<PAGE>
[RYDEX LOGO]
RYDEX SERIES FUNDS
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2000
NOVA FUND
URSA FUND
U.S. GOVERNMENT MONEY MARKET FUND
OTC FUND
U.S. GOVERNMENT BOND FUND
JUNO FUND
ARKTOS FUND
LARGE-CAP EUROPE FUND
LARGE-CAP JAPAN FUND
URSA MASTER PORTFOLIO
JUNO MASTER PORTFOLIO
ARKTOS MASTER PORTFOLIO
<PAGE>
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--------------------------------------------------------------------------------
RYDEX SERIES FUNDS
[RYDEX LOGO] SEMI-ANNUAL REPORT
September 30, 2000
9601 Blackwell Road, Suite 500
Rockville, MD 20850
(800) 820-0888
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
DEAR SHAREHOLDER:
The three major U.S. stock indexes posted negative returns for the six-month
period ending September 30, 2000. If the trend continues, 2000 will mark the
first time since 1990 that the DOW has ended the year in negative territory.
Likewise, the S&P 500 and Nasdaq Composite indices have not had down years since
1994 and 1995, respectively. What were the causes of the recent slide? The
combination of six interest-rate hikes over 16 months and weakening earnings
growth stressed the equity markets. Additionally, a surge in energy prices
raised the cost of doing business and cut into consumer's disposable incomes.
Crude oil prices jumped to a ten-year high in September contributing to
inflationary pressure in Europe, weakening the EURO, and lowering foreign demand
for U.S. products.
FINANCIAL MARKET REVIEW
Technology related companies, whose growth fueled the bull market of the
90s, carry the greatest weight in the indexes. So far this year, slowing profit
growth and earnings warnings from several prominent technology companies have
stung the sector. Also, in April of this year, Judge Thomas Penfield Jackson
ruled that Microsoft forced computer makers and Internet services to use its
software, thereby illegally protecting its monopoly. The ruling against the tech
bellwether set the stage for a potential break-up of the company and a further
slide in tech stocks.
While tech stocks struggled during the period, the traditionally defensive
sectors performed well. Utility stocks led the group as demand for electric
power continues to grow with the expanding population. A spike in prices and a
sharp increase in use benefited natural gas companies. With oil prices near
their Persian Gulf War records and natural gas prices at all time highs, energy
stocks continued their upward surge. The large oil companies posted record
profits in the second quarter and third quarter results are expected to continue
this trend.
Health care stocks outperformed the broad market for the reporting period
due to positive earnings momentum in the drug group and continued improvement in
biotech industry fundamentals. Merger and acquisition activity is anticipated to
continue in the drug sector as the large, cash rich companies look to fill new
product pipelines and reduce the cost of developing drugs.
<PAGE>
Financial shares performed well during the period as a wave of giant mergers
and acquisitions swept the banks and brokerages increasing shareholder
expectations. The consolidations are intended to produce financial supermarkets
that provide all products and services to all customers.
As the stock indexes languished, the bond market remained steady due largely
to controlled inflation. Reaping the benefits of the decade's economic
expansion, the U.S. government posted its third straight record surplus for the
fiscal year ending 9/30/00. The rising surplus has slowed government's issuing
of new debt thereby helping to contain interest rates. During the period, the
yield on the 30-year Treasury bond rose slightly, from 5.83% to 5.88%.
The U.S. economy remains in excellent health, with growth expected to once
again top 5% and unemployment remaining at a 30-year low. Reports indicate that
the economy is slowing and may discourage the Federal Reserve from raising rates
in the near term. The productivity of the new economy appears to have offset the
negative effects of higher energy prices.
Looking forward, investors will watch as the Fed attempts to engineer a soft
landing for the U.S. economy. A new Presidential administration is about to take
office, raising the level of political uncertainty. As investors watch these
events unfold, they will be sensitive to earnings reports as important signals
that higher interest rates and a mildly decelerating economy are not diminishing
corporate profitability.
In closing, I would like to thank you for using the Rydex Funds. As always,
we welcome your questions or comments. Feel free to contact us over the Internet
via our web site at www.rydexfunds.com or call us at 800-820-0888.
Sincerely,
/s/ Albert P. Viragh, Jr.
Albert P. (Skip) Viragh, Jr.
Chairman of the Board
2
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
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September 30, 2000
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<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
COMMON STOCKS 73.4%
General Electric Co.................... 318,283 $18,360,951
Cisco Systems, Inc.*................... 228,038 12,599,099
Microsoft Corp.*....................... 169,104 10,199,085
Exxon Mobil Corp....................... 111,951 9,977,633
Pfizer, Inc............................ 202,887 9,117,235
Intel Corp............................. 215,749 8,967,068
Citigroup, Inc......................... 144,563 7,815,437
Oracle Corp.*.......................... 90,455 7,123,331
American International Group........... 74,353 7,114,653
EMC Corp............................... 70,065 6,945,193
Wal-Mart Stores, Inc................... 143,522 6,906,996
International Business Machines
Corp................................. 56,579 6,365,137
Sun Microsystems, Inc.*................ 50,978 5,951,681
Nortel Networks Corp................... 95,987 5,717,226
Merck & Co., Inc....................... 73,926 5,502,867
SBC Communications, Inc................ 108,921 5,446,050
Coca-Cola Co........................... 79,594 4,387,619
Verizon Communications................. 87,341 4,230,580
Johnson & Johnson...................... 44,677 4,196,846
Royal Dutch Petroleum Co., NY Shares... 68,905 4,129,993
America Online, Inc.*.................. 74,195 3,987,981
Home Depot, Inc........................ 74,420 3,948,911
Bristol-Myers Squibb Co................ 63,154 3,607,672
AT&T Corp.............................. 120,700 3,545,562
Time Warner, Inc....................... 42,528 3,327,816
Morgan Stanley Dean Witter & Co........ 36,155 3,305,923
Lucent Technologies, Inc............... 107,313 3,279,754
Hewlett-Packard Co..................... 32,045 3,108,365
Eli Lilly & Co......................... 36,296 2,944,513
Viacom Inc.-Class B*................... 48,736 2,851,056
JDS Uniphase Corp.*.................... 30,075 2,847,727
Procter & Gamble Co.................... 42,028 2,815,876
Tyco International, Ltd................ 54,145 2,808,772
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Corning, Inc........................... 9,447 $ 2,805,759
MCI Worldcom, Inc.*.................... 92,318 2,804,159
Bank of America Corp................... 52,787 2,764,719
Texas Instruments, Inc................. 55,544 2,620,982
American Express Co.................... 42,799 2,600,039
Qwest Communications International*.... 53,369 2,565,048
The Walt Disney Co..................... 66,987 2,562,253
Dell Computer Corp.*................... 83,134 2,561,566
Pharmacia & Upjohn, Inc................ 41,702 2,509,939
Wells Fargo & Co....................... 52,904 2,430,277
BellSouth Corp......................... 60,223 2,423,976
American Home Products Corp............ 41,892 2,369,516
Abbott Laboratories.................... 49,806 2,368,898
Fannie Mae............................. 32,372 2,314,598
Amgen, Inc.*........................... 33,043 2,307,331
Schering-Plough Corp................... 47,075 2,188,987
PepsiCo, Inc........................... 46,372 2,133,112
Philip Morris Cos., Inc................ 72,368 2,130,333
Enron Corp............................. 23,745 2,080,656
Medtronic, Inc......................... 38,497 1,994,626
Motorola, Inc.......................... 70,073 1,979,562
Chase Manhattan Corp................... 42,053 1,942,323
Veritas Software Corp.*................ 12,918 1,834,356
Boeing Co.............................. 28,833 1,816,479
Chevron Corp........................... 20,973 1,787,948
Broadcom Corp., Class A*............... 7,135 1,739,156
Qualcomm, Inc. *....................... 23,942 1,705,867
Merrill Lynch & Co..................... 25,814 1,703,724
Yahoo, Inc.*........................... 17,653 1,606,458
Charles Schwab Corp.................... 44,365 1,574,957
Applied Materials, Inc.*............... 26,065 1,545,980
Ford Motor Co.......................... 60,830 1,539,759
Schlumberger, Ltd...................... 18,317 1,507,718
Compaq Computer Corp................... 54,628 1,506,640
Siebel Systems, Inc.*.................. 13,388 1,490,252
Bank One Corp.......................... 37,135 1,434,339
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 3
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
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September 30, 2000
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<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
E. I. DuPont de Nemours & Co........... 33,502 $ 1,388,239
Automatic Data Processing.............. 20,155 1,347,866
Bank of New York Co., Inc.............. 23,723 1,329,971
McDonald's Corp........................ 42,440 1,281,157
Network Appliance, Inc.*............... 10,039 1,278,718
Anheuser-Busch Cos., Inc............... 29,110 1,231,717
Walgreen Co............................ 32,455 1,231,262
Freddie Mac............................ 22,336 1,207,540
Comcast Corp., Special Class A*........ 29,073 1,190,176
Minnesota Mining & Manufacturing
Co................................... 12,702 1,157,470
Marsh & McLennan Cos., Inc............. 8,719 1,157,447
Nextel Communications, Inc.,
Class A*............................. 24,466 1,143,785
Fleet Boston Financial Corp............ 28,999 1,130,961
General Motors Corp.................... 17,239 1,120,535
Clear Channel Communications, Inc...... 18,818 1,063,217
MBNA Corp.............................. 27,371 1,053,783
PCS Group Sprint *..................... 29,829 1,045,879
Gillette Co............................ 33,831 1,044,532
United Technologies Corp............... 15,044 1,041,797
First Union Corp....................... 31,649 1,018,702
Duke Energy Corp....................... 11,828 1,014,251
AES Corp.*............................. 14,678 1,005,443
Kimberly-Clark Corp.................... 17,293 965,166
Palm Inc.*............................. 18,155 961,080
Analog Devices*........................ 11,415 942,451
Texaco, Inc............................ 17,714 929,985
Emerson Electric Co.................... 13,726 919,642
Honeywell International, Inc........... 25,741 917,023
Xilinx, Inc.*.......................... 10,559 904,114
Solectron Corp.*....................... 19,329 891,550
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Associates First Capital, Class A...... 23,407 $ 889,466
Unilever N. V., NY Shares.............. 18,367 886,208
Global Crossing, Ltd.*................. 28,295 877,145
Colgate-Palmolive Co................... 18,457 871,170
Household International, Inc........... 15,179 859,511
J. P. Morgan & Co., Inc................ 5,111 835,010
Micron Technology, Inc................. 18,146 834,716
FON Group Sprint Corp.................. 28,428 833,296
Allstate Corp.......................... 23,594 819,891
Seagram Co., Ltd....................... 14,026 805,618
Fifth Third Bancorp.................... 14,943 805,054
Cardinal Health, Inc................... 8,930 787,514
PE Corp. -- PE Biosystems Group........ 6,694 779,851
Baxter International, Inc.............. 9,389 749,360
Target Corp............................ 29,242 749,326
Safeway, Inc.*......................... 15,974 745,786
Maxim Integrated Products*............. 9,083 730,614
Mellon Financial Corp.................. 15,687 727,485
Agilent Technologies, Inc.*............ 14,557 712,383
Alcoa, Inc............................. 27,828 704,396
Halliburton Co......................... 14,317 700,638
Guidant Corp.*......................... 9,861 697,049
Washington Mutual, Inc................. 17,316 689,393
Firstar Corp........................... 30,791 688,949
Southern Co............................ 20,843 676,095
State Street Corp...................... 5,181 673,530
HCA-The Healthcare Co.................. 17,933 665,763
Bestfoods.............................. 8,914 648,493
Linear Technology Corp................. 9,997 647,306
Northern Trust Corp.................... 7,129 633,590
American General Corp.................. 8,115 632,970
Tellabs, Inc.*......................... 13,179 629,297
Paychex, Inc........................... 11,961 627,952
Electronic Data Systems Corp........... 14,990 622,085
Altera Corp.*.......................... 12,821 612,203
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 4
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
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September 30, 2000
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<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Kohl's Corp.*.......................... 10,594 $ 611,141
ADC Telecommunications, Inc.*.......... 22,685 610,014
PNC Financial Services Group........... 9,287 603,655
Williams Cos., Inc..................... 14,229 601,175
Kroger Co.*............................ 26,539 598,786
Adobe Systems, Inc..................... 3,847 597,247
Providian Financial Corp............... 4,591 583,057
CVS Corp............................... 12,554 581,407
Lehman Brothers Holdings, Inc.......... 3,901 576,373
Sara Lee Corp.......................... 27,943 567,592
Lowe's Cos., Inc....................... 12,297 551,828
Gap, Inc............................... 27,317 549,755
AFLAC, Inc............................. 8,521 545,877
U.S. Bancorp........................... 23,966 545,226
Dow Chemical Co........................ 21,794 543,488
Illinois Tool Works, Inc............... 9,699 541,932
Comverse Technology, Inc.*............. 5,013 541,404
Conoco Inc., Class B................... 20,013 539,100
Alltel Corp............................ 10,139 529,129
CIGNA Corp............................. 5,064 528,682
Hartford Financial Services
Group, Inc........................... 7,208 525,733
Medimmune Inc.*........................ 6,743 520,897
Anadarko Petroleum Corp................ 7,811 519,119
Phillips Petroleum Co.................. 8,187 513,734
Coastal Corp........................... 6,892 510,869
United HealthCare Corp................. 5,163 509,846
First Data Corp........................ 13,028 508,906
Seagate Technology, Inc.*.............. 7,359 507,771
Costco Wholesale Corp.................. 14,363 501,807
Sysco Corp............................. 10,707 495,868
Gateway 2000, Inc.*.................... 10,355 484,096
Computer Associates
International, Inc................... 18,990 478,311
SunTrust Banks, Inc.................... 9,579 477,154
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Carnival Corp.......................... 18,940 $ 466,397
Harley-Davidson, Inc................... 9,723 465,489
EL Paso Energy Corp.................... 7,463 459,907
Sanmina Corp.*......................... 4,865 455,486
Lockheed Martin Corp................... 13,718 452,145
Gannett Co., Inc....................... 8,472 449,016
International Paper Co................. 15,535 445,660
Chubb Corp............................. 5,616 444,366
Dominion Resources, Inc................ 7,645 443,888
Capital One Financial Corp............. 6,305 441,744
Houston Industries..................... 9,447 439,285
Tribune Co............................. 9,904 432,062
National City Corp..................... 19,519 431,858
Best Buy Co., Inc.*.................... 6,644 422,724
Omnicom Group, Inc..................... 5,708 416,327
H. J. Heinz Co......................... 11,165 413,803
FedEx Corp.*........................... 9,155 405,933
American Electric Power................ 10,347 404,826
Eastman Kodak Co....................... 9,894 404,417
Mercury Interactive Corp.*............. 2,567 402,377
Computer Sciences Corp.*............... 5,402 401,098
General Dynamics Corp.................. 6,377 400,555
McGraw-Hill Cos., Inc.................. 6,257 397,711
Transocean Sedco Forex, Inc............ 6,767 396,715
Baker Hughes, Inc...................... 10,627 394,527
Southwest Airlines Co.................. 16,021 388,509
BB&T Corp.............................. 12,850 387,106
RadioShack Corp........................ 5,968 385,682
FPL Group, Inc......................... 5,712 375,564
Caterpillar, Inc....................... 11,109 374,929
Wachovia Corp.......................... 6,532 370,283
Tenet Healthcare Corp.*................ 10,117 368,006
Sears, Roebuck & Co.................... 11,017 357,171
Allergan, Inc.......................... 4,221 356,411
St. Paul Cos., Inc..................... 7,177 353,916
KeyCorp................................ 13,834 350,173
Campbell Soup Co....................... 13,532 350,140
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 5
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
