<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
RYDEX SERIES TRUST
SEMI-ANNUAL REPORT
December 31, 1995
6116 Executive Boulevard, Suite 400
[LOGO OF RYDEX APPERS HERE] Rockville, MD 20852
(301) 468-8520 (800) 820-0888
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Dear Shareholder:
The past 12 months proved to be an eventful period for mutual fund investors.
Returns of the stock and bond markets were among the best achieved in the last
several years. The S & P 500 gained over 34%, while the Dow Jones Industrial
Average broke into record territory, moving past the 5000 mark. U.S. Treasuries
ended near their high for the year, as bond yields fell dramatically. After a
disappointing performance for 1994, the bond market was within sight of its
1993 highs. Lack of inflationary pressure and Federal Reserve Board policy
contributed to the strong bond market. The technology sector had a banner year,
notwithstanding a turbulent second half. Finally, after a year of high
volatility due to major structural changes in the global economy, the dollar
ended the year on a firm note.
These events of 1995 provided great investment opportunities for our
shareholders and offered Rydex a chance to perform on the "long" side of both
the fixed income and equity markets. It is our hope that shareholders who use
the funds in asset allocation and timing strategies were able to take part in
the extraordinary opportunities offered by the market.
Several of the Rydex Funds turned in outstanding performances for the year. A
highlight for the fund family was the performance of the Nova portfolio which
attempts to provide a 150% exposure to the S & P 500. Its total return for 1995
was 50.42%. The Rydex OTC Fund - which tracks the NASDAQ 100 (NDX) - had a
total return for the year of 44.24%. Also, in harmony with the strong bond
market, the Rydex U. S. Government Bond Fund ended the year with a 36.14% total
return, ranking as the number one performing Treasury Bond fund according to
Lipper Analytical Services, Inc. As expected, given the strong equity and fixed
income markets, the Rydex Ursa Fund, designed to move inversely to the S & P
500, had a negative total return for the period. Likewise, the Rydex Juno Fund
posted a negative return in 1995. Its total return from March 3, 1995
(inception) to December 31, 1995 was -14.5%. Juno's objective is to move
inversely to the price of the current 30-year Treasury Bond.
<PAGE>
Finally, after making strong gains toward the end of 1995, the Precious Metals
Fund ended the year with a total return of 11.54%.
In closing, Rydex is very proud of what we have achieved for 1995, both in
terms of performance and asset growth. Your commitment to the fund family
encourages us to explore new opportunities and develop unique portfolios to
assist you in managing your assets. We hope to continue to work closely with
you and look forward to another successful year in 1996.
If you have any questions or comments or would like a current prospectus on
our fund family, please call us at (800) 820-0888 or (301) 468-8520. We
appreciate your continued support, and look forward to serving your investment
needs in the coming years.
Sincerely,
/s/ Albert P. (Skip) Viragh
Albert P. (Skip) Viragh
Chairman of the Board
2
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
------------ ---------------
<S> <C> <C>
OPTIONS PURCHASED 37.2%
Call Options Purchased on:
S&P 500 Futures Contracts Expiring March 1996
at 500 291 $ 17,234,475
S&P 500 Futures Contracts Expiring March 1996
at 520 172 8,471,000
S&P 500 Index Expiring March 1996 at 320 1,000 29,648,000
S&P 500 Index Expiring January 1996 at 290 2,000 65,192,000
------------
Total Call Options (Cost $117,056,038) 120,545,475
------------
<CAPTION>
Unrealized Gain
(Note 1)
---------------
<S> <C> <C>
FUTURES CONTRACTS 0.4%
S&P 500 Futures Contracts Expiring March 1996
(Underlying Face Amount at Market Value
$189,245,700) 612 1,372,056
------------
<CAPTION>
Face Amount
------------
<S> <C> <C>
REPURCHASE AGREEMENT 62.4%
Repurchase Agreement collateralized by U.S.
Federal agency obligations --5.75% 1/2/96
(Note 3) $201,900,000 201,900,000
------------
Total Investments 100% ($318,956,038) $323,817,531
============
- ---------------------------------------------------------------------------
<CAPTION>
Market Value
Contracts (Note 1)
------------ ---------------
<S> <C> <C>
WRITTEN OPTION CONTRACTS
Call Options Written
S&P 500 Index Expiring March 1996 at 330 1,000 $ 28,659,000
S&P 500 Index Expiring March 1996 at 300 2,000 63,194,000
------------
Total Options Written (Proceeds $89,040,732) $ 91,853,000
============
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
RYDEX SERIES TRUST
URSA FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ------------
<S> <C> <C>
OPTIONS PURCHASED 89.0%
Put Options Purchased on:
S&P 500 Futures Contract Expiring March 1996 at 670
(Cost $1,645,637) 70 $ 1,809,500
------------
Call Options Purchased on:
S&P 500 Futures Contract Expiring January 24, 1996
at 290 2,000 65,204,000
S&P 500 Futures Contract Expiring January 31, 1996
at 290 2,000 65,210,000
S&P 500 Index Expiring January 2, 1996 at 290 2,000 65,188,000
S&P 500 Index Expiring January 15, 1996 at 290 4,000 130,396,000
S&P 500 Index Expiring February 12, 1996 at 290 4,000 130,428,000
S&P 500 Index Expiring February 21, 1996 at 290 2,000 65,220,000
S&P 500 Index Expiring February 27, 1996 at 290 2,000 65,224,000
S&P 500 Index Expiring March 11, 1996 at 320 2,000 59,296,000
------------
Total Call Options Purchased (Cost $613,572,000) 646,166,000
------------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 8.1%
U.S. Treasury Bill 6.66% due 1/11/96 (Cost
$58,914,004) 59,000,000 58,914,004
------------
REPURCHASE AGREEMENT 2.9%
Repurchase Agreement collateralized by U.S. Federal
agency obligations--
5.75% 1/2/96 (Note 3) $20,900,000 20,900,000
------------
Total Investments 100% (Cost $695,031,641) $727,789,504
============
- -----------------------------------------------------------------------------
<CAPTION>
Unrealized
Contracts Gain
----------- ------------
<S> <C> <C>
FUTURES CONTRACTS SOLD
S&P 500 Futures Contract Expiring March 1996
