UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number | 811-5719 |
| |
| Dreyfus Stock Index Fund, Inc. | |
| (Exact name of Registrant as specified in charter) | |
| | |
| c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 | |
| (Address of principal executive offices) (Zip code) | |
| | |
| Michael A. Rosenberg, Esq. 200 Park Avenue New York, New York 10166 | |
| (Name and address of agent for service) | |
|
Registrant's telephone number, including area code: | (212) 922-6000 |
| |
Date of fiscal year end: | 12/31 | |
Date of reporting period: | 6/30/11 | |
| | | | | | |
FORM N-CSR
Item 1. Reports to Stockholders.
|
Dreyfus |
Stock Index Fund, Inc. |
SEMIANNUAL REPORT June 30, 2011
The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value
| Contents |
| THE FUND |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
23 | Statement of Financial Futures |
24 | Statement of Assets and Liabilities |
25 | Statement of Operations |
26 | Statement of Changes in Net Assets |
28 | Financial Highlights |
30 | Notes to Financial Statements |
41 | Information About the Renewal of the Fund’s Management Agreement |
| FOR MORE INFORMATION |
| Back Cover |
Dreyfus
Stock Index Fund, Inc.
The Fund
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus Stock Index Fund, Inc., covering the six-month period from January 1, 2011, through June 30, 2011. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.
Although 2011 began on an optimistic note amid encouraging economic data, by midyear investors returned to a more cautious outlook. The U.S. and global economies continued to grow over the reporting period, but at a relatively sluggish pace. First, manufacturing activity proved unsustainably strong in late 2010 and early 2011, leading to a subsequent slowdown in new orders. Second, turmoil in the Middle East drove oil prices higher and produced an inflationary drag on real incomes.Third, natural and nuclear disasters in Japan added to upward pressure on energy prices, and these unexpected events disrupted the global supply chain, especially in the automotive sector. Finally, in the United States, disappointing labor and housing markets weighed on investor sentiment. As a result, U.S. stocks generally produced only modest gains over the first half of the year.
We expect economic conditions to improve over the second half of 2011. Inflationary pressures appear to be peaking in most countries, including the United States, and we have already seen energy prices retreat from their highs. In addition, a successful resolution to the current debate regarding government spending and borrowing, without major fiscal tightening over the near term, should help avoid a serious disruption to the domestic economy. To assess how these and other developments may affect your investments, we encourage you, as always, to speak with your financial advisor.
Thank you for your continued confidence and support.
Jonathan R. Baum
Chairman and Chief Executive Officer
The Dreyfus Corporation
July 15, 2011
2
DISCUSSION OF FUND PERFORMANCE
For the period of January 1, 2011, through June 30, 2011, as provided by Thomas J. Durante, Karen Q.Wong and Richard A. Brown, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended June 30, 2011, Dreyfus Stock Index Fund’s Initial shares produced a total return of 5.95%, and its Service shares produced a total return of 5.81%.1 In comparison, the fund’s benchmark, the Standard & Poor’s 500 Composite Stock Price Index (the “S&P 500 Index”), produced a total return of 6.01% for the same period.2,3
Although U.S. stocks rallied early in the year as an economic recovery appeared to gain traction, renewed concerns later in the spring caused the market to give back some of its previous gains.The difference in returns between the fund and the S&P 500 Index was primarily the result of transaction costs and operating expenses that are not reflected in the S&P 500 Index’s results.
The Fund’s Investment Approach
The fund seeks to match the total return of the S&P 500 Index by generally investing in all 500 stocks in the S&P 500 Index in proportion to their respective weighting. Often considered a proxy for the stock market in general, the S&P 500 Index is made up of 500 common stocks chosen to reflect the industries of the U.S. economy. Each stock is weighted by its market capitalization; that is, larger companies have greater representation in the S&P 500 Index than smaller ones. The fund also may use stock index futures as a substitute for the sale or purchase of securities.
Shifting Sentiment Sparked Market Volatility
Investors had become optimistic by the start of 2011 due to improvements in employment, consumer spending and corporate earnings, sending stock prices broadly higher. However, the market rally was interrupted in February when political unrest in the Middle East led to sharply rising crude oil prices, and again in March when natural and
DISCUSSION OF FUND PERFORMANCE (continued)
nuclear disasters in Japan disrupted the global industrial supply chain. Nonetheless, investors proved resilient, and the U.S. stock market bounced back from these shocks.
In late April, investor sentiment began to deteriorate in earnest when Greece again appeared headed for default on its sovereign debt, U.S. economic data proved disappointing and the debate regarding U.S. government spending and borrowing intensified. Stocks suffered bouts of heightened volatility as newly risk-averse investors shifted their focus from economically sensitive industry groups to those that historically have held up well under uncertain economic conditions. Although the market rallied over the final two weeks of June when Greece avoided defaulting on its debt, gains were not enough to fully offset earlier market weakness.
Rotation to Defensive Sectors Bolstered Health Care Stocks
The health care sector proved to be the top performing sector within the S&P 500 Index over the first half of 2011 as investors increasingly turned to traditionally defensive investments. Large pharmaceutical companies led the sector’s advance due to increased penetration of emerging markets, efforts to complement sales of pharmaceuticals with consumer products, and strong sales of prescription drugs that balanced weakness in over-the-counter medicines. Managed care providers also fared relatively well as HMOs entered new markets, including Medicare Advantage insurance programs.
Surging oil and natural gas prices supported energy stocks during the reporting period, particularly in the midst of the political uprisings in the oil-rich Middle East. In addition, the catastrophic failure of Japan’s Fukushima nuclear power plant was expected to spark a shift back to fossil fuels, potentially boosting demand for oil and gas.These factors, together with strong ongoing demand from the emerging markets, drove gains in large integrated oil companies.
The information technology sector was propelled higher by growing global demand for technology consulting services as more businesses turned to “cloud computing” for their data management needs. The industrial sector was boosted by rising demand for commercial aircraft to replace aging fleets and brisk sales of smaller planes for private use.
4
Disappointments during the reporting period included the financial sector, where massive litigation settlements weighed on major U.S. banks. U.S. financial institutions also were hurt by the costs of complying with regulatory reforms, low trading volumes in the capital markets, tepid demand for loans and concerns that problems affecting European banks might spread to their U.S. counterparts. Real estate investment trusts proved to be the bright spot in the financials sector due to waning competitive pressures, low borrowing rates and rising demand for residential rentals.
Index Funds Offer Diversification Benefits
As an index fund, we attempt to replicate the returns of the S&P 500 Index by closely approximating the composition of the S&P 500 Index. In our view, one of the greatest benefits of an index fund is that it offers a broadly diversified investment vehicle that can help investors manage risks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
July 15, 2011
| |
| Equity funds are subject generally to market, market sector, market liquidity, issuer and investment |
| style risks, among other factors, to varying degrees, all of which are more fully described in the |
| fund’s prospectus. |
| The fund is only available as a funding vehicle under variable life insurance policies or variable |
| annuity contracts issued by insurance companies. Individuals may not purchase shares of the fund |
| directly.A variable annuity is an insurance contract issued by an insurance company that enables |
| investors to accumulate assets on a tax-deferred basis for retirement or other long-term goals. |
1 | Total return includes reinvestment of dividends and any capital gains paid. Past performance is no |
| guarantee of future results. Share price and investment return fluctuate such that upon redemption, |
| fund shares may be worth more or less than their original cost.The fund’s performance does not |
| reflect the deduction of additional charges and expenses imposed in connection with investing in |
| variable insurance contracts, which will reduce returns. |
2 | SOURCE: LIPPER INC. — Reflects reinvestment of dividends daily and, where applicable, |
| capital gain distributions.The Standard & Poor’s 500 Composite Stock Price Index is a widely |
| accepted, unmanaged index of U.S. stock market performance. Investors cannot invest directly in |
| any index. |
3 | “Standard & Poor’s®,”“S&P®,”“Standard & Poor’s 500®” and “S&P 500®” are |
| trademarks of Standard & Poor’s Financial Services LLC, and have been licensed for use by the |
| fund.The fund is not sponsored, endorsed, sold or promoted by Standard & Poor’s and Standard |
| & Poor’s makes no representation regarding the advisability of investing in the fund. |
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads), redemption fees and expenses associated with variable annuity or insurance contracts, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.
