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 811-5883 | ||
Dreyfus Index Funds, 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) | ||
Mark N. Jacobs, 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: | 10/31 | |
Date of reporting period: | 04/30/2005 |
FORM N-CSR
Item 1. Reports to Stockholders.
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
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 | Letter from the Chairman | |
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 | |
25 | Statement of Financial Futures | |
26 | Statement of Assets and Liabilities | |
27 | Statement of Operations | |
28 | Statement of Changes in Net Assets | |
29 | Financial Highlights | |
30 | Notes to Financial Statements | |
37 | Information About the Review and Approval | |
of the Fund’s Management Agreement | ||
FOR MORE INFORMATION | ||
Back Cover |
Dreyfus |
Smallcap Stock Index Fund |
The Fund
LETTER FROM THE CHAIRMAN
Dear Shareholder: |
We are pleased to present this semiannual report for Dreyfus Smallcap Stock Index Fund, covering the six-month period from November 1, 2004, through April 30, 2005. Inside, you’ll find valuable information about how the fund was managed during the reporting period, including a discussion with the fund’s portfolio manager,Tom Durante, CFA.
The six-month reporting period produced mixed results for U.S. stocks across most market-capitalization ranges. After rallying strongly in the weeks after the November 2004 presidential election, equities gave back most of their gains as rising energy prices and higher interest rates took their toll on investor sentiment during the first few months of 2005.
According to our economists, recent market turbulence probably is the result of a transition to a more mature phase of the economic cycle; one that typically is characterized by higher interest rates and slowing corporate profit growth. In this current market environment, we believe it is important to maintain a long-term investment perspective, and your financial advisor can help you decide what adjustments, if any, you should make to your investment portfolio.
Thank you for your continued confidence and support.
2 |
DISCUSSION OF FUND PERFORMANCE
Tom Durante, CFA, Portfolio Manager
For the six-month period ended April 30, 2005, Dreyfus Smallcap Stock Index Fund produced a total return of 2.39% .1 The Standard & Poor’s SmallCap 600 Index (the “S&P 600 Index”) produced a 2.57% return for the same period.2,3
We attribute the fund and market’s performance to investor’s changing economic expectations. Stock market gains achieved primarily during the first half of the reporting period were followed by relatively lackluster returns during the second half of the reporting period.The difference in return between the fund and the S&P 600 Index was primarily due to the fund’s sampling strategy, transaction costs and other fund operating expenses.
What is the fund’s investment approach?
The fund seeks to match the total return of the S&P 600 Index. To reach this goal, the fund generally invests in a representative sample of the stocks listed in the S&P 600 Index.While the fund generally owns the vast majority of the stocks in the S&P 600 Index, some very small, less liquid stocks may be excluded from the portfolio. Often considered a barometer for the small-cap stock market in general, the S&P 600 Index is composed of 600 domestic stocks across 10 economic sectors. Each stock is weighted by its market capitalization; that is, larger companies have greater representation in the S&P 600 Index than smaller ones.The fund may also use stock index futures as a substitute for the sale or purchase of stocks.
As an index fund, the fund uses a passive management approach: all investment decisions are made based on the composition of the S&P 600 Index.The fund does not attempt to manage market volatility.
How did Dreyfus Smallcap Stock Index Fund perform relative to its benchmark?
The Fund 3 |
DISCUSSION OF FUND PERFORMANCE (continued) |
Small-cap stocks are often those of new and entrepreneurial companies and tend to grow faster than large-cap companies.They also typically use any profits for expansion rather than for paying dividends. Compared to larger, more established companies, small companies are subject to more erratic market movements and may carry additional risks because, among other things, their revenues and earnings also tend to be less predictable. As a result, their stocks tend to be less liquid and more volatile.
What other factors influenced the fund’s performance?
When the reporting period began, the U.S. economy was growing stronger due to low interest rates, strong consumer confidence and higher levels of capital spending among businesses. These factors helped fuel a post-election stock market rally, which persisted through the end of 2004. By February 2005, however, the U.S. economy appeared to hit a “soft patch,” and investors became concerned that rising short-term interest rates and higher energy prices might begin to constrain economic growth. As a result, investor sentiment shifted from smaller, faster-growing companies to shares of larger companies with track records of stable and predictable earnings under a broad range of economic conditions.This shift in sentiment hurt the smaller, less established and entrepreneurial companies that comprise the S&P 600 Index.
In this changing investment environment, the producer goods and services sector produced some of the stronger gains of the reporting period. Companies in the home construction, mining, industrial parts and heavy machinery industries posted especially positive results due to strong global economic growth and rising demand for these companies’ goods and services.Within the health care sector, medical service providers and HMOs fared well in a business environment characterized by greater pricing power and lower costs.A number of the smaller, niche health care companies in the S&P 600 Index also performed well, including a senior living center, a medical device company, a manufacturer of digital X-ray parts and a company whose devices protect health care workers and
4 |
patients from the spread of blood diseases. Energy stocks also helped fuel performance, an area in which almost all companies represented in the benchmark posted positive returns for the reporting period.
Only the technology and financials areas reported negative absolute returns. While technology stocks suffered across the board, electronic equipment and semiconductor companies bore the brunt of the sector’s weakness. Finally, in the financials sector, banks and thrifts were hurt by rising interest rates, which put pressure on their home mortgage businesses.
What is the fund’s current strategy?
As an index fund, our strategy is to replicate the returns of the small-cap market as represented by the S&P 600 Index.Accordingly, the percentage of the fund’s assets invested in each market sector closely approximates its representation in the S&P 600 Index.While small-cap stocks may involve greater risk than larger-cap stocks, in our view, an investment in a broadly diversified small-cap index fund, such as Dreyfus Smallcap Stock Index Fund, can help investors seek to manage stock market risk by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
May 16, 2005 |
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. Return figure provided reflects the | ||
absorption of fund expenses by The Dreyfus Corporation pursuant to an agreement in effect that | ||
may be extended, terminated or modified. Had these expenses not been absorbed, the fund’s return | ||
would have been lower. | ||
2 | SOURCE: LIPPER INC. — Reflects the reinvestment of dividends and, where applicable, | |
capital gain distributions.The Standard & Poor’s SmallCap 600 Index is a broad-based index | ||
and a widely accepted, unmanaged index of overall small-cap stock market performance. | ||
3 | Standard & Poor’s®,”“S&P®,” and “Standard & Poor’s SmallCap 600 Index” are trademarks | |
of The McGraw-Hill Companies, Inc., 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. |
The Fund 5 |
U N D E R S TA N D I N G YO U R F U N D ’ S E X P E N S E S ( U n a u d i t e d )
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) and redemption fees, 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 Smallcap Stock Index Fund from November 1, 2004 to April 30, 2005. 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 April 30, 2005
Expenses paid per $1,000 † | $ 2.51 | |
Ending value (after expenses) | $1,023.90 |
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 April 30, 2005
Expenses paid per $1,000 † | $ 2.51 | |
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%; multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6 |
STATEMENT OF INVESTMENTS April 30, 2005 (Unaudited) |
Common Stocks—99.7% | Shares | Value ($) | ||
Consumer Cyclical—16.6% | ||||
Action Performance Cos. | 16,400 a | 173,676 | ||
Albany International, Cl. A | 38,900 | 1,219,904 | ||
Angelica | 15,000 | 404,700 | ||
Applica | 22,500 b | 52,425 | ||
Arctic Cat | 24,400 | 577,792 | ||
Argosy Gaming | 37,100 b | 1,704,374 | ||
Ashworth | 12,400 b | 136,276 | ||
Aztar | 37,600 b | 1,026,856 | ||
Bally Total Fitness Holdings | 25,200 b | 80,136 | ||
Bassett Furniture | 16,700 | 327,988 | ||
Brown Shoe | 23,600 | 729,240 | ||
Burlington Coat Factory Warehouse | 40,000 | 1,102,000 | ||
CEC Entertainment | 44,625 b | 1,615,425 | ||
CPI | 8,100 | 133,083 | ||
Casey’s General Stores | 62,600 | 1,056,688 | ||
Cato, Cl. A | 29,200 | 750,440 | ||
Children’s Place Retail Stores | 24,500 b | 911,645 | ||
Christopher & Banks | 39,075 | 610,352 | ||
Coachmen Industries | 12,500 | 143,625 | ||
Cost Plus | 21,300 b | 493,947 | ||
Department 56 | 23,100 b | 301,224 | ||
Dress Barn | 31,200 b | 536,640 | ||
Electronics Boutique Holdings | 21,300 b | 1,187,049 | ||
Enesco Group | 7,300 b | 40,953 | ||
Ethan Allen Interiors | 43,300 | 1,304,629 | ||
Fedders | 13,670 a | 27,203 | ||
Finish Line, Cl. A | 52,400 | 944,248 | ||
Fleetwood Enterprises | 55,900 a,b | 427,076 | ||
Fossil | 69,325 b | 1,612,500 | ||
Fred’s | 38,800 | 560,272 | ||
Frontier Airlines | 33,600 b | 326,256 | ||
GameStop, Cl. B | 59,900 b | 1,398,066 | ||
Genesco | 30,800 b | 792,484 | ||
Goody’s Family Clothing | 40,000 | 330,000 | ||
Great Atlantic & Pacific | 36,200 a,b | 567,616 | ||
Group 1 Automotive | 26,600 b | 668,990 |
The Fund 7
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Cyclical (continued) | ||||
Guitar Center | 32,200 b | 1,589,070 | ||
Gymboree | 29,000 b | 331,470 | ||
Haggar | 7,200 | 139,680 | ||
Hancock Fabrics | 15,800 | 93,536 | ||
Haverty Furniture | 32,900 | 472,115 | ||
Hibbett Sporting Goods | 34,200 b | 922,374 | ||
Hot Topic | 50,000 a,b | 999,500 | ||
IHOP | 24,200 | 989,780 | ||
Insight Enterprises | 54,200 b | 981,020 | ||
Interface, Cl. A | 47,900 b | 287,400 | ||
J. Jill Group | 23,700 b | 297,198 | ||
JAKKS Pacific | 35,700 b | 670,803 | ||
Jack in the Box | 45,500 b | 1,663,480 | ||
Jo-Ann Stores | 31,960 b | 808,588 | ||
K-Swiss | 40,500 | 1,215,000 | ||
K2 | 50,000 b | 636,000 | ||
Kellwood | 33,300 | 850,482 | ||
Landry’s Restaurants | 30,000 | 780,000 | ||
La-Z Boy | 59,100 a | 699,744 | ||
Linens ‘n Things | 52,300 b | 1,220,159 | ||
Lone Star Steakhouse & Saloon | 28,300 | 802,305 | ||
Longs Drug Stores | 43,000 | 1,563,050 | ||
Marcus | 38,400 | 735,360 | ||
Men’s Wearhouse | 43,000 b | 1,774,610 | ||
Mesa Air Group | 47,700 a,b | 254,241 | ||
Midas | 21,600 b | 466,992 | ||
Monaco Coach | 34,450 | 488,501 | ||
Movie Gallery | 36,000 | 973,080 | ||
Multimedia Games | 28,300 a,b | 223,853 | ||
NBTY | 74,000 b | 1,577,680 | ||
National Presto Industries | 7,300 | 284,700 | ||
Nautilus Group | 43,600 a | 1,083,896 | ||
O’Charleys | 26,500 b | 528,410 | ||
OshKosh B’Gosh | 16,400 | 432,140 | ||
Oshkosh Truck | 44,400 a | 3,336,660 | ||
Oxford Industries | 19,500 | 714,090 | ||
P.F. Chang’s China Bistro | 30,600 a,b | 1,698,912 |
8
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Cyclical (continued) | ||||
Panera Bread, Cl. A | 36,100 a,b | 1,805,722 | ||
Papa John’s International | 18,300 b | 627,324 | ||
Pep Boys-Manny, Moe & Jack | 63,000 a | 893,340 | ||
Phillips-Van Heusen | 35,700 | 923,916 | ||
Pinnacle Entertainment | 38,600 b | 585,176 | ||
Polaris Industries | 53,500 | 3,079,460 | ||
Quiksilver | 70,500 b | 1,942,275 | ||
RARE Hospitality International | 39,050 b | 1,086,371 | ||
Russ Berrie & Co. | 24,000 | 310,320 | ||
Russell | 36,700 | 642,617 | ||
Ryan’s Restaurant Group | 50,300 b | 637,804 | ||
SCP Pool | 64,730 | 2,108,903 | ||
School Specialty | 28,900 b | 1,072,479 | ||
Select Comfort | 44,300 a,b | 979,916 | ||
ShopKo Stores | 37,000 b | 886,520 | ||
Shuffle Master | 40,473 a,b | 1,019,515 | ||
SkyWest | 68,400 | 1,236,672 | ||
Sonic | 73,955 b | 2,369,518 | ||
Sonic Automotive | 49,200 | 967,764 | ||
Stage Stores | 22,400 b | 847,168 | ||
Standard Motor Products | 21,700 | 197,036 | ||
Steak n Shake | 33,278 b | 601,666 | ||
Stein Mart | 47,300 a,b | 958,298 | ||
Stride Rite | 45,200 | 551,440 | ||
Sturm Ruger | 32,500 | 214,500 | ||
Superior Industries International | 29,200 a | 593,636 | ||
TBC | 27,400 b | 716,784 | ||
Too | 44,500 b | 1,023,945 | ||
Toro | 56,400 | 2,330,448 | ||
Tractor Supply | 42,600 a,b | 1,713,372 | ||
Triarc, Cl. B | 68,800 a | 883,392 | ||
WMS Industries | 31,200 a,b | 792,480 | ||
Wabash National | 38,400 | 979,200 | ||
Winnebago Industries | 38,500 a | 1,121,890 | ||
Wolverine World Wide | 72,850 | 1,478,127 | ||
Zale | 62,300 b | 1,683,969 | ||
96,724,620 |
The Fund 9
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Staples—2.4% | ||||
American Italian Pasta, Cl. A | 18,200 a | 430,612 | ||
Corn Products International | 94,000 | 2,069,880 | ||
DIMON | 54,300 a | 323,085 | ||
Delta & Pine Land | 44,233 | 1,114,672 | ||
Flowers Foods | 51,650 | 1,489,586 | ||
Hain Celestial Group | 38,000 b | 674,500 | ||
J & J Snack Foods | 13,400 | 655,930 | ||
Lance | 40,600 | 669,088 | ||
Libbey | 16,300 | 285,739 | ||
Nash Finch | 18,300 | 647,271 | ||
Nature’s Sunshine Products | 19,100 | 286,309 | ||
Performance Food Group | 52,000 b | 1,398,280 | ||
Ralcorp Holdings | 35,900 | 1,422,358 | ||
Sanderson Farms | 20,800 | 753,792 | ||
United Natural Foods | 42,300 b | 1,133,640 | ||
WD-40 | 19,800 | 555,192 | ||
13,909,934 | ||||
Energy—8.8% | ||||
American States Water | 17,050 | 433,070 | ||
Atmos Energy | 99,300 | 2,611,590 | ||
Atwood Oceanics | 17,800 b | 1,015,846 | ||
Cabot Oil & Gas | 58,450 | 1,720,768 | ||
Cal Dive International | 48,600 b | 2,161,728 | ||
Carbo Ceramics | 17,300 | 1,148,374 | ||
Cascade Natural Gas | 10,500 | 196,665 | ||
Cimarex Energy | 52,600 a,b | 1,867,300 | ||
Dril-Quip | 18,000 b | 524,700 | ||
Energen | 46,000 | 2,849,700 | ||
Frontier Oil | 35,100 | 1,477,008 | ||
Hydril | 27,800 b | 1,462,280 | ||
Laclede Group | 26,400 | 722,568 | ||
New Jersey Resources | 33,000 | 1,430,880 | ||
Northwest Natural Gas | 33,200 | 1,178,600 | ||
Oceaneering International | 31,100 b | 1,020,391 | ||
Patina Oil & Gas | 86,850 | 3,335,040 | ||
Penn Virginia | 19,900 | 817,293 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Petroleum Development | 21,900 b | 560,640 | ||
Piedmont Natural Gas | 93,000 a | 2,134,350 | ||
Remington Oil & Gas | 36,500 b | 1,064,705 | ||
St. Mary Land & Exploration | 74,000 | 1,605,800 | ||
Southern Union | 116,041 b | 2,778,012 | ||
Southwest Gas | 41,300 | 1,010,611 | ||
Southwestern Energy | 42,890 b | 2,519,788 | ||
Spinnaker Exploration | 35,500 b | 1,136,355 | ||
Stone Energy | 31,100 b | 1,397,634 | ||
Swift Energy | 33,900 b | 892,587 | ||
TETRA Technologies | 24,950 b | 674,398 | ||
UGI | 63,900 | 3,209,697 | ||
Unit | 51,000 b | 1,956,360 | ||
Veritas DGC | 40,400 b | 1,034,240 | ||
Vintage Petroleum | 75,000 | 2,166,750 | ||
W-H Energy Services | 33,900 b | 746,478 | ||
50,862,206 | ||||
Health Care—11.8% | ||||
AMERIGROUP | 62,900 b | 2,209,048 | ||
Accredo Health | 56,525 b | 2,560,583 | ||
Advanced Medical Optics | 44,500 a,b | 1,645,610 | ||
Alpharma, Cl. A | 69,000 | 651,360 | ||
Amedisys | 19,700 b | 591,197 | ||
American Healthways | 39,000 a,b | 1,456,650 | ||
American Medical Systems Holdings | 80,000 b | 1,396,800 | ||
AmSurg | 35,300 b | 913,917 | ||
ArQule | 39,200 b | 205,800 | ||
ArthroCare | 28,700 a,b | 843,206 | ||
BioLase Technology | 17,600 a | 115,808 | ||
Biosite | 20,400 a,b | 1,162,800 | ||
Bradley Pharmaceuticals | 20,000 a,b | 178,800 | ||
CONMED | 37,000 a,b | 1,099,640 | ||
Cambrex | 33,000 | 627,000 | ||
Connetics | 43,800 b | 951,774 | ||
Cooper Cos. | 52,400 | 3,539,620 | ||
Cyberonics | 25,500 b | 961,095 |
The Fund 11 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
DJ Orthopedics | 23,900 b | 601,085 | ||
Datascope | 20,000 | 574,400 | ||
Diagnostic Products | 34,500 | 1,673,250 | ||
Enzo Biochem | 38,617 b | 525,963 | ||
Haemonetics | 32,500 b | 1,390,025 | ||
Hologic | 24,400 b | 868,152 | ||
Hooper Holmes | 76,000 | 278,160 | ||
ICU Medical | 16,400 a,b | 581,052 | ||
IDEXX Laboratories | 42,000 b | 2,383,080 | ||
Immucor | 55,400 b | 1,653,136 | ||
Integra LifeSciences Holdings | 29,500 b | 1,045,185 | ||
Intermagnetics General | 30,375 b | 746,010 | ||
Invacare | 38,300 | 1,568,768 | ||
Kensey Nash | 14,000 a,b | 384,720 | ||
LCA-Vision | 23,000 | 901,370 | ||
LabOne | 21,500 b | 754,220 | ||
MGI Pharma | 82,700 b | 1,823,535 | ||
Medicis Pharmaceutical, Cl. A | 66,000 | 1,854,600 | ||
Mentor | 43,800 | 1,607,460 | ||
Merit Medical Systems | 29,800 b | 376,970 | ||
Noven Pharmaceuticals | 26,100 b | 434,043 | ||
OCA | 67,400 a,b | 273,644 | ||
Odyssey Healthcare | 42,150 b | 481,774 | ||
Osteotech | 14,500 b | 37,410 | ||
Owens & Minor | 48,300 | 1,401,183 | ||
Pediatrix Medical Group | 29,800 b | 2,029,082 | ||
Pharmaceutical Product Development | 65,000 b | 2,949,700 | ||
PolyMedica | 33,500 | 1,038,165 | ||
Possis Medical | 20,000 b | 177,200 | ||
Priority Healthcare, Cl. B | 43,618 b | 993,618 | ||
Regeneron Pharmaceuticals | 53,500 b | 297,460 | ||
RehabCare Group | 20,800 b | 624,416 | ||
ResMed | 40,700 b | 2,527,470 | ||
Respironics | 44,000 b | 2,780,360 | ||
SFBC International | 19,400 b | 605,280 | ||
Savient Pharmaceuticals | 74,900 b | 206,724 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
Sierra Health Services | 34,600 a,b | 2,238,274 | ||
Sunrise Senior Living | 24,200 a,b | 1,240,008 | ||
SurModics | 22,000 b | 793,540 | ||
Sybron Dental Specialties | 49,999 b | 1,862,463 | ||
Theragenics | 35,000 b | 122,850 | ||
United Surgical Partners International | 34,900 b | 1,544,325 | ||
Viasys Healthcare | 37,000 b | 785,880 | ||
Vital Signs | 15,200 | 620,160 | ||
68,766,878 | ||||
Interest Sensitive—15.1% | ||||
Anchor Bancorp Wisconsin | 27,000 | 713,340 | ||
BankAtlantic Bancorp, Cl. A | 64,000 | 1,091,840 | ||
BankUnited Financial, Cl. A | 36,000 | 859,680 | ||
Boston Private Financial Holdings | 33,600 | 750,624 | ||
Brookline Bancorp | 73,000 | 1,095,000 | ||
CRT Properties | 37,600 | 868,184 | ||
Capital Automotive | 50,200 | 1,705,796 | ||
Cash America International | 36,100 | 536,085 | ||
Centene | 50,300 b | 1,400,855 | ||
Chittenden | 52,037 | 1,306,649 | ||
Colonial Properties Trust | 49,300 | 1,905,445 | ||
Commercial Federal | 46,200 | 1,206,282 | ||
Commercial Net Lease Realty | 64,000 | 1,214,720 | ||
Community Bank System | 37,000 | 818,810 | ||
Delphi Financial Group, Cl. A | 37,517 | 1,557,706 | ||
Dime Community Bancshares | 37,350 | 554,274 | ||
Downey Financial | 31,280 | 2,024,754 | ||
East West Bancorp | 64,000 | 2,055,680 | ||
Entertainment Properties Trust | 31,200 | 1,347,840 | ||
Essex Property Trust | 27,900 | 2,119,005 | ||
Financial Federal | 21,700 | 766,010 | ||
First Bancorp | 50,250 | 1,822,065 | ||
First Midwest Bancorp | 54,274 | 1,772,589 | ||
First Republic Bank | 32,250 | 1,009,102 | ||
FirstFed Financial | 20,200 b | 1,022,726 | ||
Flagstar Bancorp | 55,000 | 1,047,200 |
The Fund 13 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Interest Sensitive (continued) | ||||
Fremont General | 88,000 | 1,908,720 | ||
Gables Residential Trust | 35,500 | 1,301,075 | ||
Glenborough Realty Trust | 43,800 | 899,652 | ||
Gold Banc | 43,300 | 598,839 | ||
Hilb, Rogal & Hamilton | 42,400 | 1,484,424 | ||
Hudson United Bancorp | 55,680 | 1,907,597 | ||
Infinity Property & Casualty | 27,400 | 889,130 | ||
Investment Technology Group | 48,300 b | 918,183 | ||
ipayment Holdings | 12,600 b | 458,514 | ||
Irwin Financial | 29,500 | 592,065 | ||
Kilroy Realty | 33,000 | 1,439,790 | ||
LandAmerica Financial Group | 22,100 | 1,096,160 | ||
Lexington Corporate Properties Trust | 61,000 a | 1,401,780 | ||
MAF Bancorp | 38,800 | 1,566,744 | ||
NCO Group | 39,500 b | 735,885 | ||
Nara Bancorp | 28,700 | 385,728 | ||
New Century Financial | 62,650 | 2,847,442 | ||
Parkway Properties | 17,500 | 798,000 | ||
Philadelphia Consolidated Holdings | 25,500 b | 1,912,500 | ||
Piper Jaffray | 25,000 a,b | 691,250 | ||
Presidential Life | 38,400 | 557,184 | ||
PrivateBancorp | 26,900 | 840,625 | ||
ProAssurance | 36,000 a,b | 1,350,360 | ||
Provident Bankshares | 39,524 | 1,157,263 | ||
RLI | 28,300 | 1,214,070 | ||
Republic Bancorp | 86,578 | 1,097,809 | ||
Rewards Network | 33,500 b | 165,825 | ||
Riggs National | 32,000 b | 624,960 | ||
SWS Group | 23,471 | 342,677 | ||
Selective Insurance Group | 33,300 a | 1,470,195 | ||
Shurgard Storage Centers, Cl. A | 53,200 | 2,225,356 | ||
South Financial Group | 85,000 | 2,243,150 | ||
Southwest Bancorporation of Texas | 85,200 | 1,414,320 | ||
Sovran Self Storage | 20,200 | 863,550 | ||
Sterling Bancshares | 52,000 | 698,360 | ||
Sterling Financial | 28,190 b | 921,531 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Interest Sensitive (continued) | ||||
Stewart Information Services | 22,500 | 810,450 | ||
Susquehanna Bancshares | 58,600 | 1,232,358 | ||
Trustco Bank | 93,844 | 1,033,222 | ||
UCBH Holdings | 112,800 | 1,774,344 | ||
UICI | 54,000 | 1,253,880 | ||
Umpqua Holdings | 53,600 | 1,190,992 | ||
United Bankshares | 51,300 | 1,570,806 | ||
Whitney Holding | 50,980 | 2,307,865 | ||
Wintrust Financial | 26,300 a | 1,207,433 | ||
World Acceptance | 22,800 b | 580,260 | ||
Zenith National Insurance | 24,000 | 1,380,240 | ||
87,934,824 | ||||
Producer Goods & Services—22.2% | ||||
A. Schulman | 36,900 | 616,230 | ||
A.M. Castle | 18,700 b | 223,465 | ||
A.O. Smith | 30,250 | 862,125 | ||
AAR | 32,950 b | 485,353 | ||
AMCOL International | 35,300 | 674,583 | ||
Acuity Brands | 51,300 | 1,226,583 | ||
Aleris International | 31,078 b | 666,934 | ||
Apogee Enterprises | 35,300 | 454,664 | ||
Applied Industrial Technologies | 35,650 | 994,635 | ||
AptarGroup | 43,700 | 2,107,651 | ||
Arch Chemicals | 30,400 | 783,712 | ||
Arkansas Best | 32,500 | 1,024,725 | ||
Armor Holdings | 41,000 b | 1,435,410 | ||
Astec Industries | 23,900 b | 556,870 | ||
Baldor Electric | 40,733 | 1,014,252 | ||
Barnes Group | 27,300 | 784,875 | ||
Belden CDT | 54,812 a | 1,005,252 | ||
Brady, Cl. A | 57,400 | 1,701,910 | ||
Briggs & Stratton | 62,600 a | 2,026,362 | ||
Brush Engineered Materials | 18,900 b | 270,459 | ||
Buckeye Technologies | 34,300 b | 270,970 | ||
Building Materials Holding | 16,100 | 884,534 | ||
C&D Technologies | 26,100 | 183,483 |
The Fund 15 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Producer Goods & Services (continued) | ||||
CLARCOR | 32,150 | 1,627,112 | ||
CUNO | 19,300 b | 978,896 | ||
Caraustar Industries | 33,000 b | 295,020 | ||
Carpenter Technology | 32,000 | 1,769,600 | ||
Century Aluminum | 33,400 b | 778,220 | ||
Champion Enterprises | 74,099 b | 699,495 | ||
Chesapeake | 28,000 | 543,760 | ||
Cleveland-Cliffs | 24,800 a | 1,438,648 | ||
Commercial Metals | 72,800 | 1,857,128 | ||
Cubic | 20,000 | 351,800 | ||
Curtiss-Wright | 28,100 | 1,523,020 | ||
DRS Technologies | 33,000 b | 1,460,250 | ||
Deltic Timber | 16,300 | 577,835 | ||
EDO | 23,900 | 712,937 | ||
EGL | 54,000 b | 1,053,540 | ||
ElkCorp | 22,700 | 624,250 | ||
Emcor Group | 18,100 b | 808,708 | ||
Engineered Support Systems | 51,950 | 1,834,874 | ||
Florida Rock Industries | 48,225 | 2,800,908 | ||
Forward Air | 42,250 | 1,016,535 | ||
Gardner Denver | 30,500 a,b | 1,114,470 | ||
GenCorp | 56,700 | 1,077,867 | ||
Georgia Gulf | 43,500 | 1,605,585 | ||
Griffon | 36,600 b | 702,354 | ||
H.B. Fuller | 36,400 | 1,103,648 | ||
Headwaters | 48,600 a,b | 1,553,742 | ||
Heartland Express | 79,456 | 1,473,114 | ||
Hughes Supply | 81,700 | 2,132,370 | ||
IDEX | 62,400 | 2,324,400 | ||
Insituform Technologies, Cl. A | 26,000 b | 387,660 | ||
JLG Industries | 59,000 a | 1,202,420 | ||
Kaman, Cl. A | 31,300 | 403,144 | ||
Kansas City Southern | 94,600 b | 1,789,832 | ||
Kaydon | 34,100 | 935,704 | ||
Kirby | 29,800 b | 1,214,052 | ||