(Underlying Face Amount at Market Value
$96,168,975) 311 $ 417,325
============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
RYDEX SERIES TRUST
URSA FUND
SCHEDULE OF INVESTMENTS (continued)
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
--------- ------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Call Options Written on:
S&P 500 Futures Contract Expiring January 24, 1996 at
290 2,000 $ 63,212,000
S&P 500 Futures Contract Expiring January 31, 1996 at
300 2,000 63,220,000
S&P 500 Index Expiring January 2, 1996 at 300 2,000 63,188,000
S&P 500 Index Expiring January 15, 1996 at 290 4,000 126,404,000
S&P 500 Index Expiring February 12, 1996 at 300 4,000 126,456,000
S&P 500 Index Expiring February 21, 1996 at 300 2,000 63,236,000
S&P 500 Index Expiring February 27, 1996 at 300 2,000 63,242,000
S&P 500 Index Expiring March 11, 1996 at 330 2,000 57,318,000
------------
Total Options Written (Proceeds $593,786,206) $626,276,000
============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note 1)
------------ ------------
<S> <C> <C>
REPURCHASE AGREEMENT 100.0%
Repurchase Agreement Collateralized by U.S. Federal
agency obligations--5.75% due 1/2/96 (Note 3) $119,500,000 $119,500,000
------------
Total Investments 100% (Cost $119,500,000) $119,500,000
============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------ ----------
<S> <C> <C>
COMMON STOCKS 89.8%
Microsoft Corp.* 46,593 $4,088,536
Intel Corp. 65,933 3,741,698
Cisco Systems, Inc.* 21,509 1,605,109
Oracle Systems Corp.* 34,046 1,442,699
Amgen* 20,954 1,244,144
MCI Communications, Inc. 42,981 1,122,879
Tele-Communications, Inc. 44,420 882,848
Sun Microsystems, Inc.* 13,876 633,092
Bay Networks, Inc.* 13,949 573,653
Applied Materials, Inc.* 14,419 567,748
Worldcom, Inc.* 15,199 535,765
U.S. Healthcare, Inc. 10,859 504,944
3Com Corp. 10,739 500,706
Novell, Inc.* 29,266 417,040
Chiron Corp.* 3,346 369,733
Adobe Systems 5,449 337,838
Northwest Airline Corp.* 6,610 337,110
DSC Communications Corp.* 9,014 332,391
Apple Computer, Inc. 9,737 310,367
Informix Corp.* 10,262 307,860
Parametric Technology* 4,397 292,400
U.S. Robotics, Inc. 3,187 279,659
Comcast Corp. Class A 15,298 278,232
Nordstrom, Inc. 6,593 267,016
Intuit, Inc.* 3,344 260,832
MFS Communications* 4,885 260,126
Tellabs, Inc.* 6,977 258,149
Dell Computer Corp.* 7,194 249,092
Willamette Industries, Inc. 4,364 245,475
HBO & Company 3,150 241,369
America Online, Inc.* 6,396 239,850
St. Jude Medical, Inc.* 5,517 237,231
Linear Technology Corp. 5,828 228,749
Price/Costco, Inc.* 14,925 227,606
Stratcom* 3,038 223,293
Qualcom* 4,995 214,785
</TABLE>
* Non-Income Producing Securities.
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------ -----------
<S> <C> <C>
Sybase, Inc.* 5,706 $ 205,416
Stryker Corp. 3,825 200,812
Staples* 8,107 197,608
Sigma Aldrich Corp.* 3,928 194,436
Glenayre Tech., Inc.* 3,111 193,660
Paging Network* 7,918 193,001
BMC Software, Inc.* 4,050 173,138
Atmel Corp.* 7,735 173,071
Xilinx, Inc.* 5,643 172,112
Biogen, Inc.* 2,798 172,077
Adaptec* 4,030 165,230
Biomet, Inc.* 9,222 164,843
American Greetings, Corp. 5,653 156,164
Tyson Foods, Inc. 5,921 154,686
Worthington Industries, Inc 7,197 149,788
Viking Office Products* 3,153 146,614
Centocor, Inc.* 4,608 142,272
Gateway 2000, Inc.* 5,724 140,238
AES Corp.* 5,832 139,239
Autodesk, Inc. 3,843 131,623
PACCAR, Inc. 3,093 130,293
McCormick & Co. 5,284 127,477
NEXTEL Communications, Inc.* 8,427 124,298
Healthcare Company* 2,630 114,405
Electronics Arts, Inc.* 4,007 104,683
KLA Instruments, Inc.* 4,007 104,432
Lam Research Corp.* 2,160 98,820
Cirrus Logic, Inc.* 4,971 98,177
Cracker Barrel Old Country Store, Inc. 4,769 82,265
Perrigo Company* 6,173 73,304
Compuware Corp.* 3,618 66,933
Stewart & Stevenson Services, Inc. 2,638 66,610
American Power Conversion Corp.* 6,999 66,491
-----------
Total Common Stocks
(Cost $24,935,350) $28,484,240
===========
</TABLE>
7
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER FUND
SCHEDULE OF INVESTMENTS (continued)
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.1%
NASDAQ 100 Call Option Contract Expiring January 1996
at 595 4 $ 2,500
NASDAQ 100 Call Option Contract Expiring January 1996
at 575 23 37,375
-----------
Total Call Options Purchased (Cost $52,966) 39,875
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 10.1%
Repurchase agreement collateralized by U.S. Federal
agency obligations--5.75% 1/2/96 (Note 3) $ 3,200,000 $ 3,200,000
-----------
Total Investments 100% (Cost $28,188,316) $31,724,115
===========
- ------------------------------------------------------------------------------
WRITTEN OPTIONS CONTRACTS
<CAPTION>
Market
Contracts Value
----------- -----------
<S> <C> <C>
Put Options Written
NASDAQ 100 Option Contract Expiring January 1996 at
595 4 $ 9,300
NASDAQ 100 Option Contract Expiring January 1996 at
575 23 31,625
-----------
Total Options Written (Proceeds $41,321) $ 40,925
===========
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------- -----------
<S> <C> <C>
COMMON STOCKS 99.6%
Mining and Precious Metals Stocks
Barrick Gold Corp. 441,773 $11,651,763
Placer Dome, Ltd. 309,504 7,466,784
Newmont Mining Corp. 122,011 5,521,008
Homestake Mining Co. 168,028 2,625,438
Echo Bay Mines, Ltd. 159,576 1,655,601
Battle Mountain Gold Co. 107,192 897,733
Pegasus Gold, Inc.* 54,318 753,662
ASA Limited 15,842 588,134
Hecla Mining Co.* 71,044 488,428
Horsham Corp. 32,443 437,980
First Mississippi Corp. 11,882 314,873
First Mississippi Gold, Inc.* 11,106 247,109
Santa Fe Pacific Gold Corp. 16,171 196,073
Agnico Eagle Mines, Ltd. 14,496 183,012
TVX Gold, Inc.* 17,582 125,272
Hemlo Gold Mines, Inc. 9,900 92,812
Kinross Gold Corp.* 8,700 66,338
Engelhard Corp. 2,438 53,026
Freeport McMoran, Inc., Class A 1,887 52,836
Newmont Gold Corp. 1,100 48,125
Cambior, Inc. 2,908 31,624
Amax Gold, Inc.* 4,324 31,349
Anglo American Gold Investment Co., Ltd. 3,470 27,760
Western Deep Levels, Ltd. 800 26,200
Alumax, Inc.* 592 18,130
MK Gold Co.* 4,437 11,093
Siskon Gold Corp., Class A* 2,959 5,918
Buffelsfontein Gold Mining Co., Ltd.* 894 2,570
-----------
Total Common Stocks (Cost $33,833,825) $33,620,651
===========
</TABLE>
* Non-Income Producing Securities.
