<PAGE>
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<TABLE>
<S> <C>
RYDEX SERIES TRUST
[RYDEX LOGO] SEMI-ANNUAL REPORT
September 30, 1999
6116 Executive Boulevard, Suite 400
Rockville, MD 20852
(301) 468-8520 (800) 820-0888
</TABLE>
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DEAR SHAREHOLDER:
During the reporting period, the U.S. economy continued to thrive as other
trends began to develop.
Emerging economies in Asia and other foreign countries saw economic
stability return to their regions. A stronger world economy and OPEC production
cuts sent crude oil back above $24 a barrel as gold, copper, and some other
non-agricultural commodity prices also rose. The dollar sank against the yen and
the Fed raised interest rates twice. The broad market, as represented by the S&P
500, peaked to an all time high of 1418.78 in mid July only to retreat more than
10% to 1282.71 by September 30, 1999. Those who rode out the volatility of
technology stocks were rewarded with handsome returns, as evidenced by the
tech-heavy NASDAQ 100 Index-TM-, which rose 14.31% during this period.
MARKET ENVIRONMENT
In early spring, economists began raising their growth forecasts and
economic data suggested that manufacturing activity was booming. Fearing higher
rates, investors started to rotate out of the growth sectors and into metals,
chemicals, paper, and other classic cyclical stocks that rise and fall with the
economy. Soon thereafter, Federal Reserve Chairman Alan Greenspan expressed
concern that potential labor shortages and the runaway U.S. stock market may
lead to rising inflation and threaten the economy, now in its ninth year of
growth. At their June 30th meeting, Federal Reserve policy makers raised the
federal funds rate a quarter of a point to 5 percent, but they chose to adopt a
policy toward a neutral bias. The Fed's stance was well accepted by the
financial markets. That day, the S&P 500-TM- Composite Stock Price Index and the
NASDAQ Composite Index-TM- hit new highs as investors dumped cyclical stocks and
went back into growth stocks. Bonds soared, briefly pulling the yield of the
30-year Treasury Bond back below the six percent level.
The broad market indices continued their record advance until mid-July when
interest rate fears, and concerns that strong earnings reports already had been
built into stock prices, sent many investors to the sidelines. In August, the
Commerce Department reported that the U.S. trade deficit widened in June to a
record $24.6 billion, sending bonds and the dollar lower. A few days later, the
Federal Reserve Board reinforced its message that it wanted the economy to
slow--it raised both the fed funds rate and the discount rate by 25 basis points
each. During the reporting period, the yield on the benchmark 30-year Treasury
<PAGE>
Bond rose from 5.625% to 6.05%. As the quarter progressed, financial pundits
began to hint that third-quarter bank and computer earnings could disappoint.
Two events--the Taiwan earthquake and observations voiced by an industry
executive indicating that tech stocks are overpriced--put pressure on the
technology sector as the quarter neared its end.
Looking forward to the fourth quarter of 1999, inflation still appears to be
dormant, despite the strong economy. Ultimately, the market direction in the
last quarter of the century is likely to be influenced by monetary policy and
concerns regarding Y2K.
Sincerely,
/s/ Albert P. Viragh, Jr.
Albert P. (Skip) Viragh, Jr.
Chairman of the Board
2
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
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September 30, 1999
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<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
COMMON STOCKS 76.1%
Microsoft Corp.*........... 172,413 $ 15,614,152
General Electric Co........ 110,527 13,104,357
Intel Corp................. 112,089 8,329,614
International Business
Machines Corp............ 61,310 7,441,501
Cisco Systems, Inc.*....... 107,911 7,398,648
Wal-Mart Stores, Inc....... 150,327 7,149,928
Lucent Technologies,
Inc...................... 102,690 6,662,014
Exxon Corp................. 82,009 6,227,558
Merck & Co., Inc........... 79,744 5,168,408
Citigroup, Inc............. 114,152 5,022,688
Pfizer, Inc................ 131,162 4,713,634
AT&T Corp.................. 107,494 4,675,989
American International
Group, Inc............... 52,312 4,547,874
Bristol-Myers Squibb Co.... 67,082 4,528,035
MCI Worldcom Inc.*......... 62,859 4,517,991
Royal Dutch Petroleum Co.,
NY Shares................ 72,421 4,277,365
Procter & Gamble Co........ 44,886 4,208,063
Johnson & Johnson.......... 45,448 4,175,535
Coca-Cola Co............... 83,353 4,006,154
America Online, Inc.*...... 36,706 3,817,424
Dell Computer Corp.*....... 85,678 3,582,411
Bell Atlantic Corp......... 52,439 3,529,800
Home Depot, Inc............ 50,051 3,434,750
SBC Communications, Inc.... 66,349 3,387,946
BankAmerica Corp........... 58,948 3,282,667
Hewlett-Packard Co......... 34,290 3,154,680
Tyco International Ltd..... 28,959 2,990,017
BellSouth Corp............. 63,992 2,879,640
Philip Morris Cos., Inc.... 81,546 2,787,854
Mobil Corp................. 26,429 2,662,722
GTE Corp................... 32,827 2,523,576
Ameritech Corp............. 37,129 2,494,605
Time Warner, Inc........... 40,296 2,447,982
EMC Corp.*................. 34,203 2,443,377
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Sun Microsystems, Inc.*.... 26,146 $ 2,431,578
Eli Lilly & Co............. 37,187 2,379,968
Nortel Networks Corp....... 44,834 2,286,534
Wells Fargo Co............. 55,843 2,212,779
Oracle Corp.*.............. 48,631 2,212,710
Fannie Mae................. 34,610 2,169,614
Schering-Plough Corp....... 49,725 2,169,253
Chase Manhattan Corp....... 28,556 2,152,409
Ford Motor Co.............. 40,910 2,053,171
American Express Co........ 15,219 2,048,858
E. I. DuPont de Nemours &
Co....................... 33,105 2,015,267
McDonald's Corp............ 45,875 1,972,625
Chevron Corp............... 22,139 1,964,836
Texas Instruments, Inc..... 23,601 1,941,182
Warner-Lambert Co.......... 28,732 1,907,086
Abbott Laboratories........ 51,364 1,887,627
American Home Products
Corp..................... 44,240 1,835,960
Walt Disney Co............. 69,567 1,800,046
Motorola, Inc.............. 20,371 1,792,648
Morgan Stanley Dean Witter
& Co..................... 19,275 1,719,089
Sprint Corp................ 29,231 1,585,782
PepsiCo, Inc............... 49,884 1,508,991
Amgen, Inc.*............... 17,294 1,409,461
Boeing Co.................. 32,874 1,401,254
Medtronic, Inc............. 39,460 1,400,830
MediaOne Group, Inc.*...... 20,453 1,397,196
Bank One Corp.............. 39,900 1,389,019
General Motors Corp........ 21,907 1,378,772
Compaq Computer Corp....... 57,425 1,317,186
Unilever N. V.............. 19,312 1,315,630
Minnesota Mining &
Manufacturing Co......... 13,603 1,306,738
Gillette Co................ 37,476 1,271,842
Freddie Mac................ 23,478 1,220,856
First Union Corp........... 32,703 1,163,000
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 3
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
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September 30, 1999
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<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Schlumberger Ltd........... 18,474 $ 1,151,161
Texaco, Inc................ 18,107 1,143,004
Anheuser-Busch Cos.,
Inc...................... 16,075 1,126,255
AlliedSignal, Inc.......... 18,673 1,119,213
CBS Corp.*................. 24,048 1,112,220
Computer Associates
International, Inc....... 18,121 1,109,911
Sprint PCS Group*.......... 14,861 1,108,073
Comcast Corp., Special
Class A.................. 25,017 997,553
Viacom, Inc., Class B*..... 23,326 985,523
Enron Corp................. 23,884 985,215
Applied Materials, Inc.*... 12,604 981,537
US West, Inc............... 17,018 971,090
Atlantic Richfield Co...... 10,935 969,114
United Technologies
Corp..................... 16,286 965,963
Qualcomm, Inc.............. 5,014 948,586
Kimberly-Clark Corp........ 17,984 944,160
Xerox Corp................. 22,342 936,966
Automatic Data Processing,
Inc...................... 20,906 932,930
Emerson Electric Co........ 14,706 929,235
Charles Schwab Corp........ 27,579 929,068
Gap, Inc................... 29,026 928,832
Colgate-Palmolive Co....... 19,739 903,059
Carnival Corp.............. 20,704 900,624
Dayton Hudson Corp......... 14,954 898,175
Clear Channel
Communications, Inc.*.... 11,219 896,118
Associates First Capital
Corp., Class A........... 24,579 884,844
Electronic Data Systems
Corp..................... 16,632 880,456
Bank of New York Co.,
Inc...................... 25,724 860,146
Firstar Corp............... 33,520 858,950
Walgreen Co................ 33,827 858,360
Pharmacia & Upjohn, Inc.... 17,109 849,034
Dow Chemical Co............ 7,422 843,325
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Merrill Lynch & Co......... 12,424 $ 834,757
Eastman Kodak Co........... 10,874 820,307
Alcoa, Inc................. 12,491 775,223
Monsanto Co................ 21,334 761,357
Tellabs, Inc.*............. 13,230 753,283
US Bancorp................. 24,561 741,435
Alltel Corp................ 10,243 720,851
Sara Lee Corp.............. 30,527 715,477
SunTrust Banks, Inc........ 10,864 714,308
Fleet Financial Group,
Inc...................... 19,270 705,764
J. P. Morgan & Co., Inc.... 5,996 685,043
Global Crossing Ltd........ 25,733 681,925
Allstate Corp.............. 27,267 679,971
Duke Energy Corp........... 12,316 678,920
Nextel Communications,
Inc., Class A*........... 9,997 677,922
International Paper Co..... 13,877 666,963
Caterpillar, Inc........... 12,022 658,956
Seagram Co. Ltd............ 14,456 657,748
Gannett Co., Inc........... 9,437 652,922
Household International,
Inc...................... 16,193 649,744
First Data Corp............ 14,596 640,400
Safeway, Inc.*............. 16,781 638,727
Illinois Tool Works,
Inc...................... 8,462 630,948
MBNA Corp.................. 27,068 617,489
Kroger Co.*................ 27,921 616,007
Lowe's Cos., Inc........... 12,543 611,471
Halliburton Co............. 14,876 609,916
Marsh & McLennan Cos.,
Inc...................... 8,891 609,033
Southern Co................ 23,648 608,936
Solectron Corp.*........... 8,374 601,358
Mellon Bank Corp........... 17,608 594,270
Baxter International,
Inc...................... 9,849 593,402
Washington Mutual, Inc..... 20,118 588,452
Campbell Soup Co........... 14,742 576,781
BMC Software, Inc.*........ 7,969 570,282
National City Corp......... 21,250 567,109
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 4
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Corning, Inc............... 8,249 $ 565,572
Raytheon Co., Class B...... 11,355 563,492
Micron Technology, Inc.*... 8,461 563,185
Albertson's, Inc........... 14,215 562,381
Pitney Bowes, Inc.......... 9,070 552,703
Fifth Third Bancorp........ 9,080 552,461
Guidant Corp............... 10,207 547,350
Williams Cos., Inc......... 14,606 546,812
PNC Bank Corp.............. 10,272 541,206
Nike, Inc., Class B........ 9,505 540,597
Wachovia Corp.............. 6,855 538,974
CVS Corp................... 13,200 538,725
American General Corp...... 8,478 535,704
CIGNA Corp................. 6,877 534,687
Costco Wholesale Corp.*.... 7,417 534,024
H. J. Heinz Co............. 12,145 522,235
Kellogg Co................. 13,691 512,557
Conoco Inc., Class B....... 18,417 504,165
Cardinal Health, Inc....... 9,203 501,563
Omnicom Group, Inc......... 6,045 478,688
Masco Corp................. 15,368 476,408
Honeywell, Inc............. 4,261 474,303
Gateway 2000, Inc.*........ 10,582 470,238
Bestfoods.................. 9,443 457,985
Cendant Corp.*............. 25,644 455,181
Burlington Northern Santa
Fe Corp.................. 15,887 436,892
Lockheed Martin Corp....... 13,313 435,169
BankBoston Corp............ 10,029 435,008
Best Buy Co., Inc.*........ 6,906 428,604
General Dynamics Corp...... 6,826 426,198
General Mills, Inc......... 5,160 418,605
Phillips Petroleum Co...... 8,525 415,594
May Department Stores Co... 11,280 411,015
Columbia/HCA Healthcare
Corp..................... 19,185 406,482
Unisys Corp.*.............. 8,988 405,583
Sears, Roebuck & Co........ 12,864 403,608
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Union Pacific Corp......... 8,372 $ 402,379
Tribune Co................. 8,003 398,149
Waste Management, Inc...... 20,581 396,184
Textron, Inc............... 5,092 393,994
Sysco Corp................. 11,189 392,314
Weyerhaeuser Co............ 6,783 390,870
Interpublic Group of Cos.,
Inc...................... 9,501 390,729
KeyCorp.................... 15,132 390,595
FDX Corp.*................. 10,042 389,127
AES Corp.*................. 6,477 382,143
Providian Financial
Corp..................... 4,805 380,496
AFLAC, Inc................. 9,022 377,796
Computer Sciences
Corp.*................... 5,368 377,437
ConAgra, Inc............... 16,497 372,214
Kohl's Corp.*.............. 5,491 363,092
Texas Utilities Co......... 9,549 356,297
PPG Industries, Inc........ 5,870 352,200
State Street Corp.......... 5,442 351,689
3Com Corp.*................ 12,222 351,382
Lexmark International Group
Inc., Class A............ 4,336 349,048
BB&T Corp.................. 10,623 343,920
Staples, Inc.*............. 15,697 342,391
Apple Computer, Inc.*...... 5,375 340,305
Tandy Corp................. 6,535 337,778
Rockwell International
Corp..................... 6,428 337,470
PG&E Corp.................. 13,006 336,530
Boston Scientific Corp.*... 13,363 329,899
Compuware Corp.*........... 12,419 323,670
Coca-Cola Enterprises,
Inc...................... 14,334 323,411
McGraw-Hill Cos., Inc...... 6,682 323,242
Pioneer Hi-Bred
International, Inc....... 8,087 321,964
Consolidated Edison,
Inc...................... 7,730 320,795
Baker Hughes, Inc.......... 11,057 320,653
Northern Trust Corp........ 3,774 315,129
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 5
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Norfolk Southern Corp...... 12,842 $ 314,629
Hartford Financial Services
Group, Inc............... 7,669 313,470
CSX Corp................... 7,348 311,371
FPL Group, Inc............. 6,132 308,900
Ingersoll-Rand Co.......... 5,605 307,925
Federated Department
Stores, Inc.*............ 7,043 307,691
Delphi Automotive
Systems.................. 19,117 307,067
Ralston Purina Co.......... 11,004 306,049
J. C. Penney Co., Inc...... 8,898 305,869
TJX Cos., Inc.............. 10,857 304,675
Clorox Co.................. 7,964 304,623
USX-Marathon Group, Inc.... 10,404 304,317
Deere & Co................. 7,827 302,807