Knight Transportation | 56,300 | 1,189,619 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Producer Goods & Services (continued) | ||||
Landstar System | 75,500 b | 2,314,075 | ||
Lawson Products | 10,500 | 404,565 | ||
Lennox International | 69,000 | 1,348,950 | ||
Lindsay Manufacturing | 10,800 | 201,528 | ||
Lone Star Technologies | 33,400 b | 1,300,596 | ||
Lydall | 16,900 b | 151,086 | ||
M.D.C. Holdings | 46,744 | 3,056,123 | ||
MacDermid | 36,100 | 1,095,635 | ||
MagneTek | 22,700 b | 82,174 | ||
Manitowoc | 34,475 | 1,379,000 | ||
Massey Energy | 91,200 | 3,293,232 | ||
Material Sciences | 16,500 b | 202,455 | ||
Maverick Tube | 50,100 b | 1,457,409 | ||
Meritage Homes | 29,000 b | 1,835,410 | ||
Milacron | 25,026 b | 52,555 | ||
Moog, Cl. A | 48,975 b | 1,459,945 | ||
Mueller Industries | 49,200 | 1,274,280 | ||
Myers Industries | 39,309 | 377,759 | ||
NVR | 7,100 b | 5,100,285 | ||
Neenah Paper | 19,700 | 592,773 | ||
OM Group | 36,900 b | 809,586 | ||
Offshore Logistics | 27,500 b | 796,675 | ||
Omnova Solutions | 28,000 b | 113,400 | ||
Penford | 10,900 | 156,960 | ||
PolyOne | 110,500 b | 853,060 | ||
Pope & Talbot | 21,000 | 274,050 | ||
Quaker Chemical | 8,500 | 165,665 | ||
Quanex | 33,650 | 1,697,979 | ||
RTI International Metals | 26,600 b | 598,234 | ||
Rayovac | 50,400 b | 1,836,576 | ||
Regal Beloit | 37,000 | 978,650 | ||
Reliance Steel & Aluminum | 39,100 | 1,475,243 | ||
Robins & Myers | 17,000 | 370,600 | ||
Rock-Tenn, Cl. A | 43,300 | 439,495 | ||
Rogers | 19,100 b | 659,714 | ||
Ryerson Tull | 23,300 a | 243,485 |
The Fund 17 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Producer Goods & Services (continued) | ||||
SEACOR Holdings | 21,150 b | 1,205,761 | ||
Schweitzer-Mauduit International | 15,500 | 452,910 | ||
Simpson Manufacturing | 51,000 | 1,377,000 | ||
Skyline | 11,800 | 425,980 | ||
Standard Pacific | 42,500 | 3,043,425 | ||
Standex International | 14,800 | 387,760 | ||
Steel Technologies | 15,100 | 289,769 | ||
Stewart & Stevenson Services | 33,700 | 808,800 | ||
Technitrol | 45,100 | 585,398 | ||
Teledyne Technologies | 44,100 b | 1,341,522 | ||
Texas Industries | 26,200 | 1,209,916 | ||
Thomas Industries | 17,250 | 680,857 | ||
Timken | 112,900 | 2,804,436 | ||
Tredegar | 47,500 | 772,350 | ||
Triumph Group | 20,000 b | 622,600 | ||
URS | 47,400 b | 1,457,550 | ||
USF | 31,000 | 1,321,530 | ||
United Stationers | 40,500 b | 1,708,290 | ||
Universal Forest Products | 21,400 | 814,484 | ||
Valmont Industries | 28,500 | 662,910 | ||
Watsco | 33,200 | 1,440,548 | ||
Watts Water Technologies | 34,000 | 1,062,500 | ||
Wausau-Mosinee Paper | 63,000 | 836,010 | ||
Wellman | 32,700 | 351,852 | ||
Wilson Greatbatch Technologies | 21,500 b | 412,370 | ||
Wolverine Tube | 10,000 b | 65,000 | ||
Woodward Governor | 15,400 | 1,086,624 | ||
128,894,913 | ||||
Services—7.5% | ||||
ABM Industries | 56,000 | 1,017,520 | ||
ADVO | 37,250 | 1,073,172 | ||
Aaron Rents | 53,397 | 1,172,598 | ||
Administaff | 32,900 | 449,743 | ||
Arbitron | 38,500 | 1,629,320 | ||
Boston Communications Group | 21,300 b | 118,428 | ||
Bowne & Co. | 42,200 | 549,444 |
18
Common Stocks (continued) | Shares | Value ($) | ||
Services (continued) | ||||
CACI International, Cl. A | 36,500 b | 2,267,380 | ||
CDI | 22,500 | 497,475 | ||
Central Parking | 34,810 | 569,143 | ||
Cerner | 40,500 a,b | 2,351,430 | ||
Chemed | 15,399 a | 1,090,865 | ||
Ciber | 70,700 b | 550,046 | ||
Consolidated Graphics | 16,500 b | 757,350 | ||
Cross Country Healthcare | 39,000 b | 628,290 | ||
Daktronics | 22,700 b | 462,172 | ||
Digital Insight | 42,100 b | 844,947 | ||
eFunds | 59,400 b | 1,298,484 | ||
4Kids Entertainment | 16,500 b | 332,640 | ||
FactSet Research Systems | 51,000 | 1,415,760 | ||
FindWhat.com | 35,000 b | 294,700 | ||
G & K Services, Cl. A | 25,500 | 978,690 | ||
Gentiva Health Services | 33,000 b | 646,140 | ||
Global Payments | 43,620 | 2,824,831 | ||
Healthcare Services Group | 16,000 | 404,000 | ||
Heidrick & Struggles International | 25,400 b | 656,844 | ||
Insurance Auto Auction | 13,300 b | 375,060 | ||
Intrado | 21,000 b | 264,810 | ||
John H. Harland | 34,600 | 1,245,600 | ||
Kronos | 40,550 b | 1,583,478 | ||
Labor Ready | 52,050 b | 868,715 | ||
MAXIMUS | 26,500 | 813,550 | ||
ManTech International, Cl. A | 31,300 b | 752,765 | ||
Mobile Mini | 15,000 b | 525,900 | ||
NDCHealth | 34,000 | 519,180 | ||
On Assignment | 7,000 b | 30,100 | ||
PAREXEL International | 32,300 b | 588,829 | ||
PRG-Schultz International | 48,650 b | 232,061 | ||
Paxar | 46,425 b | 831,936 | ||
Pegasus Solutions | 17,600 b | 188,144 | ||
Pre-Paid Legal Services | 21,700 a | 774,907 | ||
Shaw Group | 89,200 b | 1,611,844 | ||
Sourcecorp | 18,000 b | 321,300 |
The Fund 19 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Services (continued) | ||||
Spherion | 60,300 b | 338,283 | ||
Standard Register | 31,500 | 392,805 | ||
StarTek | 17,800 | 258,990 | ||
TALX | 25,500 | 630,360 | ||
Tetra Tech | 60,856 b | 644,465 | ||
Thomas Nelson | 18,800 | 450,824 | ||
Vertrue | 9,700 a,b | 294,977 | ||
Viad | 26,000 | 669,500 | ||
Volt Information Sciences | 16,400 b | 324,392 | ||
Waste Connections | 58,450 b | 2,058,609 | ||
Watson Wyatt & Company Holdings | 40,200 | 1,061,280 | ||
43,534,076 | ||||
Technology—13.6% | ||||
ANSYS | 39,500 b | 1,202,380 | ||
ATMI | 47,000 b | 1,077,005 | ||
Actel | 29,500 b | 413,885 | ||
Adaptec | 127,700 b | 467,382 | ||
Advanced Energy Industries | 35,000 b | 370,300 | ||
Aeroflex | 83,100 b | 658,983 | ||
Agilysys | 44,000 | 581,680 | ||
Alliance Semiconductor | 19,600 b | 30,968 | ||
Altiris | 31,600 a,b | 514,764 | ||
Analogic | 17,100 | 713,241 | ||
Anixter International | 44,200 b | 1,631,864 | ||
Applied Signal Technology | 13,400 | 261,434 | ||
Artesyn Technologies | 47,400 b | 334,170 | ||
Audiovox, Cl. A | 23,900 b | 326,474 | ||
Avid Technology | 42,300 b | 2,094,273 | ||
Axcelis Technologies | 135,500 b | 841,455 | ||
BEI Technologies | 17,300 | 397,900 | ||
Bel Fuse, Cl. B | 17,600 | 472,560 | ||
Bell Microproducts | 38,300 b | 306,400 | ||
Benchmark Electronics | 50,000 b | 1,352,000 | ||
Black Box | 23,600 | 767,472 | ||
Brooks Automation | 51,500 b | 662,290 | ||
Brooktrout | 16,100 b | 158,424 | ||
C-COR | 54,000 b | 356,940 |
20
Common Stocks (continued) | Shares | Value ($) | ||
Technology (continued) | ||||
CTS | 41,700 | 439,935 | ||
Captaris | 37,100 b | 135,786 | ||
Carreker | 31,300 b | 141,476 | ||
Catapult Communications | 18,400 b | 271,952 | ||
Ceradyne | 27,700 b | 550,122 | ||
Checkpoint Systems | 53,000 b | 838,990 | ||
Cognex | 55,000 | 1,201,200 | ||
Coherent | 36,200 b | 1,161,296 | ||
Cohu | 26,000 | 464,100 | ||
Coinstar | 30,500 b | 522,770 | ||
Concord Communications | 15,400 b | 253,330 | ||
Cymer | 42,700 b | 1,058,533 | ||
DSP Group | 33,800 b | 814,580 | ||
Dendrite International | 50,300 b | 775,626 | ||
Digi International | 29,000 b | 308,850 | ||
Dionex | 26,450 b | 1,136,028 | ||
Ditech Communications | 39,300 b | 444,483 | ||
EPIQ Systems | 21,600 a,b | 327,672 | ||
ESS Technology | 46,200 b | 177,408 | ||
Electro Scientific Industries | 34,500 b | 570,285 | ||
Esterline Technologies | 30,700 b | 992,224 | ||
Exar | 49,100 b | 623,079 | ||
FEI | 35,100 b | 632,853 | ||
FLIR Systems | 84,300 b | 2,242,380 | ||
FileNet | 51,100 b | 1,354,150 | ||
Gerber Scientific | 33,800 b | 239,304 | ||
Global Imaging Systems | 29,400 b | 1,019,886 | ||
Harmonic | 71,900 b | 396,169 | ||
Helix Technology | 31,500 | 379,417 | ||
Hutchinson Technology | 30,300 b | 1,122,312 | ||
Hyperion Solutions | 49,375 b | 2,008,081 | ||
Imagistics International | 19,500 b | 523,575 | ||
Input/Output | 77,100 b | 465,684 | ||
Inter-Tel | 34,800 | 662,592 | ||
Internet Security Systems | 54,500 b | 1,060,025 | ||
Itron | 24,300 b | 876,501 | ||
JDA Software Group | 32,800 b | 335,872 |
The Fund 21
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Technology (continued) | ||||
j2 Global Communications | 30,000 a,b | 1,071,600 | ||
Keithley Instruments | 20,200 | 280,578 | ||
Kopin | 63,000 b | 193,410 | ||
Kulicke & Soffa Industries | 62,600 b | 319,886 | ||
Littelfuse | 27,400 b | 738,156 | ||
MICROS Systems | 47,200 b | 1,871,480 | ||
MRO Software | 30,900 b | 395,211 | ||
MTS Systems | 28,100 | 813,776 | ||
Manhattan Associates | 36,000 b | 679,680 | ||
MapInfo | 24,500 b | 277,585 | ||
Meade Instruments | 28,500 b | 84,360 | ||
Mercury Computer Systems | 25,300 b | 666,149 | ||
Methode Electronics, Cl. A | 45,600 | 513,912 | ||
Microsemi | 66,400 b | 1,123,488 | ||
NETGEAR | 26,800 b | 432,284 | ||
NYFIX | 35,500 b | 187,795 | ||
Napster | 49,700 a,b | 284,284 | ||
Network Equipment Technologies | 23,000 b | 118,450 | ||
PC-Tel | 24,300 b | 175,932 | ||
Park Electrochemical | 28,250 | 625,738 | ||
Pericom Semiconductor | 23,000 b | 192,740 | ||
Phoenix Technologies | 32,400 b | 262,116 | ||
Photon Dynamics | 15,100 b | 292,185 | ||
Photronics | 46,600 b | 740,940 | ||
Pinnacle Systems | 69,580 b | 346,508 | ||
Planar Systems | 16,000 a,b | 123,360 | ||
Power Integrations | 38,000 b | 826,500 | ||
Progress Software | 45,300 b | 1,208,604 | ||
Radiant Systems | 29,600 b | 254,560 | ||
RadiSys | 23,300 b | 326,200 | ||
Roper Industries | 51,400 | 3,478,238 | ||
Rudolph Technologies | 14,400 b | 185,760 | ||
SBS Technologies | 17,300 b | 162,793 | ||
SPSS | 21,300 b | 342,717 | ||
ScanSource | 15,100 b | 698,375 | ||
Serena Software | 42,000 a,b | 799,260 |
22
Common Stocks (continued) | Shares | Value ($) | ||
Technology (continued) | ||||
Skyworks Solutions | 180,400 b | 945,296 | ||
Sonic Solutions | 31,500 a,b | 462,735 | ||
Standard Microsystems | 30,400 b | 430,160 | ||
Supertex | 22,900 b | 326,554 | ||
Symmetricom | 54,950 b | 565,985 | ||
Synaptics | 30,400 b | 551,152 | ||
THQ | 46,350 a,b | 1,168,947 | ||
Take-Two Interactive Software | 84,400 a,b | 1,985,932 | ||
Tollgrade Communications | 13,400 b | 94,604 | ||
Trimble Navigation | 65,000 b | 2,237,300 | ||
Ultratech | 22,100 b | 351,832 | ||
Varian Semiconductor Equipment Associates | 45,900 b | 1,711,611 | ||
Veeco Instruments | 30,000 b | 399,300 | ||
Verity | 44,500 b | 364,900 | ||
ViaSat | 27,600 b | 491,556 | ||
Vicor | 42,500 | 501,500 | ||
WebEx Communications | 49,000 b | 1,069,180 | ||
Websense | 30,400 b | 1,612,720 | ||
X-Rite | 27,000 | 279,990 | ||
Zix | 24,200 a,b | 66,550 | ||
79,235,184 | ||||
Utilities—1.7% | ||||
ALLETE | 35,300 | 1,470,951 | ||
Avista | 60,000 | 1,007,400 | ||
CH Energy Group | 19,900 | 848,735 | ||
Central Vermont Public Service | 16,000 | 337,760 | ||
Cleco | 58,700 | 1,198,654 | ||
Commonwealth Telephone Enterprises | 25,800 b | 1,198,668 | ||
El Paso Electric | 57,500 b | 1,121,825 | ||
General Communication, Cl. A | 64,000 b | 540,160 | ||
Green Mountain Power | 5,400 | 161,190 | ||
UIL Holdings | 18,200 | 934,388 | ||
UniSource Energy | 41,300 | 1,290,625 | ||
10,110,356 | ||||
Total Common Stocks | ||||
(cost $497,428,602) | 579,972,991 |
The Fund 23
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Principal | ||||
Short-Term Investments—.2% | Amount ($) | Value ($) | ||
Repurchase Agreement—.1% | ||||
Greenwich Capital Markets, Tri-Party Repurchase Agreement, | ||||
2.84%, dated 4/29/2005, due 5/02/2005 in the | ||||
amount of $ 800,189 (fully collateralized by | ||||
$780,000 of Federal Home Loan Mortgage Corp., 5%, | ||||
7/15/2014, value $819,192) | 800,000 | 800,000 | ||
U.S. Treasury Bill-.1% | ||||
2.61%, 6/9/2005 | 250,000 c | 249,308 | ||
Total Short-Term Investments | ||||
(cost $1,049,270) | 1,049,308 | |||
Investment of Cash Collateral | ||||
for Securities Loaned—7.2% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Plus Fund | ||||
(cost $41,833,002) | 41,833,002 d | 41,833,002 | ||
Total Investments (cost $540,310,874) | 107.1% | 622,855,301 | ||
Liabilities, Less Cash and Receivables | (7.1%) | (41,506,204) | ||
Net Assets | 100.0% | 581,349,097 |
a All or a portion of these securities are on loan. At April 30, 2005, the total market value of the fund’s securities on |
loan is $40,320,357 and the total market value of the collateral held by the fund is $41,833,002. |
b Non-income producing. |
c Partially held by the broker in a segregated account as collateral for open financial futures positions. |
d Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | ||||||
Value (%) | Value (%) | |||||
Producer Goods & Services | 22.2 | Short Term/ | ||||
Consumer Cyclical | 16.6 | Money Market Instruments | 7.4 | |||
Interest Sensitive | 15.1 | Consumer Staples | 2.4 | |||
Technology | 13.6 | Utilities | 1.7 | |||
Health Care | 11.8 | Futures Contracts | (.0) | |||
Energy | 8.8 | |||||
Services | 7.5 | 107.1 | ||||
† Based on net assets. | ||||||
See notes to financial statements. |
24
STATEMENT OF FINANCIAL FUTURES
April 30, 2005 (Unaudited)
Market Value | Unrealized | |||||||
Covered by | (Depreciation) | |||||||
Contracts | Contracts ($) | Expiration | at 4/30/2005 ($) | |||||
Financial Futures Long | ||||||||
Russell 2000 E-mini | 15 | �� | 871,350 | June 2005 | (10,810) | |||
Russell 2000 | 1 | 290,450 | June 2005 | (16,050) | ||||
(26,860) |
See notes to financial statements. |
The Fund 25 |
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2005 (Unaudited)
Cost | Value | |||
Assets ($): | ||||
Investments in securities—See Statement | ||||
of Investments (including securities on loan, | ||||
valued at $40,320,357)—Note 1(b): | ||||
Unaffiliated issuers | 498,477,872 | 581,022,299 | ||
Affiliated issuers | 41,833,002 | 41,833,002 | ||
Cash | 645,627 | |||
Receivable for shares of Common Stock subscribed | 591,888 | |||
Receivable for investment securities sold | 377,154 | |||
Dividends and interest receivable | 304,685 | |||
Receivable for futures variation margin—Note 4 | 18,559 | |||
624,793,214 | ||||
Liabilities ($): | ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 245,290 | |||
Liability for securities on loan—Note 1(b) | 41,833,002 | |||
Payable for investment securities purchased | 1,023,168 | |||
Payable for shares of Common Stock redeemed | 342,657 | |||
43,444,117 | ||||
Net Assets ($) | 581,349,097 | |||
Composition of Net Assets ($): | ||||
Paid-in capital | 499,839,622 | |||
Accumulated undistributed investment income—net | 996,051 | |||
Accumulated net realized gain (loss) on investments | (2,004,143) | |||
Accumulated net unrealized appreciation | ||||
(depreciation) on investments [including ($26,860) | ||||
net unrealized (depreciation) on financial futures] | 82,517,567 | |||
Net Assets ($) | 581,349,097 | |||
Shares Outstanding | ||||
(200 million shares of $.001 par value Common Stock authorized) | 30,972,674 | |||
Net Asset Value, offering and redemption price per share—Note 3(c) ($) | 18.77 |
See notes to financial statements. |
26 |
STATEMENT OF OPERATIONS Six Months Ended April 30, 2005 (Unaudited) |
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $1,149 foreign taxes withheld at source) | 2,748,516 | |
Income from securities lending | 135,095 | |
Interest | 42,095 | |
Total Income | 2,925,706 | |
Expenses: | ||
Management fee—Note 3(a) | 711,051 | |
Shareholder servicing costs—Note 3(b) | 711,051 | |
Loan commitment fees—Note 2 | 2,594 | |
Interest expense—Note 2 | 340 | |
Total Expenses | 1,425,036 | |
Investment Income—Net | 1,500,670 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 1,984,623 | |
Net realized gain (loss) on financial futures | 146,169 | |
Net Realized Gain (Loss) | 2,130,792 | |
Net unrealized appreciation (depreciation) | ||
on investments [including ($56,235) net | ||
unrealized (depreciation) on financial futures] | 2,977,965 | |
Net Realized and Unrealized Gain (Loss) on Investments | 5,108,757 | |
Net Increase in Net Assets Resulting from Operations | 6,609,427 |
See notes to financial statements. |
The Fund 27 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2005 | Year Ended | |||
(Unaudited) | October 31, 2004 | |||
Operations ($): | ||||
Investment income—net | 1,500,670 | 2,358,579 | ||
Net realized gain (loss) on investments | 2,130,792 | 13,678,114 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 2,977,965 | 39,677,338 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 6,609,427 | 55,714,031 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (2,599,744) | (899,274) | ||
Net realized gain on investments | (14,620,303) | — | ||
Total Dividends | (17,220,047) | (899,274) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 200,492,778 | 262,829,833 | ||
Dividends reinvested | 15,943,127 | 707,153 | ||
Cost of shares redeemed | (102,122,530) | (117,659,086) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 114,313,375 | 145,877,900 | ||
Total Increase (Decrease) in Net Assets | 103,702,755 | 200,692,657 | ||
Net Assets ($): | ||||
Beginning of Period | 477,646,342 | 276,953,685 | ||
End of Period | 581,349,097 | 477,646,342 | ||
Undistributed investment income—net | 996,051 | 2,095,125 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 10,028,032 | 14,861,346 | ||
Shares issued for dividends reinvested | 788,162 | 42,651 | ||
Shares redeemed | (5,101,324) | (6,641,176) | ||
Net Increase (Decrease) in Shares Outstanding | 5,714,870 | 8,262,821 |
See notes to financial statements. |
28 |
FINANCIAL HIGHLIGHTS |
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||||||||
April 30, 2005 | Year Ended October 31, | |||||||||||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||||
Per Share Data ($): | ||||||||||||||
Net asset value, | ||||||||||||||
beginning of period | 18.91 | 16.30 | 12.36 | 12.98 | 15.49 | 13.03 | ||||||||
Investment Operations: | ||||||||||||||
Investment income—net a | .05 | .11 | .06 | .04 | .04 | .03 | ||||||||
Net realized and unrealized | ||||||||||||||
gain (loss) on investments | .45 | 2.55 | 3.95 | (.53) | (1.06) | 3.06 | ||||||||
Total from Investment Operations | .50 | 2.66 | 4.01 | (.49) | (1.02) | 3.09 | ||||||||
Distributions: | ||||||||||||||
Dividends from investment | ||||||||||||||
income—net | (.10) | (.05) | (.04) | (.04) | (.03) | (.04) | ||||||||
Dividends from net realized | ||||||||||||||
gain on investments | (.54) | — | (.03) | (.09) | (1.46) | (.59) | ||||||||
Total Distributions | (.64) | (.05) | (.07) | (.13) | (1.49) | (.63) | ||||||||
Net asset value, end of period | 18.77 | 18.91 | 16.30 | 12.36 | 12.98 | 15.49 | ||||||||
Total Return (%) | 2.39b | 16.35 | 32.63 | (3.92) | (6.95) | 24.64 | ||||||||
Ratios/Supplemental Data (%): | ||||||||||||||
Ratio of total expenses | ||||||||||||||
to average net assets | .25b | .50 | .50 | .50 | .51 | .51 | ||||||||
Ratio of net investment income | ||||||||||||||
to average net assets | .26b | .67 | .44 | .30 | .28 | .21 | ||||||||
Portfolio Turnover Rate | 5.37b | 15.54 | 13.52 | 12.35 | 42.01 | 36.89 | ||||||||
Net Assets, end of period | ||||||||||||||
($ x 1,000) | 581,349 | 477,646 | 276,954 | 161,889 | 83,182 | 59,628 | ||||||||
a | Based on average shares outstanding at each month end. | |||||||||||||
b | Not annualized. | |||||||||||||
See notes to financial statements. |
The Fund 29 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”) which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series including the fund.The fund’s investment objective is to match the performance of the Standard & Poor’s Small Cap 600 Index.The Dreyfus Corporation (the “Manager” or “Dreyfus”) serves as the fund’s investment adviser. The Manager is a wholly-owned subsidiary of Mellon Financial Corporation (“Mellon Financial”). Dreyfus Service Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, 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. Investments in registered investment companies 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,
30 |
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 ADR’s and futures contracts. For other 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.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gain and loss 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, amortization of discount and premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with Mellon Bank, N.A., an affiliate of the Manager, the fund may lend securities to qualified insti-tutions.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 will be maintained at all times. Cash collateral is invested in certain money market mutual funds managed by the Manager.The fund will be entitled to receive all income on securities loaned, in addition to income earned as a result of the leading transaction. Such income earned is included in interest income. Although each security loaned is fully collateralized, the fund would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner.
The Fund 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The fund may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the fund, through its custodian and sub-custodian, takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the fund to resell, the obligation at an agreed-upon price and time, thereby determining the yield during the fund’s holding period.This arrangement results in a fixed rate of return that is not subject to market fluctuations during the fund’s holding period.The value of the collateral is at least equal, at all times, to the total amount of the repurchase obligation, including interest. In the event of a counter party default, the fund has the right to use the collateral to offset losses incurred. There is potential loss to the fund in the event the fund 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 fund seeks to assert its rights. The Manager, acting under the supervision of the Board of Directors, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the fund enters into repurchase agreements to evaluate potential risks.
(c) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gain, 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 gain can be offset by capital loss carryovers, if any, it is the policy of the fund not to distribute such gain. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles.
(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
32 |
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.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2004, were as follows: ordinary income $899,274.The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Line of Credit: |
The fund participates with other Dreyfus-managed funds in a $350 million redemption credit facility (the “Facility”) to be utilized for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay commitment fees on its pro rata portion of the Facility. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowings.
The average daily amount of borrowings outstanding under the Facility during the period ended April 30, 2005, was approximately $26,500 with a related weighted average annualized interest rate of 2.59% .
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to an Investment Management Agreement (“Agreement”) with the Manager, the management fee is computed at the annual rate of .25 of 1% of the value of the fund’s average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has agreed to pay all the expenses of the fund, except management fees, brokerage commissions, taxes, interest, commitment fees, Shareholder Services Plan fees, fees and expenses of non-interested Board members (including counsel fees) and extraordinary expenses. In addition, the Manager is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Board members (including counsel fees). Each Board member also serves as a Board member of other funds within the Dreyfus complex (collec-
The Fund 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
tively, the “Fund Group”). Each Board member receives an annual fee of $25,000, an attendance fee of $4,000 for each in-person meeting and $500 for telephone meetings.The chairman of the Board receives an additional 25% of such compensation (with the exception of reimburseable amounts). Subject to the Company’s Emeritus Program Guidelines, Emeritus Board Members, if any, receive 50% of the annual retainer fee and per meeting fee paid at the time the Board member achieves emeritus status.Amounts required to be paid by the Company directly to the non-interested Board members, that were applied to offset a portion of the management fee payable to the Manager, were in fact paid directly by the Manager to the non-interested Board members. All Board fees are allocated among the funds in the Fund Group in proportion to each fund’s relative net assets.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services at the annual rate of .25 of 1% of the value of the fund’s average daily net assets. The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, bank or other financial institution) in respect of these services.The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2005, the fund was charged an aggregate of $711,051 pursuant to the Shareholder Services Plan.
