<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
RYDEX SERIES TRUST
SEMI-ANNUAL REPORT
December 31, 1996
6116 Executive Boulevard, Suite 400
Rockville, MD 20852
[LOGO OF RYDEX APPEARS HERE]
(301) 468-8520 (800) 820-0888
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Dear Shareholders:
Volatility was the theme for 1996 as the U.S. financial markets charted their
way into record territory. The end result saw the Dow Jones Industrial Average
and most of the other stock market indexes close near their all time highs.
However, the move was not always for the faint of heart. Economic data stalled
and fueled the rally throughout the year as investors, who endured the market
fluctuations, were rewarded with the upward trend.
The first economic news to rile the markets came on March 8, when the Labor
Department announced that 705,000 new jobs were created in February. This was
the largest monthly increase in newly created jobs in 13 years. This news
developed fears that the economy was picking up too much momentum and that
inflation was impending. As a result, the bulls went scrambling to the
sidelines and the Dow Jones Industrial Average declined by 171.24 points, a
drop of 3.04%, the largest for any trading day since 1991. The S&P 500 and the
NASDAQ 100 followed suit dropping 3.08% and 2.93%, respectively. By May, all
three indexes rallied back to their all time highs.
During the second quarter, economic data was once again dominated by strong
Labor Department statistics causing more fears that the economy was gaining
momentum. This ignited another stock market sell off and by July the indexes
were trading significantly below the highs they had reached in May. The 30-year
Treasury Bond was in a trading range of 7.0% to 7.2% for the first time since
April of 1995.
In the third and fourth quarter, euphoria returned to the market and the
bulls came charging back. Economic data revealed moderate growth, low inflation
and a strong dollar with a recession nowhere in sight. The Government reported
that the federal budget deficit for the fiscal year ending September 1996 was
the lowest since 1981, and the U.S. jobless rate was half that of
industrialized Europe.
The financial markets felt confident and secure until December 5, when Alan
Greenspan sent the stock market into a tailspin by stating that the Federal
Reserve would act if "irrational exuberance" overcame investors in the U.S.
markets. Stock and bond investors worldwide
<PAGE>
interpreted his comments to mean that the U.S. Central Bank was about to raise
rates to ward off over speculation. Bond yields rose, and the Dow fell 150
points the following day before staging another brief rally.
This type of market activity provides great opportunities for investors in
the Rydex Funds. The flexibility of the Rydex Funds offers our shareholders a
way to allocate assets in a practical and dynamic manner.
The Rydex Funds performed as they are designed in 1996. The most outstanding
performer was the OTC Fund which tracks the NASDAQ 100. Its total return for
1996 was 43.46% versus the index that had a total return of 42.54% . Another
highlight for 1996 was the Nova Fund which attempts to provide 150% exposure to
the S&P 500. The total return of Nova for the year was 27.29% versus the index
return of 20.26%. The Precious Metals Fund posted a total return of -2.62%
versus the XAU index return of -3.05%. The US Government Bond Fund, following a
weak 30-year Treasury Bond, ended the year with a total return of -7.09%. The
Ursa Fund which is designed to move inversely with the S&P 500 had a negative
total return of -12.17%. The Rydex Juno fund is designed to move inversely with
the current 30-year Treasury Bond and it returned 8.00% for the year.
The Rydex Funds are committed to providing flexible investment vehicles and
professional management to our shareholders. Your commitment to our fund family
is exhibited by our enormous asset growth. We will continue to explore new
opportunities and develop unique portfolios to assist you in managing your
assets and we look forward to another successful year in 1997.
Sincerely,
/s/ Albert P. Viragh
Albert P. (Skip) Viragh
Chairman of the Board
2
<PAGE>
RYDEX SERIES TRUST
NOVA
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
------------ ------------
<S> <C> <C>
OPTIONS PURCHASED 38.7%
Call Options on:
S&P 500 Futures Contracts Expiring February 1997 at
690 400 $ 11,950,000
S&P 500 Futures Contracts Expiring March 1997 at 550 624 60,684,000
S&P 500 Futures Contracts Expiring March 1997 at 720 400 7,530,000
S&P 500 Index Expiring January 1997 at 300 2,000 88,152,000
S&P 500 Index Expiring July 1997 at 300 545 24,124,970
------------
Total Call Options (Cost $168,982,033) 192,440,970
------------
Put Options on:
S&P 500 Futures Contracts Expiring February 1997 at
705 1,700,000
S&P 500 Futures Contracts Expiring March 1997 at 735 3,650,000
------------
Total Put Options (Cost $9,701,000) 5,350,000
------------
Total Options Purchased (Cost $178,683,033) 197,790,970
------------
<CAPTION>
Face Amount
------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 48.7%
U.S. Treasury Bill 5.02% due 1/16/97 $100,000,000 99,804,972
U.S. Treasury Bill 4.96% due 1/23/97 50,000,000 49,855,333
U.S. Treasury Bill 4.97% due 1/23/97 50,000,000 49,855,042
U.S. Treasury Bill 5.00% due 1/30/97 50,000,000 49,805,556
------------
Total U.S. Treasury Obligations (Cost $249,320,903) 249,320,903
------------
<CAPTION>
Face Amount
------------
<S> <C> <C>
REPURCHASE AGREEMENT 12.6%
Repurchase Agreement collaterialized by U.S. Treasury
Obligations--
6.82% due 1/02/97 (Note 3) 64,400,000 64,400,000
------------
Total Investments 100% (Cost $492,403,936) $511,511,873
============
</TABLE>
- -------------------------------------------------------------------------------
See Notes to Financial Statements
3
<PAGE>
RYDEX SERIES TRUST
NOVA
SCHEDULE OF INVESTMENTS (continued)
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized
Gain (Loss)
Contracts (Note 1)
--------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
S&P 500 Futures Contracts Expiring March 1997 388 $ 849,294
S&P 500 Futures Contracts Expiring June 1997 322 (2,000,605)
------------
Total S&P 500 Futures Contracts $ (1,151,311)
============
(Underlying Face Amount at Market Value $265,368,150)
<CAPTION>
Market Value
(Note 1)
------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Call Options on:
S&P 500 Futures Contracts Expiring February 1997 at 705 400 $ 9,480,000
S&P 500 Futures Contracts Expiring March 1997 at 735 400 5,510,000
S&P 500 Index Expiring January 1997 at 310 2,000 86,154,000
------------
Total Call Options (Proceeds $83,826,299) 101,144,000
------------
Put Options on:
S&P 500 Futures Contracts Expiring February 1997 at 690 400 1,220,000
S&P 500 Futures Contracts Expiring March 1997 at 720 400 2,720,000
------------
Total Put Options (Proceeds $6,759,000) 3,940,000
------------
Total Options Written (Proceeds $90,585,299) $105,084,000
============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
RYDEX SERIES TRUST
URSA
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
------------ --------------
<S> <C> <C>
OPTIONS PURCHASED 82.2%
Call Options on:
S&P 500 Futures Contracts Expiring January 1997 at
320 400 $ 84,540,000
S&P 500 Futures Contracts Expiring February 1997
at 700 800 20,580,000
S&P 500 Futures Contracts Expiring February 1997
at 710 400 8,330,000
S&P 500 Futures Contracts Expiring February 1997
at 715 400 8,110,000
S&P 500 Index Expiring January 1997 at 300 6000 264,508,000
S&P 500 Index Expiring March 1997 at 300 6000 264,726,000
S&P 500 Index Expiring April 1997 at 300 8000 353,112,000
--------------
Total Call Options (Cost $966,635,000) 1,003,906,000
--------------
Put Options on:
S&P 500 Futures Contracts Expiring February 1997
at 720 800 4,680,000
S&P 500 Futures Contracts Expiring February 1997
at 725 400 2,160,000
S&P 500 Futures Contracts Expiring February 1997
at 730 400 3,140,000
S&P 500 Futures Contracts Expiring March 1997 at
815 115 4,160,125
S&P 500 Futures Contracts Expiring March 1997 at
830 15 646,875
--------------
Total Put Options (Cost $23,371,558) 14,787,000
--------------
Total Options Purchased (Cost $990,006,558) 1,018,693,000
--------------
<CAPTION>
Face Amount
------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 16.6%
U.S. Treasury Bill 4.99% due 1/09/97 $101,000,000 100,902,002
U.S. Treasury Bill 4.97% due 1/09/97 1,000,000 999,034
U.S. Treasury Bill 4.98% due 1/23/97 2,000,000 1,994,196
U.S. Treasury Bill 5.00% due 1/30/97 50,000,000 49,805,555
U.S. Treasury Bill 4.81% due 2/20/97 50,000,000 49,672,653
U.S. Treasury Bill 5.01% due 2/20/97 3,000,000 2,979,542
--------------
Total U.S. Treasury Obligations (Cost
$206,352,982) $ 206,352,982
--------------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
RYDEX SERIES TRUST
URSA
SCHEDULE OF INVESTMENTS (continued)
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 1.2%
Repurchase Agreement collateralized by U.S.
