<PAGE>
[LOGO OF RYDEX APPEARS HERE]
Institutional Money Market Fund
A family of mutual funds
designed exclusively for
professional money managers
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1997
RYDEX SERIES TRUST
6116 Executive Blvd., Suite 400
Rockville, MD 20852
(301) 468-8520 (800) 820-0888
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note 1)
---------- -----------
<S> <C> <C>
COMMERCIAL PAPER 28.90%
American Express Credit Corporation 5.49% 10/06/97 $5,000,000 $ 4,996,187
Ford Motor Credit Agency 5,000,000 5,000,000
-----------
Total Commercial Paper (Cost $9,996,187) 9,996,187
-----------
FEDERAL AGENCY DISCOUNT NOTES 26.01%
Federal Home Loan Mortgage Corporation 5.95% 10/01/97 5,000,000 5,000,000
Federal Home Loan Mortgage Corporation 5.60% 10/02/97 4,000,000 3,999,378
-----------
Total Federal Agency Discount Notes (Cost $8,999,378) 8,999,378
-----------
U.S. TREASURY BONDS 43.36%
Federal Farm Credit Administration 5.50% 11/03/97 5,000,000 5,000,000
Federal National Mortgage Association 5.625% 2/12/98 5,000,000 5,000,000
Student Loan Marketing Association 5.27% 2/19/98 5,000,000 5,000,000
-----------
Total U.S. Treasury Bonds (Cost $15,000,000) 15,000,000
-----------
REPURCHASE AGREEMENTS 1.73%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations--
6.00% 10/01/97 (Note 2) 476,238 476,238
6.05% 10/01/97 (Note 2) 123,762 123,762
-----------
Total Repurchase Agreements (Cost $600,000) 600,000
-----------
Total Investments 100% (Cost $34,595,565) $34,595,565
===========
</TABLE>
See Notes to Financial Statements.
1
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Securities at Value (Note 1)--See Accompanying Schedules $34,595,565
Investment Income Receivable 115,413
Cash in Custodian Bank 37,315
Receivable for Shares Purchased 12,394,867
Unamortized Organization Costs (Note 1) 46,631
Other Assets 41,043
-----------
Total Assets 47,230,834
-----------
LIABILITIES
Distribution Fee Payable 13,142
Payable for Shares Redeemed 16,373,477
Investment Advisory Fee Payable 27,220
Transfer Agent Fee Payable 9,924
Other Liabilities 82,013
-----------
Total Liabilities 16,505,776
-----------
NET ASSETS $30,725,058
===========
Shares Outstanding 30,697,214
===========
Net Asset Value Per Share $1.00
=====
</TABLE>
See Notes to Financial Statements.
2
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
STATEMENT OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
Six Months Ended September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest $2,260,188
----------
EXPENSES
Distribution Fees 102,967
Advisory Fees (Note 3) 227,092
Transfer Agent Fees (Note 3) 83,591
Audit and Outside Services 5,743
Accounting Fees (Note 3) 21,747
Legal 11,653
Organizational Expenses 6,079
Registration Fees 13,530
Custodian Fees 4,938
Miscellaneous 86,984
----------
Total Expenses 564,324
Custodian Fees Paid Indirectly (Note 4) 796
----------
Net Expenses 563,528
----------
Net Investment Income 1,696,660
----------
REALIZED GAIN ON INVESTMENTS
Net Realized Gain on:
Investment Securities 254
----------
Net Increase in Net Assets from Operations $1,696,914
==========
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Period Ended
September 30, 1997 March 31, 1997*
------------------ ---------------
Unaudited
<S> <C> <C>
From Investment Activities
Net Investment Income $ 1,696,660 $ 1,333,387
Net Realized Gain on Investments 254 503
------------ ------------
Net Increase in Net Assets from Operations 1,696,914 1,333,890
------------ ------------
Distributions to Shareholders
From Net Investment Income (Note 1) (1,671,299) (1,330,924)
From Realized Gain on Investments (254) (503)
Net Increase (Decrease) in Net Assets from
Shares Transactions
(Note 5) (79,616,246) 110,313,480
------------ ------------
Net Increase (Decrease) in Net Assets (79,590,885) 110,315,943
------------ ------------
NET ASSETS--Beginning of Period 110,315,943 0
------------ ------------
NET ASSETS--End of Period $ 30,725,058 $110,315,943
============ ============
</TABLE>
* Commencement of Operations: July 11, 1996
See Notes to Financial Statements.
4
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Period
Ended Ended
September 30, March 31,
1997 1997*
------------- ---------
Unaudited
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD $ 1.00 $ 1.00
------- --------
Net Investment Income .01 .03
Net Realized and Unrealized Gains on Securities .01 .00
------- --------
Net Increase in Net Asset Value Resulting from
Operations .02 .03
Dividends to Shareholders from Net Investment Income (.02) (.03)
------- --------
Net Increase in Net Asset Value .00 .00
------- --------
NET ASSET VALUE--END OF PERIOD $ 1.00 $ 1.00
======= ========
TOTAL INVESTMENT RETURN 4.21%** 4.17%**
RATIOS TO AVERAGE NET ASSETS
Gross Expenses 3.82%** 1.15%**
Net Expenses 3.82%** 1.15%**
Net Investment Income 1.27%** 3.50%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0%
Net Assets, End of Period (000's omitted) $30,725 $110,316
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
average daily shares outstanding for the year.
* Commencement of Operations: July 11, 1996
** Annualized
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year.
See Notes to Financial Statements.
5
<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 nine
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, the Juno Fund, the Institutional Money Market Fund and
the High Yield Fund. This report pertains to the Institutional Money Market
Fund (the "Fund"). The following significant accounting policies are in
conformity with generally accepted accounting principles and are consistently
followed by the Trust.
A. Short term securities with less than sixty days to maturity are valued at
amortized cost, which approximates market. Securities 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 and short-term capital gains (if any) are computed,
and dividends are declared, daily. Dividends are distributed monthly.
Dividends are reinvested in additional shares unless shareholders request
payment in cash.
D. The Fund 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.
E. Costs incurred by the Fund 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.
F. 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.
6
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
2. 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 U.S. Treasury obligations. As of September 30, 1997 the
repurchase agreements with Fuji Securities, Inc., PaineWebber, Inc., Smith
Barney, Inc. and Prudential 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>
United States Treasury Bills 6.05% $ 50,000,000 $ 50,000,000
United States Treasury Notes 5.875% $ 49,755,000 $ 51,036,293
United States Treasury Bonds 7.25%-8.25% $129,856,000 $146,388,097
</TABLE>
3. INVESTMENT ADVISORY AND TRANSFER AGENT SERVICES
Under the terms of an investment advisory contract, the Fund pays PADCO
Advisors, Inc. investment advisory fees calculated at an annual percentage
rate of fifty-five one hundredths of one percent (0.55%) of the average daily
net assets of the 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 average daily net assets of the Fund.
The Fund paid PADCO Service Company, Inc. $21,747 in accounting fees for the
six months ended September 30, 1997.
4. ACCOUNTING FOR EXPENSES
The Fund entered into an arrangement with its custodian whereby interest
earned on uninvested cash balances was used to offset a portion of the Fund's
expenses.
7
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
5. SHARE TRANSACTIONS
Transactions in shares for the six months ended September 30,1997 were:
(Unaudited)
<TABLE>
<S> <C>
Shares Purchased 1,521,141,204
Dividend Reinvestment 1,503,117
---------------
Total Purchased 1,522,644,321
Shares Redeemed (1,602,260,587)
---------------
Net Shares Redeemed (79,616,266)
===============
Transactions in dollars for the six months ended September 30, 1997 were:
(Unaudited)
Shares Purchased $ 1,521,141,224
Purchased through Dividend Reinvestment 1,503,117
---------------
Total Purchased 1,522,644,341
Shares Redeemed (1,602,260,587)
---------------
Net Shares Redeemed ($79,616,246)
===============
Transactions in shares for the period ended March 31,1997 were:
Shares Purchased 1,748,417,852
Dividend Reinvestment 1,179,631
---------------
Total Purchased 1,749,597,483
Shares Redeemed (1,639,284,003)
---------------
Net Shares Purchased 110,313,480
===============
Transactions in dollars for the period ended March 31, 1997 were:
Shares Purchased $ 1,748,417,852
Purchased through Dividend Reinvestment 1,179,631
---------------
Total Purchased 1,749,597,483
Shares Redeemed (1,639,284,003)
---------------
Net Shares Purchased $ 110,313,480
===============
</TABLE>
8
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. NET ASSETS
At September 30, 1997, net assets consisted of: (Unaudited)
<TABLE>
<S> <C>
Paid-In-Capital $30,697,234
Undistributed Net Investment Income 32,463
Accumulated Net Realized Gain on Investments (4,639)
-----------
Net Assets $30,725,058
===========
</TABLE>
9
<PAGE>
A family of mutual funds
designed exclusively for
professional money managers
Institutional Money Market Fund
RYDEX SERIES TRUST
6116 Executive Blvd., Suite 400
Rockville, MD 20852
(301) 468-8520 (800) 820-0888
[LOGO OF RYDEX APPEARS HERE]
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1997
Institutional Money Market Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
RYDEX SERIES TRUST
[LOGO OF SEMI-ANNUAL REPORT
RYDEX APPEARS
HERE] 6116 Executive Boulevard, Suite 400
Rockville, MD 20852
(301) 468-8520 (800) 820-0888
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Dear Shareholder:
We are pleased to present the Semi-Annual Report to Shareholders for the
Rydex Series Trust, covering the six month period ending September 30, 1997.
This Report includes a review of the U.S. financial markets, each Fund's
portfolio of investments, and the financial statements for the Rydex Series
Trust.
FINANCIAL MARKET REVIEW
Heightened volatility has become the norm in the world's financial markets as
the U.S. stock market continued its amazing climb during the second and third
quarters of 1997. The U.S. Government bond market also gained ground these past
six months as the yield on the benchmark 30-year Treasury Bond fell from 7.1%
to 6.4%.
The market pullback that began in the first quarter ended in mid-April as the
indices returned to their ascent. By late June, the Dow Jones Industrial
Average, the S&P 500 Composite Stock Price Index, and the NASDAQ 100 Index all
reached record highs. The climb was interrupted when Japanese Prime Minister
Ryutaro Hashimoto remarked that if the U.S. did not attempt to maintain
exchange rate stability, the Japanese would be tempted to sell off U.S.
