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) |
Michael A. Rosenberg, Esq. |
200 Park Avenue |
New York, New York 10166 |
(Name and address of agent for service) |
Registrant's telephone number, including area code: (212) 922-6000 |
Date of fiscal year end: | 10/31 | |
Date of reporting period: | 10/31/07 |
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 | A Letter from the CEO | |
3 | Discussion of Fund Performance | |
6 | Fund Performance | |
7 | Understanding Your Fund’s Expenses | |
7 | Comparing Your Fund’s Expenses | |
With Those of Other Funds | ||
8 | Statement of Investments | |
42 | Statement of Financial Futures | |
43 | Statement of Assets and Liabilities | |
44 | Statement of Operations | |
45 | Statement of Changes in Net Assets | |
46 | Financial Highlights | |
47 | Notes to Financial Statements | |
56 | Report of Independent Registered | |
Public Accounting Firm | ||
57 | Important Tax Information | |
58 | Board Members Information | |
61 | Officers of the Fund | |
FOR MORE INFORMATION | ||
Back Cover |
The Fund
Dreyfus International |
Stock Index Fund |
A LETTER FROM THE CEO
Dear Shareholder:
We are pleased to present this annual report for Dreyfus International Stock Index Fund covering the 12-month period from November 1, 2006, through October 31, 2007.
After an extended period of steady gains, turmoil in U.S. credit markets over the summer of 2007 has led to heightened volatility in many international equity markets. Nonetheless, fundamentals in the global economy have remained relatively robust, particularly in the “Greater China” region, and recent rate cuts in the United States helped to sustain market rebounds in many regions of the world.
While we expect the global expansion to continue, it probably will do so at a slower rate as U.S. consumer spending moderates and as some high-flying emerging markets, notably China, take steps to reduce unsustainably high growth rates by tightening their respective monetary policies. However, the U.S. dollar has declined against most major currencies throughout most of the reporting period, making investments denominated in foreign currencies more valuable for U.S. residents. Lastly, a stubborn U.S. trade deficit and stronger economic growth in overseas markets continue to attract global capital away from U.S. markets and toward those with higher potential returns.As always, we encourage you to discuss these developments with your financial advisor, who can help you make any adjustments that may be right for your portfolio.
For information about how the fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Fund Performance given by the fund’s Portfolio Managers.
Thank you for your continued confidence and support.
Thomas F. Eggers |
Chief Executive Officer |
The Dreyfus Corporation |
November 15, 2007 |
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2006, through October 31, 2007, as provided by Susan Ellison, Richard A. Brown and Karen Q.Wong, Portfolio Managers
Please note, effective April 23, 2007, Richard A. Brown and Karen Q. Wong joined Ms. Ellison as co-primary portfolio managers of the fund.
Fund and Market Performance Overview
International stock markets continued to achieve robust gains in an environment of strong global economic growth, intensifying mergers-and-acquisitions activity and favorable business conditions. In this environment, the fund’s benchmark achieved positive absolute returns in all of the 21 countries in which it invests.The difference in returns between the fund and the Index was primarily the result of transaction costs and operating expenses.
For the period from November 1, 2006, through October 31, 2007, Dreyfus International Stock Index Fund produced a total return of 24.40% .1This compares with a 24.91% 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
The Fund’s Investment Approach
The fund seeks to match the performance of the MSCI EAFE Free Index, a broadly diversified, international index composed of approximately 1,100 stocks that trade in 21 major markets outside the United States. The fund attempts to match the Index’s return before fees and expenses by aligning the portfolio composition with the composition of the MSCI EAFE Free Index.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.
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
International Equities Advanced Despite Bouts of Volatility
International equity markets posted generally strong returns during the reporting period, with gains fueled by corporate restructurings and robust mergers-and-acquisitions activity throughout much of Europe as well as robust global demand for energy and industrial commodities. High levels of business confidence, positive earnings reports and favorable economic growth forecasts in most countries also supported stock prices. Japan proved to be the laggard of the reporting period, as the country continued to struggle with economic issues despite efforts to reform its financial systems. In addition, for a relatively brief period over the summer, international stocks encountered heightened volatility, largely due to difficulties in the U.S. subprime mortgage sector and the subsequent repricing of risk in other financial markets. By late August, international investors appeared to have regained their footing,and international equity markets began to rebound.
Some of the Index’s better returns stemmed from its holdings in Finland, Hong Kong, Norway, Singapore and Australia. Conversely, Ireland and Japan were among the Index’s laggards for the reporting period. From a market sector standpoint, the multi-industry, raw materials, utilities and capital goods areas ranked among the top contributors to the Index’s return.On the other hand,the health care and banking areas were among the Index’s more lackluster performers. However, even the worst relative performers provided positive absolute returns.
The market’s gains were fueled by a variety of individual companies, including several that more than tripled in value over the reporting period. Notable winners included Australia’s Fortescue Metals Group Limited, an iron ore mining firm; Cosco Corporation, a dry bulk shipper in Singapore; Leighton Holdings Limited, an engineering firm that specializes in building infrastructures throughout Australia and Asia; Tencent Holdings Limited, one of China’s leading Internet service providers;WorleyParsons Corporation, a designer of energy and chemical plants; Denmark’s Vestas Wind Systems, a manufacturer of wind turbines for electricity generation; Mitsumi Electric, a Japanese electronic components distributor; Renewable Energy, a Norwegian solar energy
4
company; and the Hong Kong Exchange and Singapore Exchange, both of which gained value due to increased trading activities.
On the other hand, disappointments during the reporting period stemmed primarily from companies located in Japan and the United Kingdom. In Japan, laggards included Casio Computer, the consumer electronics firm; The Goodwill Group, which provides human resources outsourcing to the Goodwill family of companies; and Tokyo Seimitsu, the leading manufacturer of semiconductor equipment and precision measuring instruments. In the United Kingdom, the Index’s most notable declines included The Rank Group Ltd., which owns hospitality and leisure businesses around the world;Tate & Lyle, one of the world’s largest sugar producers; and DSG International, Britain’s largest electronics retailer.
Index Funds Offer Diversification Benefits
An as index fund, we attempt to replicate the returns of the MSCI EAFE Free Index by closely approximating the composition of the MSCI EAFE Free Index. In our view, one of the greatest benefits of an index fund is that it offers a broadly diversified investment vehicle that can help investors manage risks by limiting the impact on the overall portfolio of unexpected losses in any single country, industry group or holding. In addition, the fund’s investments are not affected by any individual’s preference for one country, market or security over another. Instead, the fund employs a passive management approach in which all investment decisions are based on the composition of the MSCI EAFE Free Index.
November 15, 2007
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. | ||
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
FUND PERFORMANCE
Average Annual Total Returns as of | 10/31/07 | |||||
1 Year | 5 Years | 10 Years | ||||
Fund | 24.40% | 22.44% | 8.48% |
† Source: Lipper Inc. |
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not |
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
The above graph compares a $10,000 investment made in Dreyfus International Stock Index Fund on 10/31/97 to a |
$10,000 investment made in the Morgan Stanley Capital International Europe,Australasia, Far East Free Index (the |
“Index”) on that date.All dividends and capital gain distributions are reinvested. |
The fund’s performance shown in the line graph takes into account all applicable fees and expenses.The Index is an |
unmanaged index composed of a sample of companies representative of the market structure of European and Pacific Basin |
countries and includes net dividends reinvested and reflects actual investable opportunities for global investors for stocks that |
are free of foreign ownership limits or legal restrictions at the security or country level.The Index does not take into account |
charges, fees and other expenses. Further information relating to fund performance, including expense reimbursements, if |
applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report. |
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) 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 May 1, 2007 to October 31, 2007. 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 October 31, 2007 | ||
Expenses paid per $1,000 † | $ 3.15 | |
Ending value (after expenses) | $1,080.10 |
COMPARING YOUR FUND’S EXPENSES |
WITH THOSE OF OTHER FUNDS (Unaudited) |
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | ||
assuming a hypothetical 5% annualized return for the six months ended October 31, 2007 | ||
Expenses paid per $1,000 † | $ 3.06 | |
Ending value (after expenses) | $1,022.18 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the |
period, multiplied by 184/365 (to reflect the one-half year period). |
The Fund 7
STATEMENT OF INVESTMENTS |
October 31, 2007 |
Common Stocks—97.9% | Shares | Value ($) | ||
Australia—6.9% | ||||
ABC Learning Centres | 14,688 | 90,290 | ||
AGL Energy | 17,165 | 193,000 | ||
Alumina | 42,651 | 266,914 | ||
Amcor | 34,100 | 222,801 | ||
AMP | 72,355 | 687,214 | ||
Ansell | 6,196 | 71,447 | ||
APN News & Media | 13,413 | 66,882 | ||
Aristocrat Leisure | 12,996 | 126,368 | ||
Asciano Group | 20,850 a | 163,342 | ||
ASX | 6,191 | 332,553 | ||
Australia & New Zealand Banking Group | 70,234 | 1,972,687 | ||
AXA Asia Pacific Holdings | 32,642 | 249,125 | ||
Babcock & Brown | 9,065 | 259,609 | ||
BHP Billiton | 127,036 | 5,501,818 | ||
Billabong International | 6,249 | 87,788 | ||
BlueScope Steel | 26,627 | 263,859 | ||
Boral | 24,301 | 153,781 | ||
Brambles | 54,273 | 719,244 | ||
Caltex Australia | 4,873 | 97,650 | ||
Centro Properties Group | 30,823 | 201,753 | ||
Centro Retail Trust (Units) | 49,954 | 74,583 | ||
CFS Gandel Retail Trust (Units) | 52,841 | 120,702 | ||
Challenger Financial Services Group | 15,424 | 91,585 | ||
Coca-Cola Amatil | 19,556 | 186,221 | ||
Cochlear | 1,959 | 125,367 | ||
Coles Group | 42,164 | 634,492 | ||
Commonwealth Bank of Australia | 49,307 | 2,831,091 | ||
Commonwealth Property Office Fund (Units) | 59,026 | 86,976 | ||
Computershare | 17,767 | 142,855 | ||
CSL | 20,295 a | 697,604 | ||
CSR | 37,349 | 118,679 | ||
DB RREEF Trust | 114,018 | 222,310 | ||
Downer EDI | 11,637 | 71,920 | ||
Fairfax Media | 41,216 | 182,166 | ||
Fortescue Metals Group | 4,826 a | 230,072 | ||
Foster’s Group | 73,431 | 436,249 |
8
Common Stocks (continued) | Shares | Value ($) | ||
Australia (continued) | ||||
Futuris | 23,089 | 45,591 | ||
Goodman Fielder | 41,157 | 80,683 | ||
Goodman Group | 53,941 | 348,387 | ||
GPT Group | 77,014 | 333,048 | ||
Harvey Norman Holdings | 20,532 | 130,123 | ||
Iluka Resources | 6,938 | 28,257 | ||
ING Industrial Fund (Units) | 33,848 | 88,514 | ||
Insurance Australia Group | 67,595 | 295,843 | ||
James Hardie Industries | 16,388 | 99,313 | ||
Leighton Holdings | 5,280 | 309,443 | ||
Lend Lease | 14,124 | 263,544 | ||
Lion Nathan | 11,086 | 95,816 | ||
Macquarie Airports Management | 25,551 | 104,393 | ||
Macquarie Bank | 10,066 | 792,872 | ||
Macquarie Communications Infrastructure Group | 14,742 | 79,496 | ||
Macquarie Infrastructure Group | 95,835 | 282,992 | ||
Macquarie Office Trust (Units) | 72,900 | 111,616 | ||
Mirvac Group | 38,986 | 211,179 | ||
Multiplex Group | 23,522 | 109,710 | ||
National Australia Bank | 61,900 | 2,492,351 | ||
Newcrest Mining | 17,395 | 526,623 | ||
OneSteel | 27,727 | 179,055 | ||
Orica | 12,069 | 349,250 | ||
Origin Energy | 32,830 | 280,397 | ||
Pacific Brands | 20,181 | 65,509 | ||
Paladin Resources | 19,374 a | 151,444 | ||
PaperlinX | 20,912 | 53,918 | ||
Perpetual | 1,401 | 97,090 | ||
Publishing & Broadcasting | 17,377 | 337,846 | ||
Qantas Airways | 37,434 | 206,137 | ||
QBE Insurance Group | 33,072 | 1,003,647 | ||
Rio Tinto | 10,888 | 1,125,198 | ||
Santos | 22,650 | 298,549 | ||
Sonic Healthcare | 11,613 | 186,469 | ||
Stockland | 53,514 | 447,081 | ||
Suncorp-Metway | 35,715 | 675,162 |
The Fund 9
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Australia (continued) | ||||
Symbion Health | 26,330 | 99,259 | ||
Tabcorp Holdings | 19,027 | 275,558 | ||
Tattersall | 37,398 | 146,004 | ||
Telstra | 106,923 | 466,340 | ||
Telstra (Installment Receipts) | 51,919 | 154,163 | ||
Toll Holdings | 19,612 | 244,007 | ||
Transurban Group | 38,674 | 262,286 | ||
Wesfarmers | 14,395 | 591,445 | ||
Westfield Group | 66,489 | 1,352,716 | ||
Westpac Banking | 70,260 | 2,004,058 | ||
Woodside Petroleum | 18,192 | 885,133 | ||
Woolworths | 45,912 | 1,432,856 | ||
WorleyParsons | 5,350 | 240,754 | ||
Zinifex | 17,622 | 279,410 | ||
38,701,532 | ||||
Austria—.6% | ||||
Andritz | 1,336 | 98,131 | ||
bwin Interactive Entertaiment | 1,298 a | 43,961 | ||
Erste Bank der Oesterreichischen Sparkassen | 7,010 | 567,936 | ||
Flughafen Wien | 305 | 36,095 | ||
IMMOEAST | 14,496 a | 176,166 | ||
IMMOFINANZ | 16,716 | 198,308 | ||
Mayr-Melnhof Karton | 260 | 30,845 | ||
Meinl European Land | 11,588 a | 162,285 | ||
OMV | 6,143 | 458,678 | ||
Raiffeisen International Bank-Holding | 1,404 | 231,764 | ||
RHI | 882 a | 45,082 | ||
Telekom Austria | 13,353 | 382,505 | ||
Verbund-Oesterreichische | ||||
Elektrizitaetswirtschafts, Cl. A | 2,986 | 197,035 | ||
Voestalpine | 4,288 | 385,061 | ||
Wiener Staedtische Versicherung | 1,383 | 101,844 | ||
Wienerberger | 3,151 | 196,025 | ||
3,311,721 |
10
Common Stocks (continued) | Shares | Value ($) | ||||
Belgium—1.3% | ||||||
AGFA-Gevaert | 4,739 | 65,750 | ||||
Barco | 320 | 26,268 | ||||
Bekaert | 369 | 50,705 | ||||
Belgacom | 6,370 | 304,029 | ||||
Cofinimmo | 339 | 63,626 | ||||
Colruyt | 623 | 133,081 | ||||
Compagnie Maritime Belge | 520 | 47,629 | ||||
D’ieteren | 77 | 33,285 | ||||
Delhaize Group | 2,924 | 276,958 | ||||
Dexia | 19,368 | 620,377 | ||||
Euronav | 590 | 17,498 | ||||
Fortis | 78,276 | 2,498,202 | ||||
Groupe Bruxelles Lambert | 3,128 | 398,962 | ||||
Groupe Bruxelles Lambert (Strip) | 236 a | 7 | ||||
InBev | 6,779 | 639,058 | ||||
KBC Groep | 6,926 | 968,952 | ||||
Mobistar | 1,138 | 102,834 | ||||
Omega Pharma | 597 | 39,903 | ||||
Solvay | 2,380 | 361,233 | ||||
UCB | 4,307 | 252,486 | ||||
Umicore | 905 | 225,201 | ||||
7,126,044 | ||||||
China—.1% | ||||||
Foxconn International Holdings | 83,000 a | 231,180 | ||||
Tencent Holdings | 35,000 | 303,459 | ||||
534,639 | ||||||
Denmark—.9% | ||||||
AP Moller—Maersk, Cl. B | 41 | 565,040 | ||||
Bang & Olufsen, Cl. B | 350 | 40,966 | ||||
Carlsberg, Cl. B | 1,255 | 168,816 | ||||
Coloplast, Cl. B | 1,027 | 99,274 | ||||
Dampskibsselskabet Torm | 1,388 | 57,655 | ||||
Danisco | 1,915 | 147,198 |
The Fund 11
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Denmark (continued) | ||||
Danske Bank | 17,377 | 764,819 | ||
DSV | 1,324 | 34,951 | ||
DSV | 6,000 | 158,390 | ||
East Asiatic | 762 | 61,308 | ||
FLSmidth & Co. | 1,868 | 202,324 | ||
GN Store Nord | 6,550 a | 69,608 | ||
H Lundbeck | 1,600 | 45,731 | ||
Jyske Bank | 2,176 a | 179,086 | ||
NKT Holding | 891 | 97,024 | ||
Novo Nordisk, Cl. B | 9,170 | 1,135,604 | ||
Novozymes, Cl. B | 1,759 | 191,201 | ||
Sydbank | 2,192 | 100,732 | ||
Topdanmark | 744 a | 126,796 | ||
TrygVesta | 1,207 | 95,588 | ||
Vestas Wind Systems | 6,864 a | 611,543 | ||
William Demant Holding | 980 a | 89,690 | ||
5,043,344 | ||||
Finland—1.9% | ||||
Amer Sports, Cl. A | 3,133 | 83,220 | ||
Cargotec, Cl. B | 1,444 | 89,121 | ||
Elisa | 5,537 | 163,978 | ||
Fortum | 17,047 | 738,156 | ||
Kesko, Cl. B | 2,668 | 159,338 | ||
Kone, Cl. B | 2,803 | 231,433 | ||
Konecranes | 2,261 | 101,077 | ||
Metso | 4,783 | 290,355 | ||
Neste Oil | 4,602 | 165,184 | ||
Nokia | 154,974 | 6,132,106 | ||
Nokian Renkaat | 3,727 | 140,193 | ||
OKO Bank, Cl. A | 3,382 | 72,415 | ||
Orion, Cl. B | 3,310 | 84,857 | ||
Outokumpu | 4,131 | 153,896 | ||
Rautaruukki | 3,101 | 177,212 | ||
Sampo, Cl. A | 16,092 | 503,570 | ||
Sanoma-WSOY | 3,180 | 91,691 | ||
Stora Enso, Cl. R | 21,649 | 396,520 | ||
Tietoenator | 2,613 | 64,001 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Finland (continued) | ||||
UPM-Kymmene | 19,658 | 439,401 | ||
Uponor | 2,097 | 54,730 | ||
Wartsila, Cl. B | 2,411 | 196,730 | ||
YIT | 5,145 | 158,175 | ||
10,687,359 | ||||
France—9.5% | ||||
Accor | 7,063 | 673,086 | ||
ADP | 1,217 | 138,919 | ||
Air France-KLM | 4,856 | 184,347 | ||
Air Liquide | 9,192 | 1,263,227 | ||
Alcatel-Lucent | 88,214 | 855,078 | ||
Alstom | 3,966 | 934,689 | ||
Atos Origin | 2,750 a | 166,980 | ||
AXA | 59,727 | 2,666,614 | ||
BNP Paribas | 31,811 | 3,501,857 | ||
Bouygues | 8,496 | 814,441 | ||
Business Objects | 3,522 a | 211,359 | ||
Cap Gemini | 5,317 | 338,464 | ||
Carrefour | 22,769 | 1,636,841 | ||
Casino Guichard Perrachon | 1,681 | 187,482 | ||
Cie de Saint-Gobain | 12,665 | 1,355,725 | ||
Cie Generale d’Optique Essilor International | 7,594 | 483,301 | ||
CNP Assurances | 1,666 | 212,081 | ||
Compagnie Generale des | ||||
Etablissements Michelin, Cl. B | 5,491 | 734,274 | ||
Credit Agricole | 25,123 | 991,901 | ||
Dassault Systemes | 2,306 | 144,157 | ||
France Telecom | 69,192 | 2,548,636 | ||
Gaz de France | 7,357 | 417,235 | ||
Gecina | 406 | 69,311 | ||
Groupe Danone | 16,860 | 1,443,287 | ||
Hermes International | 2,692 | 353,556 | ||
Icade | 1,173 | 86,447 | ||
Imerys | 1,289 | 125,151 | ||
Klepierre | 2,777 | 150,340 | ||
L’Oreal | 9,532 | 1,249,964 | ||
Lafarge | 5,715 | 928,103 |
The Fund 13
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
France (continued) | ||||
Lagardere | 4,917 | 415,011 | ||
LVMH Moet Hennessy Louis Vuitton | 9,327 | 1,199,332 | ||
M6-Metropole Television | 2,144 | 63,401 | ||
Neopost | 1,237 | 143,475 | ||
PagesJaunes Groupe | 4,274 | 94,235 | ||
Pernod-Ricard | 3,451 | 796,341 | ||
Peugeot | 5,668 | 524,647 | ||
PPR | 2,855 | 565,131 | ||
Publicis Groupe | 5,521 | 223,890 | ||
Renault | 7,053 | 1,182,635 | ||
Safran | �� | 6,493 | 164,485 | |
Sanofi-Aventis | 38,632 | 3,383,632 | ||
Schneider Electric | 8,275 | 1,137,925 | ||
Scor | 6,516 | 177,228 | ||
Societe BIC | 1,052 | 81,654 | ||
Societe Des Autoroutes Paris-Rhin-Rhone | 719 | 76,393 | ||
Societe Generale | 14,004 | 2,347,357 | ||
Societe Television Francaise 1 | 4,756 | 131,353 | ||
Sodexho Alliance | 3,616 | 260,369 | ||
Suez | 38,847 | 2,523,465 | ||
Suez (Strip) | 2,304 a | 33 | ||
Technip | 3,926 | 351,418 | ||
Thales | 3,490 | 217,215 | ||
Thomson | 8,984 | 156,491 | ||
Total | 81,491 | 6,560,974 | ||
Unibail | 2,887 | 716,817 | ||
Valeo | 2,439 | 133,417 | ||
Vallourec | 1,770 | 512,303 | ||
Veolia Environnement | 13,196 | 1,176,979 | ||
Vinci SA | 15,230 | 1,247,565 | ||
Vivendi | 43,870 | 1,972,614 | ||
Zodiac | 1,374 | 95,018 | ||
53,499,656 | ||||
Germany—8.1% | ||||
Adidas | 7,827 | 521,457 | ||
Allianz | 17,038 | 3,826,131 | ||
Altana | 2,147 | 51,966 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Germany (continued) | ||||
Arcandor | 2,010 a | 64,557 | ||
BASF | 18,945 | 2,617,529 | ||
Bayer | 27,545 | 2,293,011 | ||
Beiersdorf | 3,345 | 264,762 | ||
Bilfinger Berger | 1,249 | 111,040 | ||
Celesio | 2,961 | 167,712 | ||
Commerzbank | 23,807 | 1,008,485 | ||
Continental | 5,044 | 761,776 | ||
Daimler | 35,085 | 3,855,163 | ||
Deutsche Bank | 19,240 | 2,562,255 | ||
Deutsche Boerse | 7,613 | 1,199,436 | ||
Deutsche Lufthansa | 8,954 | 264,136 | ||
Deutsche Post | 29,858 | 903,251 | ||
Deutsche Postbank | 3,223 | 235,289 | ||
Deutsche Telekom | 107,551 | 2,201,732 | ||
Douglas Holding | 1,248 | 79,390 | ||
E.ON | 23,581 | 4,602,223 | ||
Fresenius Medical Care & Co. | 7,326 | 386,436 | ||
Heidelberger Druckmaschinen | 2,151 | 87,726 | ||
Henkel KGaA | 3,995 | 184,953 | ||
Hochtief | 1,550 | 213,729 | ||
Hypo Real Estate Holding | 7,752 | 459,909 | ||
Infineon Technologies | 27,840 a | 408,011 | ||
IVG Immobilien | 3,487 | 157,550 | ||
Linde | 4,470 | 564,825 | ||
MAN | 4,312 | 768,569 | ||
Merck | 2,511 | 313,691 | ||
Metro | 6,002 | 543,928 | ||
MLP | 2,551 | 33,770 | ||
Muenchener Rueckversicherungs | 8,027 | 1,537,802 | ||
Premiere | 3,252 a | 66,573 | ||
Puma | 377 | 161,402 | ||
Rheinmetall | 1,480 | 131,726 | ||
RWE | 16,876 | 2,300,903 | ||
Salzgitter | 1,544 | 303,147 | ||
SAP | 33,678 | 1,819,341 | ||
Siemens | 32,234 | 4,370,589 |
The Fund 15
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Germany (continued) | ||||
Solarworld | 3,106 | 210,391 | ||
Suedzucker | 2,793 | 63,400 | ||
ThyssenKrupp | 13,744 | 914,670 | ||
TUI | 8,161 a | 241,216 | ||
Volkswagen | 6,006 | 1,719,589 | ||
Wincor Nixdorf | 1,063 | 105,438 | ||
45,660,585 | ||||
Greece—.8% | ||||
Alpha Bank | 14,380 | 531,341 | ||
Coca-Cola Hellenic Bottling | 3,893 | 241,283 | ||
Cosmote Mobile Communications | 4,681 | 161,856 | ||
EFG Eurobank Ergasias | 12,045 | 468,065 | ||
Folli-Follie | 560 | 24,062 | ||
Hellenic Exchanges SA Holding | 2,379 | 82,604 | ||
Hellenic Petroleum | 3,140 | 48,880 | ||
Hellenic Technodomiki Tev | 5,179 | 78,524 | ||
Hellenic Telecommunications Organization | 14,130 | 516,380 | ||
Motor Oil (Hellas) Corinth Refineries | 1,145 | 28,260 | ||
National Bank of Greece | 15,396 | 1,068,714 | ||
OPAP | 8,652 | 352,987 | ||
Piraeus Bank | 11,949 | 478,510 | ||
Public Power | 4,070 | 164,754 | ||
Titan Cement | 2,341 | 114,001 | ||
Viohalco | 3,050 | 49,597 | ||
4,409,818 | ||||
Hong Kong—2.2% | ||||
ASM Pacific Technology | 8,000 | 63,213 | ||
Bank of East Asia | 52,991 | 359,320 | ||
Belle International Holdings | 74,000 | 120,037 | ||
BOC Hong Kong Holdings | 143,000 | 409,711 | ||
Cathay Pacific Airways | 55,000 | 165,321 | ||
Cheung Kong Holdings | 57,000 | 1,119,747 | ||
Cheung Kong Infrastructure Holdings | 19,000 | 74,714 | ||
CLP Holdings | 50,788 | 342,820 | ||
Esprit Holdings | 38,700 | 658,037 | ||
Giordano International | 32,000 | 14,965 | ||
Hang Lung Properties | 77,000 | 378,419 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Hong Kong (continued) | ||||
Hang Seng Bank | 28,400 | 588,672 | ||
Henderson Land Development | 34,000 | 304,791 | ||
Hong Kong & China Gas | 141,349 | 380,253 | ||
Hong Kong Exchanges & Clearing | 40,500 | 1,351,392 | ||
HongKong Electric Holdings | 52,500 | 270,287 | ||
Hopewell Holdings | 24,000 | 124,196 | ||