See Notes to Financial Statements.
9
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS (continued)
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.1%
XAU Index Call Option Contract Expiring January 1996
at 115
(Cost $10,560) 20 $ 13,000
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 0.3%
Repurchase Agreement collateralized by U.S. Federal
agency obligations 5.75% due 1/2/96 (Note 3) 100,000 100,000
-----------
Total Investments 100% (Cost $33,944,385) $33,733,651
===========
- ------------------------------------------------------------------------------
WRITTEN OPTION CONTRACTS
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
Put Options on XAU Index Expiring January 1996 at 115
(Proceeds $7,940) 20 $ 1,750
===========
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note1)
----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 90.8%
U.S. Treasury Bond 6.875% due 8/15/2025 (Cost
$45,242,281) $41,918,000 $47,262,545
-----------
<CAPTION>
Contracts
-----------
<S> <C> <C>
OPTIONS PURCHASED 4.0%
Call Options on U.S. Treasury Bond Futures Contract
Expiring March 1996 at 108 (Cost $1,819,171) 156,000 2,101,125
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 5.2%
Repurchase Agreement collateralized by U.S. Federal
agency obligations--5.75% due 1/2/96 (Note 3) $ 2,700,000 2,700,000
-----------
Total Investments 100.0% (Cost $49,761,452) $52,063,670
===========
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
RYDEX SERIES TRUST
JUNO FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ----------
<S> <C> <C>
OPTIONS PURCHASED 1.2%
Put options on U.S. Treasury Bond Futures Contracts
Expiring March 1996 at 128 (Cost $61,301) 6,000 $ 39,843
----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 98.8%
Repurchase Agreement collateralized by U.S. Federal
agency obligations 5.75% 1/2/96 (Note 3) $3,400,000 3,400,000
----------
Total Investments 100% (Cost $3,461,301) $3,439,843
==========
- ----------------------------------------------------------------------------
<CAPTION>
Unrealized
Contracts (Loss)
----------- ----------
<S> <C> <C>
FUTURES CONTRACTS SOLD
U.S. Treasury Bond Futures Contract Expiring March
1996
(Underlying Face Amount at Market Value
$2,672,312) 22 $ (31,371)
==========
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Government
Nova Ursa Money
Fund Fund Market Fund
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS
Securities at Value (Note 1)--See
Accompanying Schedules $322,445,475 $727,789,504 $119,500,000
Receivable for Futures Contracts
Settlement 272,212 0 0
Investment Income Receivable 96,744 10,015 57,260
Cash in Custodian Bank 1,592,712 1,551,950 1,026,157
Cash on Deposit with Broker 0 1,545,450 0
Receivable for Shares Purchased 14,443,586 14,842,281 41,048,055
Unamortized Organization Costs (Note 1) 88,141 49,663 26,687
Prepaid Expenses 2,177 5,422 0
Other Assets 251,070 44,436 658,135
------------ ------------ ------------
Total Assets 339,192,117 745,838,721 162,316,294
------------ ------------ ------------
LIABILITIES
Payable for Futures Contracts
Settlement 0 85,226 0
Written Options at Market Value 91,853,000 626,276,000 0
Liability For Shares Redeemed 24,644,597 1,290,153 22,055,191
Dividends Payable 0 0 20,941
Investment Advisory Fee Payable 140,628 84,464 68,561
Organization Expenses Payable to
Advisor 2,817 7,089 17,420
Other Liabilities 0 123,928 101,001
------------ ------------ ------------
Total Liabilities 116,641,042 627,866,860 22,263,114
------------ ------------ ------------
NET ASSETS $222,551,075 $117,971,861 $140,053,180
============ ============ ============
Shares Outstanding 15,915,933 14,669,946 140,154,163
============ ============ ============
Net Asset Value Per Share $13.98 $8.04 $1.00
====== ===== =====
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
December 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S.
Counter Metals Government Juno
Fund Fund Bond Fund Fund
----------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
ASSETS
Securities at Value (Note 1)--
See Accompanying Schedules $31,724,115 $33,733,651 $52,063,670 $3,439,843
Receivable for Securities Sold 26,202,030 5,091,526 0 0
Investment Income Receivable 11,208 6,703 1,073,239 543
Cash in Custodian Bank 26,766 73,747 5,866 75,084
Cash on Deposit with Broker 538,119 207,472 0 240,766
Receivable for Shares Purchased 1,666,455 348,441 202,866 6,500
Unamortized Organization Costs
(Note 1) 14,811 20,540 12,483 28,258
Other Assets 221,095 99,699 2,256 80
----------- ----------- ----------- ----------
Total Assets 60,404,599 39,581,779 53,360,380 3,791,074
----------- ----------- ----------- ----------
LIABILITIES
Payable for Securities
Purchased 33,552 0 0 0
Payable for Futures Contracts
Settlement 0 0 0 7,951
Written Options at Market Value 40,925 1,750 0 0
Liability For Shares Redeemed 29,798,252 5,692,018 424,890 107,839
Dividends Payable 0 0 266,630 0
Investment Advisory Fee Payable 25,213 28,036 17,638 2,463
Organization Expense Payable to
Advisor 22,322 8,074 17,900 33,792
Other Liabilities 117,576 92,130 109,981 241,005
----------- ----------- ----------- ----------
Total Liabilities 30,037,840 5,822,008 837,039 393,050
----------- ----------- ----------- ----------
NET ASSETS $30,366,759 $33,759,771 $52,523,341 $3,398,024
=========== =========== =========== ==========
Shares Outstanding 2,357,444 3,841,311 5,033,658 397,401
=========== =========== =========== ==========
Net Asset Value Per Share $12.88 $8.79 $10.43 $8.55
====== ===== ====== =====
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Period Ended December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Government
Nova Ursa Money
Fund Fund Market Fund
----------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest $ 2,440,701 $ 3,908,907 $5,295,210
----------- ------------ ----------
Total Income 2,440,701 3,908,907 5,295,210
----------- ------------ ----------
EXPENSES
Advisory Fees (Note 4) 404,381 713,679 501,145
Transfer Agent Fees (Note 4) 99,399 203,234 216,412
Audit and Accounting 43,817 56,595 69,797
Legal 37,259 39,183 45,116
Organizational Expenses 17,572 8,337 4,475
Registration Fees 10,838 46,264 96,164
Custodian Fees 35,833 34,564 34,437
Miscellaneous 195,882 73,428 57,315
----------- ------------ ----------
Total Expenses 844,981 1,175,284 1,024,861
Custodian Fees Paid Indirectly (Note 5) (33,430) (32,161) (32,034)
----------- ------------ ----------
Net Expenses 811,551 1,143,123 992,827
----------- ------------ ----------
Net investment income 1,629,150 2,765,784 4,302,383
----------- ------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities 5,343,490 41,686,990 0
Written Options 92,800 (43,260,875) 0
Futures Contracts 6,518,482 (18,524,267)
----------- ------------ ----------
Total Net Realized Gain (Loss) 11,954,772 (20,098,152) 0
Net Change in Unrealized Appreciation
(Depreciation) On Investments 1,782,667 2,854,868 0
----------- ------------ ----------
Net Gain (Loss) on Investments 13,737,439 (17,243,284) 0
----------- ------------ ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations $15,366,589 $(14,477,500) $4,302,383
=========== ============ ==========
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Period Ended December 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S.