The components of Due to The Dreyfus Corporation and affiliates in the Statements of Assets and Liabilities consist of: management fees $122,645 and shareholders services plan fees $122,645.
(c) A 1% redemption fee is charged and retained by the fund on certain shares redeemed within six months following the date of issuance, including redemptions made through the use of the fund’s exchange privilege. During the period ended April 30, 2005, redemption fees charged and retained by the fund amounted to $9,956.
34 |
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 April 30, 2005, amounted to $129,539,844 and $30,351,389, respectively.
The fund may invest in financial futures contracts in order to gain exposure to or protect against changes in the market. The fund is exposed to market risk as a result of changes in the value of the underlying financial instruments. Investments in financial futures require the fund to “mark to market” on a daily basis, which reflects the change in the market value of the contract at the close of each day’s trading. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses.When the contracts are closed, the fund recognizes a realized gain or loss.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. Contracts open at April 30, 2005, are set forth in the Statement of Financial Futures.
At April 30, 2005, accumulated net unrealized appreciation on investments was $82,544,427, consisting of $118,324,129 gross unrealized appreciation and $35,779,702 gross unrealized depreciation.
At April 30, 2005, the cost of investment for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
NOTE 5—Legal Matters: |
In early 2004, two purported class and derivative actions were filed against Mellon Financial, Mellon Bank, N.A., Dreyfus, Founders Asset Management LLC, and certain directors of the Dreyfus Funds and the Dreyfus Founders Funds (together, the “Funds”) in the United States District Court for the Western District of Pennsylvania. In September
The Fund 35 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
2004, plaintiffs served a Consolidated Amended Complaint (the “Amended Complaint”) on behalf of a purported class of all persons who acquired interests in any of the Funds between January 30, 1999 and November 17, 2003, and derivatively on behalf of the Funds.The Amended Complaint in the newly styled In re Dreyfus Mutual Funds Fee Litigation also named the Distributor, Premier Mutual Fund Services, Inc. and two additional Fund directors as defendants and alleges violations of the Investment Company Act of 1940, the Investment Advisers Act of 1940, the Pennsylvania Unfair Trade Practices and Consumer Protection Law and common-law claims. Plaintiffs seek to recover allegedly improper and excessive Rule 12b-1 and advisory fees allegedly charged to the Funds for marketing and distribution services. More specifically, plaintiffs claim, among other things, that 12b-1 fees and directed brokerage were improperly used to pay brokers to recommend the Funds over other funds, and that such payments were not disclosed to investors. In addition, plaintiffs assert that economies of scale and soft-dollar benefits were not passed on to the Funds. Plaintiffs further allege that 12b-1 fees were improperly charged to certain of the Funds that were closed to new investors.The Amended Complaint seeks compensatory and punitive damages, rescission of the advisory contracts, and an accounting and restitution of any unlawful fees, as well as an award of attorneys’ fees and litigation expenses. As noted, some of the claims in this litigation are asserted derivatively on behalf of the Funds that have been named as nominal defendants.With respect to such derivative claims, no relief is sought against the Funds. Dreyfus believes the allegations to be totally without merit and intends to defend the action vigorously. Defendants filed motions to dismiss the Amended Complaint on November 12, 2004, and those motions are pending.
Additional lawsuits arising out of these circumstances and presenting similar allegations and requests for relief may be filed against the defendants in the future. Neither Dreyfus nor the Funds believe that any of the pending actions will have a material adverse effect on the Funds or Dreyfus’ ability to perform its contract with the Funds.
36 |
INFORMATION ABOUT THE REVIEW |
AND APPROVAL OF THE FUND’S |
INVESTMENT MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the Board of Directors held on March 14,2005,the Board considered the re-approval for another one-year term of the fund’s Management Agreement (the “Management Agreement”), pursuant to which the Manager provides the fund with investment advisory and administrative services. The Board members who are not “interested persons” (as defined in the Act (the “Independent Directors”)) of the fund were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Manager.
Analysis of Nature, Extent and Quality of Services Provided to the Fund. The Board members received a presentation from representatives of the Manager regarding services provided to the fund and other funds in the Dreyfus complex, and discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement.The Manager’s representatives reviewed the fund’s distribution of accounts and the relationships the Manager has with various intermediaries and the different needs of each.The Manager’s representatives noted the diversity of distribution of the Fund as well as the distribution of other funds in the Dreyfus complex, and the Manager’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each of the fund’s distribution channels.The Board also reviewed the number of shareholder accounts in the fund, as well as the fund’s asset size.
The Board members also considered the Manager’s research and portfolio management capabilities and that the Manager 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 the Manager’s extensive administrative, accounting and compliance infrastructure.
Comparative Analysis of the Fund’s Performance, Management Fee and Expense Ratio. The Board members reviewed the fund’s performance, management fee and expense ratio and placed significant emphasis on comparisons to a group of comparable funds and Lipper averages, and discussed the results of the comparisons.The Board members noted that
The Fund 37 |
I N FO R M AT I O N A B O U T T H E R E V I E W A N D A P P R OVA L O F T H E F U N D ’ S |
I N V E S T M E N T M A N A G E M E N T A G R E E M E N T ( U n a u d i t e d ) ( c o n t i n u e d ) |
the Fund’s performance as measured by total return was consistent with the total return of the S&P SmallCap 600 Index, and that the slight variations were due primarily to fees. The Board members also noted the fund’s performance as measured by total return was above the comparison group and Lipper category averages for the one-,three-,and five-year periods ended January 31, 2005.
The Board members reviewed the range of management fees, advisory fee and expense ratios, noting that the fund’s management fee was lower than a majority of the funds in the comparison group, and that the fund’s expense ratio was lower than that of the fund’s comparison group and Lipper category averages.The Board members also considered the fund’s primary distribution channel,and the fees charged,and services provided, by financial intermediaries offering the fund in that channel.The Board members noted that, as a “unitary fee” fund, the Manager has voluntarily agreed to pay all of the fund’s expenses, except management fees, brokerage commissions,taxes,interest,fees and expenses of non interested Board members, fees and expenses of independent counsel to the fund and to the non-interested Board members, Shareholder Services Plan fees, and extraordinary expenses.The Board also noted that the Manager voluntarily agreed to reduce its management fee in an amount equal to the Fund’s allocable portion of the accrued fees and expenses of non-interested Board members and fees and expenses of independent counsel to the fund and to the non-interested Board members.
Representatives of the Manager reviewed with the Board members the fees paid to the Manager or its affiliates by mutual funds managed by the Manager or its affiliates (the “Similar Funds”) and by separate accounts, or mutual funds for which the Manager or its affiliates serve as sub-investment adviser, with similar investment objectives, policies and strategies as the Fund (“Separate Accounts” and, collectively with the Similar Funds, the “Similar Accounts”) and explained the nature of each Similar Account and the differences, from the Manager’s perspective, in managing and providing other services to the Similar Accounts as compared to management of the fund.The Manager’s representatives also reviewed the costs associated with distribution of the fund and Similar Accounts
38 |
through intermediaries.The Board analyzed differences in fees paid to the Manager and discussed the relationship of the fees paid in light of the Manager’s performance and the services provided. Noting the Fund’s “unitary fee” structure, the Board members concluded that the Similar Funds had advisory fees and expense ratios that were higher than the fund’s management fee and expense ratio and the Separate Accounts had advisory fees that were lower than the fund’s management fee. A representative of the Manager stated that certain Similar Accounts had lower advisory fees as a result of historical pricing arrangements and other Similar Accounts were mutual funds that were sub-advised but not administered by an affiliate of the Manager. The Board members considered the relevance of the fee information provided for the Separate Accounts to evaluate the appropriateness and reasonableness of the fund’s management fee.The Board acknowledged that differences in fees paid by the Separate Accounts seemed to be consistent with the management and other services provided.
Analysis of Profitability and Economies of Scale.The Manager’s representatives reviewed the dollar amount of expenses allocated to, and profit received by, the Manager and the method used to determine such expenses and profit.The Board members evaluated the analysis in light of the relevant circumstances for the fund, the extent to which economies of scale would be realized as the fund grows and whether fee levels reflect these economies of scale for the benefit of fund investors. The Board members also considered potential benefits to the Manager from acting as investment adviser and noted that the Manager had no soft dollar arrangement with respect to the fund.
It was noted that the Board members should consider the Manager’s profitability with respect to the fund as part of their evaluation of whether the fee under the Management Agreement bears a reasonable relationship to the mix of services provided by the Manager, including the nature, extent and quality of such services and that a discussion of economies of scale is predicated on increasing assets and that, if a fund’s assets had been decreasing, the possibility that the Manager may have realized any economies of scale would be less.It also was noted that the profitability per-
The Fund 39 |
I N FO R M AT I O N A B O U T T H E R E V I E W A N D A P P R OVA L O F T H E F U N D ’ S |
I N V E S T M E N T M A N A G E M E N T A G R E E M E N T ( U n a u d i t e d ) ( c o n t i n u e d ) |
centage for managing the fund was within ranges determined by appropriate court cases to be reasonable given the services rendered and given the fund’s overall performance and generally superior service levels provided.
At the conclusion of these discussions, each of the Independent Directors expressed the opinion that he or she had been furnished with sufficient information to make an informed business decision with respect to continuation of the fund’s Management Agreement. Based on their discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the services provided by the Manager are adequate and appropriate.
- The Board was satisfied with the fund’s overall performance.
- The Board concluded that the fee paid to the Manager was reason- able in light of comparative performance and expense and advisory fee information, costs of the services provided and profits realized, or to be realized, and benefits derived or to be derived by the Manager from its relationship with the fund.
- The Board recognized that economies of scale may be realized as the fund’s assets increase and determined that, to the extent that material economies of scale had not been shared with the fund, the Board would seek to do so.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that re-approval of the fund’s Management Agreement was in the best interests of the fund and its shareholders.
40 |
For More | Information | |
Dreyfus | Transfer Agent & | |
Smallcap Stock | Dividend Disbursing Agent | |
Index Fund | Dreyfus Transfer, Inc. | |
200 Park Avenue | 200 Park Avenue | |
New York, NY 10166 | New York, NY 10166 | |
Manager | Distributor | |
The Dreyfus Corporation | Dreyfus Service Corporation | |
200 Park Avenue | 200 Park Avenue | |
New York, NY 10166 | New York, NY 10166 | |
Custodian | ||
Boston Safe Deposit and | ||
Trust Company | ||
One Boston Place | ||
Boston, MA 02109 | ||
Telephone 1-800-645-6561 |
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 E-mail Send your request to info@dreyfus.com Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
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 12-month period ended June 30, 2004, 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 1-800-645-6561.
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
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 | Letter from the Chairman | |
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 | |
22 | Statement of Financial Futures | |
23 | Statement of Assets and Liabilities | |
24 | Statement of Operations | |
25 | Statement of Changes in Net Assets | |
26 | Financial Highlights | |
27 | Notes to Financial Statements | |
35 | Information About the Review and Approval | |
of the Fund’s Management Agreement | ||
FOR MORE INFORMATION | ||
Back Cover |
Dreyfus |
S&P 500 Index Fund |
The Fund
LETTER FROM THE CHAIRMAN
Dear Shareholder: |
We are pleased to present this semiannual report for Dreyfus S&P 500 Index Fund, covering the six-month period from November 1, 2004, through April 30, 2005. Inside, you’ll find valuable information about how the fund was managed during the reporting period, including a discussion with the fund’s portfolio manager,Tom Durante, CFA.
The six-month reporting period produced mixed results for U.S. stocks across most market-capitalization ranges. After rallying strongly in the weeks after the November 2004 presidential election, equities gave back most of their gains as rising energy prices and higher interest rates took their toll on investor sentiment during the first few months of 2005.
According to our economists, recent market turbulence probably is the result of a transition to a more mature phase of the economic cycle; one that typically is characterized by higher interest rates and slowing corporate profit growth. In this current market environment, we believe it is important to maintain a long-term investment perspective, and your financial advisor can help you decide what adjustments, if any, you should make to your investment portfolio.
Thank you for your continued confidence and support.
2 |
DISCUSSION OF FUND PERFORMANCE
Tom Durante, CFA, Portfolio Manager |
How did Dreyfus S&P 500 Index Fund perform relative to its |
benchmark? |
For the six-month period ended April 30, 2005, the fund produced a total return of 3.05% .1 The Standard & Poor’s 500 Composite Stock Price Index (the “S&P 500 Index”), the fund’s benchmark, produced a 3.28% return for the same period.2,3
We attribute the fund and market’s performance to investors’ changing economic expectations. Stock market gains achieved in the wake of the U.S. presidential election during the first half of the reporting period were followed by relatively lackluster returns during the second half of the reporting period.The difference in return between the fund and S&P 500 Index was primarily the result of transaction costs and other operating expenses that are not reflected by the S&P 500 Index.
What is the fund’s investment approach?
The fund seeks to match the total return of the S&P 500 Index.To pursue this goal, the fund generally invests in all 500 stocks in the S&P 500 Index in proportion to their weighting in the S&P 500 Index. Often considered a barometer for the stock market in general, the S&P 500 Index is made up of 500 widely held common stocks across 10 economic sectors.The S&P 500 Index is dominated by large-cap, blue-chip stocks that comprise nearly 75% of total U.S. market capitalization.
However, it is important to note that the S&P 500 Index is not composed of the 500 largest companies; rather, it is designed 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 may also use stock index futures as a substitute for the sale or purchase of stocks.
As an index fund, the fund uses a passive management approach; all investment decisions are made based on the composition of the S&P 500 Index.The fund does not attempt to manage market volatility.
The Fund 3 |
DISCUSSION OF FUND PERFORMANCE (continued) |
What other factors influenced the fund’s performance?
When the reporting period began, the U.S. economy was growing stronger due to low interest rates, strong consumer confidence and higher levels of capital spending among businesses. In addition, the resolution of the U.S. presidential election lifted a cloud of uncertainty from the economy and financial markets. These factors helped fuel a stock market rally that persisted through the end of 2004. By February 2005, however, the economy appeared to hit a “soft patch,” and investors became concerned that rising short-term interest rates and higher energy prices might constrain economic growth further.
In this changing investment environment, investor sentiment shifted from smaller, faster-growing companies to shares of larger companies with track records of stable and predictable earnings under a broad range of economic conditions. As a result, the large-cap stocks in the S&P 500 Index generally produced higher returns than smaller-cap stocks for the first extended period in several years.
The fund’s strongest gains during the reporting period stemmed from its energy holdings, which benefited from higher commodity prices as rising demand from China and other emerging markets was met by limited supplies of oil and gas. Large integrated energy companies, such as industry leader Exxon Mobil, produced particularly strong results.
The fund also received strong contributions to performance from the health care sector, where medical providers, HMOs and hospitals fared well.These companies benefited from greater pricing power and lower costs. In addition, as more workers found employment in the recovering economy, HMO enrollment trends improved, helping to boost revenues and earnings.
Consumer staples stocks benefited during the reporting period from investors’ increasing preference for value-oriented stocks over more growth-oriented shares. Companies that sell home goods, food, beverages and tobacco products to consumers tend to offer attractive dividends and produce stable, predictable returns regardless of economic conditions. In addition, tobacco companies, such as Altria Group, gained value as litigation concerns eased.
4 |
>
On the other hand, technology stocks produced generally disappointing returns over the reporting period as investors turned away from the more growth-oriented parts of the market. Electronic equipment and Internet companies bore the brunt of the sector’s weakness. Automobile companies also lost value as the industry’s business fundamentals deteriorated in the rising interest-rate environment. Finally, in the consumer cyclicals area, large warehouse-type retailers, such as Wal-Mart Stores, were hurt by higher gasoline costs, which left their customer base with less disposable income. However, luxury retailers, whose customers generally have higher incomes, fared relatively well.
What is the fund’s current strategy?
As an index fund, our strategy is to attempt to replicate the returns of the S&P 500 Index. Accordingly, as of April 30, 2005, the percentage of the fund’s assets invested in each industry group closely approximated its representation in the S&P 500 Index. In our view, an investment in a broadly diversified index fund, such as Dreyfus S&P 500 Index Fund, can help investors seek to manage stock market risk by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
May 16, 2005 |
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. Return figure provided reflects the | ||
absorption of fund expenses by The Dreyfus Corporation pursuant to an agreement in effect that | ||
may be extended, terminated or modified. Had these expenses not been absorbed, the fund’s return | ||
would have been lower. | ||
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. | ||
3 | “Standard & Poor’s®,”“S&P®,”“Standard & Poor’s 500” and “S&P 500®” are trademarks of | |
The McGraw-Hill Companies, Inc., 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. |
The Fund 5 |
U N D E R S TA N D I N G YO U R F U N D ’ S E X P E N S E S ( U n a u d i t e d )
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) and redemption fees, 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 S&P 500 Index Fund from November 1, 2004 to April 30, 2005. 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 April 30, 2005
Expenses paid per $1,000 † | $ 2.52 | |
Ending value (after expenses) | $1,030.50 |
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 April 30, 2005
Expenses paid per $1,000 † | $ 2.51 | |
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%; multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6 |
STATEMENT OF INVESTMENTS April 30, 2005 (Unaudited) |
Common Stocks—98.6% | Shares | Value ($) | ||
Consumer Cyclical—8.6% | ||||
Albertson’s | 110,172 a | 2,180,304 | ||
Autonation | 67,600 b | 1,235,052 | ||
AutoZone | 20,300 b | 1,684,900 | ||
Bed Bath & Beyond | 90,600 b | 3,371,226 | ||
Best Buy | 89,350 a | 4,497,879 | ||
Big Lots | 33,800 b | 344,084 | ||
Brunswick | 29,000 | 1,218,000 | ||
CVS | 119,800 | 6,179,284 | ||
Circuit City Stores—Circuit City Group | 57,300 | 905,340 | ||
Coach | 114,400 b | 3,065,920 | ||
Cooper Tire & Rubber | 21,000 | 366,450 | ||
Costco Wholesale | 141,400 | 5,738,012 | ||
Dana | 44,959 | 513,432 | ||
Darden Restaurants | 44,250 | 1,327,500 | ||
Delphi | 167,969 | 554,298 | ||
Delta Air Lines | 41,900 a,b | 137,851 | ||
Dillard’s, Cl. A | 21,100 | 490,997 | ||
Dollar General | 90,208 | 1,835,733 | ||
Eastman Kodak | 85,800 | 2,145,000 | ||
Eaton | 45,800 | 2,686,170 | ||
Family Dollar Stores | 50,200 | 1,354,396 | ||
Federated Department Stores | 50,700 | 2,915,250 | ||
Ford Motor | 548,092 | 4,993,118 | ||
Gap | 237,325 | 5,066,889 | ||
General Motors | 169,100 a | 4,511,588 | ||
Genuine Parts | 52,300 | 2,243,670 | ||
Harley-Davidson | 87,400 a | 4,109,548 | ||
Harrah’s Entertainment | 34,100 | 2,237,642 | ||
Hasbro | 50,000 | 946,000 | ||
Hilton Hotels | 115,200 | 2,514,816 | ||
Home Depot | 657,403 | 23,252,344 | ||
International Game Technology | 103,300 | 2,777,737 | ||
J. C. Penney | 80,900 | 3,835,469 | ||
Johnson Controls | 57,200 | 3,138,564 | ||
Jones Apparel Group | 36,600 | 1,114,470 | ||
Kohl’s | 97,600 b | 4,645,760 | ||
Kroger | 219,200 b | 3,456,784 |
The Fund 7
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Cyclical (continued) | ||||
Limited Brands | 114,400 | 2,481,336 | ||
Liz Claiborne | 32,500 | 1,151,475 | ||
Lowe’s Cos. | 231,300 a | 12,053,043 | ||
Marriott International, Cl. A | 60,200 | 3,777,550 | ||
Mattel | 124,700 | 2,250,835 | ||
May Department Stores | 87,450 | 3,067,746 | ||
Maytag | 23,800 a | 230,622 | ||
McDonald’s | 380,800 | 11,161,248 | ||
NIKE, Cl. B | 68,800 | 5,284,528 | ||
Navistar International | 19,700 b | 581,741 | ||
Nordstrom | 37,700 | 1,916,291 | ||
Office Depot | 93,600 b | 1,832,688 | ||
OfficeMax | 28,000 | 909,440 | ||
PACCAR | 51,950 | 3,527,405 | ||
RadioShack | 47,400 a | 1,183,578 | ||
Reebok International | 16,800 a | 682,248 | ||
Safeway | 134,000 b | 2,852,860 | ||
Sears Holdings | 28,762 | 3,889,773 | ||
Southwest Airlines | 220,518 | 3,281,308 | ||
Staples | 222,375 | 4,240,691 | ||
Starbucks | 119,600 a,b | 5,922,592 | ||
Starwood Hotels & Resorts Worldwide | 63,600 | 3,456,024 | ||
TJX Cos. | 144,300 | 3,268,395 | ||
Target | 268,100 | 12,439,840 | ||
Tiffany & Co. | 43,600 | 1,314,540 | ||
Toys R Us | 64,400 b | 1,632,540 | ||
V. F. | 29,900 | 1,692,041 | ||
Visteon | 38,815 | 135,852 | ||
Wal-Mart Stores | 1,014,200 | 47,809,388 | ||
Walgreen | 305,800 | 13,167,748 | ||
Wendy’s International | 34,100 | 1,463,913 | ||
Whirlpool | 20,000 a | 1,241,200 | ||
Yum! Brands | 87,220 | 4,095,851 | ||
277,587,807 | ||||
Consumer Staples—8.0% | ||||
Alberto-Culver, Cl. B | 25,400 | 1,130,300 | ||
Altria Group | 619,300 | 40,248,307 |
8
Common Stocks (continued) | Shares | Value ($) | ||||
Consumer Staples (continued) | ||||||
Anheuser-Busch Cos. | 232,600 | 10,901,962 | ||||
Archer-Daniels-Midland | 186,560 | 3,356,214 | ||||
Avon Products | 141,172 | 5,658,174 | ||||
Brown-Forman, Cl. B | 27,000 | 1,498,500 | ||||
Campbell Soup | 97,500 | 2,899,650 | ||||
Clorox | 45,900 | 2,905,470 | ||||
Coca-Cola | 678,200 | 29,461,008 | ||||
Coca-Cola Enterprises | 105,600 | 2,143,680 | ||||
Colgate-Palmolive | 157,300 | 7,831,967 | ||||
ConAgra Foods | 154,300 | a | 4,127,525 | |||
Fortune Brands | 43,400 | 3,670,772 | ||||
General Mills | 109,300 | 5,399,420 | ||||
Gillette | 296,800 | 15,326,752 | ||||
H. J. Heinz | 104,800 | 3,861,880 | ||||
Hershey Foods | 65,500 | 4,185,450 | ||||
International Flavors & Fragrances | 26,500 | a | 1,004,350 | |||
Kellogg | 105,100 | 4,724,245 | ||||
Kimberly-Clark | 144,100 | 8,999,045 | ||||
McCormick & Co. | 40,600 | 1,404,354 | ||||
Molson Coors Brewing, Cl. B | 24,100 | a | 1,488,175 | |||
Newell Rubbermaid | 82,262 | a | 1,787,553 | |||
Pactiv | 44,400 | b | 951,936 | |||
Pepsi Bottling Group | 59,200 | 1,697,264 | ||||
PepsiCo | 502,400 | 27,953,536 | ||||
Procter & Gamble | 755,200 | 40,894,080 | ||||
Reynolds American | 34,900 | a | 2,721,153 | |||
SUPERVALU | 40,400 | a | 1,275,024 | |||
Sara Lee | 236,300 | 5,054,457 | ||||
Sysco | 190,700 | 6,598,220 | ||||
UST | 49,500 | 2,267,100 | ||||
Wm. Wrigley Jr. | 58,600 | 4,051,018 | ||||
257,478,541 | ||||||
Energy—8.6% | ||||||
Amerada Hess | 25,500 | a | 2,388,075 | |||
Anadarko Petroleum | 70,932 | 5,180,873 | ||||
Apache | 97,750 | a | 5,502,348 | |||
BJ Services | 48,600 | 2,369,250 |
The Fund 9
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Baker Hughes | 101,190 a | 4,464,503 | ||
Burlington Resources | 115,790 | 5,628,552 | ||