Treasury Obligations--6.82% due 1/02/97 (Note 3) $15,000,000 $ 15,000,000
--------------
Total Investments 100% (Cost $1,211,359,540) $1,240,045,982
==============
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized Gain
Contracts (Note 1)
--------- ---------------
<S> <C> <C>
FUTURES CONTRACTS SOLD
S&P 500 Futures Contract Expiring March 1997
(Underlying Face Amount at Market Value
$248,663,000) 668 $ 476,349
============
<CAPTION>
Market
Value
Contracts (Note 1)
--------- ---------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Call Options on:
S&P 500 Futures Contracts Expiring January 1997 at
330 400 $ 82,550,000
S&P 500 Futures Contracts Expiring February 1997 at
720 800 14,340,000
S&P 500 Futures Contracts Expiring February 1997 at
725 400 6,020,000
S&P 500 Futures Contracts Expiring February 1997 at
730 400 5,990,000
S&P 500 Index Expiring January 1997 at 310 6,000 258,522,000
S&P 500 Index Expiring March 1997 at 310 6,000 258,810,000
S&P 500 Index Expiring April 1997 at 320 8,000 337,416,000
------------
Total Call Options Written (Proceeds $928,159,255) 963,648,000
------------
Put Options on:
S&P 500 Futures Contracts Expiring February 1997 at
700 800 3,060,000
S&P 500 Futures Contracts Expiring February 1997 at
710 400 1,520,000
S&P 500 Futures Contracts Expiring February 1997 at
715 400 2,310,000
------------
Total Put Options Written (Proceeds $14,708,000) 6,890,000
------------
Total Options Written (Proceeds $942,867,255) $970,538,000
============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note 1)
----------- ------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 67.6%
Federal Farm Credit Administration 5.28% 1/06/97 $ 5,000,000 $ 4,997,067
Federal Home Loan Bank Board 5.22% 1/02/97 6,000,000 6,000,000
Federal Home Loan Bank Board 5.22% 1/09/97 4,000,000 3,995,940
Federal Home Loan Bank Board 5.19% 1/21/97 10,000,000 9,972,608
Federal Home Loan Mortgage Corp. 5.70% 1/02/97 35,000,000 35,000,000
Federal Home Loan Mortgage Corp. 5.37% 1/06/97 10,000,000 9,994,033
Federal Home Loan Mortgage Corp. 5.28% 1/14/97 5,000,000 4,991,200
Federal National Mortgage Assoc. 5.21% 1/03/97 20,000,000 19,997,106
Federal National Mortgage Assoc. 5.21% 1/16/97 10,000,000 9,979,739
Federal National Mortgage Assoc. 5.21% 1/17/97 10,000,000 9,978,291
Federal National Mortgage Assoc. 5.20% 2/18/97 10,000,000 9,932,111
------------
Total Federal Agency Discount Notes (Cost
$124,838,095) 124,838,095
------------
U.S. TREASURY OBLIGATIONS 16.2%
U.S. Treasury Bill 4.88% due 1/16/97 (Cost
$29,943,067) 30,000,000 29,943,067
------------
REPURCHASE AGREEMENT 16.2%
Repurchase Agreement collateralized by U.S. Treasury
Obligations--
6.82% due 1/02/97 (Note 3) 29,900,000 29,900,000
------------
Total Investments 100% (Cost $184,681,162) $184,681,162
============
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------- ------------
<S> <C> <C>
COMMON STOCKS 85.5%
Intel Corp. 242,478 $ 31,749,463
Microsoft Corp.* 351,975 29,081,934
Cisco Systems, Inc.* 191,577 12,189,087
Oracle Systems Corp.* 194,735 8,130,207
MCI Communications, Inc. 159,912 5,227,124
Amgen* 77,705 4,225,209
3Com Corp.* 51,761 3,797,963
MFS Communications* 59,157 3,224,056
Sun Microsystems, Inc.* 113,620 2,918,614
Worldcom, Inc.* 110,975 2,892,286
Dell Computer Corp.* 51,630 2,742,844
Tele-Communications, Inc.* 163,553 2,136,411
Tellabs, Inc.* 56,343 2,119,905
Ascend Communications, Inc.* 33,555 2,084,604
Parametric Technology* 36,940 1,897,792
U.S. Robotics, Inc.* 25,963 1,869,336
Applied Materials, Inc.* 51,184 1,839,425
Republic Industries, Inc.* 51,834 1,616,573
Cascade Communications, Inc.* 25,750 1,419,469
Price/Costco, Inc.* 56,066 1,408,658
HBO & Company 23,552 1,398,400
Peoplesoft, Inc.* 28,755 1,378,443
Adaptec* 31,930 1,277,200
Oxford Health Plans, Inc.* 21,491 1,258,567
BMC Software, Inc.* 29,498 1,220,480
Gateway 2000, Inc.* 22,572 1,209,013
ADC Telecommunications Inc.* 38,035 1,183,839
Paychex, Inc. 20,210 1,039,552
Northwest Airline Corp.* 26,256 1,027,266
Comcast Corp. Special Class 53,677 956,122
Novell, Inc.* 99,913 946,051
Atmel Corp.* 28,359 939,392
Chiron Corp.* 49,739 926,389
Informix Corp.* 44,916 915,164
Linear Technology Corp. 20,576 902,772
Altera Corp* 12,321 895,583
Sigma Aldrich Corp. 14,293 892,419
FORE Systems, Inc.* 25,086 824,702
Stryker Corp. 27,571 823,684
Staples* 45,322 818,629
</TABLE>
* Non-Income Producing Securities
See Notes to Financial Statements
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Apple Computer, Inc.* 38,831 $ 810,597
Cintas Corp. 13,458 790,658
NEXTEL Communications, Inc.* 59,808 781,242
Xilinx, Inc.* 21,014 773,578
Nordstrom, Inc. 21,825 773,423
Adobe Systems 20,665 772,354
Qualcomm* 19,084 760,974
Tyson Foods, Inc. 21,775 745,794
PACCAR, Inc. 10,947 744,396
Biogen, Inc.* 18,845 730,244
American Power Conversion Corp.* 26,650 726,212
Centocor, Inc.* 19,828 708,851
Starbucks Corporation* 23,694 678,241
Boston Chicken Inc.* 17,984 645,176
Viking Office Products* 24,175 645,170
Compuware Corp.* 12,713 637,239
McAfee Associates, Inc.* 14,430 634,920
Fort Howard, Inc.* 22,157 613,472
DSC Communications Corp.* 34,004 607,822
Electronics for Imaging, Inc.* 6,859 564,153
American Greetings, Corp. 19,778 561,201
KLA Instruments, Inc.* 14,446 512,833
Biomet, Inc. 33,628 508,624
Adtran, Inc.* 11,959 496,298
Worthington Industries, Inc 26,287 476,452
Electronics Arts, Inc.* 15,472 463,193
Genzyme Corp.* 21,175 460,556
Paging Network* 30,126 459,422
McCormick & Co. 18,856 444,294
General Nutrition Companies, Inc.* 25,488 430,110
Intuit, Inc.* 13,654 430,101
Cracker Barrel Old Country Store, Inc. 16,785 425,919
Healthcare Compare Corp.* 9,731 412,351
Idexx Laboratories Inc.* 10,952 394,272
Glenayre Tech., Inc.* 18,118 390,669
Sybase, Inc.* 20,818 347,400
Autodesk, Inc. 12,379 346,612
Cirrus Logic, Inc.* 18,441 285,836
------------
Total Common Stocks
(Cost $145,182,331) $165,395,286
------------
</TABLE>
8
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER
SCHEDULE OF INVESTMENTS (continued)
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ------------
<S> <C> <C>
OPTIONS PURCHASED 0.2%
Call Option On:
NASDAQ 100 Index Expiring January 1997 at 800
(Cost $480,164) 107 $ 341,062
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 14.3%
Repurchase Agreement collateralized by U.S. Treasury
Obligations--
6.82% due 1/02/97 (Note 3) $27,600,000 27,600,000
------------
Total Investments 100% (Cost $173,262,495) $193,336,348
============
- ------------------------------------------------------------------------------
WRITTEN OPTIONS CONTRACTS
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ------------
<S> <C> <C>
Put Options On:
NASDAQ 100 Index Expiring January 1997 at 800
(Proceeds $96,533) 107 $ 116,362
============
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------- -----------
<S> <C> <C>
COMMON STOCKS 96.1%
Mining and Precious Metals Stocks
Barrick Gold Corp. 329,773 $ 9,480,974
Placer Dome, Ltd. 221,254 4,812,274
Newmont Mining Corp. 91,761 4,106,315
Homestake Mining Co. 136,928 1,951,224
Santa Fe Pacific Gold Corp. 126,671 1,947,567
Battle Mountain Gold Co. 207,594 1,427,209
TVX Gold, Inc.* 154,182 1,194,910
Echo Bay Mines, Ltd. 127,126 842,210
Trizec Hahn Corp. 22,443 493,746
Getchell Gold Corp* 11,106 426,193
ASA Limited 8,892 308,997
Pegasus Gold, Inc.* 38,018 287,511
Hecla Mining Co. 48,544 273,060
Agnico Eagle Mines, Ltd. 14,496 202,944
ChemFirst, Inc. 11,882 274,771
Mississippi Chemical Corp. 3,968 95,232
Kinross Gold Corp.* 8,700 61,988
Freeport McMoran, Inc., Class A 1,887 53,072
Newmont Gold Corp. 1,100 48,125
Engelhard Corp. 2,438 46,627
Cambior, Inc. 2,908 42,529
Amax Gold, Inc.* 4,324 27,565
Anglo American Gold Investment Co., Ltd. 3,470 25,808
Western Deep Levels, Ltd. 800 24,000
Alumax, Inc.* 592 19,758
MK Gold Co.* 4,437 6,655
Siskon Gold Corp., Class A* 2,959 2,312
-----------
Total Common Stocks (Cost $27,223,724) $28,483,576
-----------
</TABLE>
* Non-Income Producing Securities.
