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: | 4/30/2009 |
FORM N-CSR |
Item 1. Reports to Stockholders.
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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 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
37 | Statement of Financial Futures |
38 | Statement of Assets and Liabilities |
39 | Statement of Operations |
40 | Statement of Changes in Net Assets |
41 | Financial Highlights |
42 | Notes to Financial Statements |
54 | Information About the Review and Approval of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus International Stock Index Fund |
The Fund |
A LETTER FROM THE CEO Dear Shareholder: |
We present to you this semiannual report for Dreyfus International Stock Index Fund, covering the six-month period from November 1, 2008, through April 30, 2009.
The international equities markets went on a wild ride over the past six months, with stocks in most regions plummeting during most of the reporting period and then rebounding late in the reporting period. In supporting the recent rally, investors apparently shrugged off more bad economic news,including rising unemployment,damaged credit markets and economic contraction in many regions of the world.Yet,the rebound proved to be robust, particularly in the emerging markets, which posted double-digit returns over the final two months of the reporting period.
These enormous swings have left investors wondering if the equities market is forecasting sustainable economic improvement, or whether these events represent what many call a bear market rally.We generally have remained cautious in the absence of real global economic progress, but the market’s gyrations illustrate an important feature of many market rallies—when they begin to snap back, the rebounds are often quick and sharp, usually leaving most investors on the sidelines. That’s why we encourage you to speak regularly with your financial consultant, who can discuss with you the potential benefits of adhering to a long-term investment strategy tailored to your current investment needs and future goals.
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.
Jonathan R. Baum Chairman and Chief Executive Officer The Dreyfus Corporation May 15, 2009 |
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2008, through April 30, 2009, as provided by Karen Q.Wong and Richard A. Brown, Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended April 30, 2009, Dreyfus International Stock Index Fund produced a total return of –3.99%.1 This compares with a –2.64% 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
International stocks generally fell sharply during the first four months of an especially volatile reporting period, but recovered a significant portion of those losses in a rally over the reporting period’s final seven weeks.The difference in returns between the fund and the Index was primarily the result of fair value pricing and transaction costs and operating expenses that are not reflected in the Index’s return.
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 1,000 companies located in developed markets outside the United States and Canada. 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.
International Equities Rebounded in Late-Term Rally
The six-month reporting period saw both staggering losses and impressive gains, as international equities lost considerable value during the first four months of the reporting period, only to rebound sharply during its final two months. The rally erased a substantial portion of the markets’ previous losses.
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued) |
When the reporting period began, investor sentiment was depressed by a global recession. Rising unemployment rates and plummeting housing prices led to economic deterioration in many parts of the world, dampening consumer spending and business investment. At the same time, the world was in the grip of a financial crisis that nearly led to the collapse of the global banking system in September 2008.The effects of the financial crisis were particularly severe among European banks, which reported massive write-downs among assets tied to troubled U.S. housing markets. In this environment, all countries and market sectors tracked by the Index had posted negative double-digit absolute returns, a testament to the depth and breadth of the bear market.
By mid-March, however, investor sentiment quickly reversed as the international equity markets responded in tandem with a strong rally occurring in the United States. The rebound was led primarily by stocks and market sectors that had been severely beaten down over the previous year.While developed international markets generally under-performed their U.S. counterpart in the rally, emerging markets fared especially well. In fact, March 2009 saw the emerging markets’ best monthly returns on record, with all regions posting double-digit gains.
From a geographic perspective, returns from the 21 countries tracked by the Index were fairly balanced over the full reporting period, with 11 countries posting positive absolute returns and the other 10 reporting losses. The Index’s better performing countries included Hong Kong, Sweden, Singapore and Portugal. Ireland, Switzerland, Austria and the United Kingdom ranked among the Index’s greater disappointments. From a market sector standpoint, stocks in the producer manufacturing, industrial services, technology services and non-energy minerals areas performed relatively well. On the other hand, laggards included the health technology, health services, utilities, consumer non-durables and finance sectors.
In the reporting period’s volatile investment environment, a handful of individual stocks advanced sharply, posting triple-digit returns, while others experienced declines of nearly the same magnitude. For example, the Index’s best performing stock for the reporting period was Fortis, a
4
financial services and insurance giant in Belgium. Hong Kong’s infrastructure developer NWS Holdings also fared especially well. In Japan, semiconductor firm Elpida Memory posted solid gains due to robust sales in its Asia/Pacific base. Nisshinbo Holdings, a conglomerate whose roots are in the textile industry but has shifted its focus to energy and the envi-ronment,also advanced.In Singapore,Golden Agri-Resources,one of the world’s largest privately owned palm oil producers, posted strong returns.
On the other hand, some of the Index’s more significant declines stemmed from the financials sector, where banks in Ireland proved particularly disappointing, including Anglo Irish Bank, Bank of Ireland, which was sold during the reporting period, and Allied Irish Banks. Other notable detractors included investment management firms KBC Groep (formerly Almancora) and Babcock & Brown, which was also sold during the reporting period, located in Belgium and Australia, respectively.
Index Funds Offer Diversification Benefits
An as index fund, we attempt to replicate the returns of the MSCI EAFE Free Index by closely approximating its composition. 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.
May 15, 2009
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
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 November 1, 2008 to April 30, 2009. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |
assuming actual returns for the six months ended April 30, 2009 | |
Expenses paid per $1,000† | $ 2.92 |
Ending value (after expenses) | $960.10 |
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 April 30, 2009 | |
Expenses paid per $1,000† | $3.01 |
Ending value (after expenses) | $1,021.82 |
† Expenses are equal to the fund’s annualized expense ratio of .60%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS April 30, 2009 (Unaudited) |
Common Stocks—95.9% | Shares | Value ($) |
Australia—6.6% | ||
AGL Energy | 22,005 | 244,446 |
Alumina | 70,659 a | 83,191 |
Amcor | 38,431 | 135,246 |
AMP | 96,078 | 366,354 |
Aristocrat Leisure | 11,022 | 29,152 |
ASX | 8,500 | 204,335 |
Australia & New Zealand Banking Group | 98,539 | 1,151,105 |
AXA Asia Pacific Holdings | 51,290 | 146,962 |
Bendigo and Adelaide Bank | 14,776 | 74,471 |
BHP Billiton | 161,473 | 3,946,959 |
Billabong International | 6,428 | 49,588 |
BlueScope Steel | 45,543 | 78,297 |
Boral | 31,989 | 96,124 |
Brambles | 63,561 | 276,453 |
Caltex Australia | 5,748 | 41,808 |
CFS Retail Property Trust | 73,735 | 89,115 |
Coca-Cola Amatil | 26,426 | 177,454 |
Cochlear | 2,820 | 102,971 |
Commonwealth Bank of Australia | 70,831 | 1,827,107 |
Computershare | 24,153 | 162,191 |
Crown | 24,659 | 124,825 |
CSL | 29,092 | 735,689 |
CSR | 81,884 | 81,216 |
Dexus Property Group | 124,847 | 66,959 |
Fairfax Media | 75,671 | 65,880 |
Fortescue Metals Group | 56,533 b | 98,022 |
Foster’s Group | 93,700 | 362,794 |
Goodman Fielder | 84,351 | 71,268 |
Goodman Group | 112,408 | 30,557 |
GPT Group | 197,360 | 68,150 |
Harvey Norman Holdings | 20,267 | 44,372 |
Incitec Pivot | 86,213 | 133,648 |
Insurance Australia Group | 98,126 | 250,163 |
James Hardie Industries | 17,335 | 58,586 |
Leighton Holdings | 7,468 | 115,605 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Australia (continued) | ||
Lend Lease | 19,573 | 103,825 |
Lion Nathan | 13,006 | 112,086 |
Macquarie Airports | 41,877 | 55,688 |
Macquarie Group | 13,494 a | 331,922 |
Macquarie Infrastructure Group | 128,485 | 127,437 |
Macquarie Office Trust | 72,900 | 10,444 |
Metcash | 38,859 | 118,767 |
Mirvac Group | 102,666 | 78,823 |
National Australia Bank | 90,070 | 1,365,178 |
Newcrest Mining | 23,261 | 511,670 |
Nufarm | 7,398 | 71,909 |
OneSteel | 46,488 | 76,165 |
Orica | 16,954 | 209,262 |
Origin Energy | 42,724 | 511,332 |
OZ Minerals | 136,918 | 75,445 |
Perpetual | 2,276 | 53,810 |
Qantas Airways | 50,905 | 74,051 |
QBE Insurance Group | 47,614 | 762,257 |
Rio Tinto | 13,819 | 654,146 |
Santos | 28,507 | 343,902 |
Sims Metal Management | 7,686 | 112,669 |
Sonic Healthcare | 18,084 | 154,918 |
SP Ausnet | 31,093 | 22,844 |
Stockland | 78,883 | 181,979 |
Suncorp-Metway | 63,798 | 276,547 |
Tabcorp Holdings | 27,671 | 151,457 |
Tatts Group | 49,315 | 100,362 |
Telstra | 212,515 | 519,928 |
Toll Holdings | 29,003 | 125,720 |
Transurban Group | 54,677 | 179,163 |
Wesfarmers | 48,856 | 812,651 |
Wesfarmers PPS | 6,282 | 104,354 |
Westfield Group | 97,312 | 767,142 |
Westpac Banking | 134,533 | 1,897,754 |
Woodside Petroleum | 23,596 | 665,355 |
8
Common Stocks (continued) | Shares | Value ($) |
Australia (continued) | ||
Woolworths | 59,012 | 1,158,475 |
WorleyParsons | 7,358 | 98,766 |
24,569,266 | ||
Austria—.3% | ||
Erste Group Bank | 8,650 | 181,155 |
OMV | 8,174 | 254,762 |
Raiffeisen International Bank Holding | 2,276 | 78,343 |
Strabag | 3,027 | 69,962 |
Telekom Austria | 15,833 | 208,560 |
Verbund-Oesterreichische | ||
Elektrizitaetswirtschafts, Cl. A | 3,755 | 154,160 |
Vienna Insurance Group | 1,580 | 61,991 |
Voestalpine | 5,954 | 114,823 |
Wienerberger | 5,305 | 62,338 |
1,186,094 | ||
Belgium—.9% | ||
Anheuser-Busch InBev | 34,715 | 1,061,177 |
Anheuser-Busch InBev (Strip) | 12,680 b | 34 |
Belgacom | 8,421 | 244,611 |
Colruyt | 821 | 187,232 |
Compagnie Nationale a Portefeuille | 1,980 | 95,745 |
Delhaize Group | 4,623 | 311,579 |
Dexia | 23,510 | 114,385 |
Fortis | 101,346 | 251,373 |
Fortis (Rights) | 88,615 b | 0 |
Groupe Bruxelles Lambert | 4,033 | 291,528 |
Groupe Bruxelles Lambert (Strip) | 236 b | 1 |
KBC Groep | 7,206 | 158,302 |
Mobistar | 1,355 | 81,359 |
Solvay | 2,706 | 232,675 |
UCB | 5,219 | 142,334 |
Umicore | 6,361 | 124,849 |
3,297,184 | ||
China—.0% | ||
Foxconn International Holdings | 83,000 b | 51,727 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Denmark—.9% | ||
AP Moller—Maersk, Cl. A | 25 | 142,859 |
AP Moller—Maersk, Cl. B | 55 | 319,161 |
Carlsberg, Cl. B | 3,600 | 173,995 |
Coloplast, Cl. B | 1,008 | 68,997 |
Danisco | 2,601 | 85,432 |
Danske Bank | 21,480 b | 234,710 |
DSV | 7,861 | 89,370 |
FLSmidth & Co. | 2,893 b | 92,721 |
Jyske Bank | 2,430 b | 62,567 |
Novo Nordisk, Cl. B | 21,571 | 1,025,099 |
Novozymes, Cl. B | 2,071 | 140,923 |
Topdanmark | 849 b | 100,686 |
TrygVesta | 1,123 | 61,593 |
Vestas Wind Systems | 8,966 b | 584,475 |
William Demant Holding | 1,278 b | 60,716 |
3,243,304 | ||
Finland—1.3% | ||
Elisa | 7,550 | 100,380 |
Fortum | 20,594 | 416,126 |
Kesko, Cl. B | 3,623 | 94,272 |
Kone, Cl. B | 6,876 | 188,338 |
Metso | 7,011 | 107,641 |
Neste Oil | 6,406 | 83,029 |
Nokia | 182,950 | 2,611,434 |
Nokian Renkaat | 5,217 | 82,856 |
Orion, Cl. B | 4,426 | 64,275 |
Outokumpu | 5,850 | 87,077 |
Pohjola Bank, Cl. A | 4,143 | 30,737 |
Rautaruukki | 4,060 | 75,949 |
Sampo, Cl. A | 20,722 | 388,237 |
Sanoma | 4,669 | 61,529 |
Stora Enso, Cl. R | 26,830 b | 154,100 |
UPM-Kymmene | 25,043 | 224,256 |
Wartsila | 4,284 | 141,167 |
4,911,403 |
10
Common Stocks (continued) | Shares | Value ($) |
France—9.8% | ||
Accor | 8,816 | 374,799 |
ADP | 1,537 | 88,591 |
Air France-KLM | 5,450 | 60,412 |
Air Liquide | 11,944 | 975,585 |
Alcatel-Lucent | 114,334 b | 289,847 |
Alstom | 10,309 | 645,277 |
Atos Origin | 3,536 | 109,727 |
AXA | 74,630 | 1,245,471 |
BioMerieux | 527 | 39,541 |
BNP Paribas | 39,509 | 2,083,336 |
Bouygues | 11,597 | 497,411 |
Bureau Veritas | 1,854 | 75,654 |
Cap Gemini | 6,816 | 255,150 |
Carrefour | 30,566 | 1,238,008 |
Casino Guichard Perrachon | 2,097 | 131,564 |
Christian Dior | 2,481 | 166,897 |
Cie de Saint-Gobain | 17,815 | 638,066 |
Cie Generale d’Optique Essilor International | 9,331 | 402,222 |
CNP Assurances | 1,673 | 132,316 |
Compagnie Generale de Geophysique-Veritas | 8,008 b | 115,729 |
Compagnie Generale des | ||
Etablissements Michelin, Cl. B | 7,100 | 362,810 |
Credit Agricole | 43,023 | 625,019 |
Dassault Systemes | 3,061 | 126,413 |
Eiffage | 1,580 | 81,522 |
Electricite de France | 9,286 | 430,547 |
Eramet | 224 | 48,074 |
Eurazeo | 1,602 | 65,383 |
Eutelsat Communications | 3,816 b | 82,721 |
France Telecom | 88,099 | 1,957,855 |
GDF SUEZ | 52,767 | 1,900,731 |
Gecina | 669 | 36,296 |
Groupe Danone | 21,047 | 1,004,771 |
Hermes International | 2,449 | 324,271 |
ICADE | 941 | 72,661 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
France (continued) | ||
Iliad | 708 | 74,548 |
Imerys | 1,067 | 44,239 |
Ipsen | 956 | 39,115 |
JC Decaux | 4,335 | 62,046 |
Klepierre | 4,167 | 91,278 |
L’Oreal | 11,619 | 830,745 |
Lafarge | 9,203 | 520,413 |
Lagardere | 5,300 | 166,183 |
Legrand | 3,943 | 78,958 |
LVMH Moet Hennessy Louis Vuitton | 11,814 | 894,558 |
M6-Metropole Television | 3,249 | 60,756 |
Natixis | 52,231 | 118,853 |
Neopost | 1,569 | 132,784 |
PagesJaunes Groupe | 6,051 | 65,831 |
Pernod-Ricard | 7,962 | 470,272 |
Pernod-Ricard (Rights) | 7,962 b | 36,927 |
Peugeot | 7,803 | 179,424 |
PPR | 3,763 | 288,046 |
Publicis Groupe | 6,530 | 200,569 |
Renault | 8,465 | 270,979 |
Safran | 9,522 | 113,386 |
Sanofi-Aventis | 50,625 | 2,918,232 |
Schneider Electric | 10,741 | 811,143 |
Scor | 8,689 | 183,263 |
Societe BIC | 1,432 | 76,743 |
Societe Des Autoroutes Paris-Rhin-Rhone | 1,152 | 74,406 |
Societe Generale | 22,392 | 1,134,753 |
Societe Television Francaise 1 | 6,190 | 57,942 |
Sodexo | 4,659 | 223,011 |
Suez Environnement | 13,134 b | 200,419 |
Technip | 4,682 | 200,894 |
Thales | 4,383 | 181,441 |
Total | 102,628 | 5,139,985 |
Unibail-Rodamco | 3,961 | 589,114 |
Valeo | 3,890 | 80,097 |
Vallourec | 2,570 | 279,504 |
12
Common Stocks (continued) | Shares | Value ($) |
France (continued) | ||
Veolia Environnement | 18,308 | 503,090 |
Vinci | 20,327 | 909,930 |
Vivendi | 56,336 | 1,521,095 |
Wendel | 1,562 | 57,187 |
Zodiac Aerospace | 1,730 | 50,386 |
36,617,222 | ||
Germany—7.7% | ||
Adidas | 9,664 | 365,262 |
Allianz | 21,810 | 2,004,135 |
BASF | 44,457 | 1,673,951 |
Bayer | 36,800 | 1,828,363 |
Bayerische Motoren Werke | 15,994 | 553,444 |
Beiersdorf | 4,358 | 179,275 |
Celesio | 4,321 | 95,848 |
Commerzbank | 32,409 | 218,997 |
Daimler | 43,441 | 1,550,515 |
Deutsche Bank | 26,129 | 1,396,104 |
Deutsche Boerse | 9,427 | 696,900 |
Deutsche Lufthansa | 11,799 | 150,497 |
Deutsche Post | 40,889 | 469,681 |
Deutsche Postbank | 4,595 | 97,975 |
Deutsche Telekom | 136,498 | 1,647,021 |
E.ON | 91,484 | 3,094,566 |
Fraport | 1,480 | 59,746 |
Fresenius | 1,371 | 56,792 |
Fresenius Medical Care & Co. | 8,844 | 348,664 |
GEA Group | 7,860 | 102,786 |
Hamburger Hafen und Logistik | 1,184 | 42,657 |
Hannover Rueckversicherung | 3,028 | 98,485 |
HeidelbergerCement | 1,512 | 63,713 |
Henkel & Co. | 6,270 | 154,835 |
Hochtief | 2,305 | 112,858 |
K+S | 6,871 | 412,898 |
Linde | 6,513 | 518,664 |
MAN | 5,190 | 321,095 |
Merck | 2,972 | 266,479 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Germany (continued) | ||
Metro | 5,187 | 220,842 |
Munchener Ruckversicherungs | 9,943 | 1,374,490 |
Puma | 351 | 75,047 |
Q-Cells | 3,212 b | 68,500 |
RWE | 21,424 | 1,542,596 |
Salzgitter | 1,823 | 129,715 |
SAP | 41,321 | 1,582,737 |
Siemens | 41,800 | 2,810,009 |
Solarworld | 4,122 | 117,765 |
Suedzucker | 2,654 | 51,363 |
ThyssenKrupp | 16,638 | 356,508 |
TUI | 8,518 | 93,631 |
United Internet | 5,912 | 61,884 |
Volkswagen | 4,261 | 1,342,654 |
Wacker Chemie | 659 | 68,160 |
28,478,107 | ||
Greece—.5% | ||
Alpha Bank | 19,547 | 190,604 |
Coca-Cola Hellenic Bottling | 7,352 | 117,613 |
EFG Eurobank Ergasias | 16,266 | 128,025 |
Hellenic Petroleum | 6,087 | 59,419 |
Hellenic Telecommunications Organization | 13,152 | 201,668 |
Marfin Investment Group | 25,826 b | 111,096 |
National Bank of Greece | 24,064 | 500,965 |
OPAP | 10,306 | 319,598 |
Piraeus Bank | 16,288 | 149,429 |
Public Power | 5,352 | 103,728 |
Titan Cement | 2,300 | 59,048 |
1,941,193 | ||
Hong Kong—2.2% | ||
ASM Pacific Technology | 8,000 | 36,025 |
Bank of East Asia | 77,750 | 186,597 |
BOC Hong Kong Holdings | 169,500 | 241,888 |
Cathay Pacific Airways | 63,000 | 73,160 |
Cheung Kong Holdings | 67,000 | 697,651 |
Cheung Kong Infrastructure Holdings | 20,000 | 77,547 |
14
Common Stocks (continued) | Shares | Value ($) |
Hong Kong (continued) | ||
Chinese Estates Holdings | 44,000 | 54,956 |
CLP Holdings | 98,788 | 667,921 |
Esprit Holdings | 48,600 | 300,060 |
Hang Lung Group | 40,000 | 147,868 |
Hang Lung Properties | 102,000 | 290,201 |
Hang Seng Bank | 35,400 | 395,559 |
Henderson Land Development | 52,762 | 248,487 |
Hong Kong & China Gas | 184,483 | 345,155 |
Hong Kong Aircraft Engineerg | 2,000 | 18,838 |
Hong Kong Exchanges & Clearing | 49,500 | 577,382 |
HongKong Electric Holdings | 64,500 | 381,167 |
Hopewell Holdings | 33,000 | 85,585 |
Hutchison Telecommunications | ||
Hong Kong Holdings | 74,000 a,b | 6,970 |
Hutchison Telecommunications International | 74,000 | 13,654 |
Hutchison Whampoa | 102,800 | 610,156 |
Hysan Development | 27,000 | 49,331 |
Kerry Properties | 34,500 | 105,501 |
Kingboard Chemical Holdings | 28,500 | 69,870 |
Li & Fung | 108,600 | 308,278 |
Lifestyle International Holdings | 22,000 | 21,148 |
Link REIT | 107,000 | 208,750 |
Mongolia Energy | 126,000 b | 36,417 |
MTR | 73,500 | 186,829 |
New World Development | 124,191 | 164,410 |
NWS Holdings | 37,000 | 74,381 |
Orient Overseas International | 8,300 | 24,043 |
Pacific Basin Shipping | 71,000 | 35,637 |
Shangri-La Asia | 55,000 | 81,327 |
Sino Land | 74,664 | 96,339 |
Sun Hung Kai Properties | 67,699 | 705,366 |
Swire Pacific, Cl. A | 40,500 | 317,984 |
Television Broadcasts | 13,000 | 46,128 |
Wharf Holdings | 62,192 | 206,634 |
Wheelock & Co. | 38,000 | 82,373 |
Wing Hang Bank | 10,500 | 62,457 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Hong Kong (continued) | ||
Yue Yuen Industrial Holdings | 29,300 | 65,328 |
8,405,358 | ||
Ireland—.3% | ||
Anglo Irish Bank | 35,225 a | 4,939 |
CRH | 33,005 | 860,576 |
Elan | 21,068 b | 127,081 |
Kerry Group, Cl. A | 7,193 | 138,890 |
Ryanair Holdings | 4,000 b | 17,519 |
1,149,005 | ||
Italy—3.4% | ||