Review your fund’s expenses
The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Stock Index Fund, Inc. from January 1, 2011 to June 30, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended June 30, 2011
| | |
| Initial Shares | Service Shares |
Expenses paid per $1,000† | $1.33 | $2.60 |
Ending value (after expenses) | $1,059.50 | $1,058.10 |
COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended June 30, 2011
| | |
| Initial Shares | Service Shares |
Expenses paid per $1,000† | $1.30 | $2.56 |
Ending value (after expenses) | $1,023.51 | $1,022.27 |
|
† Expenses are equal to the fund’s annualized expense ratio of .26% for Initial Shares and .51% for Service Shares, |
multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
6
|
STATEMENT OF INVESTMENTS |
June 30, 2011 (Unaudited) |
| | |
Common Stocks—98.6% | Shares | Value ($) |
Consumer Discretionary—10.6% | | |
Abercrombie & Fitch, Cl. A | 13,384 | 895,657 |
Amazon.com | 52,426 a | 10,720,593 |
Apollo Group, Cl. A | 18,995 a | 829,702 |
AutoNation | 9,350 a,b | 342,303 |
AutoZone | 3,598 a | 1,060,870 |
Bed Bath & Beyond | 37,230 a | 2,173,115 |
Best Buy | 47,627 b | 1,495,964 |
Big Lots | 10,678 a | 353,976 |
Cablevision Systems (NY Group), Cl. A | 33,288 | 1,205,358 |
Carmax | 33,007 a | 1,091,541 |
Carnival | 63,127 | 2,375,469 |
CBS, Cl. B | 97,553 | 2,779,285 |
Chipotle Mexican Grill | 4,572 a | 1,409,045 |
Coach | 43,896 | 2,806,271 |
Comcast, Cl. A | 408,591 | 10,353,696 |
D.R. Horton | 42,244 | 486,651 |
Darden Restaurants | 19,977 | 994,056 |
DeVry | 9,492 | 561,262 |
DIRECTV, Cl. A | 113,179 a | 5,751,757 |
Discovery Communications, Cl. A | 41,791 a | 1,711,759 |
Expedia | 28,744 | 833,289 |
Family Dollar Stores | 18,659 | 980,717 |
Ford Motor | 552,566 a | 7,619,885 |
Fortune Brands | 22,958 | 1,464,032 |
GameStop, Cl. A | 19,638 a,b | 523,745 |
Gannett | 34,794 | 498,250 |
Gap | 60,167 | 1,089,023 |
Genuine Parts | 23,597 | 1,283,677 |
Goodyear Tire & Rubber | 37,005 a | 620,574 |
H&R Block | 43,977 | 705,391 |
Harley-Davidson | 34,662 | 1,420,102 |
Harman International Industries | 10,315 | 470,055 |
Hasbro | 20,685 | 908,692 |
Home Depot | 234,650 | 8,499,023 |
International Game Technology | 45,202 | 794,651 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | | |
Interpublic Group of Cos. | 72,851 | 910,637 |
J.C. Penney | 33,637 | 1,161,822 |
Johnson Controls | 99,550 | 4,147,253 |
Kohl’s | 40,643 | 2,032,556 |
Leggett & Platt | 22,678 | 552,890 |
Lennar, Cl. A | 21,126 b | 383,437 |
Limited Brands | 38,538 | 1,481,786 |
Lowe’s | 192,736 | 4,492,676 |
Macy’s | 62,221 | 1,819,342 |
Marriott International, Cl. A | 42,322 | 1,502,008 |
Mattel | 50,715 | 1,394,155 |
McDonald’s | 152,592 | 12,866,557 |
McGraw-Hill | 44,748 | 1,875,389 |
Netflix | 6,506 a | 1,709,061 |
Newell Rubbermaid | 42,446 | 669,798 |
News, Cl. A | 333,212 | 5,897,852 |
NIKE, Cl. B | 56,606 | 5,093,408 |
Nordstrom | 24,338 | 1,142,426 |
O’Reilly Automotive | 20,768 a | 1,360,512 |
Omnicom Group | 42,198 | 2,032,256 |
Polo Ralph Lauren | 9,634 | 1,277,565 |
Priceline.com | 7,288 a | 3,730,946 |
Pulte Group | 46,025 a,b | 352,552 |
Ross Stores | 17,460 | 1,398,895 |
Scripps Networks Interactive, Cl. A | 13,842 | 676,597 |
Sears Holdings | 6,199 a,b | 442,857 |
Stanley Black & Decker | 24,785 | 1,785,759 |
Staples | 106,881 | 1,688,720 |
Starbucks | 109,470 | 4,322,970 |
Starwood Hotels & Resorts Worldwide | 27,596 | 1,546,480 |
Target | 101,518 | 4,762,209 |
Tiffany & Co. | 19,039 | 1,494,942 |
Time Warner | 159,421 | 5,798,142 |
Time Warner Cable | 49,999 | 3,901,922 |
TJX | 56,956 | 2,991,899 |
Urban Outfitters | 18,896 a | 531,922 |
8
| | |
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | | |
VF | 12,586 | 1,366,336 |
Viacom, Cl. B | 86,969 | 4,435,419 |
Walt Disney | 277,694 | 10,841,174 |
Washington Post, Cl. B | 738 b | 309,185 |
Whirlpool | 10,963 | 891,511 |
Wyndham Worldwide | 24,988 | 840,846 |
Wynn Resorts | 11,128 | 1,597,313 |
Yum! Brands | 69,360 | 3,831,446 |
| | 190,452,864 |
Consumer Staples—10.5% | | |
Altria Group | 305,672 | 8,072,798 |
Archer-Daniels-Midland | 99,880 | 3,011,382 |
Avon Products | 63,438 | 1,776,264 |
Brown-Forman, Cl. B | 14,845 | 1,108,773 |
Campbell Soup | 26,351 b | 910,427 |
Clorox | 20,019 | 1,350,081 |
Coca-Cola | 335,895 | 22,602,375 |
Coca-Cola Enterprises | 48,415 | 1,412,750 |
Colgate-Palmolive | 72,080 | 6,300,513 |
ConAgra Foods | 59,517 | 1,536,134 |
Constellation Brands, Cl. A | 26,462 a | 550,939 |
Costco Wholesale | 63,648 | 5,170,764 |
CVS Caremark | 201,275 | 7,563,914 |
Dean Foods | 26,917 a | 330,272 |
Dr. Pepper Snapple Group | 33,679 | 1,412,160 |
Estee Lauder, Cl. A | 16,685 | 1,755,095 |
General Mills | 92,506 | 3,443,073 |
H.J. Heinz | 46,585 | 2,482,049 |
Hershey | 22,871 | 1,300,216 |
Hormel Foods | 21,547 | 642,316 |
J.M. Smucker | 17,109 | 1,307,812 |
Kellogg | 37,532 | 2,076,270 |
Kimberly-Clark | 57,923 | 3,855,355 |
Kraft Foods, Cl. A | 258,181 | 9,095,717 |
Kroger | 89,555 | 2,220,964 |
Lorillard | 21,627 | 2,354,531 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Common Stocks (continued) | Shares | Value ($) |
Consumer Staples (continued) | | |
McCormick & Co. | 19,704 | 976,727 |
Mead Johnson Nutrition | 29,885 | 2,018,732 |
Molson Coors Brewing, Cl. B | 22,989 | 1,028,528 |
PepsiCo | 232,164 | 16,351,311 |
Philip Morris International | 261,644 | 17,469,970 |
Procter & Gamble | 410,131 | 26,072,028 |
Reynolds American | 50,031 | 1,853,649 |
Safeway | 53,545 | 1,251,347 |
Sara Lee | 84,358 | 1,601,958 |
SUPERVALU | 32,703 b | 307,735 |
SYSCO | 85,272 | 2,658,781 |
Tyson Foods, Cl. A | 45,986 | 893,048 |
Wal-Mart Stores | 281,408 | 14,954,021 |
Walgreen | 134,581 | 5,714,309 |
Whole Foods Market | 21,638 | 1,372,931 |
| | 188,168,019 |
Energy—12.5% | | |
Alpha Natural Resources | 31,657 a | 1,438,494 |
Anadarko Petroleum | 73,016 | 5,604,708 |