See Notes to Financial Statements.
10
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS (continued)
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.2%
Call Options On:
XAU Index Expiring January 1997 at 90
(Cost $62,560) 20 $ 53,000
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 3.7%
Repurchase Agreement collateralized by U.S. Treasury
Obligations
6.82% due 1/02/97 (Note 3) $1,100,000 1,100,000
-----------
Total Investments 100% (Cost $28,386,284) $29,636,576
===========
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note1)
----------- ----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 94.0%
U.S. Treasury Bond 6.50% due 11/15/2026 (Cost
$3,995,683) $3,997,000 $3,920,807
----------
<CAPTION>
Contracts
-----------
<S> <C> <C>
OPTIONS PURCHASED 3.6%
Call Options On:
U.S. Treasury Bond Futures Contract
Expiring March 1997 at 100 (Cost $172,276) 12 151,500
----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 2.4%
Repurchase Agreement collateralized by U.S. Treasury
Obligations
6.82% due 1/02/97 (Note 3) 100,000 100,000
----------
Total Investments 100.0% (Cost $4,267,959) $4,172,307
==========
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
RYDEX SERIES TRUST
JUNO
SCHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.7 %
Put Options On:
U.S. Treasury Bond Futures Contracts Expiring March
1997 at 132
(Cost $104,685) 60 $ 116,250
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 74.4 %
U.S. Treasury Bill 4.88% due 1/16/97 (Cost
$11,977,227) $12,000,000 $11,977,227
-----------
REPURCHASE AGREEMENT 24.9%
Repurchase Agreement collateralized by U.S. Treasury
Obligations
6.82% due 1/02/97 (Note 3) 4,000,000 4,000,000
-----------
Total Investments 100% (Cost $16,081,912) $16,093,477
===========
- -----------------------------------------------------------------------------
<CAPTION>
Unrealized
Contracts Gain
----------- -----------
<S> <C> <C>
FUTURES CONTRACTS SOLD
U.S. Treasury Bond Futures Contract Expiring March
1997
(Underlying Face Amount at Market Value
$17,344,250) 154 $ 233,463
===========
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<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 $511,511,873 $1,240,045,982 $184,681,162
Receivable for Securities Sold 16,612,944 0 0
Receivable for Futures Contracts
Settlement 0 4,184,740 0
Premium Receivable for Written
Options 0 338,267,124 0
Investment Income Receivable 24,414 5,687 10,617
Cash in Custodian Bank 1,502,547 1,519,717 2,898
Cash on Deposit with Broker 0 4,290,000 0
Receivable for Shares Purchased 33,952,366 38,636,743 64,967,848
Unamortized Organization Costs (Note
1) 53,093 33,035 0
Prepaid Expenses 15,282 0 9,697
Other Assets 0 14,100 17,834
------------ -------------- ------------
Total Assets 563,672,519 1,626,997,128 249,690,056
------------ -------------- ------------
LIABILITIES
Payable for Securities Purchased 0 354,008,800 0
Payable for Futures Contracts
Settlement 6,672,750 0 0
Written Options at Market Value 105,084,000 970,538,000 0
Liability for Shares Redeemed 90,835,235 3,337,434 7,440,493
Dividends Payable 0 0 37,408
Investment Advisory Fee Payable 246,182 218,598 76,875
Transfer Agent Fee Payable 82,061 60,722 29,950
Other Liabilities 192,032 89,372 27,592
------------ -------------- ------------
Total Liabilities 203,112,260 1,328,252,926 7,612,318
------------ -------------- ------------
NET ASSETS $360,560,259 $ 298,744,202 $242,077,738
============ ============== ============
Shares Outstanding 20,542,070 42,433,199 242,078,343
============ ============== ============
Net Asset Value Per Share $17.55 $7.04 $1.00
====== ===== =====
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S.
Counter Metals Government
Fund Fund Bond Fund Juno Fund
------------ ----------- ---------- -----------
<S> <C> <C> <C> <C>
ASSETS
Securities at Value (Note 1)--
See Accompanying Schedules $193,336,348 $29,636,576 $4,172,307 $16,093,477
Receivable for Securities Sold 114,406,588 795,983 504,674 0
Receivable for Futures
Contracts Settlement 0 0 0 173,608
Investment Income Receivable 46,975 5,694 34,487 1,516
Cash in Custodian Bank 50,820 92,299 93,086 333,678
Cash on Deposit with Broker 2,320,678 163,748 0 232,090
Receivable for Shares
Purchased 6,766,681 512,723 79,181 1,349,642
Unamortized Organization Costs
(Note 1) 9,853 13,639 8,287 21,427
Other Assets 5,086 2,229 838 979
------------ ----------- ---------- -----------
Total Assets 316,943,029 31,222,891 4,892,860 18,206,416
------------ ----------- ---------- -----------
LIABILITIES
Payable for Securities
Purchased 50,688 968,822 0 0
Payable for Futures Contracts
Settlement 0 0 0 232,063
Written Options at Market
Value 116,362 0 0 0
Liability for Shares Redeemed 142,071,854 1,611,951 444,680 126,987
Dividends Payable 0 0 176,795 0
Investment Advisory Fee
Payable 154,887 20,435 2,376 12,797
Transfer Agent Fee Payable 41,303 5,449 951 3,555
Organization Expense Payable
to Advisor 0 0 0 33,792
Other Liabilities 54,782 11,485 1,731 0
------------ ----------- ---------- -----------
Total Liabilities 142,489,876 2,618,142 626,533 409,194
------------ ----------- ---------- -----------
NET ASSETS $174,453,153 $28,604,749 $4,266,327 $17,797,222
============ =========== ========== ===========
Shares Outstanding 9,469,000 3,338,317 464,289 1,935,607
============ =========== ========== ===========
Net Asset Value Per Share $18.42 $8.57 $9.19 $9.19
====== ===== ===== =====
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Period Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
----------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest $ 5,857,180 $ 7,492,980 $4,481,995
Dividends 0 0 0
----------- ------------ ----------
Total Income 5,857,180 7,492,980 4,481,995
----------- ------------ ----------
EXPENSES
Advisory Fees (Note 4) 1,060,477 1,430,520 428,244
Transfer Agent Fees (Note 4) 355,657 397,367 170,570
Audit and Outside Services 29,448 28,544 17,139
Accounting Fees (Note 4) 41,992 47,576 35,007
Legal 49,188 67,571 38,857
Organizational Expenses 17,668 8,382 4,499
Registration Fees 32,547 40,475 25,724
Custodian Fees 39,600 38,997 5,447
Miscellaneous 239,733 157,955 72,648
----------- ------------ ----------
Total Expenses 1,866,310 2,217,387 798,135
Custodian Fees Paid Indirectly (Note
5) (37,200) (36,597) (3,047)
----------- ------------ ----------
Net Expenses 1,829,110 2,180,790 795,088
----------- ------------ ----------
Net Investment Income 4,028,070 5,312,190 3,686,907
----------- ------------ ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities 7,168,025 75,400,895 0
Written Options 8,000 (77,988,914) 0
Futures Contracts 14,837,907 (43,430,337) 0
----------- ------------ ----------
Total Net Realized Gain (Loss) 22,013,932 (46,018,356) 0
Net Change in Unrealized Appreciation
(Depreciation)
On Investments, Options and Futures
Contracts 548,561 500,353 0
----------- ------------ ----------
Net Gain (Loss) on Investments 22,562,493 (45,518,003) 0
----------- ------------ ----------
Net Increase (Decrease) in Net Assets
from Operations $26,590,563 ($40,205,813) $3,686,907
=========== ============ ==========
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Period Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S.
