Net assets consist of:
Paid in capital	$	22,260,920
Accumulated net investment loss		(196,124	)
Accumulated net realized loss on investments		(13,607,937	)
Net unrealized depreciation on investments		(359,855	)
Net assets	$	8,097,004
A-Class:
Net assets	$	385,201
Capital shares outstanding		17,211
Net asset value per share	$	22.38
Maximum offering price per share (Net asset value divided by 95.25%)	$	23.50
C-Class:
Net assets	$	1,459,235
Capital shares outstanding		70,842
Net asset value per share	$	20.60
H-Class:
Net assets	$	6,252,568
Capital shares outstanding		279,982
Net asset value per share	$	22.33

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $3)	$	17,756
Interest		2,761
Total investment income		20,517
Expenses:
Management fees		107,782
Transfer agent and administrative fees		29,940
Distribution and service fees:
A-Class		1,726
C-Class		11,259
H-Class		25,399
Portfolio accounting fees		11,976
Trustees’ fees*		1,390
Miscellaneous		23,940
Total expenses		213,412
Net investment loss		(192,895	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		1,586,004
Swap agreements		(5,204,885	)
Futures contracts		(606,247	)
Net realized loss		(4,225,128	)
Net change in unrealized appreciation (depreciation) on:
Investments		(2,298,245	)
Swap agreements		(1,609,619	)
Futures contracts		(142,473	)
Net change in unrealized appreciation (depreciation)		(4,050,337	)
Net realized and unrealized loss		(8,275,465	)
Net decrease in net assets resulting from operations	$	(8,468,360	)

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

88 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

RUSSELL 2000^® 1.5x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(192,895	)	$	(342,033	)
Net realized gain (loss) on investments		(4,225,128	)		7,585,812
Net change in unrealized appreciation (depreciation) on investments		(4,050,337	)		(1,516,617	)
Net increase (decrease) in net assets resulting from operations		(8,468,360	)		5,727,162
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		1,172,617			6,815,665
C-Class		295,937			1,474,481
H-Class		62,371,996			198,061,598
Cost of shares redeemed
A-Class		(2,711,367	)		(5,760,396	)
C-Class		(785,456	)		(2,047,330	)
H-Class		(86,655,662	)		(188,080,975	)
Net increase (decrease) from capital share transactions		(26,311,935	)		10,463,043
Net increase (decrease) in net assets		(34,780,295	)		16,190,205
Net assets:
Beginning of period		42,877,299			26,687,094
End of period	$	8,097,004		$	42,877,299
Accumulated net investment loss at end of period	$	(196,124	)	$	(3,229	)
Capital share activity:
Shares sold
A-Class		33,904			266,605
C-Class		10,289			57,713
H-Class		1,947,667			7,264,965
Shares redeemed
A-Class		(83,949	)		(222,529	)
C-Class		(27,188	)		(88,368	)
H-Class		(2,769,344	)		(7,088,420	)
Net increase (decrease) in shares		(888,621	)		189,966

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 89

RUSSELL 2000^® 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	34.37		$	25.24		$	12.49		$	28.62		$	37.24		$	37.33
Income (loss) from investment operations:
Net investment income (loss)b		(.25	)		(.35	)		(.11	)		(.02	)		.29			.10
Net gain (loss) on investments (realized and unrealized)		(11.74	)		9.48			12.86			(16.11	)		(8.83	)		1.24
Total from investment operations		(11.99	)		9.13			12.75			(16.13	)		(8.54	)		1.34
Less distributions from:
Net investment income		—			—			—			—			(.08	)		—
Net realized gains		—			—			—			—			—			(1.43	)
Total distributions		—			—			—			—			(.08	)		(1.43	)
Net asset value, end of period	$	22.38		$	34.37		$	25.24		$	12.49		$	28.62		$	37.24
Total Returnc		(34.89	%)		36.17	%		102.08	%		(56.36%	)		(22.98%	)		3.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	385		$	2,312		$	585		$	591		$	4,372		$	5,976
Ratios to average net assets:
Net investment income (loss)		(1.55	%)		(1.25	%)		(0.59	%)		(0.07	%)		0.81	%		0.28	%
Total expenses		1.71	%		1.72	%		1.71	%		1.70	%		1.67	%		1.66	%
Portfolio turnover rate		113	%		211	%		109	%		288	%		227	%		179	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	31.75		$	23.50		$	11.71		$	27.10		$	35.51		$	35.93
Income (loss) from investment operations:
Net investment income (loss)b		(.32	)		(.47	)		(.24	)		(.18	)		.03			(.16	)
Net gain (loss) on investments (realized and unrealized)		(10.83	)		8.72			12.03			(15.21	)		(8.36	)		1.17
Total from investment operations		(11.15	)		8.25			11.79			(15.39	)		(8.33	)		1.01
Less distributions from:
Net investment income		—			—			—			—			(.08	)		—
Net realized gains		—			—			—			—			—			(1.43	)
Total distributions		—			—			—			—			(.08	)		(1.43	)
Net asset value, end of period	$	20.60		$	31.75		$	23.50		$	11.71		$	27.10		$	35.51
Total Returnc		(35.12	%)		35.11	%		100.68	%		(56.79%	)		(23.50%	)		2.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,459		$	2,786		$	2,782		$	3,381		$	10,873		$	19,942
Ratios to average net assets:
Net investment income (loss)		(2.27	%)		(1.90	%)		(1.36	%)		(0.83	%)		0.09	%		(0.47	%)
Total expenses		2.47	%		2.47	%		2.46	%		2.45	%		2.42	%		2.41	%
Portfolio turnover rate		113	%		211	%		109	%		288	%		227	%		179	%

90 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

RUSSELL 2000^® 1.5x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	34.29		$	25.21		$	12.47		$	28.62		$	37.22		$	37.32
Income (loss) from investment operations:
Net investment income (loss)b		(.25	)		(.35	)		(.19	)		(.02	)		.30			.10
Net gain (loss) on investments (realized and unrealized)		(11.71	)		9.43			12.93			(16.13	)		(8.82	)		1.23
Total from investment operations		(11.96	)		9.08			12.74			(16.15	)		(8.52	)		1.33
Less distributions from:
Net investment income		—			—			—			—			(.08	)		—
Net realized gains		—			—			—			—			—			(1.43	)
Total distributions		—			—			—			—			(.08	)		(1.43	)
Net asset value, end of period	$	22.33		$	34.29		$	25.21		$	12.47		$	28.62		$	37.22
Total Returnc		(34.88	%)		36.02	%		102.17	%		(56.43%	)		(22.93%	)		3.57	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,253		$	37,780		$	23,320		$	13,807		$	13,839		$	42,861
Ratios to average net assets:
Net investment income (loss)		(1.54	%)		(1.25	%)		(0.94	%)		(0.07	%)		0.83	%		0.27	%
Total expenses		1.71	%		1.72	%		1.71	%		1.70	%		1.67	%		1.66	%
Portfolio turnover rate		113	%		211	%		109	%		288	%		227	%		179	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 91

FUND PROFILE (Unaudited)	September 30, 2011
RUSSELL 2000®FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the Russell 2000^® Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	May 31,	2006
C-Class	May 31,	2006
H-Class	May 31,	2006

Ten Largest Holdings
(% of Total Net Assets)
Netlogic Microsystems, Inc.	0.3	%
Jack Henry & Associates, Inc.	0.2	%
American Campus Communities, Inc.	0.2	%
MFA Financial, Inc.	0.2	%
Nicor, Inc.	0.2	%
Healthspring, Inc.	0.2	%
Clean Harbors, Inc.	0.2	%
Cepheid, Inc.	0.2	%
World Fuel Services Corp.	0.2	%
National Retail Properties, Inc.	0.2	%
Top Ten Total	2.1	%

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

92 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
RUSSELL 2000® FUND

	Shares		Value
COMMON STOCKS† - 70.2%
FINANCIALS - 15.4%
American Campus Communities, Inc.		429	$	15,963
MFA Financial, Inc.		2,263		15,886
National Retail Properties, Inc.		543		14,590
Tanger Factory Outlet Centers		550		14,306
Home Properties, Inc.		250		14,190
ProAssurance Corp.		193		13,900
Mid-America Apartment Communities, Inc.		230		13,851
Signature Bank*		290		13,842
BioMed Realty Trust, Inc.		830		13,753
Highwoods Properties, Inc.		460		13,000
Hancock Holding Co.		480		12,854
Equity Lifestyle Properties, Inc.		200		12,540
Hatteras Financial Corp.		477		12,001
Washington Real Estate Investment Trust		422		11,892
Entertainment Properties Trust		297		11,577
Kilroy Realty Corp.		368		11,518
Extra Space Storage, Inc.		600		11,178
Alterra Capital Holdings Ltd.		573		10,870
Post Properties, Inc.		312		10,839
CBL & Associates Properties, Inc.		939		10,667
LaSalle Hotel Properties		543		10,426
Invesco Mortgage Capital, Inc.		730		10,315
Omega Healthcare Investors, Inc.		646		10,291
SVB Financial Group*		277		10,249
Starwood Property Trust, Inc.		590		10,124
Prosperity Bancshares, Inc.		300		9,804
Cash America International, Inc.		190		9,720
Colonial Properties Trust		533		9,679
Apollo Investment Corp.		1,245		9,362
Stifel Financial Corp.*		345		9,163
Iberiabank Corp.		190		8,941
First American Financial Corp.		673		8,614
First Cash Financial Services, Inc.*		200		8,390
Ezcorp, Inc. — Class A*		293		8,362
Healthcare Realty Trust, Inc.		493		8,307
Northwest Bancshares, Inc.		673		8,015
Potlatch Corp.		250		7,880
FirstMerit Corp.		693		7,872
Two Harbors Investment Corp.		890		7,859
Knight Capital Group, Inc. — Class A*		636		7,734
CNO Financial Group, Inc.*		1,405		7,601
DiamondRock Hospitality Co.		1,063		7,430
Trustmark Corp.		405		7,351
DuPont Fabros Technology, Inc.		373		7,344
RLI Corp.		113		7,185
Platinum Underwriters Holdings Ltd.		233		7,165
Webster Financial Corp.		460		7,038
Montpelier Re Holdings Ltd.		398		7,037
FNB Corp.		810		6,942
Westamerica Bancorporation		180		6,898
DCT Industrial Trust, Inc.		1,558		6,840
Sovran Self Storage, Inc.		180		6,691
Portfolio Recovery Associates, Inc.*		105		6,533
Delphi Financial Group, Inc. — Class A		303		6,521
EastGroup Properties, Inc.		170		6,484
Umpqua Holdings Corp.		733		6,443
UMB Financial Corp.		200		6,416
United Bankshares, Inc.		318		6,389
Medical Properties Trust, Inc.		713		6,381
CYS Investments, Inc.		525		6,347
National Health Investors, Inc.		150		6,319
Capstead Mortgage Corp.		540		6,232
Ocwen Financial Corp.*		470		6,209
DFC Global Corp.*		277		6,052
PS Business Parks, Inc.		120		5,945
Prospect Capital Corp.		690		5,803
Wintrust Financial Corp.		223		5,756
PHH Corp.*		356		5,724
Cathay General Bancorp		500		5,690
Old National Bancorp		603		5,620
Redwood Trust, Inc.		500		5,585
Texas Capital Bancshares, Inc.		241		5,507
National Penn Bancshares, Inc.		785		5,503
Anworth Mortgage Asset Corp.		805		5,474
Equity One, Inc.		343		5,440
CubeSmart		633		5,399
Community Bank System, Inc.		237		5,378
Tower Group, Inc.		230		5,258
First Financial Bankshares, Inc.		200		5,232
MB Financial, Inc.		350		5,152
World Acceptance Corp.*		92		5,147
Franklin Street Properties Corp.		452		5,112
First Financial Bancorp		370		5,106
Pebblebrook Hotel Trust		321		5,024
Lexington Realty Trust		756		4,944
LTC Properties, Inc.		193		4,887
Argo Group International Holdings Ltd.		170		4,823
Glimcher Realty Trust		679		4,807
Strategic Hotels & Resorts, Inc.*		1,110		4,784
Primerica, Inc.		220		4,743
Government Properties Income Trust		220		4,732
Acadia Realty Trust		253		4,731
Harleysville Group, Inc.		80		4,709
BancorpSouth, Inc.		533		4,680
MarketAxess Holdings, Inc.		178		4,632
Solar Capital Ltd.		230		4,630
Oritani Financial Corp.		356		4,578
Sun Communities, Inc.		130		4,575
Susquehanna Bancshares, Inc.		830		4,540
Selective Insurance Group, Inc.		345		4,502
International Bancshares Corp.		340		4,471

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 93

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® FUND

	Shares		Value
First Industrial Realty Trust, Inc.*		550	$	4,400
CVB Financial Corp.		571		4,391
Financial Engines, Inc.*		240		4,346
Park National Corp.		82		4,336
Glacier Bancorp, Inc.		460		4,310
Fifth Street Finance Corp.		460		4,287
MF Global Holdings Ltd.*		1,038		4,287
Sunstone Hotel Investors, Inc.*		753		4,285
Astoria Financial Corp.		556		4,276
Infinity Property & Casualty Corp.		80		4,198
NBT Bancorp, Inc.		220		4,096
Provident Financial Services, Inc.		380		4,085
Associated Estates Realty Corp.		260		4,020
First Potomac Realty Trust		322		4,015
Education Realty Trust, Inc.		460		3,951
Enstar Group Ltd.*		41		3,904
Bank of the Ozarks, Inc.		180		3,767
Greenlight Capital Re Ltd. — Class A*		180		3,733
Investors Real Estate Trust		510		3,672
Walter Investment Management Corp.		160		3,669
Investors Bancorp, Inc.*		290		3,663
Columbia Banking System, Inc.		253		3,623
Alexander’s, Inc.		10		3,610
American Assets Trust, Inc.		200		3,590
Inland Real Estate Corp.		489		3,570
Symetra Financial Corp.		426		3,472
First Midwest Bancorp, Inc.		470		3,440
iStar Financial, Inc.*		590		3,434
Cousins Properties, Inc.		580		3,393
BlackRock Kelso Capital Corp.		463		3,380
Amtrust Financial Services, Inc.		150		3,339
ARMOUR Residential REIT, Inc.		490		3,332
American Equity Investment Life Holding Co.		380		3,325
Cohen & Steers, Inc.		113		3,249
KBW, Inc.		233		3,213
CreXus Investment Corp.		360		3,197
Compass Diversified Holdings		259		3,155
Navigators Group, Inc.*		72		3,110
Employers Holdings, Inc.		243		3,101
Hersha Hospitality Trust — Class A		890		3,079
National Financial Partners Corp.*		280		3,063
Meadowbrook Insurance Group, Inc.		340		3,029
Safety Insurance Group, Inc.		80		3,026
Nelnet, Inc. — Class A		160		3,005
Home Bancshares, Inc.		140		2,971
Evercore Partners, Inc. — Class A		130		2,964
Retail Opportunity Investments Corp.		263		2,914
BGC Partners, Inc. — Class A		483		2,912
Independent Bank Corp.		133		2,891
Brookline Bancorp, Inc.		373		2,876
Boston Private Financial Holdings, Inc.		489		2,875
Horace Mann Educators Corp.		252		2,875
Pico Holdings, Inc.*		140		2,871
PennyMac Mortgage Investment Trust		180		2,862
S&T Bancorp, Inc.		177		2,860
PrivateBancorp, Inc.		380		2,858
Oriental Financial Group, Inc.		287		2,775
Credit Acceptance Corp.*		43		2,767
Banco Latinoamericano de Comercio Exterior S.A. — Class E		180		2,741
Pennsylvania Real Estate Investment Trust		351		2,713
Colony Financial, Inc.		210		2,713
City Holding Co.		100		2,699
PacWest Bancorp		193		2,690
Trustco Bank Corp.		588		2,622
Chemical Financial Corp.		170		2,603
Advance America Cash Advance Centers, Inc.		353		2,598
PennantPark Investment Corp.		290		2,587
Flagstone Reinsurance Holdings S.A.		333		2,581
Investment Technology Group, Inc.*		260		2,545
State Bank Financial Corp.*		200		2,524
ViewPoint Financial Group		220		2,519
WesBanco, Inc.		143		2,475
First Commonwealth Financial Corp.		665		2,460
Simmons First National Corp. — Class A		113		2,452
Forestar Group, Inc.*		223		2,433
Western Alliance Bancorporation*		443		2,428
Universal Health Realty Income Trust		72		2,420
Chesapeake Lodging Trust		200		2,414
Pinnacle Financial Partners, Inc.*		220		2,407
Berkshire Hills Bancorp, Inc.		130		2,401
Maiden Holdings Ltd.		323		2,387
Hercules Technology Growth Capital, Inc.		277		2,360
United Fire & Casualty Co.		133		2,353
Main Street Capital Corp.		130		2,309
Getty Realty Corp.		160		2,307
Ashford Hospitality Trust, Inc.		327		2,296
Urstadt Biddle Properties, Inc. — Class A		143		2,284
United Community Banks, Inc.*		268		2,275
SCBT Financial Corp.		92		2,271
Sabra Health Care REIT, Inc.		236		2,251
Encore Capital Group, Inc.*		103		2,251
Resource Capital Corp.		448		2,240
MGIC Investment Corp.*		1,195		2,235
Tejon Ranch Co.*		92		2,196
Sandy Spring Bancorp, Inc.		150		2,194
FBL Financial Group, Inc. — Class A		82		2,183
RLJ Lodging Trust		170		2,171

94 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® FUND

	Shares		Value
Flushing Financial Corp.		200	$	2,160
Triangle Capital Corp.		140		2,131
Lakeland Financial Corp.		103		2,128
First Busey Corp.		488		2,123
Community Trust Bancorp, Inc.		91		2,119
Sterling Financial Corp.*		170		2,105
Campus Crest Communities, Inc.		193		2,100
FPIC Insurance Group, Inc.*		50		2,092
1st Source Corp.		100		2,083
AMERISAFE, Inc.*		113		2,080
Duff & Phelps Corp. — Class A		193		2,057
Dynex Capital, Inc.		253		2,039
Renasant Corp.		160		2,037
Newcastle Investment Corp.		500		2,035
NorthStar Realty Finance Corp.		610		2,013
Ramco-Gershenson Properties Trust		243		1,993
Dime Community Bancshares, Inc.		193		1,955
OneBeacon Insurance Group Ltd. — Class A		143		1,951
Safeguard Scientifics, Inc.*		130		1,950
MCG Capital Corp.		490		1,940
First Financial Corp.		70		1,926
Excel Trust, Inc.		200		1,924
Southside Bancshares, Inc.		104		1,873
Coresite Realty Corp.		130		1,866
Radian Group, Inc.		846		1,853
FelCor Lodging Trust, Inc.*		791		1,843
Piper Jaffray Cos.*		102		1,829
Hilltop Holdings, Inc.*		252		1,817
eHealth, Inc.*		133		1,817
GFI Group, Inc.		449		1,805
Washington Trust Bancorp, Inc.		91		1,800
Tompkins Financial Corp.		50		1,789
Monmouth Real Estate Investment Corp. — Class A		224		1,776
Virtus Investment Partners, Inc.*		33		1,769
Rockville Financial, Inc.		185		1,754
Apollo Commercial Real Estate Finance, Inc.		133		1,752
International FCStone, Inc.*		83		1,723
TowneBank		150		1,706
West Coast Bancorp*		120		1,680
Hudson Pacific Properties, Inc.		143		1,663
GAMCO Investors, Inc. — Class A		42		1,654
TICC Capital Corp.		200		1,634
Kennedy-Wilson Holdings, Inc.		150		1,590
NewStar Financial, Inc.*		170		1,588
FXCM, Inc. — Class A		113		1,584
Artio Global Investors, Inc. — Class A		198		1,576
CapLease, Inc.		436		1,574
HFF, Inc. — Class A*		180		1,573
MVC Capital, Inc.		150		1,571
Beneficial Mutual Bancorp, Inc.*		210		1,564
Winthrop Realty Trust		180		1,564
Cardinal Financial Corp.		179		1,543
Parkway Properties, Inc.		140		1,541
Citizens, Inc.*		240		1,538
Hudson Valley Holding Corp.		88		1,534
Westwood Holdings Group, Inc.		43		1,486
Capital Southwest Corp.		20		1,480
Tower Bancorp, Inc.		70		1,466
Saul Centers, Inc.		43		1,454
Nara Bancorp, Inc.*		238		1,445
Camden National Corp.		53		1,443
Bancfirst Corp.		43		1,426
StellarOne Corp.		143		1,423
Sterling Bancorp — Class N		193		1,401
Global Indemnity plc — Class A*		82		1,401
Univest Corporation of Pennsylvania		105		1,400
Provident New York Bancorp		240		1,397
United Financial Bancorp, Inc.		102		1,396
Union First Market Bankshares Corp.		130		1,394
Northfield Bancorp, Inc.		105		1,390
Diamond Hill Investment Group, Inc.		20		1,388
Enterprise Financial Services Corp.		102		1,386
Territorial Bancorp, Inc.		72		1,379
Arrow Financial Corp.		62		1,375
Bancorp, Inc.*		190		1,360
WSFS Financial Corp.		43		1,358
National Western Life Insurance Co. — Class A		10		1,355
Banner Corp.		105		1,343
SY Bancorp, Inc.		72		1,341
Financial Institutions, Inc.		92		1,312
Agree Realty Corp.		60		1,307
Ameris Bancorp*		150		1,306
Kite Realty Group Trust		353		1,292
German American Bancorp, Inc.		80		1,290
American Safety Insurance Holdings Ltd.*		70		1,288
Eagle Bancorp, Inc.*		104		1,224
Epoch Holding Corp.		90		1,221
Calamos Asset Management, Inc. — Class A		120		1,201
Summit Hotel Properties, Inc.		170		1,200
Citizens & Northern Corp.		80		1,189
Westfield Financial, Inc.		180		1,186
State Auto Financial Corp.		90		1,183
First of Long Island Corp.		52		1,178
Heartland Financial USA, Inc.		83		1,177
Presidential Life Corp.		142		1,167
Fox Chase Bancorp, Inc.		92		1,167
Bryn Mawr Bank Corp.		70		1,160
Farmer Mac — Class C		60		1,142
Cowen Group, Inc. — Class A*		420		1,138
MainSource Financial Group, Inc.		130		1,134
Trico Bancshares		92		1,129
First Merchants Corp.		160		1,128
Heritage Financial Corp.		102		1,126

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 95

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® FUND

	Shares		Value
Oppenheimer Holdings,
Inc. — Class A		70	$	1,123
Cedar Shopping Centers, Inc.		353		1,098
Gladstone Commercial Corp.		70		1,098
First Interstate Bancsystem, Inc. — Class A		101		1,082
Wilshire Bancorp, Inc.*		393		1,077
Baldwin & Lyons, Inc. — Class B		50		1,068
Cogdell Spencer, Inc.		283		1,067
Republic Bancorp, Inc. — Class A		60		1,063
Bancorp Rhode Island, Inc.		25		1,060
Bank of Marin Bancorp		32		1,057
State Bancorp, Inc.		100		1,057
Ladenburg Thalmann Financial Services, Inc.*		680		1,054
OceanFirst Financial Corp.		90		1,050
Center Financial Corp.*		223		1,046
First Community Bancshares, Inc.		102		1,040
STAG Industrial, Inc.		102		1,040
Lakeland Bancorp, Inc.		133		1,040
National Bankshares, Inc.		43		1,038
Arlington Asset Investment Corp. — Class A		43		1,034
Central Pacific Financial Corp.*		100		1,032
One Liberty Properties, Inc.		70		1,026
CNB Financial Corp.		80		1,026
Franklin Financial Corp.*		92		1,016
Great Southern Bancorp, Inc.		60		1,007
First Bancorp		100		1,004
Centerstate Banks, Inc.		190		994
Stewart Information Services Corp.		112		990
Netspend Holdings, Inc.*		190		977
Washington Banking Co.		100		973
Gladstone Investment Corp.		143		972
OmniAmerican Bancorp, Inc.*		71		969
National Interstate Corp.		43		945
CoBiz Financial, Inc.		210		939
Abington Bancorp, Inc.		130		936
SeaBright Holdings, Inc.		130		936
Alliance Financial Corp.		33		926
Chatham Lodging Trust		92		913
Virginia Commerce Bancorp, Inc.*		153		898
Phoenix Companies, Inc.*		735		897
Gladstone Capital Corp.		130		892
Golub Capital BDC, Inc.		60		891
Merchants Bancshares, Inc.		33		884
Doral Financial Corp.*		810		883
NGP Capital Resources Co.		133		870
BankFinancial Corp.		130		863
Mission West Properties, Inc.		113		858
Crawford & Co. — Class B		160		858
West Bancorporation, Inc.		101		856
SWS Group, Inc.		180		844
Primus Guaranty Ltd.*		160		843
Edelman Financial Group, Inc.		130		840
1st United Bancorp, Inc.*		170		838
Medallion Financial Corp.		90		837
Kansas City Life Insurance Co.		27		833
ESB Financial Corp.		76		833
Home Federal Bancorp, Inc.		105		821
Penns Woods Bancorp, Inc.		25		819
RAIT Financial Trust		240		814
Bank of Kentucky Financial Corporation		40		810
BofI Holding, Inc.*		60		808
First Defiance Financial Corp.*		60		804
Pacific Continental Corp.		113		801
Metro Bancorp, Inc.*		92		796
Hanmi Financial Corp.*		958		795
Bridge Bancorp, Inc.		43		787
Ames National Corp.		50		781
Peoples Bancorp, Inc.		70		770
Terreno Realty Corp.		60		770
FBR & Company*		323		769
Solar Senior Capital Ltd.		53		757
Bank Mutual Corp.		290		757
First Bancorp, Inc.		60		755
ESSA Bancorp, Inc.		70		736
Kearny Financial Corp.		83		734
Walker & Dunlop, Inc.*		63		732
Capital City Bank Group, Inc.		70		728
Medley Capital Corp.		70		706
Kohlberg Capital Corp.		120		702
Center Bancorp, Inc.		72		695
Harris & Harris Group, Inc.*		193		685
First Pactrust Bancorp, Inc.		60		680
Seacoast Banking Corporation of Florida*		460		676
MPG Office Trust, Inc.*		315		665
Sierra Bancorp		72		659
Consolidated-Tomoka Land Co.		25		657
THL Credit, Inc.		60		655
Meridian Interstate Bancorp, Inc.*		60		655
Donegal Group, Inc. — Class A		53		638
Pacific Capital Bancorp North America*		25		638
UMH Properties, Inc.		70		636
Sun Bancorp, Inc.*		240		636
Park Sterling Corp.*		180		616
Flagstar Bancorp, Inc.*		1,245		610
EMC Insurance Group, Inc.		33		607
Bridge Capital Holdings*		60		604
Gleacher & Company, Inc.*		498		593
Nicholas Financial, Inc.		60		586
JMP Group, Inc.		100		581
Orrstown Financial Services, Inc.		45		578
Midsouth Bancorp, Inc.		52		559
New Mountain Finance Corp.		43		547
Encore Bancshares, Inc.*		50		533
Hallmark Financial Services*		72		531

96 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000®FUND

	Shares		Value
Marlin Business Services Corp.*		50	$	530
Southwest Bancorp, Inc.		120		506
Heritage Commerce Corp.*		130		501
Suffolk Bancorp		60		499
Cape Bancorp, Inc.*		70		495
Enterprise Bancorp, Inc.		40		493
Avatar Holdings, Inc.*		60		491
Whitestone REIT — Class B		43		479
Century Bancorp, Inc. — Class A		20		464
Universal Insurance Holdings, Inc.		120		462
Clifton Savings Bancorp, Inc.		50		458
Taylor Capital Group, Inc.*		70		449
First Financial Holdings, Inc.		105		421
Charter Financial Corp.		43		403
First Marblehead Corp.		350		357
Roma Financial Corp.		43		350
CIFC Corp.*		72		312
Independence Holding Co.		43		312
Hampton Roads Bankshares, Inc.*		60		282
Imperial Holdings, Inc.*		113		271
Gain Capital Holdings, Inc.*		43		270
Fortegra Financial Corp.*		40		210
PMI Group, Inc.*		966		193
Cascade Bancorp*		33		192
Capital Bank Corp.*		92		191
Pzena Investment Management, Inc. — Class A		50		164
California First National Bancorp		10		153
Total Financials				1,346,767
INFORMATION TECHNOLOGY - 12.0%
Netlogic Microsystems, Inc.*		435		20,928
Jack Henry & Associates, Inc.		553		16,026
InterDigital, Inc.		290		13,508
SuccessFactors, Inc.*		532		12,231
Universal Display Corp.*		243		11,649
Parametric Technology Corp.*		753		11,581
Aruba Networks, Inc.*		543		11,354
RF Micro Devices, Inc.*		1,756		11,133
ADTRAN, Inc.		410		10,849
Concur Technologies, Inc.*		283		10,533
CommVault Systems, Inc.		280		10,377
Finisar Corp.*		565		9,910
Blackboard, Inc.*		220		9,825
QLIK Technologies, Inc.*		450		9,747
Hittite Microwave Corp.*		200		9,740
Wright Express Corp.*		250		9,510
CACI International, Inc. — Class A*		190		9,489
Plantronics, Inc.		310		8,819
Microsemi Corp.*		550		8,789
Rambus, Inc.*		623		8,722
Semtech Corp.*		413		8,714
Anixter International, Inc.		180		8,539
Cavium, Inc.*		312		8,427
Aspen Technology, Inc.*		533		8,139
Arris Group, Inc.*		785		8,086
SolarWinds, Inc.		360		7,927
j2 Global Communications, Inc.		290		7,801
MAXIMUS, Inc.		223		7,783
ValueClick, Inc.*		500		7,780
Viasat, Inc.*		230		7,661
Progress Software Corp.*		430		7,546
Ultimate Software Group, Inc.*		160		7,475
FEI Co.*		243		7,280
Cognex Corp.		267		7,238
MKS Instruments, Inc.		333		7,229
Cymer, Inc.*		193		7,176
TiVo, Inc.*		755		7,052
Sapient Corp.		693		7,027
OpenTable, Inc.*		150		6,901
Coherent, Inc.*		160		6,874
Taleo Corp. — Class A*		260		6,687
JDA Software Group, Inc.*		273		6,399
Veeco Instruments, Inc.*		260		6,344
Convergys Corp.*		673		6,313
Blackbaud, Inc.		283		6,302
Quest Software, Inc.*		393		6,241
Cirrus Logic, Inc.*		423		6,235
Cardtronics, Inc.*		270		6,188
MicroStrategy, Inc. — Class A*		53		6,046
Take-Two Interactive Software, Inc.*		470		5,978
Netgear, Inc.*		228		5,903
Mentor Graphics Corp.*		610		5,868
ACI Worldwide, Inc.*		210		5,783
Littelfuse, Inc.		143		5,750
Fair Isaac Corp.		255		5,567
Power Integrations, Inc.		180		5,510
Entegris, Inc.*		853		5,442
Acxiom Corp.*		511		5,437
RightNow Technologies, Inc.*		160		5,288
Digital River, Inc.*		255		5,286
Cabot Microelectronics Corp.*		153		5,262
Synaptics, Inc.*		220		5,258
TriQuint Semiconductor, Inc.		1,043		5,236
Scansource, Inc.*		176		5,203
Omnivision Technologies, Inc.*		370		5,195
Plexus Corp.*		226		5,112
Infinera Corp.*		662		5,111
Euronet Worldwide, Inc.*		323		5,084
Benchmark Electronics, Inc.*		390		5,074
Tyler Technologies, Inc.*		200		5,056
Integrated Device Technology, Inc.*		945		4,867
Sourcefire, Inc.*		180		4,817
Heartland Payment Systems, Inc.		243		4,792
Comtech Telecommunications Corp.		170		4,775
Ancestry.com, Inc.*		200		4,700
NIC, Inc.		403		4,614
NetSuite, Inc.*		170		4,592
Insight Enterprises, Inc.		300		4,542

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 97

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000® FUND

	Shares		Value
Earthlink, Inc.		694	$	4,532
Mantech International Corp. — Class A		143		4,487
Bottomline Technologies, Inc.*		220		4,431
Websense, Inc.*		255		4,412
Manhattan Associates, Inc.*		133		4,400
Advent Software, Inc.*		210		4,378
Unisys Corp.*		277		4,346
BroadSoft, Inc.*		143		4,340
Syntel, Inc.		100		4,319
LogMeIn, Inc.		130		4,317
Synchronoss Technologies, Inc.*		170		4,235
SYNNEX Corp.*		160		4,192
DealerTrack Holdings, Inc.*		260		4,074
Electronics for Imaging, Inc.*		300		4,041
OSI Systems, Inc.*		120		4,022
Brightpoint, Inc.*		433		3,988
Spansion, Inc. — Class A*		323		3,947
RealPage, Inc.*		193		3,947
Diodes, Inc.*		220		3,942
Lattice Semiconductor Corp.*		750		3,937
Rogers Corp.*		100		3,913
VirnetX Holding Corp.*		260		3,897
Blue Coat Systems, Inc.*		280		3,886
Tessera Technologies, Inc.*		323		3,857
Liquidity Services, Inc.*		120		3,848
Emulex Corp.*		554		3,546
Loral Space & Communications, Inc.*		70		3,507
Ceva, Inc.*		143		3,476
Rofin-Sinar Technologies, Inc.*		180		3,456
Brooks Automation, Inc.		423		3,447
Checkpoint Systems, Inc.*		253		3,436
Kulicke & Soffa Industries, Inc.*		460		3,432
Sanmina-SCI Corp.*		513		3,427
Verint Systems, Inc.*		130		3,418
comScore, Inc.*		200		3,374
Maxwell Technologies, Inc.		180		3,314
LivePerson, Inc.*		333		3,313
FARO Technologies, Inc.*		105		3,313
Constant Contact, Inc.*		190		3,285
Pegasystems, Inc.		105		3,214
Opnet Technologies, Inc.		92		3,212
TTM Technologies, Inc.*		333		3,167
ATMI, Inc.*		200		3,164
MTS Systems Corp.		102		3,125
Harmonic, Inc.*		732		3,118
S1 Corp.*		340		3,118
Volterra Semiconductor Corp.*		160		3,077
Micrel, Inc.		323		3,059
TNS, Inc.*		160		3,008
United Online, Inc.		563		2,944
Silicon Image, Inc.*		500		2,935
Forrester Research, Inc.		90		2,926
Amkor Technology, Inc.*		670		2,921
Sonus Networks, Inc.*		1,343		2,914
DG FastChannel, Inc.*		170		2,882
DTS, Inc.*		113		2,806
CSG Systems International, Inc.*		220		2,781
Park Electrochemical Corp.		130		2,778
Standard Microsystems Corp.*		143		2,774
Ultratech, Inc.*		160		2,744
Monotype Imaging Holdings, Inc.*		223		2,705
Netscout Systems, Inc.*		233		2,661
Ebix, Inc.		180		2,646
STEC, Inc.*		260		2,636
Kenexa Corp.*		167		2,612
Newport Corp.		241		2,605
Quantum Corp.*		1,433		2,594
EPIQ Systems, Inc.		200		2,506
Interactive Intelligence Group*		92		2,498
Intermec, Inc.		380		2,478
Black Box Corp.		115		2,455
TeleTech Holdings, Inc.*		160		2,438
RealD, Inc.*		260		2,431
Fabrinet*		130		2,431
Stratasys, Inc.*		130		2,410
Advanced Energy Industries, Inc.*		277		2,388
Tekelec*		393		2,374
Dice Holdings, Inc.*		303		2,369
Sycamore Networks, Inc.		130		2,346
Measurement Specialties, Inc.*		90		2,336
Silicon Graphics International Corp.*		193		2,301
SS&C Technologies Holdings, Inc.*		160		2,286
iGate Corp.		197		2,273
ExlService Holdings, Inc.*		103		2,266
Entropic Communications, Inc.*		543		2,243
ICG Group, Inc.*		240		2,210
Mercury Computer Systems, Inc.*		190		2,185
Applied Micro Circuits Corp.*		403		2,164
Accelrys, Inc.*		349		2,115
Super Micro Computer, Inc.*		168		2,105
Kemet Corp.*		280		2,002
Formfactor, Inc.*		321		2,000
Oplink Communications, Inc.*		130		1,968
Keynote Systems, Inc.		92		1,944
NVE Corp.*		32		1,941
Power-One, Inc.		430		1,935
Monolithic Power Systems, Inc.*		190		1,934
Infospace, Inc.*		231		1,931
Magma Design Automation, Inc.*		423		1,925
Anaren, Inc.*		100		1,915
Vocus, Inc.*		113		1,894
Globecomm Systems, Inc.*		140		1,891
Daktronics, Inc.		220		1,888
Nanometrics, Inc.		130		1,885
Calix, Inc.*		241		1,880
KIT Digital, Inc.		223		1,873
Ixia*		243		1,864
Photronics, Inc.*		370		1,843
LoopNet, Inc.*		105		1,799

98 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000 ® FUND

	Shares		Value
Xyratex Ltd.		193	$	1,789
CTS Corp.		220		1,789
Methode Electronics, Inc.		238		1,768
Digi International, Inc.		160		1,760
QuinStreet, Inc.*		170		1,760
Powerwave Technologies, Inc.*		1,003		1,725
PROS Holdings, Inc.*		133		1,714
LTX-Credence Corp.*		315		1,666
Electro Scientific Industries, Inc.*		140		1,665
Electro Rent Corp.		120		1,657
Internap Network Services Corp.*		333		1,638
XO Group, Inc.*		200		1,634
IXYS Corp.*		150		1,632
MIPS Technologies, Inc. — Class A*		333		1,612
Ness Technologies, Inc.*		210		1,609
Echelon Corp.*		227		1,591
OCZ Technology Group, Inc.*		325		1,576
Sigma Designs, Inc.*		200		1,568
Cass Information Systems, Inc.		50		1,553
Extreme Networks*		583		1,545
ShoreTel, Inc.*		303		1,509
IntraLinks Holdings, Inc.*		200		1,502
Cohu, Inc.		150		1,482
Avid Technology, Inc.*		190		1,471
Move, Inc.*		1,013		1,469
Stamps.com, Inc.		70		1,431
Kopin Corp.*		413		1,417
Renaissance Learning, Inc.		83		1,393
Imation Corp.*		190		1,389
Exar Corp.*		237		1,353
Integrated Silicon Solution, Inc.*		170		1,328
DemandTec, Inc.*		203		1,328
Virtusa Corp.*		100		1,320
Rudolph Technologies, Inc.*		197		1,318
Seachange International, Inc.*		170		1,309
Web.com Group, Inc.*		180		1,256
Richardson Electronics Ltd.		92		1,252
CIBER, Inc.*		411		1,245
MoneyGram International, Inc.*		533		1,242
Cray, Inc.*		233		1,237
Rubicon Technology, Inc.*		113		1,235
Actuate Corp.*		223		1,231
GSI Group, Inc.*		160		1,229
Wave Systems Corp. — Class A*		525		1,229
Supertex, Inc.*		70		1,211
Envestnet, Inc.*		120		1,200
Multi-Fineline Electronix, Inc.*		60		1,196
SciQuest, Inc.*		80		1,195
Pericom Semiconductor Corp.*		160		1,186
Aeroflex Holding Corp.*		130		1,183
Active Network, Inc.*		80		1,180
Zygo Corp.*		102		1,179
Symmetricom, Inc.*		270		1,172
Advanced Analogic Technologies, Inc.*		270		1,169
Oclaro, Inc.*		320		1,165
Inphi Corp.*		130		1,140
Zix Corp.*		423		1,129
Mindspeed Technologies, Inc.*		217		1,128
Marchex, Inc. — Class A		132		1,122
RealNetworks, Inc.		133		1,121
Computer Task Group, Inc.*		100		1,117
Perficient, Inc.		150		1,098
Digimarc Corp.*		43		1,091
Bel Fuse, Inc. — Class B		70		1,091
Immersion Corp.*		180		1,076
Vishay Precision Group, Inc.*		80		1,054
Global Cash Access Holdings, Inc.*		410		1,050
Saba Software, Inc.*		180		1,037
American Software, Inc. — Class A		143		1,037
Limelight Networks, Inc.*		430		1,015
AXT, Inc.*		200		1,008
TeleCommunication Systems, Inc. — Class A*		290		1,001
Intevac, Inc.*		143		1,000
ModusLink Global Solutions, Inc.		278		970
Lionbridge Technologies, Inc.*		390		959
TeleNav, Inc.*		105		931
Echo Global Logistics, Inc.*		70		931
Anadigics, Inc.*		430		929
DSP Group, Inc.*		153		903
Aviat Networks, Inc.*		380		893
Cornerstone OnDemand, Inc.*		70		878
Callidus Software, Inc.*		190		876
VASCO Data Security International, Inc.*		170		869
Procera Networks, Inc.*		90		864
Deltek, Inc.*		143		859
Openwave Systems, Inc.*		543		847
PLX Technology, Inc.*		280		843
LeCroy Corp.*		105		829
SPS Commerce, Inc.		50		814
Axcelis Technologies, Inc.*		673		808
Agilysys, Inc.*		112		799
ServiceSource International, Inc.*		60		793
MoSys, Inc.*		210		769
Rimage Corp.		60		759
THQ, Inc.*		436		754
Pulse Electronics Corp.		260		744
Alpha & Omega Semiconductor Ltd.*		90		739
Radisys Corp.*		120		734
Westell Technologies, Inc. — Class A*		340		734
DDi Corp.		100		724
Hackett Group, Inc.*		193		720
KVH Industries, Inc.*		90		712
Travelzoo, Inc.*		32		704
Convio, Inc.*		80		673
Responsys, Inc.*		60		647

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 99

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000 ® FUND

	Shares		Value
MaxLinear, Inc. — Class A*		100	$	646
Rosetta Stone, Inc.*		70		640
GSI Technology, Inc.*		130		640
X-Rite, Inc.*		170		634
Ultra Clean Holdings*		143		613
PDF Solutions, Inc.*		150		612
Novatel Wireless, Inc.*		200		604
support.com, Inc.*		303		600
Guidance Software, Inc.*		92		597
Meru Networks, Inc.*		72		587
ePlus, Inc.*		23		567
PRGX Global, Inc.*		120		566
FalconStor Software, Inc.*		193		564
ORBCOMM, Inc.*		220		561
Emcore Corp.*		566		560
Communications Systems, Inc.		43		559
Glu Mobile, Inc.*		263		555
Dot Hill Systems Corp.*		356		538
Dynamics Research Corp.*		60		535
TechTarget, Inc.*		92		525
SRS Labs, Inc.*		72		516
NCI, Inc. — Class A*		42		501
Identive Group, Inc.*		243		484
Amtech Systems, Inc.*		60		480
PC Connection, Inc.*		60		479
FSI International, Inc.*		250		473
QAD, Inc. — Class A*		41		438
Demand Media, Inc.*		53		424
Motricity, Inc.*		233		394
BigBand Networks, Inc.*		280		358
Viasystems Group, Inc.*		20		352
Opnext, Inc.*		280		350
NeoPhotonics Corp.*		50		344
Smith Micro Software, Inc.*		223		339
Numerex Corp. — Class A*		60		334
eMagin Corp.*		113		297
Ellie Mae, Inc.*		50		278
Dialogic, Inc.*		100		185
Quepasa Corp.*		43		148
Stream Global Services, Inc.*		60		124
CSR plc ADR*		5		67
FriendFinder Networks, Inc.*		33		61
Total Information Technology				1,050,624
INDUSTRIALS - 10.6%
Clean Harbors, Inc.*		296		15,185
Hexcel Corp.*		620		13,739
CLARCOR, Inc.		323		13,366
Alaska Air Group, Inc.*		231		13,003
HEICO Corp.		260		12,802
Genesee & Wyoming, Inc. — Class A*		255		11,863
Triumph Group, Inc.		240		11,698
Teledyne Technologies, Inc.*		237		11,580
Woodward, Inc.		393		10,768
Dollar Thrifty Automotive Group, Inc.*		180		10,134
Esterline Technologies Corp.*		193		10,005
Acuity Brands, Inc.		270		9,731
Acacia Research — Acacia Technologies*		270		9,717
FTI Consulting, Inc.		263		9,681
Moog, Inc. — Class A*		290		9,460
Mueller Industries, Inc.		239		9,223
Watsco, Inc.		180		9,198
Robbins & Myers, Inc.		253		8,782
Old Dominion Freight Line, Inc.*		303		8,778
Actuant Corp. — Class A		440		8,690
EMCOR Group, Inc.		420		8,539
Middleby Corp.*		120		8,455
Curtiss-Wright Corp.		290		8,361
CoStar Group, Inc.*		160		8,315
Chart Industries, Inc.		190		8,012
Brady Corp. — Class A		303		8,008
United Stationers, Inc.		290		7,902
Belden, Inc.		303		7,814
AO Smith Corp.		240		7,687
Geo Group, Inc.*		413		7,665
Rollins, Inc.		403		7,540
Tetra Tech, Inc.*		398		7,459
Applied Industrial Technologies, Inc.		273		7,415
Brink’s Co.		300		6,993
Healthcare Services Group, Inc.		423		6,827
Barnes Group, Inc.		350		6,738
United Rentals, Inc.*		400		6,736
Herman Miller, Inc.		367		6,555
Advisory Board Co.*		101		6,518
HUB Group, Inc. — Class A*		230		6,502
Corporate Executive Board Co.		218		6,496
Simpson Manufacturing Company, Inc.		260		6,482
ABM Industries, Inc.		339		6,461
JetBlue Airways Corp.*		1,565		6,416
Avis Budget Group, Inc.*		663		6,411
MasTec, Inc.		363		6,392
EnerSys*		315		6,306
Deluxe Corp.		325		6,045
Kaydon Corp.		210		6,023
Werner Enterprises, Inc.		280		5,832
II-VI, Inc.*		325		5,687
Atlas Air Worldwide Holdings, Inc.*		170		5,659
US Airways Group, Inc.*		1,025		5,637
GT Advanced Technologies, Inc.*		802		5,630
Raven Industries, Inc.		115		5,543
HNI Corp.		281		5,376
Knight Transportation, Inc.		390		5,191
Franklin Electric Company, Inc.		143		5,188
Ameron International Corp.		60		5,096
Watts Water Technologies, Inc. — Class A		190		5,064
RBC Bearings, Inc.*		143		4,861
Forward Air Corp.		190		4,835
Orbital Sciences Corp.		370		4,736
Kaman Corp.		170		4,735

100 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000 ® FUND

	Shares		Value
Beacon Roofing Supply, Inc.*		289	$	4,621
Mine Safety Appliances Co.		170		4,583
Granite Construction, Inc.		243		4,561
Huron Consulting Group, Inc.*		143		4,452
Heartland Express, Inc.		323		4,380
Briggs & Stratton Corp.		323		4,364
DigitalGlobe, Inc.*		224		4,352
ESCO Technologies, Inc.		170		4,335
Lindsay Corp.		80		4,304
Ceradyne, Inc.*		160		4,302
Tennant Co.		120		4,244
Allegiant Travel Co. — Class A*		90		4,242
AAR Corp.		253		4,218
Blount International, Inc.*		313		4,182
Unifirst Corp.		92		4,167
Knoll, Inc.		300		4,110
GeoEye, Inc.*		143		4,054
Cubic Corp.		102		3,985
Titan International, Inc.		263		3,945
SYKES Enterprises, Inc.*		263		3,932
Interface, Inc. — Class A		330		3,914
Skywest, Inc.		340		3,913
EnPro Industries, Inc.*		130		3,858
Astec Industries, Inc.*		130		3,806
Exponent, Inc.*		92		3,802
Mobile Mini, Inc.*		230		3,781
Korn*		303		3,694
3D Systems Corp.*		263		3,679
American Science & Engineering, Inc.		60		3,663
McGrath Rentcorp		150		3,569
Aircastle Ltd.		367		3,494
TAL International Group, Inc.		140		3,492
Dycom Industries, Inc.*		220		3,366
CIRCOR International, Inc.		113		3,319
Albany International Corp. — Class A		180		3,285
Colfax Corp.*		160		3,242
Swift Transportation Co. — Class A*		500		3,220
Steelcase, Inc. — Class A		510		3,218
Insperity, Inc.		143		3,182
TrueBlue, Inc.*		280		3,172
Higher One Holdings, Inc.*		193		3,140
Amerco, Inc.*		50		3,122
AZZ, Inc.		80		3,102
RSC Holdings, Inc.*		430		3,066
G&K Services, Inc. — Class A		120		3,065
Navigant Consulting, Inc.*		330		3,059
USG Corp.		450		3,028
Generac Holdings, Inc.*		160		3,010
Aerovironment, Inc.*		105		2,956
Insituform Technologies, Inc. — Class A*		253		2,930
Badger Meter, Inc.		100		2,893
Quad		160		2,891
Universal Forest Products, Inc.		120		2,886
Rush Enterprises, Inc. — Class A*		203		2,874
Resources Connection, Inc.		290		2,836
Layne Christensen Co.*		120		2,772
Interline Brands, Inc.*		207		2,664
Quanex Building Products Corp.		240		2,628
Arkansas Best Corp.		159		2,568
John Bean Technologies Corp.		180		2,567
NACCO Industries, Inc. — Class A		40		2,536
Team, Inc.*		120		2,518
Sun Hydraulics Corp.		123		2,507
Standex International Corp.		80		2,490
Griffon Corp.*		303		2,479
Encore Wire Corp.		120		2,470
Gorman-Rupp Co.		100		2,469
Mueller Water Products, Inc. — Class A		993		2,463
Trimas Corp.*		160		2,376
Global Power Equipment Group, Inc.*		102		2,374
Tutor Perini Corp.		202		2,321
MYR Group, Inc.*		130		2,293
ICF International, Inc.*		120		2,257
Ennis, Inc.		170		2,220
Viad Corp.		130		2,207
Consolidated Graphics, Inc.*		60		2,192
Tredegar Corp.		147		2,180
Swisher Hygiene, Inc.*		533		2,159
Wabash National Corp.*		433		2,065
Kforce, Inc.*		210		2,060
Sauer-Danfoss, Inc.*		70		2,023
Cascade Corp.		60		2,003
Comfort Systems USA, Inc.		240		1,997
Altra Holdings, Inc.*		170		1,967
Kelly Services, Inc. — Class A		170		1,938
A123 Systems, Inc.*		556		1,913
AAON, Inc.		120		1,890
Heidrick & Struggles International, Inc.		113		1,859
Powell Industries, Inc.*		60		1,858
EnergySolutions, Inc.*		510		1,800
Titan Machinery, Inc.*		100		1,790
PMFG, Inc.*		113		1,782
Primoris Services Corp.		170		1,778
Federal Signal Corp.		398		1,759
Marten Transport Ltd.		102		1,758
Dolan Co.*		193		1,735
RailAmerica, Inc.*		133		1,733
US Ecology, Inc.		112		1,733
Force Protection, Inc.*		450		1,732
M&F Worldwide Corp.*		70		1,723
APAC Customer Services, Inc.*		200		1,704
Astronics Corp.*		60		1,695
ACCO Brands Corp.*		353		1,684
On Assignment, Inc.*		237		1,676
GenCorp, Inc.*		373		1,675
CBIZ, Inc.*		253		1,667

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 101

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000 ® FUND

	Shares		Value
Taser International, Inc.*		380	$	1,638
Trex Company, Inc.		102		1,635
Standard Parking Corp.*		102		1,595
Multi-Color Corp.		70		1,581
Mistras Group, Inc.*		90		1,580
Capstone Turbine Corp.*		1,568		1,568
Gibraltar Industries, Inc.*		193		1,567
Apogee Enterprises, Inc.		180		1,546
Douglas Dynamics, Inc.		120		1,534
Great Lakes Dredge & Dock Corp.		373		1,518
Air Transport Services Group, Inc.*		345		1,494
H&E Equipment Services, Inc.*		180		1,485
Genco Shipping & Trading Ltd.*		190		1,484
Kadant, Inc.*		80		1,421
Textainer Group Holdings Ltd.		70		1,420
Kratos Defense & Security Solutions, Inc.*		210		1,411
CRA International, Inc.*		70		1,401
Hawaiian Holdings, Inc.*		323		1,360
LB Foster Co. — Class A		60		1,334
Twin Disc, Inc.		50		1,334
Dynamic Materials Corp.		84		1,323
Greenbrier Companies, Inc.*		113		1,316
Columbus McKinnon Corp.*		120		1,315
Accuride Corp.*		253		1,295
EnerNOC, Inc.*		143		1,287
Houston Wire & Cable Co.		112		1,287
Spirit Airlines, Inc.*		102		1,275
InnerWorkings, Inc.*		160		1,254
Miller Industries, Inc.		72		1,249
Furmanite Corp.*		230		1,244
RPX Corp.*		60		1,243
Commercial Vehicle Group, Inc.*		187		1,229
Northwest Pipe Co.*		60		1,217
Sterling Construction Company, Inc.*		105		1,173
Celadon Group, Inc.		130		1,154
Ameresco, Inc. — Class A*		113		1,148
Insteel Industries, Inc.		113		1,138
Odyssey Marine Exploration, Inc.*		460		1,132
American Superconductor Corp.*		283		1,112
Zipcar, Inc.*		60		1,080
Cenveo, Inc.*		353		1,063
Saia, Inc.		100		1,052
Vicor Corp.		120		1,050
Ducommun, Inc.		70		1,049
FreightCar America, Inc.*		72		1,038
LMI Aerospace, Inc.*		60		1,024
Ampco-Pittsburgh Corp.		50		1,023
Graham Corp.		60		998
NCI Building Systems, Inc.*		130		983
Metalico, Inc.*		250		975
Kimball International, Inc. — Class B		200		972
Orion Marine Group, Inc.*		167		964
Michael Baker Corp.*		50		957
DXP Enterprises, Inc.*		50		941
CAI International, Inc.*		80		938
Lydall, Inc.*		104		926
American Railcar Industries, Inc.*		60		923
Aceto Corp.		170		899
GP Strategies Corp.*		90		899
Alamo Group, Inc.		43		894
Republic Airways Holdings, Inc.*		310		877
Tecumseh Products Co. — Class A*		120		875
Hurco Companies, Inc.*		43		873
Energy Recovery, Inc.*		290		873
Patriot Transportation Holding, Inc.*		43		869
CDI Corp.		80		854
SeaCube Container Leasing Ltd.		70		849
Casella Waste Systems, Inc. — Class A*		160		842
Pacer International, Inc.*		223		836
Thermon Group Holdings, Inc.*		60		829
Roadrunner Transportation Systems, Inc.*		60		823
Quality Distribution, Inc.*		90		807
KEYW Holding Corp.*		113		803
American Reprographics Co.*		230		773
Met-Pro Corp.		90		772
Intersections, Inc.		60		771
Hill International, Inc.*		160		749
LSI Industries, Inc.		120		748
School Specialty, Inc.*		103		734
Xerium Technologies, Inc.*		70		733
American Woodmark Corp.		60		727
Hudson Highland Group, Inc.*		210		718
Schawk, Inc. — Class A		72		711
Pike Electric Corp.*		103		697
AT Cross Co. — Class A*		60		677
Flow International Corp.*		303		670
FuelCell Energy, Inc.*		792		665
Active Power, Inc.*		510		658
Fuel Tech, Inc.*		112		652
VSE Corp.		25		647
Franklin Covey Co.*		83		631
Eagle Bulk Shipping, Inc.*		400		628
International Shipholding Corp.		33		610
Excel Maritime Carriers Ltd. — Class A*		290		603
Park-Ohio Holdings Corp.*		50		601
Barrett Business Services, Inc.		43		599
Heritage-Crystal Clean, Inc.*		33		599
TMS International Corp. — Class A*		82		597
PowerSecure International, Inc.*		120		568
Satcon Technology Corp.*		573		544
Argan, Inc.*		53		540
NN, Inc.*		105		530
Baltic Trading Ltd.		105		488
Valence Technology, Inc.*		460		478

102 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued)	September 30, 2011
RUSSELL 2000 ® FUND

	Shares		Value
Preformed Line Products Co.		10	$	458
Microvision, Inc.*		670		456
WCA Waste Corp.*		105		445
Universal Truckload Services, Inc.		33		429
Coleman Cable, Inc.*		50		423
Courier Corp.		60		392
Builders FirstSource, Inc.*		290		368
UniTek Global Services, Inc.*		70		347
TRC Companies, Inc.*		113		340
Ultrapetrol Bahamas Ltd.*		132		300
Lawson Products, Inc.		20		270
Omega Flex, Inc.*		20		266
Essex Rental Corp.*		105		258
Broadwind Energy, Inc.*		681		218
Covenant Transportation Group,
Inc. — Class A*		50		183
Compx International, Inc.		10		127
Ener1, Inc.*		466		64
Total Industrials				921,530
CONSUMER DISCRETIONARY — 9.3%
Crocs, Inc.*		543		12,853
Warnaco Group, Inc.*		278		12,813
Sotheby’s		424		11,690
Cinemark Holdings, Inc.		590		11,139
Rent-A-Center, Inc. — Class A		403		11,062
Ascena Retail Group, Inc.*		400		10,828
Domino’s Pizza, Inc.*		397		10,818
Wolverine World Wide, Inc.		315		10,474
Life Time Fitness, Inc.*		273		10,060
Tenneco, Inc.*		380		9,732
Dana Holding Corp.*		926		9,723
Carter’s, Inc.*		315		9,620
Cheesecake Factory, Inc.*		370		9,121
Vail Resorts, Inc.		231		8,729
Men’s Wearhouse, Inc.		325		8,476
HSN, Inc.		255		8,448
Jos A. Bank Clothiers, Inc.*		180		8,393
Pool Corp.		310		8,116
Coinstar, Inc.*		200		8,000
Childrens Place Retail Stores, Inc.*		170		7,910
Brunswick Corp.		563		7,905
Shutterfly, Inc.*		190		7,824
Genesco, Inc.*		150		7,729
ANN, Inc.*		333		7,606
Hillenbrand, Inc.		400		7,360
Iconix Brand Group, Inc.*		465		7,347
Steven Madden Ltd.*		240		7,224
Six Flags Entertainment Corp.		260		7,207
Express, Inc.		353		7,162
Live Nation Entertainment, Inc.*		893		7,153
Buffalo Wild Wings, Inc.*		113		6,757
Finish Line, Inc. — Class A		333		6,657
BJ’s Restaurants, Inc.*		150		6,617
Pier 1 Imports, Inc.*		673		6,582
Buckle, Inc.		170		6,538
Saks, Inc.*		733		6,414
Monro Muffler Brake, Inc.		193		6,363
Strayer Education, Inc.		80		6,134
Vitamin Shoppe, Inc.*		160		5,990
Valassis Communications, Inc.*		315		5,903
Jack in the Box, Inc.		295		5,876
Matthews International Corp. — Class A		190		5,844
Hibbett Sports, Inc.*		170		5,761
Cracker Barrel Old Country Store, Inc.		143		5,731
Arbitron, Inc.		170		5,624
Aeropostale, Inc.*		513		5,546
Cabela’s, Inc.*		270		5,532
99 Cents Only Stores*		300		5,526
Bob Evans Farms, Inc.		193		5,504
Group 1 Automotive, Inc.		150		5,333
Texas Roadhouse, Inc. — Class A		403		5,328
Meredith Corp.		230		5,207
Regis Corp.		368		5,185
National CineMedia, Inc.		353		5,122
Jones Group, Inc.		555		5,112
Collective Brands, Inc.*		393		5,093
New York Times Co. — Class A*		870		5,055
Select Comfort Corp.*		353		4,931
American Greetings Corp. — Class A		261		4,829
Helen of Troy Ltd.*		191		4,798
Vera Bradley, Inc.*		130		4,687
Scholastic Corp.		167		4,681
Peet’s Coffee & Tea, Inc.*		82		4,562
Penske Automotive Group, Inc.		283		4,528
True Religion Apparel, Inc.*		167		4,502
International Speedway Corp. — Class A		190		4,340
Gaylord Entertainment Co.		223		4,313
Meritor, Inc.*		603		4,257
Cooper Tire & Rubber Co.		390		4,247
Orient-Express Hotels Ltd. — Class A*		610		4,215
Steiner Leisure Ltd.*		100		4,077
K12, Inc.*		160		4,074
Cato Corp. — Class A		180		4,061
MDC Holdings, Inc.		233		3,947
PF Chang’s China Bistro, Inc.		143		3,895
DineEquity, Inc.*		100		3,849
American Public Education, Inc.*		113		3,842
iRobot Corp.*		150		3,774
Columbia Sportswear Co.		80		3,712
CEC Entertainment, Inc.		130		3,701
Papa John’s International, Inc.		120		3,648
Office Depot, Inc.*		1,765		3,636
Ascent Capital Group, Inc. — Class A*		92		3,617
Pinnacle Entertainment, Inc.*		397		3,605

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 103

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
Maidenform Brands, Inc.		153	$	3,582
Interval Leisure Group, Inc.*		253		3,370
Skechers U.S.A., Inc. — Class A*		240		3,367
PEP Boys-Manny Moe & Jack		333		3,287
Stage Stores, Inc.		233		3,232
American Axle & Manufacturing Holdings, Inc.*		423		3,227
Jakks Pacific, Inc.1		170		3,222
Ameristar Casinos, Inc.		200		3,210
Asbury Automotive Group, Inc.*		190		3,133
Churchill Downs, Inc.		80		3,122
Sturm Ruger & Company, Inc.		120		3,118
Liz Claiborne, Inc.*		603		3,015
Ryland Group, Inc.		283		3,014
Stewart Enterprises, Inc. — Class A		500		2,975
Biglari Holdings, Inc.*		10		2,964
Ruby Tuesday, Inc.*		413		2,957
Grand Canyon Education, Inc.*		180		2,907
Shuffle Master, Inc.*		345		2,901
Capella Education Co.*		102		2,895
Blue Nile, Inc.*		82		2,893
KB Home		493		2,889
Belo Corp. — Class A		590		2,885
GNC Holdings, Inc. — Class A*		143		2,877
National Presto Industries, Inc.		33		2,868
Oxford Industries, Inc.		82		2,813
Sonic Corp.*		390		2,757
Sonic Automotive, Inc. — Class A		253		2,730
Meritage Homes Corp.*		180		2,725
Modine Manufacturing Co.*		300		2,718
OfficeMax, Inc.*		550		2,668
Fred’s, Inc. — Class A		250		2,665
Scientific Games Corp. — Class A*		370		2,634
Wet Seal, Inc. — Class A*		573		2,567
Krispy Kreme Doughnuts, Inc.*		370		2,523
Quiksilver, Inc.*		820		2,501
Knology, Inc.*		190		2,466
La-Z-Boy, Inc.*		330		2,445
G-III Apparel Group Ltd.*		105		2,400
Harte-Hanks, Inc.		283		2,400
Drew Industries, Inc.		120		2,398
Superior Industries International, Inc.		153		2,364
Sinclair Broadcast Group, Inc. — Class A		323		2,316
Dorman Products, Inc.*		70		2,316
MDC Partners, Inc. — Class A		160		2,307
Zumiez, Inc.*		130		2,276
Lumber Liquidators Holdings, Inc.*		143		2,159
Hot Topic, Inc.		282		2,152
Ethan Allen Interiors, Inc.		158		2,150
Core-Mark Holding Company, Inc.*		70		2,144
Callaway Golf Co.		413		2,135
Barnes & Noble, Inc.		180		2,129
Denny’s Corp.*		630		2,098
NutriSystem, Inc.		170		2,059
Lithia Motors, Inc. — Class A		143		2,056
Rue21, Inc.*		90		2,042
Fuel Systems Solutions, Inc.*		105		2,017
Brown Shoe Company, Inc.		283		2,015
Bravo Brio Restaurant Group, Inc.*		120		1,997
Red Robin Gourmet Burgers, Inc.*		82		1,975
Bridgepoint Education, Inc.*		113		1,971
Lions Gate Entertainment Corp.*		283		1,953
Exide Technologies*		487		1,948
Charming Shoppes, Inc.*		735		1,911
AFC Enterprises, Inc.*		160		1,893
Blyth, Inc.		33		1,830
Amerigon, Inc.*		143		1,820
Universal Technical Institute, Inc.*		133		1,807
Central European Media Enterprises Ltd. — Class A*		230		1,796
America’s Car-Mart, Inc.*		60		1,741
Boyd Gaming Corp.*		343		1,681
Standard Pacific Corp.*		671		1,657
Universal Electronics, Inc.*		100		1,639
Bebe Stores, Inc.		243		1,633
Standard Motor Products, Inc.		120		1,556
Perry Ellis International, Inc.*		82		1,542
EW Scripps Co. — Class A*		220		1,538
World Wrestling Entertainment, Inc. — Class A		170		1,515
Cavco Industries, Inc.*		43		1,481
Shoe Carnival, Inc.*		60		1,416
Libbey, Inc.*		130		1,370
Movado Group, Inc.		112		1,364
Fisher Communications, Inc.*		60		1,340
Eastman Kodak Co.*		1,710		1,334
Body Central Corp.*		72		1,308
Marcus Corp.		130		1,294
Winnebago Industries, Inc.*		180		1,246
Haverty Furniture Companies, Inc.		120		1,199
PetMed Express, Inc.		133		1,197
Talbots, Inc.*		440		1,188
Arctic Cat, Inc.*		80		1,159
Lincoln Educational Services Corp.		140		1,133
hhgregg, Inc.*		115		1,121
Stein Mart, Inc.		177		1,106
Citi Trends, Inc.*		90		1,059
Casual Male Retail Group, Inc.*		263		989
Caribou Coffee Company, Inc.*		82		969
Kirkland’s, Inc.*		105		963
Weyco Group, Inc.		43		959
Smith & Wesson Holding Corp.		380		958
Tuesday Morning Corp.*		270		950
Town Sports International Holdings, Inc.*		130		944
Ruth’s Hospitality Group, Inc.*		220		944
Mac-Gray Corp.		72		930
Systemax, Inc.*		73		929
Steinway Musical Instruments, Inc.*		43		927

104 | the RYDEX   |  SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
MarineMax, Inc.*		143	$	925
Destination Maternity Corp.		70		901
Stoneridge, Inc.*		170		887
CSS Industries, Inc.		53		884
Leapfrog Enterprises, Inc. — Class A*		260		876
Big 5 Sporting Goods Corp.		143		869
Spartan Motors, Inc.		210		867
Speedway Motorsports, Inc.		71		858
Morgans Hotel Group Co.*		143		857
Journal Communications, Inc. — Class A*		278		826
Christopher & Banks Corp.		231		815
Entercom Communications Corp. — Class A*		150		788
Corinthian Colleges, Inc.*		493		769
Cost Plus, Inc.*		120		756
Rentrak Corp.*		60		755
Unifi, Inc.*		92		752
Saga Communications, Inc. — Class A*		25		738
REX American Resources Corp.*		43		726
Beazer Homes USA, Inc.*		480		725
Benihana, Inc. — Class A*		84		723
K-Swiss, Inc. — Class A*		170		722
interCLICK, Inc.*		130		722
M/I Homes, Inc.*		120		721
Carrols Restaurant Group, Inc.*		80		712
West Marine, Inc.*		90		693
Archipelago Learning, Inc.*		82		689
Multimedia Games Holding Company, Inc.*		170		687
O’Charleys, Inc.*		113		671
Delta Apparel, Inc.*		42		662
Conn’s, Inc.*		92		661
ReachLocal, Inc.*		60		652
Overstock.com, Inc.*		70		649
Cherokee, Inc.		50		643
Ambassadors Group, Inc.		112		642
Audiovox Corp. — Class A*		115		631
Isle of Capri Casinos, Inc.*		130		629
Valuevision Media, Inc. — Class A*		260		614
Red Lion Hotels Corp.*		90		604
Motorcar Parts of America, Inc.*		72		593
Monarch Casino & Resort, Inc.*		60		587
Lifetime Brands, Inc.		60		578
Zale Corp.*		200		570
McCormick & Schmick’s Seafood Restaurants, Inc.*		82		567
Summer Infant, Inc.*		84		554
Black Diamond, Inc.*		84		548
Geeknet, Inc.*		27		546
Jamba, Inc.*		423		546
New York & Company, Inc.*		170		542
Furniture Brands International, Inc.*		263		542
Build-A-Bear Workshop, Inc. — Class A*		105		535
Martha Stewart Living Omnimedia — Class A*		170		530
RG Barry Corp.		50		530
Outdoor Channel Holdings, Inc.		92		526
Einstein Noah Restaurant Group, Inc.		40		513
Johnson Outdoors, Inc. — Class A*		33		508
AH Belo Corp. — Class A		120		504
McClatchy Co. — Class A*		370		496
Luby’s, Inc.*		120		492
Gray Television, Inc.*		315		491
Coldwater Creek, Inc.*		390		488
Hovnanian Enterprises, Inc. — Class A*		393		479
Global Sources Ltd.*		70		474
Sealy Corp.*		315		466
Nexstar Broadcasting Group, Inc. — Class A*		70		463
Winmark Corp.		10		462
Kenneth Cole Productions, Inc. — Class A*		43		461
US Auto Parts Network, Inc.*		90		456
Tower International, Inc.*		43		443
National American University Holdings, Inc.		60		430
Skyline Corp.		43		411
LIN TV Corp. — Class A*		187		408
Cumulus Media, Inc. — Class A*		143		406
Bon-Ton Stores, Inc.		80		398
Gordmans Stores, Inc.*		33		395
1-800-Flowers.com, Inc. — Class A*		168		390
Syms Corp.*		43		377
Pacific Sunwear of California, Inc.*		303		364
Entravision Communications Corp. — Class A*		323		329
Crown Media Holdings, Inc. — Class A*		223		319
Cambium Learning Group, Inc.*		105		314
Orbitz Worldwide, Inc.*		130		282
Shiloh Industries, Inc.		31		278
Marine Products Corp.*		60		205
Westwood One, Inc.*		33		120
Value Line, Inc.		10		115
Total Consumer Discretionary				809,751
HEALTH CARE - 9.1%
Healthspring, Inc.*		433		15,787
Cepheid, Inc.*		390		15,144
Medicis Pharmaceutical Corp. — Class A		390		14,227
Cubist Pharmaceuticals, Inc.*		380		13,422
HMS Holdings Corp.*		540		13,171
athenahealth, Inc.*		220		13,101
Onyx Pharmaceuticals, Inc.*		403		12,094
Quality Systems, Inc.		120		11,640

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 105

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
Seattle Genetics, Inc.*		610	$	11,627
Owens & Minor, Inc.		403		11,477
STERIS Corp.		380		11,123
Salix Pharmaceuticals Ltd.*		370		10,952
WellCare Health Plans, Inc.*		273		10,369
Magellan Health Services, Inc.*		207		9,998
Volcano Corp.*		330		9,778
Haemonetics Corp.*		160		9,357
Questcor Pharmaceuticals, Inc.*		340		9,268
Alkermes plc*		601		9,171
Centene Corp.*		315		9,031
HealthSouth Corp.*		600		8,958
Theravance, Inc.*		433		8,721
Viropharma, Inc.		478		8,637
Incyte Corporation Ltd.*		563		7,865
West Pharmaceutical Services, Inc.		209		7,754
Impax Laboratories, Inc.*		413		7,397
Ariad Pharmaceuticals, Inc.*		840		7,384
Masimo Corp.		333		7,209
Chemed Corp.		130		7,145
PAREXEL International Corp.*		371		7,023
PSS World Medical, Inc.*		353		6,951
MAKO Surgical Corp.*		200		6,844
Par Pharmaceutical Companies, Inc.*		233		6,202
InterMune, Inc.*		306		6,181
Jazz Pharmaceuticals, Inc.*		143		5,937
Align Technology, Inc.*		390		5,916
NxStage Medical, Inc.*		283		5,903
MWI Veterinary Supply, Inc.*		80		5,506
Accretive Health, Inc.*		255		5,414
Zoll Medical Corp.*		143		5,397
Luminex Corp.*		240		5,321
Immunogen, Inc.*		480		5,261
DexCom, Inc.*		430		5,160
Medicines Co.*		345		5,134
Arthrocare Corp.*		177		5,092
Acorda Therapeutics, Inc.		253		5,050
Cyberonics, Inc.*		178		5,037
Neogen Corp.*		143		4,965
PDL BioPharma, Inc.		883		4,901
Integra LifeSciences Holdings Corp.*		130		4,650
HeartWare International, Inc.*		72		4,638
Computer Programs & Systems, Inc.		70		4,630
Auxilium Pharmaceuticals, Inc.*		307		4,602
Vivus, Inc.*		565		4,560
Amsurg Corp. — Class A*		200		4,500
Wright Medical Group, Inc.*		250		4,470
Air Methods Corp.*		70		4,457
Exelixis, Inc.		813		4,439
Insulet Corp.*		290		4,425
NuVasive, Inc.*		255		4,353
Isis Pharmaceuticals, Inc.*		632		4,285
Invacare Corp.		180		4,147
CONMED Corp.*		180		4,142
Optimer Pharmaceuticals, Inc.*		298		4,124
Meridian Bioscience, Inc.		260		4,092
Orthofix International N.V.*		115		3,969
Hanger Orthopedic Group, Inc.*		210		3,967
IPC The Hospitalist Company, Inc.*		105		3,747
Analogic Corp.		80		3,633
NPS Pharmaceuticals, Inc.*		550		3,580
Merit Medical Systems, Inc.*		270		3,548
Nektar Therapeutics*		723		3,507
Ironwood Pharmaceuticals, Inc. — Class A*		323		3,488
Pharmacyclics, Inc.*		290		3,431
Medivation, Inc.*		200		3,396
Momenta Pharmaceuticals, Inc.*		289		3,323
Abaxis, Inc.*		142		3,253
Halozyme Therapeutics, Inc. — Class A		523		3,211
Sequenom, Inc.		630		3,207
Rigel Pharmaceuticals, Inc.*		432		3,180
Caliper Life Sciences, Inc.*		303		3,172
Endologix, Inc.*		312		3,132
AVEO Pharmaceuticals, Inc.*		200		3,078
Greatbatch, Inc.*		151		3,022
Opko Health, Inc.*		688		2,979
Landauer, Inc.		60		2,972
Quidel Corp.*		180		2,947
Bio-Reference Labs, Inc.*		160		2,946
ICU Medical, Inc.*		80		2,944
MedAssets, Inc.*		303		2,912
Kindred Healthcare, Inc.		333		2,870
Omnicell, Inc.*		206		2,839
Amedisys, Inc.*		190		2,816
Team Health Holdings, Inc.*		170		2,791
SonoSite, Inc. — Class A		92		2,791
Micromet, Inc.*		580		2,784
Molina Healthcare, Inc.*		180		2,779
Akorn, Inc.*		351		2,741
Emeritus Corp.*		193		2,721
PharMerica Corp.*		190		2,711
Targacept, Inc.*		170		2,550
Spectrum Pharmaceuticals, Inc.*		333		2,541
Ensign Group, Inc.		105		2,427
OraSure Technologies, Inc.*		300		2,388
Hi-Tech Pharmacal Company, Inc.*		70		2,352
Emergent Biosolutions, Inc.*		150		2,315
Genomic Health, Inc.*		104		2,286
AVANIR Pharmaceuticals, Inc. — Class A*		791		2,262
Exact Sciences Corp.*		333		2,208
ABIOMED, Inc.*		200		2,206
Triple-S Management Corp. — Class B*		130		2,177
Affymetrix, Inc.*		443		2,171
Healthways, Inc.*		220		2,163
Medidata Solutions, Inc.*		130		2,137
Angiodynamics, Inc.*		160		2,102

106 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
Conceptus, Inc.*		200	$	2,094
MAP Pharmaceuticals, Inc.*		142		2,076
Atrion Corporation		10		2,074
Universal American Corp.		203		2,042
Merge Healthcare, Inc.*		330		2,010
National Healthcare Corp.		60		1,938
AMAG Pharmaceuticals, Inc.*		130		1,919
Select Medical Holdings Corp.*		283		1,888
Neurocrine Biosciences, Inc.*		315		1,884
MannKind Corp.*		492		1,865
Depomed, Inc.*		343		1,852
Savient Pharmaceuticals, Inc.*		447		1,833
Corvel Corp.*		42		1,785
Neoprobe Corp.*		600		1,776
Symmetry Medical, Inc.*		230		1,776
Cantel Medical Corp.		84		1,774
Idenix Pharmaceuticals, Inc.*		353		1,761
Accuray, Inc.*		434		1,745
LHC Group, Inc.*		102		1,740
Geron Corp.*		820		1,738
ExamWorks Group, Inc.*		170		1,731
Staar Surgical Co.*		221		1,724
Natus Medical, Inc.*		180		1,712
Arqule, Inc.*		338		1,707
Enzon Pharmaceuticals, Inc.*		240		1,690
Sunrise Senior Living, Inc.*		360		1,667
BioScrip, Inc.*		260		1,654
ZIOPHARM Oncology, Inc.*		373		1,645
Ligand Pharmaceuticals, Inc. — Class B*		120		1,642
Ardea Biosciences, Inc.*		105		1,640
Biosante Pharmaceuticals, Inc.*		700		1,596
Cadence Pharmaceuticals, Inc.*		240		1,572
Alnylam Pharmaceuticals, Inc.*		237		1,557
Oncothyreon, Inc.*		260		1,555
Unilife Corp.*		363		1,525
Assisted Living Concepts, Inc. — Class A		120		1,520
Curis, Inc.*		480		1,517
MedQuist Holdings, Inc.*		200		1,512
Spectranetics Corp.*		210		1,499
Dynavax Technologies Corp.*		783		1,456
Sangamo Biosciences, Inc.*		333		1,449
Tornier N.V.*		70		1,434
Achillion Pharmaceuticals, Inc.*		300		1,416
eResearchTechnology, Inc.*		315		1,405
Transcend Services, Inc.*		60		1,352
Arena Pharmaceuticals, Inc.*		926		1,343
US Physical Therapy, Inc.		72		1,333
Keryx Biopharmaceuticals, Inc.*		443		1,329
Immunomedics, Inc.*		413		1,322
XenoPort, Inc.*		223		1,316
Cell Therapeutics, Inc.*		1,223		1,296
Antares Pharma, Inc.*		556		1,290
HealthStream, Inc.*		100		1,283
Chelsea Therapeutics International Ltd.*		343		1,252
Kensey Nash Corp.*		50		1,225
Continucare Corp.*		190		1,212
Vascular Solutions, Inc.*		105		1,202
Endocyte, Inc.*		112		1,187
Metropolitan Health Networks, Inc.*		259		1,176
Synovis Life Technologies, Inc.*		70		1,169
RTI Biologics, Inc.*		353		1,161
Vical, Inc.*		460		1,141
Pain Therapeutics, Inc.		230		1,095
Progenics Pharmaceuticals, Inc.*		190		1,091
Obagi Medical Products, Inc.*		120		1,088
Gentiva Health Services, Inc.*		191		1,054
Capital Senior Living Corp.*		170		1,049
Maxygen, Inc.		190		1,039
Delcath Systems, Inc.*		308		1,029
AMN Healthcare Services, Inc.*		255		1,023
IRIS International, Inc.*		113		1,014
Affymax, Inc.*		223		999
Lexicon Pharmaceuticals, Inc.*		1,086		999
Raptor Pharmaceutical Corp.*		220		992
Inhibitex, Inc.*		403		991
Hansen Medical, Inc.*		297		986
Nymox Pharmaceutical Corp.*		120		982
Novavax, Inc.*		608		979
AVI BioPharma, Inc.*		863		967
American Dental Partners, Inc.*		100		966
Metabolix, Inc.*		220		964
Cambrex Corp.*		190		958
Cardiovascular Systems, Inc.*		84		957
Santarus, Inc.*		340		949
Palomar Medical Technologies, Inc.*		120		946
Young Innovations, Inc.		33		940
Allos Therapeutics, Inc.*		500		920
Columbia Laboratories, Inc.*		470		916
SurModics, Inc.*		100		910
AtriCure, Inc.*		92		896
Cytori Therapeutics, Inc.*		303		894
Vanda Pharmaceuticals, Inc.*		180		891
Providence Service Corp.*		82		873
Sagent Pharmaceuticals, Inc.*		43		870
Ampio Pharmaceuticals, Inc.*		130		864
Furiex Pharmaceuticals, Inc.*		60		854
Infinity Pharmaceuticals, Inc.*		120		846
Sciclone Pharmaceuticals, Inc.*		220		838
Almost Family, Inc.*		50		831
Durect Corp.*		513		826
Insmed, Inc.*		160		816
Rockwell Medical Technologies, Inc.*		100		816
CryoLife, Inc.*		180		808
Corcept Therapeutics, Inc.*		260		806
Dyax Corp.*		630		794

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 107

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
Synergetics USA, Inc.*		143	$	771
Aegerion Pharmaceuticals, Inc.*		60		760
Cross Country Healthcare, Inc.*		180		752
Alphatec Holdings, Inc.*		345		728
Codexis, Inc.*		159		727
SIGA Technologies, Inc.*		220		719
Pacific Biosciences of California, Inc.*		220		706
Array Biopharma, Inc.*		360		706
Biotime, Inc.*		160		706
Exactech, Inc.*		50		704
ISTA Pharmaceuticals, Inc.*		200		690
Astex Pharmaceuticals*		356		684
Five Star Quality Care, Inc.*		270		675
Cerus Corp.*		303		642
Celldex Therapeutics, Inc.*		280		640
Uroplasty, Inc.*		130		630
Anthera Pharmaceuticals, Inc.*		130		620
Enzo Biochem, Inc.*		240		617
Chindex International, Inc.*		70		617
Cynosure, Inc. — Class A*		60		605
Harvard Bioscience, Inc.*		143		603
Fluidigm Corp.*		43		599
OncoGenex Pharmaceutical, Inc.*		60		588
Medtox Scientific, Inc.		43		563
Alimera Sciences, Inc.*		70		560
Dusa Pharmaceuticals, Inc.*		150		555
Biolase Technology, Inc.*		180		540
Osiris Therapeutics, Inc.*		105		538
Biospecifics Technologies Corp.*		33		533
Medical Action Industries, Inc.*		104		525
BioCryst Pharmaceuticals, Inc.*		180		497
Solta Medical, Inc.*		380		475
Peregrine Pharmaceuticals, Inc.*		433		472
RadNet, Inc.*		193		471
GTx, Inc.*		140		469
Synta Pharmaceuticals Corp.*		143		465
Zalicus, Inc.*		473		464
Cleveland Biolabs, Inc.*		180		457
Nabi Biopharmaceuticals*		270		454
CardioNet, Inc.*		150		450
KV Pharmaceutical Co. — Class A*		325		439
Skilled Healthcare Group, Inc. — Class A*		120		433
Sun Healthcare Group, Inc.*		156		421
Pozen, Inc.*		170		410
Albany Molecular Research, Inc.*		143		403
Anacor Pharmaceuticals, Inc.*		70		399
Orexigen Therapeutics, Inc.*		200		398
BioMimetic Therapeutics, Inc.*		120		396
Lannett Company, Inc.*		103		394
PharmAthene, Inc.*		223		392
Amicus Therapeutics, Inc.*		102		392
Epocrates, Inc.*		43		387
Complete Genomics, Inc.*		60		352
Cornerstone Therapeutics, Inc.*		53		339
National Research Corp.		10		331
Pacira Pharmaceuticals, Inc.*		33		328
Stereotaxis, Inc.*		280		311
Sucampo Pharmaceuticals, Inc. — Class A*		80		298
Bacterin International Holdings, Inc.*		140		280
Trius Therapeutics, Inc.*		43		271
Sunesis Pharmaceuticals, Inc.*		180		221
Transcept Pharmaceuticals, Inc.*		33		218
DynaVox, Inc. — Class A*		60		216
Acura Pharmaceuticals, Inc.*		63		214
Neostem, Inc.*		290		188
BG Medicine, Inc.*		53		188
Alliance HealthCare Services, Inc.*		160		182
Pernix Therapeutics Holdings*		20		176
Zogenix, Inc.*		70		128
Total Health Care				791,580
ENERGY - 4.4%
World Fuel Services Corp.		448		14,627
Dril-Quip, Inc.*		220		11,860
CVR Energy, Inc.*		556		11,754
Berry Petroleum Co. — Class A		330		11,675
Rosetta Resources, Inc.*		340		11,635
Bill Barrett Corp.*		302		10,944
Energy XXI Bermuda Ltd.*		480		10,296
Lufkin Industries, Inc.		193		10,269
Bristow Group, Inc.		230		9,759
Complete Production Services, Inc.*		500		9,425
Helix Energy Solutions Group, Inc.*		670		8,777
Oasis Petroleum, Inc.*		380		8,485
Golar LNG Ltd.		257		8,167
Northern Oil and Gas, Inc.*		400		7,756
Key Energy Services, Inc.*		793		7,526
Kodiak Oil & Gas Corp.		1,330		6,929
Swift Energy Co.*		273		6,645
Cloud Peak Energy, Inc.*		390		6,610
Gulfport Energy Corp.*		270		6,529
McMoRan Exploration Co.*		620		6,157
Gulfmark Offshore, Inc. — Class A*		150		5,451
Carrizo Oil & Gas, Inc.*		250		5,387
SemGroup Corp. — Class A*		260		5,190
Stone Energy Corp.*		315		5,106
Global Industries Ltd.*		643		5,093
Patriot Coal Corp.*		580		4,907
Comstock Resources, Inc.*		303		4,684
Apco Oil and Gas International, Inc.		60		4,465
Contango Oil & Gas Co.*		80		4,377
Nordic American Tankers Ltd.		303		4,272
Western Refining, Inc.*		330		4,112
ION Geophysical Corp.*		830		3,926
Exterran Holdings, Inc.*		403		3,917
Tetra Technologies, Inc.*		490		3,783
Ship Finance International Ltd.		283		3,679
Hyperdynamics Corp.*		993		3,674

108 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
Hornbeck Offshore Services, Inc.*		143	$	3,562
Clean Energy Fuels Corp.*		313		3,481
Newpark Resources, Inc.*		571		3,477
Crosstex Energy, Inc.		253		3,410
Resolute Energy Corp.		290		3,294
Parker Drilling Co.		743		3,262
Targa Resources Corp.		105		3,124
W&T Offshore, Inc.		220		3,027
Petroleum Development Corp.*		153		2,967
Rex Energy Corp.*		223		2,821
Pioneer Drilling Co.*		390		2,800
Cheniere Energy, Inc.*		528		2,719
Approach Resources, Inc.*		140		2,379
Knightsbridge Tankers Ltd.		143		2,367
Overseas Shipholding Group, Inc.		170		2,336
Magnum Hunter Resources Corp.*		703		2,327
GeoResources, Inc.*		130		2,313
Amyris, Inc.*		113		2,287
Tesco Corp.*		190		2,204
ATP Oil & Gas Corp.*		283		2,182
Hercules Offshore, Inc.*		733		2,140
Basic Energy Services, Inc.*		150		2,124
Energy Partners Ltd.*		180		1,993
Petroquest Energy, Inc.*		351		1,930
Goodrich Petroleum Corp.*		160		1,891
Gulf Island Fabrication, Inc.		91		1,882
Harvest Natural Resources, Inc.*		217		1,860
Endeavour International Corp.*		232		1,851
BPZ Resources, Inc.*		653		1,809
Clayton Williams Energy, Inc.*		40		1,712
Venoco, Inc.*		190		1,674
Penn Virginia Corp.		289		1,610
PHI, Inc.*		82		1,569
Frontline Ltd.		323		1,567
Vaalco Energy, Inc.*		320		1,555
OYO Geospace Corp.*		27		1,520
Matrix Service Co.*		170		1,447
Houston American Energy Corp.		105		1,445
James River Coal Co.*		221		1,408
Vantage Drilling Co.*		1,115		1,394
Abraxas Petroleum Corp.		523		1,381
FX Energy, Inc.*		331		1,367
Teekay Tankers Ltd. — Class A		273		1,256
Dawson Geophysical Co.*		53		1,250
Uranium Energy Corp.*		451		1,236
Panhandle Oil and Gas, Inc. — Class A		43		1,220
Green Plains Renewable Energy, Inc.*		130		1,213
USEC, Inc.		735		1,183
Cal Dive International, Inc.*		603		1,152
Gastar Exploration Ltd.*		370		1,110
Rentech, Inc.*		1,413		1,102
Warren Resources, Inc.*		450		1,080
Willbros Group, Inc.*		250		1,042
Delek US Holdings, Inc.		92		1,037
Natural Gas Services Group, Inc.*		80		1,026
Triangle Petroleum Corp.*		270		969
Callon Petroleum Co.*		247		956
Global Geophysical Services, Inc.*		115		917
Mitcham Industries, Inc.*		80		896
GMX Resources, Inc.*		380		863
Scorpio Tankers, Inc.*		160		845
DHT Holdings, Inc.		413		842
Evolution Petroleum Corp.*		100		706
Solazyme, Inc.*		70		673
RigNet, Inc.*		40		641
Voyager Oil & Gas, Inc.*		303		636
Ur-Energy, Inc.*		653		588
Isramco, Inc.*		10		578
Uranerz Energy Corp.*		413		566
Miller Energy Resources, Inc.*		193		509
Syntroleum Corp.*		558		480
Union Drilling, Inc.*		100		470
Westmoreland Coal Co.*		60		466
Alon USA Energy, Inc.		70		429
Uranium Resources, Inc.*		593		404
L&L Energy, Inc.*		140		378
Zion Oil & Gas, Inc.*		190		372
Crimson Exploration, Inc.*		143		307
Hallador Energy Co.		32		274
CAMAC Energy, Inc.*		373		224
Gevo, Inc.*		40		223
General Maritime Corp.		733		191
Geokinetics, Inc.*		70		169
Total Energy				381,795
MATERIALS - 3.2%
Coeur d’Alene Mines Corp.*		573		12,285
Sensient Technologies Corp.		315		10,253
Hecla Mining Co.*		1,778		9,530
Olin Corp.		510		9,185
NewMarket Corp.		60		9,112
Balchem Corp.		180		6,716
Arch Chemicals, Inc.		140		6,569
PolyOne Corp.		593		6,351
Buckeye Technologies, Inc.		255		6,148
Chemtura Corp.*		610		6,118
Thompson Creek Metals Company, Inc.*		968		5,876
Globe Specialty Metals, Inc.		400		5,808
Schweitzer-Mauduit International, Inc.		103		5,755
HB Fuller Co.		312		5,685
Innophos Holdings, Inc.		142		5,662
Minerals Technologies, Inc.		113		5,568
Stillwater Mining Co.*		650		5,525
Calgon Carbon Corp.*		356		5,187
Clearwater Paper Corp.*		150		5,097
Worthington Industries, Inc.		360		5,029

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 109

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
OM Group, Inc.*		193	$	5,012
Eagle Materials, Inc.		283		4,712
Kaiser Aluminum Corp.		105		4,649
Texas Industries, Inc.		143		4,539
RTI International Metals, Inc.*		190		4,431
Deltic Timber Corp.		72		4,297
Louisiana-Pacific Corp.		840		4,284
PH Glatfelter Co.		297		3,923
Innospec, Inc.*		150		3,631
AMCOL International Corp.		150		3,598
Stepan Co.		53		3,561
Graphic Packaging Holding Co.*		1,011		3,488
Haynes International, Inc.		80		3,476
KapStone Paper and Packaging Corp.*		250		3,472
Boise, Inc.		660		3,412
Ferro Corp.*		553		3,401
Koppers Holdings, Inc.		130		3,329
A. Schulman, Inc.		193		3,279
LSB Industries, Inc.*		113		3,240
Kraton Performance Polymers, Inc.*		200		3,236
Golden Star Resources Ltd.*		1,645		3,060
Georgia Gulf Corp.*		220		3,043
Gold Resource Corp.		180		2,997
Century Aluminum Co.*		323		2,888
Materion Corp.*		127		2,880
US Gold Corp.*		673		2,699
Jaguar Mining, Inc.*		533		2,505
Quaker Chemical Corp.		82		2,125
Zep, Inc.		141		2,118
Horsehead Holding Corp.*		280		2,078
Myers Industries, Inc.		200		2,030
Wausau Paper Corp.		315		2,013
Paramount Gold and Silver Corp.*		743		1,753
TPC Group, Inc.*		84		1,687
American Vanguard Corp.		146		1,629
Hawkins, Inc.		50		1,592
STR Holdings, Inc.*		190		1,541
Vista Gold Corp.*		450		1,503
Flotek Industries, Inc.*		315		1,471
Zagg, Inc.*		140		1,389
Golden Minerals Co.*		180		1,339
Neenah Paper, Inc.		90		1,276
FutureFuel Corp.		120		1,248
General Moly, Inc.*		430		1,247
Noranda Aluminum Holding Corp.*		143		1,194
Zoltek Companies, Inc.*		180		1,157
AM Castle & Co.*		105		1,149
Midway Gold Corp.*		540		1,085
Universal Stainless & Alloy*		42		1,068
Omnova Solutions, Inc.*		290		1,038
Olympic Steel, Inc.		60		1,016
Landec Corp.*		170		904
Senomyx, Inc.*		255		895
United States Lime & Minerals, Inc.*		20		798
AEP Industries, Inc.*		33		733
Metals USA Holdings Corp.*		70		626
Spartech Corp.*		193		618
Revett Minerals, Inc.*		160		618
Headwaters, Inc.*		390		562
NL Industries, Inc.		43		539
KMG Chemicals, Inc.		43		530
Chase Corp.		43		462
Handy & Harman Ltd.*		40		404
US Energy Corp.*		150		346
Verso Paper Corp.*		90		150
Total Materials				278,432
UTILITIES - 2.8%
Nicor, Inc.		288		15,843
Cleco Corp.		390		13,315
Piedmont Natural Gas Company, Inc.		460		13,289
WGL Holdings, Inc.		323		12,620
IDACORP, Inc.		315		11,901
Portland General Electric Co.		481		11,395
New Jersey Resources Corp.		260		11,068
UIL Holdings Corp.		323		10,636
Southwest Gas Corp.		290		10,489
South Jersey Industries, Inc.		190		9,452
PNM Resources, Inc.		553		9,086
Avista Corp.		370		8,824
El Paso Electric Co.		263		8,440
Unisource Energy Corp.		230		8,301
Black Hills Corp.		253		7,752
Northwest Natural Gas Co.		170		7,497
NorthWestern Corp.		233		7,442
Allete, Inc.		200		7,326
Atlantic Power Corp.		433		6,144
MGE Energy, Inc.		151		6,141
Laclede Group, Inc.		140		5,425
CH Energy Group, Inc.		102		5,321
Empire District Electric Co.		270		5,233
California Water Service Group		260		4,605
Otter Tail Corp.		233		4,264
American States Water Co.		120		4,072
Central Vermont Public Service Corp.		82		2,887
Dynegy, Inc. — Class A*		653		2,690
Chesapeake Utilities Corp.		60		2,407
SJW Corp.		92		2,003
Ormat Technologies, Inc.		115		1,849
Unitil Corp.		70		1,798
Middlesex Water Co.		102		1,741
York Water Co.		80		1,294
Connecticut Water Service, Inc.		50		1,251
Pennichuck Corp.		33		923
Artesian Resources Corp. — Class A		43		753
Consolidated Water Company Ltd.		92		725
Cadiz, Inc.*		72		570
Total Utilities				246,772

110 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
CONSUMER STAPLES - 2.7%
Nu Skin Enterprises, Inc. — Class A		350	$	14,182
TreeHouse Foods, Inc.*		223		13,790
Ruddick Corp.		315		12,282
Diamond Foods, Inc.		143		11,410
United Natural Foods, Inc.*		303		11,223
Casey’s General Stores, Inc.		240		10,476
Darling International, Inc.		740		9,317
Lancaster Colony Corp.		120		7,321
Pricesmart, Inc.		113		7,042
Fresh Market, Inc.*		180		6,869
Hain Celestial Group, Inc.*		223		6,813
Sanderson Farms, Inc.		143		6,793
Snyders-Lance, Inc.		303		6,318
Fresh Del Monte Produce, Inc.		227		5,266
Vector Group Ltd.		303		5,213
Universal Corp.		143		5,128
B&G Foods, Inc. — Class A		300		5,004
Elizabeth Arden, Inc.*		156		4,437
J&J Snack Foods Corp.		92		4,421
WD-40 Co.		105		4,183
Andersons, Inc.		120		4,039
Rite Aid Corp.*		3,747		3,672
Boston Beer Company, Inc. — Class A*		50		3,635
Tootsie Roll Industries, Inc.		150		3,618
Central European Distribution Corp.*		463		3,246
Heckmann Corp.*		590		3,121
Prestige Brands Holdings, Inc.*		323		2,923
Cal-Maine Foods, Inc.		91		2,860
Weis Markets, Inc.		70		2,594
Spectrum Brands Holdings, Inc.*		105		2,480
Chiquita Brands International, Inc.*		290		2,419
Smart Balance, Inc.*		380		2,242
Dole Food Company, Inc.*		223		2,230
Spartan Stores, Inc.		140		2,167
Nash Finch Co.		80		2,154
Central Garden and Pet Co. — Class A*		303		2,145
Winn-Dixie Stores, Inc.*		350		2,072
Coca-Cola Bottling Company Consolidated		33		1,830
Pantry, Inc.*		143		1,735
Star Scientific, Inc.*		685		1,582
Inter Parfums, Inc.		101		1,560
Medifast, Inc.*		92		1,486
Calavo Growers, Inc.		72		1,477
Pilgrim’s Pride Corp.*		323		1,379
Alliance One International, Inc.*		556		1,357
Seneca Foods Corp. — Class A*		60		1,188
USANA Health Sciences, Inc.*		43		1,182
Ingles Markets, Inc. — Class A		80		1,139
Omega Protein Corp.*		120		1,090
National Beverage Corp.		70		1,061
Susser Holdings Corp.*		52		1,036
Nature’s Sunshine Products, Inc.*		70		986
Village Super Market, Inc. — Class A		41		982
Schiff Nutrition International, Inc.*		80		886
Revlon, Inc. — Class A*		70		862
Arden Group, Inc. — Class A		10		795
Nutraceutical International Corp.*		60		767
Limoneira Co.		53		757
Oil-Dri Corporation of America		33		613
Synutra International, Inc.*		112		596
Imperial Sugar Co.		80		515
Griffin Land & Nurseries, Inc.		20		514
Primo Water Corp.*		90		508
Female Health Co.		120		490
Alico, Inc.		20		393
Craft Brewers Alliance, Inc.*		70		393
MGP Ingredients, Inc.		72		365
Lifeway Foods, Inc.*		33		352
Harbinger Group, Inc.*		60		304
Farmer Brothers Co.		43		237
Total Consumer Staples				235,522
TELECOMMUNICATION SERVICES - 0.7%
AboveNet, Inc.		143		7,665
Global Crossing Ltd.*		193		4,615
PAETEC Holding Corp.*		793		4,195
Cincinnati Bell, Inc.*		1,268		3,918
Cogent Communications Group, Inc.*		290		3,900
NTELOS Holdings Corp.		190		3,369
Consolidated Communications Holdings, Inc.		170		3,068
Leap Wireless International, Inc.*		383		2,643
Vonage Holdings Corp.*		883		2,296
Pendrell Corp.*		963		2,167
General Communication, Inc. — Class A*		260		2,132
Premiere Global Services, Inc.*		331		2,125
Atlantic Tele-Network, Inc.		60		1,973
Neutral Tandem, Inc.*		197		1,907
USA Mobility, Inc.		143		1,888
IDT Corp. — Class B		92		1,877
Alaska Communications Systems Group, Inc.		283		1,856
Iridium Communications, Inc.*		280		1,736
Shenandoah Telecommunications Co.		150		1,671
8x8, Inc.*		390		1,587
Cbeyond, Inc.*		180		1,271
SureWest Communications		92		963
HickoryTech Corp.		84		808
Towerstream Corp.*		270		691
inContact, Inc.*		193		666

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 111

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)

September 30, 2011

RUSSELL 2000^® FUND

	Shares		Value
Fairpoint Communications, Inc.*		133	$	572
Boingo Wireless, Inc.*		40		286
Globalstar, Inc.*		646		264
Total Telecommunication Services				62,109
Total Common Stocks (Cost $6,565,950)				6,124,882
WARRANT*,†† - 0.0%
ENERGY - 0.0%
Magnum Hunter Resources Corp. $10.50, 12/31/11		17		—
Total Warrant (Cost $—)				—

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 36.0%
HSBC Group issued 03/30/11 at 0.00% due 10/03/11	$	1,704,468		1,704,468
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		842,988		842,988
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		599,094		599,094
Total Repurchase Agreements (Cost $3,146,550)				3,146,550
Total Investments — 106.2% (Cost $9,712,500)			$	9,271,432
Liabilities, Less Cash &
Other Assets — (6.2)%				(544,266	)
Total Net Assets — 100.0%			$	8,727,166

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $448,420)		7	$	(3,662	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Morgan Stanley Capital Services, Inc. October 2011 Russell 2000 Index Swap, Terminating 10/24/112 (Notional Value $489,072)		759	$	(5,929	)
Barclays Bank plc October 2011 Russell 2000 Index Swap, Terminating 10/31/112 (Notional Value $266,696)		414		(7,703	)
Goldman Sachs International October 2011 Russell 2000 Index Swap, Terminating 10/27/112 (Notional Value $579,136)		899		(17,562	)
Credit Suisse Capital, LLC October 2011 Russell 2000 Index Swap, Terminating 10/31/112 (Notional Value $836,752)		1,299		(24,192	)
(Total Notional Value $2,171,656 )			$	(55,386	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on Russell 2000 Index +/- financing at a variable rate.
	ADR — American Depositary Receipt
	plc — Public Limited Company
	REIT — Real Estate Investment Trust

112 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

RUSSELL 2000^® FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $6,565,950)	$	6,124,882
Repurchase agreements, at value (cost $3,146,550)		3,146,550
Foreign currency, at value (cost $10)		9
Segregated cash with broker		924,562
Receivable for swap settlement		4,293
Cash		15
Receivables:
Fund shares sold		272,813
Dividends		7,117
Securities sold		219
Total assets		10,480,460
Liabilities:
Unrealized depreciation on swap agreements		55,386
Payable for:
Fund shares redeemed		1,625,060
Management fees		9,212
Distribution and service fees		6,466
Transfer agent and administrative fees		3,070
Portfolio accounting fees		1,228
Miscellaneous		52,872
Total liabilities		1,753,294
Net Assets	$	8,727,166
Net assets consist of:
Paid in capital	$	22,228,072
Accumulated net investment loss		(160,487	)
Accumulated net realized loss on investments		(12,840,303	)
Net unrealized depreciation on investments		(500,116	)
Net assets	$	8,727,166
A-Class:
Net assets	$	505,857
Capital shares outstanding		23,236
Net asset value per share	$	21.77
Maximum offering price per share (Net asset value divided by 95.25%)	$	22.86
C-Class:
Net assets	$	4,986,006
Capital shares outstanding		239,097
Net asset value per share	$	20.85
H-Class:
Net assets	$	3,235,303
Capital shares outstanding		148,736
Net asset value per share	$	21.75

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1)	$	19,647
Interest		2,099
Total investment income		21,746
Expenses:
Management fees		75,565
Transfer agent and administrative fees		25,188
Distribution and service fees:
A-Class		1,010
C-Class		30,311
H-Class		16,600
Portfolio accounting fees		10,075
Trustees’ fees*		964
Miscellaneous		21,257
Total expenses		180,970
Net investment loss		(159,224	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		615,001
Swap agreements		(3,420,669	)
Futures contracts		355,682
Net realized loss		(2,449,986	)
Net change in unrealized appreciation (depreciation) on:
Investments		(1,576,603	)
Swap agreements		(368,403	)
Futures contracts		(316,891	)
Net change in unrealized appreciation (depreciation)		(2,261,897	)
Net realized and unrealized loss		(4,711,883	)
Net decrease in net assets resulting from operations	$	(4,871,107	)

* 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 | SGI series funds semi-annual report | 113

RUSSELL 2000^® FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(159,224	)	$	(292,419	)
Net realized gain (loss) on investments		(2,449,986	)		3,070,540
Net change in unrealized appreciation (depreciation) on investments		(2,261,897	)		(810,396	)
Net increase (decrease) in net assets resulting from operations		(4,871,107	)		1,967,725
Distributions To Shareholders		—			—
Capital Share Transactions:
Proceeds from sale of shares
A-Class		1,179,340			3,318,909
C-Class		40,425,615			92,851,121
H-Class		117,214,668			378,981,182
Cost of shares redeemed
A-Class		(1,226,011	)		(4,088,188	)
C-Class		(41,109,733	)		(89,838,530	)
H-Class		(143,096,736	)		(379,943,686	)
Net increase (decrease) from capital share transactions		(26,612,857	)		1,280,808
Net increase (decrease) in net assets		(31,483,964	)		3,248,533
Net Assets:
Beginning of period		40,211,130			36,962,597
End of period	$	8,727,166		$	40,211,130
Accumulated net investment loss at end of period	$	(160,487	)	$	(1,263	)
Capital share activity:
Shares sold
A-Class		44,353			147,548
C-Class		1,587,752			4,000,710
H-Class		4,386,522			15,599,483
Shares redeemed
A-Class		(47,556	)		(178,309	)
C-Class		(1,606,030	)		(3,871,654	)
H-Class		(5,373,292	)		(15,893,726	)
Net decrease in shares		(1,008,251	)		(195,948	)

114 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

RUSSELL 2000^® FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	28.54		$	22.96		$	14.31		$	23.57		$	27.64		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.18	)		(.24	)		(.15	)		(.02	)		.34			.35
Net gain (loss) on investments (realized and unrealized)		(6.59	)		5.82			8.80			(9.24	)		(4.21	)		2.43
Total from investment operations		(6.77	)		5.58			8.65			(9.26	)		(3.87	)		2.78
Less distributions from:
Net investment income		—			—			—			—			(.20	)		(.14	)
Total distributions		—			—			—			—			(.20	)		(.14	)
Net asset value, end of period	$	21.77		$	28.54		$	22.96		$	14.31		$	23.57		$	27.64
Total Returnd		(23.72	%)		24.30	%		60.45	%		(39.29	%)		(14.08	%)		11.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	506		$	755		$	1,313		$	2,309		$	909		$	275
Ratios to average net assets:
Net investment income (loss)		(1.33	%)		(1.01	%)		(0.81	%)		(0.13	%)		1.26	%		1.54	%
Total expenses		1.58	%		1.56	%		1.57	%		1.56	%		1.51	%		1.51	%
Portfolio turnover rate		99	%		284	%		370	%		485	%		535	%		335	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	27.46		$	22.29		$	14.00		$	23.28		$	27.48		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.27	)		(.47	)		(.34	)		(.15	)		.23			.17
Net gain (loss) on investments (realized and unrealized)		(6.34	)		5.64			8.63			(9.13	)		(4.23	)		2.45
Total from investment operations		(6.61	)		5.17			8.29			(9.28	)		(4.00	)		2.62
Less distributions from:
Net investment income		—			—			—			—			(.20	)		(.14	)
Total distributions		—			—			—			—			(.20	)		(.14	)
Net asset value, end of period	$	20.85		$	27.46		$	22.29		$	14.00		$	23.28		$	27.48
Total Returnd		(24.07	%)		23.25	%		59.21	%		(39.86	%)		(14.63	%)		10.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,986		$	7,068		$	2,860		$	2,123		$	678		$	739
Ratios to average net assets:
Net investment income (loss)		(2.08	%)		(1.87	%)		(1.56	%)		(0.82	%)		0.85	%		0.76	%
Total expenses		2.32	%		2.31	%		2.30	%		2.29	%		2.27	%		2.28	%
Portfolio turnover rate		99	%		284	%		370	%		485	%		535	%		335	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 115

RUSSELL 2000^® FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	28.52		$	22.93		$	14.31		$	23.57		$	27.64		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.18	)		(.27	)		(.16	)		(.02	)		.51			.34
Net gain (loss) on investments (realized and unrealized)		(6.59	)		5.86			8.78			(9.24	)		(4.38	)		2.44
Total from investment operations		(6.77	)		5.59			8.62			(9.26	)		(3.87	)		2.78
Less distributions from:
Net investment income		—			—			—			—			(.20	)		(.14	)
Total distributions		—			—			—			—			(.20	)		(.14	)
Net asset value, end of period	$	21.75		$	28.52		$	22.93		$	14.31		$	23.57		$	27.64
Total Returnd		(23.74	%)		24.32	%		60.24	%		(39.29	%)		(14.08	%)		11.13	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,235		$	32,389		$	32,790		$	19,847		$	4,327		$	13,248
Ratios to average net assets:
Net investment income (loss)		(1.37	%)		(1.09	%)		(0.83	%)		(0.09	%)		1.86	%		1.55	%
Total expenses		1.57	%		1.57	%		1.56	%		1.55	%		1.52	%		1.52	%
Portfolio turnover rate		99	%		284	%		370	%		485	%		535	%		335	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: May 31, 2006. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

116 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

INVERSE RUSSELL 2000^® STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000^® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	March 31, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

The Fund invests principally in derivative investments such as swap agreements and futures contracts.

the RYDEX | SGI series funds semi-annual report | 117

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

INVERSE RUSSELL 2000^® STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 82.6%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	25,201,978	$	25,201,978
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		12,464,284		12,464,284
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		8,858,108		8,858,108
Total Repurchase Agreements (Cost $46,524,370)				46,524,370
Total Investments — 82.6% (Cost $46,524,370)			$	46,524,370
Cash & Other Assets,
Less Liabilities — 17.4%				9,833,087
Total Net Assets — 100.0%			$	56,357,457

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS SOLD SHORT†
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $25,880,240)		404	$	1,054,459

	Units
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Credit Suisse Capital, LLC October 2011 Russell 2000 Index Swap, Terminating 10/31/112 (Notional Value $23,507,604)		36,493	$	589,075
Goldman Sachs International October 2011 Russell 2000 Index Swap, Terminating 10/27/112 (Notional Value $5,896,413)		9,154		159,084
Barclays Bank plc October 2011 Russell 2000 Index Swap, Terminating 10/31/112 (Notional Value $494,032)		767		14,294
Morgan Stanley Capital Services, Inc. October 2011 Russell 2000 Index Swap, Terminating 10/24/112 (Notional Value $318,542)		495		3,213
(Total Notional Value $30,216,591)			$	765,666

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on Russell 2000 Index +/- financing at a variable rate.
	plc — Public Limited Company

118 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE RUSSELL 2000^® STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Repurchase agreements, at value (cost $46,524,370)	$	46,524,370
Segregated cash with broker		7,820,460
Unrealized appreciation on swap agreements		765,666
Receivable for swap settlement		13,906
Receivables:
Variation margin		872,640
Fund shares sold		426,251
Total assets		56,423,293
Liabilities:
Payable for:
Management fees		30,700
Fund shares redeemed		16,157
Distribution and service fees		9,501
Transfer agent and administrative fees		8,528
Portfolio accounting fees		3,411
Miscellaneous		(2,461	)
Total liabilities		65,836
Net Assets	$	56,357,457
Net assets consist of:
Paid in capital	$	102,443,873
Accumulated net investment loss		(182,499	)
Accumulated net realized loss on investments		(47,724,042	)
Net unrealized appreciation on investments		1,820,125
Net assets	$	56,357,457
A-Class:
Net assets	$	1,219,433
Capital shares outstanding		50,793
Net asset value per share	$	24.01
Maximum offering price per share
(Net asset value divided by 95.25%)	$	25.21
C-Class:
Net assets	$	2,234,619
Capital shares outstanding		98,677
Net asset value per share	$	22.64
H-Class:
Net assets	$	52,903,405
Capital shares outstanding		2,201,972
Net asset value per share	$	24.02

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	9,787
Total investment income		9,787
Expenses:
Management fees		95,766
Transfer agent and administrative fees		26,602
Distribution and service fees:
A-Class		2,039
C-Class		5,704
H-Class		23,137
Portfolio accounting fees		10,641
Trustees’ fees*		516
Miscellaneous		27,881
Total expenses		192,286
Net investment loss		(182,499	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		3,217,964
Futures contracts		136,907
Net realized gain		3,354,871
Net change in unrealized appreciation (depreciation) on:
Investments		(3,616	)
Swap agreements		1,028,839
Futures contracts		1,059,970
Net change in unrealized appreciation (depreciation)		2,085,193
Net realized and unrealized gain		5,440,064
Net increase in net assets resulting from operations	$	5,257,565

* 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 | SGI series funds semi-annual report | 119

INVERSE RUSSELL 2000^® STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(182,499	)	$	(428,511	)
Net realized gain (loss) on investments		3,354,871			(9,330,901	)
Net change in unrealized appreciation (depreciation) on investments		2,085,193			(192	)
Net increase (decrease) in net assets resulting from operations		5,257,565			(9,759,604	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		3,733,693			7,959,272
C-Class		5,353,352			15,298,718
H-Class		148,978,969			454,278,543
Cost of shares redeemed
A-Class		(3,716,969	)		(7,860,444	)
C-Class		(4,583,038	)		(15,531,833	)
H-Class		(110,510,518	)		(462,232,894	)
Net increase (decrease) from capital share transactions		39,255,489			(8,088,638	)
Net increase (decrease) in net assets		44,513,054			(17,848,242	)
Net assets:
Beginning of period		11,844,403			29,692,645
End of period	$	56,357,457		$	11,844,403
Accumulated net investment loss at end of period	$	(182,499	)	$	—
Capital share activity:
Shares sold
A-Class		166,787			308,625
C-Class		259,046			580,595
H-Class		7,051,361			18,194,735
Shares redeemed
A-Class		(172,347	)		(317,626	)
C-Class		(222,267	)		(596,494	)
H-Class		(5,333,095	)		(18,670,803	)
Net increase (decrease) in shares		1,749,485			(500,968	)

120 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE RUSSELL 2000^® STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.77		$	27.00		$	48.02		$	39.05		$	35.00		$	36.96
Income (loss) from investment operations:
Net investment income (loss)b		(.17	)		(.38	)		(.54	)		(.21	)		1.06			1.38
Net gain (loss) on investments (realized and unrealized)		4.41			(6.85	)		(20.48	)		9.57			4.40			(1.65	)
Total from investment operations		4.24			(7.23	)		(21.02	)		9.36			5.46			(.27	)
Less distributions from:
Net investment income		—			—			—			(.39	)		(1.41	)		(1.69	)
Total distributions		—			—			—			(.39	)		(1.41	)		(1.69	)
Net asset value, end of period	$	24.01		$	19.77		$	27.00		$	48.02		$	39.05		$	35.00
Total Returnc		21.45	%		(26.78	%)		(43.77	%)		23.91	%		16.11	%		(0.67	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,219		$	1,114		$	1,765		$	2,299		$	6,816		$	9,905
Ratios to average net assets:
Net investment income (loss)		(1.62	%)		(1.53	%)		(1.58	%)		(0.50	%)		2.96	%		3.64	%
Total expenses		1.75	%		1.71	%		1.71	%		1.96	%		1.89	%		1.65	%
Operating expensesd		1.75	%		1.71	%		1.71	%		1.71	%		1.89	%		1.65	%
Portfolio turnover rate		—			—			—			214	%		—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	18.71		$	25.75		$	46.15		$	37.80		$	34.18		$	36.40
Income (loss) from investment operations:
Net investment income (loss)b		(.24	)		(.55	)		(.76	)		(.40	)		.76			1.07
Net gain (loss) on investments (realized and unrealized)		4.17			(6.49	)		(19.64	)		9.14			4.27			(1.60	)
Total from investment operations		3.93			(7.04	)		(20.40	)		8.74			5.03			(.53	)
Less distributions from:
Net investment income		—			—			—			(.39	)		(1.41	)		(1.69	)
Total distributions		—			—			—			(.39	)		(1.41	)		(1.69	)
Net asset value, end of period	$	22.64		$	18.71		$	25.75		$	46.15		$	37.80		$	34.18
Total Returnc		21.00	%		(27.34	%)		(44.20	%)		23.06	%		15.22	%		(1.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,235		$	1,158		$	2,003		$	2,199		$	6,136		$	8,455
Ratios to average net assets:
Net investment income (loss)		(2.39	%)		(2.28	%)		(2.34	%)		(1.03	%)		2.17	%		2.87	%
Total expenses		2.51	%		2.46	%		2.46	%		2.76	%		2.67	%		2.40	%
Operating expensesd		2.51	%		2.46	%		2.46	%		2.45	%		2.67	%		2.40	%
Portfolio turnover rate		—			—			—			214	%		—			—

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 121

INVERSE RUSSELL 2000^® STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.79		$	27.01		$	48.05		$	39.07		$	35.02		$	36.98
Income (loss) from investment operations:
Net investment income (loss)b		(.18	)		(.38	)		(.53	)		(.19	)		1.05			1.36
Net gain (loss) on investments (realized and unrealized)		4.41			(6.84	)		(20.51	)		9.56			4.41			(1.63	)
Total from investment operations		4.23			(7.22	)		(21.04	)		9.37			5.46			(.27	)
Less distributions from:
Net investment income		—			—			—			(.39	)		(1.41	)		(1.69	)
Total distributions		—			—			—			(.39	)		(1.41	)		(1.69	)
Net asset value, end of period	$	24.02		$	19.79		$	27.01		$	48.05		$	39.07		$	35.02
Total Returnc		21.37	%		(26.73	%)		(43.79	%)		23.93	%		16.10	%		(0.67	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	52,903		$	9,572		$	25,924		$	30,131		$	42,554		$	48,718
Ratios to average net assets:
Net investment income (loss)		(1.68	%)		(1.53	%)		(1.58	%)		(0.45	%)		2.93	%		3.56	%
Total expenses		1.77	%		1.71	%		1.71	%		1.97	%		1.89	%		1.65	%
Operating expensesd		1.77	%		1.71	%		1.71	%		1.70	%		1.89	%		1.65	%
Portfolio turnover rate		—			—			—			214	%		—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Operating expenses exclude interest and dividend expense from securities sold short.