Unocal Corp................ 8,155 302,245
Dominion Resources, Inc.... 6,538 295,027
Coastal Corp............... 7,202 294,832
Dover Corp................. 7,207 294,586
Public Service Enterprise
Group, Inc............... 7,468 288,451
Edison International....... 11,824 287,471
Barrick Gold Corp.......... 13,198 287,056
Circuit City Stores -
Circuit City Group,
Inc...................... 6,784 286,200
United HealthCare Corp..... 5,848 284,724
Paychex, Inc............... 8,313 283,681
AMR Corp.*................. 5,189 282,800
Quaker Oats Co............. 4,552 281,655
General Instrument
Corp.*................... 5,831 280,617
Chubb Corp................. 5,616 279,747
Marriott International,
Inc., Class A............ 8,432 275,621
Limited, Inc............... 7,194 275,170
Unicom Corp................ 7,406 273,559
Reliant Energy, Inc........ 10,059 272,222
Newell Rubbermaid, Inc..... 9,516 271,801
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
McKesson HBOC, Inc......... 9,358 $ 271,382
Occidental Petroleum
Corp..................... 11,732 271,302
William Wrigley, Jr. Co.... 3,930 270,433
Comerica, Inc.............. 5,278 267,199
Mattel, Inc................ 14,061 267,159
Franklin Resources, Inc.... 8,511 261,713
Capital One Financial
Corp..................... 6,662 259,818
Rohm & Haas Co............. 7,178 259,305
Loews Corp................. 3,689 258,922
Southwest Airlines Co...... 16,992 258,066
Aon Corp................... 8,654 255,834
Union Carbide Corp......... 4,493 255,259
Lincoln National Corp...... 6,779 254,636
Archer-Daniels-Midland
Co....................... 20,867 254,317
Goodyear Tire & Rubber
Co....................... 5,265 253,378
LSI Logic Corp.*........... 4,834 248,951
PE Corp. - PE Biosystems
Group.................... 3,444 248,829
Allergan, Inc.............. 2,248 247,280
Praxair, Inc............... 5,329 245,134
PECO Energy Co............. 6,531 244,912
IMS Health, Inc............ 10,707 244,253
Entergy Corp............... 8,424 243,769
Alcan Aluminum, Ltd........ 7,664 239,500
Danaher Corp............... 4,511 237,673
Becton, Dickinson and Co... 8,435 236,707
UNUM Corp.................. 8,037 236,589
SLM Holding Corp........... 5,490 236,070
Novell, Inc.*.............. 11,378 235,382
Georgia-Pacific Corp....... 5,801 234,940
Aetna, Inc................. 4,766 234,725
Adobe Systems, Inc......... 2,061 233,923
Lehman Brothers Holdings,
Inc...................... 4,011 233,891
Seagate Technology,
Inc.*.................... 7,519 231,679
Dollar General Corp........ 7,470 230,636
Delta Air Lines, Inc....... 4,739 229,841
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 6
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Hershey Foods Corp......... 4,720 $ 229,805
Regions Financial Corp..... 7,575 227,250
Jefferson-Pilot Corp....... 3,580 226,211
Air Products & Chemicals,
Inc...................... 7,753 225,322
American Electric Power
Co., Inc................. 6,576 224,406
New York Times Co.,
Class A.................. 5,968 223,800
Avon Products, Inc......... 8,885 220,459
Burlington Resources,
Inc...................... 5,993 220,243
Republic New York Corp..... 3,555 218,410
Tricon Global Restaurants,
Inc.*.................... 5,187 212,343
Conseco, Inc............... 10,941 211,298
St. Paul Cos., Inc......... 7,644 210,210
Cincinnati Financial
Corp..................... 5,582 209,499
Eaton Corp................. 2,421 208,963
Dana Corp.................. 5,616 208,494
Huntington Bancshares,
Inc...................... 7,808 207,400
PacifiCorp................. 10,161 204,490
FirstEnergy Corp........... 8,014 204,357
Southtrust Corp............ 5,658 202,981
Avery Dennison Corp........ 3,843 202,718
TRW, Inc................... 4,072 202,582
Progressive Corp........... 2,461 201,033
Consolidated Natural Gas
Co....................... 3,218 200,723
Fort James Corp............ 7,457 199,009
Union Planters Corp........ 4,818 196,334
Kmart Corp.*............... 16,718 195,392
KLA-Tencor Corp.*.......... 2,976 193,440
Johnson Controls, Inc...... 2,885 191,312
Century Telephone
Enterprises, Inc......... 4,706 191,181
Summit Bancorp............. 5,785 187,651
Golden West Financial
Corp..................... 1,904 187,068
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Amerada Hess Corp.......... 3,025 $ 185,281
Carolina Power and Light
Co....................... 5,222 184,728
Tenet Healthcare Corp.*.... 10,485 184,143
ADC Telecommunications,
Inc...................... 4,387 183,980
Fortune Brands, Inc........ 5,630 181,567
UST, Inc................... 5,992 180,883
DTE Energy Co.............. 4,966 179,397
Paine Webber Group, Inc.... 4,932 178,785
Ameren Corp................ 4,697 177,605
MGIC Investment Corp....... 3,681 175,768
National Semiconductor
Corp.*................... 5,678 173,179
Kansas City Southern
Industries............... 3,728 173,119
Network Appliance, Inc.*... 2,399 171,828
Synovus Financial Corp..... 9,160 171,178
Sempra Energy.............. 8,129 169,185
Champion International
Corp..................... 3,233 166,095
Whirlpool Corp............. 2,541 165,959
Dun & Bradstreet Corp...... 5,549 165,776
Nabisco Group Holdings..... 10,990 164,850
Parker Hannifin Corp....... 3,661 164,059
Placer Dome, Inc........... 11,020 163,922
Dow Jones and Co., Inc..... 3,062 163,434
Apache Corp................ 3,777 163,119
Kerr-McGee Corp............ 2,958 162,875
Willamette Industries,
Inc...................... 3,765 162,366
Genuine Parts Co........... 6,055 160,836
Times Mirror Co., Class
A........................ 2,432 160,056
MBIA, Inc.................. 3,368 157,033
Columbia Energy Group...... 2,791 154,552
Florida Progress Corp...... 3,334 154,197
Central & South West
Corp..................... 7,287 153,938
Cinergy Corp............... 5,433 153,822
W. W. Grainger, Inc........ 3,155 151,637
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 7
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Bear Stearns Cos., Inc..... 3,927 $ 150,944
Ecolab, Inc................ 4,375 149,297
Winn-Dixie Stores, Inc..... 5,025 149,180
Cooper Industries, Inc..... 3,186 148,945
Northrop Grumman Corp...... 2,324 147,719
Sonat, Inc................. 3,712 147,320
Newmont Mining Corp........ 5,675 146,841
PP&L Resources, Inc........ 5,412 146,462
Knight-Ridder, Inc......... 2,661 146,022
ALZA Corp.*................ 3,404 145,734
Sealed Air Corp.*.......... 2,821 144,753
Constellation Energy
Group.................... 5,131 144,309
Brown-Forman Corp.......... 2,313 144,273
H & R Block, Inc........... 3,277 142,345
AutoZone, Inc.*............ 5,046 141,603
Hasbro, Inc................ 6,580 141,059
Nucor Corp................. 2,953 140,637
GPU, Inc................... 4,305 140,451
Amsouth Bancorporation..... 5,958 139,641
Peoplesoft, Inc.*.......... 8,143 137,922
Equifax, Inc............... 4,876 137,137
Union Pacific Resources
Group, Inc............... 8,509 136,676
Inco Ltd................... 6,389 136,565
CMS Energy Corp............ 4,003 135,852
Paccar, Inc................ 2,649 134,768
Black & Decker Corp........ 2,940 134,321
Reynolds Metals Co......... 2,196 132,584
New Century Energies,
Inc...................... 3,939 131,710
WellPoint Health
Networks*................ 2,275 129,675
Nordstrom, Inc............. 4,796 129,492
SAFECO Corp................ 4,600 128,800
Office Depot, Inc.*........ 12,618 128,546
R. R. Donnelley & Sons
Co....................... 4,424 127,743
Tosco Corp................. 5,045 127,386
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Bausch & Lomb, Inc......... 1,924 $ 126,864
Toys R Us, Inc.*........... 8,394 125,910
V. F. Corp................. 4,049 125,519
Vulcan Materials Co........ 3,424 125,404
Scientific Atlanta, Inc.... 2,527 125,244
Case Corp.................. 2,512 125,129
Anardarko Petroleum
Corp..................... 4,088 124,939
Parametric Technology
Corp.*................... 9,152 123,552
International Flavors &
Fragrances, Inc........ . 3,581 123,544
Countrywide Credit
Industries, Inc.......... 3,797 122,453
Ceridian Corp.*............ 4,880 121,390
Rite Aid Corp.............. 8,737 120,680
Sherwin-Williams Co........ 5,722 119,804
Harrah's Entertainment,
Inc.*.................... 4,311 119,630
Mead Corp.................. 3,430 117,906
Torchmark Corp............. 4,510 116,696
Temple-Inland, Inc......... 1,879 113,679
Northern States Power Co... 5,270 113,634
Fluor Corp................. 2,805 112,901
Wendy's International,
Inc...................... 4,165 109,852
Allegheny Teledyne, Inc.... 6,506 109,789
Sigma-Aldrich Corp......... 3,411 108,299
B. F. Goodrich Co.......... 3,730 108,170
Phelps Dodge Corp.......... 1,950 107,372
Eastman Chemical Co........ 2,643 105,720
Navistar International
Corp.*................... 2,250 104,625
Owens-Illinois, Inc.*...... 5,262 104,253
Crown Cork and Seal Co.,
Inc...................... 4,129 100,128
Harcourt General, Inc...... 2,399 99,858
Biomet, Inc................ 3,794 99,830
Maytag Corp................ 2,988 99,538
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 8
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Niagara Mohawk Holdings,
Inc.*.................... 6,429 $ 99,248
Watson Pharmaceuticals,
Inc.*.................... 3,230 98,717
Thomas & Betts Corp........ 1,919 97,869
Tenneco, Inc............... 5,746 97,682
Pall Corp.................. 4,210 97,619
Service Corp.
International............ 9,196 97,133
Hercules, Inc.............. 3,332 95,378
ITT Industries, Inc........ 2,977 94,706
Mirage Resorts, Inc.*...... 6,719 94,486
Cabletron Systems, Inc.*... 5,818 91,270
Deluxe Corp................ 2,643 89,862
St. Jude Medical, Inc.*.... 2,839 89,428
King World Productions,
Inc.*.................... 2,381 89,287
Darden Restaurants, Inc.... 4,517 88,364
Supervalu, Inc............. 4,026 87,817
Westvaco Corp.............. 3,376 86,510
Hilton Hotels Corp......... 8,715 86,061
Advanced Micro Devices,
Inc.*.................... 4,995 85,852
Freeport-McMoRan Copper &
Gold, Inc., Class B...... 5,515 85,827
Healthsouth Corp.*......... 14,006 84,911
Sunoco, Inc................ 3,064 83,877
Ashland, Inc............... 2,483 83,491
Consolidated Stores
Corp.*................... 3,700 81,631
C. R. Bard, Inc............ 1,708 80,383
Homestake Mining Co........ 8,431 77,460
Engelhard Corp............. 4,241 77,133
USX-U. S. Steel Group...... 2,994 77,096
Brunswick Corp............. 3,088 76,814
Stanley Works.............. 2,999 75,537
Laidlaw, Inc............... 11,153 75,283
Great Lakes Chemical
Corp..................... 1,975 75,173
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Harris Corp................ 2,691 $ 74,339
Dillards, Inc., Class A.... 3,608 73,287
Mallinckrodt, Inc.......... 2,385 71,997
Snap-On, Inc............... 2,211 71,857
Thermo Electron Corp.*..... 5,329 71,608
Allied Waste Industries,
Inc...................... 6,106 71,364
Cummins Engine Co.......... 1,426 71,033
Boise Cascade Corp......... 1,912 69,668
Silicon Graphics, Inc.*.... 6,364 69,606
Adolf Coors Co............. 1,249 67,602
Cyprus Amax Minerals
Co....................... 3,398 66,686
Liz Claiborne, Inc......... 2,128 65,968
U. S. Airways Group,
Inc.*.................... 2,493 65,441
Manor Care, Inc.*.......... 3,739 64,264
Meredith Corp.............. 1,747 63,438
EG&G, Inc.................. 1,524 60,674
Armstrong World Industries,
Inc...................... 1,336 60,036
Bemis Co., Inc............. 1,764 59,755
Nicor, Inc................. 1,587 59,017
Centex Corp................ 1,995 58,977
American Greetings Corp.... 2,241 57,706
Louisiana-Pacific Corp..... 3,649 57,016
Millipore Corp............. 1,488 55,893
Tektronix, Inc............. 1,607 53,834
Ikon Office Solutions,
Inc...................... 5,005 53,491
Worthington Industries,
Inc...................... 3,117 52,989
Crane Co................... 2,283 51,225
FMC Corp.*................. 1,049 50,614
Ryder System, Inc.......... 2,398 48,859
Andrew Corp.*.............. 2,775 48,216
Briggs & Stratton Corp..... 786 45,883
Ball Corp.................. 1,033 45,517
Rowan Cos., Inc.*.......... 2,798 45,467
Alberto-Culver Co.......... 1,930 44,631
Autodesk, Inc.............. 1,991 43,553
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 9
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Cooper Tire & Rubber Co.... 2,460 $ 43,357
National Service
Industries, Inc.......... 1,374 43,281
Shared Medical Systems
Corp..................... 903 42,215
Helmerich & Payne, Inc..... 1,664 42,120
Peoples Energy Corp........ 1,187 41,768
McDermott International,
Inc...................... 1,995 40,399
Owens Corning.............. 1,833 39,753
Great Atlantic & Pacific
Tea Co., Inc............. 1,299 39,376
Longs Drug Stores, Inc..... 1,315 39,286
Tupperware Corp............ 1,933 39,143
Potlatch Corp.............. 948 39,046
Polaroid Corp.............. 1,499 38,974
Humana, Inc.*.............. 5,644 38,803
W. R. Grace & Co.*......... 2,308 37,072
Eastern Enterprises........ 792 36,778
Data General Corp.*........ 1,715 36,122
Kaufman & Broad Home
Corp..................... 1,711 35,289
Asarco, Inc................ 1,284 34,427
Oneok, Inc................. 1,119 33,920
Timken Co.................. 2,095 33,782
Bethlehem Steel Corp.*..... 4,425 32,634
Pulte Corp................. 1,459 31,733
Pep Boys Manny Moe &
Jack..................... 1,766 26,269
Milacron, Inc.............. 1,289 22,880
Fleetwood Enterprises,
Inc...................... 1,132 22,852
Jostens, Inc............... 1,140 21,802
Springs Industries, Inc.... 603 $ 20,464
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Reebok International,
Ltd.*.................... 1,894 20,242
NACCO Industries, Inc...... 285 19,914
Foster Wheeler Corp........ 1,474 17,780
Russell Corp............... 1,158 16,429
Fruit of the Loom, Ltd.*... 2,446 8,102
------------
Total Common Stocks
(Cost $288,397,492).... 356,126,412
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
-----------
<S> <C> <C>
FEDERAL AGENCY
DISCOUNT NOTES 13.8%
Fannie Mae 5.02% 10/25/99... $25,000,000 24,916,333
Fannie Mae 4.98%
10/26/99**................ 40,000,000 39,861,667
------------
Total Federal Agency
Discount Notes
(Cost $64,778,000).... 64,778,000
------------
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS
-----------
<S> <C> <C>
OPTIONS PURCHASED 2.1%
Call Options on:
December 1999 S&P 500
Futures Contracts,
Expiring December 1999,
with strike 900......... 99 9,857,925
Put Options on:
October 1999 S&P 500
Futures Contracts,
Expiring October 1999,
with strike 925......... 1,310 32,750
------------
Total Options Purchased
(Cost $11,477,013).... 9,890,675
------------
</TABLE>
* NON-INCOME PRODUCING SECURITIES
** A PORTION OF THIS HOLDING IS PLEDGED AS COLLATERAL FOR STOCK INDEX FUTURES
CONTRACTS.