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September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Waste Management, Inc.................. 19,975 $ 348,314
Franklin Resources, Inc................ 7,826 347,709
Nike, Inc., Class B.................... 8,669 347,302
ConAgra Foods, Inc..................... 17,130 343,671
Molex, Inc............................. 6,304 343,174
Quaker Oats Co......................... 4,261 337,152
Interpublic Group of Cos., Inc......... 9,890 336,878
TXU Corp............................... 8,486 336,258
PECO Energy Co......................... 5,453 330,247
Scientific-Atlanta, Inc................ 5,118 325,633
General Mills, Inc..................... 9,171 325,570
Paine Webber Group, Inc................ 4,749 323,526
Pitney Bowes, Inc...................... 8,203 323,506
Xerox Corp............................. 21,426 322,729
Aon Corp............................... 8,195 321,654
ALZA Corp.*............................ 3,713 321,174
Unicom Corp............................ 5,650 317,459
Kellogg Co............................. 13,035 315,284
Stillwell Financial, Inc............... 7,216 313,896
Avon Products, Inc..................... 7,629 311,835
Raytheon Co., Class B.................. 10,926 310,708
Union Pacific Corp..................... 7,965 309,639
Public Service Enterprise
Group, Inc........................... 6,890 307,897
Conexant Systems, Inc.*................ 7,321 306,567
Dover Corp............................. 6,526 306,314
Limited, Inc........................... 13,869 305,985
PG&E Corp.............................. 12,396 299,828
Xcel Energy Inc........................ 10,901 299,777
Nabisco Group Holdings Corp............ 10,487 298,879
Clorox Co.............................. 7,542 298,380
Lincoln National Corp.................. 6,130 295,006
Comerica, Inc.......................... 5,029 293,882
LSI Logic Corp.*....................... 9,968 291,564
Biogen, Inc.*.......................... 4,755 290,055
Weyerhaeuser Co........................ 7,076 285,693
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Albertson's, Inc....................... 13,599 $ 285,579
USX-Marathon Group..................... 10,028 284,544
Marriott International, Inc.,
Class A.............................. 7,714 281,079
Burlington Northern Santa Fe........... 12,990 280,097
McKesson HBOC, Inc..................... 9,129 279,005
Unocal Corp............................ 7,804 276,554
Masco Corp............................. 14,688 273,564
William Wrigley, Jr. Co................ 3,652 273,443
Golden West Financial Corp............. 5,077 272,254
Delphi Automotive Systems.............. 17,994 272,159
Apple Computer, Inc.*.................. 10,443 268,907
Entergy Corp........................... 7,163 266,822
Air Products & Chemicals, Inc.......... 7,369 265,284
Loews Corp............................. 3,169 264,215
Aetna, Inc............................. 4,536 263,371
Occidental Petroleum Corp.............. 11,854 258,565
Burlington Resources, Inc.............. 6,925 254,927
Cendant Corp........................... 23,336 253,779
PeopleSoft, Inc.*...................... 8,987 251,074
Deere & Co............................. 7,538 250,638
Devon Energy Corp...................... 4,099 246,555
KLA-Tencor Corp.*...................... 5,976 246,136
Starbucks Corp.*....................... 6,012 240,856
SLM Holding Corp....................... 4,987 240,311
Constellation Energy Group............. 4,812 239,397
Hershey Foods Corp..................... 4,394 237,825
Advanced Micro Devices*................ 10,010 236,486
Ralston-Ralston Purina Group........... 9,864 233,653
Consolidated Edison, Inc............... 6,812 232,459
Apache Corp............................ 3,925 232,066
National Semiconductor Corp.*.......... 5,707 229,707
Danaher Corp........................... 4,555 226,611
Jefferson-Pilot Corp................... 3,311 224,734
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 6
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
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September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
MBIA, Inc.............................. 3,157 $ 224,542
PPG Industries, Inc.................... 5,589 221,813
Bed Bath & Beyond, Inc.*............... 9,083 221,540
Bear Stearns Cos., Inc................. 3,459 217,917
Becton, Dickinson & Co................. 8,137 215,122
Boston Scientific Corp.*............... 13,060 214,674
Coca-Cola Ent.......................... 13,442 214,232
CP&L Energy, Inc....................... 5,129 213,815
Watson Pharmaceuticals, Inc.*.......... 3,286 213,179
Textron, Inc........................... 4,609 212,590
TJX Cos., Inc.......................... 9,399 211,477
New York Times Co., Class A............ 5,366 210,951
UNUM Corp.............................. 7,733 210,724
May Department Stores Co............... 10,215 209,407
Northrop Grumman Corp.................. 2,304 209,376
MGIC Investment Corp................... 3,417 208,864
Staples, Inc.*......................... 14,592 207,024
Alcan Aluminum, Ltd.................... 7,033 203,517
Rohm & Haas Co......................... 6,960 202,275
Edison International................... 10,470 202,202
Fort James Corp........................ 6,578 201,040
Kerr-McGee Corp........................ 3,028 200,605
Biomet, Inc............................ 5,709 199,815
IMS Health, Inc........................ 9,550 198,162
FirstEnergy Corp....................... 7,346 197,883
Novellus Systems Inc.*................. 4,212 196,121
Newell Rubbermaid, Inc................. 8,566 195,412
Teradyne, Inc.*........................ 5,573 195,055
PPL Corp............................... 4,648 194,054
Barrick Gold Corp...................... 12,717 193,934
Amerada Hess Corp...................... 2,895 193,784
WellPoint Health Networks*............. 2,016 193,536
Synovus Financial Corp................. 9,129 193,421
Summit Bancorp......................... 5,589 192,820
Progressive Corp....................... 2,355 192,816
Convergy's Corp.*...................... 4,946 192,276
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Praxair, Inc........................... 5,079 $ 189,828
Ameren Corp............................ 4,409 184,627
Cincinnati Financial Corp.............. 5,173 183,641
T. Rowe Price Assoc.................... 3,898 182,962
Columbia Energy Group.................. 2,556 181,476
Norfolk Southern Corp.................. 12,320 180,180
Tiffany & Co........................... 4,666 179,933
Rockwell International Corp............ 5,948 179,927
Dun & Bradstreet Corp.*................ 5,209 179,385
Dollar General Corp.................... 10,560 176,880
Ingersoll-Rand Co...................... 5,177 175,371
DTE Energy Co.......................... 4,584 175,338
Archer-Daniels-Midland Co.............. 20,318 175,243
Delta Air Lines, Inc................... 3,936 174,660
Federated Department Stores, Inc.*..... 6,682 174,567
Cabletron Systems*..................... 5,919 173,871
Keyspan Corp........................... 4,314 173,099
Southtrust Corp........................ 5,406 169,951
Dow Jones and Co., Inc................. 2,808 169,884
Cinergy Corp........................... 5,107 168,850
Florida Progress Corp.................. 3,169 167,759
Avery Dennison Corp.................... 3,584 166,208
PerkinElmer, Inc....................... 1,585 165,434
Charter One Financial, Inc............. 6,748 164,482
Union Carbide Corp..................... 4,336 163,684
TRW, Inc............................... 3,988 162,012
Regions Financial Corp................. 7,032 159,538
AMR Corp/Del........................... 4,819 157,521
Sapient Corp.*......................... 3,814 155,182
Lexmark International Group Inc.,
Class A *............................ 4,096 153,600
CSX Corp............................... 7,030 153,342
Mattel, Inc............................ 13,701 153,280
Circuit City Stores -- Circuit City
Group................................ 6,597 151,731
BMC Software, Inc.*.................... 7,931 151,680
Amsouth Bancorporation................. 12,105 151,312
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 7
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Ecolab, Inc............................ 4,114 $ 148,361
C.I.T. Group, Inc., Class A............ 8,433 147,577
Johnson Controls, Inc.................. 2,759 146,744
Tosco Corp............................. 4,646 144,897
Thermo Electron Corp.*................. 5,572 144,872
Eaton Corp............................. 2,343 144,387
Tricon Global Restaurants, Inc.*....... 4,687 143,539
Union Planters Corp.................... 4,330 143,161
Harcourt General, Inc.................. 2,349 138,591
Pinnacle West Capital Corp............. 2,723 138,533
Countrywide Credit Industries, Inc..... 3,669 138,505
St. Jude Medical, Inc.................. 2,705 137,955
Hilton Hotels Corp..................... 11,842 136,923
Sempra Energy.......................... 6,560 136,530
Fortune Brands, Inc.................... 5,042 133,613
Ceridian Corp.......................... 4,666 130,940
Vulcan Materials Co.................... 3,243 130,328
Georgia-Pacific Group.................. 5,480 128,780
B. F. Goodrich Co...................... 3,261 127,790
Old Kent Financial Corp................ 4,400 127,325
GPU, Inc............................... 3,897 126,409
Knight-Ridder, Inc..................... 2,430 123,474
CenturyTel, Inc........................ 4,516 123,061
Equifax, Inc........................... 4,538 122,242
Sealed Air Corp.*...................... 2,692 121,813
Parker Hannifin Corp................... 3,598 121,432
Brown-Forman Corp., Class B............ 2,202 120,559
Sabre Holdings Corp.................... 4,148 120,033
American Power Conversion*............. 6,252 119,960
Citrix Systems, Inc.*.................. 5,968 119,733
UST, Inc............................... 5,217 119,339
Tektronix, Inc.*....................... 1,545 118,675
Huntington Bancshares, Inc............. 8,076 118,616
Block H & R, Inc....................... 3,150 116,747
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
NCR Corp.*............................. 3,086 $ 116,689
Young & Rubicam, Inc................... 2,355 116,572
Torchmark Corp......................... 4,099 114,003
Unisys Corp.*.......................... 10,058 113,152
Toys R Us, Inc.*....................... 6,948 112,905
SAFECO Corp............................ 4,101 111,752
Sherwin-Williams Co.................... 5,227 111,727
Genuine Parts Co....................... 5,622 107,169
Phelps Dodge Corp...................... 2,530 105,627
Cooper Industries, Inc................. 2,996 105,609
Novell, Inc.*.......................... 10,437 103,718
Dana Corp.............................. 4,797 103,135
Harrah's Entertainment, Inc............ 3,749 103,097
Healthsouth Corp.*..................... 12,393 100,693
Leggett & Platt, Inc................... 6,317 99,888
Placer Dome, Inc....................... 10,524 99,320
J. C. Penney Co., Inc.................. 8,405 99,284
Mallinckrodt, Inc...................... 2,160 98,550
Willamette Industries, Inc............. 3,509 98,252
Compuware Corp.*....................... 11,725 98,197
R. R. Donnelley & Sons Co.............. 3,917 96,211
Parametric Technology Corp.*........... 8,749 95,692
CMS Energy Corp........................ 3,535 95,224
Inco, Ltd.*............................ 5,839 94,154
AutoZone, Inc.*........................ 4,096 92,928
Kmart Corp.*........................... 15,428 92,568
Newmont Mining Corp.................... 5,401 91,817
ITT Industries, Inc.................... 2,825 91,636
Black & Decker Corp.................... 2,677 91,520
Paccar, Inc............................ 2,459 91,137
Eastman Chemical Co.................... 2,467 91,125
V. F. Corp............................. 3,681 90,875
Goodyear Tire & Rubber Co.............. 5,026 90,468
Whirlpool Corp......................... 2,292 89,101
Rowan Cos., Inc.*...................... 3,030 87,870
Westvaco Corp.......................... 3,234 86,307
Sigma-Aldrich Corp..................... 2,590 85,470
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 8
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Darden Restaurants, Inc................ 3,927 $ 81,731
Niagara Mohawk Holdings, Inc.*......... 5,154 81,175
Conseco, Inc........................... 10,453 79,704
W. W. Grainger, Inc.................... 3,018 79,411
Pall Corp.............................. 3,965 79,052
Nucor Corp............................. 2,607 78,536
Maytag Corp............................ 2,492 77,408
Mead Corp.............................. 3,296 77,044
Office Depot, Inc.*.................... 9,823 76,742
Ashland, Inc........................... 2,247 75,696
Sunoco, Inc............................ 2,799 75,398
Adolph Coors, Class B.................. 1,187 75,004
Wendy's International, Inc............. 3,647 73,168
Fluor Corp............................. 2,432 72,960
Millipore Corp......................... 1,488 72,075
C.R. Bard, Inc......................... 1,632 68,952
Andrew Corp.*.......................... 2,608 68,297
Bausch & Lomb, Inc..................... 1,713 66,700
Engelhard Corp......................... 4,104 66,690
Liz Claiborne, Inc..................... 1,711 65,873
U. S. Airways Group, Inc.*............. 2,155 65,593
FMC Corp............................... 977 65,520
Nordstrom, Inc......................... 4,185 65,129
Winn-Dixie Stores, Inc................. 4,525 65,047
Supervalu, Inc......................... 4,252 64,046
Stanley Works.......................... 2,772 63,929
Adaptec, Inc.*......................... 3,187 63,740
Visteon Corp........................... 4,203 63,570
Hasbro, Inc............................ 5,537 63,329
Temple-Inland, Inc..................... 1,638 62,039
Pactiv Corp.*.......................... 5,443 60,894
Centex Corp............................ 1,891 60,748
Quintiles Transnational Corp.*......... 3,714 59,192
International Flavors &
Fragrances, Inc...................... 3,210 58,582
Allied Waste Industries, Inc.*......... 6,323 58,093
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Humana, Inc.*.......................... 5,333 $ 57,330
Navistar International Corp............ 1,903 56,971
Eastern Enterprises.................... 873 55,708
Bemis Co............................... 1,708 54,869
Nicor, Inc............................. 1,475 53,377
Alberto-Culver Co., Class B............ 1,794 51,690
Manor Care, Inc.*...................... 3,286 51,549
Brunswick Corp......................... 2,805 51,191
Great Lakes Chemical Corp.............. 1,678 49,186
Boise Cascade Corp..................... 1,842 48,928
Hercules, Inc.......................... 3,452 48,759
Consolidated Stores Corp.*............. 3,578 48,303
Meredith Corp.......................... 1,628 48,026
Allegheny Technologies, Inc............ 2,613 47,361
Deluxe Corp............................ 2,324 47,206
Autodesk, Inc.......................... 1,851 46,969
Crane Co............................... 1,952 44,652
Snap-On, Inc........................... 1,888 44,486
Homestake Mining Co.................... 8,454 43,855
Owens-Illinois, Inc.*.................. 4,693 43,410
Freeport-McMoRan Copper & Gold, Inc.,
Class B*............................. 4,913 43,296
USX-U. S. Steel Group.................. 2,850 43,284
Crown Cork and Seal Co., Inc........... 4,047 43,252
Pulte Corp............................. 1,297 42,801
Kaufman & Broad Home Corp.............. 1,548 41,699
Cummins Engine Co...................... 1,334 39,937
Peoples Energy Corp.................... 1,134 37,847
Oneok, Inc............................. 938 37,285
American Greetings Corp., Class A...... 2,070 36,225
Ryder System, Inc...................... 1,916 35,326
Reebok International, Ltd.*............ 1,829 34,408
Tupperware Corp........................ 1,855 33,390
Thomas & Betts Corp.................... 1,863 32,486
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 9
<PAGE>
RYDEX SERIES FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE1)
--------- -----------
<S> <C> <C>
Dillards, Inc., Class A................ 3,008 $ 31,960
Louisiana-Pacific Corp................. 3,348 30,760
Ball Corp.............................. 936 29,659
Potlatch Corp.......................... 914 28,905
Timken Co.............................. 1,947 26,650
Briggs & Stratton Co................... 694 26,242
Worthington Industries, Inc............ 2,756 25,837
National Service Industries, Inc....... 1,310 25,627
Cooper Tire & Rubber Co................ 2,331 23,456
Longs Drug Stores Corp................. 1,214 23,218
McDermott International, Inc.*......... 1,937 21,307
Polaroid Corp.......................... 1,446 19,431
Russell Corp........................... 1,047 16,621
Springs Industries, Inc., Class A...... 576 16,236
Armstrong Holdings, Inc................ 1,301 15,531
W. R. Grace & Co.*..................... 2,155 14,816
Bethlehem Steel Corp.*................. 4,252 12,756
Owens Corning.......................... 1,782 4,678
-----------
Total Common Stocks (Cost
$298,640,307)...................... 405,751,576
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
FEDERAL AGENCY
DISCOUNT NOTES 8.6%
Fannie Mae 6.41% 11/09/00.............. $25,000,000 $24,830,847
Federal Home Loan
Banks 6.35% 10/16/00**............... 8,000,000 7,980,244
Federal Home Loan
Banks 6.42% 10/27/00**............... 15,000,000 14,933,125
-----------
Total Federal Agency Discount Notes
(Cost $47,744,216)............... 47,744,216
-----------