Treasury securities. Traders interpreted this as a threat that the Japanese
might begin a large scale sell-off of U.S. Treasury securities and stocks. This
triggered a brief, broad market sell-off.
Also in June, government statistics revealed that wholesale prices fell for
the sixth consecutive month. This was the longest streak of producer-price
deflation since the government started producing this data 50 years ago. These
new signs of low inflation were welcomed by the financial markets as both
stocks and bonds returned to their upward trend. The second quarter finished on
a positive note with the Dow up 16.55%, the S&P 500 up 16.91%, and the
technology-laden NASDAQ 100 gaining 20.14% for the period.
The third quarter began with an auspicious start on July 2, as the Federal
Reserve chose to leave monetary policy alone for the second consecutive time
after a quarter point raise in the Federal Funds rate in March. The next day, a
government jobless claims report showed that the economy had produced fewer
jobs than expected. This report confirmed the view that the economy had slowed
enough to keep inflation from rising, yet was growing enough to fuel
<PAGE>
increases in corporate profits. The economy was showing continued strong
growth, low inflation and low interest rates. All of this news was good for
stocks and bonds, and the markets responded by surging to yet new records as
the Dow roared past the 8,000 point milestone for the first time on July 16. On
July 21, Alan Greenspan's comments before a congressional panel indicated that
the economy would continue on an exceptional path of high growth and low
inflation and the Federal Reserve would not raise interest rates anytime soon.
This sparked a broad-based rally until the Dow reached an all-time high of
8,259.31 on August 6.
After this, stocks gradually began to retreat until a precipitous, late
Friday sell-off occurred on August 15 when a weaker dollar and a rise in
interest rates sent worried traders and investors to the sell side. The Dow
plunged 247.37 points, the second largest point decline ever. The broad-based
retreat spread to the S&P 500 and to the NASDAQ 100 which lost 23.96 and 26.87,
respectively. The leading sectors of technology, pharmaceuticals, banking, and
energy all came under heavy selling pressure at the same time.
The third quarter ended with a Federal Reserve policy meeting on September 30
that acknowledged a strong economy with inflation quiescent as short-term
interest rates were left unchanged. The S&P 500 closed at 947.28, the NASDAQ
100 closed at 1097.17, and the XAU Gold and Silver Index ended the quarter at
109.50.
We have enjoyed an uninterrupted economic expansion in part because of the
Federal Reserve's credible monetary policy. This, combined with modern
technology, the globalization of free trade, deregulation and lower federal
spending, has created an environment for heightened productivity in the private
sector. This higher productivity has helped to improve corporate profit
margins. In addition, stock prices have been propelled by low inflation,
corporate share buybacks and strong earnings growth.
IN SUMMARY
Each of the funds in the Rydex Series Trust performed well within the
parameters of their objectives during this period of market volatility. As
always, Rydex will continue to develop and implement innovative products with
the needs of the professional money manager and their clients the highest
priority. Thank you for investing in the Rydex Series Trust. If you have any
questions, please call us at (800) 820-0888 or (301) 468-8520.
Sincerely,
/s/ A. P. Viragh
Albert P. (Skip) Viragh
Chairman of the Board
2
<PAGE>
RYDEX SERIES TRUST
NOVA
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
------------ --------------
<S> <C> <C>
OPTIONS PURCHASED 56.73%
Call Options on:
S&P 500 Futures Contracts Expiring December 1997
at 675 398 $ 55,620,500
S&P 500 Futures Contracts Expiring December 1997
at 700 681 86,657,250
S&P 500 Index Expiring October 1997 at 300 2,000 129,458,000
S&P 500 Index Expiring October 1997 at 400 3,000 164,268,000
S&P 500 Index Expiring October 1997 at 400 1,000 54,782,000
S&P 500 Index Expiring November 1997 at 400 2,000 109,626,000
S&P 500 Index Expiring March 1998 at 300 1,145 74,341,415
--------------
Total Call Options (Cost $635,639,923) 674,753,165
--------------
<CAPTION>
Face Amount
------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 31.27%
U.S. Treasury Bill 5.181% 10/16/97 $ 50,000,000 49,894,792
U.S. Treasury Bill 5.248% 11/13/97 50,000,000 49,694,521
U.S. Treasury Bill 4.81% 11/28/97 25,000,000 24,806,264
U.S. Treasury Bill 4.81% 11/28/97 50,000,000 49,612,528
U.S. Treasury Bill 4.86% 12/04/97 50,000,000 49,568,000
U.S. Treasury Bill 4.95% 12/11/97 25,000,000 24,755,937
U.S. Treasury Bill 4.85% 12/18/97 50,000,000 49,474,583
U.S. Treasury Bill 4.95% 12/18/97 50,000,000 49,463,750
U.S. Treasury Bill 4.93% 12/26/97 25,000,000 24,705,569
--------------
Total U.S. Treasury Obligations (Cost
$371,975,944) 371,975,944
--------------
REPURCHASE AGREEMENTS 12.00%
Repurchase Agreements Collateralized by U.S.
Treasury Obligations--
6.00% 10/01/97 (Note 3) 113,185,808 113,185,808
6.05% 10/01/97 (Note 3) 29,414,192 29,414,192
--------------
Total Repurchase Agreements (Cost $142,600,000) 142,600,000
--------------
Total Investments 100% (Cost $1,150,215,867) $1,189,329,109
==============
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
3
<PAGE>
RYDEX SERIES TRUST
NOVA
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized Gain
Contracts (Note 1)
--------- ---------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
S&P 500 Futures Contracts Expiring December 1997
(Underlying Face Amount at Market Value
$533,088,250) 1,117 $ 2,093,737
============
<CAPTION>
Market
Value
(Note 1)
---------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Call Options on:
S&P 500 Index Expiring October 1997 at 320 2,000 125,458,000
S&P 500 Index Expiring October 1997 at 420 3,000 158,280,000
S&P 500 Index Expiring October 1997 at 420 1,000 52,790,000
S&P 500 Index Expiring November 1997 at 420 2,000 105,652,000
------------
Total Call Options (Proceeds $407,212,925) $442,180,000
============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
RYDEX SERIES TRUST
URSA
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- --------------
<S> <C> <C>
OPTIONS PURCHASED 84.6%
Put Options on:
S&P 500 Futures Contract Expiring December 1997 at
1100 150 $ 10,912,500
--------------
Total Put Options (Cost $16,926,365) 10,912,500
--------------
Call Options on:
S&P 500 Index Expiring October 1997 at 300 2000 129,458,000
S&P 500 Index Expiring October 1997 at 400 3000 164,268,000
S&P 500 Index Expiring October 1997 at 400 5000 273,910,000
S&P 500 Index Expiring November 1997 at 400 4000 219,252,000
S&P 500 Index Expiring December 1997 at 400 6000 329,508,000
--------------
Total Call Options (Cost $1,049,948,000) 1,116,396,000
--------------
Total Options Purchased (Cost $1,066,874,365) 1,127,308,500
--------------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 14.9%
U.S. Treasury Bill 5.11% 11/13/97 $50,000,000 49,694,819
U.S. Treasury Bill 5.085% 11/20/97 50,000,000 49,646,875
U.S. Treasury Bill 4.93% 11/28/97 25,000,000 24,801,431
U.S. Treasury Bill 4.84% 12/04/97 25,000,000 24,784,889
U.S. Treasury Bill 4.95% 12/18/97 50,000,000 49,463,750
--------------
Total U.S. Treasury Obligations (Cost $198,391,764) 198,391,764
--------------
<CAPTION>
<S> <C> <C>
REPURCHASE AGREEMENTS .5%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations--
6.00% 10/01/97 (Note 3) 5,238,614 5,238,614
6.05% 10/01/97 (Note 3) 1,361,386 1,361,386
--------------
Total Repurchase Agreements (Cost $6,600,000) 6,600,000
--------------
Total Investments 100% (Cost $1,271,866,129) $1,332,300,264
==============
</TABLE>
See Notes to Financial Statements
5
<PAGE>
RYDEX SERIES TRUST
URSA
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized Loss
Contracts (Note 1)
--------- ---------------
<S> <C> <C>
FUTURES CONTRACTS SOLD
S&P 500 Futures Contract Expiring December 1997
(Underlying Face Amount at Market Value
$193,763,500) 406 $ (4,036,514)
==============
<CAPTION>
Market
Value
(Note 1)
---------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Call Options on:
S&P 500 Index Expiring October 1997 at 320 2,000 125,458,000
S&P 500 Index Expiring October 1997 at 420 3,000 158,280,000
S&P 500 Index Expiring October 1997 at 420 5,000 263,950,000
S&P 500 Index Expiring November 1997 at 420 4,000 211,304,000
S&P 500 Index Expiring December 1997 at 420 6,000 317,658,000
--------------
Total Call Options Written (Proceeds
$1,010,624,611) $1,076,650,000
==============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note 1)
----------- ------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 88.1%
Federal Home Loan Mortgage Corp. 5.95% 10/01/97 $ 5,000,000 $ 5,000,000
Federal Home Loan Mortgage Corp. 5.60% 10/02/97 25,000,000 24,996,111
Federal Home Loan Mortgage Corp. 5.46% 10/09/97 10,000,000 9,987,867
Federal Home Loan Mortgage Corp. 5.41% 10/10/97 10,000,000 9,986,475
Federal Home Loan Mortgage Corp. 5.46% 10/31/97 10,000,000 9,954,500
Federal National Mortgage Association 5.55% 10/01/97 25,000,000 25,000,000
Federal Farm Credit Administration 5.69% 10/01/97 10,000,000 10,000,000
Federal Farm Credit Administration 5.50% 11/03/97 20,000,000 20,000,000
Federal National Mortgage Association 5.62% 2/12/98 20,000,000 20,000,000
Federal National Mortgage Association 5.54% 3/12/98 10,000,000 10,000,000
Federal National Mortgage Association 5.37% 10/14/97 10,000,000 9,980,608
Federal Home Loan Mortgage Corp. 5.725% 9/08/98 10,000,000 9,994,144
Federal National Mortgage Association 5.79% 10/16/97 10,000,000 10,000,000
Student Loan Marketing Association 5.27% 2/19/98 10,000,000 10,000,000
------------
Total Federal Agency Discount Notes (Cost
$184,899,705) 184,899,705
------------