Counter Metals Government
Fund Fund Bond Fund Juno Fund
----------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $ 703,772 $ 106,227 $367,795 $ 445,992
Dividends 79,490 155,884 0 0
----------- ----------- -------- ----------
Total Income 783,262 262,111 367,795 445,992
----------- ----------- -------- ----------
EXPENSES
Advisory Fees (Note 2) 406,545 134,402 27,690 78,308
Transfer Agent Fees (Note 2) 108,412 35,840 11,076 21,856
Audit and Outside Services 11,484 3,436 1,791 1,613
Accounting Fees (Note 4) 19,853 16,684 7,775 8,985
Legal 14,661 7,910 2,910 3,604
Organizational Expenses 2,499 3,460 2,103 3,424
Registration Fees 13,547 9,870 11,760 12,653
Custodian Fees 71,735 14,450 3,679 3,979
Miscellaneous 85,754 37,898 2,990 2,486
----------- ----------- -------- ----------
Total Expenses 734,490 263,950 71,774 136,908
Custodian Fees Paid Indi-
rectly (Note 5) (860) (1,177) (1,279) (1,579)
----------- ----------- -------- ----------
Net Expenses 733,630 262,773 70,495 135,329
----------- ----------- -------- ----------
Net Investment Income (Loss) 49,632 (662) 297,300 310,663
----------- ----------- -------- ----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities 2,739,947 (8,602,733) 564,276 (41,157)
Written Options 299,596 5,751 0 0
Futures Contracts 0 0 (1,660,131)
----------- ----------- -------- ----------
Total Net Realized Gain
(Loss) 3,039,543 (8,596,982) 564,276 (1,701,288)
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments, Options and
Futures Contracts 12,471,100 3,667,704 (292,540) 632,630
----------- ----------- -------- ----------
Net Gain (Loss) on Invest-
ments 15,510,643 (4,929,278) 271,736 (1,068,658)
----------- ----------- -------- ----------
Net Increase (Decrease) in
Net Assets from Operations $15,560,275 ($4,929,940) $569,036 ($757,995)
=========== =========== ======== ==========
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund Ursa Fund
-------------------------- --------------------------
Period Ended Year Ended Period Ended Year Ended
December 31, June 30, December 31, June 30,
1996 1996 1996 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income $ 4,028,070 $ 4,179,165 $ 5,312,190 $ 6,011,770
Net Realized Gain
(Loss) on Investments 22,013,932 22,094,745 (46,018,356) (36,517,831)
Net Change in
Unrealized
Appreciation of
Investments 548,561 2,685,556 500,353 3,161,168
------------ ------------ ------------ ------------
Net Increase (Decrease)
in Net Assets from
Operations 26,590,563 28,959,466 (40,205,813) (27,344,893)
------------ ------------ ------------ ------------
Distributions to
Shareholders
From Net Investment
Income (Note 1) 0 0 (752,816) 0
From Realized Gain on
Investments (6,012,731) 0 0 0
Net Increase in Net
Assets from Shares
Transactions (Note 8) 115,441,311 132,666,112 147,149,563 92,269,466
------------ ------------ ------------ ------------
Net Increase in Net
Assets 136,019,143 161,625,578 106,190,934 64,924,573
------------ ------------ ------------ ------------
NET ASSETS--Beginning of
Period 224,541,116 62,915,538 192,553,268 127,628,695
------------ ------------ ------------ ------------
NET ASSETS--End of
Period $360,560,259 $224,541,116 $298,744,202 $192,553,268
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government
Money Market Fund
---------------------------
Period Ended Year Ended
December 31, June 30,
1996 1996
------------ -------------
<S> <C> <C>
FROM INVESTMENT ACTIVITIES
Net Investment Income $ 3,686,907 $ 7,459,832
Net Realized Gain on Investments 0 467
Net Change in Unrealized Appreciation
(Depreciation) of Investments 0 0
------------ -------------
Net Increase in Net Assets Resulting from
Operations 3,686,907 7,460,299
------------ -------------
Distributions to Shareholders
From Net Investment Income (Note 1) (3,680,474) (7,466,933)
From Realized Gain on Investments 0 (467)
Net Increase (Decrease) in Net Assets Resulting
from Shares Transactions (Note 8) 88,146,758 (130,266,747)
------------ -------------
Net Increase (Decrease) in Net Assets 88,153,191 (130,273,848)
------------ -------------
NET ASSETS--Beginning of Period 153,924,547 284,198,395
------------ -------------
NET ASSETS--End of Period $242,077,738 $ 153,924,547
============ =============
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious Metals
Counter Fund Fund
------------------------- -------------------------
Period Ended Year Ended Period Ended Year Ended
December 31, June 30, December 31, June 30,
1996 1996 1996 1996
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
FROM INVESTMENT
ACTIVITIES
Net Investment Income
(Loss) $ 49,632 $ 304,516 $ (662) $ (3,434)
Net Realized Gain (Loss)
on Investments 3,039,543 7,408,632 (8,596,982) 2,288,270
Net Change in Unrealized
Appreciation
(Depreciation) of
Investments 12,471,100 (894,564) 3,667,704 (6,585,369)
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets from
Operations 15,560,275 6,818,584 (4,929,940) (4,300,533)
Distributions to
Shareholders
From Net Investment
Income (Note 1) (522,552) 0 0 0
From Realized Gain on
Investments (57,883) (1,826,446) 0 0
Net Increase (Decrease)
in Net Assets
from Shares Transactions
(Note 8) 110,757,399 (18,223,812) (3,038,881) 13,022
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets 125,737,239 (13,231,674) (7,968,821) (4,287,511)
------------ ----------- ----------- -----------
NET ASSETS--Beginning of
Period 48,715,914 61,947,588 36,573,570 40,861,081
------------ ----------- ----------- -----------
NET ASSETS--End of Period $174,453,153 $48,715,914 $28,604,749 $36,573,570
============ =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government
Bond Fund Juno Fund
------------------------- -------------------------
Period Ended Year Ended Period Ended Year Ended
December 31, June 30, December 31, June 30,
1996 1996 1996 1996
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVI-
TIES
Net Investment Income $ 297,300 $ 882,912 $ 310,663 $ 710,596
Net Realized Gain
(Loss) on Investments 564,276 (103,013) (1,701,288) (1,855,288)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments (292,540) 188,414 632,630 (397,053)
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets from
Operations 569,036 968,313 (757,995) (1,541,745)
Distributions to Share-
holders
From Net Investment
Income (Note 1) (297,838) (885,787) (61,626) 0
From Realized Gain on
Investments 0 (243,678) 0 0
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) (14,336,016) 15,900,788 (242,770) 16,100,047
------------ ----------- ----------- -----------
Net Increase (Decrease)
in Net Assets (14,064,818) 15,739,636 (1,062,391) 14,558,302
------------ ----------- ----------- -----------
NET ASSETS--Beginning of
Period 18,331,145 2,591,509 18,859,613 4,301,311
------------ ----------- ----------- -----------
NET ASSETS--End of Pe-
riod $ 4,266,327 $18,331,145 $17,797,222 $18,859,613
============ =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund
-------------------------------------------------------
For the Period For the Year For the Year For the Period
Ended Ended Ended Ended
December 31, June 30, June 30, June 30,
1996 1996 1995 1994*
-------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE--
BEGINNING OF PERIOD $ 15.68 $ 11.81 $ 9.77 $ 10.01
-------- -------- ------- --------
Net Investment Income .24 .56 .28 .01
Net Realized and
Unrealized Gains
(Losses) on Securities 1.98 3.31 2.88 (.25)
-------- -------- ------- --------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations 2.22 3.87 3.16 (.24)
Dividends to
Shareholders .00 .00 (.29) .00
Distributions to
Shareholders From Net
Realized Capital Gain (.35) .00 (.83) .00
-------- -------- ------- --------
Net Increase (Decrease)
in Net Asset Value 1.87 3.87 2.04 (.24)
-------- -------- ------- --------
NET ASSET VALUE--END OF
PERIOD $ 17.55 $ 15.68 $ 11.81 $ 9.77
======== ======== ======= ========
TOTAL INVESTMENT
RETURN** 26.98% 32.77% 32.65% (2.47)%
RATIOS TO AVERAGE NET
ASSETS**
Expenses 1.34% 1.31% 1.43% 1.73%
Net Investment Income 2.88% 3.14% 2.62% 1.05%
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 0% 0% 0% 0%
Net Assets, End of
Period (000's omitted) $360,560 $222,541 $62,916 $ 77,914
</TABLE>
* 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.