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS
----------
<S> <C> <C>
OPTIONS PURCHASED 1.4%
Call Options on:
December 2000 S&P 500 Futures
Contracts, Expiring
December 2000, with
strike 1150 ....................... 99 7,585,875
Put Options on:
October 2000 S&P 500 Futures
Contracts, Expiring
October 2000, with strike 1025..... 100 --
-----------
Total Options Purchased (Cost
$8,683,718)...................... 7,585,875
-----------
</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 FUNDS
NOVA FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- ------------
<S> <C> <C>
REPURCHASE AGREEMENTS 16.6%
Repurchase Agreements Collateralized by
U.S. Treasury Obligations (Note 4):
6.40% due 10/02/00................... $24,042,763 $ 24,042,763
6.48% due 10/02/00................... 43,802,563 43,802,563
6.50% due 10/02/00................... 24,042,763 24,042,763
------------
Total Repurchase Agreements (Cost
$91,888,089)..................... 91,888,089
------------
Total Investments 100% (Cost
$446,956,330) $552,969,756
============
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
---------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
December 2000 S&P 500 Futures Contracts
(Underlying Face Amount at Market
Value $421,209,575).................. 1,159 $(10,878,594)
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. 11
<PAGE>
RYDEX SERIES FUNDS
U.S. GOVERNMENT MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- --------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 86.0%
Fannie Mae 6.39% 10/12/00.............. $25,000,000 $ 24,955,625
Fannie Mae 6.40% 10/12/00.............. 25,000,000 24,955,556
Fannie Mae 6.41% 10/16/00.............. 25,000,000 24,937,681
Fannie Mae 6.39% 10/19/00.............. 25,000,000 24,924,562
Fannie Mae 6.39% 10/23/00.............. 25,000,000 24,906,812
Fannie Mae 6.40% 10/25/00.............. 25,000,000 24,897,778
Fannie Mae 6.40% 10/26/00.............. 25,000,000 24,893,333
Fannie Mae 6.40% 11/09/00.............. 25,000,000 24,831,111
Fannie Mae 6.40% 11/16/00.............. 25,000,000 24,800,000
Fannie Mae 6.38% 11/22/00.............. 25,000,000 24,774,042
Fannie Mae 6.37% 12/07/00.............. 25,000,000 24,708,042
Fannie Mae 6.37% 12/21/00.............. 25,000,000 24,646,111
Fannie Mae 6.38% 12/28/00.............. 25,000,000 24,614,542
Fannie Mae 6.38% 01/04/01.............. 25,000,000 24,583,528
Fannie Mae 6.40% 01/08/01.............. 25,000,000 19,651,556
Fannie Mae 6.40% 01/09/01.............. 25,000,000 24,560,000
Fannie Mae 6.38% 01/19/01.............. 25,000,000 24,517,069
Farmer Mac Disc 6.40% 10/13/00......... 25,000,000 24,951,111
Farmer Mac Disc 6.44% 11/01/00......... 25,000,000 24,865,833
Federal Farm Credit Banks 6.20%
10/02/00............................. 25,000,000 25,000,000
Federal Home Loan Banks 6.36%
10/02/00............................. 10,000,000 10,000,000
Federal Home Loan Banks 6.37%
10/02/00............................. 25,000,000 25,000,000
Federal Home Loan Banks 6.41%
10/04/00............................. 25,000,000 24,991,097
Federal Home Loan Banks 6.35%
10/06/00............................. 25,000,000 24,982,361
Federal Home Loan Banks 6.40%
10/11/00............................. 25,000,000 24,960,000
Federal Home Loan Banks 6.42%
10/18/00............................. 25,000,000 24,928,667
Federal Home Loan Banks 6.40%
10/20/00............................. 25,000,000 24,920,000
Federal Home Loan Banks 6.38%
11/17/00............................. 25,000,000 24,796,194
Federal Home Loan Banks 6.37%
12/13/00............................. 25,000,000 24,681,500
Federal Home Loan Banks 6.37%
12/22/00............................. 25,000,000 24,641,687
Federal Home Loan Banks 6.36%
01/02/01............................. 25,000,000 24,593,667
Federal Home Loan Banks 6.36%
01/03/01............................. 25,000,000 24,589,250
Freddie Mac 6.36% 10/03/00............. 25,000,000 24,995,583
Freddie Mac 6.37% 10/10/00............. 25,000,000 24,964,611
Freddie Mac 6.39% 10/17/00............. 25,000,000 24,933,437
Freddie Mac 6.41% 10/24/00............. 25,000,000 24,902,069
Freddie Mac 6.41% 10/31/00............. 25,000,000 24,870,910
Freddie Mac 6.41% 11/02/00............. 25,000,000 24,862,007
</TABLE>
See Notes to Financial Statements. 12
<PAGE>
RYDEX SERIES FUNDS
U.S. GOVERNMENT MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- --------------
<S> <C> <C>
Freddie Mac 6.38% 11/10/00............. $25,000,000 $ 24,827,208
Freddie Mac 6.38% 11/16/00............. 25,000,000 24,800,625
Freddie Mac 6.37% 11/21/00............. 25,000,000 24,778,819
Freddie Mac 6.38% 11/30/00............. 25,000,000 24,738,597
Freddie Mac 6.35% 12/14/00............. 25,000,000 24,678,092
--------------
Total Federal Agency Discount Notes
(Cost $1,047,410,673)............ 1,047,410,673
--------------
FEDERAL AGENCY BONDS 11.9%
Fannie Mae 6.32% 02/02/01.............. 15,000,000 14,994,711
Federal Farm Credit 6.34% 11/01/00..... 15,000,000 15,000,000
Federal Farm Credit 6.55% 11/01/00..... 20,000,000 20,000,000
Federal Home Loan Banks 6.50%
01/25/01............................. 25,000,000 25,000,000
Federal Home Loan Banks 6.89%
09/12/01............................. 15,000,000 15,000,000
Freddie Mac 7.15% 07/17/01............. 25,000,000 24,998,027
Freddie Mac 6.90% 09/11/01............. 15,000,000 15,000,000
Freddie Mac 5.99% 12/06/00............. 15,000,000 14,988,061
--------------
Total Federal Agency Bonds (Cost
$144,980,799).................... 144,980,799
--------------
REPURCHASE AGREEMENTS 2.1%
Repurchase Agreements Collateralized by
U.S. Treasury Obligations
(Note 4):
6.40% due 10/02/00................... 6,554,872 6,554,872
6.48% due 10/02/00................... 11,942,063 11,942,063
6.50% due 10/02/00................... 6,554,872 6,554,872
--------------
Total Repurchase Agreements (Cost
$25,051,807)..................... 25,051,807
--------------
Total Investments 100% (Cost
$1,217,443,279).................. $1,217,443,279
==============
</TABLE>
See Notes to Financial Statements. 13
<PAGE>
RYDEX SERIES FUNDS
OTC FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- -------------
<S> <C> <C>
COMMON STOCKS 97.1%
Cisco Systems, Inc.*................... 3,541,900 $ 195,689,975
Microsoft Corp.*....................... 2,529,700 152,572,531
Intel Corp............................. 3,283,500 136,470,469
Oracle Corp.*.......................... 1,639,300 129,094,875
JDS Uniphase Corp.*.................... 1,239,700 117,384,094
Sun Microsystems, Inc.*................ 964,600 112,617,050
QUALCOMM, Inc.*........................ 1,254,900 89,411,625
Veritas Software Corp.*................ 573,900 81,493,800
Siebel Systems, Inc.*.................. 681,200 75,826,075
Juniper Networks, Inc.*................ 289,500 63,382,406
Nextel Communications, Inc.,
Class A*............................. 1,303,700 60,947,975
Network Appliance, Inc.*............... 461,800 58,821,775
Ciena Corp.*........................... 470,900 57,832,406
i2 Technologies, Inc.*................. 297,700 55,688,506
PMC-Sierra, Inc.*...................... 243,200 52,348,800
Gemstar International Group, Ltd.*..... 599,000 52,225,312
Xilinx, Inc.*.......................... 608,700 52,119,937
Verisign, Inc.*........................ 256,000 51,856,000
Amgen, Inc.*........................... 669,500 46,749,930
Maxim Integrated Products, Inc.*....... 553,100 44,489,981
MCI WorldCom, Inc.*.................... 1,443,600 43,849,350
Applied Micro Circuits Corp.*.......... 204,400 42,323,575
Immunex Corp.*......................... 963,500 41,912,250
Global Crossing, Ltd.*................. 1,331,000 41,261,000
Dell Computer Corp.*................... 1,331,400 41,023,762
SDL, Inc.*............................. 125,900 38,942,444
Linear Technology Corp................. 584,800 37,865,800
Altera Corp.*.......................... 783,400 37,407,350
VoiceStream Wireless Corp.*............ 321,100 37,267,669
Applied Materials, Inc.*............... 587,100 34,822,369
Yahoo! Inc.*........................... 371,100 33,770,107
ADC Telecommunications, Inc.*.......... 1,231,200 33,107,737
Level 3 Communications, Inc.*.......... 355,700 27,433,362
Paychex, Inc........................... 493,400 25,903,500
Adobe Systems, Inc..................... 165,500 25,693,875
Comverse Technology, Inc.*............. 237,800 25,682,400
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- -------------
<S> <C> <C>
Comcast Corp., Special Class A *....... 598,100 $ 24,484,719
Telefonaktiebolaget LM Ericsson,
Sponsored ADR........................ 1,643,400 24,342,862
Medimmune, Inc.*....................... 313,700 24,233,325
Vitesse Semiconductor Corp.*........... 271,900 24,182,106
Sanmina Corp.*......................... 225,300 21,093,712
Intuit, Inc.*.......................... 358,100 20,411,700
eBay, Inc.*............................ 279,700 19,211,894
NTL, Inc.*............................. 392,900 18,196,181
Metromedia Fiber Network, Inc.,
Class A*............................. 736,100 17,896,431
EchoStar
Communications
Corp., Class A*...................... 338,100 17,834,775
Apple Computer, Inc.*.................. 632,500 16,286,875
Chiron Corp.*.......................... 357,200 16,074,000
Tellabs, Inc.*......................... 326,100 15,571,275
Biogen, Inc.*.......................... 254,100 15,500,100
Peoplesoft, Inc.*...................... 551,400 15,404,737
Conexant Systems, Inc.*................ 351,200 14,706,500
Starbucks Corp.*....................... 363,400 14,558,712
NEXTLINK Communications, Inc.,
Class A*............................. 406,500 14,303,719
Lycos, Inc.*........................... 192,300 13,223,630
KLA-Tencor Corp.*...................... 314,800 12,965,825
Fiserv, Inc.*.......................... 216,400 12,956,950
Bed Bath &
Beyond, Inc.*........................ 530,600 12,941,666
Amazon.com, Inc.*...................... 329,600 12,669,000
CMGI, Inc.*............................ 452,400 12,638,925
Cintas Corp............................ 282,200 12,293,337
Concord EFS, Inc.*..................... 339,400 12,054,003
Biomet, Inc............................ 335,200 11,732,000
Costco Wholesale Corp.................. 329,700 11,518,894
Qlogic Corp.*.......................... 128,300 11,290,400
USA Networks, Inc.*.................... 485,900 10,659,431
BroadVision, Inc.*..................... 404,200 10,382,887
Genzyme Corp. --
General Division*.................... 152,100 10,371,319
McLeodUSA, Inc.,
Class A*............................. 657,500 9,410,469
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 14
<PAGE>
RYDEX SERIES FUNDS
OTC FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- -------------
<S> <C> <C>
Electronic Arts, Inc.*................. 184,500 $ 9,109,687
PanAmSat Corp.*........................ 281,900 9,003,181
RF Micro Devices, Inc.*................ 255,800 8,185,600
RealNetworks, Inc.*.................... 205,300 8,160,675
Molex, Inc............................. 135,900 7,398,056
Atmel Corp.*........................... 483,200 7,338,600
American Power Conversion Corp.*....... 357,000 6,849,937
Citrix Systems, Inc.*.................. 307,700 6,173,231
Staples, Inc.*......................... 429,000 6,086,437
At Home Corp., Series A*............... 409,400 5,782,775
Parametric Technology Corp.*........... 516,500 5,649,219
Dollar Tree Stores, Inc.*.............. 137,200 5,565,175
Novell, Inc.*.......................... 542,800 5,394,075
Adelphia Communications, Class A*...... 183,300 5,052,206
BMC Software, Inc.*.................... 262,100 5,012,662
3Com Corp.*............................ 248,300 4,764,256
Network Associates, Inc.*.............. 200,000 4,525,000
PACCAR, Inc............................ 120,400 4,462,325
Synopsys, Inc.*........................ 105,400 3,992,025
Smurfit-Stone Container Corp.*......... 332,400 3,988,800
Sigma-Aldrich Corp..................... 118,400 3,907,200
CNET Networks, Inc.*................... 138,100 3,364,030
Compuware Corp.*....................... 312,900 2,620,537
-------------
Total Common Stocks
(Cost $1,392,803,343)............ 2,899,078,120
-------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
---------- -----------------
<S> <C> <C>
FEDERAL AGENCY
DISCOUNT NOTES 0.8%
Federal Home Loan
Banks 6.36% 10/02/00 $25,000,000 $ 25,000,000
-----------------
Total Federal Agency
Discount Notes
(Cost $25,000,000) 25,000,000
-----------------
REPURCHASE AGREEMENTS 2.1%
Repurchase Agreements Collateralized by
U.S. Treasury Obligations
(Note 4):
6.40% due 10/02/00................... 16,190,992 16,190,992
6.48% due 10/02/00................... 29,497,730 29,497,730
6.50% due 10/02/00................... 16,190,992 16,190,992
-----------------
Total Repurchase Agreements
(Cost $61,879,714)............... 61,879,714
-----------------
Total Investments 100%
(Cost $1,479,683,057)............ $ 2,985,957,834
=================
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
LOSS
CONTRACTS (NOTE 1)
---------- -----------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED
December 2000 NASDAQ 100 Futures Contracts
(Underlying Face Amount at Market Value
$85,093,500) 235 $(7,651,895)
===========
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 15
<PAGE>
RYDEX SERIES FUNDS
U.S. GOVERNMENT BOND FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE1)
----------- -----------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS 88.6%
U.S. Treasury Bond 6.25% 05/15/30...... $15,610,000 $16,405,133
-----------
Total U.S. Treasury Obligations
(Cost $15,872,057)............... 16,405,133
-----------
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS
----------
<S> <C> <C>
OPTIONS PURCHASED 5.7%
Call Options on:
December 2000 U.S. Treasury Bond
Futures Contracts, Expiring
December 2000, with strike 80...... 56 1,044,750
----------
Total Options Purchased (Cost
$1,032,728)...................... 1,044,750
----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
---------
<S> <C> <C>
REPURCHASE AGREEMENTS 5.7%
Repurchase Agreements Collateralized by
U.S. Treasury Obligations
(Note 4):
6.40% due 10/02/00................... $ 277,480 277,480
6.48% due 10/02/00................... 505,529 505,529
6.50% due 10/02/00................... 277,480 277,480
-----------
Total Repurchase Agreements (Cost
$1,060,489)...................... 1,060,489
-----------
Total Investments 100% (Cost
$17,965,274)..................... $18,510,372
===========
</TABLE>
See Notes to Financial Statements. 16
<PAGE>
RYDEX SERIES FUNDS
LARGE-CAP EUROPE FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
COMMON STOCKS 9.3%
FINLAND
Nokia Oyj.............................. 1,460 $ 58,936
-----------
58,936
FRANCE
Total Fina Elf SA, Class B............. 226 32,940
Alcatel................................ 356 22,689
Vivendi SA............................. 188 13,915
Carrefour SA........................... 180 13,244
France Telecom SA...................... 124 13,233
AXA.................................... 98 12,750
BNP Paribas SA......................... 119 10,451
L'Oreal SA............................. 98 7,577
-----------
126,799
GERMANY
Siemens AG............................. 173 22,204
Deutsche Bank AG, Registered........... 192 15,815
Allianz AG, Registered................. 45 14,769
Deutsche Telekom AG, Registered........ 387 13,258
DaimlerChrysler AG, Registered......... 255 11,397
E.On AG................................ 199 10,199
Bayer AG............................... 216 8,003
Muenchener Rueckversicherungs-
Gesellschaft AG, Registered.......... 25 7,428
-----------
103,073
ITALY
Assicurazioni Generali S.p.A........... 346 11,041
ENI S.p.A.............................. 1,573 8,297
Telecom Italia S.p.A................... 737 7,810
-----------
27,148
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
NETHERLANDS
Royal Dutch Petroleum Co............... 622 $ 37,449
Royal Koninklijke Philips Electronics
NV................................... 411 17,621
ING Groep NV........................... 256 16,986
Aegon NV............................... 264 9,921
ABN AMRO Holding NV.................... 411 9,538
-----------
91,515
SPAIN
Telefonica SA.......................... 1,182 23,327
Banco Santander Central Hispano SA..... 1,409 15,408
Banco Bilbao Vizcaya Argentaria SA..... 983 14,794
-----------
53,529
SWEDEN
Telefonaktiebolaget LM Ericsson AB,
Class B.............................. 2,252 34,013
-----------
34,013
SWITZERLAND
Novartis AG, Registered................ 22 33,620
Nestle SA, Registered.................. 12 24,912
UBS AG, Registered..................... 134 17,773
Roche Holding AG....................... 2 17,531
Credit Suisse Group, Registered........ 77 14,342
Swiss Re, Registered................... 4 7,612
-----------
115,790
UNITED KINGDOM
Vodafone Group PLC..................... 19,195 71,077
BP Amoco PLC........................... 7,070 62,414
HSBC Holdings PLC...................... 2,643 37,286
Glaxo Wellcome PLC..................... 1,138 34,178
Shell Transport & Trading Co. PLC...... 3,102 25,065
AstraZeneca Group PLC.................. 481 24,998
</TABLE>
See Notes to Financial Statements. 17
<PAGE>
RYDEX SERIES FUNDS
LARGE-CAP EUROPE FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
----------- -----------
<S> <C> <C>
SmithKline Beecham PLC................. 1,753 $ 23,818
British Telecommunications PLC......... 2,043 21,301
Lloyds TSB Group PLC................... 1,715 15,869
Royal Bank of Scotland Group PLC....... 754 15,789