REPURCHASE AGREEMENTS 11.9%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations--
6.00% 10/01/97 (Note 3) 19,843,234 19,843,234
6.05% 10/01/97 (Note 3) 5,156,766 5,156,766
------------
Total Repurchase Agreements (Cost $25,000,000) 25,000,000
------------
Total Investments 100% (Cost $209,899,705) $209,899,705
============
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------- ------------
<S> <C> <C>
COMMON STOCKS 88.64%
Microsoft Corp.* 682,092 $ 90,249,298
Intel Corp. 932,280 86,061,097
Cisco Systems, Inc.* 378,370 27,644,658
Oracle Corp.* 563,606 20,536,394
Dell Computer Corp.* 191,643 18,565,416
Worldcom, Inc.* 505,219 17,872,122
3Com Corp.* 207,807 10,650,109
Applied Materials, Inc.* 105,340 10,033,635
Sun Microsystems, Inc.* 212,044 9,926,310
MCI Communications Corp. 311,446 9,148,726
Amgen, Inc.* 150,673 7,222,887
Tele-Communications, Inc.* 266,875 5,470,937
Tellabs, Inc.* 103,232 5,316,448
Costco Companies, Inc.* 120,398 4,529,975
HBO & Company 114,496 4,322,224
Comcast Corp. Special Class A 160,010 4,120,257
BMC Software, Inc.* 59,215 3,834,171
Peoplesoft, Inc.* 59,893 3,578,607
Nextel Communications, Inc.* 118,945 3,434,537
Ascend Communications, Inc.* 105,831 3,426,279
Oxford Health Plans, Inc.* 44,411 3,325,274
Parametric Technology Corp.* 71,958 3,175,147
KLA Instruments Corp.* 46,648 3,151,656
Adaptec, Inc.* 63,991 2,991,579
Compuware Corp.* 48,650 2,943,325
Linear Technology Corp. 42,622 2,930,263
Quantum Corp.* 75,347 2,886,732
Nordstrom, Inc. 43,192 2,753,490
Altera Corp.* 51,252 2,626,665
Maxim Integrated Products, Inc.* 36,073 2,576,965
Staples, Inc.* 91,636 2,531,445
Qualcomm, Inc.* 38,860 2,474,896
PACCAR, Inc. 43,716 2,448,096
ADC Telecommunications, Inc.* 74,727 2,428,627
Northwest Airlines Corp.* 55,150 2,295,619
Chiron Corp.* 98,282 2,223,630
Paychex, Inc. 62,176 2,168,388
Adobe Systems, Inc. 42,476 2,139,728
Xilinx, Inc.* 42,109 2,131,768
</TABLE>
* Non-Income Producing Securities
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------- ------------
<S> <C> <C>
Atmel Corp.* 55,970 $ 2,039,407
Cintas Corp. 27,307 2,013,891
Sigma Aldrich Corp. 57,869 1,906,060
Centocor, Inc.* 39,269 1,867,732
Starbucks Corp.* 44,478 1,859,736
Netscape Communications Corp.* 51,634 1,858,824
DSC Communications Corp.* 67,596 1,820,867
Novell, Inc.* 198,072 1,776,458
Apple Computer, Inc.* 71,467 1,549,941
Electronics for Imaging, Inc.* 29,901 1,524,951
American Power Conversion Corp.* 53,808 1,513,350
Biomet, Inc. 62,753 1,506,072
American Greetings Corp. 39,880 1,470,575
Tyson Foods, Inc. 62,698 1,469,484
US Office Products Company* 40,388 1,423,677
McAfee Associates, Inc.* 26,814 1,421,142
Biogen, Inc.* 42,525 1,379,405
General Nutrition Companies, Inc.* 45,943 1,338,090
Autodesk, Inc. 28,345 1,286,155
Genzyme Corp.* 43,111 1,282,552
Electronic Arts, Inc.* 31,045 1,199,113
Healthcare COMPARE Corp.* 18,736 1,196,762
Fastenal Company 21,148 1,126,131
Worthington Industries, Inc. 55,169 1,117,172
Cracker Barrel Old Country Store, Inc. 34,294 1,110,268
FORE Systems, Inc.* 54,312 1,069,267
Viking Office Products, Inc.* 46,562 1,012,724
Adtran, Inc.* 22,339 942,427
McCormick & Company, Inc. 36,254 872,362
Intuit, Inc.* 26,114 835,648
Sybase, Inc.* 44,566 802,188
Paging Network, Inc.* 56,284 714,103
Informix Corp.* 88,823 621,761
Glenayre Technologies, Inc.* 34,469 577,356
Cirrus Logic, Inc.* 36,913 535,238
Boston Chicken, Inc.* 36,285 535,204
------------
Total Common Stocks
(Cost $404,399,716) $442,723,473
------------
</TABLE>
8
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
OPTIONS PURCHASED 0.03%
Call Option on:
NASDAQ 100 Call Option Contract Expiring October
1997 at 1100
(Cost $217,678) 51 $ 126,225
------------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENTS 11.33%
Repurchase Agreements Collateralized by U.S.
Treasury Obligations--6.00 10/01/97 (Note 3) $44,925,083 44,925,083
6.05 10/01/97 (Note 3) 11,674,917 11,674,917
------------
Total Repurchase Agreements (Cost $56,600,000) 56,600,000
------------
Total Investments 100% (Cost $461,217,394) $499,449,698
============
- -----------------------------------------------------------------------------
<CAPTION>
Unrealized Loss
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
NASDAQ 100 Futures Contracts Expiring December
1997
(Underlying Face Amount at Market Value
$1,109,250) 10 $ (26,051)
============
<CAPTION>
Market
Value
(Note 1)
---------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Put Options On:
NASDAQ 100 Option Contract Expiring October 1997
at 1100
(Proceeds $123,118) 51 $ 130,050
============
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note1)
------- -----------
<S> <C> <C>
COMMON STOCKS 87.24%
Mining and Precious Metals Stocks
Barrick Gold Corp., Class A 586,473 $14,515,207
Newmont Mining Corp. 245,589 11,036,166
Placer Dome, Inc. 376,954 7,209,245
Homestake Mining Co. 230,328 3,526,897
Battle Mountain Gold Co., Class A 361,494 2,598,238
TVX Gold, Inc.* 255,182 1,594,887
Echo Bay Mines, Ltd. 218,926 1,245,142
Coeur D' Alene Mines. 34,700 566,044
Hecla Mining Co.* 81,944 496,786
ASA Limited 15,292 471,185
Getchell Gold Corp* 10,106 414,346
Pegasus Gold, Inc.* 64,818 364,601
Trizec Hahn Corp. 6,443 166,310
Agnico Eagle Mines, Ltd. 14,496 145,866
Engelhard Corp. 2,438 52,569
Freeport McMoran, Inc., Class A 1,887 52,010
Newmont Gold Corp. 1,100 50,737
Kinross Gold Corp.* 8,700 48,394
Amax Gold, Inc.* 6,324 41,897
Cambior, Inc. 2,908 32,715
Anglo American Gold Investment Co., Ltd. 3,470 19,519
-----------
Total Common Stocks (Cost $39,595,990) $44,648,761
-----------
</TABLE>
* Non-Income Producing Securities
See Notes to Financial Statements.
10
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.06%
Call Option on:
XAU Index Expiring October 1997 at 80 (Cost $14,608) 11 $ 32,313
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENTS 12.7%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations--
6.00 10/01/97 (Note 3) $5,159,241 5,159,241
6.05 10/01/97 (Note 3) 1,340,759 1,340,759
-----------
Total Repurchase Agreements (Cost $6,500,000) 6,500,000
-----------
Total Investments 100% (Cost $46,110,598) $51,181,074
===========
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note1)
----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 90.5%
U.S. Treasury Bond 6.375% due 08/15/2027 (Cost
$9,821,630) $10,062,000 $10,008,545
-----------
<CAPTION>
Contracts
-----------
<S> <C> <C>
OPTIONS PURCHASED 5.0%
Call Options On:
U.S. Treasury Bond Futures Contract Expiring December
1997 at 100 (Cost $493,411) 36 550,125
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENTS 4.5%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations--6.00% due 10/01/97 (Note 3) $ 396,865 396,865
6.05% due 10/01/97 (Note 3) 103,135 103,135
-----------
Total Repurchase Agreements (Cost $500,000) 500,000
-----------
Total Investments 100% (Cost $10,815,041) $11,058,670
===========
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
RYDEX SERIES TRUST
JUNO
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
OPTIONS PURCHASED 1.4%
Put options on:
U.S. Treasury Bond Futures Contracts Expiring
December 1997 at 128 (Cost $221,634) 15 $ 190,781
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 73.0%
U.S. Treasury Bill 4.50% 10/16//97 (Cost
$9,981,250) $10,000,000 9,981,250
-----------
REPURCHASE AGREEMENTS 25.6%
Repurchase Agreements Collateralized by U.S. Trea-
sury Obligations-- 6.00% 10/01/97 (Note 3) 2,778,053 2,778,053
6.05% 10/01/97 (Note 3) 721,947 721,947
-----------
Total Repurchase Agreements (Cost $3,500,000) 3,500,000
-----------
Total Investments 100% (Cost $13,702,884) $13,672,031
===========
- -------------------------------------------------------------------------------
<CAPTION>
Unrealized Loss
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
FUTURES CONTRACTS SOLD
U.S. Treasury Bond Futures Contract Expiring
December 1997
(Underlying Face Amount at Market Value
$13,372,625) 116 $ (191,008)
===========
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
RYDEX SERIES TRUST
HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note1)
-------- -----------
<S> <C> <C>
NON-CONVERTIBLE CORPORATE BONDS 95.5%
Supermercados Norte 10.875% due 02/09/2004* $550,000 $ 574,750
Calpine Corporation 8.75% due 07/15/2007* 550,000 572,000
Cleveland Electric Illuminating 9.50% due 5/15/2005 500,000 549,700
Rogers Cablesystems 10.0% due 3/15/2005 500,000 548,750
Sun World International 11.250% due 04/15/2004* 500,000 545,000
Rogers Cantel, Inc. 9.375% due 6/01/2008 500,000 535,000
McDermott, Inc 9.375% due 03/15/2002 500,000 533,995
American Builders 10.625% due 05/15/2007 500,000 526,250
Intercel, Inc. 11.125% due 06/01/2007* 500,000 521,250
Roller Bearing 9.625% due 06/15/2007* 500,000 521,250
Petro Stopping Centers 10.50% due 02/01/2007 492,000 517,830
Granite Broadcasting Corporation 10.375% 05/15/2005 500,000 517,500
Polymer Group, Inc. 9.00% due 07/01/2007* 500,000 517,500
Standard Commercial Tobacco 8.875% 08/01/2005* 500,000 517,500
Speedway Motorsports, Inc. 8.50% due 08/15/2007* 500,000 516,250
Krystal Company 10.250% due 10/01/2007* 500,000 513,750
Localiza Rent-A-Car 10.250% due 10/01/2005* 500,000 510,000
Canadian Forest 8.75% due 09/15/2007* 500,000 505,000
Lamar Advertising Co. 8.625% due 09/15/2007* 500,000 503,750
Pueblo Xtra International 9.50% due 08/01/2003 500,000 503,750
Rogers Communications, Inc. 8.875% due 07/15/2007 500,000 503,750
Fox / Liberty Networks, LLC 8.875% due 08/15/2007 500,000 503,125
Equimar Shipholdings, Ltd. 9.875% due 07/01/2007* 500,000 495,000
El Paso Electric 8.900% due 02/01/2006 450,000 487,976
Comcast Corporation 9.375% due 5/15/2005 450,000 485,438
Navistar Financial Corporation 9.000% due 06/01/2002 450,000 472,500
U.S. Air, Inc. 10.0% due 7/01/2003 450,000 470,250
Copene Petroleum 9.00% due 06/25/2007* 450,000 466,875
D. R. Horton 8.375% due 06/15/2004 450,000 465,750
Allbritton Communications, Inc. 9.75% due 11/30/2007 450,000 450,000
</TABLE>
* Issued Under Rule 144A.
