<PAGE>
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ANNUAL REPORT, MARCH 31, 1997
RYDEX SERIES TRUST
6116 Executive Boulevard, Suite 400
Rockville, MD 20852
[LOGO OF RYDEX APPEARS HERE] (301) 468-8520 (800) 820-0888
================================================================================
DEAR SHAREHOLDER:
It is a pleasure to report that the Rydex Series Trust enjoyed another
successful year by providing our shareholders with consistently managed funds.
Each Fund performed well within the parameters of their objectives during this
period of market volatility. In addition, the total assets under management
increased from $693 million as of June 30, 1996 to $1.28 billion at the end of
March 1997, an increase of nearly 85%.
This Annual Report covers the previous nine months as a result of a decision
to change the Rydex Series Trust's fiscal year end from June 30 to March 31. In
the following paragraphs, we will describe the U.S. economic environment over
the past nine months. In the final section (Fund Strategy and Performance), we
will focus more closely on each Rydex Fund's performance in relation to its
benchmark.
FISCAL YEAR IN REVIEW
Fear of the mere possibility of inflation dominated the U.S. financial
markets during the fiscal year ending March 31, 1997. A benign economy with
virtually no inflation in sight was no match for the economic apparitions that
swayed the equity and debt markets over the reporting period.
The Consumer Price Index (see CONSUMER PRICE INDEX
adjacent chart), which is a common
measure of inflation, illustrates that March 1990 to March 1997
in general, prices have remained
relatively subdued over the past six
years. Currently inflation is running [GRAPH APPEARS HERE]
at a restrained 2.8%. Improved
productivity, fueled by high
technology and competitive global
markets, has allowed the United States
to aim for faster growth without
triggering serious inflation. In
addition, the absence of any oil or
food shocks, federal budget
constraints, and falling trade
barriers are all factors that have
contributed to an economic environment
of steady growth and low inflation.
Source: Bloomberg Financial Markets
<PAGE>
In the third and fourth quarter of 1996, economic data revealed moderate
growth, low inflation, and a strong dollar, with a recession nowhere in sight.
The U.S. Government reported that the federal budget deficit for the fiscal
year ending September 1996, was the lowest since 1981, while the U.S. jobless
rate was half that of industrialized Europe. Despite Federal Reserve Chairman
Alan Greenspan's ominous comments to Congress regarding a stock market that may
be overcome by "irrational exuberance", the equity markets reached new highs
during the last half of 1996.
In February of 1997, Chairman Greenspan once again provided congressional
testimony that caused uneasiness in the world's financial markets. His remarks
indicated that even though U.S. economic prospects "in general are quite
favorable" and that Fed officials expect inflation to remain subdued, the Fed
may take preemptive action against an increased risk of inflation by raising
interest rates. Such a move, he warned, could have an adverse impact on
corporate profits, and thus on stock prices, which may have been supported by a
wave of "excessive optimism." In reaction to his comments, the financial
markets fluctuated wildly.
On March 13, 1997, the U.S. Government reported robust retail sales figures
that were interpreted as a harbinger of future inflation due to a more heated
economy. This report sent stock and bond prices lower. A week later, on March
20, 1997, Chairman Greenspan reported that the "evidence is quite clear that
the current low level of inflation, given the relative tightness of the
economy, is close to unprecedented." He added, "the state of inflation at this
particular stage is clearly under control." These comments were seemingly
nullified on March 24, 1997, when the Federal Reserve Open Market Committee,
led by the enigmatic Greenspan, met and decided to tighten money market
conditions slightly by raising the fed funds target by 1/4 percentage point.
The tightening was viewed by the Fed as a prudent step that would provide
greater assurance of maintaining the current economic expansion by sustaining
the existing low inflation environment. It is the Federal Reserve Board's
conviction that low inflation is essential to realizing the economy's greatest
growth potential.
Concerns of further interest rate hikes and future lackluster earnings
reports caused several more sell offs. The first quarter of 1997 ended with the
last two trading days on the Dow Jones suffering the worst losses since the
crash of 1987. The S&P 500, the NASDAQ 100, and the XAU Index also endured big
declines, while the yield of the 30-year Treasury bond continued it's upward
trend by closing the quarter at 7.1%.
Has the bull market finally come to an end or is this just a large correction
and buying opportunity? Are further rate hikes in store and could this be the
end of a six-year economic expansion? Will this market volatility continue?
These are some of the questions that market participants will be pondering in
the months to come.
2
<PAGE>
Fund Strategy and Performance
The Nova Fund
Benchmark: 150% of the performance of the S & P 500 Composite Stock Price Index
Inception: July 12, 1993
To achieve its objective, Nova invested primarily in S & P 500 futures
contracts and call options on S & P 500 futures contracts. Nova was able to
outperform the S & P 500 Index and perform consistent with its benchmark by
using its call options and futures contracts to maintain 150% exposure to the
market. The S&P 500 index was up 12.90% for the period ending March 31, 1997.
Three quarters of that rise was due to 100 of the largest companies in the
index. As the market dropped precipitously in the first quarter of 1997, the
large caps once again led the way with concerns that first quarter earnings
might come up short.
[GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return
------------
Fiscal Year ended Since Inception (7-12-93)
3-31-97 to 3-31-97
- --------------------------------------------------------------------
<S> <C> <C>
Nova Fund 15.69% 98.86%
Standard & Poor's 500
Stock Index 12.90% 68.63%
- --------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The S & P 500 Stock Index
is an unmanaged stock index and, unlike the Fund, has no management fees or
other operating expenses to reduce its reported return. Returns are historical
and include changes in principal and reinvested dividends and capital gains.
3
<PAGE>
The Ursa Fund
Benchmark: Inverse (opposite) of the S & P 500 Composite Stock Price Index
Inception: January 7, 1994
To achieve its objective, Ursa sold S & P 500 futures contracts and purchased
put options on S & P 500 futures contracts. The Ursa Fund posted a -6.74% total
return for the period as a result of its short position in the S & P 500 Index.
This compared to a 12.90% return for the S & P 500. Ursa out-performed its
benchmark since it is able to earn interest on cash balances which it is
required to keep in order to cover its short positions.
[GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return
------------
Fiscal Year ended Since Inception (1-7-94)
3-31-97 to 3-31-97
- -------------------------------------------------------------------------------
<S> <C> <C>
Ursa Fund -6.74% -27.46%
Standard & Poor's 500 Stock Index 12.90% 61.12%
- -------------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The S & P 500 Stock Index
is an unmanaged stock index and, unlike the Fund, has no management fees or
other operating expenses to reduce its reported return. Returns are historical
and include changes in principal and reinvested dividends and capital gains.
4
<PAGE>
The Rydex OTC Fund
Benchmark: NASDAQ 100 Index (NDX)
Inception: February 14, 1994
Over-the-counter securities continued to perform well during the latest
fiscal year. The NASDAQ Composite Index, which represents the universe of all
OTC securities, was up 3.10% during the period. Although the technology laden
NASDAQ has declined in recent months, it still remains ahead of the Dow and
the S&P 500 when measured over the last ten years. The Fund performed in step
with the NASDAQ 100 by closely matching its investments to that of the index.
Generally, the Fund owned approximately eighty stocks representing roughly 95%
of the capitalization of the index.
[GRAPH APPEARS HERE]
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return
------------
Fiscal Year ended Since Inception (2-14-94)
3-31-97 to 3-31-97
- ---------------------------------------------------------------------
<S> <C> <C>
OTC Fund 18.58% 95.69%
NASDAQ 100 Index 17.68% 96.75%
NASDAQ Composite Index 3.10% 55.54%
- ---------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The NASDAQ Composite Index
and the NASDAQ 100 Index are unmanaged stock indices and, unlike the Fund,
have no management fees or other operating expenses to reduce their reported
returns. Returns are historical and include changes in principal and
reinvested dividends and capital gains.
5
<PAGE>
The Rydex Precious Metals Fund
Benchmark: Philadelphia Stock Exchange Gold/Silver Index (XAU)
Inception: December 1, 1993
Gold prices fell to as low as $340 per ounce in recent weeks, down from a
high of $415 in early 1996. Recent negative factors include low inflation, a
strong dollar and fears of more gold sales by European Central Banks. The XAU
Index, which is comprised of mainly North American gold and silver mining and
production companies, had a distressed year. From June 28, 1996 to March 31,
1997, the XAU fell from 123.76 to 104.12 or 15.87%. The Rydex Precious Metals
Fund mimicked the performance of the XAU Index during the period due to a
similar weighting of stocks held by the fund as in the index.
[GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return
------------
Fiscal Year Since Inception (12-1-93)
ended 3-31-97 to 3-31-97
- ----------------------------------------------------------------------------
<S> <C> <C>
Precious Metals Fund -15.58% -22.95%
Philadelphia Stock Exchange
Gold/Silver Index -15.87% -13.85%
Standard & Poor's 500 Stock Index 12.90% 63.92%
- ----------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The S & P 500 Index and the
PSE Gold/Silver Index are unmanaged stock indexes and, unlike the Fund, have no
management fees or other operating expenses to reduce their reported returns.
Returns are historical and include changes in principal and reinvested
dividends and capital gains.
6
<PAGE>
The Rydex U. S. Government Bond Fund
Benchmark: 120% of the price movement of current Long Treasury Bond
Inception: January 3, 1994
The yield on the 30-year Treasury Bond for the nine months ending March 31,
1997 rose from 6.9% to 7.1% causing bond prices to fall. As a result of the
Fund's investment in the 30-year Bond, the Fund ended the period with a total
return of -.35%. In addition to purchasing Treasuries, the Fund purchased call
options on Treasury Bond futures to increase its exposure to 120% of the price
movement of the Treasury Bond.
[GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return
------------
Fiscal Year Since Inception (1-3-94)
ended 3-31-97 to 3-31-97
- ----------------------------------------------------------------------------
<S> <C> <C>
U.S. Government Bond Fund -0.35% -2.09%
Price movement of 30 year Treasury
Bond -4.49% -13.78%
Lehman Brothers Long T-Bond Index 2.88% 17.76%
- ----------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The Lehman Brothers Long T-
Bond Index is an unmanaged bond index and, unlike the Fund, has no management
fees or other operating expenses to reduce its reported return. Returns are
historical and include changes in principal and reinvested dividends and
capital gains. The Price movement of the 30-year Treasury Bond represents a
cumulative percentage change in its closing price.
7
<PAGE>
The Juno Fund
Benchmark: Inverse (opposite) of the price movement of current Long Treasury
Bond
Inception: March 3, 1995
To achieve its objective, Juno attempts to approximate a 100% short position
in the Long Treasury Bond. During the fiscal year, the Fund sold Treasury Bond
Futures and bought puts on the Treasury Bond Futures traded on the Chicago
Board of Trade. Generally, the Treasury Bond Futures will have a high
correlation to the 30-year Treasury Bond. For the fiscal year, the price
movement on the 30-year Treasury Bond was down 4.49%, while Juno was up 2.81%.
Juno's under-performance was due to the fact that the bond futures did not
decline as much as the cash bond during the period.
[GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return
------------
Fiscal Year Since Inception (3-3-95)
ended 3-31-97 to 3-31-97
- -----------------------------------------------------------------------------
<S> <C> <C>
The Juno Fund 2.81% -2.64%
Price movement of 30 year Treasury
Bond -4.49% 1.27%
Lehman Brothers Long T-Bond Index 2.88% 20.07%
- -----------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The Lehman Brothers Long T-
Bond Index is an unmanaged bond index and, unlike the Fund, has no management
fees or other operating expenses to reduce its reported return. The Price
movement of the 30-year Treasury Bond represents a cumulative percentage change
in its closing price. Returns are historical and include changes in principal
and reinvested dividends and capital gains.
8
<PAGE>
The High Yield Fund
Benchmark: Merrill Lynch High Yield Master Index
Inception: January 3, 1997
To achieve its objective, the fund attempts to provide investment returns
that correspond to the Merrill Lynch High Yield Master Index. The fund invested
primarily in below investment grade corporate bonds, commonly known as "junk
bonds." Despite a rise in interest rates, the high yield market remains strong
as evidenced by default rates that have declined to only 1.5% in 1996. Since
the inception of the Fund, the slight decline in high yield bond prices has
been offset by the higher coupon interest paid by the issuers of the debt.
[GRAPH APPEARS HERE]
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Total Return
------------
Fiscal Year ended Since Inception (1-3-97)
3-31-97 to 3-31-97
- -----------------------------------------------------------------------------
<S> <C> <C>
High Yield Fund -0.03% -0.03%
Merrill Lynch High Yield Master
Index 1.22% 1.22%
- -----------------------------------------------------------------------------
</TABLE>
Past performance is no guarantee of future results. The Merrill Lynch High
Yield Master Index is an unmanaged bond index and, unlike the Fund, has no
management fees or other operating expenses to reduce its reported return.
Returns are historical and include changes in principal and reinvested
dividends and capital gains.
9
<PAGE>
THE RYDEX U. S. GOVERNMENT MONEY MARKET FUND
The objective of the Rydex U. S. Government Money Market Fund is to provide
security of principal, high current income, and liquidity. To meet its
objective, the Fund invested in U. S. Government money market instruments,
keeping the Fund's average maturity to a minimum. The low average maturity
allowed the Fund to accommodate high turnover while participating in increases
in short term interest rates. For the fiscal year, the U. S. Government Money
Market Fund posted an average annual total return of 4.39%.
During the fiscal year ended March 31, 1997, shareholders redeemed
$3,597,262,046 from the Nova Fund. A portion of those proceeds received by
shareholders represent capital gain distributions in the amount of $10,923,030.
In addition, on December 4, 1996, the Nova and OTC Funds paid long-term capital
gain distributions of $6,012,731 and $57,883 respectively, to shareholders of
record on December 3, 1996. Finally, of the distributions paid by the U.S.
Government Bond Fund during the months of January, February, and March 1997,
$34,993 represent long-term capital gain distributions. This notification is to
meet certain IRS requirements.
IN SUMMARY
Fiscal Year 1997 provided an eventful and at times volatile market
environment for our shareholders. We are pleased with each Fund's performance
in light of this market volatility. In the upcoming years, Rydex will seek to
develop and implement more innovative products catering to the needs of
professional money managers and their clients. As always, if you need
information about our Funds or have questions, call us at (800) 820-0888 or
(301) 468-8520.
Sincerely,
/s/ A. P. Viragh
Albert P. (Skip) Viragh
Chairman of the Board
10
<PAGE>
RYDEX SERIES TRUST
NOVA
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ------------
<S> <C> <C>
OPTIONS PURCHASED 61.5%
Call Options on:
S&P 500 Index Expiring May 1997 at 300 2,000 $ 91,482,000
S&P 500 Index Expiring June 1997 at 300 1,000 45,754,000
S&P 500 Index Expiring July 1997 at 300 1,145 52,418,100
S&P 500 Index Expiring July 1997 at 300 1,000 45,786,000
S&P 500 Futures Contracts Expiring June 1997 at 600 434 34,405,350
------------
Total Call Options (Cost $286,782,349) 269,845,450
------------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 37.4%
U.S. Treasury Bill 4.975% 4/03/97 $50,000,000 49,986,181
U.S. Treasury Bill 4.98% 4/17/97 15,000,000 14,966,800
U.S. Treasury Bill 5.22% 5/08/97 50,000,000 49,731,750
U.S. Treasury Bill 5.20% 6/26/97 50,000,000 49,378,889
------------
Total U.S. Treasury Obligations (Cost $164,063,620) 164,063,620
------------
REPURCHASE AGREEMENT 1.1%
Repurchase Agreement collateralized by U.S. Treasury
Obligations--6.25% 4/01/97 (Note 3) 4,900,000 4,900,000
------------
Total Investments 100% (Cost $455,745,969) $438,809,070
============
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
11
<PAGE>
RYDEX SERIES TRUST
NOVA
SCHEDULE OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Unrealized Loss
Contracts (Note 1)
--------- ---------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
S&P 500 Futures Contracts Expiring June 1997
(Underlying Face Amount at Market Value
$23,498,000) 62 $ (381,814)
============
<CAPTION>
Market
Value
(Note 1)
---------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Call Options on:
S&P Index Expiring May 1997 at 315 2,000 88,506,000
S&P Index Expiring June 1997 at 315 1,000 44,270,000
S&P Index Expiring July 1997 at 315 1,000 44,318,000
------------
Total Call Options (Proceeds $184,676,444) $177,094,000
============
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
RYDEX SERIES TRUST
URSA
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ------------
<S> <C> <C>
OPTIONS PURCHASED 66.0%
Put Options on:
S&P 500 Futures Contract Expiring June 1997 at 1000 100 $ 12,100,000
S&P 500 Futures Contract Expiring June 1997 at 1200 50 11,050,000
------------
Total Put Options (Cost $19,176,366) 23,150,000
------------
Call Options on:
S&P 500 Index Expiring April 1997 at 300 8000 365,792,000
S&P 500 Index Expiring May 1997 at 300 2000 91,482,000
S&P 500 Index Expiring June 1997 at 300 7000 320,338,000
S&P 500 Index Expiring July 1997 at 300 3000 137,358,000
------------
Total Call Options (Cost $930,533,500) 914,970,000
------------
Total Options Purchased (Cost $949,709,866) 938,120,000
------------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 26.8%
U.S. Treasury Bill 5.225% 4/17/97 $40,000,000 39,907,111
U.S. Treasury Bill 5.315% 4/17/97 40,000,000 39,905,511
U.S. Treasury Bill 5.275% 4/17/97 25,000,000 24,941,389
U.S. Treasury Bill 4.99% 5/08/97 3,000,000 2,984,614
U.S. Treasury Bill 4.965% 5/22/97 50,000,000 49,648,312
U.S. Treasury Bill 5.01% 5/29/97 100,000,000 99,192,833
U.S. Treasury Bill 5.19% 6/12/97 75,000,000 74,221,500
U.S. Treasury Bill 5.20% 6/26/97 50,000,000 49,378,889
------------
Total U.S. Treasury Obligations (Cost $380,180,159) $380,180,159
------------
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
RYDEX SERIES TRUST
URSA
SCHEDULE OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount
------------
<S> <C> <C>
REPURCHASE AGREEMENT 7.2%
Repurchase Agreement Collateralized by U.S.