Barclays PLC........................... 465 12,765
Marconi PLC............................ 861 11,679
CGNU PLC............................... 700 9,854
Diageo PLC............................. 1,067 9,459
Prudential PLC......................... 610 8,257
-----------
383,809
-----------
Total Common Stocks
(Cost $1,002,013)................ 994,612
-----------
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- -----------
<S> <C> <C>
FEDERAL AGENCY
DISCOUNT NOTES 46.7%
Federal Home Loan
Banks 6.40% 10/05/00................. $ 2,000,000 $ 1,998,933
Fannie Mae 6.40% 10/12/00.............. 3,000,000 2,994,664
-----------
Total Federal Agency Discount Notes
(Cost $4,993,597)................ 4,993,597
-----------
U.S. TREASURY OBLIGATIONS 16.3%
U.S. Treasury Bill
5.90% 10/12/00....................... 1,750,000 1,747,132
-----------
Total U.S. Treasury Obligations
(Cost $1,747,132)................ 1,747,132
-----------
REPURCHASE AGREEMENTS 27.7%
Repurchase Agreements Collateralized by
U.S. Treasury Obligations
(Note 4):
6.48% due 10/02/00................... 2,955,265 2,955,265
-----------
Total Repurchase Agreements
(Cost $2,955,265)................ 2,955,265
-----------
Total Investments 100%
(Cost $10,698,007)............... $10,690,606
===========
</TABLE>
See Notes to Financial Statements. 18
<PAGE>
RYDEX SERIES FUNDS
LARGE-CAP JAPAN FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- -----------
<S> <C> <C>
COMMON STOCKS 13.8%
NTT DoCoMo, Inc........................ 13 $ 370,984
Toyota Motor Corp...................... 6,000 235,847
Nippon Telegraph & Telephone Corp...... 14 136,611
Matsushita Electric Industrial Co.,
Ltd.................................. 4,000 104,207
Sony Corp.............................. 1,000 100,893
Fujitsu, Ltd........................... 4,000 92,424
Bank of Tokyo-Mitsubishi, Ltd.......... 6,000 70,533
NEC Corp............................... 3,000 67,799
Takeda Chemical Industries, Ltd........ 1,000 65,728
Nomura Securities Co., Ltd............. 3,000 64,899
Seven-Eleven Japan Co., Ltd............ 1,000 57,811
Sumitomo Bank, Ltd..................... 4,000 50,447
Hitachi, Ltd........................... 4,000 46,175
Sakura Bank, Ltd....................... 6,000 44,518
Canon, Inc............................. 1,000 44,095
Honda Motor Co., Ltd................... 1,000 36,638
Sanwa Bank, Ltd........................ 4,000 35,423
Fuji Photo Film Co., Ltd............... 1,000 33,324
Toshiba Corp........................... 4,000 32,072
Tokio Marine & Fire Insurance Co.,
Ltd.................................. 3,000 29,826
Furukawa Electric Co., Ltd............. 1,000 27,478
Kao Corp............................... 1,000 27,156
Nikko Securities Co., Ltd.............. 3,000 26,512
Sanyo Electric Co., Ltd................ 3,000 26,236
Mitsubishi Electric Corp............... 3,000 24,717
Mitsubishi Corp........................ 3,000 24,027
Tokyo Electric Power Co., Inc.......... 1,000 23,428
Denso Corp............................. 1,000 23,152
Nissan Motor Co., Ltd.................. 4,000 22,830
Mitsui & Co., Ltd...................... 3,000 18,641
Ricoh Co., Ltd......................... 1,000 18,089
Sumitomo Electric Industries, Ltd...... 1,000 17,168
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- -----------
<S> <C> <C>
Asahi Bank, Ltd........................ 4,000 $ 16,386
Kansai Electric Power Co............... 1,000 16,202
Chubu Electric Power Co., Inc.......... 1,000 16,110
Nippon Steel Corp...................... 9,000 15,907
Mitsubishi Heavy Industries, Ltd....... 4,000 15,760
Sharp Corp............................. 1,000 15,392
Tokai Bank, Ltd........................ 3,000 15,162
Sumitomo Chemical Co., Ltd............. 3,000 14,858
Dai Nippon Printing Co., Ltd........... 1,000 14,775
Mitsui Fudosan Co., Ltd................ 1,000 12,464
Bridgestone Corp....................... 1,000 11,967
Daiwa Securities Group, Inc............ 1,000 11,663
Matsushita Electric Works, Ltd......... 1,000 11,443
Japan Airlines Co., Ltd................ 3,000 11,295
Ajinomoto Co., Inc..................... 1,000 11,138
Tokyo Gas Co., Ltd..................... 4,000 10,568
Mitsubishi Estate Co., Ltd............. 1,000 10,365
Kirin Brewery Co., Ltd................. 1,000 10,218
Asahi Glass Co., Ltd................... 1,000 10,172
Sekisui House, Ltd..................... 1,000 9,620
Toppan Printing Co., Ltd............... 1,000 9,620
Sumitomo Corp.......................... 1,000 8,635
Mitsubishi Trust & Banking Corp........ 1,000 8,184
Osaka Gas Co., Ltd..................... 3,000 7,871
Sumitomo Trust & Banking Co., Ltd...... 1,000 6,738
Oji Paper Co., Ltd..................... 1,000 6,120
Asahi Chemical Industry Co., Ltd....... 1,000 5,938
Nippon Express Co., Ltd................ 1,000 5,312
-----------
Total Common Stocks (Cost
$2,334,180)...................... 2,319,571
</TABLE>
See Notes to Financial Statements. 19
<PAGE>
RYDEX SERIES FUNDS
LARGE-CAP JAPAN FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
FACE AMOUNT (NOTE 1)
----------- ------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 47.5%
Fannie Mae 6.40% 10/05/00.............. $ 5,000,000 $ 4,997,332
Fannie Mae 6.40% 10/16/00.............. 3,000,000 2,992,529
------------
Total Federal Agency Discount Notes
(Cost $7,989,861)................ 7,989,861
------------
U.S. TREASURY OBLIGATIONS 11.9%
U.S. Treasury Bill 5.90% 10/12/00...... 2,000,000 1,996,722
------------
Total U.S. Treasury Obligations
(Cost $1,996,722)................ 1,996,722
------------
REPURCHASE AGREEMENTS 26.8%
Repurchase Agreements Collateralized by
U.S. Treasury Obligations
(Note 4):
6.48% due 10/02/00................... 4,498,907 4,498,907
------------
Total Repurchase Agreements
(Cost $4,498,907)................ 4,498,907
------------
Total Investments 100% (Cost
$16,819,670)...................... $ 16,805,061
============
</TABLE>
See Notes to Financial Statements. 20
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
MONEY
NOVA URSA MARKET OTC
FUND FUND FUND FUND
------------- ------------- -------------- --------------
<S> <C> <C> <C> <C>
ASSETS
Repurchase Agreements (See
Accompanying Schedules)............ $ 91,888,089 $ -- $ 25,051,807 $ 61,879,714
Investment Securities (See
Accompanying Schedules)............ 461,081,667 -- 1,192,391,472 2,924,078,120
Investment in Master Portfolio (See
Note 3)............................ -- 271,297,997 -- --
------------- ------------- -------------- --------------
Securities at Value (Note 1)......... 552,969,756 271,297,997 1,217,443,279 2,985,957,834
Receivable for Securities Sold....... -- -- -- 15,990,632
Investment Income Receivable......... 422,733 1,256,677 2,685,995 57,720
Cash on Deposit with Broker.......... -- -- -- 7,245,000
Receivable for Shares Purchased...... 49,262,043 18,010,803 86,670,588 46,186,214
Other Assets......................... 67 -- -- --
------------- ------------- -------------- --------------
Total Assets....................... 602,654,599 290,565,477 1,306,799,862 3,055,437,400
------------- ------------- -------------- --------------
LIABILITIES
Payable for Futures Contracts
Settlement......................... 6,049,520 -- -- 3,148,035
Liability for Shares Redeemed........ 27,075,685 10,050,286 296,174,978 76,152,996
Dividends Payable.................... -- -- 74,409 --
Investment Advisory Fee Payable...... 337,238 -- 533,996 2,041,413
Transfer Agent Fee Payable........... 112,413 58,045 213,598 680,471
Distribution and Service Fee
Payable............................ 24,856 3,242 173,856 33,608
Other Liabilities.................... 496,113 126,280 840,974 2,236,264
------------- ------------- -------------- --------------
Total Liabilities.................. 34,095,825 10,237,853 298,011,811 84,292,787
------------- ------------- -------------- --------------
NET ASSETS............................. $ 568,558,774 $ 280,327,624 $1,008,788,051 $2,971,144,613
============= ============= ============== ==============
INVESTOR CLASS:
Net Assets........................... $486,492,844 $276,420,534 $680,846,487 $2,802,976,554
Shares Outstanding................... 12,696,280 33,331,572 681,285,333 106,965,162
Net Asset Value Per Share............ $38.32 $8.29 $1.00 $26.20
ADVISOR CLASS:
Net Assets........................... $82,065,930 $3,907,090 $327,941,564 $168,168,059
Shares Outstanding................... 2,162,855 477,696 328,202,687 6,482,434
Net Asset Value Per Share............ $37.94 $8.18 $1.00 $25.94
</TABLE>
See Notes to Financial Statements. 21
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. LARGE-CAP LARGE-CAP
GOVERNMENT JUNO ARKTOS EUROPE JAPAN
BOND FUND FUND FUND FUND FUND
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Repurchase Agreements (See
Accompanying Schedules)............ $ 1,060,489 $ -- $ -- $ 2,955,265 $ 4,498,907
Investment Securities (See
Accompanying Schedules)............ 17,449,883 -- -- 7,735,341 12,306,154
Investment in Master Portfolio (See
Note 3)............................ -- 11,269,429 120,183,249 -- --
------------ ------------ ------------ ------------ ------------
Securities at Value (Note 1)......... 18,510,372 11,269,429 120,183,249 10,690,606 16,805,061
Receivable for Securities Sold....... 19,384,515 -- -- -- --
Investment Income Receivable......... 374,592 47,671 947,069 1,596 9,760
Cash on Deposit with Broker.......... -- -- -- 827,863 2,016,571
Receivable for Shares Purchased...... 86,249 317,461 20,229,762 2,801,570 --
Other Assets......................... 532 5,279 57,904 8,650 --
------------ ------------ ------------ ------------ ------------
Total Assets....................... 38,356,260 11,639,840 141,417,984 14,330,285 18,831,392
------------ ------------ ------------ ------------ ------------
LIABILITIES
Payable for Securities Purchased..... -- -- -- 1,002,013 2,334,155
Payable for Equity Index Swaps
Settlement......................... -- -- -- 1,003,924 1,134,310
Liability for Shares Redeemed........ 19,938,569 79,617 1,824,454 1,782,421 1,921,901
Dividends Payable.................... 3,685 -- -- -- --
Investment Advisory Fee Payable...... 10,686 -- -- 6,924 9,428
Transfer Agent Fee Payable........... 4,274 2,232 24,916 1,923 2,619
Distribution and Service Fee
Payable............................ -- -- -- 1,612 2,495
Other Liabilities.................... 11,724 -- -- 10,261 8,014
------------ ------------ ------------ ------------ ------------
Total Liabilities.................. 19,968,938 81,849 1,849,370 3,809,078 5,412,922
------------ ------------ ------------ ------------ ------------
NET ASSETS............................. $ 18,387,322 $ 11,557,991 $139,568,614 $ 10,521,207 $ 13,418,470
============ ============ ============ ============ ============
INVESTOR CLASS:
Net Assets........................... $18,387,322 $11,557,991 $139,568,614 $10,521,207 $13,418,470
Shares Outstanding................... 1,978,194 1,280,880 7,342,782 467,155 688,020
Net Asset Value Per Share............ $9.30 $9.02 $19.01 $22.52 $19.50
ADVISOR CLASS:
Net Assets........................... N/A N/A N/A N/A N/A
Shares Outstanding...................
Net Asset Value Per Share............
</TABLE>
See Notes to Financial Statements. 22
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF OPERATIONS (UNAUDITED)
--------------------------------------------------------------------------------
Period Ended September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
URSA MONEY OTC
NOVA FUND FUND MARKET FUND FUND
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 1).................... $ 4,571,852 $ -- $ 37,567,170 $ 2,161,121
Dividends, net of foreign tax
withheld (Note 1).................. 2,532,964 8,099,562 -- 469,918
Other Income......................... (8,729) 85,131 3,177 (153,434)
--------------- --------------- --------------- ---------------
Total Income....................... 7,096,087 8,184,693 37,570,347 2,477,605
--------------- --------------- --------------- ---------------
EXPENSES
Advisory Fees (Note 5)............... 2,293,405 -- 2,986,278 12,001,501
Transfer Agent Fees (Note 5)......... 764,468 385,573 1,194,511 4,000,501
Audit and Outside Service............ 50,067 17,583 67,599 173,009
Accounting Fees (Note 5)............. 65,860 40,595 132,652 346,637
Legal................................ 18,955 2,895 38,078 88,750
Registration Fees.................... 95,520 49,200 172,580 356,457
Custodian Fees....................... 141,849 -- 193,536 608,348
Distribution Fees--Advisor
Class (Note 5)..................... 72,767 6,815 434,187 170,682
Servicing Fees--Advisor Class (Note
5)................................. 72,767 6,815 434,187 170,682
Miscellaneous........................ 576,407 173,199 663,475 1,464,348
--------------- --------------- --------------- ---------------
Total Expenses..................... 4,152,065 682,675 6,317,083 19,380,915
Custodian Fees Paid Indirectly
(Note 6)......................... 11,329 -- 22,135 59,250
--------------- --------------- --------------- ---------------
Net Expenses....................... 4,140,736 682,675 6,294,948 19,321,665
--------------- --------------- --------------- ---------------
Net Investment Income (Loss)........... 2,955,351 7,502,018 31,275,399 (16,844,060)
--------------- --------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities................ (16,185,185) 1,826,161 (9,153) (124,974,647)
Futures Contracts.................... (6,036,823) -- -- (756,467)
--------------- --------------- --------------- ---------------
Total Net Realized Gain (Loss)..... (22,222,008) 1,826,161 (9,153) (125,731,114)
--------------- --------------- --------------- ---------------
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities................ (8,049,725) 13,825,306 -- (634,702,408)
Futures Contracts.................... (50,443,916) -- -- (7,632,730)
--------------- --------------- --------------- ---------------
Net Change in Unrealized
Appreciation (Depreciation)...... (58,493,641) 13,825,306 -- (642,335,138)
--------------- --------------- --------------- ---------------
Net Gain (Loss) on Investments..... (80,715,649) 15,651,467 (9,153) (768,066,252)
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS...................... $ (77,760,298) $ 23,153,485 $ 31,266,246 $ (784,910,312)
=============== =============== =============== ===============
</TABLE>
See Notes to Financial Statements. 23
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF OPERATIONS (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
Period Ended September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. LARGE-CAP LARGE-CAP
GOVERNMENT JUNO ARKTOS EUROPE JAPAN
BOND FUND FUND FUND FUND* FUND*
---------- --------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 1).................... $ 811,596 $ -- $ -- $ 319,343 $ 248,102
Dividends (Note 1)................... -- 275,341 4,140,664 -- --
Other Income......................... 549 (1,071) 22,649 9,642 11,332
---------- --------- ------------ ----------- -----------
Total Income....................... 812,145 274,270 4,163,313 328,985 259,434
---------- --------- ------------ ----------- -----------
EXPENSES
Advisory Fees (Note 5)............... 74,971 -- -- 49,124 36,441
Transfer Agent Fees (Note 5)......... 29,988 13,758 149,782 13,646 10,123
Audit and Outside Services........... 1,746 549 7,059 262 247
Accounting Fees (Note 5)............. 13,955 4,498 24,526 4,952 3,437
Legal................................ 871 -- -- 81 164
Registration Fees.................... 3,208 1,915 14,431 220 111
Custodian Fees....................... 5,304 -- -- 1,014 936
Distribution Fees (Note 5)........... -- -- -- 13,646 10,123
Miscellaneous........................ 14,611 (4,042) (12,795) 12,769 9,367
---------- --------- ------------ ----------- -----------
Total Expenses..................... 144,654 16,678 183,003 95,714 70,949
Custodian Fees Paid Indirectly
(Note 6)......................... 555 -- -- -- --
---------- --------- ------------ ----------- -----------
Net Expenses....................... 144,099 16,678 183,003 95,714 70,949
---------- --------- ------------ ----------- -----------
Net Investment Income.................. 668,046 257,592 3,980,310 233,271 188,485
---------- --------- ------------ ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities................ 211,218 (136,630) 18,113,728 373 (140)
Equity Index Swaps................... -- -- -- (3,187,865) (5,187,393)
---------- --------- ------------ ----------- -----------
Total Net Realized Gain (Loss)..... 211,218 (136,630) 18,113,728 (3,187,492) (5,187,533)
---------- --------- ------------ ----------- -----------
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities................ (251,574) 174,082 (16,493,793) (7,401) (14,609)
Equity Index Swaps................... -- -- -- 122,928 (228,530)
---------- --------- ------------ ----------- -----------
Net Change in Unrealized
Appreciation (Depreciation)...... (251,574) 174,082 (16,493,793) 115,527 (243,139)
---------- --------- ------------ ----------- -----------
Net Gain (Loss) on Investments..... (40,356) 37,452 1,619,935 (3,071,965) (5,430,672)
---------- --------- ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS...................... $ 627,690 $ 295,044 $ 5,600,245 $(2,838,694) $(5,242,187)
========== ========= ============ =========== ===========
</TABLE>
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 8, 2000--LARGE-CAP EUROPE FUND AND
LARGE-CAP JAPAN FUND.