122 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

S&P 500 PURE GROWTH FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500 Pure Growth Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
Chipotle Mexican Grill,
Inc. — Class A	2.2	%
Amazon.com, Inc.	2.1	%
Apple, Inc.	2.1	%
Priceline.com, Inc.	1.9	%
Cognizant Technology
Solutions Corp. — Class A	1.5	%
AutoZone, Inc.	1.5	%
Red Hat, Inc.	1.5	%
Intuitive Surgical, Inc.	1.5	%
Coach, Inc.	1.5	%
Whole Foods Market, Inc.	1.4	%
Top Ten Total	17.2	%

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

the RYDEX | SGI series funds semi-annual report | 123

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

S&P 500 PURE GROWTH FUND

	Share		Value
COMMON STOCKS† - 99.4%
CONSUMER DISCRETIONARY - 32.5%
Chipotle Mexican Grill, Inc. — Class A*		4,170	$	1,263,302
Amazon.com, Inc.*		5,469		1,182,562
Priceline.com, Inc.*		2,419		1,087,244
AutoZone, Inc.*		2,674		853,514
Coach, Inc.		16,203		839,801
Expedia, Inc.		31,088		800,516
Ross Stores, Inc.		9,792		770,532
O’Reilly Automotive, Inc.*		11,082		738,394
Discovery Communications, Inc. — Class A*		19,598		737,277
Wynn Resorts Ltd.		6,202		713,726
Starbucks Corp.		19,027		709,517
Nordstrom, Inc.		14,331		654,640
Netflix, Inc.*		5,190		587,300
Limited Brands, Inc.		15,090		581,116
DIRECTV — Class A*		13,462		568,769
Wyndham Worldwide Corp.		18,030		514,035
Ralph Lauren Corp. — Class A		3,895		505,181
Tiffany & Co.		8,300		504,806
Darden Restaurants, Inc.		10,705		457,639
Bed Bath & Beyond, Inc.*		7,935		454,755
TJX Companies, Inc.		7,893		437,825
Comcast Corp. — Class A		17,108		357,557
CarMax, Inc.*		14,189		338,408
Hasbro, Inc.		10,239		333,894
Yum! Brands, Inc.		6,679		329,876
Urban Outfitters, Inc.*		14,724		328,640
Apollo Group, Inc. — Class A*		7,542		298,739
Family Dollar Stores, Inc.		5,779		293,920
Cablevision Systems Corp. — Class A		18,600		292,578
DeVry, Inc.		7,910		292,354
Starwood Hotels & Resorts Worldwide, Inc.		4,571		177,446
NIKE, Inc. — Class B		2,040		174,440
Interpublic Group of Companies, Inc.		22,885		164,772
Scripps Networks Interactive, Inc. — Class A		3,520		130,838
Total Consumer Discretionary				18,475,913
INFORMATION TECHNOLOGY - 26.5%
Apple, Inc.*		3,060		1,166,411
Cognizant Technology Solutions Corp. — Class A*		13,915		872,470
Red Hat, Inc.*		20,068		848,074
Salesforce.com, Inc.*		6,447		736,763
Western Digital Corp.*		26,962		693,463
Mastercard, Inc. — Class A		2,095		664,450
Teradata Corp.*		12,285		657,616
eBay, Inc.*		21,999		648,751
Visa, Inc.		7,017		601,497
NetApp, Inc.*		16,303		553,324
F5 Networks, Inc.*		7,150		508,008
Google, Inc. — Class A*		944		485,575
Oracle Corp.		15,192		436,618
Citrix Systems, Inc.*		7,906		431,114
Intuit, Inc.		9,078		430,660
Broadcom Corp. — Class A		12,743		424,214
Micron Technology, Inc.*		83,050		418,572
SanDisk Corp.*		10,213		412,095
EMC Corp.		18,659		391,652
Akamai Technologies, Inc.*		17,995		357,741
JDS Uniphase Corp.*		32,857		327,584
Juniper Networks, Inc.*		17,493		301,929
FLIR Systems, Inc.		11,646		291,732
BMC Software, Inc.*		7,560		291,514
International Business Machines Corp.		1,637		286,524
Altera Corp.		8,301		261,731
Analog Devices, Inc.		8,286		258,937
Symantec Corp.*		15,463		252,047
Linear Technology Corp.		8,737		241,578
Amphenol Corp. — Class A		5,858		238,831
Advanced Micro Devices, Inc.*		41,990		213,309
Microsoft Corp.		7,908		196,830
Xilinx, Inc.		6,766		185,659
Total Information Technology				15,087,273
HEALTH CARE - 17.2%
Intuitive Surgical, Inc.*		2,321		845,494
CIGNA Corp.		19,005		797,070
Watson Pharmaceuticals, Inc.*		11,390		777,367
Biogen Idec, Inc.*		7,809		727,408
Tenet Healthcare Corp.*		153,668		634,649
Cerner Corp.*		7,882		540,075
Allergan, Inc.		6,236		513,722
Edwards Lifesciences Corp.*		6,670		475,438
Mylan, Inc.*		26,790		455,430
Gilead Sciences, Inc.		11,419		443,057
Celgene Corp.*		6,861		424,833
Life Technologies Corp.*		10,633		408,626
Medco Health Solutions, Inc.*		7,524		352,800
Laboratory Corporation of America Holdings*		3,992		315,568
St. Jude Medical, Inc.		8,581		310,546
Express Scripts, Inc. — Class A*		8,140		301,750
Waters Corp.*		3,787		285,881
Hospira, Inc.*		7,520		278,240
Varian Medical Systems, Inc.*		4,850		252,976
Patterson Companies, Inc.		8,710		249,367
Eli Lilly & Co.		5,580		206,292
Agilent Technologies, Inc.*		4,955		154,844
Total Health Care				9,751,433

124 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

S&P 500 PURE GROWTH FUND

	Share		Value
INDUSTRIALS - 6.0%
Joy Global, Inc.		9,720	$	606,334
Goodrich Corp.		4,364		526,647
Stericycle, Inc.*		4,589		370,424
Flowserve Corp.		4,806		355,644
Cummins, Inc.		3,872		316,188
WW Grainger, Inc.		1,865		278,892
Deere & Co.		3,492		225,478
Ingersoll-Rand plc		6,998		196,574
Precision Castparts Corp.		1,254		194,947
First Solar, Inc.*		3,012		190,388
Rockwell Automation, Inc.		2,777		155,512
Total Industrials				3,417,028
ENERGY - 5.0%
FMC Technologies, Inc.*		14,462		543,771
National Oilwell Varco, Inc.		9,464		484,746
Cameron International Corp.*		10,871		451,581
Pioneer Natural Resources Co.		6,258		411,589
Diamond Offshore Drilling, Inc.		6,019		329,480
Southwestern Energy Co.*		8,148		271,573
Peabody Energy Corp.		5,453		184,748
Consol Energy, Inc.		4,648		157,707
Total Energy				2,835,195
MATERIALS - 4.6%
CF Industries Holdings, Inc.		5,560		686,048
Newmont Mining Corp.		6,325		397,842
Freeport-McMoRan Copper & Gold, Inc.		11,448		348,592
Mosaic Co.		5,700		279,129
FMC Corp.		3,589		248,215
International Flavors & Fragrances, Inc.		4,385		246,525
Ball Corp.		7,388		229,176
Sigma-Aldrich Corp.		3,224		199,211
Total Materials				2,634,738
CONSUMER STAPLES - 4.0%
Whole Foods Market, Inc.		12,476		814,807
Coca-Cola Enterprises, Inc.		19,228		478,393
Estee Lauder Companies,
Inc. — Class A		5,347		469,680
Dr Pepper Snapple Group, Inc.		8,586		332,965
Coca-Cola Co.		2,810		189,844
Total Consumer Staples				2,285,689
FINANCIALS - 2.5%
Ventas, Inc.		10,696		528,382
IntercontinentalExchange, Inc.*		4,054		479,426
Ameriprise Financial, Inc.		5,857		230,532
CBRE Group, Inc. — Class A*		13,074		175,976
Total Financials				1,414,316
TELECOMMUNICATION SERVICES - 1.1%
American Tower
Corp. — Class A*		7,521		404,630
MetroPCS Communications, Inc.*		24,763		215,686
Total Telecommunication Services				620,316
Total Common Stocks (Cost $52,328,871)				56,521,901

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 2.2%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	695,318		695,318
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		343,887		343,887
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		244,394		244,394
Total Repurchase Agreements (Cost $1,283,599)				1,283,599
Total Investments - 101.6% (Cost $53,612,470)			$	57,805,500
Liabilities, Less Cash & Other Assets — (1.6)%				(927,465	)
Total Net Assets - 100.0%			$	56,878,035

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5. plc — Public Limited Company

See Notes to Financial Statements. the RYDEX SGI | series funds semi-annual report | 125

S&P 500 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $52,328,871)	$	56,521,901
Repurchase agreements, at value (cost $1,283,599)		1,283,599
Cash		792
Receivables:
Securities sold		691,640
Fund shares sold		161,611
Dividends		20,198
Total assets		58,679,741
Liabilities:
Payable for:
Fund shares redeemed		1,696,849
Management fees		36,021
Distribution and service fees		17,108
Transfer agent and administrative fees		12,007
Portfolio accounting fees		4,802
Miscellaneous		34,919
Total liabilities		1,801,706
Net assets	$	56,878,035
Net assets consist of:
Paid in capital	$	62,965,760
Accumulated net investment loss		(243,020	)
Accumulated net realized loss on investments		(10,037,735	)
Net unrealized appreciation on investments		4,193,030
Net assets	$	56,878,035
A-Class:
Net assets	$	5,628,041
Capital shares outstanding		200,201
Net asset value per share	$	28.11
Maximum offering price per share (Net asset value divided by 95.25%)	$	29.51
C-Class:
Net assets	$	7,616,257
Capital shares outstanding		286,923
Net asset value per share	$	26.54
H-Class:
Net assets	$	43,633,737
Capital shares outstanding		1,552,699
Net asset value per share	$	28.10

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	175,898
Interest		53
Total investment income		175,951
Expenses:
Management fees		190,895
Transfer agent and administrative fees		63,632
Distribution and service fees:
A-Class		7,051
C-Class		41,068
H-Class		46,314
Portfolio accounting fees		25,452
Trustees’ fees*		2,712
Miscellaneous		41,847
Total expenses		418,971
Net investment loss		(243,020	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(5,328,756	)
Net realized loss		(5,328,756	)
Net change in unrealized appreciation (depreciation) on:
Investments		(8,105,513	)
Net change in unrealized appreciation (depreciation)		(8,105,513	)
Net realized and unrealized loss		(13,434,269	)
Net decrease in net assets resulting from operations	$	(13,677,289	)

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

126 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P 500 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(243,020	)	$	(476,960	)
Net realized gain (loss) on investments		(5,328,756	)		6,110,300
Net change in unrealized appreciation (depreciation) on investments		(8,105,513	)		7,095,188
Net increase (decrease) in net assets resulting from operations		(13,677,289	)		12,728,528
Distributions to shareholders		—			—
Capital Share Transactions
Proceeds from sale of shares:
A-Class		18,417,178			23,075,207
C-Class		4,206,451			8,392,407
H-Class		189,710,748			452,894,846
Cost of shares redeemed
A-Class		(13,971,781	)		(23,684,382	)
C-Class		(3,571,536	)		(8,275,738	)
H-Class		(174,155,448	)		(439,353,112	)
Net increase from capital share transactions		20,635,612			13,049,228
Net increase in net assets		6,958,323			25,777,756
Net assets:
Beginning of period		49,919,712			24,141,956
End of period	$	56,878,035		$	49,919,712
Accumulated net investment loss at end of period	$	(243,020	)	$	—
Capital Share Activity:
Shares sold
A-Class		541,331			830,903
C-Class		139,510			313,215
H-Class		5,876,355			16,228,786
Shares redeemed
A-Class		(422,697	)		(816,244	)
C-Class		(119,411	)		(302,875	)
H-Class		(5,495,598	)		(15,655,887	)
Net increase in shares		519,490			597,898

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 127

S&P 500 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	33.15		$	26.51		$	15.82		$	25.11		$	27.17		$	26.11
Income (loss) from investment operations:
Net investment lossb		(.13	)		(.18	)		(.18	)		(.11	)		(.15	)		(.13	)
Net gain (loss) on investments (realized and unrealized)		(4.91	)		6.82			10.87			(9.18	)		(1.52	)		1.19
Total from investment operations		(5.04	)		6.64			10.69			(9.29	)		(1.67	)		1.06
Less distributions from:
Net realized gains		—			—			—			—			(.39	)		—
Total distributions		—			—			—			—			(.39	)		—
Net asset value, end of period	$	28.11		$	33.15		$	26.51		$	15.82		$	25.11		$	27.17
Total Returnc		(15.20	%)		25.05	%		67.57	%		(37.00	%)		(6.28	%)		4.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,628		$	2,704		$	1,774		$	2,346		$	5,443		$	2,675
Ratios to average net assets:
Net investment loss		(0.81	%)		(0.65	%)		(0.81	%)		(0.46	%)		(0.53	%)		(0.51	%)
Total expenses		1.53	%		1.53	%		1.52	%		1.53	%		1.51	%		1.52	%
Portfolio turnover rate		318	%		808	%		699	%		573	%		450	%		1,029	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	31.42		$	25.32		$	15.23		$	24.35		$	26.57		$	25.74
Income (loss) from investment operations:
Net investment lossb		(.24	)		(.41	)		(.30	)		(.23	)		(.32	)		(.37	)
Net gain (loss) on investments (realized and unrealized)		(4.64	)		6.51			10.39			(8.89	)		(1.51	)		1.20
Total from investment operations		(4.88	)		6.10			10.09			(9.12	)		(1.83	)		.83
Less distributions from:
Net realized gains		—			—			—			—			(.39	)		—
Total distributions		—			—			—			—			(.39	)		—
Net asset value, end of period	$	26.54		$	31.42		$	25.32		$	15.23		$	24.35		$	26.57
Total Returnc		(15.53	%)		24.09	%		66.25	%		(37.45	%)		(7.02	%)		3.22	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,616		$	8,384		$	6,494		$	2,111		$	4,453		$	3,743
Ratios to average net assets:
Net investment loss		(1.57	%)		(1.53	%)		(1.40	%)		(1.13	%)		(1.21	%)		(1.44	%)
Total expenses		2.27	%		2.29	%		2.28	%		2.29	%		2.27	%		2.28	%
Portfolio turnover rate		318	%		808	%		699	%		573	%		450	%		1,029	%

128 | the RYDEX | SGI series funds semi-annual report 129 See Notes to Financial Statements.

S&P 500 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	33.13		$	26.50		$	15.81		$	25.10		$	27.16		$	26.11
Income (loss) from investment operations:
Net investment lossb		(.14	)		(.26	)		(.14	)		(.09	)		(.17	)		(.14	)
Net gain (loss) on investments (realized and unrealized)		(4.89	)		6.89			10.83			(9.20	)		(1.50	)		1.19
Total from investment operations		(5.03	)		6.63			10.69			(9.29	)		(1.67	)		1.05
Less distributions from:
Net realized gains		—			—			—			—			(.39	)		—
Total distributions		—			—			—			—			(.39	)		—
Net asset value, end of period	$	28.10		$	33.13		$	26.50		$	15.81		$	25.10		$	27.16
Total Returnc		(15.18	%)		25.02	%		67.62	%		(37.01	%)		(6.28	%)		4.02	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	43,634		$	38,831		$	15,874		$	12,512		$	11,937		$	49,087
Ratios to average net assets:
Net investment loss		(0.84	%)		(0.89	%)		(0.60	%)		(0.41	%)		(0.62	%)		(0.53	%)
Total expenses		1.53	%		1.55	%		1.53	%		1.53	%		1.53	%		1.52	%
Portfolio turnover rate		318	%		808	%		699	%		573	%		450	%		1,029	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 129

FUND PROFILE (Unaudited)

September 30, 2011

S&P 500 PURE VALUE FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500 Pure Value Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
Constellation Energy Group, Inc.	3.2	%
Dean Foods Co.	2.5	%
Coventry Health Care, Inc.	2.3	%
Tesoro Corp.	2.2	%
NRG Energy, Inc.	2.2	%
Humana, Inc.	2.0	%
SUPERVALU, Inc.	2.0	%
Tyson Foods, Inc. — Class A	2.0	%
Sears Holdings Corp.	1.8	%
WellPoint, Inc.	1.8	%
Top Ten Total	22.0	%

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

130 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

S&P 500 PURE VALUE FUND

	Share		Value
COMMON STOCKS† - 99.6%
FINANCIALS - 22.0%
Assurant, Inc.		7,555	$	270,469
Capital One Financial Corp.		5,537		219,431
Unum Group		10,021		210,040
Hartford Financial Services Group, Inc.		12,710		205,139
Allstate Corp.		7,893		186,985
Prudential Financial, Inc.		3,852		180,505
XL Group plc — Class A		9,468		177,998
NASDAQ OMX Group, Inc.*		6,149		142,288
ACE Ltd.		2,340		141,804
Bank of America Corp.		21,500		131,580
Travelers Companies, Inc.		2,503		121,971
Cincinnati Financial Corp.		4,386		115,483
Loews Corp.		3,320		114,706
Lincoln National Corp.		6,848		107,034
Fifth Third Bancorp		10,315		104,182
JPMorgan Chase & Co.		3,422		103,071
Principal Financial Group, Inc.		4,470		101,335
Chubb Corp.		1,615		96,884
BB&T Corp.		4,506		96,113
Genworth Financial, Inc. — Class A*		16,679		95,738
SLM Corp.*		7,666		95,442
Discover Financial Services		4,112		94,329
PNC Financial Services Group, Inc.		1,805		86,983
People’s United Financial, Inc.		7,476		85,226
Legg Mason, Inc.		3,178		81,706
Citigroup, Inc.*		3,066		78,551
NYSE Euronext		2,969		69,000
SunTrust Banks, Inc.		3,720		66,774
MetLife, Inc.		2,201		61,650
Torchmark Corp.		1,762		61,423
Regions Financial Corp.		17,427		58,032
Morgan Stanley		3,904		52,704
Goldman Sachs Group, Inc.		530		50,112
Total Financials				3,864,688
UTILITIES - 20.4%
Constellation Energy Group, Inc.		14,738		560,928
NRG Energy, Inc.*		18,215		386,340
Pepco Holdings, Inc.		14,224		269,118
NiSource, Inc.		10,748		229,792
Ameren Corp.		7,048		209,819
FirstEnergy Corp.		3,815		171,332
AES Corp.*		15,096		147,337
DTE Energy Co.		2,829		138,678
Oneok, Inc.		2,090		138,024
Integrys Energy Group, Inc.		2,732		132,830
Edison International		2,982		114,061
CMS Energy Corp.		5,741		113,614
Consolidated Edison, Inc.		1,951		111,246
American Electric Power Company, Inc.		2,740		104,175
Progress Energy, Inc.		1,962		101,475
Duke Energy Corp.		4,895		97,851
Nicor, Inc.		1,697		93,352
CenterPoint Energy, Inc.		4,513		88,545
Northeast Utilities		2,408		81,029
Sempra Energy		1,520		78,280
Xcel Energy, Inc.		3,033		74,885
SCANA Corp.		1,791		72,446
Entergy Corp.		995		65,958
Total Utilities				3,581,115
CONSUMER STAPLES - 14.0%
Dean Foods Co.*		49,821		441,912
SUPERVALU, Inc.		53,584		356,870
Tyson Foods, Inc. — Class A		19,783		343,433
Archer-Daniels-Midland Co.		10,510		260,753
CVS Caremark Corp.		6,803		228,445
Kroger Co.		8,560		187,978
Costco Wholesale Corp.		2,097		172,206
Safeway, Inc.		6,908		114,880
Walgreen Co.		3,124		102,748
Wal-Mart Stores, Inc.		1,797		93,264
ConAgra Foods, Inc.		3,602		87,240
Sysco Corp.		3,152		81,637
Total Consumer Staples				2,471,366
HEALTH CARE - 12.8%
Coventry Health Care, Inc.*		13,754		396,253
Humana, Inc.*		4,921		357,904
WellPoint, Inc.		4,764		310,994
Aetna, Inc.		8,357		303,777
McKesson Corp.		3,673		267,027
Cardinal Health, Inc.		6,060		253,793
UnitedHealth Group, Inc.		4,398		202,836
CareFusion Corp.*		3,834		91,824
Boston Scientific Corp.*		11,615		68,645
Total Health Care				2,253,053
CONSUMER DISCRETIONARY - 9.8%
Sears Holdings Corp.*		5,426		312,104
GameStop Corp. — Class A*		13,285		306,883
AutoNation, Inc.*		5,824		190,911
Whirlpool Corp.		3,099		154,671
JC Penney Company, Inc.		4,560		122,117
DR Horton, Inc.		13,193		119,265
Time Warner, Inc.		3,635		108,941
CBS Corp. — Class B		4,901		99,882
Washington Post Co. — Class B		296		96,783
Gannett Company, Inc.		8,525		81,243
Goodyear Tire & Rubber Co.*		6,952		70,146
Lowe’s Companies, Inc.		3,473		67,168
Total Consumer Discretionary				1,730,114

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 131

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

S&P 500 PURE VALUE FUND

	Share		Value
ENERGY - 8.3%
Tesoro Corp.*		19,876	$	386,986
Valero Energy Corp.		16,873		300,002
Marathon Oil Corp.		9,796		211,398
Sunoco, Inc.		4,345		134,738
ConocoPhillips		1,896		120,055
QEP Resources, Inc.		3,638		98,481
Rowan Companies, Inc.*		3,140		94,796
Marathon Petroleum Corp.		2,473		66,919
Hess Corp.		915		48,001
Total Energy				1,461,376
INDUSTRIALS - 5.2%
L-3 Communications Holdings, Inc.		2,738		169,674
RR Donnelley & Sons Co.		11,949		168,720
Northrop Grumman Corp.		2,557		133,373
Ryder System, Inc.		3,123		117,144
Jacobs Engineering Group, Inc.*		3,515		113,499
Quanta Services, Inc.*		4,909		92,240
General Electric Co.		4,567		69,601
Masco Corp.		8,152		58,042
Total Industrials				922,293
INFORMATION TECHNOLOGY - 3.1%
Jabil Circuit, Inc.		14,392		256,034
Computer Sciences Corp.		5,570		149,555
Dell, Inc.*		5,334		75,476
Xerox Corp.		10,156		70,787
Total Information Technology				551,852
MATERIALS - 3.0%
International Paper Co.		5,944		138,198
MeadWestvaco Corp.		5,206		127,859
Weyerhaeuser Co.		4,882		75,915
AK Steel Holding Corp.		10,537		68,912
Alcoa, Inc.		6,328		60,559
Sealed Air Corp.		3,283		54,826
Total Materials				526,269
TELECOMMUNICATION SERVICES - 1.0%
Sprint Nextel Corp.*		57,325		174,268
Total Common Stocks
(Cost $15,985,642)				17,536,394
Total Investments — 99.6%
(Cost $15,985,642)			$	17,536,394
Other Assets,
Less Liabilities — 0.4%				67,436
Total Net Assets — 100.0%			$	17,603,830

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

132 | The RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P 500 PURE VALUE FUND
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $15,985,642)	$	17,536,394
Receivables:
Securities sold		585,908
Dividends		26,472
Fund shares sold		340
Total assets		18,149,114
Liabilities
Overdraft due to custodian bank		463,536
Payable for:
Fund shares redeemed		17,335
Management fees		12,401
Distribution and service fees		6,859
Transfer agent and administrative fees		4,134
Portfolio accounting fees		1,653
Miscellaneous		39,366
Total liabilities		545,284
Net assets	$	17,603,830
Net assets consist of:
Paid in capital	$	21,503,805
Undistributed net investment income		17,750
Accumulated net realized loss on investments		(5,468,477	)
Net unrealized appreciation on investments		1,550,752
Net assets	$	17,603,830
A-Class:
Net assets	$	1,025,807
Capital shares outstanding		14,064
Net asset value per share	$	72.93
Maximum offering price per share (Net asset value divided by 95.25%)	$	76.57
C-Class:
Net assets	$	3,778,340
Capital shares outstanding		55,834
Net asset value per share	$	67.66
H-Class:
Net assets	$	12,799,683
Capital shares outstanding		174,904
Net asset value per share	$	73.17

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	278,067
Interest		29
Total investment income		278,096
Expenses:
Management fees		118,380
Transfer agent and administrative fees		39,460
Distribution and service fees:
A-Class		2,090
C-Class		25,430
H-Class		31,012
Portfolio accounting fees		15,784
Registration fees		15,832
Trustees’ fees*		1,563
Miscellaneous		10,795
Total expenses		260,346
Net investment income		17,750
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		691,176
Net realized gain		691,176
Net change in unrealized appreciation (depreciation) on:
Investments		(4,506,862	)
Net change in unrealized appreciation (depreciation)		(4,506,862	)
Net realized and unrealized loss		(3,815,686	)
Net decrease in net assets resulting from operations	$	(3,797,936	)

* 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 | SGI series funds semi-annual report | 133

S&P 500 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	17,750		$	(32,522	)
Net realized gain on investments		691,176			8,480,016
Net change in unrealized appreciation (depreciation) on investments		(4,506,862	)		(8,294,860	)
Net increase (decrease) in net assets resulting from operations		(3,797,936	)		152,634
Distributions to shareholders from:
Net investment income
A-Class		—			(16,831	)
C-Class		—			(38,161	)
H-Class		—			(168,310	)
Total distributions to shareholders		—			(223,302	)
Capital share transactions:
Proceeds from sale of shares
A-Class		8,089,217			20,577,766
C-Class		3,019,425			12,317,081
H-Class		151,615,838			446,114,591
Distributions reinvested
A-Class		—			11,816
C-Class		—			32,218
H-Class		—			165,705
Cost of shares redeemed
A-Class		(9,204,919	)		(26,189,401	)
C-Class		(3,874,418	)		(11,762,447	)
H-Class		(163,115,253	)		(567,934,046	)
Net decrease from capital share transactions		(13,470,110	)		(126,666,717	)
Net decrease in net assets		(17,268,046	)		(126,737,385	)
Net assets:
Beginning of period		34,871,876			161,609,261
End of period	$	17,603,830		$	34,871,876
Undistributed net investment income at end of period	$	17,750		$	—
Capital share activity:
Shares sold
A-Class		87,806			251,530
C-Class		36,752			160,280
H-Class		1,684,247			5,470,210
Shares issued from reinvestment of distributions
A-Class		—			149
C-Class		—			436
H-Class		—			2,086
Shares redeemed
A-Class		(99,564	)		(328,247	)
C-Class		(48,665	)		(158,144	)
H-Class		(1,806,067	)		(7,034,879	)
Net decrease in shares		(145,491	)		(1,636,578	)

134 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P 500 PURE VALUE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	90.21		$	79.66		$	35.58		$	100.00		$	167.30		$	145.60
Income (loss) from investment operations:
Net investment incomeb		.16			.01			.26			1.95			2.45			1.85
Net gain (loss) on investments (realized and unrealized)		(17.44	)		11.87			44.60			(57.52	)		(30.50	)		21.65
Total from investment operations		(17.28	)		11.88			44.86			(55.57	)		(28.05	)		23.50
Less distributions from:
Net investment income		—			(1.33	)		(.78	)		(1.05	)		(9.95	)		(1.05	)
Net realized gains		—			—			—			(7.80	)		(29.30	)		(.75	)
Total distributions		—			(1.33	)		(.78	)		(8.85	)		(39.25	)		(1.80	)
Net asset value, end of period	$	72.93		$	90.21		$	79.66		$	35.58		$	100.00		$	167.30
Total Returnc		(19.16	%)		15.14	%		126.37	%		(57.28	%)		(19.98	%)		16.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,026		$	2,329		$	8,156		$	203		$	4,269		$	5,348
Ratios to average net assets:
Net investment income		0.35	%		0.01	%		0.39	%		2.16	%		1.67	%		1.17	%
Total expenses		1.53	%		1.54	%		1.52	%		1.53	%		1.52	%		1.50	%
Portfolio turnover rate		381	%		820	%		673	%		1,448	%		289	%		389	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	83.99		$	74.81		$	33.66		$	96.00		$	163.40		$	143.35
Income (loss) from investment operations:
Net investment income (loss)b		(.17	)		(.51	)		(.02	)		1.40			.70			.45
Net gain (loss) on investments (realized and unrealized)		(16.16	)		11.02			41.95			(54.89	)		(28.85	)		21.40
Total from investment operations		(16.33	)		10.51			41.93			(53.49	)		(28.15	)		21.85
Less distributions from:
Net investment income		—			(1.33	)		(.78	)		(1.05	)		(9.95	)		(1.05	)
Net realized gains		—			—			—			(7.80	)		(29.30	)		(.75	)
Total distributions		—			(1.33	)		(.78	)		(8.85	)		(39.25	)		(1.80	)
Net asset value, end of period	$	67.66		$	83.99		$	74.81		$	33.66		$	96.00		$	163.40
Total Returnc		(19.44	%)		14.28	%		124.86	%		(57.55	%)		(20.57	%)		15.31	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,778		$	5,690		$	4,876		$	1,129		$	1,838		$	21,075
Ratios to average net assets:
Net investment income (loss)		(0.43	%)		(0.68	%)		(0.03	%)		2.44	%		0.48	%		0.29	%
Total expenses		2.28	%		2.29	%		2.27	%		2.29	%		2.29	%		2.27	%
Portfolio turnover rate		381	%		820	%		673	%		1,448	%		289	%		389	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 135

S&P 500 PURE VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	90.50		$	79.91		$	35.67		$	100.00		$	167.30		$	145.60
Income (loss) from investment operations:
Net investment income (loss)b		.09			(.02	)		.32			1.40			1.80			1.75
Net gain (loss) on investments (realized and unrealized)		(17.42	)		11.94			44.70			(56.88	)		(29.85	)		21.75
Total from investment operations		(17.33	)		11.92			45.02			(55.48	)		(28.05	)		23.50
Less distributions from:
Net investment income		—			(1.33	)		(.78	)		(1.05	)		(9.95	)		(1.05	)
Net realized gains		—			—			—			(7.80	)		(29.30	)		(.75	)
Total distributions		—			(1.33	)		(.78	)		(8.85	)		(39.25	)		(1.80	)
Net asset value, end of period	$	73.17		$	90.50		$	79.91		$	35.67		$	100.00		$	167.30
Total Returnc		(19.15	%)		15.14	%		126.50	%		(57.23	%)		(19.98	%)		16.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,800		$	26,852		$	148,578		$	4,558		$	18,459		$	184,082
Ratios to average net assets:
Net investment income (loss)		0.21	%		(0.03	%)		0.47	%		2.36	%		1.11	%		1.12	%
Total expenses		1.53	%		1.54	%		1.54	%		1.53	%		1.53	%		1.51	%
Portfolio turnover rate		381	%		820	%		673	%		1,448	%		289	%		389	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Reverse share split — Per share amounts for the period March 31, 2007 through April 19, 2009 have been restated to reflect a 1:5 reverse share split effective April 20, 2009.

136 | the RYDEX | SGI series funds semi-annual report 129 See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

S&P MIDCAP 400 PURE GROWTH FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400 Pure Growth Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
Green Mountain Coffee Roasters, Inc.	4.9	%
Deckers Outdoor Corp.	2.4	%
Rackspace Hosting, Inc.	2.2	%
NewMarket Corp.	2.2	%
Medicis Pharmaceutical Corp. — Class A	2.0	%
Hansen Natural Corp.	1.9	%
Cooper Companies, Inc.	1.8	%
Ascena Retail Group, Inc.	1.6	%
Fossil, Inc.	1.6	%
Under Armour, Inc. — Class A	1.6	%
Top Ten Total	22.2	%

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

the RYDEX | SGI series funds semi-annual report | 137

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
S&P MIDCAP 400 PURE GROWTH FUND

	Shares		Value
COMMON STOCKS† - 99.5%
CONSUMER DISCRETIONARY - 30.8%
Deckers Outdoor Corp.*		54,324	$	5,066,256
Ascena Retail Group, Inc.*		127,981		3,464,446
Fossil, Inc.*		42,675		3,459,235
Under Armour, Inc. — Class A*		51,903		3,446,878
Valassis Communications, Inc.*		176,800		3,313,232
Tractor Supply Co.		48,481		3,032,487
Cheesecake Factory, Inc.*		120,226		2,963,571
LKQ Corp.*		121,175		2,927,588
Panera Bread Co. — Class A*		27,838		2,893,482
Dollar Tree, Inc.*		38,088		2,860,790
Life Time Fitness, Inc.*		73,433		2,706,006
Guess?, Inc.		93,585		2,666,237
Polaris Industries, Inc.		45,988		2,298,020
PVH Corp.		38,052		2,216,148
AMC Networks, Inc. — Class A*		68,600		2,191,770
PetSmart, Inc.		48,933		2,086,992
Dick’s Sporting Goods, Inc.*		61,229		2,048,722
Tupperware Brands Corp.		33,032		1,775,140
Warnaco Group, Inc.*		37,717		1,738,377
Chico’s FAS, Inc.		150,608		1,721,449
Aeropostale, Inc.*		148,413		1,604,345
Advance Auto Parts, Inc.		26,058		1,513,970
ITT Educational Services, Inc.*		25,357		1,460,056
Williams-Sonoma, Inc.		43,257		1,331,883
DreamWorks Animation SKG, Inc. — Class A*		68,504		1,245,403
ANN, Inc.*		51,093		1,166,964
Bally Technologies, Inc.*		28,629		772,410
Gentex Corp.		29,266		703,847
Strayer Education, Inc.		7,270		557,391
Lamar Advertising Co. — Class A*		24,355		414,766
WMS Industries, Inc.*		22,345		393,049
Total Consumer Discretionary				66,040,910
INFORMATION TECHNOLOGY - 24.7%
Rackspace Hosting, Inc.*		137,435		4,692,031
TIBCO Software, Inc.*		143,102		3,204,054
Informatica Corp. — Class A		75,230		3,080,669
VeriFone Systems, Inc.*		81,200		2,843,624
Equinix, Inc.*		28,480		2,529,878
Riverbed Technology, Inc.		120,675		2,408,673
Skyworks Solutions, Inc.*		119,616		2,145,911
ANSYS, Inc.*		42,338		2,076,256
Solera Holdings, Inc.		40,255		2,032,877
Factset Research Systems, Inc.		22,724		2,021,754
Advent Software, Inc.*		91,698		1,911,903
Polycom, Inc.*		100,297		1,842,456
MICROS Systems, Inc.*		37,546		1,648,645
Alliance Data Systems Corp.*		17,639		1,635,135
Cree, Inc.*		62,256		1,617,411
Gartner, Inc.*		45,408		1,583,377
Concur Technologies, Inc.*		42,415		1,578,686
Rovi Corp.*		34,069		1,464,286
Semtech Corp.*		60,945		1,285,940
Global Payments, Inc.		28,694		1,158,951
ADTRAN, Inc.		38,403		1,016,143
NeuStar, Inc. — Class A*		39,400		990,516
Atmel Corp.*		115,522		932,263
Jack Henry & Associates, Inc.		31,958		926,143
Lender Processing Services, Inc.		66,376		908,687
Quest Software, Inc.*		54,700		868,636
Silicon Laboratories, Inc.*		25,544		855,979
ACI Worldwide, Inc.*		28,979		798,082
RF Micro Devices, Inc.*		113,565		720,002
Zebra Technologies Corp. — Class A*		23,042		712,919
QLogic Corp.*		53,800		682,184
Digital River, Inc.*		32,684		677,539
Total Information Technology				52,851,610
HEALTH CARE - 18.0%
Medicis Pharmaceutical Corp. — Class A		118,592		4,326,236
Cooper Companies, Inc.		48,294		3,822,470
Perrigo Co.		33,129		3,217,157
Allscripts Healthcare Solutions, Inc.*		161,760		2,914,915
Kinetic Concepts, Inc.*		43,661		2,876,823
Catalyst Health Solutions, Inc.*		43,982		2,537,322
Mednax, Inc.*		40,504		2,537,171
IDEXX Laboratories, Inc.*		33,089		2,282,148
ResMed, Inc.*		62,708		1,805,363
Endo Pharmaceuticals Holdings, Inc.		63,816		1,786,210
Thoratec Corp.*		53,733		1,753,845
Health Management Associates, Inc. — Class A*		250,030		1,730,208
Universal Health Services, Inc. — Class B		47,108		1,601,672
United Therapeutics Corp.*		42,600		1,597,074
Lincare Holdings, Inc.		62,176		1,398,960
Gen-Probe, Inc.*		24,434		1,398,847
Mettler-Toledo International, Inc.*		7,528		1,053,619
Total Health Care				38,640,040
ENERGY - 6.9%
Dresser-Rand Group, Inc.*		67,919		2,752,757
Oceaneering International, Inc.		72,264		2,553,810
Atwood Oceanics, Inc.*		71,259		2,448,459
Dril-Quip, Inc.*		35,048		1,889,438
Bill Barrett Corp.*		45,329		1,642,723
Northern Oil and Gas, Inc.*		79,949		1,550,211
Oil States International, Inc.*		22,000		1,120,240
CARBO Ceramics, Inc.		8,825		904,827
Total Energy				14,862,465

138 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
S&P MIDCAP 400 PURE GROWTH FUND

	Shares		Value
CONSUMER STAPLES - 6.8%
Green Mountain Coffee Roasters, Inc.*		113,932	$	10,588,840
Hansen Natural Corp.		46,158		4,029,132
Total Consumer Staples				14,617,972
INDUSTRIALS - 4.1%
Triumph Group, Inc.		59,846		2,916,894
BE Aerospace, Inc.		86,349		2,859,015
Copart, Inc.*		36,850		1,441,572
Woodward, Inc.		31,916		874,499
Rollins, Inc.		41,882		783,612
Total Industrials				8,875,592
MATERIALS - 3.8%
NewMarket Corp.		30,487		4,630,061
Intrepid Potash, Inc.*		66,200		1,646,394
Compass Minerals International, Inc.		18,117		1,209,853
Albemarle Corp.		15,458		624,503
Total Materials				8,110,811
FINANCIALS - 3.5%
SL Green Realty Corp.		36,629		2,129,976
Macerich Co.		36,967		1,575,903
Jones Lang LaSalle, Inc.		19,377		1,003,923
MSCI, Inc. — Class A*		31,009		940,503
Waddell & Reed Financial, Inc. — Class A		36,165		904,487
Corporate Office Properties Trust		39,617		862,858
Total Financials				7,417,650
TELECOMMUNICATION SERVICES - 0.9%
tw telecom, Inc. — Class A*		110,460		1,824,799
Total Common Stocks (Cost $204,835,551)				213,241,849
WARRANT*,†† - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		18		5
Total Warrant (Cost $—)				5

	face
	amount		value
REPURCHASE AGREEMENTS††,1 - 0.7%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	801,183	$	801,183
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		396,246		396,246
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		281,603		281,603
Total Repurchase Agreements (Cost $1,479,032)				1,479,032
Total Investments – 100.2% (Cost $206,314,583)			$	214,720,886
Liabilities, Less
Other Assets – (0.2)%			$	(472,780	)
Total Net Assets – 100.0%			$	214,248,106

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 139

S&P MIDCAP 400 PURE GROWTH FUND

STATEMENTOF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $204,835,551)	$	213,241,854
Repurchase agreements, at value (cost $1,479,032)		1,479,032
Receivables:
Securities sold		3,777,664
Fund shares sold		165,970
Dividends		68,355
Total assets		218,732,875
Liabilities:
Payable for:
Fund shares redeemed		4,100,421
Management fees		135,586
Distribution and service fees		52,260
Transfer agent and administrative fees		45,195
Portfolio accounting fees		18,078
Miscellaneous		133,229
Total liabilities		4,484,769
NET ASSETS	$	214,248,106
Net Assets Consist of:
Paid in capital	$	237,764,579
Accumulated net investment loss		(1,515,264	)
Accumulated net realized loss on investments		(30,407,512	)
Net unrealized appreciation on investments		8,406,303
Net assets	$	214,248,106
A-Class:
Net assets	$	38,005,028
Capital shares outstanding		1,053,427
Net asset value per share	$	36.07
Maximum offering price per share
(Net asset value divided by 95.25%)	$	37.87
C-Class:
Net assets	$	10,280,858
Capital shares outstanding		302,269
Net asset value per share	$	34.01
H-CLASS:
Net assets	$	165,962,220
Capital shares outstanding		4,596,146
Net asset value per share	$	36.11

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	433,368
Interest		208
Total investment income		433,576
Expenses:
Management fees		938,550
Transfer agent and administrative fees		312,850
Distribution and service fees:
A-Class		36,122
C-Class		56,887
H-Class		262,506
Portfolio accounting fees		123,147
Trustees’ fees*		9,193
Miscellaneous		209,585
Total expenses		1,948,840
Net investment loss		(1,515,264	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(20,939,382	)
Net realized loss		(20,939,382	)
Net change in unrealized appreciation (depreciation) on:
Investments		(29,216,722	)
Net change in unrealized appreciation (depreciation)		(29,216,722	)
Net realized and unrealized loss		(50,156,104	)
Net decrease in net assets resulting from operations	$	(51,671,368	)

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

140 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P MIDCAP 400 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(1,515,264	)	$	(1,206,546	)
Net realized gain (loss) on investments		(20,939,382	)		11,940,557
Net change in unrealized appreciation (depreciation) on investments		(29,216,722	)		25,095,377
Net increase (decrease) in net assets resulting from operations		(51,671,368	)		35,829,388
Distributions To Shareholders		—			—
Capital Share Transactions:
Proceeds From Sale Of Shares
A-Class		74,491,849			48,413,965
C-Class		8,893,512			16,223,181
H-Class		454,906,545			621,590,504
Cost of Shares Redeemed
A-Class		(54,925,222	)		(27,798,637	)
C-Class		(6,557,502	)		(11,666,481	)
H-Class		(458,883,107	)		(505,069,223	)
Net increase from capital share transactions		17,926,075			141,693,309
Net increase (decrease) in net assets		(33,745,293	)		177,522,697
Net Assets:
Beginning of period		247,993,399			70,470,702
End of period	$	214,248,106		$	247,993,399
Accumulated net investment loss at end of period	$	(1,515,264	)	$	—
Capital Share Activity:
Shares sold
A-Class		1,789,060			1,303,426
C-Class		221,488			465,724
H-Class		10,697,621			17,350,447
Shares redeemed
A-Class		(1,325,811	)		(782,853	)
C-Class		(168,838	)		(339,178	)
H-Class		(11,069,360	)		(14,381,054	)
Net increase in shares		144,160			3,616,512

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 141

S&P MIDCAP 400 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	42.76		$	32.21		$	18.19		$	26.65		$	30.72		$	31.94
Income (loss) from investment operations:
Net investment lossb		(.24	)		(.38	)		(.28	)		(.24	)		(.27	)		(.08	)
Net gain (loss) on investments (realized and unrealized)		(6.45	)		10.93			14.30			(8.22	)		(1.42	)		.48
Total from investment operations		(6.69	)		10.55			14.02			(8.46	)		(1.69	)		.40
Less distributions from:
Net realized gains		—			—			—			—			(2.38	)		(1.62	)
Total distributions		—			—			—			—			(2.38	)		(1.62	)
Net asset value, end of period	$	36.07		$	42.76		$	32.21		$	18.19		$	26.65		$	30.72
Total Returnc		(15.65	%)		32.75	%		77.08	%		(31.74	%)		(6.26	%)		(1.36	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	38,005		$	25,237		$	2,242		$	723		$	3,863		$	2,777
Ratios to average net assets:
Net investment loss		(1.17	%)		(1.04	%)		(1.03	%)		(0.93	%)		(0.88	%)		(0.25	%)
Total expenses		1.52	%		1.54	%		1.53	%		1.58	%		1.52	%		1.51	%
Portfolio turnover rate		147	%		448	%		626	%		1,281	%		736	%		537	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	40.47		$	30.71		$	17.48		$	25.79		$	30.01		$	31.47
Income (loss) from investment operations:
Net investment lossb		(.38	)		(.63	)		(.44	)		(.42	)		(.50	)		(.42	)
Net gain (loss) on investments (realized and unrealized)		(6.08	)		10.39			13.67			(7.89	)		(1.34	)		.58
Total from investment operations		(6.46	)		9.76			13.23			(8.31	)		(1.84	)		.16
Less distributions from:
Net realized gains		—			—			—			—			(2.38	)		(1.62	)
Total distributions		—			—			—			—			(2.38	)		(1.62	)
Net asset value, end of period	$	34.01		$	40.47		$	30.71		$	17.48		$	25.79		$	30.01
Total Returnc		(15.96	%)		31.78	%		75.69	%		(32.22	%)		(6.92	%)		0.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,281		$	10,102		$	3,780		$	3,477		$	1,426		$	5,316
Ratios to average net assets:
Net investment loss		(1.91	%)		(1.83	%)		(1.77	%)		(1.72	%)		(1.69	%)		(1.40	%)
Total expenses		2.27	%		2.29	%		2.28	%		2.32	%		2.28	%		2.27	%
Portfolio turnover rate		147	%		448	%		626	%		1,281	%		736	%		537	%

142 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P MIDCAP 400 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	42.81		$	32.25		$	18.21		$	26.68		$	30.75		$	31.95
Income (loss) from investment operations:
Net investment lossb		(.25	)		(.38	)		(.26	)		(.22	)		(.28	)		(.24	)
Net gain (loss) on investments (realized and unrealized)		(6.45	)		10.94			14.30			(8.25	)		(1.41	)		.66
Total from investment operations		(6.70	)		10.56			14.04			(8.47	)		(1.69	)		.42
Less distributions from:
Net realized gains		—			—			—			—			(2.38	)		(1.62	)
Total distributions		—			—			—			—			(2.38	)		(1.62	)
Net asset value, end of period	$	36.11		$	42.81		$	32.25		$	18.21		$	26.68		$	30.75
Total Returnc		(15.65	%)		32.74	%		77.10	%		(31.75	%)		(6.25	%)		1.42	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	165,962		$	212,654		$	64,449		$	15,591		$	14,158		$	7,715
Ratios to average net assets:
Net investment loss		(1.18	%)		(1.02	%)		(0.99	%)		(0.95	%)		(0.92	%)		(0.80	%)
Total expenses		1.52	%		1.55	%		1.54	%		1.55	%		1.51	%		1.52	%
Portfolio turnover rate		147	%		448	%		626	%		1,281	%		736	%		537	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 143

FUND PROFILE (Unaudited) September 30, 2011

S&P MIDCAP 400 PURE VALUE FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400 Pure Value Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)
PNM Resources, Inc.	2.8	%
Omnicare, Inc.	2.7	%
First American Financial Corp.	2.5	%
Tech Data Corp.	2.5	%
Ingram Micro, Inc. — Class A	2.3	%
Smithfield Foods, Inc.	2.3	%
Barnes & Noble, Inc.	2.2	%
Kemper Corp.	2.1	%
CoreLogic, Inc.	2.1	%
Fidelity National Financial, Inc. — Class A	2.0	%
Top Ten Total	23.5	%

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

144 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
S&P MIDCAP 400 PURE VALUE FUND

	Shares		Value
COMMON STOCKS† - 99.8%
FINANCIALS - 24.7%
First American Financial Corp.		12,044	$	154,163
Kemper Corp.		5,508		131,972
Fidelity National Financial, Inc.		8,142		123,596
Reinsurance Group of America, Inc. — Class A		2,225		102,239
Transatlantic Holdings, Inc.		1,999		96,991
American Financial Group, Inc.		2,731		84,852
Everest Re Group Ltd.		1,050		83,349
Protective Life Corp.		4,499		70,319
Hanover Insurance Group, Inc.		1,885		66,917
WR Berkley Corp.		2,100		62,349
Mercury General Corp.		1,399		53,652
HCC Insurance Holdings, Inc.		1,976		53,451
Old Republic International Corp.		5,614		50,077
BancorpSouth, Inc.		5,460		47,939
StanCorp Financial Group, Inc.		1,690		46,593
Washington Federal, Inc.		3,346		42,628
International Bancshares Corp.		3,078		40,476
Hospitality Properties Trust		1,841		39,084
Fulton Financial Corp.		4,574		34,991
Astoria Financial Corp.		4,172		32,083
Webster Financial Corp.		1,849		28,290
Associated Banc-Corp.		2,966		27,584
Apollo Investment Corp.		3,035		22,823
First Niagara Financial Group, Inc.		2,440		22,326
Synovus Financial Corp.		20,479		21,912
Total Financials				1,540,656
CONSUMER DISCRETIONARY - 13.8%
Barnes & Noble, Inc.		11,500		136,045
Regis Corp.		6,059		85,371
Collective Brands, Inc.*		6,240		80,870
American Greetings Corp. — Class A		4,355		80,568
Wendy’s Co.		16,350		75,046
Scholastic Corp.		2,633		73,803
Bob Evans Farms, Inc.		2,069		59,008
Rent-A-Center, Inc. — Class A		2,116		58,084
RadioShack Corp.		4,690		54,498
Foot Locker, Inc.		2,290		46,006
Mohawk Industries, Inc.*		960		41,194
Career Education Corp.*		2,140		27,927
MDC Holdings, Inc.		1,300		22,022
KB Home		2,960		17,346
Total Consumer Discretionary				857,788
INFORMATION TECHNOLOGY - 11.5%
Tech Data Corp.*		3,550		153,466
Ingram Micro, Inc. — Class A*		8,948		144,331
CoreLogic, Inc.*		12,021		128,264
Arrow Electronics, Inc.		3,901		108,370
Avnet, Inc.*		4,133		107,789
AOL, Inc.*		4,034		48,408
Convergys Corp.*		2,726		25,570
Total Information Technology				716,198
UTILITIES - 11.1%
PNM Resources, Inc.		10,664		175,210
Questar Corp.		5,250		92,977
Atmos Energy Corp.		2,543		82,520
N.V. Energy, Inc.		4,912		72,256
Great Plains Energy, Inc.		3,437		66,334
WGL Holdings, Inc.		1,326		51,807
UGI Corp.		1,782		46,813
Hawaiian Electric Industries, Inc.		1,657		40,232
Vectren Corp.		1,284		34,771
IDACORP, Inc.		866		32,717
Total Utilities				695,637
HEALTH CARE - 11.0%
Omnicare, Inc.		6,554		166,668
Kindred Healthcare, Inc.		13,240		114,129
Owens & Minor, Inc.		3,974		113,180
Health Net, Inc.*		3,819		90,548
LifePoint Hospitals, Inc.*		2,311		84,675
Community Health Systems, Inc.		4,304		71,619
Teleflex, Inc.		878		47,210
Total Health Care				688,029
INDUSTRIALS - 10.9%
URS Corp.*		3,842		113,954
Brink’s Co.		3,396		79,161
KBR, Inc.		3,169		74,883
Granite Construction, Inc.		3,455		64,850
AECOM Technology Corp.*		3,316		58,594
Manpower, Inc.		1,674		56,280
Shaw Group, Inc.*		2,353		51,154
Harsco Corp.		2,489		48,262
JetBlue Airways Corp.*		10,286		42,173
Trinity Industries, Inc.		1,661		35,562
Alliant Techsystems, Inc.		612		33,360
Con-way, Inc.		1,001		22,152
Total Industrials				680,385
CONSUMER STAPLES - 6.4%
Smithfield Foods, Inc.*		7,200		140,400
Universal Corp.		3,165		113,497
Ruddick Corp.		2,028		79,072
Ralcorp Holdings, Inc.*		853		65,433
Total Consumer Staples				398,402
MATERIALS - 5.6%
Ashland, Inc.		2,276		100,463
Temple-Inland, Inc.		1,626		51,008
Commercial Metals Co.		5,311		50,508
Reliance Steel & Aluminum Co.		1,340		45,573
Olin Corp.		1,713		30,851
Worthington Industries, Inc.		2,048		28,610
Cabot Corp.		933		23,120
Louisiana-Pacific Corp.*		3,638		18,554
Total Materials				348,687

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 145

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
S&P MIDCAP 400 PURE VALUE FUND

	Shares		Value
ENERGY - 4.1%
Helix Energy Solutions Group, Inc.*		4,590	$	60,129
Southern Union Co.		1,380		55,986
Overseas Shipholding Group, Inc.		3,431		47,142
Tidewater, Inc.		917		38,560
HollyFrontier Corp.		1,280		33,562
Exterran Holdings, Inc.*		1,908		18,546
Total Energy				253,925
TELECOMMUNICATION SERVICES - 0.7%
Telephone & Data Systems, Inc.		1,990		42,287
Total Common Stocks (Cost $5,376,541)				6,221,994
WARRANT*,†† - 0.0%
CONSUMER DISCRETIONARY - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		176		51
Total Warrant (Cost $—)				51

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 0.9%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	29,464	$	29,464
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		14,573		14,573
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		10,356		10,356
Total Repurchase Agreements (Cost $54,393)				54,393
Total Investments – 100.7% (Cost $5,430,934)			$	6,276,438
Liabilities, Less
Other Assets – (0.7)%				(43,494	)
Total Net Assets – 100.0%			$	6,232,944

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.

146 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P MIDCAP 400 PURE VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $5,376,541)	$	6,222,045
Repurchase agreements, at value (cost $54,393)		54,393
Receivables:
Securities sold		1,684,711
Dividends		14,391
Fund shares sold		17
Total assets		7,975,557
Liabilities:
Payable for:
Fund shares redeemed		1,674,018
Management fees		15,502
Distribution and service fees		6,009
Transfer agent and administrative fees		5,167
Portfolio accounting fees		2,067
Miscellaneous		39,850
Total liabilities		1,742,613
Net Assets	$	6,232,944
Net assets consist of:
Paid in capital	$	17,029,951
Accumulated net investment loss		(20,181	)
Accumulated net realized loss on investments		(11,622,330	)
Net unrealized appreciation on investments		845,504
Net assets	$	6,232,944
A-Class:
Net assets	$	510,605
Capital shares outstanding		21,550
Net asset value per share	$	23.69
Maximum offering price per share (Net asset value divided by 95.25%)	$	24.87
C-Class:
Net assets	$	1,323,729
Capital shares outstanding		59,693
Net asset value per share	$	22.17
H-Class:
Net assets	$	4,398,610
Capital shares outstanding		185,744
Net asset value per share	$	23.68

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011
Investment Income:
Dividends	$	300,113
Interest		32
Total investment income		300,145
Expenses:
Management fees		154,256
Transfer agent and administrative fees		51,419
Distribution and service fees:
A-Class		902
C-Class		8,605
H-Class		48,366
Portfolio accounting fees		20,568
Trustees’ fees*		1,965
Miscellaneous		34,245
Total expenses		320,326
Net investment loss		(20,181	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on: Investments		(6,282,424	)
Net realized loss		(6,282,424	)
Net change in unrealized appreciation (depreciation) on: Investments		(5,982,439	)
Net change in unrealized appreciation (depreciation)		(5,982,439	)
Net realized and unrealized loss		(12,264,863	)
Net decrease in net assets resulting from operations	$	(12,285,044	)

* 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 | SGI series funds semi-annual report | 147

S&P MIDCAP 400 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(20,181	)	$	(129,387	)
Net realized loss on investments		(6,282,424	)		(606,918	)
Net change in unrealized appreciation (depreciation) on investments		(5,982,439	)		(15,191,426	)
Net decrease in net assets resulting from operations		(12,285,044	)		(15,927,731	)
Distributions To Shareholders From:
Net investment income
A-Class		—			(4,094	)
C-Class		—			(10,678	)
H-Class		—			(217,178	)
Net realized gains
A-Class		—			(62,048	)
C-Class		—			(161,851	)
H-Class		—			(3,291,876	)
Total distributions to shareholders		—			(3,747,725	)
Capital Share Transactions:
Proceeds From Sale Of Shares
A-Class		153,136			47,393,406
C-Class		1,430,029			3,405,437
H-Class		97,013,960			300,937,705
Distributions Reinvested
A-Class		—			59,087
C-Class		—			169,667
H-Class		—			3,493,240
Cost of Shares Redeemed
A-Class		(235,137	)		(54,039,897	)
C-Class		(1,973,341	)		(3,799,622	)
H-Class		(135,172,436	)		(433,465,765	)
Net decrease from capital share transactions		(38,783,789	)		(135,846,742	)
Net decrease in net assets		(51,068,833	)		(155,522,198	)
Net Assets:
Beginning of period		57,301,777			212,823,975
End of period	$	6,232,944		$	57,301,777
Accumulated net investment loss at end of period	$	(20,181	)	$	—
Capital Share Activity:
Shares sold
A-Class		5,012			1,703,485
C-Class		54,853			120,225
H-Class		3,364,103			10,052,190
Shares issued from reinvestment of distributions
A-Class		—			2,048
C-Class		—			6,245
H-Class		—			121,125
Shares redeemed
A-Class		(8,425	)		(2,038,144	)
C-Class		(73,398	)		(133,794	)
H-Class		(4,903,467	)		(15,002,876	)
Net decrease in shares		(1,561,322	)		(5,169,496	)

148 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P MIDCAP 400 PURE VALUE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	31.43		$	30.45		$	13.68		$	29.72		$	36.58		$	31.83
Income (loss) from investment operations:
Net investment incomeb		.01			.02			.12			.47			.44			.34
Net gain (loss) on investments (realized and unrealized)		(7.75	)		3.64			16.75			(16.51	)		(6.37	)		4.57
Total from investment operations		(7.74	)		3.66			16.87			(16.04	)		(5.93	)		4.91
Less distributions from:
Net investment income		—			(.17	)		(.10	)		—			(.93	)		—
Net realized gains		—			(2.51	)		—			—			—			(.16	)
Total distributions		—			(2.68	)		(.10	)		—			(.93	)		(.16	)
Net asset value, end of period	$	23.69		$	31.43		$	30.45		$	13.68		$	29.72		$	36.58
Total Returnc		(24.63	%)		12.81	%		123.41	%		(53.97	%)		(16.45	%)		15.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	511		$	785		$	10,888		$	100		$	2,797		$	4,744
Ratios to average net assets:
Net investment income		0.07	%		0.08	%		0.43	%		1.66	%		1.25	%		1.00	%
Total expenses		1.52	%		1.53	%		1.52	%		1.54	%		1.53	%		1.53	%
Portfolio turnover rate		228	%		407	%		443	%		977	%		297	%		625	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	29.53		$	28.96		$	13.12		$	28.78		$	35.75		$	31.34
Income (loss) from investment operations:
Net investment income (loss)b		(.10	)		(.23	)		(.06	)		.39			.30			.11
Net gain (loss) on investments (realized and unrealized)		(7.26	)		3.49			16.00			(16.05	)		(6.34	)		4.46
Total from investment operations		(7.36	)		3.26			15.94			(15.66	)		(6.04	)		4.57
Less distributions from:
Net investment income		—			(.17	)		(.10	)		—			(.93	)		—
Net realized gains		—			(2.51	)		—			—			—			(.16	)
Total distributions		—			(2.68	)		(.10	)		—			(.93	)		(.16	)
Net asset value, end of period	$	22.17		$	29.53		$	28.96		$	13.12		$	28.78		$	35.75
Total Returnc		(24.92	%)		12.03	%		121.59	%		(54.41	%)		(17.15	%)		14.61	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,324		$	2,311		$	2,478		$	627		$	1,082		$	8,326
Ratios to average net assets:
Net investment income (loss)		(0.73	%)		(0.83	%)		(0.24	%)		1.58	%		0.88	%		0.33	%
Total expenses		2.28	%		2.30	%		2.29	%		2.29	%		2.28	%		2.28	%
Portfolio turnover rate		228	%		407	%		443	%		977	%		297	%		625	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 149

S&P MIDCAP 400 PURE VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	31.42		$	30.43		$	13.67		$	29.71		$	36.58		$	31.82
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		(.06	)		.10			.47			.35			.46
Net gain (loss) on investments (realized and unrealized)		(7.73	)		3.73			16.76			(16.51	)		(6.29	)		4.46
Total from investment operations		(7.74	)		3.67			16.86			(16.04	)		(5.94	)		4.92
Less distributions from:
Net investment income		—			(.17	)		(.10	)		—			(.93	)		—
Net realized gains		—			(2.51	)		—			—			—			(.16	)
Total distributions		—			(2.68	)		(.10	)		—			(.93	)		(.16	)
Net asset value, end of period	$	23.68		$	31.42		$	30.43		$	13.67		$	29.71		$	36.58
Total Returnc		(24.63	%)		12.85	%		123.43	%		(53.99	%)		(16.48	%)		15.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,399		$	54,206		$	199,458		$	3,985		$	6,512		$	76,513
Ratios to average net assets:
Net investment income (loss)		(0.07	%)		(0.19	%)		0.37	%		2.01	%		0.96	%		1.39	%
Total expenses		1.53	%		1.54	%		1.53	%		1.54	%		1.54	%		1.52	%
Portfolio turnover rate		228	%		407	%		443	%		977	%		297	%		625	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

150 | the RYDEX SGI | series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

S&P SMALLCAP 600 PURE GROWTH FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600 Pure Growth Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings (% of Total Net Assets)
Hi-Tech Pharmacal Company, Inc.	2.0	%
Sturm Ruger & Company, Inc.	2.0	%
Questcor Pharmaceuticals, Inc.	1.6	%
Regeneron Pharmaceuticals, Inc.	1.5	%
Crocs, Inc.	1.4	%
Liquidity Services, Inc.	1.4	%
BJ’s Restaurants, Inc.	1.4	%
Sourcefire, Inc.	1.3	%
Air Methods Corp.	1.3	%
RightNow Technologies, Inc.	1.3	%
Top Ten Total	15.2	%

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

the RYDEX | SGI series funds semi-annual report | 151

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

S&P SMALLCAP 600 PURE GROWTH FUND

	Shares		Value
COMMON STOCKS† - 99.5%
INFORMATION TECHNOLOGY - 32.7%
Liquidity Services, Inc.*		7,986	$	256,111
Sourcefire, Inc.*		9,324		249,510
RightNow Technologies, Inc.*		7,212		238,357
Cirrus Logic, Inc.*		16,010		235,987
CommVault Systems, Inc.*		5,746		212,947
Interactive Intelligence Group*		7,628		207,100
Synchronoss Technologies, Inc.*		8,135		202,643
LivePerson, Inc.*		19,236		191,398
Cardtronics, Inc.*		6,889		157,896
Tyler Technologies, Inc.*		5,888		148,849
MicroStrategy, Inc. — Class A*		1,274		145,325
Ceva, Inc.*		5,960		144,888
Taleo Corp. — Class A*		5,534		142,334
Kopin Corp.*		41,460		142,208
Wright Express Corp.*		3,725		141,699
Volterra Semiconductor Corp.*		7,367		141,667
Kulicke & Soffa Industries, Inc.*		18,569		138,525
MAXIMUS, Inc.		3,917		136,703
Bottomline Technologies, Inc.*		6,561		132,139
Ebix, Inc.*		8,681		127,611
Entropic Communications, Inc.*		28,688		118,481
Blackbaud, Inc.		5,292		117,853
comScore, Inc.*		6,983		117,803
Blue Coat Systems, Inc.*		7,894		109,569
Virtusa Corp.*		7,680		101,376
Netscout Systems, Inc.*		8,666		98,966
Power Integrations, Inc.		3,214		98,381
OSI Systems, Inc.*		2,870		96,202
Oplink Communications, Inc.*		6,314		95,594
TTM Technologies, Inc.*		9,794		93,141
Synaptics, Inc.*		3,690		88,191
Stamps.com, Inc.		4,291		87,708
TriQuint Semiconductor, Inc.		17,279		86,741
Diodes, Inc.*		4,800		86,016
j2 Global Communications, Inc.*		2,970		79,893
Mercury Computer Systems, Inc.*		6,871		79,016
Perficient, Inc.*		10,404		76,157
Nanometrics, Inc.		5,203		75,443
Rubicon Technology, Inc.*		6,860		74,980
Netgear, Inc.*		2,607		67,495
Websense, Inc.*		3,693		63,889
JDA Software Group, Inc.*		2,689		63,030
Hittite Microwave Corp.*		1,270		61,849
Littelfuse, Inc.		1,390		55,892
CSG Systems International, Inc.*		4,368		55,211
Monolithic Power Systems, Inc.*		5,096		51,877
Novatel Wireless, Inc.*		16,743		50,564
Forrester Research, Inc.		1,480		48,115
DTS, Inc.*		1,890		46,929
Stratasys, Inc.*		2,529		46,888
Veeco Instruments, Inc.*		1,733		42,285
Viasat, Inc.*		1,244		41,438
DG FastChannel, Inc.*		2,405		40,765
iGate Corp.		3,162		36,489
Smith Micro Software, Inc.*		10,666		16,212
Total Information Technology				6,064,336
CONSUMER DISCRETIONARY - 25.1%
Sturm Ruger & Company, Inc.		13,921		361,668
Crocs, Inc.*		11,337		268,347
BJ’s Restaurants, Inc.*		5,744		253,368
Jos A. Bank Clothiers, Inc.*		4,814		224,477
Buffalo Wild Wings, Inc.*		3,464		207,147
True Religion Apparel, Inc.*		6,575		177,262
Peet’s Coffee & Tea, Inc.*		2,900		161,356
Steven Madden Ltd.*		5,309		159,801
Buckle, Inc.		4,154		159,763
Texas Roadhouse, Inc. — Class A		11,916		157,529
DineEquity, Inc.*		3,940		151,651
Coinstar, Inc.*		3,630		145,200
Cabela’s, Inc.*		6,878		140,930
Iconix Brand Group, Inc.*		8,548		135,058
Interval Leisure Group, Inc.*		9,924		132,188
HSN, Inc.		3,979		131,824
Monro Muffler Brake, Inc.		3,980		131,221
Lumber Liquidators Holdings, Inc.*		7,484		113,008
Maidenform Brands, Inc.		4,620		108,154
Hibbett Sports, Inc.*		3,120		105,737
CEC Entertainment, Inc.		3,503		99,730
iRobot Corp.*		3,950		99,382
Kirkland’s, Inc.*		10,732		98,412
Arbitron, Inc.		2,949		97,553
Zumiez, Inc.*		5,498		96,270
National Presto Industries, Inc.		1,069		92,907
Cracker Barrel Old Country Store, Inc.		2,283		91,503
PF Chang’s China Bistro, Inc.		3,141		85,561
American Public Education, Inc.*		2,310		78,540
Biglari Holdings, Inc.*		262		77,654
Blue Nile, Inc.*		1,872		66,044
Carter’s, Inc.*		1,750		53,445
Universal Electronics, Inc.*		2,645		43,352
Capella Education Co.*		1,448		41,094
PetMed Express, Inc.		4,430		39,870
Kid Brands, Inc.*		14,647		38,668
Universal Technical Institute, Inc.*		2,608		35,443
Total Consumer Discretionary				4,661,117
HEALTH CARE - 21.7%
Hi-Tech Pharmacal Company, Inc.*		11,172		375,379
Questcor Pharmaceuticals, Inc.*		10,570		288,138
Regeneron Pharmaceuticals, Inc.*		4,884		284,249
Air Methods Corp.*		3,908		248,822
Quality Systems, Inc.		2,308		223,876
MWI Veterinary Supply, Inc.*		2,934		201,918
Healthspring, Inc.*		5,119		186,639
HMS Holdings Corp.*		7,085		172,803

152 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

S&P SMALLCAP 600 PURE GROWTH FUND

	Shares		Value
Par Pharmaceutical Companies, Inc.*		6,109	$	162,622
Cubist Pharmaceuticals, Inc.*		4,554		160,847
IPC The Hospitalist Company, Inc.*		4,168		148,756
Arqule, Inc.*		27,711		139,941
Neogen Corp.*		3,967		137,734
Align Technology, Inc.*		7,373		111,848
PAREXEL International Corp.*		5,692		107,750
Cyberonics, Inc.*		3,610		102,163
Corvel Corp.*		2,374		100,895
Ensign Group, Inc.		4,336		100,205
Bio-Reference Labs, Inc.*		5,102		93,928
Integra LifeSciences Holdings Corp.*		2,319		82,951
Viropharma, Inc.		4,500		81,315
Abaxis, Inc.*		3,480		79,727
Salix Pharmaceuticals Ltd.*		2,687		79,535
Kensey Nash Corp.*		2,522		61,789
Chemed Corp.		1,120		61,555
Haemonetics Corp.*		1,025		59,942
Zoll Medical Corp.*		1,448		54,647
Almost Family, Inc.*		2,790		46,398
NuVasive, Inc.*		2,707		46,208
Enzo Biochem, Inc.*		10,830		27,833
Total Health Care				4,030,413
FINANCIALS - 4.8%
World Acceptance Corp.*		3,534		197,727
Cash America International, Inc.		2,966		151,741
First Cash Financial Services, Inc.*		3,479		145,944
Ezcorp, Inc. — Class A*		4,690		133,853
Portfolio Recovery Associates, Inc.*		1,725		107,329
eHealth, Inc.*		3,809		52,031
Stifel Financial Corp.*		1,907		50,650
Signature Bank*		930		44,389
Total Financials				883,664
MATERIALS - 4.5%
Buckeye Technologies, Inc.		7,220		174,074
Hawkins, Inc.		5,073		161,524
Balchem Corp.		4,223		157,560
Schweitzer-Mauduit International, Inc.		2,663		148,782
KapStone Paper and Packaging Corp.*		10,340		143,623
Quaker Chemical Corp.		1,891		49,015
Total Materials				834,578
INDUSTRIALS - 4.4%
Dolan Co.*		17,547		157,748
Allegiant Travel Co. — Class A*		2,093		98,643
GT Advanced Technologies, Inc.*		14,040		98,561
Consolidated Graphics, Inc.*		2,567		93,772
Exponent, Inc.*		1,960		81,007
II-VI, Inc.*		3,770		65,975
American Science & Engineering, Inc.		1,050		64,102
Vicor Corp.		6,485		56,744
Healthcare Services Group, Inc.		3,150		50,841
Orion Marine Group, Inc.*		6,964		40,182
Total Industrials				807,575
CONSUMER STAPLES - 4.0%
TreeHouse Foods, Inc.*		2,817		174,203
Medifast, Inc.*		8,477		136,904
Boston Beer Company, Inc. — Class A*		1,744		126,789
Darling International, Inc.		9,766		122,954
Inter Parfums, Inc.		6,080		93,936
Calavo Growers, Inc.		4,343		89,118
Total Consumer Staples				743,904
ENERGY - 1.4%
Gulfport Energy Corp.*		6,284		151,947
Contango Oil & Gas Co.*		1,838		100,557
Total Energy				252,504
TELECOMMUNICATION SERVICES - 0.9%
Atlantic Tele-Network, Inc.		2,292		75,361
Neutral Tandem, Inc.*		6,920		66,986
Cbeyond, Inc.*		4,270		30,146
Total Telecommunication Services				172,493
Total Common Stocks (Cost $15,227,002)				18,450,584
Total Investments — 99.5% (Cost $15,227,002)			$	18,450,584
Other Assets, Less Liabilities — 0.5%				86,854
Total Net Assets — 100.0%			$	18,537,438

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

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 153

S&P SMALLCAP 600 PURE GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $15,227,002)	$	18,450,584
Receivables:
Securities sold		3,888,495
Dividends		3,426
Fund shares sold		2,645
Total assets		22,345,150
Liabilities:
Overdraft due to custodian bank		113,343
Payable for:
Fund shares redeemed		3,639,085
Management fees		10,282
Distribution and service fees		5,031
Transfer agent and administrative fees		3,428
Portfolio accounting fees		1,371
Miscellaneous		35,172
Total liabilities		3,807,712
Net assets	$	18,537,438
Net assets consist of:
Paid in capital	$	31,248,761
Accumulated net investment loss		(538,818	)
Accumulated net realized loss on investments		(15,396,087	)
Net unrealized appreciation on investments		3,223,582
Net assets	$	18,537,438
A-Class:
Net assets	$	8,380,674
Capital shares outstanding		279,933
Net asset value per share	$	29.94
Maximum offering price per share
(Net asset value divided by 95.25%)	$	31.43
C-Class:
Net assets	$	2,231,424
Capital shares outstanding		78,793
Net asset value per share	$	28.32
H-Class:
Net assets	$	7,925,340
Capital shares outstanding		264,783
Net asset value per share	$	29.93

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	86,329
Interest		71
Total investment income		86,400
Expenses:
Management fees		301,510
Transfer agent and administrative fees		100,503
Distribution and service fees:
A-Class		3,275
C-Class		16,059
H-Class		93,214
Portfolio accounting fees		40,201
Trustees’ fees*		3,903
Miscellaneous		66,553
Total expenses		625,218
Net investment loss		(538,818	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(4,922,120	)
Net realized loss		(4,922,120	)
Net change in unrealized appreciation (depreciation) on:
Investments		(11,629,277	)
Net change in unrealized appreciation (depreciation)		(11,629,277	)
Net realized and unrealized loss		(16,551,397	)
Net decrease in net assets resulting from operations	$	(17,090,215	)

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

154 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P SMALLCAP 600 PURE GROWTH FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(538,818	)	$	(524,500	)
Net realized loss on investments		(4,922,120	)		(2,358,973	)
Net change in unrealized appreciation (depreciation) on investments		(11,629,277	)		11,640,140
Net increase (decrease) in net assets resulting from operations		(17,090,215	)		8,756,667
Distributions To Shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		23,781,945			22,007,416
C-Class		2,407,629			5,904,587
H-Class		184,158,658			414,097,385
Cost of shares redeemed
A-Class		(17,207,342	)		(20,788,528	)
C-Class		(2,669,569	)		(4,935,070	)
H-Class		(252,114,461	)		(340,251,324	)
Net increase (decrease) from capital share transactions		(61,643,140	)		76,034,466
Net increase (decrease) in net assets		(78,733,355	)		84,791,133
Net assets:
Beginning of period		97,270,793			12,479,660
End of period	$	18,537,438		$	97,270,793
Accumulated net investment loss at end of period	$	(538,818	)	$	—
Capital share activity:
Shares sold
A-Class		729,790			759,208
C-Class		70,515			197,736
H-Class		5,031,836			13,305,001
Shares redeemed
A-Class		(508,528	)		(726,863	)
C-Class		(81,405	)		(168,877	)
H-Class		(7,320,084	)		(11,105,623	)
Net increase (decrease) in shares		(2,077,876	)		2,260,582

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 155

S&P SMALLCAP 600 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	36.06		$	28.49		$	16.93		$	27.43		$	32.61		$	32.25
Income (loss) from investment operations:
Net investment lossb		(.22	)		(.34	)		(.28	)		(.19	)		(.13	)		(.29	)
Net gain (loss) on investments (realized and unrealized)		(5.90	)		7.91			11.84			(10.31	)		(3.72	)		.65
Total from investment operations		(6.12	)		7.57			11.56			(10.50	)		(3.85	)		.36
Less distributions from:
Net realized gains		—			—			—			—			(1.33	)		—
Total distributions		—			—			—			—			(1.33	)		—
Net asset value, end of period	$	29.94		$	36.06		$	28.49		$	16.93		$	27.43		$	32.61
Total Returnc		(16.97	%)		26.57	%		68.28	%		(33.28	%)		(12.27	%)		1.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,381		$	2,115		$	750		$	117		$	1,938		$	1,408
Ratios to average net assets:
Net investment loss		(1.27	%)		(1.15	%)		(1.15	%)		(0.73	%)		(0.40	%)		(0.93	%)
Total expenses		1.52	%		1.54	%		1.54	%		1.54	%		1.52	%		1.56	%
Portfolio turnover rate		209	%		732	%		1,476	%		1,066	%		834	%		623	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	34.25		$	27.25		$	16.32		$	26.65		$	31.94		$	31.82
Income (loss) from investment operations:
Net investment lossb		(.33	)		(.54	)		(.42	)		(.32	)		(.51	)		(.58	)
Net gain (loss) on investments (realized and unrealized)		(5.60	)		7.54			11.35			(10.01	)		(3.45	)		.70
Total from investment operations		(5.93	)		7.00			10.93			(10.33	)		(3.96	)		.12
Less distributions from:
Net realized gains		—			—			—			—			(1.33	)		—
Total distributions		—			—			—			—			(1.33	)		—
Net asset value, end of period	$	28.32		$	34.25		$	27.25		$	16.32		$	26.65		$	31.94
Total Returnc		(17.31	%)		25.69	%		66.97	%		(38.76	%)		(12.88	%)		0.38	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,231		$	3,072		$	1,658		$	369		$	1,980		$	7,570
Ratios to average net assets:
Net investment loss		(2.02	%)		(1.80	%)		(1.82	%)		(1.28	%)		(1.57	%)		(1.83	%)
Total expenses		2.27	%		2.29	%		2.28	%		2.29	%		2.29	%		2.32	%
Portfolio turnover rate		209	%		732	%		1,476	%		1,066	%		834	%		623	%

156 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P SMALLCAP 600 PURE GROWTH FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	36.07		$	28.48		$	16.94		$	27.45		$	32.62		$	32.27
Income (loss) from investment operations:
Net investment lossb		(.24	)		(.34	)		(.25	)		(.13	)		(.26	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		(5.90	)		7.93			11.79			(10.38	)		(3.58	)		.68
Total from investment operations		(6.14	)		7.59			11.54			(10.51	)		(3.84	)		.35
Less distributions from:
Net realized gains		—			—			—			—			(1.33	)		—
Total distributions		—			—			—			—			(1.33	)		—
Net asset value, end of period	$	29.93		$	36.07		$	28.48		$	16.94		$	27.45		$	32.62
Total Returnc		(17.02	%)		26.65	%		68.12	%		(38.29	%)		(12.23	%)		1.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,925		$	92,084		$	10,072		$	9,795		$	6,259		$	18,171
Ratios to average net assets:
Net investment loss		(1.31	%)		(1.07	%)		(1.05	%)		(0.55	%)		(0.79	%)		(1.05	%)
Total expenses		1.53	%		1.55	%		1.53	%		1.56	%		1.53	%		1.53	%
Portfolio turnover rate		209	%		732	%		1,476	%		1,066	%		834	%		623	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 157

FUND PROFILE (Unaudited) September 30, 2011

S&P SMALLCAP 600 PURE VALUE FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600 Pure Value Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:

A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings
(% of Total Net Assets)

Agilysys, Inc.	3.2	%
CIBER, Inc.	2.2	%
SWS Group, Inc.	2.2	%
PharMerica Corp.	2.1	%
Audiovox Corp. — Class A	2.0	%
Seneca Foods Corp. — Class A	1.9	%
O’Charleys, Inc.	1.7	%
School Specialty, Inc.	1.6	%
Red Robin Gourmet Burgers, Inc.	1.5	%
Hot Topic, Inc.	1.5	%
Top Ten Total	19.9	%

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

158 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

S&P SMALLCAP 600 PURE VALUE FUND

	Shares		Value
COMMON STOCKS† - 106.1%
CONSUMER DISCRETIONARY - 29.6%
Audiovox Corp. — Class A*		22,618	$	124,173
O’Charleys, Inc.*		17,825		105,880
Red Robin Gourmet Burgers, Inc.*		3,911		94,216
Hot Topic, Inc.		11,741		89,584
Lithia Motors, Inc. — Class A		6,134		88,207
Tuesday Morning Corp.*		22,821		80,330
MarineMax, Inc.*		11,249		72,781
La-Z-Boy, Inc.*		9,363		69,380
Spartan Motors, Inc.		16,783		69,314
Blyth, Inc.		1,200		66,540
Group 1 Automotive, Inc.		1,862		66,194
Fred’s, Inc. — Class A		5,609		59,792
Sonic Automotive, Inc. — Class A		5,451		58,816
Standard Motor Products, Inc.		4,380		56,809
Standard Pacific Corp.*		22,659		55,968
Boyd Gaming Corp.*		10,501		51,455
Stage Stores, Inc.		3,526		48,906
Corinthian Colleges, Inc.*		28,442		44,370
PEP Boys-Manny Moe & Jack		4,243		41,878
Callaway Golf Co.		8,084		41,794
Zale Corp.*		14,476		41,257
Christopher & Banks Corp.		10,694		37,750
Haverty Furniture Companies, Inc.		3,730		37,263
Stein Mart, Inc.		5,656		35,350
Ruth’s Hospitality Group, Inc.*		7,542		32,355
Brown Shoe Company, Inc.		4,517		32,161
Quiksilver, Inc.*		10,026		30,579
Jack in the Box, Inc.		1,432		28,525
Live Nation Entertainment, Inc.*		3,221		25,800
Helen of Troy Ltd.*		1,025		25,748
Multimedia Games Holding Company, Inc.*		4,908		19,828
Coldwater Creek, Inc.*		11,861		14,826
Marcus Corp.		1,481		14,736
Skechers U.S.A., Inc. — Class A*		1,008		14,142
Ruby Tuesday, Inc.*		1,810		12,960
OfficeMax, Inc.*		2,305		11,179
Total Consumer Discretionary				1,800,846
INDUSTRIALS - 17.2%
School Specialty, Inc.*		13,603		96,989
Skywest, Inc.		6,883		79,223
Navigant Consulting, Inc.*		6,650		61,646
EMCOR Group, Inc.		2,544		51,720
Apogee Enterprises, Inc.		5,876		50,475
Lydall, Inc.*		5,604		49,876
United Stationers, Inc.		1,756		47,851
Gibraltar Industries, Inc.*		5,867		47,640
Federal Signal Corp.		10,699		47,290
ABM Industries, Inc.		2,232		42,542
Universal Forest Products, Inc.		1,755		42,208
Comfort Systems USA, Inc.		4,998		41,583
Dycom Industries, Inc.*		2,395		36,644
G&K Services, Inc. — Class A		1,434		36,624
On Assignment, Inc.*		4,689		33,151
Briggs & Stratton Corp.		2,438		32,937
Powell Industries, Inc.*		952		29,483
Lawson Products, Inc.		2,163		29,244
Griffon Corp.*		3,546		29,006
Kelly Services, Inc. — Class A		2,264		25,810
GenCorp, Inc.*		5,701		25,598
CDI Corp.		2,336		24,948
Curtiss-Wright Corp.		767		22,113
Standex International Corp.		709		22,071
Standard Register Co.		8,349		21,123
AAR Corp.		1,035		17,253
Total Industrials				1,045,048
FINANCIALS - 15.9%
SWS Group, Inc.		28,090		131,742
Presidential Life Corp.		6,817		56,036
Stewart Information Services Corp.		5,813		51,387
Hanmi Financial Corp.*		58,477		48,536
Selective Insurance Group, Inc.		3,231		42,165
Wintrust Financial Corp.		1,624		41,915
Bank Mutual Corp.		15,075		39,346
United Community Banks, Inc.*		4,622		39,241
Horace Mann Educators Corp.		3,242		36,991
First BanCorp.*		13,080		36,624
Susquehanna Bancshares, Inc.		6,480		35,446
Investment Technology Group, Inc.*		3,420		33,482
Piper Jaffray Cos.*		1,842		33,027
Delphi Financial Group, Inc. — Class A		1,377		29,633
Navigators Group, Inc.*		598		25,834
United Fire & Casualty Co.		1,456		25,757
AMERISAFE, Inc.*		1,355		24,946
Interactive Brokers Group, Inc. — Class A		1,754		24,433
Infinity Property & Casualty Corp.		465		24,403
First Midwest Bancorp, Inc.		3,057		22,377
Northwest Bancshares, Inc.		1,806		21,509
Boston Private Financial Holdings, Inc.		3,559		20,927
Pinnacle Financial Partners, Inc.*		1,910		20,895
Safety Insurance Group, Inc.		498		18,839
FNB Corp.		2,050		17,568
Prospect Capital Corp.		1,945		16,357
Kite Realty Group Trust		4,024		14,728
Cedar Shopping Centers, Inc.		3,826		11,899
Wilshire Bancorp, Inc.*		4,328		11,859
PrivateBancorp, Inc.		1,496		11,250
Total Financials				969,152
INFORMATION TECHNOLOGY - 15.1%
Agilysys, Inc.*		27,049		192,859
CIBER, Inc.*		44,702		135,447
Insight Enterprises, Inc.		5,857		88,675

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 159

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
S&P SMALLCAP 600 PURE VALUE FUND

	Shares		Value
SYNNEX Corp.*		2,900	$	75,980
Brightpoint, Inc.*		6,551		60,335
Scansource, Inc.*		1,690		49,956
Benchmark Electronics, Inc.*		3,439		44,741
CACI International, Inc. — Class A*		882		44,047
United Online, Inc.		6,985		36,532
Brooks Automation, Inc.		4,088		33,317
Black Box Corp.		1,305		27,862
Anixter International, Inc.		508		24,100
Infospace, Inc.*		2,873		24,018
Digi International, Inc.		2,164		23,804
Comtech Telecommunications Corp.		735		20,646
Arris Group, Inc.*		1,859		19,148
THQ, Inc.*		9,527		16,482
Total Information Technology				917,949
HEALTH CARE - 10.4%
PharMerica Corp.*		9,128		130,257
Centene Corp.*		2,968		85,093
Molina Healthcare, Inc.*		4,806		74,205
Cambrex Corp.*		14,007		70,595
Healthways, Inc.*		6,362		62,538
Amsurg Corp. — Class A*		1,891		42,547
Cross Country Healthcare, Inc.*		8,336		34,844
Invacare Corp.		1,477		34,030
Symmetry Medical, Inc.*		4,400		33,968
Amedisys, Inc.*		2,094		31,033
CONMED Corp.*		934		21,491
Gentiva Health Services, Inc.*		2,153		11,885
Total Health Care				632,486
CONSUMER STAPLES - 7.0%
Seneca Foods Corp. — Class A*		5,865		116,127
Alliance One International, Inc.*		32,133		78,405
Spartan Stores, Inc.		4,629		71,657
Central Garden and Pet
Co. — Class A*		7,276		51,514
Nash Finch Co.		1,795		48,339
Sanderson Farms, Inc.		773		36,718
Casey’s General Stores, Inc.		585		25,535
Total Consumer Staples				428,295
UTILITIES - 3.9%
Central Vermont Public
Service Corp.		2,260		79,575
Laclede Group, Inc.		1,275		49,406
Avista Corp.		1,656		39,496
NorthWestern Corp.		793		25,328
CH Energy Group, Inc.		424		22,120
Southwest Gas Corp.		542		19,604
Total Utilities				235,529
MATERIALS - 3.5%
A. Schulman, Inc.		2,979		50,613
Wausau Paper Corp.		6,199		39,612
Myers Industries, Inc.		3,599		36,530
Kaiser Aluminum Corp.		665		29,446
AM Castle & Co.*		2,104		23,018
Stepan Co.		318		21,363
Headwaters, Inc.*		8,808		12,683
Total Materials				213,265
ENERGY - 2.9%
World Fuel Services Corp.		1,858		60,664
Hornbeck Offshore Services, Inc.*		2,289		57,019
Matrix Service Co.*		3,096		26,347
Bristow Group, Inc.		473		20,069
Tetra Technologies, Inc.*		1,842		14,220
Total Energy				178,319
TELECOMMUNICATION SERVICES - 0.6%
Cincinnati Bell, Inc.*		11,859		36,644
Total Common Stocks
(Cost $5,446,186)				6,457,533
RIGHTS†† - 0.0%
First BanCorp.
Expires 12/31/11		11,931		—
Total Rights
(Cost $—)				—
	Face
	Amount
REPURCHASE AGREEMENTS††,1 -2.5%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	80,963		80,963
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		40,043		40,043
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		28,457		28,457
Total Repurchase Agreements
(Cost $149,463)				149,463
Total Investments —108.6%
(Cost $5,595,649)			$	6,606,996
Liabilities & Other Assets — (8.6)%				(523,402	)
Total Net Assets — 100.0%			$	6,083,594

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.