SEE NOTES TO FINANCIAL STATEMENTS. 10
<PAGE>
RYDEX SERIES TRUST
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
FACE AMOUNT (NOTE 1)
----------- ------------
<S> <C> <C>
REPURCHASE AGREEMENTS 8.0%
Repurchase Agreements Collaterialized by U.S. Treasury
Obligations:
5.20% due 10/01/99 (Note 3)................................. $18,637,502 $ 18,637,502
5.25% due 10/01/99 (Note 3)................................. 9,331,249 9,331,249
5.28% due 10/01/99 (Note 3)................................. 9,331,249 9,331,249
------------
Total Repurchase Agreements (Cost $37,300,000).......... 37,300,000
------------
Total Investments 100% (Cost $401,952,505).............. $468,095,087
============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
----------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
December 1999 S&P 500 Futures Contracts
(Underlying Face Amount at Market Value $469,972,850)... 1,453 $(16,350,257)
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. 11
<PAGE>
RYDEX SERIES TRUST
URSA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
FACE AMOUNT (NOTE 1)
------------ ------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 69.6%
Fannie Mae 5.14% 10/05/99................................... $ 25,000,000 $ 24,985,722
Fannie Mae 5.20% 10/08/99................................... 25,000,000 24,974,722
Fannie Mae 5.17% 10/18/99................................... 25,000,000 24,938,965
Fannie Mae 5.12% 10/25/99................................... 25,000,000 24,914,667
Fannie Mae 5.21% 12/07/99................................... 25,000,000 24,757,590
Fannie Mae 5.20% 12/15/99................................... 25,000,000 24,729,167
Federal Farm Credit Banks 5.14% 10/01/99.................... 25,000,000 25,000,000
Federal Farm Credit Banks 5.13% 10/04/99.................... 25,000,000 24,989,313
Federal Farm Credit Banks 5.15% 10/12/99.................... 23,000,000 22,963,807
Federal Home Loan Banks 5.17% 10/01/99...................... 100,000,000 100,000,000
Federal Home Loan Banks 5.12% 10/14/99...................... 25,000,000 24,953,778
Federal Home Loan Banks 5.14% 10/22/99**.................... 30,000,000 29,910,050
Freddie Mac 5.16% 10/07/99.................................. 25,000,000 24,978,500
Freddie Mac 5.04% 10/14/99.................................. 25,000,000 24,954,500
Freddie Mac 5.20% 10/15/99.................................. 25,000,000 24,949,444
Freddie Mac 5.14% 10/21/99.................................. 25,000,000 24,928,611
Freddie Mac 5.23% 11/05/99.................................. 25,000,000 24,872,882
Freddie Mac 5.17% 11/10/99.................................. 25,000,000 24,856,389
------------
Total Federal Agency Discount Noted (Cost
$526,658,107)......................................... 526,658,107
------------
U.S. TREASURY OBLIGATIONS 14.4%
U.S. Treasury Bill 4.460% 10/14/99.......................... 25,000,000 24,959,736
U.S. Treasury Bill 4.745% 11/12/99**........................ 30,000,000 29,833,925
U.S. Treasury Bill 4.625% 11/18/99**........................ 55,000,000 54,660,833
------------
Total U.S. Treasury Oligations (Cost $109,454,494)...... 109,454,494
------------
<CAPTION>
CONTRACTS
------------
<S> <C> <C>
OPTIONS PURCHASED 0.8%
Put Options on:
December 1999 S&P 500 Futures Contracts, Expiring
December 1999, with strike 1600......................... 80 6,036,000
------------
Total Options Purchased (Cost $4,800,560)............... 6,036,000
------------
</TABLE>
** A PORTION OF THIS HOLDING IS PLEDGED AS COLLATERAL FOR STOCK INDEX FUTURES
CONTRACTS.
See Notes to Financial Statements. 12
<PAGE>
RYDEX SERIES TRUST
URSA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
FACE AMOUNT (NOTE 1)
------------ ------------
<S> <C> <C>
REPURCHASE AGREEMENTS 15.2%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations:
5.20% due 10/01/99 (Note 3)................................. $ 57,411,504 $ 57,411,504
5.25% due 10/01/99 (Note 3)................................. 28,744,248 28,744,248
5.28% due 10/01/99 (Note 3)................................. 28,744,248 28,744,248
------------
Total Repurchase Agreements (Cost $114,900,000)......... 114,900,000
------------
Total Investments 100% (Cost $755,813,161).............. $757,048,601
============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
----------- ------------
<S> <C> <C>
FUTURES CONTRACTS SOLD SHORT
December 1999 S&P 500 Futures Contracts
(Underlying Face Amount at Market Value $693,800,250)... 2,145 $ 23,014,972
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. 13
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- --------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 69.2%
Fannie Mae 5.04% 10/04/99................................... $25,000,000 $ 24,989,500
Fannie Mae 5.00% 10/07/99................................... 25,000,000 24,979,167
Fannie Mae 5.20% 10/08/99................................... 25,000,000 24,974,722
Fannie Mae 5.08% 10/12/99................................... 25,000,000 24,961,194
Fannie Mae 5.19% 10/13/99................................... 25,000,000 24,956,750
Fannie Mae 5.02% 10/19/99................................... 25,000,000 24,937,250
Fannie Mae 5.08% 10/21/99................................... 25,000,000 24,929,444
Fannie Mae 5.01% 10/22/99................................... 25,000,000 24,926,937
Fannie Mae 5.02% 10/25/99................................... 25,000,000 24,916,333
Fannie Mae 5.00% 10/26/99................................... 25,000,000 24,913,194
Fannie Mae 5.12% 10/27/99................................... 25,000,000 24,907,555
Fannie Mae 5.20% 11/02/99................................... 25,000,000 24,884,445
Fannie Mae 5.16% 11/23/99................................... 25,000,000 24,810,083
Fannie Mae 5.21% 12/02/99................................... 20,000,000 19,820,544
Fannie Mae 5.19% 12/06/99................................... 25,000,000 24,762,125
Fannie Mae 5.22% 12/13/99................................... 25,000,000 24,735,375
Fannie Mae 5.19% 12/14/99................................... 25,000,000 24,733,292
Fannie Mae 5.20% 12/15/99................................... 25,000,000 24,729,167
Fannie Mae 5.21% 12/17/99................................... 25,000,000 24,721,410
Fannie Mae 5.45% 01/18/00................................... 25,000,000 24,587,465
Farmer Mac 5.48% 01/12/00................................... 25,000,000 24,608,028
Federal Farm Credit Banks 5.09% 10/05/99.................... 25,000,000 24,985,861
Federal Farm Credit Banks 5.15% 11/09/99.................... 25,000,000 24,860,521
Federal Home Loan Banks 5.17% 10/01/99...................... 50,000,000 50,000,000
Federal Home Loan Banks 5.12% 10/14/99...................... 25,000,000 24,953,778
Federal Home Loan Banks 5.11% 10/29/99...................... 25,000,000 24,900,639
Federal Home Loan Banks 5.16% 11/15/99...................... 25,000,000 24,838,750
Federal Home Loan Banks 5.14% 11/24/99...................... 25,000,000 24,807,250
Federal Home Loan Banks 5.17% 11/26/99...................... 25,000,000 24,798,945
Federal Home Loan Banks 5.19% 12/23/99...................... 25,000,000 24,700,854
Federal Home Loan Banks 5.21% 01/06/00...................... 25,000,000 24,649,049
Freddie Mac 5.12% 10/01/99.................................. 25,000,000 25,000,000
Freddie Mac 5.20% 10/01/99.................................. 25,000,000 25,000,000
Freddie Mac 4.76% 10/06/99.................................. 30,000,000 29,980,167
Freddie Mac 5.21% 10/15/99.................................. 25,000,000 24,949,347
Freddie Mac 4.81% 10/18/99.................................. 30,000,000 29,931,858
Freddie Mac 4.84% 11/22/99.................................. 25,000,000 24,825,222
--------------
Total Federal Agency Discount Notes (Cost
$949,966,221)......................................... 949,966,221
--------------
</TABLE>
See Notes to Financial Statements. 14
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- --------------
<S> <C> <C>
FEDERAL AGENCY BONDS 12.6%
Fannie Mae 5.02% 04/26/00................................... $25,000,000 $ 24,996,164
Fannie Mae 5.04% 02/23/00................................... 25,000,000 24,996,921
Federal Farm Credit Banks 5.10% 11/01/99.................... 25,000,000 25,000,000
Federal Home Loan Banks 5.10% 05/11/00...................... 30,000,000 30,000,000
Federal Home Loan Banks 5.20% 05/26/00...................... 28,000,000 27,995,188
Federal Home Loan Banks 5.68% 08/16/00...................... 25,000,000 25,000,000
Federal Home Loan Banks 5.81% 08/23/00...................... 15,000,000 15,000,000
--------------
Total Federal Agency Bonds (Cost $172,988,273).......... 172,988,273
--------------
U.S. TREASURY OBLIGATIONS 3.6%
U.S. Treasury Bill 4.25% 10/28/99........................... 50,000,000 49,840,625
--------------
Total U.S. Treasury Obligations (Cost $49,840,625)...... 49,840,625
--------------
REPURCHASE AGREEMENTS 14.6%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations:
5.20% due 10/01/99 (Note 3)................................. 100,032,924 100,032,924
5.25% due 10/01/99 (Note 3)................................. 50,083,538 50,083,538
5.28% due 10/01/99 (Note 3)................................. 50,083,538 50,083,538
--------------
Total Repurchase Agreements (Cost $200,200,000)......... 200,200,000
--------------
Total Investments 100% (Cost $1,372,995,119)............ $1,372,995,119
==============
</TABLE>
See Notes to Financial Statements. 15
<PAGE>
RYDEX SERIES TRUST
OTC FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
----------- --------------
<S> <C> <C>
COMMON STOCKS 98.0%
Microsoft Corp.*....... 2,327,778 $ 210,809,395
Intel Corp............. 1,552,275 115,353,436
Cisco Systems, Inc.*... 1,530,342 104,924,073
MCI WorldCom, Inc.*.... 890,749 64,022,584
Dell Computer Corp.*... 1,239,300 51,818,231
QUALCOMM, Inc.*........ 257,030 48,626,863
Sun Microsystems,
Inc.*................ 441,441 41,054,013
Nextel Communications,
Inc., Class A*....... 541,666 36,731,726
Oracle Corp.*.......... 777,500 35,376,273
Yahoo! Inc.*........... 162,345 29,140,928
Amgen, Inc.*........... 324,282 26,428,983
Amazon.com, Inc.*...... 293,489 23,460,777
Applied Materials,
Inc.*................ 255,942 19,883,494
JDS Uniphase Corp.*.... 173,166 19,708,455
Biogen, Inc.*.......... 247,936 19,540,456
Comcast Corp., Special
Class A.............. 460,004 18,342,660
Apple Computer,
Inc.*................ 289,553 18,332,324
Xilinx, Inc.*.......... 274,213 17,969,521
Veritas Software
Corp.*............... 227,778 17,296,892
BMC Software, Inc.*.... 238,004 17,032,161
CMGI, Inc.*............ 165,387 16,952,168
Tellabs, Inc.*......... 295,314 16,814,441
Linear Technology
Corp................. 276,992 16,281,936
Level 3 Communications,
Inc.*................ 311,499 16,266,088
Altera Corp.*.......... 372,570 16,160,224
Maxim Integrated
Products, Inc.*...... 253,732 16,008,903
Global Crossing,
Ltd.*................ 590,637 15,651,881
Qwest Communications
International,
Inc.*................ 513,815 15,189,656
At Home Corp., Series
A*................... 343,774 14,245,135
Immunex Corp.*......... 296,697 12,869,232
Costco Wholesale
Corp.*............... 153,800 11,073,600
Novell, Inc.*.......... 529,417 10,952,314
NTL, Inc.*............. 112,122 10,774,223
Paychex, Inc........... 310,852 10,607,824
Conexant Systems,
Inc.*................ 141,727 10,297,352
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
----------- --------------
<S> <C> <C>
LM Ericsson Telephone
Co., Class B,
Sponsored ADR........ 326,130 $ 10,191,562
Cintas Corp............ 175,562 10,149,678
PanAmSat Corp.*........ 270,937 9,787,599
KLA-Tencor Corp.*...... 144,611 9,399,715
Chiron Corp.*.......... 338,766 9,379,584
ADC Telecommunications,
Inc.*................ 222,888 9,347,366
Siebel Systems,
Inc.*................ 140,075 9,332,497
Vitesse Semiconductor
Corp.*............... 108,595 9,271,298
Intuit, Inc.*.......... 104,803 9,186,638
Adobe Systems, Inc..... 79,486 9,021,661
Staples, Inc.*......... 412,266 8,992,552
Bed Bath & Beyond,
Inc.*................ 243,272 8,499,316
Citrix Systems,
Inc.*................ 136,501 8,454,531
Starbucks Corp.*....... 336,131 8,329,746
USA Networks, Inc.*.... 202,837 7,859,934
Compuware Corp.*....... 296,109 7,717,341
Peoplesoft, Inc.*...... 455,537 7,715,658
Visx, Inc.*............ 95,941 7,588,333
Ciena Corp.*........... 202,706 7,398,769
Lycos, Inc.*........... 139,445 6,989,681
3Com Corp.*............ 238,530 6,857,738
Parametric Technology
Corp.*............... 487,527 6,581,614
Fiserv, Inc.*.......... 200,950 6,530,875
Concord EFS, Inc.*..... 311,966 6,434,299
Comverse Technology,
Inc.*................ 68,016 6,414,759
American Power
Conversion Corp.*.... 330,537 6,280,203
Genzyme Corp. - General
Division*............ 139,077 6,267,157
Sanmina Corp.*......... 80,212 6,206,404
Smurfit-Stone Container
Corp.*............... 286,988 6,206,115
Electronic Arts,
Inc.*................ 85,705 6,202,899
Synopsys, Inc.*........ 110,284 6,193,136
PACCAR, Inc............ 117,440 5,974,760
CNET, Inc.*............ 98,781 5,531,736
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 16
<PAGE>
RYDEX SERIES TRUST
OTC FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Centocor, Inc.*........ 91,934 $ 5,383,885
Biomet, Inc............ 199,689 5,254,317
Sigma-Aldrich Corp..... 137,000 4,349,750
Adaptec, Inc.*......... 107,267 4,257,159
Quintiles Transnational
Corp.*............... 213,816 4,069,186
Molex, Inc............. 100,258 3,646,885
Network Associates,
Inc.*................ 190,280 3,639,105
Atmel Corp.*........... 98,482 3,329,923
Dollar Tree Stores,
Inc.*................ 76,231 3,044,476
PacifiCare Health
Systems, Inc.,
Class B*............. 53,588 2,317,681
Northwest Airlines
Corp.*............... 90,769 2,314,609
Reuters Group, Plc.,
Sponsored ADR........ 30,114 2,074,102
Apollo Group, Inc.,
Class A*............. 97,018 2,049,505
Fastenal Co............ 36,979 1,742,635
Autodesk, Inc.......... 66,561 1,456,022
Tech Data Corp.*....... 62,499 1,455,055
Worthington Industries,
Inc.................. 80,185 1,363,145
First Health Group
Corp.*............... 45,313 1,016,710
CBRL Group, Inc........ 59,536 922,808
Cambridge Technology
Partners, Inc.*...... 61,081 885,675
--------------
Total Common Stocks
(Cost
$833,302,627).... 1,456,866,009
--------------
MARKET
VALUE
FACE AMOUNT (NOTE 1)
----------- --------------
REPURCHASE
AGREEMENTS 2.0%
Repurchase Agreements
Collateralized by
U.S. Treasury
Obligations:
5.20% due 10/01/99
(Note 3)........... $15,039,916 $ 15,039,916
5.25% due 10/01/99
(Note 3)........... 7,530,042 7,530,042
5.28% due 10/01/99
(Note 3)........... 7,530,042 7,530,042
--------------
Total Repurchase
Agreements (Cost
$30,100,000)..... 30,100,000
