MARCH 31, 2008

RYDEX SERIES FUNDS ANNUAL REPORT

BENCHMARK FUNDS

NOVA FUND

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

(Formerly, Inverse Government Long Bond Fund)

S&P 500 FUND

HIGH YIELD STRATEGY FUND

INVERSE S&P 500 STRATEGY FUND

(Formerly, Inverse S&P 500 Fund)

INVERSE HIGH YIELD STRATEGY FUND

OTC FUND

EUROPE 1.25x STRATEGY FUND

(Formerly, Europe Advantage Fund)

INVERSE OTC STRATEGY FUND

(Formerly, Inverse OTC Fund)

JAPAN 2x STRATEGY FUND

MID-CAP 1.5x STRATEGY FUND

SMALL-CAP VALUE FUND

(Formerly, Mid-Cap Advantage Fund)

MID-CAP VALUE FUND

INVERSE MID-CAP STRATEGY FUND

(Formerly, Inverse Mid-Cap Fund)

LARGE-CAP VALUE FUND

RUSSELL 2000^® 1.5x STRATEGY FUND

SMALL-CAP GROWTH FUND

(Formerly, Russell 2000^® Advantage Fund)

MID-CAP GROWTH FUND

RUSSELL 2000^® FUND

LARGE-CAP GROWTH FUND

INVERSE RUSSELL 2000^® STRATEGY FUND

U.S. GOVERNMENT MONEY MARKET FUND

(Formerly, Inverse Russell 2000^® Fund)

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

(Formerly, Government Long Bond Advantage Fund)

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TABLE OF CONTENTS

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2

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3

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56

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136

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140

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144

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152

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177

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178

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THE RYDEX SERIES FUNDS ANNUAL REPORT

|

1

LETTER TO OUR SHAREHOLDERS

DEAR SHAREHOLDER:

The year ended March 31, 2008, was a momentous one in many respects. The U.S. financial system

teetered on the brink of collapse as the ongoing crisis in the nation’s credit markets seemed to threaten

the solvency of many major Wall Street institutions. Indeed, financial market turmoil, the magnitude of

which had not been seen in decades, lead to the dramatic collapse of Bear Stearns, a powerhouse

investment bank that traced its origins back to the 1920’s and had successfully weathered the Great

Depression. At the tail end of the period, stocks soared in a classic relief rally once it was clear that other

major financial institutions did not face solvency issues that threatened their very existence and the overall

health of the U.S. financial system.

During this tumultuous period, the Dow Jones Industrial Average^SM actually managed to eke out a 1.59%

gain despite losing more than 1,000 points in the first three months of 2008, the largest quarterly point

decline in the Index’s long history. The S&P 500^® Index found the going a bit tougher, falling 5.08%. With

the avoidance of risk as the dominant theme over the past year, more aggressive exposures such as small-

cap and mid-cap stocks suffered. The S&P MidCap 400^® Index fell 6.97%, while the Russell 2000^® Index of

small-cap stocks lost 13.00% of its value. Financial stocks were at the epicenter of the crisis that began to

unfold during the summer (the S&P 500 Financials Index fell an astounding 27.78% during the period).

The S&P SmallCap 600/Citigroup Pure Value Index was the worst performing sector in the traditional

style-box series, falling 22.23%.

International stocks were the clear winners for the year ended March 31, 2008. Developed market stocks

performed in-line with their U.S counterparts (the benchmark MSCI EAFE Index declined 2.10%), aided by

local currency appreciation as the U.S. dollar fell over 13.42%. Emerging market stocks, however,

continued their multi-year run as the MSCI EM Index soared over 21.00% on the back of huge rallies in

the BRIC markets.

Not surprisingly, investors ran to the safety of U.S. Treasury securities, pulling long-term interest rates

down to five-year lows. Short-term interest rates plummeted, with the yield on the 2-year Treasury note

falling in excess of three percentage points to 1.59%. Longer-term interest rates were a little stickier as

the yield on the 10-year Note fell a more modest 1.2 points to 3.42%. As a result, the yield curve resumed

its traditional positive slope after having been flat for an extended period.

The impetus for the dramatic shift in the term structure of interest rates was a series of emergency rate

cuts by the Federal Reserve (the “Fed”). In six sweeping moves, the Fed slashed the widely watched Fed

Funds target rate from 5.25% to 2.25%. In this crisis environment, the Fed, in conjunction with other

central banks, continuously pumped hundreds of billions of dollars of liquidity into the global financial

system. With all the ingredients for a recession firmly in place—depressed consumer sentiment, shrinking

payrolls, declining retail sales, curtailed capital spending plans and falling wealth levels—government at all

levels went into crisis prevention mode. Despite all the bad news, it is unlikely that the U.S. economy

actually shrank during this period. The cheap U.S. dollar fueled a boom in exports, which kept economic

growth in the black. Low short-term interest rates and a cheap dollar also fueled a boom in commodities

markets, as the prices of oil, industrial metals, and agricultural products skyrocketed. Oil, in particular, rose

54%, breaching the psychologically significant $100 per barrel mark by the end of the period.

Although write downs will continue to dribble out of the banking system, the worst of the financial crisis

seems to be behind us at this point. Recent earnings reports from the likes of Lehman Brothers, Goldman

Sachs, and Morgan Stanley indicate that the U.S. financial system is sufficiently capitalized to weather the

credit crisis unless estimates of mortgage debt write offs are substantially off the mark. This leaves us

cautiously optimistic about the direction of stock prices as we move into the new year. There is little doubt

that the economy will continue to flirt with recession and interest rates are poised to rise. Yet there has

been an important and discernable shift in market sentiment indicating, to us at least, that more bad news

from the housing front will be taken in stride.

We appreciate the trust you have placed in our firm’s quality and integrity by investing with us.

Sincerely,

David C. Reilly, CFA

Director of Portfolio Strategy

2

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THE RYDEX SERIES FUNDS ANNUAL REPORT

A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)

Many of the Rydex Funds described in this report are benchmarked daily to leveraged or inverse

leveraged versions of published indices. To properly evaluate the performance of these funds, it is

essential to understand the effect of mathematical compounding on their respective returns.

Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in line

with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire

period. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem

to outperform its benchmark over longer periods.

An Example of Compounding

For example, consider a hypothetical fund that is designed to produce returns that correspond to 150%

of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a

6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value

(“NAV”) increases from $10.00 to $10.90 for a gain of 9.0%–in line with its benchmark.

On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls

9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the

two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into

account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the

fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table

below.

Index

Index

Fund

Fund

Level

Performance

Expectation

Fund NAV

Performance

Assessment

Start

100

$10.00

Day 1

106

6.0%

9.0%

$10.90

9.0%

In line

Day 2

99

-6.6%

-9.9%

$9.82

-9.9%

In line

Cumulative

-1.0%

-1.5%

-1.8%

-0.3%

As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or

judgments about fund performance given only the returns of the unleveraged index.

In general, any change in direction in an index will produce compounding that seems to work against an

investor. Were the index to move in the same direction (either up or down) for two or more periods in a

row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly

beat its benchmark.

As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less

leverage will generally produce results that are more in line with expectations. In addition, periods of high

volatility in an underlying index will also cause the effects of compounding to be more pronounced, while

lower volatility will produce a more muted effect.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

3

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)

All mutual funds have operating expenses and it is important for our shareholders to understand the

impact of costs on their investments. Shareholders of a Fund incur two types of costs: (i) transaction costs,

including sales charges (loads) on purchase payments, reinvested dividends, or other distributions;

redemption fees; and exchange fees; and (ii) ongoing costs, including management fees, administrative

services, and shareholder reports, among others. These ongoing costs, or operating expenses, are

deducted from a fund’s gross income and reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets, which is known as the

expense ratio. The following examples are intended to help investors understand the ongoing costs (in

dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other

mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period

and held for the entire six-month period beginning September 30, 2007 and ending March 31, 2008.

The following tables illustrate a Fund’s costs in two ways:

Table 1. Based on actual Fund return. This section helps investors estimate the actual expenses paid

over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the

fourth column shows the dollar amount that would have been paid by an investor who started with

$1,000 in the Fund. Investors may use the information here, together with the amount invested, to

estimate the expenses paid over the period. Simply divide the Fund’s account value by $1,000 (for

example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number

provided under the heading “Expenses Paid During Period.”

Table 2. Based on hypothetical 5% return. This section is intended to help investors compare a Fund’s

cost with those of other mutual funds. The table provides information about hypothetical account

values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of

return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account

values and expenses may not be used to estimate the actual ending account balance or expenses paid

during the period. The example is useful in making comparisons because the U.S. Securities and

Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5%

return. Investors can assess a Fund’s costs by comparing this hypothetical example with the

hypothetical examples that appear in shareholder reports of other funds.

Certain retirement plans such as IRA, SEP, Roth IRA and 403(b) accounts are charged an annual $15

maintenance fee. Upon liquidating a retirement account, a $15 account-closing fee will be taken from the

proceeds of the redemption.

The calculations illustrated above assume no shares were bought or sold during the period. Actual costs

may have been higher or lower, depending on the amount of investment and the timing of any purchases

or redemptions.

Note that the expenses shown in the table are meant to highlight and help compare ongoing costs only

and do not reflect any transactional costs which may be incurred by a Fund.

More information about a Fund’s expenses, including annual expense ratios for the past five years, can be

found in the Financial Highlights section of this report. For additional information on operating expenses

and other shareholder costs, please refer to the appropriate Fund prospectus.

4

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THE RYDEX SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

Beginning

Ending

Expenses

Expense

Account Value

Account Value

Paid During

Ratio†

September 30, 2007

March 31, 2008

Period*

Table 1. Based on actual Fund return

Nova Fund

Investor Class

1.26%

$1,000.00

$

796.00

$

5.66

Advisor Class

1.76%

1,000.00

793.90

7.89

A-Class

1.51%

1,000.00

795.20

6.78

C-Class

2.26%

1,000.00

792.10

10.13

S&P 500 Fund

A-Class

1.51%

1,000.00

887.30

7.12

C-Class

2.26%

1,000.00

883.40

10.64

H-Class

1.48%

1,000.00

887.20

6.98

Inverse S&P 500 Strategy Fund

Investor Class

1.41%

1,000.00

1,155.80

7.60

Advisor Class

1.91%

1,000.00

1,152.30

10.28

A-Class

1.66%

1,000.00

1,154.60

8.94

C-Class

2.42%

1,000.00

1,150.00

13.01

OTC Fund

Investor Class

1.26%

1,000.00

848.40

5.82

Advisor Class

1.77%

1,000.00

846.30

8.17

A-Class

1.52%

1,000.00

847.00

7.02

C-Class

2.27%

1,000.00

844.90

10.47

Inverse OTC Strategy Fund

Investor Class

1.45%

1,000.00

1,167.30

7.86

Advisor Class

1.95%

1,000.00

1,164.80

10.55

A-Class

1.71%

1,000.00

1,166.20

9.26

C-Class

2.46%

1,000.00

1,161.50

13.29

Mid-Cap 1.5x Strategy Fund

A-Class

1.67%

1,000.00

801.60

7.52

C-Class

2.42%

1,000.00

798.60

10.88

H-Class

1.67%

1,000.00

801.50

7.52

Inverse Mid-Cap Strategy Fund

A-Class

1.67%

1,000.00

1,136.50

8.92

C-Class

2.40%

1,000.00

1,132.20

12.79

H-Class

1.66%

1,000.00

1,136.50

8.87

Russell 2000^® 1.5x Strategy Fund

A-Class

1.67%

1,000.00

773.60

7.40

C-Class

2.42%

1,000.00

771.00

10.71

H-Class

1.67%

1,000.00

773.80

7.41

Russell 2000^® Fund

A-Class

1.51%

1,000.00

854.90

7.00

C-Class

2.27%

1,000.00

851.80

10.51

H-Class

1.50%

1,000.00

854.90

6.96

Inverse Russell 2000^® Strategy Fund

A-Class

2.14%

1,000.00

1,149.90

11.50

C-Class

2.91%

1,000.00

1,145.50

15.61

H-Class

2.14%

1,000.00

1,149.80

11.50

Government Long Bond 1.2x Strategy Fund

Investor Class

0.97%

1,000.00

1,136.20

5.18

Advisor Class

1.47%

1,000.00

1,131.90

7.83

A-Class

1.22%

1,000.00

1,133.60

6.51

C-Class

1.98%

1,000.00

1,129.70

10.54

Inverse Government Long Bond Strategy Fund

Investor Class

3.57%

1,000.00

892.30

16.89

Advisor Class

4.27%

1,000.00

890.50

20.18

A-Class

3.94%

1,000.00

891.00

18.63

C-Class

4.54%

1,000.00

887.90

21.43

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

5

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

Beginning

Ending

Expenses

Expense

Account Value

Account Value

Paid During

Ratio†

September 30, 2007

March 31, 2008

Period*

High Yield Strategy Fund

A-Class

1.51%

$1,000.00

$

961.60

$

7.41

C-Class

2.25%

1,000.00

957.90

11.01

H-Class

1.49%

1,000.00

960.80

7.30

Inverse High Yield Strategy Fund

A-Class

1.52%

1,000.00

1,021.50

7.68

C-Class

2.27%

1,000.00

1,021.00

11.47

H-Class

1.52%

1,000.00

1,024.70

7.69

Europe 1.25x Strategy Fund

A-Class

1.74%

1,000.00

838.30

8.00

C-Class

2.39%

1,000.00

835.30

10.97

H-Class

1.67%

1,000.00

838.40

7.68

Japan 2x Strategy Fund**

A-Class

1.35%

1,000.00

1,004.80

1.33

C-Class

2.24%

1,000.00

1,004.00

2.21

H-Class

1.45%

1,000.00

1,004.80

1.43

Small-Cap Value Fund

A-Class

1.54%

1,000.00

847.60

7.11

C-Class

2.30%

1,000.00

844.20

10.60

H-Class

1.47%

1,000.00

847.40

6.79

Mid-Cap Value Fund

A-Class

1.52%

1,000.00

869.30

7.10

C-Class

2.25%

1,000.00

865.10

10.49

H-Class

1.52%

1,000.00

868.70

7.10

Large-Cap Value Fund

A-Class

1.51%

1,000.00

814.30

6.85

C-Class

2.27%

1,000.00

811.10

10.28

H-Class

1.51%

1,000.00

814.50

6.85

Small-Cap Growth Fund

A-Class

1.52%

1,000.00

842.90

7.00

C-Class

2.27%

1,000.00

839.90

10.44

H-Class

1.52%

1,000.00

843.00

7.00

Mid-Cap Growth Fund

A-Class

1.51%

1,000.00

893.00

7.15

C-Class

2.27%

1,000.00

889.60

10.72

H-Class

1.51%

1,000.00

893.10

7.15

Large-Cap Growth Fund

A-Class

1.52%

1,000.00

889.10

7.18

C-Class

2.27%

1,000.00

885.80

10.70

H-Class

1.52%

1,000.00

889.10

7.18

U.S. Government Money Market Fund

Investor Class

0.93%

1,000.00

1,015.90

4.69

Advisor Class

1.43%

1,000.00

1,013.30

7.20

A-Class

1.18%

1,000.00

1,014.60

5.94

C-Class

1.93%

1,000.00

1,010.80

9.70

6

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THE RYDEX SERIES FUNDS ANNUAL REPORT

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (continued)

Beginning

Ending

Expenses

Expense

Account Value

Account Value

Paid During

Ratio†

September 30, 2007

March 31, 2008

Period*

Table 2. Based on hypothetical 5% return (before expenses)

Nova Fund

Investor Class

1.26%

$1,000.00

$1,018.70

$

6.36

Advisor Class

1.76%

1,000.00

1,016.20

8.87

A-Class

1.51%

1,000.00

1,017.45

7.62

C-Class

2.26%

1,000.00

1,013.70

11.38

S&P 500 Fund

A-Class

1.51%

1,000.00

1,017.45

7.62

C-Class

2.26%

1,000.00

1,013.70

11.38

H-Class

1.48%

1,000.00

1,017.60

7.47

Inverse S&P 500 Strategy Fund

Investor Class

1.41%

1,000.00

1,017.95

7.11

Advisor Class

1.91%

1,000.00

1,015.45

9.62

A-Class

1.66%

1,000.00

1,016.70

8.37

C-Class

2.42%

1,000.00

1,012.90

12.18

OTC Fund

Investor Class

1.26%

1,000.00

1,018.70

6.36

Advisor Class

1.77%

1,000.00

1,016.15

8.92

A-Class

1.52%

1,000.00

1,017.40

7.67

C-Class

2.27%

1,000.00

1,013.65

11.43

Inverse OTC Strategy Fund

Investor Class

1.45%

1,000.00

1,017.75

7.31

Advisor Class

1.95%

1,000.00

1,015.25

9.82

A-Class

1.71%

1,000.00

1,016.45

8.62

C-Class

2.46%

1,000.00

1,012.70

12.38

Mid-Cap 1.5x Strategy Fund

A-Class

1.67%

1,000.00

1,016.65

8.42

C-Class

2.42%

1,000.00

1,012.90

12.18

H-Class

1.67%

1,000.00

1,016.65

8.42

Inverse Mid-Cap Strategy Fund

A-Class

1.67%

1,000.00

1,016.65

8.42

C-Class

2.40%

1,000.00

1,013.00

12.08

H-Class

1.66%

1,000.00

1,016.70

8.37

Russell 2000^® 1.5x Strategy Fund

A-Class

1.67%

1,000.00

1,016.65

8.42

C-Class

2.42%

1,000.00

1,012.90

12.18

H-Class

1.67%

1,000.00

1,016.65

8.42

Russell 2000^® Fund

A-Class

1.51%

1,000.00

1,017.45

7.62

C-Class

2.27%

1,000.00

1,013.65

11.43

H-Class

1.50%

1,000.00

1,017.50

7.57

Inverse Russell 2000^® Strategy Fund

A-Class

2.14%

1,000.00

1,014.30

10.78

C-Class

2.91%

1,000.00

1,010.45

14.63

H-Class

2.14%

1,000.00

1,014.30

10.78

Government Long Bond 1.2x Strategy Fund

Investor Class

0.97%

1,000.00

1,020.15

4.90

Advisor Class

1.47%

1,000.00

1,017.65

7.41

A-Class

1.22%

1,000.00

1,018.90

6.16

C-Class

1.98%

1,000.00

1,015.10

9.97

Inverse Government Long Bond Strategy Fund

Investor Class

3.57%

1,000.00

1,007.15

17.91

Advisor Class

4.27%

1,000.00

1,003.65

21.39

A-Class

3.94%

1,000.00

1,005.30

19.75

C-Class

4.54%

1,000.00

1,002.30

22.73

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

7

ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) (concluded)

Beginning

Ending

Expenses

Expense

Account Value

Account Value

Paid During

Ratio†

September 30, 2007

March 31, 2008

Period*

High Yield Strategy

A-Class

1.51%

$1,000.00

$1,017.45

$

7.62

C-Class

2.25%

1,000.00

1,013.75

11.33

H-Class

1.49%

1,000.00

1,017.55

7.52

Inverse High Yield Strategy

A-Class

1.52%

1,000.00

1,017.40

7.67

C-Class

2.27%

1,000.00

1,013.65

11.43

H-Class

1.52%

1,000.00

1,017.40

7.67

Europe 1.25x Strategy Fund

A-Class

1.74%

1,000.00

1,016.30

8.77

C-Class

2.39%

1,000.00

1,013.05

12.03

H-Class

1.67%

1,000.00

1,016.65

8.42

Japan 2x Strategy Fund**

A-Class

1.35%

1,000.00

1,018.25

6.81

C-Class

2.24%

1,000.00

1,013.80

11.28

H-Class

1.45%

1,000.00

1,017.75

7.31

Small-Cap Value Fund

A-Class

1.54%

1,000.00

1,017.30

7.77

C-Class

2.30%

1,000.00

1,013.50

11.58

H-Class

1.47%

1,000.00

1,017.65

7.41

Mid-Cap Value Fund

A-Class

1.52%

1,000.00

1,017.40

7.67

C-Class

2.25%

1,000.00

1,013.75

11.33

H-Class

1.52%

1,000.00

1,017.40

7.67

Large-Cap Value Fund

A-Class

1.51%

1,000.00

1,017.45

7.62

C-Class

2.27%

1,000.00

1,013.65

11.43

H-Class

1.51%

1,000.00

1,017.45

7.62

Small-Cap Growth Fund

A-Class

1.52%

1,000.00

1,017.40

7.67

C-Class

2.27%

1,000.00

1,013.65

11.43

H-Class

1.52%

1,000.00

1,017.40

7.67

Mid-Cap Growth Fund

A-Class

1.51%

1,000.00

1,017.45

7.62

C-Class

2.27%

1,000.00

1,013.65

11.43

H-Class

1.51%

1,000.00

1,017.45

7.62

Large-Cap Growth Fund

A-Class

1.52%

1,000.00

1,017.40

7.67

C-Class

2.27%

1,000.00

1,013.65

11.43

H-Class

1.52%

1,000.00

1,017.40

7.67

U.S. Government Money Market Fund

Investor Class

0.93%

1,000.00

1,020.35

4.70

Advisor Class

1.43%

1,000.00

1,017.85

7.21

A-Class

1.18%

1,000.00

1,019.10

5.96

C-Class

1.93%

1,000.00

1,015.35

9.72

* Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the

number of days in the most recent fiscal half-year, then divided by 366.

** Since the commencement of operations: February 22, 2008. Due to the limited length of Fund operations, current expense ratios may not be

indicative of future expense ratios.

† This ratio represents annualized Total Expenses, which include interest expense from securities sold short. Excluding short interest expense,

the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 1.09%, 1.19%, 1.15%, and 1.07% lower for the

Investor Class, Advisor Class, A-Class and C-Class, respectively.

8

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THE RYDEX SERIES FUNDS ANNUAL REPORT

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THE RYDEX SERIES FUNDS ANNUAL REPORT

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9

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited)

NOVA FUND

OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis.

The Fund’s current benchmark is 150% of the performance of the S&P 500 Index.

Inception: July 12, 1993

For the year ended March 31, 2008, the S&P 500 Index had a return of -5.08%. The index was range bound for the

first nine months of the period due to optimism that the sub-prime crisis was contained to a limited number of

financial stocks. However, stocks were pushed downward once it became apparent that the crisis may extend into

the broader economy and cause a slowdown or possibly even a recession.

The three worst performing sectors were Financials, Consumer Discretionary and Telecommunication Services.

Fortunately, the weak performance of financial stocks was partially offset by the strong performance of energy

stocks, which benefited from high commodity prices and countercyclical consumer staples stocks. Energy, along with

Consumer Staples and Materials, were the strongest performers.

As fears of recession affected the broad market, Rydex Nova Fund Investor Class performed as expected, with a

-13.71% return for the period. It achieved a daily correlation of 99% to its benchmark of 150% of the daily price

movement of the S&P 500 Index.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The

apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is

described briefly on page 3 of this report.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

150%

Investor Class

July 12, 1993

Advisor Class

October 15, 1998

S&P 500 Index Swap Agreements

A-Class

March 31, 2004

C-Class

March 14, 2001

100%

S&P 500 IndexFutures Contracts

Consumer Discretionary

Consumer Staples

Ten Largest Holdings

Consumer Discretionary

Consumer Staples

Health Care

(% of Total Net Assets)

Exxon Mobil Corp.

3.6%

Health Care

Industrials

Industrials

50%

Energy

Energy

General Electric Co.

2.6%

Information Technology

Information Technology

AT&T, Inc.

1.9%

Financials

Financials

Microsoft Corp.

1.9%

Other

Other

Procter & Gamble Co.

1.7%

0%

Nova Fund

S&P 500 Index

Johnson & Johnson, Inc.

1.5%

Chevron Corp.

1.5%

“Holdings Diversification (Market Exposure as % of Net Assets)”

Bank of America Corp.

1.4%

excludes any temporary cash investments.

Wal-Mart Stores, Inc.

1.1%

Intel Corp.

1.1%

Top Ten Total

18.3%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

10

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

NOVA FUND

Cumulative Fund Performance

NOVA FUND A-CLASS†

S&P 500 INDEX

$20,000

$15,000

$12,654

$11,441

$10,000

$5,000

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

NOVA FUND INVESTOR CLASS

S&P 500 INDEX

$20,000

$15,000

$14,111

$10,000

$10,008

$5,000

$0

03/31/98

03/31/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

Investor Class

Advisor Class

(07/12/93)

(10/15/98)

ONE

FIVE

TEN

ONE

FIVE

SINCE

YEAR

YEAR

YEAR

YEAR

YEAR

INCEPTION

NOVA FUND

-13.71%

13.52%

0.01%

-14.16%

12.93%

0.57%

S&P 500 INDEX

-5.08%

11.32%

3.50%

-5.08%

11.32%

4.17%

A-Class

C-Class

(03/31/04)

(03/14/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

NOVA FUND

-13.92%

-18.01%

4.69%

3.42%

-14.60%

-15.43%

12.39%

0.11%

S&P 500 INDEX

-5.08%

-5.08%

6.06%

6.06%

-5.08%

-5.08%

11.32%

3.60%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a contingent deferred sales charge (CDSC) of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500

Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

11

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

S&P 500 FUND

OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis.

The Fund’s current benchmark is the S&P 500 Index.

Inception: May 31, 2006

For the year ended March 31, 2008, the S&P 500 Index had a return of -5.08%. The index was range bound for the

first nine months of the period due to optimism that the sub-prime crisis was contained to a limited number of

financial stocks. However, stocks were pushed downward once it became apparent that the crisis may extend into

the broader economy and cause a slowdown or possibly even a recession.

The three worst performing sectors were Financials, Consumer Discretionary and Telecommunication Services.

Fortunately, the weak performance of financial stocks was partially offset by the strong performance of energy

stocks, which benefited from high commodity prices and countercyclical consumer staples stocks. Energy, along with

Consumer Staples and Materials, were the strongest performers.

As fears of recession affected the broad market, Rydex S&P 500 Fund H-Class performed as expected with a -4.72%

return for the period.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

S&P 500 Index Swap Agreements

A-Class

May 31, 2006

100%

C-Class

May 31, 2006

Consumer Discretionary

H-Class

May 31, 2006

Consumer Staples

S&P 500 Index

75%

Futures Contracts

Health Care

Ten Largest Holdings

Industrials

(% of Total Net Assets)

Consumer Discretionary

Exxon Mobil Corp.

50%

Consumer Staples

Energy

2.2%

Health Care

General Electric Co.

1.8%

Industrials

Information Technology

AT&T, Inc.

1.1%

Energy

25%

Microsoft Corp.

1.1%

Information Technology

Financials

Procter & Gamble Co.

1.1%

Financials

Johnson & Johnson, Inc.

0.9%

Other

Other

0%

Chevron Corp.

0.9%

S&P 500 Fund

S&P 500 Index

Bank of America Corp.

0.8%

International Business

“Holdings Diversification (Market Exposure as % of Net Assets)”

Machines Corp.

0.8%

excludes any temporary cash investments.

JPMorgan Chase & Co.

0.7%

Top Ten Total

11.4%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

12

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

S&P 500 FUND

Cumulative Fund Performance

S&P 500 FUND A-CLASS†

S&P 500 INDEX

$14,000

$12,000

$10,785

$10,000

$10,107

$8,000

05/31/06

09/30/06

03/31/07

09/30/07

03/31/08

S&P 500 FUND H-CLASS

S&P 500 INDEX

$14,000

$12,000

$10,785

$10,605

$10,000

$8,000

05/31/06

09/30/06

03/31/07

09/30/07

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

(05/31/06)

(05/31/06)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

S&P 500 FUND

-4.68%

-9.20%

3.30%

0.58%

-5.45%

-6.39%

2.50%

S&P 500 INDEX

-5.08%

-5.08%

4.21%

4.21%

-5.08%

-5.08%

4.21%

H-Class

(05/31/06)

ONE

SINCE

YEAR

INCEPTION

S&P 500 FUND

-4.72%

3.25%

S&P 500 INDEX

-5.08%

4.21%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500

Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

13

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE S&P 500 STRATEGY FUND

OBJECTIVE: To provide investment results that will inversely correlate to the performance of the S&P 500 Index.

Inception: January 7, 1994

For the year ended March 31, 2008, the S&P 500 Index had a return of -5.08%. The index was range bound for the

first nine months of the period due to optimism that the sub-prime crisis was contained to a limited number of

financial stocks. However, stocks were pushed downward once it became apparent that the crisis may extend into

the broader economy and cause a slowdown or possibly even a recession.

The three worst performing sectors were Financials, Consumer Discretionary and Telecommunication Services.

Fortunately, the weak performance of financial stocks was partially offset by the strong performance of energy

stocks, which benefited from high commodity prices and countercyclical consumer staples stocks. Energy, along with

Consumer Staples and Materials, were the strongest performers.

As fears of recession affected the broad market and the S&P 500 Index slid, Rydex Inverse S&P 500 Strategy Fund

Investor Class performed as expected, delivering a 10.24% return for the period. It achieved a daily correlation of

99% to its benchmark of the inverse of the daily price movement of the S&P 500 Index.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

Investor Class

January 7, 1994

Consumer Discretionary

Consumer Staples

Advisor Class

August 5, 1998

80%

A-Class

March 31, 2004

Health Care

Industrials

60%

Energy

C-Class

March 15, 2001

40%

Information Technology

20%

Financials

The Fund invests principally in derivative

Other

0%

investments such as equity index swap

S&P 500 Index

-20%

Futures Contracts Sold Short

agreements, futures contracts, and

options on index futures.

-40%

S&P 500 Index

-60%

Swap Agreements

Sold Short

-80%

-100%

Inverse S&P 500

S&P 500 Index

Strategy Fund

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

14

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE S&P 500 STRATEGY FUND

Cumulative Fund Performance

INVERSE S&P 500 STRATEGY FUND

A-CLASS†

S&P 500 INDEX

$15,000

$12,654

$10,000

$8,935

$5,000

$0

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

INVERSE S&P 500 STRATEGY FUND

INVESTOR CLASS

S&P 500 INDEX

$20,000

$15,000

$14,111

$10,000

$9,400

$5,000

03/31/98

03/31/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

Investor Class

Advisor Class

(01/07/94)

(08/05/98)

ONE

FIVE

TEN

ONE

FIVE

SINCE

YEAR

YEAR

YEAR

YEAR

YEAR

INCEPTION

INVERSE S&P 500 STRATEGY FUND

10.24%

-7.00%

-0.62%

9.56%

-7.46%

-1.51%

S&P 500 INDEX

-5.08%

11.32%

3.50%

-5.08%

11.32%

3.78%

A-Class

C-Class

(03/31/04)

(03/15/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

INVERSE S&P 500 STRATEGY FUND

9.95%

4.73%

-1.59%

-2.78%

9.07%

8.07%

-7.95%

-2.61%

S&P 500 INDEX

-5.08%

-5.08%

6.06%

6.06%

-5.08%

-5.08%

11.32%

3.51%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500

Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

15

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

OTC FUND

OBJECTIVE: To provide investment results that correspond to a benchmark for over-the-counter securities. The

Fund’s current benchmark is the Nasdaq 100 Index^® .

Inception: February 14, 1994

For the one-year period ended March 31, 2008, the Nasdaq 100 Index had a return of 1.04%. The Nasdaq 100 Index

outperformed the S&P 500 Index’s -5.08%. In fact, the tech-heavy Nasdaq 100 Index was the only broad U.S. index

that had a positive return during the past year. The main driver of returns was the stellar performance of Apple Inc.,

which is also the largest stock by weight in the index. Also benefiting index performance was that no financial

stocks—which suffered during the year—are permitted in the index.

The three stocks that contributed the most to the index’s return during the period were Apple Inc., Research In

Motion Ltd. and Gilead Sciences Inc. Starbucks Corp., Sears Holding Corp. and Comcast Corp. – Class A contributed

least to the index’s performance.

Rydex OTC Fund Investor Class performed as expected for the period, with a 0.25% return.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

Nasdaq 100

Investor Class

February 14, 1994

Nasdaq 100 Index Swap Agreements

Index Futures

Contracts

Advisor Class

September 22, 1998

100%

Industrials

Industrials

A-Class

March 31, 2004

Consumer Discretionary

Consumer Discretionary

C-Class

March 26, 2001

75%

Health Care

Health Care

Ten Largest Holdings

(% of Total Net Assets)

50%

Apple, Inc.

11.4%

Microsoft Corp.

6.3%

Information Technology

Information Technology

Qualcomm, Inc.

5.8%

25%

Google, Inc. — Class A

4.2%

Research In Motion Ltd.

4.1%

Cisco Systems, Inc.

3.3%

0%

Other

Other

Gilead Sciences, Inc.

3.2%

OTC Fund

Nasdaq 100 Index

Intel Corp.

3.2%

“Holdings Diversification (Market Exposure as % of Net Assets)”

Oracle Corp.

3.1%

excludes any temporary cash investments.

Genzyme Corp.

2.0%

Top Ten Total

46.6%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

16

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

OTC FUND

Cumulative Fund Performance

OTC FUND A-CLASS†

NASDAQ 100 INDEX††

$16,000

$14,000

$12,388

$12,000

$11,468

$10,000

$8,000

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

OTC FUND INVESTOR CLASS

NASDAQ 100 INDEX††

$40,000

$30,000

$20,000

$14,598

$13,145

$10,000

$0

03/31/98

03/31/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

†† Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

Investor Class

Advisor Class

(02/14/94)

(09/22/98)

ONE

FIVE

TEN

ONE

FIVE

SINCE

YEAR

YEAR

YEAR

YEAR

YEAR

INCEPTION

OTC FUND

0.25%

11.03%

2.77%

-0.27%

10.46%

1.33%

NASDAQ 100 INDEX

1.04%

12.25%

4.09%

1.04%

12.25%

3.31%

A-Class

C-Class

(03/31/04)

(03/26/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

OTC FUND

-0.09%

-4.86%

4.74%

3.48%

-0.64%

-1.63%

9.88%

-1.19%

NASDAQ 100 INDEX

1.04%

1.04%

5.95%

5.95%

1.04%

1.04%

12.25%

1.18%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Nasdaq

100 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

17

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE OTC STRATEGY FUND

OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund’s

current benchmark is the inverse of the performance of the Nasdaq 100 Index.

Inception: September 3, 1998

For the one-year period ended March 31, 2008, the Nasdaq 100 Index had a return of 1.04%. The Nasdaq 100 Index

outperformed the S&P 500 Index’s -5.08%. In fact, the tech-heavy Nasdaq 100 Index was the only broad U.S. index

that had a positive return during the past year. The main driver of returns was the stellar performance of Apple Inc.,

which is also the largest stock by weight in the index. Also benefiting index performance was that no financial

stocks—which suffered during the year—are permitted in the index.

The three stocks that contributed the most to the index’s return during the period were Apple Inc., Research In

Motion Ltd. and Gilead Sciences Inc. Starbucks Corp., Sears Holding Corp. and Comcast Corp. – Class A contributed

least to the index’s performance.

As the tech-heavy Nasdaq 100 Index outperformed the broad market, Rydex Inverse OTC Strategy Fund Investor

Class performed as expected for the period, with a 1.92% return. It achieved a daily correlation of 99% to its

benchmark of the inverse of the daily price movement of the Nasdaq 100 Index.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

Investor Class

September 3, 1998

100%

Industrials

Consumer Discretionary

Advisor Class

August 1, 2003

80%

Health Care

A-Class

March 31, 2004

60%

C-Class

March 7, 2001

40%

Information Technology

The Fund invests principally in derivative

20%

Nasdaq 100 Index

Futures Contracts Short Sales

investments such as equity index swap

Other

0%

agreements, futures contracts, and

-20%

options on index futures.

-40%

Nasdaq 100 Index

Swap Agreements

-60%

Short Sales

-80%

-100%

Inverse OTC Strategy Fund

Nasdaq 100 Index

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

18

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE OTC STRATEGY FUND

Cumulative Fund Performance

INVERSE OTC STRATEGY FUND

A-CLASS†

NASDAQ 100 INDEX††

$20,000

$15,000

$12,388

$10,000

$8,446

$5,000

$0

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

INVERSE OTC STRATEGY FUND

INVESTOR CLASS

NASDAQ 100 INDEX††

$40,000

$30,000

$20,000

$14,739

$10,000

$3,203

$0

09/03/98

03/31/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

†† Data points for the line graph do not reflect the reinvestment of dividends on securities in the index.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

Investor Class

Advisor Class

(09/03/98)

(08/01/03)

ONE

FIVE

SINCE

ONE

FIVE

SINCE

YEAR

YEAR

INCEPTION

YEAR

YEAR***

INCEPTION***

INVERSE OTC STRATEGY FUND

1.92%

-9.44%

-11.21%

1.43%

-9.88%

-11.65%

NASDAQ 100 INDEX

1.04%

12.25%

4.38%

1.04%

12.25%

4.38%

A-Class

C-Class

(03/31/04)

(03/07/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

INVERSE OTC STRATEGY FUND

1.65%

-3.18%

-2.96%

-4.13%

0.85%

-0.12%

-10.37%

-3.78%

NASDAQ 100 INDEX

1.04%

1.04%

5.95%

5.95%

1.04%

1.04%

12.25%

-1.30%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

*** Represents synthetic Fund returns that are based on Investor Class performance for periods prior to August 1, 2003, adjusted for class specific

fees. Advisor Class shares were offered beginning August 1, 2003.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Nasdaq

100 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

19

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

MID-CAP 1.5x STRATEGY FUND

OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for mid-cap

securities. The Fund’s current benchmark is the S&P MidCap 400^® Index.

Inception: August 16, 2001

For the year ended March 31, 2008, the S&P MidCap 400 Index had a return of -6.97%, slightly underperforming the

large-cap S&P 500 Index’s -5.08%. The underperformance of mid-cap stocks relative to large-cap stocks was partially

driven by the S&P MidCap 400 Index’s higher weighting of cyclical consumer discretionary stocks relative to the S&P

500 Index. Further, the risk of an economic slowdown and the financial crisis drove down consumer cyclical stocks

and financial stocks within the S&P MidCap 400 Index.

The three best performing sectors were Energy, Materials and Industrials. Conversely, Telecommunication Services,

Consumer Discretionary and Financials were laggards.

Rydex Mid-Cap 1.5x Strategy Fund H-Class, which aims to deliver 1.5 times the exposure to the S&P MidCap 400

Index, performed as expected for the period, with a -18.31% return. It achieved a daily correlation of 99% to its

benchmark of 150% of the daily price movement of the S&P MidCap 400 Index.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The

apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is

described briefly on page 3 of this report.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

A-Class

March 31, 2004

150%

S&P MidCap 400

Index Swap Agreements

C-Class

August 20, 2001

H-Class

August 16, 2001

S&P MidCap 400

Index Futures Contracts

100%

Ten Largest Holdings

Materials

Utilities

(% of Total Net Assets)

Energy

Materials

Intuitive Surgical, Inc.

0.9%

Utilities

Health Care

Energy

Southwestern Energy Co.

0.9%

Consumer Discretionary

50%

Health Care

Hologic, Inc.

0.7%

Consumer Discretionary

Information Technology

Information Technology

Harris Corp.

0.7%

Industrials

Industrials

Activision, Inc.

0.7%

Financials

Financials

Other

Pride International, Inc.

0.6%

0%

Mid-Cap 1.5x Strategy Fund

S&P MidCap 400 Index

Western Digital Corp.

0.6%

Everest Re Group Ltd.

0.6%

“Holdings Diversification (Market Exposure as % of Net Assets)”

FMC Technologies, Inc.

0.6%

excludes any temporary cash investments.

Millennium Pharmaceuticals, Inc.

0.6%

Top Ten Total

6.9%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

20

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

MID-CAP 1.5x STRATEGY FUND

Cumulative Fund Performance

MID-CAP 1.5x STRATEGY FUND

A-CLASS†

S&P MIDCAP 400 INDEX

$20,000

$15,000

$13,550

$11,944

$10,000

$5,000

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

MID-CAP 1.5x STRATEGY FUND

H-CLASS

S&P MIDCAP 400 INDEX

$20,000

$16,747

$15,000

$14,288

$10,000

$5,000

08/16/01

03/31/02

03/31/03

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

(03/31/04)

(08/20/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

MID-CAP 1.5x STRATEGY

FUND

-18.29%

-22.17%

5.82%

4.54%

-18.90%

-19.67%

16.36%

5.07%

S&P MIDCAP 400 INDEX

-6.97%

-6.97%

7.89%

7.89%

-6.97%

-6.97%

15.10%

8.31%

H-Class

(08/16/01)

ONE

FIVE

SINCE

YEAR

YEAR

INCEPTION

MID-CAP 1.5x STRATEGY

FUND

-18.31%

17.22%

5.54%

S&P MIDCAP 400 INDEX

-6.97%

15.10%

8.10%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P

MidCap 400 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to

reduce its reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The

graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee

structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

21

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE MID-CAP STRATEGY FUND

OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund’s

current benchmark is the inverse of the performance of the S&P MidCap 400 Index.

Inception: February 20, 2004

For the year ended March 31, 2008, the S&P MidCap 400 Index had a return of -6.97%, slightly underperforming the

large-cap S&P 500 Index’s -5.08%. The underperformance of mid-cap stocks relative to large-cap stocks was partially

driven by the S&P MidCap 400 Index’s higher weighting of cyclical consumer discretionary stocks relative to the S&P

500 Index. Further, the risk of an economic slowdown and the financial crisis drove down consumer cyclical stocks

and financial stocks within the S&P MidCap 400 Index.

The three best performing sectors were Energy, Materials and Industrials. Conversely, Telecommunication Services,

Consumer Discretionary and Financials were laggards.

With mid-cap stocks delivering negative returns, Rydex Inverse Mid-Cap Strategy Fund H-Class performed as

expected with a 11.83% return for the period. It achieved a daily correlation of 99% to its benchmark of the inverse

of the daily price movement of the S&P MidCap 400 Index.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

A-Class

March 31, 2004

100%

Materials

C-Class

February 20, 2004

Utilities

80%

Energy

H-Class

February 20, 2004

Health Care

60%

The Fund invests principally in derivative

Consumer Discretionary

Information Technology

40%

Industrials

investments such as equity index swap

20%

S&P MidCap 400 Index

agreements, futures contracts, and

Futures Contracts Short Sales

Other

Financials

0%

options on index futures.

-20%

-40%

S&P MidCap 400 Index

Swap Agreements

-60%

Short Sales

-80%

-100%

Inverse Mid-Cap

S&P MidCap 400 Index

Strategy Fund

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

22

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE MID-CAP STRATEGY FUND

Cumulative Fund Performance

INVERSE MID-CAP STRATEGY FUND

S&P MIDCAP

A-CLASS†

400 INDEX

$20,000

$15,000

$13,550

$10,000

$8,074

$5,000

$0

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

INVERSE MID-CAP STRATEGY FUND

S&P MIDCAP

H-CLASS

400 INDEX

$20,000

$15,000

$13,723

$10,000

$8,308

$5,000

$0

02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(03/31/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

INVERSE MID-CAP STRATEGY

FUND

11.83%

6.53%

-4.05%

-5.21%

11.05%

10.05%

-5.14%

11.83%

-4.41%

S&P MIDCAP 400 INDEX

-6.97%

-6.97%

7.89%

7.89%

-6.97%

-6.97%

8.01%

-6.97%

8.01%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P MidCap

400 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

23

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND

OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark for small-

cap securities. The Fund’s current benchmark is the Russell 2000 Index.

Inception: November 1, 2000

Small-caps stocks underperformed large-cap stocks during the one-year period ending March 31, 2008. This is

reflected by the small-cap Russell 2000 Index’s -13.00% return for the one-year period versus the S&P 500 Index’s

-5.08%. The possibility of both an economic slowdown and a recession hurt small-cap stocks more than large-cap

stocks. Additionally, a reduction in overall risk tolerance across the market led to large-cap stocks being favored over

more risky small-cap stocks.

Stocks in the Energy and Oil Sectors provided the best returns in the Russell 2000 Index. Stocks in the Consumer

Discretionary, Technology and Financial sectors provided the worst returns for the period.

Fears of an economic slowdown hurt small-cap stocks during the one-year period ending March 31, 2008. Rydex

Russell 2000^® 1.5x Strategy Fund H-Class performed as expected for the period, with a -22.93% return. It achieved a

daily correlation of 99% to its benchmark of 150% of the daily price movement of the Russell 2000 Index.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The

apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is

described briefly on page 3 of this report.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

150%

A-Class

March 31, 2004

C-Class

January 23, 2001

Russell 2000 Index

Swap Agreements

H-Class

November 1, 2000

100%

Ten Largest Holdings

Russell 2000 Index

(% of Total Net Assets)

Energy

Futures Contracts

Health Care

Energy

Industrials

Hologic, Inc.

0.5%

Health Care

Consumer Discretionary

CF Industries Holdings, Inc.

0.4%

50%

Priceline.com, Inc.

0.3%

Industrials

Consumer Discretionary

Information Technology

Bucyrus International, Inc. —

Information Technology

Class A

0.3%

Financials

Financials

Exterran Holdings, Inc.

0.3%

0%

Other

Other

Russell 2000^® 1.5x

Russell 2000 Index

Nationwide Health Properties, Inc.

0.3%

Strategy Fund

Terra Industries, Inc.

0.3%

Perrigo Co.

0.3%

Whiting Petroleum Corp.

0.2%

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

BioMarin Pharmaceutical, Inc.

0.2%

Top Ten Total

3.1%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

24

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

RUSSELL 2000^® 1.5x STRATEGY FUND

Cumulative Fund Performance

RUSSELL 2000^® 1.5x STRATEGY

FUND A-CLASS†

RUSSELL 2000 INDEX

$20,000

$15,000

$12,223

$10,882

$10,000

$5,000

$0

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

RUSSELL 2000^® 1.5x STRATEGY

FUND H-CLASS

RUSSELL 2000 INDEX

$20,000

$15,000

$15,262

$12,013

$10,000

$5,000

$0

11/01/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

(03/31/04)

(01/23/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

RUSSELL 2000^® 1.5x

STRATEGY FUND

-22.98%

-26.64%

3.39%

2.14%

-23.50%

-24.27%

17.39%

2.25%

RUSSELL 2000 INDEX

-13.00%

-13.00%

5.15%

5.15%

-13.00%

-13.00%

14.90%

5.81%

H-Class

(11/01/00)

ONE

FIVE

SINCE

YEAR

YEAR

INCEPTION

RUSSELL 2000^® 1.5x

STRATEGY FUND

-22.93%

18.28%

2.51%

RUSSELL 2000 INDEX

-13.00%

14.90%

5.87%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell

2000 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

25

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

RUSSELL 2000^® FUND

OBJECTIVE: To provide investment results that match the performance of a specific benchmark on a daily basis.

The Fund’s current benchmark is the Russell 2000 Index.

Inception: May 31, 2006

Small-caps stocks underperformed large-cap stocks during the one-year period ending March 31, 2008. This is

reflected by the small-cap Russell 2000 Index’s -13.00% return for the one-year period versus the S&P 500 Index’s

-5.08%. The possibility of both an economic slowdown and a recession hurt small-cap stocks more than large-cap

stocks. Additionally, a reduction in overall risk tolerance across the market led to large-cap stocks being favored over

more risky small-cap stocks.

Stocks in the Energy and Oil Sectors provided the best returns in the Russell 2000 Index. Stocks in the Consumer

Discretionary, Technology and Financial sectors provided the worst returns for the period.

Small-cap stocks, which are generally more risky than their large-cap counterparts, suffered during the period. Rydex

Russell 2000^® Fund H-Class performed as expected for the period, with a -14.08% return.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

A-Class

May 31, 2006

Russell 2000Index

Energy

Swap Agreements

C-Class

May 31, 2006

Health Care

Russell 2000Index

H-Class

May 31, 2006

80%

Futures Contracts

Industrials

Energy

Ten Largest Holdings

60%

Health Care

Consumer Discretionary

(% of Total Net Assets)

Industrials

Hologic, Inc.

0.5%

40%

Consumer Discretionary

Information Technology

CF Industries Holdings, Inc.

0.4%

Information Technology

Bucyrus International, Inc. —

20%

Financials

Class A

0.3%

Financials

Exterran Holdings, Inc.

0.3%

Other

Other

Priceline.com, Inc.

0.3%

0%

Russell 2000^® Fund

Russell 2000 Index

Terra Industries, Inc.

0.3%

Nationwide Health Properties, Inc.

0.3%

“Holdings Diversification (Market Exposure as % of Net Assets)”

Perrigo Co.

0.2%

excludes any temporary cash investments.

Whiting Petroleum Corp.

0.2%

BioMarin Pharmaceutical, Inc.

0.2%

Top Ten Total

3.0%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

26

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

RUSSELL 2000^® FUND

Cumulative Fund Performance

RUSSELL 2000^® FUND A-CLASS†

RUSSELL 2000 INDEX

$15,000

$10,000

$9,764

$9,094

$5,000

05/31/06

09/30/06

03/31/07

09/30/07

03/31/08

RUSSELL 2000^® FUND H-CLASS

RUSSELL 2000 INDEX

$15,000

$10,000

$9,764

$9,549

$5,000

05/31/06

09/30/06

03/31/07

09/30/07

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(05/31/06)

(05/31/06)

(05/31/06)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

RUSSELL 2000^® FUND

-14.08%

-18.16%

-2.49%

-5.05%

-14.63%

-15.48%

-3.14%

-14.08%

-2.49%

RUSSELL 2000 INDEX

-13.00%

-13.00%

-1.30%

-1.30%

-13.00%

-13.00%

-1.30%

-13.00%

-1.30%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell

2000 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

27

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE RUSSELL 2000^® STRATEGY FUND

OBJECTIVE: To provide investment results that will match the performance of a specific benchmark. The Fund’s

current benchmark is the inverse of the performance of the Russell 2000 Index.

Inception: February 20, 2004

Small-caps stocks underperformed large-cap stocks during the one-year period ending March 31, 2008. This is

reflected by the small-cap Russell 2000 Index’s -13.00% return for the one-year period versus the S&P 500 Index’s

-5.08%. The possibility of both an economic slowdown and a recession hurt small-cap stocks more than large-cap

stocks. Additionally, a reduction in overall risk tolerance across the market led to large-cap stocks being favored over

more risky small-cap stocks.

Stocks in the Energy and Oil Sectors provided the best returns in the Russell 2000 Index. Stocks in the Consumer

Discretionary, Technology and Financial sectors provided the worst returns for the period.

Small-cap stocks suffered during the period due to concerns about a possible economic slowdown. Rydex Inverse

Russell 2000^® Strategy Fund is designed to perform well in this environment. The Fund’s H-Class returned 16.10% for

the period. It achieved a daily correlation of 99% to its benchmark of the inverse of the daily price movement of the

Russell 2000 Index.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

A-Class

March 31, 2004

Energy

Health Care

C-Class

February 20, 2004

80%

Industrials

H-Class

February 20, 2004

60%

Consumer Discretionary

40%

Information Technology

The Fund invests principally in short sales

20%

of securities and derivative investments

Financials

Other

0%

Other

such as equity index swap agreements,

Financials

Consumer Discretionary

Information Technology

-20%

futures contracts, and options on index

Industrials

Health Care

Energy

futures.

-40%

Russell 2000 Index Futures Contracts Short Sales

-60%

Russell 2000 Index Swap

Agreements Short Sales

-80%

-100%

Inverse Russell 2000^®

Russell 2000 Index

Strategy Fund

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

28

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE RUSSELL 2000^® STRATEGY FUND

Cumulative Fund Performance

INVERSE RUSSELL 2000^®

RUSSELL 2000

STRATEGY FUND A-CLASS†

INDEX

$20,000

$15,000

$12,223

$10,000

$8,467

$5,000

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

INVERSE RUSSELL 2000^®

RUSSELL 2000

STRATEGY FUND H-CLASS

INDEX

$20,000

$15,000

$12,460

$10,000

$8,679

$5,000

^02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(03/31/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

INVERSE RUSSELL 2000^®

STRATEGY FUND

16.11%

10.58%

-2.90%

-4.08%

15.22%

14.22%

-4.10%

16.10%

-3.39%

RUSSELL 2000 INDEX

-13.00%

-13.00%

5.15%

5.15%

-13.00%

-13.00%

5.50%

-13.00%

5.50%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Russell

2000 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to reduce its

reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are

based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

29

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

OBJECTIVE: To provide investment results that correspond to a benchmark for U.S. Government securities. The

Fund’s current benchmark is 120% of the price movement of the Long Treasury Bond. The Long Treasury Bond is the

U.S. Treasury bond with the longest maturity, which is currently 30 years.

Inception: January 3, 1994

As the year began, the 30-year bond yield was recorded at 4.84% and moved higher each time the Fed expressed

further inflationary concerns. In June, the Long Bond yield peaked at 5.40% and reverted to a gradual, yet volatile,

descent upon the eruption of the sub-prime mortgage crisis.

Sub-prime mortgage write-downs, falling home prices, home foreclosures and higher oil prices encouraged a flight

to quality. In an attempt to contain the crisis and stave off recession, the Fed lowered its target interest rate six

times, dropping it to 2.25% from 5.25%. In addition, the Fed implemented money auctions, opened the discount

window to banks and primary financial institutions and stepped up to spot JPMorgan Chase & Co. in their bailout of

Bear Stearns Cos., Inc.

Throughout the period, volatility prevailed at the long end of the curve as the market reacted alternately to positive

action by the Fed and an overriding fear of recession. At year-end, the 30-year bond closed lower at 4.29%.

Rydex Government Long Bond 1.2x Strategy Fund benefits from a falling interest rate environment. Since, the

30-year bond yield was, on average, lower, the Fund’s Investor Class adhered to its objective and closed up 15.43%.

It achieved a daily correlation of 99% to its benchmark of 120% of the daily price movement of the Long Treasury

Bond.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The

apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is

described briefly on page 3 of this report.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

120%

Investor Class

January 3, 1994

U.S. Treasury Bond

Advisor Class

August 1, 2003

Futures Contracts

100%

A-Class

March 31, 2004

C-Class

May 2, 2001

80%

The Fund invests principally in U.S.

60%

Government securities and in derivative

U.S. Treasury Obligations

investments such as futures and options

40%

contracts.

20%

0%

Government Long Bond 1.2x Strategy Fund

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

30

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

Cumulative Fund Performance

GOVERNMENT LONG

PRICE MOVEMENT

LEHMAN LONG

BOND 1.2x STRATEGY

OF LONG

TREASURY

FUND A-CLASS†

TREASURY BOND

BOND INDEX

$20,000

$15,000

$12,665

$11,707

$10,000

$9,309

$5,000

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

GOVERNMENT LONG

PRICE MOVEMENT

LEHMAN LONG

BOND 1.2x STRATEGY

OF LONG

TREASURY

FUND INVESTOR CLASS

TREASURY BOND

BOND INDEX

$25,000

$20,000

$20,421

$17,651

$15,000

$10,000

$10,178

$5,000

03/31/98

03/31/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

Investor Class

Advisor Class

(01/03/94)

(08/01/03)

ONE

FIVE

TEN

ONE

FIVE

TEN

YEAR

YEAR

YEAR

YEAR

YEAR***

YEAR***

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

15.43%

5.40%

5.85%

14.82%

4.78%

5.23%

PRICE MOVEMENT OF LONG TREASURY BOND

2.95%

-1.33%

0.18%

2.95%

-1.33%

0.18%

LEHMAN LONG TREASURY BOND INDEX

12.98%

6.16%

7.40%

12.98%

6.16%

7.40%

A-Class

C-Class

(03/31/04)

(05/02/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

15.13%

9.65%

5.29%

4.02%

14.20%

13.20%

4.29%

6.31%

PRICE MOVEMENT OF LONG TREASURY BOND

2.95%

2.95%

-1.77%

-1.77%

2.95%

2.95%

-1.33%

0.91%

LEHMAN LONG TREASURY BOND INDEX

12.98%

12.98%

6.08%

6.08%

12.98%

12.98%

6.16%

7.72%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

*** Represents synthetic Fund returns that are based on Investor Class performance for periods prior to August 1, 2003, adjusted for class specific

fees. Advisor Class shares were offered beginning August 1, 2003.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Lehman Long

Treasury Bond Index is an unmanaged bond index and, unlike the Fund, has no management fees or other operating expenses to

reduce its reported return. The price movement of the Long Treasury Bond represents a cumulative percentage change in its closing

price. Returns are historical and include changes in principal and reinvested dividends and capital gains. The graphs are based on

Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will vary due to differences in

fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

31

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

OBJECTIVE: To provide total returns that will inversely correlate to the price movements of a benchmark for U.S.

Treasury debt instruments or futures contracts on a specified debt instrument. The Fund’s current benchmark is the

inverse of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond

with the longest maturity, which is currently 30 years.

Inception: March 3, 1995

At the beginning of the year, the 30-year Treasury bond yield of 4.84% gradually moved higher, due to a pickup in

economic growth and the Fed’s concern about the level of inflation. That scenario quickly changed with the onset of

the sub-prime mortgage crisis, which led to a slowdown in the economy and the possibility of a recession. Rising oil

prices helped fuel the negative outlook.

As the sub-prime mortgage issue unfolded, housing prices fell, foreclosures increased and talk of recession

intensified, investors moved to the safety of Treasuries—leading the benchmark Long Bond yield to a volatile

decline.

The Fed lowered short-term interest rates six times, lent monetary support to JPMorgan Chase & Co. in the buyout

of Bear Stearns and encouraged banks to borrow from the discount window and lend to consumers to reignite

consumer spending and generate economic growth.

Although Fed action helped calm the markets, an uncertain outlook for the economy remained. By year-end, the

30-year bond had dropped to a yield of 4.29%.

Rydex Inverse Government Long Bond Strategy Fund benefits from a rising interest-rate environment. Since the

30-year bond yield was, on average, lower, the Fund’s Investor Class adhered to its objective and closed down 9.98%.

It achieved a daily correlation of 99% to its benchmark of -100% of the daily price movement of the Long Treasury

Bond.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

Investor Class

March 3, 1995

20%

Advisor Class

August 1, 2003

0%

A-Class

March 31, 2004

-20%

C-Class

March 28, 2001

-40%

U.S. Treasury Obligations

Short Sales

The Fund invests principally in short sales

-60%

and derivative investments such as

futures contracts, and options on index

-80%

U.S. Treasury Bond Futures

futures.

Contracts Short Sales

-100%

Inverse Government Long Bond Strategy Fund

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

32

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

Cumulative Fund Performance

INVERSE GOVERNMENT

PRICE MOVEMENT

LEHMAN LONG

LONG BOND STRATEGY

OF LONG TREASURY

TREASURY

FUND A-CLASS†

BOND

BOND INDEX

$20,000

$15,000

$12,665

$10,000

$9,309

$8,592

$5,000

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

INVERSE GOVERNMENT

PRICE MOVEMENT

LEHMAN LONG

LONG BOND STRATEGY

OF LONG TREASURY

TREASURY

FUND INVESTOR CLASS

BOND

BOND INDEX

$25,000

$20,000

$20,421

$15,000

$10,000

$10,178

$6,997

$5,000

03/31/98

03/31/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

Investor Class

Advisor Class

(03/03/95)

(08/01/03)

ONE

FIVE

TEN

ONE

FIVE

TEN

YEAR

YEAR

YEAR

YEAR

YEAR***

YEAR***

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

-9.98%

-3.23%

-3.51%

-10.39%

-3.69%

-3.96%

PRICE MOVEMENT OF LONG TREASURY BOND

2.95%

-1.33%

0.18%

2.95%

-1.33%

0.18%

LEHMAN LONG TREASURY BOND INDEX

12.98%

6.16%

7.40%

12.98%

6.16%

7.40%

A-Class

C-Class

(03/31/04)

(03/28/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

INVERSE GOVERNMENT LONG BOND

STRATEGY FUND

-10.25%

-14.53%

-2.55%

-3.72%

-10.87%

-11.73%

-4.20%

-5.81%

PRICE MOVEMENT OF LONG TREASURY BOND

2.95%

2.95%

-1.77%

-1.77%

2.95%

2.95%

-1.33%

0.39%

LEHMAN LONG TREASURY BOND INDEX

12.98%

12.98%

6.08%

6.08%

12.98%

12.98%

6.16%

7.36%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

*** Represents synthetic Fund returns that are based on Investor Class performance for periods prior to August 1, 2003, adjusted for class

specific fees. Advisor Class shares were offered beginning August 1, 2003.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Lehman

Long Treasury Bond Index is an unmanaged bond index and, unlike the Fund, has no management fees or other operating

expenses to reduce its reported return. The price movement of the Long Treasury Bond represents a cumulative percentage

change in its closing price. Returns are historical and include changes in principal and reinvested dividends and capital gains. The

graphs are based on Investor Class shares and A-Class shares only; performance for Advisor Class shares and C-Class shares will

vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

33

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

HIGH YIELD STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that correlate to the performance of the high yield bond

market.

Inception: April 16, 2007

High-yield swap spreads widened considerably during the period due to the financial crisis in the U.S. sub-prime

mortgage market. Investors’ appetite for risk declined, which led to falling high-yield bond prices. Investors required

higher yields to take on the same amount of risk.

The Fed was forced to cut its target interest rate and opened the discount window to banks and primary financial

institutions to help boost liquidity in the financial markets. Investors fled to the safety of U.S. Treasuries and drove

the yield on the five-year Treasury bond down more than 2% over the period to 2.44% as of March 31, 2008.

This environment had a negative effect on Rydex High Yield Fund, which opened on April 16, 2007. From its

inception date until March 31, 2008, the Fund’s H-Class returned -2.61%. During the same period, the Lehman

Brothers U.S. Corporate High Yield Index had a return of -4.22%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

A-Class

April 16, 2007

C-Class

April 16, 2007

CAA Rated Bonds

H-Class

April 16, 2007

75%

The Fund invests principally in derivative

BA Rated Bonds

investments such as high yield credit

High Yield Index Credit Default

50%

Swap Agreements Protection Sold

default swap agreements and futures

contracts.

25%

B Rated Bonds

Other

0%

High Yield Strategy Fund

Lehman Brothers U.S.

Corporate High Yield Index

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

34

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

HIGH YIELD STRATEGY FUND

Cumulative Fund Performance

HIGH YIELD

STRATEGY FUND

S&P 500

LEHMAN BROTHERS

A-CLASS†

INDEX

U.S. CORPORATE

HIGH YIELD INDEX

$12,000

$11,000

$10,000

$9,578

$9,290

$9,000

$9,178

$8,000

04/16/07

06/30/07

09/30/07

12/31/07

03/31/08

HIGH YIELD

STRATEGY FUND

S&P 500

LEHMAN BROTHERS

H-CLASS

INDEX

U.S. CORPORATE

HIGH YIELD INDEX

$12,000

$11,000

$10,000

$9,743

$9,578

$9,178

$9,000

$8,000

04/16/07

06/30/07

09/30/07

12/31/07

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(04/16/07)

(04/16/07)

(04/16/07)

SINCE

SINCE

SINCE

SINCE

SINCE

INCEPTION

INCEPTION*

INCEPTION

INCEPTION**

INCEPTION

HIGH YIELD STRATEGY FUND

-2.49%

-7.10%

-3.25%

-4.22%

-2.61%

S&P 500 INDEX

-8.22%

-8.22%

-8.22%

-8.22%

-8.22%

LEHMAN BROTHERS U.S.

CORPORATE HIGH YIELD INDEX

-4.22%

-4.22%

-4.22%

-4.22%

-4.22%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500

Index and the Lehman Brothers U.S. Corporate High Yield Index are unmanaged indices and, unlike the Fund, have no

management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in

principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only;

performance for C-Class shares will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

35

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE HIGH YIELD STRATEGY FUND

OBJECTIVE: Seeks to provide investment results that inversely correlate to the performance of the high yield

bond market.

Inception: April 16, 2007

High-yield swap spreads widened considerably during the period due to the financial crisis in the U.S. sub-prime

mortgage market. Investors’ appetite for risk declined, which led to falling high-yield bond prices. Investors required

higher yields to take on the same amount of risk.

The Fed was forced to cut its target interest rate and opened the discount window to banks and primary financial

institutions to help boost liquidity in the financial markets. Investors fled to the safety of U.S. Treasuries and drove

the yield on the five-year Treasury bond down more than 2% over the period to 2.44% as of March 31, 2008.

This environment helped Rydex Inverse High Yield Fund, which opened on April 16, 2007. From its inception date

until March 31, 2008, the Fund’s H-Class returned 2.76%. During the same period, the Lehman Brothers U.S.

Corporate High Yield Index had a return of -4.22%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

H-Class

April 16, 2007

CAA Rated Bonds

A-Class

April 16, 2007

80%

C-Class

April 16, 2007

60%

BA Rated Bonds

40%

The Fund invests principally in derivative

20%

B Rated Bonds

investments such as high yield credit

Other

0%

default swap agreements and futures

-20%

contracts.

-40%

High Yield Index Credit Default

Swap Agreement

-60%

Protection Purchased

-80%

-100%

Inverse High Yield

Lehman Brothers U.S.

Strategy Fund

Corporate High Yield Index

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

36

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

INVERSE HIGH YIELD STRATEGY FUND

Cumulative Fund Performance

INVERSE HIGH YIELD

STRATEGY FUND

S&P 500

LEHMAN BROTHERS

A-CLASS†

INDEX

U.S. CORPORATE

HIGH YIELD INDEX

$12,000

$11,000

$10,000

$9,743

$9,578

$9,000

$9,178

$8,000

04/16/07

06/30/07

09/30/07

12/31/07

03/31/08

INVERSE HIGH YIELD

STRATEGY FUND

S&P 500

LEHMAN BROTHERS

H-CLASS

INDEX

U.S. CORPORATE

HIGH YIELD INDEX

$12,000

$11,000

$10,252

$10,000

$9,578

$9,178

$9,000

$8,000

04/16/07

06/30/07

09/30/07

12/31/07

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(04/16/07)

(04/16/07)

(04/16/07)

SINCE

SINCE

SINCE

SINCE

SINCE

INCEPTION

INCEPTION*

INCEPTION

INCEPTION**

INCEPTION

INVERSE HIGH YIELD STRATEGY FUND

2.52%

-2.57%

2.12%

1.12%

2.76%

S&P 500 INDEX

-8.22%

-8.22%

-8.22%

-8.22%

-8.22%

LEHMAN BROTHERS U.S.

CORPORATE HIGH YIELD INDEX

-4.22%

-4.22%

-4.22%

-4.22%

-4.22%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P 500

Index and the Lehman Brothers U.S. Corporate High Yield Index are unmanaged indices and, unlike the Fund, have no

management fees or other operating expenses to reduce their reported returns. Returns are historical and include changes in

principal and reinvested dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only;

performance for C-Class shares will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

37

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

EUROPE 1.25x STRATEGY FUND

OBJECTIVE: To provide investment results that correlate to the performance of a specific benchmark. The

Fund’s current benchmark is the Dow Jones STOXX^TM 50 Index.

Inception: May 8, 2000

For the one-year period ended March 31, 2008, the Dow Jones STOXX 50 Index had a return of -15.48% in euro

currency terms and -0.14% in U.S. dollar terms. The underperformance of European stocks in euro currency terms

was mainly caused by the Dow Jones STOXX 50 Index’s higher weighting of financial and health care stocks, which

underperformed during the period.

European stocks remain more attractive than U.S. stocks on a relative valuation basis. However, European stocks that

export products to the U.S. may be hurt by reduced sales caused by the weaker U.S. dollar.

The appreciation of European currencies helped improve the index’s returns in U.S. dollar terms and led to its

outperformance against U.S. stocks with the S&P 500 Index returning -5.08% over the same period. Rydex Europe

1.25x Strategy Fund H-Class returned -4.60% during the period and achieved a daily correlation of 99% to its

benchmark of 125% of the daily price movement of the Dow Jones STOXX 50 Index.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The

apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is

described briefly on page 3 of this report.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

A-Class

March 31, 2004

125%

Dow Jones STOXX 50 Index

C-Class

May 10, 2001

Swap Agreements

H-Class

May 8, 2000

100%

Basic Materials

Energy

Ten Largest Holdings

75%

Dow Jones STOXX 50 Index

(% of Total Net Assets)

Futures Contracts

Communications

HSBC Holdings PLC — SP ADR

2.5%

Consumer, Non-Cyclical

50%

Total SA — SP ADR

2.1%

BP PLC — SP ADR

Energy

Health Care

2.0%

Communications

25%

Financials

Novartis AG — SP ADR

1.8%

Financials

Vodafone Group PLC — SP ADR

1.8%

Other

Other

Telefonica SA — SP ADR

1.7%

0%

Europe 1.25x

Dow Jones STOXX 50 Index

GlaxoSmithKline PLC — SP ADR

1.7%

Strategy Fund

Nokia Oyj — SP ADR

1.4%

Banco Santander Central

“Holdings Diversification (Market Exposure as % of Net Assets)”

Hispano SA — SP ADR

1.3%

excludes any temporary cash investments.

Royal Dutch Shell PLC — SP ADR

1.3%

Top Ten Total

17.6%

“Ten Largest Holdings” excludes any

temporary cash or derivative investments.

38

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

EUROPE 1.25x STRATEGY FUND

Cumulative Fund Performance

EUROPE 1.25x STRATEGY

DOW JONES STOXX

FUND A-CLASS†

50 INDEX

$20,000

$16,380

$15,000

$15,379

$10,000

$5,000

$0

03/31/04

03/31/05

03/31/06

03/31/07

03/31/08

EUROPE 1.25x STRATEGY

DOW JONES STOXX

FUND H-CLASS

50 INDEX

$15,000

$12,905

$10,000

$10,134

$5,000

$0

05/08/00

03/31/02

03/31/04

03/31/06

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

(03/31/04)

(05/10/01)

ONE

ONE

SINCE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

YEAR

INCEPTION

EUROPE 1.25x STRATEGY

FUND***

-4.60%

-9.12%

12.73%

11.36%

-5.28%

-6.19%

19.78%

3.39%

DOW JONES STOXX 50 INDEX

-0.14%

-0.14%

13.13%

13.13%

-0.14%

-0.14%

19.22%

6.23%

H-Class

(05/08/00)

ONE

FIVE

SINCE

YEAR

YEAR

INCEPTION

EUROPE 1.25x STRATEGY

FUND***

-4.60%

20.72%

0.17%

DOW JONES STOXX 50 INDEX

-0.14%

19.22%

3.28%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

*** The effects of compounding and currency exchange may cause the longer-term correlation of the Fund to its benchmark to diminish.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The Dow Jones

STOXX 50 Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating expenses to

reduce its reported return. Returns are historical and include changes in principal and reinvested dividends and capital gains. The

graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences in fee

structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

39

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

JAPAN 2x STRATEGY FUND

OBJECTIVE:

To provide investment results that correlate to the performance of a specific benchmark. The

Fund’s current benchmark is the 200% of the fair value of the Nikkei-225 Stock Average Index.

Inception: February 22, 2008

From February 22, 2008 through March 31, 2008, the Nikkei-225 Stock Average Index had a return of -6.52% in yen

currency terms and -0.70% in U.S. dollar terms. The appreciation of the Japanese yen helped improve the index’s

returns in U.S. dollar terms and led to its outperformance against U.S. stocks with the S&P 500 Index returning

-2.05% over the same period. Since its inception date of February 22, 2008 through March 31, 2008, Rydex Japan 2x

Strategy Fund H-Class returned 0.48% and achieved a daily correlation of 99% to its benchmark of 200% of the daily

price movement of the Nikkei-225 Stock Average Index.

The effects of compounding may cause the longer-term correlation of the Fund to its benchmark to diminish. The

apparent discrepancy between the leveraged and unleveraged indices is the result of compounding, which is

described briefly on page 3 of this report.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

200%

A-Class

February 22, 2008

C-Class

February 22, 2008

175%

H-Class

February 22, 2008

150%

The Fund invests principally in derivative

125%

Nikkei-225

Stock Average Index

investments such as equity index swap

Swap Agreements

100%

Basic Materials

agreements, futures contracts, and

Communications

Financials

options on index futures.

75%

Technology

Consumer, Non-Cyclical

50%

Nikkei-225

Consumer, Cyclical

Stock Average Index

25%

Futures Contracts

Industrials

Other

0%

Japan 2x Strategy

Nikkei-225

Fund

Stock Average Index

“Holdings Diversification (Market Exposure as % of Net Assets)”

excludes any temporary cash investments.

40

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

JAPAN 2x STRATEGY FUND

Cumulative Fund Performance

JAPAN 2x STRATEGY FUND

NIKKEI – 225 STOCK

A-CLASS†

AVERAGE INDEX

$12,000

$11,000

$10,000

$9,930

$9,570

$9,000

$8,000

02/22/08

03/01/08

03/15/08

03/31/08

JAPAN 2x STRATEGY FUND

NIKKEI – 225 STOCK

H-CLASS

AVERAGE INDEX

$12,000

$11,000

$10,000

$10,048

$9,930

$9,000

$8,000

02/22/08

03/01/08

03/15/08

03/31/08

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(02/22/08)

(02/22/08)

(02/22/08)

SINCE

SINCE

SINCE

SINCE

SINCE

INCEPTION

INCEPTION*

INCEPTION

INCEPTION**

INCEPTION

JAPAN 2x STRATEGY FUND***

0.48%

-4.30%

0.40%

-0.60%

0.48%

NIKKEI-225 STOCK AVERAGE INDEX

-0.70%

-0.70%

-0.70%

-0.70%

-0.70%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

*** The effects of compounding and currency exchange may cause the longer-term correlation of the Fund to its benchmark to diminish.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The

Nikkei-225 Stock Average Index is an unmanaged stock index and, unlike the Fund, has no management fees or other

operating expenses to reduce its reported return. Returns are historical and include changes in principal and reinvested

dividends and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares

will vary due to differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

41

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

SMALL-CAP VALUE FUND

OBJECTIVE:

To provide investment results that match the performance of a benchmark for small-cap value

securities. The Fund’s current benchmark is the S&P SmallCap 600/Citigroup Pure Value Index.

Inception: February 20, 2004

For the one-year period ended March 31, 2008, the S&P SmallCap 600/Citigroup Pure Value Index had a return of -

22.23% compared to a return of -11.01% for the S&P SmallCap 600/Citigroup Pure Growth Index.

The S&P SmallCap 600/Citigroup Pure Value Index was bested by the S&P SmallCap 600/Citigroup Pure Growth

Index due to its style score weighting and its higher concentration of growth stocks. Small-cap value stocks lagged

small-cap growth stocks over the period due to their heavier weighting in materials stocks which underperformed

during the period as well as a lower relative weighting in energy stocks which performed well during the period. The

S&P SmallCap 600/Citigroup Pure Value Index underperformed relative to the S&P SmallCap 600 Index.

After accounting for fund flows, transaction costs and fund fees, the Fund performed in line with its benchmark.

Rydex Small-Cap Value Fund H-Class produced annual returns of -24.56%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

A-Class

September 1, 2004

100%

Information Technology

Information Technology

C-Class

February 20, 2004

Utilities

Utilities

Materials

Materials

H-Class

February 20, 2004

75%

Industrials

Industrials

Ten Largest Holdings

(% of Total Net Assets)

50%

Consumer Discretionary

Consumer Discretionary

Finish Line — Class A

2.0%

LandAmerica Financial Group, Inc.

1.8%

Stein Mart, Inc.

1.7%

25%

1.7%

Financials

Financials

Bassett Furniture Industries, Inc.

Gevity HR, Inc.

1.6%

Other

Other

Wabash National Corp.

1.6%

0%

Small-Cap Value Fund

S&P SmallCap 600/Citigroup

Stewart Information Services Corp.

1.5%

Pure Value Index

La-Z-Boy, Inc.

1.5%

Flagstar Bancorp, Inc.

1.4%

“Holdings Diversification (Market Exposure as % of Net Assets)”

Georgia Gulf Corp.

1.4%

excludes any temporary cash investments.

Top Ten Total

16.2%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

42

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

SMALL-CAP VALUE FUND

Cumulative Fund Performance

SMALL-CAP VALUE

S&P SMALLCAP 600/CITIGROUP

FUND A-CLASS†

PURE VALUE INDEX

$20,000

$15,000

$12,707

$10,000

$10,330

$5,000

$0

09/01/04

03/31/05

03/31/06

03/31/07

03/31/08

SMALL-CAP VALUE

S&P SMALLCAP 600/CITIGROUP

FUND H-CLASS

PURE VALUE INDEX

$20,000

$15,000

$12,904

$10,955

$10,000

$5,000

$0

^02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(09/01/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

SMALL-CAP VALUE FUND

-24.54%

-28.12%

2.29%

0.91%

-25.12%

-25.87%

1.48%

-24.56%

2.24%

S&P SMALLCAP 600/CITIGROUP

PURE VALUE INDEX

-22.23%

-22.23%

6.92%

6.92%

-22.23%

-22.23%

6.40%

-22.23%

6.40%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P

SmallCap 600/Citigroup Pure Value Index is unmanaged stock index and, unlike the Fund, has no management fees or other

operating expenses to reduce its reported return. Returns are historical and include changes in principal and reinvested dividends

and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

43

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

MID-CAP VALUE FUND

OBJECTIVE:

To provide investment results that match the performance of the benchmark for mid-cap value

securities. The Fund’s current benchmark is the S&P MidCap 400/Citigroup Pure Value Index.