Hutchison Telecommunications International | 44,000 | 62,792 | ||
Hutchison Whampoa | 81,800 | 1,030,822 | ||
Hysan Development | 27,000 | 81,587 | ||
Johnson Electric Holdings | 38,900 | 21,830 | ||
Kerry Properties | 25,000 | 217,547 | ||
Kingboard Chemical Holdings | 22,000 | 145,534 | ||
Li & Fung | 86,600 | 410,009 | ||
Link REIT | 84,500 | 192,043 | ||
Melco International Development | 21,000 | 40,078 | ||
MTR | 54,000 | 186,924 | ||
New World Development | 87,191 | 312,725 | ||
Orient Overseas International | 8,300 | 86,097 | ||
PCCW | 114,207 | 73,960 | ||
Shangri-La Asia | 42,000 | 134,421 | ||
Shui On Land | 74,500 | 103,546 | ||
Shun TAK Holdings | 36,000 | 56,539 | ||
Sino Land | 54,664 | 171,380 | ||
Sun Hung Kai Properties | 52,699 | 1,007,109 | ||
Swire Pacific, Cl. A | 32,500 | 465,373 | ||
Techtronic Industries | 33,500 | 36,227 | ||
Television Broadcasts | 12,000 | 77,739 | ||
Tingyi Holding | 62,000 | 95,825 | ||
Wharf Holdings | 48,171 | 291,603 | ||
Wing Hang Bank | 7,000 | 82,306 | ||
Yue Yuen Industrial Holdings | 24,800 | 77,104 | ||
12,187,015 | ||||
Ireland—.6% | ||||
Allied Irish Banks | 33,536 | 836,454 | ||
Bank of Ireland | 5,288 | 97,466 | ||
Bank of Ireland | 31,129 | 573,757 | ||
C & C Group | 11,422 | 92,213 |
The Fund 17
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Ireland (continued) | ||||
CRH | 20,838 | 793,479 | ||
DCC | 2,813 | 75,493 | ||
Elan | 18,043 a | 425,885 | ||
Grafton Group (Units) | 7,437 a | 82,740 | ||
Greencore Group | 4,695 | 31,925 | ||
IAWS Group | 5,249 | 123,730 | ||
Independent News & Media | 20,826 | 76,380 | ||
Kerry Group, Cl. A | 5,133 | 155,652 | ||
Kingspan Group | 4,361 | 103,466 | ||
Paddy Power | 2,052 | 84,757 | ||
Ryanair Holdings | 4,000 a | 33,246 | ||
3,586,643 | ||||
Italy—3.7% | ||||
Alleanza Assicurazioni | 15,722 | 212,560 | ||
Arnoldo Mondadori Editore | 3,398 | 33,528 | ||
Assicurazioni Generali | 40,144 | 1,903,227 | ||
Atlantia S.P.A | 9,957 | 390,671 | ||
Autogrill | 3,846 | 77,009 | ||
AXA Rosenberg | 61,603 | 227,267 | ||
Banca Monte dei Paschi di Siena | 43,132 | 275,033 | ||
Banca Popolare di Milano | 15,093 | 236,482 | ||
Banco Popolare di Verona e Novara | 19,243 | 459,357 | ||
Banco Popolare Scarl | 5,496 a | 131,197 | ||
Bulgari | 6,217 | 97,050 | ||
Enel | 164,257 | 1,966,461 | ||
ENI | 98,628 | 3,595,789 | ||
Fiat | 27,103 | 874,803 | ||
Finmeccanica | 11,539 | 341,727 | ||
Fondiaria-SAI | 2,974 | 143,192 | ||
Intesa Sanpaolo | 33,828 | 256,400 | ||
Intesa Sanpaolo | 292,198 | 2,310,260 | ||
Italcementi | 2,055 | 47,361 | ||
Lottomatica | 2,428 | 86,940 | ||
Luxottica Group | 5,328 | 186,386 | ||
Mediaset | 29,866 | 308,726 | ||
Mediobanca | 18,297 | 433,069 | ||
Mediolanum | 11,685 | 86,893 |
18
Common Stocks (continued) | Shares | Value ($) | ||
Italy (continued) | ||||
Pirelli & C | 100,796 a | 128,692 | ||
Seat Pagine Gialle | 102,684 | 59,200 | ||
Snam Rete Gas | 33,427 | 215,930 | ||
Telecom Italia | 407,299 | 1,278,694 | ||
Telecom Italia (RNC) | 223,255 | 576,222 | ||
Terna | 44,479 | 174,067 | ||
UniCredito Italiano | 355,362 | 3,046,158 | ||
Unione Di Banche Italiane SCPA | 22,453 | 622,716 | ||
20,783,067 | ||||
Japan—19.8% | ||||
77 Bank | 12,000 | 81,099 | ||
Access | 11 a | 52,726 | ||
Acom | 2,020 | 48,280 | ||
Aderans Holdings | 1,000 | 16,101 | ||
Advantest | 5,800 | 166,807 | ||
Aeon | 24,000 | 376,407 | ||
Aeon Credit Service | 3,960 | 60,918 | ||
AEON Mall | 2,100 | 54,460 | ||
Aiful | 2,525 | 59,624 | ||
Aisin Seiki | 7,200 | 294,806 | ||
Ajinomoto | 24,800 | 278,797 | ||
Alfresa Holdings | 1,100 | 63,932 | ||
All Nippon Airways | 25,000 | 96,332 | ||
Alps Electric | 6,000 | 75,087 | ||
Amada | 15,000 | 152,150 | ||
Aoyama Trading | 2,600 | 67,654 | ||
Asahi Breweries | 15,600 | 258,161 | ||
Asahi Glass | 34,800 | 478,643 | ||
Asatsu-DK | 1,000 | 33,428 | ||
Ashai Kasei | 44,900 | 341,740 | ||
Asics | 6,000 | 95,201 | ||
Astellas Pharma | 20,479 | 905,754 | ||
Autobacs Seven | 700 | 16,226 | ||
Bank of Kyoto | 10,000 | 127,532 | ||
Bank of Yokohama | 46,000 | 324,904 | ||
Benesse | 2,800 | 104,468 | ||
Bridgestone | 22,600 | 500,003 |
The Fund 19
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Canon | 40,450 | 2,045,275 | ||
Canon Marketing Japan | 3,100 | 60,924 | ||
Casio Computer | 7,800 | 73,428 | ||
Central Glass | 6,000 | 28,562 | ||
Central Japan Railway | 58 | 600,031 | ||
Chiba Bank | 28,000 | 224,322 | ||
Chiyoda | 5,000 | 92,682 | ||
Chubu Electric Power | 24,600 | 630,407 | ||
Chugai Pharmaceutical | 9,728 | 168,487 | ||
Circle K Sunkus | 1,000 | 15,290 | ||
Citizen Holdings | 13,000 | 140,188 | ||
COCA-COLA WEST HOLDINGS | 1,600 | 37,076 | ||
COMSYS Holdings | 3,000 | 29,358 | ||
Credit Saison | 6,500 | 206,337 | ||
CSK HOLDINGS | 2,100 | 82,493 | ||
Dai Nippon Printing | 23,800 | 345,407 | ||
Daicel Chemical Industries | 11,000 | 81,390 | ||
Daido Steel | 14,200 | 96,610 | ||
Daifuku | 4,000 | 47,656 | ||
Daiichi Sankyo | 26,683 | 759,538 | ||
Daikin Industries | 9,700 | 487,385 | ||
Dainippon Ink and Chemicals | 24,000 | 114,893 | ||
Dainippon Screen Manufacturing | 7,000 | 41,898 | ||
Daito Trust Construction | 3,200 | 148,329 | ||
Daiwa House Industry | 18,400 | 262,232 | ||
Daiwa Securities Group | 50,000 | 481,936 | ||
Denki Kagaku Kogyo | 18,600 | 109,305 | ||
Denso | 18,600 | 752,175 | ||
Dentsu | 68 | 178,330 | ||
Diamond Lease | 1,570 | 54,252 | ||
Dowa Holdings | 11,000 | 128,241 | ||
Dowa Holdings (Rights) | 7,000 | 0 | ||
eAccess | 41 | 25,940 | ||
East Japan Railway | 129 | 1,062,672 | ||
Ebara | 15,000 | 70,622 | ||
EDION | 1,900 | 21,781 | ||
Eisai | 9,400 | 394,568 |
20
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Electric Power Development | 5,880 | 233,257 | ||
Elpida Memory | 3,400 a | 115,983 | ||
FamilyMart | 2,100 | 61,289 | ||
Fanuc | 7,300 | 799,568 | ||
Fast Retailing | 2,100 | 120,783 | ||
Fuji Electric Holdings | 21,000 | 79,502 | ||
FUJI SOFT | 1,100 | 21,812 | ||
Fuji Television Network | 11 | 22,194 | ||
FUJIFILM Holdings | 18,700 | 894,153 | ||
Fujikura | 13,000 | 83,632 | ||
Fujitsu | 68,800 | 542,760 | ||
Fukuoka Financial Group | 29,000 | 186,548 | ||
Furukawa Electric | 26,000 | 124,739 | ||
Glory | 2,500 | 83,206 | ||
Goodwill Group | 30 a | 6,884 | ||
Gunma Bank | 15,000 | 106,580 | ||
Gunze | 5,000 | 24,052 | ||
H20 RETAILING CORP | 4,000 | 33,334 | ||
Hachijuni Bank | 15,000 | 114,554 | ||
Hakuhodo DY Holdings | 700 | 50,738 | ||
Hankyu Hashin Holdings | 44,000 | 206,393 | ||
Haseko | 44,500 a | 106,971 | ||
Hikari Tsushin | 700 | 21,252 | ||
Hino Motors | 10,000 | 72,365 | ||
Hirose Electric | 1,200 | 143,590 | ||
Hiroshima Bank | 19,000 | 103,148 | ||
Hitachi | 128,900 | 875,240 | ||
Hitachi Cable | 5,000 | 33,533 | ||
Hitachi Capital | 1,000 | 13,257 | ||
Hitachi Chemical | 3,200 | 78,140 | ||
Hitachi Construction Machinery | 4,200 | 171,626 | ||
Hitachi High-Technologies | 2,700 | 60,687 | ||
Hokkaido Electric Power | 6,800 | 146,578 | ||
Hokuhoku Financial Group | 48,000 | 148,093 | ||
Honda Motor | 59,220 | 2,220,723 | ||
House Foods | 3,220 | 51,041 | ||
HOYA | 15,300 | 556,455 |
The Fund 21
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Ibiden | 4,800 | 408,177 | ||
Idemitsu Kosan | 700 | 81,232 | ||
IHI CORPORATION | 49,000 | 117,198 | ||
INPEX Holdings | 31 | 336,088 | ||
Isetan | 6,900 | 93,133 | ||
Ito En | 2,300 | 48,534 | ||
Itochu | 57,500 | 732,564 | ||
Itochu Techno-Solutions | 1,400 | 49,800 | ||
J Front Retailing | 16,800 a | 150,826 | ||
Jafco | 1,000 | 41,012 | ||
Japan Airlines | 35,600 a | 80,117 | ||
Japan Petroleum Exploration | 1,000 | 76,188 | ||
Japan Prime Realty Investment | 21 | 84,342 | ||
Japan Real Estate Investment | 15 | 185,479 | ||
Japan Retail Fund Investment | 11 | 81,488 | ||
Japan Steel Works | 14,000 | 229,883 | ||
Japan Tobacco | 171 | 995,947 | ||
JFE Holdings | 22,160 | 1,295,414 | ||
JGC | 8,000 | 160,459 | ||
Joyo Bank | 26,462 | 163,694 | ||
JS Group | 9,224 | 149,138 | ||
JSR | 6,700 | 173,523 | ||
JTEKT | 7,300 | 139,436 | ||
Jupiter Telecommunications | 82 a | 65,883 | ||
Kajima | 36,800 | 130,317 | ||
Kamigumi | 9,400 | 76,470 | ||
Kaneka | 12,000 | 106,429 | ||
Kansai Electric Power | 29,499 | 664,395 | ||
Kansai Paint | 7,000 | 52,603 | ||
Kao | 20,000 | 574,082 | ||
Kawasaki Heavy Industries | 52,000 | 189,375 | ||
Kawasaki Kisen Kaisha | 21,000 | 291,228 | ||
KDDI | 94 | 712,081 | ||
Keihin Electric Express Railway | 15,000 | 91,910 | ||
Keio | 24,000 | 146,086 | ||
Keisei Electric Railway | 10,000 | 54,953 | ||
Keyence | 1,414 | 325,839 |
22
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Kikkoman | 6,000 | 76,188 | ||
Kinden | 5,000 | 44,380 | ||
Kintetsu | 59,354 | 180,458 | ||
Kirin Holdings Company,Limited | 29,000 | 405,589 | ||
KK DaVinci Advisors | 52 a | 53,756 | ||
Kobe Steel | 99,000 | 355,619 | ||
Kokuyo | 2,400 | 21,145 | ||
Komatsu | 34,200 | 1,146,496 | ||
Komori | 2,000 | 53,161 | ||
Konami | 3,400 | 100,694 | ||
Konica Minolta Holdings | 18,500 | 326,446 | ||
Kose | 880 | 22,562 | ||
Kubota | 41,000 | 344,999 | ||
Kuraray | 13,500 | 175,311 | ||
Kurita Water Industries | 4,200 | 139,661 | ||
Kyocera | 6,000 | 508,441 | ||
Kyowa Hakko Kogyo | 13,000 | 142,072 | ||
Kyushu Electric Power | 14,700 | 358,180 | ||
Lawson | 2,500 | 86,510 | ||
Leopalace21 | 4,800 | 154,223 | ||
Mabuchi Motor | 1,100 | 74,136 | ||
Makita | 4,600 | 222,531 | ||
Marubeni | 61,000 | 522,498 | ||
Marui Group | 10,600 | 110,073 | ||
Matsui Securities | 2,900 | 23,002 | ||
Matsumotokiyoshi Holdings | 1,100 | 19,513 | ||
Matsushita Electric Industrial | 74,195 | 1,419,024 | ||
Matsushita Electric Works | 13,000 | 143,594 | ||
Mediceo Paltac Holdings | 5,600 | 81,466 | ||
Meiji Dairies | 9,000 | 47,634 | ||
Meiji Seika Kaisha | 14,000 | 61,711 | ||
Meitec | 1,000 | 29,436 | ||
Millea Holdings | 28,400 | 1,119,353 | ||
Minebea | 12,000 | 83,136 | ||
Mitsubishi | 51,400 | 1,599,061 | ||
Mitsubishi Chemical Holdings | 43,600 | 359,881 | ||
Mitsubishi Electric | 74,000 | 898,190 |
The Fund 23
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Mitsubishi Estate | 45,000 | 1,345,517 | ||
Mitsubishi Gas Chemical | 15,000 | 150,743 | ||
Mitsubishi Heavy Industries | 122,700 | 716,441 | ||
Mitsubishi Logistics | 4,000 | 57,790 | ||
Mitsubishi Materials | 41,000 | 240,435 | ||
Mitsubishi Rayon | 20,000 | 113,302 | ||
Mitsubishi Tanabe Pharma Corporation | 9,000 | 103,445 | ||
Mitsubishi UFJ Financial Group | 329,280 | 3,282,394 | ||
Mitsui & Co. | 64,400 | 1,675,360 | ||
Mitsui Chemicals | 23,000 | 215,455 | ||
Mitsui Engineering & Shipbuilding | 30,000 | 175,935 | ||
Mitsui Fudosan | 32,000 | 884,113 | ||
Mitsui Mining & Smelting | 20,000 | 84,759 | ||
Mitsui OSK Lines | 42,000 | 693,829 | ||
Mitsui Sumitomo Insurance | 45,230 | 516,143 | ||
Mitsui Trust Holdings | 26,380 | 210,848 | ||
Mitsukoshi | 18,000 | 83,536 | ||
Mitsumi Electric | 3,100 | 143,991 | ||
Mizuho Financial Group | 375 | 2,108,978 | ||
Murata Manufacturing | 7,900 | 479,134 | ||
Namco Bandai Holdings | 8,550 | 131,376 | ||
NEC | 75,800 | 377,022 | ||
NEC Electronics | 1,100 a | 30,131 | ||
NGK Insulators | 10,000 | 353,874 | ||
NGK Spark Plug | 7,000 | 117,413 | ||
NHK Spring | 6,000 | 51,301 | ||
Nichirei | 7,000 | 29,948 | ||
Nidec | 4,200 | 316,476 | ||
Nikko Cordial | 15,500 | 222,613 | ||
Nikon | 12,600 | 402,268 | ||
Nintendo | 3,750 | 2,364,753 | ||
Nippon Building Fund | 18 | 261,156 | ||
Nippon Electric Glass | 13,085 | 221,871 | ||
Nippon Express | 30,000 | 150,171 | ||
Nippon Kayaku | 7,000 | 56,311 | ||
Nippon Light Metal | 20,400 | 41,990 | ||
Nippon Meat Packers | 7,000 | 70,690 |
24
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Nippon Mining Holdings | 31,800 | 299,760 | ||
Nippon Oil | 46,800 | 415,579 | ||
Nippon Paper Group | 32 | 96,138 | ||
Nippon Sheet Glass | 22,000 | 133,577 | ||
Nippon Shokubai | 4,000 | 39,577 | ||
Nippon Steel | 220,100 | 1,460,205 | ||
Nippon Telegraph & Telephone | 198 | 907,918 | ||
Nippon Yusen | 40,800 | 421,256 | ||
Nishi-Nippon City Bank | 22,000 | 65,233 | ||
Nishimatsu Construction | 6,000 | 18,446 | ||
Nissan Chemical Industries | 6,000 | 82,653 | ||
Nissan Motor | 86,300 | 995,031 | ||
Nisshin Seifun Group | 7,800 | 70,526 | ||
Nisshin Steel | 29,000 | 111,491 | ||
Nisshinbo Industries | 5,000 | 68,158 | ||
Nissin Food Products | 3,500 | 109,952 | ||
Nitori | 1,450 | 66,301 | ||
Nitto Denko | 6,200 | 302,631 | ||
NOK | 4,300 | 95,697 | ||
Nomura Holdings | 67,400 | 1,201,681 | ||
Nomura Real Estate Holdings | 1,900 | 54,913 | ||
Nomura Real Estate Office Fund | 8 | 80,675 | ||
Nomura Research Institute | 4,200 | 147,846 | ||
NSK | 15,000 | 133,462 | ||
NTN | 16,000 | 152,243 | ||
NTT Data | 50 | 227,211 | ||
NTT DoCoMo | 613 | 889,010 | ||
NTT Urban Development | 37 | 82,800 | ||
Obayashi | 21,000 | 105,784 | ||
Obic | 200 | 40,143 | ||
Odakyu Electric Railway | 24,000 | 167,973 | ||
OJI Paper | 30,000 | 137,355 | ||
Oki Electric Industry | 26,000 a | 44,190 | ||
OKUMA | 6,000 | 84,856 | ||
Okumura | 5,000 | 26,446 | ||
Olympus | 9,000 | 376,625 | ||
Omron | 7,700 | 188,643 |
The Fund 25
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Onward Kashiyama | 4,000 | 41,156 | ||
Oracle Japan | 1,500 | 68,816 | ||
Oriental Land | 1,700 | 100,949 | ||
ORIX | 3,500 | 712,778 | ||
Osaka Gas | 76,000 | 295,643 | ||
OSAKA Titanium Technologies | 600 | 52,530 | ||
OSG | 2,300 | 29,109 | ||
OTSUKA | 600 | 57,543 | ||
Park24 | 2,800 | 27,766 | ||
Pioneer | 5,900 | 65,682 | ||
Promise | 2,700 | 81,107 | ||
QP | 2,700 | 26,664 | ||
Rakuten | 264 | 128,704 | ||
Resona Holdings | 214 | 379,747 | ||
Ricoh | 25,000 | 493,201 | ||
Rinnai | 1,600 | 49,790 | ||
Rohm | 3,800 | 332,361 | ||
Round One | 9 | 21,348 | ||
Ryohin Keikaku | 800 | 50,406 | ||
Sanken Electric | 3,000 | 17,064 | ||
Sankyo | 1,900 | 81,040 | ||
Santen Pharmaceutical | 3,200 | 75,232 | ||
Sanwa Holdings | 9,200 | 48,471 | ||
Sanyo Electric | 60,000 a | 99,021 | ||
Sapporo Hokuyo Holdings | 11 | 113,172 | ||
Sapporo Holdings | 9,000 | 67,649 | ||
SBI E*trade Securities | 51 | 54,607 | ||
SBI Holdings | 385 | 121,429 | ||
Secom | 7,800 | 400,606 | ||
Sega Sammy Holdings | 6,984 | 96,193 | ||
Seiko Epson | 4,600 | 109,522 | ||
Seino Holdings | 4,000 | 34,347 | ||
Sekisui Chemical | 19,000 | 129,841 | ||
Sekisui House | 20,000 | 255,867 | ||
Seven & I Holdings | 31,460 | 810,536 | ||
Sharp | 37,000 | 582,920 | ||
Shimachu | 1,400 | 40,117 |
26
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Shimamura | 800 | 77,823 | ||
Shimano | 2,900 | 105,798 | ||
Shimizu | 25,000 | 130,561 | ||
Shin-Etsu Chemical | 15,600 | 999,971 | ||
Shinko Electric Industries | 2,700 | 62,134 | ||
Shinko Securities | 22,000 | 112,933 | ||
Shinsei Bank | 56,000 | 181,058 | ||
Shionogi & Co. | 12,000 | 204,783 | ||
Shiseido | 13,000 | 313,595 | ||
Shizuoka Bank | 22,400 | 234,470 | ||
Showa Denko | 39,000 | 152,183 | ||
Showa Shell Sekiyu | 6,200 | 73,248 | ||
SMC | 2,200 | 294,899 | ||
Softbank | 27,400 | 639,249 | ||
Sojitz | 37,600 | 172,862 | ||
Sompo Japan Insurance | 31,000 | 362,096 | ||
Sony | 38,080 | 1,882,693 | ||
Sony Financial Holdings | 37 | 133,192 | ||
Stanley Electric | 5,700 | 126,607 | ||
SUMCO | 4,000 | 145,627 | ||
Sumitomo | 40,700 | 709,604 | ||
Sumitomo Bakelite | 8,000 | 48,920 | ||
Sumitomo Chemical | 58,000 | 514,758 | ||
Sumitomo Electric Industries | 28,900 | 465,669 | ||
Sumitomo Heavy Industries | 21,000 | 277,861 | ||
Sumitomo Metal Industries | 156,000 | 769,240 | ||
Sumitomo Metal Mining | 21,000 | 467,841 | ||
Sumitomo Mitsui Financial Group | 249 | 2,033,216 | ||
Sumitomo Osaka Cement | 11,000 | 27,531 | ||
Sumitomo Realty & Development | 14,000 | 493,006 | ||
Sumitomo Rubber Industries | 7,000 | 85,577 | ||
Sumitomo Trust & Banking | 47,000 | 349,279 | ||
Suruga Bank | 7,000 | 92,076 | ||
Suzuken | 2,820 | 91,158 | ||
T & D Holdings | 7,700 | 462,411 | ||
Taiheiyo Cement | 38,000 | 119,269 | ||
Taisei | 32,000 | 96,187 |
The Fund 27
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Taisho Pharmaceutical | 5,000 | 96,231 | ||
Taiyo Nippon Sanso | 12,000 | 106,704 | ||
Taiyo Yuden | 3,100 | 51,416 | ||
Takara Holdings | 5,000 | 29,348 | ||
Takashimaya | 11,000 | 133,539 | ||
Takeda Pharmaceutical | 32,100 | 2,004,961 | ||
Takefuji | 4,610 | 117,891 | ||
TDK | 4,700 | 386,350 | ||
Teijin | 34,000 | 163,948 | ||
Terumo | 6,500 | 316,851 | ||
THK | 4,700 | 103,441 | ||
TIS | 800 | 14,076 | ||
Tobu Railway | 33,000 | 155,644 | ||
Toda | 9,000 | 47,050 | ||
Toho | 4,300 | 85,916 | ||
Toho Titanium | 800 | 29,106 | ||
Tohoku Electric Power | 16,000 | 337,817 | ||
Tokai Rika | 1,600 | 47,111 | ||
Tokuyama | 8,000 | 112,323 | ||
Tokyo Broadcasting System | 1,700 | 45,365 | ||
Tokyo Electric Power | 46,372 | 1,177,243 | ||
Tokyo Electron | 6,400 | 374,864 | ||
Tokyo Gas | 84,000 | 375,699 | ||
Tokyo Seimitsu | 1,500 | 35,171 | ||
Tokyo Steel Manufacturing | 3,500 | 48,272 | ||
Tokyo Tatemono | 11,000 | 141,174 | ||
Tokyu | 39,820 | 258,682 | ||
Tokyu Land | 16,000 | 164,949 | ||
TonenGeneral Sekiyu | 10,000 | 100,990 | ||
Toppan Printing | 22,000 | 214,830 | ||
Toray Industries | 51,000 | 393,310 | ||
Toshiba | 117,000 | 987,251 | ||
Tosoh | 20,000 | 127,580 | ||
TOTO | 11,000 | 79,655 | ||
Toyo Seikan Kaisha | 5,800 | 105,021 | ||
Toyo Suisan Kaisha | 3,000 | 52,019 | ||
Toyobo | 18,200 | 42,800 |
28
Common Stocks (continued) | Shares | Value ($) | ||
Japan (continued) | ||||
Toyoda Gosei | 2,600 | 93,318 | ||
Toyota Boshoku | 2,400 | 78,605 | ||
Toyota Industries | 6,600 | 282,115 | ||
Toyota Motor | 102,514 | 5,860,430 | ||
Toyota Tsusho | 8,300 | 232,267 | ||
Trend Micro | 4,000 | 179,037 | ||
Ube Industries | 32,600 | 116,823 | ||
Uni-Charm | 1,400 | 83,439 | ||
UNY | 7,000 | 60,538 | ||
Ushio | 4,200 | 86,444 | ||
USS | 990 | 64,754 | ||
Wacoal Holdings | 3,000 | 36,486 | ||
West Japan Railway | 66 | 330,160 | ||
Yahoo! Japan | 540 | 239,725 | ||
Yakult Honsha | 3,400 | 78,762 | ||
Yamada Denki | 3,260 | 335,777 | ||
Yamaha | 6,800 | 158,411 | ||
Yamaha Motor | 7,400 | 210,783 | ||
Yamato Holdings | 15,400 | 226,172 | ||
Yamazaki Baking | 3,000 | 26,260 | ||
Yaskawa Electric | 9,000 | 120,705 | ||
Yokogawa Electric | 7,400 | 93,423 | ||
Zeon | 5,000 | 47,121 | ||
110,963,342 | ||||
Luxembourg—.0% | ||||
Oriflame Cosmetics | 1,562 | 94,293 | ||
Netherlands—3.4% | ||||
Aegon | 55,906 | 1,153,377 | ||
Akzo Nobel | 10,384 | 834,230 | ||
ArcelorMittal | 34,405 | 2,757,559 | ||
ASML Holding | 15,167 a | 527,510 | ||
Corio | 1,591 | 139,258 | ||
Corporate Express | 5,561 | 61,708 | ||
European Aeronautic Defence and Space | 12,242 | 415,149 | ||
Fugro | 2,039 | 178,470 | ||
Hagemeyer | 23,841 | 161,767 | ||
Heineken | 9,062 | 633,235 |
The Fund 29
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Netherlands (continued) | ||||
ING Groep | 71,206 | 3,197,656 | ||
Koninklijke Ahold | 48,300 a | 723,936 | ||
Koninklijke DSM | 5,692 | 322,314 | ||
Koninklijke Philips Electronics | 43,399 | 1,792,583 | ||
OCE | 3,446 | 69,149 | ||
Qiagen | 6,776 a | 159,204 | ||
Randstad Holdings | 1,833 | 101,461 | ||
Reed Elsevier | 26,613 | 514,006 | ||
Royal KPN | 73,331 | 1,381,313 | ||
SBM Offshore | 5,383 | 206,845 | ||
STMicroelectronics | 25,421 | 434,346 | ||
TNT | 15,391 | 628,818 | ||
Unilever | 65,068 | 2,107,730 | ||
Vedior | 6,995 | 158,479 | ||
Wereldhave | 751 | 89,398 | ||
Wolters Kluwer | 11,365 | 355,647 | ||
19,105,148 | ||||
New Zealand—.1% | ||||
Auckland International Airport | 38,406 | 85,137 | ||
Contact Energy | 12,150 | 85,065 | ||
Fisher & Paykel Appliances Holdings | 7,958 | 21,555 | ||
Fisher & Paykel Healthcare | 14,548 | 36,405 | ||
Fletcher Building | 18,475 | 169,271 | ||
Kiwi Income Property Trust (Units) | 22,811 | 25,644 | ||
Sky City Entertainment Group | 19,535 | 80,989 | ||
Sky Network Television | 4,754 | 21,132 | ||
Telecom of New Zealand | 64,861 | 217,428 | ||
Vector | 3,522 | 6,498 | ||
749,124 | ||||
Norway—1.1% | ||||
Acergy | 7,144 | 205,388 | ||
Aker Kvaerner | 6,487 | 225,003 | ||
DNB NOR | 28,325 | 464,960 | ||
DNO | 34,496 a | 64,304 | ||
Frontline | 1,985 | 89,100 | ||
Marine Harvest | 98,466 a | 99,355 | ||
Norsk Hydro | 25,958 | 379,402 |
30
Common Stocks (continued) | Shares | Value ($) | ||
Norway (continued) | ||||
Norske Skogindustrier | 5,956 | 65,179 | ||
NYA | 48,761 | 1,642,445 | ||
Ocean RIG | 5,000 a | 39,693 | ||
Orkla | 30,877 | 570,996 | ||
Petroleum Geo-Services | 6,756 | 197,993 | ||
Prosafe Se | 7,268 | 128,338 | ||
Renewable Energy | 6,700 a | 339,887 | ||
Schibsted | 1,954 | 110,542 | ||
SeaDrill | 9,146 a | 216,718 | ||
Stolt-Nielsen | 950 | 27,665 | ||
Storebrand | 8,940 | 127,019 | ||
Tandberg | 4,665 | 118,110 | ||
Telenor | 31,053 a | 725,733 | ||
TGS Nopec Geophysical | 3,654 a | 60,998 | ||
Tomra Systems | 6,385 | 46,188 | ||
Yara International | 7,280 | 280,527 | ||
6,225,543 | ||||
Portugal—.4% | ||||
Banco BPI | 9,520 | 83,189 | ||
Banco Comercial Portugues, Cl. R | 81,321 | 392,955 | ||
Banco Espirito Santo | 8,861 | 214,345 | ||
Brisa-Auto Estradas de Portugal | 11,976 | 169,798 | ||
Cimpor-Cimentos de Portugal | 7,964 | 72,127 | ||
Energias de Portugal | 74,890 | 481,061 | ||
Jeronimo Martins | 9,970 | 73,851 | ||
Portugal Telecom | 29,452 | 394,140 | ||
PT Multimedia Servicos | 9,212 | 125,138 | ||
Sonae | 27,207 | 79,511 | ||
Sonae Industria | 2,150 a | 26,035 | ||
2,112,150 | ||||
Singapore—1.1% | ||||
Allgreen Properties | 26,000 | 28,790 | ||
Ascendas Real Estate Investment Trust | 38,700 | 69,186 | ||
Capitacommercial Trust | 38,000 | 70,557 | ||
CapitaLand | 58,000 | 326,062 | ||
CapitaMall Trust | 36,000 | 90,947 | ||
Chartered Semiconductor Manufacturing | 24,000 a | 19,082 |
The Fund 31
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Singapore (continued) | ||||
City Developments | 19,000 | 209,912 | ||
ComfortDelgro | 64,700 | 87,015 | ||
Cosco Singapore | 30,000�� | 164,198 | ||
DBS Group Holdings | 42,059 | 656,210 | ||
Fraser & Neave | 33,150 | 139,017 | ||
Haw Par | 1,658 | 9,106 | ||
Jardine Cycle & Carriage | 4,422 | 64,825 | ||
Keppel | 41,000 | 422,529 | ||
Keppel Land | 14,000 | 80,863 | ||
Neptune Orient Lines | 14,000 | 50,509 | ||
Noble Group | 44,000 | 72,966 | ||
Olam International | 23,000 | 56,450 | ||
Oversea-Chinese Banking | 92,942 | 596,601 | ||
Parkway Holdings | 27,000 | 78,121 | ||
SembCorp Industries | 31,254 | 128,807 | ||
SembCorp Marine | 32,000 | 99,843 | ||
Singapore Airlines | 19,733 | 269,071 | ||
Singapore Exchange | 29,000 | 318,578 | ||
Singapore Land | 5,000 | 33,795 | ||
Singapore Petroleum | 9,000 | 51,251 | ||
Singapore Post | 31,000 | 26,267 | ||
Singapore Press Holdings | 56,075 | 178,372 | ||
Singapore Technologies Engineering | 50,000 | 132,068 | ||
Singapore Telecommunications | 303,951 | 862,284 | ||
SMRT | 28,000 | 34,300 | ||
Suntec Real Estate Investment Trust | 43,000 | 53,722 | ||
United Overseas Bank | 45,112 | 675,725 | ||
UOL Group | 22,111 | 80,792 | ||
Venture | 9,000 | 87,546 | ||
Wing Tai Holdings | 16,000 | 38,826 | ||
6,364,193 | ||||
Spain—4.2% | ||||
Abertis Infraestructuras | 9,327 | 310,088 | ||
Acciona | 1,078 | 332,194 | ||
Acerinox | 5,729 | 168,752 | ||
ACS-Actividades de | ||||
Construccion y Servicios | 8,152 | 503,718 |
32
Common Stocks (continued) | Shares | Value ($) | ||
Spain (continued) | ||||
Altadis | 9,801 | 698,771 | ||
Antena 3 de Television | 3,438 | 60,881 | ||
Banco Bilbao Vizcaya Argentaria | 142,001 | 3,568,492 | ||
Banco Popular Espanol | 31,529 | 549,656 | ||
Banco Santander | 236,775 | 5,138,313 | ||
Cintra Concesiones de | ||||
Infraestructuras de Transporte | 7,782 | 135,779 | ||
Ebro Puleva | 3,710 | 76,379 | ||
Fomento de Construcciones y Contratas | 1,790 | 155,640 | ||
Gamesa Corp Tecnologica | 6,617 | 335,060 | ||