22
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ursa Fund
-------------------------------------------------------
For the Period For the Year For the Year For the Period
Ended Ended Ended Ended
December 31, June 30, June 30, June 30,
1996 1996 1995 1994*
-------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PER-
FORMANCE:
NET ASSET VALUE--BEGIN-
NING OF PERIOD $ 7.55 $ 8.79 $ 10.54 $ 10.00
--------- --------- --------- --------
Net Investment Income .13 .30 .35 .01
Net Realized and
Unrealized
Gains (Losses) on
Securities (.62) (1.54) (1.78) .53
--------- --------- --------- --------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations (.49) (1.24) (1.43) .54
Dividends to
Shareholders (.02) .00 (.32) .00
Distributions to
Shareholders From Net
Realized Capital Gain .00 .00 .00 .00
--------- --------- --------- --------
Net Increase (Decrease)
in Net Asset Value (.51) (1.24) (1.75) .54
--------- --------- --------- --------
NET ASSET VALUE--END OF
PERIOD $ 7.04 $ 7.55 $ 8.79 $ 10.54
========= ========= ========= ========
TOTAL INVESTMENT RE-
TURN** (12.95)% (14.11)% (14.08)% 10.89%
RATIOS TO AVERAGE NET
ASSETS**
Expenses 1.42% 1.39% 1.39% 1.67%
Net Investment Income 3.38% 3.38% 3.50% 1.43%
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 0% 0% 0% 0%
Net Assets, End of Pe-
riod (000's omitted) $ 298,744 $ 192,553 $ 127,629 $110,899
</TABLE>
* 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.
23
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Money Market Fund
-------------------------------------------------------
For the Period For the Year For the Year For the Period
Ended Ended Ended Ended
December 31, June 30, June 30, June 30,
1996 1996 1995 1994*
-------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE--
BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------
Net Investment Income .02 .04 .04 .01
Net Realized and
Unrealized Gains
(Losses) on Securities .00 .00 .00 .00
-------- -------- -------- -------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations .02 .04 .04 .01
Dividends to
Shareholders (.02) (.04) (.04) (.01)
Distributions to
Shareholders From Net
Realized Capital Gain .00 .00 .00 .00
-------- -------- -------- -------
Net Increase (Decrease)
in Net Asset Value .00 .00 .00 .00
-------- -------- -------- -------
NET ASSET VALUE--END OF
PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== =======
TOTAL INVESTMENT
RETURN** 4.42% 4.60% 4.43% 2.47%
RATIOS TO AVERAGE NET
ASSETS**
Expenses .90% .99% .89% 1.16%
Net Investment Income 4.12% 4.18% 4.23% 2.34%
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 0% 0% 0% 0%
Net Assets, End of
Period (000's omitted) $242,078 $153,925 $284,198 $88,107
</TABLE>
* 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.
24
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the-Counter Fund
-------------------------------------------------------
For the Period For the Year For the Year For the Period
Ended Ended Ended Ended
December 31, June 30, June 30, June 30,
1996 1996 1995 1994*
-------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE--
BEGINNING OF PERIOD $ 15.16 $ 12.22 $ 8.76 $ 10.00
-------- --------- --------- ---------
Net Investment Income
(Loss) .01 .06 .14 .01
Net Realized and
Unrealized Gains
(Losses) on Securities 3.34 3.24 4.17 (1.25)
-------- --------- --------- ---------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations 3.35 3.30 4.31 (1.24)
Dividends to
Shareholders (.08) .00 (.12) .00
Distributions to
Shareholders From Net
Realized Capital Gain (.01) (.36) (.73) .00
-------- --------- --------- ---------
Net Increase (Decrease)
in Net Asset Value 3.26 2.94 3.46 (1.24)
-------- --------- --------- ---------
NET ASSET VALUE--END OF
PERIOD $ 18.42 $ 15.16 $ 12.22 $ 8.76
======== ========= ========= =========
TOTAL INVESTMENT
RETURN** 43.76% 26.44% 49.00% (30.17)%
RATIOS TO AVERAGE NET
ASSETS**
Expenses 1.38% 1.33% 1.41% 1.73%
Net Investment Income .10% .44% 1.34% 1.05%
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 849.96% 2,578.56% 2,241.00% 1,171.00%
Net Assets, End of
Period (000's omitted) $174,453 $ 48,716 $ 61,948 $ 30,695
</TABLE>
* 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.
25
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Precious Metals Fund
-------------------------------------------------------
For the Period For the Year For the Year For the Period
Ended Ended Ended Ended
December 31, June 30, June 30, June 30,
1996 1996 1995 1994*
-------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PER-
FORMANCE:
NET ASSET VALUE--BEGIN-
NING OF PERIOD $ 9.05 $ 8.73 $ 8.29 $ 10.00
--------- ---------- --------- ----------
Net Investment Income
(Loss) .00 .00 .10 .01
Net Realized and
Unrealized Gains
(Losses) on Securities (.48) .32 .43 (1.72)
--------- ---------- --------- ----------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations (.48) .32 .53 (1.71)
Dividends to
Shareholders .00 .00 (.09) .00
Distributions to
Shareholders From Net
Realized Capital Gain .00 .00 .00 .00
--------- ---------- --------- ----------
Net Increase (Decrease)
in Net Asset Value (.48) .32 .44 (1.71)
--------- ---------- --------- ----------
NET ASSET VALUE--END OF
PERIOD $ 8.57 $ 9.05 $ 8.73 $ 8.29
========= ========== ========= ==========
TOTAL INVESTMENT RE-
TURN** (10.83)% 3.67% 6.21% (29.27)%
RATIOS TO AVERAGE NET
ASSETS**
Expenses 1.50% 1.33% 1.38% 2.06%
Net Investment Income 0% (.01)% 1.15% 1.23%
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 568.91% 1,036.37% 1,765.00% 2,728.00%
Average Commission Rate
Paid**** .88% 1.51% -- --
Net Assets, End of
Period (000's omitted) $ 28,605 $ 36,574 $ 40,861 $ 1,526
</TABLE>
* 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 that exceed ten percent of the value of
its average net assets.
See Notes to Financial Statements.
26
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Bond Fund
-------------------------------------------------------
For the Period For the Year For the Year For the Period
Ended Ended Ended Ended
December 31, June 30, June 30, June 30,
1996 1996 1995 1994*
-------------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE--
BEGINNING OF PERIOD $ 8.97 $ 9.55 $ 8.24 $ 10.00
-------- ------- ---------- ----------
Net Investment Income
(Loss) .24 .46 .39 .02
Net Realized and
Unrealized Gains
(Losses) on Securities .22 (.45) 1.17 (1.76)
-------- ------- ---------- ----------
Net Increase (Decrease)
in Net Asset Value
Resulting from
Operations .46 .01 1.56 (1.74)
Dividends to
Shareholders (.24) (.46) (.25) (.02)
Distributions to
Shareholders From Net
Realized Capital Gain .00 (.13) .00 .00
-------- ------- ---------- ----------
Net Increase (Decrease)
in Net Asset Value .22 (.58) 1.31 (1.76)
-------- ------- ---------- ----------
NET ASSET VALUE--END OF
PERIOD $ 9.19 $ 8.97 $ 9.55 $ 8.24
======== ======= ========== ==========
TOTAL INVESTMENT
RETURN** 11.27% (1.48)% 18.97% (32.63)%
RATIOS TO AVERAGE NET
ASSETS**
Expenses 1.30% 1.26% 2.26% 3.05%
Net Investment Income 5.36% 4.73% 4.64% 3.39%
SUPPLEMENTARY DATA:
Portfolio Turnover
Rate*** 562.18% 780.30% 3,452.59% 1,290.00%
Net Assets, End of
Period (000's omitted) $ 4,266 $18,331 $ 2,592 $ 1,564
</TABLE>
* 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.