See Notes to Financial Statements. 24
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NOVA FUND URSA FUND
------------------------------------ ------------------------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 SEPTEMBER 30, 2000 MARCH 31, 2000
------------------- --------------- ------------------- ---------------
<S> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
FROM OPERATIONS
Net Investment Income................ $ 2,955,351 $ 8,692,390 $ 7,502,018 $ 17,707,372
Net Realized Gain (Loss) on
Investments........................ (22,222,008) (3,003,450) 1,826,161 (65,842,222)
Net Change in Unrealized Appreciation
(Depreciation) of Investments...... (58,493,641) 98,991,998 13,825,306 (23,913,348)
------------- ------------ ------------ -------------
Net Increase (Decrease) in Net
Assets from Operations........... (77,760,298) 104,680,938 23,153,485 (72,048,198)
------------- ------------ ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class..................... -- (235,161) -- (2,856,773)
Advisor Class...................... -- (30,709) -- (23,906)
------------- ------------ ------------ -------------
Total Distributions to
Shareholders..................... -- (265,870) -- (2,880,679)
------------- ------------ ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (NOTE 9)..... (215,075,733) 65,517,664 (35,597,283) (117,712,551)
------------- ------------ ------------ -------------
Net Increase (Decrease) in Net
Assets............................... (292,836,031) 169,932,732 (12,443,798) (192,641,428)
NET ASSETS--BEGINNING OF PERIOD........ 861,394,805 691,462,073 292,771,422 485,412,850
------------- ------------ ------------ -------------
NET ASSETS--END OF PERIOD.............. $ 568,558,774 $861,394,805 $280,327,624 $ 292,771,422
============= ============ ============ =============
</TABLE>
See Notes to Financial Statements. 25
<PAGE>
RYDEX SERIES FUNDS
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, 2000 MARCH 31, 2000 SEPTEMBER 30, 2000 MARCH 31, 2000
------------------- --------------- ------------------- ---------------
<S> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
FROM OPERATIONS
Net Investment Income (Loss)......... $ 31,275,399 $ 46,329,769 $ (16,844,060) $ (21,785,333)
Net Realized Loss on Investments..... (9,153) (449,126) (125,731,114) (9,679,410)
Net Change in Unrealized Appreciation
(Depreciation) of Investments...... -- -- (642,335,138) 1,693,924,052
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net
Assets from Operations........... 31,266,246 45,880,643 (784,910,312) 1,662,459,309
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class..................... (22,831,481) (34,870,882) -- --
Advisor Class...................... (8,443,922) (11,663,104) -- --
From Realized Gains on Investments
Investor Class..................... -- -- -- (14,682,645)
Advisor Class...................... -- -- -- (358,709)
-------------- -------------- -------------- --------------
Total Distributions to
Shareholders..................... (31,275,403) (46,533,986) -- (15,041,354)
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (NOTE 9)..... 110,418,335 (372,350,843) (120,432,534) 944,605,638
-------------- -------------- -------------- --------------
Net Increase (Decrease) in Net
Assets............................... 110,409,178 (373,004,186) (905,342,846) 2,592,023,593
NET ASSETS--BEGINNING OF PERIOD........ 898,378,873 1,271,383,059 3,876,487,459 1,284,463,866
-------------- -------------- -------------- --------------
NET ASSETS--END OF PERIOD.............. $1,008,788,051 $ 898,378,873 $2,971,144,613 $3,876,487,459
============== ============== ============== ==============
</TABLE>
See Notes to Financial Statements. 26
<PAGE>
RYDEX SERIES FUNDS
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, 2000 MARCH 31, 2000 SEPTEMBER 30, 2000 MARCH 31, 2000
------------------- --------------- ------------------- ---------------
<S> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
FROM OPERATIONS
Net Investment Income................ $ 668,046 $ 1,158,901 $ 257,592 $ 630,346
Net Realized Gain (Loss) on
Investments........................ 211,218 (3,145,895) (136,630) 289,789
Net Change in Unrealized Appreciation
(Depreciation) of Investments...... (251,574) 1,081,061 174,082 (294,569)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets from Operations........... 627,690 (905,933) 295,044 625,566
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class..................... (667,514) (1,158,871) -- (52,412)
----------- ----------- ----------- -----------
Total Distributions to
Shareholders..................... (667,514) (1,158,871) -- (52,412)
----------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
FROM SHARE TRANSACTIONS (NOTE 9)..... (9,677,902) 2,547,184 1,321,859 (3,421,387)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets............................... (9,717,726) 482,380 1,616,903 (2,848,233)
NET ASSETS--BEGINNING OF PERIOD........ 28,105,048 27,622,668 9,941,088 12,789,321
----------- ----------- ----------- -----------
NET ASSETS--END OF PERIOD.............. $18,387,322 $28,105,048 $11,557,991 $ 9,941,088
=========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements. 27
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF CHANGES IN NET ASSETS (CONCLUDED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE-CAP LARGE-CAP
ARKTOS FUND EUROPE FUND* JAPAN FUND*
------------------------------------ ------------------- -------------------
PERIOD ENDED YEAR ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 SEPTEMBER 30, 2000 SEPTEMBER 30, 2000
------------------- --------------- ------------------- -------------------
<S> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FROM OPERATIONS
Net Investment Income................ $ 3,980,310 $ 3,476,916 $ 233,271 $ 188,485
Net Realized Gain (Loss) on
Investments........................ 18,113,728 (132,986,849) (3,187,492) (5,187,533)
Net Change in Unrealized Appreciation
(Depreciation) of Investments...... (16,493,793) 6,003,074 115,527 (243,139)
------------ ------------- ----------- -----------
Net Increase (Decrease) in Net Assets
from Operations.................... 5,600,245 (123,506,859) (2,838,694) (5,242,187)
------------ ------------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income (Note 1)
Investor Class..................... -- (497,000) -- --
------------ ------------- ----------- -----------
Total Distributions to
Shareholders..................... -- (497,000) -- --
------------ ------------- ----------- -----------
NET INCREASE IN NET ASSETS FROM SHARE
TRANSACTIONS (NOTE 9)................ 30,808,525 108,541,248 13,359,901 18,660,657
------------ ------------- ----------- -----------
Net Increase (Decrease) in Net
Assets............................... 36,408,770 (15,462,611) 10,521,207 13,418,470
NET ASSETS--BEGINNING OF PERIOD........ 103,159,844 118,622,455 -- --
------------ ------------- ----------- -----------
NET ASSETS--END OF PERIOD.............. $139,568,614 $ 103,159,844 $10,521,207 $13,418,470
============ ============= =========== ===========
</TABLE>
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 8, 2000--LARGE-CAP EUROPE FUND AND
LARGE-CAP JAPAN FUND.
See Notes to Financial Statements. 28
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-------------------------------------------------------------------
NOVA FUND
-------------------------------------------------------------------
PERIOD YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, JUNE 30,
2000 2000 1999 1998 1997 1996
------------- --------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $41.93 $34.87 $29.82 $17.89 $15.68 $11.81
--------- --------- --------- --------- --------- --------
Net Investment Income................ .20 .47 .45 .59 .35 .56
Net Realized and Unrealized Gains
(Losses) on Securities............. (3.81) 6.60 5.01 11.39 2.19 3.31
--------- --------- --------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... (3.61) 7.07 5.46 11.98 2.54 3.87
Distributions to Shareholders from:
Net Investment Income.............. -- (.01) (.41) -- -- --
Net Realized Capital Gains......... -- -- -- (.05) (.33) --
--------- --------- --------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value.............................. (3.61) 7.06 5.05 11.93 2.21 3.87
--------- --------- --------- --------- --------- --------
NET ASSET VALUE--END OF PERIOD......... $38.32 $41.93 $34.87 $29.82 $17.89 $15.68
========= ========= ========= ========= ========= ========
TOTAL INVESTMENT RETURN................ (8.61)% 20.29% 18.54% 67.02% 20.92%* 32.77%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 1.31%* 1.18% 1.19% 1.13% 1.19%* --
Net Expenses......................... 1.31%* 1.18% 1.19% 1.11% 1.16%* 1.31%
Net Investment Income................ 1.00%* 1.26% 1.47% 2.42% 2.69%* 3.14%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate**............ 44% 311% 445% -- -- --
Net Assets, End of Year (000's
omitted)........................... $ 486,493 $ 748,147 $ 655,275 $ 986,247 $ 181,930 $224,541
</TABLE>
+ 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.
See Notes to Financial Statements. 29
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-------------------------------------------------------------------
URSA FUND
-------------------------------------------------------------------
PERIOD YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, JUNE 30,
2000 2000 1999 1998++ 1997++ 1996++
------------- --------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $7.68 $ 8.66 $ 9.92 $14.04 $15.10 $17.58
--------- --------- --------- --------- --------- --------
Net Investment Income................ .19 .32 .25 .38 .34 .60
Net Realized and Unrealized Gains
(Losses) on Securities............. .42 (1.24) (1.48) (4.46) (1.36) (3.08)
--------- --------- --------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... .61 (.92) (1.23) (4.08) (1.02) (2.48)
Distributions to Shareholders from
Net Investment Income.............. -- (.06) (.03) (.04) (.04) --
--------- --------- --------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value.............................. .61 (.98) (1.26) (4.12) (1.06) (2.48)
--------- --------- --------- --------- --------- --------
NET ASSET VALUE--END OF PERIOD......... $8.29 $ 7.68 $ 8.66 $ 9.92 $14.04 $15.10
========= ========= ========= ========= ========= ========
TOTAL INVESTMENT RETURN................ 7.94% (10.64)% (12.47)% (29.06)% (8.98)%* (14.11)%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 0.43%* 1.32% 1.39% 1.36% 1.36%*
Net Expenses......................... 0.43%* 1.31% 1.38% 1.34% 1.34%* 1.39%
Net Investment Income................ 4.84%* 3.81% 3.29% 3.18% 3.21%* 3.38%
SUPPLEMENTARY DATA:
Net Assets, End of Year (000's
omitted)........................... $ 276,421 $ 288,218 $ 482,340 $ 254,225 $ 582,288 $192,553
</TABLE>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED JUNE 30, 1996 THROUGH MARCH 31,
1998 HAVE BEEN RESTATED TO REFLECT A 1:2 REVERSE STOCK SPLIT EFFECTIVE
AUGUST 14, 1998.
* ANNUALIZED
See Notes to Financial Statements. 30
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND
-------------------------------------------------------------------
PERIOD YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, JUNE 30,
2000 2000 1999 1998 1997 1996
------------- --------- --------- --------- --------- --------
<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................ .03 .04 .04 .04 .03 .04
------------- --------- --------- --------- --------- --------
Net Increase in Net Asset Value
Resulting from Operations.......... .03 .04 .04 .04 .03 .04
Distributions to Shareholders from
Net Investment Income.............. (.03) (.04) (.04) (.04) (.03) (.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................ 2.71% 4.48% 4.55% 4.69% 4.39%* 4.60%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 0.91%* 0.89% 0.84% 0.89% 0.86%*
Net Expenses......................... 0.91%* 0.88% 0.83% 0.89% 0.86%* 0.99%
Net Investment Income................ 5.39%* 4.36% 4.37% 4.37% 4.06%* 4.18%
SUPPLEMENTARY DATA:
Net Assets, End of Year (000's
omitted)........................... $680,846 $686,198 $949,802 $253,295 $283,553 $153,925
</TABLE>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
* ANNUALIZED
See Notes to Financial Statements. 31
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-----------------------------------------------------------------------
OTC FUND
-----------------------------------------------------------------------
PERIOD YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, JUNE 30,
2000 2000++ 1999++ 1998++ 1997++ 1996++
------------- ----------- ----------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $32.40 $15.90 $ 9.23 $5.98 $5.05 $4.07
------------- ----------- ----------- --------- --------- --------
Net Investment Income (Loss)......... (.15) (.22) (.12) (.05) -- .02
Net Realized and Unrealized Gains
(Losses) on Securities............. (6.05) 16.88 6.88 3.33 .95 1.08
------------- ----------- ----------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... (6.20) 16.66 6.76 3.28 .95 1.10
Distributions to Shareholders from:
Net Investment Income.............. -- -- -- -- (.02) --
Net Realized Capital Gains......... -- (.16) (.09) (.03) -- (.12)
------------- ----------- ----------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value................................ (6.20) 16.50 6.67 3.25 .93 .98
------------- ----------- ----------- --------- --------- --------
NET ASSET VALUE--END OF PERIOD......... $26.20 $32.40 $15.90 $9.23 $5.98 $5.05
============= =========== =========== ========= ========= ========
TOTAL INVESTMENT RETURN................ (19.14)% 105.32% 73.73% 55.05% 24.77%* 26.44%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 1.19%* 1.15% 1.15% 1.13% 1.27%*
Net Expenses......................... 1.19%* 1.15% 1.15% 1.13% 1.27%* 1.33%
Net Investment Income (Loss)......... (1.03)%* (1.01)% (0.97)% (0.58)% 0.08%* 0.44%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate**............ 130% 385% 773% 972% 1,140% 2,579%
Net Assets, End of Year (000's
omitted)........................... $2,802,977 $3,762,540 $1,277,571 $449,794 $52,278 $48,716
</TABLE>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED JUNE 30, 1995 THROUGH MARCH 31,
2000 HAVE BEEN RESTATED TO REFLECT A 3:1 STOCK SPLIT EFFECTIVE
APRIL 14, 2000.
* ANNUALIZED
** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
See Notes to Financial Statements. 32
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
--------------------------------------------------------------------
U.S. GOVERNMENT BOND FUND
--------------------------------------------------------------------
PERIOD YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, JUNE 30,
2000 2000 1999 1998 1997 1996
------------- --------- --------- --------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $9.34 $10.05 $10.04 $ 8.52 $8.97 $9.55
------------- --------- --------- --------- ---------- --------
Net Investment Income................ .21 .46 .42 .45 .34 .46
Net Realized and Unrealized Gains
(Losses) on Securities............. (.46) (.71) .02 1.50 (.45) (.45)
------------- --------- --------- --------- ---------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... (.25) (.25) .44 1.95 (.11) .01
Distribution to Shareholders from:
Net Investment Income............ .21 (.46) (.42) (.43) (.34) (.46)
Net Realized Capital Gains....... -- -- (.01) -- -- (.13)
------------- --------- --------- --------- ---------- --------
Net Increase (Decrease) in Net Asset
Value.............................. (.04) (.71) .01 1.52 (.45) (.58)
------------- --------- --------- --------- ---------- --------
NET ASSET VALUE--END OF PERIOD......... $9.30 $ 9.34 $10.05 $10.04 $8.52 $8.97
============= ========= ========= ========= ========== ========
TOTAL INVESTMENT RETURN................ 1.82% (2.26)% 4.24% 24.72% (0.46)%* (1.48)%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 0.97%* 0.93% 0.97% 1.13% 1.51%*
Net Expenses......................... 0.96%* 0.92% 0.96% 1.11% 1.49%* 1.26%
Net Investment Income................ 4.46%* 5.01% 3.88% 4.65% 5.06%* 4.73%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate**............ 783% 890% 1,339% 1,496% 962% 780%
Net Assets, End of Year (000's
omitted)........................... $18,387 $28,105 $27,623 $20,508 $3,302 $18,331
</TABLE>
+ 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.
See Notes to Financial Statements. 33
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-------------------------------------------------------------------
JUNO FUND
-------------------------------------------------------------------
PERIOD YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, JUNE 30,
2000 2000 1999 1998 1997 1996
------------- --------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $9.00 $8.70 $8.65 $ 9.69 $9.47 $9.08
------------- --------- --------- --------- --------- --------
Net Investment Income................ .22 .31 .27 .16 .25 .34
Net Realized and Unrealized Gains
(Losses) on Securities............. (.20) .04 (.20) (1.12) -- .05
------------- --------- --------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... .02 .35 .07 (.96) .25 .39
Distributions to Shareholders from
Net Investment Income.............. -- (.05) (.02) (.08) (.03) --
------------- --------- --------- --------- --------- --------
Net Increase (Decrease) in Net Asset
Value.............................. .02 .30 .05 (1.04) .22 .39
------------- --------- --------- --------- --------- --------
NET ASSET VALUE-END OF PERIOD.......... $9.02 $9.00 $8.70 $ 8.65 $9.69 $9.47
============= ========= ========= ========= ========= ========
TOTAL INVESTMENT RETURN................ 0.22% 3.97% 0.78% (9.92)% 3.75%** 4.30%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 0.31%* 1.47% 1.57% 1.61% 1.60%*
Net Expenses......................... 0.31%* 1.47% 1.56% 1.59% 1.58%* 1.64%
Net Investment Income................ 4.74%* 3.39% 3.25% 3.55% 3.51%* 3.63%
SUPPLEMENTARY DATA:
Net Assets, End of Year (000's
omitted)........................... $11,558 $9,941 $12,789 $12,887 $32,577 $18,860
</TABLE>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
* ANNUALIZED
See Notes to Financial Statements. 34
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
-----------------------------------
ARKTOS FUND
-----------------------------------
PERIOD YEAR PERIOD
ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31,
2000 2000++ 1999++*
------------- --------- ---------
<S> <C> <C> <C>
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $17.45 $40.20 $75.00
--------- --------- ---------
Net Investment Income................ .47 .75 .65
Net Realized and Unrealized Gains
(Losses) on Securities............. 1.09 (23.40) (35.40)
--------- --------- ---------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... 1.56 (22.65) (34.75)
Distributions to Shareholders from
Net Investment Income.............. -- (.10) (.05)
--------- --------- ---------
Net Increase (Decrease) in Net Asset
Value.............................. 1.56 (22.75) (34.80)
--------- --------- ---------
NET ASSET VALUE--END OF PERIOD......... $19.01 $17.45 $40.20
========= ========= =========
TOTAL INVESTMENT RETURN................ 8.94% (56.39)% (46.35)%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 0.31%** 1.46% 1.38%**
Net Expenses......................... 0.31%** 1.46% 1.37%**
Net Investment Income................ 6.66%** 2.67% 2.20%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***........... -- 1,157% 1,332%
Net Assets, End of Year (000's
omitted)........................... $ 139,569 $ 103,160 $ 118,622
</TABLE>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 1999 AND MARCH 31,
2000 HAVE BEEN RESTATED TO REFLECT A 1:5 REVERSE STOCK SPLIT EFFECTIVE
APRIL 14, 2000.