See Notes to Financial Statements.
14
<PAGE>
RYDEX SERIES TRUST
HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note1)
-------- -----------
<S> <C> <C>
NON-CONVERTIBLE CORPORATE BONDS (CONTINUED)
Lear Corporation 9.50% due 07/15/2006 $400,000 $ 438,000
Petroleos Mexicanos 9.00% due 06/01/2007* 400,000 424,000
WR Carpenter N 10.625% 06/15/2007* 400,000 423,000
Cablevision Systems Corporation 9.25% due 11/01/2005 400,000 418,000
Red Roof Inns 9.625% due 12/15/2003 400,000 413,000
Sprint Spectrum 11.00% due 08/15/2006 350,000 392,000
Flores & Rucks 9.75% due 10/01/2006 360,000 384,300
Cliffs Drilling Company 10.25% due 5/15/2003 338,000 367,575
Hayes Wheels International 9.125% due 07/15/2007 350,000 360,500
Time Warner Inc 7.48 % due 01/15/2008 350,000 359,142
Westinghouse Electric 8.875% due 06/01/2001 340,000 358,948
Paging Network 8.875% due 2/01/2006 350,000 343,000
Lomak Petroleum, Inc. 8.75% due 01/15/2007 350,000 341,250
Premier Parks 12.00% due 08/15/2003 300,000 339,000
Adelphia Communications 11.875% due 09/15/2004 300,000 327,000
Cal Energy Co., Inc. 9.50% due 09/15/2006 300,000 323,736
Arvin Capital 9.50% due 02/01/2027 300,000 322,038
Transportacion Maritima Mex-Sp 10.0% due 11/15/2006 300,000 310,500
Hollinger International Publishing, Inc. 8.625% due
3/15/2005 300,000 309,000
Wilshire Financial Services 13.00% due 01/01/2004 300,000 306,750
Century Communications 8.875% due 1/15/2007 300,000 302,625
Energy Corporation 9.50% due 05/15/2007* 300,000 301,500
Forcenergy Inc 8.50% due 02/15/2007 300,000 299,250
Jones Intercable, Inc. 10.50% due 3/01/2008 250,000 273,750
Interpool Capital 9.875% due 02/15/2007 250,000 273,125
Grand Casinos, Inc. 10.125% due 12/01/2003 250,000 265,000
Resource America, Inc. 12.00% due 08/01/2004* 250,000 263,750
Anvil Knitwear, Inc. 10.875% due 03/15/2007* 250,000 260,000
Connecticut Light & Power 7.875% due 06/01/2001 250,000 254,268
Gulf Canada Resources, LTD. 9.25% due 1/15/2004 225,000 238,059
Grupo Televisa, S.A. 11.875% due 5/15/2006 200,000 232,000
</TABLE>
* Issued Under Rule 144A.
See Notes to Financial Statements.
15
<PAGE>
RYDEX SERIES TRUST
HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note1)
-------- -----------
<S> <C> <C>
NON-CONVERTIBLE CORPORATE BONDS (CONTINUED)
Motors and Gears, Inc. 10.75% due 11/15/2006 $210,000 $ 225,750
MDC Holdings 11.125% due 15/15/2003 200,000 219,000
Dimon Inc 8.875% due 06/01/2006 200,000 215,500
California Energy 9.875% due 06/30/2003 200,000 215,438
North Atlantic Trading 11.000% due 06/15/2004* 200,000 213,000
Safelite Glass 9.875% due 12/15/2006* 200,000 213,000
Apple South, Inc. 9.75% due 06/01/2006 200,000 210,000
Leiner Health Products 9.625% due 07/01/2007* 200,000 209,500
Chemical Leaman Corp. 10.375% due 06/15/2005* 200,000 209,500
Titan Wheel International, Inc. 8.75% due 4/01/2007 200,000 208,500
K Hovnanian Enterprises 11.25% due 4/15/2002 200,000 208,000
Newport News Shipbuilding 8.625% due 12/01/2006 200,000 208,000
DI Industries 8.75% due 07/01/2007 200,000 207,000
Atlas Air, Inc. 10.750% due 08/01/2005* 200,000 206,000
Wilshire Financial Services 13.0% due 8/15/2004* 200,000 204,000
Playtex Products, Inc. 8.875% due 07/15/2004 200,000 202,000
Trico Marine Services 8.50% due 08/01/2005* 200,000 202,000
Chelsea GCA Realty, Inc. 7.75% due 01/26/2001 185,000 190,324
Acme Metals, Inc. 12.50% due 8/1/2002 175,000 190,312
AK Steel Corporation 9.125% due 12/15/2006 180,000 189,450
Fleming Companies, Inc. 10.625% due 07/31/2007 150,000 156,000
AMC Entertainment, Inc. 9.50% due 03/15/2009 150,000 152,437
Specialty Retailers 8.50% due 07/15/2005* 145,000 148,987
NL Industries, Inc. 11.75% due 10/15/2003 125,000 137,187
Exide Corporation 10.0% due 4/15/2005 125,000 132,500
Ocwen Federal Savings Bank 12.00% due 06/15/2005 100,000 111,000
Noble Drilling Corporation 9.125% due 7/01/2006 100,000 110,178
AMF Bowling Worldwide 10.875% due 3/15/2006 100,000 109,000
Weirton Steel Corporation 10.75% due 6/01/2005 100,000 106,500
Century Communications 9.75% due 2/15/2002 100,000 105,500
TFM SA 10.25% due 06/15/2007* 100,000 105,250
</TABLE>
* Issued Under Rule 144A.
See Notes to Financial Statements.
16
<PAGE>
RYDEX SERIES TRUST
HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note1)
-------- -----------
<S> <C> <C>
NON-CONVERTIBLE CORPORATE BONDS (CONTINUED)
La Quinta Inns, Inc. 9.250% due 05/15/2003 $100,000 $ 104,750
Barrett Resources Corp. 7.55% due 02/01/2007 100,000 104,500
Northwest Airlines Corporation 8.70% due 3/15/2007 100,000 103,814
Falcon Building 9.50% due 06/15/2007 100,000 102,750
Jacor Communication 8.75% 06/15/2007* 100,000 102,000
360 Communications, Inc. 7.125% due 03/01/2003 100,000 101,333
Viacom Inc 7.75% due 06/01/2005 100,000 100,526
Lenfest Communications 8.375% due 11/01/2005 100,000 100,500
Coach USA Inc 9.375% due 07/01/2007* 100,000 100,250
Manor Care, Inc 9.500% due 11/15/2002 90,000 93,713
Fort Howard Corporation 8.25% due 2/01/2002 75,000 79,561
Falcon Drilling Company 8.875% due 3/15/2003 75,000 79,125
Digital Equipment Corporation 8.625% due 11/01/2012 75,000 78,415
Bell and Howell 9.250% due 07/15/2000 55,000 57,544
Vicap SA 11.375% due 05/15/2007* 50,000 55,500
Cablevision Systems Corporation 9.875% due 5/15/2006 50,000 54,000
Domtar, Inc. 9.50% due 8/01/2016 50,000 53,684
Pride Petroleum Services 9.375% due 05/01/2007 50,000 53,500
Bethlehem Steel 10.375% due 09/01/2003 50,000 53,250
Adelphia Communications 12.5% due 05/15/2002 50,000 53,062
Worldcom Inc 7.75% due 04/01/2007 50,000 52,417
TCI Communications, Inc. 8.00% due 08/01/2005 50,000 52,156
French Fragrances, Inc. 10.375% due 05/15/2007 50,000 52,000
Borg-Warner Security CP 9.625% due 3/15/2007 50,000 51,750
Pacalta Resources, LTD 10.750% due 06/15/2004 50,000 51,625
Bankunited Capital Trust 10.25% due 12/31/2026 50,000 51,500
CMS Energy 8.125% due 05/15/2002 50,000 51,247
YPF, SA Sociedad Anonima 8.0% due 2/15/2004 50,000 50,937
Chevy Chase Savings Bank 9.25% due 12/01/2008 50,000 50,500
Envirotest Systems Corp. 9.625% due 04/01/2003 50,000 46,250
-----------
Total Non-Convertible Corporate Bonds (Cost $32,568,383) $33,238,477
-----------
</TABLE>
* Issued Under Rule 144A.
See Notes to Financial Statements.