27
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Juno Fund
------------------------------------------
For the Period For the Year For the Period
Ended Ended Ended
December 31, June 30, June 30,
1996 1996 1995 *
-------------- ------------ --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF
PERIOD $ 9.47 $ 9.08 $ 10.00
-------- ------- --------
Net Investment Income (Loss) .17 .34 .14
Net Realized and Unrealized Gains
(Losses) on Securities (.42) .05 (1.06)
-------- ------- --------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations (.25) .39 (.92)
Dividends to Shareholders (.03) .00 .00
Distributions to Shareholders From
Net Realized Capital Gain .00 .00 .00
-------- ------- --------
Net Increase (Decrease) in Net
Asset Value (.28) .39 (.92)
-------- ------- --------
NET ASSET VALUE--END OF PERIOD $ 9.19 $ 9.47 $ 9.08
======== ======= ========
TOTAL INVESTMENT RETURN** (4.98)% 4.30% (9.20)%
RATIOS TO AVERAGE NET ASSETS**
Expenses 1.58% 1.64% 1.50%
Net Investment Income 3.60% 3.63% 1.32%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0%
Net Assets, End of Period (000's
omitted) $ 17,797 $18,860 $ 4,301
</TABLE>
* Commencement of Operations: February 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.
28
<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 eight
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 and the Institutional Money Market Fund. The following
significant accounting policies are in conformity with generally accepted
accounting principles and are consistently followed by the Trust in the
preparation of its financial statements.
A. Securities listed on an exchange are valued at the latest quoted sales
prices as of 4:00 P.M. on the valuation date. Securities not traded on an
exchange are valued at their last sales price. Listed options held by the Trust
are valued at their last bid price. Over-the-counter options held by the Trust
are valued using the average bid price obtained from one or more security
dealers. The value of futures contracts purchased and sold by the Trust are
accounted for using the unrealized gain or loss on the contracts that is
determined by marking the contracts to their current realized settlement
prices. Short term securities with less than sixty days to maturity are valued
at amortized cost, which approximates market. Security and assets for which
market quotations are not readily available are valued at fair value as
determined in good faith by or under direction of the Board of Trustees of the
Trust.
B. Securities transactions are recorded on the trade date (the date the order
to buy or sell is executed). Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is
recorded on the ex-dividend date. Interest income is accrued on a daily basis.
C. Net investment income is computed, and dividends are declared daily in the
U.S. Government Money Market Fund, the Institutional Money Market Fund and U.S.
Government Bond Fund. Income dividends in these funds are paid monthly.
Dividends are reinvested in additional shares unless shareholders request
payment in cash. Generally, short-term capital gains are distributed monthly in
the U.S. Government Money Market Fund and the Institutional 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.
29
<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.
30
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. OPERATING POLICIES
The Trust, which includes eight 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 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 correlate the total return of the
NASDAQ Composite Index. The fund invests in securities included in the NASDAQ
Composite and buys call options and sells put options on stock indexes. In
addition, the Nova Fund, the Ursa Fund, the OTC Fund, and the Precious Metals
Fund 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.
3. REPURCHASE AGREEMENTS
The Trust transfers uninvested cash balances into a single joint account, the
daily aggregate balance of which is invested a repurchase aggreement
collateralized by Federal agency obligations. As of December 31,1996 the
repurchase agreement with Fuji Securities and Paine Webber, Inc. 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 Bond............. 6.25% $61,697,000 $61,470,323
United States Treasury Note............. 6.00%-6.25% $82,025,000 $83,651,616
</TABLE>
31
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. INVESTMENT ADVISORY AND TRANSFER AGENT SERVICES
Under the terms of an investment advisory contract, the Trust pays PADCO
Advisors, Inc. investment advisory fees calculated at an annual percentage rate
of one half of one percent (0.50%) of the net assets of the U.S. Government
Money Market Fund and the U.S. Government Bond Fund; three-quarters of one
percent (0.75%) of the net assets of the Nova Fund, the Precious Metals Fund,
and the Over-the-Counter Fund; and nine-tenths of one percent (0.90%) of the
net assets of the Ursa Fund and the Juno Fund.
PADCO Service Company, Inc., a subsidiary of the investment advisor, provides
transfer agent service to the Trust at an annual rate of two-tenths of one
percent (0.20%) of the net assets of the U.S. Government Money Market Fund,
U.S. Government Bond Fund, Precious Metals Fund, and Over-the-Counter Fund and
at annual rate of one-quarter of one percent (0.25%) of the Nova Fund, the Ursa
Fund, and the Juno Fund.
The Trust paid PADCO Advisors Inc. $177,872 in accounting fees for the above
seven funds for the six month period ended December 31, 1996.
5. ACCOUNTING FOR EXPENSES
The increase in "Total Expenses," and the offsetting "Fees Paid Indirectly,"
reflect the amount that the funds would have paid for securities custodian
services in the absence of compensating balance arrangements. The values of
these compensating balances for the six month period ending December 31, 1996
are as follows:
<TABLE>
<CAPTION>
Money Precious
Nova Ursa Market OTC Metals Bond Juno
- ------- ------- ------ ---- -------- ------ ------
<S> <C> <C> <C> <C> <C> <C>
$37,200 $36,597 $3,047 $860 $1,177 $1,279 $1,579
</TABLE>
6. SECURITIES TRANSACTIONS
During the period ended December 31, 1996 purchases and sales of investment
securities were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
---- ---- ---------- ------------ ------------ ----------- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Purchases $0 $0 $0 $932,321,353 $202,548,936 $66,768,150 $0
Sales $0 $0 $0 $828,334,480 $205,770,779 $79,429,724 $0
</TABLE>
The transactions shown above exclude short term and temporary cash investments
32
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. NET UNREALIZED APPRECIATION/DEPRECIATION OF SECURITIES
At December 31, 1996 unrealized appreciation (depreciation) and cost of
investment securities for Federal income tax purposes was:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
------------ ------------ ------------ ------------ ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Gross Unrealized
Appreciation $ 26,235,142 $ 89,992,391 $ 0 $ 20,835,999 $ 2,027,568 $ 0 $ 245,028
Gross Unrealized
(Depreciation) (22,777,217) (88,500,345) 0 (762,146) (777,276) (95,652) 0
------------ ------------ ------------ ------------ ----------- ---------- -----------
Net Unrealized
Appreciation/
(Depreciation) $ 3,457,925 $ 1,492,046 $ 0 $ 20,073,853 $ 1,250,292 $ (95,652) $ 245,028
Cost of Investments for
Federal Income Tax
Purposes $492,403,936 $206,352,982 $184,681,162 $187,331,516 $36,633,842 $4,267,959 $16,081,912
</TABLE>
8. SHARE TRANSACTIONS
Transactions in shares for the year ended December 31, 1996 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
------------ ------------ -------------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased 132,963,470 222,855,647 1,978,922,514 92,110,606 34,349,498 10,476,172 9,197,950
Purchased through
Dividend Reinvestment 300,618 90,217 3,590,897 27,056 0 28,825 5,497
------------ ------------ -------------- ----------- ----------- ----------- ----------
Total Purchased 133,264,088 222,945,864 1,982,513,411 92,137,662 34,349,498 10,504,997 9,203,447
Shares Redeemed (127,043,872) (206,020,497) (1,894,418,716) (85,882,038) (35,050,647) (12,083,769) (9,259,333)
------------ ------------ -------------- ----------- ----------- ----------- ----------