* 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. FOR PERIODS AFTER
MARCH 31, 2000, PORTFOLIO TURNOVER IS CALCULATED ONLY FOR THE ARKTOS
MASTER PORTFOLIO.
See Notes to Financial Statements. 35
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTOR CLASS
----------------------------
LARGE-CAP LARGE-CAP
EUROPE FUND JAPAN FUND
------------- -------------
PERIOD PERIOD
ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30,
2000* 2000*
------------- -------------
<S> <C> <C>
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $25.00 $25.00
------------- -------------
Net Investment Income................ .42 .39
Net Realized and Unrealized Losses on
Securities......................... (2.90) (5.89)
------------- -------------
Net Decrease in Net Asset Value
Resulting from Operations.......... (2.48) (5.50)
Distributions to Shareholders........ -- --
------------- -------------
Net Decrease in Net Asset Value...... (2.48) (5.50)
------------- -------------
NET ASSET VALUE--END OF PERIOD......... $22.52 $19.50
============= =============
TOTAL INVESTMENT RETURN................ (9.92)% (22.00)%
RATIOS TO AVERAGE NET ASSETS:
Gross Expenses....................... 1.72%** 1.74%**
Net Expenses......................... 1.72%** 1.74%**
Net Investment Income................ 4.20%** 4.62%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***........... -- --
Net Assets, End of Period (000's
omitted)........................... $10,521 $13,418
</TABLE>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE PERIOD.
* SINCE THE COMMENCEMENT OF OPERATIONS: MAY 8, 2000--LARGE-CAP EUROPE FUND
AND LARGE-CAP JAPAN FUND
** ANNUALIZED
*** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR.
See Notes to Financial Statements. 36
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISOR CLASS
-------------------------------------------------------------------------------
NOVA FUND URSA FUND
------------------------------------ -----------------------------------------
PERIOD YEAR PERIOD PERIOD YEAR PERIOD
ENDED ENDING ENDING ENDED ENDING ENDING
SEPTEMBER 30, MARCH 31, MARCH 31, SEPTEMBER 30, MARCH 31, MARCH 31,
2000 2000 1999* 2000 2000 1999*
------------- --------- ---------- ------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--
BEGINNING OF PERIOD.................. $41.63 $34.78 $26.91 $7.61 $ 8.62 $10.25
------------- --------- ---------- ------------- ------------ ------------
Net Investment Income (Loss)......... .13 .31 (.11) .23 .30 .21
Net Realized and Unrealized Gains
(Losses) on Securities............. (3.82) 6.55 8.39 .34 (1.25) (1.81)
------------- --------- ---------- ------------- ------------ ------------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... (3.69) 6.86 8.28 .57 (.95) (1.60)
Distributions to Shareholders from:
Net Investment Income.............. -- (.01) -- -- (.06) (0.03)
In Excess of Current Period Net
Investment Income................ -- -- (.41) -- -- --
------------- --------- ---------- ------------- ------------ ------------
Net Increase (Decrease) in Net
Asset Value...................... (3.69) 6.85 7.87 .57 (1.01) (1.63)
------------- --------- ---------- ------------- ------------ ------------
NET ASSET VALUE--END OF PERIOD......... $37.94 $41.63 $34.78 $8.18 $ 7.61 $ 8.62
============= ========= ========== ============= ============ ============
TOTAL INVESTMENT RETURN................ (8.86)% 19.74% 31.03% 7.49% (11.03)% (15.68)%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 1.83%** 1.71% 1.60%** 0.94%** 1.84% 1.86%**
Net Expenses......................... 1.82%** 1.70% 1.58%** 0.94%** 1.83% 1.85%**
Net Investment Income (Loss)......... 0.65%** 0.87% (0.70)%** 5.44%** 3.51% 2.96%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***........... 44% 311% 445% N/A -- --
Net Assets, End of Year
(000's omitted).................... $82,066 $113,248 $36,187 $3,907 $4,553 $3,073
</TABLE>
+ 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. FOR PERIODS AFTER
MARCH 31, 2000, PORTFOLIO TURNOVER IS CALCULATED ONLY FOR THE URSA
MASTER PORTFOLIO.
See Notes to Financial Statements. 37
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS (CONCLUDED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ADVISOR CLASS
-------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET FUND OTC FUND
----------------------------------- ------------------------------------
PERIOD YEAR PERIOD PERIOD YEAR PERIOD
ENDED ENDING ENDING ENDED ENDING ENDING
SEPTEMBER 30, MARCH 31, MARCH 31, SEPTEMBER 30, MARCH 31, MARCH 31,
2000 2000 1999* 2000 2000++ 1999++*
------------- --------- --------- ------------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED) (UNAUDITED)
PER SHARE OPERATING PERFORMANCE:+
NET ASSET VALUE--BEGINNING OF PERIOD... $1.00 $1.00 $1.00 $32.16 $15.86 $10.17
Net Investment Income (Loss)......... .02 .04 .04 (.22) (.33) (.10)
Net Realized and Unrealized Gains
(Losses) on Securities............. -- -- -- (6.00) 16.78 5.88
------------- --------- --------- ------------- --------- ----------
Net Increase (Decrease) in Net Asset
Value Resulting from Operations.... .02 .04 .04 (6.22) 16.45 5.78
Distributions to Shareholders from:
Net Investment Income.............. (.02) (.04) (.04) -- -- --
Net Realized Capital Gains......... -- -- -- -- (.15) (.09)
------------- --------- --------- ------------- --------- ----------
Net Increase (Decrease) in Net
Asset Value...................... -- -- -- (6.22) 16.30 5.69
------------- --------- --------- ------------- --------- ----------
NET ASSET VALUE--END OF PERIOD......... $1.00 $1.00 $1.00 $25.94 $32.16 $15.86
============= ========= ========= ============= ========= ==========
TOTAL INVESTMENT RETURN................ 2.48% 3.94% 4.02% (19.33)% 104.26% 57.20%
RATIOS TO AVERAGE NET ASSETS
Gross Expenses....................... 1.42%** 1.41% 1.34%** 1.70%** 1.62% 1.49%**
Net Expenses......................... 1.42%** 1.40% 1.33%** 1.70%** 1.61% 1.47%**
Net Investment Income (Loss)......... 4.88%** 3.85% 3.83%** (1.53)%** (1.47)% (1.31)%**
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***........... -- -- -- 130% 385% 773%
Net Assets, End of Year
(000's omitted).................... $327,942 $212,181 $321,581 $168,168 $113,948 $6,893
</TABLE>
+ CALCULATED USING THE AVERAGE DAILY SHARES OUTSTANDING FOR THE YEAR.
++ PER SHARE AMOUNTS FOR THE PERIODS ENDED MARCH 31, 1999 AND MARCH 31,
2000 HAVE BEEN RESTATED TO REFLECT A 3:1 STOCK SPLIT EFFECTIVE
APRIL 14, 2000.
* 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.
See Notes to Financial Statements. 38
<PAGE>
RYDEX SERIES FUNDS
URSA MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
--------------- ---------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 72.1%
Fannie Mae 6.38% 11/22/00*............. $ 20,000,000 $ 19,819,233
Fannie Mae 6.39% 11/16/00.............. 25,000,000 24,800,313
Fannie Mae 6.40% 10/10/00.............. 25,000,000 24,964,444
Fannie Mae 6.41% 10/25/00.............. 25,000,000 24,897,618
Federal Home Loan Banks 6.36%
10/02/00............................. 25,000,000 25,000,000
Federal Home Loan Banks 6.36%
10/06/00............................. 25,000,000 24,982,333
Federal Home Loan Banks 6.36%
01/02/01............................. 25,000,000 24,593,667
Freddie Mac 6.41% 10/24/00............. 25,000,000 24,902,069
---------------
Total Federal Agency Discount Notes
(Cost $193,959,677).............. 193,959,677
---------------
<CAPTION>
CONTRACTS
---------------
<S> <C> <C>
OPTIONS PURCHASED 2.5%
Put Options on:
December 2000 S&P 500 Futures
Contracts,
Expiring December 2000,
with strike 1800................... 80 6,860,000
Call Options on:
October 2000 S&P 500 Futures
Contracts,
Expiring October 2000,
with strike 1850................... 100 --
October 2000 S&P 500 Futures
Contracts,
Expiring October 2000,
with strike 1900................... 640 --
---------------
Total Options Purchased (Cost
$5,624,240)...................... 6,860,000
---------------
<CAPTION>
FACE
AMOUNT
---------------
REPURCHASE AGREEMENTS 25.4%
<S> <C> <C>
Repurchase Agreements Collateralized by
U.S. Treasury Obligations
(Note 4):
6.40% due 10/02/00................... $ 17,866,256 17,866,256
6.48% due 10/02/00................... 32,549,827 32,549,827
6.50% due 10/02/00................... 17,866,256 17,866,256
---------------
Total Repurchase Agreements (Cost
$68,282,339)..................... 68,282,339
---------------
Total Investments 100% (Cost
$267,866,256).................... $ 269,102,016
===============
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
---------- -----------
<S> <C> <C>
FUTURES CONTRACTS SOLD SHORT
December 2000 S&P 500 Futures
Contracts
(Underlying Face Amount at Market
Value $249,672,975).............. 687 $ 8,986,266
===========
</TABLE>
* A PORTION OF THIS HOLDING IS PLEDGED AS COLLATERAL FOR STOCK INDEX FUTURES
CONTRACTS.
SEE NOTES TO FINANCIAL STATEMENTS. 39
<PAGE>
RYDEX SERIES FUNDS
JUNO MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
--------------- ---------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 88.0%
Federal Home Loan Banks 6.43%
10/11/00............................. $ 5,000,000 $ 4,991,962
Freddie Mac 6.42% 10/24/00............. 5,000,000 4,980,383
---------------
Total Federal Agency Discount Notes
(Cost $9,972,345)................ 9,972,345
---------------
<CAPTION>
CONTRACTS
---------------
OPTIONS PURCHASED 3.5%
<S> <C> <C>
Call Options on:
December 2000 U.S. Tresury Bond
Futures Contracts,
Expiring December 2000, with strike
106................................ 104 1,625
Put Options on:
December 2000 U.S. Treasury Bond
Futures Contracts,
Expiring December 2000, with strike
106................................ 54 396,562
---------------
Total Options Purchased (Cost
$349,636)........................ 398,187
---------------
<CAPTION>
FACE
AMOUNT
---------------
<S> <C> <C>
REPURCHASE AGREEMENTS 8.5%
Repurchase Agreements Collateralized by
U.S. Treasury Obligations
(Note 4):
6.40% due 10/02/00................... $ 251,030 251,030
6.48% due 10/02/00................... 457,343 457,343
6.50% due 10/02/00................... 251,030 251,030
---------------
Total Repurchase Agreements (Cost
$959,403)........................ 959,403
---------------
Total Investments 100% (Cost
$11,281,384)..................... $ 11,329,935
===============
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
---------- -----------
<S> <C> <C>
FUTURES CONTRACTS SOLD SHORT
December 2000 U. S. Treasury Bond
Futures Contracts
(Underlying Face Amount at Market
Value $10,260,250)............... 104 $ 97,676
===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. 40
<PAGE>
RYDEX SERIES FUNDS
ARKTOS MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
FACE VALUE
AMOUNT (NOTE 1)
----------- -------------
<S> <C> <C>
FEDERAL AGENCY DISCOUNT NOTES 59.2%
Federal Home Loan Banks 6.34%
01/02/01............................. $25,000,000 $ 24,594,944
Federal Home Loan Banks 6.36%
10/02/00............................. 25,000,000 25,000,000
-------------
Total Federal Agency Discount Notes
(Cost $49,594,944)............... 49,594,944
-------------
<CAPTION>
CONTRACTS
-----------
<S> <C> <C>
OPTIONS PURCHASED 0.0%
Call Options on:
October 2000 NASDAQ 100 Futures
Contracts, Expiring October 2000,
with strike 5300................... 100 500
-------------
Total Options Purchased (Cost
$5,200).......................... 500
-------------
<CAPTION>
FACE
AMOUNT
-----------
REPURCHASE AGREEMENTS 40.8%
<S> <C> <C>
Repurchase Agreements Collateralized by
U. S. Treasury Obligations (Note 4):
6.40% due 10/02/00................... $ 8,961,102 8,961,102
6.48% due 10/02/00................... 16,325,879 16,325,879
6.50% due 10/02/00................... 8,961,102 8,961,102
-------------
Total Repurchase Agreements (Cost
$34,248,083)..................... 34,248,083
-------------
Total Investments 100% (Cost
$83,848,227)..................... $ 83,843,527
=============
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- ----------------
<S> <C> <C>
COMMON STOCKS SOLD SHORT
Cisco Systems, Inc.*................... 125,000 $ (6,906,250)
Microsoft Corp.*....................... 88,700 (5,349,719)
Intel Corp............................. 115,200 (4,788,000)
Oracle Corp.*.......................... 57,400 (4,520,250)
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 41
<PAGE>
RYDEX SERIES FUNDS
ARKTOS MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- ----------------
<S> <C> <C>
JDS Uniphase Corp.*.................... 43,600 $ (4,128,375)
Sun Microsystems, Inc.*................ 34,100 (3,981,175)
QUALCOMM, Inc.*........................ 44,100 (3,142,125)
VERITAS Software Corp.*................ 20,300 (2,882,600)
Siebel Systems, Inc.*.................. 24,000 (2,671,500)
Juniper Networks, Inc.................. 10,200 (2,233,163)
Nextel Communications, Inc.,
Class A*............................. 45,300 (2,117,775)
Network Appliance, Inc.*............... 16,300 (2,076,212)
CIENA Corp.*........................... 16,700 (2,050,969)
i2 Technologies, Inc.*................. 10,500 (1,964,156)
PMC -- Sierra, Inc.*................... 8,600 (1,851,150)
Xilinx, Inc.*.......................... 21,400 (1,832,375)
Verisign, Inc.......................... 9,000 (1,823,062)
Gemstar International Group, Inc.,
Ltd.*................................ 20,900 (1,822,219)
Amgen, Inc.*........................... 23,400 (1,633,978)
Maxim Integrated Products, Inc.*....... 19,500 (1,568,531)
MCI WorldCom, Inc.*.................... 50,400 (1,530,900)
Applied Micro Circuits Corp.*.......... 7,200 (1,490,850)
Immunex Corp.*......................... 33,700 (1,465,950)
Global Crossing, Ltd.*................. 46,700 (1,447,700)
Dell Computer Corp.*................... 46,900 (1,445,106)
SDL, Inc.*............................. 4,400 (1,360,975)
Altera Corp.*.......................... 27,600 (1,317,900)
Linear Technology Corp................. 20,300 (1,314,425)
VoiceStream Wireless Corp.*............ 11,300 (1,311,506)
Applied Materials, Inc.*............... 20,800 (1,233,700)
Yahoo! Inc.*........................... 13,000 (1,183,000)
ADC Telecommunications, Inc.*.......... 42,800 (1,150,919)
Level 3 Communications, Inc.*.......... 12,500 (964,062)
Paychex, Inc........................... 17,300 (908,250)
Adobe Systems, Inc..................... 5,800 (900,450)
Comverse Technology, Inc.*............. 8,300 (896,400)
Comcast Corp., Special Class A*........ 21,000 (859,688)
Telefonaktiebolaget LM Ericsson,
Sponsored ADR........................ 57,700 (854,681)
MedImmune, Inc.*....................... 11,000 (849,750)
Vitesse Semiconductor Corp.*........... 9,500 (844,906)
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 42
<PAGE>
RYDEX SERIES FUNDS
ARKTOS MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- ----------------
<S> <C> <C>
Sanmina Corp.*......................... 8,000 $ (749,000)
Intuit, Inc.*.......................... 12,500 (712,500)
eBay, Inc.*............................ 9,800 (673,138)
NTL, Inc.*............................. 13,700 (634,481)
EchoStar Communications Corp.*......... 11,900 (627,725)
Metromedia Fiber Network, Inc.,
Class A*............................. 25,700 (624,831)
Apple Computer, Inc.*.................. 22,200 (571,650)
Chiron Corp.*.......................... 12,700 (571,500)
Tellabs, Inc.*......................... 11,400 (544,350)
Biogen, Inc.*.......................... 8,900 (542,900)
PeopleSoft, Inc.*...................... 19,400 (541,987)
Conexant Systems, Inc.*................ 12,400 (519,250)
Starbucks Corp.*....................... 12,700 (508,794)
NEXTLINK Communications, Inc.,
Class A*............................. 14,300 (503,181)
Lycos, Inc.*........................... 6,800 (467,606)
Bed Bath & Beyond, Inc.*............... 18,700 (456,105)
Fiserv, Inc.*.......................... 7,600 (455,050)
KLA-Tencor Corp.*...................... 11,000 (453,063)
Amazon.com, Inc.*...................... 11,600 (445,875)
CMGI, Inc.*............................ 15,800 (441,413)
Cintas Corp............................ 9,800 (426,913)
Concord EFS Inc.*...................... 11,900 (422,636)
Biomet, Inc............................ 11,900 (416,500)
Costco Wholesale Corp.*................ 11,600 (405,275)
Qlogic Corp.*.......................... 4,500 (396,000)
USA Networks, Inc.*.................... 17,100 (375,131)
BroadVision, Inc.*..................... 14,200 (364,763)
Genzyme Corp. -- General Division*..... 5,300 (361,394)
Electronic Arts, Inc.*................. 6,500 (320,938)
PanAmSat Corp.*........................ 9,900 (316,181)
RF Micro Devices, Inc.*................ 9,100 (291,200)
RealNetworks, Inc.*.................... 7,200 (286,200)
Molex, Inc............................. 4,700 (255,856)
American Power Conversion Corp.*....... 12,500 (239,844)
Citrix Systems, Inc.*.................. 10,800 (216,675)
Staples, Inc.*......................... 14,900 (211,394)
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 43
<PAGE>
RYDEX SERIES FUNDS
ARKTOS MASTER PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONCLUDED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
VALUE
SHARES (NOTE 1)
---------- ----------------
<S> <C> <C>
Parametric Technology Corp.*........... 18,200 $ (199,062)
At Home Corp., Series A*............... 13,900 (196,338)
Dollar Tree Stores, Inc.*.............. 4,800 (194,700)
Novell, Inc.*.......................... 19,000 (188,812)
Adelphia Communications Corp.*......... 6,400 (176,400)