Inception: February 20, 2004

For the one-year period ended March 31, 2008, the S&P MidCap 400/Citigroup Pure Value Index had a return of -

14.88% compared to a return of -4.71% for the S&P MidCap 400/Citigroup Pure Growth Index.

The S&P MidCap 400/Citigroup Pure Value Index underperformed the S&P MidCap 400/Citigroup Pure Growth

Index due to its style score weighting and its higher concentration of growth stocks. Mid-cap value stocks

underperformed mid-cap growth stocks over the period due to a higher relative weighting in financial stocks and

utilities stocks which underperformed and a lower relative weighting in energy stocks which performed well due to

higher commodity prices. The S&P MidCap 400/Citigroup Pure Value Index underperformed relative to the S&P

MidCap 400 Index.

After accounting for fund flows, transaction costs and fund fees, the Fund performed in line with its benchmark.

Rydex Mid-Cap Value Fund H-Class produced annual returns of -16.48%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

A-Class

September 1, 2004

C-Class

Materials

Materials

February 20, 2004

Information Technology

Information Technology

H-Class

February 20, 2004

Industrials

Industrials

75%

Utilities

Utilities

Ten Largest Holdings

(% of Total Net Assets)

50%

Consumer Discretionary

Consumer Discretionary

ArvinMeritor, Inc.

2.9%

Furniture Brands International,

Inc.

2.8%

25%

Financials

Financials

Fidelity National Financial, Inc. —

Class A

2.6%

Other

Other

Ryland Group, Inc.

2.3%

0%

Mid-Cap Value Fund

S&P MidCap 400/Citigroup

Kelly Services, Inc. — Class A

2.2%

Pure Value Index

IndyMac Bancorp, Inc.

2.0%

Imation Corp.

1.7%

“Holdings Diversification (Market Exposure as % of Net Assets)”

Charming Shoppes, Inc.

1.7%

excludes any temporary cash investments.

YRC Worldwide, Inc.

1.7%

Lee Enterprises, Inc.

1.6%

Top Ten Total

21.5%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

44

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

MID-CAP VALUE FUND

Cumulative Fund Performance

MID-CAP VALUE FUND

S&P MIDCAP 400/CITIGROUP

A-CLASS†

PURE VALUE INDEX

$20,000

$15,000

$13,511

$12,018

$10,000

$5,000

$0

09/01/04

03/31/05

03/31/06

03/31/07

03/31/08

MID-CAP VALUE FUND

S&P MIDCAP 400/CITIGROUP

H-CLASS

PURE VALUE INDEX

$20,000

$15,000

$13,670

$12,403

$10,000

$5,000

$0

02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(09/01/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

MID-CAP VALUE FUND

-16.45%

-20.41%

6.72%

5.27%

-17.15%

-17.95%

4.59%

-16.48%

5.38%

S&P MIDCAP 400/CITIGROUP PURE

VALUE INDEX

-14.88%

-14.88%

8.77%

8.77%

-14.88%

-14.88%

7.90%

-14.88%

7.90%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P

MidCap 400/Citigroup Pure Value Index is an unmanaged stock index and, unlike the Fund, has no management fees or other

operating expenses to reduce its reported return. Returns are historical and include changes in principal and reinvested dividends

and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

45

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

LARGE-CAP VALUE FUND

OBJECTIVE:

To provide investment results that match the performance of a benchmark for large-cap value

securities. The Fund’s current benchmark is the S&P 500/Citigroup Pure Value Index.

Inception: February 20, 2004

For the one-year period ended March 31, 2008, the S&P 500/Citigroup Pure Value Index had a return of -18.18%

compared to a return of -4.69% for the S&P 500/Citigroup Pure Growth Index. The S&P 500/Citigroup Pure Value

Index underperformed than the S&P 500/Citigroup Pure Growth Index due to its style score weighting.

Large-cap value stocks underperformed large-cap growth stocks over the period due to a higher relative weighting

in financial stocks which were hurt from the financial crisis and as well as a lower relative weighting in energy stocks,

which benefitted from higher commodity prices. The S&P 500/Citigroup Pure Value Index underperformed relative

to the S&P 500 Index.

After accounting for fund flows, transaction costs and fund fees, the Fund performed in line with its benchmark.

Rydex Large-Cap Value Fund H-Class produced annual returns of -19.98%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

A-Class

September 1, 2004

Utilities

Utilities

C-Class

February 20, 2004

H-Class

February 20, 2004

75%

Consumer Discretionary

Consumer Discretionary

Ten Largest Holdings

(% of Total Net Assets)

50%

KB Home

2.8%

Financials

Financials

DR Horton, Inc.

2.8%

Lennar Corp. — Class A

2.5%

25%

Dillard’s, Inc. — Class A

2.0%

Other

Other

OfficeMax, Inc.

2.0%

0%

Spectra Energy Corp.

1.8%

Large-Cap Value Fund

S&P 500/Citigroup

Tyson Foods, Inc. — Class A

1.6%

Pure Value Index

Integrys Energy Group, Inc.

1.5%

Washington Mutual, Inc.

1.5%

“Holdings Diversification (Market Exposure as % of Net Assets)”

AutoNation, Inc.

1.5%

excludes any temporary cash investments.

Top Ten Total

20.0%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

46

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

LARGE-CAP VALUE FUND

Cumulative Fund Performance

LARGE-CAP VALUE FUND

S&P 500/CITIGROUP

A-CLASS†

PURE VALUE INDEX

$20,000

$15,000

$13,339

$10,000

$10,620

$5,000

$0

09/01/04

03/31/05

03/31/06

03/31/07

03/31/08

LARGE-CAP VALUE FUND

S&P 500/CITIGROUP

H-CLASS

PURE VALUE INDEX

$20,000

$15,000

$14,082

$11,006

$10,000

$5,000

$0

02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(09/01/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

LARGE-CAP VALUE FUND

-19.98%

-23.79%

3.09%

1.69%

-20.57%

-21.16%

1.60%

-19.98%

2.36%

S&P 500/CITIGROUP PURE

VALUE INDEX

-18.18%

-18.18%

8.38%

8.38%

-18.18%

-18.18%

8.69%

-18.18%

8.69%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P

500/Citigroup Pure Value Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating

expenses to reduce its reported return. Returns are historical and include changes in principal and reinvested dividends and capital

gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences

in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

47

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

SMALL-CAP GROWTH FUND

OBJECTIVE:

To provide investment results that match the performance of a benchmark for small-cap growth

securities. The Fund’s current benchmark is the S&P SmallCap 600/Citigroup Pure Growth Index.

Inception: February 20, 2004

For the one-year period ended March 31, 2008, the S&P SmallCap 600/Citigroup Pure Growth Index had a return

of -11.01% compared to a return of -22.23% for the S&P SmallCap 600/Citigroup Pure Value Index.

The S&P SmallCap 600/Citigroup Pure Growth Index outperformed the S&P SmallCap 600/Citigroup Pure Value Index

due to its style score weighting and its higher concentration of growth stocks. Small-cap growth stocks outperformed

small-cap value stocks over the period due to a higher relative weighting in energy stocks which performed well over

the period as well as a lower relative weighting in materials stocks which underperformed during the period. The S&P

SmallCap 600/Citigroup Pure Growth Index outperformed relative to the S&P SmallCap 600 Index.

After accounting for fund flows, transaction costs and fund fees, the Fund performed in line with its benchmark.

Rydex Small-Cap Growth Fund H-Class produced annual returns of -12.23%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

A-Class

September 1, 2004

Industrials

Industrials

C-Class

February 20, 2004

Financials

H-Class

February 20, 2004

Financials

Energy

Energy

75%

Ten Largest Holdings

Health Care

Health Care

(% of Total Net Assets)

50%

Mannatech, Inc.

1.5%

Information Technology

Information Technology

j2 Global Communications, Inc.

1.4%

Bankrate, Inc.

1.4%

25%

Basic Energy Services, Inc.

1.3%

Consumer Discretionary

Consumer Discretionary

Stage Stores, Inc.

1.3%

Other

Other

HealthExtras, Inc.

1.3%

0%

Small-Cap Growth Fund

S&P SmallCap 600/Citigroup

Lifecell Corp.

1.3%

Pure Growth Index

Meritage Homes Corp.

1.3%

Martek Biosciences Corp.

1.3%

“Holdings Diversification (Market Exposure as % of Net Assets)”

Wright Express Corp.

1.2%

excludes any temporary cash investments.

Top Ten Total

13.3%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

48

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

SMALL-CAP GROWTH FUND

Cumulative Fund Performance

SMALL-CAP GROWTH FUND

S&P SMALLCAP 600/CITIGROUP

A-CLASS†

PURE GROWTH INDEX

$20,000

$15,000

$13,097

$11,559

$10,000

$5,000

$0

09/01/04

03/31/05

03/31/06

03/31/07

03/31/08

SMALL-CAP GROWTH FUND

S&P SMALLCAP 600/CITIGROUP

H-CLASS

PURE GROWTH INDEX

$20,000

$15,000

$13,439

$11,863

$10,000

$5,000

$0

^02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(09/01/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

SMALL-CAP GROWTH FUND

-12.27%

-16.42%

5.56%

4.13%

-12.88%

-13.71%

3.54%

-12.23%

4.25%

S&P SMALLCAP 600/CITIGROUP

PURE GROWTH INDEX

-11.01%

-11.01%

7.83%

7.83%

-11.01%

-11.01%

7.46%

-11.01%

7.46%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P

SmallCap 600/Citigroup Pure Growth Index is an unmanaged stock index and, unlike the Fund, has no management fees or other

operating expenses to reduce its reported return. Returns are historical and include changes in principal and reinvested dividends

and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

49

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

MID-CAP GROWTH FUND

OBJECTIVE:

To provide investment results that match the performance of a benchmark for mid-cap growth

securities. The Fund’s current benchmark is the S&P MidCap 400/Citigroup Pure Growth Index.

Inception: February 20, 2004

For the one-year period ended March 31, 2008, the S&P MidCap 400/Citigroup Pure Growth Index had a return of

-4.71% compared to a return of -14.88% for the S&P MidCap 400/Citigroup Pure Value Index.

The S&P MidCap 400/Citigroup Pure Growth Index outperformed the S&P MidCap 400/Citigroup Pure Value Index

due to its style score weighting. Mid-cap growth stocks outperformed mid-cap value stocks over the period due to a

higher relative weighting in energy stocks, which benefitted from higher commodity prices as well as a lower relative

weighting in financial and utilities stocks which were hurt by the financial crisis. The S&P MidCap 400/Citigroup Pure

Growth Index outperformed relative to the S&P MidCap 400 Index.

After accounting for fund flows, transaction costs and fund fees, the Fund performed in line with its benchmark.

Rydex Mid-Cap Growth Fund H-Class produced annual returns of -6.25%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

100%

A-Class

September 1, 2004

Materials

Materials

C-Class

February 20, 2004

Energy

Energy

H-Class

February 20, 2004

75%

Industrials

Industrials

Ten Largest Holdings

Information Technology

Information Technology

(% of Total Net Assets)

50%

Encore Acquisition Co.

2.4%

Health Care

Health Care

Psychiatric Solutions, Inc.

2.0%

Cleveland-Cliffs, Inc.

1.9%

25%

NVR, Inc.

1.9%

Consumer Discretionary

Consumer Discretionary

Steel Dynamics, Inc.

1.8%

Other

Other

Digital River, Inc.

1.8%

0%

Mid-Cap Growth Fund

S&P MidCap 400/Citigroup

Aeropostale, Inc.

1.7%

Pure Growth Index

Urban Outfitters, Inc.

1.6%

Intuitive Surgical, Inc.

1.6%

“Holdings Diversification (Market Exposure as % of Net Assets)”

Jones Lang LaSalle, Inc.

1.6%

excludes any temporary cash investments.

Top Ten Total

18.3%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

50

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

MID-CAP GROWTH FUND

Cumulative Fund Performance

MID-CAP GROWTH FUND

S&P MIDCAP 400/CITIGROUP

A-CLASS†

PURE GROWTH INDEX

$20,000

$15,000

$13,691

$12,146

$10,000

$5,000

09/01/04

03/31/05

03/31/06

03/31/07

03/31/08

MID-CAP GROWTH FUND

S&P MIDCAP 400/CITIGROUP

H-CLASS

PURE GROWTH INDEX

$20,000

$15,000

$13,432

$12,207

$10,000

$5,000

02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(09/01/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

MID-CAP GROWTH FUND

-6.26%

-10.70%

7.03%

5.58%

-6.92%

-7.78%

4.20%

-6.25%

4.97%

S&P MIDCAP 400/CITIGROUP

PURE GROWTH INDEX

-4.71%

-4.71%

9.18%

9.18%

-4.71%

-4.71%

7.44%

-4.71%

7.44%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P

MidCap 400/Citigroup Pure Growth Index is an unmanaged stock index and, unlike the Fund, has no management fees or other

operating expenses to reduce its reported return. Returns are historical and include changes in principal and reinvested dividends

and capital gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to

differences in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

51

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

LARGE-CAP GROWTH FUND

OBJECTIVE:

To provide investment results that match the performance of a benchmark for large-cap growth

securities. The Fund’s current benchmark is the S&P 500/Citigroup Pure Growth Index.

Inception: February 20, 2004

For the one-year period ended March 31, 2008, the S&P 500/Citigroup Pure Growth Index had a return of -4.69%

compared to a return of -18.18% for the S&P 500/Citigroup Pure Value Index.

Large-cap growth stocks outperformed large-cap value stocks over the period due to a higher relative weighting in

energy stocks, which benefited from higher commodity prices as well as a lower relative weighting in financial stocks

(which were hurt by the financial crisis). The S&P 500/Citigroup Pure Growth Index outperformed the S&P

500/Citigroup Pure Value Index due to its style score weighting and its higher concentration of growth stocks. The

S&P 500/Citigroup Pure Growth Index outperformed the S&P 500 Index.

After accounting for fund flows, transaction costs and fund fees, the Fund performed in line with its benchmark.

Rydex Large-Cap Growth Fund H-Class produced annual returns of -6.28%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

A-Class

September 1, 2004

100%

Materials

Materials

C-Class

February 20, 2004

Consumer Staples

Consumer Staples

H-Class

February 20, 2004

Industrials

Industrials

75%

Ten Largest Holdings

Financials

Financials

Energy

Energy

(% of Total Net Assets)

50%

Sears Holdings Corp.

1.4%

Health Care

Health Care

XTO Energy, Inc.

1.4%

United States Steel Corp.

1.4%

Information Technology

Information Technology

25%

Yahoo!, Inc.

1.3%

CB Richard Ellis Group, Inc. —

Consumer Discretionary

Consumer Discretionary

Other

Class A

1.3%

0%

Zimmer Holdings, Inc.

1.3%

Large-Cap Growth Fund

S&P 500/Citigroup

Pure Growth Index

Coach, Inc.

1.3%

Nucor Corp.

1.2%

“Holdings Diversification (Market Exposure as % of Net Assets)”

EOG Resources, Inc.

1.2%

excludes any temporary cash investments.

Moody’s Corp.

1.1%

Top Ten Total

12.9%

“Ten Largest Holdings” exclude any

temporary cash or derivative investments.

52

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THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

LARGE-CAP GROWTH FUND

Cumulative Fund Performance

LARGE-CAP GROWTH FUND

S&P 500/CITIGROUP PURE

A-CLASS†

GROWTH INDEX

$15,000

$12,892

$10,000

$10,359

$5,000

09/01/04

03/31/05

03/31/06

03/31/07

03/31/08

LARGE-CAP GROWTH FUND

S&P 500/CITIGROUP PURE

H-CLASS

GROWTH INDEX

$15,000

$12,411

$10,000

$10,193

$5,000

02/20/04

03/31/05

03/31/06

03/31/07

03/31/08

03/31/04

† Initial investment has been adjusted for the maximum sales charge of 4.75%.

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

A-Class

C-Class

H-Class

(09/01/04)

(02/20/04)

(02/20/04)

ONE

ONE

SINCE

SINCE

ONE

ONE

SINCE

ONE

SINCE

YEAR

YEAR*

INCEPTION

INCEPTION*

YEAR

YEAR**

INCEPTION

YEAR

INCEPTION

LARGE-CAP GROWTH FUND

-6.28%

-10.71%

2.37%

0.99%

-7.02%

-7.94%

-0.26%

-6.28%

0.47%

S&P 500/CITIGROUP PURE

GROWTH INDEX

-4.69%

-4.69%

7.36%

7.36%

-4.69%

-4.69%

5.40%

-4.69%

5.40%

* Fund returns are calculated using the maximum sales charge of 4.75%.

** Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

The returns presented above do not reflect the effects of taxes. Past performance is no guarantee of future results. The S&P

500/Citigroup Pure Growth Index is an unmanaged stock index and, unlike the Fund, has no management fees or other operating

expenses to reduce its reported return. Returns are historical and include changes in principal and reinvested dividends and capital

gains. The graphs are based on A-Class shares and H-Class shares only; performance for C-Class shares will vary due to differences

in fee structure.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

53

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (continued)

U.S. GOVERNMENT MONEY MARKET FUND

OBJECTIVE:

To provide security of principal, high current income and liquidity by investing in securities issued

by the U.S. Government, its agencies or instrumentalities.

Inception: December 1, 1993

During the first quarter of the year, as the Fed continued to debate the risk of inflation, short-term interest rates

remained in line with longer-term rates, presenting a flat yield curve.

Once the sub-prime mortgage crisis broke in June, asset write-downs accelerated, home foreclosures increased and

oil prices surged, the risk of slow growth and possible recession prompted the Fed to drop the fed funds target rate

to 2.25% from 5.25% throughout the remainder of the year, resulting in a steepening of the yield curve.

Some money market funds came under scrutiny for holding riskier investments, e.g., structured investment vehicles

(SIVs) and asset-backed securities collateralized by sub-prime mortgages (Rydex U.S. Government Money Market

Fund holds only U.S. Treasury securities, government-sponsored enterprises (GSEs) and repurchase agreements

collateralized by U.S. Treasuries).

During the third and fourth quarters, short-term money market yields fell to levels not seen since 2004. For the year

ended March 31, 2008, the Rydex U.S. Government Money Market Fund Investor Class returned 3.76%.

Holdings Diversification (Market Exposure as % of Net Assets)

Inception Dates:

Federal Farm Credit Bank—FADN

Investor Class

December 1, 1993

100%

Advisor Class

April 1, 1998

Farmer Mac—FAB

Fannie Mae—FADN

A-Class

March 31, 2004

80%

C-Class

October 19, 2000

Federal Home Loan Bank—FADN

The Fund invests principally in money

60%

Federal Home Loan Bank—FAB

market instruments issued or guaranteed

as to principal and interest by the U.S.

Farmer Mac—FADN

40%

Government, its agencies or instrumen-

talities.

Freddie Mac—FADN

20%

Repurchase Agreements

0%

U.S. Government Money Market Fund

FAB — Federal Agency Bonds

FADN — Federal Agency Discount Notes.

54

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

PERFORMANCE REPORTS AND FUND PROFILES (Unaudited) (concluded)

U.S. GOVERNMENT MONEY MARKET FUND

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED 03/31/08

Investor Class

Advisor Class

(12/01/93)

(04/01/98)

ONE

FIVE

TEN

ONE

FIVE

SINCE

YEAR

YEAR

YEAR

YEAR

YEAR

INCEPTION

U.S. GOVERNMENT MONEY

MARKET FUND

3.76%

2.36%

2.89%

3.24%

1.94%

2.46%

A-Class

C-Class

(03/31/04)

(10/19/00)

ONE

SINCE

ONE

ONE

FIVE

SINCE

YEAR

INCEPTION

YEAR

YEAR*

YEAR

INCEPTION

U.S. GOVERNMENT MONEY

MARKET FUND

3.51%

2.66%

2.74%

1.74%

1.58%

1.52%

* Fund returns include a CDSC of 1% if redeemed within 12 months of purchase.

THE RYDEX SERIES FUNDS ANNUAL REPORT

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

|

55

55

SCHEDULE OF INVESTMENTS

March 31, 2008

NOVA FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE 1)

SHARES

(NOTE 1)

COMMON STOCKS 85.6%

Bank of New York Mellon Corp.

16,650

$

694,804

MetLife, Inc.†

11,310

681,541

INFORMATION TECHNOLOGY 13.6%

Wachovia Corp.†

18,250

492,750

Microsoft Corp.

88,530

$

2,512,481

CME Group Inc.†

1,050

492,555

Intel Corp.

69,360

1,469,045

PNC Financial Services Group,

Hewlett-Packard Co.

30,710

1,402,219

Inc.†

6,610

433,418

International Business Machines

Goldman Sachs Group, Inc.†

2,620

433,322

Corp.†

11,850

1,364,409

Capital One Financial Corp.†

8,520

419,354

Apple, Inc.*

9,130

1,310,155

Travelers Cos, Inc.

8,700

416,295

Cisco Systems, Inc.*

51,450

1,239,430

ACE Ltd.

7,450

410,197

Google, Inc. — Class A*†

2,450

1,079,151

Loews Corp.

10,120

407,026

Oracle Corp.*

50,460

986,998

BB&T Corp.†

12,360

396,262

Qualcomm, Inc.

22,410

918,810

ProLogis†

6,490

382,001

Texas Instruments, Inc.†

22,110

625,050

T. Rowe Price Group, Inc.†

7,370

368,500

Automatic Data Processing, Inc.†

10,920

462,899

Ameriprise Financial, Inc.

6,860

355,691

EMC Corp*†

26,730

383,308

U.S. Bancorp

10,380

335,897

Corning, Inc.

15,770

379,111

Public Storage, Inc.†

3,740

331,439

Nvidia Corp.*

18,460

365,323

Unum Group†

13,550

298,235

CA, Inc.

14,240

320,400

Cincinnati Financial Corp.

7,680

292,147

MEMC Electronic Materials, Inc.*

4,350

308,415

Assurant, Inc.

4,710

286,651

Electronic Data Systems Corp.

18,050

300,532

American Capital Strategies Ltd.†

8,350

285,236

Computer Sciences Corp.*†

7,290

297,359

NYSE Euronext

4,520

278,929

JDS Uniphase Corp.*†

19,910

266,595

Safeco Corp.†

6,300

276,444

Xerox Corp.†

16,260

243,412

American Express Co.

6,290

274,999

Novellus Systems, Inc.*†

11,480

241,654

Fannie Mae†

10,140

266,885

Dell, Inc.*

10,770

214,538

State Street Corp.

3,280

259,120

BMC Software, Inc.*

6,570

213,656

Federated Investors, Inc. —

Jabil Circuit, Inc.

20,710

195,917

Class B†

6,590

258,064

Adobe Systems, Inc.*

5,040

179,374

Morgan Stanley†

5,390

246,323

Akamai Technologies, Inc.*†

6,050

170,368

Genworth Financial, Inc. —

Yahoo!, Inc.*†

4,970

143,782

Class A†

10,090

228,438

eBay, Inc.*

4,340

129,506

Regions Financial Corp.†

10,130

200,067

Juniper Networks, Inc.*†

5,110

127,750

AFLAC, Inc.†

2,820

183,159

Cognizant Technology Solutions

Boston Properties, Inc.†

1,760

162,043

Corp. — Class A*

3,730

107,536

AvalonBay Communities, Inc.

1,550

149,606

Convergys Corp.*

6,220

93,673

Janus Capital Group, Inc.†

6,280

146,136

Ciena Corp.*†

2,580

79,541

Washington Mutual, Inc.†

13,160

135,548

Affiliated Computer Services,

Host Hotels & Resorts, Inc.†

8,110

129,111

Inc. — Class A*†

1,490

74,664

Merrill Lynch & Co., Inc.†

3,080

125,479

Applied Materials, Inc.

2,780

54,238

Prudential Financial, Inc.

1,360

106,420

Sun Microsystems, Inc.*†

2,900

45,037

Hudson City Bancorp, Inc.

4,360

77,085

Tellabs, Inc.*

8,130

44,309

SLM Corp.*†

3,810

58,484

LSI Logic Corp.*†

4,620

22,869

KIMCO Realty Corp.†

1,390

54,446

Tyco Electronics Ltd.

90

3,089

KeyCorp†

1,960

43,022

Broadcom Corp. — Class A*

110

2,120

Allstate Corp.

820

39,409

Total Information Technology

18,378,723

National City Corp.†

3,880

38,606

FINANCIALS 13.4%

Countrywide Financial Corp.†

3,010

16,555

Bank of America Corp.†

50,360

1,909,148

CIT Group, Inc.†

1,300

15,405

American International Group,

Bear Stearns Cos., Inc.†

1,290

13,532

Inc.

29,670

1,283,227

XL Capital Ltd.†

410

12,116

JPMorgan Chase & Co.

28,280

1,214,626

MBIA, Inc.†

890

10,876

Wells Fargo & Co.†

32,040

932,364

Fifth Third Bancorp†

370

7,740

Citigroup, Inc.

38,840

831,953

Total Financials

18,198,686

56

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

ENERGY 11.6%

Total Health Care

INDUSTRIALS 10.4%

Total Energy

HEALTH CARE 10.8%

Total Industrials

CONSUMER STAPLES 8.7%

VALUE VALUE

NOVA FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 57

March 31, 2008

PerkinElmer, Inc. 10,490 $ 254,383

Exxon Mobil Corp. 57,410 $ Celgene Corp.*† 3,930 240,870

Chevron Corp. 23,930 2,042,665 Amgen, Inc.*† 5,200 217,256

ConocoPhillips 18,870 1,438,083 Baxter International, Inc. 139,924

Schlumberger Ltd. 11,470 997,890 King Pharmaceuticals, Inc.*† 111,534

Transocean, Inc.*† 4,910 663,832 Mylan Laboratories, Inc.† 97,672

Apache Corp.† 5,375 649,407 Forest Laboratories, Inc.* 82,821

Valero Energy Corp. 10,160 498,957 Varian Medical Systems, Inc.*† 70,260

Marathon Oil Corp. 10,120 461,472 Stryker Corp. 380 24,719

Williams Cos., Inc. 13,170 434,346 AmerisourceBergen Corp.† 22,129

Murphy Oil Corp.† 4,919 404,047

Noble Corp.† 7,580 376,499

Occidental Petroleum Corp. 366,582

ENSCO International, Inc.† 324,998

Chesapeake Energy Corp.† 308,282

Rowan Cos., Inc.† 7,350 302,673

Sunoco, Inc.† 5,410 283,863

Tesoro Corp.† 8,888 266,640

National-Oilwell Varco, Inc.*† 242,861

Devon Energy Corp. 2,100 219,093

Hess Corp. 2,130 187,823

Noble Energy, Inc. 1,720 125,216

XTO Energy, Inc. 1,630 100,832

Halliburton Co.† 2,480 97,538

Anadarko Petroleum Corp. 59,248

EOG Resources, Inc.† 450 54,000

15,762,585

Parker Hannifin Corp.† 5,210 360,897

Johnson & Johnson, Inc. 2,086,868 Boeing Co. 4,660 346,564

Pfizer, Inc. 58,030 1,214,568 3M Co.† 4,280 338,762

Merck & Co., Inc. 20,550 779,872 CH Robinson Worldwide, Inc.† 325,312

Medtronic, Inc. 16,060 776,822 Cooper Industries Ltd. — Class A 319,594

Eli Lilly & Co. 13,880 716,069 Dover Corp.† 7,580 316,692

Abbott Laboratories 11,320 624,298 Cummins, Inc. 6,672 312,383

Thermo Fisher Scientific, Inc.* 480,071 RR Donnelley & Sons Co. 304,615

UnitedHealth Group, Inc. 467,983 Manitowoc Co., Inc.† 7,290 297,432

Gilead Sciences, Inc.*† 9,020 464,801 Allied Waste Industries, Inc.* 279,114

Medco Health Solutions, Inc.*† 455,854 Ryder System, Inc. 4,410 268,613

Genzyme Corp.* 5,900 439,786 Tyco International Ltd. 5,930 261,216

Aetna, Inc.† 10,400 437,736 Textron, Inc. 3,540 196,187

Becton, Dickinson & Co. 5,015 430,538 Honeywell International, Inc. 189,007

Express Scripts, Inc.* 6,260 402,643 Deere & Co. 1,580 127,095

Allergan, Inc. 7,140 402,625 Eaton Corp.† 1,180 94,011

Bristol-Myers Squibb Co. 394,689 Jacobs Engineering Group, Inc.*† 68,439

WellPoint, Inc.*† 8,420 371,575 Robert Half International, Inc. 57,658

Schering-Plough Corp. 25,130 362,123 Raytheon Co.† 700 45,227

Wyeth 7,830 326,981 Burlington Northern Santa Fe

C.R. Bard, Inc.† 3,337 321,687 Corp. 480 44,266

Laboratory Corporation of FedEx Corp. 460 42,628

America Holdings* 4,180 307,982

Hospira, Inc.*† 6,920 295,968

Biogen Idec, Inc.*† 4,710 290,560

Coventry Health Care, Inc.*† 281,239

Watson Pharmaceuticals, Inc.*† 263,294

14,658,200

General Electric Co. 94,810 3,508,918

Caterpillar, Inc.† 9,460 740,623

Emerson Electric Co. 12,260 630,900

Lockheed Martin Corp.† 569,982

General Dynamics Corp. 559,413

United Parcel Service, Inc. —

Class B 7,300 533,046

Northrop Grumman Corp. 490,203

United Technologies Corp. 455,588

Union Pacific Corp. 3,460 433,815

Illinois Tool Works, Inc.† 8,900 429,247

Norfolk Southern Corp. 7,890 428,585

Fluor Corp. 2,620 369,839

L-3 Communications Holdings,

Inc.† 3,370 368,476

14,114,347

Procter & Gamble Co. 33,200 2,326,324

Wal-Mart Stores, Inc. 28,150 1,482,942

Philip Morris International Inc.* 1,060,663

4,855,738

2,420

12,820

8,420

2,070

1,500

540

5,010

5,190

6,680

4,160

940

32,170

5,980

7,960

8,446

10,050

13,620

25,820

10,410

3,350

18,530

930

2,240

6,970

8,980

5,740

6,710

6,300

6,620

20,970

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Consumer Staples Total Consumer Discretionary

CONSUMER DISCRETIONARY 8.2% TELECOMMUNICATION SERVICES 3.4%

Total Telecommunication Services

UTILITIES 3.1%

Total Utilities

VALUE VALUE

NOVA FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

58 | See Notes to Financial Statements.

March 31, 2008

Coca-Cola Co. 16,660 $ Polo Ralph Lauren Corp.† $ 142,811

PepsiCo, Inc. 12,880 929,936 Yum! Brands, Inc.† 3,450 128,375

CVS Caremark Corp. 20,610 834,911 Big Lots, Inc.*† 5,640 125,772

Colgate-Palmolive Co. 8,050 627,175 Clear Channel Communications,

Archer-Daniels-Midland Co. 454,406 Inc. 4,300 125,646

Kroger Co.† 15,960 405,384 Leggett & Platt, Inc.† 7,950 121,238

Altria Group, Inc. 17,880 396,936 Coach, Inc.*† 3,440 103,716

Kraft Foods, Inc. — Class A† 393,207 Apollo Group, Inc. — Class A*† 90,720

Reynolds American, Inc.† 323,484 Brunswick Corp.† 4,540 72,504

Sysco Corp. 9,210 267,274 D.R. Horton, Inc.† 3,830 60,323

Tyson Foods, Inc. — Class A† 260,623 GameStop Corp. — Class A*† 59,467

Pepsi Bottling Group, Inc.† 247,204 Omnicom Group, Inc. 1,320 58,318

Walgreen Co.† 3,670 139,790 OfficeMax, Inc.† 2,580 49,381

Molson Coors Brewing Co. — Abercrombie & Fitch Co. —

Class B† 2,310 121,437 Class A 490 35,839

Anheuser-Busch Cos., Inc. 111,982 Macy’s, Inc. 1,550 35,743

SUPERVALU, INC.† 3,410 102,232 J.C. Penney Co., Inc.† 880 33,185

ConAgra Foods, Inc. 3,350 80,232 Viacom, Inc. — Class B*† 780 30,904

Safeway Inc. 2,090 61,342 Black & Decker Corp.† 450 29,745

Kimberly-Clark Corp. 700 45,185 Family Dollar Stores, Inc. 26,910

Dean Foods Co. 2,130 42,792 Harman International Industries,

Costco Wholesale Corp.† 610 39,632 Inc. 270 11,756

11,769,187 11,043,957

Walt Disney Co.† 24,490 768,496 AT&T, Inc. 67,050 2,568,015

Time Warner, Inc. 47,260 662,585 Verizon Communications, Inc. 1,079,649

Comcast Corp. — Class A† 613,658 American Tower Corp. —

Nike, Inc. — Class B† 7,530 512,040 Class A* 9,900 388,179

News Corp. — Class A† 501,937 CenturyTel, Inc.† 7,940 263,926

Johnson Controls, Inc.† 12,750 430,950 Citizens Communications Co.† 169,204

McDonald’s Corp. 7,600 423,852 Sprint Nextel Corp.† 20,680 138,349

Carnival Corp.† 10,430 422,206

Best Buy Co., Inc. 9,140 378,944

TJX Cos., Inc.† 11,420 377,659

General Motors Corp.† 17,640 336,042

Goodyear Tire & Rubber Co.*† 302,118

Whirlpool Corp.† 3,440 298,523

VF Corp.† 3,850 298,413

Genuine Parts Co. 7,370 296,421

Staples, Inc.† 13,230 292,515

Hasbro, Inc.† 9,900 276,210

Snap-On, Inc. 5,280 268,488

Amazon.com, Inc.*† 3,610 257,393

CBS Corp.† 10,840 239,347

Ford Motor Co.*† 41,380 236,694

Home Depot, Inc.† 8,420 235,507

Starwood Hotels & Resorts

Worldwide, Inc.† 4,450 230,287

Lowe’s Cos., Inc.† 9,390 215,407

Target Corp.† 3,780 191,570

Meredith Corp.† 4,370 167,152

DIRECTV Group, Inc.* 6,550 162,375

Darden Restaurants, Inc. 4,800 156,240

Starbucks Corp.* 8,490 148,575

4,607,322

Exelon Corp. 9,490 771,252

Duke Energy Corp.† 24,600 439,110

Public Service Enterprise Group,

Inc. 10,200 409,938

Consolidated Edison, Inc.† 331,495

CenterPoint Energy, Inc.† 278,693

Pepco Holdings, Inc.† 11,250 278,100

Integrys Energy Group, Inc.† 272,844

TECO Energy, Inc.† 16,440 262,218

Nicor, Inc.† 7,400 247,974

FirstEnergy Corp.† 3,510 240,856

Dynegy Inc.* 30,240 238,594

Xcel Energy, Inc. 11,950 238,403

Southern Co.† 2,560 91,162

Pinnacle West Capital Corp.† 53,672

FPL Group, Inc. 330 20,704

Dominion Resources, Inc.† 7,351

4,182,366

1,014,094

2,450

11,040

12,680

2,100

5,480

16,340

1,150

7,290

2,360

1,380

29,620

31,730

26,770

16,130

11,710

8,350

19,530

5,850

1,530

180

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

NOVA FUND

MARKET

UNREALIZED

VALUE

GAIN (LOSS)

SHARES

(NOTE 1)

CONTRACTS

(NOTE 1)

MATERIALS 2.4%

FUTURES CONTRACTS PURCHASED

Freeport-McMoRan Copper &

June 2008 S&P 500 Index

Gold, Inc.†

6,418

$

617,540

Mini Futures Contracts

Dow Chemical Co.†

15,710

578,914

(Aggregate Market Value

Monsanto Co.†

4,930

549,695

of Contracts $26,445,000)

400

$

119,155

PPG Industries, Inc.

5,538

335,104

Praxair, Inc.

3,220

271,221

UNITS

Ashland, Inc.†

5,440

257,312

EQUITY INDEX SWAP AGREEMENTS

Allegheny Technologies, Inc.†

3,290

234,774

June 2008 S&P 500 Index

E.I. du Pont de Nemours and

Swap, Terminating 06/30/08**

Co.†

4,000

187,040

(Notional Market Value

Air Products & Chemicals, Inc.

1,090

100,280

$49,103,247)

37,123

$

265,967

Alcoa, Inc.

2,100

75,726

June 2008 S&P 500 Index

Total Materials

3,207,606

Swap, Terminating 06/13/08**

Total Common Stocks

(Notional Market Value

(Cost $97,605,028)

115,922,979

$12,093,308)

9,143

(109,004)

(Total Notional Market

FACE

Value $61,196,555)

$

156,963

AMOUNT

REPURCHASE AGREEMENT 0.9%

Repurchase Agreement (Note 5)

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08††

$

1,162,090

1,162,090

Total Repurchase Agreement

(Cost $1,162,090)

1,162,090

SHARES

SECURITIES LENDING COLLATERAL 19.5%

Mount Vernon Securities

Lending Trust Prime

Portfolio (Note 8)

26,417,952

26,417,952

Total Securities Lending Collateral

(Cost $26,417,952)

26,417,952

Total Investments 106.0%

(Cost $125,185,070)

$143,503,021

Liabilities in Excess of

Other Assets – (6.0)%

$

(8,104,564)

Net Assets – 100.0%

$135,398,457

* Non-Income Producing Security.

** Price Return based on S&P 500 Index +/- financing at a variable rate.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

†† All or a portion of this security is pledged as equity index swap collateral at March 31, 2008.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

59

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 56.5%

FINANCIALS 9.5%

Total Financials

VALUE VALUE

S&P 500 FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

60 | See Notes to Financial Statements.

March 31, 2008

Boston Properties, Inc.† 520 $ 47,876

Progressive Corp. 2,970 47,728

General Growth Properties, Inc.† 44,659

Bank of America Corp.† $ 737,729 KIMCO Realty Corp. 1,110 43,479

JPMorgan Chase & Co. 638,967 Genworth Financial, Inc. —

Citigroup, Inc. 22,805 488,483 Class A† 1,900 43,016

American International Group, Hudson City Bancorp, Inc. 40,134

Inc. 11,050 477,912 Washington Mutual, Inc.† 39,892

Wells Fargo & Co.† 14,440 420,204 IntercontinentalExchange, Inc.*† 39,541

Goldman Sachs Group, Inc.† 285,298 KeyCorp 1,746 38,325

U.S. Bancorp† 7,582 245,354 Host Hotels & Resorts, Inc.† 36,457

Wachovia Corp.† 8,680 234,360 HCP, Inc. 1,020 34,486

American Express Co. 5,060 221,223 Discover Financial Services† 34,295

Morgan Stanley† 4,835 220,959 Leucadia National Corp. 740 33,463

Bank of New York Mellon Corp. 208,650 Unum Group† 1,520 33,455

MetLife, Inc.† 3,110 187,409 AvalonBay Communities, Inc.† 32,817

Merrill Lynch & Co., Inc.† 173,552 Legg Mason, Inc. 585 32,748

Prudential Financial, Inc. 1,950 152,587 Moody’s Corp.† 900 31,347

AFLAC, Inc.† 2,080 135,096 SLM Corp.*† 2,040 31,314

State Street Corp.† 1,700 134,300 Plum Creek Timber Co., Inc.

Travelers Cos, Inc. 2,720 130,152 (REIT)† 750 30,525

Allstate Corp.† 2,460 118,228 American Capital Strategies Ltd.† 28,865

Fannie Mae† 4,286 112,808 National City Corp. 2,781 27,671

CME Group Inc.† 230 107,893 Cincinnati Financial Corp. 720 27,389

Hartford Financial Services Group, M&T Bank Corp.† 340 27,363

Inc. 1,375 104,184 Marshall & Ilsley Corp.† 1,145 26,564

PNC Financial Services Group, Assurant, Inc. 420 25,561

Inc.† 1,490 97,699 Torchmark Corp. 400 24,044

Simon Property Group, Inc.† 90,401 Comerica, Inc.† 660 23,153

Lehman Brothers Holdings, Inc.† 87,325 XL Capital Ltd.† 780 23,049

SunTrust Banks, Inc.† 1,537 84,750 Developers Diversified Realty

Capital One Financial Corp.† 80,229 Corp.† 520 21,778

Chubb Corp. 1,620 80,158 Zions Bancorporation† 470 21,408

ACE Ltd. 1,450 79,837 Huntington Bancshares, Inc.† 17,157

Loews Corp. 1,930 77,625 Safeco Corp.† 390 17,113

Charles Schwab Corp. 4,105 77,297 CB Richard Ellis Group, Inc. —

BB&T Corp.† 2,390 76,623 Class A* 760 16,446

Freddie Mac 2,830 71,656 Janus Capital Group, Inc.† 15,125

NYSE Euronext 1,155 71,275 Federated Investors, Inc. —

Franklin Resources, Inc.† 690 66,923 Class B† 380 14,881

ProLogis† 1,130 66,512 Sovereign Bancorp, Inc. 1,583 14,754

Principal Financial Group, Inc.† 62,964 Apartment Investment &

Lincoln National Corp.† 1,160 60,320 Management Co. — Class A 14,324

Regions Financial Corp.† 59,941 Countrywide Financial Corp.† 13,948

T. Rowe Price Group, Inc.† 57,750 MBIA, Inc.† 920 11,242

Northern Trust Corp.† 840 55,835 CIT Group, Inc.† 840 9,954

Marsh & McLennan Cos., Inc.† 55,396 E*Trade Financial Corp.*† 7,797

Aon Corp. 1,335 53,667 First Horizon National Corp.† 7,706

Ameriprise Financial, Inc. 990 51,331 Ambac Financial Group, Inc.† 7,245

Vornado Realty Trust† 593 51,123 MGIC Investment Corp.† 520 5,476

Equity Residential† 1,180 48,958 Bear Stearns Cos., Inc.† 515 5,402

Fifth Third Bancorp† 2,333 48,806

Public Storage, Inc.† 550 48,741

8,469,462

1,170

19,460

14,877

2,270

3,873

303

1,725

2,290

2,095

5,000

340

4,260

845

973

2,320

1,630

1,596

650

1,130

400

3,035

2,536

1,155

2,275

2,020

550

1,260

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

INFORMATION TECHNOLOGY 8.9%

Total Information Technology

ENERGY 7.5%

VALUE VALUE

S&P 500 FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 61

March 31, 2008

Affiliated Computer Services,

Microsoft Corp. 35,059 $ 994,974 Inc. — Class A* 420 $ 21,046

International Business Machines Total System Services, Inc. 20,466

Corp.† 6,060 697,748 Akamai Technologies, Inc.* 20,416

Cisco Systems, Inc.* 26,110 628,990 Micron Technology, Inc.*† 19,880

Apple, Inc.* 3,850 552,475 National Semiconductor Corp. 18,137

Intel Corp. 25,360 537,125 Teradata Corp.*† 780 17,207

Hewlett-Packard Co. 10,800 493,128 Advanced Micro Devices, Inc.*† 15,609

Google, Inc. — Class A*† 445,756 LSI Logic Corp.*† 2,891 14,310

Oracle Corp.* 17,328 338,936 Molex, Inc. 610 14,128

Qualcomm, Inc. 7,060 289,460 JDS Uniphase Corp.*† 990 13,256

Dell, Inc.*† 9,817 195,555 Lexmark International, Inc.*† 12,902

Yahoo!, Inc.*† 5,860 169,530 Ciena Corp.*† 380 11,715

Corning, Inc. 6,900 165,876 Tellabs, Inc.* 1,810 9,865

Texas Instruments, Inc.† 5,810 164,249 Novell, Inc.* 1,535 9,655

eBay, Inc.* 4,880 145,619 Teradyne, Inc.* 760 9,439

EMC Corp*† 9,200 131,928 Novellus Systems, Inc.*† 441 9,283

Applied Materials, Inc. 5,930 115,694 QLogic Corp.* 590 9,057

Automatic Data Processing, Inc. 97,073 Compuware Corp.* 1,200 8,808

Motorola, Inc. 9,880 91,884 Jabil Circuit, Inc. 910 8,609

Adobe Systems, Inc.* 2,489 88,584 Convergys Corp.* 550 8,283

Tyco Electronics Ltd. 2,130 73,102 Unisys Corp.* 1,540 6,822

MEMC Electronic Materials, Inc.* 70,262

Western Union Co. 3,280 69,766

Electronic Arts, Inc.*† 1,390 69,389

Symantec Corp.*† 3,710 61,660

Xerox Corp. 4,020 60,179

Juniper Networks, Inc.*† 57,250

Sun Microsystems, Inc.*† 53,889

Paychex, Inc.† 1,410 48,307

Nvidia Corp.* 2,430 48,090

Agilent Technologies, Inc.* 47,728

Broadcom Corp. — Class A*† 39,503

Intuit, Inc.* 1,434 38,732

CA, Inc. 1,710 38,475

Analog Devices, Inc.† 1,290 38,081

Electronic Data Systems Corp. 37,129

Cognizant Technology Solutions

Corp. — Class A* 1,260 36,326

Fiserv, Inc.*† 720 34,625

Autodesk, Inc.* 1,009 31,763

VeriSign, Inc.* 930 30,913

NetApp, Inc.*† 1,498 30,035

Linear Technology Corp.† 970 29,769

Xilinx, Inc. 1,250 29,687

Computer Sciences Corp.*† 29,369

KLA-Tencor Corp. 781 28,975

Fidelity National Information

Services, Inc. 750 28,605

BMC Software, Inc.* 840 27,317

Microchip Technology, Inc.† 27,166

Altera Corp. 1,350 24,880

Citrix Systems, Inc.* 810 23,757

SanDisk Corp.*† 1,000 22,570

7,910,776

Exxon Mobil Corp. 23,440 1,982,555

Chevron Corp. 9,100 776,776

ConocoPhillips 6,840 521,276

Schlumberger Ltd. 5,245 456,315

Occidental Petroleum Corp. 263,412

Devon Energy Corp. 1,949 203,339

Transocean, Inc.*† 1,390 187,928

Apache Corp.† 1,460 176,397

Halliburton Co. 3,860 151,814

Marathon Oil Corp. 3,105 141,588

XTO Energy, Inc. 2,238 138,443

EOG Resources, Inc.† 1,080 129,600

Anadarko Petroleum Corp. 128,896

Valero Energy Corp. 2,340 114,917

Weatherford International Ltd.* 107,980

Hess Corp.† 1,220 107,580

Baker Hughes, Inc.† 1,360 93,160

Chesapeake Energy Corp.† 92,208

National-Oilwell Varco, Inc.*† 90,781

Williams Cos., Inc. 2,560 84,429

Murphy Oil Corp.† 828 68,012

Spectra Energy Corp. 2,772 63,063

Peabody Energy Corp.† 60,894

Noble Corp.† 1,177 58,462

Smith International, Inc. 880 56,522

Consol Energy, Inc.† 800 55,352

Noble Energy, Inc. 750 54,600

El Paso Corp. 3,065 51,002

Range Resources Corp. 658 41,750

Nabors Industries Ltd.* 1,230 41,537

865

725

3,330

990

2,650

1,012

420

2,290

991

2,290

3,470

1,600

2,050

2,230

720

830

3,600

2,045

1,490

1,998

1,555

1,194

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Energy

INDUSTRIALS 6.9%

Total Industrials

HEALTH CARE 6.6%

VALUE VALUE

S&P 500 FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

62 | See Notes to Financial Statements.

March 31, 2008

Cameron International Corp.*† $ 39,766 Cooper Industries Ltd. — Class A $ 30,916

ENSCO International, Inc.† 39,451 RR Donnelley & Sons Co. 935 28,340

BJ Services Co. 1,275 36,350 Terex Corp.* 440 27,500

Sunoco, Inc. 523 27,442 Manitowoc Co., Inc.† 570 23,256

Rowan Cos., Inc.† 486 20,014 Avery Dennison Corp.† 470 23,148

Tesoro Corp.† 600 18,000 W.W. Grainger, Inc.† 290 22,153

Equifax, Inc.† 570 19,654

Pall Corp. 530 18,587

Robert Half International, Inc. 17,761

Cintas Corp.† 570 16,268

Allied Waste Industries, Inc.* 15,999

Ryder System, Inc.† 250 15,228

Monster Worldwide, Inc.* 550 13,316

6,129,996

Caterpillar, Inc.† 2,730 213,732

Honeywell International, Inc. 183,647 Johnson & Johnson, Inc. 805,037

Emerson Electric Co. 3,445 177,280 Pfizer, Inc. 29,620 619,947

Deere & Co. 1,900 152,836 Abbott Laboratories 6,770 373,365

Lockheed Martin Corp.† 1,500 148,950 Merck & Co., Inc. 9,480 359,766

General Dynamics Corp. 146,731 Wyeth 5,860 244,714

Union Pacific Corp. 1,140 142,933 Medtronic, Inc. 4,920 237,980

FedEx Corp. 1,350 125,104 Eli Lilly & Co. 4,325 223,127

Raytheon Co.† 1,870 120,821 Gilead Sciences, Inc.*† 4,070 209,727

Burlington Northern Santa Fe Amgen, Inc.*† 4,760 198,873

Corp. 1,300 119,886 UnitedHealth Group, Inc. 188,293

Northrop Grumman Corp. 115,159 Bristol-Myers Squibb Co. 184,564

CSX Corp.† 1,770 99,244 Baxter International, Inc. 160,161

Tyco International Ltd. 2,120 93,386 Celgene Corp.*† 1,910 117,064

Norfolk Southern Corp. 1,650 89,628 WellPoint, Inc.* 2,370 104,588

Danaher Corp.† 1,115 84,773 Thermo Fisher Scientific, Inc.* 104,017

Illinois Tool Works, Inc.† 1,750 84,402 Schering-Plough Corp. 7,095 102,239

Waste Management, Inc. 72,825 Medco Health Solutions, Inc.* 100,279

Paccar, Inc.† 1,590 71,550 Covidien Ltd. 2,175 96,244

Precision Castparts Corp. 610 62,269 Becton, Dickinson & Co.† 91,860

Textron, Inc. 1,080 59,854 Aetna, Inc.† 2,170 91,335

L-3 Communications Holdings, Inc. 57,950 Genzyme Corp.* 1,170 87,212

Fluor Corp. 376 53,076 Cardinal Health, Inc.† 1,560 81,916

Ingersoll-Rand Co. — Class A† 53,050 Biogen Idec, Inc.* 1,300 80,197

Eaton Corp.† 640 50,989 Zimmer Holdings, Inc.* 1,020 79,417

Parker Hannifin Corp.† 725 50,221 Boston Scientific Corp.* 5,875 75,611

Expeditors International of Allergan, Inc. 1,340 75,563

Washington, Inc.† 930 42,017 Express Scripts, Inc.* 1,110 71,395

ITT Industries, Inc. 800 41,448 Stryker Corp. 1,040 67,652

Cummins, Inc. 880 41,202 McKesson Corp.† 1,268 66,405

CH Robinson Worldwide, Inc.† 40,582 St. Jude Medical, Inc.* 1,510 65,217

Rockwell Collins, Inc. 706 40,348 Forest Laboratories, Inc.* 54,414

Southwest Airlines Co.† 3,220 39,928 CIGNA Corp. 1,230 49,901

Jacobs Engineering Group, Inc.*† 39,003 C.R. Bard, Inc.† 440 42,416

Rockwell Automation, Inc.† 37,323 Laboratory Corporation of America

Dover Corp.† 840 35,095 Holdings* 480 35,366

Trane, Inc. 755 34,654 Humana, Inc.*† 740 33,196

Pitney Bowes, Inc. 920 32,218 Quest Diagnostics, Inc. 690 31,236

Masco Corp.† 1,600 31,728 Hospira, Inc.*† 685 29,297

Goodrich Corp. 550 31,630 AmerisourceBergen Corp.† 29,096

6,681,611

General Electric Co. 43,750 1,619,187

United Parcel Service, Inc. —

Class B† 4,530 330,781

United Technologies Corp. 295,926

Boeing Co. 3,350 249,139

3M Co.† 3,100 245,365

955

770

630

690

1,480

3,255

12,410

1,760

5,480

1,480

8,665

2,770

1,830

2,170

2,290

1,070

530

1,190

746

1,360

530

650

710

4,300

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Consumer Staples

CONSUMER DISCRETIONARY 4.9%

Total Health Care

CONSUMER STAPLES 6.3%

VALUE VALUE

S&P 500 FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 63

March 31, 2008

Coventry Health Care, Inc.*† $ 27,357 Whole Foods Market, Inc.† $ 20,112

Varian Medical Systems, Inc.*† 25,715 Tyson Foods, Inc. — Class A 19,140

Waters Corp.*† 440 24,508 Constellation Brands, Inc. —

Applera Corp. - Applied Biosystems Class A* 850 15,020

Group† 725 23,824 Dean Foods Co. 660 13,259

Barr Pharmaceuticals, Inc.* 22,464

Patterson Cos., Inc.* 570 20,691

IMS Health, Inc. 800 16,808

Millipore Corp.*† 240 16,178

Mylan Laboratories, Inc.† 15,428

Watson Pharmaceuticals, Inc.*† 13,194

PerkinElmer, Inc. 506 12,271

Tenet Healthcare Corp.*† 11,745

King Pharmaceuticals, Inc.* 9,396

5,908,266

Nike, Inc. — Class B† 1,670 113,560

Procter & Gamble Co. 13,480 944,544 Viacom, Inc. — Class B*† 111,332

Wal-Mart Stores, Inc. 10,345 544,975 Amazon.com, Inc.*† 1,350 96,255

Coca-Cola Co. 8,760 533,221 Johnson Controls, Inc. 2,595 87,711

PepsiCo, Inc. 7,020 506,844 Yum! Brands, Inc.† 2,080 77,397

Philip Morris International Inc.* 467,106 DIRECTV Group, Inc.* 3,120 77,345

CVS Caremark Corp. 6,270 253,998 Carnival Corp. 1,910 77,317

Kraft Foods, Inc. — Class A 208,387 Staples, Inc.† 3,070 67,878

Altria Group, Inc. 9,235 205,017 CBS Corp.† 2,975 65,688

Colgate-Palmolive Co. 2,232 173,895 Best Buy Co., Inc.† 1,535 63,641

Walgreen Co.† 4,335 165,120 Clear Channel Communications,

Anheuser-Busch Cos., Inc. 148,519 Inc. 2,175 63,553

Costco Wholesale Corp.† 123,443 TJX Cos., Inc.† 1,910 63,164

Kimberly-Clark Corp. 1,840 118,772 Omnicom Group, Inc. 1,400 61,852

Archer-Daniels-Midland Co. 116,071 Kohl’s Corp.*† 1,370 58,759

General Mills, Inc. 1,480 88,622 Starbucks Corp.* 3,199 55,982

Sysco Corp. 2,640 76,613 Ford Motor Co.*† 9,670 55,312

Kroger Co.† 2,950 74,930 International Game Technology,

Avon Products, Inc. 1,870 73,940 Inc.† 1,370 55,088

H.J. Heinz Co. 1,380 64,819 McGraw-Hill Cos., Inc. 1,410 52,100

Kellogg Co. 1,140 59,918 General Motors Corp.† 2,480 47,244

WM Wrigley Jr Co.† 950 59,698 Fortune Brands, Inc.† 670 46,565

Safeway Inc.† 1,930 56,646 Coach, Inc.*† 1,540 46,431

ConAgra Foods, Inc. 2,135 51,133 Marriott International, Inc. —

Reynolds American, Inc.† 750 44,273 Class A† 1,320 45,355

Sara Lee Corp.† 3,120 43,618 Macy’s, Inc. 1,895 43,699

UST, Inc.† 650 35,438 Starwood Hotels & Resorts

Clorox Co. 610 34,550 Worldwide, Inc.† 820 42,435

Campbell Soup Co.† 960 32,592 The Gap, Inc.† 1,990 39,163

Molson Coors Brewing Co. — Harley-Davidson, Inc.† 1,040 39,000

Class B† 600 31,542 GameStop Corp. — Class A*† 36,714

Coca-Cola Enterprises, Inc. 30,371 J.C. Penney Co., Inc.† 965 36,390

SUPERVALU, INC.† 930 27,881 Bed Bath & Beyond, Inc.*† 33,925

Hershey Co.† 736 27,725 Sears Holdings Corp.*† 320 32,669

Brown-Forman Corp. — Class B† 24,501 Mattel, Inc. 1,580 31,442

Estee Lauder Cos., Inc. — H&R Block, Inc.† 1,430 29,687

Class A† 500 22,925 VF Corp.† 380 29,454

McCormick & Co., Inc. 560 20,703 Gannett Co., Inc.† 1,010 29,341

Pepsi Bottling Group, Inc.† 20,346 Genuine Parts Co. 720 28,958

5,580,227

McDonald’s Corp. 5,050 281,638

Walt Disney Co.† 8,250 258,885

Comcast Corp. — Class A† 255,095

Time Warner, Inc. 15,670 219,693

Home Depot, Inc.† 7,385 206,558

News Corp. — Class A 10,080 189,000

Target Corp.† 3,590 181,941

Lowe’s Cos., Inc.† 6,410 147,045

678

610

549

1,200

465

1,330

450

2,075

1,080

2,810

9,235

6,720

3,130

1,900

2,820

710

1,255

1,150

370

600

13,190

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Utilities

MATERIALS 2.0%

Total Consumer Discretionary

UTILITIES 2.0%

VALUE VALUE

S&P 500 FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

64 | See Notes to Financial Statements.

March 31, 2008

Whirlpool Corp.† 330 $ 28,637 Public Service Enterprise Group,

Newell Rubbermaid, Inc. 27,673 Inc. 2,230 $ 89,624

Abercrombie & Fitch Co. — PPL Corp. 1,640 75,309

Class A 376 27,501 American Electric Power Co., Inc. 72,977

Goodyear Tire & Rubber Co.* 27,090 Edison International 1,430 70,099

Apollo Group, Inc. — Class A*† 25,920 Constellation Energy Group, Inc. 68,851

Nordstrom, Inc.† 780 25,428 Sempra Energy 1,140 60,739

Tiffany & Co.† 560 23,430 PG&E Corp.† 1,560 57,439

Limited Brands, Inc.† 1,360 23,256 AES Corp.* 2,930 48,843

Sherwin-Williams Co. 450 22,968 Progress Energy, Inc. 1,135 47,329

Eastman Kodak Co. 1,260 22,264 Consolidated Edison, Inc.† 47,243

AutoZone, Inc.* 190 21,628 Questar Corp. 760 42,986

Darden Restaurants, Inc. 630 20,507 Ameren Corp.† 905 39,856

Expedia, Inc.* 910 19,920 Xcel Energy, Inc. 1,880 37,506

D.R. Horton, Inc.† 1,200 18,900 Allegheny Energy, Inc. 725 36,613

Black & Decker Corp.† 270 17,847 DTE Energy Co.† 720 28,001

Interpublic Group of Cos., Inc.*† 17,325 Pepco Holdings, Inc. 875 21,630

Hasbro, Inc.† 620 17,298 NiSource, Inc.† 1,200 20,688

IAC/ InterActiveCorp*† 790 16,400 CenterPoint Energy, Inc.† 20,406

EW Scripps Co. — Class A† 16,384 Dynegy Inc.* 2,170 17,121

Stanley Works† 340 16,191 Pinnacle West Capital Corp.† 15,435

Wyndham Worldwide Corp. 16,130 Integrys Energy Group, Inc.† 15,391

Polo Ralph Lauren Corp.† 260 15,155 TECO Energy, Inc.† 920 14,674

Pulte Homes, Inc. 940 13,677 CMS Energy Corp.† 990 13,405

Office Depot, Inc.* 1,200 13,260 Nicor, Inc.† 200 6,702

Washington Post Co. — Class B† 13,230

Centex Corp.† 540 13,073

Snap-On, Inc. 250 12,713

Family Dollar Stores, Inc. 620 12,090

New York Times Co. — Class A 11,894

Lennar Corp. — Class A† 610 11,474

Harman International Industries,

Inc. 260 11,320

Leggett & Platt, Inc.† 730 11,133

RadioShack Corp.† 570 9,263

Big Lots, Inc.* 400 8,920

AutoNation, Inc.*† 590 8,832

Wendy’s International, Inc.† 8,763

KB HOME† 340 8,408

Liz Claiborne, Inc.† 440 7,986

Meredith Corp.† 170 6,503

OfficeMax, Inc.† 330 6,316

Brunswick Corp.† 380 6,069

Jones Apparel Group, Inc.† 5,100

Dillard’s, Inc. — Class A† 246 4,234

4,354,371

Eastman Chemical Co. 350 21,858

Exelon Corp. 2,900 235,683 MeadWestvaco Corp.† 760 20,687

Southern Co.† 3,350 119,293 Ball Corp.† 430 19,754

FPL Group, Inc. 1,780 111,677 Sealed Air Corp.† 710 17,928

Dominion Resources, Inc.† 102,917 International Flavors & Fragrances,

Duke Energy Corp.† 5,525 98,621 Inc. 350 15,418

Entergy Corp. 840 91,627 Pactiv Corp.* 570 14,940

FirstEnergy Corp.† 1,335 91,608 Ashland, Inc.† 250 11,825

1,820,293

Monsanto Co.† 2,400 267,600

E.I. du Pont de Nemours and Co. 184,234

Freeport-McMoRan Copper &

Gold, Inc.† 1,680 161,650

Dow Chemical Co.† 4,120 151,822

Alcoa, Inc. 3,570 128,734

Praxair, Inc. 1,370 115,395

Newmont Mining Corp.† 89,920

Air Products & Chemicals, Inc. 86,480

Nucor Corp.† 1,260 85,352

United States Steel Corp. 520 65,972

Weyerhaeuser Co.† 920 59,837

International Paper Co. 1,870 50,864

PPG Industries, Inc. 720 43,567

Sigma-Aldrich Corp. 565 33,702

Ecolab, Inc. 760 33,007

Allegheny Technologies, Inc.† 31,398

Vulcan Materials Co.† 470 31,208

Rohm & Haas Co.† 550 29,744

1,210

1,753

1,050

600

780

1,190

2,060

1,430

390

440

780

330

20

630

380

380

2,520

3,940

1,985

940

440

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

S&P 500 FUND

MARKET

UNREALIZED

VALUE

GAIN (LOSS)

SHARES

(NOTE 1)

CONTRACTS

(NOTE 1)

Bemis Co.†

440

$

11,189

FUTURES CONTRACTS PURCHASED

Hercules, Inc.

500

9,145

June 2008 S&P 500 Index

Titanium Metals Corp.

430

6,472

Mini Futures Contracts

Total Materials

1,799,702

(Aggregate Market Value

TELECOMMUNICATION SERVICES 1.9%

of Contracts $37,816,350)

572

$

539,307

AT&T, Inc.

26,435

1,012,460

Verizon Communications, Inc.†

12,575

458,359

UNITS

Sprint Nextel Corp.†

12,480

83,491

EQUITY INDEX SWAP AGREEMENTS

American Tower Corp. — Class A*

1,770

69,402

June 2008 S&P 500 Index Swap,

Qwest Communications

Terminating 06/30/08**

International, Inc.†

6,730

30,487

(Notional Market Value

Embarq Corp.

670

26,867

$614,845)

465

$

3,330

Windstream Corp.†

1,990

23,780

June 2008 S&P 500 Index Swap,

CenturyTel, Inc.†

470

15,623

Terminating 06/13/08**

Citizens Communications Co.†

1,435

15,053

(Notional Market Value

Total Telecommunication Services

1,735,522

$561,875)

425

(1,158)

Total Common Stocks

(Total Notional Market

(Cost $49,422,476)

50,390,226

Value $1,176,720)

$

2,172

FACE

AMOUNT

REPURCHASE AGREEMENTS 39.9%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$20,411,021

20,411,021

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08††

10,961,130

10,961,130

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

4,252,296

4,252,296

Total Repurchase Agreements

(Cost $35,624,447)

35,624,447

SHARES

SECURITIES LENDING COLLATERAL 9.5%

Mount Vernon Securities

Lending Trust Prime

Portfolio (Note 8)

8,443,950

8,443,950

Total Securities Lending Collateral

(Cost $8,443,950)

8,443,950

Total Investments 105.9%

(Cost $93,490,873)

$94,458,623

Liabilities in Excess of

Other Assets – (5.9)%

$ (5,301,667)

Net Assets – 100.0%

$89,156,956

* Non-Income Producing Security.

** Price Return based on S&P 500 Index +/- financing at a variable rate.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

†† All or a portion of this security is pledged as equity index swap collateral at March 31, 2008.

REIT — Real Estate Investment Trust.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

65

SCHEDULE OF INVESTMENTS

March 31, 2008

INVERSE S&P 500 STRATEGY FUND

MARKET

UNREALIZED

FACE

VALUE

LOSS

AMOUNT

(NOTE 1)

CONTRACTS

(NOTE 1)

FEDERAL AGENCY DISCOUNT NOTES 70.8%

FUTURES CONTRACTS SOLD SHORT

Federal Home Loan Bank*

June 2008 S&P 500 Index

2.05% due 06/23/08

$50,000,000

$

49,763,681

Mini Futures Contracts

2.80% due 04/23/08

25,000,000

24,957,222

(Aggregate Market Value

Freddie Mac*

of Contracts $75,963,263)

1,149

$

(887,003)

2.68% due 04/04/08

50,000,000

49,988,833

2.16% due 06/09/08

25,000,000

24,896,500

UNITS

2.74% due 07/28/08

25,000,000

24,775,472

EQUITY INDEX SWAP AGREEMENTS

2.12% due 07/01/08

21,000,000

20,887,463

SOLD SHORT

Total Federal Agency Discount Notes

June 2008 S&P 500 Index

(Cost $195,269,171)

195,269,171

Swap, Terminating 06/13/08**

(Notional Market Value

REPURCHASE AGREEMENTS 24.2%

$91,797,574)

69,402

$

(324,102)

Repurchase Agreements (Note 5)

June 2008 S&P 500 Index

Mizuho Financial Group, Inc.

Swap, Terminating 06/30/08**

issued 03/31/08 at 1.30%

(Notional Market Value

due 04/01/08

32,766,760

32,766,760

$106,370,464)

80,419

(577,889)

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

(Total Notional Market

due 04/01/08†

27,052,708

27,052,708

Value $198,168,038)

$

(901,991)

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

6,826,408

6,826,408

Total Repurchase Agreements

(Cost $66,645,876)

66,645,876

Total Investments 95.0%

(Cost $261,915,047)

$261,915,047

Other Assets in Excess

of Liabilities – 5.0%

$

13,903,782

Net Assets – 100.0%

$275,818,829

* The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the

U.S. Government.

** Price Return based on S&P 500 Index +/- financing at a variable rate.

† All or a portion of this security is pledged as equity index swap collateral at March 31, 2008.

66

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 97.4%

INFORMATION TECHNOLOGY 62.0%

HEALTH CARE 15.4%

Total Health Care

CONSUMER DISCRETIONARY 12.4%

Total Consumer Discretionary

VALUE VALUE

Total Information Technology

OTC FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 67

March 31, 2008

Telefonaktiebolaget LM

Ericsson — SP ADR† 16,120 $ 316,758

402,969,515

Microsoft Corp. 1,447,539 41,081,157

Qualcomm, Inc. 925,310 37,937,710

Google, Inc. — Class A*† 27,265,093

Research In Motion Ltd.*† 26,772,466

Cisco Systems, Inc.* 893,980 21,535,978

Intel Corp. 983,000 20,819,940

Oracle Corp.* 1,023,850 20,026,506

eBay, Inc.* 394,032 11,757,915

Adobe Systems, Inc.* 245,150 8,724,888

Yahoo!, Inc.*† 226,006 6,538,354

Applied Materials, Inc.† 6,288,853

Symantec Corp.*† 363,994 6,049,580

Nvidia Corp.* 304,460 6,025,263

Flextronics International Ltd.*† 5,635,784

Dell, Inc.*† 267,790 5,334,377

Xilinx, Inc.† 218,370 5,186,287

Paychex, Inc.† 145,450 4,983,117

Check Point Software

Technologies Ltd.*† 203,990 4,569,376

Lam Research Corp.*† 118,410 4,525,630

Cognizant Technology

Solutions Corp. — Class A*† 4,085,153

Juniper Networks, Inc.*† 3,991,000

Electronic Arts, Inc.*† 78,660 3,926,707

Activision, Inc.*† 140,060 3,825,039

Sun Microsystems, Inc.*† 3,389,267

Intuit, Inc.* 125,450 3,388,405

Broadcom Corp. — Class A*† 3,275,958

NetApp, Inc.*† 159,970 3,207,399

Altera Corp.† 168,540 3,106,192

Akamai Technologies, Inc.*† 2,737,434

Baidu.com — SP ADR*† 2,626,345

Citrix Systems, Inc.* 87,901 2,578,136

Fiserv, Inc.*† 46,680 2,244,841

Marvell Technology Group

Ltd.*† 191,220 2,080,474

KLA-Tencor Corp.† 51,130 1,896,923

Autodesk, Inc.* 55,760 1,755,325

Cadence Design Systems,

Inc.*† 159,640 1,704,955

Microchip Technology, Inc.† 1,526,527

Linear Technology Corp.† 1,376,447

SanDisk Corp.*† 60,400 1,363,228

Infosys Technologies Ltd. —

SP ADR† 34,200 1,223,334

Tellabs, Inc.*† 142,700 777,715

BEA Systems, Inc.* 32,050 613,758

VeriSign, Inc.*† 16,400 545,136

Apple, Inc.* 518,110 $

Gilead Sciences, Inc.*† 20,988,014

Genzyme Corp.*† 172,763 12,877,754

Teva Pharmaceutical Industries

Ltd. — SP ADR† 244,780 11,306,388

Celgene Corp.*† 168,571 10,331,717

Biogen Idec, Inc.*† 147,540 9,101,743

Amgen, Inc.*† 172,390 7,202,454

Express Scripts, Inc.*† 107,075 6,887,064

Intuitive Surgical, Inc.*† 5,497,733

Hologic, Inc.* 82,757 4,601,289

Henry Schein, Inc.*† 79,730 4,576,502

DENTSPLY International, Inc.† 3,608,328

Patterson Cos., Inc.*† 45,970 1,668,711

Amylin Pharmaceuticals, Inc.*† 535,711

Cephalon, Inc.*† 6,880 443,072

Sepracor, Inc.*† 9,290 181,341

99,807,821

Comcast Corp. — Class A† 12,393,265

Amazon.com, Inc.*† 120,960 8,624,448

Starbucks Corp.*† 441,288 7,722,540

Sears Holdings Corp.*† 6,115,191

Staples, Inc.† 263,990 5,836,819

Wynn Resorts Ltd.† 52,020 5,235,293

Garmin Ltd.† 93,820 5,067,218

DISH Network Corp. —

Class A*† 162,170 4,659,144

Bed Bath & Beyond, Inc.*† 3,868,335

Apollo Group, Inc. —

Class A*† 80,222 3,465,590

Liberty Media Corp -

Interactive* 200,520 3,236,393

IAC/InterActiveCorp*† 2,932,558

Liberty Global, Inc. —

Class A*† 79,460 2,707,997

Expedia, Inc.*† 119,320 2,611,915

Sirius Satellite Radio, Inc.*† 1,893,480

Focus Media Holding —

SP ADR*† 44,220 1,554,333

Virgin Media, Inc.† 91,190 1,283,043

Petsmart, Inc.† 35,300 721,532

Ross Stores, Inc.† 11,070 331,657

80,260,751

61,900

238,550

322,340

600,190

141,698

159,640

218,240

170,003

97,210

10,960

46,640

44,850

74,348,785

407,297

16,950

93,480

18,340

640,810

59,900

131,130

141,260

662,056

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

OTC FUND

MARKET

MARKET

VALUE

FACE

VALUE

SHARES

(NOTE 1)

AMOUNT

(NOTE 1)

INDUSTRIALS 4.5%

REPURCHASE AGREEMENTS 3.0%

CH Robinson Worldwide, Inc.†

116,450

$

6,334,880

Repurchase Agreements (Note 5)

Paccar, Inc.†

138,570

6,235,650

Mizuho Financial Group, Inc.

Foster Wheeler Ltd.*†

64,240

3,637,269

issued 03/31/08 at 1.30%

Fastenal Co.†

72,959

3,351,007

due 04/01/08

$ 10,894,145

$

10,894,145

UAL Corp.†

124,948

2,690,131

Lehman Brothers Holdings, Inc.

Joy Global, Inc.†

25,790

1,680,476

issued 03/31/08 at 1.15%

Ryanair Holdings PLC —

due 04/01/08††

6,427,101

6,427,101

SP ADR*†

48,090

1,359,985

Morgan Stanley

Expeditors International of

issued 03/31/08 at 1.35%

Washington, Inc.†

28,050

1,267,299

due 04/01/08

2,269,613

2,269,613

Stericycle, Inc.*†

24,250

1,248,875

Total Repurchase Agreements

Monster Worldwide, Inc.*†

29,380

711,290

(Cost $19,590,859)

19,590,859

Cintas Corp.†

19,950

569,373

Total Industrials

29,086,235

SHARES

TELECOMMUNICATION SERVICES 1.5%

SECURITIES LENDING COLLATERAL 30.3%

Millicom International Cellular

Mount Vernon Securities

SA*†

39,980

3,780,109

Lending Trust Prime

NII Holdings, Inc. — Class B*†

98,650

3,135,097

Portfolio (Note 8)

196,292,630

196,292,630

Leap Wireless International,

Total Securities Lending Collateral

Inc. — Class B*†

32,180

1,499,588

(Cost $196,292,630)

196,292,630

Level 3 Communications, Inc.*†

643,050

1,363,266

Total Investments 130.7%

Total Telecommunication Services

9,778,060

(Cost $602,826,959)

$ 848,595,604

CONSUMER STAPLES 1.1%

Liabilities in Excess of

Costco Wholesale Corp.†

69,980

4,546,601

Other Assets – (30.7)%

$(199,101,283)

Whole Foods Market, Inc.†

53,370

1,759,609

Net Assets – 100.0%

$ 649,494,321

Hansen Natural Corp.*†

23,320

823,196

Total Consumer Staples

7,129,406

UNREALIZED

GAIN (LOSS)

MATERIALS 0.3%

CONTRACTS

(NOTE 1)

Steel Dynamics, Inc.

46,600

1,539,664

Sigma-Aldrich Corp.†

8,860

528,499

FUTURES CONTRACTS PURCHASED

June 2008 Nasdaq 100 Index

Total Materials

2,068,163

Mini Futures Contracts

ENERGY 0.2%

(Aggregate Market Value

Patterson-UTI Energy, Inc.†

61,580

1,612,164

of Contracts $7,143,000)

200

$

(37,789)

Total Energy

1,612,164

Total Common Stocks

UNITS

(Cost $386,943,470)

632,712,115

EQUITY INDEX SWAP AGREEMENTS

June 2008 Nasdaq 100 Index

Swap, Terminating 06/13/08**

(Notional Market Value

$6,469,820)

3,631

$

102,973

June 2008 Nasdaq 100 Index

Swap, Terminating 06/30/08**

(Notional Market Value

$3,187,683)

1,789

23,377

(Total Notional Market

Value $9,657,503)

$

126,350

* Non-Income Producing Security.

** Price Return based on Nasdaq 100 Index +/- financing at a variable rate.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

†† All or a portion of this security is pledged as equity index swap collateral at March 31, 2008.

ADR — American Depository Receipt.

68

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS

March 31, 2008

INVERSE OTC STRATEGY FUND

MARKET

FACE

VALUE

AMOUNT

(NOTE 1)

REPURCHASE AGREEMENTS 99.6%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$38,038,453

$38,038,453

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08†

26,749,963

26,749,963

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

7,924,678

7,924,678

Total Repurchase Agreements

(Cost $72,713,094)

72,713,094

Total Investments 99.6%

(Cost $72,713,094)

$72,713,094

Other Assets in Excess

of Liabilities – 0.4%

$

266,350

Net Assets – 100.0%

$72,979,444

UNREALIZED

LOSS

CONTRACTS

(NOTE 1)

FUTURES CONTRACTS SOLD SHORT

June 2008 Nasdaq 100 Index

Mini Futures Contracts

(Aggregate Market Value

of Contracts $2,000,040)

56

$

(31,419)

UNITS

EQUITY INDEX SWAP AGREEMENTS

SOLD SHORT

June 2008 Nasdaq 100 Index

Swap, Terminating 06/30/08*

(Notional Market Value

$10,257,475)

5,756

$

(80,655)

June 2008 Nasdaq 100 Index

Swap, Terminating 06/13/08*

(Notional Market Value

$60,794,068)

34,117

(1,017,691)

(Total Notional Market

Value $71,051,543)

$ (1,098,346)

* Price Return based on Nasdaq 100 Index +/- financing at a variable rate.

† All or a portion of this security is pledged as equity index swap collateral at March 31, 2008.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

69

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 73.1%

FINANCIALS 11.3%

Total Financials

INDUSTRIALS 11.3%

VALUE VALUE

MID-CAP 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

70 | See Notes to Financial Statements.