ChevronTexaco | 629,936 | 32,756,672 | ||
ConocoPhillips | 208,320 | 21,842,352 | ||
Devon Energy | 143,500 | 6,481,895 | ||
Dynegy, Cl. A | 99,100 b | 331,985 | ||
EOG Resources | 71,500 | 3,399,825 | ||
El Paso | 192,575 | 1,923,824 | ||
Exxon Mobil | 1,911,476 | 109,011,476 | ||
Halliburton | 151,000 | 6,280,090 | ||
Kerr-McGee | 48,865 | 3,791,924 | ||
KeySpan | 48,100 | 1,824,433 | ||
Kinder Morgan | 32,900 a | 2,515,534 | ||
Marathon Oil | 103,900 | 4,838,623 | ||
Nabors Industries | 42,400 b | 2,284,088 | ||
National-Oilwell Varco | 50,200 a,b | 1,994,948 | ||
Nicor | 13,200 a | 488,004 | ||
NiSource | 81,200 | 1,887,088 | ||
Noble | 40,600 | 2,066,540 | ||
Occidental Petroleum | 118,900 | 8,204,100 | ||
Peoples Energy | 11,400 | 451,440 | ||
Rowan Cos. | 32,100 | 851,613 | ||
Schlumberger | 176,500 | 12,074,365 | ||
Sempra Energy | 71,266 | 2,877,721 | ||
Sunoco | 20,800 a | 2,064,608 | ||
Transocean | 96,100 b | 4,456,157 | ||
Unocal | 81,000 | 4,418,550 | ||
Valero Energy | 76,800 | 5,263,104 | ||
Williams Cos. | 170,700 | 2,905,314 | ||
XTO Energy | 104,000 | 3,137,680 | ||
275,957,554 | ||||
Health Care—13.5% | ||||
Abbott Laboratories | 466,700 | 22,942,972 | ||
Aetna | 88,158 | 6,468,152 | ||
Allergan | 39,400 | 2,773,366 | ||
AmerisourceBergen | 31,600 a | 1,936,448 | ||
Amgen | 375,012 b | 21,829,449 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
Applera—Applied Biosystems Group | 58,800 | 1,246,560 | ||
Bausch & Lomb | 16,100 | 1,207,500 | ||
Baxter International | 185,500 | 6,882,050 | ||
Becton, Dickinson & Co. | 75,700 | 4,429,964 | ||
Biogen Idec | 99,885 a,b | 3,619,832 | ||
Biomet | 75,675 | 2,927,866 | ||
Boston Scientific | 227,500 b | 6,729,450 | ||
Bristol-Myers Squibb | 585,000 a | 15,210,000 | ||
C.R. Bard | 31,400 | 2,234,738 | ||
CIGNA | 39,400 | 3,624,012 | ||
Cardinal Health | 129,825 | 7,214,375 | ||
Caremark Rx | 136,800 b | 5,478,840 | ||
Chiron | 44,200 a,b | 1,509,430 | ||
Eli Lilly & Co. | 339,100 | 19,827,177 | ||
Express Scripts | 22,800 b | 2,043,792 | ||
Fisher Scientific International | 35,100 b | 2,084,238 | ||
Forest Laboratories | 105,200 b | 3,753,536 | ||
Genzyme | 74,200 b | 4,348,862 | ||
Gilead Sciences | 129,600 b | 4,808,160 | ||
Guidant | 96,600 | 7,156,128 | ||
HCA | 123,250 | 6,882,280 | ||
Health Management Associates, Cl. A | 73,000 | 1,805,290 | ||
Hospira | 46,770 b | 1,569,134 | ||
Humana | 48,100 b | 1,666,665 | ||
Johnson & Johnson | 890,218 | 61,095,661 | ||
King Pharmaceuticals | 72,266 b | 578,128 | ||
Laboratory Corporation of America Holdings | 40,400 b | 1,999,800 | ||
Manor Care | 25,800 | 860,430 | ||
McKesson | 88,377 | 3,269,949 | ||
Medco Health Solutions | 82,391 b | 4,199,469 | ||
MedImmune | 74,500 b | 1,890,065 | ||
Medtronic | 362,100 | 19,082,670 | ||
Merck & Co. | 661,000 | 22,407,900 | ||
Millipore | 14,900 b | 718,478 | ||
Mylan Laboratories | 80,600 a | 1,329,900 | ||
PerkinElmer | 38,800 | 717,800 | ||
Pfizer | 2,233,409 | 60,681,723 |
The Fund 11
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
Quest Diagnostics | 27,300 | 2,888,340 | ||
Schering-Plough | 441,500 | 9,214,105 | ||
St. Jude Medical | 108,000 b | 4,215,240 | ||
Stryker | 112,200 | 5,447,310 | ||
Tenet Healthcare | 140,150 a,b | 1,677,596 | ||
Thermo Electron | 47,900 b | 1,196,542 | ||
UnitedHealth Group | 192,000 a | 18,145,920 | ||
Waters | 36,200 b | 1,434,606 | ||
Watson Pharmaceuticals | 32,800 b | 984,000 | ||
WellPoint Health Networks | 91,300 b | 11,663,575 | ||
Wyeth | 400,000 | 17,976,000 | ||
Zimmer Holdings | 73,820 b | 6,010,424 | ||
433,895,897 | ||||
Interest Sensitive—23.4% | ||||
ACE | 85,100 | 3,655,896 | ||
AFLAC | 150,200 | 6,105,630 | ||
Allstate | 203,300 | 11,417,328 | ||
Ambac Financial Group | 32,550 | 2,175,967 | ||
American Express | 351,200 | 18,508,240 | ||
American International Group | 779,679 | 39,646,677 | ||
AmSouth Bancorporation | 106,300 | 2,797,816 | ||
Aon | 94,775 | 1,976,059 | ||
Apartment Investment & Management, Cl. A | 28,600 | 1,090,232 | ||
Archstone-Smith Trust | 59,800 | 2,151,006 | ||
BB&T | 164,200 | 6,438,282 | ||
Bank of America | 1,213,508 | 54,656,400 | ||
Bank of New York | 233,000 | 6,510,020 | ||
Bear Stearns Cos. | 33,872 | 3,206,324 | ||
CIT Group | 63,100 | 2,541,668 | ||
Capital One Financial | 74,000 a | 5,245,860 | ||
Charles Schwab | 343,700 | 3,557,295 | ||
Chubb | 57,300 | 4,685,994 | ||
Cincinnati Financial | 49,985 | 2,011,396 | ||
Citigroup | 1,564,217 | 73,455,630 | ||
Comerica | 51,000 | 2,920,260 | ||
Compass Bancshares | 37,000 | 1,591,740 | ||
Countrywide Financial | 173,800 | 6,289,822 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Interest Sensitive (continued) | ||||
E*TRADE Financial | 111,000 b | 1,233,210 | ||
Equity Office Properties Trust | 120,700 | 3,798,429 | ||
Equity Residential | 84,600 | 2,906,010 | ||
Fannie Mae | 289,800 | 15,634,710 | ||
Federated Investors, Cl. B | 28,500 | 810,825 | ||
Fifth Third Bancorp | 155,667 a | 6,771,514 | ||
First Horizon National | 36,900 | 1,532,457 | ||
Franklin Resources | 59,200 | 4,065,856 | ||
Freddie Mac | 206,000 | 12,673,120 | ||
General Electric | 3,173,000 | 114,862,600 | ||
Golden West Financial | 84,500 | 5,266,885 | ||
Goldman Sachs Group | 134,000 | 14,309,860 | ||
H&R Block | 49,500 | 2,465,595 | ||
Hartford Financial Services Group | 88,500 | 6,404,745 | ||
Huntington Bancshares | 69,374 | 1,630,983 | ||
J.P. Morgan Chase & Co. | 1,063,841 | 37,755,717 | ||
Janus Capital Group | 70,700 a | 918,393 | ||
Jefferson-Pilot | 40,825 | 2,049,823 | ||
KeyCorp | 121,600 | 4,032,256 | ||
Lehman Brothers Holdings | 82,600 | 7,576,072 | ||
Lincoln National | 52,200 | 2,347,434 | ||
Loews | 47,800 | 3,388,064 | ||
M&T Bank | 29,400 a | 3,041,430 | ||
MBIA | 42,100 a | 2,205,198 | ||
MBNA | 382,437 | 7,553,131 | ||
MGIC Investment | 29,000 | 1,711,000 | ||
Marsh & McLennan Cos. | 158,300 | 4,437,149 | ||
Marshall & Ilsley | 62,200 | 2,652,208 | ||
Mellon Financial | 126,900 | 3,513,861 | ||
Merrill Lynch | 278,600 | 15,024,898 | ||
MetLife | 219,400 | 8,534,660 | ||
Morgan Stanley | 333,060 | 17,525,617 | ||
National City | 177,900 | 6,041,484 | ||
North Fork Bancorporation | 140,850 | 3,964,928 | ||
Northern Trust | 60,900 a | 2,742,327 | ||
PNC Financial Services Group | 84,600 | 4,503,258 | ||
Plum Creek Timber | 55,000 | 1,899,700 |
The Fund 13
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Interest Sensitive (continued) | ||||
Principal Financial Group | 89,700 a | 3,505,476 | ||
Progressive | 59,900 | 5,467,073 | ||
ProLogis | 55,100 | 2,181,409 | ||
Providian Financial | 87,700 b | 1,461,959 | ||
Prudential Financial | 156,900 | 8,966,835 | ||
Regions Financial | 139,090 | 4,658,124 | ||
SLM | 128,700 a | 6,131,268 | ||
Safeco | 38,100 | 2,006,727 | ||
Simon Property Group | 66,200 a | 4,373,834 | ||
Sovereign Bancorp | 112,200 | 2,307,954 | ||
St. Paul Travelers Cos. | 200,412 | 7,174,750 | ||
State Street | 99,800 | 4,613,754 | ||
SunTrust Banks | 101,500 | 7,392,245 | ||
Synovus Financial | 93,050 | 2,608,192 | ||
T. Rowe Price Group | 37,100 | 2,046,807 | ||
Torchmark | 32,400 | 1,731,132 | ||
U.S. Bancorp | 554,853 | 15,480,399 | ||
UnumProvident | 89,095 a | 1,489,668 | ||
Wachovia | 474,676 | 24,293,918 | ||
Washington Mutual | 261,390 a | 10,800,635 | ||
Wells Fargo | 507,600 | 30,425,544 | ||
XL Capital, Cl. A | 41,600 | 2,924,480 | ||
Zions Bancorporation | 26,900 | 1,883,807 | ||
754,346,939 | ||||
Producer Goods & Services—10.2% | ||||
Air Products & Chemicals | 68,100 | 3,999,513 | ||
Alcoa | 260,848 | 7,569,809 | ||
Allegheny Technologies | 26,777 a | 599,805 | ||
American Power Conversion | 53,800 | 1,305,188 | ||
American Standard Cos. | 53,900 | 2,409,869 | ||
Ashland | 19,900 | 1,338,076 | ||
Avery Dennison | 30,400 | 1,591,440 | ||
Ball | 32,900 | 1,299,550 | ||
Bemis | 32,000 | 881,920 | ||
Black & Decker | 24,000 | 2,007,120 | ||
Boeing | 249,198 | 14,832,265 | ||
Burlington Northern Santa Fe | 113,300 | 5,466,725 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Producer Goods & Services (continued) | ||||
CSX | 64,500 | 2,588,385 | ||
Caterpillar | 102,700 | 9,042,735 | ||
Centex | 37,900 a | 2,187,588 | ||
Cooper Industries, Cl. A | 27,700 | 1,763,382 | ||
Cummins | 12,800 a | 870,400 | ||
Deere & Co. | 73,900 | 4,621,706 | ||
Dover | 61,000 | 2,217,960 | ||
Dow Chemical | 285,463 | 13,111,316 | ||
E. I. du Pont de Nemours | 298,412 | 14,058,189 | ||
Eastman Chemical | 23,300 | 1,258,200 | ||
Ecolab | 66,100 a | 2,162,131 | ||
Emerson Electric | 125,500 | 7,865,085 | ||
Engelhard | 36,600 | 1,121,058 | ||
FedEx | 90,220 | 7,664,189 | ||
Fluor | 25,600 a | 1,319,936 | ||
Freeport-McMoRan Copper & Gold, Cl. B | 53,600 a | 1,857,776 | ||
General Dynamics | 59,900 | 6,292,495 | ||
Georgia-Pacific | 77,767 a | 2,665,075 | ||
Goodrich | 35,900 | 1,446,770 | ||
Goodyear Tire & Rubber | 52,600 a,b | 624,362 | ||
Great Lakes Chemical | 15,400 | 478,016 | ||
Hercules | 33,500 b | 443,205 | ||
Honeywell International | 254,725 a | 9,108,966 | ||
ITT Industries | 27,600 | 2,496,696 | ||
Illinois Tool Works | 82,200 | 6,890,004 | ||
Ingersoll-Rand, Cl. A | 51,900 | 3,989,553 | ||
International Paper | 146,753 | 5,032,160 | ||
KB HOME | 25,000 | 1,425,000 | ||
L-3 Communications Holdings | 34,500 | 2,448,465 | ||
Leggett & Platt | 57,100 | 1,539,416 | ||
Lockheed Martin | 120,200 | 7,326,190 | ||
Louisiana-Pacific | 33,200 | 816,720 | ||
Masco | 134,100 | 4,222,809 | ||
MeadWestvaco | 60,711 | 1,787,939 | ||
Molex | 50,200 | 1,275,582 | ||
Monsanto | 79,664 | 4,669,904 | ||
Newmont Mining | 132,925 | 5,047,162 |
The Fund 15
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||||
Producer Goods & Services (continued) | ||||||
Norfolk Southern | 119,800 | 3,761,720 | ||||
Northrop Grumman | 107,890 | a | 5,916,688 | |||
Nucor | 47,800 | 2,442,580 | ||||
PPG Industries | 51,900 | 3,505,845 | ||||
Pall | 37,100 | a | 995,393 | |||
Parker-Hannifin | 35,950 | 2,154,843 | ||||
Phelps Dodge | 28,895 | 2,480,636 | ||||
Praxair | 96,600 | 4,523,778 | ||||
Pulte Homes | 35,500 | 2,536,475 | ||||
Raytheon | 135,600 | 5,099,916 | ||||
Rockwell Automation | 52,400 | 2,422,452 | ||||
Rockwell Collins | 53,400 | 2,449,992 | ||||
Rohm & Haas | 58,215 | 2,541,667 | ||||
Sealed Air | 25,032 | a,b | 1,212,550 | |||
Sherwin-Williams | 37,900 | 1,689,203 | ||||
Sigma-Aldrich | 20,600 | 1,203,658 | ||||
Snap-On | 17,300 | 573,841 | ||||
Stanley Works | 22,513 | 968,734 | ||||
3M | 231,200 | 17,679,864 | ||||
Temple-Inland | 34,200 | a | 1,154,250 | |||
Textron | 40,500 | 3,051,675 | ||||
Tyco International | 602,671 | 18,869,629 | ||||
Union Pacific | 78,100 | 4,992,933 | ||||
United Parcel Service, Cl. B | 335,000 | 23,888,850 | ||||
United States Steel | 34,200 | 1,462,392 | ||||
United Technologies | 153,300 | 15,593,676 | ||||
Vulcan Materials | 30,800 | 1,633,632 | ||||
W.W.Grainger | 25,000 | 1,382,250 | ||||
Weyerhaeuser | 72,700 | 4,987,947 | ||||
328,214,874 | ||||||
Services—6.5% | ||||||
ALLTEL | 90,600 | 5,160,576 | ||||
Affiliated Computer Services, Cl. A | 37,900 | b | 1,806,693 | |||
Allied Waste Industries | 81,200 | a,b | 648,788 | |||
Apollo Group, Cl. A | 49,600 | b | 3,577,152 | |||
Automatic Data Processing | 174,600 | 7,584,624 | ||||
Carnival | 157,700 | 7,708,376 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Services (continued) | ||||
Cendant | 315,870 | 6,288,972 | ||
Cintas | 44,700 | 1,724,973 | ||
Clear Channel Communications | 157,800 | 5,040,132 | ||
Comcast, Cl. A | 662,218 b | 21,263,820 | ||
Computer Sciences | 57,200 b | 2,487,056 | ||
Convergys | 42,500 a,b | 550,800 | ||
Dow Jones & Co. | 21,100 | 705,584 | ||
Electronic Data Systems | 155,000 | 2,999,250 | ||
Equifax | 40,400 | 1,359,460 | ||
First Data | 240,046 | 9,128,949 | ||
Fiserv | 57,850 b | 2,447,055 | ||
Gannett | 75,200 | 5,790,400 | ||
IMS Health | 69,400 | 1,664,212 | ||
Interpublic Group of Companies | 126,600 b | 1,628,076 | ||
Knight-Ridder | 22,600 a | 1,462,220 | ||
McGraw-Hill Cos. | 57,000 | 4,963,560 | ||
Meredith | 13,600 | 639,200 | ||
Monster Worldwide | 36,100 b | 830,661 | ||
Moody’s | 41,100 a | 3,375,954 | ||
NEXTEL Communications, Cl. A | 337,300 b | 9,441,027 | ||
New York Times, Cl. A | 43,600 | 1,454,496 | ||
News, Cl. A | 862,700 | 13,182,056 | ||
Omnicom Group | 55,800 | 4,625,820 | ||
Paychex | 106,475 | 3,258,135 | ||
R. R. Donnelley & Sons | 64,500 | 2,122,695 | ||
Robert Half International | 48,200 a | 1,196,324 | ||
Ryder System | 19,200 a | 709,056 | ||
Sabre Holdings | 39,421 | 771,075 | ||
SunGard Data Systems | 86,500 b | 2,889,100 | ||
Time Warner | 1,375,850 b | 23,128,038 | ||
Tribune | 89,300 | 3,446,980 | ||
Unisys | 101,000 b | 655,490 | ||
Univision Communications, Cl. A | 87,400 b | 2,297,746 | ||
Viacom, Cl. B | 510,424 | 17,670,879 | ||
Walt Disney | 612,900 | 16,180,560 | ||
Waste Management | 170,200 | 4,848,998 | ||
208,715,018 |
The Fund 17
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Technology—14.0% | ||||
ADC Telecommunications | 242,700 b | 550,929 | ||
Adobe Systems | 72,800 | 4,329,416 | ||
Advanced Micro Devices | 117,900 a,b | 1,677,717 | ||
Agilent Technologies | 129,416 b | 2,685,382 | ||
Altera | 111,500 b | 2,311,395 | ||
Analog Devices | 111,500 a | 3,803,265 | ||
Andrew | 48,150 b | 590,801 | ||
Apple Computer | 244,600 b | 8,820,276 | ||
Applied Materials | 499,300 | 7,424,591 | ||
Applied Micro Circuits | 92,200 b | 246,174 | ||
Autodesk | 68,700 a | 2,186,721 | ||
Avaya | 143,680 b | 1,247,142 | ||
BMC Software | 66,300 a,b | 1,074,060 | ||
Broadcom, Cl. A | 87,100 b | 2,605,161 | ||
CIENA | 171,300 b | 393,990 | ||
Cisco Systems | 1,935,000 b | 33,436,800 | ||
Citrix Systems | 50,700 b | 1,140,750 | ||
Computer Associates International | 159,329 | 4,285,950 | ||
Compuware | 116,000 b | 690,200 | ||
Comverse Technology | 59,200 a,b | 1,349,168 | ||
Corning | 422,000 b | 5,802,500 | ||
Danaher | 82,400 a | 4,171,912 | ||
Dell | 736,100 b | 25,638,363 | ||
EMC | 720,100 b | 9,447,712 | ||
eBay | 362,300 b | 11,495,779 | ||
Electronic Arts | 92,200 b | 4,922,558 | ||
Freescale Semiconductor, Cl. B | 120,249 b | 2,267,896 | ||
Gateway | 89,500 b | 305,195 | ||
Hewlett-Packard | 866,766 | 17,742,700 | ||
Intel | 1,864,100 | 43,843,632 | ||
International Business Machines | 488,700 | 37,326,906 | ||
Intuit | 55,500 a,b | 2,236,650 | ||
JDS Uniphase | 432,500 a,b | 640,100 | ||
Jabil Circuit | 54,900 b | 1,515,240 | ||
KLA-Tencor | 58,800 | 2,294,376 | ||
LSI Logic | 115,200 b | 617,472 | ||
Lexmark International | 37,900 b | 2,632,155 |
18
Common Stocks (continued) | Shares | Value ($) | ||
Technology (continued) | ||||
Linear Technology | 91,900 | 3,284,506 | ||
Lucent Technologies | 1,326,470 a,b | 3,223,322 | ||
Maxim Integrated Products | 97,800 | 3,657,720 | ||
Mercury Interactive | 25,300 b | 1,045,649 | ||
Micron Technology | 183,800 b | 1,784,698 | ||
Microsoft | 3,029,100 | 76,636,230 | ||
Motorola | 733,995 | 11,259,483 | ||
NCR | 55,700 b | 1,838,100 | ||
NVIDIA | 49,800 b | 1,092,612 | ||
National Semiconductor | 106,400 a | 2,030,112 | ||
Network Appliance | 109,600 b | 2,918,648 | ||
Novell | 113,400 b | 670,194 | ||
Novellus Systems | 41,800 b | 979,374 | ||
Oracle | 1,345,100 b | 15,549,356 | ||
PMC-Sierra | 53,800 b | 433,628 | ||
Parametric Technology | 81,000 b | 430,920 | ||
Pitney Bowes | 69,100 | 3,090,152 | ||
QLogic | 27,500 b | 914,100 | ||
QUALCOMM | 492,700 | 17,190,303 | ||
Sanmina-SCI | 156,700 b | 628,367 | ||
Scientific-Atlanta | 45,500 | 1,391,390 | ||
Siebel Systems | 154,100 b | 1,386,900 | ||
Solectron | 290,700 a,b | 959,310 | ||
Sun Microsystems | 1,011,200 b | 3,670,656 | ||
Symantec | 212,400 b | 3,988,872 | ||
Symbol Technologies | 72,600 a | 970,662 | ||
Tektronix | 26,800 | 580,488 | ||
Tellabs | 138,300 b | 1,073,208 | ||
Teradyne | 58,100 a,b | 640,262 | ||
Texas Instruments | 515,300 | 12,861,888 | ||
VERITAS Software | 126,382 b | 2,602,206 | ||
Xerox | 286,600 a,b | 3,797,450 | ||
Xilinx | 104,300 | 2,809,842 | ||
Yahoo! | 390,300 a,b | 13,469,253 | ||
452,610,895 | ||||
Utilities—5.8% | ||||
AES | 194,200 b | 3,122,736 | ||
AT&T | 239,540 | 4,582,400 |
The Fund 19
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Utilities (continued) | ||||
Allegheny Energy | 48,600 a,b | 1,187,784 | ||
Ameren | 58,500 a | 3,024,450 | ||
American Electric Power | 114,760 | 4,041,847 | ||
BellSouth | 548,300 | 14,524,467 | ||
CMS Energy | 64,500 a,b | 833,340 | ||
Calpine | 159,900 a,b | 286,221 | ||
CenterPoint Energy | 86,666 a | 1,026,126 | ||
CenturyTel | 40,300 | 1,236,807 | ||
Cinergy | 57,300 | 2,269,080 | ||
Citizens Communications | 100,400 a | 1,280,100 | ||
Consolidated Edison | 72,600 | 3,142,128 | ||
Constellation Energy Group | 52,900 | 2,780,424 | ||
DTE Energy | 52,100 a | 2,393,995 | ||
Dominion Resources | 102,008 | 7,691,403 | ||
Duke Energy | 280,788 a | 8,196,202 | ||
Edison International | 97,500 | 3,539,250 | ||
Entergy | 63,800 | 4,676,540 | ||
Exelon | 199,050 | 9,852,975 | ||
FPL Group | 117,100 | 4,780,022 | ||
FirstEnergy | 98,702 | 4,295,511 | ||
PG&E | 108,000 | 3,749,760 | ||
PPL | 56,600 | 3,071,116 | ||
Pinnacle West Capital | 29,000 | 1,215,100 | ||
Progress Energy | 73,969 | 3,105,958 | ||
Public Service Enterprise Group | 71,400 | 4,148,340 | ||
Qwest Communications International | 500,300 a,b | 1,711,026 | ||
SBC Communications | 988,898 | 23,535,772 | ||
Southern | 222,400 | 7,328,080 | ||
Sprint (FON Group) | 442,450 | 9,848,937 | ||
TECO Energy | 61,800 | 1,026,498 | ||
TXU | 71,897 | 6,168,044 | ||
Verizon Communications | 829,256 | 29,687,365 | ||
Xcel Energy | 120,010 a | 2,061,772 | ||
185,421,576 | ||||
Total Common Stocks | ||||
(cost $2,375,145,942) | 3,174,229,101 |
20
Principal | ||||
Short-Term Investments—1.4% | Amount ($) | Value ($) | ||
Repurchase Agreement—1.2% | ||||
Greenwich Capital Markets, Tri-Party Repurchase | ||||
Agreement, 2.84%, dated 4/29/2005, due 5/2/2005 | ||||
amount of $40,209,514 (fully collateralized by | ||||
in the $40,435,000 of various U.S. Government | ||||
Agency Obligations, value $41,009,217) | 40,200,000 | 40,200,000 | ||
U.S. Treasury Bills—.2% | ||||
2.61%, 6/9/2005 | 2,500,000 c | 2,493,075 | ||
2.69%, 7/7/2005 | 2,500,000 c | 2,487,625 | ||
4,980,700 | ||||
Total Short-Term Investments | ||||
(cost $45,180,185) | 45,180,700 | |||
Investment of Cash Collateral | ||||
for Securities Loaned—2.7% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Plus Fund | ||||
(cost $86,432,758) | 86,432,758 d | 86,432,758 | ||
Total Investments (cost $2,506,758,885) | 102.7% | 3,305,842,559 | ||
Liabilities, Less Cash and Receivables | (2.7%) | (85,894,353) | ||
Net Assets | 100.0% | 3,219,948,206 |
a All or a portion of these securities are on loan. At April 30, 2005, the total market value of the fund’s securities on |
loan is $82,833,833 and the total market value of the collateral held by the fund is $86,432,758. |
b Non-income producing. |
c Partially held by the broker in a segregated account as collateral for open financial futures positions. |
d Investment in affiliated money market mutual funds. |
Portfolio Summary (Unaudited) † | ||||||
Value (%) | Value (%) | |||||
Interest Sensitive | 23.4 | Consumer Staples | 8.0 | |||
Technology | 14.0 | Services | 6.5 | |||
Health Care | 13.5 | Utilities | 5.8 | |||
Producer Goods & Services | 10.2 | Short-Term/Money Market Instruments | 4.1 | |||
Consumer Cyclical | 8.6 | Futures Contracts | .0 | |||
Energy | 8.6 | 102.7 | ||||
† Based on net assets. | ||||||
See notes to financial statements. |
The Fund 21
STATEMENT OF FINANCIAL FUTURES |
April 30, 2005 (Unaudited) |
Market Value | Unrealized | |||||||
Covered by | (Depreciation) | |||||||
Contracts | Contracts ($) | Expiration | at 4/30/2005 ($) | |||||
Financial Futures Long | ||||||||
Standard & Poor’s 500 | 176 | 50,974,000 | June 2005 | (1,252,525) |
See notes to financial statements. |
22 |
STATEMENT OF ASSETS AND LIABILITIES |
April 30, 2005 (unaudited) |
Cost | Value | |||
Assets ($): | ||||
Investments in securities—See Statement | ||||
of Investments (including securities on loan, | ||||
valued at $82,833,833)—Note 1(b): | ||||
Unaffiliated issuers | 2,420,326,127 | 3,219,409,801 | ||
Affiliated issuers | 86,432,758 | 86,432,758 | ||
Cash | 2,538,811 | |||
Dividends and interest receivable | 4,012,466 | |||
Receivable for shares of Common Stock subscribed | 1,561,866 | |||
Receivable for futures variation margin—Note 4 | 676,625 | |||
3,314,632,327 | ||||
Liabilities ($): | ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 1,332,075 | |||
Liability for securities on loan—Note 1(b) | 86,432,758 | |||
Payable for shares of Common Stock redeemed | 6,674,340 | |||
Payable for investment securities purchased | 244,948 | |||
94,684,121 | ||||
Net Assets ($) | 3,219,948,206 | |||
Composition of Net Assets ($): | ||||
Paid-in capital | 2,622,622,220 | |||
Accumulated undistributed investment income—net | 11,450,295 | |||
Accumulated net realized gain (loss) on investments | (211,955,458) | |||
Accumulated net unrealized appreciation | ||||
(depreciation) investments [including ($1,252,525) | ||||
net unrealized (depreciation) on financial futures] | 797,831,149 | |||
Net Assets ($) | 3,219,948,206 | |||
Shares Outstanding | ||||
(200 million shares of $.001 par value Common Stock authorized) | 95,245,700 | |||
Net Asset Value, offering and redemption price per share-Note 3(c) ($) | 33.81 |
See notes to financial statements. |
The Fund 23 |
STATEMENT OF OPERATIONS Six Months Ended April 30, 2005 (Unaudited) |
Investment Income ($): | ||
Income: | ||
Cash dividends | 39,006,176 | |
Interest | 252,214 | |
Income from securities lending | 31,636 | |
Total Income | 39,290,026 | |
Expenses: | ||
Management fee—Note 3(a) | 4,054,055 | |
Shareholder servicing costs—Note 3(b) | 4,054,055 | |
Loan commitment fees—Note 2 | 15,349 | |
Interest expense—Note 2 | 2,955 | |
Total Expenses | 8,126,414 | |
Investment Income—Net | 31,163,612 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | (20,469,104) | |
Net realized gain (loss) on financial futures | 2,478,221 | |
Net Realized Gain (Loss) | (17,990,883) | |
Net unrealized appreciation (depreciation) on investments | ||
investments [including ($1,561,700) net | ||
unrealized (depreciation) on financial futures] | 81,598,215 | |
Net Realized and Unrealized Gain (Loss) on Investments | 63,607,332 | |
Net Increase in Net Assets Resulting from Operations | 94,770,944 |
See notes to financial statements. |
24 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2005 | Year Ended | |||
(Unaudited) | October 31, 2004 | |||
Operations ($): | ||||
Investment income—net | 31,163,612 | 36,420,285 | ||
Net realized gain (loss) on investments | (17,990,883) | 3,780,027 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 81,598,215 | 210,684,606 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 94,770,944 | 250,884,918 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (48,499,041) | (31,500,224) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 437,719,409 | 845,857,923 | ||
Dividends reinvested | 47,446,210 | 30,880,377 | ||
Cost of shares redeemed | (427,666,698) | (783,225,642) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 57,498,921 | 93,512,658 | ||
Total Increase (Decrease) in Net Assets | 103,770,824 | 312,897,352 | ||
Net Assets ($): | ||||
Beginning of Period | 3,116,177,382 | 2,803,280,030 | ||
End of Period | 3,219,948,206 | 3,116,177,382 | ||
Undistributed investment income—net | 11,450,295 | 28,785,724 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 12,630,498 | 25,942,195 | ||
Shares issued for dividends reinvested | 1,361,050 | 990,390 | ||
Shares redeemed | (12,331,888) | (24,026,262) | ||
Net Increase (Decrease) in Shares Outstanding | 1,659,660 | 2,906,323 |
See notes to financial statements. |
The Fund 25 |
FINANCIAL HIGHLIGHTS |
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||||||||
April 30, 2005 | Year Ended October 31, | |||||||||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||
Per Share Data ($): | ||||||||||||
Net asset value, | ||||||||||||
beginning of period | 33.30 | 30.91 | 26.01 | 31.08 | 41.95 | 40.55 | ||||||
Investment Operations: | ||||||||||||
Investment income—net a | .33 | .39 | .35 | .32 | .32 | .31 | ||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | .70 | 2.35 | 4.86 | (5.08) | (10.88) | 1.92 | ||||||
Total from Investment | ||||||||||||
Operations | 1.03 | 2.74 | 5.21 | (4.76) | (10.56) | 2.23 | ||||||
Distributions: | ||||||||||||
Dividends from investment | ||||||||||||
income—net | (.52) | (.35) | (.31) | (.31) | (.31) | (.32) | ||||||
Dividends from net realized | ||||||||||||
gain on investments | — | — | — | — | — | (.51) | ||||||
Total Distributions | (.52) | (.35) | (.31) | (.31) | (.31) | (.83) | ||||||
Net asset value, | ||||||||||||
end of period | 33.81 | 33.30 | 30.91 | 26.01 | 31.08 | 41.95 | ||||||
Total Return (%) | 3.05b | 8.93 | 20.22 | (15.54) | (25.31) | 5.50 | ||||||
Ratios/Supplemental Data (%): | ||||||||||||
Ratio of total expenses | ||||||||||||
to average net assets | .25b | .50 | .52 | .50 | .50 | .50 | ||||||
Ratio of net investment income | ||||||||||||
to average net assets | .95b | 1.21 | 1.27 | 1.05 | .88 | .73 | ||||||
Portfolio Turnover Rate | 2.83b | 1.87 | 2.17 | 4.42 | 1.89 | 7.64 | ||||||
Net Assets, end of period | ||||||||||||
($ x 1,000) 3,219,948 | 3,116,177 | 2,803,280 | 2,185,380 2,514,308 | 3,072,253 | ||||||||
a Based on average shares outstanding at each month end. | ||||||||||||
b Not annualized. | ||||||||||||
See notes to financial statements. |
26 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”) which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series including the fund. The fund’s investment objective is to match the performance of the Standard & Poor’s 500 Composite Stock Price Index. The Dreyfus Corporation (“the Manager” or “Dreyfus”) serves as the fund’s investment adviser. The Manager is a wholly-owned subsidiary of Mellon Financial Corporation (“Mellon Financial”). Dreyfus Service Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, 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 avail-
The Fund 27 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
able. Investments in registered investment companies 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 ADR’s and futures contracts. For other 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.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gain and loss 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 Mellon Bank N.A., an affiliate of Dreyfus or the Manager, the fund may lend securities to qualified institutions. 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 will be maintained at all times. Cash collateral is invested in certain money market mutual funds managed by the Manager as shown in the fund’s Statement of Investments.The fund
28 |
will be 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 would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner.