Net Shares
Purchased/(Redeemed) 6,220,216 16,925,367 88,094,695 6,255,624 (701,149) (1,578,772) (55,886)
============ ============ ============== =========== =========== =========== ==========
</TABLE>
Transactions in dollars for the year ended December 31, 1996 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
-------------- -------------- -------------- -------------- ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased $2,172,211,112 $1,669,642,622 $1,978,922,514 $1,561,437,549 $307,794,649 $ 94,802,778 $86,633,609
Purchased
through
Dividend
Reinvestment 5,375,055 626,105 3,642,960 507,026 -- 268,662 49,308
-------------- -------------- -------------- -------------- ------------ ------------ -----------
Total Purchased 2,177,586,167 1,670,268,727 1,982,565,474 1,561,944,575 307,794,649 95,071,440 86,682,917
Shares Redeemed (2,062,144,856) (1,523,119,164) (1,894,418,716) (1,451,187,176) (310,833,530) (109,407,456) (86,925,687)
-------------- -------------- -------------- -------------- ------------ ------------ -----------
Net Shares
Purchased/
(Redeemed) $ 115,441,311 $ 147,149,563 $ 88,146,758 $ 110,757,399 $ (3,038,881) $(14,336,016) $ (242,770)
============== ============== ============== ============== ============ ============ ===========
</TABLE>
33
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Transactions in shares for the year ended June 30, 1996 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
------------ ------------ -------------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased 188,794,994 276,476,043 4,139,232,212 168,346,003 87,901,045 19,714,470 25,594,613
Purchased through
Dividend Reinvestment 0 0 7,466,821 108,337 0 97,996 0
------------ ------------ -------------- ------------ ----------- ----------- -----------
Total Purchased 188,794,994 276,476,043 4,146,699,033 168,454,340 87,901,045 19,812,466 25,594,613
Shares Redeemed (179,799,246) (265,490,770) (4,276,965,783) (170,312,258) (88,544,497) (18,040,885) (24,076,731)
------------ ------------ -------------- ------------ ----------- ----------- -----------
Net Shares
Purchased/(Redeemed) 8,995,748 10,985,273 (130,266,750) (1,857,918) (643,452) 1,771,581 1,517,882
============ ============ ============== ============ =========== =========== ===========
</TABLE>
Transactions in dollars for the year ended June 30, 1996 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
-------------- -------------- -------------- -------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased $2,653,475,866 $2,245,867,707 $4,139,232,212 $2,261,882,356 $836,754,933 $189,414,530 $233,349,428
Purchased
through
Dividend
Reinvestment 0 0 7,466,821 1,413,792 0 879,023 0
-------------- -------------- -------------- -------------- ------------ ------------ ------------
Total Purchased 2,653,475,866 2,245,867,707 4,146,699,033 2,263,296,148 836,754,933 190,293,553 233,349,428
Shares Redeemed (2,520,809,754) (2,153,598,241) (4,276,965,780) (2,281,519,960) (836,741,911) (174,392,765) (217,249,381)
-------------- -------------- -------------- -------------- ------------ ------------ ------------
Net Shares
Purchased/
(Redeemed) $ 132,666,112 $ 92,269,466 $ (130,266,747) $ (18,223,812) $ 13,022 $ 15,900,788 $ 16,100,047
============== ============== ============== ============== ============ ============ ============
</TABLE>
34
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. OPTION CONTRACTS WRITTEN
During the year ended December 31, 1996 the Trust wrote the following
contracts:
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 0 $ 0 6,000 $ 194,132,928
Options Written 3,200 88,645,799 26,800 1,207,028,413
Options Terminated (400) (4,819,500) (10,800) (473,002,086)
----- ----------- ------- --------------
Outstanding at End of Period 2,800 $83,826,299 22,000 $ 928,159,255
===== =========== ======= ==============
Put Options Written:
<CAPTION>
Nova Fund Ursa Fund
--------------------- ------------------------
Number of Initial Number of Initial
Contracts Premiums Contracts Premiums
--------- ----------- --------- --------------
<S> <C> <C> <C> <C>
Outstanding at Beginning of
Period 0 $ 0 0 $ 0
Options Written 1,200 10,068,500 1,600 14,708,000
Options Terminated (400) (3,309,500) 0 0
----- ----------- ------- --------------
Outstanding at End of Period 800 $ 6,759,000 1,600 $ 14,708,000
===== =========== ======= ==============
<CAPTION>
Over-the- Precious
Counter fund Metals Fund
--------------------- ------------------------
Number of Initial Number of Initial
Contracts Premiums Contracts Premiums
--------- ----------- --------- --------------
<S> <C> <C> <C> <C>
Outstanding at Beginning of
Period 37 $ 88,577 20 $ 9,189
Options Written 986 1,006,347 100 42,136
Options Terminated (916) ($998,391) (120) (51,325)
----- ----------- ------- --------------
Outstanding at End of Period 107 $ 96,533 0 $ 0
===== =========== ======= ==============
</TABLE>
35
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. NET ASSETS
At December 30, 1996
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
------------ ------------- ------------
<S> <C> <C> <C>
Paid-In-Capital $336,672,263 $ 414,614,771 $242,077,939
Undistributed Net Investment Income 4,029,381 5,299,570 0
Overdistribution of Net Investment
Income 0 (1,133)
Accumulated Net Realized Gain (Loss)
on Investments 16,357,941 (122,662,186) 932
Net Unrealized Appreciation
(Depreciation) on Investments,
Options and Futures Contracts 3,500,674 1,492,047 0
------------ ------------- ------------
Net Assets $360,560,259 $ 298,744,202 $242,077,738
============ ============= ============
</TABLE>
<TABLE>
<CAPTION>
U.S.
Over-the- Precious Government Juno
Counter Fund Metals Fund Bond Fund Fund
------------ ----------- ---------- -----------
<S> <C> <C> <C> <C>
Paid-In-Capital $160,455,631 $45,048,788 $4,377,154 $22,434,283
Undistributed Net
Investment Income 503,132 0 16,221 310,839
Accumulated Net Investment
Loss 0 (1,723) 0 0
Overdistribution of Net
Investment Income 0 0 0 0
Accumulated Net Realized
Gain (Loss) on
Investments (6,559,633) (17,692,608) (31,396) (5,192,927)
Net Unrealized
Appreciation
(Depreciation) on
Investments, Options and
Futures Contracts 20,054,023 1,250,292 (95,652) 245,027
------------ ----------- ---------- -----------
Net Assets $174,453,153 $28,604,749 $4,266,327 $17,797,222
============ =========== ========== ===========
</TABLE>
36
<PAGE>
The First Family of Funds
Designed for Professional
Money Managers
Nova Fund
Juno Fund
Ursa Fund
OTC Fund
Precious Metals Fund
U.S. Government Bond Fund
U.S. Government Money Market
RYDEX SERIES TRUST
6116 Executive Blvd., Suite 400
Rockville, MD 20852
(301) 468-8520 (800) 820-0888
[LOGO OF RYDEX APPEARS HERE]
SEMI-ANNUAL REPORT
DECEMBER 31, 1996
Nova Fund
Juno Fund
Ursa Fund
OTC Fund
Precious Metals Fund
U.S. Government Bond Fund
U.S. Government Money Market
<PAGE>
[RYDEX LOGO]
Institutional Money Market Fund
The First Family of Funds
Designed for Professional
Money Managers
SEMI-ANNUAL REPORT
DECEMBER 31, 1996
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
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Face Amount (Note 1)
----------- ------------
<S> <C> <C>
COMMERCIAL PAPER 30.5%
American Express Credit Corporation 5.34% due
1/02/97 $1,000,000 $ 1,000,000
Ford Motor Credit Company 5.46% due 1/02/97 1,000,000 1,000,000
General Electric Credit Corporation 5.32% due
1/10/97 1,000,000 998,818
General Motors Credit Corporation 5.34% due 1/13/97 1,000,000 998,368
-----------
Total Commercial Paper (Cost $3,997,186) 3,997,186
-----------
FEDERAL AGENCY DISCOUNT NOTES 68.7%
Federal Home Loan Mortgage Corporation 5.70% due
1/02/97 5,000,000 5,000,000
Federal Home Loan Mortgage Corporation 5.23% due
2/10/97 1,000,000 994,334
Federal National Mortgage Association 5.21% due
1/03/97 2,000,000 1,999,711
Federal National Mortgage Association 5.19% due
1/13/97 1,000,000 998,414
-----------
Total Federal Agency Discount Notes (cost
$8,992,459) 8,992,459
-----------
REPURCHASE AGREEMENT 0.8%
Repurchase Agreement collateralized by U.S.
Treasury Obligation
6.82% due 1/02/97 (Cost $100,000) 100,000 100,000
-----------
Total Investments (Cost $13,089,645) $13,089,645
===========
</TABLE>
See Notes to Financial Statements.