Gas Natural SDG | 5,772 | 354,485 | ||
Gestevision Telecinco | 3,517 | 101,001 | ||
Grupo Ferrovial | 2,251 | 195,561 | ||
Iberdrola | 142,087 | 2,283,820 | ||
Iberia Lineas Aereas de Espana | 15,888 | 80,451 | ||
Inditex | 8,088 | 600,862 | ||
Indra Sistemas | 3,965 | 114,899 | ||
Mapfre | 24,529 | 114,979 | ||
Promotora de Informaciones | 2,270 | 44,401 | ||
Repsol | 30,214 | 1,191,155 | ||
Sacyr Vallehermoso | 3,126 | 146,711 | ||
Sociedad General de | ||||
Aguas de Barcelona, Cl. A | 2,349 | 93,694 | ||
Sogecable | 1,750 a | 70,562 | ||
Telefonica | 168,824 | 5,566,369 | ||
Union Fenosa | 4,113 | 273,187 | ||
Zardoya Otis | 4,157 | 140,129 | ||
Zeltia | 6,502 | 76,101 | ||
23,482,090 | ||||
Sweden—2.4% | ||||
Alfa Laval | 3,462 | 273,755 | ||
Assa Abloy, Cl. B | 11,327 | 236,829 | ||
Atlas Copco, Cl. A | 25,005 | 417,661 | ||
Atlas Copco, Cl. B | 15,166 | 236,034 | ||
Axfood | 920 | 32,397 | ||
Billerud | 1,600 | 19,242 | ||
Boliden | 11,404 | 200,790 |
The Fund 33
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||||
Sweden (continued) | ||||||
Castellum | 6,128 | 77,550 | ||||
D Carnegie | 3,042 | 66,951 | ||||
Electrolux, Ser. B | 9,739 | 187,933 | ||||
Elekta, Cl. B | 2,800 | 53,921 | ||||
Eniro | 6,949 | 88,759 | ||||
Fabege | 5,246 | 62,265 | ||||
Getinge, Cl. B | 6,599 | 174,283 | ||||
Hennes & Mauritz, Cl. B | 18,074 | 1,201,884 | ||||
Hoganas, Cl. B | 800 | 19,179 | ||||
Holmen, Cl. B | 1,632 | 64,140 | ||||
Husqvarna, Cl. B | 10,542 | 126,780 | ||||
Kungsleden | 5,886 | 83,741 | ||||
Lundin Petroleum | 8,981 a | 107,655 | ||||
Modern Times Group, Cl. B | 1,823 | 127,960 | ||||
Nobia | 5,130 | 44,960 | ||||
Nordea Bank | 78,936 | 1,409,682 | ||||
OMX | 3,312 | 139,017 | ||||
Sandvik | 36,304 | 684,863 | ||||
SAS | 2,050 a | 35,772 | ||||
Scania, Cl. B | 13,938 | 380,161 | ||||
Securitas Direct, Cl. B | 8,604 a | 25,699 | ||||
Securitas Systems, Cl. B | 8,604 | 34,491 | ||||
Securitas, Cl. B | 12,514 | 157,873 | ||||
Skandinaviska Enskilda Banken, Cl. A | 17,207 | 526,129 | ||||
Skanska, Cl. B | 13,569 | 267,707 | ||||
SKF, Cl. B | 15,765 | 305,456 | ||||
Ssab Svenskt Stal, Ser. A | 6,728 | 217,882 | ||||
Ssab Svenskt Stal, Ser. B | 3,205 | 94,219 | ||||
Svenska Cellulosa, Cl. B | 21,762 | 383,164 | ||||
Svenska Handelsbanken, Cl. A | 18,268 | 604,520 | ||||
Swedish Match | 10,491 | 234,193 | ||||
Tele2, Cl. B | 11,115 | 261,227 | ||||
Telefonaktiebolaget LM Ericsson, Cl. B | 563,087 | 1,681,887 | ||||
TeliaSonera | 85,750 | 842,523 | ||||
Trelleborg, Cl. B | 3,462 | 87,896 | ||||
Volvo, Cl. A | 17,814 | 345,157 |
34
Common Stocks (continued) | Shares | Value ($) | ||
Sweden (continued) | ||||
Volvo, Cl. B | 41,565 | 808,613 | ||
Wihlborgs Fastigheter | 1,068 | 20,567 | ||
13,453,367 | ||||
Switzerland—6.4% | ||||
ABB | 79,660 | 2,394,508 | ||
Adecco | 4,927 | 296,075 | ||
Ciba Specialty Chemicals | 2,895 | 143,745 | ||
Clariant | 9,540 a | 121,817 | ||
Compagnie Financiere Richemont, Cl. A | 19,853 | 1,415,686 | ||
Credit Suisse Group | 41,476 | 2,787,611 | ||
Geberit | 1,556 | 209,561 | ||
Givaudan | 256 | 251,351 | ||
Holcim | 7,661 | 872,484 | ||
Kudelski | 991 | 27,873 | ||
Kuehne & Nagel International | 2,071 | 221,922 | ||
Kuoni Reisen Holding | 115 | 57,448 | ||
Logitech International | 6,335 a | 220,048 | ||
Lonza Group | 1,744 | 202,981 | ||
Nestle | 15,163 | 6,992,471 | ||
Nobel Biocare Holding | 860 | 250,050 | ||
Novartis | 87,827 | 4,667,739 | ||
OC Oerlikon | 259 a | 122,902 | ||
PSP Swiss Property | 1,591 a | 86,067 | ||
Rieter Holding | 186 | 107,760 | ||
Roche Holding | 26,601 | 4,535,057 | ||
Schindler Holding | 1,768 | 123,556 | ||
SGS | 180 | 235,745 | ||
Sonova Holding | 1,720 | 192,917 | ||
Straumann Holding | 254 | 70,839 | ||
Sulzer | 121 | 193,967 | ||
Swatch Group | 1,998 | 125,408 | ||
Swatch Group | 1,250 | 399,034 | ||
Swiss Life Holding | 1,268 a | 350,080 | ||
Swiss Reinsurance | 13,598 | 1,275,271 | ||
Swisscom | 881 | 325,515 | ||
Syngenta | 3,969 | 952,827 |
The Fund 35
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Switzerland (continued) | ||||
Synthes | 2,244 | 279,955 | ||
UBS | 75,739 | 4,048,170 | ||
Zurich Financial Services | 5,535 | 1,665,443 | ||
36,223,883 | ||||
United Kingdom—22.4% | ||||
3i Group | 15,226 | 343,183 | ||
Aegis Group | 29,253 | 76,595 | ||
Aggreko | 9,543 | 123,026 | ||
Amec | 11,745 | 200,677 | ||
Amvescap | 29,830 | 456,800 | ||
Anglo American | 50,954 | 3,449,772 | ||
ARM Holdings | 53,171 | 162,004 | ||
Arriva | 8,110 | 140,914 | ||
AstraZeneca | 56,715 | 2,795,795 | ||
Aviva | 99,017 | 1,554,010 | ||
BAE Systems | 128,259 | 1,320,017 | ||
Balfour Beatty | 15,102 | 154,431 | ||
Barclays | 248,040 | 2,970,096 | ||
Barratt Developments | 11,779 | 154,645 | ||
BBA Aviation | 14,166 | 70,638 | ||
Bellway | 4,359 | 97,075 | ||
Berkeley Group Holdings | 2,791 a | 99,061 | ||
BG Group | 128,779 | 2,346,142 | ||
BHP Billiton | 87,516 | 3,319,369 | ||
Biffa | 14,011 | 75,574 | ||
Bovis Homes Group | 4,104 | 56,055 | ||
BP | 723,867 | 9,358,283 | ||
British Airways | 20,594 a | 188,216 | ||
British American Tobacco | 58,253 | 2,143,713 | ||
British Energy Group | 38,307 | 419,431 | ||
British Land | 20,120 | 431,338 | ||
British Sky Broadcasting | 42,144 | 593,215 | ||
Brixton | 8,939 | 66,928 | ||
BT Group | 310,740 | 2,091,471 | ||
Bunzl | 13,319 | 199,084 | ||
Burberry Group | 16,747 | 213,109 | ||
Cable & Wireless | 100,100 | 404,496 |
36
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Cadbury Schweppes | 80,143 | 1,062,260 | ||
Capita Group | 22,482 | 344,799 | ||
Carnival | 6,164 | 287,785 | ||
Carphone Warehouse Group | 16,486 | 119,608 | ||
Cattles | 12,255 | 86,641 | ||
Centrica | 139,863 | 1,076,319 | ||
Charter | 5,799 a | 129,906 | ||
Close Brothers Group | 4,855 | 76,650 | ||
Cobham | 44,887 | 196,183 | ||
Compass Group | 76,546 | 548,197 | ||
Cookson Group | 7,232 | 125,520 | ||
CSR | 4,563 a | 60,795 | ||
Daily Mail & General Trust, Cl. A | 10,993 | 138,932 | ||
Davis Service Group | 5,968 | 66,327 | ||
De La Rue | 5,869 | 99,121 | ||
Diageo | 100,970 | 2,282,395 | ||
DSG International | 67,233 | 180,868 | ||
Electrocomponents | 15,554 | 80,590 | ||
EMAP | 7,632 | 138,633 | ||
Enterprise Inns | 20,106 | 262,154 | ||
Experian Group | 38,111 | 394,456 | ||
Firstgroup | 16,996 | 280,622 | ||
FKI | 21,364 | 40,977 | ||
Friends Provident | 69,301 | 264,203 | ||
G4S | 42,490 | 186,233 | ||
Galiform | 17,330 a | 41,172 | ||
GKN | 25,766 | 194,239 | ||
GlaxoSmithKline | 216,414 | 5,502,708 | ||
Great Portland Estates | 7,007 | 83,187 | ||
Hammerson | 10,472 | 223,849 | ||
Hays | 50,437 | 141,923 | ||
HBOS | 142,126 | 2,577,905 | ||
Home Retail Group | 31,652 | 285,394 | ||
HSBC Holdings | 443,031 | 8,747,557 | ||
ICAP | 20,326 | 240,847 | ||
IMI | 13,028 | 151,252 | ||
Imperial Chemical Industries | 44,223 | 604,942 |
The Fund 37
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Imperial Tobacco Group | 25,777 | 1,297,497 | ||
Inchcape | 17,639 | 171,715 | ||
Intercontinental Hotels Group | 10,871 | 249,054 | ||
International Power | 55,633 | 558,986 | ||
Intertek Group | 5,315 | 113,487 | ||
Invensys | 29,066 a | 196,803 | ||
Investec | 14,570 | 172,090 | ||
ITV | 180,100 | 370,560 | ||
J Sainsbury | 59,826 | 679,255 | ||
Johnson Matthey | 8,443 | 310,920 | ||
Kelda Group | 10,882 | 212,487 | ||
Kesa Electricals | 18,689 | 123,154 | ||
Kingfisher | 88,057 | 357,376 | ||
Ladbrokes | 24,809 | 211,688 | ||
Land Securities Group | 17,407 | 592,497 | ||
Legal & General Group | 252,057 | 730,960 | ||
Liberty International | 9,266 | 228,040 | ||
Lloyds TSB Group | 213,920 | 2,306,323 | ||
LogicaCMG | 59,228 | 198,262 | ||
London Stock Exchange Group | 5,370 | 186,857 | ||
Man Group | 69,045 | 841,837 | ||
Marks & Spencer Group | 64,948 | 873,605 | ||
Meggitt | 23,721 | 168,003 | ||
Michael Page International | 11,674 | 104,524 | ||
Misys | 21,184 | 106,100 | ||
Mitchells & Butlers | 20,100 | 275,058 | ||
Mondi | 12,622 | 116,362 | ||
National Express Group | 4,590 | 125,348 | ||
National Grid | 102,493 | 1,652,446 | ||
Next | 8,385 | 379,129 | ||
Old Mutual | 201,366 | 759,354 | ||
PartyGaming | 25,846 a | 16,660 | ||
Pearson | 31,026 | 512,971 | ||
Persimmon | 10,410 | 226,885 | ||
Premier Farnell | 12,140 | 40,793 | ||
Prudential | 93,841 | 1,505,495 | ||
Punch Taverns | 9,683 | 202,475 |
38
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
Rank Group | 11,389 | 24,274 | ||
Reckitt Benckiser Group PLC | 22,340 | 1,298,927 | ||
Reed Elsevier | 47,327 | 617,179 | ||
Rentokil Initial | 71,091 | 252,454 | ||
Resolution | 26,860 | 405,975 | ||
Reuters Group | 46,528 | 637,459 | ||
Rexam | 25,044 | 280,197 | ||
Rio Tinto | 37,937 | 3,502,585 | ||
Rolls-Royce Group | 66,639 a | 746,151 | ||
Royal Bank of Scotland Group | 379,223 | 4,056,984 | ||
Royal Dutch Shell, Cl. A | 138,902 | 6,053,219 | ||
Royal Dutch Shell, Cl. B | 104,478 | 4,510,209 | ||
SABMiller | 34,377 | 1,026,935 | ||
Sage Group | 47,292 | 236,596 | ||
Schroders | 3,970 | 126,840 | ||
Scottish & Newcastle | 29,964 | 485,695 | ||
Scottish & Southern Energy | 32,851 | 1,061,943 | ||
Segro | 16,027 | 153,366 | ||
Serco Group | 16,472 | 152,812 | ||
Severn Trent | 8,877 | 267,256 | ||
Signet Group | 59,717 | 111,367 | ||
Smith & Nephew | 34,762 | 458,913 | ||
Smiths Group | 14,458 | 338,024 | ||
SSL International | 6,600 | 70,536 | ||
Stagecoach Group | 19,497 | 109,552 | ||
Standard Life | 78,390 | 451,076 | ||
Tate & Lyle | 19,452 | 177,761 | ||
Taylor Wimpey | 40,562 | 205,871 | ||
Tesco | 300,569 | 3,027,528 | ||
Thomas Cook Group | 18,592 a | 115,638 | ||
Tomkins | 32,482 | 150,951 | ||
Travis Perkins | 4,741 | 142,795 | ||
Trinity Mirror | 12,304 | 102,126 | ||
Tui Travel | 22,531 a | 126,826 | ||
Tullet Prebon | 6,581 | 60,396 | ||
Unilever | 49,770 | 1,691,911 | ||
United Business Media | 10,298 | 153,151 |
The Fund 39
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
United Kingdom (continued) | ||||
United Utilities | 33,848 | 510,460 | ||
Vodafone Group | 2,000,078 | 7,831,499 | ||
Whitbread | 7,152 | 260,947 | ||
William Hill | 13,032 | 167,049 | ||
Wolseley | 24,615 | 426,630 | ||
WPP Group | 43,018 | 586,617 | ||
Xstrata | 23,988 | 1,710,092 | ||
Yell Group | 30,416 | 285,367 | ||
125,745,507 | ||||
Total Common Stocks | ||||
(cost $380,627,625) | 550,050,063 | |||
Preferred Stocks—.4% | ||||
Germany—.4% | ||||
Henkel | 6,905 | 351,941 | ||
Porsche | 334 | 888,641 | ||
ProSieben Sat.1 Media | 2,639 | 77,009 | ||
RWE | 1,511 | 184,239 | ||
Volkswagen | 3,901 | 739,334 | ||
2,241,164 | ||||
Italy—.0% | ||||
Unipol | 38,571 | 137,832 | ||
Japan—.0% | ||||
Ito En | 690 | 10,995 | ||
Total Preferred Stocks | ||||
(cost $1,082,098) | 2,389,991 | |||
Principal | ||||
Short-Term Investments—.3% | Amount ($) | Value ($) | ||
U.S. Treasury Bills; | ||||
3.89%, 12/20/07 | ||||
(cost $1,492,054) | 1,500,000 b | 1,492,095 |
40
Other Investment—3.2% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred Plus Money Market Fund | ||||
(cost $18,000,000) | 18,000,000 c | 18,000,000 | ||
Total Investments (cost $401,201,777) | 101.8% | 571,932,149 | ||
Liabilities, Less Cash and Receivables | (1.8%) | (10,278,907) | ||
Net Assets | 100.0% | 561,653,242 |
a | Non-income producing security. | |
b | All or partially held by a broker as collateral for open financial futures positions. | |
c | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited) † | ||||||
Value (%) | Value (%) | |||||
Banking | 14.1 | Real Estate | 3.3 | |||
Materials | 9.3 | Consumer Durables | 2.8 | |||
Capital Goods | 8.6 | Transportation | 2.4 | |||
Energy | 7.6 | Food Retail | 2.0 | |||
Telecommunications | 6.0 | Media | 1.9 | |||
Diversified Financials | 5.3 | Retailing | 1.6 | |||
Pharmaceuticals & Biotechnology | 5.2 | Software & Services | 1.4 | |||
Utilities | 5.2 | Hotels, Restaurants & Leisure | 1.0 | |||
Food, Beverage & Tobacco | 5.1 | Commercial & Professional Services | .9 | |||
Insurance | 4.8 | Health Care | .8 | |||
Automobiles & Components | 4.2 | Household & Personal Products | .8 | |||
Short Term/ | Semiconductors & Equipment | .5 | ||||
Money Market Investments | 3.5 | |||||
Technology Hardware & Equipment | 3.5 | 101.8 |
† Based on net assets. |
See notes to financial statements. |
The Fund 41
STATEMENT OF FINANCIAL FUTURES |
October 31, 2007 |
Market Value | Unrealized | |||||||
Covered by | Appreciation | |||||||
Contracts | Contracts ($) | Expiration | at 10/31/2007 ($) | |||||
Financial Futures Long | ||||||||
DJ Euro Stoxx 50 | 60 | 3,909,697 | December 2007 | 17,547 | ||||
FTSE 100 | 17 | 2,383,230 | December 2007 | 7,938 | ||||
TOPIX | 14 | 1,963,048 | December 2007 | 59,252 | ||||
84,737 |
See notes to financial statements.
42
STATEMENT OF ASSETS AND LIABILITIES |
October 31, 2007 |
Cost | Value | |||
Assets ($): | ||||
Investments in securities—See Statement of Investments: | ||||
Unaffiliated issuers | 383,201,777 | 553,932,149 | ||
Affiliated issuers | 18,000,000 | 18,000,000 | ||
Cash | 1,752,544 | |||
Cash denominated in foreign currencies | 6,249,468 | 6,390,589 | ||
Dividends and interest receivable | 981,957 | |||
Receivable for investment securities sold | 842,809 | |||
Receivable for shares of Common Stock subscribed | 499,617 | |||
Receivable for futures variation margin—Note 4 | 46,772 | |||
Unrealized appreciation on forward currency | ||||
exchange contracts—Note 4 | 59,307 | |||
582,505,744 | ||||
Liabilities ($): | ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 273,202 | |||
Payable for investment securities purchased | 20,335,437 | |||
Payable for shares of Common Stock redeemed | 211,900 | |||
Unrealized depreciation on forward currency | ||||
exchange contracts—Note 4 | 31,963 | |||
20,852,502 | ||||
Net Assets ($) | 561,653,242 | |||
Composition of Net Assets ($): | ||||
Paid-in capital | 390,629,679 | |||
Accumulated undistributed investment income—net | 8,207,479 | |||
Accumulated net realized gain (loss) on investments | (8,118,560) | |||
Accumulated net unrealized appreciation (depreciation) on | ||||
investments and foreign currency transactions (including | ||||
$84,737 net unrealized appreciation on financial futures) | 170,934,644 | |||
Net Assets ($) | 561,653,242 | |||
Shares Outstanding | ||||
(200 million shares of $.001 par value Common Stock authorized) | 25,551,647 | |||
Net Asset Value, offering and redemption price per share—Note 3(c) ($) | 21.98 |
See notes to financial statements.
The Fund 43
STATEMENT OF OPERATIONS |
Year Ended October 31, 2007 |
Investment Income ($): | ||
Income: | ||
Dividends (net of $1,031,379 foreign taxes withheld at source): | ||
Unaffiliated issuers | 11,637,365 | |
Affiliated issuers | 430,225 | |
Interest | 296,531 | |
Total Income | 12,364,121 | |
Expenses: | ||
Management fee—Note 3(a) | 1,547,856 | |
Shareholder servicing costs—Note 3(b) | 1,105,612 | |
Director fees—Note 3(a) | 27,109 | |
Loan commitment fees—Note 2 | 1,042 | |
Total Expenses | 2,681,619 | |
Less—Director fees reimbursed by the Manager—Note 3(a) | (27,109) | |
Net Expenses | 2,654,510 | |
Investment Income—Net | 9,709,611 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments and foreign currency transactions | 5,852,485 | |
Net realized gain (loss) on financial futures | (106,160) | |
Net realized gain (loss) on forward currency exchange contracts | 858,521 | |
Net Realized Gain (Loss) | 6,604,846 | |
Net unrealized appreciation (depreciation) on investments and | ||
foreign currency transactions (including $121,875 net | ||
unrealized appreciation on financial futures) | 80,021,875 | |
Net Realized and Unrealized Gain (Loss) on Investments | 86,626,721 | |
Net Increase in Net Assets Resulting from Operations | 96,336,332 |
See notes to financial statements.
44
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2007 | 2006 | |||
Operations ($): | ||||
Investment income—net | 9,709,611 | 6,461,955 | ||
Net realized gain (loss) on investments | 6,604,846 | 5,625,158 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 80,021,875 | 50,959,372 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 96,336,332 | 63,046,485 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (7,690,026) | (4,095,715) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 256,856,349 | 170,511,526 | ||
Dividends reinvested | 6,942,005 | 3,605,156 | ||
Cost of shares redeemed | (146,399,902) | (78,133,042) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 117,398,452 | 95,983,640 | ||
Total Increase (Decrease) in Net Assets | 206,044,758 | 154,934,410 | ||
Net Assets ($): | ||||
Beginning of Period | 355,608,484 | 200,674,074 | ||
End of Period | 561,653,242 | 355,608,484 | ||
Undistributed investment income—net | 8,207,479 | 5,419,052 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 12,890,986 | 10,355,730 | ||
Shares issued for dividends reinvested | 371,051 | 234,572 | ||
Shares redeemed | (7,438,599) | (4,728,362) | ||
Net Increase (Decrease) in Shares Outstanding | 5,823,438 | 5,861,940 |
See notes to financial statements.
The Fund 45
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 18.03 | 14.47 | 12.57 | 10.91 | 8.89 | |||||
Investment Operations: | ||||||||||
Investment income—net a | .43 | .38 | .29 | .25 | .18 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | 3.90 | 3.45 | 1.88 | 1.72 | 2.04 | |||||
Total from Investment Operations | 4.33 | 3.83 | 2.17 | 1.97 | 2.22 | |||||
Distributions: | ||||||||||
Dividends from investment income—net | (.38) | (.27) | (.27) | (.31) | (.20) | |||||
Net asset value, end of period | 21.98 | 18.03 | 14.47 | 12.57 | 10.91 | |||||
Total Return (%) | 24.40 | 26.83 | 17.40 | 18.40 | 25.49 | |||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .61 | .60 | .60 | .60 | .60 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .60 | .60 | .60 | .60 | .60 | |||||
Ratio of net investment income | ||||||||||
to average net assets | 2.20 | 2.30 | 2.07 | 2.07 | 1.98 | |||||
Portfolio Turnover Rate | 3.31 | 4.12 | 3.46 | 14.80 | 11.37 | |||||
Net Assets, end of period ($ x 1,000) | 561,653 | 355,608 | 200,674 | 117,116 | 91,731 |
a Based on average shares outstanding at each month end. |
See notes to financial statements. |
46
NOTES TO FINANCIAL STATEMENTS
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 match the performance of the Morgan Stanley Capital International Europe, Australasia, Far East (Free) Index (EAFE).The Dreyfus Corporation (the “Manager” or “Dreyfus”) serves as the fund’s investment adviser. On July 1, 2007, Mellon Financial Corporation (“Mellon Financial”) and The Bank of New York Company, Inc. merged, forming The Bank of New York Mellon Corporation (“BNY Mellon”). As part of this transaction, Dreyfus became a wholly-owned subsidiary of BNY Mellon. MBSC Securities 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 requires 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
The Fund 47
NOTES TO FINANCIAL STATEMENTS (continued)
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. Registered open-ended investment companies that are not traded on exchange are valued at their net asset value.When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the 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 fund’s 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 on the principle exchange.
The Financial Accounting Standards Board (“FASB”) released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. Management does not believe that the application of this standard will have a material impact on the financial statements of the fund.
48
(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 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 is determined on the basis of coupon interest accrued, adjusted for accretion of discount and amortization of premium on debt securities.
Pursuant to a securities lending agreement with Mellon Bank, N.A. (“Mellon Bank”), an affiliate of the Manager, the fund may lend securities to qualified institutions. It is the fund’s policy 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. It is the fund’s policy that collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Cash collateral is invested in certain money market mutual funds managed by the Manager. The fund is 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 bears 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 49
NOTES TO FINANCIAL STATEMENTS (continued)
(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 income tax regulations, which may differ from U.S. generally accepted accounting principles.
(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. Accordingly, no provision for income tax is required.
The FASB released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management does not believe that the application of this standard will have a material impact on the financial statements of the fund.
At October 31, 2007, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $11,676,659,
50
accumulated capital losses $1,378,073 and unrealized appreciation $160,724,977.
The accumulated capital loss carryover is available to be applied against future net securities profits, if any, realized subsequent to October 31, 2007. If not applied $599,433 of the carryover expires in fiscal 2011 and $778,640 expires in fiscal 2012.
The tax characters of distributions paid to shareholders during the fiscal periods ended October 31, 2007 and October 31, 2006, were as follows: ordinary income $7,690,026 and $4,095,715, respectively.
During the period ended October 31, 2007, as a result of permanent book to tax differences, primarily due to the tax treatment for passive foreign investment companies and foreign currency gains and losses, the fund increased accumulated undistributed investment income-net by $768,842 and decreased net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
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 October 31, 2007, 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 the value of the fund’s average daily net assets, and is payable monthly. Under the terms of the Agreement, the Manager has agreed
The Fund 51
NOTES TO FINANCIAL STATEMENTS (continued)
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”). Currently, the Company and 13 other funds (comprised of 40 portfolios) in the Dreyfus Family of Funds pay each Board member their respective allocated portion of an annual retainer fee of $85,000, and an attendance fee of $10,000 for each regularly scheduled Board meetings, an attendance fee of $2,000 for each separate in-person committee meetings that not held in conjunction with a regularly scheduled Board meeting and an attendance fee of $1,000 for each Board meeting and separate committee meetings attended that are conducted by telephone.The Chairman of the Board receives an additional 25% of such compensation and the Audit Committee Chairman receives an additional $15,000 per annum. The Company also reimburses each Board member for travel and out of pocket expenses in connection with attending Board or committee meetings. 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. 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 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 indus-
52
try professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended October 31, 2007, the fund was charged $1,105,612 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 $159,368, and shareholder services plan fees $113,834.
(c) A 2% redemption fee is charged and retained by the fund on certain shares redeemed within 60 days of purchase subject to exceptions described in the fund’s current prospectus. During the period ended October 31, 2007, redemption fees charged and received by the fund amounted to $28,462.