The fund may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, the fund, through its custodian and sub-custodian, takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the fund to resell, the obligation at an agreed-upon price and time, thereby determining the yield during the fund’s holding period.This arrangement results in a fixed rate of return that is not subject to market fluctuations during the fund’s holding period. The value of the collateral is at least equal, at all times, to the total amount of the repurchase obligation, including interest. In the event of a counter party default, the fund has the right to use the collateral to offset losses incurred. There is potential loss to the fund in the event the fund 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 fund seeks to assert its rights. The Manager, acting under the supervision of the Board of Directors, reviews the value of the collateral and the credit-worthiness of those banks and dealers with which the fund enters into repurchase agreements to evaluate potential risks.
(c) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gain, 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 cap-
The Fund 29 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
ital gain, if any, can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gain. Income and capital gain distributions are determined in accordance with incomes tax regulations, which may differ from U.S. generally accepted accounting principles.
(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.
The fund has an unused capital loss carryover of $142,539,901 available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to October 31, 2004. If not applied, $16,218,557 of the carryover expires in fiscal 2008, $42,517,790 expires in fiscal 2009, $82,176,122 expires in fiscal 2010 and $1,627,432 expires in fiscal 2011.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2004 were as follows: ordinary income $31,500,224. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Line of Credit: |
The fund participates with other Dreyfus-managed funds in a $350 million redemption credit facility (the “Facility”) to be utilized for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay commitment fees on its pro rata portion of the Facility. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowings.
The average daily amount of borrowings outstanding under the line of credit during the period ended April 30, 2005 was approximately $230,400 with a related weighted average annualized interest rate of 2.59% .
30 |
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to an Investment Management Agreement (“Agreement”) with the Manager, the management fee is computed at the annual rate of .25 of 1% of the value of the fund’s average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has agreed to pay all the expenses of the fund, except management fees, brokerage commissions, taxes, interest, commitment fees, Shareholder Services Plan fees, fees and expenses of non-interested Board members (including counsel fees) and extraordinary expenses. In addition, the Manager is required to reduce its fees in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Board members (including counsel fees). Each Board member also serves as a Board member of other funds within the Dreyfus complex (collectively, the “Fund Group”). Each Board member receives an annual fee of $25,000, an attendance fee of $4,000 for each in-person meeting and $500 for telephone meetings.The chairman of the Board receives an additional 25% of such compensation (with the exception of reimburseable amounts). Subject to the Company’s Emeritus Program Guidelines,Emeritus Board Members, if any, receive 50% of the annual retainer fee and per meeting fee paid at the time the Board member achieves emeritus status.All Board fees are allocated among the funds in the Fund Group in proportion to each fund’s relative net assets. Amounts required to be paid by the Company directly to the non-interested Board members, that were applied to offset a portion of the management fee payable to the Manager, were in fact paid directly by the Manager to the non-interested Board members.All Board fees are allocated among the funds in the Fund Group in proportion to each fund’s relative net assets.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services a fee, at the annual rate of .25 of 1% of the value of the fund’s average daily net assets.The ser-
The Fund 31 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
vices provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period April 30, 2005, the fund was charged $4,054,055 pursuant to the Shareholder Services Plan.
The components of Due to The Dreyfus Corporation and affiliates in the Statement of Assets and Liabilities consist of: management fees $666,038 and shareholder services plan fees $666,037.
(c) A 1% redemption fee is charged and retained by the fund on certain shares redeemed within six months following the date of issuance, including redemptions made through the use of the fund’s exchange privilege. During the period ended April 30, 2005, redemption fees charged and retained by the fund amounted to $15,908.
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 April 30, 2005, amounted to $121,545,658 and $91,026,988, respectively.
The fund may invest in financial futures contracts in order to gain exposure to or protect against changes in the market. The fund is exposed to market risk as a result of changes in the value of the underlying financial instruments. Investments in financial futures require the fund to “mark to market” on a daily basis, which reflects the change in the market value of the contract at the close of each day’s trading. Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses.When the contracts are closed, the fund recognizes a realized gain or loss.These investments require initial margin deposits with a broker, which consist of cash or cash equivalents.
32 |
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. Contracts open as of April 30, 2005, are set forth in the Statement of Financial Futures.
At April 30, 2005, accumulated net unrealized appreciation on investments was $799,083,674, consisting of $1,059,383,156 gross unrealized appreciation and $260,299,482 gross unrealized depreciation.
At April 30, 2005, 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).
NOTE 5—Legal Matters: |
In early 2004, two purported class and derivative actions were filed against Mellon Financial, Mellon Bank, N.A., Dreyfus, Founders Asset Management LLC, and certain directors of the Dreyfus Funds and the Dreyfus Founders Funds (together, the “Funds”) in the United States District Court for the Western District of Pennsylvania. In September 2004, plaintiffs served a Consolidated Amended Complaint (the “Amended Complaint”) on behalf of a purported class of all persons who acquired interests in any of the Funds between January 30, 1999 and November 17, 2003, and derivatively on behalf of the Funds.The Amended Complaint in the newly styled In re Dreyfus Mutual Funds Fee Litigation also named the Distributor, Premier Mutual Fund Services, Inc. and two additional Fund directors as defendants and alleges violations of the Investment Company Act of 1940, the Investment Advisers Act of 1940, the Pennsylvania Unfair Trade Practices and Consumer Protection Law and common-law claims. Plaintiffs seek to recover allegedly improper and excessive Rule 12b-1 and advisory fees allegedly charged to the Funds for marketing and distribution services. More specifically, plaintiffs claim, among other things, that 12b-1 fees and directed brokerage were improperly used to pay brokers to recommend the Funds over other funds, and that such payments were not disclosed to investors. In addition, plaintiffs assert
The Fund 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
that economies of scale and soft-dollar benefits were not passed on to the Funds. Plaintiffs further allege that 12b-1 fees were improperly charged to certain of the Funds that were closed to new investors.The Amended Complaint seeks compensatory and punitive damages, rescission of the advisory contracts, and an accounting and restitution of any unlawful fees, as well as an award of attorneys’ fees and litigation expenses. As noted, some of the claims in this litigation are asserted derivatively on behalf of the Funds that have been named as nominal defendants.With respect to such derivative claims, no relief is sought against the Funds. Dreyfus believes the allegations to be totally without merit and intends to defend the action vigorously. Defendants filed motions to dismiss the Amended Complaint on November 12, 2004, and those motions are pending.
Additional lawsuits arising out of these circumstances and presenting similar allegations and requests for relief may be filed against the defendants in the future. Neither Dreyfus nor the Funds believe that any of the pending actions will have a material adverse effect on the Funds or Dreyfus’ ability to perform its contract with the Funds.
34 |
INFORMATION ABOUT THE REVIEW |
AND APPROVAL OF THE FUND’S |
INVESTMENT MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the Board of Directors held on March 14, 2005, the Board considered the re-approval for another one-year term of the fund’s Management Agreement (the “Management Agreement”), pursuant to which the Manager provides the fund with investment advisory and administrative services.The Board members who are not “interested persons” (as defined in the Act (the “Independent Directors”)) of the fund were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Manager.
Analysis of Nature, Extent and Quality of Services Provided to the Fund. The Board members received a presentation from representatives of the Manager regarding services provided to the Fund and other funds in the Dreyfus complex, and discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement.The Manager’s representatives reviewed the fund’s distribution of accounts and the relationships the Manager has with various intermediaries and the different needs of each.The Manager’s representatives noted the diversity of distribution of the fund as well as the distribution of other funds in the Dreyfus complex, and the Manager’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each of the fund’s distribution channels.The Board also reviewed the number of shareholder accounts in the fund,as well as the Fund’s asset size.
The Board members also considered the Manager’s research and portfolio management capabilities and that the Manager 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 the Manager’s extensive administrative, accounting and compliance infrastructure.
Comparative Analysis of the Fund’s Performance, Management Fee and Expense Ratio. The Board members reviewed the fund’s performance, management fee and expense ratio and placed significant emphasis on comparisons to a group of comparable funds and Lipper averages, and discussed the results of the comparisons. The Board members noted that the fund’s performance as measured by total
The Fund 35 |
I N FO R M AT I O N A B O U T T H E R E V I E W A N D A P P R OVA L O F T H E F U N D ’ S |
I N V E S T M E N T M A N A G E M E N T A G R E E M E N T ( U n a u d i t e d ) ( c o n t i n u e d ) |
return was consistent with the total return of the S&P 500 Index, and that slight variations were due primarily to fees.The Board members also noted the fund’s performance as measured by total return was in the second quartile of the fund’s Lipper category for the one- and thee-year periods ended January 31, 2005, and above the Lipper category averages for the one-, three-, and five-year periods.
The Board members reviewed the range of management fees,advisory fee and expense ratios, noting that the fund’s management fee was lower than a majority of the funds in the comparison group, and that the fund’s expense ratio was higher than that of the comparison group average, but lower than that of the Lipper category averages.The Board members also considered the fund’s primary distribution channel, and the fees charged, and services provided, by financial intermediaries offering the fund in that channel. The Board members noted that, as a “unitary fee” fund, the Manager has voluntarily agreed to pay all of the fund’s expenses, except management fees,brokerage commissions,taxes,interest,fees and expenses of non interested Board members, fees and expenses of independent counsel to the fund and to the non-interested Board members, Shareholder Services Plan fees,and extraordinary expenses.The Board also noted that the Manager voluntarily agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of non-interested Board members and fees and expenses of independent counsel to the fund and to the non-interested Board members.
Representatives of the Manager reviewed with the Board members the fees paid to the Manager or its affiliates by mutual funds managed by the Manager or its affiliates (the “Similar Funds”) and by separate accounts, or mutual funds for which the Manager or its affiliates serve as sub-investment adviser, with similar investment objectives, policies and strategies as the fund (“Separate Accounts” and, collectively with the Similar Funds, the “Similar Accounts”) and explained the nature of each Similar Account and the differences, from the Manager’s perspective, in managing and providing other services to the Similar Accounts as compared to management of the fund.The Manager’s representatives also reviewed the costs associated with distribution of the fund and Similar Accounts
36 |
through intermediaries.The Board analyzed differences in fees paid to the Manager and discussed the relationship of the fees paid in light of the Manager’s performance and the services provided. Noting the Fund’s “unitary fee” structure, the Board members concluded that the Similar Funds had advisory fees and expense ratios that were higher than the fund’s management fee and expense ratio and the Separate Accounts had advisory fees that were lower than the fund’s management fee. A representative of the Manager stated that certain Similar Accounts had lower advisory fees as a result of historical pricing arrangements and other Similar Accounts were mutual funds that were sub-advised but not administered by an affiliate of the Manager.The Board members considered the relevance of the fee information provided for the Separate Accounts to evaluate the appropriateness and reasonableness of the fund’s management fee.The Board acknowledged that differences in fees paid by the Separate Accounts seemed to be consistent with the management and other services provided.
Analysis of Profitability and Economies of Scale. The Manager’s representatives reviewed the dollar amount of expenses allocated to, and profit received by, the Manager and the method used to determine such expenses and profit.The Board members evaluated the analysis in light of the relevant circumstances for the fund, the extent to which economies of scale would be realized as the fund grows and whether fee levels reflect these economies of scale for the benefit of fund investors. The Board members also considered potential benefits to the Manager from acting as investment adviser and noted that the Manager had no soft dollar arrangement with respect to the fund.
It was noted that the Board members should consider the Manager’s profitability with respect to the fund as part of their evaluation of whether the fee under the Management Agreement bears a reasonable relationship to the mix of services provided by the Manager, including the nature, extent and quality of such services and that a discussion of economies of scale is predicated on increasing assets and that, if a fund’s assets had been decreasing, the possibility that the Manager may have realized any economies of scale would be less. It also was noted that the
The Fund 37 |
I N FO R M AT I O N A B O U T T H E R E V I E W A N D A P P R OVA L O F T H E F U N D ’ S
I N V E S T M E N T M A N A G E M E N T A G R E E M E N T ( U n a u d i t e d ) ( c o n t i n u e d )
profitability percentage for managing the fund was within ranges determined by appropriate court cases to be reasonable given the services rendered and given the fund’s overall performance and generally superior service levels provided.
At the conclusion of these discussions, each of the Independent Directors expressed the opinion that he or she had been furnished with sufficient information to make an informed business decision with respect to continuation of the fund’s Management Agreement. Based on their discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the services provided by the Manager are adequate and appropriate.
- The Board was satisfied with the fund’s overall performance.
- The Board concluded that the fee paid to the Manager was reasonable in light of comparative performance and expense and advisory fee information, costs of the services provided and profits realized, or to be realized, and benefits derived or to be derived by the Manager from its relationship with the fund.
- The Board recognized that economies of scale may be realized as the fund’s assets increase and determined that, to the extent that material economies of scale had not been shared with the fund, the Board would seek to do so.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that re-approval of the fund’s Management Agreement was in the best interests of the fund and its shareholders.
38 |
NOTES
For More | Information | |
Dreyfus S&P 500 | Transfer Agent & | |
Index Fund | Dividend Disbursing Agent | |
200 Park Avenue | Dreyfus Transfer, Inc. | |
New York, NY 10166 | 200 Park Avenue | |
Manager | New York, NY 10166 | |
The Dreyfus Corporation | Distributor | |
200 Park Avenue | Dreyfus Service Corporation | |
New York, NY 10166 | 200 Park Avenue | |
Custodian | New York, NY 10166 | |
Boston Safe Deposit and | ||
Trust Company | ||
One Boston Place | ||
Boston, MA 02109 | ||
Telephone 1-800-645-6561 |
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 E-mail Send your request to info@dreyfus.com Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
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 12-month period ended June 30, 2004, 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 1-800-645-6561.
Save time. Save paper. View your next shareholder report online as soon as it’s available. Log into www.dreyfus.com and sign up for Dreyfus eCommunications. It’s simple and only takes a few minutes.
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 | Letter from the Chairman | |
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 | |
40 | Statement of Financial Futures | |
41 | Statement of Assets and Liabilities | |
42 | Statement of Operations | |
43 | Statement of Changes in Net Assets | |
44 | Financial Highlights | |
45 | Notes to Financial Statements | |
54 | Information About the Review and Approval | |
of the Fund’s Management Agreement | ||
FOR MORE INFORMATION | ||
Back Cover |
Dreyfus International |
Stock Index Fund |
The Fund
LETTER FROM THE CHAIRMAN
Dear Shareholder: |
We are pleased to present this semiannual report for Dreyfus International Stock Index Fund, covering the six-month period from November 1, 2004, through April 30, 2005. Inside, you’ll find valuable information about how the fund was managed during the reporting period, including a discussion with the fund’s portfolio manager, Susan Ellison.
The six-month reporting period produced mixed results for most international stock markets. After rallying strongly when the global economy expanded and geopolitical concerns eased in the final weeks of 2004, equities gave back some of their gains during the first few months of 2005 as rising energy prices and currency fluctuations took their toll on investor sentiment in most markets.
According to our economists, recent market turbulence probably is the result of a transition to a more mature phase of the economic cycle in the United States. However, your financial advisor can help you diversify your portfolio in a way that allows you to participate in the longer-term gains of the world’s financial markets while providing a measure of protection from shorter-term volatility.
Thank you for your continued confidence and support.
2 |
DISCUSSION OF FUND PERFORMANCE
Susan Ellison, Portfolio Manager
How did Dreyfus International Stock Index Fund perform relative to its benchmark?
For the six-month period ended April 30, 2005, the fund produced a total return of 8.80% .1 This compares with an 8.71% total return for the fund’s benchmark, the Morgan Stanley Capital International Europe, Australasia, Far East Free Index (the “MSCI EAFE Free Index” or the “Index”), during the same period.2
We attribute the fund’s performance to strong global economic growth, particularly during the reporting period’s first half, which helped spark a rally in the international equity markets.
What is the fund’s investment approach?
In managing this fund, our goal is to match the performance of the MSCI EAFE Free Index, a broadly diversified, international index composed of slightly more than 1,000 stocks that trade in 21 major markets outside the United States, including Great Britain, Germany, France, Japan,Hong Kong,Singapore,Australia,Switzerland and the Netherlands.
Weighted by market capitalization (the total value of all shares outstanding in a country’s stock market) and share liquidity (a measure of the proportion of a company’s shares actually available to be bought or sold by the public), approximately 70% of the MSCI EAFE Free Index’s total value is represented by its top five countries, which currently are Great Britain, Japan, France, Switzerland and Germany.The MSCI EAFE Free Index is diversified among industry groups, as those groups are represented in individual country markets.
The fund attempts to match the Index return before fees and expenses by aligning the portfolio composition with the composition of the MSCI EAFE Free Index. Beginning by country, the fund invests in proportion to each country’s weighting in the Index.That means that if the
The Fund 3 |
DISCUSSION OF FUND PERFORMANCE (continued) |
British market comprises 25% of the Index, then approximately 25% of the fund’s assets will be invested in Britain. In addition, the fund’s industry allocation also matches that of the Index, in the proper proportion. For example, if a certain percentage of the market value in the Japanese sub-index is composed of financial services firms, that same approximate percentage of the investment in the Japanese markets will also be invested in that sector.The fund also invests in securities that represent the market as a whole, such as stock index futures, and manages its exposure to foreign currencies so that the fund’s currency profile matches the currency makeup of the MSCI EAFE Free Index.
What other factors influenced the fund’s performance?
Most international stock markets were in the midst of a rally when the reporting period began. Companies throughout the world benefited at the time from an expanding global economy. U.S. consumer spending was strong, as was demand for energy and industrial commodities from China and other emerging markets.
During the first quarter of 2005, however, higher energy prices, mounting inflationary pressures, higher interest rates in many nations and a relatively weak U.S. dollar caused investors to worry that global economic growth might slow. As a result, by the end of the reporting period, international equities had given back some of their previous gains. Nonetheless, the Index posted gains in all but one of the 21 countries in which it invests.
The Index’s strongest returns stemmed from its investments in Austria, where Boehler-Uddeholm, a tooling material company and OMV, Austria’s largest oil and chemicals firm, helped fuel returns. Greece also provided attractive results, with market gains driven by Hellenic Technodomiki, a construction and building materials firm, Bank of Piraeus and OPAP, also known as the Organization of Football. In Norway, three stocks contributed strongly to the Index’s performance: drilling contractor Smedvig, oil services provider
4 |
Petroleum Geo-Services, fertilizer and industrial gas producer Yara International. From a market sector standpoint, the consumer non-durables and health care areas made the greatest contribution to the Index’s return during the reporting period.
On the other hand, Ireland was the only country that posted a negative absolute return during the reporting period, and relatively small gains were posted by Portugal and Japan. In terms of market sectors, the consumer durables and technology stocks hindered the Index’s overall performance.
What is the fund’s current strategy?
The strategy of this fund is to provide investors with a cost-effective way to gain broad exposure to international developed markets represented by the MSCI EAFE Free Index. As an index fund, the investments are not impacted by an individual’s preference for one market over another or one security over another. Instead it reflects the general composition of the overall market.