160 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P SMALLCAP 600 PURE VALUE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $5,446,186)	$	6,457,533
Repurchase agreements, at value (cost $149,463)		149,463
Receivables:
Securities sold		1,728,533
Dividends		10,169
Fund shares sold		419
Total assets		8,346,117
Liabilities:
Payable for:
Fund shares redeemed		2,180,569
Management fees		13,229
Distribution and service fees		5,250
Transfer agent and administrative fees		4,410
Portfolio accounting fees		1,764
Miscellaneous		57,301
Total liabilities		2,262,523
Net Assets	$	6,083,594
NET ASSETS CONSIST OF:
Paid in capital	$	44,739,997
Accumulated net investment loss		(71,380	)
Accumulated net realized loss on investments		(39,596,370	)
Net unrealized appreciation on investments		1,011,347
Net assets	$	6,083,594
A-Class:
Net assets	$	527,979
Capital shares outstanding		40,945
Net asset value per share	$	12.89
Maximum offering price per share
(Net asset value divided by 95.25%)	$	13.53
C-Class:
Net assets	$	1,410,434
Capital shares outstanding		120,733
Net asset value per share	$	11.68
H-Class:
Net assets	$	4,145,181
Capital shares outstanding		322,833
Net asset value per share	$	12.85

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	73,041
Interest		21
Total investment income		73,062
Expenses:
Management fees		67,688
Transfer agent and administrative fees		22,563
Distribution and service fees:
A-Class		3,577
C-Class		8,528
H-Class		16,853
Portfolio accounting fees		9,025
Registration fees		7,627
Trustees’ fees*		1,569
Miscellaneous		7,012
Total expenses		144,442
Net investment loss		(71,380	)
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(2,576,954	)
Futures contracts		63,018
Net realized loss		(2,513,936	)
Net change in unrealized appreciation (depreciation) on:
Investments		(3,911,686	)
Net change in unrealized appreciation (depreciation)		(3,911,686	)
Net realized and unrealized loss		(6,425,622	)
Net decrease in net assets resulting from operations	$	(6,497,002	)

* 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 | SGI series funds semi-annual report | 161

S&P SMALLCAP 600 PURE VALUE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(71,380	)	$	(496,202	)
Net realized loss on investments		(2,513,936	)		(32,740,838	)
Net change in unrealized appreciation (depreciation) on investments		(3,911,686	)		(23,416,369	)
Net decrease in net assets resulting from operations		(6,497,002	)		(56,653,409	)
Distributions to shareholders from:
Net realized gains
A-Class		—			(259,417	)
C-Class		—			(594,105	)
H-Class		—			(3,228,330	)
Total distributions to shareholders		—			(4,081,852	)
Capital share transactions:
Proceeds from sale of shares
A-Class		1,080,756			87,881,068
C-Class		1,238,985			10,097,253
H-Class		55,999,550			544,333,378
Distributions reinvested
A-Class		—			249,100
C-Class		—			532,082
H-Class		—			3,141,985
Cost of shares redeemed
A-Class		(8,663,913	)		(75,909,416	)
C-Class		(1,609,095	)		(15,728,991	)
H-Class		(62,533,613	)		(697,821,686	)
Net decrease from capital share transactions		(14,487,330	)		(143,225,227	)
Net decrease in net assets		(20,984,332	)		(203,960,488	)
Net assets:
Beginning of period		27,067,926			231,028,414
End of period	$	6,083,594		$	27,067,926
Accumulated net investment loss at end of period	$	(71,380	)	$	—
Capital share activity:
Shares sold
A-Class		62,366			4,918,837
C-Class		86,327			565,219
H-Class		3,726,375			29,253,756
Shares issued from reinvestment of distributions
A-Class		—			15,637
C-Class		—			36,594
H-Class		—			197,609
Shares redeemed
A-Class		(529,213	)		(4,708,722	)
C-Class		(107,057	)		(952,937	)
H-Class		(4,323,211	)		(39,594,125	)
Net decrease in shares		(1,084,413	)		(10,268,132	)

162 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

S&P SMALLCAP 600 PURE VALUE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	17.42		$	19.60		$	11.08		$	26.56		$	35.54		$	33.40
Income (loss) from investment operations:
Net investment income (loss)b		(.07	)		(.13	)		(.13	)		.50			.26			.23
Net gain (loss) on investments (realized and unrealized)		(4.46	)		1.20			15.44			(15.61	)		(8.97	)		1.94
Total from investment operations		(4.53	)		1.07			15.31			(15.11	)		(8.71	)		2.17
Less distributions from:
Net investment income		—			—			(.03	)		(.37	)		(.27	)		—
Net realized gains		—			(3.25	)		(6.76	)		—			—			(.03	)
Total distributions		—			(3.25	)		(6.79	)		(.37	)		(.27	)		(.03	)
Net asset value, end of period	$	12.89		$	17.42		$	19.60		$	11.08		$	26.56		$	35.54
Total Returnc		(26.00	%)		6.98	%		150.09	%		(57.21	%)		(24.54	%)		6.49	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	528		$	8,845		$	5,529		$	78		$	2,945		$	3,929
Ratios to average net assets:
Net investment income (loss)		(0.77	%)		(0.73	%)		(0.62	%)		2.04	%		0.82	%		0.66	%
Total expenses		1.53	%		1.53	%		1.53	%		1.54	%		1.53	%		1.51	%
Portfolio turnover rate		312	%		692	%		443	%		878	%		566	%		728	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.85		$	18.27		$	10.62		$	25.71		$	34.68		$	32.85
Income (loss) from investment operations:
Net investment income (loss)b		(.11	)		(.23	)		(.27	)		.04			.28			(.05	)
Net gain (loss) on investments (realized and unrealized)		(4.06	)		1.06			14.71			(14.76	)		(8.98	)		1.91
Total from investment operations		(4.17	)		.83			14.44			(14.72	)		(8.70	)		1.86
Less distributions from:
Net investment income		—			—			(.03	)		(.37	)		(.27	)		—
Net realized gains		—			(3.25	)		(6.76	)		—			—			(.03	)
Total distributions		—			(3.25	)		(6.79	)		(.37	)		(.27	)		(.03	)
Net asset value, end of period	$	11.68		$	15.85		$	18.27		$	10.62		$	25.71		$	34.68
Total Returnc		(26.31	%)		6.12	%		148.23	%		(57.59	%)		(25.12	%)		5.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,410		$	2,243		$	8,999		$	691		$	14,040		$	2,268
Ratios to average net assets:
Net investment income (loss)		(1.46	%)		(1.37	%)		(1.39	%)		0.21	%		0.99	%		(0.16	%)
Total expenses		2.28	%		2.28	%		2.28	%		2.32	%		2.26	%		2.26	%
Portfolio turnover rate		312	%		692	%		443	%		878	%		566	%		728	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report| 163

S&P SMALLCAP 600 PURE VALUE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	17.38		$	19.57		$	11.07		$	26.53		$	35.51		$	33.38
Income (loss) from investment operations:
Net investment income (loss)b		(.06	)		(.11	)		(.12	)		.27			.33			.15
Net gain (loss) on investments (realized and unrealized)		(4.47	)		1.17			15.41			(15.36	)		(9.04	)		2.01
Total from investment operations		(4.53	)		1.06			15.29			(15.09	)		(8.71	)		2.16
Less distributions from:
Net investment income		—			—			(.03	)		(.37	)		(.27	)		—
Net realized gains		—			(3.25	)		(6.76	)		—			—			(.03	)
Total distributions		—			(3.25	)		(6.79	)		(.37	)		(.27	)		(.03	)
Net asset value, end of period	$	12.85		$	17.38		$	19.57		$	11.07		$	26.53		$	35.51
Total Returnc		(26.06	%)		6.94	%		150.07	%		(57.20	%)		(24.56	%)		6.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,145		$	15,980		$	216,500		$	21,489		$	51,563		$	10,478
Ratios to average net assets:
Net investment income (loss)		(0.71	%)		(0.56	%)		0.62	%		1.40	%		1.04	%		0.46	%
Total expenses		1.53	%		1.54	%		1.54	%		1.55	%		1.48	%		1.52	%
Portfolio turnover rate		312	%		692	%		443	%		878	%		566	%		728	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

164 the RYDEX SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited)	September 30, 2011
EUROPE 1.25x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX 50^® Index (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	March 31, 2004
C-Class	May 10, 2001
H-Class	May 8, 2000

Ten Largest Holdings
(% of Total Net Assets)
Nestle S.A. ADR	3.8	%
Novartis AG ADR	3.5	%
Vodafone Group plc ADR	3.1	%
HSBC Holdings plc ADR	3.0	%
BP plc ADR	2.8	%
GlaxoSmithKline plc ADR	2.5	%
Royal Dutch Shell plc ADR	2.5	%
Total S.A. ADR	2.3	%
British American Tobacco plc ADR	2.1	%
Sanofi ADR	1.9	%
Top Ten Total	27.5	%

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

the RYDEX | SGI series funds semi-annual report | 165

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

EUROPE 1.25x STRATEGY FUND

	Shares		Value
COMMON STOCKS† - 56.1%
HEALTH CARE - 11.0%
Novartis AG ADR		3,463	$	193,132
GlaxoSmithKline plc ADR		3,360		138,734
Sanofi ADR		3,170		103,976
AstraZeneca plc ADR		2,330		103,359
Roche Holding AG ADR		1,778		71,511
Total Health Care				610,712
FINANCIALS - 10.8%
HSBC Holdings plc ADR		4,382		166,691
Banco Santander S.A. ADR		11,656		93,714
UBS AG		5,649		64,568
Banco Bilbao Vizcaya Argentaria
S.A. ADR		6,821		55,455
Deutsche Bank AG		1,426		49,354
Credit Suisse Group AG ADR		1,708		44,818
ING Groep N.V. ADR*		5,635		39,727
Barclays plc ADR		3,965		38,777
Allianz SE ADR		3,567		33,316
Societe Generale S.A. ADR		2,822		14,759
Total Financials				601,179
CONSUMER STAPLES - 9.4%
Nestle S.A. ADR		3,862		212,796
British American Tobacco plc ADR		1,411		119,554
Unilever N.V.		2,275		71,640
Diageo plc ADR		931		70,691
Anheuser-Busch InBev N.V. ADR		905		47,947
Total Consumer Staples				522,628
ENERGY - 8.9%
BP plc ADR		4,297		154,993
Royal Dutch Shell plc ADR		2,229		137,128
Total S.A. ADR		2,954		129,592
ENI SpA ADR		1,983		69,663
Total Energy				491,376
TELECOMMUNICATION SERVICES - 6.6%
Vodafone Group plc ADR		6,640		170,316
Telefonica S.A. ADR		5,198		99,386
Deutsche Telekom AG ADR		4,559		53,477
France Telecom S.A. ADR		2,467		40,385
Total Telecommunication Services				363,564
MATERIALS - 3.7%
BHP Billiton Ltd. ADR		1,276		84,777
Rio Tinto plc ADR		1,908		84,105
Anglo American plc ADR		2,179		37,217
Total Materials				206,099
INDUSTRIALS - 2.8%
Siemens AG ADR		1,087		97,602
ABB, Ltd. ADR		3,417		58,362
Total Industrials				155,964
INFORMATION TECHNOLOGY - 1.7%
SAP AG ADR		1,370		69,349
Nokia Oyj ADR		4,335		24,536
Total Information Technology				93,885
CONSUMER DISCRETIONARY - 1.2%
Daimler AG		1,516		67,235
Total Common Stocks (Cost $2,933,018)				3,112,642

	Face
	Amount
REPURCHASE AGREEMENTS††,1 - 36.3%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	1,091,892		1,091,892
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		540,023		540,023
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		383,783		383,783
Total Repurchase Agreements (Cost $2,015,698)				2,015,698
Total Investments - 92.4% (Cost $4,948,716)			$	5,128,340
Cash & Other Assets, Less Liabilities — 7.6%				423,173
Total Net Assets — 100.0%			$	5,551,513

166 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

EUROPE 1.25x STRATEGY FUND

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
December 2011 STOXX 50 Index Futures Contracts (Aggregate Value of Contracts $2,332,185)		82	$	13,164
December 2011 EURO STOXX 50 Index Futures Contracts (Aggregate Value of Contracts $1,548,128)		54		(22,950	)
(Total Aggregate Value of Contracts $3,880,313)			$	(9,786	)
CURRENCY FUTURES CONTRACTS PURCHASED†
December 2011 EURO Currency Futures Contracts (Aggregate Value of Contracts $4,017,300)		24	$	(51,481	)

Country Diversification

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

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
	ADR — American Depositary Receipt
	plc — Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 167

EUROPE 1.25x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011
Assets:
Investments, at value (cost $2,933,018)	$	3,112,642
Repurchase agreements, at value (cost $2,015,698)		2,015,698
Foreign currency, at value (cost $377,140)		372,170
Segregated cash with broker		458,459
Receivables:
Fund shares sold		149,076
Foreign taxes reclaim		13,634
Dividends		12,259
Total assets		6,133,938
Liabilities:
Due to broker		379,163
Payable for:
Variation margin		131,579
Fund shares redeemed		52,756
Management fees		4,453
Distribution and service fees		1,591
Transfer agent and administrative fees		1,237
Portfolio accounting fees		495
Miscellaneous		11,151
Total liabilities		582,425
Net assets	$	5,551,513
Net assets consist of:
Paid in capital	$	24,033,165
Undistributed net investment income		155,892
Accumulated net realized loss on investments		(18,750,541	)
Net unrealized appreciation on investments		112,997
Net assets	$	5,551,513
A-Class:
Net assets	$	203,813
Capital shares outstanding		19,537
Net asset value per share	$	10.43
Maximum offering price per share (Net asset value divided by 95.25%)	$	10.95
C-Class:
Net assets	$	636,421
Capital shares outstanding		66,460
Net asset value per share	$	9.57
H-Class:
Net assets	$	4,711,279
Capital shares outstanding		451,496
Net asset value per share	$	10.43

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011
Investment Income:
Dividends (net of foreign withholding tax of $2,396)	$	334,777
Interest		274
Total investment income		335,051
Expenses:
Management fees		84,448
Transfer agent and administrative fees		23,458
Distribution and service fees:
A-Class		737
C-Class		2,891
H-Class		21,998
Portfolio accounting fees		9,383
Trustees’ fees*		1,013
Miscellaneous		16,456
Total expenses		160,384
Net investment income		174,667
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		209,704
Futures contracts		(1,416,376	)
Foreign currency		(10,443	)
Net realized loss		(1,217,115	)
Net change in unrealized appreciation (depreciation) on:
Investments		(2,150,439	)
Futures contracts		(195,259	)
Foreign currency		(5,750	)
Net change in unrealized appreciation (depreciation)		(2,351,448	)
Net realized and unrealized loss		(3,568,563	)
Net decrease in net assets resulting from operations	$	(3,393,896	)

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

168 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

EUROPE 1.25x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	174,667		$	139,166
Net realized loss on investments		(1,217,115	)		(2,967,256	)
Net change in unrealized appreciation (depreciation) on investments		(2,351,448	)		1,903,749
Net decrease in net assets resulting from operations		(3,393,896	)		(924,341	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		4,668,187			24,294,825
C-Class		9,237,143			51,477,462
H-Class		83,728,636			282,350,914
Cost of shares redeemed
A-Class		(4,647,196	)		(23,420,946	)
C-Class		(9,111,410	)		(52,874,691	)
H-Class		(99,261,368	)		(266,134,416	)
Net increase (decrease) from capital share transactions		(15,386,008	)		15,693,148
Net increase (decrease) in net assets		(18,779,904	)		14,768,807
Net assets:
Beginning of period		24,331,417			9,562,610
End of period	$	5,551,513		$	24,331,417
Accumulated/(Undistributed) net investment income/(loss) at end of period	$	155,892		$	(18,775	)
Capital share activity:
Shares sold
A-Class		337,473			1,938,982
C-Class		775,601			4,392,090
H-Class		6,194,303			21,984,676
Shares redeemed
A-Class		(350,320	)		(1,939,280	)
C-Class		(758,322	)		(4,503,196	)
H-Class		(7,395,398	)		(20,824,312	)
Net increase (decrease) in shares		(1,196,663	)		1,048,960

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 169

EUROPE 1.25x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.06		$	14.18		$	8.36		$	22.25		$	24.13		$	20.06
Income (loss) from investment operations:
Net investment incomeb		.09			.08			.04			.18			.62			.54
Net gain (loss) on investments (realized and unrealized)		(3.72	)		(.20	)		5.78			(14.07	)		(1.57	)		3.65
Total from investment operations		(3.63	)		(.12	)		5.82			(13.89	)		(.95	)		4.19
Less distributions from:
Net investment income		—			—			—			—			(.23	)		(.12	)
Net realized gains		—			—			—			—			(.70	)		—
Total distributions		—			—			—			—			(.93	)		(.12	)
Net asset value, end of period	$	10.43		$	14.06		$	14.18		$	8.36		$	22.25		$	24.13
Total ReturnC		(25.82	%)		(0.85	%)		69.62	%		(62.43	%)		(4.60	%)		20.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	204		$	455		$	463		$	316		$	1,750		$	10,892
Ratios to average net assets:
Net investment income		1.33	%		0.66	%		0.33	%		1.05	%		2.42	%		2.33	%
Total expenses		1.69	%		1.69	%		1.66	%		1.68	%		1.69	%		1.54	%
Portfolio turnover rate		92	%		515	%		1,353	%		384	%		320	%		373	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.97		$	13.17		$	7.83		$	21.00		$	22.98		$	19.25
Income (loss) from investment operations:
Net investment income (loss)b		.04			.03			(.04	)		.07			.31			.39
Net gain (loss) on investments
(realized and unrealized)		(3.44	)		(.23	)		5.38			(13.24	)		(1.36	)		3.46
Total from investment operations		(3.40	)		(.20	)		5.34			(13.17	)		(1.05	)		3.85
Less distributions from:
Net investment income		—			—			—			—			(.23	)		(.12	)
Net realized gains		—			—			—			—			(.70	)		—
Total distributions		—			—			—			—			(.93	)		(.12	)
Net asset value, end of period	$	9.57		$	12.97		$	13.17		$	7.83		$	21.00		$	22.98
Total Returnc		(26.21	%)		(1.52	%)		68.20	%		(62.71	%)		(5.28	%)		20.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	636		$	638		$	2,111		$	754		$	6,149		$	9,539
Ratios to average net assets:
Net investment income (loss)		0.66	%		0.22	%		(0.36	%)		0.42	%		1.27	%		1.85	%
Total expenses		2.44	%		2.43	%		2.42	%		2.43	%		2.40	%		2.40	%
Portfolio turnover rate		92	%		515	%		1,353	%		384	%		320	%		373	%

170 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

EUROPE 1.25x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.06		$	14.20		$	8.36		$	22.26		$	24.14		$	20.06
Income (loss) from investment operations:
Net investment incomeb		.13			.09			.03			.21			.57			.59
Net gain (loss) on investments (realized and unrealized)		(3.76	)		(.23	)		5.81			(14.11	)		(1.52	)		3.61
Total from investment operations		(3.63	)		(.14	)		5.84			(13.90	)		(.95	)		4.20
Less distributions from:
Net investment income		—			—			—			—			(.23	)		(.12	)
Net realized gains		—			—			—			—			(.70	)		—
Total distributions		—			—			—			—			(.93	)		(.12	)
Net asset value, end of period	$	10.43		$	14.06		$	14.20		$	8.36		$	22.26		$	24.14
Total Returnc		(25.82	%)		(0.99	%)		69.86	%		(62.44	%)		(4.60	%)		20.95	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,711		$	23,238		$	6,989		$	4,739		$	21,670		$	57,887
Ratios to average net assets:
Net investment income		1.92	%		0.70	%		0.21	%		1.22	%		2.20	%		2.63	%
Total expenses		1.69	%		1.69	%		1.70	%		1.71	%		1.67	%		1.66	%
Portfolio turnover rate		92	%		515	%		1,353	%		384	%		320	%		373	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 171

FUND PROFILE (Unaudited) September 30, 2011

JAPAN 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei 225 Stock Average (the “underlying index”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	February 22, 2008
C-Class	February 22, 2008
H-Class	February 22, 2008

The Fund invests principally in derivative investments such as futures contracts.

172 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

JAPAN 2x STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 80.7%
HSBC Group
issued 09/30/11 at 0.00%
due 10/03/11	$	1,459,556	$	1,459,556
Credit Suisse Group
issued 09/30/11 at 0.00%
due 10/03/11		721,861		721,861
Mizuho Financial Group, Inc.
issued 09/30/11 at 0.01%
due 10/03/11		513,012		513,012
Total Repurchase Agreements
(Cost $2,694,429)				2,694,429
Total Investments — 80.7%
(Cost $2,694,429)			$	2,694,429
Cash & Other Assets,
Less Liabilities — 19.3%				644,991
Total Net Assets — 100.0%			$	3,339,420

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
December 2011 Nikkei-225
Stock Average Index
Futures Contracts
(Aggregate Value of Contracts $6,696,300)		156	$	1,665
CURRENCY FUTURES CONTRACTS PURCHASED†
December 2011 Japanese Yen
Currency Futures Contracts
(Aggregate Value of Contracts $6,650,713)		41	$	(27,521	)

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 173

JAPAN 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011
Assets:
Repurchase agreements, at value
(cost $2,694,429)	$	2,694,429
Segregated cash with broker		852,000
Receivables:
Fund shares sold		1,752
Total assets		3,548,181
Liabilities:
Payable for:
Variation margin		158,619
Fund shares redeemed		39,498
Management fees		2,486
Distribution and service fees		922
Transfer agent and administrative fees		829
Portfolio accounting fees		331
Miscellaneous		6,076
Total liabilities		208,761
Net assets	$	3,339,420
Net assets consist of:
Paid in capital	$	6,172,309
Accumulated net investment loss		(78,757	)
Accumulated net realized loss on investments		(2,728,276	)
Net unrealized depreciation on investments		(25,856	)
Net assets	$	3,339,420
A-Class:
Net assets	$	1,177,220
Capital shares outstanding		91,352
Net asset value per share	$	12.89
Maximum offering price per share
(Net asset value divided by 95.25%)	$	13.53
C-Class:
Net assets	$	127,886
Capital shares outstanding		10,197
Net asset value per share	$	12.54
H-Class:
Net assets	$	2,034,314
Capital shares outstanding		157,470
Net asset value per share	$	12.92

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011
Investment Income:
Interest	$	1,039
Total investment income		1,039
Expenses:
Management fees		39,010
Transfer agent and administrative fees		13,003
Distribution and service fees:
A-Class		4,651
C-Class		1,075
H-Class		8,083
Portfolio accounting fees		5,201
Trustees’ fees*		482
Miscellaneous		8,291
Total expenses		79,796
Net investment loss		(78,757	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Futures contracts		(1,211,148	)
Net realized loss		(1,211,148	)
Net change in unrealized appreciation (depreciation) on:
Futures contracts		(569,414	)
Net change in unrealized appreciation (depreciation)		(569,414	)
Net realized and unrealized loss		(1,780,562	)
Net decrease in net assets resulting
from operations	$	(1,859,319	)

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

174 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

JAPAN 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(78,757	)	$	(96,087	)
Net realized loss on investments		(1,211,148	)		(372,576	)
Net change in unrealized appreciation (depreciation) on investments		(569,414	)		380,066
Net decrease in net assets resulting from operations		(1,859,319	)		(88,597	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		5,377,456			17,011,157
C-Class		1,024,688			26,730,136
H-Class		41,840,200			76,584,589
Cost of shares redeemed
A-Class		(10,137,475	)		(13,470,349	)
C-Class		(993,915	)		(26,785,624	)
H-Class		(43,388,580	)		(76,584,721	)
Net increase (decrease) from capital share transactions		(6,277,626	)		3,485,188
Net increase (decrease) in net assets		(8,136,945	)		3,396,591
Net assets:
Beginning of period		11,476,365			8,079,774
End of period	$	3,339,420		$	11,476,365
Accumulated net investment loss at end of period	$	(78,757	)	$	—
Capital share activity:
Shares sold
A-Class		364,144			1,106,525
C-Class		69,073			1,765,492
H-Class		2,718,176			4,903,823
Shares redeemed
A-Class		(669,517	)		(845,237	)
C-Class		(71,829	)		(1,779,134	)
H-Class		(2,918,334	)		(4,874,700	)
Net increase (decrease) in shares		(508,287	)		276,769

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 175

JAPAN 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	14.95		$	16.49		$	9.01		$	25.12		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.11	)		(.24	)		(.19	)		(.06	)		(—	)d
Net gain (loss) on investments (realized and unrealized)		(1.95	)		(1.30	)		7.67			(16.24	)		.12
Total from investment operations		(2.06	)		(1.54	)		7.48			(16.30	)		.12
Less distributions from:
Net investment income		—			—			—			(.01	)		—
Total distributions		—			—			—			(.01	)		—
Payments by affiliates		—			—			—			.20	e		—
Net asset value, end of period	$	12.89		$	14.95		$	16.49		$	9.01		$	25.12
Total Returnf		(13.78	%)		(9.34	%)		83.02	%		(64.10	%)e		0.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,177		$	5,931		$	2,234		$	299		$	636
Ratios to average net assets:
Net investment loss		(1.50	%)		(1.45	%)		(1.42	%)		(0.42	%)		(0.12	%)
Total expenses		1.52	%		1.55	%		1.53	%		1.53	%		1.25	%
Portfolio turnover rate		—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	14.60		$	16.23		$	8.94		$	25.10		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.17	)		(.31	)		(.31	)		(.17	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		(1.89	)		(1.32	)		7.60			(16.18	)		.12
Total from investment operations		(2.06	)		(1.63	)		7.29			(16.35	)		.10
Less distributions from:
Net investment income		—			—			—			(.01	)		—
Total distributions		—			—			—			(.01	)		—
Payments by affiliates		—			—			—			.20	e		—
Net asset value, end of period	$	12.54		$	14.60		$	16.23		$	8.94		$	25.10
Total Returnf		(14.11	%)		(10.04	%)		81.54	%		(64.35	%)e		0.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	128		$	189		$	432		$	879		$	240
Ratios to average net assets:
Net investment loss		(2.25	%)		(2.18	%)		(2.20	%)		(0.98	%)		(0.74	%)
Total expenses		2.27	%		2.29	%		2.28	%		2.26	%		2.21	%
Portfolio turnover rate		—			—			—			—			—

176 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

JAPAN 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	14.98		$	16.48		$	9.01		$	25.12		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.12	)		(.23	)		(.21	)		(.08	)		—	d
Net gain (loss) on investments
(realized and unrealized)		(1.94	)		(1.27	)		7.68			(16.22	)		.12
Total from investment operations		(2.06	)		(1.50	)		7.47			(16.30	)		.12
Less distributions from:
Net investment income		—			—			—			(.01	)		—
Total distributions		—			—			—			(.01	)		—
Payments by affiliates		—			—			—			.20	e		—
Net asset value, end of period	$	12.92		$	14.98		$	16.48		$	9.01		$	25.12
Total Returnf		(13.75	%)		(9.10	%)		82.91	%		(64.10	%)e		0.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,034		$	5,356		$	5,414		$	6,531		$	5,243
Ratios to average net assets:
Net investment income (loss)		(1.50	%)		(1.44	%)		(1.44	%)		(0.55	%)		0.17	%
Total expenses		1.52	%		1.54	%		1.53	%		1.52	%		1.44	%
Portfolio turnover rate		—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: February 22, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Net investment income is less than $0.01 per share.
e	Excluding the reimbursement, the Fund’s total return would have been -64.90%, -65.15% and -64.90% for the A-Class, C-Class and H-Class, respectively.
f	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 177

FUND PROFILE (Unaudited) September 30, 2011

STRENGTHENING DOLLAR 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index^® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	May 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 and currency futures contracts.

the RYDEX SGI series funds semi-annual report | 179

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

STRENGTHENING DOLLAR 2x STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTE†† - 11.2%
Farmer Mac1
0.11% due 02/21/12	$	10,000,000	$	9,999,220
Total Federal Agency Discount Note (Cost $9,995,631)				9,999,220
REPURCHASE AGREEMENTS††,2 - 75.7%
HSBC Group
issued 09/30/11 at 0.00% due 10/03/11		36,496,780		36,496,780
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		18,050,418		18,050,418
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		12,828,058		12,828,058
Total Repurchase Agreements (Cost $67,375,256)				67,375,256
Total Investments - 86.9% (Cost $77,370,887)			$	77,374,476
Cash & Other Assets,
Less Liabilities — 13.1%				11,686,837
Total Net Assets — 100.0%			$	89,061,313

			Unrealized
	Contracts		Gain
CURRENCY FUTURES CONTRACTS PURCHASED†
December 2011 U.S. Dollar Index
Futures Contracts
(Aggregate Value of Contracts $152,474,670)		1,923	$	2,067,552

	Units
CURRENCY INDEX SWAP AGREEMENTS††
Goldman Sachs International November 2011 U.S. Dollar Index
Swap, Terminating 11/29/113
(Notional Value $25,995,902)		328,770	$	427,285

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
2	Repurchase Agreements — See Note 5.
3	Total Return based on U.S. Dollar Index +/- financing at a variable rate.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 179

STRENGTHENING DOLLAR 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $9,995,631)	$	9,999,220
Repurchase agreements, at value (cost $67,375,256)		67,375,256
Segregated cash with broker		4,465,534
Unrealized appreciation on swap agreements		427,285
Receivable for swap settlement		334,949
Receivables:
Fund shares sold		6,042,462
Variation margin		1,228,473
Total assets		89,873,179
Liabilities:
Payable for:
Fund shares redeemed		664,233
Management fees		52,926
Distribution and service fees		16,618
Transfer agent and administrative fees		14,702
Portfolio accounting fees		5,880
Miscellaneous		57,507
Total liabilities		811,866
Net assets	$	89,061,313
Net assets consist of:
Paid in capital	$	107,281,651
Accumulated net investment loss		(390,465	)
Accumulated net realized loss on investments		(20,328,299	)
Net unrealized appreciation on investments		2,498,426
Net assets	$	89,061,313
A-Class:
Net assets	$	19,031,186
Capital shares outstanding		1,353,596
Net asset value per share	$	14.06
Maximum offering price per share (Net asset value divided by 95.25%)	$	14.76
C-Class:
Net assets	$	3,748,842
Capital shares outstanding		281,134
Net asset value per share	$	13.33
H-Class:
Net assets	$	66,281,285
Capital shares outstanding		4,735,864
Net asset value per share	$	13.99

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	21,141
Total investment income		21,141
Expenses:
Management fees		211,529
Transfer agent and administrative fees		58,758
Distribution and service fees:
A-Class		10,504
C-Class		15,287
H-Class		44,432
Portfolio accounting fees		23,503
Trustees’ fees*		1,289
Miscellaneous		46,304
Total expenses		411,606
Net investment loss		(390,465	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(412,788	)
Futures contracts		2,047,396
Net realized gain		1,634,608
Net change in unrealized appreciation (depreciation) on:
Investments		(4,164	)
Swap agreements		602,968
Futures contracts		2,384,328
Net change in unrealized appreciation (depreciation)		2,983,132
Net realized and unrealized gain		4,617,740
Net increase in net assets resulting from operations	$	4,227,275

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

180 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

STRENGTHENING DOLLAR 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(390,465	)	$	(753,122	)
Net realized gain (loss) on investments		1,634,608			(5,041,903	)
Net change in unrealized appreciation (depreciation) on investments		2,983,132			(1,296,163	)
Net increase (decrease) in net assets resulting from operations		4,227,275			(7,091,188	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		35,821,499			17,727,633
C-Class		33,811,862			108,147,406
H-Class		181,457,285			305,686,505
Cost of shares redeemed
A-Class		(24,193,298	)		(27,399,277	)
C-Class		(34,187,215	)		(113,295,488	)
H-Class		(138,752,541	)		(341,270,791	)
Net increase (decrease) from capital share transactions		53,957,592			(50,404,012	)
Net increase (decrease) in net assets		58,184,867			(57,495,200	)
Net assets:
Beginning of period		30,876,446			88,371,646
End of period	$	89,061,313		$	30,876,446
Accumulated net investment loss at end of period	$	(390,465	)	$	—
Capital share activity:
Shares sold
A-Class		2,724,306			1,056,533
C-Class		2,733,759			7,130,889
H-Class		13,915,154			19,388,467
Shares redeemed
A-Class		(1,824,937	)		(1,629,766	)
C-Class		(2,766,618	)		(7,490,156	)
H-Class		(10,726,565	)		(21,578,685	)
Net increase (decrease) in shares		4,055,099			(3,122,718	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 181

STRENGTHENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.46		$	16.38		$	19.64		$	19.85		$	25.35		$	27.74
Income (loss) from investment operations:
Net investment income (loss)b		(.11	)		(.25	)		(.25	)		.02			.39			.91
Net gain (loss) on investments (realized and unrealized)		.71			(2.67	)		(3.01	)		6.50			(5.89	)		(3.30	)
Total from investment operations		.60			(2.92	)		(3.26	)		6.52			(5.50	)		(2.39	)
Less distributions from:
Net realized gains		—			—			—			(6.73	)		—			—
Total distributions		—			—			—			(6.73	)		—			—
Net asset value, end of period	$	14.06		$	13.46		$	16.38		$	19.64		$	19.85		$	25.35
Total Returnc		4.46	%		(17.83	%)		(16.60	%)		30.59	%		(21.70	%)		(8.62	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	19,031		$	6,115		$	16,833		$	7,314		$	2,795		$	108
Ratios to average net assets:
Net investment income (loss)		(1.61	%)		(1.55	%)		(1.57	%)		0.07	%		1.73	%		3.53	%
Total expenses		1.70	%		1.71	%		1.67	%		1.69	%		1.66	%		1.66	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.83		$	15.74		$	19.01		$	19.42		$	24.99		$	27.56
Income (loss) from investment operations:
Net investment income (loss)b		(.14	)		(.35	)		(.36	)		(.14	)		.42			.70
Net gain (loss) on investments (realized and unrealized)		.64			(2.56	)		(2.91	)		6.46			(5.99	)		(3.27	)
Total from investment operations		.50			(2.91	)		(3.27	)		6.32			(5.57	)		(2.57	)
Less distributions from:
Net realized gains		—			—			—			(6.73	)		—			—
Total distributions		—			—			—			(6.73	)		—			—
Net asset value, end of period	$	13.33		$	12.83		$	15.74		$	19.01		$	19.42		$	24.99
Total Returnc		3.90	%		(18.49	%)		(17.20	%)		30.36	%		(22.29	%)		(9.33	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,749		$	4,028		$	10,594		$	5,728		$	6,131		$	2,630
Ratios to average net assets:
Net investment income (loss)		(2.34	%)		(2.29	%)		(2.31	%)		(0.66	%)		1.84	%		2.75	%
Total expenses		2.45	%		2.46	%		2.42	%		2.44	%		2.40	%		2.40	%
Portfolio turnover rate		—			—			—			—			—			—

182 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

STRENGTHENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.40		$	16.31		$	19.56		$	19.83		$	25.33		$	27.71
Income (loss) from investment operations:
Net investment income (loss)b		(.10	)		(.25	)		(.25	)		.02			.57			.90
Net gain (loss) on investments (realized and unrealized)		.69			(2.66	)		(3.00	)		6.44			(6.07	)		(3.28	)
Total from investment operations		.59			(2.91	)		(3.25	)		6.46			(5.50	)		(2.38	)
Less distributions from:
Net realized gains		—			—			—			(6.73	)		—			—
Total distributions		—			—			—			(6.73	)		—			—
Net asset value, end of period	$	13.99		$	13.40		$	16.31		$	19.56		$	19.83		$	25.33
Total Returnc		4.40	%		(17.84	%)		(16.62	%)		30.25	%		(21.71	%)		(8.59	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	66,281		$	20,733		$	60,944		$	22,147		$	29,011		$	11,946
Ratios to average net assets:
Net investment income (loss)		(1.61	%)		(1.55	%)		(1.57	%)		0.08	%		2.44	%		3.47	%
Total expenses		1.70	%		1.72	%		1.67	%		1.69	%		1.66	%		1.66	%
Portfolio turnover rate		—			—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 183

FUND PROFILE (Unaudited)

September 30, 2011

WEAKENING DOLLAR 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index^® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:

A-Class	May 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 and currency futures contracts.

184 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
WEAKENING DOLLAR 2x STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTE†† - 42.9%
Farmer Mac1
0.11% due 02/21/12	$	10,000,000	$	9,999,220
Total Federal Agency Discount Note (Cost $9,995,631)				9,999,220
REPURCHASE AGREEMENTS††,2 - 54.0%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		6,813,847		6,813,847
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		3,369,963		3,369,963
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		2,394,962		2,394,962
Total Repurchase Agreements (Cost $12,578,772)				12,578,772
Total Investments - 96.9% (Cost $22,574,403)			$	22,577,992
Cash & Other Assets, Less Liabilities — 3.1%				710,296
Total Net Assets — 100.0%			$	23,288,288

			Unrealized
	Contracts		Loss
CURRENCY FUTURES CONTRACTS SOLD SHORT†
December 2011 U.S. Dollar Index Futures Contracts (Aggregate Value of Contracts $46,067,490)		581	$	(663,658	)
	Units
CURRENCY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International November 2011 U.S. Dollar Index Swap, Terminating 11/29/113 (Notional Value $1,096,858)		13,872	$	(37,187	)

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
2	Repurchase Agreements — See Note 5.
3	Total Return based on U.S. Dollar Index +/- financing at a variable rate.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 185

WEAKENING DOLLAR 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIE S (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $9,995,631)	$	9,999,220
Repurchase agreements, at value (cost $12,578,772)		12,578,772
Segregated cash with broker		1,555,567
Receivables:
Fund shares sold		138,777
Total assets		24,272,336
Liabilities:
Unrealized depreciation on swap agreements		37,187
Payable for:
Variation margin		407,792
Swap settlement		402,903
Fund shares redeemed		38,698
Management fees		21,557
Distribution and service fees		7,642
Transfer agent and administrative fees		5,988
Portfolio accounting fees		2,395
Miscellaneous		59,886
Total liabilities		984,048
Net assets	$	23,288,288
Net assets consist of:
Paid in capital	$	37,722,579
Accumulated net investment loss		(319,386	)
Accumulated net realized loss on investments		(13,417,649	)
Net unrealized depreciation on investments		(697,256	)
Net assets	$	23,288,288
A-Class:
Net assets	$	5,058,020
Capital shares outstanding		269,217
Net asset value per share	$	18.79
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.72
C-Class:
Net assets	$	2,598,058
Capital shares outstanding		146,827
Net asset value per share	$	17.69
H-Class:
Net assets	$	15,632,210
Capital shares outstanding		832,628
Net asset value per share	$	18.77

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	16,190
Total investment income		16,190
Expenses:
Management fees		170,853
Transfer agent and administrative fees		47,459
Distribution and service fees:
A-Class		8,107
C-Class		16,791
H-Class		35,154
Portfolio accounting fees		18,983
Trustees’ fees*		1,204
Miscellaneous		37,025
Total expenses		335,576
Net investment loss		(319,386	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		(78,952	)
Futures contracts		(2,167,335	)
Net realized loss		(2,246,287	)
Net change in unrealized appreciation (depreciation) on:
Investments		(2,257	)
Swap agreements		(176,534	)
Futures contracts		(1,071,363	)
Net change in unrealized appreciation (depreciation)		(1,250,154	)
Net realized and unrealized loss		(3,496,441	)
Net decrease in net assets resulting from operations	$	(3,815,827	)

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

186 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

WEAKENING DOLLAR 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(319,386	)	$	(583,526	)
Net realized gain (loss) on investments		(2,246,287	)		2,498,240
Net change in unrealized appreciation (depreciation) on investments		(1,250,154	)		1,064,893
Net increase (decrease) in net assets resulting from operations		(3,815,827	)		2,979,607
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		9,761,943			4,356,031
C-Class		7,412,937			12,924,698
H-Class		70,864,625			111,744,031
Cost of shares redeemed
A-Class		(9,522,103	)		(6,022,901	)
C-Class		(8,544,155	)		(14,644,735	)
H-Class		(75,839,754	)		(120,468,235	)
Net decrease from capital share transactions		(5,866,507	)		(12,111,111	)
Net decrease in net assets		(9,682,334	)		(9,131,504	)
Net assets:
Beginning of period		32,970,622			42,102,126
End of period	$	23,288,288		$	32,970,622
Accumulated net investment loss at end of period	$	(319,386	)	$	—
Capital share activity:
Shares sold
A-Class		457,712			238,396
C-Class		374,717			721,312
H-Class		3,358,205			6,176,809
Shares redeemed
A-Class		(462,628	)		(339,920	)
C-Class		(434,023	)		(825,578	)
H-Class		(3,678,958	)		(6,696,001	)
Net decrease in shares		(384,975	)		(724,982	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 187

WEAKENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	20.34		$	17.98		$	16.38		$	29.27		$	26.18		$	22.70
Income (loss) from investment operations:
Net investment income (loss)b		(.17	)		(.28	)		(.30	)		(.07	)		.70			.91
Net gain (loss) on investments (realized and unrealized)		(1.38	)		2.64			1.90			(8.77	)		7.17			2.57
Total from investment operations		(1.55	)		2.36			1.60			(8.84	)		7.87			3.48
Less distributions from:
Net investment income		—			—			—			(1.28	)		(4.78	)		—
Net realized gains		—			—			—			(2.77	)		(—	)c		—
Total distributions		—			—			—			(4.05	)		(4.78	)		—
Net asset value, end of period	$	18.79		$	20.34		$	17.98		$	16.38		$	29.27		$	26.18
Total Returnd		(7.62	%)		13.13	%		9.77	%		(29.87	%)		32.49	%		15.33	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,058		$	5,576		$	6,753		$	17,642		$	22,148		$	21,502
Ratios to average net assets:
Net investment income (loss)		(1.61	%)		(1.54	%)		(1.57	%)		(0.30	%)		2.51	%		3.63	%
Total expenses		1.70	%		1.71	%		1.68	%		1.69	%		1.67	%		1.65	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	19.23		$	17.12		$	15.73		$	28.53		$	25.81		$	22.55
Income (loss) from investment operations:
Net investment income (loss)b		(.23	)		(.39	)		(.43	)		(.21	)		.43			.71
Net gain (loss) on investments (realized and unrealized)		(1.31	)		2.50			1.82			(8.54	)		7.07			2.55
Total from investment operations		(1.54	)		2.11			1.39			(8.75	)		7.50			3.26
Less distributions from:
Net investment income		—			—			—			(1.28	)		(4.78	)		—
Net realized gains		—			—			—			(2.77	)		(—	)c		—
Total distributions		—			—			—			(4.05	)		(4.78	)		—
Net asset value, end of period	$	17.69		$	19.23		$	17.12		$	15.73		$	28.53		$	25.81
Total Returnd		(8.01	%)		12.32	%		8.84	%		(30.37	%)		31.47	%		14.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,598		$	3,963		$	5,314		$	8,687		$	21,604		$	14,160
Ratios to average net assets:
Net investment income (loss)		(2.36	%)		(2.29	%)		(2.32	%)		(0.93	%)		1.57	%		2.87	%
Total expenses		2.45	%		2.46	%		2.43	%		2.45	%		2.41	%		2.40	%
Portfolio turnover rate		—			—			—			—			—			—

188 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

WEAKENING DOLLAR 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	20.32		$	17.96		$	16.37		$	29.25		$	26.18		$	22.69
Income (loss) from investment operations:
Net investment income (loss)b		(.17	)		(.28	)		(.30	)		(.03	)		.68			.90
Net gain (loss) on investments (realized and unrealized)		(1.38	)		2.64			1.89			(8.80	)		7.17			2.59
Total from investment operations		(1.55	)		2.36			1.59			(8.83	)		7.85			3.49
Less distributions from:
Net investment income		—			—			—			(1.28	)		(4.78	)		—
Net realized gains		—			—			—			(2.77	)		(—	)c		—
Total distributions		—			—			—			(4.05	)		(4.78	)		—
Net asset value, end of period	$	18.77		$	20.32		$	17.96		$	16.37		$	29.25		$	26.18
Total Returnd		(7.63	%)		13.14	%		9.71	%		(29.86	%)		32.41	%		15.38	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	15,632		$	23,432		$	30,036		$	60,249		$	103,867		$	110,480
Ratios to average net assets:
Net investment income (loss)		(1.62	%)		(1.54	%)		(1.57	%)		(0.13	%)		2.45	%		3.60	%
Total expenses		1.70	%		1.71	%		1.68	%		1.70	%		1.67	%		1.65	%
Portfolio turnover rate		—			—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Distributions from realized gains are less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 189

FUND PROFILE (Unaudited)

September 30, 2011

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”) (collectively, “Real Estate Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:

A-Class	September 1, 2004
C-Class	February 20, 2004
H-Class	February 20, 2004

Ten Largest Holdings (% of Total Net Assets)

Simon Property Group, Inc.	3.6	%
Public Storage	2.9	%
Annaly Capital Management, Inc.	2.5	%
HCP, Inc.	2.4	%
Ventas, Inc.	2.4	%
Equity Residential	2.4	%
Vornado Realty Trust	2.2	%
Boston Properties, Inc.	2.2	%
AvalonBay Communities, Inc.	2.0	%
General Growth Properties, Inc.	1.9	%
Top Ten Total	24.5	%

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

190 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
REAL ESTATE FUND

	Shares		Value
COMMON STOCKS† - 99.5%
REAL ESTATE INVESTMENT TRUSTS (REITs) - 94.6%
SPECIALIZED REITs - 23.9%
Public Storage		2,803	$	312,114
HCP, Inc.		7,475		262,074
Ventas, Inc.		5,240		258,856
Health Care REIT, Inc.		4,139		193,705
Host Hotels & Resorts, Inc.		14,560		159,286
Plum Creek Timber Company, Inc.		4,530		157,236
Rayonier, Inc.		3,755		138,146
Senior Housing Properties Trust		5,808		125,104
Hospitality Properties Trust		5,057		107,360
Extra Space Storage, Inc.		4,713		87,803
Entertainment Properties Trust		2,221		86,575
LaSalle Hotel Properties		4,098		78,682
Omega Healthcare Investors, Inc.		4,927		78,487
Healthcare Realty Trust, Inc.		4,253		71,663
Potlatch Corp.		2,230		70,290
DiamondRock Hospitality Co.		8,930		62,421
Medical Properties Trust, Inc.		6,915		61,889
Sovran Self Storage, Inc.		1,650		61,331
CubeSmart		6,984		59,574
Strategic Hotels & Resorts, Inc.*		11,517		49,638
Sunstone Hotel Investors, Inc.*		7,923		45,082
Hersha Hospitality Trust — Class A		10,714		37,070
Total Specialized REITs				2,564,386
RETAIL REITs - 19.5%
Simon Property Group, Inc.		3,562		391,749
General Growth Properties, Inc.		17,201		208,132
Kimco Realty Corp.		10,505		157,890
Federal Realty Investment Trust		1,909		157,321
Macerich Co.		3,525		150,271
Realty Income Corp.		4,346		140,115
Regency Centers Corp.		3,164		111,784
National Retail Properties, Inc.		4,158		111,725
Taubman Centers, Inc.		2,201		110,732
DDR Corp.		9,912		108,041
Tanger Factory Outlet Centers		3,979		103,494
Weingarten Realty Investors		4,884		103,394
Equity One, Inc.		5,375		85,248
CBL & Associates Properties, Inc.		6,426		72,999
Glimcher Realty Trust		7,199		50,969
Pennsylvania Real Estate Investment Trust		4,270		33,007
Total Retail REITs				2,096,871
RESIDENTIAL REITs - 14.9%
Equity Residential		4,962		257,379
AvalonBay Communities, Inc.		1,837		209,510
UDR, Inc.		6,240		138,153
Essex Property Trust, Inc.		1,093		131,204
Camden Property Trust		2,353		130,027
American Campus Communities, Inc.		3,090		114,979
BRE Properties, Inc.		2,705		114,530
Equity Lifestyle Properties, Inc.		1,738		108,973
Apartment Investment & Management Co. — Class A		4,819		106,596
Home Properties, Inc.		1,786		101,373
Mid-America Apartment Communities, Inc.		1,642		98,881
Post Properties, Inc.		2,464		85,599
Total Residential REITs				1,597,204
OFFICE REITs - 14.8%
Boston Properties, Inc.		2,635		234,778
Digital Realty Trust, Inc.		2,807		154,834
SL Green Realty Corp.		2,264		131,652
Alexandria Real Estate Equities, Inc.		1,998		122,657
Piedmont Office Realty Trust, Inc. — Class A		6,521		105,445
Duke Realty Corp.		9,575		100,537
Mack-Cali Realty Corp.		3,679		98,413
BioMed Realty Trust, Inc.		5,877		97,382
Douglas Emmett, Inc.		5,680		97,128
Highwoods Properties, Inc.		3,300		93,258
Kilroy Realty Corp.		2,746		85,950
Corporate Office Properties Trust		3,441		74,945
CommonWealth REIT		3,844		72,921
Brandywine Realty Trust		7,699		61,669
Lexington Realty Trust		9,138		59,763
Total Office REITs				1,591,332
MORTGAGE REITs - 9.9%
Annaly Capital Management, Inc.		16,169		268,890
American Capital Agency Corp.		5,508		149,267
MFA Financial, Inc.		14,519		101,923
Hatteras Financial Corp.		3,607		90,752
Starwood Property Trust, Inc.		4,794		82,265
CYS Investments, Inc.		5,716		69,106
Invesco Mortgage Capital, Inc.		4,604		65,055
Anworth Mortgage Asset Corp.		9,342		63,526
Capstead Mortgage Corp.		5,435		62,720
Two Harbors Investment Corp.		6,570		58,013
Redwood Trust, Inc.		5,170		57,749
Total Mortgage REITs				1,069,266
DIVERSIFIED REITs - 5.8%
Vornado Realty Trust		3,174		236,844
Weyerhaeuser Co.		11,317		175,980
Liberty Property Trust		4,218		122,786
Washington Real Estate
Investment Trust		3,201		90,204
Colonial Properties Trust		4,548		82,591
PS Business Parks, Inc.		1,005		49,788
Cousins Properties, Inc.		7,768		45,443
Total Diversified REITs				803,636
INDUSTRIAL REITs - 4.2%
ProLogis, Inc.		8,106		196,570
DuPont Fabros Technology, Inc.		3,466		68,246
EastGroup Properties, Inc.		1,772		67,584
DCT Industrial Trust, Inc.		15,364		67,448
First Industrial Realty Trust, Inc.*		6,327		50,616
Total Industrial REITs				450,464

See Notes to Financial Statements. the RYDEX SGI series funds semi-annual report | 191

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
REAL ESTATE FUND

	Shares		Value
Total Real Estate Investment Trusts (REITs)			$	10,173,159
REAL ESTATE MANAGEMENT & DEVELOPMENT - 4.9%
REAL ESTATE OPERATING COMPANIES - 2.1%
Brookfield Office Properties, Inc.		11,542		158,933
Forest City Enterprises, Inc. — Class A*		6,487		69,152
Total Real Estate Operating Companies				228,085
REAL ESTATE SERVICES - 1.8%
CBRE Group, Inc. — Class A*		8,329		112,108
Jones Lang LaSalle, Inc.		1,548		80,202
Total Real Estate Services				192,310
DIVERSIFIED REAL ESTATE ACTIVITIES - 0.7%
St. Joe Co.*		5,073		76,044
REAL ESTATE DEVELOPMENT - 0.3%
Howard Hughes Corp.*		885		37,259
Total Real Estate Management & Development				533,698
Total Common Stocks (Cost $6,182,530)				10,706,857

	Face
	Amount		Value
REPURCHASE AGREEMENT ††,1 - 0.3%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	26,934	$	26,934
Total Repurchase Agreement (Cost $26,934)				26,934
Total Investments — 99.8% (Cost $6,209,464)			$	10,733,791
Cash & Other Assets, Less Liabilities — 0.2%				21,626
Total Net Assets — 100.0%			$	10,755,417

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
	REIT — Real Estate Investment Trust

192 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

REAL ESTATE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $6,182,530)	$	10,706,857
Repurchase agreements, at value (cost $26,934)		26,934
Cash		1,936
Receivables:
Securities sold		731,867
Dividends		70,050
Fund shares sold		678
Total assets		11,538,322
Liabilities:
Payable for:
Fund shares redeemed		747,131
Management fees		10,739
Distribution and service fees		4,162
Transfer agent and administrative fees		3,158
Portfolio accounting fees		1,263
Miscellaneous		16,452
Total liabilities		782,905
Net Assets	$	10,755,417
Net assets consist of:
Paid in capital	$	26,870,530
Undistributed net investment income		143,785
Accumulated net realized loss on investments		(20,783,225	)
Net unrealized appreciation on investments		4,524,327
Net assets	$	10,755,417
A-Class:
Net assets	$	3,104,807
Capital shares outstanding		127,113
Net asset value per share	$	24.42
Maximum offering price per share (Net asset value divided by 95.25%)	$	25.64
C-Class:
Net assets	$	1,134,870
Capital shares outstanding		49,453
Net asset value per share	$	22.94
H-Class:
Net assets	$	6,515,740
Capital shares outstanding		267,101
Net asset value per share	$	24.39

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $829)	$	344,981
Interest		11
Total investment income		344,992
Expenses:
Management fees		100,721
Transfer agent and administrative fees		29,624
Distribution and service fees:
A-Class		5,973
C-Class		12,378
H-Class		20,556
Portfolio accounting fees		11,849
Trustees’ fees*		893
Miscellaneous		19,213
Total expenses		201,207
Net investment income		143,785
Net Realized and Unrealized Gain (loss):
Net realized gain (loss) on:
Investments		(8,292,743	)
Net realized loss		(8,292,743	)
Net change in unrealized appreciation (depreciation) on:
Investments		(3,647,577	)
Net change in unrealized appreciation (depreciation)		(3,647,577	)
Net realized and unrealized loss		(11,940,320	)
Net decrease in net assets resulting from operations	$	(11,796,535	)

* 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 | SGI series funds semi-annual report | 193

REAL ESTATE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	143,785		$	450,481
Net realized gain (loss) on investments		(8,292,743	)		5,516,376
Net change in unrealized appreciation (depreciation) on investments		(3,647,577	)		(1,134,604	)
Net increase (decrease) in net assets resulting from operations		(11,796,535	)		4,832,253
Distributions to shareholders from:
Net investment income
A-Class		—			(110,657	)
C-Class		—			(51,561	)
H-Class		—			(717,890	)
Total distributions to shareholders		—			(880,108	)
Capital share transactions:
Proceeds from sale of shares
A-Class		10,983,623			17,712,810
C-Class		41,845,338			85,507,957
H-Class		145,100,071			224,118,250
Distributions reinvested
A-Class		—			99,290
C-Class		—			47,000
H-Class		—			713,980
Cost of shares redeemed
A-Class		(10,953,631	)		(18,942,704	)
C-Class		(42,647,437	)		(85,940,210	)
H-Class		(150,168,000	)		(240,249,139	)
Net decrease from capital share transactions		(5,840,036	)		(16,932,766	)
Net decrease in net assets		(17,636,571	)		(12,980,621	)
Net assets:
Beginning of period		28,391,988			41,372,609
End of period	$	10,755,417		$	28,391,988
Undistributed net investment income at end of period	$	143,785		$	—
Capital share activity:
Shares sold
A-Class		381,981			695,632
C-Class		1,548,837			3,424,767
H-Class		5,036,081			8,635,622
Shares issued from reinvestment of distributions
A-Class		—			3,804
C-Class		—			1,904
H-Class		—			27,377
Shares redeemed
A-Class		(392,223	)		(739,617	)
C-Class		(1,585,343	)		(3,433,471	)
H-Class		(5,528,500	)		(9,345,781	)
Net decrease in shares		(539,167	)		(729,763	)

194 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

REAL ESTATE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	29.06		$	24.24		$	12.83		$	32.42		$	42.16		$	36.46
Income (loss) from investment operations:
Net investment incomeb		.22			.27			.44			.74			.54			.46
Net gain (loss) on investments (realized and unrealized)		(4.86	)		5.17			11.11			(19.43	)		(10.05	)		5.53
Total from investment operations		(4.64	)		5.44			11.55			(18.69	)		(9.51	)		5.99
Less distributions from:
Net investment income		—			(.62	)		(.14	)		(.90	)		(.23	)		(.17	)
Net realized gains		—			—			—			—			—			(.12	)
Total distributions		—			(.62	)		(.14	)		(.90	)		(.23	)		(.29	)
Net asset value, end of period	$	24.42		$	29.06		$	24.24		$	12.83		$	32.42		$	42.16
Total Returnc		(15.97	%)		22.72	%		90.16	%		(58.00	%)		(22.59	%)		16.43	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,105		$	3,991		$	4,303		$	1,554		$	2,866		$	9,061
Ratios to average net assets:
Net investment income		1.51	%		1.07	%		2.15	%		2.81	%		1.45	%		1.10	%
Total expenses		1.62	%		1.63	%		1.65	%		1.68	%		1.64	%		1.61	%
Portfolio turnover rate		556	%		485	%		1,520	%		780	%		832	%		762	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.41		$	23.11		$	12.33		$	31.44		$	41.22		$	35.93
Income (loss) from investment operations:
Net investment incomeb		.08			.10			.40			.66			.29			.19
Net gain (loss) on investments (realized and unrealized)		(4.55	)		4.82			10.52			(18.87	)		(9.84	)		5.39
Total from investment operations		(4.47	)		4.92			10.92			(18.21	)		(9.55	)		5.58
Less distributions from:
Net investment income		—			(.62	)		(.14	)		(.90	)		(.23	)		(.17	)
Net realized gains		—			—			—			—			—			(.12	)
Total distributions		—			(.62	)		(.14	)		(.90	)		(.23	)		(.29	)
Net asset value, end of period	$	22.94		$	27.41		$	23.11		$	12.33		$	31.44		$	41.22
Total Returnc		(16.31	%)		21.58	%		88.70	%		(58.28	%)		(23.21	%)		15.53	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,135		$	2,356		$	2,143		$	1,075		$	2,290		$	5,469
Ratios to average net assets:
Net investment income		0.57	%		0.42	%		2.06	%		2.62	%		0.78	%		0.48	%
Total expenses		2.37	%		2.39	%		2.41	%		2.42	%		2.39	%		2.36	%
Portfolio turnover rate		556	%		485	%		1,520	%		780	%		832	%		762	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 195

REAL ESTATE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	29.02		$	24.22		$	12.82		$	32.40		$	42.14		$	36.47
Income (loss) from investment operations:
Net investment incomeb		.18			.29			.50			.61			.53			.54
Net gain (loss) on investments (realized and unrealized)		(4.81	)		5.13			11.04			(19.29	)		(10.04	)		5.42
Total from investment operations		(4.63	)		5.42			11.54			(18.68	)		(9.51	)		5.96
Less distributions from:
Net investment income		—			(.62	)		(.14	)		(.90	)		(.23	)		(.17	)
Net realized gains		—			—			—			—			—			(.12	)
Total distributions		—			(.62	)		(.14	)		(.90	)		(.23	)		(.29	)
Net asset value, end of period	$	24.39		$	29.02		$	24.22		$	12.82		$	32.40		$	42.14
Total Returnc		(15.98	%)		22.70	%		90.15	%		(58.01	%)		(22.60	%)		16.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,516		$	22,045		$	34,926		$	1,757		$	14,140		$	25,784
Ratios to average net assets:
Net investment income		1.23	%		1.13	%		2.41	%		2.14	%		1.43	%		1.35	%
Total expenses		1.62	%		1.63	%		1.68	%		1.64	%		1.64	%		1.62	%
Portfolio turnover rate		556	%		485	%		1,520	%		780	%		832	%		762	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

196 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% 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. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

“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 contracts.

the RYDEX | SGI series funds semi-annual report | 197

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
GOVERNMENT LONG BOND 1.2x STRATEGY FUND

	Face
	Amount		Value
U.S. GOVERNMENT SECURITIES† - 92.6%
U.S. Treasury Bond 3.75% due 08/15/41	$	199,943,000	$	233,745,863
Total U.S. Government Securities (Cost $201,054,238)				233,745,863
REPURCHASE AGREEMENTS††,1 - 6.2%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		8,532,496		8,532,496
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		4,219,965		4,219,965
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		2,999,041		2,999,041
Total Repurchase Agreements (Cost $15,751,502)				15,751,502
Total Investments — 98.8% (Cost $216,805,740)			$	249,497,365
Cash & Other Assets, Less Liabilities — 1.2%				3,040,427
Total Net Assets — 100.0%			$	252,537,792

			Unrealized
	Contracts		Gain
INTEREST RATE FUTURES CONTRACTS PURCHASED†
December 2011 Ultra Long-Term
U.S. Treasury Bond Futures Contracts (Aggregate Value of Contracts $75,902,625)		477	$	7,605,914

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.

198 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $201,054,238)	$	233,745,863
Repurchase agreements, at value (cost $15,751,502)		15,751,502
Segregated cash with broker		2,500,000
Cash		485
Receivables:
Fund shares sold		2,729,162
Securities sold		1,870,500
Variation margin		1,199,842
Interest		965,271
Total assets		258,762,625
Liabilities:
Payable for:
Fund shares redeemed		5,867,773
Management fees		103,228
Distribution and service fees		60,403
Transfer agent and administrative fees		41,292
Portfolio accounting fees		20,455
Miscellaneous		131,682
Total liabilities		6,224,833
Net assets	$	252,537,792
Net assets consist of:
Paid in capital	$	259,185,706
Undistributed net investment income		168,281
Accumulated net realized loss on investments		(47,113,734	)
Net unrealized appreciation on investments		40,297,539
Net assets	$	252,537,792
Investor Class:
Net assets	$	94,868,469
Capital shares outstanding		5,825,824
Net asset value per share	$	16.28
Advisor Class:
Net assets	$	143,853,343
Capital shares outstanding		8,891,235
Net asset value per share	$	16.18
A-Class:
Net assets	$	6,115,712
Capital shares outstanding		375,009
Net asset value per share	$	16.31
Maximum offering price per share (Net asset value divided by 95.25%)	$	17.12
C-Class:
Net assets	$	7,700,268
Capital shares outstanding		473,245
Net asset value per share	$	16.27

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	2,963,191
Total investment income		2,963,191
Expenses:
Management fees		411,182
Transfer agent and administrative fees		164,475
Distribution and service fees:
Advisor Class		206,245
A-Class		6,285
C-Class		29,989
Portfolio accounting fees		82,031
Trustees’ fees*		9,748
Miscellaneous		127,521
Total expenses		1,037,476
Net investment income		1,925,715
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		15,025,100
Futures contracts		6,453,790
Net realized gain		21,478,890
Net change in unrealized appreciation (depreciation) on:
Investments		31,407,112
Futures contracts		7,359,927
Net change in unrealized appreciation (depreciation)		38,767,039
Net realized and unrealized gain		60,245,929
Net increase in net assets resulting from operations	$	62,171,644

* 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 | SGI series funds semi-annual report | 199

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	1,925,715		$	4,528,442
Net realized gain (loss) on investments		21,478,890			(30,533,013	)
Net change in unrealized appreciation (depreciation) on investments		38,767,039			4,044,342
Net increase (decrease) in net assets resulting from operations		62,171,644			(21,960,229	)
Distributions to shareholders from:
Net investment income
Investor Class		(933,373	)		(3,465,913	)
Advisor Class		(868,141	)		(768,221	)
A-Class		(61,776	)		(106,843	)
C-Class		(51,144	)		(211,765	)
Total distributions to shareholders		(1,914,434	)		(4,552,742	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		492,090,945			1,801,417,431
Advisor Class		1,206,222,722			1,632,214,111
A-Class		5,288,073			18,572,361
C-Class		35,330,970			70,381,488
Distributions reinvested
Investor Class		928,063			3,373,033
Advisor Class		882,775			753,317
A-Class		34,368			89,641
C-Class		47,203			199,586
Cost of shares redeemed
Investor Class		(468,312,626	)		(2,011,038,348	)
Advisor Class		(1,125,823,150	)		(1,633,935,780	)
A-Class		(3,720,954	)		(21,725,044	)
C-Class		(35,658,269	)		(78,468,284	)
Net increase (decrease) from capital share transactions		107,310,120			(218,166,488	)
Net increase (decrease) in net assets		167,567,330			(244,679,459	)
Net assets:
Beginning of period		84,970,462			329,649,921
End of period	$	252,537,792		$	84,970,462
Undistributed net investment income at end of period	$	168,281		$	157,000
Capital share activity:
Shares sold
Investor Class		38,532,849			150,851,651
Advisor Class		96,083,769			137,028,703
A-Class		413,513			1,510,564
C-Class		2,701,326			5,832,353
Shares issued from reinvestment of distributions
Investor Class		71,049			286,286
Advisor Class		68,145			62,194
A-Class		2,745			7,372
C-Class		3,736			16,077
Shares redeemed
Investor Class		(36,690,346	)		(172,993,989	)
Advisor Class		(90,026,786	)		(136,988,367	)
A-Class		(281,748	)		(1,786,069	)
C-Class		(2,765,311	)		(6,475,524	)
Net increase (decrease) in shares		8,112,941			(22,648,749	)

200 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.43		$	10.96		$	13.74		$	11.78		$	10.59		$	10.50
Income (loss) from investment operations:
Net investment incomeb		.17			.36			.36			.36			.40			.41
Net gain (loss) on investments (realized and unrealized)		4.85			.47			(2.78	)		1.97			1.19			.09
Total from investment operations		5.02			.83			(2.42	)		2.33			1.59			.50
Less distributions from:
Net investment income		(.17	)		(.36	)		(.36	)		(.37	)		(.40	)		(.41	)
Total distributions		(.17	)		(.36	)		(.36	)		(.37	)		(.40	)		(.41	)
Net asset value, end of period	$	16.28		$	11.43		$	10.96		$	13.74		$	11.78		$	10.59
Total Returnc		44.35	%		7.42	%		(17.71	%)		20.17	%		15.43	%		4.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	94,868		$	44,707		$	282,388		$	43,237		$	30,695		$	40,816
Ratios to average net assets:
Net investment income		2.65	%		3.03	%		3.16	%		2.79	%		3.75	%		3.92	%
Total expenses		0.97	%		0.98	%		0.98	%		0.98	%		0.97	%		0.96	%
Portfolio turnover rate		764	%		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.36		$	10.88		$	13.66		$	11.72		$	10.54		$	10.50
Income (loss) from investment operations:
Net investment incomeb		.14			.31			.32			.31			.34			.37
Net gain (loss) on investments (realized and unrealized)		4.82			.47			(2.80	)		1.93			1.19			.03
Total from investment operations		4.96			.78			(2.48	)		2.24			1.53			.40
Less distributions from:
Net investment income		(.14	)		(.30	)		(.30	)		(.30	)		(.35	)		(.36	)
Total distributions		(.14	)		(.30	)		(.30	)		(.30	)		(.35	)		(.36	)
Net asset value, end of period	$	16.18		$	11.36		$	10.88		$	13.66		$	11.72		$	10.54
Total Returnc		44.00	%		7.03	%		(18.18	%)		19.49	%		14.82	%		3.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	143,853		$	31,420		$	28,990		$	7,867		$	25,181		$	10,815
Ratios to average net assets:
Net investment income		2.12	%		2.46	%		2.76	%		2.49	%		3.13	%		3.44	%
Total expenses		1.47	%		1.48	%		1.48	%		1.48	%		1.47	%		1.46	%
Portfolio turnover rate		764	%		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 201

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.45		$	10.96		$	13.75		$	11.79		$	10.60		$	10.50
Income (loss) from investment operations:
Net investment incomeb		.16			.33			.33			.34			.38			.38
Net gain (loss) on investments (realized and unrealized)		4.86			.49			(2.79	)		1.95			1.19			.10
Total from investment operations		5.02			.82			(2.46	)		2.29			1.57			.48
Less distributions from:
Net investment income		(.16	)		(.33	)		(.33	)		(.33	)		(.38	)		(.38	)
Total distributions		(.16	)		(.33	)		(.33	)		(.33	)		(.38	)		(.38	)
Net asset value, end of period	$	16.31		$	11.45		$	10.96		$	13.75		$	11.79		$	10.60
Total Returnc		44.19	%		7.35	%		(17.98	%)		19.84	%		15.13	%		4.71	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,116		$	2,753		$	5,576		$	11,119		$	20,374		$	11,460
Ratios to average net assets:
Net investment income		2.47	%		2.75	%		2.84	%		2.74	%		3.44	%		3.64	%
Total expenses		1.22	%		1.23	%		1.24	%		1.23	%		1.22	%		1.22	%
Portfolio turnover rate		764	%		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	11.42		$	10.94		$	13.72		$	11.77		$	10.59		$	10.50
Income (loss) from investment operations:
Net investment incomeb		.11			.24			.25			.25			.30			.31
Net gain (loss) on investments (realized and unrealized)		4.85			.48			(2.78	)		1.94			1.18			.08
Total from investment operations		4.96			.72			(2.53	)		2.19			1.48			.39
Less distributions from:
Net investment income		(.11	)		(.24	)		(.25	)		(.24	)		(.30	)		(.30	)
Total distributions		(.11	)		(.24	)		(.25	)		(.24	)		(.30	)		(.30	)
Net asset value, end of period	$	16.27		$	11.42		$	10.94		$	13.72		$	11.77		$	10.59
Total Returnc		43.68	%		6.47	%		(18.56	%)		18.90	%		14.20	%		3.84	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,700		$	6,091		$	12,695		$	5,502		$	6,239		$	15,640
Ratios to average net assets:
Net investment income		1.71	%		1.93	%		2.17	%		2.00	%		2.80	%		2.93	%
Total expenses		1.97	%		1.97	%		2.00	%		1.97	%		1.98	%		1.96	%
Portfolio turnover rate		764	%		1,930	%		1,503	%		1,794	%		1,142	%		1,357	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

202 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited)	September 30, 2011
INVERSE GOVERNMENT LONG BOND STRATEGY FUND

OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is 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. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

“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 short sales and derivative investments such as futures contracts.

the RYDEX | SGI series funds semi-annual report | 203

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 55.9%
Farmer Mac1
0.15% due 03/23/12	$	40,000,000	$	39,994,280
0.24% due 10/28/11		25,000,000		24,999,650
0.11% due 02/29/12		25,000,000		24,997,925
0.29% due 11/18/11		11,000,000		10,999,714
Total Farmer Mac				100,991,569
Freddie Mac2
0.12% due 01/24/12		25,000,000		24,998,425
0.11% due 02/06/12		25,000,000		24,998,250
0.19% due 05/15/12		25,000,000		24,992,200
Total Freddie Mac				74,988,875
Federal Farm Credit Bank1
0.19% due 05/31/12		25,000,000		24,991,625
Total Federal Agency Discount Notes (Cost $200,856,755)				200,972,069
FEDERAL AGENCY NOTES†† - 44.5%
Federal Home Loan Bank1
0.29% due 11/18/11		25,000,000		25,005,475
0.12% due 02/24/12		25,000,000		25,000,975
0.25% due 06/21/12		25,000,000		24,996,425
0.25% due 07/02/12		25,000,000		24,994,275
0.23% due 06/28/12		25,000,000		24,988,975
0.20% due 06/15/12		25,000,000		24,987,775
0.30% due 10/14/11		10,000,000		10,000,580
Total Federal Agency Notes (Cost $159,990,677)				159,974,480
REPURCHASE AGREEMENTS†† - 85.4%
Joint Repurchase Agreements3
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		3,388,107		3,388,107
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		1,675,675		1,675,675
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		1,190,868		1,190,868
Individual Repurchase Agreement4
Barclays Capital issued 09/30/11 at —0.25% due 10/03/11 (Secured by a U.S. Treasury Bond, at a rate of 3.75% and maturing 08/15/41 as collateral, with a Value of $305,303,226) to be repurchased at $300,571,164	$	300,577,426	$	300,577,426
Total Repurchase Agreements (Cost $306,832,076)				306,832,076
Total Long Investments — 185.8% (Cost $667,679,508)			$	667,778,625
U.S. GOVERNMENT SECURITIES SOLD SHORT† — (82.7)%
U.S. Treasury Bond 3.75% due 08/15/41		254,245,000		(297,228,295	)
Total U.S. Government Securities Sold Short (Proceeds $264,144,250)				(297,228,295	)
Liabilities, Less Cash & Other Assets — (3.1)%				(11,163,041	)
Total Net Assets — 100.0%			$	359,387,289

			Unrealized
	Contracts		Loss
INTEREST RATE FUTURES CONTRACTS SOLD SHORT†
December 2011 Ultra Long-Term U.S. Treasury Long Bond Futures Contracts (Aggregate Value of Contracts $75,743,500)		476	$	(4,592,495	)

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
2	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
3	Repurchase Agreements — See Note 5.
4	All or portion of this security is pledged as short collateral at September 30,2011.

204 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $360,847,432)	$	360,946,549
Repurchase agreements, at value (cost $306,832,076)		306,832,076
Segregated cash with broker		2,380,000
Receivables:
Fund shares sold		3,744,755
Interest		121,589
Total assets		674,024,969
Liabilities:
Securities sold short, at value (proceeds $264,144,250)		297,228,295
Payable for:
Securities purchased		13,093,500
Fund shares redeemed		1,381,379
Management fees		299,581
Distribution and service fees		88,592
Transfer agent and administrative fees		83,217
Portfolio accounting fees		30,102
Miscellaneous		2,433,014
Total liabilities		314,637,680
Net assets	$	359,387,289
Net assets consist of:
Paid in capital	$	892,342,764
Accumulated net investment loss		(12,407,024	)
Accumulated net realized loss on investments		(482,971,028	)
Net unrealized depreciation on investments		(37,577,423	)
Net assets	$	359,387,289
Investor Class:
Net assets	$	221,419,906
Capital shares outstanding		23,831,357
Net asset value per share	$	9.29
Advisor Class:
Net assets	$	17,249,286
Capital shares outstanding		1,931,474
Net asset value per share	$	8.93
A-Class:
Net assets	$	46,156,012
Capital shares outstanding		5,084,253
Net asset value per share	$	9.08
Maximum offering price per share (Net asset value divided by 95.25%)	$	9.53
C-Class:
Net assets	$	74,562,085
Capital shares outstanding		8,928,124
Net asset value per share	$	8.35

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	415,597
Total investment income		415,597
Expenses:
Management fees		2,478,246
Transfer agent and administrative fees		688,401
Distribution and service fees:
Advisor Class		103,825
A-Class		80,820
C-Class		523,050
Portfolio accounting fees		229,281
Interest expense		8,251,846
Trustees’ fees*		176,459
Miscellaneous		290,693
Total expenses		12,822,621
Net investment loss		(12,407,024	)
Net realized and unrealized gain (loss):
Net realized gain (loss) on:
Futures contracts		(47,119,707	)
Securities sold short		(90,641,827	)
Net realized loss		(137,761,534	)
Net change in unrealized appreciation (depreciation) on:
Investments		(23,568	)
Securities sold short		(23,095,457	)
Futures contracts		(4,262,107	)
Net change in unrealized appreciation (depreciation)		(27,381,132	)
Net realized and unrealized loss		(165,142,666	)
Net decrease in net assets resulting from operations	$	(177,549,690	)

* 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 | SGI series funds semi-annual report | 205

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(12,407,024	)	$	(30,208,843	)
Net realized loss on investments		(137,761,534	)		(28,164,676	)
Net change in unrealized appreciation (depreciation) on investments		(27,381,132	)		(13,957,821	)
Net decrease in net assets resulting from operations		(177,549,690	)		(72,331,340	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		393,873,285			1,015,107,588
Advisor Class		889,889,469			1,581,298,508
A-Class		8,364,233			55,076,811
C-Class		27,652,687			53,771,581
Cost of shares redeemed
Investor Class		(470,284,118	)		(942,202,484	)
Advisor Class		(901,867,121	)		(1,599,920,603	)
A-Class		(15,357,975	)		(52,462,669	)
C-Class		(34,107,313	)		(63,407,171	)
Net increase (decrease) from capital share transactions		(101,836,853	)		47,261,561
Net decrease in net assets		(279,386,543	)		(25,069,779	)
Net assets:
Beginning of period		638,773,832			663,843,611
End of period	$	359,387,289		$	638,773,832
Accumulated net investment loss at end of period	$	(12,407,024	)	$	—
Capital share activity:
Shares sold
Investor Class		33,984,405			77,699,043
Advisor Class		77,671,548			126,977,398
A-Class		698,960			4,274,325
C-Class		2,529,899			4,548,281
Shares redeemed
Investor Class		(41,188,037	)		(72,375,726	)
Advisor Class		(79,296,631	)		(128,126,460	)
A-Class		(1,355,372	)		(4,113,451	)
C-Class		(3,287,636	)		(5,373,749	)
Net increase (decrease) in shares		(10,242,864	)		3,509,661

206 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007e
Per Share Data
Net asset value, beginning of period	$	13.08		$	14.65		$	13.32		$	16.81		$	19.37		$	19.69
Income (loss) from investment operations:
Net investment income (loss)b		(.25	)		(.62	)		(.33	)		(.11	)		.49			(.09	)
Net gain (loss) on investments (realized and unrealized)		(3.54	)		(.95	)		1.66			(3.38	)		(2.39	)		.40
Total from investment operations		(3.79	)		(1.57	)		1.33			(3.49	)		(1.90	)		.31
Less distributions from:
Net investment income		—			—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	9.29		$	13.08		$	14.65		$	13.32		$	16.81		$	19.37
Total Returnc		(28.98	%)		(10.72%	)		9.98	%		(20.76%	)		(9.98%	)		1.66	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	221,420		$	406,031		$	376,574		$	269,155		$	237,900		$	313,117
Ratios to average net assets:
Net investment income (loss)		(4.25	%)		(4.78	%)		(2.23	%)		(0.72	%)		2.56	%		3.68	%
Total expenses		4.40	%		5.06	%		2.53	%		2.80	%		3.45	%		4.97	%
Operating expensesd		1.40	%		1.42	%		1.41	%		1.41	%		1.40	%		1.36	%
Portfolio turnover rate		429	%		771	%		985	%		584	%		550	%		192	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007e
Per Share Data
Net asset value, beginning of period	$	12.60		$	14.17		$	12.95		$	16.41		$	19.01		$	19.43
Income (loss) from investment operations:
Net investment income (loss)b		(.27	)		(.66	)		(.39	)		(.18	)		.34			(.18	)
Net gain (loss) on investments (realized and unrealized)		(3.40	)		(.91	)		1.61			(3.28	)		(2.28	)		.39
Total from investment operations		(3.67	)		(1.57	)		1.22			(3.46	)		(1.94	)		.21
Less distributions from:
Net investment income		—			—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	8.93		$	12.60		$	14.17		$	12.95		$	16.41		$	19.01
Total Returnc		(29.13	%)		(11.08%	)		9.42	%		(21.08%	)		(10.39%	)		1.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,249		$	44,798		$	66,668		$	35,153		$	24,891		$	43,782
Ratios to average net assets:
Net investment income (loss)		(4.76	%)		(5.28	%)		(2.79	%)		(1.19	%)		1.84	%		3.18	%
Total expenses		4.91	%		5.56	%		3.09	%		3.36	%		4.10	%		5.47	%
Operating expensesd		1.90	%		1.91	%		1.91	%		1.91	%		1.90	%		1.86	%
Portfolio turnover rate		429	%		771	%		985	%		584	%		550	%		192	%

See Notes to Financial Statements. The RYDEX | SGI series funds semi-annual report | 207

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007e
Per Share Data
Net asset value, beginning of period	$	12.80		$	14.36		$	13.10		$	16.57		$	19.16		$	19.52
Income (loss) from investment operations:
Net investment income (loss)b		(.26	)		(.64	)		(.35	)		(.15	)		.44			(.14	)
Net gain (loss) on investments (realized and unrealized)		(3.46	)		(.92	)		1.61			(3.32	)		(2.37	)		.41
Total from investment operations		(3.72	)		(1.56	)		1.26			(3.47	)		(1.93	)		.27
Less distributions from:
Net investment income		—			—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	9.08		$	12.80		$	14.36		$	13.10		$	16.57		$	19.16
Total Returnc		(29.06	%)		(10.86%	)		9.62	%		(20.94%	)		(10.25%	)		1.47	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	46,156		$	73,475		$	80,151		$	54,574		$	37,256		$	69,606
Ratios to average net assets:
Net investment income (loss)		(4.50	%)		(5.03	%)		(2.47	%)		(0.94	%)		2.37	%		3.43	%
Total expenses		4.65	%		5.31	%		2.77	%		3.00	%		3.86	%		5.22	%
Operating expensesd		1.65	%		1.67	%		1.66	%		1.65	%		1.65	%		1.61	%
Portfolio turnover rate		429	%		771	%		985	%		584	%		550	%		192	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007e
Per Share Data
Net asset value, beginning of period	$	11.82		$	13.36		$	12.28		$	15.65		$	18.26		$	18.78
Income (loss) from investment operations:
Net investment income (loss)b		(.28	)		(.68	)		(.43	)		(.25	)		.29			(.27	)
Net gain (loss) on investments (realized and unrealized)		(3.19	)		(.86	)		1.51			(3.12	)		(2.24	)		.38
Total from investment operations		(3.47	)		(1.54	)		1.08			(3.37	)		(1.95	)		.11
Less distributions from:
Net investment income		—			—			—			—			(.66	)		(.63	)
Total distributions		—			—			—			—			(.66	)		(.63	)
Net asset value, end of period	$	8.35		$	11.82		$	13.36		$	12.28		$	15.65		$	18.26
Total Returnc		(29.36	%)		(11.53%	)		8.79	%		(21.53%	)		(10.87%	)		0.67	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	74,562		$	114,470		$	140,451		$	123,413		$	124,572		$	213,175
Ratios to average net assets:
Net investment income (loss)		(5.24	%)		(5.78	%)		(3.17	%)		(1.70	%)		1.62	%		2.68	%
Total expenses		5.39	%		6.06	%		3.47	%		3.81	%		4.44	%		5.97	%
Operating expensesd		2.40	%		2.42	%		2.41	%		2.41	%		2.40	%		2.36	%
Portfolio turnover rate		429	%		771	%		985	%		584	%		550	%		192	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Operating expenses exclude interest and dividend expense from securities sold short.
e	Prior to April 1, 2007, the Fund operated under a Master-Feeder Structure. Ratios represent combined net investment income of the former Master Portfolio and the Fund. Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007.

208 | The RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

HIGH YIELD STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate to the performance of the high yield bond market.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:

A-Class	April 16, 2007
C-Class	April 16, 2007
H-Class	April 16, 2007

The Fund invests principally in derivative investments such as high yield credit default swap agreements and futures contracts.

The RYDEX SGI Series Funds Semi-Annual Report | 209

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

HIGH YIELD STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 116.9%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	16,590,519	$	16,590,519
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		8,205,267		8,205,267
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		5,831,313		5,831,313
Total Repurchase Agreements (Cost $30,627,099)				30,627,099
Total Investments — 116.9% (Cost $30,627,099)			$	30,627,099
Liabilities, Less Cash & Other Assets — (16.9)%				(4,431,342	)
Total Net Assets — 100.0%			$	26,195,757

			Unrealized
	Contracts		Gain
INTEREST RATE FUTURES CONTRACTS PURCHASED†
December 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $16,667,438)		136	$	15,334

CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD^††,2

													Upfront
		Protection			Maturity		Notional			Notional			Premiums			Unrealized
Index	Counterparty	Premium Rate			Date		Principal			Value			Received			Depreciation
CDX.NA.HY-17 Index	Credit Suisse International		5.00	%		12/20/16	$	(14,300,000	)	$	(12,441,000	)	$	(1,471,746	)	$	(387,254	)
CDX.NA.HY-17 Index	Barclays Bank plc		5.00	%		12/20/16		(12,500,000	)		(10,875,000	)		(1,236,804	)		(388,196	)
CDX.NA.HY-17 Index	Goldman Sachs International		5.00	%		12/20/16		(2,500,000	)		(2,175,000	)		(249,607	)		(75,393	)

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Credit Default Swaps — See Note 6. plc — Public Limited Company

210 | The RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

HIGH YIELD STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Repurchase agreements, at value (cost $30,627,099)	$	30,627,099
Segregated cash with broker		7,515,690
Receivables:
Securities sold		236,250
Protection fees on credit default swaps		55,460
Variation margin		7,965
Fund shares sold		6
Total assets		38,442,470
Liabilities:
Unamortized upfront premium received		2,958,157
Unrealized depreciation on swap agreements		850,843
Payable for:
Fund shares redeemed		7,214,879
Credit default swap settlement		1,120,000
Management fees		25,281
Distribution and service fees		12,969
Transfer agent and administrative fees		8,427
Portfolio accounting fees		3,371
Miscellaneous		52,786
Total liabilities		12,246,713
Net assets	$	26,195,757
Net assets consist of:
Paid in capital	$	33,713,148
Undistributed net investment income		1,561,888
Accumulated net realized loss on investments		(8,243,770	)
Net unrealized depreciation on investments		(835,509	)
Net assets	$	26,195,757
A-Class:
Net assets	$	12,773,247
Capital shares outstanding		614,823
Net asset value per share	$	20.78
Maximum offering price per share (Net asset value divided by 95.25%)	$	21.81
C-Class:
Net assets	$	7,002,559
Capital shares outstanding		351,001
Net asset value per share	$	19.95
H-Class:
Net assets	$	6,419,951
Capital shares outstanding		309,547
Net asset value per share	$	20.75

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	21,550
Dividends		14,085
Total investment income		35,635
Expenses:
Management fees		593,683
Transfer agent and administrative fees		197,894
Distribution and service fees:
A-Class		13,265
C-Class		34,454
H-Class		176,016
Portfolio accounting fees		76,679
Registration fees		72,268
Trustees’ fees*		10,151
Miscellaneous		53,563
Total expenses		1,227,973
Net investment loss		(1,192,338	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(137,098	)
Swap agreements		(14,086,768	)
Futures contracts		11,482,135
Net realized loss		(2,741,731	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		(852,315	)
Futures contracts		38,288
Net change in unrealized appreciation (depreciation)		(814,027	)
Net realized and unrealized loss		(3,555,758	)
Net increase in net assets resulting from operations	$	(4,748,096	)

* 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 | SGI series funds semi-annual report | 211

HIGH YIELD STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(1,192,338	)	$	(2,645,405	)
Net realized gain (loss) on investments		(2,741,731	)		17,982,503
Net change in unrealized appreciation (depreciation) on investments		(814,027	)		(10,835	)
Net increase (decrease) in net assets resulting from operations		(4,748,096	)		15,326,263
Distributions to shareholders from:
Net investment income
A-Class		—			(1,422,631	)
C-Class		—			(626,512	)
H-Class		—			(2,761,602	)
Total distributions to shareholders		—			(4,810,745	)
Capital share transactions:
Proceeds from sale of shares
A-Class		36,666,737			102,263,958
C-Class		43,631,619			68,379,959
H-Class		437,266,080			1,145,448,113
Distributions reinvested
A-Class		—			942,150
C-Class		—			577,687
H-Class		—			2,516,782
Cost of shares redeemed
A-Class		(37,414,366	)		(92,522,654	)
C-Class		(42,229,537	)		(66,540,825	)
H-Class		(543,771,807	)		(1,059,304,080	)
Net increase (decrease) from capital share transactions		(105,851,274	)		101,761,090
Net increase (decrease) in net assets		(110,599,370	)		112,276,608
Net assets:
Beginning of period		136,795,127			24,518,519
End of period	$	26,195,757		$	136,795,127
Undistributed net investment income at end of period	$	1,561,888		$	2,754,226
Capital share activity:
Shares sold
A-Class		1,655,986			4,689,630
C-Class		2,059,925			3,271,747
H-Class		19,613,895			53,236,425
Shares issued from reinvestment of distributions
A-Class		—			43,801
C-Class		—			27,800
H-Class		—			117,169
Shares redeemed
A-Class		(1,703,596	)		(4,306,080	)
C-Class		(1,998,211	)		(3,178,877	)
H-Class		(24,594,396	)		(48,866,599	)
Net increase (decrease) in shares		(4,966,397	)		5,035,016

212 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	21.98		$	20.42		$	16.64		$	24.31		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.15	)		(.30	)		(.26	)		(.16	)		.69
Net gain (loss) on investments (realized and unrealized)		(1.05	)		3.37			5.39			(3.51	)		(1.31	)
Total from investment operations		(1.20	)		3.07			5.13			(3.67	)		(.62	)
Less distributions from:
Net investment income		—			(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		—			(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	20.78		$	21.98		$	20.42		$	16.64		$	24.31
Total Returnd		(5.46	%)		15.21	%		31.07	%		(16.15%	)		(2.49	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	12,773		$	14,561		$	4,800		$	5,748		$	10,530
Ratios to average net assets:
Net investment income (loss)		(1.39	%)		(1.40	%)		(1.37	%)		(0.71	%)		2.79	%
Total expenses		1.52	%		1.54	%		1.54	%		1.57	%		1.50	%
Portfolio turnover rate		—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	21.19		$	19.87		$	16.33		$	24.12		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.23	)		(.45	)		(.40	)		(.25	)		.46
Net gain (loss) on investments (realized and unrealized)		(1.01	)		3.28			5.29			(3.54	)		(1.27	)
Total from investment operations		(1.24	)		2.83			4.89			(3.79	)		(.81	)
Less distributions from:
Net investment income		—			(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		—			(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	19.95		$	21.19		$	19.87		$	16.33		$	24.12
Total Returnd		(5.85	%)		14.40	%		30.17	%		(16.83%	)		(3.25	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,003		$	6,129		$	3,351		$	1,773		$	1,001
Ratios to average net assets:
Net investment income (loss)		(2.14	%)		(2.13	%)		(2.13	%)		(1.21	%)		1.90	%
Total expenses		2.27	%		2.28	%		2.29	%		2.32	%		2.22	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 213

HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	21.95		$	20.38		$	16.61		$	24.28		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.17	)		(.30	)		(.26	)		(.04	)		.62
Net gain (loss) on investments (realized and unrealized)		(1.03	)		3.38			5.38			(3.63	)		(1.27	)
Total from investment operations		(1.20	)		3.08			5.12			(3.67	)		(.65	)
Less distributions from:
Net investment income		—			(1.51	)		(1.35	)		(4.00	)		(.07	)
Total distributions		—			(1.51	)		(1.35	)		(4.00	)		(.07	)
Net asset value, end of period	$	20.75		$	21.95		$	20.38		$	16.61		$	24.28
Total Returnd		(5.47	%)		15.29	%		31.07	%		(16.16%	)		(2.61	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,420		$	116,106		$	16,368		$	239,528		$	64,290
Ratios to average net assets:
Net investment income (loss)		(1.48	%)		(1.38	%)		(1.37	%)		(0.20	%)		2.55	%
Total expenses		1.52	%		1.53	%		1.53	%		1.56	%		1.49	%
Portfolio turnover rate		—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: April 16, 2007. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

214 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

INVERSE HIGH YIELD STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that inversely correlate to the performance of the high yield bond market.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:

A-Class	April 16, 2007
C-Class	April 16, 2007
H-Class	April 16, 2007

The Fund invests principally in derivative investments such as high yield credit default swap agreements and futures contracts.

the RYDEX | SGI series funds semi-annual report | 215

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

INVERSE HIGH YIELD STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 66.0%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	16,254,947	$	16,254,947
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		8,039,301		8,039,301
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		5,713,364		5,713,364
Total Repurchase Agreements (Cost $30,007,612)				30,007,612
Total Investments — 66.0% (Cost $30,007,612)			$	30,007,612
Cash & Other Assets, Less Liabilities — 34.0%				15,451,153
Total Net Assets — 100.0%			$	45,458,765

			Unrealized
	Contracts		Gain
INTEREST RATE FUTURES CONTRACTS SOLD SHORT†
December 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $33,334,875)		272	$	32,441

CREDIT DEFAULT SWAP AGREEMENTS PROTECTION SOLD^††

											Upfront
		Protection			Maturity		Notional		Notional		Premiums		Unrealized
Index	Counterparty	Premium Rate			Date		Principal		Value		Paid		Appreciation
CDX.NA.HY-17 Index	Credit Suisse International		5.00	%		12/20/16	$	32,800,000	$	28,536,000	$	3,531,580	$	732,420
CDX.NA.HY-17 Index	Barclays Bank plc		5.00	%		12/20/16		11,000,000		9,570,000		1,100,891		329,109
CDX.NA.HY-17 Index	Goldman Sachs International		5.00	%		12/20/16		2,500,000		2,175,000		249,607		75,393

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.

216 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE HIGH YIELD STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Repurchase agreements, at value (cost $30,007,612)	$	30,007,612
Segregated cash with broker		3,924,053
Unamortized upfront premiums received on credit default swaps		4,882,078
Unrealized appreciation on swap agreements		1,136,922
Receivables:
Fund shares sold		6,812,446
Total assets		46,763,111
Liabilities:
Payable for:
Credit default swap settlement		1,157,500
Fund shares redeemed		28,810
Management fees		19,358
Distribution and service fees		6,907
Transfer agent and administrative fees		6,453
Portfolio accounting fees		2,581
Protection fees on credit default swaps		57,123
Miscellaneous		25,614
Total liabilities		1,304,346
Net assets	$	45,458,765
Net assets consist of:
Paid in capital	$	53,325,759
Accumulated net investment loss		(175,619	)
Accumulated net realized loss on investments		(8,860,738	)
Net unrealized appreciation on investments		1,169,363
Net assets	$	45,458,765
A-Class:
Net assets	$	4,235,887
Capital shares outstanding		129,406
Net asset value per share	$	32.73
Maximum offering price per share (Net asset value divided by 95.25%)	$	34.37
C-Class:
Net assets	$	761,999
Capital shares outstanding		24,022
Net asset value per share	$	31.71
H-Class:
Net assets	$	40,460,879
Capital shares outstanding		1,233,913
Net asset value per share	$	32.78

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	2,766
Total investment income		2,766
Expenses:
Management fees		86,522
Transfer agent and administrative fees		28,841
Distribution and service fees:
A-Class		4,449
C-Class		4,719
H-Class		23,212
Portfolio accounting fees		11,536
Trustees’ fees*		490
Miscellaneous		18,616
Total expenses		178,385
Net investment loss		(175,619	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		891,998
Futures contracts		(1,010,234	)
Net realized loss		(118,236	)
Net change in unrealized appreciation (depreciation) on:
Swap agreements		1,137,085
Futures contracts		(147,086	)
Net change in unrealized appreciation (depreciation)		989,999
Net realized and unrealized gain		871,763
Net increase in net assets resulting from operations	$	696,144

* 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 | SGI series funds semi-annual report | 217

INVERSE HIGH YIELD STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(175,619	)	$	(276,545	)
Net realized loss on investments		(118,236	)		(4,368,493	)
Net change in unrealized appreciation (depreciation) on investments		989,999			152,532
Net increase (decrease) in net assets resulting from operations		696,144			(4,492,506	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		39,300,133			40,028,327
C-Class		4,858,182			5,760,752
H-Class		136,487,624			230,820,350
Cost of shares redeemed
A-Class		(36,400,639	)		(39,859,655	)
C-Class		(6,618,639	)		(4,931,877	)
H-Class		(106,610,483	)		(245,856,867	)
Net increase (decrease) from capital share transactions		31,016,178			(14,038,970	)
Net increase (decrease) in net assets		31,712,322			(18,531,476	)
Net assets:
Beginning of period		13,746,443			32,277,919
End of period	$	45,458,765		$	13,746,443
Accumulated net investment loss at end of period	$	(175,619	)	$	—
Capital share activity:
Shares sold
A-Class		1,253,331			1,182,246
C-Class		162,071			179,518
H-Class		4,346,832			6,507,282
Shares redeemed
A-Class		(1,171,192	)		(1,193,892	)
C-Class		(219,518	)		(152,460	)
H-Class		(3,415,647	)		(6,928,732	)
Net increase (decrease) in shares		955,877			(406,038	)

218 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	31.99		$	38.51		$	55.13		$	51.26		$	50.00
Income (loss) from investment operations:
Net investment income (loss)c		(.23	)		(.47	)		(.63	)		(.10	)		.54
Net gain (loss) on investments (realized and unrealized)		.97			(6.05	)		(15.60	)		5.29			.72
Total from investment operations		.74			(6.52	)		(16.23	)		5.19			1.26
Less distributions from:
Net realized gains		—			—			(.39	)		(1.32	)		—
Total distributions		—			—			(.39	)		(1.32	)		—
Net asset value, end of period	$	32.73		$	31.99		$	38.51		$	55.13		$	51.26
Total Returnd		2.35	%		(16.96%	)		29.47	%		10.17	%		2.52	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,236		$	1,512		$	2,269		$	2,278		$	1,673
Ratios to average net assets:
Net investment income (loss)		(1.49	%)		(1.39	%)		(1.43	%)		(0.19	%)		1.09	%
Total expenses		1.51	%		1.53	%		1.54	%		1.52	%		1.52	%
Portfolio turnover rate		—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	31.12		$	37.77		$	54.49		$	51.06		$	50.00
Income (loss) from investment operations:
Net investment lossc		(.34	)		(.72	)		(.95	)		(.52	)		(.62	)
Net gain (loss) on investments (realized and unrealized)		.93			(5.93	)		(15.38	)		5.27			1.68
Total from investment operations		.59			(6.65	)		(16.33	)		4.75			1.06
Less distributions from:
Net realized gains		—			—			(.39	)		(1.32	)		—
Total distributions		—			—			(.39	)		(1.32	)		—
Net asset value, end of period	$	31.71		$	31.12		$	37.77		$	54.49		$	51.06
Total Returnd		1.90	%		(17.61%	)		(30.00%	)		9.34	%		2.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	762		$	2,535		$	2,055		$	869		$	2,958
Ratios to average net assets:
Net investment loss		(2.25	%)		(2.13	%)		(2.18	%)		(1.00	%)		(1.25	%)
Total expenses		2.27	%		2.28	%		2.29	%		2.28	%		2.26	%
Portfolio turnover rate		—			—			—			—			—

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 219

INVERSE HIGH YIELD STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	32.04		$	38.60		$	55.26		$	51.38		$	50.00
Income (loss) from investment operations:
Net investment income (loss)c		(.24	)		(.50	)		(.61	)		(.29	)		1.44
Net gain (loss) on investments (realized and unrealized)		.98			(6.06	)		(15.66	)		5.49			(.06	)
Total from investment operations		.74			(6.56	)		(16.27	)		5.20			1.38
Less distributions from:
Net realized gains		—			—			(.39	)		(1.32	)		—
Total distributions		—			—			(.39	)		(1.32	)		—
Net asset value, end of period	$	32.78		$	32.04		$	38.60		$	55.26		$	51.38
Total Returnd		2.31	%		(16.99%	)		(29.47%	)		10.17	%		2.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	40,461		$	9,699		$	27,954		$	13,799		$	6,536
Ratios to average net assets:
Net investment income (loss)		(1.49	%)		(1.38	%)		(1.43	%)		(0.55	%)		2.84	%
Total expenses		1.52	%		1.53	%		1.53	%		1.53	%		1.52	%
Portfolio turnover rate		—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: April 16, 2007. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

220 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

U.S. GOVERNMENT MONEY MARKET FUND

OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.

     Holdings Diversification (Market Exposure as % of Net Assets)

FAN — Federal Agency Notes.
FADN — Federal Agency Discount Notes.