March 31, 2008

City National Corp. 280 $ 13,849

Apollo Investment Corp.† 10,290

BRE Properties, Inc. — Class A† 9,568

Everest Re Group Ltd. 1,510 $ 135,191 Radian Group, Inc.† 1,080 7,096

W.R. Berkley Corp. 4,120 114,083 UDR, Inc.† 270 6,620

Health Care REIT, Inc.† 2,370 106,958 Jefferies Group, Inc.† 340 5,484

Hospitality Properties Trust† 94,576 Rayonier, Inc.† 120 5,213

Nationwide Health Properties, FirstMerit Corp.† 150 3,099

Inc.† 2,620 88,425 First Community Bancorp 110 2,954

HCC Insurance Holdings, Inc. 85,768 Astoria Financial Corp. 40 1,086

Realty Income Corp.† 3,320 85,059

Macerich Co.† 1,160 81,513

Hanover Insurance Group, Inc.† 81,046

American Financial Group, Inc.† 73,102

Eaton Vance Corp.† 2,300 70,173

SVB Financial Group*† 1,560 68,078

Mack-Cali Realty Corp. 1,670 59,636

Fidelity National Financial, Inc. —

Class A† 3,170 58,106

Weingarten Realty Investors† 57,170

Alexandria Real Estate Equities,

Inc.† 600 55,632

Liberty Property Trust 1,760 54,754

Cullen/Frost Bankers, Inc.† 53,040

Duke Realty Corp.† 2,320 52,919

Jones Lang LaSalle, Inc.† 670 51,818

Camden Property Trust 1,000 50,200

New York Community Bancorp,

Inc.† 2,680 48,830

Waddell & Reed Financial, Inc. —

Class A 1,440 46,267

Old Republic International

Corp.† 3,540 45,701

Stancorp Financial Group, Inc. 44,847

Cathay General Bancorp† 43,118

Raymond James Financial, Inc.† 42,743

Regency Centers Corp.† 650 42,094

First American Corp.† 1,240 42,086

Federal Realty Investment Trust 40,534

Synovus Financial Corp.† 40,369

Highwoods Properties, Inc. 38,216

AMB Property Corp.† 660 35,917

Unitrin, Inc. 980 34,633

Colonial BancGroup, Inc.† 34,379

Webster Financial Corp.† 31,772

Wilmington Trust Corp.† 990 30,789

Washington Federal, Inc.† 29,920

First Niagara Financial Group, Inc. 25,277

TCF Financial Corp.† 1,200 21,504

Potlatch Corp.† 490 20,222

Horace Mann Educators Corp. 19,403

SEI Investments Co. 620 15,308

AmeriCredit Corp.*† 1,520 15,306

Associated Banc-Corp.† 570 15,179

The PMI Group, Inc.† 2,500 14,550

2,461,470

Roper Industries, Inc.† 1,830 108,775

AGCO Corp.*† 1,740 104,191

Manpower, Inc. 1,780 100,143

Fastenal Co.† 2,180 100,127

SPX Corp. 950 99,655

Kansas City Southern*† 2,470 99,072

Brink’s Co. 1,470 98,755

Pentair, Inc. 2,990 95,381

Harsco Corp. 1,640 90,823

Oshkosh Truck Corp.† 2,430 88,160

URS Corp.*† 2,690 87,936

Flowserve Corp. 800 83,504

Kennametal, Inc.† 2,790 82,110

Carlisle Cos., Inc. 2,210 73,902

AMETEK, Inc. 1,630 71,573

IDEX Corp. 2,210 67,825

Lincoln Electric Holdings, Inc. 66,425

Joy Global, Inc.† 970 63,205

BE Aerospace, Inc.* 1,710 59,764

Con-way, Inc.† 1,160 57,397

Alliant Techsystems, Inc.*† 56,942

Herman Miller, Inc.† 2,220 54,545

Corrections Corporation of

America* 1,960 53,939

Trinity Industries, Inc.† 2,020 53,833

HNI Corp.† 1,970 52,973

KBR Inc. 1,860 51,578

Copart, Inc.* 1,130 43,799

Quanta Services, Inc.*† 1,810 41,938

Stericycle, Inc.*† 770 39,655

Crane Co. 930 37,526

Dun & Bradstreet Corp. 350 28,483

Republic Services, Inc. 920 26,901

Timken Co.† 890 26,451

Deluxe Corp.† 1,210 23,244

United Rentals, Inc.* 1,140 21,478

Hubbell, Inc. — Class B 440 19,224

AirTran Holdings, Inc.*† 2,610 17,226

Wabtec Corp.† 430 16,194

J.B. Hunt Transport Services, Inc. 11,943

MSC Industrial Direct Co. —

Class A 220 9,295

650

210

2,780

3,780

1,970

2,860

1,660

1,000

940

2,080

1,860

520

3,650

1,230

3,570

1,140

1,310

1,860

1,110

1,030

550

380

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Information Technology

CONSUMER DISCRETIONARY 9.8%

Total Industrials

INFORMATION TECHNOLOGY 10.7%

VALUE VALUE

MID-CAP 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 71

March 31, 2008

Granite Construction, Inc. 270 $ 8,832 Tech Data Corp.* 230 $ 7,544

Korn/Ferry International, Inc.* 8,788 DST Systems, Inc.*† 110 7,231

Corporate Executive Board Co. 7,286 Advent Software, Inc.* 90 3,836

ChoicePoint, Inc.* 150 7,140 Dycom Industries, Inc.*† 260 3,123

Federal Signal Corp. 500 6,980 NeuStar, Inc.*† 40 1,059

Avis Budget Group, Inc.* 570 6,053

YRC Worldwide, Inc.*† 450 5,904

Donaldson Co., Inc.† 110 4,431

GATX Corp.† 70 2,735

2,444,039

Service Corporation International† 83,959

Harris Corp. 3,150 152,869 Ross Stores, Inc.† 2,670 79,993

Activision, Inc.*† 5,180 141,466 Urban Outfitters, Inc.*† 2,550 79,942

Western Digital Corp.*† 5,010 135,470 Phillips-Van Heusen Corp.† 72,048

Avnet, Inc.* 3,850 126,010 Gentex Corp.† 4,090 70,143

Lam Research Corp.* 3,140 120,011 Toll Brothers, Inc.* 2,920 68,562

Arrow Electronics, Inc.*† 113,400 Chipotle Mexican Grill, Inc. —

Synopsys, Inc.* 4,370 99,243 Class A*† 600 68,058

Amphenol Corp. — Class A† 87,910 American Eagle Outfitters, Inc.† 60,585

Sybase, Inc.* 3,180 83,634 Callaway Golf Co.† 4,090 60,041

Jack Henry & Associates, Inc.† 78,451 CarMax, Inc.*† 2,860 55,541

National Instruments Corp. 69,271 Scholastic Corp.* 1,790 54,183

MPS Group, Inc.*† 5,660 66,901 Bob Evans Farms, Inc.† 1,960 54,076

Intersil Corp. — Class A 2,540 65,202 NVR, Inc.* 90 53,775

SRA International, Inc. — Class A*† 63,935 Dick’s Sporting Goods, Inc.*† 47,401

Integrated Device Technology, DeVry, Inc.† 1,110 46,442

Inc.* 6,760 60,367 Rent-A-Center, Inc.*† 2,430 44,590

Cypress Semiconductor Corp.*† 58,081 Lear Corp.* 1,700 44,047

Alliance Data Systems Corp.* 57,962 Sotheby’s† 1,470 42,498

Cadence Design Systems, Inc.*† 57,779 Guess?, Inc.† 1,000 40,470

CommScope, Inc.*† 1,580 55,031 American Greetings Corp. —

ADC Telecommunications, Inc.*† 54,360 Class A 2,160 40,068

Polycom, Inc.*† 2,220 50,039 International Speedway Corp. —

Global Payments, Inc.† 1,110 45,910 Class A 930 38,316

Vishay Intertechnology, Inc.* 42,673 Ryland Group, Inc.† 1,140 37,495

ValueClick, Inc.*† 2,430 41,917 Aeropostale, Inc.*† 1,300 35,243

NCR Corp.* 1,780 40,637 Petsmart, Inc.† 1,570 32,091

International Rectifier Corp.*† 39,990 Brinker International, Inc.† 30,422

McAfee, Inc.* 1,090 36,068 Dollar Tree, Inc.*† 1,070 29,521

Zebra Technologies Corp. — Tupperware Brands Corp.† 28,236

Class A*† 960 31,987 Foot Locker, Inc.† 2,360 27,777

Diebold, Inc. 730 27,411 Netflix, Inc.*† 800 27,720

Broadridge Financial Solutions, Inc. 27,104 Strayer Education, Inc.† 170 25,925

Plantronics, Inc. 1,380 26,648 Belo Corp. — Class A† 2,410 25,474

F5 Networks, Inc.*† 1,340 24,348 ITT Educational Services, Inc.* 23,424

CSG Systems International, Inc.* 17,282 Barnes & Noble, Inc.† 710 21,762

Macrovision Corp.*† 1,240 16,740 Life Time Fitness, Inc.*† 670 20,911

Imation Corp.† 720 16,373 O’Reilly Automotive, Inc.* 20,249

Foundry Networks, Inc.*† 13,201 Valassis Communications, Inc.*† 19,856

Cree, Inc.*† 460 12,862 AnnTaylor Stores Corp.*† 760 18,377

Acxiom Corp. 1,030 12,226 Collective Brands, Inc.*† 17,332

Avocent Corp.*† 690 11,661 Mohawk Industries, Inc.*† 17,186

Fair Isaac Corp.† 380 8,178 Chico’s FAS, Inc.*† 2,290 16,282

Digital River, Inc.* 250 7,743 ArvinMeritor, Inc.† 1,180 14,762

2,321,144

BorgWarner, Inc. 2,740 117,902

Hanesbrands, Inc.*† 3,170 92,564

Advance Auto Parts, Inc. 90,573

520

180

8,280

1,900

3,370

2,360

3,460

3,180

2,650

2,630

1,770

2,460

1,220

5,410

4,500

4,710

1,860

1,640

730

1,540

510

1,520

710

1,140

1,830

1,430

240

2,660

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Health Care

ENERGY 7.4%

Total Consumer Discretionary

HEALTH CARE 9.5%

Total Energy

MATERIALS 5.4%

VALUE VALUE

MID-CAP 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

72 | See Notes to Financial Statements.

March 31, 2008

Blyth, Inc. 720 $ 14,198 Omnicare, Inc. 1,470 $ 26,695

Ruby Tuesday, Inc.† 1,670 12,525 Varian Inc.* 340 19,693

Williams-Sonoma, Inc. 490 11,878 Par Pharmaceutical Cos., Inc.*† 18,260

The Warnaco Group, Inc.*† 11,438 Beckman Coulter, Inc. 260 16,783

Getty Images, Inc.* 300 9,600 Universal Health Services, Inc. —

CBRL Group, Inc. 260 9,300 Class B 210 11,275

Regis Corp. 320 8,797 Valeant Pharmaceuticals

Harte-Hanks, Inc. 640 8,749 International*† 820 10,521

Lee Enterprises, Inc.† 820 8,208 PDL BioPharma, Inc.*† 930 9,849

Media General, Inc.† 500 7,010 LifePoint Hospitals, Inc.* 250 6,868

Boyd Gaming Corp.† 330 6,600 Health Management Associates,

Furniture Brands International, Inc. 5,967 Inc. — Class A* 1,210 6,401

99 Cents Only Stores* 500 4,945 Steris Corp. 180 4,829

Matthews International Corp. — ResMed, Inc.*† 90 3,796

Class A 90 4,343 Advanced Medical Optics, Inc.*† 3,248

Lamar Advertising Co. — Class A*† 4,312

Scientific Games Corp. — Class A*† 4,222

Entercom Communications Corp. 2,284

Borders Group, Inc.† 370 2,172

Career Education Corp.*† 140 1,781

Corinthian Colleges, Inc.*† 1,735

Pacific Sunwear of California, Inc.*† 378

2,136,264

Arch Coal, Inc.† 2,060 89,610

Intuitive Surgical, Inc.* 610 197,853 Patterson-UTI Energy, Inc.† 83,252

Hologic, Inc.* 2,780 154,568 Forest Oil Corp.*† 1,500 73,440

Millennium Pharmaceuticals, Inc.*† 126,463 Exterran Holdings, Inc.*† 72,285

Henry Schein, Inc.*† 2,200 126,280 Newfield Exploration Co.*† 59,721

DENTSPLY International, Inc. 120,046 Plains Exploration & Production

Covance, Inc.*† 1,220 101,223 Co.* 1,120 59,517

Charles River Laboratories Helmerich & Payne, Inc. 1,190 55,775

International, Inc.*† 1,660 97,840 Pioneer Natural Resources Co.† 52,067

Lincare Holdings, Inc.* 2,740 77,021 Tidewater, Inc.† 940 51,803

Psychiatric Solutions, Inc.*† 76,998 Frontier Oil Corp.† 1,900 51,794

Endo Pharmaceuticals Holdings, Grant Prideco, Inc.* 970 47,743

Inc.* 3,180 76,129 Quicksilver Resources, Inc.* 41,279

Invitrogen Corp.*† 850 72,649 Overseas Shipholding Group, Inc. 25,915

Community Health Systems, Inc.* 72,175 Encore Acquisition Co.*† 590 23,765

Techne Corp.* 970 65,339 Bill Barrett Corp.*† 480 22,680

Edwards Lifesciences Corp.*† 60,143

Perrigo Co.† 1,590 59,991

Pharmaceutical Product

Development, Inc. 1,340 56,146

Kinetic Concepts, Inc.*† 1,210 55,938

Medicis Pharmaceutical Corp. —

Class A† 2,340 46,075

Sepracor, Inc.*† 2,240 43,725

Cephalon, Inc.*† 600 38,640

Health Net, Inc.* 1,210 37,268

Gen-Probe, Inc.*† 700 33,740

VCA Antech, Inc.*† 1,180 32,273

WellCare Health Plans, Inc.* 30,381

Apria Healthcare Group, Inc.*† 29,428

Cerner Corp.*† 770 28,706

2,055,256

Southwestern Energy Co.* 193,381

Pride International, Inc.*† 139,450

FMC Technologies, Inc.*† 126,865

Cimarex Energy Co.† 2,130 116,596

Denbury Resources, Inc.* 115,913

Superior Energy Services*† 94,692

1,597,543

Airgas, Inc. 2,310 105,036

Lubrizol Corp. 1,880 104,359

Reliance Steel & Aluminum Co. 102,361

Cleveland-Cliffs, Inc. 740 88,667

CF Industries Holdings, Inc.† 83,932

Sonoco Products Co. 2,650 75,869

Cytec Industries, Inc.† 1,390 74,851

Terra Industries, Inc.*† 1,610 57,203

Steel Dynamics, Inc. 1,680 55,507

Olin Corp.† 2,760 54,538

Ferro Corp. 3,420 50,821

Worthington Industries, Inc. 44,537

RPM International, Inc.† 2,060 43,136

1,050

290

510

160

120

200

230

240

30

3,180

8,180

1,120

1,130

3,110

1,060

2,270

1,130

370

2,150

1,350

780

1,490

5,740

3,990

2,230

4,060

2,390

1,710

810

2,640

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

MID-CAP 1.5x STRATEGY FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE 1)

SHARES

(NOTE 1)

AptarGroup, Inc.†

1,070

$

41,655

TELECOMMUNICATION SERVICES 0.4%

Cabot Corp.

1,460

40,880

Telephone & Data Systems, Inc.

2,400

$

94,248

Martin Marietta Materials, Inc.†

340

36,098

Total Telecommunication Services

94,248

Scotts Miracle-Gro Co. — Class A†

900

29,178

Total Common Stocks

Temple-Inland, Inc.

1,520

19,334

(Cost $15,562,912)

15,875,836

FMC Corp.

320

17,757

Carpenter Technology Corp.†

310

17,351

FACE

Chemtura Corp.

2,090

15,341

AMOUNT

Commercial Metals Co.

390

11,688

REPURCHASE AGREEMENTS 24.1%

Packaging Corporation of America

190

4,243

Repurchase Agreements (Note 5)

Total Materials

1,174,342

Mizuho Financial Group, Inc.

UTILITIES 5.3%

issued 03/31/08 at 1.30%

Oneok, Inc.

2,650

118,269

due 04/01/08

$3,010,460

3,010,460

Alliant Energy Corp.

3,060

107,131

Lehman Brothers Holdings, Inc.

Puget Energy, Inc.

3,610

93,391

issued 03/31/08 at 1.15%

OGE Energy Corp.†

2,970

92,575

due 04/01/08

1,601,286

1,601,286

Sierra Pacific Resources

6,650

83,989

Morgan Stanley

Great Plains Energy, Inc.

3,220

79,373

issued 03/31/08 at 1.35%

Vectren Corp.

2,700

72,441

due 04/01/08

627,179

627,179

SCANA Corp.

1,870

68,405

Total Repurchase Agreements

Equitable Resources, Inc.†

1,100

64,790

(Cost $5,238,925)

5,238,925

Energy East Corp.

2,510

60,541

SHARES

Northeast Utilities

2,090

51,289

SECURITIES LENDING COLLATERAL 25.0%

AGL Resources, Inc.

1,300

44,616

Mount Vernon Securities

DPL, Inc.†

1,510

38,716

Lending Trust Prime

Energen Corp.†

570

35,511

Portfolio (Note 8)

5,432,081

5,432,081

Westar Energy, Inc.†

1,470

33,472

Wisconsin Energy Corp.

750

32,992

Total Securities Lending Collateral

WGL Holdings, Inc.†

730

23,404

(Cost $5,432,081)

5,432,081

MDU Resources Group, Inc.

940

23,077

National Fuel Gas Co.†

300

14,163

Total Investments 122.2%

Hawaiian Electric Industries, Inc.†

420

10,025

(Cost $26,233,918)

$26,546,842

PNM Resources, Inc.

580

7,233

Liabilities in Excess of

NSTAR

140

4,260

Other Assets – (22.2)%

$ (4,824,926)

Total Utilities

1,159,663

Net Assets – 100.0%

$21,721,916

CONSUMER STAPLES 2.0%

UNREALIZED

BJ’s Wholesale Club, Inc.*†

2,370

84,585

GAIN (LOSS)

Corn Products International, Inc.

2,120

78,737

CONTRACTS

(NOTE 1)

Universal Corp.†

1,140

74,704

PepsiAmericas, Inc.

1,560

39,827

FUTURES CONTRACTS PURCHASED

J.M. Smucker Co.

760

38,463

June 2008 S&P MidCap 400 Index

Energizer Holdings, Inc.*

370

33,478

Mini Futures Contracts

Hansen Natural Corp.*†

830

29,299

(Aggregate Market Value

Church & Dwight Co., Inc.†

440

23,866

of Contracts $14,915,190)

191

$

195,185

Hormel Foods Corp.

400

16,664

UNITS

NBTY, Inc.*†

340

10,183

EQUITY INDEX SWAP AGREEMENT

Smithfield Foods, Inc.*†

80

2,061

May 2008 S&P MidCap 400 Index

Total Consumer Staples

431,867

Swap, Terminating 05/19/08**

(Notional Market Value

$1,828,676)

2,346

$

(19,836)

* Non-Income Producing Security.

** Price Return based on S&P MidCap 400 Index +/- financing at a variable rate.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

REIT — Real Estate Investment Trust.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

73

SCHEDULE OF INVESTMENTS

March 31, 2008

INVERSE MID-CAP STRATEGY FUND

MARKET

FACE

VALUE

AMOUNT

(NOTE 1)

REPURCHASE AGREEMENTS 94.3%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$26,549,996

$26,549,996

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08

14,122,138

14,122,138

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

5,531,249

5,531,249

Total Repurchase Agreements

(Cost $46,203,383)

46,203,383

Total Investments 94.3%

(Cost $46,203,383)

$46,203,383

Other Assets in Excess

of Liabilities – 5.7%

$

2,810,064

Net Assets – 100.0%

$49,013,447

UNREALIZED

GAIN (LOSS)

CONTRACTS

(NOTE 1)

FUTURES CONTRACTS SOLD SHORT

June 2008 S&P MidCap 400 Index

Mini Futures Contracts

(Aggregate Market Value

of Contracts $1,249,440)

16

$

(7,265)

UNITS

EQUITY INDEX SWAP AGREEMENT

SOLD SHORT

May 2008 S&P MidCap 400 Index

Swap, Terminating 05/19/08*

(Notional Market Value

$47,833,220)

61,363

$

1,158,618

* Price Return based on S&P MidCap 400 Index +/- financing at a variable rate.

74

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 76.0%

FINANCIALS 15.0%

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 75

March 31, 2008

Citizens Banking Corp. 2,320 $ 28,838

Safety Insurance Group, Inc. 28,328

Renasant Corp.† 1,240 27,900

Nationwide Health Properties, Glacier Bancorp, Inc.† 1,450 27,796

Inc.† 2,280 $ 76,950 First Merchants Corp. 970 27,684

Realty Income Corp.† 2,630 67,381 Tower Group, Inc.† 1,090 27,435

Aspen Insurance Holdings Ltd.† 63,312 IBERIABANK Corp.† 620 27,435

Senior Housing Properties Trust† 61,857 Highwoods Properties, Inc.† 27,342

Waddell & Reed Financial, Inc. — Ares Capital Corp. 2,160 27,151

Class A 1,610 51,729 Acadia Realty Trust† 1,100 26,565

Platinum Underwriters Holdings NewAlliance Bancshares, Inc. 26,359

Ltd.† 1,590 51,611 Horace Mann Educators Corp. 26,045

IPC Holdings Ltd.† 1,810 50,680 United America Indemnity Ltd. —

Alexandria Real Estate Equities, Class A* 1,350 26,001

Inc.† 540 50,069 United Community Banks, Inc.† 25,640

National Retail Properties, Inc.† 47,848 Presidential Life Corp. 1,450 25,288

Max Capital Group Ltd.† 45,832 Omega Financial Corp.† 810 25,272

Knight Capital Group, Inc. — Prospect Capital Corp.† 25,265

Class A*† 2,820 45,797 First Financial Corp. 820 25,240

SVB Financial Group*† 1,040 45,386 SeaBright Insurance Holdings,

First Industrial Realty Trust, Inc.† 44,482 Inc.* 1,710 25,188

Montpelier Re Holdings Ltd. 43,495 Univest Corp. of Pennsylvania 25,142

Delphi Financial Group, Inc. — Universal Health Realty Income

Class A 1,480 43,260 Trust 750 24,975

Entertainment Properties Trust† 42,917 First Community Bancshares/VA,

BioMed Realty Trust, Inc.† 42,524 Inc. 670 24,401

Post Properties, Inc.† 1,100 42,482 Dollar Financial Corp.* 1,060 24,380

Greenhill & Co., Inc.† 600 41,736 Harleysville National Corp. 24,226

Mid-America Apartment First Mercury Financial Corp.* 24,200

Communities, Inc.† 830 41,367 Medical Properties Trust Inc.† 23,546

First Niagara Financial Group, Navigators Group, Inc.*† 430 23,392

Inc.† 3,040 41,314 Chemical Financial Corp.† 23,363

DiamondRock Hospitality Co.† 39,784 Hercules Technology Growth

Eastgroup Properties, Inc.† 38,097 Capital, Inc. 2,140 23,240

Redwood Trust, Inc.† 1,030 37,440 Sterling Bancshares, Inc.† 22,961

Extra Space Storage, Inc.† 37,075 Old Second Bancorp, Inc. 22,842

Prosperity Bancshares, Inc.† 36,971 Umpqua Holding Corp.† 22,800

Assured Guaranty Ltd.† 1,550 36,797 FBL Financial Group, Inc. —

National Financial Partners Corp.† 35,727 Class A 800 22,792

Sunstone Hotel Investors, Inc.† 35,702 Marathon Acquisition Corp.*† 22,620

GFI Group, Inc. 620 35,526 Sovran Self Storage, Inc.† 22,209

Cathay General Bancorp† 35,448 Getty Realty Corp. 1,390 22,143

Cash America International, Inc.† 34,944 Community Bank System, Inc.† 22,104

Lexington Realty Trust† 2,420 34,872 Provident Financial Services, Inc. 22,058

Park National Corp. 480 34,008 Digital Realty Trust, Inc.† 620 22,010

Strategic Hotels & Resorts, Inc. 34,007 Donegal Group, Inc. — Class A 21,924

Omega Healthcare Investors, Inc.† 33,678 NTR Acquisition Co.*† 2,280 21,820

United Fire & Casualty Co. 32,912 Independent Bank Corp.† 21,694

American Financial Realty Trust† 32,236 Evercore Partners, Inc. — Class A 21,300

South Financial Group, Inc.† 31,652 UCBH Holdings, Inc.† 2,690 20,874

Stifel Financial Corp.*† 700 31,430 Tanger Factory Outlet Centers,

Pacific Capital Bancorp† 1,460 31,390 Inc.† 540 20,774

FelCor Lodging Trust, Inc.† 29,473 Apollo Investment Corp.† 20,737

Odyssey Re Holdings Corp. 29,400 Saul Centers, Inc. 410 20,598

830

2,400

2,610

880

2,150

1,490

1,510

2,170

1,750

1,660

1,440

2,710

960

870

1,780

1,680

1,390

2,080

980

3,140

820

2,310

2,290

860

1,290

1,470

1,590

2,230

2,930

520

1,710

960

900

1,560

2,590

1,260

1,940

880

2,090

4,060

1,200

2,130

2,450

1,310

800

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

76 | See Notes to Financial Statements.

March 31, 2008

Texas Capital Bancshares, Inc.*† $ 20,594 LandAmerica Financial Group, Inc.† $ 12,630

Agree Realty Corp.† 750 20,587 First Charter Corp. 470 12,554

Ramco-Gershenson Properties Healthcare Realty Trust, Inc.† 12,552

Trust 960 20,266 BankAtlantic Bancorp, Inc. —

Sandy Spring Bancorp, Inc.† 20,090 Class A 3,150 12,317

DCT Industrial Trust, Inc.† 20,020 Integra Bank Corp. 760 12,312

Oriental Financial Group 19,907 Midwest Banc Holdings, Inc.† 12,269

optionsXpress Holdings, Inc.† 19,882 Washington Real Estate Investment

FNB Corp.† 1,260 19,669 Trust† 360 12,031

Mission West Properties 2,080 19,656 Royal Bancshares of Pennsylvania,

Banco Latinoamericano de Inc. — Class A† 820 11,865

Exportaciones SA 1,260 19,404 CompuCredit Corp.*† 1,320 11,708

FirstMerit Corp.† 930 19,214 First State Bancorporation 11,649

GAMCO Investors, Inc. — Class A 19,137 Boston Private Financial Holdings,

World Acceptance Corp.*† 19,110 Inc.† 1,100 11,649

United Bankshares, Inc.† 710 18,921 International Bancshares Corp. 11,516

CNA Surety Corp.* 1,230 18,917 Corporate Office Properties

Ashford Hospitality Trust, Inc.† 18,687 Trust SBI† 340 11,427

First Bancorp 920 18,336 Anthracite Capital, Inc.† 11,352

Federal Agricultural Mortgage Frontier Financial Corp.† 640 11,315

Corp. 690 18,009 Anworth Mortgage Asset Corp.† 10,973

Phoenix Cos., Inc. 1,450 17,705 TrustCo Bank Corp.† 1,230 10,935

Commerce Group, Inc. 490 17,669 National Penn Bancshares, Inc.† 10,732

Sterling Savings Bank† 1,129 17,624 RAIT Financial Trust† 1,510 10,479

Imperial Capital Bancorp, Inc. 17,512 Hersha Hospitality Trust 1,150 10,385

Berkshire Hills Bancorp, Inc.† 17,381 Advanta Corp. 1,470 10,334

Green Bankshares, Inc. 980 17,336 First Midwest Bancorp, Inc.† 9,997

ProAssurance Corp.*† 320 17,226 Resource Capital Corp.† 9,841

MFA Mortgage Investments, Inc.† 17,136 Hallmark Financial Services, Inc.* 9,709

Susquehanna Bancshares, Inc.† 16,907 PFF Bancorp, Inc.† 1,150 9,568

WesBanco, Inc. 650 16,062 Selective Insurance Group, Inc. 9,552

Cedar Shopping Centers, Inc.† 15,885 Security Bank Corp.† 1,190 9,461

First Bancorp Puerto Rico† 15,850 MarketAxess Holdings, Inc.*† 9,244

West Coast Bancorp 1,070 15,611 Hanmi Financial Corp. 1,240 9,164

NorthStar Realty Finance Corp.† 15,605 Glimcher Realty Trust 730 8,731

Parkway Properties, Inc.† 420 15,523 Zenith National Insurance Corp. 8,606

LaSalle Hotel Properties† 540 15,514 Amerisafe, Inc.* 650 8,216

Central Pacific Financial Corp.† 15,457 UMB Financial Corp.† 190 7,828

Home Properties, Inc.† 320 15,357 Advance America Cash Advance

Potlatch Corp.† 360 14,857 Centers, Inc.† 1,030 7,777

Castlepoint Holdings Ltd. 14,595 City Bank 340 7,572

National Health Investors, Inc. 14,375 eHealth, Inc.* 340 7,504

Gramercy Capital Corp./New York† 14,023 Irwin Financial Corp.† 1,380 7,328

Winthrop Realty Trust† 3,380 13,926 First Community Bancorp 270 7,250

Ezcorp, Inc. — Class A*† 13,910 FCStone Group, Inc.*† 260 7,202

Kohlberg Capital Corp. 1,330 13,805 Columbia Banking Systems, Inc. 7,162

Westamerica Bancorporation† 13,623 Triad Guaranty, Inc.*† 1,360 6,800

Sierra Bancorp† 630 13,614 Newcastle Investment Corp.† 6,773

1st Source Corp. 640 13,472 SWS Group, Inc.† 550 6,727

AmericanWest Bancorp† 13,429 Arbor Realty Trust, Inc.† 430 6,484

JER Investors Trust, Inc.† 13,398 Old National Bancorp† 360 6,480

GMH Communities Trust 13,367 Bancfirst Corp. 140 6,409

Associated Estates Realty Corp. 13,042 Cohen & Steers, Inc.† 240 6,358

Bank Mutual Corp.† 1,210 12,995 Sterling Financial Corp.* 350 6,108

1,220

320

480

730

2,010

1,010

960

960

870

380

600

510

3,290

1,720

1,790

590

810

690

360

1,300

2,720

870

830

400

1,360

1,560

930

1,910

240

820

1,500

460

670

1,130

320

259

820

1,540

1,580

1,540

1,140

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Financials

INFORMATION TECHNOLOGY 13.7%

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 77

March 31, 2008

Pennsylvania Real Estate Parametric Technology Corp.*† $ 48,419

Investment Trust† 250 $ 6,098 ON Semiconductor Corp.*† 48,274

Hilb Rogal & Hobbs Co. 180 5,665 VistaPrint Ltd.*† 1,350 47,182

Portfolio Recovery Associates, Inc. 5,576 Emulex Corp.*† 2,750 44,660

Franklin Bank Corp.*† 1,740 5,272 SAIC, Inc.*† 2,389 44,412

Franklin Street Properties Corp., Benchmark Electronics, Inc.*† 42,721

Inc. 360 5,155 MPS Group, Inc.*† 3,530 41,725

MB Financial Corp.† 160 4,925 Informatica Corp.*† 2,420 41,285

Harleysville Group, Inc. 130 4,692 Foundry Networks, Inc.*† 40,877

Meadowbrook Insurance Group, Progress Software Corp.*† 40,392

Inc. 600 4,686 CACI International, Inc. —

U-Store-It Trust† 410 4,645 Class A*† 880 40,084

Ocwen Financial Corp.* 1,000 4,440 Atheros Communications, Inc.*† 40,013

Inland Real Estate Corp.† 280 4,259 Perot Systems Corp. — Class A*† 39,555

Hancock Holding Co.† 100 4,202 j2 Global Communications, Inc.*† 39,283

United Security Bancshares/Fresno TIBCO Software, Inc.*† 5,390 38,485

CA 250 4,200 Amkor Technology, Inc.*† 38,306

Community Bancorp*† 300 4,068 SRA International, Inc. — Class A* 37,437

Interactive Brokers Group, Inc. — Scansource, Inc.*† 1,010 36,552

Class A* 150 3,851 ValueClick, Inc.*† 2,100 36,225

Cousins Properties, Inc.† 140 3,459 Checkpoint Systems, Inc.* 35,710

Grubb & Ellis Co. 490 3,366 Mantech International Corp. —

Trustmark Corp.† 150 3,342 Class A*† 780 35,381

Argo Group International Holdings Plantronics, Inc. 1,830 35,337

Ltd.* 80 2,842 OmniVision Technologies, Inc.*† 34,649

Equity Lifestyle Properties, Inc. 2,469 Nuance Communications, Inc.*† 34,298

LTC Properties, Inc. 90 2,314 Plexus Corp.*† 1,210 33,941

RLI Corp. 30 1,487 Euronet Worldwide, Inc.*† 33,512

Crystal River Capital, Inc.† 1,429 PMC - Sierra, Inc.*† 5,820 33,174

Urstadt Biddle Properties, Inc. 1,416 Skyworks Solutions, Inc.* 32,833

Great Southern Bancorp, Inc. 1,405 Cabot Microelectronics Corp.*† 32,472

Santander BanCorp 130 1,314 Sigma Designs, Inc.*† 1,420 32,191

Bankunited Financial Corp. — SPSS, Inc.* 830 32,187

Class A† 260 1,303 Sohu.com, Inc.* 690 31,140

Simmons First National Corp. 1,189 United Online, Inc.† 2,840 29,990

Provident Bankshares Corp. 1,181 Blue Coat Systems, Inc.*† 29,313

Centerline Holding Co.† 280 1,137 ATMI, Inc.*† 1,030 28,665

Flagstone Reinsurance Holdings 968 Methode Electronics, Inc. —

FX Real Estate and Entertainment, Class A 2,447 28,605

Inc.* 148 870 Semtech Corp.*† 1,970 28,230

Stewart Information Services Corp. 840 Electronics for Imaging, Inc.*† 28,050

Deerfield Capital Corp. 141 199 Standard Microsystems Corp.* 28,013

Employers Holdings, Inc. 10 185 Lawson Software, Inc.*† 3,670 27,635

Zoran Corp.*† 2,000 27,320

TTM Technologies, Inc.* 26,715

Heartland Payment Systems, Inc.† 26,692

EMS Technologies, Inc.* 970 26,326

Quality Systems, Inc.† 880 26,286

Brightpoint, Inc.* 3,130 26,167

JDA Software Group, Inc.* 26,098

Entegris, Inc.* 3,590 25,812

Concur Technologies, Inc.*† 25,461

Technitrol, Inc. 1,100 25,443

Arris Group, Inc.*† 4,370 25,433

4,357,976

Itron, Inc.* 780 70,379

Micros Systems, Inc.*† 2,090 70,349

Sybase, Inc.* 2,430 63,909

Flir Systems, Inc.*† 2,060 61,985

Ansys, Inc.*† 1,750 60,410

Polycom, Inc.*† 2,620 59,055

Equinix, Inc.*† 880 58,511

Anixter International, Inc.*† 56,996

Jack Henry & Associates, Inc.† 55,261

3,030

8,499

130

2,380

3,530

1,350

1,920

2,630

1,760

3,580

1,540

1,330

2,060

50

1,970

1,740

160

90

4,510

90

1,010

40

110

1,330

80

30

1,880

960

2,360

1,160

1,430

820

890

2,240

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

78 | See Notes to Financial Statements.

March 31, 2008

InfoSpace, Inc. 2,190 $ 25,338 Photronics, Inc.*† 1,300 $ 12,415

Vignette Corp.*† 1,910 25,231 infoUSA, Inc. — Class B 2,020 12,342

OSI SYSTEMS INC* 1,080 24,862 Cogent, Inc.* 1,300 12,259

Interwoven, Inc.* 2,320 24,778 Hutchinson Technology, Inc.* 12,251

Netlogic Microsystems, Inc.* 24,623 S1 Corp.*† 1,720 12,229

Epicor Software Corp.*† 2,190 24,528 Ness Technologies, Inc.* 12,052

Tyler Technologies, Inc.*† 24,325 MAXIMUS, Inc. 320 11,747

SYNTEL INC† 900 23,985 Newport Corp.* 1,030 11,505

Integral Systems, Inc. 820 23,969 Sonus Networks, Inc.*† 3,340 11,490

3Com Corp.*† 10,300 23,587 Extreme Networks, Inc.* 11,424

Ariba, Inc.* 2,440 23,570 Brooks Automation, Inc.* 11,081

Macrovision Corp.*† 1,700 22,950 Radiant Systems, Inc.*† 790 11,036

Faro Technologies, Inc.* 729 22,730 Triquint Semiconductor, Inc.*† 10,980

Avocent Corp.*† 1,300 21,970 DSP Group, Inc.*† 860 10,956

Cass Information Systems, Inc.† 21,461 Adaptec, Inc.* 3,710 10,907

Sycamore Networks, Inc.* 21,008 AsiaInfo Holdings, Inc.* 990 10,751

CMGI, Inc.* 1,580 20,951 TheStreet.com, Inc. 1,330 10,746

Digi International, Inc.* 1,780 20,541 ADTRAN, Inc.† 580 10,730

SonicWALL, Inc.* 2,510 20,507 Exar Corp.* 1,300 10,699

CTS Corp. 1,900 20,330 Immersion Corp.* 1,500 10,665

Imergent, Inc.† 1,740 19,819 KEMET Corp.* 2,620 10,585

Electro Scientific Industries, Inc.* 19,611 Manhattan Associates, Inc.* 10,548

RF Micro Devices, Inc.*† 7,260 19,312 LoopNet, Inc.*† 830 10,541

Take-Two Interactive Software, Inc.* 19,140 Tessera Technologies, Inc.*† 10,400

Rimage Corp.* 870 19,053 Marchex, Inc. 1,040 10,379

Multi-Fineline Electronix, Inc.*† 18,958 Rofin-Sinar Technologies, Inc.* 10,327

Monolithic Power Systems, Inc.* 18,864 DealerTrack Holdings, Inc.*† 10,312

FEI Co.* 860 18,774 Hittite Microwave Corp.*† 10,103

Cirrus Logic, Inc.* 2,750 18,480 Trident Microsystems, Inc.*† 9,940

Blackbaud, Inc. 750 18,210 THQ, Inc.*† 450 9,810

RealNetworks, Inc.* 3,160 18,107 LoJack Corp.* 770 9,733

SYKES Enterprises, Inc.* 1,020 17,942 Smart Modular Technologies

Pericom Semiconductor Corp.* 17,910 WWH, Inc.* 1,560 9,688

Omniture, Inc.* 760 17,640 Rudolph Technologies, Inc.*† 9,379

Synaptics, Inc.*† 720 17,194 Greenfield Online, Inc.*† 790 9,369

Netgear, Inc.* 860 17,157 Gartner, Inc. — Class A*† 480 9,283

Imation Corp.† 740 16,828 Harmonic, Inc.*† 1,220 9,272

Insight Enterprises, Inc.*† 950 16,625 Mentor Graphics Corp.* 9,272

Oplink Communications, Inc.* 16,498 The Knot, Inc.*† 760 8,930

Micrel, Inc. 1,720 15,944 Cybersource Corp.* 610 8,912

Art Technology Group, Inc.* 15,539 Wind River Systems, Inc.*† 8,901

Microsemi Corp.*† 680 15,504 SI International, Inc.* 460 8,827

ViaSat, Inc.* 710 15,421 Ciber, Inc.* 1,790 8,771

Mattson Technology, Inc.* 15,347 L-1 Identity Solutions, Inc.*† 8,645

Dycom Industries, Inc.*† 1,240 14,892 CPI International, Inc.* 870 8,630

CSG Systems International, Inc.* 14,326 Kulicke & Soffa Industries, Inc.* 8,604

Mastec, Inc.* 1,710 14,039 Vasco Data Security International*† 8,208

Super Micro Computer, Inc.* 13,861 Cognex Corp. 370 8,077

Intermec, Inc.*† 610 13,536 Digital River, Inc.* 260 8,052

iGate Corp.* 1,900 13,528 Comtech Telecommunications

Loral Space & Communications, Corp.*† 190 7,410

Inc.* 560 13,350 Black Box Corp. 240 7,404

Novatel Wireless, Inc.* 1,370 13,262 SiRF Technology Holdings, Inc.*† 7,126

Palm, Inc.† 2,610 13,050 Wright Express Corp.*† 229 7,037

Ultra Clean Holdings*† 1,290 12,642 Synchronoss Technologies, Inc.* 7,011

770

1,020

1,270

1,740

3,685

1,140

2,170

680

5,740

1,190

460

750

500

1,010

230

1,070

510

270

1,930

1,220

960

1,050

1,860

4,005

1,150

2,520

650

1,260

1,800

600

1,660

1,400

350

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Information Technology

INDUSTRIALS 10.8%

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 79

March 31, 2008

LivePerson, Inc.* 2,220 $ 6,882 Regal-Beloit Corp.† 1,110 $ 40,659

CNET Networks, Inc.* 960 6,816 United Stationers, Inc.*† 850 40,545

MercadoLibre, Inc.*† 170 6,759 Mueller Industries, Inc. 1,350 38,947

Chordiant Software, Inc.* 6,633 Watsco, Inc.† 890 36,864

Anadigics, Inc.*† 980 6,429 GrafTech International Ltd.*† 35,662

Formfactor, Inc.*† 330 6,303 Forward Air Corp.† 990 35,086

Network Equipment Technologies, Middleby Corp.*† 550 34,314

Inc.* 820 5,387 Triumph Group, Inc.† 600 34,158

Echelon Corp.*† 390 5,265 Astec Industries, Inc.*† 870 33,721

MicroStrategy, Inc. — Class A* 5,179 Interface, Inc. — Class A† 31,753

Daktronics, Inc.† 270 4,836 G & K Services, Inc. — Class A 30,981

Agilysys, Inc. 410 4,756 Columbus McKinnon Corp. —

Perficient, Inc.* 580 4,605 Class A*† 980 30,360

SAVVIS, Inc.* 260 4,230 School Specialty, Inc.* 960 30,278

Internap Network Services Corp.* 4,216 HUB Group, Inc. — Class A*† 29,930

Taleo Corp.*† 200 3,880 Watson Wyatt & Co. Holdings† 29,510

Littelfuse, Inc.* 110 3,847 Republic Airways Holdings, Inc.* 28,808

Comtech Group, Inc.* 330 3,561 Horizon Lines, Inc. — Class A† 28,659

TiVo, Inc.* 400 3,504 Perini Corp.*† 770 27,897

Global Cash Access Holdings, Inc.* 3,457 Viad Corp.† 770 27,728

MKS Instruments, Inc.*† 150 3,210 Tecumseh Products Co. — Class A* 27,612

Avid Technology, Inc.* 130 3,164 Rush Enterprises, Inc. — Class A*† 26,928

Interactive Intelligence, Inc.* 2,943 Robbins & Myers, Inc. 790 25,793

Net 1 UEPS Technologies, Inc.* 2,932 Cenveo, Inc.*† 2,420 25,313

Cavium Networks, Inc.* 170 2,788 Ameron International Corp. 25,253

ExlService Holdings, Inc.* 120 2,755 Huron Consulting Group, Inc.* 24,930

Measurement Specialties, Inc.* 2,621 Comfort Systerms USA, Inc.† 24,459

Tekelec* 210 2,615 Waste Connections, Inc.*† 24,285

Bankrate, Inc.* 50 2,495 Teletech Holdings, Inc.* 1,070 24,032

Sapient Corp.* 300 2,088 CDI Corp.† 940 23,547

PC Connection, Inc.* 190 1,505 Hexcel Corp.* 1,220 23,314

Ultimate Software Group, Inc.* 601 Standex International Corp. 23,234

Universal Forest Products, Inc.† 23,184

CoStar Group, Inc.*† 530 22,790

Encore Wire Corp.† 1,230 22,398

Deluxe Corp.† 1,160 22,284

Superior Essex, Inc.* 780 21,934

EnPro Industries, Inc.*† 700 21,833

American Commercial Lines, Inc.* 21,804

TBS International Ltd. — Class A* 21,744

UAP Holding Corp. 560 21,470

Woodward Governor Co. 800 21,376

Orbital Sciences Corp.*† 880 21,208

Federal Signal Corp.† 1,490 20,800

Michael Baker Corp.* 920 20,663

Heidrick & Struggles International,

Inc. 630 20,494

Simpson Manufacturing Co., Inc.† 20,385

PHH Corp.*† 1,160 20,219

Mueller Water Products, Inc. —

Class A† 2,430 19,877

Clarcor, Inc.† 550 19,552

PeopleSupport, Inc.* 2,130 19,426

Kaman Corp. — Class A 670 18,954

AirTran Holdings, Inc.*† 2,840 18,744

3,971,441

Bucyrus International, Inc. —

Class A† 900 91,485

FTI Consulting, Inc.*† 990 70,330

Curtiss-Wright Corp.† 1,300 53,924

Acuity Brands, Inc.† 1,240 53,258

Valmont Industries, Inc.† 580 50,976

Actuant Corp. — Class A† 49,846

Belden, Inc.† 1,390 49,095

Teledyne Technologies, Inc.*† 47,000

Esterline Technologies Corp.*† 45,837

Walter Industries, Inc.† 720 45,094

EMCOR Group, Inc.* 2,010 44,642

IHS, Inc.* 670 43,088

Applied Industrial Technologies,

Inc.† 1,440 43,042

Eagle Bulk Shipping, Inc.† 43,019

Baldor Electric Co. 1,510 42,280

Wabtec Corp.† 1,120 42,179

Herman Miller, Inc.† 1,700 41,769

Genco Shipping & Trading Ltd.† 41,758

1,100

2,200

70

2,260

870

850

910

520

1,330

1,540

590

900

1,700

250

130

270

600

150

1,880

790

20

1,040

720

1,380

720

750

1,650

1,000

910

1,670

740

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Industrials

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

80 | See Notes to Financial Statements.

March 31, 2008

American Railcar Industries, Inc.† $ 18,500 Griffon Corp.* 900 $ 7,740

Pacer International, Inc. 1,100 18,073 Greenbrier Cos., Inc.† 290 7,691

Schawk, Inc. 1,130 18,069 Standard Register Co. 980 7,634

Apogee Enterprises, Inc.† 18,018 Sun Hydraulics Corp. 260 7,610

Nordson Corp. 330 17,770 Pinnacle Airlines Corp.* 870 7,595

Tredegar Corp. 970 17,664 COMSYS IT Partners, Inc.* 7,529

Gibraltar Industries, Inc. 1,490 17,478 Evergreen Solar, Inc.*† 790 7,323

Lindsay Manufacturing Co. 17,420 Ceradyne, Inc.*† 220 7,031

Chart Industries, Inc.* 510 17,258 Kaydon Corp.† 160 7,026

Administaff, Inc. 730 17,235 Mine Safety Appliances Co. 6,179

Kenexa Corp. — Class A*† 17,002 Raven Industries, Inc.† 200 6,060

Spherion Corp.* 2,760 16,891 American Science & Engineering,

Arkansas Best Corp.† 520 16,567 Inc.† 110 6,003

Kforce, Inc.* 1,820 16,089 Twin Disc, Inc. 370 5,853

Celadon Group, Inc.*† 1,660 16,069 Resources Connection, Inc.† 5,182

Volt Information Sciences, Inc.*† 15,942 American Ecology Corp. 200 5,066

DynCorp International, Inc. — Clean Harbors, Inc.* 70 4,550

Class A*† 950 15,846 Team, Inc.* 160 4,368

JetBlue Airways Corp.*† 2,710 15,718 AAR Corp.*† 160 4,363

TrueBlue, Inc.* 1,150 15,456 Beacon Roofing Supply, Inc.*† 4,300

Brady Corp. — Class A 460 15,378 Barnes Group, Inc. 160 3,672

Moog, Inc. — Class A*† 360 15,196 Granite Construction, Inc. 3,598

Tennant Co.† 380 15,128 On Assignment, Inc.* 560 3,556

Cubic Corp. 520 14,784 Genesee & Wyoming, Inc. —

ESCO Technologies, Inc.*† 14,696 Class A*† 100 3,440

Wabash National Corp. 1,610 14,474 Rollins, Inc. 190 3,361

TransDigm Group, Inc.* 390 14,449 Albany International Corp. —

Navigant Consulting, Inc.*† 13,855 Class A† 90 3,253

NCI Building Systems, Inc.* 13,794 Stanley, Inc.* 110 3,241

Barrett Business Services, Inc. 13,533 Badger Meter, Inc. 70 3,024

LSI Industries, Inc. 1,010 13,342 Flow International Corp.* 310 2,880

American Reprographics Co.* 13,059 ICT Group, Inc.* 280 2,825

American Superconductor Corp.*† 12,291 Insituform Technologies, Inc. —

Ampco-Pittsburgh Corp. 280 12,037 Class A* 200 2,766

Pike Electric Corp.* 820 11,423 Mobile Mini, Inc.* 130 2,470

Briggs & Stratton Corp.† 630 11,277 Advisory Board Co.*† 40 2,198

Tetra Tech, Inc.*† 560 10,926 Gencorp, Inc.*† 210 2,161

Alaska Air Group, Inc.*† 540 10,595 Healthcare Services Group† 2,064

Heico Corp.† 210 10,237 Cascade Corp.† 40 1,972

Aecom Technology Corp.*† 10,144 Force Protection, Inc.* 830 1,668

Dollar Thrifty Automotive Group, II-VI, Inc.* 40 1,519

Inc.*† 730 9,957 FuelCell Energy, Inc.*† 210 1,397

IKON Office Solutions, Inc. 9,576 Integrated Electrical Services, Inc.* 1,100

First Advantage Corp. — Class A* 9,536 Knight Transportation, Inc.† 642

Knoll, Inc.† 820 9,463 Watts Industries, Inc. — Class A† 561

Geo Group, Inc.*† 320 9,101 ABM Industries, Inc. 20 449

LB Foster Co. — Class A* 210 9,043 Powell Industries, Inc.* 10 394

Consolidated Graphics, Inc.*† 8,968 Coleman Cable, Inc.* 30 330

Nuco2, Inc.* 310 8,609

Taser International, Inc.*† 910 8,554

Energy Conversion Devices, Inc.*† 8,372

Dynamic Materials Corp.† 190 8,208

SkyWest, Inc. 370 7,814

Preformed Line Products Co. 7,789

3,136,638

910

1,170

890

170

150

920

290

940

430

110

370

730

570

790

880

530

100

390

1,260

70

450

39

20

160

280

160

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

HEALTH CARE 10.6%

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 81

March 31, 2008

AmSurg Corp.* 1,090 $ 25,811

Hologic, Inc.* 2,710 $ 150,676 PharmaNet Development Group,

Perrigo Co.† 1,970 74,328 Inc.*† 1,020 25,735

BioMarin Pharmaceuticals, Inc.*† 71,447 Providence Service Corp.* 25,200

Illumina, Inc.*† 810 61,479 Merit Medical Systems, Inc.*† 24,695

OSI Pharmaceuticals, Inc.*† 59,076 Natus Medical, Inc.*† 1,330 24,139

Inverness Medical Innovations, Sirona Dental Systems, Inc.*† 23,734

Inc.*† 1,910 57,491 National Healthcare Corp. 23,376

Psychiatric Solutions, Inc.*† 53,933 eResearch Technology, Inc.* 22,729

Myriad Genetics, Inc.*† 1,330 53,586 Omnicell, Inc.* 1,120 22,512

United Therapeutics Corp.*† 50,286 AMN Healthcare Services, Inc.* 22,051

Steris Corp.† 1,840 49,367 Angiodynamics, Inc.* 1,900 21,964

Varian Inc.* 850 49,232 Par Pharmaceutical Cos., Inc.* 21,911

Bio-Rad Laboratories, Inc. — SonoSite, Inc.*† 770 21,891

Class A* 540 48,033 Onyx Pharmaceuticals, Inc.*† 21,192

Owens & Minor, Inc.† 1,190 46,815 Bentley Pharmaceuticals, Inc.*† 20,962

AMERIGROUP Corp.* 1,680 45,914 Align Technology, Inc.* 1,880 20,887

Meridian Bioscience, Inc.† 44,796 Albany Molecular Research, Inc.* 20,759

Magellan Health Services, Inc.*† 44,453 Cynosure, Inc.*† 970 20,661

Applera Corp. - Celera Group*† 40,131 Res-Care, Inc.* 1,200 20,580

Parexel International Corp.* 39,933 Medical Action Industries, Inc.* 20,373

Medicis Pharmaceutical Corp. — Nektar Therapeutics* 2,840 19,710

Class A† 1,990 39,183 Viropharma, Inc.* 2,160 19,310

LifeCell Corp.*† 920 38,668 Symmetry Medical, Inc.*† 19,256

Sunrise Senior Living, Inc.* 38,544 Centene Corp.*† 1,350 18,819

Amedisys, Inc.* 970 38,160 Molina Healthcare, Inc.*† 750 18,315

Cubist Pharmaceuticals, Inc.*† 37,743 SurModics, Inc.*† 420 17,590

Valeant Pharmaceuticals Air Methods Corp.* 350 16,929

International*† 2,900 37,207 inVentiv Health, Inc.*† 570 16,422

Martek Biosciences Corp.*† 36,684 Cantel Medical Corp.* 1,490 15,824

Analogic Corp. 520 34,601 Universal American Financial

Alexion Pharmaceuticals, Inc.*† 33,801 Corp.* 1,480 15,688

Eclipsys Corp.*† 1,720 33,729 American Medical Systems

NuVasive, Inc.*† 970 33,475 Holdings, Inc.* 1,050 14,899

KV Pharmaceutical Co.*† 33,446 Quidel Corp.* 890 14,293

Alkermes, Inc.* 2,790 33,145 Isis Pharmaceuticals, Inc.*† 14,110

Affymetrix, Inc.*† 1,900 33,079 Auxilium Pharmaceuticals, Inc.*† 13,905

Sciele Pharma, Inc.* 1,590 31,005 Haemonetics Corp.*† 230 13,703

Bruker BioSciences Corp.*† 30,780 Nabi Biopharmaceuticals*† 13,668

Medarex, Inc.*† 3,460 30,621 West Pharmaceutical Services,

Healthways, Inc.* 860 30,392 Inc.† 300 13,269

ArthroCare Corp.*† 910 30,348 HMS Holdings Corp.* 460 13,133

The Trizetto Group, Inc.*† 30,209 Medcath Corp.* 720 13,104

Conmed Corp.*† 1,170 29,999 Healthspring, Inc.* 900 12,672

Cepheid, Inc.*† 1,220 29,756 Dendreon Corp.*† 2,580 12,436

Chemed Corp.† 690 29,118 Salix Pharmaceuticals Ltd.*† 12,372

Phase Forward, Inc.*† 1,690 28,865 Dionex Corp.* 160 12,318

Sun Healthcare Group, Inc.*† 28,777 Cypress Bioscience, Inc.*† 12,315

Vital Signs, Inc. 560 28,364 Immucor, Inc.*† 570 12,164

Invacare Corp. 1,260 28,073 Cross Country Healthcare, Inc.* 11,999

Zoll Medical Corp.* 1,030 27,388 Seattle Genetics, Inc.*† 1,290 11,739

Apria Healthcare Group, Inc.*† 26,860 Datascope Corp. 280 11,600

Medicines Co.*† 1,310 26,462 Geron Corp.*† 2,260 11,029

Kendle International, Inc.*† 26,054 OraSure Technologies, Inc.*† 10,453

2,020

840

1,560

1,580

880

480

1,590

1,830

580

1,430

1,260

730

1,290

1,340

1,710

1,120

2,730

1,530

1,240

1,160

1,730

2,049

1,200

570

1,340

1,000

520

2,000

3,400

1,810

1,970

2,190

1,720

970

1,360

580

1,430

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Health Care

CONSUMER DISCRETIONARY 10.1%

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

82 | See Notes to Financial Statements.

March 31, 2008

Regeneron Pharmaceuticals, Inc.*† $ 10,363 Fossil, Inc.*† 1,210 $ 36,953

RehabCare Group, Inc.* 680 10,200 Bright Horizons Family Solutions,

Healthsouth Corp.*† 560 9,962 Inc.*† 850 36,584

Ariad Pharmaceuticals, Inc.* 9,032 Iconix Brand Group, Inc.*† 35,220

Human Genome Sciences, Inc.*† 8,364 Callaway Golf Co.† 2,380 34,938

Volcano Corp.* 650 8,125 Zale Corp.*† 1,740 34,382

Nighthawk Radiology Holdings, American Axle & Manufacturing

Inc.* 820 7,675 Holdings, Inc. 1,670 34,235

Neurocrine Biosciences, Inc.* 6,966 American Greetings Corp. —

Conceptus, Inc.* 350 6,496 Class A 1,840 34,132

Noven Pharmaceuticals, Inc.* 6,376 Bob Evans Farms, Inc.† 1,230 33,936

Alpharma, Inc. — Class A*† 6,290 Cooper Tire & Rubber Co. 33,682

Enzon Pharmaceuticals, Inc.*† 5,894 Scholastic Corp.*† 1,110 33,600

Abaxis, Inc.*† 250 5,793 Gemstar-TV Guide International,

Halozyme Therapeutics, Inc.* 5,533 Inc.*† 7,140 33,558

Obagi Medical Products, Inc.*† 5,295 Exide Technologies*† 2,490 32,619

Emergency Medical Services P.F. Chang’s China Bistro, Inc.*† 31,568

Corp. — Class A* 200 4,938 Red Robin Gourmet Burgers, Inc.*† 30,807

Thoratec Corp.* 340 4,859 Life Time Fitness, Inc.*† 970 30,274

RTI Biologics, Inc.*† 510 4,820 Buckle, Inc.† 650 29,074

Alnylam Pharmaceuticals, Inc.* 4,636 Tupperware Brands Corp.† 28,623

Mentor Corp.† 170 4,372 Valassis Communications, Inc.*† 28,210

Allscripts Healthcare Solutions, Interactive Data Corp.† 990 28,185

Inc.*† 410 4,231 Netflix, Inc.*† 810 28,066

Cutera, Inc.* 280 3,772 Strayer Education, Inc. 180 27,450

Corvel Corp.* 120 3,671 Unifirst Corp.† 730 27,076

PSS World Medical, Inc.*† 3,499 Superior Industries International,

Emergent Biosolutions, Inc.* 3,300 Inc.† 1,290 26,767

LCA-Vision, Inc.† 220 2,750 Blyth, Inc. 1,290 25,439

Wright Medical Group, Inc.* 2,655 World Wrestling Entertainment,

Orthofix International NV*† 2,386 Inc. 1,350 25,123

Matria Healthcare, Inc.*† 90 2,007 La-Z-Boy, Inc.† 3,010 25,103

American Dental Partners, Inc.*† 1,644 Champion Enterprises, Inc.*† 24,874

HealthExtras, Inc.* 60 1,490 Cox Radio Inc. — Class A* 24,829

Savient Pharmaceuticals, Inc.* 1,200 Tempur-Pedic International, Inc.† 24,530

Vital Images, Inc.* 10 148 Winnebago Industries, Inc.† 24,336

Ethan Allen Interiors, Inc.† 24,165

Collective Brands, Inc.*† 23,755

Dress Barn, Inc.* 1,820 23,551

Russ Berrie & Co., Inc.*† 22,496

Men’s Wearhouse, Inc.† 950 22,106

Monaco Coach Corp. 2,290 21,709

Hooker Furniture Corp. 970 21,670

Perry Ellis International, Inc.*† 21,612

Christopher & Banks Corp.† 20,380

Stewart Enterprises, Inc. —

Class A 3,170 20,351

Skechers U.S.A., Inc. — Class A* 20,008

Matthews International Corp. —

Class A† 400 19,300

Monro Muffler Brake, Inc. 19,266

Cherokee, Inc. 570 19,192

Gymboree Corp.* 470 18,744

Marvel Entertainment, Inc.*† 18,458

Drew Industries, Inc.* 750 18,345

3,088,460

Priceline.com, Inc.*† 760 91,854

Chipotle Mexican Grill, Inc.* 66,992

DeVry, Inc.† 1,430 59,831

Sotheby’s† 1,940 56,085

Aeropostale, Inc.*† 1,850 50,153

Lear Corp.* 1,930 50,006

Bally Technologies, Inc.*† 47,733

Polaris Industries, Inc.† 1,120 45,931

Deckers Outdoor Corp.*† 420 45,284

J. Crew Group, Inc.*† 1,020 45,053

LKQ Corp.*† 2,000 44,940

Jack in the Box, Inc.*† 1,670 44,873

Wolverine World Wide, Inc.† 44,675

Rent-A-Center, Inc.* 2,390 43,856

Tenneco, Inc.*† 1,540 43,028

WMS Industries, Inc.*† 1,160 41,725

540

2,680

2,030

1,420

1,290

710

240

2,250

640

870

610

1,110

820

190

740

2,600

210

370

110

60

170

2,480

2,090

60

2,230

1,440

850

1,960

1,600

990

2,040

990

1,140

689

690

1,390

1,540

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 83

March 31, 2008

DSW, Inc.* 1,380 $ 17,871 Sonic Corp.*† 380 $ 8,375

Furniture Brands International, Inc. 17,433 Build-A-Bear Workshop, Inc.* 8,090

The Warnaco Group, Inc.*† 16,959 Lee Enterprises, Inc.† 800 8,008

FTD Group, Inc. 1,260 16,909 Helen of Troy Ltd.*† 460 7,714

Charming Shoppes, Inc.*† 16,277 Sonic Automotive, Inc. 370 7,604

ArvinMeritor, Inc.† 1,300 16,263 Premier Exhibitions, Inc.* 7,369

Under Armour, Inc.*† 420 15,372 Children’s Place Retail Stores, Inc.* 7,122

Capella Education Co.*† 280 15,288 Sauer, Inc.† 320 7,085

G-III Apparel Group Ltd.* 14,762 CKX, Inc.* 730 6,950

Pacific Sunwear of California, Inc.*† 14,754 Pre-Paid Legal Services, Inc.* 6,786

INVESTools, Inc.*† 1,310 14,397 Arbitron, Inc.† 150 6,474

Entravision Communications Global Sources Ltd.*† 430 6,386

Corp. — Class A* 2,110 14,053 Carter’s, Inc.* 380 6,137

CSK Auto Corp.*† 1,450 13,499 Regis Corp. 220 6,048

Stage Stores, Inc. 830 13,446 Blue Nile, Inc.*† 110 5,957

Quiksilver, Inc.*† 1,360 13,342 Big 5 Sporting Goods Corp. 5,955

Ambassadors Group, Inc. 680 12,845 Gaylord Entertainment Co.* 5,452

Fred’s, Inc. 1,240 12,710 California Pizza Kitchen, Inc.*† 5,113

Marcus Corp.† 660 12,672 Tween Brands, Inc.* 180 4,453

Brown Shoe Co., Inc.† 840 12,659 A.C. Moore Arts & Crafts, Inc.*† 4,365

Live Nation, Inc.*† 1,040 12,615 Sally Beauty Holdings, Inc.* 4,278

Lululemon Athletica, Inc.*† 12,225 Entercom Communications Corp.† 4,171

Beazer Homes USA, Inc.† 11,907 Jos. A. Bank Clothiers, Inc.*† 4,100

Maidenform Brands, Inc.* 720 11,714 Jakks Pacific, Inc.* 140 3,860

Cato Corp. — Class A† 780 11,653 Martha Stewart Omnimedia, Inc.* 3,789

Pinnacle Entertainment, Inc.*† 11,520 Cumulus Media, Inc. — Class A* 3,669

Corinthian Colleges, Inc.*† 11,423 CPI Corp. 200 3,454

Ruby Tuesday, Inc.† 1,510 11,325 Media General, Inc.† 240 3,365

Buffalo Wild Wings, Inc.*† 11,270 Volcom, Inc.*† 160 3,234

Texas Roadhouse, Inc.*† 1,140 11,172 Zumiez, Inc.*† 200 3,138

MarineMax, Inc.* 890 11,089 Morningstar, Inc.* 50 3,068

Amerigon, Inc.* 740 10,952 BJ’s Restaurants, Inc.*† 210 3,026

DG FastChannel, Inc.*† 560 10,741 Salem Communications Corp. —

Systemax, Inc.† 880 10,613 Class A 700 2,807

Conn’s, Inc.*† 650 10,601 Domino’s Pizza, Inc. 190 2,563

Bluegreen Corp.* 1,580 10,586 Town Sports International Holdings,

Sealy Corp.† 1,380 10,488 Inc.* 390 2,500

Noble International Ltd. 1,660 10,375 McCormick & Schmick’s Seafood

AFC Enterprises, Inc.* 1,140 10,249 Restaurants, Inc.* 210 2,447

Vail Resorts, Inc.*† 210 10,141 Ambassadors International† 2,223

CKE Restaurants, Inc. 850 9,537 Borders Group, Inc.† 340 1,996

1-800-FLOWERS.com, Inc.* 9,531 Aaron Rents, Inc. 90 1,939

Spartan Motors, Inc.† 1,100 9,306 Charlotte Russe Holding, Inc.* 1,907

Lin TV Corp. — Class A*† 960 9,226 Overstock.com, Inc.* 160 1,906

O’Charleys, Inc. 800 9,216 Hibbett Sports Inc.*† 120 1,853

Belo Corp. — Class A 870 9,196 Aftermarket Technology Corp.* 1,750

Triarc Cos., Inc. — Class B 9,190 Retail Ventures, Inc.* 330 1,601

Group 1 Automotive, Inc.† 9,157 Benihana, Inc.* 140 1,578

Jo-Ann Stores, Inc.*† 620 9,133 Ameristar Casinos, Inc.† 80 1,460

Genesco, Inc.*† 390 9,013 Citi Trends, Inc.* 70 1,292

Journal Communications, Inc. — M/I Homes, Inc. 70 1,189

Class A 1,220 9,004 99 Cents Only Stores* 110 1,088

Multimedia Games, Inc.* 8,971 CBRL Group, Inc. 30 1,073

Hayes Lemmerz International, Inc.* 8,733 Standard-Pacific Corp. 190 923

NexCen Brands, Inc.* 2,480 8,506 Avatar Holdings, Inc.* 20 872

1,490

890

430

3,370

1,220

290

1,100

1,170

160

679

180

390

640

620

430

420

1,260

200

510

900

575

1,580

460

300

1,120

110

90

1,330

390

1,680

3,130

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Consumer Discretionary

ENERGY 6.0%

Total Energy

MATERIALS 4.2%

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

84 | See Notes to Financial Statements.

March 31, 2008

Gaiam, Inc.* 40 $ 693 Newpark Resources, Inc.*† $ 14,178

Hovnanian Enterprises, Inc. — Bill Barrett Corp.*† 300 14,175

Class A*† 60 636 Allis-Chalmers Energy, Inc.*† 14,066

MTR Gaming Group, Inc.* 40 280 Golar LNG Ltd.† 750 13,703

LodgeNet Interactive Corp.* 244 NATCO Group, Inc.*† 250 11,688

National CineMedia, Inc. 10 225 Warren Resources, Inc.*† 940 11,158

Orbitz Worldwide, Inc.* 30 207 Delta Petroleum Corp.*† 490 11,045

Energy Partners Ltd.* 1,030 9,754

Double Hull Tankers, Inc.† 9,655

Uranium Resources, Inc.*† 9,644

Pacific Ethanol, Inc.*† 2,170 9,548

TXCO Resources, Inc.*† 740 9,161

USEC, Inc.*† 2,390 8,843

Oilsands Quest, Inc.*† 2,210 8,707

Geokinetics, Inc.* 470 8,516

Dril-Quip, Inc.* 140 6,506

BPZ Resources, Inc.*† 270 5,867

Petroleum Development Corp.* 4,156

T-3 Energy Services, Inc. —

Class A* 80 3,405

Matrix Service Co.*† 190 3,264

Union Drilling, Inc.* 100 1,749

Gulfport Energy Corp.*† 120 1,272

Alon USA Energy, Inc.† 60 913

Aventine Renewable Energy

Holdings, Inc.*† 130 676

Gulf Island Fabrication, Inc. 287

Ship Finance International Ltd.† 263

1,755,688

Complete Production Services,

Inc.*† 1,430 32,804 CF Industries Holdings, Inc.† 125,380

Comstock Resources, Inc.*† 32,240 Terra Industries, Inc.*† 2,130 75,679

Hercules Offshore*† 1,250 31,400 Greif, Inc. — Class A† 920 62,496

ATP Oil & Gas Corp.*† 940 30,757 Quanex Corp.† 1,050 54,327

Basic Energy Services, Inc.*† 30,426 Hercules, Inc.† 2,650 48,468

Carrizo Oil & Gas, Inc.*† 510 30,228 Olin Corp.† 2,430 48,017

ION Geophysical Corp.* 2,170 29,946 Texas Industries, Inc.† 780 46,886

Clayton Williams Energy, Inc.*† 28,345 AptarGroup, Inc.† 1,160 45,159

Bristow Group, Inc.* 520 27,908 Worthington Industries, Inc. 40,825

Bois d’Arc Energy, Inc.*† 26,218 NewMarket Corp.† 520 39,234

Trico Marine Services, Inc.* 26,110 Kaiser Aluminum Corp. 550 38,115

Petroquest Energy, Inc.*† 25,837 Rock-Tenn Co. — Class A† 35,365

PHI, Inc.* 810 25,547 Hecla Mining Co.*† 2,730 30,467

International Coal Group, Inc.*† 25,019 Ferro Corp. 2,030 30,166

Parker Drilling Co.* 3,480 22,481 A. Schulman, Inc.† 1,380 28,331

Nordic American Tanker Shipping† 21,840 Headwaters, Inc.*† 2,000 26,380

Contango Oil & Gas Co.* 310 20,029 Olympic Steel, Inc. 580 26,158

Arena Resources, Inc.*† 510 19,742 Neenah Paper, Inc.† 980 25,264

Pioneer Drilling Co.* 1,200 19,116 Glatfelter 1,660 25,083

Berry Petroleum Co. — Class A 17,666 Schweitzer-Mauduit International,

Dawson Geophysical Co.* 260 17,550 Inc. 1,070 24,760

Willbros Group, Inc.*† 510 15,606 Buckeye Technologies, Inc.* 23,659

General Maritime Corp. 650 15,347 Koppers Holdings, Inc. 520 23,041

GulfMark Offshore, Inc.* 260 14,227 Stepan Co. 580 22,173

2,925,036

Exterran Holdings, Inc.*† 89,065

Whiting Petroleum Corp.*† 72,408

Atwood Oceanics, Inc.*† 740 67,873

Mariner Energy, Inc.*† 2,350 63,473

Alpha Natural Resources, Inc.*† 57,775

PetroHawk Energy Corp.*† 56,274

Penn Virginia Corp.† 1,250 55,112

Oil States International, Inc.*† 51,980

Atlas America, Inc. 740 44,726

Swift Energy Co.*† 990 44,540

Crosstex Energy, Inc.† 1,260 42,777

W-H Energy Services, Inc.*† 39,933

Hornbeck Offshore Services, Inc.*† 39,733

Stone Energy Corp.*† 750 39,232

Encore Acquisition Co.*† 960 38,669

Rosetta Resources, Inc.*† 36,586

World Fuel Services Corp. 34,807

EXCO Resources, Inc.* 1,880 34,780

Grey Wolf, Inc.*† 5,040 34,171

Lufkin Industries, Inc. 520 33,186

2,780

1,020

40

910

1,610

60

10

10

1,210

800

1,378

540

2,420

1,220

670

1,490

1,180

3,940

780

380

2,120

1,380

1,120

1,330

2,790

1,160

580

870

1,860

1,240

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Consumer Staples

UTILITIES 2.0%

Total Materials

CONSUMER STAPLES 2.5%

Total Utilities

VALUE VALUE

RUSSELL 2000^® 1.5x STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 85

March 31, 2008

Coeur d’Alene Mines Corp.*† $ 21,937 Ingles Markets, Inc. — Class A $ 19,672

Wausau Paper Corp. 2,460 20,320 Alliance One International, Inc.* 18,120

Compass Minerals International, Central Garden and Pet Co. —

Inc.† 340 20,053 Class A*† 3,130 13,897

Century Aluminum Co.*† 290 19,210 American Oriental Bioengineering,

PolyOne Corp.* 2,900 18,473 Inc.* 1,610 13,041

Brush Engineered Materials, Inc.* 17,712 Ruddick Corp.† 320 11,795

OM Group, Inc.* 270 14,726 Imperial Sugar Co., Inc. 620 11,668

Calgon Carbon Corp.*† 970 14,598 Ralcorp Holdings, Inc.*† 200 11,630

Innospec, Inc. 650 13,780 Chiquita Brands International, Inc.*† 9,937

Arch Chemicals, Inc. 360 13,414 Reddy Ice Holdings, Inc.† 460 5,994

Amcol International Corp.† 12,180 United Natural Foods, Inc.*† 5,987

W.R. Grace & Co.*† 520 11,866 Green Mountain Coffee Roasters,

Schnitzer Steel Industries, Inc. — Inc.*† 170 5,381

Class A 160 11,363 Hain Celestial Group, Inc.*† 5,015

Sensient Technologies Corp. 10,616 Cal-Maine Foods, Inc.† 90 3,004

A.M. Castle & Co.† 350 9,450 Synutra International, Inc.*† 2,813

Spartech Corp. 940 7,943 Jones Soda Co.*† 540 1,885

AbitibiBowater, Inc.† 560 7,230 Nu Skin Enterprises, Inc. 80 1,442

Myers Industries, Inc. 540 7,090 Pricesmart, Inc. 50 1,386

H.B. Fuller Co.† 320 6,531

Minerals Technologies, Inc. 6,280

LSB Industries, Inc.*† 410 6,043

Silgan Holdings, Inc.† 120 5,956

Rockwood Holdings, Inc.*† 5,243

RTI International Metals, Inc.*† 3,165

Universal Stainless & Alloy* 2,971

Georgia Gulf Corp.† 150 1,039

General Moly, Inc.* 100 799

Flotek Industries, Inc.*† 30 438

ShengdaTech, Inc.* 50 425

Kronos Worldwide, Inc. 10 242

1,236,526

Westar Energy, Inc.† 1,220 27,779

Universal Corp.† 790 51,769 Unisource Energy Corp.† 27,602

Flowers Foods, Inc.† 2,020 49,995 Piedmont Natural Gas Co.† 24,159

Longs Drug Stores Corp.† 45,347 California Water Service Group 17,931

Performance Food Group Co.*† 40,523 WGL Holdings, Inc. 440 14,106

Casey’s General Stores, Inc.† 40,002 IDACORP, Inc.† 330 10,596

Central European Distribution Black Hills Corp.† 260 9,303

Corp.* 550 32,004 PNM Resources, Inc.† 640 7,981

Pilgrim’s Pride Corp.† 1,550 31,356 Ormat Technologies, Inc. 180 7,742

Winn-Dixie Stores, Inc.*† 29,814 Southwest Gas Corp. 200 5,592

Darling International, Inc.*† 27,843 Central Vermont Public Service

Vector Group Ltd. 1,580 27,792 Corp.† 230 5,497

Sanderson Farms, Inc. 710 26,987 Northwest Natural Gas Co.† 5,213

Spartan Stores, Inc. 1,260 26,271 South Jersey Industries, Inc.† 3,511

Pantry, Inc.*† 1,230 25,928 Avista Corp. 140 2,738

Fresh Del Monte Produce, Inc.*† 24,024 Allete, Inc. 50 1,931

Chattem, Inc.*† 360 23,882 El Paso Electric Co.* 30 641

J&J Snack Foods Corp. 840 23,075

Farmer Brothers Co. 920 21,289

Village Super Market 400 20,600

Nash Finch Co.† 580 19,708

730,876

ITC Holdings Corp.† 991 51,556

Cleco Corp.† 1,940 43,029

New Jersey Resources Corp. 42,383

Nicor, Inc.† 1,160 38,872

NorthWestern Corp. 1,410 34,362

Aquila, Inc.* 10,490 33,673

UIL Holding Corp. 1,080 32,541

Laclede Group, Inc. 910 32,423

Otter Tail Power Co.† 880 31,143

Portland General Electric Co.† 30,894

CH Energy Group, Inc.† 750 29,175

572,373

5,430

800

3,000

690

430

390

320

170

360

90

100

160

70

100

1,240

920

1,068

470

1,240

1,770

1,660

2,150

120

100

660

1,365

1,370

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

RUSSELL 2000^® 1.5x STRATEGY FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE 1)

SHARES

(NOTE 1)

TELECOMMUNICATION SERVICES 1.1%

SECURITIES LENDING COLLATERAL 29.6%

Time Warner Telecom, Inc. —

Mount Vernon Securities

Class A*†

3,320

$

51,427

Lending Trust Prime

Cogent Communications Group,

Portfolio (Note 8)

8,604,404

$

8,604,404

Inc.*†

1,940

35,521

Total Securities Lending Collateral

Premiere Global Services, Inc.*†

2,440

34,990

(Cost $8,604,404)

8,604,404

Cincinnati Bell, Inc.*†

7,350

31,311

NTELOS Holdings Corp.

1,010

24,442

Total Investments 123.4%

Syniverse Holdings, Inc.*

1,450

24,157

(Cost $35,878,790)

$35,887,127

Atlantic Tele-Network, Inc.