17
<PAGE>
RYDEX SERIES TRUST
HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (continued) (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note 1)
------- -----------
<S> <C> <C>
CONVERTIBLE BONDS .1%
Kent Electronics Corp. 4.50% due 09/01/2004
Total Convertible Bonds (Cost $50,000) $50,000 $ 51,500
-----------
REPURCHASE AGREEMENTS 1.4%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations
6.00% 10/01/97 (Note 3) 396,865 396,865
6.05% 10/01/97 (Note 3) 103,135 103,135
-----------
Total Repurchase Agreements (Cost $500,000) 500,000
-----------
<CAPTION>
Shares
-------
<S> <C> <C>
NON-CONVERTIBLE PREFERRED STOCK .5%
Crown American Reit Pref
Total Non-Convertible Preferred Stock (Cost $150,000) 3,000 160,500
-----------
COMMON STOCKS 2.5%
America Capital Strategies 15,000 300,000
Colonial Downs Holdings 10,000 68,750
Maximus, Inc 5,000 144,688
Ocwen Asset Investment Corp. 15,000 345,000
-----------
Total Common Stocks (Cost $728,750) 858,438
-----------
Total Investments 100% (Cost $33,997,133) $34,808,915
===========
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
-------------- -------------- ------------
<S> <C> <C> <C>
ASSETS
Securities at Value (Note 1)--See
Accompanying Schedules $1,189,329,109 $1,332,300,264 $209,899,705
Receivable for Futures Contracts
Settlement 0 1,409,970 0
Investment Income Receivable 23,808 1,102 875,762
Cash in Custodian Bank 1,572,903 1,500,475 9,023
Cash on Deposit with Broker 0 3,250,800 0
Receivable for Shares Purchased 30,404,989 8,115,878 33,073,937
Unamortized Organization Costs
(Note 1) 27,117 20,711 11,220
Other Assets 15,334 13,882 8,544
-------------- -------------- ------------
Total Assets 1,221,373,260 1,346,613,082 243,878,191
-------------- -------------- ------------
LIABILITIES
Payable for Securities Purchased 254,518 0 0
Payable for Futures Contracts
Settlement 3,938,041 0 0
Written Options at Market Value 442,180,000 1,076,650,000 0
Payable for Shares Redeemed 6,310,865 4,236,675 7,927,945
Dividends Payable 0 0 30,269
Investment Advisory Fee Payable 421,856 234,004 102,968
Transfer Agent Fee Payable 140,619 65,001 41,223
Other Liabilities 640,197 235,180 32,483
-------------- -------------- ------------
Total Liabilities 453,886,096 1,081,420,860 8,134,888
-------------- -------------- ------------
NET ASSETS $ 767,487,164 $ 265,192,222 $235,743,303
============== ============== ============
Shares Outstanding 31,305,520 46,624,032 235,675,823
============== ============== ============
Net Asset Value Per Share $24.52 $5.69 $1.00
====== ===== =====
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (Unaudited)
- --------------------------------------------------------------------------------
September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S.
Counter Metals Government High Yield
Fund Fund Bond Fund Juno Fund Fund
------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Securities at Value
(Note 1)--See
Accompanying Schedules $499,449,698 $51,181,074 $11,058,670 $13,672,031 $34,808,915
Receivable for
Securities Sold 34,997,775 596,748 187,529 0 2,206,607
Receivable for Futures
Contracts Settlement 0 0 0 38,462 0
Investment Income
Receivable 19,771 12,654 82,008 584 727,936
Cash in Custodian Bank 47,369 96,964 36,482 50,756 92,533
Cash on Deposit with
Broker 1,245,535 0 0 507,246 0
Receivable for Shares
Purchased 2,004,696 3,462,483 143,727 542,852 4,258
Unamortized
Organization Costs
(Note 1) 6,178 8,554 5,195 16,393 37,217
Other Assets 6,081 419 6,646 839 11,327
------------ ----------- ----------- ----------- -----------
Total Assets 537,777,103 55,358,896 11,520,257 14,829,163 37,888,793
------------ ----------- ----------- ----------- -----------
LIABILITIES
Payable for Securities
Purchased 39,973,740 5,641,910 0 0 500,000
Payable for Futures
Contracts Settlement 23,500 0 0 0 0
Written Options at
Market Value 130,050 0 0 0 0
Payable for Shares
Redeemed 47,023,128 5,080,120 146,688 23,319 2,698,482
Dividends Payable 0 0 0 0 56,950
Investment Advisory Fee
Payable 310,144 17,415 4,342 12,829 21,666
Transfer Agent Fee
Payable 83,881 4,644 1,738 3,564 6,581
Other Liabilities 537,515 28,647 10,915 16,276 0
------------ ----------- ----------- ----------- -----------
Total Liabilities 88,081,958 10,772,736 163,683 55,988 3,283,679
------------ ----------- ----------- ----------- -----------
NET ASSETS $449,695,145 $44,586,160 $11,356,574 $14,773,175 $34,605,114
============ =========== =========== =========== ===========
Shares Outstanding 18,085,279 5,601,581 1,208,742 1,634,410 3,401,436
============ =========== =========== =========== ===========
Net Asset Value Per
Share $24.86 $7.96 $9.40 $9.04 $10.17
====== ===== ===== ===== ======
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
Six Months Ended September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
------------ ------------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest $ 9,946,123 $ 7,268,050 $6,570,983
------------ ------------- ----------
EXPENSES
Advisory Fees (Note 4) 2,073,024 1,507,342 603,000
Transfer Agent Fees (Note 4) 691,008 418,706 241,236
Audit and Outside Services 20,270 17,144 11,482
Accounting Fees (Note 4) 58,558 43,044 35,617
Legal 61,855 48,857 33,329
Organizational Expenses 17,476 8,291 4,450
Registration Fees 72,765 75,010 70,942
Custodian Fees 26,652 26,586 4,252
Miscellaneous 751,272 315,780 86,919
------------ ------------- ----------
Total Expenses 3,772,880 2,460,760 1,091,227
Custodian Fees Paid Indirectly (Note
5) 23,958 23,840 771
------------ ------------- ----------
Net Expenses 3,748,922 2,436,920 1,090,456
------------ ------------- ----------
Net Investment Income 6,197,201 4,831,130 5,480,527
------------ ------------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities 91,906,134 233,500,946 0
Written Options (36,765,556) (235,967,047) 0
Futures Contracts 52,703,679 (52,337,775) 0
------------ ------------- ----------
Total Net Realized Gain (Loss) 107,844,257 (54,803,876) 0
Net Change in Unrealized Appreciation
(Depreciation)
On Investments, Options and Futures
Contracts 15,976,173 (38,309,658) 0
------------ ------------- ----------
Net Gain (Loss) on Investments 123,820,430 (93,113,534) 0
------------ ------------- ----------
Net Increase (Decrease) in Net Assets
from Operations $130,017,631 $ (88,282,404) $5,480,527
============ ============= ==========
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS (Unaudited)
- --------------------------------------------------------------------------------
Six Months Ended September 30, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S. High
Counter Metals Government Yield
Fund Fund Bond Fund Juno Fund Fund
----------- ----------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $ 1,145,537 $ 89,622 $ 333,937 $ 514,754 $1,467,803
Dividends 138,292 144,288 0 0 3,479
----------- ----------- ---------- ----------- ----------
Total Income 1,283,829 233,910 333,937 514,754 1,471,282
----------- ----------- ---------- ----------- ----------
EXPENSES
Distribution Fees 0 0 0 0 41,019
Advisory Fees (Note 2) 1,292,638 106,587 25,361 90,989 126,070
Transfer Agent Fees (Note
2) 344,703 28,423 10,144 25,275 34,422
Audit and Outside Services 12,685 2,841 1,748 2,024 2,412
Accounting Fees (Note 4) 40,173 11,398 8,333 9,703 13,016
Legal 35,060 3,486 1,256 3,012 3,854
Organizational Expenses 2,472 3,422 2,081 3,387 4,388
Registration Fees 32,260 11,088 5,983 7,196 5,606
Custodian Fees 85,559 15,794 4,352 3,241 12,722
Miscellaneous 570,601 44,836 9,583 21,084 2,437
----------- ----------- ---------- ----------- ----------
Total Expenses 2,416,151 227,875 68,841 165,911 245,946
Custodian Fees Paid
Indirectly (Note 5) 755 850 759 765 944
----------- ----------- ---------- ----------- ----------
Net Expenses 2,415,396 227,025 68,082 165,146 245,002
----------- ----------- ---------- ----------- ----------
Net Investment Income (1,131,567) 6,885 265,855 349,608 1,226,280
----------- ----------- ---------- ----------- ----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss)
on:
Investment Securities 30,714,775 (4,651,392) 491,664 (58,457) 151,057
Written Options 860,747 0 0 0 0
Futures Contracts 718 0 0 (994,526) 0
----------- ----------- ---------- ----------- ----------
Total Net Realized Gain
(Loss) 31,576,240 (4,651,392) 491,664 (1,052,983) 151,057
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments, Options
and Futures Contracts 31,292,516 5,345,309 300,984 (920,896) 1,053,382
----------- ----------- ---------- ----------- ----------
Net Gain (Loss) on
Investments 62,868,756 693,917 792,648 (1,973,879) 1,204,439
----------- ----------- ---------- ----------- ----------
Net Increase (Decrease) in
Net Assets from Operations $61,737,189 $ 700,802 $1,058,503 $(1,624,271) $2,430,719
=========== =========== ========== =========== ==========
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund Ursa Fund
--------------------------------- ---------------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
September 30, 1997 March 31, 1997 September 30, 1997 March 31, 1997
------------------ -------------- ------------------ --------------
Unaudited Unaudited
<S> <C> <C> <C> <C>
From Investment Activi-
ties
Net Investment Income $ 6,197,201 $ 6,526,771 $ 4,831,130 $ 7,372,787
Net Realized Gain
(Loss) on Investments 107,844,257 39,565,593 (54,803,876) (67,500,468)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments 15,976,173 (12,688,383) (38,309,658) 27,690,198
------------ ------------ ------------- ------------
Net Increase (Decrease)
in Net Assets from
Operations 130,017,631 33,403,981 (88,282,404) (32,437,483)
------------ ------------ ------------- ------------
Distributions to Share-
holders
From Net Investment
Income (Note 1) 0 0 0 (752,816)
From Realized Gain on
Investments 0 (6,012,731) 0 0
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) 455,539,836 (70,002,669) (228,812,885) 422,924,543
------------ ------------ ------------- ------------