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 October 31, 2007, amounted to $131,747,704 and $14,348,857, respectively.
The fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings and to settle foreign currency transactions. When executing forward currency exchange contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward currency exchange contracts, the fund would incur a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed.The fund realizes a gain if the value of the contract decreases between those dates.With respect to purchases of forward currency exchange contracts, the fund would incur a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. The fund is also exposed to credit risk associated with counter party
The Fund 53
NOTES TO FINANCIAL STATEMENTS (continued)
nonperformance on these forward currency exchange contracts which is typically limited to the unrealized gain on each open contract.The following summarizes open forward currency exchange contracts at October 31, 2007:
Foreign | Unrealized | |||||||
Forward Currency | Currency | Appreciation | ||||||
Exchange Contracts | Amounts | Cost ($) | Value ($) | (Depreciation) ($) | ||||
Purchases: | ||||||||
Australian Dollar, | ||||||||
expiring 11/1/2007 | 974,000 | 896,859 | 902,654 | 5,795 | ||||
British Pound, | ||||||||
expiring 11/1/2007 | 1,807,000 | 3,737,779 | 3,753,771 | 15,992 | ||||
British Pound, | ||||||||
expiring 12/19/2007 | 909,507 | 1,870,208 | 1,886,508 | 16,300 | ||||
Danish Krone, | ||||||||
expiring 11/1/2007 | 704,000 | 136,368 | 136,650 | 282 | ||||
Euro, | ||||||||
expiring 11/1/2007 | 1,390,000 | 2,006,743 | 2,010,983 | 4,240 | ||||
Euro, | ||||||||
expiring 12/19/2007 | 2,279,722 | 3,284,066 | 3,300,307 | 16,241 | ||||
Hong Kong Dollar, | ||||||||
expiring 11/1/2007 | 4,581,000 | 591,097 | 591,036 | (61) | ||||
Japanese Yen, expiring | ||||||||
11/1/2007 | 481,277,000 | 4,196,329 | 4,174,671 | (21,658) | ||||
Japanese Yen, expiring | ||||||||
12/19/2007 | 238,528,502 | 2,088,166 | 2,080,185 | (7,981) | ||||
Norwegian Krone, | ||||||||
expiring 11/1/2007 | 1,400,000 | 261,633 | 259,675 | (1,958) | ||||
Singapore Dollar, | ||||||||
expiring 11/1/2007 | 110,000 | 75,867 | 75,927 | 60 | ||||
Swedish Krona, | ||||||||
expiring 11/1/2007 | 2,980,000 | 468,075 | 468,472 | 397 | ||||
Swiss Franc, | ||||||||
expiring 11/1/2007 | 1,641,000 | 1,416,120 | 1,415,815 | (305) | ||||
Total | 27,344 |
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 daily unrealized gains or losses.When the contracts are closed, the fund
54
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 October 31, 2007, are set forth in the Statement of Financial Futures.
At October 31, 2007, the cost of investments for federal income tax purposes was $411,386,884; accordingly, accumulated net unrealized appreciation on investments was $160,545,265, consisting of $176,178,601 gross unrealized appreciation and $15,633,336 gross unrealized depreciation.
NOTE 5—Change in Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP (“PWC”), 300 Madison Avenue, 28th Floor, New York, New York 10017, an independent registered public accounting firm, was the independent registered public accounting firm for the fund for the fiscal year ended October 31, 2006.At meetings held on December 5, 2006, the Audit Committee and the Board of Trustees of the Company engaged Ernst & Young LLP to replace PWC as the independent registered public accounting firm for the Company, effective upon the completion of services related to the audit of the 2006 financial statements of the Company.
During the Company’s past four fiscal years and any subsequent interim period: (i) no report on the Company's financial statements contained an adverse opinion or a disclaimer of opinion, or was qualified or modified as to uncertainty, audit scope, or accounting principles; and (ii) there were no “disagreements” (as such term is used in Item 304 of Regulation S-K) with PWC on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreement(s), if not resolved to the satisfaction of PWC, would have caused it to make reference to the subject matter of the disagreement(s) in connection with its report.
The Fund 55
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM |
Shareholders and Board of Directors |
Dreyfus International Stock Index Fund |
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus International Stock Index (one of the funds comprising Dreyfus Index Funds, Inc. as of October 31, 2007 and the related statement of operations, the statement of changes in net assets and financial highlights for the year then ended.These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. The statment of changes in net assets for the year ended October 31, 2006 and the financial highlights for each of the indicated periods through October 31, 2006, were audited by other auditors whose report dated December 14, 2006, expressed an unqualified opinion on the statement and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2007 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus International Stock Index Fund at October 31, 2007, and the results of its operations, the changes in its net assets and financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York |
December 20, 2007 |
56
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund elects to provide each shareholder with their portion of the fund’s foreign taxes paid and the income sourced from foreign countries.Accordingly, the fund hereby makes the following designations regarding its fiscal year ended October 31, 2007:
As required by federal tax law rules, shareholders will receive notification of their proportionate share of foreign taxes paid and foreign sourced income for the 2007 calendar year with Form 1099-DIV which will be mailed by January 31, 2008.
For the fiscal year ended October 31, 2007, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $4,918,764 represents the maximum amount that may be considered qualified dividend income.
The Fund 57
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (64) |
Chairman of the Board (1995) |
Principal Occupation During Past 5 Years: |
• Corporate Director and Trustee |
Other Board Memberships and Affiliations:
- The Muscular Dystrophy Association, Director
- Century Business Services, Inc., a provider of outsourcing functions for small and medium size companies, Director
- The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director
- Sunair Services Corporation, a provider of certain outdoor-related services to homes and businesses, Director
No. of Portfolios for which Board Member Serves: 165
———————
Peggy C. Davis (64) |
Board Member (2006) |
Principal Occupation During Past 5 Years:
- Shad Professor of Law, New York University School of Law (1983-present)
- Writer and teacher in the fields of evidence, constitutional theory, family law, social sciences and the law, legal process and professional methodology and training
No. of Portfolios for which Board Member Serves: 65 |
———————
David P. Feldman (67) |
Board Member (1989) |
Principal Occupation During Past 5 Years: |
• Corporate Director and Trustee |
Other Board Memberships and Affiliations:
- BBH Mutual Funds Group (11 funds), Director
- The Jeffrey Company, a private investment company, Director
No. of Portfolios for which Board Member Serves: 49
58
James F. Henry (76) |
Board Member (2006) |
Principal Occupation During Past 5 Years:
- President,The International Institute for Conflict Prevention and Resolution, a non-profit organization principally engaged in the development of alternatives to business litigation (Retired 2003)
- Advisor to The Elaw Forum, a consultant on managing corporate legal costs
- Advisor to John Jay Homestead (the restored home of the first U.S. Chief Justice)
- Individual Trustee of several trusts
Other Board Memberships and Affiliations:
- Director, advisor and mediator involved in several non-profit organizations, primarily engaged in domestic and international dispute resolution, and historic preservation
No. of Portfolios for which Board Member Serves: 40
———————
Ehud Houminer (67) |
Board Member (1996) |
Principal Occupation During Past 5 Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University |
Other Board Memberships and Affiliations:
- Avnet Inc., an electronics distributor, Director
- International Advisory Board to the MBA Program School of Management, Ben Gurion University, Chairman
No. of Portfolios for which Board Member Serves: 67
———————
Gloria Messinger (77) |
Board Member (1996) |
Principal Occupation During Past 5 Years:
- Arbitrator for American Arbitration Association and National Association of Securities Dealers, Inc.
- Consultant in Intellectual Property
Other Board Memberships and Affiliations:
- Theater for a New Audience, Inc., Director
- Brooklyn Philharmonic, Director
No. of Portfolios for which Board Member Serves: 40
The Fund 59
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Dr. Martin Peretz (68) |
Board Member (2006) |
Principal Occupation During Past 5 Years:
- Editor-in-Chief of The New Republic Magazine
- Lecturer in Social Studies at Harvard University (1965-2002)
- Director of TheStreet.com, a financial information service on the web
Other Board Memberships and Affiliations:
- American Council of Trustees and Alumni, Director
- Pershing Square Capital Management, Adviser
- Montefiore Ventures, General Partner
- Harvard Center for Blood Research,Trustee
- Bard College,Trustee
- Board of Overseers of YIVO Institute for Jewish Research, Chairman
No. of Portfolios for which Board Member Serves: 40
———————
Anne Wexler (77) |
Board Member (1991) |
Principal Occupation During Past 5 Years:
- Chairman of the Wexler & Walker Public Policy Associates, consultants specializing in government relations and public affairs from January 1981 to present
Other Board Memberships and Affiliations:
- Wilshire Mutual Funds (5 funds), Director
- The Community Foundation for the National Capital Region, Director
- Member of the Council of Foreign Relations
- Member of the National Park Foundation
No. of Portfolios for which Board Member Serves: 49
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is in c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-554-4611.
John M. Fraser, Jr., Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
60
OFFICERS OF THE FUND (Unaudited)
J. DAVID OFFICER, President since |
December 2006. |
Chief Operating Officer,Vice Chairman and a Director of the Manager, and an officer of 82 investment companies (comprised of 165 portfolios) managed by the Manager. He is 59 years old and has been an employee of the Manager since April 1998.
PHILLIP N. MAISANO, Executive Vice |
President since July 2007. |
Chief Investment Officer,Vice Chair and a director of the Manager, and an officer of 82 investment companies (comprised of 165 portfolios) managed by the Manager. Mr. Maisano also is an officer and/or Board member of certain other investment management subsidiaries of The Bank of New York Mellon Corporation, each of which is an affiliate of the Manager. He is 60 years old and has been an employee of the Manager since November 2006. Prior to joining the Manager, Mr. Maisano served as Chairman and Chief Executive Officer of EACM Advisors, an affiliate of the Manager, since August 2004, and served as Chief Executive Officer of Evaluation Associates, a leading institutional investment consulting firm, from 1988 until 2004.
MICHAEL A. ROSENBERG, Vice President |
and Secretary since August 2005. |
Associate General Counsel of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 47 years old and has been an employee of the Manager since October 1991.
JAMES BITETTO, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel and Secretary of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 41 years old and has been an employee of the Manager since December 1996.
JONI LACKS CHARATAN, Vice President |
and Assistant Secretary since |
August 2005. |
Associate General Counsel of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. She is 51 years old and has been an employee of the Manager since October 1988.
JOSEPH M. CHIOFFI, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 45 years old and has been an employee of the Manager since June 2000.
JANETTE E. FARRAGHER, Vice President |
and Assistant Secretary since |
August 2005. |
Associate General Counsel of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. She is 44 years old and has been an employee of the Manager since February 1984.
JOHN B. HAMMALIAN, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 44 years old and has been an employee of the Manager since February 1991.
ROBERT R. MULLERY, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 55 years old and has been an employee of the Manager since May 1986.
The Fund 61
OFFICERS OF THE FUND (Unaudited) (continued)
JEFF PRUSNOFSKY, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 42 years old and has been an employee of the Manager since October 1990.
JAMES WINDELS, Treasurer since |
November 2001. |
Director – Mutual Fund Accounting of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 49 years old and has been an employee of the Manager since April 1985.
ROBERT ROBOL, Assistant Treasurer |
since August 2005. |
Senior Accounting Manager – Money Market and Municipal Bond Funds of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 43 years old and has been an employee of the Manager since October 1988.
ROBERT SALVIOLO, Assistant Treasurer |
since May 2007. |
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 40 years old and has been an employee of the Manager since June 1989.
ROBERT SVAGNA, Assistant Treasurer |
since December 2002. |
Senior Accounting Manager – Equity Funds of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 40 years old and has been an employee of the Manager since November 1990.
GAVIN C. REILLY, Assistant Treasurer |
since December 2005. |
Tax Manager of the Investment Accounting and Support Department of the Manager, and an officer of 83 investment companies (comprised of 182 portfolios) managed by the Manager. He is 39 years old and has been an employee of the Manager since April 1991.
JOSEPH W. CONNOLLY, Chief Compliance |
Officer since October 2004. |
Chief Compliance Officer of the Manager and The Dreyfus Family of Funds (83 investment companies, comprised of 182 portfolios). From November 2001 through March 2004, Mr. Connolly was first Vice-President, Mutual Fund Servicing for Mellon Global Securities Services. In that capacity, Mr. Connolly was responsible for managing Mellon’s Custody, Fund Accounting and Fund Administration services to third-party mutual fund clients. He is 50 years old and has served in various capacities with the Manager since 1980, including manager of the firm’s Fund Accounting Department from 1997 through October 2001.
WILLIAM GERMENIS, Anti-Money |
Laundering Compliance Officer since |
October 2002. |
Vice President and Anti-Money Laundering Compliance Officer of the Distributor, and the Anti-Money Laundering Compliance Officer of 79 investment companies (comprised of 178 portfolios) managed by the Manager. He is 37 years old and has been an employee of the Distributor since October 1998.
62
NOTES
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 1-202-551-8090.
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, 2007, 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.
© 2007 MBSC Securities Corporation
Dreyfus S&P 500 Index Fund |
ANNUAL REPORT October 31, 2007 |
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 | A Letter from the CEO | |
3 | Discussion of Fund Performance | |
6 | Fund Performance | |
7 | Understanding Your Fund’s Expenses | |
7 | Comparing Your Fund’s Expenses | |
With Those of Other Funds | ||
8 | Statement of Investments | |
24 | Statement of Financial Futures | |
25 | Statement of Assets and Liabilities | |
26 | Statement of Operations | |
27 | Statement of Changes in Net Assets | |
28 | Financial Highlights | |
29 | Notes to Financial Statements | |
37 | Report of Independent Registered | |
Public Accounting Firm | ||
38 | Important Tax Information | |
39 | Board Members Information | |
42 | Officers of the Fund | |
FOR MORE INFORMATION | ||
Back Cover |
Dreyfus S&P 500 Index Fund |
The Fund
A LETTER FROM THE CEO
Dear Shareholder:
We are pleased to present this annual report for Dreyfus S&P 500 Index Fund, covering the 12-month period from November 1, 2006, through October 31, 2007.
After a prolonged period of relative price stability, volatility has returned to the U.S. stock market.The third quarter of 2007 provided greater swings in stock prices than we’ve seen on a relative year-to-date basis, as the economic cycle matured and credit concerns spread from the sub-prime mortgage sector of the bond market to other areas of the equity and fixed-income markets. A high degree of leverage within parts of the financial system has made recent price fluctuations more intense than they might be otherwise.
In our view, these developments signaled a shift to a new phase of the credit cycle.Although we expect somewhat slower financial conditions in the aftermath of the credit crisis, lower short-term interest rates from the Federal Reserve Board should help keep credit available to borrowers and forestall a more severe economic downturn. In addition, robust global economic growth may continue to support earnings for many U.S.-based companies. Such market events may indicate that it’s a good time to review your portfolio with your financial advisor, who can help you evaluate your investments for a changing market environment.
For information about how the fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Fund Performance given by the fund’s Portfolio Manager.
Thank you for your continued confidence and support.
Thomas F. Eggers Chief Executive Officer The Dreyfus Corporation November 15, 2007 |
2 |
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2006, through October 31, 2007, as provided by Thomas Durante, CFA, Portfolio Manager
Fund and Market Performance Overview
U.S. stocks posted generally favorable returns during the reporting period, with gains fueled by rising mergers-and-acquisitions activity, strong corporate earnings, moderate economic growth and generally stable interest rates.The difference in returns between the fund and the S&P 500 Index was primarily the result of transaction costs and operating expenses that are not reflected in the S&P 500 Index’s results.
For the 12-month period from November 1, 2006, through October 31, 2007, Dreyfus S&P 500 Index Fund produced a total return of 14.05% .1 In comparison, the Standard & Poor’s 500 Composite Stock Price Index (the “S&P 500 Index”), the fund’s benchmark, produced a 14.55% return for the same period.2,3
The Fund’s Investment Approach |
The fund seeks to match the total return of the S&P 500 Index by generally investing in all 500 stocks in the S&P 500 Index in proportion to their respective weighting. Often considered a 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. 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 S&P 500 Index is dominated by large-cap, blue-chip stocks that comprise nearly 75% of total U.S. market capitalization.
Domestic Stocks With Ties to International Growth Flourished
U.S.stocks posted generally attractive returns during the reporting period despite growing pessimism late in the reporting period regarding the direction of the U.S. economy. In late February, a higher-than-expected
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued) |
number of delinquencies and defaults among homeowners with sub-prime mortgages resulted in heightened market turbulence. By July, weakness in the sub-prime lending sector had spread to other areas of the financial markets, leading to a summer credit crunch in which investors sold riskier assets, including stocks.The Federal Reserve Board attempted to restore market liquidity and forestall a potential recession by reducing key short-term interest rates in August, September and October, which resulted in a sharp market rebound by the reporting period’s end.
The global economy remained robust, however, boosting the fortunes of companies with products needed for infrastructure construction in overseas markets, exporters that are well-positioned to serve a growing middle class of consumers in international markets and firms poised to improve their global competitiveness in light of the weaker U.S. dollar. For example, in the industrials sector, large exporters with ample exposure to the global economy fared well, including producers of heavy machinery, including earthmoving, agricultural, forestry and heating and air conditioning equipment.
Materials stocks also gained ground in an environment of strong global growth. Some of the S&P 500 Index’s stronger gains stemmed from steel, aluminum and copper producers. Specialty chemical companies benefited from rising demand for products that help farmers grow more crops by applying biotechnology and genomics to seeds and herbicides. The S&P 500 Index’s return also was bolstered by consumer staples stocks, where a tobacco giant, soft drink companies and fast-food chains all flourished due to substantial increases in international sales.
Energy stocks also fared well during the reporting period, including integrated energy producers and oil services providers. In many cases, these companies were able to offset the effects of volatile oil prices with more consistent results from their natural gas and chemicals divisions. In the information technology sector, several large integrated technology companies rallied on the strength of improved business-to-business sales. Manufacturers of personal computers and consumer electronics also gained value, primarily from new product launches and growing demand for wireless technologies.
4 |
Economic Woes Hurt Financial and Consumer Discretionary Stocks
While relatively few industry groups produced disappointing returns during the reporting period, the financials area proved to be a notable exception. Banks and brokerage firms faltered due to rising default rates on sub-prime consumer loans and weakness in the mortgage lending business. Real estate investment trusts (REITs) also sold off sharply during the reporting period due to weak housing markets. Other laggards included consumer discretionary stocks, where homebuilders, office supply superstores and retailers disappointed due to concerns over a slowdown in consumer spending.
Index Funds Offer Diversification Benefits
An as index fund, we attempt to replicate the returns of the S&P 500 Index by closely approximating the composition of the S&P 500 Index. In our view, one of the greatest benefits of an index fund is that it offers a broadly diversified investment vehicle that can help investors manage risks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding. In addition, the fund’s investments are not affected by any individual’s preference for one market or security over another. Instead, the fund employs a passive management approach in which all investment decisions are based on the composition of the S&P 500 Index.
November 15, 2007 |
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 certain 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
FUND PERFORMANCE |
† Source: Lipper Inc. Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The above graph compares a $10,000 investment made in Dreyfus S&P 500 Index Fund on 10/31/97 to a $10,000 investment made in the Standard & Poor’s 500 Composite Stock Price Index (the “Index”) on that date.All dividends and capital gain distributions are reinvested. The fund’s performance shown in the line graph takes into account all applicable fees and expenses.The Index is a widely accepted, unmanaged index of U.S. stock market performance and reflects the reinvestment of dividends daily. The Index does not take into account charges, fees and other expenses. Further information relating to fund performance, including expense reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report. |
6 |
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) 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 May 1, 2007 to October 31, 2007. 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 October 31, 2007
Expenses paid per $1,000 † | $ 2.59 | |
Ending value (after expenses) | $1,052.70 |
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 October 31, 2007
Expenses paid per $1,000 † | $ 2.55 | |
Ending value (after expenses) | $1,022.68 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
The Fund 7
STATEMENT OF INVESTMENTS October 31, 2007 |
Common Stocks—99.0% | Shares | Value ($) | ||
Consumer Discretionary—8.9% | ||||
Abercrombie & Fitch, Cl. A | 23,500 | 1,861,200 | ||
Amazon.com | 82,800 a | 7,381,620 | ||
Apollo Group, Cl. A | 38,500 a | 3,051,510 | ||
AutoNation | 37,400 a | 661,606 | ||
AutoZone | 12,400 a | 1,542,684 | ||
Bed Bath & Beyond | 73,500 a,b | 2,494,590 | ||
Best Buy | 95,025 b | 4,610,613 | ||
Big Lots | 27,600 a,b | 661,848 | ||
Black & Decker | 17,800 b | 1,600,398 | ||
Brunswick | 24,100 | 537,671 | ||
Carnival | 118,300 | 5,676,034 | ||
CBS, Cl. B | 185,612 b | 5,327,064 | ||
Centex | 32,500 b | 814,450 | ||
Circuit City Stores | 45,700 b | 362,401 | ||
Clear Channel Communications | 135,000 | 5,098,950 | ||
Coach | 101,100 a | 3,696,216 | ||
Comcast, Cl. A | 837,727 a | 17,634,155 | ||
D.R. Horton | 74,100 b | 940,329 | ||
Darden Restaurants | 38,450 | 1,653,350 | ||
Dillard’s, Cl. A | 16,500 b | 379,995 | ||
DIRECTV Group | 205,900 a | 5,452,232 | ||
Dow Jones & Co. | 17,700 | 1,058,637 | ||
E.W. Scripps, Cl. A | 24,300 | 1,093,743 | ||
Eastman Kodak | 77,800 b | 2,229,748 | ||
Expedia | 55,400 a | 1,809,364 | ||
Family Dollar Stores | 39,500 b | 1,001,325 | ||
Ford Motor | 569,092 a,b | 5,047,846 | ||
Fortune Brands | 41,500 | 3,476,455 | ||
Gannett | 63,100 | 2,676,071 | ||
Gap | 134,125 | 2,534,963 | ||
General Motors | 153,400 | 6,011,746 | ||
Genuine Parts | 46,100 | 2,262,127 | ||
Goodyear Tire & Rubber | 57,200 a,b | 1,724,580 | ||
H & R Block | 88,000 | 1,918,400 | ||
Harley-Davidson | 68,100 | 3,507,150 | ||
Harman International Industries | 17,700 | 1,490,340 |
8
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Discretionary (continued) | ||||
Harrah’s Entertainment | 50,700 | 4,474,275 | ||
Hasbro | 43,400 | 1,295,490 | ||
Home Depot | 457,703 | 14,422,222 | ||
IAC/InterActiveCorp | 51,800 a | 1,526,028 | ||
International Game Technology | 91,000 | 3,968,510 | ||
Interpublic Group of Cos. | 127,800 a,b | 1,322,730 | ||
J.C. Penney | 60,100 | 3,380,024 | ||
Johnson Controls | 161,000 b | 7,038,920 | ||
Jones Apparel Group | 25,300 b | 529,782 | ||
KB Home | 20,900 b | 577,676 | ||
Kohl’s | 86,100 a | 4,732,917 | ||
Leggett & Platt | 47,400 | 920,982 | ||
Lennar, Cl. A | 37,800 b | 863,730 | ||
Limited Brands | 86,400 b | 1,901,664 | ||
Liz Claiborne | 27,700 b | 788,619 | ||
Lowe’s Cos. | 400,800 | 10,777,512 | ||
Macy’s | 117,500 | 3,763,525 | ||
Marriott International, Cl. A | 86,600 | 3,560,126 | ||
Mattel | 107,000 | 2,235,230 | ||
McDonald’s | 323,000 | 19,283,100 | ||
McGraw-Hill Cos. | 91,900 | 4,598,676 | ||
Meredith | 10,400 | 647,400 | ||
New York Times, Cl. A | 39,000 b | 762,840 | ||
Newell Rubbermaid | 74,862 | 2,182,976 | ||
News, Cl. A | 627,500 | 13,597,925 | ||
NIKE, Cl. B | 104,800 b | 6,944,048 | ||
Nordstrom | 53,600 | 2,113,984 | ||
Office Depot | 73,900 a | 1,386,364 | ||
OfficeMax | 20,400 | 645,660 | ||
Omnicom Group | 89,000 | 4,537,220 | ||
Polo Ralph Lauren | 16,200 | 1,114,560 | ||
Pulte Homes | 57,600 b | 854,784 | ||
RadioShack | 37,300 b | 769,126 | ||
Sears Holdings | 20,562 a,b | 2,771,552 | ||
Sherwin-Williams | 29,400 | 1,879,248 | ||
Snap-On | 15,700 | 783,587 |
The Fund 9
STATEMENT OF INVESTMENTS (continued) |
Common Stocks (continued) | Shares | Value ($) | ||||
Consumer Discretionary (continued) | ||||||
Stanley Works | 22,213 | 1,278,358 | ||||
Staples | 193,475 | 4,515,707 | ||||
Starbucks | 202,000 a | 5,389,360 | ||||
Starwood Hotels & Resorts Worldwide | 56,900 | 3,235,334 | ||||
Target | 229,500 | 14,082,120 | ||||
Tiffany & Co. | 37,100 | 2,010,078 | ||||