A2A | 55,689 | 91,980 |
ACEA | 3,790 | 47,091 |
Alleanza Assicurazioni | 19,018 | 127,456 |
Assicurazioni Generali | 50,990 | 1,037,426 |
Atlantia | 12,631 | 222,871 |
Autogrill | 3,338 | 25,362 |
Banca Carige | 32,548 | 119,282 |
Banca Monte dei Paschi di Siena | 112,962 | 181,174 |
Banca Popolare di Milano | 16,857 | 98,305 |
Banco Popolare | 31,926 | 208,696 |
Bulgari | 5,158 | 26,429 |
Enel | 208,687 | 1,132,250 |
ENI | 125,305 | 2,719,692 |
EXOR | 4,104 b | 52,588 |
Fiat | 34,849 b | 341,046 |
Finmeccanica | 20,110 | 283,909 |
Fondiaria-SAI | 2,503 | 41,652 |
Intesa Sanpaolo | 371,215 | 1,177,651 |
Intesa Sanpaolo-RSP | 37,186 | 82,354 |
Italcementi | 2,518 | 30,439 |
Italcementi-RSP | 5,476 | 34,765 |
Lottomatica | 2,408 | 49,680 |
Luxottica Group | 6,995 | 129,290 |
Mediaset | 37,511 | 210,940 |
Mediobanca | 22,509 | 259,691 |
Mediolanum | 8,071 | 36,907 |
16
Common Stocks (continued) | Shares | Value ($) |
Italy (continued) | ||
Parmalat | 83,196 | 165,973 |
Pirelli & C | 100,796 | 39,293 |
Prysmian | 5,280 | 64,261 |
Saipem | 12,979 | 279,509 |
Saras | 18,185 | 53,269 |
Snam Rete Gas | 38,806 | 154,235 |
Snam Rete Gas (Rights) | 38,806 b | 29,825 |
Telecom Italia | 484,307 | 613,075 |
Telecom Italia-RSP | 285,679 | 255,255 |
Terna | 58,565 | 188,975 |
UniCredit | 587,276 | 1,422,996 |
Unione di Banche Italiane | 29,591 | 407,416 |
Unipol Gruppo Finanziario | 44,236 | 55,079 |
12,498,087 | ||
Japan—22.9% | ||
77 Bank | 17,000 | 86,914 |
ABC-Mart | 1,600 | 33,013 |
Acom | 2,736 | 65,769 |
Advantest | 7,600 | 119,270 |
Aeon | 31,500 | 245,891 |
Aeon Credit Service | 3,960 | 45,080 |
AEON Mall | 2,500 | 32,754 |
Aioi Insurance | 20,000 | 87,818 |
Aisin Seiki | 9,900 | 202,256 |
Ajinomoto | 32,800 | 241,037 |
Alfresa Holdings | 1,200 | 46,227 |
All Nippon Airways | 33,000 | 120,750 |
Alps Electric | 5,900 | 31,483 |
Amada | 16,000 | 98,389 |
Aozora Bank | 27,959 b | 35,238 |
Asahi Breweries | 19,100 | 240,339 |
Asahi Glass | 46,800 | 278,750 |
Ashai Kasei | 58,900 | 237,073 |
Asics | 9,000 | 58,088 |
Astellas Pharma | 23,079 | 752,997 |
Bank of Kyoto | 14,000 | 112,131 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Bank of Yokohama | 57,000 | 241,012 |
Benesse | 3,800 | 145,225 |
Bridgestone | 29,500 | 437,770 |
Brother Industries | 10,000 | 81,008 |
Canon | 51,350 | 1,539,691 |
Canon Marketing Japan | 2,600 | 31,659 |
Casio Computer | 10,000 | 75,621 |
Central Japan Railway | 75 | 444,428 |
Chiba Bank | 38,000 | 187,712 |
Chubu Electric Power | 32,000 | 705,799 |
Chugai Pharmaceutical | 11,128 | 206,420 |
Chugoku Bank | 7,000 | 88,154 |
Chugoku Electric Power | 12,900 | 260,924 |
Chuo Mitsui Trust Holdings | 44,380 | 144,798 |
Citizen Holdings | 17,800 | 80,872 |
COCA-COLA WEST | 2,700 | 44,540 |
Cosmo Oil | 26,000 | 74,259 |
Credit Saison | 8,800 | 98,031 |
Dai Nippon Printing | 27,800 | 294,149 |
Daicel Chemical Industries | 15,000 | 62,814 |
Daido Steel | 14,200 | 47,341 |
Daihatsu Motor | 9,000 | 80,866 |
Daiichi Sankyo | 32,483 | 546,418 |
Daikin Industries | 12,200 | 327,987 |
Dainippon Sumitomo Pharma | 9,000 | 71,810 |
Daito Trust Construction | 3,600 | 149,657 |
Daiwa House Industry | 23,400 | 204,306 |
Daiwa Securities Group | 62,000 | 322,021 |
Dena | 11 | 39,244 |
Denki Kagaku Kogyo | 27,600 | 61,156 |
Denso | 23,500 | 551,761 |
Dentsu | 9,200 | 169,534 |
DIC | 23,000 | 37,638 |
Dowa Holdings | 11,000 | 43,716 |
Dowa Holdings (Rights) | 7,000 b | 0 |
East Japan Railway | 16,400 | 926,808 |
18
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Eisai | 11,700 | 315,734 |
Electric Power Development | 6,580 | 191,612 |
Elpida Memory | 4,700 b | 50,065 |
FamilyMart | 3,000 | 82,635 |
Fanuc | 9,200 | 661,117 |
Fast Retailing | 2,200 | 230,320 |
Fuji Electric Holdings | 20,000 | 34,355 |
Fuji Heavy Industries | 30,000 | 120,140 |
Fuji Media Holdings | 11 | 12,276 |
FUJIFILM Holdings | 23,600 | 599,685 |
Fujitsu | 90,800 | 387,620 |
Fukuoka Financial Group | 40,000 | 122,783 |
Furukawa Electric | 28,000 | 83,671 |
Gunma Bank | 17,000 | 84,322 |
Hachijuni Bank | 19,000 | 112,009 |
Hakuhodo DY Holdings | 1,170 | 53,752 |
Hankyu Hashin Holdings | 56,000 | 262,398 |
Haseko | 62,500 b | 39,386 |
Hikari Tsushin | 1,300 | 26,308 |
Hino Motors | 10,000 | 28,663 |
Hirose Electric | 1,600 | 166,367 |
Hiroshima Bank | 22,000 | 83,183 |
Hisamitsu Pharmaceutical | 3,400 | 96,417 |
Hitachi | 162,900 | 564,607 |
Hitachi Chemical | 4,400 | 58,810 |
Hitachi Construction Machinery | 4,500 | 60,741 |
Hitachi High-Technologies | 3,900 | 54,545 |
Hitachi Metals | 7,000 | 54,500 |
Hokkaido Electric Power | 9,600 | 177,198 |
Hokuhoku Financial Group | 62,000 | 109,021 |
Hokuriku Electric Power | 8,700 | 196,753 |
Honda Motor | 79,520 | 2,299,481 |
HOYA | 19,200 | 331,172 |
Ibiden | 6,100 | 177,324 |
Idemitsu Kosan | 1,100 | 81,283 |
IHI | 55,000 b | 83,295 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
INPEX | 41 | 259,623 |
Isetan Mitsukoshi Holdings | 16,920 | 142,225 |
Isuzu Motors | 53,000 | 87,808 |
Ito En | 3,300 | 40,317 |
Itochu | 72,500 | 387,610 |
Itochu Techno-Solutions | 1,400 | 31,661 |
Iyo Bank | 11,000 | 109,905 |
J Front Retailing | 26,800 | 109,777 |
Jafco | 1,600 | 35,615 |
Japan Airlines | 39,600 b | 77,280 |
Japan Petroleum Exploration | 1,400 | 55,069 |
Japan Prime Realty Investment | 22 | 37,902 |
Japan Real Estate Investment | 19 | 134,604 |
Japan Retail Fund Investment | 17 | 59,786 |
Japan Steel Works | 17,000 | 183,158 |
Japan Tobacco | 217 | 544,788 |
JFE Holdings | 25,260 | 686,797 |
JGC | 11,000 | 143,670 |
Joyo Bank | 31,462 | 145,182 |
JS Group | 12,624 | 153,975 |
JSR | 9,100 | 110,068 |
JTEKT | 7,900 | 75,800 |
Jupiter Telecommunications | 104 | 73,255 |
Kajima | 37,800 | 109,114 |
Kamigumi | 11,400 | 73,115 |
Kaneka | 16,000 | 92,697 |
Kansai Electric Power | 36,799 | 751,801 |
Kansai Paint | 11,000 | 58,810 |
Kao | 24,000 | 451,532 |
Kawasaki Heavy Industries | 71,000 | 151,547 |
Kawasaki Kisen Kaisha | 26,000 | 97,515 |
KDDI | 140 | 628,958 |
Keihin Electric Express Railway | 22,000 | 169,497 |
Keio | 26,000 | 147,990 |
Keisei Electric Railway | 12,000 | 57,082 |
Keyence | 2,005 | 354,056 |
20
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Kikkoman | 8,000 | 71,312 |
Kinden | 6,000 | 50,008 |
Kintetsu | 75,354 | 328,575 |
Kirin Holdings | 37,000 | 407,288 |
Kobe Steel | 120,000 | 197,591 |
Komatsu | 43,500 | 538,969 |
Konami | 5,200 | 76,796 |
Konica Minolta Holdings | 22,000 | 179,336 |
Kubota | 54,000 | 322,732 |
Kuraray | 17,500 | 150,125 |
Kurita Water Industries | 5,800 | 140,306 |
Kyocera | 7,600 | 588,626 |
Kyowa Hakko Kirin | 11,705 | 103,148 |
Kyushu Electric Power | 17,600 | 364,039 |
Lawson | 3,100 | 120,364 |
Leopalace21 | 7,200 | 52,618 |
Mabuchi Motor | 1,500 | 67,846 |
Makita | 5,400 | 123,769 |
Marubeni | 82,000 | 296,712 |
Marui Group | 14,100 | 77,963 |
Maruichi Steel Tube | 2,000 | 40,535 |
Matsui Securities | 4,500 | 31,926 |
Mazda Motor | 46,000 | 113,615 |
Mediceo Paltac Holdings | 7,700 | 78,107 |
MEIJI Holdings | 3,521 | 107,722 |
Minebea | 18,000 | 69,340 |
Mitsubishi | 65,400 | 1,003,751 |
Mitsubishi Chemical Holdings | 63,100 | 239,227 |
Mitsubishi Electric | 90,000 | 476,597 |
Mitsubishi Estate | 57,000 | 743,315 |
Mitsubishi Gas Chemical | 20,000 | 92,900 |
Mitsubishi Heavy Industries | 154,700 | 504,739 |
Mitsubishi Logistics | 6,000 | 56,960 |
Mitsubishi Materials | 52,000 | 150,104 |
Mitsubishi Motors | 166,000 b | 253,087 |
Mitsubishi Rayon | 21,000 | 43,757 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Mitsubishi Tanabe Pharma | 11,000 | 104,762 |
Mitsubishi UFJ Financial Group | 528,890 | 2,876,009 |
Mitsubishi UFJ Lease & Finance | 2,860 | 65,988 |
Mitsui & Co. | 83,400 | 879,902 |
Mitsui Chemicals | 33,000 | 98,613 |
Mitsui Engineering & Shipbuilding | 34,000 | 69,116 |
Mitsui Fudosan | 39,000 | 489,953 |
Mitsui Mining & Smelting | 22,000 b | 43,381 |
Mitsui OSK Lines | 53,000 | 302,211 |
Mitsui Sumitomo Insurance Group Holdings | 18,369 | 499,437 |
Mitsumi Electric | 3,300 | 54,438 |
Mizuho Financial Group | 458,100 | 959,177 |
Mizuho Trust & Banking | 66,000 b | 68,425 |
Murata Manufacturing | 10,400 | 419,657 |
Namco Bandai Holdings | 10,350 | 102,990 |
NEC | 88,800 b | 294,240 |
NEC Electronics | 1,100 b | 11,538 |
NGK Insulators | 12,000 | 182,345 |
NGK Spark Plug | 7,000 | 67,449 |
NHK Spring | 6,000 | 27,504 |
Nidec | 5,400 | 296,936 |
Nikon | 15,600 | 205,970 |
Nintendo | 4,750 | 1,270,239 |
Nippon Building Fund | 26 | 211,150 |
Nippon Electric Glass | 18,085 | 145,217 |
Nippon Express | 37,000 | 132,002 |
Nippon Meat Packers | 9,000 | 92,667 |
Nippon Mining Holdings | 39,800 | 181,231 |
Nippon Oil | 60,800 | 317,024 |
Nippon Paper Group | 3,900 | 110,993 |
Nippon Sheet Glass | 25,000 | 70,387 |
Nippon Steel | 246,100 | 825,461 |
Nippon Telegraph & Telephone | 26,600 | 994,948 |
Nippon Yusen | 54,800 | 223,912 |
Nipponkoa Insurance | 30,000 | 162,830 |
Nishi-Nippon City Bank | 30,000 | 60,070 |
22
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Nissan Chemical Industries | 6,000 | 49,825 |
Nissan Motor | 109,200 | 566,062 |
Nissay Dowa General Insurance | 8,000 | 34,395 |
Nisshin Seifun Group | 7,800 | 80,390 |
Nisshin Steel | 42,000 | 81,110 |
Nisshinbo Industries | 5,000 | 52,498 |
Nissin Foods Holdings | 3,900 | 105,839 |
Nitori | 1,850 | 104,360 |
Nitto Denko | 8,200 | 190,446 |
NOK | 5,200 | 60,253 |
Nomura Holdings | 120,400 | 720,797 |
Nomura Real Estate Holdings | 3,100 | 50,729 |
Nomura Real Estate Office Fund | 12 | 62,083 |
Nomura Research Institute | 5,700 | 101,040 |
NSK | 19,000 | 84,393 |
NTN | 17,000 | 56,330 |
NTT Data | 61 | 160,087 |
NTT DoCoMo | 757 | 1,054,114 |
NTT Urban Development | 55 | 44,443 |
Obayashi | 29,000 | 142,664 |
Obic | 350 | 47,385 |
Odakyu Electric Railway | 31,000 | 253,646 |
OJI Paper | 41,000 | 176,277 |
Olympus | 11,000 | 179,001 |
Omron | 10,400 | 154,861 |
Ono Pharmaceutical | 4,800 | 203,934 |
Onward Holdings | 6,000 | 36,042 |
Oracle Japan | 1,700 | 59,958 |
Oriental Land | 2,500 | 157,798 |
ORIX | 4,580 | 214,604 |
Osaka Gas | 90,000 | 286,324 |
OSAKA Titanium Technologies | 600 | 18,082 |
OTSUKA | 1,000 | 37,099 |
Panasonic | 88,195 | 1,281,891 |
Panasonic Electric Works | 19,000 | 154,109 |
Promise | 2,350 | 31,004 |
The Fund 23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Rakuten | 317 | 160,457 |
Resona Holdings | 23,700 | 317,012 |
Ricoh | 31,000 | 379,052 |
Rohm | 5,000 | 306,449 |
Sankyo | 2,800 | 141,729 |
Santen Pharmaceutical | 3,800 | 107,567 |
Sanyo Electric | 74,000 b | 121,848 |
Sapporo Hokuyo Holdings | 15,000 b | 43,299 |
Sapporo Holdings | 13,000 | 54,043 |
SBI Holdings | 887 | 105,573 |
Secom | 10,200 | 377,375 |
Sega Sammy Holdings | 9,584 | 86,503 |
Seiko Epson | 5,400 | 75,853 |
Sekisui Chemical | 22,000 | 115,831 |
Sekisui House | 22,000 | 189,399 |
Seven & I Holdings | 39,360 | 890,136 |
Seven Bank | 17 | 40,087 |
Sharp | 48,000 | 500,564 |
Shikoku Electric Power | 9,100 | 250,196 |
Shimadzu | 11,000 | 66,972 |
Shimamura | 1,200 | 83,183 |
Shimano | 3,500 | 102,810 |
Shimizu | 28,000 | 134,329 |
Shin-Etsu Chemical | 19,800 | 957,951 |
Shinko Electric Industries | 2,700 | 26,483 |
Shinko Securities | 21,000 | 48,666 |
Shinsei Bank | 81,000 b | 106,205 |
Shionogi & Co. | 14,000 | 241,195 |
Shiseido | 16,000 | 281,506 |
Shizuoka Bank | 29,400 | 264,162 |
Showa Denko | 64,000 | 96,275 |
Showa Shell Sekiyu | 8,500 | 74,559 |
SMC | 2,800 | 273,212 |
Softbank | 36,500 | 575,037 |
Sojitz | 66,600 | 102,894 |
Sompo Japan Insurance | 41,000 | 245,037 |
24
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Sony | 48,380 | 1,244,106 |
Sony Financial Holdings | 39 | 122,488 |
Square Enix Holdings | 2,500 | 44,926 |
Stanley Electric | 6,500 | 91,833 |
SUMCO | 5,600 | 81,736 |
Sumitomo | 54,400 | 471,649 |
Sumitomo Chemical | 78,000 | 305,229 |
Sumitomo Electric Industries | 36,800 | 356,835 |
Sumitomo Heavy Industries | 29,000 | 120,262 |
Sumitomo Metal Industries | 186,000 | 434,822 |
Sumitomo Metal Mining | 27,000 | 301,875 |
Sumitomo Mitsui Financial Group | 32,300 | 1,116,227 |
Sumitomo Realty & Development | 19,000 | 226,915 |
Sumitomo Rubber Industries | 9,400 | 64,683 |
Sumitomo Trust & Banking | 66,000 | 274,371 |
Suruga Bank | 12,000 | 102,089 |
Suzuken | 3,720 | 91,880 |
Suzuki Motor | 16,300 | 305,175 |
T & D Holdings | 11,200 | 332,408 |
Taiheiyo Cement | 50,000 | 87,920 |
Taisei | 42,000 | 91,355 |
Taisho Pharmaceutical | 6,000 | 109,895 |
Taiyo Nippon Sanso | 15,000 | 104,437 |
Takashimaya | 15,000 | 93,459 |
Takeda Pharmaceutical | 39,300 | 1,398,079 |
Takefuji | 5,010 | 26,836 |
TDK | 6,100 | 275,906 |
Teijin | 46,000 | 117,823 |
Terumo | 7,800 | 294,923 |
THK | 5,000 | 68,964 |
Tobu Railway | 40,000 | 209,382 |
Toho | 5,800 | 76,874 |
Toho Gas | 22,000 | 93,917 |
Tohoku Electric Power | 20,700 | 432,368 |
Tokio Marine Holdings | 33,000 | 870,407 |
Tokuyama | 12,000 | 71,230 |
The Fund 25
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Tokyo Broadcasting System | 1,700 | 23,828 |
Tokyo Electric Power | 58,672 | 1,377,571 |
Tokyo Electron | 8,400 | 382,497 |
Tokyo Gas | 107,000 | 406,749 |
Tokyo Steel Manufacturing | 5,500 | 56,126 |
Tokyo Tatemono | 10,000 | 33,847 |
Tokyu | 55,820 | 238,292 |
Tokyu Land | 19,000 | 63,343 |
TonenGeneral Sekiyu | 14,000 | 133,333 |
Toppan Printing | 25,000 | 188,545 |
Toray Industries | 66,000 | 291,142 |
Toshiba | 149,000 | 508,858 |
Tosoh | 29,000 | 66,616 |
TOTO | 14,000 | 69,584 |
Toyo Seikan Kaisha | 7,400 | 122,374 |
Toyo Suisan Kaisha | 4,000 | 78,142 |
Toyoda Gosei | 2,700 | 52,718 |
Toyota Boshoku | 2,400 | 30,224 |
Toyota Industries | 8,200 | 217,950 |
Toyota Motor | 132,714 | 5,193,362 |
Toyota Tsusho | 9,500 | 111,430 |
Trend Micro | 5,500 | 166,870 |
Tsumura & Co. | 3,100 | 85,074 |
Ube Industries | 44,600 | 83,864 |
UNICHARM | 2,100 | 146,638 |
UNY | 9,000 | 65,589 |
Ushio | 5,900 | 76,580 |
USS | 1,330 | 60,157 |
West Japan Railway | 79 | 242,496 |
Yahoo! Japan | 735 | 183,853 |
Yakult Honsha | 5,100 | 87,501 |
Yamada Denki | 4,170 | 192,426 |
Yamaguchi Financial Group | 11,000 | 106,104 |
Yamaha | 7,000 | 79,829 |
Yamaha Motor | 10,100 | 106,456 |
Yamato Holdings | 18,400 | 204,974 |
26
Common Stocks (continued) | Shares | Value ($) |
Japan (continued) | ||
Yamato Kogyo | 1,700 | 38,619 |
Yamazaki Baking | 6,000 | 61,229 |
Yaskawa Electric | 10,000 | 46,349 |
Yokogawa Electric | 11,500 | 58,911 |
85,392,186 | ||
Luxembourg—.5% | ||
ArcelorMittal | 41,898 | 985,009 |
Millicom International Cellular | 3,630 | 177,134 |
SES | 13,007 | 234,722 |
Tenaris | 23,420 | 295,850 |
1,692,715 | ||
Netherlands—2.4% | ||
Aegon | 68,515 | 348,690 |
Akzo Nobel | 11,473 | 482,608 |
ASML Holding | 20,903 | 425,477 |
Corio | 1,855 | 82,262 |
European Aeronautic Defence and Space | 16,240 | 234,319 |
Fugro | 3,002 | 107,422 |
Heineken | 11,331 | 337,474 |
Heineken Holding | 5,660 | 133,920 |
ING Groep | 94,513 | 871,026 |
Koninklijke Ahold | 57,528 | 633,880 |
Koninklijke Boskalis Westminster | 2,180 | 50,843 |
Koninklijke DSM | 6,198 | 191,852 |
KONINKLIJKE KPN | 84,084 | 1,011,761 |
Koninklijke Philips Electronics | 46,905 | 847,009 |
Qiagen | 9,092 b | 150,463 |
Randstad Holding | 5,351 | 122,173 |
Reed Elsevier | 30,610 | 337,175 |
SBM Offshore | 6,199 | 99,938 |
SNS Reaal | 9,323 | 52,585 |
STMicroelectronics | 32,463 | 214,583 |
TNT�� | 16,595 | 306,166 |
Unilever | 78,444 | 1,553,584 |
Wolters Kluwer | 13,480 | 222,484 |
8,817,694 |
The Fund 27
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
New Zealand—.1% | ||
Auckland International Airport | 65,324 | 61,668 |
Contact Energy | 15,698 | 50,886 |
Fletcher Building | 21,244 | 80,946 |
Sky City Entertainment Group | 18,023 | 28,084 |
Telecom Corp of New Zealand | 92,121 | 147,737 |
369,321 | ||
Norway—.7% | ||
Aker Solutions | 6,239 | 38,072 |
DNB NOR | 37,620 | 234,194 |
Frontline | 2,883 | 57,734 |
Norsk Hydro | 32,033 | 141,203 |
Orkla | 37,880 | 273,733 |
Renewable Energy | 6,200 b | 56,762 |
SeaDrill | 12,462 | 134,690 |
StatoilHydro | 61,848 | 1,156,348 |
Telenor | 41,707 | 259,892 |
Yara International | 8,674 | 234,068 |
2,586,696 | ||
Portugal—.3% | ||
Banco Comercial Portugues, Cl. R | 120,349 | 112,180 |
Banco Espirito Santo | 22,422 | 110,152 |
Brisa | 15,479 | 105,706 |
Cimpor-Cimentos de Portugal | 12,398 | 74,243 |
Energias de Portugal | 84,428 | 308,469 |
Galp Energia, Cl. B | 9,768 | 130,440 |
Jeronimo Martins | 8,730 | 49,125 |
Portugal Telecom | 30,385 | 232,872 |
Zon Multimedia Servicos de Telecomunicacoes | 8,174 | 44,789 |
1,167,976 | ||
Singapore—1.2% | ||
Ascendas Real Estate Investment Trust | 73,281 | 66,475 |
CapitaLand | 116,500 | 217,669 |
CapitaMall Trust | 56,000 | 47,387 |
City Developments | 26,000 | 114,054 |
ComfortDelgro | 93,700 | 90,072 |
Cosco Singapore | 30,000 | 20,715 |
28
Common Stocks (continued) | Shares | Value ($) |
Singapore (continued) | ||
DBS Group Holdings | 94,588 | 608,304 |
Fraser and Neave | 49,150 | 87,174 |
Genting International | 150,527 b | 62,159 |
Golden Agri-Resources | 193,440 | 48,452 |
Jardine Cycle & Carriage | 8,422 | 81,415 |
Keppel | 58,000 | 234,796 |
Neptune Orient Lines | 22,000 | 19,361 |
Noble Group | 78,800 | 69,347 |
Olam International | 54,300 | 65,063 |
Oversea-Chinese Banking | 120,942 | 481,410 |
Parkway Holdings | 47,000 | 38,499 |
SembCorp Industries | 41,254 | 76,241 |
SembCorp Marine | 33,000 | 47,136 |
Singapore Airlines | 24,733 | 179,152 |
Singapore Exchange | 44,000 | 186,759 |
Singapore Press Holdings | 70,075 | 137,569 |
Singapore Technologies Engineering | 60,000 | 104,387 |
Singapore Telecommunications | 383,951 | 665,390 |
United Overseas Bank | 59,112 | 460,187 |
UOL Group | 22,111 | 33,229 |
Wilmar International | 40,000 | 96,940 |
4,339,342 | ||
Spain—4.2% | ||
Abertis Infraestructuras | 13,257 | 238,187 |
Acciona | 1,296 | 132,837 |
Acerinox | 7,125 | 108,683 |
ACS Actividades de Construccion y Servicios | 8,545 | 428,144 |
Banco Bilbao Vizcaya Argentaria | 174,225 | 1,880,970 |
Banco de Sabadell | 44,945 | 259,108 |
Banco de Valencia | 10,791 | 98,574 |
Banco de Valencia (Rights) | 10,791 b | 1,859 |
Banco Popular Espanol | 36,386 | 298,655 |
Banco Santander | 393,213 | 3,717,767 |
Bankinter | 11,740 | 139,671 |
Cintra Concesiones de | ||
Infraestructuras de Transporte | 11,882 | 64,836 |
The Fund 29
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Spain (continued) | ||
Criteria Caixacorp | 43,257 | 162,991 |
EDP Renovaveis | 9,624 | 78,822 |
Enagas | 8,520 | 149,155 |
Fomento de Construcciones y Contratas | 1,877 | 67,330 |
Gamesa Corp Tecnologica | 9,180 | 172,495 |
Gas Natural SDG | 11,428 | 182,406 |
Gestevision Telecinco | 5,695 | 53,544 |
Grifols | 6,640 | 116,779 |
Grupo Ferrovial | 2,627 | 75,827 |
Iberdrola | 168,688 | 1,334,952 |
Iberdrola Renovables | 38,571 b | 157,424 |
Iberia Lineas Aereas de Espana | 23,577 | 44,087 |
Inditex | 10,546 | 450,716 |
Indra Sistemas | 5,136 | 101,844 |
Mapfre | 31,496 | 90,079 |
Mapfre (Rights) | 41,399 b | 549 |
Red Electrica | 5,340 | 224,608 |
Repsol | 35,348 | 673,744 |
Sacyr Vallehermoso | 3,349 | 34,591 |
Telefonica | 203,726 | 3,874,140 |
Zardoya Otis | 5,665 | 116,119 |
15,531,493 | ||
Sweden—2.3% | ||
Alfa Laval | 18,893 | 167,783 |
Assa Abloy, Cl. B | 15,611 | 184,657 |
Atlas Copco, Cl. A | 33,083 | 307,358 |
Atlas Copco, Cl. B | 19,602 | 162,247 |
Electrolux, Ser. B | 11,008 b | 123,978 |
Getinge, Cl. B | 10,308 | 120,416 |
Hennes & Mauritz, Cl. B | 24,640 | 1,100,194 |
Holmen, Cl. B | 1,990 | 44,122 |
Husqvarna, Cl. B | 20,920 b | 102,112 |
Investor, Cl. B | 22,300 | 321,988 |
Lundin Petroleum | 10,567 b | 68,926 |
Modern Times Group, Cl. B | 2,399 | 64,993 |
Nordea Bank | 155,413 | 1,154,269 |
30
Common Stocks (continued) | Shares | Value ($) |
Sweden (continued) | ||
Sandvik | 46,429 | 304,443 |
Scania, Cl. B | 14,730 | 157,038 |
Securitas, Cl. B | 16,173 | 134,094 |
Skandinaviska Enskilda Banken, Cl. A | 69,879 b | 272,249 |
