<PAGE>
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ANNUAL REPORT, JUNE 30, 1996
RYDEX SERIES TRUST
6116 Executive Boulevard, Suite 400
Rockville, MD 20852
[RYDEX INVESTMENT FLEXIBILITY LOGO (301) 468-8520 (800) 820-0888
APPEARS HERE]
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- --------------------------------------------------------------------------------
DEAR SHAREHOLDER:
We are pleased to present the Rydex Series Trust Annual Report for the fiscal
year ended June 30, 1996. We will briefly describe the economic environment for
U.S. Shareholders for the period covered by this report. In addition, we will
discuss how the Rydex Funds performed in this environment relative to their
stated objectives.
FISCAL YEAR IN REVIEW
The U.S. Economy was characterized by slow to moderate economic growth and
low inflation during much of our latest fiscal year. The equity markets ended
the period generally higher, while bonds, trading in a wide range, finished
slightly higher, as measured by the Lehman Long T-Bond Index.
During the period, the U.S. Federal
Reserve Board (the Fed) held eight
regularly scheduled FOMC meetings to
establish monetary policy. The Fed
reduced its federal funds target rate
from 6.00% to 5.25% in an effort to
promote a soft landing for the economy
(See graph). Short term interest rates,
as represented by the three month T-
Bill, followed suit. The Federal
Reserve Board attempts to strike a
balance between restrictive monetary
policy that may drive the economy into
a recession and easy monetary policy
which may promote excessive inflation.
The Fed's bias toward easing indicated
their belief that lower interest rates
were needed to spur economic growth and
prevent a recession.
[SHORT TERM INTEREST RATE CHART
APPEARS HERE ]
Source: Bloomberg Financial Markets
A number of macroeconomic indicators supported the Fed's view. Specifically,
the Consumer Price Index (a common measure of inflation) remained stable for
the third and fourth quarter of 1995 at 2.0% and 2.4%, respectively. Real GDP
measured at 3.6% for the third quarter 1995 and a lackluster 0.5% for the
fourth quarter. In addition, in early 1996,
<PAGE>
Federal budget battles led to two government shutdowns which furthered the
cause of economic weakness. All indications were for low inflation and slowing
economic growth to continue. As a result, the consensus forecast was for the
Fed to continue to lower the federal funds target rate to prevent a recession.
However, in early 1996, several economic indicators caused market psychology
to change almost in the blink of an eye. Several reports of conflicting
macroeconomic data led most market participants to question whether the economy
could sustain a period of slow growth and low inflation. Unfortunately, the
major question on Wall Street in early 1996, the direction of the economy and
interest rates, was far from being resolved.
Of particular note was the U.S.
nonfarm payroll employment data. The
payroll employment data is the primary
monthly indicator of aggregate economic
activity because it encompasses every
major sector of the economy. It is
released on the first Friday of each
month. In early 1996, a series of
released employment data figures shocked
the market by coming in above
expectations. Specifically, the February
and May employment numbers came in far
above estimates, triggering sharp sell-
offs in the bond market and pushing
long-term interest rates higher. The
three month moving average confirmed an
upward trend in payroll employment.
[PAYROLL EMPLOYMENT CHART APPEARS
HERE ]
Source: Bureau of Labor Statistics
As the new year progressed, it became clear that the economy was growing
stronger than originally thought. The first quarter GDP growth rate was a
robust 2.3% and the forecast of 3.6% for the second quarter was in contrast to
1995's growth rate of 2.0%. Payroll employment rose by an average of 229,000 a
month for the first six months of 1996. Producer inflation picked up due to
higher commodity and oil prices. As a result, the market reversed its
expectations of further easing by the Fed (for the time being) to an
expectation of tightening. Overall, the economy ended the second quarter on a
firm note, suggesting a surprising amount of forward momentum going into the
second half of the year.
FUND STRATEGY AND PERFORMANCE
The following is a description of each of the Rydex Funds as compared to
their respective benchmarks. Each Fund, with the exception of the U.S
Government Money Market Fund, has an investment objective to correlate its
returns to a particular benchmark as stated below.
2
<PAGE>
The Nova Fund
- -------------
Benchmark: 150% of the performance of the S & P 500 Composite Stock Price Index
Inception: July 12, 1993
The general stock market, as represented by the S & P 500 Composite Stock
Price Index, ended the fiscal year with a 23.11% total return. The Nova Fund
ended the period with a 32.77% total return. To achieve its objective, Nova
invested primarily in S & P 500 futures contracts and call options on S & P 500
futures contracts. Nova was able to outperform the S & P 500 Index and perform
consistent with its benchmark by using its call options and futures contracts
to maintain 150% exposure to the market.
[LINE GRAPH APPEARS HERE]
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<TABLE>
<CAPTION>
Total Return
------------
One Year ended Since Inception (7-12-93)
6-30-96 to 6-30-96
- -----------------------------------------------------------------------------
<S> <C> <C>
Nova Fund 32.77% 71.89%
Standard & Poor's 500 Stock Index 23.11% 49.37%
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</TABLE>
Past performance is no guarantee of future results. The S & P 500 Stock Index
is an unmanaged stock index and, unlike the Fund, has no management fees or
other operating expenses to reduce its reported return. Returns are historical
and include changes in principal and reinvested dividends and capital gains.
3
<PAGE>
The Ursa Fund
- -------------
Benchmark: Inverse (opposite) of the S & P 500 Composite Stock Price Index
Inception: January 7, 1994
Similar to the Nova Fund, Ursa utilizes S & P 500 futures contracts and
options on S & P 500 futures contracts to achieve its objective. The Ursa Fund
showed a -14.11% total return for the period as a result of its short position
in the S & P 500 Index. This compared to a 23.11% return for the S & P 500.
Ursa performed better than its benchmark since it is able to earn interest on
cash balances which it is required to keep in order to cover its short
positions.
[LINE GRAPH APPEARS HERE]
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<TABLE>
<CAPTION>
Total Return
------------
One Year ended Since Inception (1-7-94)
6-30-96 to 6-30-96
- ----------------------------------------------------------------------------
<S> <C> <C>
Ursa Fund -14.11% -22.21%
Standard & Poor's 500 Stock Index 23.11% 42.72%
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</TABLE>
Past performance is no guarantee of future results. The S & P 500 Stock Index
is an unmanaged stock index and, unlike the Fund, has no management fees or
other operating expenses to reduce its reported return. Returns are historical
and include changes in principal and reinvested dividends and capital gains.
4
<PAGE>
The Rydex OTC Fund
- ------------------
Benchmark: NASDAQ 100 Index (NDX)
Inception: February 14, 1994
Over-the-counter securities performed quite well during the fiscal year. The
NASDAQ Composite Index, which represents the universe of all OTC securities,
was up 26.95% during the period. The OTC Fund outperformed its benchmark, the
NASDAQ 100, by .55 percentage points during the fiscal year. The Fund performed
in sync with the NASDAQ 100 by closely matching its investments to that of the
index. Generally, the Fund owned approximately eighty of the highest
capitalization stocks that comprise the NASDAQ 100. These stocks represented
roughly 95% of the capitalization of the index.