Time Warner | 1,010,850 | 18,458,121 | ||||
TJX Cos. | 120,500 | 3,486,065 | ||||
Tribune | 20,860 | 631,224 | ||||
VF | 24,100 | 2,099,833 | ||||
Viacom, Cl. B | 186,112 a | 7,684,564 | ||||
Walt Disney | 526,100 | 18,218,843 | ||||
Wendy’s International | 23,700 | 823,812 | ||||
Whirlpool | 21,146 | 1,674,340 | ||||
Wyndham Worldwide | 48,454 | 1,590,745 | ||||
Yum! Brands | 140,940 | 5,675,654 | ||||
333,088,581 | ||||||
Consumer Staples—9.5% | ||||||
Altria Group | 570,600 | 41,613,858 | ||||
Anheuser-Busch Cos. | 203,200 | 10,420,096 | ||||
Archer-Daniels-Midland | 174,460 | 6,242,179 | ||||
Avon Products | 117,272 | 4,805,806 | ||||
Brown-Forman, Cl. B | 23,400 | 1,731,132 | ||||
Campbell Soup | 60,900 | 2,252,082 | ||||
Clorox | 37,500 | 2,346,375 | ||||
Coca-Cola | 539,300 | 33,307,168 | ||||
Coca-Cola Enterprises | 77,300 | 1,995,113 | ||||
Colgate-Palmolive | 138,200 | 10,540,514 | ||||
ConAgra Foods | 132,800 | 3,151,344 | ||||
Constellation Brands, Cl. A | 52,600 a | 1,321,312 | ||||
Costco Wholesale | 118,700 | 7,983,762 | ||||
CVS | 401,374 | 16,765,392 | ||||
Dean Foods | 35,100 | 974,727 | ||||
Estee Lauder Cos., Cl. A | 31,100 | 1,365,290 | ||||
General Mills | 89,500 | 5,166,835 | ||||
H.J. Heinz | 86,500 | 4,046,470 | ||||
Hershey | 45,800 | 1,974,438 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Staples (continued) | ||||
Kellogg | 71,900 | 3,795,601 | ||
Kimberly-Clark | 115,400 b | 8,180,706 | ||
Kraft Foods, Cl. A | 427,383 | 14,278,866 | ||
Kroger | 191,800 | 5,637,002 | ||
McCormick & Co. | 35,200 | 1,233,056 | ||
Molson Coors Brewing, Cl. B | 36,900 b | 2,111,787 | ||
Pepsi Bottling Group | 38,000 | 1,637,040 | ||
PepsiCo | 438,000 | 32,289,360 | ||
Procter & Gamble | 845,865 | 58,804,535 | ||
Reynolds American | 46,400 b | 2,989,552 | ||
Safeway | 119,000 b | 4,046,000 | ||
Sara Lee | 196,400 | 3,248,456 | ||
SUPERVALU | 56,914 | 2,205,418 | ||
SYSCO | 165,300 | 5,668,137 | ||
Tyson Foods, Cl. A | 74,600 | 1,178,680 | ||
UST | 43,200 b | 2,303,424 | ||
Wal-Mart Stores | 650,600 | 29,413,626 | ||
Walgreen | 269,300 | 10,677,745 | ||
Whole Foods Market | 37,700 b | 1,867,658 | ||
WM Wrigley Jr. | 58,900 b | 3,632,363 | ||
353,202,905 | ||||
Energy—11.6% | ||||
Anadarko Petroleum | 125,764 | 7,422,591 | ||
Apache | 89,950 | 9,337,709 | ||
Baker Hughes | 86,590 | 7,509,085 | ||
BJ Services | 79,000 | 1,990,010 | ||
Chesapeake Energy | 111,200 b | 4,390,176 | ||
Chevron | 577,826 | 52,876,857 | ||
ConocoPhillips | 441,080 | 37,474,157 | ||
Consol Energy | 49,400 | 2,791,100 | ||
Devon Energy | 120,900 | 11,292,060 | ||
El Paso | 189,875 | 3,353,193 | ||
ENSCO International | 40,100 b | 2,225,149 | ||
EOG Resources | 66,400 b | 5,883,040 | ||
Exxon Mobil | 1,503,276 | 138,286,359 | ||
Halliburton | 241,300 | 9,512,046 | ||
Hess | 75,000 | 5,370,750 |
The Fund 11
STATEMENT OF INVESTMENTS (continued) |
Common Stocks (continued) | Shares | Value ($) | ||
Energy (continued) | ||||
Marathon Oil | 193,950 | 11,468,264 | ||
Murphy Oil | 51,100 b | 3,762,493 | ||
Nabors Industries | 76,200 a | 2,139,696 | ||
National Oilwell Varco | 96,500 a | 7,067,660 | ||
Noble | 72,800 | 3,854,760 | ||
Noble Energy | 46,400 | 3,551,456 | ||
Occidental Petroleum | 225,200 | 15,550,060 | ||
Peabody Energy | 72,000 | 4,014,000 | ||
Rowan Cos. | 30,000 b | 1,169,400 | ||
Schlumberger | 323,100 | 31,201,767 | ||
Smith International | 54,400 | 3,593,120 | ||
Spectra Energy | 171,286 | 4,450,010 | ||
Sunoco | 32,600 | 2,399,360 | ||
Tesoro | 37,100 | 2,245,663 | ||
Transocean | 78,400 a | 9,358,608 | ||
Valero Energy | 150,100 | 10,571,543 | ||
Weatherford International | 91,300 a | 5,926,283 | ||
Williams Cos. | 162,700 | 5,936,923 | ||
XTO Energy | 104,600 | 6,943,348 | ||
434,918,696 | ||||
Financial—19.1% | ||||
ACE | 89,200 | 5,406,412 | ||
Aflac | 132,400 | 8,312,072 | ||
Allstate | 158,600 | 8,310,640 | ||
Ambac Financial Group | 27,550 b | 1,014,666 | ||
American Capital Strategies | 50,900 | 2,209,569 | ||
American Express | 320,600 | 19,540,570 | ||
American International Group | 695,079 | 43,873,386 | ||
Ameriprise Financial | 63,760 | 4,015,605 | ||
AON | 79,375 b | 3,597,275 | ||
Apartment Investment & Management, Cl. A | 26,200 b | 1,224,326 | ||
Assurant | 26,200 | 1,531,128 | ||
AvalonBay Communities | 21,600 | 2,649,240 | ||
Bank of America | 1,202,714 | 58,067,032 | ||
Bank of New York Mellon | 308,457 | 15,068,124 | ||
BB & T | 149,600 | 5,530,712 | ||
Bear Stearns Cos. | 31,472 | 3,575,219 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Financial (continued) | ||||
Boston Properties | 32,300 b | 3,499,382 | ||
Capital One Financial | 113,200 | 7,424,788 | ||
CB Richard Ellis Group, Cl. A | 53,400 a,b | 1,301,892 | ||
Charles Schwab | 256,900 | 5,970,356 | ||
Chubb | 106,600 | 5,687,110 | ||
Cincinnati Financial | 46,585 | 1,853,151 | ||
CIT Group | 51,700 | 1,821,908 | ||
Citigroup | 1,348,317 | 56,494,482 | ||
CME Group | 14,400 | 9,594,000 | ||
Comerica | 41,500 | 1,937,220 | ||
Commerce Bancorp | 52,100 | 2,123,075 | ||
Countrywide Financial | 156,100 b | 2,422,672 | ||
Developers Diversified Realty | 33,700 | 1,698,480 | ||
Discover Financial Services | 129,380 | 2,497,034 | ||
E*TRADE FINANCIAL | 115,300 a | 1,284,442 | ||
Equity Residential | 75,100 | 3,137,678 | ||
Fannie Mae | 263,800 | 15,047,152 | ||
Federated Investors, Cl. B | 23,700 | 1,019,100 | ||
Fifth Third Bancorp | 145,167 | 4,540,824 | ||
First Horizon National | 34,200 b | 891,936 | ||
Franklin Resources | 44,000 | 5,705,920 | ||
Freddie Mac | 176,200 | 9,202,926 | ||
General Growth Properties | 66,600 | 3,620,376 | ||
Genworth Financial, Cl. A | 120,000 | 3,276,000 | ||
Goldman Sachs Group | 110,000 | 27,271,200 | ||
Hartford Financial Services Group | 86,100 | 8,354,283 | ||
Host Hotels & Resorts | 141,600 | 3,137,856 | ||
Hudson City Bancorp | 144,100 b | 2,256,606 | ||
Huntington Bancshares | 99,174 | 1,776,206 | ||
IntercontinentalExchange | 18,800 a | 3,350,160 | ||
Janus Capital Group | 42,800 b | 1,477,028 | ||
JPMorgan Chase & Co. | 917,241 | 43,110,327 | ||
KeyCorp | 105,500 | 3,001,475 | ||
Kimco Realty | 68,400 b | 2,839,968 | ||
Legg Mason | 36,000 | 2,985,840 | ||
Lehman Brothers Holdings | 143,900 | 9,114,626 | ||
Leucadia National | 44,600 b | 2,259,436 |
The Fund 13
STATEMENT OF INVESTMENTS (continued) |
Common Stocks (continued) | Shares | Value ($) | ||
Financial (continued) | ||||
Lincoln National | 73,400 | 4,577,958 | ||
Loews | 120,500 | 5,915,345 | ||
M & T Bank | 20,300 b | 2,019,444 | ||
Marsh & McLennan Cos. | 146,900 | 3,803,241 | ||
Marshall & Ilsley | 72,200 | 3,082,940 | ||
MBIA | 34,300 | 1,476,272 | ||
Merrill Lynch & Co. | 233,600 | 15,422,272 | ||
MetLife | 201,400 | 13,866,390 | ||
MGIC Investment | 22,200 b | 429,792 | ||
Moody’s | 60,000 | 2,623,200 | ||
Morgan Stanley | 285,260 b | 19,186,588 | ||
National City | 171,600 b | 4,161,300 | ||
Northern Trust | 51,900 | 3,903,399 | ||
NYSE Euronext | 71,600 | 6,721,092 | ||
Plum Creek Timber | 47,300 | 2,112,891 | ||
PNC Financial Services Group | 92,700 | 6,689,232 | ||
Principal Financial Group | 72,000 | 4,872,240 | ||
Progressive | 196,300 | 3,631,550 | ||
ProLogis | 69,600 | 4,993,104 | ||
Prudential Financial | 124,400 | 12,031,968 | ||
Public Storage | 33,700 b | 2,728,689 | ||
Regions Financial | 190,833 | 5,175,391 | ||
Safeco | 28,200 | 1,632,780 | ||
Simon Property Group | 60,600 | 6,309,066 | ||
SLM | 111,800 | 5,272,488 | ||
Sovereign Bancorp | 97,430 b | 1,405,915 | ||
State Street | 105,600 b | 8,423,712 | ||
SunTrust Banks | 94,600 | 6,867,960 | ||
Synovus Financial | 88,750 | 2,339,450 | ||
T. Rowe Price Group | 71,900 | 4,618,856 | ||
Torchmark | 25,900 | 1,687,644 | ||
Travelers Cos. | 177,912 | 9,288,786 | ||
U.S. Bancorp | 467,953 b | 15,517,321 | ||
Unum Group | 97,795 b | 2,282,535 | ||
Vornado Realty Trust | 36,300 | 4,055,436 | ||
Wachovia | 515,781 | 23,586,665 | ||
Washington Mutual | 237,374 | 6,617,987 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Financial (continued) | ||||
Wells Fargo & Co. | 906,000 | 30,813,060 | ||
XL Capital, Cl. A | 49,300 | 3,547,135 | ||
Zions Bancorporation | 29,200 b | 1,726,012 | ||
712,329,997 | ||||
Health Care—11.5% | ||||
Abbott Laboratories | 418,900 | 22,880,318 | ||
Aetna | 138,616 | 7,786,061 | ||
Allergan | 83,300 | 5,629,414 | ||
AmerisourceBergen | 48,800 | 2,298,968 | ||
Amgen | 294,512 a | 17,114,092 | ||
Applera—Applied Biosystems Group | 49,700 | 1,845,858 | ||
Barr Pharmaceuticals | 29,100 a | 1,668,012 | ||
Baxter International | 174,800 | 10,489,748 | ||
Becton, Dickinson & Co. | 66,000 | 5,508,360 | ||
Biogen Idec | 78,085 a,b | 5,812,647 | ||
Boston Scientific | 361,610 a | 5,015,531 | ||
Bristol-Myers Squibb | 536,100 | 16,077,639 | ||
C.R. Bard | 28,000 | 2,341,080 | ||
Cardinal Health | 98,825 | 6,723,064 | ||
Celgene | 103,700 a,b | 6,844,200 | ||
CIGNA | 76,700 | 4,025,983 | ||
Coventry Health Care | 42,400 a | 2,557,144 | ||
Covidien | 134,742 | 5,605,267 | ||
Eli Lilly & Co. | 267,500 | 14,485,125 | ||
Express Scripts | 69,900 a | 4,410,690 | ||
Forest Laboratories | 85,700 a | 3,348,299 | ||
Genzyme | 71,500 a | 5,431,855 | ||
Gilead Sciences | 251,100 a | 11,598,309 | ||
Hospira | 42,570 a | 1,759,418 | ||
Humana | 45,700 a | 3,425,215 | ||
IMS Health | 52,800 | 1,331,088 | ||
Johnson & Johnson | 784,518 | 51,127,038 | ||
King Pharmaceuticals | 66,166 a | 701,360 | ||
Laboratory Corp. of America Holdings | 31,800 a,b | 2,186,250 | ||
Manor Care | 19,800 | 1,318,284 | ||
McKesson | 80,277 | 5,306,310 | ||
Medco Health Solutions | 73,391 a | 6,926,643 |
The Fund 15
STATEMENT OF INVESTMENTS (continued) |
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
Medtronic | 307,400 | 14,583,056 | ||
Merck & Co. | 589,900 | 34,367,574 | ||
Millipore | 14,600 a | 1,133,690 | ||
Mylan Laboratories | 67,400 | 1,013,696 | ||
Patterson Cos. | 37,900 a,b | 1,482,269 | ||
PerkinElmer | 32,900 | 905,408 | ||
Pfizer | 1,877,609 | 46,207,957 | ||
Quest Diagnostics | 42,400 b | 2,254,832 | ||
Schering-Plough | 438,900 | 13,395,228 | ||
St. Jude Medical | 92,400 a | 3,763,452 | ||
Stryker | 64,300 | 4,565,300 | ||
Tenet Healthcare | 128,450 a,b | 450,860 | ||
Thermo Fisher Scientific | 115,600 a | 6,798,436 | ||
UnitedHealth Group | 359,100 | 17,649,765 | ||
Varian Medical Systems | 34,300 a | 1,672,811 | ||
Waters | 27,100 a | 2,086,158 | ||
Watson Pharmaceuticals | 27,800 a | 849,568 | ||
WellPoint | 154,900 a | 12,272,727 | ||
Wyeth | 364,500 | 17,725,635 | ||
Zimmer Holdings | 64,020 a | 4,448,750 | ||
431,206,442 | ||||
Industrial—11.3% | ||||
3M | 194,000 | 16,753,840 | ||
Allied Waste Industries | 78,200 a | 988,448 | ||
American Standard Cos. | 49,200 | 1,833,684 | ||
Avery Dennison | 28,900 | 1,673,310 | ||
Boeing | 212,398 | 20,940,319 | ||
Burlington Northern Santa Fe | 81,400 | 7,094,010 | ||
C.H. Robinson Worldwide | 46,800 b | 2,336,256 | ||
Caterpillar | 173,200 | 12,922,452 | ||
Cintas | 36,600 | 1,339,560 | ||
Cooper Industries, Cl. A | 49,800 b | 2,609,022 | ||
CSX | 119,000 | 5,327,630 | ||
Cummins | 28,200 b | 3,382,872 | ||
Danaher | 66,800 b | 5,722,756 | ||
Deere & Co. | 60,100 | 9,309,490 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Industrial (continued) | ||||
Dover | 55,400 | 2,548,400 | ||
Eaton | 39,500 | 3,656,910 | ||
Emerson Electric | 214,700 | 11,222,369 | ||
Equifax | 38,700 | 1,489,950 | ||
Expeditors International Washington | 57,700 | 2,922,505 | ||
FedEx | 83,720 | 8,651,625 | ||
Fluor | 23,900 b | 3,776,200 | ||
General Dynamics | 110,000 | 10,005,600 | ||
General Electric | 2,777,200 | 114,309,552 | ||
Goodrich | 33,900 | 2,361,474 | ||
Honeywell International | 202,825 | 12,252,658 | ||
Illinois Tool Works | 113,700 | 6,510,462 | ||
Ingersoll-Rand, Cl. A | 77,700 | 3,912,195 | ||
ITT Industries | 49,100 | 3,285,772 | ||
Jacobs Engineering Group | 32,500 a | 2,832,375 | ||
L-3 Communications Holdings | 34,200 | 3,749,688 | ||
Lockheed Martin | 94,100 | 10,354,764 | ||
Masco | 99,500 | 2,395,960 | ||
Monster Worldwide | 35,900 a,b | 1,456,822 | ||
Norfolk Southern | 106,700 | 5,511,055 | ||
Northrop Grumman | 93,190 | 7,792,548 | ||
Paccar | 101,061 | 5,614,949 | ||
Pall | 33,200 | 1,330,324 | ||
Parker Hannifin | 47,275 | 3,799,492 | ||
Pitney Bowes | 59,600 | 2,386,384 | ||
Precision Castparts | 37,400 | 5,602,894 | ||
R.R. Donnelley & Sons | 60,200 | 2,425,458 | ||
Raytheon | 118,500 | 7,537,785 | ||
Robert Half International | 44,400 | 1,335,996 | ||
Rockwell Automation | 41,400 b | 2,851,632 | ||
Rockwell Collins | 45,200 | 3,381,412 | ||
Ryder System | 16,200 b | 775,170 | ||
Southwest Airlines | 202,518 b | 2,877,781 | ||
Terex | 27,600 a | 2,048,472 | ||
Textron | 67,700 | 4,685,517 | ||
Tyco International | 134,742 | 5,547,328 |
The Fund 17
STATEMENT OF INVESTMENTS (continued) |
Common Stocks (continued) | Shares | Value ($) | ||
Industrial (continued) | ||||
Union Pacific | 72,200 | 9,244,488 | ||
United Parcel Service, Cl. B | 284,500 | 21,365,950 | ||
United Technologies | 268,800 | 20,587,392 | ||
W.W. Grainger | 19,400 | 1,744,448 | ||
Waste Management | 140,700 | 5,120,073 | ||
423,495,478 | ||||
Information Technology—16.8% | ||||
Adobe Systems | 159,500 a | 7,640,050 | ||
Advanced Micro Devices | 149,100 a,b | 1,950,228 | ||
Affiliated Computer Services, Cl. A | 27,000 a | 1,367,820 | ||
Agilent Technologies | 104,816 a | 3,862,470 | ||
Akamai Technologies | 44,900 a,b | 1,759,631 | ||
Altera | 96,500 | 1,893,330 | ||
Analog Devices | 84,300 | 2,820,678 | ||
Apple | 235,700 a | 44,771,215 | ||
Applied Materials | 373,500 | 7,253,370 | ||
Autodesk | 62,300 a | 3,046,470 | ||
Automatic Data Processing | 143,900 | 7,131,684 | ||
BMC Software | 54,500 a | 1,844,280 | ||
Broadcom, Cl. A | 127,150 a | 4,138,732 | ||
CA | 105,329 b | 2,785,952 | ||
Ciena | 23,299 a,b | 1,115,090 | ||
Cisco Systems | 1,650,900 a | 54,578,754 | ||
Citrix Systems | 48,700 a | 2,093,613 | ||
Cognizant Technology Solutions, Cl. A | 78,400 a | 3,250,464 | ||
Computer Sciences | 47,200 a | 2,756,008 | ||
Compuware | 82,100 a | 821,000 | ||
Convergys | 36,700 a | 672,711 | ||
Corning | 426,400 | 10,348,728 | ||
Dell | 615,700 a | 18,840,420 | ||
eBay | 309,200 a | 11,162,120 | ||
Electronic Arts | 84,300 a | 5,152,416 | ||
Electronic Data Systems | 137,900 | 2,977,261 | ||
EMC/Massachusetts | 568,500 a | 14,434,215 | ||
Fidelity National Information Services | 46,000 | 2,121,520 |
18 |
Common Stocks (continued) | Shares | Value ($) | ||
Information Technology (continued) | ||||
Fiserv | 45,250 a | 2,506,850 | ||
Google, Cl. A | 62,600 a | 44,258,200 | ||
Hewlett-Packard | 698,766 | 36,112,227 | ||
Intel | 1,582,900 | 42,580,010 | ||
International Business Machines | 368,700 b | 42,813,444 | ||
Intuit | 91,900 a,b | 2,956,423 | ||
Jabil Circuit | 56,300 | 1,223,399 | ||
JDS Uniphase | 57,400 a,b | 875,924 | ||
Juniper Networks | 139,300 a,b | 5,014,800 | ||
KLA-Tencor | 52,400 | 2,758,860 | ||
Lexmark International, Cl. A | 25,600 a | 1,074,944 | ||
Linear Technology | 60,200 b | 1,987,804 | ||
LSI | 194,100 a,b | 1,281,060 | ||
MEMC Electronic Materials | 61,000 a | 4,466,420 | ||
Microchip Technology | 58,900 b | 1,953,713 | ||
Micron Technology | 205,100 a,b | 2,155,601 | ||
Microsoft | 2,185,400 | 80,444,574 | ||
Molex | 38,900 | 1,110,984 | ||
Motorola | 627,395 | 11,788,752 | ||
National Semiconductor | 65,200 | 1,639,128 | ||
Network Appliance | 96,400 a | 3,035,636 | ||
Novell | 94,800 a,b | 716,688 | ||
Novellus Systems | 33,600 a,b | 954,576 | ||
NVIDIA | 148,750 a | 5,262,775 | ||
Oracle | 1,067,100 a | 23,657,607 | ||
Paychex | 92,175 | 3,851,072 | ||
QLogic | 39,800 a | 618,094 | ||
QUALCOMM | 453,800 | 19,390,874 | ||
SanDisk | 61,800 a,b | 2,743,920 | ||
Sun Microsystems | 958,800 a | 5,474,748 | ||
Symantec | 243,739 a | 4,577,418 | ||
Tektronix | 20,600 | 779,710 | ||
Tellabs | 118,800 a | 1,046,628 | ||
Teradata | 48,900 a | 1,395,117 | ||
Teradyne | 51,400 a | 634,276 |
The Fund 19
STATEMENT OF INVESTMENTS (continued) |
Common Stocks (continued) | Shares | Value ($) | ||
Information Technology (continued) | ||||
Texas Instruments | 387,300 | 12,625,980 | ||
Tyco Electronics | 134,742 | 4,806,247 | ||
Unisys | 94,900 a | 576,992 | ||
VeriSign | 66,100 a,b | 2,253,349 | ||
Western Union | 209,446 | 4,616,190 | ||
Xerox | 253,700 a | 4,424,528 | ||
Xilinx | 80,200 | 1,956,880 | ||
Yahoo! | 365,100 a | 11,354,610 | ||
628,347,262 | ||||
Materials—3.3% | ||||
Air Products & Chemicals | 58,600 | 5,734,010 | ||
Alcoa | 239,648 | 9,487,664 | ||
Allegheny Technologies | 27,677 | 2,827,759 | ||
Ashland | 15,200 | 892,544 | ||
Ball | 27,800 | 1,378,324 | ||
Bemis | 28,300 | 796,928 | ||
Dow Chemical | 257,463 | 11,596,134 | ||
E.I. du Pont de Nemours & Co. | 249,512 | 12,353,339 | ||
Eastman Chemical | 22,800 | 1,518,252 | ||
Ecolab | 47,200 | 2,226,424 | ||
Freeport-McMoRan Copper & Gold | 103,421 b | 12,170,583 | ||
Hercules | 31,400 b | 590,634 | ||
International Flavors & Fragrances | 22,000 b | 1,148,620 | ||
International Paper | 116,453 | 4,304,103 | ||
MeadWestvaco | 49,711 | 1,672,278 | ||
Monsanto | 147,828 | 14,432,448 | ||
Newmont Mining | 122,425 | 6,226,536 | ||
Nucor | 78,000 | 4,837,560 | ||
Pactiv | 35,400 a,b | 972,438 | ||
PPG Industries | 44,500 | 3,325,930 | ||
Praxair | 86,700 | 7,411,116 | ||
Rohm & Haas | 34,415 b | 1,785,450 | ||
Sealed Air | 43,764 b | 1,091,037 | ||
Sigma-Aldrich | 35,600 | 1,839,452 | ||
Temple-Inland | 28,700 | 1,540,329 |
20 |
Common Stocks (continued) | Shares | Value ($) | ||
Materials (continued) | ||||
Titanium Metals | 23,700 a | 834,240 | ||
United States Steel | 32,000 | 3,452,800 | ||
Vulcan Materials | 25,900 b | 2,214,709 | ||
Weyerhaeuser | 58,500 | 4,440,735 | ||
123,102,376 | ||||
Telecommunication Services—3.6% | ||||
Alltel | 95,000 | 6,759,250 | ||
AT & T | 1,653,085 | 69,082,422 | ||
CenturyTel | 30,300 b | 1,334,715 | ||
Citizens Communications | 92,200 b | 1,213,352 | ||
Embarq | 41,342 | 2,187,819 | ||
Qwest Communications International | 433,000 a,b | 3,108,940 | ||
Sprint Nextel | 771,545 | 13,193,420 | ||
Verizon Communications | 786,756 | 36,245,849 | ||
Windstream | 129,423 | 1,740,739 | ||
134,866,506 | ||||
Utilities—3.4% | ||||
AES | 181,200 a | 3,879,492 | ||
Allegheny Energy | 45,000 | 2,729,700 | ||
Ameren | 56,300 b | 3,043,578 | ||
American Electric Power | 108,160 | 5,214,393 | ||
CenterPoint Energy | 87,066 b | 1,459,226 | ||
CMS Energy | 60,900 b | 1,033,473 | ||
Consolidated Edison | 73,400 b | 3,456,406 | ||
Constellation Energy Group | 48,900 | 4,630,830 | ||
Dominion Resources | 78,908 | 7,230,340 | ||
DTE Energy | 46,300 b | 2,296,480 | ||
Duke Energy | 341,572 | 6,547,935 | ||
Dynergy, Cl. A | 134,346 a | 1,237,327 | ||
Edison International | 88,300 | 5,134,645 | ||
Entergy | 53,000 | 6,353,110 | ||
Exelon | 182,750 b | 15,128,045 | ||
FirstEnergy | 82,602 | 5,757,359 | ||
FPL Group | 110,300 | 7,546,726 | ||
Integrys Energy | 20,574 | 1,107,087 |
The Fund 21
STATEMENT OF INVESTMENTS (continued) |
Common Stocks (continued) | Shares | Value ($) | ||
Utilities (continued) | ||||
Nicor | 12,200 b | 527,894 | ||
NiSource | 74,300 | 1,519,435 | ||
PG & E | 95,800 b | 4,687,494 | ||
Pinnacle West Capital | 27,200 b | 1,098,880 | ||
PPL | 103,800 | 5,366,460 | ||
Progress Energy | 70,169 b | 3,368,112 | ||
Public Service Enterprise Group | 68,900 | 6,586,840 | ||
Questar | 46,800 | 2,671,344 | ||
Sempra Energy | 71,566 | 4,402,025 | ||
Southern | 205,000 b | 7,515,300 | ||
TECO Energy | 57,100 | 960,993 | ||
Xcel Energy | 113,810 b | 2,566,416 | ||
125,057,345 | ||||
Total Common Stocks | ||||
(cost $2,139,489,121) | 3,699,615,588 | |||
Principal | ||||
Short-Term Investments—.1% | Amount ($) | Value ($) | ||
U.S. Treasury Bills: | ||||
3.58%, 12/27/07 | 600,000 c | 596,370 | ||
3.94%, 12/13/07 | 2,100,000 c | 2,090,550 | ||
Total Short-Term Investments | ||||
(cost $2,687,006) | 2,686,920 | |||
Other Investment—1.0% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $36,163,000) | 36,163,000 d | 36,163,000 |
22 |
Investment of Cash Collateral | ||||
for Securities Loaned—3.0% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Cash Advantage Fund | ||||
(cost $114,031,095) | 114,031,095 d | 114,031,095 | ||
Total Investments (cost $2,292,370,222) | 103.1% | 3,852,496,603 | ||
Liabilities, Less Cash and Receivables | (3.1%) | (117,124,618) | ||
Net Assets | 100.0% | 3,735,371,985 |
a Non-income producing security. |
b All or a portion of these securities are on loan. At October 31, 2007, the total market value of the fund’s securities |
on loan is $185,524,601 and the total market value of the collateral held by the fund is $189,331,850, consisting |
of cash collateral of $114,031,095, U.S. Government and agency securities valued at $73,304,155, and Letters of |
Credit valued at $1,996,600. |
c All or partially held by a broker as collateral for open financial futures positions. |
d Investment in affiliated money market mutual fund. |
Portfolio Summary | (Unaudited) † | |||||
Value (%) | Value (%) | |||||
Financial | 19.1 | Consumer Discretionary | 8.9 | |||
Information Technology | 16.8 | Short-Term/Money Market Investments | 4.1 | |||
Energy | 11.6 | Telecommunication Services | 3.6 | |||
Health Care | 11.5 | Utilities | 3.4 | |||
Industrial | 11.3 | Materials | 3.3 | |||
Consumer Staples | 9.5 | 103.1 |
† Based on net assets. |
See notes to financial statements. |
The Fund 23
STATEMENT OF FINANCIAL FUTURES
October 31, 2007
Market Value | Unrealized | |||||||
Covered by | Appreciation | |||||||
Contracts | Contracts ($) | Expiration | at 10/31/2007 ($) | |||||
Financial Futures Long | ||||||||
Standard & Poor’s 500 | 106 | 41,204,850 | December 2007 | 152,924 |
See notes to financial statements. |
24 |
STATEMENT OF ASSETS AND LIABILITIES
October 31, 2007
Cost | Value | |||
Assets ($): | ||||
Investments in securities—See Statement of | ||||
Investments (including securities on loan, | ||||
valued at $185,524,601)—Note 1(b): | ||||
Unaffiliated issuers | 2,142,176,127 | 3,702,302,508 | ||
Affiliated issuers | 150,194,095 | 150,194,095 | ||
Cash | 2,206,200 | |||
Receivable for investment securities sold | 41,833,243 | |||
Dividends and interest receivable | 3,542,496 | |||
Receivable for shares of Common Stock subscribed | 1,544,752 | |||
Receivable for futures variation margin—Note 4 | 543,211 | |||
3,902,166,505 | ||||
Liabilities ($): | ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 1,603,694 | |||
Liability for securities on loan—Note 1(b) | 114,031,095 | |||
Payable for shares of Common Stock redeemed | 51,154,182 | |||
Interest payable—Note 2 | 5,549 | |||
166,794,520 | ||||
Net Assets ($) | 3,735,371,985 | |||
Composition of Net Assets ($): | ||||
Paid-in capital | 2,196,045,615 | |||
Accumulated undistributed investment income—net | 41,767,179 | |||
Accumulated net realized gain (loss) on investments | (62,720,114) | |||
Accumulated net unrealized appreciation (depreciation) | ||||
on investments (including $152,924 net unrealized | ||||
appreciation on financial futures) | 1,560,279,305 | |||
Net Assets ($) | 3,735,371,985 | |||
Shares Outstanding | ||||
(200 million shares of $.001 par value Common Stock authorized) | 84,554,396 | |||
Net Asset Value, offering and redemption price per share—Note 3(c) ($) | 44.18 |
See notes to financial statements. |
The Fund 25
STATEMENT OF OPERATIONS Year Ended October 31, 2007 |
Investment Income ($): | ||
Income: | ||
Cash dividends: | ||
Unaffiliated issuers | 70,984,285 | |
Affiliated issuers | 1,740,483 | |
Interest | 317,669 | |
Income from securities lending | 232,715 | |
Total Income | 73,275,152 | |
Expenses: | ||
Management fee—Note 3(a) | 9,322,247 | |
Shareholder servicing costs—Note 3(b) | 9,322,247 | |
Director fees—Note 3(a) | 182,762 | |
Loan commitment fees—Note 2 | 27,060 | |
Interest expense—Note 2 | 5,549 | |
Total Expenses | 18,859,865 | |
Less—Director fees reimbursed by the Manager—Note 3(a) | (182,762) | |
Net Expenses | 18,677,103 | |
Investment Income—Net | 54,598,049 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | (17,621,821) | |
Net realized gain (loss) on financial futures | 7,562,704 | |
Net Realized Gain (Loss) | (10,059,117) | |
Net unrealized appreciation (depreciation) on investments [including | ||
($3,116,626) net unrealized (depreciation) on financial futures] | 443,748,686 | |
Net Realized and Unrealized Gain (Loss) on Investments | 433,689,569 | |
Net Increase in Net Assets Resulting from Operations | 488,287,618 |
See notes to financial statements. |
26 |
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2007 | 2006 | |||
Operations ($): | ||||
Investment income—net | 54,598,049 | 49,810,697 | ||
Net realized gain (loss) on investments | (10,059,117) | 189,411,217 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 443,748,686 | 267,236,870 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 488,287,618 | 506,458,784 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (50,050,073) | (44,603,659) | ||
Net realized gain on investments | (119,861,285) | — | ||
Total Dividends | (169,911,358) | (44,603,659) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 782,780,152 | 810,152,140 | ||
Dividends reinvested | 166,653,657 | 43,610,140 | ||
Cost of shares redeemed | (1,189,427,803) | (969,588,784) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | (239,993,994) | (115,826,504) | ||
Total Increase (Decrease) in Net Assets | 78,382,266 | 346,028,621 | ||
Net Assets ($): | ||||
Beginning of Period | 3,656,989,719 | 3,310,961,098 | ||
End of Period | 3,735,371,985 | 3,656,989,719 | ||
Undistributed investment income—net | 41,767,179 | 37,859,452 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 18,772,781 | 21,471,151 | ||
Shares issued for dividends reinvested | 4,147,396 | 1,190,232 | ||
Shares redeemed | (28,498,074) | (25,791,107) | ||
Net Increase (Decrease) in Shares Outstanding | (5,577,897) | (3,129,724) |
See notes to financial statements. |
The Fund 27
FINANCIAL HIGHLIGHTS |
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, | ||||||||||
beginning of period | 40.57 | 35.50 | 33.30 | 30.91 | 26.01 | |||||
Investment Operations: | ||||||||||
Investment income—net a | .61 | .54 | .56 | .39 | .35 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | 4.90 | 5.01 | 2.16 | 2.35 | 4.86 | |||||
Total from Investment Operations | 5.51 | 5.55 | 2.72 | 2.74 | 5.21 | |||||
Distributions: | ||||||||||
Dividends from | ||||||||||
investment income—net | (.56) | (.48) | (.52) | (.35) | (.31) | |||||
Dividends from net realized | ||||||||||
gain on investments | (1.34) | — | — | — | — | |||||
Total Distributions | (1.90) | (.48) | (.52) | (.35) | (.31) | |||||
Net asset value, end of period | 44.18 | 40.57 | 35.50 | 33.30 | 30.91 | |||||
Total Return (%) | 14.05 | 15.79 | 8.20 | 8.93 | 20.22 | |||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .51 | .50 | .50 | .50 | .52 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .50 | .50 | .50 | .50 | .52 | |||||
Ratio of net investment income | ||||||||||
to average net assets | 1.47 | 1.45 | 1.60 | 1.21 | 1.27 | |||||
Portfolio Turnover Rate | 4.71 | 5.04 | 7.24 | 1.87 | 2.17 | |||||
Net Assets, end of period | ||||||||||
($ x 1,000) | 3,735,372 | 3,656,990 | 3,310,961 | 3,116,177 | 2,803,280 |
a Based on average shares outstanding at each month end. See notes to financial statements. |
28 |
NOTES TO FINANCIAL STATEMENTS
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. On July 1, 2007, Mellon Financial Corporation (“Mellon Financial”) and The Bank of New York Company, Inc. merged, forming The Bank of New York Mellon Corporation (“BNY Mellon”).As part of this transaction, Dreyfus became a wholly-owned subsidiary of BNY Mellon. MBSC Securities 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 requires 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
The Fund 29
NOTES TO FINANCIAL STATEMENTS (continued) |
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. Registered open-ended investment companies that are not traded on an exchange are valued at their net asset value.When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the 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 fund’s 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 on the principal exchange.