Skanska, Cl. B | 18,762 | 203,269 |
SKF, Cl. B | 19,252 | 210,762 |
Ssab Svenskt Stal, Ser. A | 7,525 | 71,520 |
Ssab Svenskt Stal, Ser. B | 3,653 | 32,871 |
Svenska Cellulosa, Cl. B | 27,872 | 269,319 |
Svenska Handelsbanken, Cl. A | 21,211 | 369,776 |
Swedbank, Cl. A | 19,203 b | 108,466 |
Swedish Match | 12,334 | 176,265 |
Tele2, Cl. B | 15,789 | 149,333 |
Telefonaktiebolaget LM Ericsson, Cl. B | 142,818 | 1,230,563 |
TeliaSonera | 108,484 | 511,805 |
Volvo, Cl. A | 23,032 | 150,204 |
Volvo, Cl. B | 53,571 | 348,216 |
8,623,236 | ||
Switzerland—7.4% | ||
ABB | 105,959 b | 1,500,365 |
Actelion | 4,520 b | 206,803 |
Adecco | 6,033 | 238,408 |
Aryzta | 3,487 b | 101,275 |
Baloise Holding | 2,493 | 182,856 |
BKW FMB Energie | 818 | 57,386 |
Compagnie Financiere Richemont | 25,282 | 453,776 |
Credit Suisse Group | 51,446 | 1,970,213 |
EFG International | 2,389 | 29,133 |
Geberit | 2,066 | 221,207 |
Givaudan | 295 | 187,642 |
Holcim | 9,151 | 463,648 |
Julius Baer Holding | 9,699 | 318,783 |
Kuehne & Nagel International | 2,787 | 209,914 |
Lindt & Spruengli | 6 | 114,788 |
Lindt & Spruengli-PC | 34 | 54,612 |
Logitech International | 9,174 b | 122,280 |
The Fund 31
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Switzerland (continued) | ||
Lonza Group | 2,197 | 202,582 |
Nestle | 184,228 | 6,004,301 |
Nobel Biocare Holding | 5,038 | 103,098 |
Novartis | 114,466 | 4,332,246 |
Pargesa Holding | 1,539 | 97,722 |
Roche Holding | 33,800 | 4,279,972 |
Schindler Holding | 2,204 | 115,823 |
SGS | 233 | 261,020 |
Sonova Holding | 2,065 | 135,527 |
Straumann Holding | 380 | 69,832 |
Sulzer | 1,517 | 82,561 |
Swatch Group | 2,031 | 58,729 |
Swatch Group-BR | 1,530 | 212,660 |
Swiss Life Holding | 1,526 b | 118,680 |
Swiss Reinsurance | 16,220 | 383,550 |
Swisscom | 1,112 | 290,074 |
Syngenta | 4,673 | 999,100 |
Synthes | 2,742 | 279,043 |
UBS | 141,255 b | 1,947,137 |
Zurich Financial Services | 6,848 | 1,267,420 |
27,674,166 | ||
United Kingdom—20.0% | ||
3i Group | 20,502 | 96,006 |
Admiral Group | 8,693 | 116,171 |
AMEC | 14,561 | 132,968 |
Anglo American | 63,424 | 1,377,990 |
Antofagasta | 17,827 | 153,473 |
Associated British Foods | 17,435 | 184,576 |
AstraZeneca | 69,649 | 2,446,444 |
Autonomy | 10,524 b | 221,756 |
Aviva | 128,697 | 588,307 |
BAE Systems | 170,025 | 895,860 |
Balfour Beatty | 24,137 | 119,562 |
Barclays | 403,493 | 1,644,476 |
Berkeley Group Holdings | 4,303 b | 61,870 |
BG Group | 161,503 | 2,601,146 |
BHP Billiton | 106,238 | 2,235,562 |
32
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
BP | 900,861 | 6,398,589 |
British Airways | 29,271 | 63,513 |
British American Tobacco | 91,301 | 2,219,186 |
British Land | 41,243 | 259,931 |
British Sky Broadcasting Group | 52,699 | 375,931 |
BT Group | 374,839 | 521,718 |
Bunzl | 16,833 | 136,444 |
Burberry Group | 18,174 | 108,380 |
Cable & Wireless | 123,531 | 272,340 |
Cadbury | 65,767 | 493,688 |
Cairn Energy | 6,820 b | 215,761 |
Capita Group | 30,341 | 306,043 |
Carnival | 8,061 | 222,333 |
Carphone Warehouse Group | 16,486 | 36,160 |
Centrica | 245,979 | 826,100 |
Cobham | 57,078 | 148,235 |
Compass Group | 89,422 | 428,119 |
Daily Mail & General Trust, Cl. A | 15,807 | 76,791 |
Diageo | 120,492 | 1,448,668 |
Drax Group | 17,419 | 132,159 |
Eurasian Natural Resources | 15,807 | 137,159 |
Experian | 49,986 | 330,425 |
Firstgroup | 25,087 | 122,470 |
Friends Provident | 119,750 | 113,264 |
G4S | 60,878 | 169,112 |
GlaxoSmithKline | 250,066 | 3,867,981 |
Hammerson | 34,972 | 161,610 |
Hays | 68,623 | 90,978 |
Home Retail Group | 45,284 | 166,561 |
HSBC Holdings | 824,931 | 5,869,751 |
ICAP | 26,883 | 147,459 |
IMI | 17,985 | 94,593 |
Imperial Tobacco Group | 48,969 | 1,121,469 |
Intercontinental Hotels Group | 13,743 | 130,826 |
International Power | 74,870 | 271,584 |
Invensys | 40,561 b | 119,439 |
Investec | 16,811 | 81,082 |
The Fund 33
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
ITV | 138,441 | 64,395 |
J Sainsbury | 51,912 | 252,837 |
Johnson Matthey | 10,687 | 190,291 |
Kazakhmys | 9,113 | 70,951 |
Kingfisher | 115,798 | 315,776 |
Ladbrokes | 32,620 | 112,332 |
Land Securities Group | 37,099 | 305,065 |
Legal & General Group | 332,214 | 284,209 |
Liberty International | 10,528 | 61,461 |
Lloyds Banking Group | 474,386 | 774,663 |
Logica | 80,718 | 91,464 |
London Stock Exchange Group | 7,101 | 78,554 |
Lonmin | 5,129 | 107,826 |
Man Group | 82,010 | 302,879 |
Marks & Spencer Group | 76,856 | 382,912 |
Meggitt | 26,749 | 70,888 |
National Grid | 117,056 | 978,654 |
Next | 9,771 | 234,129 |
Old Mutual | 260,991 | 261,597 |
Pearson | 39,198 | 408,625 |
Prudential | 120,525 | 696,321 |
Reckitt Benckiser Group | 29,012 | 1,144,447 |
Reed Elsevier | 51,078 | 379,837 |
Rexam | 29,008 | 134,643 |
Rio Tinto | 48,071 | 1,969,605 |
Rolls-Royce Group | 88,763 b | 442,797 |
Royal Bank of Scotland Group | 993,572 b | 605,157 |
Royal Dutch Shell, Cl. A | 170,596 | 3,959,141 |
Royal Dutch Shell, Cl. B | 129,735 | 2,980,474 |
RSA Insurance Group | 152,956 | 294,385 |
SABMiller | 43,635 | 733,380 |
Sage Group | 65,389 | 178,246 |
Schroders | 5,221 | 63,713 |
Scottish & Southern Energy | 44,206 | 723,689 |
Segro | 350,636 | 122,880 |
Serco Group | 25,133 | 135,688 |
Severn Trent | 11,743 | 180,939 |
34
Common Stocks (continued) | Shares | Value ($) |
United Kingdom (continued) | ||
Shire | 27,315 | 341,749 |
Smith & Nephew | 40,606 | 287,496 |
Smiths Group | 17,576 | 188,969 |
Stagecoach Group | 20,347 | 38,925 |
Standard Chartered | 91,117 | 1,403,546 |
Standard Life | 100,092 | 278,776 |
Tate & Lyle | 23,384 | 95,123 |
Tesco | 378,497 | 1,882,227 |
Thomas Cook Group | 17,837 | 68,759 |
Thomso Reuters | 8,929 | 231,267 |
Tomkins | 43,862 | 111,769 |
Tui Travel | 29,455 | 109,591 |
Tullow Oil | 38,651 | 457,106 |
Unilever | 61,832 | 1,208,770 |
United Business Media | 12,687 | 86,224 |
United Utilities Group | 33,597 | 252,545 |
Vedanta Resources | 5,989 | 93,985 |
Vodafone Group | 2,524,303 | 4,644,386 |
Whitbread | 9,297 | 129,209 |
WM Morrison Supermarkets | 114,605 | 417,104 |
Wolseley | 14,053 b | 252,182 |
WPP | 54,316 | 372,112 |
Xstrata | 91,971 | 809,770 |
74,418,459 | ||
Total Common Stocks | ||
(cost $496,427,022) | 356,961,234 | |
Preferred Stocks—.3% | ||
Germany—.3% | ||
Bayerische Motoren Werke | 1,993 | 41,920 |
Fresenius | 3,634 | 187,821 |
Henkel & Co. | 8,754 | 237,312 |
Porsche Automobil Holding | 4,228 | 303,271 |
RWE | 1,704 | 106,034 |
Volkswagen | 5,128 | 325,347 |
1,201,705 |
The Fund 35
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Preferred Stocks (continued) | Shares | Value ($) |
Italy—.0% | ||
Unipol Gruppo Finanziario | 42,747 | 35,571 |
Total Preferred Stocks | ||
(cost $1,651,062) | 1,237,276 | |
Principal | ||
Short-Term Investments—.3% | Amount ($) | Value ($) |
U.S. Treasury Bills; | ||
0.12%, 6/18/09 | ||
(cost $1,163,808) | 1,164,000 c | 1,163,927 |
Other Investment—1.9% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Preferred Plus Money Market Fund | ||
(cost $7,100,000) | 7,100,000 d | 7,100,000 |
Total Investments (cost $506,341,892) | 98.4% | 366,462,437 |
Cash and Receivables (Net) | 1.6% | 5,749,995 |
Net Assets | 100.0% | 372,212,432 |
PC—Participation Certificate RSP—Risparmio Shares |
PPS—Price Protected Shares |
RSP—Risparmio Shares |
a The valuation of these securities has been determined in good faith under the direction of the Board of Directors. |
b Non-income producing security. |
c All or partially held by a broker as collateral for open financial futures positions. |
d Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Banking | 12.1 | Insurance | 4.1 |
Materials | 9.0 | Diversified Financials | 4.0 |
Energy | 8.5 | Technology Hardware & Equipment | 3.2 |
Capital Goods | 7.8 | Consumer Durables | 2.6 |
Pharmaceuticals & Biotechnology | 6.7 | Real Estate | 2.6 |
Utilities | 6.1 | Short-Term/Money Market Investments | 2.2 |
Food, Beverage & Tobacco | 6.0 | Other | 13.0 |
Telecommunications | 6.0 | ||
Automobiles & Components | 4.5 | 98.4 | |
† Based on net assets. | |||
See notes to financial statements. |
36
STATEMENT OF FINANCIAL FUTURES April 30, 2009 (Unaudited) |
Market Value | Unrealized | |||
Covered by | Appreciation | |||
Contracts | Contracts ($) | Expiration | at 4/30/2009 ($) | |
Financial Futures Long | ||||
DJ Euro Stoxx 50 | 190 | 5,861,182 | June 2009 | 490,343 |
FTSE 100 | 60 | 3,740,387 | June 2009 | 241,077 |
TOPIX | 38 | 3,248,259 | June 2009 | 48,630 |
780,050 | ||||
See notes to financial statements. |
The Fund 37
STATEMENT OF ASSETS AND LIABILITIES April 30, 2009 (Unaudited) |
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments: | ||
Unaffiliated issuers | 499,241,892 | 359,362,437 |
Affiliated issuers | 7,100,000 | 7,100,000 |
Cash | 933,670 | |
Cash denominated in foreign currencies | 1,890,116 | 1,911,654 |
Dividends and interest receivable | 2,355,854 | |
Receivable for shares of Common Stock subscribed | 418,708 | |
Receivable for futures variation margin—Note 4 | 272,287 | |
Receivable for investment securities sold | 261,196 | |
Unrealized appreciation on forward | ||
currency exchange contracts—Note 4 | 57,396 | |
372,673,202 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 175,021 | |
Payable for shares of Common Stock redeemed | 143,569 | |
Payable for investment securities purchased | 121,924 | |
Unrealized depreciation on forward | ||
currency exchange contracts—Note 4 | 20,256 | |
460,770 | ||
Net Assets ($) | 372,212,432 | |
Composition of Net Assets ($): | ||
Paid-in capital | 510,291,611 | |
Accumulated undistributed investment income—net | 3,719,458 | |
Accumulated net realized gain (loss) on investments | (2,751,198) | |
Accumulated net unrealized appreciation (depreciation) on | ||
investments and foreign currency transactions (including | ||
$780,050 net unrealized appreciation on financial futures) | (139,047,439) | |
Net Assets ($) | 372,212,432 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 34,539,389 | |
Net Asset Value, offering and redemption price per share—Note 3(c) ($) | 10.78 | |
See notes to financial statements. |
38
STATEMENT OF OPERATIONS Six Months Ended April 30, 2009 (Unaudited) |
Investment Income ($): | |
Income: | |
Dividends (net of $624,857 foreign taxes withheld at source): | |
Unaffiliated issuers | 6,593,038 |
Affiliated issuers | 8,859 |
Total Income | 6,601,897 |
Expenses: | |
Management fee—Note 3(a) | 643,287 |
Shareholder servicing costs—Note 3(b) | 459,491 |
Directors’ fees—Note 3(a) | 15,230 |
Loan commitment fees—Note 2 | 2,205 |
Interest expense—Note 2 | 139 |
Total Expenses | 1,120,352 |
Less—Directors’ fees reimbursed | |
by the Manager—Note 3(a) | (15,230) |
Net Expenses | 1,105,122 |
Investment Income—Net | 5,496,775 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments and foreign currency transactions | 696,528 |
Net realized gain (loss) on financial futures | 136,850 |
Net realized gain (loss) on forward currency exchange contracts | 2,878,454 |
Net Realized Gain (Loss) | 3,711,832 |
Net unrealized appreciation (depreciation) on investments and | |
foreign currency transactions [including ($31,886) net | |
unrealized (depreciation) on financial futures] | (29,462,451) |
Net Realized and Unrealized Gain (Loss) on Investments | (25,750,619) |
Net (Decrease) in Net Assets Resulting from Operations | (20,253,844) |
See notes to financial statements. |
The Fund 39
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
April 30, 2009 | Year Ended | |
(Unaudited) | October 31, 2008 | |
Operations ($): | ||
Investment income—net | 5,496,775 | 12,871,621 |
Net realized gain (loss) on investments | 3,711,832 | 2,192,124 |
Net unrealized appreciation | ||
(depreciation) on investments | (29,462,451) | (280,519,632) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | (20,253,844) | (265,455,887) |
Dividends to Shareholders from ($): | ||
Investment income—net | (9,805,885) | (12,808,881) |
Net realized gain on investments | (778,245) | — |
Total Dividends | (10,584,130) | (12,808,881) |
Capital Stock Transactions ($): | ||
Net proceeds from shares sold | 230,746,134 | 201,734,295 |
Dividends reinvested | 9,310,051 | 11,705,486 |
Cost of shares redeemed | (163,936,779) | (169,897,255) |
Increase (Decrease) in Net Assets | ||
from Capital Stock Transactions | 76,119,406 | 43,542,526 |
Total Increase (Decrease) in Net Assets | 45,281,432 | (234,722,242) |
Net Assets ($): | ||
Beginning of Period | 326,931,000 | 561,653,242 |
End of Period | 372,212,432 | 326,931,000 |
Undistributed investment income—net | 3,719,458 | 8,028,568 |
Capital Share Transactions (Shares): | ||
Shares sold | 22,553,806 | 11,936,731 |
Shares issued for dividends reinvested | 858,486 | 581,205 |
Shares redeemed | (17,268,894) | (9,673,592) |
Net Increase (Decrease) in Shares Outstanding | 6,143,398 | 2,844,344 |
See notes to financial statements. |
40
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2009 | Year Ended October 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Per Share Data ($): | ||||||
Net asset value, | ||||||
beginning of period | 11.51 | 21.98 | 18.03 | 14.47 | 12.57 | 10.91 |
Investment Operations: | ||||||
Investment income—neta | .16 | .49 | .43 | .38 | .29 | .25 |
Net realized and unrealized | ||||||
gain (loss) on investments | (.62) | (10.47) | 3.90 | 3.45 | 1.88 | 1.72 |
Total from Investment Operations | (.46) | (9.98) | 4.33 | 3.83 | 2.17 | 1.97 |
Distributions: | ||||||
Dividends from | ||||||
investment income—net | (.25) | (.49) | (.38) | (.27) | (.27) | (.31) |
Dividends from net realized | ||||||
gain on investments | (.02) | — | — | — | — | — |
Total Distributions | (.27) | (.49) | (.38) | (.27) | (.27) | (.31) |
Net asset value, end of period | 10.78 | 11.51 | 21.98 | 18.03 | 14.47 | 12.57 |
Total Return (%) | (3.99)b | (46.37) | 24.40 | 26.83 | 17.40 | 18.40 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | ||||||
to average net assets | .61c | .61 | .61 | .60 | .60 | .60 |
Ratio of net expenses | ||||||
to average net assets | .60c | .60 | .60 | .60 | .60 | .60 |
Ratio of net investment income | ||||||
to average net assets | 2.99c | 2.72 | 2.20 | 2.30 | 2.07 | 2.07 |
Portfolio Turnover Rate | 18.43b | 7.17 | 3.31 | 4.12 | 3.46 | 14.80 |
Net Assets, end of period | ||||||
($ x 1,000) | 372,212 | 326,931 | 561,653 | 355,608 | 200,674 | 117,116 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements. |
The Fund 41
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus International Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to match the performance of the Morgan Stanley Capital International Europe, Australasia, Far East Free Index (MSCI EAFE®). The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. 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 Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fund enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are
42
valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value. When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market),but before the fund calculates its net asset value,the fund may v alue these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures contracts. For other securities that are fair valued by the Board of Directors, certain factors may be considered such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Financial futures are valued at the last sales price. 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.
The fund adopted Statement of Financial Accounting Standards No. 157 “FairValue 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 Fund 43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Various inputs are used in determining the value of the fund’s investments relating to FAS 157.These inputs are summarized in the three broad levels listed below.
Level 1—quoted prices in active markets for identical investments. |
Level 2—other significant observable inputs (including quoted |
prices for similar securities, interest rates, prepayment speeds, |
credit risk, etc.). |
Level 3—significant unobservable inputs (including the fund’s own |
assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2009 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Quoted | Observable Unobservable | |||
Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in | ||||
Securities | 129,729,924 | 236,732,513 | — | 366,462,437 |
Other Financial | ||||
Instruments† | 780,050 | 57,396 | — | 837,446 |
Liabilities ($) | ||||
Other Financial | ||||
Instruments† | — | (20,256) | — | (20,256) |
- Other financial instruments include derivative instruments, such as futures, forward currency exchange contracts, swap contracts and options contracts.Amounts shown represent unrealized appreciation (depreciation) at period end.
In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4,“Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a trans-
44
action is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the fund’s financial statement disclosures.
(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 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 resulting from changes in exchange rates. Foreign currency gains and losses on investments 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 gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
The Fund 45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from 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.
As of and during the period ended April 30, 2009, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended October 31, 2008 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2008 was as follows: ordinary income $12,808,881. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $145 million unsecured credit facility led by Citibank, N.A. and a $300 mil-
46
lion unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of Facility fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of the borrowing.
The average daily amount of borrowings outstanding under the Facilities during the period ended April 30, 2009, was approximately $17,700 with a related weighted average annualized interest rate of 1.59%.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a 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 to pay all the expenses of the fund, except management fees, brokerage fees and 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 the accrued 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 11 other funds (comprised of 33 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 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 meeting that is conducted by telephone. The Chairman of the Board receives an
The Fund 47
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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.
(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 value of the fund’s average daily net assets.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2009, the fund was charged $459,491 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 $102,096 and shareholder services plan fees $72,925.
(c) A 2% redemption fee is charged and retained by the fund on certain shares redeemed within sixty days following the date of issuance subject to exceptions, including redemptions made through use of the fund’s exchange privilege. During the period ended April 30, 2009, redemption fees charged and retained by the fund amounted to $139,772.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities, forward currency exchange contracts
48
and financial futures, during the period ended April 30, 2009, amounted to $133,327,472 and $65,650,406, 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. 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. 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. Contracts open at April 30, 2009, are set forth in the Statement of Financial Futures.