700

23,681

Liabilities in Excess of

Cbeyond, Inc.*†

1,080

20,293

Other Assets – (23.4)%

$ (6,803,614)

Shenandoah Telecommunications

Net Assets – 100.0%

$29,083,513

Co.

1,290

19,144

Alaska Communications Systems

UNREALIZED

GAIN (LOSS)

Group, Inc.†

1,300

15,912

CONTRACTS

(NOTE 1)

iPCS, Inc. — Class A

500

11,675

General Communication, Inc. —

FUTURES CONTRACTS PURCHASED

Class A*

1,610

9,885

June 2008 Russell 2000 Index

USA Mobility, Inc.*

960

6,854

Mini Futures Contracts

Consolidated Communications

(Aggregate Market Value

Holdings, Inc.†

320

4,842

of Contracts $12,168,750)

177

$

245,015

Rural Cellular Corp. — Class A*†

100

4,423

PAETEC Holding Corp.*

380

2,531

UNITS

Total Telecommunication Services

321,088

EQUITY INDEX SWAP AGREEMENTS

Total Common Stocks

June 2008 Russell 2000 Index

(Cost $22,087,765)

22,096,102

Swap, Terminating 06/30/08**

FACE

(Notional Market Value

AMOUNT

$3,872,335)

5,629

$

26,219

REPURCHASE AGREEMENTS 17.8%

May 2008 Russell 2000 Index

Repurchase Agreements (Note 5)

Swap, Terminating 05/19/08**

Mizuho Financial Group, Inc.

(Notional Market Value

issued 03/31/08 at 1.30%

$5,543,724)

8,058

(117,325)

due 04/01/08

$2,980,404

2,980,404

(Total Notional Market

Lehman Brothers Holdings, Inc.

Value $9,416,059)

$

(91,106)

issued 03/31/08 at 1.15%

due 04/01/08

1,585,299

1,585,299

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

620,918

620,918

Total Repurchase Agreements

(Cost $5,186,621)

5,186,621

* Non-Income Producing Security.

** Price Return based on Russell 2000 Index +/- financing at a variable rate.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

86

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 72.9%

FINANCIALS 14.4%

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 87

March 31, 2008

Acadia Realty Trust† 220 $ 5,313

IBERIABANK Corp.† 120 5,310

Tower Group, Inc.† 210 5,286

Nationwide Health Properties, Inc.† $ 14,884 Highwoods Properties, Inc. 5,282

Realty Income Corp.† 520 13,322 Ares Capital Corp. 420 5,279

Aspen Insurance Holdings Ltd.† 12,399 United America Indemnity Ltd. —

Senior Housing Properties Trust† 12,087 Class A* 270 5,200

Waddell & Reed Financial, Inc. — NewAlliance Bancshares, Inc.† 5,149

Class A 320 10,282 Horace Mann Educators Corp. 5,069

Alexandria Real Estate Equities, Inc.† 10,199 Prospect Capital Corp. 330 5,023

IPC Holdings Ltd. 360 10,080 Omega Financial Corp.† 160 4,992

Platinum Underwriters Holdings Ltd.† 10,063 Univest Corp. of Pennsylvania 4,976

National Retail Properties, Inc.† 9,481 First Financial Corp. 160 4,925

Knight Capital Group, Inc. — Class A* 8,932 United Community Banks, Inc. 4,924

Max Capital Group Ltd.† 340 8,905 Presidential Life Corp. 281 4,901

SVB Financial Group*† 200 8,728 SeaBright Insurance Holdings, Inc.* 4,876

First Industrial Realty Trust, Inc.† 8,649 Dollar Financial Corp.* 210 4,830

Post Properties, Inc.† 222 8,574 Harleysville National Corp. 4,759

Montpelier Re Holdings Ltd. 8,506 First Community Bancshares/VA, Inc. 4,735

Delphi Financial Group, Inc. — First Mercury Financial Corp.* 4,701

Class A 290 8,477 Universal Health Realty Income

Entertainment Properties Trust† 8,386 Trust 140 4,662

BioMed Realty Trust, Inc. 350 8,361 Medical Properties Trust Inc.† 4,641

First Niagara Financial Group, Inc. 8,154 Hercules Technology Growth Capital,

Mid-America Apartment Communities, Inc. 420 4,561

Inc.† 160 7,974 FBL Financial Group, Inc. — Class A 4,558

DiamondRock Hospitality Co. 7,855 Chemical Financial Corp.† 4,530

Greenhill & Co., Inc.† 110 7,652 Old Second Bancorp, Inc. 4,515

Eastgroup Properties, Inc.† 7,434 Umpqua Holding Corp.† 290 4,498

Redwood Trust, Inc.† 201 7,306 Sterling Bancshares, Inc. 450 4,473

Extra Space Storage, Inc.† 7,285 Marathon Acquisition Corp.*† 4,462

Prosperity Bancshares, Inc.† 7,165 Community Bank System, Inc.† 4,421

Assured Guaranty Ltd.† 300 7,122 Provident Financial Services, Inc. 4,383

Cathay General Bancorp† 340 7,048 Navigators Group, Inc.*† 80 4,352

Sunstone Hotel Investors, Inc.† 7,044 Donegal Group, Inc. — Class A 4,350

National Financial Partners Corp.† 6,966 Getty Realty Corp. 270 4,301

Lexington Realty Trust† 480 6,917 Sovran Self Storage, Inc.† 4,271

Cash America International, Inc.† 6,916 Independent Bank Corp. 411 4,266

GFI Group, Inc. 120 6,876 Evercore Partners, Inc. — Class A 4,260

Strategic Hotels & Resorts, Inc. 6,696 Digital Realty Trust, Inc.† 120 4,260

Omega Healthcare Investors, Inc. 6,597 NTR Acquisition Co.*† 440 4,211

Park National Corp. 90 6,376 Agree Realty Corp.† 150 4,117

United Fire & Casualty Co. 6,358 Apollo Investment Corp.† 4,116

American Financial Realty Trust† 6,352 UCBH Holdings, Inc.† 530 4,113

South Financial Group, Inc.† 6,241 Texas Capital Bancshares, Inc.* 4,051

Pacific Capital Bancorp† 290 6,235 Saul Centers, Inc. 80 4,019

Odyssey Re Holdings Corp. 5,880 Ramco-Gershenson Properties Trust 4,011

Stifel Financial Corp.* 130 5,837 DCT Industrial Trust, Inc. 400 3,984

FelCor Lodging Trust, Inc.† 5,774 Oriental Financial Group 200 3,942

Citizens Banking Corp. 450 5,593 optionsXpress Holdings, Inc. 3,935

Safety Insurance Group, Inc. 5,461 Mission West Properties 410 3,874

First Merchants Corp. 190 5,423 Sandy Spring Bancorp, Inc.† 3,853

Renasant Corp. 240 5,400 Banco Latinoamericano de

Glacier Bancorp, Inc. 280 5,368 Exportaciones SA 250 3,850

441

170

470

510

420

290

110

310

190

430

550

290

331

280

330

530

130

270

170

410

600

160

620

190

170

160

450

578

250

180

310

440

250

310

100

190

240

510

380

170

260

800

420

240

160

190

480

190

160

140

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

RUSSELL 2000^®  FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

88 | See Notes to Financial Statements.

March 31, 2008

Tanger Factory Outlet Centers, Inc.† $ 3,847 Royal Bancshares of Pennsylvania,

FNB Corp.† 240 3,746 Inc. — Class A† 160 $ 2,315

United Bankshares, Inc. 140 3,731 First State Bancorporation 2,276

FirstMerit Corp.† 180 3,719 Integra Bank Corp. 140 2,268

CNA Surety Corp.* 240 3,691 International Bancshares Corp. 2,258

Ashford Hospitality Trust, Inc.† 3,635 Anthracite Capital, Inc.† 340 2,244

GAMCO Investors, Inc. — Class A 3,626 National Penn Bancshares, Inc. 2,183

Commerce Group, Inc.† 100 3,606 Anworth Mortgage Asset Corp.† 2,146

First Bancorp 180 3,587 TrustCo Bank Corp. 240 2,134

World Acceptance Corp.*† 3,503 Frontier Financial Corp.† 118 2,086

Imperial Capital Bancorp, Inc. 3,459 Advanta Corp. 290 2,039

Sterling Savings Bank† 220 3,434 RAIT Financial Trust† 290 2,013

Phoenix Cos., Inc. 280 3,419 Hersha Hospitality Trust 220 1,987

MFA Mortgage Investments, Inc. 3,402 Resource Capital Corp. 262 1,983

Federal Agricultural Mortgage Corp. 3,393 First Midwest Bancorp, Inc.† 1,944

Green Bankshares, Inc. 190 3,361 Selective Insurance Group, Inc. 1,910

Berkshire Hills Bancorp, Inc.† 3,275 Hallmark Financial Services, Inc.* 1,897

Susquehanna Bancshares, Inc.† 3,259 PFF Bancorp, Inc.† 220 1,830

ProAssurance Corp.* 60 3,230 Security Bank Corp.† 230 1,829

WesBanco, Inc. 130 3,212 MarketAxess Holdings, Inc.*† 1,789

Cedar Shopping Centers, Inc. 3,154 Hanmi Financial Corp. 240 1,774

First Bancorp Puerto Rico† 3,150 Glimcher Realty Trust 140 1,674

NorthStar Realty Finance Corp.† 3,105 UMB Financial Corp. 40 1,648

West Coast Bancorp 210 3,064 Amerisafe, Inc.* 130 1,643

Central Pacific Financial Corp.† 3,016 City Bank 70 1,559

Parkway Properties, Inc.† 80 2,957 eHealth, Inc.* 70 1,545

Castlepoint Holdings Ltd. 300 2,919 Advance America Cash Advance

Potlatch Corp.† 70 2,889 Centers, Inc.† 200 1,510

Home Properties, Inc. 60 2,879 Zenith National Insurance Corp. 1,434

LaSalle Hotel Properties 100 2,873 Irwin Financial Corp.† 270 1,434

National Health Investors, Inc. 2,813 FCStone Group, Inc.* 50 1,385

Winthrop Realty Trust† 670 2,760 Triad Guaranty, Inc.*† 270 1,350

Gramercy Capital Corp./ New York† 2,721 SWS Group, Inc.† 110 1,345

Ezcorp, Inc. — Class A*† 220 2,708 Columbia Banking Systems, Inc. 1,343

Kohlberg Capital Corp. 260 2,699 First Community Bancorp† 1,343

Westamerica Bancorporation† 2,630 Old National Bancorp† 74 1,332

JER Investors Trust, Inc.† 310 2,629 Newcastle Investment Corp.† 1,322

AmericanWest Bancorp† 300 2,616 Sterling Financial Corp.* 70 1,222

GMH Communities Trust 300 2,604 Pennsylvania Real Estate Investment

Sierra Bancorp 120 2,593 Trust 50 1,220

1st Source Corp. 120 2,526 Arbor Realty Trust, Inc.† 80 1,206

Associated Estates Realty Corp. 2,517 Harleysville Group, Inc. 30 1,083

Bank Mutual Corp. 230 2,470 Cohen & Steers, Inc. 40 1,060

Midwest Banc Holdings, Inc.† 2,428 Franklin Bank Corp.*† 340 1,030

BankAtlantic Bancorp, Inc. — Class A 2,424 Franklin Street Properties Corp., Inc.† 1,002

First Charter Corp. 90 2,404 Hilb Rogal & Hobbs Co. 30 944

LandAmerica Financial Group, Inc.† 2,368 MB Financial Corp. 30 923

Healthcare Realty Trust, Inc.† 2,354 Bancfirst Corp. 20 916

Corporate Office Properties Trust SBI† 2,353 Inland Real Estate Corp.† 60 913

Washington Real Estate Investment U-Store-It Trust† 80 906

Trust 70 2,339 Ocwen Financial Corp.* 200 888

CompuCredit Corp.*† 263 2,333 Meadowbrook Insurance Group, Inc. 859

Boston Private Financial Holdings, Portfolio Recovery Associates, Inc. 858

Inc.† 220 2,330 Hancock Holding Co. 20 840

100

170

100

640

72

120

350

110

160

540

130

70

80

130

170

160

180

270

310

380

160

40

90

130

60

50

50

160

220

190

620

70

60

90

70

110

20

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Financials

INFORMATION TECHNOLOGY 13.1%

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 89

March 31, 2008

United Security Bancshares/Fresno Scansource, Inc.*† 200 $ 7,238

CA† 50 $ 840 ValueClick, Inc.*† 410 7,072

Community Bancorp*† 60 814 Checkpoint Systems, Inc.* 6,981

Cousins Properties, Inc. 30 741 Plantronics, Inc. 360 6,952

Grubb & Ellis Co. 100 687 Mantech International Corp. —

Trustmark Corp. 30 668 Class A*† 150 6,804

LTC Properties, Inc. 20 514 Nuance Communications, Inc.*† 6,790

Interactive Brokers Group, Inc. — OmniVision Technologies, Inc.*† 6,728

Class A* 20 513 PMC - Sierra, Inc.*† 1,150 6,555

RLI Corp. 10 496 Euronet Worldwide, Inc.* 340 6,548

Equity Lifestyle Properties, Inc. 494 Skyworks Solutions, Inc.* 890 6,479

Argo Group International Holdings Plexus Corp.*† 230 6,451

Ltd.* 10 355 Cabot Microelectronics Corp.*† 6,430

Great Southern Bancorp, Inc. 312 Sigma Designs, Inc.*† 280 6,348

Santander BanCorp 30 303 SPSS, Inc.* 160 6,205

Simmons First National Corp. 297 United Online, Inc.† 560 5,914

Stewart Information Services Corp. 280 Sohu.com, Inc.* 130 5,867

Crystal River Capital, Inc. 30 268 Blue Coat Systems, Inc.*† 5,730

Bankunited Financial Corp. — Class A† 266 Methode Electronics, Inc. — Class A 5,611

Centerline Holding Co.† 60 244 Semtech Corp.*† 390 5,589

Provident Bankshares Corp. 215 ATMI, Inc.*† 200 5,566

Urstadt Biddle Properties, Inc. 157 Standard Microsystems Corp.* 5,544

Flagstone Reinsurance Holdings 121 Electronics for Imaging, Inc.* 5,520

FX Real Estate and Entertainment, Lawson Software, Inc.*† 720 5,422

Inc.* 20 118 Zoran Corp.* 390 5,327

Deerfield Capital Corp. 23 33 Heartland Payment Systems, Inc.† 5,292

TTM Technologies, Inc.* 460 5,207

EMS Technologies, Inc.* 190 5,157

JDA Software Group, Inc.*† 5,110

Entegris, Inc.* 710 5,105

Brightpoint, Inc.* 610 5,100

Technitrol, Inc. 220 5,089

Quality Systems, Inc.† 170 5,078

Vignette Corp.*† 380 5,020

Arris Group, Inc.*† 860 5,005

InfoSpace, Inc. 430 4,975

Concur Technologies, Inc.*† 4,968

OSI SYSTEMS INC* 210 4,834

Netlogic Microsystems, Inc.* 4,828

Epicor Software Corp.*† 430 4,816

Interwoven, Inc.* 450 4,806

SYNTEL INC 180 4,797

Tyler Technologies, Inc.* 340 4,753

Integral Systems, Inc. 160 4,677

3Com Corp.*† 2,030 4,649

Ariba, Inc.* 480 4,637

Macrovision Corp.*† 330 4,455

Avocent Corp.*† 262 4,428

Faro Technologies, Inc.* 140 4,365

Sycamore Networks, Inc.* 4,136

CMGI, Inc.* 310 4,111

Cass Information Systems, Inc. 4,103

Digi International, Inc.* 350 4,039

SonicWALL, Inc.* 490 4,003

CTS Corp. 370 3,959

850,128

Micros Systems, Inc.* 410 13,801

Itron, Inc.* 150 13,534

Sybase, Inc.* 480 12,624

Flir Systems, Inc.*† 400 12,036

Ansys, Inc.*† 340 11,737

Polycom, Inc.* 520 11,721

Anixter International, Inc.*† 11,527

Equinix, Inc.*† 170 11,303

Jack Henry & Associates, Inc.† 10,855

Parametric Technology Corp.*† 9,588

ON Semiconductor Corp.*† 9,486

VistaPrint Ltd.*† 270 9,436

Emulex Corp.* 540 8,770

SAIC, Inc.*† 470 8,737

Benchmark Electronics, Inc.*† 8,436

Informatica Corp.*† 480 8,189

MPS Group, Inc.*† 690 8,156

Progress Software Corp.*† 8,078

Foundry Networks, Inc.*† 690 7,990

Atheros Communications, Inc.* 7,919

Perot Systems Corp. — Class A*† 7,821

CACI International, Inc. — Class A*† 7,743

j2 Global Communications, Inc.* 7,589

TIBCO Software, Inc.*† 1,060 7,568

Amkor Technology, Inc.*† 700 7,490

SRA International, Inc. — Class A*† 7,293

260

390

400

10

200

20

10

10

260

53

480

20

10

190

10

370

230

280

160

200

1,130

130

180

440

600

1,670

470

270

380

520

170

340

300

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

90 | See Notes to Financial Statements.

March 31, 2008

Imergent, Inc.† 341 $ 3,884 KEMET Corp.*† 510 $ 2,060

Take-Two Interactive Software, Inc.* 3,828 ADTRAN, Inc.† 110 2,035

RF Micro Devices, Inc.* 1,430 3,804 LoopNet, Inc.*† 160 2,032

Electro Scientific Industries, Inc.* 3,790 DealerTrack Holdings, Inc.* 2,022

Monolithic Power Systems, Inc.* 3,755 Marchex, Inc.† 200 1,996

Multi-Fineline Electronix, Inc.*† 3,754 THQ, Inc.*† 90 1,962

Rimage Corp.* 170 3,723 Trident Microsystems, Inc.* 1,957

FEI Co.* 170 3,711 Smart Modular Technologies WWH,

Cirrus Logic, Inc.* 540 3,629 Inc.* 310 1,925

RealNetworks, Inc.* 620 3,553 Greenfield Online, Inc.* 160 1,898

Pericom Semiconductor Corp.* 3,523 LoJack Corp.* 150 1,896

SYKES Enterprises, Inc.* 200 3,518 Hittite Microwave Corp.*† 50 1,871

Blackbaud, Inc. 140 3,399 Rudolph Technologies, Inc.*† 1,856

Netgear, Inc.*† 170 3,391 Mentor Graphics Corp.* 210 1,854

Insight Enterprises, Inc.* 190 3,325 Harmonic, Inc.*† 240 1,824

Oplink Communications, Inc.* 3,291 Rofin-Sinar Technologies, Inc.*† 1,796

Omniture, Inc.*† 140 3,249 Cybersource Corp.*† 120 1,753

Imation Corp. 140 3,184 Gartner, Inc. — Class A*† 90 1,741

Micrel, Inc. 340 3,152 L-1 Identity Solutions, Inc.*† 1,729

Synaptics, Inc.*† 130 3,104 SI International, Inc.* 90 1,727

Art Technology Group, Inc.* 3,065 Ciber, Inc.* 350 1,715

ViaSat, Inc.* 140 3,041 Wind River Systems, Inc.*† 1,703

Mattson Technology, Inc.* 490 2,984 CPI International, Inc.* 170 1,686

Microsemi Corp.*† 130 2,964 Kulicke & Soffa Industries, Inc.* 1,673

Dycom Industries, Inc.*† 240 2,882 The Knot, Inc.*† 140 1,645

CSG Systems International, Inc.* 2,843 Comtech Telecommunications Corp.* 1,560

Mastec, Inc.* 342 2,808 Digital River, Inc.* 50 1,549

Super Micro Computer, Inc.* 2,756 Cognex Corp. 70 1,528

Intermec, Inc.*† 120 2,663 Vasco Data Security International* 1,505

iGate Corp.* 370 2,634 SiRF Technology Holdings, Inc.* 1,425

Loral Space & Communications, Inc.* 2,622 Synchronoss Technologies, Inc.* 1,402

Novatel Wireless, Inc.* 270 2,614 CNET Networks, Inc.* 190 1,349

Palm, Inc.† 510 2,550 LivePerson, Inc.* 430 1,333

Photronics, Inc.* 260 2,483 Chordiant Software, Inc.* 220 1,327

Cogent, Inc.* 263 2,480 Anadigics, Inc.*† 190 1,246

Ultra Clean Holdings*† 250 2,450 Black Box Corp. 40 1,234

infoUSA, Inc. — Class B 400 2,444 Wright Express Corp.* 40 1,229

S1 Corp.* 340 2,417 MercadoLibre, Inc.* 30 1,193

Hutchinson Technology, Inc.* 2,387 Formfactor, Inc.*† 60 1,146

Ness Technologies, Inc.* 240 2,278 Echelon Corp.*† 80 1,080

Sonus Networks, Inc.* 650 2,236 Network Equipment Technologies,

Radiant Systems, Inc.* 160 2,235 Inc.* 160 1,051

Newport Corp.* 200 2,234 Agilysys, Inc. 80 928

Extreme Networks, Inc.* 720 2,232 Daktronics, Inc.† 50 896

MAXIMUS, Inc. 60 2,203 Perficient, Inc.* 110 873

Triquint Semiconductor, Inc.*† 2,176 SAVVIS, Inc.* 52 846

DSP Group, Inc.*† 170 2,166 Internap Network Services Corp.* 843

Adaptec, Inc.* 730 2,146 MicroStrategy, Inc. — Class A* 740

Exar Corp.* 260 2,140 Global Cash Access Holdings, Inc.* 703

Brooks Automation, Inc.*† 2,138 TiVo, Inc.* 80 701

Immersion Corp.* 300 2,133 Littelfuse, Inc.* 20 699

TheStreet.com, Inc. 260 2,101 Net 1 UEPS Technologies, Inc.* 677

Tessera Technologies, Inc.*† 2,080 Comtech Group, Inc.* 60 647

Manhattan Associates, Inc.* 2,064 MKS Instruments, Inc.*† 30 642

AsiaInfo Holdings, Inc.* 190 2,063 Interactive Intelligence, Inc.* 589

150

230

100

213

200

380

240

190

371

40

130

790

220

350

250

40

330

110

280

110

70

150

430

170

10

120

220

30

100

90

50

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Information Technology

INDUSTRIALS 10.3%

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 91

March 31, 2008

Taleo Corp.* 30 $ 582 Hexcel Corp.* 240 $ 4,586

Measurement Specialties, Inc.* 524 Huron Consulting Group, Inc.* 4,571

Tekelec* 40 498 CDI Corp. 180 4,509

Cavium Networks, Inc.* 30 492 Standex International Corp. 4,468

Avid Technology, Inc.* 20 487 Deluxe Corp.† 230 4,418

ExlService Holdings, Inc.* 20 459 Ameron International Corp.† 4,396

Sapient Corp.* 60 418 Encore Wire Corp.† 240 4,370

PC Connection, Inc.* 40 317 CoStar Group, Inc.*† 100 4,300

Woodward Governor Co. 160 4,275

American Commercial Lines, Inc.* 4,266

TBS International Ltd. — Class A* 4,228

Superior Essex, Inc.* 150 4,218

UAP Holding Corp. 110 4,217

Universal Forest Products, Inc. 4,186

Orbital Sciences Corp.* 170 4,097

Michael Baker Corp.* 182 4,088

EnPro Industries, Inc.*† 130 4,055

Federal Signal Corp. 290 4,048

PHH Corp.* 230 4,009

Mueller Water Products, Inc. —

Class A† 480 3,926

Clarcor, Inc.† 110 3,911

Heidrick & Struggles International,

Inc. 120 3,904

PeopleSupport, Inc.* 421 3,840

Simpson Manufacturing Co., Inc.† 3,805

AirTran Holdings, Inc.* 560 3,696

Kaman Corp. — Class A 130 3,678

American Railcar Industries, Inc.† 3,659

Pacer International, Inc. 220 3,615

Apogee Enterprises, Inc. 230 3,542

Schawk, Inc. 220 3,518

Tredegar Corp. 190 3,460

Gibraltar Industries, Inc.† 290 3,402

Chart Industries, Inc.* 100 3,384

Kenexa Corp. — Class A*† 3,326

Administaff, Inc. 140 3,305

Spherion Corp.* 540 3,305

Volt Information Sciences, Inc.* 3,256

Nordson Corp. 60 3,231

Celadon Group, Inc.* 330 3,194

Kforce, Inc.* 361 3,191

Arkansas Best Corp.† 100 3,186

DynCorp International, Inc. —

Class A* 190 3,169

Lindsay Manufacturing Co. 3,074

JetBlue Airways Corp.*† 530 3,074

Brady Corp. — Class A 90 3,009

TransDigm Group, Inc.* 80 2,964

TrueBlue, Inc.* 220 2,957

Moog, Inc. — Class A*† 70 2,955

Cubic Corp. 100 2,843

Wabash National Corp. 310 2,787

Tennant Co. 70 2,787

ESCO Technologies, Inc.*† 2,780

775,953

Bucyrus International, Inc. — Class A 18,297

FTI Consulting, Inc.*† 190 13,498

Curtiss-Wright Corp.† 260 10,785

Acuity Brands, Inc.† 230 9,879

Valmont Industries, Inc. 110 9,668

Actuant Corp. — Class A† 9,667

Belden, Inc.† 270 9,536

Teledyne Technologies, Inc.* 9,400

Esterline Technologies Corp.* 9,067

EMCOR Group, Inc.* 400 8,884

Walter Industries, Inc. 140 8,768

Eagle Bulk Shipping, Inc.† 8,501

Genco Shipping & Trading Ltd. 8,465

Baldor Electric Co. 300 8,400

Applied Industrial Technologies, Inc.† 8,369

IHS, Inc.* 130 8,360

Wabtec Corp.† 220 8,285

United Stationers, Inc.*† 170 8,109

Herman Miller, Inc.† 330 8,108

Regal-Beloit Corp.† 220 8,059

Mueller Industries, Inc. 272 7,847

Watsco, Inc.† 171 7,083

GrafTech International Ltd.*† 6,970

Middleby Corp.* 110 6,863

Forward Air Corp. 190 6,734

Astec Industries, Inc.*† 172 6,667

Triumph Group, Inc.† 110 6,262

Interface, Inc. — Class A 440 6,182

G & K Services, Inc. — Class A† 6,054

School Specialty, Inc.* 190 5,993

HUB Group, Inc. — Class A*† 5,920

Columbus McKinnon Corp. —

Class A*† 190 5,886

Watson Wyatt & Co. Holdings 5,675

Republic Airways Holdings, Inc.* 5,632

Horizon Lines, Inc. — Class A† 5,583

Tecumseh Products Co. — Class A* 5,522

Perini Corp.* 150 5,435

Viad Corp.† 150 5,402

Rush Enterprises, Inc. - Class A*† 5,227

Cenveo, Inc.*† 480 5,021

Robbins & Myers, Inc. 153 4,995

Waste Connections, Inc.*† 4,918

Comfort Systerms USA, Inc.† 4,814

Teletech Holdings, Inc.* 210 4,717

30

110

200

47

270

140

130

140

180

180

192

30

70

180

320

200

180

330

150

280

430

170

180

100

260

300

180

330

160

370

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Industrials

HEALTH CARE 10.2%

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

92 | See Notes to Financial Statements.

March 31, 2008

Barrett Business Services, Inc. $ 2,741 Advisory Board Co.* 10 $ 549

NCI Building Systems, Inc.*† 2,662 Cascade Corp. 10 493

Navigant Consulting, Inc.*† 2,657 Badger Meter, Inc. 10 432

LSI Industries, Inc. 200 2,642 Insituform Technologies, Inc. —

Ampco-Pittsburgh Corp. 60 2,579 Class A*† 30 415

American Reprographics Co.* 2,523 Healthcare Services Group 413

American Superconductor Corp.*† 2,319 Gencorp, Inc.* 40 412

Pike Electric Corp.* 160 2,229 II-VI, Inc.* 10 380

Briggs & Stratton Corp.† 120 2,148 Albany International Corp. — Class A 361

Tetra Tech, Inc.* 110 2,146 Force Protection, Inc.*† 160 322

Aecom Technology Corp.* 80 2,081 FuelCell Energy, Inc.* 40 266

Alaska Air Group, Inc.*† 100 1,962 Knight Transportation, Inc. 10 165

Heico Corp. 40 1,950 Integrated Electrical Services, Inc.* 157

Dollar Thrifty Automotive Group, Inc.* 1,910 Coleman Cable, Inc.* 10 110

First Advantage Corp. — Class A* 1,907

IKON Office Solutions, Inc. 1,900

Knoll, Inc.† 160 1,846

Energy Conversion Devices, Inc.*† 1,794

Dynamic Materials Corp. 40 1,728

LB Foster Co. — Class A* 40 1,722

Geo Group, Inc.*† 60 1,706

Taser International, Inc.*† 180 1,692

Consolidated Graphics, Inc.* 1,682

Nuco2, Inc.* 60 1,666

Greenbrier Cos., Inc. 60 1,591

Sun Hydraulics Corp. 53 1,551

Griffon Corp.* 180 1,548

COMSYS IT Partners, Inc.* 1,523

Pinnacle Airlines Corp.* 170 1,484

Evergreen Solar, Inc.*† 160 1,483

Standard Register Co. 190 1,480

SkyWest, Inc.† 70 1,478

Preformed Line Products Co. 1,460

Kaydon Corp. 30 1,317

Ceradyne, Inc.* 40 1,278

Mine Safety Appliances Co. 1,236

Raven Industries, Inc. 40 1,212

Twin Disc, Inc. 70 1,107

American Science & Engineering, Inc. 1,091

Resources Connection, Inc. 1,072

Team, Inc.* 30 819

AAR Corp.* 30 818

Beacon Roofing Supply, Inc.*† 800

American Ecology Corp. 30 760

Rollins, Inc. 40 708

On Assignment, Inc.* 110 699

Barnes Group, Inc. 30 689

Genesee & Wyoming, Inc. —

Class A*† 20 688

Granite Construction, Inc. 20 654

Clean Harbors, Inc.* 10 650

ICT Group, Inc.* 60 605

Stanley, Inc.* 20 589

Mobile Mini, Inc.* 30 570

Flow International Corp.* 60 557

610,729

Hologic, Inc.* 530 29,468

Perrigo Co.† 390 14,715

BioMarin Pharmaceuticals, Inc.*† 14,148

Illumina, Inc.*† 160 12,144

OSI Pharmaceuticals, Inc.*† 11,591

Inverness Medical Innovations, Inc.*† 11,137

Psychiatric Solutions, Inc.*† 10,515

Myriad Genetics, Inc.* 260 10,475

Varian Inc.*† 170 9,846

Steris Corp.† 360 9,659

United Therapeutics Corp.*† 9,537

Owens & Minor, Inc.† 230 9,048

AMERIGROUP Corp.* 330 9,019

Bio-Rad Laboratories, Inc. — Class A* 8,895

Magellan Health Services, Inc.*† 8,732

Meridian Bioscience, Inc.† 8,692

Applera Corp. - Celera Group*† 7,953

Parexel International Corp.* 7,830

Medicis Pharmaceutical Corp. —

Class A† 391 7,699

LifeCell Corp.* 180 7,565

Amedisys, Inc.*† 190 7,475

Cubist Pharmaceuticals, Inc.*† 7,368

Sunrise Senior Living, Inc.* 7,352

Valeant Pharmaceuticals

International*† 570 7,313

Martek Biosciences Corp.*† 7,184

Eclipsys Corp.* 340 6,667

Analogic Corp. 100 6,654

NuVasive, Inc.* 190 6,557

Alkermes, Inc.*† 550 6,534

Alexion Pharmaceuticals, Inc.*† 6,523

KV Pharmaceutical Co.*† 260 6,490

Affymetrix, Inc.*† 370 6,442

Sciele Pharma, Inc.*† 311 6,064

Medarex, Inc.*† 680 6,018

The Trizetto Group, Inc.*† 6,008

Healthways, Inc.* 170 6,008

160

110

140

170

20

100

10

10

140

90

250

60

30

180

30

30

20

60

80

400

310

370

310

110

100

220

260

541

300

400

330

235

110

360

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Health Care

CONSUMER DISCRETIONARY 9.6%

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 93

March 31, 2008

ArthroCare Corp.*† 180 $ 6,003 Dendreon Corp.*† 510 $ 2,458

Bruker BioSciences Corp.*† 6,002 Salix Pharmaceuticals Ltd.*† 2,449

Conmed Corp.*† 230 5,897 Cypress Bioscience, Inc.*† 2,434

Cepheid, Inc.* 240 5,854 Haemonetics Corp.* 40 2,383

Sun Healthcare Group, Inc.*† 5,650 Medcath Corp.* 130 2,366

Phase Forward, Inc.*† 330 5,636 Cross Country Healthcare, Inc.* 2,350

Vital Signs, Inc. 110 5,571 Immucor, Inc.*† 110 2,347

Invacare Corp. 250 5,570 Dionex Corp.* 30 2,310

Chemed Corp.† 130 5,486 Seattle Genetics, Inc.* 250 2,275

Apria Healthcare Group, Inc.*† 5,333 Geron Corp.*† 440 2,147

Zoll Medical Corp.* 200 5,318 Regeneron Pharmaceuticals, Inc.*† 2,111

Medicines Co.*† 260 5,252 OraSure Technologies, Inc.* 2,047

PharmaNet Development Group, Healthsouth Corp.*† 110 1,957

Inc.*† 200 5,046 RehabCare Group, Inc.* 130 1,950

AmSurg Corp.* 210 4,973 Ariad Pharmaceuticals, Inc.* 1,786

Kendle International, Inc.* 110 4,941 Human Genome Sciences, Inc.*† 1,649

Merit Medical Systems, Inc.*† 4,907 Volcano Corp.* 130 1,625

Providence Service Corp.* 4,800 Nighthawk Radiology Holdings, Inc.* 1,498

Natus Medical, Inc.* 260 4,719 Neurocrine Biosciences, Inc.*† 1,350

Sirona Dental Systems, Inc.* 4,585 Conceptus, Inc.* 70 1,299

eResearch Technology, Inc.* 4,471 Noven Pharmaceuticals, Inc.* 1,257

Omnicell, Inc.* 220 4,422 Enzon Pharmaceuticals, Inc.*† 1,197

National Healthcare Corp. 90 4,383 Abaxis, Inc.* 50 1,159

Par Pharmaceutical Cos., Inc.*† 4,348 Halozyme Therapeutics, Inc.* 1,081

AMN Healthcare Services, Inc.* 4,318 Alpharma, Inc. — Class A*† 1,048

Angiodynamics, Inc.* 370 4,277 Obagi Medical Products, Inc.* 1,042

SonoSite, Inc.* 150 4,265 Thoratec Corp.* 70 1,000

Res-Care, Inc.* 240 4,116 Alnylam Pharmaceuticals, Inc.* 976

Align Technology, Inc.* 370 4,111 RTI Biologics, Inc.*† 100 945

Onyx Pharmaceuticals, Inc.*† 4,064 Allscripts Healthcare Solutions, Inc.*† 826

Bentley Pharmaceuticals, Inc.* 4,063 Cutera, Inc.* 60 808

Cynosure, Inc.*† 190 4,047 Mentor Corp. 30 772

Albany Molecular Research, Inc.* 4,006 Emergency Medical Services Corp. —

Medical Action Industries, Inc.* 3,943 Class A* 30 741

Nektar Therapeutics* 560 3,886 Emergent Biosolutions, Inc.* 624

Symmetry Medical, Inc.*† 230 3,818 Corvel Corp.* 20 612

Centene Corp.*† 270 3,764 LCA-Vision, Inc. 40 500

Viropharma, Inc.* 420 3,755 PSS World Medical, Inc.* 30 500

Molina Healthcare, Inc.*† 140 3,419 Wright Medical Group, Inc.* 483

Air Methods Corp.* 70 3,386 Matria Healthcare, Inc.* 20 446

SurModics, Inc.*† 80 3,350 Orthofix International NV*† 398

inVentiv Health, Inc.*† 110 3,169 American Dental Partners, Inc.*† 290

Cantel Medical Corp.* 290 3,080 HealthExtras, Inc.* 10 248

Universal American Financial Corp.* 3,074 Savient Pharmaceuticals, Inc.*† 200

Quidel Corp.* 180 2,891

American Medical Systems Holdings,

Inc.*† 200 2,838

Isis Pharmaceuticals, Inc.*† 2,822

Nabi Biopharmaceuticals* 670 2,693

Auxilium Pharmaceuticals, Inc.* 2,674

West Pharmaceutical Services, Inc.† 2,654

HMS Holdings Corp.* 90 2,570

Healthspring, Inc.* 180 2,534

Datascope Corp. 60 2,486

602,509

Priceline.com, Inc.*† 141 17,041

Chipotle Mexican Grill, Inc.* 13,593

DeVry, Inc.† 280 11,715

Sotheby’s† 380 10,986

Lear Corp.*† 380 9,846

Aeropostale, Inc.*† 360 9,760

Bally Technologies, Inc.*† 270 9,272

Polaris Industries, Inc.† 220 9,022

390

390

340

430

190

270

110

280

530

280

310

160

160

250

170

360

140

130

250

170

280

40

120

40

140

80

250

330

240

70

20

10

30

290

10

200

100

60

140

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

94 | See Notes to Financial Statements.

March 31, 2008

Jack in the Box, Inc.*† 330 $ 8,867 Skechers U.S.A., Inc. — Class A* $ 3,840

J. Crew Group, Inc.*† 200 8,834 Marvel Entertainment, Inc.*† 3,751

LKQ Corp.*† 390 8,763 Monro Muffler Brake, Inc.† 3,718

Wolverine World Wide, Inc.† 8,703 Cherokee, Inc. 110 3,704

Deckers Outdoor Corp.* 80 8,626 Gymboree Corp.* 90 3,589

Rent-A-Center, Inc.*† 470 8,624 DSW, Inc.*† 270 3,496

Tenneco, Inc.* 300 8,382 Drew Industries, Inc.* 140 3,424

WMS Industries, Inc.*† 230 8,273 Furniture Brands International, Inc.† 3,393

Bright Horizons Family Solutions, FTD Group, Inc. 250 3,355

Inc.*† 170 7,317 ArvinMeritor, Inc.† 260 3,253

Fossil, Inc.*† 230 7,024 Charming Shoppes, Inc.*† 3,188

Iconix Brand Group, Inc.*† 6,940 The Warnaco Group, Inc.*† 3,155

Callaway Golf Co. 470 6,900 G-III Apparel Group Ltd.* 220 2,952

Zale Corp.*† 340 6,718 Under Armour, Inc.*† 80 2,928

American Greetings Corp. — Class A 6,678 Pacific Sunwear of California, Inc.* 2,900

Gemstar-TV Guide International, INVESTools, Inc.*† 261 2,868

Inc.*† 1,410 6,627 Capella Education Co.* 52 2,839

Bob Evans Farms, Inc.† 240 6,622 Entravision Communications Corp. —

Cooper Tire & Rubber Co. 6,587 Class A* 420 2,797

American Axle & Manufacturing Quiksilver, Inc.*† 270 2,649

Holdings, Inc. 320 6,560 CSK Auto Corp.*† 280 2,607

Exide Technologies*† 490 6,419 Stage Stores, Inc. 160 2,592

Scholastic Corp.* 210 6,357 Fred’s, Inc.† 240 2,460

P.F. Chang’s China Bistro, Inc.*† 6,257 Ambassadors Group, Inc. 130 2,456

Red Robin Gourmet Burgers, Inc.*† 6,011 Live Nation, Inc.*† 200 2,426

Life Time Fitness, Inc.*† 190 5,930 Brown Shoe Co., Inc.† 160 2,411

Buckle, Inc.† 130 5,815 Beazer Homes USA, Inc.† 250 2,362

Netflix, Inc.*† 160 5,544 Pinnacle Entertainment, Inc.* 2,304

Valassis Communications, Inc.*† 5,533 Marcus Corp. 120 2,304

Tupperware Brands Corp.† 5,415 Lululemon Athletica, Inc.*† 2,274

Interactive Data Corp. 190 5,409 MarineMax, Inc.*† 180 2,243

Unifirst Corp.† 140 5,193 Corinthian Colleges, Inc.*† 2,241

Superior Industries International, Cato Corp. — Class A† 150 2,241

Inc.† 250 5,187 Buffalo Wild Wings, Inc.*† 90 2,205

World Wrestling Entertainment, Inc. 5,025 Ruby Tuesday, Inc.† 290 2,175

La-Z-Boy, Inc.† 602 5,021 Texas Roadhouse, Inc.*† 220 2,156

Blyth, Inc. 250 4,930 Conn’s, Inc.*† 130 2,120

Champion Enterprises, Inc.*† 4,915 Maidenform Brands, Inc.* 130 2,115

Cox Radio Inc. — Class A* 4,871 DG FastChannel, Inc.*† 110 2,110

Tempur-Pedic International, Inc.† 4,840 Bluegreen Corp.* 310 2,077

Ethan Allen Interiors, Inc.† 4,833 Amerigon, Inc.* 140 2,072

Winnebago Industries, Inc.† 4,732 Noble International Ltd. 330 2,062

Collective Brands, Inc.*† 390 4,727 Sealy Corp.† 270 2,052

Dress Barn, Inc.*† 361 4,671 Systemax, Inc.† 170 2,050

Strayer Education, Inc. 30 4,575 AFC Enterprises, Inc.* 220 1,978

Men’s Wearhouse, Inc.† 190 4,421 Vail Resorts, Inc.*† 40 1,932

Russ Berrie & Co., Inc.*† 310 4,359 CKE Restaurants, Inc. 170 1,907

Monaco Coach Corp. 450 4,266 Group 1 Automotive, Inc.† 1,878

Hooker Furniture Corp. 190 4,245 1-800-FLOWERS.com, Inc.* 1,872

Perry Ellis International, Inc.*† 4,148 Spartan Motors, Inc. 220 1,861

Christopher & Banks Corp.† 3,996 Genesco, Inc.*† 80 1,849

Stewart Enterprises, Inc. — Class A 3,980 O’Charleys, Inc. 160 1,843

Matthews International Corp. — Lin TV Corp. — Class A* 190 1,826

Class A 80 3,860 Belo Corp. — Class A† 170 1,797

190

140

220

300

290

660

400

80

360

230

440

220

160

180

510

140

80

310

270

490

410

440

170

280

80

220

190

400

620

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Consumer Discretionary

ENERGY 5.8%

VALUE VALUE

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 95

March 31, 2008

Triarc Cos., Inc. — Class B 260 $ 1,797 Aaron Rents, Inc. 10 $ 215

Journal Communications, Inc. — 99 Cents Only Stores* 20 198

Class A 240 1,771 Standard-Pacific Corp. 40 194

Jo-Ann Stores, Inc.*† 120 1,768 Citi Trends, Inc.* 10 185

Multimedia Games, Inc.* 330 1,762 Gaiam, Inc.* 10 173

Hayes Lemmerz International, Inc.* 1,702 M/I Homes, Inc. 10 170

NexCen Brands, Inc.* 490 1,681 Hovnanian Enterprises, Inc. —

Build-A-Bear Workshop, Inc.* 1,636 Class A*† 10 106

Lee Enterprises, Inc.† 160 1,602 MTR Gaming Group, Inc.* 10 70

Sonic Corp.*† 71 1,565 Orbitz Worldwide, Inc.* 10 69

Helen of Troy Ltd.*† 90 1,509 LodgeNet Interactive Corp.* 61

Children’s Place Retail Stores, Inc.* 1,474

Premier Exhibitions, Inc.* 240 1,450

Sonic Automotive, Inc. 70 1,438

CKX, Inc.* 140 1,333

Sauer, Inc.† 60 1,328

Arbitron, Inc. 30 1,295

Pre-Paid Legal Services, Inc.* 1,272

Gaylord Entertainment Co.* 1,212

Global Sources Ltd.*† 80 1,188

Big 5 Sporting Goods Corp. 1,140

Carter’s, Inc.* 70 1,131

Regis Corp. 40 1,100

Blue Nile, Inc.* 20 1,083

California Pizza Kitchen, Inc.*† 1,049

Sally Beauty Holdings, Inc.* 828

A.C. Moore Arts & Crafts, Inc.*† 818

Entercom Communications Corp. 794

Martha Stewart Omnimedia, Inc.*† 743

Tween Brands, Inc.* 30 742

Cumulus Media, Inc. — Class A*† 702

Jos. A. Bank Clothiers, Inc.*† 615

Volcom, Inc.* 30 606

BJ’s Restaurants, Inc.* 40 576

Media General, Inc. 40 561

Jakks Pacific, Inc.* 20 551

Domino’s Pizza, Inc. 40 540

Salem Communications Corp. —

Class A 130 521

CPI Corp. 30 518

Town Sports International Holdings,

Inc.* 80 513

Zumiez, Inc.*† 30 471

McCormick & Schmick’s Seafood

Restaurants, Inc.* 40 466

Ambassadors International† 445

Borders Group, Inc.† 70 411

Aftermarket Technology Corp.* 389

Ameristar Casinos, Inc. 20 365

CBRL Group, Inc. 10 358

Overstock.com, Inc.* 30 357

Charlotte Russe Holding, Inc.* 347

Hibbett Sports Inc.* 20 309

Retail Ventures, Inc.* 60 291

Benihana, Inc.* 20 225

568,211

Exterran Holdings, Inc.*† 270 17,426

Whiting Petroleum Corp.*† 14,223

Atwood Oceanics, Inc.*† 150 13,758

Mariner Energy, Inc.*† 460 12,425

Alpha Natural Resources, Inc.*† 11,294

PetroHawk Energy Corp.* 11,093

Penn Virginia Corp. 240 10,582

Oil States International, Inc.*† 10,306

Atlas America, Inc. 150 9,066

Swift Energy Co.*† 190 8,548

Crosstex Energy, Inc.† 250 8,487

Hornbeck Offshore Services, Inc.* 7,855

Stone Energy Corp.*† 150 7,846

Encore Acquisition Co.*† 190 7,653

W-H Energy Services, Inc.*† 7,573

Rosetta Resources, Inc.*† 370 7,278

EXCO Resources, Inc.* 370 6,845

World Fuel Services Corp. 6,737

Grey Wolf, Inc.*† 990 6,712

Comstock Resources, Inc.* 6,448

Complete Production Services, Inc.*† 6,423

Lufkin Industries, Inc. 100 6,382

Hercules Offshore*† 250 6,280

ATP Oil & Gas Corp.*† 190 6,217

Basic Energy Services, Inc.*† 5,962

ION Geophysical Corp.* 430 5,934

Carrizo Oil & Gas, Inc.*† 100 5,927

Bristow Group, Inc.*† 100 5,367

Clayton Williams Energy, Inc.*† 5,249

Petroquest Energy, Inc.*† 300 5,202

Bois d’Arc Energy, Inc.*† 240 5,158

Trico Marine Services, Inc.* 5,066

PHI, Inc.* 160 5,046

International Coal Group, Inc.*† 4,953

Parker Drilling Co.* 680 4,393

Nordic American Tanker Shipping† 4,200

Contango Oil & Gas Co.* 60 3,877

Arena Resources, Inc.* 100 3,871

Pioneer Drilling Co.*† 230 3,664

Dawson Geophysical Co.* 52 3,510

Berry Petroleum Co. — Class A 3,254

610

180

10

60

30

40

130

80

120

120

80

100

110

30

60

20

20

220

260

550

230

172

110

240

160

280

270

100

130

780

150

70

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Energy

MATERIALS 4.1%

CONSUMER STAPLES 2.4%

VALUE VALUE

Total Materials

RUSSELL 2000^® FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

96 | See Notes to Financial Statements.

March 31, 2008

General Maritime Corp. 130 $ 3,069 Stepan Co. 110 $ 4,205

Willbros Group, Inc.*† 100 3,060 Compass Minerals International, Inc. 4,129

Bill Barrett Corp.*† 60 2,835 Century Aluminum Co.*† 60 3,974

Newpark Resources, Inc.*† 2,805 Wausau Paper Corp. 480 3,965

Allis-Chalmers Energy, Inc.*† 2,758 PolyOne Corp.* 570 3,631

GulfMark Offshore, Inc.* 50 2,736 Brush Engineered Materials, Inc.*† 3,337

Golar LNG Ltd. 140 2,558 Calgon Carbon Corp.*† 190 2,860

NATCO Group, Inc.* 50 2,338 Innospec, Inc. 130 2,756

Warren Resources, Inc.* 190 2,255 OM Group, Inc.* 50 2,727

Delta Petroleum Corp.*† 100 2,254 Arch Chemicals, Inc. 70 2,608

Double Hull Tankers, Inc. 180 1,910 Amcol International Corp. 80 2,498

Energy Partners Ltd.* 200 1,894 W.R. Grace & Co.*† 100 2,282

Pacific Ethanol, Inc.*† 430 1,892 Schnitzer Steel Industries, Inc. —

Uranium Resources, Inc.* 310 1,857 Class A 30 2,131

USEC, Inc.*† 470 1,739 Sensient Technologies Corp.† 2,064

TXCO Resources, Inc.*† 140 1,733 A.M. Castle & Co.† 70 1,890

Oilsands Quest, Inc.* 430 1,694 Spartech Corp. 190 1,606

Geokinetics, Inc.* 90 1,631 AbitibiBowater, Inc.† 110 1,420

Dril-Quip, Inc.* 30 1,394 Myers Industries, Inc. 100 1,313

BPZ Resources, Inc.*† 50 1,087 Minerals Technologies, Inc. 1,256

Petroleum Development Corp.* 693 H.B. Fuller Co.† 60 1,225

Matrix Service Co.* 40 687 LSB Industries, Inc.*† 80 1,179

T-3 Energy Services, Inc. — Class A* 426 Silgan Holdings, Inc. 20 993

Union Drilling, Inc.* 20 350 Rockwood Holdings, Inc.* 30 983

Gulfport Energy Corp.* 20 212 Universal Stainless & Alloy* 594

Aventine Renewable Energy RTI International Metals, Inc.* 452

Holdings, Inc.* 30 156 Georgia Gulf Corp.† 30 208

Alon USA Energy, Inc.† 10 152 General Moly, Inc.* 20 160

Flotek Industries, Inc.* 10 146

ShengdaTech, Inc.* 10 85

241,988

Terra Industries, Inc.*† 420 14,923

Greif, Inc. — Class A† 180 12,227 Universal Corp. 160 10,485

Quanex Corp. 210 10,865 Flowers Foods, Inc.† 400 9,900

Hercules, Inc. 520 9,511 Longs Drug Stores Corp.† 9,002

Olin Corp. 480 9,485 Casey’s General Stores, Inc. 7,684

Texas Industries, Inc.† 150 9,016 Performance Food Group Co.*† 7,582

AptarGroup, Inc.† 220 8,565 Central European Distribution Corp.* 6,401

Worthington Industries, Inc. 8,098 Pilgrim’s Pride Corp.† 310 6,271

Kaiser Aluminum Corp. 110 7,623 Winn-Dixie Stores, Inc.* 330 5,927

NewMarket Corp.† 100 7,545 Vector Group Ltd.† 310 5,453

Rock-Tenn Co. — Class A† 6,893 Darling International, Inc.*† 5,439

Hecla Mining Co.* 540 6,026 Sanderson Farms, Inc. 140 5,321

Ferro Corp. 400 5,944 Spartan Stores, Inc. 250 5,212

A. Schulman, Inc. 270 5,543 Pantry, Inc.*† 240 5,059

Headwaters, Inc.*† 390 5,144 Chattem, Inc.*† 70 4,644

Glatfelter 330 4,986 J&J Snack Foods Corp. 160 4,395

Olympic Steel, Inc. 110 4,961 Fresh Del Monte Produce, Inc.* 4,368

Neenah Paper, Inc.† 190 4,898 Farmer Brothers Co. 180 4,165

Schweitzer-Mauduit International, Village Super Market 80 4,120

Inc. 210 4,859 Ingles Markets, Inc. — Class A 3,934

Buckeye Technologies, Inc.*† 4,576 Nash Finch Co.† 110 3,738

Koppers Holdings, Inc. 100 4,431 Alliance One International, Inc.* 3,564

Coeur d’Alene Mines Corp.*† 4,323

344,265

CF Industries Holdings, Inc.† 24,869

70

550

200

130

70

20

10

10

20

10

212

340

232

110

480

230

420

120

160

410

590

1,070

240

SCHEDULE OF INVESTMENTS (continued)

March 31, 2008

RUSSELL 2000^® FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE  1)

SHARES

(NOTE  1)

Central Garden and Pet Co. —

Syniverse Holdings, Inc.*

280

$

4,665

Class A*†

610

$

2,708

Atlantic Tele-Network, Inc.

130

4,398

American Oriental Bioengineering,

Cbeyond, Inc.*†

210

3,946

Inc.*

310

2,511

Shenandoah Telecommunications

Imperial Sugar Co., Inc.

120

2,258

Co.

250

3,710

Ruddick Corp.

60

2,212

Alaska Communications Systems

Chiquita Brands International, Inc.*†

80

1,849

Group, Inc.†

260

3,182

Ralcorp Holdings, Inc.*

30

1,744

iPCS, Inc. — Class A

100

2,335

Reddy Ice Holdings, Inc.

90

1,173

General Communication, Inc. —

United Natural Foods, Inc.*†

60

1,123

Class A*

310

1,903

Green Mountain Coffee Roasters, Inc.*

30

950

USA Mobility, Inc.*

190

1,357

Hain Celestial Group, Inc.*

30

885

Consolidated Communications

Cal-Maine Foods, Inc.

20

668

Holdings, Inc.†

60

908

Synutra International, Inc.*

20

625

Rural Cellular Corp. — Class A*

20

885

Jones Soda Co.*†

100

349

PAETEC Holding Corp.*

70

466

Pricesmart, Inc.

10

277

Total Telecommunication Services

62,681

Nu Skin Enterprises, Inc.

10

180

Total Common Stocks

Total Consumer Staples

142,176

(Cost $4,292,340)

4,310,228

UTILITIES 1.9%

FACE

ITC Holdings Corp.

190

9,892

AMOUNT

New Jersey Resources Corp.†

275

8,539

REPURCHASE AGREEMENTS 23.4%

Cleco Corp.†

380

8,428

Repurchase Agreements (Note 5)

Nicor, Inc.†

230

7,707

Mizuho Financial Group, Inc.

NorthWestern Corp.

280

6,824

issued 03/31/08 at 1.30%

Aquila, Inc.*†

2,060

6,613

due 04/01/08

$796,147

796,147

Laclede Group, Inc.

180

6,413

Lehman Brothers Holdings, Inc.

UIL Holding Corp.

210

6,327

issued 03/31/08 at 1.15%

Portland General Electric Co.†

270

6,089

due 04/01/08

423,476

423,476

Otter Tail Power Co.

170

6,016

Morgan Stanley

Westar Energy, Inc.

240

5,465

issued 03/31/08 at 1.35%

CH Energy Group, Inc.†

140

5,446

due 04/01/08

165,864

165,864

Unisource Energy Corp.

240

5,342

Total Repurchase Agreements

Piedmont Natural Gas Co.†

180

4,727

(Cost $1,385,487)

1,385,487

California Water Service Group

90

3,434

SHARES

WGL Holdings, Inc.†

90

2,885

SECURITIES LENDING COLLATERAL 9.3%

IDACORP, Inc.†

70

2,248

Mount Vernon Securities

Black Hills Corp.†

50

1,789

Lending Trust Prime

PNM Resources, Inc.

120

1,496

Portfolio (Note 8)

548,245

548,245

Ormat Technologies, Inc.

30

1,290

Southwest Gas Corp.

40

1,118

Total Securities Lending Collateral

Central Vermont Public Service Corp.

40

956

(Cost $548,245)

548,245

Northwest Natural Gas Co.

20

869

Total Investments 105.6%

South Jersey Industries, Inc.

20

702

(Cost $6,226,072)

$6,243,960

Avista Corp.

30

587

Liabilities in Excess of

Allete, Inc.

10

386

Other Assets – (5.6)%

$

(330,618)

Total Utilities

111,588

Net Assets – 100.0%

$5,913,342

TELECOMMUNICATION SERVICES 1.1%

UNREALIZED

Time Warner Telecom, Inc. —

GAIN

Class A*†

650

10,068

CONTRACTS

(NOTE 1)

Cogent Communications Group,

Inc.*†

380

6,958

FUTURES CONTRACTS PURCHASED

Premiere Global Services, Inc.*†

480

6,883

June 2008 Russell 2000 Index

Cincinnati Bell, Inc.*†

1,450

6,177

Mini Futures Contracts

NTELOS Holdings Corp.†

200

4,840

(Aggregate Market Value

of Contracts $825,000)

12

$

16,715

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

97

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

RUSSELL 2000^® FUND

UNREALIZED

GAIN

UNITS

(NOTE 1)

EQUITY INDEX SWAP AGREEMENTS

May 2008 Russell 2000 Index Swap,

Terminating 05/19/08**

(Notional Market Value

$398,672)

579

$

9,701

June 2008 Russell 2000 Index Swap,

Terminating 06/30/08**

(Notional Market Value

$411,267)

598

2,785

(Total Notional Market

Value $809,939)

$

12,486

* Non-Income Producing Security.

** Price Return based on Russell 2000 Index +/- financing at a variable rate.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

98

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS

March 31, 2008

INVERSE RUSSELL 2000^® STRATEGY FUND

MARKET

MARKET

FACE

VALUE

VALUE

AMOUNT

(NOTE 1)

SHARES

(NOTE 1)

REPURCHASE AGREEMENTS 89.7%

Ormat Technologies, Inc.

320

$

(13,763)

Repurchase Agreements (Note 5)

MGE Energy, Inc.

410

(13,965)

Lehman Brothers Holdings, Inc.

Southwest Water Co.

1,420

(15,719)

issued 03/31/08 at 1.15%

Nicor, Inc.

570

(19,101)

due 04/01/08†

24,872,464

$  24,872,464

Empire District Electric Co.

1,080

(21,870)

Mizuho Financial Group, Inc.

EnergySouth, Inc.

420

(21,920)

issued 03/31/08 at 1.30%

SJW Corp.

770

(22,014)

due 04/01/08

20,602,795

20,602,795

South Jersey Industries, Inc.

730

(25,630)

Morgan Stanley issued

American States Water Co.

740

(26,640)

03/31/08 at 1.35%

PNM Resources, Inc.

2,270

(28,307)

due 04/01/08

4,292,249

4,292,249

Allete, Inc.

770

(29,737)

Total Repurchase Agreements

Aquila, Inc.*

10,140

(32,549)

(Cost $49,767,508)

49,767,508

El Paso Electric Co.*

1,600

(34,192)

Avista Corp.

1,760

(34,426)

Total Long Securities 89.7%

ITC Holdings Corp.

670

(34,880)

(Cost $49,767,508)

$  49,767,508

Southwest Gas Corp.

1,330

(37,187)

SHARES

Northwest Natural Gas Co.

860

(37,358)

COMMON STOCKS SOLD SHORT (37.5)%

Black Hills Corp.

1,120

(40,074)

Idacorp, Inc.

1,280

(41,101)

TELECOMMUNICATION SERVICES (0.4)%

WGL Holdings, Inc.

1,380

(44,243)

Premiere Global Services, Inc.*

50

(717)

Piedmont Natural Gas Co.

1,760

(46,218)

General Communication*

360

(2,210)

Westar Energy, Inc.

2,140

(48,728)

USA Mobility, Inc.*

460

(3,284)

Total Utilities

(695,898)

Cogent Communications

CONSUMER STAPLES (1.4)%

Group, Inc.*

221

(4,046)

Vector Group

1

(18)

Cbeyond, Inc.*

230

(4,322)

Spartan Stores, Inc.

1

(21)

Centennial Communications

Pantry, Inc.*

1

(21)

Corp.*

1,240

(7,328)

Cal-Maine Foods, Inc.

1

(33)

Hungarian Telephone & Cable

Village Super Market

1

(51)

Corp.*

540

(9,369)

Sanderson Farms, Inc.

20

(760)

Iowa Telecommunications

Pilgrim’s Pride Corp.

60

(1,214)

Services, Inc.

550

(9,751)

Synutra International*

50

(1,562)

iPCS, Inc.

420

(9,807)

Central Garden and Pet*

520

(2,309)

Alaska Communications Systems

MGP Ingredients

380

(2,656)

Group, Inc.

811

(9,927)

Prestige Brands Holdings, Inc.*

440

(3,599)

IDT Corp. — Class B*

3,180

(12,307)

Nash Finch Co.

140

(4,757)

PAETEC Holding Corp.*

1,960

(13,054)

Casey’s General Stores, Inc.

240

(5,424)

Fairpoint Communications, Inc.

1,530

(13,801)

Performance Food Group Co.*

172

(5,621)

SureWest Communications

1,310

(20,253)

National Beverage Corp.

1,010

(7,747)

Global Crossing*

1,640

(24,862)

Lancaster Colony Corp.

241

(9,630)

Cincinnati Bell, Inc.*

6,910

(29,437)

Longs Drug Stores Corp.

241

(10,233)

Time Warner Telecom, Inc.*

2,690

(41,668)

American Oriental

Total Telecommunication Services

(216,143)

Bioengineering, Inc.*

1,490

(12,069)

UTILITIES (1.3)%

Pricesmart, Inc.

440

(12,192)

UIL Holdings Corp.

1

(30)

Green Mountain

Cadiz, Inc.*

2

(31)

Coffee Roasters*

420

(13,293)

California Water Service Group

2

(76)

Seaboard Corp.

10

(15,650)

NorthWestern Corp.

30

(731)

Fresh Del Monte Produce, Inc.*

460

(16,744)

Central Vermont

Universal Corp.

260

(17,038)

Public Service Corp.

40

(956)

Alliance One International, Inc.*

2,900

(17,516)

Unisource Energy Corp. Co.

140

(3,116)

Maui Land & Pineapple Co., Inc.*

560

(17,858)

Otter Tail Corp.

101

(3,574)

Chattem, Inc.*

270

(17,912)

New Jersey Resources Corp.

272

(8,446)

Arden Group, Inc. — Class A

130

(18,590)

Cleco Corp.

420

(9,316)

Alico, Inc.

430

(18,985)

Inter Parfums, Inc.

880

(19,430)

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

99

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Consumer Staples

MATERIALS (2.2)%

Total Materials

ENERGY (2.7)%

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

100 See Notes to Financial Statements.

March 31, 2008

United Natural Foods, Inc.* $ (20,207) General Moly, Inc.* 1,470 $ (11,745)

Boston Beer Co., Inc. — American Vanguard Corp. (13,645)

Class A* 460 (21,868) Balchem Corp. 600 (13,752)

Coca-Cola Bottling PolyOne Corp.* 2,590 (16,498)

Consolidated Co. 360 (22,183) NL Industries, Inc. 1,600 (17,472)

Weis Markets, Inc. 670 (23,095) AMCOL International Corp. (18,113)

Flowers Foods, Inc. 940 (23,265) Valhi, Inc. 800 (18,712)

Darling International, Inc.* (23,440) Innophos Holdings, Inc. 1,210 (19,469)

Elizabeth Arden* 1,240 (24,738) Quanex Corp. 380 (19,661)

WD-40 Co. 780 (25,935) Arch Chemicals, Inc. 540 (20,120)

TreeHouse Foods, Inc.* 1,250 (28,575) Coeur d’Alene Mines Corp.* (20,766)

Andersons, Inc. 650 (28,997) GenTek* 710 (21,357)

Chiquita Brands Zep, Inc. 1,360 (22,059)

International, Inc.* 1,270 (29,350) Texas Industries, Inc. 390 (23,443)

Great Atlantic & Stillwater Mining Co.* 1,630 (25,216)

Pacific Tea Co.* 1,122 (29,419) Greif, Inc. — Class A 380 (25,813)

Ralcorp Holdings, Inc.* 520 (30,238) Deltic Timber Corp. 480 (26,736)

Nu Skin Enterprises, Inc. 1,741 (31,373) Haynes International, Inc.* (27,989)

Tootsie Roll Industries, Inc. (32,780) Apex Silver Mines Ltd.* 2,380 (28,846)

Hain Celestial Group, Inc.* (38,055) Zoltek Cos., Inc.* 1,100 (29,172)

Ruddick Corp. 1,150 (42,389) Hercules, Inc. 1,600 (29,264)

Central European Royal Gold, Inc. 990 (29,868)

Distribution Corp.* 730 (42,479) Hecla Mining Co.* 3,060 (34,150)

RTI International Metals, Inc.* (34,812)

HB Fuller Co. 1,760 (35,922)

Rockwood Holdings, Inc.* (36,375)

Minerals Technologies, Inc. (37,680)

Aptargroup, Inc. 970 (37,762)

Silgan Holdings, Inc. 780 (38,711)

Schnitzer Steel Industries,

Inc. — Class A 590 (41,902)

WR Grace & Co.* 2,000 (45,640)

OM Group, Inc.* 850 (46,359)

Compass Minerals

International, Inc. 860 (50,723)

Century Aluminum Co.* 800 (52,992)

Terra Industries* 1,560 (55,427)

CF Industries Holdings, Inc. (99,475)

(1,241,083)

NewMarket Corp. 50 (3,772)

Mercer International* 550 (3,834) World Fuel Services Corp. 1 (28)

AEP Industries, Inc.* 131 (3,968) Pioneer Drilling Co.* 2 (32)

LSB Industries* 270 (3,980) Encore Acquisition Co.* 2 (81)

ShengdaTech* 500 (4,250) Lufkin Industries, Inc. 20 (1,276)

Universal Stainless & Alloy* (5,051) Rosetta Resources, Inc.* 100 (1,967)

Rock-Tenn Co. — Class A (5,125) Geokinetics, Inc.* 140 (2,537)

Worthington Industries, Inc. (6,090) Toreador Resources Corp.* (4,201)

Brush Engineered Hornbeck Offshore

Materials, Inc.* 240 (6,161) Services, Inc.* 101 (4,613)

Spartech Corp. 890 (7,521) Allis-Chalmers Energy, Inc.* (5,654)

Innospec, Inc. 380 (8,056) T-3 Energy Services* 140 (5,958)

Flotek Industries, Inc.* 590 (8,608) Uranium Resources, Inc.* (6,589)

AM Castle & Co. 340 (9,180) Dawson Geophysical Co.* (6,750)

Sensient Technologies Corp. (9,732) Crosstex Energy, Inc. 201 (6,824)

Olin Corp. 500 (9,880)

(771,319)

Esmark, Inc.* 1 (11)

Tronox, Inc. 5 (19)

Wausau Paper Corp. 3 (25)

AbitibiBowater, Inc. 3 (39)

Schulman A, Inc. 2 (41)

U.S. Concrete, Inc.* 200 (760)

Chesapeake Corp. 260 (1,251)

Headwaters, Inc.* 102 (1,345)

Buckeye Technologies, Inc.* (1,674)

Horsehead Holding Corp.* (1,737)

Koppers Holdings, Inc. 50 (2,215)

Glatfelter 150 (2,266)

Kronos Worldwide, Inc. 140 (3,381)

Kaiser Aluminum Corp. 50 (3,465)

|

1,080

820

580

1,810

5,140

510

1,301

1,290

770

1,110

600

960

170

171

361

540

410

1,100

100

330

150

150

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Energy

HEALTH CARE (4.5)%

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 101

March 31, 2008

Basic Energy Services, Inc.* $ (6,845) Dril-Quip, Inc.* 840 $ (39,035)

Gulfport Energy Corp.* 690 (7,314) Hercules Offshore, Inc.* 1,660 (41,699)

Alon USA Energy, Inc. 490 (7,453) W-H Energy Services, Inc.* (41,999)

Delek US Holdings 600 (7,602) Delta Petroleum Corp.* 1,940 (43,728)

USEC, Inc.* 2,130 (7,881) Berry Petroleum Co. 1,080 (50,209)

ION Geophysical Corp.* 580 (8,004) Alpha Natural Resources, Inc.* (52,128)

Bronco Drilling Co., Inc.* 530 (8,538) Exterran Holdings, Inc.* 1,080 (69,703)

Swift Energy Co.* 190 (8,548) PetroHawk Energy Corp.* (89,757)

Atlas America, Inc. 151 (9,126)

ATP Oil & Gas Corp.* 290 (9,489)

Golar LNG 540 (9,866)

TXCO Resources, Inc.* 820 (10,152)

Callon Petroleum Co.* 620 (11,216)

Gulfmark Offshore, Inc.* 210 (11,491)

Gulf Island Fabrication, Inc. (11,775)

Contango Oil & Gas* 190 (12,276)

Complete Production

Services, Inc.* 570 (13,076)

Matrix Service Co.* 780 (13,400)

General Maritime Corp. 600 (14,166)

Venoco, Inc.* 1,220 (14,176)

GMX Resources, Inc.* 450 (15,718)

Penn Virginia Corp. 361 (15,916)

Bristow Group, Inc.* 310 (16,638)

NATCO Group, Inc. — Class A* (17,297)

Warren Resources, Inc.* 1,510 (17,924)

Approach Resources, Inc.* (18,189)

CVR Energy, Inc.* 810 (18,654)

APCO Argentina, Inc. 750 (19,478)

Clean Energy Fuels Corp.* (19,773)

Stone Energy Corp.* 380 (19,878)

Rex Energy Corp.* 1,200 (19,968)

OYO Geospace Corp.* 440 (19,985)

Parker Drilling Co.* 3,120 (20,155)

Petroleum Development Corp.* (20,781)

RPC, Inc. 1,390 (21,114)

Comstock Resources, Inc.* (21,359)

Arena Resources, Inc.* 580 (22,452)

Harvest Natural Resources, Inc.* (22,673)

Cal Dive International, Inc.* (22,940)

Parallel Petroleum Corp.* (24,658)

Willbros Group, Inc.* 840 (25,704)

Concho Resources* 1,060 (27,178)

Mariner Energy, Inc.* 1,010 (27,280)

McMoRan Exploration Co.* (27,318)

Carrizo Oil & Gas, Inc.* 480 (28,450)

BPZ Resources, Inc.* 1,360 (29,553)

Goodrich Petroleum Corp.* (31,283)

EXCO Resources, Inc.* 1,720 (31,820)

CARBO Ceramics, Inc. 800 (32,080)

Atwood Oceanics, Inc.* 350 (32,102)

Whiting Petroleum Corp.* (33,036)

Bill Barrett Corp.* 700 (33,075)

Grey Wolf, Inc.* 5,160 (34,985)

Oil States International, Inc.* (37,640)

(1,504,216)

Keryx Biopharmaceuticals, Inc.* (3)

Penwest Pharmaceuticals Co.* (10)

LCA-Vision, Inc. 1 (12)

Molecular Insight

Pharmaceuticals, Inc.* 3 (20)

PharmaNet Development

Group, Inc.* 1 (25)

GTx, Inc.* 2 (32)

Trizetto Group, Inc.* 2 (33)

Conceptus, Inc.* 4 (74)

Luminex Corp.* 4 (79)

Idenix Pharmaceuticals* 120 (602)

Analogic Corp. 10 (665)

SurModics, Inc.* 30 (1,256)

American Dental Partners, Inc.* (1,354)

Eclipsys Corp.* 80 (1,569)

KV Pharmaceutical Co. —

Class A* 80 (1,997)

Allos Therapeutics, Inc.* 340 (2,067)

Cubist Pharmaceuticals, Inc.* (2,210)

Amsurg Corp.* 100 (2,368)

Salix Pharmaceuticals Ltd.* (2,386)

Nighthawk Radiology

Holdings, Inc.* 310 (2,902)

Martek Biosciences Corp.* (3,057)

Amedisys, Inc.* 80 (3,147)

Bruker BioSciences Corp.* (3,232)

RehabCare Group* 240 (3,600)

Gentiva Health Services, Inc.* (3,699)

Omnicell, Inc.* 190 (3,819)

Genomic Health, Inc.* 220 (4,156)

Omrix Biopharmaceuticals, Inc.* (4,620)

Medicis Pharmaceutical

Corp. — Class A 240 (4,726)

Centene Corp.* 340 (4,740)

TranS1* 430 (5,009)

Vanda Pharmaceuticals, Inc.* (5,186)

Virtual Radiologic Corp.* 350 (5,348)

Applera Corp. - Celera Group* (5,454)

Noven Pharmaceuticals, Inc.* (5,478)

Universal American

Financial Corp.* 520 (5,512)

AMN Healthcare Services, Inc.* (5,551)

Par Pharmaceutical Cos., Inc.* (5,565)

310

610

1,200

4,450

410

370

1,160

1,480

300

530

1,880

2,210

1,260

1,580

1,040

511

840

5

4

140

120

380

100

210

170

330

1,340

371

610

360

320

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

102 See Notes to Financial Statements.

March 31, 2008

Cambrex Corp. 810 $ (5,613) Acadia Pharmaceuticals, Inc.* $ (13,771)

Emergency Medical Chemed Corp. 330 (13,926)

Services Corp. — Class A* (5,926) ev3, Inc.* 1,790 (14,571)

Tercica* 1,050 (6,016) inVentiv Health, Inc.* 510 (14,693)

Phase Forward, Inc.* 380 (6,490) Viropharma, Inc.* 1,670 (14,930)

NxStage Medical, Inc.* 1,540 (6,653) Owens & Minor, Inc. 380 (14,949)

Neurocrine Biosciences, Inc.* (6,750) Myriad Genetics, Inc.* 390 (15,713)

Spectranetics Corp.* 810 (6,772) Jazz Pharmaceuticals* 1,750 (15,785)

Vital Images, Inc.* 460 (6,817) I-Flow Corp.* 1,130 (15,854)

Cadence Pharmaceuticals, Inc.* (7,081) Affymax, Inc.* 1,200 (16,920)

Altus Pharmaceuticals, Inc.* (7,280) Biodel, Inc.* 1,570 (17,035)

Align Technology, Inc.* 680 (7,555) Nektar Therapeutics* 2,460 (17,072)

Meridian Bioscience, Inc. 231 (7,722) Allscripts Healthcare

Emeritus Corp.* 380 (7,927) Solutions, Inc.* 1,690 (17,441)

Accuray, Inc.* 1,030 (8,044) Auxilium Pharmaceuticals, Inc.* (17,648)

Maxygen* 1,250 (8,075) STERIS Corp. 660 (17,708)

BioMimetic Therapeutics, Inc.* (8,080) Haemonetics Corp.* 300 (17,874)

Abaxis, Inc.* 370 (8,573) Varian, Inc.* 320 (18,534)

Orexigen Therapeutics, Inc.* (8,961) Magellan Health Services, Inc.* (18,654)

Volcano Corp.* 720 (9,000) MAP Pharmaceuticals* 1,340 (18,720)

Air Methods Corp.* 190 (9,190) Healthspring, Inc.* 1,340 (18,867)

ICU Medical, Inc.* 320 (9,206) Arena Pharmaceuticals, Inc.* (18,878)

Palomar Medical Insulet Corp.* 1,320 (19,008)

Technologies, Inc.* 630 (9,513) Cyberonics, Inc.* 1,320 (19,140)

Progenics Pharmaceuticals, Inc.* (9,534) BMP Sunstone Corp.* 2,500 (19,150)

Bio-Reference Labs, Inc.* 380 (10,043) Micrus Endovascular Corp.* (19,529)

Ligand Pharmaceuticals, Inc. — Human Genome Sciences, Inc.* (19,732)

Class B 2,540 (10,160) Sirtris Pharmaceuticals* 1,540 (20,005)

Metabolix, Inc.* 930 (10,184) Array Biopharma, Inc.* 2,860 (20,049)

Assisted Living Concepts, Healthways, Inc.* 570 (20,144)

Inc. — Class A* 1,780 (10,484) Lifecell Corp.* 480 (20,174)

Greatbatch, Inc.* 570 (10,494) Landauer, Inc. 410 (20,639)

Mentor Corp. 412 (10,597) Psychiatric Solutions, Inc.* (21,030)

Trubion Pharmaceuticals* (10,667) Thoratec Corp.* 1,480 (21,149)

Enzo Biochem, Inc.* 1,180 (10,726) Bio-Rad Laboratories, Inc. —

Dionex Corp.* 141 (10,856) Class A* 240 (21,348)

Stereotaxis, Inc.* 1,900 (11,248) Abiomed, Inc.* 1,680 (22,075)

Cross Country Healthcare, Inc.* (11,257) Kensey Nash Corp.* 770 (22,292)

Matria Healthcare* 510 (11,373) Medivation, Inc.* 1,570 (22,341)

HMS Holdings Corp.* 400 (11,420) PharMerica Corp.* 1,370 (22,701)

AMERIGROUP Corp.* 421 (11,506) Rigel Pharmaceuticals, Inc.* (22,765)

Parexel International Corp.* (11,510) Kindred Healthcare, Inc.* (22,964)

Medicines Co.* 581 (11,736) XenoPort, Inc.* 570 (23,068)

Apria Healthcare Group, Inc.* (11,850) Cepheid, Inc.* 960 (23,414)

Sunrise Senior Living, Inc.* (12,254) Zymogenetics, Inc.* 2,400 (23,520)

Alexza Pharmaceuticals, Inc.* (12,590) Wright Medical Group, Inc.* (23,657)

Nanosphere* 1,470 (12,730) Alnylam Pharmaceuticals, Inc.* (23,668)