The Financial Accounting Standards Board (“FASB”) released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements.The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. Management does not believe that the application of this standard will have a material impact on the financial statements of the fund.
(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
30 |
income is recognized on the ex-dividend date and interest income, is determined on the basis of coupon interest accrued, adjusted for, accretion of discount and amortization of premium on debt securities.
Pursuant to a securities lending agreement with Mellon Bank N.A. (“Mellon Bank”), an affiliate of the Manager, the fund may lend securities to qualified institutions. It is the fund’s policy that at origination all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. It is the fund’s policy that collateral equivalent to at least 100% of the market value of securities on loan is 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 is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction.Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended October 31, 2007, Mellon Bank earned $99,735, pursuant to the securities lending agreement.
(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, 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 income tax regulations, which may differ from U.S. generally accepted accounting principles.
The Fund 31
NOTES TO FINANCIAL STATEMENTS (continued) |
(e) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes. Accordingly, no provision for income tax is required.
The FASB released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management does not believe that the application of this standard will have a material impact on the financial statements of the fund.
At October 31, 2007, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $41,407,732, accumulated capital losses $9,745,815 and unrealized appreciation $1,507,664,453.
The accumulated capital loss carryover of $9,745,815 is available to be applied against future net securities profits, if any, realized subsequent to October 31, 2007. If not applied, the carryover expires in fiscal 2015.
The tax characters of distributions paid to shareholders during the fiscal periods ended October 31, 2007 and October 31, 2006, were as follows: ordinary income $50,050,073 and $44,603,659 and long-term capital gains $119,861,285 and $0, respectively.
During the period ended October 31, 2007, as a result of permanent book to tax differences, primarily due to the tax treatment for real estate investment trusts, the fund decreased accumulated undistributed
32 |
investment income-net by $640,249 and increased net realized gain (loss) on investments by the same amount. Net assets and net asset value per share were not affected by this reclassification.
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 October 31, 2007, was approximately $96,600 with a related weighted average annualized interest rate of 5.75% .
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 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”). Currently, the Company and 13 other funds (comprised of 40 portfolios) in the Dreyfus Family of Funds pay each Board member their respective allocated portion of an annual retainer of $85,000, and an attendance fee of $10,000 for each regularly scheduled Board meeting, an attendance fee of $2,000 for separate each in-person
The Fund 33
NOTES TO FINANCIAL STATEMENTS (continued) |
committee meeting that not held in conjunction with a regularly scheduled Board meeting, and an attendance fee of $1,000 for each Board meeting and separate committee meetings that are conducted by telephone. The Chairman of the Board receives an additional 25% of such compensation and the Audit Committee Chairman receives an additional $15,000 per annum. The Company also reimburses each Board member for travel and out of pocket expenses in connection with attending Board or committee meetings. 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. 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 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 October 31, 2007, the fund was charged $9,322,247 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 $801,847 and shareholder services plan fees $801,847.
(c) A 1% redemption fee is charged and retained by the fund on certain shares redeemed within 30 days of purchase subject to exceptions described in the fund’s current prospectus. During the period ended October 31, 2007, redemption fees charged and received by the fund amounted to $10,637. Effective December 1, 2007, the fund will no longer assess a redemption fee on shares that are reassessed or
34 |
exchanged before the end of the required holding period. The fund reserves the right to reimpose a redemption fee in the future.
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 October 31, 2007, amounted to $172,848,154 and $469,214,176, 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 as of October 31, 2007, are set forth in the Statement of Financial Futures.
At October 31, 2007, the cost of investments for federal income tax purposes was $2,344,832,150; accordingly, accumulated net unrealized appreciation on investments was $1,507,664,453, consisting of $1,693,293,981 gross unrealized appreciation and $185,629,528 gross unrealized depreciation.
NOTE 5—Change in Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP (“PWC”), 300 Madison Avenue, 28th Floor, New York, New York 10017, an independent registered public accounting firm, was the independent registered public accounting firm for the fund for the fiscal year ended October 31, 2006.At meet-
The Fund 35
NOTES TO FINANCIAL STATEMENTS (continued) |
ings held on December 5, 2006, the Audit Committee and the Board of Trustees of the Company engaged Ernst & Young LLP to replace PWC as the independent registered public accounting firm for the Company, effective upon the completion of services related to the audit of the 2006 financial statements of the Company.
During the Company’s past four fiscal years and any subsequent interim period: (i) no report on the Company's financial statements contained an adverse opinion or a disclaimer of opinion, or was qualified or modified as to uncertainty, audit scope, or accounting principles; and (ii) there were no “disagreements” (as such term is used in Item 304 of Regulation S-K) with PWC on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreement(s), if not resolved to the satisfaction of PWC, would have caused it to make reference to the subject matter of the disagreement(s) in connection with its report.
36 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
Shareholders and Board of Directors Dreyfus S&P 500 Index Fund
We have audited the accompanying statement of assets and liabilities, including the statements of investments and financial futures, of Dreyfus S&P 500 Index Fund (one of the funds comprising Dreyfus Index Funds, Inc.) as of October 31, 2007, and the related statement of operations, the statement of changes in net assets and financial highlights for the year then ended.These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.The statement of changes in net assets for the year ended October 31, 2006, and the financial highlights for each of indicated periods through October 31, 2006, were audited by other auditors whose report dated December 14, 2006, expressed an unqualified opinion on the statement and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2007 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from other were not received. We believe that our audit provides a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus S&P 500 Index Fund at October 31, 2007, and the results of its operations, the changes in its net asset and financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York December 20, 2007 |
The Fund 37
IMPORTANT TAX INFORMATION (Unaudited)
In accordance with federal tax law, the fund hereby designates 100% of the ordinary dividends paid during the fiscal year ended October 31, 2007 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2007, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $27,206,860 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in January 2008 of the percentage applicable to the preparation of their 2007 income tax returns.Also, the fund hereby designates $1.3370 per share as a long-term capital gain distribution of the $1.8970 per share paid on December 28, 2006, and also designates $.0040 per share as a long-term capital gain distribution paid on March 29, 2007.
38 |
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (64) Chairman of the Board (1995) |
Principal Occupation During Past 5 Years: • Corporate Director and Trustee |
Other Board Memberships and Affiliations: |
- The Muscular Dystrophy Association, Director
- Century Business Services, Inc., a provider of outsourcing functions for small and medium size companies, Director
- The Newark Group, a provider of a national market of paper recovery facilities, paperboard mills and paperboard converting plants, Director
- Sunair Services Corporation, a provider of certain outdoor-related services to homes and businesses, Director
No. of Portfolios for which Board Member Serves: 165
———————
Peggy C. Davis (64) Board Member (2006)
Principal Occupation During Past 5 Years: |
- Shad Professor of Law, New York University School of Law (1983-present)
- Writer and teacher in the fields of evidence, constitutional theory, family law, social sciences and the law, legal process and professional methodology and training
No. of Portfolios for which Board Member Serves: 65 |
———————
David P. Feldman (67) Board Member (1989) |
Principal Occupation During Past 5 Years: • Corporate Director and Trustee |
Other Board Memberships and Affiliations: |
- BBH Mutual Funds Group (11 funds), Director
- The Jeffrey Company, a private investment company, Director
No. of Portfolios for which Board Member Serves: 49 |
The Fund 39
BOARD MEMBERS INFORMATION (Unaudited) (continued)
James F. Henry (76) Board Member (2006) |
Principal Occupation During Past 5 Years: |
- President,The International Institute for Conflict Prevention and Resolution, a non-profit organization principally engaged in the development of alternatives to business litigation (Retired 2003)
- Advisor to The Elaw Forum, a consultant on managing corporate legal costs
- Advisor to John Jay Homestead (the restored home of the first U.S. Chief Justice)
- Individual Trustee of several trusts
Other Board Memberships and Affiliations: |
- Director, advisor and mediator involved in several non-profit organizations, primarily engaged in domestic and international dispute resolution, and historic preservation
No. of Portfolios for which Board Member Serves: 40 |
———————
Ehud Houminer (67) Board Member (1996)
Principal Occupation During Past 5 Years:
• Executive-in-Residence at the Columbia Business School, Columbia University
Other Board Memberships and Affiliations: |
- Avnet Inc., an electronics distributor, Director
- International Advisory Board to the MBA Program School of Management, Ben Gurion University, Chairman
No. of Portfolios for which Board Member Serves: 67
———————
Gloria Messinger (77) Board Member (1996)
Principal Occupation During Past 5 Years: |
- Arbitrator for American Arbitration Association and National Association of Securities Dealers, Inc.
- Consultant in Intellectual Property
Other Board Memberships and Affiliations: |
- Theater for a New Audience, Inc., Director
- Brooklyn Philharmonic, Director
No. of Portfolios for which Board Member Serves: 40 |
40 |
Dr. Martin Peretz (68) Board Member (2006) |
Principal Occupation During Past 5 Years: |
- Editor-in-Chief of The New Republic Magazine
- Lecturer in Social Studies at Harvard University (1965-2002)
- Director of TheStreet.com, a financial information service on the web
Other Board Memberships and Affiliations: |
- American Council of Trustees and Alumni, Director
- Pershing Square Capital Management, Adviser
- Montefiore Ventures, General Partner
- Harvard Center for Blood Research,Trustee
- Bard College,Trustee
- Board of Overseers of YIVO Institute for Jewish Research, Chairman
No. of Portfolios for which Board Member Serves: 40
———————
Anne Wexler (77) Board Member (1991)
Principal Occupation During Past 5 Years: |
- Chairman of the Wexler & Walker Public Policy Associates, consultants specializing in government relations and public affairs from January 1981 to present
Other Board Memberships and Affiliations: |
- Wilshire Mutual Funds (5 funds), Director
- The Community Foundation for the National Capital Region, Director
- Member of the Council of Foreign Relations
- Member of the National Park Foundation
No. of Portfolios for which Board Member Serves: 49 |
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is in c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-554-4611. John M. Fraser, Jr., Emeritus Board Member Dr. Paul A. Marks, Emeritus Board Member |
The Fund 41
OFFICERS OF THE FUND (Unaudited)
42
The Fund 43
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 | MBSC Securities Corporation | |
New York, NY 10166 | 200 Park Avenue | |
Custodian | New York, NY 10166 | |
Mellon Trust of New England, N.A. | ||
One Boston Place | ||
Boston, MA 02109 | ||
Ticker Symbol: PEOPX | ||
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 1-202-551-8090.
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, 2007, 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.
© 2007 MBSC Securities Corporation
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The views expressed in this report reflect those of the portfolio manager only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value
Contents | ||
THE FUND | ||
2 | A Letter from the CEO | |
3 | Discussion of Fund Performance | |
6 | Fund Performance | |
7 | Understanding Your Fund’s Expenses | |
7 | Comparing Your Fund’s Expenses | |
With Those of Other Funds | ||
8 | Statement of Investments | |
26 | Statement of Financial Futures | |
27 | Statement of Assets and Liabilities | |
28 | Statement of Operations | |
29 | Statement of Changes in Net Assets | |
30 | Financial Highlights | |
31 | Notes to Financial Statements | |
38 | Report of Independent Registered | |
Public Accounting Firm | ||
39 | Important Tax Information | |
40 | Board Members Information | |
43 | Officers of the Fund | |
FOR MORE INFORMATION | ||
Back Cover |
Dreyfus |
Smallcap Stock Index Fund |
The | Fund |
A LETTER FROM THE CEO
Dear Shareholder:
We are pleased to present this annual report for Dreyfus Smallcap Stock Index Fund, covering the 12-month period from November 1, 2006, through October 31, 2007.
After a prolonged period of relative price stability, volatility has returned to the U.S. stock market.The third quarter of 2007 provided greater swings in stock prices than we’ve seen on a relative year-to-date basis, as the economic cycle matured and credit concerns spread from the sub-prime mortgage sector of the bond market to other areas of the equity and fixed-income markets. A high degree of leverage within parts of the financial system has made recent price fluctuations more intense than they might be otherwise.
In our view, these developments signaled a shift to a new phase of the credit cycle.Although we expect somewhat slower financial conditions in the aftermath of the credit crisis, lower short-term interest rates from the Federal Reserve Board should help keep credit available to borrowers and forestall a more severe economic downturn. In addition, robust global economic growth may continue to support earnings for many U.S.-based companies. Such market events may indicate that it’s a good time to review your portfolio with your financial advisor, who can help you evaluate your investments for a changing market environment.
For information about how the fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Fund Performance given by the fund’s Portfolio Manager.
Thank you for your continued confidence and support.
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2006, through October 31, 2007, as provided by Thomas Durante, CFA, Portfolio Manager
Fund and Market Performance Overview
U.S. small-cap stocks posted generally favorable returns during the reporting period, with gains fueled by rising mergers-and-acquisitions activity, strong corporate earnings and moderate economic growth. The difference in returns between the fund and its benchmark was primarily due to the fund’s sampling strategy, transaction costs and fund operating expenses.
For the 12-month period ended October 31, 2007, Dreyfus Smallcap Stock Index Fund produced a total return of 11.15% .1 In comparison, the Standard & Poor’s 600 Index (the “S&P 600 Index”), the fund’s benchmark, produced a 11.55% return for the same period.2,3
The Fund’s Investment Approach
The fund seeks to match the total return of the S&P 600 Index by generally investing 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 stocks may be excluded from the portfolio.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.
Small-Cap Stocks Continued to Advance Despite Sub-Prime Woes
Small-cap stocks posted generally attractive returns during the reporting period despite bouts of heightened market volatility. In late February, a higher-than-expected number of delinquencies and defaults among homeowners with sub-prime mortgages resulted in heightened market turbulence. By July, weakness in the sub-prime lending sector had spread
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued)
to other areas of the financial markets, leading investors to sell riskier assets, including stocks. The Federal Reserve Board attempted to promote greater market liquidity by reducing key short-term interest rates in August, September and October, which resulted in a sharp rebound for many small-cap equities by the reporting period’s end.
Some of the small-cap market’s stronger gains stemmed from companies with government contracts. In the industrials area, parts suppliers to the defense industry advanced relatively strongly, as armor companies benefited from sales of materials used in helicopters, missile nose cones and diesel engine components. Other winners in this industry group included engineering firms that provide planning, design and construction services to government, domestic and international clients.A number of machinery companies that sell cranes and related equipment to the construction, mining and marine industries also advanced, as did firms that manufacture pump products, compressors and fluid dispensing equipment.
The information technology area also achieved sharp gains due to increased homeland security activity. For example, some of the S&P 600 Index’s stronger gains stemmed from thermal imaging and obscurant-proof camera systems that detect heat and radiation as well as makers of navigation systems and surveillance equipment used in homeland security, police and fire efforts. Other winners included companies that help other businesses improve productivity through performance management systems and firms with software technologies intent on streamlining the expense recordkeeping of the business traveler.
Gains for the S&P 600 Index also were particularly robust in the metals and mining segment of the materials sector. Steel, iron, aluminum and titanium stocks posted solid gains, in part due to robust demand for the commodities and construction materials needed to build industrial infrastructures in the world’s emerging markets. Energy stocks also fared well, with particular strength among drillers and companies that manufacture and supply parts to the drilling industry, including special alloys for tubular goods and sub-sea control systems.
4
Finally, a host of health care companies achieved attractive gains, including producers of equipment used to diagnose and treat respiratory and sleeping disorders and the makers of computer-aided mammography systems.
On the other hand,a number of the S&P 600 Index’s commercial banks, thrifts, mortgage lenders and insurance title companies languished during the reporting period due to the troubled housing market. Real estate investment trusts (REITs) also sold off sharply amid housing-related concerns. Other laggards included consumer discretionary stocks, where homebuilders, apparel retailers and restaurants disappointed due to concerns regarding slower consumer spending.
Offering a Diversified Portfolio of Midcap Stocks
As an index portfolio, our strategy is to attempt to replicate the returns of the S&P 600 Index by investing in a representative sample of the mid-cap stocks listed in the S&P 600 Index. The fund offers a diversified investment vehicle that can help investors manage the risks of investing in midcap stocks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
November 15, 2007
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 certain 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
FUND PERFORMANCE
† Source: Lipper Inc. |
Past performance is not predictive of future performance.The fund’s performance shown in the graph and table does not |
reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. |
The above graph compares a $10,000 investment made in Dreyfus Smallcap Stock Index Fund on 10/31/97 to a |
$10,000 investment made in the Standard & Poor’s SmallCap 600 Index (the “Index”) on that date. All dividends |
and capital gain distributions are reinvested. |
The fund’s performance shown in the line graph takes into account all applicable fees and expenses.The Index is a broad- |
based index and a widely accepted, unmanaged index of overall small-cap stock market performance and does not take |
into account charges, fees and other expenses. Further information relating to fund performance, including expense |
reimbursements, if applicable, is contained in the Financial Highlights section of the prospectus and elsewhere in this report. |
6
UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)
As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds.You also may pay one-time transaction expenses, including sales charges (loads) 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 May 1, 2007 to October 31, 2007. 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 October 31, 2007 | ||
Expenses paid per $1,000 † | $ 2.56 | |
Ending value (after expenses) | $1,027.50 |
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 October 31, 2007 | ||
Expenses paid per $1,000 † | $ 2.55 | |
Ending value (after expenses) | $1,022.68 |
† Expenses are equal to the fund's annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
The Fund 7
STATEMENT OF INVESTMENTS |
October 31, 2007 |
Common Stocks—100.0% | Shares | Value ($) | ||
Consumer Discretionary—14.0% | ||||
4Kids Entertainment | 16,000 a | 272,800 | ||
Aaron Rents | 93,447 b | 1,979,207 | ||
Arbitron | 48,800 b | 2,470,256 | ||
Arctic Cat | 27,200 | 392,224 | ||
Audiovox, Cl. A | 30,800 a | 369,600 | ||
Bassett Furniture Industries | 2,500 | 26,525 | ||
Big 5 Sporting Goods | 38,600 b | 689,010 | ||
Blue Nile | 28,100 a,b | 2,221,024 | ||
Bright Horizons Family Solutions | 40,000 a | 1,552,000 | ||
Brown Shoe | 78,325 b | 1,597,830 | ||
Buffalo Wild Wings | 26,500 a,b | 812,490 | ||
Building Materials Holding | 59,850 b | 470,421 | ||
Cabela’s | 63,600 a,b | 1,241,472 | ||
California Pizza Kitchen | 47,200 a | 763,696 | ||
Cato, Cl. A | 56,050 | 1,125,484 | ||
CEC Entertainment | 61,275 a | 1,825,995 | ||
Champion Enterprises | 120,849 a,b | 1,433,269 | ||
Charlotte Russe Holding | 41,900 a | 607,131 | ||
Children’s Place Retail Stores | 39,100 a,b | 1,000,960 | ||
Christopher & Banks | 55,225 b | 757,687 | ||
CKE Restaurants | 91,700 b | 1,483,706 | ||
Coachmen Industries | 24,000 | 148,800 | ||
Coinstar | 52,750 a,b | 1,817,237 | ||
CPI | 10,500 | 348,705 | ||
Crocs | 137,400 a,b | 10,270,650 | ||
Deckers Outdoor | 22,800 a,b | 3,187,212 | ||
Dress Barn | 79,600 a,b | 1,304,644 | ||
Drew Industries | 32,100 a | 1,270,518 | ||
Ethan Allen Interiors | 46,450 b | 1,433,447 | ||
Finish Line, Cl. A | 63,000 b | 236,250 | ||
Fleetwood Enterprises | 100,800 a,b | 907,200 | ||
Fossil | 78,825 a,b | 2,960,667 | ||
Fred’s, Cl. A | 79,600 b | 843,760 | ||
Genesco | 38,200 a,b | 1,764,840 | ||
Group 1 Automotive | 40,600 b | 1,260,630 | ||
Gymboree | 59,900 a,b | 2,038,397 |
8
Common Stocks (continued) | Shares | Value ($) | ||||
Consumer Discretionary (continued) | ||||||
Haverty Furniture Cos. | 39,400 b | 334,900 | ||||
Hibbett Sports | 65,050 a,b | 1,534,529 | ||||
Hot Topic | 63,000 a,b | 482,580 | ||||
Iconix Brand Group | 101,450 a,b | 2,318,132 | ||||
IHOP | 31,700 b | 2,007,561 | ||||
Jack in the Box | 113,300 a,b | 3,554,221 | ||||
JAKKS Pacific | 58,400 a,b | 1,547,600 | ||||
Jo-Ann Stores | 39,460 a | 760,394 | ||||
JoS. A. Bank Clothiers | 32,700 a,b | 955,167 | ||||
K-Swiss, Cl. A | 43,100 b | 1,008,540 | ||||
Kellwood | 46,750 | 774,648 | ||||
La-Z-Boy | 75,500 b | 595,695 | ||||
Landry’s Restaurants | 28,200 b | 809,904 | ||||
Libbey | 15,000 b | 269,850 | ||||
Lithia Motors, Cl. A | 24,400 b | 414,312 | ||||
Live Nation | 115,000 a,b | 2,350,600 | ||||
LKQ | 83,000 a,b | 3,200,480 | ||||
M/I Homes | 21,200 b | 351,920 | ||||
Maidenform Brands | 34,200 a,b | 507,870 | ||||
Marcus | 46,150 | 887,926 | ||||
MarineMax | 23,400 a,b | 333,216 | ||||
Men’s Wearhouse | 95,250 b | 4,025,265 | ||||
Meritage Homes | 33,000 a,b | 530,970 | ||||
Midas | 26,500 a,b | 423,205 | ||||
Monaco Coach | 46,200 b | 535,920 | ||||
Monarch Casino & Resort | 24,600 a,b | 752,514 | ||||
Movado Group | 36,000 b | 1,083,240 | ||||
Multimedia Games | 46,850 a,b | 413,217 | ||||
National Presto Industries | 14,200 b | 780,148 | ||||
Nautilus | 45,000 b | 289,350 | ||||
O’Charleys | 40,200 b | 644,406 | ||||
Oxford Industries | 27,900 b | 722,889 | ||||
P.F. Chang’s China Bistro | 39,000 a,b | 1,135,290 | ||||
Panera Bread, Cl. A | 54,250 a,b | 2,223,708 | ||||
Papa John’s International | 49,550 a | 1,154,515 | ||||
Peet’s Coffee & Tea | 21,900 a,b | 597,213 |
The Fund 9
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||||
Consumer Discretionary (continued) | ||||||
PEP Boys-Manny Moe & Jack | 68,050 b | 1,001,016 | ||||
PetMed Express | 30,900 a | 450,522 | ||||
Pinnacle Entertainment | 94,450 a,b | 2,757,940 | ||||
Polaris Industries | 58,850 b | 2,894,243 | ||||
Pool | 78,530 b | 1,851,737 | ||||
Pre-Paid Legal Services | 14,100 a,b | 840,360 | ||||
Quiksilver | 191,700 a,b | 2,587,950 | ||||
Radio One, Cl. D | 119,650 a,b | 417,579 | ||||
RC2 | 40,000 a,b | 1,192,800 | ||||
Red Robin Gourmet Burgers | 27,500 a,b | 1,100,550 | ||||
Russ Berrie & Co. | 14,300 a,b | 250,250 | ||||