Apache | 56,449 | 6,965,242 |
Baker Hughes | 63,277 | 4,591,379 |
Cabot Oil & Gas | 15,896 | 1,054,064 |
Cameron International | 35,587 a | 1,789,670 |
Chesapeake Energy | 96,022 | 2,850,893 |
Chevron | 295,422 | 30,381,198 |
ConocoPhillips | 207,970 | 15,637,264 |
Consol Energy | 33,538 | 1,625,922 |
Denbury Resources | 58,305 a | 1,166,100 |
Devon Energy | 62,263 | 4,906,947 |
Diamond Offshore Drilling | 10,279 b | 723,744 |
El Paso | 112,106 | 2,264,541 |
EOG Resources | 39,691 | 4,149,694 |
EQT | 22,036 | 1,157,331 |
Exxon Mobil | 724,528 | 58,962,089 |
FMC Technologies | 36,277 a | 1,624,847 |
Halliburton | 134,174 | 6,842,874 |
10
| | |
Common Stocks (continued) | Shares | Value ($) |
Energy (continued) | | |
Helmerich & Payne | 15,573 | 1,029,687 |
Hess | 44,324 | 3,313,662 |
Marathon Oil | 103,598 | 5,457,543 |
Murphy Oil | 28,303 | 1,858,375 |
Nabors Industries | 42,837 a | 1,055,504 |
National Oilwell Varco | 62,208 | 4,865,288 |
Newfield Exploration | 19,908 a | 1,354,142 |
Noble | 37,838 | 1,491,196 |
Noble Energy | 25,716 | 2,304,925 |
Occidental Petroleum | 118,886 | 12,368,899 |
Peabody Energy | 39,672 | 2,337,078 |
Pioneer Natural Resources | 17,064 | 1,528,422 |
QEP Resources | 26,556 | 1,110,837 |
Range Resources | 23,713 | 1,316,071 |
Rowan | 17,259 a | 669,822 |
Schlumberger | 199,169 | 17,208,202 |
Southwestern Energy | 51,176 a | 2,194,427 |
Spectra Energy | 95,902 | 2,628,674 |
Sunoco | 17,872 | 745,441 |
Tesoro | 21,066 a | 482,622 |
Valero Energy | 83,366 | 2,131,669 |
Williams | 86,137 | 2,605,644 |
| | 223,795,131 |
Financial—14.9% | | |
ACE | 49,600 | 3,264,672 |
Aflac | 69,541 | 3,246,174 |
Allstate | 77,526 | 2,366,869 |
American Express | 152,793 | 7,899,398 |
American International Group | 64,224 a,b | 1,883,048 |
Ameriprise Financial | 36,597 | 2,110,915 |
AON | 48,519 | 2,489,025 |
Apartment Investment & Management, Cl. A | 17,004 c | 434,112 |
Assurant | 14,251 | 516,884 |
AvalonBay Communities | 12,759 c | 1,638,256 |
Bank of America | 1,489,028 | 16,319,747 |
Bank of New York Mellon | 183,210 | 4,693,840 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | | |
BB&T | 101,178 | 2,715,618 |
Berkshire Hathaway, Cl. B | 254,438 a | 19,690,957 |
BlackRock | 14,143 | 2,712,769 |
Boston Properties | 20,933 c | 2,222,247 |
Capital One Financial | 67,810 | 3,503,743 |
CB Richard Ellis Group, Cl. A | 42,783 a | 1,074,281 |
Charles Schwab | 146,483 | 2,409,645 |
Chubb | 43,823 | 2,743,758 |
Cincinnati Financial | 24,898 b | 726,524 |
Citigroup | 429,016 | 17,864,226 |
CME Group | 9,936 | 2,897,238 |
Comerica | 25,528 | 882,503 |
Discover Financial Services | 80,361 | 2,149,657 |
E*TRADE Financial | 32,672 a | 450,874 |
Equity Residential Properties Trust | 43,574 c | 2,614,440 |
Federated Investors, Cl. B | 13,402 b | 319,504 |
Fifth Third Bancorp | 135,770 | 1,731,067 |
First Horizon National | 35,950 | 342,963 |
Franklin Resources | 21,565 | 2,831,269 |
Genworth Financial, Cl. A | 71,145 a | 731,371 |
Goldman Sachs Group | 76,613 | 10,196,424 |
Hartford Financial Services Group | 65,099 | 1,716,661 |
HCP | 59,109 a,c | 2,168,709 |
Health Care REIT | 25,151 c | 1,318,667 |
Host Hotels & Resorts | 98,168 a,c | 1,663,948 |
Hudson City Bancorp | 77,806 | 637,231 |
Huntington Bancshares | 127,785 | 838,270 |
IntercontinentalExchange | 10,821 a | 1,349,487 |
Invesco | 68,015 | 1,591,551 |
Janus Capital Group | 23,766 | 224,351 |
JPMorgan Chase & Co. | 583,254 | 23,878,419 |
KeyCorp | 129,458 | 1,078,385 |
Kimco Realty | 59,983 c | 1,118,083 |
Legg Mason | 21,950 | 719,082 |
Leucadia National | 29,322 | 999,880 |
Lincoln National | 44,905 | 1,279,343 |
12
| | |
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | | |
Loews | 47,098 | 1,982,355 |
M&T Bank | 17,597 | 1,547,656 |
Marsh & McLennan | 80,663 | 2,515,879 |
Marshall & Ilsley | 76,202 | 607,330 |
MetLife | 154,029 | 6,757,252 |
Moody’s | 28,954 | 1,110,386 |
Morgan Stanley | 225,386 | 5,186,132 |
Nasdaq OMX Group | 20,564 a | 520,269 |
Northern Trust | 35,872 | 1,648,677 |
NYSE Euronext | 38,471 | 1,318,401 |
People’s United Financial | 52,780 | 709,363 |
Plum Creek Timber | 24,875 b,c | 1,008,432 |
PNC Financial Services Group | 77,452 | 4,616,914 |
Principal Financial Group | 47,619 | 1,448,570 |
Progressive | 96,434 | 2,061,759 |
ProLogis | 59,986 c | 2,149,898 |
Prudential Financial | 71,643 | 4,555,778 |
Public Storage | 20,719 c | 2,362,173 |
Regions Financial | 185,565 | 1,150,503 |
Simon Property Group | 43,294 c | 5,032,062 |
SLM | 78,070 | 1,312,357 |
State Street | 73,539 | 3,315,874 |
SunTrust Banks | 78,412 | 2,023,030 |
T. Rowe Price Group | 37,994 | 2,292,558 |
Torchmark | 12,166 | 780,327 |
Travelers | 62,741 | 3,662,820 |
U.S. Bancorp | 280,622 | 7,158,667 |
Unum Group | 46,024 | 1,172,692 |
Ventas | 23,130 c | 1,219,182 |
Vornado Realty Trust | 23,985 c | 2,234,922 |
Wells Fargo & Co. | 777,034 | 21,803,574 |
Weyerhaeuser | 79,628 c | 1,740,668 |
XL Group | 46,261 | 1,016,817 |
Zions Bancorporation | 26,084 b | 626,277 |
| | 266,905,639 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Common Stocks (continued) | Shares | Value ($) |
Health Care—11.6% | | |
Abbott Laboratories | 228,313 | 12,013,830 |
Aetna | 57,091 | 2,517,142 |
Agilent Technologies | 50,980 a | 2,605,588 |
Allergan | 44,829 | 3,732,014 |
AmerisourceBergen | 40,712 | 1,685,477 |
Amgen | 136,224 a | 7,948,670 |
Baxter International | 85,093 | 5,079,201 |
Becton Dickinson & Co. | 32,830 | 2,828,961 |
Biogen Idec | 35,022 a | 3,744,552 |
Boston Scientific | 224,005 a | 1,547,875 |
Bristol-Myers Squibb | 250,314 | 7,249,093 |
C.R. Bard | 12,670 | 1,391,926 |
Cardinal Health | 51,135 | 2,322,552 |
CareFusion | 32,559 a | 884,628 |
Celgene | 68,212 a | 4,114,548 |
Cephalon | 11,292 a | 902,231 |
Cerner | 21,256 a,b | 1,298,954 |
CIGNA | 40,365 | 2,075,972 |
Coventry Health Care | 22,723 a | 828,708 |
Covidien | 72,472 | 3,857,685 |