[LINE GRAPH APPEARS HERE]
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<TABLE>
<CAPTION>
Total Return
------------
One Year ended Since Inception (2-14-94)
6-30-96 to 6-30-96
- ------------------------------------------------------------------
<S> <C> <C>
OTC Fund 26.44% 65.03%
NASDAQ 100 Index 25.89% 67.19%
NASDAQ Composite Index 26.95% 50.87%
- ------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The NASDAQ Composite Index
and the NASDAQ 100 Index are unmanaged stock indices and, unlike the Fund, have
no management fees or other operating expenses to reduce their reported
returns. Returns are historical and include changes in principal and reinvested
dividends and capital gains.
5
<PAGE>
The Rydex Precious Metals Fund
- ------------------------------
Benchmark: Philadelphia Stock Exchange Gold/Silver Index (XAU)
Inception: December 1, 1993
Gold prices remained within a trading range of $380 an ounce to $430 an ounce
for the fiscal year. The XAU Index--which is comprised of mainly North American
gold and silver mining and production companies--had a turbulent year. Between
June and November the XAU fell from 120.19 to 107.18 or 10.8%. Gold stocks were
mainly pressured by Central Bank selling of gold bullion and at the prospects
for low inflation. After November, the index made impressive gains until the
end of May when it reached 148.89. Unfortunately, much of that gain was lost by
the end of the fiscal year. The Rydex Precious Metals Fund mimicked the
performance of the XAU Index during the period due to a similar weighting of
stocks held by the fund as in the index.
[LINE GRAPH APPEARS HERE]
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<TABLE>
<CAPTION>
Total Return
------------
One Year ended Since Inception (12-1-93)
6-30-96 to 6-30-96
- -----------------------------------------------------------------------------
<S> <C> <C>
Precious Metals Fund 3.67% -8.72%
Philadelphia Stock Exchange
Gold/Silver Index 2.97% 2.40%
Standard & Poor's 500 Stock Index 23.11% 45.19%
- -----------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The S & P 500 Index and the
PSE Gold/Silver Index are unmanaged stock indexes and, unlike the Fund, have no
management fees or other operating expenses to reduce their reported returns.
Returns are historical and include changes in principal and reinvested
dividends and capital gains.
6
<PAGE>
The Rydex U. S. Government Bond Fund
- ------------------------------------
Benchmark: 120% of the price movement of current Long Treasury Bond
Inception: January 3, 1994
To meet its objective, the Fund purchased U. S. Government Bonds and options
on Treasury Bond futures traded on the Chicago Board of Trade. Throughout the
period, the Fund held a position in the current 30-year Treasury Bond. By
combining a position in the 30-year Treasury Bond with call options on Treasury
Bond futures, the Fund effectively increased its duration to approximate 120%
exposure to the Long Bond. The rise in interest rates during 1996 caused the
price of the longer term Treasury Bonds to decrease. As a result, the Fund
ended the period with a total return of -1.48%.
[LINE GRAPH APPEARS HERE]
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<TABLE>
<CAPTION>
Total Return
------------
One Year ended Since Inception (1-3-94)
6-30-96 to 6-30-96
- -----------------------------------------------------------------------------
<S> <C> <C>
U.S. Government Bond Fund -1.48% -1.75%
Price movement of 30 year Treasury
Bond -5.17% -9.72%
Lehman Brothers Long T-Bond Index 3.36% 14.46%
- -----------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The Lehman Brothers Long T-
Bond Index is an unmanaged bond index and, unlike the Fund, has no management
fees or other operating expenses to reduce its reported return. The Price
movement of the 30-year Treasury Bond represents a cumulative percentage change
in its closing price. Returns are historical and include changes in principal
and reinvested dividends and capital gains.
7
<PAGE>
The Juno Fund
- -------------
Benchmark: Inverse (opposite) of the price movement of current Long Treasury
Bond
Inception: March 3, 1995
To achieve its objective, Juno attempts to approximate a 100% short position
in the Long Treasury Bond. During the fiscal year, the Fund sold Treasury Bond
Futures and bought puts on the Treasury Bond Futures traded on the Chicago
Board of Trade. Generally, the Treasury Bond Futures will have a high
correlation to the 30-year Treasury Bond. For the fiscal year, the price
movement on the 30-year Treasury Bond was down 5.17%. Juno was up 4.30% under-
performing its benchmark by .87 percentage points. Juno's under-performance was
due to the fact that the bond futures did not decline as much as the cash bond
during the period.
[LINE GRAPH APPEARS HERE]
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<TABLE>
<CAPTION>
Total Return
------------
One Year ended Since Inception (3-3-95)
6-30-96 to 6-30-96
- -----------------------------------------------------------------------------
<S> <C> <C>
The Juno Fund 4.30% -5.30%
Price movement of 30 year Treasury
Bond -5.17% 6.04%
Lehman Brothers Long T-Bond Index 3.36% 16.71%
- -----------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The Lehman Brothers Long T-
Bond Index is an unmanaged bond index and, unlike the Fund, has no management
fees or other operating expenses to reduce its reported return. The Price
movement of the 30-year Treasury Bond represents a cumulative percentage change
in its closing price. Returns are historical and include changes in principal
and reinvested dividends and capital gains.
8
<PAGE>
THE RYDEX U. S. GOVERNMENT MONEY MARKET FUND
The objective of the Rydex U. S. Government Money Market Fund is to provide
security of principal, high current income, and liquidity. To meet its
objective, the Fund invested in U. S. Government money market instruments,
keeping the Fund's average maturity to a minimum. The low average maturity
allowed the Fund to accommodate a high turnover while participating in
increases in short term interest rates. For the fiscal year, the Fund posted an
average annual total return of 4.60%.
During the fiscal year shareholders redeemed $2,520,809,574 from the Nova
Fund. A portion of those proceeds received by shareholders represent capital
gain distributions in the amounts of $12,578,277 in the Nova Fund.
Additionally, on September 29, 1995 the OTC Fund made a long-term capital gain
distribution of $511,919 to shareholders of record of September 28, 1995. This
notification is to meet certain IRS requirements.
IN SUMMARY
The past year has been an eventful period for investors. We are pleased with
the performance of each of our funds as they have afforded our shareholders
opportunities in step with specific market benchmarks. As always, we remain
committed to providing new, innovative products to service the needs of
professional money managers and their clients. At Rydex, we appreciate our
shareholder's confidence which is represented by our asset growth over the past
few years. If you have any questions or comments, call us at (800) 820-0888 or
(301) 468-8520.
Sincerely,
/s/ Albert P. Viragh
Albert P. (Skip) Viragh
Chairman of the Board
9
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS
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June 30, 1996
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<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
------------ ---------------
<S> <C> <C>
OPTIONS PURCHASED 15.9%
Call Options on:
S&P 500 Futures Contracts Expiring September 1996
at 530
(Cost $29,691,424) 423 $ 31,048,200
------------
<CAPTION>
Face Amount
------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 25.3%
U.S. Treasury Bills 5.12% due 9/12/96 (Cost
$49,480,889) $50,000,000 49,480,889
------------
REPURCHASE AGREEMENT 58.8%
Repurchase Agreement Collateralized by U.S.