Counter Metals Government Juno
Fund Fund Bond Fund Fund
----------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $ 685,465 $ 159,056 $ 579,541 $ 553,307
Dividends 97,853 197,573 0 0
----------- ----------- ---------- -----------
Total Income 783,318 356,629 579,541 553,307
----------- ----------- ---------- -----------
EXPENSES
Advisory Fees (Note 4) 303,649 207,595 52,492 93,684
Transfer Agent Fees (Note
4) 86,843 61,328 19,662 18,290
Audit and Accounting 35,864 40,553 16,058 12,082
Legal 10,689 10,915 8,928 2,712
Organizational Expenses 2,486 3,403 807 3,369
Registration Fees 19,949 26,864 14,367 10,392
Custodian Fees 45,027 26,685 8,915 16,446
Miscellaneous 126,576 57,632 126,379 16,968
----------- ----------- ---------- -----------
Total Expenses 631,083 434,975 247,608 173,943
Custodian Fees Paid
Indirectly (Note 5) (22,863) (18,789) (6,512) (14,443)
----------- ----------- ---------- -----------
Net Expenses 608,220 416,186 241,096 159,500
----------- ----------- ---------- -----------
Net investment income
(loss) 175,098 (59,557) 338,445 393,807
----------- ----------- ---------- -----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss)
on:
Investment Securities 3,746,405 420,014 915,912 (2,705,256)
Written Options (70,220) (53,707) (42,469)
----------- ----------- ---------- -----------
Total Net Realized Gain
(Loss) 3,676,185 366,307 915,912 (2,747,725)
Net Change in Unrealized
Appreciation
(Depreciation) on
Investments, Options and
Futures Contracts (4,941,294) (4,372,501) 2,293,744 (62,278)
----------- ----------- ---------- -----------
Net Gain (Loss) on
Investments (1,265,109) (4,006,194) 3,209,656 (2,810,003)
----------- ----------- ---------- -----------
Net Increase (Decrease) in
Net Assets Resulting from
Operations $(1,090,011) $(4,065,751) $3,548,101 $(2,416,196)
=========== =========== ========== ===========
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund Ursa Fund
------------------------ --------------------------
Period Ended Year Ended Period Ended Year Ended
December 31, June 30, December 31, June 30,
1995 1995 1995 1995
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income $ 1,629,150 $ 1,439,357 $ 2,765,784 $ 6,175,756
Net Realized Gain (Loss)
on Investments 11,954,772 13,817,408 (20,098,152) (35,881,477)
Net Change in Unrealized
Appreciation
(Depreciation) of
Investments 1,782,667 1,292,835 2,854,868 (6,422,346)
------------ ----------- ------------ ------------
Net Increase in Net
Assets Resulting from
Operations 15,366,589 16,549,600 (14,477,500) (36,128,067)
------------ ----------- ------------ ------------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
From Net Investment
Income (Note 1) 0 (1,456,675) 0 (5,638,191)
From Realized Gain on
Investments 0 (4,253,350) 0 0
FROM SHARES TRANSACTIONS
(Note 8) 144,268,948 (25,838,163) 4,820,666 58,496,332
------------ ----------- ------------ ------------
Net Increase (Decrease)
in Net Assets 159,635,537 (14,998,588) (9,656,834) 16,730,074
------------ ----------- ------------ ------------
NET ASSETS--Beginning of
Period 62,915,538 77,914,126 127,628,695 110,898,621
------------ ----------- ------------ ------------
NET ASSETS--End of Period $222,551,075 $62,915,538 $117,971,861 $127,628,695
============ =========== ============ ============
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government
Money Market Fund
---------------------------
Period Ended Year Ended
December 31, June 30,
1995 1995
------------- ------------
<S> <C> <C>
FROM INVESTMENT ACTIVITIES
Net Investment Income $ 4,302,383 $ 6,154,866
------------- ------------
Net Increase in Net Assets Resulting from Opera-
tions 4,302,383 6,154,866
------------- ------------
FROM DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1) (4,302,383) (6,073,204)
In Excess of Net Investment Income (100,983)
FROM SHARES TRANSACTIONS (Note 8) (144,044,232) 196,010,161
------------- ------------
Net Increase (Decrease) in Net Assets (144,145,215) 196,091,823
------------- ------------
NET ASSETS--Beginning of Period 284,198,395 88,106,572
------------- ------------
NET ASSETS--End of Period $ 140,053,180 $284,198,395
============= ============
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious Metals
Counter Fund Fund
------------------------- -------------------------
Period Ended Year Ended Period Ended Year Ended
December 31, June 30, December 31, June 30,
1995 1995 1995 1995
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income
(Loss) $ 175,098 $ 647,070 $ (59,557) $ 339,855
Net Realized Gain (Loss)
on Investments 3,676,185 8,710,161 366,307 (9,206,800)
Net Change in Unrealized
Appreciation
(Depreciation) of
Investments (4,941,294) 8,840,779 (4,372,501) 4,226,627
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets Resulting
from Operations (1,090,011) 18,198,010 (4,065,751) (4,640,318)
FROM DISTRIBUTIONS TO
SHAREHOLDERS
From Net Investment
Income (Note 1) 0 (542,955) 0 (332,993)
From Realized Gain on
Investments (1,826,444) (3,435,400) 0 0
FROM SHARES TRANSACTION
(Note 8) (28,664,374) 17,033,155 (3,035,559) 44,308,359
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets (31,580,829) 31,252,810 (7,101,310) 39,335,048
------------ ----------- ----------- -----------
NET ASSETS--Beginning of
Period 61,947,588 30,694,778 40,861,081 1,526,033
------------ ----------- ----------- -----------
NET ASSETS--End of Period $ 30,366,759 $61,947,588 $33,759,771 $40,861,081
============ =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Juno
Bond Fund Fund
------------------------ -------------------------
Period Ended Year Ended Period Ended Year Ended
December 31, June 30, December 31, June 30,
1995 1995 1995 1995
------------ ---------- ------------ -----------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income $ 338,445 $ 71,541 $ 393,807 $ 135,504
Net Realized Gain (Loss)
on Investments 915,912 277,544 (2,747,725) (1,636,350)
Net Change in Unrealized
Appreciation
(Depreciation) of
Investments 2,293,744 56,925 (62,278) 9,450
----------- ---------- ----------- -----------
Net Increase (Decrease)