Masimo Corp.* 490 (12,740) Acorda Therapeutics, Inc.* (24,053)

NuVasive, Inc.* 370 (12,769) OSI Pharmaceuticals, Inc.* (24,677)

Affymetrix, Inc.* 740 (12,883) HealthExtras, Inc.* 1,030 (25,585)

Halozyme Therapeutics* 2,050 (13,038) Isis Pharmaceuticals, Inc.* (26,527)

Indevus Pharmaceuticals, Inc.* (13,165) InterMune, Inc.* 1,820 (26,536)

TomoTherapy, Inc.* 920 (13,202) Valeant Pharmaceuticals

Orthofix International NV* (13,522) International* 2,120 (27,200)

Momenta Pharmaceuticals, Inc.* (13,663) Exelixis, Inc.* 3,950 (27,453)

|

1,520

240

1,250

1,190

1,600

660

1,010

870

470

2,760

1,460

1,580

3,350

620

1,130

910

1,220

441

1,050

600

550

1,830

980

970

1,340

660

1,880

2,760

340

1,250

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Health Care

CONSUMER DISCRETIONARY (5.1)%

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 103

March 31, 2008

Alpharma, Inc. — Class A* $ (27,521) Retail Ventures, Inc.* 280 $ (1,358)

American Medical Systems CSS Industries, Inc. 50 (1,748)

Holdings, Inc.* 2,010 (28,522) Weyco Group 60 (1,780)

United Therapeutics Corp.* (29,478) Stein Mart 340 (1,911)

Medarex, Inc.* 3,360 (29,736) Kenneth Cole Productions (2,033)

AMAG Pharmaceuticals, Inc.* (30,323) Ambassadors International, Inc. (2,149)

Regeneron Pharmaceuticals, Inc.* (30,704) Sturm Ruger &* 340 (2,802)

PSS World Medical, Inc.* (31,154) Ambassadors Group, Inc. 150 (2,833)

Alkermes, Inc.* 2,700 (32,076) CPI Corp. 170 (2,936)

Incyte Corp.* 3,160 (33,212) Triarc Cos. 430 (2,971)

Savient Pharmaceuticals, Inc.* (35,800) Lin TV Corp.* 310 (2,979)

Inverness Medical Skechers U.S.A., Inc. — Class A* (3,031)

Innovations, Inc.* 1,210 (36,421) Callaway Golf Co. 220 (3,230)

Onyx Pharmaceuticals, Inc.* (38,029) Cooper Tire & Rubber Co. (3,458)

Perrigo Co. 1,010 (38,107) Bob Evans Farms, Inc. 130 (3,587)

West Pharmaceutical Scholastic Corp.* 120 (3,632)

Services, Inc. 920 (40,692) Ulta Salon Cosmetics &

Healthsouth Corp.* 2,310 (41,095) Fragrance* 270 (3,791)

Immucor, Inc.* 1,990 (42,467) Big 5 Sporting Goods Corp. (3,859)

Alexion Pharmaceuticals, Inc.* (45,661) Buffalo Wild Wings, Inc.* 160 (3,920)

BioMarin Pharmaceuticals, Inc.* (61,544) Haverty Furniture Cos. 370 (3,937)

Illumina, Inc.* 1,070 (81,213) Town Sports International

Hologic, Inc.* 1,980 (110,088) Holdings, Inc.* 620 (3,974)

American Axle & Manufacturing

Holdings, Inc. 200 (4,100)

Carmike Cinemas, Inc. 400 (4,112)

MarineMax, Inc.* 340 (4,236)

Pre-Paid Legal Services* 100 (4,241)

Spartan Motors, Inc. 511 (4,323)

Global Sources Ltd.* 310 (4,603)

Midas* 270 (4,641)

Blockbuster, Inc. — Class A* (4,694)

Lodgenet Entertainment Corp.* (4,811)

Aftermarket Technology Corp.* (4,860)

Landry’s Restaurants 300 (4,884)

Zale Corp.* 251 (4,960)

Gaiam, Inc.* 290 (5,023)

Drew Industries* 220 (5,381)

Eddie Bauer Holdings, Inc.* (5,796)

Martha Stewart Living

Omnimedia — Class A* 800 (5,944)

Bright Horizons Family

Solutions, Inc.* 140 (6,026)

Lithia Motors 600 (6,096)

Maidenform Brands* 390 (6,345)

Shuffle Master, Inc.* 1,220 (6,527)

Christopher & Banks Corp. (6,593)

Isle of Capri Casinos, Inc.* (6,864)

Shoe Carnival* 510 (6,900)

MTR Gaming Group, Inc.* (6,930)

Casual Male Retail Group, Inc.* (6,972)

Sauer-Danfoss, Inc. 320 (7,085)

Cato Corp. 480 (7,171)

HOT Topic, Inc.* 1,670 (7,198)

(2,495,987)

Nautilus, Inc. 1 (3)

Media General, Inc. — Class A (14)

Hayes Lemmerz

International, Inc.* 7 (20)

Lee Enterprises, Inc. 2 (20)

Tempur-Pedic International, Inc. (22)

PF Chang’s China Bistro, Inc.* (28)

Core-Mark Holding Co., Inc.* (29)

Life Time Fitness, Inc.* 1 (31)

NetFlix, Inc.* 1 (35)

Under Armour, Inc.* 1 (37)

Cabela’s, Inc.* 3 (42)

National Presto Industries, Inc. (52)

Blue Nile, Inc.* 1 (54)

Valassis Communications, Inc.* (228)

McCormick & Schmick’s

Seafood Restaurants* 30 (349)

Build-A-Bear Workshop, Inc.* (364)

Blyth, Inc. 20 (394)

G-III Apparel Group* 30 (403)

Ruth’s Chris Steak House* 60 (415)

Arctic Cat, Inc. 60 (437)

Iconix Brand Group, Inc.* 30 (520)

DG FastChannel* 30 (575)

Standard Motor Products 100 (612)

Monaco Coach Corp. 100 (948)

West Marine* 180 (1,255)

Tuesday Morning Corp.* 250 (1,295)

Valuevision Media* 240 (1,330)

1,050

340

120

750

290

1,600

1,870

1,790

150

1,310

231

440

770

1,740

1,440

790

250

1,490

660

960

990

1,660

1

2

1

1

1

21

40

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

104 See Notes to Financial Statements.

March 31, 2008

Exide Technologies* 582 $ (7,624) Visteon Corp.* 3,600 $ (13,536)

CSK Auto Corp.* 820 (7,634) Hibbett Sports, Inc.* 880 (13,587)

Lifetime Brands 860 (7,688) Libbey, Inc. 810 (13,640)

Jo-Ann Stores, Inc.* 530 (7,807) WMS Industries, Inc.* 380 (13,669)

Zumiez, Inc.* 510 (8,002) Corinthian Colleges, Inc.* (14,243)

Jackson Hewitt Tax Service, Inc. (8,029) Movado Group 740 (14,423)

Tenneco, Inc.* 301 (8,410) 99 Cents Only Stores* 1,500 (14,835)

Dress Barn, Inc.* 650 (8,411) Childrens Place Retail

Ethan Allen Interiors, Inc. 300 (8,529) Stores, Inc.* 610 (14,982)

Amerigon, Inc.* 580 (8,584) Deckers Outdoor Corp.* 140 (15,095)

BJ’s Restaurants, Inc.* 600 (8,646) Sonic Automotive, Inc. 740 (15,207)

Capella Education Co.* 160 (8,736) Stage Stores, Inc. 960 (15,552)

Rent-A-Center, Inc.* 481 (8,826) Fossil, Inc.* 510 (15,575)

Entercom Communications Furniture Brands

Corp. — Class A 910 (9,036) International, Inc. 1,350 (15,795)

Volcom, Inc.* 450 (9,094) CKE Restaurants, Inc. 1,410 (15,820)

Citi Trends, Inc.* 500 (9,225) Group 1 Automotive, Inc. 680 (15,966)

Stewart Enterprises, Inc. — ArvinMeritor, Inc. 1,281 (16,025)

Class A 1,440 (9,245) Peet’s Coffee & Tea, Inc.* 690 (16,222)

Bebe Stores, Inc. 900 (9,675) Ameristar Casinos, Inc. 890 (16,242)

Great Wolf Resorts, Inc.* (9,698) Sinclair Broadcast Group,

Borders Group, Inc. 1,680 (9,862) Inc. — Class A 1,850 (16,483)

AFC Enterprises* 1,110 (9,979) Shutterfly, Inc.* 1,120 (16,654)

Orbitz Worldwide, Inc.* 1,460 (10,059) Charming Shoppes, Inc.* (16,663)

Journal Communications, Domino’s Pizza, Inc. 1,240 (16,728)

Inc. — Class A 1,370 (10,111) Tween Brands, Inc.* 680 (16,823)

Interactive Data Corp. 360 (10,249) Wolverine World Wide, Inc. (16,826)

Monarch Casino & Resort* (10,272) Collective Brands, Inc.* 1,390 (16,847)

Nexstar Broadcasting Group* (10,384) Belo Corp. — Class A 1,610 (17,018)

California Pizza Kitchen, Inc.* (10,488) Flagstone Reinsurance

Oxford Industries, Inc. 470 (10,589) Holdings Ltd. 1,453 (17,581)

PEP Boys-Manny Moe & Jack (11,056) Morningstar, Inc.* 290 (17,791)

Steak N Shake Co.* 1,410 (11,097) Universal Technical

Ruby Tuesday, Inc. 1,510 (11,325) Institute, Inc.* 1,530 (17,947)

Value Line 250 (11,475) Columbia Sportswear Co. (18,052)

Helen of Troy Ltd.* 700 (11,739) Dolan Media Co.* 900 (18,099)

INVESTools, Inc.* 1,070 (11,759) Papa John’s International, Inc.* (18,157)

Dover Downs Gaming & Pinnacle Entertainment, Inc.* (18,816)

Entertainment, Inc. 1,390 (11,829) AH Belo Corp. — Class A* (18,860)

Fleetwood Enterprises, Inc.* (12,190) FGX International Holdings Ltd.* (18,897)

Fred’s, Inc. 1,200 (12,300) Fisher Communications* 610 (19,008)

Skyline Corp. 450 (12,519) Pier 1 Imports, Inc.* 3,070 (19,280)

Entravision Communications Steinway Musical Instruments* (19,394)

Corp. — Class A* 1,930 (12,854) RC2 Corp.* 930 (19,502)

Leapfrog Enterprises, Inc.* (12,901) Lodgian, Inc.* 1,770 (19,736)

Asbury Automotive Group, Inc. (12,934) Jakks Pacific, Inc.* 720 (19,850)

Texas Roadhouse, Inc.* 1,320 (12,936) Pacific Sunwear Of California* (20,176)

American Greetings Corp. — Sally Beauty Holdings, Inc.* (20,217)

Class A 700 (12,985) GSI Commerce, Inc.* 1,540 (20,251)

Modine Manufacturing Co. (13,041) Knology, Inc.* 1,650 (21,368)

Brown Shoe Co., Inc. 870 (13,111) Steven Madden Ltd.* 1,250 (21,413)

Morgans Hotel Group Co.* (13,190) Champion Enterprises, Inc.* (21,464)

Charlotte Russe Holding, Inc.* (13,352) Gymboree Corp.* 540 (21,535)

Books-A-Million, Inc. 1,530 (13,372) Speedway Motorsports, Inc. (21,560)

|

1,970

700

1,520

3,450

580

580

1,760

800

1,110

410

750

1,470

1,650

2,650

1,580

680

1,830

940

1,600

2,930

900

890

2,140

770

860

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Consumer Discretionary

INDUSTRIALS (6.1)%

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 105

March 31, 2008

Matthews International Corp. — Franklin Electric Co., Inc. 2 $ (68)

Class A 450 $ (21,713) Diamond Management &

Jack in the Box, Inc.* 810 (21,765) Technology Consultants 140 (903)

Live Nation, Inc.* 1,820 (22,077) Marten Transport* 70 (1,086)

K-Swiss, Inc. — Class A 1,430 (22,623) Miller Industries* 130 (1,252)

Universal Electronics, Inc.* (23,000) COMSYS IT Partners* 150 (1,269)

Primedia, Inc. 3,130 (23,006) LECG Corp.* 180 (1,685)

RCN Corp.* 2,100 (23,478) Watsco, Inc. 41 (1,698)

Steiner Leisure Ltd.* 740 (24,420) Twin Disc 110 (1,740)

Men’s Wearhouse, Inc. 1,050 (24,434) Wabash National Corp. 220 (1,978)

Churchill Downs 520 (24,565) Encore Wire Corp. 120 (2,185)

CBRL Group, Inc. 690 (24,681) Sun Hydraulics Corp. 91 (2,664)

Carter’s, Inc.* 1,570 (25,356) Hudson Highland Group* 330 (2,795)

Sotheby’s 901 (26,048) Kenexa Corp.* 170 (3,142)

Aeropostale, Inc.* 1,000 (27,110) Taser International, Inc.* 360 (3,384)

Bally Technologies, Inc.* 790 (27,129) Mueller Industries, Inc. 120 (3,462)

Timberland Co. — Class A* (27,323) RSC Holdings* 340 (3,706)

CEC Entertainment, Inc.* 950 (27,436) Pinnacle Airlines Corp.* 440 (3,841)

Lear Corp.* 1,090 (28,242) Ampco-Pittsburgh Corp. 90 (3,869)

Regis Corp. 1,070 (29,414) DynCorp International, Inc. —

Coinstar, Inc.* 1,060 (29,828) Class A* 240 (4,003)

J Crew Group, Inc.* 690 (30,477) Genco Shipping & Trading Ltd. (4,007)

Marvel Entertainment, Inc.* (31,612) Chart Industries, Inc.* 120 (4,061)

Quiksilver, Inc.* 3,260 (31,981) Forward Air Corp. 122 (4,324)

Gemstar-TV Guide Bowne & Co., Inc. 290 (4,422)

International, Inc.* 6,910 (32,477) Accuride Corp.* 550 (4,499)

Aaron Rents, Inc. 1,510 (32,525) ICT Group, Inc.* 450 (4,540)

National CineMedia, Inc. (33,495) Pacer International, Inc. 302 (4,962)

Arbitron, Inc. 880 (37,981) Dollar Thrifty Automotive Group* (5,456)

Gaylord Entertainment Co.* (38,468) Saia* 350 (5,551)

DeVry, Inc. 950 (39,748) Builders FirstSource, Inc.* 770 (5,590)

Sonic Corp.* 1,820 (40,113) Kimball International 530 (5,682)

Vail Resorts, Inc.* 920 (44,427) Park-Ohio Holdings Corp.* (5,813)

LKQ Corp.* 2,100 (47,187) Regal-Beloit Corp. 160 (5,861)

Tupperware Brands Corp. (47,190) Hardinge 440 (6,054)

Warnaco Group, Inc.* 1,270 (50,089) Greenbrier Cos., Inc. 231 (6,126)

Strayer Education, Inc. 330 (50,325) TurboChef Technologies, Inc.* (6,129)

Chipotle Mexican Grill, Inc.* (57,283) Eagle Bulk Shipping, Inc. 241 (6,208)

priceline.com, Inc.* 690 (83,393) Triumph Group, Inc. 110 (6,262)

Stanley, Inc.* 220 (6,481)

Cubic Corp. 230 (6,539)

Ameron International Corp. (6,547)

Apogee Enterprises, Inc. 430 (6,622)

United Stationers, Inc.* 140 (6,678)

Federal Signal Corp. 480 (6,701)

Huron Consulting Group, Inc.* (7,063)

Universal Forest Products, Inc. (7,084)

Griffon Corp.* 840 (7,224)

Exponent* 220 (7,225)

Innovative Solutions &

Support, Inc.* 720 (7,610)

LB Foster Co. — Class A* (7,751)

Ultrapetrol Bahamas* 760 (7,782)

Baldor Electric Co. 281 (7,868)

(2,817,433)

PGT, Inc.* 4 (11)

EnerNOC, Inc.* 1 (11)

Gibraltar Industries, Inc. 1 (12)

Interface, Inc. — Class A 1 (14)

Horizon Lines, Inc. — Class A (19)

Cenveo, Inc.* 2 (21)

Superior Essex, Inc.* 1 (28)

Kaman Corp. 1 (28)

Raven Industries, Inc. 1 (30)

Tecumseh Products Co. —

Class A* 1 (31)

Astec Industries, Inc.* 1 (39)

Middleby Corp.* 1 (62)

950

1,990

71

1,180

1,490

400

1,270

370

1,220

940

590

70

170

220

180

1

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

106 See Notes to Financial Statements.

March 31, 2008

EnerSys* 330 $ (7,894) JetBlue Airways Corp.* 2,510 $ (14,558)

Integrated Electrical Services* (8,012) Actuant Corp. — Class A 490 (14,803)

Applied Industrial FuelCell Energy, Inc.* 2,300 (15,295)

Technologies, Inc. 270 (8,070) NACCO Industries 190 (15,379)

Insteel Industries, Inc. 700 (8,141) Lawson Products, Inc. 560 (15,428)

H&E Equipment Services, Inc.* (8,170) Universal Truckload Services* (15,444)

Protection One, Inc.* 860 (8,247) IKON Office Solutions, Inc. (15,656)

Consolidated Graphics, Inc.* (8,407) AO Smith Corp. 480 (15,778)

EnPro Industries, Inc.* 270 (8,421) Tennant Co. 400 (15,924)

Argon ST, Inc.* 500 (8,505) Deluxe Corp. 840 (16,136)

Ennis 510 (8,558) Acuity Brands, Inc. 380 (16,321)

Heidrick & Struggles Badger Meter, Inc. 380 (16,416)

International, Inc. 280 (9,108) Skywest, Inc. 780 (16,474)

II-VI, Inc.* 251 (9,533) Alaska Air Group, Inc.* 840 (16,481)

Team* 360 (9,828) Tredegar Corp. 920 (16,753)

NCI Building Systems, Inc.* (9,922) M&F Worldwide Corp.* 460 (17,199)

Flow International Corp.* (10,033) Multi-Color Corp. 770 (17,217)

Simpson Manufacturing Co., Inc. (10,057) Patriot Transportation

Viad Corp. 280 (10,083) Holding, Inc.* 220 (17,257)

American Reprographics Co.* (10,091) Gehl* 1,020 (17,279)

Orbital Sciences Corp.* 430 (10,363) Aecom Technology Corp.* (17,687)

Compx International, Inc. (10,488) ESCO Technologies, Inc.* 450 (17,874)

TrueBlue, Inc.* 790 (10,618) Curtiss-Wright Corp. 431 (17,878)

Insituform Technologies, Inc. — Duff & Phelps Corp.* 1,000 (17,990)

Class A* 770 (10,649) Electro Rent Corp. 1,210 (18,331)

Allegiant Travel Co.* 410 (10,832) Standard Parking Corp.* 880 (18,445)

Robbins & Myers, Inc. 340 (11,101) TeleTech Holdings, Inc.* 830 (18,642)

Ladish Co., Inc.* 310 (11,160) Mobile Mini, Inc.* 1,000 (19,000)

American Woodmark Corp. (11,308) Hurco Cos.* 410 (19,180)

EMCOR Group, Inc.* 511 (11,349) MTC Technologies, Inc.* 820 (19,500)

Powell Industries, Inc.* 290 (11,417) Vicor Corp. 1,640 (19,582)

Esterline Technologies Corp.* (11,585) Courier Corp. 790 (19,710)

Perini Corp.* 320 (11,594) GeoEye* 760 (19,752)

Administaff, Inc. 500 (11,805) Dynamex* 790 (19,987)

Cascade Corp. 240 (11,834) Arlington Tankers Ltd. 960 (20,160)

Amrep Corp. 230 (12,029) Teledyne Technologies, Inc.* (20,210)

Herman Miller, Inc. 491 (12,064) Cornell Cos., Inc.* 930 (20,888)

Innerworkings, Inc.* 860 (12,066) AAON, Inc. 1,070 (21,432)

Airtran Holdings, Inc.* 1,831 (12,085) GenCorp, Inc.* 2,090 (21,506)

Great Lakes Dredge & Dock Evergreen Solar, Inc.* 2,340 (21,692)

Corp. Co. 2,340 (12,098) Gorman-Rupp Co. 660 (21,707)

American Commercial Briggs & Stratton Corp. 1,240 (22,196)

Lines, Inc.* 790 (12,482) Resources Connection, Inc. (22,337)

Dynamic Materials Corp. 290 (12,528) Ceradyne, Inc.* 700 (22,372)

AZZ, Inc.* 360 (12,809) TAL International Group, Inc. (22,391)

Beacon Roofing Supply, Inc.* (13,100) American Superconductor

CoStar Group, Inc.* 310 (13,330) Corp.* 970 (22,494)

Belden, Inc. 380 (13,422) ACCO Brands Corp.* 1,660 (22,526)

Arkansas Best Corp. 430 (13,700) Kadant* 770 (22,623)

Interline Brands* 750 (13,912) FreightCar America, Inc. 660 (22,638)

Valmont Industries, Inc. 160 (14,062) Northwest Pipe Co.* 560 (23,794)

Knoll, Inc. 1,220 (14,079) HUB Group, Inc. — Class A* (24,010)

Kelly Services 690 (14,186) Blount International, Inc.* (24,493)

American Science & Healthcare Services Group (24,562)

Engineering, Inc. 260 (14,188) Navigant Consulting, Inc.* (25,054)

|

510

650

740

2,060

150

410

1,080

370

680

680

1,140

550

230

430

1,250

950

1,310

730

1,980

1,190

1,320

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Industrials

INFORMATION TECHNOLOGY (6.2)%

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 107

March 31, 2008

Rollins, Inc. 1,420 $ (25,120) Sigma Designs, Inc.* 1 $ (23)

Korn/Ferry International* (25,181) Infospace, Inc. 2 (23)

Barnes Group, Inc. 1,110 (25,474) RF Micro Devices, Inc.* 9 (24)

Amerco, Inc.* 460 (26,261) Avid Technology, Inc.* 1 (24)

Layne Christensen Co.* 760 (26,615) Rackable Systems, Inc.* 3 (27)

Lindsay Corp. 260 (26,642) Quality Systems, Inc. 1 (30)

Mcgrath Rentcorp 1,120 (27,003) Sybase, Inc.* 2 (53)

Werner Enterprises, Inc. 1,520 (28,211) 3Com Corp.* 23 (53)

Watson Wyatt Worldwide, Inc. — SYNNEX Corp.* 3 (64)

Class A 500 (28,375) Limelight Networks* 250 (810)

Titan International, Inc. 940 (28,773) Standard Microsystems Corp.* (875)

EnergySolutions 1,270 (29,134) DSP Group* 70 (892)

CIRCOR International, Inc. (29,137) Monolithic Power Systems, Inc.* (899)

Woodward Governor Co. (29,392) Mantech International Corp. —

Atlas Air Worldwide Class A* 20 (907)

Holdings, Inc.* 540 (29,700) FARO Technologies, Inc.* 31 (967)

Heartland Express, Inc. 2,130 (30,374) Euronet Worldwide, Inc.* 60 (1,156)

Granite Construction, Inc. 950 (31,074) Orbcomm* 240 (1,190)

Energy Conversion Devices, Inc.* (31,096) Novatel Wireless, Inc.* 150 (1,452)

Watts Water Technologies, Scansource, Inc.* 42 (1,520)

Inc. — Class A 1,120 (31,394) SonicWALL, Inc.* 240 (1,961)

RBC Bearings, Inc.* 850 (31,561) Anadigics, Inc.* 310 (2,034)

Heico Corp. 650 (31,688) Plantronics, Inc. 110 (2,124)

Tetra Tech, Inc.* 1,650 (32,192) Taleo Corp.* 120 (2,328)

GrafTech International Ltd.* (33,068) Epicor Software Corp.* 210 (2,352)

Old Dominion Freight Line, Inc.* (33,740) Global Cash Access

AAR Corp.* 1,240 (33,815) Holdings, Inc.* 410 (2,403)

Advisory Board Co.* 620 (34,063) Immersion Corp.* 340 (2,417)

ABM Industries, Inc. 1,520 (34,109) Cavium Networks, Inc.* 150 (2,460)

Albany International Corp. — Trident Microsystems* 500 (2,575)

Class A 970 (35,056) LoJack Corp.* 220 (2,781)

Genesee & Wyoming, Inc. — IPG Photonics Corp.* 180 (2,824)

Class A* 1,020 (35,088) Deltek* 220 (2,856)

Clean Harbors, Inc.* 540 (35,100) SRA International, Inc. —

IHS, Inc.* 560 (36,014) Class A* 120 (2,917)

Mine Safety Appliances Co. (36,247) BigBand Networks, Inc.* 560 (3,209)

Kaydon Corp. 870 (38,202) Viasat, Inc.* 150 (3,258)

Hexcel Corp.* 2,070 (39,558) Knot* 280 (3,290)

Moog, Inc.* 980 (41,366) Tivo, Inc.* 390 (3,416)

Geo Group, Inc.* 1,500 (42,660) Interactive Intelligence, Inc.* (4,119)

Nordson Corp. 800 (43,080) Comverge, Inc.* 400 (4,132)

Brady Corp. — Class A 1,400 (46,802) Ciber* 860 (4,214)

Wabtec Corp. 1,270 (47,828) Comtech Group, Inc.* 420 (4,532)

Clarcor, Inc. 1,360 (48,348) Omnivision Technologies, Inc.* (4,541)

UAP Holding Corp. 1,350 (51,759) Newport Corp.* 410 (4,580)

FTI Consulting, Inc.* 741 (52,641) Gevity HR 530 (4,590)

Waste Connections, Inc.* (53,795) Blackbaud, Inc. 192 (4,662)

Bucyrus International, Inc. — United Online, Inc. 450 (4,752)

Class A 550 (55,908) CMGI, Inc.* 360 (4,774)

Walter Industries, Inc. 1,150 (72,025) Aruba Networks, Inc.* 960 (5,002)

Liquidity Services, Inc.* 630 (5,040)

AsiaInfo Holdings, Inc.* 490 (5,321)

Atheros Communications, Inc.* (5,439)

Silicon Graphics, Inc.* 460 (5,456)

(3,382,191)

Spansion, Inc.* 1 (3)

Powerwave Technologies, Inc.* (20)

1,490

30

630

51

1,100

1,040

2,040

1,060

880

350

270

1,750

261

8

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

108 See Notes to Financial Statements.

March 31, 2008

PROS Holdings, Inc.* 440 $ (5,522) Technitrol, Inc. 460 $ (10,640)

Checkpoint Systems, Inc.* 210 (5,638) j2 Global Communications, Inc.* (10,714)

Dycom Industries, Inc.* 470 (5,645) Intevac, Inc.* 830 (10,748)

Amkor Technology, Inc.* 532 (5,692) FEI Co.* 500 (10,915)

Nextwave Wireless, Inc.* (5,706) Symyx Technologies* 1,480 (11,100)

Netezza Corp.* 620 (5,729) Acme Packet, Inc.* 1,400 (11,186)

Blue Coat Systems, Inc.* 261 (5,752) MAXIMUS, Inc. 310 (11,380)

Rudolph Technologies* 600 (5,862) Diodes, Inc.* 520 (11,419)

Advanced Analogic Cogent, Inc.* 1,220 (11,505)

Technologies, Inc.* 1,050 (5,901) Ness Technologies, Inc.* (11,673)

L-1 Identity Solutions, Inc.* (5,985) SAVVIS, Inc.* 720 (11,714)

Travelzoo, Inc.* 550 (6,072) Starent Networks Corp.* 870 (11,745)

Data Domain, Inc.* 270 (6,426) S1 Corp.* 1,660 (11,803)

Internap Network Services Corp.* (6,448) CACI International, Inc. —

Macrovision Corp.* 480 (6,480) Class A* 260 (11,843)

Perficient, Inc.* 820 (6,511) 3PAR* 1,730 (11,902)

Hutchinson Technology, Inc.* (6,523) Netgear, Inc.* 620 (12,369)

Sourcefire, Inc.* 1,120 (6,675) Radisys Corp.* 1,240 (12,512)

MPS Group, Inc.* 581 (6,867) Electronics for Imaging* 860 (12,831)

SiRF Technology Holdings, Inc.* (6,922) Volterra Semiconductor Corp.* (13,029)

Isilon Systems* 1,450 (7,076) Compellent Technologies* (13,176)

Progress Software Corp.* 240 (7,181) VistaPrint Ltd.* 381 (13,316)

i2 Technologies* 650 (7,319) Vocus, Inc.* 510 (13,464)

Littelfuse, Inc.* 210 (7,344) Insight Enterprises, Inc.* 771 (13,492)

AuthenTec, Inc.* 760 (7,554) Silicon Image, Inc.* 2,700 (13,527)

Kulicke & Soffa Industries, Inc.* (7,839) Imation Corp. 600 (13,644)

Synaptics, Inc.* 340 (8,119) CSG Systems International, Inc.* (13,758)

comScore, Inc.* 410 (8,225) Art Technology Group, Inc.* (13,852)

Black Box Corp. 270 (8,329) Brooks Automation, Inc.* (14,191)

Zoran Corp.* 610 (8,333) Micrel, Inc. 1,550 (14,368)

Vasco Data Security Perot Systems Corp. — Class A* (14,438)

International, Inc.* 620 (8,482) Daktronics, Inc. 810 (14,507)

Guidance Software, Inc.* 970 (8,681) Avocent Corp.* 890 (15,041)

Smart Modular Technologies Commvault Systems, Inc.* (15,128)

WWH, Inc.* 1,400 (8,694) Plexus Corp.* 550 (15,427)

Mercury Computer Systems* (9,161) Magma Design

Semtech Corp.* 640 (9,171) Automation, Inc.* 1,620 (15,503)

Synchronoss Technologies, Inc.* (9,214) Cohu 970 (15,762)

Kemet Corp.* 2,340 (9,454) Sapient Corp.* 2,270 (15,799)

Benchmark Electronics, Inc.* (9,531) TNS, Inc.* 770 (15,893)

Lawson Software, Inc.* 1,270 (9,563) Forrester Research, Inc.* 600 (15,948)

Packeteer, Inc.* 1,880 (9,569) Neutral Tandem* 890 (16,029)

Comtech Telecommunications Wind River Systems, Inc.* (16,099)

Corp.* 250 (9,750) RealNetworks, Inc.* 2,850 (16,330)

Harris Stratex Networks, Inc. — Cirrus Logic, Inc.* 2,450 (16,464)

Class A* 980 (9,829) Advanced Energy

Infinera Corp.* 830 (9,960) Industries, Inc.* 1,250 (16,575)

Entegris, Inc.* 1,390 (9,994) Mercadolibre, Inc.* 420 (16,699)

Emulex Corp.* 620 (10,069) Bel Fuse, Inc. — Class B 600 (16,716)

Acacia Research - Acacia Harmonic, Inc.* 2,210 (16,796)

Technologies* 1,780 (10,235) DTS, Inc.* 700 (16,800)

Echelon Corp.* 760 (10,260) MicroStrategy, Inc. — Class A* (17,018)

Exar Corp.* 1,250 (10,287) DealerTrack Holdings, Inc.* (17,187)

Zygo Corp.* 840 (10,450) Arris Group, Inc.* 3,040 (17,693)

|

480

1,130

1,230

450

1,300

410

1,360

1,150

1,060

1,640

1,210

3,570

1,460

960

1,220

1,630

460

531

2,080

230

850

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Information Technology

FINANCIALS (7.6)%

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 109

March 31, 2008

Advent Software, Inc.* 430 $ (18,327) Quest Software, Inc.* 2,440 $ (31,891)

Renaissance Learning, Inc. (18,327) PMC - Sierra, Inc.* 5,650 (32,205)

Keynote Systems* 1,570 (18,510) InterDigital, Inc.* 1,650 (32,687)

BladeLogic, Inc.* 660 (18,513) Blackboard, Inc.* 1,000 (33,330)

TechTarget, Inc.* 1,310 (18,563) CNET Networks, Inc.* 4,720 (33,512)

Sycamore Networks, Inc.* (18,812) Itron, Inc.* 390 (35,190)

Internet Capital Group, Inc.* (18,846) Micros Systems, Inc.* 1,060 (35,680)

SuccessFactors* 1,940 (18,934) Gartner, Inc.* 1,900 (36,746)

Rubicon Technology* 660 (19,127) TIBCO Software, Inc.* 5,230 (37,342)

Applied Micro Circuits Corp.* (19,530) Digital River, Inc.* 1,210 (37,474)

Supertex, Inc.* 960 (19,594) Wright Express Corp.* 1,220 (37,491)

TriQuint Semiconductor, Inc.* (19,633) Intermec, Inc.* 1,690 (37,501)

Terremark Worldwide, Inc.* (19,788) Valueclick, Inc.* 2,240 (38,640)

Sohu.com, Inc.* 440 (19,857) Informatica Corp.* 2,340 (39,920)

Jack Henry & Associates, Inc. (19,983) THQ, Inc.* 1,860 (40,548)

Cybersource Corp.* 1,380 (20,162) Equinix, Inc.* 620 (41,224)

Monotype Imaging Holdings* (20,247) Ansys, Inc.* 1,280 (44,186)

Anixter International, Inc.* (20,493) ON Semiconductor Corp.* (45,838)

Axcelis Technologies, Inc.* (20,552) Microsemi Corp.* 2,070 (47,196)

Ultimate Software Group, Inc.* (20,741) Take-Two Interactive

Mentor Graphics Corp.* 2,370 (20,927) Software, Inc.* 1,850 (47,212)

Ariba, Inc.* 2,190 (21,155) SAIC, Inc.* 3,000 (55,770)

Omniture, Inc.* 950 (22,049) Nuance Communications, Inc.* (62,850)

Stratasys, Inc.* 1,240 (22,072) Flir Systems, Inc.* 2,700 (81,243)

Polycom, Inc.* 982 (22,134)

RightNow Technologies, Inc.* (22,253)

ATMI, Inc.* 800 (22,264)

Hughes Communications, Inc.* (22,299)

Parametric Technology Corp.* (22,532)

Universal Display Corp.* 1,630 (23,342)

Sonus Networks, Inc.* 6,840 (23,530)

Actel Corp.* 1,550 (23,731)

Foundry Networks, Inc.* 2,070 (23,971)

EPIQ Systems* 1,560 (24,211)

Veeco Instruments, Inc.* 1,470 (24,446)

Park Electrochemical Corp. (25,075)

Concur Technologies, Inc.* (25,151)

Formfactor, Inc.* 1,330 (25,403)

MTS Systems Corp. 800 (25,808)

Rogers Corp.* 790 (26,394)

Tekelec* 2,130 (26,519)

Rofin-Sinar Technologies, Inc.* (26,940)

Cognex Corp. 1,240 (27,069)

MKS Instruments, Inc.* 1,290 (27,606)

Solera Holdings* 1,140 (27,770)

Tessera Technologies, Inc.* (27,872)

Net 1 UEPS Technologies, Inc.* (28,413)

Earthlink, Inc.* 3,790 (28,615)

Ansoft Corp.* 960 (29,299)

ACI Worldwide, Inc.* 1,500 (29,880)

Cymer, Inc.* 1,160 (30,206)

Adtran, Inc. 1,640 (30,340)

Websense, Inc.* 1,660 (31,125)

Skyworks Solutions, Inc.* (31,741)

(3,441,425)

Franklin Bank Corp.* 1 (3)

CBRE Realty Finance, Inc. 1 (4)

BankUnited Financial Corp. —

Class A 2 (10)

Santander BanCorp 1 (10)

Associated Estates Realty Corp. (11)

Arbor Realty Trust, Inc. 1 (15)

Getty Realty Corp. 1 (16)

Friedman Billings Ramsey

Group, Inc. — Class A 10 (17)

Trustco Bank Corp. 2 (18)

Primus Guaranty* 6 (22)

National Financial Partners Corp. (23)

Harleysville National Corp. 2 (29)

Universal Health Realty

Income Trust 1 (33)

Safety Insurance Group, Inc. (34)

United Fire & Casualty Co. 1 (37)

Deerfield Capital Corp. 46 (64)

First Commonwealth

Financial Corp. 6 (70)

Greenlight Capital Re Ltd. —

Class A* 5 (93)

Westamerica Bancorporation (105)

Enstar Group* 1 (111)

Pzena Investment Management (226)

Nara Bancorp, Inc. 30 (390)

HFF, Inc.* 90 (451)

1,310

5,140

1,800

2,720

3,880

3,611

810

1,340

320

8,070

3,670

690

3,610

1,870

440

1,410

970

810

600

1,340

1,260

4,360

1

1

1

2

20

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

110 See Notes to Financial Statements.

March 31, 2008

K-Fed Bancorp 40 $ (456) Grubb & Ellis Co. 1,120 $ (7,694)

Irwin Financial Corp. 90 (478) Anthracite Capital, Inc. 1,210 (7,986)

LaBranche & Co., Inc.* 110 (479) Prosperity Bancshares, Inc. (8,311)

Preferred Bank 30 (501) BRT Realty Trust 600 (8,406)

Superior Bancorp* 190 (944) MarketAxess Holdings, Inc.* (8,548)

Wilshire Bancorp 130 (993) Asset Acceptance Capital Corp. (8,571)

State Auto Financial Corp. 40 (1,165) TradeStation Group, Inc.* (8,776)

West Coast Bancorp 90 (1,313) Hanmi Financial Corp. 1,200 (8,868)

Virginia Commerce Bancorp* (1,607) Independence Holding Co. (8,940)

Horizon Financial Corp. 140 (1,933) Cathay General Bancorp 480 (9,950)

BankAtlantic Bancorp, Inc. — Provident Bankshares Corp. (9,988)

Class A 510 (1,994) Taylor Capital Group 610 (10,016)

Nelnet, Inc. — Class A 180 (2,115) Glimcher Realty Trust 840 (10,046)

Great Southern Bancorp 140 (2,185) Cowen Group* 1,430 (10,139)

GFI Group, Inc. 41 (2,349) WesBanco 450 (11,120)

First Place Financial Corp. 190 (2,470) First Industrial Realty Trust, Inc. (11,120)

Resource America, Inc. — Stewart Information

Class A 281 (2,656) Services Corp. 400 (11,196)

Parkway Properties, Inc. 80 (2,957) TICC Capital Corp. 1,490 (11,205)

Boston Private Financial NBT Bancorp, Inc. 510 (11,322)

Holdings, Inc. 290 (3,071) Entertainment Properties Trust (11,346)

Acadia Realty Trust 140 (3,381) LandAmerica Financial

Centennial Bank Holdings* (3,391) Group, Inc. 290 (11,446)

Lexington Realty Trust 240 (3,458) Provident Financial Services, Inc. (11,453)

World Acceptance Corp.* 110 (3,504) MCG Capital Corp. 1,290 (11,726)

Community Bancorp* 260 (3,526) Max Capital Group Ltd. 450 (11,786)

Ocwen Financial Corp.* 810 (3,596) Capitol Bancorp 560 (11,838)

Cash America International, Inc. (4,004) Sterling Financial Corp.* 680 (11,866)

United Bankshares, Inc. 151 (4,024) Central Pacific Financial

Ampal American Israel — Corp. Co. 630 (11,876)

Class A* 630 (4,032) Cohen & Steers, Inc. 460 (12,185)

Odyssey Re Holdings Corp. (4,043) Advance America Cash Advance

EMC Insurance Group 160 (4,302) Centers, Inc. 1,620 (12,231)

Capital Corp. of the West 550 (4,411) Rockville Financial 900 (12,330)

Advanta Corp. — Class B 630 (4,429) Ezcorp, Inc. — Class A* 1,030 (12,679)

Medical Properties Trust 410 (4,641) Sun Communities, Inc. 620 (12,710)

SWS Group, Inc. 380 (4,647) Heartland Financial USA, Inc. (12,908)

Strategic Hotels & Resorts, Inc. (4,858) Ares Capital Corp. 1,030 (12,947)

Integra Bank Corp. 310 (5,022) Kite Realty Group Trust 930 (13,020)

Home Bancshares 250 (5,218) Tejon Ranch Co.* 350 (13,062)

FCStone Group, Inc.* 190 (5,263) SVB Financial Group* 300 (13,092)

Bancorp, Inc.* 440 (5,315) DiamondRock Hospitality Co. (13,304)

Anworth Mortgage Asset Corp. (5,333) NASB Financial, Inc. 510 (13,362)

MFA Mortgage Investments, Inc. (5,418) Amtrust Financial Services, Inc. (13,454)

Education Realty Trust 440 (5,531) Midland Co. 210 (13,635)

NewStar Financial, Inc.* 1,110 (5,750) Sovran Self Storage, Inc. 320 (13,667)

Sunstone Hotel Investors, Inc. (5,940) Calamos Asset Management,

Ameris Bancorp 380 (6,103) Inc. — Class A 840 (13,675)

eHealth, Inc.* 280 (6,180) Banner Corp. 600 (13,824)

Extra Space Storage, Inc. 400 (6,476) Sun Bancorp* 1,050 (13,829)

FelCor Lodging Trust, Inc. 542 (6,520) First Cash Financial Services, Inc.* (13,842)

Thomas Weisel Partners Group* (6,686) National Retail Properties, Inc. (13,892)

Washington Trust Bancorp, Inc. (7,198) American Equity Investment Life

Delphi Financial Group, Inc. — Holding Co. 1,580 (14,662)

Class A 260 (7,600) Ashford Hospitality Trust, Inc. (14,711)

|

290

860

890

1,030

140

750

930

360

230

540

810

110

110

610

370

1,050

870

860

830

371

1,340

1,010

630

290

2,590

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

VALUE VALUE

INVERSE RUSSELL 2000^® STRATEGY FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 111

March 31, 2008

First Potomac Realty Trust $ (14,755) Sterling Bancshares, Inc. $ (20,675)

Montpelier Re Holdings Ltd. (14,782) Union Bankshares Corp. (20,920)

U-Store-It Trust 1,320 (14,956) Southside Bancshares, Inc. (20,941)

CoBiz Financial, Inc. 1,150 (14,973) Pennsylvania Real Estate

Knight Capital Group, Inc. — Investment Trust 860 (20,975)

Class A* 930 (15,103) Tompkins Financial Corp. 430 (21,156)

Flagstar Bancorp, Inc. 2,110 (15,234) WSFS Financial Corp. 430 (21,190)

Pacific Capital Bancorp NA (15,265) Consolidated-Tomoka Land Co. (21,299)

Penson Worldwide, Inc.* (15,414) Maguire Properties, Inc. 1,500 (21,465)

Kearny Financial Corp. 1,410 (15,440) Anchor Bancorp Wisconsin, Inc. (21,816)

Sterling Financial Corp. 990 (15,454) NewAlliance Bancshares, Inc. (22,080)

Bank of the Ozarks, Inc. 650 (15,535) Independent Bank Corp. 760 (22,458)

IPC Holdings Ltd. 560 (15,680) Infinity Property & Casualty Corp. (22,464)

CapLease, Inc. 2,020 (15,695) BankFinancial Corp. 1,420 (22,592)

Financial Federal Corp. 720 (15,703) American Physicians Capital, Inc. (22,716)

First Community Bancorp, Inc. (15,842) Fpic Insurance Group, Inc.* (22,722)

Credit Acceptance Corp.* (15,996) First Financial Bancorp 1,690 (22,731)

Citizens Republic Bancorp, Inc. (16,035) Community Trust Bancorp, Inc. (23,147)

Mid-America Apartment Piper Jaffray Cos.* 690 (23,432)

Communities, Inc. 330 (16,447) Umpqua Holdings Corp. (23,575)

Bank Mutual Corp. 1,540 (16,540) Pico Holdings, Inc.* 790 (23,882)

Platinum Underwriters Northwest Bancorp, Inc. 880 (24,050)

Holdings Ltd. 510 (16,555) Argo Group International

Republic Bancorp, Inc. — Holdings* 680 (24,154)

Class A 880 (16,614) CVB Financial Corp. 2,350 (24,464)

Wauwatosa Holdings, Inc.* (16,779) Inland Real Estate Corp. (24,640)

Clifton Savings Bancorp 1,710 (17,237) LaSalle Hotel Properties 880 (25,282)

NYMAGIC, Inc. 760 (17,260) DuPont Fabros Technology (25,724)

First Bancorp 1,700 (17,272) First Niagara Financial Group, Inc. (25,957)

Amcore Financial, Inc. 850 (17,298) National Western Life Insurance (26,015)

Thomas Properties Group, Inc. (17,472) FNB Corp. 1,680 (26,225)

First Regional Bancorp* 1,070 (17,548) Senior Housing Properties Trust (26,331)

Roma Financial Corp. 1,190 (17,743) KBW, Inc.* 1,220 (26,901)

EastGroup Properties, Inc. (18,119) Franklin Street Properties Corp. (27,065)

Beneficial Mutual Bancorp, Inc.* (18,198) Aspen Insurance Holdings Ltd. (27,171)

LTC Properties 710 (18,254) City Holding Co. 690 (27,531)

Stratus Properties, Inc.* 620 (18,271) Signature Bank* 1,110 (28,305)

South Financial Group, Inc. (18,278) Alexander’s, Inc.* 80 (28,360)

Heritage Commerce Corp. (18,330) PS Business Parks, Inc. 550 (28,545)

Suffolk Bancorp 580 (18,374) Alfa Corp. 1,300 (28,574)

optionsXpress Holdings, Inc. (18,432) Equity Lifestyle Properties, Inc. (28,635)

ViewPoint Financial Group (18,987) American Campus

Trico Bancshares 1,100 (19,041) Communities, Inc. 1,050 (28,728)

Glacier Bancorp, Inc. 1,001 (19,189) American Financial Realty Trust (28,902)

Oritani Financial Corp.* 1,271 (19,281) Post Properties, Inc. 760 (29,351)

First Financial Holdings, Inc. (19,472) S&T Bancorp, Inc. 920 (29,596)

Peoples Bancorp 810 (19,529) Investors Bancorp, Inc.* 1,940 (29,779)

Tanger Factory Outlet Centers (19,620) Wintrust Financial Corp. 860 (30,057)

Kansas City Life Insurance Co. (19,705) First Financial Bankshares, Inc. (30,735)

PMA Capital Corp. — Class A* (20,078) DCT Industrial Trust, Inc. (31,175)

Brookline Bancorp, Inc. 1,750 (20,090) Equity One, Inc. 1,310 (31,401)

UCBH Holdings, Inc. 2,610 (20,254) Trustmark Corp. 1,420 (31,638)

SY Bancorp, Inc. 880 (20,451) International Bancshares Corp. (32,289)

Community Bank System, Inc. (20,630) Hilb Rogal & Hobbs Co. (32,414)

960

2,080

921

1,080

870

710

380

1,670

1,150

1,801

540

490

590

482

1,030

1,290

790

1,520

1,410

1,620

1,560

1,910

120

1,990

1,111

390

1,890

1,840

1,030

1,230

1,000

890

580

1,150

3,640

830

510

410

750

2,351

3,130

1,430

840

1,030

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

INVERSE RUSSELL 2000^® STRATEGY FUND

MARKET

UNREALIZED

VALUE

LOSS

SHARES

(NOTE 1)

CONTRACTS

(NOTE 1)

Omega Healthcare

FUTURES CONTRACTS SOLD SHORT

Investors, Inc.

1,870

$

(32,463)

June 2008 Russell 2000 Index

Healthcare Realty Trust, Inc.

1,250

(32,688)

Mini Futures Contracts

RLI Corp.

660

(32,716)

(Aggregate Market Value

Employers Holdings, Inc.

1,771

(32,834)

of Contracts $2,818,750)

41

$

(37,445)

Cousins Properties, Inc.

1,340

(33,111)

Corporate Office Properties

UNITS

Trust

1,000

(33,610)

EQUITY INDEX SWAP AGREEMENTS

Interactive Brokers Group, Inc. —

SOLD SHORT

Class A*

1,310

(33,628)

May 2008 Russell 2000 Index

Realty Income Corp.

1,320

(33,818)

Swap, Terminating 05/19/08**

MB Financial, Inc.

1,150

(35,397)

(Notional Market Value

Hancock Holding Co.

850

(35,717)

$20,206,814)

29,372

$

(72,153)

Old National Bancorp

2,020

(36,360)

June 2008 Russell 2000 Index

Highwoods Properties, Inc.

1,200

(37,284)

Swap, Terminating 06/30/08**

Selective Insurance Group

1,580

(37,730)

(Notional Market Value

Assured Guaranty Ltd.

1,590

(37,747)

$11,604,000)

16,867

(78,954)

UMB Financial Corp.

930

(38,316)

Phoenix Cos., Inc.

3,140

(38,339)

(Total Notional Market

First Midwest Bancorp, Inc.

1,430

(39,711)

Value $31,810,814)

$

(151,107)

Zenith National Insurance Corp.

1,112

(39,876)

National Penn Bancshares, Inc.

2,231

(40,582)

BioMed Realty Trust, Inc.

1,720

(41,091)

Home Properties, Inc.

880

(42,231)

Washington Real Estate

Investment Trust

1,290

(43,112)

FirstMerit Corp.

2,130

(44,006)

Potlatch Corp.

1,080

(44,572)

Nationwide Health

Properties, Inc.

1,340

(45,225)

Digital Realty Trust, Inc.

1,280

(45,440)

Waddell & Reed Financial,

Inc. — Class A

1,430

(45,946)

Susquehanna Bancshares, Inc.

2,260

(46,036)

Commerce Group, Inc.

1,330

(47,960)

Apollo Investment Corp.

3,040

(48,123)

ProAssurance Corp.*

900

(48,447)

Alexandria Real Estate

Equities, Inc.

550

(50,996)

Total Financials

(4,216,370)

Total Common Stocks Sold Short

(Proceeds $22,562,420)

(20,782,065)

Other Assets in Excess of

Liabilities – 47.8%

$ 26,520,105

Net Assets – 100.0%

$ 55,505,548

* Non-Income Producing Security.

** Price Return based on Russell 2000 Index +/- financing at a variable rate.

† All or a portion of this security is pledged as short security collateral at March 31, 2008.

112

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS

March 31, 2008

GOVERNMENT LONG BOND 1.2x STRATEGY FUND

MARKET

FACE

VALUE

AMOUNT

(NOTE 1)

U.S. TREASURY OBLIGATIONS 95.1%

U.S. Treasury Bond

4.38% due 02/15/38

$77,366,000

$78,453,959

Total U.S. Treasury Obligations

(Cost $74,715,060)

78,453,959

REPURCHASE AGREEMENTS 3.0%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

1,395,763

1,395,763

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08

742,416

742,416

Morgan Stanley issued

03/31/08 at 1.35%

due 04/01/08

290,784

290,784

Total Repurchase Agreements

(Cost $2,428,963)

2,428,963

Total Investments 98.1%

(Cost $77,144,023)

$ 80,882,922

Other Assets in Excess

of Liabilities – 1.9%

$

1,606,221

Net Assets – 100.0%

$ 82,489,143

UNREALIZED

GAIN

CONTRACTS

(NOTE 1)

FUTURES CONTRACTS PURCHASED

June 2008 U.S. Treasury Bond

Futures Contracts

(Aggregate Market Value

of Contracts $32,588,875)

274

$

830,890

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

113

SCHEDULE OF INVESTMENTS

March 31, 2008

INVERSE GOVERNMENT LONG BOND STRATEGY FUND

MARKET

MARKET

FACE

VALUE

FACE

VALUE

AMOUNT

(NOTE 1)

AMOUNT

(NOTE 1)

FEDERAL AGENCY DISCOUNT NOTES 87.1%

U.S. TREASURY OBLIGATIONS

Farmer Mac*

SOLD SHORT (75.9)%

2.05% due 06/27/08

$

20,000,000

$

19,900,917

U.S. Treasury Bond

Federal Home Loan Bank*

4.38% due 02/15/38

$ 317,931,000

$(322,401,905)

1.50% due 04/01/08

350,000,000

350,000,000

Total U.S. Treasury Obligations

Total Federal Agency Discount Notes

Sold Short

(Cost $369,900,917)

369,900,917

(Proceeds $308,667,502)

(322,401,905)

Liabilities in Excess of

CONTRACTS

Other Assets – (12.9)%

$

(54,810,130)

OPTIONS PURCHASED 0.0%

Net Assets – 100.0%

$ 424,620,166

Call Options on:

May 2008 U.S. Treasury Bond

UNREALIZED

Futures Contracts

LOSS

CONTRACTS

(NOTE 1)

Expiring May 2008

with strike price of 142†

616

—

FUTURES CONTRACTS SOLD SHORT

Total Options Purchased

June 2008 U.S. Treasury Bond

(Cost $10,857)

—

Futures Contracts

(Aggregate Market Value of

FACE

contracts $159,495,188)

1,341

$

(4,985,683)

AMOUNT

REPURCHASE AGREEMENTS 101.7%

Joint Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$

50,160,466

50,160,466

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08

26,680,721

26,680,721

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

10,450,097

10,450,097

Individual Repurchase Agreement††

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.10% due

04/01/08 (Secured by a U.S.

Treasury Bond, at a rate of

4.38% and maturing 02/15/38

as collateral, with a Market

Value of $351,551,139)

to be repurchased at

$344,650,531

344,640,000

344,640,000

Total Repurchase Agreements

(Cost $431,931,284)

431,931,284

Total Long Securities 188.8%

(Cost $801,843,058)

$  801,832,201

* The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the

U.S. Government.

† Security is fair valued.

†† All or a portion of this security is pledged as short security collateral at March 31, 2008.

114

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS

March 31, 2008

HIGH YIELD STRATEGY FUND

MARKET

FACE

VALUE

AMOUNT

(NOTE 1)

REPURCHASE AGREEMENTS 104.2%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$45,440,090

$45,440,090

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08

24,169,918

24,169,918

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

9,466,685

9,466,685

Total Repurchase Agreements

(Cost $79,076,693)

79,076,693

Total Investments 104.2%

(Cost $79,076,693)

$79,076,693

Liabilities in Excess of

Other Assets – (4.2)%

$ (3,255,490)

Net Assets – 100.0%

$75,821,203

UNREALIZED

GAIN (LOSS)

CONTRACTS

(NOTE 1)

FUTURES CONTRACTS PURCHASED

June 2008 U.S. 5 Year

Treasury Note Futures Contracts

(Aggregate Market Value

of Contracts $50,034,656)

438

$

317,763

NOTIONAL

PRINCIPAL

CREDIT DEFAULT SWAP AGREEMENT

PROTECTION SOLD

CDX North American

High Yield Index Swap

Agreement, Series 9

Protection Premium Rate

3.75% Terminating 12/20/12

$74,745,000

$

(612,173)

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

115

SCHEDULE OF INVESTMENTS

March 31, 2008

INVERSE HIGH YIELD STRATEGY FUND

MARKET

FACE

VALUE

AMOUNT

(NOTE 1)

REPURCHASE AGREEMENTS 89.4%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$

5,724,708

$

5,724,708

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08

3,045,014

3,045,014

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

1,192,648

1,192,648

Total Repurchase Agreements

(Cost $9,962,370)

9,962,370

Total Investments 89.4%

(Cost $9,962,370)

$

9,962,370

Other Assets in Excess

of Liabilities – 10.6%

$

1,203,947

Net Assets – 100.0%

$11,166,317

UNREALIZED

GAIN (LOSS)

CONTRACTS

(NOTE 1)

FUTURES CONTRACTS SOLD SHORT

June 2008 U.S. 5 Year

Treasury Note Futures Contracts

(Aggregate Market Value

of Contracts $7,311,000)

64

$

(74,119)

NOTIONAL

PRINCIPAL

CREDIT DEFAULT SWAP AGREEMENT

PROTECTION PURCHASED

CDX North American

High Yield Index Swap

Agreement, Series 9

Protection Premium Rate

3.75% Terminating 12/20/12

$10,890,000

$

659,497

116

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS

March 31, 2008

EUROPE 1.25x STRATEGY FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE 1)

SHARES

(NOTE 1)

COMMON STOCKS 45.4%

ArcelorMittal†

2,670

$

218,406

BHP Billiton Ltd. — SP ADR†

3,190

210,062

FINANCIALS 13.6%

Syngenta AG — SP ADR

1,140

66,701

HSBC Holdings PLC — SP ADR†

9,020

$

742,346

Total Materials

1,085,426

Banco Santander Central

CONSUMER STAPLES 2.8%

Hispano SA — SP ADR†

20,010

398,999

Unilever NV†

9,010

303,907

AXA — SP ADR†

8,770

316,685

Diageo PLC — SP ADR†

3,670

298,445

Banco Bilbao Vizcaya

British American Tobacco PLC —

Argentaria SA — SP ADR†

14,290

314,237

SP ADR

1,810

137,108

UBS AG — SP ADR†

10,370

298,656

Cadbury Schweppes PLC —

Deutsche Bank AG— SP ADR†

2,610

295,061

SP ADR

2,320

102,590

Lloyds TSB Group PLC —

SP ADR†

8,080

290,072

Total Consumer Staples

842,050

Barclays PLC — SP ADR†

7,860

284,532

INFORMATION TECHNOLOGY 2.3%

Allianz AG — SP ADR

14,430

283,694

Nokia Oyj — SP ADR†

13,470

428,750

Credit Suisse Group — SP ADR†

5,260

267,629

SAP AG — SP ADR†

2,970

147,223

ING Groep NV — SP ADR†

7,130

266,448

Telefonaktiebolaget

Allied Irish Banks PLC —

LM Ericsson — SP ADR†

4,760

93,534

SP ADR

3,040

131,267

Total Information Technology

669,507

Willis Group Holdings Ltd.

3,630

122,004

INDUSTRIALS 2.2%

Total Financials

4,011,630

Siemens AG — SP ADR

3,060

333,356

ENERGY 6.8%

Koninklijke Philips

Total SA — SP ADR

8,530

631,305

Electronics NV— SP ADR

4,750

182,115

BP PLC — SP ADR†

9,860

598,009

Ryanair Holdings PLC —

Royal Dutch Shell PLC —

SP ADR*†

2,300

65,044

SP ADR

5,670

391,117

DryShips Inc.

1,080

64,703

ENI — SP ADR

5,730

390,270

Total Industrials

645,218

Total Energy

2,010,701

CONSUMER DISCRETIONARY 0.9%

HEALTH CARE 6.5%

Daimler AG — SP ADR†

2,980

254,939

Novartis AG — SP ADR†

10,390

532,280

Total Consumer Discretionary

254,939

GlaxoSmithKline PLC —

UTILITIES 0.2%

SP ADR†

11,570

490,915

Veolia Environnement —

Sanofi-Aventis — SP ADR

9,750

366,015

SP ADR

1,060

74,126

AstraZeneca PLC — SP ADR†

7,750

294,423

Novo Nordisk A/S — SP ADR

1,410

97,628

Total Utilities

74,126

Teva Pharmaceutical

Total Common Stocks

Industries Ltd. — SP ADR†

1,460

67,437

(Cost $10,842,918)

13,412,641

Alcon, Inc. — SP ADR

470

66,858

FACE

Total Health Care

1,915,556

AMOUNT

TELECOMMUNICATION SERVICES 6.4%

REPURCHASE AGREEMENTS 41.4%

Vodafone Group PLC — SP ADR

17,830

526,163

Repurchase Agreements (Note 5)

Telefonica SA — SP ADR†

5,920

512,139

Mizuho Financial Group, Inc.

France Telecom SA — SP ADR

10,230

343,524

issued 03/31/08 at 1.30%

Deutsche Telekom AG —

due 04/01/08

$6,734,917

6,734,917

SP ADR†

17,140

284,181

Lehman Brothers Holdings, Inc.

BT Group PLC — SP ADR

5,510

237,481

issued 03/31/08 at 1.15%

Total Telecommunication Services

1,903,488

due 04/01/08††

4,118,726

4,118,726

MATERIALS 3.7%

Morgan Stanley

Rio Tinto PLC — SP ADR†

800

329,472

issued 03/31/08 at 1.35%

Anglo American PLC —

due 04/01/08

1,403,108

1,403,108

SP ADR†

8,760

260,785

Total Repurchase Agreements

(Cost $12,256,751)

12,256,751

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

117

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

EUROPE 1.25x STRATEGY FUND

MARKET

VALUE

SHARES

(NOTE 1)

SECURITIES LENDING COLLATERAL 23.8%

Country Diversification

Mount Vernon Securities

Lending Trust Prime

Portfolio (Note 8)

7,037,195

$

7,037,195

Luxembourg

Other

Total Securities Lending Collateral

2%

5%

Italy

(Cost $7,037,195)

7,037,195

Finland

3%

3%

Total Investments 110.6%

(Cost $30,136,864)

$32,706,587

Netherlands

9%

Liabilities in Excess of

Other Assets – (10.6)%

$ (3,137,528)

Great

Net Assets – 100.0%

$29,569,059

Spain

Britain

9%

35%

UNREALIZED

GAIN (LOSS)

CONTRACTS

(NOTE 1)

FOREIGN CURRENCY FUTURES

Switzerland

CONTRACTS PURCHASED

9%

France

June 2008 EURO Currency

Germany

13%

Futures Contracts

12%

(Aggregate Market Value

The pie chart above reflects percentages of

of Contracts $17,895,150)

91

$

463,057

the market value of Common Stocks.

FUTURES CONTRACTS PURCHASED

June 2008 Dow Jones STOXX 50

Futures Contracts

(Aggregate Market Value

of Contracts $17,960,333)

381

$

(328,569)

UNITS

EQUITY INDEX SWAP AGREEMENTS

June 2008 Dow Jones STOXX 50

Index Swap,

Terminating 06/13/08**

(Notional Market Value

$3,599,378)

752

$

35,533

June 2008 Dow Jones STOXX 50

Index Swap,

Terminating 06/30/08**

(Notional Market Value

$2,134,347)

448

12,637

(Total Notional Market

Value $5,733,725)

$

48,170

* Non-Income Producing Security.

** Price Return based on Dow Jones STOXX 50 Index +/- financing at a variable rate.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

†† All or a portion of this security is pledged as equity index swap collateral at March 31, 2008.

ADR — American Depository Receipt.

118

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS

March 31, 2008

JAPAN 2x STRATEGY FUND

MARKET

FACE

VALUE

AMOUNT

(NOTE 1)

REPURCHASE AGREEMENTS 94.2%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$3,310,228

$3,310,228

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08

1,760,734

1,760,734

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

689,631

689,631

Total Repurchase Agreements

(Cost $5,760,593)

5,760,593

Total Investments 94.2%

(Cost $5,760,593)

$5,760,593

Other Assets in Excess

of Liabilities – 5.8%

$

357,848

Net Assets – 100.0%

$6,118,441

UNREALIZED

GAIN

CONTRACTS

(NOTE 1)

FOREIGN CURRENCY FUTURES

CONTRACTS PURCHASED

June 2008 Japanese Yen

Currency Futures Contracts

(Aggregate Market Value

of Contracts $3,652,913)

29

$

112,737

FUTURES CONTRACTS PURCHASED

June 2008 Nikkei-225 Stock Average Index

Futures Contracts

(Aggregate Market Value

of Contracts $3,551,800)

56

$

64,862

UNITS

EQUITY INDEX SWAP AGREEMENT

May 2008 Nikkei-225 Stock

Average Index Swap,

Terminating 05/26/08*

(Notional Market Value

$8,711,846)

68,865

$

54,558

* Price Return based on Nikkei-225 Stock Average Index +/- financing at a variable rate.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

119

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 99.3%

FINANCIALS 30.5%

Total Financials

CONSUMER DISCRETIONARY 28.6%

VALUE VALUE

SMALL-CAP VALUE FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

120 See Notes to Financial Statements.

March 31, 2008

Whitney Holding Corp.† $ 230,597

Triad Guaranty, Inc.*† 46,083 230,415

LTC Properties, Inc. 8,679 223,137

LandAmerica Financial Inland Real Estate Corp.† 219,572

Group, Inc.† 31,416 $ United Fire & Casualty Co. 219,239

Stewart Information Brookline Bancorp, Inc.† 208,890

Services Corp.† 36,276 1,015,365 Downey Financial Corp.† 206,481

Flagstar Bancorp, Inc.† 944,513 Provident Bankshares Corp.† 197,358

First Bancorp Puerto Rico† 925,017 Bank Mutual Corp.† 17,219 184,932

Corus Bankshares, Inc.† 782,049 Financial Federal Corp.† 172,910

Colonial Properties Trust† 721,404 Guaranty Financial

Independent Bank Corp.† 560,364 Group, Inc.*† 15,093 160,288

BankAtlantic Bancorp, Inc. — TrustCo Bank Corp.† 15,630 138,951

Class A 134,129 524,444 PS Business Parks, Inc.† 2,498 129,646

Central Pacific Financial Corp.† 507,819 United Bankshares, Inc.† 117,153

Umpqua Holding Corp.† 459,096 First Midwest Bancorp, Inc.† 110,719

Pennsylvania Real Estate Anchor BanCorp

Investment Trust† 18,170 443,166 Wisconsin, Inc. 5,385 102,153

Safety Insurance Group, Inc. 435,294 Deerfield Capital Corp. 3,505 4,943

SWS Group, Inc.† 35,379 432,685

Susquehanna Bancshares, Inc.† 426,385

Franklin Bank Corp.*† 139,435 422,488

Bankunited Financial Corp. —

Class A† 82,370 412,674

Parkway Properties, Inc.† 388,745

Medical Properties Trust Inc.† 384,971

Mid-America Apartment

Communities, Inc.† 7,474 372,504

BioMed Realty Trust, Inc.† 366,305

First Financial Bancorp† 350,440

Lexington Realty Trust† 23,954 345,177

Presidential Life Corp.† 19,774 344,859

South Financial Group, Inc.† 339,937

Old National Bancorp† 17,980 323,640

Community Bank System, Inc.† 320,803

First Commonwealth

Financial Corp.† 26,963 312,501

Sterling Bancorp 20,093 312,044

Irwin Financial Corp.† 57,542 305,548

Home Properties, Inc.† 6,240 299,458

National Penn Bancshares, Inc. 283,036

Senior Housing Properties

Trust† 11,700 277,290

Kite Realty Group Trust† 272,846

Sovran Self Storage, Inc.† 266,254

National Retail Properties, Inc.† 262,726

Selective Insurance Group, Inc. 260,889

Sterling Savings Bank† 15,833 247,153

Hanmi Financial Corp. 33,050 244,240

DiamondRock Hospitality Co.† 239,463

Dime Community Bancshares† 236,871

FirstFed Financial Corp.*† 234,033

Entertainment Properties Trust† 230,864

20,932,734

Finish Line — Class A† 1,396,874

Stein Mart, Inc.† 212,793 1,195,897

Bassett Furniture

Industries, Inc.† 94,334 1,164,082

La-Z-Boy, Inc.† 120,999 1,009,132

M/I Homes, Inc.† 54,961 933,238

Haverty Furniture Cos., Inc.† 894,260

Tuesday Morning Corp.*† 704,371

Sonic Automotive, Inc. 34,232 703,468

Lithia Motors, Inc. — Class A† 700,105

Standard Motor Products, Inc.† 698,023

Building Material

Holding Corp.† 156,077 683,617

Monaco Coach Corp. 71,964 682,219

Group 1 Automotive, Inc.† 678,995

Jo-Ann Stores, Inc.*† 43,569 641,771

PEP Boys-Manny Moe & Jack† 595,369

Superior Industries

International, Inc.† 25,566 530,495

Oxford Industries, Inc.† 493,880

Fred’s, Inc.† 48,179 493,835

Triarc Cos., Inc. — Class B 464,573

Zale Corp.*† 21,433 423,516

Cato Corp. — Class A† 417,603

National Presto Industries, Inc. 416,632

MarineMax, Inc.*† 31,619 393,973

Arctic Cat, Inc.† 52,121 379,962

O’Charleys, Inc. 31,642 364,516

Brown Shoe Co., Inc.† 23,546 354,838

Libbey, Inc. 18,842 317,299

Nautilus, Inc.† 94,281 310,184

Live Nation, Inc.*† 22,533 273,325

|

9,302

14,436

1,239,990

5,862

18,196

11,234

130,819

18,376

91,045

80,375

7,928

29,996

53,985

26,940

4,396

29,600

3,987

12,754

20,932

10,518

34,008

15,333

26,055

22,876

13,062

15,560

19,489

6,234

11,915

10,925

18,900

13,551

8,620

4,680

293,461

84,047

135,979

68,908

114,056

28,918

59,776

21,921

67,232

27,952

7,951

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

Total Materials

UTILITIES 6.3%

Total Consumer Discretionary

INDUSTRIALS 14.2%

Total Utilities

INFORMATION TECHNOLOGY 6.1%

Total Information Technology

CONSUMER STAPLES 4.6%

Total Consumer Staples

VALUE VALUE

Total Industrials

MATERIALS 7.4%

SMALL-CAP VALUE FUND

SCHEDULE OF INVESTMENTS (continued)

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 121

March 31, 2008

Landry’s Restaurants, Inc.† $ 269,027 Schweitzer-Mauduit

Ethan Allen Interiors, Inc.† 210,524 International, Inc. 7,859 $ 181,857

Audiovox Corp. — Class A* 186,804 Omnova Solutions, Inc.* 144,785

Steak n Shake Co.*† 17,410 137,017

CPI Corp.† 7,871 135,932

Cabela’s, Inc. — Class A*† 134,775

Big 5 Sporting Goods Corp. 120,903

CKE Restaurants, Inc. 9,541 107,050

19,618,084

Avista Corp. 15,198 297,273

Wabash National Corp.† 1,079,771 Allete, Inc. 6,757 260,955

Arkansas Best Corp.† 27,917 889,436 UGI Corp.† 9,721 242,247

Standex International Corp.† 670,870 UIL Holding Corp. 7,736 233,086

Volt Information Piedmont Natural Gas Co.† 224,838

Sciences, Inc.*† 36,811 624,315 New Jersey Resources Corp.† 224,678

Universal Forest Products, Inc.† 532,878 Central Vermont Public

Mesa Air Group, Inc.* 223,743 525,796 Service Corp.† 9,133 218,279

Spherion Corp.* 79,210 484,765 Unisource Energy Corp. 8,905 198,225

Angelica Corp. 22,805 409,122 Cleco Corp.† 7,940 176,109

Gibraltar Industries, Inc.† 387,958 Southern Union Co. 5,816 135,338

ABM Industries, Inc. 16,752 375,915 Northwest Natural Gas Co.† 131,754

Standard Register Co.† 46,106 359,166

Watsco, Inc.† 8,667 358,987

Tredegar Corp. 17,230 313,758

Griffon Corp.* 34,494 296,648

Briggs & Stratton Corp.† 292,558

Lydall, Inc.* 24,608 281,762

Applied Signal Technology, Inc. 266,385

A.O. Smith Corp.† 7,904 259,804

CDI Corp.† 9,791 245,264

Frontier Airlines

Holdings, Inc.*† 70,281 177,811

Mueller Industries, Inc. 5,849 168,744

Lawson Products, Inc. 5,530 152,351

NCI Building Systems, Inc.*† 150,597

United Stationers, Inc.*† 2,975 141,907

C&D Technologies, Inc.*† 137,980

Insituform Technologies,

Inc. — Class A*† 8,597 118,896

9,703,444

Nash Finch Co.† 17,503 594,752

Alliance One International, Inc.* 550,975

Central Garden and Pet Co. —

Class A*† 118,793 527,441

Performance Food

Group Co.*† 15,571 508,860

Spartan Stores, Inc. 18,593 387,664

Spectrum Brands, Inc.*† 204,407

Lance, Inc.† 7,224 141,590

Longs Drug Stores Corp.† 126,318

Great Atlantic & Pacific

Tea Company, Inc*† 4,657 122,107

3,164,114

5,078,656

Atmos Energy Corp.† 25,328 645,864

Laclede Group, Inc.† 14,698 523,690

CH Energy Group, Inc.† 424,166

Southwest Gas Corp.† 13,993 391,244

4,327,746

Gevity HR, Inc. 126,029 1,091,411

SYNNEX Corp.*† 35,356 750,254

Photronics, Inc.*† 30,985 295,907

Insight Enterprises, Inc.*† 285,075

CTS Corp. 22,806 244,024

Ciber, Inc.* 42,318 207,358

Park Electrochemical Corp.† 203,440

Benchmark Electronics, Inc.*† 199,586

Ditech Networks, Inc.* 65,900 193,746

Rudolph Technologies, Inc.*† 158,899

Black Box Corp. 4,883 150,641

Gerber Scientific, Inc.* 16,752 148,925

Methode Electronics, Inc. —

Class A 10,653 124,534

Symmetricom, Inc.* 32,084 111,973

4,165,773

Georgia Gulf Corp.† 134,784 934,053

Chesapeake Corp.† 134,606 647,455

PolyOne Corp.* 85,230 542,915

Quaker Chemical Corp. 540,660

Rock-Tenn Co. — Class A† 459,170

Wausau Paper Corp. 54,007 446,098

A. Schulman, Inc.† 18,673 383,357

Tronox, Inc. 97,796 381,405

A.M. Castle & Co.† 8,155 220,185

Material Sciences Corp.* 196,716

March 31, 2008

16,525

7,405

17,491

36,287

9,518

13,786

120,108

30,030

8,562

7,236

16,549

33,074

3,033

16,344

22,575

6,223

27,486

91,221

44,728

2,975

10,904

16,290

7,870

11,119

16,264

17,279

15,321

25,350

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

SMALL-CAP VALUE FUND

MARKET

VALUE

SHARES

(NOTE 1)

HEALTH CARE 1.6%

Cambrex Corp.

45,909

$

318,149

Owens & Minor, Inc.†

6,054

238,164

Datascope Corp.

5,076

210,299

Medcath Corp.*

8,075

146,965

Gentiva Health Services, Inc.*†

6,530

142,093

Total Health Care

1,055,670

Total Common Stocks

(Cost $69,078,768)

68,046,221

FACE

AMOUNT

REPURCHASE AGREEMENTS 0.4%

Repurchase Agreements (Note 5)

Mizuho Financial Group, Inc.

issued 03/31/08 at 1.30%

due 04/01/08

$

169,847

169,847

Lehman Brothers Holdings, Inc.

issued 03/31/08 at 1.15%

due 04/01/08

90,343

90,343

Morgan Stanley

issued 03/31/08 at 1.35%

due 04/01/08

35,385

35,385

Total Repurchase Agreements

(Cost $295,575)

295,575

SHARES

SECURITIES LENDING COLLATERAL 21.9%

Mount Vernon Securities

Lending Trust Prime

Portfolio (Note 8)

14,998,127

14,998,127

Total Securities Lending Collateral

(Cost $14,998,127)

14,998,127

Total Investments 121.6%

(Cost $84,372,470)

$ 83,339,923

Liabilities in Excess of

Other Assets – (21.6)%

$(14,791,521)

Net Assets – 100.0%

$ 68,548,402

* Non-Income Producing Security.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

122

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 99.5% CONSUMER DISCRETIONARY 24.1%

FINANCIALS 31.2%

Total Consumer Discretionary

UTILITIES 12.8%

Total Utilities

INDUSTRIALS 12.1%

Total Financials

VALUE VALUE

MID-CAP VALUE FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 123

March 31, 2008

ArvinMeritor, Inc.† 23,863 $ 298,526

Furniture Brands

Fidelity National Financial, Inc. — International, Inc.† 24,471 286,311

Class A† 14,822 $ 271,687 Ryland Group, Inc.† 7,194 236,611

IndyMac Bancorp, Inc.† 42,671 211,648 Charming Shoppes, Inc.*† 177,942

First American Corp.† 4,783 162,335 Lee Enterprises, Inc.† 16,394 164,104

Old Republic International Foot Locker, Inc.† 13,587 159,919

Corp.† 9,276 119,753 Rent-A-Center, Inc.*† 7,108 130,432

First Niagara Financial Media General, Inc.† 9,088 127,414

Group, Inc.† 8,294 112,715 Modine Manufacturing Co. 121,948

Hospitality Properties Trust† 110,599 Lear Corp.* 3,989 103,355

AmeriCredit Corp.*† 10,352 104,245 Ruby Tuesday, Inc.† 13,417 100,627

Highwoods Properties, Inc.† 103,401 Entercom Communications

Mack-Cali Realty Corp. 2,862 102,202 Corp.† 9,874 98,049

Protective Life Corp. 2,351 95,357 Borders Group, Inc.† 14,656 86,031

Liberty Property Trust 2,914 90,654 Belo Corp. — Class A† 6,847 72,373

TCF Financial Corp.† 4,435 79,475 Bob Evans Farms, Inc.† 2,201 60,725

New York Community Collective Brands, Inc.*† 58,261

Bancorp, Inc.† 4,347 79,202 Regis Corp. 2,027 55,722

Webster Financial Corp.† 77,869 Scholastic Corp.*† 1,585 47,978

Colonial BancGroup, Inc.† 74,238 99 Cents Only Stores*† 4,777 47,244

Associated Banc-Corp.† 2,772 73,818 Barnes & Noble, Inc.† 1,465 44,902

Mercury General Corp. 1,634 72,403 Boyd Gaming Corp.† 1,045 20,900

FirstMerit Corp.† 3,489 72,083

American Financial Group, Inc.† 69,370

Camden Property Trust† 69,276

Unitrin, Inc. 1,891 66,828

Nationwide Health

Properties, Inc.† 1,957 66,049

Health Care REIT, Inc. 1,430 64,536

Duke Realty Corp.† 2,811 64,119

UDR, Inc.† 2,573 63,090

Commerce Group, Inc. 1,688 60,869

Astoria Financial Corp. 2,196 59,643

Cousins Properties, Inc.† 58,513

Weingarten Realty Investors† 56,344

Equity One, Inc.† 2,240 53,693

Hanover Insurance Group, Inc.† 49,697

The PMI Group, Inc.† 8,413 48,964

Arthur J. Gallagher & Co.† 48,586

Horace Mann Educators Corp. 47,843

Washington Federal, Inc.† 46,137

Everest Re Group Ltd. 496 44,407

Realty Income Corp.† 1,700 43,554

BRE Properties, Inc. —

Class A† 905 41,232

Wilmington Trust Corp.† 34,925

First Community Bancorp† 33,240

Apollo Investment Corp.† 31,977

3,236,576

Alaska Air Group, Inc.*† 89,879

2,499,374

Energy East Corp. 4,650 112,158

Hawaiian Electric

Industries, Inc.† 4,528 108,083

WGL Holdings, Inc.† 3,117 99,931

Great Plains Energy, Inc.† 97,688

Vectren Corp.† 3,555 95,381

Oneok, Inc. 2,121 94,660

AGL Resources, Inc. 2,480 85,114

PNM Resources, Inc.† 6,340 79,060

Westar Energy, Inc.† 3,381 76,985

SCANA Corp. 1,949 71,294

Puget Energy, Inc. 2,393 61,907

OGE Energy Corp.† 1,942 60,532

IDACORP, Inc.† 1,864 59,853

Alliant Energy Corp. 1,647 57,662

NSTAR 1,761 53,587

Black Hills Corp.† 1,491 53,348

Aquila, Inc.* 9,691 31,108

Sierra Pacific Resources 2,313 29,213

1,327,564

Kelly Services, Inc.† 11,017 226,509

YRC Worldwide, Inc.*† 13,411 175,952

Avis Budget Group, Inc.* 150,061

Federal Signal Corp.† 10,693 149,274

36,841

8,416

3,251

3,328

4,807

2,794

7,709

2,714

1,380

2,368

1,636

1,208

2,057

2,737

2,020

1,123

1,238

2,020

4,581

3,963

14,130

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

MID-CAP VALUE FUND

MARKET

MARKET

VALUE

FACE

VALUE

SHARES

(NOTE 1)

AMOUNT

(NOTE 1)

GATX Corp.†

2,077

$

81,148

REPURCHASE AGREEMENTS 0.6%

Manpower, Inc.