Treasury Obligations--
5.45% due 7/1/96 (Note 3) 114,900,000 114,900,000
------------
Total Investments 100% (Cost $194,072,313) $195,429,089
============
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<CAPTION>
Unrealized Gain
Contracts (Note 1)
------------ ---------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
S&P 500 Futures Contracts Expiring September 1996
(Underlying Face Amount at Market Value
$191,287,475) 570 $ 1,595,338
============
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
RYDEX SERIES TRUST
URSA FUND
SCHEDULE OF INVESTMENTS
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June 30, 1996
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<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
OPTIONS PURCHASED 52.8%
Put Options on:
S&P 500 Futures Contract Expiring September 1996
at 750
(Cost $3,192,635) 89 $ 3,257,400
------------
Call Options on:
S&P 500 Index Expiring August 21, 1996 at 320
(Cost $200,056,600) 6,000 210,648,000
------------
Total Options Purchased (Cost $203,249,235) 213,905,400
------------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 24.5%
U.S. Treasury Bill 4.97% due 8/15/96 $50,000,000 49,689,375
U.S. Treasury Bill 5.10% due 9/12/96 50,000,000 49,483,424
------------
Total U.S. Treasury Obligations (Cost
$99,172,799) 99,172,799
------------
REPURCHASE AGREEMENT 22.7%
Repurchase Agreement Collateralized by U.S.
Treasury Obligations--
5.45% due 7/1/96 (Note 3) 92,000,000 92,000,000
------------
Total Investments 100% (Cost $394,422,034) $405,078,199
============
- -----------------------------------------------------------------------------
<CAPTION>
Unrealized Gain
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
FUTURES CONTRACTS SOLD
S&P 500 Futures Contract Expiring September 1996
(Underlying Face Amount at Market Value
$164,682,875) 484 $ 892,600
============
Market
Value
WRITTEN OPTIONS CONTRACTS (Note 1)
------------
Call Options on:
S&P 500 Index Expiring August 21, 1996 at 330
(Proceeds $194,132,927) 6,000 $204,690,000
============
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note 1)
----------- ------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 29.4%
Federal National Mortgage Association 5.18% due
7/1/96 $10,000,000 $ 10,000,000
Federal National Mortgage Association 5.26% due
7/15/96 10,000,000 9,994,155
Federal National Mortgage Association 5.19% due
7/18/96 10,000,000 9,975,492
Federal National Mortgage Association 5.27% due
7/25/96 10,000,000 9,964,867
Federal National Mortgage Association 5.28% due
7/30/96 10,000,000 9,957,467
------------
Total Federal Agency Discount Notes (Cost
$49,891,981) 49,891,981
------------
REPURCHASE AGREEMENT 70.6%
Repurchase Agreement Collateralized by U.S. Treasury
Obligations--5.45% due 7/1/96 (Note 3) 120,000,000 120,000,000
------------
Total Investments 100% (Cost $169,891,981) $169,891,981
============
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------ -----------
<S> <C> <C>
COMMON STOCKS 80.1%
Microsoft Corp.* 61,278 $ 7,361,020
Intel Corp. 85,350 6,267,891
Cisco Systems, Inc.* 57,636 3,263,638
Oracle Systems Corp.* 70,300 2,772,437
Amgen* 27,733 1,497,582
MCI Communications, Inc. 56,272 1,441,970
Sun Microsystems, Inc.* 18,979 1,117,389
Worldcom, Inc.* 20,064 1,111,044
Tele-Communications, Inc. 60,017 1,087,808
U.S. Healthcare, Inc. 14,331 788,205
U.S. Robotics, Inc.* 9,192 785,916
3Com Corp.* 14,959 684,374
Tellabs, Inc.* 9,342 624,746
HBO & Company 8,586 581,702
Parametric Technology* 13,392 580,878
Applied Materials, Inc.* 18,928 577,304
Novell, Inc.* 38,095 528,568
MFS Communications* 12,989 488,711
Dell Computer Corp.* 9,522 484,432
Stratcom* 7,762 436,612
Price/Costco, Inc.* 19,840 429,040
Chiron Corp.* 4,305 421,890
America Online, Inc.* 8,932 390,775
Nordstrom, Inc. 8,624 383,768
Comcast Corp. Class A 20,325 376,012
Peoplesoft, Inc.* 5,170 368,363
Northwest Airline Corp.* 9,303 367,468
DSC Communications Corp.* 12,109 364,783
Paychex, Inc. 7,495 360,697
Informix Corp.* 15,412 346,770
Qualcomm* 6,386 339,256
Willamette Industries, Inc. 5,611 333,854
BMC Software, Inc.* 5,354 319,902
Staples* 15,982 311,649
Oxford Health Plans, Inc.* 7,554 310,658
Glenayre Tech., Inc.* 6,213 310,650
Atmel Corp.* 10,269 309,354
ADC Telecommunications, Inc.* 6,388 287,460
Sigma Aldrich Corp. 5,050 270,175
</TABLE>
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------ -----------
<S> <C> <C>
Viking Office Products* 8,571 $ 268,915
Adaptec* 5,661 268,190
Adobe Systems 7,470 267,986
Apple Computer, Inc. 12,513 262,773
Cintas Corp. 4,887 261,455
Gateway 2000, Inc.* 7,570 257,380
St. Jude Medical, Inc.* 7,335 245,722
Paging Network* 10,205 244,920
Linear Technology Corp. 7,793 233,790
Xilinx, Inc.* 7,302 231,838
Stryker Corp.* 10,107 229,934
Intuit, Inc.* 4,710 222,548
Tyson Foods, Inc. 7,960 217,905
NEXTEL Communications, Inc.* 11,394 217,198
AES Corp.* 7,617 215,180
Boston Chicken Inc.* 6,520 211,900
PACCAR, Inc. 3,984 195,216
Worthington Industries, Inc. 9,329 194,743
American Greetings, Corp. 6,960 190,530
Biogen, Inc.* 3,382 185,587
Centocor, Inc.* 6,106 182,417
Genzyme Corp.* 3,506 176,177
Biomet, Inc.* 12,092 173,822
Altera Corp.* 4,529 172,102
Healthcare Compare Corp.* 3,528 171,990
Sybase, Inc.* 7,107 167,903
Compuware Corp.* 4,239 167,441
McCormick & Co. 6,995 154,764
General Nutrition Companies, Inc.* 8,806 154,105
Electronics Arts, Inc.* 5,760 154,080
Cracker Barrel Old Country Store, Inc. 6,310 153,018
Idexx Laboratories Inc.* 3,898 152,997
Autodesk, Inc. 4,831 144,326
KLA Instruments, Inc.* 4,986 115,925
Cirrus Logic, Inc.* 6,314 110,495
American Power Conversion Corp.* 9,273 95,048
Perrigo Company* 7,384 83,070
Lam Research Corp.* 3,032 78,832
Stewart & Stevenson Services, Inc. 3,465 78,829
-----------
Total Common Stocks
(Cost $38,825,017) $46,395,802
-----------
</TABLE>
* Non-Income Producing Securities.
See Notes to Financial Statements.