in Net Assets Resulting
from Operations 3,548,101 406,010 (2,416,196) (1,491,396)
FROM DISTRIBUTIONS TO
SHAREHOLDERS
From Net Investment
Income (Note 1) (329,130) (46,239) 0 0
From Realized Gain on
Investments (239,367) 0 0 0
FROM SHARES TRANSACTION
(Note 8) 46,952,228 667,535 1,512,909 5,792,707
----------- ---------- ----------- -----------
Net Increase (Decrease)
in Net Assets 49,931,832 1,027,306 (903,287) 4,301,311
----------- ---------- ----------- -----------
NET ASSETS--Beginning of
Period 2,591,509 1,564,203 4,301,311 0
----------- ---------- ----------- -----------
NET ASSETS--End of Period $52,523,341 $2,591,509 $ 3,398,024 $ 4,301,311
=========== ========== =========== ===========
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund
------------------------------------------
For the Period For the Year For the Period
Ended Ended Ended
December 31, June 30, June 30,
1995 1995 1994*
-------------- ------------ --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF
PERIOD $ 11.81 $ 9.77 $ 10.01
-------- ------- --------
Net Investment Income .20 .28 .01
Net Realized and Unrealized Gains
(Losses) on Securities 1.97 2.88 (.25)
-------- ------- --------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations 2.17 3.16 (.24)
Dividends to Shareholders .00 (.29) .00
Distributions to Shareholders From
Net Realized Capital Gain .00 (.83) .00
-------- ------- --------
Net Increase (Decrease) in Net
Asset Value 2.17 2.04 (.24)
-------- ------- --------
NET ASSET VALUE--END OF PERIOD $ 13.98 $ 11.81 $ 9.77
======== ======= ========
TOTAL INVESTMENT RETURN 18.37% 32.65% (2.47)%
RATIOS TO AVERAGE NET ASSETS**
Expenses 1.58% 1.43% 1.73%
Net Investment Income 3.04% 2.62% 1.05%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0%
Net Assets, End of Period (000's
omitted) $222,551 $62,916 $ 77,914
</TABLE>
* Commencement of Operations: July 12, 1993.
** Annualized.
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year. The Nova, Ursa, and Juno
Funds typically hold most of their investments in options and futures
contracts which are deemed short-term securities. Refer to Note 6 for
information regarding their securities transactions.
See Notes to Financial Statements.
21
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ursa Fund
------------------------------------------
For the Period For the Year For the Period
Ended Ended Ended
December 31, June 30, June 30,
1995 1995 1994*
-------------- ------------ --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF
PERIOD $ 8.79 $ 10.54 $ 10.00
-------- -------- --------
Net Investment Income .15 .35 .01
Net Realized and Unrealized Gains
(Losses) on Securities (.90) (1.78) .53
-------- -------- --------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations (.75) (1.43) .54
Dividends to Shareholders .00 (.32) .00
-------- -------- --------
Net Increase (Decrease) in Net
Asset Value (.75) (1.75) .54
-------- -------- --------
NET ASSET VALUE--END OF PERIOD $ 8.04 $ 8.79 $ 10.54
======== ======== ========
TOTAL INVESTMENT RETURN (8.53)% (14.08)% 10.89%
RATIOS TO AVERAGE NET ASSETS**
Expenses 1.48% 1.39% 1.67%
Net Investment Income 3.48% 3.50% 1.43%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0%
Net Assets, End of Period (000's
omitted) $117,972 $127,629 $110,899
</TABLE>
* Commencement of Operations: January 7, 1994.
** Annualized.
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year. The Nova, Ursa, and Juno
Funds typically hold most of their investments in options and futures
contracts which are deemed short-term securities. Refer to Note 6 for
information regarding their securities transactions.
See Notes to Financial Statements.
22
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market Fund
------------------------------------------
For the Period For the Year For the Period
Ended Ended Ended
December 31, June 30, June 30,
1995 1995 1994*
-------------- ------------ --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF
PERIOD $ 1.00 $ 1.00 $ 1.00
-------- -------- -------
Net Investment Income .02 .04 .01
Net Realized and Unrealized Gains
(Losses) on Securities .00 .00 .00
-------- -------- -------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations .02 .04 .01
Dividends to Shareholders (.02) (.04) (.01)
-------- -------- -------
Net Increase (Decrease) in Net
Asset Value .00 .00 .00
-------- -------- -------
NET ASSET VALUE--END OF PERIOD $ 1.00 $ 1.00 $ 1.00
======== ======== =======
TOTAL INVESTMENT RETURN 2.43% 4.43% 2.47%
RATIOS TO AVERAGE NET ASSETS**
Expenses 0.94% 0.89% 1.16%
Net Investment Income 4.37% 4.23% 2.34%
SUPPLEMENTARY DATA:
Net Assets, End of Period (000's
omitted) $140,154 $284,198 $88,107
</TABLE>
* Commencement of Operations: December 3, 1993.
** Annualized.
See Notes to Financial Statements.
23
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the-Counter Fund
------------------------------------------
For the Period For the Year For the Period
Ended Ended Ended
December 31, June 30, June 30,
1995 1995 1994*
-------------- ------------ --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF
PERIOD $ 12.22 $ 8.76 $ 10.00
-------- ------- ---------
Net Investment Income .03 .14 .01
Net Realized and Unrealized Gains
(Losses) on Securities .93 4.17 (1.25)
-------- ------- ---------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations .96 4.31 (1.24)
Dividends to Shareholders .00 (.12) .00
Distributions to Shareholders From
Net Realized Capital Gain (.30) (.73) .00
-------- ------- ---------
Net Increase (Decrease) in Net
Asset Value .66 3.46 (1.24)
-------- ------- ---------
NET ASSET VALUE--END OF PERIOD $ 12.88 $ 12.22 $ 8.76
======== ======= =========
TOTAL INVESTMENT RETURN 7.42% 49.00% (30.17)%
RATIOS TO AVERAGE NET ASSETS**
Expenses 1.56% 1.41% 1.97%
Net Investment Income 0.43% 1.34% 1.69%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate 1,688% 2,241% 1,171%
Net Assets, End of Period (000's
omitted) $ 30,366 $61,948 $ 30,695
</TABLE>
* Commencement of Operations: February 14, 1994.
** Annualized
See Notes to Financial Statements.