The fund enters 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 counterparty nonperformance on these forward currency
The Fund 49
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
exchange contracts, which is typically limited to the unrealized gain on each open contract.The following summarizes open forward currency exchange contracts at April 30, 2009:
Foreign | Unrealized | |||
Forward Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation) ($) | |
Purchases: | ||||
British Pound, | ||||
expiring 6/17/2009 | 63,384 | 91,674 | 93,765 | 2,091 |
British Pound, | ||||
expiring 6/17/2009 | 37,200 | 53,128 | 55,031 | 1,903 |
British Pound, | ||||
expiring 6/17/2009 | 116,600 | 167,819 | 172,488 | 4,669 |
British Pound, | ||||
expiring 6/17/2009 | 40,900 | 60,634 | 60,504 | (130) |
British Pound, | ||||
expiring 6/17/2009 | 176,315 | 261,063 | 260,826 | (237) |
British Pound, | ||||
expiring 6/17/2009 | 119,600 | 177,197 | 176,926 | (271) |
British Pound, | ||||
expiring 6/17/2009 | 39,400 | 57,993 | 58,285 | 292 |
British Pound, | ||||
expiring 6/17/2009 | 77,700 | 114,332 | 114,943 | 611 |
British Pound, | ||||
expiring 6/17/2009 | 78,600 | 115,858 | 116,274 | 416 |
British Pound, | ||||
expiring 6/17/2009 | 78,600 | 116,976 | 116,274 | (702) |
British Pound, | ||||
expiring 6/17/2009 | 78,500 | 117,377 | 116,126 | (1,251) |
British Pound, | ||||
expiring 6/17/2009 | 78,100 | 116,301 | 115,535 | (766) |
British Pound, | ||||
expiring 6/17/2009 | 120,100 | 178,028 | 177,666 | (362) |
British Pound, | ||||
expiring 6/17/2009 | 242,400 | 353,346 | 358,586 | 5,240 |
British Pound, | ||||
expiring 6/17/2009 | 157,500 | 230,264 | 232,992 | 2,728 |
British Pound, | ||||
expiring 6/17/2009 | 39,400 | 57,042 | 58,285 | 1,243 |
British Pound, | ||||
expiring 6/17/2009 | 39,900 | 57,984 | 59,025 | 1,041 |
British Pound, | ||||
expiring 6/17/2009 | 79,500 | 117,195 | 117,606 | 411 |
British Pound, | ||||
expiring 6/17/2009 | 82,600 | 121,246 | 122,192 | 946 |
Euro, | ||||
expiring 6/17/2009 | 25,448 | 34,516 | 33,664 | (852) |
50
Foreign | Unrealized | |||
Forward Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation) ($) | |
Purchases (continued): | ||||
Euro, | ||||
expiring 6/17/2009 | 83,000 | 112,289 | 109,795 | (2,494) |
Euro, | ||||
expiring 6/17/2009 | 20,800 | 27,670 | 27,515 | (155) |
Euro, | ||||
expiring 6/17/2009 | 174,300 | 231,720 | 230,570 | (1,150) |
Euro, | ||||
expiring 6/17/2009 | 239,200 | 316,813 | 316,422 | (391) |
Euro, | ||||
expiring 6/17/2009 | 40,400 | 54,256 | 53,443 | (813) |
Euro, | ||||
expiring 6/17/2009 | 42,900 | 57,543 | 56,750 | (793) |
Euro, | ||||
expiring 6/17/2009 | 84,800 | 113,957 | 112,176 | (1,781) |
Euro, | ||||
expiring 6/17/2009 | 188,600 | 249,965 | 249,487 | (478) |
Euro, | ||||
expiring 6/17/2009 | 83,600 | 110,797 | 110,589 | (208) |
Euro, | ||||
expiring 6/17/2009 | 65,200 | 86,488 | 86,249 | (239) |
Euro, | ||||
expiring 6/17/2009 | 130,300 | 172,654 | 172,365 | (289) |
Euro, | ||||
expiring 6/17/2009 | 175,800 | 231,583 | 232,554 | 971 |
Euro, | ||||
expiring 6/17/2009 | 109,300 | 144,194 | 144,586 | 392 |
Euro, | ||||
expiring 6/17/2009 | 155,900 | 203,496 | 206,230 | 2,734 |
Euro, | ||||
expiring 6/17/2009 | 451,000 | 584,798 | 596,599 | 11,801 |
Euro, | ||||
expiring 6/17/2009 | 282,500 | 366,104 | 373,701 | 7,597 |
Euro, | ||||
expiring 6/17/2009 | 43,400 | 56,340 | 57,411 | 1,071 |
Euro, | ||||
expiring 6/17/2009 | 87,800 | 116,436 | 116,145 | (291) |
Euro, | ||||
expiring 6/17/2009 | 45,200 | 59,257 | 59,792 | 535 |
Euro, | ||||
expiring 6/17/2009 | 158,500 | 206,921 | 209,669 | 2,748 |
Japanese Yen, | ||||
expiring 6/17/2009 | 2,797,397 | 28,365 | 28,386 | 21 |
Japanese Yen, | ||||
expiring 6/17/2009 | 7,875,000 | 80,096 | 79,910 | (186) |
The Fund 51
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Foreign | Unrealized | |||
Forward Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation) ($) | |
Purchases (continued): | ||||
Japanese Yen, | ||||
expiring 6/17/2009 | 38,850,000 | 393,324 | 394,221 | 897 |
Japanese Yen, | ||||
expiring 6/17/2009 | 16,540,000 | 165,549 | 167,836 | 2,287 |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,340,000 | 83,263 | 84,628 | 1,365 |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,430,000 | 84,127 | 85,541 | 1,414 |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,450,000 | 85,222 | 85,744 | 522 |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,440,000 | 84,986 | 85,643 | 657 |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,355,000 | 84,409 | 84,780 | 371 |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,335,000 | 84,155 | 84,577 | 422 |
Japanese Yen, | ||||
expiring 6/17/2009 | 33,960,000 | 345,227 | 344,601 | (626) |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,470,000 | 86,335 | 85,947 | (388) |
Japanese Yen, | ||||
expiring 6/17/2009 | 8,340,000 | 84,910 | 84,628 | (282) |
Japanese Yen, | ||||
expiring 6/17/2009 | 25,020,000 | 259,006 | 253,885 | (5,121) |
Total | 37,140 |
At April 30, 2009, accumulated net unrealized depreciation on investments was $139,879,455, consisting of $5,081,878 gross unrealized appreciation and $144,961,333 gross unrealized depreciation.
At April 30, 2009, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
52
The FASB released Statement of Financial Accounting Standards No. 161 “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agree-ments.The application of FAS 161 is required for fiscal years and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of FAS 161 and its impact on the financial statements and the accompanying notes has not yet been determined.
The Fund 53
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) |
At a meeting of the fund’s Board of Directors held on March 3, 2009, the Board unanimously approved the continuation of the fund’s Management Agreement with Dreyfus for a one-year term ending March 30, 2010. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus. In approving the continuance of the Management Agreement, the Board considered all factors that they believed to be relevant, including, among other things, the factors discussed below.
Analysis of Nature, Extent and Quality of Services Provided to the Fund. The Board members received a presentation from representatives of Dreyfus regarding services provided to the fund and other funds in the Dreyfus fund complex, and discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement. Dreyfus’ representatives reviewed the fund’s distribution of accounts and the relationships Dreyfus has with various intermediaries and the different needs of each. Dreyfus’ representatives noted the various distribution channels for the fund as well as the diverse methods of distribution among other funds in the Dreyfus fund complex, and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel, including those of the fund. Dreyfus also provided the number of accounts investing in the fund, as well as the fund’s asset size.
The Board members also considered Dreyfus’ research and portfolio management capabilities and Dreyfus’ oversight of day-to-day fund operations, including fund accounting, administration, and assistance in meeting legal and regulatory requirements. The Board members also considered Dreyfus’ extensive administrative, accounting and compliance infrastructure. The Board also considered Dreyfus’ brokerage policies and practices, the standards applied in seeking best execution and Dreyfus’ policies and practices regarding soft dollars.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board members reviewed the fund’s performance and comparisons to a group consisting of retail no-load and
54
front-end load international multi-cap funds, one international large-cap core fund and one international large-cap value fund that are benchmarked against the Morgan Stanley Capital International Europe, Australasia, Far East (Free) Index (the “Performance Group”), and also to a larger universe of funds, consisting of all retail and institutional international multi-cap core funds (the “Performance Universe”) selected and provided by Lipper, Inc., an independent provider of investment company data.The Board was provided with a description of the methodology Lipper used to select the Performance Group and Performance Universe, as well as the Expense Group and Expense Universe (discussed below).The Board members discussed the results of the comparisons and noted the fund’s average annual total return ranked in the third quartile of its Performance Group and Performance Universe for the one-year period ended December 31, 2008. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board members also discussed the fund’s contractual and actual management fee and expense ratio and reviewed the range of management fees and expense ratios as compared to a comparable group of funds (the “Expense Group”) and a broader group of funds (the “Expense Universe”), each selected and provided by Lipper.The fund’s management fee and expense ratio were lower than the Expense Group and Expense Universe medians. After discussions with the Board members, representatives of Dreyfus agreed that Dreyfus will pay all of the fund’s direct expenses, except management fees, brokerage commissions, taxes, interest, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund and to the non-interested Board members, Shareholder Services Plan fees, and extraordinary expenses. Dreyfus has also agreed to reduce its management fee in an amount equal to the fund’s allocable portion of the accrued fees and expenses of non-interested Board members and fees and expenses of independent counsel to the fund and to the non-interested Board members.
Representatives of Dreyfus reviewed with the Board members the fees paid to Dreyfus or its affiliates by mutual funds and/or separate accounts
The Fund 55
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued) |
with similar investment objectives, policies and strategies as the fund (the “Similar Accounts”), and explained the nature of the Similar Accounts and the differences, from Dreyfus’ perspective, as applicable, in providing services to the Similar Accounts as compared to the fund. Dreyfus’ representatives also reviewed the costs associated with distribution through intermediaries.The Board analyzed differences in fees paid to Dreyfus and discussed the relationship of the advisory fees paid in light of the services provided.The Board members considered the relevance of the fee information provided for the Similar Accounts to evaluate the appropriateness and reasonableness of the fund’s management fees.The Board acknowledged that differences in fees paid by the Similar Accounts seemed to be consistent with the services provided.
Analysis of Profitability and Economies of Scale. Dreyfus’ representatives reviewed the dollar amount of expenses allocated and profit received by Dreyfus and the method used to determine such expenses and profit.The Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus mutual fund complex. The Board also was informed that the methodology had also been reviewed by an independent registered public accounting firm which, like the consultant, found the methodology to be reasonable. The consulting firm also analyzed where any economies of scale might emerge in connection with the management of the fund. The Board members evaluated the profitability analysis in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund investors. The Board members also considered potential benefits to Dreyfus from acting as investment adviser and noted there were no soft dollar arrangements with respect to trading the fund’s investments.
It was noted that the Board members should consider Dreyfus’ profitability with respect to the fund as part of their evaluation of whether the fees under the Management Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature,
56
extent and quality of such services and that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been static or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. It also was noted that the profitability percentage for managing the fund was within ranges determined by appropriate court cases to be reasonable given the services rendered and generally superior service levels provided.The Board also noted the fee waiver and expense reimbursement arrangements in place for the fund and their effect on Dreyfus’ profitability.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to continuation of the fund’s Management Agreement. Based on the discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the ser- vices provided by Dreyfus are adequate and appropriate.
- The Board was generally satisfied with the fund’s relative performance.
- The Board concluded that the fee paid by the fund to Dreyfus was reasonable in light of the considerations described above.
- The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the management fee rate charged to the fund and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that continuation of the fund’s Management Agreement was in the best interests of the fund and its shareholders.
The Fund 57
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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 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
23 | Statement of Financial Futures |
24 | Statement of Assets and Liabilities |
25 | Statement of Operations |
26 | Statement of Changes in Net Assets |
27 | Financial Highlights |
28 | Notes to Financial Statements |
36 | Information About the Review and Approval of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
The Fund
Dreyfus S&P 500 Index Fund |
A LETTER FROM THE CEO Dear Shareholder: |
We present to you this semiannual report for Dreyfus S&P 500 Index Fund, covering the six-month period from November 1, 2008, through April 30, 2009.
The reporting period began with the equities market plummeting severely in late 2008,and rebounding over 20% by the end of the reporting period from dramatic March 2009 lows. In supporting the recent rally, investors apparently shrugged off more bad economic news: the unemployment rate surged to a 25-year high in April, and a 6.3% annualized contraction in economic growth over the fourth quarter of 2008 was followed by a further 6.1% economic contraction during the first quarter of 2009.Yet, the rebound between March 7 and April 30 proved to be one of the more robust in the history of the U.S. stock market.
These enormous swings have left investors wondering if the equities market is forecasting sustainable economic improvement, or whether these events represent what many call a bear market rally.We generally have remained cautious in the absence of real economic progress, but the market’s gyrations illustrate an important feature of many market rallies—when they begin to snap back, the rebounds are often quick and sharp, usually leaving most investors on the sidelines.That’s why we encourage you to speak regularly with your financial consultant, who can discuss with you the potential benefits of adhering to a long-term investment strategy tailored to your current investment needs and future goals.
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.
Jonathan R. Baum Chairman and Chief Executive Officer The Dreyfus Corporation May 15, 2009 |
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2008, through April 30, 2009, as provided by Thomas Durante, CFA, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended April 30, 2009, Dreyfus S&P 500 Index Fund produced a total return of –8.68%.1 In comparison, the Standard & Poor’s 500 Composite Stock Price Index (the “S&P 500 Index”), the fund’s benchmark, produced a –8.52% return for the same period.2,3
Large-cap stocks fell sharply during the first four months of an especially volatile reporting period, but recovered a significant portion of those losses in a rally over the reporting period’s final seven weeks.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 return.
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 float-adjusted market capitalization; that is, larger companies have greater representation in the S&P 500 Index than smaller ones.
Heightened Volatility Roiled Equity Markets
The reporting period began in the midst of the most severe recession since the 1930s, which had been exacerbated in September by a global banking crisis. Just weeks before the reporting period began, major financial institutions found themselves unable to obtain short-term funding due to massive losses among mortgage- and asset-backed securities. In the ensuing tumult, the U.S. government effectively nationalized Fannie Mae, Freddie Mac and insurer AIG; Lehman Brothers filed for bankruptcy; and other major firms were sold to
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued) |
former rivals. Congress passed the $700 billion Troubled Assets Relief Program (TARP), and the Federal Reserve Board (the “Fed”) pumped liquidity into the system to shore up the nation’s banks.
As the reporting period began, job losses continued to mount, and consumer confidence plunged. In late November,The National Bureau of Economic Research officially declared that the U.S.economy has been in a recession since late 2007.The Fed implemented an additional rate cut in December, and the target for the federal funds rate ended 2008 between 0% and 0.25%,a record low.It later was announced that the U.S. economy contracted at a –6.3% annualized rate in the fourth quarter.
In January 2009, home prices continued to fall sharply. The U.S. economy lost more than 650,000 jobs per month in February and March, driving the unemployment rate to a 25-year high. Meanwhile, consumer confidence reached its lowest level since recordkeeping began in 1967. In its ongoing efforts to stimulate the economy, the U.S. government enacted the $787 billion American Recovery and Reinvestment Act and took steps to rescue the nation’s major automakers as vehicle sales plunged.
After hitting a multi-year low in early March, the S&P 500 Index staged an impressive rebound through the reporting period’s end.The market was buoyed by early signs that the economic downturn may be decelerating, including a lower-than-expected number of jobless claims in April. A decline in a key interest rate, the three-month London Interbank Offered Rate (LIBOR), to less than 1% provided evidence of improvement in the global credit markets. However, the first quarter of 2009 ended with an estimated –6.1% annualized GDP growth rate; home prices ended the quarter 13.8% lower than one year earlier, the largest quarterly slump on record; and the unemployment rate climbed to 8.9% in April.
Financials Weighed on Stock Market Averages
For the reporting period overall, declines in the S&P 500 Index were particularly severe in the financials sector as the credit crisis took its toll. In the health care sector, large pharmaceutical developers faced
4
increased competition from generic drug manufacturers, while health care equipment firms were hurt by sluggish sales to hospitals. Among industrials companies, airlines were hurt by reductions in business and vacation travel, and defense companies lost value due to pressure on government defense budgets. Railroad stocks also disappointed, as fewer goods were shipped in the sluggish economy.
On the other hand, some of the S&P 500 Index’s better performers came from the technology and telecommunications services sectors, most notably consumer-related wireless telephone companies. Consumer discretionary stocks also posted relatively strong results, as specialty retailers, computer and electronic stores, automotive retailers and department stores rebounded from lower levels.
Index Funds Offer Diversification Benefits
As an index fund, we attempt to replicate the returns of the S&P 500 Index by closely approximating its composition. 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.
May 15, 2009
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.
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
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 November 1, 2008 to April 30, 2009. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |
assuming actual returns for the six months ended April 30, 2009 | |
Expenses paid per $1,000† | $2.37 |
Ending value (after expenses) | $913.20 |
COMPARING YOUR FUND’S EXPENSES WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |
assuming a hypothetical 5% annualized return for the six months ended April 30, 2009 | |
Expenses paid per $1,000† | $2.51 |
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS April 30, 2009 (Unaudited) |
Common Stocks—96.3% | Shares | Value ($) | |
Consumer Discretionary—9.2% | |||
Abercrombie & Fitch, Cl. A | 21,168 a | 572,806 | |
Amazon.com | 77,663 a,b | 6,253,424 | |
Apollo Group, Cl. A | 25,395 a,b | 1,598,615 | |
AutoNation | 26,802 a,b | 474,663 | |
AutoZone | 9,239 a,b | 1,537,277 | |
Bed Bath & Beyond | 62,357 a,b | 1,896,900 | |
Best Buy | 82,058 a | 3,149,386 | |
Big Lots | 20,087 a,b | 555,205 | |
Black & Decker | 14,270 a | 575,081 | |
Carnival | 104,868 a | 2,818,852 | |
CBS, Cl. B | 162,937 | 1,147,076 | |
Centex | 30,129 a | 329,611 | |
Coach | 78,943 | 1,934,104 | |
Comcast, Cl. A | 695,386 | 10,750,668 | |
D.R. Horton | 67,450 a | 880,223 | |
Darden Restaurants | 33,452 | 1,236,720 | |
DIRECTV Group | 130,301 a,b | 3,222,344 | |
Eastman Kodak | 64,824 a | 197,713 | |
Expedia | 51,402 a,b | 699,581 | |
Family Dollar Stores | 33,266 a | 1,104,099 | |
Ford Motor | 692,934 a,b | 4,143,745 | |
Fortune Brands | 35,903 | 1,411,347 | |
GameStop, Cl. A | 39,677 a,b | 1,196,658 | |
Gannett | 56,630 a | 221,423 | |
Gap | 113,824 | 1,768,825 | |
General Motors | 147,407 a | 283,021 | |
Genuine Parts | 39,155 a | 1,329,704 | |
Goodyear Tire & Rubber | 59,181 b | 650,399 | |
H & R Block | 80,149 | 1,213,456 | |
Harley-Davidson | 57,065 a | 1,264,560 | |
Harman International Industries | 14,877 a | 270,613 | |
Hasbro | 29,932 a | 797,987 | |
Home Depot | 408,370 | 10,748,298 | |
International Game Technology | 73,881 | 912,430 | |
Interpublic Group of Cos. | 116,083 a,b | 726,680 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Consumer Discretionary (continued) | ||
J.C. Penney | 53,156 | 1,631,358 |
Johnson Controls | 142,556 a | 2,709,990 |
KB Home | 19,013 a | 343,565 |
Kohl’s | 73,075 b | 3,313,951 |
Leggett & Platt | 38,630 a | 554,727 |
Lennar, Cl. A | 34,261 a | 333,702 |
Limited Brands | 68,114 a | 777,862 |
Lowe’s Cos. | 352,307 | 7,574,601 |
Macy’s | 100,609 a | 1,376,331 |
Marriott International, Cl. A | 71,600 a | 1,686,896 |
Mattel | 86,234 | 1,290,061 |
McDonald’s | 269,132 | 14,342,044 |
McGraw-Hill Cos. | 77,073 | 2,323,751 |
Meredith | 9,262 a | 232,291 |
New York Times, Cl. A | 28,966 a | 155,837 |
Newell Rubbermaid | 68,205 | 712,742 |
News, Cl. A | 551,722 | 4,557,224 |
NIKE, Cl. B | 94,273 | 4,946,504 |
Nordstrom | 38,007 a | 860,098 |
O’Reilly Automotive | 32,675 a,b | 1,269,424 |
Office Depot | 67,252 b | 174,183 |
Omnicom Group | 75,050 a | 2,361,824 |
Polo Ralph Lauren | 13,678 a | 736,424 |
Pulte Homes | 52,685 a | 606,404 |
RadioShack | 32,300 | 454,784 |
Scripps Networks Interactive, Cl. A | 22,057 | 605,244 |
Sears Holdings | 13,585 a,b | 848,655 |
Sherwin-Williams | 23,990 a | 1,358,794 |
Snap-On | 14,181 | 481,020 |
Stanley Works | 19,313 | 734,473 |
Staples | 170,658 a | 3,518,968 |
Starbucks | 175,133 b | 2,532,423 |
Starwood Hotels & Resorts Worldwide | 44,558 | 929,480 |
Target | 181,409 | 7,484,935 |
Tiffany & Co. | 29,894 a | 865,132 |
Time Warner | 288,756 | 6,303,543 |
8
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Time Warner Cable | 85,055 | 2,741,323 | |
TJX Cos. | 100,632 a | 2,814,677 | |
VF | 20,838 | 1,235,068 | |
Viacom, Cl. B | 149,049 b | 2,867,703 | |
Walt Disney | 446,971 | 9,788,665 | |
Washington Post, Cl. B | 1,437 | 601,514 | |
Whirlpool | 17,999 a | 812,835 | |
Wyndham Worldwide | 43,577 | 508,979 | |
Wynn Resorts | 14,876 a,b | 583,585 | |
Yum! Brands | 112,487 | 3,751,441 | |
174,568,529 | |||
Consumer Staples—11.6% | |||
Altria Group | 500,115 | 8,166,878 | |
Archer-Daniels-Midland | 154,562 | 3,805,316 | |
Avon Products | 102,209 | 2,326,277 | |
Brown-Forman, Cl. B | 23,436 a | 1,089,774 | |
Campbell Soup | 49,681 | 1,277,795 | |
Clorox | 33,086 a | 1,854,470 | |
Coca-Cola | 481,820 | 20,742,351 | |
Coca-Cola Enterprises | 75,713 | 1,291,664 | |
Colgate-Palmolive | 121,590 | 7,173,810 | |
ConAgra Foods | 109,854 | 1,944,416 | |
Constellation Brands, Cl. A | 47,761 b | 553,550 | |
Costco Wholesale | 104,486 | 5,078,020 | |
CVS Caremark | 352,303 | 11,196,189 | |
Dean Foods | 37,319 a,b | 772,503 | |
Dr. Pepper Snapple Group | 61,949 b | 1,282,964 | |
Estee Lauder, Cl. A | 28,062 a | 839,054 | |
General Mills | 80,781 | 4,094,789 | |
H.J. Heinz | 74,982 | 2,580,880 | |
Hershey | 40,106 a | 1,449,431 | |
Hormel Foods | 16,901 | 528,832 | |
J.M. Smucker | 28,381 | 1,118,211 | |
Kellogg | 60,104 | 2,530,979 | |
Kimberly-Clark | 99,784 | 4,903,386 | |
Kraft Foods, Cl. A | 354,753 | 8,301,220 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Staples (continued) | |||
Kroger | 157,274 a | 3,400,264 | |
Lorillard | 40,584 a | 2,562,068 | |
McCormick & Co. | 31,508 | 927,911 | |
Molson Coors Brewing, Cl. B | 36,475 | 1,395,169 | |
Pepsi Bottling Group | 33,779 a | 1,056,269 | |
PepsiCo | 376,695 | 18,744,343 | |
Philip Morris International | 486,358 | 17,606,160 | |
Procter & Gamble | 710,441 | 35,124,203 | |
Reynolds American | 41,207 a | 1,565,042 | |
Safeway | 103,519 | 2,044,500 | |
Sara Lee | 171,310 | 1,425,299 | |
SUPERVALU | 52,104 | 851,900 | |