Inception Dates:

Investor Class	December 1, 1993
Investor2 Class	July 10, 2009
Advisor Class	April 1, 1998
A-Class	March 31, 2004
C-Class	October 19, 2000

The Fund invests principally in money market instruments issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and enters into repurchase agreements fully collateralized by U.S. government securities.

the RYDEX | SGI series funds semi-annual report | 221

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

U.S. GOVERNMENT MONEY MARKET FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 23.0%
Federal Home Loan Bank1
0.00% due 10/28/11	$	100,000,000	$	99,999,925
0.11% due 02/10/12		25,000,000		24,989,917
0.21% due 01/05/12		5,000,000		4,997,200
Federal Farm Credit Bank1
0.12% due 02/08/12		20,000,000		19,991,333
0.18% due 04/18/12		20,000,000		19,980,000
0.10% due 11/16/11		15,000,000		14,998,083
0.14% due 02/02/12		15,000,000		14,992,767
0.25% due 10/13/11		10,000,000		9,999,167
0.19% due 10/24/11		10,000,000		9,998,786
0.21% due 12/28/11		10,000,000		9,994,867
0.14% due 05/15/12		10,000,000		9,991,172
Fannie Mae2
0.12% due 02/08/12		25,000,000		24,989,618
0.20% due 06/01/12		25,000,000		24,966,111
0.06% due 03/28/12		17,000,000		16,994,506
0.21% due 10/03/11		10,000,000		9,999,883
0.14% due 01/09/12		10,000,000		9,996,111
Freddie Mac2
0.13% due 12/05/11		25,000,000		24,994,132
0.12% due 04/10/12		25,000,000		24,983,333
0.10% due 12/08/11		20,000,000		19,996,222
Farmer Mac1
0.12% due 12/06/11		20,000,000		19,995,600
0.20% due 05/15/12		15,000,000		14,981,083
0.17% due 07/24/12		15,000,000		14,978,963
Total Federal Agency Discount Notes (Cost $446,808,779)				446,808,779
FEDERAL AGENCY NOTES†† - 5.7%
Federal Home Loan Bank1
0.25% due 03/07/12		25,000,000		24,999,773
0.10% due 03/30/12		25,000,000		24,998,757
0.30% due 10/14/11		15,000,000		15,000,169
0.16% due 04/02/12		15,000,000		14,999,499
0.14% due 03/26/12		15,000,000		14,998,739
0.15% due 06/07/12		15,000,000		14,997,126
Total Federal Agency Notes (Cost $109,994,063)				109,994,063
REPURCHASE AGREEMENTS††,3 - 62.7%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		574,799,805		574,799,805
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		354,713,419		354,713,419
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		284,281,980		284,281,980
Total Repurchase Agreements (Cost $1,213,795,204)				1,213,795,204
COMMERCIAL PAPER†† - 5.7%
General Re Corp.
0.07% due 11/02/11		10,000,000		9,999,378
Danske Corp.
0.24% due 10/14/11		10,000,000		9,999,133
Toyota Motor Credit Co.
0.18% due 10/21/11		10,000,000		9,999,000
American Honda Finance
0.14% due 11/02/11		10,000,000		9,998,756
Prudential plc
0.44% due 11/07/11		10,000,000		9,995,478
Coca-Cola Co.
0.17% due 11/01/11		5,000,000		4,999,268
0.20% due 03/01/12		5,000,000		4,995,778
Nestle Capital Corp.
0.17% due 12/01/11		5,000,000		4,998,560
0.21% due 04/03/12		5,000,000		4,994,604
Barclays (US) Funding, LLC
0.42% due 11/15/11		5,000,000		4,997,375
0.40% due 02/14/12		5,000,000		4,992,444
Westpack Banking Corp.
0.28% due 11/04/11		5,000,000		4,998,678
0.48% due 03/12/12		5,000,000		4,989,177
UBS Finance (DE), LLC
0.45% due 12/02/11		5,000,000		4,996,125
0.41% due 03/12/12		5,000,000		4,990,718
Sheffield Receivables Corp.
0.17% due 10/17/11		5,000,000		4,999,622
0.24% due 11/18/11		5,000,000		4,998,400
Total Commercial Paper (Cost $109,942,494)				109,942,494
Total Investments — 97.1% (Cost $1,880,540,540)			$	1,880,540,540
Other Assets, Less Liabilities — 2.9%				56,349,601
Total Net Assets — 100.0%			$	1,936,890,141

††	Value determined based on Level 2 inputs — See Note 4.
1	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
2	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
3	Repurchase Agreements — See Note 5.  plc — Public Limited Company

222 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $666,745,336)	$	666,745,336
Repurchase agreements, at value (cost $1,213,795,204)		1,213,795,204
Receivables:
Fund shares sold		104,442,274
Interest		55,456
Total assets		1,985,038,270
Liabilities:
Overdraft due to custodian bank		11,852
Payable for:
Fund shares redeemed		47,260,050
Miscellaneous		876,227
Total liabilities		48,148,129
Net assets	$	1,936,890,141
Net assets consist of:
Paid in capital	$	1,936,846,754
Undistributed net investment income		680
Accumulated net realized gain on investments		42,707
Net unrealized appreciation on investments		—
Net assets	$	1,936,890,141
Investor Class:
Net assets	$	900,892,800
Capital shares outstanding		901,286,903
Net asset value per share	$	1.00
Investor2 Class:
Net assets	$	43,944,253
Capital shares outstanding		43,940,736
Net asset value per share	$	1.00
Advisor Class:
Net assets	$	892,573,505
Capital shares outstanding		892,684,154
Net asset value per share	$	1.00
A-Class:
Net assets	$	39,722,454
Capital shares outstanding		39,738,907
Net asset value per share	$	1.00
C-Class:
Net assets	$	59,757,129
Capital shares outstanding		59,807,023
Net asset value per share	$	1.00

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	585,003
Total investment income		585,003
Expenses:
Management fees		2,932,161
Transfer agent and administrative fees		1,172,877
Distribution and service fees:
Advisor Class		580,049
C-Class		265,849
Portfolio accounting fees		345,144
Trustees’ fees*		37,218
Miscellaneous		947,748
Total expenses		6,281,046
Less:
Expenses waived by service company		(1,509,384	)
Expenses waived by distributor		(845,908	)
Expenses waived by advisor		(3,344,663	)
Total waived expenses		(5,699,955	)
Net expenses		581,091
Net investment income		3,912
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		23,099
Net realized gain		23,099
Net change in unrealized appreciation (depreciation)		—
Net realized and unrealized gain		23,099
Net increase in net assets resulting from operations	$	27,011

* 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 | SGI series funds semi-annual report | 223

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	3,912		$	66,580
Net realized gain on investments		23,099			22,225
Net increase in net assets resulting from operations		27,011			88,805
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Investor Class		(2,845	)		(44,307	)
Investor2 Class		(162	)		(2,773	)
Advisor Class		(569	)		(13,727	)
A-Class		(148	)		(2,159	)
C-Class		(187	)		(3,616	)
Net realized gains
Investor Class		—			(22,699	)
Investor2 Class		—			(1,157	)
Advisor Class		—			(4,482	)
A-Class		—			(1,101	)
C-Class		—			(1,385	)
Total distributions to shareholders		(3,911	)		(97,406	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		4,482,663,813			9,630,003,112
Investor2 Class		25,962,365			48,377,228
Advisor Class		2,912,838,629			5,264,379,210
A-Class		59,658,757			151,697,120
C-Class		194,299,744			322,812,213
Distributions reinvested
Investor Class		2,816			66,874
Investor2 Class		153			3,178
Advisor Class		562			18,140
A-Class		143			3,160
C-Class		177			4,826
Cost of shares redeemed
Investor Class		(4,415,690,189	)		(9,668,927,624	)
Investor2 Class		(27,468,416	)		(54,121,061	)
Advisor Class		(2,160,172,471	)		(5,248,363,560	)
A-Class		(60,777,931	)		(141,499,697	)
C-Class		(183,566,565	)		(350,392,231	)
Net increase (decrease) from capital share transactions		827,751,587			(45,939,112	)
Net increase (decrease) in net assets		827,774,687			(45,947,713	)
Net assets:
Beginning of period		1,109,115,454			1,155,063,167
End of period	$	1,936,890,141		$	1,109,115,454
Undistributed net investment income at end of period	$	680		$	679

224 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

U.S. GOVERNMENT MONEY MARKET FUND

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Capital share activity:
Shares sold
Investor Class		4,482,663,815			9,630,003,112
Investor2 Class		25,962,365			48,377,228
Advisor Class		2,912,838,629			5,264,379,210
A-Class		59,658,757			151,697,119
C-Class		194,299,743			322,812,212
Shares issued from reinvestment of distributions
Investor Class		2,819			66,868
Investor2 Class		153			3,179
Advisor Class		562			18,140
A-Class		143			3,161
C-Class		177			4,825
Shares redeemed
Investor Class		(4,415,690,189	)		(9,678,927,624	)
Investor2 Class		(27,468,415	)		(54,121,059	)
Advisor Class		(2,160,172,471	)		(5,248,363,560	)
A-Class		(60,777,931	)		(141,499,697	)
C-Class		(183,566,565	)		(350,392,230	)
Net increase (decrease) in shares		827,751,592			(45,939,116	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 225

U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIG HTS

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.

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment incomeb		—	c		—	c		—	c		.01			.04			.04
Net gain on investments (realized and unrealized)		—			—	c		—			—			—			—
Total from investment operations		—	c		—	c		—	c		.01			.04			.04
Less distributions from:
Net investment income		(—	)c		(—	)c		(—	)c		(.01	)		(.04	)		(.04	)
Net realized gain		—			(—	)c		—			—			—			—
Total distributions		(—	)c		(—	)c		(—	)c		(.01	)		(.04	)		(.04	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returne		0.00	%		0.01	%		0.01	%		1.06	%		3.76	%		4.26	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	900,893		$	833,899		$	872,765		$	1,114,286		$	978,584		$	982,347
Ratios to average net assets:
Net investment income		—	d		0.01	%		0.01	%		1.02	%		3.71	%		4.20	%
Total expenses		0.93	%		0.94	%		0.93	%		0.95	%		0.93	%		0.92	%
Net expensesf		0.10	%		0.22	%		0.37	%		0.90	%		0.93	%		0.92	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,
Investor2 Class	2011a			2011			2010g
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment incomeb		—	c		—	c		—	c
Net gain on investments (realized and unrealized)		—			—	c		—
Total from investment operations		—	c		—	c		—	c
Less distributions from:
Net investment income		(—	)c		(—	)c		(—	)c
Net realized gain		—			(—	)c		—
Total distributions		(—	)c		(—	)c		(—	)c
Net asset value, end of period	$	1.00		$	1.00		$	1.00
Total Returne		0.00	%		0.01	%		0.00	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	43,944		$	45,449		$	51,190
Ratios to average net assets:
Net investment income		—	d		0.01	%		0.01	%
Total expenses		0.93	%		0.94	%		0.94	%
Net expensesf		0.10	%		0.22	%		0.29	%
Portfolio turnover rate		—			—			—

226 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

U.S. GOVERNMENT MONEY MARKET FUND

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.

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment incomeb		—	c		—	c		—	c		.01			.03			.04
Net gain on investments (realized and unrealized)		—			—	c		—			—			—			—
Total from investment operations		—	c		—	c		—	c		.01			.03			.04
Less distributions from:
Net investment income		(—	)c		(—	)c		(—	)c		(.01	)		(.03	)		(.04	)
Net realized gain		—			(—	)c		—			—			—			—
Total distributions		(—	)c		(—	)c		(—	)c		(.01	)		(.03	)		(.04	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returne		0.00	%		0.01	%		0.01	%		0.65	%		3.24	%		3.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	892,574		$	139,904		$	123,870		$	341,425		$	159,111		$	204,068
Ratios to average net assets:
Net investment income (loss)		—	d		0.01	%		0.03	%		0.55	%		3.25	%		3.70	%
Total expenses		1.43	%		1.44	%		1.43	%		1.45	%		1.43	%		1.42	%
Net expensesf		0.09	%		0.22	%		0.37	%		1.26	%		1.43	%		1.42	%
Portfolio turnover rate		—			—			—			—			—			—

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment incomeb		—	c		—	c		(—	)c		.01			.03			.04
Net gain on investments (realized and unrealized)		—			—	c		—			—			—			—
Total from investment operations		—	c		—	c		(—	)c		.01			.03			.04
Less distributions from:
Net investment income		(—	)c		(—	)c		(—	)c		(.01	)		(.03	)		(.04	)
Net realized gain		—			(—	)c		—			—			—			—
Total distributions		(—	)c		(—	)c		(—	)c		(.01	)		(.03	)		(.04	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returne		0.00	%		0.01	%		0.01	%		0.85	%		3.51	%		4.01	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	39,722		$	40,841		$	30,640		$	49,072		$	21,174		$	18,779
Ratios to average net assets:
Net investment income (loss)		—	d		0.01	%		(0.04	%)		0.74	%		3.45	%		3.97	%
Total expenses		0.93	%		1.13	%		1.18	%		1.20	%		1.18	%		1.17	%
Net expensesf		0.10	%		0.21	%		0.38	%		1.09	%		1.18	%		1.17	%
Portfolio turnover rate		—			—			—			—			—			—

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U.S. GOVERNMENT MONEY MARKET FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Income (loss) from investment operations:
Net investment incomeb		—	c		—	c		(—	)c		—	c		.03			.03
Net gain on investments (realized and unrealized)		—			—	c		—			—			—			—
Total from investment operations		—	c		—	c		(—	)c		—	c		.03			.03
Less distributions from:
Net investment income		(—	)c		(—	)c		(—	)c		(—	)c		(.03	)		(.03	)
Net realized gain		—			(—	)c		—			—			—			—
Total distributions		(—	)c		(—	)c		(—	)c		(—	)c		(.03	)		(.03	)
Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00		$	1.00
Total Returne		0.00	%		0.01	%		0.01	%		0.26	%		2.74	%		3.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	59,757		$	49,023		$	76,598		$	135,384		$	121,436		$	120,415
Ratios to average net assets:
Net investment income (loss)		—	d		0.01	%		(0.05	%)		0.24	%		2.69	%		3.20	%
Total expenses		1.93	%		1.94	%		1.93	%		1.95	%		1.93	%		1.92	%
Net expensesf		0.10	%		0.22	%		0.39	%		1.70	%		1.93	%		1.92	%
Portfolio turnover rate		—			—			—			—			—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Less than $0.01 per share.
d	Less than 0.01%.
e	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
f	Net expense information reflects the expense ratios after expense waivers.
g	Since commencement of operations: July 10, 2009. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

228 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization and Significant Accounting Policies Organization

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. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.

At September 30, 2011, the Trust consisted of fifty-eight separate funds. This report covers the Target Beta and the Money Market funds (the “Funds”), while the other funds are contained in separate reports.

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

Significant Accounting Policies

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

A. The Trust calculates a 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. and the afternoon NAV is calculated at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. 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, 2011, afternoon NAV.

Equity securities listed on an exchange (NYSE or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.

The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act, which approximates market value.

Debt securities in a non 2a-7 money market fund with a maturity greater than 60 days at acquisition are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued at the reported bid price, at the close of business. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, which approximates market value.

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.

The value of domestic equity index, corporate bond index and credit default swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.

The value of 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 broker quote.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

The value of foreign equity 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. In the event that no order is filled at 4:00 p.m., 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 for which market quotations are not readily available are fair valued as determined in good faith by SGI under the direction of the Board of 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. Security 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. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

C. Net investment income is computed and dividends are declared daily in the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund. Income dividends in these Funds are accrued daily. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.

D. When a Fund engages in a short sale of a security, 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 recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender 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. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short or incur rebate charges to borrow certain securities.

E. The Funds invested in equity and interest rate futures contracts for liquidity and index exposure. Certain Funds entered into stock, bond and currency index 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 futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. 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.

The following Funds entered into futures contracts for the following purposes:

	Index
Fund Name	Exposure		Liquidity
Nova Fund		x		x
S&P 500 Fund		x		x
Inverse S&P 500 Strategy Fund		x		x
NASDAQ-100®Fund		x		x
Inverse NASDAQ-100® Strategy Fund		x		x
Mid-Cap 1.5x Strategy Fund		x		x
Inverse Mid-Cap Strategy Fund		x		x
Russell 2000® 1.5x Strategy Fund		x		x

230 | the RYDEX | SGI series funds semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

	Index
Fund Name	Exposure		Liquidity
Russell 2000® Fund		x		x
Inverse Russell 2000® Strategy Fund		x		x
Europe 1.25x Strategy Fund		x		x
Japan 2x Strategy Fund		x		x
Strengthening Dollar 2x Strategy Fund		x		x
Weakening Dollar 2x Strategy Fund		x		x
Government Long Bond 1.2x Strategy Fund		x		x
Inverse Government Long Bond Strategy Fund		x		x
High Yield Strategy Fund		x		x
Inverse High Yield Strategy Fund		x		x

F. Certain Funds entered into domestic equity index, corporate bond index and domestic currency index swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index or domestic currency 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 domestic currency index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. The swap agreements are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.

The High Yield Strategy Fund and Inverse High Yield Strategy Fund entered into credit default swap agreements where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Upfront payments received or made by a Fund, are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

The following Funds entered into swap agreements for the following purposes:

	Index
Fund Name	Exposure		Liquidity
Nova Fund		x		x
S&P 500 Fund		x		x
Inverse S&P 500 Strategy Fund		x		x
NASDAQ-100® Fund		x		x
Inverse NASDAQ-100® Strategy Fund		x		x
Mid-Cap 1.5x Strategy Fund		x		x
Inverse Mid-Cap Stategy Fund		x		x
Russell 2000® 1.5x Strategy Fund		x		x
Russell 2000® Fund		x		x
Inverse Russell 2000® Strategy Fund		x		x
Strengthening Dollor 2x Strategy Fund		x		x
Weakening Dollar 2x Strategy Fund		x		x
High Yield Strategy Fund		x		x
Inverse High Yield Strategy Fund		x		x

G. 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.

H. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the 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.

I. Interest and dividend income, most expenses, all realized gains and losses, and all unrealized gains and

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

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 Advisor Class shares and 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 assets of each Fund included in the Trust.

J. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

2. Financial Instruments

As part of its investment strategy, the Funds utilized short sales and a variety of derivative instruments including 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.

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

There are several risks in connection with the use of futures contracts. Risks may be caused by an imperfect correlation between movements in the price of the instruments and the price of the underlying securities. In addition, there is the risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions, due to the fact they could be considered illiquid. Although the Trust will not enter into any swap agreement unless SGI 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.

There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor,” receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. A Fund may enter into credit default swaps in which that Fund or its counterparty acts as guarantor. By acting as the guarantor of a swap, that Fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value.

In conjunction with the use of short sales, futures, and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.

The risks inherent in the use of short sales, futures contracts, and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Trust pays SGI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds for the period ended September 30, 2011:

	Management
	Fees (as a % of
Fund	Net Assets)
Nova Fund		0.75	%
S&P 500 Fund		0.75	%
Inverse S&P 500 Strategy Fund		0.90	%
Nasdaq-100® Fund		0.75	%
Inverse Nasdaq-100® Strategy Fund		0.90	%
Mid-Cap 1.5x Strategy Fund		0.90	%
Inverse Mid-Cap Strategy Fund		0.90	%

232 | the RYDEX | SGI series funds semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

	Management
	Fees (as a % of
Fund	Net Assets)
Russell 2000® 1.5x Strategy Fund		0.90	%
Russell 2000® Fund		0.75	%
Inverse Russell 2000® Strategy Fund		0.90	%
S&P 500 Pure Growth Fund		0.75	%
S&P 500 Pure Value Fund		0.75	%
S&P MidCap 400 Pure Growth Fund		0.75	%
S&P MidCap 400 Pure Value Fund		0.75	%
S&P SmallCap 600 Pure Growth Fund		0.75	%
S&P SmallCap 600 Pure Value Fund		0.75	%
Europe 1.25x Strategy Fund		0.90	%
Japan 2x Strategy Fund		0.75	%
Strengthening Dollar 2x Strategy Fund		0.90	%
Weakening Dollar 2x Strategy Fund		0.90	%
Real Estate Fund		0.85	%
Government Long Bond 1.2x Strategy Fund		0.50	%
Inverse Government Long Bond Strategy Fund		0.90	%
High Yield Strategy Fund		0.75	%
Inverse High Yield Strategy Fund		0.75	%
U.S. Government Money Market Fund		0.50	%

RFS provides transfer agent and administrative services to the Trust for fees calculated at the annualized rates based on the average daily net assets of the Funds. For these services, RFS receives the following:

	Transfer Agent and
	Administrative Fees
Fund	(as a % of Net Assets)
|
Government Long Bond 1.2x Strategy Fund		0.20	%
U.S. Government Money Market Fund		0.20	%
Remaining Funds		0.25	%

RFS also provides accounting services to the Funds for fees calculated at annualized rates below, based on the average daily net assets each Fund.

Fund Accounting/	(as a % of
Administration Fees	Net Assets)
|
On the first $250 million		0.10	%
On the next $250 million		0.075	%
On the next $250 million		0.05	%
Over $750 million		0.03	%

RFS engages external service providers to perform other necessary services for the Trust, such as audit related services, legal services, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to various Funds within the complex based on relative net assets. Organizational and setup costs for new Funds are paid by the Trust.

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 RDL 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 RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL 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, RDL will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. RDL, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for shareholder services it performs.

The 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 RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the Financial Advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

SGI and its affiliates have voluntarily agreed to waive their fees, including but not limited to accounting, shareholder investor services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. SGI or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder investor services fees are waived, dealer compensation will be reduced to the extent of such waiver.

During the period ended September 30, 2011, RDL retained sales charges of $216,199 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1 — quoted prices in active markets for identical securities.

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

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

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

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

	Level 1		Level 1		Level 2		Level 2		Level 3
	Investments		Other Financial		Investments		Other Financial		Investments
	In Securities		Instruments*		In Securities		Instruments*		In Securities		Total
Assets
Nova Fund	$	31,932,653	$	—	$	1,330,254	$	—	$	—	$	33,262,907
S&P 500 Fund		81,685,121		—		35,288,566		—		—		116,973,687
Inverse S&P 500 Strategy Fund		—		5,912,834		327,984,212		4,593,821		—		338,490,867
NASDAQ-100® Fund		520,792,628		—		15,614,713		—		—		536,407,341
Inverse NASDAQ-100® Strategy Fund		—		165,708		15,807,718		293,268		—		16,266,694
Mid-Cap 1.5x Strategy Fund		10,981,416		—		1,716,135		—		—		12,697,551
Inverse Mid-Cap Strategy Fund		—		221,283		9,528,325		205,749		—		9,955,357
Russell 2000® 1.5x Strategy Fund		3,056,142		—		3,590,914		—		—		6,647,056
Russell 2000® Fund		6,124,882		—		3,146,550		—		—		9,271,432
Inverse Russell 2000® Strategy Fund		—		1,054,459		46,524,370		765,666		—		48,344,495
S&P 500 Pure Growth Fund		56,521,901		—		1,283,599		—		—		57,805,500
S&P 500 Pure Value Fund		17,536,394		—		—		—		—		17,536,394
S&P MidCap 400 Pure Growth Fund		213,241,849		—		1,479,037		—		—		214,720,886
S&P MidCap 400 Pure Value Fund		6,221,994		—		54,444		—		—		6,276,438
S&P SmallCap 600 Pure Growth Fund		18,450,584		—		—		—		—		18,450,584
S&P SmallCap 600 Pure Value Fund		6,457,533		—		149,463		—		—		6,606,996
Europe 1.25x Strategy Fund		3,112,642		13,164		2,015,698		—		—		5,141,504
Japan 2x Strategy Fund		—		1,665		2,694,429		—		—		2,696,094
Strengthening Dollar 2x Strategy Fund		—		2,067,552		77,374,476		427,285		—		79,869,313
Weakening Dollar 2x Strategy Fund		—		—		22,577,992		—		—		22,577,992
Real Estate Fund		10,706,857		—		26,934		—		—		10,733,791
Government Long Bond 1.2x Strategy Fund		233,745,863		7,605,914		15,751,502		—		—		257,103,279
Inverse Government Long Bond Strategy Fund		—		—		667,778,625		—		—		667,778,625
High Yield Strategy Fund		—		15,334		30,627,099		—		—		30,642,433
Inverse High Yield Strategy Fund		—		32,441		30,007,612		1,136,922		—		31,176,975
U.S. Government Money Market Fund		—		—		1,880,540,540		—		—		1,880,540,540

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

	Level 1		Level 1		Level 2		Level 2		Level 3
	Investments		Other Financial		Investments		Other Financial		Investments
	In Securities		Instruments*		In Securities		Instruments*		In Securities		Total
Liabilities
Nova Fund	$	—	$	80,255	$	—	$	531,823	$	—	$	612,078
S&P 500 Fund		—		281,778		—		544,456		—		826,234
NASDAQ-100® Fund		—		70,166		—		371,844		—		442,010
Mid-Cap 1.5x Strategy Fund		—		110,032		—		222,645		—		332,677
Russell 2000® 1.5x Strategy Fund		—		27,831		—		196,014		—		223,845
Russell 2000® Fund		—		3,662		—		55,386		—		59,048
Europe 1.25x Strategy Fund		—		74,431		—		—		—		74,431
Japan 2x Strategy Fund		—		27,521		—		—		—		27,521
Weakening Dollar 2x Strategy Fund		—		663,658		—		37,187		—		700,845
Inverse Government Long Bond Strategy Fund		297,228,295		4,592,495		—		—		—		301,820,790
High Yield Strategy Fund		—		—		—		850,843		—		850,843

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

The Funds adopted updated provisions surrounding fair value measurements and disclosures effective April 1, 2010. This update applies to the Funds’ disclosures about transfers in and out of all levels of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 of the fair value hierarchy. Effective for interim and annual periods beginning after December 15, 2010, purchases, sales, issuances and settlements must be shown on a gross basis in the Level 3 roll forward rather than as one net number.

Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. The Funds recognize transfers between the Levels as of the beginning of the period. During the period ended September 30, 2011, Russell 2000^® 1.5x Strategy Fund and Russell 2000^® Fund had securities removed from Level 3 as a result of the sale of the security. There were no other securities that transferred between levels.

Summary of Fair Value Level 3 Activity

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

	Securities
Russell 2000® 1.5x Strategy Fund
Assets:
Beginning Balance	$	20
Total realized gains or losses included in earnings		(43	)
Total change in unrealized gains or losses included in earnings		207
Purchases, sales, issuances, and settlements (net)
Transfers in and/or out of Level 3		(184	)
Ending Balance	$	—

	Securities
Russell 2000® Fund
Assets:
Beginning Balance	$	25
Total realized gains or losses included in earnings		(101	)
Total change in unrealized gains or losses included in earnings		306
Purchases, sales, issuances, and settlements (net)
Transfers in and/or out of Level 3		(230	)
Ending Balance	$	—

5. Repurchase Agreements

The Funds transfer 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 and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

At September 30, 2011, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms of Agreement	Face Value		Repurchase Price		Collateral			Par Value		Fair Value
HSBC Group					U.S. Treasury Bonds
0.00%						0.00	%
due 10/03/11	$	930,000,000	$	930,000,000		11/15/12 — 08/15/21		$	1,009,143,300	$	948,600,077
Credit Suisse Group					U.S. Treasury Notes
0.00%						3.50% — 3.63	%
due 10/03/11		484,054,341		484,054,341		08/15/19 — 05/15/20			424,936,800		493,735,459
Mizuho Financial Group, Inc.					U.S. Treasury Notes
0.01%						0.63% — 3.63	%
due 10/03/11		479,560,836		479,560,970		01/31/13 — 08/15/20			448,564,500		489,152,126
	$	1,893,615,177	$	1,893,615,311				$	1,882,644,600	$	1,931,487,662

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their 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 Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

6. Disclosures about Credit Derivatives

In accordance with its principal investment strategy, the High Yield Strategy Fund entered into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. If a credit event occurs, as defined under the terms of the swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The Notional Principal reflects the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs. As the seller of protection, the Fund receives periodic premium payments from the counterparty and may also receive or pay an upfront premium adjustment to the stated periodic premium. In the event a credit event occurs, an adjustment will be made to any upfront premiums that were received by a reduction of 1.00% per credit event.

The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The table on page 210 included in the Schedule of Investments summarizes the information with regard to sold protection on credit default swap contracts as of September 30, 2011.

7. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivatives instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

During the period ended September 30, 2011, certain Funds sought to gain exposure to their respective benchmarks by investing in currency and financial-linked derivative instruments, including swap agreements and futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

	Approximate percentage of Fund’s
Fund	net assets on a daily basis
Nova Fund		65	%
S&P 500 Fund		40	%
Inverse S&P 500 Strategy Fund		100	%
NASDAQ-100® Fund		5	%
Inverse NASDAQ-100® Strategy Fund		100	%
Mid-Cap 1.5x Strategy Fund		70	%
Inverse Mid-Cap Strategy Fund		105	%
Russell 2000® 1.5x Strategy Fund		110	%
Russell 2000® Fund		30	%
Inverse Russell 2000® Strategy Fund		100	%
Europe 1.25x Strategy Fund		70	%*
Japan 2x Strategy Fund		200	%*
Strengthening Dollar 2x Strategy Fund		200	%
Weakening Dollar 2x Strategy Fund		205	%
Government Long Bond 1.2x Strategy Fund		30	%
Inverse Government Long Bond Strategy Fund		20	%
High Yield Strategy Fund		100	%*
Inverse High Yield Strategy Fund		90	%*

* These Funds utilize a combination of currency and/or financial-linked derivatives to obtain exposure to their benchmarks. The combined derivative instrument exposure is 140%, 400%, 65% (Long), 100% (Short), 90% (Long) and 75% (Short) for the Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, High Yield Strategy Fund and Inverse High Yield Strategy Fund, respectively.

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

Location on the Statements of Assets and Liabilities

Derivative
Investments Type	Asset Derivatives	Liability Derivatives
Equity, currency, interest rate,	Variation Margin	Variation Margin
and credit contracts	Unrealized Appreciation on Swap Agreements	Unrealized Depreciation on Swap Agreements

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

	Asset Derivative Investments Value
	Futures		Swaps		Futures		Swaps		Futures		Credit		Total Value at
	Equity		Equity		Currency		Currency		Interest Rate		Default		September 30,
Fund	Contracts*		Contracts		Contracts*		Contracts		Contracts*		Contracts		2011
Nova Fund	$	—	$	—	$	—	$	—	$	—	$	—	$	—
S&P 500 Fund		—		—		—		—		—		—		—
Inverse S&P 500 Strategy Fund		5,912,834		4,593,821		—		—		—		—		10,506,655
NASDAQ-100® Fund		—		—		—		—		—		—		—
Inverse NASDAQ-100® Strategy Fund		165,708		293,268		—		—		—		—		458,976
Mid-Cap 1.5x Strategy Fund		—		—		—		—		—		—		—
Inverse Mid-Cap Strategy Fund		221,283		205,749		—		—		—		—		427,032
Russell 2000® 1.5x Strategy Fund		—		—		—		—		—		—		—
Russell 2000® Fund		—		—		—		—		—		—		—
Inverse Russell 2000® Strategy Fund		1,054,459		765,666		—		—		—		—		1,820,125
Europe 1.25x Strategy Fund		13,164		—		—		—		—		—		13,164
Japan 2x Strategy Fund		1,665		—		—		—		—		—		1,665
Strengthening Dollar 2x Strategy Fund		—		—		2,067,552		427,285		—		—		2,494,837
Weakening Dollar 2x Strategy Fund		—		—		—		—		—		—		—
Government Long Bond 1.2x Strategy Fund		—		—		—		—		7,605,914		—		7,605,914
Inverse Government Long Bond Strategy Fund		—		—		—		—		—		—		—
High Yield Strategy Fund		—		—		—		—		15,334		—		15,334
Inverse High Yield Strategy Fund		—		—		—		—		32,441		1,136,922		1,169,363

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

Liability Derivative Investments Value
	Futures		Swaps		Futures		Swaps		Futures		Credit		Total Value at
	Equity		Equity		Currency		Currency		Interest Rate		Default		September 30,
Fund	Contracts*		Contracts		Contracts*		Contracts		Contracts*		Contracts		2011
Nova Fund	$	80,255	$	531,823	$	—	$	—	$	—	$	—	$	612,078
S&P 500 Fund		281,778		544,456		—		—		—		—		826,234
Inverse S&P 500 Strategy Fund		—		—		—		—		—		—		—
NASDAQ-100® Fund		70,166		371,844		—		—		—		—		442,010
Inverse NASDAQ-100® Strategy Fund		—		—		—		—		—		—		—
Mid-Cap 1.5x Strategy Fund		110,032		222,645		—		—		—		—		332,677
Inverse Mid-Cap Strategy Fund		—		—		—		—		—		—		—
Russell 2000® 1.5x Strategy Fund		27,831		196,014		—		—		—		—		223,845
Russell 2000® Fund		3,662		55,386		—		—		—		—		59,048
Inverse Russell 2000® Strategy Fund		—		—		—		—		—		—		—
Europe 1.25x Strategy Fund		22,950		—		51,481		—		—		—		74,431
Japan 2x Strategy Fund		—		—		27,521		—		—		—		27,521
Strengthening Dollar 2x Strategy Fund		—		—		—		—		—		—		—
Weakening Dollar 2x Strategy Fund		—		—		663,658		37,187		—		—		700,845
Government Long Bond 1.2x Strategy Fund		—		—		—		—		—		—		—
Inverse Government Long Bond Strategy Fund		—		—		—		—		4,592,495		—		4,592,495
High Yield Strategy Fund		—		—		—		—		—		850,843		850,843
Inverse High Yield Strategy Fund		—		—		—		—		—		—		—

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

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

Derivative Investment	Location of Gain (Loss) on Derivatives
Equity/currency contracts	Net realized gain (loss) on futures contracts and swap agreements
	Net change in unrealized appreciation (depreciation) on futures contracts and swap agreements
Interest Rate contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts
Credit contracts	Net realized gain (loss) on swap agreements
	Net change in unrealized appreciation (depreciation) on swap agreements

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

Realized Gain (Loss) on Derivative Investments Recognized on the Statement of Operations
	Futures			Swaps			Futures			Swaps			Futures			Credit
	Equity			Equity			Currency			Currency			Interest Rate			Default
Fund	Contracts			Contracts			Contracts			Contracts			Contracts			Contracts			Total
Nova Fund	$	(312,155	)	$	(4,072,631	)	$	—		$	—		$	—		$	—		$	(4,384,786	)
S&P 500 Fund		(4,104,385	)		(4,487,772	)		—			—			—			—			(8,592,157	)
Inverse S&P 500 Strategy Fund		(2,915,729	)		10,216,612			—			—			—			—			7,300,883
NASDAQ-100® Fund		(4,215,593	)		(2,997,651	)		—			—			—			—			(7,213,244	)
Inverse NASDAQ-100® Strategy Fund		(631,659	)		(286,106	)		—			—			—			—			(917,765	)
Mid-Cap 1.5x Strategy Fund		(1,184,381	)		(1,882,661	)		—			—			—			—			(3,067,042	)
Inverse Mid-Cap Strategy Fund		(185,544	)		(14,792	)		—			—			—			—			(200,336	)
Russell 2000® 1.5x Strategy Fund		(606,247	)		(5,204,885	)		—			—			—			—			(5,811,132	)
Russell 2000® Fund		355,682			(3,420,669	)		—			—			—			—			(3,064,987	)
Inverse Russell 2000® Strategy Fund		136,907			3,217,964			—			—			—			—			3,354,871
Europe 1.25x Strategy Fund		(1,277,115	)		—			(139,261	)					—			—			(1,416,376	)
Japan 2x Strategy Fund		(2,486,128	)		—			1,274,980			—			—			—			(1,211,148	)
Strengthening Dollar 2x Strategy Fund		—			—			2,047,396			(412,788	)		—			—			1,634,608
Weakening Dollar 2x Strategy Fund		—			—			(2,167,335	)		(78,952	)		—			—			(2,246,287	)
Government Long Bond 1.2x Strategy Fund		—			—			—			—			6,453,790			—			6,453,790
Inverse Government Long Bond Strategy Fund		—			—			—			—			(47,119,707	)		—			(47,119,707	)
High Yield Strategy Fund		—			—			—			—			11,482,135			(14,086,768	)		(2,604,633	)
Inverse High Yield Strategy Fund		—			—			—			—			(1,010,234	)		891,998			(118,236	)

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statement of Operations
	Futures			Swaps			Futures			Swaps			Futures			Credit
	Equity			Equity			Currency			Currency			Interest Rate			Default
Fund	Contracts			Contracts			Contracts			Contracts			Contracts			Contracts			Total
Nova Fund	$	(194,487	)	$	(1,128,833	)	$	—		$	—		$	—		$	—		$	(1,323,320	)
S&P 500 Fund		(692,456	)		(1,075,576	)		—			—			—			—			(1,768,032	)
Inverse S&P 500 Strategy Fund		6,281,765			5,604,246			—			—			—			—			11,886,011
NASDAQ-100® Fund		(78,991	)		(1,142,380	)		—			—			—			—			(1,221,371	)
Inverse NASDAQ-100® Strategy Fund		339,487			629,597			—			—			—			—			969,084
Mid-Cap 1.5x Strategy Fund		(110,177	)		(1,087,352	)		—			—			—			—			(1,197,529	)
Inverse Mid-Cap Strategy Fund		221,390			251,553			—			—			—			—			472,943
Russell 2000® 1.5x Strategy Fund		(142,473	)		(1,609,619	)		—			—			—			—			(1,752,092	)
Russell 2000® Fund		(316,891	)		(368,403	)		—			—			—			—			(685,294	)
Inverse Russell 2000® Strategy Fund		1,059,970			1,028,839			—			—			—			—			2,088,809
Europe 1.25x Strategy Fund		(7,179	)		—			(188,080	)		—			—			—			(195,259	)
Japan 2x Strategy Fund		(765,016	)		—			195,602			—			—			—			(569,414	)
Strengthening Dollar 2x Strategy Fund		—			—			2,384,328			602,968			—			—			2,987,296
Weakening Dollar 2x Strategy Fund		—			—			(1,071,363	)		(176,534	)		—			—			(1,247,897	)
Government Long Bond 1.2x Strategy Fund		—			—			—			—			7,359,927			—			7,359,927
Inverse Government Long Bond Strategy Fund		—			—			—			—			(4,262,107	)		—			(4,262,107	)
High Yield Strategy Fund		—			—			—			—			38,288			(852,315	)		(814,027	)
Inverse High Yield Strategy Fund		—			—			—			—			(147,086	)		1,137,085			989,999

8. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2008 — 2011), and has concluded that no provision for income tax is required in the Funds’ financial statements.

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

Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and capital loss carryforward expired or permanently lost due to limitations in the Internal Revenue Code. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.

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

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.

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

			Tax		Tax			Net
	Tax		Unrealized		Unrealized			Unrealized
Fund	Cost		Gain		Loss			Gain (Loss)
Nova Fund	$	27,843,909	$	6,411,253	$	(992,255	)	$	5,418,998
S&P 500 Fund		119,559,931		817,374		(3,403,617	)		(2,586,243	)
Inverse S&P 500 Strategy Fund		327,936,636		57,530		(9,954	)		47,576
NASDAQ-100® Fund		339,977,694		212,046,706		(15,617,059	)		196,429,647
Inverse NASDAQ-100® Strategy Fund		15,807,718		—		—			—
Mid-Cap 1.5x Strategy Fund		13,377,228		1,116,336		(1,796,013	)		(679,677	)

the RYDEX | SGI series funds semi-annual report | 239

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

			Tax		Tax			Net
	Tax		Unrealized		Unrealized			Unrealized
Fund	Cost		Gain		Loss			Gain (Loss)
Inverse Mid-Cap Strategy Fund	$	9,528,325	$	—	$	—		$	—
Russell 2000® 1.5x Strategy Fund		7,159,053		23,725		(535,722	)		(511,997	)
Russell 2000® Fund		10,057,538		98,656		(884,762	)		(786,106	)
Inverse Russell 2000® Strategy Fund		46,524,370		—		—			—
S&P 500 Pure Growth Fund		64,855,926		—		(7,050,426	)		(7,050,426	)
S&P 500 Pure Value Fund		18,482,013		465,147		(1,410,765	)		(945,618	)
S&P MidCap 400 Pure Growth Fund		230,074,501		11,042,826		(26,396,441	)		(15,353,615	)
S&P MidCap 400 Pure Value Fund		9,106,309		—		(2,829,871	)		(2,829,871	)
S&P SmallCap 600 Pure Growth Fund		17,989,747		1,334,017		(873,180	)		460,837
S&P SmallCap 600 Pure Value Fund		8,397,347		—		(1,790,351	)		(1,790,351	)
Europe 1.25x Strategy Fund		5,699,350		—		(571,010	)		(571,010	)
Japan 2x Strategy Fund		2,694,429		—		—			—
Strengthening Dollar 2x Strategy Fund		77,370,887		3,589		—			3,589
Weakening Dollar 2x Strategy Fund		22,574,403		3,589		—			3,589
Real Estate Fund		12,483,459		—		(1,749,668	)		(1,749,668	)
Government Long Bond 1.2x Strategy Fund		218,643,607		30,853,758		—			30,853,758
Inverse Government Long Bond Strategy Fund		682,354,274		—		(14,575,649	)		(14,575,649	)
High Yield Strategy Fund		30,627,099		—		—			—
Inverse High Yield Strategy Fund		30,007,612		—		—			—
U.S. Government Money Market Fund		1,880,540,540		—		—			—

9. Securities Transactions

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

	Purchases		Sales
Nova Fund	$	21,648,918	$	37,750,831
S&P 500 Fund		76,811,471		166,123,614
Inverse S&P 500 Strategy Fund		—		—
NASDAQ-100® Fund		329,295,602		401,554,290
Inverse NASDAQ-100® Strategy Fund		—		—
Mid-Cap 1.5x Strategy Fund		5,392,271		26,427,088
Inverse Mid-Cap Strategy Fund		—		—
Russell 2000® 1.5x Strategy Fund		3,280,332		3,366,363
Russell 2000® Fund		6,209,215		3,278,648
Inverse Russell 2000® Strategy Fund		—		—
S&P 500 Pure Growth Fund		183,109,782		162,518,128
S&P 500 Pure Value Fund		137,782,847		151,134,908
S&P MidCap 400 Pure Growth Fund		392,584,251		375,301,794
S&P MidCap 400 Pure Value Fund		89,913,165		128,307,671
S&P SmallCap 600 Pure Growth Fund		170,713,894		231,532,425
S&P SmallCap 600 Pure Value Fund		51,843,647		65,669,749
Europe 1.25x Strategy Fund		11,719,126		25,337,703
Japan 2x Strategy Fund		—		—
Strengthening Dollar 2x Strategy Fund		—		—
Weakening Dollar 2x Strategy Fund		—		—
Real Estate Fund		124,716,169		130,146,216
Government Long Bond 1.2x Strategy Fund		—		—
Inverse Government Long Bond Strategy Fund		—		—
High Yield Strategy Fund		2,248,363		2,111,264
Inverse High Yield Strategy Fund		—		—
U.S. Government Money Market Fund		—		—

For the period ended September 30, 2011, the cost of purchases and proceeds from sales of government securities were:

	Purchases		Sales
Government Long Bond 1.2x Strategy Fund	$	1,315,230,316	$	1,203,462,239
Inverse Government Long Bond Strategy Fund		1,520,304,930		1,822,060,408

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)

10. Line of Credit

The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2012. On September 30, 2011, the S&P 500 Pure Value Fund and S&P SmallCap 600 Pure Growth Fund borrowed $465,000 and $114,000, respectively, under this agreement. As of and for the period ended September 30, 2011, the Funds did not have any other borrowings under this agreement.

11. Pending Litigation

In March, 2010, an action was filed against PADCO Advisors, Inc. (hereinafter, the “Manager”), Rydex Distributors, Inc. (hereinafter, the “Distributor”), Rydex Series Funds (hereinafter, the “Trust”) and certain trustees and officers of the Trust in federal district court in San Francisco, California. The action seeks class action status on behalf of purchasers of shares in a series of the Trust, the Rydex Inverse Government Long Bond Strategy Fund (the “Fund”) during a particular time period. The action asserts claims under provisions of the federal securities laws, alleging that certain registration statements of the Trust contained negligent misrepresentations and omissions with respect to certain risks associated with investment in the Fund, the suitability of the Fund and differences between performance of the Fund’s shares over time and that of its reference benchmark. The action also asserts a claim seeking to hold the Manager and the individual trustee defendants liable as control persons of the Trust. The action seeks unspecified damages and interest thereon as well as an award to the plaintiffs and putative class of attorney’s fees and litigation expenses. Following the commencement of discovery, the parties reached an agreement to settle the case in its entirety. The terms of the settlement have been negotiated and, by order dated September 13, 2011, were preliminarily approved by the Court. The final approval hearing for the settlement is scheduled for January 5, 2012. There can be no assurance that the settlement will be effectuated until the Court grants final approval.

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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.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, 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.

Office Locations

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

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

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

Guggenheim Transaction

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

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

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

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OTHER INFORMATION (Unaudited) (continued)

Proposed Changes to Fundamental Policies of Certain Funds

In addition, the Board of Rydex Series Funds approved the elimination of the “fundamental investment policy” on investing in other investment companies with respect to the respective U.S. Government Money Market Fund. The 1940 Act requires shareholder approval to amend fundamental investment policies adopted by a mutual fund. Accordingly, at the Meetings, shareholders of Rydex Series Funds — U.S. Government Money Market Fund are being asked to consider the approval of the elimination of the fundamental investment policy on investing in other investment companies, which is not required by applicable law. This proposal is unrelated to the Transaction.

Election of Board Members

The Boards have also approved a proposal to elect nine individuals to the Boards. The Boards propose the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Boards believe that expanding the Boards to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Rydex|SGI family of funds, would be appropriate. Information regarding the proposals will be contained in the proxy materials to be filed with the SEC. The proxy statement will be mailed to shareholders of record, and you will also be able to access the proxy statement from the EDGAR Database on the SEC’s website at http://www.sec.gov once filed.

Board Considerations in Approving the Investment Advisory

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

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

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

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

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

In considering the new investment advisory agreement, the Board determined that the agreement would enable shareholders of the Funds to continue to obtain high quality services at a cost that is appropriate, reasonable, and in the best interests of their shareholders. The Board, including the independent Trustees, unanimously approved the new agreements. In reaching their decision, the Trustees carefully considered information that they had received throughout the year as part of their regular oversight of the Funds, including, in particular, information from the Advisor that the Board had

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OTHER INFORMATION (Unaudited) (continued)

received relating to the current investment advisory agreement at the Board meeting of August 16-17, 2011. The Trustees noted that, at the meeting, they had obtained and reviewed a wide variety of information, including certain comparative information regarding performance of the Funds relative to performance of other comparable mutual funds. They also considered the evolution of the Rydex|SGI family of funds and the Adviser since the change in control of the Investment Adviser in 2010 and Guggenheim Capital’s commitment to the success of the Adviser and the Funds.

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

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

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

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

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

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OTHER INFORMATION (Unaudited) (concluded)

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

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

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of SGI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

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

INDEPENDENT TRUSTEES

	Length of Service
Name, Position and	As Trustee	Number of
Year of Birth	(Year Began)	Funds Overseen
Corey A. Colehour	Rydex Series Funds — 1993		150
Trustee (1945)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003

Principal Occupations During Past Five Years: Retired; Member of the Audit and Governance and Nominating Committees (1995 to present)

J. Kenneth Dalton	Rydex Series Funds — 1995	150
Trustee (1941)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003

Principal Occupations During Past Five Years: Retired; Member of the Governance and Nominating Committees (1995 to present); Chairman of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

John O. Demaret	Rydex Series Funds — 1997	150
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; Member of the Audit Committee (1997 to present); Member of the Risk Oversight Committee (2010 to present)

Werner E. Keller	Rydex Series Funds — 2005	150
Trustee, Chairman of the	Rydex Variable Trust — 2005
Board (1940)	Rydex Dynamic Funds — 2005
	Rydex ETF Trust — 2005

Principal Occupations During Past Five Years: Founder and President of Keller Partners, LLC (registered investment adviser) (2005 to present); Member of the Audit, Governance and Nominating Committees (2005 to present); Chairman and Member of the Risk Oversight Committee (2010 to present)

Thomas F. Lydon, Jr.	Rydex Series Funds — 2005	150
Trustee (1960)	Rydex Variable Trust — 2005
	Rydex Dynamic Funds — 2005
	Rydex ETF Trust — 2005

Principal Occupations During Past Five Years: President, Global Trends Investments (1996 to present); Member of the Audit, Governance and Nominating Committees (2005 to present)

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

INDEPENDENT TRUSTEES (continued)

	Length of Service
Name, Position and	As Trustee	Number of
Year of Birth	(Year Began)	Funds Overseen
Patrick T. McCarville	Rydex Series Funds — 1997		150
Trustee (1942)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003

Principal Occupations During Past Five Years: Retired; CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present); Member of the Audit Committee (1997 to present)

Roger Somers	Rydex Series Funds — 1993	150
Trustee (1944)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003

Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (1995 to present)

EXECUTIVE OFFICERS

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

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

EXECUTIVE OFFICERS (continued)

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Benefit Asset Management Holdings, LLC Previous: Security Global Investors, LLC, Senior Vice President (2010- 2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006-2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) and Senior Vice President (2003-2006); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966)	Current: Chief Compliance Officer and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; Senior Vice President and Chief Compliance Officer, Security Investors, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010- 2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC and Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Keith A. Fletcher* Vice President (1958)	Current: Senior Vice President, Security Investors, LLC; Vice President, Rydex Holdings, LLC; Vice President, Rydex Specialized Products, LLC; Vice President, Rydex Distributors, LLC; Vice President, Rydex Fund Services, LLC; Vice President and Director, Advisor Research Center, Inc.; Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)

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

EXECUTIVE OFFICERS (concluded)

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007- 2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004- 2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004- 2011)

* Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Security Global Investors.

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RYDEX|SGI PRIVACY POLICIES

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

Our Commitment to You

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

The Information We Collect About You

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

How We Handle Your Personal Information

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

Opt Out Provisions

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

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Rydex|SGI web site offers customized features that require our use of “http cookies"—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Rydex|SGI web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

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

We’ll Keep You Informed

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

250 | the RYDEX | SGI series funds semi-annual report

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805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RBENF-SEMI-0911x0312

GO GREEN!
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Go paperless with Rydex|SGI eDelivery—a service giving you full online access to account information and documents. Save time, cut down on mailbox clutter and be a friend to the environment with eDelivery.

With Rydex|SGI eDelivery you can:

• View online confirmations and statements at your convenience.

• Receive email notifications when your most recent confirmations, statements and other account documents are available for review.

• Access prospectuses, annual reports and semiannual reports online.

If you have questions about Rydex|SGI eDelivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

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

Distributed by Rydex Distributors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
BANKING FUND	9
BASIC MATERIALS FUND	15
BIOTECHNOLOGY FUND	22
CONSUMER PRODUCTS FUND	28
ELECTRONICS FUND	35
ENERGY FUND	41
ENERGY SERVICES FUND	48
FINANCIAL SERVICES FUND	54
HEALTH CARE FUND	61
INTERNET FUND	68
LEISURE FUND	74
PRECIOUS METALS FUND	81
RETAILING FUND	87
TECHNOLOGY FUND	94
TELECOMMUNICATIONS FUND	101
TRANSPORTATION FUND	107
UTILITIES FUND	113
NOTES TO FINANCIAL STATEMENTS	120
OTHER INFORMATION	125
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	128
RYDEX | SGI PRIVACY POLICIES	131

the RYDEX | SGI series funds semi-annual report | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER,

The economic recovery remained fragile in 2011, as global markets were beset by natural disasters, Mid East uprisings and sovereign debt woes. After rising to their recent high around the end of April, U.S. stock markets began a slide that, by the end of September, was approaching bear-market territory. Investors became nervous as the U.S. Federal Reserve ended its second quantitative easing program in June and Congress wrangled over debt ceilings and budget deficits, which led to the U.S. losing its AAA debt rating in August. Many measures of hiring, housing, GDP and consumer confidence have worsened in the past six months, and analysts began forecasting an economy that, if not sliding backward, would move ahead only slowly.

As with many countries, the central bank of the U.S. was a major factor in the markets for most of the past year, conducting a debt-purchase program designed to boost lending and expand the economy—the second such effort since the financial crisis of 2008. Late in the third quarter, the Fed chairman said the “recovery is close to faltering,” and there was a risk of another recession unless the government took steps to increase growth. The Fed said it would keep short-term interest rates near zero for another two years and hold down borrowing costs through “operation twist,” shifting $400 billion in holdings from short-term to long-term Treasuries.

The biggest threat to markets in late September appeared to be recession. Supporting evidence in the U.S. included weak housing demand despite record-low mortgage rates, consumer confidence that has ebbed for five months amid politicization of raising the debt ceiling, job creation insufficient to keep up with population growth, as well as other indicators ranging from soft wages, slumping equity markets and falling prices for commodities like oil and copper. Analysts arguing that a recession is unlikely cite inflation expectations that have fallen to their lowest levels of 2011, good retail sales, sound corporate balance sheets and manufacturing gauges that are improving, albeit slightly. In addition, while economists surveyed by Bloomberg have been lowering GDP growth estimates for the year, positive growth is still expected.

Recession currently seems more a threat to Europe than America, as high unemployment and austerity measures weigh on weaker members of the eurozone, with a knock-on effect for the continent’s growth engines of Germany and France, particularly in manufacturing, which has been the key player in the global recovery. Many economists are hoping for an orderly default of Greece that may prevent financial problems from spreading to other weak countries or to banks, and stabilize the euro. Countries using the euro were in the process of approving a bailout fund expansion at the end of the third quarter, and bolstering European banks against the possibility of sovereign default. Even though they were not at the eye of the sovereign debt storm, many emerging market economies also began weakening over the summer, fearing global recession and financial contagion. Investors are especially concerned about the stability of China’s banking system and whether inflation will ebb along with slowing growth.

All the economic uncertainty and market volatility took their toll on the equity markets. For the six months, key equity indices have fallen significantly. While some strategists believed the market drop over the third quarter of 2011 brought stock prices to reasonable levels, others were concerned that third-quarter earnings could still come in lower than expected, kicking away a key support of valuations.

While the market forces play out, many investors have been driven to the sidelines or to safe havens. Gold reached a high of near $1900 an ounce in August, before falling 11% in September, leading some to question whether its recent run is nearing an end. Investors also abandoned riskier currencies toward the end of the third quarter, and piled into the dollar, helping it regain ground lost over the past 12 months. Further upward moves in the dollar are expected as the world economy continues to sputter.

2 | the RYDEX | SGI series funds semi-annual report

LETTER TO OUR SHAREHOLDERS (concluded)

Sluggish economic data, concern over the collapse of Europe’s financial system and the Fed’s policy efforts also drove investors into U.S. government debt over the course of 2011, driving up the price of debt maturing in 10 years or more, leading to historic low yields. Recession, however, is not a consensus view. The Fed remains accommodative and the Treasury yield curve is steep. A potential rebound in GDP to 2% in the third quarter, lower fuel prices and a stronger automotive sector may be enough to keep the U.S. recovery on course, even if slow, and counterbalance difficulties in Europe and Asia.

Thank you for investing in our funds.

Sincerely,

Michael Byrum
President & Chief Investment Officer

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

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

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

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

the RYDEX | SGI 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. Shareholders of a Fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; and exchange fees; and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.

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

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

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

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

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

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

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

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

4 | the RYDEX | SGI series funds semi-annual report

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 1. Based on actual Fund return3
Banking Fund
Investor Class		1.37	%		(30.41	%)	$	1,000.00	$	695.90	$	5.83
Advisor Class		1.87	%		(30.62	%)		1,000.00		693.80		7.95
A-Class		1.62	%		(30.53	%)		1,000.00		694.70		6.90
C-Class		2.37	%		(30.79	%)		1,000.00		692.10		10.05
Basic Materials Fund
Investor Class		1.37	%		(25.67	%)		1,000.00		743.30		5.99
Advisor Class		1.87	%		(25.85	%)		1,000.00		741.50		8.17
A-Class		1.62	%		(25.76	%)		1,000.00		742.40		7.07
C-Class		2.37	%		(26.04	%)		1,000.00		739.60		10.33
Biotechnology Fund
Investor Class		1.38	%		(5.90	%)		1,000.00		941.00		6.71
Advisor Class		1.88	%		(6.14	%)		1,000.00		938.60		9.16
A-Class		1.62	%		(6.04	%)		1,000.00		939.60		7.89
C-Class		2.38	%		(6.37	%)		1,000.00		936.30		11.56
Consumer Products Fund
Investor Class		1.37	%		0.47	%		1,000.00		1,004.70		6.88
Advisor Class		1.87	%		0.21	%		1,000.00		1,002.10		9.37
A-Class		1.62	%		0.38	%		1,000.00		1,003.80		8.13
C-Class		2.37	%		(0.06	%)		1,000.00		999.40		11.87
Electronics Fund
Investor Class		1.37	%		(26.35	%)		1,000.00		736.50		5.96
Advisor Class		1.87	%		(26.51	%)		1,000.00		734.90		8.13
A-Class		1.62	%		(26.45	%)		1,000.00		735.50		7.06
C-Class		2.37	%		(26.74	%)		1,000.00		732.60		10.29
Energy Fund
Investor Class		1.37	%		(31.29	%)		1,000.00		687.10		5.80
Advisor Class		1.87	%		(31.49	%)		1,000.00		685.10		7.91
A-Class		1.62	%		(31.39	%)		1,000.00		686.10		6.86
C-Class		2.37	%		(31.65	%)		1,000.00		683.50		10.01
Energy Services Fund
Investor Class		1.37	%		(35.43	%)		1,000.00		645.70		5.67
Advisor Class		1.87	%		(35.59	%)		1,000.00		644.10		7.72
A-Class		1.62	%		(35.51	%)		1,000.00		644.90		6.69
C-Class		2.37	%		(35.77	%)		1,000.00		642.30		9.77
Financial Services Fund
Investor Class		1.37	%		(25.57	%)		1,000.00		744.30		6.00
Advisor Class		1.87	%		(25.76	%)		1,000.00		742.40		8.18
A-Class		1.62	%		(25.68	%)		1,000.00		743.20		7.09
C-Class		2.39	%		(25.97	%)		1,000.00		740.30		10.35
Health Care Fund
Investor Class		1.37	%		(9.63	%)		1,000.00		903.70		6.55
Advisor Class		1.87	%		(9.85	%)		1,000.00		901.50		8.92
A-Class		1.62	%		(9.75	%)		1,000.00		902.50		7.73
C-Class		2.37	%		(10.13	%)		1,000.00		898.70		11.29

the RYDEX | SGI series funds semi-annual report | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Internet Fund
Investor Class		1.37	%		(22.28	%)	$	1,000.00	$	777.20	$	6.10
Advisor Class		1.87	%		(22.49	%)		1,000.00		775.10		8.31
A-Class		1.62	%		(22.38	%)		1,000.00		776.20		7.20
C-Class		2.37	%		(22.66	%)		1,000.00		773.40		10.53
Leisure Fund
Investor Class		1.37	%		(15.67	%)		1,000.00		843.30		6.31
Advisor Class		1.87	%		(15.88	%)		1,000.00		841.20		8.62
A-Class		1.62	%		(15.81	%)		1,000.00		841.90		7.48
C-Class		2.37	%		(16.07	%)		1,000.00		839.30		10.92
Precious Metals Fund
Investor Class		1.27	%		(20.80	%)		1,000.00		792.00		5.70
Advisor Class		1.77	%		(21.01	%)		1,000.00		789.90		7.95
A-Class		1.52	%		(20.91	%)		1,000.00		790.90		6.82
C-Class		2.27	%		(21.21	%)		1,000.00		787.90		10.17
Retailing Fund
Investor Class		1.37	%		(6.21	%)		1,000.00		937.90		6.65
Advisor Class		1.87	%		(6.47	%)		1,000.00		935.30		9.07
A-Class		1.62	%		(6.44	%)		1,000.00		935.60		7.86
C-Class		2.37	%		(6.71	%)		1,000.00		932.90		11.48
Technology Fund
Investor Class		1.37	%		(19.37	%)		1,000.00		806.30		6.22
Advisor Class		1.87	%		(19.50	%)		1,000.00		805.00		8.46
A-Class		1.62	%		(19.50	%)		1,000.00		805.00		7.32
C-Class		2.37	%		(19.78	%)		1,000.00		802.20		10.70
Telecommunications Fund
Investor Class		1.38	%		(21.58	%)		1,000.00		784.20		6.17
Advisor Class		1.87	%		(21.78	%)		1,000.00		782.20		8.35
A-Class		1.62	%		(21.66	%)		1,000.00		783.40		7.24
C-Class		2.37	%		(21.99	%)		1,000.00		780.10		10.59
Transportation Fund
Investor Class		1.37	%		(23.99	%)		1,000.00		760.10		6.03
Advisor Class		1.87	%		(24.12	%)		1,000.00		758.80		8.25
A-Class		1.62	%		(24.09	%)		1,000.00		759.10		7.14
C-Class		2.37	%		(24.27	%)		1,000.00		757.30		10.44
Utilities Fund
Investor Class		1.37	%		1.67	%		1,000.00		1,016.70		6.91
Advisor Class		1.87	%		1.43	%		1,000.00		1,014.30		9.43
A-Class		1.62	%		1.55	%		1,000.00		1,015.50		8.18
C-Class		2.37	%		1.09	%		1,000.00		1,010.90		11.94

6 | the RYDEX | SGI series funds semi-annual report

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 2. Based on hypothetical 5% return (before expenses)
Banking Fund
Investor Class		1.37	%		5.00	%	$	1,000.00	$	1,018.20	$	6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Basic Materials Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Biotechnology Fund
Investor Class		1.38	%		5.00	%		1,000.00		1,018.15		6.98
Advisor Class		1.88	%		5.00	%		1,000.00		1,015.62		9.52
A-Class		1.62	%		5.00	%		1,000.00		1,016.93		8.21
C-Class		2.38	%		5.00	%		1,000.00		1,013.13		12.01
Consumer Products Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Electronics Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.62		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Energy Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Energy Services Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.94		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Financial Services Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.94		8.21
C-Class		2.39	%		5.00	%		1,000.00		1,013.19		11.96
Health Care Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.94		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96

the RYDEX | SGI series funds semi-annual report | 7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Internet Fund
Investor Class		1.37	%		5.00	%	$	1,000.00	$	1,018.20	$	6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Leisure Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Precious Metals Fund
Investor Class		1.27	%		5.00	%		1,000.00		1,018.70		6.43
Advisor Class		1.77	%		5.00	%		1,000.00		1,016.18		8.96
A-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.69
C-Class		2.27	%		5.00	%		1,000.00		1,013.69		11.46
Retailing Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Technology Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Telecommunications Fund
Investor Class		1.38	%		5.00	%		1,000.00		1,018.15		6.98
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.62		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.93		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.13		11.96
Transportation Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
Utilities Fund
Investor Class		1.37	%		5.00	%		1,000.00		1,018.20		6.94
Advisor Class		1.87	%		5.00	%		1,000.00		1,015.68		9.46
A-Class		1.62	%		5.00	%		1,000.00		1,016.92		8.21
C-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96

1	Annualized
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2011 to September 30, 2011.

8 | the RYDEX | SGI series funds semi-annual report

FUND PROFILE (Unaudited) September 30, 2011

BANKING FUND

OBJECTIVE: Seeks to provide 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 (“Banking Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
Wells Fargo & Co.	4.9	%
JPMorgan Chase & Co.	4.2	%
U.S. Bancorp	4.2	%
PNC Financial Services Group, Inc.	3.7	%
Citigroup, Inc.	3.5	%
Bank of New York Mellon Corp.	3.5	%
Bank of America Corp.	3.1	%
BB&T Corp.	3.0	%
Fifth Third Bancorp	2.3	%
M&T Bank Corp.	2.3	%
Top Ten Total	34.7	%

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

the RYDEX | SGI series funds semi-annual report | 9

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
BANKING FUND

	Shares		Value
COMMON STOCKS† - 99.7%
REGIONAL BANKS - 45.2%
PNC Financial Services Group, Inc.		4,702	$	226,589
BB&T Corp.		8,202		174,949
Fifth Third Bancorp		13,555		136,906
M&T Bank Corp.		1,908		133,369
SunTrust Banks, Inc.		7,294		130,927
CIT Group, Inc.*		3,495		106,143
KeyCorp		17,177		101,860
Huntington Bancshares, Inc.		18,266		87,677
First Republic Bank*		3,415		79,091
Commerce Bancshares, Inc.		2,231		77,527
Regions Financial Corp.		23,016		76,643
Cullen		1,643		75,348
Hancock Holding Co.		2,563		68,637
East West Bancorp, Inc.		4,332		64,590
Signature Bank*		1,325		63,242
Zions Bancorporation		4,396		61,852
City National Corp.		1,585		59,850
Bank of Hawaii Corp.		1,601		58,276
Prosperity Bancshares, Inc.		1,603		52,386
Associated Banc-Corp.		5,615		52,220
Valley National Bancorp		4,751		50,313
Fulton Financial Corp.		6,547		50,085
First Horizon National Corp.		8,377		49,927
TCF Financial Corp.		5,393		49,400
SVB Financial Group*		1,318		48,766
UMB Financial Corp.		1,505		48,280
Webster Financial Corp.		3,114		47,644
FNB Corp.		5,431		46,544
FirstMerit Corp.		4,015		45,610
Trustmark Corp.		2,249		40,819
BancorpSouth, Inc.		4,211		36,973
Iberiabank Corp.		770		36,236
Westamerica Bancorporation		911		34,910
Wintrust Financial Corp.		1,285		33,166
Umpqua Holdings Corp.		3,632		31,925
Old National Bancorp		3,345		31,175
Susquehanna Bancshares, Inc.		5,173		28,296
Cathay General Bancorp		2,411		27,437
Glacier Bancorp, Inc.		2,875		26,939
PrivateBancorp, Inc. — Class A		2,843		21,379
Total Regional Banks				2,673,906
DIVERSIFIED BANKS - 29.0%
Wells Fargo & Co.		11,675		281,601
U.S. Bancorp		10,373		244,180
Credicorp Ltd.		1,175		108,335
Itau Unibanco Holding S.A. ADR		6,628		102,867
New York Community Bancorp, Inc.		8,367		99,567
Banco Bradesco S.A. ADR		6,531		96,593
HSBC Holdings plc ADR		2,332		88,709
Bank of Montreal		1,506		84,110
Toronto-Dominion Bank		1,185		84,076
Comerica, Inc.		3,624		83,243
HDFC Bank Ltd. ADR		2,710		78,997
Royal Bank of Canada		1,698		77,633
Banco Santander S.A. ADR		9,576		76,991
ICICI Bank Ltd. ADR		2,205		76,558
Banco Santander Brasil S.A. ADR		9,255		67,747
Barclays plc ADR		6,289		61,506
Total Diversified Banks				1,712,713
OTHER DIVERSIFIED FINANCIAL SERVICES - 10.8%
JPMorgan Chase & Co.		8,162		245,840
Citigroup, Inc.		8,095		207,394
Bank of America Corp.		30,387		185,968
Total Other Diversified Financial Services				639,202
THRIFTS & MORTGAGE FINANCE - 8.2%
People’s United Financial, Inc.		8,099		92,328
Hudson City Bancorp, Inc.		12,704		71,905
First Niagara Financial Group, Inc.		7,452		68,186
Capitol Federal Financial, Inc.		5,111		53,972
Northwest Bancshares, Inc.		4,514		53,762
Washington Federal, Inc.		3,923		49,979
Ocwen Financial Corp.*		3,495		46,169
Astoria Financial Corp.		4,272		32,852
MGIC Investment Corp.*		8,929		16,697
Total Thrifts & Mortgage Finance				485,850
ASSET MANAGEMENT & CUSTODY BANKS - 3.5%
Bank of New York Mellon Corp.		10,996		204,416
DIVERSIFIED CAPITAL MARKETS - 2.1%
UBS AG		5,586		63,848
Deutsche Bank AG		1,823		63,094
Total Diversified Capital Markets				126,942
MORTGAGE REIT’S - 0.9%
CapitalSource, Inc.		8,270		50,778
Total Common Stocks (Cost $4,928,701)				5,893,807

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.9%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	52,955		52,955
Total Repurchase Agreement (Cost $52,955)				52,955
Total Investments - 100.6% (Cost $4,981,656)			$	5,946,762
Liabilities, Less Other Assets — (0.6)%				(37,437	)
Total Net Assets — 100.0%			$	5,909,325

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt
plc — Public Limited Company

10 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

BANKING FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $4,928,701)	$	5,893,807
Repurchase agreements, at value (cost $52,955)		52,955
Receivables:
Fund shares sold		9,295
Dividends		7,517
Foreign taxes reclaim		351
Total assets		5,963,925
Liabilities:
Payable for:
Fund shares redeemed		35,430
Management fees		4,210
Distribution and service fees		1,534
Transfer agent and administrative fees		1,238
Portfolio accounting fees		495
Miscellaneous		11,693
Total liabilities		54,600
Net Assets	$	5,909,325
Net Assets Consist Of:
Paid in capital	$	30,438,560
Undistributed net investment income		35,020
Accumulated net realized loss on investments		(25,529,361	)
Net unrealized appreciation on investments		965,106
Net assets	$	5,909,325
Investor Class:
Net assets	$	3,083,610
Capital shares outstanding		89,064
Net asset value per share	$	34.62
Advisor Class:
Net assets	$	192,414
Capital shares outstanding		6,076
Net asset value per share	$	31.66
A-Class:
Net assets	$	1,189,610
Capital shares outstanding		36,920
Net asset value per share	$	32.22
Maximum offering price per share (Net asset value divided by 95.25%)	$	33.83
C-Class:
Net assets	$	1,443,691
Capital shares outstanding		47,194
Net asset value per share	$	30.59

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1,521)	$	101,268
Interest		11
Total investment income		101,279
Expenses:
Management fees		37,478
Transfer agent and administrative fees		11,023
Distribution and service fees:
Advisor Class		1,017
A-Class		1,618
C-Class		11,844
Portfolio accounting fees		4,409
Registration fees		3,798
Trustees’ fees*		629
Miscellaneous		3,126
Total expenses		74,942
Net investment income		26,337
Net Realized And Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(228,317	)
Net realized loss		(228,317	)
Net change in unrealized appreciation (depreciation) on:
Investments		(2,487,906	)
Net change in unrealized appreciation (depreciation)		(2,487,906	)
Net realized and unrealized loss		(2,716,223	)
Net decrease in net assets resulting from operations	$	(2,689,886	)

* 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 | SGI series funds semi-annual report | 11

BANKING FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	26,337		$	8,682
Net realized loss on investments		(228,317	)		(187,828	)
Net change in unrealized appreciation (depreciation) on investments		(2,487,906	)		(1,197,289	)
Net decrease in net assets resulting from operations		(2,689,886	)		(1,376,435	)
Distributions to shareholders from:
Net investment income
Investor Class		—			(35,313	)
Advisor Class		—			(5,190	)
A-Class		—			(2,945	)
C-Class		—			(10,322	)
Total distributions to shareholders		—			(53,770	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		31,997,031			164,957,214
Advisor Class		1,566,332			24,430,833
A-Class		4,208,416			5,916,707
C-Class		12,639,116			62,239,417
Distributions reinvested
Investor Class		—			21,325
Advisor Class		—			4,972
A-Class		—			2,723
C-Class		—			8,842
Cost of shares redeemed
Investor Class		(36,272,480	)		(182,816,064	)
Advisor Class		(1,834,027	)		(24,348,034	)
A-Class		(3,561,451	)		(10,663,178	)
C-Class		(13,241,325	)		(64,846,218	)
Net decrease from capital share transactions		(4,498,388	)		(25,091,461	)
Net decrease in net assets		(7,188,274	)		(26,521,666	)
Net assets:
Beginning of period		13,097,599			39,619,265
End of period	$	5,909,325		$	13,097,599
Undistributed net investment income at end of period	$	35,020		$	8,683
Capital share activity:
Shares sold
Investor Class		720,099			3,520,121
Advisor Class		36,013			551,252
A-Class		97,949			125,988
C-Class		311,863			1,462,060
Shares issued from reinvestment of distributions
Investor Class		—			484
Advisor Class		—			123
A-Class		—			66
C-Class		—			225
Shares redeemed
Investor Class		(806,109	)		(3,864,747	)
Advisor Class		(43,727	)		(565,185	)
A-Class		(80,723	)		(240,955	)
C-Class		(329,028	)		(1,521,121	)
Net decrease in shares		(93,663	)		(531,689	)

12 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

BANKING FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	49.76		$	50.73		$	32.62		$	75.60		$	110.30		$	108.60
Income (loss) from investment operations:
Net investment incomeb		.21			.13			.28			1.30			2.50			2.00
Net gain (loss) on investments (realized and unrealized)		(15.35	)		(.99	)		20.05			(42.98	)		(36.20	)		.50
Total from investment operations		(15.14	)		(.86	)		20.33			(41.68	)		(33.70	)		2.50
Less distributions from:
Net investment income		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	34.62		$	49.75		$	50.73		$	32.62		$	75.60		$	110.30
Total Returnc		(30.41	)%		(1.66	)%		63.48	%		(55.66	)%		(30.69	)%		2.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,084		$	8,711		$	26,340		$	23,804		$	7,035		$	9,229
Ratios to average net assets:
Net investment income		0.92	%		0.27	%		0.67	%		2.42	%		2.59	%		1.79	%
Total expenses		1.37	%		1.39	%		1.38	%		1.37	%		1.37	%		1.32	%
Portfolio turnover rate		390	%		1,130	%		986	%		1,055	%		1,417	%		954	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	45.63		$	46.79		$	30.36		$	70.70		$	103.90		$	103.00
Income (loss) from investment operations:
Net investment income (loss)b		.07			(.08	)		.06			1.20			2.00			1.10
Net gain (loss) on investments (realized and unrealized)		(14.04	)		(.96	)		18.59			(40.24	)		(34.20	)		.60
Total from investment operations		(13.97	)		(1.04	)		18.65			(39.04	)		(32.20	)		1.70
Less distributions from:
Net investment income		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	31.66		$	45.63		$	46.79		$	30.36		$	70.70		$	103.90
Total Returnc		(30.62	)%		(2.19	)%		62.66	%		(55.70	)%		(31.14	)%		1.58	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	192		$	629		$	1,291		$	2,509		$	1,449		$	1,836
Ratios to average net assets:
Net investment income (loss)		0.36	%		(0.18	)%		0.17	%		2.42	%		2.32	%		1.08	%
Total expenses		1.87	%		1.89	%		1.88	%		1.88	%		1.85	%		1.88	%
Portfolio turnover rate		390	%		1,130	%		986	%		1,055	%		1,417	%		954	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 13

BANKING FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	46.38		$	47.41		$	30.67		$	71.50		$	104.70		$	103.40
Income (loss) from investment operations:
Net investment incomeb		.15			.04			.02			1.30			2.00			1.70
Net gain (loss) on investments (realized and unrealized)		(14.31	)		(.95	)		18.94			(40.83	)		(34.20	)		.40
Total from investment operations		(14.16	)		(.91	)		18.96			(39.53	)		(32.20	)		2.10
Less distributions from:
Net investment income		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	32.22		$	46.38		$	47.41		$	30.67		$	71.50		$	104.70
Total Returnc		(30.53	)%		(1.89	)%		63.04	%		(55.77	)%		(30.90	)%		1.96	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,190		$	913		$	6,381		$	851		$	547		$	187
Ratios to average net assets:
Net investment income		0.71	%		0.09	%		0.06	%		2.71	%		2.33	%		1.54	%
Total expenses		1.62	%		1.64	%		1.63	%		1.62	%		1.55	%		1.62	%
Portfolio turnover rate		390	%		1,130	%		986	%		1,055	%		1,417	%		954	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	44.20		$	45.51		$	29.90		$	69.50		$	102.70		$	102.00
Income (loss) from investment operations:
Net investment income (loss)b		(.02	)		(.29	)		(.16	)		.90			1.60			.70
Net gain (loss) on investments (realized and unrealized)		(13.58	)		(.90	)		17.99			(39.20	)		(33.80	)		.80
Total from investment operations		(13.61	)		(1.19	)		17.83			(38.30	)		(32.20	)		1.50
Less distributions from:
Net investment income		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Total distributions		—			(.12	)		(2.22	)		(1.30	)		(1.00	)		(.80	)
Net asset value, end of period	$	30.59		$	44.20		$	45.51		$	29.90		$	69.50		$	102.70
Total Returnc		(30.79	)%		(2.58	)%		60.86	%		(55.64	)%		(31.51	)%		1.40	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,444		$	2,844		$	5,607		$	2,114		$	3,408		$	3,180
Ratios to average net assets:
Net investment income (loss)		(0.08	)%		(0.67	)%		(0.42	)%		1.82	%		1.89	%		0.63	%
Total expenses		2.37	%		2.38	%		2.38	%		2.40	%		2.35	%		2.37	%
Portfolio turnover rate		390	%		1,130	%		986	%		1,055	%		1,417	%		954	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Per share amounts for the period March 31, 2006 — April 19, 2009 have been restated to reflect 1:10 reverse share split effective April 20, 2009.

14 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

BASIC MATERIALS FUND

OBJECTIVE: Seeks to provide 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 (“Basic Materials Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
|
Barrick Gold Corp.	3.4	%
Newmont Mining Corp.	2.9	%
Goldcorp, Inc.	2.8	%
EI du Pont de Nemours & Co.	2.4	%
Monsanto Co.	2.5	%
Praxair, Inc.	2.4	%
Vale S.A. — Class B ADR	2.1	%
Freeport-McMoRan Copper & Gold, Inc.	2.0	%
Dow Chemical Co.	2.0	%
AngloGold Ashanti Ltd. ADR	1.9	%
Top Ten Total	24.4	%

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

the RYDEX | SGI series funds semi-annual report | 15

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
BASIC MATERIALS FUND

	Shares		Value
COMMON STOCKS† - 99.8%
GOLD - 25.3%
Barrick Gold Corp.		40,448	$	1,886,898
Newmont Mining Corp.		26,124		1,643,199
Goldcorp, Inc.		34,709		1,584,119
AngloGold Ashanti Ltd. ADR		26,547		1,097,984
Kinross Gold Corp.		72,475		1,071,181
Gold Fields Ltd. ADR		61,865		947,772
Yamana Gold, Inc.		67,173		917,583
Cia de Minas Buenaventura S.A. ADR		23,885		901,420
Randgold Resources Ltd. ADR		8,999		870,383
Agnico-Eagle Mines Ltd.		14,194		844,827
Eldorado Gold Corp.		36,680		628,695
IAMGOLD Corp.		31,415		621,389
Royal Gold, Inc.		8,144		521,705
Allied Nevada Gold Corp.*		13,215		473,229
Harmony Gold Mining Company Ltd. ADR		28,900		338,997
Total Gold				14,349,381
SPECIALTY CHEMICALS - 11.7%
Ecolab, Inc.		17,581		859,534
LyondellBasell Industries N.V. — Class A		33,320		814,007
Sherwin-Williams Co.		9,590		712,729
Sigma-Aldrich Corp.		11,173		690,380
Nalco Holding Co.		19,474		681,201
International Flavors & Fragrances, Inc.		9,625		541,118
Celanese Corp. — Class A		14,867		483,624
Valspar Corp.		13,825		431,478
Albemarle Corp.		9,919		400,728
WR Grace & Co.*		10,905		363,137
Rockwood Holdings, Inc.*		10,096		340,134
Cytec Industries, Inc.		7,988		280,698
Total Specialty Chemicals				6,598,768
DIVERSIFIED METALS & MINING - 11.1%
Vale S.A. — Class B ADR		50,544		1,152,403
Freeport-McMoRan Copper & Gold, Inc.		36,740		1,118,733
Southern Copper Corp.		43,680		1,091,563
BHP Billiton Ltd. ADR		11,714		778,278
Rio Tinto plc ADR		11,853		522,480
Teck Resources Ltd. — Class B		15,519		453,000
Titanium Metals Corp.		27,665		414,422
Walter Energy, Inc.		6,455		387,365
Molycorp, Inc.*		10,700		351,709
Total Diversified Metals & Mining				6,269,953
FERTILIZERS & AGRICULTURAL CHEMICALS - 9.9%
Monsanto Co.		23,212		1,393,649
Mosaic Co.		22,356		1,094,773
Potash Corporation of Saskatchewan, Inc.		23,204		1,002,877
CF Industries Holdings, Inc.		6,094		751,939
Agrium, Inc.		8,693		579,475
Scotts Miracle-Gro Co. - Class A		9,634		429,676
Intrepid Potash, Inc.*		13,487		335,422
Total Fertilizers & Agricultural Chemicals				5,587,811
DIVERSIFIED CHEMICALS - 9.4%
EI du Pont de Nemours & Co.		35,499		1,418,894
Dow Chemical Co.		49,318		1,107,682
PPG Industries, Inc.		11,351		802,062
FMC Corp.		7,786		538,480
Eastman Chemical Co.		7,117		487,728
Ashland, Inc.		9,512		419,860
Huntsman Corp.		30,658		296,463
Solutia, Inc.*		20,370		261,755
Total Diversified Chemicals				5,332,924
STEEL - 9.1%
Nucor Corp.		24,367		770,973
Cliffs Natural Resources, Inc.		10,681		546,547
Gerdau S.A. ADR		74,770		533,110
Cia Siderurgica Nacional S.A. ADR		59,103		469,278
Allegheny Technologies, Inc.		11,402		421,760
POSCO ADR		5,433		412,962
ArcelorMittal		23,040		366,566
Reliance Steel & Aluminum Co.		10,614		360,982
United States Steel Corp.		15,623		343,862
Carpenter Technology Corp.		7,552		339,009
Steel Dynamics, Inc.		31,966		317,103
Mechel ADR		26,149		266,458
Total Steel				5,148,610
INDUSTRIAL GASES - 5.1%
Praxair, Inc.		14,318		1,338,447
Air Products & Chemicals, Inc.		12,833		980,056
Airgas, Inc.		9,144		583,570
Total Industrial Gases				2,902,073
PAPER PACKAGING - 3.8%
Temple-Inland, Inc.		16,180		507,566
Bemis Company, Inc.		15,172		444,691
Rock-Tenn Co. — Class A		9,056		440,846
Sealed Air Corp.		22,958		383,399
Packaging Corporation of America		16,436		382,959
Total Paper Packaging				2,159,461
PRECIOUS METALS & MINERALS - 3.3%
Silver Wheaton Corp.		27,726		816,530
Pan American Silver Corp.		16,226		434,370
Coeur d’Alene Mines Corp.*		16,566		355,175
Hecla Mining Co.*		51,924		278,313
Total Precious Metals & Minerals				1,884,388

16 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
BASIC MATERIALS FUND

	Shares		Value
METAL & GLASS CONTAINERS - 3.2%
Ball Corp.		17,612	$	546,325
Crown Holdings, Inc.*		17,207		526,706
Silgan Holdings, Inc.		11,260		413,692
Owens-Illinois, Inc.		21,848		330,342
Total Metal & Glass Containers				1,817,065
PAPER PRODUCTS - 2.9%
International Paper Co.		32,917		765,319
MeadWestvaco Corp.		19,542		479,952
Domtar Corp.		5,680		387,206
Total Paper Products				1,632,477
CONSTRUCTION MATERIALS - 2.0%
Vulcan Materials Co.		16,065		442,751
Martin Marietta Materials, Inc.		6,609		417,821
Cemex SAB de CV ADR*		86,748		274,124
Total Construction Materials				1,134,696
ALUMINUM - 1.2%
Alcoa, Inc.		70,750		677,078
FOREST PRODUCTS - 1.2%
Weyerhaeuser Co.		43,354		674,155
COMMODITY CHEMICALS - 0.6%
Westlake Chemical Corp.		9,640		330,459
Total Common Stocks (Cost $40,016,226)				56,499,299

	Face
	Amount
REPURCHASE AGREEMENT††,2 - 0.8%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	451,303		451,303
Total Repurchase Agreement (Cost $451,303)				451,303
Total Investments — 100.6% (Cost $40,467,529)			$	56,950,602
Liabilities, Less Cash & Other Assets — (0.6)%				(357,941	)
Total Net Assets — 100.0%			$	56,592,661

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.

ADR — American Depositary Receipt
plc — Public Limited Company
See Notes to Financial Statements.	the RYDEX | SGI series funds semi-annual report | 17

BASIC MATERIALS FUND
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $40,016,226)	$	56,499,299
Repurchase agreements, at value (cost $451,303)		451,303
Cash		4,462
Receivables:
Dividends		56,960
Fund shares sold		11,802
Total assets		57,023,826
Liabilities:
Payable for:
Fund shares redeemed		289,532
Management fees		47,525
Transfer agent and administrative fees		13,978
Distribution and service fees		11,788
Portfolio accounting fees		5,591
Miscellaneous		62,751
Total liabilities		431,165
Net assets	$	56,592,661
Net assets consist of:
Paid in capital	$	73,227,532
Accumulated net investment loss		(4,336	)
Accumulated net realized loss on investments		(33,113,608	)
Net unrealized appreciation on investments		16,483,073
Net assets	$	56,592,661
Investor Class:
Net assets	$	34,369,616
Capital shares outstanding		820,514
Net asset value per share	$	41.89
Advisor Class:
Net assets	$	3,014,202
Capital shares outstanding		76,693
Net asset value per share	$	39.30
A-Class:
Net assets	$	11,235,403
Capital shares outstanding		280,327
Net asset value per share	$	40.08
Maximum offering price per share (Net asset value divided by 95.25%)	$	42.08
C-Class:
Net assets	$	7,973,440
Capital shares outstanding		212,176
Net asset value per share	$	37.57

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $10,028)	$	788,883
Interest		49
Total investment income		788,932
Expenses:
Management fees		412,340
Transfer agent and administrative fees		121,276
Distribution and service fees:
Advisor Class		22,924
A-Class		19,673
C-Class		57,606
Portfolio accounting fees		48,510
Trustees’ fees*		5,220
Miscellaneous		77,204
Total expenses		764,753
Net investment income		24,179
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(6,894,573	)
Foreign currency		1,073
Net realized loss		(6,893,500	)
Net change in unrealized appreciation (depreciation) on:
Investments		(25,939,409	)
Net change in unrealized appreciation (depreciation)		(25,939,409	)
Net realized and unrealized loss		(32,832,909	)
Net decrease in net assets resulting from operations	$	(32,808,730	)

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

18 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

BASIC MATERIALS FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	24,179		$	(148,914	)
Net realized gain (loss) on investments		(6,893,500	)		11,009,906
Net change in unrealized appreciation (depreciation) on investments		(25,939,409	)		16,475,314
Net increase (decrease) in net assets resulting from operations		(32,808,730	)		27,336,306
Distributions to shareholders from:
Net investment income
Investor Class		—			(222,370	)
Advisor Class		—			(21,324	)
A-Class		—			(31,662	)
C-Class		—			(29,598	)
Total distributions to shareholders		—			(304,954	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		111,259,553			290,808,232
Advisor Class		6,812,304			30,920,509
A-Class		11,424,898			17,579,705
C-Class		38,261,152			122,015,297
Distributions reinvested
Investor Class		—			206,954
Advisor Class		—			20,596
A-Class		—			25,164
C-Class		—			28,100
Cost of shares redeemed
Investor Class		(127,197,741	)		(282,325,246	)
Advisor Class		(17,631,127	)		(25,392,783	)
A-Class		(14,024,613	)		(10,581,967	)
C-Class		(40,634,281	)		(119,870,587	)
Net increase (decrease) from capital share transactions		(31,729,855	)		23,433,974
Net increase (decrease) in net assets		(64,538,585	)		50,465,326
Net assets:
Beginning of period		121,131,246			70,665,920
End of period	$	56,592,661		$	121,131,246
Accumulated net investment loss at end of period	$	(4,336	)	$	(28,515	)
Capital share activity:
Shares sold
Investor Class		2,059,911			6,100,024
Advisor Class		134,658			676,750
A-Class		224,096			361,833
C-Class		799,106			2,837,089
Shares issued from reinvestment of distributions
Investor Class		—			4,118
Advisor Class		—			435
A-Class		—			522
C-Class		—			618
Shares redeemed
Investor Class		(2,545,394	)		(5,796,546	)
Advisor Class		(359,556	)		(584,091	)
A-Class		(280,627	)		(215,761	)
C-Class		(849,762	)		(2,799,223	)
Net increase (decrease) in shares		(817,568	)		585,768

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 19

BASIC MATERIALS FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	56.36		$	44.65		$	27.43		$	50.49		$	42.25		$	35.23
Income (loss) from investment operations:
Net investment incomeb		.07			—	c		.24			.20			.15			.41
Net gain (loss) on investments (realized and unrealized)		(14.54	)		11.82			17.07			(22.77	)		8.18			6.91
Total from investment operations		(14.47	)		11.82			17.31			(22.57	)		8.33			7.32
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	41.89		$	56.36		$	44.65		$	27.43		$	50.49		$	42.25
Total Returnd		(25.67	%)		26.50	%		63.12	%		(44.54	%)		19.71	%		20.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	34,370		$	73,606		$	44,582		$	98,767		$	120,870		$	68,862
Ratios to average net assets:
Net investment income		0.25	%		0.00	%e		0.65	%		0.46	%		0.31	%		1.09	%
Total expenses		1.37	%		1.39	%		1.39	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		104	%		292	%		455	%		288	%		225	%		442	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	53.00		$	42.20		$	26.06		$	48.27		$	40.61		$	34.03
Income (loss) from investment operations:
Net investment income (loss)b		(.10	)		(.20	)		.03			.05			(.11	)		.26
Net gain (loss) on investments (realized and unrealized)		(13.60	)		11.11			16.20			(21.77	)		7.86			6.62
Total from investment operations		(13.70	)		10.91			16.23			(21.72	)		7.75			6.88
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	39.30		$	53.00		$	42.20		$	26.06		$	48.27		$	40.61
Total Returnd		(25.85	%)		25.88	%		62.30	%		(44.83	%)		19.08	%		20.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,014		$	15,986		$	8,799		$	4,705		$	11,899		$	15,974
Ratios to average net assets:
Net investment income (loss)		(0.38	%)		(0.44	%)		0.07	%		0.13	%		(0.25	%)		0.72	%
Total expenses		1.87	%		1.89	%		1.89	%		1.88	%		1.87	%		1.87	%
Portfolio turnover rate		104	%		292	%		455	%		288	%		225	%		442	%

20 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

BASIC MATERIALS FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	53.99		$	42.88		$	26.41		$	48.80		$	40.92		$	34.19
Income (loss) from investment operations:
Net investment income (loss)b		.02			(.09	)		.15			.12			.03			.33
Net gain (loss) on investments (realized and unrealized)		(13.93	)		11.31			16.41			(22.02	)		7.94			6.70
Total from investment operations		(13.91	)		11.22			16.56			(21.90	)		7.97			7.03
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	40.08		$	53.99		$	42.88		$	26.41		$	48.80		$	40.92
Total Returnd		(25.76	%)		26.20	%		62.72	%		(44.71	%)		19.47	%		20.65	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,235		$	18,187		$	8,159		$	3,986		$	6,985		$	2,076
Ratios to average net assets:
Net investment income (loss)		0.06	%		(0.19	%)		0.40	%		0.30	%		0.07	%		0.92	%
Total expenses		1.62	%		1.64	%		1.65	%		1.63	%		1.62	%		1.62	%
Portfolio turnover rate		104	%		292	%		455	%		288	%		225	%		442	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	50.80		$	40.67		$	25.24		$	47.02		$	39.76		$	33.48
Income (loss) from investment operations:
Net investment income (loss)b		(.16	)		(.40	)		(.13	)		(.18	)		(.28	)		.04
Net gain (loss) on investments (realized and unrealized)		(13.07	)		10.64			15.65			(21.11	)		7.63			6.54
Total from investment operations		(13.23	)		10.24			15.52			(21.29	)		7.35			6.58
Less distributions from:
Net investment income		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Total distributions		—			(.11	)		(.09	)		(.49	)		(.09	)		(.30	)
Net asset value, end of period	$	37.57		$	50.80		$	40.67		$	25.24		$	47.02		$	39.76
Total Returnd		(26.04	%)		25.21	%		61.51	%		(45.11	%)		18.48	%		19.74	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,973		$	13,353		$	9,125		$	4,024		$	12,725		$	7,017
Ratios to average net assets:
Net investment income (loss)		(0.67	%)		(0.93	%)		(0.37	%)		(0.46	%)		(0.63	%)		0.11	%
Total expenses		2.37	%		2.39	%		2.40	%		2.38	%		2.37	%		2.37	%
Portfolio turnover rate		104	%		292	%		455	%		288	%		225	%		442	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Less than 0.01%

the RYDEX | SGI series funds semi-annual report | 21

FUND PROFILE (Unaudited)	September 30, 2011
BIOTECHNOLOGY FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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.	11.3	%
Celgene Corp.	8.7	%
Gilead Sciences, Inc. ADR	8.7	%
Biogen Idec, Inc.	7.1	%
Alexion Pharmaceuticals, Inc.	6.2	%
Vertex Pharmaceuticals, Inc.	4.6	%
Pharmasset, Inc.	4.5	%
Regeneron Pharmaceuticals, Inc.	3.7	%
BioMarin Pharmaceutical, Inc.	3.2	%
Cepheid, Inc.	2.7	%
Top Ten Total	60.7	%

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

22 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
BIOTECHNOLOGY FUND

	Shares		Value
COMMON STOCKS† - 99.5%
BIOTECHNOLOGY - 99.5%
Amgen, Inc.		138,894	$	7,632,225
Celgene Corp.*		94,617		5,858,685
Gilead Sciences, Inc. ADR		150,240		5,829,312
Biogen Idec, Inc.*		51,898		4,834,299
Alexion Pharmaceuticals, Inc.*		65,735		4,210,984
Vertex Pharmaceuticals, Inc.*		70,222		3,127,688
Pharmasset, Inc.*		37,344		3,076,025
Regeneron Pharmaceuticals, Inc.*		43,076		2,507,023
BioMarin Pharmaceutical, Inc.		67,731		2,158,587
Cepheid, Inc.*		47,716		1,852,812
Cubist Pharmaceuticals, Inc.*		44,736		1,580,076
Seattle Genetics, Inc.*		79,894		1,522,780
Onyx Pharmaceuticals, Inc.*		45,166		1,355,432
United Therapeutics Corp.*		35,663		1,337,006
Myriad Genetics, Inc.*		66,412		1,244,561
Human Genome Sciences, Inc.*		96,895		1,229,598
Incyte Corporation Ltd.*		86,519		1,208,670
Alkermes plc*		77,949		1,189,502
Amylin Pharmaceuticals, Inc.*		114,731		1,058,967
Ariad Pharmaceuticals, Inc.*		113,175		994,808
InterMune, Inc.*		44,655		902,031
PDL BioPharma, Inc.		160,593		891,291
Pharmacyclics, Inc.*		71,380		844,425
Immunogen, Inc.*		75,095		823,041
Amarin Corporation plc ADR*		85,800		789,360
Acorda Therapeutics, Inc.		38,795		774,348
AVEO Pharmaceuticals, Inc.*		48,491		746,276
Theravance, Inc.*		37,020		745,583
Medivation, Inc.*		43,379		736,575
Exelixis, Inc. — Class H		116,600		636,636
Momenta Pharmaceuticals, Inc.*		54,835		630,603
Spectrum Pharmaceuticals, Inc.*		79,100		603,533
Dendreon Corp.*		66,396		597,564
Micromet, Inc.*		110,703		531,374
Emergent Biosolutions, Inc.*		32,405		500,009
NPS Pharmaceuticals, Inc.*		73,750		480,113
Isis Pharmaceuticals, Inc.*		68,217		462,511
Achillion Pharmaceuticals, Inc.*		95,879		452,549
Savient Pharmaceuticals, Inc.*		107,480		440,668
Oncothyreon, Inc.*		73,179		437,610
SIGA Technologies, Inc.*		80,113		261,970
Targacept, Inc.*		12,983		194,745
Enzon Pharmaceuticals, Inc.*		26,904		189,404
Total Biotechnology				67,481,259
Total Common Stocks (Cost $40,175,394)				67,481,259
RIGHTS - 0.1%
Sanofi
Expires 12/31/20*††		49,694		52,676
Clinical Data, Inc.
Expires 12/31/20*†††,1		24,000		—
Total Rights (Cost $38,762)				52,676
	Face Amount
REPURCHASE AGREEMENT††,2 - 0.6%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	431,722		431,722
Total Repurchase Agreement (Cost $431,722)				431,722
Total Investments - 100.2% (Cost $40,645,878)			$	67,965,657
Liabilities, Less Other Assets — (0.2)%				(109,998	)
Total Net Assets — 100.0%			$	67,855,659

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4
†††	Value determined based on Level 3 inputs — See Note 4.
1	Illiquid security.
2	Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt
plc — Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 23

BIOTECHNOLOGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $40,214,156)	$	67,533,935
Repurchase agreements, at value (cost $431,722)		431,722
Receivables:
Fund shares sold		631,768
Total assets		68,597,425
Liabilities:
Payable for:
Fund shares redeemed		590,476
Management fees		48,013
Transfer agent and administrative fees		14,121
Distribution and service fees		6,750
Portfolio accounting fees		5,648
Miscellaneous		76,758
Total liabilities		741,766
Net assets	$	67,855,659
Net assets consist of:
Paid in capital	$	108,598,399
Accumulated net investment loss		(675,354	)
Accumulated net realized loss on investments		(67,387,165	)
Net unrealized appreciation on investments		27,319,779
Net assets	$	67,855,659
Investor Class:
Net assets	$	51,506,357
Capital shares outstanding		1,876,837
Net asset value per share	$	27.44
Advisor Class:
Net assets	$	4,008,377
Capital shares outstanding		156,874
Net asset value per share	$	25.55
A-Class:
Net assets	$	8,099,708
Capital shares outstanding		311,847
Net asset value per share	$	25.97
Maximum offering price per share (Net asset value divided by 95.25%)	$	27.27
C-Class:
Net assets	$	4,241,217
Capital shares outstanding		171,719
Net asset value per share	$	24.70

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	115,004
Interest		28
Total investment income		115,032
Expenses:
Management fees		452,416
Transfer agent and administrative fees		133,063
Distribution and service fees:
Advisor Class		21,352
A-Class		7,166
C-Class		20,314
Portfolio accounting fees		53,225
Trustees’ fees*		2,705
Miscellaneous		92,931
Total expenses		783,172
Net investment income		(668,140	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(6,173,847	)
Net realized loss		(6,173,847	)
Net change in unrealized appreciation (depreciation) on:
Investments		(5,624,348	)
Net change in unrealized appreciation (depreciation)		(5,624,348	)
Net realized and unrealized loss		(11,798,195	)
Net decrease in net assets resulting from operations	$	(12,466,335	)

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

24 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

BIOTECHNOLOGY FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(668,140	)	$	(864,668	)
Net realized gain (loss) on investments		(6,173,847	)		5,894,249
Net change in unrealized appreciation (depreciation) on investments		(5,624,348	)		(5,568,909	)
Net decrease in net assets resulting from operations		(12,466,335	)		(539,328	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		259,283,612			200,353,498
Advisor Class		29,951,076			32,859,417
A-Class		10,508,657			4,397,821
C-Class		23,293,942			83,602,839
Cost of shares redeemed
Investor Class		(242,670,256	)		(302,455,838	)
Advisor Class		(32,423,163	)		(34,822,391	)
A-Class		(3,306,069	)		(5,002,905	)
C-Class		(22,015,948	)		(85,042,173	)
Net increase (decrease) from capital share transactions		22,621,851			(106,109,732	)
Net increase (decrease) in net assets		10,155,516			(106,649,060	)
Net assets:
Beginning of period		57,700,143			164,349,203
End of period	$	67,855,659		$	57,700,143
Accumulated net investment loss at end of period	$	(675,354	)	$	(7,214	)
Capital share activity:
Shares sold
Investor Class		8,317,999			7,766,203
Advisor Class		1,037,755			1,325,998
A-Class		352,126			181,773
C-Class		832,858			3,546,616
Shares redeemed
Investor Class		(7,973,447	)		(11,632,862	)
Advisor Class		(1,153,047	)		(1,410,259	)
A-Class		(120,301	)		(212,222	)
C-Class		(789,759	)		(3,606,457	)
Net increase (decrease) in shares		504,184			(4,041,210	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 25

BIOTECHNOLOGY FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	29.16		$	27.34		$	19.37		$	21.51		$	21.21		$	23.45
Income (loss) from investment operations:
Net investment lossb		(.18	)		(.33	)		(.21	)		(.19	)		(.22	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		(1.54	)		2.15			8.18			(1.95	)		.52			(1.97	)
Total from investment operations		(1.72	)		1.82			7.97			(2.14	)		.30			(2.24	)
Net asset value, end of period	$	27.44		$	29.16		$	27.34		$	19.37		$	21.51		$	21.21
Total Returnc		(5.90	%)		6.66	%		41.15	%		(9.95	%)		1.41	%		(9.55	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	51,506		$	44,686		$	147,631		$	65,829		$	47,696		$	61,366
Ratios to average net assets:
Net investment loss		(1.17	%)		(1.26	%)		(0.90	%)		(0.86	%)		(0.94	%)		(1.23	%)
Total expenses		1.38	%		1.39	%		1.39	%		1.38	%		1.39	%		1.37	%
Portfolio turnover rate		184	%		337	%		316	%		370	%		193	%		269	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.22		$	25.66		$	18.27		$	20.39		$	20.20		$	22.44
Income (loss) from investment operations:
Net investment lossb		(.25	)		(.43	)		(.30	)		(.29	)		(.31	)		(.37	)
Net gain (loss) on investments (realized and unrealized)		(1.42	)		1.99			7.69			(1.83	)		.50			(1.87	)
Total from investment operations		(1.67	)		1.56			7.39			(2.12	)		.19			(2.24	)
Net asset value, end of period	$	25.55		$	27.22		$	25.66		$	18.27		$	20.39		$	20.20
Total Returnc		(6.14	%)		6.08	%		40.45	%		(10.40	%)		0.94	%		(9.98	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,008		$	7,410		$	9,144		$	6,675		$	4,220		$	5,295
Ratios to average net assets:
Net investment loss		(1.71	%)		(1.77	%)		(1.38	%)		(1.40	%)		(1.42	%)		(1.75	%)
Total expenses		1.88	%		1.89	%		1.89	%		1.88	%		1.89	%		1.87	%
Portfolio turnover rate		184	%		337	%		316	%		370	%		193	%		269	%

26 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

BIOTECHNOLOGY FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.64		$	25.98		$	18.45		$	20.54		$	20.30		$	22.50
Income (loss) from investment operations:
Net investment lossb		(.18	)		(.37	)		(.25	)		(.24	)		(.27	)		(.31	)
Net gain (loss) on investments (realized and unrealized)		(1.49	)		2.03			7.78			(1.85	)		.51			(1.89	)
Total from investment operations		(1.67	)		1.66			7.53			(2.09	)		.24			(2.20	)
Net asset value, end of period	$	25.97		$	27.64		$	25.98		$	18.45		$	20.54		$	20.30
Total Returnc		(6.04	%)		6.39	%		40.81	%		(10.18	%)		1.18	%		(9.78	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,100		$	2,211		$	2,869		$	4,346		$	2,321		$	849
Ratios to average net assets:
Net investment loss		(1.31	%)		(1.51	%)		(1.12	%)		(1.17	%)		(1.26	%)		(1.50	%)
Total expenses		1.62	%		1.64	%		1.64	%		1.64	%		1.62	%		1.62	%
Portfolio turnover rate		184	%		337	%		316	%		370	%		193	%		269	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.38		$	24.96		$	17.87		$	20.03		$	19.95		$	22.27
Income (loss) from investment operations:
Net investment lossb		(.29	)		(.54	)		(.38	)		(.38	)		(.42	)		(.46	)
Net gain (loss) on investments (realized and unrealized)		(1.39	)		1.96			7.47			(1.78	)		.50			(1.86	)
Total from investment operations		(1.68	)		1.42			7.09			(2.16	)		.08			(2.32	)
Net asset value, end of period	$	24.70		$	26.38		$	24.96		$	17.87		$	20.03		$	19.95
Total Returnc		(6.37	%)		5.65	%		39.68	%		(10.78	%)		0.40	%		(10.42	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,241		$	3,393		$	4,705		$	4,028		$	3,671		$	2,678
Ratios to average net assets:
Net investment loss		(2.10	%)		(2.27	%)		(1.78	%)		(1.89	%)		(1.99	%)		(2.23	%)
Total expenses		2.38	%		2.39	%		2.39	%		2.39	%		2.38	%		2.36	%
Portfolio turnover rate		184	%		337	%		316	%		370	%		193	%		269	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 27

FUND PROFILE (Unaudited) September 30, 2011

CONSUMER PRODUCTS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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.	6.6	%
Coca-Cola Co.	6.2	%
Philip Morris International, Inc.	5.0	%
PepsiCo, Inc.	4.6	%
Kraft Foods, Inc. — Class A	3.8	%
Altria Group, Inc.	3.7	%
Colgate-Palmolive Co.	3.3	%
Kimberly-Clark Corp.	2.7	%
General Mills, Inc.	2.5	%
Reynolds American, Inc.	2.3	%
Top Ten Total	40.5	%

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

28 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

CONSUMER PRODUCTS FUND

	Shares		Value
COMMON STOCKS† - 99.5%
PACKAGED FOODS & MEATS - 31.2%
Kraft Foods, Inc. — Class A		126,692	$	4,254,317
General Mills, Inc.		75,387		2,900,138
Kellogg Co.		46,340		2,464,825
HJ Heinz Co.		44,327		2,237,627
Mead Johnson Nutrition Co. — Class A		31,124		2,142,265
Green Mountain Coffee Roasters, Inc.*		22,267		2,069,495
Hershey Co.		34,742		2,058,116
Campbell Soup Co.		55,677		1,802,264
ConAgra Foods, Inc.		71,342		1,727,903
Sara Lee Corp.		98,615		1,612,355
JM Smucker Co.		22,052		1,607,370
Hormel Foods Corp.		54,456		1,471,401
Tyson Foods, Inc. — Class A		82,065		1,424,648
McCormick & Company, Inc.		29,685		1,370,260
BRF — Brasil Foods S.A. ADR		71,750		1,257,778
Unilever N.V.		36,921		1,162,642
Smithfield Foods, Inc.		49,736		969,852
TreeHouse Foods, Inc.*		14,832		917,211
Flowers Foods, Inc.		44,185		859,840
Diamond Foods, Inc.		9,680		772,367
Dean Foods Co.*		71,136		630,976
Total Packaged Foods & Meats				35,713,650
HOUSEHOLD PRODUCTS - 16.3%
Procter & Gamble Co.		118,180		7,466,613
Colgate-Palmolive Co.		42,353		3,755,865
Kimberly-Clark Corp.		43,747		3,106,474
Clorox Co.		24,777		1,643,458
Church & Dwight Company, Inc.		33,964		1,501,209
Energizer Holdings, Inc.*		17,235		1,145,093
Total Household Products				18,618,712
SOFT DRINKS - 15.9%
Coca-Cola Co.		104,278		7,045,021
PepsiCo, Inc.		85,965		5,321,234
Hansen Natural Corp.		18,894		1,649,257
Dr Pepper Snapple Group, Inc.		41,805		1,621,198
Coca-Cola Enterprises, Inc.		62,234		1,548,382
Fomento Economico Mexicano SAB de CV ADR		16,356		1,060,196
Total Soft Drinks				18,245,288
TOBACCO - 13.0%
Philip Morris International, Inc.		90,901		5,670,404
Altria Group, Inc.		158,555		4,250,860
Reynolds American, Inc.		70,478		2,641,515
Lorillard, Inc.		20,475		2,266,583
Total Tobacco				14,829,362
FOOD RETAIL - 5.5%
Kroger Co.		89,043		1,955,385
Whole Foods Market, Inc.		29,940		1,955,382
Safeway, Inc.		70,675		1,175,325
Fresh Market, Inc.*		17,884		682,453
SUPERVALU, Inc.		87,746		584,388
Total Food Retail				6,352,933
PERSONAL PRODUCTS - 5.1%
Estee Lauder Companies, Inc. — Class A		24,790		2,177,553
Herbalife Ltd.		25,871		1,386,686
Avon Products, Inc.		70,202		1,375,959
Nu Skin Enterprises, Inc. — Class A		22,730		921,020
Total Personal Products				5,861,218
AGRICULTURAL PRODUCTS - 4.4%
Archer-Daniels-Midland Co.		82,843		2,055,336
Bunge Ltd.		26,111		1,522,010
Corn Products International, Inc.		21,014		824,589
Darling International, Inc.		46,760		588,708
Total Agricultural Products				4,990,643
BREWERS - 3.5%
Molson Coors Brewing Co. — Class B		37,287		1,476,938
Cia de Bebidas das Americas ADR		46,740		1,432,581
Anheuser-Busch InBev N.V. ADR		21,757		1,152,686
Total Brewers				4,062,205
DISTILLERS & VINTNERS - 2.8%
Brown-Forman Corp. — Class B		17,171		1,204,374
Constellation Brands, Inc. — Class A*		57,754		1,039,572
Diageo plc ADR		12,688		963,400
Total Distillers & Vintners				3,207,346
FOOD DISTRIBUTORS - 1.8%
Sysco Corp.		78,595		2,035,611
Total Common Stocks (Cost $98,881,246)				113,916,968
WARRANTS*†† - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		125		36
Total Warrants (Cost $—)				36

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 29

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

CONSUMER PRODUCTS FUND

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1- 0.3%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	360,842	$	360,842
Total Repurchase Agreement (Cost $360,842)				360,842
Total Investments - 99.8% (Cost $99,242,088)			$	114,277,846
Other Assets, Less Liabilities — 0.2%				200,407
Total Net Assets — 100.0%			$	114,478,253

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR — American Depositary Receip
plc — Public Limited Company

30 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

CONSUMER PRODUCTS FUND
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $98,881,246)	$	113,917,004
Repurchase agreements, at value (cost $360,842)		360,842
Receivables:
Fund shares sold		11,544,115
Dividends		367,762
Foreign taxes reclaim		1,110
Total assets		126,190,833
Liabilities:
Payable for:
Securities purchased		11,101,267
Fund shares redeemed		406,489
Management fees		83,163
Transfer agent and administrative fees		24,460
Portfolio accounting fees		9,784
Distribution and service fees		9,646
Miscellaneous		77,771
Total liabilities		11,712,580
Net assets	$	114,478,253
Net assets consist of:
Paid in capital	$	105,786,782
Undistributed net investment income		2,161,427
Accumulated net realized loss on investments		(8,505,714	)
Net unrealized appreciation on investments		15,035,758
Net assets	$	114,478,253
Investor class:
Net assets	$	89,439,428
Capital shares outstanding		2,447,517
Net asset value per share	$	36.54
Advisor Class:
Net assets	$	6,118,804
Capital shares outstanding		180,447
Net asset value per share	$	33.91
A-Class:
Net assets	$	13,814,332
Capital shares outstanding		399,047
Net asset value per share	$	34.62
Maximum offering price per share (Net asset value divided by 95.25%)	$	36.35
C-Class:
Net assets	$	5,105,689
Capital shares outstanding		158,235
Net asset value per share	$	32.26

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $2,611)	$	1,446,196
Interest		57
Total investment income		1,446,253
Expenses:
Management fees		461,674
Transfer agent and administrative fees		135,786
Distribution and service fees:
Advisor Class		16,752
A-Class		10,843
C-Class		24,148
Portfolio accounting fees		54,314
Trustees’ fees*		2,267
Miscellaneous		89,188
Total expenses		794,972
Net investment income		651,281
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(6,187,025	)
Net realized loss		(6,187,025	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,648,244
Net change in unrealized appreciation (depreciation)		1,648,244
Net realized and unrealized loss		(4,538,781	)
Net decrease in net assets resulting from operations	$	(3,887,500	)

* 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 | SGI series funds semi-annual report | 31

CONSUMER PRODUCTS FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	651,281		$	1,510,144
Net realized gain (loss) on investments		(6,187,025	)		23,091,560
Net change in unrealized appreciation (depreciation) on investments		1,648,244			(13,671,959	)
Net increase (decrease) in net assets resulting from operations		(3,887,500	)		10,929,745
Distributions to shareholders from:
Net investment income
Investor Class		—			(1,233,220	)
Advisor Class		—			(155,870	)
A-Class		—			(80,810	)
C-Class		—			(110,514	)
Net realized gains
Investor Class		—			(8,588,996	)
Advisor Class		—			(1,085,584	)
A-Class		—			(562,819	)
C-Class		—			(769,755	)
Total distributions to shareholders		—			(12,587,568	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		446,441,300			390,995,240
Advisor Class		25,882,599			35,315,185
A-Class		17,582,421			6,689,410
C-Class		31,502,195			68,579,568
Distributions reinvested
Investor Class		—			9,569,300
Advisor Class		—			1,219,720
A-Class		—			593,646
C-Class		—			861,273
Cost of shares redeemed
Investor Class		(411,733,474	)		(525,670,868	)
Advisor Class		(23,072,839	)		(38,462,251	)
A-Class		(8,402,388	)		(22,692,937	)
C-Class		(29,701,941	)		(69,681,980	)
Net increase (decrease) from capital share transactions		48,497,873			(142,684,694	)
Net increase (decrease) in net assets		44,610,373			(144,342,517	)
Net assets:
Beginning of period		69,867,880			214,210,397
End of period	$	114,478,253		$	69,867,880
Undistributed net investment income at end of period	$	2,161,427		$	1,580,416
Capital share activity:
Shares sold
Investor Class		11,796,964			10,684,021
Advisor Class		736,158			1,029,449
A-Class		490,583			191,526
C-Class		941,488			2,055,708
Shares issued from reinvestment of distributions
Investor Class		—			283,619
Advisor Class		—			38,795
A-Class		—			18,540
C-Class		—			28,671
Shares redeemed
Investor Class		(10,940,794	)		(14,211,944	)
Advisor Class		(658,396	)		(1,128,358	)
A-Class		(237,444	)		(650,900	)
C-Class		(891,201	)		(2,097,770	)
Net increase (decrease) in shares		1,237,358			(3,758,643	)

32 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

CONSUMER PRODUCTS FUND
FINANCIAL HIGH LIGHTS

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.