--------------
Total Investments
100% (Cost
$863,402,627).... $1,486,966,009
==============
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
--------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
December 1999 NASDAQ 100 Futures Contracts
(Underlying Face Amount at Market Value $15,814,500) 65 $ (519,355)
============
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 17
<PAGE>
RYDEX SERIES TRUST
U.S. GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
FACE AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 90.3%
U.S. Treasury Bond 6.125% 08/15/29.......................... $24,315,000 $24,539,154
-----------
Total U. S. Treasury Obligations (Cost $24,667,402)..... 24,539,154
-----------
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS
-----------
<S> <C> <C>
OPTIONS PURCHASED 4.2%
Call Options on:
December 1999 U.S. Treasury Bond Futures Contracts,
Expiring December 1999, with strike 100................. 82 1,142,875
-----------
Total Options Purchased (Cost $1,160,231)............... 1,142,875
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT
-----------
<S> <C> <C>
REPURCHASE AGREEMENTS 5.5%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations:
5.20% due 10/01/99 (Note 3)............................... $749,498 749,498
5.25% due 10/01/99 (Note 3)............................... 375,251 375,251
5.28% due 10/01/99 (Note 3)............................... 375,251 375,251
-----------
Total Repurchase Agreements (Cost $1,500,000)........... 1,500,000
-----------
Total Investments 100% (Cost $27,327,633)............... $27,182,029
===========
</TABLE>
See Notes to Financial Statements. 18
<PAGE>
RYDEX SERIES TRUST
JUNO FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
FACE AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 64.3%
Federal Farm Credit Banks 5.14% 10/01/99.................... $10,000,000 $10,000,000
-----------
Total Federal Agency Discount Notes (Cost
$10,000,000).......................................... 10,000,000
-----------
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS
-----------
<S> <C> <C>
OPTIONS PURCHASED 2.9%
Put Options on:
December 1999 U.S. Treasury Bond Futures Contracts,
Expiring December 1999, with strike 124................. 44 442,750
-----------
Total Options Purchased (Cost $410,168)................. 442,750
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE AMOUNT
-----------
<S> <C> <C>
REPURCHASE AGREEMENTS 32.8%
Repurchase Agreements Collateralized by U.S. Treasury
Obligations:
5.20% due 10/01/99 (Note 3)............................... $2,548,292 2,548,292
5.25% due 10/01/99 (Note 3)............................... 1,275,854 1,275,854
5.28% due 10/01/99 (Note 3)............................... 1,275,854 1,275,854
-----------
Total Repurchase Agreements (Cost $5,100,000)........... 5,100,000
-----------
Total Investments 100% (Cost $15,510,168)............... $15,542,750
===========
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
---------- -----------
<S> <C> <C>
FUTURES CONTRACTS SOLD SHORT
December 1999 U. S. Treasury Bond Futures Contracts
(Underlying Face Amount at Market Value $9,684,688)... 85 $ 164,427
===========
</TABLE>
See Notes to Financial Statements. 19
<PAGE>
RYDEX SERIES TRUST
ARKTOS FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- ------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 65.1%
Fannie Mae 5.17% 10/18/99................................... $25,000,000 $ 24,938,965
Federal Home Loan Banks 5.17% 10/01/99...................... 25,000,000 25,000,000
Federal Home Loan Banks 5.13% 10/04/99...................... 25,000,000 24,989,313
Federal Home Loan Banks 5.12% 10/22/99...................... 25,000,000 24,925,333
------------
Total Federal Agency Discount Notes (Cost
$99,853,611).......................................... 99,853,611
------------
</TABLE>
<TABLE>
<S> <C> <C>
REPURCHASE AGREEMENTS 34.9%
Repurchase Agreements Collateralized by U. S. Treasury
Obligations:
5.20% due 10/01/99 (Note 3)............................... 26,782,042 26,782,042
5.25% due 10/01/99 (Note 3)............................... 13,408,979 13,408,979
5.28% due 10/01/99 (Note 3)............................... 13,408,979 13,408,979
------------
Total Repurchase Agreements (Cost $53,600,000).......... 53,600,000
------------
Total Investments 100% (Cost $153,453,611).......... $153,453,611
============
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements. 20
<PAGE>
RYDEX SERIES TRUST
ARKTOS FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
COMMON STOCKS SOLD SHORT
Microsoft Corp.*........... (210,173) $(19,033,792)
Intel Corp................. (140,730) (10,457,998)
Cisco Systems, Inc.*....... (139,775) (9,583,323)
MCI WorldCom, Inc.*........ (81,041) (5,824,822)
Dell Computer Corp.*....... (112,064) (4,685,676)
QUALCOMM, Inc.*............ (23,065) (4,363,610)
Sun Microsystems, Inc.*.... (40,109) (3,730,137)
Nextel Communications,
Inc., Class A*........... (48,210) (3,269,241)
Oracle Corp.*.............. (70,576) (3,211,208)
Yahoo! Inc.*............... (14,885) (2,671,857)
Amgen, Inc.*............... (29,123) (2,373,524)
Amazon.com, Inc.*.......... (27,154) (2,170,623)
Applied Materials, Inc.*... (23,274) (1,808,099)
JDS Uniphase Corp.*........ (15,853) (1,804,270)
Biogen, Inc.*.............. (22,438) (1,768,395)
Comcast Corp., Special
Class A.................. (41,603) (1,658,920)
Apple Computer, Inc.*...... (26,070) (1,650,557)
Xilinx, Inc.*.............. (24,814) (1,626,092)
Veritas Software Corp.*.... (20,839) (1,582,462)
BMC Software, Inc.*........ (21,950) (1,570,797)
CMGI, Inc.*................ (15,022) (1,539,755)
Tellabs, Inc.*............. (26,844) (1,528,430)
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- ------------
<S> <C> <C>
Level 3 Communications,
Inc.*.................... (28,209) $ (1,473,039)
Altera Corp.*.............. (33,632) (1,458,788)
Linear Technology Corp..... (24,792) (1,457,305)
Maxim Integrated Products,
Inc.*.................... (22,873) (1,443,143)
Global Crossing, Ltd.*..... (53,640) (1,421,460)
Qwest Communications
International, Inc.*..... (46,606) (1,377,790)
At Home Corp., Series A*... (31,704) (1,313,734)
Immunex Corp.*............. (26,717) (1,158,850)
Costco Wholesale Corp.*.... (13,953) (1,004,616)
Novell, Inc.*.............. (48,369) (1,000,634)
NTL, Inc.*................. (10,151) (975,448)
Paychex, Inc............... (28,187) (961,881)
Conexant Systems, Inc.*.... (12,966) (942,061)
LM Ericsson Telephone Co.,
Series B, Sponsored ADR.. (29,662) (926,937)
Cintas Corp................ (15,980) (923,844)
PanAmSat Corp.*............ (24,490) (884,701)
Siebel Systems, Inc.*...... (13,101) (872,854)
Intuit, Inc.*.............. (9,743) (854,035)
ADC Telecommunications,
Inc.*.................... (20,340) (853,009)
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 21
<PAGE>
RYDEX SERIES TRUST
ARKTOS FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- -------------
<S> <C> <C>
Vitesse Semiconductor
Corp.*.................. (9,936) $ (848,286)
KLA-Tencor Corp.*......... (12,976) (843,440)
Chiron Corp.*............. (30,390) (841,423)
Adobe Systems, Inc........ (7,298) (828,323)
Staples, Inc.*............ (37,592) (819,975)
Bed Bath & Beyond, Inc.*.. (22,469) (785,011)
Citrix Systems, Inc.*..... (12,516) (775,210)
Starbucks Corp.*.......... (30,414) (753,697)
Ciena Corp.*.............. (19,647) (717,115)
USA Networks, Inc.*....... (18,443) (714,666)
Peoplesoft, Inc.*......... (41,721) (706,649)
Lycos, Inc.*.............. (14,018) (702,653)
Compuware Corp.*.......... (26,509) (690,891)
Visx, Inc.*............... (8,729) (690,409)
3Com Corp.*............... (21,828) (627,555)
Fiserv, Inc.*............. (18,304) (594,880)
Parametric Technology
Corp.*.................. (43,716) (590,166)
Sanmina Corp.*............ (7,543) (583,640)
American Power Conversion
Corp.*.................. (30,332) (576,308)
Genzyme Corp. - General
Division*............... (12,704) (572,474)
Concord EFS Inc.*......... (27,536) (567,930)
CNET, Inc.*............... (9,991) (559,496)
Synopsys, Inc.*........... (9,943) (558,362)
Smurfit-Stone Container
Corp.*.................. (25,625) (554,141)
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
--------- -------------
<S> <C> <C>
Electronic Arts, Inc.*.... (7,581) $ (548,675)
PACCAR, Inc............... (10,486) (533,475)
Centocor, Inc.*........... (8,292) (485,600)
Biomet, Inc............... (18,314) (481,887)
Sigma-Aldrich Corp........ (12,739) (404,463)
Quintiles Transnational
Corp.*.................. (19,324) (367,760)
Network Associates,
Inc.*................... (17,405) (332,871)
Molex, Inc................ (9,042) (328,903)
Dollar Tree Stores,
Inc.*................... (6,803) (271,695)
PacifiCare Health Systems
Inc., Class B*.......... (5,080) (219,710)
Northwest Airlines
Corp.*.................. (8,348) (212,874)
Reuters Group, Plc,
Sponsored ADR........... (2,761) (190,164)
Apollo Group, Inc., Class
A*...................... (8,721) (184,231)
Herman Miller, Inc........ (7,702) (184,126)
Ross Stores, Inc.......... (8,517) (171,405)
Autodesk, Inc............. (5,912) (129,325)
Tech Data Corp.*.......... (5,351) (124,578)
CBRL Group, Inc........... (5,167) (80,088)
Cambridge Technology
Partners, Inc.*......... (5,176) (75,052)
Stewart Enterprises, Inc.,
Class A................. (10,805) (65,504)
-------------
Total Common Stocks
Sold Short (Proceeds
$141,782,562)....... $(131,112,803)
=============
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
--------- ------------
<S> <C> <C>
FUTURES CONTRACTS SOLD SHORT
December 1999 NASDAQ 100 Futures Contracts
(Underlying Face Amount at Market Value $71,530,200)...... 294 $ 1,859,392
============
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 22
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
MONEY
NOVA URSA MARKET OTC
FUND FUND FUND FUND
------------ ------------ -------------- --------------
<S> <C> <C> <C> <C>
ASSETS
Repurchase Agreements..................................... $ 37,300,000 $114,900,000 $ 200,200,000 $ 30,100,000
Investment Securities..................................... 430,795,087 642,148,601 1,172,795,119 1,456,866,009
------------ ------------ -------------- --------------
Securities at Value (Note 1)--See Accompanying
Schedules............................................... 468,095,087 757,048,601 1,372,995,119 1,486,966,009
Receivable for Futures Contracts Settlement............... 3,384,963 -- -- 94,250
Investment Income Receivable.............................. 486,354 16,700 2,290,572 11,728
Cash in Custodian Bank.................................... 1,505,057 1,521,840 46,120 60,396
Cash on Deposit with Broker............................... 4,368,750 -- -- 810,833
Receivable for Shares Purchased........................... 117,699,521 17,439,543 51,015,912 61,886,511
Other Assets.............................................. 309,731 24,830 211,656 608,949
------------ ------------ -------------- --------------
Total Assets............................................ 595,849,463 776,051,514 1,426,559,379 1,550,438,676
------------ ------------ -------------- --------------
LIABILITIES
Payable for Securities Purchased.......................... -- -- -- 40,725,166
Payable for Futures Contracts Settlement.................. -- 7,960,605 -- --
Liability for Shares Redeemed............................. 16,265,651 47,836,095 279,091,112 21,546,334
Dividends Payable......................................... -- -- 207,009 --
Investment Advisory Fee Payable........................... 339,912 449,843 494,901 1,002,836
Transfer Agent Fee Payable................................ 113,304 124,956 197,960 267,423
Distribution and Service Fee Payable...................... 9,532 2,381 148,885 25,853
Other Liabilities......................................... 197 19,575 -- 5,464
------------ ------------ -------------- --------------
Total Liabilities....................................... 16,728,596 56,393,455 280,139,867 63,573,076
------------ ------------ -------------- --------------
NET ASSETS.................................................. $579,120,867 $719,658,059 $1,146,419,512 $1,486,865,600
============ ============ ============== ==============
INVESTOR CLASS:
Net Assets................................................ $551,335,289 $712,982,890 $728,989,916 $1,454,945,267
Shares Outstanding........................................ 16,205,805 80,584,748 729,309,317 26,824,064
Net Asset Value Per Share................................. $34.02 $8.85 $1.00 $54.24
ADVISOR CLASS:
Net Assets................................................ $27,785,578 $6,675,169 $417,429,596 $31,920,333
Shares Outstanding........................................ 820,662 760,703 417,663,908 591,468
Net Asset Value Per Share................................. $33.86 $8.78 $1.00 $53.97
</TABLE>
See Notes to Financial Statements. 23
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
GOVERNMENT JUNO ARKTOS
BOND FUND FUND FUND
----------- ----------- ------------
<S> <C> <C> <C>
ASSETS
Repurchase Agreements..................................... $ 1,500,000 $ 5,100,000 $ 53,600,000
Investment Securities..................................... 25,682,029 10,442,750 99,853,611
----------- ----------- ------------
Securities at Value (Note 1)--See Accompanying
Schedules............................................... 27,182,029 15,542,750 153,453,611
Receivable-Short Sales Open............................... -- -- 141,782,562
Receivable for Securities Sold............................ -- 180,954 --
Investment Income Receivable.............................. 193,286 741 7,791
Cash in Custodian Bank.................................... 77,909 86,481 63,042
Cash on Deposit with Broker............................... -- -- 31,611,630
Receivable for Shares Purchased........................... 2,844,403 309,701 14,764,990
Unamortized Organization Costs (Note 1)................... -- 2,880 --
----------- ----------- ------------
Total Assets............................................ 30,297,627 16,123,507 341,683,626
----------- ----------- ------------
LIABILITIES
Payable for Securities Purchased.......................... 2,216,864 -- --
Payable for Futures Contracts Settlement.................. -- 95,366 401,655
Short Sale at Market Value................................ -- -- 131,112,803
Liability for Shares Redeemed............................. 712,021 4,434,949 5,858,126
Dividends Payable......................................... 5,652 -- --
Investment Advisory Fee Payable........................... 9,934 14,299 172,992
Transfer Agent Fee Payable................................ 3,974 3,972 50,801
Other Liabilities......................................... 7,322 21,840 68,244
----------- ----------- ------------