SYSCO | 144,573 | 3,372,888 | |
Tyson Foods, Cl. A | 71,441 | 752,988 | |
Wal-Mart Stores | 541,182 | 27,275,573 | |
Walgreen | 237,905 a | 7,477,354 | |
Whole Foods Market | 34,365 a | 712,386 | |
221,197,076 | |||
Energy—12.0% | |||
Anadarko Petroleum | 110,845 | 4,772,986 | |
Apache | 80,388 | 5,857,070 | |
Baker Hughes | 73,982 | 2,632,280 | |
BJ Services | 72,178 a | 1,002,552 | |
Cabot Oil & Gas | 25,678 a | 775,219 | |
Cameron International | 52,077 a,b | 1,332,130 | |
Chesapeake Energy | 136,037 | 2,681,289 | |
Chevron | 485,949 | 32,121,229 | |
ConocoPhillips | 359,991 | 14,759,631 | |
Consol Energy | 43,840 | 1,371,315 | |
Denbury Resources | 60,182 b | 979,763 | |
Devon Energy | 107,420 | 5,569,727 | |
Diamond Offshore Drilling | 16,768 a | 1,214,171 | |
El Paso | 167,868 a | 1,158,289 | |
ENSCO International | 34,299 | 969,976 | |
EOG Resources | 59,759 | 3,793,501 | |
Exxon Mobil | 1,198,588 | 79,909,862 |
10
Common Stocks (continued) | Shares | Value ($) | |
Energy (continued) | |||
Halliburton | 215,816 | 4,363,800 | |
Hess | 67,994 | 3,725,391 | |
Marathon Oil | 169,534 | 5,035,160 | |
Massey Energy | 19,878 a | 316,259 | |
Murphy Oil | 45,663 | 2,178,582 | |
Nabors Industries | 66,961 b | 1,018,477 | |
National Oilwell Varco | 100,206 b | 3,034,238 | |
Noble Energy | 41,352 | 2,346,726 | |
Occidental Petroleum | 195,563 | 11,008,241 | |
Peabody Energy | 64,384 a | 1,699,094 | |
Pioneer Natural Resources | 28,595 a | 661,116 | |
Range Resources | 37,024 | 1,479,849 | |
Rowan | 27,369 a | 427,230 | |
Schlumberger | 288,574 | 14,137,240 | |
Smith International | 51,789 | 1,338,746 | |
Southwestern Energy | 82,272 b | 2,950,274 | |
Spectra Energy | 155,718 | 2,257,911 | |
Sunoco | 28,954 a | 767,571 | |
Tesoro | 33,874 a | 516,579 | |
Valero Energy | 125,536 | 2,490,634 | |
Williams Cos. | 138,178 | 1,948,310 | |
XTO Energy | 139,285 | 4,827,618 | |
229,430,036 | |||
Financial—11.6% | |||
Aflac | 112,556 | 3,251,743 | |
Allstate | 130,110 | 3,035,466 | |
American Express | 283,450 a | 7,148,609 | |
American International Group | 644,778 a | 889,793 | |
Ameriprise Financial | 53,007 | 1,396,734 | |
AON | 65,145 | 2,749,119 | |
Apartment Investment & Management, Cl. A | 27,723 a | 202,378 | |
Assurant | 28,350 | 692,874 | |
AvalonBay Communities | 19,016 a | 1,080,299 | |
Bank of America | 1,543,919 a | 13,787,197 | |
Bank of New York Mellon | 277,105 | 7,060,635 | |
BB & T | 133,410 a | 3,113,789 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Boston Properties | 28,723 a | 1,419,491 | |
Capital One Financial | 94,574 a | 1,583,169 | |
CB Richard Ellis Group, Cl. A | 53,844 a,b | 403,830 | |
Charles Schwab | 224,073 | 4,140,869 | |
Chubb | 86,580 | 3,372,291 | |
Cincinnati Financial | 39,166 | 938,026 | |
CIT Group | 94,096 a | 208,893 | |
Citigroup | 1,315,911 a | 4,013,529 | |
CME Group | 16,125 a | 3,569,269 | |
Comerica | 37,026 | 776,805 | |
Discover Financial Services | 114,517 | 931,023 | |
E*TRADE FINANCIAL | 133,472 a,b | 190,865 | |
Equity Residential | 64,969 a | 1,487,140 | |
Federated Investors, Cl. B | 21,265 | 486,543 | |
Fifth Third Bancorp | 138,249 a | 566,821 | |
First Horizon National | 49,408 a | 568,686 | |
Franklin Resources | 36,528 | 2,209,213 | |
Genworth Financial, Cl. A | 106,549 | 251,456 | |
Goldman Sachs Group | 121,475 a | 15,609,538 | |
Hartford Financial Services Group | 78,513 | 900,544 | |
HCP | 61,068 a | 1,340,443 | |
Health Care REIT | 26,803 a | 913,178 | |
Host Hotels & Resorts | 124,177 a | 954,921 | |
Hudson City Bancorp | 124,568 | 1,564,574 | |
Huntington Bancshares | 90,178 a | 251,597 | |
IntercontinentalExchange | 17,445 a,b | 1,528,182 | |
Invesco | 92,644 | 1,363,719 | |
Janus Capital Group | 39,704 | 398,231 | |
JPMorgan Chase & Co. | 909,593 | 30,016,569 | |
KeyCorp | 119,114 a | 732,551 | |
Kimco Realty | 55,049 a | 661,689 | |
Legg Mason | 34,860 a | 699,640 | |
Leucadia National | 42,353 a,b | 899,154 | |
Lincoln National | 62,353 a | 700,848 | |
Loews | 86,884 | 2,162,543 | |
M & T Bank | 18,460 a | 968,227 |
12
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Marsh & McLennan Cos. | 123,138 | 2,596,980 | |
Marshall & Ilsley | 62,013 a | 358,435 | |
MBIA | 46,630 a,b | 220,560 | |
MetLife | 198,014 | 5,890,917 | |
Moody’s | 7,187 a | 1,392,960 | |
Morgan Stanley | 260,079 a | 6,148,268 | |
Nasdaq OMX Group | 32,701 b | 628,840 | |
Northern Trust | 53,856 | 2,927,612 | |
NYSE Euronext | 63,732 | 1,476,670 | |
People’s United Financial | 83,430 | 1,303,177 | |
Plum Creek Timber | 40,984 a | 1,414,768 | |
PNC Financial Services Group | 102,877 | 4,084,217 | |
Principal Financial Group | 62,064 a | 1,014,126 | |
Progressive | 164,062 b | 2,506,867 | |
ProLogis | 101,516 a | 924,811 | |
Prudential Financial | 102,592 | 2,962,857 | |
Public Storage | 30,031 | 2,007,873 | |
Regions Financial | 166,452 a | 747,369 | |
Simon Property Group | 57,319 a | 2,957,660 | |
SLM | 114,918 b | 555,054 | |
State Street | 103,693 | 3,539,042 | |
SunTrust Banks | 84,939 | 1,226,519 | |
T. Rowe Price Group | 62,093 a | 2,391,822 | |
Torchmark | 21,166 a | 620,799 | |
Travelers Cos. | 141,955 | 5,840,029 | |
U.S. Bancorp | 423,681 | 7,719,468 | |
Unum Group | 79,955 | 1,306,465 | |
Ventas | 34,566 a | 989,970 | |
Vornado Realty Trust | 33,824 a | 1,653,655 | |
Wells Fargo & Co. | 1,025,741 | 20,525,077 | |
XL Capital, Cl. A | 74,610 a | 709,541 | |
Zions Bancorporation | 27,369 a | 299,143 | |
222,134,254 | |||
Health Care—13.4% | |||
Abbott Laboratories | 374,664 | 15,679,688 | |
Aetna | 111,343 | 2,450,659 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
Allergan | 73,800 | 3,443,508 | |
AmerisourceBergen | 38,318 | 1,289,017 | |
Amgen | 251,260 b | 12,178,572 | |
Baxter International | 149,754 | 7,263,069 | |
Becton, Dickinson & Co. | 58,502 | 3,538,201 | |
Biogen Idec | 71,949 b | 3,478,015 | |
Boston Scientific | 360,281 b | 3,029,963 | |
Bristol-Myers Squibb | 478,021 | 9,178,003 | |
C.R. Bard | 24,099 a | 1,726,211 | |
Cardinal Health | 86,241 | 2,914,083 | |
Celgene | 110,639 b | 4,726,498 | |
Cephalon | 16,353 a,b | 1,072,920 | |
CIGNA | 66,675 | 1,314,164 | |
Coventry Health Care | 35,889 b | 570,994 | |
Covidien | 121,599 | 4,010,335 | |
DaVita | 24,942 b | 1,156,561 | |
Dentsply International | 35,751 a | 1,023,194 | |
Eli Lilly & Co. | 244,742 | 8,056,907 | |
Express Scripts | 59,218 b | 3,788,175 | |
Forest Laboratories | 72,995 b | 1,583,262 | |
Genzyme | 65,323 a,b | 3,483,676 | |
Gilead Sciences | 222,134 b | 10,173,737 | |
Hospira | 39,062 b | 1,283,968 | |
Humana | 41,071 b | 1,182,023 | |
IMS Health | 45,207 | 567,800 | |
Intuitive Surgical | 9,301 a,b | 1,336,833 | |
Johnson & Johnson | 669,981 | 35,080,205 | |
King Pharmaceuticals | 60,626 a,b | 477,733 | |
Laboratory Corp. of America Holdings | 26,619 a,b | 1,707,609 | |
Life Technologies | 41,668 b | 1,554,216 | |
McKesson | 66,200 | 2,449,400 | |
Medco Health Solutions | 120,258 b | 5,237,236 | |
Medtronic | 270,020 | 8,640,640 | |
Merck & Co. | 510,516 a | 12,374,908 | |
Millipore | 13,590 b | 803,169 | |
Mylan | 74,939 a,b | 992,942 |
14
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
Patterson Cos. | 22,654 a,b | 463,501 | |
PerkinElmer | 28,944 | 421,714 | |
Pfizer | 1,632,671 | 21,812,485 | |
Quest Diagnostics | 37,848 | 1,942,738 | |
Schering-Plough | 393,668 | 9,062,237 | |
St. Jude Medical | 83,785 b | 2,808,473 | |
Stryker | 59,380 a | 2,298,600 | |
Tenet Healthcare | 103,174 a,b | 232,142 | |
Thermo Fisher Scientific | 100,657 a,b | 3,531,048 | |
UnitedHealth Group | 292,642 | 6,882,940 | |
Varian Medical Systems | 29,867 b | 996,662 | |
Waters | 23,645 a,b | 1,044,400 | |
Watson Pharmaceuticals | 25,502 a,b | 789,032 | |
WellPoint | 121,950 b | 5,214,582 | |
Wyeth | 322,265 | 13,664,036 | |
Zimmer Holdings | 54,047 b | 2,377,528 | |
254,360,212 | |||
Industrial—10.1% | |||
3M | 167,329 | 9,638,150 | |
Avery Dennison | 26,194 a | 752,816 | |
Boeing | 176,959 | 7,087,208 | |
Burlington Northern Santa Fe | 67,861 | 4,579,260 | |
C.H. Robinson Worldwide | 41,224 a | 2,191,468 | |
Caterpillar | 146,314 a | 5,205,852 | |
Cintas | 32,196 | 826,149 | |
Cooper Industries, Cl. A | 42,127 | 1,381,344 | |
CSX | 95,253 | 2,818,536 | |
Cummins | 48,533 | 1,650,122 | |
Danaher | 61,259 a | 3,579,976 | |
Deere & Co. | 102,525 | 4,230,182 | |
Dover | 45,510 | 1,400,798 | |
Dun & Bradstreet | 12,968 | 1,055,595 | |
Eaton | 39,811 | 1,743,722 | |
Emerson Electric | 185,224 | 6,305,025 | |
Equifax | 30,566 | 891,305 | |
Expeditors International Washington | 50,986 a | 1,769,724 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Fastenal | 30,875 a | 1,184,365 | |
FedEx | 74,775 a | 4,184,409 | |
Flowserve | 14,159 a | 961,396 | |
Fluor | 43,829 a | 1,659,804 | |
General Dynamics | 94,137 a | 4,864,059 | |
General Electric | 2,556,117 | 32,334,880 | |
Goodrich | 29,724 | 1,316,179 | |
Honeywell International | 177,948 | 5,553,757 | |
Illinois Tool Works | 96,015 a | 3,149,292 | |
Ingersoll-Rand, Cl. A | 76,312 | 1,661,312 | |
Iron Mountain | 43,371 a,b | 1,235,640 | |
ITT | 43,556 a | 1,786,232 | |
Jacobs Engineering Group | 29,933 b | 1,138,651 | |
L-3 Communications Holdings | 28,831 | 2,195,481 | |
Lockheed Martin | 80,039 | 6,285,463 | |
Manitowoc | 33,103 | 196,963 | |
Masco | 87,110 | 771,795 | |
Monster Worldwide | 30,927 a,b | 426,793 | |
Norfolk Southern | 90,139 | 3,216,160 | |
Northrop Grumman | 78,947 | 3,817,087 | |
Paccar | 87,173 a | 3,089,411 | |
Pall | 28,874 | 762,562 | |
Parker Hannifin | 38,914 | 1,764,750 | |
Pitney Bowes | 50,306 | 1,234,509 | |
Precision Castparts | 33,402 | 2,500,474 | |
R.R. Donnelley & Sons | 50,710 | 590,772 | |
Raytheon | 98,226 | 4,442,762 | |
Republic Services | 77,185 | 1,620,885 | |
Robert Half International | 37,094 a | 890,998 | |
Rockwell Automation | 35,176 | 1,111,210 | |
Rockwell Collins | 38,624 | 1,481,230 | |
Ryder System | 13,567 a | 375,670 | |
Southwest Airlines | 178,159 | 1,243,550 | |
Stericycle | 20,544 a,b | 967,212 | |
Textron | 59,438 | 637,770 | |
Union Pacific | 122,394 | 6,014,441 |
16
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
United Parcel Service, Cl. B | 240,309 a | 12,577,773 | |
United Technologies | 229,547 | 11,211,075 | |
W.W. Grainger | 15,746 a | 1,320,774 | |
Waste Management | 117,750 a | 3,140,393 | |
192,025,171 | |||
Information Technology—17.8% | |||
Adobe Systems | 127,368 b | 3,483,514 | |
Advanced Micro Devices | 149,185 a,b | 538,558 | |
Affiliated Computer Services, Cl. A | 23,629 b | 1,143,171 | |
Agilent Technologies | 85,713 b | 1,565,119 | |
Akamai Technologies | 41,155 a,b | 906,233 | |
Altera | 72,768 | 1,186,846 | |
Amphenol, Cl. A | 42,286 | 1,430,958 | |
Analog Devices | 70,370 | 1,497,474 | |
Apple | 215,556 a,b | 27,123,411 | |
Applied Materials | 322,226 | 3,934,379 | |
Autodesk | 53,820 b | 1,073,171 | |
Automatic Data Processing | 122,232 | 4,302,566 | |
BMC Software | 45,375 b | 1,573,151 | |
Broadcom, Cl. A | 106,982 b | 2,480,913 | |
CA | 96,127 | 1,658,191 | |
Ciena | 22,255 a,b | 265,947 | |
Cisco Systems | 1,413,840 b | 27,315,389 | |
Citrix Systems | 43,451 b | 1,239,657 | |
Cognizant Technology Solutions, Cl. A | 70,988 b | 1,759,793 | |
Computer Sciences | 36,163 b | 1,336,584 | |
Compuware | 60,745 b | 454,373 | |
Convergys | 28,664 b | 289,793 | |
Corning | 379,107 | 5,542,544 | |
Dell | 418,860 a,b | 4,867,153 | |
eBay | 259,010 b | 4,265,895 | |
Electronic Arts | 77,429 b | 1,575,680 | |
EMC | 492,784 b | 6,174,584 | |
Fidelity National Information Services | 47,188 | 842,306 | |
Fiserv | 39,259 b | 1,465,146 | |
FLIR Systems | 36,500 a,b | 809,570 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Google, Cl. A | 58,000 a,b | 22,966,260 | |
Harris | 32,071 | 980,731 | |
Hewlett-Packard | 581,820 | 20,933,884 | |
Intel | 1,343,067 | 21,193,597 | |
International Business Machines | 324,408 | 33,482,150 | |
Intuit | 76,919 b | 1,779,136 | |
Jabil Circuit | 51,199 | 414,712 | |
JDS Uniphase | 50,382 a,b | 232,261 | |
Juniper Networks | 127,484 a,b | 2,760,029 | |
KLA-Tencor | 41,840 | 1,160,642 | |
Lexmark International, Cl. A | 18,931 b | 371,426 | |
Linear Technology | 52,986 a | 1,154,035 | |
LSI | 154,642 b | 593,825 | |
MasterCard, Cl. A | 17,355 a | 3,183,775 | |
McAfee | 36,834 b | 1,382,748 | |
MEMC Electronic Materials | 54,657 b | 885,443 | |
Microchip Technology | 44,485 a | 1,023,155 | |
Micron Technology | 187,298 a,b | 914,014 | |
Microsoft | 1,854,268 | 37,567,470 | |
Molex | 34,656 a | 577,716 | |
Motorola | 543,730 | 3,006,827 | |
National Semiconductor | 48,493 a | 599,858 | |
NetApp | 78,180 b | 1,430,694 | |
Novell | 86,784 b | 326,308 | |
Novellus Systems | 25,122 a,b | 453,703 | |
NVIDIA | 129,685 a,b | 1,488,784 | |
Oracle | 931,437 | 18,013,992 | |
Paychex | 77,884 | 2,103,647 | |
QLogic | 33,100 a,b | 469,358 | |
QUALCOMM | 399,750 | 16,917,420 | |
Salesforce.com | 24,820 a,b | 1,062,544 | |
SanDisk | 53,656 b | 843,472 | |
Sun Microsystems | 179,834 b | 1,647,279 | |
Symantec | 201,392 b | 3,474,012 | |
Tellabs | 101,984 b | 534,396 | |
Teradata | 44,219 b | 739,342 |
18
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Teradyne | 42,956 a,b | 255,159 | |
Texas Instruments | 311,953 | 5,633,871 | |
Total System Services | 48,946 | 610,357 | |
Tyco Electronics | 110,503 | 1,927,172 | |
VeriSign | 46,122 a,b | 949,191 | |
Western Union | 175,029 | 2,931,736 | |
Xerox | 211,669 | 1,293,298 | |
Xilinx | 67,287 a | 1,375,346 | |
Yahoo! | 337,462 b | 4,822,332 | |
338,569,176 | |||
Materials—3.2% | |||
Air Products & Chemicals | 50,836 | 3,350,092 | |
AK Steel Holding | 27,672 a | 360,012 | |
Alcoa | 230,020 a | 2,086,281 | |
Allegheny Technologies | 23,252 a | 761,038 | |
Ball | 23,007 | 867,824 | |
Bemis | 24,520 | 589,461 | |
CF Industries Holdings | 12,437 | 896,086 | |
Dow Chemical | 222,301 | 3,556,816 | |
E.I. du Pont de Nemours & Co. | 216,880 | 6,050,952 | |
Eastman Chemical | 17,517 a | 695,075 | |
Ecolab | 40,484 | 1,560,658 | |
Freeport-McMoRan Copper & Gold | 99,261 | 4,233,482 | |
International Flavors & Fragrances | 18,843 | 587,902 | |
International Paper | 102,531 a | 1,298,042 | |
MeadWestvaco | 40,694 | 637,268 | |
Monsanto | 132,248 | 11,226,533 | |
Newmont Mining | 118,408 | 4,764,738 | |
Nucor | 75,810 | 3,084,709 | |
Owens-Illinois | 40,198 b | 980,429 | |
Pactiv | 32,101 b | 701,728 | |
PPG Industries | 39,334 | 1,732,663 | |
Praxair | 74,469 a | 5,556,132 | |
Sealed Air | 37,613 a | 716,904 | |
Sigma-Aldrich | 30,487 a | 1,336,550 | |
Titanium Metals | 19,645 a | 133,390 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Materials (continued) | |||
United States Steel | 28,124 a | 746,692 | |
Vulcan Materials | 26,681 a | 1,268,682 | |
Weyerhaeuser | 50,683 | 1,787,083 | |
61,567,222 | |||
Telecommunication Services—3.6% | |||
American Tower, Cl. A | 94,538 b | 3,002,527 | |
AT & T | 1,426,456 | 36,545,802 | |
CenturyTel | 24,623 a | 668,514 | |
Embarq | 34,648 | 1,266,731 | |
Frontier Communications | 75,973 | 540,168 | |
Qwest Communications International | 358,160 a | 1,393,242 | |
Sprint Nextel | 685,199 b | 2,987,468 | |
Verizon Communications | 687,551 | 20,860,297 | |
Windstream | 106,079 | 880,456 | |
68,145,205 | |||
Utilities—3.8% | |||
AES | 164,835 b | 1,165,383 | |
Allegheny Energy | 41,156 | 1,066,763 | |
Ameren | 50,335 | 1,158,711 | |
American Electric Power | 112,789 | 2,975,374 | |
CenterPoint Energy | 81,557 | 867,766 | |
CMS Energy | 55,441 a | 666,401 | |
Consolidated Edison | 65,536 | 2,433,352 | |
Constellation Energy Group | 48,198 | 1,160,608 | |
Dominion Resources | 141,230 | 4,259,497 | |
DTE Energy | 39,010 | 1,153,526 | |
Duke Energy | 310,098 | 4,282,453 | |
Dynergy, Cl. A | 122,118 a,b | 217,370 | |
Edison International | 78,168 | 2,228,570 | |
Entergy | 45,997 | 2,979,226 | |
EQT | 31,477 | 1,058,572 | |
Exelon | 158,870 | 7,328,673 |
20
Common Stocks (continued) | Shares | Value ($) | |
Utilities (continued) | |||
FirstEnergy | 73,205 | 2,994,085 | |
FPL Group | 98,109 | 5,277,283 | |
Integrys Energy | 18,783 a | 496,059 | |
Nicor | 11,128 | 357,654 | |
NiSource | 67,554 | 742,418 | |
Northeast Utilities | 41,680 | 876,114 | |
Pepco Holdings | 52,207 | 623,874 | |
PG & E | 88,532 a | 3,286,308 | |
Pinnacle West Capital | 24,716 | 676,724 | |
PPL | 89,859 | 2,687,683 | |
Progress Energy | 66,705 | 2,275,975 | |
Public Service Enterprise Group | 122,070 | 3,642,569 | |
Questar | 42,539 | 1,264,259 | |
SCANA | 28,286 a | 854,803 | |
Sempra Energy | 59,097 | 2,719,644 | |
Southern | 187,039 | 5,401,686 | |
TECO Energy | 51,989 a | 550,564 | |
Wisconsin Energy | 28,122 | 1,123,755 | |
Xcel Energy | 108,162 | 1,994,507 | |
72,848,209 | |||
Total Common Stocks | |||
(cost $1,735,520,267) | 1,834,845,090 | ||
Principal | |||
Short-Term Investments—.4% | Amount ($) | Value ($) | |
U.S. Treasury Bills; | |||
0.18%, 6/18/09 | |||
(cost $7,763,157) | 7,765,000 c | 7,764,511 | |
Other Investment—3.1% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Preferred Plus Money Market Fund | |||
(cost $59,697,000) | 59,697,000 d | 59,697,000 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Investment of Cash Collateral | |||
for Securities Loaned—12.6% | Shares | Value ($) | |
Registered Investment Company; | |||
Dreyfus Institutional Cash | |||
Advantage Plus Fund | |||
(cost $240,241,193) | 240,241,193 d | 240,241,193 | |
Total Investments (cost $2,043,221,617) | 112.4% | 2,142,547,794 | |
Liabilities, Less Cash and Receivables | (12.4%) | (237,239,441) | |
Net Assets | 100.0% | 1,905,308,353 |
a | All or a portion of these securities are on loan.At April 30, 2009, the total market value of the fund’s securities on loan is $234,746,817 and the total market value of the collateral held by the fund is $240,276,161, consisting of cash collateral of $240,241,193 and U.S. Government and Agency securities valued at $34,968. |
b | Non-income producing security. |
c | All or partially held by a broker as collateral for open financial futures positions. |
d | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Information Technology | 17.8 | Industrial | 10.1 |
Short-Term/ | Consumer Discretionary | 9.2 | |
Money Market Investments | 16.1 | Utilities | 3.8 |
Health Care | 13.4 | Telecommunication Services | 3.6 |
Energy | 12.0 | Materials | 3.2 |
Consumer Staples | 11.6 | ||
Financial | 11.6 | 112.4 | |
† Based on net assets. | |||
See notes to financial statements. |
22
STATEMENT OF FINANCIAL FUTURES
April 30, 2009 (Unaudited)
Market Value | Unrealized | |||
Covered by | Appreciation | |||
Contracts | Contracts ($) | Expiration | at 4/30/2009 ($) | |
Financial Futures Long | ||||
Standard & Poor’s 500 E-mini | 1,638 | 71,253,000 | June 2009 | 9,601,797 |
See notes to financial statements. |
The Fund 23
STATEMENT OF ASSETS AND LIABILITIES April 30, 2009 (Unaudited) |
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $234,746,817)—Note 1(b): | ||
Unaffiliated issuers | 1,743,283,424 | 1,842,609,601 |
Affiliated issuers | 299,938,193 | 299,938,193 |
Cash | 2,196,482 | |
Dividends and interest receivable | 2,828,759 | |
Receivable for shares of Common Stock subscribed | 1,485,678 | |
Receivable for futures variation margin—Note 4 | 69,462 | |
Receivable for investment securities sold | 56,700 | |
2,149,184,875 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 762,512 | |
Liability for securities on loan—Note 1(b) | 240,241,193 | |
Payable for shares of Common Stock redeemed | 2,867,084 | |
Interest payable—Note 2 | 5,733 | |
243,876,522 | ||
Net Assets ($) | 1,905,308,353 | |
Composition of Net Assets ($): | ||
Paid-in capital | 1,912,159,433 | |
Accumulated undistributed investment income—net | 10,935,334 | |
Accumulated net realized gain (loss) on investments | (126,714,388) | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments (including $9,601,797 net unrealized | ||
appreciation on financial futures) | 108,927,974 | |
Net Assets ($) | 1,905,308,353 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 77,507,435 | |
Net Asset Value, offering and redemption price per share ($) | 24.58 | |
See notes to financial statements. |
24
STATEMENT OF OPERATIONS Six Months Ended April 30, 2009 (Unaudited) |
Investment Income ($): | |
Income: | |
Cash dividends: | |
Unaffiliated issuers | 26,924,145 |
Affiliated issuers | 57,878 |
Income from securities lending | 442,563 |
Interest | 6,336 |
Total Income | 27,430,922 |
Expenses: | |
Management fee—Note 3(a) | 2,262,355 |
Shareholder servicing costs—Note 3(b) | 2,262,355 |
Directors’ fees—Note 3(a) | 78,087 |
Loan commitment fees—Note 2 | 7,908 |
Total Expenses | 4,610,705 |
Less—Directors’ fees reimbursed | |
by the Manager—Note 3(a) | (78,087) |
Net Expenses | 4,532,618 |
Investment Income—Net | 22,898,304 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments | (4,087,237) |
Net realized gain (loss) on financial futures | (14,114,195) |
Net Realized Gain (Loss) | (18,201,432) |
Net unrealized appreciation (depreciation) on investments (including | |
$11,149,990 net unrealized appreciation on financial futures) | (185,933,476) |
Net Realized and Unrealized Gain (Loss) on Investments | (204,134,908) |
Net (Decrease) in Net Assets Resulting from Operations | (181,236,604) |
See notes to financial statements. |
The Fund 25
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
April 30, 2009 | Year Ended | |
(Unaudited) | October 31, 2008 | |
Operations ($): | ||
Investment income—net | 22,898,304 | 53,042,313 |
Net realized gain (loss) on investments | (18,201,432) | (46,509,033) |
Net unrealized appreciation | ||
(depreciation) on investments | (185,933,476) | (1,265,417,855) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | (181,236,604) | (1,258,884,575) |
Dividends to Shareholders from ($): | ||
Investment income—net | (50,992,476) | (55,063,795) |
Capital Stock Transactions ($): | ||
Net proceeds from shares sold | 297,038,023 | 639,664,574 |
Dividends reinvested | 49,807,203 | 53,981,579 |
Cost of shares redeemed | (299,485,332) | (1,024,892,229) |
Increase (Decrease) in Net Assets | ||
from Capital Stock Transactions | 47,359,894 | (331,246,076) |
Total Increase (Decrease) in Net Assets | (184,869,186) | (1,645,194,446) |
Net Assets ($): | ||
Beginning of Period | 2,090,177,539 | 3,735,371,985 |
End of Period | 1,905,308,353 | 2,090,177,539 |
Undistributed investment income—net | 10,935,334 | 39,029,506 |
Capital Share Transactions (Shares): | ||
Shares sold | 12,614,396 | 17,459,043 |
Shares issued for dividends reinvested | 2,051,371 | 1,296,699 |
Shares redeemed | (12,724,754) | (27,743,716) |
Net Increase (Decrease) in Shares Outstanding | 1,941,013 | (8,987,974) |
See notes to financial statements. |
26
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | |||||||
April 30, 2009 | Year Ended October 31, | ||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||
Per Share Data ($): | |||||||
Net asset value, | |||||||
beginning of period | 27.66 | 44.18 | 40.57 | 35.50 | 33.30 | 30.91 | |
Investment Operations: | |||||||
Investment income—neta | .30 | .66 | .61 | .54 | .56 | .39 | |
Net realized and | |||||||
unrealized gain (loss) | |||||||
on investments | (2.71) | (16.51) | 4.90 | 5.01 | 2.16 | 2.35 | |
Total from Investment | |||||||
Operations | (2.41) | (15.85) | 5.51 | 5.55 | 2.72 | 2.74 | |
Distributions: | |||||||
Dividends from | |||||||
investment income—net | (.67) | (.67) | (.56) | (.48) | (.52) | (.35) | |
Dividends from net realized | |||||||
gain on investments | — | — | (1.34) | — | — | — | |
Total Distributions | (.67) | (.67) | (1.90) | (.48) | (.52) | (.35) | |
Net asset value, | |||||||
end of period | 24.58 | 27.66 | 44.18 | 40.57 | 35.50 | 33.30 | |
Total Return (%) | (8.68)b | (36.38) | 14.05 | 15.79 | 8.20 | 8.93 | |
Ratios/Supplemental | |||||||
Data (%): | |||||||
Ratio of total expenses | |||||||
to average net assets | .51c | .51 | .51 | .50 | .50 | .50 | |
Ratio of net expenses | |||||||
to average net assets | .50c | .50 | .50 | .50 | .50 | .50 | |
Ratio of net investment | |||||||
income to average | |||||||
net assets | 2.53c | 1.77 | 1.47 | 1.45 | 1.60 | 1.21 | |
Portfolio Turnover Rate | 2.08b | 4.95 | 4.71 | 5.04 | 7.24 | 1.87 | |
Net Assets, | |||||||
end of period | |||||||
($ x 1,000) | 1,905,308 | 2,090,178 | 3,735,372 | 3,656,990 | 3,310,961 | 3,116,177 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements. |
The Fund 27
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus S&P 500 Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund.The fund’s investment objective is to match the performance of the Standard & Poor’s 500 Composite Stock Price Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. 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 Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fund enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the
28
National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no transactions, are valued at the average of the most recent bid and asked prices, except for open short positions, where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Registered investment companies that are not traded on an exchange are valued at their net asset value.When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or marke t), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Fair valuing of securities may be determined with the assistance of a pricing service using calculations based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures contracts. For other securities that are fair valued by the Board of Directors, certain factors may be considered such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Financial futures are valued at the last sales price.