BMC Software, Inc.*.................... 9,200 (175,950)
3Com Corp.*............................ 8,700 (166,931)
Network Associates, Inc.*.............. 7,000 (158,375)
PACCAR, Inc............................ 4,200 (155,662)
Synopsys, Inc.*........................ 3,700 (140,137)
Smurfit-Stone Container Corp.*......... 11,500 (138,000)
Apollo Group, Inc., Class A*........... 3,400 (135,575)
Sigma-Aldrich Corp..................... 4,100 (135,300)
Quintiles Transnational Corp.*......... 7,900 (125,906)
CNET Networks, Inc.*................... 4,800 (116,925)
Herman Miller, Inc..................... 3,000 (96,188)
Compuware Corp.*....................... 10,900 (91,288)
Northwest Airlines Corp.*.............. 3,400 (83,512)
Legato Systems, Inc.*.................. 4,500 (60,469)
PacifiCare Health...................... 1,421 (49,469)
PacifiCare Health Systems Inc.,
Class B*............................. 179 (6,231)
----------------
Total Common Stocks Sold Short
(Proceeds $125,428,992).......... $ (101,817,231)
================
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
GAIN
CONTRACTS (NOTE 1)
---------- ------------
<S> <C> <C>
FUTURES CONTRACTS SOLD SHORT
December 2000 NASDAQ 100 Futures
Contracts
(Underlying Face Amount at Market
Value $35,485,800) 98 $ 3,262,714
============
</TABLE>
* NON-INCOME PRODUCING SECURITIES
See Notes to Financial Statements. 44
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
--------------------------------------------------------------------------------
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
URSA MASTER JUNO MASTER ARKTOS MASTER
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- -------------
<S> <C> <C> <C>
ASSETS
Repurchase Agreements................ $ 68,282,339 $ 959,403 $ 34,248,083
Investment Securities................ 200,819,677 10,370,532 49,595,444
------------ ----------- ------------
Securities at Value (Note
1)--Accompanying Schedules......... 269,102,016 11,329,935 83,843,527
Receivable for Open Short Sales...... -- -- 125,428,992
Receivable for Securities Sold....... -- 22,012 --
Receivable for Futures Contracts
Settlement......................... 3,609,717 -- 1,342,600
Investment Income Receivable......... 36,783 515 367,329
Cash on Deposit with Broker.......... -- -- 12,201,711
Receivable for Shares Purchased...... 7,894,978 234,738 18,375,505
Other Assets......................... 18,853 -- --
------------ ----------- ------------
Total Assets....................... 280,662,347 11,587,200 241,559,664
------------ ----------- ------------
LIABILITIES
Payable for Futures Contracts
Settlement......................... -- 16,250 --
Short Sale at Market Value........... -- -- 101,817,231
Dividends Payable.................... 1,256,677 47,671 947,069
Investment Advisory Fee Payable...... 208,614 8,015 89,389
Other Liabilities.................... 4,080 11,099 147,220
------------ ----------- ------------
Total Liabilities.................. 1,469,371 83,035 103,000,909
------------ ----------- ------------
NET ASSETS............................. $279,192,976 $11,504,165 $138,558,755
============ =========== ============
Shares Outstanding..................... 5,302,201 234,332 2,631,059
Net Asset Value Per Share.............. $52.66 $49.09 $52.66
</TABLE>
See Notes to Financial Statements. 45
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF OPERATIONS (UNAUDITED)
--------------------------------------------------------------------------------
Period Ended September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
URSA MASTER JUNO MASTER ARKTOS MASTER
PORTFOLIO* PORTFOLIO* PORTFOLIO*
----------- ----------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest (Note 1).................... $ 9,521,981 $ 325,224 $ 4,700,995
----------- ----------- -------------
Total Income....................... 9,521,981 325,224 4,700,995
----------- ----------- -------------
EXPENSES
Advisory Fees (Note 5)............... 1,382,397 48,616 536,806
Legal................................ 6,864 351 4,099
Registration Fees.................... 8,544 230 2,718
Custodian Fees....................... 57,720 1,877 21,738
Miscellaneous........................ (27,399) (999) (2,821)
----------- ----------- -------------
Total Expenses..................... 1,428,126 50,075 562,540
Custodian Fees Paid Indirectly
(Note 6)......................... 5,707 201 2,209
----------- ----------- -------------
Net Expenses....................... 1,422,419 49,874 560,331
----------- ----------- -------------
Net Investment Income.................. 8,099,562 275,350 4,140,664
----------- ----------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) on:
Investment Securities................ 844,435 (148,028) (34,556)
Futures Contracts.................... (16,734,497) (322,748) 2,920,648
Securities Sold Short................ -- -- (21,455,578)
----------- ----------- -------------
Total Net Realized Loss............ (15,890,062) (470,776) (18,569,486)
----------- ----------- -------------
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities................ 1,112,320 200,589 (4,700)
Futures Contracts.................... 30,429,210 307,630 3,383,793
Securities Sold Short................ -- -- 16,810,329
----------- ----------- -------------
Net Change in Unrealized
Appreciation..................... 31,541,530 508,219 20,189,422
----------- ----------- -------------
Net Gain on Investments............ 15,651,468 37,443 1,619,936
----------- ----------- -------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS........................... $23,751,030 $ 312,793 $ 5,760,600
=========== =========== =============
</TABLE>
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 1, 2000--URSA MASTER
PORTFOLIO, JUNO MASTER PORTFOLIO, AND ARKTOS MASTER PORTFOLIO.
See Notes to Financial Statements. 46
<PAGE>
RYDEX SERIES FUNDS
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
Period Ended September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
URSA MASTER JUNO MASTER ARKTOS MASTER
PORTFOLIO* PORTFOLIO* PORTFOLIO*
------------ ----------- -------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C>
FROM OPERATIONS
Net Investment Income................ $ 8,099,562 $ 275,350 $ 4,140,664
Net Realized Loss on Investments..... (15,890,062) (470,776) (18,569,486)
Net Change in Unrealized Appreciation
of Investments...................... 31,541,530 508,219 20,189,422
------------ ----------- ------------
Net Increase in Net Assets from
Operations......................... 23,751,030 312,793 5,760,600
------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS
From Net Investment Income
(Note 1)............................ (8,099,562) (275,341) (4,140,664)
------------ ----------- ------------
Total Distributions to
Shareholders....................... (8,099,562) (275,341) (4,140,664)
------------ ----------- ------------
NET INCREASE IN NET ASSETS FROM SHARE
TRANSACTIONS.......................... 263,541,508 11,466,713 136,938,819
------------ ----------- ------------
Net Increase in Net Assets............. 279,192,976 11,504,165 138,558,755
NET ASSETS--BEGINNING OF PERIOD........ -- -- --
------------ ----------- ------------
NET ASSETS--END OF PERIOD.............. $279,192,976 $11,504,165 $138,558,755
============ =========== ============
</TABLE>
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 1, 2000--URSA MASTER
PORTFOLIO, JUNO MASTER PORTFOLIO, AND ARKTOS MASTER PORTFOLIO.
See Notes to Financial Statements. 47
<PAGE>
RYDEX SERIES FUNDS
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
URSA MASTER JUNO MASTER ARKTOS MASTER
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------
PERIOD PERIOD PERIOD
ENDED ENDED ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2000* 2000* 2000*
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED) (UNAUDITED) (UNAUDITED)
RATIOS TO AVERAGE NET ASSETS**
Gross Expenses....................... 0.93% 0.93% 0.94%
Net Expenses......................... 0.92% 0.92% 0.94%
Net Investment Income................ 5.26% 5.09% 6.95%
SUPPLEMENTARY DATA:
Portfolio Turnover Rate***........... -- -- 927%
Net Assets, End of Year (000's
omitted)............................ $ 279,193 $ 11,504 $ 138,559
</TABLE>
* SINCE THE COMMENCEMENT OF OPERATIONS: APRIL 1, 2000--URSA MASTER
PORTFOLIO, JUNO MASTER PORTFOLIO, AND ARKTOS MASTER PORTFOLIO.
** ANNUALIZED
*** PORTFOLIO TURNOVER RATIO IS CALCULATED WITHOUT REGARD TO SHORT-TERM
SECURITIES HAVING A MATURITY OF LESS THAN ONE YEAR. THE URSA MASTER
PORTFOLIO AND THE JUNO MASTER PORTFOLIO TYPICALLY HOLD MOST OF THEIR
INVESTMENTS IN OPTIONS AND FUTURES CONTRACTS WHICH ARE DEEMED SHORT-TERM
SECURITIES.
See Notes to Financial Statements. 48
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Rydex Series Funds (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 offers 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. At
September 30, 2000, the Trust consisted of twenty-nine separate series: eleven
benchmark funds; one money market fund; and seventeen sector funds. This report
covers the eleven benchmark funds and the money market fund (the "Funds"), while
the Sector Funds are contained in a separate report.
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.
The following significant accounting policies are in conformity with generally
accepted accounting principles and are consistently followed by the Trust.
A. Securities listed on an exchange are valued at the last 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 value. 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 trade date for financial reporting
purposes. Realized gains and losses from securities transactions are recorded
using 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. Distributions of
net investment income in the remaining index funds and distributions of net
realized capital gains in all funds are recorded on the ex-dividend date.
Distributions from net investment
49
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
income and net realized capital gains are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for items such as
deferral of wash sales and post-October losses and regulated futures contracts
and options. Net investment income and loss, net realized gains and losses, and
net assets were not affected by these differences.
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 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 amounts 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.
50
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
I. 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, such as
distribution fees relating to the Advisor Classes, are charged directly to
specific classes.
J. The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amount of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from these estimates.
2. FINANCIAL INSTRUMENTS
As part of its investment strategy, the Trust may utilize options and futures.
The risk associated with purchasing options is limited to the premium originally
paid. Options written by a Fund involve to varying degrees, risk of loss in
excess of the option value reflected in the Statement of Assets and Liabilities.
The risk in writing a covered call option is that a Fund may forego the
opportunity for profit if the market price of the underlying security increases
and the option is exercised. The risk in writing a covered put option is that a
Fund may incur a loss if the market price of the underlying security decreases
and the option is exercised. In addition, there is the risk that a Fund may not
be able to enter into a closing transaction because of an illiquid secondary
market or, for over-the-counter options, because of the counterparty's inability
to perform.
There are several risks in connection with the use of futures contracts. Futures
contracts involve, to varying degrees, risk of loss in excess of amounts
reflected in the financial statements. Risks may be caused by an imperfect
correlation between movements in the price of the instruments and the price of
the underlying securities. In addition, there is the risk that a Fund may not be
able to enter into a closing transaction because of an illiquid secondary
market.
In conjunction with the use of options and futures, as well as short sales of
securities, the Funds are required to maintain collateral in various forms. The
Funds use, where appropriate, depending on the financial instrument utilized and
the broker involved, margin deposits at the broker, cash segregated at the
custodian bank, or the repurchase agreements allocated to each Fund.
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.
51
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
3. MASTER-FEEDER ARRANGEMENT
Effective after the close of business on March 31, 2000, the Ursa Fund, Investor
and Advisor Class shares, the Juno Fund, and the Arktos Fund were reorganized
into a 'master-feeder arrangement.' Under a master-feeder arrangement, a Fund's
investment portfolio is composed solely of shares of a "master portfolio," a
separate mutual fund that has an identical investment objective, e.g., the Ursa
Fund would act as a "feeder fund," holding shares of its master portfolio as its
only investment. As a result, the Fund has an indirect interest in all of the
securities owned by the master portfolio. Because of this indirect interest, the
Fund's investment returns should be the same as those of the master portfolio,
adjusted for Fund expenses.
4. REPURCHASE AGREEMENTS
The Trust 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. The collateral is in the
possession of the Trust's custodians and is evaluated daily to ensure that its
market value exceeds the delivery value of the repurchase agreements at
maturity.
The repurchase agreements that were executed and outstanding as of
September 30, 2000 are as follows:
<TABLE>
<CAPTION>
COUNTERPARTY TERMS OF AGREEMENT FACE VALUE MARKET VALUE
------------ ------------------ ------------ ------------
<S> <C> <C> <C>
Lehman Brothers, Inc................... 6.48% due 10/02/00 $107,454,581 $107,454,581
Salomon Smith Barney, Inc.............. 6.40% due 10/02/00 100,000,000 100,000,000
PaineWebber, Inc....................... 6.50% due 10/02/00 100,000,000 100,000,000
Fuji Securities........................ 6.48% due 10/02/00 82,186,058 82,186,058
------------
$389,640,639
============
</TABLE>
As of September 30, 2000, the collateral for the repurchase agreements 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.................... 3.625%-7.875% $198,645,000 $201,518,994
U.S. Treasury Bonds.................... 3.875%-12.00% 150,349,000 188,769,107
------------
$390,288,101
============
</TABLE>
52
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
5. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the terms of an investment advisory contract, the Trust pays Rydex Global
Advisors, an affiliated entity, investment advisory fees calculated at an
annualized rate of one half of one percent (0.50%) of the average daily net
assets of the U.S. Government Money Market Fund and the U.S. Government Bond
Fund; three-quarters of one percent (0.75%) of the average daily net assets of
the Nova Fund and the OTC Fund; and nine-tenths of one percent (0.90%) of the
average daily net assets of the Ursa Master Portfolio, the Juno Master
Portfolio, the Arktos Master Portfolio, the Large-Cap Europe Fund, and the
Large-Cap Japan Fund. Certain officers and trustees of the Trust are also
officers and directors of Rydex Global Advisors.
PADCO Service Company, Inc., an affiliated entity, provides transfer agent
services to the Trust for fees calculated at an annualized rate of two-tenths of
one percent (0.20%) of the average daily net assets of the U.S. Government Money
Market Fund and the U.S. Government Bond Fund; and one-quarter of one percent
(0.25%) of the average daily net assets of the Nova Fund, the Ursa Fund, the OTC
Fund, the Juno Fund, the Arktos Fund, the Large-Cap Europe Fund, and the
Large-Cap Japan Fund. Certain officers and trustees of the Trust are also
officers and directors of PADCO Service Company, Inc.
The Trust paid PADCO Service Company, Inc. $637,112 in accounting fees for the
above nine funds for the period ended September 30, 2000.
The Trust has adopted a Distribution and Shareholder Services Plan applicable to
Advisor Class Shares and a Distribution Plan applicable to shares of the
Large-Cap Europe and Large-Cap Japan Funds, for which the Distributor, Rydex
Distributors, Inc., an affiliated entity, and other firms that provide
distribution and/or shareholder services ("Service Providers") may receive
compensation. If a Service Provider provides distribution services, the Trust
will pay distribution 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
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. With
regard to Advisor Class Shares only, if a Service Provider provides shareholder
services, the Distributor will receive shareholder servicing 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 and trustees of the Trust are also officers and
directors of Rydex Distributors, Inc.
6. 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.
53
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
7. SECURITIES TRANSACTIONS
During the period ended September 30, 2000, purchases and sales of investment
securities, excluding short-term and temporary cash investments, were:
(Unaudited)
<TABLE>
<CAPTION>
U.S.