May 16, 2005 |
1 | Total return includes reinvestment of dividends and any capital gains paid. Past performance is no | |
guarantee of future results. Share price, yield and investment return fluctuate such that upon | ||
redemption, fund shares may be worth more or less than their original cost. Return figure provided | ||
reflects the absorption of fund expenses by The Dreyfus Corporation pursuant to an agreement in | ||
effect that may be extended, terminated or modified. Had these expenses not been absorbed, the | ||
fund’s return would have been lower. | ||
2 | SOURCE: LIPPER INC. — Reflects reinvestment of net dividends and, where applicable, | |
capital gain distributions.The Morgan Stanley Capital International Europe, Australasia, Far | ||
East (MSCI EAFE) Free Index is an unmanaged index composed of a sample of companies | ||
representative of the market structure of European and Pacific Basin countries.The index reflects | ||
actual investable opportunities for global investors for stocks that are free of foreign ownership | ||
limits or legal restrictions at the country level. |
The Fund 5 |
U N D E R S TA N D I N G YO U R F U N D ’ S E X P E N S E S ( U n a u d i t e d )
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) and redemption fees, 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 International Stock Index Fund from November 1, 2004 to April 30, 2005. 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 April 30, 2005
Expenses paid per $1,000 † | $ 3.11 | |
Ending value (after expenses) | $1,088.00 |
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 April 30, 2005
Expenses paid per $1,000 † | $ 3.01 | |
Ending value (after expenses) | $1,021.82 |
† Expenses are equal to the fund’s annualized expense ratio of .60%; multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6 |
STATEMENT OF INVESTMENTS April 30, 2005 (Unaudited) |
Common Stocks—98.2% | Shares | Value ($) | ||
Australia—5.2% | ||||
AMP | 32,584 | 172,316 | ||
AXA Asia Pacific Holdings | 11,966 | 40,199 | ||
Alumina | 20,091 | 90,255 | ||
Amcor | 15,267 | 77,747 | ||
Ansell | 2,300 | 16,836 | ||
Aristocrat Leisure | 5,262 | 40,063 | ||
Australia & New Zealand Banking Group | 32,210 | 544,736 | ||
Australian Gas Light | 8,315 | 93,456 | ||
Australian Stock Exchange | 1,805 | 28,219 | ||
BHP Billiton | 63,205 | 798,364 | ||
BlueScope Steel | 13,358 | 80,082 | ||
Boral | 10,893 | 49,462 | ||
Brambles Industries | 16,702 | 102,715 | ||
CFS Gandel Retail Trust (Units) | 25,706 | 31,868 | ||
CSL | 3,605 | 89,533 | ||
CSR | 17,462 | 32,741 | ||
Centro Properties Group | 14,248 | 57,079 | ||
Coca-Cola Amatil | 8,709 | 56,414 | ||
Cochlear | 1,053 | 25,309 | ||
Coles Myer | 21,064 | 141,507 | ||
Commonwealth Bank of Australia | 22,511 | 640,820 | ||
Commonwealth Property Office Fund (Units) | 23,240 | 22,977 | ||
Computershare | 7,663 | 30,331 | ||
DB RREEF Trust | 44,088 | 45,045 | ||
Foster's Group | 34,288 | 137,668 | ||
Futuris | 7,437 | 11,031 | ||
General Property Trust (Units) | 35,832 | 104,054 | ||
Harvey Norman Holdings | 7,600 | 14,721 | ||
ING Industrial Fund (Units) | 14,004 | 22,572 | ||
Iluka Resources | 3,328 | 15,226 | ||
Insurance Australia Group | 28,040 | 133,460 | ||
Investa Property Group | 26,768 | 43,148 | ||
James Hardie Industries | 7,823 | 34,334 | ||
John Fairfax Holdings | 15,266 | 45,423 | ||
Leighton Holdings | 2,731 | 21,175 |
The Fund 7
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Australia (continued) | ||||
Lend Lease | 5,980 | 55,897 | ||
Lion Nathan | 5,126 | 29,248 | ||
Macquarie Bank | 3,802 | 136,698 | ||
Macquarie Goodman Group | 20,902 | 64,588 | ||
Macquarie Infrastructure Group | 33,565 | 95,675 | ||
Mayne Group | 11,000 | 30,175 | ||
Mirvac Group | 14,059 | 46,195 | ||
National Australia Bank | 27,418 | 626,086 | ||
Newcrest Mining | 6,042 | 70,098 | ||
OneSteel | 11,570 | 19,917 | ||
Orica | 4,898 | 60,460 | ||
Origin Energy | 14,000 | 76,746 | ||
Pacific Brands | 7,100 | 12,238 | ||
PaperlinX | 7,150 | 15,852 | ||
Patrick | 9,158 | 38,958 | ||
Perpetual Trustees Australia | 708 | 28,643 | ||
Publishing & Broadcasting | 2,474 | 27,686 | ||
QBE Insurance Group | 13,076 | 153,095 | ||
Qantas Airways | 17,284 | 43,579 | ||
Rinker Group | 16,119 | 143,955 | ||
Rio Tinto | 5,447 | 176,824 | ||
Santos | 10,729 | 77,696 | ||
Sonic Healthcare | 4,210 | 38,967 | ||
Southcorp | 9,724 | 32,247 | ||
Stockland | 21,889 | 100,087 | ||
Suncorp-Metway | 9,730 | 150,301 | ||
TABCORP Holdings | 8,961 | 108,978 | ||
Telstra | 38,020 | 143,920 | ||
Toll Holdings | 3,914 | 39,031 | ||
Transurban Group | 10,037 | 58,247 | ||
WMC Resources | 20,049 | 124,277 | ||
Wesfarmers | 6,573 | 185,465 | ||
Westfield Group | 24,861 | 316,857 | ||
Westpac Banking | 31,573 | 480,835 | ||
Woodside Petroleum | 8,370 | 153,898 | ||
Woolworths | 18,611 | 223,279 | ||
8,077,584 |
8
Common Stocks (continued) | Shares | Value ($) | ||||
Austria—.4% | ||||||
Bank Austria Creditanstalt | 617 | 57,098 | ||||
Boehler-Uddeholm | 150 | 19,439 | ||||
Erste Bank der Oesterreichischen Sparkassen | 2,080 | 100,809 | ||||
Flughafen Wien | 140 | 9,103 | ||||
IMMOFINANZ Immobilien Anlagen | 3,887 | a | 35,424 | |||
IMMOFINANZ Immobilien Anlagen (Rights) | 3,887 | a | 803 | |||
Mayr-Melnhof Karton | 60 | 8,946 | ||||
OMV | 300 | 92,566 | ||||
RHI | 200 | a | 5,708 | |||
Telekom Austria | 6,024 | 116,139 | ||||
VA Technologie | 150 | a | 12,001 | |||
Verbund Oesterreichische Elektrizitaetswirtschafts, CL. A | 120 | 29,996 | ||||
Voestalpine | 466 | 31,625 | ||||
Wienerberger | 1,063 | 45,098 | ||||
564,755 | ||||||
Belgium—1.4% | ||||||
AGFA-Gevaert | 1,621 | 53,036 | ||||
Barco | 180 | 13,847 | ||||
Bekaert | 240 | 18,569 | ||||
Belgacom | 2,805 | 107,257 | ||||
Cofinimmo | 70 | 11,842 | ||||
Colruyt | 315 | 47,752 | ||||
Compagnie Maritime Belge | 250 | 9,462 | ||||
Cumerio | 435 | 5,891 | ||||
Delhaize Group | 1,222 | 80,876 | ||||
Dexia | 11,119 | 256,807 | ||||
D'ieteren | 35 | 7,752 | ||||
Electrabel | 479 | 223,341 | ||||
Euronav | 300 | 10,203 | ||||
Fortis | 20,657 | 575,995 | ||||
Groupe Bruxelles Lambert | 1,192 | 107,767 | ||||
InBev | 3,220 | 102,801 | ||||
KBC Groupe | 3,259 | 258,710 | ||||
Mobistar | 481 | 41,110 | ||||
Omega Pharma | 427 | 23,171 | ||||
Solvay | 1,091 | 124,567 |
The Fund 9
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Belgium (continued) | ||||
UCB | 1,603 | 78,250 | ||
Umicore | 435 | 37,856 | ||
2,196,862 | ||||
Denmark—.8% | ||||
AP Moller—Maersk | 19 | 168,424 | ||
Bang & Olufsen, CL B | 250 | 15,910 | ||
Carlsberg, CL. B | 500 | 24,623 | ||
Coloplast, CL. B | 400 | 23,109 | ||
DSV | 400 | 30,605 | ||
Danisco | 880 | 58,705 | ||
Danske Bank | 7,609 | 223,614 | ||
East Asiatic | 300 | 17,825 | ||
FLSmidth, CL. B | 500 | 8,498 | ||
GN Store Nord | 4,350 | 45,651 | ||
H Lundbeck | 1,100 | 25,913 | ||
ISS | 832 | 66,777 | ||
Kobenhavns Lufthavne | 75 | 16,851 | ||
NKT Holding | 200 | 7,049 | ||
Novo-Nordisk, CL. B | 4,166 | 210,745 | ||
Novozymes, CL. B | 1,025 | 49,992 | ||
TDC | 3,284 | 140,720 | ||
Topdanmark | 400 a | 28,523 | ||
Vestas Wind Systems | 3,400 a | 43,144 | ||
William Demant Holding | 400 a | 19,075 | ||
1,225,753 | ||||
Finland—1.5% | ||||
Amer Sports | 1,140 | 18,911 | ||
Elisa | 2,550 | 36,536 | ||
Fortum | 6,447 | 97,918 | ||
KCI Konecranes | 200 | 7,867 | ||
Kesko, CL. B | 1,140 | 27,581 | ||
Kone, CL. B | 785 | 59,739 | ||
Metso | 1,910 | 34,699 | ||
Neste Oil | 1,361 | 30,501 | ||
Nokia | 82,223 | 1,318,166 | ||
Nokian Renkaat | 1,500 | 25,140 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Finland (continued) | ||||
Orion, CL. B | 1,500 | 25,587 | ||
Outokumpu | 1,440 | 20,281 | ||
Pohjola Group, Cl. D | 860 | 11,091 | ||
Rautaruukki | 2,100 | 27,011 | ||
Sampo, CL. A | 6,953 | 97,264 | ||
Stora Enso, CL. R | 10,935 | 145,529 | ||
Tietoenator | 1,403 | 42,561 | ||
UPM-Kymmene | 9,384 | 188,237 | ||
Uponor | 1,000 | 19,884 | ||
Wartsila, CL. B | 1,050 | 27,848 | ||
2,262,351 | ||||
France—9.1% | ||||
AXA | 25,062 | 619,797 | ||
Accor | 3,518 | 161,306 | ||
Air France-KLM | 2,198 | 34,711 | ||
Air Liquide | 1,937 | 346,776 | ||
Alcatel | 21,760 a | 234,922 | ||
Alstom | 72,614 a | 56,408 | ||
Atos Origin | 948 a | 57,228 | ||
Autoroutes du Sud de la France | 1,278 | 66,332 | ||
BNP Paribas | 14,048 | 928,619 | ||
Bouygues | 3,511 | 140,401 | ||
Business Objects | 1,231 a | 31,999 | ||
CNP Assurances | 592 | 40,309 | ||
CapGemini | 2,237 a | 69,916 | ||
Carrefour | 10,138 | 494,265 | ||
Casino Guichard Perrachon | 552 | 41,030 | ||
Cie de Saint-Gobain | 5,449 | 308,457 | ||
Cie Generale d'Optique Essilor International | 1,679 | 120,300 | ||
Compagnie Generale des Etablissements Michelin, Cl. B | 2,513 | 152,696 | ||
Credit Agricole | 11,524 | 299,325 | ||
Dassault Systemes | 913 | 43,006 | ||
European Aeronautic Defense and Space | 4,175 | 119,220 | ||
France Telecom | 26,137 | 767,550 | ||
Gecina | 627 | 71,136 | ||
Groupe Danone | 4,276 | 402,004 |
The Fund 11 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
France (continued) | ||||
Hermes International | 145 | 27,713 | ||
Imerys | 515 | 36,890 | ||
Klepierre | 421 | 40,603 | ||
L'Oreal | 5,393 | 388,401 | ||
LVMH Moet Hennessy Louis Vuitton | 4,257 | 301,795 | ||
Lafarge | 2,969 | 270,868 | ||
Lagardere SCA | 2,220 | 161,058 | ||
Pernod-Ricard | 887 | 134,801 | ||
Peugeot | 2,976 | 176,871 | ||
Pinault-Printemps-Redoute | 1,157 | 114,168 | ||
Publicis Groupe | 2,113 | 60,659 | ||
Renault | 3,220 | 270,564 | ||
Sagem | 3,111 | 64,230 | ||
Sanofi-Aventis | 17,175 | 1,525,701 | ||
Schneider Electric | 3,851 | 278,148 | ||
Societe BIC | 551 | 29,873 | ||
Societe Generale | 5,893 | 589,390 | ||
Societe Television Francaise 1 | 2,139 | 60,744 | ||
Sodexho Alliance | 1,774 | 59,648 | ||
Suez | 14,256 | 390,682 | ||
Technip | 357 | 60,713 | ||
Thales | 1,434 | 58,325 | ||
Thomson | 4,110 | 101,713 | ||
Total | 10,027 | 2,232,296 | ||
Unibail | 739 | 91,503 | ||
Valeo | 1,372 | 60,113 | ||
Veolia Environnement | 5,424 | 205,150 | ||
Vinci | 1,274 | 192,022 | ||
Vivendi Universal | 18,016 | 536,949 | ||
Zodiac | 711 | 34,603 | ||
14,163,907 | ||||
Germany—6.3% | ||||
Adidas-Salomon | 788 | 122,902 | ||
Allianz | 5,438 | 653,108 | ||
Altana | 1,256 | 78,779 | ||
BASF | 9,153 | 593,639 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Germany (continued) | ||||
Bayer | 11,656 | 383,687 | ||
Bayerische Hypo-und Vereinsbank | 11,352 a | 269,585 | ||
Beiersdorf | 287 | 31,184 | ||
Celesio | 579 | 46,026 | ||
Commerzbank | 7,856 | 173,043 | ||
Continental | 2,289 | 169,469 | ||
DaimlerChrysler | 15,218 | 599,279 | ||
Deutsche Bank | 8,645 | 708,612 | ||
Deutsche Boerse | 1,821 | 138,157 | ||
Deutsche Lufthansa | 4,258 | 55,365 | ||
Deutsche Post | 8,932 | 209,915 | ||
Deutsche Telekom | 48,140 | 903,767 | ||
Douglas Holding | 637 | 21,686 | ||
E.ON | 10,988 | 928,397 | ||
Epcos | 690 a | 7,906 | ||
Fresenius Medical Care | 654 | 52,249 | ||
HeidelbergCement | 1,218 | 70,740 | ||
Hypo Real Estate Holding | 2,260 | 94,150 | ||
Infineon Technologies | 10,864 a | 91,758 | ||
KarstadtQuelle | 709 | 6,865 | ||
Linde | 1,444 | 95,960 | ||
MAN | 2,429 | 102,654 | ||
MLP | 1,065 | 17,204 | ||
Merck KGaA | 912 | 69,822 | ||
Metro | 2,503 | 133,667 | ||
Muenchener Rueckversicherungs | 3,257 | 358,511 | ||
Puma | 303 | 70,095 | ||
RWE | 7,415 | 444,505 | ||
SAP | 3,625 | 571,991 | ||
Schering | 2,886 | 191,523 | ||
Siemens | 14,063 | 1,036,912 | ||
Suedzucker | 1,081 | 19,886 | ||
TUI | 2,524 | 61,095 | ||
ThyssenKrupp | 5,316 | 98,135 | ||
Volkswagen | 3,924 | 163,972 | ||
9,846,200 |
The Fund 13
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Greece—.6% | ||||
Alpha Bank | 4,059 | 131,397 | ||
Coca Cola Hellenic Bottling | 1,908 | 51,701 | ||
Cosmote Mobile Telecommunications | 1,800 | 34,298 | ||
EFG Eurobank Ergasias | 3,210 | 97,065 | ||
Emporiki Bank of Greece | 950 | 29,432 | ||
Folli—Follie | 200 | 5,655 | ||
Germanos | 370 | 11,615 | ||
Hellenic Duty Free Shops | 300 | 5,180 | ||
Hellenic Petroleum | 1,600 | 16,828 | ||
Hellenic Technodomiki Tev | 1,080 | 5,307 | ||
Hellenic Telecommunications Organization | 4,470 | 83,830 | ||
Hyatt Regency | 600 | 7,314 | ||
Intracom | 1,100 | 5,579 | ||
National Bank of Greece | 4,650 | 156,238 | ||
OPAP | 2,850 | 74,832 | ||
Piraeus Bank | 2,800 | 47,375 | ||
Public Power | 1,800 | 48,503 | ||
Technical Olympic | 1,000 | 5,832 | ||
Titan Cement | 1,000 | 31,755 | ||
Viohalco | 1,550 | 11,723 | ||
861,459 | ||||
Hong Kong—1.7% | ||||
ASM Pacific Technology | 2,500 | 10,175 | ||
BOC Hong Kong Holdings | 65,500 | 124,791 | ||
Bank of East Asia | 24,391 | 71,662 | ||
CLP Holdings | 31,288 | 178,076 | ||
Cathay Pacific Airways | 17,000 | 32,338 | ||
Cheung Kong Holdings | 26,000 | 245,916 | ||
Cheung Kong Infrastructure Holdings | 8,000 | 25,355 | ||
Esprit Holdings | 16,000 | 119,766 | ||
Giordano International | 20,000 | 13,907 | ||
Hang Lung Properties | 31,000 | 47,727 | ||
Hang Seng Bank | 13,400 | 183,450 | ||
Henderson Land Development | 13,000 | 60,605 | ||
Hong Kong & China Gas | 65,772 | 134,802 | ||
Hong Kong Exchanges and Clearing | 18,000 | 43,851 |
14
Common Stocks (continued) | Shares | Value ($) | ||||
Hong Kong (continued) | ||||||
HongKong Electric Holdings | 24,500 | 112,123 | ||||
Hopewell Holdings | 10,000 | 24,430 | ||||
Hutchison Telecommunications International | 23,000 | 21,863 | ||||
Hutchison Whampoa | 37,800 | 338,993 | ||||
Hysan Development | 13,000 | 26,886 | ||||
Johnson Electric Holdings | 25,900 | 23,208 | ||||
Kerry Properties | 7,000 | 15,337 | ||||
Kingboard Chemical Holdings | 9,000 | 26,749 | ||||
Kingboard Chemical Holdings (Warrants) | 600 | a | 500 | |||
Li & Fung | 28,000 | 53,785 | ||||
MTR | 24,500 | 39,151 | ||||
New World Development | 36,191 | 39,220 | ||||
Orient Overseas International | 3,300 | 15,903 | ||||
PCCW | 59,207 | 35,121 | ||||
SCMP Group | 11,759 | 5,552 | ||||
Shangri-La Asia | 20,000 | 30,545 | ||||
Sino Land | 14,664 | 13,912 | ||||
SmarTone Telecommunications Holding | 4,000 | 4,415 | ||||
Sun Hung Kai Properties | 23,699 | 227,620 | ||||
Swire Pacific, CL. A | 16,500 | 138,639 | ||||
Techtronic Industries | 15,000 | 33,631 | ||||
Television Broadcasts | 6,000 | 30,194 | ||||
Texwinca Holdings | 8,000 | 6,681 | ||||
Wharf Holdings | 20,171 | 67,513 | ||||
Yue Yuen Industrial Holdings | 9,800 | 27,807 | ||||
2,652,199 | ||||||
Ireland—.8% | ||||||
Allied Irish Banks | 15,378 | 313,876 | ||||
Bank of Ireland | 17,191 | 260,099 | ||||
CRH | 9,461 | 235,482 | ||||
DCC | 1,465 | 32,786 | ||||
Depfa Bank | 6,115 | 94,568 | ||||
Eircom Group | 9,701 | 23,431 | ||||
Elan | 6,426 | a | 35,101 | |||
Fyffes | 6,620 | 18,615 | ||||
Grafton Group (Units) | 3,695 | 42,168 |
The Fund 15 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Ireland (continued) | ||||
Greencore Group | 2,474 | 10,246 | ||
Independent News & Media | 8,990 | 28,555 | ||
Irish Life & Permanent | 4,916 | 82,279 | ||
Kerry Group, CL. A | 2,413 | 58,604 | ||
Kingspan Group | 1,760 | 19,793 | ||
Ryanair Holdings | 2,000 a | 14,654 | ||
Waterford Wedgwood (Units) | 21,509 a | 1,017 | ||
1,271,274 | ||||
Italy—4.0% | ||||
Alleanza Assicurazioni | 8,033 | 95,782 | ||
Arnoldo Mondadori Editore | 2,344 | 24,453 | ||
Assicurazioni Generali | 16,929 | 522,668 | ||
Autogrill | 1,808 | 25,529 | ||
Autostrade | 5,036 | 133,410 | ||
Banca Antonveneta | 3,973 | 132,882 | ||
Banca Fideuram | 4,720 | 24,707 | ||
Banca Intesa | 57,878 | 277,783 | ||
Banca Intesa (RNC) | 15,552 | 67,528 | ||
Banca Monte dei Paschi di Siena | 19,844 | 69,896 | ||
Banca Nazionale del Lavoro | 30,038 a | 94,996 | ||
Banca Popolare di Milano | 7,102 | 67,722 | ||
Banche Popolari Unite | 5,798 | 123,228 | ||
Banco Popolare di Verona e Novara | 6,367 | 117,739 | ||
Benetton Group | 730 | 6,743 | ||
Bulgari | 2,557 | 27,886 | ||
Capitalia | 24,656 | 132,583 | ||
ENI | 45,897 | 1,156,374 | ||
Edison | 15,336 a | 32,106 | ||
Enel | 64,658 | 615,582 | ||
Fiat | 9,391 a | 62,191 | ||
FinecoGroup | 3,057 | 25,313 | ||
Finmeccanica | 104,772 | 97,643 | ||
Gruppo Editoriale L'Espresso | 3,559 | 20,631 | ||
Italcementi | 1,065 | 17,397 | ||
Luxottica Group | 2,554 | 51,085 | ||
Mediaset | 10,122 | 132,077 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Italy (continued) | ||||
Mediobanca | 8,015 | 132,447 | ||
Mediolanum | 4,030 | 26,287 | ||
Pirelli & C | 45,846 | 52,243 | ||
Riunione Adriatica di Sicurta | 5,192 | 113,476 | ||
Sanpaolo IMI | 18,891 | 280,856 | ||
Seat Pagine Gialle | 77,304 | 30,042 | ||
Snam Rete Gas | 16,019 | 90,438 | ||
TIM | 21,678 | 126,971 | ||
Telecom Italia | 146,027 | 496,873 | ||
Telecom Italia (RNC) | 100,644 | 284,608 | ||
Telecom Italia Media | 19,085 a | 9,324 | ||
Terna | 17,885 | 49,178 | ||
Tiscali | 4,586 a | 13,519 | ||
UniCredito Italiano | 78,280 | 440,626 | ||
6,302,822 | ||||
Japan—21.1% | ||||
Acom | 1,250 | 80,481 | ||
Aderans | 600 | 14,320 | ||
Advantest | 1,200 | 84,631 | ||
Aeon | 10,200 | 158,465 | ||
Aeon Credit Service | 520 | 34,343 | ||
Aiful | 1,125 | 84,042 | ||
Aisin Seiki | 2,700 | 58,725 | ||
Ajinomoto | 10,800 | 129,895 | ||
Alfresa Holdings | 500 | 22,588 | ||
All Nippon Airways | 9,000 | 29,118 | ||
Alps Electric | 3,000 | 47,110 | ||
Amada | 6,000 | 37,215 | ||
Amano | 1,000 | 10,960 | ||
Anritsu | 2,000 | 12,002 | ||
Aoyama Trading | 800 | 20,949 | ||
Ariake Japan | 320 | 7,930 | ||
Asahi Breweries | 6,700 | 85,430 | ||
Asahi Glass | 13,800 | 152,965 | ||
Asahi Kasei | 20,900 | 100,969 | ||
Asatsu-DK | 500 | 15,583 |
The Fund 17 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Astellas Pharma | 9,379 | 340,690 | ||
Autobacs Seven | 400 | 13,016 | ||
Bandai | 1,100 | 25,139 | ||
Bank of Fukuoka | 9,000 | 54,591 | ||
Bank of Yokohama | 22,000 | 125,807 | ||
Benesse | 1,100 | 35,703 | ||
Bridgestone | 11,400 | 218,932 | ||
COMSYS Holdings | 2,000 | 17,211 | ||
CSK | 1,000 | 38,283 | ||
Canon | 14,900 | 776,644 | ||
Capcom | 600 | 6,281 | ||
Casio Computer | 3,000 | 41,130 | ||
Central Glass | 3,000 | 20,628 | ||
Central Japan Railway | 18 | 148,122 | ||
Chiba Bank | 12,000 | 73,998 | ||
Chubu Electric Power | 11,600 | 278,068 | ||
Chugai Pharmaceutical | 5,028 | 78,518 | ||
Circle K Sunkus | 600 | 14,475 | ||
Citizen Watch | 4,800 | 43,829 | ||
Coca-Cola West Japan | 600 | 13,776 | ||
Credit Saison | 2,400 | 82,118 | ||
Dai Nippon Printing | 10,800 | 173,490 | ||
Daicel Chemical Industries | 4,000 | 21,523 | ||
Daido Steel | 200 | 788 | ||
Daiichi Pharmaceutical | 4,300 | 99,747 | ||
Daikin Industries | 3,300 | 82,404 | ||
Daimaru | 4,000 | 34,975 | ||
Dainippon Ink and Chemicals | 12,000 | 32,633 | ||
Dainippon Screen Manufacturing | 3,000 | 20,358 | ||
Daito Trust Construction | 1,500 | 60,082 | ||
Daiwa House Industry | 8,400 | 94,307 | ||
Daiwa Securities Group | 22,000 | 139,312 | ||
Denki Kagaku Kogyo | 7,600 | 26,246 | ||
Denso | 9,500 | 224,437 | ||
Dentsu | 28 | 71,571 |
18 |
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Dowa Mining | 5,000 | 32,903 | ||
East Japan Railway | 60 | 312,379 | ||
Ebara | 4,000 | 16,104 | ||
Eisai | 4,500 | 149,865 | ||
Electric Power Development | 2,400 | 72,511 | ||
FamilyMart | 1,100 | 34,178 | ||
Fanuc | 2,600 | 153,815 | ||
Fast Retailing | 900 | 53,290 | ||
Fuji Electric Holdings | 10,000 | 29,885 | ||
Fuji Photo Film | 8,200 | 271,496 | ||
Fuji Soft ABC | 600 | 17,693 | ||
Fuji Television Network | 6 | 12,645 | ||
Fujikura | 5,000 | 21,706 | ||
Fujitsu | 30,800 | 169,924 | ||
Furukawa Electric | 10,000 | 44,272 | ||
Goodwill Group | 5 | 9,970 | ||
Gunma Bank | 6,000 | 33,830 | ||
Gunze | 3,000 | 13,480 | ||
Hankyu Department Stores | 2,000 | 14,173 | ||
Hino Motors | 4,000 | 24,160 | ||
Hirose Electric | 500 | 51,043 | ||
Hitachi | 55,900 | 328,375 | ||
Hitachi Cable | 3,000 | 12,849 | ||
Hitachi Capital | 1,000 | 18,992 | ||
Hitachi Chemical | 1,600 | 27,469 | ||
Hitachi Construction Machinery | 1,400 | 17,897 | ||
Hitachi Software Engineering | 400 | 7,096 | ||
Hokkaido Electric Power | 3,300 | 66,229 | ||
Hokuhoku Financial Group | 16,000 | 45,347 | ||
Honda Motor | 13,260 | 638,558 | ||
House Foods | 1,020 | 14,571 | ||
Hoya | 1,900 | 198,655 | ||
INPEX | 7 | 38,186 | ||
Isetan | 2,600 | 31,210 | ||
Ishihara Sangyo Kaisha | 4,000 | 8,969 |
The Fund 19 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Ishikawajima-Harima Heavy Industries | 17,000 | 27,902 | ||
Ito En | 400 | 19,637 | ||
Itochu | 23,500 | 116,166 | ||
Itochu Techno-Science | 500 | 16,082 | ||
Ito-Yokado | 6,000 | 205,925 | ||
Jafco | 500 | 28,818 | ||
Japan Airlines | 11,600 | 32,965 | ||
Japan Real Estate Investment | 4 | 32,961 | ||
Japan Retail Fund Investment | 4 | 32,447 | ||
Japan Tobacco | 16 | 205,881 | ||
JFE Holdings | 9,360 | 259,595 | ||
JGC | 4,000 | 41,029 | ||
JS Group | 4,524 | 81,352 | ||
JSR | 3,300 | 66,642 | ||
Joyo Bank | 12,462 | 62,348 | ||
Kajima | 14,800 | 56,326 | ||
Kaken Pharmaceutical | 2,000 | 14,354 | ||
Kamigumi | 4,400 | 34,415 | ||
Kandenko | 105 | 677 | ||
Kanebo | 600 a | 4,088 | ||
Kaneka | 5,000 | 54,470 | ||
Kansai Electric Power | 12,599 | 253,382 | ||
Kansai Paint | 3,000 | 18,001 | ||
Kao | 9,000 | 206,901 | ||
Katokichi | 1,800 | 13,456 | ||
Kawasaki Heavy Industries | 21,000 | 40,669 | ||
Kawasaki Kisen Kaisha | 8,000 | 52,225 | ||
Keihin Electric Express Railway | 7,000 | 42,460 | ||
Keio Electric Railway | 9,000 | 50,895 | ||
Keyence | 540 | 119,517 | ||
Kikkoman | 3,000 | 28,934 | ||
Kinden | 2,000 | 16,718 | ||
Kintetsu | 26,354 | 81,937 | ||
Kirin Brewery | 12,000 | 116,954 | ||
Kobe Steel | 43,000 | 77,738 | ||
Kokuyo | 1,000 | 12,934 |
20
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Komatsu | 16,600 | 117,185 | ||
Komori | 1,000 | 15,372 | ||
Konami | 1,500 | 32,223 | ||
Konica Minolta Holdings | 8,000 | 77,227 | ||
Koyo Seiko | 2,000 | 27,030 | ||
Kubota | 18,000 | 93,066 | ||
Kuraray | 6,500 | 60,182 | ||
Kurita Water Industries | 1,900 | 29,578 | ||
Kyocera | 2,900 | 212,013 | ||
Kyowa Hakko Kogyo | 6,000 | 44,490 | ||
Kyushu Electric Power | 7,100 | 152,601 | ||
Lawson | 900 | 34,932 | ||
Leopalace21 | 1,800 | 27,609 | ||
MEDICEO Holdings | 1,700 | 21,271 | ||
Mabuchi Motor | 500 | 30,036 | ||
Maeda Road Construction | 200 | 1,480 | ||
Makita | 2,000 | 37,871 | ||
Marubeni | 22,000 | 71,805 | ||
Maruha Group | 400 | 1,003 | ||
Marui | 5,200 | 66,857 | ||
Matsumotokiyoshi | 700 | 19,787 | ||
Matsushita Electric Industrial | 39,195 | 574,156 | ||
Matsushita Electric Works | 5,000 | 42,127 | ||
Meiji Dairies | 4,000 | 22,240 | ||
Meiji Seika Kaisha | 6,000 | 28,856 | ||
Meitec | 500 | 16,519 | ||
Millea Holdings | 25 | 340,752 | ||
Minebea | 5,000 | 19,892 | ||
Mitsubishi | 19,500 | 267,011 | ||
Mitsubishi Chemical | 28,200 | 89,596 | ||
Mitsubishi Electric | 31,000 | 164,272 | ||
Mitsubishi Estate | 17,000 | 182,567 | ||
Mitsubishi Gas Chemical | 7,000 | 34,272 | ||
Mitsubishi Heavy Industries | 48,700 | 129,503 | ||
Mitsubishi Logistics | 2,000 | 20,738 | ||
Mitsubishi Materials | 14,000 | 32,461 |
The Fund 21 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Mitsubishi Rayon | 9,000 | 33,992 | ||
Mitsubishi Tokyo Financial Group | 81 | 702,569 | ||
Mitsui | 22,400 | 213,023 | ||
Mitsui Chemicals | 10,000 | 56,758 | ||
Mitsui Engineering & Shipbuilding | 13,000 | 28,149 | ||
Mitsui Fudosan | 12,000 | 133,934 | ||
Mitsui Mining & Smelting | 10,000 | 43,026 | ||
Mitsui OSK Lines | 15,000 | 94,775 | ||
Mitsui Sumitomo Insurance | 22,230 | 202,321 | ||
Mitsui Trust Holdings | 9,380 | 93,151 | ||
Mitsukoshi | 7,000 | 33,013 | ||
Mitsumi Electric | 900 | 9,919 | ||
Mizuho Financial Group | 137 | 644,420 | ||
Murata Manufacturing | 3,900 | 194,020 | ||
NEC | 28,800 | 158,863 | ||
NEC Electronics | 700 | 31,623 | ||
NET One Systems | 9 | 22,837 | ||
NGK Insulators | 5,000 | 51,468 | ||
NGK Spark Plug | 3,000 | 31,396 | ||
NOK | 1,700 | 44,526 | ||
NSK | 7,000 | 34,600 | ||
NTN | 7,000 | 37,262 | ||
NTT Data | 22 | 67,812 | ||
NTT DoCoMo | 355 | 548,668 | ||
Namco | 1,100 | 14,741 | ||
Nichii Gakkan | 320 | 9,185 | ||
Nichirei | 4,000 | 14,803 | ||
Nidec | 800 | 93,871 | ||
Nikko Cordial | 28,000 | 130,937 | ||
Nikon | 4,600 | 48,406 | ||
Nintendo | 1,750 | 199,646 | ||
Nippon Building Fund | 5 | 44,804 | ||
Nippon Express | 14,000 | 67,985 | ||
Nippon Kayaku | 2,000 | 11,296 | ||
Nippon Light Metal | 5,400 | 13,809 | ||
Nippon Meat Packers | 3,000 | 37,910 |
22
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Nippon Mining Holdings | 13,300 | 80,220 | ||
Nippon Oil | 21,800 | 153,353 | ||
Nippon Paper Group | 15 | 64,620 | ||
Nippon Sheet Glass | 7,000 | 28,621 | ||
Nippon Shokubai | 3,000 | 26,991 | ||
Nippon Steel | 109,100 | 276,579 | ||
Nippon Telegraph & Telephone | 90 | 376,765 | ||
Nippon Yusen | 16,800 | 99,400 | ||
Nishimatsu Construction | 3,000 | 11,245 | ||
Nissan Chemical Industries | 3,000 | 26,067 | ||
Nissan Motor | 44,000 | 434,380 | ||
Nisshin Seifun Group | 3,000 | 31,309 | ||
Nisshin Steel | 12,000 | 30,926 | ||
Nisshinbo Industries | 3,000 | 23,483 | ||
Nissin Food Products | 1,600 | 42,489 | ||
Nitori | 350 | 23,590 | ||
Nitto Denko | 3,000 | 163,833 | ||
Nomura Holdings | 33,000 | 419,483 | ||
Nomura Research Institute | 400 | 38,122 | ||
OJI Paper | 15,000 | 80,061 | ||
ORIX | 1,440 | 196,249 | ||
Obayashi | 10,000 | 58,519 | ||
Obic | 100 | 18,133 | ||
Odakyu Electric Railway | 11,000 | 63,553 | ||
Oki Electric Industry | 10,000 | 37,403 | ||
Okumura | 3,000 | 18,581 | ||
Olympus | 4,000 | 81,100 | ||
Omron | 3,500 | 76,261 | ||
Onward Kashiyama | 3,000 | 38,564 | ||
Oracle Corp Japan | 500 | 21,826 | ||
Oriental Land | 900 | 56,530 | ||
Osaka Gas | 36,000 | 113,230 | ||
Pioneer | 2,500 | 42,688 | ||
Promise | 1,500 | 97,166 | ||
QP | 1,500 | 13,489 | ||
Rakuten | 87 | 72,967 |
The Fund 23 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Resona Holdings | 80,000 | 151,124 | ||
Ricoh | 12,000 | 191,630 | ||