Treasury Obligations--6.25% 4/01/97 (Note 3) $102,900,000 $ 102,900,000
--------------
Total Investments 100% (Cost $1,432,790,025) $1,421,200,159
==============
- ---------------------------------------------------------------------------
<CAPTION>
Unrealized Gain
Contracts (Note 1)
--------- ---------------
<S> <C> <C>
FUTURES CONTRACTS SOLD
S&P 500 Futures Contract Expiring June 1997
(Underlying Face Amount at Market Value
$516,198,000) 1362 $ 24,429,462
==============
<CAPTION>
Market
Value
Contracts (Note 1)
--------- ---------------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Call Options on:
S&P 500 Index Expiring April 1997 at 320 8,000 $ 349,848,000
S&P 500 Index Expiring May 1997 at 315 2,000 88,506,000
S&P 500 Index Expiring June 1997 at 315 7,000 309,978,000
S&P 500 Index Expiring July 1997 at 315 3,000 132,954,000
--------------
Total Call Options Written (Proceeds
$897,128,294) $ 881,286,000
==============
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT MONEY MARKET
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note 1)
----------- ------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 76.1%
Federal Farm Credit Administration 5.22% 4/08/97 $ 5,000,000 $ 4,994,925
Federal Farm Credit Administration 5.24% 4/15/97 10,000,000 9,979,622
Federal Farm Credit Administration 5.24% 4/18/97 7,000,000 6,982,679
Federal Farm Credit Administration 5.21% 4/24/97 10,000,000 9,966,714
Federal Farm Credit Administration 5.57% 5/21/97
Floating Rate 10,000,000 9,999,224
Federal Farm Credit Administration 5.25% 5/30/97 10,000,000 9,913,958
Federal Home Loan Mortgage Corp. 6.45% 4/01/97 20,000,000 20,000,000
Federal Home Loan Mortgage Corp. 5.23% 4/04/97 10,000,000 9,995,642
Federal Home Loan Mortgage Corp. 5.23% 4/10/97 10,000,000 9,986,925
Federal Home Loan Mortgage Corp. 5.36% 4/18/97 10,000,000 9,974,689
Federal Home Loan Mortgage Corp. 5.28% 5/02/97 10,000,000 9,954,533
Federal Home Loan Mortgage Corp. 5.24% 5/12/97 10,000,000 9,940,322
Federal Home Loan Mortgage Corp. 5.30% 6/04/97 10,000,000 9,905,778
Federal Home Loan Mortgage Corp. 5.27% 6/06/97 10,000,000 9,903,383
Federal National Mortgage Assoc. 5.24% 4/09/97 10,000,000 9,988,356
Federal National Mortgage Assoc. 5.23% 5/21/97 10,000,000 9,927,361
Federal National Mortgage Assoc. 5.24% 5/29/97 10,000,000 9,915,578
------------
Total Federal Agency Discount Notes (Cost
$171,329,689) 171,329,689
------------
REPURCHASE AGREEMENT 23.9%
Repurchase Agreement Collateralized by U.S. Treasury
Obligations--
6.25% 4/01/97 (Note 3) 53,700,000 53,700,000
------------
Total Investments 100% (Cost $225,029,689) $225,029,689
============
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------ -----------
<S> <C> <C>
COMMON STOCKS 57.0%
Intel Corp. 68,377 $ 9,512,950
Microsoft Corp.* 99,990 9,167,833
Cisco Systems, Inc.* 57,641 2,773,973
Oracle Corp.* 55,046 2,122,692
MCI Communications, Corp. 47,710 1,699,669
Worldcom, Inc.* 76,715 1,687,730
Amgen, Inc.* 22,244 1,242,884
Dell Computer Corp.* 14,974 1,012,617
Sun Microsystems, Inc. * 31,786 917,821
Applied Materials, Inc.* 15,680 727,160
Tele-Communications, Inc. 50,679 608,148
Tellabs, Inc.* 16,386 591,944
Ascend Communications, Inc.* 12,572 512,309
Republic Industries, Inc.* 14,537 504,252
Parametric Technology Corp.* 11,136 502,512
3Com Corp.* 15,115 495,016
Costco, Companies, Inc.* 15,995 441,862
U.S. Robotics Corp.* 7,543 417,694
BMC Software, Inc.* 8,495 391,832
Oxford Health Plans, Inc.* 6,420 376,373
HBO & Company 7,894 374,965
Peoplesoft, Inc.* 8,853 354,120
Adaptec, Inc.* 9,462 338,267
Gateway 2000, Inc.* 6,439 329,999
Qualcomm, Inc.* 5,828 328,554
Altera Corp* 7,586 326,198
ADC Telecommunications Inc.* 11,314 304,064
Xilinx, Inc.* 6,042 294,548
Northwest Airline Corp.* 7,629 287,041
Novell, Inc.* 30,073 285,694
Linear Technology Corp. 6,356 281,253
Staples, Inc.* 13,968 281,106
Comcast Corp. Special Class A 16,483 278,151
Chiron Corp.* 14,175 264,009
Sigma Aldrich Corp. 8,142 251,384
Adobe Systems, Inc. 6,246 250,621
Nordstrom, Inc. 6,348 240,431
Nextel Communications, Inc.* 17,624 235,721
Paychex, Inc. 5,680 233,590
</TABLE>
* Non-Income Producing Securities
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Market
Value
Shares (Note 1)
------ -----------
<S> <C> <C>
Biogen, Inc.* 6,163 $ 230,342
Compuware Corp.* 3,517 220,692
PACCAR, Inc. 3,280 218,940
DSC Communications Corp.* 10,327 216,222
Cascade Communications, Corp.* 7,940 209,418
Cintas Corp. 3,834 202,244
Stryker Corp. 8,068 200,692
Atmel Corp.* 8,359 200,094
Starbucks Corporation* 6,729 199,347
Fort Howard, Corp.* 6,235 194,064
Centocor, Inc.* 6,273 191,327
Informix Corp.* 12,468 188,579
Tyson Foods, Inc. 9,670 187,356
American Greetings, Corp. 5,791 184,950
McAfee Associates, Inc.* 4,077 180,407
Electronics for Imaging, Inc.* 4,493 179,158
American Power Conversion Corp.* 8,237 178,125
Apple Computer, Inc.* 9,236 168,557
Boston Chicken Inc.* 5,421 165,341
Biomet, Inc. 9,326 157,376
KLA Instruments, Corp.* 4,292 156,658
Worthington Industries, Inc 7,642 146,153
Genzyme Corp.* 6,356 143,010
General Nutrition Companies, Inc.* 6,963 141,001
Viking Office Products, Inc.* 7,207 139,636
McCormick & Co., Inc. 5,580 136,710
FORE Systems, Inc.* 8,949 134,235
Cracker Barrel Old Country Store, Inc. 5,065 132,323
Autodesk, Inc. 3,810 118,100
Electronics Arts, Inc.* 4,406 117,310
Fastenal Comp. 3,233 113,155
Healthcare COMPARE Corp.* 2,760 112,125
Intuit, Inc.* 3,853 89,582
Sybase, Inc.* 6,116 85,624
Adtran, Inc.* 3,222 80,550
Paging Network, Inc.* 8,444 68,608
Cirrus Logic, Inc.* 5,443 65,996
Glenayre Tech., Inc.* 5,251 51,854
-----------
Total Common Stocks (Cost $40,137,044) $47,152,848
-----------
</TABLE>
16
<PAGE>
RYDEX SERIES TRUST
OVER-THE-COUNTER
SCHEDULE OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED .0%
Call Option on:
NASDAQ 100 Expiring April 1997 at 900
(Cost $6,324) 31 $ 2,325
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 29.9%
U.S. Treasury Bill 5.19% 6/12/97 (Cost $24,740,500) $25,000,000 24,740,500
-----------
REPURCHASE AGREEMENT 13.1%
Repurchase Agreement Collateralized by U.S. Treasury
Obligations--6.25% 4/01/97 (Note 3) 10,800,000 10,800,000
-----------
Total Investments 100% (Cost $75,683,868) $82,695,673
===========
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
--------- --------
<S> <C> <C>
WRITTEN OPTIONS CONTRACTS
Put Options On:
NASDAQ 100 Expiring April 1997 at 900 (Proceeds $203,450) 31 $308,450
========
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Shares (Note1)
------- -----------
<S> <C> <C>
COMMON STOCKS 82.7%
Mining and Precious Metals Stocks
Barrick Gold Corp. 314,573 $ 7,471,109
Placer Dome, Inc. 210,354 3,812,666
Newmont Mining Corp. 87,261 3,381,373
Homestake Mining Co. 128,528 1,943,986
Santa Fe Pacific Gold Corp. 115,171 1,900,321
Battle Mountain Gold Co., Class A 197,094 1,305,748
TVX Gold, Inc.* 140,582 1,001,647
Echo Bay Mines, Ltd. 122,126 809,085
Getchell Gold Corp* 11,106 451,181
Pegasus Gold, Inc.* 36,018 292,646
ASA Limited 8,292 280,892
Hecla Mining Co.* 44,144 259,346
Agnico Eagle Mines, Ltd. 14,496 164,892
Trizec Hahn Corp. 6,443 144,162
Kinross Gold Corp.* 8,700 58,725
Freeport McMoran, Inc., Class A 1,887 55,431
Engelhard Corp. 2,438 51,198
Newmont Gold Corp. 1,100 44,137
Cambior, Inc. 2,908 39,258
Amax Gold, Inc.* 4,324 29,187
Anglo American Gold Investment Co., Ltd. 3,470 24,724
-----------
Total Common Stocks (Cost $23,784,737) $23,521,714
-----------
</TABLE>
* Non-Income Producing Securities
See Notes to Financial Statements.