13
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER FUND
SCHEDULE OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.0%
Call Options On:
NASDAQ 100 Option Contract Expiring July 1996 at 690
(Cost $34,349) 37 $ 32,375
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 19.9%
Repurchase Agreement Collateralized by U.S. Treasury
Obligations--5.45% due 7/1/96 (Note 3) $11,500,000 11,500,000
-----------
Total Investments 100% (Cost $50,359,366) $57,928,177
===========
- -----------------------------------------------------------------------------
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Put Options On:
NASDAQ 100 Option Contract Expiring July 1996 at 690
(Proceeds $88,577) 37 $ 74,463
===========
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------- -----------
<S> <C> <C>
COMMON STOCKS 94.8%
Mining and Precious Metals Stocks
Barrick Gold Corp. 428,073 $11,611,480
Placer Dome, Ltd. 286,354 6,836,702
Newmont Mining Corp. 118,961 5,873,711
Homestake Mining Co. 175,528 3,005,917
Santa Fe Pacific Gold Corp. 157,471 2,224,278
Echo Bay Mines, Ltd. 156,426 1,681,580
TVX Gold, Inc.* 191,582 1,388,969
Battle Mountain Gold Co. 95,842 694,854
Pegasus Gold, Inc.* 41,718 511,046
Horsham Corp. 32,443 450,147
ASA Limited 11,492 448,188
Hecla Mining Co. 61,144 428,008
Getchell Gold Corp.* 11,106 391,486
First Mississippi Corp. 11,882 264,374
Agnico Eagle Mines, Ltd. 14,496 235,560
Hemlo Gold Mines, Inc. 9,900 105,188
Kinross Gold Corp.* 8,700 65,250
Freeport McMoran, Inc., Class A 1,887 56,374
Engelhard Corp. 2,438 56,074
Newmont Gold Corp. 1,100 55,412
Cambior, Inc. 2,908 38,894
Anglo American Gold Investment Co., Ltd. 3,470 29,495
Western Deep Levels, Ltd. 800 29,000
Amax Gold, Inc.* 4,324 23,782
Amax, Inc.* 592 17,982
MK Gold Co.* 4,437 6,656
Siskon Gold Corp., Class A* 2,959 5,178
Buffelsfontein Gold Mining Co., Ltd.* 894 4,135
-----------
Total Common Stocks (Cost $38,944,761) $36,539,720
-----------
</TABLE>
* Non-Income Producing Securities.
See Notes to Financial Statements.
15
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.0%
Call Options On:
XAU Index Option Contract Expiring July 1996 at 130
(Cost $10,060) 20 $ 2,750
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 5.2%
Repurchase Agreement Collateralized by U.S. Treasury
Obligations--
5.45% due 7/1/96 (Note 3) $2,000,000 2,000,000
-----------
Total Investments 100% (Cost $40,954,821) $38,542,470
===========
- -----------------------------------------------------------------------------
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
WRITTEN OPTION CONTRACTS
Put Options On:
XAU Index Expiring July 1996 at 130
(Proceeds $9,189) 20 $ 14,250
===========
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note1)
----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 92.0%
U.S. Treasury Bond 6.00% due 2/15/2026 (Cost
$16,295,276) $18,519,000 $16,418,251
-----------
<CAPTION>
Contracts
-----------
<S> <C> <C>
OPTIONS PURCHASED 3.0%
Call Options On:
U.S. Treasury Bond Futures Contract Expiring
September 1996 at 100 (Cost $451,165) 55 525,078
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 5.0%
Repurchase Agreement Collateralized by U.S. Treasury
Obligations--
5.45% due 7/1/96 (Note 3) $ 900,000 900,000
-----------
Total Investments 100.0% (Cost $17,646,441) $17,843,329
===========
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
RYDEX SERIES TRUST
JUNO FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.7%
Put Options On:
U.S. Treasury Bond Futures Contracts Expiring
September 1996 at 132 (Cost $141,622) 6,000 $ 134,812
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 99.3%
Repurchase Agreement collateralized by U.S. Treasury
Obligations--5.45% 7/1/96 (Note 3) $18,700,000 18,700,000
-----------
Total Investments 100% (Cost $18,841,622) $18,834,812
===========
- ------------------------------------------------------------------------------
<CAPTION>
Unrealized
Contracts (Loss)
----------- -----------
<S> <C> <C>
FUTURES CONTRACTS SOLD
U.S. Treasury Bond Futures Contract Expiring
September 1996
(Underlying Face Amount at Market Value
$18,291,719) 167 $ (380,793)
===========
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<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 $195,429,089 $405,078,199 $169,891,981
Receivable for Future Contracts
Settlement 932,795 0 0
Investment Income Receivable 51,911 41,783 54,500
Cash in Custodian Bank 1,526,720 1,524,942 2,121
Cash on Deposit with Broker 0 4,175,000 0
Receivable for Shares Purchased 36,514,486 1,054,705 11,921,785
Unamortized Organization Costs (Note 1) 70,760 41,417 22,333
Prepaid Expenses 8,929 14,155 16,957
------------ ------------ ------------
Total Assets 234,534,690 411,930,201 181,909,677
------------ ------------ ------------
LIABILITIES
Payable for Securities Purchased 4,028,551 0 0
Payable for Futures Contracts
Settlement 0 963,305 0
Written Options at Market Value 0 204,690,000 0
Liability for Shares Redeemed 5,809,645 13,518,618 27,876,178
Dividends Payable 0 0 6,435
Investment Advisory Fee Payable 101,726 142,245 62,886
Transfer Agent Fee Payable 33,909 39,513 25,154
Other Liabilities 19,743 23,252 14,477
------------ ------------ ------------
Total Liabilities 9,993,574 219,376,933 27,985,130
------------ ------------ ------------
NET ASSETS $224,541,116 $192,553,268 $153,924,547
============ ============ ============
Shares Outstanding 14,321,854 25,507,832 153,983,648
============ ============ ============
Net Asset Value Per Share $15.68 $7.55 $1.00
====== ===== =====
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
June 30, 1996
- --------------------------------------------------------------------------------
<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 $57,928,177 $38,542,470 $17,843,329 $18,834,812
Receivable for Securities Sold 4,639,775 2,396,213 0 0
Investment Income Receivable 7,425 10,008 418,552 8,493
Cash in Custodian Bank 49,838 91,025 15,918 74,025
Cash on Deposit with Broker 532,705 197,692 0 403,686
Receivable for Shares
Purchased 10,302,505 317,286 4,255,955 30,486
Unamortized Organization Costs
(Note 1) 12,352 17,098 10,391 24,852
Other Assets 7,287 4,987 4,093 974
----------- ----------- ----------- -----------
Total Assets 73,480,064 41,576,779 22,548,238 19,377,328
----------- ----------- ----------- -----------
LIABILITIES
Payable for Securities
Purchased 16,424,003 1,306,676 2,490,360 0
Payable for Futures Contracts
Settlement 0 0 0 194,870
Written Options at Market
Value 74,463 14,250 0 0
Liability for Shares Redeemed 8,204,898 3,625,201 1,550,956 260,825
Dividends Payable 0 0 155,645 0
Investment Advisory Fee
Payable 26,440 30,914 6,427 12,681
Transfer Agent Fee Payable 7,051 8,244 2,571 3,523
Organization Expense Payable
to Advisor 0 0 0 33,792
Other Liabilities 27,295 17,924 11,134 12,024
----------- ----------- ----------- -----------
Total Liabilities 24,764,150 5,003,209 4,217,093 517,715
----------- ----------- ----------- -----------
NET ASSETS $48,715,914 $36,573,570 $18,331,145 $18,859,613
=========== =========== =========== ===========
Shares Outstanding 3,213,376 4,039,466 2,043,061 1,991,493
=========== =========== =========== ===========
Net Asset Value Per Share $15.16 $9.05 $8.97 $9.47
====== ===== ===== =====
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Year Ended June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Government
Nova Ursa Money
Fund Fund Market Fund
----------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest $ 5,854,668 $ 8,410,112 $9,185,697
Dividends 0 0 0
----------- ------------ ----------
Total Income 5,854,668 8,410,112 9,185,697
----------- ------------ ----------
EXPENSES
Advisory Fees (Note 4) 1,022,794 1,607,706 891,864
Transfer Agent Fees (Note 4) 327,476 451,107 403,167
Audit and Outside Services 90,116 108,157 129,480
Accounting Fees (Note 4) 21,463 24,343 5,683