1,208

67,962

Repurchase Agreements (Note 5)

Trinity Industries, Inc.†

2,517

67,078

Mizuho Financial Group, Inc.

United Rentals, Inc.*

3,328

62,700

issued 03/31/08 at 1.30%

Werner Enterprises, Inc.†

3,160

58,650

due 04/01/08

$

34,571

$

34,571

Timken Co.†

1,821

54,120

Lehman Brothers Holdings, Inc.

JetBlue Airways Corp.*†

8,316

48,233

issued 03/31/08 at 1.15%

Teleflex, Inc.

622

29,676

due 04/01/08

18,389

18,389

Total Industrials

1,261,242

Morgan Stanley

INFORMATION TECHNOLOGY 7.0%

issued 03/31/08 at 1.35%

Imation Corp.†

7,983

181,534

due 04/01/08

7,202

7,202

Ingram Micro, Inc. — Class A*

6,490

102,737

Total Repurchase Agreements

Acxiom Corp.

7,331

87,019

(Cost $60,162)

60,162

Palm, Inc.†

16,846

84,230

Tech Data Corp.*

2,369

77,703

SHARES

Vishay Intertechnology, Inc.*

6,369

57,703

SECURITIES LENDING COLLATERAL 43.1%

Diebold, Inc.

1,385

52,007

Mount Vernon Securities

Arrow Electronics, Inc.*†

1,319

44,384

Lending Trust Prime

KEMET Corp.*†

10,725

43,329

Portfolio (Note 8)

4,478,402

4,478,402

Total Information Technology

730,646

Total Securities Lending Collateral

MATERIALS 6.7%

(Cost $4,478,402)

4,478,402

Chemtura Corp.†

15,772

115,766

Total Investments 143.2%

Olin Corp.†

4,680

92,477

(Cost $14,398,450)

$14,884,905

RPM International, Inc.†

4,346

91,005

Louisiana-Pacific Corp.†

7,409

68,015

Liabilities in Excess of

Worthington Industries, Inc.

3,993

67,362

Other Assets – (43.2)%

$ (4,493,913)

Ferro Corp.

3,928

58,370

Net Assets – 100.0%

$10,390,992

Valspar Corp.†

2,687

53,310

Sonoco Products Co.

1,703

48,757

Sensient Technologies Corp.†

1,304

38,455

Lubrizol Corp.

636

35,304

Cabot Corp.†

1,144

32,032

Total Materials

700,853

HEALTH CARE 2.9%

Health Management

Associates, Inc. — Class A*

24,819

131,293

Kindred Healthcare, Inc.*†

4,980

108,913

Omnicare, Inc.

3,615

65,648

Total Health Care

305,854

CONSUMER STAPLES 2.7%

Universal Corp.†

2,204

144,428

Smithfield Foods, Inc.*†

2,372

61,103

J.M. Smucker Co.

826

41,804

Ruddick Corp.

1,001

36,897

Total Consumer Staples

284,232

Total Common Stocks

(Cost $9,859,886)

10,346,341

* Non-Income Producing Security.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

REIT — Real Estate Investment Trust.

124

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 99.7%

FINANCIALS 33.8%

Total Financials

CONSUMER DISCRETIONARY 27.6%

Total Consumer Discretionary

UTILITIES 14.2%

Total Utilities

VALUE VALUE

LARGE-CAP VALUE FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 125

March 31, 2008

Lehman Brothers Holdings, Inc.† $ 66,359

Ambac Financial Group, Inc.† 60,030

Bear Stearns Cos., Inc.† 2,876 30,169

Washington Mutual, Inc.† $ 363,302

E*Trade Financial Corp.*† 359,339

Freddie Mac 13,363 338,351

KeyCorp 11,634 255,366

First Horizon National Corp.† 247,319

Countrywide Financial Corp.† 239,965

Regions Financial Corp.† 235,499

National City Corp.† 22,422 223,099

CIT Group, Inc.† 18,600 220,410

Allstate Corp. 4,554 218,865

American Capital Strategies Ltd.† 215,140

Bank of America Corp.† 5,449 206,572

Apartment Investment &

Management Co. — Class A 201,539

Sovereign Bancorp, Inc.† 200,939

BB&T Corp.† 6,224 199,541

Huntington Bancshares, Inc.† 198,800

Comerica, Inc.† 5,660 198,553

Wachovia Corp.† 7,116 192,132

MBIA, Inc.† 15,600 190,632

Citigroup, Inc. 8,705 186,461

Equity Residential† 4,488 186,207

Marshall & Ilsley Corp.† 7,525 174,580

Cincinnati Financial Corp. 170,876

Travelers Cos, Inc. 3,544 169,580

JPMorgan Chase & Co. 3,838 164,842

Morgan Stanley† 3,600 164,520

Zions Bancorporation† 3,460 157,603

SunTrust Banks, Inc.† 2,706 149,209

Genworth Financial, Inc. —

Class A 6,563 148,586

Marsh & McLennan Cos., Inc.† 147,317

Fifth Third Bancorp† 7,000 146,440

XL Capital Ltd.† 4,840 143,022

Developers Diversified Realty

Corp.† 3,411 142,853

HCP, Inc. 4,068 137,539

Capital One Financial Corp.† 125,019

U.S. Bancorp† 3,799 122,936

Lincoln National Corp. 2,254 117,208

Host Hotels & Resorts, Inc.† 115,579

Hartford Financial Services Group,

Inc. 1,440 109,109

Wells Fargo & Co.† 3,565 103,741

Merrill Lynch & Co., Inc. 2,480 101,035

M&T Bank Corp. 1,240 99,795

ACE Ltd. 1,811 99,714

General Growth Properties, Inc.† 90,845

PNC Financial Services Group, Inc. 83,995

Chubb Corp. 1,601 79,217

8,299,749

KB HOME† 28,080 694,418

D.R. Horton, Inc.† 43,530 685,597

Lennar Corp. — Class A† 613,770

Dillard’s, Inc. — Class A† 487,026

OfficeMax, Inc.† 25,213 482,577

AutoNation, Inc.*† 24,240 362,873

Jones Apparel Group, Inc.† 342,505

Centex Corp.† 13,710 331,919

Brunswick Corp.† 18,742 299,310

New York Times Co. — Class A† 287,467

Whirlpool Corp.† 2,895 251,228

Gannett Co., Inc.† 8,080 234,724

CBS Corp.† 8,658 191,169

Ford Motor Co.*† 32,806 187,650

Macy’s, Inc. 8,039 185,379

Leggett & Platt, Inc.† 12,106 184,616

Office Depot, Inc.* 12,100 133,705

Limited Brands, Inc.† 7,090 121,239

Eastman Kodak Co.† 6,818 120,474

Big Lots, Inc.*† 5,340 119,082

Liz Claiborne, Inc. 5,810 105,452

J.C. Penney Co., Inc.† 2,740 103,325

Time Warner, Inc. 7,076 99,206

Mattel, Inc. 4,465 88,854

Carnival Corp.† 1,958 79,260

6,792,825

Integrys Energy Group, Inc.† 363,559

NiSource, Inc.† 20,498 353,385

DTE Energy Co.† 6,980 271,452

Duke Energy Corp.† 13,458 240,225

Pinnacle West Capital Corp. 231,423

Progress Energy, Inc.† 5,391 224,805

TECO Energy, Inc.† 13,496 215,261

Consolidated Edison, Inc.† 204,455

Pepco Holdings, Inc.† 8,180 202,210

Nicor, Inc.† 5,411 181,323

Xcel Energy, Inc. 8,735 174,263

Ameren Corp.† 3,607 158,852

CenterPoint Energy, Inc.† 129,957

Southern Co. 3,383 120,469

American Electric Power Co.,

Inc.† 2,741 114,108

PG&E Corp. 2,819 103,795

CMS Energy Corp.† 7,470 101,144

Dominion Resources, Inc.† 85,927

3,476,613

1,763

10,440

35,272

93,093

17,653

43,630

11,924

6,298

5,628

21,560

18,493

4,492

6,050

2,540

7,260

2,380

1,281

32,630

28,299

25,522

15,226

7,795

6,597

5,150

9,107

2,104

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

LARGE-CAP VALUE FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE 1)

SHARES

(NOTE 1)

INDUSTRIALS 4.6%

ENERGY 1.8%

Ryder System, Inc.†

5,954

$

362,658

Spectra Energy Corp.

19,730

$

448,858

Masco Corp.†

10,108

200,442

Total Energy

448,858

Tyco International Ltd.

4,150

182,807

Allied Waste Industries, Inc.*

11,965

129,342

Total Common Stocks

RR Donnelley & Sons Co.

3,341

101,266

(Cost $22,348,738)

24,497,462

Avery Dennison Corp.†

1,640

80,770

FACE

AMOUNT

Northrop Grumman Corp.

1,036

80,611

Total Industrials

1,137,896

REPURCHASE AGREEMENTS 0.5%

Repurchase Agreements (Note 5)

MATERIALS 4.5%

Mizuho Financial Group, Inc.

Ashland, Inc.

5,893

278,739

issued 03/31/08 at 1.30%

Weyerhaeuser Co.†

3,335

216,908

due 04/01/08

$

63,173

63,173

International Paper Co.

7,340

199,648

Lehman Brothers Holdings, Inc.

Dow Chemical Co.†

4,323

159,303

issued 03/31/08 at 1.15%

Bemis Co.†

5,734

145,816

due 04/01/08

33,603

33,603

MeadWestvaco Corp.

3,556

96,794

Morgan Stanley

Total Materials

1,097,208

issued 03/31/08 at 1.35%

CONSUMER STAPLES 4.3%

due 04/01/08

13,161

13,161

Tyson Foods, Inc. — Class A

24,376

388,797

Total Repurchase Agreements

SUPERVALU, INC.

8,495

254,680

(Cost $109,937)

109,937

Kroger Co.†

4,830

122,682

Dean Foods Co.

5,630

113,107

SHARES

Reynolds American, Inc.†

1,695

100,056

Safeway Inc.†

2,807

82,385

SECURITIES LENDING COLLATERAL 49.2%

Mount Vernon Securities

Total Consumer Staples

1,061,707

Lending Trust Prime

HEALTH CARE 3.8%

Portfolio (Note 8)

12,085,740

12,085,740

AmerisourceBergen Corp.†

7,536

308,825

Total Securities Lending Collateral

Tenet Healthcare Corp.*†

25,261

142,977

McKesson Corp.†

2,522

132,077

(Cost $12,085,740)

12,085,740

Cardinal Health, Inc.

2,340

122,874

Total Investments 149.4%

Pfizer, Inc.

5,440

113,859

(Cost $34,544,415)

$ 36,693,139

Covidien Ltd.

2,530

111,953

Liabilities in Excess of

Total Health Care

932,565

Other Assets – (49.4)%

$(12,127,617)

TELECOMMUNICATION SERVICES 3.0%

Net Assets – 100.0%

$ 24,565,522

Embarq Corp.

3,562

142,836

Citizens Communications Co.†

13,271

139,213

Verizon Communications, Inc.†

3,771

137,453

Windstream Corp.

9,816

117,301

Sprint Nextel Corp.†

16,189

108,305

AT&T, Inc.

2,598

99,503

Total Telecommunication Services

744,611

INFORMATION TECHNOLOGY 2.1%

Electronic Data Systems Corp.

10,826

180,253

Jabil Circuit, Inc.

18,720

177,091

Micron Technology, Inc.*†

24,805

148,086

Total Information Technology

505,430

* Non-Income Producing Security.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

126

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 99.3%

INFORMATION TECHNOLOGY 24.1%

Total Consumer Discretionary

HEALTH CARE 18.9%

Total Information Technology

CONSUMER DISCRETIONARY 24.0%

VALUE VALUE

SMALL-CAP GROWTH FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements. | 127

March 31, 2008

Tractor Supply Co.*† 1,976 $ 78,092

P.F. Chang’s China Bistro, Inc.*† 76,162

Pre-Paid Legal Services, Inc.*† 73,242

j2 Global Communications, Papa John’s International,

Inc.*† 6,467 $ 144,343 Inc.*† 2,936 71,081

Bankrate, Inc.*† 2,835 141,438 Drew Industries, Inc.* 2,892 70,738

Wright Express Corp.*† 4,070 125,071 Sonic Corp.*† 3,088 68,060

Websense, Inc.*† 6,017 112,819 Arbitron, Inc.† 1,546 66,725

Epicor Software Corp.*† 9,760 109,312 CEC Entertainment, Inc.*† 65,587

Flir Systems, Inc.*† 3,470 104,412 CROCS, Inc.*† 3,476 60,726

Ansoft Corp.*† 3,370 102,852 Bright Horizons Family

Quality Systems, Inc.† 3,279 97,944 Solutions, Inc.*† 1,371 59,008

Faro Technologies, Inc.* 2,600 81,068 Dress Barn, Inc.*† 4,538 58,722

Netgear, Inc.*† 4,002 79,840 Hibbett Sports Inc.*† 3,786 58,456

Factset Research Systems, Inc.† 76,819 Polaris Industries, Inc.† 1,410 57,824

United Online, Inc.† 7,270 76,771 Zumiez, Inc.*† 3,670 57,582

DealerTrack Holdings, Inc.*† 72,590 Stamps.com, Inc.* 5,170 53,044

SPSS, Inc.* 1,820 70,580 Shuffle Master, Inc.*† 9,555 51,119

Intevac, Inc.* 5,342 69,179 Jos. A. Bank Clothiers, Inc.*† 50,717

Sonic Solutions, Inc.*† 6,941 66,981 Monarch Casino & Resort,

Concur Technologies, Inc.*† 63,342 Inc.*† 2,655 47,020

Scansource, Inc.*† 1,713 61,993 Christopher & Banks Corp.† 43,536

Secure Computing Corp.* 60,694 Deckers Outdoor Corp.*† 40,001

CACI International, Inc. — Select Comfort Corp.*† 39,060

Class A*† 1,330 60,582 Fossil, Inc.*† 1,273 38,877

Blackbaud, Inc.† 2,487 60,384 LKQ Corp.*† 1,536 34,514

Tyler Technologies, Inc.*† 56,605 Universal Technical Institute,

Smith Micro Software, Inc.*† 56,243 Inc.* 2,900 34,017

EPIQ Systems, Inc.* 3,518 54,599 WMS Industries, Inc.*† 837 30,107

InfoSpace, Inc. 4,700 54,379

Comtech Telecommunications

Corp.*† 1,391 54,249

Micros Systems, Inc.*† 1,504 50,625

Ansys, Inc.*† 1,371 47,327

Daktronics, Inc.† 2,427 43,468

Trimble Navigation Ltd.*† 39,311

LoJack Corp.* 3,050 38,552

Brightpoint, Inc.* 4,170 34,861

Diodes, Inc.* 1,520 33,379

Stratasys, Inc.* 1,650 29,370

ViaSat, Inc.* 1,190 25,847

2,457,829

Dionex Corp.* 801 61,669

Stage Stores, Inc.† 8,231 133,342 Immucor, Inc.*† 2,750 58,685

Meritage Homes Corp.*† 128,903 Air Methods Corp.* 1,190 57,560

PetMed Express, Inc.*† 9,795 108,627 Pediatrix Medical Group, Inc.* 57,020

Panera Bread Co. — Class A*† 108,160 Sciele Pharma, Inc.*† 2,814 54,873

Standard-Pacific Corp.† 104,850 Cooper Cos., Inc.† 1,583 54,503

Gymboree Corp.* 2,585 103,090 Kendle International, Inc.*† 53,455

Coinstar, Inc.*† 3,487 98,124 Healthways, Inc.* 1,505 53,187

Volcom, Inc.*† 4,790 96,806 Sunrise Senior Living, Inc.* 51,177

K-Swiss, Inc. — Class A† 5,544 87,706 PharMerica Corp.*† 3,040 50,373

Pool Corp.† 4,596 86,818 Idexx Laboratories, Inc.* 50,147

2,440,443

HealthExtras, Inc.* 5,344 132,745

LifeCell Corp.*† 3,117 131,008

Martek Biosciences Corp.*† 128,669

Palomar Medical Technologies,

Inc.*† 7,575 114,382

LHC Group, Inc.* 5,650 94,920

inVentiv Health, Inc.*† 3,140 90,463

LCA-Vision, Inc.† 7,130 89,125

Integra LifeSciences Holdings

Corp.*† 1,658 72,073

AMN Healthcare Services, Inc.* 67,077

2,678

1,727

2,271

1,426

3,590

2,474

2,040

4,358

9,410

371

10,850

4,049

9,190

1,375

6,672

846

2,582

21,574

1,190

2,297

1,018

4,209

4,350

SCHEDULE OF INVESTMENTS (continued)

March 31, 2008

SMALL-CAP GROWTH FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE 1)

SHARES

(NOTE 1)

Molina Healthcare, Inc.*†

1,828

$

44,640

INDUSTRIALS 7.2%

Merit Medical Systems, Inc.*†

2,712

42,931

Landstar System, Inc.

2,267

$

118,247

AmSurg Corp.*

1,795

42,506

Orbital Sciences Corp.*†

3,210

77,361

Abaxis, Inc.*†

1,740

40,316

Ceradyne, Inc.*†

2,257

72,134

Kensey Nash Corp.*†

1,331

38,532

Knight Transportation, Inc.†

4,318

71,074

SurModics, Inc.*†

845

35,389

Simpson Manufacturing Co.,

PharmaNet Development

Inc.†

2,309

62,758

Group, Inc.*†

1,364

34,414

Forward Air Corp.†

1,638

58,051

Amedisys, Inc.*†

816

32,101

Heartland Express, Inc.†

3,639

51,892

American Medical Systems

Curtiss-Wright Corp.†

1,213

50,315

Holdings, Inc.*†

2,259

32,055

Toro Co.†

1,169

48,385

ICU Medical, Inc.*

990

28,482

AAR Corp.*†

1,710

46,632

Haemonetics Corp.*†

460

27,407

Waste Connections, Inc.*†

1,299

39,931

Total Health Care

1,921,884

Teledyne Technologies, Inc.*†

800

37,600

ENERGY 9.6%

Total Industrials

734,380

Basic Energy Services, Inc.*†

6,215

137,227

MATERIALS 3.9%

Petroleum Development

Headwaters, Inc.*†

8,161

107,644

Corp.*†

1,758

121,777

NewMarket Corp.†

1,370

103,367

Unit Corp.*†

2,119

120,041

Deltic Timber Corp.

1,630

90,791

Hornbeck Offshore Services,

Quanex Corp.†

1,116

57,742

Inc.*†

2,235

102,072

Brush Engineered Materials,

St. Mary Land & Exploration

Inc.*†

1,323

33,961

Co.†

2,647

101,909

Total Materials

393,505

Cabot Oil & Gas Corp.†

1,446

73,515

CONSUMER STAPLES 3.4%

Helix Energy Solutions Group,

Mannatech, Inc.†

21,483

153,174

Inc.*

2,284

71,946

USANA Health Sciences, Inc.*†

3,199

70,474

Penn Virginia Corp.†

1,584

69,839

Boston Beer Co., Inc. —

CARBO Ceramics, Inc.†

1,435

57,543

Class A*

1,060

50,392

Superior Well Services, Inc.*†

2,280

49,864

Chattem, Inc.*†

670

44,448

Oceaneering International, Inc.*

773

48,699

United Natural Foods, Inc.*†

1,696

31,732

Dril-Quip, Inc.*†

472

21,934

Total Consumer Staples

350,220

Total Energy

976,366

Total Common Stocks

FINANCIALS 8.2%

(Cost $9,382,417)

10,107,365

Portfolio Recovery Associates,

FACE

Inc.†

2,609

111,900

AMOUNT

Wilshire Bancorp, Inc.

11,143

85,133

optionsXpress Holdings, Inc.†

4,110

85,118

REPURCHASE AGREEMENTS 0.6%

Infinity Property & Casualty

Repurchase Agreements (Note 5)

Corp.†

2,026

84,282

Mizuho Financial Group, Inc.

Zenith National Insurance Corp.

2,340

83,912

issued 03/31/08 at 1.30%

TradeStation Group, Inc.*†

9,820

83,666

due 04/01/08

$

36,152

36,152

World Acceptance Corp.*†

2,226

70,898

Lehman Brothers Holdings, Inc.

Nara Bancorp, Inc.

4,860

63,131

issued 03/31/08 at 1.15%

Philadelphia Consolidated

due 04/01/08

19,229

19,229

Holding Corp.*

1,917

61,727

Morgan Stanley

PrivateBancorp, Inc.†

1,499

47,174

issued 03/31/08 at 1.35%

First Cash Financial Services,

due 04/01/08

7,532

7,532

Inc.*†

2,990

30,887

Total Repurchase Agreements

UCBH Holdings, Inc.†

3,210

24,910

(Cost $62,913)

62,913

Total Financials

832,738

128

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

SMALL-CAP GROWTH FUND

MARKET

VALUE

SHARES

(NOTE 1)

SECURITIES LENDING COLLATERAL 32.5%

Mount Vernon Securities

Lending Trust Prime

Portfolio (Note 8)

3,309,302

$

3,309,302

Total Securities Lending Collateral

(Cost $3,309,302)

3,309,302

Total Investments 132.4%

(Cost $12,754,632)

$13,479,580

Liabilities in Excess of

Other Assets – (32.4)%

$ (3,302,459)

Net Assets – 100.0%

$10,177,121

* Non-Income Producing Security.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

129

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 100.0%

CONSUMER DISCRETIONARY 25.6%

Total Health Care

INFORMATION TECHNOLOGY 15.6%

Total Information Technology

INDUSTRIALS 11.1%

Total Consumer Discretionary

HEALTH CARE 21.0%

Total Industrials

VALUE VALUE

MID-CAP GROWTH FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

130 See Notes to Financial Statements.

March 31, 2008

Community Health Systems,

Inc.*† 4,649 $ 156,067

Lincare Holdings, Inc.*† 5,470 153,762

NVR, Inc.*† 619 $ 369,852 Gen-Probe, Inc.*† 2,846 137,177

Aeropostale, Inc.*† 12,380 335,622 Par Pharmaceutical Cos., Inc.*† 134,372

Urban Outfitters, Inc.*† 10,190 319,456 Henry Schein, Inc.*† 2,012 115,489

Toll Brothers, Inc.* 12,852 301,765 Covance, Inc.*† 1,137 94,337

Getty Images, Inc.*† 8,770 280,640 Cerner Corp.*† 2,239 83,470

Chico’s FAS, Inc.*† 33,509 238,249 Charles River Laboratories

Ross Stores, Inc.† 7,883 236,175 International, Inc.*† 1,328 78,272

Strayer Education, Inc.† 1,337 203,893 Medicis Pharmaceutical Corp. —

Chipotle Mexican Grill, Inc. — Class A† 3,929 77,362

Class A*† 1,680 190,562

The Warnaco Group, Inc.*† 172,747

Matthews International Corp. —

Class A 3,528 170,226

Pacific Sunwear of California,

Inc.* 13,295 167,650

Dollar Tree, Inc.*† 5,821 160,601

Advance Auto Parts, Inc. 160,512

Valassis Communications, Inc.*† 159,289

Williams-Sonoma, Inc.† 6,331 153,463

Timberland Co. — Class A*† 151,057

Cheesecake Factory, Inc.*† 138,410

American Eagle Outfitters,

Inc.† 7,833 137,156

John Wiley & Sons, Inc. —

Class A 3,431 136,211

Career Education Corp.*† 130,240

Sotheby’s† 4,450 128,650

ITT Educational Services, Inc.* 124,287

O’Reilly Automotive, Inc.* 118,529

Corinthian Colleges, Inc.*† 101,061

Scientific Games Corp. —

Class A*† 4,545 95,945

Guess?, Inc.† 2,360 95,509

4,977,757

Alliant Techsystems, Inc.*† 226,110

Graco, Inc.† 5,191 188,226

Korn/Ferry International, Inc.*† 164,268

Dun & Bradstreet Corp. 1,979 161,051

Fastenal Co.† 3,356 154,141

Corporate Executive

Board Co.† 3,278 132,694

Rollins, Inc. 7,229 127,881

Donaldson Co., Inc. 3,086 124,304

Copart, Inc.* 3,008 116,590

Mine Safety Appliances Co.† 98,856

Stericycle, Inc.*† 1,574 81,061

2,161,028

Techne Corp.*† 2,607 175,607

ResMed, Inc.*† 3,765 158,808

4,075,736

Digital River, Inc.*† 11,190 346,554

Western Digital Corp.*† 251,337

Cree, Inc.*† 8,840 247,166

DST Systems, Inc.*† 3,612 237,453

ACI Worldwide, Inc.* 11,171 222,526

Silicon Laboratories, Inc.*† 214,598

F5 Networks, Inc.*† 11,160 202,777

McAfee, Inc.*† 4,959 164,093

Global Payments, Inc.† 3,610 149,310

Amphenol Corp. — Class A 147,994

ValueClick, Inc.*† 8,370 144,383

Plantronics, Inc. 7,126 137,603

SRA International, Inc. —

Class A*† 4,760 115,716

Alliance Data Systems Corp.* 109,131

Harris Corp. 2,031 98,564

Fair Isaac Corp.† 4,133 88,942

Gartner, Inc. — Class A*† 83,162

Macrovision Corp.*† 5,800 78,300

3,039,609

Joy Global, Inc. 4,640 302,342

Navigant Consulting, Inc.*† 283,504

Psychiatric Solutions, Inc.*† 382,211

Intuitive Surgical, Inc.* 980 317,863

Invitrogen Corp.*† 3,410 291,453

Sepracor, Inc.*† 14,155 276,306

Kinetic Concepts, Inc.*† 5,670 262,124

Endo Pharmaceuticals

Holdings, Inc.*† 9,906 237,150

Hologic, Inc.* 3,815 212,114

Affymetrix, Inc.*† 11,308 196,872

Apria Healthcare Group, Inc.*† 181,779

Pharmaceutical Product

Development, Inc. 4,218 176,734

VCA Antech, Inc.*† 6,450 176,407

|

7,727

4,380

4,714

14,681

11,002

6,352

10,239

2,706

4,156

13,978

2,184

9,720

2,400

9,295

6,804

3,973

2,297

4,300

14,937

11,268

9,204

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

MID-CAP GROWTH FUND

MARKET

MARKET

VALUE

FACE

VALUE

SHARES

(NOTE 1)

AMOUNT

(NOTE 1)

ENERGY 10.7%

REPURCHASE AGREEMENTS 0.8%

Encore Acquisition Co.*†

11,490

$

462,817

Repurchase Agreements (Note 5)

Cimarex Energy Co.†

5,455

298,607

Mizuho Financial Group, Inc.

Grant Prideco, Inc.*

4,133

203,426

issued 03/31/08 at 1.30%

Frontier Oil Corp.†

6,507

177,381

due 04/01/08

$

90,297

$

90,297

Quicksilver Resources, Inc.*†

4,648

169,791

Lehman Brothers Holdings, Inc.

Denbury Resources, Inc.*†

5,770

164,733

issued 03/31/08 at 1.15%

FMC Technologies, Inc.*†

2,845

161,852

due 04/01/08

48,029

48,029

Newfield Exploration Co.*†

2,902

153,371

Morgan Stanley

Pioneer Natural Resources Co.†

2,988

146,771

issued 03/31/08 at 1.35%

Southwestern Energy Co.*

4,322

145,608

due 04/01/08

18,812

18,812

Total Energy

2,084,357

Total Repurchase Agreements

MATERIALS 7.0%

(Cost $157,138)

157,138

Cleveland-Cliffs, Inc.

3,138

375,995

Steel Dynamics, Inc.

10,528

347,845

SHARES

Commercial Metals Co.

9,729

291,578

SECURITIES LENDING COLLATERAL 49.2%

CF Industries Holdings, Inc.†

1,698

175,947

Mount Vernon Securities

Terra Industries, Inc.*†

4,624

164,291

Lending Trust Prime

Total Materials

1,355,656

Portfolio (Note 8)

9,573,016

9,573,016

FINANCIALS 4.8%

Total Securities Lending Collateral

Jones Lang LaSalle, Inc.†

3,937

304,488

(Cost $9,573,016)

9,573,016

W.R. Berkley Corp.

7,474

206,955

Total Investments 150.0%

Brown & Brown, Inc.†

8,369

145,453

(Cost $26,948,849)

$29,164,620

SEI Investments Co.

5,588

137,968

Eaton Vance Corp.†

4,142

126,372

Liabilities in Excess of

Other Assets – (50.0)%

$ (9,717,833)

Total Financials

921,236

Net Assets – 100.0%

$19,446,787

CONSUMER STAPLES 4.2%

Hansen Natural Corp.*†

8,039

283,777

Energizer Holdings, Inc.*†

2,546

230,362

NBTY, Inc.*†

5,926

177,484

Church & Dwight Co., Inc.†

2,350

127,464

Total Consumer Staples

819,087

Total Common Stocks

(Cost $17,218,695)

19,434,466

* Non-Income Producing Security.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

131

MARKET MARKET

SHARES (NOTE 1) SHARES (NOTE 1)

COMMON STOCKS 100.0%

CONSUMER DISCRETIONARY 19.4%

Total Information Technology

HEALTH CARE 16.8%

Total Consumer Discretionary

INFORMATION TECHNOLOGY 17.4%

Total Health Care

ENERGY 13.4%

VALUE VALUE

LARGE-CAP GROWTH FUND

SCHEDULE OF INVESTMENTS

THE RYDEX SERIES FUNDS ANNUAL REPORT

132 See Notes to Financial Statements.

March 31, 2008

QLogic Corp.*† 6,900 $ 105,915

NetApp, Inc.*† 5,128 102,816

Motorola, Inc. 10,460 97,278

Sears Holdings Corp.*† 3,090 $ 315,458 Citrix Systems, Inc.*† 3,084 90,454

Coach, Inc.*† 9,171 276,506 Electronic Arts, Inc.*† 1,803 90,006

TJX Cos., Inc.† 6,783 224,314 Western Union Co. 3,920 83,378

Amazon.com, Inc.*† 3,019 215,255 MEMC Electronic Materials, Inc.* 80,826

Bed Bath & Beyond, Inc.*† 204,700 National Semiconductor Corp. 69,066

Abercrombie & Fitch Co. — Nvidia Corp.* 3,133 62,002

Class A 2,770 202,598 BMC Software, Inc.* 1,790 58,211

Goodyear Tire & Rubber Co.*† 197,628

AutoZone, Inc.* 1,580 179,851

Expedia, Inc.*† 8,050 176,214

Darden Restaurants, Inc. 5,340 173,817

H&R Block, Inc.† 8,307 172,453

Starbucks Corp.* 9,530 166,775

Black & Decker Corp.† 2,463 162,804

Lowe’s Cos., Inc.† 6,841 156,933

Yum! Brands, Inc.† 4,192 155,984

Apollo Group, Inc. — Class A*† 155,952

Harley-Davidson, Inc.† 4,106 153,975

Kohl’s Corp.*† 2,828 121,293

International Game Technology,

Inc.† 2,917 117,293

Nike, Inc. — Class B† 1,700 115,600

Best Buy Co., Inc.† 2,788 115,590

Omnicom Group, Inc.† 2,343 103,514

Harman International Industries,

Inc. 2,198 95,701

GameStop Corp. — Class A*† 93,595

McGraw-Hill Cos., Inc.† 2,450 90,528

Polo Ralph Lauren Corp.† 79,857

4,224,188

Quest Diagnostics, Inc.† 105,026

Yahoo!, Inc.*† 10,187 294,710 C.R. Bard, Inc.† 1,086 104,690

Cognizant Technology Solutions Becton, Dickinson & Co.† 96,581

Corp. — Class A* 7,434 214,322 Genzyme Corp.* 1,240 92,430

Google, Inc. — Class A*† 472 207,902

Dell, Inc.*† 8,469 168,702

Intuit, Inc.* 6,182 166,976

eBay, Inc.* 5,492 163,881

Qualcomm, Inc. 3,978 163,098

Apple, Inc.* 1,120 160,720

Lexmark International, Inc.*† 148,316

Fiserv, Inc.*† 3,080 148,117

Oracle Corp.* 7,171 140,265

Adobe Systems, Inc.* 3,928 139,798

Cisco Systems, Inc.* 5,755 138,638

Total System Services, Inc. 129,184

Symantec Corp.*† 7,328 121,791

SanDisk Corp.*† 5,378 121,381

Akamai Technologies, Inc.*† 114,893

Microsoft Corp. 3,860 109,547

Autodesk, Inc.* 3,418 107,599

3,799,792

Zimmer Holdings, Inc.* 3,634 282,943

Forest Laboratories, Inc.* 234,019

Express Scripts, Inc.* 3,343 215,022

Gilead Sciences, Inc.*† 3,812 196,432

Varian Medical Systems, Inc.*† 192,840

IMS Health, Inc. 8,143 171,085

St. Jude Medical, Inc.* 3,955 170,817

Patterson Cos., Inc.*† 4,516 163,931

Biogen Idec, Inc.*† 2,570 158,543

Celgene Corp.*† 2,504 153,470

Amgen, Inc.*† 3,504 146,397

Medtronic, Inc.† 3,024 146,271

Coventry Health Care, Inc.*† 142,597

Laboratory Corporation of America

Holdings* 1,874 138,076

Waters Corp.*† 2,440 135,908

Hospira, Inc.*† 3,143 134,426

Stryker Corp. 2,050 133,353

UnitedHealth Group, Inc. 120,775

Barr Pharmaceuticals, Inc.* 118,553

Johnson & Johnson, Inc. 108,852

3,663,037

XTO Energy, Inc. 4,945 305,898

EOG Resources, Inc.† 2,170 260,400

Apache Corp.† 1,870 225,933

Sunoco, Inc.† 3,940 206,732

Chesapeake Energy Corp.† 198,445

ConocoPhillips 2,230 169,948

Murphy Oil Corp.† 2,050 168,387

Schlumberger Ltd. 1,890 164,430

BJ Services Co.† 5,629 160,483

Devon Energy Corp. 1,515 158,060

Halliburton Co. 3,800 149,454

Transocean, Inc.*† 1,090 147,368

Valero Energy Corp. 2,890 141,928

Exxon Mobil Corp. 1,650 139,557

Smith International, Inc. 1,555 99,878

|

1,140

6,939

3,770

7,660

3,610

1,810

1,370

2,320

1,125

4,828

5,460

4,080

5,849

4,117

3,534

3,515

2,454

1,678

4,300

SCHEDULE OF INVESTMENTS (concluded)

March 31, 2008

LARGE-CAP GROWTH FUND

MARKET

MARKET

VALUE

VALUE

SHARES

(NOTE 1)

SHARES

(NOTE 1)

Consol Energy, Inc.†

1,356

$

93,821

WM Wrigley Jr Co.†

1,677

$

105,383

Baker Hughes, Inc.†

1,010

69,185

PepsiCo, Inc.

1,458

105,268

Cameron International Corp.*†

1,520

63,293

Total Consumer Staples

1,645,843

Total Energy

2,923,200

MATERIALS 6.5%

FINANCIALS 8.7%

United States Steel Corp.

2,350

298,145

CB Richard Ellis Group, Inc. —

Nucor Corp.†

3,988

270,147

Class A*

13,200

285,648

Freeport-McMoRan Copper &

Moody’s Corp.†

6,860

238,934

Gold, Inc.†

2,210

212,646

IntercontinentalExchange, Inc.*†

1,510

197,055

Ball Corp.†

4,423

203,193

Progressive Corp.

12,081

194,142

Titanium Metals Corp.†

8,450

127,173

Leucadia National Corp.

3,620

163,696

Sigma-Aldrich Corp.†

1,980

118,107

Safeco Corp.†

3,600

157,968

Ecolab, Inc.†

2,224

96,588

SLM Corp.*†

10,146

155,741

Pactiv Corp.*

3,340

87,541

Federated Investors, Inc. —

Total Materials

1,413,540

Class B

3,836

150,218

UTILITIES 1.6%

CME Group Inc.†

298

139,792

Constellation Energy Group, Inc.

1,480

130,640

Franklin Resources, Inc.†

880

85,351

Questar Corp.

1,988

112,441

American Express Co.

1,894

82,806

AES Corp.*

6,527

108,805

NYSE Euronext

946

58,377

Total Utilities

351,886

Total Financials

1,909,728

Total Common Stocks

INDUSTRIALS 8.7%

(Cost $19,361,497)

21,825,522

Caterpillar, Inc.†

2,260

176,936

Expeditors International of

FACE

Washington, Inc.†

3,610

163,100

AMOUNT

Trane, Inc.

3,467

159,135

REPURCHASE AGREEMENTS 0.7%

L-3 Communications Holdings, Inc.

1,264

138,206

Repurchase Agreements (Note 5)

Lockheed Martin Corp.

1,270

126,111

Mizuho Financial Group, Inc.

CH Robinson Worldwide, Inc.†

2,260

122,944

issued 03/31/08 at 1.30%

Cummins, Inc.

2,610

122,200

due 04/01/08

$

89,269

89,269

Danaher Corp.†

1,575

119,747

Lehman Brothers Holdings, Inc.

Rockwell Collins, Inc.

2,080

118,872

issued 03/31/08 at 1.15%

Pitney Bowes, Inc.†

3,340

116,967

due 04/01/08

47,483

47,483

Terex Corp.*

1,830

114,375

Morgan Stanley

General Dynamics Corp.

1,254

104,546

issued 03/31/08 at 1.35%

Equifax, Inc.†

2,750

94,820

due 04/01/08

18,598

18,598

ITT Industries, Inc.†

1,578

81,756

Total Repurchase Agreements

Rockwell Automation, Inc.†

1,370

78,665

(Cost $155,350)

155,350

Jacobs Engineering Group, Inc.*†

760

55,928

SHARES

Total Industrials

1,894,308

SECURITIES LENDING COLLATERAL 32.5%

CONSUMER STAPLES 7.5%

Mount Vernon Securities

Clorox Co.

3,028

171,506

Lending Trust Prime

Avon Products, Inc.

4,170

164,882

Portfolio (Note 8)

7,099,899

7,099,899

Colgate-Palmolive Co.

1,894

147,561

Kellogg Co.†

2,775

145,854

Total Securities Lending Collateral

Hershey Co.†

3,780

142,393

(Cost $7,099,899)

7,099,899

Anheuser-Busch Cos., Inc.

2,960

140,452

UST, Inc.†

2,550

139,026

Total Investments 133.2%

Pepsi Bottling Group, Inc.†

3,795

128,688

(Cost $26,616,746)

$29,080,771

Estee Lauder Cos., Inc. — Class A†

2,796

128,197

Liabilities in Excess of

Campbell Soup Co.†

3,730

126,633

Other Assets – (33.2)%

$ (7,246,565)

Net Assets – 100.0%

$21,834,206

* Non-Income Producing Security.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

See Notes to Financial Statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

133

SCHEDULE OF INVESTMENTS

March 31, 2008

U.S. GOVERNMENT MONEY MARKET FUND

MARKET

MARKET

FACE

VALUE

FACE

VALUE

AMOUNT

(NOTE 1)

AMOUNT

(NOTE 1)

FEDERAL AGENCY DISCOUNT NOTES 72.0%

REPURCHASE AGREEMENTS 10.8%

Fannie Mae*

Joint Repurchase Agreements (Note 5)

2.80% due 04/23/08

$

75,000,000

$

74,871,667

Mizuho Financial Group, Inc.

3.91% due 04/02/08

50,000,000

49,994,569

issued 03/31/08 at 1.30%

2.82% due 04/23/08

25,000,000

24,956,917

due 04/01/08

$

51,716,984

$

51,716,984

Farmer Mac*

Lehman Brothers Holdings, Inc.

1.85% due 06/23/08

75,000,000

74,680,104

issued 03/31/08 at 1.15%

2.40% due 04/03/08

50,000,000

49,993,333

due 04/01/08

27,508,644

27,508,644

2.05% due 06/23/08

50,000,000

49,763,680

Morgan Stanley

3.60% due 04/10/08

25,000,000

24,977,500

issued 03/31/08 at 1.35%

2.70% due 05/22/08

25,000,000

24,904,375

due 04/01/08

10,774,372

10,774,372

2.15% due 06/13/08

25,000,000

24,891,007

Individual Repurchase Agreement

Federal Farm Credit Bank*

Lehman Brothers Holdings, Inc.

1.88% due 05/15/08

25,500,000

25,441,407

issued 03/31/08 at 1.15%

2.74% due 04/11/08

25,000,000

24,980,972

due 04/01/08 (Secured by a U.S.

Federal Home Loan Bank*

Treasury Bond, at a rate of 6.25%

2.71% due 05/21/08

50,000,000

49,811,805

and maturing 08/15/23

2.68% due 04/02/08

25,000,000

24,998,139

as collateral, with a

2.71% due 05/02/08

25,000,000

24,941,660

Market Value of $49,257,613)

2.65% due 05/07/08

25,000,000

24,933,750

to be repurchased at

2.70% due 05/21/08†

25,000,000

24,906,250

$48,295,617

48,294,074

48,294,074

2.23% due 06/11/08

25,000,000

24,890,049

Total Repurchase Agreements

Freddie Mac*

(Cost $138,294,074)

138,294,074

4.14% due 04/14/08

50,000,000

49,925,250

2.82% due 04/28/08

50,000,000

49,894,250

SHARES

2.07% due 06/23/08

50,000,000

49,761,375

SECURITIES LENDING COLLATERAL 9.9%

2.10% due 09/22/08

30,000,000

29,695,500

Morgan Stanley

2.72% due 05/27/08

25,000,000

24,894,222

Repurchase Agreement

1.81% due 07/28/08

25,000,000

24,851,681

2.90% due

04/01/08

2.03% due 08/04/08

25,000,000

24,823,785

(Note 8)

127,125,000

127,125,000

2.74% due 07/28/08

25,000,000

24,775,472

2.06% due 06/23/08

20,000,000

19,905,011

Total Securities Lending Collateral

(Cost $127,125,000)

127,125,000

Total Federal Agency Discount Notes

(Cost $922,463,730)

922,463,730

Total Investments 111.1%

(Cost $1,422,869,681)

$1,422,869,681

FEDERAL AGENCY BONDS 18.4%

Farmer Mac*

Liabilities in Excess of

2.50% due 04/01/09

50,000,000

50,000,000

Other Assets – (11.1)%

$

(142,563,262)

2.83% due 03/13/09

10,000,000

10,000,000

Net Assets – 100.0%

$1,280,306,419

Federal Home Loan Bank*

2.88% due 01/30/09

50,000,000

49,991,556

4.30% due 06/03/08

25,000,000

25,000,000

4.35% due 04/28/08

25,000,000

25,000,000

4.25% due 06/18/08

15,000,000

15,000,000

2.85% due 03/04/09

15,000,000

15,000,000

2.80% due 03/17/09

15,000,000

15,000,000

4.57% due 11/28/08

15,000,000

15,000,000

2.23% due 03/12/09

15,000,000

14,995,321

Total Federal Agency Bonds

(Cost $234,986,877)

234,986,877

* The issuer is a publicly traded company that operates under a Congressional charter; its securities are neither issued nor guaranteed by the

U.S. Government.

† All or a portion of this security is on loan at March 31, 2008 — See Note 8.

134

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

This page intentionally left blank.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

135

STATEMENTS OF ASSETS AND LIABILITIES

Inverse

S&P 500

Nova

S&P 500

Strategy

OTC

Fund

Fund

Fund

Fund

ASSETS

Investment Securities*

$ 142,340,931

$58,834,176

$ 195,269,171

$

829,004,745

Repurchase Agreements*

1,162,090

35,624,447

66,645,876

19,590,859

Segregated Cash with Broker

15,724,043

2,624,169

15,875,676

2,644,609

Deposits with Brokers for Securities Sold Short

—

—

—

—

Receivable for Equity Index Swap Settlement

265,967

20,802

—

229,963

Variation Margin on Futures Contracts

67,000

37,776

74,027

23,000

Receivable for Securities Sold

3,808,542

—

—

—

Receivable for Fund Shares Sold

1,155,598

993,857

756,453

565,068

Investment Income Receivable

168,195

49,819

2,303

217,450

Total Assets

164,692,366

98,185,046

278,623,506

852,275,694

LIABILITIES

Short Sales at Market Value**

—

—

—

—

Payable to cover Short Sale

—

—

—

—

Payable for Equity Index Swap Settlement

299,365

—

1,650,412

—

Variation Margin on Futures Contracts

—

—

—

—

Payable upon Return of Securities Loaned

26,417,952

8,443,950

—

196,292,630

Payable for Securities Purchased

—

24,898

—

5,016,540

Payable for Fund Shares Redeemed

209,181

473,102

709,827

564,998

Investment Advisory Fees Payable

79,518

41,501

206,413

377,083

Transfer Agent and Administrative Fees Payable

26,506

13,834

57,337

125,694

Distribution and Service Fees Payable

14,831

9,930

12,165

7,208

Portfolio Accounting Fees Payable

10,602

5,533

22,153

39,996

Custody Fees Payable

3,187

1,660

6,880

15,083

Short Sales Interest Payable

—

—

—

—

Overdraft Due to Custodian Bank

2,153,588

—

—

—

Short Sales Dividends Payable

—

—

—

—

Dividends Payable

—

—

—

—

Other Liabilities

79,179

13,682

139,490

342,141

Total Liabilities

29,293,909

9,028,090

2,804,677

202,781,373

NET ASSETS

$ 135,398,457

$89,156,956

$ 275,818,829

$

649,494,321

NET ASSETS CONSIST OF

Paid-In Capital

$ 292,733,944

$92,460,814

$ 558,286,863

$1,141,503,534

Undistributed Net Investment Income

432,002

2,559

3,989,079

—

Accumulated Net Realized Loss on Investments, Equity Index Swaps,

Futures Contracts and Securities Sold Short

(176,361,558)

(4,815,646)

(284,668,119)

(737,866,419)

Net Unrealized Appreciation (Depreciation) on Investments,

Equity Index Swaps, Futures Contracts and Securities Sold Short

18,594,069

1,509,229

(1,788,994)

245,857,206

NET ASSETS

$ 135,398,457

$89,156,956

$ 275,818,829

$

649,494,321

Investor Class

$

74,674,171

N/A

$ 223,044,210

$

617,922,718

Advisor Class

19,217,980

N/A

11,131,064

15,184,072

A-Class

11,791,409

$

2,357,993

9,344,256

6,044,247

C-Class

29,714,897

7,835,972

32,299,299

10,343,284

H-Class

N/A

78,962,991

N/A

N/A

SHARES OUTSTANDING

Investor Class

2,858,217

N/A

5,576,264

52,337,827

Advisor Class

777,287

N/A

295,089

1,352,270

A-Class

471,922

90,973

246,096

532,717

C-Class

1,230,975

306,708

872,848

944,595

H-Class

N/A

3,048,302

N/A

N/A

NET ASSET VALUES

Investor Class

$26.13

N/A

$40.00

$11.81

Advisor Class

24.72

N/A

37.72

11.23

A-Class

24.99

$25.92

37.97

11.35

A-Class Maximum Offering Price***

26.24

27.21

39.86

11.92

C-Class

24.14

25.55

37.00

10.95

H-Class

N/A

25.90

N/A

N/A

* The cost of investments is $125,185,070, $93,490,873, $261,915,047, $602,826,959, $72,713,094, $26,233,918, $46,203,383, $35,878,790,

$6,226,072, $49,767,508, $77,144,023, and $801,843,058, respectively.

** The proceeds from short sales are $0, $0, $0, $0, $0, $0, $0, $0, $0, $22,562,420, $0 and $308,667,502, respectively.

*** Net asset value adjusted for the maximum sales charge of 4.75% of offering price.

136

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

March 31, 2008

Inverse

Inverse

Inverse

Government

Inverse

OTC

Mid-Cap

Mid-Cap

Russell 2000^®

Russell 2000^®

Long Bond

Government

Strategy

1.5x Strategy

Strategy

1.5x Strategy

Russell 2000^®

Strategy

1.2x Strategy

Long Bond

Fund

Fund

Fund

Fund

Fund

Fund

Fund

Strategy Fund

$

—

$21,307,917

$

—

$ 30,700,506

$4,858,473

$

—

$ 78,453,959

$369,900,917

72,713,094

5,238,925

46,203,383

5,186,621

1,385,487

49,767,508

2,428,963

431,931,284

1,556,857

1,229,079

3,407,806

2,571,709

167,239

4,949,884

438,000

2,673,604

—

—

—

—

—

22,562,420

—

—

—

—

1,149,559

26,220

2,785

—

—

—

—

103,140

84,244

51,162

—

44,426

85,421

—

—

52,082

—

—

—

—

—

—

178,873

62,493

88,693

63,594

708,763

121,485

17,896,490

4,359,157

2,525

14,954

1,617

31,824

1,335

10,252

427,830

13,586

74,451,349

28,008,590

50,935,302

38,631,636

7,124,082

77,455,975

99,730,663

808,878,548

—

—

—

—

—

20,782,065

—

322,401,905

—

—

—

—

—

—

—

29,853,635

1,128,929

514,014

—

887,916

12,440

675,327

—

—

6,439

—

—

—

16,276

—

—

544,781

—

5,432,081

—

8,604,404

548,245

—

—

—

—

—

—

—

—

—

14,065,263

—

206,914

293,709

1,870,676

3,087

627,873

380,367

3,069,291

29,016,087

55,349

16,701

26,956

20,994

2,329

42,677

29,857

308,342

15,375

4,639

7,488

5,832

776

11,855

11,943

85,651

3,713

4,117

4,306

5,479

571

6,899

8,052

53,047

6,150

1,856

2,995

2,333

311

4,742

5,971

30,647

1,845

578

899

700

93

1,423

1,791

10,278

—

—

—

—

—

—

—

1,757,792

—

—

—

—

—

—

—

—

—

—

—

—

—

19,176

—

—

—

—

—

—

—

—

9,047

—

47,191

18,979

8,535

17,378

1,826

25,896

40,305

196,217

1,471,905

6,286,674

1,921,855

9,548,123

1,210,740

21,950,427

17,241,520

384,258,382

$

72,979,444

$21,721,916

$49,013,447

$ 29,083,513

$5,913,342

$ 55,505,548

$ 82,489,143

$424,620,166

$  198,305,369

$29,131,158

$53,761,623

$ 38,550,576

$6,539,094

$ 85,364,969

$ 84,923,271

$702,049,049

695,607

—

25,629

—

—

143,279

183,622

—

(124,891,767)

(7,897,515)

(5,925,158)

(9,629,309)

(672,841)

(31,594,503)

(7,187,539)

(258,697,940)

(1,129,765)

488,273

1,151,353

162,246

47,089

1,591,803

4,569,789

(18,730,943)

$

72,979,444

$21,721,916

$49,013,447

$ 29,083,513

$5,913,342

$ 55,505,548

$ 82,489,143

$424,620,166

$

59,819,135

N/A

N/A

N/A

N/A

N/A

$ 30,695,089

$237,900,192

3,743,688

N/A

N/A

N/A

N/A

N/A

25,180,705

24,891,416

1,783,800

$

1,570,930

$

905,994

$

4,371,784

$

908,752

$

6,815,516

20,374,070

37,256,462

7,632,821

8,387,955

1,477,601

10,872,518

677,767

6,135,941

6,239,279

124,572,096

N/A

11,763,031

46,629,852

13,839,211

4,326,823

42,554,091

N/A

N/A

2,812,259

N/A

N/A

N/A

N/A

N/A

2,605,668

14,148,412

180,262

N/A

N/A

N/A

N/A

N/A

2,148,016

1,516,597

85,060

48,499

24,439

152,742

38,559

174,549

1,727,957

2,247,812

388,765

272,955

41,251

401,212

29,116

162,311

530,274

7,958,575

N/A

363,057

1,258,040

483,557

183,541

1,089,232

N/A

N/A

$21.27

N/A

N/A

N/A

N/A

N/A

$11.78

$16.81

20.77

N/A

N/A

N/A

N/A

N/A

11.72

16.41

20.97

$32.39

$37.07

$28.62

$23.57

$39.05

11.79

16.57

22.02

34.01

38.92

30.05

24.75

41.00

12.38

17.40

19.63

30.73

35.82

27.10

23.28

37.80

11.77

15.65

N/A

32.40

37.07

28.62

23.57

39.07

N/A

N/A

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

137

STATEMENTS OF ASSETS AND LIABILITIES (concluded)

Inverse

High Yield

High Yield

Europe

Japan

Strategy

Strategy

1.25x Strategy

2x Strategy

Fund

Fund

Fund

Fund

ASSETS

Investment Securities*

$

—

$

—

$20,449,836

$

—

Credit Default Swaps at Value

—

1,170,675²

—

—

Repurchase Agreements*

79,076,693

9,962,370

12,256,751

5,760,593

Segregated Cash with Broker

2,890,664

70,400

3,709,278

290,700

Receivable for Credit Default Swap

301,744

—

—

—

Receivable for Equity Index Swap Settlement

—

—

48,170

54,558

Variation Margin on Futures Contracts

41,839

—

—

—

Receivable for Securities Sold

—

—

3,508,909

—

Receivable for Fund Shares Sold

1,639,604

25,000

787,760

186,129

Investment Income Receivable

2,768

349

111,480

202

Total Assets

83,953,312

11,228,794

40,872,184

6,292,182

LIABILITIES

Credit Default Swap at Value

8,035,087¹

—

—

—

Variation Margin on Futures Contracts

—

19,219

27,545

20,352

Payable upon Return of Securities Loaned

—

—

7,037,195

—

Payable for Credit Default Swaps

—

13,613

—

—

Payable for Securities Purchased

—

—

—

—

Payable for Fund Shares Redeemed

65,322

3,181

4,172,990

147,922

Investment Advisory Fees Payable

12,642

10,891

22,643

3,098

Transfer Agent and Administrative Fees Payable

4,214

3,630

6,290

1,009

Distribution and Service Fees Payable

3,566

2,156

4,759

560

Portfolio Accounting Fees Payable

1,686

1,452

2,516

404

Custody Fees Payable

506

436

755

121

Dividends Payable

—

—

—

—

Other Liabilities

9,086

7,899

28,432

275

Total Liabilities

8,132,109

62,477

11,303,125

173,741

NET ASSETS

$75,821,203

$11,166,317

$29,569,059

$6,118,441

NET ASSETS CONSIST OF

Paid-In Capital

$78,721,635

$11,113,514

$34,655,203

$6,170,260

Undistributed Net Investment Income (Loss)

384,040

—

(2,603,625)

1,752

Accumulated Net Realized Loss on Investments, Credit Default/Equity

Index Swaps, and Futures Contracts

(2,990,062)

(532,575)

(5,234,900)

(285,728)

Net Unrealized Appreciation (Depreciation) on Investments, Credit

Default/Equity Index Swaps, and Futures Contracts

(294,410)

585,378

2,752,381

232,157

NET ASSETS

$75,821,203

$11,166,317

$29,569,059

$6,118,441

Investor Class

N/A

N/A

N/A

N/A

Advisor Class

N/A

N/A

N/A

N/A

A-Class

$10,529,634

$

1,672,766

$

1,749,978

$

635,832

C-Class

1,001,228

2,957,624

6,149,054

239,570

H-Class

64,290,341

6,535,927

21,670,027

5,243,039

SHARES OUTSTANDING

Investor Class

N/A

N/A

N/A

N/A

Advisor Class

N/A

N/A

N/A

N/A

A-Class

433,121

32,636

78,646

25,307

C-Class

41,513

57,922

292,817

9,545

H-Class

2,647,822

127,197

973,554

208,690

NET ASSET VALUES

Investor Class

N/A

N/A

N/A

N/A

Advisor Class

N/A

N/A

N/A

N/A

A-Class

$24.31

$51.26

$22.25

$25.12

A-Class Maximum Offering Price**

25.52

53.82

23.36

26.37

C-Class

24.12

51.06

21.00

25.10

H-Class

24.28

51.38

22.26

25.12

* The cost of investments is $79,076,693, $9,962,370, $30,136,864, $5,760,593, $84,372,470, $14,398,450, $34,544,415, $12,754,632,

$26,948,849, $26,616,746, and $1,422,869,681, respectively.

** Net asset value adjusted for the maximum sales charge of 4.75% of offering price.

¹ Including unamortized upfront premiums received of $7,422,914.

² Including unamortized upfront premiums paid of $511,178.

138

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

March 31, 2008

U.S.

Small-Cap

Mid-Cap

Large-Cap

Small-Cap

Mid-Cap

Large-Cap

Government

Value

Value

Value

Growth

Growth

Growth

Money Market

Fund

Fund

Fund

Fund

Fund

Fund

Fund

$83,044,348

$14,824,743

$36,583,202

$13,416,667

$29,007,482

$28,925,421

$1,284,575,607

—

—

—

—

—

—

—

295,575

60,162

109,937

62,913

157,138

155,350

138,294,074

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

193,485

—

—

—

—

—

—

269,380

5,443

41,524

1,160,536

12,087

11,542

53,521,745

87,368

17,546

205,955

4,241

17,840

11,861

1,549,532

83,890,156

14,907,894

36,940,618

14,644,357

29,194,547

29,104,174

1,477,940,958

—

—

—

—

—

—

—

—

—

—

—

—

—

—

14,998,127

4,478,402

12,085,740

3,309,302

9,573,016

7,099,899

127,125,000

—

—

—

—

—

—

—

—

—

100,242

934,136

—

—

—

303,403

18,151

96,461

210,320

114,719

122,741

68,987,695

18,348

6,281

39,835

3,796

27,586

13,639

495,401

6,116

2,094

13,278

1,265

9,195

4,546

198,160

7,381

1,186

6,560

948

3,473

3,067

74,135

2,446

837

5,311

506

3,678

1,819

56,466

774

569

1,765

152

1,109

605

30,666

—

—

—

—

—

—

42,563

5,159

9,382

25,904

6,811

14,984

23,652

624,453

15,341,754

4,516,902

12,375,096

4,467,236

9,747,760

7,269,968

197,634,539

$68,548,402

$10,390,992

$24,565,522

$10,177,121

$19,446,787

$21,834,206

$1,280,306,419

$77,865,092

$12,941,884

$26,042,102

$14,178,702

$24,894,448

$28,469,962

$1,280,458,425

92,190

—

303,322

—

—

—

(20,989)

(8,376,333)

(3,037,347)

(3,928,626)

(4,726,529)

(7,663,432)

(9,099,781)

(131,017)

(1,032,547)

486,455

2,148,724

724,948

2,215,771

2,464,025

—

$68,548,402

$10,390,992

$24,565,522

$10,177,121

$19,446,787

$21,834,206

$1,280,306,419

N/A

N/A

N/A

N/A

N/A

N/A

$

978,584,464

N/A

N/A

N/A

N/A

N/A

N/A

159,111,353

$

2,944,935

$

2,797,015

$

4,268,923

$

1,938,198

$

3,862,516

$

5,443,321

21,174,355

14,040,173

1,082,378

1,837,935

1,980,272

1,425,818

4,453,469

121,436,247

51,563,294

6,511,599

18,458,664

6,258,651

14,158,453

11,937,416

N/A

N/A

N/A

N/A

N/A

N/A

N/A

979,014,538

N/A

N/A

N/A

N/A

N/A

N/A

159,368,412

110,887

94,121

213,399

70,647

144,938

216,767

21,174,399

546,152

37,609

95,718

74,310

55,286

182,879

121,436,198

1,943,510

219,145

922,777

227,980

530,708

475,506

N/A

N/A

N/A

N/A

N/A

N/A

N/A

$1.00

N/A

N/A

N/A

N/A

N/A

N/A

1.00

$26.56

$29.72

$20.00

$27.43

$26.65

$25.11

1.00

27.88

31.20

21.00

28.80

27.98

26.36

1.00

25.71

28.78

19.20

26.65

25.79

24.35

1.00

26.53

29.71

20.00

27.45

26.68

25.10

N/A

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

139

STATEMENTS OF OPERATIONS

Inverse

S&P 500

Nova

S&P 500

Strategy

OTC

Fund

Fund

Fund

Fund

INVESTMENT INCOME

Interest

$

1,566,595

$

577,663

$14,090,465

$

2,063,322

Income from Securities Lending, net

41,397

4,810

—

387,905

Dividends, Net of Foreign Tax Withheld*

3,195,973

273,097

—

3,277,738

Total Income

4,803,965

855,570

14,090,465

5,728,965

EXPENSES

Investment Advisory Fees

1,428,195

216,099

2,815,114

5,468,564

Transfer Agent and Administrative Fees

476,065

72,033

781,976

1,822,855

Distribution & Service Fees:

Advisor Class

149,968

—

76,293

85,466

A-Class

34,131

6,713

26,017

16,382

C-Class

393,218

42,638

328,946

133,910

H-Class

—

54,661

—

—

Portfolio Accounting Fees

190,426

28,813

297,050

548,228

Registration Fees

109,666

10,281

142,579

606,519

Short Sales Interest Expense

—

—

—

—

Short Sales Dividend Expense

—

—

—

—

Trustees’ Fees**

19,017

2,044

25,771

64,699

Custody Fees

49,370

7,684

81,947

190,111

Miscellaneous

139,418

24,323

275,043

663,810

Total Expenses

2,989,474

465,289

4,850,736

9,600,544

Net Investment Income (Loss)

1,814,491

390,281

9,239,729

(3,871,579)

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

Net Realized Gain (Loss) on:

Investment Securities

2,451,357

(1,592,506)

(11,195)

36,026,127

Equity Index Swaps

(7,941,391)

(1,405,896)

7,854,643

2,756,952

Futures Contracts

(4,061,221)

(1,635,444)

654,194

(1,232,153)

Securities Sold Short

—

—

—

—

Total Net Realized Gain (Loss)

(9,551,255)

(4,633,846)

8,497,642

37,550,926

Net Change in Unrealized Appreciation (Depreciation) on:

Investment Securities

(17,575,962)

408,363

—

(35,915,330)

Equity Index Swaps

(711,161)

3,907

5,542,750

168,660

Futures Contracts

(134,957)

536,829

437,213

(61,354)

Securities Sold Short

—

—

—

—

Net Change in Unrealized Appreciation (Depreciation)

(18,422,080)

949,099

5,979,963

(35,808,024)

Net Gain (Loss) on Investments

(27,973,335)

(3,684,747)

14,477,605

1,742,902

Net Increase (Decrease) in Net Assets from Operations

$(26,158,844)

$(3,294,466)

$23,717,334

$

(2,128,677)

* Foreign tax withheld of $0, $0, $0, $24,422, $0, $0, $0, $234, $21, $0, $0, and $0, respectively.

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

140

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

Year Ended March 31, 2008

Inverse

Inverse

Inverse

Government

Inverse

OTC

Mid-Cap

Mid-Cap

Russell 2000^®

Russell 2000^®

Long Bond

Government

Strategy

1.5x Strategy

Strategy

1.5x Strategy

Russell 2000^®

Strategy

1.2x Strategy

Long Bond

Fund

Fund

Fund

Fund

Fund

Fund

Fund

Strategy Fund

$ 4,302,319

$

743,155

$

668,414

$

829,910

$ 206,321

$3,119,500

$ 3,480,226

$ 30,106,839

—

20,825

—

45,896

3,355

—

—

—

—

365,279

—

494,332

43,432

12

—

—

4,302,319

1,129,259

668,414

1,370,138

253,108

3,119,512

3,480,226

30,106,839

869,107

450,467

152,001

493,385

57,537

582,366

370,353

4,489,589

241,419

125,130

42,223

137,051

19,179

161,768

148,141

1,247,108

15,986

—

—

—

—

—

66,025

149,671

6,667

6,635

1,742

14,236

1,482

20,265

34,683

105,590

118,614

145,208

10,915

169,094

8,384

71,924

91,025

1,619,075

—

82,192

37,752

80,542

15,601

123,523

—

—

96,567

50,052

16,889

54,821

7,671

64,707

74,071

427,307

94,915

25,302

8,417

39,167

4,662

40,741

41,191

284,406

—

—

—

—

—

—

—

10,311,582

—

—

—

—

—

141,957

—

—

10,425

5,310

1,544

6,395

775

6,523

7,662

54,558

25,112

13,103

4,542

14,095

1,981

16,955

20,307

129,585

83,657

40,932

12,714

33,128

5,441

45,849

58,552

343,348

1,562,469

944,331

288,739

1,041,914

122,713

1,276,578

912,010

19,161,819

2,739,850

184,928

379,675

328,224

130,395

1,842,934

2,568,216

10,945,020

(6,215)

(1,009,942)

—

3,836,965

168,381

—

(2,252,759)

(148,463)

(8,334,634)

(1,456,786)

383,003

(5,595,534)

(273,426)

1,892,540

—

—

(450,841)

(2,167,662)

(118,848)

(4,497,740)

(109,564)

678,003

479,074

(39,418,524)

—

—

—

—

—

1,553,121

—

11,039,097

(8,791,690)

(4,634,390)

264,155

(6,256,309)

(214,609)

4,123,664

(1,773,685)

(28,527,890)

2,810

(4,106,508)

—

(8,337,789)

(369,051)

—

4,430,315

10,646

1,072,719

(42,392)

1,084,665

582,304

(11,228)

(1,284,610)

—

—

254,860

(283,321)

47,831

77,060

18,557

791,408

887,543

(6,230,743)

—

—

—

—

—

1,780,355

—

(17,979,119)

1,330,389

(4,432,221)

1,132,496

(7,678,425)

(361,722)

1,287,153

5,317,858

(24,199,216)

(7,461,301)

(9,066,611)

1,396,651

(13,934,734)

(576,331)

5,410,817

3,544,173

(52,727,106)

$(4,721,451)

$(8,881,683)

$1,776,326

$(13,606,510)

$(445,936)

$7,253,751

$ 6,112,389

$(41,782,086)

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

141

STATEMENTS OF OPERATIONS (concluded)

Inverse

High Yield

High Yield

Europe

Japan

Strategy

Strategy

1.25x Strategy

2x Strategy

Fund†

Fund†

Fund

Fund†

INVESTMENT INCOME

Interest

$

942,894

$

571,609

$ 2,004,133

$

7,570

Income from Securities Lending, net

—

—

29,603

—

Dividends, Net of Foreign Tax Withheld*

—

—

1,423,279

—

Total Income

942,894

571,609

3,457,015

7,570

EXPENSES

Investment Advisory Fees

171,203

114,386

804,433

3,548

Transfer Agent and Administrative Fees

57,068

38,127

223,454

1,183

Distribution & Service Fees:

Advisor Class

—

—

—

—

A-Class

14,058

5,622

22,413

40

C-Class

4,070

16,210

121,038

151

H-Class

41,993

28,453

170,781

1,105

Portfolio Accounting Fees

22,827

15,251

89,382

473

Trustees’ Fees**

1,540

961

9,367

2

Custody Fees

6,043

4,046

22,975

140

Miscellaneous

26,998

20,826

119,050

321

Total Expenses

345,800

243,882

1,582,893

6,963

Net Investment Income (Loss)

597,094

327,727

1,874,122

607

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

Net Realized Gain (Loss) on:

Investment Securities

11,915

—

(159,895)

—

Credit Default/Equity Index Swaps

(3,818,236)

711,915

2,652,319

—

Futures Contracts

1,783,657

(1,863,012)

(3,075,862)

(285,728)

Total Net Realized Gain (Loss)

(2,022,664)

(1,151,097)

(583,438)

(285,728)

Net Change in Unrealized Appreciation (Depreciation) on:

Investment Securities

—

—

(2,725,000)

—

Credit Default/Equity Index Swaps

(612,173)

659,497

(2,196,568)

54,558

Futures Contracts

317,763

(74,119)

134,488

177,599

Net Change in Unrealized Appreciation (Depreciation)

(294,410)

585,378

(4,787,080)

232,157

Net Gain (Loss) on Investments

(2,317,074)

(565,719)

(5,370,518)

(53,571)

Net Increase (Decrease) in Net Assets from Operations

$ (1,719,980)

$

(237,992)

$(3,496,396)

$

(52,964)

* Foreign tax withheld of $0, $0, $183,919, $0, $456, $0, $0, $0, $0, $0, and $0, respectively.

** Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act.

† Since the commencement of operations: April 16, 2007-High Yield Strategy Fund and Inverse High Yield Strategy Fund; February 22, 2008 –

Japan 2x Strategy Fund;

142

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

Year Ended March 31, 2008

U.S.

Small-Cap

Mid-Cap

Large-Cap

Small-Cap

Mid-Cap

Large-Cap

Government

Value

Value

Value

Growth

Growth

Growth

Money Market

Fund

Fund

Fund

Fund

Fund

Fund

Fund

$

2,993

$

7,458

$

19,482

$

5,249

$

7,923

$

21,311

$57,109,021

45,158

33,069

48,619

56,150

42,310

24,640

51,657

342,456

762,042

2,088,533

90,445

129,084

523,068

—

390,607

802,569

2,156,634

151,844

179,317

569,019

57,160,678

110,383

230,042

606,138

145,417

223,225

456,314

6,156,108

36,794

76,681

202,046

48,472

74,408

152,105

2,462,443

—

—

—

—

—

—

779,177

7,915

9,280

12,540

6,619

10,087

9,836

49,678

29,286

45,462

69,338

50,347

37,120

88,047

1,166,311

21,557

56,035

172,172

29,266

55,041

120,257

—

14,718

30,672

80,818

19,389

29,763

60,842

706,641

1,696

3,642

11,165

2,346

2,683

5,786

120,723

5,765

10,224

23,110

6,645

8,158

19,000

322,647

16,645

40,280

104,087

25,213

39,383

81,118

1,664,548

244,759

502,318

1,281,414

333,714

479,868

993,305

13,428,276

145,848

300,251

875,220

(181,870)

(300,551)

(424,286)

43,732,402

(3,529,923)

2,556,717

26,243,034

730,805

(4,673,720)

(4,624,388)

1,840

—

—

—

—

—

—

—

—

—

—

—

—

—

—

(3,529,923)

2,556,717

26,243,034

730,805

(4,673,720)

(4,624,388)

1,840

(4,152,139)

(4,572,641)

(23,545,348)

(1,728,062)

(149,780)

(1,638,431)

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

(4,152,139)

(4,572,641)

(23,545,348)

(1,728,062)

(149,780)

(1,638,431)

—

(7,682,062)

(2,015,924)

2,697,686

(997,257)

(4,823,500)

(6,262,819)

1,840

$(7,536,214)

$(1,715,673)

$

3,572,906

$(1,179,127)

$(5,124,051)

$(6,687,105)

$43,734,242

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

143

STATEMENTS OF CHANGES IN NET ASSETS

Nova Fund

S&P 500 Fund

Year

Year

Year

Year

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007*

FROM OPERATIONS

Net Investment Income (Loss)

$

1,814,491

$

(1,815,413)

$

390,281

$

151,643

Net Realized Gain (Loss) on Investments

(9,551,255)

29,953,138

(4,633,846)

788,794

Net Change in Unrealized Appreciation (Depreciation) on Investments

(18,422,080)

(3,327,070)

949,099

560,130

Net Increase (Decrease) in Net Assets from Operations

(26,158,844)

24,810,655

(3,294,466)

1,500,567

Distributions to Shareholders from:

Net Investment Income

Investor Class

(2,576,835)

(9,646,201)

—

—

Advisor Class

(587,393)

(4,140,935)

—

—

A-Class

(263,460)

(896,227)

(5,509)

(5,936)

C-Class

(872,315)

(3,094,762)

(22,779)

(3,109)

H-Class

—

—

(121,712)

(72,955)

Realized Gain on Investments

A-Class

—

—

—

(22,805)

C-Class

—

—

—

(11,942)

H-Class

—

—

—

(280,258)

Total Distributions to Shareholders

(4,300,003)

(17,778,125)

(150,000)

(397,005)

SHARE TRANSACTIONS

Proceeds from Shares Purchased

Investor Class

341,259,500

353,358,723

—

—

Advisor Class

68,277,906

189,464,156

—

—

A-Class

14,230,806

18,039,665

19,984,413

4,535,678

C-Class

35,778,708

59,036,397

100,930,691

25,274,285

H-Class

—

—

243,409,668

92,864,595

Value of Shares Purchased through Dividend Reinvestment

Investor Class

2,412,637

9,235,931

—

—

Advisor Class

502,879

4,100,656

—

—

A-Class

215,508

727,014

3,583

26,011

C-Class

815,962

2,866,432

22,414

15,050

H-Class

—

—

121,524

352,835

Cost of Shares Redeemed

Investor Class

(362,877,907)

(391,470,378)

—

—

Advisor Class

(83,015,389)

(199,644,131)

—

—

A-Class

(16,109,773)

(33,702,444)

(19,732,723)

(2,574,039)

C-Class

(43,779,722)

(71,132,598)

(94,416,991)

(23,636,531)

H-Class

—

—

(168,129,248)

(87,553,355)

Net Increase (Decrease) in Net Assets From Share Transactions

(42,288,885)

(59,120,577)

82,193,331

9,304,529

Net Increase (Decrease) in Net Assets

(72,747,732)

(52,088,047)

78,748,865

10,408,091

NET ASSETS—BEGINNING OF PERIOD

208,146,189

260,234,236

10,408,091

—

NET ASSETS—END OF PERIOD

$ 135,398,457

$ 208,146,189

$

89,156,956

$ 10,408,091

Undistributed Net Investment Income—End of Period

$

432,002

$

2,917,514

$

2,559

$

—

* Since the commencement of operations: May 31, 2006.