24
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Precious Metals Fund
------------------------------------------
For the Period For the Year For the Period
Ended Ended Ended
December 31, June 30, June 30,
1995 1995 1994*
-------------- ------------ --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF
PERIOD $ 8.73 $ 8.29 $ 10.00
-------- ------- ---------
Net Investment Income (Loss) (.01) .10 .01
Net Realized and Unrealized Gains
(Losses) on Securities .07 .43 (1.72)
-------- ------- ---------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations .06 .53 (1.71)
Dividends to Shareholders .00 (.09) .00
-------- ------- ---------
Net Increase (Decrease) in Net
Asset Value .06 .44 (1.71)
-------- ------- ---------
NET ASSET VALUE--END OF PERIOD $ 8.79 $ 8.73 $ 8.29
======== ======= =========
TOTAL INVESTMENT RETURN 0.69% 6.21% (29.27)%
RATIOS TO AVERAGE NET ASSETS**
Expenses 1.56% 1.38% 2.06%
Net Investment Income (0.21)% 1.15% 1.23%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate 592% 1,765% 2,728%
Net Assets, End of Period (000's
omitted) $ 33,760 $40,861 $ 1,526
</TABLE>
* Commencement of Operations: December 1, 1993.
** Annualized
See Notes to Financial Statements.
25
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Bond Fund
------------------------------------------
For the Period For the Year For the Period
Ended Ended Ended
December 31, June 30, June 30,
1995 1995 1994*
-------------- ------------ --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF
PERIOD $ 9.55 $ 8.24 $ 10.00
------- ------- ---------
Net Investment Income .16 .39 .02
Net Realized and Unrealized Gains
(Losses) on Securities 1.04 1.17 (1.76)
------- ------- ---------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations 1.20 1.56 (1.74)
Dividends to Shareholders (.16) (.25) (.02)
Distributions to Shareholders From
Net Realized Capital Gain (.11) .00 .00
------- ------- ---------
Net Increase (Decrease) in Net
Asset Value .93 1.31 (1.76)
------- ------- ---------
NET ASSET VALUE--END OF PERIOD $ 10.48 $ 9.55 $ 8.24
======= ======= =========
TOTAL INVESTMENT RETURN 11.99% 18.97% (32.63)%
RATIOS TO AVERAGE NET ASSETS**
Expenses 2.36% 2.26% 3.05%
Net Investment Income 3.23% 4.64% 3.39%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate 229% 3,453% 1,290%
Net Assets, End of Period (000's
omitted) $52,523 $ 2,592 $ 1,564
</TABLE>
* Commencement of Operations: January 3, 1994.
** Annualized
See Notes to Financial Statements.
26
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Juno Fund
-----------------------------
For the Period For the Period
Ended Ended
December 31, June 30,
1995 1995*
-------------- --------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF PERIOD $ 9.08 $ 10.00
-------- --------
Net Investment Income .17 .14
Net Realized and Unrealized Gains (Losses) on
Securities (.70) (1.06)
-------- --------
Net Increase (Decrease) in Net Asset Value
Resulting from Operations (.53) (.92)
-------- --------
Net Increase (Decrease) in Net Asset Value (.53) (.92)
-------- --------
NET ASSET VALUE--END OF PERIOD $ 8.55 $ 9.08
======== ========
TOTAL INVESTMENT RETURN (5.84)% (9.20)%
RATIOS TO AVERAGE NET ASSETS**
Expenses 1.66% 0.50%
Net Investment Income 3.63% 1.32%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0%
Net Assets, End of Period (000's omitted) $ 3,398 $ 4,301
</TABLE>
* Commencement of Operations: March 3, 1995.
** Annualized
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year. The Nova , Ursa, and Juno
Funds typically hold most of their investments in options and futures
contracts which are deemed short-term securities. Refer to Note 6 for
information regarding their securities transactions.
See Notes to Financial Statements.
27
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Rydex Series Trust (the "Trust") is registered with the Securities and
Exchange Commission under the Investment Company Act of 1940 as a non-
diversified, open-ended investment company. The Trust consists of seven
separate series, the Nova Fund, the Ursa Fund, the U.S. Government Money Market
Fund, the Over-the-Counter Fund, the Precious Metals Fund, the U.S. Government
Bond Fund and the Juno Fund. The following significant accounting policies are
in conformity with generally accepted accounting principles and are
consistently followed by the Trust in the preparation of its financial
statement.
A. Securities listed on an exchange are valued at the latest quoted sales
prices as of 4:00 P.M. on the valuation date. Securities not traded on an
exchange are valued at their last sales price. Listed options held by the Trust
are valued at their last bid price. Over-the-counter options held by the Trust
are valued using the average bid price obtained from one or more security
dealers. The value of futures contracts purchased and sold by the Trust are
accounted for using the unrealized gain or loss on the contracts that is
determined by marking the contracts to their current realized settlement
prices. Short term securities with less than sixty days to maturity are valued
at amortized cost, which approximates market. Security and assets for which
market quotations are not readily available are valued at fair value as
determined in good faith by or under direction of the Board of Trustees of the
Trust.
B. Securities transactions are recorded on the trade date (the date the order
to buy or sell is executed). Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is
recorded on the ex-dividend date. Interest income is accrued on a daily basis.
C. Net investment income is computed, and dividends are declared daily in the
U.S. Government Money Market Fund and U.S. Government Bond Fund. Income
dividends in these funds are paid monthly. Income dividends are declared and
paid annually in the Nova Fund, Ursa Fund, Over-the Counter Fund, Precious
Metals Fund and Juno Fund. Dividends are reinvested in additional shares unless
shareholders request payment in cash. Generally, short-term capital gains are
distributed monthly in the U.S. Government Money Market Fund. Long-term capital
gains, if any, are distributed annually.
D. When the Trust engages in a short sale, an amount equal to the proceeds
received by the Trust 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 Trust maintains a segregated account of securities
as collateral for the short sales. The Trust is exposed to market risk based on
the amount, if any, that the market value of the stock exceeds the market value
of the securities in the segregated account.
E. When the Trust writes (sells) an option, an amount equal to the premium
received is entered in the Trust's accounting records as an asset and
equivalent liability. The amount of the liability is subsequently
28
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
market to market to reflect the current value of the option written. When an
option expires, or if the Trust enters into a closing purchase transaction, the
Trust realizes a gain (or loss if the cost of a closing purchase transaction
exceeds the premium received when the option was sold).