Rinnai | 500 | 12,801 | ||
Rohm | 1,900 | 179,247 | ||
Ryohin Keikaku | 400 | 20,206 | ||
SMC | 1,000 | 105,432 | ||
Saizeriya | 400 | 5,372 | ||
Sanden | 2,000 | 9,445 | ||
Sanken Electric | 2,000 | 27,120 | ||
Sankyo | 6,600 | 137,514 | ||
Sankyo | 900 | 44,564 | ||
Sanwa Shutter | 3,200 | 17,283 | ||
Sanyo Electric | 26,000 | 75,026 | ||
Sapporo Holdings | 4,000 | 18,693 | ||
Secom | 3,500 | 140,315 | ||
Sega Sammy Holdings | 1,192 | 69,612 | ||
Seiko Epson | 1,700 | 59,031 | ||
Seino Transportation | 3,000 | 28,496 | ||
Sekisui Chemical | 7,000 | 50,751 | ||
Sekisui House | 9,000 | 95,214 | ||
Seven-Eleven Japan | 6,500 | 183,007 | ||
77 Bank | 6,000 | 40,747 | ||
Sharp | 17,000 | 265,876 | ||
Shimachu | 700 | 18,062 | ||
Shimamura | 300 | 24,862 | ||
Shimano | 1,200 | 39,573 | ||
Shimizu | 8,000 | 38,011 | ||
Shin-Etsu Chemical | 6,500 | 240,372 | ||
Shinsei Bank | 17,000 | 92,261 | ||
Shionogi | 5,000 | 69,613 | ||
Shiseido | 6,000 | 76,401 | ||
Shizuoka Bank | 10,400 | 96,917 | ||
Showa Denko | 17,000 | 43,228 | ||
Showa Shell Sekiyu | 3,000 | 30,174 | ||
Skylark | 1,000 | 16,617 |
24 |
Common Stocks (continued) | Shares | Value ($) | ||||
Japan (continued) | ||||||
Snow Brand Milk Products | 1,750 | a | 5,492 | |||
Softbank | 4,100 | 165,084 | ||||
Sojitz Holdings | 2,600 | a | 12,636 | |||
Sompo Japan Insurance | 13,000 | 126,256 | ||||
Sony | 16,380 | 603,963 | ||||
Stanley Electric | 2,600 | 42,225 | ||||
Sumitomo | 16,000 | 135,413 | ||||
Sumitomo Bakelite | 3,000 | 18,717 | ||||
Sumitomo Chemical | 24,000 | 122,837 | ||||
Sumitomo Electric Industries | 11,800 | 123,380 | ||||
Sumitomo Heavy Industries | 9,000 | 36,589 | ||||
Sumitomo Metal Industries | 65,000 | 115,219 | ||||
Sumitomo Metal Mining | 9,000 | 63,281 | ||||
Sumitomo Mitsui Financial Group | 77 | 497,574 | ||||
Sumitomo Osaka Cement | 5,000 | 12,690 | ||||
Sumitomo Realty & Development | 7,000 | 79,880 | ||||
Sumitomo Trust & Banking | 21,000 | 131,419 | ||||
Suruga Bank | 4,000 | 34,861 | ||||
Suzuken | 720 | 19,626 | ||||
T&D Holdings | 3,250 | 160,614 | ||||
TDK | 2,200 | 154,037 | ||||
THK | 1,500 | 28,118 | ||||
TIS | 500 | 17,990 | ||||
Taiheiyo Cement | 14,000 | 39,229 | ||||
Taisei | 16,000 | 56,171 | ||||
Taisho Pharmaceutical | 3,000 | 64,262 | ||||
Taiyo Nippon Sanso | 4,000 | 22,686 | ||||
Taiyo Yuden | 2,100 | 21,774 | ||||
Takara Holdings | 3,000 | 19,256 | ||||
Takashimaya | 5,000 | 44,598 | ||||
Takeda Pharmaceutical | 15,700 | 764,660 | ||||
Takefuji | 1,900 | 120,240 | ||||
Takuma | 1,000 | 8,094 | ||||
Teijin | 14,000 | 63,425 | ||||
Teikoku Oil | 4,000 | 28,532 |
The Fund 25 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Terumo | 3,100 | 92,265 | ||
Tobu Railway | 12,000 | 44,975 | ||
Toda | 3,000 | 14,766 | ||
Toho | 2,400 | 37,971 | ||
Tohoku Electric Power | 7,300 | 140,915 | ||
Tokyo Broadcasting System | 500 | 9,409 | ||
Tokyo Electric Power | 20,372 | 488,885 | ||
Tokyo Electron | 3,000 | 154,963 | ||
Tokyo Gas | 45,000 | 180,346 | ||
Tokyo Style | 2,000 | 21,979 | ||
Tokyu | 16,820 | 81,498 | ||
Tokyu Land | 5,000 | 20,711 | ||
TonenGeneral Sekiyu | 5,000 | 53,410 | ||
Toppan Printing | 10,000 | 109,348 | ||
Toray Industries | 20,000 | 89,280 | ||
Toshiba | 51,000 | 209,007 | ||
Tosoh | 7,000 | 32,890 | ||
Toto | 5,000 | 42,603 | ||
Toyo Seikan Kaisha | 2,400 | 44,208 | ||
Toyo Suisan Kaisha | 2,000 | 31,448 | ||
Toyobo | 8,200 | 19,323 | ||
Toyoda Gosei | 800 | 14,612 | ||
Toyota Industries | 3,300 | 91,679 | ||
Toyota Motor | 50,914 | 1,852,871 | ||
Trend Micro | 1,500 | 55,112 | ||
UFJ Holdings | 67 a | 352,850 | ||
UNY | 3,000 | 34,855 | ||
USS | 450 | 35,592 | ||
Ube Industries | 15,600 | 31,267 | ||
Uni-Charm | 800 | 35,772 | ||
Uniden | 1,000 | 20,136 | ||
Ushio | 2,000 | 38,636 | ||
Wacoal | 2,000 | 25,101 | ||
West Japan Railway | 29 | 107,552 | ||
World | 700 | 23,218 |
26 |
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Yahoo! Japan | 64 | 142,279 | ||
Yakult Honsha | 2,000 | 39,667 | ||
Yamada Denki | 1,300 | 62,502 | ||
Yamaha | 2,800 | 41,500 | ||
Yamaha Motor | 2,800 | 49,164 | ||
Yamato Transport | 7,400 | 97,890 | ||
Yamazaki Baking | 2,000 | 17,747 | ||
Yokogawa Electric | 3,900 | 50,885 | ||
Zeon | 3,000 | 23,790 | ||
32,853,275 | ||||
Luxembourg—.1% | ||||
Arcelor | 8,393 | 170,428 | ||
Oriflame Cosmetics | 580 a | 12,478 | ||
182,906 | ||||
Netherlands—4.9% | ||||
ABN AMRO Holding | 30,832 | 757,016 | ||
ASML Holding | 8,512 a | 123,421 | ||
Aegon | 24,276 | 305,513 | ||
Akzo Nobel | 4,746 | 195,493 | ||
Corio | 708 | 38,129 | ||
DSM | 1,376 | 92,719 | ||
Euronext | 1,645 | 54,355 | ||
Getronics | 14,624 | 23,332 | ||
Hagemeyer | 9,322 a | 21,145 | ||
Heineken | 4,304 | 137,202 | ||
IHC Caland | 521 a | 33,974 | ||
ING Groep | 33,064 | 909,453 | ||
Koninklijke Ahold | 27,715 a | 211,001 | ||
Koninklijke Philips Electronics | 23,267 | 582,216 | ||
OCE | 1,200 | 17,933 | ||
Qiagen | 2,281 a | 29,911 | ||
Randstad Holdings | 845 | 34,522 | ||
Reed Elsevier | 12,307 | 177,703 | ||
Rodamco Europe | 830 | 62,898 | ||
Royal Dutch Petroleum | 36,692 | 2,146,811 |
The Fund 27 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Netherlands (continued) | ||||
Royal KPN | 38,520 | 322,531 | ||
Royal Numico | 2,584 a | 107,352 | ||
STMicroelectronics | 10,308 | 146,672 | ||
TNT | 6,868 | 187,394 | ||
Unilever | 10,099 | 652,889 | ||
VNU | 4,148 | 117,122 | ||
Vedior | 3,112 | 48,009 | ||
Wereldhave | 389 | 38,436 | ||
Wolters Kluwer | 4,905 | 87,592 | ||
7,662,744 | ||||
New Zealand—.2% | ||||
Auckland International Airport | 19,388 | 28,322 | ||
Carter Holt Harvey | 8,850 | 12,062 | ||
Contact Energy | 5,704 | 29,751 | ||
Fisher & Paykel Appliances Holdings | 3,468 | 7,087 | ||
Fisher & Paykel Healthcare | 6,500 | 14,392 | ||
Fletcher Building | 8,814 | 40,055 | ||
Independent Newspapers | 1,500 | 6,581 | ||
NGC Holdings | 3,200 | 7,833 | ||
Sky City Entertainment Group | 7,799 | 25,263 | ||
Sky Network Television | 1,300 | 6,294 | ||
Telecom Corp of New Zealand | 34,153 | 151,773 | ||
Tenon | 1,122 a | 2,986 | ||
Tower | 4,325 a | 5,686 | ||
Warehouse Group | 2,700 | 7,425 | ||
Waste Management | 1,400 | 6,056 | ||
351,566 | ||||
Norway—.7% | ||||
DNB NOR | 11,807 | 112,998 | ||
Frontline | 700 | 31,013 | ||
Norsk Hydro | 2,575 | 203,487 | ||
Norske Skogindustrier | 1,680 | 29,406 | ||
Orkla | 3,258 | 109,393 | ||
Petroleum Geo-Services | 370 a | 22,363 | ||
Schibsted | 1,100 | 26,232 |
28 |
Common Stocks (continued) | Shares | Value ($) | ||
Norway (continued) | ||||
Ship Finance International | 70 | 1,300 | ||
Smedvig, CL. A | 800 | 14,038 | ||
Statoil | 11,740 | 207,361 | ||
Stolt Offshore | 3,591 a | 26,341 | ||
Storebrand | 4,350 | 32,609 | ||
Tandberg | 3,000 | 30,705 | ||
Telenor | 13,857 | 116,104 | ||
Tomra Systems | 2,550 | 9,379 | ||
Yara International | 3,974 | 52,883 | ||
1,025,612 | ||||
Portugal—.3% | ||||
Banco BPI | 5,214 | 21,029 | ||
Banco Comercial Portugues | 37,567 | 101,172 | ||
Banco Espirito Santo | 1,834 | 31,070 | ||
Brisa-Auto Estradas de Portugal | 6,721 | 53,817 | ||
Cimpor Cimentos de Portugal | 4,095 | 22,737 | ||
Energias de Portugal | 35,735 | 96,958 | ||
Jeronimo Martins | 525 a | 8,072 | ||
PT Multimedia Servicos de Telecomunicacoes e Multimedia | 780 | 18,539 | ||
Portugal Telecom | 13,600 | 149,776 | ||
Sonae | 13,560 | 21,583 | ||
524,753 | ||||
Singapore—.8% | ||||
Allgreen Properties | 6,000 | 4,367 | ||
Ascendas Real Estate Investment Trust | 15,700 | 19,049 | ||
CapitaLand | 19,000 | 29,707 | ||
CapitaMall Trust | 14,000 | 18,702 | ||
Chartered Semiconductor Manufacturing | 14,000 a | 8,209 | ||
City Developments | 9,000 | 38,092 | ||
ComfortDelgro | 29,700 | 31,737 | ||
Creative Technology | 750 | 6,488 | ||
DBS Group Holdings | 20,059 | 175,838 | ||
Datacraft Asia | 3,000 a | 2,828 | ||
Fraser and Neave | 3,430 | 32,610 | ||
Haw Par | 1,658 | 5,286 |
The Fund 29 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Singapore (continued) | ||||
Jardine Cycle & Carriage | 2,422 | 18,150 | ||
Keppel | 10,500 | 68,865 | ||
Keppel Land | 5,000 | 7,731 | ||
Neptune Orient Lines | 8,000 | 16,708 | ||
Oversea-Chinese Banking | 18,143 | 149,238 | ||
Overseas Union Enterprise | 1,000 | 5,215 | ||
Parkway Holdings | 7,000 | 7,136 | ||
SMRT | 8,000 | 4,490 | ||
STATS ChipPAC | 15,000 a | 9,146 | ||
SembCorp Industries | 13,037 | 15,758 | ||
SembCorp Logistics | 3,357 | 3,368 | ||
SembCorp Marine | 7,000 | 8,383 | ||
Singapore Airlines | 10,000 | 68,637 | ||
Singapore Exchange | 15,000 | 17,101 | ||
Singapore Land | 2,000 | 7,244 | ||
Singapore Post | 18,000 | 9,484 | ||
Singapore Press Holdings | 28,075 | 74,977 | ||
Singapore Technologies Engineering | 25,000 | 38,012 | ||
Singapore Telecommunications | 116,265 | 182,396 | ||
Suntec Real Estate Investment Trust | 19,000 | 14,190 | ||
United Overseas Bank | 20,112 | 176,402 | ||
United Overseas Land | 5,000 | 6,805 | ||
Venture | 4,000 | 34,176 | ||
Wing Tai Holdings | 6,000 | 3,427 | ||
1,319,952 | ||||
South Africa—.4% | ||||
Anglo American | 25,093 | 560,002 | ||
Spain—3.9% | ||||
ACS Actividades Cons y Serv | 4,559 | 111,555 | ||
Abertis Infraestructuras | 4,088 | 90,178 | ||
Acciona | 488 | 42,140 | ||
Acerinox | 3,120 | 46,632 | ||
Altadis | 4,703 | 200,223 | ||
Amadeus Global Travel Distribution | 6,035 | 56,537 | ||
Antena 3 de Television | 1,243 | 24,872 |
30 |
Common Stocks (continued) | Shares | Value ($) | ||
Spain (continued) | ||||
Banco Bilbao Vizcaya Argentaria | 56,848 | 883,414 | ||
Banco Popular Espanol | 2,975 | 185,953 | ||
Banco Santander Central Hispano | 104,752 | 1,227,003 | ||
Cintra Concesiones de Infraestructuras de Transporte | 3,202 | 34,398 | ||
Corp Mapfre | 1,777 | 26,536 | ||
Endesa | 16,899 | 370,412 | ||
Fomento de Construcciones y Contratas | 786 | 42,620 | ||
Gamesa Corp Tecnologica | 2,113 | 27,407 | ||
Gas Natural SDG | 2,864 | 81,934 | ||
Grupo Ferrovial | 1,164 | 66,574 | ||
Iberdrola | 13,594 | 355,596 | ||
Iberia Lineas Aereas de Espana | 8,017 | 24,859 | ||
Inditex | 3,759 | 111,887 | ||
Indra Sistemas | 2,010 | 34,895 | ||
Metrovacesa | 804 | 43,633 | ||
NH Hoteles | 1,165 | 14,154 | ||
Promotora de Informaciones | 1,230 | 23,454 | ||
Repsol YPF | 16,222 | 413,621 | ||
Sacyr Vallehermoso | 1,957 | 33,046 | ||
Sociedad General de Aguas de Barcelona, Cl. A | 1,172 | 24,029 | ||
Sogecable | 728 a | 27,267 | ||
Telefonica | 78,621 | 1,341,198 | ||
Telefonica Publicidad e Informacion | 3,115 | 28,658 | ||
Union Fenosa | 3,685 | 110,938 | ||
Zeltia | 2,944 | 24,543 | ||
6,130,166 | ||||
Sweden—2.4% | ||||
Alfa Laval | 1,700 | 23,848 | ||
Assa Abloy, CL. B | 5,392 | 69,957 | ||
Atlas Copco, CL. A | 2,065 | 94,098 | ||
Atlas Copco, CL. B | 1,200 | 49,920 | ||
Axfood | 420 | 10,873 | ||
Billerud | 800 | 10,854 | ||
Capio | 1,120 | 17,393 | ||
Castellum | 600 | 22,196 |
The Fund 31 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Sweden (continued) | ||||
D Carnegie | 870 | 9,010 | ||
Electrolux, CL. B | 4,907 | 99,419 | ||
Elekta, CL. B | 400 a | 14,075 | ||
Eniro | 2,873 | 32,741 | ||
Gambro, CL. A | 2,742 | 37,081 | ||
Gambro, CL. B | 2,300 | 31,207 | ||
Getinge, CL. B | 3,400 | 48,898 | ||
Hennes & Mauritz, CL. B | 8,384 | 290,023 | ||
Hoganas, CL. B | 400 | 10,584 | ||
Holmen, CL. B | 900 | 24,012 | ||
Lundin Petroleum | 3,300 a | 24,782 | ||
Modern Times Group, CL. B | 900 a | 27,808 | ||
Nordea Bank | 37,258 | 354,642 | ||
OMX | 1,650 a | 19,200 | ||
SAS | 2,050 a | 18,206 | ||
SKF, Cl. B | 1,597 | 67,485 | ||
Sandvik | 3,766 | 147,939 | ||
Scania, CL. B | 1,672 | 64,971 | ||
Securitas, CL. B | 4,804 | 77,346 | ||
Skandia Forsakrings | 18,860 | 88,870 | ||
Skandinaviska Enskilda Banken, CL. A | 8,329 | 147,336 | ||
Skanska, CL. B | 6,499 | 78,409 | ||
Ssab Svenskt Stal, Ser. A | 900 | 20,792 | ||
Ssab Svenskt Stal, Ser. B | 400 | 8,905 | ||
Svenska Cellulosa, CL. B | 3,302 | 115,220 | ||
Svenska Handelsbanken, CL. A | 9,088 | 204,865 | ||
Swedish Match | 5,764 | 68,182 | ||
Telefonaktiebolaget LM Ericsson, CL. B | 261,381 | 776,948 | ||
Tele2, CL. B | 1,615 | 51,285 | ||
TeliaSonera | 37,734 | 197,874 | ||
Trelleborg, CL. B | 1,040 | 15,326 | ||
Volvo, CL. A | 1,822 | 71,312 | ||
Volvo, CL. B | 3,953 | 160,736 | ||
WM-data, Cl. B | 5,000 | 12,715 | ||
Wihlborgs Fastigheter | 1,323 | 32,345 | ||
3,749,688 |
32
Common Stocks (continued) | Shares | Value ($) | ||
Switzerland—6.9% | ||||
ABB | 32,551 a | 202,977 | ||
Adecco | 2,250 | 109,173 | ||
Ciba Specialty Chemicals | 1,131 | 71,098 | ||
Clariant | 4,141 | 65,112 | ||
Compagnie Financiere Richemont, Cl. A | 9,079 | 270,449 | ||
Credit Suisse Group | 20,070 | 848,326 | ||
Geberit | 57 | 38,408 | ||
Givaudan | 128 | 80,874 | ||
Holcim | 2,818 | 171,991 | ||
Kudelski | 651 | 21,503 | ||
Kuoni Reisen Holding | 41 | 16,071 | ||
Logitech International | 791 a | 45,670 | ||
Lonza Group | 651 | 39,355 | ||
Micronas Semiconductor | 647 a | 23,553 | ||
Nestle | 7,108 | 1,874,251 | ||
Nobel Biocare Holding | 397 | 85,266 | ||
Novartis | 41,579 | 2,031,703 | ||
Phonak Holding | 822 | 28,766 | ||
Rieter Holding | 65 | 18,306 | ||
Roche Holding | 12,382 | 1,504,135 | ||
SGS | 76 | 51,634 | ||
Schindler Holding | 83 | 30,192 | ||
Serono, CL . B | 115 | 73,613 | ||
Straumann Holding | 143 | 30,991 | ||
Sulzer | 57 | 23,230 | ||
Swatch Group | 1,198 | 31,561 | ||
Swatch Group, Cl. B | 612 | 78,677 | ||
Swiss Reinsurance | 5,710 | 380,177 | ||
Swisscom | 464 | 160,786 | ||
Syngenta | 1,870 | 194,229 | ||
Synthes | 796 | 90,639 | ||
UBS | 18,840 | 1,516,764 | ||
Unaxis Holding | 216 | 30,982 | ||
Valora Holding | 61 | 13,350 | ||
Zurich Financial Services | 2,550 a | 432,491 | ||
10,686,303 |
The Fund 33
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom—24.7 | ||||
ARM Holdings | 22,841 | 42,065 | ||
Aegis Group | 19,147 | 35,285 | ||
Aggreko | 4,440 | 15,616 | ||
Alliance Unichem | 4,523 | 69,063 | ||
Amec | 5,236 | 32,441 | ||
Amvescap | 13,352 | 77,729 | ||
Arriva | 3,304 | 32,004 | ||
Associated British Ports Holdings | 5,399 | 47,660 | ||
AstraZeneca | 29,106 | 1,278,040 | ||
Aviva | 40,315 | 455,682 | ||
BAA | 18,704 | 207,517 | ||
BAE Systems | 57,080 | 279,109 | ||
BBA Group | 7,305 | 38,832 | ||
BG Group | 62,541 | 484,119 | ||
BHP Billiton | 43,645 | 532,710 | ||
BOC Group | 8,747 | 162,317 | ||
BP | 379,337 | 3,869,473 | ||
BPB | 9,080 | 79,164 | ||
BT Group | 150,930 | 577,550 | ||
Balfour Beatty | 7,805 | 45,562 | ||
Barclays | 113,361 | 1,169,232 | ||
Barratt Developments | 4,062 | 46,288 | ||
Bellway | 2,066 | 30,244 | ||
Berkeley Group Holdings | 2,063 | 30,418 | ||
Boots Group | 13,282 | 152,894 | ||
Brambles Industries | 12,983 | 72,531 | ||
British Airways | 9,939 a | 45,423 | ||
British American Tobacco | 28,440 | 533,059 | ||
British Land | 9,117 | 142,919 | ||
British Sky Broadcasting | 21,824 | 226,196 | ||
Bunzl | 8,000 | 78,182 | ||
Cable & Wireless | 41,967 | 96,365 | ||
Cadbury Schweppes | 36,726 | 369,808 | ||
Capita Group | 12,060 | 86,890 | ||
Carnival | 2,983 | 154,207 |
34 |
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Cattles | 5,170 | 30,019 | ||
Centrica | 66,498 | 282,488 | ||
Close Brothers Group | 2,095 | 28,287 | ||
Cobham | 2,084 | 51,587 | ||
Compass Group | 37,753 | 169,140 | ||
Cookson Group | 36,741 a | 24,964 | ||
Corus Group | 69,721 a | 58,223 | ||
Daily Mail & General Trust | 5,415 | 69,176 | ||
Davis Service Group | 3,572 | 29,373 | ||
De La Rue | 2,707 | 19,155 | ||
Diageo | 53,281 | 789,910 | ||
Dixons Group | 34,175 | 93,204 | ||
EMI Group | 14,255 | 64,959 | ||
Electrocomponents | 8,351 | 36,777 | ||
Emap | 4,617 | 70,362 | ||
Enterprise Inns | 6,355 | 88,621 | ||
Exel | 5,316 | 83,923 | ||
FKI | 8,710 | 15,538 | ||
Firstgroup | 7,518 | 45,855 | ||
Friends Provident | 34,249 | 105,409 | ||
GKN | 13,381 | 59,071 | ||
GUS | 17,669 | 281,997 | ||
GlaxoSmithKline | 103,609 | 2,611,574 | ||
Great Portland Estates | 1,720 | 10,854 | ||
Group 4 Securicor | 21,182 | 53,348 | ||
HBOS | 69,185 | 1,023,925 | ||
HMV Group | 6,560 | 28,480 | ||
HSBC Holdings | 197,003 | 3,153,506 | ||
Hammerson | 4,961 | 80,899 | ||
Hanson | 12,575 | 116,304 | ||
Hays | 30,651 | 76,618 | ||
Hilton Group | 27,834 | 145,648 | ||
ICAP | 7,863 | 39,477 | ||
IMI | 5,951 | 45,374 | ||
Imperial Chemical Industries | 20,564 | 99,395 |
The Fund 35 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Imperial Tobacco Group | 12,934 | 370,581 | ||
Inchcape | 1,275 | 43,338 | ||
Intercontinental Hotels Group | 11,116 | 132,270 | ||
International Power | 26,765 | 93,374 | ||
Intertek Group | 2,632 | 38,273 | ||
Invensys | 97,963 a | 24,099 | ||
Johnson Matthey | 4,051 | 71,015 | ||
Kelda Group | 6,730 | 81,356 | ||
Kesa Electricals | 9,865 | 50,173 | ||
Kingfisher | 41,785 | 197,220 | ||
Land Securities Group | 8,334 | 212,491 | ||
Legal & General Group | 115,894 | 231,977 | ||
Liberty International | 4,322 | 78,115 | ||
Lloyds TSB Group | 98,762 | 849,351 | ||
LogicaCMG | 12,119 | 38,072 | ||
London Stock Exchange | 4,308 | 38,039 | ||
MFI Furniture | 9,710 | 18,898 | ||
Man Group | 4,763 | 111,063 | ||
Marconi | 3,397 a | 16,983 | ||
Marks & Spencer Group | 28,797 | 186,155 | ||
Meggitt | 7,362 | 36,295 | ||
Misys | 9,747 | 37,946 | ||
Mitchells & Butlers | 8,756 | 50,194 | ||
National Express Group | 2,380 | 38,344 | ||
National Grid Transco | 54,636 | 538,380 | ||
Next | 4,496 | 127,570 | ||
Pearson | 14,059 | 171,142 | ||
Peninsular and Oriental Steam Navigation | 13,325 | 68,487 | ||
Persimmon | 4,925 | 63,837 | ||
Pilkington | 17,642 | 36,555 | ||
Premier Farnell | 5,140 | 14,619 | ||
Provident Financial | 4,272 | 54,623 | ||
Prudential | 41,838 | 377,828 | ||
Punch Taverns | 4,637 | 56,142 | ||
Rank Group | 11,179 | 55,554 |
36 |
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Reckitt Benckiser | 10,928 | 355,316 | ||
Reed Elsevier | 22,700 | 222,314 | ||
Rentokil Initial | 32,086 | 96,420 | ||
Reuters Group | 25,057 | 184,782 | ||
Rexam | 10,028 | 88,293 | ||
Rio Tinto | 18,877 | 570,105 | ||
Rolls-Royce Group | 26,372 | 119,864 | ||
Royal & Sun Alliance Insurance Group | 50,757 | 73,534 | ||
Royal Bank of Scotland Group | 55,884 | 1,688,474 | ||
SABMiller | 14,309 | 212,451 | ||
SSL International | 3,900 | 20,523 | ||
Sage Group | 23,345 | 87,524 | ||
Sainsbury (J) | 23,356 | 126,283 | ||
Schroders | 2,417 | 31,255 | ||
Scottish & Newcastle | 13,855 | 120,515 | ||
Scottish & Southern Energy | 15,255 | 274,151 | ||
Scottish Power | 33,157 | 268,668 | ||
Serco Group | 7,990 | 36,534 | ||
Severn Trent | 5,981 | 111,037 | ||
Shell Transport & Trading | 169,605 | 1,521,035 | ||
Signet Group | 31,297 | 60,680 | ||
Slough Estates | 7,540 | 69,289 | ||
Smith & Nephew | 16,466 | 169,756 | ||
Smiths Group | 9,843 | 161,619 | ||
Stagecoach Group | 15,251 | 30,196 | ||
Tate & Lyle | 6,999 | 62,266 | ||
Taylor Woodrow | 9,825 | 53,954 | ||
Tesco | 136,720 | 808,012 | ||
3i Group | 10,804 | 132,190 | ||
Tomkins | 12,848 | 60,498 | ||
Trinity Mirror | 5,313 | 64,886 | ||
Unilever | 48,960 | 466,663 | ||
United Business Media | 6,221 | 59,095 | ||
United Utilities | 9,614 | 116,957 | ||
United Utilities, CL. A | 5,676 | 49,019 |
The Fund 37 |
S T A T E M E N T O F I N V E S T M E N T S ( U n a u d i t e d ) (continued)
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Vodafone Group | 1,160,286 | 3,032,826 | ||
WPP Group | 21,114 | 230,112 | ||
Whitbread | 5,423 | 88,297 | ||
William Hill | 7,237 | 74,622 | ||
Wimpey (George) | 6,559 | 49,056 | ||
Wolseley | 10,451 | 210,490 | ||
Yell Group | 12,098 | 92,970 | ||
38,542,925 | ||||
Total Common Stocks | ||||
(cost $123,422,189) | 153,015,058 | |||
Preferred Stocks—.2% | ||||
Germany—.2% | ||||
Fresenius Medical Care | 400 | 23,015 | ||
Henkel KGaA | 1,030 | 89,088 | ||
Porsche | 140 | 90,941 | ||
ProSiebenSat.1 Media | 1,533 | 26,277 | ||
RWE | 665 | 34,438 | ||
Volkswagen | 1,897 | 59,908 | ||
Total Preferred Stocks | ||||
(cost $272,865) | 323,667 | |||
Other Investments—2.5% | ||||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred Plus Money Market Fund | ||||
(cost $3,900,000) | 3,900,000 b | 3,900,000 |
38 |
Principal | ||||
Short-Term Investments—.2% | Amount ($) | Value ($) | ||
U.S. Treasury Bill; | ||||
2.72%, 6/9/2005 | ||||
(cost $294,131) | 295,000 c | 294,183 | ||
Total Investments (cost $127,889,185) | 101.1% | 157,532,908 | ||
Liabilities, Less Cash and Receivables | (1.1%) | (1,634,287) | ||
Net Assets | 100.0% | 155,898,621 |
a Non-income producing. |
b Investments in affiliated money market mutual funds. |
c Partially held by the broker in a segregated account as collateral for open financial futures positions. |
Portfolio Summary | (Unaudited)† | |||||
Value (%) | Value (%) | |||||
Financials | 24.8 | Telecommunication Services | 7.2 | |||
Consumer Discrentionary | 12.0 | Information Technology | 5.9 | |||
Industrials | 9.8 | Utilities | 5.6 | |||
Energy | 8.8 | Futures Contracts | (.0) | |||
Health Care | 8.6 | Short-Term Investments | 2.7 | |||
Consumer Staples | 8.3 | |||||
Materials | 7.4 | 101.1 | ||||
† Based on net assets. | ||||||
See notes to financial statetments. |
The Fund 39 |
STATEMENT OF FINANCIAL FUTURES
April 30, 2005 (Unaudited)
Unrealized | ||||||||
Market Value | Appreciation | |||||||
Covered by | (Depreciation) | |||||||
Contracts | Contracts ($) | Expiration | at 4/30/2005 ($) | |||||
Financial Futures Long | ||||||||
DJ Euro STOXX 50 | 22 | 825,898 | June 2005 | (2,009) | ||||
Financial Times 100 | 7 | 641,193 | June 2005 | (5,908) | ||||
TOPIX | 4 | 428,156 | June 2005 | 2,580 | ||||
(5,337) |
See notes to financial statements. |
40 |
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2005 (Unaudited)
Cost | Value | |||
Assets ($): | ||||
Investments in securities—See Statement of Investments: | ||||
Unaffiliated issuers | 123,989,185 | 153,632,908 | ||
Affiliated issuers | 3,900,000 | 3,900,000 | ||
Cash | 178,265 | |||
Cash denominated in foreign currencies | 458,495 | 457,601 | ||
Dividends and interest receivable | 695,652 | |||
Receivable for shares of Common Stock subscribed | 177,016 | |||
Receivable investment securities sold | 28,664 | |||
Net unrealized appreciation on forward | ||||
currency exchange contracts—Note 4 | 18,382 | |||
Receivable for futures variation margin—Note 4 | 2,096 | |||
159,090,584 | ||||
Liabilities ($): | ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 76,774 | |||
Payable for investment securities purchased | 3,043,475 | |||
Payable for shares of Common Stock redeemed | 63,052 | |||
Net unrealized depreciation on forward | ||||
currency exchange contracts—Note 4 | 8,662 | |||
3,191,963 | ||||
Net Assets ($) | 155,898,621 | |||
Composition of Net Assets ($): | ||||
Paid-in capital | 145,702,385 | |||
Accumulated undistributed investment income—net | 897,122 | |||
Accumulated net realized gain (loss) on investments | (20,348,863) | |||
Accumulated net unrealized appreciation (depreciation) | ||||
on investments and foreign currency transactions [including | ||||
($5,337) net unrealized (depreciation) on financial futures] | 29,647,977 | |||
Net Assets ($) | 155,898,621 | |||
Shares Outstanding | ||||
(200 million shares of $.001 par value Common Stock authorized) | 11,628,947 | |||
Net Asset Value, offering and redemption price per share—Note 3(c) ($) | 13.41 |
See notes to financial statements. |
The Fund 41 |
STATEMENT OF OPERATIONS Six Months Ended April 30, 2005 (Unaudited) |
Investment Income ($): | ||
Income: | ||
Cash dividends (net of $176,001 foreign taxes withheld at source) | 2,004,769 | |
Income on securities lending | 1,425 | |
Total Income | 2,006,194 | |
Expenses: | ||
Management fee—Note 3(a) | 249,339 | |
Shareholder servicing costs—Note 3(b) | 178,100 | |
Loan commitment fees—Note 2 | 167 | |
Total Expenses | 427,606 | |
Investment Income—Net | 1,578,588 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments and foreign currency transactions | 180,484 | |
Net realized gain (loss) on forward currency exchange contracts | 283,011 | |
Net realized gain (loss) on financial futures | 175,185 | |
Net Realized Gain (Loss) | 638,680 | |
Net unrealized appreciation (depreciation) on investments | ||
and foreign currency transactions (including $1,060 | ||
net unrealized appreciation on financial futures) | 8,052,199 | |
Net Realized and Unrealized Gain (Loss) on Investments | 8,690,879 | |
Net Increase in Net Assets Resulting from Operations | 10,269,467 |
See notes to financial statements. |
42 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||||
April 30, 2005 | Year Ended | |||
(Unaudited) | October 31, 2004 | |||
Operations ($): | ||||
Investment income—net | 1,578,588 | 2,266,584 | ||
Net realized gain (loss) on investments | 638,680 | (1,547,714) | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 8,052,199 | 16,665,140 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 10,269,467 | 17,384,010 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (2,772,459) | (2,598,401) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 48,498,175 | 49,003,241 | ||
Dividends reinvested | 2,386,289 | 2,173,964 | ||
Cost of shares redeemed | (19,649,065) | (40,527,316) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 31,235,399 | 10,649,889 | ||
Total Increase (Decrease) in Net Assets | 38,732,407 | 25,435,498 | ||
Net Assets ($): | ||||
Beginning of Period | 117,166,214 | 91,730,716 | ||
End of Period | 155,898,621 | 117,166,214 | ||
Undistributed investment income—net | 897,122 | 2,090,993 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 3,579,324 | 4,094,263 | ||
Shares issued for dividends reinvested | 175,076 | 197,095 | ||
Shares redeemed | (1,443,220) | (3,381,139) | ||
Net Increase (Decrease) in Shares Outstanding | 2,311,180 | 910,219 |
See notes to financial statements. |
The Fund 43 |
FINANCIAL HIGHLIGHTS |
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund's financial statements.