Ruth’s Chris Steak House | 26,600 a,b | 336,224 | ||||
Select Comfort | 93,900 a,b | 1,073,277 | ||||
Shuffle Master | 66,073 a,b | 903,879 | ||||
Skechers USA, Cl. A | 58,100 a,b | 1,428,679 | ||||
Skyline | 17,000 b | 602,480 | ||||
Sonic | 106,917 a,b | 2,649,403 | ||||
Sonic Automotive, Cl. A | 55,550 b | 1,403,193 | ||||
Stage Stores | 69,300 | 1,300,068 | ||||
Stamps.com | 32,900 a,b | 456,652 | ||||
Standard Motor Products | 19,300 | 161,348 | ||||
Standard-Pacific | 104,000 b | 499,200 | ||||
Steak n Shake | 41,878 a,b | 634,452 | ||||
Stein Mart | 46,600 b | 306,162 | ||||
Sturm Ruger & Co. | 38,400 a | 359,040 | ||||
Superior Industries International | 34,100 b | 689,161 | ||||
Texas Roadhouse, Cl. A | 78,700 a | 997,129 | ||||
Tractor Supply | 54,850 a,b | 2,272,984 | ||||
Triarc Cos., Cl. B | 109,500 b | 1,226,400 | ||||
Tuesday Morning | 37,600 b | 286,512 | ||||
Tween Brands | 52,850 a,b | 1,622,495 | ||||
UniFirst | 24,700 | 929,461 | ||||
Universal Electronics | 25,050 a,b | 904,305 | ||||
Universal Technical Institute | 30,000 a | 564,900 | ||||
Volcom | 19,700 a,b | 576,225 | ||||
Winnebago Industries | 50,250 b | 1,295,445 | ||||
WMS Industries | 67,500 a | 2,340,225 |
10
Common Stocks (continued) | Shares | Value ($) | ||
Consumer Discretionary (continued) | ||||
Wolverine World Wide | 100,350 | 2,572,974 | ||
Zale | 79,200 a,b | 1,669,536 | ||
Zumiez | 29,800 a,b | 1,247,428 | ||
139,851,823 | ||||
Consumer Staples—3.2% | ||||
Alliance One International | 149,100 a | 973,623 | ||
Boston Beer, Cl. A | 14,200 a | 741,950 | ||
Casey’s General Stores | 84,750 b | 2,415,375 | ||
Central Garden & Pet, Cl. A | 115,100 a,b | 957,632 | ||
Chattem | 30,300 a,b | 2,251,290 | ||
Flowers Foods | 132,112 b | 2,898,537 | ||
Great Atlantic & Pacific Tea | 32,600 a | 1,055,262 | ||
Hain Celestial Group | 68,200 a,b | 2,391,092 | ||
J & J Snack Foods | 27,400 b | 975,988 | ||
Lance | 49,750 | 1,053,705 | ||
Longs Drug Stores | 53,550 b | 2,811,911 | ||
Mannatech | 28,000 b | 222,600 | ||
Nash Finch | 23,400 b | 876,330 | ||
Performance Food Group | 61,450 a | 1,658,536 | ||
Ralcorp Holdings | 47,150 a,b | 2,654,545 | ||
Sanderson Farms | 29,000 b | 1,009,200 | ||
Spartan Stores | 34,600 b | 769,158 | ||
Spectrum Brands | 40,000 a,b | 172,400 | ||
TreeHouse Foods | 54,250 a,b | 1,513,575 | ||
United Natural Foods | 72,500 a,b | 2,098,150 | ||
USANA Health Sciences | 19,600 a,b | 799,876 | ||
WD-40 | 32,100 b | 1,271,160 | ||
31,571,895 | ||||
Energy—7.4% | ||||
Atwood Oceanics | 47,000 a,b | 3,959,280 | ||
Basic Energy Services | 35,600 a,b | 704,524 | ||
Bristow Group | 39,200 a,b | 1,955,688 | ||
Cabot Oil & Gas | 166,750 | 6,618,307 | ||
CARBO Ceramics | 33,700 b | 1,513,804 | ||
Dril-Quip | 39,200 a,b | 2,090,536 | ||
Gulf Island Fabrication | 18,400 | 642,528 | ||
Helix Energy Solutions Group | 156,963 a,b | 7,259,539 |
The Fund 11
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||||
Energy (continued) | ||||||
Hornbeck Offshore Services | 39,200 a | 1,532,720 | ||||
ION Geophysical | 114,200 a,b | 1,730,130 | ||||
Lufkin Industries | 24,450 b | 1,453,797 | ||||
Massey Energy | 137,900 b | 4,368,672 | ||||
Matrix Service | 38,300 a | 1,129,467 | ||||
NATCO Group, Cl. A | 30,800 a | 1,641,948 | ||||
Oceaneering International | 92,250 a | 7,128,158 | ||||
Penn Virginia | 61,750 b | 2,988,700 | ||||
Petroleum Development | 26,700 a | 1,212,714 | ||||
Pioneer Drilling | 77,800 a,b | 947,604 | ||||
SEACOR Holdings | 40,150 a,b | 3,679,748 | ||||
St. Mary Land & Exploration | 106,000 b | 4,490,160 | ||||
Stone Energy | 47,300 a | 2,108,634 | ||||
Superior Well Services | 26,700 a,b | 544,680 | ||||
Swift Energy | 51,450 a,b | 2,440,274 | ||||
Tetra Technologies | 116,950 a,b | 2,302,746 | ||||
Unit | 85,000 a | 4,060,450 | ||||
W-H Energy Services | 54,650 a | 3,145,654 | ||||
World Fuel Services | 48,550 b | 2,150,280 | ||||
73,800,742 | ||||||
Financial—14.6% | ||||||
Acadia Realty Trust | 53,050 b | 1,405,825 | ||||
Alabama National BanCorporation | 26,900 | 2,120,258 | ||||
Anchor Bancorp Wisconsin | 30,200 b | 742,920 | ||||
Bank Mutual | 90,350 b | 1,003,788 | ||||
BankAtlantic Bancorp, Cl. A | 76,000 b | 312,360 | ||||
BankUnited Financial, Cl. A | 59,050 b | 509,601 | ||||
Boston Private Financial Holdings | 64,800 b | 1,863,648 | ||||
Brookline Bancorp | 102,000 b | 1,097,520 | ||||
Cascade Bancorp | 50,550 b | 972,582 | ||||
Cash America International | 56,050 | 2,185,950 | ||||
Central Pacific Financial | 54,250 b | 1,216,827 | ||||
Chittenden | 81,337 | 2,897,224 | ||||
Colonial Properties Trust | 82,400 b | 2,581,592 | ||||
Community Bank System | 55,550 b | 1,161,550 | ||||
Corus Bankshares | 70,150 b | 773,053 | ||||
Delphi Financial Group, Cl. A | 78,275 b | 3,033,156 |
12
Common Stocks (continued) | Shares | Value ($) | ||
Financial (continued) | ||||
Dime Community Bancshares | 41,250 | 593,587 | ||
Downey Financial | 31,380 b | 1,278,107 | ||
East West Bancorp | 110,100 b | 3,714,774 | ||
EastGroup Properties | 43,000 b | 2,050,240 | ||
Entertainment Properties Trust | 50,350 | 2,762,704 | ||
Essex Property Trust | 42,100 b | 5,196,403 | ||
Financial Federal | 48,300 b | 1,305,066 | ||
First BanCorp | 148,500 | 1,305,315 | ||
First Cash Financial Services | 46,550 a,b | 915,173 | ||
First Commonwealth Financial | 105,500 b | 1,212,195 | ||
First Financial Bancorp | 66,400 | 780,200 | ||
First Indiana | 23,200 | 737,760 | ||
First Midwest Bancorp | 80,574 | 2,713,732 | ||
FirstFed Financial | 26,800 a,b | 1,146,504 | ||
Flagstar Bancorp | 61,850 b | 500,366 | ||
Franklin Bank | 47,400 a,b | 366,402 | ||
Fremont General | 118,200 b | 327,414 | ||
Frontier Financial | 71,000 b | 1,575,490 | ||
Glacier Bancorp | 88,100 b | 1,791,954 | ||
Hancock Holding | 38,000 | 1,445,140 | ||
Hanmi Financial | 74,500 | 820,990 | ||
Hilb, Rogal & Hobbs | 62,050 b | 2,734,544 | ||
Independent Bank | 38,815 b | 409,886 | ||
Infinity Property & Casualty | 34,000 | 1,367,480 | ||
Inland Real Estate | 98,000 b | 1,460,200 | ||
Investment Technology Group | 76,000 a,b | 3,184,400 | ||
Irwin Financial | 31,400 b | 302,696 | ||
Kilroy Realty | 54,550 b | 3,547,932 | ||
Kite Realty Group Trust | 43,300 b | 784,596 | ||
LaBranche & Co. | 70,300 a | 385,244 | ||
LandAmerica Financial Group | 30,600 b | 850,374 | ||
Lexington Realty Trust | 105,450 b | 2,086,856 | ||
LTC Properties | 37,200 b | 942,648 | ||
Medical Properties Trust | 88,250 b | 1,158,723 | ||
Mid-America Apartment Communities | 41,000 | 2,132,000 | ||
Nara Bancorp | 40,300 b | 623,844 | ||
National Retail Properties | 126,800 b | 3,214,380 |
The Fund 13
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Financial (continued) | ||||
optionsXpress Holdings | 78,500 b | 2,336,160 | ||
Parkway Properties | 26,050 | 1,120,150 | ||
Philadelphia Consolidated Holding | 102,200 a | 4,169,760 | ||
Piper Jaffray Cos. | 29,000 a,b | 1,490,600 | ||
Portfolio Recovery Associates | 30,600 b | 1,380,366 | ||
Presidential Life | 36,900 b | 649,809 | ||
PrivateBancorp | 31,000 b | 872,960 | ||
ProAssurance | 56,750 a,b | 3,129,195 | ||
Prosperity Bancshares | 57,250 b | 1,850,320 | ||
Provident Bankshares | 53,874 | 1,329,072 | ||
PS Business Parks | 26,900 | 1,568,270 | ||
Rewards Network | 39,400 a | 193,060 | ||
RLI | 35,500 | 2,065,035 | ||
Safety Insurance Group | 33,600 | 1,208,256 | ||
Selective Insurance Group | 101,800 b | 2,474,758 | ||
Senior Housing Properties Trust | 133,650 b | 2,996,433 | ||
Signature Bank | 46,500 a,b | 1,587,975 | ||
South Financial Group | 117,500 b | 2,427,550 | ||
Sovran Self Storage | 37,500 | 1,774,125 | ||
Sterling Bancorp | 27,600 b | 405,444 | ||
Sterling Bancshares | 126,650 b | 1,545,130 | ||
Sterling Financial | 83,485 b | 1,878,413 | ||
Stewart Information Services | 28,700 b | 832,300 | ||
Susquehanna Bancshares | 91,750 b | 1,850,598 | ||
SWS Group | 37,606 b | 714,138 | ||
Tanger Factory Outlet Centers | 45,950 b | 1,935,414 | ||
Tower Group | 31,600 b | 954,004 | ||
TradeStation Group | 43,500 a | 530,700 | ||
Triad Guaranty | 19,400 a,b | 156,364 | ||
Trustco Bank NY | 128,194 b | 1,351,165 | ||
UCBH Holdings | 169,350 b | 2,890,805 | ||
Umpqua Holdings | 95,950 b | 1,624,434 | ||
United Bankshares | 61,650 b | 1,867,995 | ||
United Community Banks | 73,800 b | 1,633,932 | ||
United Fire & Casualty | 36,600 b | 1,172,664 | ||
Whitney Holding | 113,570 b | 2,914,206 | ||
Wilshire Bancorp | 37,500 b | 386,250 |
14
Common Stocks (continued) | Shares | Value ($) | ||
Financial (continued) | ||||
Wintrust Financial | 37,900 b | 1,392,446 | ||
World Acceptance | 29,800 a,b | 961,348 | ||
Zenith National Insurance | 66,000 b | 2,651,880 | ||
145,876,657 | ||||
Health Care—12.6% | ||||
Allscripts Healthcare Solutions | 95,350 a,b | 2,641,195 | ||
Alpharma, Cl. A | 75,000 a,b | 1,546,500 | ||
Amedisys | 43,766 a,b | 1,857,867 | ||
American Medical Systems Holdings | 109,000 a,b | 1,394,110 | ||
AMERIGROUP | 95,000 a | 3,325,000 | ||
AMN Healthcare Services | 42,150 a | 801,271 | ||
AmSurg | 51,950 a,b | 1,374,077 | ||
Analogic | 27,100 b | 1,548,765 | ||
ArQule | 50,500 a | 396,425 | ||
ArthroCare | 45,150 a | 2,927,526 | ||
BIOLASE Technology | 39,400 a,b | 201,334 | ||
Bradley Pharmaceuticals | 23,100 a,b | 454,377 | ||
Cambrex | 62,950 b | 717,000 | ||
Centene | 77,800 a | 1,815,074 | ||
Chemed | 42,498 b | 2,435,985 | ||
CONMED | 49,850 a | 1,417,734 | ||
Cooper Cos. | 73,900 b | 3,103,800 | ||
Cross Country Healthcare | 44,800 a | 703,808 | ||
CryoLife | 21,000 a | 141,750 | ||
Cyberonics | 30,000 a,b | 435,000 | ||
Datascope | 25,500 | 921,315 | ||
Dionex | 32,950 a | 2,899,600 | ||
DJO | 39,900 a | 1,993,005 | ||
Enzo Biochem | 52,667 a,b | 637,797 | ||
Gentiva Health Services | 57,400 a,b | 1,089,452 | ||
Greatbatch | 43,600 a,b | 1,083,896 | ||
Haemonetics | 48,650 a,b | 2,500,123 | ||
HealthExtras | 56,000 a | 1,631,840 | ||
Healthways | 57,050 a | 3,462,935 | ||
Hooper Holmes | 106,400 a | 236,208 | ||
ICU Medical | 26,600 a | 1,066,660 | ||
IDEXX Laboratories | 52,350 a,b | 6,375,183 |
The Fund 15
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
Immucor | 115,800 a,b | 3,734,550 | ||
Integra LifeSciences Holdings | 32,700 a,b | 1,584,969 | ||
Invacare | 54,850 b | 1,484,241 | ||
inVentiv Health | 52,950 a,b | 2,236,079 | ||
Kendle International | 23,300 a,b | 939,689 | ||
Kensey Nash | 19,000 a | 519,840 | ||
LCA-Vision | 38,800 b | 662,316 | ||
LHC Group | 23,700 a,b | 544,626 | ||
Lifecell | 49,600 a,b | 2,185,376 | ||
Martek Biosciences | 54,050 a,b | 1,651,228 | ||
Matria Healthcare | 39,000 a,b | 1,001,520 | ||
MedCath | 24,600 a | 682,158 | ||
Mentor | 66,000 b | 2,809,620 | ||
Meridian Bioscience | 61,050 | 2,020,145 | ||
Merit Medical Systems | 47,700 a,b | 622,485 | ||
MGI Pharma | 136,950 a,b | 4,461,831 | ||
Molina Healthcare | 24,100 a,b | 918,451 | ||
Noven Pharmaceuticals | 42,800 a,b | 661,688 | ||
Odyssey HealthCare | 57,200 a | 586,300 | ||
Osteotech | 34,500 a | 240,120 | ||
Owens & Minor | 68,000 | 2,756,720 | ||
Palomar Medical Technologies | 34,400 a | 869,976 | ||
PAREXEL International | 48,150 a,b | 2,214,900 | ||
Pediatrix Medical Group | 81,000 a | 5,305,500 | ||
PharmaNet Development Group | 34,800 a | 1,127,520 | ||
PharMerica | 48,550 a,b | 774,373 | ||
Phase Forward | 63,100 a | 1,501,149 | ||
PolyMedica | 37,800 b | 2,001,888 | ||
Possis Medical | 26,000 a | 372,060 | ||
PSS World Medical | 116,900 a,b | 2,361,380 | ||
Regeneron Pharmaceuticals | 97,450 a,b | 2,143,900 | ||
RehabCare Group | 30,100 a,b | 624,274 | ||
Res-Care | 34,600 a | 849,776 | ||
Respironics | 127,450 a | 6,380,147 | ||
Savient Pharmaceuticals | 68,500 a | 964,480 | ||
Sciele Pharma | 57,350 a,b | 1,458,984 | ||
Sierra Health Services | 94,800 a | 4,010,040 |
16
Common Stocks (continued) | Shares | Value ($) | ||
Health Care (continued) | ||||
Sunrise Senior Living | 71,500 a,b | 2,645,500 | ||
SurModics | 27,200 a,b | 1,543,328 | ||
Symmetry Medical | 57,450 a,b | 985,268 | ||
Theragenics | 59,500 a | 281,435 | ||
ViroPharma | 136,200 a,b | 1,172,682 | ||
Vital Signs | 20,000 | 1,058,000 | ||
126,087,124 | ||||
Industrial—19.5% | ||||
A.O. Smith | 42,950 b | 1,605,901 | ||
AAR | 62,300 a,b | 1,996,715 | ||
ABM Industries | 81,000 b | 1,905,120 | ||
Acuity Brands | 76,000 b | 3,632,800 | ||
Administaff | 42,000 b | 1,674,960 | ||
Albany International, Cl. A | 42,350 b | 1,588,125 | ||
Angelica | 12,100 | 209,088 | ||
Apogee Enterprises | 55,600 | 1,308,268 | ||
Applied Industrial Technologies | 69,325 | 2,457,571 | ||
Applied Signal Technology | 25,000 | 359,250 | ||
Arkansas Best | 54,500 b | 1,496,025 | ||
Astec Industries | 32,200 a | 1,459,304 | ||
ASV | 23,700 a,b | 275,868 | ||
Baldor Electric | 77,333 b | 3,118,066 | ||
Barnes Group | 73,500 b | 2,699,655 | ||
Belden | 73,312 b | 4,271,890 | ||
Bowne & Co. | 46,150 b | 802,087 | ||
Brady, Cl. A | 85,500 b | 3,154,950 | ||
Briggs & Stratton | 83,850 b | 1,887,463 | ||
C & D Technologies | 31,000 a | 149,420 | ||
Cascade | 17,100 b | 1,076,958 | ||
CDI | 30,500 b | 840,580 | ||
Ceradyne | 45,500 a,b | 3,112,655 | ||
CLARCOR | 84,650 b | 3,086,339 | ||
Consolidated Graphics | 23,000 a | 1,471,540 | ||
Cubic | 31,400 b | 1,413,000 | ||
Curtiss-Wright | 77,700 b | 4,373,733 | ||
EDO | 29,000 b | 1,682,000 | ||
EMCOR Group | 118,400 a,b | 4,076,512 |
The Fund 17
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||||
Industrial (continued) | ||||||
EnPro Industries | 43,900 a,b | 1,800,339 | ||||
Esterline Technologies | 49,200 a | 2,695,176 | ||||
Forward Air | 48,000 b | 1,566,240 | ||||
Frontier Airlines Holdings | 41,000 a,b | 289,050 | ||||
G & K Services, Cl. A | 41,700 b | 1,690,518 | ||||
Gardner Denver | 87,250 a | 3,152,342 | ||||
GenCorp | 93,450 a,b | 1,100,841 | ||||
Gibraltar Industries | 47,950 b | 864,059 | ||||
Griffon | 46,050 a | 710,551 | ||||
Healthcare Services Group | 65,150 b | 1,430,694 | ||||
Heartland Express | 96,324 b | 1,342,756 | ||||
Heidrick & Struggles International | 36,500 b | 1,577,530 | ||||
Hub Group, Cl. A | 70,400 a,b | 1,786,048 | ||||
Insituform Technologies, Cl. A | 42,100 a,b | 591,926 | ||||
Interface, Cl. A | 90,250 | 1,726,483 | ||||
Kaman | 40,400 | 1,523,484 | ||||
Kansas City Southern | 128,950 a | 4,989,076 | ||||
Kaydon | 47,950 b | 2,579,231 | ||||
Kirby | 94,350 a,b | 4,309,908 | ||||
Knight Transportation | 86,600 b | 1,383,002 | ||||
Labor Ready | 80,250 a,b | 1,410,795 | ||||
Landstar System | 93,050 b | 3,916,475 | ||||
Lawson Products | 12,300 | 435,297 | ||||
Lennox International | 114,700 | 4,094,790 | ||||
Lindsay | 15,900 b | 782,280 | ||||
Lydall | 29,200 a | 314,192 | ||||
Magnetek | 22,000 a | 112,860 | ||||
Manitowoc | 218,700 | 10,773,162 | ||||
Mesa Air Group | 71,600 a,b | 332,940 | ||||
Mobile Mini | 53,850 a,b | 965,531 | ||||
Moog, Cl. A | 70,575 a | 3,257,036 | ||||
Mueller Industries | 71,200 | 2,560,352 | ||||
NCI Building Systems | 33,800 a,b | 1,324,284 | ||||
Old Dominion Freight Line | 46,000 a,b | 1,039,140 | ||||
On Assignment | 50,000 a,b | 417,000 | ||||
Patriot Coal | 44,000 a | 1,564,200 | ||||
Radiant Systems | 41,000 a | 669,120 |
18
Common Stocks (continued) | Shares | Value ($) | ||||
Industrial (continued) | ||||||
Regal-Beloit | 56,150 b | 2,753,596 | ||||
Robbins & Myers | 30,700 b | 2,219,610 | ||||
School Specialty | 34,700 a,b | 1,171,125 | ||||
Shaw Group | 140,300 a,b | 10,466,380 | ||||
Simpson Manufacturing | 64,550 b | 1,935,855 | ||||
SkyWest | 109,300 b | 2,982,797 | ||||
Spherion | 123,800 a | 1,079,536 | ||||
Standard Register | 19,100 b | 245,053 | ||||
Standex International | 28,500 | 611,040 | ||||
Teledyne Technologies | 57,250 a | 2,994,748 | ||||
Tetra Tech | 103,006 a,b | 2,405,190 | ||||
Toro | 69,800 b | 3,885,068 | ||||
Tredegar | 50,650 b | 882,323 | ||||
Triumph Group | 30,900 b | 2,460,258 | ||||
United Stationers | 50,050 a | 2,898,396 | ||||
Universal Forest Products | 31,500 b | 1,128,015 | ||||
URS | 91,850 a,b | 5,677,249 | ||||
Valmont Industries | 29,200 b | 2,795,024 | ||||
Viad | 35,000 b | 1,240,400 | ||||
Vicor | 33,000 b | 463,320 | ||||
Volt Information Sciences | 24,500 a | 380,975 | ||||
Wabash National | 48,650 b | 493,798 | ||||
Waste Connections | 116,175 a,b | 3,927,877 | ||||
Watsco | 42,300 b | 1,761,372 | ||||
Watson Wyatt Worldwide, Cl. A | 79,300 b | 3,780,231 | ||||
Watts Water Technologies, Cl. A | 46,150 b | 1,312,045 | ||||
Woodward Governor | 55,450 b | 3,715,150 | ||||
193,930,982 | ||||||
Information Technology—19.1% | ||||||
Actel | 54,350 a,b | 619,046 | ||||
Adaptec | 198,850 a,b | 701,940 | ||||
Advanced Energy Industries | 67,800 a,b | 1,084,800 | ||||
Agilysys | 40,750 | 704,975 | ||||
AMIS Holdings | 102,050 a | 782,723 | ||||
Anixter International | 51,750 a,b | 3,718,237 | ||||
Ansoft | 27,200 a | 818,176 | ||||
ANSYS | 130,550 a | 5,066,645 |
The Fund 19
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Information Technology (continued) | ||||
Arris Group | 187,200 a,b | 2,152,800 | ||
ATMI | 61,050 a | 1,962,147 | ||
Authorize.Net Holdings | 47,600 a | 1,112,412 | ||
Avid Technology | 69,920 a,b | 2,054,948 | ||
Axcelis Technologies | 170,150 a,b | 798,003 | ||
Bankrate | 19,500 a,b | 896,025 | ||
Bel Fuse, Cl. B | 28,500 b | 906,870 | ||
Bell Microproducts | 41,000 a | 245,590 | ||
Benchmark Electronics | 124,600 a | 2,555,546 | ||
Black Box | 29,400 | 1,175,412 | ||
Blackbaud | 78,500 b | 2,115,575 | ||
Blue Coat Systems | 55,400 a,b | 2,248,686 | ||
Brightpoint | 83,190 a,b | 1,347,678 | ||
Brooks Automation | 125,798 a,b | 1,632,858 | ||
C-COR | 80,650 a,b | 988,769 | ||
Cabot Microelectronics | 45,800 a,b | 1,817,344 | ||
CACI International, Cl. A | 53,850 a,b | 2,899,822 | ||
Captaris | 52,900 a | 244,927 | ||
Catapult Communications | 15,950 a | 118,508 | ||
Checkpoint Systems | 67,400 a | 2,038,850 | ||
CIBER | 75,600 a | 588,924 | ||
Cognex | 76,300 | 1,371,874 | ||
Coherent | 56,900 a,b | 1,866,320 | ||
Cohu | 45,700 b | 749,480 | ||
Comtech Telecommunications | 42,300 a,b | 2,294,775 | ||
Concur Technologies | 62,300 a | 2,245,292 | ||
CTS | 62,850 | 776,197 | ||
CyberSource | 49,900 a,b | 815,865 | ||
Cymer | 63,500 a,b | 2,698,750 | ||
Daktronics | 46,000 b | 1,371,720 | ||
DealerTrack Holdings | 47,800 a | 2,346,502 | ||
Digi International | 50,800 a | 814,832 | ||
Diodes | 46,550 a,b | 1,538,943 | ||
Ditech Networks | 58,000 a,b | 288,260 | ||
DSP Group | 55,650 a,b | 878,713 | ||
Electro Scientific Industries | 48,750 a,b | 1,063,725 | ||
Epicor Software | 101,050 a,b | 1,180,264 |
20
Common Stocks (continued) | Shares | Value ($) | ||
Information Technology (continued) | ||||
EPIQ Systems | 38,050 a | 737,789 | ||
Exar | 91,100 a,b | 1,107,776 | ||
FactSet Research Systems | 72,900 b | 5,140,908 | ||
FARO Technologies | 26,000 a | 747,760 | ||
FEI | 52,000 a,b | 1,508,520 | ||
FLIR Systems | 112,600 a,b | 7,813,314 | ||
Gerber Scientific | 32,300 a,b | 356,915 | ||
Gevity HR | 39,500 b | 394,210 | ||
Harmonic | 114,600 a | 1,411,872 | ||
Hutchinson Technology | 38,800 a,b | 920,724 | ||
Informatica | 155,000 a,b | 2,647,400 | ||
InfoSpace | 54,350 b | 1,050,585 | ||
Insight Enterprises | 83,800 a | 2,316,232 | ||
Intevac | 27,700 a | 486,689 | ||
Itron | 50,850 a,b | 5,465,867 | ||
j2 Global Communications | 88,750 a,b | 2,989,988 | ||
JDA Software Group | 42,250 a | 1,054,560 | ||
Keithley Instruments | 30,400 | 305,216 | ||
Knot | 44,300 a,b | 858,977 | ||
Kopin | 110,000 a | 437,800 | ||
Kulicke & Soffa Industries | 94,050 a,b | 711,959 | ||
Littelfuse | 42,200 a,b | 1,343,226 | ||
LoJack | 37,400 a | 657,118 | ||
Manhattan Associates | 53,950 a | 1,627,132 | ||
ManTech International, Cl. A | 39,900 a,b | 1,586,424 | ||
MAXIMUS | 38,300 b | 1,835,336 | ||
Mercury Computer Systems | 24,400 a | 381,616 | ||
Methode Electronics | 72,300 | 906,642 | ||
Micros Systems | 72,500 a,b | 5,206,950 | ||
Microsemi | 119,700 a,b | 3,185,217 | ||
MIVA | 14,500 a | 46,110 | ||
MKS Instruments | 84,650 a | 1,699,772 | ||
MTS Systems | 35,600 b | 1,583,844 | ||
Napster | 69,000 a | 224,250 | ||
NETGEAR | 57,250 a,b | 2,023,215 | ||
Network Equipment Technologies | 20,300 a | 302,470 | ||
Newport | 74,500 a,b | 1,018,415 |
The Fund 21
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Information Technology (continued) | ||||
Novatel Wireless | 51,700 a,b | 1,344,200 | ||
Omnicell | 54,300 a,b | 1,433,520 | ||
Park Electrochemical | 44,850 | 1,404,702 | ||
PC-Tel | 38,500 a | 335,335 | ||
Perficient | 52,400 a,b | 987,740 | ||
Pericom Semiconductor | 41,300 a,b | 617,022 | ||
Phoenix Technologies | 28,600 a | 327,470 | ||
Photon Dynamics | 34,200 a,b | 351,576 | ||
Photronics | 71,500 a | 782,210 | ||
Planar Systems | 46,600 a,b | 317,812 | ||
Plexus | 84,550 a,b | 2,181,390 | ||
Progress Software | 73,600 a | 2,407,456 | ||
Quality Systems | 31,500 b | 1,141,245 | ||
Radisys | 35,500 a,b | 477,475 | ||
Rogers | 27,000 a | 1,323,810 | ||
Rudolph Technologies | 56,100 a,b | 730,983 | ||
ScanSource | 45,200 a | 1,669,688 | ||
Secure Computing | 87,000 a,b | 861,300 | ||
SI International | 25,000 a | 705,250 | ||
Skyworks Solutions | 269,800 a,b | 2,487,556 | ||
Smith Micro Software | 41,300 a,b | 636,433 | ||
Sonic Solutions | 59,000 a,b | 708,000 | ||
SPSS | 34,300 a | 1,303,400 | ||
Standard Microsystems | 38,600 a,b | 1,505,400 | ||
StarTek | 16,000 | 172,000 | ||
Stratasys | 34,800 a,b | 905,844 | ||
Supertex | 26,700 a,b | 975,618 | ||
Sykes Enterprises | 55,050 a,b | 971,633 | ||
Symmetricom | 73,950 a,b | 350,523 | ||
Synaptics | 38,800 a,b | 2,108,780 | ||
SYNNEX | 24,500 a,b | 548,065 | ||
Take-Two Interactive Software | 109,000 a,b | 2,047,020 | ||
Technitrol | 75,500 | 2,220,455 | ||
THQ | 112,725 a,b | 3,053,720 | ||
Tollgrade Communications | 25,000 a | 201,000 | ||
Trimble Navigation | 202,350 a | 8,437,995 | ||
TTM Technologies | 65,050 a | 834,592 |
22
Common Stocks (continued) | Shares | Value ($) | ||
Information Technology (continued) | ||||
Tyler Technologies | 51,300 a,b | 826,956 | ||
Ultratech | 34,000 a | 394,060 | ||
United Online | 114,000 b | 2,006,400 | ||
Varian Semiconductor | ||||
Equipment Associates | 126,950 a,b | 5,842,239 | ||
Veeco Instruments | 52,350 a,b | 945,965 | ||
ViaSat | 43,700 a,b | 1,332,850 | ||
Websense | 87,200 a,b | 1,604,480 | ||
X-Rite | 45,650 | 634,992 | ||
190,248,706 | ||||
Materials—4.3% | ||||
A.M. Castle & Co. | 23,700 b | 713,370 | ||
AMCOL International | 36,000 b | 1,452,240 | ||
AptarGroup | 120,800 b | 5,399,760 | ||
Arch Chemicals | 48,900 b | 2,230,818 | ||
Brush Engineered Materials | 32,000 a,b | 1,545,600 | ||
Buckeye Technologies | 72,700 a | 1,302,784 | ||
Caraustar Industries | 49,000 a,b | 197,960 | ||
Century Aluminum | 48,550 a,b | 2,825,124 | ||
Chesapeake | 36,900 | 273,429 | ||
Deltic Timber | 17,000 b | 950,640 | ||
Georgia Gulf | 53,050 b | 641,905 | ||
H.B. Fuller | 105,700 b | 3,110,751 | ||
Headwaters | 70,000 a,b | 1,004,500 | ||
Material Sciences | 31,500 a | 275,940 | ||
Myers Industries | 46,109 | 977,050 | ||
Neenah Paper | 23,600 | 802,400 | ||
OM Group | 51,850 a,b | 2,747,013 | ||
Omnova Solutions | 68,000 a | 385,560 | ||
Penford | 14,750 | 520,233 | ||
PolyOne | 186,200 a,b | 1,487,738 | ||
Quaker Chemical | 16,900 | 364,702 | ||
Quanex | 68,475 b | 2,820,485 | ||
Rock-Tenn, Cl. A | 58,350 b | 1,701,486 | ||
RTI International Metals | 35,800 a,b | 2,798,844 | ||
Schulman (A.) | 48,300 b | 1,140,363 | ||
Schweitzer-Mauduit International | 34,100 b | 955,482 |
The Fund 23
STATEMENT OF INVESTMENTS (continued)
Common Stocks (continued) | Shares | Value ($) | ||
Materials (continued) | ||||
Texas Industries | 43,000 | 3,141,580 | ||
Tronox, Cl. B | 72,500 b | 596,675 | ||
Wausau Paper | 82,300 b | 823,823 | ||
43,188,255 | ||||
Utilities—5.3% | ||||
Allete | 42,250 b | 1,845,902 | ||
American States Water | 22,050 b | 1,002,172 | ||
Atmos Energy | 160,100 b | 4,490,805 | ||
Avista | 87,850 b | 1,937,092 | ||
Central Vermont Public Service | 26,800 b | 851,704 | ||
CH Energy Group | 23,400 b | 1,093,716 | ||
Cleco | 99,250 | 2,615,237 | ||
El Paso Electric | 76,000 a | 1,850,600 | ||
Energen | 125,800 | 8,051,200 | ||
General Communication, Cl. A | 74,400 a,b | 872,712 | ||
Laclede Group | 40,500 b | 1,408,995 | ||
New Jersey Resources | 54,000 | 2,659,500 | ||
Northwest Natural Gas | 46,050 b | 2,218,229 | ||
Piedmont Natural Gas | 122,850 b | 3,136,361 | ||
South Jersey Industries | 50,450 b | 1,894,902 | ||
Southern Union | 196,722 | 6,196,743 | ||
Southwest Gas | 71,500 | 2,127,840 | ||
UGI | 189,200 | 5,036,504 | ||
UIL Holdings | 39,966 b | 1,406,004 | ||
UniSource Energy | 54,050 b | 1,714,466 | ||
52,410,684 | ||||
Total Common Stocks | ||||
(cost $762,836,481) | 996,966,868 | |||
Principal | ||||
Short-Term Investments—.0% | Amount ($) | Value ($) | ||
U.S. Treasury Bills: | ||||
3.65%, 11/23/07 | 50,000 c | 49,883 | ||
3.94%, 12/13/07 | 200,000 c | 199,100 | ||
Total Short-Term Investments | ||||
(cost $248,969) | 248,983 |
24
Other Investment—.1% | Shares | Value ($) | ||
Registered Investment Company; | ||||
Dreyfus Institutional Preferred | ||||
Plus Money Market Fund | ||||
(cost $1,217,000) | 1,217,000 d | 1,217,000 | ||
Investment of Cash Collateral | ||||
for Securities Loaned—33.0% | ||||
Registered Investment Company; | ||||
Dreyfus Institutional Cash | ||||
Advantage Plus Fund | ||||
(cost $329,665,120) | 329,665,120 d | 329,665,120 | ||
Total Investments (cost $1,093,967,570) | 133.1% | 1,328,097,971 | ||
Liabilities, Less Cash and Receivables | (33.1%) | (330,082,276) | ||
Net Assets | 100.0% | 998,015,695 |
a Non-income producing security. |
b All or a portion of these securities are on loan. At October 31, 2007, the total market value of the fund’s securities |
on loan is $334,855,016 and the total market value of the collateral held by the fund is $344,215,759, consisting |
of cash collateral of $329,665,120, U.S. Government and agency securities valued at $10,780,639, and Letters of |
Credit valued at $3,770,000. |
c All or partially held by a broker as collateral for open financial futures positions. |
d Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited) † | ||||||
Value (%) | Value (%) | |||||
Short-Term/ | Health Care | 12.6 | ||||
Money Market Investments | 33.1 | Energy | 7.4 | |||
Industrial | 19.5 | Utilities | 5.3 | |||
Information Technology | 19.1 | Materials | 4.3 | |||
Financial | 14.6 | Consumer Staples | 3.2 | |||
Consumer Discretionary | 14.0 | 133.1 |
† Based on net assets. |
See notes to financial statements. |
The Fund 25
STATEMENT OF FINANCIAL FUTURES |
October 31, 2007 |
Market Value | Unrealized | |||||||
Covered by | Appreciation | |||||||
Contracts | Contracts ($) | Expiration | at 10/31/2007 ($) | |||||
Financial Futures Long | ||||||||
Russell 2000 E-Mini | 40 | 3,329,200 | December 2007 | 25,924 |
See notes to financial statements.