Legal 59,596 66,258 66,647
Organizational Expenses 34,953 16,583 8,901
Registration Fees 20,997 56,530 108,866
Custodian Fees 76,774 76,277 37,995
Miscellaneous 93,705 62,855 106,054
----------- ------------ ----------
Total Expenses 1,747,874 2,469,816 1,758,657
Custodian Fees Paid Indirectly (Note 5) 72,371 71,474 32,792
----------- ------------ ----------
Net Expenses 1,675,503 2,398,342 1,725,865
----------- ------------ ----------
Net Investment Income 4,179,165 6,011,770 7,459,832
----------- ------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities 16,449,931 71,815,746 467
Written Options (985,101) (82,325,052) 0
Futures Contracts 6,629,915 (26,008,525) 0
----------- ------------ ----------
Total Net Realized Gain (Loss) 22,094,745 (36,517,831) 467
Net Change in Unrealized Appreciation
(Depreciation) on Investments, Options
and Futures Contracts 2,685,556 3,161,168 0
----------- ------------ ----------
Net Gain (Loss) on Investments 24,780,301 (33,356,663) 467
----------- ------------ ----------
Net Increase (Decrease) in Net Assets
from Operations $28,959,466 $(27,344,893) $7,460,299
=========== ============ ==========
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Year Ended June 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S.
Counter Metals Government Juno
Fund Fund Bond Fund Fund
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $1,048,165 $ 303,537 $1,111,295 $ 1,014,806
Dividends 148,945 376,675 0 0
---------- ----------- ---------- -----------
Total Income 1,197,110 680,212 1,111,295 1,014,806
---------- ----------- ---------- -----------
EXPENSES
Advisory Fees (Note 2) 541,443 406,902 97,820 174,866
Transfer Agent Fees (Note 2) 123,358 114,476 37,793 47,333
Audit and Outside Services 90,610 66,908 28,067 18,097
Accounting Fees (Note 4) 0 13,469 7,545 8,276
Legal 19,049 18,081 11,068 5,127
Organizational Expenses 4,945 6,844 2,899 6,775
Registration Fees 23,997 30,041 16,394 12,790
Custodian Fees 59,835 32,224 12,592 20,426
Miscellaneous 52,767 15,222 21,994 26,542
---------- ----------- ---------- -----------
Total Expenses 916,004 704,167 236,172 320,232
Custodian Fees Paid
Indirectly (Note 5) 23,410 20,521 7,789 16,022
---------- ----------- ---------- -----------
Net Expenses 892,594 683,646 228,383 304,210
---------- ----------- ---------- -----------
Net Investment Income (Loss) 304,516 (3,434) 882,912 710,596
---------- ----------- ---------- -----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities 7,421,330 2,270,470 (103,013) 7,014
Written Options (12,698) 17,800 0 0
Futures Contracts 0 0 0 (1,862,302)
---------- ----------- ---------- -----------
Total Net Realized Gain
(Loss) 7,408,632 2,288,270 (103,013) (1,855,288)
Net Change in Unrealized
Appreciation (Depreciation)
on Investments, Options and
Futures Contracts (894,564) (6,585,369) 188,414 (397,053)
---------- ----------- ---------- -----------
Net Gain (Loss) on
Investments 6,514,068 (4,297,099) 85,401 (2,252,341)
---------- ----------- ---------- -----------
Net Increase (Decrease) in
Net Assets from Operations $6,818,584 $(4,300,533) $ 968,313 $(1,541,745)
========== =========== ========== ===========
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund Ursa Fund
------------------------- --------------------------
Year Ended Year Ended Year Ended Year Ended
June 30,1996 June 30,1995 June 30,1996 June 30,1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income
(Loss) $ 4,179,165 $ 1,439,357 $ 6,011,770 $ 6,175,756
Net Realized Gain
(Loss) on Investments 22,094,745 13,817,408 (36,517,831) (35,881,477)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments, Options
and Futures Contracts 2,685,556 1,292,835 3,161,168 (6,422,346)
------------ ------------ ------------ ------------
Net Increase (Decrease)
in Net Assets from
Operations 28,959,466 16,549,600 (27,344,893) (36,128,067)
------------ ------------ ------------ ------------
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
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) 132,666,112 (25,838,163) 92,269,466 58,496,332
------------ ------------ ------------ ------------
Net Increase in Net
Assets 161,625,578 (14,998,588) 64,924,573 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 $224,541,116 $ 62,915,538 $192,553,268 $127,628,695
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government
Money Market Fund
---------------------------
Year Ended Year Ended
June 30,1996 June 30,1995
------------- ------------
<S> <C> <C>
FROM INVESTMENT ACTIVITIES
Net Investment Income (Loss) $ 7,459,832 $ 6,154,866
Net Realized Gain (Loss) on Investments 467 0
Net Change in Unrealized Appreciation
(Depreciation) of Investments 0 0
------------- ------------
Net Increase (Decrease) in Net Assets from
Operations 7,460,299 6,154,866
------------- ------------
Distributions to Shareholders
From Net Investment Income (Note 1) (7,466,933) (6,073,204)
From Realized Gain on Investments (467) 0
Net Increase (Decrease) in Net Assets
from Shares Transactions (Note 8) (130,266,747) 196,010,161
------------- ------------
Net Increase (Decrease) in Net Assets (130,273,848) 196,091,823
------------- ------------
NET ASSETS--Beginning of Period 284,198,395 88,106,572
------------- ------------
NET ASSETS--End of Period $ 153,924,547 $284,198,395
============= ============
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious Metals
Counter Fund Fund
-------------------------- --------------------------
Year Ended Year Ended Year Ended Year Ended
June 30,1996 June 30,1995 June 30,1996 June 30,1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income
(Loss) $ 304,516 $ 647,070 $ (3,434) $ 339,855
Net Realized Gain
(Loss) on Investments 7,408,632 8,710,161 2,288,270 (9,206,800)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments, and
Option Contracts (894,564) 8,840,779 (6,585,369) 4,226,627
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets from
Operations 6,818,584 18,198,010 (4,300,533) (4,640,318)
Distributions to
Shareholders
From Net Investment
Income (Note 1) 0 (542,955) 0 (332,993)
From Realized Gain on
Investments (1,826,446) (3,435,400) 0 0
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) (18,223,812) 17,033,155 13,022 44,308,359
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets (13,231,674) 31,252,810 (4,287,511) 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 $ 48,715,914 $61,947,588 $36,573,570 $40,861,081
============ =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government
Bond Fund Juno Fund
-------------------------- ---------------------------
Year Ended Year Ended Year Ended Period Ended
June 30,1996 June 30,1995 June 30,1996 June 30,1995*
------------ ------------ ------------ -------------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income
(Loss) $ 882,912 $ 71,541 $ 710,596 $ 135,504
Net Realized Gain
(Loss) on Investments (103,013) 277,544 (1,855,288) (1,636,350)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments, Options
and Futures Contracts 188,414 56,925 (397,053) 9,450
----------- ---------- ----------- -----------
Net Increase (Decrease)
in Net Assets from
Operations 968,313 406,010 (1,541,745) (1,491,396)
Distributions to
Shareholders
From Net Investment
Income (Note 1) (885,787) (46,239) 0 0
From Realized Gain on
Investments (243,678) 0 0 0
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) 15,900,788 667,535 16,100,047 5,792,707
----------- ---------- ----------- -----------
Net Increase (Decrease)
in Net Assets 15,739,636 1,027,306 14,558,302 4,301,311
----------- ---------- ----------- -----------
NET ASSETS--Beginning of
Period 2,591,509 1,564,203 4,301,311 0
----------- ---------- ----------- -----------
NET ASSETS--End of
Period $18,331,145 $2,591,509 $18,859,613 $ 4,301,311
=========== ========== =========== ===========
</TABLE>
* Commencement Of Operations: March 3, 1995.