Net Increase (Decrease)
in Net Assets 585,557,467 (42,611,419) (317,095,289) 389,734,244
------------ ------------ ------------- ------------
NET ASSETS--Beginning of
Period 181,929,697 224,541,116 582,287,511 192,553,268
------------ ------------ ------------- ------------
NET ASSETS--End of Pe-
riod $767,487,164 $181,929,697 $ 265,192,222 $582,287,512
============ ============ ============= ============
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the-Counter Fund Precious Metals Fund
--------------------------------- ---------------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
September 30, 1997 March 31, 1997 September 30, 1997 March 31, 1997
------------------ -------------- ------------------ --------------
Unaudited Unaudited
<S> <C> <C> <C> <C>
From Investment Activi-
ties
Net Investment Income
(Loss) $ (1,131,567) $ 85,633 $ 6,885 $ 0
Net Realized Gain
(Loss) on Investments 31,576,240 18,634,695 (4,651,392) (10,514,014)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments 31,292,516 (676,120) 5,345,309 2,142,579
------------ ------------ ----------- ------------
Net Increase (Decrease)
in Net Assets from
Operations 61,737,189 18,044,208 700,802 (8,371,435)
------------ ------------ ----------- ------------
Distributions to Share-
holders
From Net Investment
Income (Note 1) 0 (522,552) 0 0
From Realized Gain on
Investments 0 (57,883) 0 0
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) 335,679,758 (13,901,489) 20,205,219 (4,521,996)
------------ ------------ ----------- ------------
Net Increase (Decrease)
in Net Assets 397,416,947 3,562,284 20,906,021 (12,893,431)
------------ ------------ ----------- ------------
NET ASSETS--Beginning of
Period 52,278,198 48,715,914 23,680,139 36,573,570
------------ ------------ ----------- ------------
NET ASSETS--End of Pe-
riod $449,695,145 $ 52,278,198 $44,586,160 $ 23,680,139
============ ============ =========== ============
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government
Bond Fund Juno Fund
--------------------------------- ---------------------------------
Six Months Ended Period Ended Six Months Ended Period Ended
September 30, 1997 March 31, 1997 September 30, 1997 March 31, 1997
------------------ -------------- ------------------ --------------
Unaudited Unaudited
<S> <C> <C> <C> <C>
From Investment Activi-
ties
Net Investment Income $ 265,855 $ 362,342 $ 349,608 $ 510,807
Net Realized Gain
(Loss) on Investments 491,664 (152,481) (1,052,983) (1,193,075)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments 300,984 (254,243) (920,896) 1,086,638
----------- ------------ ------------ -----------
Net Increase (Decrease)
in Net Assets from
Operations 1,058,503 (44,382) (1,624,271) 404,370
----------- ------------ ------------ -----------
Distributions to Share-
holders
From Net Investment In-
come (Note 1) (265,855) (362,881) 0 (61,626)
From Realized Gain on
Investments 0 0 0 0
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) 7,262,274 (14,622,230) (16,179,819) 13,374,908
----------- ------------ ------------ -----------
Net Increase (Decrease)
in Net Assets 8,054,922 (15,029,493) (17,804,090) 13,717,652
----------- ------------ ------------ -----------
NET ASSETS--Beginning of
Period 3,301,652 18,331,145 32,577,265 18,859,613
----------- ------------ ------------ -----------
NET ASSETS--End of Pe-
riod $11,356,574 $ 3,301,652 $ 14,773,175 $32,577,265
=========== ============ ============ ===========
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government High Yield
Money Market Fund Fund
--------------------------------- ---------------------------------
Six Months ended Period ended Six Months ended Period ended
September 30, 1997 March 31, 1997 September 30, 1997 March 31, 1997
------------------ -------------- ------------------ --------------
Unaudited Unaudited
<S> <C> <C> <C> <C>
From Investment
Activities
Net Investment Income $ 5,480,527 $ 5,843,573 $ 1,226,280 $ 141,743
Net Realized Gain
(Loss) on Investments 0 0 151,057 (95,444)
Net Changes in
Unrealized
Appreciation
(Depreciation) of
Investments 0 0 1,053,382 (241,600)
------------ ------------ ----------- -----------
Net Increase (Decrease)
in Net Assets from
Operations 5,480,527 5,843,573 2,430,719 (195,301)
------------ ------------ ----------- -----------
Distributions to
Shareholders
From Net Investment
Income (Note 1) (5,423,091) (5,799,436) (1,219,772) (141,743)
From Realized Gain on
Investments (27,458) 0 (7,225) 0
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) (47,839,500) 129,584,142 22,883,721 10,854,715
------------ ------------ ----------- -----------
Net Increase (Decrease)
in Net Assets (47,809,522) 129,628,279 24,087,443 10,517,671
------------ ------------ ----------- -----------
NET ASSETS--Beginning of
Period 283,552,825 153,924,547 10,517,671 0
------------ ------------ ----------- -----------
NET ASSETS--End of
Period $235,743,303 $283,552,826 $34,605,114 $10,517,671
============ ============ =========== ===========
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund
-----------------------------------------------------
Six Months Period Year Year Period
Ended Ended Ended Ended Ended
September 30, March 31, June 30, June 30, June 30,
1997 1997 1996 1995 1994 *
------------- --------- -------- -------- --------
Unaudited
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--
BEGINNING OF PERIOD $ 17.89 $ 15.68 $ 11.81 $ 9.77 $ 10.01
-------- -------- -------- -------- --------
Net Investment Income .26 .35 .56 .28 .01
Net Realized and
Unrealized Gains
(Losses) on Securities 6.38 2.19 3.31 2.88 (.25)
-------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations 6.64 2.54 3.87 3.16 (.24)
Dividends to
Shareholders from Net
Investment Income .00 .00 .00 (.29) .00
Distributions to
Shareholders from Net
Realized Capital Gain .00 (.33) .00 (.83) .00
-------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Asset Value 6.63 2.21 3.87 2.04 (.24)
-------- -------- -------- -------- --------
NET ASSET VALUE--END OF
PERIOD $ 24.52 $ 17.89 $ 15.68 $ 11.81 $ 9.77
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN 74.12%** 20.92%** 32.77% 32.65% (2.47)%
RATIOS TO AVERAGE NET
ASSETS
Gross Expenses 1.37%** 1.19%** -- -- --
Net Expenses 1.36%** 1.16%** 1.31% 1.43% 1.73%**
Net Investment Income 2.24%** 2.69%** 3.14% 2.62% 1.05%**
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 0% 0% 0% 0% 0%
Net Assets, End of
Period (000's omitted) $767,487 $181,930 $224,541 $ 62,916 $ 77,914
</TABLE>
+ The per share data of the Financial Highlights table is calculated using
the average daily shares outstanding for the year.
* Commencement of Operations: July 12, 1993--Nova Fund
** 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
------------------------------------------------------
Six Months Period Year Year Period
Ended Ended Ended Ended Ended
September 30, March 31, June 30, June 30, June 30,
1997 1997 1996 1995 1994 *
------------- --------- -------- -------- --------
Unaudited
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:+
NET ASSET VALUE--
BEGINNING OF PERIOD $ 7.02 $ 7.55 $ 8.79 $ 10.54 $ 10.00
-------- -------- -------- -------- --------
Net Investment Income .09 .17 .30 .35 .01
Net Realized and
Unrealized Gains
(Losses) on Securities (1.42) (.68) (1.54) (1.78) .53
-------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations (1.33) (.51) (1.24) (1.43) .54
Dividends to
Shareholders from Net
Investment Income .00 (.02) .00 (.32) .00
-------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Asset Value (1.33) (.53) (1.24) (1.75) .54
-------- -------- -------- -------- --------
NET ASSET VALUE--END OF
PERIOD $ 5.69 $ 7.02 $ 7.55 $ 8.79 $ 10.54
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN (37.89)%** (8.98)%** (14.11)% (14.08)% 10.89%
RATIOS TO AVERAGE NET
ASSETS
Gross Expenses 1.47%** 1.36%** -- -- --
Net Expenses 1.46%** 1.34%** 1.39% 1.39% 1.67%**
Net Investment Income 2.89%** 3.21%** 3.38% 3.50% 1.43%**
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 0% 0% 0% 0% 0%
Net Assets, End of
Period
(000's omitted) $265,192 $582,288 $192,553 $127,629 $110,899
</TABLE>
+ The per share data of the Financial Highlights table is calculated using
the daily average shares outstanding for the year.
* Commencement of Operations: January 7, 1994--Ursa Fund
** 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>
U.S. Government Money Market Fund
------------------------------------------------------
Six Months Period Year Year Period
Ended Ended Ended Ended Ended
September 30, March 31, June 30, June 30, June 30,
1997 1997 1996 1995 1994 *
------------- --------- -------- -------- --------
Unaudited
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--
BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------
Net Investment Income .02 .03 .04 .04 .01
-------- -------- -------- -------- -------
Net Increase in Net
Asset Value Resulting
from Operations .02 .03 .04 .04 .01
Dividends to
Shareholders from Net
Investment Income (.02) (.03) (.04) (.04) (.01)
-------- -------- -------- -------- -------
Net Increase in Net
Asset Value .00 .00 .00 .00 .00
-------- -------- -------- -------- -------
NET ASSET VALUE--END OF
PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== =======
TOTAL INVESTMENT RETURN 4.65%** 4.39%** 4.60% 4.43% 2.47%
RATIOS TO AVERAGE NET
ASSETS
Gross Expenses 0.87%** 0.86%** -- -- --
Net Expenses 0.87%** 0.86%** 0.99% 0.89% 1.16%**
Net Investment Income 4.37%** 4.06%** 4.18% 4.23% 2.34%**
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 0% 0% 0% 0% 0%
Net Assets, End of
Period (000's omitted) $235,743 $283,553 $153,925 $284,198 $88,107
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
average daily shares outstanding for the year.
* Commencement of Operations: December 3, 1993--U.S. Government Money Market
Fund
** Annualized
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year.
See Notes to Financial Statements.