The fund adopted Statement of Financial Accounting Standards No. 157 “FairValue 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 Fund 29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Various inputs are used in determining the value of the fund’s investments relating to FAS 157.These inputs are summarized in the three broad levels listed below.
Level 1—quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2009 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Quoted | Observable | Unobservable | ||
Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in | ||||
Securities | 2,134,783,283 | 7,764,511 | — | 2,142,547,794 |
Other Financial | ||||
Instruments† | 9,601,797 | — | — | 9,601,797 |
Liabilities ($) | ||||
Other Financial | ||||
Instruments† | — | — | — | — |
† Other financial instruments include derivative instruments, such as futures, forward currency exchange contracts, swap contracts and options contracts.Amounts shown represent unrealized appreciation (depreciation) at period end.
In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4,“Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume
30
and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the fund’s financial statement disclosures.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the 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 loa ned should a borrower fail to return the securities in a timely manner. During the period ended April 30, 2009, The Bank of New York Mellon earned $189,670 from lending fund portfolio securities, 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.
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(d) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net and dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from 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.
As of and during the period ended April 30, 2009, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended October 31, 2008 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund has an unused capital loss carryover of $49,481,499 available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to October 31, 2008. If not applied, $9,724,313 of the carryover expires in fiscal 2015 and $39,757,186 expires in fiscal 2016.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2008 was as follows: ordinary income $55,063,795. The tax character of current year distributions will be determined at the end of the current fiscal year.
32
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $145 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of Facility fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of the borrowing. During the period ended April 30, 2009, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a 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 fees and 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 the accrued 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 11 other funds (comprised of 33 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
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
regularly scheduled Board meeting and an attendance fee of $1,000 for each Board meeting and separate committee meeting that is 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.
(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 value of the fund’s average daily net assets.The services provided may include personal services relating to shareholder accounts, such as answering shareholder inquiries regarding the fund and providing reports and other information, and services related to the maintenance of shareholder accounts. The Distributor may make payments to Service Agents (a securities dealer, financial institution or other industry professional) in respect of these services. The Distributor determines the amounts to be paid to Service Agents. During the period ended April 30, 2009, the fund was charged $2,262,355 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 $381,256 and shareholder services plan fees $381,256.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2009, amounted to $37,488,309 and $42,688,944, respectively.
34
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. 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. 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. Contracts open at April 30, 2009, are set forth in the Statement of Financial Futures.
At April 30, 2009, accumulated net unrealized appreciation on investments was $99,326,177, consisting of $560,371,180 gross unrealized appreciation and $461,045,003 gross unrealized depreciation.
At April 30, 2009, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
The FASB released Statement of Financial Accounting Standards No. 161 “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agree-ments.The application of FAS 161 is required for fiscal years and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of FAS 161 and its impact on the financial statements and the accompanying notes has not yet been determined.
The Fund 35
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 3, 2009, the Board unanimously approved the continuation of the fund’s Management Agreement with Dreyfus for a one-year term ending March 30, 2010. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus. In approving the continuance of the Management Agreement, the Board considered all factors that they believed to be relevant, including, among other things, the factors discussed below.
Analysis of Nature, Extent and Quality of Services Provided to the Fund. The Board members received a presentation from representatives of Dreyfus regarding services provided to the fund and other funds in the Dreyfus fund complex, and discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement. Dreyfus’ representatives reviewed the fund’s distribution of accounts and the relationships Dreyfus has with various intermediaries and the different needs of each. Dreyfus’ representatives noted the various distribution channels for the fund as well as the diverse methods of distribution among other funds in the Dreyfus fund complex, and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel, including those of the fun d. Dreyfus also provided the number of accounts investing in the fund, as well as the fund’s asset size.
The Board members also considered Dreyfus’ research and portfolio management capabilities and Dreyfus’ oversight of day-to-day fund operations, including fund accounting, administration, and assistance in meeting legal and regulatory requirements. The Board members also considered Dreyfus’ extensive administrative, accounting and compliance infrastructure. The Board also considered Dreyfus’ brokerage policies and practices, the standards applied in seeking best execution and Dreyfus’ policies and practices regarding soft dollars.
36
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board members reviewed the fund’s performance and comparisons to a group of retail no-load and front-end load S&P 500 Index funds (the “Performance Group”) and to a larger universe of funds, consisting of all retail and institutional S&P 500 Index funds (the “Performance Universe”) selected and provided by Lipper, Inc., an independent provider of investment company data.The Board was provided with a description of the methodology Lipper used to select the Performance Group and Performance Universe, as well as the Expense Group and Expense Universe (discussed below). The Board members discussed the results of the comparisons and noted the fund’s average annual total return ranked in the third quartile of its Performance Group and the second quart ile of its Performance Universe for the one-year period ended December 31, 2008. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board members also discussed the fund’s contractual and actual management fee and expense ratio and reviewed the range of management fees and expense ratios as compared to a comparable group of funds (the “Expense Group”) and a broader group of funds (the “Expense Universe”), each selected and provided by Lipper.The fund’s actual management fee was higher than the Expense Group and Expense Universe medians, and the fund’s expense ratio was higher than the Expense Group median and equal to the Expense Universe median. After discussions with the Board members, representatives of Dreyfus agreed that Dreyfus will pay all of the fund’s direct expenses, except management fees, brokerage commissions, taxes, interest, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund and to the non-interested Board members, Shareholder Services Plan fees, and extraordin ary expenses. Dreyfus has also agreed to reduce its management fee in an amount
The Fund 37
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued) |
equal to the fund’s allocable portion of the accrued fees and expenses of non-interested Board members and fees and expenses of independent counsel to the fund and to the non-interested Board members.
Representatives of Dreyfus reviewed with the Board members the fees paid to Dreyfus or its affiliates by mutual funds and/or separate accounts with similar investment objectives, policies and strategies as the fund (the “Similar Accounts”), and explained the nature of the Similar Accounts and the differences, from Dreyfus’ perspective, as applicable, in providing services to the Similar Accounts as compared to the fund. Dreyfus’ representatives also reviewed the costs associated with distribution through intermediaries. The Board analyzed differences in fees paid to Dreyfus and discussed the relationship of the advisory fees paid in light of the services provided. The Board members considered the relevance of the fee information provided for the Similar Accounts to evaluate the appropriateness and reasonableness of the fund’s management fees. The Board acknowledged that differences in fees paid by the Similar Account s seemed to be consistent with the services provided.
Analysis of Profitability and Economies of Scale. Dreyfus’ representatives reviewed the dollar amount of expenses allocated and profit received by Dreyfus and the method used to determine such expenses and profit.The Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus mutual fund complex. The Board also was informed that the methodology had also been reviewed by an independent registered public accounting firm which, like the consultant, found the methodology to be reasonable. The consulting firm also analyzed where any economies of scale might emerge in connection with the management of the fund. The Board members
38
evaluated the profitability analysis in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund investors.The Board members also considered potential benefits to Dreyfus from acting as investment adviser and noted there were no soft dollar arrangements with respect to trading the fund’s investments.
It was noted that the Board members should consider Dreyfus’ profitability with respect to the fund as part of their evaluation of whether the fees under the Management Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services and that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been static or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. It also was noted that Dreyfus received no profit for managing the fund during the year.The Board also noted the fee waiver and expense reimbursement arrangements in place for the fund and their effect on Dreyfus’ profitability.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to continuation of the fund’s Management Agreement. Based on the discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the ser- vices provided by Dreyfus are adequate and appropriate.
- The Board was generally satisfied with the fund’s relative performance.
- The Board concluded that the fee paid by the fund to Dreyfus was reasonable in light of the considerations described above.
The Fund 39
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
- The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the management fee rate charged to the fund and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that continuation of the fund’s Management Agreement was in the best interests of the fund and its shareholders.
40
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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 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | 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 |
39 | Information About the Review and Approval of the Fund’s Management Agreement |
FOR MORE INFORMATION | |
Back Cover |
The Fund
Dreyfus |
Smallcap Stock Index Fund |
A LETTER FROM THE CEO Dear Shareholder: |
We present to you this semiannual report for Dreyfus Smallcap Stock Index Fund, covering the six-month period from November 1, 2008, through April 30, 2009.
The reporting period began with the equities market plummeting severely in late 2008,and rebounding over 20% by the end of the reporting period from dramatic March 2009 lows. In supporting the recent rally, investors apparently shrugged off more bad economic news: the unemployment rate surged to a 25-year high in April, and a 6.3% annualized contraction in economic growth over the fourth quarter of 2008 was followed by a further 6.1% economic contraction during the first quarter of 2009.Yet, the rebound between March 7 and April 30 proved to be one of the more robust in the history of the U.S. stock market.
These enormous swings have left investors wondering if the equities market is forecasting sustainable economic improvement, or whether these events represent what many call a bear market rally.We generally have remained cautious in the absence of real economic progress, but the market’s gyrations illustrate an important feature of many market rallies—when they begin to snap back, the rebounds are often quick and sharp, usually leaving most investors on the sidelines.That’s why we encourage you to speak regularly with your financial consultant, who can discuss with you the potential benefits of adhering to a long-term investment strategy tailored to your current investment needs and future goals.
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.
Jonathan R. Baum Chairman and Chief Executive Officer The Dreyfus Corporation May 15, 2009 |
2
DISCUSSION OF FUND PERFORMANCE
For the period of November 1, 2008, through April 30, 2009, as provided by Thomas Durante, CFA, Portfolio Manager
Fund and Market Performance Overview
For the six-month period ended April 30, 2009, Dreyfus Smallcap Stock Index Fund produced a total return of –8.38%.1 In comparison, the Standard & Poor’s SmallCap 600 Index (the “S&P 600 Index”), the fund’s benchmark, produced a –8.47% return for the same period.2,3
Small-cap stocks generally fell sharply during the first four months of an especially volatile reporting period, but recovered a significant portion of those losses in a rally over the reporting period’s final seven weeks. The difference in returns between the fund and its benchmark was primarily due to transaction costs and fund operating expenses that are not reflected in the benchmark’s return.
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. 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.
Heightened Volatility Roiled Equity Markets
The reporting period began in the midst of the most severe recession since the 1930s, which had been exacerbated in September by a global banking crisis. Just weeks before the reporting period began, major financial institutions found themselves unable to obtain short-term funding due to massive losses among mortgage- and asset-backed securities. In the ensuing tumult, the U.S. government effectively nationalized Fannie Mae, Freddie Mac and insurer AIG; Lehman Brothers filed for bankruptcy; and other major firms were sold to
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued) |
former rivals. Congress passed the $700 billion Troubled Assets Relief Program (TARP), and the Federal Reserve Board (the “Fed”) pumped liquidity into the system to shore up the nation’s banks.
As the reporting period began, job losses continued to mount, and consumer confidence plunged. In late November,The National Bureau of Economic Research officially declared that the U.S. economy has been in a recession since late 2007.The Fed implemented an additional rate cut in December, and the target for the federal funds rate ended 2008 between 0% and 0.25%,a record low.It later was announced that the U.S. economy contracted at a –6.3% annualized rate in the fourth quarter.
Disappointing economic news continued to undermine investor sentiment in January 2009, as the median sales price of single-family homes continued to fall sharply. The U.S. economy lost more than 650,000 jobs per month in February and March, driving the unemployment rate to a 25-year high. Meanwhile, consumer confidence reached its lowest level since recordkeeping began in 1967. In its ongoing efforts to stimulate the economy, the U.S. government enacted the $787 billion American Recovery and Reinvestment Act to retain and create jobs, provide budget relief to states and localities, maintain and expand social programs and offer short-term tax relief to businesses and individuals. The federal government also took steps to rescue the nation’s major automakers as vehicle sales plunged.
Declines in the S&P 600 Index were particularly severe in the financials sector, where regional banks, thrifts, finance companies, mortgage firms and real estate investment trusts (REITs) faltered amid troubled housing and mortgage markets. In the health care sector, nursing homes and assisted living facilities encountered revenue pressures as the economic slowdown prompted more adults to care for their aging parents at home. Home health care service companies declined due to reduced federal spending, while health care equipment stocks were hurt by hospitals’ inability to obtain the credit needed to increase capital spending. Returns in the industrials sector were mixed, with gains among construction-and-engineering firms and homebuilders offset by losses in the aerospace and defense industries.
4
Consumer Stocks Rebounded Strongly
On the other hand, consumer discretionary stocks posted relatively strong results among restaurants, automotive retailers, casino and gaming companies and apparel retailers, especially those that focus on teenagers.Technology stocks also fared relatively well during the reporting period, especially software firms that help companies improve productivity and semiconductor equipment producers serving the wireless and cellular markets.
Index Investing Offers Diversification Benefits
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 small-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 small-cap stocks by limiting the impact on the overall portfolio of unexpected losses in any single industry group or holding.