See Notes to Financial Statements.
26
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund
----------------------------------------
For the Year For the Year For the Period
Ended Ended Ended
June 30, June 30, June 30,
1996 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 .56 .28 .01
Net Realized and Unrealized Gains
(Losses) on Securities 3.31 2.88 (.25)
-------- ------- -------
Net Increase (Decrease) in Net Asset
Value from Operations 3.87 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 3.87 2.04 (.24)
-------- ------- -------
NET ASSET VALUE--END OF PERIOD $ 15.68 $ 11.81 $ 9.77
======== ======= =======
TOTAL INVESTMENT RETURN 32.77% 32.65% (2.47)%
RATIOS TO AVERAGE NET ASSETS
Expenses 1.31% 1.43% 1.73%**
Net Investment Income 3.14% 2.62% 1.05%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0%
Net Assets, End of Period (000's
omitted) $224,541 $62,916 $77,914
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
* 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.
See Notes to Financial Statements.
27
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ursa Fund
----------------------------------------
For the Year For the Year For the Period
Ended Ended Ended
June 30, June 30, June 30,
1996 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 .30 .35 .01
Net Realized and Unrealized Gains
(Losses) on Securities (1.54) (1.78) .53
-------- -------- --------
Net Increase (Decrease) in Net Asset
Value from Operations (1.24) (1.43) .54
Dividends to Shareholders .00 (.32) .00
Distributions to Shareholders From
Net Realized Capital Gain .00 .00 .00
-------- -------- --------
Net Increase (Decrease) in Net Asset
Value (1.24) (1.75) .54
-------- -------- --------
NET ASSET VALUE--END OF PERIOD $ 7.55 $ 8.79 $ 10.54
======== ======== ========
TOTAL INVESTMENT RETURN (14.11)% (14.08)% 10.89%
RATIOS TO AVERAGE NET ASSETS
Expenses 1.39% 1.39% 1.67%**
Net Investment Income 3.38% 3.50% 1.43%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0%
Net Assets, End of Period (000's
omitted) $192,553 $127,629 $110,899
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
* 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.
See Notes to Financial Statements.
28
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market Fund
----------------------------------------
For the Year For the Year For the Period
Ended Ended Ended
June 30, June 30, June 30,
1996 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 .04 .04 .01
Net Realized and Unrealized Gains
(Losses) on Securities .00 .00 .00
-------- -------- -------
Net Increase (Decrease) in Net Asset
Value from Operations .04 .04 .01
Dividends to Shareholders (.04) (.04) (.01)
Distributions to Shareholders From
Net Realized Capital Gain .00 .00 .00
-------- -------- -------
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 4.60% 4.43% 2.47%
RATIOS TO AVERAGE NET ASSETS
Expenses 0.99% 0.89% 1.16%**
Net Investment Income 4.18% 4.23% 2.34%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0%
Net Assets, End of Period (000's
omitted) $153,925 $284,198 $88,107
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
* Commencement of Operations: December 3, 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.
See Notes to Financial Statements.
29
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the-Counter Fund
----------------------------------------
For the Year For the Year For the Period
Ended Ended Ended
June 30, June 30, June 30,
1996 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 (Loss) .06 .14 .01
Net Realized and Unrealized Gains
(Losses) on Securities 3.24 4.17 (1.25)
---------- ---------- ----------
Net Increase (Decrease) in Net Asset
Value from Operations 3.30 4.31 (1.24)
Dividends to Shareholders .00 (.12) .00
Distributions to Shareholders From
Net Realized Capital Gain (.36) (.73) .00
---------- ---------- ----------
Net Increase (Decrease) in Net Asset
Value 2.94 3.46 (1.24)
---------- ---------- ----------
NET ASSET VALUE--END OF PERIOD $ 15.16 $ 12.22 $ 8.76
========== ========== ==========
TOTAL INVESTMENT RETURN 26.44% 49.00% (30.17)%
RATIOS TO AVERAGE NET ASSETS
Expenses 1.33% 1.41% 1.97%**
Net Investment Income 0.44% 1.34% 1.69%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate 2,578.56% 2,241.00% 1,171.00%
Net Assets, End of Period (000's
omitted) $ 48,716 $ 61,948 $ 30,695
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
* Commencement of Operations: February 14, 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.
See Notes to Financial Statements.
30
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Precious Metals Fund
----------------------------------------
For the Year For the Year For the Period
Ended Ended Ended
June 30, June 30, June 30,
1996 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) .00 .10 .01
Net Realized and Unrealized Gains
(Losses) on Securities .32 .43 (1.72)
---------- ---------- ----------
Net Increase (Decrease) in Net Asset
Value from Operations .32 .53 (1.71)
Dividends to Shareholders .00 (.09) .00
Distributions to Shareholders From
Net Realized Capital Gain .00 .00 .00
---------- ---------- ----------
Net Increase (Decrease) in Net Asset
Value .32 .44 (1.71)
---------- ---------- ----------
NET ASSET VALUE--END OF PERIOD $ 9.05 $ 8.73 $ 8.29
========== ========== ==========
TOTAL INVESTMENT RETURN 3.67% 6.21% (29.27)%
RATIOS TO AVERAGE NET ASSETS
Expenses 1.33% 1.38% 2.06%**
Net Investment Income (0.01)% 1.15% 1.23%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 1,036.37% 1,765.00% 2,728.00%
Average Commission Rate Paid**** 1.5100% -- --
Net Assets, End of Period (000's
omitted) $ 36,574 $ 40,861 $ 1,526
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
* Commencement of Operations: December 1, 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.