18
<PAGE>
RYDEX SERIES TRUST
PRECIOUS METALS FUND
SCHEDULE OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- -----------
<S> <C> <C>
OPTIONS PURCHASED 0.1%
Call Option on:
XAU Index Expiring April 1997 at 90 (Cost $40,310) 20 $ 28,500
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 17.2%
Repurchase Agreement collateralized by U.S. Treasury
Obligations--6.25 4/01/97 (Note 3) $4,900,000 4,900,000
-----------
Total Investments 100% (Cost $28,725,047) $28,450,214
===========
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Face Amount (Note 1)
----------- ----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 89.2%
U.S. Treasury Bond 6.625% due 02/15/2027 (Cost
$3,061,901) $3,205,000 $3,017,708
----------
<CAPTION>
Contracts
-----------
<S> <C> <C>
OPTIONS PURCHASED 2.0%
Call Options On:
U.S Treasury Bond Futures Contract Expiring June 1997
at 100
(Cost $78,271) 9 65,109
----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
REPURCHASE AGREEMENT 8.8%
Repurchase Agreement collateralized by U.S. Treasury
Obligations--6.250% due 4/01/97 (Note 3) $ 300,000 300,000
----------
Total Investments 100% (Cost $3,440,172) $3,382,817
==========
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
RYDEX SERIES TRUST
JUNO
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Value
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
OPTIONS PURCHASED 0.8 %
Put Options on:
U.S. Treasury Bond Futures Contracts Expiring June
1997 at 130 (Cost $181,380) 10 $ 227,812
-----------
<CAPTION>
Face Amount
-----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 84.8%
U.S. Treasury Bill 5.20% 6/19/97 (Cost $24,714,722) $25,000,000 24,714,722
-----------
REPURCHASE AGREEMENT 14.4%
Repurchase Agreement collateralized by U.S. Trea-
sury Obligations--6.25% 4/01/97 (Note 3) 4,200,000 4,200,000
-----------
Total Investments 100% (Cost $29,096,102) $29,142,534
===========
- --------------------------------------------------------------------------------
<CAPTION>
Unrealized Gain
Contracts (Note 1)
----------- ---------------
<S> <C> <C>
FUTURES CONTRACTS SOLD
U.S. Treasury Bond Futures Contract Expiring June
1997 (Underlying Face Amount at Market Value
$27,876,875) 260 $ 652,603
===========
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
RYDEX SERIES TRUST
HIGH YIELD FUND
SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note1)
-------- -----------
<S> <C> <C>
NON-CONVERTIBLE CORPORATE BONDS 98.9%
Toll Corporation 8.75% due 11/15/2006 $500,000 $ 515,000
Rogers Cablesystems, LTD 10.0% due 3/15/2005 475,000 491,625
Telefonica De Argentina SA 11.875% due 11/01/2004 400,000 452,000
Hovnanian K Enterprise 11.25% due 4/15/2002 425,000 444,125
AMF Group, Inc. 10.875% due 3/15/2006 400,000 424,000
Healthsouth Rehabilitation Corporation 9.50% due
4/01/2001 400,000 418,000
U.S. Air, Inc. 10.0% due 7/01/2003 400,000 403,500
Jones Intercable, Inc. 10.50% due 3/01/2008 350,000 379,750
Westminister Resources, LTD. 11.0% due 3/15/2007 350,000 346,500
Grupo Televisa, S.A. 11.875% due 5/15/2006 300,000 321,000
Smiths Food and Drug Centers 11.25% due 5/15/2007 275,000 301,125
Dominick's Finer Foods, Inc. 10.875% due 5/01/2005 275,000 295,625
Titan Wheel International, Inc. 8.75% due 4/01/2007 300,000 295,500
Northwest Airlines Corporation 8.70% due 3/15/2007 300,000 295,125
Hollinger International Publishing, Inc. 8.625% due
3/15/2005 300,000 291,000
Grand Union Company 12.0% due 9/01/2004 275,000 270,188
Rohr, Inc. 11.625% due 5/15/2003 250,000 268,750
YPF, SA Sociedad Anomina 8.0% due 2/15/2004 275,000 264,000
Brown Group, Inc. 9.50% due 10/15/2006 250,000 257,500
Borg-Warner Security CP 9.625% due 3/15/2007* 250,000 245,000
BankUnited Capital Trust 10.25% due 12/31/2026* 250,000 244,375
Century Communications 9.75% due 2/15/2002 200,000 201,000
Grand Casinos, Inc. 10.125% due 12/01/2003 200,000 196,500
Cliffs Drilling Company 10.25% due 5/15/2003 150,000 154,500
Chesapeake Energy Corporation 8.50% due 3/15/2012* 150,000 141,750
Kaufman and Broad Home Corporation 9.375% due 5/01/2003 140,000 140,700
Allbrighton Communications, Co. 9.75% due 11/30/2007 150,000 139,500
ACME Metals, Inc. 12.50% due 8/1/2002 125,000 132,500
Westpoint Stevens, Inc. 9.375% due 12/15/2005 130,000 130,000
Lenfest Communications, Inc. 8.375% due 11/01/2005 125,000 113,750
</TABLE>
* Issued Under Rule 144A.
See Notes to Financial Statements.
22
<PAGE>
RYDEX SERIES TRUST
HIGH YIELD FUND
SCHEDULE OF INVESTMENTS (continued)
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Face Value
Amount (Note1)
-------- -----------
<S> <C> <C>
NON-CONVERTIBLE CORPORATE BONDS (CONTINUED)
NL Industries, Inc. 11.75% due 10/15/2003 $100,000 $ 105,000
Noble Drilling Corporation 9.125% due 7/01/2006 100,000 105,000
American Standard 9.875% due 6/01/2001 100,000 104,000
Motors and Gears, Inc. 10.75% due 11/15/2006* 100,000 102,500
Comcast Corporation 9.375% due 5/15/2005 100,000 100,000
Weirton Steel Corporation 10.75% due 6/01/2005 100,000 100,000
Wilshire Financial Services Group, Inc. 13.0% due
1/01/2004 100,000 100,000
360 Communications Company 7.125% due 3/01/2003 100,000 97,636
Cleveland Electric Illuminating 7.375% due 6/01/2003 100,000 97,011
Transportacion Maritima Mex-Sp 10.0% due 11/15/2006 100,000 96,000
Dotmar, Inc. 9.50% due 8/01/2016 75,000 76,500
Fort Howard Corporation 8.25% due 2/01/2002 75,000 74,625
United Airlines, Inc. 9.75% due 8/15/2021 50,000 57,296
Dime Bancorp, Inc. 10.50% due 11/15/2005 50,000 53,750
Chiquita Brands International, Inc. 9.625% due 1/15/2004 50,000 50,750
Digital Equipment Corporation 8.625% due 11/01/2012 50,000 49,162
Cablevision Systems Corporation 9.875% due 5/15/2006 50,000 49,000
Tenet Healthcare Corporation 8.625% due 1/15/2007 50,000 48,750
Paging Network 8.875% due 2/01/2006 50,000 42,500
Gulf Canada Resources, LTD. 9.25% due 1/15/2004 25,000 25,750
Falcon Drilling Company 8.875% due 3/15/2003 25,000 25,250
Rogers Cantel, Inc. 9.375% due 6/01/2008 25,000 25,250
Exide Corporation 10.0% due 4/15/2005 25,000 25,000
-----------
Total Non Convertible Corporate Bonds (Cost $10,394,343) 10,184,618
-----------
<CAPTION>
Shares
--------
<S> <C> <C>
COMMON STOCKS 1.1%
Colonial Downs Holdings--CL A
Total Common Stocks (Cost $142,500) 15,000 110,625
-----------
Total Investments 100% (Cost $10,536,843) $10,295,243
===========
</TABLE>
* Issued Under Rule 144A.
See Notes to Financial Statements.