144

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THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

Inverse

Inverse

Mid-Cap

S&P 500 Strategy Fund

OTC Fund

OTC Strategy Fund

1.5x Strategy Fund

Year

Year

Year

Year

Year

Year

Year

Year

Ended

Ended

Ended

Ended

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007

2008

2007

2008

2007

$

9,239,729

$

(2,749,491)

$

(3,871,579)

$

(3,961,757)

$

2,739,850

$

(1,125,772)

$

184,928

$

(68,693)

8,497,642

(20,879,523)

37,550,926

103,280,752

(8,791,690)

(1,889,091)

(4,634,390)

1,638,239

5,979,963

(2,629,540)

(35,808,024)

(76,217,103)

1,330,389

3,793,109

(4,432,221)

(4,004,265)

23,717,334

(26,258,554)

(2,128,677)

23,101,892

(4,721,451)

778,246

(8,881,683)

(2,434,719)

(10,150,499)

(7,828,638)

—

—

(2,469,997)

(2,663,111)

—

—

(544,365)

(674,044)

—

—

(93,712)

(133,537)

—

—

(417,734)

(377,469)

—

—

(220,499)

(76,936)

(13,285)

—

(1,287,404)

(1,381,899)

—

—

(365,790)

(418,719)

(81,268)

—

—

—

—

—

—

—

(155,448)

—

—

—

—

—

—

—

(86,908)

(154,068)

—

—

—

—

—

—

(531,658)

(714,004)

—

—

—

—

—

—

(1,016,946)

(1,148,745)

(12,400,002)

(10,262,050)

—

—

(3,149,998)

(3,292,303)

(1,885,513)

(2,016,817)

415,012,456

819,691,781

555,891,864

678,943,078

266,757,622

604,220,439

—

—

48,201,826

122,457,302

139,974,270

211,259,433

11,607,871

66,839,327

—

—

23,979,245

28,384,813

15,782,415

6,946,275

9,715,769

20,377,943

4,937,608

7,282,131

107,600,065

70,006,059

93,532,178

60,118,990

37,796,095

54,482,383

19,972,516

52,096,791

—

—

—

—

—

—

338,407,973

405,725,422

9,133,319

6,946,836

—

—

2,169,008

2,301,578

—

—

457,021

613,474

—

—

78,193

118,737

—

—

354,871

353,891

—

—

145,081

69,564

89,731

134,035

1,125,213

1,231,276

—

—

345,264

391,313

579,143

649,666

—

—

—

—

—

—

1,101,301

1,071,738

(504,104,091)

(835,174,645)

(573,819,417)

(959,081,671)

(308,127,363)

(645,462,888)

—

—

(60,172,882)

(142,963,079)

(132,669,492)

(230,490,040)

(18,768,096)

(65,312,711)

—

—

(26,601,648)

(24,729,395)

(13,135,349)

(5,732,055)

(11,615,256)

(17,695,782)

(5,770,358)

(9,517,551)

(120,326,325)

(63,649,348)

(92,744,657)

(68,580,358)

(47,225,030)

(49,610,769)

(26,383,646)

(64,225,572)

—

—

—

—

—

—

(345,280,940)

(428,596,356)

(105,340,930)

(16,831,035)

(7,188,188)

(306,616,348)

(57,120,842)

(29,280,866)

(12,346,672)

(35,379,696)

(94,023,598)

(53,351,639)

(9,316,865)

(283,514,456)

(64,992,291)

(31,794,923)

(23,113,868)

(39,831,232)

369,842,427

423,194,066

658,811,186

942,325,642

137,971,735

169,766,658

44,835,784

84,667,016

$ 275,818,829

$ 369,842,427

$ 649,494,321

$ 658,811,186

$

72,979,444

$

137,971,735

$

21,721,916

$

44,835,784

$

3,989,079

$

7,149,352

$

—

$

—

$

695,607

$

1,103,817

$

—

$

—

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

145

STATEMENTS OF CHANGES IN NET ASSETS (continued)

Inverse

Russell 2000^®

Mid-Cap Strategy Fund

1.5x Strategy Fund

Year

Year

Year

Year

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007

FROM OPERATIONS

Net Investment Income (Loss)

$

379,675

$

1,043,112

$

328,224

$

105,309

Net Realized Gain (Loss) on Investments

264,155

(3,157,518)

(6,256,309)

8,300,281

Net Change in Unrealized Appreciation (Depreciation) on Investments

1,132,496

291,077

(7,678,425)

(21,838,197)

Net Increase (Decrease) in Net Assets from Operations

1,776,326

(1,823,329)

(13,606,510)

(13,432,607)

Distributions to Shareholders from:

Net Investment Income

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

(14,414)

(25,202)

(11,847)

—

C-Class

(12,714)

(80,807)

(39,861)

—

H-Class

(392,699)

(993,991)

(53,601)

—

Realized Gain on Investments

A-Class

—

—

—

(235,394)

C-Class

—

—

—

(1,078,955)

H-Class

—

—

—

(3,210,912)

Total Distributions to Shareholders

(419,827)

(1,100,000)

(105,309)

(4,525,261)

SHARE TRANSACTIONS

Proceeds from Shares Purchased

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

1,473,841

3,499,427

5,608,927

6,455,879

C-Class

19,784,055

24,219,225

27,002,919

45,791,773

H-Class

100,782,437

222,464,525

243,835,904

859,988,784

Value of Shares Purchased through Dividend Reinvestment

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

10,623

17,836

11,014

206,074

C-Class

11,651

74,887

35,684

1,020,205

H-Class

377,291

704,812

50,275

3,005,716

Cost of Shares Redeemed

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

(1,125,508)

(3,141,890)

(5,958,829)

(7,097,848)

C-Class

(19,223,442)

(24,403,805)

(31,943,301)

(57,687,966)

H-Class

(71,243,410)

(223,484,913)

(264,626,266)

(974,388,461)

Net Increase (Decrease) in Net Assets From Share Transactions

30,847,538

(49,896)

(25,983,673)

(122,705,844)

Net Increase (Decrease) in Net Assets

32,204,037

(2,973,225)

(39,695,492)

(140,663,712)

NET ASSETS—BEGINNING OF PERIOD

16,809,410

19,782,635

68,779,005

209,442,717

NET ASSETS—END OF PERIOD

$ 49,013,447

$

16,809,410

$

29,083,513

$

68,779,005

Undistributed Net Investment Income—End of Period

$

25,629

$

65,781

$

—

$

105,309

* Since the commencement of operations: May 31, 2006.

146

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

Russell 2000^®

Inverse

Government Long Bond

Inverse Government

Fund

Russell 2000^® Strategy Fund

1.2x Strategy Fund

Long Bond Strategy Fund

Year

Year

Year

Year

Year

Year

Year

Year

Ended

Ended

Ended

Ended

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

2008

2007*

2008

2007

2008

2007

2008

2007

$

130,395

$

113,596

$

1,842,934

$

4,030,926

$

2,568,216

$

4,146,710

$

10,945,020

$

(8,586,800)

(214,609)

(397,406)

4,123,664

(17,847,780)

(1,773,685)

7,036,691

(28,527,890)

10,704,439

(361,722)

408,811

1,287,153

2,362,677

5,317,858

732,771

(24,199,216)

12,883,017

(445,936)

125,001

7,253,751

(11,454,177)

6,112,389

11,916,172

(41,782,086)

15,000,656

—

—

—

—

(1,420,257)

(2,464,752)

(8,268,999)

(12,001,401)

—

—

—

—

(415,210)

(1,027,406)

(1,048,257)

(1,514,111)

(3,218)

(1,924)

(262,498)

(729,664)

(478,407)

(306,974)

(1,181,600)

(2,486,015)

(6,072)

(27,916)

(314,182)

(576,358)

(254,342)

(347,575)

(5,301,155)

(8,761,747)

(24,871)

(55,160)

(1,673,321)

(2,593,978)

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

—

(34,161)

(85,000)

(2,250,001)

(3,900,000)

(2,568,216)

(4,146,707)

(15,800,011)

(24,763,274)

—

—

—

—

824,506,330

727,162,729

1,047,079,062

690,551,081

—

—

—

—

180,695,157

1,232,236,117

151,234,508

117,254,275

6,689,164

618,360

15,262,274

35,929,995

27,478,043

21,897,689

27,820,957

31,983,116

11,788,819

7,783,139

29,493,508

45,882,074

79,769,479

53,529,026

57,936,431

49,237,154

112,455,644

103,031,707

226,253,216

703,818,678

—

—

—

—

—

—

—

—

1,291,988

2,303,877

5,921,254

9,339,323

—

—

—

—

411,265

1,026,854

873,772

1,263,583

3,055

1,922

245,925

368,469

372,582

147,191

1,052,303

2,031,753

4,822

27,588

264,680

345,970

221,778

249,842

4,607,055

7,681,687

24,724

54,704

1,475,890

2,142,780

—

—

—

—

—

—

—

—

(837,686,520)

(725,057,789)

(1,097,133,564)

(1,150,166,270)

—

—

—

—

(166,581,027)

(1,247,458,155)

(167,400,041)

(174,285,131)

(6,005,450)

(352,383)

(19,266,022)

(24,740,311)

(20,498,724)

(12,603,106)

(58,850,467)

(87,609,470)

(11,713,559)

(7,191,752)

(32,705,884)

(38,951,613)

(89,766,321)

(45,691,672)

(130,620,082)

(374,512,946)

(121,115,706)

(89,751,360)

(237,600,325)

(698,794,125)

—

—

—

—

(7,868,487)

14,221,925

(16,576,738)

26,001,917

214,030

7,742,603

(157,478,812)

(877,231,845)

(8,348,584)

14,261,926

(11,572,988)

10,647,740

3,758,203

15,512,068

(215,060,909)

(886,994,463)

14,261,926

—

67,078,536

56,430,796

78,730,940

63,218,872

639,681,075

1,526,675,538

$

5,913,342

$

14,261,926

$

55,505,548

$

67,078,536

$

82,489,143

$

78,730,940

$

424,620,166

$

639,681,075

$

—

$

34,161

$

143,279

$

550,346

$

183,622

$

183,622

$

—

$

4,660,543

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

147

STATEMENTS OF CHANGES IN NET ASSETS (continued)

High Yield

Inverse High Yield

Europe

Strategy Fund

Strategy Fund

1.25x Strategy Fund

Year

Year

Year

Year

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

2008*

2008*

2008

2007

FROM OPERATIONS

Net Investment Income

$

597,094

$

327,727

$

1,874,122

$

2,243,859

Net Realized Gain (Loss) on Investments

(2,022,664)

(1,151,097)

(583,438)

5,781,760

Net Change in Unrealized Appreciation (Depreciation)

on Investments

(294,410)

585,378

(4,787,080)

2,810,770

Net Increase (Decrease) in Net Assets from Operations

(1,719,980)

(237,992)

(3,496,396)

10,836,389

Distributions to Shareholders from:

Net Investment Income

A-Class

(94,059)

—

(27,890)

(49,544)

C-Class

(3,119)

—

(143,919)

(58,417)

H-Class

(252,822)

—

(573,127)

(534,636)

Realized Gain on Investments

A-Class

—

—

(84,392)

—

C-Class

—

—

(435,477)

—

H-Class

—

—

(1,734,199)

—

Total Distributions to Shareholders

(350,000)

—

(2,999,004)

(642,597)

SHARE TRANSACTIONS

Proceeds from Shares Purchased

A-Class

49,111,859

18,335,302

12,571,808

16,977,404

C-Class

4,241,692

6,037,467

164,682,136

100,707,079

H-Class

298,135,020

159,139,664

425,839,427

666,454,854

Value of Shares Purchased through Dividend Reinvestment

A-Class

93,585

—

102,592

48,884

C-Class

3,048

—

555,797

54,272

H-Class

252,521

—

2,247,120

524,983

Cost of Shares Redeemed

A-Class

(37,905,292)

(16,310,916)

(22,788,995)

(8,497,935)

C-Class

(3,224,690)

(3,060,250)

(167,193,672)

(101,200,494)

H-Class

(232,816,560)

(152,736,958)

(458,269,642)

(663,091,873)

Net Increase (Decrease) in Net Assets From

Share Transactions

77,891,183

11,404,309

(42,253,429)

11,977,174

Net Increase (Decrease) in Net Assets

75,821,203

11,166,317

(48,748,829)

22,170,966

NET ASSETS—BEGINNING OF PERIOD

—

—

78,317,888

56,146,922

NET ASSETS—END OF PERIOD

$

75,821,203

$

11,166,317

$

29,569,059

$

78,317,888

Undistributed Net Investment Income (Loss)—End

of Period

$

384,040

$

—

$

(2,603,625)

$

744,936

* Since the commencement of operations: April 16, 2007-High Yield Strategy Fund and Inverse High Yield Strategy Fund; February 22, 2008 –

Japan 2x Strategy Fund.

148

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

Japan

Small-Cap

Mid-Cap

2x Strategy Fund

Value Fund

Value Fund

Year

Year

Year

Year

Year

Ended

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

March 31,

2008*

2008

2007

2008

2007

$

607

$

145,848

$

124,519

$

300,251

$

534,844

(285,728)

(3,529,923)

4,854,335

2,556,717

2,957,609

232,157

(4,152,139)

(9,121,442)

(4,572,641)

(794,129)

(52,964)

(7,536,214)

(4,142,588)

(1,715,673)

2,698,324

—

(18,247)

—

(78,237)

—

—

(7,413)

—

(41,598)

—

—

(28,903)

—

(157,115)

—

—

—

(1,816)

—

(8,741)

—

—

(8,702)

—

(31,137)

—

—

(12,894)

—

(255,676)

—

(54,563)

(23,412)

(276,950)

(295,554)

655,392

5,591,744

9,476,337

6,102,704

8,394,713

1,074,730

33,963,980

138,706,391

27,510,830

16,016,381

13,009,228

139,955,762

282,683,814

93,270,475

375,653,396

—

18,143

1,809

72,305

7,447

—

7,069

8,636

39,879

30,478

—

28,137

12,774

152,723

254,926

(56,585)

(5,725,821)

(5,962,251)

(7,404,551)

(5,345,984)

(829,607)

(20,857,249)

(153,625,423)

(34,318,144)

(15,575,130)

(7,681,753)

(93,517,092)

(372,023,131)

(162,625,394)

(332,347,303)

6,171,405

59,464,673

(100,721,044)

(77,199,173)

47,088,924

6,118,441

51,873,896

(104,887,044)

(79,191,796)

49,491,694

—

16,674,506

121,561,550

89,582,788

40,091,094

$  6,118,441

$  68,548,402

$

16,674,506

$

10,390,992

$

89,582,788

$

1,752

$

92,190

$

—

$

—

$

276,950

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

149

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

Large-Cap

Small-Cap

Value Fund

Growth Fund

Year

Year

Year

Year

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007

FROM OPERATIONS

Net Investment Income (Loss)

$

875,220

$

1,852,395

$

(181,870)

$

(358,110)

Net Realized Gain (Loss) on Investments

26,243,034

4,936,652

730,805

3,923,577

Net Change in Unrealized Appreciation (Depreciation) on Investments

(23,545,348)

20,864,675

(1,728,062)

(5,584,395)

Net Increase (Decrease) in Net Assets from Operations

3,572,906

27,653,722

(1,179,127)

(2,018,928)

Distributions to Shareholders from:

Net Investment Income

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

(259,465)

(12,550)

—

—

C-Class

(384,645)

(31,328)

—

—

H-Class

(580,308)

(1,155,997)

—

—

Realized Gain on Investments

A-Class

(765,247)

(8,851)

(101,616)

—

C-Class

(1,134,442)

(22,096)

(327,448)

—

H-Class

(1,711,515)

(815,339)

(222,904)

—

Total Distributions to Shareholders

(4,835,622)

(2,046,161)

(651,968)

—

SHARE TRANSACTIONS

Proceeds from Shares Purchased

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

8,142,461

8,985,688

8,648,656

3,943,683

C-Class

56,251,502

233,175,557

71,659,894

60,784,481

H-Class

236,489,451

791,840,619

116,986,235

186,084,728

Value of Shares Purchased through Dividend Reinvestment

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

993,745

18,074

101,611

—

C-Class

1,442,982

52,050

327,318

—

H-Class

2,241,255

1,955,582

222,054

—

Cost of Shares Redeemed

Investor Class

—

—

—

—

Advisor Class

—

—

—

—

A-Class

(8,107,705)

(4,622,392)

(7,810,332)

(3,531,904)

C-Class

(76,358,825)

(218,355,220)

(76,836,624)

(58,782,523)

H-Class

(405,771,580)

(689,213,777)

(128,439,749)

(239,734,766)

Net Increase (Decrease) in Net Assets From Share Transactions

(184,676,714)

123,836,181

(15,140,937)

(51,236,301)

Net Increase (Decrease) in Net Assets

(185,939,430)

149,443,742

(16,972,032)

(53,255,229)

NET ASSETS—BEGINNING OF PERIOD

210,504,952

61,061,210

27,149,153

80,404,382

NET ASSETS—END OF PERIOD

$

24,565,522

$ 210,504,952

$

10,177,121

$

27,149,153

Undistributed Net Investment Income (Loss)—End of Period

$

303,322

$

652,520

$

—

$

—

150

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

See Notes to Financial Statements.

Mid-Cap

Large-Cap

U.S. Government

Growth Fund

Growth Fund

Money Market Fund

Year

Year

Year

Year

Year

Year

Ended

Ended

Ended

Ended

Ended

Ended

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007

2008

2007

$

(300,551)

$

(219,777)

$

(424,286)

$

(261,842)

$

43,732,402

$

53,412,553

(4,673,720)

6,127,485

(4,624,388)

1,101,463

1,840

—

(149,780)

(6,499,282)

(1,638,431)

2,011,772

—

—

(5,124,051)

(591,574)

(6,687,105)

2,851,393

43,734,242

53,412,553

—

—

—

—

(34,843,919)

(41,841,340)

—

—

—

—

(5,056,359)

(6,802,933)

—

—

—

—

(686,982)

(601,268)

—

—

—

—

(3,145,141)

(4,167,012)

—

—

—

—

—

—

(215,956)

(101,237)

(61,132)

—

—

—

(147,969)

(94,880)

(210,937)

—

—

—

(703,587)

(1,704,558)

(560,509)

—

—

—

(1,067,512)

(1,900,675)

(832,578)

—

(43,732,401)

(53,412,553)

—

—

—

—

16,744,764,573

17,412,386,338

—

—

—

—

3,541,832,288

3,589,122,862

7,741,318

8,027,918

7,583,898

5,281,268

86,075,767

74,982,888

46,185,102

18,960,792

121,153,557

161,095,146

1,349,987,737

1,456,374,458

230,118,496

160,770,254

199,536,612

283,534,133

—

—

—

—

—

—

34,409,275

41,147,937

—

—

—

—

5,026,273

6,747,367

214,830

101,016

60,489

—

611,010

557,808

146,362

91,735

207,581

—

3,040,004

3,708,601

698,887

1,701,213

545,152

—

—

—

—

—

—

—

(16,782,939,167)

(17,446,274,947)

—

—

—

—

(3,591,814,816)

(3,543,630,372)

(6,349,744)

(6,757,683)

(4,409,453)

(3,597,093)

(84,291,559)

(71,085,774)

(48,784,216)

(16,980,901)

(118,548,255)

(162,633,144)

(1,352,007,025)

(1,470,712,896)

(220,140,598)

(201,337,401)

(232,280,349)

(269,447,500)

—

—

9,830,437

(35,423,057)

(26,150,768)

14,232,810

(45,305,640)

53,324,270

3,638,874

(37,915,306)

(33,670,451)

17,084,203

(45,303,799)

53,324,270

15,807,913

53,723,219

55,504,657

38,420,454

1,325,610,218

1,272,285,948

$

19,446,787

$

15,807,913

$

21,834,206

$

55,504,657

$

1,280,306,419

$

1,325,610,218

$

—

$

—

$

—

$

—

$

(20,989)

$

(20,990)

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

151

FINANCIAL HIGHLIGHTS

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Combined

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Net

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Net

Income

Investment

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses■

Expenses■

(Loss)

Income (Loss)▲

Rate

omitted)

Nova Fund Investor Class

March 31, 2008

$30.92

$ .40

$ (4.51)

$ (4.11)

$ (.68)

$ —

$ (.68)

$ (4.79)

$26.13

(13.71)%

1.27%

1.27%

1.26%

—

115%

$

74,674

March 31, 2007

28.89

(.15)

4.19

4.04

(2.01)

—

(2.01)

2.03

30.92

13.99%

1.25%

1.25%

1.23%

—

144%

113,195

March 31, 2006

25.96

(.12)

3.90

3.78

(.85)

—

(.85)

2.93

28.89

14.68%

1.35%

1.23%

(0.45)%

0.95%

192%

139,786

March 31, 2005

24.12

(.11)

1.95

1.84

—

—

—

1.84

25.96

7.63%

1.21%

1.21%

(0.44)%

0.82%

388%

175,042

March 31, 2004

15.54

.07

8.51

8.58

—

—

—

8.58

24.12

55.25%

1.25%

1.25%

0.35%

1.16%

540%

187,051

Nova Fund Advisor Class

March 31, 2008

29.44

.23

(4.27)

(4.04)

(.68)

—

(.68)

(4.72)

24.72

(14.16)%

1.77%

1.77%

0.78%

—

115%

19,218

March 31, 2007

27.73

(.28)

4.00

3.72

(2.01)

—

(2.01)

1.71

29.44

13.41%

1.75%

1.75%

0.73%

—

144%

36,441

March 31, 2006

25.08

(.25)

3.75

3.50

(.85)

—

(.85)

2.65

27.73

14.07%

1.85%

1.74%

(0.96)%

0.44%

192%

41,002

March 31, 2005

23.42

(.23)

1.89

1.66

—

—

—

1.66

25.08

7.09%

1.71%

1.71%

(0.94)%

0.32%

388%

52,642

March 31, 2004

15.17

(.05)

8.30

8.25

—

—

—

8.25

23.42

54.42%

1.74%

1.74%

(0.24)%

0.57%

540%

46,405

Nova Fund A-Class

March 31, 2008

29.67

.29

(4.29)

(4.00)

(.68)

—

(.68)

(4.68)

24.99

(13.92)%

1.52%

1.52%

0.97%

—

115%

11,791

March 31, 2007

27.87

(.21)

4.02

3.81

(2.01)

—

(2.01)

1.80

29.67

13.67%

1.50%

1.50%

0.98%

—

144%

15,586

March 31, 2006

25.15

(.19)

3.76

3.57

(.85)

—

(.85)

2.72

27.87

14.32%

1.60%

1.49%

(0.71)%

0.69%

192%

29,315

March 31, 2005

23.42

(.17)

1.90

1.73

—

—

—

1.73

25.15

7.39%

1.45%

1.45%

(0.68)%

0.58%

388%

18,463

March 31, 2004 *

23.42

—

—

—

—

—

—

—

23.42

0.00%

0.00%**à

0.00%**à

0.00%**

0.81%**

540%

1

Nova Fund C-Class

March 31, 2008

28.91

.07

(4.16)

(4.09)

(.68)

—

(.68)

(4.77)

24.14

(14.60)%

2.27%

2.27%

0.24%

—

115%

29,715

March 31, 2007

27.39

(.42)

3.95

3.53

(2.01)

—

(2.01)

1.52

28.91

12.88%

2.25%

2.25%

0.23%

—

144%

42,925

March 31, 2006

24.89

(.38)

3.73

3.35

(.85)

—

(.85)

2.50

27.39

13.58%

2.35%

2.24%

(1.46)%

(0.06)%

192%

50,131

March 31, 2005

23.36

(.35)

1.88

1.53

—

—

—

1.53

24.89

6.55%

2.21%

2.21%

(1.44)%

(0.18)%

388%

49,464

March 31, 2004

15.20

(.12)

8.28

8.16

—

—

—

8.16

23.36

53.72%

2.26%

2.26%

(0.56)%

0.25%

540%

32,710

S&P 500 Fund A-Class

March 31, 2008

27.32

.52

(1.78)

(1.26)

(.14)

—

(.14)

(1.40)

25.92

(4.68)%

1.51%

1.51%

1.86%

—

396%

2,358

March 31, 2007 *

25.00

.30

2.53

2.83

(.11)

(.40)

(.51)

2.32

27.32

11.34%

1.55%**

1.55%**

1.35%**

—

119%

2,063

S&P 500 Fund C-Class

March 31, 2008

27.15

.18

(1.64)

(1.46)

(.14)

—

(.14)

(1.60)

25.55

(5.45)%

2.25%

2.25%

0.67%

—

396%

7,836

March 31, 2007 *

25.00

.19

2.47

2.66

(.11)

(.40)

(.51)

2.15

27.15

10.65%

2.25%**

2.25%**

0.84%**

—

119%

1,971

S&P 500 Fund H-Class

March 31, 2008

27.31

.39

(1.66)

(1.27)

(.14)

—

(.14)

(1.41)

25.90

(4.72)%

1.48%

1.48%

1.40%

—

396%

78,963

March 31, 2007 *

25.00

.30

2.52

2.82

(.11)

(.40)

(.51)

2.31

27.31

11.29%

1.54%**

1.54%**

1.33%**

—

119%

6,374

Inverse S&P 500 Strategy Fund Investor Class

March 31, 2008

37.85

.93

2.74

3.67

(1.52)

—

(1.52)

2.15

40.00

10.24%

1.41%

1.41%

3.08%

—

—

223,044

March 31, 2007 †††

40.30

(.20)

(1.15)

(1.35)

(1.10)

—

(1.10)

(2.45)

37.85

(3.26)%

1.36%

1.36%

3.85%

—

—

293,092

March 31, 2006 †††

43.45

(.20)

(2.35)

(2.55)

(.60)

—

(.60)

(3.15)

40.30

(5.84)%

1.41%

1.38%

(0.45)%

2.29%

—

329,785

March 31, 2005 †††

45.85

(.20)

(2.20)

(2.40)

—

—

—

(2.40)

43.45

(5.23)%

1.38%

1.38%

(0.46)%

0.25%

—

326,085

March 31, 2004 †††

65.30

(.20)

(17.25)

(17.45)

—

(2.00)

(2.00)

(19.45)

45.85

(26.90)%

1.38%

1.38%

(0.37)%

(0.28)%

—

353,496

Inverse S&P 500 Strategy Fund Advisor Class

March 31, 2008

36.00

.73

2.51

3.24

(1.52)

—

(1.52)

1.72

37.72

9.56%

1.92%

1.92%

2.64%

—

—

11,131

March 31, 2007 †††

38.55

(.35)

(1.10)

(1.45)

(1.10)

—

(1.10)

(2.55)

36.00

(3.67)%

1.87%

1.87%

3.34%

—

—

22,712

March 31, 2006 †††

41.80

(.40)

(2.25)

(2.65)

(.60)

—

(.60)

(3.25)

38.55

(6.32)%

1.91%

1.88%

(0.95)%

1.79%

—

45,332

March 31, 2005 †††

44.35

(.40)

(2.15)

(2.55)

—

—

—

(2.55)

41.80

(5.75)%

1.88%

1.88%

(0.96)%

(0.25)%

—

40,964

March 31, 2004 †††

63.50

(.45)

(16.70)

(17.15)

—

(2.00)

(2.00)

(19.15)

44.35

(27.19)%

1.87%

1.87%

(0.86)%

(0.77)%

—

45,073

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Combined

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Net

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Net

Income

Investment

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses■

Expenses■

(Loss)

Income (Loss)▲

Rate

omitted)

Inverse S&P 500 Strategy Fund A-Class

March 31, 2008

$36.10

$ .81

$ 2.58

$ 3.39

$ (1.52)

$ —

$ (1.52)

$ 1.87

$37.97

9.95%

1.66%

1.66%

2.83%

—

$

9,344

March 31, 2007 †††

38.60

(.25)

(1.15)

(1.40)

(1.10)

—

(1.10)

(2.50)

36.10

(3.53)%

1.61%

1.61%

3.60%

—

—

11,388

March 31, 2006 †††

41.85

(.30)

(2.35)

(2.65)

(.60)

—

(.60)

(3.25)

38.60

(6.31)%

1.66%

1.63%

(0.70)%

2.04%

—

8,932

March 31, 2005 †††

44.35

(.30)

(2.20)

(2.50)

—

—

—

(2.50)

41.85

(5.64)%

1.63%

1.63%

(0.71)%

0.00%

—

7,318

March 31, 2004* †††

44.35

—

—

—

—

—

—

—

44.35

0.00%

0.00%**à

0.00%**à

0.00%**

0.09%**

—

1

Inverse S&P 500 Strategy Fund C-Class

March 31, 2008

35.50

.58

2.44

3.02

(1.52)

—

(1.52)

1.50

37.00

9.07%

2.41%

2.41%

2.14%

—

32,299

March 31, 2007 †††

38.25

(.55)

(1.10)

(1.65)

(1.10)

—

(1.10)

(2.75)

35.50

(4.22)%

2.36%

2.36%

2.85%

—

—

42,651

March 31, 2006 †††

41.65

(.60)

(2.20)

(2.80)

(.60)

—

(.60)

(3.40)

38.25

(6.70)%

2.41%

2.38%

(1.45)%

1.29%

—

39,146

March 31, 2005 †††

44.45

(.65)

(2.15)

(2.80)

—

—

—

(2.80)

41.65

(6.30)%

2.38%

2.38%

(1.46)%

(0.75)%

—

43,763

March 31, 2004 †††

64.00

(.70)

(16.85)

(17.55)

—

(2.00)

(2.00)

(19.55)

44.45

(27.62)%

2.39%

2.39%

(1.42)%

(1.33)%

—

45,604

OTC Fund Investor Class

March 31, 2008

11.78

(.06)

.09

.03

—

—

—

.03

11.81

0.25%

1.28%

1.28%

(0.50)%

—

57%

617,923

March 31, 2007

11.34

(.06)

.50

.44

—

—

—

.44

11.78

3.88%

1.22%

1.22%

(0.52)%

—

71%

635,744

March 31, 2006

9.94

(.05)

1.49

1.44

(.04)

—

(.04)

1.40

11.34

14.45%

1.20%

1.20%

(0.49)%

—

122%

893,295

March 31, 2005

9.73

.04

.17

.21

—

—

—

.21

9.94

2.16%

1.20%

1.20%

0.40%

—

132%

801,185

March 31, 2004

7.02

(.09)

2.80

2.71

—

—

—

2.71

9.73

38.60%

1.22%

1.22%

(0.98)%

—

139%

858,816

OTC Fund Advisor Class

March 31, 2008

11.26

(.12)

.09

(.03)

—

—

—

(.03)

11.23

(0.27)%

1.78%

1.78%

(0.99)%

—

57%

15,184

March 31, 2007

10.90

(.11)

.47

.36

—

—

—

.36

11.26

3.30%

1.73%

1.73%

(1.07)%

—

71%

9,349

March 31, 2006

9.60

(.10)

1.44

1.34

(.04)

—

(.04)

1.30

10.90

13.92%

1.70%

1.70%

(1.00)%

—

122%

27,832

March 31, 2005

9.46

(.02)

.16

.14

—

—

—

.14

9.60

1.48%

1.69%

1.69%

(0.25)%

—

132%

19,887

March 31, 2004

6.85

(.13)

2.74

2.61

—

—

—

2.61

9.46

38.10%

1.71%

1.71%

(1.47)%

—

139%

57,535

OTC Fund A-Class

March 31, 2008

11.36

(.09)

.08

(.01)

—

—

—

(.01)

11.35

(0.09)%

1.54%

1.54%

(0.76)%

—

57%

6,044

March 31, 2007

10.96

(.08)

.48

.40

—

—

—

.40

11.36

3.65%

1.46%

1.46%

(0.73)%

—

71%

3,686

March 31, 2006

9.63

(.08)

1.45

1.37

(.04)

—

(.04)

1.33

10.96

14.18%

1.46%

1.46%

(0.78)%

—

122%

2,491

March 31, 2005

9.46

.06

.11

.17

—

—

—

.17

9.63

1.80%

1.45%

1.45%

0.59%

—

132%

1,818

March 31, 2004 *

9.46

—

—

—

—

—

—

—

9.46

0.00%

0.00%**à

0.00%**à

0.00%**

—

139%

1

OTC Fund C-Class

March 31, 2008

11.02

(.18)

.11

(.07)

—

—

—

(.07)

10.95

(0.64)%

2.28%

2.28%

(1.50)%

—

57%

10,343

March 31, 2007

10.73

(.16)

.45

.29

—

—

—

.29

11.02

2.70%

2.22%

2.22%

(1.55)%

—

71%

10,032

March 31, 2006

9.50

(.16)

1.43

1.27

(.04)

—

(.04)

1.23

10.73

13.33%

2.21%

2.21%

(1.52)%

—

122%

18,707

March 31, 2005

9.41

(.03)

.12

.09

—

—

—

.09

9.50

0.96%

2.19%

2.19%

(0.33)%

—

132%

14,422

March 31, 2004

6.86

(.18)

2.73

2.55

-

—

—

2.55

9.41

37.17%

2.23%

2.23%

(1.97)%

—

139%

13,653

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Combined

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Net

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Net

Income

Investment

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses■

Expenses■

(Loss)

Income (Loss)▲

Rate

omitted)

Inverse OTC Strategy Fund Investor Class

March 31, 2008

$21.67

$ .59

$   (.30)

$    .29

$ (.69)

$ —

$ (.69)

$   (.40)

$21.27

1.92%

1.47%

1.47%

2.98%

—

—

$

59,819

March 31, 2007

21.80

(.11)

.54

.43

(.56)

—

(.56)

(.13)

21.67

2.01%

1.40%

1.40%

3.79%

—

—

104,617

March 31, 2006

24.55

(.11)

(2.31)

(2.42)

(.33)

—

(.33)

(2.75)

21.80

(9.85)%

1.39%

1.38%

(0.45)%

2.22%

—

143,742

March 31, 2005

25.69

(.11)

(1.03)

(1.14)

—

—

—

(1.14)

24.55

(4.44)%

1.38%

1.38%

(0.46)%

0.20%

—

198,288

March 31, 2004

37.79

(.13)

(11.97)

(12.10)

—

—

—

(12.10)

25.69

(32.02)%

1.40%

1.40%

(0.47)%

(0.37)%

—

209,994

Inverse OTC Strategy Fund Advisor Class

March 31, 2008

21.28

.51

(.33)

.18

(.69)

—

(.69)

(.51)

20.77

1.43%

1.98%

1.98%

2.56%

—

—

3,744

March 31, 2007

21.51

(.22)

.55

.33

(.56)

—

(.56)

(.23)

21.28

1.56%

1.90%

1.90%

3.29%

—

—

11,436

March 31, 2006

24.34

(.22)

(2.28)

(2.50)

(.33)

—

(.33)

(2.83)

21.51

(10.27)%

1.89%

1.89%

(0.96)%

1.71%

—

10,390

March 31, 2005

25.60

(.24)

(1.02)

(1.26)

—

—

—

(1.26)

24.34

(4.92)%

1.88%

1.88%

(0.96)%

(0.30)%

—

17,059

March 31, 2004 *

29.97

(.16)

(4.21)

(4.37)

—

—

—

(4.37)

25.60

(14.58)%

1.90%**

1.90%**

(0.97)%**

(0.87)%**

—

17,975

Inverse OTC Strategy Fund A-Class

March 31, 2008

21.43

.52

(.29)

.23

(.69)

—

(.69)

(.46)

20.97

1.65%

1.72%

1.72%

2.61%

—

—

1,784

March 31, 2007

21.61

(.16)

.54

.38

(.56)

—

(.56)

(.18)

21.43

1.79%

1.64%

1.64%

3.55%

—

—

4,086

March 31, 2006

24.39

(.16)

(2.29)

(2.45)

(.33)

—

(.33)

(2.78)

21.61

(10.04)%

1.63%

1.63%

(0.70)%

1.97%

—

2,108

March 31, 2005

25.60

(.17)

(1.04)

(1.21)

—

—

—

(1.21)

24.39

(4.73)%

1.62%

1.62%

(0.70)%

(0.04)%

—

5,697

March 31, 2004 *

25.60

—

—

—

—

—

—

—

25.60

0.00%

0.00%**à

0.00%**à

0.00%**

0.10%**

—

1

Inverse OTC Strategy Fund C-Class

March 31, 2008

20.27

.38

(.33)

.05

(.69)

—

(.69)

(.64)

19.63

0.85%

2.48%

2.48%

2.05%

—

—

7,633

March 31, 2007

20.63

(.32)

.52

.20

(.56)

—

(.56)

(.36)

20.27

1.00%

2.40%

2.40%

2.79%

—

—

17,834

March 31, 2006

23.48

(.32)

(2.20)

(2.52)

(.33)

—

(.33)

(2.85)

20.63

(10.73)%

2.40%

2.39%

(1.46)%

1.21%

—

13,527

March 31, 2005

24.83

(.35)

(1.00)

(1.35)

—

—

—

(1.35)

23.48

(5.44)%

2.38%

2.38%

(1.46)%

(0.80)%

—

15,693

March 31, 2004

36.92

(.38)

(11.71)

(12.09)

—

—

—

(12.09)

24.83

(32.75)%

2.41%

2.41%

(1.48)%

(1.38)%

—

34,375

Mid-Cap 1.5x Strategy Fund A-Class

March 31, 2008

41.56

.23

(7.46)

(7.23)

(.26)

(1.68)

(1.94)

(9.17)

32.39

(18.29)%

1.67%

1.67%

0.57%

—

226%

1,571

March 31, 2007

40.14

.05

2.74

2.79

—

(1.37)

(1.37)

1.42

41.56

7.11%

1.67%

1.67%

0.13%

—

296%

2,806

March 31, 2006

31.86

.01

8.65

8.66

—

(.38)

(.38)

8.28

40.14

27.27%

1.92%

1.66%

0.03%

—

528%

4,948

March 31, 2005

28.30

(.03)

3.59

3.56

—

—

—

3.56

31.86

12.58%

1.63%

1.63%

(0.10)%

—

669%

1,050

March 31, 2004 *

28.30

—

—

—

—

—

—

—

28.30

0.00%

0.00%**à

0.00%**à

0.00%**

—

1,239%

4

Mid-Cap 1.5x Strategy Fund C-Class

March 31, 2008

39.82

(.08)

(7.07)

(7.15)

(.26)

(1.68)

(1.94)

(9.09)

30.73

(18.90)%

2.42%

2.42%

(0.20)%

—

226%

8,388

March 31, 2007

38.81

(.23)

2.61

2.38

—

(1.37)

(1.37)

1.01

39.82

6.29%

2.41%

2.41%

(0.62)%

—

296%

17,112

March 31, 2006

31.03

(.25)

8.41

8.16

—

(.38)

(.38)

7.78

38.81

26.38%

2.66%

2.40%

(0.72)%

—

528%

28,836

March 31, 2005

27.76

(.26)

3.53

3.27

—

—

—

3.27

31.03

11.78%

2.37%

2.37%

(0.91)%

—

669%

17,912

March 31, 2004

15.85

(.31)

12.22

11.91

—

—

—

11.91

27.76

75.14%

2.41%

2.41%

(1.31)%

—

1,239%

14,444

Mid-Cap 1.5x Strategy Fund H-Class

March 31, 2008

41.58

.25

(7.49)

(7.24)

(.26)

(1.68)

(1.94)

(9.18)

32.40

(18.31)%

1.67%

1.67%

0.61%

—

226%

11,763

March 31, 2007

40.17

.06

2.72

2.78

—

(1.37)

(1.37)

1.41

41.58

7.08%

1.67%

1.67%

0.16%

—

296%

24,918

March 31, 2006

31.86

—§§

8.69

8.69

—

(.38)

(.38)

8.31

40.17

27.36%

1.90%

1.64%

0.01%

—

528%

50,883

March 31, 2005

28.30

(.06)

3.62

3.56

—

—

—

3.56

31.86

12.58%

1.62%

1.62%

(0.21)%

—

669%

59,274

March 31, 2004

16.04

(.14)

12.40

12.26

—

—

—

12.26

28.30

76.43%

1.66%

1.66%

(0.56)%

—

1,239%

68,193

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund's performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Net

Income

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses

Expenses

(Loss)

Rate

omitted)

Inverse Mid-Cap Strategy Fund A-Class

March 31, 2008

$33.78

$ .81

$ 3.11

$ 3.92

$ (.63)

$ —

$ (.63)

$ 3.29

$37.07

11.83%

1.66%

1.66%

2.35%

—

$

906

March 31, 2007

37.03

1.35

(1.81)

(.46)

(2.79)

—

(2.79)

(3.25)

33.78

(1.35)%

1.65%

1.65%

3.52%

—

477

March 31, 2006

44.01

.87

(7.20)

(6.33)

(.65)

—

(.65)

(6.98)

37.03

(14.44)%

1.66%

1.66%

2.12%

—

161

March 31, 2005

49.01

(.06)

(4.94)

(5.00)

—

—

—

(5.00)

44.01

(10.20)%

1.63%

1.63%

(0.13)%

—

61

March 31, 2004 *

49.01

—

—

—

—

—

—

—

49.01

0.00%

0.00%**à

0.00%**à

0.00%**

—

1

Inverse Mid-Cap Strategy Fund C-Class

March 31, 2008

32.89

.60

2.96

3.56

(.63)

—

(.63)

2.93

35.82

11.05%

2.41%

2.41%

1.83%

—

1,478

March 31, 2007

36.43

1.05

(1.80)

(.75)

(2.79)

—

(2.79)

(3.54)

32.89

(2.19)%

2.40%

2.40%

2.81%

—

801

March 31, 2006

43.62

.15

(6.69)

(6.54)

(.65)

—

(.65)

(7.19)

36.43

(15.05)%

2.41%

2.41%

1.54%

—

1,147

March 31, 2005

48.98

(.27)

(5.09)

(5.36)

—

—

—

(5.36)

43.62

(10.94)%

2.36%

2.36%

(0.58)%

—

1,011

March 31, 2004 *

50.00

(.08)

(.94)

(1.02)

—

—

—

(1.02)

48.98

(2.04)%

2.23%**

2.23%**

(1.45)%**

—

137

Inverse Mid-Cap Strategy Fund H-Class

March 31, 2008

33.78

.78

3.14

3.92

(.63)

—

(.63)

3.29

37.07

11.83%

1.65%

1.65%

2.26%

—

46,630

March 31, 2007

37.04

1.35

(1.82)

(.47)

(2.79)

—

(2.79)

(3.26)

33.78

(1.38)%

1.66%

1.66%

3.51%

—

15,531

March 31, 2006

44.01

.83

(7.15)

(6.32)

(.65)

—

(.65)

(6.97)

37.04

(14.42)%

1.64%

1.64%

2.01%

—

18,475

March 31, 2005

49.01

.18

(5.18)

(5.00)

—

—

—

(5.00)

44.01

(10.20)%

1.60%

1.60%

0.39%

—

30,073

March 31, 2004 *

50.00

(.05)

(.94)

(.99)

—

—

—

(.99)

49.01

(1.98)%

1.54%**

1.54%**

(0.74)%**

—

2,678

Russell 2000^® 1.5x Strategy Fund A-Class

March 31, 2008

37.24

.29

(8.83)

(8.54)

(.08)

—

(.08)

(8.62)

28.62

(22.98)%

1.67%

1.67%

0.81%

227%

4,372

March 31, 2007

37.33

.10

1.24

1.34

—

(1.43)

(1.43)

(.09)

37.24

3.60%

1.66%

1.66%

0.28%

179%

5,976

March 31, 2006

27.54

.04

9.75

9.79

—

—

—

9.79

37.33

35.55%

2.06%

1.65%

0.13%

441%

6,789

March 31, 2005

26.22

(.03)

1.51

1.48

—

(.16)

(.16)

1.32

27.54

5.63%

1.61%

1.61%

(0.10)%

501%

3,340

March 31, 2004 *

26.22

—

—

—

—

—

—

—

26.22

0.00%

0.00%**à

0.00%**à

0.00%**

965%

4

Russell 2000^® 1.5x Strategy Fund C-Class

March 31, 2008

35.51

.03

(8.36)

(8.33)

(.08)

—

(.08)

(8.41)

27.10

(23.50)%

2.42%

2.42%

0.09%

227%

10,873

March 31, 2007

35.93

(.16)

1.17

1.01

—

(1.43)

(1.43)

(.42)

35.51

2.81%

2.41%

2.41%

(0.47)%

179%

19,942

March 31, 2006

26.69

(.21)

9.45

9.24

—

—

—

9.24

35.93

34.62%

2.81%

2.40%

(0.70)%

441%

31,956

March 31, 2005

25.63

(.26)

1.48

1.22

—

(.16)

(.16)

1.06

26.69

4.75%

2.37%

2.37%

(1.00)%

501%

18,915

March 31, 2004

12.75

(.28)

13.16

12.88

—

—

—

12.88

25.63

101.02%

2.41%

2.41%

(1.34)%

965%

48,851

Russell 2000^® 1.5x Strategy Fund H-Class

March 31, 2008

37.22

.30

(8.82)

(8.52)

(.08)

—

(.08)

(8.60)

28.62

(22.93)%

1.67%

1.67%

0.83%

227%

13,839

March 31, 2007

37.32

.10

1.23

1.33

—

(1.43)

(1.43)

(.10)

37.22

3.57%

1.66%

1.66%

0.27%

179%

42,861

March 31, 2006

27.51

.03

9.78

9.81

—

—

—

9.81

37.32

35.66%

2.05%

1.64%

0.10%

441%

170,698

March 31, 2005

26.22

(.07)

1.52

1.45

—

(.16)

(.16)

1.29

27.51

5.52%

1.62%

1.62%

(0.26)%

501%

68,084

March 31, 2004

12.94

(.14)

13.42

13.28

—

—

—

13.28

26.22

102.63%

1.66%

1.66%

(0.62)%

965%

174,320

Russell 2000^® Fund A-Class

March 31, 2008

27.64

.34

(4.21)

(3.87)

(.20)

—

(.20)

(4.07)

23.57

(14.08)%

1.51%

1.51%

1.26%

535%

909

March 31, 2007 *

25.00

.35

2.43

2.78

(.14)

—

(.14)

2.64

27.64

11.13%

1.51%**

1.51%**

1.54%**

335%

275

Russell 2000^® Fund C-Class

March 31, 2008

27.48

.23

(4.23)

(4.00)

(.20)

—

(.20)

(4.20)

23.28

(14.63)%

2.27%

2.27%

0.85%

535%

678

March 31, 2007 *

25.00

.17

2.45

2.62

(.14)

—

(.14)

2.48

27.48

10.49%

2.28%**

2.28%**

0.76%**

335%

739

Russell 2000^® Fund H-Class

March 31, 2008

27.64

.51

(4.38)

(3.87)

(.20)

—

(.20)

(4.07)

23.57

(14.08)%

1.52%

1.52%

1.86%

535%

4,327

March 31, 2007 *

25.00

.34

2.44

2.78

(.14)

(.14)

2.64

27.64

11.13%

1.52%**

1.52%**

1.55%**

335%

13,248

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Combined

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Net

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Net

Operating

Income

Investment

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses■

Expenses■ Expenses§

(Loss)

Income (Loss)▲

Rate

omitted)

Inverse Russell 2000^® Strategy Fund A-Class

March 31, 2008

$ 35.00

$ 1.06

$ 4.40

$ 5.46

$ (1.41)

$ —

$ (1.41)

$ 4.05

$39.05

16.11%

1.89%

1.89%

1.89%

2.96%

—

—

$

6,816

March 31, 2007

36.96

1.38

(1.65)

(.27)

(1.69)

—

(1.69)

(1.96)

35.00

(0.67)%

1.65%

1.65%

1.65%

3.64%

—

—

9,905

March 31, 2006

46.09

.85

(9.26)

(8.41)

(.72)

—

(.72)

(9.13)

36.96

(18.40)%

1.63%

1.63%

1.63%

1.97%

—

—

1,067

March 31, 2005

48.80

(.02)

(2.69)

(2.71)

—

—

—

(2.71)

46.09

(5.55)%

1.63%

1.63%

1.63%

(0.03)%

—

—

404

March 31, 2004 *

48.80

—

—

—

—

—

—

—

48.80

0.00%

0.00%**à

0.00%**à

0.00%**à

0.00%**

—

—

1

Inverse Russell 2000^® Strategy Fund C-Class

March 31, 2008

34.18

.76

4.27

5.03

(1.41)

—

(1.41)

3.62

37.80

15.22%

2.67%

2.67%

2.67%

2.17%

—

—

6,136

March 31, 2007

36.40

1.07

(1.60)

(.53)

(1.69)

—

(1.69)

(2.22)

34.18

(1.40)%

2.40%

2.40%

2.40%

2.87%

—

—

8,455

March 31, 2006

45.71

.56

(9.15)

(8.59)

(.72)

—

(.72)

(9.31)

36.40

(18.95)%

2.40%

2.40%

2.40%

1.33%

—

—

3,164

March 31, 2005

48.77

(.49)

(2.57)

(3.06)

—

—

—

(3.06)

45.71

(6.27)%

2.39%

2.39%

2.39%

(0.97)%

—

—

3,951

March 31, 2004 *

50.00

(.08)

(1.15)

(1.23)

—

—

—

(1.23)

48.77

(2.46)%

2.24%**

2.24%**

2.24%**

(1.42)%**

—

—

492

Inverse Russell 2000^® Strategy Fund H-Class

March 31, 2008

35.02

1.05

4.41

5.46

(1.41)

—

(1.41)

4.05

39.07

16.10%

1.89%

1.89%

1.89%

2.93%

—

—

42,554

March 31, 2007

36.98

1.36

(1.63)

(.27)

(1.69)

—

(1.69)

(1.96)

35.02

(0.67)%

1.65%

1.65%

1.65%

3.56%

—

—

48,718

March 31, 2006

46.09

.91

(9.30)

(8.39)

(.72)

—

(.72)

(9.11)

36.98

(18.36)%

1.65%

1.65%

1.65%

2.14%

—

—

52,201

March 31, 2005

48.80

.04

(2.75)

(2.71)

—

—

—

(2.71)

46.09

(5.55)%

1.63%

1.63%

1.63%

0.09%

—

—

46,832

March 31, 2004 *

50.00

(.04)

(1.16)

(1.20)

—

—

—

(1.20)

48.80

(2.40)%

1.54%**

1.54%**

1.54%**

(0.72)%**

—

—

5,054

Government Long Bond 1.2x Strategy Fund Investor Class

March 31, 2008

10.59

.40

1.19

1.59

(.40)

—

(.40)

1.19

11.78

15.43%

0.97%

0.97%

0.97%

3.75%

—

1,142%

30,695

March 31, 2007

10.50

.41

.09

.50

(.41)

—

(.41)

.09

10.59

4.87%

0.96%

0.96%

0.96%

3.92%

—

1,357%

40,816

March 31, 2006

11.04

.42

(.54)

(.12)

(.42)

—

(.42)

(.54)

10.50

(1.37)%

0.94%

0.94%

0.94%

3.69%

—

1,451%

33,223

March 31, 2005

11.03

.42

—

.42

(.41)

—

(.41)

.01

11.04

4.04%

0.93%

0.93%

0.93%

3.95%

—

737%

25,992

March 31, 2004

10.95

.41

.08

.49

(.41)

—

(.41)

.08

11.03

4.65%

0.95%

0.95%

0.95%

3.84%

—

1,143%

25,188

Government Long Bond 1.2x Strategy Fund Advisor Class

March 31, 2008

10.54

.34

1.19

1.53

(.35)

—

(.35)

1.18

11.72

14.82%

1.47%

1.47%

1.47%

3.13%

—

1,142%

25,181

March 31, 2007

10.50

.37

.03

.40

(.36)

—

(.36)

.04

10.54

3.86%

1.46%

1.46%

1.46%

3.44%

—

1,357%

10,815

March 31, 2006

11.07

.37

(.57)

(.20)

(.37)

—

(.37)

(.57)

10.50

(2.10)%

1.42%

1.42%

1.42%

3.16%

—

1,451%

21,200

March 31, 2005

11.04

.36

.04

.40

(.37)

—

(.37)

.03

11.07

3.75%

1.41%

1.41%

1.41%

3.32%

—

737%

53,283

March 31, 2004 *

10.00

.23

1.04

1.27

(.23)

—

(.23)

1.04

11.04

12.84%

1.45%**

1.45%**

1.45%**

3.21%**

—

1,143%

46,690

Government Long Bond 1.2x Strategy Fund A-Class

March 31, 2008

10.60

.38

1.19

1.57

(.38)

—

(.38)

1.19

11.79

15.13%

1.22%

1.22%

1.22%

3.44%

—

1,142%

20,374

March 31, 2007

10.50

.38

.10

.48

(.38)

—

(.38)

.10

10.60

4.71%

1.22%

1.22%

1.22%

3.64%

—

1,357%

11,460

March 31, 2006

11.07

.40

(.58)

(.18)

(.39)

—

(.39)

(.57)

10.50

(1.88)%

1.17%

1.17%

1.17%

3.45%

—

1,451%

1,503

March 31, 2005

11.05

.39

.02

.41

(.39)

—

(.39)

.02

11.07

3.86%

1.15%

1.15%

1.15%

3.63%

—

737%

1,703

March 31, 2004 *

11.05

—

—

—

—

—

—

—

11.05

0.00%

0.00%**à

0.00%**à

0.00%**à

0.00%**

—

1,143%

1

Government Long Bond 1.2x Strategy Fund C-Class

March 31, 2008

10.59

.30

1.18

1.48

(.30)

—

(.30)

1.18

11.77

14.20%

1.98%

1.98%

1.98%

2.80%

—

1,142%

6,239

March 31, 2007

10.50

.31

.08

.39

(.30)

—

(.30)

.09

10.59

3.84%

1.96%

1.96%

1.96%

2.93%

—

1,357%

15,640

March 31, 2006

11.07

.31

(.57)

(.26)

(.31)

—

(.31)

(.57)

10.50

(2.61)%

1.93%

1.93%

1.93%

2.69%

—

1,451%

7,293

March 31, 2005

11.05

.31

.02

.33

(.31)

—

(.31)

.02

11.07

3.10%

1.92%

1.92%

1.92%

2.86%

—

737%

11,005

March 31, 2004

10.97

.30

.08

.38

(.30)

—

(.30)

.08

11.05

3.59%

1.96%

1.96%

1.96%

2.85%

—

1,143%

3,828

Inverse Government Long Bond Strategy Fund Investor Class

March 31, 2008

19.37

.49

(2.39)

(1.90)

(.66)

—

(.66)

(2.56)

16.81

(9.98)%

3.45%

3.45%

1.40%

2.56%

—

550%

237,900

March 31, 2007

19.69

(.09)

.40

.31

(.63)

—

(.63)

(.32)

19.37

1.66%

4.97%

4.97%

1.36%

3.68%

—

192%

313,117

March 31, 2006

18.94

(.07)

.82

.75

—

—

—

.75

19.69

3.96%

4.66%

4.66%

1.33%

(0.40)%

0.78%

179%

768,588

March 31, 2005

19.77

(.08)

(.75)

(.83)

—

—

—

(.83)

18.94

(4.20)%

5.11%

5.11%

1.32%

(0.40)%

1.53%

101%

1,472,040

March 31, 2004

21.23

(.09)

(1.37)

(1.46)

—

—

—

(1.46)

19.77

(6.88)%

5.57%

5.57%

1.38%

(0.45)%

(3.84)%

187%

898,294

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Combined

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Net

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Net

Operating

Income

Investment

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses■

Expenses■ Expenses§

(Loss)

Income (Loss)▲

Rate

omitted)

Inverse Government Long Bond Strategy Fund Advisor Class

March 31, 2008

$19.01

$ .34

$ (2.28)

$ (1.94)

$ (.66)

$ —

$ (.66)

$ (2.60)

$16.41

(10.39)%

4.10%

4.10%

1.90%

1.84%

—

550%

$

24,891

March 31, 2007

19.43

(.18)

.39

.21

(.63)

—

(.63)

(.42)

19.01

1.17%

5.47%

5.47%

1.86%

3.18%

—

192%

43,782

March 31, 2006

18.79

(.16)

.80

.64

—

—

—

.64

19.43

3.41%

5.16%

5.16%

1.83%

(0.90)%

0.28%

179%

99,546

March 31, 2005

19.71

(.17)

(.75)

(.92)

—

—

—

(.92)

18.79

(4.67)%

5.61%

5.61%

1.82%

(0.90)%

1.03%

101%

232,541

March 31, 2004 *

22.41

(.13)

(2.57)

(2.70)

—

—

—

(2.70)

19.71

(12.05)%

6.05%**

6.05%**

1.86%**

(0.93)%**

(4.32)%**

187%

52,298

Inverse Government Long Bond Strategy Fund A-Class

March 31, 2008

19.16

.44

(2.37)

(1.93)

(.66)

—

(.66)

(2.59)

16.57

(10.25)%

3.86%

3.86%

1.65%

2.37%

—

550%

37,256

March 31, 2007

19.52

(.14)

.41

.27

(.63)

—

(.63)

(.36)

19.16

1.47%

5.22%

5.22%

1.61%

3.43%

—

192%

69,606

March 31, 2006

18.84

(.12)

.80

.68

—

—

—

.68

19.52

3.61%

4.91%

4.91%

1.58%

(0.65)%

0.53%

179%

124,679

March 31, 2005

19.71

(.13)

(.74)

(.87)

—

—

—

(.87)

18.84

(4.41)%

5.35%

5.35%

1.56%

(0.64)%

1.29%

101%

177,178

March 31, 2004 *

19.71

—

—

—

—

—

—

—

19.71

0.00%

0.00%**à

0.00%**à

0.00%**à

0.00%**

(3.39)%**

187%

5,057

Inverse Government Long Bond Strategy Fund C-Class

March 31, 2008

18.26

.29

(2.24)

(1.95)

(.66)

—

(.66)

(2.61)

15.65

(10.87)%

4.44%

4.44%

2.40%

1.62%

—

550%

124,572

March 31, 2007

18.78

(.27)

.38

.11

(.63)

—

(.63)

(.52)

18.26

0.67%

5.97%

5.97%

2.36%

2.68%

—

192%

213,175

March 31, 2006

18.25

(.25)

.78

.53

—

—

—

.53

18.78

2.90%

5.66%

5.66%

2.33%

(1.40)%

(0.22)%

179%

533,862

March 31, 2005

19.24

(.27)

(.72)

(.99)

—

—

—

(.99)

18.25

(5.15)%

6.11%

6.11%

2.32%

(1.40)%

0.53%

101%

893,249

March 31, 2004

20.88

(.29)

(1.35)

(1.64)

—

—

(1.64)

19.24

(7.85)%

6.57%

6.57%

2.38%

(1.45)%

(4.84)%

187%

489,918

High Yield Strategy Fund A-Class

March 31, 2008*

25.00

.69

(1.31)

(.62)

(.07)

—

(.07)

(.69)

24.31

(2.49)%

1.50%**

1.50%**

1.50%**

2.79%**

—

—

10,530

High Yield Strategy Fund C-Class

March 31, 2008*

25.00

.46

(1.27)

(.81)

(.07)

—

(.07)

(.88)

24.12

(3.25)%

2.22%**

2.22%**

2.22%**

1.90%**

—

—

1,001

High Yield Strategy Fund H-Class

March 31, 2008*

25.00

.62

(1.27)

(.65)

(.07)

—

(.07)

(.72)

24.28

(2.61)%

1.49%**

1.49%**

1.49%**

2.55%**

—

—

64,290

Inverse High Yield Strategy Fund A-Class

March 31, 2008*

50.00

.54

.72

1.26

—

—

—

1.26

51.26

2.52%

1.52%**

1.52%**

1.52%**

1.09%**

—

—

1,673

Inverse High Yield Strategy Fund C-Class

March 31, 2008*

50.00

(.62)

1.68

1.06

—

—

—

1.06

51.06

2.12%

2.26%**

2.26%**

2.26%**

(1.25)%**

—

—

2,958

Inverse High Yield Strategy Fund H-Class

March 31, 2008*

50.00

1.44

(.06)

1.38

—

—

—

1.38

51.38

2.76%

1.52%**

1.52%**

1.52%**

2.84%**

—

—

6,536

Europe 1.25x Strategy Fund A-Class

March 31, 2008

24.13

.62

(1.57)

(.95)

(.23)

(.70)

(.93)

(1.88)

22.25

(4.60)%

1.69%

1.69%

1.69%

2.42%

—

320%

1,750

March 31, 2007

20.06

.54

3.65

4.19

(.12)

—

(.12)

4.07

24.13

20.90%

1.54%

1.54%

1.54%

2.33%

—

373%

10,892

March 31, 2006

17.14

.18

3.06

3.24

—

(.32)

(.32)

2.92

20.06

19.10%

1.67%

1.66%

1.66%

1.02%

—

454%

1,378

March 31, 2005

14.98

.05

2.59

2.64

(.47)

(.01)

(.48)

2.16

17.14

17.56%

1.62%

1.62%

1.62%

0.29%

—

—

180

March 31, 2004 *

14.98

—

—

—

—

—

—

—

14.98

0.00%

0.00%**à

0.00%**à

0.00%**à

0.00%**

—

—

1

Europe 1.25x Strategy Fund C-Class

March 31, 2008

22.98

.31

(1.36)

(1.05)

(.23)

(.70)

(.93)

(1.98)

21.00

(5.28)%

2.40%

2.40%

2.40%

1.27%

—

320%

6,149

March 31, 2007

19.25

.39

3.46

3.85

(.12)

—

(.12)

3.73

22.98

20.01%

2.40%

2.40%

2.40%

1.85%

—

373%

9,539

March 31, 2006

16.57

.10

2.90

3.00

—

(.32)

(.32)

2.68

19.25

18.30%

2.42%

2.41%

2.41%

0.59%

—

454%

8,703

March 31, 2005

14.62

(.09)

2.52

2.43

(.47)

(.01)

(.48)

1.95

16.57

16.55%

2.37%

2.37%

2.37%

(0.57)%

—

—

5,717

March 31, 2004

9.74

(1.18)

6.77

5.59

—

(.71)

(.71)

4.88

14.62

57.29%

2.47%

2.47%

2.47%

(8.31)%

—

—

1,999

Europe 1.25x Strategy Fund H-Class

March 31, 2008

24.14

.57

(1.52)

(.95)

(.23)

(.70)

(.93)

(1.88)

22.26

(4.60)%

1.67%

1.67%

1.67%

2.20%

—

320%

21,670

March 31, 2007

20.06

.59

3.61

4.20

(.12)

—

(.12)

4.08

24.14

20.95%

1.66%

1.66%

1.66%

2.63%

—

373%

57,887

March 31, 2006

17.13

.22

3.03

3.25

—

(.32)

(.32)

2.93

20.06

19.17%

1.64%

1.63%

1.63%

1.21%

—

454%

46,066

March 31, 2005

14.98

.05

2.58

2.63

(.47)

(.01)

(.48)

2.15

17.13

17.49%

1.61%

1.61%

1.61%

0.28%

—

—

62,957

March 31, 2004

9.88

(1.65)

7.46

5.81

—

(.71)

(.71)

5.10

14.98

58.72%

1.73%

1.73%

1.73%

(11.25)%

—

—

35,914

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Income

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses

(Loss)

Rate

omitted)

Japan 2x Strategy Fund A-Class

March 31, 2008*

$25.00

$  —§§

$   .12

$   .12

$  —

$

—

$  —

$   .12

$25.12

0.48%

1.25%**

(0.12)%**

—

$

636

Japan 2x Strategy Fund C-Class

March 31, 2008*

25.00

(.02)

.12

.10

—

—

—

.10

25.10

0.40%

2.21%**

(0.74)%**

—

240

Japan 2x Strategy Fund H-Class

March 31, 2008*

25.00

   —§§

.12

.12

—

—

—

.12

25.12

0.48%

1.44%**

0.17%**

—

5,243

Small-Cap Value Fund A-Class

March 31, 2008

35.54

.26

(8.97)

(8.71)

(.27)

—

(.27)

(8.98)

26.56

(24.54)%

1.53%

0.82%

566%

2,945

March 31, 2007

33.40

.23

1.94

2.17

—

(.03)

(.03)

2.14

35.54

6.49%

1.51%

0.66%

728%

3,929

March 31, 2006

28.22

(.03)

5.71

5.68

—

(.50)

(.50)

5.18

33.40

20.35%

1.46%

(0.11)%

806%

335

March 31, 2005 *

25.28

(.06)

3.13

3.07

—

(.13)

(.13)

2.94

28.22

12.14%

1.43%**

(0.37)%**

744%

714

Small-Cap Value Fund C-Class

March 31, 2008

34.68

.28

(8.98)

(8.70)

(.27)

—

(.27)

(8.97)

25.71

(25.12)%

2.26%

0.99%

566%

14,040

March 31, 2007

32.85

(.05)

1.91

1.86

—

(.03)

(.03)

1.83

34.68

5.65%

2.26%

(0.16)%

728%

2,268

March 31, 2006

28.01

(.18)

5.52

5.34

—

(.50)

(.50)

4.84

32.85

19.29%

2.27%

(0.60)%

806%

18,779

March 31, 2005

25.59

(.24)

2.79

2.55

—

(.13)

(.13)

2.42

28.01

9.96%

2.21%

(0.89)%

744%

12,119

March 31, 2004 *

25.00

(.05)

.64

.59

—

—

—

.59

25.59

2.36%

2.11%**

(1.68)%**

177%

2,207

Small-Cap Value Fund H-Class

March 31, 2008

35.51

.33

(9.04)

(8.71)

(.27)

—

(.27)

(8.98)

26.53

(24.56)%

1.48%

1.04%

566%

51,563

March 31, 2007

33.38

.15

2.01

2.16

—

(.03)

(.03)

2.13

35.51

6.46%

1.52%

0.46%

728%

10,478

March 31, 2006

28.24

.06

5.58

5.64

—

(.50)

(.50)

5.14

33.38

20.20%

1.50%

0.19%

806%

102,448

March 31, 2005

25.62

(.01)

2.76

2.75

—

(.13)

(.13)

2.62

28.24

10.73%

1.47%

(0.04)%

744%

75,748

March 31, 2004 *

25.00

(.01)

.63

.62

—

—

—

.62

25.62

2.48%

1.41%**

(0.21)%**

177%

19,900

Mid-Cap Value Fund A-Class

March 31, 2008

36.58

.44

(6.37)

(5.93)

(.93)

—

(.93)

(6.86)

29.72

(16.45)%

1.53%

1.25%

297%

2,797

March 31, 2007

31.83

.34

4.57

4.91

—

(.16)

(.16)

4.75

36.58

15.45%

1.53%

1.00%

625%

4,744

March 31, 2006

27.49

.06

4.47

4.53

(—)§§

(.19)

(.19)

4.34

31.83

16.51%

1.48%

0.21%

558%

1,480

March 31, 2005 *

24.58

.11

2.91

3.02

(—)§§

(.11)

(.11)

2.91

27.49

12.29%

1.42%**

0.69%

731%

312

Mid-Cap Value Fund C-Class

March 31, 2008

35.75

.30

(6.34)

(6.04)

(.93)

—

(.93)

(6.97)

28.78

(17.15)%

2.28%

0.88%

297%

1,082

March 31, 2007

31.34

.11

4.46

4.57

—

(.16)

(.16)

4.41

35.75

14.61%

2.28%

0.33%

625%

8,326

March 31, 2006

27.29

(.10)

4.34

4.24

(—)§§

(.19)

(.19)

4.05

31.34

15.57%

2.25%

(0.35)%

558%

7,270

March 31, 2005

25.11

(.07)

2.36

2.29

(—)§§

(.11)

(.11)

2.18

27.29

9.12%

2.21%

(0.28)%

731%

8,831

March 31, 2004 *

25.00

(.02)

.13

.11

—

—

—

.11

25.11

0.44%

2.11%**

(0.50)%**

172%

710

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Income

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses

(Loss)

Rate

omitted)

Mid-Cap Value Fund H-Class

March 31, 2008

$36.58

$ .35

$ (6.29)

$ (5.94)

$ (.93)

$  —

$ (.93)

$ (6.87)

$29.71

(16.48)%

1.54%

0.96%

297%

$

6,512

March 31, 2007

31.82

.46

4.46

4.92

—

(.16)

(.16)

4.76

36.58

15.49%

1.52%

1.39%

625%

76,513

March 31, 2006

27.49

.07

4.45

4.52

(—)§§

(.19)

(.19)

4.33

31.82

16.47%

1.48%

0.25%

558%

31,340

March 31, 2005

25.13

.21

2.26

2.47

(—)§§

(.11)

(.11)

2.36

27.49

9.83%

1.46%

0.77%

731%

115,660

March 31, 2004 *

25.00

.01

.12

.13

—

—

—

.13

25.13

0.52%

1.41%**

0.19%**

172%

18,064

Large-Cap Value Fund A-Class

March 31, 2008

33.46

.49

(6.10)

(5.61)

(1.99)

(5.86)

(7.85)

(13.46)

20.00

(19.98)%

1.52%

1.67%

289%

4,269

March 31, 2007

29.12

.37

4.33

4.70

(.21)

(.15)

(.36)

4.34

33.46

16.21%

1.50%

1.17%

389%

5,348

March 31, 2006

26.56

.19

2.77

2.96

—

(.40)

(.40)

2.56

29.12

11.20%

1.47%

0.70%

1054%

713

March 31, 2005 *

24.68

.12

1.81

1.93

(—)§§

(.05)

(.05)

1.88

26.56

7.82%

1.43%**

0.77%**

747%

211

Large-Cap Value Fund C-Class

March 31, 2008

32.68

.14

(5.77)

(5.63)

(1.99)

(5.86)

(7.85)

(13.48)

19.20

(20.57)%

2.29%

0.48%

289%

1,838

March 31, 2007

28.67

.09

4.28

4.37

(.21)

(.15)

(.36)

4.01

32.68

15.31%

2.27%

0.29%

389%

21,075

March 31, 2006

26.38

.04

2.65

2.69

—

(.40)

(.40)

2.29

28.67

10.25%

2.26%

0.14%

1,054%

4,344

March 31, 2005

24.85

.01

1.57

1.58

(—)§§

(.05)

(.05)

1.53

26.38

6.35%

2.20%

0.03%

747%

4,636

March 31, 2004 *

25.00

(.02)

(.13)

(.15)

—

—

—

(.15)

24.85

(0.60)%

2.10%**

(0.53)%**

202%

2,612

Large-Cap Value Fund H-Class

March 31, 2008

33.46

.36

(5.97)

(5.61)

(1.99)

(5.86)

(7.85)

(13.46)

20.00

(19.98)%

1.53%

1.11%

289%

18,459

March 31, 2007

29.12

.35

4.35

4.70

(.21)

(.15)

(.36)

4.34

33.46

16.21%

1.51%

1.12%

389%

184,082

March 31, 2006

26.56

.23

2.73

2.96

—

(.40)

(.40)

2.56

29.12

11.20%

1.49%

0.82%

1,054%

56,005

March 31, 2005

24.87

.16

1.58

1.74

(—)§§

(.05)

(.05)

1.69

26.56

6.99%

1.47%

0.63%

747%

24,974

March 31, 2004 *

25.00

.01

(.14)

(.13)

—

—

—

(.13)

24.87

(0.52)%

1.41%**

0.34%**

202%

8,094

Small-Cap Growth Fund A-Class

March 31, 2008

32.61

(.13)

(3.72)

(3.85)

—

(1.33)

(1.33)

(5.18)

27.43

(12.27)%

1.52%

(0.40)%

834%

1,938

March 31, 2007

32.25

(.29)

.65

.36

—

—

—

.36

32.61

1.12%

1.56%

(0.93)%

623%

1,408

March 31, 2006

27.96

(.18)

5.27

5.09

—

(.80)

(.80)

4.29

32.25

18.41%

1.47%

(0.61)%

1,003%

943

March 31, 2005 *

24.43

(.12)

3.90

3.78

—

(.25)

(.25)

3.53

27.96

15.49%

1.43%**

(0.74)%**

983%

76

Small-Cap Growth Fund C-Class

March 31, 2008

31.94

(.51)

(3.45)

(3.96)

—

(1.33)

(1.33)

(5.29)

26.65

(12.88)%

2.29%

(1.57)%

834%

1,980

March 31, 2007

31.82

(.58)

.70

.12

—

—

—

.12

31.94

0.38%

2.32%

(1.83)%

623%

7,570

March 31, 2006

27.78

(.47)

5.31

4.84

—

(.80)

(.80)

4.04

31.82

17.63%

2.27%

(1.57)%

1,003%

5,972

March 31, 2005

25.33

(.44)

3.14

2.70

—

(.25)

(.25)

2.45

27.78

10.68%

2.21%

(1.58)%

983%

2,710

March 31, 2004 *

25.00

(.04)

.37

.33

—

—

—

.33

25.33

1.32%

2.08%**

(1.31)%**

117%

2,505

Small-Cap Growth Fund H-Class

March 31, 2008

32.62

(.26)

(3.58)

(3.84)

—

(1.33)

(1.33)

(5.17)

27.45

(12.23)%

1.53%

(0.79)%

834%

6,259

March 31, 2007

32.27

(.33)

.68

.35

—

—

—

.35

32.62

1.08%

1.53%

(1.05)%

623%

18,171

March 31, 2006

27.97

(.22)

5.32

5.10

—

(.80)

(.80)

4.30

32.27

18.44%

1.50%

(0.73)%

1,003%

73,489

March 31, 2005

25.34

(.23)

3.11

2.88

—

(.25)

(.25)

2.63

27.97

11.38%

1.46%

(0.84)%

983%

26,145

March 31, 2004 *

25.00

(.02)

.36

.34

—

—

—

.34

25.34

1.36%

1.41%**

(0.85)%**

117%

2,544

Mid-Cap Growth Fund A-Class

March 31, 2008

30.72

(.27)

(1.42)

(1.69)

—

(2.38)

(2.38)

(4.07)

26.65

(6.26)%

1.52%

(0.88)%

736%

3,863

March 31, 2007

31.94

(.08)

.48

.40

—

(1.62)

(1.62)

(1.22)

30.72

1.36%

1.51%

(0.25)%

537%

2,777

March 31, 2006

26.85

(.17)

5.39

5.22

—

(.13)

(.13)

5.09

31.94

19.47%

1.48%

(0.60)%

681%

1,530

March 31, 2005 *

23.91

(.09)

3.04

2.95

—

(.01)

(.01)

2.94

26.85

12.33%

1.46%**

(0.58)%**

1,211%

553

Mid-Cap Growth Fund C-Class

March 31, 2008

30.01

(.50)

(1.34)

(1.84)

—

(2.38)

(2.38)

(4.22)

25.79

(6.92)%

2.28%

(1.69)%

736%

1,426

March 31, 2007

31.47

(.42)

.58

.16

—

(1.62)

(1.62)

(1.46)

30.01

0.60%

2.27%

(1.40)%

537%

5,316

March 31, 2006

26.66

(.42)

5.36

4.94

—

(.13)

(.13)

4.81

31.47

18.55%

2.26%

(1.43)%

681%

3,305

March 31, 2005

25.15

(.37)

1.89

1.52

—

(.01)

(.01)

1.51

26.66

6.04%

2.21%

(1.43)%

1,211%

2,313

March 31, 2004 *

25.00

(.05)

.20

.15

—

—

—

.15

25.15

0.60%

2.10%**

(1.50)%**

356%

1,172

FINANCIAL HIGHLIGHTS (continued)

This table is presented to show selected data for a share outstanding throughout each period, and to assist shareholders in evaluating a Fund’s performance for the periods presented.