**** For fiscal years beginning on or after September 1, 1995 the fund is
required to disclose its average commission rate per share for purchases and
sales of equity securities.
See Notes to Financial Statements.
31
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Bond Fund
----------------------------------------
For the Year For the Year For the Period
Ended Ended Ended
June 30, June 30, June 30,
1996 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 (Loss) .46 .39 .02
Net Realized and Unrealized Gains
(Losses) on Securities (.45) 1.17 (1.76)
-------- ---------- ----------
Net Increase (Decrease) in Net Asset
Value from Operations .01 1.56 (1.74)
Dividends to Shareholders (.46) (.25) (.02)
Distributions to Shareholders From
Net Realized Capital Gain (.13) .00 .00
-------- ---------- ----------
Net Increase (Decrease) in Net Asset
Value (.58) 1.31 (1.76)
-------- ---------- ----------
NET ASSET VALUE--END OF PERIOD $ 8.97 $ 9.55 $ 8.24
======== ========== ==========
TOTAL INVESTMENT RETURN (1.48)% 18.97% (32.63)%
RATIOS TO AVERAGE NET ASSETS
Expenses 1.26% 2.26% 3.05%**
Net Investment Income 4.73% 4.64% 3.39%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 780.30% 3,452.59% 1,290.00%
Net Assets, End of Period (000's
omitted) $ 18,331 $ 2,592 $ 1,564
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
* Commencement of Operations: January 3, 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.
See Notes to Financial Statements.
32
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Juno Fund
---------------------------
For the Year For the Period
Ended Ended
June 30, June 30,
1996 1995 *
------------ --------------
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD $ 9.08 $ 10.00
------- -------
Net Investment Income (Loss) .34 .14
Net Realized and Unrealized Gains (Losses) on
Securities .05 (1.06)
------- -------
Net Increase (Decrease) in Net Asset Value
from Operations .39 (.92)
Dividends to Shareholders .00 .00
Distributions to Shareholders From Net
Realized Capital Gain .00 .00
------- -------
Net Increase (Decrease) in Net Asset Value .39 (.92)
------- -------
NET ASSET VALUE--END OF PERIOD $ 9.47 $ 9.08
======= =======
TOTAL INVESTMENT RETURN 4.30% (9.20)%
RATIOS TO AVERAGE NET ASSETS
Expenses 1.64% 1.50%**
Net Investment Income 3.63% 1.32%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0.00% 0.00%
Net Assets, End of Period (000's omitted) $18,860 $ 4,301
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
* 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.
See Notes to Financial Statements.
33
<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.
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. 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.
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
34
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
marked 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.
J. The preparation of financial statements in conformity with generally
accepted accounting principles 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 those estimates.
2. OPERATING POLICIES
The Trust, which includes seven separate funds, utilizes futures contracts,
options, and options on futures contracts in order to meet the specific
investment objectives of the individual funds.
35
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
The Nova Fund, which is designed to provide total returns over time that are
superior to the Standard and Poor's 500 Composite Stock Price Index ("S&P
500"), invests primarily in futures on the S&P 500 index and options on those
futures in order to correlate its return with an amount approximately 150% of
the performance of the S&P 500. The Ursa Fund primarily sells futures contracts
and buys options on futures contracts in furtherance of its investment
objective to inversely correlate the S&P 500. The Precious Metals Fund seeks
capital appreciation. It buys primarily equity securities and purchases call
options and sells put options on the XAU Index. The Bond Fund strives to
provide income and capital appreciation. It purchases futures contracts on U.S.
Treasury Bonds and buys call options on U.S. Treasury Bond futures as a
substitute for a comparable market position in the underlying U.S. Treasury
Securities. The Juno Fund seeks to inversely correlate with the price changes
of the current Thirty Year Treasury Bond. To meet this objective, Juno
primarily buys put options on Treasury Bond futures and sells Treasury Bond
futures. The OTC Fund strives to provide investment results before fees and
expenses that closely correlate the total return of the NASDAQ 100 Index. The
fund invests in securities included in the NASDAQ 100 Index and buys call
options and sells put options on stock indexes. In addition, the Nova Fund, the
Ursa Fund, the OTC Fund, and the Precious Metals Fund write options to further
meet their investment objectives.
The risks inherent in the use of options, futures contracts, and options on
futures contracts include 1) adverse changes in the value of such instruments;
2) imperfect correlation between the price of options and futures contracts and
options thereon and movements in the price of the underlying securities, index,
or futures contract; 3) the possible absences of a liquid secondary market for
any particular instrument at any time; and 4) the possible need to defer
closing out certain positions to avoid adverse tax consequences.
3. REPURCHASE AGREEMENTS
The Trust transfers uninvested cash balances into a single joint account, the
daily aggregate balance of which is invested in repurchase agreements
collateralized by Federal obligations. As of June 30, 1996, the repurchase
agreements with Fuji Securities and PaineWebber Inc. in the joint account and
the related collateral thereon were as follows:
<TABLE>
<CAPTION>
Security Type Range of rates Par Value Market Value
- ------------- -------------- ------------ ------------
<S> <C> <C> <C>
United States Treasury Bond 8.75%-11.875% $ 54,990,000 $ 67,679,000
United States Treasury Note 5.625%-6.875% $205,685,000 $207,321,000
United States Treasury Bill 5.45% $ 85,521,000 $ 85,000,000
</TABLE>
36
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. INVESTMENT ADVISORY, TRANSACTIONS WITH AFFILIATES, 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 an annual rate of one-quarter of one percent (0.25%) of the Nova Fund, the
Ursa Fund, and the Juno Fund.
The Trust paid PADCO Services Inc., $80,779 for accounting services during the
fiscal year. Accounting fees are based on each fund's monthly average net
assets.
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 year ended June 30, 1996 are as follow:
<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>
$72,371 $71,474 $32,792 $23,410 $20,521 $ 7,789 $16,022
</TABLE>
6. SECURITIES TRANSACTIONS
During the year ended June 30, 1996 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 $ 0 $ 0 $ 0 $1,687,520,814 $ 501,063,230 $ 137,156,061 $ 0
Sales $ 0 $ 0 $ 0 $1,708,510,775 $ 500,418,169 $ 123,000,803 $ 0
</TABLE>
The transactions shown above exclude short-term and temporary cash investments.