DaVita | 14,265 a | 1,235,492 |
Dentsply International | 20,449 | 778,698 |
Edwards Lifesciences | 17,005 a | 1,482,496 |
Eli Lilly & Co. | 149,211 | 5,599,889 |
Express Scripts | 78,047 a | 4,212,977 |
Forest Laboratories | 42,263 a | 1,662,626 |
Gilead Sciences | 115,913 a | 4,799,957 |
Hospira | 24,318 a | 1,377,858 |
Humana | 25,121 | 2,023,245 |
Intuitive Surgical | 5,623 a | 2,092,375 |
Johnson & Johnson | 402,793 | 26,793,790 |
Laboratory Corp. of America Holdings | 14,859 a | 1,438,203 |
Life Technologies | 26,209 a | 1,364,703 |
McKesson | 37,494 | 3,136,373 |
Medco Health Solutions | 60,069 a | 3,395,100 |
Medtronic | 157,197 | 6,056,800 |
14
| | |
Common Stocks (continued) | Shares | Value ($) |
Health Care (continued) | | |
Merck & Co. | 453,570 | 16,006,485 |
Mylan | 64,313 a | 1,586,602 |
Patterson | 13,932 | 458,223 |
PerkinElmer | 15,624 | 420,442 |
Pfizer | 1,162,636 | 23,950,302 |
Quest Diagnostics | 22,226 | 1,313,557 |
St. Jude Medical | 48,345 | 2,305,090 |
Stryker | 48,878 | 2,868,650 |
Tenet Healthcare | 71,969 a | 449,087 |
Thermo Fisher Scientific | 57,261 a | 3,687,036 |
UnitedHealth Group | 160,850 | 8,296,643 |
Varian Medical Systems | 17,188 a | 1,203,504 |
Waters | 13,261 a | 1,269,608 |
Watson Pharmaceuticals | 18,381 a | 1,263,326 |
WellPoint | 54,692 | 4,308,089 |
Zimmer Holdings | 28,541 a | 1,803,791 |
| | 207,270,624 |
Industrial—11.0% | | |
3M | 104,040 | 9,868,194 |
Avery Dennison | 16,213 | 626,308 |
Boeing | 107,566 | 7,952,354 |
C.H. Robinson Worldwide | 23,994 | 1,891,687 |
Caterpillar | 94,007 | 10,007,985 |
Cintas | 17,679 | 583,937 |
CSX | 161,802 | 4,242,448 |
Cummins | 29,290 | 3,031,222 |
Danaher | 79,113 | 4,192,198 |
Deere & Co. | 61,877 | 5,101,759 |
Dover | 27,534 | 1,866,805 |
Dun & Bradstreet | 7,740 | 584,680 |
Eaton | 50,466 | 2,596,476 |
Emerson Electric | 111,034 | 6,245,662 |
Equifax | 17,609 | 611,384 |
Expeditors International of Washington | 31,396 | 1,607,161 |
Fastenal | 43,573 b | 1,568,192 |
FedEx | 46,484 | 4,409,007 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Common Stocks (continued) | Shares | Value ($) |
Industrial (continued) | | |
Flowserve | 8,254 | 907,032 |
Fluor | 26,479 | 1,712,132 |
General Dynamics | 55,303 | 4,121,180 |
General Electric | 1,555,042 | 29,328,092 |
Goodrich | 18,304 | 1,748,032 |
Honeywell International | 115,288 | 6,870,012 |
Illinois Tool Works | 72,576 | 4,099,818 |
Ingersoll-Rand | 47,500 | 2,156,975 |
Iron Mountain | 29,666 b | 1,011,314 |
ITT | 26,992 | 1,590,639 |
Jacobs Engineering Group | 18,705 a | 808,991 |
Joy Global | 15,262 | 1,453,553 |
L-3 Communications Holdings | 15,219 | 1,330,902 |
Lockheed Martin | 42,589 | 3,448,431 |
Masco | 55,346 | 665,812 |
Norfolk Southern | 52,868 | 3,961,399 |
Northrop Grumman | 42,276 | 2,931,841 |
Paccar | 53,974 | 2,757,532 |
Pall | 17,328 | 974,353 |
Parker Hannifin | 23,766 | 2,132,761 |
Pitney Bowes | 28,715 b | 660,158 |
Precision Castparts | 21,269 | 3,501,941 |
Quanta Services | 29,542 a | 596,748 |
R.R. Donnelley & Sons | 30,176 | 591,751 |
Raytheon | 52,173 | 2,600,824 |
Republic Services | 45,342 | 1,398,801 |
Robert Half International | 22,437 | 606,472 |
Rockwell Automation | 20,962 | 1,818,663 |
Rockwell Collins | 23,369 | 1,441,634 |
Roper Industries | 13,383 | 1,114,804 |
Ryder System | 7,189 | 408,695 |
Snap-On | 8,767 | 547,762 |
Southwest Airlines | 112,289 | 1,282,340 |
Stericycle | 12,447 a | 1,109,277 |
Textron | 40,899 | 965,625 |
Tyco International | 70,400 | 3,479,872 |
16
| | |
Common Stocks (continued) | Shares | Value ($) |
Industrial (continued) | | |
Union Pacific | 71,702 | 7,485,689 |
United Parcel Service, Cl. B | 145,273 | 10,594,760 |
United Technologies | 135,483 | 11,991,600 |
W.W. Grainger | 8,599 | 1,321,236 |
Waste Management | 69,622 | 2,594,812 |
| | 197,111,724 |
Information Technology—17.6% | | |
Adobe Systems | 75,357 a | 2,369,978 |
Advanced Micro Devices | 85,441 a | 597,233 |
Akamai Technologies | 27,733 a | 872,758 |
Altera | 46,054 | 2,134,603 |
Amphenol, Cl. A | 25,281 | 1,364,921 |
Analog Devices | 43,015 | 1,683,607 |
Apple | 135,871 a | 45,607,819 |
Applied Materials | 193,312 | 2,514,989 |
Autodesk | 34,405 a | 1,328,033 |
Automatic Data Processing | 72,781 | 3,834,103 |
BMC Software | 25,687 a | 1,405,079 |
Broadcom, Cl. A | 70,483 a | 2,371,048 |
CA | 55,637 | 1,270,749 |
Cisco Systems | 808,638 | 12,622,839 |
Citrix Systems | 26,985 a | 2,158,800 |
Cognizant Technology Solutions, Cl. A | 44,823 a | 3,287,319 |
Computer Sciences | 22,493 | 853,834 |
Compuware | 34,477 a | 336,496 |
Corning | 231,395 | 4,199,819 |
Dell | 244,422 a | 4,074,515 |
eBay | 167,883 a | 5,417,584 |
Electronic Arts | 48,639 a | 1,147,880 |
EMC | 304,656 a | 8,393,273 |
F5 Networks | 11,968 a | 1,319,472 |
Fidelity National Information Services | 39,030 | 1,201,734 |
First Solar | 7,963 a,b | 1,053,266 |
Fiserv | 21,702 a | 1,359,196 |
FLIR Systems | 23,354 | 787,263 |
Google, Cl. A | 36,933 a | 18,702,133 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Common Stocks (continued) | Shares | Value ($) |
Information Technology (continued) | | |
Harris | 19,349 | 871,866 |
Hewlett-Packard | 306,277 | 11,148,483 |
Intel | 781,944 | 17,327,879 |
International Business Machines | 178,597 | 30,638,315 |
Intuit | 40,431 a | 2,096,752 |
Jabil Circuit | 27,905 | 563,681 |
JDS Uniphase | 32,611 a | 543,299 |
Juniper Networks | 77,906 a | 2,454,039 |
KLA-Tencor | 25,253 | 1,022,241 |
Lexmark International, Cl. A | 12,216 a | 357,440 |
Linear Technology | 33,959 | 1,121,326 |
LSI | 88,148 a | 627,614 |
MasterCard, Cl. A | 13,893 | 4,186,517 |
MEMC Electronic Materials | 34,714 a | 296,110 |
Microchip Technology | 27,104 b | 1,027,513 |
Micron Technology | 125,525 a | 938,927 |
Microsoft | 1,090,284 | 28,347,384 |
Molex | 19,798 b | 510,194 |
Monster Worldwide | 18,949 a | 277,792 |