Six Months Ended | ||||||||||||
April 30, 2005 | Year Ended October 31, | |||||||||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |||||||
Per Share Data ($): | ||||||||||||
Net asset value, | ||||||||||||
beginning of period | 12.57 | 10.91 | 8.89 | 10.60 | 14.18 | 14.95 | ||||||
Investment Operations: | ||||||||||||
Investment income—net a | .15 | .25 | .18 | .15 | .15 | .19 | ||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | .96 | 1.72 | 2.04 | (1.73) | (3.74) | (.78) | ||||||
Total from | ||||||||||||
Investment Operations | 1.11 | 1.97 | 2.22 | (1.58) | (3.59) | (.59) | ||||||
Distributions: | ||||||||||||
Dividends from investment | ||||||||||||
income—net | (.27) | (.31) | (.20) | (.13) | — | (.18) | ||||||
Redemption fee reimbursement | — | .00b | .00b | .00b | .01 | .00b |
Net asset value, end of period | 13.41 | 12.57 | 10.91 | 8.89 | 10.60 | 14.18 | ||||||||
Total Return (%) | 8.80c | 18.40 | 25.49 | (15.12) | (25.25) | (4.09) | ||||||||
Ratios/Supplemental Data (%): | ||||||||||||||
Ratio total expenses to | ||||||||||||||
average net assets | .30c | .60 | .60 | .60 | .60 | .60 | ||||||||
Ratio of net investment income | ||||||||||||||
to average net assets | 1.10c | 2.07 | 1.98 | 1.44 | 1.26 | 1.21 | ||||||||
Portfolio Turnover Rate | 2.32c | 14.80 | 11.37 | 24.12 | 30.02 | 15.32 | ||||||||
Net Assets, end of period | ||||||||||||||
($ x 1,000) | 155,899 | 117,116 | 91,731 | 82,091 | 72,344 | 51,619 | ||||||||
a | Based on average shares outstanding at each month end. | |||||||||||||
b | Amount represents less than $.01 per share. | |||||||||||||
c | Not annualized. | |||||||||||||
See notes to financial statements. |
44 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”) which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series including the fund. The fund’s investment objective is to provide investment results that correspond to the net dividend and total return performance of equity securities of international issuers in the aggregate, as represented by the Morgan Stanley Capital International Europe,Australia, Far East (Free) Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”) serves as the fund’s investment adviser.The Manager is a wholly-owned subsidiary of Mellon Financial Corporation (“Mellon Financial”). Dreyfus Service Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, 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
The Fund 45 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
for valuation purposes. Bid price is used when no asked price is available. Investments in registered investment companies 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 fund’s 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 ADR’s and futures contracts. For other securities that are fair valued by the funds 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. Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange. Forward currency exchange contracts are valued at the forward rate. Financial futures are valued at the last sales price.
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities
46 |
other than investments in securities, resulting from changes in exchange rates. Such gains and losses are included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gain and loss 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 Mellon Bank, N.A., an affiliate of the Manager, the fund may lend securities to qualified institu-tions.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 will be maintained at all times. Cash collateral is invested in certain money market mutual funds managed by the Manager. The fund will be entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transac-tion.Although each security loaned is fully collateralized, the fund would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner.
(d) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.
(e) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gain, 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 gain 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 incomes tax regulations, which may differ from U.S. generally accepted accounting principles.
The Fund 47 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(f) 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.
The fund has an unused capital loss carryover of $14,062,054 available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to October 31, 2004. If not applied, $58,106 of the carryover expires in fiscal 2005, $167,514 expires in fiscal 2006, $2,874,348 expires in fiscal 2009, $5,891,135 expires in fiscal 2010, $4,292,311 expires in fiscal 2011 and $778,640 expires in fiscal 2012.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2004, was as follows: ordinary income $2,598,401. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Line Of Credit: |
The fund participates with other Dreyfus-managed funds in a $350 million redemption credit facility (the “Facility”) to be utilized for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay commitment fees on its pro rata portion of the Facility. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowings. During the period ended April 30, 2005, the fund did not borrow under the Facility.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to an Investment Management Agreement (“Agreement”) with the Manager, the management fee is computed at the annual rate of .35 of 1% of the value of the fund’s average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has
48 |
agreed to pay all the expenses of the fund, except management fees, brokerage commissions, taxes, commitment fees, interest, Shareholder Services Plan fees, fees and expenses of non-interested Board Members (including counsel fees) and extraordinary expenses. In addition, the Manager is required to reduce its fee in an amount equal to the fund’s allocable portion of fees and expenses of the non-interested Board Members (including counsel fees). Each Board member also serves as a Board Member of other funds within the Dreyfus complex (collectively, the “Fund Group”). Each Board member receives an annual fee of $25,000, an attendance fee of $4,000 for each in-person meeting and $500 for telephone meetings. The chairman of the Board receives an additional 25% of such compensation (with the exception of reimbursable amounts). Subject to the Company’s Emeritus Program Guidelines, Emeritus Board members, if any, receive 50% of the Company’s annual retainer fee and per meeting fee paid at the time the Board member achieves emeritus status. Amounts required to be paid by the Company directly to the non-interested Board members, that were applied to offset a portion of the management fee payable to the Manager were in fact paid directly by the Manager to the non-interested Board members. All Board fees are allocated among the funds in the Fund Group in proportion to each fund’s relative net assets.
(b) Under the Shareholder Services Plan, the fund pays the Distributor for the provision of certain services, a fee at the annual rate of .25 of 1% of the value of the fund’s average daily net assets.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts.The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2005, the fund was charged $178,100 pursuant to the Shareholder Services Plan.
The Fund 49 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The components of Due to The Dreyfus Corporation and affiliates in the Statement of Assets and Liabilities consist of: management fees $44,785 and shareholder services plan fees $31,989.
(c) A 1% redemption fee is charged and retained by the fund on certain shares redeemed within six months following the date of issuance, including redemptions made through the use of the fund’s exchange privilege.
(d) Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests it’s available cash balances in affiliated money market mutual funds. Management fees of the underlying money market mutual funds have been waived by the Manager.
NOTE 4—Securities Transactions: |
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, forward currency exchange contracts and financial futures, during the period ended April 30, 2005, amounted to $34,466,096 and $3,223,273, respectively.
The fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings and to settle foreign currency transactions. When executing forward currency exchange contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward currency exchange contracts, the fund would incur a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed.The fund realizes a gain if the value of the contract decreases between those dates.With respect to purchases of forward currency exchange contracts, the fund would incur a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. The fund is also exposed to credit risk associated with counter party nonperformance on these forward currency exchange contracts which is typically limited to the unrealized gain on each open contract.
50 |
The following summarizes open forward currency exchange contracts at April 30, 2005:
Foreign | Unrealized | |||||||
Forward Currency | Currency | Appreciation | ||||||
Exchange Contracts | Amounts | Cost ($) | Value ($) | (Depreciation) ($) | ||||
Purchases: | ||||||||
Australian Dollar, | ||||||||
expiring 5/2/2005 | 241,712 | 187,675 | 188,729 | 1,054 | ||||
British Pound, | ||||||||
expiring 5/3/2005 | 480,593 | 916,737 | 917,885 | 1,148 | ||||
British Pound, | ||||||||
expiring 6/16/2005 | 313,930 | 598,147 | 598,322 | 175 | ||||
Danish Krone, | ||||||||
expiring 5/2/2005 | 58,676 | 10,215 | 10,173 | (42) | ||||
Euro, | ||||||||
expiring 5/2/2005 | 612,621 | 794,263 | 790,863 | (3,400) | ||||
Euro, | ||||||||
expiring 5/4/2005 | 5,938 | 7,699 | 7,666 | (33) | ||||
Euro, | ||||||||
expiring 6/16/2005 | 457,510 | 595,263 | 591,355 | (3,908) | ||||
Japanese Yen, | ||||||||
expiring 5/6/2005 | 59,579,968 | 562,309 | 567,888 | 5,579 | ||||
Japanese Yen, | ||||||||
expiring 6/16/2005 | 59,660,000 | 560,856 | 570,827 | 9,971 | ||||
New Zealand Dollar, | ||||||||
expiring 5/2/2005 | 21,098 | 15,245 | 15,446 | 201 | ||||
Norwegian Krone, | ||||||||
expiring 5/2/2005 | 114,715 | 18,314 | 18,227 | (87) | ||||
Singapore Dollar, | ||||||||
expiring 5/3/2005 | 57,770 | 35,090 | 35,344 | 254 | ||||
Swedish Krona, | ||||||||
expiring 5/2/2005 | 569,319 | 80,731 | 79,907 | (824) | ||||
Swiss Franc, | ||||||||
expiring 5/2/2005 | 256,695 | 215,997 | 215,629 | (368) | ||||
Total | 9,720 |
The fund may invest in financial futures contracts in order to gain exposure to or protect against changes in the market. The fund is exposed to market risk as a result of changes in the value of the underlying financial instruments. Investments in financial futures require the fund to “mark to market” on a daily basis, which reflects the change in the market value of the contract at the close of each day’s trading. Typically, variation margin payments are received or made to reflect
The Fund 51 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
daily unrealized gains or losses.When the contracts are closed, the fund recognizes a realized gain or loss.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. Contracts open as of April 30, 2005, are set forth in the Statement of Financial Futures.
At April 30, 2005, accumulated net unrealized appreciation on investments was $29,643,723, consisting of $33,777,027 gross unrealized appreciation and $4,133,304 gross unrealized depreciation.
At April 30, 2005, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see Statement of Investments).
NOTE 5—Legal Matters: |
In early 2004, two purported class and derivative actions were filed against Mellon Financial, Mellon Bank, N.A., Dreyfus, Founders Asset Management LLC, and certain directors of the Dreyfus Funds and the Dreyfus Founders Funds (together, the “Funds”) in the United States District Court for the Western District of Pennsylvania. In September 2004, plaintiffs served a Consolidated Amended Complaint (the “Amended Complaint”) on behalf of a purported class of all persons who acquired interests in any of the Funds between January 30, 1999 and November 17, 2003, and derivatively on behalf of the Funds.The Amended Complaint in the newly styled In re Dreyfus Mutual Funds Fee Litigation also named the Distributor, Premier Mutual Fund Services, Inc. and two additional Fund directors as defendants and alleges violations of the Investment Company Act of 1940, the Investment Advisers Act of 1940, the Pennsylvania Unfair Trade Practices and Consumer Protection Law and common-law claims. Plaintiffs seek to recover allegedly improper and excessive Rule 12b-1 and advisory fees allegedly charged to the Funds for marketing and
52 |
distribution services. More specifically, plaintiffs claim, among other things, that 12b-1 fees and directed brokerage were improperly used to pay brokers to recommend the Funds over other funds, and that such payments were not disclosed to investors. In addition, plaintiffs assert that economies of scale and soft-dollar benefits were not passed on to the Funds. Plaintiffs further allege that 12b-1 fees were improperly charged to certain of the Funds that were closed to new investors.The Amended Complaint seeks compensatory and punitive damages, rescission of the advisory contracts, and an accounting and restitution of any unlawful fees, as well as an award of attorneys’ fees and litigation expenses. As noted, some of the claims in this litigation are asserted derivatively on behalf of the Funds that have been named as nominal defendants.With respect to such derivative claims, no relief is sought against the Funds. Dreyfus believes the allegations to be totally without merit and intends to defend the action vigorously. Defendants filed motions to dismiss the Amended Complaint on November 12, 2004, and those motions are pending.
Additional lawsuits arising out of these circumstances and presenting similar allegations and requests for relief may be filed against the defendants in the future. Neither Dreyfus nor the Funds believe that any of the pending actions will have a material adverse effect on the Funds or Dreyfus’ ability to perform its contract with the Funds.
The Fund 53 |
INFORMATION ABOUT THE REVIEW |
AND APPROVAL OF THE FUND’S |
INVESTMENT MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the Board of Directors held on March 14, 2005, the Board considered the re-approval for another one-year term of the fund’s Management Agreement (the “Management Agreement”), pursuant to which the Manager provides the fund with investment advisory and administrative services.The Board members who are not “interested persons” (as defined in the Act (the “Independent Directors”)) of the fund were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Manager.
Analysis of Nature, Extent and Quality of Services Provided to the Fund. The Board members received a presentation from representatives of the Manager regarding services provided to the fund and other funds in the Dreyfus complex, and discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement.The Manager’s representatives reviewed the fund’s distribution of accounts and the relationships the Manager has with various intermediaries and the different needs of each.The Manager’s representatives noted the diversity of distribution of the fund as well as the distribution of other funds in the Dreyfus complex, and the Manager’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each of the fund’s distribution channels.The Board also reviewed the number of shareholder accounts in the fund, as well as the fund’s asset size.
The Board members also considered the Manager’s research and portfolio management capabilities and that the Manager 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 the Manager’s extensive administrative, accounting and compliance infrastructure.
Comparative Analysis of the Fund’s Performance, Management Fee and Expense Ratio. The Board members reviewed the fund’s performance, management fee and expense ratio and placed significant emphasis on comparisons to a group of comparable funds and Lipper averages, and discussed the results of the comparisons.The Board members noted that the fund’s performance as measured by total return was consistent with
54 |
the total return of the EAFE Index, and that the slight variations were due primarily to fees.The Board members also noted that the fund’s performance measured by total return was above the comparison group and Lipper category averages for the one-year period ended January 31,2005.
The Board members reviewed the range of management fees, advisory fee and expense ratios, noting that the fund’s management fee was lower than a majority of the funds in the comparison group, and that the fund’s expense ratio was lower than that of the fund’s comparison group and Lipper category averages.The Board members also considered the fund’s primary distribution channel,and the fees charged,and services provided, by financial intermediaries offering the fund in that channel.The Board members noted that, as a “unitary fee” fund, the Manager has voluntarily agreed to pay all of the fund’s expenses, except management fees, brokerage commissions, taxes, interest, fees and expenses of non interested Board members, fees and expenses of independent counsel to the fund and to the non-interested Board members, Shareholder Services Plan fees, and extraordinary expenses.The Board also noted that the Manager voluntarily agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of non-interested Board members and fees and expenses of independent counsel to the fund and to the non-interested Board members.
Representatives of the Manager reviewed with the Board members the fees paid to the Manager or its affiliates by mutual funds managed by the Manager or its affiliates (the “Similar Funds”) and by separate accounts, or mutual funds for which the Manager or its affiliates serve as sub-investment adviser, with similar investment objectives, policies and strategies as the Fund (“Separate Accounts” and, collectively with the Similar Funds, the “Similar Accounts”) and explained the nature of each Similar Account and the differences, from the Manager’s perspective, in managing and providing other services to the Similar Accounts as compared to management of the fund.The Manager’s representatives also reviewed the costs associated with distribution of the fund and Similar Accounts through inter-mediaries.The Board analyzed differences in fees paid to the Manager and
The Fund 55 |
I N FO R M AT I O N A B O U T T H E R E V I E W A N D A P P R OVA L O F T H E F U N D ’ S |
I N V E S T M E N T M A N A G E M E N T A G R E E M E N T ( U n a u d i t e d ) ( c o n t i n u e d ) |
discussed the relationship of the fees paid in light of the Manager’s performance and the services provided.Noting the fund’s “unitary fee”struc-ture, the Board members concluded that the Similar Funds had advisory fees and expense ratios that were higher than the fund’s management fee and expense ratio and the Separate Accounts had advisory fees that were lower than the fund’s management fee. A representative of the Manager stated that certain Similar Accounts had lower advisory fees as a result of historical pricing arrangements and other Similar Accounts were mutual funds that were sub-advised but not administered by an affiliate of the Manager.The Board members considered the relevance of the fee information provided for the Separate Accounts to evaluate the appropriateness and reasonableness of the fund’s management fee. The Board acknowledged that differences in fees paid by the Separate Accounts seemed to be consistent with the management and other services provided.
Analysis of Profitability and Economies of Scale. The Manager’s representatives reviewed the dollar amount of expenses allocated to, and profit received by, the Manager and the method used to determine such expenses and profit.The Board members evaluated the analysis in light of the relevant circumstances for the fund, the extent to which economies of scale would be realized as the fund grows and whether fee levels reflect these economies of scale for the benefit of fund investors. The Board members also considered potential benefits to the Manager from acting as investment adviser and noted that the Manager had no soft dollar arrangement with respect to the fund.
It was noted that the Board members should consider the Manager’s profitability with respect to the fund as part of their evaluation of whether the fee under the Management Agreement bears a reasonable relationship to the mix of services provided by the Manager, including the nature, extent and quality of such services and that a discussion of economies of scale is predicated on increasing assets and that, if a fund’s assets had been decreasing, the possibility that the Manager may have realized any economies of scale would be less. It also was noted that the profitability percentage for managing the fund was within ranges determined by appropriate court cases to be reasonable given the services rendered and given the fund’s overall performance and generally superior service levels provided.
56 |
At the conclusion of these discussions, each of the Independent Directors expressed the opinion that he or she had been furnished with sufficient information to make an informed business decision with respect to continuation of the fund’s Management Agreement. Based on their discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the services provided by the Manager are adequate and appropriate.
- The Board was satisfied with the fund’s overall performance.
- The Board concluded that the fee paid to the Manager was reasonable in light of comparative performance and expense and advisory fee information, costs of the services provided and profits realized, or to be realized, and benefits derived or to be derived by the Manager from its relationship with the fund.
- The Board recognized that economies of scale may be realized as the fund’s assets increase and determined that, to the extent that material economies of scale had not been shared with the fund, the Board would seek to do so.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that re-approval of the fund’s Management Agreement was in the best interests of the fund and its shareholders.
The Fund 57 |
For More | Information | |
Dreyfus International | Transfer Agent & | |
Stock Index Fund | Dividend Disbursing Agent | |
200 Park Avenue | Dreyfus Transfer, Inc. | |
New York, NY 10166 | 200 Park Avenue | |
Manager | New York, NY 10166 | |
The Dreyfus Corporation | Distributor | |
200 Park Avenue | Dreyfus Service Corporation | |
New York, NY 10166 | 200 Park Avenue | |
Custodian | New York, NY 10166 | |
Boston Safe Deposit and | ||
Trust Company | ||
One Boston Place | ||
Boston, MA 02109 | ||
Telephone 1-800-645-6561 |
Mail The Dreyfus Family of Funds, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144 E-mail Send your request to info@dreyfus.com Internet Information can be viewed online or downloaded at: http://www.dreyfus.com
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 12-month period ended June 30, 2004, 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 1-800-645-6561.
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. | Schedule of Investments. | |
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. | |
The Registrant has a Nominating Committee (the "Committee"), which is responsible for selecting and | ||
nominating persons for election or appointment by the Registrant's Board as Board members. The | ||
Committee has adopted a Nominating Committee Charter (the "Charter"). Pursuant to the Charter, the | ||
Committee will consider recommendations for nominees from shareholders submitted to the Secretary of the | ||
Registrant, c/o The Dreyfus Corporation Legal Department, 200 Park Avenue, 8th Floor East, New York, | ||
New York | 10166. A nomination submission must include information regarding the recommended nominee | |
as specified in the Charter. This information includes all information relating to a recommended nominee | ||
that is required to be disclosed in solicitations or proxy statements for the election of Board members, as well | ||
as information sufficient to evaluate the factors to be considered by the Committee, including character and | ||
integrity, business and professional experience, and whether the person has the ability to apply sound and | ||
independent business judgment and would act in the interests of the Registrant and its shareholders. |
Nomination submissions are required to be accompanied by a written consent of the individual to stand for election if nominated by the Board and to serve if elected by the shareholders, and such additional information must be provided regarding the recommended nominee as reasonably requested by the Committee.
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 Index Funds, Inc.
By: | /s/ Stephen E. Canter | |
Stephen E. Canter | ||
President | ||
Date: | June 29, 2005 |
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.
By: | /s/ Stephen E. Canter | |
Stephen E. Canter | ||
Chief Executive Officer | ||
Date: | June 29, 2005 | |
By: | /s/ James Windels | |
James Windels | ||
Chief Financial Officer | ||
Date: | June 29, 2005 |
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)