23
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 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 $ 438,809,070 $1,421,200,159 $225,029,689
Receivable for Securities Sold 3,587,090 0 0
Receivable for Futures Contracts
Settlement 0 10,824,067 0
Premium Receivable for Written
Options 45,628,379 136,885,137 0
Investment Income Receivable 851 17,865 66,655
Cash in Custodian Bank 1,534,564 1,585,341 0
Cash on Deposit with Broker 0 4,902,000 0
Receivable for Shares Purchased 6,414,030 50,065,095 71,949,632
Unamortized Organization Costs (Note
1) 44,593 29,002 15,670
Other Assets 35,164 31,632 19,387
------------- -------------- ------------
Total Assets 496,053,741 1,625,540,298 297,081,033
------------- -------------- ------------
LIABILITIES
Payable for Securities Purchased 47,101,100 141,303,300 0
Payable for Futures Contracts
Settlement 3,015,926 0 0
Written Options at Market Value 177,094,000 881,286,000 0
Payable for Shares Redeemed 86,606,344 20,312,982 13,193,742
Dividends Payable 0 0 66,402
Investment Advisory Fee Payable 213,155 256,299 89,755
Cash Balance Due at Custodian Bank 0 0 120,312
Transfer Agent Fee Payable 72,850 71,194 41,318
Other Liabilities 20,668 23,011 16,678
------------- -------------- ------------
Total Liabilities 314,124,043 1,043,252,786 13,528,207
------------- -------------- ------------
NET ASSETS $ 181,929,698 $ 582,287,512 $283,552,826
============= ============== ============
Shares Outstanding 10,168,541 82,961,214 283,553,279
============= ============== ============
Net Asset Value Per Share $17.89 $7.02 $1.00
====== ===== =====
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 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 $ 82,695,673 $28,450,214 $3,382,817 $29,142,534 $10,295,243
Receivable for
Securities Sold 54,285,578 6,608,531 0 0 1,688,127
Receivable for Futures
Contracts Settlement 0 0 0 44,147 0
Receivable from Advisor 0 0 9,821 0 9,018
Investment Income
Receivable 7,123 1,468 26,447 729 254,219
Cash in Custodian Bank 85,640 34,673 62,691 96,558 28,835
Cash on Deposit with
Broker 1,077,095 161,191 0 763,746 0
Receivable for Shares
Purchased 2,936,807 1,601,832 1,313,622 2,771,542 0
Unamortized
Organization Costs
(Note 1) 8,650 11,975 7,275 19,780 41,605
Other Assets 13,579 1,146 1,080 1,893 775
------------ ----------- ---------- ----------- -----------
Total Assets 141,110,145 36,871,030 4,803,753 32,840,929 12,317,822
------------ ----------- ---------- ----------- -----------
LIABILITIES
Payable for Securities
Purchased 26,999,194 797,298 451,154 0 54,499
Written Options at
Market Value 308,450 0 0 0 0
Payable for Shares
Redeemed 61,403,277 12,363,693 886,088 225,459 1,683,290
Dividends Payable 0 0 133,739 0 2,812
Investment Advisory Fee
Payable 60,885 10,175 4,232 21,625 0
Transfer Agent Fee
Payable 17,412 4,645 1,694 6,007 1,458
Organization Expense
Payable to Advisor 0 0 0 0 43,795
Other Liabilities 42,729 15,080 25,194 10,573 14,297
------------ ----------- ---------- ----------- -----------
Total Liabilities 88,831,947 13,190,891 1,502,101 263,664 1,800,151
------------ ----------- ---------- ----------- -----------
NET ASSETS $ 52,278,198 $23,680,139 $3,301,652 $32,577,265 $10,517,671
============ =========== ========== =========== ===========
Shares Outstanding 2,916,375 3,099,090 387,336 3,362,339 1,071,787
============ =========== ========== =========== ===========
Net Asset Value Per
Share $17.93 $7.64 $8.52 $9.69 $9.81
====== ===== ===== ===== =====
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Period Ended March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
------------ ------------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest $ 9,349,185 $ 10,454,328 $7,080,216
------------ ------------- ----------
Total Income 9,349,185 10,454,328 7,080,216
------------ ------------- ----------
EXPENSES
Advisory Fees (Note 4) 1,812,740 2,070,135 671,957
Transfer Agent Fees (Note 4) 606,411 575,038 268,855
Audit and Outside Services 74,791 71,771 44,813
Accounting Fees (Note 4) 80,757 78,563 60,841
Legal 93,036 109,715 64,866
Organizational Expenses 26,167 12,415 6,664
Registration Fees 38,662 46,120 40,026
Custodian Fees 58,097 57,786 7,343
Miscellaneous 86,250 114,097 74,815
------------ ------------- ----------
Total Expenses 2,876,911 3,135,640 1,240,180
Custodian Fees Paid Indirectly (Note
5) 54,497 54,099 3,537
------------ ------------- ----------
Net Expenses 2,822,414 3,081,541 1,236,643
------------ ------------- ----------
Net Investment Income 6,526,771 7,372,787 5,843,573
------------ ------------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities 51,932,123 185,394,425 0
Written Options (28,858,102) (189,862,783) 0
Futures Contracts 16,491,572 (63,032,110) 0
------------ ------------- ----------
Total Net Realized Gain (Loss) 39,565,593 (67,500,468) 0
Net Change in Unrealized Appreciation
(Depreciation)
On Investments, Options and Futures
Contracts (12,688,383) 27,690,198 0
------------ ------------- ----------
Net Gain (Loss) on Investments 26,877,210 (39,810,270) 0
------------ ------------- ----------
Net Increase (Decrease) in Net Assets
from Operations $ 33,403,981 $ (32,437,483) $5,843,573
============ ============= ==========
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
Period Ended March 31, 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 $ 1,273,988 $ 151,322 $468,977 $ 740,291 $ 158,101
Dividends 125,692 206,863 0 0 0
----------- ----------- -------- ----------- ---------
Total Income 1,399,680 358,185 468,977 740,291 158,101
----------- ----------- -------- ----------- ---------
EXPENSES
Distribution Fees 0 0 0 0 4,432
Advisory Fees (Note 4) 775,607 185,396 35,394 130,573 8,131
Transfer Agent Fees
(Note 4) 205,328 49,439 14,158 36,374 2,168
Audit and Outside
Services 41,984 19,258 12,661 11,737 9,960
Accounting Fees (Note
4) 45,669 26,285 14,442 16,731 1,667
Legal 33,688 11,103 4,282 6,193 173
Organizational
Expenses 3,702 5,124 3,115 5,072 2,190
Registration Fees 16,698 10,356 11,937 13,895 116
Custodian Fees 117,702 23,531 5,651 5,724 2,323
Miscellaneous 75,111 36,647 6,861 5,309 0
----------- ----------- -------- ----------- ---------
Total Expenses 1,315,489 367,139 108,501 231,608 31,160
Custodian Fees Paid
Indirectly (Note 5) 1,442 1,709 1,866 2,124 315
Less Expenses
Reimbursed by
Investment Advisor 0 7,245 0 0 14,487
----------- ----------- -------- ----------- ---------
Net Expenses 1,314,047 358,185 106,635 229,484 16,358
----------- ----------- -------- ----------- ---------
Net Investment Income 85,633 0 362,342 510,807 141,743
----------- ----------- -------- ----------- ---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain
(Loss) on:
Investment Securities 18,582,010 (10,519,765) (364,110) (34,902) (95,444)
Written Options 52,685 5,751
Futures Contracts 0 0 211,629 (1,158,173) 0
----------- ----------- -------- ----------- ---------
Total Net Realized
Gain (Loss) 18,634,695 (10,514,014) (152,481) (1,193,075) (95,444)
Net Change in
Unrealized
Appreciation
(Depreciation)
on Investments,
Options and
Futures Contracts (676,120) 2,142,579 (254,243) 1,086,638 (241,600)
----------- ----------- -------- ----------- ---------
Net Gain (Loss) on
Investments 17,958,575 (8,371,435) (406,724) (106,437) (337,044)
----------- ----------- -------- ----------- ---------
Net Increase (Decrease)
in Net Assets from
Operations $18,044,208 ($8,371,435) ($44,382) $ 404,370 ($195,301)
=========== =========== ======== =========== =========
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund Ursa Fund
-------------------------- --------------------------
Period Ended Year Ended Period Ended Year Ended
March 31, June 30, March 31, June 30,
1997 1996 1997 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
From Investment
Activities
Net Investment Income $ 6,526,771 $ 4,179,165 $ 7,372,787 $ 6,011,770
Net Realized Gain
(Loss) on Investments 39,565,593 22,094,745 (67,500,468) (36,517,831)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments (12,688,383) 2,685,556 27,690,198 3,161,168
------------ ------------ ------------ ------------
Net Increase (Decrease)
in Net Assets from
Operations 33,403,981 28,959,466 (32,437,483) (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 (Decrease)
in Net Assets from
Shares Transactions
(Note 8) (70,002,669) 132,666,112 422,924,543 92,269,466
------------ ------------ ------------ ------------
Net Increase (Decrease)
in Net Assets (42,611,419) 161,625,578 389,734,244 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 $181,929,697 $224,541,116 $582,287,512 $192,553,268
============ ============ ============ ============
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Over-the-
Money Market Fund Counter Fund
---------------------------- ----------------------------
Period Ended Year Ended Period Ended Year Ended
March 31,1997 June 30,1996 March 31, 1997 June 30, 1996
------------- ------------- -------------- -------------
<S> <C> <C> <C> <C>
From Investment
Activities
Net Investment Income $ 5,843,573 $ 7,459,832 $ 85,633 $ 304,516
Net Realized Gain on
Investments 0 467 18,634,695 7,408,632
Net Change in
Unrealized
Depreciation of
Investments 0 0 (676,120) (894,564)
------------ ------------- ------------ ------------
Net Increase in Net
Assets Resulting from
Operations 5,843,573 7,460,299 18,044,208 6,818,584
------------ ------------- ------------ ------------
Distributions to
Shareholders
From Net Investment
Income (Note 1) (5,799,436) (7,466,933) (522,552) 0
From Realized Gain on
Investments 0 (467) (57,883) (1,826,446)
Net Increase (Decrease)
in Net Assets Resulting
from Shares
Transactions (Note 8) 129,584,142 (130,266,747) (13,901,489) (18,223,812)
------------ ------------- ------------ ------------
Net Increase (Decrease)
in Net Assets 129,628,279 (130,273,848) 3,562,284 (13,231,674)
------------ ------------- ------------ ------------
NET ASSETS--Beginning of
Period 153,924,547 284,198,395 48,715,914 61,947,588
------------ ------------- ------------ ------------
NET ASSETS--End of
Period $283,552,826 $ 153,924,547 $ 52,278,198 $ 48,715,914
============ ============= ============ ============
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Precious Metals U.S. Government
Fund Bond Fund
---------------------------- ----------------------------
Period Ended Year Ended Period Ended Year Ended
March 31, 1997 June 30, 1996 March 31,1997 June 30, 1996
-------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
From Investment
Activities
Net Investment Income
(Loss) $ 0 $ (3,434) $ 362,342 $ 882,912
Net Realized Gain
(Loss) on Investments (10,514,014) 2,288,270 (152,481) (103,013)
Net Change in
Unrealized
Appreciation
(Depreciation) of
Investments 2,142,579 (6,585,369) (254,243) 188,414
------------ ----------- ------------ -----------
Net Increase (Decrease)
in Net Assets from
Operations (8,371,435) (4,300,533) (44,382) 968,313
------------ ----------- ------------ -----------
Distributions to
Shareholders
From Net Investment
Income (Note 1) 0 0 (362,881) (885,787)
From Realized Gain on
Investments 0 0 0 (243,678)
Net Increase (Decrease)
in Net Assets from
Shares Transactions
(Note 8) (4,521,996) 13,022 (14,622,230) 15,900,788
------------ ----------- ------------ -----------
Net Increase (Decrease)
in Net Assets (12,893,431) (4,287,511) (15,029,493) 15,739,636
------------ ----------- ------------ -----------
NET ASSETS--Beginning of
Period 36,573,570 40,861,081 18,331,145 2,591,509
------------ ----------- ------------ -----------
NET ASSETS--End of
Period $ 23,680,139 $36,573,570 $ 3,301,652 $18,331,145
============ =========== ============ ===========
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
High Yield
Juno Fund Fund
--------------------------- -------------
Period Ended Year Ended Period Ended
March 31,1997 June 30, 1996 March 31,1997
------------- ------------- -------------
<S> <C> <C> <C>
From Investment Activities
Net Investment Income $ 510,807 $ 710,596 $ 141,743
Net Realized Loss on Investments (1,193,075) (1,855,288) (95,444)
Net Change in Unrealized
Appreciation (Depreciation) of
Investments 1,086,638 (397,053) (241,600)
----------- ----------- -----------
Net Increase (Decrease) in Net
Assets from Operations 404,370 (1,541,745) (195,301)
----------- ----------- -----------
Distributions to Shareholders
From Net Investment Income (Note 1) (61,626) 0 (141,743)
Net Increase in Net Assets from
Shares Transactions (Note 8) 13,374,908 16,100,047 10,854,715
----------- ----------- -----------
Net Increase in Net Assets 13,717,652 14,558,302 10,517,671
----------- ----------- -----------
NET ASSETS--Beginning of Period 18,859,613 4,301,311 0
----------- ----------- -----------
NET ASSETS--End of Period $32,577,265 $18,859,613 $10,517,671
=========== =========== ===========
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Nova Fund
-----------------------------------------
Period Year Year Period
Ended Ended Ended Ended
March 31, June 30, June 30, June 30,
1997 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 .35 .56 .28 .01
Net Realized and Unrealized Gains
(Losses) on Securities 2.19 3.31 2.88 (.25)
-------- -------- ------- --------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations 2.54 3.87 3.16 (.24)
Dividends to Shareholders from Net
Investment Income .00 .00 (.29) .00
Distributions to Shareholders from
Net Realized Capital Gain (.33) .00 (.83) .00
-------- -------- ------- --------
Net Increase (Decrease) in Net
Asset Value 2.21 3.87 2.04 (.24)
-------- -------- ------- --------
NET ASSET VALUE--END OF PERIOD $ 17.89 $ 15.68 $ 11.81 $ 9.77
======== ======== ======= ========
TOTAL INVESTMENT RETURN 20.92%** 32.77% 32.65% (2.47)%
RATIOS TO AVERAGE NET ASSETS
Net Expenses 1.16%**++ 1.31% 1.43% 1.73%**
Net Investment Income 2.69%** 3.14% 2.62% 1.05%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0% 0%
Net Assets, End of Period (000's
omitted) $181,930 $224,541 $62,916 $ 77,914
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.19%.