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	36.37		$	37.83		$	26.39		$	36.40		$	36.11		$	31.03
Income (loss) from investment operations:
Net investment incomeb		.24			.69			.50			.55			.52			.43
Net gain (loss) on investments (realized and unrealized)		(.07	)		4.40			11.04			(10.35	)		.13			4.71
Total from investment operations		.17			5.09			11.54			(9.80	)		.65			5.14
Less distributions from:
Net investment income		—			(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		—			(5.73	)		—			—			—			—
Total distributions		—			(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	36.54		$	36.37		$	37.83		$	26.39		$	36.40		$	36.11
Total Returnc		0.47	%		14.81	%		43.75	%		(26.96	%)		1.72	%		16.58	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	89,439		$	57,876		$	182,915		$	14,703		$	8,722		$	21,814
Ratios to average net assets:
Net investment income		1.28	%		1.84	%		1.46	%		1.81	%		1.37	%		1.29	%
Total expenses		1.37	%		1.38	%		1.37	%		1.38	%		1.37	%		1.37	%
Portfolio turnover rate		344	%		400	%		200	%		445	%		449	%		455	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	33.84		$	35.77		$	25.09		$	34.78		$	34.68		$	29.96
Income (loss) from investment operations:
Net investment incomeb		.13			.62			.35			.34			.15			.20
Net gain (loss) on investments (realized and unrealized)		(.06	)		4.00			10.43			(9.82	)		.31			4.58
Total from investment operations		.07			4.62			10.78			(9.48	)		.46			4.78
Less distributions from:
Net investment income		—			(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		—			(5.73	)		—			—			—			—
Total distributions		—			(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	33.91		$	33.84		$	35.77		$	25.09		$	34.78		$	34.68
Total Returnc		0.21	%		14.32	%		42.99	%		(27.29	%)		1.25	%		15.97	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,119		$	3,475		$	5,824		$	11,113		$	5,384		$	5,754
Ratios to average net assets:
Net investment income		0.73	%		1.78	%		1.17	%		1.18	%		0.42	%		0.64	%
Total expenses		1.87	%		1.88	%		1.88	%		1.87	%		1.87	%		1.86	%
Portfolio turnover rate		344	%		400	%		200	%		445	%		449	%		455	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 33

CONSUMER PRODUCTS FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	34.49		$	36.26		$	25.37		$	35.09		$	34.90		$	30.07
Income (loss) from investment operations:
Net investment incomeb		.22			.41			.55			.42			.50			.42
Net gain (loss) on investments (realized and unrealized)		(.09	)		4.37			10.44			(9.93	)		.05			4.47
Total from investment operations		.13			4.78			10.99			(9.51	)		.55			4.89
Less distributions from:
Net investment income		—			(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		—			(5.73	)		—			—			—			—
Total distributions		—			(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	34.62		$	34.49		$	36.26		$	25.37		$	35.09		$	34.90
Total Returnc		0.38	%		14.58	%		43.34	%		(27.14	%)		1.50	%		16.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,814		$	5,033		$	21,277		$	2,898		$	1,682		$	3,935
Ratios to average net assets:
Net investment income		1.25	%		1.14	%		1.72	%		1.41	%		1.38	%		1.30	%
Total expenses		1.62	%		1.63	%		1.63	%		1.63	%		1.63	%		1.61	%
Portfolio turnover rate		344	%		400	%		200	%		445	%		449	%		455	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	32.28		$	34.57		$	24.36		$	33.95		$	34.04		$	29.55
Income (loss) from investment operations:
Net investment incomeb		.05			.30			.24			.19			.17			.20
Net gain (loss) on investments (realized and unrealized)		(.07	)		3.96			10.07			(9.57	)		.10			4.35
Total from investment operations		(.02	)		4.26			10.31			(9.38	)		.27			4.55
Less distributions from:
Net investment income		—			(.82	)		(.10	)		(.21	)		(.36	)		(.06	)
Net realized gains		—			(5.73	)		—			—			—			—
Total distributions		—			(6.55	)		(.10	)		(.21	)		(.36	)		(.06	)
Net asset value, end of period	$	32.26		$	32.28		$	34.57		$	24.36		$	33.95		$	34.04
Total Returnc		(0.06	%)		13.78	%		42.35	%		(27.67	%)		0.71	%		15.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,106		$	3,484		$	4,194		$	3,067		$	3,903		$	5,472
Ratios to average net assets:
Net investment income		0.30	%		0.90	%		0.77	%		0.65	%		0.49	%		0.62	%
Total expenses		2.37	%		2.38	%		2.38	%		2.38	%		2.37	%		2.36	%
Portfolio turnover rate		344	%		400	%		200	%		445	%		449	%		455	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

34 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

ELECTRONICS FUND

OBJECTIVE: Seeks to provide 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 (“Electronics Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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.	11.6	%
Texas Instruments, Inc.	5.7	%
Broadcom Corp. — Class A	4.7	%
Applied Materials, Inc.	3.6	%
Marvell Technology Group Ltd.	3.3	%
Analog Devices, Inc.	3.0	%
Avago Technologies Ltd.	2.9	%
Altera Corp.	2.9	%
Taiwan Semiconductor Manufacturing Company Ltd. ADR	2.9	%
NVIDIA Corp.	2.8	%
Top Ten Total	43.4	%

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

the RYDEX | SGI series funds semi-annual report | 35

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

ELECTRONICS FUND

	Shares		Value
COMMON STOCKS† - 100.3%
SEMICONDUCTORS - 80.0%
Intel Corp.		40,688	$	867,876
Texas Instruments, Inc.		15,851		422,430
Broadcom Corp. — Class A		10,576		352,075
Marvell Technology Group Ltd.*		17,130		248,899
Analog Devices, Inc.		7,339		229,344
Avago Technologies Ltd.		6,773		221,951
Altera Corp.		7,019		221,309
Taiwan Semiconductor Manufacturing Company Ltd. ADR		18,906		216,096
NVIDIA Corp.*		17,010		212,625
Maxim Integrated Products, Inc.		8,905		207,754
Xilinx, Inc.		7,208		197,788
Linear Technology Corp.		6,994		193,384
Microchip Technology, Inc.		5,654		175,896
Netlogic Microsystems, Inc.*		3,495		168,144
Micron Technology, Inc.*		30,881		155,640
ARM Holdings plc ADR		5,325		135,788
Advanced Micro Devices, Inc.*		26,425		134,239
Cree, Inc.		5,041		130,965
Skyworks Solutions, Inc.*		7,246		129,993
ON Semiconductor Corp.*		17,157		123,016
Atmel Corp.*		14,918		120,388
RF Micro Devices, Inc.*		17,305		109,714
Cypress Semiconductor Corp.		7,208		107,904
LSI Corp.*		17,557		90,945
Silicon Laboratories, Inc.*		2,538		85,048
Cirrus Logic, Inc.*		5,364		79,065
Fairchild Semiconductor International, Inc. — Class A*		7,175		77,490
Cavium, Inc.*		2,815		76,033
Semtech Corp.*		3,134		66,127
Freescale Semiconductor Holdings I Ltd.*		5,527		60,963
Rambus, Inc.*		4,336		60,704
TriQuint Semiconductor, Inc.		10,776		54,096
PMC — Sierra, Inc.*		8,544		51,093
Omnivision Technologies, Inc.*		3,559		49,968
Intersil Corp. — Class A		4,763		49,011
Microsemi Corp.*		2,949		47,125
Trina Solar Ltd. ADR*		7,450		45,296
LDK Solar Company Ltd. ADR*		12,899		40,245
International Rectifier Corp.*		2,147		39,977
Total Semiconductors				6,056,404
SEMICONDUCTOR EQUIPMENT - 17.4%
Applied Materials, Inc.		26,826		277,648
KLA-Tencor Corp.		5,266		201,582
Lam Research Corp.*		4,375		166,163
ASML Holding N.V. — Class G ADR		4,210		145,413
Novellus Systems, Inc.*		4,029		109,831
Teradyne, Inc.*		9,392		103,406
MEMC Electronic Materials, Inc.*		14,628		76,651
Cymer, Inc.*		1,941		72,166
Veeco Instruments, Inc.*		2,627		64,099
GT Advanced Technologies, Inc.*		7,244		50,853
Kulicke & Soffa Industries, Inc.*		6,784		50,609
Total Semiconductor Equipment				1,318,421
ELECTRICAL COMPONENTS & EQUIPMENT - 1.8%
First Solar, Inc.*		2,188		138,303
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.1%
FEI Co.*		2,694		80,712
Total Common Stocks (Cost $5,592,253)				7,593,840

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 3.6%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	276,013		276,013
Total Repurchase Agreement (Cost $276,013)				276,013
Total Investments - 103.9% (Cost $5,868,266)			$	7,869,853
Liabilities, Less Cash & Other Assets — (3.9)%				(292,698	)
Total Net Assets — 100.0%			$	7,577,155

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt
plc — Public Limited Company

36 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ELECTRONICS FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $5,592,253)	$	7,593,840
Repurchase agreements, at value (cost $276,013)		276,013
Cash		558
Receivables:
Fund shares sold		6,246
Dividends		222
Total assets		7,876,879
Liabilities:
Payable for:
Securities purchased		205,807
Fund shares redeemed		73,905
Management fees		4,851
Distribution and service fees		1,431
Transfer agent and administrative fees		1,427
Portfolio accounting fees		571
Miscellaneous		11,732
Total liabilities		299,724
Net assets	$	7,577,155
Net assets consist of:
Paid in capital	$	58,299,728
Accumulated net investment loss		(25,297	)
Accumulated net realized loss on investments		(52,698,863	)
Net unrealized appreciation on investments		2,001,587
Net assets	$	7,577,155
Investor Class:
Net assets	$	5,125,052
Capital shares outstanding		114,884
Net asset value per share	$	44.61
Advisor Class:
Net assets	$	1,372,106
Capital shares outstanding		32,883
Net asset value per share	$	41.72
A-Class:
Net assets	$	755,971
Capital shares outstanding		17,846
Net asset value per share	$	42.36
Maximum offering price per share (Net asset value divided by 95.25%)	$	44.47
C-Class:
Net assets	$	324,026
Capital shares outstanding		8,038
Net asset value per share	$	40.31

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $25)	$	63,053
Interest		7
Total investment income		63,060
Expenses:
Management fees		46,102
Transfer agent and administrative fees		13,559
Distribution and service fees:
Advisor Class		6,389
A-Class		1,284
C-Class		6,440
Portfolio accounting fees		5,424
Registration fees		14,789
Printing expenses		5,680
Pricing service expense		5,050
Trustees’ fees*		1,141
Miscellaneous		(17,501	)
Total expenses		88,357
Net investment loss		(25,297	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		163,734
Net realized gain		163,734
Net change in unrealized appreciation (depreciation) on:
Investments		(2,902,621	)
Net change in unrealized appreciation (depreciation)		(2,902,621	)
Net realized and unrealized loss		(2,738,887	)
Net decrease in net assets resulting from operations	$	(2,764,184	)

* 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 | SGI series funds semi-annual report | 37

ELECTRONICS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(25,297	)	$	(97,316	)
Net realized gain (loss) on investments		163,734			(1,831,352	)
Net change in unrealized appreciation (depreciation) on investments		(2,902,621	)		(1,072,361	)
Net decrease in net assets resulting from operations		(2,764,184	)		(3,001,029	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		55,229,598			353,378,731
Advisor Class		14,372,649			29,701,725
A-Class		4,011,430			7,556,407
C-Class		33,279,768			128,873,486
Cost of shares redeemed
Investor Class		(55,442,026	)		(359,599,458	)
Advisor Class		(15,259,784	)		(28,156,131	)
A-Class		(4,793,925	)		(6,829,314	)
C-Class		(33,978,105	)		(131,295,692	)
Net decrease from capital share transactions		(2,580,395	)		(6,370,246	)
Net decrease in net assets		(5,344,579	)		(9,371,275	)
Net assets:
Beginning of period		12,921,734			22,293,009
End of period	$	7,577,155		$	12,921,734
Accumulated net investment loss at end of period	$	(25,297	)	$	—
Capital share activity:
Shares sold
Investor Class		975,499			6,465,968
Advisor Class		276,879			577,894
A-Class		81,706			144,798
C-Class		680,365			2,693,693
Shares redeemed
Investor Class		(975,790	)		(6,656,304	)
Advisor Class		(298,270	)		(556,791	)
A-Class		(91,969	)		(143,325	)
C-Class		(694,963	)		(2,740,831	)
Net decrease in shares		(46,543	)		(214,898	)

38 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ELECTRONICS FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010e			2009e			2008e			2007e
Per Share Data
Net asset value, beginning of period	$	60.57		$	52.33		$	32.76		$	50.30		$	62.30		$	67.60
Income (loss) from investment operations:
Net investment lossb		(.07	)		(.13	)		(.02	)		(—	)c		(.25	)		(.50	)
Net gain (loss) on investments (realized and unrealized)		(15.89	)		8.37			19.59			(17.54	)		(11.75	)		(4.80	)
Total from investment operations		(15.96	)		8.24			19.57			(17.54	)		(12.00	)		(5.30	)
Net asset value, end of period	$	44.61		$	60.57		$	52.33		$	32.76		$	50.30		$	62.30
Total Returnd		(26.35)	%		15.75	%		59.74	%		(34.89)	%		(19.26)	%		(7.84)	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,125		$	6,976		$	15,988		$	106,703		$	9,835		$	15,376
Ratios to average net assets:
Net investment loss		(0.25	)%		(0.23	)%		(0.06	)%		(0.03	)%		(0.37	)%		(0.76	)%
Total expenses		1.37	%		1.39	%		1.38	%		1.34	%		1.36	%		1.37	%
Portfolio turnover rate		640	%		1,171	%		592	%		408	%		784	%		759	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010e			2009e			2008e			2007e
Per Share Data
Net asset value, beginning of period	$	56.77		$	49.26		$	31.01		$	47.80		$	59.40		$	64.90
Income (loss) from investment operations:
Net investment lossb		(.16	)		(.41	)		(.16	)		(.10	)		(.60	)		(.75	)
Net gain (loss) on investments (realized and unrealized)		(14.89	)		7.92			18.41			(16.69	)		(11.00	)		(4.75	)
Total from investment operations		(15.05	)		7.51			18.25			(16.79	)		(11.60	)		(5.50	)
Net asset value, end of period	$	41.72		$	56.77		$	49.26		$	31.01		$	47.80		$	59.40
Total Returnd		(26.51)	%		15.25	%		58.85	%		(35.15)	%		(19.53)	%		(8.47)	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,372		$	3,081		$	1,634		$	3,152		$	566		$	1,511
Ratios to average net assets:
Net investment loss		(0.61	)%		(0.79	)%		(0.39	)%		(0.29	)%		(0.98	)%		(1.20	)%
Total expenses		1.87	%		1.89	%		1.87	%		1.86	%		1.88	%		1.87	%
Portfolio turnover rate		640	%		1,171	%		592	%		408	%		784	%		759	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 39

ELECTRONICS FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010e			2009e			2008e			2007e
Per Share Data
Net asset value, beginning of period	$	57.59		$	49.88		$	31.31		$	48.25		$	59.95		$	65.15
Income (loss) from investment operations:
Net investment lossb		(.05	)		(.21	)		(.14	)		(.10	)		(.55	)		(.55	)
Net gain (loss) on investments (realized and unrealized)		(15.18	)		7.92			18.71			(16.84	)		(11.15	)		(4.65	)
Total from investment operations		(15.23	)		7.71			18.57			(16.94	)		(11.70	)		(5.20	)
Net asset value, end of period	$	42.36		$	57.59		$	49.88		$	31.31		$	48.25		$	59.95
Total Returnd		(26.45)	%		15.46	%		59.31	%		(35.13)	%		(19.52)	%		(7.98)	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	756		$	1,619		$	1,329		$	42		$	85		$	130
Ratios to average net assets:
Net investment loss		(0.17	)%		(0.43	)%		(0.31	)%		(0.26	)%		(0.90	)%		(0.94	)%
Total expenses		1.62	%		1.64	%		1.62	%		1.60	%		1.62	%		1.63	%
Portfolio turnover rate		640	%		1,171	%		592	%		408	%		784	%		759	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010e			2009e			2008e			2007e
Per Share Data
Net asset value, beginning of period	$	55.03		$	47.90		$	30.28		$	46.90		$	58.65		$	64.30
Income (loss) from investment operations:
Net investment lossb		(.36	)		(.65	)		(.51	)		(.30	)		(.75	)		(1.00	)
Net gain (loss) on investments (realized and unrealized)		(14.36	)		7.78			18.13			(16.32	)		(11.00	)		(4.65	)
Total from investment operations		(14.72	)		7.13			17.62			(16.62	)		(11.75	)		(5.65	)
Net asset value, end of period	$	40.31		$	55.03		$	47.90		$	30.28		$	46.90		$	58.65
Total Returnd		(26.74)	%		14.86	%		58.19	%		(35.39)	%		(20.03)	%		(8.79)	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	324		$	1,246		$	3,342		$	460		$	962		$	2,876
Ratios to average net assets:
Net investment loss		(1.42	)%		(1.31	)%		(1.21	)%		(0.74	)%		(1.26	)%		(1.72	)%
Total expenses		2.37	%		2.39	%		2.38	%		2.42	%		2.38	%		2.36	%
Portfolio turnover rate		640	%		1,171	%		592	%		408	%		784	%		759	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Per share amounts for the period March 31, 2006 — April 19, 2009 have been restated to reflect 1:5 reverse share split effective April 20, 2009.

40 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

ENERGY FUND

OBJECTIVE: Seeks to provide 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 (“Energy Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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.	7.2	%
Chevron Corp.	5.1	%
ConocoPhillips	3.5	%
Schlumberger Ltd.	3.0	%
Occidental Petroleum Corp.	2.6	%
Anadarko Petroleum Corp.	1.9	%
Apache Corp.	1.7	%
Petroleo Brasileiro S.A. ADR	1.7	%
Devon Energy Corp.	1.6	%
Halliburton Co.	1.6	%
Top Ten Total	29.9	%

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

the RYDEX | SGI series funds semi-annual report | 41

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

ENERGY FUND

	Shares		Value
COMMON STOCKS† - 99.3%
OIL & GAS EXPLORATION & PRODUCTION - 32.8%
Anadarko Petroleum Corp.		16,464	$	1,038,056
Apache Corp.		11,480		921,155
Devon Energy Corp.		15,032		833,374
Chesapeake Energy Corp.		30,297		774,088
EOG Resources, Inc.		10,595		752,351
Range Resources Corp.		11,237		656,915
Marathon Oil Corp.		30,317		654,241
Noble Energy, Inc.		9,102		644,422
Southwestern Energy Co.*		18,433		614,372
Equities Corp.		10,734		572,766
Continental Resources, Inc.*		10,828		523,750
Cabot Oil & Gas Corp.		8,322		515,215
Pioneer Natural Resources Co.		7,500		493,275
Concho Resources, Inc.*		6,853		487,522
Canadian Natural Resources Ltd.		13,620		398,657
SM Energy Co.		6,040		366,326
QEP Resources, Inc.		13,530		366,257
Newfield Exploration Co.*		9,162		363,640
Cimarex Energy Co.		6,466		360,156
Encana Corp.		18,720		359,611
Denbury Resources, Inc.*		29,602		340,423
Nexen, Inc.		21,842		338,333
Ultra Petroleum Corp.*		12,019		333,167
Whiting Petroleum Corp.*		9,442		331,225
Brigham Exploration Co.*		12,973		327,698
CNOOC Ltd. ADR		1,930		309,379
Energen Corp.		7,300		298,497
Plains Exploration & Production Co.		12,630		286,827
Talisman Energy, Inc.		22,952		281,621
Oasis Petroleum, Inc.*		11,708		261,440
EXCO Resources, Inc.		24,305		260,550
Penn West Petroleum Ltd.		17,500		258,475
Bill Barrett Corp.*		6,600		239,184
Berry Petroleum Co. — Class A		6,540		231,385
Rosetta Resources, Inc.*		6,600		225,852
Energy XXI Bermuda Ltd.*		9,740		208,923
Forest Oil Corp.*		14,448		208,051
McMoRan Exploration Co.*		19,480		193,436
Quicksilver Resources, Inc.*		22,819		172,968
Total Oil & Gas Exploration & Production				16,803,583
INTEGRATED OIL & GAS - 28.3%
Exxon Mobil Corp.		50,223		3,647,696
Chevron Corp.		28,348		2,622,757
ConocoPhillips		28,092		1,778,785
Occidental Petroleum Corp.		18,300		1,308,450
Petroleo Brasileiro S.A. ADR		38,270		859,162
Hess Corp.		13,992		734,020
BP plc ADR		18,441		665,167
Murphy Oil Corp.		11,251		496,844
Royal Dutch Shell plc ADR		7,688		472,966
Total S.A. ADR		10,424		457,301
Suncor Energy, Inc.		17,096		434,922
Cenovus Energy, Inc.		11,911		365,787
PetroChina Company Ltd. ADR		2,930		353,036
SandRidge Energy, Inc.		40,759		226,620
Total Integrated Oil & Gas				14,423,513
OIL & GAS EQUIPMENT & SERVICES - 17.0%
Schlumberger Ltd.		25,219		1,506,330
Halliburton Co.		26,905		821,140
National Oilwell Varco, Inc.		15,109		773,882
Baker Hughes, Inc.		15,711		725,220
Cameron International Corp.*		14,325		595,061
FMC Technologies, Inc.*		15,066		566,482
Weatherford International Ltd.*		41,367		505,091
Core Laboratories N.V.		4,259		382,586
Oceaneering International, Inc.		10,300		364,002
Dresser-Rand Group, Inc.*		7,856		318,404
Tidewater, Inc.		6,337		266,471
Dril-Quip, Inc.*		4,913		264,860
Oil States International, Inc.*		5,114		260,405
CARBO Ceramics, Inc.		2,400		246,072
Superior Energy Services, Inc.		9,342		245,134
McDermott International, Inc.		22,054		237,301
Tenaris S.A. ADR		9,290		236,431
Complete Production Services, Inc.*		9,700		182,845
Key Energy Services, Inc.*		18,100		171,769
Total Oil & Gas Equipment & Services				8,669,486
OIL & GAS DRILLING - 6.5%
Transocean Ltd.		13,200		630,168
Noble Corp.		17,599		516,531
Diamond Offshore Drilling, Inc.		9,195		503,334
Ensco plc ADR		11,692		472,708
Rowan Companies, Inc.*		11,939		360,438
Helmerich & Payne, Inc.		8,229		334,097
Nabors Industries Ltd.*		22,392		274,526
Patterson-UTI Energy, Inc.		14,211		246,419
Total Oil & Gas Drilling				3,338,221
OIL & GAS STORAGE & TRANSPORTATION - 5.9%
Spectra Energy Corp.		31,557		774,093
Williams Companies, Inc.		29,335		714,014
El Paso Corp.		40,298		704,409
Southern Union Co.		11,154		452,518
Kinder Morgan, Inc.		13,780		356,764
Total Oil & Gas Storage & Transportation				3,001,798
OIL & GAS REFINING & MARKETING - 5.0%
Valero Energy Corp.		30,668		545,277
Marathon Petroleum Corp.		19,308		522,474
HollyFrontier Corp.		15,448		405,047
Sunoco, Inc.		10,856		336,645
Tesoro Corp.		15,744		306,536
CVR Energy, Inc.*		11,880		251,143
Western Refining, Inc.*		13,940		173,692
Total Oil & Gas Refining & Marketing				2,540,814

42 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

ENERGY FUND

	Shares		Value
COAL & CONSUMABLE FUELS - 3.8%
Peabody Energy Corp.		14,003	$	474,422
Consol Energy, Inc.		13,905		471,797
Cameco Corp. — Class A		17,674		323,788
Arch Coal, Inc.		18,524		270,080
Alpha Natural Resources, Inc.*		14,957		264,589
Patriot Coal Corp.*		13,240		112,010
Total Coal & Consumable Fuels				1,916,686
Total Common Stocks (Cost $32,543,424)				50,694,101

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 1.0%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	504,282		504,282
Total Repurchase Agreement (Cost $504,282)				504,282
Total Investments - 100.3% (Cost $33,047,706)			$	51,198,383
Liabilities, Less Cash & Other Assets — (0.3)%				(166,791	)
Total Net Assets — 100.0%			$	51,031,592

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR	— American Depositary Receipt
plc	— Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 43

ENERGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $32,543,424)	$	50,694,101
Repurchase agreements, at value (cost $504,282)		504,282
Cash		5,435
Receivables:
Securities sold		10,737,938
Fund shares sold		295,145
Dividends		49,044
Foreign taxes reclaim		754
Total assets		62,286,699
Liabilities:
Payable for:
Fund shares redeemed		11,126,921
Management fees		42,614
Distribution and service fees		13,968
Transfer agent and administrative fees		12,533
Portfolio accounting fees		5,013
Miscellaneous		54,058
Total liabilities		11,255,107
Net assets	$	51,031,592
Net assets consist of:
Paid in capital	$	54,540,728
Accumulated net investment loss		(15,157	)
Accumulated net realized loss on investments		(21,644,656	)
Net unrealized appreciation on investments		18,150,677
Net assets	$	51,031,592
Investor Class:
Net assets	$	30,668,426
Capital shares outstanding		1,555,339
Net asset value per share	$	19.72
Advisor Class:
Net assets	$	4,249,966
Capital shares outstanding		230,182
Net asset value per share	$	18.45
A-Class:
Net assets	$	4,541,567
Capital shares outstanding		241,597
Net asset value per share	$	18.80
Maximum offering price per share (Net asset value divided by 95.25)%	$	19.74
C-Class:
Net assets	$	11,571,633
Capital shares outstanding		656,761
Net asset value per share	$	17.62

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $22,628)	$	811,455
Interest		44
Total investment income		811,499
Expenses:
Management fees		440,667
Transfer agent and administrative fees		129,608
Distribution and service fees:
Advisor Class		25,325
A-Class		9,818
C-Class		80,868
Portfolio accounting fees		51,843
Trustees’ fees*		4,501
Miscellaneous		84,026
Total expenses		826,656
Net investment loss		(15,157	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(3,971,643	)
Net realized loss		(3,971,643	)
Net change in unrealized appreciation (depreciation) on:
Investments		(32,357,655	)
Net change in unrealized appreciation (depreciation)		(32,357,655	)
Net realized and unrealized loss		(36,329,298	)
Net decrease in net assets resulting from operations	$	(36,344,455	)

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

44 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ENERGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(15,157	)	$	(201,866	)
Net realized gain (loss) on investments		(3,971,643	)		4,967,964
Net change in unrealized appreciation (depreciation) on investments		(32,357,655	)		24,910,039
Net increase (decrease) in net assets resulting from operations		(36,344,455	)		29,676,137
Distributions to shareholders from:
Net investment income
Investor Class		—			(57,578	)
Advisor Class		—			(8,833	)
A-Class		—			(6,392	)
C-Class		—			(19,609	)
Total distributions to shareholders		—			(92,412	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		185,284,819			288,061,481
Advisor Class		23,415,741			18,472,831
A-Class		8,250,944			18,443,868
C-Class		40,744,599			76,637,847
Distributions reinvested
Investor Class		—			56,100
Advisor Class		—			8,744
A-Class		—			4,737
C-Class		—			18,406
Cost of shares redeemed
Investor Class		(224,069,124	)		(248,929,384	)
Advisor Class		(31,556,290	)		(11,587,850	)
A-Class		(15,751,359	)		(10,355,093	)
C-Class		(43,351,137	)		(75,599,238	)
Net increase (decrease) from capital share transactions		(57,031,807	)		55,232,449
Net increase (decrease) in net assets		(93,376,262	)		84,816,174
Net assets:
Beginning of period		144,407,854			59,591,680
End of period	$	51,031,592		$	144,407,854
Accumulated net investment loss at end of period	$	(15,157	)	$	—
Capital share activity:
Shares sold
Investor Class		7,263,375			11,988,260
Advisor Class		1,081,579			820,658
A-Class		327,579			766,871
C-Class		1,791,202			3,852,683
Shares issued from reinvestment of distributions
Investor Class		—			2,456
Advisor Class		—			407
A-Class		—			217
C-Class		—			894
Shares redeemed
Investor Class		(8,970,639	)		(10,412,527	)
Advisor Class		(1,445,978	)		(555,486	)
A-Class		(624,386	)		(423,733	)
C-Class		(1,909,972	)		(3,814,448	)
Net increase (decrease) in shares		(2,487,240	)		2,226,252

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 45

ENERGY FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	28.70		$	20.91		$	14.01		$	27.29		$	23.19		$	21.68
Income (loss) from investment operations:
Net investment income (loss)b		.03			—	c		.10			.06			(.03	)		(—	)c
Net gain (loss) on investments (realized and unrealized)		(9.01	)		7.82			6.82			(12.61	)		4.86			1.92
Total from investment operations		(8.98	)		7.82			6.92			(12.55	)		4.83			1.92
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—			—			—
Net realized gains		—			—			—			(.73	)		(.73	)		(.41	)
Total distributions		—			(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	19.72		$	28.70		$	20.91		$	14.01		$	27.29		$	23.19
Total Returnd		(31.29)	%		37.43	%		49.37	%		(46.01)	%		20.91	%		8.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	30,668		$	93,648		$	35,228		$	53,627		$	63,325		$	75,204
Ratios to average net assets:
Net investment income (loss)		0.26	%		0.00	% e		0.51	%		0.28	%		(0.10	)%		(0.01	)%
Total expenses		1.37	%		1.39	%		1.38	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		149	%		273	%		228	%		310	%		188	%		283	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.93		$	19.72		$	13.28		$	26.07		$	22.29		$	20.96
Income (loss) from investment operations:
Net investment lossb		(.06	)		(.11	)		(—	)c		(.04	)		(.15	)		(.12	)
Net gain (loss) on investments (realized and unrealized)		(8.42	)		7.35			6.46			(12.02	)		4.66			1.86
Total from investment operations		(8.48	)		7.24			6.46			(12.06	)		4.51			1.74
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—			—			—
Net realized gains		—			—			—			(.73	)		(.73	)		(.41	)
Total distributions		—			(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	18.45		$	26.93		$	19.72		$	13.28		$	26.07		$	22.29
Total Returnd		(31.49)	%		36.75	%		48.62	%		(46.29)	%		20.31	%		8.31	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,250		$	16,015		$	6,489		$	4,679		$	17,713		$	14,613
Ratios to average net assets:
Net investment loss		(0.46	)%		(0.53	)%		(0.02	)%		(0.16	)%		(0.58	)%		(0.54	)%
Total expenses		1.87	%		1.89	%		1.88	%		1.88	%		1.86	%		1.86	%
Portfolio turnover rate		149	%		273	%		228	%		310	%		188	%		283	%

46 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ENERGY FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.40		$	20.01		$	13.44		$	26.30		$	22.44		$	21.04
Income (loss) from investment operations:
Net investment income (loss)b		(.03	)		(.08	)		.06			.02			(.08	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		(8.57	)		7.50			6.53			(12.15	)		4.67			1.87
Total from investment operations		(8.60	)		7.42			6.59			(12.13	)		4.59			1.81
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—			—			—
Net realized gains		—			—			—			(.73	)		(.73	)		(.41	)
Total distributions		—			(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	18.80		$	27.40		$	20.01		$	13.44		$	26.30		$	22.44
Total Returnd		(31.39)	%		37.11	%		49.01	%		(46.15	)%		20.54	%		8.62	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,542		$	14,752		$	3,903		$	4,845		$	6,378		$	3,307
Ratios to average net assets:
Net investment income (loss)		(0.24	)%		(0.38	)%		0.35	%		0.10	%		(0.31	)%		(0.29	)%
Total expenses		1.62	%		1.64	%		1.63	%		1.63	%		1.61	%		1.61	%
Portfolio turnover rate		149	%		273	%		228	%		310	%		188	%		283	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.78		$	18.97		$	12.84		$	25.37		$	21.81		$	20.62
Income (loss) from investment operations:
Net investment lossb		(.11	)		(.20	)		(.08	)		(.14	)		(.27	)		(.21	)
Net gain (loss) on investments (realized and unrealized)		(8.05	)		7.04			6.23			(11.66	)		4.56			1.81
Total from investment operations		(8.16	)		6.84			6.15			(11.80	)		4.29			1.60
Less distributions from:
Net investment income		—			(.03	)		(.02	)		—			—			—
Net realized gains		—			—			—			(.73	)		(.73	)		(.41	)
Total distributions		—			(.03	)		(.02	)		(.73	)		(.73	)		(.41	)
Net asset value, end of period	$	17.62		$	25.78		$	18.97		$	12.84		$	25.37		$	21.81
Total Returnd		(31.65)	%		36.09	%		47.87	%		(46.55)	%		19.74	%		7.77	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	11,572		$	19,993		$	13,972		$	9,865		$	20,989		$	18,624
Ratios to average net assets:
Net investment loss		(0.91	)%		(0.99	)%		(0.48	)%		(0.65	)%		(1.07	)%		(1.00	)%
Total expenses		2.37	%		2.39	%		2.38	%		2.38	%		2.36	%		2.36	%
Portfolio turnover rate		149	%		273	%		228	%		310	%		188	%		283	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Less than 0.01%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 47

FUND PROFILE (Unaudited) September 30, 2011

ENERGY SERVICES FUND

OBJECTIVE: Seeks to provide 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 (“Energy Services Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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.	10.3	%
Halliburton Co.	5.6	%
National Oilwell Varco, Inc.	5.2	%
Baker Hughes, Inc.	4.9	%
Transocean Ltd.	4.2	%
Cameron International Corp.	4.0	%
FMC Technologies, Inc.	3.8	%
Noble Corp.	3.5	%
Weatherford International Ltd.	3.4	%
Diamond Offshore Drilling, Inc.	3.4	%
Top Ten Total	48.3	%

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

48 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
ENERGY SERVICES FUND

	Shares		Value
COMMON STOCKS† - 99.8%
OIL & GAS EQUIPMENT & SERVICES - 71.4%
Schlumberger Ltd.		85,692	$	5,118,383
Halliburton Co.		91,635		2,796,700
National Oilwell Varco, Inc.		51,216		2,623,284
Baker Hughes, Inc.		53,461		2,467,760
Cameron International Corp.*		48,848		2,029,146
FMC Technologies, Inc.*		51,239		1,926,586
Weatherford International Ltd.*		140,617		1,716,934
Core Laboratories N.V.		14,405		1,294,001
Oceaneering International, Inc.		35,093		1,240,187
Dresser-Rand Group, Inc.*		26,611		1,078,544
Tidewater, Inc.		21,524		905,084
Dril-Quip, Inc.*		16,699		900,243
Oil States International, Inc.*		17,403		886,161
CARBO Ceramics, Inc.		8,225		843,309
Superior Energy Services, Inc.		31,571		828,423
McDermott International, Inc.		74,888		805,795
Bristow Group, Inc.		18,585		788,562
RPC, Inc.		47,198		770,271
Helix Energy Solutions Group, Inc.*		55,445		726,330
Lufkin Industries, Inc.		12,861		684,334
Complete Production Services, Inc.*		33,047		622,936
Tenaris S.A. ADR		24,367		620,140
Key Energy Services, Inc.*		61,448		583,142
Hornbeck Offshore Services, Inc.*		21,130		526,348
SEACOR Holdings, Inc.		6,543		524,814
Global Industries Ltd.*		57,370		454,370
Gulfmark Offshore, Inc. — Class A*		11,122		404,173
Exterran Holdings, Inc.*		40,462		393,291
ION Geophysical Corp.*		79,951		378,168
Basic Energy Services, Inc.*		24,072		340,860
Tetra Technologies, Inc.*		42,570		328,640
Newpark Resources, Inc.*		43,637		265,749
Total Oil & Gas Equipment & Services				35,872,668
OIL & GAS DRILLING - 28.4%
Transocean Ltd.		44,212		2,110,682
Noble Corp.		60,016		1,761,470
Diamond Offshore Drilling, Inc.		31,196		1,707,669
Ensco plc ADR		36,207		1,463,849
Rowan Companies, Inc.*		40,669		1,227,797
Helmerich & Payne, Inc.		27,856		1,130,954
Nabors Industries Ltd.*		76,192		934,114
Atwood Oceanics, Inc.*		26,745		918,958
Seadrill Ltd.		32,533		895,633
Patterson-UTI Energy, Inc.		48,416		839,533
Unit Corp.*		14,146		522,270
Parker Drilling Co.		95,206		417,954
Hercules Offshore, Inc.*		114,122		333,236
Total Oil & Gas Drilling				14,264,119
Total Common Stocks (Cost $28,544,002)				50,136,787

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.4%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	186,545		186,545
Total Repurchase Agreement (Cost $186,545)				186,545
Total Investments - 100.2% (Cost $28,730,547)			$	50,323,332
Liabilities, Less Other Assets — (0.2)%				(106,988	)
Total Net Assets — 100.0%			$	50,216,344

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR	— American Depositary Receipt
plc	— Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 49

ENERGY SERVICES FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $28,544,002)	$	50,136,787
Repurchase agreements, at value (cost $186,545)		186,545
Receivables:
Fund shares sold		1,120,125
Dividends		27,848
Total assets		51,471,305
Liabilities:
Payable for:
Fund shares redeemed		603,081
Securities purchased		503,637
Management fees		47,508
Transfer agent and administrative fees		13,973
Distribution and service fees		13,748
Portfolio accounting fees		5,589
Miscellaneous		67,425
Total liabilities		1,254,961
Net assets	$	50,216,344
Net assets consist of:
Paid in capital	$	75,176,262
Accumulated net investment loss		(357,280	)
Accumulated net realized loss on investments		(46,195,423	)
Net unrealized appreciation on investments		21,592,785
Net assets	$	50,216,344
Investor Class:
Net assets	$	29,100,551
Capital shares outstanding		719,278
Net asset value per share	$	40.46
Advisor Class:
Net assets	$	5,556,548
Capital shares outstanding		146,286
Net asset value per share	$	37.98
A-Class:
Net assets	$	6,374,079
Capital shares outstanding		164,709
Net asset value per share	$	38.70
Maximum offering price per share (Net asset value divided by 95.25%)	$	40.63
C-Class:
Net assets	$	9,185,166
Capital shares outstanding		251,660
Net asset value per share	$	36.49

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $3,234)	$	670,583
Interest		56
Total investment income		670,639
Expenses:
Management fees		562,003
Transfer agent and administrative fees		165,294
Distribution and service fees:
Advisor Class		30,469
A-Class		24,370
C-Class		64,959
Portfolio accounting fees		66,117
Registration fees		53,963
Trustees’ fees*		7,348
Miscellaneous		53,396
Total expenses		1,027,919
Net investment loss		(357,280	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		8,264,121
Net realized gain		8,264,121
Net change in unrealized appreciation (depreciation) on:
Investments		(55,871,064	)
Net change in unrealized appreciation (depreciation)		(55,871,064	)
Net realized and unrealized loss		(47,606,943	)
Net decrease in net assets resulting from operations	$	(47,964,223	)

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

50 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ENERGY SERVICES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(357,280	)	$	(644,521	)
Net realized gain on investments		8,264,121			11,780,705
Net change in unrealized appreciation (depreciation) on investments		(55,871,064	)		38,608,948
Net increase (decrease) in net assets resulting from operations		(47,964,223	)		49,745,132
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		143,515,013			325,185,196
Advisor Class		20,498,463			49,966,638
A-Class		14,887,210			20,554,024
C-Class		24,327,314			75,084,065
Cost of shares redeemed
Investor Class		(234,085,952	)		(258,712,201	)
Advisor Class		(27,705,722	)		(42,622,239	)
A-Class		(26,526,468	)		(11,461,422	)
C-Class		(25,394,637	)		(75,092,139	)
Net increase (decrease) from capital share transactions		(110,484,779	)		82,901,922
Net increase (decrease) in net assets		(158,449,002	)		132,647,054
Net assets:
Beginning of period		208,665,346			76,018,292
End of period	$	50,216,344		$	208,665,346
Accumulated net investment loss at end of period	$	(357,280	)	$	—
Capital share activity:
Shares sold
Investor Class		2,488,356			6,666,644
Advisor Class		378,675			1,113,500
A-Class		263,369			435,077
C-Class		473,140			1,773,704
Shares redeemed
Investor Class		(4,183,840	)		(5,404,466	)
Advisor Class		(524,430	)		(985,175	)
A-Class		(512,773	)		(238,789	)
C-Class		(490,370	)		(1,786,808	)
Net increase (decrease) in shares		(2,107,873	)		1,573,687

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 51

ENERGY SERVICES FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	62.66		$	42.83		$	25.07		$	58.04		$	47.47		$	45.05
Income (loss) from investment operations:
Net investment lossb		(.11	)		(.21	)		(.01	)		(.24	)		(.43	)		(.36	)
Net gain (loss) on investments (realized and unrealized)		(22.09	)		20.04			17.77			(32.73	)		11.00			2.78
Total from investment operations		(22.20	)		19.83			17.76			(32.97	)		10.57			2.42
Net asset value, end of period	$	40.46		$	62.66		$	42.83		$	25.07		$	58.04		$	47.47
Total Returnc		(35.43	%)		46.27	%		70.84	%		(56.81	%)		22.27	%		5.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	29,101		$	151,318		$	49,371		$	59,706		$	82,691		$	91,095
Ratios to average net assets:
Net investment loss		(0.37	%)		(0.42	%)		(0.01	%)		(0.48	%)		(0.77	%)		(0.80	%)
Total expenses		1.37	%		1.39	%		1.38	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		61	%		205	%		472	%		207	%		193	%		196	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	58.97		$	40.50		$	23.83		$	55.45		$	45.58		$	43.46
Income (loss) from investment operations:
Net investment lossb		(.21	)		(.42	)		(.26	)		(.43	)		(.69	)		(.58	)
Net gain (loss) on investments (realized and unrealized)		(20.78	)		18.89			16.93			(31.19	)		10.56			2.70
Total from investment operations		(20.99	)		18.47			16.67			(31.62	)		9.87			2.12
Net asset value, end of period	$	37.98		$	58.97		$	40.50		$	23.83		$	55.45		$	45.58
Total Returnc		(35.59	%)		45.61	%		69.95	%		(57.02	%)		21.65	%		4.88	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,557		$	17,222		$	6,631		$	7,058		$	15,929		$	18,237
Ratios to average net assets:
Net investment loss		(0.79	%)		(0.93	%)		(0.70	%)		(0.92	%)		(1.28	%)		(1.35	%)
Total expenses		1.87	%		1.89	%		1.88	%		1.88	%		1.87	%		1.86	%
Portfolio turnover rate		61	%		205	%		472	%		207	%		193	%		196	%

52 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ENERGY SERVICES FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	60.01		$	41.12		$	24.13		$	55.99		$	45.90		$	43.67
Income (loss) from investment operations:
Net investment lossb		(.17	)		(.31	)		(.16	)		(.31	)		(.55	)		(.41	)
Net gain (loss) on investments (realized and unrealized)		(21.14	)		19.20			17.15			(31.55	)		10.64			2.64
Total from investment operations		(21.31	)		18.89			16.99			(31.86	)		10.09			2.23
Net asset value, end of period	$	38.70		$	60.01		$	41.12		$	24.13		$	55.99		$	45.90
Total Returnc		(35.51	)%		45.94	%		70.41	%		(56.90	)%		21.98	%		5.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,374		$	24,849		$	8,957		$	4,920		$	11,450		$	6,151
Ratios to average net assets:
Net investment loss		(0.62	)%		(0.67	)%		(0.43	)%		(0.68	)%		(1.01	)%		(0.97	)%
Total expenses		1.62	%		1.64	%		1.63	%		1.63	%		1.62	%		1.61	%
Portfolio turnover rate		61	%		205	%		472	%		207	%		193	%		196	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	56.81		$	39.22		$	23.19		$	54.22		$	44.79		$	42.92
Income (loss) from investment operations:
Net investment lossb		(.33	)		(.60	)		(.44	)		(.64	)		(.93	)		(.74	)
Net gain (loss) on investments (realized and unrealized)		(19.99	)		18.19			16.47			(30.39	)		10.36			2.61
Total from investment operations		(20.32	)		17.59			16.03			(31.03	)		9.43			1.87
Net asset value, end of period	$	36.49		$	56.81		$	39.22		$	23.19		$	54.22		$	44.79
Total Returnc		(35.77	)%		44.85	%		69.12	%		(57.23	)%		21.05	%		4.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	9,185		$	15,276		$	11,059		$	9,196		$	29,316		$	24,500
Ratios to average net assets:
Net investment loss		(1.31	)%		(1.43	)%		(1.25	)%		(1.41	)%		(1.76	)%		(1.77	)%
Total expenses		2.37	%		2.39	%		2.38	%		2.38	%		2.37	%		2.36	%
Portfolio turnover rate		61	%		205	%		472	%		207	%		193	%		196	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 53

FUND PROFILE (Unaudited) September 30, 2011

FINANCIAL SERVICES FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
Berkshire Hathaway, Inc. — Class B	3.6	%
Wells Fargo & Co.	2.9	%
JPMorgan Chase & Co.	2.8	%
Citigroup, Inc.	2.0	%
American Express Co.	2.0	%
U.S. Bancorp	1.9	%
Bank of America Corp.	1.7	%
Goldman Sachs Group, Inc.	1.8	%
American International Group, Inc.	1.6	%
Simon Property Group, Inc.	1.7	%
Top Ten Total	22.0	%

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

54 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

FINANCIAL SERVICES FUND

	Shares		Value
COMMON STOCKS† - 99.2%
DIVERSIFIED BANKS - 16.0%
Wells Fargo & Co.		7,290	$	175,835
U.S. Bancorp		4,645		109,343
Credicorp Ltd.		679		62,604
Itau Unibanco Holding S.A. ADR		3,852		59,783
Banco Bradesco S.A. ADR		3,794		56,113
HSBC Holdings plc ADR		1,356		51,582
Toronto-Dominion Bank		692		49,097
Bank of Montreal		869		48,534
HDFC Bank Ltd. ADR		1,571		45,795
Royal Bank of Canada		980		44,806
Banco Santander S.A. ADR		5,556		44,670
ICICI Bank Ltd. ADR		1,279		44,407
Banco Santander Brasil S.A. ADR		5,368		39,294
Barclays plc ADR		3,649		35,687
New York Community Bancorp, Inc.		2,814		33,487
Comerica, Inc.		1,223		28,092
Total Diversified Banks				929,129
PROPERTY & CASUALTY INSURANCE - 10.9%
Berkshire Hathaway, Inc. — Class B		3,024		214,825
ACE Ltd.		1,207		73,144
Travelers Companies, Inc.		1,413		68,855
Chubb Corp.		1,147		68,809
Allstate Corp.		2,211		52,379
Progressive Corp.		2,948		52,356
XL Group plc — Class A		2,009		37,769
Cincinnati Financial Corp.		1,260		33,176
WR Berkley Corp.		1,108		32,897
Total Property & Casualty Insurance				634,210
ASSET MANAGEMENT & CUSTODY BANKS - 8.8%
BlackRock, Inc. — Class A		534		79,038
Bank of New York Mellon Corp.		3,704		68,858
Franklin Resources, Inc.		688		65,800
State Street Corp.		1,772		56,988
T. Rowe Price Group, Inc.		1,112		53,120
Ameriprise Financial, Inc.		1,112		43,768
Northern Trust Corp.		1,228		42,955
Invesco Ltd.		2,377		36,867
Affiliated Managers Group, Inc.*		382		29,815
Legg Mason, Inc.		1,148		29,515
Total Asset Management & Custody Banks				506,724
LIFE & HEALTH INSURANCE - 7.2%
MetLife, Inc.		2,651		74,254
Prudential Financial, Inc.		1,484		69,540
Aflac, Inc.		1,709		59,730
Principal Financial Group, Inc.		1,764		39,990
Unum Group		1,828		38,315
China Life Insurance Company Ltd. ADR		1,057		37,534
Manulife Financial Corp.		3,278		37,140
Torchmark Corp.		871		30,363
Lincoln National Corp.		1,790		27,978
Total Life & Health Insurance				414,844
REGIONAL BANKS - 6.8%
PNC Financial Services Group, Inc.		1,578		76,045
BB&T Corp.		2,759		58,850
Fifth Third Bancorp		4,566		46,117
M&T Bank Corp.		646		45,155
SunTrust Banks, Inc.		2,461		44,175
CIT Group, Inc.*		1,179		35,806
KeyCorp		5,780		34,275
Huntington Bancshares, Inc.		6,148		29,510
Regions Financial Corp.		7,753		25,817
Total Regional Banks				395,750
OTHER DIVERSIFIED FINANCIAL SERVICES - 6.5%
JPMorgan Chase & Co.		5,295		159,485
Citigroup, Inc.		4,498		115,239
Bank of America Corp.		16,449		100,668
Total Other Diversified Financial Services				375,392
SPECIALIZED REIT’S - 5.9%
Public Storage		648		72,154
HCP, Inc.		1,735		60,829
Ventas, Inc.		1,219		60,219
Health Care REIT, Inc.		964		45,115
Host Hotels & Resorts, Inc.		3,389		37,076
Plum Creek Timber Company, Inc.		1,051		36,480
Rayonier, Inc.		869		31,971
Total Specialized REIT’s				343,844
CONSUMER FINANCE - 4.6%
American Express Co.		2,536		113,867
Capital One Financial Corp.		1,569		62,179
Discover Financial Services		2,379		54,574
SLM Corp.		3,019		37,587
Total Consumer Finance				268,207
INVESTMENT BANKING & BROKERAGE - 4.4%
Goldman Sachs Group, Inc.		1,056		99,845
Morgan Stanley		4,460		60,210
Charles Schwab Corp.		4,670		52,631
TD Ameritrade Holding Corp.		2,938		43,203
Total Investment Banking & Brokerage				255,889
RETAIL REIT’S - 4.3%
Simon Property Group, Inc.		829		91,173
General Growth Properties, Inc.		4,006		48,473
Federal Realty Investment Trust		447		36,837
Kimco Realty Corp.		2,449		36,808
Macerich Co.		817		34,829
Total Retail REIT’s				248,120
RESIDENTIAL REIT’S - 3.5%
Equity Residential		1,154		59,859
AvalonBay Communities, Inc.		422		48,129

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 55

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

FINANCIAL SERVICES FUND

	Shares		Value
UDR, Inc.		1,453	$	32,169
Camden Property Trust		550		30,393
Essex Property Trust, Inc.		250		30,010
Total Residential REIT’s				200,560
SPECIALIZED FINANCE - 3.2%
CME Group, Inc. — Class A		259		63,818
IntercontinentalExchange, Inc.*		403		47,659
Moody’s Corp.		1,284		39,098
NYSE Euronext		1,456		33,837
Total Specialized Finance				184,412
OFFICE REIT’S - 2.6%
Boston Properties, Inc.		616		54,885
Digital Realty Trust, Inc.		653		36,019
SL Green Realty Corp.		524		30,471
Alexandria Real Estate Equities, Inc.		461		28,301
Total Office REIT’s				149,676
INSURANCE BROKERS - 2.0%
Marsh & McLennan Companies, Inc.		2,236		59,343
Aon Corp.		1,349		56,631
Total Insurance Brokers				115,974
MULTI-LINE INSURANCE - 2.0%
Loews Corp.		1,660		57,354
Hartford Financial Services Group, Inc.		2,231		36,008
Genworth Financial, Inc. — Class A		3,741		21,473
Total Multi-Line Insurance				114,835
DIVERSIFIED CAPITAL MARKETS - 2.0%
Credit Suisse Group AG ADR		1,495		39,229
UBS AG		3,239		37,022
Deutsche Bank AG		1,061		36,721
Total Diversified Capital Markets				112,972
MORTGAGE REIT’S - 1.7%
Annaly Capital Management, Inc.		3,760		62,529
American Capital Agency Corp.		1,284		34,796
Total Mortgage REIT’s				97,325
MULTI-LINE INSURANCE - 1.6%
American International Group, Inc.*		4,280		93,946
DIVERSIFIED REIT’S - 1.0%
Vornado Realty Trust		737		54,995
INDUSTRIAL REIT’S - 0.8%
ProLogis, Inc.		1,886		45,736
FOREST PRODUCTS - 0.7%
Weyerhaeuser Co.		2,628		40,865
REAL ESTATE OPERATING COMPANIES - 0.6%
Brookfield Office Properties, Inc.		2,682		36,931
MULTI-SECTOR HOLDINGS - 0.6%
Leucadia National Corp.		1,405		31,865
THRIFTS & MORTGAGE FINANCE - 0.5%
People’s United Financial, Inc.		2,730		31,122
REINSURANCE - 0.5%
PartnerRe Ltd.		527		27,546
REAL ESTATE SERVICES - 0.5%
CBRE Group, Inc. — Class A*		1,940		26,112
Total Common Stocks (Cost $4,125,323)				5,736,981

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.7%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11
	$	73,598		73,598
Total Repurchase Agreement (Cost $73,598)				73,598
Total Investments - 100.5% (Cost $4,198,921)			$	5,810,579
Liabilities, Less Cash & Other Assets — (0.5)%				(27,110	)
Total Net Assets — 100.0%			$	5,783,469

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR	— American Depositary Receipt
plc	— Public Limited Company
REIT — Real Estate Investment Trust

56 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FINANCIAL SERVICES FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $4,125,323)	$	5,736,981
Repurchase agreements, at value (cost $73,598)		73,598
Cash		712
Receivables:
Securities sold		8,855,505
Fund shares sold		21,488
Dividends		13,296
Foreign taxes reclaim		104
Total assets		14,701,684
Liabilities:
Payable for:
Fund shares redeemed		8,895,567
Management fees		6,082
Transfer agent and administrative fees		1,789
Distribution and service fees		1,645
Portfolio accounting fees		715
Miscellaneous		12,417
Total liabilities		8,918,215
Net assets	$	5,783,469
Net assets consist of:
Paid in capital	$	12,137,756
Undistributed net investment income		22,269
Accumulated net realized loss on investments		(7,988,214	)
Net unrealized appreciation on investments		1,611,658
Net assets	$	5,783,469
Investor Class:
Net assets	$	3,765,168
Capital shares outstanding		62,318
Net asset value per share	$	60.42
Advisor Class:
Net assets	$	633,231
Capital shares outstanding		11,155
Net asset value per share	$	56.77
A-Class:
Net assets	$	641,359
Capital shares outstanding		11,083
Net asset value per share	$	57.87
Maximum offering price per share (Net asset value divided by 95.25%)	$	60.76
C-Class:
Net assets	$	743,711
Capital shares outstanding		13,683
Net asset value per share	$	54.35

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1,069)	$	100,428
Interest		5
Total investment income		100,433
Expenses:
Management fees		44,320
Transfer agent and administrative fees		13,035
Distribution and service fees:
Advisor Class		4,875
A-Class		1,816
C-Class		5,353
Portfolio accounting fees		5,214
Registration fees		5,340
Trustees’ fees*		720
Miscellaneous		3,129
Total expenses		83,802
Net investment income		16,631
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(757,322	)
Net realized loss		(757,322	)
Net change in unrealized appreciation (depreciation) on:
Investments		(2,423,567	)
Net change in unrealized appreciation (depreciation)		(2,423,567	)
Net realized and unrealized loss		(3,180,889	)
Net decrease in net assets resulting from operations	$	(3,164,258	)

* 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 | SGI series funds semi-annual report | 57

FINANCIAL SERVICES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	16,631		$	5,611
Net realized gain (loss) on investments		(757,322	)		4,285,469
Net change in unrealized appreciation (depreciation) on investments		(2,423,567	)		(4,675,933	)
Net decrease in net assets resulting from operations		(3,164,258	)		(384,853	)
Distributions to shareholders from:
Net investment income
Investor Class		—			(64,919	)
Advisor Class		—			(33,103	)
A-Class		—			(15,355	)
C-Class		—			(15,591	)
Total distributions to shareholders		—			(128,968	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		51,329,366			82,605,048
Advisor Class		10,066,728			13,931,559
A-Class		3,557,060			8,082,499
C-Class		9,153,481			35,513,916
Distributions reinvested
Investor Class		—			63,278
Advisor Class		—			32,905
A-Class		—			8,992
C-Class		—			14,303
Cost of shares redeemed
Investor Class		(50,223,089	)		(103,700,539	)
Advisor Class		(12,608,536	)		(13,783,069	)
A-Class		(4,505,850	)		(7,670,882	)
C-Class		(9,235,850	)		(36,169,022	)
Net decrease from capital share transactions		(2,466,690	)		(21,071,012	)
Net decrease in net assets		(5,630,948	)		(21,584,833	)
Net assets:
Beginning of period		11,414,417			32,999,250
End of period	$	5,783,469		$	11,414,417
Undistributed net investment income at end of period	$	22,269		$	5,638
Capital share activity:
Shares sold
Investor Class		681,764			1,092,006
Advisor Class		169,653			199,648
A-Class		49,226			111,610
C-Class		136,265			522,367
Shares issued from reinvestment of distributions
Investor Class		—			876
Advisor Class		—			483
A-Class		—			130
C-Class		—			218
Shares redeemed
Investor Class		(679,620	)		(1,383,149	)
Advisor Class		(206,012	)		(198,704	)
A-Class		(61,023	)		(108,312	)
C-Class		(137,759	)		(535,638	)
Net decrease in shares		(47,506	)		(298,465	)

58 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FINANCIAL SERVICES FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	81.18		$	75.23		$	44.37		$	101.80		$	142.50		$	132.60
Income (loss) from investment operations:
Net investment incomeb		.18			.15			.41			1.60			1.70			1.40
Net gain (loss) on investments (realized and unrealized)		(20.94	)		6.75			31.07			(57.13	)		(40.20	)		9.14
Total from investment operations		(20.76	)		6.90			31.48			(55.53	)		(38.50	)		10.54
Less distributions from:
Net investment income		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	60.42		$	81.18		$	75.23		$	44.37		$	101.80		$	142.50
Total Returnc		(25.57	)%		9.33	%		71.12	%		(54.76	)%		(27.26	)%		7.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,765		$	4,885		$	26,364		$	13,257		$	4,640		$	22,658
Ratios to average net assets:
Net investment income		0.49	%		0.19	%		0.64	%		2.16	%		1.25	%		1.03	%
Total expenses		1.37	%		1.39	%		1.38	%		1.37	%		1.38	%		1.34	%
Portfolio turnover rate		634	%		601	%		447	%		755	%		913	%		534	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	76.47		$	71.29		$	42.28		$	97.80		$	137.60		$	128.80
Income (loss) from investment operations:
Net investment income (loss)b		.04			(.14	)		.12			1.30			.90			.70
Net gain (loss) on investments (realized and unrealized)		(19.74	)		6.27			29.51			(54.92	)		(38.50	)		8.74
Total from investment operations		(19.70	)		6.13			29.63			(53.62	)		(37.60	)		9.44
Less distributions from:
Net investment income		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	56.77		$	76.47		$	71.29		$	42.28		$	97.80		$	137.60
Total Returnc		(25.76	)%		8.76	%		70.26	%		(55.06	)%		(27.58	)%		7.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	633		$	3,634		$	3,285		$	2,710		$	1,957		$	16,786
Ratios to average net assets:
Net investment income (loss)		—	e		(0.20	)%		0.21	%		1.83	%		0.70	%		0.54	%
Total expenses		1.87	%		1.89	%		1.88	%		1.88	%		1.89	%		1.84	%
Portfolio turnover rate		634	%		601	%		447	%		755	%		913	%		534	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 59

FINANCIAL SERVICES FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010d			2009d			2008d			2007d
Per Share Data
Net asset value, beginning of period	$	77.87		$	72.38		$	42.80		$	98.60		$	138.20		$	129.10
Income (loss) from investment operations:
Net investment income (loss)b		.19			(.01	)		.30			1.30			1.60			1.00
Net gain (loss) on investments (realized and unrealized)		(20.19	)		6.45			29.90			(55.20	)		(39.00	)		8.74
Total from investment operations		(20.00	)		6.44			30.20			(53.90	)		(37.40	)		9.74
Less distributions from:
Net investment income		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	57.87		$	77.87		$	72.38		$	42.80		$	98.60		$	138.20
Total Returnc		(25.68	)%		9.06	%		70.74	%		(54.92	)%		(27.32	)%		7.54	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	641		$	1,782		$	1,408		$	2,683		$	1,367		$	1,107
Ratios to average net assets:
Net investment income (loss)		0.52	%		(0.01	)%		0.50	%		1.97	%		1.42	%		0.74	%
Total expenses		1.62	%		1.64	%		1.63	%		1.62	%		1.59	%		1.61	%
Portfolio turnover rate		634	%		601	%		447	%		755	%		913	%		534	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	73.42		$	68.79		$	41.01		$	95.10		$	134.60		$	126.70
Income (loss) from investment operations:
Net investment income (loss)b		(.11	)		(.49	)		(.24	)		.80			.50			.10
Net gain (loss) on investments (realized and unrealized)		(18.96	)		6.07			28.64			(52.99	)		(37.80	)		8.44
Total from investment operations		(19.07	)		5.58			28.40			(52.19	)		(37.30	)		8.54
Less distributions from:
Net investment income		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Total distributions		—			(.95	)		(.62	)		(1.90	)		(2.20	)		(.64	)
Net asset value, end of period	$	54.35		$	73.42		$	68.79		$	41.01		$	95.10		$	134.60
Total Returnc		(25.97	)%		8.28	%		69.44	%		(55.16	)%		(27.98	)%		6.73	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	744		$	1,114		$	1,942		$	1,407		$	2,847		$	5,382
Ratios to average net assets:
Net investment income (loss)		(0.34	)%		(0.72	)%		(0.40	)%		1.13	%		0.45	%		0.06	%
Total expenses		2.39	%		2.39	%		2.38	%		2.38	%		2.37	%		2.34	%
Portfolio turnover rate		634	%		601	%		447	%		755	%		913	%		534	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
d	Per share amounts for the period March 31, 2006 — April 19, 2009 have been restated to reflect a 1:10 reverse share split effective April 20, 2009.
e	Net investment income less than 0.01%.

60 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

HEALTH CARE FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
Johnson & Johnson	4.5	%
Pfizer, Inc.	3.8	%
Merck & Company, Inc.	3.3	%
Abbott Laboratories	3.0	%
Bristol-Myers Squibb Co.	2.6	%
Amgen, Inc.	2.3	%
UnitedHealth Group, Inc.	2.3	%
Eli Lilly & Co.	2.3	%
Medtronic, Inc.	2.1	%
Baxter International, Inc.	1.9	%
Top Ten Total	28.1	%

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

the RYDEX | SGI series funds semi-annual report | 61

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

HEALTH CARE FUND

	Shares		Value
COMMON STOCKS† - 100.1%
PHARMACEUTICALS - 33.6%
Johnson & Johnson		16,496	$	1,050,961
Pfizer, Inc.		51,494		910,414
Merck & Company, Inc.		24,090		787,984
Abbott Laboratories		13,975		714,682
Bristol-Myers Squibb Co.		19,886		624,023
Eli Lilly & Co.		14,462		534,660
Teva Pharmaceutical Industries Ltd. ADR		11,287		420,102
Allergan, Inc.		4,838		398,554
Novartis AG ADR		4,609		257,044
Perrigo Co.		2,570		249,573
Watson Pharmaceuticals, Inc.*		3,415		233,074
Forest Laboratories, Inc.*		7,057		217,285
GlaxoSmithKline plc ADR		4,974		205,376
Valeant Pharmaceuticals International, Inc.		5,266		195,474
Sanofi ADR		5,860		192,208
AstraZeneca plc ADR		4,308		191,103
Mylan, Inc.*		11,016		187,272
Elan Corp. plc ADR*		15,940		167,848
Hospira, Inc.*		4,481		165,797
Warner Chilcott plc — Class A*		8,410		120,263
Endo Pharmaceuticals Holdings, Inc.		4,280		119,797
Total Pharmaceuticals				7,943,494
HEALTH CARE EQUIPMENT - 19.0%
Medtronic, Inc.		13,932		463,099
Baxter International, Inc.		8,017		450,074
Covidien plc		7,980		351,918
Intuitive Surgical, Inc.		881		320,931
Stryker Corp.		6,693		315,441
Becton Dickinson and Co.		3,976		291,520
St. Jude Medical, Inc.		6,873		248,734
Zimmer Holdings, Inc.*		4,428		236,898
Boston Scientific Corp.*		37,815		223,487
Edwards Lifesciences Corp.*		2,820		201,010
CR Bard, Inc.		2,212		193,638
CareFusion Corp.*		7,374		176,607
Kinetic Concepts, Inc.*		2,660		175,267
Varian Medical Systems, Inc.*		3,235		168,738
ResMed, Inc.*		5,848		168,364
IDEXX Laboratories, Inc.*		2,161		149,044
Hologic, Inc.		9,370		142,518
Gen-Probe, Inc.*		2,130		121,943
Sirona Dental Systems, Inc.*		2,550		108,146
Total Health Care Equipment				4,507,377
BIOTECHNOLOGY - 13.7%
Amgen, Inc.		10,488		576,315
Celgene Corp.*		7,145		442,417
Gilead Sciences, Inc.		11,345		440,186
Biogen Idec, Inc.*		3,806		354,529
Alexion Pharmaceuticals, Inc.*		4,962		317,866
Vertex Pharmaceuticals, Inc.*		5,301		236,107
Pharmasset, Inc.*		2,732		225,035
Regeneron Pharmaceuticals, Inc.*		3,161		183,970
BioMarin Pharmaceutical, Inc.		5,111		162,888
United Therapeutics Corp.*		2,610		97,849
Human Genome Sciences, Inc.*		7,311		92,777
Amarin Corporation plc ADR*		8,484		78,053
Dendreon Corp.*		4,864		43,776
Total Biotechnology				3,251,768
MANAGED HEALTH CARE - 8.7%
UnitedHealth Group, Inc.		11,981		552,564
WellPoint, Inc.		5,736		374,446
Aetna, Inc.		7,712		280,331
Humana, Inc.		3,662		266,337
CIGNA Corp.		6,031		252,940
Coventry Health Care, Inc.*		5,246		151,137
Healthspring, Inc.*		3,002		109,453
AMERIGROUP Corp.*		2,080		81,141
Total Managed Health Care				2,068,349
LIFE SCIENCES TOOLS & SERVICES - 7.5%
Thermo Fisher Scientific, Inc.*		6,389		323,539
Agilent Technologies, Inc.*		6,844		213,875
Life Technologies Corp.*		4,912		188,768
Waters Corp.*		2,468		186,309
Mettler-Toledo International, Inc.*		1,110		155,356
Pharmaceutical Product Development, Inc.		5,320		136,511
Illumina, Inc.*		3,255		133,195
QIAGEN N.V.*		9,184		127,015
Covance, Inc.*		2,572		116,897
PerkinElmer, Inc.		5,321		102,216
Bruker Corp.*		7,462		100,961
Total Life Sciences Tools & Services				1,784,642
HEALTH CARE SERVICES - 6.7%
Medco Health Solutions, Inc.		7,002		328,324
Express Scripts, Inc. — Class A*		8,160		302,491
Quest Diagnostics, Inc.		4,124		203,561
Laboratory Corporation of America Holdings*		2,556		202,052
DaVita, Inc.*		2,639		165,386
Catalyst Health Solutions, Inc.*		2,331		134,475
Mednax, Inc.*		2,057		128,850
Omnicare, Inc.		4,849		123,310
Total Health Care Services				1,588,449
HEALTH CARE DISTRIBUTORS - 5.0%
McKesson Corp.		4,366		317,409
Cardinal Health, Inc.		7,219		302,332
AmerisourceBergen Corp. — Class A		6,596		245,833
Henry Schein, Inc.*		2,824		175,116
Patterson Companies, Inc.		4,815		137,853
Total Health Care Distributors				1,178,543

62 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

HEALTH CARE FUND

	Shares		Value
HEALTH CARE TECHNOLOGY - 2.4%
Cerner Corp.*		4,108	$	281,480
Allscripts Healthcare Solutions, Inc.*		7,985		143,890
SXC Health Solutions Corp.*		2,520		140,364
Total Health Care Technology				565,734
HEALTH CARE FACILITIES - 1.9%
HCA Holdings, Inc.*		10,350		208,656
Universal Health Services, Inc. — Class B		4,032		137,088
Tenet Healthcare Corp.*		23,330		96,353
Total Health Care Facilities				442,097
HEALTH CARE SUPPLIES - 1.6%
Cooper Companies, Inc.		1,919		151,889
DENTSPLY International, Inc.		4,793		147,097
Alere, Inc.*		3,860		75,849
Total Health Care Supplies				374,835
Total Common Stocks (Cost $17,621,732)				23,705,288
RIGHTS†† - 0.0%
Sanofi
Expires 12/31/20		7,151		7,580
Total Rights (Cost $13,100)				7,580

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 1.3%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	296,848		296,848
Total Repurchase Agreement (Cost $296,848)				296,848
Total Investments - 101.4% (Cost $17,931,680)			$	24,009,716
Liabilities, Less Other Assets — (1.4)%				(333,632	)
Total Net Assets — 100.0%			$	23,676,084

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt
plc — Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 63

HEALTH CARE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $17,634,832)	$	23,712,868
Repurchase agreements, at value (cost $296,848)		296,848
Receivables:
Fund shares sold		399,134
Dividends		23,633
Foreign taxes reclaim		1,311
Total assets		24,433,794
Liabilities:
Payable for:
Securities purchased		470,680
Fund shares redeemed		233,717
Management fees		19,116
Transfer agent and administrative fees		5,622
Distribution and service fees		4,890
Portfolio accounting fees		2,249
Miscellaneous		21,436
Total liabilities		757,710
Net assets	$	23,676,084
Net assets consist of:
Paid in capital	$	29,030,682
Accumulated net investment loss		(71,201	)
Accumulated net realized loss on investments		(11,361,433	)
Net unrealized appreciation on investments		6,078,036
Net assets	$	23,676,084
Investor Class:
Net assets	$	14,608,359
Capital shares outstanding		942,986
Net asset value per share	$	15.49
Advisor Class:
Net assets	$	3,020,586
Capital shares outstanding		208,820
Net asset value per share	$	14.46
A-Class:
Net assets	$	1,983,931
Capital shares outstanding		134,866
Net asset value per share	$	14.71
Maximum offering price per share (Net asset value divided by 95.25%)	$	15.44
C-Class:
Net assets	$	4,063,208
Capital shares outstanding		291,654
Net asset value per share	$	13.93

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $142)	$	317,940
Interest		15
Total investment income		317,955
Expenses:
Management fees		217,182
Transfer agent and administrative fees		63,877
Distribution and service fees:
Advisor Class		14,610
A-Class		3,295
C-Class		20,742
Portfolio accounting fees		25,551
Trustees’ fees*		1,312
Miscellaneous		42,587
Total expenses		389,156
Net investment loss		(71,201	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(3,522,753	)
Net realized loss		(3,522,753	)
Net change in unrealized appreciation (depreciation) on:
Investments		(1,842,739	)
Net change in unrealized appreciation (depreciation)		(1,842,739	)
Net realized and unrealized loss		(5,365,492	)
Net decrease in net assets resulting from operations	$	(5,436,693	)

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

64 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

HEALTH CARE FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) in Net Assets From Operations:
Net investment loss	$	(71,201	)	$	(58,998	)
Net realized gain (loss) on investments		(3,522,753	)		14,717,139
Net change in unrealized appreciation (depreciation) on investments		(1,842,739	)		(15,485,060	)
Net decrease in net assets resulting from operations		(5,436,693	)		(826,919	)
Distributions to shareholders		—			—
Capital Share Transactions:
Proceeds from sale of shares
Investor Class		217,510,235			199,840,233
Advisor Class		12,396,934			29,192,400
A-Class		5,730,458			2,774,503
C-Class		29,626,831			104,802,117
Cost of shares redeemed
Investor Class		(218,925,451	)		(375,189,188	)
Advisor Class		(10,682,028	)		(30,446,417	)
A-Class		(4,379,383	)		(7,868,260	)
C-Class		(28,954,453	)		(109,133,717	)
Net increase (decrease) from capital share transactions		2,323,143			(186,028,329	)
Net decrease in net assets		(3,113,550	)		(186,855,248	)
Net assets:
Beginning of period		26,789,634			213,644,882
End of period	$	23,676,084		$	26,789,634
Accumulated net investment loss at end of period	$	(71,201	)	$	—
Capital share activity:
Shares sold
Investor Class		12,258,626			12,963,598
Advisor Class		743,648			2,051,470
A-Class		352,211			186,925
C-Class		1,900,183			7,534,727
Shares redeemed
Investor Class		(12,455,052	)		(24,208,012	)
Advisor Class		(673,778	)		(2,143,572	)
A-Class		(288,284	)		(528,117	)
C-Class		(1,858,258	)		(7,868,157	)
Net decrease in shares		(20,704	)		(12,011,138	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 65

HEALTH CARE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	17.14		$	15.80		$	11.20		$	14.28		$	15.28		$	14.54
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		(.02	)		(.01	)		.07			(.02	)		.03
Net gain (loss) on investments (realized and unrealized)		(1.64	)		1.36			4.62			(3.15	)		(.98	)		.71
Total from investment operations		(1.65	)		1.34			4.61			(3.08	)		(1.00	)		.74
Less distributions from:
Net investment income		—			—			(.01	)		—			—			—
Total distributions		—			—			(.01	)		—			—			—
Net asset value, end of period	$	15.49		$	17.14		$	15.80		$	11.20		$	14.28		$	15.28
Total Returnc		(9.63	)%		8.48	%		41.17	%		(21.57	)%		(6.54	)%		5.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	14,608		$	19,534		$	195,616		$	13,920		$	22,062		$	33,878
Ratios to average net assets:
Net investment income (loss)		(0.14	)%		(0.10	)%		(0.04	)%		0.48	%		(0.13	)%		0.23	%
Total expenses		1.37	%		1.38	%		1.37	%		1.36	%		1.37	%		1.35	%
Portfolio turnover rate		357	%		619	%		241	%		745	%		444	%		545	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	16.04		$	14.85		$	10.58		$	13.57		$	14.59		$	13.94
Income (loss) from investment operations:
Net investment income (loss)b		(.05	)		(.05	)		(.04	)		.01			(.09	)		(.05	)
Net gain (loss) on investments (realized and unrealized)		(1.53	)		1.24			4.32			(3.00	)		(.93	)		.70
Total from investment operations		(1.58	)		1.19			4.28			(2.99	)		(1.02	)		.65
Less distributions from:
Net investment income		—			—			(.01	)		—			—			—
Total distributions		—			—			(.01	)		—			—			—
Net asset value, end of period	$	14.46		$	16.04		$	14.85		$	10.58		$	13.57		$	14.59
Total Returnc		(9.85	)%		8.01	%		40.46	%		(22.03	)%		(6.99	)%		4.66	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,021		$	2,229		$	3,432		$	6,353		$	13,099		$	17,327
Ratios to average net assets:
Net investment income (loss)		(0.57	)%		(0.36	)%		(0.33	)%		0.04	%		(0.60	)%		(0.37	)%
Total expenses		1.87	%		1.88	%		1.88	%		1.93	%		1.86	%		1.85	%
Portfolio turnover rate		357	%		619	%		241	%		745	%		444	%		545	%

66 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

HEALTH CARE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	16.30		$	15.05		$	10.69		$	13.68		$	14.67		$	13.98
Income (loss) from investment operations:
Net investment income (loss)b		(.03	)		(.02	)		(.03	)		.02			(.06	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		(1.56	)		1.27			4.40			(3.01	)		(.93	)		.71
Total from investment operations		(1.59	)		1.25			4.37			(2.99	)		(.99	)		.69
Less distributions from:
Net investment income		—			—			(.01	)		—			—			—
Total distributions		—			—			(.01	)		—			—			—
Net asset value, end of period	$	14.71		$	16.30		$	15.05		$	10.69		$	13.68		$	14.67
Total Returnc		(9.75	)%		8.31	%		40.88	%		(21.86	)%		(6.75	)%		4.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,984		$	1,156		$	6,204		$	997		$	730		$	818
Ratios to average net assets:
Net investment income (loss)		(0.36	)%		(0.14	)%		(0.25	)%		0.15	%		(0.36	)%		(0.13	)%
Total expenses		1.62	%		1.63	%		1.62	%		1.63	%		1.61	%		1.60	%
Portfolio turnover rate		357	%		619	%		241	%		745	%		444	%		545	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.50		$	14.39		$	10.30		$	13.28		$	14.35		$	13.79
Income (loss) from investment operations:
Net investment lossb		(.09	)		(.11	)		(.11	)		(.08	)		(.16	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		(1.48	)		1.22			4.21			(2.90	)		(.91	)		.66
Total from investment operations		(1.57	)		1.11			4.10			(2.98	)		(1.07	)		.56
Less distributions from:
Net investment income		—			—			(.01	)		—			—			—
Total distributions		—			—			(.01	)		—			—			—
Net asset value, end of period	$	13.93		$	15.50		$	14.39		$	10.30		$	13.28		$	14.35
Total Returnc		(10.13	)%		7.71	%		39.81	%		(22.44	)%		(7.46	)%		4.06	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	4,063		$	3,870		$	8,393		$	5,101		$	5,677		$	8,720
Ratios to average net assets:
Net investment loss		(1.14	)%		(0.76	)%		(0.91	)%		(0.65	)%		(1.12	)%		(0.73	)%
Total expenses		2.37	%		2.38	%		2.38	%		2.38	%		2.37	%		2.34	%
Portfolio turnover rate		357	%		619	%		241	%		745	%		444	%		545	%

^a   Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.

^b   Net investment income (loss) per share was computed using average shares outstanding throughout the period.

^c   Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 67

FUND PROFILE (Unaudited) September 30, 2011

INTERNET FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
Google, Inc. — Class A	9.5	%
Amazon.com, Inc.	7.6	%
Cisco Systems, Inc.	7.0	%
QUALCOMM, Inc.	6.1	%
eBay, Inc.	4.3	%
Baidu, Inc. ADR	3.8	%
Time Warner, Inc.	3.8	%
Sina Corp.	3.1	%
Priceline.com, Inc.	3.2	%
Broadcom Corp. — Class A	3.1	%
Top Ten Total	51.5	%

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

68 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
INTERNET FUND

	Shares		Value
COMMON STOCKS† - 99.5%
INTERNET SOFTWARE & SERVICES - 45.5%
Google, Inc. — Class A		2,038	$	1,048,307
eBay, Inc.*		16,247		479,124
Baidu, Inc. ADR*		4,007		428,388
Sina Corp.*		4,946		354,183
Yahoo!, Inc.*		24,065		316,695
LinkedIn Corp. — Class A*		2,518		196,605
VeriSign, Inc.		5,880		168,227
IAC/InterActiveCorp.*		4,027		159,268
Equinix, Inc.*		1,754		155,808
Rackspace Hosting, Inc.*		4,449		151,889
Akamai Technologies, Inc.*		6,384		126,914
Sohu.com, Inc.*		2,452		118,186
WebMD Health Corp. — Class A*		2,912		87,797
ValueClick, Inc.*		5,508		85,704
Netease.com ADR*		2,178		83,112
RightNow Technologies, Inc.*		2,494		82,427
AOL, Inc.*		6,025		72,300
Youku.com, Inc. ADR		4,380		71,657
LogMeIn, Inc.		2,072		68,811
VistaPrint N.V.*		2,468		66,710
MercadoLibre, Inc.		1,205		64,769
Qihoo 360 Technology Company Ltd. ADR*		3,898		63,693
Ancestry.com, Inc.*		2,704		63,544
OpenTable, Inc.*		1,378		63,402
Monster Worldwide, Inc.*		7,910		56,794
Renren, Inc. ADR*		11,120		56,712
Earthlink, Inc.		8,127		53,069
Constant Contact, Inc.*		2,900		50,141
j2 Global Communications, Inc.		1,455		39,140
Dice Holdings, Inc.*		4,970		38,865
Digital River, Inc.*		1,777		36,837
LivePerson, Inc.*		3,690		36,716
Travelzoo, Inc.*		1,220		26,828
IntraLinks Holdings, Inc.*		2,652		19,917
Total Internet Software & Services				4,992,539
COMMUNICATIONS EQUIPMENT - 19.6%
Cisco Systems, Inc.		49,292		763,532
QUALCOMM, Inc.		13,682		665,356
Research In Motion Ltd.*		14,980		304,094
Juniper Networks, Inc.*		10,669		184,147
F5 Networks, Inc.*		2,171		154,250
Ciena Corp.*		6,134		68,701
Total Communications Equipment				2,140,080
INTERNET RETAIL - 15.3%
Amazon.com, Inc.*		3,794		820,376
Priceline.com, Inc.		783		351,926
Expedia, Inc.		7,733		199,125
Netflix, Inc.*		1,099		124,363
Shutterfly, Inc.*		1,937		79,766
Blue Nile, Inc.*		1,447		51,050
E-Commerce China Dangdang, Inc. ADR*		7,808		38,572
Total Internet Retail				1,665,178
SYSTEMS SOFTWARE - 7.2%
Symantec Corp.*		16,116		262,691
Red Hat, Inc.*		5,262		222,372
BMC Software, Inc.*		4,600		177,376
Check Point Software Technologies Ltd.*		2,455		129,526
Total Systems Software				791,965
APPLICATION SOFTWARE - 4.0%
Intuit, Inc.		6,287		298,255
TIBCO Software, Inc.*		6,079		136,109
Total Application Software				434,364
MOVIES & ENTERTAINMENT - 3.8%
Time Warner, Inc.		14,048		421,019
SEMICONDUCTORS - 3.1%
Broadcom Corp. — Class A		10,165		338,393
INVESTMENT BANKING & BROKERAGE - 1.0%
E*Trade Financial Corp.*		12,040		109,684
Total Common Stocks (Cost $6,704,575)				10,893,222

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 1.1%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	121,157		121,157
Total Repurchase Agreement (Cost $121,157)				121,157
Total Investments - 100.6% (Cost $6,825,732)			$	11,014,379
Liabilities, Less Other Assets — (0.6)%				(70,920	)
Total Net Assets — 100.0%			$	10,943,459

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 69

INTERNET FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011
Assets:
Investments, at value (cost $6,704,575)	$	10,893,222
Repurchase agreements, at value (cost $121,157)		121,157
Receivables:
Securities sold		778,556
Fund shares sold		34,004
Dividends		97
Total assets		11,827,036
Liabilities:
Payable for:
Fund shares redeemed		841,963
Management fees		8,774
Transfer agent and administrative fees		2,580
Distribution and service fees		1,168
Portfolio accounting fees		1,032
Miscellaneous		28,060
Total liabilities		883,577
Net assets	$	10,943,459
Net assets consist of:
Paid in capital	$	(9,525,411	)
Accumulated net investment loss		(94,580	)
Accumulated net realized gain on investments		16,374,803
Net unrealized appreciation on investments		4,188,647
Net assets	$	10,943,459
Investor Class:
Net assets	$	8,820,450
Capital shares outstanding		217,092
Net asset value per share	$	40.63
Advisor Class:
Net assets	$	783,069
Capital shares outstanding		20,485
Net asset value per share	$	38.22
A-Class:
Net assets	$	770,505
Capital shares outstanding		19,802
Net asset value per share	$	38.91
Maximum offering price per share (Net asset value divided by 95.25%)	$	40.85
C-Class:
Net assets	$	569,435
Capital shares outstanding		15,561
Net asset value per share	$	36.58

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011
Investment Income:
Dividends	$	62,978
Interest		14
Total investment income		62,992
Expenses:
Management fees		91,109
Transfer agent and administrative fees		26,797
Distribution and service fees:
Advisor Class		3,616
A-Class		1,537
C-Class		5,718
Portfolio accounting fees		10,719
Registration fees		28,376
Printing expenses		12,333
Pricing service expense		10,566
Trustees’ fees*		3,607
Miscellaneous		(36,806	)
Total expenses		157,572
Net investment loss		(94,580	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,051,095
Net realized gain		2,051,095
Net change in unrealized appreciation (depreciation) on:
Investments		(7,042,398	)
Net change in unrealized appreciation (depreciation)		(7,042,398	)
Net realized and unrealized loss		(4,991,303	)
Net decrease in net assets resulting from operations	$	(5,085,883	)

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

70 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INTERNET FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(94,580	)	$	(697,413	)
Net realized gain on investments		2,051,095			26,981,612
Net change in unrealized appreciation (depreciation) on investments		(7,042,398	)		1,549,620
Net increase (decrease) in net assets resulting from operations		(5,085,883	)		27,833,819
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		35,035,853			236,370,905
Advisor Class		1,665,167			21,569,818
A-Class		2,506,639			3,274,554
C-Class		11,648,228			51,664,283
Cost of shares redeemed
Investor Class		(42,711,963	)		(264,624,471	)
Advisor Class		(2,680,698	)		(23,765,932	)
A-Class		(2,425,810	)		(5,523,556	)
C-Class		(12,592,158	)		(51,093,192	)
Net decrease from capital share transactions		(9,554,742	)		(32,127,591
Net decrease in net assets		(14,640,625	)		(4,293,772	)
Net assets:
Beginning of period		25,584,084			29,877,856
End of period	$	10,943,459		$	25,584,084
Accumulated net investment loss at end of period	$	(94,580	)	$	—
Capital share activity:
Shares sold
Investor Class		697,117			5,219,504
Advisor Class		35,208			490,716
A-Class		51,911			74,437
C-Class		262,351			1,264,666
Shares redeemed
Investor Class		(873,875	)		(5,350,861	)
Advisor Class		(57,805	)		(546,388	)
A-Class		(54,065	)		(126,995	)
C-Class		(284,202	)		(1,254,939	)
Net decrease in shares		(223,360	)		(229,860	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 71

INTERNET FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	52.28		$	41.74		$	26.58		$	38.55		$	41.11		$	40.22
Income (loss) from investment operations:
Net investment income (loss)b		(.19	)		(.34	)		(.38	)		(.29	)		.46			(.44	)
Net gain (loss) on investments (realized and unrealized)		(11.46	)		10.88			15.54			(11.23	)		(2.87	)		1.33
Total from investment operations		(11.65	)		10.54			15.16			(11.52	)		(2.41	)		.89
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)		—
Total distributions		—			—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	40.63		$	52.28		$	41.74		$	26.58		$	38.55		$	41.11
Total Returnc		(22.28	%)		25.25	%		57.04	%		(29.63	%)		(5.92	%)		2.21	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	8,820		$	20,589		$	21,924		$	61,745		$	4,365		$	5,496
Ratios to average net assets:
Net investment income (loss)		(0.77	%)		(0.69	%)		(1.12	%)		(1.01	%)		1.00	%		(1.09	%)
Total expenses		1.37	%		1.39	%		1.37	%		1.35	%		1.38	%		1.37	%
Portfolio turnover rate		161	%		291	%		443	%		550	%		870	%		864	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	49.31		$	39.57		$	25.32		$	36.95		$	39.61		$	38.94
Income (loss) from investment operations:
Net investment lossb		(.31	)		(.59	)		(.58	)		(.41	)		(.09	)		(.63	)
Net gain (loss) on investments (realized and unrealized)		(10.78	)		10.33			14.83			(10.77	)		(2.42	)		1.30
Total from investment operations		(11.09	)		9.74			14.25			(11.18	)		(2.51	)		.67
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)		—
Total distributions		—			—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	38.22		$	49.31		$	39.57		$	25.32		$	36.95		$	39.61
Total Returnc		(22.49	%)		24.61	%		56.28	%		(29.99	%)		(6.40	%)		1.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	783		$	2,124		$	3,908		$	3,604		$	1,364		$	863
Ratios to average net assets:
Net investment loss		(1.30	%)		(1.32	%)		(1.74	%)		(1.43	%)		(0.21	%)		(1.60	%)
Total expenses		1.87	%		1.89	%		1.88	%		1.87	%		1.88	%		1.87	%
Portfolio turnover rate		161	%		291	%		443	%		550	%		870	%		864	%

72 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INTERNET FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	50.13		$	40.12		$	25.62		$	37.29		$	39.87		$	39.07
Income (loss) from investment operations:
Net investment lossb		(.27	)		(.46	)		(.50	)		(.33	)		(.19	)		(.52	)
Net gain (loss) on investments (realized and unrealized)		(10.95	)		10.47			15.00			(10.89	)		(2.24	)		1.32
Total from investment operations		(11.22	)		10.01			14.50			(11.22	)		(2.43	)		.80
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)		—
Total distributions		—			—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	38.91		$	50.13		$	40.12		$	25.62		$	37.29		$	39.87
Total Returnc		(22.38	%)		24.95	%		56.60	%		(29.82	%)		(6.16	%)		2.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	771		$	1,101		$	2,989		$	91		$	116		$	139
Ratios to average net assets:
Net investment loss		(1.12	%)		(1.01	%)		(1.44	%)		(1.07	%)		(0.44	%)		(1.37	%)
Total expenses		1.62	%		1.64	%		1.63	%		1.62	%		1.63	%		1.61	%
Portfolio turnover rate		161	%		291	%		443	%		550	%		870	%		864	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	47.30		$	38.17		$	24.56		$	36.01		$	38.79		$	38.30
Income (loss) from investment operations:
Net investment lossb		(.42	)		(.83	)		(.66	)		(.59	)		(.38	)		(.78	)
Net gain (loss) on investments (realized and unrealized)		(10.30	)		9.96			14.27			(10.41	)		(2.25	)		1.27
Total from investment operations		(10.72	)		9.13			13.61			(11.00	)		(2.63	)		.49
Less distributions from:
Net investment income		—			—			—			(.45	)		(.15	)		—
Total distributions		—			—			—			(.45	)		(.15	)		—
Net asset value, end of period	$	36.58		$	47.30		$	38.17		$	24.56		$	36.01		$	38.79
Total Returnc		(22.66	%)		23.92	%		55.42	%		(30.28	%)		(6.84	%)		1.28	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	569		$	1,770		$	1,057		$	602		$	1,608		$	1,017
Ratios to average net assets:
Net investment loss		(1.87	%)		(1.92	%)		(2.00	%)		(1.95	%)		(0.89	%)		(2.10	%)
Total expenses		2.37	%		2.39	%		2.38	%		2.38	%		2.37	%		2.36	%
Portfolio turnover rate		161	%		291	%		443	%		550	%		870	%		864	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 73

FUND PROFILE (Unaudited) September 30, 2011

LEISURE FUND

OBJECTIVE: Seeks capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
McDonald’s Corp.	5.6	%
Comcast Corp. — Class A	4.1	%
Walt Disney Co.	3.7	%
News Corp. — Class A	3.7	%
Time Warner, Inc.	3.0	%
Starbucks Corp.	3.0	%
DIRECTV — Class A	2.9	%
Las Vegas Sands Corp.	2.8	%
Carnival Corp.	2.6	%
Yum! Brands, Inc.	2.6	%
Top Ten Total	34.0	%

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

74 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
LEISURE FUND

	Shares		Value
COMMON STOCKS† - 99.4%
RESTAURANTS - 20.6%
McDonald’s Corp.		1,772	$	155,618
Starbucks Corp.		2,213		82,524
Yum! Brands, Inc.		1,469		72,554
Chipotle Mexican Grill, Inc. — Class A*		158		47,866
Darden Restaurants, Inc.		823		35,183
Panera Bread Co. — Class A*		246		25,569
Domino’s Pizza, Inc.*		785		21,391
Wendy’s Co.		4,535		20,816
Brinker International, Inc.		919		19,225
Cheesecake Factory, Inc.*		672		16,565
Buffalo Wild Wings, Inc.*		272		16,266
BJ’s Restaurants, Inc.*		366		16,144
Jack in the Box, Inc.		744		14,820
Cracker Barrel Old Country Store, Inc.		352		14,108
Texas Roadhouse, Inc. — Class A		1,042		13,775
Total Restaurants				572,424
MOVIES & ENTERTAINMENT - 17.4%
Walt Disney Co.		3,529		106,434
News Corp. — Class A		6,681		103,355
Time Warner, Inc.		2,762		82,777
Viacom, Inc. — Class B		1,727		66,904
Liberty Media Corp. — Liberty Capital — Class A*		506		33,457
Cinemark Holdings, Inc.		1,220		23,034
Regal Entertainment Group — Class A		1,858		21,813
DreamWorks Animation SKG, Inc. — Class A*		1,033		18,780
Live Nation Entertainment, Inc.*		2,020		16,180
Imax Corp.*		967		14,002
Total Movies & Entertainment				486,736
CABLE & SATELLITE - 17.0%
Comcast Corp. — Class A		5,301		110,790
DIRECTV — Class A*		1,929		81,500
Time Warner Cable, Inc. — Class A		1,056		66,180
DISH Network Corp. — Class A*		1,912		47,915
Liberty Global, Inc. — Class A*		1,189		43,018
Virgin Media, Inc.		1,699		41,371
Charter Communications, Inc. — Class A*		730		34,193
Cablevision Systems Corp. — Class A		1,670		26,269
AMC Networks, Inc. — Class A*		709		22,653
Total Cable & Satellite				473,889
HOTELS, RESORTS & CRUISE LINES - 9.6%
Carnival Corp.		2,410		73,022
Marriott International, Inc. — Class A		1,595		43,447
Starwood Hotels & Resorts Worldwide, Inc.		949		36,840
Wyndham Worldwide Corp.		1,131		32,245
Ctrip.com International Ltd. ADR*		891		28,655
Royal Caribbean Cruises Ltd.		1,243		26,899
Hyatt Hotels Corp. — Class A*		489		15,340
Gaylord Entertainment Co.		637		12,320
Total Hotels, Resorts & Cruise Lines				268,768
CASINOS & GAMING - 9.5%
Las Vegas Sands Corp.*		2,071		79,403
Wynn Resorts Ltd.		454		52,246
International Game Technology		2,126		30,891
MGM Resorts International*		3,045		28,288
Penn National Gaming, Inc.		711		23,669
Melco Crown Entertainment Ltd. — Class Participation Certificate ADR*		2,578		21,423
Bally Technologies, Inc.*		584		15,756
WMS Industries, Inc.*		716		12,594
Total Casinos & Gaming				264,270
BROADCASTING - 7.0%
Discovery Communications, Inc. — Class A*		1,586		59,666
CBS Corp. — Class B		2,486		50,665
Scripps Networks Interactive, Inc. — Class A		960		35,683
Liberty Media Corp. — Liberty Starz — Class A*		429		27,267
Grupo Televisa SAB ADR		1,265		23,263
Total Broadcasting				196,544
PUBLISHING - 6.3%
McGraw-Hill Companies, Inc.		1,371		56,211
Thomson Reuters Corp.		1,348		36,450
Washington Post Co. — Class B		72		23,542
Gannett Company, Inc.		2,140		20,394
Meredith Corp.		618		13,992
Valassis Communications, Inc.*		653		12,237
New York Times Co. — Class A*		2,103		12,218
Total Publishing				175,044
HOME ENTERTAINMENT SOFTWARE - 4.3%
Activision Blizzard, Inc.		4,994		59,429
Electronic Arts, Inc.*		1,873		38,303
Take-Two Interactive Software, Inc.*		1,221		15,531
RealD, Inc.*		812		7,592
Total Home Entertainment Software				120,855

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 75

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)
LEISURE FUND September 30, 2011