RATIOS TO

AVERAGE NET ASSETS:

Net Realized

Net Increase

NET ASSET

Net

and

(Decrease)

Distributions

Distributions

Net Increase

NET ASSET

Net

Net Assets,

VALUE,

Investment

Unrealized

in Net Asset

from Net

from Net

(Decrease) in

VALUE,

Total

Investment

Portfolio

End of

BEGINNING

Income

Gains (Losses)

Value Resulting

Investment

Realized

Total

Net Asset

END OF

Investment

Total

Net

Income

Turnover

Period (000’s

Year Ended

OF PERIOD

(Loss)†

on Investments

from Operations

Income

Gains

Distributions

Value

PERIOD

Return††

Expenses

Expenses

(Loss)

Rate

omitted)

Mid-Cap Growth Fund H-Class

March 31, 2008

$30.75

$ (.28)

$ (1.41)

$ (1.69)

$ —

$ (2.38)

$ (2.38)

$ (4.07)

$26.68

(6.25)%

1.51%

1.51%

(0.92)%

736%

$

14,158

March 31, 2007

31.95

(.24)

.66

.42

—

(1.62)

(1.62)

(1.20)

30.75

1.42%

1.52%

1.52%

(0.80)%

537%

7,715

March 31, 2006

26.86

(.19)

5.41

5.22

—

(.13)

(.13)

5.09

31.95

19.46%

1.50%

1.50%

(0.63)%

681%

48,888

March 31, 2005

25.17

(.17)

1.87

1.70

—

(.01)

(.01)

1.69

26.86

6.75%

1.46%

1.46%

(0.66)%

1,211%

23,733

March 31, 2004 *

25.00

(.02)

.19

.17

—

—

—

.17

25.17

0.68%

1.41%**

1.41%**

(0.75)%**

356%

625

Large-Cap Growth Fund A-Class

March 31, 2008

27.17

(.15)

(1.52)

(1.67)

—

(.39)

(.39)

(2.06)

25.11

(6.28)%

1.51%

1.51%

(0.53)%

450%

5,443

March 31, 2007

26.11

(.13)

1.19

1.06

—

—

—

1.06

27.17

4.06%

1.52%

1.52%

(0.51)%

1,029%

2,675

March 31, 2006

24.48

(.07)

1.72

1.65

—

(.02)

(.02)

1.63

26.11

6.76%

1.48%

1.48%

(0.29)%

1,276%

914

March 31, 2005 *

23.44

.09

.95

1.04

—

(—)§§

(—)§§

1.04

24.48

4.45%

1.45%**

1.45%**

0.62%**

2,018%

74

Large-Cap Growth Fund C-Class

March 31, 2008

26.57

(.32)

(1.51)

(1.83)

—

(.39)

(.39)

(2.22)

24.35

(7.02)%

2.27%

2.27%

(1.21)%

450%

4,453

March 31, 2007

25.74

(.37)

1.20

.83

—

—

—

.83

26.57

3.22%

2.28%

2.28%

(1.44)%

1,029%

3,743

March 31, 2006

24.30

(.26)

1.72

1.46

—

(.02)

(.02)

1.44

25.74

6.03%

2.23%

2.23%

(1.04)%

1,276%

5,249

March 31, 2005

24.18

(.01)

.13

.12

—

(—)§§

(—)§§

.12

24.30

0.51%

2.20%

2.20%

(0.06)%

2,018%

19,703

March 31, 2004 *

25.00

(.05)

(.77)

(.82)

—

—

—

(.82)

24.18

(3.28)%

2.08%**

2.08%**

(1.25)%**

296%

—

Large-Cap Growth Fund H-Class

March 31, 2008

27.16

(.17)

(1.50)

(1.67)

—

(.39)

(.39)

(2.06)

25.10

(6.28)%

1.53%

1.53%

(0.62)%

450%

11,937

March 31, 2007

26.11

(.14)

1.19

1.05

—

—

—

1.05

27.16

4.02%

1.52%

1.52%

(0.53)%

1,029%

49,087

March 31, 2006

24.49

(.05)

1.69

1.64

—

(.02)

(.02)

1.62

26.11

6.71%

1.49%

1.49%

(0.19)%

1,276%

32,258

March 31, 2005

24.18

.37

(.06)

.31

—

(—)§§

(—)§§

.31

24.49

1.30%

1.47%

1.47%

1.52%

2,018%

11,762

March 31, 2004 *

25.00

(—)§§

(.82)

(.82)

—

—

—

(.82)

24.18

(3.28)%

1.41%**

1.41%**

(0.16)%**

296%

793

U.S. Government Money Market Fund Investor Class

March 31, 2008

1.00

.04

—

.04

(.04)

—

(.04)

—

1.00

3.76%

0.93%

0.93%

3.71%

—

978,584

March 31, 2007

1.00

.04

—

.04

(.04)

—

(.04)

—

1.00

4.26%

0.92%

0.92%

4.20%

—

982,347

March 31, 2006

1.00

.03

—

.03

(.03)

—

(.03)

—

1.00

2.79%

0.88%

0.88%

2.74%

—

975,088

March 31, 2005

1.00

.01

—

.01

(.01)

—

(.01)

—

1.00

0.82%

0.87%

0.87%

0.81%

—

1,196,009

March 31, 2004

1.00

—§§

—

—§§

(—)§§

—

(—)§§

—

1.00

0.18%

0.90%

0.90%

0.18%

—

1,057,062

U.S. Government Money Market Fund Advisor Class

March 31, 2008

1.00

.03

—

.03

(.03)

—

(.03)

—

1.00

3.24%

1.43%

1.43%

3.25%

—

159,111

March 31, 2007

1.00

.04

—

.04

(.04)

—

(.04)

—

1.00

3.75%

1.42%

1.42%

3.70%

—

204,068

March 31, 2006

1.00

.02

—

.02

(.02)

—

(.02)

—

1.00

2.28%

1.39%

1.39%

2.21%

—

151,828

March 31, 2005

1.00

—§§

—

—§§

(—)§§

—

(—)§§

—

1.00

0.43%

1.38%

1.25%

0.39%

—

245,890

March 31, 2004

1.00

—§§

—

—§§

(—)§§

—

(—)§§

—

1.00

0.01%

1.38%

1.08%

0.01%

—

249,599

U.S. Government Money Market Fund A-Class

March 31, 2008

1.00

.03

—

.03

(.03)

—

(.03)

—

1.00

3.51%

1.18%

1.18%

3.45%

—

21,174

March 31, 2007

1.00

.04

—

.04

(.04)

—

(.04)

—

1.00

4.01%

1.17%

1.17%

3.97%

—

18,779

March 31, 2006

1.00

.03

—

.03

(.03)

—

(.03)

—

1.00

2.51%

1.15%

1.15%

2.66%

—

14,324

March 31, 2005

1.00

.01

—

.01

(.01)

—

(.01)

—

1.00

0.59%

1.10%

1.10%

0.93%

—

7,335

March 31, 2004 *

1.00

—

—

—

—

—

—

—

1.00

0.00%

0.00%**à

0.00%**à

0.00%**

—

1

U.S. Government Money Market Fund C-Class

March 31, 2008

1.00

.03

—

.03

(.03)

—

(.03)

—

1.00

2.74%

1.93%

1.93%

2.69%

—

121,436

March 31, 2007

1.00

.03

—

.03

(.03)

—

(.03)

—

1.00

3.24%

1.92%

1.92%

3.20%

—

120,415

March 31, 2006

1.00

.02

—

.02

(.02)

—

(.02)

—

1.00

1.76%

1.89%

1.89%

1.72%

—

131,045

March 31, 2005

1.00

—§§

—

—§§

(—)§§

—

(—)§§

—

1.00

0.19%

1.87%

1.51%

0.19%

—

155,668

March 31, 2004

1.00

—§§

—

—§§

(—)§§

—

(—)§§

—

1.00

0.01%

1.90%

1.08%

0.01%

—

131,704

FINANCIAL HIGHLIGHTS (concluded)

* Since the commencement of operations:

August 1, 2003 — Inverse OTC Strategy Fund Advisor Class, Government Long Bond 1.2x Strategy Fund Advisor Class, and Inverse Government Long Bond Strategy Fund Advisor Class;

February 20, 2004 — Inverse Mid-Cap Strategy Fund C-Class and H-Class, Inverse Russell 2000^® Strategy Fund C-Class and H-Class, Small-Cap Value Fund C-Class and H-Class, Mid-Cap Value C-Class and H-Class,

Large-Cap Value Fund C-Class and H-Class, Small-Cap Growth Fund C-Class and H-Class, Mid-Cap Growth Fund C-Class and H-Class, and Large-Cap Growth Fund C-Class and H-Class;

March 31, 2004 — Nova Fund A-Class, Inverse S&P 500 Strategy Fund A-Class, OTC Fund A-Class, Inverse OTC Strategy Fund A-Class, Mid-Cap 1.5x Strategy Fund A-Class, Inverse Mid-Cap Strategy Fund A-Class,

Russell 2000^® 1.5x Strategy Fund A-Class, Inverse Russell 2000^® Strategy Fund A-Class, Government Long Bond 1.2x Strategy Fund A-Class, Inverse Goverment Long Bond Strategy Fund A-Class,

Europe 1.25x Strategy Fund A-Class, and U.S. Goverment Money Market Fund A-Class;

September 1, 2004 — Small-Cap Value Fund A-Class, Mid-Cap Value Fund A-Class, Large-Cap Value Fund A-Class, Small-Cap Growth Fund A-Class, Mid-Cap Growth Fund A-Class, and Large-Cap Growth Fund A-Class;

May 31, 2006 — S&P 500 Fund A-Class, C-Class and H-Class and Russell 2000^® Fund A-Class, C-Class and H-Class;

April 16, 2007 — High Yield Strategy Fund A-Class, C-Class and H-Class and Inverse High Yield Strategy Fund A-Class, C-Class and H-Class.

February 22, 2008 — Japan 2x Strategy Fund A-Class, C-Class and H-Class.

** Annualized

† Calculated using the average daily shares outstanding for the year.

†† Total investment return does not reflect the impact of any applicable sales charges and has not been annualized.

††† Inverse S&P 500 Strategy Fund — Per share amounts for the periods ended March 31, 2004 through March 31, 2007 have been restated to reflect a 1:5 reverse stock split effective April 23, 2007.

à Expense ratios for the period ended March 31, 2004 are calculated for one day only and are not indicative of future class performance.

§ Operating Expenses exclude interest expense from securities sold short and swap expense.

§§ Less than $.01 per share.

Prior to April 1, 2007, the Nova Fund, Inverse S&P 500 Strategy Fund, Inverse OTC Strategy Fund, and Inverse Government Long Bond Strategy Fund operated under a Master-Feeder Structure.

▲

Ratios represent combined net investment income of the former Master Portfolio and the Fund. Ratios shown under the caption “Net Investment Income (Loss)” for the year ended March 31, 2006 and preceding periods did

not reflect the net investment income of the former Master Portfolio. This has no effect on the Fund's net asset value, per share value or total increase (decrease) in net assets from operations during any period.

■

Expense ratios to average net assets include expenses of the corresponding former Master Portfolio for the year ended March 31, 2007 and preceding periods.

NOTES TO FINANCIAL STATEMENTS

1.

Organization and Significant Accounting Policies

B. All equity securities for the morning NAV are valued

Organization

at the current sales price as of 10:45 a.m. on the

The Rydex Series Funds (the “Trust”) is registered with

valuation date. Equity securities listed on an exchange

the SEC under the Investment Company Act of 1940 (the

(NYSE or American Stock Exchange) are valued at the

“1940 Act”) as a non-diversified, open-ended investment

last quoted sales price as of the close of business on the

company. The Trust offers five separate classes of shares,

NYSE, usually 4:00 p.m. on the valuation date for the

Investor Class Shares, Advisor Class Shares, A-Class

afternoon NAV. Equity securities listed on the NASDAQ

Shares, C-Class Shares, and H-Class Shares. C-Class

market system are valued at the NASDAQ Official

Shares have a 1% CDSC if shares are redeemed within

Closing Price, usually as of 4:00 p.m. on the valuation

12 months of purchase. Sales of shares of each Class are

date. Listed options held by the Trust are valued at the

made without a sales charge at the net asset value per

their last bid price for twice a day pricing or the Official

share, with the exception of A-Class Shares. A-Class

Settlement Price listed by the exchange, usually as of

Shares are sold at net asset value, plus the applicable

4:00 p.m. Over-the-Counter options held by the Trust are

front-end sales charge, except for the U.S. Government

valued using the average bid price obtained from one or

Money Market Fund. The sales charge varies depending

more security dealers. The value of futures contracts

on the amount purchased, but will not exceed 4.75%.

purchased and sold by the Trust is accounted for using

A-Class Share purchases of $1 million or more are exempt

the unrealized gain or loss on the contracts that is

from the front-end sales charge but have a 1% CDSC if

determined by marking the contracts to their current

shares are redeemed within 18 months of purchase.

realized settlement prices. Financial futures contracts are

valued as of the spot price at 10:45 a.m. on the valuation

At March 31, 2008, the Trust consisted of fifty-four

date for the morning pricing cycle. Financial futures

separate Funds: twenty-two Benchmark Funds, one

contracts are valued at the last quoted sales price,

Money Market Fund, eleven Alternative Strategy Funds,

usually as of 4:00 p.m. on the valuation date for the

seventeen Sector Funds, and three Essential Portfolio

afternoon NAV cycle. In the event that the exchange for

Funds. This report covers the twenty-two Benchmark

a specific futures contract closes earlier than 4:00 p.m.,

Funds and the Money Market Fund (the “Funds”), while

the futures contract is valued at the Official Settlement

the Sector Funds, the Alternative Strategy Funds, and

Price of the exchange. However, the underlying

the Essential Portfolio Funds are contained in separate

securities from which the futures contract value is

reports.

derived are monitored until 4:00 p.m. to determine if fair

Rydex Investments provides advisory, transfer agent and

valuation would provide a more accurate valuation.

administrative services, and accounting services to the

Short-term securities, if any, are valued at amortized

Trust. Rydex Distributors, Inc. (the “Distributor”) acts as

cost, which approximates market value.

principal underwriter for the Trust. Both Rydex

Debt securities with a maturity greater than 60 days are

Investments and the Distributor are affiliated entities.

valued at the last traded fill price at the close of the

Significant Accounting Policies

Funds’ pricing cycle, unless no trades were executed. If

The following significant accounting policies are in

there are no trades, a security is valued at the reported

conformity with U.S. generally accepted accounting

bid price, at the close of the Funds’ pricing cycle, usually

principles and are consistently followed by the Trust. All

4:00 p.m.

time references are based on Eastern Time. The

Structured notes are valued in accordance with the terms

information contained in these notes may not apply to

of their agreement at the value of the underlying index

every Fund in the Trust.

close, usually 4:00 p.m., adjusted for any interest accruals

A. The Trust calculates a NAV twice each business day,

and financing charges. If the securities comprising the

first in the morning and again in the afternoon for the

underlying index cease trading before a Fund’s close of

Russell 2000^® Fund and the S&P 500 Fund. All other

business, the index will be fair valued with the use of an

Funds in the Trust will price at the afternoon NAV. The

appropriate market indicator.

morning NAV is calculated at 10:45 a.m., and the

Traditional open-end investment companies (“Mutual

afternoon NAV is calculated at the close of the New York

Funds”) are valued at their NAV as of the close of

Stock Exchange (“NYSE”), usually 4:00 p.m. The NAV is

business, usually 4:00 p.m. on the valuation date.

calculated using the current market value of each Fund’s

Exchange Traded Funds (“ETFs”) and closed-end

total assets as of the respective time of calculation.

investment companies are valued at the last quoted

These financial statements are based on the March 31,

sales price.

2008 afternoon NAV.

The value of domestic equity index and credit default

swap agreements entered into by a Fund is accounted

for using the unrealized gain or loss on the agreements

162

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

that is determined by marking the agreements to the

with income tax regulations which may differ from U.S.

last quoted value of the index that the swap pertains to

generally accepted accounting principles.

at the close of the NYSE, usually 4:00 p.m. The swap’s

E. When a Fund engages in a short sale of an equity or

market value is then adjusted to include dividends

fixed income security, an amount equal to the proceeds

accrued, financing charges and/or interest associated

is reflected as an asset and an equivalent liability. The

with the swap agreements.

amount of the liability is subsequently marked-to-market

The value of foreign equity and index currency index

to reflect the market value of the short sale. The Fund

swap agreements entered into by a Fund is accounted

maintains a segregated account of cash and/or securities

for using the unrealized gain or loss on the agreements

as collateral for short sales. The Fund is exposed to

that is determined by marking the agreements to the

market risk based on the amount, if any, that the market

price at which orders are being filled at the close of the

value of the security exceeds the market value of the

NYSE, usually 4:00 p.m. In the event that no order is

securities in the segregated account. Fees, if any, paid to

filled at 4:00 p.m., the security dealer provides a fair

brokers to borrow securities in connection with short

value quote at which the swap agreement is valued. The

sales are considered part of the cost of short sale

swap’s market value is then adjusted to include

transactions. In addition, the Fund must pay out the

dividends accrued, financing charges and/or interest

dividend rate of the equity or coupon rate of the

associated with the swap agreements.

treasury obligation to the lender and records this as an

Investments for which market quotations are not readily

expense. Short dividends or interest expense is a cost

available are fair valued as determined in good faith by

associated with the investment objective of short sales

Rydex Investments under the direction of the Board of

transactions, rather than an operational cost associated

Trustees using methods established or ratified by the

with the day-to-day management of any mutual fund.

Board of Trustees. These methods include, but are not

F. Upon the purchase of an option by a Fund, the

limited to: (i) general information as to how these

premium paid is recorded as an investment, the value of

securities and assets trade; (ii) in connection with futures

which is marked-to-market daily. When a purchased

contracts and options thereupon, and other derivative

option expires, that Fund will realize a loss in the

investments, information as to how (a) these contracts

amount of the cost of the option. When a Fund enters

and other derivative investments trade in the futures or

into a closing sale transaction, that Fund will realize a

other derivative markets, respectively, and (b) the

gain or loss depending on whether the proceeds from

securities underlying these contracts and other

the closing sale transaction are greater or less than the

derivative investments trade in the cash market; and (iii)

cost of the option. When a Fund exercises a put option,

other information and considerations, including current

that Fund will realize a gain or loss from the sale of the

values in related-markets.

underlying security and the proceeds from such sale will

C. Securities transactions are recorded on the trade date

be decreased by the premium originally paid. When a

for financial reporting purposes. Realized gains and

Fund exercises a call option, the cost of the security

losses from securities transactions are recorded using

purchased by that Fund upon exercise will be increased

the identified cost basis. Proceeds from lawsuits related

by the premium originally paid. When a Fund writes

to investment holdings are recorded as realized gains in

(sells) an option, an amount equal to the premium

the respective Fund. Dividend income is recorded on the

received is entered in that Fund’s accounting records as

ex-dividend date, net of applicable taxes withheld by

an asset and equivalent liability. The amount of the

foreign countries. Interest income, including amortization

liability is subsequently marked-to-market to reflect the

of premiums and accretion of discount, is accrued on a

current value of the option written. When a written

daily basis. Distributions received from investments in

option expires, or if a Fund enters into a closing

REITs are recorded as dividend income on the ex-

purchase transaction, that Fund realizes a gain (or loss if

dividend date, subject to reclassification upon notice of

the cost of a closing purchase transaction exceeds the

the character of such distribution by the issuer.

premium received when the option was sold).

D. Distributions from net investment income are

G. The Trust may enter into stock and bond index

declared daily and paid monthly in the Government

futures contracts and options on such futures contracts.

Long Bond 1.2x Strategy Fund and the U.S. Government

Futures contracts are contracts for delayed delivery of

Money Market Fund. Distributions of net investment

securities at a specified future delivery date and at a

income in the remaining Funds and distributions of net

specific price. Upon entering into a contract, a Fund

realized capital gains in all Funds, if any, are declared

deposits and maintains as collateral such initial margin as

and paid at least annually. Distributions are recorded on

required by the exchange on which the transaction is

the ex-dividend date and are determined in accordance

effected. Pursuant to the contract, the Fund agrees to

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

163

NOTES TO FINANCIAL STATEMENTS (continued)

receive from or pay to the broker an amount of cash

custody of securities or commodities. Fluctuations in

equal to the daily fluctuation in value of the contract.

value of the structured notes are recorded as unrealized

Such receipts or payments are known as variation margin

gains and losses in the accompanying financial

and are recorded by the Fund as unrealized gains or

statements. Coupon payments are recorded as income

losses. When the contract is closed, the Fund records a

while net payments are recorded as net realized gains

realized gain or loss equal to the difference between the

or losses.

value of the contract at the time it was opened and the

J. Investment securities and other assets and liabilities

value at the time it was closed.

denominated in foreign currencies are translated into

H. The Trust may enter into domestic equity index and

U.S. dollar amounts at the date of valuation. Purchases

domestic currency index swap agreements, which are

and sales of investment securities and income and

over-the-counter contracts in which one party agrees to

expense items denominated in foreign currencies are

make periodic payments based on the change in market

translated into U.S. dollar amounts on the respective

value of a specified equity security, basket of equity

dates of such transactions. The Trust does not isolate

securities, equity index or domestic currency index, in

that portion of the results of operations resulting from

return for periodic payments based on a fixed or variable

changes in foreign exchange rates on investments from

interest rate or the change in market value of a different

the fluctuations arising from changes in market prices of

equity security, basket of equity securities, equity index

securities held. Such fluctuations are included with the

or domestic currency index. Swap agreements are used

net realized and unrealized gain and loss from

to obtain exposure to an equity or market without

investments.

owning or taking physical custody of securities. The swap

Reported net realized foreign exchange gains or losses

agreements are marked-to-market daily based upon

arise from sales of foreign currencies and currency gains

quotations from market makers and the change, if any,

or losses realized between the trade and settlement

are recorded as unrealized gain or loss. Payments

dates on investment transactions. Net unrealized

received or made as a result of an agreement or

exchange gains and losses arise from changes in the fair

termination of the agreement are recognized as realized

values of assets and liabilities other than investments in

gains or losses.

securities at the fiscal period end, resulting from changes

The Trust may enter into credit default swap agreements

in exchange rates.

where one party, the protection buyer, makes an upfront

K. The Trust may enter into forward currency contracts

or periodic payment to counterparty, the protection

primarily to hedge against foreign currency exchange

seller, in exchange for the right to receive a contingent

rate risks on its non-U.S. dollar denominated investment

payment. The maximum amount of the payment may

securities. When entering into a forward currency

equal the notional amount, at par, of the underlying index

contract, a Fund agrees to receive or deliver a fixed

or security as a result of a related credit event. Upfront

quantity of foreign currency for an agreed-upon price on

payments received or made by a Fund, are amortized

an agreed future date. These contracts are valued daily

over the expected life of the agreement. Periodic

and the corresponding unrealized gain or loss on the

payments received or paid by a Fund are recorded as

contracts, as measured by the difference between the

realized gains or losses. The credit default contracts are

forward foreign exchange rates at the dates of entry into

marked-to-market daily based upon quotations from

the contracts and the forward rates at the reporting

market makers and the change, if any, is recorded as

date, is included in the Statement of Assets and

unrealized gain or loss. Payments received or made as a

Liabilities. Realized and unrealized gains and losses are

result of a credit event or termination of the contract are

included in the Statement of Operations.

recognized, net of a proportional amount of the upfront

payment, as realized gains or losses.

L. Certain U.S. Government and Agency Obligations are

traded on a discount basis; the interest rates shown on

I. The Trust may invest in structured notes, which are

the Schedules of Investments reflect the effective rates

over-the-counter contracts linked to the performance of

at the time of purchase by the Funds. Other securities

an underlying benchmark such as interest rates, equity

bear interest at the rates shown, payable at fixed dates

markets, equity indices, commodities indices, corporate

through maturity. The Funds may also purchase

credits or foreign exchange markets. A structured note

American Depository Receipts, U.S. Government

is a type of bond in which an issuer borrows money

securities, and enter into repurchase agreements.

from investors and pays back the principal, adjusted for

performance of the underlying benchmark, at a specified

M. The Funds may leave cash overnight in their cash

maturity date. In addition, the contract may require periodic

account with the custodian, U.S. Bank. Periodically, a

interest payments. Structured notes are used to obtain

Fund may have cash due to the custodian bank as an

exposure to a market without owning or taking physical

overdraft balance. A fee is incurred on this overdraft,

164

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

calculated by multiplying the overdraft by a rate based

call option is that a Fund may forego the opportunity for

on the federal funds rate. Segregated cash with the

profit if the market price of the underlying security increases

broker is held as collateral for investments in derivative

and the option is exercised. The risk in writing a covered

instruments such as futures contracts and index swap

put option is that a Fund may incur a loss if the market

agreements.

price of the underlying security decreases and the option

N. Interest and dividend income, most expenses, all

is exercised. In addition, there is the risk that a Fund may

realized gains and losses, and all unrealized gains and

not be able to enter into a closing transaction because

losses are allocated to the Classes based upon the value

of an illiquid secondary market or, for over-the-counter

of the outstanding shares in each Class. Certain costs,

options, because of the counterparty’s inability to perform.

such as distribution fees relating to A-Class Shares and

There are several risks in connection with the use of

H-Class Shares and service and distribution fees related

futures contracts. Risks may be caused by an imperfect

to Advisor Class Shares and C-Class Shares, are charged

correlation between movements in the price of the

directly to specific Classes. In addition, certain expenses

instruments and the price of the underlying securities.

have been allocated to the individual Funds in the Trust

In addition, there is the risk that a Fund may not be able

on a pro rata basis upon the respective aggregate net

to enter into a closing transaction because of an illiquid

assets of each Fund included in the Trust.

secondary market.

O. The preparation of financial statements in conformity

There are several risks associated with the use of

with U.S. generally accepted accounting principles

structured notes. Structured notes are leveraged,

requires management to make estimates and

thereby providing an exposure to the underlying

assumptions that affect the reported amount of assets

benchmark of three times the face amount and

and liabilities and disclosure of contingent assets and

increasing the volatility of each note relative to the

liabilities at the date of the financial statements and the

change in the underlying linked financial instrument. A

reported amounts of revenues and expenses during the

highly liquid secondary market may not exist for the

reporting period. Actual results could differ from these

structured notes a Fund invests in, which may make it

estimates.

difficult for that Fund to sell the structured notes it holds

P. Throughout the normal course of business, the Funds

at an acceptable price or to accurately value them. In

enter into contracts that contain a variety of

addition, structured notes are subject to the risk that the

representations and warranties which provide general

counterparty to the instrument, or issuer, might not pay

indemnifications. The Funds’ maximum exposure under

interest when due or repay principal at maturity of the

these arrangements is unknown, as this would involve

obligation. Although the Trust will not invest in any

future claims that may be made against the Funds

structured notes unless Rydex Investments believes that

and/or their affiliates that have not yet occurred.

the issuer is creditworthy, a Fund does bear the risk of

However, based on experience, the Funds expect the

loss of the amount expected to be received in the event

risk of loss to be remote.

of the default or bankruptcy of the issuer.

2.

Financial Instruments

There are several risks associated with the use of swap

agreements that are different from those associated

As part of its investment strategy, the Trust may utilize

with ordinary portfolio securities transactions, due to

short sales and a variety of derivative instruments,

the fact they could be considered illiquid. Although the

including options, futures, options on futures, structured

Trust will not enter into any swap agreement unless

notes, and swap agreements. These investments involve,

Rydex Investments believes that the other party to the

to varying degrees, elements of market risk and risks in

transaction is creditworthy, the Funds bear the risk of

excess of the amounts recognized in the Statements of

loss of the amount expected to be received under a

Assets and Liabilities.

swap agreement in the event of the default or

Short sales are transactions in which a Fund sells an

bankruptcy of the agreement counterparty.

equity or fixed income security it does not own. If the

There are several risks associated with credit default

security sold short decreases in price between the time

swaps. Credit default swaps involve the exchange of a

the Fund sells the security and closes its short position,

fixed-rate premium for protection against the loss in

that Fund will realize a gain on the transaction.

value of an underlying debt instrument in the event of

Conversely, if the security increases in price during the

a defined credit event (such as payment default or

period, that Fund will realize a loss on the transaction.

bankruptcy). Under the terms of the swap, one party acts

The risk of such price increases is the principal risk of

as a “guarantor,” receiving a periodic payment that is a

engaging in short sales.

fixed percentage applied to a notional principal amount.

The risk associated with purchasing options is limited to

In return, the party agrees to purchase the notional

the premium originally paid. The risk in writing a covered

amount of the underlying instrument, at par, if a credit

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

165

NOTES TO FINANCIAL STATEMENTS (continued)

event occurs during the term of the swap. A Fund may

average daily net assets, and 0.03% on the average daily

enter into credit default swaps in which that Fund or its

net assets over $750 million of each Fund.

counterparty acts as guarantor. By acting as the

Rydex Investments engages external service providers to

guarantor of a swap, that Fund assumes the market and

perform other necessary services to the Trust, such as

credit risk of the underlying instrument, including

accounting and auditing services, legal services, printing

liquidity and loss of value.

and mailing, etc., on a pass-through basis. Such

In conjunction with the use of short sales, options,

expenses vary from Fund to Fund and are allocated to

futures, options on futures, and swap agreements, the

the Funds based on relative net assets. Organizational

Funds are required to maintain collateral in various

and setup costs for new Funds are paid by the Trust.

forms. The Funds use, where appropriate, depending on

The Trust has adopted a Distribution and Shareholder

the financial instrument utilized and the broker involved,

Services Plan applicable to Advisor Class Shares and a

margin deposits at the broker, cash and/or securities

Distribution Plan applicable to A-Class Shares and H-

segregated at the custodian bank, discount notes, or the

Class Shares for which Rydex Distributors, Inc. (the

repurchase agreements allocated to each Fund.

“Distributor”), an affiliated entity, and other firms that

The risks inherent in the use of short sales, options,

provide distribution and/or shareholder services

futures contracts, options on futures contracts, structured

(“Service Providers”) may receive compensation. If a

notes, and swap agreements, include i) adverse changes

Service Provider provides distribution services, the Trust

in the value of such instruments; ii) imperfect correlation

will pay distribution fees to the Distributor at an annual

between the price of the instruments and movements in

rate not to exceed 0.25% of average daily net assets,

the price of the underlying securities, indices, or futures

pursuant to Rule 12b-1 of the 1940 Act. The Distributor,

contracts; iii) the possible absence of a liquid secondary

in turn, will pay the Service Provider out of its fees. The

market for any particular instrument at any time; and iv)

Distributor may, at its discretion, retain a portion of such

the potential of counterparty default. The Trust has

payments to compensate itself for distribution services.

established strict counterparty credit guidelines and

With regard to Advisor Class Shares only, if a Service

enters into transactions only with financial institutions of

Provider provides shareholders services, the Distributor

investment grade or better.

will receive shareholder servicing fees from the Trust at

3.

Fees And Other Transactions With Affiliates

an annual rate not to exceed 0.25% of average daily net

assets. The Distributor, in turn, will pay the Service

Under the terms of an investment advisory contract, the

Provider out of its fees.

Trust pays Rydex Investments investment advisory fees

calculated at an annualized rate of 0.50% of the average

The Trust has adopted a separate Distribution and

daily net assets of the Government Long Bond 1.2x

Shareholder Services Plan applicable to its C-Class

Strategy Fund and the U.S. Government Money Market

Shares that allows the Funds to pay annual distribution

Fund; 0.75% of the average daily net assets of the Nova

and service fees of 1.00% of the Funds’ C-Class Shares

Fund, S&P 500 Fund, High Yield Fund, Inverse High Yield

average daily net assets. The annual 0.25% service fee

Fund, OTC Fund, Russell 2000 Fund, Japan 2x Strategy

compensates the shareholder’s financial advisor for

Fund, Small-Cap Value Fund, Mid-Cap Value Fund,

providing on-going services to the shareholder. The

Large-Cap Value Fund, Small-Cap Growth Fund, Mid-

annual 0.75% distribution fee reimburses the Distributor

Cap Growth Fund, and the Large-Cap Growth Fund; and

for paying the shareholder’s financial advisor an ongoing

0.90% of the average daily net assets of the remaining

sales commission. The Distributor advances the first

Funds covered in this report.

year’s service and distribution fees to the Financial

Advisor. The Distributor retains the service and

Rydex Investments provides transfer agent and

distribution fees on accounts with no authorized dealer

administrative services to the Trust for fees calculated at

of record.

an annualized rate of 0.20% of the average daily net

assets of the Government Long Bond 1.2x Strategy Fund

During the year ended March 31, 2008, the Distributor

and the U.S. Government Money Market Fund; and

retained sales charges of $839,951 relating to sales of

0.25% of the average daily net assets for the remaining

A-Class Shares of the Trust.

Funds covered in this report.

Certain officers and trustees of the Trust are also officers

Rydex Investments also provides accounting services to

of Rydex Investments and the Distributor.

the Trust for fees calculated at an annualized rate of

0.10% on the first $250 million of the average daily net

assets, 0.075% on the next $250 million of the average

daily net assets, 0.05% on the next $250 million of the

166

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

4.

Federal Income Tax Information

The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated

investment companies and will distribute substantially all net investment income and capital gains to shareholders.

Therefore, no Federal income tax provision has been recorded.

Effective September 30, 2007, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48

“Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should

be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax

positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax

positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet

the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has

analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years for purposes of complying

with FIN 48, and has concluded that no provision for income tax was required in the Funds’ financial statements.

The Funds file U.S. federal income tax returns and returns in various foreign jurisdictions in which they invest. While the

statute of limitations remains open to examine the Funds’ U.S. federal income tax returns filed for the fiscal years 2004 to

2007, no examinations are in progress or anticipated at this time.

Income and capital gain distributions are determined in accordance with Federal income tax regulations, which may differ

from U.S. generally accepted accounting principles. These differences are primarily due to differing treatments for

derivatives, foreign currency transactions losses deferred due to wash sales, losses deferred due to post-October losses,

and excise tax regulations.

Permanent book and tax basis differences, if any, will result in reclassifications. This includes net operating losses not

utilized during the current period, and capital loss, carryforward expired, and the utilization of earnings and profits

distributed to the shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes.

These reclassifications have no effect on net assets or net asset values per share. Any undistributed ordinary income or

long-term capital gain remaining at fiscal year end is distributed in the following year.

The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the

statement of operations. During the period, the Funds did not incur any interest or penalties.

The Funds’ tax basis capital gains and losses are determined only at the end of each fiscal year. Tax basis capital losses in

excess of capital gains are carried forward to offset future net capital gains. For the year ended March 31, 2008, the

following Funds expired or offset net realized capital gains with capital losses from previous years:

Fund

Amount

Nova Fund

$

16,868,648

Inverse S&P 500 Strategy Fund

124,148,192

OTC Fund

44,101,889

Inverse OTC Strategy Fund

57,832,849

Russell 2000^® 1.5x Strategy Fund

1,315,982

Russell 2000^® Fund

288,233

Government Long Bond 1.2x Strategy Fund

2,049,621

Small-Cap Growth Fund

812,805

U.S. Government Money Market Fund

340,343

The tax character of distributions paid during the year ended March 31, 2008, was as follows:

Ordinary

Long-Term

Total

Fund

Income

Capital Gain

Distributions

Nova Fund

$

4,300,003

$

—

$

4,300,003

S&P 500 Fund

150,000

—

150,000

Inverse S&P 500 Strategy Fund

12,400,002

—

12,400,002

OTC Fund

—

—

—

Inverse OTC Strategy Fund

3,149,998

—

3,149,998

Mid-Cap 1.5x Strategy Fund

653,518

1,231,995

1,885,513

Inverse Mid-Cap Strategy Fund

419,827

—

419,827

Russell 2000^® 1.5x Strategy Fund

105,309

—

105,309

Russell 2000^® Fund

34,161

—

34,161

Inverse Russell 2000^® Strategy Fund

2,250,001

—

2,250,001

Government Long Bond 1.2x Strategy Fund

2,568,216

—

2,568,216

Inverse Government Long Bond Strategy Fund

15,800,011

—

15,800,011

High Yield Strategy Fund

350,000

—

350,000

Inverse High Yield Strategy Fund

—

—

—

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

167

NOTES TO FINANCIAL STATEMENTS (continued)

Ordinary

Long-Term

Total

Fund

Income

Capital Gain

Distributions

Europe 1.25x Strategy Fund

$

2,999,004

$

—

$

2,999,004

Japan 2x Strategy Fund

—

—

—

Small-Cap Value Fund

54,563

—

54,563

Mid-Cap Value Fund

276,950

—

276,950

Large-Cap Value Fund

4,835,622

—

4,835,622

Small-Cap Growth Fund

418,525

233,443

651,968

Mid-Cap Growth Fund

840,286

227,226

1,067,512

Large-Cap Growth Fund

611,183

221,395

832,578

U.S. Government Money Market Fund

43,732,401

—

43,732,401

The tax character of distributions paid during the year ended March 31, 2007, was as follows:

Ordinary

Long-Term

Total

Fund

Income

Capital Gain

Distributions

Nova Fund

$17,778,125

$

—

$17,778,125

S&P 500 Fund

397,005

—

397,005

Inverse S&P 500 Strategy Fund

10,262,050

—

10,262,050

OTC Fund

—

—

—

Inverse OTC Strategy Fund

3,292,303

—

3,292,303

Mid-Cap 1.5x Strategy Fund

—

2,016,817

2,016,817

Inverse Mid-Cap Strategy Fund

1,100,000

—

1,100,000

Russell 2000^® 1.5x Strategy Fund

—

4,525,261

4,525,261

Russell 2000^® Fund

85,000

—

85,000

Inverse Russell 2000^® Strategy Fund

3,900,000

—

3,900,000

Government Long Bond 1.2x Strategy Fund

4,146,707

—

4,146,707

Inverse Government Long Bond Strategy Fund

24,763,274

—

24,763,274

Europe 1.25x Strategy Fund

642,597

—

642,597

Small-Cap Value Fund

—

23,412

23,412

Mid-Cap Value Fund

—

295,554

295,554

Large-Cap Value Fund

1,731,163

314,998

2,046,161

Small-Cap Growth Fund

—

—

—

Mid-Cap Growth Fund

1,170,224

730,451

1,900,675

Large-Cap Growth Fund

—

—

—

U.S. Government Money Market Fund

53,412,553

—

53,412,553

The tax character of distributable earnings/(accumulated losses) at March 31, 2008, was as follows:

Undistributed

Undistributed

Net Unrealized

Ordinary

Long-Term

Appreciation/

Capital Loss

Fund

Income

Capital Gain

(Depreciation)

Carryforward

Nova Fund

$

432,002

$

—

$

11,414,696

$(144,957,842)¹

S&P 500 Fund

2,559

—

(1,609,618)

—

Inverse S&P 500 Strategy Fund

3,989,079

—

(901,991)

(285,555,122)¹

OTC Fund

—

—

111,508,251

(592,617,149)¹

Inverse OTC Strategy Fund

695,607

—

(1,437,199)

(124,584,333)¹

Mid-Cap 1.5x Strategy Fund

—

1,334,271

(1,226,394)

—

Inverse Mid-Cap Strategy Fund

25,629

—

1,158,618

(5,932,423)¹

Russell 2000^® 1.5x Strategy Fund

—

—

(1,720,337)

(101,313)¹

Russell 2000^® Fund

—

—

(202,561)

—

Inverse Russell 2000^® Strategy Fund

143,279

—

1,596,302

(31,599,002)¹

Government Long Bond 1.2x Strategy Fund

192,660

—

2,876,258

(5,494,008)¹

Inverse Government Long Bond Strategy Fund

—

—

(22,761,090)

(231,134,586)¹

High Yield Strategy Fund

384,040

—

(612,173)

(270,230)¹

Inverse High Yield Strategy Fund

—

—

659,497

(292,718)¹

Europe 1.25x Strategy Fund

—

—

975,383

—

Japan 2x Strategy Fund

1,752

—

54,558

(108,129)¹

Small-Cap Value Fund

92,190

—

(6,514,229)

(2,493,199)¹

Mid-Cap Value Fund

—

—

(2,550,892)

—

Large-Cap Value Fund

2,504,590

—

(3,981,170)

—

Small-Cap Growth Fund

—

—

(1,247,210)

—

Mid-Cap Growth Fund

—

—

(4,699,486)

—

Large-Cap Growth Fund

—

—

(3,080,003)

—

U.S. Government Money Market Fund

21,570

—

—

(131,017)¹

Capital Loss Carryforward amounts may be limited due to Treasury Regulations.

168

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

¹ A summary of the expiration of the afore mentioned Capital Loss Carryforward is as follows:

Total

Expires in

Expires in

Expires in

Expires in

Expires in

Expires in

Expires in

Expires in

Capital Loss

Fund

2009

2010

2011

2012

2013

2014

2015

2016

Carryforward

Nova Fund

$(37,911,293) $

(41,531,696)

$

(65,514,853) $

—

$

—

$

—

$

—

$

—

$(144,957,842)

Inverse S&P 500

Strategy Fund

—

—

—

(122,425,227)

(65,527,919)

(37,877,636)

(59,724,340)

—

(285,555,122)

OTC Fund

—

(184,833,850)

(302,251,932)

(60,857,728)

(44,673,639)

—

—

—

(592,617,149)

Inverse OTC Strategy

Fund

(60,215,201)

—

—

(19,380,747)

(3,723,075)

(17,351,209)

(15,380,081)

(8,534,020)

(124,584,333)

Inverse Mid-Cap

Strategy Fund

—

—

—

(102,676)

(784,220)

(162,059)

(4,032,668)

(850,800)

(5,932,423)

Russell 2000^® 1.5x

Strategy Fund

—

—

—

—

—

—

(101,313)

—

(101,313)

Inverse Russell 2000^®

Strategy Fund

—

—

—

(670,630)

(4,906,490)

(4,222,250)

(14,340,292)

(7,459,340)

(31,599,002)

Government Long Bond

1.2x Strategy Fund

—

(378,399)

(1,693,557)

(1,342,927)

—

—

—

(2,079,125)

(5,494,008)

Inverse Government

Long Bond Strategy

Fund

(1,582,486)

(3,660,853)

—

(16,998,940)

(63,759,468)

(82,212,943)

(60,731,802)

(2,188,094)

(231,134,586)

High Yield Strategy Fund

—

—

—

—

—

—

—

(270,230)

(270,230)

Inverse High Yield

StrategyFund

—

—

—

—

—

—

—

(292,718)

(292,718)

Japan 2x Strategy Fund

—

—

—

—

—

—

—

(108,129)

(108,129)

Small-Cap Value Fund

—

—

—

—

—

—

—

(2,493,199)

(2,493,199)

U.S. Government

Money Market Fund

(124,003)

—

—

—

—

(3,736)

(3,278)

—

(131,017)

At March 31, 2008, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all

securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for

which there was an excess of tax cost over value, were as follows:

Tax

Tax

Net

Tax

Unrealized

Unrealized

Unrealized

Fund

Cost

Gain

Loss

Gain (Loss)

Nova Fund

$

132,245,288

$

17,247,247

$

(5,989,514)

$

11,257,733

S&P 500 Fund

96,070,413

—

(1,611,790)

(1,611,790)

Inverse S&P 500 Strategy Fund

261,915,047

—

—

—

OTC Fund

737,213,703

143,705,092

(32,323,191)

111,381,901

Inverse OTC Strategy Fund

73,051,947

—

(338,853)

(338,853)

Mid-Cap 1.5x Strategy Fund

27,753,400

641,195

(1,847,753)

(1,206,558)

Inverse Mid-Cap Strategy Fund

46,203,383

—

—

—

Russell 2000^® 1.5x Strategy Fund

37,516,358

1,284,595

(2,913,826)

(1,629,231)

Russell 2000^® Fund

6,459,007

—

(215,047)

(215,047)

Inverse Russell 2000^® Strategy Fund

49,800,454

—

(32,946)

(32,946)

Government Long Bond 1.2x Strategy Fund

78,006,664

2,876,258

—

2,876,258

Inverse Government Long Bond Strategy Fund

810,869,745

—

(9,037,544)

(9,037,544)

High Yield Strategy Fund

79,076,693

—

—

—

Inverse High Yield Strategy Fund

9,962,370

—

—

—

Europe 1.25x Strategy Fund

31,447,830

1,513,721

(254,964)

1,258,757

Japan 2x Strategy Fund

5,760,593

—

—

—

Small-Cap Value Fund

89,854,152

—

(6,514,229)

(6,514,229)

Mid-Cap Value Fund

17,435,797

—

(2,550,892)

(2,550,892)

Large-Cap Value Fund

40,674,309

—

(3,981,170)

(3,981,170)

Small-Cap Growth Fund

14,726,790

—

(1,247,210)

(1,247,210)

Mid-Cap Growth Fund

33,864,106

—

(4,699,486)

(4,699,486)

Large-Cap Growth Fund

32,160,774

—

(3,080,003)

(3,080,003)

U.S. Government Money Market Fund

1,422,869,681

—

—

—

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

169

NOTES TO FINANCIAL STATEMENTS (continued)

Pursuant to Federal income tax regulations applicable to investment companies, the Funds have elected to treat net capital

losses realized between November 1 and March 31 of each year as occurring on the first day of the following tax year. For

the year ended March 31, 2008, the following amounts of realized capital and currency losses reflected in the

accompanying financial statements will not be recognized for Federal income tax purposes until April 1, 2008:

Fund

Currency

Capital

Nova Fund

$

—

$(24,224,343)

S&P 500 Fund

—

(1,696,799)

OTC Fund

—

(10,900,315)

Mid-Cap 1.5x Strategy Fund

—

(7,517,119)

Russell 2000^® 1.5x Strategy Fund

—

(7,645,413)

Russell 2000^® Fund

—

(423,191)

Inverse Government Long Bond Strategy Fund

—

(23,533,207)

High Yield Strategy Fund

—

(2,402,069)

Inverse High Yield Strategy Fund

—

(313,976)

Europe 1.25x Strategy Fund

(2,603,625)

(3,457,902)

Small-Cap Value Fund

—

(401,452)

Small-Cap Growth Fund

—

(2,754,371)

Mid-Cap Growth Fund

—

(748,175)

Large-Cap Growth Fund

—

(3,555,753)

5.

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 obligations of the U.S. Treasury and U.S. Government Agencies. The

collateral is in the possession of the Trust’s custodian and is evaluated daily to ensure that its market value exceeds by, at a

minimum, 102% of the delivery value of the repurchase agreement at maturity. Each Fund holds a pro rata share of the

collateral based on the dollar amount of the repurchase agreement entered into by each Fund.

The repurchase agreements executed by the joint account and outstanding as of March 31, 2008, were as follows:

Counterparty

Terms of Agreement

Face Value

Market Value

Repurchase Price

Mizuho Financial Group, Inc.

1.30% due 04/01/08

$600,000,000

$

600,000,000

$

600,021,667

Lehman Brothers Holdings, Inc.

1.15% due 04/01/08

361,415,602

361,415,602

361,427,148

Morgan Stanley

1.35% due 04/01/08

125,000,000

125,000,000

125,004,688

$1,086,415,602

$1,086,453,503

As of March 31, 2008, the collateral for the repurchase agreements in the joint account was as follows:

Security Type

Maturity Dates

Range of Rates

Par Value

Market Value

U.S. Treasury Notes

11/15/08 - 04/30/09

4.500% - 4.750%

$391,051,000

$

406,869,782

U.S. Treasury Bonds

08/15/19 - 08/15/23

6.250% - 8.125%

208,494,000

262,781,309

U.S. TIP Notes

04/15/11 - 01/15/18

1.625% - 2.625%

211,151,000

243,027,372

U.S. TIP Bonds

01/15/25 - 04/15/29

1.750% - 3.875%

172,432,000

179,310,625

U.S. Treasury Bills

04/03/08 - 09/25/08

—

16,097,000

16,047,993

$1,108,037,081

In the event of counterparty default, the Trust has the right to collect the collateral to offset losses incurred. There is

potential loss to the Trust in the event the Trust is delayed or prevented from exercising its rights to dispose of the

collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while

the Trust seeks to assert its rights. The Trust’s investment advisor, acting under the supervision of the Board of Trustees,

reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Trust enters into

repurchase agreements to evaluate potential risks.

170

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

NOTES TO FINANCIAL STATEMENTS (continued)

6.

Securities Transactions

During the year ended March 31, 2008, the cost of purchases and proceeds from sales of investment securities, excluding

short-term and temporary cash investments, were:

Inverse

Inverse

Nova

S&P 500

S&P 500

OTC

Inverse OTC

Mid-Cap 1.5x

Mid-Cap

Fund

Fund

Strategy Fund

Fund

Strategy Fund

Strategy Fund

Strategy Fund

Purchases

$179,078,362

$ 105,678,343

$

—

$391,823,417

$

—

$

75,908,034

$

—

Sales

$220,271,402

$

60,164,947

$

—

$391,261,160

$

—

$

91,441,482

$

—

Inverse

Government

Inverse

Russell

Russell 2000^®

Long Bond

Government

Inverse

2000^® 1.5x

Russell 2000^®

Strategy

1.2x Strategy

Long Bond

High Yield

High Yield

Strategy Fund

Fund

Fund

Fund

Strategy Fund

Strategy Fund

Strategy Fund

Purchases

$

85,091,953

$

19,577,688

$

—

$857,607,074

$1,556,542,088

$

—

$

—

Sales

$102,021,122

$

21,671,705

$

—

$866,499,788

$1,247,874,586

$

—

$

—

Small-Cap

Mid-Cap

Large-Cap

Small-Cap

Mid-Cap

Europe 1.25x

Japan 2x

Value

Value

Value

Growth

Growth

Strategy Fund

Strategy Fund

Fund

Fund

Fund

Fund

Fund

Purchases

$137,940,986

$

—

$160,226,791

$

90,704,859

$228,165,575

$169,117,346

$ 231,365,357

Sales

$150,067,942

$

—

$101,031,888

$167,510,665

$416,006,222

$184,970,805

$ 222,849,158

Large-Cap

U.S. Government

Growth

Money Market

Fund

Fund

Purchases

$264,038,496

$

—

Sales

$291,269,320

$

—

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

171

NOTES TO FINANCIAL STATEMENTS (continued)

7.

Share Transactions

The Trust is authorized to issue an unlimited number of shares (no par value). Transactions in shares for the years presented were:

Shares Purchased

Purchased through Dividend Reinvestment

Shares Redeemed

Net Shares Purchased (Redeemed)

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007

2008

2007

2008

2007

Nova Fund

Investor Class

10,763,436

11,867,719

75,348

298,415

(11,641,404)

(13,343,942)

(802,620)

(1,177,808)

Advisor Class

2,287,134

6,705,280

16,569

138,958

(2,764,194)

(7,084,947)

(460,491)

(240,709)

A-Class

486,941

621,498

7,031

24,462

(547,325)

(1,172,693)

(53,353)

(526,733)

C-Class

1,227,847

2,110,539

27,492

98,808

(1,509,363)

(2,554,688)

(254,024)

(345,341)

S&P 500 Fund

A-Class

717,124

169,249*

124

959*

(701,805)

(94,678)*

15,443

75,530*

C-Class

3,802,327

944,164*

787

557*

(3,568,990)

(872,137)*

234,124

72,584*

H-Class

8,954,070

3,546,100*

4,221

13,010*

(6,143,418)

(3,325,681)*

2,814,873

233,429*

Inverse S&P 500 Strategy Fund

Investor Class

11,985,693

20,065,776†

259,306

186,994†

(45,382,295)

(20,691,053)†

(33,137,296)

(438,283)†

Advisor Class

1,435,780

3,179,955†

13,737

17,354†

(4,310,762)

(3,741,419)†

(2,861,245)

(544,110)†

A-Class

724,012

732,639†

10,606

9,997†

(2,065,981)

(658,574)†

(1,331,363)

84,062†

C-Class

3,180,263

1,822,508†

34,413

35,280†

(8,351,679)

(1,679,518)†

(5,137,003)

178,270†

OTC Fund

Investor Class

42,755,463

61,435,597

—

—

(44,366,095)

(86,227,327)

(1,610,632)

(24,791,730)

Advisor Class

11,133,034

20,016,807

—

—

(10,611,159)

(21,740,573)

521,875

(1,723,766)

A-Class

1,224,853

635,953

—

—

(1,016,650)

(538,711)

208,203

97,242

C-Class

7,582,203

5,697,342

—

—

(7,547,831)

(6,530,411)

34,372

(833,069)

Inverse OTC Strategy Fund

Investor Class

13,266,797

26,146,510

121,160

108,463

(15,402,931)

(28,021,658)

(2,014,974)

(1,766,685)

Advisor Class

584,179

2,935,947

4,466

5,689

(945,671)

(2,887,360)

(357,026)

54,276

A-Class

486,070

872,478

8,211

3,314

(599,900)

(782,660)

(105,619)

93,132

C-Class

2,065,870

2,532,572

20,816

19,664

(2,577,766)

(2,328,082)

(491,080)

224,154

Mid-Cap 1.5x Strategy Fund

A-Class

114,194

186,349

2,239

3,369

(135,455)

(245,458)

(19,022)

(55,740)

C-Class

499,616

1,400,225

15,201

16,998

(671,558)

(1,730,574)

(156,741)

(313,351)

H-Class

8,197,410

10,384,583

27,478

26,915

(8,461,182)

(11,078,701)

(236,294)

(667,203)

Inverse Mid-Cap Strategy Fund

A-Class

42,249

90,536

323

521

(32,269)

(81,271)

10,303

9,786

C-Class

603,381

631,150

366

2,240

(586,835)

(640,536)

16,912

(7,146)

H-Class

2,884,473

5,765,039

11,489

20,584

(2,097,722)

(5,824,624)

798,240

(39,001)

Russell 2000^® 1.5x Strategy Fund

A-Class

155,573

179,447

312

5,553

(163,625)

(206,373)

(7,740)

(21,373)

C-Class

794,721

1,350,907

1,065

28,754

(956,120)

(1,707,583)

(160,334)

(327,922)

H-Class

6,640,565

24,468,124

1,424

81,017

(7,309,867)

(27,971,122)

(667,878)

(3,421,981)

Russell 2000^® Fund

A-Class

253,665

22,932*

114

71*

(225,169)

(13,054)*

28,610

9,949*

C-Class

441,630

299,998*

182

1,018*

(439,576)

(274,136)*

2,236

26,880*

H-Class

4,122,727

3,939,894*

924

2,011*

(4,419,348)

(3,462,667)*

(295,697)

479,238*

* Since the inception date: May 31, 2006.

† Share amounts have been restated to reflect a 1:5 reverse stock split effective April 23, 2007.

NOTES TO FINANCIAL STATEMENTS (continued)

Shares Purchased

Purchased through Dividend Reinvestment

Shares Redeemed

Net Shares Purchased (Redeemed)

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007

2008

2007

2008

2007

Inverse Russell 2000^® Strategy Fund

A-Class

430,239

907,994

7,114

10,595

(545,832)

(664,420)

(108,479)

254,169

C-Class

847,999

1,206,358

7,889

10,209

(940,973)

(1,056,082)

(85,085)

160,485

H-Class

6,274,357

18,043,046

42,668

61,859

(6,618,998)

(18,125,293)

(301,973)

(20,388)

Government Long Bond 1.2x Strategy Fund

Investor Class

76,783,346

70,058,550

119,095

218,614

(78,150,310)

(69,587,173)

(1,247,869)

689,991

Advisor Class

16,143,329

120,029,145

37,347

98,627

(15,059,265)

(121,120,268)

1,121,411

(992,496)

A-Class

2,480,041

2,092,952

33,796

13,767

(1,867,065)

(1,168,676)

646,772

938,043

C-Class

7,398,417

5,129,040

20,651

23,827

(8,365,974)

(4,370,375)

(946,906)

782,492

Inverse Government Long Bond Strategy Fund

Investor Class

55,942,835

34,656,623

335,286

495,718

(58,292,241)

(58,032,323)

(2,014,120)

(22,879,982)

Advisor Class

8,604,796

5,972,176

50,624

68,265

(9,441,570)

(8,861,966)

(786,150)

(2,821,525)

A-Class

1,523,588

1,608,844

60,408

109,000

(2,969,787)

(4,471,284)

(1,385,791)

(2,753,440)

C-Class

3,335,250

2,591,290

279,343

431,313

(7,328,114)

(19,779,050)

(3,713,521)

(16,756,447)

High Yield Strategy Fund*

A-Class

1,930,328

—

3,634

—

(1,500,841)

—

433,121

—

C-Class

170,873

—

119

—

(129,479)

—

41,513

—

H-Class

11,912,677

—

9,814

—

(9,274,669)

—

2,647,822

—

Inverse High Yield Strategy Fund*

A-Class

350,188

—

—

—

(317,552)

—

32,636

—

C-Class

117,922

—

—

—

(60,000)

—

57,922

—

H-Class

3,107,955

—

—

—

(2,980,758)

—

127,197

—

Europe 1.25x Strategy Fund

A-Class

481,557

762,570

3,796

2,118

(858,069)

(381,986)

(372,716)

382,702

C-Class

6,793,370

4,819,796

21,736

2,462

(6,937,333)

(4,859,292)

(122,227)

(37,034)

H-Class

16,294,141

30,427,446

83,104

22,736

(17,801,896)

(30,348,473)

(1,424,651)

101,709

Japan 2x Strategy Fund**

A-Class

27,605

—

—

—

(2,298)

—

25,307

—

C-Class

44,347

—

—

—

(34,802)

—

9,545

—

H-Class

528,213

—

—

—

(319,523)

—

208,690

—

Small-Cap Value Fund

A-Class

177,319

284,035

644

52

(177,608)

(183,571)

355

100,516

C-Class

1,259,064

4,333,852

258

253

(778,563)

(4,840,427)

480,759

(506,322)

H-Class

4,777,161

8,631,833

999

366

(3,129,747)

(11,406,222)

1,648,413

(2,774,023)

* Since the inception date: April 16, 2007.

** Since the inception date: February 22, 2008.

NOTES TO FINANCIAL STATEMENTS (continued)

Shares Purchased

Purchased through Dividend Reinvestment

Shares Redeemed

Net Shares Purchased (Redeemed)

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

Year Ended

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

March 31,

2008

2007

2008

2007

2008

2007

2008

2007

Mid-Cap Value Fund

A-Class

174,959

245,850

2,215

212

(212,737)

(162,888)

(35,563)

83,174

C-Class

845,951

488,648

1,257

888

(1,042,478)

(488,650)

(195,270)

886

H-Class

2,664,509

11,102,812

4,679

7,273

(4,541,599)

(10,003,491)

(1,872,411)

1,106,594

Large-Cap Value Fund

A-Class

279,929

285,031

42,908

562

(269,266)

(150,248)

53,571

135,345

C-Class

2,025,443

7,914,068

64,737

1,653

(2,639,246)

(7,422,419)

(549,066)

493,302

H-Class

9,372,167

26,008,242

96,773

60,827

(14,047,706)

(22,491,073)

(4,578,766)

3,577,996

Small-Cap Growth Fund

A-Class

262,368

127,341

3,278

—

(238,178)

(113,401)

27,468

13,940

C-Class

2,189,483

1,971,684

10,842

—

(2,363,032)

(1,922,367)

(162,707)

49,317

H-Class

3,527,056

6,020,424

7,158

—

(3,863,333)

(7,740,354)

(329,119)

(1,719,930)

Mid-Cap Growth Fund

A-Class

250,895

269,187

7,273

3,352

(203,641)

(230,040)

54,527

42,499

C-Class

1,561,001

646,301

5,107

3,108

(1,687,976)

(577,261)

(121,868)

72,148

H-Class

7,525,765

5,358,319

23,635

56,388

(7,269,598)

(6,693,913)

279,802

(1,279,206)

Large-Cap Growth Fund

A-Class

277,830

202,640

2,193

—

(161,710)

(139,178)

118,313

63,462

C-Class

4,408,801

6,304,099

7,740

—

(4,374,533)

(6,367,140)

42,008

(63,041)

H-Class

7,048,426

11,081,000

19,766

—

(8,400,012)

(10,509,352)

(1,331,820)

571,648

U.S. Government Money Market Fund

Investor Class

16,744,764,573

17,412,386,340

34,409,275

41,147,937

(16,782,939,166)

(17,446,274,948)

(3,765,318)

7,259,329

Advisor Class

3,541,832,288

3,589,122,862

5,026,273

6,747,367

(3,591,814,815)

(3,543,630,372)

(44,956,254)

52,239,857

A-Class

86,075,767

74,982,888

611,010

557,808

(84,291,559)

(71,085,774)

2,395,218

4,454,922

C-Class

1,349,987,737

1,456,374,459

3,040,004

3,708,601

(1,352,007,026)

(1,470,712,897)

1,020,715

(10,629,837)

NOTES TO FINANCIAL STATEMENTS (continued)

8.

Portfolio Securities Loaned

The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the

statement of operations is shown net of rebates paid to borrowers and earnings on cash collateral investments shared with

the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the agent, and other approved

registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 100% of the value of the

securities on loan, which is initially held in a segregated account at U.S. Bank. Under the terms of the Funds’ securities

lending agreement with U.S. Bank, cash collateral may be invested by U.S. Bank in certain high quality, liquid investments.

At March 31, 2008, the cash collateral investments consisted of a money market mutual fund and repurchase agreement.

The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an

amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional

collateral required due to changes in security values is delivered to the Fund the next business day. Although the collateral

mitigates risk, the Funds could experience a delay in recovering its securities and a possible loss of income or value if the

borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the

securities from the borrower on demand.

The following represents a breakdown of the collateral, its rates, and maturities:

MUTUAL FUND 70.54%

Issuer

Shares

Market Value

Mount Vernon Securities Lending Trust

304,320,943

$304,320,943

REPURCHASE AGREEMENT 29.46%

Counterparty

Terms of Agreement

Face Value

Market Value

Repurchase Price

Morgan Stanley

2.90% due 04/01/08

$127,125,000

$127,125,000

$127,135,241

TOTAL COLLATERAL 100.00%

$431,445,943

As of March 31, 2008, the collateral for the repurchase agreements in the joint account was as follows:

Range of Rates

Security Type

Current Par Value

Market Value

Maturity Dates

2.919%

-6.000%

Government Collateralized

Mortgage Obligations

$132,880,918

$130,220,513

11/20/28 - 03/25/37

$130,220,513

At March 31, 2008, the following Funds participated in securities lending and received cash collateral:

Fund

Cash Collateral

Value of Securities Loaned

Nova Fund

$

26,417,952

$

25,778,699

S&P 500 Fund

8,443,950

8,236,571

OTC Fund

196,292,630

190,053,154

Mid-Cap 1.5x Strategy Fund

5,432,081

5,281,190

Russell 2000^® 1.5x Strategy Fund

8,604,404

8,283,783

Russell 2000^® Fund

548,245

529,307

Europe 1.25x Strategy Fund

7,037,195

6,876,357

Small-Cap Value Fund

14,998,127

14,244,584

Mid-Cap Value Fund

4,478,402

4,307,818

Large-Cap Value Fund

12,085,740

11,515,211

Small-Cap Growth Fund

3,309,302

3,192,684

Mid-Cap Growth Fund

9,573,016

9,335,045

Large-Cap Growth Fund

7,099,899

6,924,081

U.S. Government Money Market Fund

127,125,000

124,612,500

9.

New Accounting Pronouncements

On September 15, 2006, the FASB released Statement of Financial Accounting Standard No. 157 (“FAS 157”) Fair Value

Measurement which provided enhanced guidance for using fair value to measure assets and liabilities. The standard

requires companies to provide expanded information about the assets and liabilities measured at fair value and the

potential effect of these fair valuations on an entity’s financial performance. The standard does not expand the use of fair

value in any new circumstances, but provides clarification on acceptable fair valuation methods and applications. Adoption

of FAS 157 is required for fiscal years beginning after November 15, 2007. The Funds are currently assessing the impact of

the standard on the Funds’ financial statements.

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

175

NOTES TO FINANCIAL STATEMENTS (concluded)

In March 2008, the FASB issued FAS No. 161, “Disclosures about Derivative Instruments and Hedging Activities.” The new

requirement is intended to improve disclosures around an entity’s derivatives activity and help investors understand how

entities use derivatives, how they are accounted for and how they affect the financial position and operations of that entity.

FAS 161 is effective for fiscal years and interim periods beginning after November 15, 2008.

10.

Dissolution of Master-Feeder Structure

Prior to April 1, 2007, the Nova Fund, Inverse S&P 500 Strategy Fund, Inverse OTC Strategy Fund, and Inverse

Government Long Bond Strategy Fund operated under a “master-feeder” structure, whereby each Fund invested

substantially all of its assets in a corresponding investment company (“Master Portfolio”) having the same investment

objectives as the Fund. At March 31, 2007, each Fund owned 100% of its respective Master Portfolio.

Effective April 1, 2007, each Fund ceased operations under the master-feeder structure. Accordingly, the net assets of each

Master-Portfolio, including the portfolio of investments, were transferred to the respective Funds under a tax-free

liquidation. There was no change in the aggregate net assets, outstanding shares, or NAV of the Funds as a result of these

transactions.

11.   Acquisition of Rydex Investments and the Distributor

At the close of business on January 17, 2008, Rydex NV, Inc., comprised of Rydex Investments, together with several other

Rydex entities, was acquired by Security Benefit Corporation (“Security Benefit”), a financial services firm that provides a

broad variety of financial programs to investors in the advisor, banking, education, government, institutional, and qualified

plan markets (the “Transaction”). As a result of the Transaction’s completion, Rydex Investments and the Distributor are

wholly-owned subsidiaries of Security Benefit. While the Transaction has no material impact on the Funds or their

shareholders, it resulted in a change of control of Rydex Investments, which in turn caused the termination of the

investment advisory agreement between Rydex Investments and the Funds.

A new investment advisory agreement between Rydex Investments and the Funds was approved under substantially the

same terms as the previous investment advisory agreement (the “New Agreement”). This New Agreement was approved

by shareholders, via proxy, and took effect upon the closing of the Transaction.

The Transaction had no impact on the day-to-day operations of Rydex Investments, the fees payable to Rydex Investments

under the New Agreement, or the persons responsible for the management of the Funds.

12.   NASDAQ Name Change

Effective April 1, 2008, the OTC Fund and the Inverse OTC Strategy Fund changed their Fund names to NASDAQ-100^®

Fund and Inverse NASDAQ-100^® Strategy Fund, respectively. The name change will have no impact on the Funds’

investment objectives, tickers and CUSIPS.

176

|

THE RYDEX SERIES FUNDS ANNUAL REPORT

REPORT OF INDEPENDENT REGISTERED PUBLIC

ACCOUNTING FIRM

To the Board of Trustees and Shareholders

of the Rydex Series Funds:

We have audited the accompanying statements of assets and liabilities of Nova Fund, S&P 500 Fund, Inverse S&P 500

Strategy Fund, OTC Fund, Inverse OTC Strategy Fund, Mid-Cap 1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund,

Russell 2000^® 1.5x Strategy Fund, Russell 2000^® Fund, Inverse Russell 2000^® Strategy Fund, Government Long Bond 1.2x

Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund, Inverse High Yield Strategy Fund,

Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Small-Cap Value Fund, Mid-Cap Value Fund, Large-Cap Value Fund,

Small-Cap Growth Fund, Mid-Cap Growth Fund, Large-Cap Growth Fund, and U.S. Government Money Market Fund (23

of the series constituting the Rydex Series Funds) (the “Funds”), including the schedules of investments, as of March 31,

2008, and the related statements of operations for the period then ended, statements of changes in net assets, and

financial highlights for each of the periods presented in the two years then ended. These financial statements and financial

highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial

statements and financial highlights based on our audits. The financial highlights for each of the periods presented through

March 31, 2006 were audited by other auditors, whose report dated May 18, 2006 expressed an unqualified opinion on

those financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United

States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the

financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit

of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial

reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of

expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express

no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the

financial statements and financial highlights, assessing the accounting principles used and significant estimates made by

management, and evaluating the overall financial statement presentation. Our procedures included confirmation of

securities owned as of March 31, 2008, by correspondence with the custodian and brokers or by other appropriate auditing

procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our

opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the

financial position of each of the Funds at March 31, 2008, and the results of their operations for the period then ended, the

changes in their net assets and their financial highlights for each of the periods presented in the two years then ended, in

conformity with U.S. generally accepted accounting principles.

McLean, Virginia

May 29, 2008

THE RYDEX SERIES FUNDS ANNUAL REPORT

|

177

OTHER INFORMATION (Unaudited)

Tax Information

This information is being provided for the year ended March 31, 2008, as required by the Internal Revenue Code. Amounts

shown may differ from those elsewhere in the report because of differences in tax and financial reporting practice.

Of the ordinary income distributions paid during the year, the following Funds had the corresponding percentages qualify

for the dividends received deduction for corporations:

Fund

% Qualifying

Nova Fund

85.68%

S&P 500 Fund

57.76%

Mid-Cap 1.5x Strategy Fund

51.79%

Russell 2000^® Fund

23.48%

Small-Cap Value Fund

100.00%

Mid-Cap Value Fund

54.47%

Large-Cap Value Fund

29.79%

Small-Cap Growth Fund

36.49%

Mid-Cap Growth Fund

11.68%

Large-Cap Growth Fund

66.55%

Additionally, the following amounts of ordinary dividends paid during the same period qualified for the lower income tax

rate available to individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003, respectively. This information

was included in Form 1099-DIV sent to shareholders for the calendar year ended on December 31, 2007. Information for

2008 will be sent to shareholders in January of 2009.

Fund

% Qualifying

Nova Fund

32.15%

S&P 500 Fund

100.00%

Mid-Cap 1.5x Strategy Fund

42.42%

Russell 2000^® Fund

26.28%

Europe 1.25x Strategy Fund

53.22%

Small-Cap Value Fund

100.00%

Large-Cap Value Fund

66.31%

Small-Cap Growth Fund

3.61%

Mid-Cap Growth Fund

14.12%

Large-Cap Growth Fund

66.55%

The Funds’ distributions to shareholders included:

Russell

Europe

S&P 500

Mid-Cap 1.5x

2000^® 2x

1.25x

Strategy

Strategy

Strategy

Strategy

Fund

Fund

Fund

Fund

From short-term capital gains:

$

—

$

468,590

$

—

$2,254,068

From long-term capital gains,

subject to the 15% rate gains category:

—

1,231,995

—

—

From long-term capital gains, using

proceeds from shareholder redemptions:

159,075

—

60,826

1,295,025

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THE RYDEX SERIES FUNDS ANNUAL REPORT

OTHER INFORMATION (Unaudited) (continued)

Mid-Cap

Large-Cap

Small-Cap

Mid-Cap

Value

Value

Growth

Growth

Fund

Fund

Fund

Fund

From short-term capital gains:

$

—

$

3,611,204

$418,525

$840,286

From long-term capital gains,

subject to the 15% rate gains category:

—

—

233,443

227,226

From long-term capital gains, using

proceeds from shareholder redemptions:

561,805

13,126,273

—

135,068

Large-Cap

Growth

Fund

From short-term capital gains:

$611,183

From long-term capital gains,

subject to the 15% rate gains category:

221,395

From long-term capital gains, using

proceeds from shareholder redemptions:

—

Proxy Voting Information

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held

in the Funds’ portfolios is available, without charge and upon request, by calling 1-800-820-0888. This information is also

available from the EDGAR database on the SEC’s website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period

ended June 30 is available without charge, upon request, by calling 1-800-820-0888. This information is also available from

the EDGAR database on the SEC’s website at http://www.sec.gov.

Proxy Results

At a special meeting of shareholders initially held on October 4, 2007, the shareholders of the Funds voted on whether to

approve a new investment advisory agreement between Rydex Series Funds and Padco Advisors, Inc. A description of the

number of shares voted is as follows:

Shares

Shares

Shares

Fund

For

Against

Abstained

Nova Fund

3,163,062.486

101,003.162

229,935.976

S&P 500 Fund

295,815.501

8,647.274

22,972.870

Inverse S&P 500 Strategy Fund

4,806,168.989

229,251.628

214,166.365

OTC Fund

27,570,410.841

878,257.366

1,964,603.661

Inverse OTC Strategy Fund

2,734,357.011

142,494.639

183,318.773

Mid-Cap 1.5x Strategy Fund

476,155.945

22,054.710

44,006.975

Inverse Mid-Cap Strategy Fund

125,396.002

14,810.624

6,431.270

Russell 2000^® 1.5x Strategy Fund

702,980.735

29,023.906

43,417.641

Russell 2000^® Fund

92,655.785

24,114.549

1,004.000

Inverse Russell 2000^® Strategy Fund

1,308,672.871

60,089.793

91,630.306

Government Long Bond 1.2x Strategy Fund

4,751,179.578

49,721.186

199,783.120

Inverse Government Long Bond Strategy Fund

12,909,255.313

683,709.715

795,843.129

High Yield Strategy Fund

74,210.980

0.000

388.000

Inverse High Yield Strategy Fund

222,238.550

2,232.852

8,164.075

Europe 1.25x Strategy Fund

1,788,987.588

28,514.769

66,212.218

Small-Cap Value Fund

153,214.552

2,933.833

2,190.293

Mid-Cap Value Fund

368,445.018

17,247.307

22,909.074

Large-Cap Value Fund

500,487.516

14,911.115

12,823.759

Small-Cap Growth Fund

150,344.592

1,247.829

1,072.118

Mid-Cap Growth Fund

467,043.934

8,678.920

5,281.275

Large-Cap Growth Fund

1,368,958.407

46,355.280

47,325.374

U.S. Government Money Market Fund

649,031,152.596

21,984,885.990

38,605,738.300

THE RYDEX SERIES FUNDS ANNUAL REPORT

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179

OTHER INFORMATION (Unaudited) (concluded)

Quarterly Portfolio Schedules Information

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on

Form N-Q, which is available on the SEC’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and

copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public

Reference Room may be obtained by calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to

shareholders, without charge and upon request, by calling 1-800-820-0888.

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THE RYDEX SERIES FUNDS ANNUAL REPORT

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)

A Board of Trustees oversees all Rydex Investments, in which its members have no stated term of service, and continue to

serve after election until resignation. The Statement of Additional Information includes further information about Fund

Trustees and Officers, and can be obtained without charge by calling 1-800-820-0888.

All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell Rd., Suite 500, Rockville, MD 20850.

TRUSTEES AND OFFICERS

Length of Service

Name, Position and

As Trustee

Number of

–––––––––––––––––––––––

Year of Birth

––––––––––––––––––––––––––

(Year Began)

––––––––––––––––––

Funds Overseen

Carl G. Verboncoeur*

Rydex Series Funds – 2004

149

Trustee, President (1952)

Rydex Variable Trust – 2004

Rydex Dynamic Funds – 2004

Rydex ETF Trust – 2004

Principal Occupations During Past Five Years: Chief Executive Officer and Treasurer of Rydex Specialized Products, LLC (2005

to present); Chief Executive Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to present); Executive Vice President

of Rydex Investments (2000 to 2003)

Michael P. Byrum*

Rydex Series Funds – 2005

149

Trustee, Vice President

Rydex Variable Trust – 2005

(1970)

Rydex Dynamic Funds – 2005

Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: Chief Investment Officer of Rydex Investments (2003 to present); Secretary of

Rydex Specialized Products, LLC (2005 to present); Vice President of Rydex Series Funds (1997 to present); Vice President of

Rydex Variable Trust (1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice President of Rydex ETF

Trust (2002 to present); President and Trustee of Rydex Capital Partners SPhinX Fund (2003 to 2006); President of Rydex

Investments (2004 to present); Chief Operating Officer of Rydex Investments and Rydex Distributors, Inc. (2003 to 2004)

INDEPENDENT TRUSTEES

Length of Service

Name, Position and

As Trustee

Number of

–––––––––––––––––––––––––

Year of Birth

–––––––––––––––––––––––––––

(Year Began)

–––––––––––––––––

Funds Overseen

John O. Demaret

Rydex Series Funds – 1997

141

Trustee, Chairman of the

Rydex Variable Trust – 1998

Board (1940)

Rydex Dynamic Funds – 1999

Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired

Corey A. Colehour

Rydex Series Funds – 1993

141

Trustee (1945)

Rydex Variable Trust – 1998

Rydex Dynamic Funds – 1999

Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Retired (2006 to present); Owner and President of Schield Management

Company, registered investment adviser (2005 to 2006); Senior Vice President of Marketing and Co-Owner of Schield

Management Company, registered investment adviser (1985 to 2005)

J. Kenneth Dalton

Rydex Series Funds – 1995

141

Trustee (1941)

Rydex Variable Trust – 1998

Rydex Dynamic Funds – 1999

Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Mortgage Banking Consultant and Investor, The Dalton Group

THE RYDEX SERIES FUNDS ANNUAL REPORT

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181

INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)

Length of Service

Name, Position and

As Trustee

Number of

––––––––––––––––––––––

Year of Birth

–––––––––––––––––––––––––

(Year Began)

––––––––––––––––––––

Funds Overseen

Werner E. Keller

Rydex Series Funds – 2005

141

Trustee (1940)

Rydex Variable Trust – 2005

Rydex Dynamic Funds – 2005

Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: Retired (2001 to present); Chairman, Centurion Capital Management (1991 to 2001)

Thomas F. Lydon, Jr.

Rydex Series Funds – 2005

141

Trustee (1960)

Rydex Variable Trust – 2005

Rydex Dynamic Funds – 2005

Rydex ETF Trust – 2005

Principal Occupations During Past Five Years: President, Global Trends Investments

Patrick T. McCarville

Rydex Series Funds – 1997

141

Trustee (1942)

Rydex Variable Trust – 1998

Rydex Dynamic Funds – 1999

Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Founder and Chief Executive Officer, Par Industries, Inc.

Roger Somers

Rydex Series Funds – 1993

141

Trustee (1944)

Rydex Variable Trust – 1998

Rydex Dynamic Funds – 1999

Rydex ETF Trust – 2003

Principal Occupations During Past Five Years: Owner, Arrow Limousine

EXECUTIVE OFFICERS

Name, Position and

Principal Occupations

–––––––––––––––––––––––

Year of Birth

––––––––––––––––––––––––––––––

During Past Five Years

Nick Bonos*

Chief Financial Officer of Rydex Specialized Products, LLC (2005 to present);

Vice President and Treasurer (1963)

Vice President and Treasurer of Rydex Series Funds, Rydex Variable Trust,

Rydex Dynamic Funds, and Rydex ETF Trust (2003 to present); Senior Vice

President of Rydex Investments (2003 to present); Vice President and

Treasurer of Rydex Capital Partners SPhinX Fund (2003 to 2006); Vice

President of Accounting of Rydex Investments (2000 to 2003)

Joanna M. Haigney*

Chief Compliance Officer of Rydex Series Funds, Rydex Variable Trust, and

Chief Compliance Officer and

Rydex Dynamic Funds (2004 to present); Secretary of Rydex Series Funds,

Secretary (1966)

Rydex Variable Trust, and Rydex Dynamic Funds (2000 to present); Secretary

of Rydex ETF Trust (2002 to present); Vice President of Compliance of Rydex

Investments (2000 to present); Secretary of Rydex Capital Partners SPhinX

Fund (2003 to 2006)

Joseph Arruda*

Assistant Treasurer of Rydex Series Funds, Rydex Variable Trust, Rydex

Assistant Treasurer (1966)

Dynamic Funds, Rydex ETF Trust (2006 to present); Vice President of Rydex

Investments (2004 to present); Director of Accounting of Rydex Investments

(2003 to 2004); Vice President of Mutual Funds, State Street Bank & Trust

(2000 to 2003)

Paula Billos*

Controller of Rydex Series Funds, Rydex Variable Trust, Rydex Dynamic

Controller (1974)

Funds, Rydex ETF Trust (2006 to present); Director of Fund Administration of

Rydex Investments (2001 to present)

* Officers of the Fund are deemed to be “interested persons” of the Trust, within the meaning of Section 2(a)(19) of the 1940 Act, inasmuch as

this person is affiliated with Rydex Investments.

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9601 Blackwell Road, Suite 500

Rockville, MD 20850

www.rydexinvestments.com

800-820-0888

RBENF-ANN-2-0308x0309