29
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the-Counter Fund
-------------------------------------------------------
Six Months Period Year Year Period
Ended Ended Ended Ended Ended
September 30, March 31, June 30, June 30, June 30,
1997 1997 1996 1995 1994*
------------- --------- -------- -------- --------
Unaudited
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--
BEGINNING OF PERIOD $ 17.93 $ 15.16 $ 12.22 $ 8.76 $ 10.00
-------- -------- -------- -------- --------
Net Investment Income
(Loss) (.08) .01 .06 .14 .01
Net Realized and
Unrealized Gains
(Losses) on Securities 7.01 2.84 3.24 4.17 (1.25)
-------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations 6.93 2.85 3.30 4.31 (1.24)
Dividends to
Shareholders from Net
Investment Income .00 (.07) .00 (.12) .00
Distributions to
Shareholders from Net
Realized Capital Gain .00 (.01) (.36) (.73) .00
-------- -------- -------- -------- --------
Net Increase (Decrease)
in Net Asset Value 6.93 2.77 2.94 3.46 (1.24)
-------- -------- -------- -------- --------
NET ASSET VALUE--END OF
PERIOD $ 24.86 $ 17.93 $ 15.16 $ 12.22 $ 8.76
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN 77.30%** 24.77%** 26.44% 49.00% (30.17%)
RATIOS TO AVERAGE NET
ASSETS
Gross Expenses 1.40%** 1.27%** -- -- --
Net Expenses 1.40%** 1.27%** 1.33% 1.41% 1.97%**
Net Investment Income (0.66%)** 0.08%** 0.44% 1.34% 1.69%**
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 402.68% 1140.35% 2578.56% 2241.00% 1171.00%
Net Assets, End of
Period (000's omitted) $449,695 $ 52,278 $ 48,716 $ 61,948 $ 30,695
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
average daily shares outstanding for the year.
* Commencement of Operations: February 14, 1994--Over-the-Counter Fund.
** Annualized.
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year.
See Notes to Financial Statements.
30
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Precious Metals Fund
--------------------------------------------------------
Six Months Period Year Year Period
Ended Ended Ended Ended Ended
September 30, March 31, June 30, June 30, June 30,
1997 1997 1996 1995 1994*
------------- --------- --------- --------- ---------
Unaudited
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--
BEGINNING OF PERIOD $ 7.64 $ 9.05 $ 8.73 $ 8.29 $ 10.00
-------- -------- --------- --------- ---------
Net Investment Income .00 .00 .00 .10 .01
Net Realized and
Unrealized Gains
(Losses) on Securities .32 (1.41) .32 .43 (1.72)
-------- -------- --------- --------- ---------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations .32 (1.41) .32 .53 (1.71)
Dividends to
Shareholders from Net
Investment Income .00 .00 .00 (.09) .00
-------- -------- --------- --------- ---------
Net Increase (Decrease)
in Net Asset Value .32 (1.41) .32 .44 (1.71)
-------- -------- --------- --------- ---------
NET ASSET VALUE--END OF
PERIOD $ 7.96 $ 7.64 $ 9.05 $ 8.73 $ 8.29
======== ======== ========= ========= =========
TOTAL INVESTMENT RETURN 8.38%** (20.77)%** 3.67% 6.21% (29.27)%
RATIOS TO AVERAGE NET
ASSETS
Gross Expenses 1.65%** 1.49%** -- -- --
Net Expenses 1.64%** 1.45%** 1.33% 1.38% 2.06%**
Net Investment Income 0.05%** 0.00%** (0.01)% 1.15% 1.23%**
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 339.27% 743.33% 1,036.37% 1,765.00% 2,728.00%
Average Commision Rate
Paid**** 0.0144 0.0101 0.0151 -- --
Net Assets, End of
Period (000's omitted) $ 44,586 $ 23,680 $ 36,574 $ 40,861 $ 1,526
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
average daily shares outstanding for the year.
* Commencement of Operations: December 1, 1993--Precious Metals Fund.
** Annualized.
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year.
**** 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
----------------------------------------------------------
Six Months Period Year Year Period
Ended Ended Ended Ended Ended
September 30, March 31, June 30, June 30, June 30,
1997 1997 1996 1995 1994 *
------------- --------- -------- ---------- ----------
Unaudited
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:+
NET ASSET VALUE--
BEGINNING OF PERIOD $ 8.52 $ 8.97 $ 9.55 $ 8.24 $ 10.00
-------- -------- -------- ---------- ----------
Net Investment Income
(Loss) .23 .34 .46 .39 .02
Net Realized and
Unrealized Gains
(Losses) on Securities .88 (.45) (.45) 1.17 (1.76)
-------- -------- -------- ---------- ----------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations 1.11 (.11) .01 1.56 (1.74)
Dividends to
Shareholders from Net
Investment Income (.23) (.34) (.46) (.25) (.02)
Distributions to
Shareholders from Net
Realized Capital Gain .00 .00 (.13) .00 .00
-------- -------- -------- ---------- ----------
Net Increase (Decrease)
in Net Asset Value .88 (.45) (.58) 1.31 (1.76)
-------- -------- -------- ---------- ----------
NET ASSET VALUE--END OF
PERIOD $ 9.40 $ 8.52 $ 8.97 $ 9.55 $ 8.24
======== ======== ======== ========== ==========
TOTAL INVESTMENT RETURN 26.72%** (0.46)%** (1.48)% 18.97% (32.63)%
RATIOS TO AVERAGE NET
ASSETS
Gross Expenses 1.32%** 1.51%** -- -- --
Net Expenses 1.30%** 1.49%** 1.26% 2.26% 3.05%**
Net Investment Income 5.09%** 5.06%** 4.73% 4.64% 3.39%**
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 570.38% 962.17% 780.30% 3,452.59% 1,290.00%
Net Assets, End of
Period (000's omitted) $ 11,357 $ 3,302 $ 18,331 $ 2,592 $ 1,564
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
average daily shares outstanding for the year.
* Commencement of Operations: January 3, 1994--U.S.Government Bond Fund.
** Annualized.
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year.
See Notes to Financial Statements.
32
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Juno Fund
------------------------------------------
Six Months Period Year Period
Ended Ended Ended Ended
September 30, March 31, June 30, June 30,
1997 1997 1996 1995 *
------------- --------- -------- --------
Unaudited
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF
PERIOD $ 9.69 $ 9.47 $ 9.08 $ 10.00
--------- ------- ------- --------
Net Investment Income .16 .25 .34 .14
Net Realized and Unrealized Gains
(Losses) on Securities (.81) .00 .05 (1.06)
--------- ------- ------- --------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations (.65) .25 .39 (.92)
Dividends to Shareholders from
Net Investment Income .00 (.03) .00 .00
--------- ------- ------- --------
Net Increase (Decrease) in Net
Asset Value (.65) .22 .39 (.92)
--------- ------- ------- --------
NET ASSET VALUE--END OF PERIOD $ 9.04 $ 9.69 $ 9.47 $ 9.08
========= ======= ======= ========
TOTAL INVESTMENT RETURN (13.42)%** 3.75%** 4.30% (9.20)%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses 1.65%** 1.60%** -- --
Net Expenses 1.64%** 1.58%** 1.64% 1.50%**
Net Investment Income 3.47%** 3.51%** 3.63% 1.32%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0.00% 0.00% 0.00% 0.00%
Net Assets, End of Period (000's
omitted) $ 14,773 $32,577 $18,860 $ 4,301
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
average daily shares outstanding for the year.
* Commencement of Operations: March 3, 1995--Juno Fund.
** 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
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HighYield Fund
-----------------------
Six Months Period
Ended Ended
September 30, March 31,
1997 1997*
------------- ---------
Unaudited
<S> <C> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD $ 9.81 $ 10.00
-------- --------
Net Investment Income .37 .19
Net Realized and Unrealized Gain (Loss) on
Securities .36 (.36)
-------- --------
Net Increase (Decrease) in Net Asset Value Resulting
from Operations .73 (.17)
Dividends to Shareholders from Net Investment Income (.37) (.02)
-------- --------
Net Increase (Decrease) in Net Asset Value .36 (.19)
-------- --------
NET ASSET VALUE--END OF PERIOD $ 10.17 $ 9.81
======== ========
TOTAL INVESTMENT RETURN 14.86%** (0.12%)**
RATIOS TO AVERAGE NET ASSETS
Gross Expenses 1.49%** 1.88%**
Net Expenses 1.48%** 0.99%**
Net Investment Income 7.42%** 8.57%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 462.97% 763.11%
Net Assets, End of Period (000's omitted) $ 34,720 $ 10,518
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
average daily shares outstanding for the year.
* Commencement of Operations: January 3, 1997--High Yield Fund.
** Annualized.
*** Portfolio turnover ratio is calculated without regard to short-term
securities having a maturity of less than one year.
See Notes to Financial Statements.
34
<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 nine 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, the Juno Fund, the Institutional Money Market Fund and the High Yield
Fund. The financial statements include eight of the separate series. The
Institutional Money Market Fund is in a separate report. The accompanying
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. Securities 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, the U.S. Government Bond Fund, and the High
Yield 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.
35
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 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.
36
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. OPERATING POLICIES
The Trust, which includes nine separate funds, utilizes futures contracts,
options, and options on futures contracts in order to meet the specific
investment objectives of the individual funds.
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 to 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 primarily long-term Treasury Bonds. It
also 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 correlates to 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. The High
Yield Fund, which correlates to the MLHY Index does so by investing primarily
in long-term, intermediate-term, and short-term, below investment grade,
corporate bonds. In addition the Nova Fund, the Ursa Fund, the OTC Fund, and
the Precious Metals Fund all 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.
37
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 U.S. Treasury obligations. As of September 30, 1997 the
repurchase agreements with Fuji Securities, Inc., PaineWebber, Inc., Smith
Barney, and Prudential 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>
United States Treasury Bills.......... 6.05% $ 50,000,000 $ 50,000,000
United States Treasury Notes.......... 5.875% $ 49,755,000 $ 51,036,293
United States Treasury Bonds.......... 7.25%-8.25% $129,856,000 $146,388,097
</TABLE>
4. INVESTMENT ADVISORY, ACCOUNTING, 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 average daily 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 average daily net assets of the Nova Fund, the
Precious Metals Fund, the Over-the-Counter Fund, and the High Yield Fund; and
nine-tenths of one percent (0.90%) of the average daily 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 average daily net assets of the U.S. Government Money
Market Fund, U.S. Government Bond Fund, Precious Metals Fund, Over-the-Counter
Fund, and the High Yield Fund; and at 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 Service Company, Inc. $219,842 in accounting fees for the
above eight funds for the six month period ended September 30, 1997.
5. ACCOUNTING FOR EXPENSES
The Trust has entered into an arrangement with its custodian whereby interest
earned on uninvested cash balances was used to offset a portion of the Trust's
expenses.