Motorola Mobility Holdings | 42,601 a | 938,926 |
Motorola Solutions | 48,686 a | 2,241,503 |
National Semiconductor | 34,176 | 841,071 |
NetApp | 54,537 a | 2,878,463 |
Novellus Systems | 12,764 a | 461,291 |
NVIDIA | 86,106 a | 1,372,099 |
Oracle | 572,586 | 18,843,805 |
Paychex | 47,633 | 1,463,286 |
QUALCOMM | 244,979 | 13,912,357 |
Red Hat | 27,739 a | 1,273,220 |
SAIC | 42,761 a | 719,240 |
Salesforce.com | 17,273 a | 2,573,332 |
SanDisk | 34,394 a | 1,427,351 |
Symantec | 111,564 a | 2,200,042 |
Tellabs | 61,602 | 283,985 |
Teradata | 25,394 a | 1,528,719 |
Teradyne | 25,613 a | 379,072 |
18
| | |
Common Stocks (continued) | Shares | Value ($) |
Information Technology (continued) | | |
Texas Instruments | 171,001 | 5,613,963 |
Total System Services | 24,617 | 457,384 |
VeriSign | 25,078 | 839,110 |
Visa, Cl. A | 71,209 | 6,000,070 |
Western Digital | 33,221 a | 1,208,580 |
Western Union | 96,030 | 1,923,481 |
Xerox | 201,804 | 2,100,780 |
Xilinx | 38,307 | 1,397,056 |
Yahoo! | 193,033 a | 2,903,216 |
| | 314,409,117 |
Materials—3.6% | | |
Air Products & Chemicals | 31,178 | 2,979,993 |
Airgas | 11,041 | 773,312 |
AK Steel Holding | 17,376 | 273,846 |
Alcoa | 157,527 | 2,498,378 |
Allegheny Technologies | 14,494 | 919,934 |
Ball | 25,175 | 968,230 |
Bemis | 14,975 | 505,855 |
CF Industries Holdings | 10,193 | 1,444,042 |
Cliffs Natural Resources | 21,113 | 1,951,897 |
Dow Chemical | 171,508 | 6,174,288 |
E.I. du Pont de Nemours & Co. | 136,355 | 7,369,988 |
Eastman Chemical | 10,679 | 1,090,006 |
Ecolab | 34,514 | 1,945,899 |
FMC | 10,651 | 916,199 |
Freeport-McMoRan Copper & Gold | 138,188 | 7,310,145 |
International Flavors & Fragrances | 12,049 | 774,028 |
International Paper | 63,919 | 1,906,065 |
MeadWestvaco | 23,854 | 794,577 |
Monsanto | 78,277 | 5,678,214 |
Newmont Mining | 72,918 | 3,935,384 |
Nucor | 46,774 | 1,928,024 |
Owens-Illinois | 23,123 a | 596,805 |
PPG Industries | 23,227 | 2,108,779 |
Praxair | 44,543 | 4,828,016 |
Sealed Air | 24,225 | 576,313 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Common Stocks (continued) | Shares | Value ($) |
Materials (continued) | | |
Sherwin-Williams | 13,280 | 1,113,794 |
Sigma-Aldrich | 18,017 | 1,322,087 |
Titanium Metals | 13,042 | 238,929 |
United States Steel | 21,846 b | 1,005,790 |
Vulcan Materials | 18,516 b | 713,421 |
| | 64,642,238 |
Telecommunication Services—3.0% | | |
American Tower, Cl. A | 58,511 a | 3,061,881 |
AT&T | 870,232 | 27,333,987 |
CenturyLink | 86,737 | 3,506,777 |
Frontier Communications | 148,983 b | 1,202,293 |
Metropcs Communications | 38,781 a | 667,421 |
Sprint Nextel | 435,160 a | 2,345,512 |
Verizon Communications | 413,792 | 15,405,476 |
Windstream | 74,706 b | 968,190 |
| | 54,491,537 |
Utilities—3.3% | | |
AES | 98,987 a | 1,261,094 |
Ameren | 34,625 | 998,585 |
American Electric Power | 70,511 | 2,656,854 |
CenterPoint Energy | 59,792 | 1,156,975 |
CMS Energy | 34,329 | 675,938 |
Consolidated Edison | 43,283 | 2,304,387 |
Constellation Energy Group | 29,701 | 1,127,450 |
Dominion Resources | 85,971 | 4,149,820 |
DTE Energy | 24,927 | 1,246,849 |
Duke Energy | 197,066 | 3,710,753 |
Edison International | 48,367 | 1,874,221 |
Entergy | 26,806 | 1,830,314 |
Exelon | 97,323 | 4,169,317 |
FirstEnergy | 60,685 | 2,679,243 |
Integrys Energy Group | 11,732 | 608,187 |
20
| | |
Common Stocks (continued) | Shares | Value ($) |
Utilities (continued) | | |
NextEra Energy | 62,415 | 3,586,366 |
Nicor | 6,905 | 377,980 |
NiSource | 42,092 | 852,363 |
Northeast Utilities | 26,465 | 930,774 |
NRG Energy | 37,945 a | 932,688 |
ONEOK | 15,358 | 1,136,646 |
Pepco Holdings | 32,952 | 646,848 |
PG&E | 57,746 | 2,427,064 |
Pinnacle West Capital | 15,309 | 682,475 |
PPL | 83,623 | 2,327,228 |
Progress Energy | 43,250 | 2,076,433 |
Public Service Enterprise Group | 75,260 | 2,456,486 |
SCANA | 16,125 | 634,841 |
Sempra Energy | 35,116 | 1,856,934 |
Southern | 123,923 | 5,004,011 |
TECO Energy | 32,626 | 616,305 |
Wisconsin Energy | 33,389 | 1,046,745 |
Xcel Energy | 71,546 | 1,738,568 |
| | 59,780,742 |
Total Common Stocks | | |
(cost $1,241,264,883) | | 1,767,027,635 |
| Principal | |
Short-Term Investments—.1% | Amount ($) | Value ($) |
U.S. Treasury Bills; | | |
0.10%, 9/22/11 | | |
(cost $1,784,826) | 1,785,000 d | 1,784,938 |
|
Other Investment—1.1% | Shares | Value ($) |
Registered Investment Company; | | |
Dreyfus Institutional Preferred | | |
Plus Money Market Fund | | |
(cost $19,874,000) | 19,874,000 e | 19,874,000 |
STATEMENT OF INVESTMENTS (Unaudited) (continued)
| | |
Investment of Cash Collateral | | |
for Securities Loaned—1.1% | Shares | Value ($) |
Registered Investment Company; | | |
Dreyfus Institutional Cash Advantage Fund | | |
(cost $18,921,775) | 18,921,775 e | 18,921,775 |
Total Investments (cost $1,281,845,484) | 100.9% | 1,807,608,348 |
Liabilities, Less Cash and Receivables | (.9%) | (16,825,846) |
Net Assets | 100.0% | 1,790,782,502 |
REIT—Real Estate Investment Trust
|
a Non-income producing security. |
b Security, or portion thereof, on loan.At June 30, 2011, the value of the fund’s securities on loan was $18,387,533 |
and the value of the collateral held by the fund was $18,921,775. |
c Investment in real estate investment trust. |
d Held by a broker as collateral for open financial futures positions. |
e Investment in affiliated money market mutual fund. |
| | | |
Portfolio Summary (Unaudited)† | | |
|
| Value (%) | | Value (%) |
Information Technology | 17.6 | Materials | 3.6 |
Financial | 14.9 | Utilities | 3.3 |
Energy | 12.5 | Telecommunication Services | 3.0 |
Health Care | 11.6 | Short-Term/ | |
Industrial | 11.0 | Money Market Investments | 2.3 |
Consumer Discretionary | 10.6 | | |
Consumer Staples | 10.5 | | 100.9 |
|
† Based on net assets. | | | |
See notes to financial statements. | | | |
22
|
STATEMENT OF FINANCIAL FUTURES |
June 30, 2011 (Unaudited) |
| | | | |