	Shares		Value
LEISURE PRODUCTS - 4.3%
Mattel, Inc.		1,819	$	47,093
Hasbro, Inc.		906		29,545
Polaris Industries, Inc.		561		28,033
Brunswick Corp.		1,093		15,346
Total Leisure Products				120,017
LEISURE FACILITIES - 1.9%
Life Time Fitness, Inc.*		529		19,494
Vail Resorts, Inc.		458		17,308
Six Flags Entertainment Corp.		617		17,103
Total Leisure Facilities				53,905
MOTORCYCLE MANUFACTURERS - 1.5%
Harley-Davidson, Inc.		1,200		41,196
Total Common Stocks (Cost $1,920,941)				2,773,648
WARRANTS†† - 0.0%
Krispy Kreme Doughnuts, Inc. $12.21, 03/02/12		350		102
Total Warrants (Cost $—)				102

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.7%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	19,197		19,197
Total Repurchase Agreement (Cost $19,197)				19,197
Total Investments - 100.1% (Cost $1,940,138)			$	2,792,947
Liabilities, Less Other Assets — (0.1)%				(2,987	)
Total Net Assets — 100.0%			$	2,789,960

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt

76 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

LEISURE FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011
Assets:
Investments, at value (cost $1,920,941)	$	2,773,750
Repurchase agreements, at value (cost $19,197)		19,197
Receivables:
Fund shares sold		565,027
Dividends		1,515
Total assets		3,359,489
Liabilities:
Payable for:
Securities purchased		538,948
Fund shares redeemed		19,599
Management fees		1,783
Distribution and service fees		615
Transfer agent and administrative fees		524
Portfolio accounting fees		210
Miscellaneous		7,850
Total liabilities		569,529
Net assets	$	2,789,960
Net assets consist of:
Paid in capital	$	7,420,446
Accumulated net investment loss		(6,053	)
Accumulated net realized loss on investments		(5,477,242	)
Net unrealized appreciation on investments		852,809
Net assets	$	2,789,960
Investor Class:
Net assets	$	1,538,489
Capital shares outstanding		54,454
Net asset value per share	$	28.25
Advisor Class:
Net assets	$	571,410
Capital shares outstanding		21,711
Net asset value per share	$	26.32
A-Class:
Net assets	$	405,729
Capital shares outstanding		15,175
Net asset value per share	$	26.73
Maximum offering price per share (Net asset value divided by 95.25%)	$	28.07
C-Class:
Net assets	$	274,332
Capital shares outstanding		10,764
Net asset value per share	$	25.48

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $988)	$	56,748
Interest		6
Total investment income		56,754
Expenses:
Management fees		35,125
Transfer agent and administrative fees		10,331
Distribution and service fees:
Advisor Class		2,272
A-Class		863
C-Class		3,175
Portfolio accounting fees		4,133
Trustees’ fees*		362
Miscellaneous		6,546
Total expenses		62,807
Net investment loss		(6,053	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,202,008	)
Net realized loss		(1,202,008	)
Net change in unrealized appreciation (depreciation) on:
Investments		(954,723	)
Net change in unrealized appreciation (depreciation)		(954,723	)
Net realized and unrealized loss		(2,156,731	)
Net decrease in net assets resulting from operations	$	(2,162,784	)

* 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 | SGI series funds semi-annual report | 77

LEISURE FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(6,053	)	$	(28,602	)
Net realized gain (loss) on investments		(1,202,008	)		1,115,448
Net change in unrealized appreciation (depreciation) on investments		(954,723	)		(464,544	)
Net increase (decrease) in net assets resulting from operations		(2,162,784	)		622,302
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		49,212,156			125,035,458
Advisor Class		5,316,967			16,335,922
A-Class		520,736			2,661,993
C-Class		3,422,371			13,154,026
Cost of shares redeemed
Investor Class		(48,048,772	)		(136,617,181	)
Advisor Class		(5,056,841	)		(16,737,008	)
A-Class		(1,197,578	)		(2,179,683	)
C-Class		(3,924,144	)		(13,283,662	)
Net increase (decrease) from capital share transactions		244,895			(11,630,135	)
Net decrease in net assets		(1,917,889	)		(11,007,833	)
Net assets:
Beginning of period		4,707,849			15,715,682
End of period	$	2,789,960		$	4,707,849
Accumulated net investment loss at end of period	$	(6,053	)	$	—
Capital share activity:
Shares sold
Investor Class		1,432,413			4,337,324
Advisor Class		163,008			613,234
A-Class		17,897			96,339
C-Class		112,136			514,174
Shares redeemed
Investor Class		(1,441,858	)		(4,753,299	)
Advisor Class		(159,898	)		(637,678	)
A-Class		(39,163	)		(78,619	)
C-Class		(128,652	)		(523,771	)
Net decrease in shares		(44,117	)		(432,296	)

78 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

LEISURE FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	33.50		$	27.48		$	15.40		$	31.72		$	35.87		$	32.56
Income (loss) from investment operations:
Net investment income (loss)b		.02			(.02	)		.03			.01			.09			(—	)c
Net gain (loss) on investments (realized and unrealized)		(5.27	)		6.04			12.05			(16.33	)		(4.24	)		3.31
Total from investment operations		(5.25	)		6.02			12.08			(16.32	)		(4.15	)		3.31
Net asset value, end of period	$	28.25		$	33.50		$	27.48		$	15.40		$	31.72		$	35.87
Total Returnd		(15.67	)%		21.91	%		78.44	%		(51.45	)%		(11.57	)%		10.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,538		$	2,141		$	13,186		$	4,132		$	3,283		$	9,130
Ratios to average net assets:
Net investment income (loss)		0.11	%		(0.07	)%		0.13	%		0.05	%		0.24	%		(0.01	)%
Total expenses		1.37	%		1.39	%		1.37	%		1.37	%		1.39	%		1.37	%
Portfolio turnover rate		705	%		963	%		943	%		1,529	%		646	%		675	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	31.29		$	25.81		$	14.53		$	30.06		$	34.14		$	31.15
Income (loss) from investment operations:
Net investment lossb		(.14	)		(.16	)		(.11	)		(.03	)		(.07	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		(4.83	)		5.64			11.39			(15.50	)		(4.01	)		3.09
Total from investment operations		(4.97	)		5.48			11.28			(15.53	)		(4.08	)		2.99
Net asset value, end of period	$	26.32		$	31.29		$	25.81		$	14.53		$	30.06		$	34.14
Total Returnd		(15.88	)%		21.23	%		77.63	%		(51.66	)%		(11.95	)%		9.60	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	571		$	582		$	1,111		$	373		$	1,611		$	4,903
Ratios to average net assets:
Net investment loss		(0.88	)%		(0.61	)%		(0.56	)%		(0.11	)%		(0.22	)%		(0.32	)%
Total expenses		1.87	%		1.89	%		1.88	%		1.88	%		1.89	%		1.87	%
Portfolio turnover rate		705	%		963	%		943	%		1,529	%		646	%		675	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 79

LEISURE FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	31.75		$	26.13		$	14.67		$	30.30		$	34.32		$	31.24
Income (loss) from investment operations:
Net investment income (loss)b		(.08	)		(.05	)		.17			(.04	)		(.07	)		(.14	)
Net gain (loss) on investments (realized and unrealized)		(4.94	)		5.67			11.29			(15.59	)		(3.95	)		3.22
Total from investment operations		(5.02	)		5.62			11.46			(15.63	)		(4.02	)		3.08
Net asset value, end of period	$	26.73		$	31.75		$	26.13		$	14.67		$	30.30		$	34.32
Total Returnd		(15.81	)%		21.51	%		78.12	%		(51.58	)%		(11.71	)%		9.86	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	406		$	1,157		$	489		$	25		$	206		$	2,198
Ratios to average net assets:
Net investment income (loss)		(0.48	)%		(0.18	)%		0.74	%		(0.16	)%		(0.20	)%		(0.41	)%
Total expenses		1.62	%		1.63	%		1.63	%		1.63	%		1.67	%		1.60	%
Portfolio turnover rate		705	%		963	%		943	%		1,529	%		646	%		675	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	30.36		$	25.19		$	14.26		$	29.66		$	33.86		$	31.05
Income (loss) from investment operations:
Net investment lossb		(.18	)		(.30	)		(.22	)		(.18	)		(.28	)		(.31	)
Net gain (loss) on investments (realized and unrealized)		(4.70	)		5.47			11.15			(15.22	)		(3.92	)		3.12
Total from investment operations		(4.88	)		5.17			10.93			(15.40	)		(4.20	)		2.81
Net asset value, end of period	$	25.48		$	30.36		$	25.19		$	14.26		$	29.66		$	33.86
Total Returnd		(16.07	)%		20.52	%		76.65	%		(51.92	)%		(12.40	)%		9.05	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	274		$	828		$	929		$	123		$	430		$	3,091
Ratios to average net assets:
Net investment loss		(1.17	)%		(1.13	)%		(1.01	)%		(0.78	)%		(0.81	)%		(0.96	)%
Total expenses		2.37	%		2.38	%		2.38	%		2.38	%		2.40	%		2.36	%
Portfolio turnover rate		705	%		963	%		943	%		1,529	%		646	%		675	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

80 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

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 (“Precious Metals Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
Newmont Mining Corp.	7.8	%
Barrick Gold Corp.	7.6	%
Silver Wheaton Corp.	6.8	%
Freeport-McMoRan Copper & Gold, Inc.	6.7	%
Goldcorp, Inc.	6.1	%
Yamana Gold, Inc.	4.2	%
Agnico-Eagle Mines Ltd.	3.9	%
Kinross Gold Corp.	3.6	%
AngloGold Ashanti Ltd. ADR	3.2	%
Eldorado Gold Corp.	3.2	%
Top Ten Total	53.1	%

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

the RYDEX | SGI series funds semi-annual report | 81

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

PRECIOUS METALS FUND

	Shares		Value
COMMON STOCKS†- 99.5%
GOLD - 64.7%
Newmont Mining Corp.		173,084	$	10,886,984
Barrick Gold Corp.		228,351		10,652,574
Goldcorp, Inc.		187,727		8,567,860
Yamana Gold, Inc.		429,553		5,867,694
Agnico-Eagle Mines Ltd.		91,812		5,464,650
Kinross Gold Corp.		340,699		5,035,531
AngloGold Ashanti Ltd. ADR		109,199		4,516,471
Eldorado Gold Corp.		258,290		4,427,091
Gold Fields Ltd. ADR		281,450		4,311,814
Randgold Resources Ltd. ADR		43,763		4,232,757
IAMGOLD Corp.		209,909		4,152,000
Cia de Minas Buenaventura S.A. ADR		109,684		4,139,474
Royal Gold, Inc.		51,641		3,308,122
Allied Nevada Gold Corp.*		88,356		3,164,028
Harmony Gold Mining Company Ltd. ADR		217,315		2,549,105
New Gold, Inc.*		223,247		2,288,282
AuRico Gold, Inc.*		190,524		1,790,926
US Gold Corp.*		349,651		1,402,100
Novagold Resources, Inc.*		210,873		1,360,131
Jaguar Mining, Inc.*		209,008		982,338
Seabridge Gold, Inc.*		27,800		624,944
Rare Element Resources Ltd.*		80,069		406,750
Golden Star Resources Ltd.*		186,100		346,146
Total Gold				90,477,772
PRECIOUS METALS & MINERALS - 23.2%
Silver Wheaton Corp.		321,119		9,456,955
Coeur d’Alene Mines Corp.*		204,336		4,380,964
Pan American Silver Corp.		138,549		3,708,957
Hecla Mining Co.*		587,777		3,150,485
Endeavour Silver Corp.*		321,783		2,889,611
Silvercorp Metals, Inc.		313,855		2,482,593
Silver Standard Resources, Inc.*		121,289		2,225,653
Stillwater Mining Co.*		229,155		1,947,817
Gold Resource Corp.		79,507		1,323,792
North American Palladium Ltd.*		218,293		556,647
Total Precious Metals & Minerals				32,123,474
DIVERSIFIED METALS & MINING - 11.6%
Freeport-McMoRan Copper & Gold, Inc.		308,996		9,408,928
Southern Copper Corp.		162,333		4,056,702
Titanium Metals Corp.		189,921		2,845,017
Total Diversified Metals & Mining				16,310,647
Total Common Stocks (Cost $73,402,111)				138,911,893

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.0%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	25,555		25,555
Total Repurchase Agreement (Cost $25,555)				25,555
Total Investments - 99.5% (Cost $73,427,666)			$	138,937,448
Cash & Other Assets, Less Liabilities — 0.5%				681,267
Total Net Assets — 100.0%			$	139,618,715

*	on-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
ADR — American Depositary Receipt

82 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

PRECIOUS METALS FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $73,402,111)	$	138,911,893
Repurchase agreements, at value (cost $25,555)		25,555
Cash		26,312
Receivables:
Fund shares sold		2,307,903
Securities sold		1,014,106
Dividends		28,044
Total assets		142,313,813
Liabilities:
Payable for:
Fund shares redeemed		2,371,951
Management fees		101,234
Distribution and service fees		37,131
Transfer agent and administrative fees		33,745
Portfolio accounting fees		13,498
Miscellaneous		137,539
Total liabilities		2,695,098
Net assets	$	139,618,715
Net assets consist of:
Paid in capital	$	94,747,620
Accumulated net investment loss		(1,316,809	)
Accumulated net realized loss on investments		(19,321,801	)
Net unrealized appreciation on investments		65,509,705
Net assets	$	139,618,715
Investor Class:
Net assets	$	79,853,327
Capital shares outstanding		1,162,337
Net asset value per share	$	68.70
Advisor Class:
Net assets	$	24,100,960
Capital shares outstanding		364,940
Net asset value per share	$	66.03
A-Class:
Net assets	$	7,663,783
Capital shares outstanding		114,038
Net asset value per share	$	67.20
Maximum offering price per share (Net asset value divided by 95.25%)	$	70.55
C-Class:
Net assets	$	28,000,645
Capital shares outstanding		451,475
Net asset value per share	$	62.01

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $38,922)	$	1,032,530
Interest		89
Total investment income		1,032,619
Expenses:
Management fees		647,061
Transfer agent and administrative fees		215,687
Distribution and Service fees:
Advisor Class		51,099
A-Class		13,422
C-Class		168,684
Portfolio accounting fees		86,273
Trustees’ fees*		8,773
Miscellaneous		137,966
Total expenses		1,328,965
Net investment loss		(296,346	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		17,708,875
Foreign currency		275
Net realized gain		17,709,150
Net change in unrealized appreciation (depreciation) on:
Investments		(61,743,673	)
Foreign currency		(106	)
Net change in unrealized appreciation (depreciation)		(61,743,779	)
Net realized and unrealized loss		(44,034,629	)
Net decrease in net assets resulting from operations	$	(44,330,975	)

* 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 | SGI series funds semi-annual report | 83

PRECIOUS METALS FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(296,346	)	$	(1,370,442	)
Net realized gain on investments		17,709,150			31,189,959
Net change in unrealized appreciation (depreciation) on investments		(61,743,779	)		31,925,087
Net increase (decrease) in net assets resulting from operations		(44,330,975	)		61,744,604
Distributions to shareholders from:
Net investment income
Investor Class		—			(94,591	)
Advisor Class		—			(11,506	)
A-Class		—			(7,004	)
C-Class		—			(19,112	)
Total distributions to shareholders		—			(132,213	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		243,542,531			824,385,947
Advisor Class		119,979,537			364,066,887
A-Class		7,904,834			29,625,719
C-Class		59,372,997			145,601,909
Distributions reinvested
Investor Class		—			92,212
Advisor Class		—			11,341
A-Class		—			6,500
C-Class		—			17,945
Cost of shares redeemed
Investor Class		(279,934,215	)		(834,585,403	)
Advisor Class		(117,521,917	)		(361,238,854	)
A-Class		(12,498,462	)		(27,278,650	)
C-Class		(63,680,908	)		(139,661,292	)
Net increase (decrease) from capital share transactions		(42,835,603	)		1,044,261
Net increase (decrease) in net assets		(87,166,578	)		62,656,652
Net assets:
Beginning of period		226,785,293			164,128,641
End of period	$	139,618,715		$	226,785,293
Accumulated net investment loss at end of period	$	(1,316,809	)	$	(1,020,463	)
Capital share activity:
Shares sold
Investor Class		2,996,189			11,212,113
Advisor Class		1,521,596			5,207,693
A-Class		100,053			411,950
C-Class		818,435			2,195,554
Shares issued from reinvestment of distributions
Investor Class		—			1,121
Advisor Class		—			143
A-Class		—			81
C-Class		—			240
Shares redeemed
Investor Class		(3,468,520	)		(11,417,831	)
Advisor Class		(1,520,529	)		(5,156,332	)
A-Class		(161,591	)		(375,373	)
C-Class		(870,751	)		(2,107,087	)
Net decrease in shares		(585,118	)		(27,728	)

84 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

PRECIOUS METALS FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	86.74		$	61.73		$	46.36		$	69.89		$	56.21		$	54.50
Income (loss) from investment operations:
Net investment lossb		(.03	)		(.28	)		(.44	)		(.23	)		(.37	)		(.03	)
Net gain (loss) on investments (realized and unrealized)		(18.01	)		25.32			15.96			(23.30	)		14.05			1.74
Total from investment operations		(18.04	)		25.04			15.52			(23.53	)		13.68			1.71
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Net realized gains		—			—			(.08	)		—			—			—
Return of capital		—			—			(.07	)		—			—			—
Total distributions		—			(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	68.70		$	86.74		$	61.73		$	46.36		$	69.89		$	56.21
Total Returnc		(20.80	)%		40.57	%		33.44	%		(33.67	)%		24.34	%		3.14	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	79,853		$	141,798		$	113,546		$	160,759		$	149,805		$	149,876
Ratios to average net assets:
Net investment loss		(0.07	)%		(0.37	)%		(0.76	)%		(0.48	)%		(0.58	)%		(0.05	)%
Total expenses		1.27	%		1.28	%		1.28	%		1.28	%		1.27	%		1.26	%
Portfolio turnover rate		122	%		322	%		383	%		245	%		203	%		259	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	83.59		$	59.79		$	45.12		$	68.36		$	55.24		$	53.83
Income (loss) from investment operations:
Net investment lossb		(.23	)		(.61	)		(.79	)		(.50	)		(.69	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		(17.33	)		24.44			15.61			(22.74	)		13.81			1.68
Total from investment operations		(17.56	)		23.83			14.82			(23.24	)		13.12			1.41
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Net realized gains		—			—			(.08	)		—			—			—
Return of capital		—			—			(.07	)		—			—			—
Total distributions		—			(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	66.03		$	83.59		$	59.79		$	45.12		$	68.36		$	55.24
Total Returnc		(21.01	)%		39.87	%		32.81	%		(34.00	)%		23.75	%		2.62	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	24,101		$	30,418		$	18,677		$	12,056		$	11,817		$	8,387
Ratios to average net assets:
Net investment loss		(0.59	)%		(0.86	)%		(1.35	)%		(1.02	)%		(1.09	)%		(0.51	)%
Total expenses		1.77	%		1.78	%		1.77	%		1.77	%		1.77	%		1.76	%
Portfolio turnover rate		122	%		322	%		383	%		245	%		203	%		259	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 85

PRECIOUS METALS FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	84.97		$	60.63		$	45.64		$	68.96		$	55.59		$	54.03
Income (loss) from investment operations:
Net investment lossb		(.13	)		(.45	)		(.59	)		(.36	)		(.55	)		(.15	)
Net gain (loss) on investments (realized and unrealized)		(17.64	)		24.82			15.73			(22.96	)		13.92			1.71
Total from investment operations		(17.77	)		24.37			15.14			(23.32	)		13.37			1.56
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Net realized gains		—			—			(.08	)		—			—			—
Return of capital		—			—			(.07	)		—			—			—
Total distributions		—			(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	67.20		$	84.97		$	60.63		$	45.64		$	68.96		$	55.59
Total Returnc		(20.91	)%		40.21	%		33.14	%		(33.82	)%		24.05	%		2.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,664		$	14,919		$	8,422		$	8,484		$	10,911		$	4,778
Ratios to average net assets:
Net investment loss		(0.34	)%		(0.63	)%		(1.04	)%		(0.71	)%		(0.84	)%		(0.28	)%
Total expenses		1.52	%		1.53	%		1.52	%		1.53	%		1.52	%		1.51	%
Portfolio turnover rate		122	%		322	%		383	%		245	%		203	%		259	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	78.70		$	56.58		$	42.92		$	65.38		$	53.12		$	52.02
Income (loss) from investment operations:
Net investment lossb		(.40	)		(.94	)		(.97	)		(.68	)		(.97	)		(.51	)
Net gain (loss) on investments (realized and unrealized)		(16.29	)		23.09			14.78			(21.78	)		13.23			1.61
Total from investment operations		(16.69	)		22.15			13.81			(22.46	)		12.26			1.10
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Net realized gains		—			—			(.08	)		—			—			—
Return of capital		—			—			(.07	)		—			—			—
Total distributions		—			(.03	)		(.15	)		—			—			—
Net asset value, end of period	$	62.01		$	78.70		$	56.58		$	42.92		$	65.38		$	53.12
Total Returnc		(21.21	)%		39.18	%		32.14	%		(34.35	)%		23.08	%		2.11	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28,001		$	39,650		$	23,483		$	20,452		$	26,319		$	23,486
Ratios to average net assets:
Net investment loss		(1.08	)%		(1.37	)%		(1.81	)%		(1.43	)%		(1.60	)%		(1.00	)%
Total expenses		2.27	%		2.28	%		2.28	%		2.27	%		2.27	%		2.26	%
Portfolio turnover rate		122	%		322	%		383	%		245	%		203	%		259	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment loss per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

86 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

RETAILING FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations and other companies involved in selling products to consumers (“Retailing Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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.	7.2	%
Amazon.com, Inc.	5.7	%
Home Depot, Inc.	3.9	%
CVS Caremark Corp.	3.6	%
Costco Wholesale Corp.	3.4	%
Target Corp.	3.2	%
Walgreen Co.	2.6	%
TJX Companies, Inc.	2.6	%
Lowe’s Companies, Inc.	2.5	%
Priceline.com, Inc.	2.4	%
Top Ten Total	37.1	%

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

the RYDEX | SGI series funds semi-annual report | 87

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

RETAILING FUND

	Shares		Value
COMMON STOCKS† - 99.6%
APPAREL RETAIL - 18.3%
TJX Companies, Inc.		4,735	$	262,651
Limited Brands, Inc.		5,037		193,975
Ross Stores, Inc.		2,189		172,252
The Gap, Inc.		9,809		159,298
Abercrombie & Fitch Co. — Class A		1,996		122,874
Foot Locker, Inc.		4,593		92,273
Urban Outfitters, Inc.*		4,079		91,043
American Eagle Outfitters, Inc.		6,820		79,930
Guess?, Inc.		2,690		76,638
DSW, Inc. — Class A		1,655		76,428
Ascena Retail Group, Inc.*		2,723		73,712
Buckle, Inc.		1,853		71,266
Chico’s FAS, Inc.		6,076		69,449
Childrens Place Retail Stores, Inc.*		1,334		62,071
Jos A. Bank Clothiers, Inc.*		1,301		60,666
Men’s Wearhouse, Inc.		2,193		57,193
ANN, Inc.*		2,457		56,118
Finish Line, Inc. — Class A		2,793		55,832
Aeropostale, Inc.*		3,775		40,808
Total Apparel Retail				1,874,477
INTERNET RETAIL - 10.7%
Amazon.com, Inc.*		2,633		569,334
Priceline.com, Inc.		548		246,304
Expedia, Inc.		5,361		138,046
Netflix, Inc.*		765		86,567
Shutterfly, Inc.*		1,338		55,099
Total Internet Retail				1,095,350
HYPERMARKETS & SUPER CENTERS - 10.6%
Wal-Mart Stores, Inc.		14,410		747,880
Costco Wholesale Corp.		4,187		343,836
Total Hypermarkets & Super Centers				1,091,716
SPECIALTY STORES - 10.5%
Staples, Inc.		12,340		164,122
Tiffany & Co.		2,263		137,636
PetSmart, Inc.		2,832		120,785
Tractor Supply Co.		1,831		114,529
Dick’s Sporting Goods, Inc.*		3,227		107,975
Ulta Salon Cosmetics & Fragrance, Inc.		1,725		107,347
Sally Beauty Holdings, Inc.*		5,751		95,467
Signet Jewelers Ltd.		2,456		83,013
Cabela’s, Inc.*		2,509		51,409
Hibbett Sports, Inc.*		1,460		49,479
Barnes & Noble, Inc.		3,333		39,429
Total Specialty Stores				1,071,191
DEPARTMENT STORES - 9.0%
Kohl’s Corp.		4,079		200,280
Macy’s, Inc.		6,838		179,976
Nordstrom, Inc.		3,761		171,802
JC Penney Company, Inc.		4,698		125,812
Sears Holdings Corp.*		1,780		102,386
Dillard’s, Inc. — Class A		1,779		77,351
Saks, Inc.*		6,907		60,436
Total Department Stores				918,043
GENERAL MERCHANDISE STORES - 8.6%
Target Corp.		6,644		325,822
Dollar Tree, Inc.*		2,385		179,137
Dollar General Corp.*		3,757		141,864
Family Dollar Stores, Inc.		2,707		137,678
Big Lots, Inc.*		2,688		93,623
Total General Merchandise Stores				878,124
AUTOMOTIVE RETAIL - 7.7%
AutoZone, Inc.*		676		215,773
O’Reilly Automotive, Inc.*		2,633		175,437
Advance Auto Parts, Inc.		2,051		119,163
AutoNation, Inc.*		3,517		115,287
CarMax, Inc.*		4,647		110,831
Group 1 Automotive, Inc.		1,344		47,779
Total Automotive Retail				784,270
HOME IMPROVEMENT RETAIL - 6.4%
Home Depot, Inc.		11,913		391,580
Lowe’s Companies, Inc.		13,485		260,800
Total Home Improvement Retail				652,380
DRUG RETAIL - 6.2%
CVS Caremark Corp.		10,814		363,134
Walgreen Co.		8,125		267,231
Total Drug Retail				630,365
HOMEFURNISHING RETAIL - 4.2%
Bed Bath & Beyond, Inc.*		3,687		211,301
Williams-Sonoma, Inc.		2,992		92,124
Aaron’s, Inc.		3,009		75,977
Pier 1 Imports, Inc.*		5,611		54,876
Total Homefurnishing Retail				434,278
COMPUTER & ELECTRONICS RETAIL - 3.5%
Best Buy Company, Inc.		6,229		145,136
GameStop Corp. — Class A*		4,113		95,010
Rent-A-Center, Inc. — Class A		2,242		61,543
RadioShack Corp.		5,078		59,006
Total Computer & Electronics Retail				360,695
DISTRIBUTORS - 2.4%
Genuine Parts Co.		3,013		153,061
LKQ Corp.*		3,701		89,416
Total Distributors				242,477

88 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

RETAILING FUND

	Shares		Value
CATALOG RETAIL — 1.5%
Liberty Interactive Corp. — Class A*		10,523	$	155,425
Total Common Stocks (Cost $8,230,528)				10,188,791

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.6%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	60,723		60,723
Total Repurchase Agreement (Cost $60,723)				60,723
Total Investments - 100.2% (Cost $8,291,251)			$	10,249,514
Liabilities, Less Other Assets — (0.2)%				(15,806	)
Total Net Assets — 100.0%			$	10,233,708

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 89

RETAILING FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $8,230,528)	$	10,188,791
Repurchase agreements, at value (cost $60,723)		60,723
Receivables:
Securities sold		498,304
Fund shares sold		407,360
Dividends		8,441
Total assets		11,163,619
Liabilities:
Payable for:
Fund shares redeemed		903,301
Management fees		9,463
Transfer agent and administrative fees		2,783
Distribution and service fees		2,749
Portfolio accounting fees		1,113
Miscellaneous		10,502
Total liabilities		929,911
Net assets	$	10,233,708
Net assets consist of:
Paid in capital	$	14,948,708
Accumulated net investment loss		(3,027	)
Accumulated net realized loss on investments		(6,670,236	)
Net unrealized appreciation on investments		1,958,263
Net assets	$	10,233,708
Investor Class:
Net assets	$	7,644,055
Capital shares outstanding		555,929
Net asset value per share	$	13.75
Advisor Class:
Net assets	$	1,218,553
Capital shares outstanding		93,683
Net asset value per share	$	13.01
A-Class:
Net assets	$	296,725
Capital shares outstanding		22,424
Net asset value per share	$	13.23
Maximum offering price per share
(Net asset value divided by 95.25%)	$	13.89
C-Class:
Net assets	$	1,074,375
Capital shares outstanding		86,785
Net asset value per share	$	12.38

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	64,355
Interest		7
Total investment income		64,362
Expenses:
Management fees		44,375
Transfer agent and administrative fees		13,051
Distribution and Service fees:
Advisor Class		3,556
A-Class		446
C-Class		7,928
Portfolio accounting fees		5,220
Trustees’ fees*		418
Miscellaneous		8,437
Total expenses		83,431
Net investment loss		(19,069	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,117,603	)
Net realized loss		(1,117,603	)
Net change in unrealized appreciation (depreciation) on:
Investments		(646,753	)
Net change in unrealized appreciation (depreciation)		(646,753	)
Net realized and unrealized loss		(1,764,356	)
Net decrease in net assets resulting from operations	$	(1,783,425	)

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

90 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

RETAILING FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(19,069	)	$	16,042
Net realized gain (loss) on investments		(1,117,603	)		836,451
Net change in unrealized appreciation (depreciation) on investments		(646,753	)		(384,162	)
Net increase (decrease) in net assets resulting from operations		(1,783,425	)		468,331
Distributions to shareholders from:
Net investment income
Investor Class		—			(35,479	)
Advisor Class		—			(1,353	)
A-Class		—			(9,855	)
C-Class		—			(3,390	)
Total distributions to shareholders		—			(50,077	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		62,783,442			112,945,561
Advisor Class		16,172,467			26,751,400
A-Class		629,865			8,381,272
C-Class		23,628,023			65,235,224
Distributions reinvested
Investor Class		—			34,766
Advisor Class		—			1,339
A-Class		—			821
C-Class		—			1,554
Cost of shares redeemed
Investor Class		(57,698,282	)		(121,601,948	)
Advisor Class		(16,055,331	)		(27,523,161	)
A-Class		(825,772	)		(8,427,176	)
C-Class		(25,198,856	)		(64,150,957	)
Net increase (decrease) from capital share transactions		3,435,556			(8,351,305	)
Net increase (decrease) in net assets		1,652,131			(7,933,051	)
Net assets:
Beginning of period		8,581,577			16,514,628
End of period	$	10,233,708		$	8,581,577
Accumulated/(Undistributed) net investment income/(loss) at end of period	$	(3,027	)	$	16,042
Capital share activity:
Shares sold
Investor Class		4,188,440			8,649,369
Advisor Class		1,157,895			2,198,130
A-Class		44,295			661,053
C-Class		1,776,970			5,633,007
Shares issued from reinvestment of distributions
Investor Class		—			2,489
Advisor Class		—			101
A-Class		—			61
C-Class		—			122
Shares redeemed
Investor Class		(3,890,156	)		(9,340,211	)
Advisor Class		(1,177,990	)		(2,278,060	)
A-Class		(58,442	)		(656,603	)
C-Class		(1,894,027	)		(5,575,994	)
Net increase (decrease) in shares		146,985			(706,536	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 91

RETAILING FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.66		$	12.75		$	8.58		$	11.54		$	14.47		$	13.48
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		.05			.03			(.01	)		(.04	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		(.90	)		1.89			4.14			(2.95	)		(2.89	)		1.05
Total from investment operations		(.91	)		1.94			4.17			(2.96	)		(2.93	)		.99
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Total distributions		—			(.03	)		—			—			—			—
Net asset value, end of period	$	13.75		$	14.66		$	12.75		$	8.58		$	11.54		$	14.47
Total Returnc		(6.21	%)		15.20	%		48.60	%		(25.65	%)		(20.25	%)		7.34	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,644		$	3,776		$	12,060		$	84,894		$	3,152		$	4,033
Ratios to average net assets:
Net investment income (loss)		(0.13	%)		0.34	%		0.28	%		(0.14	%)		(0.27	%)		(0.45	%)
Total expenses		1.37	%		1.39	%		1.38	%		1.32	%		1.37	%		1.36	%
Portfolio turnover rate		577	%		1,062	%		1,049	%		461	%		1,205	%		952	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.91		$	12.14		$	8.20		$	11.10		$	13.97		$	13.07
Income (loss) from investment operations:
Net investment lossb		(.05	)		(.07	)		(.06	)		(.02	)		(.12	)		(.10	)
Net gain (loss) on investments (realized and unrealized)		(.85	)		1.87			4.00			(2.88	)		(2.75	)		1.00
Total from investment operations		(.90	)		1.80			3.94			(2.90	)		(2.87	)		.90
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Total distributions		—			(.03	)		—			—			—			—
Net asset value, end of period	$	13.01		$	13.91		$	12.14		$	8.20		$	11.10		$	13.97
Total Returnc		(6.47	%)		14.81	%		48.05	%		(26.13	%)		(20.54	%)		6.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,219		$	1,583		$	2,350		$	901		$	800		$	2,791
Ratios to average net assets:
Net investment loss		(0.71	%)		(0.58	%)		(0.57	%)		(0.26	%)		(0.89	%)		(0.73	%)
Total expenses		1.87	%		1.89	%		1.87	%		1.88	%		1.87	%		1.86	%
Portfolio turnover rate		577	%		1,062	%		1,049	%		461	%		1,205	%		952	%

92 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

RETAILING FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.14		$	12.31		$	8.30		$	11.18		$	14.04		$	13.10
Income (loss) from investment operations:
Net investment income (loss)b		(.02	)		.18			(.01	)		(.02	)		(.10	)		(.07	)
Net gain (loss) on investments (realized and unrealized)		(.89	)		1.68			4.02			(2.86	)		(2.76	)		1.01
Total from investment operations		(.91	)		1.86			4.01			(2.88	)		(2.86	)		.94
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Total distributions		—			(.03	)		—			—			—			—
Net asset value, end of period	$	13.23		$	14.14		$	12.31		$	8.30		$	11.18		$	14.04
Total Returnc		(6.44	%)		15.09	%		48.31	%		(25.76	%)		(20.37	%)		7.18	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	297		$	517		$	395		$	49		$	101		$	385
Ratios to average net assets:
Net investment income (loss)		(0.27	%)		1.42	%		(0.12	%)		(0.17	%)		(0.73	%)		(0.54	%)
Total expenses		1.62	%		1.64	%		1.62	%		1.63	%		1.63	%		1.57	%
Portfolio turnover rate		577	%		1,062	%		1,049	%		461	%		1,205	%		952	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.27		$	11.65		$	7.92		$	10.76		$	13.62		$	12.80
Income (loss) from investment operations:
Net investment lossb		(.08	)		(.11	)		(.10	)		(.07	)		(.17	)		(.15	)
Net gain (loss) on investments (realized and unrealized)		(.81	)		1.76			3.83			(2.77	)		(2.69	)		.97
Total from investment operations		(.89	)		1.65			3.73			(2.84	)		(2.86	)		.82
Less distributions from:
Net investment income		—			(.03	)		—			—			—			—
Total distributions		—			(.03	)		—			—			—			—
Net asset value, end of period	$	12.38		$	13.27		$	11.65		$	7.92		$	10.76		$	13.62
Total Returnc		(6.71	%)		14.14	%		47.10	%		(26.39	%)		(21.00	%)		6.41	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,074		$	2,705		$	1,709		$	1,008		$	1,291		$	2,650
Ratios to average net assets:
Net investment loss		(1.12	%)		(0.96	%)		(1.08	%)		(0.76	%)		(1.36	%)		(1.17	%)
Total expenses		2.37	%		2.39	%		2.38	%		2.38	%		2.37	%		2.34	%
Portfolio turnover rate		577	%		1,062	%		1,049	%		461	%		1,205	%		952	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 93

FUND PROFILE (Unaudited) September 30, 2011

TECHNOLOGY FUND

OBJECTIVE: Seeks to provide 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 (“Technology Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
Apple, Inc.	5.4	%
International Business Machines Corp.	4.0	%
Microsoft Corp.	3.8	%
Google, Inc. — Class A	3.5	%
Oracle Corp.	3.1	%
Intel Corp.	2.9	%
Cisco Systems, Inc.	2.6	%
QUALCOMM, Inc.	2.3	%
Visa, Inc. — Class A	2.0	%
Mastercard, Inc. — Class A	1.7	%
Top Ten Total	31.3	%

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

94 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
TECHNOLOGY FUND

	Shares		Value
COMMON STOCKS† - 99.4%
SEMICONDUCTORS - 14.9%
Intel Corp.		15,014	$	320,248
Texas Instruments, Inc.		5,856		156,061
Broadcom Corp. — Class A		3,902		129,897
Taiwan Semiconductor Manufacturing Company Ltd. ADR		10,064		115,031
Marvell Technology Group Ltd.*		6,322		91,858
ARM Holdings plc ADR		3,502		89,301
Analog Devices, Inc.		2,710		84,688
Avago Technologies Ltd.		2,502		81,991
Altera Corp.		2,596		81,852
NVIDIA Corp.*		6,274		78,425
Maxim Integrated Products, Inc.		3,282		76,569
Xilinx, Inc.		2,658		72,936
Linear Technology Corp.		2,580		71,337
Microchip Technology, Inc.		2,089		64,989
Micron Technology, Inc.*		11,395		57,431
Atmel Corp.*		5,510		44,466
Trina Solar Ltd. ADR*		5,086		30,923
LDK Solar Company Ltd. ADR*		8,905		27,784
Total Semiconductors				1,675,787
INTERNET SOFTWARE & SERVICES - 13.1%
Google, Inc. — Class A		782		402,246
eBay, Inc.*		6,209		183,104
Baidu, Inc. ADR*		1,529		163,465
Sina Corp.*		1,840		131,762
Yahoo!, Inc.*		9,207		121,164
Sohu.com, Inc.*		1,572		75,770
LinkedIn Corp. — Class A*		970		75,738
VeriSign, Inc.		2,245		64,229
Equinix, Inc.*		680		60,404
Rackspace Hosting, Inc.*		1,700		58,038
Renren, Inc. ADR*		10,250		52,275
Youku.com, Inc. ADR		3,080		50,389
Akamai Technologies, Inc.*		2,445		48,607
Total Internet Software & Services				1,487,191
SYSTEMS SOFTWARE - 12.8%
Microsoft Corp.		17,550		436,821
Oracle Corp.		12,192		350,398
VMware, Inc. — Class A*		2,016		162,046
Symantec Corp.*		6,171		100,587
Check Point Software Technologies Ltd.*		1,890		99,716
CA, Inc.		4,622		89,713
Red Hat, Inc.*		2,027		85,661
BMC Software, Inc.*		1,761		67,904
Rovi Corp.*		1,384		59,484
Total Systems Software				1,452,330
COMMUNICATIONS EQUIPMENT - 12.7%
Cisco Systems, Inc.		18,953		293,583
QUALCOMM, Inc.		5,242		254,918
Motorola Mobility Holdings, Inc.*		3,698		139,710
Motorola Solutions, Inc.		2,733		114,513
Nokia Oyj ADR		19,456		110,121
Research In Motion Ltd.*		4,313		87,554
Juniper Networks, Inc.*		4,055		69,989
Telefonaktiebolaget LM Ericsson ADR		7,315		69,858
F5 Networks, Inc.*		832		59,114
Harris Corp.		1,702		58,157
Alcatel-Lucent ADR*		19,560		55,355
Polycom, Inc.*		2,320		42,618
Acme Packet, Inc.*		1,000		42,590
Riverbed Technology, Inc.		1,960		39,122
Total Communications Equipment				1,437,202
COMPUTER HARDWARE - 12.2%
Apple, Inc.*		1,596		608,363
International Business Machines Corp.		2,598		454,728
Hewlett-Packard Co.		7,599		170,598
Dell, Inc.		10,527		148,957
Total Computer Hardware				1,382,646
DATA PROCESSING & OUTSOURCED SERVICES - 9.1%
Visa, Inc. — Class A		2,808		240,701
Mastercard, Inc. — Class A		637		202,031
Automatic Data Processing, Inc.		3,015		142,157
Paychex, Inc.		3,383		89,210
Western Union Co.		5,624		85,991
Fidelity National Information Services, Inc.		3,144		76,462
Fiserv, Inc.*		1,488		75,546
Alliance Data Systems Corp.*		717		66,466
Computer Sciences Corp.		2,016		54,130
Total Data Processing & Outsourced Services				1,032,694
APPLICATION SOFTWARE - 5.8%
Intuit, Inc.		2,410		114,330
Salesforce.com, Inc.*		931		106,395
Adobe Systems, Inc.*		3,918		94,698
SAP AG ADR		1,758		88,990
Citrix Systems, Inc.*		1,511		82,395
Autodesk, Inc.*		2,378		66,061
Informatica Corp. — Class A		1,320		54,054
TIBCO Software, Inc.*		2,310		51,721
Total Application Software				658,644

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 95

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
TECHNOLOGY FUND

	Shares		Value
IT CONSULTING & OTHER SERVICES - 4.7%
Accenture plc — Class A		3,357	$	176,847
Infosys Ltd. ADR		2,872		146,673
Cognizant Technology Solutions Corp. — Class A*		1,980		124,146
Teradata Corp.*		1,665		89,127
Total IT Consulting & Other Services				536,793
COMPUTER STORAGE & PERIPHERALS - 4.2%
EMC Corp.		8,585		180,199
SanDisk Corp.*		2,363		95,347
NetApp, Inc.*		2,629		89,228
Western Digital Corp.*		2,472		63,580
Seagate Technology plc		4,993		51,328
Total Computer Storage & Peripherals				479,682
SEMICONDUCTOR EQUIPMENT - 2.9%
Applied Materials, Inc.		9,905		102,516
ASML Holding N.V. — Class G ADR		2,779		95,987
KLA-Tencor Corp.		1,938		74,187
Lam Research Corp.*		1,614		61,300
Total Semiconductor Equipment				333,990
HOME ENTERTAINMENT SOFTWARE - 1.7%
Activision Blizzard, Inc.		9,740		115,906
Electronic Arts, Inc.*		3,653		74,704
Total Home Entertainment Software				190,610
ELECTRONIC COMPONENTS - 1.7%
Corning, Inc.		9,400		116,184
Amphenol Corp. — Class A		1,801		73,427
Total Electronic Components				189,611
ELECTRONIC MANUFACTURING SERVICES - 1.4%
TE Connectivity Ltd.		3,387		95,310
Flextronics International Ltd.*		10,731		60,416
Total Electronic Manufacturing Services				155,726
OFFICE ELECTRONICS - 0.7%
Xerox Corp.		11,520		80,294
TECHNOLOGY DISTRIBUTORS - 0.5%
Avnet, Inc.*		2,171		56,620
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.5%
FLIR Systems, Inc.		2,157		54,033
ELECTRICAL COMPONENTS & EQUIPMENT - 0.5%
First Solar, Inc.*		810		51,200
Total Common Stocks (Cost $6,569,997)				11,255,053
Total Investments - 99.4% (Cost $6,569,997)			$	11,255,053
Cash & Other Assets, Less Liabilities — 0.6%				67,643
Total Net Assets — 100.0%			$	11,322,696

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

96 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

TECHNOLOGY FUND
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $6,569,997)	$	11,255,053
Receivables:
Fund shares sold		468,940
Securities sold		271,615
Dividends		4,131
Total assets		11,999,739
Liabilities:
Overdraft due to custodian bank		42,264
Payable for:
Fund shares redeemed		597,605
Management fees		8,627
Distribution and service fees		2,541
Transfer agent and administrative fees		2,538
Portfolio accounting fees		1,015
Miscellaneous		22,453
Total liabilities		677,043
Net assets	$	11,322,696
Net assets consist of:
Paid in capital	$	24,648,505
Undistributed net investment income		3,035
Accumulated net realized loss on investments		(18,013,900	)
Net unrealized appreciation on investments		4,685,056
Net assets	$	11,322,696
Investor Class:
Net assets	$	6,625,319
Capital shares outstanding		589,246
Net asset value per share	$	11.24
Advisor Class:
Net assets	$	1,602,347
Capital shares outstanding		151,628
Net asset value per share	$	10.57
A-Class:
Net assets	$	971,932
Capital shares outstanding		90,876
Net asset value per share	$	10.69
Maximum offering price per share (Net asset value divided by 95.25%)	$	11.22
C-Class:
Net assets	$	2,123,098
Capital shares outstanding		208,601
Net asset value per share	$	10.18

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $5,708)	$	265,432
Interest		18
Total investment income		265,450
Expenses:
Management fees		148,077
Transfer agent and administrative fees		43,552
Distribution and Service fees:
Advisor Class		8,692
A-Class		1,797
C-Class		12,721
Portfolio accounting fees		17,421
Registration fees		13,296
Trustees’ fees*		2,025
Miscellaneous		14,834
Total expenses		262,415
Net investment income		3,035
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		2,074,912
Net realized gain		2,074,912
Net change in unrealized appreciation (depreciation) on:
Investments		(7,552,651	)
Net change in unrealized appreciation (depreciation)		(7,552,651	)
Net realized and unrealized loss		(5,477,739	)
Net decrease in net assets resulting from operations	$	(5,474,704	)

* 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 | SGI series funds semi-annual report | 97

TECHNOLOGY FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	3,035		$	(294,384	)
Net realized gain on investments		2,074,912			6,855,354
Net change in unrealized appreciation (depreciation) on investments		(7,552,651	)		(3,631,811	)
Net increase (decrease) in net assets resulting from operations		(5,474,704	)		2,929,159
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		77,234,017			135,813,468
Advisor Class		2,854,058			28,472,116
A-Class		839,350			4,442,948
C-Class		34,077,082			88,193,972
Cost of shares redeemed
Investor Class		(101,977,668	)		(139,967,215	)
Advisor Class		(7,058,476	)		(40,011,196	)
A-Class		(1,349,573	)		(6,872,533	)
C-Class		(34,137,661	)		(89,700,251	)
Net decrease from capital share transactions		(29,518,871	)		(19,628,691	)
Net decrease in net assets		(34,993,575	)		(16,699,532	)
Net assets:
Beginning of period		46,316,271			63,015,803
End of period	$	11,322,696		$	46,316,271
Undistributed net investment income at end of period	$	3,035		$	—
Capital share activity:
Shares sold
Investor Class		5,639,731			10,630,438
Advisor Class		226,315			2,464,584
A-Class		65,885			365,677
C-Class		2,863,540			7,895,392
Shares redeemed
Investor Class		(7,591,392	)		(11,196,482	)
Advisor Class		(574,644	)		(3,541,746	)
A-Class		(104,970	)		(578,302	)
C-Class		(2,861,266	)		(8,025,633	)
Net decrease in shares		(2,336,801	)		(1,986,072	)

98 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

TECHNOLOGY FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.94		$	12.03		$	7.70		$	11.77		$	12.53		$	12.35
Income (loss) from investment operations:
Net investment income (loss)b		.02			(.06	)		(.05	)		(.03	)		(.10	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		(2.72	)		1.97			4.38			(4.04	)		(.66	)		.29
Total from investment operations		(2.70	)		1.91			4.33			(4.07	)		(.76	)		.18
Net asset value, end of period	$	11.24		$	13.94		$	12.03		$	7.70		$	11.77		$	12.53
Total Returnc		(19.37	%)		15.88	%		56.23	%		(34.58	%)		(6.07	%)		1.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,625		$	35,408		$	37,391		$	11,601		$	9,916		$	14,274
Ratios to average net assets:
Net investment income (loss)		0.24	%		(0.48	%)		(0.52	%)		(0.29	%)		(0.72	%)		(0.91	%)
Total expenses		1.37	%		1.39	%		1.38	%		1.37	%		1.37	%		1.36	%
Portfolio turnover rate		257	%		393	%		335	%		564	%		694	%		684	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.13		$	11.39		$	7.32		$	11.27		$	12.05		$	11.94
Income (loss) from investment operations:
Net investment lossb		(.04	)		(.11	)		(.11	)		(.05	)		(.15	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		(2.52	)		1.85			4.18			(3.90	)		(.63	)		.27
Total from investment operations		(2.56	)		1.74			4.07			(3.95	)		(.78	)		.11
Net asset value, end of period	$	10.57		$	13.13		$	11.39		$	7.32		$	11.27		$	12.05
Total Returnc		(19.50	%)		15.28	%		55.60	%		(35.05	%)		(6.47	%)		0.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,602		$	6,565		$	17,969		$	1,914		$	2,077		$	4,807
Ratios to average net assets:
Net investment loss		(0.58	%)		(0.94	%)		(1.04	%)		(0.53	%)		(1.16	%)		(1.41	%)
Total expenses		1.87	%		1.88	%		1.87	%		1.87	%		1.88	%		1.86	%
Portfolio turnover rate		257	%		393	%		335	%		564	%		694	%		684	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 99

TECHNOLOGY FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.28		$	11.49		$	7.37		$	11.32		$	12.09		$	11.95
Income (loss) from investment operations:
Net investment lossb		(.03	)		(.09	)		(.08	)		(.04	)		(.11	)		(.14	)
Net gain (loss) on investments (realized and unrealized)		(2.56	)		1.88			4.20			(3.91	)		(.66	)		.28
Total from investment operations		(2.59	)		1.79			4.12			(3.95	)		(.77	)		.14
Net asset value, end of period	$	10.69		$	13.28		$	11.49		$	7.37		$	11.32		$	12.09
Total Returnc		(19.50	%)		15.58	%		55.90	%		(34.89	%)		(6.37	%)		1.17	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	972		$	1,725		$	3,936		$	1,669		$	546		$	278
Ratios to average net assets:
Net investment loss		(0.48	%)		(0.73	%)		(0.78	%)		(0.41	%)		(0.86	%)		(1.18	%)
Total expenses		1.62	%		1.64	%		1.63	%		1.63	%		1.60	%		1.61	%
Portfolio turnover rate		257	%		393	%		335	%		564	%		694	%		684	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	12.69		$	11.05		$	7.14		$	11.04		$	11.87		$	11.81
Income (loss) from investment operations:
Net investment lossb		(.08	)		(.17	)		(.14	)		(.12	)		(.21	)		(.22	)
Net gain (loss) on investments (realized and unrealized)		(2.43	)		1.81			4.05			(3.78	)		(.62	)		.28
Total from investment operations		(2.51	)		1.64			3.91			(3.90	)		(.83	)		.06
Net asset value, end of period	$	10.18		$	12.69		$	11.05		$	7.14		$	11.04		$	11.87
Total Returnc		(19.78	%)		14.84	%		54.76	%		(35.33	%)		(6.99	%)		0.51	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,123		$	2,618		$	3,719		$	1,335		$	2,448		$	1,538
Ratios to average net assets:
Net investment loss		(1.26	%)		(1.53	%)		(1.49	%)		(1.24	%)		(1.67	%)		(1.91	%)
Total expenses		2.37	%		2.39	%		2.38	%		2.38	%		2.35	%		2.35	%
Portfolio turnover rate		257	%		393	%		335	%		564	%		694	%		684	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

100 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited)	September 30, 2011
TELECOMMUNICATIONS FUND

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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)
AT&T, Inc.	8.6	%
Vodafone Group plc ADR	7.6	%
Verizon Communications, Inc.	6.9	%
Cisco Systems, Inc.	6.3	%
QUALCOMM, Inc.	5.6	%
American Tower Corp. — Class A	3.1	%
Motorola Mobility Holdings, Inc.	3.0	%
CenturyLink, Inc.	2.8	%
Motorola Solutions, Inc.	2.5	%
Crown Castle International Corp.	2.3	%
Top Ten Total	48.7	%

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

the RYDEX | SGI series funds semi-annual report | 101

SCHEDULE OF INVESTMENTS(Unaudited)	September 30, 2011
TELECOMMUNICATIONS FUND

	Shares		Value
COMMON STOCKS† - 99.5%
COMMUNICATIONS EQUIPMENT - 41.0%
Cisco Systems, Inc.		17,054	$	264,166
QUALCOMM, Inc.		4,716		229,339
Motorola Mobility Holdings, Inc.*		3,325		125,619
Motorola Solutions, Inc.		2,454		102,823
Nokia Oyj ADR		13,940		78,900
Research In Motion Ltd.*		3,877		78,703
Juniper Networks, Inc.*		3,649		62,982
F5 Networks, Inc.*		744		52,861
Harris Corp.		1,536		52,485
InterDigital, Inc.		895		41,689
Telefonaktiebolaget LM Ericsson ADR		4,245		40,540
Polycom, Inc.*		2,089		38,375
Acme Packet, Inc.*		899		38,288
Alcatel-Lucent ADR*		12,954		36,660
Finisar Corp.*		2,017		35,378
Riverbed Technology, Inc.		1,759		35,110
Aruba Networks, Inc.*		1,650		34,502
JDS Uniphase Corp.*		3,405		33,948
Brocade Communications Systems, Inc.*		7,638		32,996
ADTRAN, Inc.		1,118		29,582
Arris Group, Inc.*		2,764		28,469
Plantronics, Inc.		1,000		28,450
Infinera Corp.*		3,250		25,090
Ciena Corp.*		2,121		23,755
Comtech Telecommunications Corp.		845		23,736
Netgear, Inc.*		806		20,867
Blue Coat Systems, Inc.*		1,247		17,308
Emulex Corp.*		2,670		17,088
Viasat, Inc.*		483		16,089
Tekelec*		2,471		14,925
DG FastChannel, Inc.*		823		13,950
Harmonic, Inc.*		2,805		11,949
Calix, Inc.*		1,047		8,167
Total Communications Equipment				1,694,789
INTEGRATED TELECOMMUNICATION SERVICES - 29.2%
AT&T, Inc.		12,336		351,822
Verizon Communications, Inc.		7,772		286,009
CenturyLink, Inc.		3,468		114,860
Windstream Corp.		5,582		65,086
Frontier Communications Corp.		9,897		60,471
China Unicom Hong Kong Ltd. ADR		2,833		57,793
BCE, Inc.		1,341		50,234
Telefonica S.A. ADR		2,596		49,636
Chunghwa Telecom Company Ltd. ADR		1,413		46,629
Telefonos de Mexico SAB de CV ADR		3,084		46,106
KT Corp. ADR		2,743		40,542
Tele Norte Leste Participacoes S.A. ADR		3,563		33,955
Total Integrated Telecommunication Services				1,203,143
WIRELESS TELECOMMUNICATION SERVICES - 27.1%
Vodafone Group plc ADR		12,409		318,290
American Tower Corp. — Class A*		2,432		130,842
Crown Castle International Corp.*		2,340		95,168
America Movil SAB de CV ADR		3,840		84,787
China Mobile Ltd. ADR		1,493		72,724
Sprint Nextel Corp.*		21,112		64,180
SBA Communications Corp. — Class A*		1,515		52,237
SK Telecom Company Ltd. ADR		3,575		50,300
NII Holdings, Inc.*		1,789		48,214
Tim Participacoes S.A. ADR		1,922		45,282
Mobile Telesystems OJSC ADR		3,442		42,337
VimpelCom Ltd. ADR		4,200		40,026
MetroPCS Communications, Inc.*		4,036		35,154
Telephone & Data Systems, Inc.		1,214		25,798
Leap Wireless International, Inc.*		2,014		13,897
Total Wireless Telecommunication Services				1,119,236
ALTERNATIVE CARRIERS - 2.2%
tw telecom, Inc. — Class A*		2,269		37,485
AboveNet, Inc.		564		30,230
Global Crossing Ltd.*		1,008		24,101
Total Alternative Carriers				91,816
Total Common Stocks (Cost $3,153,781)				4,108,984
Total Investments - 99.5% (Cost $3,153,781)			$	4,108,984
Cash & Other Assets, Less Liabilities — 0.5%				19,747
Total Net Assets — 100.0%			$	4,128,731

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

102 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

TELECOMMUNICATIONS FUND

STATEMENT OF ASSETS AND LIABILITIES(Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $3,153,781)	$	4,108,984
Receivables:
Fund shares sold		829,183
Dividends		3,272
Total assets		4,941,439
Liabilities:
Overdraft due to custodian bank		19,082
Payable for:
Securities purchased		782,357
Management fees		2,860
Distribution and service fees		933
Transfer agent and administrative fees		841
Portfolio accounting fees		336
Miscellaneous		6,299
Total liabilities		812,708
Net Assets	$	4,128,731
Net assets consist of:
Paid in capital	$	7,893,978
Undistributed net investment income		222,095
Accumulated net realized loss on investments		(4,942,545	)
Net unrealized appreciation on investments		955,203
Net assets	$	4,128,731
Investor Class:
Net assets	$	2,037,761
Capital shares outstanding		165,391
Net asset value per share	$	12.32
Advisor Class:
Net assets	$	193,662
Capital shares outstanding		16,793
Net asset value per share	$	11.53
A-Class:
Net assets	$	536,204
Capital shares outstanding		45,891
Net asset value per share	$	11.68
Maximum offering price per share (Net asset value divided by 95.25%)	$	12.26
C-Class:
Net assets	$	1,361,104
Capital shares outstanding		122,969
Net asset value per share	$	11.07

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $4,704)	$	217,042
Interest		3
Total investment income		217,045
Expenses:
Management fees		41,388
Transfer agent and administrative fees		12,173
Distribution and Service fees:
Advisor Class		1,145
A-Class		873
C-Class		6,876
Portfolio accounting fees		4,869
Registration fees		4,270
Trustees’ fees*		742
Miscellaneous		3,585
Total expenses		75,921
Net investment income		141,124
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		306,772
Net realized gain		306,772
Net change in unrealized appreciation (depreciation) on:
Investments		(2,590,031	)
Net change in unrealized appreciation (depreciation)		(2,590,031	)
Net realized and unrealized loss		(2,283,259	)
Net decrease in net assets resulting from operations	$	(2,142,135	)

* 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 | SGI series funds semi-annual report | 103

TELECOMMUNICATIONS FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	141,124		$	80,971
Net realized gain on investments		306,772			588,234
Net change in unrealized appreciation (depreciation) on investments		(2,590,031	)		1,503,267
Net increase (decrease) in net assets resulting from operations		(2,142,135	)		2,172,472
Distributions to shareholders from:
Net investment income
Investor Class		—			(67,481	)
Advisor Class		—			(5,275	)
A-Class		—			(4,577	)
C-Class		—			(18,522	)
Total distributions to shareholders		—			(95,855	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		25,388,208			134,026,357
Advisor Class		1,824,297			14,787,230
A-Class		1,403,275			3,138,157
C-Class		39,915,879			101,895,836
Distributions reinvested
Investor Class		—			66,267
Advisor Class		—			4,612
A-Class		—			4,413
C-Class		—			16,598
Cost of shares redeemed
Investor Class		(69,978,589	)		(92,550,806	)
Advisor Class		(2,193,723	)		(14,584,997	)
A-Class		(1,389,862	)		(3,561,229	)
C-Class		(41,077,437	)		(100,130,077	)
Net increase (decrease) from capital share transactions		(46,107,952	)		43,112,361
Net increase (decrease) in net assets		(48,250,087	)		45,188,978
Net assets:
Beginning of period		52,378,818			7,189,840
End of period	$	4,128,731		$	52,378,818
Undistributed net investment income at end of period	$	222,095		$	80,971
Capital share activity:
Shares sold
Investor Class		1,692,891			9,014,851
Advisor Class		123,755			1,144,045
A-Class		110,918			239,651
C-Class		2,993,416			7,870,456
Shares issued from reinvestment of distributions
Investor Class		—			4,511
Advisor Class		—			334
A-Class		—			316
C-Class		—			1,246
Shares redeemed
Investor Class		(4,588,738	)		(6,298,891	)
Advisor Class		(154,124	)		(1,118,811	)
A-Class		(111,915	)		(276,676	)
C-Class		(3,074,523	)		(7,758,916	)
Net increase (decrease) in shares		(3,008,320	)		2,822,116

104 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

TELECOMMUNICATIONS FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	15.71		$	13.73		$	10.29		$	17.04		$	19.02		$	17.74
Income (loss) from investment operations:
Net investment incomeb		.28			.10			.26			.27			.12			.16
Net gain (loss) on investments (realized and unrealized)		(3.67	)		1.96			3.52			(6.68	)		(2.08	)		1.23
Total from investment operations		(3.39	)		2.06			3.78			(6.41	)		(1.96	)		1.39
Less distributions from:
Net investment income		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	12.32		$	15.71		$	13.73		$	10.29		$	17.04		$	19.02
Total Returnc		(21.58	%)		15.06	%		36.88	%		(37.55	%)		(10.32	%)		7.87	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,038		$	48,089		$	4,677		$	4,440		$	11,134		$	16,699
Ratios to average net assets:
Net investment income		3.66	%		0.73	%		2.03	%		1.92	%		0.58	%		0.89	%
Total expenses		1.38	%		1.39	%		1.39	%		1.39	%		1.37	%		1.37	%
Portfolio turnover rate		353	%		1,008	%		867	%		672	%		528	%		430	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.74		$	12.94		$	9.75		$	16.26		$	18.24		$	17.10
Income (loss) from investment operations:
Net investment income (loss)b		.20			.03			.23			.17			(.02	)		.04
Net gain (loss) on investments (realized and unrealized)		(3.41	)		1.85			3.30			(6.34	)		(1.94	)		1.21
Total from investment operations		(3.21	)		1.88			3.53			(6.17	)		(1.96	)		1.25
Less distributions from:
Net investment income		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	11.53		$	14.74		$	12.94		$	9.75		$	16.26		$	18.24
Total Returnc		(21.78	%)		14.59	%		36.35	%		(37.88	%)		(10.76	%)		7.35	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	194		$	695		$	279		$	9,991		$	835		$	6,584
Ratios to average net assets:
Net investment income (loss)		2.77	%		0.25	%		1.94	%		1.53	%		(0.09	%)		0.22	%
Total expenses		1.87	%		1.88	%		1.89	%		1.81	%		1.88	%		1.83	%
Portfolio turnover rate		353	%		1,008	%		867	%		672	%		528	%		430	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 105

TELECOMMUNICATIONS FUND

FINANCIAL HIGHLIGHTS(concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.91		$	13.07		$	9.83		$	16.33		$	18.28		$	17.15
Income (loss) from investment operations:
Net investment incomeb		.07			.14			.17			.27			.03			.05
Net gain (loss) on investments (realized and unrealized)		(3.30	)		1.78			3.41			(6.43	)		(1.96	)		1.19
Total from investment operations		(3.23	)		1.92			3.58			(6.16	)		(1.93	)		1.24
Less distributions from:
Net investment income		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	11.68		$	14.91		$	13.07		$	9.83		$	16.33		$	18.28
Total Returnc		(21.66	%)		14.75	%		36.57	%		(37.66	%)		(10.57	%)		7.27	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	536		$	699		$	1,093		$	1,317		$	451		$	2,126
Ratios to average net assets:
Net investment income		1.02	%		1.01	%		1.45	%		2.15	%		0.13	%		0.28	%
Total expenses		1.62	%		1.64	%		1.63	%		1.63	%		1.61	%		1.49	%
Portfolio turnover rate		353	%		1,008	%		867	%		672	%		528	%		430	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.19		$	12.50		$	9.48		$	15.91		$	17.93		$	16.90
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		(.01	)		.10			.13			(.10	)		(.06	)
Net gain (loss) on investments (realized and unrealized)		(3.11	)		1.78			3.26			(6.22	)		(1.90	)		1.20
Total from investment operations		(3.12	)		1.77			3.36			(6.09	)		(2.00	)		1.14
Less distributions from:
Net investment income		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Total distributions		—			(.08	)		(.34	)		(.34	)		(.02	)		(.11	)
Net asset value, end of period	$	11.07		$	14.19		$	12.50		$	9.48		$	15.91		$	17.93
Total Returnc		(21.99	%)		14.22	%		35.59	%		(38.21	%)		(11.17	%)		6.78	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,361		$	2,896		$	1,141		$	1,281		$	2,846		$	4,763
Ratios to average net assets:
Net investment income (loss)		(0.11	%)		(0.07	%)		0.86	%		0.99	%		(0.50	%)		(0.35	%)
Total expenses		2.37	%		2.39	%		2.39	%		2.42	%		2.37	%		2.33	%
Portfolio turnover rate		353	%		1,008	%		867	%		672	%		528	%		430	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

106 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited)
TRANSPORTATION FUND September 30, 2011

OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

“Holdings 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	10.7	%
Union Pacific Corp.	8.4	%
Norfolk Southern Corp.	6.1	%
FedEx Corp.	5.7	%
CSX Corp.	5.6	%
CH Robinson Worldwide, Inc.	4.6	%
Expeditors International of Washington, Inc.	3.8	%
United Continental Holdings, Inc.	3.5	%
Delta Air Lines, Inc.	3.3	%
Kansas City Southern	3.2	%
Top Ten Total	54.9	%

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

the RYDEX | SGI series funds semi-annual report | 107

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
TRANSPORTATION FUND

	Shares		Value
COMMON STOCKS† - 99.9%
RAILROADS - 28.6%
Union Pacific Corp.		5,375	$	438,975
Norfolk Southern Corp.		5,332		325,359
CSX Corp.		16,004		298,795
Kansas City Southern*		3,387		169,215
Canadian National Railway Co.		2,010		133,826
Canadian Pacific Railway Ltd.		1,738		83,580
Genesee & Wyoming, Inc. — Class A*		1,404		65,314
Total Railroads				1,515,064
AIR FREIGHT & LOGISTICS - 28.5%
United Parcel Service, Inc. — Class B		9,001		568,412
FedEx Corp.		4,470		302,530
CH Robinson Worldwide, Inc.		3,529		241,631
Expeditors International of Washington, Inc.		4,971		201,574
UTI Worldwide, Inc.		5,750		74,980
HUB Group, Inc. — Class A*		2,436		68,866
Atlas Air Worldwide Holdings, Inc.*		1,589		52,898
Total Air Freight & Logistics				1,510,891
AIRLINES - 22.0%
United Continental Holdings, Inc.*		9,320		180,621
Delta Air Lines, Inc.*		23,567		176,752
Southwest Airlines Co.		20,818		167,377
Copa Holdings S.A. — Class A		1,942		118,986
Alaska Air Group, Inc.*		1,777		100,027
Ryanair Holdings plc ADR		2,893		74,495
JetBlue Airways Corp.*		17,395		71,320
US Airways Group, Inc.*		10,994		60,467
Lan Airlines S.A. ADR		2,870		59,266
TAM S.A. ADR		3,700		57,646
AMR Corp.*		19,392		57,400
Gol Linhas Aereas Inteligentes S.A. ADR		7,380		41,033
Total Airlines				1,165,390
TRUCKING - 16.7%
J.B. Hunt Transport Services, Inc.		3,892		140,578
Hertz Global Holdings, Inc.*		12,659		112,665
Landstar System, Inc.		2,478		98,030
Ryder System, Inc.		2,321		87,061
Old Dominion Freight Line, Inc.*		3,005		87,055
Werner Enterprises, Inc.		3,930		81,862
Knight Transportation, Inc.		5,468		72,779
Con-way, Inc.		2,882		63,779
Heartland Express, Inc.		3,717		50,403
Swift Transportation Co. — Class A*		7,700		49,588
Arkansas Best Corp.		2,460		39,729
Total Trucking				883,529
MARINE - 3.0%
Kirby Corp.*		2,178		114,650
Alexander & Baldwin, Inc.		1,140		41,644
Total Marine				156,294
DIVERSIFIED COMMERCIAL & PROFESSIONAL SERVICES - 1.1%
Avis Budget Group, Inc.*		6,104		59,026
Total Common Stocks (Cost $3,304,550)				5,290,194

	Face
	Amount
REPURCHASE AGREEMENT††,1 - 0.8%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	40,722		40,722
Total Repurchase Agreement (Cost $40,722)				40,722
Total Investments - 100.7% (Cost $3,345,272)			$	5,330,916
Liabilities, Less Cash & Other Assets – (0.7)%				(38,322	)
Total Net Assets – 100.0%			$	5,292,594

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
	ADR — American Depositary Receipt
	plc — Public Limited Company

108 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

TRANSPORTATION FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $3,304,550)	$	5,290,194
Repurchase agreements, at value (cost $40,722)		40,722
Cash		566
Receivables:
Fund shares sold		5,243
Dividends		5,027
Total assets		5,341,752
Liabilities:
Payable for:
Fund shares redeemed		32,645
Miscellaneous		8,834
Management fees		4,431
Transfer agent and administrative fees		1,303
Distribution and service fees		1,278
Portfolio accounting fees		521
Miscellaneous		146
Total liabilities		49,158
Net assets	$	5,292,594
Net assets consist of:
Paid in capital	$	29,721,143
Accumulated net investment loss		(34,738	)
Accumulated net realized loss on investments		(26,379,455	)
Net unrealized appreciation on investments		1,985,644
Net assets	$	5,292,594
Investor Class:
Net assets	$	2,899,879
Capital shares outstanding		136,938
Net asset value per share	$	21.17
Advisor Class:
Net assets	$	341,166
Capital shares outstanding		17,492
Net asset value per share	$	19.50
A-Class:
Net assets	$	1,310,280
Capital shares outstanding		65,990
Net asset value per share	$	19.85
Maximum offering price per share (Net asset value divided by 95.25%)	$	20.84
C-Class:
Net assets	$	741,269
Capital shares outstanding		38,563
Net asset value per share	$	19.22

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $177)	$	68,222
Interest		7
Total investment income		68,229
Expenses:
Management fees		55,225
Transfer agent and administrative fees		16,243
Distribution and Service fees:
Advisor Class		4,267
A-Class		1,712
C-Class		8,092
Portfolio accounting fees		6,497
Trustees’ fees*		563
Miscellaneous		10,368
Total expenses		102,967
Net investment loss		(34,738	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		751,086
Net realized gain		751,086
Net change in unrealized appreciation (depreciation) on:
Investments		(2,779,365	)
Net change in unrealized appreciation (depreciation)		(2,779,365	)
Net realized and unrealized loss		(2,028,279	)
Net decrease in net assets resulting from operations	$	(2,063,017	)

* 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 | SGI series funds semi-annual report | 109

TRANSPORTATION FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(34,738	)	$	(42,640	)
Net realized gain (loss) on investments		751,086			(7,140,358	)
Net change in unrealized appreciation (depreciation) on investments		(2,779,365	)		(334,950	)
Net decrease in net assets resulting from operations		(2,063,017	)		(7,517,948	)
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
Investor Class		90,056,738			228,555,205
Advisor Class		5,949,996			27,043,322
A-Class		1,107,937			7,772,436
C-Class		31,302,349			76,303,386
Cost of shares redeemed
Investor Class		(91,753,631	)		(238,376,331	)
Advisor Class		(7,838,841	)		(26,790,951	)
A-Class		(629,101	)		(8,264,038	)
C-Class		(32,369,539	)		(77,498,784	)
Net decrease from capital share transactions		(4,174,092	)		(11,255,755	)
Net decrease in net assets		(6,237,109	)		(18,773,703	)
Net assets:
Beginning of period		11,529,703			30,303,406
End of period	$	5,292,594		$	11,529,703
Accumulated net investment loss at end of period	$	(34,738	)	$	—
Capital share activity:
Shares sold
Investor Class		3,307,578			9,276,996
Advisor Class		240,050			1,198,656
A-Class		43,054			337,827
C-Class		1,291,841			3,303,513
Shares redeemed
Investor Class		(3,361,656	)		(10,023,188	)
Advisor Class		(335,458	)		(1,212,479	)
A-Class		(24,440	)		(372,787	)
C-Class		(1,334,810	)		(3,376,280	)
Net decrease in shares		(173,841	)		(867,742	)

110 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

TRANSPORTATION FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.85		$	23.79		$	14.38		$	25.21		$	29.16		$	28.30
Income (loss) from investment operations:
Net investment income (loss)b		(.05	)		—	c		(.15	)		.07			.06			(.14	)
Net gain (loss) on investments (realized and unrealized)		(6.63	)		4.06			9.70			(10.90	)		(4.01	)		1.00
Total from investment operations		(6.68	)		4.06			9.55			(10.83	)		(3.95	)		.86
Less distributions from:
Net investment income		—			—			(.14	)		—			—			—
Total distributions		—			—			(.14	)		—			—			—
Net asset value, end of period	$	21.17		$	27.85		$	23.79		$	14.38		$	25.21		$	29.16
Total Returnd		(23.99	%)		17.07	%		66.51	%		(42.96	%)		(13.55	%)		3.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,900		$	5,320		$	22,292		$	20,990		$	17,420		$	6,635
Ratios to average net assets:
Net investment income (loss)		(0.38	%)		0.02	%		(0.68	%)		0.33	%		0.22	%		(0.48	%)
Total expenses		1.37	%		1.38	%		1.37	%		1.38	%		1.36	%		1.36	%
Portfolio turnover rate		580	%		1,217	%		1,073	%		875	%		952	%		686	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.70		$	22.05		$	13.40		$	23.59		$	27.42		$	26.75
Income (loss) from investment operations:
Net investment income (loss)b		(.08	)		(.17	)		(.18	)		.10			(.01	)		(.26	)
Net gain (loss) on investments (realized and unrealized)		(6.12	)		3.82			8.97			(10.29	)		(3.82	)		.93
Total from investment operations		(6.20	)		3.65			8.79			(10.19	)		(3.83	)		.67
Less distributions from:
Net investment income		—			—			(.14	)		—			—			—
Total distributions		—			—			(.14	)		—			—			—
Net asset value, end of period	$	19.50		$	25.70		$	22.05		$	13.40		$	23.59		$	27.42
Total Returnd		(24.12	%)		16.55	%		65.70	%		(43.20	%)		(13.97	%)		2.50	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	341		$	2,902		$	2,795		$	1,139		$	5,152		$	3,556
Ratios to average net assets:
Net investment income (loss)		(0.62	%)		(0.74	%)		(0.95	%)		0.51	%		(0.05	%)		(0.97	%)
Total expenses		1.87	%		1.89	%		1.88	%		1.90	%		1.87	%		1.86	%
Portfolio turnover rate		580	%		1,217	%		1,073	%		875	%		952	%		686	%

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 111

TRANSPORTATION FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	26.15		$	22.37		$	13.55		$	23.81		$	27.60		$	26.87
Income (loss) from investment operations:
Net investment income (loss)b		(.06	)		(.10	)		(.04	)		.08			—	c		(.19	)
Net gain (loss) on investments (realized and unrealized)		(6.24	)		3.88			9.00			(10.34	)		(3.79	)		.92
Total from investment operations		(6.30	)		3.78			8.96			(10.26	)		(3.79	)		.73
Less distributions from:
Net investment income		—			—			(.14	)		—			—			—
Total distributions		—			—			(.14	)		—			—			—
Net asset value, end of period	$	19.85		$	26.15		$	22.37		$	13.55		$	23.81		$	27.60
Total Returnd		(24.09	%)		16.90	%		66.22	%		(43.09	%)		(13.73	%)		2.72	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,310		$	1,239		$	1,842		$	561		$	228		$	483
Ratios to average net assets:
Net investment income (loss)		(0.47	%)		(0.42	%)		(0.22	%)		0.43	%		0.00	%e		(0.70	%)
Total expenses		1.62	%		1.64	%		1.62	%		1.67	%		1.62	%		1.61	%
Portfolio turnover rate		580	%		1,217	%		1,073	%		875	%		952	%		686	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.38		$	21.87		$	13.40		$	23.70		$	27.68		$	27.14
Income (loss) from investment operations:
Net investment lossb		(.16	)		(.24	)		(.24	)		(.16	)		(.20	)		(.40	)
Net gain (loss) on investments (realized and unrealized)		(6.00	)		3.75			8.85			(10.14	)		(3.78	)		.94
Total from investment operations		(6.16	)		3.51			8.61			(10.30	)		(3.98	)		.54
Less distributions from:
Net investment income		—			—			(.14	)		—			—			—
Total distributions		—			—			(.14	)		—			—			—
Net asset value, end of period	$	19.22		$	25.38		$	21.87		$	13.40		$	23.70		$	27.68
Total Returnd		(24.27	%)		16.05	%		64.35	%		(43.46	%)		(14.38	%)		1.99	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	741		$	2,069		$	3,375		$	2,186		$	845		$	4,894
Ratios to average net assets:
Net investment loss		(1.28	%)		(1.04	%)		(1.31	%)		(0.79	%)		(0.73	%)		(1.47	%)
Total expenses		2.37	%		2.39	%		2.38	%		2.40	%		2.38	%		2.37	%
Portfolio turnover rate		580	%		1,217	%		1,073	%		875	%		952	%		686	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Net investment income is less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Less than 0.01%.

112 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

FUND PROFILE (Unaudited) September 30, 2011

UTILITIES FUND

OBJECTIVE: Seeks capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).

Holdings Diversification (Market Exposure as % of Net Assets)

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)
Southern Co.	3.7	%
Dominion Resources, Inc.	3.4	%
Exelon Corp.	3.1	%
Duke Energy Corp.	3.1	%
NextEra Energy, Inc.	2.8	%
FirstEnergy Corp.	2.6	%
American Electric Power Company, Inc.	2.5	%
Consolidated Edison, Inc.	2.5	%
Public Service Enterprise Group, Inc.	2.5	%
PPL Corp.	2.4	%
Top Ten Total	28.6	%

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

the RYDEX | SGI series funds semi-annual report | 113

SCHEDULE OF INVESTMENTS (Unaudited)	September 30, 2011
UTILITIES FUND

	Shares		Value
COMMON STOCKS† - 99.6%
ELECTRIC UTILITIES - 42.4%
Southern Co.		69,543	$	2,946,538
Exelon Corp.		59,443		2,532,866
Duke Energy Corp.		126,428		2,527,296
NextEra Energy, Inc.		41,037		2,216,819
FirstEnergy Corp.		46,480		2,087,417
American Electric Power Company, Inc.		53,908		2,049,582
PPL Corp.		68,984		1,968,803
Progress Energy, Inc.		37,422		1,935,466
Edison International		44,139		1,688,317
Entergy Corp.		24,546		1,627,154
Northeast Utilities		34,195		1,150,662
Pinnacle West Capital Corp.		23,759		1,020,211
ITC Holdings Corp.		12,763		988,239
Pepco Holdings, Inc.		51,484		974,077
N.V. Energy, Inc.		59,439		874,348
Westar Energy, Inc.		31,121		822,217
Cia Energetica de Minas Gerais ADR		53,579		795,112
Great Plains Energy, Inc.		38,654		746,022
Hawaiian Electric Industries, Inc.		29,930		726,700
Cleco Corp.		19,984		682,254
IDACORP, Inc.		16,879		637,689
UIL Holdings Corp.		18,870		621,389
Portland General Electric Co.		25,902		613,618
PNM Resources, Inc.		34,308		563,680
El Paso Electric Co.		17,032		546,557
Unisource Energy Corp.		14,909		538,066
Allete, Inc.		9,280		339,926
Total Electric Utilities				34,221,025
MULTI-UTILITIES - 35.1%
Dominion Resources, Inc.		52,344		2,657,505
Consolidated Edison, Inc.		35,486		2,023,412
Public Service Enterprise Group, Inc.		60,055		2,004,035
PG&E Corp.		46,521		1,968,304
Xcel Energy, Inc.		67,810		1,674,229
Sempra Energy		32,389		1,668,034
CenterPoint Energy, Inc.		71,007		1,393,157
DTE Energy Co.		27,955		1,370,354
Ameren Corp.		43,988		1,309,523
Wisconsin Energy Corp.		41,415		1,295,875
NiSource, Inc.		56,335		1,204,442
SCANA Corp.		27,366		1,106,955
CMS Energy Corp.		53,982		1,068,304
OGE Energy Corp.		21,031		1,005,071
Alliant Energy Corp.		24,809		959,612
Integrys Energy Group, Inc.		18,660		907,249
TECO Energy, Inc.		51,059		874,641
MDU Resources Group, Inc.		43,928		842,978
NSTAR		18,463		827,327
Vectren Corp.		20,163		546,014
Avista Corp.		22,504		536,720
Black Hills Corp.		17,409		533,412
NorthWestern Corp.		15,768		503,630
Total Multi-Utilities				28,280,783
GAS UTILITIES - 11.8%
Oneok, Inc.		18,121		1,196,710
Questar Corp.		47,707		844,891
AGL Resources, Inc.		20,654		841,444
Atmos Energy Corp.		24,766		803,657
National Fuel Gas Co.		16,320		794,458
Nicor, Inc.		13,661		751,492
UGI Corp.		28,175		740,157
Piedmont Natural Gas Company, Inc.		23,295		672,993
WGL Holdings, Inc.		17,216		672,629
New Jersey Resources Corp.		14,470		615,988
South Jersey Industries, Inc.		11,202		557,300
Southwest Gas Corp.		14,126		510,937
Northwest Natural Gas Co.		11,533		508,605
Total Gas Utilities				9,511,261
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 6.1%
Constellation Energy Group, Inc.		34,681		1,319,960
AES Corp.*		118,344		1,155,037
Calpine Corp.*		80,316		1,130,849
NRG Energy, Inc.*		48,745		1,033,881
Dynegy, Inc. — Class A*		67,228		276,979
Total Independent Power Producers & Energy Traders				4,916,706
WATER UTILITIES - 3.3%
American Water Works Company, Inc.		36,605		1,104,739
Aqua America, Inc.		37,607		811,183
Cia de Saneamento Basico do Estado de Sao Paulo ADR		15,442		715,737
Total Water Utilities				2,631,659
OIL & GAS EXPLORATION & PRODUCTION - 0.9%
Energen Corp.		17,053		697,297
Total Common Stocks (Cost $74,342,748)				80,258,731

114 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
UTILITIES FUND

	Face
	Amount		Value
REPURCHASE AGREEMENT††,1 - 1.9%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	1,499,819	$	1,499,819
Total Repurchase Agreement (Cost $1,499,819)				1,499,819
Total Investments - 101.5% (Cost $75,842,567)			$	81,758,550
Liabilities, Less Cash & Other Assets — (1.5)%				(1,193,385	)
Total Net Assets — 100.0%			$	80,565,165

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreement — See Note 5.
	ADR — American Depositary Receipt

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 115

UTILITIES FUND
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011

Assets:
Investments, at value (cost $74,342,748)	$	80,258,731
Repurchase agreements, at value (cost $1,499,819)		1,499,819
Cash		7,149
Receivables:
Fund shares sold		13,247,799
Dividends		116,355
Total assets		95,129,853
Liabilities:
Payable for:
Securities purchased		13,940,986
Fund shares redeemed		551,987
Management fees		32,660
Transfer agent and administrative fees		9,606
Distribution and service fees		7,129
Portfolio accounting fees		3,842
Miscellaneous		18,478
Total liabilities		14,564,688
Net assets	$	80,565,165
Net assets consist of:
Paid in capital	$	85,698,783
Undistributed net investment income		586,835
Accumulated net realized loss on investments		(11,636,436	)
Net unrealized appreciation on investments		5,915,983
Net assets	$	80,565,165
Investor Class:
Net assets	$	65,478,228
Capital shares outstanding		2,384,920
Net asset value per share	$	27.45
Advisor Class:
Net assets	$	3,391,759
Capital shares outstanding		132,378
Net asset value per share	$	25.62
A-Class:
Net assets	$	5,646,346
Capital shares outstanding		215,925
Net asset value per share	$	26.15
Maximum offering price per share (Net asset value divided by 95.25%)	$	27.45
C-Class:
Net assets	$	6,048,832
Capital shares outstanding		251,777
Net asset value per share	$	24.02

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $2,110)	$	665,708
Interest		15
Total investment income		665,723
Expenses:
Management fees		141,992
Transfer agent and administrative fees		41,762
Distribution and service fees:
Advisor Class		7,429
A-Class		6,322
C-Class		24,803
Portfolio accounting fees		16,705
Trustees’ fees*		775
Miscellaneous		27,274
Total expenses		267,062
Net investment income		398,661
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,721,184	)
Net realized loss		(1,721,184	)
Net change in unrealized appreciation (depreciation) on:
Investments		118,959
Net change in unrealized appreciation (depreciation)		118,959
Net realized and unrealized loss		(1,602,225	)
Net decrease in net assets resulting from operations	$	(1,203,564	)

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

116 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

UTILITIES FUND
STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income	$	398,661		$	1,391,199
Net realized gain (loss) on investments		(1,721,184	)		373,049
Net change in unrealized appreciation (depreciation) on investments		118,959			1,578,780
Net increase (decrease) in net assets resulting from operations		(1,203,564	)		3,343,028
Distributions to shareholders from:
Net investment income
Investor Class		—			(705,132	)
Advisor Class		—			(226,210	)
A-Class		—			(134,548	)
C-Class		—			(413,324	)
Total distributions to shareholders		—			(1,479,214	)
Capital share transactions:
Proceeds from sale of shares
Investor Class		166,379,394			323,523,204
Advisor Class		22,767,793			51,448,065
A-Class		7,785,788			11,412,994
C-Class		44,618,809			119,886,227
Distributions reinvested
Investor Class		—			681,476
Advisor Class		—			219,223
A-Class		—			94,343
C-Class		—			371,617
Cost of shares redeemed
Investor Class		(109,261,143	)		(325,638,244	)
Advisor Class		(20,372,286	)		(51,854,302	)
A-Class		(5,356,186	)		(10,071,727	)
C-Class		(43,402,496	)		(123,450,180	)
Net increase (decrease) from capital share transactions		63,159,673			(3,377,304	)
Net increase (decrease) in net assets		61,956,109			(1,513,490	)
Net assets:
Beginning of period		18,609,056			20,122,546
End of period	$	80,565,165		$	18,609,056
Undistributed net investment income at end of period	$	586,835		$	188,174
Capital share activity:
Shares sold
Investor Class		5,986,132			12,458,666
Advisor Class		881,882			2,121,840
A-Class		293,433			468,693
C-Class		1,843,761			5,265,040
Shares issued from reinvestment of distributions
Investor Class		—			27,270
Advisor Class		—			9,364
A-Class		—			3,956
C-Class		—			16,853
Shares redeemed
Investor Class		(3,946,676	)		(12,540,196	)
Advisor Class		(798,600	)		(2,132,698	)
A-Class		(205,248	)		(417,328	)
C-Class		(1,791,952	)		(5,410,845	)
Net increase (decrease) in shares		2,262,732			(129,385	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 117

UTILITIES FUND
FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Investor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	27.00		$	24.80		$	20.56		$	29.29		$	31.89		$	24.90
Income (loss) from investment operations:
Net investment incomeb		.37			.86			.61			.72			.51			.52
Net gain (loss) on investments (realized and unrealized)		.08			2.96			4.85			(9.32	)		(2.31	)		6.83
Total from investment operations		.45			3.82			5.46			(8.60	)		(1.80	)		7.35
Less distributions from:
Net investment income		—			(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Total distributions		—			(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Net asset value, end of period	$	27.45		$	27.00		$	24.80		$	20.56		$	29.29		$	31.89
Total Returnc		1.67	%		15.94	%		26.58	%		(29.40	%)		(5.88	%)		29.64	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	65,478		$	9,328		$	9,912		$	10,348		$	11,242		$	84,150
Ratios to average net assets:
Net investment income		2.67	%		3.35	%		2.49	%		2.90	%		1.57	%		1.86	%
Total expenses		1.37	%		1.37	%		1.39	%		1.39	%		1.39	%		1.37	%
Portfolio turnover rate		237	%		800	%		758	%		684	%		375	%		557	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
Advisor Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	25.26		$	23.40		$	19.56		$	28.00		$	30.65		$	24.08
Income (loss) from investment operations:
Net investment incomeb		.24			.62			.47			.63			.32			.37
Net gain (loss) on investments (realized and unrealized)		.12			2.86			4.59			(8.94	)		(2.17	)		6.56
Total from investment operations		.36			3.48			5.06			(8.31	)		(1.85	)		6.93
Less distributions from:
Net investment income		—			(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Total distributions		—			(1.62	)		(1.22	)		(.13	)		(.80	)		(.36	)
Net asset value, end of period	$	25.62		$	25.26		$	23.40		$	19.56		$	28.00		$	30.65
Total Returnc		1.43	%		15.43	%		25.89	%		(29.72	%)		(6.28	%)		28.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,392		$	1,240		$	1,184		$	5,939		$	2,960		$	11,929
Ratios to average net assets:
Net investment income		1.89	%		2.54	%		2.07	%		2.72	%		1.02	%		1.38	%
Total expenses		1.87	%		1.87	%		1.88	%		1.90	%		1.88	%		1.86	%
Portfolio turnover rate		237	%		800	%		758	%		684	%		375	%		557	%

118 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

UTILITIES FUND
FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended		Year Ended		Year Ended		Year Ended		Year Ended		Year Ended
	September 30,		March 31,		March 31,		March 31,		March 31,		March 31,
A-Class	2011a		2011		2010		2009		2008		2007
Per Share Data
Net asset value, beginning of period	$	25.75	$	23.77	$	19.80	$	28.27	$	30.87	$	24.18
Income (loss) from investment operations:
Net investment incomeb		.29		.54		.65		.54		.42		.43
Net gain (loss) on investments (realized and unrealized)		.11		3.06		4.54		(8.88)		(2.22)		6.62
Total from investment operations		.40		3.60		5.19		(8.34)		(1.80)		7.50
Less distributions from:
Net investment income		—		(1.62)		(1.22)		(.13)		(.80)		(.36)
Total distributions		—		(1.62)		(1.22)		(.13)		(.80)		(.36)
Net asset value, end of period	$	26.15	$	25.75	$	23.77	$	19.80	$	28.27	$	30.87
Total Returnc		1.55%		15.70%		26.24%		(29.54%)		(6.07%)		29.28%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,646	$	3,289	$	1,721	$	1,489	$	3,032	$	4,756
Ratios to average net assets:
Net investment income		2.23%		2.23%		2.81%		2.15%		1.38%		1.52%
Total expenses		1.62%		1.63%		1.64%		1.64%		1.63%		1.61%
Portfolio turnover rate		237%		800%		758%		684%		375%		557%

	Period Ended		Year Ended		Year Ended		Year Ended		Year Ended		Year Ended
	September 30,		March 31,		March 31,		March 31,		March 31,		March 31,
C-Class	2011a		2011		2010		2009		2008		2007
Per Share Data
Net asset value, beginning of period	$	23.76	$	22.21	$	18.71	$	26.93	$	29.66	$	23.42
Income (loss) from investment operations:
Net investment incomeb		.21		.39		.39		.32		.18		.22
Net gain (loss) on investments (realized and unrealized)		.05		2.78		4.33		(8.41)		(2.11)		6.38
Total from investment operations		.26		3.17		4.72		(8.09)		(1.93)		6.60
Less distributions from:
Net investment income		—		(1.62)		(1.22)		(.13)		(.80)		(.36)
Total distributions		—		(1.62)		(1.22)		(.13)		(.80)		(.36)
Net asset value, end of period	$	24.02	$	23.76	$	22.21	$	18.71	$	26.93	$	29.66
Total Returnc		1.09%		14.85%		25.24%		(30.08%)		(6.77%)		28.30%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,049	$	4,751	$	7,306	$	4,127	$	8,934	$	11,013
Ratios to average net assets:
Net investment income		1.69%		1.72%		1.77%		1.31%		0.60%		0.82%
Total expenses		2.37%		2.38%		2.39%		2.39%		2.38%		2.36%
Portfolio turnover rate		237%		800%		758%		684%		375%		557%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 119

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization and Significant Accounting Policies

Organization

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. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.

At September 30, 2011, the Trust consisted of fifty-eight separate funds. This report covers the Sector Funds (the “Funds”), while the other funds are contained in separate reports.

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

The Funds invest in a specific industry sector. To the extent that investments are concentrated in a single sector, the Funds are subject to legislative or regulatory changes, adverse market conditions and/or increased competition affecting such sector.

The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector.

The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.

Significant Accounting Policies

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

Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.

Repurchase agreements are valued at amortized cost, which approximates market value.

Investments for which market quotations are not readily available are fair valued as determined in good faith by SGI under the direction of the Board of 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. Security 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. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

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

D. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft,

120 | the RYDEX | SGI series funds semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

calculated by multiplying the overdraft by a rate based on the federal funds rate.

E. 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 service and distribution fees related to Advisor Class shares and 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 assets of each fund included in the Trust.

F. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

2. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Trust pays SGI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds for the period ended September 30, 2011:

	Management Fees
Fund	(as a % of Net Assets)
Banking Fund		0.85	%
Basic Materials Fund		0.85	%
Biotechnology Fund		0.85	%
Consumer Products Fund		0.85	%
Electronics Fund		0.85	%
Energy Fund		0.85	%
Energy Services Fund		0.85	%
Financial Services Fund		0.85	%
Health Care Fund		0.85	%
Internet Fund		0.85	%
Leisure Fund		0.85	%
Precious Metals Fund		0.75	%
Retailing Fund		0.85	%
Technology Fund		0.85	%
Telecommunications Fund		0.85	%
Transportation Fund		0.85	%
Utilities Fund		0.85	%

RFS provides transfer agent and administrative services to the Funds calculated at an annual percentage rate of 0.25% of the average daily net assets of each Fund.

RFS also provides accounting services to the Funds for fees calculated at annualized rates below, based on the average daily net assets of each Fund.

Fund Accounting/Administration Fees	(as a % of net assets)
On the first $250 million		0.10	%
On the next $250 million		0.075	%
On the next $250 million		0.05	%
Over $750 million		0.03	%

RFS engages external service providers to perform other necessary services for the Trust, such as audit related services, legal services, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to various Funds within the complex based on relative net assets. Organizational and setup costs for new Funds are paid by the Trust.

The Trust has adopted a Distribution and Shareholder Services Plan applicable to Advisor Class shares and a Distribution Plan applicable to A-Class shares for which RDL 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 RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL 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, RDL will receive shareholder servicing fees from the Trust at an annual rate not to exceed 0.25% of average daily net assets. RDL, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for shareholder services it performs.

The 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 RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the Financial Advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

For the period ended September 30, 2011, RDL retained sales charges of $216,199 relating to sales of A-Class shares of the Trust.

the RYDEX | SGI series funds semi-annual report | 121

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

3. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2008 — 2011), and has concluded that no provision for income tax is required in the Funds’ financial statements.

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

Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and capital loss carryforward expired or permanently lost due to limitations in the Internal Revenue Code. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.

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

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.

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

			Tax		Tax			Net
	Tax		Unrealized		Unrealized			Unrealized
Fund	Cost		Gain		Loss			Gain (Loss)
Banking Fund	$	4,981,656	$	—	$	(3,671,086	)	$	(3,671,086	)
Basic Materials Fund		40,467,529		7,951,933		(4,376,535	)		3,575,398
Biotechnology Fund		40,645,878		18,933,374		(3,984,419	)		14,948,955
Consumer Products Fund		99,242,088		3,882,807		(1,776,184	)		2,106,623
Electronics Fund		5,868,266		—		(794,573	)		(794,573	)
Energy Fund		33,047,706		7,329,207		(2,285,961	)		5,043,246
Energy Services Fund		28,730,547		16,187,165		(3,987,813	)		12,199,352
Financial Services Fund		4,198,921		—		(2,426,388	)		(2,426,388	)
Health Care Fund		17,931,680		1,488,936		(830,740	)		658,196
Internet Fund		6,825,732		2,897,028		(841,746	)		2,055,282
Leisure Fund		1,940,138		407,594		(60,807	)		346,787
Precious Metals Fund		73,427,666		50,750,023		(9,368,528	)		41,381,495
Retailing Fund		8,291,251		—		(1,034,437	)		(1,034,437	)
Technology Fund		6,569,997		1,460,935		(489,583	)		971,352
Telecommunications Fund		3,153,781		—		(1,188,048	)		(1,188,048	)
Transportation Fund		3,345,272		236,220		(167,356	)		68,864
Utilities Fund		75,842,567		1,920,083		(1,263,659	)		656,424

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1 — quoted prices in active markets for identical securities.

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

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

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

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

	Level 1		Level 2		Level 3
	Investments		Investments		Investments
	In Securities		In Securities		In Securities		Total
Assets
Banking Fund	$	5,893,807	$	52,955	$	—	$	5,946,762
Basic Materials Fund		56,499,299		451,303		—		56,950,602
Biotechnology Fund		67,481,259		484,398		—		67,965,657
Consumer Products Fund		713,916,968		360,878		—		114,277,846
Electronics Fund		7,593,840		276,013		—		7,869,853
Energy Fund		50,694,101		504,282		—		51,198,383
Energy Services Fund		50,136,787		186,545		—		50,323,332
Financial Services Fund		5,736,981		73,598		—		5,810,579
Health Care Fund		23,705,288		304,428		—		24,009,716
Internet Fund		10,893,222		121,157		—		11,014,379
Leisure Fund		2,773,648		19,299		—		2,792,947
Precious Metals Fund		138,911,893		25,555		—		138,937,448
Retailing Fund		10,188,791		60,723		—		10,249,514
Technology Fund		11,255,053		—		—		11,255,053
Telecommunications Fund		4,108,984		—		—		4,108,984
Transportation Fund		5,290,194		40,722		—		5,330,916
Utilities Fund		80,258,731		1,499,819		—		81,758,550

The Funds adopted updated provisions surrounding fair value measurements and disclosures effective April 1, 2010. This update applies to the Funds’ disclosures about transfers in and out of all levels of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 of the fair value hierarchy. Effective for interim and annual periods beginning after December 15, 2010, purchases, sales issuances and settlements must be shown on a gross basis in the Level 3 roll forward rather than as one net number.

For the period ended September 30, 2011, there were no transfers between levels.

Summary of Fair Value Level 3 Activity

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

LEVEL 3 — Fair value measurement using significant unobservable inputs	Total
Biotechnology
Assets:
Beginning Balance	$	—
Total realized gains or losses included in earnings		—
Total unrealized gains or losses included in earnings		—
Purchases, sales, issuances, and settlements (net)		—
Transfers in and/or out of Level 3		—
Ending Balance	$	—

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)

5. Repurchase Agreements

The Funds transfer 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 and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.

At September 30, 2011, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms
of Agreement	Face Value		Repurchase Price		Collateral		Par Value		Fair Value
Credit Suisse Group					U.S. Treasury Note
0.00%						3.50% – 3.63%
due 10/03/11	$	24,098,997	$	24,098,997		08/15/19 – 05/15/20	$	20,962,900	$	24,580,994
	$	24,098,997	$	24,098,997			$	20,962,900	$	24,580,994

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their 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 Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

6. Securities Transactions

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

	Purchases		Sales
Banking Fund	$	36,600,354	$	41,205,742
Basic Materials Fund		104,439,721		135,576,693
Biotechnology Fund		219,666,266		197,649,227
Consumer Products Fund		389,358,870		340,410,686
Electronics Fund		66,015,545		68,523,166
Energy Fund		149,802,661		206,200,957
Energy Services Fund		85,043,384		195,489,884
Financial Services Fund		60,856,888		63,262,097
Health Care Fund		167,301,448		164,891,090
Internet Fund		34,402,300		43,753,954
Leisure Fund		52,122,118		51,877,198
Precious Metals Fund		216,656,840		259,470,089
Retailing Fund		70,175,560		66,747,923
Technology Fund		85,408,627		114,709,145
Telecommunications Fund		48,388,027		93,955,268
Transportation Fund		99,321,283		103,470,438
Utilities Fund		152,996,679		89,620,546

7. Line of Credit

The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2012. On September 30, 2011, the Technology Fund and the Telecommunications Fund borrowed $43,000 and $20,000, respectively, under this agreement. As of and for the period ended September 30, 2011, the Funds did not have any other borrowings under this agreement.

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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.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, 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.

Office Locations

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

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

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

Guggenheim Transaction

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

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

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

Election of Board Members

The Boards have also approved a proposal to elect nine individuals to the Boards. The Boards propose the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees,

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OTHER INFORMATION (Unaudited) (continued)

other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Boards believe that expanding the Boards to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Rydex|SGI family of funds, would be appropriate.

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

Board Considerations in Approving the Investment Advisory

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

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

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

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

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

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

In addition, as a part of their required consideration of the renewal of the current investment advisory agreements at the meeting of August 16-17, 2011, the Trustees, including the independent Trustees, had evaluated a number of considerations, including among others: (a) the quality of the Adviser‘s investment advisory and other services; (b) the Adviser‘s investment management personnel; (c) the Adviser‘s operations and financial condition; (d) the Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the fees that the Adviser‘s charge compared with the fees charged to comparable mutual funds or accounts; (f) each Fund’s overall fees and operating expenses compared with similar mutual funds; (g) the level of the Advisers’ profitability from its Fund-related operations; (h) the Adviser‘s compliance systems; (i) the Adviser‘s policies on and compliance procedures for personal securities transactions; (j) the Adviser’s reputation, expertise and resources in the financial markets; and (k) Fund

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OTHER INFORMATION (Unaudited) (concluded)

performance compared with similar mutual funds. Based on the Board’s deliberations at the meetings of August 16-17, 2011 and September 14, 2011, and its evaluation of the information regarding the Transaction and the fact that the Transaction is not expected to change the level and quality of services rendered by the Advisers to any of the Funds, the Board, including all of the independent Trustees, unanimously: (a) concluded that terms of the current and new investment advisory agreement is fair and reasonable; (b) concluded that the Adviser‘s fees were reasonable in light of the services that they provide to the Funds; and (c) agreed to approve the current investment advisory agreements and, subject to shareholder approval, the new investment advisory agreement, based upon the following considerations, among others:

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

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

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

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

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

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

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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of SGI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

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

INDEPENDENT TRUSTEES

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

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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
Roger Somers	Rydex Series Funds — 1993		150
Trustee (1944)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003
Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (1995 to present)

EXECUTIVE OFFICERS

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

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

EXECUTIVE OFFICERS (concluded)

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966)	Current: Chief Compliance Officer and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; Senior Vice President and Chief Compliance Officer, Security Investors, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC and Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Keith A. Fletcher* Vice President (1958)	Current: Senior Vice President, Security Investors, LLC; Vice President, Rydex Holdings, LLC; Vice President, Rydex Specialized Products, LLC; Vice President, Rydex Distributors, LLC; Vice President, Rydex Fund Services, LLC; Vice President and Director, Advisor Research Center, Inc.; Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)

* Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Security Global Investors.

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RYDEX|SGI PRIVACY POLICIES

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

Our Commitment to You

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

The Information We Collect About You

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

How We Handle Your Personal Information

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

Opt Out Provisions

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

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Rydex|SGI web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Rydex|SGI web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

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

We’ll Keep You Informed

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

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805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RSECF-SEMI-0911x0312

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Go paperless with Rydex | SGI eDelivery—a service giving you full online access to account information and documents. Save time, cut down on mailbox clutter and be a friend to the environment with eDelivery.

With Rydex | SGI eDelivery you can:

• View online confirmations and statements at your convenience.

• Receive email notifications when your most recent confirmations, statements and other account documents are available for review.

• Access prospectuses, annual reports and semiannual reports online.