37
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. NET UNREALIZED APPRECIATION/DEPRECIATION OF SECURITIES
At June 30, 1996 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 $ 2,952,114 $ 11,548,765 $ 0 $ 2,608,519 $ 361,720 $ 0 $ 0
Gross Unrealized
(Depreciation) 0 (10,557,073) 0 (4,423,621) (7,619,699) (525,860) (387,603)
------------ ------------ ------------ ----------- ----------- ----------- -----------
Net Unrealized
Appreciation/
(Depreciation) $ 2,952,114 $ 991,692 $ 0 $(1,815,102) $(7,257,979) $ (525,860) $ (387,603)
Cost of Investments for
Federal Income Tax
Purposes $194,072,313 $394,422,034 $169,891,981 $59,743,279 $45,800,449 $18,369,189 $18,841,622
</TABLE>
8. SHARE TRANSACTIONS
Transactions in dollars for the year ended June 30, 1996 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 $2,653,475,866 $2,245,867,707 $4,139,232,212 $2,261,882,356 $836,754,933 $189,414,530 $233,349,428
Purchased
through
Dividend
Reinvestment 0 0 7,466,821 1,413,792 0 879,023 0
-------------- -------------- -------------- -------------- ------------ ------------ ------------
Total Purchased 2,653,475,866 2,245,867,707 4,146,699,033 2,263,296,148 836,754,933 190,293,553 233,349,428
Shares Redeemed (2,520,809,754) (2,153,598,241) (4,276,965,780) (2,281,519,960) (836,741,911) (174,392,765) (217,249,381)
-------------- -------------- -------------- -------------- ------------ ------------ ------------
Net Shares
Purchased/
(Redeemed) $ 132,666,112 $ 92,269,466 $ (130,266,747) $ (18,223,812) $ 13,022 $ 15,900,788 $ 16,100,047
============== ============== ============== ============== ============ ============ ============
</TABLE>
38
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Transactions in shares for the year ended June 30, 1996 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 188,794,994 276,476,043 4,139,232,212 168,346,003 87,901,045 19,714,470 25,594,613
Dividend Reinvestment 0 0 7,466,821 108,337 0 97,996 0
------------ ------------ -------------- ------------ ----------- ----------- -----------
Total Purchased 188,794,994 276,476,043 4,146,699,033 168,454,340 87,901,045 19,812,466 25,594,613
Shares Redeemed (179,799,246) (265,490,770) (4,276,965,783) (170,312,258) (88,544,497) (18,040,885) (24,076,731)
------------ ------------ -------------- ------------ ----------- ----------- -----------
Net Shares
Purchased/(Redeemed) 8,995,748 10,985,273 (130,266,750) (1,857,918) (643,452) 1,771,581 1,517,882
============ ============ ============== ============ =========== =========== ===========
</TABLE>
Transactions in dollars for the year ended June 30, 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 $ 1,388,186,680 $ 772,461,150 $ 48,656,940 $ 64,916,051
Purchased through
Dividend
Reinvestment 5,223,393 4,561,095 6,208,014 3,427,684 301,229 41,641 0
--------------- --------------- --------------- --------------- ------------- ------------ ------------
Total Purchased 1,562,992,480 3,169,127,227 3,593,610,398 1,391,614,364 772,762,379 48,698,581 64,916,051
Shares Redeemed (1,588,830,643) (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 $ 667,535 $ 5,792,707
=============== =============== =============== =============== ============= ============ ============
</TABLE>
* Commencement of Operations: March 3, 1995--Juno Fund.
39
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Transactions in shares for the year ended June 30, 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 3,593,610,398 135,442,002 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>
9. OPTION CONTRACTS WRITTEN
During the year ended June 30, 1996 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 68,000 2,051,146,402
Options Terminated (3,012) (89,604,623) (62,000) (1,857,013,475)
------ ------------ ------- ---------------
Outstanding at End of
Period 0 $ 0 6,000 $ 194,132,927
====== ============ ======= ===============
<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 $ 17,598
Options Written 1,805 2,494,440 400 147,170
Options Terminated (1,802) (2,425,020) (430) (155,579)
------ ------------ ------- ---------------
Outstanding at End of
Period 37 $ 88,577 20 $ 9,189
====== ============ ======= ===============
</TABLE>
40
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. NET ASSETS
At June 30, 1996, net assets consisted of:
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
------------ ------------ ------------
<S> <C> <C> <C>
Paid-In-Capital $221,230,953 $267,465,208 $153,931,181
Undistributed Net
Investment Income 0 736,280 0
Overdistribution of Net
Investment Income 0 0 (6,634)
Accumulated Net Realized
Gain (Loss) on
Investments 358,049 (76,639,912) 0
Distribution in Excess
of Realized Gains* 0 0 0
Net Unrealized
Appreciation
(Depreciation) on
Investments, Options
and Futures Contracts 2,952,114 991,692 0
------------ ------------ ------------
Net Assets $224,541,116 $192,553,268 $153,924,547
============ ============ ============
<CAPTION>
Over-the- U.S.
Counter Precious Government Juno
Fund Metals Fund Bond Fund Fund
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Paid-In-Capital $ 49,698,232 $ 48,087,669 $ 18,713,170 $22,677,052
Undistributed Net
Investment Income 976,052 0 16,759 61,802
Distribution in Excess
of Net Investment
Income 0 (1,091) 0 0
Accumulated Net Realized
Gain (Loss) on
Investments (9,541,295) (9,095,596) (351,994) (3,491,638)
Distribution in Excess
of Realized Gains* 0 0 (243,678) 0
Net Unrealized
Appreciation
(Depreciation) on
Investments, Options
and Futures Contracts 7,582,925 (2,417,412) 196,888 (387,603)
------------ ------------ ------------ -----------
Net Assets $ 48,715,914 $ 36,573,570 $ 18,331,145 $18,859,613
============ ============ ============ ===========
</TABLE>
* Realized capital gains differ for financial statement and tax purposes
primarily because of the timing of the recognition of post October 31 capital
losses.
41
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (concluded)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
11. LOSS CARRYFORWARD--FEDERAL INCOME TAX
At June 30, 1996, for Federal income tax purposes, the following funds had
capital loss carryovers which may be applied against future net taxable
realized gains of each succeeding year until the earlier of its utilization or
its expiration:
<TABLE>
<CAPTION>
Precious
Expires Ursa Metals Juno
June 30, Fund Fund Fund
-------- ---------- --------- ---------
<S> <C> <C> <C>
2003 $6,618,786 $0 $0
2004 43,168,709 4,249,968 3,647,178
</TABLE>
42
<PAGE>
RYDEX SERIES TRUST
INDEPENDENT AUDITORS' REPORT
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
The Shareholders and Board of Trustees,
Rydex Series Trust:
We have audited the statements of assets and liabilities, including the
schedules of investments, of the Nova, Ursa, U.S. Government Money Market,
Over-the-Counter, Precious Metals, U.S. Government Bond and Juno Funds of
Rydex Series Trust as of June 30, 1996, the related statements of operations,
changes in net assets, and the financial highlights for the periods presented.
These financial statements and financial highlights are the responsibility of
the Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of June 30, 1996 by correspondence with the custodian and brokers. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of the Nova, Ursa,
U.S. Government Money Market, Over-the-Counter, Precious Metals, U.S.
Government Bond and Juno Funds of the Rydex Series Trust as of June 30, 1996,
the results of their operations, the changes in their net assets, and the
financial highlights for the periods presented in conformity with generally
accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
August 20, 1996
43
<PAGE>
[LOGO OF RYDEX APPEARS HERE]
The First Family of Funds
Designed for Professional
Money Managers
Nova Fund
Juno Fund ANNUAL REPORT
Ursa Fund JUNE 30, 1996
OTC Fund
Precious Metals Fund
U.S. Government Bond Fund
U.S. Government Money Market
Nova Fund
Juno Fund
RYDEX SERIES TRUST Ursa Fund
6116 Executive Blvd., Suite 400 OTC Fund
Rockville, MD 20852 Precious Metals Fund
(301) 468-8520 (800) 820-0888 U.S. Government Bond Fund
U.S. Government Money Market