*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.
32
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ursa Fund
--------------------------------------------
Period Year Year Period
Ended Ended Ended Ended
March 31, June 30, June 30, June 30,
1997 1996 1995 1994*
--------- --------- --------- --------
<S> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF
PERIOD $ 7.55 $ 8.79 $ 10.54 $ 10.00
-------- --------- --------- --------
Net Investment Income .17 .30 .35 .01
Net Realized and Unrealized
Gains (Losses) on Securities (.68) (1.54) (1.78) .53
-------- --------- --------- --------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations (.51) (1.24) (1.43) .54
Dividends to Shareholders from
Net Investment Income (.02) .00 (.32) .00
-------- --------- --------- --------
Net Increase (Decrease) in Net
Asset Value (.53) (1.24) (1.75) .54
-------- --------- --------- --------
NET ASSET VALUE--END OF PERIOD $ 7.02 $ 7.55 $ 8.79 $ 10.54
======== ========= ========= ========
TOTAL INVESTMENT RETURN (8.98)%** (14.11)% (14.08)% 10.89%
RATIOS TO AVERAGE NET ASSETS
Net Expenses 1.34%**++ 1.39% 1.39% 1.67%**
Net Investment Income 3.21%** 3.38% 3.50% 1.43%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0% 0%
Net Assets, End of Period
(000's omitted) $582,288 $ 192,553 $ 127,629 $110,899
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.36%.
* 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.
33
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Money Market Fund
------------------------------------------
Period Year Year Period
Ended Ended Ended Ended
March 31, June 30, June 30, June 30,
1997 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 .03 .04 .04 .01
Net Realized and Unrealized Gains
on Securities .00 .00 .00 .00
-------- -------- -------- -------
Net Increase in Net Asset Value
Resulting from Operations .03 .04 .04 .01
Dividends to Shareholders from Net
Investment Income (.03) (.04) (.04) (.01)
-------- -------- -------- -------
Net Increase 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 4.39%** 4.60% 4.43% 2.47%
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.86%**++ 0.99% 0.89% 1.16%**
Net Investment Income 4.06%** 4.18% 4.23% 2.34%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0% 0% 0% 0%
Net Assets, End of Period (000's
omitted) $283,553 $153,925 $284,198 $88,107
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is .86%.
* 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. 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.
34
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the-Counter Fund
------------------------------------------
Period Year Year Period
Ended Ended Ended Ended
March 31, June 30, June 30, June 30,
1997 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 .01 .06 .14 .01
Net Realized and Unrealized Gains
(Losses) on Securities 2.84 3.24 4.17 (1.25)
-------- -------- -------- --------
Net Increase (Decrease) in Net
Asset Value Resulting from
Operations 2.85 3.30 4.31 (1.24)
Dividends to Shareholders from
Net Investment Income (.07) .00 (.12) .00
Distributions to Shareholders
from Net Realized Capital Gain (.01) (.36) (.73) .00
-------- -------- -------- --------
Net Increase (Decrease) in Net
Asset Value 2.77 2.94 3.46 (1.24)
-------- -------- -------- --------
NET ASSET VALUE--END OF PERIOD $ 17.93 $ 15.16 $ 12.22 $ 8.76
======== ======== ======== ========
TOTAL INVESTMENT RETURN 24.77%** 26.44% 49.00% (30.17)%
RATIOS TO AVERAGE NET ASSETS
Net Expenses 1.27%**++ 1.33% 1.41% 1.97%**
Net Investment Income 0.08%** 0.44% 1.34% 1.69%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 1140.35% 2578.56% 2241.00% 1171.00%
Net Assets, End of Period (000's
omitted) $ 52,278 $ 48,716 $ 61,948 $ 30,695
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.27%.
* 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. 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.
35
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Precious Metals Fund
-----------------------------------------------
Period Year Year Period
Ended Ended Ended Ended
March 31, June 30, June 30, June 30,
1997 1996 1995 1994*
--------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
PER SHARE OPERATING
PERFORMANCE:+
NET ASSET VALUE--BEGINNING
OF PERIOD $ 9.05 $ 8.73 $ 8.29 $ 10.00
-------- ---------- ---------- ----------
Net Investment Income .00 .00 .10 .01
Net Realized and Unrealized
Gains (Losses) on
Securities (1.41) .32 .43 (1.72)
-------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Asset Value Resulting
from Operations (1.41) .32 .53 (1.71)
Dividends to Shareholders
from Net Investment Income .00 .00 (.09) .00
-------- ---------- ---------- ----------
Net Increase (Decrease) in
Net Asset Value (1.41) .32 .44 (1.71)
-------- ---------- ---------- ----------
NET ASSET VALUE--END OF
PERIOD $ 7.64 $ 9.05 $ 8.73 $ 8.29
======== ========== ========== ==========
TOTAL INVESTMENT RETURN (20.77)%** 3.67% 6.21% (29.27)%
RATIOS TO AVERAGE NET ASSETS
Net Expenses 1.45%**++ 1.33% 1.38% 2.06%**
Net Investment Income 0.00%** (0.01)% 1.15% 1.23%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 743.33% 1,036.37% 1,765.00% 2,728.00%
Average Commission Rate
Paid**** .0101 0.0151 -- --
Net Assets, End of Period
(000's omitted) $ 23,680 $ 36,574 $ 40,861 $ 1,526
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.49%.
* 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. The Nova , Ursa, and
Juno Funds typically hold most of their investments in options and futures
contracts which are deemed short-term securities.
**** For fiscal years beginning on or after September 1, 1995, the fund is
required to disclose its average commission rate per share for purchases and
sales of equity securities.
See Notes to Financial Statements.
36
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Bond Fund
----------------------------------------------
Period Year Year Period
Ended Ended Ended Ended
March 31, June 30, June 30, June 30,
1997 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 .34 .46 .39 .02
Net Realized and Unrealized
Gains (Losses) on Securities (.45) (.45) 1.17 (1.76)
-------- -------- ---------- ----------
Net Increase (Decrease) in
Net Asset Value Resulting
from Operations (.11) .01 1.56 (1.74)
Dividends to Shareholders
from Net Investment Income (.34) (.46) (.25) (.02)
Distributions to Shareholders
from Net Realized Capital
Gain .00 (.13) .00 .00
-------- -------- ---------- ----------
Net Increase (Decrease) in
Net Asset Value (.45) (.58) 1.31 (1.76)
-------- -------- ---------- ----------
NET ASSET VALUE--END OF PERIOD $ 8.52 $ 8.97 $ 9.55 $ 8.24
======== ======== ========== ==========
TOTAL INVESTMENT RETURN (0.46)%** (1.48)% 18.97% (32.63)%
RATIOS TO AVERAGE NET ASSETS
Net Expenses 1.49%**++ 1.26% 2.26% 3.05%**
Net Investment Income 5.06%** 4.73% 4.64% 3.39%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 962.17% 780.30% 3,452.59% 1,290.00%
Net Assets, End of Period
(000's omitted) $ 3,302 $ 18,331 $ 2,592 $ 1,564
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.51%.
* 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. 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.