F. The Trust may purchase or sell stock index futures contracts and options on
such futures contracts. Futures contracts are contracts for delayed delivery of
securities at a specified future delivery date and at a specific price. Upon
entering into a contract, the Trust deposits and maintains as collateral such
initial margin as required by the exchange on which the transaction is
effected. Pursuant to the contract, the Trust 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 Trust as unrealized gains or losses. When the contract is
closed, the Trust records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
G. Futures contracts and written options involve to varying degrees, elements
of market risk and risks in excess of the amount recognized in the Statements
of Assets and Liabilities. The face or contract amounts reflect the extent of
the involvement each fund has in the particular classes of instruments. Risks
may be caused by an imperfect correlation between movements in the price of the
instruments and the price of the underlying securities.
H. The Trust intends to comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies and will distribute all net
investment income to its shareholders. Therefore, no Federal income tax
provision is required.
I. Costs incurred by the Trust in connection with its organization and
registration have been deferred and are being amortized on the straight-line
method over a five year period beginning on the date on which the Trust
commenced its investment activities.
2. OPERATING POLICIES
The Trust, which includes its seven separate series, utilizes futures and
option contracts in order to manage the exposure to the stock and bond markets
and the fluctuations in interest rates. Exposure to the underlying instruments
tends to increase with buying futures, writing puts, and buying calls. Exposure
is mitigated by selling futures, buying puts, and writing calls. Returns may be
enhanced when futures and options are believed to be priced more attractively
than the underlying securities. The primary risks associated with the use of
these contracts are the losses that may arise from the changes in the value of
the underlying instruments, the possibility of an illiquid market, or if the
counterparties do not perform under the terms of the contract.
29
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Nova Fund may purchase and write stock index futures contracts as a
substitute for a comparable market position in the underlying securities. The
Ursa Fund may write stock index contracts in furtherance of their investment
objectives to inversely correlate the S&P 500. The Precious Metals Fund may
purchase and write metals futures contracts in furtherance of their investment
objectives to track the XAU Index contracts.The Bond Fund may purchase and
write futures contracts on U.S. Treasury notes and bonds as a substitute for a
comparable market position in the underlying U.S. Treasury securities.
The Nova Fund and the OTC Fund may purchase and write put and call options, and
the Ursa Fund may purchase put options and write call options on stock index
futures contracts. The Metals Fund may purchase and write put and call options
on gold and precious metals futures contracts, and the Bond Fund may purchase
put options and write call options on U.S. Treasury securities futures
contracts.
3. REPURCHASE AGREEMENTS
The Trust transfers uninvested cash balances into a single joint account, the
daily aggregate balance of which is invested a repurchase agreement
collateralized by Federal agency obligations. As of December 31,1995 the
repurchase agreement with Fuji Securities in the joint account and the
collateral therefore was as follows:
<TABLE>
<CAPTION>
Security Type Range of rates Par Value Market Value
- ------------- -------------- ------------ ------------
<S> <C> <C> <C>
Federal National Mortgage Association 5.75%-7.36% $167,970,000 $168,889,833
Student Loan Marketing Association 4.68% $128,080,000 $128,800,236
Federal Home Loan Mortgage Corp. 3.55%-9.800% $ 54,405,000 $ 54,234,628
</TABLE>
4. INVESTMENT ADVISORY AND TRANSFER AGENT SERVICES
Under the terms of an investment advisory contract, the Trust pays PADCO
Advisors, Inc. investment advisory fees calculated at an annual percentage rate
of one half of one percent (0.50%) of the net assets of the U.S. Government
Money Market Fund and the U.S. Government Bond Fund; three-quarters of one
percent (0.75%) of the net assets of the Nova Fund, the Precious Metals Fund,
and the Over-the-Counter Fund; and nine-tenths of one percent (0.90%) of the
net assets of the Ursa Fund and the Juno Fund.
PADCO Service Company, Inc., a subsidiary of the investment advisor, provides
transfer agent service to the Trust at an annual rate of two-tenths of one
percent (0.20%) of the net assets of the U.S. Government Money Market Fund,
U.S. Government Bond Fund, Precious Metals Fund, and Over-the-Counter Fund and
at annual rate of one-quarter of one percent (0.25%) of the Nova Fund, the Ursa
Fund, and the Juno Fund.
30
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. ACCOUNTING FOR EXPENSES
The increase in "Total Expenses," and the offsetting "Fees Paid Indirectly,"
reflect the amount that the funds would have paid for securities custodian
services in the absence of compensating balance arrangements. The values of
these compensating balances for the six month period ended December 31, 1995
are as follows:
<TABLE>
<CAPTION>
U.S.
Government Over- U.S.
Money the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
- ------- ------- ---------- ------- -------- ---------- -------
<S> <C> <C> <C> <C> <C> <C>
$33,430 $32,161 $32,034 $22,863 $18,789 $6,512 $14,443
</TABLE>
6. SECURITIES TRANSACTIONS
During the period ended December 31, 1995 purchases and sales of investment
securities were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
------------ ----------- ----------- -------------- ------------ ----------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Purchases $102,378,520 $37,862,465 $ 0 $1,097,911,600 $267,147,331 $64,091,922 $213,758
Sales $ 86,870,212 $15,386,077 $ 0 $1,129,071,898 $269,698,698 $36,555,907 $171,609
</TABLE>
The Nova, Ursa and Juno Funds' transactions shown above consist of options and
futures contracts. The transactions of the other funds exclude short-term and
temporary cash investments.