May 15, 2009
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
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 November 1, 2008 to April 30, 2009. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Expenses and Value of a $1,000 Investment | |
assuming actual returns for the six months ended April 30, 2009 | |
Expenses paid per $1,000† | $ 2.38 |
Ending value (after expenses) | $916.20 |
COMPARING YOUR FUND’S EXPENSES WITH THOSE OF OTHER FUNDS (Unaudited)
Using the SEC’s method to compare expenses
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds.All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Expenses and Value of a $1,000 Investment | |
assuming a hypothetical 5% annualized return for the six months ended April 30, 2009 | |
Expenses paid per $1,000† | $ 2.51 |
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
6
STATEMENT OF INVESTMENTS April 30, 2009 (Unaudited) |
Common Stocks—99.5% | Shares | Value ($) | |
Consumer Discretionary—16.2% | |||
Aaron’s | 108,967 a | 3,656,933 | |
American Public Education | 31,930 b | 1,149,480 | |
Arbitron | 55,977 | 1,165,441 | |
Arctic Cat | 8,487 a | 33,948 | |
Audiovox, Cl. A | 30,542 b | 169,814 | |
Big 5 Sporting Goods | 45,728 a | 376,341 | |
Blue Nile | 28,818 a,b | 1,226,494 | |
Brown Shoe | 80,499 a | 517,609 | |
Brunswick | 175,884 a | 1,051,786 | |
Buckle | 52,586 a | 1,965,139 | |
Buffalo Wild Wings | 35,244 a,b | 1,375,926 | |
Cabela’s | 79,179 a,b | 1,014,283 | |
California Pizza Kitchen | 55,136 b | 866,187 | |
Capella Education | 27,454 a,b | 1,410,587 | |
Carter’s | 113,432 b | 2,425,176 | |
Cato, Cl. A | 66,221 | 1,272,768 | |
CEC Entertainment | 52,153 b | 1,588,580 | |
Charlotte Russe Holding | 49,570 b | 622,103 | |
Children’s Place Retail Stores | 47,213 a,b | 1,342,738 | |
Christopher & Banks | 69,561 | 386,759 | |
CKE Restaurants | 105,718 | 1,011,721 | |
Coinstar | 60,160 a,b | 2,141,094 | |
Cracker Barrel Old Country Store | 48,917 a | 1,595,183 | |
Crocs | 148,392 a,b | 333,882 | |
Deckers Outdoor | 26,481 a,b | 1,496,706 | |
DineEquity | 34,973 | 1,120,535 | |
Dress Barn | 93,997 a,b | 1,423,115 | |
Drew Industries | 36,335 a,b | 518,864 | |
E.W. Scripps, Cl. A | 111,879 a | 220,402 | |
Ethan Allen Interiors | 55,675 a | 748,829 | |
Finish Line, Cl. A | 107,071 | 910,103 | |
Fossil | 90,945 b | 1,833,451 | |
Fred’s, Cl. A | 88,769 a | 1,212,585 | |
Genesco | 43,096 a,b | 981,727 | |
Group 1 Automotive | 46,844 a | 997,777 | |
Gymboree | 57,765 a,b | 1,987,116 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Haverty Furniture | 29,173 a | 316,527 | |
Helen of Troy | 61,129 b | 975,008 | |
Hibbett Sports | 59,769 a,b | 1,246,184 | |
Hillenbrand | 125,157 | 2,275,354 | |
Hot Topic | 94,388 a,b | 1,155,309 | |
HSN | 77,773 b | 537,411 | |
Iconix Brand Group | 115,625 a,b | 1,648,812 | |
Interval Leisure Group | 73,500 b | 588,735 | |
Jack in the Box | 113,750 b | 2,797,112 | |
JAKKS Pacific | 54,944 a,b | 695,042 | |
Jo-Ann Stores | 50,213 a,b | 919,902 | |
JoS. A. Bank Clothiers | 37,040 a,b | 1,497,898 | |
K-Swiss, Cl. A | 61,050 a | 612,942 | |
La-Z-Boy | 90,320 a | 240,251 | |
Landry’s Restaurants | 23,030 a,b | 210,494 | |
Lithia Motors, Cl. A | 31,050 a | 90,666 | |
Live Nation | 152,650 a,b | 596,862 | |
Liz Claiborne | 188,312 | 892,599 | |
M/I Homes | 33,713 a | 514,798 | |
Maidenform Brands | 42,725 b | 544,744 | |
Marcus | 39,519 | 501,891 | |
Men’s Wearhouse | 103,206 a | 1,923,760 | |
Meritage Homes | 60,865 a,b | 1,266,601 | |
Midas | 31,035 b | 310,350 | |
Monarch Casino & Resort | 17,768 a,b | 181,589 | |
Movado Group | 38,096 | 349,340 | |
Multimedia Games | 67,166 a,b | 142,392 | |
National Presto Industries | 9,020 | 642,765 | |
Nautilus | 13,282 a,b | 13,282 | |
NutriSystem | 64,079 a | 880,445 | |
O’Charleys | 36,238 a | 252,579 | |
OfficeMax | 150,324 | 1,119,914 | |
Oxford Industries | 22,403 a | 218,205 | |
P.F. Chang’s China Bistro | 51,089 a,b | 1,541,866 | |
Papa John’s International | 44,134 b | 1,171,316 | |
Peet’s Coffee & Tea | 22,705 a,b | 619,392 |
8
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
PEP Boys-Manny Moe & Jack | 80,324 a | 594,398 | |
Perry Ellis International | 32,999 a,b | 241,883 | |
PetMed Express | 56,961 a,b | 926,186 | |
Pinnacle Entertainment | 120,236 a,b | 1,500,545 | |
Polaris Industries | 71,703 a | 2,398,465 | |
Pool | 105,942 a | 1,892,124 | |
Pre-Paid Legal Services | 19,150 a,b | 705,295 | |
Quiksilver | 233,199 b | 384,778 | |
RC2 | 36,337 b | 410,971 | |
Red Robin Gourmet Burgers | 32,350 a,b | 794,193 | |
Ruby Tuesday | 100,599 a,b | 772,600 | |
Russ Berrie & Co. | 19,910 b | 38,028 | |
Ruth’s Hospitality Group | 18,000 b | 65,160 | |
Shuffle Master | 116,540 b | 444,017 | |
Skechers USA, Cl. A | 63,675 b | 744,998 | |
Skyline | 10,994 a | 227,906 | |
Sonic | 120,335 a,b | 1,314,058 | |
Sonic Automotive, Cl. A | 43,207 a | 222,948 | |
Spartan Motors | 61,775 | 498,524 | |
Stage Stores | 76,982 | 943,030 | |
Stamps.com | 32,812 b | 307,120 | |
Standard Motor Products | 13,745 a | 54,980 | |
Standard-Pacific | 195,719 a,b | 365,995 | |
Steak n Shake | 51,470 a,b | 594,993 | |
Sturm Ruger & Co. | 34,425 b | 423,772 | |
Superior Industries International | 47,203 a | 711,821 | |
Texas Roadhouse, Cl. A | 104,928 a,b | 1,194,081 | |
Ticketmaster Entertainment | 73,848 b | 388,440 | |
Tractor Supply | 66,835 a,b | 2,698,797 | |
True Religion Apparel | 43,371 a,b | 683,527 | |
Tuesday Morning | 52,250 a,b | 178,173 | |
Tween Brands | 40,239 b | 117,498 | |
UniFirst | 33,282 | 1,241,086 | |
Universal Electronics | 30,673 b | 574,812 | |
Universal Technical Institute | 39,978 a,b | 569,287 | |
Volcom | 36,680 a,b | 494,813 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Consumer Discretionary (continued) | |||
Winnebago Industries | 51,675 | 455,257 | |
WMS Industries | 104,936 a,b | 3,369,495 | |
Wolverine World Wide | 103,497 | 2,155,843 | |
Zale | 64,765 a,b | 240,926 | |
Zumiez | 40,234 a,b | 485,222 | |
104,069,564 | |||
Consumer Staples—3.9% | |||
Alliance One International | 179,611 a,b | 673,541 | |
Andersons | 36,663 a | 589,174 | |
Boston Beer, Cl. A | 19,619 a,b | 521,865 | |
Cal-Maine Foods | 27,629 a | 731,340 | |
Casey’s General Stores | 103,718 | 2,759,936 | |
Central Garden & Pet, Cl. A | 143,726 b | 1,303,595 | |
Chattem | 39,852 a,b | 2,188,273 | |
Darling International | 163,657 b | 936,118 | |
Diamond Foods | 32,521 a | 851,725 | |
Great Atlantic & Pacific Tea | 61,528 a,b | 451,616 | |
Green Mountain Coffee Roasters | 36,146 a,b | 2,613,717 | |
Hain Celestial Group | 83,108 a,b | 1,387,073 | |
J & J Snack Foods | 27,232 | 1,055,512 | |
Lance | 62,623 a | 1,450,349 | |
Mannatech | 30,106 a | 131,563 | |
Nash Finch | 26,569 | 778,206 | |
Sanderson Farms | 35,134 a | 1,401,847 | |
Spartan Stores | 45,339 a | 737,666 | |
TreeHouse Foods | 63,527 a,b | 1,689,183 | |
United Natural Foods | 86,969 a,b | 1,981,154 | |
WD-40 | 32,299 | 874,011 | |
25,107,464 | |||
Energy—4.3% | |||
Atwood Oceanics | 112,717 a,b | 2,515,843 | |
Basic Energy Services | 43,227 a,b | 440,915 | |
Bristow Group | 58,759 a,b | 1,337,355 | |
CARBO Ceramics | 42,741 a | 1,312,576 | |
Dril-Quip | 61,867 b | 2,126,987 | |
Gulf Island Fabrication | 35,693 | 461,867 |
10
Common Stocks (continued) | Shares | Value ($) | |
Energy (continued) | |||
Holly | 85,201 | 1,785,813 | |
Hornbeck Offshore Services | 46,295 b | 1,075,433 | |
ION Geophysical | 181,279 a,b | 453,197 | |
Lufkin Industries | 32,422 | 1,131,528 | |
Matrix Service | 51,056 b | 489,116 | |
NATCO Group, Cl. A | 43,546 b | 1,047,717 | |
Oil States International | 100,179 b | 1,893,383 | |
Penn Virginia | 84,780 a | 1,192,855 | |
Petroleum Development | 29,313 b | 475,164 | |
PetroQuest Energy | 84,189 a,b | 253,409 | |
Pioneer Drilling | 96,005 b | 480,025 | |
SEACOR Holdings | 39,432 a,b | 2,591,471 | |
St. Mary Land & Exploration | 126,007 a | 2,251,745 | |
Stone Energy | 72,537 a,b | 312,634 | |
Superior Well Services | 35,559 a,b | 380,481 | |
Swift Energy | 63,374 a,b | 685,707 | |
Tetra Technologies | 149,308 b | 854,042 | |
World Fuel Services | 63,177 a | 2,408,939 | |
27,958,202 | |||
Financial—18.7% | |||
Acadia Realty Trust | 79,606 a | 1,154,287 | |
American Physicians Capital | 16,411 | 683,682 | |
Amerisafe | 43,779 b | 672,445 | |
Bank Mutual | 93,206 | 957,226 | |
BioMed Realty Trust | 166,337 | 1,897,905 | |
Boston Private Financial Holdings | 125,862 a | 580,224 | |
Brookline Bancorp | 116,711 | 1,157,773 | |
Cascade Bancorp | 63,967 a | 106,185 | |
Cash America International | 59,577 | 1,332,142 | |
Cedar Shopping Centers | 101,832 | 365,577 | |
Central Pacific Financial | 60,332 | 353,546 | |
Colonial Properties Trust | 102,684 a | 743,432 | |
Columbia Banking System | 32,921 a | 325,918 | |
Community Bank System | 71,149 a | 1,170,401 | |
Delphi Financial Group, Cl. A | 83,620 | 1,444,117 | |
DiamondRock Hospitality | 216,024 | 1,401,996 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Dime Community Bancshares | 53,763 | 448,383 | |
East West Bancorp | 130,096 | 888,556 | |
EastGroup Properties | 49,685 | 1,669,913 | |
eHealth | 50,046 b | 960,383 | |
Entertainment Properties Trust | 70,345 | 1,625,673 | |
Extra Space Storage | 172,581 | 1,227,051 | |
Financial Federal | 51,350 a | 1,263,723 | |
First BanCorp/Puerto Rico | 159,688 | 879,881 | |
First Cash Financial Services | 58,790 b | 966,508 | |
First Commonwealth Financial | 150,148 | 1,301,783 | |
First Financial Bancorp | 61,695 | 665,689 | |
First Financial Bankshares | 43,549 a | 2,146,095 | |
First Midwest Bancorp | 98,290 | 870,849 | |
Flagstar Bancorp | 82,614 a,b | 119,790 | |
Forestar Group | 71,856 a,b | 924,068 | |
Franklin Street Properties | 119,033 a | 1,589,091 | |
Frontier Financial | 97,082 a | 137,856 | |
Glacier Bancorp | 125,079 a | 1,916,210 | |
Greenhill & Co. | 38,210 a | 2,962,421 | |
Guaranty Financial Group | 207,778 a,b | 122,589 | |
Hancock Holding | 48,165 | 1,824,009 | |
Hanmi Financial | 69,562 a | 107,821 | |
Home Bancshares | 28,358 a | 625,294 | |
Home Properties | 66,415 a | 2,420,163 | |
Independent Bank/MA | 42,629 | 850,875 | |
Independent Bank/MI | 44,991 a | 80,984 | |
Infinity Property & Casualty | 31,520 | 1,110,765 | |
Inland Real Estate | 130,455 a | 1,145,395 | |
Investment Technology Group | 87,905 b | 2,002,476 | |
Irwin Financial | 42,346 a,b | 53,356 | |
Kilroy Realty | 69,231 a | 1,491,236 | |
Kite Realty Group Trust | 72,573 | 254,006 | |
LaBranche & Co. | 121,844 b | 509,308 | |
LaSalle Hotel Properties | 105,983 a | 1,267,557 | |
Lexington Realty Trust | 163,831 | 630,749 | |
LTC Properties | 43,931 | 791,197 |
12
Common Stocks (continued) | Shares | Value ($) | |
Financial (continued) | |||
Medical Properties Trust | 156,707 a | 836,815 | |
Mid-America Apartment Communities | 56,613 a | 2,094,115 | |
Nara Bancorp | 44,596 | 165,451 | |
National Financial Partners | 79,191 a | 559,088 | |
National Penn Bancshares | 167,595 | 1,355,844 | |
National Retail Properties | 160,034 a | 2,839,003 | |
Navigators Group | 26,521 b | 1,203,523 | |
NBT Bankcorp | 65,783 | 1,557,741 | |
Old National Bancorp | 138,022 a | 1,881,240 | |
optionsXpress Holdings | 85,515 | 1,407,577 | |
Parkway Properties | 44,268 | 613,997 | |
Pennsylvania Real Estate Investment Trust | 88,010 a | 682,078 | |
Pinnacle Financial Partners | 48,550 b | 866,132 | |
Piper Jaffray | 31,399 b | 1,088,603 | |
Portfolio Recovery Associates | 30,292 a,b | 1,059,311 | |
Post Properties | 89,045 | 1,136,214 | |
Presidential Life | 48,660 | 520,175 | |
PrivateBancorp | 55,779 a | 1,129,525 | |
ProAssurance | 66,890 b | 2,939,147 | |
Prosperity Bancshares | 83,316 a | 2,313,685 | |
Provident Bankshares | 63,930 a | 561,945 | |
PS Business Parks | 32,507 | 1,422,181 | |
Rewards Network | 53,373 b | 199,081 | |
RLI | 38,614 | 1,854,630 | |
S&T Bancorp | 46,635 a | 833,367 | |
Safety Insurance Group | 31,142 | 1,029,243 | |
Selective Insurance Group | 104,294 | 1,539,379 | |
Senior Housing Properties Trust | 245,732 | 4,027,547 | |
Signature Bank | 72,116 b | 1,960,834 | |
South Financial Group | 160,837 a | 266,989 | |
Sovran Self Storage | 43,590 a | 982,519 | |
Sterling Bancorp | 39,060 | 446,846 | |
Sterling Bancshares | 147,965 a | 983,967 | |
Sterling Financial | 103,836 a | 331,237 | |
Stewart Information Services | 36,093 | 816,063 | |
Stifel Financial | 54,604 b | 2,688,155 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Financial (continued) | ||
Susquehanna Bancshares | 175,746 a | 1,416,513 |
SWS Group | 58,815 | 752,244 |
Tanger Factory Outlet Centers | 65,206 a | 2,172,664 |
Tompkins Financial | 13,665 a | 575,980 |
Tower Group | 71,587 | 1,946,451 |
TradeStation Group | 60,070 b | 487,168 |
Trustco Bank | 162,001 | 972,006 |
UCBH Holdings | 248,724 a | 318,367 |
UMB Financial | 60,925 | 2,788,537 |
Umpqua Holdings | 123,091 a | 1,180,443 |
United Bankshares | 78,819 a | 2,044,565 |
United Community Banks | 87,557 a | 564,743 |
United Fire & Casualty | 44,436 | 829,620 |
Urstadt Biddle Properties, Cl. A | 44,991 | 691,062 |
Whitney Holding | 130,704 a | 1,563,220 |
Wilshire Bancorp | 45,156 | 182,430 |
Wintrust Financial | 48,257 | 820,369 |
World Acceptance | 33,628 b | 998,079 |
Zenith National Insurance | 74,162 | 1,690,152 |
120,386,419 | ||
Health Care—11.5% | ||
Abaxis | 42,903 a,b | 648,693 |
Air Methods | 21,245 a,b | 564,055 |
Almost Family | 12,760 a,b | 315,172 |
Amedisys | 55,611 a,b | 1,865,193 |
American Medical Systems Holdings | 150,678 b | 1,863,887 |
AMERIGROUP | 108,150 b | 3,230,440 |
AMN Healthcare Services | 71,071 b | 489,679 |
AmSurg | 63,208 b | 1,298,292 |
Analogic | 26,257 | 955,755 |
ArQule | 55,367 b | 246,383 |
Bio-Reference Laboratories | 21,854 b | 560,992 |
Cambrex | 78,675 b | 183,313 |
Catalyst Health Solutions | 78,374 b | 1,767,334 |
Centene | 87,339 b | 1,604,417 |
Chemed | 44,999 | 1,904,808 |
14
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
Computer Programs & Systems | 18,804 a | 657,952 | |
CONMED | 63,049 b | 839,813 | |
Cooper | 92,363 a | 2,655,436 | |
CorVel | 14,949 b | 336,352 | |
Cross Country Healthcare | 67,162 a,b | 591,697 | |
CryoLife | 53,939 b | 292,889 | |
Cubist Pharmaceuticals | 117,694 b | 1,953,720 | |
Cyberonics | 45,273 a,b | 599,415 | |
Dionex | 36,434 b | 2,295,342 | |
Eclipsys | 113,886 a,b | 1,503,295 | |
Enzo Biochem | 67,495 b | 276,729 | |
eResearch Technology | 86,306 b | 437,571 | |
Gentiva Health Services | 58,211 b | 927,301 | |
Greatbatch | 45,911 a,b | 965,967 | |
Haemonetics | 51,187 b | 2,642,785 | |
HealthSpring | 100,435 b | 927,015 | |
Healthways | 70,134 b | 731,498 | |
HMS Holdings | 50,943 b | 1,527,271 | |
ICU Medical | 25,308 b | 951,581 | |
Integra LifeSciences Holdings | 40,159 a,b | 1,036,905 | |
Invacare | 68,944 | 1,061,048 | |
Inventiv Health | 66,840 b | 741,256 | |
Kendle International | 26,395 a,b | 234,915 | |
Kensey Nash | 26,503 b | 554,973 | |
Landauer | 18,848 | 998,567 | |
LCA-Vision | 52,332 a | 300,909 | |
LHC Group | 29,350 b | 669,767 | |
Magellan Health Services | 81,205 b | 2,400,420 | |
Martek Biosciences | 67,612 b | 1,231,891 | |
MedCath | 44,894 b | 454,327 | |
MEDNAX | 93,211 b | 3,346,275 | |
Meridian Bioscience | 81,362 | 1,414,072 | |
Merit Medical Systems | 55,576 b | 861,984 | |
Molina Healthcare | 28,183 a,b | 610,162 | |
MWI Veterinary Supply | 24,383 a,b | 757,824 | |
Natus Medical | 54,516 b | 478,650 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Health Care (continued) | |||
Neogen | 29,258 b | 663,279 | |
Noven Pharmaceuticals | 49,747 a,b | 513,389 | |
Odyssey HealthCare | 63,870 b | 661,693 | |
Omnicell | 64,706 b | 569,413 | |
Osteotech | 37,950 b | 144,969 | |
Palomar Medical Technologies | 34,870 b | 300,231 | |
Par Pharmaceutical Cos. | 71,142 b | 763,354 | |
PAREXEL International | 116,439 b | 1,153,910 | |
PharMerica | 61,505 a,b | 1,122,466 | |
Phase Forward | 85,693 b | 1,221,982 | |
PSS World Medical | 121,984 a,b | 1,771,208 | |
Regeneron Pharmaceuticals | 129,074 a,b | 1,711,521 | |
RehabCare Group | 37,150 b | 620,405 | |
Res-Care | 49,522 b | 793,342 | |
Salix Pharmaceuticals | 97,173 a,b | 1,068,903 | |
Savient Pharmaceuticals | 94,552 a,b | 499,235 | |
SurModics | 31,707 a,b | 688,042 | |
Symmetry Medical | 76,540 b | 555,680 | |
Theragenics | 70,734 b | 87,710 | |
ViroPharma | 159,841 a,b | 899,905 | |
West Pharmaceutical Services | 66,403 a | 2,168,058 | |
Zoll Medical | 42,509 b | 683,545 | |
74,428,227 | |||
Industrial—17.7% | |||
A.O. Smith | 48,970 | 1,522,477 | |
AAR | 77,190 a,b | 1,163,253 | |
ABM Industries | 87,132 | 1,526,553 | |
Actuant, Cl. A | 113,176 a | 1,387,538 | |
Acuity Brands | 86,242 a | 2,478,595 | |
Administaff | 46,107 | 1,229,213 | |
Aerovironment | 30,838 a,b | 729,627 | |
Albany International, Cl. A | 50,278 a | 466,580 | |
American Science & Engineering | 18,290 | 1,102,155 | |
Apogee Enterprises | 68,917 | 923,488 | |
Applied Industrial Technologies | 76,922 a | 1,730,745 | |
Applied Signal Technology | 24,661 | 487,301 |
16
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Arkansas Best | 58,020 a | 1,339,102 | |
Astec Industries | 39,371 a,b | 1,213,414 | |
ATC Technology | 44,280 b | 703,609 | |
Axsys Technologies | 18,309 b | 767,330 | |
AZZ | 25,538 b | 789,890 | |
Baldor Electric | 93,696 a | 2,173,747 | |
Barnes Group | 83,480 a | 1,182,077 | |
Belden | 93,770 | 1,511,572 | |
Bowne & Co. | 59,877 | 305,971 | |
Brady, Cl. A | 107,198 | 2,258,662 | |
Briggs & Stratton | 98,943 a | 1,472,272 | |
C & D Technologies | 41,922 a,b | 91,809 | |
Cascade | 19,652 | 474,989 | |
CDI | 36,948 | 441,529 | |
Ceradyne | 60,209 b | 1,038,003 | |
CIRCOR International | 35,971 | 925,534 | |
CLARCOR | 101,934 | 3,168,109 | |
Consolidated Graphics | 24,386 a,b | 473,576 | |
Cubic | 34,303 | 984,839 | |
Curtiss-Wright | 91,431 a | 2,923,049 | |
EMCOR Group | 136,579 b | 2,839,477 | |
EnPro Industries | 39,332 b | 627,739 | |
ESCO Technologies | 52,827 b | 2,196,547 | |
Esterline Technologies | 59,821 b | 1,576,283 | |
Forward Air | 56,068 | 934,654 | |
G & K Services, Cl. A | 45,583 | 1,138,208 | |
Gardner Denver | 105,238 b | 2,801,436 | |
GenCorp | 92,545 a,b | 222,108 | |
Geo Group | 101,455 b | 1,687,197 | |
Gibraltar Industries | 62,324 a | 417,571 | |
Griffon | 101,361 b | 878,800 | |
Healthcare Services Group | 81,696 a | 1,460,724 | |
Heartland Express | 117,932 a | 1,763,083 | |
Heidrick & Struggles International | 41,743 a | 705,457 | |
Hub Group, Cl. A | 75,861 b | 1,744,803 | |
II-VI | 47,952 b | 1,149,409 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
Insituform Technologies, Cl. A | 76,204 a,b | 1,168,207 | |
Interface, Cl. A | 105,706 | 612,038 | |
John Bean Technologies | 61,605 | 678,887 | |
Kaman | 50,442 | 852,974 | |
Kaydon | 67,166 a | 2,146,625 | |
Kirby | 109,040 a,b | 3,364,974 | |
Knight Transportation | 111,580 a | 1,972,734 | |
Lawson Products | 9,558 | 109,726 | |
Lindsay | 24,163 a | 940,182 | |
Lydall | 40,000 b | 171,600 | |
Magnetek | 32,353 b | 56,618 | |
Mobile Mini | 66,742 a,b | 914,365 | |
Moog, Cl. A | 85,844 b | 2,298,902 | |
Mueller Industries | 74,692 | 1,640,983 | |
NCI Building Systems | 36,621 a,b | 144,653 | |
Old Dominion Freight Line | 56,157 a,b | 1,580,820 | |
On Assignment | 68,572 b | 241,373 | |
Orbital Sciences | 123,673 b | 1,911,985 | |
Quanex Building Products | 77,120 | 790,480 | |
Regal-Beloit | 63,939 a | 2,597,842 | |
Robbins & Myers | 69,803 a | 1,322,767 | |
School Specialty | 34,389 a,b | 645,482 | |
Simpson Manufacturing | 78,678 a | 1,751,372 | |
SkyWest | 120,334 | 1,448,821 | |
Spherion | 128,782 b | 462,327 | |
Standard Register | 37,845 a | 197,551 | |
Standex International | 27,735 | 384,684 | |
Stanley | 26,913 b | 693,817 | |
Sykes Enterprises | 66,877 b | 1,314,802 | |
Teledyne Technologies | 72,880 b | 2,327,058 | |
Tetra Tech | 122,183 b | 3,000,814 | |
Toro | 74,707 a | 2,269,599 | |
Tredegar | 45,900 a | 806,922 | |
Triumph Group | 33,093 a | 1,367,734 |
18
Common Stocks (continued) | Shares | Value ($) | |
Industrial (continued) | |||
TrueBlue | 96,299 b | 935,063 | |
United Stationers | 47,053 b | 1,540,045 | |
Universal Forest Products | 37,288 a | 1,251,385 | |
Valmont Industries | 35,045 | 2,235,170 | |
Viad | 42,900 | 818,532 | |
Vicor | 32,064 | 172,184 | |
Volt Information Sciences | 21,293 b | 152,884 | |
Wabash National | 52,163 | 65,204 | |
Watsco | 58,688 a | 2,520,650 | |
Watts Water Technologies, Cl. A | 61,047 a | 1,358,906 | |
114,369,845 | |||
Information Technology—18.1% | |||
Actel | 48,939 b | 605,375 | |
Adaptec | 240,413 b | 687,581 | |
Advanced Energy Industries | 67,136 b | 565,956 | |
Agilysys | 42,560 | 256,637 | |
Anixter International | 60,415 a,b | 2,403,309 | |
Arris Group | 249,714 a,b | 2,664,448 | |
ATMI | 62,595 b | 988,375 | |
Avid Technology | 63,936 a,b | 707,772 | |
Bankrate | 27,796 a,b | 694,900 | |
Bel Fuse, Cl. B | 22,133 | 358,112 | |
Benchmark Electronics | 143,650 b | 1,742,474 | |
Black Box | 35,469 | 970,787 | |
Blackbaud | 93,309 a | 1,420,163 | |
Blue Coat Systems | 78,858 a,b | 1,045,657 | |
Brightpoint | 126,267 b | 657,851 | |
Brooks Automation | 128,645 b | 800,172 | |
Cabot Microelectronics | 47,631 a,b | 1,372,249 | |
CACI International, Cl. A | 60,067 b | 2,375,650 | |
Catapult Communications | 15,885 b | 117,390 | |
Checkpoint Systems | 76,612 b | 930,836 | |
CIBER | 116,582 b | 376,560 | |
Cognex | 81,667 | 1,149,055 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Cohu | 48,859 | 476,864 | |
Commvault Systems | 83,751 b | 1,042,700 | |
comScore | 36,861 a,b | 470,346 | |
Comtech Telecommunications | 56,739 a,b | 1,899,054 | |
Concur Technologies | 85,653 a,b | 2,318,627 | |
CSG Systems International | 75,858 b | 1,099,941 | |
CTS | 84,600 | 513,522 | |
CyberSource | 140,130 b | 2,047,299 | |
Cymer | 59,007 a,b | 1,676,389 | |
Cypress Semiconductor | 291,690 b | 2,313,102 | |
Daktronics | 66,900 a | 604,776 | |
DealerTrack Holdings | 85,972 a,b | 1,305,055 | |
Digi International | 54,924 b | 399,297 | |
Diodes | 65,473 b | 974,238 | |
DSP Group | 57,427 b | 361,216 | |
Ebix | 18,078 b | 502,568 | |
Electro Scientific Industries | 53,833 b | 462,964 | |
EMS Technologies | 27,570 b | 525,208 | |
Epicor Software | 119,029 b | 657,040 | |
EPIQ Systems | 70,458 a,b | 1,089,985 | |
Exar | 87,052 a,b | 535,370 | |
FARO Technologies | 33,915 b | 514,151 | |
FEI | 73,873 b | 1,269,138 | |
Forrester Research | 31,564 b | 802,041 | |
Gerber Scientific | 47,929 b | 189,320 | |
Gevity HR | 49,750 | 197,010 | |
Harmonic | 198,472 b | 1,454,800 | |
Heartland Payment Systems | 53,632 | 431,201 | |
Hittite Microwave | 41,511 a,b | 1,542,549 | |
Hutchinson Technology | 53,426 a,b | 102,578 | |
Informatica | 177,811 b | 2,827,195 | |
InfoSpace | 82,069 b | 544,117 | |
Insight Enterprises | 93,651 b | 535,684 | |
Integral Systems | 31,420 b | 208,315 |
20
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Intermec | 97,494 b | 1,177,728 | |
Intevac | 45,485 b | 313,392 | |
j2 Global Communications | 90,531 a,b | 2,171,839 | |
JDA Software Group | 52,848 b | 745,685 | |
Keithley Instruments | 24,584 | 85,061 | |
Knot | 54,679 a,b | 495,939 | |
Kopin | 126,500 b | 347,875 | |
Kulicke & Soffa Industries | 121,315 a,b | 485,260 | |
Littelfuse | 39,837 b | 652,928 | |
LoJack | 60,000 b | 205,200 | |
Manhattan Associates | 55,554 b | 923,307 | |
MAXIMUS | 34,671 a | 1,398,281 | |
Mercury Computer Systems | 42,626 b | 346,123 | |
Methode Electronics | 90,327 | 543,769 | |
Micrel | 110,672 | 830,040 | |
Micros Systems | 164,876 b | 3,459,098 | |
Microsemi | 165,032 a,b | 2,214,729 | |
MKS Instruments | 105,097 b | 1,644,768 | |
MTS Systems | 32,549 | 687,760 | |
NETGEAR | 71,409 b | 1,143,258 | |
Network Equipment Technologies | 51,113 b | 200,874 | |
Neutral Tandem | 35,492 b | 1,015,071 | |
Newport | 69,116 a,b | 344,889 | |
Novatel Wireless | 80,931 a,b | 554,377 | |
Park Electrochemical | 46,225 | 952,235 | |
PC-Tel | 44,111 | 214,821 | |
Perficient | 70,560 a,b | 491,803 | |
Pericom Semiconductor | 47,120 b | 419,839 | |
Phoenix Technologies | 49,390 b | 140,762 | |
Plexus | 78,980 b | 1,749,407 | |
Progress Software | 84,119 b | 1,782,482 | |
Quality Systems | 36,290 a | 1,945,870 | |
Radiant Systems | 66,840 b | 492,611 | |
Radisys | 50,000 a,b | 358,500 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) | |
Information Technology (continued) | |||
Rogers | 39,833 b | 1,013,750 | |
Rudolph Technologies | 88,059 b | 460,549 | |
ScanSource | 54,771 b | 1,353,391 | |
Skyworks Solutions | 337,889 a,b | 2,986,939 | |
Smith Micro Software | 53,500 b | 460,100 | |
Sonic Solutions | 63,550 b | 139,810 | |
SPSS | 35,881 b | 1,108,723 | |
Standard Microsystems | 49,231 b | 780,804 | |
StarTek | 27,616 b | 113,778 | |
Stratasys | 35,946 b | 336,455 | |
Supertex | 23,436 b | 602,774 | |
Symmetricom | 82,400 b | 410,352 | |
Synaptics | 69,192 a,b | 2,247,356 | |
SYNNEX | 37,769 a,b | 813,167 | |
Take-Two Interactive Software | 157,887 b | 1,433,614 | |
Taleo, Cl. A | 60,900 a,b | 731,409 | |
Technitrol | 93,990 | 382,539 | |
Tekelec | 132,231 a,b | 2,049,581 | |
THQ | 130,946 a,b | 447,835 | |
Tollgrade Communications | 44,470 b | 264,597 | |
Triquint Semiconductor | 296,335 b | 1,134,963 | |
TTM Technologies | 85,497 a,b | 634,388 | |
Tyler Technologies | 57,800 a,b | 953,700 | |
Ultratech | 44,211 b | 597,733 | |
United Online | 170,679 | 904,599 | |
Varian Semiconductor Equipment Associates | 147,971 b | 3,786,578 | |
Veeco Instruments | 62,171 a,b | 450,118 | |
ViaSat | 53,758 b | 1,235,896 | |
Websense | 89,997 b | 1,604,647 | |
Wright Express | 77,330 b | 1,769,310 | |
116,530,005 | |||
Materials—4.2% | |||
A.M. Castle & Co. | 31,428 | 304,537 | |
AMCOL International | 43,179 a | 836,809 |
22
Common Stocks (continued) | Shares | Value ($) | |
Materials (continued) | |||
American Vanguard | 39,984 a | 511,395 | |
Arch Chemicals | 48,464 | 1,171,860 | |
Balchem | 33,939 | 844,742 | |
Brush Engineered Materials | 45,691 b | 773,092 | |
Buckeye Technologies | 68,848 b | 354,567 | |
Calgon Carbon | 108,595 a,b | 1,843,943 | |