If you have questions about Rydex | SGI eDelivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

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

Distributed by Rydex Distributors, LLC

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS	4
ABOUT SHAREHOLDERS’ FUND EXPENSES	5
U.S. LONG SHORT MOMENTUM FUND	8
ALTERNATIVE STRATEGIES ALLOCATION FUND	16
EVENT DRIVEN AND DISTRESSED STRATEGIES FUND	22
ALTERNATIVE STRATEGIES FUND	31
LONG SHORT EQUITY STRATEGY FUND	37
LONG SHORT INTEREST RATE STRATEGY FUND	43
EMERGING MARKETS 2x STRATEGY FUND	49
INVERSE EMERGING MARKETS 2x STRATEGY FUND	56
NOTES TO FINANCIAL STATEMENTS	62
OTHER INFORMATION	72
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	75
RYDEX | SGI PRIVACY POLICIES	79

the RYDEX | SGI series funds semi-annual report | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER:

The economic recovery remained fragile in 2011, as global markets were beset by natural disasters, Mid East uprisings and sovereign debt woes. After rising to their recent high around the end of April, U.S. stock markets began a slide that, by the end of September, was approaching bear-market territory. Investors became nervous as the U.S. Federal Reserve ended its second quantitative easing program in June and Congress wrangled over debt ceilings and budget deficits, which led to the U.S. losing its AAA debt rating in August. Many measures of hiring, housing, GDP and consumer confidence have worsened in the past six months, and analysts began forecasting an economy that, if not sliding backward, would move ahead only slowly.

As with many countries, the central bank of the U.S. was a major factor in the markets for most of the past year, conducting a debt-purchase program designed to boost lending and expand the economy—the second such effort since the financial crisis of 2008. Late in the third quarter, the Fed chairman said the “recovery is close to faltering,” and there was a risk of another recession unless the government took steps to increase growth. The Fed said it would keep short-term interest rates near zero for another two years and hold down borrowing costs through “operation twist,” shifting $400 billion in holdings from short-term to long-term Treasuries.

The biggest threat to markets in late September appeared to be recession. Supporting evidence in the U.S. included weak housing demand despite record-low mortgage rates, consumer confidence that has ebbed for five months amid politicization of raising the debt ceiling, job creation insufficient to keep up with population growth, as well as other indicators ranging from soft wages, slumping equity markets and falling prices for commodities like oil and copper. Analysts arguing that a recession is unlikely cite inflation expectations that have fallen to their lowest levels of 2011, good retail sales, sound corporate balance sheets and manufacturing gauges that are improving, albeit slightly. In addition, while economists surveyed by Bloomberg have been lowering GDP growth estimates for the year, positive growth is still expected.

Recession currently seems more a threat to Europe than America, as high unemployment and austerity measures weigh on weaker members of the eurozone, with a knock-on effect for the continent’s growth engines of Germany and France, particularly in manufacturing, which has been the key player in the global recovery. Many economists are hoping for an orderly default of Greece that may prevent financial problems from spreading to other weak countries or to banks, and stabilize the euro. Countries using the euro were in the process of approving a bailout fund expansion at the end of the third quarter, and bolstering European banks against the possibility of sovereign default. Even though they were not at the eye of the sovereign debt storm, many emerging market economies also began weakening over the summer, fearing global recession and financial contagion. Investors are especially concerned about the stability of China’s banking system and whether inflation will ebb along with slowing growth.

All the economic uncertainty and market volatility took their toll on the equity markets. For the six months, key equity indices have fallen significantly. While some strategists believed the market drop over the third quarter of 2011 brought stock prices to reasonable levels, others were concerned that third-quarter earnings could still come in lower than expected, kicking away a key support of valuations.

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LETTER TO OUR SHAREHOLDERS (concluded)

While the market forces play out, many investors have been driven to the sidelines or to safe havens. Gold reached a high of near $1,900 an ounce in August, before falling 11% in September, leading some to question whether its recent run is nearing an end. Investors also abandoned riskier currencies toward the end of the third quarter, and piled into the dollar, helping it regain ground lost over the past 12 months. Further upward moves in the dollar are expected as the world economy continues to sputter.

Sluggish economic data, concern over the collapse of Europe’s financial system and the Fed’s policy efforts also drove investors into U.S. government debt over the course of 2011, driving up the price of debt maturing in 10 years or more, leading to historic low yields. Recession, however, is not a consensus view. The Fed remains accommodative and the Treasury yield curve is steep. A potential rebound in GDP to 2% in the third quarter, lower fuel prices and a stronger automotive sector may be enough to keep the U.S. recovery on course, even if slow, and counterbalance difficulties in Europe and Asia.

Thank you for investing in our funds.

Sincerely,

Michael Byrum
President & Chief Investment Officer

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

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

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

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

the RYDEX | SGI series funds semi-annual report | 3

A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)

Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund described in this report are benchmarked daily to leveraged and/or inverse leveraged 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 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value (“NAV”) per share 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		6.0	%		9.0	%	$	10.90		9.0	%		In line
Day 2		99		-6.6	%		-9.9	%	$	9.82		-9.9	%		In line
Cumulative				-1.0	%		-1.5	%				-1.8	%		-0.3	%

As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.

Because funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.

In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.

As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.

4 | the RYDEX | SGI 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. Shareholders of a Fund 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 investors understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning March 31, 2011 and ending September 30, 2011.

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

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

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

Certain retirement plans such as IRA, SEP, Roth IRA and 403(b), Rydex prototype money purchase plan and profit sharing plan accounts are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.

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

Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only and do not reflect any transactional costs which may be incurred by a Fund.

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

the RYDEX | SGI series funds semi-annual report | 5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 1. Based on actual Fund return3
U.S. Long Short Momentum Fund
A-Class		1.67	%		(17.02	%)	$	1,000.00	$	829.80	$	7.68
C-Class		2.42	%		(17.33	%)		1,000.00		826.70		11.10
H-Class		1.67	%		(16.97	%)		1,000.00		830.30		7.68
Alternative Strategies Allocation Fund4
A-Class		0.00	%		(6.57	%)		1,000.00		934.30		0.01
C-Class		0.75	%		(6.98	%)		1,000.00		930.20		3.64
H-Class		0.00	%		(6.57	%)		1,000.00		934.30		0.01
Event Driven and Distressed Strategies Fund
A-Class		1.87	%		(11.84	%)		1,000.00		881.60		8.84
C-Class		2.62	%		(12.19	%)		1,000.00		878.10		12.34
H-Class		1.87	%		(11.84	%)		1,000.00		881.60		8.84
Institutional Class		1.60	%		(11.71	%)		1,000.00		882.90		7.57
Alternative Strategies Fund
A-Class		1.90	%		(7.38	%)		1,000.00		926.20		9.16
C-Class		2.65	%		(7.78	%)		1,000.00		922.20		12.75
H-Class		1.90	%		(7.38	%)		1,000.00		926.20		9.16
Institutional Class		1.65	%		(7.29	%)		1,000.00		927.10		7.95
Long Short Equity Strategy Fund
A-Class		2.37	%		(7.16	%)		1,000.00		928.40		11.45
C-Class		3.13	%		(7.50	%)		1,000.00		925.00		15.11
H-Class		2.34	%		(7.16	%)		1,000.00		928.40		11.33
Institutional Class		2.15	%		(7.03	%)		1,000.00		929.70		10.40
Long Short Interest Rate Strategy Fund
A-Class		1.52	%		(5.13	%)		1,000.00		948.70		7.42
C-Class		2.27	%		(5.48	%)		1,000.00		945.20		11.06
H-Class		1.52	%		(5.13	%)		1,000.00		948.70		7.42
Institutional Class		1.27	%		(5.00	%)		1,000.00		950.00		6.20
Emerging Markets 2x Strategy Fund
A-Class		1.72	%		(48.20	%)		1,000.00		518.00		6.54
C-Class		2.47	%		(47.93	%)		1,000.00		520.70		9.41
H-Class		1.72	%		(48.07	%)		1,000.00		519.30		6.54
Inverse Emerging Markets 2x Strategy Fund
A-Class		1.72	%		46.95	%		1,000.00		1,469.50		10.65
C-Class		2.45	%		49.55	%		1,000.00		1,495.50		15.35
H-Class		1.72	%		46.95	%		1,000.00		1,469.50		10.65

6 | the RYDEX | SGI series funds semi-annual report

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 2. Based on hypothetical 5% return (before expenses)
U.S. Long Short Momentum Fund
A-Class		1.67	%		5.00	%	$	1,000.00	$	1,016.67	$	8.47
C-Class		2.42	%		5.00	%		1,000.00		1,012.91		12.23
H-Class		1.67	%		5.00	%		1,000.00		1,016.67		8.47
Alternative Strategies Allocation Fund4
A-Class		0.00	%		5.00	%		1,000.00		1,025.06		0.01
C-Class		0.75	%		5.00	%		1,000.00		1,021.29		3.81
H-Class		0.00	%		5.00	%		1,000.00		1,025.06		0.01
Event Driven and Distressed Strategies Fund
A-Class		1.87	%		5.00	%		1,000.00		1,015.68		9.47
C-Class		2.62	%		5.00	%		1,000.00		1,011.93		13.22
H-Class		1.87	%		5.00	%		1,000.00		1,015.67		9.47
Institutional Class		1.60	%		5.00	%		1,000.00		1,017.03		8.11
Alternative Strategies Fund
A-Class		1.90	%		5.00	%		1,000.00		1,015.56		9.58
C-Class		2.65	%		5.00	%		1,000.00		1,011.80		13.35
H-Class		1.90	%		5.00	%		1,000.00		1,015.56		9.58
Institutional Class		1.65	%		5.00	%		1,000.00		1,016.82		8.32
Long Short Equity Strategy Fund
A-Class		2.37	%		5.00	%		1,000.00		1,013.19		11.96
C-Class		3.13	%		5.00	%		1,000.00		1,009.37		15.77
H-Class		2.34	%		5.00	%		1,000.00		1,013.32		11.83
Institutional Class		2.15	%		5.00	%		1,000.00		1,014.29		10.85
Long Short Interest Rate Strategy Fund
A-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.68
C-Class		2.27	%		5.00	%		1,000.00		1,013.70		11.45
H-Class		1.52	%		5.00	%		1,000.00		1,017.45		7.68
Institutional Class		1.27	%		5.00	%		1,000.00		1,018.71		6.42
Emerging Markets 2x Strategy Fund
A-Class		1.72	%		5.00	%		1,000.00		1,016.45		8.69
C-Class		2.47	%		5.00	%		1,000.00		1,012.70		12.45
H-Class		1.72	%		5.00	%		1,000.00		1,016.45		8.69
Inverse Emerging Markets 2x Strategy Fund
A-Class		1.72	%		5.00	%		1,000.00		1,016.44		8.69
C-Class		2.45	%		5.00	%		1,000.00		1,012.77		12.38
H-Class		1.72	%		5.00	%		1,000.00		1,016.45		8.69

1	This ratio represents annualized Net Expenses, which includes interest and dividend expense related to securities sold short. Excluding short dividend expense and prime broker interest expense, the operating expense ratio would be: Long Short Equity Strategy Fund 0.47%, 0.48%, 0.44%, and 0.50% lower in the A-Class, C-Class, H-Class and Institutional Class, respectively.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2011 to September 30, 2011.
4	Excludes expenses of the underlying funds in which the Fund invests.

the RYDEX | SGI series funds semi-annual report | 7

FUND PROFILE (Unaudited) September 30, 2011

U.S. LONG SHORT MOMENTUM FUND

OBJECTIVE: Seeks long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	March 31, 2004
C-Class	March 22, 2002
H-Class	March 22, 2002

Ten Largest Holdings
(% of Total Net Assets)
Amazon.com, Inc.	4.7	%
Philip Morris International, Inc.	3.0	%
Apple, Inc.	2.6	%
Altria Group, Inc.	2.3	%
Priceline.com, Inc.	2.2	%
International Business Machines Corp.	1.8	%
Cerner Corp.	1.8	%
NIKE, Inc. — Class B	1.6	%
Reynolds American, Inc.	1.5	%
Liberty Interactive Corp. — Class A	1.2	%
Top Ten Total	22.7	%

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

8 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

U.S. LONG SHORT MOMENTUM FUND

	Shares		Value
COMMON STOCKS† - 90.9%
CONSUMER DISCRETIONARY - 25.2%
Amazon.com, Inc.*		25,311	$	5,472,998
Priceline.com, Inc.		5,662		2,544,843
NIKE, Inc. — Class B		20,927		1,789,468
Liberty Interactive Corp. — Class A*		96,522		1,425,630
Expedia, Inc.		54,203		1,395,727
VF Corp.		9,889		1,201,711
Coach, Inc.		21,973		1,138,861
Netflix, Inc.*		8,980		1,016,177
McDonald’s Corp.		10,633		933,790
Ralph Lauren Corp.		6,939		899,988
HSN, Inc.		22,104		732,306
Fossil, Inc.*		7,403		600,087
Deckers Outdoor Corp.*		6,335		590,802
Shutterfly, Inc.*		14,202		584,838
PVH Corp.		9,993		581,992
Starbucks Corp.		13,374		498,716
Under Armour, Inc. — Class A*		7,498		497,942
Hanesbrands, Inc.		18,357		459,109
Las Vegas Sands Corp.*		11,871		455,134
Yum! Brands, Inc.		9,132		451,030
Warnaco Group, Inc.*		9,328		429,928
Carter’s, Inc.*		13,534		413,328
Carnival Corp.		13,367		405,020
Crocs, Inc.*		16,859		399,053
Wolverine World Wide, Inc.		11,717		389,590
Columbia Sportswear Co.		8,158		378,531
Wynn Resorts Ltd.		2,759		317,506
Blue Nile, Inc.*		8,126		286,685
Iconix Brand Group, Inc.*		18,093		285,869
Chipotle Mexican Grill, Inc.		941		285,076
Marriott International, Inc. — Class A		10,258		279,428
Starwood Hotels & Resorts Worldwide, Inc.		5,970		231,755
NutriSystem, Inc.		18,198		220,378
Darden Restaurants, Inc.		5,090		217,598
Wyndham Worldwide Corp.		6,743		192,243
International Game Technology		12,563		182,540
Royal Caribbean Cruises Ltd.		8,251		178,552
Overstock.com, Inc.*		18,867		174,897
PetMed Express, Inc.		18,540		166,860
Vitacost.com, Inc.*		34,500		164,220
MGM Resorts International*		17,484		162,426
Panera Bread Co. — Class A*		1,550		161,107
Total Consumer Discretionary				29,193,739
UTILITIES - 21.5%
Dominion Resources, Inc.		21,224		1,077,542
Southern Co.		24,402		1,033,913
Exelon Corp.		21,158		901,542
Duke Energy Corp.		44,468		888,915
Consolidated Edison, Inc.		14,362		818,921
PG&E Corp.		19,303		816,710
Public Service Enterprise Group, Inc.		24,381		813,594
NextEra Energy, Inc.		14,937		806,897
Oneok, Inc.		11,328		748,101
FirstEnergy Corp.		16,391		736,120
American Electric Power Company, Inc.		19,150		728,083
Sempra Energy		13,799		710,648
Xcel Energy, Inc.		27,965		690,456
PPL Corp.		24,072		687,015
Progress Energy, Inc.		12,990		671,843
Edison International		15,743		602,170
CenterPoint Energy, Inc.		29,675		582,223
Entergy Corp.		8,728		578,579
DTE Energy Co.		11,710		574,024
Wisconsin Energy Corp.		17,353		542,975
National Fuel Gas Co.		11,066		538,693
AGL Resources, Inc.		13,048		531,576
Ameren Corp.		17,768		528,953
Questar Corp.		28,679		507,905
Atmos Energy Corp.		15,413		500,152
NiSource, Inc.		22,766		486,737
UGI Corp.		18,413		483,710
Nicor, Inc.		8,456		465,165
SCANA Corp.		11,261		455,507
CMS Energy Corp.		22,668		448,600
OGE Energy Corp.		9,023		431,209
NSTAR		9,523		426,726
Piedmont Natural Gas Company, Inc.		14,380		415,438
WGL Holdings, Inc.		10,490		409,844
Northeast Utilities		12,170		409,521
Southwest Gas Corp.		10,454		378,121
New Jersey Resources Corp.		8,723		371,338
Pinnacle West Capital Corp.		8,491		364,604
South Jersey Industries, Inc.		7,174		356,906
Pepco Holdings, Inc.		18,555		351,061
ITC Holdings Corp.		4,427		342,783
DPL, Inc.		10,769		324,578
Northwest Natural Gas Co.		7,174		316,373
Total Utilities				24,855,771
INFORMATION TECHNOLOGY - 16.2%
Apple, Inc.*		7,969		3,037,623
International Business Machines Corp.		11,916		2,085,657
Hewlett-Packard Co.		48,636		1,091,878

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 9

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

U.S. LONG SHORT MOMENTUM FUND

	Shares		Value
EMC Corp.		51,080	$	1,072,169
Visa, Inc. — Class A		11,199		959,978
Mastercard, Inc. — Class A		2,733		866,798
Dell, Inc.		57,621		815,337
Accenture plc — Class A		15,418		812,220
Infosys Ltd. ADR		14,561		743,630
Automatic Data Processing, Inc.		14,516		684,429
Cognizant Technology Solutions Corp. — Class A*		9,750		611,325
NetApp, Inc.*		16,717		567,375
SanDisk Corp.*		12,318		497,031
Paychex, Inc.		16,522		435,685
Teradata Corp.*		7,907		423,262
Western Union Co.		27,655		422,845
Western Digital Corp.*		14,980		385,286
Fiserv, Inc.*		7,292		370,215
Fidelity National Information Services, Inc.		15,011		365,068
Seagate Technology plc		31,718		326,061
Amdocs Ltd.*		11,596		314,484
Computer Sciences Corp.		10,009		268,742
NCR Corp.*		15,739		265,832
SAIC, Inc.*		22,371		264,202
Lexmark International, Inc. — Class A*		8,686		234,783
Diebold, Inc.		7,855		216,091
QLogic Corp.*		14,330		181,704
Synaptics, Inc.*		6,074		145,169
Electronics for Imaging, Inc.*		9,426		126,968
Super Micro Computer, Inc.*		8,927		111,855
Stratasys, Inc.*		2,613		48,445
Total Information Technology				18,752,147
CONSUMER STAPLES - 16.0%
Philip Morris International, Inc.		55,305		3,449,926
Altria Group, Inc.		98,824		2,649,471
Reynolds American, Inc.		45,280		1,697,094
Lorillard, Inc.		12,827		1,419,949
Kraft Foods, Inc. — Class A		31,430		1,055,419
Unilever N.V.		32,300		1,017,127
General Mills, Inc.		17,710		681,304
Kellogg Co.		11,140		592,537
Green Mountain Coffee Roasters, Inc.*		6,310		586,451
HJ Heinz Co.		10,930		551,746
Mead Johnson Nutrition Co.		7,790		536,186
Archer-Daniels-Midland Co.		19,750		489,997
Hershey Co.		7,720		457,333
Campbell Soup Co.		13,380		433,111
ConAgra Foods, Inc.		17,810		431,358
Vector Group Ltd.		23,599		405,427
Sara Lee Corp.		24,350		398,122
JM Smucker Co.		5,450		397,251
Bunge Ltd.		6,240		363,730
Hormel Foods Corp.		13,230		357,475
Universal Corp.		8,572		307,392
Star Scientific, Inc.*		69,962		161,612
Total Consumer Staples				18,440,018
HEALTH CARE - 11.7%
Cerner Corp.*		29,534		2,023,670
SXC Health Solutions Corp.*		20,935		1,166,080
Allscripts Healthcare Solutions, Inc.*		61,107		1,101,148
Quality Systems, Inc.		10,625		1,030,625
athenahealth, Inc.*		14,465		861,391
Emdeon, Inc. — Class A*		42,647		801,337
UnitedHealth Group, Inc.		11,614		535,638
Computer Programs & Systems, Inc.		7,760		513,324
MedAssets, Inc.*		45,748		439,638
Merge Healthcare, Inc.*		71,991		438,425
Omnicell, Inc.*		29,710		409,404
Medidata Solutions, Inc.*		23,746		390,384
WellPoint, Inc.		5,765		376,339
Coventry Health Care, Inc.*		11,810		340,246
McKesson Corp.		4,322		314,209
Cardinal Health, Inc.		6,981		292,364
Medco Health Solutions, Inc.		6,123		287,108
Express Scripts, Inc.*		7,458		276,468
Aetna, Inc.		7,409		269,317
Humana, Inc.		3,632		264,155
AmerisourceBergen Corp.		6,590		245,609
CIGNA Corp.		5,805		243,462
Quest Diagnostics, Inc.		4,246		209,583
Laboratory Corporation of America Holdings*		2,578		203,791
Henry Schein, Inc.*		2,886		178,961
DaVita, Inc.*		2,633		165,010
Universal Health Services, Inc. — Class B		3,430		116,620
Total Health Care				13,494,306
INDUSTRIALS - 0.3%
Watsco, Inc.		5,100		260,610
Avis Budget Group, Inc.*		12,870		124,453
NCI Building Systems, Inc.*		1,017		7,688
Total Industrials				392,751
Total Common Stocks (Cost $106,594,004)				105,128,732

10 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

U.S. LONG SHORT MOMENTUM FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 7.5%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	4,662,336	$	4,662,336
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		2,305,878		2,305,878
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		1,638,739		1,638,739
Total Repurchase Agreements (Cost $8,606,953)				8,606,953
Total Investments - 98.4% (Cost $115,200,957)			$	113,735,685
Cash & Other Assets, Less Liabilities - 1.6%				1,907,653
Total Net Assets - 100.0%			$	115,643,338

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS SOLD SHORT†
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $20,624,100)		366	$	1,040,299

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
	ADR — American Depositary Receipt
	plc — Public Limited Company

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 11

U.S. LONG SHORT MOMENTUM FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $106,594,004)	$	105,128,732
Repurchase agreements, at value (cost $8,606,953)		8,606,953
Segregated cash with broker		1,464,000
Cash		6,937
Receivables:
Variation margin		536,190
Dividends		233,364
Fund shares sold		14,969
Total assets		115,991,145
Liabilities:
Payable for:
Management fees		89,773
Fund shares redeemed		60,399
Distribution and service fees		47,906
Transfer agent and administrative fees		24,937
Portfolio accounting fees		9,975
Miscellaneous		114,817
Total liabilities		347,807
Net assets	$	115,643,338
Net assets consist of:
Paid in capital	$	202,242,193
Accumulated net investment loss		(420,039	)
Accumulated net realized loss on investments		(85,753,843	)
Net unrealized depreciation on investments		(424,973	)
Net assets	$	115,643,338
A-Class:
Net assets	$	18,311,046
Capital shares outstanding		1,545,099
Net asset value per share	$	11.85
Maximum offering price per share (Net asset value divided by 95.25%)	$	12.44
C-Class:
Net assets	$	35,380,079
Capital shares outstanding		3,208,658
Net asset value per share	$	11.02
H-Class:
Net assets	$	61,952,213
Capital shares outstanding		5,210,711
Net asset value per share	$	11.89

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $6,363)	$	1,104,802
Interest		549
Total investment income		1,105,351
Expenses:
Management fees		650,722
Transfer agent and administrative fees		180,756
Distribution and service fees:
A-Class		27,134
C-Class		219,047
H-Class		98,860
Portfolio accounting fees		72,302
Trustees’ fees*		5,937
Miscellaneous		120,148
Total expenses		1,374,906
Net investment loss		(269,555	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(1,946,824	)
Futures contracts		72,845
Net realized loss		(1,873,979	)
Net change in unrealized appreciation (depreciation) on:
Investments		(24,028,173	)
Futures contracts		1,046,322
Net change in unrealized appreciation (depreciation)		(22,981,851	)
Net realized and unrealized loss		(24,855,830	)
Net decrease in net assets resulting from operations	$	(25,125,385	)

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

12 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

U.S. LONG SHORT MOMENTUM FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(269,555	)	$	(962,766	)
Net realized gain (loss) on investments		(1,873,979	)		21,275,436
Net change in unrealized appreciation (depreciation) on investments		(22,981,851	)		(1,832,424	)
Net increase (decrease) in net assets resulting from operations		(25,125,385	)		18,480,246
Distributions to shareholders		—			—
Capital share transactions:
Proceeds from sale of shares
A-Class		4,113,132			7,048,585
C-Class		904,056			3,608,855
H-Class		8,285,760			38,536,319
Redemption fees collected
A-Class		—			1,640
C-Class		—			3,071
H-Class		—			4,901
Cost of shares redeemed
A-Class		(7,392,462	)		(21,035,067	)
C-Class		(8,158,959	)		(23,551,234	)
H-Class		(20,023,992	)		(60,622,746	)
Net decrease from capital share transactions		(22,272,465	)		(56,005,676	)
Net decrease in net assets		(47,397,850	)		(37,525,430	)
Net assets:
Beginning of period		163,041,188			200,566,618
End of period	$	115,643,338		$	163,041,188
Accumulated net investment loss at end of period	$	(420,039	)	$	(150,484	)
Capital share activity:
Shares sold
A-Class		298,637			571,914
C-Class		70,008			306,995
H-Class		599,114			3,071,070
Shares redeemed
A-Class		(536,098	)		(1,666,394	)
C-Class		(640,252	)		(2,006,910	)
H-Class		(1,477,670	)		(4,850,644	)
Net decrease in shares		(1,686,261	)		(4,573,969	)

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 13

U.S. LONG SHORT MOMENTUM FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.28		$	12.59		$	8.62		$	13.45		$	14.08		$	14.15
Income (loss) from investment operations:
Net investment income (loss)b		(.01	)		(.04	)		(.07	)		.01			(.01	)		(.01	)
Net gain (loss) on investments (realized and unrealized)		(2.42	)		1.73			4.04			(4.84	)		.30			.38
Total from investment operations		(2.43	)		1.69			3.97			(4.83	)		.29			.37
Less distributions from:
Net realized gains		—			—			—			—			(.93	)		(.44	)
Total distributions		—			—			—			—			(.93	)		(.44	)
Redemption fees collected		—			—	c		—	c		—	c		.01			—	c
Net asset value, end of period	$	11.85		$	14.28		$	12.59		$	8.62		$	13.45		$	14.08
Total Returnd		(17.02	%)		13.42	%		46.06	%		(35.91	%)		1.50	%		2.75	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	18,311		$	25,447		$	36,231		$	31,925		$	49,148		$	39,804
Ratios to average net assets:
Net investment income (loss)		(0.15	%)		(0.33	%)		(0.62	%)		0.13	%		(0.08	%)		(0.09	%)
Total expenses		1.67	%		1.71	%		1.68	%		1.69	%		1.65	%		1.64	%
Operating expensese		1.67	%		1.69	%		1.68	%		1.69	%		1.65	%		1.64	%
Portfolio turnover rate		116	%		231	%		375	%		528	%		278	%		373	%

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	13.33		$	11.85		$	8.17		$	12.85		$	13.58		$	13.76
Income (loss) from investment operations:
Net investment lossb		(.06	)		(.13	)		(.14	)		(.07	)		(.12	)		(.11	)
Net gain (loss) on investments (realized and unrealized)		(2.23	)		1.61			3.82			(4.61	)		.31			.37
Total from investment operations		(2.29	)		1.48			3.68			(4.68	)		.19			.26
Less distributions from:
Net realized gains		—			—			—			—			(.93	)		(.44	)
Total distributions		—			—			—			—			(.93	)		(.44	)
Redemption fees collected		—			—	c		—	c		—	c		.01			—	c
Net asset value, end of period	$	11.02		$	13.33		$	11.85		$	8.17		$	12.85		$	13.58
Total Returnd		(17.33	%)		12.49	%		45.04	%		(36.42	%)		0.81	%		2.02	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	35,380		$	50,381		$	64,918		$	57,792		$	115,136		$	118,422
Ratios to average net assets:
Net investment loss		(0.90	%)		(1.08	%)		(1.37	%)		(0.66	%)		(0.80	%)		(0.86	%)
Total expenses		2.42	%		2.46	%		2.43	%		2.44	%		2.41	%		2.39	%
Operating expensese		2.42	%		2.44	%		2.43	%		2.44	%		2.41	%		2.39	%
Portfolio turnover rate		116	%		231	%		375	%		528	%		278	%		373	%

14 | the RYDEX | SGI series funds semi-annual report

U.S. LONG SHORT MOMENTUM FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007
Per Share Data
Net asset value, beginning of period	$	14.32		$	12.63		$	8.65		$	13.49		$	14.12		$	14.18
Income (loss) from investment operations:
Net investment lossb		(.01	)		(.04	)		(.07	)		(—	)f		(.02	)		(.02	)
Net gain (loss) on investments (realized and unrealized)		(2.42	)		1.73			4.05			(4.84	)		.31			.40
Total from investment operations		(2.43	)		1.69			3.98			(4.84	)		.29			.38
Less distributions from:
Net realized gains		—			—			—			—			(.93	)		(.44	)
Total distributions		—			—			—			—			(.93	)		(.44	)
Redemption fees collected		—			—	c		—	c		—	c		.01			—	c
Net asset value, end of period	$	11.89		$	14.32		$	12.63		$	8.65		$	13.49		$	14.12
Total Returnd		(16.97	%)		13.38	%		46.01	%		(35.88	%)		1.50	%		2.81	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	61,952		$	87,212		$	99,418		$	76,080		$	178,949		$	140,774
Ratios to average net assets:
Net investment loss		(0.14	%)		(0.31	%)		(0.63	%)		(0.01	%)		(0.13	%)		(0.16	%)
Total expenses		1.67	%		1.70	%		1.68	%		1.68	%		1.65	%		1.65	%
Operating expensese		1.67	%		1.69	%		1.68	%		1.68	%		1.65	%		1.65	%
Portfolio turnover rate		116	%		231	%		375	%		528	%		278	%		373	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
c	Redemption fees collected are less than $0.01 per share.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Operating expenses exclude interest and dividend expense from securities sold short.
f	Net investment income is less than $0.01 per share.

the RYDEX | SGI series funds semi-annual report | 15

FUND PROFILE (Unaudited) September 30, 2011

ALTERNATIVE STRATEGIES ALLOCATION FUND

OBJECTIVE: Seeks to deliver a return that has a low correlation to the returns of traditional stock and bond asset classes as well as provide capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	March 7, 2008
C-Class	March 7, 2008
H-Class	March 7, 2008

Ten Largest Holdings
(% of Total Net Assets)
RSF — Multi-Hedge Strategies Fund — A Class	16.5	%
RSF — Event Driven and Distressed Strategies Fund — A Class	15.8	%
RSF — Long Short Interest Rate Strategy Fund — A Class	15.1	%
RSF — Managed Futures Strategy Fund — A Class	13.8	%
RSF — Alternative Strategies Fund — A Class	9.6	%
RSF — Long Short Equity Strategy Fund — A Class	9.5	%
RSF — Long/Short Commodities Strategy Fund — A Class	6.7	%
RSF — Commodities Strategy Fund — A Class	4.8	%
RSF — Real Estate Fund — A Class	4.2	%
PowerShares DB G10 Currency Harvest Fund	3.7	%
Top Ten Total	99.7	%

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

16 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

ALTERNATIVE STRATEGIES ALLOCATION FUND

	Shares		Value
CURRENCY EXCHANGE TRADED FUNDS† - 3.6%
PowerShares DB G10 Currency Harvest Fund		25,386	$	582,608
Total Currency Exchange Traded Funds (Cost $509,719)				582,608
EXCHANGE TRADED FUNDS† - 0.9%
iShares Barclays Aggregate Bond Fund		1,363		150,080
Total Exchange Traded Funds (Cost $149,924)				150,080
MUTUAL FUNDS†,1 - 96.0%
ALTERNATIVES FUNDS - 91.8%
RSF — Multi-Hedge Strategies Fund — A Class		116,729		2,631,062
RSF — Event Driven and Distressed Strategies Fund — A Class		106,704		2,526,754
RSF — Long Short Interest Rate Strategy Fund — A Class		101,652		2,409,148
RSF — Managed Futures Strategy Fund — A Class		89,417		2,205,032
RSF — Alternative Strategies Fund — A Class		64,939		1,531,913
RSF — Long Short Equity Strategy Fund — A Class		61,420		1,514,614
RSF — Long/Short Commodities Strategy Fund — A Class		43,513		1,074,759
RSF — Commodities Strategy Fund — A Class		50,528		775,095
Total Alternatives Funds				14,668,377
SPECIALTY FUND - 4.2%
RSF — Real Estate Fund — A Class		27,378		668,837
Total Mutual Funds (Cost $15,418,394)				15,337,214
Total Investments - 100.6% (Cost $16,078,037)			$	16,069,902
Liabilities, Less Cash & Other Assets — (0.6)%				(99,515	)
Total Net Assets - 100.0%			$	15,970,387

			Unrealized
	Contracts		Gain (Loss)
INTEREST RATE FUTURES CONTRACTS PURCHASED†
December 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $245,109)		2	$	(65	)
FUTURES CONTRACTS PURCHASED†
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $112,700)		2		(229	)
December 2011 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $128,775)		3		(3,679	)
December 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $134,290)		2		(9,404	)
October 2011 Hang Seng Index Futures Contracts (Aggregate Value of Contracts $109,779)		1		(13,726	)
(Total Aggregate Value of Contracts $485,544)			$	(27,038	)
CURRENCY FUTURES CONTRACTS SOLD SHORT†
December 2011 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $95,240)		1		6,667
December 2011 Australian Dollar Futures Contracts (Aggregate Value of Contracts $95,870)		1		6,396
December 2011 British Pound Futures Contracts (Aggregate Value of Contracts $97,375)		1		1,304
(Total Aggregate Value of Contracts $288,485)			$	14,367
FUTURES CONTRACTS SOLD SHORT†
December 2011 S&P/Toronto Stock Exchange 60 Index Futures Contracts (Aggregate Value of Contracts $126,660)		1		6,005
December 2011 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $97,054)		1		2,067
December 2011 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $78,257)		1		1,010
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $192,180)		3		343
October 2011 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $118,561)		3		(4,668	)
(Total Aggregate Value of Contracts $612,712)			$	4,757

†	Value determined based on Level 1 inputs — See Note 4.
1	A-Class shares of affiliated funds. RSF — Rydex Series Funds

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 17

ALTERNATIVE STRATEGIES ALLOCATION FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments in unaffiliated issuers, at value (cost $659,643)	$	732,688
Investments in affiliated issuers, at value (cost $15,418,394)		15,337,214
Segregated cash with broker		107,942
Receivables:
Fund shares sold		5,846
Total assets		16,183,690
Liabilities:
Overdraft due to custodian bank		150,708
Foreign currency, at value (Cost $9,256)		9,146
Payable for:
Fund shares redeemed		39,443
Distribution and service fees		1,895
Variation margin		2,240
Miscellaneous		9,871
Total liabilities		213,303
Net Assets	$	15,970,387
Net assets consist of:
Paid in capital	$	24,619,560
Undistributed net investment income		213,075
Accumulated net realized loss on investments		(8,846,162	)
Net unrealized depreciation on investments		(16,086	)
Net assets	$	15,970,387
A-Class:
Net assets	$	2,050,086
Capital shares outstanding		108,405
Net asset value per share	$	18.91
Maximum offering price per share (Net asset value divided by 95.25%)	$	19.85
C-Class:
Net assets	$	2,938,384
Capital shares outstanding		159,642
Net asset value per share	$	18.40
H-Class:
Net assets	$	10,981,917
Capital shares outstanding		580,754
Net asset value per share	$	18.91

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	18
Total investment income		18
Expenses:
Distribution and service fees:
C-Class		12,560
Miscellaneous		249
Total expenses		12,809
Net investment loss		(12,791	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in unaffiliated issuers		27,379
Investments in affiliated issuers		(50,040	)
Futures contracts		131,230
Foreign currency		41
Net realized gain		108,610
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(61,714	)
Investments in affiliated issuers		(1,265,791	)
Futures contracts		(4,542	)
Foreign currency		28
Net change in unrealized appreciation (depreciation)		(1,332,019	)
Net realized and unrealized loss		(1,223,409	)
Net decrease in net assets resulting from operations	$	(1,236,200	)

18 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ALTERNATIVE STRATEGIES ALLOCATION FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year Ended
	September 30, 2011			March 31,
	(Unaudited)			2011
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	(12,791	)	$	168,401
Net realized gain (loss) on investments		108,610			(1,253,912	)
Net change in unrealized appreciation (depreciation) on investments		(1,332,019	)		1,318,460
Net increase (decrease) in net assets resulting from operations		(1,236,200	)		232,949
Distributions to shareholders from:
Net investment income
A-Class		—			(28,424	)a
C-Class		—			(26,948	)a
H-Class		—			(106,353	)a
Net realized gains
A-Class		—			(44,683	)a
C-Class		—			(42,363	)a
H-Class		—			(167,188	)a
Total distributions to shareholders		—			(415,959	)
Capital share transactions:
Proceeds from sale of shares
A-Class		321,818			1,435,110
C-Class		742,894			812,636
H-Class		1,910,296			6,506,749
Redemption fees collected
A-Class		—			54
C-Class		—			68
H-Class		—			209
Distributions reinvested
A-Class		—			65,586
C-Class		—			66,099
H-Class		—			140,841
Cost of shares redeemed
A-Class		(1,362,537	)		(2,710,954	)
C-Class		(978,165	)		(4,349,793	)
H-Class		(4,217,805	)		(11,518,009	)
Net decrease from capital share transactions		(3,583,499	)		(9,551,404	)
Net decrease in net assets		(4,819,699	)		(9,734,414	)
Net assets:
Beginning of period		20,790,086			30,524,500
End of period	$	15,970,387		$	20,790,086
Undistributed net investment income at end of period	$	213,075		$	225,866
Capital share activity:
Shares sold
A-Class		16,153			72,012
C-Class		37,945			41,750
H-Class		95,814			330,334
Shares issued from reinvestment of distributions
A-Class		—			3,316
C-Class		—			3,412
H-Class		—			7,120
Shares redeemed
A-Class		(68,633	)		(137,310	)
C-Class		(50,559	)		(224,330	)
H-Class		(212,865	)		(585,220	)
Net decrease in shares		(182,145	)		(488,916	)

^a For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 19

ALTERNATIVE STRATEGIES ALLOCATION FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	20.24		$	20.16		$	19.33		$	24.84		$	25.00
Income (loss) from investment operations:
Net investment incomec		—	d		.17			—	d		.62			—	d
Net gain (loss) on investments (realized and unrealized)		(1.33	)		.27			.82			(5.69	)		(.16	)
Total from investment operations		(1.33	)		.44			.82			(5.07	)		(.16	)
Less distributions from:
Net investment income		—			(.14	)h		—			(.44	)h		—
Net realized gains		—			(.22	)h		—			(.03	)h		—
Total distributions		—			(.36	)		—			(.47	)		—
Redemption fees collected		—			—	e		.01			.03			—	e
Net asset value, end of period	$	18.91		$	20.24		$	20.16		$	19.33		$	24.84
Total Returnf		(6.57	%)		2.21	%		4.29	%		(20.39	%)		(0.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,050		$	3,257		$	4,492		$	5,816		$	1,121
Ratios to average net assets:
Net investment income		—	i		0.85	%		0.16	%		2.82	%		0.16	%
Total expensesg		—	i		—	i		—	i		—	i		—
Portfolio turnover rate		51	%		123	%		79	%		88	%		—

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	19.78		$	19.85		$	19.17		$	24.83		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		(.07	)		.01			(.14	)		.39			(.01	)
Net gain (loss) on investments (realized and unrealized)		(1.31	)		.28			.81			(5.60	)		(.16	)
Total from investment operations		(1.38	)		.29			.67			(5.21	)		(.17	)
Less distributions from:
Net investment income		—			(.14	)h		—			(.44	)h		—
Net realized gains		—			(.22	)h		—			(.03	)h		—
Total distributions		—			(.36	)		—			(.47	)		—
Redemption fees collected		—			—	e		.01			.02			—	e
Net asset value, end of period	$	18.40		$	19.78		$	19.85		$	19.17		$	24.83
Total Returnf		(6.98	%)		1.49	%		3.55	%		(21.00	%)		(0.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,938		$	3,407		$	6,975		$	7,750		$	152
Ratios to average net assets:
Net investment income (loss)		(0.75	%)		0.04	%		(0.58	%)		1.77	%		(0.56	%)
Total expensesg		0.75	%		0.75	%		0.75	%		0.75	%		0.68	%
Portfolio turnover rate		51	%		123	%		79	%		88	%		—

20 | the RYDEX | SGI series funds semi-annual report

ALTERNATIVE STRATEGIES ALLOCATION FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Year Ended			Year Ended			Year Ended			Period Ended
	September 30,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008b
Per Share Data
Net asset value, beginning of period	$	20.24		$	20.15		$	19.32		$	24.84		$	25.00
Income (loss) from investment operations:
Net investment incomec		—	d		.16			.01			.56			—	d
Net gain (loss) on investments (realized and unrealized)		(1.33	)		.29			.81			(5.63	)		(.16	)
Total from investment operations		(1.33	)		.45			.82			(5.07	)		(.16	)
Less distributions from:
Net investment income		—			(.14	)h		—			(.44	)h		—
Net realized gains		—			(.22	)h		—			(.03	)h		—
Total distributions		—			(.36	)		—			(.47	)		—
Redemption fees collected		—			—	e		.01			.02			—	e
Net asset value, end of period	$	18.91		$	20.24		$	20.15		$	19.32		$	24.84
Total Returnf		(6.57	%)		2.26	%		4.30	%		(20.43	%)		(0.64	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	10,982		$	14,126		$	19,057		$	18,528		$	3,893
Ratios to average net assets:
Net investment income		—	i		0.79	%		0.19	%		2.55	%		0.12	%
Total expensesg		—	i		—	i		—	i		—	i		—
Portfolio turnover rate		51	%		123	%		79	%		88	%		—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: March 7, 2008. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Net investment income is less than $0.01 per share.
e	Redemption fees collected are less than $0.01 per share.
f	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
g	Does not include expenses of the underlying funds in which the Fund invests.
h	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.
i	Less than 0.01%.

the RYDEX | SGI series funds semi-annual report | 21

FUND PROFILE (Unaudited) September 30, 2011

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

OBJECTIVE: Seeks to achieve capital growth.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

Ten Largest Holdings
(% of Total Net Assets)
iShares iBoxx $ High Yield Corporate Bond Fund	1.8	%
Fresenius Medical Care AG & Co. KGaA ADR	0.2	%
Royal Bank of Scotland Group plc ADR	0.2	%
Ford Motor Co.	0.2	%
Anadarko Petroleum Corp.	0.1	%
Exelon Corp.	0.1	%
Las Vegas Sands Corp.	0.1	%
American Tower Corp. — Class A	0.1	%
CenturyLink, Inc.	0.1	%
Capital One Financial Corp.	0.1	%
Top Ten Total	3.0	%

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

22 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

	Shares		Value
COMMON STOCKS† - 4.6%
CONSUMER DISCRETIONARY - 1.1%
Ford Motor Co.*		2,104	$	20,346
Las Vegas Sands Corp.*		400		15,336
Wynn Resorts Ltd.		67		7,710
Dollar General Corp.*		190		7,174
Limited Brands, Inc.		169		6,508
Macy’s, Inc.		237		6,238
DISH Network Corp. — Class A*		248		6,215
Liberty Global, Inc. — Class A*		138		4,993
The Gap, Inc.		303		4,921
Virgin Media, Inc.		175		4,261
Starwood Hotels & Resorts Worldwide, Inc.		108		4,193
Expedia, Inc.		151		3,888
AutoNation, Inc.*		106		3,475
Sears Holdings Corp.*		60		3,451
Netflix, Inc.*		29		3,282
Sirius XM Radio, Inc.*		2,111		3,188
JC Penney Company, Inc.		119		3,187
Charter Communications, Inc. — Class A*		62		2,904
Royal Caribbean Cruises Ltd.		124		2,683
Wyndham Worldwide Corp.		94		2,680
Cablevision Systems Corp. — Class A		161		2,533
Lear Corp.		59		2,531
MGM Resorts International*		267		2,480
Melco Crown Entertainment Ltd. — Class Participation Certificate ADR*		285		2,368
TRW Automotive Holdings Corp.*		68		2,226
PVH Corp.		37		2,155
Interpublic Group of Companies, Inc.		266		1,915
GameStop Corp. — Class A*		79		1,825
Sally Beauty Holdings, Inc.*		103		1,710
Foot Locker, Inc.		85		1,708
Mohawk Industries, Inc.*		38		1,631
DR Horton, Inc.		176		1,591
Penn National Gaming, Inc.		44		1,465
Jarden Corp.		51		1,441
Lennar Corp. — Class A		101		1,368
Toll Brothers, Inc.*		93		1,342
Goodyear Tire & Rubber Co.*		133		1,342
Hanesbrands, Inc.		53		1,326
Dillard’s, Inc. — Class A		30		1,304
Gannett Company, Inc.		132		1,258
Service Corporation International		132		1,209
Cinemark Holdings, Inc.		64		1,208
Visteon Corp.*		28		1,204
HSN, Inc.		33		1,093
Education Management Corp.*		73		1,083
Wendy’s Co.		232		1,065
Sotheby’s		37		1,020
Regal Entertainment Group — Class A		84		986
Brinker International, Inc.		47		983
Rent-A-Center, Inc.		35		961
Lamar Advertising Co. — Class A*		51		869
Tenneco, Inc.*		33		845
Pulte Group, Inc.*		212		837
Dana Holding Corp.*		79		829
Live Nation Entertainment, Inc.*		100		801
Penske Automotive Group, Inc.		50		800
Total Consumer Discretionary				167,945
ENERGY - 0.8%
Anadarko Petroleum Corp.		264		16,645
Chesapeake Energy Corp.		334		8,534
Williams Companies, Inc.		312		7,594
El Paso Corp.		409		7,149
Southwestern Energy Co.*		177		5,899
Peabody Energy Corp.		146		4,946
Range Resources Corp.		79		4,618
Continental Resources, Inc.*		95		4,595
Consol Energy, Inc.		122		4,139
Pioneer Natural Resources Co.		59		3,880
Concho Resources, Inc.*		54		3,842
Linn Energy LLC		95		3,388
HollyFrontier Corp.		113		2,963
Newfield Exploration Co.*		71		2,818
Baytex Energy Corp.		62		2,584
QEP Resources, Inc.		94		2,545
Cimarex Energy Co.		45		2,506
Denbury Resources, Inc.*		212		2,438
Whiting Petroleum Corp.*		62		2,175
Alpha Natural Resources, Inc.*		122		2,158
SM Energy Co.		33		2,001
Dresser-Rand Group, Inc.*		43		1,743
Plains Exploration & Production Co.		72		1,635
Arch Coal, Inc.		111		1,618
Tesoro Corp.		78		1,519
Brigham Exploration Co.*		60		1,516
Cie Generale de Geophysique — Veritas ADR*		81		1,427
Oil States International, Inc.*		28		1,426
Precision Drilling Corp.*		145		1,202
EXCO Resources, Inc.		109		1,168
SandRidge Energy, Inc.		210		1,168
Copano Energy LLC		38		1,133
Superior Energy Services, Inc.		43		1,128
Oasis Petroleum, Inc.*		48		1,072
CVR Energy, Inc.*		47		994
Berry Petroleum Co. — Class A		28		991
SEACOR Holdings, Inc.		12		962
Rosetta Resources, Inc.*		27		924
Unit Corp.*		25		923

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 23

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

	Shares		Value
Bill Barrett Corp.*		25	$	906
Teekay Corp.		39		882
Bristow Group, Inc.		20		849
McMoRan Exploration Co.*		85		844
Forest Oil Corp.*		58		835
Complete Production Services, Inc.*		42		792
Key Energy Services, Inc.*		78		740
Quicksilver Resources, Inc.*		93		705
Western Refining, Inc.*		48		598
W&T Offshore, Inc.		39		537
Patriot Coal Corp.*		47		398
Total Energy				128,052
FINANCIALS - 0.6%
Royal Bank of Scotland Group plc ADR*		3,067		21,868
Capital One Financial Corp.		278		11,017
Discover Financial Services		302		6,928
General Growth Properties, Inc.		528		6,389
Weyerhaeuser Co.		297		4,618
Host Hotels & Resorts, Inc.		376		4,114
Unum Group		172		3,605
CIT Group, Inc.*		111		3,371
KeyCorp		529		3,137
Leucadia National Corp.		135		3,062
SL Green Realty Corp.		46		2,675
CBRE Group, Inc. — Class A*		176		2,369
Regions Financial Corp.		684		2,278
DDR Corp.		152		1,657
E*Trade Financial Corp.*		156		1,421
Zions Bancorporation		101		1,421
TFS Financial Corp.*		171		1,390
American Capital Ltd.*		196		1,337
CapitalSource, Inc.		180		1,105
Forest City Enterprises, Inc. — Class A*		96		1,023
Entertainment Properties Trust		25		975
Credit Acceptance Corp.*		14		901
Omega Healthcare Investors, Inc.		56		892
First Citizens BancShares, Inc. — Class A		6		861
First Horizon National Corp.		144		858
MBIA, Inc.*		109		792
CNO Financial Group, Inc.*		140		757
Total Financials				90,821
HEALTH CARE - 0.5%
Fresenius Medical Care AG & Co. KGaA ADR		382		25,796
Boston Scientific Corp.*		1,023		6,046
Valeant Pharmaceuticals International, Inc.		157		5,828
Mylan, Inc.*		246		4,182
Life Technologies Corp.*		99		3,805
Elan Corp. plc ADR*		326		3,433
DaVita, Inc.*		53		3,322
Universal Health Services, Inc. — Class B		75		2,550
Coventry Health Care, Inc.*		82		2,362
Warner Chilcott plc — Class A*		140		2,002
Endo Pharmaceuticals Holdings, Inc.		65		1,819
Omnicare, Inc.		65		1,653
Bio-Rad Laboratories, Inc. — Class A*		16		1,452
Health Net, Inc.*		50		1,185
Teleflex, Inc.		22		1,183
Tenet Healthcare Corp.*		270		1,115
LifePoint Hospitals, Inc.*		29		1,063
Owens & Minor, Inc.		35		997
Health Management Associates, Inc. — Class A*		139		962
Alere, Inc.*		47		924
Community Health Systems, Inc.		52		865
HealthSouth Corp.*		54		806
Centene Corp.*		28		803
Total Health Care				74,153
INDUSTRIALS - 0.4%
L-3 Communications Holdings, Inc.		59		3,656
United Continental Holdings, Inc.*		186		3,605
Iron Mountain, Inc.		113		3,573
Delta Air Lines, Inc.*		474		3,555
CNH Global N.V.*		133		3,490
Verisk Analytics, Inc. — Class A*		100		3,477
Kansas City Southern*		61		3,047
Sensata Technologies Holding N.V.*		95		2,514
TransDigm Group, Inc.*		28		2,287
Hertz Global Holdings, Inc.*		231		2,056
BE Aerospace, Inc.		58		1,920
RR Donnelley & Sons Co.		113		1,596
Owens Corning*		69		1,496
Clean Harbors, Inc.*		29		1,488
Wabtec Corp.		27		1,427
Polypore International, Inc.		25		1,413
Masco Corp.		197		1,403
Spirit Aerosystems Holdings, Inc. — Class A*		86		1,372
Corrections Corporation of America*		60		1,361
TAM S.A. ADR		87		1,355
Triumph Group, Inc.		27		1,316
Navistar International Corp.		40		1,285
SPX Corp.		28		1,269
Hexcel Corp.*		55		1,219
Covanta Holding Corp.		80		1,215
Alliant Techsystems, Inc.		19		1,036
Esterline Technologies Corp.*		17		881
WESCO International, Inc.*		26		872

24 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (continued) September 30, 2011

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

	Shares		Value
Gol Linhas Aereas Inteligentes S.A. ADR		150	$	834
Moog, Inc. — Class A*		25		815
Oshkosh Corp.*		51		803
General Cable Corp.*		29		677
Terex Corp.*		60		616
Swift Transportation Co.*		77		496
Manitowoc Company, Inc.		72		483
Total Industrials				59,908
TELECOMMUNICATION SERVICES - 0.3%
American Tower Corp. — Class A*		216		11,621
CenturyLink, Inc.		334		11,062
Crown Castle International Corp.*		159		6,467
Sprint Nextel Corp.*		1,658		5,040
Frontier Communications Corp.		559		3,416
Windstream Corp.		284		3,311
NII Holdings, Inc.*		95		2,560
SBA Communications Corp. — Class A*		63		2,172
MetroPCS Communications, Inc.*		197		1,716
Level 3 Communications, Inc.*		932		1,389
tw telecom, Inc. — Class A*		83		1,371
Clearwire Corp. — Class A*		548		1,277
Global Crossing Ltd.*		33		789
Total Telecommunication Services				52,191
UTILITIES - 0.3%
Exelon Corp.		366		15,595
FirstEnergy Corp.		232		10,419
AES Corp.*		435		4,246
Ameren Corp.		134		3,989
Calpine Corp.*		244		3,435
Northeast Utilities		98		3,298
NRG Energy, Inc.*		132		2,800
CMS Energy Corp.		140		2,771
N.V. Energy, Inc.		130		1,912
GenOn Energy, Inc.*		417		1,159
Total Utilities				49,624
MATERIALS - 0.3%
CF Industries Holdings, Inc.		38		4,689
Ball Corp.		93		2,885
Celanese Corp. — Class A		86		2,798
Nalco Holding Co.		77		2,693
Crown Holdings, Inc.*		86		2,632
MeadWestvaco Corp.		94		2,309
Vulcan Materials Co.		72		1,984
Ashland, Inc.		43		1,898
Rock-Tenn Co. — Class A		38		1,850
United States Steel Corp.		79		1,739
Scotts Miracle-Gro Co. — Class A		36		1,606
Sealed Air Corp.		89		1,486
Silgan Holdings, Inc.		39		1,433
Rockwood Holdings, Inc.*		42		1,415
Owens-Illinois, Inc.		90		1,361
Huntsman Corp.		132		1,276
Westlake Chemical Corp.		36		1,234
NewMarket Corp.		8		1,215
Compass Minerals International, Inc.		18		1,202
Steel Dynamics, Inc.		120		1,190
Greif, Inc. — Class A		25		1,072
Methanex Corp.		51		1,063
Solutia, Inc.*		66		848
AbitibiBowater, Inc.*		53		795
Olin Corp.		44		792
Graphic Packaging Holding Co.*		210		725
Total Materials				44,190
INFORMATION TECHNOLOGY - 0.2%
Fidelity National Information Services, Inc.		169		4,110
Alcatel-Lucent ADR*		1,285		3,637
Seagate Technology plc		236		2,426
Equinix, Inc.*		26		2,310
Jabil Circuit, Inc.		121		2,153
NXP Semiconductor N.V.*		142		2,005
Solera Holdings, Inc.		39		1,969
Advanced Micro Devices, Inc.*		381		1,935
Brocade Communications Systems, Inc.*		260		1,123
EchoStar Corp. — Class A*		48		1,085
Anixter International, Inc.		19		901
Viasat, Inc.*		23		766
CoreLogic, Inc.*		62		662
Total Information Technology				25,082
CONSUMER STAPLES - 0.1%
Tyson Foods, Inc. — Class A		211		3,663
Constellation Brands, Inc. — Class A*		118		2,124
Smithfield Foods, Inc.		92		1,794
TreeHouse Foods, Inc.*		20		1,237
Dean Foods Co.*		103		914
Darling International, Inc.		63		793
SUPERVALU, Inc.		116		772
Total Consumer Staples				11,297
Total Common Stocks (Cost $899,422)				703,263
EXCHANGE TRADED FUND†- 1.8%
iShares iBoxx $ High Yield Corporate Bond Fund		3,200		264,736
Total Exchange Traded Fund (Cost $276,011)				264,736

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 25

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTES†† - 59.6%
Fannie Mae1
0.10% due 12/14/11	$	3,000,000	$	2,999,880
0.23% due 04/02/12		3,000,000		2,999,395
Total Fannie Mae				5,999,275
Freddie Mac1
0.22% due 01/18/12		3,000,000		2,999,823
Total Federal Agency Discount Notes (Cost $8,993,828)				8,999,098
REPURCHASE AGREEMENTS††,2 - 12.8%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		1,044,528		1,044,528
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		516,598		516,598
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		367,135		367,135
Total Repurchase Agreements (Cost $1,928,261)				1,928,261
Total Investments - 78.8% (Cost $12,097,522)			$	11,895,358
Cash & Other Assets, Less Liabilities - 21.2%				3,201,203
Total Net Assets - 100.0%			$	15,096,561

			Unrealized
	Units		Loss
CORPORATE BOND INDEX SWAP AGREEMENT††
Credit Suisse Capital LLC October 2011 iShares iBoxx High Yield Corporate Bond Fund Index Swap, Terminating 10/31/113 (Notional Value $7,595,510)		91,811	$	(163,579	)
EQUITY INDEX SWAP AGREEMENT††
Credit Suisse Capital LLC October 2011 Russell 2000 Index Swap, Terminating 10/31/114 (Notional Value $2,347,563)		3,644		(67,832	)

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
2	Repurchase Agreements — See Note 5.
3	Total Return based on iShares iBoxx High Yield Corporate Bond Fund Index +/- financing at a variable rate.
4	Total Return based on Russell 2000 Index +/- financing at a variable rate.
	ADR — American Depositary Receipt
	plc — Public Limited Company

26 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $10,169,261)	$	9,967,097
Repurchase agreements, at value (cost $1,928,261)		1,928,261
Segregated cash with broker		3,556,376
Receivables:
Dividends		344
Fund shares sold		48
Total assets		15,452,126
Liabilities:
Unrealized depreciation on swap agreements		231,411
Payable for:
Fund shares redeemed		57,710
Licensing fees		37,922
Management fees		11,591
Distribution and service fees		3,929
Transfer agent and administrative fees		3,220
Portfolio accounting fees		1,288
Miscellaneous		8,494
Total liabilities		355,565
Net assets	$	15,096,561
Net assets consist of :
Paid in capital	$	16,902,135
Accumulated net investment loss		(169,394	)
Accumulated net realized loss on investments		(1,202,605	)
Net unrealized depreciation on investments		(433,575	)
Net assets	$	15,096,561
A-Class:
Net assets	$	6,813,056
Capital shares outstanding		287,658
Net asset value per share	$	23.68
Maximum offering price per share (Net asset value divided by 95.25%)	$	24.86
C-Class:
Net assets	$	1,175,458
Capital shares outstanding		50,176
Net asset value per share	$	23.42
H-Class:
Net assets	$	6,901,088
Capital shares outstanding		291,365
Net asset value per share	$	23.68
Institutional Class:
Net assets	$	206,959
Capital shares outstanding		8,709
Net asset value per share	$	23.76

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income :
Dividends (net of foreign withholding tax of $34)	$	13,111
Interest		12,142
Total investment income		25,253
Expenses:
Management fees		90,971
Transfer agent and administrative fees		25,270
Distribution and service fees:
A-Class		11,832
C-Class		7,273
H- Class		11,449
Portfolio accounting fees		10,108
Licensing fees		30,163
Trustees’ fees*		640
Prime broker interest expense		275
Miscellaneous		16,410
Total expenses		204,391
Less expenses waived by Advisor		(9,744	)
Net expenses		194,647
Net investment loss		(169,394	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(150,584	)
Swap agreements		(1,408,624	)
Futures contracts		(11,236	)
Securities sold short		7,316
Net realized loss		(1,563,128	)
Net change in unrealized appreciation (depreciation) on:
Investments		(205,337	)
Swap agreements		(401,079	)
Net change in unrealized appreciation (depreciation)		(606,416	)
Net realized and unrealized loss		(2,169,544	)
Net decrease in net assets resulting from operations	$	(2,338,938	)

* 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 | SGI series funds semi- annual report  |  27

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	September 30,			Period Ended
	2011			March 31,
	(Unaudited)			2011a
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(169,394	)	$	(157,395	)
Net realized gain (loss) on investments		(1,563,128	)		1,757,786
Net change in unrealized appreciation (depreciation) on investments		(606,416	)		175,841
Net increase (decrease) in net assets resulting from operations		(2,338,938	)		1,773,232
Distributions to shareholders from:
Net realized gains
A-Class		—			(585,261	)
C-Class		—			(53,531	)
H-Class		—			(238,566	)
Institutional Class		—			(984	)
Total distributions to shareholders		—			(878,342	)
Capital share transactions:
Proceeds from sale of shares
A-Class		8,862,424			23,804,628
C-Class		405,712			1,566,171
H-Class		11,203,764			10,028,018
Institutional Class		199,860			66,975
Redemption fees collected
A-Class		—			144
C-Class		—			—	b
H-Class		—			26
Institutional Class		—			—	b
Distributions reinvested
A-Class		—			547,724
C-Class		—			38,503
H-Class		—			222,004
Institutional Class		—			984
Cost of shares redeemed
A-Class		(12,581,465	)		(13,391,287	)
C-Class		(401,983	)		(253,411	)
H-Class		(12,121,370	)		(1,616,324	)
Institutional Class		(30,269	)		(10,219	)
Net increase (decrease) from capital share transactions		(4,463,327	)		21,003,936
Net increase (decrease) in net assets		(6,802,265	)		21,898,826
Net assets:
Beginning of year		21,898,826			—
End of year	$	15,096,561		$	21,898,826
Accumulated net investment loss at end of year	$	(169,394	)	$	—
Capital share activity:
Shares sold
A-Class		334,619			917,830
C-Class		15,488			59,379
H-Class		421,242			383,699
Institutional Class		7,642			2,546
Shares issued from reinvestment of distributions
A-Class		—			21,530
C-Class		—			1,521
H-Class		—			8,727
Institutional Class		—			39
Shares redeemed
A-Class		(478,514	)		(507,807	)
C-Class		(16,426	)		(9,786	)
H-Class		(460,741	)		(61,562	)
Institutional Class		(1,130	)		(388	)
Net increase (decrease) in shares		(177,820	)		815,728

a	Since commencement of operations: June 30, 2010.
b	Redemption fees collected are less than $1.00.

28 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Period Ended
	September 30,			March 31,
A-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.86		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.21	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		(2.97	)		4.27
Total from investment operations		(3.18	)		3.94
Less distributions from:
Net realized gains		—			(2.08	)
Total distributions		—			(2.08	)
Net asset value, end of period	$	23.68		$	26.86
Total Returnd		(11.84	%)		16.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,813		$	11,591
Ratios to average net assets:
Net investment loss		(1.63	%)		(1.65	%)
Total expenses		1.97	%		2.03	%
Net expensese		1.87	%		1.89	%
Portfolio turnover rate		351	%		—

	Period Ended			Period Ended
	September 30,			March 31,
C-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.67		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.31	)		(.48	)
Net gain (loss) on investments (realized and unrealized)		(2.94	)		4.23
Total from investment operations		(3.25	)		3.75
Less distributions from:
Net realized gains		—			(2.08	)
Total distributions		—			(2.08	)
Net asset value, end of period	$	23.42		$	26.67
Total Returnd		(12.19	%)		15.46	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,175		$	1,363
Ratios to average net assets:
Net investment loss		(2.37	%)		(2.42	%)
Total expenses		2.71	%		2.79	%
Net expensese		2.62	%		2.65	%
Portfolio turnover rate		351	%		—

the RYDEX | SGI series funds semi-annual report | 29

EVENT DRIVEN AND DISTRESSED STRATEGIES FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Period Ended
	September 30,			March 31,
H-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.86		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.21	)		(.33	)
Net gain (loss) on investments (realized and unrealized)		(2.97	)		4.27
Total from investment operations		(3.18	)		3.94
Less distributions from:
Net realized gains		—			(2.08	)
Total distributions		—			(2.08	)
Net asset value, end of period	$	23.68		$	26.86
Total Returnd		(11.84	%)		16.24	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,901		$	8,886
Ratios to average net assets:
Net investment loss		(1.62	%)		(1.67	%)
Total expenses		1.97	%		2.04	%
Net expensese		1.87	%		1.90	%
Portfolio turnover rate		351	%		—

	Period Ended			Period Ended
	September 30,			March 31,
Institutional Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.91		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.18	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		(2.97	)		4.26
Total from investment operations		(3.15	)		3.99
Less distributions from:
Net realized gains		—			(2.08	)
Total distributions		—			(2.08	)
Net asset value, end of period	$	23.76		$	26.91
Total Returnd		(11.71	%)		16.45	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	207		$	59
Ratios to average net assets:
Net investment loss		(1.37	%)		(1.42	%)
Total expenses		1.67	%		1.79	%
Net expensese		1.60	%		1.65	%
Portfolio turnover rate		351	%		—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment loss per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Net expense information reflects the expense ratios after expense waivers.

30 | the RYDEX | SGI series funds semi-annual report

FUND PROFILE (Unaudited) September 30, 2011

ALTERNATIVE STRATEGIES FUND

OBJECTIVE: Seeks to achieve long-term capital appreciation.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

The Fund invests principally in derivative investments such as futures contracts.

the RYDEX | SGI series funds semi-annual report | 31

SCHEDULE OF INVESTMENTS (Unaudited)

ALTERNATIVE STRATEGIES FUND September 30, 2011

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 99.0%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	1,867,121	$	1,867,121
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		923,433		923,433
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		656,264		656,264
Total Repurchase Agreements (Cost $3,446,818)				3,446,818
Total Investments - 99.0% (Cost $3,446,818)			$	3,446,818
Cash & Other Assets, Less Liabilities - 1.0%				36,559
Total Net Assets - 100.0%			$	3,483,377

			Unrealized
	Contracts		Gain (Loss)
FUTURES CONTRACTS PURCHASED†
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $64,060)		1	$	(3,093	)
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $450,800)		8		(10,111	)
December 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $402,870)		6		(18,095	)
December 2011 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $294,455)		7		(49,049	)
(Total Aggregate Value of Contracts $1,212,185)			$	(80,348	)
CURRENCY FUTURES CONTRACTS SOLD SHORT†
December 2011 EURO Currency Futures Contracts (Aggregate Value of Contracts $334,775)		2		6,345

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.

32 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ALTERNATIVE STRATEGIES FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Repurchase agreements, at value (cost $3,446,818)	$	3,446,818
Segregated cash with broker		123,450
Prepaid expenses		505
Total assets		3,570,773
Liabilities:
Payable for:
Variation margin		41,540
Fund shares redeemed		29,956
Licensing fees		9,288
Management fees		2,703
Distribution and service fees		831
Transfer agent and administrative fees		751
Portfolio accounting fees		300
Miscellaneous		2,027
Total liabilities		87,396
Net assets	$	3,483,377
Net assets consist of:
Paid in capital	$	3,723,372
Accumulated net investment loss		(39,410	)
Accumulated net realized loss on investments		(126,582	)
Net unrealized depreciation on investments		(74,003	)
Net assets	$	3,483,377
A-Class:
Net assets	$	2,178,855
Capital shares outstanding		92,359
Net asset value per share	$	23.59
Maximum offering price per share (Net asset value divided by 95.25%)	$	24.77
C-Class:
Net assets	$	137,645
Capital shares outstanding		5,891
Net asset value per share	$	23.36
H-Class:
Net assets	$	1,138,476
Capital shares outstanding		48,258
Net asset value per share	$	23.59
Institutional Class:
Net assets	$	28,401
Capital shares outstanding		1,200
Net asset value per share	$	23.66

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	2,429
Total investment income		2,429
Expenses:
Management fees		19,697
Transfer agent and administrative fees		5,471
Distribution and service fees:
A-Class		3,511
C-Class		468
H-Class		1,817
Portfolio accounting fees		2,189
Licensing fees		8,754
Trustees’ fees*		166
Miscellaneous		3,526
Total expenses		45,599
Less expenses waived by Advisor		(3,760	)
Net expenses		41,839
Net investment loss		(39,410	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Futures contracts		(146,700	)
Net realized loss		(146,700	)
Net change in unrealized appreciation (depreciation) on:
Investments		(1,576	)
Futures contracts		(129,943	)
Net change in unrealized appreciation (depreciation)		(131,519	)
Net realized and unrealized loss		(278,219	)
Net decrease in net assets resulting from operations	$	(317,629	)

* 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 | SGI series funds semi-annual report | 33

ALTERNATIVE STRATEGIES FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Period
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011a
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(39,410	)	$	(56,730	)
Net realized gain (loss) on investments		(146,700	)		310,930
Net change in unrealized appreciation (depreciation) on investments		(131,519	)		57,516
Net increase (decrease) in net assets resulting from operations		(317,629	)		311,716
Distributions to shareholders from:
Net realized gains
A-Class		—			(138,451	)
C-Class		—			(2,119	)
H-Class		—			(67,622	)
Institutional Class		—			(496	)
Total distributions to shareholders		—			(208,688	)
Capital share transactions:
Proceeds from sale of shares
A-Class		2,452,914			4,899,753
C-Class		101,903			96,599
H-Class		1,356,693			2,713,303
Institutional Class		19,627			10,000
Distributions reinvested
A-Class		—			137,098
C-Class		—			1,383
H-Class		—			67,621
Institutional Class		—			496
Cost of shares redeemed
A-Class		(3,575,022	)		(1,616,918	)
C-Class		(18,205	)		(32,330	)
H-Class		(1,902,980	)		(1,013,957	)
Institutional Class		—			—
Net increase (decrease) from capital share transactions		(1,565,070	)		5,263,048
Net increase (decrease) in net assets		(1,882,699	)		5,366,076
Net assets:
Beginning of year		5,366,076			—
End of year	$	3,483,377		$	5,366,076
Accumulated net investment loss at end of year	$	(39,410	)	$	—
Capital share activity:
Shares sold
A-Class		96,501			194,909
C-Class		4,042			3,792
H-Class		53,292			106,986
Institutional Class		780			400
Shares issued from reinvestment of distributions
A-Class		—			5,430
C-Class		—			55
H-Class		—			2,678
Institutional Class		—			20
Shares redeemed
A-Class		(141,684	)		(62,797	)
C-Class		(721	)		(1,277	)
H-Class		(75,183	)		(39,515	)
Institutional Class		—			—
Net increase (decrease) in shares		(62,973	)		210,681

^a Since commencement of operations: June 30, 2010.

34 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

ALTERNATIVE STRATEGIES FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Period Ended
	September 30,			March 31,
A-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	25.47		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.22	)		(.32	)
Net gain (loss) on investments (realized and unrealized)		(1.66	)		2.03
Total from investment operations		(1.88	)		1.71
Less distributions from:
Net realized gains		—			(1.24	)
Total distributions		—			(1.24	)
Net asset value, end of period	$	23.59		$	25.47
Total Returnd		(7.38	%)		6.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,179		$	3,503
Ratios to average net assets:
Net investment loss		(1.79	%)		(1.63	%)
Total expenses		2.07	%		2.08	%
Net expensese		1.90	%		1.89	%
Portfolio turnover rate		—			—

	Period Ended			Period Ended
	September 30,			March 31,
C-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	25.33		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.32	)		(.46	)
Net gain (loss) on investments (realized and unrealized)		(1.65	)		2.03
Total from investment operations		(1.97	)		1.57
Less distributions from:
Net realized gains		—			(1.24	)
Total distributions		—			(1.24	)
Net asset value, end of period	$	23.36		$	25.33
Total Returnd		(7.78	%)		6.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	138		$	65
Ratios to average net assets:
Net investment loss		(2.56	%)		(2.38	%)
Total expenses		2.82	%		2.84	%
Net expensese		2.65	%		2.64	%
Portfolio turnover rate		—			—

the RYDEX | SGI series funds semi-annual report | 35

ALTERNATIVE STRATEGIES FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Period Ended
	September 30,			March 31,
H-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	25.47		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.22	)		(.32	)
Net gain (loss) on investments (realized and unrealized)		(1.66	)		2.03
Total from investment operations		(1.88	)		1.71
Less distributions from:
Net realized gains		—			(1.24	)
Total distributions		—			(1.24	)
Net asset value, end of period	$	23.59		$	25.47
Total Returnd		(7.38	%)		6.89	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,138		$	1,787
Ratios to average net assets:
Net investment loss		(1.78	%)		(1.63	%)
Total expenses		2.07	%		2.08	%
Net expensese		1.90	%		1.89	%
Portfolio turnover rate		—			—

	Period Ended			Period Ended
	September 30,			March 31,
Institutional Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	25.52		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.20	)		(.27	)
Net gain (loss) on investments (realized and unrealized)		(1.66	)		2.03
Total from investment operations		(1.86	)		1.76
Less distributions from:
Net realized gains		—			(1.24	)
Total distributions		—			(1.24	)
Net asset value, end of period	$	23.66		$	25.52
Total Returnd		(7.29	%)		7.09	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	28		$	11
Ratios to average net assets:
Net investment loss		(1.58	%)		(1.38	%)
Total expenses		1.82	%		1.83	%
Net expensese		1.65	%		1.64	%
Portfolio turnover rate		—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment loss per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Net expense information reflects the expense ratios after expense waivers.

36 | the RYDEX | SGI series funds semi-annual report

FUND PROFILE (Unaudited) September 30, 2011

LONG SHORT EQUITY STRATEGY FUND

OBJECTIVE: Seeks to achieve long-term capital appreciation with less volatility than the S&P 500 Index.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

The Fund invests principally in exchange traded funds and futures contracts.

the RYDEX | SGI series funds semi-annual report | 37

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

LONG SHORT EQUITY STRATEGY FUND

	Face
	Amount		Value
FEDERAL AGENCY DISCOUNT NOTE†† - 17.7%
Freddie Mac1
0.10% due 12/14/11	$	1,000,000	$	999,960
Total Federal Agency Discount Note (Cost $999,784)				999,960
FEDERAL AGENCY NOTE†† - 17.6%
Federal Home Loan Bank2 0.13% due 05/15/12		1,000,000		999,169
Total Federal Agency Note (Cost $999,667)				999,169
REPURCHASE AGREEMENTS††,3 - 33.6%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		1,031,232		1,031,232
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		510,022		510,022
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		362,462		362,462
Total Repurchase Agreements (Cost $1,903,716)				1,903,716
Total Long Investments - 68.9% (Cost $3,903,167)			$	3,902,845

	Shares		Value
EXCHANGE TRADED FUND SOLD SHORT† - (19.1)%
Consumer Discretionary Select Sector SPDR Fund		31,000	$	(1,082,520	)
Total Exchange Traded Fund Sold Short (Proceeds $1,167,943)				(1,082,520	)
Cash & Other Assets, Less Liabilities - 50.2%				2,841,878
Total Net Assets - 100.0%			$	5,662,203

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 NASDAQ-100 Index Mini Futures Contracts (Aggregate Value of Contracts $1,622,030)		38	$	(25,551	)
December 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $872,885)		13		(61,126	)
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $1,729,620)		27		(189,043	)
(Total Aggregate Value of Contracts $4,224,535)			$	(275,720	)

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
2	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreements — See Note 5.

38 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

LONG SHORT EQUITY STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $1,999,451)	$	1,999,129
Repurchase agreements, at value (cost $1,903,716)		1,903,716
Segregated cash with broker		3,033,471
Prepaid expenses		572
Receivables:
Interest		166
Total assets		6,937,054
Liabilities:
Securities sold short, at value (proceeds $1,167,943)		1,082,520
Payable for:
Variation margin		134,370
Fund shares redeemed		34,803
Management fees		4,361
Distribution and service fees		1,317
Transfer agent and administrative fees		1,211
Portfolio accounting fees		485
Miscellaneous		15,784
Total liabilities		1,274,851
Net Assets	$	5,662,203
Net assets consist of:
Paid in capital	$	6,002,034
Accumulated net investment loss		(77,173	)
Accumulated net realized loss on investments		(72,039	)
Net unrealized depreciation on investments		(190,619	)
Net assets	$	5,662,203
A-Class:
Net assets	$	3,604,502
Capital shares outstanding		146,197
Net asset value per share	$	24.65
Maximum offering price per share (Net asset value divided by 95.25%)	$	25.88
C-Class:
Net assets	$	199,723
Capital shares outstanding		8,177
Net asset value per share	$	24.42
H-Class:
Net assets	$	1,744,252
Capital shares outstanding		70,746
Net asset value per share	$	24.65
Institutional Class:
Net assets	$	113,726
Capital shares outstanding		4,598
Net asset value per share	$	24.73

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment income:
Dividends	$	5,045
Interest		1,895
Total investment income		6,940
Expenses:
Management fees		31,811
Transfer agent and administrative fees		8,836
Distribution and service fees:
A-Class		5,595
C-Class		973
H-Class		2,917
Portfolio accounting fees		3,535
Short sales dividend expense		14,457
Licensing fees		12,371
Prime broker interest expense		1,954
Trustees’ fees*		198
Miscellaneous		5,750
Total expenses		88,397
Less expenses waived by Advisor		(4,284	)
Net expenses		84,113
Net investment loss		(77,173	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(204,907	)
Futures contracts		(154,335	)
Securities sold short		204,386
Net realized loss		(154,856	)
Net change in unrealized appreciation (depreciation) on:
Investments		(88,415	)
Securities sold short		140,231
Futures contracts		(334,126	)
Net change in unrealized appreciation (depreciation)		(282,310	)
Net realized and unrealized loss		(437,166	)
Net decrease in net assets resulting from operations	$	(514,339	)

* 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 | SGI series funds semi-annual report | 39

LONG SHORT EQUITY STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	September 30,			Period Ended
	2011			March 31,
	(Unaudited)			2011a
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(77,173	)	$	(48,229	)
Net realized gain (loss) on investments		(154,856	)		381,521
Net change in unrealized appreciation (depreciation) on investments		(282,310	)		91,691
Net increase (decrease) in net assets resulting from operations		(514,339	)		424,983
Distributions to shareholders from:
Net realized gains
A-Class		—			(138,650	)
C-Class		—			(11,501	)
H-Class		—			(73,618	)
Institutional Class		—			(746	)
Total distributions to shareholders		—			(224,515	)
Capital share transactions:
Proceeds from sale of shares
A-Class		3,944,826			4,544,525
C-Class		88,644			221,155
H-Class		2,564,806			3,147,114
Institutional Class		90,426			52,500
Distributions reinvested
A-Class		—			138,650
C-Class		—			11,501
H-Class		—			73,616
Institutional Class		—			746
Cost of shares redeemed
A-Class		(3,660,445	)		(1,168,664	)
C-Class		(64,169	)		(41,123	)
H-Class		(2,654,477	)		(1,285,677	)
Institutional Class		(27,880	)		—
Net increase from capital share transactions		281,731			5,694,343
Net increase (decrease) in net assets		(232,608	)		5,894,811
Net assets:
Beginning of year		5,894,811			—
End of year	$	5,662,203		$	5,894,811
Accumulated net investment loss at end of year	$	(77,173	)	$	—
Capital share activity:
Shares sold
A-Class		147,298			176,581
C-Class		3,442			8,371
H-Class		94,599			121,888
Institutional Class		3,602			2,012
Shares issued from reinvestment of distributions
A-Class		—			5,401
C-Class		—			450
H-Class		—			2,869
Institutional Class		—			29
Shares redeemed
A-Class		(138,507	)		(44,576	)
C-Class		(2,485	)		(1,601	)
H-Class		(99,227	)		(49,383	)
Institutional Class		(1,045	)		—
Net increase in shares		7,677			222,041

^a Since commencement of operations: June 30, 2010.

40 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

LONG SHORT EQUITY STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Period Ended
	September 30,			March 31,
A-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.55		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.29	)		(.36	)
Net gain (loss) on investments (realized and unrealized)		(1.61	)		3.78
Total from investment operations		(1.90	)		3.42
Less distributions from:
Net realized gains		—			(1.87	)
Total distributions		—			(1.87	)
Net asset value, end of period	$	24.65		$	26.55
Total Returnd		(7.16	%)		13.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,605		$	3,648
Ratios to average net assets:
Net investment loss		(2.17	%)		(1.86	%)
Total expenses		2.49	%		2.52	%
Net expensese		2.37	%		2.38	%
Operating expensesf		1.90	%		1.90	%
Portfolio turnover rate		188	%		142	%

	Period Ended			Period Ended
	September 30,			March 31,
C-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.40		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.38	)		(.49	)
Net gain (loss) on investments (realized and unrealized)		(1.60	)		3.76
Total from investment operations		(1.98	)		3.27
Less distributions from:
Net realized gains		—			(1.87	)
Total distributions		—			(1.87	)
Net asset value, end of period	$	24.42		$	26.40
Total Returnd		(7.50	%)		13.30	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	200		$	191
Ratios to average net assets:
Net investment loss		(2.93	%)		(2.48	%)
Total expenses		3.25	%		3.23	%
Net expensese		3.13	%		3.08	%
Operating expensesf		2.65	%		2.65	%
Portfolio turnover rate		188	%		142	%

the RYDEX | SGI series funds semi-annual report | 41

LONG SHORT EQUITY STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Period Ended
	September 30,			March 31,
H-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.55		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.29	)		(.36	)
Net gain (loss) on investments (realized and unrealized)		(1.61	)		3.78
Total from investment operations		(1.90	)		3.42
Less distributions from:
Net realized gains		—			(1.87	)
Total distributions		—			(1.87	)
Net asset value, end of period	$	24.65		$	26.55
Total Returnd		(7.16	%)		13.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,744		$	2,001
Ratios to average net assets:
Net investment loss		(2.15	%)		(1.85	%)
Total expenses		2.47	%		2.50	%
Net expensese		2.34	%		2.36	%
Operating expensesf		1.90	%		1.89	%
Portfolio turnover rate		188	%		142	%

	Period Ended			Period Ended
	September 30,			March 31,
Institutional Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.60		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.26	)		(.28	)
Net gain (loss) on investments (realized and unrealized)		(1.61	)		3.75
Total from investment operations		(1.87	)		3.47
Less distributions from:
Net realized gains		—			(1.87	)
Total distributions		—			(1.87	)
Net asset value, end of period	$	24.73		$	26.60
Total Returnd		(7.03	%)		14.12	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	114		$	54
Ratios to average net assets:
Net investment loss		(1.99	%)		(1.45	%)
Total expenses		2.27	%		2.33	%
Net expensese		2.15	%		2.19	%
Operating expensesf		1.65	%		1.65	%
Portfolio turnover rate		188	%		142	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment loss per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Net expense information reflects the expense ratios after expense waivers.
f	Operating expenses exclude interest and dividend expense from securities sold short.

42 | the RYDEX | SGI series funds semi-annual report

FUND PROFILE (Unaudited) September 30, 2011

LONG SHORT INTEREST RATE STRATEGY FUND

OBJECTIVE: Seeks to maximize total return by taking advantage of price movements in the U.S. Treasury bond market.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	June 30, 2010
C-Class	June 30, 2010
H-Class	June 30, 2010
Institutional Class	June 30, 2010

The Fund invests principally in derivative investments such as futures contracts.

the RYDEX | SGI series funds semi-annual report | 43

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

LONG SHORT INTEREST RATE STRATEGY FUND

	FACE
	AMOUNT		VALUE
FEDERAL AGENCY DISCOUNT NOTES†† - 88.3%
Freddie Mac1
0.24% due 11/01/11	$	10,000,000	$	9,999,840
0.22% due 12/01/11		10,000,000		9,999,670
0.22% due 01/18/12		10,000,000		9,999,410
0.23% due 03/14/12		10,000,000		9,998,640
Total Freddie Mac				39,997,560
Fannie Mae1
0.10% due 12/14/11		15,000,000		14,999,400
0.23% due 02/21/12		10,000,000		9,999,220
0.23% due 04/02/12		5,000,000		4,998,990
Total Fannie Mae				29,997,610
Farmer Mac2
0.20% due 05/11/12		15,000,000		14,995,395
0.33% due 12/23/11		5,000,000		4,999,775
Total Farmer Mac				19,995,170
Federal Farm Credit Bank2
0.26% due 03/08/12		15,000,000		14,998,035
Federal Home Loan Bank2
0.20% due 02/13/12		10,000,000		9,999,260
Total Federal Agency Discount Notes (Cost $114,911,639)				114,987,635
FEDERAL AGENCY NOTE†† - 11.5%
Federal Farm Credit Bank2
0.24% due 06/20/12		15,000,000		14,996,790
Total Federal Agency Note (Cost $15,001,186)				14,996,790
REPURCHASE AGREEMENTS††,3 - 0.0%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11		282		282
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		140		140
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		99		99
Total Repurchase Agreements (Cost $521)				521
Total Investments - 99.8% (Cost $129,913,346)			$	129,984,946
Cash & Other Assets, Less Liabilities - 0.2%				217,561
Total Net Assets - 100.0%			$	130,202,507

			UNREALIZED
	CONTRACTS		GAIN (LOSS)
INTEREST RATE FUTURES CONTRACTS PURCHASED†
December 2011 Ultra Long U.S. Treasury Bond Futures Contracts (Aggregate Value of Contracts $21,322,750)		134	$	1,525,025
December 2011 Ultra Long U.S. Treasury Bond Futures Contracts (Aggregate Value of Contracts $23,166,000)		162		654,248
December 2011 U.S. Treasury 10 Year Note Futures Contracts (Aggregate Value of Contracts $69,423,250)		533		231,887
December 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $77,086,898)		629		(47,341	)
December 2011 U.S. Treasury 2 Year Note Futures Contracts (Aggregate Value of Contracts $94,046,750)		427		(77,213	)
(Total Aggregate Value of Contracts $285,045,648)			$	2,286,606

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.
2	The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government.
3	Repurchase Agreements — See Note 5.

44 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

LONG SHORT INTEREST RATE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $129,912,825)	$	129,984,425
Repurchase agreements, at value (cost $521)		521
Segregated cash with broker		2,772,200
Receivables:
Variation margin		668,703
Fund shares sold		42,348
Interest		10,100
Total assets		133,478,297
Liabilities:
Overdraft due to custodian bank		2,209,000
Payable for:
Fund shares redeemed		848,515
Management fees		83,120
Distribution and service fees		30,438
Transfer agent and administrative fees		27,707
Portfolio accounting fees		11,082
Miscellaneous		65,928
Total liabilities		3,275,790
Net assets	$	130,202,507
Net assets consist of:
Paid in capital	$	142,790,695
Accumulated net investment loss		(1,056,132	)
Accumulated net realized loss on investments		(13,890,262	)
Net unrealized appreciation on investments		2,358,206
Net assets	$	130,202,507
A-Class:
Net assets	$	39,590,902
Capital shares outstanding		1,670,810
Net asset value per share	$	23.69
Maximum offering price per share (Net asset value divided by 95.25%)	$	24.88
C-Class:
Net assets	$	17,472,298
Capital shares outstanding		744,297
Net asset value per share	$	23.47
H-Class:
Net assets	$	34,975,807
Capital shares outstanding		1,476,097
Net asset value per share	$	23.69
Institutional Class:
Net assets	$	38,163,500
Capital shares outstanding		1,605,971
Net asset value per share	$	23.76

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	147,313
Total investment income		147,313
Expenses:
Management fees		588,236
Transfer agent and administrative fees		196,079
Distribution and service fees:
A-Class		64,589
C-Class		89,374
H-Class		54,467
Portfolio accounting fees		78,431
Trustees’ fees*		4,666
Miscellaneous		127,603
Total expenses		1,203,445
Net investment loss		(1,056,132	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Futures contracts		(10,689,394	)
Net realized loss		(10,689,394	)
Net change in unrealized appreciation (depreciation) on:
Investments		51,285
Futures contracts		2,630,864
Net change in unrealized appreciation (depreciation)		2,682,149
Net realized and unrealized loss		(8,007,245	)
Net decrease in net assets resulting from operations	$	(9,063,377	)

* 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 | SGI series funds semi-annual report | 45

LONG SHORT INTEREST RATE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	September 30,			Period Ended
	2011			March 31,
	(Unaudited)			2011a
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(1,056,132	)	$	(558,298	)
Net realized loss on investments		(10,689,394	)		(2,608,946	)
Net change in unrealized appreciation (depreciation) on investments		2,682,149			(323,943	)
Net decrease in net assets resulting from operations		(9,063,377	)		(3,491,187	)
Distributions to shareholders from:
Net realized gains
A-Class		—			(170,618	)
C-Class		—			(60,418	)
H-Class		—			(213,112	)
Institutional Class		—			(58,988	)
Total distributions to shareholders		—			(503,136	)
Capital share transactions:
Proceeds from sale of shares
A-Class		18,505,535			60,601,738
C-Class		6,750,071			17,451,313
H-Class		21,681,580			60,389,752
Institutional Class		16,730,317			38,029,920
Redemption fees collected
A-Class		—			213
C-Class		—			12
H-Class		—			179
Institutional Class		—			—	b
Distributions reinvested
A-Class		—			149,959
C-Class		—			59,528
H-Class		—			204,615
Institutional Class		—			55,179
Cost of shares redeemed
A-Class		(27,731,665	)		(7,435,129	)
C-Class		(3,358,950	)		(1,951,006	)
H-Class		(31,373,507	)		(11,546,620	)
Institutional Class		(13,541,905	)		(410,922	)
Net increase (decrease) from capital share transactions		(12,338,524	)		155,598,731
Net increase (decrease) in net assets		(21,401,901	)		151,604,408
Net Assets:
Beginning of year		151,604,408			—
End of year	$	130,202,507		$	151,604,408
Accumulated net investment loss at end of year	$	(1,056,132	)	$	—
Capital share activity:
Shares sold
A-Class		759,427			2,365,260
C-Class		278,553			681,438
H-Class		896,135			2,343,550
Institutional Class		678,619			1,507,953
Shares issued from reinvestment of distributions
A-Class		—			5,761
C-Class		—			2,295
H-Class		—			7,861
Institutional Class		—			2,118
Shares redeemed
A-Class		(1,167,470	)		(292,168	)
C-Class		(141,734	)		(76,255	)
H-Class		(1,312,221	)		(459,228	)
Institutional Class		(565,853	)		(16,866	)
Net increase (decrease) in shares		(574,544	)		6,071,719

a	Since commencement of operations: June 30, 2010.
b	Redemption fees collected are less than a $1.00.

46 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

LONG SHORT INTEREST RATE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Period Ended
	September 30,			March 31,
A-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	24.97		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.16	)		(.26	)
Net gain (loss) on investments (realized and unrealized)		(1.12	)		.50
Total from investment operations		(1.28	)		.24
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.69		$	24.97
Total Returnd		(5.13	%)		0.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	39,591		$	51,915
Ratios to average net assets:
Net investment loss		(1.33	%)		(1.35	%)
Total expenses		1.52	%		1.54	%
Portfolio turnover rate		—			—

	Period Ended			Period Ended
	September 30,			March 31,
C-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	24.83		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.25	)		(.40	)
Net gain (loss) on investments (realized and unrealized)		(1.11	)		.50
Total from investment operations		(1.36	)		.10
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.47		$	24.83
Total Returnd		(5.48	%)		0.36	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	17,472		$	15,086
Ratios to average net assets:
Net investment loss		(2.08	%)		(2.12	%)
Total expenses		2.27	%		2.30	%
Portfolio turnover rate		—			—

the RYDEX | SGI series funds semi-annual report | 47

LONG SHORT INTEREST RATE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Period Ended
	September 30,			March 31,
H-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	24.97		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.16	)		(.26	)
Net gain (loss) on investments (realized and unrealized)		(1.12	)		.50
Total from investment operations		(1.28	)		.24
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.69		$	24.97
Total Returnd		(5.13	%)		0.92	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	34,976		$	47,252
Ratios to average net assets:
Net investment loss		(1.33	%)		(1.36	%)
Total expenses		1.52	%		1.54	%
Portfolio turnover rate		—			—

	Period Ended			Period Ended
	September 30,			March 31,
Institutional Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	25.01		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.13	)		(.21	)
Net gain (loss) on investments (realized and unrealized)		(1.12	)		.49
Total from investment operations		(1.25	)		.28
Less distributions from:
Net realized gains		—			(.27	)
Total distributions		—			(.27	)
Net asset value, end of period	$	23.76		$	25.01
Total Returnd		(5.00	%)		1.08	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	38,164		$	37,351
Ratios to average net assets:
Net investment loss		(1.08	%)		(1.13	%)
Total expenses		1.27	%		1.30	%
Portfolio turnover rate		—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment loss per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.

48 | the RYDEX | SGI series funds semi-annual report

FUND PROFILE (Unaudited) September 30, 2011

EMERGING MARKETS 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	October 29, 2010
C-Class	October 29, 2010
H-Class	October 29, 2010

Ten Largest Holdings
(% of Total Net Assets)
Taiwan Semiconductor Manufacturing Company Ltd. ADR	2.9	%
China Mobile Ltd. ADR	2.7	%
Petroleo Brasileiro S.A. Preferred ADR	2.3	%
Vale S.A. Preferred ADR	2.2	%
America Movil SAB de CV ADR	2.2	%
Petroleo Brasileiro S.A. ADR	1.9	%
Itau Unibanco Holding S.A. ADR	1.8	%
Vale S.A. ADR	1.6	%
Banco Bradesco S.A. ADR	1.5	%
PetroChina Company Ltd. ADR	1.3	%
Top Ten Total	20.4	%

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

the RYDEX | SGI series funds semi-annual report | 49

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

EMERGING MARKETS 2x STRATEGY FUND

	Shares		Value
COMMON STOCKS† - 42.2%
ENERGY - 9.6%
Petroleo Brasileiro S.A. Preferred ADR		2,966	$	61,455
Petroleo Brasileiro S.A. ADR		2,297		51,568
PetroChina Company Ltd. ADR		291		35,063
CNOOC Ltd. ADR		207		33,182
Sasol Ltd. ADR		688		27,933
China Petroleum & Chemical Corp. ADR		231		22,130
Ecopetrol S.A. ADR		282		11,362
Ultrapar Participacoes S.A. ADR		568		8,991
Yanzhou Coal Mining Company Ltd. ADR		270		5,697
Total Energy				257,381
TELECOMMUNICATION SERVICES - 7.6%
China Mobile Ltd. ADR		1,453		70,776
America Movil SAB de CV ADR		2,683		59,241
Chunghwa Telecom Company Ltd. ADR		527		17,391
China Unicom Hong Kong Ltd. ADR		654		13,341
China Telecom Corporation Ltd. ADR		191		11,821
Telekomunikasi Indonesia Tbk PT ADR		339		11,211
Telecomunicacoes de Sao Paulo S.A. ADR		400		10,580
Mobile Telesystems OJSC ADR		712		8,757
Total Telecommunication Services				203,118
MATERIALS - 7.5%
Vale S.A. Preferred ADR		2,831		59,451
Vale S.A. ADR		1,817		41,428
POSCO ADR		370		28,124
AngloGold Ashanti Ltd. ADR		521		21,548
Gold Fields Ltd. ADR		924		14,156
Gerdau S.A. ADR		1,233		8,791
Cia Siderurgica Nacional S.A. ADR		1,097		8,710
Cia de Minas Buenaventura S.A. ADR		219		8,265
Sociedad Quimica y Minera de Chile S.A. ADR		123		5,881
Cemex SAB de CV ADR*		1,415		4,471
Total Materials				200,825
FINANCIALS - 7.5%
Itau Unibanco Holding S.A. ADR		3,113		48,314
Banco Bradesco S.A. ADR		2,665		39,415
China Life Insurance Company Ltd. ADR		684		24,289
HDFC Bank Ltd. ADR		777		22,649
Shinhan Financial Group Company Ltd. ADR		306		20,943
ICICI Bank Ltd. ADR		585		20,311
KB Financial Group, Inc. ADR		530		17,363
Banco Santander Brasil S.A. ADR		774		5,666
Total Financials				198,950
INFORMATION TECHNOLOGY - 5.2%
Taiwan Semiconductor Manufacturing Company Ltd. ADR		6,780		77,496
Infosys Ltd. ADR		662		33,808
Baidu, Inc. ADR*		187		19,992
United Microelectronics Corp. ADR		3,583		6,844
Total Information Technology				138,140
CONSUMER STAPLES - 2.8%
Cia de Bebidas das Americas ADR		1,109		33,991
Fomento Economico Mexicano SAB de CV ADR		259		16,788
BRF — Brasil Foods S.A. ADR		920		16,128
Cia de Bebidas das Americas ADR		326		7,980
Total Consumer Staples				74,887
CONSUMER DISCRETIONARY - 1.0%
Grupo Televisa SAB ADR		773		14,215
Tata Motors Ltd. ADR		474		7,290
Ctrip.com International Ltd. ADR*		198		6,368
Total Consumer Discretionary				27,873
UTILITIES - 1.0%
Cia Energetica de Minas Gerais ADR		530		7,865
Empresa Nacional de Electricidad S.A. ADR		151		6,544
Korea Electric Power Corp. ADR		721		6,129
Enersis S.A. ADR		355		6,003
Total Utilities				26,541
Total Common Stocks (Cost $1,208,007)				1,127,715

	face
	amount
REPURCHASE AGREEMENTS††,1 - 40.8%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	590,807	590,807
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		292,199	292,199

50 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (Unaudited) (concluded)	September 30, 2011
EMERGING MARKETS 2x STRATEGY FUND

	Face
	Amount		Value
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11	$	207,659	$	207,659
Total Repurchase Agreements (Cost $1,090,665)				1,090,665
Total Investments - 83.0% (Cost $2,298,672)			$	2,218,380
Cash & Other Assets, Less Liabilities - 17.0%				453,480
Total Net Assets - 100.0%			$	2,671,860

			Unrealized
	Contracts		Loss
FUTURES CONTRACTS PURCHASED†
December 2011 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $2,313,575)		55	$	(175,841	)

	Units
EQUITY INDEX SWAP AGREEMENTS††
Goldman Sachs International October 2011 BNY Mellon Emerging Markets 50 ADR Index Swap, Terminating 10/27/112 (Notional Value $1,937,634)		857	$	(42,837	)

Country Diversification

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

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on BNY Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate. ADR — American Depositary Receipt

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 51

EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments, at value (cost $1,208,007)	$	1,127,715
Repurchase agreements, at value (cost $1,090,665)		1,090,665
Segregated cash with broker		528,431
Receivable for swap settlement		19,262
Cash		365
Receivables:
Fund shares sold		137,934
Dividends		2,535
Total assets		2,906,907
Liabilities:
Unrealized depreciation on swap agreements		42,837
Payable for:
Variation margin		126,225
Fund shares redeemed		60,660
Management fees		2,073
Distribution and service fees		597
Transfer agent and administrative fees		576
Portfolio accounting fees		230
Miscellaneous		1,849
Total liabilities		235,047
Net Assets	$	2,671,860
Net Assets Consist of:
Paid in capital	$	4,259,619
Undistributed net investment income		4,574
Accumulated net realized loss on investments		(1,293,363	)
Net unrealized depreciation on investments		(298,970	)
Net assets	$	2,671,860
A-Class:
Net assets	$	22,526
Capital shares outstanding		1,613
Net asset value per share	$	13.96
Maximum offering price per share (Net asset value divided by 95.25%)	$	14.66
C-Class:
Net assets	$	21,518
Capital shares outstanding		1,540
Net asset value per share	$	13.97
H-Class:
Net assets	$	2,627,816
Capital shares outstanding		187,836
Net asset value per share	$	13.99

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011

Investment Income:
Dividends (net of foreign withholding tax of $1,186)	$	37,182
Interest		174
Total investment income		37,356
Expenses:
Management fees		16,401
Transfer agent and administrative fees		4,556
Distribution and service fees:
A-Class		131
C-Class		1,958
H-Class		3,935
Portfolio accounting fees		1,822
Licensing fees		2,597
Trustees’ fees*		157
Miscellaneous		3,093
Total expenses		34,650
Less expenses waived by Advisor		(1,868	)
Net expenses		32,782
Net investment income		4,574
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments		(361,645	)
Swap agreements		(1,041,834	)
Futures contracts		16,449
Net realized loss		(1,387,030	)
Net change in unrealized appreciation (depreciation) on:
Investments		(212,120	)
Swap agreements		(273,326	)
Futures contracts		(175,805	)
Net change in unrealized appreciation (depreciation)		(661,251	)
Net realized and unrealized loss		(2,048,281	)
Net decrease in net assets resulting from operations	$	(2,043,707	)

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

52 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

EMERGING MARKETS 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	September 30,			Period Ended
	2011			March 31,
	(Unaudited)			2011a
Increase (Decrease) In Net Assets From Operations:
Net investment income (loss)	$	4,574		$	(17,717	)
Net realized gain (loss) on investments		(1,387,030	)		108,807
Net change in unrealized appreciation (depreciation) on investments		(661,251	)		362,281
Net increase (decrease) in net assets resulting from operations		(2,043,707	)		453,371
Distributions to Shareholders		—			—
Capital Share Transactions:
Proceeds from sale of shares
A-Class		1,430,938			941,826
C-Class		35,243,362			11,122,536
H-Class		59,732,654			43,838,990
Cost of shares redeemed
A-Class		(2,356,693	)		(14,982	)
C-Class		(35,731,124	)		(10,417,206	)
H-Class		(59,027,030	)		(40,501,075	)
Net increase (decrease) from capital share transactions		(707,893	)		4,970,089
Net increase (decrease) in net assets		(2,751,600	)		5,423,460
Net Assets:
Beginning of year		5,423,460			—
End of year	$	2,671,860		$	5,423,460
Undistributed net investment income at end of year	$	4,574		$	—
Capital Share Activity:
Shares sold
A-Class		54,042			37,422
C-Class		1,468,804			437,312
H-Class		2,687,390			1,719,799
Shares redeemed
A-Class		(89,233	)		(618	)
C-Class		(1,494,330	)		(410,246	)
H-Class		(2,637,107	)		(1,582,246	)
Net increase (decrease) in shares		(10,434	)		201,423

^a Since commencement of operations: October 29, 2010.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 53

EMERGING MARKETS 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Period Ended
	September 30,			March 31,
A-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.95		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.09			(.13	)
Net gain (loss) on investments (realized and unrealized)		(13.08	)		2.08
Total from investment operations		(12.99	)		1.95
Net asset value, end of period	$	13.96		$	26.95
Total Returnd		(48.20	%)		7.80	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	23		$	992
Ratios to average net assets:
Net investment income (loss)		0.75	%		(1.42	%)
Total expenses		1.82	%		1.85	%
Net expensese		1.72	%		1.73	%
Portfolio turnover rate		148	%		58	%

	Period Ended			Period Ended
	September 30,			March 31,
C-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.83		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.12	)		(.31	)
Net gain (loss) on investments (realized and unrealized)		(12.74	)		2.14
Total from investment operations		(12.86	)		1.83
Net asset value, end of period	$	13.97		$	26.83
Total Returnd		(47.93	%)		7.32	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	22		$	726
Ratios to average net assets:
Net investment loss		(0.98	%)		(1.98	%)
Total expenses		2.57	%		2.60	%
Net expensese		2.47	%		2.49	%
Portfolio turnover rate		148	%		58	%

54 | the RYDEX | SGI series funds semi-annual report

EMERGING MARKETS 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Period Ended
	September 30,			March 31,
H-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	26.94		$	25.00
Income (loss) from investment operations:
Net investment income (loss)c		.04			(.11	)
Net gain (loss) on investments (realized and unrealized)		(12.99	)		2.05
Total from investment operations		(12.95	)		1.94
Net asset value, end of period	$	13.99		$	26.94
Total Returnd		(48.07	%)		7.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,628		$	3,705
Ratios to average net assets:
Net investment income (loss)		0.39	%		(1.05	%)
Total expenses		1.82	%		1.85	%
Net expensese		1.72	%		1.74	%
Portfolio turnover rate		148	%		58	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: October 29, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Net expense information reflects the expense ratios after voluntary expense waivers.

the RYDEX | SGI series funds semi-annual report | 55

FUND PROFILE (Unaudited) September 30, 2011

INVERSE EMERGING MARKETS 2x STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate to the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the BNY Mellon Emerging Markets 50 ADR Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.