Total Liabilities....................................... 2,955,767 4,570,426 137,664,621
----------- ----------- ------------
NET ASSETS.................................................. $27,341,860 $11,553,081 $204,019,005
=========== =========== ============
INVESTOR CLASS:
Net Assets................................................ $27,341,860 $11,553,081 $204,019,005
Shares Outstanding........................................ 2,981,224 1,241,136 30,062,718
Net Asset Value Per Share................................. $9.17 $9.31 $6.79
ADVISOR CLASS:
Net Assets................................................ N/A N/A N/A
Shares Outstanding........................................
Net Asset Value Per Share.................................
</TABLE>
See Notes to Financial Statements. 24
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS (UNAUDITED)
- --------------------------------------------------------------------------------
Period Ended September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
MONEY OTC
NOVA FUND URSA FUND MARKET FUND FUND
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.................................................. $ 5,140,012 $11,322,736 $ 27,694,565 $ 625,764
Dividends, net of foreign tax withheld.................... 3,521,484 -- -- 314,665
------------ ----------- ------------ ------------
Total Income............................................ 8,661,496 11,322,736 27,694,565 940,429
------------ ----------- ------------ ------------
EXPENSES
Advisory Fees (Note 4).................................... 2,813,327 2,111,222 2,779,969 5,312,432
Transfer Agent Fees (Note 4).............................. 937,688 586,450 1,111,988 1,416,649
Audit and Outside Services................................ 81,683 43,016 106,687 131,981
Accounting Fees (Note 4).................................. 80,643 51,365 105,402 129,590
Legal..................................................... 28,926 16,004 39,473 49,104
Registration Fees......................................... 165,284 81,725 211,797 261,337
Custodian Fees............................................ 251,278 89,772 213,650 321,986
Distribution Fees--Advisor Class (Note 4)................. 38,131 5,469 373,599 59,419
Servicing Fees--Advisor Class (Note 4).................... 38,131 5,469 373,599 59,419
Miscellaneous............................................. (166,148) 29,758 55,646 (296,768)
------------ ----------- ------------ ------------
Total Expenses.......................................... 4,268,943 3,020,250 5,371,810 7,445,149
Custodian Fees Paid Indirectly (Note 5)................. 22,251 13,924 33,051 42,095
------------ ----------- ------------ ------------
Net Expenses............................................ 4,246,692 3,006,326 5,338,759 7,403,054
------------ ----------- ------------ ------------
Net Investment Income (Loss)................................ 4,414,804 8,316,410 22,355,806 (6,462,625)
------------ ----------- ------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities..................................... (3,325,481) (569,186) (332,406) (35,831,889)
Written Options........................................... (166,897) -- -- --
Futures Contracts......................................... (19,072,712) (18,026,108) -- 2,222,420
Securities Sold Short..................................... -- -- -- --
------------ ----------- ------------ ------------
Total Net Realized Loss................................. (22,565,090) (18,595,294) (332,406) (33,609,469)
------------ ----------- ------------ ------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities..................................... 4,436,348 1,108,360 -- 176,721,494
Written Options........................................... -- -- -- --
Futures Contracts......................................... (9,280,498) 20,548,208 -- (711,435)
Securities Sold Short..................................... -- -- -- --
------------ ----------- ------------ ------------
Net Change in Unrealized Appreciation (Depreciation).... (4,844,150) 21,656,568 -- 176,010,059
------------ ----------- ------------ ------------
Net Gain (Loss) on Investments.......................... (27,409,240) 3,061,274 (332,406) 142,400,590
------------ ----------- ------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS....... $(22,994,436) $11,377,684 $ 22,023,400 $135,937,965
============ =========== ============ ============
</TABLE>
See Notes to Financial Statements. 25
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF OPERATIONS (UNAUDITED) (CONCLUDED)
- --------------------------------------------------------------------------------
Period Ended September 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
BOND FUND JUNO FUND ARKTOS FUND
----------- ---------- ------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest.................................................. $ 626,129 $ 500,823 $ 2,443,183
----------- ---------- ------------
Total Income............................................ 626,129 500,823 2,443,183
----------- ---------- ------------
EXPENSES
Advisory Fees (Note 4).................................... 54,756 97,526 566,428
Transfer Agent Fees (Note 4).............................. 21,902 27,091 156,643
Audit and Outside Services................................ 2,348 1,754 11,576
Accounting Fees (Note 4).................................. 8,897 9,189 62,307
Legal..................................................... 842 634 4,168
Organizational Expenses................................... -- 3,387 --
Registration Fees......................................... 4,943 4,328 21,852
Custodian Fees............................................ 4,059 4,190 23,765
Miscellaneous............................................. (16,674) 6,357 92,839
----------- ---------- ------------
Total Expenses.......................................... 81,073 154,456 939,578
Custodian Fees Paid Indirectly (Note 5)................. 649 643 3,801
----------- ---------- ------------
Net Expenses............................................ 80,424 153,813 935,777
----------- ---------- ------------
Net Investment Income....................................... 545,705 347,010 1,507,406
----------- ---------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities..................................... (2,361,807) 272,841 12,400
Written Options........................................... -- (12,696) --
Futures Contracts......................................... -- 647,989 (9,698,920)
Securities Sold Short..................................... -- -- (31,632,464)
----------- ---------- ------------
Total Net Realized Gain (Loss).......................... (2,361,807) 908,134 (41,318,984)
----------- ---------- ------------
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities..................................... 138,785 59,463 --
Written Options........................................... -- -- --
Futures Contracts......................................... -- 204,969 2,689,372
Securities Sold Short..................................... -- -- 9,162,500
----------- ---------- ------------
Net Change in Unrealized Appreciation (Depreciation).... 138,785 264,432 11,851,872
----------- ---------- ------------
Net Gain (Loss) on Investments.......................... (2,223,022) 1,172,566 (29,467,112)
----------- ---------- ------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS....... $(1,677,317) $1,519,576 $(27,959,706)
=========== ========== ============
</TABLE>
See Notes to Financial Statements. 26
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NOVA FUND URSA FUND
------------------------------------- -------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 SEPTEMBER 30, 1999 MARCH 31, 1999
------------------- --------------- ------------------- ---------------
<S> <C> <C> <C> <C>
UNAUDITED UNAUDITED
FROM OPERATIONS
Net Investment Income...................... $ 4,414,804 $ 11,022,253 $ 8,316,410 $ 17,652,638
Net Realized Gain (Loss) on Investments.... (22,565,090) 67,549,212 (18,595,294) (136,781,903)
Net Change in Unrealized Appreciation
(Depreciation) of Investments............ (4,844,150) 28,288,751 21,656,568 9,982,453
------------------- --------------- ------------------- ---------------
Net Increase (Decrease) in Net Assets
from Operations........................ (22,994,436) 106,860,216 11,377,684 (109,146,812)
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class........................... -- (13,321,698) -- (1,171,704)
Advisor Class............................ -- -- -- (207)
From Realized Gain on Investments
Investor Class........................... -- -- -- --
Advisor Class............................ -- -- -- --
In Excess of Current Year Net Investment
Income
Investor Class........................... -- -- -- --
Advisor Class............................ -- (611,488) -- --
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (NOTE 8)................ (89,346,770) (387,711,572) 222,867,525 341,506,353
------------------- --------------- ------------------- ---------------
Net Increase (Decrease) in Net Assets........ (112,341,206) (294,784,542) 234,245,209 231,187,630
NET ASSETS--BEGINNING OF PERIOD.............. 691,462,073 986,246,615 485,412,850 254,225,220
------------------- --------------- ------------------- ---------------
NET ASSETS--END OF PERIOD.................... $ 579,120,867 $ 691,462,073 $ 719,658,059 $ 485,412,850
=================== =============== =================== ===============
</TABLE>
See Notes to Financial Statements. 27
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET FUND OTC FUND
------------------------------------- -------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 SEPTEMBER 30, 1999 MARCH 31, 1999
------------------- --------------- ------------------- ---------------
<S> <C> <C> <C> <C>
UNAUDITED UNAUDITED
FROM OPERATIONS
Net Investment Income (Loss)................. $ 22,355,806 $ 33,566,412 $ (6,462,625) $ (6,688,414)
Net Realized Gain (Loss) on Investments...... (332,406) (15,218) (33,609,469) 3,487,885
Net Change in Unrealized Appreciation of
Investments................................ -- -- 176,010,059 382,781,711
------------------- --------------- ------------------- ---------------
Net Increase in Net Assets from
Operations............................... 22,023,400 33,551,194 135,937,965 379,581,182
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class............................. (17,026,454) (25,385,626) -- --
Advisor Class.............................. (5,532,691) (8,243,097) -- --
From Realized Gain on Investments
Investor Class............................. -- -- -- (5,572,180)
Advisor Class.............................. -- -- -- (1,924)
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (NOTE 8).................. (124,427,802) 1,018,165,864 66,463,769 460,663,055
------------------- --------------- ------------------- ---------------
Net Increase (Decrease) in Net Assets...... (124,963,547) 1,018,088,335 202,401,734 834,670,133
NET ASSETS--BEGINNING OF PERIOD................ 1,271,383,059 253,294,724 1,284,463,866 449,793,733
------------------- --------------- ------------------- ---------------
NET ASSETS--END OF PERIOD...................... $ 1,146,419,512 $ 1,271,383,059 $ 1,486,865,600 $ 1,284,463,866
=================== =============== =================== ===============
</TABLE>
See Notes to Financial Statements. 28
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT BOND FUND JUNO FUND
------------------------------------- -------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 SEPTEMBER 30, 1999 MARCH 31, 1999
------------------- --------------- ------------------- ---------------
<S> <C> <C> <C> <C>
UNAUDITED UNAUDITED
FROM OPERATIONS
Net Investment Income...................... $ 545,705 $ 1,399,023 $ 347,010 $ 408,770
Net Realized Gain (Loss) on Investments.... (2,361,807) (1,845,458) 908,134 (647,718)
Net Change in Unrealized Appreciation
(Depreciation) of Investments............ 138,785 (539,629) 264,432 28,510
------------------- --------------- ------------------- ---------------
Net Increase (Decrease) in Net Assets
from Operations........................ (1,677,317) (986,064) 1,519,576 (210,438)
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class........................... (545,675) (1,410,313) -- (18,344)
Advisor Class............................ -- -- -- --
From Realized Gain on Investments
Investor Class........................... -- (37,296) -- --
Advisor Class............................ -- -- -- --
NET INCREASE (DECREASE) IN NET ASSETS FROM
SHARE TRANSACTIONS (NOTE 8)................ 1,942,184 9,548,541 (2,755,816) 130,975
------------------- --------------- ------------------- ---------------
Net Increase (Decrease) in Net Assets.... (280,808) 7,114,868 (1,236,240) (97,807)
NET ASSETS--BEGINNING OF PERIOD.............. 27,622,668 20,507,800 12,789,321 12,887,128
------------------- --------------- ------------------- ---------------
NET ASSETS--END OF PERIOD.................... $ 27,341,860 $ 27,622,668 $ 11,553,081 $ 12,789,321
=================== =============== =================== ===============
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
RYDEX SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS (CONCLUDED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ARKTOS FUND
--------------------------------------
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999*
------------------- ----------------
<S> <C> <C>
UNAUDITED
FROM OPERATIONS
Net Investment Income..................................... $ 1,507,406 $ 727,358
Net Realized Loss on Investments.......................... (41,318,984) (43,637,234)
Net Change in Unrealized Appreciation (Depreciation) of
Investments............................................. 11,851,872 677,279
------------------- ----------------
Net Decrease in Net Assets from Operations.............. (27,959,706) (42,232,597)
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class.......................................... -- (40,000)
Advisor Class........................................... -- --
From Realized Gain on Investments
Investor Class.......................................... -- --
Advisor Class........................................... -- --
NET INCREASE IN NET ASSETS FROM SHARE TRANSACTIONS (NOTE
8)........................................................ 113,356,256 160,895,052
------------------- ----------------
Net Increase in Net Assets.............................. 85,396,550 118,622,455
NET ASSETS--BEGINNING OF PERIOD............................. 118,622,455 --
------------------- ----------------
NET ASSETS--END OF PERIOD................................... $ 204,019,005 $ 118,622,455
=================== ================
</TABLE>
* COMMENCEMENT OF OPERATIONS: SEPTEMBER 3, 1998.