| | Market Value | | Unrealized |
| | Covered by | | Appreciation |
| Contracts | Contracts ($) | Expiration | at 6/30/2011 ($) |
Financial Futures Long | | | | |
Standard & Poor’s 500 E-Mini | 372 | 24,468,300 | September 2011 | 751,117 |
|
See notes to financial statements. | | | | |
|
STATEMENT OF ASSETS AND LIABILITIES |
June 30, 2011 (Unaudited) |
| | |
| Cost | Value |
Assets ($): | | |
Investments in securities—See Statement of Investments (including | |
securities on loan, valued at $18,387,533)—Note 1(b): | | |
Unaffiliated issuers | 1,243,049,709 | 1,768,812,573 |
Affiliated issuers | 38,795,775 | 38,795,775 |
Cash | | 853,737 |
Dividends and interest receivable | | 2,263,984 |
Receivable for investment securities sold | | 248,852 |
Receivable for futures variation margin—Note 4 | | 209,507 |
Prepaid expenses and other assets | | 76,364 |
| | 1,811,260,792 |
Liabilities ($): | | |
Due to The Dreyfus Corporation and affiliates—Note 3(c) | | 393,008 |
Liability for securities on loan—Note 1(b) | | 18,921,775 |
Payable for shares of Common Stock redeemed | | 929,556 |
Interest payable—Note 2 | | 968 |
Accrued expenses | | 232,983 |
| | 20,478,290 |
Net Assets ($) | | 1,790,782,502 |
Composition of Net Assets ($): | | |
Paid-in capital | | 1,267,656,193 |
Accumulated undistributed investment income—net | | 861,756 |
Accumulated net realized gain (loss) on investments | | (4,249,428) |
Accumulated net unrealized appreciation (depreciation) | | |
on investments (including $751,117 net unrealized | | |
appreciation on financial futures) | | 526,513,981 |
Net Assets ($) | | 1,790,782,502 |
|
|
Net Asset Value Per Share | | |
| Initial Shares | Service Shares |
Net Assets ($) | 1,617,093,789 | 173,688,713 |
Shares Outstanding | 52,220,103 | 5,603,053 |
Net Asset Value Per Share ($) | 30.97 | 31.00 |
|
See notes to financial statements. | | |
24
|
STATEMENT OF OPERATIONS |
Six Months Ended June 30, 2011 (Unaudited) |
| |
Investment Income ($): | |
Income: | |
Dividends; | |
Unaffiliated issuers | 17,817,328 |
Affiliated issuers | 16,085 |
Income from securities lending—Note 1(b) | 63,733 |
Interest | 852 |
Total Income | 17,897,998 |
Expenses: | |
Management fee—Note 3(a) | 2,222,905 |
Distribution fees—Note 3(b) | 216,235 |
Directors’ fees and expenses—Note 3(d) | 47,575 |
Professional fees | 42,354 |
Prospectus and shareholders’ reports | 36,869 |
Shareholder servicing costs—Note 3(c) | 16,549 |
Loan commitment fees—Note 2 | 11,866 |
Interest expense—Note 2 | 968 |
Miscellaneous | 22,831 |
Total Expenses | 2,618,152 |
Less—reduction in fees due to earnings credits—Note 3 (c) | (5) |
Net Expenses | 2,618,147 |
Investment Income—Net | 15,279,851 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments | 48,566,778 |
Net realized gain (loss) on financial futures | 1,963,248 |
Net Realized Gain (Loss) | 50,530,026 |
Net unrealized appreciation (depreciation) on investments | 38,373,258 |
Net unrealized appreciation (depreciation) on financial futures | 473,208 |
Net Unrealized Appreciation (Depreciation) | 38,846,466 |
Net Realized and Unrealized Gain (Loss) on Investments | 89,376,492 |
Net Increase in Net Assets Resulting from Operations | 104,656,343 |
|
See notes to financial statements. | |
STATEMENT OF CHANGES IN NET ASSETS
| | |
| Six Months Ended | |
| June 30, 2011 | Year Ended |
| (Unaudited) | December 31, 2010 |
Operations ($): | | |
Investment income—net | 15,279,851 | 29,904,478 |
Net realized gain (loss) on investments | 50,530,026 | 79,645,981 |
Net unrealized appreciation | | |
(depreciation) on investments | 38,846,466 | 127,503,542 |
Net Increase (Decrease) in Net Assets | | |
Resulting from Operations | 104,656,343 | 237,054,001 |
Dividends to Shareholders from ($): | | |
Investment income—net: | | |
Initial Shares | (14,010,421) | (28,030,229) |
Service Shares | (1,278,375) | (2,405,412) |
Net realized gain on investments: | | |
Initial Shares | (10,509,094) | — |
Service Shares | (1,112,437) | — |
Total Dividends | (26,910,327) | (30,435,641) |
Capital Stock Transactions ($): | | |
Net proceeds from shares sold: | | |
Initial Shares | 70,476,571 | 117,708,374 |
Service Shares | 11,956,516 | 21,604,639 |
Dividends reinvested: | | |
Initial Shares | 24,519,515 | 28,030,229 |
Service Shares | 2,390,812 | 2,405,412 |
Cost of shares redeemed: | | |
Initial Shares | (183,540,139) | (291,019,364) |
Service Shares | (16,644,219) | (25,004,310) |
Increase (Decrease) in Net Assets | | |
from Capital Stock Transactions | (90,840,944) | (146,275,020) |
Total Increase (Decrease) in Net Assets | (13,094,928) | 60,343,340 |
Net Assets ($): | | |
Beginning of Period | 1,803,877,430 | 1,743,534,090 |
End of Period | 1,790,782,502 | 1,803,877,430 |
Undistributed investment income—net | 861,756 | 870,701 |
26
| | |
| Six Months Ended | |
| June 30, 2011 | Year Ended |
| (Unaudited) | December 31, 2010 |
Capital Share Transactions: | | |
Initial Shares | | |
Shares sold | 2,279,569 | 4,297,365 |
Shares issued for dividends reinvested | 789,545 | 1,032,652 |
Shares redeemed | (5,953,416) | (10,780,561) |
Net Increase (Decrease) in Shares Outstanding | (2,884,302) | (5,450,544) |
Service Shares | | |
Shares sold | 385,180 | 809,525 |
Shares issued for dividends reinvested | 76,907 | 88,328 |
Shares redeemed | (541,313) | (925,125) |
Net Increase (Decrease) in Shares Outstanding | (79,226) | (27,272) |
|
See notes to financial statements. | | |
FINANCIAL HIGHLIGHTS
The following tables describe the performance for each share class for the fiscal periods indicated.All information (except portfolio turnover rate) reflects financial results for a single fund share.Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. The fund’s total returns do not reflect expenses associated with variable annuity or insurance contracts.These figures have been derived from the fund’s financial statements.