37
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------
<TABLE>
<CAPTION>
Juno Fund
------------------------------
Period Year Period
Ended Ended Ended
March 31, June 30, June 30,
1997 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 .25 .34 .14
Net Realized and Unrealized Gains
(Losses) on Securities .00 .05 (1.06)
------- ------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations .25 .39 (.92)
Dividends to Shareholders from Net
Investment Income (.03) .00 .00
------- ------- --------
Net Increase (Decrease) in Net Asset
Value .22 .39 (.92)
------- ------- --------
NET ASSET VALUE--END OF PERIOD $ 9.69 $ 9.47 $ 9.08
======= ======= ========
TOTAL INVESTMENT RETURN 3.75%** 4.30% (9.20)%
RATIOS TO AVERAGE NET ASSETS
Net Expenses 1.58%**++ 1.64% 1.50%**
Net Investment Income 3.51%** 3.63% 1.32%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0.00% 0.00% 0.00%
Net Assets, End of Period (000's omitted) $32,577 $18,860 $ 4,301
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.60%.
* 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.
38
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
High Yield
Fund*
--------------
Period
Ended
March 31, 1997
--------------
<S> <C>
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD $ 10.00
--------
Net Investment Income .19
Net Realized and Unrealized Loss on Securities (.36)
--------
Net Decrease in Net Asset Value Resulting from Operations (.17)
Dividends to Shareholders from Net Investment Income (.02)
--------
Net Decrease in Net Asset Value (.19)
--------
NET ASSET VALUE--END OF PERIOD $ 9.81
========
TOTAL INVESTMENT RETURN** (0.12)%
RATIOS TO AVERAGE NET ASSETS**
Expenses .99%++
Net Investment Income 8.57%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 763.11%
Net Assets, End of Period (000's omitted) $ 10,518
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.88%.
* 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. 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.
39
<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 except the
Institutional Money Market Fund. The accompanying significant accounting
policies are in conformity with generally accepted accounting principles and
are consistently followed by the Trust.
The Trust changed its fiscal year end from June 30 to March 31. These
statements reflect nine months of financial activity.
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, 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 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.
40
<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.
41
<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 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. The
High Yield Fund, which correlates 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.
42
<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 Federal agency obligations. As of March 31,1997 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.......... 6.25% $ 62,895,000 $ 60,000,000
United States Treasury Notes.......... 5.375%-9.25% $124,950,000 $127,043,534
United States Treasury Bond........... 8.5% $ 14,404,000 $ 16,756,189
</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 Co., Inc. $324,955 in accounting fees for the
above eight funds for the nine month period ended March 31, 1997.
43
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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.
6. SECURITIES TRANSACTIONS
During the period ended March 31, 1997 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 High Yield
Fund Fund Fund Fund Fund Fund Fund Fund
---- ---- ---------- -------------- ------------ ------------ ---- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Purchases $0 $0 $0 $1,540,525,569 $250,054,682 $ 93,832,370 $0 $53,779,476
Sales $0 $0 $0 $1,557,547,271 $254,765,751 $106,868,172 $0 $43,147,175
</TABLE>
The transactions shown above exclude short term and temporary cash investments.
44
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. NET UNREALIZED APPRECIATION/DEPRECIATION OF SECURITIES
At March 31, 1997 unrealized appreciation (depreciation) and cost of investment
securities for Federal income tax purposes was:
<TABLE>
<CAPTION>
U.S.
Govern- U.S.
ment Govern-
Money Over-the- Precious ment 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 $ 7,582,445 $ 67,611,663 $ 0 $ 7,557,430 $ 1,033,764 $ 0 $ 699,035 $ 3,665
Gross Unrealized
(Depreciation) (17,318,714) (38,929,773) 0 (24,053,452) (12,875,480) (250,148) 0 (277,248)
------------ -------------- ------------ ------------ ------------ ---------- ----------- -----------
Net Unrealized
Appreciation
(Depreciation) $ (9,736,269) $ 28,681,890 $ 0 $(16,496,022) $(11,841,716) $ (250,148) $ 699,035 $ (273,583)
Cost of
Investments for
Federal Income
Tax Purposes $455,745,969 $1,432,790,025 $225,029,689 $99,086,695 $40,291,930 $3,632,965 $29,096,102 $10,568,826
</TABLE>
8. SHARE TRANSACTIONS
Transactions in shares for the period ended March 31, 1997 were:
<TABLE>
<CAPTION>
U.S. Govern- U.S.
ment Govern-
Money ment
Nova Ursa Market Over-the- Precious Bond Juno High
Fund Fund Fund Counter Fund Metals Fund Fund Fund Yield Fund
------------ ------------ -------------- ------------ ----------- ----------- ----------- ----------
<S> <C> <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 3,374,658
Dividend
Reinvestment 300,618 90,217 5,678,838 27,056 0 40,733 5,497 12,716
------------ ------------ -------------- ------------ ----------- ----------- ----------- ----------
Total
Purchased 203,450,912 367,234,745 3,335,173,476 142,772,636 47,008,940 14,960,256 14,960,586 3,387,374
Shares
Redeemed (207,604,225) (309,781,363) (3,205,603,845) (143,069,637) (47,949,316) (16,615,981) (13,589,740) (2,315,587)
------------ ------------ -------------- ------------ ----------- ----------- ----------- ----------
Net
Shares
Purchased
(Redeemed) (4,153,313) 57,453,382 129,569,631 (297,001) (940,376) (1,655,725) 1,370,846 1,071,787
============ ============ ============== ============ =========== =========== =========== ==========
</TABLE>
45
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Transactions in dollars for the period ended March 31, 1997 were:
<TABLE>
<CAPTION>
U.S.
Govern- U.S.
ment Govern-
Money Over-the- Precious ment
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
(Redeemed)
Purchased $ (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
(Redeemed)
Purchased $10,854,715
============
</TABLE>
Transactions in shares for the year ended June 30, 1996 were:
<TABLE>
<CAPTION>
U.S.
Government U.S.
Money Over-the- Precious Government
Nova Ursa Market Counter Metals Bond Juno
Fund Fund Fund Fund Fund Fund Fund
------------ ------------ -------------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased 188,794,994 276,476,043 4,139,232,212 168,346,003 87,901,045 19,714,470 25,594,613
Dividend Reinvestment 0 0 7,466,821 108,337 0 97,996 0
------------ ------------ -------------- ------------ ----------- ----------- -----------
Total Purchased 188,794,994 276,476,043 4,146,699,033 168,454,340 87,901,045 19,812,466 25,594,613
Shares Redeemed (179,799,246) (265,490,770) (4,276,965,783) (170,312,258) (88,544,497) (18,040,885) (24,076,731)
------------ ------------ -------------- ------------ ----------- ----------- -----------
Net Shares Purchased
(Redeemed) 8,995,748 10,985,273 (130,266,750) (1,857,918) (643,452) 1,771,581 1,517,882
============ ============ ============== ============ =========== =========== ===========
</TABLE>
46
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
9. OPTION CONTRACTS WRITTEN
During the period ended March 31, 1997 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 $ 194,132,927
Options Written 7,222 274,895,042 38,800 1,765,889,584
Options Terminated (3,222) (90,218,598) (24,800) (1,062,894,217)
------ ------------ ------- ---------------
Outstanding at End of Pe-
riod 4,000 $184,676,444 20,000 $ 897,128,294
====== ============ ======= ===============
</TABLE>
Put Options Written:
<TABLE>
<CAPTION>
Precious Metals
Nova Fund Ursa Fund Over-the-Counter fund Fund
---------------------- ---------------------- --------------------- ------------------
Number of Initial Number of Initial Number of Initial Number of Initial
Contracts Premiums Contracts Premiums Contracts Premiums Contracts Premiums
--------- ------------ --------- ------------ --------- ----------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Outstanding at
Beginning of Period 0 $ 0 0 $ 0 37 $ 88,577 20 $ 9,189
Options Written 1,200 10,068,500 1,600 14,708,000 1,611 2,801,807 100 42,136
Options Terminated (1,200) (10,068,500) (1,600) (14,708,000) (1,617) (2,686,934) (120) (51,325)
------ ------------ ------ ------------ ------ ----------- ---- --------
Outstanding at End of
Period 0 $ 0 0 $ 0 31 $ 203,450 0 $ 0
====== ============ ====== ============ ====== =========== ==== ========
</TABLE>
47
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. NET ASSETS
At March 31, 1997, net assets consisted of:
<TABLE>
<CAPTION>
U.S.
Government
Money
Nova Fund Ursa Fund Market Fund
------------ ------------- ------------
<S> <C> <C> <C>
Paid-In-Capital $179,428,969 $ 696,706,717 $283,515,523
Undistributed Net Investment Income 0 1,039,285 37,303
Accumulated Net Realized Gain (Loss)
on Investments 12,236,998 (144,140,380) 0
Net Unrealized Appreciation
(Depreciation) on Investments,
Options and Futures Contracts (9,736,269) 28,681,890 0
------------ ------------- ------------
Net Assets $181,929,698 $ 582,287,512 $283,552,826
============ ============= ============
</TABLE>
48
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Over-the- Precious U.S. High
Counter Metals Government Juno Yield
Fund Fund Bond Fund Fund Fund
----------- ----------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Paid-In-Capital $67,263,264 $43,566,617 $4,118,999 $36,461,968 $10,854,715
Undistributed Net
Investment Income 514,668 0 16,220 100,975 0
Distribution in Excess
of Net Investment
Income 0 (2,035) 0 0 0
Accumulated Net Realized
Loss on Investments (22,406,539) (19,609,610) (776,212) (4,684,713) (95,444)
Net Unrealized
Appreciation
(Depreciation) on
Investments, Options
and Futures Contracts 6,906,805 (274,833) (57,355) 699,035 (241,600)
----------- ----------- ---------- ----------- -----------
Net Assets $52,278,198 $23,680,139 $3,301,652 $32,577,265 $10,517,671
=========== =========== ========== =========== ===========
</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 March 31, 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.