Holdings Diversification (Market Exposure as % Net Assets)

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

Inception Dates:
A-Class	October 29, 2010
C-Class	October 29, 2010
H-Class	October 29, 2010

The Fund invests principally in derivative investments such as equity index swap agreements and futures contracts.

56 | the RYDEX | SGI series funds semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

INVERSE EMERGING MARKETS 2x STRATEGY FUND

	Face
	Amount		Value
REPURCHASE AGREEMENTS††,1 - 56.8%
HSBC Group issued 09/30/11 at 0.00% due 10/03/11	$	924,551	$	924,551
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11		457,261		457,261
Mizuho Financial Group, Inc. issued 09/30/11 at 0.01% due 10/03/11		324,966		324,966
Total Repurchase Agreements (Cost $1,706,778)				1,706,778
Total Investments - 56.8% (Cost $1,706,778)			$	1,706,778
Cash & Other Assets, Less Liabilities - 43.2%				1,297,473
Total Net Assets — 100.0%			$	3,004,250

			Unrealized
	Contracts		Gain
FUTURES CONTRACTS SOLD SHORT†
December 2011 MSCI Emerging Markets Index Mini Futures Contracts (Aggregate Value of Contracts $336,520)		8	$	10,896
	UNITS
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT††
Goldman Sachs International October 2011 BNY Mellon Emerging Markets 50 ADR Index Swap, Terminating 10/27/112 (Notional Value $5,910,233)		2,615	$	128,509

†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	Repurchase Agreements — See Note 5.
2	Total Return based on BNY Mellon Emerging Markets 50 ADR Index +/- financing at a variable rate.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 57

INVERSE EMERGING MARKETS 2x STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Repurchase agreements, at value (cost $1,706,778)	$	1,706,778
Segregated cash with broker		1,185,643
Unrealized appreciation on swap agreements		128,509
Receivable for swap settlement		4,100
Receivables:
Fund shares sold		1,572,199
Total assets		4,597,229
Liabilities:
Payable for:
Fund shares redeemed		1,581,324
Management fees		2,630
Distribution and service fees		1,199
Transfer agent and administrative fees		730
Portfolio accounting fees		292
Variation margin		4,988
Miscellaneous		1,816
Total liabilities		1,592,979
Net Assets	$	3,004,250
Net Assets Consist of:
Paid in capital	$	2,669,786
Accumulated net investment loss		(30,616	)
Accumulated net realized gain on investments		225,675
Net unrealized appreciation on investments		139,405
Net assets	$	3,004,250
A-Class:
Net assets	$	434,389
Capital shares outstanding		13,978
Net asset value per share	$	31.08
Maximum offering price per share (Net asset value divided by 95.25%)	$	32.63
C-Class:
Net assets	$	262,424
Capital shares outstanding		8,225
Net asset value per share	$	31.90
H-Class:
Net assets	$	2,307,437
Capital shares outstanding		74,237
Net asset value per share	$	31.08

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Interest	$	342
Total investment income		342
Expenses:
Management fees		15,378
Transfer agent and administrative fees		4,272
Distribution and service fees:
A-Class		102
C-Class		2,360
H-Class		3,580
Portfolio accounting fees		1,709
Licensing fees		2,412
Trustees’ fees*		115
Miscellaneous		2,759
Total expenses		32,687
Less expenses waived by Advisor		(1,729	)
Net expenses		30,958
Net investment loss		(30,616	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Swap agreements		780,951
Futures contracts		(240,112	)
Net realized gain		540,839
Net change in unrealized appreciation (depreciation) on:
Swap agreements		239,581
Futures contracts		95,835
Net change in unrealized appreciation (depreciation)		335,416
Net realized and unrealized gain		876,255
Net increase in net assets resulting from operations	$	845,639

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

58 | the RYDEX | SGI series funds semi-annual report See Notes to Financial Statements.

INVERSE EMERGING MARKETS 2x STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended
	September 30,			Period Ended
	2011			March 31,
	(Unaudited)			2011a
Increase (Decrease) In Net Assets From Operations:
Net investment loss	$	(30,616	)	$	(19,633	)
Net realized gain (loss) on investments		540,839			(315,164	)
Net change in unrealized appreciation (depreciation) on investments		335,416			(196,011	)
Net increase (decrease) in net assets resulting from operations		845,639			(530,808	)
Distributions to Shareholders		—			—
Capital Share Transactions:
Proceeds from sale of shares
A-Class		522,826			173,520
C-Class		48,704,320			9,915,158
H-Class		36,925,344			34,731,130
Cost of shares redeemed
A-Class		(183,268	)		(125,927	)
C-Class		(48,353,703	)		(9,852,057	)
H-Class		(38,398,406	)		(31,369,518	)
Net increase (decrease) from capital share transactions		(782,887	)		3,472,306
Net increase in net assets		62,752			2,941,498
Net Assets:
Beginning of year		2,941,498			—
End of year	$	3,004,250		$	2,941,498
Accumulated net investment loss at end of year	$	(30,616	)	$	—
Capital Share Activity:
Shares sold
A-Class		19,464			6,828
C-Class		2,025,696			427,743
H-Class		1,591,619			1,486,122
Shares redeemed
A-Class		(7,114	)		(5,200	)
C-Class		(2,018,165	)		(427,049	)
H-Class		(1,654,164	)		(1,349,340	)
Net increase (decrease) in shares		(42,664	)		139,104

^a Since commencement of operations: October 29, 2010.

See Notes to Financial Statements. the RYDEX | SGI series funds semi-annual report | 59

INVERSE EMERGING MARKETS 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period Ended			Period Ended
	September 30,			March 31,
A-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	21.15		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.21	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		10.14			(3.69	)
Total from investment operations		9.93			(3.85	)
Net asset value, end of period	$	31.08		$	21.15
Total Returnd		46.95	%		(15.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	434		$	34
Ratios to average net assets:
Net investment loss		(1.70	%)		(1.61	%)
Total expenses		1.82	%		1.85	%
Net expensese		1.72	%		1.73	%
Portfolio turnover rate		—			—

	Period Ended			Period Ended
	September 30,			March 31,
C-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	21.33		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.29	)		(.25	)
Net gain (loss) on investments (realized and unrealized)		10.86			(3.42	)
Total from investment operations		10.57			(3.67	)
Net asset value, end of period	$	31.90		$	21.33
Total Returnd		49.55	%		(14.68	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	262		$	15
Ratios to average net assets:
Net investment loss		(2.44	%)		(2.37	%)
Total expenses		2.56	%		2.57	%
Net expensese		2.45	%		2.46	%
Portfolio turnover rate		—			—

60 | the RYDEX | SGI series funds semi-annual report

INVERSE EMERGING MARKETS 2x STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period Ended			Period Ended
	September 30,			March 31,
H-Class	2011a			2011b
Per Share Data
Net asset value, beginning of period	$	21.15		$	25.00
Income (loss) from investment operations:
Net investment lossc		(.20	)		(.16	)
Net gain (loss) on investments (realized and unrealized)		10.13			(3.69	)
Total from investment operations		9.93			(3.85	)
Net asset value, end of period	$	31.08		$	21.15
Total Returnd		46.95	%		(15.40	%)
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,307		$	2,892
Ratios to average net assets:
Net investment loss		(1.70	%)		(1.63	%)
Total expenses		1.82	%		1.85	%
Net expensese		1.72	%		1.74	%
Portfolio turnover rate		—			—

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: October 29, 2010. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment loss per share was computed using average shares outstanding throughout the period.
d	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
e	Net expense information reflects the expense ratios after voluntary expense waivers.

the RYDEX | SGI series funds semi-annual report | 61

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization and Significant Accounting Policies

Organization

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. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.

At September 30, 2011, the Trust consisted of fifty-eight separate funds. This report covers the Alternatives Funds (the “Funds”), while the other funds are contained in separate reports.

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

The Alternative Strategies Allocation Fund is a “fund of funds,” which means that the Fund seeks to achieve its investment objective by investing principally in a diversified portfolio of affiliated and unaffiliated funds (the “underlying funds”) instead of individual securities.

American Independence Financial Services, LLC, serves as investment sub-adviser to the Long Short Interest Rate Strategy Fund. The Sub-Advisor constructs and provides the Advisor with the Long Short Interest Rate Strategy Fund’s investment model.

Significant Accounting Policies

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

A. The Trust calculates a NAV twice each business day, first in the morning and again in the afternoon for the Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund. All other Funds in this report will price at the afternoon NAV. The morning NAV is calculated at 10:45 a.m. and the afternoon NAV is calculated at the close of the New York Stock Exchange (“NYSE”), usually 4:00 p.m. 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, 2011, afternoon NAV.

Equity securities listed on an exchange (NYSE or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.

The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

The value of domestic equity index, corporate bond index and credit default swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the last quoted value of the index that the swap pertains to at the close of the NYSE. The swap’s market value is then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.

Debt securities with a maturity greater than 60 days at acquisition are valued at the last traded fill price at the close of business, unless no trades were executed. If there are no trades, a debt security is valued at the reported bid price, at the close of business. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, which approximates market value.

62 | the RYDEX | SGI series funds semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

Open-end investment companies (“Mutual Funds”) are valued at their NAV as of the close of business on the valuation date. Exchange Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price.

Investments for which market quotations are not readily available are fair valued as determined in good faith by SGI under the direction of the Board of 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. Security 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.

Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex- dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

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

D. When a Fund engages in a short sale of a security, 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 recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the treasury obligation to the lender 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. The Funds may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short or incur rebate charges to borrow certain securities.

E. Certain Funds entered into stock, bond and currency index 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 futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. 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.

The following Funds entered into futures contracts for the following purposes:

Fund	Index Exposure	Liquidity
U.S Long Short Momentum Fund	x	x
Alternative Strategies Allocation Fund	x	x
Alternative Strategies Fund	x	x
Long Short Equity Strategy Fund	x	x
Long Short Interest Rate Strategy Fund	x	x
Emerging Markets 2x Strategy Fund	x	x
Inverse Emerging Markets 2x Strategy Fund	x	x

F. Certain Funds entered into domestic equity index, corporate bond index and domestic currency index swap agreements, which are over-the-counter contracts in which one party agrees to make periodic payments based on the change in market value of a specified equity security, basket of equity securities, equity index or domestic currency 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

the RYDEX | SGI series funds semi-annual report | 63

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

domestic currency index. Swap agreements are used to obtain exposure to an equity or market without owning or taking physical custody of securities. The swap agreements are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of the agreement are recognized as realized gains or losses.

The Event Driven and Distressed Strategies Fund entered into credit default swap agreements where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Upfront payments received or made by a Fund are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.

The following Funds entered into swap agreements for the following purposes:

Fund	Index Exposure	Liquidity
Event Driven and Distressed Strategies Fund	x	x
Emerging Markets 2x Strategy Fund	x	x
Inverse Emerging Markets 2x Strategy Fund	x	x

G. The Funds may leave cash overnight in their cash account with the custodian, U.S. Bank. Periodically, a Fund may have cash due to the 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.

H. 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 assets of each Fund included in the Trust.

I. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

2. Financial Instruments

As part of its investment strategy, the Funds utilized short sales and a variety of derivative instruments including 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.

A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, that Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, that Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.

There are several risks associated with the use of swap agreements that are different from those associated with ordinary portfolio securities transactions due to the fact they could be considered illiquid. Although the Trust will not enter into any swap agreement unless SGI 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.

There are several risks associated with credit default swaps. Credit default swaps involve the exchange of a fixed-rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a “guarantor,” receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return, the party agrees to purchase the notional amount of the underlying instrument, at par,

64 | the RYDEX | SGI series funds semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

if a credit event occurs during the term of the swap. A Fund may enter into credit default swaps in which that Fund or its counterparty acts as guarantor. By acting as the guarantor of a swap, that Fund assumes the market and credit risk of the underlying instrument, including liquidity and loss of value.

In conjunction with the use of short sales, futures, and swap agreements, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes, or the repurchase agreements allocated to each Fund.

The risks inherent in the use of short sales, futures contracts, and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.

There are several risks associated with exposure to foreign currencies, foreign issuers and emerging markets. A Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the U.S. or abroad. In addition, the Fund may incur transaction costs in connection with conversions between various currencies. The Fund may, but is not obligated to, engage in currency hedging transactions, which generally involve buying currency forward, options or futures contracts. However, not all currency risk may be effectively hedged, and in some cases the costs of hedging techniques may outweigh expected benefits. In such instances, the value of securities denominated in foreign currencies can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar.

Certain Funds may invest in securities of foreign companies directly, or in financial instruments, such as ADRs and exchange-traded funds, which are indirectly linked to the performance of foreign issuers. Foreign markets can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Investing in securities of foreign companies directly, or in financial instruments that are indirectly linked to the performance of foreign issuers, may involve risks not typically associated with investing in U.S. issuers. The value of securities denominated in foreign currencies, and of dividends from such securities, can change significantly when foreign currencies strengthen or weaken relative to the U.S. dollar. Foreign securities markets generally have less trading volume and less liquidity than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. Many foreign countries lack accounting and disclosure standards comparable to those that apply to U.S. companies, and it may be more difficult to obtain reliable information regarding a foreign issuer’s financial condition and operations. Transaction costs and costs associated with custody services are generally higher for foreign securities than they are for U.S. securities. Some foreign governments levy withholding taxes against dividend and interest income. Although in some countries portions of these taxes are recoverable, the non-recovered portion will reduce the income received by the Fund.

Emerging markets, which consist of countries that have an emerging stock market as defined by Standard & Poor’s^®, countries or markets with low- to middle-income economies as classified by the World Bank, and other countries or markets with similar characteristics as determined by SGI, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market. Emerging markets can be subject to greater social, economic, regulatory, and political uncertainties and can be extremely volatile. As a result, the securities of emerging market issuers may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in securities of developed foreign countries. In addition, the risks associated with investing in a narrowly defined geographic area are generally more pronounced with respect to investments in emerging market countries. The Fund may also be subject to this risk with respect to its investments in derivatives or other securities or financial instruments whose returns are related to the returns of emerging market securities.

Because the value of a credit or equity-linked derivative investment typically is based upon the price movements

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

of the credit instrument, equity security or credit or equity index, or some other readily measurable economic variable, the value of credit or equity-linked derivative instruments may be affected by changes in overall market movements, volatility of the benchmark, changes in interest rates, or factors affecting a particular industry or security, such as international economic, political and regulatory developments or significant changes in the credit-worthiness of an issuer.

3. Fees and Other Transactions with Affiliates

Under the terms of an investment advisory contract, the Trust pays SGI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds for the period ended September 30, 2011:

	Management Fees
Fund	(as a % of Net Assets)
U.S. Long Short Momentum Fund		0.90	%
Alternative Strategies Allocation Fund		—
Event Driven and Distressed Strategies Fund		0.90	%
Alternative Strategies Fund		0.90	%
Long Short Equity Strategy Fund		0.90	%
Long Short Interest Rate Strategy Fund		0.75	%
Emerging Markets 2x Strategy Fund		0.90	%
Inverse Emerging Markets 2x Strategy Fund		0.90	%

SGI has contractually agreed to reduce fees and/or reimburse expenses for the Event Driven and Distressed Strategies Fund, Alternatives Strategies Fund, and Long Short Equity Strategy Fund to the extent necessary to keep net operating expenses for A-Class, C-Class, H-Class, and Institutional Class Shares (excluding interest, taxes, brokerage commissions, Acquired Fund Fees and Expenses, dividends on securities sold short, and extraordinary expenses (“Excluded Expenses”)) from exceeding 1.90%, 2.65%, 1.90%, and 1.65%, respectively, of the Fund’s A-Class, C-Class, H-Class, and Institutional Class Shares average daily net assets until July 31, 2012. The Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement includes Excluded Expenses and, thus, from time to time may be higher than 1.90%, 2.65%, 1.90%, and 1.65%, respectively. This Agreement may be terminated: (i) by the Board, for any reason at any time, or (ii) by the Advisor, upon ninety (90) days’ prior written notice to the Trust, effective as of the close of the business on the last day of the then-current one-year period.

For the period ended September 30, 2011, SGI voluntarily agreed to reimburse a portion of the licensing fee charged to the Emerging Markets 2x Strategy Fund and Inverse Emerging Markets 2x Strategy Fund.

RFS provides transfer agent and administrative services to the Funds for fees calculated at an annualized rate of 0.25% of the average daily net assets of each Fund.

RFS engages external service providers to perform other necessary services for the Trust, such as audit related services, legal services, printing and mailing, etc., on a pass-through basis. Such expenses vary from Fund to Fund and are allocated to various Funds within the complex based on relative net assets. Organizational and setup costs for new Funds are paid by the Trust.

The Trust has adopted a Distribution Plan applicable to A-Class shares and H-Class shares for which RDL 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 RDL at an annual rate not to exceed 0.25% of average daily net assets, pursuant to Rule 12b-1 of the 1940 Act. RDL, in turn, will pay the Service Provider out of its fees. RDL may, at its discretion, retain a portion of such payments to compensate itself for distribution services.

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 RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the Financial Advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

During the period ended September 30, 2011, RDL retained sales charges of $216,199 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1	—	quoted prices in active markets for identical securities.
Level 2	—	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3	—	significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).

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

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

	Level 1		Level 1		Level 2		Level 2		Level 3
	Investments		Other Financial		Investments		Other Financial		Investments
	In Securities		Instruments*		In Securities		Instruments*		In Securities		Total
Assets
U.S. Long Short Momentum Fund	$	105,128,732	$	1,040,299	$	8,606,953	$	—	$	—	$	114,775,984
Alternative Strategies Allocation Fund		16,069,902		23,792		—		—		—		16,093,694
Event Driven and Distressed Strategies Fund		967,999		—		10,927,359		—		—		11,895,358
Alternative Strategies Fund		—		6,345		3,446,818		—		—		3,453,163
Long Short Equity Strategy Fund		—		—		3,902,845		—		—		3,902,845
Long Short Interest Rate Strategy Fund		—		2,411,160		129,984,946		—		—		132,396,106
Emerging Markets 2x Strategy Fund		1,127,715		—		1,090,665		—		—		2,218,380
Inverse Emerging Markets 2x Strategy Fund		—		10,896		1,706,778		128,509		—		1,846,183
Liabilities
U.S. Long Short Momentum Fund		—		—		—		—		—		—
Alternative Strategies Allocation Fund		—		31,771		—		—		—		31,771
Event Driven and Distressed Strategies Fund		—		—		—		231,411		—		231,411
Alternative Strategies Fund		—		80,348		—		—		—		80,348
Long Short Equity Strategy Fund		1,082,520		275,720		—		—		—		1,358,240
Long Short Interest Rate Strategy Fund		—		124,554		—		—		—		124,554
Emerging Markets 2x Strategy Fund		—		175,841		—		42,837		—		218,678
Inverse Emerging Markets 2x Strategy Fund		—		—		—		—		—		—

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

For the period ended September 30, 2011, there were no transfers between levels.

5. Repurchase Agreements

The Funds transfer 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 and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

At September 30, 2011, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms
of Agreement	Face Value		Repurchase Price		Collateral		Par Value		Fair Value
HSBC Group					U.S. Treasury Bonds
0.00%						0.00%
due 10/03/11	$	930,000,000	$	930,000,000		11/15/12 — 08/15/21	$	1,009,143,300	$	948,600,077
Credit Suisse Group					U.S. Treasury Notes
0.00%						3.50% — 3.63%
due 10/03/11		484,054,341		484,054,341		08/15/19 —- 05/15/20		424,936,800		493,735,459
Mizuho Financial Group, Inc.					U.S. Treasury Notes
0.01%						0.63% —- 3.63%
due 10/03/11		479,560,836		479,560,970		01/31/13 — 08/15/20		448,564,500		489,152,126
	$	1,893,615,177	$	1,893,615,311			$	1,882,644,600	$	1,931,487,662

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their 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 Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

6. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivatives instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

During the period ended September 30, 2011, certain Funds sought to gain exposure to their respective benchmarks by investing in currency and financial-linked derivative instruments, including swap agreements and futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

	Approximate percentage of Fund’s
	net assets on a daily basis
Fund	Long			Short
U.S. Long Short Momentum Fund		—			20	%
Alternative Strategies Allocation Fund		5	%		5	%
Event Driven and Distressed Strategies Fund		65	%		—
Alternative Strategies Fund		35	%		10	%
Long Short Equity Strategy Fund		75	%		—
Long Short Interest Rate Strategy Fund		220	%		—
Emerging Markets 2x Strategy Fund		160	%		—
Inverse Emerging Markets 2x Strategy Fund		—			210	%

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

	Location on the Statements of Assets and Liabilities
Derivative Investments Type	Asset Derivatives	Liability Derivatives
Equity/Interest Rate/Currency contracts	Variation Margin	Variation Margin
	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements
Corporate Bond contracts	Unrealized appreciation on swap agreements	Unrealized depreciation on swap agreements

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

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

	Asset Derivative Investments Value
	Futures		Futures		Futures		Swaps		Swaps		Total Value at
	Equity		Interest Rate		Currency		Equity Index		Corporate Bond		September 30,
Fund	Contracts*		Contracts*		Contracts*		Contracts		Contracts		2011
U.S. Long Short Momentum Fund	$	1,040,299	$	—	$	—	$	—	$	—	$	1,040,299
Alternative Strategies Allocation Fund		9,425		—		14,367		—		—		23,792
Event Driven and Distressed Strategies Fund		—		—		—		—		—		—
Alternative Strategies Fund		—		—		6,345		—		—		6,345
Long Short Equity Strategy Fund		—		—		—		—		—		—
Long Short Interest Rate Strategy Fund		—		2,411,160		—		—		—		2,411,160
Emerging Markets 2x Strategy Fund		—		—		—		—		—		—
Inverse Emerging Markets 2x Strategy Fund		10,896		—		—		128,509		—		139,405

	Liability Derivative Investments Value
	Futures		Futures		Futures		Swaps		Swaps		Total Value at
	Equity		Interest Rate		Currency		Equity Index		Corporate Bond		September 30,
Fund	Contracts*		Contracts*		Contracts*		Contracts		Contracts		2011
U.S. Long Short Momentum Fund	$	—	$	—	$	—	$	—	$	—	$	—
Alternative Strategies Allocation Fund		31,706		65		—		—		—		31,771
Event Driven and Distressed Strategies Fund		—		—		—		67,832		163,579		231,411
Alternative Strategies Fund		80,348		—		—		—		—		80,348
Long Short Equity Strategy Fund		275,720		—		—		—		—		275,720
Long Short Interest Rate Strategy Fund		—		124,554		—		—		—		124,554
Emerging Markets 2x Strategy Fund		175,841		—		—		42,837		—		218,678
Inverse Emerging Markets 2x Strategy Fund		—		—		—		—		—		—

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

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

Derivative Investment Type	Location of Gain (Loss) on Derivatives
Equity/Interest Rate/Currency/Corporate Bond/	Net realized gain (loss) on swap agreements
Credit Default Contracts	Net realized gain (loss) on futures contracts
	Net change in net unrealized appreciation (depreciation) on swap agreements
	Net change in net unrealized appreciation (depreciation) on futures contracts

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

	Realized Gain (Loss) on Derivative Investments Recognized in the Statement of Operations
	Futures			Futures			Futures			Swaps			Swaps			Swaps
	Equity			Interest Rate			Currency			Equity Index			Corporate Bond			Credit Default
Fund	Contracts			Contracts			Contracts			Contracts			Contracts			Contracts			Total
U.S. Long Short Momentum Fund	$	72,845		$	—		$	—		$	—		$	—		$	—		$	72,845
Alternative Strategies
Allocation Fund		99,377			35,200			(3,347	)		—			—			—			131,230
Event Driven and Distressed Strategies Fund		(11,236	)		—			—			(689,239	)		(684,009	)		(35,376	)		(1,419,860	)
Alternative Strategies Fund		(176,323	)		—			29,623			—			—			—			(146,700	)
Long Short Equity Strategy Fund		(154,335	)		—			—			—			—			—			(154,335	)
Long Short Interest Rate Strategy Fund		—			(10,689,394	)		—			—			—			—			(10,689,394	)
Emerging Markets 2x Strategy Fund		16,449			—			—			(1,041,834	)		—			—			(1,025,385	)
Inverse Emerging Markets 2x Strategy Fund		(240,112	)		—			—			780,951			—			—			540,839

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statement of Operations
	Futures			Futures			Futures		Swaps			Swaps			Swaps
	Equity			Interest Rate			Currency		Equity Index			Corporate Bond			Credit Default
Fund	Contracts			Contracts			Contracts		Contracts			Contracts			Contracts		Total
U.S. Long Short Momentum Fund	$	1,046,322		$	—		$	—	$	—		$	—		$	—	$	1,046,322
Alternative Strategies Allocation Fund		(18,844	)		(65	)		14,367		—			—			—		(4,542	)
Event Driven and Distressed Strategies Fund		—			—			—		(225,472	)		(175,607	)		—		(401,079	)
Alternative Strategies Fund		(132,418	)		—			2,475		—			—			—		(129,943	)
Long Short Equity Strategy Fund		(334,126	)		—			—		—			—			—		(334,126	)
Long Short Interest Rate Strategy Fund		—			2,630,864			—		—			—			—		2,630,864
Emerging Markets 2x Strategy Fund		(175,805	)		—			—		(273,326	)		—			—		(449,131	)
Inverse Emerging Markets 2x Strategy Fund		95,835			—			—		(239,581	)		—			—		335,416

7. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2008 — 2011), and has concluded that no provision for income tax is required in the Funds’ financial statements.

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

Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and capital loss carryforward expired or permanently lost due to limitations in the Internal Revenue Code. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.

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

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.

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

			Tax Unrealized		Tax Unrealized			Net Unrealized
	Tax Cost		Gain		Loss			Gain (Loss)
U.S. Long Short Momentum Fund	$	115,200,957	$	5,229,172	$	(6,727,751	)	$	1,498,579	)
Alternative Strategies Allocation Fund		16,078,037		219,426		(905,762	)		(686,336	)
Event Driven and Distressed Strategies Fund		12,097,522		9,128		(211,292	)		(202,164	)
Alternative Strategies Fund		3,446,818		—		—			—
Long Short Equity Strategy Fund		3,903,167		176		(498	)		(322	)
Long Short Interest Rate Strategy Fund		129,913,346		75,996		(4,396	)		71,600
Emerging Markets 2x Strategy		2,298,672		—		(471,857	)		(471,857	)
Inverse Emerging Markets 2x Strategy		1,706,778		—		—			—

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)

8. Securities Transactions

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

	Purchases		Sales
U.S. Long Short Momentum Fund	$	163,177,905	$	191,093,033
Alternative Strategies Allocation Fund		9,445,306		12,523,491
Event Driven and Distressed Strategies Fund		4,430,780		3,112,029
Alternative Strategies Fund		—		—
Long Short Equity Strategy Fund		529,589		2,595,268
Long Short Interest Rate Strategy Fund		—		—
Emerging Markets 2x Strategy Fund		2,977,296		4,294,754
Inverse Emerging Markets 2x Strategy Fund		—		—

9. Line of Credit

The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2012. On September 30, 2011, the Emerging Markets 2x Strategy Fund borrowed $466,000 under this agreement. As of and for the period ended September 30, 2011, the Funds did not have any other borrowings under this agreement.

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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.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, 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.

Office Locations

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

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

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

Guggenheim Transaction

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

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

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

72 | the RYDEX | SGI series funds semi-annual report

OTHER INFORMATION (Unaudited) (continued)

Election of Board Members

The Boards have also approved a proposal to elect nine individuals to the Boards. The Boards propose the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Boards believe that expanding the Boards to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Rydex|SGI family of funds, would be appropriate.

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

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

At an in-person meeting of the Trust’s Board of Trustees held August 16-17, 2011, called for the purpose of, among other things, voting on the approval of investment advisory agreements applicable to the series of the Trust (collectively, the “Funds”), the Trust’s Board of Trustees, including the independent Trustees, unanimously approved the investment advisory agreement between the Trust and Security Investors, LLC (referred to herein as the “Adviser”) and the sub-investment advisory agreement between the Adviser and American Independence Financial Services, LLC (“AIFS”) with respect to the Long Short Treasury Fund.

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

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

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

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

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

In addition, as a part of their required consideration of the renewal of the current investment advisory agreements at the meeting of August 16-17, 2011, the Trustees, including the independent Trustees, had evaluated a number of considerations, including among others: (a) the quality of the Adviser’s investment advisory and other services; (b) the Adviser’s investment management personnel; (c) the Adviser’s operations and financial condition; (d) the Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (e) the level of the fees that the Adviser’s charge

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OTHER INFORMATION (Unaudited) (concluded)

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

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

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

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

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

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

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

74 | the RYDEX | SGI series funds semi-annual report

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of SGI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

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

INDEPENDENT TRUSTEES

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

Principal Occupations During Past Five Years: Retired; CEO, Par Industries, Inc., d/b/a Par Leasing (1977 to 2010); Chairman of the Governance and Nominating Committees (1997 to present); Member of the Audit Committee (1997 to present)

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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
Roger Somers	Rydex Series Funds — 1993		150
Trustee (1944)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003

Principal Occupations During Past Five Years: Founder and CEO of Arrow Limousine (1965 to present); Member of the Audit, Governance and Nominating Committees (1995 to present)

EXECUTIVE OFFICERS

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

76 | the RYDEX | SGI series funds semi-annual report

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

EXECUTIVE OFFICERS (continued)

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Nikolaos Bonos* Vice President and Treasurer (1963)	Current: Senior Vice President, Security Investors, LLC; Chief Executive Officer and Manager, Rydex Specialized Products, LLC; Chief Executive Officer and President, Rydex Fund Services, LLC; Vice President, Rydex Holdings, LLC; Treasurer, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Security Benefit Asset Management Holdings, LLC Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) Senior Vice President (2006-2011); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Director (2009) and Senior Vice President (2003-2006); Rydex Specialized Products, LLC, Chief Financial Officer (2005-2009)
Joanna M. Haigney* Current: Chief Compliance Officer and Secretary (1966)	Chief Compliance Officer and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; Senior Vice President and Chief Compliance Officer, Security Investors, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC and Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Keith A. Fletcher* Vice President (1958)	Current: Senior Vice President, Security Investors, LLC; Vice President, Rydex Holdings, LLC; Vice President, Rydex Specialized Products, LLC; Vice President, Rydex Distributors, LLC; Vice President, Rydex Fund Services, LLC; Vice President and Director, Advisor Research Center, Inc.; Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)

the RYDEX | SGI series funds semi-annual report | 77

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

EXECUTIVE OFFICERS (concluded)

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)

* Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Security Global Investors.

78 | the RYDEX | SGI series funds semi-annual report

RYDEXSGI PRIVACY POLICIES

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

Our Commitment to You

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

The Information We Collect About You

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

How We Handle Your Personal Information

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

Opt Out Provisions

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

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Rydex|SGI web site offers customized features that require our use of “http cookies"—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Rydex|SGI web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

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

We’ll Keep You Informed

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

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805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RSTF-SEMI-0911x0312

SEPTEMBER 30, 2011 RYDEX SERIES TRUST SEMI-ANNUAL REPORT ASSET ALLOCATION FUNDS ALL-ASSET CONSERVATIVE STRATEGY FUND ALL-ASSET MODERATE STRATEGY FUND ALL-ASSET AGGRESSIVE STRATEGY FUND

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Go paperless with Rydex | SGI eDelivery—a service giving you full online access to account information and documents. Save time, cut down on mailbox clutter and be a friend to the environment with eDelivery.

With Rydex | SGI eDelivery you can:

• View online confirmations and statements at your convenience.

• Receive email notifications when your most recent confirmations, statements and other account documents are available for review.

• Access prospectuses, annual reports and semiannual reports online.

It’s easy to enroll:

1/ Visit www.rydes-sgi.com

2/ Click on “eDelivery Sign-Up”          

3/ Follow the simple enrollment instructions

If you have questions about Rydex | SGI eDelivery services, contact one of our Shareholder Service Representatives at 800.820.0888.

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 Distributiors, LLC.

TABLE OF CONTENTS

LETTER TO OUR SHAREHOLDERS	2
ABOUT SHAREHOLDERS’ FUND EXPENSES	4
ALL-ASSET CONSERVATIVE STRATEGY FUND	6
ALL-ASSET MODERATE STRATEGY FUND	13
ALL-ASSET AGGRESSIVE STRATEGY FUND	20
NOTES TO FINANCIAL STATEMENTS	27
OTHER INFORMATION	33
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS	37
RYDEX | SGI PRIVACY POLICIES	41

the RYDEX | SGI series trust semi-annual report | 1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER:

The economic recovery remained fragile in 2011, as global markets were beset by natural disasters, Mid East uprisings and sovereign debt woes. After rising to their recent high around the end of April, U.S. stock markets began a slide that, by the end of September, was approaching bear-market territory. Investors became nervous as the U.S. Federal Reserve ended its second quantitative easing program in June and Congress wrangled over debt ceilings and budget deficits, which led to the U.S. losing its AAA debt rating in August. Many measures of hiring, housing, GDP and consumer confidence have worsened in the past six months, and analysts began forecasting an economy that, if not sliding backward, would move ahead only slowly.

As with many countries, the central bank of the U.S. was a major factor in the markets for most of the past year, conducting a debt-purchase program designed to boost lending and expand the economy—the second such effort since the financial crisis of 2008. Late in the third quarter, the Fed chairman said the “recovery is close to faltering,” and there was a risk of another recession unless the government took steps to increase growth. The Fed said it would keep short-term interest rates near zero for another two years and hold down borrowing costs through “operation twist,” shifting $400 billion in holdings from short-term to long-term Treasuries.

The biggest threat to markets in late September appeared to be recession. Supporting evidence in the U.S. included weak housing demand despite record-low mortgage rates, consumer confidence that has ebbed for five months amid politicization of raising the debt ceiling, job creation insufficient to keep up with population growth, as well as other indicators ranging from soft wages, slumping equity markets and falling prices for commodities like oil and copper. Analysts arguing that a recession is unlikely cite inflation expectations that have fallen to their lowest levels of 2011, good retail sales, sound corporate balance sheets and manufacturing gauges that are improving, albeit slightly. In addition, while economists surveyed by Bloomberg have been lowering GDP growth estimates for the year, positive growth is still expected.

Recession currently seems more a threat to Europe than America, as high unemployment and austerity measures weigh on weaker members of the eurozone, with a knock-on effect for the continent’s growth engines of Germany and France, particularly in manufacturing, which has been the key player in the global recovery. Many economists are hoping for an orderly default of Greece that may prevent financial problems from spreading to other weak countries or to banks, and stabilize the euro. Countries using the euro were in the process of approving a bailout fund expansion at the end of the third quarter, and bolstering European banks against the possibility of sovereign default. Even though they were not at the eye of the sovereign debt storm, many emerging market economies also began weakening over the summer, fearing global recession and financial contagion. Investors are especially concerned about the stability of China’s banking system and whether inflation will ebb along with slowing growth.

All the economic uncertainty and market volatility took their toll on the equity markets. For the six months, key equity indices have fallen significantly. While some strategists believed the market drop over the third quarter of 2011 brought stock prices to reasonable levels, others were concerned that third-quarter earnings could still come in lower than expected, kicking away a key support of valuations.

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LETTER TO OUR SHAREHOLDERS (concluded)

While the market forces play out, many investors have been driven to the sidelines or to safe havens. Gold reached a high of near $1900 an ounce in August, before falling 11% in September, leading some to question whether its recent run is nearing an end. Investors also abandoned riskier currencies toward the end of the third quarter, and piled into the dollar, helping it regain ground lost over the past 12 months. Further upward moves in the dollar are expected as the world economy continues to sputter.

Sluggish economic data, concern over the collapse of Europe’s financial system and the Fed’s policy efforts also drove investors into U.S. government debt over the course of 2011, driving up the price of debt maturing in 10 years or more, leading to historic low yields. Recession, however, is not a consensus view. The Fed remains accommodative and the Treasury yield curve is steep. A potential rebound in GDP to 2% in the third quarter, lower fuel prices and a stronger automotive sector may be enough to keep the U.S. recovery on course, even if slow, and counterbalance difficulties in Europe and Asia.

Thank you for investing in our funds.

Sincerely,

Michael Byrum
President & Chief Investment Officer

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

Performance displayed represents past performance which is no guarantee of future results. Of course, fund performance is subject to daily market volatility and may be better or worse since the end of the last quarter. For up-to-date fund performance, call us at 800.820.0888 or visit www.rydex-sgi.com.

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

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

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ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

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

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

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

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

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

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

Certain retirement plans such as IRA, SEP, Roth IRA and 403(b), Rydex prototype money purchase plan and profit sharing plan accounts are charged an annual $15 maintenance fee. Upon liquidating a retirement account, a $15 account closing fee will be taken from the proceeds of the redemption.

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

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

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

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ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

							Beginning		Ending		Expenses
	Expense			Fund			Account Value		Account Value		Paid During
	Ratio1			Return			March 31, 2011		September 30, 2011		Period2
Table 1. Based on actual Fund return3
All-Asset Conservative Strategy Fund
A-Class		0.00	%		(7.12	%)	$	1,000.00	$	928.80	$	—
C-Class		0.75	%		(7.49	%)		1,000.00		925.10		3.62
H-Class		0.00	%		(7.12	%)		1,000.00		928.80		—
All-Asset Moderate Strategy Fund
A-Class		0.00	%		(9.92	%)		1,000.00		900.80		—
C-Class		0.75	%		(10.28	%)		1,000.00		897.20		3.57
H-Class		0.00	%		(9.92	%)		1,000.00		900.80		—
All-Asset Aggressive Strategy Fund
A-Class		0.00	%		(13.37	%)		1,000.00		866.30		—
C-Class		0.75	%		(13.79	%)		1,000.00		862.10		3.50
H-Class		0.00	%		(13.46	%)		1,000.00		865.40		—
Table 2. Based on hypothetical 5% return (before expenses)
All-Asset Conservative Strategy Fund
A-Class		0.00	%		5.00	%	$	1,000.00	$	1,025.07	$	—
C-Class		0.75	%		5.00	%		1,000.00		1,021.31		3.80
H-Class		0.00	%		5.00	%		1,000.00		1,025.07		—
All-Asset Moderate Strategy Fund
A-Class		0.00	%		5.00	%		1,000.00		1,025.07		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.31		3.80
H-Class		0.00	%		5.00	%		1,000.00		1,025.07		—
All-Asset Aggressive Strategy Fund
A-Class		0.00	%		5.00	%		1,000.00		1,025.07		—
C-Class		0.75	%		5.00	%		1,000.00		1,021.31		3.80
H-Class		0.00	%		5.00	%		1,000.00		1,025.07		—

1	Annualized and excludes expenses of the underlying funds in which the Funds invest.
2	Expenses are equal to the Fund’s annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
3	Actual cumulative return at net asset value for the period March 31, 2011 to September 30, 2011.

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FUND PROFILE (Unaudited) September 30, 2011

ALL-ASSET CONSERVATIVE STRATEGY FUND

OBJECTIVE: Seeks to primarily provide preservation of capital and, secondarily, long-term growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings
(% of Total Net Assets)
Security Income Fund® — U.S. Intermediate Bond Fund — A Class	20.1	%
RSF — U.S. Long Short Momentum Fund — A Class	10.0	%
Security Income Fund® — High Yield Fund — A Class	7.9	%
RSF — Multi-Hedge Strategies Fund — A Class	7.0	%
RSF — Long Short Interest Rate Strategy Fund — A Class	6.4	%
Security Large Cap Value Fund — A Class	4.7	%
Security Equity Fund® — Large Cap Concentrated Growth Fund — A Class	4.6	%
Security Equity Fund® — MSCI EAFE Equal Weight Fund — A Class	4.1	%
RSF — Managed Futures Strategy Fund — A Class	3.1	%
RSF — Event Driven and Distressed Strategies Fund — A Class	2.2	%
Top Ten Total	70.1	%

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

RSF — Rydex Series Funds

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SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

ALL-ASSET CONSERVATIVE STRATEGY FUND

	Shares		Value
EXCHANGE TRADED FUNDS† — 0.8%
iShares Barclays Aggregate Bond Fund		909	$	100,090
Total Exchange Traded Funds (Cost $99,986)				100,090
MUTUAL FUNDS†,1 — 77.3%
Alternatives Funds — 32.2%
RSF — U.S. Long Short Momentum Fund — A Class*		106,665		1,263,981
RSF — Multi-Hedge Strategies Fund — A Class*		39,462		889,482
RSF — Long Short Interest Rate Strategy Fund — A Class*		34,297		812,830
RSF — Managed Futures Strategy Fund — A Class*		15,922		392,627
RSF — Event Driven and Distressed Strategies Fund — A Class*		11,897		281,727
RSF — Long Short Equity Strategy Fund — A Class*		7,664		189,006
RSF — Long/Short Commodities Strategy Fund — A Class		5,248		129,615
RSF — Alternative Strategies Fund — A Class*		5,336		125,873
Total Alternatives Funds				4,085,141
Fixed Income Funds — 27.9%
Security Income Fund® — U.S. Intermediate Bond Fund — A Class		145,676		2,539,127
Security Income Fund® — High Yield Fund — A Class		90,809		1,007,076
Total Fixed Income Funds				3,546,203
Domestic Equity Funds — 12.2%
Security Large Cap Value Fund — A Class		24,192		594,646
Security Equity Fund® — Large Cap Concentrated Growth Fund — A Class		79,089		585,262
Security Equity Fund® — Mid Cap Value Fund — A Class		5,789		157,042
Security Mid Cap Growth Fund — A Class*		5,381		154,260
Security Equity Fund® — Small Cap Value Fund — A Class*		2,689		31,359
Security Equity Fund® — Small Cap Growth Fund — A Class*		2,602		30,988
Total Domestic Equity Funds				1,553,557
International Equity Funds — 4.1%
Security Equity Fund® — MSCI EAFE Equal Weight Fund — A Class		53,768		521,553
Specialty Funds — 0.9%
RSF — Real Estate Fund — A Class		4,854		118,579
Total Mutual Funds (Cost $9,387,807)				9,825,033

	Face
	Amount
REPURCHASE AGREEMENT††,2 — 21.4%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	2,718,917		2,718,917
Total Repurchase Agreement (Cost $2,718,917)				2,718,917
Total Investments — 99.5% (Cost $12,206,710)			$	12,644,040
Cash & Other Assets, Less Liabilities — 0.5%				69,339
Total Net Assets — 100.0%			$	12,713,379

			Unrealized
	Contracts		Gain (Loss)
INTEREST RATE FUTURES CONTRACTS PURCHASED†
December 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,348,102)		11	$	1,101
FUTURES CONTRACTS PURCHASED†
December 2011 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $85,850)		2		(2,453	)
October 2011 Hang Seng Index Futures Contracts (Aggregate Value of Contracts $109,779)		1		(13,726	)
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $957,950)		17		(21,485	)
December 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $537,160)		8		(27,470	)
(Total Aggregate Value of Contracts $1,690,739)			$	(65,134	)

See Notes to Financial Statements.

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SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

ALL-ASSET CONSERVATIVE STRATEGY FUND

			Unrealized
	Contracts		Gain (Loss)
CURRENCY FUTURES CONTRACTS SOLD SHORT†
December 2011 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $95,240)		1	$	6,667
December 2011 Australian Dollar Futures Contracts (Aggregate Value of Contracts $95,870)		1		6,396
December 2011 British Pound Futures Contracts (Aggregate Value of Contracts $97,375)		1		1,304
(Total Aggregate Value of Contracts $288,485)			$	14,367
FUTURES CONTRACTS SOLD SHORT†
December 2011 S&P/Toronto Stock Exchange 60 Index Futures Contracts (Aggregate Value of Contracts $126,660)		1		6,005
December 2011 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $97,054)		1		2,067
December 2011 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $78,257)		1		1,010
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $128,120)		2		229
October 2011 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $79,041)		2		(3,112	)
(Total Aggregate Value of Contracts $509,132)			$	6,199

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	A-Class shares of Affiliated Funds.
2	Repurchase Agreement — See Note 5.
	RSF — Rydex Series Funds

See Notes to Financial Statements.

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ALL-ASSET CONSERVATIVE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments in unaffiliated issuers, at value (cost $99,986)	$	100,090
Investments in affiliated issuers, at value (cost $9,387,807)		9,825,033
Repurchase agreements, at value (cost $2,718,917)		2,718,917
Segregated cash with broker		194,492
Due from broker		7,666
Receivables:
Fund shares sold		1,102
Total assets		12,847,300
Liabilities:
Foreign currency, at value (proceeds $7,669)		7,675
Payable for:
Fund shares redeemed		74,283
Variation margin		47,393
Distribution and service fees		4,570
Total liabilities		133,921
Net assets	$	12,713,379
Net assets consist of:
Paid in capital	$	13,721,267
Undistributed net investment income		238,023
Accumulated net realized loss on investments		(1,639,779	)
Net unrealized appreciation on investments		393,868
Net assets	$	12,713,379
A-Class:
Net assets	$	2,905,361
Capital shares outstanding		289,327
Net asset value per share	$	10.04
Maximum offering price per share (Net asset value divided by 95.25%)	$	10.54
C-Class:
Net assets	$	7,307,674
Capital shares outstanding		758,275
Net asset value per share	$	9.64
H-Class:
Net assets	$	2,500,344
Capital shares outstanding		248,796
Net asset value per share	$	10.05

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment Income:
Dividends	$	86,501
Interest		325
Total investment income		86,826
Expenses:
Distribution and service fees:
C-Class		30,752
Miscellaneous		35
Total expenses		30,787
Net investment income		56,039
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in affiliated issuers		207,588
Futures contracts		(83,726	)
Foreign currency		44
Net realized gain		123,906
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		104
Investments in affiliated issuers		(1,141,130	)
Futures contracts		(52,908	)
Foreign currency		6
Net change in unrealized appreciation (depreciation)		(1,193,928	)
Net realized and unrealized loss		(1,070,022	)
Net decrease in net assets resulting from operations	$	(1,013,983	)

See Notes to Financial Statements.

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ALL-ASSET CONSERVATIVE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (decrease) in net assets from operations: Net investment income	$	56,039		$	144,331
Net realized gain on investments		123,906			743,525
Net change in unrealized appreciation (depreciation) on investments		(1,193,928	)		179,072
Net increase (decrease) in net assets resulting from operations		(1,013,983	)		1,066,928
Distributions to shareholders from:
Net investment income
A-Class		—			(17,209	)a
C-Class		—			(62,122	)a
H-Class		—			(18,378	)a
Net realized gains
A-Class		—			(6,632	)a
C-Class		—			(23,940	)a
H-Class		—			(7,082	)a
Total distributions to shareholders		—			(135,363	)
Capital share transactions:
Proceeds from sale of shares
A-Class		8,222,905			1,312,584
C-Class		1,021,544			3,358,472
H-Class		884,300			1,148,814
Redemption fees collected
A-Class		—			297
C-Class		—			1,002
H-Class		—			420
Distributions reinvested
A-Class		—			21,774
C-Class		—			80,877
H-Class		—			23,579
Cost of shares redeemed
A-Class		(8,016,742	)		(1,409,993	)
C-Class		(1,803,084	)		(4,789,006	)
H-Class		(748,364	)		(3,460,152	)
Net decrease from capital share transactions		(439,441	)		(3,711,332	)
Net decrease in net assets		(1,453,424	)		(2,779,767	)
Net assets:
Beginning of period		14,166,803			16,946,570
End of period	$	12,713,379		$	14,166,803
Undistributed net investment income at end of period	$	238,023		$	181,984
Capital share activity:
Shares sold
A-Class		772,217			126,661
C-Class		101,311			340,674
H-Class		82,304			110,639
Shares issued from reinvestment of distributions
A-Class		—			2,066
C-Class		—			7,952
H-Class		—			2,235
Shares redeemed
A-Class		(752,571	)		(136,437	)
C-Class		(176,620	)		(479,619	)
H-Class		(70,821	)		(336,679	)
Net decrease in shares		(44,180	)		(362,508	)

^a For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

See Notes to Financial Statements.

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ALL-ASSET CONSERVATIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

	Period			Year			Year			Year			Year			Period
	Ended			Ended			Ended			Ended			Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
A-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.81		$	10.11		$	8.64		$	10.74		$	10.70		$	10.00
Income (loss) from investment operations:
Net investment incomec		.06			.14			.12			.28			.26			.20
Net gain (loss) on investments (realized and unrealized)		(.83	)		.65			1.52			(2.08	)		.12			.56
Total from investment operations		(.77	)		.79			1.64			(1.80	)		.38			.76
Less distributions from:
Net investment income		—			(.07	)g		(.16	)g		(.14	)g		(.22	)g		(.09	)
Net realized gains		—			(.02	)g		(.01	)g		(.16	)g		(.14	)g		—
Total distributions		—			(.09	)		(.17	)		(.30	)		(.36	)		(.09	)
Redemption fees collected		—			—	d		—	d		—	d		.02			.03
Net asset value, end of period	$	10.04		$	10.81		$	10.11		$	8.64		$	10.74		$	10.70
Total Returne		(7.12	%)		7.86	%		19.02	%		(17.05	%)		3.70	%		7.94	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,905		$	2,915		$	2,805		$	2,274		$	4,431		$	782
Ratios to average net assets:
Net investment income		1.17	%		1.39	%		1.27	%		2.84	%		2.39	%		2.47	%
Total expensesf		—	h		—			—			—			0.01	%		0.01	%
Portfolio turnover rate		92	%		112	%		174	%		230	%		119	%		105	%

	Period			Year			Year			Year			Year			Period
	Ended			Ended			Ended			Ended			Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
C-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.42		$	9.82		$	8.46		$	10.60		$	10.65		$	10.00
Income (loss) from investment operations:
Net investment incomec		.03			.07			.05			.28			.17			.08
Net gain (loss) on investments (realized and unrealized)		(.81	)		.62			1.48			(2.12	)		.12			.63
Total from investment operations		(.78	)		.69			1.53			(1.84	)		.29			.71
Less distributions from:
Net investment income		—			(.07	)g		(.16	)g		(.14	)g		(.22	)g		(.09	)
Net realized gains		—			(.02	)g		(.01	)g		(.16	)g		(.14	)g		—
Total distributions		—			(.09	)		(.17	)		(.30	)		(.36	)		(.09	)
Redemption fees collected		—			—	d		—	d		—	d		.02			.03
Net asset value, end of period	$	9.64		$	10.42		$	9.82		$	8.46		$	10.60		$	10.65
Total Returne		(7.49	%)		7.07	%		18.12	%		(17.65	%)		2.86	%		7.44	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	7,308		$	8,683		$	9,474		$	5,107		$	5,074		$	2,804
Ratios to average net assets:
Net investment income		0.50	%		0.66	%		0.58	%		2.87	%		1.53	%		1.05	%
Total expensesf		0.75	%		0.75	%		0.75	%		0.75	%		0.75	%		0.76	%
Portfolio turnover rate		92	%		112	%		174	%		230	%		119	%		105	%

See Notes to Financial Statements.

the RYDEX|SGI series trust semi-annual report | 11

ALL-ASSET CONSERVATIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

	Period			Year			Year			Year			Year			Period
	Ended			Ended			Ended			Ended			Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31,
H-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.82		$	10.12		$	8.65		$	10.75		$	10.71		$	10.00
Income (loss) from investment operations:
Net investment incomec		.07			.14			.12			.31			.25			.15
Net gain (loss) on investments (realized and unrealized)		(.84	)		.65			1.52			(2.11	)		.13			.62
Total from investment operations		(.77	)		.79			1.64			(1.80	)		.38			.77
Less distributions from:
Net investment income		—			(.07	)g		(.16	)g		(.14	)g		(.22	)g		(.09	)
Net realized gains		—			(.02	)g		(.01	)g		(.16	)g		(.14	)g		—
Total distributions		—			(.09	)		(.17	)		(.30	)		(.36	)		(.09	)
Redemption fees collected		—			—	d		—	d		—	d		.02			.03
Net asset value, end of period	$	10.05		$	10.82		$	10.12		$	8.65		$	10.75		$	10.71
Total Returne		(7.12	%)		7.85	%		19.00	%		(17.03	%)		3.69	%		8.04	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	2,500		$	2,568		$	4,667		$	3,022		$	7,014		$	3,634
Ratios to average net assets:
Net investment income		1.26	%		1.33	%		1.28	%		3.14	%		2.28	%		1.93	%
Total expensesf		—	h		—			—			—			0.01	%		0.01	%
Portfolio turnover rate		92	%		112	%		174	%		230	%		119	%		105	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2006. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Redemption fees collected are less than $0.01 per share.
e	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
f	Does not include expenses of the underlying funds in which the Fund invests.
g	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.
h	Less than 0.01%.

See Notes to Financial Statements.

12 | the RYDEX|SGI series trust semi-annual report

FUND PROFILE (Unaudited) September 30, 2011

ALL-ASSET MODERATE STRATEGY FUND

OBJECTIVE: Seeks to primarily provide growth of capital and, secondarily, preservation of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings
(% of Total Net Assets)
Security Income Fund® — U.S. Intermediate Bond Fund — A Class	20.0	%
RSF — U.S. Long Short Momentum Fund — A Class	10.6	%
Security Equity Fund® — MSCI EAFE Equal Weight Fund — A Class	7.0	%
Security Large Cap Value Fund — A Class	7.0	%
Security Equity Fund® — Large Cap Concentrated Growth Fund — A Class	6.8	%
RSF — Long Short Interest Rate Strategy Fund — A Class	5.9	%
RSF — Multi-Hedge Strategies Fund — A Class	5.1	%
RSF — Managed Futures Strategy Fund — A Class	2.6	%
RSF — Event Driven and Distressed Strategies Fund — A Class	2.2	%
Security Mid Cap Growth Fund — A Class	2.0	%
Top Ten Total	69.2	%

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

RSF — Rydex Series Funds

the RYDEX|SGI series trust semi-annual report | 13

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

ALL-ASSET MODERATE STRATEGY FUND

	Shares		Value
EXCHANGE TRADED FUNDS† — 0.8%
iShares Barclays Aggregate Bond Fund		1,817	$	200,070
Total Exchange Traded Funds (Cost $199,862)				200,070
MUTUAL FUNDS†,1 — 80.1%
Alternatives Funds — 31.2%
RSF — U.S. Long Short Momentum Fund — A Class*		211,355		2,504,553
RSF — Long Short Interest Rate Strategy Fund — A Class*		58,743		1,392,208
RSF — Multi-Hedge Strategies Fund — A Class*		53,415		1,203,982
RSF — Managed Futures Strategy Fund — A Class*		24,906		614,171
RSF — Event Driven and Distressed Strategies Fund — A Class*		21,687		513,543
RSF — Commodities Strategy Fund — A Class*		21,983		337,226
RSF — Long/Short Commodities Strategy Fund — A Class		12,176		300,759
RSF — Long Short Equity Strategy Fund — A Class*		11,573		285,390
RSF — Alternative Strategies Fund — A Class*		10,220		241,093
Total Alternatives Funds				7,392,925
Fixed Income Funds — 21.5%
Security Income Fund® — U.S. Intermediate Bond Fund — A Class		272,364		4,747,309
Security Income Fund® — High Yield Fund — A Class		30,696		340,422
Total Fixed Income Funds				5,087,731
Domestic Equity Funds — 18.8%
Security Large Cap Value Fund — A Class		67,044		1,647,934
Security Equity Fund® — Large Cap Concentrated Growth Fund — A Class		218,620		1,617,787
Security Mid Cap Growth Fund — A Class*		16,381		469,635
Security Equity Fund® — Mid Cap Value Fund — A Class		17,211		466,944
Security Equity Fund® — Small Cap Growth Fund — A Class*		10,850		129,225
Security Equity Fund® — Small Cap Value Fund — A Class*		11,050		128,844
Total Domestic Equity Funds				4,460,369
International Equity Funds — 7.0%
Security Equity Fund® — MSCI EAFE Equal Weight Fund — A Class		171,551		1,664,049
Specialty Funds — 1.6%
RSF — Real Estate Fund — A Class		15,288		373,484
Total Mutual Funds (Cost $17,704,694)				18,978,558

	Face
	Amount
REPURCHASE AGREEMENT††,2 — 17.5%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	4,141,047		4,141,047
Total Repurchase Agreement (Cost $4,141,047)				4,141,047
Total Investments — 98.4% (Cost $22,045,604)			$	23,319,675
Cash & Other Assets, Less Liabilities — 1.6%				373,953
Total Net Assets — 100.0%			$	23,693,628

			Unrealized
	Contracts		Gain (loss)
INTEREST RATE FUTURES CONTRACTS PURCHASED†
December 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $1,838,320)		15	$	1,369
FUTURES CONTRACTS PURCHASED†
December 2011 DAX Index Futures Contracts (Aggregate Value of Contracts $181,911)		1		12,737
December 2011 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $171,700)		4		(4,906	)
October 2011 Hang Seng Index Futures Contracts (Aggregate Value of Contracts $109,779)		1		(13,726	)
December 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $1,275,755)		19		(65,731	)
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $3,268,301)		58		(72,695	)
(Total Aggregate Value of Contracts $5,007,446)			$	(144,321	)

See Notes to Financial Statements.

14 | the RYDEX|SGI series trust semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

ALL-ASSET MODERATE STRATEGY FUND

			Unrealized
	Contracts		Gain (loss)
CURRENCY FUTURES CONTRACTS SOLD SHORT†
December 2011 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $190,480)		2	$	13,337
December 2011 Australian Dollar Futures Contracts (Aggregate Value of Contracts $191,740)		2		12,792
December 2011 British Pound Futures Contracts (Aggregate Value of Contracts $194,750)		2		2,607
(Total Aggregate Value of Contracts $576,970)			$	28,736
FUTURES CONTRACTS SOLD SHORT†
December 2011 S&P/Toronto Stock Exchange 60 Index Futures Contracts (Aggregate Value of Contracts $253,321)		2		11,306
December 2011 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $194,107)		2		4,133
December 2011 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $156,514)		2		2,020
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $256,240)		4		456
October 2011 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $197,602)		5		(7,779	)
(Total Aggregate Value of Contracts $1,057,784)			$	10,136

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	A-Class shares of Affiliated Funds.
2	Repurchase Agreement — See Note 5.
	RSF — Rydex Series Funds

See Notes to Financial Statements.

the RYDEX|SGI series trust semi-annual report | 15

ALL-ASSET MODERATE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)

September 30, 2011

Assets:
Investments in unaffiliated issuers, at value (cost $199,862)	$	200,070
Investments in affiliated issuers, at value (cost $17,704,694)		18,978,558
Repurchase agreements, at value (cost $4,141,047)		4,141,047
Foreign currency, at value (cost $10,477)		10,275
Segregated cash with broker		508,072
Receivables:
Fund shares sold		22,040
Total assets		23,860,062
Liabilities:
Due to broker		10,612
Payable for:
Variation margin		136,379
Fund shares redeemed		10,882
Distribution and service fees		8,561
Total liabilities		166,434
Net assets	$	23,693,628
Net assets consist of:
Paid in capital	$	29,746,150
Undistributed net investment income		277,092
Accumulated net realized loss on investments		(7,499,403	)
Net unrealized appreciation on investments		1,169,789
Net assets	$	23,693,628
A-Class:
Net assets	$	6,852,982
Capital shares outstanding		711,534
Net asset value per share	$	9.63
Maximum offering price per share (Net asset value divided by 95.25%)	$	10.11
C-Class:
Net assets	$	13,299,724
Capital shares outstanding		1,437,742
Net asset value per share	$	9.25
H-Class:
Net assets	$	3,540,922
Capital shares outstanding		367,568
Net asset value per share	$	9.63

STATEMENT OF OPERATIONS (Unaudited)

Period Ended September 30, 2011

Investment income:
Dividends	$	91,404
Interest		548
Total investment income		91,952
Expenses:
Distribution and service fees:
C-Class		60,525
Total expenses		60,525
Net investment income		31,427
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in affiliated issuers		730,455
Futures contracts		(412,255	)
Foreign currency		(163	)
Net realized gain		318,037
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		208
Investments in affiliated issuers		(3,011,620	)
Futures contracts		(155,499	)
Foreign currency		(202	)
Net change in unrealized appreciation (depreciation)		(3,167,113	)
Net realized and unrealized loss		(2,849,076	)
Net decrease in net assets resulting from operations	$	(2,817,649	)

See Notes to Financial Statements.

16 | the RYDEX|SGI series trust semi-annual report

ALL-ASSET MODERATE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (decrease) in net assets from operations:
Net investment income	$	31,427		$	168,883
Net realized gain on investments		318,037			2,056,733
Net change in unrealized appreciation (depreciation) on investments		(3,167,113	)		229,321
Net increase (decrease) in net assets resulting from operations		(2,817,649	)		2,454,937
Distributions to shareholders from:
Net investment income
A-Class		—			(36,863	)a
C-Class		—			(80,363	)a
H-Class		—			(21,060	)a
Net realized gains
A-Class		—			(20,468	)a
C-Class		—			(44,621	)a
H-Class		—			(11,693	)a
Total distributions to shareholders		—			(215,068	)
Capital share transactions:
Proceeds from sale of shares
A-Class		619,384			2,264,995
C-Class		954,328			4,762,262
H-Class		1,031,945			1,666,855
Redemption fees collected
A-Class		—			551
C-Class		—			1,160
H-Class		—			371
Distributions reinvested
A-Class		—			53,429
C-Class		—			117,251
H-Class		—			32,009
Cost of shares redeemed
A-Class		(1,466,006	)		(4,409,898	)
C-Class		(3,843,607	)		(7,882,677	)
H-Class		(1,562,235	)		(5,242,983	)
Net decrease from capital share transactions		(4,266,191	)		(8,636,675	)
Net decrease in net assets		(7,083,840	)		(6,396,806	)
Net assets:
Beginning of period		30,777,468			37,174,274
End of period	$	23,693,628		$	30,777,468
Undistributed net investment income at end of period	$	277,092		$	245,665
Capital share activity:
Shares sold
A-Class		60,159			222,647
C-Class		94,942			487,674
H-Class		98,693			163,150
Shares issued from reinvestment of distributions
A-Class		—			5,167
C-Class		—			11,737
H-Class		—			3,096
Shares redeemed
A-Class		(142,279	)		(441,339	)
C-Class		(385,693	)		(822,570	)
H-Class		(149,898	)		(525,938	)
Net decrease in shares		(424,076	)		(896,376	)

^a For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

See Notes to Financial Statements.

the RYDEX|SGI series trust semi-annual report | 17

ALL-ASSET MODERATE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

																Period
	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31
A-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.69		$	9.84		$	7.93		$	10.18		$	10.56		$	10.00
Income (loss) from investment operations:
Net investment incomec		.03			.10			.09			.20			.17			.18
Net gain (loss) on investments (realized and unrealized)		(1.09	)		.82			1.99			(2.31	)		(.24	)		.79
Total from investment operations		(1.06	)		.92			2.08			(2.11	)		(.07	)		.97
Less distributions from:
Net investment income		—			(.05	)h		(.17	)h		(.02	)h		(.12	)h		(.10	)h
Net realized gains		—			(.02	)h		(.01	)h		(.12	)h		(.19	)h		(.32	)h
Total distributions		—			(.07	)		(.18	)		(.14	)		(.31	)		(.42	)
Redemption fees collected		—			—	d		.01			—	d		—	d		.01
Net asset value, end of period	$	9.63		$	10.69		$	9.84		$	7.93		$	10.18		$	10.56
Total Returne		(9.92	%)		9.39	%		26.34	%		(20.85	%)		(0.75	%)		9.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	6,853		$	8,485		$	9,907		$	7,907		$	10,214		$	9,719
Ratios to average net assets:
Net investment income		0.65	%		0.95	%		0.94	%		2.14	%		1.58	%		2.26	%
Total expensesf		—			—			—			—			0.01	%		—
Portfolio turnover rate		43	%		93	%		170	%		220	%		125	%		66	%

																Period
	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31
C-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.31		$	9.56		$	7.77		$	10.05		$	10.50		$	10.00
Income (loss) from investment operations:
Net investment income (loss)c		(—-	)g		.02			.02			.11			.10			.11
Net gain (loss) on investments (realized and unrealized)		(1.06	)		.80			1.94			(2.25	)		(.24	)		.80
Total from investment operations		(1.06	)		.82			1.96			(2.14	)		(.14	)		.91
Less distributions from:
Net investment income		—			(.05	)h		(.17	)h		(.02	)h		(.12	)h		(.10	)h
Net realized gains		—			(.02	)h		(.01	)h		(.12	)h		(.19	)h		(.32	)h
Total distributions		—			(.07	)		(.18	)		(.14	)		(.31	)		(.42	)
Redemption fees collected		—			—	d		.01			—	d		—	d		.01
Net asset value, end of period	$	9.25		$	10.31		$	9.56		$	7.77		$	10.05		$	10.50
Total Returne		(10.28	%)		8.62	%		25.33	%		(21.42	%)		(1.43	%)		9.29	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	13,300		$	17,815		$	19,607		$	17,885		$	30,282		$	18,551
Ratios to average net assets:
Net investment income (loss)		(0.10	%)		0.21	%		0.17	%		1.22	%		0.90	%		1.34	%
Total expensesf		0.75	%		0.75	%		0.75	%		0.75	%		0.76	%		0.75	%
Portfolio turnover rate		43	%		93	%		170	%		220	%		125	%		66	%

18 | the RYDEX|SGI series trust semi-annual report

ALL-ASSET MODERATE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

																Period
	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31
H-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.69		$	9.84		$	7.94		$	10.18		$	10.56		$	10.00
Income (loss) from investment operations:
Net investment incomec		.03			.09			.08			.16			.13			.18
Net gain (loss) on investments (realized and unrealized)		(1.09	)		.83			1.99			(2.26	)		(.20	)		.79
Total from investment operations		(1.06	)		.92			2.07			(2.10	)		(.07	)		.97
Less distributions from:
Net investment income		—			(.05	)h		(.17	)h		(.02	)h		(.12	)h		(.10	)h
Net realized gains		—			(.02	)h		(.01	)h		(.12	)h		(.19	)h		(.32	)h
Total distributions		—			(.07	)		(.18	)		(.14	)		(.31	)		(.42	)
Redemption fees collected		—			—	d		.01			—	d		—	d		.01
Net asset value, end of period	$	9.63		$	10.69		$	9.84		$	7.94		$	10.18		$	10.56
Total Returne		(9.92	%)		9.39	%		26.18	%		(20.75	%)		(0.75	%)		9.90	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,541		$	4,478		$	7,660		$	6,279		$	11,359		$	8,623
Ratios to average net assets:
Net investment income		0.66	%		0.92	%		0.92	%		1.73	%		1.22	%		2.32	%
Total expensesf		—			—			—			—			0.01	%		—
Portfolio turnover rate		43	%		93	%		170	%		220	%		125	%		66	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2006. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Redemption fees collected are less than $0.01 per share.
e	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
f	Does not include expenses of the underlying funds in which the Fund invests.
g	Net investment income (loss) is less than $0.01 per share.
h	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

the RYDEX|SGI series trust semi-annual report | 19

FUND PROFILE (Unaudited) September 30, 2011

ALL-ASSET AGGRESSIVE STRATEGY FUND

OBJECTIVE: Seeks to primarily provide growth of capital.

Holdings Diversification (Market Exposure as % of Net Assets)

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

Inception Dates:
A-Class	June 30, 2006
C-Class	June 30, 2006
H-Class	June 30, 2006

Ten Largest Holdings
(% of Total Net Assets)
RSF — U.S. Long Short Momentum Fund — A Class	12.8	%
Security Large Cap Value Fund — A Class	9.5	%
Security Equity Fund® — Large Cap Concentrated Growth Fund — A Class	9.5	%
Security Income Fund ® — U.S. Intermediate Bond Fund — A Class	9.4	%
Security Equity Fund® — MSCI EAFE Equal Weight Fund — A Class	7.6	%
RSF — Long Short Interest Rate Strategy Fund — A Class	5.4	%
RSF — Multi-Hedge Strategies Fund — A Class	4.2	%
RSF — Managed Futures Strategy Fund — A Class	3.9	%
Security Equity Fund® — Mid Cap Value Fund — A Class	2.5	%
Security Mid Cap Growth Fund — A Class	2.5	%
Top Ten Total	67.3	%

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

RSF — Rydex Series Funds

20 | the RYDEX|SGI series trust semi-annual report

SCHEDULE OF INVESTMENTS (Unaudited) September 30, 2011

ALL-ASSET AGGRESSIVE STRATEGY FUND

	Shares		Value
EXCHANGE TRADED FUNDS† — 0.9%
iShares Barclays Aggregate Bond Fund		909	$	100,090
Total Exchange Traded Funds (Cost $99,986)				100,090
MUTUAL FUNDS†,1 — 80.2%
Alternatives Funds — 34.3%
RSF — U.S. Long Short Momentum Fund — A Class*		118,872		1,408,636
RSF — Long Short Interest Rate Strategy Fund — A Class*		24,720		585,869
RSF — Multi-Hedge Strategies Fund — A Class*		20,229		455,958
RSF — Managed Futures Strategy Fund — A Class*		17,104		421,783
RSF — Event Driven and Distressed Strategies Fund — A Class*		11,332		268,350
RSF — Long/Short Commodities Strategy Fund — A Class		7,375		182,168
RSF — Commodities Strategy Fund — A Class*		11,136		170,829
RSF — Long Short Equity Strategy Fund — A Class*		5,870		144,764
RSF — Alternative Strategies Fund — A Class*		4,767		112,464
Total Alternatives Funds				3,750,821
Domestic Equity Funds — 26.6%
Security Large Cap Value Fund — A Class		42,852		1,053,291
Security Equity Fund® — Large Cap Concentrated Growth Fund — A Class		140,516		1,039,818
Security Equity Fund® — Mid Cap Value Fund — A Class		10,189		276,417
Security Mid Cap Growth Fund — A Class*		9,614		275,628
Security Equity Fund® — Small Cap Growth Fund — A Class*		11,012		131,155
Security Equity Fund® — Small Cap Value Fund — A Class*		11,245		131,117
Total Domestic Equity Funds				2,907,426
Fixed Income Funds — 9.5%
Security Income Fund® — U.S. Intermediate Bond Fund — A Class		58,896		1,026,549
Security Income Fund® — High Yield Fund — A Class		1,641		18,197
Total Fixed Income Funds				1,044,746
International Equity Funds — 7.6%
Security Equity Fund® — MSCI EAFE Equal Weight Fund — A Class		85,595		830,275
Specialty Funds — 2.2%
RSF — Real Estate Fund — A Class		9,690		236,739
Total Mutual Funds (Cost $8,176,588)				8,770,007
	Face
	Amount
REPURCHASE AGREEMENT††,2 — 17.4%
Credit Suisse Group issued 09/30/11 at 0.00% due 10/03/11	$	1,897,045		1,897,045
Total Repurchase Agreement (Cost $1,897,045)				1,897,045
Total Investments — 98.5% (Cost $10,173,619)			$	10,767,142
Cash & Other Assets, Less Liabilities — 1.5%				159,395
Total Net Assets — 100.0%			$	10,926,537

			Unrealized
	Contracts		Gain (Loss)
INTEREST RATE FUTURES CONTRACTS PURCHASED†
December 2011 U.S. Treasury 5 Year Note Futures Contracts (Aggregate Value of Contracts $490,219)		4	$	269
FUTURES CONTRACTS PURCHASED†
December 2011 DAX Index Futures Contracts (Aggregate Value of Contracts $181,911)		1		12,737
December 2011 Nikkei-225 Stock Average Index Futures Contracts (Aggregate Value of Contracts $85,850)		2		(2,453	)
October 2011 Hang Seng Index Futures Contracts (Aggregate Value of Contracts $109,779)		1		(13,726	)
December 2011 MSCI EAFE Index Mini Futures Contracts (Aggregate Value of Contracts $671,450)		10		(27,986	)
December 2011 S&P 500 Index Mini Futures Contracts (Aggregate Value of Contracts $1,972,250)		35		(43,064	)
(Total Aggregate Value of Contracts $3,021,240)			$	(74,492	)

See Notes to Financial Statements.

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SCHEDULE OF INVESTMENTS (Unaudited) (concluded) September 30, 2011

ALL-ASSET AGGRESSIVE STRATEGY FUND

			Unrealized
	Contracts		Gain (Loss)
CURRENCY FUTURES CONTRACTS SOLD SHORT†
December 2011 Canadian Dollar Futures Contracts (Aggregate Value of Contracts $95,240)		1	$	6,667
December 2011 Australian Dollar Futures Contracts (Aggregate Value of Contracts $95,870)		1		6,396
December 2011 British Pound Futures Contracts (Aggregate Value of Contracts $97,375)		1		1,304
(Total Aggregate Value of Contracts $288,485)			$	14,367
FUTURES CONTRACTS SOLD SHORT†
December 2011 S&P/Toronto Stock Exchange 60 Index Futures Contracts (Aggregate Value of Contracts $126,660)		1		6,005
December 2011 SPI 200 Index Futures Contracts (Aggregate Value of Contracts $97,054)		1		2,067
December 2011 FTSE 100 Index Futures Contracts (Aggregate Value of Contracts $78,257)		1		1,010
December 2011 Russell 2000 Index Mini Futures Contracts (Aggregate Value of Contracts $128,120)		2		229
October 2011 CAC 40 Euro Futures Contracts (Aggregate Value of Contracts $79,041)		2		(3,112	)
(Total Aggregate Value of Contracts $509,132)			$	6,199

*	Non-income producing security.
†	Value determined based on Level 1 inputs — See Note 4.
††	Value determined based on Level 2 inputs — See Note 4.
1	A-Class shares of Affiliated Funds.
2	Repurchase Agreement — See Note 5.
	RSF — Rydex Series Funds

See Notes to Financial Statements.

22 | the RYDEX|SGI series trust semi-annual report

ALL-ASSET AGGRESSIVE STRATEGY FUND

STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
September 30, 2011
Assets:
Investments in unaffiliated issuers, at value (cost $99,986)	$	100,090
Investments in affiliated issuers, at value (cost $8,176,588)		8,770,007
Repurchase agreements, at value (cost $1,897,045)		1,897,045
Foreign currency, at value (cost $12,010)		11,765
Segregated cash with broker		281,870
Receivables:
Fund shares sold		3,096
Total assets		11,063,873
Liabilities:
Due to broker		12,139
Payable for:
Variation margin		82,009
Fund shares redeemed		39,688
Distribution and service fees		3,500
Total liabilities		137,336
Net assets	$	10,926,537
Net assets consist of:
Paid in capital	$	13,791,802
Undistributed net investment income		106,387
Accumulated net realized loss on investments		(3,511,255	)
Net unrealized appreciation on investments		539,603
Net assets	$	10,926,537
A-Class:
Net assets	$	3,567,543
Capital shares outstanding		396,056
Net asset value per share	$	9.01
Maximum offering price per share (Net asset value divided by 95.25%)	$	9.46
C-Class:
Net assets	$	5,386,743
Capital shares outstanding		623,883
Net asset value per share	$	8.63
H-Class:
Net assets	$	1,972,251
Capital shares outstanding		219,023
Net asset value per share	$	9.00

STATEMENT OF OPERATIONS (Unaudited)
Period Ended September 30, 2011
Investment Income:
Dividends	$	23,576
Interest		305
Total investment income		23,881
Expenses:
Distribution and service fees:
C-Class		23,895
Total expenses		23,895
Net investment loss		(14	)
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in affiliated issuers		574,555
Futures contracts		(342,190	)
Foreign currency		(218	)
Net realized gain		232,147
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		104
Investments in affiliated issuers		(2,156,934	)
Futures contracts		(93,056	)
Foreign currency		(263	)
Net change in unrealized appreciation (depreciation)		(2,250,149	)
Net realized and unrealized loss		(2,018,002	)
Net decrease in net assets resulting from operations	$	(2,018,016	)

See Notes to Financial Statements.

the RYDEX|SGI series trust semi-annual report | 23

ALL-ASSET AGGRESSIVE STRATEGY FUND

STATEMENTS OF CHANGES IN NET ASSETS

	Period Ended			Year
	September 30,			Ended
	2011			March 31,
	(Unaudited)			2011
Increase (decrease) in net assets from operations:
Net investment income (loss)	$	(14	)	$	60,403
Net realized gain on investments		232,147			824,966
Net change in unrealized appreciation (depreciation) on investments		(2,250,149	)		915,300
Net increase (decrease) in net assets resulting from operations		(2,018,016	)		1,800,669
Distributions to shareholders from:
Net investment income
A-Class		—			(4,100	)a
C-Class		—			(4,071	)a
H-Class		—			(1,726	)a
Net realized gains
A-Class		—			(19,053	)a
C-Class		—			(18,922	)a
H-Class		—			(8,023	)a
Total distributions to shareholders		—			(55,895	)
Capital share transactions:
Proceeds from sale of shares
A-Class		506,910			2,068,087
C-Class		388,848			1,443,010
H-Class		869,917			1,350,482
Redemption fees collected
A-Class		—			121
C-Class		—			128
H-Class		—			62
Distributions reinvested
A-Class		—			14,520
C-Class		—			21,423
H-Class		—			9,658
Cost of shares redeemed
A-Class		(3,310,222	)		(2,185,888	)
C-Class		(1,258,109	)		(2,074,277	)
H-Class		(1,464,176	)		(2,331,122	)
Net decrease from capital share transactions		(4,266,832	)		(1,683,796	)
Net increase (decrease) in net assets		(6,284,848	)		60,978
Net assets:
Beginning of period		17,211,385			17,150,407
End of period	$	10,926,537		$	17,211,385
Undistributed net investment income at end of period	$	106,387		$	106,401
Capital share activity:
Shares sold
A-Class		49,098			215,657
C-Class		40,550			155,387
H-Class		85,519			140,593
Shares issued from reinvestment of distributions
A-Class		—			1,455
C-Class		—			2,227
H-Class		—			968
Shares redeemed
A-Class		(338,907	)		(226,325	)
C-Class		(129,655	)		(228,788	)
H-Class		(149,551	)		(249,441	)
Net decrease in shares		(442,946	)		(188,267	)

^a For financial reporting purposes, certain distributions from net investment income for federal tax purposes have been reclassified to distributions from realized gains.

See Notes to Financial Statements.

24 | the RYDEX|SGI series trust semi-annual report

ALL-ASSET AGGRESSIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS

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

																Period
	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31
A-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.40		$	9.29		$	6.98		$	9.69		$	10.28		$	10.00
Income (loss) from investment operations:
Net investment incomec		.02			.07			.05			.12			.11			.24
Net gain (loss) on investments (realized and unrealized)		(1.41	)		1.07			2.37			(2.60	)		(.48	)		.77
Total from investment operations		(1.39	)		1.14			2.42			(2.48	)		(.37	)		1.01
Less distributions from:
Net investment income		—			(.01	)g		(.10	)g		(.22	)g		(.06	)g		(.10	)g
Net realized gains		—			(.02	)g		(.01	)g		(.01	)g		(.16	)g		(.64	)g
Total distributions		—			(.03	)		(.11	)		(.23	)		(.22	)		(.74	)
Redemption fees collected		—			—	d		—	d		—	d		—	d		.01
Net asset value, end of period	$	9.01		$	10.40		$	9.29		$	6.98		$	9.69		$	10.28
Total Returne		(13.37	%)		12.31	%		34.67	%		(25.81	)%		(3.77	%)		10.37	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	3,568		$	7,134		$	6,457		$	5,389		$	8,596		$	13,854
Ratios to average net assets:
Net investment income		0.31	%		0.70	%		0.55	%		1.40	%		1.01	%		3.11	%
Total expensesf		—			—			—			0.02	%		0.01	%		—
Portfolio turnover rate		44	%		97	%		185	%		278	%		120	%		92	%

																Period
	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31
C-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.01		$	9.01		$	6.82		$	9.56		$	10.22		$	10.00
Income (loss) from investment operations:
Net investment income (loss)c		(.02	)		(.01	)		(.02	)		.05			.06			(.03	)
Net gain (loss) on investments (realized and unrealized)		(1.36	)		1.04			2.32			(2.56	)		(.50	)		.98
Total from investment operations		(1.38	)		1.03			2.30			(2.51	)		(.44	)		.95
Less distributions from:
Net investment income		—			(.01	)g		(.10	)g		(.22	)g		(.06	)g		(.10	)g
Net realized gains		—			(.02	)g		(.01	)g		(.01	)g		(.16	)g		(.64	)g
Total distributions		—			(.03	)		(.11	)		(.23	)		(.22	)		(.74	)
Redemption fees collected		—			—	d		—	d		—	d		—	d		.01
Net asset value, end of period	$	8.63		$	10.01		$	9.01		$	6.82		$	9.56		$	10.22
Total Returne		(13.79	%)		11.47	%		33.72	%		(26.48	%)		(4.48	%)		9.76	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	5,387		$	7,135		$	7,063		$	4,667		$	6,178		$	6,537
Ratios to average net assets:
Net investment income (loss)		(0.44	%)		(0.09	%)		(0.21	%)		0.59	%		0.60	%		(0.34	%)
Total expensesf		0.75	%		0.75	%		0.75	%		0.77	%		0.76	%		0.75	%
Portfolio turnover rate		44	%		97	%		185	%		278	%		120	%		92	%

the RYDEX|SGI series trust semi-annual report | 25

ALL-ASSET AGGRESSIVE STRATEGY FUND

FINANCIAL HIGHLIGHTS (concluded)

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

																Period
	Period Ended			Year Ended			Year Ended			Year Ended			Year Ended			Ended
	September 30,			March 31,			March 31,			March 31,			March 31,			March 31
H-Class	2011a			2011			2010			2009			2008			2007b
Per Share Data
Net asset value, beginning of period	$	10.40		$	9.29		$	6.97		$	9.69		$	10.29		$	10.00
Income (loss) from investment operations:
Net investment incomec		.02			.06			.04			.11			.08			.15
Net gain (loss) on investments (realized and unrealized)		(1.42	)		1.08			2.39			(2.60	)		(.46	)		.87
Total from investment operations		(1.40	)		1.14			2.43			(2.49	)		(.38	)		1.02
Less distributions from:
Net investment income		—			(.01	)g		(.10	)g		(.22	)g		(.06	)g		(.10	)g
Net realized gains		—			(.02	)g		(.01	)g		(.01	)g		(.16	)g		(.64	)g
Total distributions		—			(.03	)		(.11	)		(.23	)		(.22	)		(.74	)
Redemption fees collected		—			—	d		—	d		—	d		—	d		.01
Net asset value, end of period	$	9.00		$	10.40		$	9.29		$	6.97		$	9.69		$	10.29
Total Returne		(13.46	%)		12.31	%		34.86	%		(25.92	%)		(3.87	%)		10.48	%
Ratios/Supplemental Data
Net assets, end of period (in thousands)	$	1,972		$	2,943		$	3,630		$	3,240		$	4,447		$	6,486
Ratios to average net assets:
Net investment income		0.31	%		0.66	%		0.53	%		1.22	%		0.80	%		1.94	%
Total expensesf		—			—			—			0.02	%		0.01	%		—
Portfolio turnover rate		44	%		97	%		185	%		278	%		120	%		92	%

a	Unaudited figures for the period ended September 30, 2011. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
b	Since commencement of operations: June 30, 2006. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized.
c	Net investment income (loss) per share was computed using average shares outstanding throughout the period.
d	Redemption fees collected are less than $0.01 per share.
e	Total return does not reflect the impact of any applicable sales charges and has not been annualized.
f	Does not include expenses of the underlying funds in which the Fund invests.
g	For financial reporting purposes, certain distributions from net investment income for federal income tax purposes have been reclassified to distributions from realized gains.

26 | the RYDEX|SGI series trust semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited)

1. Organization and Significant Accounting Policies Organization

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. The Trust offers eight separate classes of shares, Investor Class shares, Investor2 Class shares, Advisor Class shares, A-Class shares, C-Class shares, H-Class shares, Y-Class shares, and Institutional Class shares. Sales of shares of each Class are made without a front-end sales charge at the net asset value per share (“NAV”), with the exception of A-Class shares. A-Class shares are sold at the net asset value, plus the applicable front-end sales charge. The sales charge varies depending on the amount purchased, but will not exceed 4.75%. A-Class share purchases of $1 million or more are exempt from the front-end sales charge but have a 1% contingent deferred sales charge (“CDSC”) if shares are redeemed within 12 months of purchase. C-Class shares have a 1% CDSC if shares are redeemed within 12 months of purchase.

At September 30, 2011, the Trust consisted of fifty-eight separate funds. This report covers the Asset Allocation Funds (the “Funds”), while the other funds are contained in separate reports.

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

Each Fund is a “fund of funds,” which means that each Fund seeks to achieve its investment objective by investing primarily in a combination of mutual funds (the underlying funds), within the same group of affiliated investment companies and exchange traded funds (“ETFs”) instead of in individual securities. The underlying funds are advised by Security Investors, LLC (doing business as SGI). SGI is an indirect, wholly-owned subsidiary of Security Benefit Corporation.

Significant Accounting Policies

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

A. The underlying funds are valued at their NAV as of the close of business, usually 4:00 p.m. on the valuation date. Short-term securities with a maturity of 60 days or less are valued at amortized cost, which approximates market value.

B. The value of futures contracts purchased and sold by the Trust is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.

C. Security 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. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discount, is accrued on a daily basis. Distributions received from investments in REITs are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distribution by the issuer.

D. 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 assets of each Fund included in the Trust.

E. The Funds invested in interest rate, currency and equity index futures contracts for liquidity and index exposure. Futures contracts are contracts for delayed delivery of securities at a specified future delivery date and at a specific price. Upon entering into a futures contract, a Fund deposits and maintains as collateral

the RYDEX|SGI series trust semi-annual report | 27

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

such initial margin as required by the exchange on which the transaction is affected. 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. F. Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. generally accepted accounting principles.

G. Throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

2. Financial Instruments

As part of their investment strategies, the underlying funds may utilize short sales and a variety of derivative instruments including options, futures, options on futures, structured notes, and swap agreements. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts reflected in the underlying funds’ NAVs.

The Funds are subject to fund of funds risk. By investing in the underlying funds indirectly through the Fund, an investor will incur not only a proportionate share of the expenses of the underlying funds held by the Fund (including operating costs and management fees), but also expenses of the Fund. Consequently, an investment in the Fund entails more direct and indirect expenses than a direct investment in the underlying funds.

In conjunction with the use of futures contracts, 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 short sales, futures contracts, and swap agreements, include i) adverse changes in the value of such instruments; ii) imperfect correlation between the price of the instruments and movements in the price of the underlying securities, indices, or futures contracts; iii) the possible absence of a liquid secondary market for any particular instrument at any time; and iv) the potential of counterparty default. The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counter-party credit risk.

3. Fees and Other Transactions with Affiliates

SGI manages the investment and reinvestment of the assets of each of the Funds in accordance with the investment objectives, policies, and limitations of each Fund, however, the Funds do not pay SGI a management fee. As part of its agreement with the Trust, SGI will pay all expenses of the Funds, 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 indirectly bears a proportionate share of the total operating expenses (including investment management, shareholder servicing, custody, transfer agency, audit and other expenses) of the underlying funds in which the Fund invests.

RFS provides transfer agent, accounting and administrative services to the Funds. However, the related fees are paid by SGI, as noted above.

The Funds have not adopted a Distribution Plan or 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 RDL and other firms that provide distribution services (“Service Providers”). The underlying funds will pay distribution fees to RDL 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, RDL 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.

The Funds have adopted a Distribution and Shareholder Services Plan applicable to their C-Class shares that allows the Funds to pay annual distribution and service fees of 0.75% 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 0.50% distribution

28 | the RYDEX|SGI series trust semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

fee reimburses RDL for paying the shareholder’s financial advisor an ongoing sales commission. RDL advances the first year’s service and distribution fees to the financial advisor. RDL retains the service and distribution fees on accounts with no authorized dealer of record.

For the period ended September 30, 2011, RDL retained sales charges of $216,199 relating to sales of A-Class shares of the Trust.

Certain officers and trustees of the Trust are also officers of SGI, RFS and RDL.

4. Fair Value Measurement

In accordance with U.S. generally accepted accounting principles, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

Level 1 — quoted prices in active markets for identical securities.

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

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

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

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

	Level 1		Level 1		Level 2		Level 3
	Investments		Other Financial		Investments		Investments
Fund	In Securities		Instruments*		In Securities		In Securities		Total
Assets
All-Asset Conservative Strategy Fund	$	9,925,123	$	24,779	$	2,718,917	$	—	$	12,668,819
All-Asset Moderate Strategy Fund		19,178,628		60,757		4,141,047		—		23,380,432
All-Asset Aggressive Strategy Fund		8,870,097		36,684		1,897,045		—		10,803,826
Liabilities
All-Asset Conservative Strategy Fund	$	—	$	68,246	$	—	$	—	$	68,246
All-Asset Moderate Strategy Fund		—		164,837		—		—		164,837
All-Asset Aggressive Strategy Fund		—		90,341		—		—		90,341

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

For the period ended September 30, 2011, there were no transfers between levels.

5. Repurchase Agreements

The Funds transfer 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 and U.S. Government Agencies. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

At September 30, 2011, the collateral for the repurchase agreements in the joint account was as follows:

Counterparty and Terms of
Agreement	Face Value		Repurchase Price		Collateral		Par Value		Fair Value
Credit Suisse Group					U.S. Treasury Note
0.00%					3.50% - 3.63%
due 10/03/11	$	24,098,997	$	24,098,997		08/15/19 - 05/15/20	$	20,962,900	$	24,580,994
	$	24,098,997	$	24,098,997			$	20,962,900	$	24,580,994

In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their 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 Funds seek to assert their rights. The Funds’ investment advisor, acting under the supervision of the Board of Trustees, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.

6. Derivative Investment Holdings Categorized by Risk Exposure

U.S. generally accepted accounting principles requires disclosures to enable investors to better understand how and why the Funds use derivative instruments, how these derivatives instruments are accounted for and their effects on the Funds’ financial position and results of operations. None of the derivatives currently held by the Funds are being used as hedging instruments.

During the period ended September 30, 2011, the Funds sought to gain exposure to their respective benchmarks by investing in currency, equity and interest rate futures. The following table represents the notional amount of derivative instruments outstanding, as an approximate percentage of the Funds’ net assets on a daily basis, while the risk to the Fund is limited to the profit earned on such derivatives.

	Approximate percentage of Fund’s
	net assets on a daily basis
Fund	Long			Short
All-Asset Conservative Strategy Fund		25	%		5	%
All-Asset Moderate Strategy Fund		30	%		5	%
All-Asset Aggressive Strategy Fund		30	%		5	%

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

	Location on the Statements of Assets and Liabilities
Derivative Investments Type	Asset Derivatives	Liability Derivatives
Equity/Interest Rate/Currency contracts	Variation margin	Variation margin

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

	Asset Derivative Investments Value
	Futures		Futures		Futures
	Equity		Interest Rate		Currency		Total Value at
Fund	Contracts*		Contracts*		Contracts*		September 30, 2011
| | | |
All-Asset Conservative Strategy Fund	$	9,311	$	1,101	$	14,367	$	24,779
All-Asset Moderate Strategy Fund		30,652		1,369		28,736		60,757
All-Asset Aggressive Strategy Fund		22,048		269		14,367		36,684
	Liability Derivative Investments Value
	Futures		Futures		Futures
	Equity		Interest Rate		Currency		Total Value at
Fund	Contracts*		Contracts*		Contracts*		September 30, 2011
All-Asset Conservative Strategy Fund	$	68,246	$	—	$	—	$	68,246
All-Asset Moderate Strategy Fund		164,837		—		—		164,837
All-Asset Aggressive Strategy Fund		90,341		—		—		90,341

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

30 | the RYDEX|SGI series trust semi-annual report

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

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

Derivative Investment Types	Location of Gain (Loss) on Derivatives
Equity/Interest Rate/Currency contracts	Net realized gain (loss) on futures contracts
	Net change in unrealized appreciation (depreciation) on futures contracts

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

Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations
	Futures			Futures		Futures
	Equity			Interest Rate		Currency
Fund	Contracts			Contracts		Contracts		Total
All-Asset Conservative Strategy Fund	$	(172,991	)	$	87,920	$	1,345	$	(83,726	)
All-Asset Moderate Strategy Fund		(520,358	)		105,413		2,690		(412,255	)
All-Asset Aggressive Strategy Fund		(370,207	)		26,672		1,345		(342,190	)
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations
	Futures			Futures		Futures
	Equity			Interest Rate		Currency
Fund	Contracts			Contracts		Contracts		Total
All-Asset Conservative Strategy Fund	$	(71,743	)	$	4,468	$	14,367	$	(52,908	)
All-Asset Moderate Strategy Fund		(188,836	)		4,601		28,736		(155,499	)
All-Asset Aggressive Strategy Fund		(109,135	)		1,712		14,367		(93,056	)

7. Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all net investment income and capital gains to shareholders.

Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (fiscal years 2007 — 2011), and has concluded that no provision for income tax is required in the Funds’ financial statements.

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

Permanent book and tax basis differences, if any, will result in reclassifications. This may include net operating losses not utilized during the current period and capital loss carryforward expired or permanently lost due to limitations in the Internal Revenue Code. These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or long-term capital gain remaining at fiscal year end is distributed in the following year.

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

Tax basis capital losses in excess of capital gains are carried forward to offset future net capital gains.

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

			Tax		Tax			Net
	Tax		Unrealized		Unrealized			Unrealized
Fund	Cost		Gain		Loss			Gain
All-Asset Conservative Strategy Fund	$	9,550,262	$	652,568	$	(277,706	)	$	374,862
All-Asset Moderate Strategy Fund		18,267,359		1,332,466		(421,197	)		911,269
All-Asset Aggressive Strategy Fund		8,541,189		542,592		(213,683	)		328,909

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NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)

8. Securities Transactions

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

	Purchases		Sales
All-Asset Conservative Strategy Fund	$	9,833,648	$	9,897,160
All-Asset Moderate Strategy Fund		9,622,434		12,681,166
All-Asset Aggressive Strategy Fund		5,368,710		8,850,147

9. Line of Credit

The Trust has secured an uncommitted, $75,000,000 line of credit with U.S. Bank, N.A. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly. The maximum loan amount outstanding per Fund should be the lesser of: an amount which, when added to the total of other outstanding loan amounts under this agreement, exceeds the total line of credit, 33 1/3% of a Fund’s net assets, 33 1/3% of a Fund’s assets held by the Custodian or 33 1/3% of the sum of a Fund’s securities on any given day. This line of credit expires on June 15, 2012. As of and for the period ended September 30, 2011, the Funds did not have any borrowings under this agreement.

32 | the RYDEX|SGI series trust 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.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, 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.

Office Locations

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

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

Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850

9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210

Guggenheim Transaction

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

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

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

At the Meetings, shareholders will be asked to approve New Advisory Agreements with respect to each Fund.

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OTHER INFORMATION (Unaudited) (continued)

Election of Board Members

The Boards have also approved a proposal to elect nine individuals to the Boards. The Boards propose the election of the following nominees: Donald C. Cacciapaglia, Corey A. Colehour, J. Kenneth Dalton, John O. Demaret, Richard M. Goldman, Werner E. Keller, Thomas F. Lydon, Patrick T. McCarville and Roger Somers. Each of the nominees, other than Mr. Cacciapaglia, currently serves as a Trustee. In connection with the Transaction, the Boards believe that expanding the Boards to include Mr. Cacciapaglia, who is a member of senior management of Guggenheim’s investment management business, and who would serve on other boards in the Rydex|SGI family of funds, would be appropriate. Information regarding the proposals will be contained in the proxy materials to be filed with the SEC. The proxy statement will be mailed to shareholders of record, and you will also be able to access the proxy statement from the EDGAR Database on the SEC’s website at http://www.sec.gov once filed.

Board Considerations in Approving the Investment Advisory

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

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

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

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

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

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

34 | the RYDEX|SGI series trust semi-annual report

OTHER INFORMATION (Unaudited) (continued)

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

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

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

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

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

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OTHER INFORMATION (Unaudited) (concluded)

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

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

36 | the RYDEX|SGI series trust semi-annual report

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees the Trust, as well as other trusts of SGI, in which its members have no stated term of service, and continue to serve after election until resignation. The Statement of Additional Information includes further information about Fund Trustees and Officers, and can be obtained without charge by calling 800.820.0888.

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

INDEPENDENT TRUSTEES

	Length of Service
Name, Position and	As Trustee	Number of
Year of Birth	(Year Began)	Funds Overseen
Corey A. Colehour	Rydex Series Funds — 1993	150
Trustee (1945)	Rydex Variable Trust — 1998
	Rydex Dynamic Funds — 1999
	Rydex ETF Trust — 2003

Principal Occupations During Past Five Years: Retired; Member of the Audit and Governance and Nominating Committees (1995 to present)

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

the RYDEX|SGI series trust semi-annual report | 37

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

EXECUTIVE OFFICERS

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

38 | the RYDEX|SGI series trust semi-annual report

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

EXECUTIVE OFFICERS — continued

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Joanna M. Haigney* Chief Compliance Officer and Secretary (1966)	Current: Chief Compliance Officer and Secretary, SBL Fund; Security Equity Chief Compliance Officer and Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President, Rydex Holdings, LLC; Vice President, Security Benefit Asset Management Holdings, LLC; Senior Vice President and Chief Compliance Officer, Security Investors, LLC
	Previous: Security Global Investors, LLC, Senior Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Chief Compliance Officer and Senior Vice President (2010-2011); Rydex Capital Partners I, LLC and Rydex Capital Partners II, LLC, Chief Compliance Officer (2006-2007); Rydex Fund Services, LLC (f/k/a Rydex Fund Services, Inc.), Vice President (2001-2006)
Keith A. Fletcher* Vice President (1958)	Current: Senior Vice President, Security Investors, LLC; Vice President, Rydex Holdings, LLC; Vice President, Rydex Specialized Products, LLC; Vice President, Rydex Distributors, LLC; Vice President, Rydex Fund Services, LLC; Vice President and Director, Advisor Research Center, Inc.; Vice President, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2009-2011); Lyster Watson and Company, Managing Director (2007-2008); Fletcher Financial Group, Inc., Chief Executive Officer (2004-2007)
Amy J. Lee* Vice President and Assistant Secretary (1960)	Current: Senior Vice President and Secretary, Security Investors, LLC; Secretary and Chief Compliance Officer, Security Distributors, Inc.; Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation; Associate General Counsel, First Security Benefit Life Insurance and Annuity of New York; Vice President and Secretary, SBL Fund; Security Equity Fund; Security Income Fund; Security Large Cap Value Fund and Security Mid Cap Growth Fund; Vice President and Secretary, Rydex Holdings, LLC Secretary, Advisor Research Center, Inc., Rydex Specialized Products, LLC, Rydex Distributors, LLC and Rydex Fund Services, LLC; Assistant Secretary, Security Benefit Clinic and Hospital
	Previous: Security Global Investors, LLC, Senior Vice President and Secretary (2007- 2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Senior Vice President and Secretary (2010-2011); Brecek and Young Advisors, Inc., Director (2004-2008)

the RYDEX|SGI series trust semi-annual report | 39

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

EXECUTIVE OFFICERS — concluded

Name, Position and	Principal Occupations
Year of Birth	During Past Five Years
Joseph M. Arruda* Assistant Treasurer (1966)	Current: Assistant Treasurer, SBL Fund, Security Equity Fund, Security Income Fund, Security Large Cap Value Fund, and Security Mid Cap Growth Fund; Vice President, Security Investors, LLC; Chief Financial Officer and Manager, Rydex Specialized Products, LLC
	Previous: Security Global Investors, LLC, Vice President (2010-2011); Rydex Advisors, LLC (f/k/a PADCO Advisors, Inc.) and Rydex Advisors II, LLC (f/k/a PADCO Advisors II, Inc.), Vice President (2004-2011)

* Officers of the Funds are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a) (19) of the 1940 Act, inasmuch as this person is affiliated with Security Global Investors.

40 | the RYDEX|SGI series trust semi-annual report

RYDEX | SGI PRIVACY POLICIES

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

Our Commitment to You

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

The Information We Collect About You

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

How We Handle Your Personal Information

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

Opt Out Provisions

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

How We Protect Privacy Online

Our concern for the privacy of our shareholders also extends to those who use our web site, www.rydex-sgi.com. Our web site uses some of the most secure forms of online communication available, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These technologies provide a high level of security and privacy when you access your account information or initiate online transactions. The Rydex|SGI web site offers customized features that require our use of “http cookies”—tiny pieces of information that we ask your browser to store. However, we make very limited use of these cookies. We only use cookies for session management and security features on the Rydex|SGI web site. We do not use them to pull data from your hard drive, to learn your email address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.

How We Safeguard Your Personal Information

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

We’ll Keep You Informed

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

the RYDEX|SGI series trust semi-annual report | 41

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805 King Farm Boulevard, Suite 600
Rockville, MD 20850
www.rydex-sgi.com
800.820.0888
RSEP-SEMI-0911x0312

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. Investments.

Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable

Item 11. Controls and Procedures.

(a)

The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b)

The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(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/ Richard M. Goldman             Richard M. Goldman, President

Date December 8, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/ Richard M. Goldman
	Richard M. Goldman, President

Date December 8, 2011

By (Signature and Title)* /s/ Nikolaos Bonos             Nikolaos Bonos, Vice President and Treasurer

Date December 8, 2011

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

EX-99.CERT

EX.-12(a)(2)(i)

CERTIFICATIONS

I, Richard M. Goldman, 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(s) 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(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)	All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b)	Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: December 8, 2011

/s/ Richard M. Goldman  

Richard M. Goldman, President 

EX.-12(a)(2)(ii)

CERTIFICATIONS

I, Nikolaos 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(s) 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(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a)	All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and
(b)	Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: December 8, 2011

/s/ Nikolaos Bonos  

Nikolaos Bonos, Vice President & Treasurer 

EX-99.906CERT

EX. - 12(b)(i)

CERTIFICATIONS

I, Richard M. Goldman, 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 8, 2011

/s/ Richard M. Goldman  

Richard M. Goldman, President 

EX. - 12(b)(ii)

CERTIFICATIONS

I, Nikolaos 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 8, 2011

/s/ Nikolaos Bonos  

Nikolaos Bonos, Vice President and Treasurer