URSA GOVERNMENT U.S. JUNO
NOVA MASTER MONEY OTC GOVERNMENT MASTER
FUND PORTFOLIO MARKET FUND FUND BOND FUND PORTFOLIO
------------- --------- ----------- -------------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Purchases.............................. $ 199,225,765 $-- $ -- $4,141,552,177 $235,691,874 $ --
Sales.................................. $ 222,333,763 $-- $ -- $4,302,109,127 $246,885,046 $ --
</TABLE>
<TABLE>
<CAPTION>
ARKTOS LARGE-CAP LARGE-CAP
MASTER EUROPE JAPAN
PORTFOLIO FUND FUND
----------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Purchases.............................. $764,343,700 $ 1,002,013 $ 2,334,180
Sales.................................. $801,139,045 $ -- $ --
</TABLE>
8. NET UNREALIZED APPRECIATION (DEPRECIATION) OF SECURITIES
At September 30, 2000, unrealized appreciation (depreciation) and cost of
investment securities for Federal income tax purposes were: (Unaudited)
<TABLE>
<CAPTION>
U.S.
URSA GOVERNMENT U.S. JUNO ARKTOS
NOVA MASTER MONEY OTC GOVERNMENT MASTER MASTER
FUND PORTFOLIO MARKET FUND FUND BOND FUND PORTFOLIO PORTFOLIO
------------ ------------ -------------- -------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Gross Unrealized
Appreciation............... $ 74,156,058 $ 1,259,440 $ -- $1,076,616,550 $ -- $ 61,555 $ --
Gross Unrealized
(Depreciation)............. (18,330,811) (23,680) -- (27,592,554) (98,669) (13,004) (28,767,841)
------------ ------------ -------------- -------------- ----------- ----------- ------------
Net Unrealized Appreciation
(Depreciation)............. $ 55,825,247 $ 1,235,760 $ -- $1,049,023,996 $ (98,669) $ 48,551 $(28,767,841)
============ ============ ============== ============== =========== =========== ============
Cost of Investments for
Federal Income Tax
Purposes................... $165,780,102 $267,866,256 $1,217,443,279 $1,936,933,838 $18,609,041 $11,281,384 $ 83,848,227
============ ============ ============== ============== =========== =========== ============
</TABLE>
<TABLE>
<CAPTION>
LARGE-CAP LARGE-CAP
EUROPE JAPAN
FUND FUND
----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Gross Unrealized Appreciation.... $ 11,310 $ --
Gross Unrealized
(Depreciation)................. (18,711) (14,609)
----------- -----------
Net Unrealized Appreciation
(Depreciation)................. $ (7,401) $ (14,609)
=========== ===========
Cost of Investments for Federal
Income Tax Purposes............ $10,698,007 $16,819,645
=========== ===========
</TABLE>
54
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
9. SHARE TRANSACTIONS
The Trust is authorized to distribute an unlimited number of shares.
Transactions in shares for the period ended September 30, 2000 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....................... 120,862,401 277,834,434 13,595,088,178 304,021,224 35,490,569 7,178,140
Purchased through Dividend
Reinvestment......................... -- -- 22,626,290 -- 60,617 --
------------ ------------- --------------- ------------ ------------ ------------
Total Purchased........................ 120,862,401 277,834,434 13,617,714,468 304,021,224 35,551,186 7,178,140
Shares Redeemed........................ (126,007,260) (282,015,197) (13,623,041,727) (235,763,681) (36,582,016) (7,001,892)
------------ ------------- --------------- ------------ ------------ ------------
Net Shares Purchased (Redeemed)........ (5,144,859) (4,180,763) (5,327,259) 68,257,543 (1,030,830) 176,248
============ ============= =============== ============ ============ ============
<CAPTION>
LARGE-CAP LARGE-CAP
ARKTOS EUROPE JAPAN
FUND FUND FUND
------------ ------------ ------------
<S> <C> <C> <C>
Shares Purchased....................... 127,086,027 6,992,641 8,335,888
Purchased through Dividend
Reinvestment......................... -- -- --
------------ ------------ ------------
Total Purchased........................ 127,086,027 6,992,641 8,335,888
Shares Redeemed........................ (149,344,348) (6,525,486) (7,647,868)
------------ ------------ ------------
Net Shares Purchased (Redeemed)........ (22,258,321) 467,155 688,020
============ ============ ============
</TABLE>
ADVISOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
NOVA URSA MONEY OTC
FUND FUND MARKET FUND FUND
----------- ----------- -------------- -----------
<S> <C> <C> <C> <C>
Shares Purchased....................... 18,519,849 18,000,155 5,410,351,746 34,691,700
Purchased through Dividend
Reinvestment......................... -- -- 8,300,239 --
----------- ----------- -------------- -----------
Total Purchased........................ 18,519,849 18,000,155 5,418,651,985 34,691,700
Shares Redeemed........................ (19,077,224) (18,120,988) (5,302,889,354) (29,390,411)
----------- ----------- -------------- -----------
Net Shares Purchased (Redeemed)........ (557,375) (120,833) 115,762,631 5,301,289
=========== =========== ============== ===========
</TABLE>
Transactions in shares for the year ended March 31, 2000
INVESTOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT U.S.
NOVA URSA MONEY OTC GOVERNMENT JUNO ARKTOS
FUND FUND MARKET FUND FUND BOND FUND FUND FUND
------------ ------------ --------------- ------------ ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares Purchased.............. 291,378,974 811,700,635 26,853,492,338 197,253,871 35,820,699 31,910,118 429,545,940
Purchased through Dividend
Reinvestment................ 5,743 329,909 34,322,501 222,348 119,260 4,892 101,868
------------ ------------ --------------- ------------ ----------- ----------- ------------
Total Purchased............... 291,384,717 812,030,544 26,887,814,839 197,476,219 35,939,959 31,915,010 429,647,808
Shares Redeemed............... (292,333,394) (830,236,219) (27,150,956,367) (185,553,852) (35,679,890) (32,280,729) (414,807,769)
------------ ------------ --------------- ------------ ----------- ----------- ------------
Net Shares Purchased
(Redeemed).................. (948,677) (18,205,675) (263,141,528) 11,922,367 260,069 (365,719) 14,840,039
============ ============ =============== ============ =========== =========== ============
</TABLE>
55
<PAGE>
RYDEX SERIES FUNDS
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....................... 41,535,791 34,006,722 9,672,835,236 26,514,160
Purchased through Dividend
Reinvestment......................... 825 2,597 11,531,876 4,732
----------- ----------- -------------- -----------
Total Purchased........................ 41,536,616 34,009,319 9,684,367,112 26,518,892
Shares Redeemed........................ (39,856,711) (33,767,435) (9,793,573,686) (25,482,579)
----------- ----------- -------------- -----------
Net Shares Purchased (Redeemed)........ 1,679,905 241,884 (109,206,574) 1,036,313
=========== =========== ============== ===========
</TABLE>
Transactions in dollars for the period ended September 30, 2000 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....................... $4,808,663,855 $2,221,461,175 $13,595,072,291 $8,223,863,815 $330,292,393 $65,451,752
Purchased through Dividend
Reinvestment........................ -- -- 22,626,294 -- 640,199 --
-------------- -------------- --------------- -------------- ------------ -----------
Total Purchased........................ 4,808,663,855 2,221,461,175 13,617,698,585 8,223,863,815 330,932,592 65,451,752
Shares Redeemed........................ (4,998,437,704) (2,255,990,227) (13,623,042,881) (8,413,028,938) (340,610,494) (64,129,893)
-------------- -------------- --------------- -------------- ------------ -----------
Net Change............................. $ (189,773,849) $ (34,529,052) $ (5,344,296) $ (189,165,123) $ (9,677,902) $ 1,321,859
============== ============== =============== ============== ============ ===========
<CAPTION>
LARGE-CAP LARGE-CAP
ARKTOS EUROPE JAPAN
FUND FUND FUND
-------------- ------------ ------------
<S> <C> <C> <C>
Shares Purchased....................... $1,601,934,453 $178,427,023 $182,133,884
Purchased through Dividend
Reinvestment........................ -- -- --
-------------- ------------ ------------
Total Purchased........................ 1,601,934,453 178,427,023 182,133,884
Shares Redeemed........................ (1,571,125,928) (165,067,122) (163,473,227)
-------------- ------------ ------------
Net Change............................. $ 30,808,525 $ 13,359,901 $ 18,660,657
============== ============ ============
</TABLE>
ADVISOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
NOVA URSA MONEY OTC
FUND FUND MARKET FUND FUND
------------ ------------ -------------- ------------
<S> <C> <C> <C> <C>
Shares Purchased....................... $727,229,664 $142,633,912 $5,410,351,745 $951,720,225
Purchased through Dividend
Reinvestment......................... -- -- 8,300,240 --
------------ ------------ -------------- ------------
Total Purchased........................ 727,229,664 142,633,912 5,418,651,985 951,720,225
Shares Redeemed........................ (752,531,548) (143,702,143) (5,302,889,354) (882,987,636)
------------ ------------ -------------- ------------
Net Change............................. $(25,301,884) $ (1,068,231) $ 115,762,631 $ 68,732,589
============ ============ ============== ============
</TABLE>
56
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
Transactions in dollars for the year ended March 31, 2000 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....................... $10,916,137,877 $6,789,960,790 $26,853,489,573 $12,344,089,260 $329,732,781
Purchased through Dividend
Reinvestment......................... 214,399 2,603,093 34,322,503 13,672,155 1,090,403
--------------- -------------- --------------- --------------- ------------
Total Purchased........................ 10,916,352,276 6,792,563,883 26,887,812,076 12,357,761,415 330,823,184
Shares Redeemed........................ (10,919,076,117) (6,914,991,598) (27,150,956,369) (11,459,166,541) (328,276,000)
--------------- -------------- --------------- --------------- ------------
Net Change............................. $ (2,723,841) $ (122,427,715) $ (263,144,293) $ 898,594,874 $ 2,547,184
=============== ============== =============== =============== ============
<CAPTION>
JUNO ARKTOS
FUND FUND
------------ --------------
<S> <C> <C>
Shares Purchased....................... $294,735,714 $2,342,338,129
Purchased through Dividend
Reinvestment......................... 45,487 449,508
------------ --------------
Total Purchased........................ 294,781,201 2,342,787,637
Shares Redeemed........................ (298,202,588) (2,234,246,389)
------------ --------------
Net Change............................. $ (3,421,387) $ 108,541,248
============ ==============
</TABLE>
ADVISOR CLASS:
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
NOVA URSA MONEY OTC
FUND FUND MARKET FUND FUND
-------------- ------------ -------------- --------------
<S> <C> <C> <C> <C>
Shares Purchased....................... $1,559,807,208 $280,795,776 $9,672,835,261 $1,700,064,966
Purchased through Dividend
Reinvestment......................... 30,604 20,361 11,531,875 289,297
-------------- ------------ -------------- --------------
Total Purchased........................ 1,559,837,812 280,816,137 9,684,367,136 1,700,354,263
Shares Redeemed........................ (1,491,596,307) (276,100,973) (9,793,573,686) (1,654,343,499)
-------------- ------------ -------------- --------------
Net Change............................. $ 68,241,505 $ 4,715,164 $ (109,206,550) $ 46,010,764
============== ============ ============== ==============
</TABLE>
10. EQUITY INDEX SWAP AGREEMENTS
The Trust has entered into the following equity index swap agreements as of
September 30, 2000: (Unaudited)
<TABLE>
<CAPTION>
NOTIONAL MATURITY
FUND MARKET VALUE RETURN DATE
---- ------------ -------------- --------
<S> <C> <C> <C>
Large-Cap Europe Fund.................. $12,092,847 Price Return* 11/08/00
Large-Cap Japan Fund................... $14,507,949 Price Return** 11/08/00
</TABLE>
* Dow Jones Stock 50-SM- Index +/- financing at a variable rate.
** Topix 100 Index +/- financing at a variable rate.
57
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
11. NET ASSETS
At September 30, 2000, net assets consisted of: (Unaudited)
<TABLE>
<CAPTION>
U.S. GOVERNMENT
URSA URSA MASTER MONEY OTC
NOVA FUND FUND PORTFOLIO MARKET FUND FUND
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Paid-In-Capital........................ $ 575,043,200 $ 257,174,139 $ 740,511,361 $ 1,009,370,896 $ 1,874,385,651
Undistributed Net Investment Income
(Loss)............................... 5,804,955 7,502,018 193,549 (100,754) (16,844,060)
Accumulated Net Realized Gain (Loss) on
Investments.......................... (107,424,213) 1,826,161 (471,733,960) (482,091) (385,019,860)
Net Unrealized Appreciation on
Investments, Options and Futures
Contracts............................ 95,134,832 13,825,306 10,222,026 -- 1,498,622,882
--------------- --------------- --------------- --------------- ---------------
Net Assets............................. $ 568,558,774 $ 280,327,624 $ 279,192,976 $ 1,008,788,051 $ 2,971,144,613
=============== =============== =============== =============== ===============
</TABLE>
<TABLE>
<CAPTION>
U.S. JUNO ARKTOS
GOVERNMENT JUNO MASTER ARKTOS MASTER
BOND FUND FUND PORTFOLIO FUND PORTFOLIO
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Paid-In-Capital........................ $ 24,497,060 $ 11,262,947 $ 18,904,168 $ 133,968,369 $ 306,853,907
Undistributed Net Investment Income
(Loss)............................... 181,886 257,592 10,105 3,980,310 28,642
Accumulated Net Realized Gain (Loss) on
Investments.......................... (6,836,722) (136,630) (7,556,335) 18,113,728 (195,193,569)
Net Unrealized Appreciation
(Depreciation) on Investments,
Options and Futures Contracts........ 545,098 174,082 146,227 (16,493,793) 26,869,775
------------- ------------- ------------- ------------- -------------
Net Assets............................. $ 18,387,322 $ 11,557,991 $ 11,504,165 $ 139,568,614 $ 138,558,755
============= ============= ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
LARGE-CAP LARGE-CAP
EUROPE JAPAN
FUND FUND
------------- -------------
<S> <C> <C>
Paid-In-Capital........................ $ 13,359,901 $ 18,660,657
Undistributed Net Investment Income.... 233,271 188,485
Accumulated Net Realized Loss on
Investments.......................... (3,187,492) (5,187,533)
Net Unrealized Appreciation
(Depreciation) on Investments and
Equity Index Swaps................... 115,527 (243,139)
------------- -------------
Net Assets............................. $ 10,521,207 $ 13,418,470
============= =============
</TABLE>
58
<PAGE>
RYDEX SERIES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
12. 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 U.S.
MONEY GOVERNMENT
EXPIRES MARCH 31 URSA FUND MARKET FUND BOND FUND JUNO FUND ARKTOS FUND
---------------- ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
2003................................... $ 6,618,786 $ -- $ -- $ -- $ --
2004................................... 43,168,709 -- -- 2,565,794 --
2005................................... 50,012,823 -- -- 106,438 --
2006................................... 102,945,587 -- -- 2,486,456 --
2007................................... 102,218,150 13,314 -- 1,206,560 4,782,728
2008................................... 124,148,191 342,904 6,277,205 -- 82,494,467
</TABLE>
13. OTC STOCK SPLIT AND ARKTOS REVERSE STOCK SPLIT
Effective after the close of business on April 14, 2000, the OTC Fund, Investor
Class and Advisor Class shares, underwent a 3-for-1 split. The effect of this
transaction was to increase the number of outstanding shares in this Fund by
three, while dividing the net asset value per share by three. The net asset
value per share prior to the split was $70.95 in the Investor Class and $70.41
in the Advisor Class; after the split, the net asset values per share were
$23.65 and $23.47, respectively.
Also effective after the close of business on April 14, 2000, the Arktos Fund,
Investor Class shares, underwent a 1-for-5 reverse split. The effect of this
transaction was to divide the number of outstanding shares in this Fund by five,
while multiplying the net asset value per share by five. The net asset value per
share prior to the reverse split was $4.65; after the reverse split, the net
asset value per share was $23.25.
There was no change in the aggregate market value of the outstanding shares as a
result of these transactions.
14. SUBSEQUENT EVENT
The Trust registered and is authorized to issue C Class Shares in each of the
Funds of the Trust. C Class Shares of the U.S. Government Money Market Fund
became available for investment effective October 19, 2000. Currently, the U.S.
Government Money Market Fund is the only Fund that has issued C Class Shares.
C Class Shares can be purchased at the net asset value per share and have a 1%
Contingent Deferred Sales Charge ("CDSC") if Shares are redeemed within
12 months of purchase. In addition, the C Class Shares have adopted a
Distribution and Shareholder Services Plan that allows C Class Shares to pay
annual service fees of .25% and distribution fees of .75%.
59
<PAGE>
A FAMILY OF MUTUAL FUNDS
DESIGNED EXCLUSIVELY FOR
PROFESSIONAL MONEY MANAGERS
NOVA FUND
URSA FUND
U.S. GOVERNMENT MONEY MARKET FUND
OTC FUND
U.S. GOVERNMENT BOND FUND
JUNO FUND
ARKTOS FUND
LARGE-CAP EUROPE FUND
LARGE-CAP JAPAN FUND
URSA MASTER PORTFOLIO
JUNO MASTER PORTFOLIO
ARKTOS MASTER PORTFOLIO
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 FUNDS
9601 Blackwell Road, Suite 500
Rockville, MD 20850
(800) 820-0888
www.rydexfunds.com
ADVISOR CLASS SHARES ARE DISTRIBUTED BY
RYDEX DISTRIBUTORS, INC.
RFISA-3-11/00