See Notes to Financial Statements. 30
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
----------------------------------------------------------------------------------
NOVA FUND
----------------------------------------------------------------------------------
PERIOD YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, JUNE 30, JUNE 30,
1999 1999 1998 1997 1996 1995
-------------- ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD...... $34.87 $29.82 $17.89 $15.68 $11.81 $ 9.77
-------------- ---------- ---------- ---------- -------- --------
Net Investment Income................... .22 .45 .59 .35 .56 .28
Net Realized and Unrealized Gains
(Losses) on Securities................ (1.07) 5.01 11.39 2.19 3.31 2.88
-------------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations....... (.85) 5.46 11.98 2.54 3.87 3.16
Distributions to Shareholders from:
Net Investment Income................. -- (.41) -- -- -- (.29)
Net Realized Capital Gain............. -- -- (.05) (.33) -- (.83)
-------------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Asset
Value................................. (.85) 5.05 11.93 2.21 3.87 2.04
-------------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE--END OF PERIOD............ $34.02 $34.87 $29.82 $17.89 $15.68 $11.81
============== ========== ========== ========== ======== ========
TOTAL INVESTMENT RETURN................... (2.44)% 18.54% 67.02% 20.92%* 32.77% 32.65%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses.......................... 1.11%* 1.19% 1.13% 1.19%*
Net Expenses............................ 1.11%* 1.19% 1.11% 1.16%* 1.31% 1.43%
Net Investment Income................... 1.19%* 1.47% 2.42% 2.69%* 3.14% 2.62%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate**............... 297% 445% -- -- -- --
Net Assets, End of Year (000's
omitted).............................. $ 551,335 $ 655,275 $ 986,247 $ 181,930 $224,541 $ 62,916
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* ANNUALIZED
** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO
SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE
YEAR. FOR THE YEARS ENDED MARCH 31, 1998 AND PRIOR, THE NOVA
FUND TYPICALLY HELD MOST OF ITS INVESTMENTS IN OPTIONS AND
FUTURES CONTRACTS WHICH ARE DEEMED SHORT-TERM SECURITIES.
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
----------------------------------------------------------------------------------
URSA FUND
----------------------------------------------------------------------------------
PERIOD YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, JUNE 30, JUNE 30,
1999 1999 1998++ 1997++ 1996++ 1995++
-------------- ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD..... $8.66 $ 9.92 $14.04 $15.10 $17.58 $21.08
-------------- ---------- ---------- ---------- -------- --------
Net Investment Income.................. .15 .25 .38 .34 .60 .70
Net Realized and Unrealized Gains
(Losses) on Securities............... .04 (1.48) (4.46) (1.36) (3.08) (3.56)
-------------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations...... .19 (1.23) (4.08) (1.02) (2.48) (2.86)
Distributions to Shareholders from Net
Investment Income.................... -- (.03) (.04) (.04) -- (.64)
-------------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Asset
Value................................ .19 (1.26) (4.12) (1.06) (2.48) (3.50)
-------------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE--END OF PERIOD........... $8.85 $ 8.66 $ 9.92 $14.04 $15.10 $17.58
============== ========== ========== ========== ======== ========
TOTAL INVESTMENT RETURN.................. (2.19)% (12.47)% (29.06)% (8.98)%* (14.11)% (14.08)%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses......................... 1.28%* 1.39% 1.36% 1.36%*
Net Expenses........................... 1.27%* 1.38% 1.34% 1.34%* 1.39% 1.39%
Net Investment Income.................. 3.54%* 3.29% 3.18% 3.21%* 3.38% 3.50%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate**.............. -- -- -- -- -- --
Net Assets, End of Year (000's
omitted)............................. $712,983 $482,340 $254,225 $582,288 $192,553 $127,629
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED JUNE 30, 1995
THROUGH MARCH 31, 1998 HAVE BEEN RESTATED TO REFLECT A 1:2
REVERSE STOCK SPLIT EFFECTIVE AUGUST 14, 1998.
* ANNUALIZED
** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO
SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE
YEAR. THE URSA FUND TYPICALLY HOLDS MOST OF ITS INVESTMENTS
IN OPTIONS AND FUTURES CONTRACTS WHICH ARE DEEMED SHORT-TERM
SECURITIES.
</TABLE>
See Notes to Financial Statements. 32
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
----------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND
----------------------------------------------------------------------------------
PERIOD YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, JUNE 30, JUNE 30,
1999 1999 1998 1997 1996 1995
-------------- ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD..... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
-------------- ---------- ---------- ---------- -------- --------
Net Investment Income.................. .02 .04 .04 .03 .04 .04
-------------- ---------- ---------- ---------- -------- --------
Net Increase in Net Asset Value
Resulting from Operations............ .02 .04 .04 .03 .04 .04
Distributions to Shareholders from Net
Investment Income.................... (.02) (.04) (.04) (.03) (.04) (.04)
-------------- ---------- ---------- ---------- -------- --------
Net Increase in Net Asset Value........ .00 .00 .00 .00 .00 .00
-------------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE--END OF PERIOD........... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
============== ========== ========== ========== ======== ========
TOTAL INVESTMENT RETURN.................. 2.09% 4.55% 4.69% 4.39%* 4.60% 4.43%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses......................... 0.83%* 0.84% 0.89% 0.86%*
Net Expenses........................... 0.82%* 0.83% 0.89% 0.86%* 0.99% 0.89%
Net Investment Income.................. 4.14%* 4.37% 4.37% 4.06%* 4.18% 4.23%
SUPPLEMENTARY DATA:
Net Assets, End of Year (000's
omitted)............................. $728,990 $949,802 $253,295 $283,553 $153,925 $284,198
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* ANNUALIZED
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-------------------------------------------------------------------------------
OTC FUND
-------------------------------------------------------------------------------
PERIOD YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, JUNE 30, JUNE 30,
1999 1999 1998 1997 1996 1995
-------------- ---------- --------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD..... $47.70 $27.68 $17.93 $15.16 $12.22 $ 8.76
-------------- ---------- --------- ---------- -------- --------
Net Investment Income (Loss)........... (.23) (.36) (.14) .01 .06 .14
Net Realized and Unrealized Gains on
Securities........................... 6.77 20.65 9.99 2.84 3.24 4.17
-------------- ---------- --------- ---------- -------- --------
Net Increase in Net Asset Value
Resulting from Operations............ 6.54 20.29 9.85 2.85 3.30 4.31
Distributions to Shareholders from:
Net Investment Income.............. -- -- -- (.07) -- (.12)
Net Realized Capital Gains......... -- (.27) (.10) (.01) (.36) (.73)
-------------- ---------- --------- ---------- -------- --------
Net Increase in Net Asset Value........ 6.54 20.02 9.75 2.77 2.94 3.46
-------------- ---------- --------- ---------- -------- --------
NET ASSET VALUE--END OF PERIOD........... $54.24 $47.70 $27.68 $17.93 $15.16 $12.22
============== ========== ========= ========== ======== ========
TOTAL INVESTMENT RETURN.................. 13.71% 73.73% 55.05% 24.77%* 26.44% 49.00%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses......................... 1.03%* 1.15% 1.13% 1.27%*
Net Expenses........................... 1.02%* 1.15% 1.13% 1.27%* 1.33% 1.41%
Net Investment Income (Loss)........... (0.89)%* (0.97)% (0.58)% 0.08%* 0.44% 1.34%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate**.............. 559% 773% 972% 1,140% 2,579% 2,241%
Net Assets, End of Year (000's
omitted)............................. $ 1,454,945 $1,277,571 $449,794 $52,278 $ 48,716 $ 61,948
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* ANNUALIZED
** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO
SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE
YEAR.
</TABLE>
See Notes to Financial Statements. 34
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-----------------------------------------------------------------------------
U.S. GOVERNMENT BOND FUND
-----------------------------------------------------------------------------
PERIOD YEAR YEAR PERIOD YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, JUNE 30, JUNE 30,
1999 1999 1998 1997 1996 1995
-------------- ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD.............. $10.05 $10.04 $ 8.52 $8.97 $9.55 $8.24
-------------- ---------- ---------- ---------- -------- --------
Net Investment Income........................... .24 .42 .45 .34 .46 .39
Net Realized and Unrealized Gains (Losses) on
Securities.................................... (.88) .02 1.50 (.45) (.45) 1.17
-------------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Asset Value
Resulting from Operations..................... (.64) .44 1.95 (.11) .01 1.56
Distribution to Shareholders from:
Net Investment Income......................... (.24) (.42) (.43) (.34) (.46) (.25)
Net Realized Capital Gain..................... -- (.01) -- -- (.13) --
-------------- ---------- ---------- ---------- -------- --------
Net Increase (Decrease) in Net Asset Value...... (.88) .01 1.52 (.45) (.58) 1.31
-------------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE--END OF PERIOD.................... $ 9.17 $10.05 $10.04 $8.52 $8.97 $9.55
============== ========== ========== ========== ======== ========
TOTAL INVESTMENT RETURN........................... (6.35)% 4.24% 24.72% (0.46)%* (1.48)% 18.97%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses.................................. 0.74%* 0.97% 1.13% 1.51%*
Net Expenses.................................... 0.73%* 0.96% 1.11% 1.49%* 1.26% 2.26%
Net Investment Income........................... 4.97%* 3.88% 4.65% 5.06%* 4.73% 4.64%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate**....................... 863% 1,339% 1,496% 962% 780% 3,453%
Net Assets, End of Year (000's omitted)......... $27,342 $27,623 $20,508 $3,302 $18,331 $2,592
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* ANNUALIZED
** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO
SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE
YEAR.
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
---------------------------------------------------------------------------
JUNO FUND
---------------------------------------------------------------------------
PERIOD YEAR YEAR PERIOD YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, JUNE 30, JUNE 30,
1999 1999 1998 1997 1996 1995 *
-------------- ---------- ---------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD............... $8.70 $8.65 $ 9.69 $9.47 $9.08 $10.00
-------------- ---------- ---------- ---------- -------- -------
Net Investment Income............................ .14 .27 .16 .25 .34 .14
Net Realized and Unrealized Gains (Losses) on
Securities..................................... .47 (.20) (1.12) -- .05 (1.06)
-------------- ---------- ---------- ---------- -------- -------
Net Increase (Decrease) in Net Asset Value
Resulting from Operations...................... .61 .07 (.96) .25 .39 (.92)
Distributions to Shareholders from Net Investment
Income......................................... -- (.02) (.08) (.03) -- --
-------------- ---------- ---------- ---------- -------- -------
Net Increase (Decrease) in Net Asset Value....... .61 .05 (1.04) .22 .39 (.92)
-------------- ---------- ---------- ---------- -------- -------
NET ASSET VALUE--END OF PERIOD..................... $9.31 $8.70 $ 8.65 $9.69 $9.47 $ 9.08
============== ========== ========== ========== ======== =======
TOTAL INVESTMENT RETURN............................ 7.63% 0.78% (9.92)% 3.75%** 4.30% (9.20)%
RATIOS TO AVERAGE NET ASSETS.......................
Gross Expenses................................... 1.42%** 1.57% 1.61% 1.60%**
Net Expenses..................................... 1.41%** 1.56% 1.59% 1.58%** 1.64% 1.50%**
Net Investment Income............................ 3.19%** 3.25% 3.55% 3.51%** 3.63% 1.32%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***....................... -- -- -- -- -- --
Net Assets, End of Year (000's omitted).......... $ 11,553 $12,789 $12,887 $ 32,577 $ 18,860 $4,301
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* COMMENCEMENT OF OPERATIONS: MARCH 3, 1995
** ANNUALIZED
*** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO
SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE
YEAR. THE JUNO FUND TYPICALLY HOLDS MOST OF ITS INVESTMENTS
IN OPTIONS AND FUTURES CONTRACTS WHICH ARE DEEMED SHORT-TERM
SECURITIES.
</TABLE>
See Notes to Financial Statements. 36
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
----------------------------
ARKTOS FUND
----------------------------
PERIOD PERIOD
ENDED ENDED
SEPTEMBER 30, MARCH 31,
1999 1999*
-------------- ----------
<S> <C> <C>
UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD........................ $ 8.04 $15.00
-------------- ----------
Net Investment Income..................................... .09 .13
Net Realized and Unrealized Losses on Securities.......... (1.34) (7.08)
-------------- ----------
Net Decrease in Net Asset Value Resulting from
Operations.............................................. (1.25) (6.95)
Distributions to Shareholders from Net Investment
Income.................................................. -- (.01)
-------------- ----------
Net Decrease in Net Asset Value........................... (1.25) (6.96)
-------------- ----------
NET ASSET VALUE--END OF PERIOD.............................. $ 6.79 $ 8.04
============== ==========
TOTAL INVESTMENT RETURN..................................... (15.55)% (46.35)%
RATIOS TO AVERAGE NET ASSETS................................