38
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. SECURITIES TRANSACTIONS
During the six months ended September 30, 1997 purchases and sales of
investment securities were: (Unaudited)
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno High Yield
Fund Fund Fund Fund Fund Fund Fund Fund
---- ---- ---------- -------------- ------------ ----------- ---- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Purchases $0 $0 $0 $1,543,180,045 $119,072,773 $57,831,670 $0 $160,925,291
Sales $0 $0 $0 $1,208,229,905 $ 98,653,739 $51,415,602 $0 $138,860,432
</TABLE>
The transactions shown above exclude short-term and temporary cash investments.
7. NET UNREALIZED APPRECIATION/DEPRECIATION OF SECURITIES
At September 30, 1997 unrealized appreciation (depreciation) and cost of
investment securities for Federal income tax purposes was: (Unaudited)
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government High
Nova Ursa Market Counter Metals Bond Juno Yield
Fund Fund Fund Fund Fund Fund Fund Fund
-------------- -------------- ------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Gross Unrealized
Appreciation $ 41,206,979 $ 60,434,135 $ 0 $ 38,323,757 $ 5,070,476 $ 243,629 $ 0 $ 811,782
Gross Unrealized
(Depreciation) (34,967,075) (70,061,903) 0 (124,436) 0 0 (221,861) 0
-------------- -------------- ------------ ------------ ----------- ----------- ----------- -----------
Net Unrealized
Appreciation/
(Depreciation) $ 6,239,904 $ (9,627,768) $ 0 $ 38,199,321 $ 5,070,476 $ 243,629 $ (221,861) $ 811,782
============== ============== ============ ============ =========== =========== =========== ===========
Cost of
Investments for
Federal Income
Tax Purposes $1,150,215,867 $1,271,866,129 $209,899,705 $461,217,394 $46,110,598 $10,815,042 $13,702,884 $33,997,132
</TABLE>
39
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. SHARE TRANSACTIONS
Transactions in dollars for the six months ended September 30, 1997 were:
(Unaudited)
<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 $3,260,294,593 $1,588,448,080 $2,819,097,983 $2,309,820,628 $210,899,766 $79,225,806 $106,182,020
Purchased
through
Dividend
Reinvestment -- -- 5,410,162 -- -- 399,737 --
-------------- -------------- -------------- -------------- ------------ ----------- ------------
Total Purchased 3,260,294,593 1,588,448,080 2,824,508,145 2,309,820,628 210,899,766 79,625,543 106,182,021
Shares Redeemed (2,804,754,757) (1,817,260,965) (2,872,347,645) (1,974,140,870) (190,694,547) (72,363,269) (122,361,840)
-------------- -------------- -------------- -------------- ------------ ----------- ------------
Net Shares
Purchased/
(Redeemed) $ 455,539,836 $ (228,812,885) $ (47,839,500) $ 335,679,758 $ 20,205,219 $ 7,262,274 $(16,179,819)
============== ============== ============== ============== ============ =========== ============
<CAPTION>
High
Yield
Fund
-------------
<S> <C>
Shares Purchased $124,234,944
Purchased
through
Dividend
Reinvestment 861,214
-------------
Total Purchased 125,096,158
Shares Redeemed (102,212,437)
-------------
Net Shares
Purchased/
(Redeemed) $ 22,883,721
=============
</TABLE>
Transactions in shares for the six months ended September 30, 1997 were:
(Unaudited)
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government High
Nova Ursa Market Counter Metals Bond Juno Yield
Fund Fund Fund Fund Fund Fund Fund Fund
------------ ------------ -------------- ----------- ----------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased 147,709,191 253,706,426 2,819,060,027 102,663,678 28,829,366 8,832,850 11,316,392 12,454,980
Dividend
Reinvestment 0 0 5,410,162 0 0 44,556 0 85,861
------------ ------------ -------------- ----------- ----------- ---------- ----------- -----------
Total Purchased 147,709,191 253,706,426 2,824,470,189 102,663,678 28,829,366 8,877,406 11,316,392 12,540,841
Shares Redeemed (126,572,212) (290,043,608) (2,872,347,645) (87,494,774) (26,326,875) (8,056,000) (13,044,321) (10,211,192)
------------ ------------ -------------- ----------- ----------- ---------- ----------- -----------
Net Shares
Purchased/(Redeemed) 21,136,979 (36,337,182) (47,877,456) 15,168,904 2,502,491 821,406 (1,727,929) 2,329,649
============ ============ ============== =========== =========== ========== =========== ===========
</TABLE>
Transactions in dollars for the period ended March 31, 1997 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 $3,521,884,322 $2,638,202,998 $ 3,329,457,087 $2,553,497,726 $413,202,942 $134,338,078 $140,757,025
Purchased
through
Dividend
Reinvestment 5,375,055 626,105 5,730,900 507,026 0 373,468 49,308
-------------- -------------- --------------- -------------- ------------ ------------ ------------
Total Purchased 3,527,259,377 2,638,829,103 3,335,187,987 2,554,004,752 413,202,942 134,711,546 140,806,333
Shares Redeemed (3,597,262,046) (2,215,904,560) (3,205,603,845) (2,567,906,241) (417,724,938) (149,333,776) (127,431,425)
-------------- -------------- --------------- -------------- ------------ ------------ ------------
Net Shares
Purchased/
(Redeemed) $ (70,002,669) $ 422,924,543 $ 129,584,142 $ (13,901,489) $ (4,521,996) $(14,622,230) $ 13,374,908
============== ============== =============== ============== ============ ============ ============
<CAPTION>
High
Yield
Fund
------------
<S> <C>
Shares Purchased $33,888,522
Purchased
through
Dividend
Reinvestment 126,588
------------
Total Purchased 34,015,110
Shares Redeemed (23,160,395)
------------
Net Shares
Purchased/
(Redeemed) $10,854,715
============
</TABLE>
40
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Transactions in shares for the period ended March 31, 1997 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 203,150,294 367,144,528 3,329,494,638 142,745,580 47,008,940 14,919,523 14,955,089
Dividend
Reinvestment 300,618 90,217 5,678,838 27,056 0 40,733 5,497
------------ ------------ -------------- ------------ ----------- ----------- -----------
Total Purchased 203,450,912 367,234,745 3,335,173,476 142,772,636 47,008,940 14,960,256 14,960,586
Shares Redeemed (207,604,225) (309,781,363) (3,205,603,845) (143,069,637) (47,949,316) (16,615,981) (13,589,740)
------------ ------------ -------------- ------------ ----------- ----------- -----------
Net Shares
Purchased/(Redeemed) (4,153,313) 57,453,382 129,569,631 (297,001) (940,376) (1,655,725) 1,370,846
============ ============ ============== ============ =========== =========== ===========
<CAPTION>
High
Yield
Fund
-----------
<S> <C>
Shares Purchased 3,374,658
Dividend
Reinvestment 12,716
-----------
Total Purchased 3,387,374
Shares Redeemed (2,315,587)
-----------
Net Shares
Purchased/(Redeemed) 1,071,787
===========
</TABLE>
9. OPTION CONTRACTS WRITTEN
During the six months ended September 30, 1997 the Trust wrote the following
contracts: (Unaudited)
Call Options Written:
<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 4,000 $ 184,676,444 20,000 $ 897,128,294
Options Written 8,000 407,212,925 29,000 1,479,842,270
Options Terminated (4,000) (184,676,444) (29,000) (1,366,345,953)
------ ------------- ------- ---------------
Outstanding at End of
Period 8,000 $ 407,212,925 20,000 $ 1,010,624,611
====== ============= ======= ===============
Put Options Written:
<CAPTION>
Over-the-Counter Fund
-------------------------
Number of Initial
Contracts Premiums
--------- ---------------
<S> <C> <C> <C> <C>
Outstanding at Beginning of Period 31 $ 203,450
Options Written 1,169 1,672,850
Options Terminated (1,149) (1,753,182)
------- ---------------
Outstanding at End of Period 51 $ 123,118
======= ===============
</TABLE>
41
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
10. NET ASSETS
At September 30, 1997, net assets consisted of: (Unaudited)
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government Juno High Yield
Nova Fund Ursa Fund Market Fund Counter Fund Metals Fund Bond Fund Fund Fund
------------ ------------ ------------ ------------ ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Paid-In-Capital $634,968,804 $467,893,831 $235,676,023 $402,943,022 $ 63,771,836 $11,381,273 $20,282,149 $33,738,436
Undistributed Net
Investment
Income 6,197,201 5,870,415 94,738 (616,899) 6,885 16,220 450,583 6,508
Distribution in
Excess of
Realized Gains* (2,035)
Accumulated Net
Realized Gain
(Loss) on
Investments 120,081,255 (198,944,256) (27,458) 9,169,701 (24,261,002) (284,548) (5,737,696) 48,388
Net Unrealized
Appreciation
(Depreciation)
on Investments,
Options and
Futures
Contracts 6,239,904 (9,627,768) 0 38,199,321 5,070,476 243,629 (221,861) 811,782
------------ ------------ ------------ ------------ ------------ ----------- ----------- -----------
Net Assets $767,487,164 $265,192,222 $235,743,303 $449,695,145 $ 44,586,160 $11,356,574 $14,773,175 $34,605,114
============ ============ ============ ============ ============ =========== =========== ===========
</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.
11. LOSS CARRYFORWARD--FEDERAL INCOME TAX
At September 30, 1997, for Federal income tax purposes, the following funds
have 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>
U.S.
Expires Precious Government High
March Ursa Metals Bond Juno Yield
31 Fund Fund Fund Fund Fund
- ------- ----------- ---------- ---------- ---------- ------
<S> <C> <C> <C> <C> <C>
2003 $ 6,618,786 $ 0 $ 0 $ 0 $ 0
2004 43,168,709 4,249,968 0 3,643,317 0
2005 50,012,823 709,440 539,594 106,438 63,461
</TABLE>
42
<PAGE>
[LOGO OF RYDEX APPEARS HERE]
A family of mutual funds
designed exclusively for
professional money managers
Nova Fund
Juno Fund
Ursa Fund
OTC Fund
High Yield 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
SEPTEMBER 30, 1997
Nova Fund
Juno Fund
Ursa Fund
OTC Fund
High Yield Fund
Precious Metals Fund
U.S. Government Bond Fund
U.S. Government Money Market