7. NET UNREALIZED APPRECIATION/DEPRECIATION OF SECURITIES
At December 31, 1995 unrealized appreciation (depreciation) and cost of
investment securities for Federal income tax purposes was:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
------------ ------------ ----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Gross Unrealized
Appreciation $ 8,104,808 $ 37,295,209 $ 0 $ 3,599,407 $ 432,054 $ 2,302,218 $ 0
Gross Unrealized
(Depreciation) (6,055,583) (36,609,815) 0 (63,212) (636,598) 0 (52,829)
------------ ------------ ----------- ----------- ----------- ----------- ----------
Net Unrealized
Appreciation/
(Depreciation) $ 2,049,225 $ 685,394 $ 0 $ 3,536,195 $ (204,544) $ 2,302,218 $ (52,829)
Cost of Investments for
Federal
Income Tax Purposes $318,956,038 $695,031,641 $119,500.00 $32,428,387 $35,857,678 $49,761,452 $3,461,301
</TABLE>
31
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. SHARE TRANSACTIONS
Transactions in shares for the period ended December 31, 1995 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
----------- ------------ -------------- ------------ ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased 100,792,989 155,603,038 2,338,557,685 111,018,664 48,419,751 10,432,077 12,049,760
Purchased through
Dividend Reinvestment 0 -- 4,399,726 108,337 0 56,853 0
----------- ------------ -------------- ------------ ----------- ---------- -----------
Total Purchased 100,792,989 155,603,038 2,342,957,411 111,127,001 48,419,751 10,488,930 12,049,760
Shares Redeemed (90,203,162) (155,455,651) (2,487,001,643) (113,840,851) (49,261,357) (5,726,752) (12,125,970)
----------- ------------ -------------- ------------ ----------- ---------- -----------
Net Shares
Purchased/(Redeemed) 10,589,827 147,387 (144,044,232) (2,713,850) (841,606) 4,762,178 (76,210)
=========== ============ ============== ============ =========== ========== ===========
</TABLE>
Transactions in dollars for the period ended December 31, 1995 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
-------------- -------------- -------------- -------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased $1,332,074,188 $1,305,195,287 $2,338,557,685 $1,465,706,376 $431,125,547 $102,287,159 $109,922,096
Purchased
through
Dividend
Reinvestment 0 -- 4,399,726 1,413,792 0 569,795 0
-------------- -------------- -------------- -------------- ------------ ------------ ------------
Total Purchased 1,332,074,188 1,305,195,287 2,342,957,411 1,467,120,168 431,125,547 102,856,954 109,922,096
Shares Redeemed (1,187,805,240) (1,300,374,621) (2,487,001,643) (1,495,784,542) (434,161,106) (55,904,726) (108,409,187)
-------------- -------------- -------------- -------------- ------------ ------------ ------------
Net Shares
Purchased/
(Redeemed) 144,268,948 4,820,666 (144,044,232) (28,664,374) (3,035,559) 46,952,228 1,512,909
============== ============== ============== ============== ============ ============ ============
</TABLE>
32
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. SHARE TRANSACTIONS
Transactions in shares for the period ended December 31, 1995 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
------------ ------------ -------------- ------------ ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased 143,873,524 318,793,746 3,587,402,384 135,125,955 92,309,340 5,731,162 6,683,227
Purchased through
Dividend
Reinvestment 470,095 490,546 6,208,014 316,047 36,198 4,837 0
------------ ------------ -------------- ------------ ----------- ---------- ----------
Total Purchased 144,343,619 319,284,292 3,592,675,661 135,442,002 92,345,538 5,735,999 6,683,227
Shares Redeemed (146,990,905) (315,284,708) (3,397,600,237) (133,874,331) (87,846,703) (5,654,424) (6,209,616)
------------ ------------ -------------- ------------ ----------- ---------- ----------
Net Shares
Purchased/(Redeemed) (2,647,286) 3,999,584 196,010,161 1,567,671 4,498,835 81,575 473,611
============ ============ ============== ============ =========== ========== ==========
</TABLE>
Transactions in dollars for the period ended December 31, 1995 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
-------------- -------------- -------------- -------------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased $1,557,769,087 $3,164,566,132 $3,587,402,384 $1,388,186,880 $772,461,150 $48,663,125 $64,916,051
Purchased
through
Dividend
Reinvestment 5,223,393 4,561,095 6,208,014 3,427,684 301,229 35,458 0
-------------- -------------- -------------- -------------- ------------ ----------- -----------
Total Purchased 1,562,992,480 3,169,127,227 3,593,610,398 1,391,614,364 772,762,379 48,698,583 64,916,051
Shares Redeemed (1,588,630,643) (3,110,630,895) (3,397,600,237) (1,374,581,209) (728,454,020) (48,031,046) (59,123,344)
-------------- -------------- -------------- -------------- ------------ ----------- -----------
Net Shares
Purchased/
(Redeemed) (25,838,163) 58,496,332 196,010,161 17,033,155 44,308,359 667,537 5,792,707
============== ============== ============== ============== ============ =========== ===========
</TABLE>
33
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. OPTION CONTRACTS WRITTEN
During the period ended December 31, 1995 the Trust wrote the following
contracts:
<TABLE>
<CAPTION>
Nova Fund Ursa Fund
--------------------- ------------------------
Number of Initial Number of Initial
Contracts Premiums Contracts Premiums
--------- ----------- --------- --------------
<S> <C> <C> <C> <C>
Outstanding at Beginning of
Period 0 $ 0 0 $ 0
Options Written 3,012 89,604,623 36,000 1,039,413,331
Options Terminated (12) (563,891) (16,000) (445,627,125)
------ ----------- ------- --------------
Outstanding at End of Period 3,000 $89,040,732 20,000 $ 593,786,206
====== =========== ======= ==============
<CAPTION>
Over-the-Counter Fund Precious Metals Fund
--------------------- ------------------------
Number of Initial Number of Initial
Contracts Premiums Contracts Premiums
--------- ----------- --------- --------------
<S> <C> <C> <C> <C>
Outstanding at Beginning of
Period 34 $ 19,157 50 $ 17,599
Options Written 1,123 1,594,892 220 81,712
Options Terminated (1,130) (1,572,728) (250) (91,371)
------ ----------- ------- --------------
Outstanding at End of Period 27 $ 41,321 20 $ 7,940
====== =========== ======= ==============
</TABLE>
10. NET ASSETS
At December 31, 1995
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
------------ ------------ ------------
<S> <C> <C> <C>
Paid-In-Capital $200,762,288 $172,954,805 $140,154,163
Undistributed Net Investment Income 1,840,169 3,618,427 0
Overdistribution of Net Investment
Income 0 (100,983)
Accumulated Net Realized Gain (Loss)
on Investments 17,899,393 (59,286,865) 0
Net Unrealized Appreciation
(Depreciation) on Investments,
Options and Futures Contracts 2,049,225 685,394 0
------------ ------------ ------------
Net Assets $222,551,075 $117,971,861 $140,053,180
============ ============ ============
</TABLE>
34
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- U.S.
Counter Precious Government Juno
Fund Metals Fund Bond Fund Fund
----------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
Paid-In-Capital $20,270,114 $ 45,007,142 $49,768,256 $ 7,305,617
Undistributed Net
Investment Income 317,267 0 25,303 529,311
Net Investment Loss 0 (25,268) 0
Accumulated Net Realized
Gain (Loss) on Investments 6,243,183 (11,017,559) 427,564 (4,384,075)
Net Unrealized Appreciation
(Depreciation) on
Investments, Options and
Futures Contracts 3,536,195 (204,544) 2,302,218 (52,829)
----------- ------------ ----------- -----------
Net Assets $30,366,759 $ 33,759,771 $52,523,341 $ 3,398,024
=========== ============ =========== ===========
</TABLE>
35
<PAGE>
[LOGO OF RYDEX APPEARS HERE]
The First Family of Funds
Designed for Professional
Money Managers
Nova Fund
Juno Fund
Ursa Fund
OTC Fund
Precious Metals Fund
U.S. Government Bond Fund
U.S. Government Money Market
RYDEX SERIES TRUST
6116 Executive Blvd., Suite 400
Rockville, MD 20852
(301) 468-8520 (800) 820-0888
SEMI-ANNUAL REPORT
DECEMBER 31, 1995
Nova Fund
Juno Fund
Ursa Fund
OTC Fund
Precious Metals Fund
U.S. Government Bond Fund
U.S. Government Money Market