| | | | | | | |
| Six Months Ended | | | | | |
| June 30, 2011 | | Year Ended December 31, | |
Initial Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Per Share Data ($): | | | | | | |
Net asset value, | | | | | | | |
beginning of period | 29.67 | 26.31 | 22.98 | 37.40 | 36.15 | 31.82 |
Investment Operations: | | | | | | |
Investment income—neta | .26 | .48 | .48 | .64 | .64 | .56 |
Net realized and | | | | | | | |
unrealized gain | | | | | | | |
(loss) on investments | 1.51 | 3.37 | 4.85 | (14.40) | 1.26 | 4.33 |
Total from | | | | | | | |
Investment Operations | 1.77 | 3.85 | 5.33 | (13.76) | 1.90 | 4.89 |
Distributions: | | | | | | | |
Dividends from | | | | | | | |
investment income—net | (.27) | (.49) | (.48) | (.66) | (.65) | (.56) |
Dividends from net realized | | | | | | |
gain on investments | (.20) | — | (1.52) | — | — | — |
Total Distributions | | (.47) | (.49) | (2.00) | (.66) | (.65) | (.56) |
Net asset value, | | | | | | | |
end of period | | 30.97 | 29.67 | 26.31 | 22.98 | 37.40 | 36.15 |
Total Return (%) | | 5.95b | 14.84 | 26.33 | (37.14) | 5.26 | 15.50 |
Ratios/Supplemental | | | | | | |
Data (%): | | | | | | | |
Ratio of total expenses | | | | | | |
to average net assets | .26c | .27 | .29 | .28 | .27 | .27 |
Ratio of net expenses | | | | | | |
to average net assets | .26c | .27 | .29 | .28 | .27 | .27 |
Ratio of net investment | | | | | | |
income to average | | | | | | |
net assets | | 1.71c | 1.78 | 2.12 | 2.04 | 1.70 | 1.67 |
Portfolio Turnover Rate | 1.50b | 4.46 | 5.42 | 4.69 | 4.54 | 4.91 |
Net Assets, | | | | | | | |
end of period | | | | | | | |
($ x 1,000) | 1,617,094 | 1,635,095 | 1,593,165 | 1,464,344 | 2,702,209 | 3,594,085 |
| |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
28
| | | | | | |
Six Months Ended | | | | | |
| June 30, 2011 | | Year Ended December 31, | |
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Per Share Data ($): | | | | | | |
Net asset value, | | | | | | |
beginning of period | 29.70 | 26.34 | 23.00 | 37.41 | 36.16 | 31.82 |
Investment Operations: | | | | | | |
Investment income—neta | .22 | .41 | .43 | .57 | .55 | .47 |
Net realized and unrealized | | | | | | |
gain (loss) on investments | 1.51 | 3.38 | 4.85 | (14.42) | 1.26 | 4.35 |
Total from | | | | | | |
Investment Operations | 1.73 | 3.79 | 5.28 | (13.85) | 1.81 | 4.82 |
Distributions: | | | | | | |
Dividends from | | | | | | |
investment income—net | (.23) | (.43) | (.42) | (.56) | (.56) | (.48) |
Dividends from net realized | | | | | | |
gain on investments | (.20) | — | (1.52) | — | — | — |
Total Distributions | (.43) | (.43) | (1.94) | (.56) | (.56) | (.48) |
Net asset value, end of period | 31.00 | 29.70 | 26.34 | 23.00 | 37.41 | 36.16 |
Total Return (%) | 5.81b | 14.54 | 26.05 | (37.32) | 4.99 | 15.21 |
Ratios/Supplemental Data (%): | | | | | |
Ratio of total expenses | | | | | | |
to average net assets | .51c | .52 | .54 | .53 | .52 | .52 |
Ratio of net expenses | | | | | | |
to average net assets | .51c | .52 | .54 | .53 | .52 | .52 |
Ratio of net investment income | | | | | | |
to average net assets | 1.46c | 1.54 | 1.86 | 1.72 | 1.45 | 1.43 |
Portfolio Turnover Rate | 1.50b | 4.46 | 5.42 | 4.69 | 4.54 | 4.91 |
Net Assets, end of period | | | | | | |
($ x 1,000) | 173,689 | 168,782 | 150,369 | 124,614 | 532,711 | 590,965 |
| |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements.
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Stock Index Fund, Inc. (the “fund”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a non-diversified open-end management investment company, that is intended to be a funding vehicle for variable annuity contracts and variable life insurance policies to be offered by the separate accounts of life insurance companies.The fund’s investment objective is to match the total return of the Standard and Poor’s 500 Composite Stock Price Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. Mellon Capital Management Corporation (“Mellon Capital”), an indirect wholly-owned subsidiary of BNY Mellon, serves as the fund’s index manager.
MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of Dreyfus, is the distributor of the fund’s shares, which are sold without a sales charge.The fund is authorized to issue 400 million shares of $.001 par value Common Stock in each of the following classes of shares: Initial shares (250 million shares authorized) and Service shares (150 million shares authorized). Initial shares are subject to a shareholder services fee and Service shares are subject to a distribution fee. Each class of shares has identical rights and privileges, except with respect to the distribution plan, shareholder services plan, the expenses borne by each class, the allocation of certain transfer agency costs and certain voting rights. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for
30
SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions.Actual results could differ from those estimates.
The fund enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. U.S.Treasury Bills are valued at the mean price between quoted bid prices and asked prices by an independent pricing service approved by the Board of Directors. Registered investment companies that are not traded on an exchange are valued at their net asset value. When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant American Depository Receipts and futures contracts. For other
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
securities that are fair valued by the Board of Directors, certain factors may be considered such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Financial futures are valued at the last sales price.
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e. the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value.This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments relating to fair value measurements.These inputs are summarized in the three broad levels listed below:
Level 1—unadjusted quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
32
The following is a summary of the inputs used as of June 30, 2011 in valuing the fund’s investments:
| | | | |
| | Level 2—Other | Level 3— | |
| Level 1— | Significant | Significant | |
| Unadjusted | Observable | Unobservable | |
| Quoted Prices | Inputs | Inputs | Total |
Assets ($) | | | | |
Investments in Securities: | | | |
Equity Securities— | | | | |
Domestic† | 1,767,027,635 | — | — | 1,767,027,635 |
Mutual Funds | 38,795,775 | — | — | 38,795,775 |
U.S. Treasury | — | 1,784,938 | — | 1,784,938 |
Other Financial | | | | |
Instruments: | | | | |
Futures†† | 751,117 | — | — | 751,117 |
| |
† | See Statement of Investments for additional detailed categorizations. |
†† | Amount shown represents unrealized appreciation at period end. |
In January 2010, FASB issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about FairValue Measurements”. The portions of ASU No. 2010-06 which require reporting entities to prepare new disclosures surrounding amounts and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements as well as inputs and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3 have been adopted by the fund. No significant transfers between Level 1 or Level 2 fair value measurements occurred at June 30, 2011.
In May 2011, FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and International Financial Reporting Standards (“IFRS”)”. ASU No. 2011-04 includes common requirements for measurement of and disclosure about fair value between GAAP and IFRS. ASU No. 2011-04 will require reporting entities to disclose the following infor-
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
mation for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition,ASU No. 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by Dreyfus, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the
34
securities in a timely manner. During the period ended June 30, 2011, The Bank of NewYork Mellon earned $27,314 from lending portfolio securities, pursuant to the securities lending agreement.
(c) Affiliated issuers: Investments in other investment companies advised by Dreyfus are defined as “affiliated” in the Act.
The fund may invest in shares of certain affiliated investment companies also advised or managed by Dreyfus. Investments in affiliated investment companies for the period ended June 30, 2011 were as follows:
| | | | |
Affiliated | | | | |
Investment | Value | | Value | Net |
Company | 12/31/2010 ($) | Purchases ($) | Sales ($) 6/30/2011 ($) | Assets (%) |
Dreyfus | | | | |
Institutional | | | | |
Preferred | | | | |
Plus Money | | | | |
Market | | | | |
Fund | 39,713,000 | 96,137,000 | 115,976,000 19,874,000 | 1.1 |
Dreyfus | | | | |
Institutional | | | | |
Cash | | | | |
Advantage | | | | |
Fund† | 25,092,075 | 60,373,287 | 66,543,587 18,921,775 | 1.1 |
Total | 64,805,075 | 156,510,287 | 182,519,587 38,795,775 | 2.2 |
| |
† | On June 7, 2011, Dreyfus Institutional Cash Advantage Plus Fund was acquired by the |
| Dreyfus Institutional Cash Advantage Fund, resulting in transfer of shares. |
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net are declared and paid on a quarterly basis. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended June 30, 2011, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended December 31, 2010 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2010 was as follows: ordinary income $30,435,641.The tax character of the current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $225 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of commitment fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of borrowing.
The average amount of borrowings outstanding under the Facilities during the period ended June 30, 2011 was approximately $143,600, with a related weighted average annualized interest rate of 1.36%.
36
NOTE 3—Management Fee, Index Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a management agreement with Dreyfus, the management fee is computed at the annual rate of .245% of the value of the fund’s average daily net assets and is payable monthly.
Dreyfus has agreed to pay Mellon Capital a monthly index-management fee at the annual rate of .07% of the value of the fund’s average daily net assets.
(b) Under the Distribution Plan (the “Plan”) adopted pursuant to Rule 12b-1 under the Act, Service shares pay the Distributor for distributing its shares, for servicing and/or maintaining Service shares’ shareholder accounts and for advertising and marketing for Service shares.The Plan provides for payments to be made at an annual rate of .25% of the value of the Service shares’ average daily net assets.The Distributor may make payments to Participating Insurance Companies and to brokers and dealers acting as principal underwriter for their variable insurance products.The fees payable under the Plan are payable without regard to actual expenses incurred. During the period ended June 30, 2011, Service shares were charged $216,235 pursuant to the Plan.