Century Aluminum | 109,480 a,b | 442,299 | |
Clearwater Paper | 28,156 b | 428,534 | |
Deltic Timber | 20,029 a | 844,022 | |
Eagle Materials | 88,076 a | 2,448,513 | |
H.B. Fuller | 99,455 | 1,756,375 | |
Headwaters | 82,476 a,b | 207,840 | |
Myers Industries | 63,153 a | 633,425 | |
Neenah Paper | 32,409 | 162,369 | |
NewMarket | 24,410 | 1,537,830 | |
Olympic Steel | 16,117 | 295,586 | |
OM Group | 62,360 a,b | 1,737,350 | |
Penford | 14,687 | 65,651 | |
PolyOne | 176,543 b | 483,728 | |
Quaker Chemical | 23,264 | 272,189 | |
Rock-Tenn, Cl. A | 76,547 | 2,890,415 | |
RTI International Metals | 53,896 a,b | 701,187 | |
Schulman (A.) | 63,199 | 991,592 | |
Schweitzer-Mauduit International | 31,712 | 728,425 | |
Stepan | 13,251 | 524,342 | |
Texas Industries | 55,832 a | 1,785,507 | |
Wausau Paper | 108,945 | 951,090 | |
Zep | 45,588 | 616,806 | |
27,146,020 | |||
Telecommunication Services—.3% | |||
Fairpoint Communications | 169,163 a | 175,930 | |
General Communication, Cl. A | 88,078 b | 674,677 | |
Iowa Telecommunications Services | 62,278 a | 820,824 | |
1,671,431 |
The Fund 23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Common Stocks (continued) | Shares | Value ($) |
Utilities—4.6% | ||
Allete | 56,461 a | 1,470,244 |
American States Water | 33,709 | 1,163,972 |
Atmos Energy | 187,375 | 4,630,036 |
Avista | 111,148 | 1,672,777 |
Central Vermont Public Service | 22,178 | 380,574 |
CH Energy Group | 33,432 a | 1,485,718 |
El Paso Electric | 90,233 b | 1,245,215 |
Laclede Group | 47,477 | 1,646,502 |
New Jersey Resources | 88,918 a | 2,927,181 |
Northwest Natural Gas | 53,194 a | 2,175,635 |
Piedmont Natural Gas | 149,106 a | 3,641,169 |
South Jersey Industries | 59,571 | 2,067,709 |
Southwest Gas | 89,570 | 1,810,210 |
UIL Holdings | 53,402 a | 1,233,052 |
UniSource Energy | 71,615 | 1,884,907 |
29,434,901 | ||
Total Common Stocks | ||
(cost $865,548,339) | 641,102,078 | |
Principal | ||
Short-Term Investments—.1% | Amount ($) | Value ($) |
U.S. Treasury Bills; | ||
0.30%, 6/18/09 | ||
(cost $369,850) | 370,000 c | 369,977 |
Other Investment—.4% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Preferred | ||
Plus Money Market Fund | ||
(cost $2,575,000) | 2,575,000 d | 2,575,000 |
24
Investment of Cash Collateral | ||
for Securities Loaned—27.8% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Cash | ||
Advantage Plus Fund | ||
(cost $179,193,897) | 179,193,897 d | 179,193,897 |
Total Investments (cost $1,047,687,086) | 127.8% | 823,240,952 |
Liabilities, Less Cash and Receivables | (27.8%) | (179,264,693) |
Net Assets | 100.0% | 643,976,259 |
a | All or a portion of these securities are on loan.At April 30, 2009, the total market value of the fund’s securities on loan is $171,918,319 and the total market value of the collateral held by the fund is $179,208,009, consisting of cash collateral of $179,193,897 and U.S. Government and Agency securitites valued at $14,112. |
b | Non-income producing security. |
c | All or partially held by a broker as collateral for open financial futures positions. |
d | Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Short-Term/Money Market Investments | 28.3 | Utilities | 4.6 |
Financial | 18.7 | Energy | 4.3 |
Information Technology | 18.1 | Materials | 4.2 |
Industrial | 17.7 | Consumer Staples | 3.9 |
Consumer Discretionary | 16.2 | Telecommunication Services | .3 |
Health Care | 11.5 | 127.8 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund 25
STATEMENT OF FINANCIAL FUTURES
April 30, 2009 (Unaudited)
Market Value | Unrealized | |||
Covered by | Appreciation | |||
Contracts | Contracts ($) | Expiration | at 4/30/2009 ($) | |
Financial Futures Long | ||||
Russell 2000 E-mini | 85 | 4,136,950 | June 2009 | 261,625 |
See notes to financial statements. |
26
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2009 (Unaudited)
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $171,918,319)—Note 1(b): | ||
Unaffiliated issuers | 865,918,189 | 641,472,055 |
Affiliated issuers | 181,768,897 | 181,768,897 |
Cash | 823,939 | |
Receivable for shares of Common Stock subscribed | 904,321 | |
Dividends and interest receivable | 623,389 | |
825,592,601 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 252,160 | |
Liability for securities on loan—Note 1(b) | 179,193,897 | |
Payable for shares of Common Stock redeemed | 2,152,435 | |
Payable for futures variation margin—Note 4 | 17,850 | |
181,616,342 | ||
Net Assets ($) | 643,976,259 | |
Composition of Net Assets ($): | ||
Paid-in capital | 890,364,484 | |
Accumulated undistributed investment income—net | 2,193,697 | |
Accumulated net realized gain (loss) on investments | (24,397,413) | |
Accumulated net unrealized appreciation (depreciation) | ||
on investments (including $261,625 net unrealized | ||
appreciation on financial futures) | (224,184,509) | |
Net Assets ($) | 643,976,259 | |
Shares Outstanding | ||
(200 million shares of $.001 par value Common Stock authorized) | 49,269,012 | |
Net Asset Value, offering and redemption price per share ($) | 13.07 | |
See notes to financial statements. |
The Fund 27
STATEMENT OF OPERATIONS Six Months Ended April 30, 2009 (Unaudited) |
Investment Income ($): | |
Income: | |
Dividends (net of $2,382 foreign taxes withheld at source): | |
Unaffiliated issuers | 5,440,876 |
Affiliated issuers | 7,935 |
Income from securities lending | 786,962 |
Interest | 6,629 |
Total Income | 6,242,402 |
Expenses: | |
Management fee—Note 3(a) | 745,477 |
Shareholder servicing costs—Note 3(b) | 745,477 |
Directors’ fees—Note 3(a) | 26,433 |
Loan commitment fees—Note 2 | 2,785 |
Total Expenses | 1,520,172 |
Less—Directors’ fees reimbursed by | |
the Manager—Note 3(a) | (26,433) |
Net Expenses | 1,493,739 |
Investment Income—Net | 4,748,663 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments | (9,210,326) |
Net realized gain (loss) on financial futures | (1,206,941) |
Net Realized Gain (Loss) | (10,417,267) |
Net unrealized appreciation (depreciation) on investments (including | |
$47,460 net unrealized appreciation on financial futures) | (55,512,065) |
Net Realized and Unrealized Gain (Loss) on Investments | (65,929,332) |
Net (Decrease) in Net Assets Resulting from Operations | (61,180,669) |
See notes to financial statements. |
28
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
April 30, 2009 | Year Ended | |
(Unaudited) | October 31, 2008 | |
Operations ($): | ||
Investment income—net | 4,748,663 | 9,809,321 |
Net realized gain (loss) on investments | (10,417,267) | 52,916,274 |
Net unrealized appreciation | ||
(depreciation) on investments | (55,512,065) | (402,828,769) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | (61,180,669) | (340,103,174) |
Dividends to Shareholders from ($): | ||
Investment income—net | (10,985,105) | (6,019,379) |
Net realized gain on investments | (49,270,636) | (80,811,626) |
Total Dividends | (60,255,741) | (86,831,005) |
Capital Stock Transactions ($): | ||
Net proceeds from shares sold | 142,408,454 | 375,786,729 |
Dividends reinvested | 57,513,861 | 83,065,547 |
Cost of shares redeemed | (169,154,570) | (295,288,868) |
Increase (Decrease) in Net Assets | ||
from Capital Stock Transactions | 30,767,745 | 163,563,408 |
Total Increase (Decrease) in Net Assets | (90,668,665) | (263,370,771) |
Net Assets ($): | ||
Beginning of Period | 734,644,924 | 998,015,695 |
End of Period | 643,976,259 | 734,644,924 |
Undistributed investment income—net | 2,193,697 | 8,430,139 |
Capital Share Transactions (Shares): | ||
Shares sold | 11,444,607 | 18,429,745 |
Shares issued for dividends reinvested | 4,593,801 | 3,871,675 |
Shares redeemed | (13,537,636) | (14,741,481) |
Net Increase (Decrease) in Shares Outstanding | 2,500,772 | 7,559,939 |
See notes to financial statements. |
The Fund 29
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
April 30, 2009 | Year Ended October 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Per Share Data ($): | ||||||
Net asset value, | ||||||
beginning of period | 15.71 | 25.45 | 23.93 | 21.06 | 18.91 | 16.30 |
Investment Operations: | ||||||
Investment income—neta | .10 | .22 | .15 | .12 | .11 | .11 |
Net realized and unrealized | ||||||
gain (loss) on investments | (1.47) | (7.85) | 2.45 | 3.11 | 2.68 | 2.55 |
Total from Investment Operations | (1.37) | (7.63) | 2.60 | 3.23 | 2.79 | 2.66 |
Distributions: | ||||||
Dividends from | ||||||
investment income—net | (.23) | (.15) | (.12) | (.11) | (.10) | (.05) |
Dividends from net realized | ||||||
gain on investments | (1.04) | (1.96) | (.96) | (.25) | (.54) | — |
Total Distributions | (1.27) | (2.11) | (1.08) | (.36) | (.64) | (.05) |
Net asset value, end of period | 13.07 | 15.71 | 25.45 | 23.93 | 21.06 | 18.91 |
Total Return (%) | (8.38)b | (32.21) | 11.15 | 15.53 | 14.88 | 16.35 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | ||||||
to average net assets | .51c | .51 | .51 | .50 | .50 | .50 |
Ratio of net expenses | ||||||
to average net assets | .50c | .50 | .50 | .50 | .50 | .50 |
Ratio of net investment income | ||||||
to average net assets | 1.59c | 1.09 | .60 | .52 | .55 | .67 |
Portfolio Turnover Rate | 16.81b | 31.84 | 25.08 | 25.05 | 13.64 | 15.54 |
Net Assets, end of period | ||||||
($ x 1,000) | 643,976 | 734,645 | 998,016 | 888,354 | 724,909 | 477,646 |
a | Based on average shares outstanding at each month end. |
b | Not annualized. |
c | Annualized. |
See notes to financial statements. |
30
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus Smallcap Stock Index Fund (the “fund”) is a separate non-diversified series of Dreyfus Index Funds, Inc. (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company currently offering three series, including the fund. The fund’s investment objective is to match the performance of the Standard & Poor’s SmallCap 600 Index. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. 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 Company accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fund enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: Investments in securities are valued at the last sales price on the securities exchange or national securities market on which such securities are primarily traded. Securities listed on the National Market System for which market quotations are available are valued at the official closing price or, if there is no official closing price that day, at the last sales price. Securities not listed on an exchange or the national securities market, or securities for which there were no
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (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 investment companies that are not traded on an exchange are valued at their net asset value.When market quotations or official closing prices are not readily available, or are determined not to reflect accurately fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board of Directors. Fair valuing of securities may be determined with the assistance of a pricing service using calculatio ns based on indices of domestic securities and other appropriate indicators, such as prices of relevant ADRs and futures contracts. For other securities that are fair valued by the Board of Directors, certain factors may be considered such as: fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold, and public trading in similar securities of the issuer or comparable issuers. Financial futures are valued at the last sales price.
The fund adopted Statement of Financial Accounting Standards No. 157 “FairValue 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.
Various inputs are used in determining the value of the fund’s investments relating to FAS 157.These inputs are summarized in the three broad levels listed below.
Level 1—quoted prices in active markets for identical investments.
Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).
32
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of April 30, 2009 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Quoted | Observable | Unobservable | ||
Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in | ||||
Securities | 822,870,975 | 369,977 | — | 823,240,952 |
Other Financial | ||||
Instruments† | 261,625 | — | — | 261,625 |
Liabilities ($) | ||||
Other Financial | ||||
Instruments† | — | — | — | — |
† Other financial instruments include derivative instruments, such as futures, forward currency exchange contracts, swap contracts and options contracts.Amounts shown represent unrealized appreciation (depreciation) at period end.
In April 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position No. 157-4,“Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly” (“FSP 157-4”). FSP 157-4 provides additional guidance for estimating fair value in accordance with FAS 157, when the volume and level of activity for the asset or liability have significantly decreased as well as guidance on identifying circumstances that indicate a transaction is not orderly. FSP 157-4 is effective for fiscal years and interim periods ending after June 15, 2009. Management is currently evaluating the impact the adoption of FSP 157-4 will have on the fund’s financial statement disclosures.
(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the 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 loa ned should a borrower fail to return the securities in a timely manner. During the period ended April 30, 2009, The Bank of New York Mellon earned $262,321 from lending fund portfolio securities, 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 gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from 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.
34
As of and during the period ended April 30, 2009, the fund did not have any liabilities for any uncertain tax positions.The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended October 31, 2008 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The tax character of distributions paid to shareholders during the fiscal year ended October 31, 2008 was as follows: ordinary income $12,079,987 and long-term capital gains $74,751,018.The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The fund participates with other Dreyfus-managed funds in a $145 million unsecured credit facility led by Citibank, N.A. and a $300 million unsecured credit facility provided by The Bank of New York Mellon (each, a “Facility”), each to be utilized primarily for temporary or emergency purposes, including the financing of redemptions. In connection therewith, the fund has agreed to pay its pro rata portion of Facility fees for each Facility. Interest is charged to the fund based on rates determined pursuant to the terms of the respective Facility at the time of the borrowing. During the period ended April 30, 2009, the fund did not borrow under the Facilities.
NOTE 3—Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a 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 fees and commissions, taxes, interest, commitment fees, Shareholder
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 the accrued 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 11 other funds (comprised of 33 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 committe e meeting that is 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.
(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 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
36
the amounts to be paid to Service Agents. During the period ended April 30, 2009, the fund was charged $745,477 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 $126,080 and shareholder services plan fees $126,080.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales of investment securities, excluding short-term securities and financial futures, during the period ended April 30, 2009, amounted to $103,549,895 and $122,137,716, 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. 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. 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. Contracts open at April 30, 2009, are set forth in the Statement of Financial Futures.
At April 30, 2009, accumulated net unrealized depreciation on investments was $224,446,134, consisting of 41,398,576 gross unrealized appreciation and $265,844,710 gross unrealized depreciation.
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At April 30, 2009, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).
The FASB released Statement of Financial Accounting Standards No. 161 “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agree-ments.The application of FAS 161 is required for fiscal years and interim periods beginning after November 15, 2008. At this time, management is evaluating the implications of FAS 161 and its impact on the financial statements and the accompanying notes has not yet been determined.
38
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited)
At a meeting of the fund’s Board of Directors held on March 3, 2009, the Board unanimously approved the continuation of the fund’s Management Agreement with Dreyfus for a one-year term ending March 30, 2010. The Board members, none of whom are “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of Dreyfus. In approving the continuance of the Management Agreement, the Board considered all factors that they believed to be relevant, including, among other things, the factors discussed below.
Analysis of Nature, Extent and Quality of Services Provided to the Fund. The Board members received a presentation from representatives of Dreyfus regarding services provided to the fund and other funds in the Dreyfus fund complex, and discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement. Dreyfus’ representatives reviewed the fund’s distribution of accounts and the relationships Dreyfus has with various intermediaries and the different needs of each. Dreyfus’ representatives noted the various distribution channels for the fund as well as the diverse methods of distribution among other funds in the Dreyfus fund complex, and Dreyfus’ corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each distribution channel, including those of the fun d. Dreyfus also provided the number of accounts investing in the fund, as well as the fund’s asset size.
The Board members also considered Dreyfus’ research and portfolio management capabilities and Dreyfus’ oversight of day-to-day fund operations, including fund accounting, administration, and assistance in meeting legal and regulatory requirements. The Board members also considered Dreyfus’ extensive administrative, accounting and compliance infrastructure. The Board also considered Dreyfus’ brokerage policies and practices, the standards applied in seeking best execution and Dreyfus’ policies and practices regarding soft dollars.
The Fund 39
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board members reviewed the fund’s performance and comparisons to a group of small-cap core funds that are benchmarked against the S&P SmallCap 600 Index (the “Performance Group”) and to a larger universe of funds, consisting of all retail and institutional small-cap core funds (the “Performance Universe”) selected and provided by Lipper, Inc., an independent provider of investment company data.The Board was provided with a description of the methodology Lipper used to select the Performance Group and Performance Universe, as well as the Expense Group and Expense Universe (discussed below).The Board members discussed the results of the comparisons and noted the fund’s average annual total return ranked in the first quartile of its Performance Group a nd Performance Universe for the one-, two-, three-, four- and five-year periods ended December 31, 2008. Dreyfus also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board members also discussed the fund’s contractual and actual management fee and expense ratio and reviewed the range of management fees and expense ratios as compared to a comparable group of funds (the “Expense Group”) and a broader group of funds (the “Expense Universe”), each selected and provided by Lipper.The fund’s management fee and expense ratio were lower than the Expense Group and Expense Universe medians. After discussions with the Board members, representatives of Dreyfus agreed that Dreyfus will pay all of the fund’s direct expenses, except management fees, brokerage commissions, taxes, interest, fees and expenses of non-interested Board members, fees and expenses of independent counsel to the fund and to the non-interested Board members, Shareholder Services Plan fees, and extraordinary expenses. Dreyfus has also agreed to reduce its management fee in an amount equal to the fund’s a llocable portion of the accrued fees and expenses of non-interested Board members and fees and expenses of independent counsel to the fund and to the non-interested Board members.
40
Representatives of Dreyfus reviewed with the Board members the fees paid to Dreyfus or its affiliates by mutual funds and/or separate accounts with similar investment objectives, policies and strategies as the fund (the “Similar Accounts”), and explained the nature of the Similar Accounts and the differences, from Dreyfus’ perspective, as applicable, in providing services to the Similar Accounts as compared to the fund. Dreyfus’ representatives also reviewed the costs associated with distribution through intermediaries. The Board analyzed differences in fees paid to Dreyfus and discussed the relationship of the advisory fees paid in light of the services provided.The Board members considered the relevance of the fee information provided for the Similar Accounts to evaluate the appropriateness and reasonableness of the fund’s management fees.The Board acknowledged that differences in fees paid by the Similar Accounts seemed to be consistent with the services provided.
Analysis of Profitability and Economies of Scale. Dreyfus’ representatives reviewed the dollar amount of expenses allocated and profit received by Dreyfus and the method used to determine such expenses and profit.The Board previously had been provided with information prepared by an independent consulting firm regarding Dreyfus’ approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus mutual fund complex. The Board also was informed that the methodology had also been reviewed by an independent registered public accounting firm which, like the consultant, found the methodology to be reasonable. The consulting firm also analyzed where any economies of scale might emerge in connection with the management of the fund. The Board members evaluated the profitability analysis in light of the relevant circumstances for t he fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund investors.The Board members also considered potential benefits to Dreyfus from acting as
The Fund 41
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)
investment adviser and noted there were no soft dollar arrangements with respect to trading the fund’s investments.
It was noted that the Board members should consider Dreyfus’ profitability with respect to the fund as part of their evaluation of whether the fees under the Management Agreement bear a reasonable relationship to the mix of services provided by Dreyfus, including the nature, extent and quality of such services and that a discussion of economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been static or decreasing, the possibility that Dreyfus may have realized any economies of scale would be less. It also was noted that the profitability percentage for managing the fund was within ranges determined by appropriate court cases to be reasonable given the services rendered and generally superior service levels provided. The Board also noted the fee waiver and expense reimbursement arrangements in place for the fund and their effect on Dreyfus’ profitab ility.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to continuation of the fund’s Management Agreement. Based on the discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the ser- vices provided by Dreyfus are adequate and appropriate.
- The Board was satisfied with the fund’s relative performance.
- The Board concluded that the fee paid by the fund to Dreyfus was reasonable in light of the considerations described above.
42
- The Board determined that the economies of scale which may accrue to Dreyfus and its affiliates in connection with the management of the fund had been adequately considered by Dreyfus in connection with the management fee rate charged to the fund and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that continuation of the fund’s Management Agreement was in the best interests of the fund and its shareholders.
The Fund 43
NOTES
Item 2. | Code of Ethics. |
Not applicable. | |
Item 3. | Audit Committee Financial Expert. |
Not applicable. | |
Item 4. | Principal Accountant Fees and Services. |
Not applicable. | |
Item 5. | Audit Committee of Listed Registrants. |
Not applicable. | |
Item 6. | Investments. |
(a) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management |
Investment Companies. | |
Not applicable. | |
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable. | |
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and |
Affiliated Purchasers. | |
Not applicable. [CLOSED END FUNDS ONLY] | |
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures applicable to Item 10. | |
Item 11. | Controls and Procedures. |
(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Not applicable.
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.
(a)(3) Not applicable.
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dreyfus Index Funds, Inc.
By: | /s/ J. David Officer |
J. David Officer, | |
President | |
Date: | June 29, 2009 |
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: | June 29, 2009 |
By: | /s/ James Windels |
James Windels, | |
Treasurer | |
Date: | June 29, 2009 |
EXHIBIT INDEX
(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)
(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)