Gross Expenses............................................ 1.46%** 1.38%**
Net Expenses.............................................. 1.46%** 1.37%**
Net Investment Income..................................... 2.35%** 2.20%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***................................ 989% 1,332%
Net Assets, End of Year (000's omitted)................... $ 204,019 $ 118,622
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* COMMENCEMENT OF OPERATIONS: SEPTEMBER 3, 1998
** ANNUALIZED
*** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO
SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE
YEAR.
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISOR CLASS
----------------------------------------------------------------------
NOVA FUND URSA FUND
---------------------------- ---------------------------------
PERIOD PERIOD PERIOD PERIOD
ENDING ENDING ENDING ENDING
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
1999 1999* 1999 1999*
-------------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
UNAUDITED UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD................. $34.78 $26.91 $8.62 $10.25
-------------- ---------- -------------- ----------
Net Investment Income (Loss)....................... .15 (.11) .11 .21
Net Realized and Unrealized Gains (Losses) on
Securities....................................... (1.07) 8.39 .05 (1.81)
-------------- ---------- -------------- ----------
Net Increase (Decrease) in Net Asset Value
Resulting from Operations........................ (.92) 8.28 .16 (1.60)
Distributions to Shareholders from:
Net Investment Income............................ -- -- -- (0.03)
Net Realized Capital Gain........................ -- -- -- --
In Excess of Current Period Net Investment
Income......................................... -- (.41) -- --
-------------- ---------- -------------- ----------
Net Increase (Decrease) in Net Asset Value....... (.92) 7.87 .16 (1.63)
-------------- ---------- -------------- ----------
NET ASSET VALUE--END OF PERIOD....................... $33.86 $34.78 $8.78 $ 8.62
============== ========== ============== ==========
TOTAL INVESTMENT RETURN.............................. (2.65)% 31.03% 1.86% (15.68)%
RATIOS TO AVERAGE NET ASSETS **
Gross Expenses..................................... 1.65% 1.60% 1.81% 1.86%
Net Expenses....................................... 1.65% 1.58% 1.81% 1.85%
Net Investment Income (Loss)....................... 0.89% (0.70)% 2.51% 2.96%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***......................... 297% 445% -- --
Net Assets, End of Year (000's omitted)............ $27,786 $36,187 $ 6,675 $3,073
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* SINCE THE COMMENCEMENT OF OPERATIONS: OCTOBER 15, 1998--NOVA
FUND, AUGUST 5, 1998--URSA FUND,
** ANNUALIZED
*** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO
SHORT-TERM SECURITIES HAVING A MATURITY OF LESS THAN ONE
YEAR. THE URSA FUND TYPICALLY HOLDS MOST OF ITS INVESTMENTS
IN OPTIONS AND FUTURES CONTRACTS WHICH ARE DEEMED SHORT-TERM
SECURITIES.
</TABLE>
See Notes to Financial Statements. 38
<PAGE>
RYDEX SERIES TRUST
FINANCIAL HIGHLIGHTS (CONCLUDED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISOR CLASS
----------------------------------------------------------------------
U.S.GOVERNMENT MONEY
MARKET FUND OTC FUND
---------------------------- ---------------------------------
PERIOD PERIOD PERIOD PERIOD
ENDING ENDING ENDING ENDING
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
1999 1999* 1999 1999*
-------------- ---------- -------------- ----------
<S> <C> <C> <C> <C>
UNAUDITED UNAUDITED
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD................. $1.00 $1.00 $47.59 $30.52
-------------- ---------- -------------- ----------
Net Investment Income (Loss)....................... .02 .04 (.36) (.31)
Net Realized and Unrealized Gains on Securities.... .00 -- 6.74 17.65
-------------- ---------- -------------- ----------
Net Increase in Net Asset Value Resulting from
Operations....................................... .02 .04 6.38 17.34
Distributions to Shareholders from:
Net Investment Income............................ (.02) (.04) -- --
Net Realized Capital Gain........................ -- -- -- (.27)
In Excess of Current Period Net Investment
Income......................................... -- -- -- --
-------------- ---------- -------------- ----------
Net Increase in Net Asset Value.................. .00 .00 6.38 17.07
-------------- ---------- -------------- ----------
NET ASSET VALUE--END OF PERIOD....................... $1.00 $1.00 $53.97 $47.59
============== ========== ============== ==========
TOTAL INVESTMENT RETURN.............................. 1.84% 4.02% 13.41% 57.20%
RATIOS TO AVERAGE NET ASSETS **
Gross Expenses..................................... 1.33% 1.34% 1.56% 1.49%
Net Expenses....................................... 1.32% 1.33% 1.56% 1.47%
Net Investment Income (Loss)....................... 3.63% 3.83% (1.42)% (1.31)%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***......................... -- -- 559% 773%
Net Assets, End of Year (000's omitted)............ $417,430 $321,581 $ 31,920 $6,893
</TABLE>
<TABLE>
<C> <S>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR
THE YEAR.
* SINCE THE COMMENCEMENT OF OPERATIONS: SEPTEMBER 22,
1998--OTC FUND, APRIL 1, 1998--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.
</TABLE>
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 (the "1940 Act") as
a non-diversified, open-ended investment company, and is authorized to issue an
unlimited number of shares. The Trust is authorized to offer two separate
classes of shares, Investor Class Shares and Advisor Class Shares. Sales of
shares of each Class are made without a sales charge at the net asset value per
share. Currently, the Trust consists of twenty-two separate series: six
benchmark funds; one money market fund; and fifteen sector funds. This report
covers the six benchmark funds and the money market fund (the "Funds"), while
the Sector Funds are contained in a separate report. The following significant
accounting policies are in conformity with generally accepted accounting
principles and are consistently followed by the Trust.
During 1997, the Trust changed its fiscal year end from June 30 to March 31.
Accordingly, statements for the period ended March 31, 1997, reflect nine months
of activity.
A. Securities listed on an exchange are valued at the latest quoted sales price
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
are valued at amortized cost, which approximates market. Securities and assets
for which market quotations are not readily available are valued at fair value
as determined in good faith by or under direction of the Board of Trustees or by
the Advisor using methods established or ratified by the Board of Trustees.
B. Securities transactions are recorded on the day the trade is executed for the
purpose of preparing semi-annual and annual financial statements. Realized gains
and losses from securities transactions are recorded on the identified cost
basis. Dividend income is recorded on the ex-dividend date, net of applicable
taxes withheld by foreign countries, and subsequently adjusted to reflect actual
holdings on the record date. Interest income is accrued on a daily basis.
C. Net investment income is computed and dividends are declared daily in the
U.S. Government Money Market Fund and the U.S. Government Bond Fund. Income
dividends in these funds are paid monthly. Dividends are reinvested in
additional shares unless shareholders request payment in cash. Generally,
short-term capital gains, if any, are distributed monthly in the U.S. Government
Money Market Fund.
40
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
D. When the Trust engages in a short sale, an amount equal to the proceeds is
reflected as an asset and an equivalent liability. The amount of the liability
is subsequently marked to market to reflect the market value of the short sale.
The Trust maintains a segregated account of securities as collateral for the
short sales. The Trust is exposed to market risk based on the amount, if any,
that the market value of the stock exceeds the market value of the securities in
the segregated account.
E. When the Trust writes (sells) an option, an amount equal to the premium
received is entered in the Trust's accounting records as an asset and equivalent
liability. The amount of the liability is subsequently 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 and bond 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 individual Funds in connection with their organization
and registration prior to December 31, 1997, have been deferred and are being
amortized on the straight-line method over a five year period beginning on the
date on which the individual Fund commenced its investment activities. Costs
incurred subsequent to this date, and those related to the organization and
registration of the Sector Funds and the Advisor classes of certain Funds, have
been expensed as incurred.
41
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
J. Interest and dividend income, most expenses, all realized gains and losses,
and all unrealized gains and losses are allocated to the classes based upon the
value of the outstanding shares in each Class. Certain costs are charged
directly to specific classes, for example, distribution fees relating to the
Advisor Classes.
K. Distributions to shareholders are recorded on the ex-dividend date.
Distributions are determined on a tax basis and may differ from net investment
income and realized capital gains for financial reporting purposes.
L. 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 these estimates.
2. OPERATING POLICIES
In addition to other securities, the Trust 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-TM- Composite Stock Price Index ("S&P
500") invests in securities included in the S&P 500 Index, as well as 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 invests in futures contracts and options on futures contracts in
furtherance of its investment objective to inversely correlate to the S&P 500.
The U.S. Government Bond Fund strives to provide income and capital
appreciation. It purchases primarily long-term U.S. 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 U.S. Treasury Bond. To meet
this objective, Juno primarily buys put options on U.S. Treasury Bond futures
and sells U.S. Treasury Bond futures. The OTC Fund strives to provide investment
results before fees and expenses that closely correlate the total return of the
NASDAQ 100 Index-TM-. The OTC Fund invests in securities included in the NASDAQ
100 Index-TM- and buys call options and sells put options on stock indexes. The
Arktos Fund attempts to inversely correlate to the NASDAQ 100 Index-TM-. To do
this, the Arktos Fund engages in short sales of the securities that comprise the
NASDAQ 100 Index-TM-, as well as selling futures on the NASDAQ 100 Index-TM-. In
addition the Nova Fund, the Ursa Fund, the OTC Fund, and the Arktos Fund can
write options to further meet their investment objectives.
42
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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; and 3) the possible absence of a liquid secondary market
for any particular instrument at any time.
3. REPURCHASE AGREEMENTS
The Trust, which includes twenty-two separate series, transfers uninvested cash
balances into a single joint account, the daily aggregate balance of which is
invested in one or more repurchase agreements collateralized by U.S. Treasury
obligations. As of September 30, 1999, the collateral for the repurchase
agreements with Fuji Securities, Inc., Paine Webber, Inc., Lehman Brothers, and
Salomon Smith Barney, Inc., in the joint account was as follows:
<TABLE>
<CAPTION>
SECURITY TYPE RANGE OF RATES PAR VALUE MARKET VALUE
- ------------- -------------- ------------ ------------
<S> <C> <C> <C>
U.S. Treasury Notes............................. 5.625%-7.875% $331,292,000 $338,194,077
U.S. Treasury Bonds............................. 8.500% $ 92,715,000 $112,000,000
</TABLE>
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the terms of an investment advisory contract, the Trust pays PADCO
Advisors, Inc., an affiliated entity, investment advisory fees calculated at an
annualized rate, based on average daily net assets, of one half of one percent
(0.50%) of the net assets of the U.S. Government Money Market Fund and the U.S.
Government Bond Fund; three-quarters of one percent (0.75%) of the net assets of
the Nova Fund, and the OTC Fund; and nine-tenths of one percent (0.90%) of the
net assets of the Ursa Fund, the Juno Fund, and the Arktos Fund. Certain
officers of the Trust are also officers of PADCO Advisors, Inc.
PADCO Service Company, Inc., a subsidiary of the investment advisor, provides
transfer agent service to the Trust at an annualized rate, based on average
daily net assets, of two-tenths of one percent (0.20%) of the net assets of the
U.S. Government Money Market Fund, the U.S. Government Bond Fund, and the OTC
Fund; and one-quarter of one percent (0.25%) of the Nova Fund, the Ursa Fund,
the Juno Fund, and the Arktos Fund.
The Trust has adopted a Distribution and Shareholder Services Plan applicable to
Advisor Class Shares, for which the Distributor, PADCO Financial Services, Inc.,
(an affiliated entity), and other firms that provide distribution and
shareholder services ("Service Providers") may receive compensation. If a
Service Provider provides distribution services, the Trust will pay fees to the
Distributor at an annual rate not to exceed one quarter of one percent (0.25%)
of average daily net assets, pursuant to
43
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Rule 12b-1 of the 1940 Act. The Distributor, in turn, will pay the Service
Provider out of its fees. The Distributor may, at its discretion, retain a
portion of such payments to compensate itself for distribution services. If a
Service Provider provides shareholders services, the Distributor will receive
fees from the Trust at an annual rate not to exceed one quarter of one percent
(0.25%) of average daily net assets. The Distributor, in turn, will pay the
Service Provider out of its fees. Certain officers of the Trust are also
officers of PADCO Financial Services, Inc.
The Trust paid PADCO Service Company, Inc. $447,393 in accounting fees for the
above seven funds for the period ended September 30, 1999.
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 September 30, 1999 purchases and sales of investment
securities, excluding short-term and temporary cash investments, were:
(Unaudited)
<TABLE>
<CAPTION>
U.S.
GOVERNMENT U.S.
NOVA URSA MONEY OTC GOVERNMENT JUNO
FUND FUND MARKET FUND FUND BOND FUND FUND
------------ -------- ------------ -------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Purchases................................... $786,849,838 $ -- $ -- $4,132,141,058 $96,511,042 $ --
Sales....................................... $961,369,126 -- -- $4,081,020,841 $94,931,784 --
</TABLE>
<TABLE>
<CAPTION>
ARKTOS
FUND
--------------
<S> <C> <C> <C> <C> <C> <C>
Purchase to close....................... $490,565,218
Short sales............................. $510,082,353
</TABLE>
44
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. NET UNREALIZED APPRECIATION (DEPRECIATION) OF SECURITIES
At September 30, 1999 unrealized appreciation (depreciation) and cost of
investment securities for Federal income tax purposes was: (Unaudited)
<TABLE>
<CAPTION>
U.S.
GOVERNMENT U.S.