1
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
- -------------------------------------------------------------------------------
December 31, 1996
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Securities at Value (Note 1)--See Accompanying Schedules $ 13,089,645
Investment Income Receivable 756
Cash in Custodian Bank 66,469
Receivable for Shares Purchased 91,925,026
Prepaid Expenses 1,474
Other Assets 2,942
------------
Total Assets 105,086,312
------------
LIABILITIES
Liability for Shares Redeemed 5,477,940
Dividends Payable 12,941
Investment Advisory Fee Payable 18,683
Transfer Agent Fee Payable 6,794
------------
Total Liabilities 5,516,358
------------
NET ASSETS $ 99,569,954
============
Shares Outstanding 99,590,253
============
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
- --------------------------------------------------------------------------------
Period Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest $986,892
--------
Total Income 986,892
--------
EXPENSES
Advisory Fees (Note 4) 94,254
Distribution Fees 46,698
Transfer Agent Fees (Note 4) 37,157
Audit and Outside Services 2,552
Accounting Fees (Note 4) 12,332
Legal 13,749
Registration Fees 5,139
Custodian Fees 3,958
--------
Total Expenses 215,839
Custodian Fees Paid Indirectly (Note 5) (1,959)
--------
Net Expenses 213,880
--------
NET INVESTMENT INCOME 773,012
--------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on:
Investment Securities 503
--------
Total Net Realized Gain 503
Net Change in Unrealized Appreciation on Investments,
Options and Futures Contracts 0
--------
Net Gain on Investments 503
--------
Net Increase in Net Assets from Operations $773,515
========
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Period Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
FROM INVESTMENT ACTIVITIES
Net Investment Income $ 773,012
Net Realized Gain on Investments 503
Net Change in Unrealized Appreciation of Investments 0
-----------
Net Increase in Net Assets Resulting from Operations 773,515
-----------
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1) (793,311)
From Realized Gain on Investments (503)
Net Increase in Net Assets Resulting from Shares Transactions
(Note 6) 99,590,253
-----------
Net Increase in Net Assets 99,569,954
-----------
NET ASSETS--Beginning of Period 0
-----------
NET ASSETS--End of Period $99,569,954
===========
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Period Ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF PERIOD $ 1.00
-------
Net Investment Income .02
Net Realized and Unrealized Gains on Securities .00
-------
Net Increase in Net Asset Value Resulting from Operations .02
Dividends to Shareholders (.02)
Distributions to Shareholders From Net Realized Capital Gain .00
-------
Net Increase in Net Asset Value .00
-------
NET ASSET VALUE--END OF PERIOD $ 1.00
=======
TOTAL INVESTMENT RETURN** 4.11%
RATIOS TO AVERAGE NET ASSETS**
Expenses 1.06%
Net Investment Income 3.76%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0%
Net Assets, End of Period (000's omitted) $99,570
</TABLE>
* 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 eight
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 and the Institutional Money Market Fund.
The following significant accounting policies are in conformity with generally
accepted accounting principles and are consistently followed by the Trust in
the preparation of its financial statements.
A. Securities listed on an exchange are valued at the latest quoted sales
prices as of 4:00 P.M. on the valuation date. Securities not traded on an
exchange are valued at their last sales price. Listed options held by the
Trust are valued at their last bid price. Over-the-counter options held by the
Trust are valued using the average bid price obtained from one or more
security dealers. The value of futures contracts purchased and sold by the
Trust are accounted for using the unrealized gain or loss on the contracts
that is determined by marking the contracts to their current realized
settlement prices. Short term securities with less than sixty days to maturity
are valued at amortized cost, which approximates market. Security and assets
for which market quotations are not readily available are valued at fair value
as determined in good faith by or under direction of the Board of Trustees of
the Trust.
B. Securities transactions are recorded on the trade date (the date the order
to buy or sell is executed). Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is
recorded on the ex-dividend date. Interest income is accrued on a daily basis.
C. Net investment income is computed, and dividends are declared daily in the
U.S. Government Money Market Fund, the Institutional Money Market Fund and
U.S. Government Bond Fund. Income dividends in these funds are paid monthly.
Dividends are reinvested in additional shares unless shareholders request
payment in cash. Generally, short-term capital gains are distributed monthly
in the U.S. Government Money Market Fund and the Institutional Money Market
Fund.
D. When the Trust engages in a short sale, an amount equal to the proceeds
received by the Trust is reflected as an asset and an equivalent liability.
The amount of the liability is subsequently marked to market to reflect the
market value of the short sale. The Trust maintains a segregated account of
securities as collateral for the short sales. The Trust is exposed to market
risk based on the amount, if any, that the market value of the stock exceeds
the market value of the securities in the segregated account.
E. When the Trust writes (sells) an option, an amount equal to the premium
received is entered in the Trust's accounting records as an asset and
equivalent liability. The amount of the liability is subsequently
6
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
marked to market to reflect the current value of the option written. When an
option expires, or if the Trust enters into a closing purchase transaction,
the Trust realizes a gain (or loss if the cost of a closing purchase
transaction exceeds the premium received when the option was sold).
F. The Trust may purchase or sell stock index futures contracts and options on
such futures contracts. Futures contracts are contracts for delayed delivery
of securities at a specified future delivery date and at a specific price.
Upon entering into a contract, the Trust deposits and maintains as collateral
such initial margin as required by the exchange on which the transaction is
effected. Pursuant to the contract, the Trust agrees to receive from or pay to
the broker an amount of cash equal to the daily fluctuation in value of the
contract. Such receipts or payments are known as variation margin and are
recorded by the Trust as unrealized gains or losses. When the contract is
closed, the Trust records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed.
G. Futures contracts and written options involve to varying degrees, elements
of market risk and risks in excess of the amount recognized in the Statements
of Assets and Liabilities. The face or contract amounts reflect the extent of
the involvement each fund has in the particular classes of instruments. Risks
may be caused by an imperfect correlation between movements in the price of
the instruments and the price of the underlying securities.
H. The Trust intends to comply with the provisions of the Internal Revenue
Code applicable to regulated investment companies and will distribute all net
investment income to its shareholders. Therefore, no Federal income tax
provision is required.
I. Costs incurred by the Trust in connection with its organization and
registration have been deferred and are being amortized on the straight-line
method over a five year period beginning on the date on which the Trust
commenced its investment activities.
J. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
2. OPERATING POLICIES
The Trust, which includes eight separate funds, utilizes futures contracts,
options, and options on futures contracts in order to meet the specific
investment objectives of the individual funds.
7
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
The Nova Fund, which is designed to provide total returns over time that are
superior to the Standard and Poor's 500 Composite Stock Price Index ("S&P
500") invests primarily in futures on the S&P 500 index and options on those
futures in order to correlate its return with an amount approximately 150% of
the performance of the S&P 500. The Ursa Fund primarily sells futures
contracts and buys options on futures contracts in furtherance of its
investment objective to inversely correlate the S&P 500. The Precious Metals
Fund seeks capital appreciation. It buys primarily equity securities and
purchases call options and sells put options on the XAU Index. The Bond Fund
strives to provide income and capital appreciation. It purchases 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
correlate the total return of the NASDAQ Composite Index. The fund invests in
securities included in the NASDAQ Composite and buys call options and sells
put options on stock indexes. In addition, the Nova Fund, the Ursa Fund, the
OTC Fund, and the Precious Metals Fund 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.
3. REPURCHASE AGREEMENTS
The Trust transfers uninvested cash balances into a single joint account, the
daily aggregate balance of which is invested a repurchase agreement
collateralized by Federal agency obligations. As of December 31, 1996 the
repurchase agreement with Fuji Securities and Paine Webber, Inc. 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 Bond 6.25% $61,697,000 $61,470,323
United States Treasury Note 6.00%-6.25% $82,025,000 $83,651,616
</TABLE>
4. INVESTMENT ADVISORY AND TRANSFER AGENT SERVICES
Under the terms of an investment advisory contract, the Trust pays PADCO
Advisors, Inc. investment advisory fees calculated at an annual percentage
rate of fifty-five one hundredths of one percent (0.55%) of the net assets of
the Institutional Money Market Fund.
8
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
PADCO Service Company, Inc., a subsidiary of the investment advisor, provides
transfer agent service to the Trust at an annual rate of two-tenths of one
percent (0.20%) of the net assets of the Institutional Money Market Fund.
The Trust paid PADCO Advisors Inc. $12,332 in accounting fees for the six
month period ended December 31, 1996.
5. ACCOUNTING FOR EXPENSES
The increase in "Total Expenses," and the offsetting "Fees Paid Indirectly,"
reflect the amount that the funds would have paid for securities custodian
services in the absence of compensating balance arrangements. The value of
this compensating balance was $1,959 for the six month period ending December
31, 1996.
6. SHARE TRANSACTIONS
Transactions in shares for the year ended December 31, 1996 were:
<TABLE>
<S> <C>
Shares Purchased 937,186,144
Dividend Reinvestment 782,882
------------
Total Purchased 937,969,026
Shares Redeemed (838,378,773)
------------
Net Shares Purchased/(Redeemed) 99,590,253
============
</TABLE>
Transactions in dollars for the year ended December 31, 1996 were:
<TABLE>
<S> <C>
Shares Purchased $ 937,186,144
Purchased through Dividend Reinvestment 782,882
-------------
Total Purchased 937,969,026
Shares Redeemed (838,378,773)
-------------
Net Shares Purchased/(Redeemed) $ 99,590,253
=============
</TABLE>
9
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (concluded)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. NET ASSETS
At December 30, 1996
<TABLE>
<S> <C>
Paid-In-Capital $99,590,253
Overdistribution of Net Investment Income (20,299)
-----------
Net Assets $99,569,954
===========
</TABLE>
10
<PAGE>
The First Family of Funds
Designed 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
[RYDEX LOGO]
SEMI-ANNUAL REPORT
DECEMBER 31, 1996
Institutional Money Market Fund