26
STATEMENT OF ASSETS AND LIABILITIES |
October 31, 2007 |
Cost | Value | |||
Assets ($): | ||||
Investments in securities—See Statement of | ||||
Investments (including securities on loan, | ||||
valued at $334,855,016)—Note 1(b): | ||||
Unaffiliated issuers | 763,085,450 | 997,215,851 | ||
Affiliated issuers | 330,882,120 | 330,882,120 | ||
Cash | 662,337 | |||
Receivable for shares of Common Stock subscribed | 853,943 | |||
Receivable for investment securities sold | 740,443 | |||
Dividends and interest receivable | 690,457 | |||
Receivable for futures variation margin—Note 4 | 49,740 | |||
1,331,094,891 | ||||
Liabilities ($): | ||||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 424,066 | |||
Liability for securities on loan—Note 1(b) | 329,665,120 | |||
Payable for investment securities purchased | 2,072,626 | |||
Payable for shares of Common Stock redeemed | 910,043 | |||
Interest payable—Note 2 | 7,341 | |||
333,079,196 | ||||
Net Assets ($) | 998,015,695 | |||
Composition of Net Assets ($): | ||||
Paid-in capital | 688,118,141 | |||
Accumulated undistributed investment income—net | 4,648,652 | |||
Accumulated net realized gain (loss) on investments | 71,092,577 | |||
Accumulated net unrealized appreciation (depreciation) | ||||
on investments (including $25,924 net unrealized | ||||
appreciation on financial futures) | 234,156,325 | |||
Net Assets ($) | 998,015,695 | |||
Shares Outstanding | ||||
(200 million shares of $.001par value Common Stock authorized) | 39,208,301 | |||
Net Asset Value, offering and redemption price per share—Note 3(c) ($) | 25.45 |
See notes to financial statements.
The Fund 27
STATEMENT OF OPERATIONS |
Year Ended October 31, 2007 |
Investment Income ($): | ||
Income: | ||
Dividends (net of $4,045 foreign taxes withheld at source): | ||
Unaffiliated issuers | 9,625,253 | |
Affiliated issuers | 124,223 | |
Interest | 26,495 | |
Income from securities lending | 885,782 | |
Total Income | 10,661,753 | |
Expenses: | ||
Management fee—Note 3(a) | 2,413,767 | |
Shareholder servicing costs—Note 3(b) | 2,413,767 | |
Director fees—Note 3(a) | 48,202 | |
Interest expense—Note 2 | 13,719 | |
Loan commitment fees—Note 2 | 6,942 | |
Total Expenses | 4,896,397 | |
Less—Director fees reimbursed by the Manager—Note 3(a) | (48,202) | |
Net Expense | 4,848,195 | |
Investment Income—Net | 5,813,558 | |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | ||
Net realized gain (loss) on investments | 79,748,280 | |
Net realized gain (loss) on financial futures | 207,981 | |
Net Realized Gain (Loss) | 79,956,261 | |
Net unrealized appreciation (depreciation) on investments (including | ||
$34,424 net unrealized appreciation on financial futures) | 14,043,175 | |
Net Realized and Unrealized Gain (Loss) on Investments | 93,999,436 | |
Net Increase in Net Assets Resulting from Operations | 99,812,994 |
See notes to financial statements.
28
STATEMENT OF CHANGES IN NET ASSETS
Year Ended October 31, | ||||
2007 | 2006 | |||
Operations ($): | ||||
Investment income—net | 5,813,558 | 4,381,921 | ||
Net realized gain (loss) on investments | 79,956,261 | 33,102,638 | ||
Net unrealized appreciation | ||||
(depreciation) on investments | 14,043,175 | 74,057,383 | ||
Net Increase (Decrease) in Net Assets | ||||
Resulting from Operations | 99,812,994 | 111,541,942 | ||
Dividends to Shareholders from ($): | ||||
Investment income—net | (4,514,957) | (3,905,126) | ||
Net realized gain on investments | (35,949,561) | (8,853,881) | ||
Total Dividends | (40,464,518) | (12,759,007) | ||
Capital Stock Transactions ($): | ||||
Net proceeds from shares sold | 318,431,782 | 389,973,269 | ||
Dividends reinvested | 38,012,763 | 11,751,630 | ||
Cost of shares redeemed | (306,131,143) | (337,062,751) | ||
Increase (Decrease) in Net Assets | ||||
from Capital Stock Transactions | 50,313,402 | 64,662,148 | ||
Total Increase (Decrease) in Net Assets | 109,661,878 | 163,445,083 | ||
Net Assets ($): | ||||
Beginning of Period | 888,353,817 | 724,908,734 | ||
End of Period | 998,015,695 | 888,353,817 | ||
Undistributed investment income—net | 4,648,652 | 3,350,051 | ||
Capital Share Transactions (Shares): | ||||
Shares sold | 12,967,972 | 16,980,377 | ||
Shares issued for dividends reinvested | 1,595,403 | 544,126 | ||
Shares redeemed | (12,477,330) | (14,828,791) | ||
Net Increase (Decrease) in Shares Outstanding | 2,086,045 | 2,695,712 |
See notes to financial statements.
The Fund 29
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Year Ended October 31, | ||||||||||
2007 | 2006 | 2005 | 2004 | 2003 | ||||||
Per Share Data ($): | ||||||||||
Net asset value, beginning of period | 23.93 | 21.06 | 18.91 | 16.30 | 12.36 | |||||
Investment Operations: | ||||||||||
Investment income—net a | .15 | .12 | .11 | .11 | .06 | |||||
Net realized and unrealized | ||||||||||
gain (loss) on investments | 2.45 | 3.11 | 2.68 | 2.55 | 3.95 | |||||
Total from Investment Operations | 2.60 | 3.23 | 2.79 | 2.66 | 4.01 | |||||
Distributions: | ||||||||||
Dividends from investment income—net | (.12) | (.11) | (.10) | (.05) | (.04) | |||||
Dividends from net realized | ||||||||||
gain on investments | (.96) | (.25) | (.54) | — | (.03) | |||||
Total Distributions | (1.08) | (.36) | (.64) | (.05) | (.07) | |||||
Net asset value, end of period | 25.45 | 23.93 | 21.06 | 18.91 | 16.30 | |||||
Total Return (%) | 11.15 | 15.53 | 14.88 | 16.35 | 32.63 | |||||
Ratios/Supplemental Data (%): | ||||||||||
Ratio of total expenses | ||||||||||
to average net assets | .51 | .50 | .50 | .50 | .50 | |||||
Ratio of net expenses | ||||||||||
to average net assets | .50 | .50 | .50 | .50 | .50 | |||||
Ratio of net investment income | ||||||||||
to average net assets | .60 | .52 | .55 | .67 | .44 | |||||
Portfolio Turnover Rate | 25.08 | 25.05 | 13.64 | 15.54 | 13.52 | |||||
Net Assets, end of period ($ x 1,000) | 998,016 | 888,354 | 724,909 | 477,646 | 276,954 |
a Based on average shares outstanding at each month end. |
See notes to financial statements. |
30
NOTES TO FINANCIAL STATEMENTS
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 SmallCap 600 Index.The Dreyfus Corporation (the “Manager” or “Dreyfus”) serves as the fund’s investment adviser. On July 1, 2007, Mellon Financial Corporation (“Mellon Financial”) and The Bank of New York Company, Inc. merged, forming The Bank of New York Mellon Corporation (“BNY Mellon”). As part of this transaction, Dreyfus became a wholly-owned subsidiary of BNY Mellon. MBSC Securities 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 requires 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 31
NOTES TO FINANCIAL STATEMENTS (continued)
for valuation purposes. Bid price is used when no asked price is available. Registered open-end investment companies that are not traded on an exchange are valued at their net asset value.When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the 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. Financial futures are valued at the last sales price on the principal exchange.
The Financial Accounting Standards Board (“FASB”) released Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair-value measurements. The application of FAS 157 is required for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. Management does not believe that the application of this standard will have a material impact on the financial statements of the fund.
(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 is determined on the basis of coupon interest accrued, adjusted for accretion of discount and amortization of premium on debt securities.
32
Pursuant to a securities lending agreement with Mellon Bank, N.A, (“Mellon Bank”) an affiliate of the Manager, the fund may lend securities to qualified institutions. It is the fund’s policy that at origination all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. It is the fund’s policy that collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Cash collateral is invested in certain money market mutual funds managed by the Manager.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the leading transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended October 31, 2007, Mellon Bank earned $295,261, pursuant to the securities lending agreement.
(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 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. Accordingly, no provision for income tax is required.
The Fund 33
NOTES TO FINANCIAL STATEMENTS (continued)
The FASB released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management does not believe that the application of this standard will have a material impact on the financial statements of the fund.
At October 31, 2007, the components of accumulated earnings on a tax basis were as follows: undistributed ordinary income $10,702,733, undistributed capital gains $75,032,215 and unrealized appreciation $224,162,606.
The tax characters of distributions paid to shareholders during the fiscal periods ended October 31, 2007 and October 31, 2006, were as follows: ordinary income $4,514,957 and $5,773,253 and long-term capital gains $35,949,561 and $6,985,754, respectively.
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 October 31,2007,was approximately $241,300 with a related weighted average annualized interest rate of 5.69% .
34
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 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). Currently, the Company and 13 other funds (comprised of 40 portfolios) in the Dreyfus Family of Funds pay each Board member their respective allocated portion of an annual retainer of $85,000, and an attendance fee of $10,000 for each regularly scheduled Board meeting, an attendance fee of $2,000 for each separate in-person committee meeting that is not held in conjunction with a regularly scheduled Board meeting, and an attendance fee of $1,000 for each Board meeting and separate committee meetings that are conducted by telephone. The Chairman of the Board receives an additional 25% of such compensation and the Audit Committee Chairman receives an additional $15,000 per annum. The Company also reimburses each Board member for travel and out of pocket expenses in connection with attending Board or committee meetings. 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. 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 the
The Fund 35
NOTES TO FINANCIAL STATEMENTS (continued)
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 October 31, 2007, the fund was charged an aggregate of $2,413,767 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 $212,033 and shareholders services plan fees $212,033.
(c) A 2% redemption fee is charged and retained by the fund on certain shares redeemed within 60 days of purchase subject to exceptions described in the fund’s current prospectus. During the period ended October 31, 2007, redemption fees charged and received by the fund amounted to $20,479. Effective December 1, 2007, the fund will no longer assess a redemption fee on shares that are reassessed or exchanged before the end of the required holding period. The fund reserves the right to reimpose a redemption fee in the future.
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 October 31, 2007, amounted to $264,054,597 and $240,043,570, 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
36
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 October 31, 2007, are set forth in the Statement of Financial Futures.
At October 31, 2007, the cost of investments for federal income tax purposes was $1,103,935,365; accordingly, accumulated net unrealized appreciation on investments was $224,162,606, consisting of $300,082,146 gross unrealized appreciation and $75,919,540 gross unrealized depreciation.
NOTE 5—Change in Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP (“PWC”), 300 Madison Avenue, 28th Floor, New York, New York 10017, an independent registered public accounting firm, was the independent registered public accounting firm for the fund for the fiscal year ended October 31, 2006.At meetings held on December 5, 2006, the Audit Committee and the Board of Trustees of the Company engaged Ernst & Young LLP to replace PWC as the independent registered public accounting firm for the Company, effective upon the completion of services related to the audit of the 2006 financial statements of the Company.
During the Company’s past four fiscal years and any subsequent interim period: (i) no report on the Company’s financial statements contained an adverse opinion or a disclaimer of opinion, or was qualified or modified as to uncertainty, audit scope, or accounting principles; and (ii) there were no “disagreements” (as such term is used in Item 304 of Regulation S-K) with PWC on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreement(s), if not resolved to the satisfaction of PWC, would have caused it to make reference to the subject matter of the dis-agreement(s) in connection with its report.
The Fund 37
REPORT OF INDEPENDENT REGISTERED |
PUBLIC ACCOUNTING FIRM |
Shareholders and Board of Directors Dreyfus Smallcap Stock Index Fund
We have audited the accompanying statement of assets and liabilities, including statement of investments and financial futures, of Dreyfus Smallcap Stock Index Fund (one of the funds comprising Dreyfus Index Funds, Inc.) as of October 31, 2007, and the related statement of operations, the statement of changes in net assets and financial highlights for the year then ended.These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.The statement of changes in net assets for the year ended October 31, 2006 and the financial highlights for each of the indicated periods through October 31, 2006, were audited by other auditors whose report dated December 14, 2006, expressed an unqualified opinion on the statements and financial highlights.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement.We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances,but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting.Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of October 31, 2007 by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received.We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Dreyfus Smallcap Stock Index Fund at October 31, 2007, and the results of its operations, the changes in its net assets and financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
New York, New York December 20, 2007 |
38
IMPORTANT TAX INFORMATION (Unaudited)
For federal tax purposes, the fund also hereby designates 91.37% of the ordinary dividends paid during the fiscal year ended October 31, 2007 as qualifying for the corporate dividends received deduction. For the fiscal year ended October 31, 2007, certain dividends paid by the fund may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions paid during the fiscal year, $1,258,776 represents the maximum amount that may be considered qualified dividend income. Shareholders will receive notification in January 2008 of the percentage applicable to the preparation of their 2007 income tax returns. Also, the fund hereby designates $.9450 per share as a long-term capital gain distribution of the $1.0650 per share paid on December 27, 2006, designates $.0080 per share as a long-term capital gain distribution paid on March 29, 2007, and also designates $.0020 per share as a long-term capital gain distribution paid on June 29, 2007.
The Fund 39
BOARD MEMBERS INFORMATION (Unaudited)
Joseph S. DiMartino (64) |
Chairman of the Board (1995) |
Principal Occupation During Past 5 Years: |
• Corporate Director and Trustee |
Other Board Memberships and Affiliations: |
• The Muscular Dystrophy Association, Director |
• Century Business Services, Inc., a provider of outsourcing functions for small and medium size |
companies, Director |
• The Newark Group, a provider of a national market of paper recovery facilities, paperboard |
mills and paperboard converting plants, Director |
• Sunair Services Corporation, a provider of certain outdoor-related services to homes and |
businesses, Director |
No. of Portfolios for which Board Member Serves: 165 |
Peggy C. Davis (64) |
Board Member (2006) |
Principal Occupation During Past 5 Years: |
• Shad Professor of Law, New York University School of Law (1983-present) |
• Writer and teacher in the fields of evidence, constitutional theory, family law, social sciences |
and the law, legal process and professional methodology and training |
No. of Portfolios for which Board Member Serves: 65 |
David P. Feldman (67) |
Board Member (1989) |
Principal Occupation During Past 5 Years: |
• Corporate Director and Trustee |
Other Board Memberships and Affiliations: |
• BBH Mutual Funds Group (11 funds), Director |
• The Jeffrey Company, a private investment company, Director |
No. of Portfolios for which Board Member Serves: 49 |
40
James F. Henry (76) |
Board Member (2006) |
Principal Occupation During Past 5 Years: |
• President,The International Institute for Conflict Prevention and Resolution, a non-profit |
organization principally engaged in the development of alternatives to business litigation |
(Retired 2003) |
• Advisor to The Elaw Forum, a consultant on managing corporate legal costs |
• Advisor to John Jay Homestead (the restored home of the first U.S. Chief Justice) |
• Individual Trustee of several trusts |
Other Board Memberships and Affiliations: |
• Director, advisor and mediator involved in several non-profit organizations, primarily engaged |
in domestic and international dispute resolution, and historic preservation |
No. of Portfolios for which Board Member Serves: 40 |
Ehud Houminer (67) |
Board Member (1996) |
Principal Occupation During Past 5 Years: |
• Executive-in-Residence at the Columbia Business School, Columbia University |
Other Board Memberships and Affiliations: |
• Avnet Inc., an electronics distributor, Director |
• International Advisory Board to the MBA Program School of |
Management, Ben Gurion University, Chairman |
No. of Portfolios for which Board Member Serves: 67 |
Gloria Messinger (77) |
Board Member (1996) |
Principal Occupation During Past 5 Years: |
• Arbitrator for American Arbitration Association and National Association of Securities Dealers, Inc. |
• Consultant in Intellectual Property |
Other Board Memberships and Affiliations: |
• Theater for a New Audience, Inc., Director |
• Brooklyn Philharmonic, Director |
No. of Portfolios for which Board Member Serves: 40 |
The Fund 41
BOARD MEMBERS INFORMATION (Unaudited) (continued)
Dr. Martin Peretz (68) |
Board Member (2006) |
Principal Occupation During Past 5 Years: |
• Editor-in-Chief of The New Republic Magazine |
• Lecturer in Social Studies at Harvard University (1965-2002) |
• Director of TheStreet.com, a financial information service on the web |
Other Board Memberships and Affiliations: |
• American Council of Trustees and Alumni, Director |
• Pershing Square Capital Management, Adviser |
• Montefiore Ventures, General Partner |
• Harvard Center for Blood Research,Trustee |
• Bard College,Trustee |
• Board of Overseers of YIVO Institute for Jewish Research, Chairman |
No. of Portfolios for which Board Member Serves: 40 |
Anne Wexler (77) |
Board Member (1991) |
Principal Occupation During Past 5 Years: |
• Chairman of the Wexler & Walker Public Policy Associates, consultants specializing in |
government relations and public affairs from January 1981 to present |
Other Board Memberships and Affiliations: |
• Wilshire Mutual Funds (5 funds), Director |
• The Community Foundation for the National Capital Region, Director |
• Member of the Council of Foreign Relations |
• Member of the National Park Foundation |
No. of Portfolios for which Board Member Serves: 49 |
———————
Once elected all Board Members serve for an indefinite term, but achieve Emeritus status upon reaching age 80.The address of the Board Members and Officers is in c/o The Dreyfus Corporation, 200 Park Avenue, New York, New York 10166.Additional information about the Board Members is available in the fund’s Statement of Additional Information which can be obtained from Dreyfus free of charge by calling this toll free number: 1-800-554-4611.
John M. Fraser, Jr., Emeritus Board Member
Dr. Paul A. Marks, Emeritus Board Member
42
OFFICERS OF THE FUND (Unaudited)
J. DAVID OFFICER, President since |
December 2006. |
Chief Operating Officer,Vice Chairman and a |
Director of the Manager, and an officer of 82 |
investment companies (comprised of 165 |
portfolios) managed by the Manager. He is 59 |
years old and has been an employee of the |
Manager since April 1998. |
PHILLIP N. MAISANO, Executive Vice |
President since July 2007. |
Chief Investment Officer,Vice Chair and a |
director of the Manager, and an officer of 82 |
investment companies (comprised of 165 |
portfolios) managed by the Manager. Mr. |
Maisano also is an officer and/or Board |
member of certain other investment |
management subsidiaries of The Bank of New |
York Mellon Corporation, each of which is an |
affiliate of the Manager. He is 60 years old and |
has been an employee of the Manager since |
November 2006. Prior to joining the Manager, |
Mr. Maisano served as Chairman and Chief |
Executive Officer of EACM Advisors, an |
affiliate of the Manager, since August 2004, and |
served as Chief Executive Officer of Evaluation |
Associates, a leading institutional investment |
consulting firm, from 1988 until 2004. |
MICHAEL A. ROSENBERG, Vice President |
and Secretary since August 2005. |
Associate General Counsel of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. He is 47 years old and has been an |
employee of the Manager since October 1991. |
JAMES BITETTO, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel and Secretary of |
the Manager, and an officer of 83 investment |
companies (comprised of 182 portfolios) |
managed by the Manager. He is 41 years old |
and has been an employee of the Manager |
since December 1996. |
JONI LACKS CHARATAN, Vice President |
and Assistant Secretary since |
August 2005. |
Associate General Counsel of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. She is 51 years old and has been an |
employee of the Manager since October 1988. |
JOSEPH M. CHIOFFI, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. He is 45 years old and has been an |
employee of the Manager since June 2000. |
JANETTE E. FARRAGHER, Vice President |
and Assistant Secretary since |
August 2005. |
Associate General Counsel of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. She is 44 years old and has been an |
employee of the Manager since February 1984. |
JOHN B. HAMMALIAN, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. He is 44 years old and has been an |
employee of the Manager since February 1991. |
ROBERT R. MULLERY, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. He is 55 years old and has been an |
employee of the Manager since May 1986. |
The Fund 43
OFFICERS OF THE FUND (Unaudited) (continued)
JEFF PRUSNOFSKY, Vice President and |
Assistant Secretary since August 2005. |
Associate General Counsel of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. He is 42 years old and has been an |
employee of the Manager since October 1990. |
JAMES WINDELS, Treasurer since |
November 2001. |
Director – Mutual Fund Accounting of the |
Manager, and an officer of 83 investment |
companies (comprised of 182 portfolios) |
managed by the Manager. He is 49 years old |
and has been an employee of the Manager |
since April 1985. |
ROBERT ROBOL, Assistant Treasurer |
since August 2005. |
Senior Accounting Manager – Money Market |
and Municipal Bond Funds of the Manager, |
and an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. He is 43 years old and has been an |
employee of the Manager since October 1988. |
ROBERT SALVIOLO, Assistant Treasurer |
since May 2007. |
Senior Accounting Manager – Equity Funds of |
the Manager, and an officer of 83 investment |
companies (comprised of 182 portfolios) |
managed by the Manager. He is 40 years old |
and has been an employee of the Manager |
since June 1989. |
ROBERT SVAGNA, Assistant Treasurer |
since December 2002. |
Senior Accounting Manager – Equity Funds of |
the Manager, and an officer of 83 investment |
companies (comprised of 182 portfolios) |
managed by the Manager. He is 40 years old |
and has been an employee of the Manager |
since November 1990. |
GAVIN C. REILLY, Assistant Treasurer |
since December 2005. |
Tax Manager of the Investment Accounting |
and Support Department of the Manager, and |
an officer of 83 investment companies |
(comprised of 182 portfolios) managed by the |
Manager. He is 39 years old and has been an |
employee of the Manager since April 1991. |
JOSEPH W. CONNOLLY, Chief Compliance |
Officer since October 2004. |
Chief Compliance Officer of the Manager and |
The Dreyfus Family of Funds (83 investment |
companies, comprised of 182 portfolios). From |
November 2001 through March 2004, Mr. |
Connolly was first Vice-President, Mutual |
Fund Servicing for Mellon Global Securities |
Services. In that capacity, Mr. Connolly was |
responsible for managing Mellon’s Custody, |
Fund Accounting and Fund Administration |
services to third-party mutual fund clients. He |
is 50 years old and has served in various |
capacities with the Manager since 1980, |
including manager of the firm’s Fund |
Accounting Department from 1997 through |
October 2001. |
WILLIAM GERMENIS, Anti-Money |
Laundering Compliance Officer since |
October 2002. |
Vice President and Anti-Money Laundering |
Compliance Officer of the Distributor, and the |
Anti-Money Laundering Compliance Officer |
of 79 investment companies (comprised of 178 |
portfolios) managed by the Manager. He is 37 |
years old and has been an employee of the |
Distributor since October 1998. |
44
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There have been no amendments to, or waivers in connection with, the Code of Ethics during the period covered by this Report.
Item 3. Audit Committee Financial Expert.
The Registrant's Board has determined that David P. Feldman, a member of the Audit Committee of the Board, is an audit committee financial expert as defined by the Securities and Exchange Commission (the "SEC"). David P. Feldman is "independent" as defined by the SEC for purposes of audit committee financial expert determinations.
Item 4. Principal Accountant Fees and Services
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $120,000 in 2006 and $123,000 in 2007.
(b) Audit-Related Fees. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item 4 were $-0- in 2006 and $2,414 in 2007. These services consisted of (i) security counts required by Rule 17f-2 under the Investment Company Act of 1940, as amended.
The aggregate fees billed in the Reporting Periods for non-audit assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-investment adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliate, which required pre-approval by the Audit Committee were $-0- in 2006 and $-0- in 2007.
Note: For the second paragraph in each of (b) through (d) of this Item 4, certain of such services were not pre-approved prior to May 6, 2003, when such services were required to be pre-approved. On and after May 6, 2003, 100% of all services provided by the Auditor were pre-approved as required. For comparative purposes, the fees shown assume that all such services were pre-approved, including services that were not pre-approved prior to the compliance date of the pre-approval requirement.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning ("Tax Services") were $9,900 in 2006 and $10,500 in 2007. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or
administrative developments, (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held, and (iv) determination of Passive Foreign Investment Companies (as applicable).
The aggregate fees billed in the Reporting Periods for Tax Services by the Auditor to Service Affiliates which required pre-approval by the Audit Committee were $-0- in 2006 and $-0- in 2007.
(d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item, were $-0- in 2006 and $-0- in 2007.
The aggregate fees billed in the Reporting Periods for Non-Audit Services by the Auditor to Service Affiliates, other than the services reported in paragraphs (b) through (c) of this Item, which required pre-approval by the Audit Committee were $-0- in 2006 and $-0- in 2007.
Audit Committee Pre-Approval Policies and Procedures. The Registrant's Audit Committee has established policies and procedures (the "Policy") for pre-approval (within specified fee limits) of the Auditor's engagements for non-audit services to the Registrant and Service Affiliates without specific case-by-case consideration. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. Pre-approvals pursuant to the Policy are considered annually.
Non-Audit Fees. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the Reporting Periods were $90,000 in 2006 and $1,627,514 in 2007.
Auditor Independence. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates which were not pre-approved (not requiring pre-approval) is compatible with maintaining the Auditor's independence.
Item 5. | Audit Committee of Listed Registrants. | |
Not applicable. [CLOSED-END FUNDS ONLY] | ||
Item 6. | Schedule of Investments. | |
Not applicable. | ||
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management | |
Investment Companies. | ||
Not applicable. [CLOSED-END FUNDS ONLY] | ||
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. | |
Not applicable. [CLOSED-END FUNDS ONLY, beginning with reports for periods ended | ||
on and after December 31, 2005] | ||
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) | Code of ethics referred to in Item 2. | |
(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/ J. David Officer | |
J. David Officer | ||
President | ||
Date: | December 18, 2007 |
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/J. David Officer | |
J. David Officer | ||
President | ||
Date: | December 18, 2007 | |
By: | /s/ James Windels | |
James Windels | ||
Treasurer | ||
Date: | December 18, 2007 |
EXHIBIT INDEX
(a)(1) | Code of ethics referred to in Item 2. | |
(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) |