NOVA URSA MONEY OTC GOVERNMENT JUNO
FUND FUND MARKET FUND FUND BOND FUND FUND
------------ ------------ -------------- -------------- -------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Gross Unrealized Appreciation....... $ 47,984,919 $ 1,235,440 -- $ 398,043,369 -- $ 32,582
Gross Unrealized (Depreciation)..... (12,996,432) -- -- (6,792,465) (164,808) --
------------ ------------ -------------- -------------- -------------- -----------
Net Unrealized Appreciation
(Depreciation).................... $ 34,988,487 $ 1,235,440 -- $ 391,250,904 $ (164,808) $ 32,582
============ ============ ============== ============== ============== ===========
Cost of Investments for Federal
Income Tax Purposes............... $433,106,600 $755,813,161 $1,372,995,119 $1,095,715,105 $ 27,346,837 $15,510,168
============ ============ ============== ============== ============== ===========
<CAPTION>
ARKTOS
FUND
------------
<S> <C>
Gross Unrealized Appreciation....... $ 3,224,073
Gross Unrealized (Depreciation)..... (1,653,873)
------------
Net Unrealized Appreciation
(Depreciation).................... $ 1,570,200
============
Cost of Investments for Federal
Income Tax Purposes............... $153,453,611
============
</TABLE>
8. SHARE TRANSACTIONS
The Trust is authorized to distribute an unlimited number of shares.
Transactions in shares for the period ended September 30, 1999 were: (Unaudited)
INVESTOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT U.S.
NOVA URSA MONEY OTC GOVERNMENT
FUND FUND MARKET FUND FUND BOND FUND
------------ ------------- --------------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Shares Purchased................................ 147,731,139 419,101,183 13,162,557,612 108,517,263 18,218,116
Purchased through Dividend Reinvestment......... -- -- 16,783,332 -- 53,305
------------ ------------- --------------- ------------ -------------
Total Purchased................................. 147,731,139 419,101,183 13,179,340,944 108,517,263 18,271,421
Shares Redeemed................................. (150,315,150) (394,234,445) (13,399,785,747) (108,478,451) (18,039,152)
------------ ------------- --------------- ------------ -------------
Net Shares Purchased (Redeemed)................. (2,584,011) 24,866,738 (220,444,803) 38,812 232,269
============ ============= =============== ============ =============
<CAPTION>
JUNO ARKTOS
FUND FUND
------------ ------------
<S> <C> <C>
Shares Purchased................................ 21,879,385 150,708,096
Purchased through Dividend Reinvestment......... -- --
------------ ------------
Total Purchased................................. 21,879,385 150,708,096
Shares Redeemed................................. (22,108,600) (135,406,442)
------------ ------------
Net Shares Purchased (Redeemed)................. (229,215) 15,301,654
============ ============
</TABLE>
45
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ADVISOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
NOVA URSA MONEY OTC
FUND FUND MARKET FUND FUND
----------- ---------- -------------- --------------
<S> <C> <C> <C> <C>
Shares Purchased............................................ 18,524,436 8,874,741 4,662,094,197 12,776,098
Purchased through Dividend Reinvestment..................... -- -- 5,366,997 --
----------- ---------- -------------- --------------
Total Purchased............................................. 18,524,436 8,874,741 4,667,461,194 12,776,098
Shares Redeemed............................................. (18,744,099) (8,470,683) (4,571,443,916) (12,329,462)
----------- ---------- -------------- --------------
Net Shares Purchased (Redeemed)............................. (219,663) 404,058 96,017,278 446,636
=========== ========== ============== ==============
</TABLE>
Transactions in shares for the period ended March 31, 1999 were:
INVESTOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT U.S.
NOVA URSA MONEY OTC GOVERNMENT
FUND FUND MARKET FUND FUND BOND FUND
------------ -------------- --------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Shares Purchased......................... 404,842,858 1,066,674,482 21,440,892,994 271,315,980 68,290,015
Purchased through Dividend
Reinvestment........................... 406,176 105,601 25,032,071 148,391 122,660
------------ -------------- --------------- ------------ ------------
Total Purchased.......................... 405,249,034 1,066,780,083 21,465,925,065 271,464,371 68,412,675
Reduction in Shares due to 1 for 2
Reverse Stock Split.................... (71,204,880)
Shares Redeemed.......................... (419,535,081) (991,140,488) (20,769,406,160) (260,928,129) (67,706,889)
------------ -------------- --------------- ------------ ------------
Net Shares Purchased (Redeemed).......... (14,286,047) 4,434,715 696,518,905 10,536,242 705,786
============ ============== =============== ============ ============
<CAPTION>
JUNO ARKTOS
FUND FUND
----------- -----------
<S> <C> <C>
Shares Purchased......................... 28,174,105 94,324,983
Purchased through Dividend
Reinvestment........................... 2,000 3,542
----------- -----------
Total Purchased.......................... 28,176,105 94,328,525
Reduction in Shares due to 1 for 2
Reverse Stock Split....................
Shares Redeemed.......................... (28,195,480) (79,567,461)
----------- -----------
Net Shares Purchased (Redeemed).......... (19,375) 14,761,064
=========== ===========
</TABLE>
ADVISOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
NOVA URSA MONEY OTC
FUND FUND MARKET FUND FUND
----------- ----------- -------------- --------------
<S> <C> <C> <C> <C>
Shares Purchased............................................ 14,716,294 56,114,891 8,740,507,904 6,059,083
Purchased through Dividend Reinvestment..................... 20,485 5 8,106,450 58
----------- ----------- -------------- --------------
Total Purchased............................................. 14,736,779 56,114,896 8,748,614,354 6,059,141
Shares Redeemed............................................. (13,696,454) (55,758,251) (8,426,967,724) (5,914,309)
----------- ----------- -------------- --------------
Net Shares Purchased........................................ 1,040,325 356,645 321,646,630 144,832
=========== =========== ============== ==============
</TABLE>
46
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Transactions in dollars for the period ended September 30, 1999 were:
(Unaudited)
INVESTOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT U.S.
NOVA URSA MONEY OTC GOVERNMENT JUNO
FUND FUND MARKET FUND FUND BOND FUND FUND
--------------- --------------- ---------------- --------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Shares Purchased........... $ 5,420,337,114 $ 3,536,202,653 $ 13,162,557,312 $ 5,525,409,889 $ 173,259,080 $ 198,009,362
Purchased through Dividend
Reinvestment............. -- -- 16,783,331 -- 503,584 --
--------------- --------------- ---------------- --------------- ------------- -------------
Total Purchased............ 5,420,337,114 3,536,202,653 13,179,340,643 5,525,409,889 173,762,664 198,009,362
Shares Redeemed............ (5,500,738,787) (3,317,152,174) (13,399,785,747) (5,475,213,476) (171,820,480) (200,765,178)
--------------- --------------- ---------------- --------------- ------------- -------------
Net Shares Purchased
(Redeemed)............... $ (80,401,673) $ 219,050,479 $ (220,445,104) $ 50,196,413 $ 1,942,184 $ (2,755,816)
=============== =============== ================ =============== ============= =============
<CAPTION>
ARKTOS
FUND
--------------
<S> <C>
Shares Purchased........... $1,089,097,867
Purchased through Dividend
Reinvestment............. --
--------------
Total Purchased............ 1,089,097,867
Shares Redeemed............ (975,741,611)
--------------
Net Shares Purchased
(Redeemed)............... $ 113,356,256
==============
</TABLE>
ADVISOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
NOVA URSA MONEY OTC
FUND FUND MARKET FUND FUND
------------- ------------ --------------- -------------
<S> <C> <C> <C> <C>
Shares Purchased............................................ $ 678,177,163 $ 74,646,799 $ 4,662,094,222 $ 653,280,240
Purchased through Dividend Reinvestment..................... -- -- 5,366,996 --
------------- ------------ --------------- -------------
Total Purchased............................................. 678,177,163 74,646,799 4,667,461,218 653,280,240
Shares Redeemed............................................. (687,122,260) (70,829,753) (4,571,443,916) (637,012,884)
------------- ------------ --------------- -------------
Net Shares Purchased (Redeemed)............................. $ (8,945,097) $ 3,817,046 $ 96,017,302 $ 16,267,356
============= ============ =============== =============
</TABLE>
Transactions in dollars for the period ended March 31, 1999 were:
INVESTOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT U.S.
NOVA URSA MONEY OTC GOVERNMENT
FUND FUND MARKET FUND FUND BOND FUND
---------------- --------------- ---------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
Shares Purchased............. $ 12,072,521,422 $ 7,931,688,489 $ 21,440,988,848 $ 9,365,486,848 $ 737,252,924
Purchased through Dividend
Reinvestment............... 12,128,420 1,002,153 25,032,071 4,904,309 1,333,596
---------------- --------------- ---------------- --------------- -------------
Total Purchased.............. 12,084,649,842 7,932,690,642 21,466,020,919 9,370,391,157 738,586,520
Shares Redeemed.............. (12,508,441,879) (7,621,833,039) (20,769,501,685) (8,911,848,032) (729,037,979)
---------------- --------------- ---------------- --------------- -------------
Net Shares Purchased
(Redeemed)................. $ (423,792,037) $ 310,857,603 $ 696,519,234 $ 458,543,125 $ 9,548,541
================ =============== ================ =============== =============
<CAPTION>
JUNO ARKTOS
FUND FUND
------------- -------------
<S> <C> <C>
Shares Purchased............. $ 236,521,797 $ 954,373,687
Purchased through Dividend
Reinvestment............... 16,059 36,947
------------- -------------
Total Purchased.............. 236,537,856 954,410,634
Shares Redeemed.............. (236,406,881) (793,515,582)
------------- -------------
Net Shares Purchased
(Redeemed)................. $ 130,975 $ 160,895,052
============= =============
</TABLE>
47
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ADVISOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
NOVA URSA MONEY OTC
FUND FUND MARKET FUND FUND
------------- ------------- --------------- -------------
<S> <C> <C> <C> <C>
Shares Purchased............................................ $ 469,005,823 $ 591,997,759 $ 8,740,507,904 $ 214,681,288
Purchased through Dividend Reinvestment..................... 611,488 50 8,106,450 1,924
------------- ------------- --------------- -------------
Total Purchased............................................. 469,617,311 591,997,809 8,748,614,354 214,683,212
Shares Redeemed............................................. (433,536,846) (561,349,059) (8,426,967,724) (212,563,282)
------------- ------------- --------------- -------------
Net Shares Purchased........................................ $ 36,080,465 $ 30,648,750 $ 321,646,630 $ 2,119,930
============= ============= =============== =============
</TABLE>
9. OPTION CONTRACTS WRITTEN
During the period ended September 30, 1999 the Trust wrote the following
contracts: (Unaudited)
CALL OPTIONS WRITTEN:
<TABLE>
<CAPTION>
NOVA FUND
-----------------------
NUMBER OF INITIAL
CONTRACTS PREMIUMS
---------- ---------
<S> <C> <C>
Outstanding at Beginning of Period.......................... 0 $ 0
Options Written............................................. 2,657 73,443
Options Terminated.......................................... (2,657) (73,443)
---------- ---------
Outstanding at End of Period................................ 0 $ 0
========== =========
</TABLE>
48
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. NET ASSETS
Certain adjustments have been made to the components of net assets to reflect
temporary and permanent differences in the recognition and timing of net
investment income, realized capital gains (losses), and distributions. At
September 30, 1999, net assets consisted of: (Unaudited)
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTC
NOVA FUND URSA FUND MONEY MARKET FUND FUND
------------ -------------- ------------------ ----------------
<S> <C> <C> <C> <C>
Paid-In-Capital.................................. $569,086,913 $1,094,765,231 $ 1,146,934,706 $ 1,043,353,508
Undistributed Net Investment Income (Loss)....... 7,411,925 9,239,386 (158,976) (6,462,625)
Accumulated Net Realized Loss on Investments..... (47,170,296) (408,596,970) (356,218) (173,069,310)
Net Unrealized Appreciation on Investments,
Options and Futures Contracts.................. 49,792,325 24,250,412 -- 623,044,027
------------ -------------- ------------------ ----------------
Net Assets....................................... $579,120,867 $ 719,658,059 $ 1,146,419,512 $ 1,486,865,600
============ ============== ================== ================
</TABLE>
<TABLE>
<CAPTION>
U.S.
GOVERNMENT JUNO ARKTOS
BOND FUND FUND FUND
------------- ----------- ------------
<S> <C> <C> <C>
Paid-In-Capital............................................. $ 33,570,114 $17,683,738 $274,824,661
Undistributed Net Investment Income......................... 181,202 375,472 1,621,411
Accumulated Net Realized Loss on Investments................ (6,263,852) (6,703,138) (84,956,218)
Net Unrealized Appreciation (Depreciation) on Investments,
Options and Futures Contracts............................. (145,604) 197,009 12,529,151
------------- ----------- ------------
Net Assets.................................................. $ 27,341,860 $11,553,081 $204,019,005
============= =========== ============
</TABLE>
49
<PAGE>
RYDEX SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
11. LOSS CARRYFORWARD--FEDERAL INCOME TAX
At March 31, 1999, 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
expiration.
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
MONEY PRECIOUS
EXPIRES MARCH 31 URSA FUND MARKET FUND METALS FUND JUNO FUND ARKTOS FUND
- ---------------- ------------ ----------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
2003.......................... $ 6,618,786 $ -- $ -- $ -- $ --
2004.......................... 43,168,709 -- 4,249,968 3,643,317 --
2005.......................... 50,012,823 -- 709,440 106,438 --
2006.......................... 102,945,587 -- 6,318,198 2,486,456 --
2007.......................... 102,218,150 13,314 5,630,309 1,206,560 4,782,728
</TABLE>
12. URSA FUND REVERSE STOCK SPLIT
Effective after the close of business on August 14, 1998, the Ursa Fund,
Investor Class Shares underwent a 1-for-2 reverse split. The effect of this
transaction was to reduce the number of outstanding shares in this class by one
half, while doubling the price per share. The price per share prior to the
reverse split was $5.25; after the reverse split, the price per share was
$10.50. There was no change in the aggregate market value of the outstanding
shares as a result of this transaction.
50
<PAGE>
NOVA FUND
URSA FUND
U.S. GOVERNMENT MONEY MARKET FUND
OTC FUND
U.S. GOVERNMENT BOND FUND
JUNO FUND
ARKTOS FUND
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR THE
GENERAL INFORMATION OF OUR SHAREHOLDERS. THE REPORT IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY AN
EFFECTIVE PROSPECTUS.
RYDEX SERIES TRUST
6116 Executive Blvd., Suite 400
Rockville, MD 20852
(301) 468-8520 (800) 820-0888
www.rydexfunds.com
ADVISOR CLASS SHARES ARE DISTRIBUTED BY
PADCO FINANCIAL SERVICES, INC.
[RYDEX LOGO]
SEMI-ANNUAL REPORT
SEPTEMBER 30, 1999
NOVA FUND
URSA FUND
U.S. GOVERNMENT MONEY MARKET FUND
OTC FUND
U.S. GOVERNMENT BOND FUND
JUNO FUND
ARKTOS FUND