(c) Under the Shareholder Services Plan, Initial shares reimburse the Distributor an amount not to exceed an annual rate of .25% of the value of the Initial shares’ average daily net assets for certain allocated expenses with respect to servicing and/or maintaining Initial shares’ shareholder accounts. During the period ended June 30, 2011, Initial shares were charged $7,960 pursuant to the Shareholders Services Plan.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of Dreyfus, under a transfer agency agreement for providing personnel and facilities to perform transfer agency services for the fund. During the period ended June 30, 2011, the fund was charged
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
$602 pursuant to the transfer agency agreement, which is included in Shareholder servicing costs in the Statement of Operations.
The fund has arrangements with the custodian and cash management bank whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset custody and cash management fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
The fund compensates The Bank of New York Mellon under a cash management agreement for performing cash management services related to fund subscriptions and redemptions. During the period ended June 30, 2011, the fund was charged $100 pursuant to the cash management agreement, which is included in Shareholder servicing costs in the Statement of Operations. These fees were partially offset by earnings credits of $5.
Dreyfus has agreed to bear the cost of custody fees.
During the period ended June 30, 2011, the fund was charged $2,981 for services performed by the Chief Compliance Officer.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: management fees $352,617, Rule 12b-1 distribution plan fees $34,932, shareholder services plan fees $3,000, chief compliance officer fees $2,259 and transfer agency per account fees $200.
(d) Each Board member also serves as a Board member of other funds within the Dreyfus complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended June 30, 2011, amounted to $27,256,306 and $104,784,283, respectively.
38
Futures Contracts: In the normal course of pursuing its investment objective, the fund is exposed to market risk, including equity price risk as a result of changes in value of underlying financial instruments. The fund invests in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board of Trade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the last sales price established by the Board of Trade or exchange upon which they are traded.When the contracts are closed, the fund recognizes a realized gain or loss. There is minimal counterparty credit risk to the fund with futures since futures are exchange traded, and the exchange’s clearinghouse guarantees the futures against default. Contracts open at June 30, 2011 are set forth in the Statement of Financial Futures.
The following summarizes the average market value of derivatives outstanding during the period ended June 30, 2011:
| |
| Average Market Value ($) |
Equity futures contracts | 23,898,901 |
At June 30, 2011, accumulated net unrealized appreciation on investments was $525,762,864, consisting of $710,259,593 gross unrealized appreciation and $184,496,729 gross unrealized depreciation.
At June 30, 2011, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 5—Pending Legal Matters:
The fund and more than two hundred other entities have been named as defendants in two pending litigations (Deutsche Bank Trust Co., Americas et al. v.Adaly Opportunity Fund TD Secs. Inc. et al., No. 11-cv-04784, filed July 12, 2011 in the United States District Court for the Southern District of NewYork, and Niese et al. v.AllianceBernstein L.P. et al., No. 11-cv-04538, filed July 1, 2011 in the United States District Court for the Southern District of New York) against shareholders of the Tribune Company who received payment for their shares in June or December 2007, as part of a leveraged buyout of the company (the “LBO”). Approximately one year after the LBO was concluded, the Tribune Company filed for bankruptcy. Thereafter, in approximately June 2011, certain Tribune Company creditors filed dozens of complaints in various courts throughout the country, including complaints in the two actions referred to above, alleging that the payments made to shareholders in the LBO were “fraudulent conveyances,” and that the shareholders must return the payments they received for their shares to satisfy the plaintiffs’ unpaid claims.
In addition, there is a case pending in United States Bankruptcy Court for the District of Delaware brought by the Unsecured Creditors Committee of the Tribune Company (The Official Committee of Unsecured Creditors of Tribune Co. v. Fitzsimons et al., Bankr. D. Del. Adv. Pro. No. 10-54010 (KJC), filed Nov. 1, 2010). In this case, the Creditors Committee seeks recovery for alleged “fraudulent conveyances” from approximately 27,000 Tribune shareholders, including the fund, in an Amended Complaint filed in December 2010.
At this early stage in the proceedings, it is not possible to assess with any reasonable certainty the probable outcomes of the pending litigations. Consequently, at this time, management is unable to estimate the possible loss or range of loss that may result.
40
|
INFORMATION ABOUT THE RENEWAL OF THE |
FUND’S MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the fund’s Board of Directors held on March 1, 2011, the Board considered the renewal of the fund’s Management Agreement pursuant to which Dreyfus provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below.The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Fund.The Board members considered information previously provided to them in presentations from representatives of Dreyfus regarding the nature, extent, and quality of the services provided to funds in the Dreyfus fund complex, and representatives of Dreyfus confirmed that there had been no material changes in this information. Dreyfus provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. Dreyfus also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the Dreyfus fund complex and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel, including the distribution channel(s) for the fund.
The Board members also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that Dreyfus also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements.The Board members also considered Dreyfus’ extensive administrative, accounting, and compliance infrastructures.The Board also considered portfolio management’s brokerage policies and practices (including policies and practices regarding soft dollars) and the standards applied in seeking best execution.
|
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board members reviewed reports prepared by Lipper, Inc. (“Lipper”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended December 31, 2010, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Lipper as of December 31, 2010. Dreyfus previously had furnished the Board with a description of the methodology Lipper used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.
Dreyfus representatives stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations that may be applicable to the fund and comparison funds. The Board members discussed the results of the comparisons and noted that the fund’s total return performance was above the Performance Group and Performance Universe medians, including several periods in the first quartile. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board members also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons.They noted that the fund’s contractual management fee was below the Expense Group median and the fund’s actual management fee and total expenses were below the Expense Group and Expense Universe medians.
42
Representatives of Dreyfus reviewed with the Board members the management or investment advisory fees (1) paid by funds advised or administered by Dreyfus that are in the same Lipper category as the fund and (2) paid to Dreyfus or the Dreyfus-affiliated primary employer of the fund’s primary portfolio manager for advising any separate accounts and/or other types of client portfolios that are considered to have similar investment strategies and policies as the fund (the “Similar Clients”), and explained the nature of the Similar Clients.They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors.The Board members considered the relevance of the fee information provided for the Similar Clients to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. Dreyfus’ representatives reviewed the expenses allocated and profit received by Dreyfus and the resulting profitability percentage for managing the fund, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by Dreyfus. The Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.
The Board’s counsel stated that the Board members should consider the profitability analysis (1) as part of their evaluation of whether the fees under the Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality
|
INFORMATION ABOUT THE RENEWAL OF THE FUND’S |
MANAGEMENT AGREEMENT (Unaudited) (continued) |
of such services, and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Dreyfus representatives noted that, as a result of shared and allocated costs among funds in the Dreyfus funds complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board members also considered potential benefits to Dreyfus from acting as investment adviser and noted that there were no soft dollar arrangements in effect for trading the fund’s investments.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.
The Board concluded that the nature, extent and quality of the services provided by Dreyfus are adequate and appropriate.
The Board was satisfied with the fund’s performance.
The Board concluded that the fee paid to Dreyfus was reasonable in light of the considerations described above.
The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
44
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year. In addition, it should be noted that the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of prior or similar agreements during which lengthy discussions took place between the Board members and Dreyfus representatives. Certain aspects of the arrangements may receive greater scrutiny in some years than in others, and the Board members’ conclusions may be based, in part, on their consideration of the same or similar arrangements in prior years. The Board members determined that renewal of the Agreement was in the best interests of the fund and its shareholders.
For More Information
Telephone 1-800-554-4611 or 1-516-338-3300
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 Attn: Investments Division
The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the fund uses to determine how to vote proxies relating to portfolio securities, and information regarding how the fund voted these proxies for the most recent 12-month period ended June 30 is available at http://www.dreyfus.com and on the SEC’s website at http://www.sec.gov. The description of the policies and procedures is also available without charge, upon request, by calling 1-800-DREYFUS.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable. [CLOSED END FUNDS ONLY]
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures applicable to Item 10.
Item 11. Controls and Procedures.
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Stock Index Fund, Inc.
By: /s/Bradley J. Skapyak |
Bradley J. Skapyak, President |
Date: | August 12, 2011 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated. |
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By: /s/Bradley J. Skapyak |
Bradley J. Skapyak, President |
Date: | August 12, 2011 |
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By: /s/James Windels |
James Windels, Treasurer |
Date: | August 12, 2011 |
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EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)