Precious Government High
Expires Ursa Metals Bond Juno Yield
March 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>
49
<PAGE>
RYDEX SERIES TRUST
INDEPENDENT AUDITORS' REPORT
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
The Shareholders and Board of Trustees,
Rydex Series Trust:
We have audited the statements of assets and liabilities, including the
schedules of investments, of the Nova, Ursa, U.S. Government Money Market,
Over-the-Counter, Precious Metals, U.S. Government Bond, Juno and High Yield
Funds (eight of the nine Funds) of Rydex Series Trust (the Trust) as of March
31, 1997, the related statements of operations, changes in net assets, and the
financial highlights for each of the periods presented. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of March 31, 1997 by correspondence with the custodian and brokers.
An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position as of
March 31, 1997, the results of their operations, the changes in their net
assets, and the financial highlights for the periods presented in conformity
with generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
May 15, 1997
50
<PAGE>
The First Family of Funds
Designed 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
[LOGO OF RYDEX APPEARS HERE]
ANNUAL REPORT
MARCH 31,1997
Nova Fund
Juno Fund
Ursa Fund
OTC Fund
High Yield Fund
Precious Metals Fund
U.S. Government Bond Fund
U.S. Government Money Market
<PAGE>
[RYDEX LOGO]
Institutional Money Market Fund
The First Family of Funds
Designed for Professional
Money Managers
ANNUAL REPORT
MARCH 31, 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
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount (Note 1)
---------- ------------
<S> <C> <C>
COMMERCIAL PAPER 6.9%
American Express Credit Corporation 5.30% 4/14/97 $1,000,000 $ 998,086
Ford Motor Credit Company 5.34% 4/04/97 1,000,000 999,555
Ford Motor Credit Company 5.30% 4/10/97 1,000,000 998,675
General Electric Credit Corporation 5.28% 4/03/97 1,000,000 999,707
General Electric Credit Corporation 5.32% 4/03/97 1,000,000 999,704
General Motor Acceptance Corporation 5.31% 4/07/97 1,000,000 999,115
IBM Credit Corporation 5.25% 4/02/97 1,000,000 999,854
------------
Total Commercial Paper (Cost $6,994,696) 6,994,696
------------
FEDERAL AGENCY DISCOUNT NOTES 73.6%
Federal Farm Credit Administration 5.24% 4/29/97 1,000,000 995,924
Federal Home Loan Mortgage Corporation 5.48% 4/01/97 5,000,000 5,000,000
Federal Home Loan Mortgage Corporation 5.47% 4/02/97 15,000,000 14,997,721
Federal Home Loan Mortgage Corporation 5.55% 4/02/97 5,000,000 4,999,229
Federal Home Loan Mortgage Corporation 5.50% 4/03/97 5,000,000 4,998,472
Federal Home Loan Mortgage Corporation 5.50% 4/03/97 20,000,000 19,993,889
Federal Home Loan Mortgage Corporation 5.46% 4/04/97 10,000,000 9,995,450
Federal Home Loan Mortgage Corporation 5.24% 4/09/97 1,000,000 998,836
Federal Home Loan Mortgage Corporation 5.35% 4/15/97 1,000,000 997,919
Federal Home Loan Mortgage Corporation 5.28% 4/18/97 1,000,000 997,507
Federal National Mortgage Association 5.49% 4/10/97 10,000,000 9,986,275
Federal National Mortgage Association 5.45% 4/11/97 1,000,000 998,486
------------
Total Federal Agency Discount Notes (Cost $74,959,708) 74,959,708
------------
REPURCHASE AGREEMENT 19.5%
Repurchase Agreement collaterized by U.S. Treasury
Obligations 6.25% 4/01/97 (Cost $19,900,000) 19,900,000 19,900,000
------------
Total Investments 100% (Cost $101,854,404) $101,854,404
============
</TABLE>
See Notes to Financial Statements.
1
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Securities at Value (Note 1)--See Accompanying Schedule $101,854,404
Investment Income Receivable 4,173
Cash in Custodian Bank 36,088
Receivable for Shares Purchased 11,866,898
Unamortized Organization Costs (Note 1) 52,711
Other Assets 4,799
------------
Total Assets 113,819,073
------------
LIABILITIES
Distribution Fee Payable 23,146
Payable for Shares Redeemed 3,342,825
Investment Advisory Fee Payable 36,271
Transfer Agent Fee Payable 14,982
Organization Expense Payable to Advisor 60,819
Other Liabilities 25,087
------------
Total Liabilities 3,503,130
------------
NET ASSETS $110,315,943
============
Shares Outstanding 110,313,480
============
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 March 31, 1997*
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest $1,771,126
----------
Total Income 1,771,126
----------
EXPENSES
Distribution Fees 83,673
Advisory Fees (Note 3) 183,504
Transfer Agent Fees (Note 3) 66,737
Audit and Outside Services 13,492
Accounting Fees (Note 3) 27,212
Legal 20,745
Organizational Expenses 8,109
Registration Fees 10,142
Custodian Fees 6,041
Miscellaneous 20,610
----------
Total Expenses 440,265
Custodian Fees Paid Indirectly (Note 4) 2,526
----------
Net Expenses 437,739
----------
NET INVESTMENT INCOME 1,333,387
----------
REALIZED GAIN ON INVESTMENTS
Net Realized Gain on:
Investment Securities 503
----------
Total Net Realized Gain 503
----------
Net Increase in Net Assets from Operations $1,333,890
==========
</TABLE>
* Commencement of Operations: July 11, 1996
See Notes to Financial Statements.
3
<PAGE>
RYDEX SERIES TRUST
INSTITUTIONAL MONEY MARKET FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
Period Ended March 31, 1997*
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
From Investment Activities
Net Investment Income $ 1,333,387
Net Realized Gain on Investments 503
------------
Net Increase in Net Assets Resulting from Operations 1,333,890
------------
Distributions to Shareholders
From Net Investment Income (Note 1) (1,330,924)
From Realized Gain on Investments (503)
Net Increase in Net Assets Resulting from Shares Transactions
(Note 5) 110,313,480
------------
Net Increase in Net Assets and Net Assets End of Period $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
- -------------------------------------------------------------------------------
Period Ended March 31, 1997*
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE--BEGINNING OF PERIOD+ $ 1.00
--------
Net Investment Income .03
Net Realized and Unrealized Gains on Securities .00
--------
Net Increase in Net Asset Value Resulting from Operations .03
Dividends to Shareholders from Net Investment Income (.03)
--------
Net Increase in Net Asset Value .00
--------
NET ASSET VALUE--END OF PERIOD $ 1.00
========
TOTAL INVESTMENT RETURN** 4.17%
RATIOS TO AVERAGE NET ASSETS **
Net Expenses 1.15%++
Net Investment Income 3.50%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate*** 0%
Net Assets, End of Period (000's omitted) $110,316
</TABLE>
+ The per share data of the Financial Highlights table is calculated using the
daily shares outstanding average for the year.
++ The annualized ratio of gross expenses to average net assets is 1.15%
* 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. The following significant accounting policies are in
conformity with generally accepted accounting principles and are consistently
followed by the Trust.
The Trust changed its fiscal year end from June 30 to March 31. These
statements reflect the financial activity of the Institutional Money Market
Fund for the period July 11, 1996 (Commencement of Operations) to March 31,
1997.
A. 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. Income
dividends are paid monthly. Dividends are reinvested in additional shares
unless shareholders request payment in cash. Generally, short-term capital
gains are distributed monthly.
D. The Institutional Money Market 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 Institutional Money Market 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
6
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (continued)
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
reported amounts of revenues and expenses during the reporting period. Actual
results could differ from those estimates.
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 Federal agency obligations. As of March 31, 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 6.25% $ 62,895,000 $ 60,000,000
United States Treasury Notes 5.375%-9.25% $124,950,000 $127,043,534
United States Treasury Bond 8.5% $ 14,404,000 $ 16,756,189
</TABLE>
3. INVESTMENT ADVISORY AND TRANSFER AGENT SERVICES
Under the terms of an investment advisory contract, the Institutional Money
Market 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 Institutional Money Market 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 Institutional Money
Market Fund.
The Institutional Money Market Fund paid PADCO Service Co., Inc. $27,212 in
accounting fees for the period ended March 31, 1997.
4. ACCOUNTING FOR EXPENSES
The Institutional Money Market 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 period ended March 31,1997 were:
<TABLE>
<S> <C>
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
Dividend Reinvestment 1,179,631
---------------
Total Purchased 1,749,597,483
Shares Redeemed (1,639,284,003)
---------------
Net Shares Purchased $ 110,313,480
===============
6. NET ASSETS
At March 31, 1997, net assets consisted of:
Paid-In-Capital $ 110,313,480
Undistributed Net Investment Income 2,463
---------------
Net Assets $ 110,315,943
===============
</TABLE>
8
<PAGE>
RYDEX SERIES TRUST
INDEPENDENT AUDITORS' REPORT
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- -------------------------------------------------------------------------------
The Shareholders and Board of Trustees,
Rydex Series Trust:
We have audited the statement of assets and liabilities, including the
schedule of investments, of the Institutional Money Market Fund (one of the
nine Funds) of Rydex Series Trust (the Trust) as of March 31, 1997, the
related statements of operations, changes in net assets, and the financial
highlights for the period July 11, 1996 (commencement of operations) to March
31, 1997. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit.
We conducted our audit in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of March 31, 1997 by correspondence with the custodian and brokers.
An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audit provides a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position as of
March 31, 1997, the results of its operations, the changes in its net assets,
and the financial highlights for the period presented in conformity with
generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
May 15, 1997
9
<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]
ANNUAL REPORT
MARCH 31, 1997
Institutional Money Market Fund
